CGM TRUST, N-30D, 2000-08-18

CGM TRUST
N-30D, 2000-08-18

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<PAGE>

To Our Shareholders:
--------------------------------------------------------------------------------

CGM Fixed Income Fund increased 4.4% during the second quarter of 2000 compared
to the Merrill Lynch Master Bond Index which returned 1.6%. For the first six
months of the year, CGM Fixed Income Fund returned 7.8% and the Merrill Lynch
Master Bond Index grew 4.0%.

Are the six interest rate hikes voted by the Federal Reserve Board since June
1999 sufficient to cool off a red-hot economy? At its meeting on June 28, 2000,
the Fed decided no further rate increases were necessary in light of some
slowing in consumer spending, a decrease in housing starts and a decline in
consumer confidence. However, the economic data is anything but clear cut: new
orders for durable goods dropped sharply in April but rebounded in a big way in
May. The Fed has seven weeks to monitor economic data and then decide if
additional rate increases are needed to achieve the desired slowing without
toppling the economy into recession. In the meantime, the effort to cool the
economy is getting some help from rising energy costs, in particular gasoline
prices which can act somewhat like a rate hike or tax increase siphoning off
funds that could be spent elsewhere.

Aside from looming questions about the economy, the equity market seems to be
operating on a healthier footing now than in early March when speculative
excesses were so prevalent in technology issues. The NASDAQ Composite Index fell
-37% from March 10th to May 23rd of this year and despite some recovery, is
still down -23% from its high. The excitement over "new economy" companies has
dissipated in the shadow of a growing number of dot-com bankruptcies. Instead,
investor attention is reverting to "old economy" companies and also to real
estate investment trusts, which may indicate a broadening market.

Interest rates are not much changed since March 31st of July 5, 2000 this year
with U.S. Treasury Bills yielding about 5.65% and the Ten-year Treasury bond
selling to yield about 6.10% at June 30. The Ten-year Treasury bond will be
closely watched by investors to gauge the bond market's perception of economic
strength as a clue to future Fed policy. Though equity investors would
presumably welcome a modest economic slowdown, we believe most attention will be
focused on individual issues rather than on any large market moves.

In general, bonds bounced within a narrow yield range as uncertainty continued
to plague the market. CGM Fixed Income Fund dramatically outperformed the bond
market during the second quarter, thanks largely to the Fund's significant
position in real estate investment trusts (REITs). After a period of neglect,
REITs' solid income and credit fundamentals are finally being recognized by the
market.

CGM Fixed Income Fund holds large sector positions in REITs, media and finance.
The Fund's three largest holdings are Innova Sa De Real, Pacific Gulf
Properties, Inc. and APP International Finance Co. (Asia Pulp & Paper).

I would also like to report on June 16, 2000 a French financial-services
company, Caisse des Depots Group, agreed to purchase Nvest Companies L.P. who
holds a passive limited partnership interest in Capital Growth Management. This
transaction will not affect the management of Capital Growth Management or the
CGM Funds.

/s/ Robert L. Kemp

Robert L. Kemp
President

July 5, 2000
<PAGE>

CGM FIXED INCOME FUND
--------------------------------------------------------------------------------

INVESTMENT PERFORMANCE
(unaudited)
--------------------------------------------------------------------------------
Total Return for Periods Ended June 30, 2000

CGM FIXED THE FUND'S AVERAGE
INCOME FUND ANNUAL TOTAL RETURN
----------- -------------------
5 Years ............................... +42.4% +7.3%
1 Year ................................ + 4.8 +4.8
3 Months .............................. + 4.4 --

The Fund's average annual total return from inception (March 17, 1992) through
June 30, 2000 is +8.7%. The adviser has agreed to limit the Fund's total
operating expenses to 0.85% of its average net assets annually through December
31, 2000. Otherwise the total return since inception, and for the five-year,
one-year and three-month periods ended June 30, 2000, would have been lower.

The performance data contained in this report represents past performance,
which is no guarantee of future results. 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.

<PAGE>

CGM FIXED INCOME FUND
--------------------------------------------------------------------------------

BOARD OF TRUSTEES
PETER O. BROWN
G. KENNETH HEEBNER
ROBERT L. KEMP
ROBERT B. KITTREDGE
LAURENS MACLURE
JAMES VAN DYKE QUEREAU, JR.
J. BAUR WHITTLESEY

OFFICERS
ROBERT L. KEMP, President
G. KENNETH HEEBNER, Vice President
LESLIE A. LAKE, Vice President and Secretary
KATHLEEN S. HAUGHTON, Vice President
MARTHA I. MAGUIRE, Vice President
JANICE H. SAUL, Vice President
W. DUGAL THOMAS, Vice President
MARY L. STONE, Assistant Vice President
FRANK N. STRAUSS, Treasurer

INVESTMENT ADVISER
CAPITAL GROWTH MANAGEMENT LIMITED PARTNERSHIP
Boston, Massachusetts 02110

TRANSFER AND DIVIDEND PAYING
AGENT AND CUSTODIAN OF ASSETS
STATE STREET BANK AND TRUST COMPANY
Boston, Massachusetts 02102

SHAREHOLDER SERVICING AGENT
FOR STATE STREET BANK AND
TRUST COMPANY
BOSTON FINANCIAL DATA SERVICES, INC.
P.O. Box 8511
Boston, Massachusetts 02266-8511
<PAGE>
<TABLE>
CGM FIXED INCOME FUND
----------------------------------------------------------------------------------------------

INVESTMENTS AS OF JUNE 30, 2000
(unaudited)

BONDS AND NOTES -- 56.1% OF TOTAL NET ASSETS
<CAPTION>
FACE
AMOUNT VALUE(a)
------ --------
<S> <C> <C>
BROKERS AND INVESTMENT SERVICES -- 3.8%
Merrill Lynch and Company, Inc., 8.00%, 6/01/07 ............ $1,000,000 $ 1,018,040
-----------

ENERGY -- 3.9%
Mitchell Energy & Development Corp., 9.25%, 1/15/02 ........ 1,055,000 1,069,306
-----------

FINANCE -- 8.4%
APP International Finance Co., 11.75%, 10/01/05 ............ 3,250,000 2,275,000
-----------

INDUSTRIAL -- 3.5%
Pohang Iron & Steel Limited, 7.125%, 11/01/06 .............. 1,000,000 950,040
-----------

MEDIA -- 12.9%
Innova Sa De Real, 12.875%, 4/01/07 ........................ 2,750,000 2,557,500
Liberty Media Corporation, 7.875%, 7/15/09 (b) ............. 1,000,000 956,590
-----------
3,514,090
-----------
REAL ESTATE INVESTMENT TRUSTS -- 8.3%
Liberty Property Limited Partnership, 9.00%, 7/01/01
(Convertible) (c) .......................................... 1,700,000 2,263,125
-----------

TELEPHONE -- 7.5%
Econophone, Inc., 13.50%, 7/15/07 .......................... 1,000,000 1,040,000
Worldcom, Inc., 7.75%, 4/01/07 ............................. 1,000,000 1,001,110
-----------
2,041,110
-----------
UNITED STATES TREASURY -- 4.2%
United States Treasury Notes, 6.125%, 8/15/07 .............. 1,150,000 1,142,272
-----------

UTILITIES -- 3.6%
Great Lakes Power, Inc., 9.00%, 8/01/04 .................... 1,000,000 981,420
-----------
TOTAL BONDS AND NOTES (Identified Cost $15,281,690) ........ 15,254,403
-----------

PREFERRED STOCKS -- 31.2%

<CAPTION>
SHARES VALUE(a)
------ --------
<S> <C> <C>
AvalonBay Communities, Inc., $2.25 ......................... 61,000 $ 1,403,000
Conseco Financing Trust I, $2.29 ........................... 8,500 122,719
Conseco Financing Trust VII, $2.36 ......................... 3,600 54,450
DLJ Capital Trust, $2.105 .................................. 40,000 957,500
Duquesne Capital LP, $2.094 ................................ 10,000 236,250
Felcor Lodging Trust, Inc., $1.95 (Convertible) ............ 65,000 1,105,000
Nova Chemicals Corp., $2.26 ................................ 20,000 400,000
Placer Dome, Inc., $2.156 .................................. 45,000 832,500
Rouse Capital, $2.313 ...................................... 59,225 1,362,175
Vornado Realty Trust, $3.25 (Convertible) .................. 39,000 2,020,687
-----------
TOTAL PREFERRED STOCKS (Identified Cost $10,297,388) ....... 8,494,281
-----------

COMMON STOCKS -- 9.1%
Pacific Gulf Properties, Inc. (Identified Cost $1,868,426) . 99,341 2,489,734
-----------

COMMON STOCK WARRANTS -- 0.0%
Destia Communications, Inc. Exp. 7/15/07
(Identified Cost $0) (b) ................................. 1,000 10,000
-----------

TOTAL INVESTMENTS -- 96.4% (Identified Cost $27,447,504) (d) ............... 26,248,418
Cash and Receivables ........................................... 1,023,921
Liabilities .................................................... (56,981)
-----------
TOTAL NET ASSETS -- 100.0% ................................................. $27,215,358
===========

(a) See Note 1A.
(b) Securities 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. At June 30, 2000 the value of the securities amounted to $966,590,
3.6% of net assets.
(c) Variable or floating rate security. Rate disclosed is as of June 30, 2000.
(d) Federal Tax Information: At June 30, 2000 the net unrealized depreciation of investments
based on cost of $27,447,504 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 ............................ $ 1,163,677
Aggregate gross unrealized depreciation for all investments in which
there is an excess of tax cost over value ............................ (2,362,763)
-----------
Net unrealized depreciation ................................................ $(1,199,086)
===========

See accompanying notes to financial statements.
</TABLE>
<PAGE>

CGM FIXED INCOME FUND
--------------------------------------------------------------------------------

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2000
(unaudited)

ASSETS
Investments at value (Identified cost -- $27,447,504) ........ $26,248,418
Cash ......................................................... 104,511
Receivable for:
Securities sold .................................. $303,915
Shares of the Fund sold .......................... 34,125
Dividends and interest ........................... 581,370 919,410
-------- -----------
27,272,339
-----------
LIABILITIES
Payable for:
Shares of the Fund redeemed ................................. 16,764
-----------
Accrued expenses:
Management fees .................................. 4,167
Trustees' fees ................................... 4,426
Accounting and Administration .................... 667
Transfer Agent Fees .............................. 10,747
Other expenses ................................... 20,210 40,217
-------- -----------
56,981
-----------
NET ASSETS .................................................... $27,215,358
===========
Net Assets consist of:
Capital paid-in ............................................. $31,444,377
Undistributed net investment income ......................... 210,078
Accumulated net realized loss ............................... (3,240,011)
Unrealized depreciation on
investments -- net ......................................... (1,199,086)
-----------

NET ASSETS .................................................... $27,215,358
===========
Shares of beneficial interest outstanding, no par value ...... 2,707,628
===========
Net asset value per share* ................................... $10.05
===========

* Shares of the Fund are sold and redeemed at net asset value
($27,215,358 / 2,707,628).

See accompanying notes to financial statements.
<PAGE>

CGM FIXED INCOME FUND
--------------------------------------------------------------------------------

STATEMENT OF OPERATIONS

Six Months Ended June 30, 2000
(unaudited)

INVESTMENT INCOME
Income
Dividends ..................................................... $ 493,437
Interest ...................................................... 861,340
----------
1,354,777
----------
Expenses
Management fees ............................................... 87,393
Trustees' fees ................................................ 9,350
Accounting and Administration ................................. 4,000
Custodian ..................................................... 25,850
Transfer agent ................................................ 29,100
Audit and tax services ........................................ 14,250
Legal ......................................................... 1,725
Printing ...................................................... 7,850
Registration .................................................. 7,400
Miscellaneous ................................................. 275
----------
187,193
Less expenses assumed by the investment adviser ................. (72,910)
----------
Net expenses .................................................... 114,283
----------
Net investment income ........................................... 1,240,494
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized loss on investments -- net ............................ (448,445)
Unrealized appreciation -- net ................................. 1,223,546
----------
Net gain on investments ........................................ 775,101
----------
NET CHANGE IN ASSETS FROM OPERATIONS ............................ $2,015,595
==========

See accompanying notes to financial statements.
<PAGE>

<TABLE>
CGM FIXED INCOME FUND
------------------------------------------------------------------------------------------------

STATEMENT OF CHANGES IN NET ASSETS

<CAPTION>
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
----------- -------------
<S> <C> <C>
FROM OPERATIONS
Net investment income .................................... $ 1,240,494 $ 2,730,392
Net realized loss from investments ....................... (448,445) (1,113,039)
Unrealized appreciation (depreciation) ................... 1,223,546 (561,896)
----------- -----------
Change in net assets from operations ................... 2,015,595 1,055,457
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income .................................... (1,030,416) (2,775,290)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares ............................. 1,299,021 4,402,780
Net asset value of shares issued in connection with
reinvestment of:
Dividends from net investment income ................... 754,007 2,145,578
----------- -----------
2,053,028 6,548,358
Cost of shares redeemed .................................. (4,041,720) (10,923,458)
----------- -----------
Change in net assets derived from capital share
transactions ......................................... (1,988,692) (4,375,100)
----------- -----------
Total change in net assets ............................... (1,003,513) (6,094,933)

NET ASSETS
Beginning of period ...................................... 28,218,871 34,313,804
----------- -----------
End of period (including undistributed net investment
income of $210,078 and $0, respectively) ............... $27,215,358 $28,218,871
=========== ===========
NUMBER OF SHARES OF THE FUND:
Issued from sale of shares ............................... 132,688 429,275
Issued in connection with reinvestment of:
Dividends from net investment income ................... 77,578 211,443
----------- -----------
210,266 640,718
Redeemed ............................................... (413,320) (1,068,906)
----------- -----------
Net change ............................................. (203,054) (428,188)
=========== ===========

See accompanying notes to financial statements.
</TABLE>
<PAGE>

<TABLE>
CGM FIXED INCOME FUND
----------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
For a share of the Fund outstanding
throughout each period:

Net asset value at the beginning of period .......... $ 9.69 $10.28 $11.24 $11.60 $11.41 $ 9.57
------ ------ ------ ------ ------ ------
Net investment income (a) ............................ 0.45 0.89 0.83 0.78 0.77 0.70
Dividends from net investment income ................. (0.37) (0.90) (0.83) (0.78) (0.77) (0.70)
Net realized and unrealized gain (loss) on
investments ........................................ 0.28 (0.58) (0.96) (0.36) 0.95 1.84
Distribution from net realized gain .................. -- -- -- -- (0.76) --
------ ------ ------ ------ ------ ------
Net increase (decrease) in net asset value ........... 0.36 (0.59) (0.96) (0.36) 0.19 1.84
------ ------ ------ ------ ------ ------
Net asset value at the end of period ................. $10.05 $ 9.69 $10.28 $11.24 $11.60 $11.41
====== ====== ====== ====== ====== ======

Total Return (%) (b) ................................. 7.8 3.0 (1.2) 3.7 15.4 27.3

Ratios:
Operating expenses to average net assets (%) ......... 0.85* 0.85 0.85 0.85 0.85 0.85
Operating expenses to average net assets before
expense limitation (%) ............................. 1.39* 1.41 1.26 1.26 1.26 1.53
Net investment income to average net assets (%) ...... 9.23* 8.60 7.56 6.81 6.53 6.46
Portfolio turnover (%) ............................... 10* 47 52 147 149 148

Net assets at end of period (in thousands) ($) ....... 27,215 28,219 34,314 43,932 40,646 31,793

(a) Net of reimbursement which amounted to ........... $ 0.03 $ 0.06 $ 0.05 $ 0.05 $ 0.05 $ 0.07
(b) The total return would have been lower had certain expenses not been reimbursed during the period.
* Computed on an annualized basis.

See accompanying notes to financial statements.
</TABLE>

<PAGE>

CGM FIXED INCOME FUND
--------------------------------------------------------------------------------

NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000
(unaudited)

1. The Fund is a diversified series of CGM Trust which is organized as a
Massachusetts business trust under the laws of Massachusetts pursuant to an
Agreement and Declaration of Trust. The Trust is registered under the
Investment Company Act of 1940 as an open-end management investment company.
The Trust has four other funds whose financial statements are not presented
herein. Along with one other fund in a separate Trust, there are six CGM funds
(CGM Funds). The Fund commenced operations on March 17, 1992. The investment
objective of the Fund is to maximize total return by investing in debt
securities and preferred stock that provide current income, capital
appreciation or a combination of both income and appreciation.

The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
preparation of financial statements in accordance with generally accepted
accounting principles in the United States requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.

A. SECURITY VALUATION -- Corporate debt securities are generally valued on the
basis of valuations furnished by a pricing service authorized by the Board
of Trustees, 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 of Trustees. Equity securities are
valued on the basis of valuations furnished by a pricing service, authorized
by the Board of Trustees, which provides the last reported sale price for
securities listed on a national securities exchange or on the NASDAQ
national market system or, if no sale was reported and in the case of
over-the-counter securities not so listed, the last reported bid price.
Short-term investments having a maturity of sixty days or less are stated at
amortized cost, which approximates value. Other assets and securities which
are not readily marketable will be valued in good faith at fair value using
methods determined by the Board of Trustees.

B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME -- Security transactions
are accounted for on the trade date (date the order to buy or sell is
executed) and dividend income is recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Interest income is accrued daily
and includes accretion of discount and amortization of premium. Net gain or
loss on securities sold is determined on the identified cost basis. Dividend
income received by the Fund from its investment in REITs may consist of
ordinary income, capital gains and return of capital.

C. FEDERAL INCOME TAXES -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies, and to distribute to its shareholders all of its taxable income
and net realized capital gains within the prescribed time period.
Accordingly, no provision for federal income tax has been made. At December
31, 1999 there were capital loss carryovers available to offset future
realized gains of $1,677,676 expiring in the year 2005 and $1,113,890
expiring in the year 2007.

D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions
are recorded by the Fund on the ex-dividend date. The classification of
income and capital gains distributions is determined in accordance with
income tax regulations. Permanent book and tax differences relating to
shareholder distributions may result in reclassifications to paid-in
capital. Undistributed net investment income, accumulated net investment
loss, or distributions in excess of net investment income may include
temporary book and tax differences which will reverse in a subsequent
period. Any taxable income or gain remaining at fiscal year end is
distributed in the following year.

2. PURCHASES AND SALES OF SECURITIES -- For the period ended June 30, 2000,
purchases and sales of securities other than United States government
obligations and short-term investments aggregated $1,315,052 and $3,428,150,
respectively. There were no purchases or sales of United States government
obligations.

3. A. MANAGEMENT FEES -- During the period ended June 30, 2000, the Fund
incurred management fees of $87,393 paid or payable to the Fund's
investment adviser, Capital Growth Management Limited Partnership
(CGM), certain officers and directors of which are also officers and
trustees of the Fund. The management agreement provides for a fee at
the annual rate of 0.65% on the first $200 million of the Fund's
average daily net assets, 0.55% of the next $300 million and 0.40% of
such assets in excess of $500 million. For the period ended June 30,
2000, CGM waived a portion of its fee. See Note 4.

B. OTHER EXPENSES -- CGM performs certain administrative, accounting and
other services for the Fund. The expenses of those services, which are
paid to CGM by the Fund, include the following: (i) expenses for
personnel performing bookkeeping, accounting and financial reporting
functions and clerical functions relating to the Fund; (ii) expenses for
services required in connection with the preparation of registration
statements and prospectuses, shareholder reports and notices, proxy
solicitation material furnished to shareholders of the Fund or
regulatory authorities and reports and questionnaires for SEC
compliance; and (iii) registration, filing and other fees in connection
with requirements of regulatory authorities. For the period ended June
30, 2000 these expenses amounted to $4,000 and are shown separately in
the financial statements as Accounting and Administration.

C. TRUSTEES FEES AND EXPENSES -- The Fund does not pay any compensation
directly to its officers or to any trustees who are directors, officers
or employees of CGM, or any affiliate of CGM, other than registered
investment companies. Each other trustee is compensated by the six CGM
Funds with an annual fee of $37,000 plus travel expenses for each
meeting attended. Of this amount, each fund was responsible for $3,000
per trustee plus an annual variable fee calculated based on the
proportion of each fund's average net assets relative to the aggregate
average net assets of the CGM Funds, which for the six month period
ended June 30, 2000 was $149 for the Fund.

4. EXPENSE LIMITATION -- Until December 31, 2000, and, thereafter, until
further notice to the Fund, CGM has voluntarily agreed to reduce its
management fee and, if necessary, to assume expenses of the Fund in order to
limit the Fund's expenses to an annual rate of 0.85% of average daily net
assets. As a result of the Fund's expenses exceeding the voluntary expense
limitation, for the period ended June 30, 2000, CGM waived $72,910 of its
management fee. The Fund incurred operating expenses of $114,283, representing
0.85% of the average daily net assets.

<PAGE>

CGM
FIXED INCOME
FUND

33rd Quarterly Report
June 30, 2000

A No-Load Fund

[Logo] Investment Adviser
CAPITAL GROWTH MANAGEMENT
Limited Partnership

INVESTMENT ADVISER

CAPITAL GROWTH MANAGEMENT
LIMITED PARTNERSHIP
Boston, Massachusetts 02110

------------------------------------
TELEPHONE NUMBERS

For information about:
[] Account Procedures and Status

[] Redemptions

[] Exchanges

Call 800-343-5678

[] New Account Procedures

[] Prospectuses

[] Performance

Call 800-345-4048

------------------------------------
MAILING ADDRESSES

FOR EXISTING ACCOUNTS

Boston Financial Data Services
P.O. Box 8511
Boston, MA 02266-8511

FOR NEW ACCOUNT APPLICATIONS ONLY

The CGM Funds
P.O. Box 449
Boston, MA 02117-0449
------------------------------------

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.

FQR2 00 Printed in U.S.A.
<PAGE>

To Our Shareholders:
--------------------------------------------------------------------------------

CGM Mutual Fund declined -4.9% during the second quarter of 2000 compared to
the Standard and Poor's 500 Index which lost -2.7% and the Merrill Lynch
Master Bond Index which returned 1.6% over the same period. For the first six
months of the year, CGM Mutual Fund declined -6.7%, the S&P 500 lost -0.4% and
the Merrill Lynch Master Bond Index increased 4.0%.

Are the six interest rate hikes voted by the Federal Reserve Board since June
1999 sufficient to cool off a red-hot economy? At its meeting on June 28,
2000, the Fed decided no further rate increases were necessary in light of
some slowing in consumer spending, a decrease in housing starts and a decline
in consumer confidence. However, the economic data is anything but clear cut:
new orders for durable goods dropped sharply in April but rebounded in a big
way in May. The Fed has seven weeks to monitor economic data and then decide
if additional rate increases are needed to achieve the desired slowing without
toppling the economy into recession. In the meantime, the effort to cool the
economy is getting some help from rising energy costs, in particular gasoline
prices which can act somewhat like a rate hike or tax increase siphoning off
funds that could be spent elsewhere.

Aside from looming questions about the economy, the equity market seems to be
operating on a healthier footing now than in early March when speculative
excesses were so prevalent in technology issues. The NASDAQ Composite Index
fell -37% from March 10th to May 23rd of this year and despite some recovery,
is still down -23% from its high. The excitement over "new economy" companies
has dissipated in the shadow of a growing number of dot-com bankruptcies.
Instead, investor attention is reverting to "old economy" companies and also
to real estate investment trusts, which may indicate a broadening market.

Interest rates are not much changed since March 31st of this year with U.S.
Treasury Bills yielding about 5.65% and the Ten-year Treasury bond selling to
yield about 6.10% at June 30. The Ten-year Treasury bond will be closely watched
by investors to gauge the bond market's perception of economic strength as a
clue to future Fed policy. Though equity investors would presumably welcome a
modest economic slowdown, we believe most attention will be focused on
individual issues rather than on any large market moves.

CGM Mutual Fund is approximately 28% invested in U.S. Treasury Bills and
corporate bonds. The portfolio's equity section has important positions in the
steel industry, real estate investment trusts and electronic component
companies. The three largest holdings are Companhia Siderurgica National
Sponsored ADRs, Micron Technology, Inc. and Boston Properties, Inc.

I would also like to report on June 16, 2000 a French financial-services
company, Caisse des Depots Group, agreed to purchase Nvest Companies L.P. who
holds a passive limited partnership interest in Capital Growth Management.
This transaction will not affect the management of Capital Growth Management
or the CGM Funds.

/s/ Robert L. Kemp

Robert L. Kemp
President

July 5, 2000

<PAGE>

CGM MUTUAL FUND
--------------------------------------------------------------------------------

INVESTMENT PERFORMANCE
(unaudited)
--------------------------------------------------------------------------------
Total Return for Periods Ended June 30, 2000

CGM THE FUND'S AVERAGE
MUTUAL FUND ANNUAL TOTAL RETURN
----------- -------------------
10 Years .................................. +220.5% +12.4%
5 Years .................................. + 75.7 +11.9
1 Year ................................... + 0.7 + 0.7
3 Months ................................. - 4.9 --

The percentage figures for the Fund are based upon the beginning net asset
values of $23.22, $28.64, $29.25 and $26.75, respectively, and the June 30,
2000 net asset value of $25.25 per share assuming the reinvestment of income
dividends, capital gains and paid-in capital distributions during such
respective periods.

The performance data contained in this report represents past performance,
which is no guarantee of future results. The investment return on, 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.

BOARD OF TRUSTEES
PETER O. BROWN
G. KENNETH HEEBNER
ROBERT L. KEMP
ROBERT B. KITTREDGE
LAURENS MACLURE
JAMES VAN DYKE QUEREAU, JR.
J. BAUR WHITTLESEY

OFFICERS
ROBERT L. KEMP, President
G. KENNETH HEEBNER, Vice President
LESLIE A. LAKE, Vice President and Secretary
KATHLEEN S. HAUGHTON, Vice President
MARTHA I. MAGUIRE, Vice President
W. DUGAL THOMAS, Vice President
MARY L. STONE, Assistant Vice President
FRANK N. STRAUSS, Treasurer

INVESTMENT ADVISER
CAPITAL GROWTH MANAGEMENT
LIMITED PARTNERSHIP
Boston, Massachusetts 02110

TRANSFER AND DIVIDEND PAYING
AGENT AND CUSTODIAN OF ASSETS
STATE STREET BANK AND TRUST COMPANY
Boston, Massachusetts 02102

SHAREHOLDER SERVICING AGENT
FOR STATE STREET BANK AND
TRUST COMPANY
BOSTON FINANCIAL DATA SERVICES, INC.
P.O. Box 8511
Boston, Massachusetts 02266-8511

<PAGE>

<TABLE>
CGM MUTUAL FUND
--------------------------------------------------------------------------------------------------------------------------------

<CAPTION>
--------------------------------------------------------------------------------------------------------------------------------
25 YEAR INVESTMENT RECORD
DECEMBER 31, 1974 -- JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------------
IF YOU HAD PURCHASED ONE SHARE OF THE FUND ON DECEMBER 31, 1974
--------------------------------------------------------------------------------------------------------------------------------
-- AND HAD TAKEN ALL DIVIDENDS OR -- HAD REINVESTED ALL DIVIDENDS AND CAPITAL
AND DISTRIBUTIONS IN CASH GAINS DISTRIBUTIONS IN ADDITIONAL SHARES
----------------------------------------------------------------------------------------------------------
During the Year
You Would Have Received Which Would Represent
--------------------------------- ------------------------------------
The Value of A Cumulative
The Net Your Original Change
Asset Value Per Share Per Share Investment An Expressed
On of Your Capital Gains Income At Each Annual As An Index With
December Share Would Distributions Dividends Year End Total Return December 31,
31 Have Been of of Would Have Been of 1974 = 100.0
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1974 $10.27 100.0
1975 12.44 -- $ 0.43 $ 12.89 + 25.5% 125.5
1976 13.96 -- 0.43 14.94 + 15.9 145.5
1977 12.88 -- 0.52 14.33 - 4.1 139.5
1978 12.83 -- 0.65 15.03 + 4.9 146.3
1979 13.81 -- 0.72 17.09 + 13.7 166.3
1980 14.85 -- 0.88 19.62 + 14.8 190.9
1981 13.90 -- 0.97 19.64 + 0.1 191.1
1982 18.16 -- 1.09 27.69 + 41.0 269.5
1983 18.81 -- 1.09 30.43 + 9.9 296.2
1984 17.01 $ 1.86 0.95 32.35 + 6.3 314.9
1985 21.53 -- 1.08 43.51 + 34.5 423.5
1986 22.86 2.75 0.94 54.43 + 25.1 529.8
1987 20.40 4.52 1.06 61.89 + 13.7 602.4
1988 19.94 -- 1.10 63.87 + 3.2 621.7
1989 22.34 0.95 0.93 77.73 + 21.7 756.6
1990 21.64 -- 0.93* 78.59 + 1.1 764.9
1991 26.80 2.64 0.97 110.73 + 40.9 1077.7
1992 26.02 1.42 0.93 117.48 + 6.1 1143.4
1993 28.88 1.93 0.86 143.09 + 21.8 1392.7
1994 25.05 -- 1.04 129.21 - 9.7 1257.6
1995 29.43 0.89 0.77 160.61 + 24.3 1563.2
1996 31.42 4.15 0.74 198.67 + 23.7 1933.7
1997 25.52 7.81 0.67 214.96 + 8.2 2092.3
1998 26.36 0.25 0.98 232.59 + 8.2 2263.9
1999 27.28 3.54 0.84 280.27 + 20.5 2728.0
2000 (6/30) 25.25 -- 0.20 261.49 - 6.7 2545.2
------ ------ ------
Totals $32.71 $21.77 +2445.2
---------------------------------------------------------------------------------------------------------------------------
* Includes $0.05 per share distributed from paid-in capital.
Shares were first offered on November 5, 1929; the net asset value per share, adjusted for stock splits and dividends,
was $8.33.
---------------------------------------------------------------------------------------------------------------------------
The performance data contained in this report represent past performance, which is no guarantee of future results. The
investment return on, 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 the original cost.
</TABLE>
<PAGE>

<TABLE>
CGM MUTUAL FUND
---------------------------------------------------------------------------------------------

INVESTMENTS AS OF JUNE 30, 2000
(unaudited)
COMMON STOCKS -- 70.9% OF TOTAL NET ASSETS
SHARES VALUE(a)
------ --------
<S> <C> <C>
CONSUMER DURABLES -- 4.2%
Koninklijke Philips Electronics Sponsored ADR (b) ...... 680,000 $ 32,300,000
------------

ELECTRONIC COMPONENTS -- 11.9%
Advanced Micro Devices, Inc. (c) ....................... 465,000 35,921,250
Micron Technology, Inc. (c) ............................ 626,000 55,127,125
------------
91,048,375
------------
METALS AND MINING -- 4.9%
Inco Limited (c) ....................................... 2,430,000 37,361,250
------------

OFFSHORE DRILLING -- 5.9%
Global Marine, Inc. (c) ................................ 745,000 20,999,688
Transocean Sedco Forex, Inc. ........................... 455,000 24,314,062
------------
45,313,750
------------
OIL - SERVICE -- 2.8%
BJ Services Company (c) ................................ 340,000 21,250,000
------------

PAPER PRODUCTS/CONSUMER -- 4.3%
Asia Pulp & Paper Company Ltd. ADR (b)(c)(d) ........... 6,600,000 33,412,500
------------

PRINTING -- 5.1%
Aracruz Celulose S.A. ADR (b)(d) ....................... 2,014,900 38,912,756
------------

REAL ESTATE INVESTMENT TRUSTS -- 12.7%
Boston Properties, Inc. ................................ 1,340,000 51,757,500
Vornado Realty Trust ................................... 1,315,000 45,696,250
------------
97,453,750
------------
STEEL -- 13.7%
Companhia Siderurgica National Sponsored ADR (b)(d) .... 1,937,000 59,683,813
Pohang Iron & Steel Co., Ltd. Sponsored ADR (b) ........ 1,880,000 45,120,000
------------
104,803,813
------------
TELEPHONE -- 5.4%
Telefonos de Mexico, S.A. de C.V. (b) .................. 730,000 41,701,250
------------
TOTAL COMMON STOCKS (Identified Cost $556,810,674) ......... 543,557,444
------------

BONDS AND BILLS -- 28.4%
FACE
AMOUNT VALUE(a)
------ --------

BANK AND INSURANCE -- 3.6%
Korea Development Bank, 6.625%, 11/21/03 ............... $28,850,000 $ 27,738,698
------------

FINANCE -- 7.1%
APP Finance VI Mauritius Restricted, 0.00%, 11/18/12
(Convertible) (d) .................................... 49,133,000 7,431,366
APP Finance VII Mauritius, 3.50%, 4/30/03
(Convertible) (d) .................................... 19,795,000 14,351,375
APP International Finance, 11.75%, 10/01/05 (d) ........ 46,750,000 32,725,000
------------
54,507,741
------------
INDUSTRIAL -- 3.6%
CSN Iron S.A., 9.125%, 6/01/07 (d) ..................... 14,300,000 11,386,375
CSN Iron S.A. Restricted, 9.125%, 6/01/07 (d) .......... 20,700,000 16,482,375
------------
27,868,750
------------
UNITED STATES TREASURY -- 14.1%
United States Treasury Bills, 5.395%, 7/27/00 .......... 6,000,000 5,975,820
United States Treasury Bills, 5.588%, 8/03/00 .......... 5,000,000 4,973,737
United States Treasury Bills, 5.726%, 9/21/00 .......... 37,000,000 36,532,320
United States Treasury Bills, 5.749%, 9/28/00 .......... 21,000,000 20,709,780
United States Treasury Bills, 5.873%, 8/17/00 .......... 40,000,000 39,689,278
------------
107,880,935
------------
TOTAL BONDS AND BILLS (Identified Cost $229,577,264) ....... 217,996,124
------------
SHORT-TERM INVESTMENT -- 1.1%
American Express Credit Corporation, 6.88%, 7/03/00
(Cost $8,545,000) ........................................ 8,545,000 8,545,000
------------

TOTAL INVESTMENTS -- 100.4% (Identified Cost $794,932,938) (e) ............. 770,098,568
Cash and Receivables ................................................... 12,030,199
Liabilities ............................................................ (15,298,618)
------------
TOTAL NET ASSETS -- 100% ................................................... $766,830,149
============
(a) See Note 1A.
(b) An American Depositary Receipt (ADR) is a certificate issued by a U.S. bank representing
the right to receive securities of the foreign issuer described. The values of ADRs are
significantly influenced by trading on exchanges not located in the United States or
Canada.
(c) Non-income producing security.
(d) The Fund has greater than 10% of its assets at June 30, 2000 invested in Singapore and
Brazil.
(e) Federal Tax Information: At June 30, 2000, the net unrealized depreciation on investments
based on cost of $794,932,938 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 ............................ $ 53,008,484
Aggregate gross unrealized depreciation for all investments in which
there is an excess of tax cost over value ............................ (77,842,854)
------------
Net unrealized depreciation ............................................ $(24,834,370)
============

See accompanying notes to financial statements.
</TABLE>

<PAGE>

CGM MUTUAL FUND
--------------------------------------------------------------------------------

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2000
(unaudited)

ASSETS
Investments at value (Identified cost -- $794,932,938) ...... $770,098,568
Cash ........................................................ 4,345
Receivable for:
Securities sold ............................ $ 9,136,658
Shares of the Fund sold .................... 16,768
Dividends and interest (net of withholding
tax of $34,680) .......................... 2,872,428 12,025,854
----------- ------------
782,128,767
------------
LIABILITIES
Payable for:
Securities purchased ....................... 11,795,470
Shares of the Fund redeemed ................ 2,795,417 14,590,887
----------- ------------
Accrued expenses:
Management fees ............................ 541,673
Trustees' fees ............................. 14,461
Accounting and Administration .............. 7,417
Transfer Agent Fees ........................ 107,874
Other expenses ............................. 36,306 707,731
----------- ------------
15,298,618
------------
NET ASSETS .................................................... $766,830,149
============
Net Assets consist of:
Capital paid-in ........................................... $749,527,178
Undistributed net investment income ....................... 7,374,061
Accumulated net realized gain ............................. 34,763,280
Unrealized depreciation on investments -- net ............. (24,834,370)
------------
NET ASSETS .................................................... $766,830,149
============

Shares of beneficial interest outstanding, no par value ..... 30,371,929
============
Net asset value per share* .................................. $25.25
============

* Shares of the Fund are sold and redeemed at net asset value
($766,830,149 / 30,371,929).

See accompanying notes to financial statements.

<PAGE>

STATEMENT OF OPERATIONS

Six Months Ended June 30, 2000
(unaudited)

INVESTMENT INCOME
Income
Dividends (net of withholding tax of $418,110) ........... $ 7,769,317
Interest ................................................. 9,738,909
-------------
17,508,226
-------------
Expenses
Management fees .......................................... 3,497,692
Trustees' fees ........................................... 29,441
Accounting and Administration ............................ 44,500
Custodian ................................................ 73,053
Transfer agent ........................................... 462,025
Audit and tax services ................................... 16,750
Legal .................................................... 51,122
Printing ................................................. 34,719
Registration ............................................. 9,759
Miscellaneous ............................................ 1,692
-------------
4,220,753
-------------
Net investment income ...................................... 13,287,473
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on investments -- net ...................... 36,094,858
Unrealized depreciation -- net ........................... (108,694,156)
-------------
Net loss on investments .................................. (72,599,298)
-------------

NET CHANGE IN ASSETS FROM OPERATIONS ......................... $ (59,311,825)
=============

See accompanying notes to financial statements.
<PAGE>

<TABLE>
CGM MUTUAL FUND
-----------------------------------------------------------------------------------------------

STATEMENT OF CHANGES IN NET ASSETS

<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
------------- -------------
<S> <C> <C>
FROM OPERATIONS
Net investment income .................................... $ 13,287,473 $ 25,539,360
Net realized gain from investments ....................... 36,094,858 103,523,126
Unrealized appreciation (depreciation) ................... (108,694,156) 39,442,163
------------- -------------
Change in net assets from operations ................... (59,311,825) 168,504,649
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................... (6,202,970) (25,779,267)
From net realized gain on investments .................... 0 (103,806,626)
In excess of net realized gain on investments ............ 0 (1,025,029)
------------- -------------
(6,202,970) (130,610,922)
------------- -------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares ............................. 9,465,750 23,213,252
Net asset value of shares issued in connection with
reinvestment of:
Dividends from net investment income ................... 5,492,139 23,336,571
Distributions from net realized gain ................... 0 93,970,504
Distributions in excess of net realized gains on
investments .......................................... 0 927,903
------------- -------------
14,957,889 141,448,230
Cost of shares redeemed .................................. (91,541,124) (211,343,378)
------------- -------------
Change in net assets derived from capital share
transactions ......................................... (76,583,235) (69,895,148)
------------- -------------
Total change in net assets ............................... (142,098,030) (32,001,421)

NET ASSETS
Beginning of period ...................................... 908,928,179 940,929,600
------------- -------------
End of period (including undistributed net investment
income of $7,374,061 and $289,558, respectively) ....... $ 766,830,149 $ 908,928,179
============= =============
NUMBER OF SHARES OF THE FUND:
Issued from sale of shares ............................... 358,948 825,808
Issued in connection with reinvestment of:
Dividends from net investment income ................... 221,232 859,719
Distributions from net realized gain ................... 0 3,461,873
Distributions in excess of net realized gains on
investments .......................................... 0 34,184
------------- -------------
580,180 5,181,584
Redeemed ............................................... (3,532,036) (7,554,102)
------------- -------------
Net change ............................................. (2,951,856) (2,372,518)
============= =============

See accompanying notes to financial statements.
</TABLE>
<PAGE>

<TABLE>
CGM MUTUAL FUND
------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
For a share of the Fund outstanding
throughout each period:

Net asset value at the beginning of period ........... $27.28 $26.36 $25.52 $31.42 $29.43 $25.05
------ ------ ------ ------ ------ ------

Net investment income ................................ 0.43 0.83 1.00 0.66 0.75 0.73
Dividends from net investment income ................. (0.20) (0.84) (0.98) (0.67) (0.74) (0.77)
Net realized and unrealized gain (loss)
on investments ..................................... (2.26) 4.47 1.07 1.92 6.13 5.31
Distribution from net realized gain .................. -- (3.51) (0.25) (7.81) (4.15) (0.89)
Distributions in excess of net realized gain on
investments ........................................ -- (0.03) -- -- -- --
------ ------ ------ ------ ------ ------
Net increase (decrease) in net asset value ........... (2.03) 0.92 0.84 (5.90) 1.99 4.38
------ ------ ------ ------ ------ ------
Net asset value at end of period ..................... $25.25 $27.28 $26.36 $25.52 $31.42 $29.43
====== ====== ====== ====== ====== ======

Total Return (%) ..................................... (6.7) 20.5 8.2 8.2 23.7 24.3

Ratios:
Operating expenses to average net assets (%) ......... 1.04* 1.02 1.02 0.98 0.87 0.91
Net investment income to average net assets (%) ...... 3.27* 2.86 3.56 1.91 2.33 2.55
Portfolio turnover (%) ............................... 191* 200 280 386 192 291
Net assets at end of period (in thousands) ($) ....... 766,830 908,928 940,930 1,192,154 1,216,523 1,154,439

* Computed on an annualized basis.

See accompanying notes to financial statements.
</TABLE>

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000
(unaudited)

1. The Fund is a diversified series of CGM Trust which is organized as a
Massachusetts business trust under the laws of Massachusetts pursuant to an
Agreement and Declaration of Trust. The Trust is registered under the
Investment Company Act of 1940 as an open-end management investment company.
The Trust has four other Funds whose financial statements are not presented
herein. Along with one other fund in a separate Trust, there are six CGM funds
(CGM Funds). The Fund's objective is reasonable long-term capital appreciation
with a prudent approach to protection of capital from undue risks. Current
income is a consideration in the selection of the Fund's portfolio securities,
but it is not a controlling factor.

A. SECURITY VALUATION -- Equity securities are valued on the basis of
valuations furnished by a pricing service, authorized by the Board of
Trustees, which provides the last reported sale price for securities listed
on a national securities exchange or on the NASDAQ national market system
or, if no sale was reported and in the case of over-the-counter securities
not so listed, the last reported bid price. Corporate debt securities are
valued on the basis of valuations furnished by a pricing service, authorized
by the Board of Trustees, 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 of Trustees. Short-term investments having a maturity of sixty
days or less are stated at amortized cost, which approximates value.

B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME -- Security transactions
are accounted for on the trade date (date the order to buy or sell is
executed) and dividend income is recorded on the ex-dividend date net of
applicable taxes. Interest income is recorded on the accrual basis. Net gain
or loss on securities sold is determined on the identified cost basis.
Dividend income received by the Fund from its investment in REITs may be
comprised of ordinary income, capital gains, and return of capital.

E. INVESTMENT RISK -- There are certain additional risks involved in investing
in foreign securities that are not inherent in investments in domestic
securities. These risks may involve adverse political and economic
developments and the possible imposition of currency exchange blockages or
other foreign governmental laws or restrictions. In addition, the securities
of some foreign companies and securities markets are less liquid and at
times more volatile than securities of comparable U.S. companies and U.S.
securities markets.

2. PURCHASES AND SALES OF SECURITIES -- For the period ended June 30, 2000,
purchases and sales of securities other than United States government
obligations and short-term investments aggregated
$654,545,992 and $689,234,811, respectively. Purchases and sales of United
States government
obligations aggregated $406,969,136 and $425,720,385, respectively.

3. A. MANAGEMENT FEES -- During the period ended June 30, 2000, the Fund
incurred management fees of $3,497,692, paid or payable to the Fund's
investment adviser, Capital Growth Management Limited Partnership
(CGM), certain officers and directors of which are also officers and
trustees of the Fund. The management agreement provides for a fee at
the annual rate of 0.90% on the first $500 million of the Fund's
average daily net assets, 0.80% of the next $500 million and 0.75% of
such assets in excess of $1 billion.

B. OTHER EXPENSES -- CGM performs certain administrative, accounting and
other services for the Fund. The expenses of those services, which were
paid to CGM by the Fund, include the following: (i) expenses for
personnel performing bookkeeping, accounting and financial reporting
functions and clerical functions relating to the Fund; (ii) expenses for
services required in connection with the preparation of registration
statements and prospectuses, shareholder reports and notices, proxy
solicitation material furnished to shareholders of the Fund or
regulatory authorities and reports and questionnaires for SEC
compliance; and (iii) registration, filing and other fees in connection
with requirements of regulatory authorities. The Accounting and
Administration expense of $44,500, for the period ended June 30, 2000,
is shown separately in the financial statements.

C. TRUSTEES FEES AND EXPENSES -- The Fund does not pay any compensation
directly to its officers or to any trustees who are directors, officers
or employees of CGM, or any affiliate of CGM, (other than registered
investment companies). Each other trustee is compensated by the six CGM
Funds with an annual fee of $37,000 plus travel expenses for each
meeting attended. Of this amount, each fund was responsible for $3,000
per trustee plus an annual variable fee calculated based on the
proportion of each fund's average net assets relative to the aggregate
average net assets of the CGM Funds, which for the six month period
ended June 30, 2000 was $4,170 for the Fund.
<PAGE>

CGM
MUTUAL FUND

281st Quarterly Report
June 30, 2000

A No-Load Fund

[Logo] Investment Adviser
CAPITAL GROWTH MANAGEMENT
Limited Partnership

INVESTMENT ADVISER

CAPITAL GROWTH MANAGEMENT
LIMITED PARTNERSHIP
Boston, Massachusetts 02110

---------------------------------
TELEPHONE NUMBERS

For information about:
[] Account Procedures and Status

[] Redemptions

[] Exchanges

Call 800-343-5678

[] New Account Procedures

[] Prospectuses

[] Performance

Call 800-345-4048

-----------------------------------
MAILING ADDRESSES

FOR EXISTING ACCOUNTS

Boston Financial Data Services
P.O. Box 8511
Boston, MA 02266-8511

FOR NEW ACCOUNT APPLICATIONS ONLY

The CGM Funds
P.O. Box 449
Boston, MA 02117-0449
-----------------------------------

MQR2 00 Printed in U.S.A.
<PAGE>

To Our Shareholders:
--------------------------------------------------------------------------------

CGM American Tax Free Fund returned 1.4% during the second quarter of 2000
compared to the Lehman Municipal Bond Index which rose 1.5% over the same
period. For the first half of the year, CGM American Tax Free Fund increased
4.5% as did the Lehman Municipal Bond Index.

Are the six interest rate hikes voted by the Federal Reserve Board since June
1999 sufficient to cool off a red-hot economy? At its meeting on June 28,
2000, the Fed decided no further rate increases were necessary in light of
some slowing in consumer spending, a decrease in housing starts and a decline
in consumer confidence. However, the economic data is anything but clear cut:
new orders for durable goods dropped sharply in April but rebounded in a big
way in May. The Fed has seven weeks to monitor economic data and then decide
if additional rate increases are needed to achieve the desired slowing without
toppling the economy into recession. In the meantime, the effort to cool the
economy is getting some help from rising energy costs, in particular gasoline
prices which can act somewhat like a rate hike or tax increase siphoning off
funds that could be spent elsewhere.

The tax exempt bond market essentially tracked the taxable bond market during
the second quarter, albeit in a somewhat muted fashion. The municipal market
continued to lack institutional buying interest and remained dominated by
retail investors. However, we are beginning to see signs of buying interest on
the part of insurance companies which may boost the performance of the sector
longer term.

CGM American Tax Free Fund is structured somewhat defensively in anticipation
of rising inflation. Given the lack of institutional buying interest in long-
term tax exempt paper, CGM American Tax Free Fund's intermediate average
maturity buoyed performance during periods of market uncertainty and weakness.

CGM American Tax Free Fund holds large positions in the industrial revenue/
pollution control, transportation and housing sectors. The Fund's three
largest positions are Hopewell Industrial Development Authority (Stone
Container), Howard County Maryland Multi-family Housing Chase Glen Apartments
(AvalonBay Properties) and E470 Colorado Public Highway Authority.

I would also like to report on June 16, 2000 a French financial-services
company, Caisse des Depots Group, agreed to purchase Nvest Companies L.P. who
holds a passive limited partnership interest in Capital Growth Management.
This transaction will not affect the management of Capital Growth Management
or the CGM Funds.

/s/ Robert L. Kemp

Robert L. Kemp
President

July 5, 2000
<PAGE>

CGM AMERICAN TAX FREE FUND
--------------------------------------------------------------------------------
INVESTMENT PERFORMANCE
(unaudited)
--------------------------------------------------------------------------------
Total Return for Periods Ended June 30, 2000
THE FUND'S
AVERAGE
CGM AMERICAN ANNUAL
TAX FREE FUND TOTAL RETURN
------------- ------------
5 Years ................................. +28.3% +5.1%
1 Year .................................. + 1.1 +1.1
3 Months ................................ + 1.4 --

The Fund's average annual total return since inception (November 10, 1993)
through June 30, 2000 is +4.2%. The adviser has agreed to absorb the Fund's
total operating expenses through December 31, 2000. Otherwise, the Fund's
total return since inception, and for the five-year, one-year, and three-month
periods ended June 30, 2000 would have been lower.

The performance data contained in this report represents past performance. 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.
<PAGE>
CGM AMERICAN TAX FREE FUND
-------------------------------------------------------------------------------

BOARD OF TRUSTEES
PETER O. BROWN
G. KENNETH HEEBNER
ROBERT L. KEMP
ROBERT B. KITTREDGE
LAURENS MACLURE
JAMES VAN DYKE QUEREAU, JR.
J. BAUR WHITTLESEY

INVESTMENT ADVISER
CAPITAL GROWTH MANAGEMENT LIMITED PARTNERSHIP
Boston, Massachusetts 02110

TRANSFER AND DIVIDEND PAYING
AGENT AND CUSTODIAN OF ASSETS
STATE STREET BANK AND TRUST COMPANY
Boston, Massachusetts 02102

SHAREHOLDER SERVICING AGENT
FOR STATE STREET BANK AND
TRUST COMPANY
BOSTON FINANCIAL DATA SERVICES, INC.
P.O. Box 8511
Boston, Massachusetts 02266-8511
<PAGE>

<TABLE>
CGM AMERICAN TAX FREE FUND
---------------------------------------------------------------------------------------------
INVESTMENTS AS OF JUNE 30, 2000
(unaudited)
MUNICIPAL BONDS -- 97.3% OF TOTAL NET ASSETS

<CAPTION>
FACE
AMOUNT VALUE(a)
---------- -----------
<S> <C> <C>
CALIFORNIA -- 6.3%
California State General Obligation Bonds, 4.50%, 12/01/21 ... $ 500,000 $ 423,005
Los Angeles Regional Airport (United Airlines),
6.875%, 11/15/12 ........................................... 500,000 514,775
-----------
937,780
-----------

COLORADO -- 7.7%
Denver City & County Airport, 5.25%, 11/15/23 ................ 500,000 463,815
E470 Public Highway Authority, 5.00%, 9/01/26 ................ 750,000 668,760
-----------
1,132,575
-----------

FLORIDA -- 1.8%
Polk County Industrial Development Authority Revenue Bonds
(IMC Fertilizer), 7.525%, 1/01/15 .......................... 250,000 260,210
-----------

HAWAII -- 4.1%
Hawaii State Housing and Community Development,
6.00%, 7/01/15 ............................................. 500,000 507,495
Honolulu City and County Mortgage Revenue (FHA Insured),
7.80%, 7/01/24 ............................................. 90,000 92,758
-----------
600,253
-----------

ILLINOIS -- 3.5%
Illinois Student Assistance Loan, 5.75%, 3/01/07 ............. 500,000 516,110
-----------

KENTUCKY -- 2.7%
Kenton County Airport Revenue Bonds (Delta Airlines),
6.75%, 2/01/02 ............................................. 400,000 406,140
-----------

MARYLAND -- 5.4%
Howard County Multifamily, Chase Glen Apartments (AvalonBay
Properties), 7.00%, 7/01/24 ................................ 750,000 794,168
-----------

MASSACHUSETTS -- 2.5%
Massachusetts Municipal Wholesale Electric Power Supply
System, 8.75%, 7/01/18 ..................................... 330,000 372,824
-----------

MICHIGAN -- 4.4%
Michigan State Hospital Finance Authority, 5.50%, 11/15/08 ... 460,000 445,735
Michigan State Housing Development (Rental Housing Program),
7.05%, 10/01/12 ............................................ 195,000 201,962
-----------
647,697
-----------

NEW JERSEY -- 9.3%
New Jersey Economic Development Authority, 6.00%, 6/15/10 .... 500,000 537,560
New Jersey Economic Development Authority, 6.625%, 9/15/12 ... 325,000 327,529
New Jersey State Housing Series B, 6.05%, 11/01/17 ........... 500,000 509,095
-----------
1,374,184
-----------

NEW YORK -- 20.3%
New York City Tobacco Amortization, 5.75%, 7/15/15 ........... 500,000 496,515
New York General Obligation Bonds Series B, 8.25%, 6/01/05 ... 100,000 114,296
New York General Obligation Bonds Series J, 5.50%, 2/15/26 ... 500,000 470,575
New York State Dormitory Authority Revenue Bonds
(City University Facilities), 5.75%, 7/01/13 ............... 250,000 257,617
New York State Dormitory Authority Revenue Bonds (State
University Facilities), 5.875%, 5/15/11 .................... 250,000 262,365
New York State Throughway Authority Service, 5.75%, 4/01/15 .. 500,000 512,840
Port Authority New York and New Jersey Special Obligation,
9.125%, 12/01/15 ........................................... 395,000 408,572
United Nations Development Corporation, 6.25%, 7/01/26 ....... 450,000 477,958
-----------
3,000,738
-----------

PENNSYLVANIA -- 3.7%
Philadelphia Water and Waste, 6.25%, 8/01/11 ................. 500,000 545,500
-----------

SOUTH CAROLINA -- 6.4%
Georgetown County Pollution Control (International Paper),
5.125%, 2/01/12 ............................................ 500,000 469,070
South Carolina Transportation Infrastructure,
5.375%, 10/01/24 ........................................... 500,000 471,860
-----------
940,930
-----------

TEXAS -- 7.8%
Alliance Airport Authority Special Facilities Revenue Bonds
(American Airlines, Inc. Project), 7.00%, 12/01/11 ........... 250,000 263,855
Bexar County Health Facilities, 5.375%, 11/15/22 ............. 500,000 466,420
Houston Independent School District, 4.75%, 2/15/22 .......... 500,000 427,475
-----------
1,157,750
-----------

VIRGINIA -- 11.4%
Hopewell Industrial Development Authority (Stone Container),
8.25%, 6/01/16 ............................................. 1,600,000 1,680,800
-----------
TOTAL MUNICIPAL BONDS (Identified Cost $14,567,643) .......................... 14,367,659
-----------
SHORT-TERM INVESTMENT -- 1.3%
American Express Credit Corporation, 6.88%, 7/03/00
(Cost $190,000) ............................................ 190,000 190,000
-----------
TOTAL INVESTMENTS -- 98.6% (Identified Cost $14,757,643)(b) .................. 14,557,659
Cash and Receivables ..................................................... 244,655
Liabilities .............................................................. (33,556)
-----------
TOTAL NET ASSETS -- 100.0% ................................................... $14,768,758
===========
(a) See Note 1A.
(b) Federal Tax Information: At June 30, 2000 the net unrealized depreciation
on investments based on cost of $14,757,643 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 .............................. $ 145,226
Aggregate gross unrealized depreciation for all investments in which
there is an excess of tax cost over value .............................. (345,210)
-----------
Net unrealized depreciation .................................................. $ (199,984)
===========

See accompanying notes to financial statements.
</TABLE>
<PAGE>

CGM AMERICAN TAX FREE FUND
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES

June 30, 2000
(unaudited)

ASSETS
Investments at value (Identified
cost -- $14,757,643) ...................................... $14,557,659
Cash ........................................................ 1,129
Receivable for:
Interest .................................................. 243,526
-----------
14,802,314
-----------
LIABILITIES
Payable for:
Shares of the Fund redeemed .................... $ 1,200
Expense advance from adviser ................... 32,356 33,556
------- -----------
NET ASSETS .................................................... $14,768,758
===========
Net Assets consist of:
Capital paid-in ........................................... $16,722,174
Undistributed net investment
income .................................................. 76,744
Accumulated net realized loss ............................. (1,830,176)
Unrealized depreciation on investments -- net ............. (199,984)
-----------

NET ASSETS .................................................... $14,768,758
===========
Shares of beneficial interest outstanding, no par value ..... 1,661,256
===========
Net asset value per share* .................................. $8.89
===========

* Shares of the Fund are sold and redeemed at net asset value
($14,768,758 / 1,661,256).

See accompanying notes to financial statements.
<PAGE>

STATEMENT OF OPERATIONS

Six Months Ended June 30, 2000
(unaudited)

INVESTMENT INCOME
Income
Interest ................................................. $ 456,419
---------
Expenses
Management fees .......................................... 44,138
Trustees' fees ........................................... 8,990
Accounting and Administration ............................ 1,750
Custodian ................................................ 25,850
Transfer agent ........................................... 13,150
Audit and tax services ................................... 9,750
Legal .................................................... 670
Printing ................................................. 6,677
Registration ............................................. 7,980
Miscellaneous ............................................ 425
---------
119,380
Less expenses assumed by the investment adviser .......... (119,380)
---------
Net expenses ............................................. 0
---------
Net investment income .................................... 456,419
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized loss on investments -- net ........................ (126,575)
Unrealized appreciation -- net ............................. 316,327
---------
Net gain on investments .................................... 189,752
---------
NET CHANGE IN ASSETS FROM OPERATIONS ......................... $ 646,171
=========

See accompanying notes to financial statements.
<PAGE>

<TABLE>
CGM AMERICAN TAX FREE FUND
--------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS

<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
FROM OPERATIONS
Net investment income .................................... $ 456,419 $ 980,333
Net realized loss from investments ....................... (126,575) (818,812)
Unrealized appreciation (depreciation) ................... 316,327 (1,067,104)
----------- -----------
Change in net assets from operations ................... 646,171 (905,583)
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income .................................... (380,433) (981,050)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares ............................. 477,619 2,645,611
Net asset value of shares issued in connection with
reinvestment of:
Dividends from net investment income ................... 243,811 623,166
----------- -----------
721,430 3,268,777
Cost of shares redeemed .................................. (1,217,291) (4,089,411)
----------- -----------
Change in net assets derived from capital share
transactions ......................................... (495,861) (820,634)
----------- -----------
Total change in net assets ............................... (230,123) (2,707,267)

NET ASSETS
Beginning of period ...................................... 14,998,881 17,706,148
----------- -----------
End of period (including undistributed net investment
income of $76,744 and $758, respectively) .............. $14,768,758 $14,998,881
=========== ===========
NUMBER OF SHARES OF THE FUND:
Issued from sale of shares ............................... 54,790 280,881
Issued in connection with reinvestment of:
Dividends from net investment income ................... 27,876 67,382
----------- -----------
82,666 348,263
Redeemed ............................................... (139,529) (443,346)
----------- -----------
Net change ............................................. (56,863) (95,083)
=========== ===========

See accompanying notes to financial statements.
</TABLE>
<PAGE>

<TABLE>
CGM AMERICAN TAX FREE FUND
------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<CAPTION>
FOR THE
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
For a share of the Fund outstanding throughout
each period:
Net asset value at the beginning of period ........... $ 8.73 $ 9.77 $ 9.70 $ 9.46 $ 9.77 $ 8.83
------ ------ ------ ------ ------ ------
Net investment income (a) ............................ 0.27 0.54 0.55 0.58 0.58 0.61
Dividends from net investment income ................. (0.23) (0.54) (0.55) (0.58) (0.58) (0.61)
Net realized and unrealized gain (loss)
on investments ..................................... 0.12 (1.04) 0.07 0.24 (0.31) 0.94
------ ------ ------ ------ ------ ------
Net increase (decrease) in net asset value ........... 0.16 (1.04) 0.07 0.24 (0.31) 0.94
------ ------ ------ ------ ------ ------
Net asset value at end of period ..................... $ 8.89 $ 8.73 $ 9.77 $ 9.70 $ 9.46 $ 9.77
====== ====== ====== ====== ====== ======

Total Return (%) (b) ................................. 4.5 (5.3) 6.5 9.0 2.9 18.0

Ratios:
Operating expenses to average net assets (%) ......... 0 0 0 0 0 0
Operating expenses to average net assets before
waiver (%) ......................................... 1.62* 1.76 1.69 2.04 2.14 2.59
Net investment income to average net assets (%) ...... 6.20* 5.76 5.63 6.11 6.10 6.50
Portfolio turnover (%) ............................... 32* 53 37 140 107 125

Net assets at end of period (in thousands) ($) ....... 14,769 14,999 17,706 14,443 12,430 11,855

(a) Net of fees waived and reimbursed amounted to .... $ 0.07 $ 0.17 $ 0.16 $ 0.19 $ 0.20 $ 0.24
(b) The total return would have been lower had the total fees and expenses not been waived or reimbursed during
the period.
* Computed on an annualized basis.

See accompanying notes to financial statements.
</TABLE>
<PAGE>

NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000
(unaudited)

1. The Fund is a diversified series of CGM Trust which is organized as a
Massachusetts business trust under the laws of Massachusetts pursuant to an
Agreement and Declaration of Trust. The Trust is registered under the
Investment Company Act of 1940 as an open-end management investment company.
The Trust has four other funds whose financial statements are not presented
herein. Along with one other fund in a separate Trust, there are six CGM funds
(CGM Funds). The Fund commenced operations on November 10, 1993. The primary
investment objective of the Fund is to provide high current income exempt from
federal income tax. The Fund's secondary investment objective is capital
appreciation.

A. SECURITY VALUATION -- Debt securities are valued on the basis of valuations
furnished by a pricing service, authorized by the Board of Trustees, 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. Short-term investments having a maturity of sixty
days or less are stated at amortized cost, which approximates value.

B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME -- Security transactions
are accounted for on the trade date (date the order to buy or sell is
executed) and dividend income is recorded on the ex-dividend date. The Fund
may trade securities on other than normal settlement terms. This may
increase the risk if the other party to the transaction fails to deliver and
causes the Fund to subsequently invest at less advantageous prices. Interest
income is recorded on the accrual basis. Interest income is accrued daily
and includes accretion of discount and amortization of premium. Net gain or
loss on securities sold is determined on the identified cost basis.

C. FEDERAL INCOME TAXES -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies, and to distribute to its shareholders all of its taxable and tax
exempt income and net realized capital gains, within the prescribed time
period. Accordingly, no provision for federal income tax has been made. At
December 31, 1999, there were capital loss carryovers available to offset
future realized gains of $659,836 expiring in the year 2002, $224,953
expiring in 2004, and $818,812 expiring in 2007.

D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions
are recorded by the Fund on the ex-dividend date. The classification of
income and capital gains distributions is determined in accordance with
income tax regulations. Permanent book and tax differences relating to
shareholder distributions may result in reclassifications to paid-in
capital. Undistributed net investment income, accumulated net investment
loss, or distributions in excess of net investment income may include
temporary book and tax differences which will reverse in a subsequent
period. Any income or gain remaining at fiscal year end is distributed in
the following year.

E. OTHER -- The Fund has greater than 10% of its net assets at June 30, 2000
invested in New York and Virginia. There are certain risks arising from
geographical concentration in any state. Certain revenue or tax related
events in a state may impair the ability of certain issuers of municipal
securities to pay principal and interest on their obligations.

2. PURCHASES AND SALES OF SECURITIES -- For the period ended June 30, 2000,
purchases and sales of securities other than United States government
obligations and short-term investments aggregated $2,315,163 and $2,670,505,
respectively. There were no purchases or sales of United States government
obligations.

3. A. MANAGEMENT FEES -- During the period ended June 30, 2000, the Fund
incurred management fees of $44,138 payable to the Fund's investment
adviser, Capital Growth Management Limited Partnership (CGM), certain
officers and directors of which are also officers and trustees of the
Fund. The management agreement provides for a fee at the annual rate
of 0.60% on the first $500 million of the Fund's average daily net
assets, 0.55% of the next $500 million and 0.45% of such assets in
excess of $1 billion. CGM waived its entire fee for the period ended
June 30, 2000. See Note 4.

B. OTHER EXPENSES -- CGM performs certain administrative, accounting and
other services for the Fund. The expenses of those services, which are
paid to CGM by the Fund, include the following: (i) expenses for
personnel performing bookkeeping, accounting and financial reporting
functions and clerical functions relating to the Fund; (ii) expenses for
services required in connection with the preparation of registration
statements and prospectuses, shareholder reports and notices, proxy
solicitation material furnished to shareholders of the Fund or
regulatory authorities and reports and questionnaires for SEC
compliance; and (iii) registration, filing and other fees in connection
with requirements of regulatory authorities. For the period ended June
30, 2000 these expenses amounted to $1,750 and are shown separately in
the financial statements as Accounting and Administration. The entire
expense was waived by CGM for the period ended June 30, 2000.
See Note 4.

4. EXPENSE LIMITATION -- Until December 31, 2000, and, thereafter, until
further notice to the Fund, CGM has voluntarily agreed to waive its management
fee and to assume all expenses of the Fund. For the period ended June 30,
2000, CGM waived its entire management fee of $44,138, the entire Accounting
and Administration expense of $1,750 and assumed other Fund expenses of
$73,492.
<PAGE>

CGM
AMERICAN
TAX FREE FUND

27th Quarterly Report
June 30, 2000

A No-Load Fund

[Logo] Investment Adviser
CAPITAL GROWTH MANAGEMENT
Limited Partnership

INVESTMENT ADVISER

CAPITAL GROWTH MANAGEMENT
LIMITED PARTNERSHIP
Boston, Massachusetts 02110

---------------------------------
TELEPHONE NUMBERS

For information about:
[] Account Procedures and Status

[] Redemptions

[] Exchanges

Call 800-343-5678

[] New Account Procedures

[] Prospectuses

[] Performance

Call 800-345-4048

---------------------------------
MAILING ADDRESSES

FOR EXISTING ACCOUNTS

Boston Financial Data Services
P.O. Box 8511
Boston, MA 02266-8511

FOR NEW ACCOUNT APPLICATIONS ONLY

The CGM Funds
P.O. Box 449
Boston, MA 02117-0449
---------------------------------

AQR2 00 Printed in U.S.A.
<PAGE>

To our Shareholders:
--------------------------------------------------------------------------------

CGM Realty Fund increased 13.5% during the second quarter of 2000 compared to a
return of 10.5% for the National Association of Real Estate Investment Trusts'
Equity REIT Index over the same period. For the first six months of the year,
CGM Realty Fund returned 15.6% compared to a return of 13.2% for the NAREIT
Equity REIT Index.

The REIT industry enjoyed significant appreciation during the second quarter of
2000, finally reflecting the continued strong growth in cash flows generated by
rising occupancy rates and rents in many property types and geographic markets.
Rising off a depressed base, REITs outperformed the S&P 500 for the first half
of the year providing an attractive alternative for investors disillusioned by
the technology shakeout earlier in the spring. Looking forward, we believe many
REITs are still undervalued at current levels providing the potential for future
appreciation.

CGM Realty Fund's largest sector concentrations are in office and industrial
REITs and apartment REITs. The Fund's three largest holdings are SL Green Realty
Corporation, Apartment Investment and Management Company and Home Properties New
York, Inc.

/s/ Robert L. Kemp

Robert L. Kemp
President

July 5, 2000
<PAGE>

CGM REALTY FUND
--------------------------------------------------------------------------------

INVESTMENT PERFORMANCE
(unaudited)
--------------------------------------------------------------------------------
Total Return for Periods Ended June 30, 2000

THE FUND'S
CGM AVERAGE
REALTY ANNUAL
FUND TOTAL RETURN
-------- --------------
5 years ......................... +94.5% +14.2%
1 Year .......................... + 6.0 + 6.0
3 Months ........................ +13.5 --

The Fund's average annual total return since inception (May 13, 1994) through
June 30, 2000 is +12.4%. The adviser had limited the Fund's total operating
expenses to 1.00% of its average net assets from inception through December 31,
1997. Otherwise, the Fund's total return since inception and for the five-year
period ended June 30, 2000 would have been lower.

The performance data contained in this report represents past performance, which
is no guarantee of future results. 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.
<PAGE>

CGM REALTY FUND
--------------------------------------------------------------------------------

BOARD OF TRUSTEES
PETER O. BROWN
G. KENNETH HEEBNER
ROBERT L. KEMP
ROBERT B. KITTREDGE
LAURENS MACLURE
JAMES VAN DYKE QUEREAU, JR.
J. BAUR WHITTLESEY

OFFICERS
ROBERT L. KEMP, President
G. KENNETH HEEBNER, Vice President
LESLIE A. LAKE, Vice President and Secretary
KATHLEEN S. HAUGHTON, Vice President
MARTHA I. MAGUIRE, Vice President
W. DUGAL THOMAS, Vice President
MARY L. STONE, Assistant Vice President
FRANK N. STRAUSS, Treasurer

INVESTMENT ADVISER
CAPITAL GROWTH MANAGEMENT LIMITED PARTNERSHIP
Boston, Massachusetts 02110

TRANSFER AND DIVIDEND PAYING
AGENT AND CUSTODIAN OF ASSETS
STATE STREET BANK AND TRUST COMPANY
Boston, Massachusetts 02102

SHAREHOLDER SERVICING AGENT
FOR STATE STREET BANK AND
TRUST COMPANY
BOSTON FINANCIAL DATA SERVICES, INC.
P.O. Box 8511
Boston, Massachusetts 02266-8511
<PAGE>

CGM REALTY FUND
--------------------------------------------------------------------------------

INVESTMENTS AS OF JUNE 30, 2000
(unaudited)

REAL ESTATE INVESTMENT TRUSTS -- 98.8% OF TOTAL NET ASSETS

SHARES VALUE(a)
------ --------
APARTMENTS -- 29.1%
Apartment Investment and Management Company ...... 750,000 $ 32,437,500
AvalonBay Communities, Inc. ...................... 570,000 23,797,500
BRE Properties, Inc. ............................. 810,000 23,388,750
Essex Property Trust, Inc. ....................... 580,000 24,360,000
Grove Property Trust ............................. 270,000 4,387,500
Home Properties New York, Inc. ................... 1,030,000 30,900,000
-------------
139,271,250
-------------
HOTELS -- 8.3%
Lasalle Hotel Properties ......................... 1,165,000 16,746,875
Legacy Hotels Real Estate Units .................. 3,815,000 22,812,669
-------------
39,559,544
-------------
OFFICE AND INDUSTRIAL -- 56.8%
Alexandria Real Estate Equity .................... 649,900 22,299,694
Arden Realty, Inc. ............................... 270,000 6,345,000
Bedford Property Investors, Inc. ................. 1,300,000 24,131,250
Boston Properties, Inc. .......................... 558,500 21,572,063
Brandywine Realty Trust .......................... 1,036,500 19,823,062
CarrAmerica Realty Corporation ................... 880,000 23,320,000
Great Lakes REIT ................................. 259,000 4,403,000
Kilroy Realty Corporation ........................ 515,000 13,357,812
Liberty Property Trust ........................... 896,000 23,240,000
Mission West Properties, Inc. .................... 1,356,500 14,243,250
Prentiss Properties Trust ........................ 723,500 17,364,000
SL Green Realty Corporation ...................... 1,319,000 35,283,250
Spieker Properties, Inc. ......................... 506,000 23,276,000
Vornado Realty Trust ............................. 665,000 23,108,750
-------------
271,767,131
-------------
RETAIL -- 4.6%
Chelsea GCA Realty, Inc. ......................... 633,000 21,878,063
-------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(Identified Cost $430,035,778) ................. 472,475,988
-------------

FACE
SHORT-TERM INVESTMENT -- 1.5% AMOUNT

American Express Credit Corporation,
6.88%, 7/03/00 (Cost $7,175,000) ......... $7,175,000 $ 7,175,000
------------

TOTAL INVESTMENTS -- 100.3%
(Identified Cost $437,210,778)(b) ....................... 479,650,988
Cash, receivables and other assets ..................... 12,257,933
Liabilities ............................................ (13,747,775)
------------
TOTAL NET ASSETS -- 100.0% ................................. $478,161,146
============

(a) See Note 1A.
(b) Federal Tax Information: At June 30, 2000 the net
unrealized appreciation on investments based on cost of
$437,210,778 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 ............................................. $ 51,188,481
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value ... (8,748,271)
------------
Net unrealized appreciation ............................ $ 42,440,210
=============

See accompanying notes to financial statements.
<PAGE>

CGM REALTY FUND
--------------------------------------------------------------------------------

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2000
(unaudited)

ASSETS
Investments at value (Identified Cost -- $437,210,778) ..... $479,650,988
Cash ....................................................... 3,146
Receivable for:
Securities sold ............................ $ 5,676,967
Shares of the Fund sold .................... 1,493,472
Dividends and interest (net of withholding
of $96,423) .............................. 5,084,348 12,254,787
------------ ------------
491,908,921
------------
LIABILITIES
Payable for:
Securities purchased ....................... 12,492,082
Shares of the Fund redeemed ................ 788,711 13,280,793
------------
Accrued expenses:
Management fees ............................ 319,828
Trustees' fees ............................. 8,619
Accounting and Administration .............. 3,544
Transfer Agent fees ........................ 89,524
Other expenses ............................. 45,467 466,982
------------ ------------
13,747,775
------------
NET ASSETS .................................................. $478,161,146
============
Net Assets consist of:
Capital paid-in ........................................... $540,779,277
Undistributed net investment income ....................... 6,471,620
Accumulated net realized loss ............................. (111,531,326)
Unrealized appreciation on investments and foreign
currency -- net .......................................... 42,441,575
------------
NET ASSETS .................................................. $478,161,146
============
Shares of beneficial interest outstanding, no par value ... 37,868,943
============
Net asset value per share* ................................. $12.63
============

* Shares of the Fund are sold and redeemed at net asset value
($478,161,146 / 37,868,943).

See accompanying notes to financial statements.
<PAGE>

STATEMENT OF OPERATIONS

Six Months Ended June 30, 2000
(unaudited)

INVESTMENT INCOME
Income:
Dividends (net of withholding tax of $186,863) ...... $14,465,825
Interest ............................................ 81,756
-----------
14,547,581
-----------
Expenses:
Management fees ..................................... 1,724,572
Trustees' fees ...................................... 17,757
Accounting and Administration ....................... 21,250
Custodian ........................................... 59,900
Transfer agent ...................................... 225,883
Audit and tax services .............................. 11,375
Legal ............................................... 31,227
Printing ............................................ 14,516
Registration ........................................ 12,042
Line of Credit commitment fee ....................... 10,167
Miscellaneous ....................................... 2,605
-----------
2,131,294
-----------
Net investment income ................................ 12,416,287
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Realized loss on investments and foreign currency
transactions -- net ................................ (9,647,718)
Unrealized appreciation -- net ...................... 60,964,492
-----------

Net gain on investments and foreign currency
transactions ....................................... 51,316,774
-----------

NET CHANGE IN ASSETS FROM OPERATIONS .................. $63,733,061
===========

See accompanying notes to financial statements.
<PAGE>

<TABLE>
CGM REALTY FUND
----------------------------------------------------------------------------------------------

STATEMENT OF CHANGES IN NET ASSETS

<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ................................ $ 12,416,287 $ 21,586,757
Net realized loss from investments ................... (9,647,718) (45,412,260)
Unrealized appreciation .............................. 60,964,492 30,550,000
------------ ------------
Change in net assets from operations ............... 63,733,061 6,724,497
------------ ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ................................ (5,944,667) (21,590,268)
Tax return of capital ................................ -- (5,419,920)
------------ ------------
(5,944,667) (27,010,188)
------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares ......................... 109,733,751 114,813,735
Net asset value of shares issued in connection with
reinvestment of:
Dividends from net investment income ............... 5,124,238 18,377,972
Tax return of capital .............................. -- 4,617,260
------------ ------------
114,857,989 137,808,967
Cost of shares redeemed .............................. (66,314,812) (164,595,173)
------------ ------------
Change in net assets derived from capital share
transactions ..................................... 48,543,177 (26,786,206)
------------ ------------
Total change in net assets ........................... 106,331,571 (47,071,897)

NET ASSETS
Beginning of period .................................. 371,829,575 418,901,472
------------ ------------

End of period (including undistributed net investment
income of $6,471,620 and $0, respectively) ......... $478,161,146 $371,829,575
============ ============
NUMBER OF SHARES OF THE FUND:
Issued from sale of shares ........................... 9,689,935 9,813,829
Issued in connection with reinvestment of:
Dividends from net investment income ............... 438,719 1,619,271
Distributions from tax return of capital ........... -- 406,824
------------ ------------
10,128,654 11,839,924
Redeemed ........................................... (5,812,322) (14,444,831)
------------ ------------
Net change ......................................... 4,316,332 (2,604,907)
============ ============
</TABLE>

See accompanying notes to financial statements.
<PAGE>

<TABLE>
CGM REALTY FUND
-------------------------------------------------------------------------------------------------------------------------------

FINANCIAL HIGHLIGHTS

<CAPTION>
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 2000 ---------------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
For a share of the Fund outstanding
throughout each period:
Net asset value at the beginning of
period ................................ $11.08 $11.59 $15.60 $14.50 $10.89 $ 9.71
------ ------ ------ ------ ------ ------
Net investment income (a) ............... 0.33 0.65 0.59 0.64 0.52 0.54
Dividends from net investment income (0.16) (0.65) (0.59) (0.64) (0.52) (0.54)
Distributions from net realized gain .... -- -- -- (2.03) (0.41) --
Distributions from tax return of capital -- (0.16) (0.16) (0.04) -- (0.14)
Distributions in excess of net investment
income ................................ -- -- -- -- (0.12) --
------ ------ ------ ------ ------ ------
Total Distributions ..................... (0.16) (0.81) (0.75) (2.71) (1.05) (0.68)
------ ------ ------ ------ ------ ------
Net realized and unrealized gain (loss)
on investments ........................ 1.38 (0.35) (3.85) 3.17 4.14 1.32
------ ------ ------ ------ ------ ------

Net increase (decrease) in net asset
value ................................. 1.55 (0.51) (4.01) 1.10 3.61 1.18
------ ------ ------ ------ ------ ------
Net asset value at end of period ........ $12.63 $11.08 $11.59 $15.60 $14.50 $10.89
====== ====== ====== ====== ====== ======
Total Return (%) ........................ 15.6 2.6 (21.2) 26.7(b) 44.1(b) 19.8(b)

Ratios:
Operating expenses to average net
assets (%) ............................ 1.05* 1.06 1.04 1.00 1.00 1.00
Operating expenses to average net
assets before expense limitation (%) N/A N/A N/A 1.07 1.25 1.68
Net income to average net assets (%) 6.12* 5.50 4.35 4.48 4.97 5.51
Portfolio turnover (%) .................. 61* 49 86 128 57 85

Net assets at end of period
(in thousands) ($) .................... 478,161 371,830 418,901 489,449 161,727 47,694

(a) Net of reimbursement which amounted
to .................................. N/A N/A N/A $ 0.01 $ 0.02 $ 0.07
(b) The total return would have been lower had certain expenses not been reduced during the period.
* Computed on an annualized basis.
</TABLE>
<PAGE>

CGM REALTY FUND
--------------------------------------------------------------------------------

NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000
(unaudited)

1. The Fund is a diversified series of CGM Trust which is organized as a
Massachusetts business trust under the laws of Massachusetts pursuant to an
Agreement and Declaration of Trust. The Trust is registered under the
Investment Company Act of 1940 as an open-end management investment company.
The Trust has four other funds whose financial statements are not presented
herein. Along with one other fund in a separate Trust, there are six CGM funds
(CGM Funds). The Fund commenced operations on May 13, 1994. The Fund's
investment objective is to earn above-average income and long-term growth of
capital. The Fund intends to pursue its objective by investing primarily in
equity securities of companies in the real estate industry.

B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME -- Security transactions
are accounted for on the trade date (date the order to buy or sell is
executed) and dividend income is recorded on the ex-dividend date net of
applicable taxes. Interest income is recorded on the accrual basis. Net gain
or loss on securities sold is determined on the identified cost basis.
Dividend income received by the Fund from its investment in REITs may
consist of ordinary income, capital gains and return of capital.

C. FEDERAL INCOME TAXES -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies, and to distribute to its shareholders all of its taxable income
and net realized capital gains, within the prescribed time period.
Accordingly, no provision for federal income tax has been made. At December
31, 1999 there were capital loss carry- overs available to offset future
realized gains of $53,821,768 expiring in the year 2006 and $44,792,972
expiring in the year 2007.

D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions
are recorded by the Fund on the ex-dividend date. The classification of
income and capital gains distributions is determined in accordance with
income tax regulations. Permanent book and tax differences relating to
shareholder distributions may result in reclassifications to paid-in
capital. Undistributed net investment income, accumulated net investment
loss, or distributions in excess of net investment income may include
temporary book and tax differences, which will reverse in a subsequent
period. Any taxable income or gain remaining at fiscal year end is
distributed in the following year.

E. FOREIGN CURRENCY TRANSLATION -- All assets and liabilities initially
expressed in terms of foreign currencies are translated into U.S. dollars.
Transactions affecting statement of operations accounts and net realized
gain/(loss) on investments are translated at the rates prevailing at the
dates of the transactions. 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
securities held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments. Reported net realized foreign
exchange gains or losses arise from sales of foreign currency, currency
gains or losses realized between the trade and settlement dates on
securities transactions and the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Fund's books and the
U.S. dollar equivalent of the amounts actually received or paid. Net
unrealized foreign exchange gains or losses arise from changes in the value
of assets and liabilities other than investments in securities at fiscal
year end, resulting from changes in the exchange rate.

F. INVESTMENT RISK -- There are certain additional risks involved in investing
in foreign securities that are not inherent in investments in domestic
securities. These risks may involve adverse political and economic
developments and the possible imposition of currency exchange blockages or
other foreign governmental laws or restrictions. In addition, the securities
of some foreign companies and securities markets are less liquid and at
times more volatile than securities of comparable U.S. companies and U.S.
securities markets.

2. PURCHASES AND SALE OF SECURITIES -- For the period ended June 30, 2000,
purchases and sales of securities other than United States government
obligations and short-term investments aggregated $179,190,037 and
$123,259,043, respectively. There were no purchases or sales of United States
government obligations.

3. A. MANAGEMENT FEES -- During the period ended June 30, 2000, the Fund
incurred management fees of $1,724,572, paid or payable to the Fund's
investment adviser, Capital Growth Management Limited Partnership
(CGM), certain officers and directors of which are also officers and
trustees of the Fund. The management agreement provides for a fee at
the annual rate of 0.85% on the first $500 million of the Fund's
average daily net assets and 0.75% on amounts in excess of $500
million.

B. OTHER EXPENSES -- CGM performs certain administrative, accounting and
other services for the Fund. The expenses of those services, which are
paid to CGM by the Fund, include the following: (i) expenses for
personnel performing bookkeeping, accounting and financial reporting
functions and clerical functions relating to the Fund; (ii) expenses
for services required in connection with the preparation of
registration statements and prospectuses, shareholder reports and
notices, proxy solicitation material furnished to shareholders of the
Fund or regulatory authorities and reports and questionnaires for SEC
compliance; and (iii) registration, filing and other fees in
connection with requirements of regulatory authorities. For the period
ended June 30, 2000 these expenses amounted to $21,250 and are shown
separately in the financial statements as Accounting and
Administration.

C. TRUSTEES FEES AND EXPENSES -- The Fund does not pay any compensation
directly to its officers or to any trustees who are directors,
officers or employees of CGM, or any affiliate of CGM (other than
registered investment companies). Each other trustee is compensated by
the six CGM Funds with an annual fee of $37,000 plus travel expenses
for each meeting attended. Of this amount, each fund was responsible
for $3,000 per trustee plus an annual variable fee calculated based on
the proportion of each fund's average net assets relative to the
aggregate average net assets of the CGM Funds, which for the six month
period ended June 30, 2000 was $1,833 for the Fund.

4. LINE OF CREDIT -- The Fund has a $20,000,000 committed unsecured line of
credit with its custodian bank. Borrowings under the line will be charged
interest at 0.75% over the current Overnight Federal Funds Rate. The Fund will
incur a commitment fee of 0.10% per annum on the unused portion of the line of
credit, payable quarterly. There were no borrowings under the line of credit
during the period ended June 30, 2000.
<PAGE>

CGM
REALTY FUND

25th Quarterly Report
June 30, 2000

A No-Load Fund

Investment Adviser
[logo] CAPITAL GROWTH MANAGEMENT
Limited Partnership

INVESTMENT ADVISER

CAPITAL GROWTH MANAGEMENT
LIMITED PARTNERSHIP
Boston, Massachusetts 02110

-----------------------------------
TELEPHONE NUMBERS

For information about:
[] Account Procedures and Status

[] Redemptions

[] Exchanges

Call 800-343-5678

[] New Account Procedures

[] Prospectuses

[] Performance

Call 800-345-4048

-----------------------------------
MAILING ADDRESSES

FOR EXISTING ACCOUNTS

Boston Financial Data Services
P.O. Box 8511
Boston, MA 02266-8511

FOR NEW ACCOUNT APPLICATIONS ONLY

The CGM Funds
P.O. Box 449
Boston, MA 02117-0449
-----------------------------------

RQR2 00 Printed in U.S.A.

<PAGE>

To Our Shareholders:
--------------------------------------------------------------------------------

CGM Focus Fund increased 8.4% during the second quarter of 2000 compared to the
Standard and Poor's 500 Index which lost -2.7%. For the first six months of the
year, CGM Focus Fund rose 6.8% and the S&P 500 lost -0.4%.

The CGM Focus Fund portfolio is 42% invested in securities sold short. The three
largest short positions are Amazon.com, Inc., Global Crossing Ltd., and Level 3
Communications, Inc. The Fund's three largest holdings (excluding short
positions) are Micron Technology, Inc., Tubos de Acero de Mexico, S.A. ADRs and
Dataram Corporation.

/s/ Robert L. Kemp

Robert L. Kemp
President

July 5, 2000

<PAGE>

CGM FOCUS FUND
--------------------------------------------------------------------------------

INVESTMENT PERFORMANCE
(unaudited)
------------------------------------------------------
Total Return for Periods Ended June 30, 2000

CGM FOCUS
FUND
----------
1 Year .................................. +6.6%
6 Months ................................ +6.8
3 Months ................................ +8.4

The Fund's average annual total return since inception (September 3, 1997)
through June 30, 2000 is +4.2%. The adviser has agreed to limit the Fund's
total operating expenses to 1.20% of its average net assets through December
31, 2000. Otherwise, the Fund's total return since inception, and for the one-
year, six-month, and three-month periods ended June 30, 2000, would have been
lower.

The performance data contained in this report represents past performance, which
is no guarantee of future results. 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.

<PAGE>

CGM FOCUS FUND
--------------------------------------------------------------------------------

BOARD OF TRUSTEES
PETER O. BROWN
G. KENNETH HEEBNER
ROBERT L. KEMP
ROBERT B. KITTREDGE
LAURENS MACLURE
JAMES VAN DYKE QUEREAU, JR.
J. BAUR WHITTLESEY

OFFICERS
ROBERT L. KEMP, President
G. KENNETH HEEBNER, Vice President
LESLIE A. LAKE, Vice President and Secretary
KATHLEEN S. HAUGHTON, Vice President
MARTHA I. MAGUIRE, Vice President
W. DUGAL THOMAS, Vice President
MARY L. STONE, Assistant Vice President
FRANK N. STRAUSS, Treasurer

INVESTMENT ADVISER
CAPITAL GROWTH MANAGEMENT LIMITED PARTNERSHIP
Boston, Massachusetts 02110

TRANSFER AND DIVIDEND PAYING
AGENT AND CUSTODIAN OF ASSETS
STATE STREET BANK AND TRUST COMPANY
Boston, Massachusetts 02102

SHAREHOLDER SERVICING AGENT
FOR STATE STREET BANK AND
TRUST COMPANY
BOSTON FINANCIAL DATA SERVICES, INC.
P.O. Box 8511
Boston, Massachusetts 02266-8511

<PAGE>

<TABLE>
CGM FOCUS FUND
----------------------------------------------------------------------------------------------

INVESTMENTS AS OF JUNE 30, 2000
(unaudited)

COMMON STOCKS -- 87.2% OF TOTAL NET ASSETS

SHARES VALUE(a)
-------- ------------
<S> <C> <C>
CONSUMER DURABLES -- 5.1%
Koninklijke Philips Electronics Sponsored ADR (b) .............. 60,000 $ 2,850,000
------------
ELECTRONIC AND COMMUNICATION EQUIPMENT -- 6.2%
Dataram Corporation (c) ........................................ 120,000 3,450,000
------------
ELECTRONIC COMPONENTS -- 11.8%
Advanced Micro Devices, Inc. (c)(d) ............................ 34,000 2,626,500
Micron Technology, Inc. (c)(d) ................................. 45,000 3,962,813
------------
6,589,313
------------
HOUSING -- 3.4%
William Lyon Homes (c) ......................................... 288,300 1,909,988
------------
LEISURE -- 1.6%
Station Casinos, Inc. (c) ...................................... 35,000 875,000
------------
METALS AND MINING -- 4.1%
Inco Limited (c) ............................................... 150,000 2,306,250
------------
OIL -- INDEPENDENT PRODUCTION -- 19.5%
Anadarko Petroleum Corp. ....................................... 40,000 1,972,500
Apache Corporation ............................................. 50,000 2,940,625
Devon Energy Corporation ....................................... 50,000 2,809,375
EOG Resources, Inc. ............................................ 95,000 3,182,500
------------
10,905,000
------------
OIL -- SERVICE -- 6.6%
Tubos de Acero de Mexico, S.A. ADR (b)(e) ...................... 264,000 3,663,000
------------
PAPER PRODUCTS/CONSUMER -- 4.4%
Asia Pulp & Paper Ltd. Sponsored ADR (b)(c) .................... 488,000 2,470,500
------------
STEEL -- 14.7%
Companhia Siderurgica National Sponsored ADR (b)(d) ............ 85,000 2,619,062
Ispat International N.V. ADR (b) ............................... 281,500 2,674,250
Pohang Iron & Steel Co., Ltd. Sponsored ADR (b)(d) ............. 120,000 2,880,000
------------
8,173,312
------------
TELEPHONE -- 5.1%
Telefonos de Mexico, S.A. de C.V. (b)(e) ....................... 50,000 2,856,250
------------
TEXTILE AND APPAREL -- 4.7%
Timberland Company (c) ......................................... 37,000 2,620,062
------------
TOTAL COMMON STOCKS (Identified Cost $46,834,932) ........................ 48,668,675
------------
COMMON STOCK WARRANTS -- 0.0%
Asia Pulp & Paper Company Ltd., Exp. 7/27/00
(Identified Cost $512,400) (c) ............................... 146,400 $ 2,288
------------
SHORT-TERM INVESTMENT -- 0.9%
FACE
AMOUNT
American Express Credit Corporation, 6.88%, 7/03/00 (Cost
$480,000) .................................................... $480,000 480,000
------------
TOTAL INVESTMENTS -- 88.1% (Identified Cost $47,827,332) (f) ................ 49,150,963
Cash, receivables and other assets ....................................... 32,471,841
Liabilities .............................................................. (25,809,667)
------------
TOTAL NET ASSETS -- 100.0% .................................................. $ 55,813,137
============
SECURITIES SOLD SHORT -- 42.2% (PROCEEDS $28,936,053)
SHARES
Amazon.com, Inc. ............................................... 240,000 $ 8,715,000
Commerce One, Inc. ............................................. 25,000 1,134,375
EchoStar Communications Corporation ............................ 40,000 1,324,375
Global Crossing Ltd. ........................................... 150,000 3,946,875
Level 3 Communications, Inc. ................................... 28,000 2,464,000
Nextlink Communications, Inc. .................................. 50,000 1,896,875
Teligent, Inc. ................................................. 80,000 1,890,000
VerticalNet, Inc. .............................................. 30,000 1,108,125
Winstar Communications, Inc. ................................... 32,500 1,100,938
------------
$ 23,580,563
------------

(a) See Note 1A.
(b) An American Depositary Receipt (ADR) is a certificate issued by a U.S. bank representing
the right to receive securities of the foreign issuer described. The values of ADRs are
significantly influenced by trading on exchanges not located in the United States or Canada.
(c) Non-income producing security.
(d) A portion of this security has been segregated as collateral in connection with short sale
investments (See Note 1F).
(e) The Fund has greater than 10% of its net assets at June 30, 2000 invested in ADRs from Mexico.
(f) Federal Tax Information: At June 30, 2000 the net unrealized appreciation
on investments based on cost of $47,827,332 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 ................................... $ 5,941,911
Aggregate gross unrealized depreciation for all investments in which there
is an excess of tax cost over value ................................... (4,618,280)
------------
Net unrealized appreciation ............................................. $ 1,323,631
============
</TABLE>

See accompanying notes to financial statements.
<PAGE>

CGM FOCUS FUND
--------------------------------------------------------------------------------

STATEMENT OF
ASSETS AND LIABILITIES

June 30, 2000
(unaudited)

ASSETS
Investments at value (Identified cost -- $47,827,332) ..... $ 49,150,963
Cash ...................................................... 830
Restricted cash ........................................... 29,605,854
-------------
Receivable for:
Securities sold ......................... $ 2,762,395
Shares of the Fund sold ................. 3,440
Dividends and interest (net of
withholding tax of $2,421) ............ 48,550
Foreign tax reclaim ..................... 11,333 2,825,718
-------------
Unamortized organizational expenses ....................... 39,439
-------------
81,622,804
-------------
LIABILITIES
Securities sold short at current market
value (Proceeds $28,936,053) ........... 23,580,563
Payable for:
Securities purchased .................... 1,963,581
Shares of the Fund redeemed ............. 164,650 25,708,794
----------- -------------
Accrued expenses:
Management fees ......................... 27,276
Trustees' fees .......................... 4,994
Accounting and Administrative fees ...... 1,000
Transfer Agent Fees ..................... 27,212
Other expenses .......................... 40,391 100,873
----------- -------------
25,809,667
-------------
NET ASSETS ................................................. $ 55,813,137
=============
Net Assets consist of:
Capital paid-in .......................................... $ 63,260,194
Undistributed net investment income ...................... 502,708
Accumulated net realized loss ............................ (14,628,885)
Unrealized appreciation on investments -- net ............ 6,679,120
-------------
NET ASSETS ................................................. $ 55,813,137
=============
Shares of beneficial interest outstanding, no par value ... 4,979,902
=============
Net asset value per share* ................................ $11.21
=============

* Shares of the Fund are sold and redeemed at net asset value
($55,813,137 / 4,979,902).

See accompanying notes to financial statements.
<PAGE>

STATEMENT OF OPERATIONS

Six Months Ended June 30, 2000
(unaudited)

INVESTMENT INCOME
Income
Dividends (net of withholding tax of $51,199) ............. $ 367,890
Interest .................................................. 470,860
-------------
838,750
-------------
Expenses
Management fees ........................................... 279,035
Trustees' fees ............................................ 10,500
Accounting and Administration ............................. 6,000
Custodian ................................................. 31,930
Transfer agent ............................................ 87,800
Audit and tax services .................................... 16,630
Legal ..................................................... 3,940
Printing .................................................. 11,380
Registration .............................................. 12,145
Amortization of organization expense ...................... 9,053
Line of credit commitment fee ............................. 12,639
Dividend expense on short sales ........................... 1,200
Miscellaneous ............................................. 960
-------------
483,212
Less expenses assumed by the investment adviser ............ (147,170)
-------------
Net expenses ............................................... 336,042
-------------
Net investment income ...................................... 502,708
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on investments -- net ........................ 8,374,367
Unrealized depreciation -- net ............................. (6,192,628)
-------------
Net gain on investments .................................... 2,181,739
-------------
NET CHANGE IN ASSETS FROM OPERATIONS ........................ $ 2,684,447
=============

See accompanying notes to financial statements.
<PAGE>

<TABLE>
CGM FOCUS FUND
-------------------------------------------------------------------------------------------------

STATEMENT OF CHANGES IN NET ASSETS

<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
------------- -------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ........................................ $ 502,708 $ 185,736
Net realized gain from investments ........................... 8,374,367 374,370
Unrealized appreciation (depreciation) ....................... (6,192,628) 3,966,292
------------- -------------
Change in net assets from operations ....................... 2,684,447 4,526,398
------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ........................................ -- (198,376)
------------- -------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares ................................. 2,276,170 7,202,078
Net asset value of shares issued in connection with
reinvestment of:
Dividends from net investment income ....................... -- 186,419
------------- -------------
2,276,170 7,388,497
Cost of shares redeemed ...................................... (18,023,262) (53,164,412)
------------- -------------
Change in net assets derived from capital share transactions (15,747,092) (45,775,915)
------------- -------------
Total change in net assets ................................... (13,062,645) (41,447,893)

NET ASSETS
Beginning of period .......................................... 68,875,782 110,323,675
------------- -------------
End of period (including undistributed net investment
income of $502,708 and $0, respectively) ................... $ 55,813,137 $ 68,875,782
============= =============
NUMBER OF SHARES OF THE FUND:
Issued from sale of shares ................................... 222,402 751,376
Issued in connection with reinvestment of:
Dividends from net investment income ....................... -- 18,082
------------- -------------
222,402 769,458
Redeemed ..................................................... (1,803,202) (5,571,495)
------------- -------------
Net change ................................................... (1,580,800) (4,802,037)
============= =============

See accompanying notes to financial statements.
</TABLE>
<PAGE>

<TABLE>
CGM FOCUS FUND
--------------------------------------------------------------------------------------------------------------------------------

FINANCIAL HIGHLIGHTS
<CAPTION>
FOR THE PERIOD
SEPTEMBER 3,
SIX MONTHS 1997(a)
ENDED YEAR ENDED DECEMBER 31, THROUGH
JUNE 30, 2000 --------------------------------- DECEMBER 31,
(UNAUDITED) 1999 1998 1997
------------- ------ ------ --------------
<S> <C> <C> <C> <C>
For a share of the Fund outstanding
throughout the period:
Net asset value at the beginning of period $10.50 $ 9.71 $ 9.38 $10.00
------ ------ ------ ------
Net investment income (loss) (b) .......... 0.10 0.03 (0.07)(c) (0.02)(c)
Dividends from net investment income ...... -- (0.03) -- --
Net realized and unrealized gain (loss) on
investments 0.61 0.79 0.40(d) (0.60)
------ ------ ------ ------
Net increase (decrease) in net asset value 0.71 0.79 0.33 (0.62)
------ ------ ------ ------
Net asset value at end of period .......... $11.21 $10.50 $ 9.71 $ 9.38
====== ====== ====== ======
Total Return (%) (e) ...................... 6.8 8.5 3.5 (6.20)(f)
Ratios:
Operating expenses to average net assets(%) 1.20(g)(h) 1.21(h) 1.20 1.20(g)
Operating expenses to average net assets
before expense limitation (%) ........... 1.73(g) 1.55 1.40 1.63(g)
Net income (loss) to average net assets (%) 1.80(g) 0.23 (0.65) (0.83)(g)
Portfolio turnover (%) .................... 525(g) 288 340 330(g)
Net assets at end of period (in thousands)($) 55,813 68,876 110,324 98,786

(a) Commencement of operations.
(b) Net of reimbursement which amounted to $ 0.03 $ 0.04 $ 0.02 $ 0.01
(c) Per share net investment loss does not reflect the period's reclassification of permanent differences between book and tax
basis net investment loss. See note 1D.
(d) The amount shown for a share outstanding does not correspond with the aggregate net gain/(loss) on investments for
the period ended December 31, 1998, due to the timing of purchases and redemptions of fund shares in relation to
fluctuating market values of the investments of the Fund.
(e) The total return would have been lower had certain expenses not been reduced during the period.
(f) Not computed on an annualized basis.
(g) Computed on an annualized basis.
(h) Includes the dividend expense on short sales which are excluded from the voluntary expense limitation of 1.20%. See note 4.

See accompanying notes to financial statements.
</TABLE>
<PAGE>

CGM FOCUS FUND
--------------------------------------------------------------------------------

NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000
(unaudited)

1. The Fund is a non-diversified series of CGM Trust which is organized as a
Massachusetts business trust under the laws of Massachusetts pursuant to an
Agreement and Declaration of Trust. The Trust is registered under the
Investment Company Act of 1940 as an open-end management investment company.
The Trust has four other funds whose financial statements are not presented
herein. Along with one other fund in a separate Trust, there are six CGM funds
(CGM Funds). The Fund's investment objective is long-term growth of capital.
The Fund intends to pursue its objective by investing in a core position of
equity securities. In addition, should the investment outlook of the Fund's
investment manager so warrant, the Fund may engage in a variety of investment
techniques designed to capitalize on declines in the price of specific equity
securities of one or more companies.

B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME -- Security
transactions are accounted for on the trade date (date the order to buy or
sell is executed) and dividend income is recorded on the
ex-dividend date net of applicable taxes. Interest income is recorded on
the accrual basis. Net gain or loss on securities sold is determined on
the identified cost basis.

C. FEDERAL INCOME TAXES -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies, and to distribute to its shareholders all of its taxable income
and net realized capital gains, within the prescribed time period.
Accordingly, no provision for federal income tax has been made. At December
31, 1999 there were capital loss carryovers available to offset future
realized gains of $13,022,258 expiring in the year 2005, $8,539,209 expiring
in the year 2006, and $1,052,753 expiring in the year 2007.

D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions
are recorded by the Fund on the ex-dividend date. The classification of
income and capital gains distributions is determined in accordance with
income tax regulations. Undistributed net investment income, accumulated net
investment loss, or distributions in excess of net investment income may
include temporary book and tax differences, which will reverse in a
subsequent period. Any taxable income or gain remaining at fiscal year end
is distributed in the following year.

E. ORGANIZATION EXPENSE -- Costs incurred in 1997 in connection with the Fund's
organization and registration amounting to $90,771 have been paid by the
Fund. These costs are being amortized over 60 months beginning September 3,
1997.

F. SHORT SALES -- The Fund may sell securities short. A short sale is a
transaction in which the Fund sells a security it does not own in
anticipation that the market price of that security will decline. When the
Fund makes a short sale, it must borrow the security sold short to make
delivery to the buyer. The Fund then is obligated to replace the security
borrowed by purchasing the security at the market price at the time of
replacement. While the short sale is outstanding, the Fund is required to
collateralize its obligations, which has the practical effect of limiting
the extent to which the Fund may engage in short sales. At June 30, 2000 the
market value of securities and cash segregated to cover short positions was
$8,611,174 and $29,605,854, respectively. Securities sold short at June 30,
2000 and their related market values are set forth in the schedule of
investments.

G. INVESTMENT RISK -- There are certain additional risks involved in investing
in foreign securities that are not inherent in investments in domestic
securities. These risks may involve adverse political and economic
developments and the possible imposition of currency exchange blockages or
other foreign governmental laws or restrictions. In addition, the securities
of some foreign companies and securities markets are less liquid and at
times more volatile than securities of comparable U.S. companies and U.S.
securities markets.

2. PURCHASES AND SALES OF SECURITIES -- For the period ended June 30, 2000,
purchases and sales of securities other than United States government
obligations and short-term investments aggregated $215,752,890 and
$255,684,600, respectively. There were no purchases or sales of United States
government obligations.

3. A. MANAGEMENT FEES -- During the period ended June 30, 2000, the Fund
incurred management fees of $279,035, paid or payable to the Fund's
investment adviser, Capital Growth Management Limited Partnership
(CGM), certain officers and directors of which are also officers and
trustees of the Fund. The management agreement provides for a fee at
the annual rate of 1.00% on the first $500 million of the Fund's
average daily net assets, 0.95% of the next $500 million and 0.90% on
amounts in excess of $1 billion. CGM waived a portion of its fee. See
Note 4.

B. OTHER EXPENSES -- CGM performs certain administrative, accounting and
other services for the Fund. The expenses of those services, which are
paid to CGM by the Fund, include the following: (i) expenses for
personnel performing bookkeeping, accounting and financial reporting
functions and clerical functions relating to the Fund; (ii) expenses for
services required in connection with the preparation of registration
statements and prospectuses, shareholder reports and notices, proxy
questionnaires for SEC compliance; and (iii) registration, filing and
other fees in connection with requirements of regulatory authorities.
For the period ended June 30, 2000 these expenses amounted to $6,000 and
are shown separately in the financial statements as Accounting and
Administration.

C. TRUSTEES FEES AND EXPENSES -- The Fund does not pay any compensation
directly to its officers or to any trustees who are directors, officers
or employees of CGM, or any affiliate of CGM, (other than registered
investment companies). Each other trustee is compensated by the six CGM
Funds with an annual fee of $37,000 plus travel expenses for each
meeting attended. Of this amount, each fund was responsible for $3,000
per trustee plus an annual variable fee calculated based on the
proportion of each fund's average net assets relative to the aggregate
average net assets on the CGM Funds, which for the six month period
ended June 30, 2000 was $383 for the Fund.

4. EXPENSE LIMITATION -- Until December 31, 2000 and, thereafter until
further notice to the Fund, CGM has voluntarily agreed to reduce its
management fee and, if necessary, to assume expenses of the Fund in order to
limit the Fund's expenses to an annual rate of 1.20% of average daily net
assets exclusive of any dividend expense incurred on short sales. For the
period ended June 30, 2000, CGM waived $147,170 of its management fee. The
Fund incurred operating expenses of $334,842, representing 1.20% of the
average daily net assets.

5. LINE OF CREDIT -- The Fund has a $20,000,000 committed, secured line of
credit with its custodian bank. Borrowings under the line will be charged
interest at 0.75% over the current Overnight Federal Funds Rate. The Fund will
incur a commitment fee of 0.125% per annum on the unused portion of the line
of credit, payable quarterly. There were no borrowings under the line of
credit during the period ended June 30, 2000.

<PAGE>

CGM
FOCUS FUND

11th Quarterly Report
June 30, 2000

A No-Load Fund

Investment Adviser
[logo] CAPITAL GROWTH MANAGEMENT
Limited Partnership

INVESTMENT ADVISER

CAPITAL GROWTH MANAGEMENT
LIMITED PARTNERSHIP
Boston, Massachusetts 02110

-----------------------------------
TELEPHONE NUMBERS

For information about:
[] Account Procedures and Status

[] Redemptions

[] Exchanges

Call 800-343-5678

[] New Account Procedures

[] Prospectuses

[] Performance

Call 800-345-4048

-----------------------------------
MAILING ADDRESSES

FOR EXISTING ACCOUNTS

Boston Financial Data Services
P.O. Box 8511
Boston, MA 02266-8511

FOR NEW ACCOUNT APPLICATIONS ONLY

The CGM Funds
P.O. Box 449
Boston, MA 02117-0449
-----------------------------------

FFQR2 00 Printed in U.S.A.