Connors Funds
08/07/2026 | Press release | Distributed by Public on 08/07/2026 14:50
Semi-Annual Report by Investment Company (Form N-CSRS)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
| Investment Company Act file number: 811-23742 |
| CONNORS FUNDS |
| (Exact name of registrant as specified in charter) |
| 1210 Broadcasting Road, Suite 200 |
| Wyomissing, Pennsylvania 19610 |
| (Address of principal executive offices) (Zip code) |
| Peter Connors, President |
| c/o Connors Investor Services, Inc. |
| 1210 Broadcasting Road, Suite 200 |
| Wyomissing, Pennsylvania 19610 |
| (Name and address of agent for service) |
| With copy to: Jeffrey T. Skinner, Esq. |
| Kilpatrick Townsend & Stockton LLP |
| 1001 West Fourth Street |
| Winston-Salem, NC 27101 |
| Registrants telephone number, including area code: | (610) 376-7418 |
| Date of fiscal year end: | November 30 |
| Date of reporting period: | May 31, 2026 |
Item 1. Reports to Stockholders.
(a)
Connors Hedged Equity Fund
Institutional Class (CVRDX)
Semi-Annual Shareholder Report - May 31, 2026
Fund Overview
This semi-annual shareholder report contains important information about Connors Hedged Equity Fund (the "Fund") for the period of December 1, 2025 to May 31, 2026. You can find additional information about the Fund at www.connorsinvestor.com/mutual-fund. You can also request this information by contacting us at (833) 601-2676.
What were the Fund's costs for the last six months?
(based on a hypothetical $10,000 investment)
Table Summary
|
Class Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
|
Institutional Class
|
$58
|
1.13%
|
How did the Fund perform during the reporting period?
The market was relatively flat for the first three months of the fiscal year before rallying sharply following a ceasefire with Iran in early April. The Fund gained 6.06% while the S&P 500® Index (the "Index") gained 10.6% for the six-month period ended May 31, 2026. The market remains quite resilient despite higher inflation, geopolitical events and an oil shock that caused oil prices to jump to over $100 per barrel. While the rebound was welcomed, market leadership was narrow with much of the gains driven by semiconductors companies benefiting from continued AI data center investment. The Philadelphia Semiconductor Index was up nearly 88% over the six-month period underscoring the importance of maintaining exposure to long-term secular growth themes while remaining diversified. Ex-semiconductors, the Index gained a more modest 5.7%. While we expect semiconductor demand to remain strong, we believe improving inflation trends and lower energy prices could support market to broader market participation.
In terms of sectors, the market continues to be led by Technology (23%), though Energy (26.4%) was the top performer following the closing of the Strait of Hormuz which supplies 20% of the world's energy. Industrials (13.5%) and Materials (14.4%) were also strong in large part due to datacenter and electrical infrastructure spending. The worst performing sectors were Health Care (-4.3%) and Financials (-2.4%). While we remain constructive on AI and the long-term data center buildout, we believe that the strongest opportunities may become increasingly diversified as market leadership broadens. We believe more economically sensitive sectors such as Financials and Consumer Discretionary outperform in the second half, as moderating inflation and lower oil prices could support consumer spending, travel and overall economic activity.
Premium generation was solid as individual equity implied volatilities remained consistently higher relative to that of the Index particularly during the spike in volatility caused by conflict in the Middle East. Following the rebound we rolled some in-the-money options up to higher strike prices enabling the portfolio to maintain original cost basis, thereby minimizing tax impact, while also allowing for additional upside participation.
Despite the narrow market, we continue to believe that a diversified portfolio can provide better risk-adjusted returns in the long-term. We continue to utilize a balanced approach looking for growth and cyclical stocks that could benefit from lower inflation as well as more defensive stocks to provide ballast during periods of elevated volatility. We remain disciplined by looking to take profits in stocks that appear extended in the near-term and add to positions of undervalued equities to enhance the risk/return characteristics of the overall portfolio.
How has the Fund performed since inception?
Total Return Based on $25,000 Investment
Table Summary
|
Connors Hedged Equity Fund - Institutional Class
|
CBOE S&P 500® BuyWrite Index
|
S&P 500® Index
|
|
|
Jan-2022
|
$25,000
|
$25,000
|
$25,000
|
|
May-2022
|
$24,000
|
$23,592
|
$22,920
|
|
May-2023
|
$24,577
|
$24,466
|
$23,590
|
|
May-2024
|
$29,795
|
$26,732
|
$30,239
|
|
May-2025
|
$32,202
|
$29,217
|
$34,328
|
|
May-2026
|
$37,720
|
$34,739
|
$44,552
|
Average Annual Total Returns
Table Summary
|
1 Year
|
Annualized Since Inception (1/19/2022)
|
|
|
Connors Hedged Equity Fund - Institutional Class
|
17.13%
|
9.89%
|
|
S&P 500® Index
|
29.78%
|
14.16%
|
|
CBOE S&P 500® BuyWrite Index
|
18.90%
|
7.83%
|
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Updated performance information is available on the Fund's website www.connorsinvestor.com/mutual-fund.
Fund Statistics
- Net Assets$65,098,253
- Number of Portfolio Holdings126
- Advisory Fee$146,729
- Portfolio turnover (six months)25%
- Sharpe ratio0.55
- Beta0.67
- Standard Deviation9.90%
Top 10 Holdings (% of net assets)
Table Summary
|
Holding Name
|
% of Net Assets
|
|
Apple, Inc.
|
6.2%
|
|
Alphabet, Inc. - Class A
|
5.3%
|
|
Nvidia Corp.
|
5.0%
|
|
Microsoft Corp.
|
4.6%
|
|
Amazon.com, Inc.
|
4.4%
|
|
Broadcom, Inc.
|
3.2%
|
|
Palo Alto Networks, Inc.
|
3.1%
|
|
Meta Platforms, Inc. - Class A
|
2.5%
|
|
Williams Companies, Inc. (The)
|
2.4%
|
|
JPMorgan Chase & Co.
|
2.2%
|
What did the Fund invest in?
Sector Weighting (% of net assets)
Table Summary
|
Value
|
Value
|
|
Liabilities in Excess of Other Assets
|
-2.0%
|
|
Purchased Options
|
0.5%
|
|
Utilities
|
1.8%
|
|
Money Market
|
3.1%
|
|
Real Estate
|
3.5%
|
|
Energy
|
3.7%
|
|
Consumer Staples
|
4.4%
|
|
Materials
|
5.2%
|
|
Health Care
|
7.8%
|
|
Industrials
|
9.2%
|
|
Communications
|
9.3%
|
|
Consumer Discretionary
|
11.0%
|
|
Financials
|
11.2%
|
|
Technology
|
31.3%
|
Material Fund Changes
No material changes occurred during the period ended May 31, 2026.
Where can I find additional information about the Fund?
Additional information is available on the Fund's website (www.connorsinvestor.com/mutual-fund), including its:
-
Prospectus
-
Financial information
-
Holdings
-
Proxy voting information
Connors Hedged Equity Fund - Institutional Class (CVRDX)
Semi-Annual Shareholder Report - May 31, 2026
TSR-SAR 053126-CVRDX
(b) Not Applicable
Item 2. Code of Ethics.
Not Applicable - disclosed with annual report
Item 3. Audit Committee Financial Expert.
Not Applicable - disclosed with annual report
Item 4. Principal Accountant Fees and Services.
Not Applicable - disclosed with annual report
Item 5. Audit Committee of Listed Registrants.
Not Applicable - disclosed with annual report
Item 6. Investments.
The Registrants schedule of investments in unaffiliated issuers is included in the Financial Statements under Item 7 of this form.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
(a) The registrants Financial Statements are attached herewith.
| Connors Hedged Equity Fund |
| Semi-Annual Financial Statements |
| and Additional Information |
| May 31, 2026 |
| Fund Adviser: |
| Connors Investor Services, Inc. |
| 1210 Broadcasting Road, Suite 200 |
| Wyomissing, PA 19610 |
| Connors Hedged Equity Fund |
| Schedule of Investments |
| May 31, 2026 (Unaudited) |
| COMMON STOCKS - 98.38% | Shares | Fair Value | ||||||
| Communications - 9.31% | ||||||||
| Alphabet, Inc., Class A(a) | 9,045 | $ | 3,440,176 | |||||
| AT&T, Inc. | 40,000 | 992,000 | ||||||
| Meta Platforms, Inc., Class A(a) | 2,575 | 1,628,713 | ||||||
| 6,060,889 | ||||||||
| Consumer Discretionary - 11.02% | ||||||||
| Amazon.com, Inc.(a) (b) | 10,500 | 2,841,720 | ||||||
| Lowes Companies, Inc.(a) | 3,775 | 809,209 | ||||||
| McDonalds Corp.(a) | 2,240 | 625,408 | ||||||
| Tapestry, Inc.(a) | 6,600 | 960,036 | ||||||
| Tesla, Inc.(a) (b) | 1,450 | 631,895 | ||||||
| TJX Companies, Inc. (The)(a) | 8,425 | 1,303,769 | ||||||
| 7,172,037 | ||||||||
| Consumer Staples - 4.40% | ||||||||
| Coca-Cola Co. (The)(a) | 12,835 | 1,014,093 | ||||||
| Procter & Gamble Co. (The)(a) | 5,800 | 832,648 | ||||||
| Walmart, Inc.(a) | 8,800 | 1,018,600 | ||||||
| 2,865,341 | ||||||||
| Energy - 3.72% | ||||||||
| Chevron Corp.(a) | 4,700 | 857,562 | ||||||
| Williams Companies, Inc. (The)(a) | 21,900 | 1,563,441 | ||||||
| 2,421,003 | ||||||||
| Financials - 11.22% | ||||||||
| Cboe Global Markets, Inc.(a) | 2,700 | 900,612 | ||||||
| Charles Schwab Corp. (The) | 7,200 | 628,920 | ||||||
| Chubb Ltd.(a) | 3,370 | 1,050,530 | ||||||
| JPMorgan Chase & Co.(a) | 4,865 | 1,456,143 | ||||||
| Morgan Stanley(a) | 6,500 | 1,352,000 | ||||||
| Visa, Inc., Class A(a) | 2,935 | 957,867 | ||||||
| Wells Fargo & Co.(a) | 12,335 | 956,456 | ||||||
| 7,302,528 | ||||||||
| Health Care - 7.82% | ||||||||
| AbbVie, Inc.(a) | 5,710 | 1,243,181 | ||||||
| Eli Lilly & Co.(a) | 1,240 | 1,370,200 | ||||||
| Johnson & Johnson | 3,800 | 856,254 | ||||||
| Stryker Corp. | 2,810 | 857,303 | ||||||
| UnitedHealth Group, Inc.(a) | 2,000 | 760,620 | ||||||
| 5,087,558 | ||||||||
| Industrials - 9.17% | ||||||||
| Boeing Co. (The)(a) (b) | 3,500 | 809,025 | ||||||
| Caterpillar, Inc.(a) | 1,145 | 1,002,871 | ||||||
| Eaton Corp. PLC(a) | 3,375 | 1,352,025 | ||||||
| Quanta Services, Inc.(a) | 1,330 | 946,601 | ||||||
| RTX Corp.(a) | 6,000 | 1,077,960 | ||||||
| Waste Management, Inc | 3,700 | 782,402 | ||||||
| 5,970,884 | ||||||||
See accompanying notes which are an integral part of these financial statements.
1
| Connors Hedged Equity Fund |
| Schedule of Investments (continued) |
| May 31, 2026 (Unaudited) |
| COMMON STOCKS - 98.38% - continued | Shares | Fair Value | ||||||
| Materials - 5.20% | ||||||||
| DuPont de Nemours, Inc.(a) | 13,800 | $ | 668,196 | |||||
| Linde PLC(a) | 2,705 | 1,346,252 | ||||||
| Qnity Electronics, Inc.(a) | 8,800 | 1,372,800 | ||||||
| 3,387,248 | ||||||||
| Real Estate - 3.47% | ||||||||
| Prologis, Inc.(a) | 6,800 | 975,596 | ||||||
| Welltower, Inc.(a) | 6,250 | 1,283,313 | ||||||
| 2,258,909 | ||||||||
| Technology - 31.24% | ||||||||
| Apple, Inc.(a) | 12,870 | 4,016,212 | ||||||
| Arista Networks, Inc.(b) | 6,000 | 956,820 | ||||||
| ASML Holding N.V. - ADR(a) | 650 | 1,048,294 | ||||||
| Broadcom, Inc.(a) | 4,700 | 2,099,819 | ||||||
| Cisco Systems, Inc.(a) | 7,575 | 912,182 | ||||||
| International Business Machines Corp.(a) | 2,900 | 863,620 | ||||||
| Microsoft Corp.(a) | 6,700 | 3,016,608 | ||||||
| Nvidia Corp.(a) | 15,525 | 3,277,948 | ||||||
| Palo Alto Networks, Inc.(a) (b) | 7,250 | 2,042,252 | ||||||
| Salesforce, Inc. | 4,550 | 869,505 | ||||||
| Taiwan Semiconductor Manufacturing Company, Ltd. - ADR(a) | 2,950 | 1,234,428 | ||||||
| 20,337,688 | ||||||||
| Utilities - 1.81% | ||||||||
| Duke Energy Corp.(a) | 9,625 | 1,181,276 | ||||||
| Total Common Stocks (Cost $46,730,011) | 64,045,361 | |||||||
| Number of | Notional | Exercise | Expiration | |||||||||||||
| Description | Contracts | Amount | Price | Date | Fair Value | |||||||||||
| PURCHASED CALL OPTIONS - 0.35% | ||||||||||||||||
| iShares Expanded Tech-Software Sector ETF | 25 | $ | 254,150 | $ | 97.00 | August 2026 | $ | 24,625 | ||||||||
| iShares Expanded Tech-Software Sector ETF | 50 | 508,300 | 98.00 | August 2026 | 45,750 | |||||||||||
| Nvidia Corp. | 70 | 1,477,980 | 230.00 | December 2026 | 155,925 | |||||||||||
| Total Purchased Call Options (Cost $223,905) | 226,300 | |||||||||||||||
| PURCHASED PUT OPTIONS - 0.14% | ||||||||||||||||
| S&P 500 Index | 7 | 5,306,042 | 6,900.00 | June 2026 | 3,745 | |||||||||||
| S&P 500 Index | 10 | 7,580,060 | 7,000.00 | July 2026 | 29,750 | |||||||||||
| S&P 500 Index | 7 | 5,306,042 | 7,100.00 | July 2026 | 25,970 | |||||||||||
| S&P 500 Index | 5 | 4,790,030 | 7,300.00 | July 2026 | 30,225 | |||||||||||
| Total Purchased Put Options (Cost $357,058) | 89,690 | |||||||||||||||
| Total Purchased Options (Cost $580,963) | 315,990 | |||||||||||||||
See accompanying notes which are an integral part of these financial statements.
2
| Connors Hedged Equity Fund |
| Schedule of Investments (continued) |
| May 31, 2026 (Unaudited) |
| MONEY MARKET FUNDS - 3.11% | Shares | Fair Value | ||||||
| First American Government Obligations Fund - Class X, 3.55% (c) | 2,026,185 | $ | 2,026,185 | |||||
| Total Money Market Funds (Cost $2,026,185) | 2,026,185 | |||||||
| Total Investments - 101.98% (Cost $49,337,159) | 66,387,536 | |||||||
| Liabilities in Excess of Other Assets - (1.98)% | (1,289,283 | ) | ||||||
| NET ASSETS - 100.00% | $ | 65,098,253 | ||||||
| (a) | All or a portion of the security is held as collateral for written options. |
| (b) | Non-income producing security. |
| (c) | Rate disclosed is the seven day effective yield as of May 31, 2026. |
| ADR | - American Depositary Receipt |
| ETF | - Exchange-Traded Fund |
See accompanying notes which are an integral part of these financial statements
3
| Connors Hedged Equity Fund |
| Schedule of Open Written Option Contracts |
| May 31, 2026 (Unaudited) |
| Number of | Notional | Exercise | ||||||||||||||
| Description | Contracts | Amount | Price | Expiration Date | Fair Value | |||||||||||
| WRITTEN OPTIONS (1.30)% | ||||||||||||||||
| WRITTEN CALL OPTIONS (1.25)% | ||||||||||||||||
| AbbVie, Inc. | (35) | $ | (762,020 | ) | $ | 240.00 | August 2026 | $ | (14,087 | ) | ||||||
| Alphabet, Inc., Class A | (32) | (1,217,088 | ) | 440.00 | September 2026 | (35,440 | ) | |||||||||
| Amazon.com, Inc. | (60) | (1,623,840 | ) | 250.00 | June 2026 | (134,999 | ) | |||||||||
| Apple, Inc. | (10) | (312,060 | ) | 285.00 | June 2026 | (28,175 | ) | |||||||||
| Apple, Inc. | (43) | (1,341,858 | ) | 320.00 | July 2026 | (29,885 | ) | |||||||||
| Arista Networks, Inc. | (15) | (239,205 | ) | 210.00 | August 2026 | (7,238 | ) | |||||||||
| ASML Holding N.V. - ADR | (1) | (161,276 | ) | 1,840.00 | July 2026 | (5,065 | ) | |||||||||
| Boeing Co. (The) | (18) | (416,070 | ) | 235.00 | June 2026 | (10,530 | ) | |||||||||
| Broadcom, Inc. | (17) | (759,509 | ) | 490.00 | August 2026 | (52,529 | ) | |||||||||
| Caterpillar, Inc. | (3) | (262,761 | ) | 900.00 | June 2026 | (6,338 | ) | |||||||||
| Caterpillar, Inc. | (5) | (437,935 | ) | 1,040.00 | August 2026 | (10,387 | ) | |||||||||
| Cboe Global Markets, Inc. | (2) | (66,712 | ) | 280.00 | June 2026 | (10,800 | ) | |||||||||
| Cboe Global Markets, Inc. | (15) | (500,340 | ) | 310.00 | June 2026 | (37,424 | ) | |||||||||
| Chevron Corp. | (20) | (364,920 | ) | 200.00 | June 2026 | (1,050 | ) | |||||||||
| Chevron Corp. | (5) | (91,230 | ) | 210.00 | June 2026 | (95 | ) | |||||||||
| Chevron Corp. | (3) | (54,738 | ) | 210.00 | August 2026 | (666 | ) | |||||||||
| Chubb Ltd. | (17) | (529,941 | ) | 360.00 | August 2026 | (2,125 | ) | |||||||||
| Cisco Systems, Inc. | (20) | (240,840 | ) | 130.00 | July 2026 | (5,780 | ) | |||||||||
| Cisco Systems, Inc. | (12) | (144,504 | ) | 155.00 | August 2026 | (2,076 | ) | |||||||||
| Coca-Cola Co. (The) | (65) | (513,565 | ) | 82.50 | June 2026 | (1,593 | ) | |||||||||
| Coca-Cola Co. (The) | (10) | (79,010 | ) | 87.50 | August 2026 | (585 | ) | |||||||||
| Duke Energy Corp. | (8) | (98,184 | ) | 135.00 | June 2026 | (80 | ) | |||||||||
| Duke Energy Corp. | (45) | (552,285 | ) | 140.00 | July 2026 | (900 | ) | |||||||||
| DuPont de Nemours, Inc. | (70) | (338,940 | ) | 57.50 | June 2026 | (3,850 | ) | |||||||||
| Eaton Corp. PLC | (10) | (400,600 | ) | 470.00 | July 2026 | (3,850 | ) | |||||||||
| Eli Lilly & Co. | (7) | (773,500 | ) | 1,040.00 | June 2026 | (54,599 | ) | |||||||||
| International Business Machines Corp. | (15) | (446,700 | ) | 335.00 | August 2026 | (25,538 | ) | |||||||||
| Johnson & Johnson | (20) | (450,660 | ) | 250.00 | August 2026 | (4,900 | ) | |||||||||
| JPMorgan Chase & Co. | (25) | (748,275 | ) | 335.00 | June 2026 | (450 | ) | |||||||||
| JPMorgan Chase & Co. | (5) | (149,655 | ) | 340.00 | August 2026 | (1,418 | ) | |||||||||
| Linde PLC | (16) | (796,304 | ) | 520.00 | June 2026 | (4,960 | ) | |||||||||
| Lowes Companies, Inc. | (11) | (235,796 | ) | 270.00 | June 2026 | (303 | ) | |||||||||
| McDonalds Corp. | (7) | (195,440 | ) | 335.00 | June 2026 | (46 | ) | |||||||||
| Meta Platforms, Inc., Class A | (14) | (885,514 | ) | 750.00 | June 2026 | (1,925 | ) | |||||||||
| Microsoft Corp. | (7) | (315,168 | ) | 500.00 | June 2026 | (1,166 | ) | |||||||||
| Morgan Stanley | (35) | (728,000 | ) | 210.00 | June 2026 | (16,363 | ) | |||||||||
| Morgan Stanley | (4) | (83,200 | ) | 210.00 | July 2026 | (3,500 | ) | |||||||||
| Nvidia Corp. | (20) | (422,280 | ) | 250.00 | July 2026 | (5,560 | ) | |||||||||
| Nvidia Corp. | (14) | (295,596 | ) | 270.00 | August 2026 | (4,480 | ) | |||||||||
| Nvidia Corp. | (20) | (422,280 | ) | 280.00 | December 2026 | (20,300 | ) | |||||||||
| Palo Alto Networks, Inc. | (20) | (563,380 | ) | 200.00 | June 2026 | (164,249 | ) | |||||||||
| Procter & Gamble Co. (The) | (20) | (287,120 | ) | 160.00 | June 2026 | (310 | ) | |||||||||
| Procter & Gamble Co. (The) | (5) | (71,780 | ) | 160.00 | July 2026 | (328 | ) | |||||||||
| Prologis, Inc. | (30) | (430,410 | ) | 155.00 | August 2026 | (7,500 | ) | |||||||||
See accompanying notes which are an integral part of these financial statements.
4
| Connors Hedged Equity Fund |
| Schedule of Open Written Option Contracts (continued) |
| May 31, 2026 (Unaudited) |
| Number of | Notional | Exercise | ||||||||||||||
| Description | Contracts | Amount | Price | Expiration Date | Fair Value | |||||||||||
| WRITTEN OPTIONS (1.30)% (continued) | ||||||||||||||||
| WRITTEN CALL OPTIONS (1.25)% (continued) | ||||||||||||||||
| Qnity Electronics, Inc. | (10) | $ | (156,000 | ) | $ | 130.00 | June 2026 | $ | (27,550 | ) | ||||||
| Qnity Electronics, Inc. | (30) | (468,000 | ) | 195.00 | August 2026 | (21,900 | ) | |||||||||
| Qnity Electronics, Inc. | (7) | (109,200 | ) | 185.00 | September 2026 | (9,065 | ) | |||||||||
| Quanta Services, Inc. | (3) | (213,519 | ) | 840.00 | July 2026 | (3,450 | ) | |||||||||
| RTX Corp. | (20) | (359,320 | ) | 230.00 | June 2026 | (150 | ) | |||||||||
| RTX Corp. | (15) | (269,490 | ) | 200.00 | August 2026 | (5,550 | ) | |||||||||
| Taiwan Semiconductor Manufacturing Company Ltd. - ADR | (6) | (251,070 | ) | 470.00 | June 2026 | (2,145 | ) | |||||||||
| Taiwan Semiconductor Manufacturing Company Ltd. - ADR | (2) | (83,690 | ) | 480.00 | July 2026 | (2,005 | ) | |||||||||
| Tapestry, Inc. | (23) | (334,558 | ) | 175.00 | June 2026 | (1,104 | ) | |||||||||
| Tapestry, Inc. | (10) | (145,460 | ) | 175.00 | August 2026 | (3,025 | ) | |||||||||
| Tesla, Inc. | (2) | (87,158 | ) | 450.00 | June 2026 | (2,335 | ) | |||||||||
| TJX Companies, Inc. (The) | (50) | (773,750 | ) | 175.00 | June 2026 | (625 | ) | |||||||||
| UnitedHealth Group, Inc. | (5) | (190,155 | ) | 440.00 | July 2026 | (790 | ) | |||||||||
| Visa, Inc., Class A | (17) | (554,812 | ) | 370.00 | August 2026 | (4,854 | ) | |||||||||
| Walmart, Inc. | (45) | (520,875 | ) | 135.00 | June 2026 | (608 | ) | |||||||||
| Walmart, Inc. | (5) | (57,875 | ) | 145.00 | June 2026 | (50 | ) | |||||||||
| Waste Management, Inc. | (25) | (528,650 | ) | 250.00 | July 2026 | (688 | ) | |||||||||
| Wells Fargo & Co. | (12) | (93,048 | ) | 95.00 | June 2026 | (60 | ) | |||||||||
| Welltower, Inc. | (35) | (718,655 | ) | 230.00 | June 2026 | (1,575 | ) | |||||||||
| Williams Companies, Inc. (The) | (100) | (713,900 | ) | 75.00 | June 2026 | (4,500 | ) | |||||||||
| Williams Companies, Inc. (The) | (30) | (214,170 | ) | 80.00 | August 2026 | (2,700 | ) | |||||||||
| Total Written Call Options (Premiums Received $565,304) | (818,171 | ) | ||||||||||||||
| WRITTEN PUT OPTIONS (0.05)% | ||||||||||||||||
| S&P 500 Index | (7) | (5,306,042 | ) | 6,300.00 | June 2026 | (1,330 | ) | |||||||||
| S&P 500 Index | (10) | (7,580,060 | ) | 6,400.00 | July 2026 | (10,300 | ) | |||||||||
| S&P 500 Index | (7) | (5,305,042 | ) | 6,500.00 | July 2026 | (8,365 | ) | |||||||||
| S&P 500 Index | (5) | (3,790,030 | ) | 6,800.00 | July 2026 | (9,950 | ) | |||||||||
| Total Written Put Options (Premiums Received $129,509) | (29,945 | ) | ||||||||||||||
| Total Written Options (Premiums Received $694,812) | $ | (848,116 | ) | |||||||||||||
See accompanying notes which are an integral part of these financial statements.
5
| Connors Hedged Equity Fund |
| Statement of Assets and Liabilities |
| May 31, 2026 (Unaudited) |
| Assets | ||||
| Investments in securities at fair value (cost $49,337,159) | $ | 66,387,536 | ||
| Receivable for fund shares sold | 797 | |||
| Receivable for investments sold | 13,905 | |||
| Dividends receivable | 62,372 | |||
| Prepaid expenses | 40,053 | |||
| Total Assets | 66,504,663 | |||
| Liabilities | ||||
| Written options, at fair value (premium received $694,813) | 848,116 | |||
| Payable for investments purchased | 476,405 | |||
| Payable to Adviser (Note 4) | 27,906 | |||
| Payable to Administrator | 15,688 | |||
| Payable to trustees | 3,730 | |||
| Other accrued expenses | 34,565 | |||
| Total Liabilities | 1,406,410 | |||
| Net Assets | $ | 65,098,253 | ||
| Net Assets consist of: | ||||
| Paid-in capital | $ | 49,454,432 | ||
| Accumulated earnings | 15,643,821 | |||
| Net Assets | $ | 65,098,253 | ||
| Institutional Class | ||||
| Shares outstanding (unlimited number of shares authorized, no par value) | 4,444,471 | |||
| Net asset value, offering and redemption price per share | $ | 14.65 | ||
See accompanying notes which are an integral part of these financial statements.
6
| Connors Hedged Equity Fund |
| Statement of Operations |
| For the Period Ended May 31, 2026 (Unaudited) |
| Investment Income | ||||
| Dividend income | $ | 427,451 | ||
| Total investment income | 427,451 | |||
| Expenses | ||||
| Investment Adviser fees | 239,768 | |||
| Administration fees | 44,100 | |||
| Legal fees | 25,123 | |||
| Administrative service plan fees | 22,998 | |||
| Registration expenses | 20,329 | |||
| Compliance fees | 16,526 | |||
| Transfer agent fees | 11,868 | |||
| Audit and tax preparation fees | 9,118 | |||
| Trustee fees | 7,480 | |||
| Printing and postage expenses | 5,376 | |||
| Custodian fees | 4,327 | |||
| Miscellaneous expense | 23,819 | |||
| Total expenses | 430,832 | |||
| Fees contractually waived and expenses reimbursed by Adviser | (93,039 | ) | ||
| Net operating expenses | 337,793 | |||
| Net investment income | 89,658 | |||
| Net Realized and Change in Unrealized Gain (Loss) on Investments | ||||
| Net realized gain (loss) on: | ||||
| Investment securities | 1,063,624 | |||
| Written options | 280,071 | |||
| Purchased options | (1,040,331 | ) | ||
| Net change in unrealized appreciation (depreciation) on: | ||||
| Investment securities | 3,419,447 | |||
| Written options | (68,951 | ) | ||
| Purchased options | (103,788 | ) | ||
| Net realized and change in unrealized gain on investment securities and options | 3,550,072 | |||
| Net increase in net assets resulting from operations | $ | 3,639,730 | ||
See accompanying notes which are an integral part of these financial statements.
7
| Connors Hedged Equity Fund |
| Statements of Changes in Net Assets |
| For the | ||||||||
| For the Six | Year Ended | |||||||
| Months Ended | November 30, | |||||||
| May 31, 2026 | 2025 | |||||||
| (Unaudited) | ||||||||
| Increase (Decrease) in Net Assets due to: | ||||||||
| Operations | ||||||||
| Net investment income | $ | 89,658 | $ | 197,504 | ||||
| Net realized gain (loss) on investment securities and options | 303,364 | (1,340,691 | ) | |||||
| Net change in unrealized appreciation of investment securities and options | 3,246,708 | 4,889,913 | ||||||
| Net increase in net assets resulting from operations | 3,639,730 | 3,746,726 | ||||||
| Distributions to shareholders from Earnings | (197,167 | ) | (631,492 | ) | ||||
| Total distributions | (197,167 | ) | (631,492 | ) | ||||
| Capital Transactions - Institutional Class: | ||||||||
| Proceeds from shares sold | 6,688,679 | 15,676,407 | ||||||
| Reinvestment of distributions | 197,020 | 631,492 | ||||||
| Amount paid for shares redeemed | (2,474,420 | ) | (3,071,372 | ) | ||||
| Net increase in net assets resulting from capital transactions | 4,411,279 | 13,236,527 | ||||||
| Total Increase in Net Assets | 7,853,842 | 16,351,761 | ||||||
| Net Assets | ||||||||
| Beginning of period | 57,244,411 | 40,892,650 | ||||||
| End of period | $ | 65,098,253 | $ | 57,244,411 | ||||
| Share Transactions - Institutional Class: | ||||||||
| Shares sold | 480,219 | 1,198,514 | ||||||
| Shares issued in reinvestment of distributions | 14,164 | 49,920 | ||||||
| Shares redeemed | (178,889 | ) | (233,595 | ) | ||||
| Net increase in shares | 315,494 | 1,014,839 | ||||||
See accompanying notes which are an integral part of these financial statements.
8
| Connors Hedged Equity Fund - Institutional Class |
| Financial Highlights |
(For a share outstanding during each period)
| For the Six | For the | |||||||||||||||||||
| Months | Period | |||||||||||||||||||
| Ended | Ended | |||||||||||||||||||
| May 31, 2026 | For the Years Ended November 30, | November | ||||||||||||||||||
| (Unaudited) | 2025 | 2024 | 2023 | 30, 2022(a) | ||||||||||||||||
| Selected Per Share Data: | ||||||||||||||||||||
| Net asset value, beginning of period | $ | 13.86 | $ | 13.13 | $ | 10.52 | $ | 9.86 | $ | 10.00 | ||||||||||
| Investment operations: | ||||||||||||||||||||
| Net investment income | 0.02 | 0.04 | 0.05 | 0.07 | 0.05 | |||||||||||||||
| Net realized and unrealized gain (loss) | 0.82 | 0.87 | 2.63 | 0.64 | (0.19 | ) | ||||||||||||||
| Total from investment operations | 0.84 | 0.91 | 2.68 | 0.71 | (0.14 | ) | ||||||||||||||
| Less distributions to shareholders from: | ||||||||||||||||||||
| Net investment income | (0.05 | ) | (0.04 | ) | (0.07 | ) | (0.05 | ) | - | |||||||||||
| Net realized gains | - | (0.14 | ) | - | - | - | ||||||||||||||
| Total distributions | (0.05 | ) | (0.18 | ) | (0.07 | ) | (0.05 | ) | - | |||||||||||
| Net asset value, end of period | $ | 14.65 | $ | 13.86 | $ | 13.13 | $ | 10.52 | $ | 9.86 | ||||||||||
| Total Return(b) | 6.06 | % (c) | 7.09 | % | 25.62 | % | 7.25 | % | (1.40 | )% (c) | ||||||||||
| Ratios and Supplemental Data: | ||||||||||||||||||||
| Net assets, end of period (000 omitted) | $ | 65,098 | $ | 57,244 | $ | 40,893 | $ | 25,248 | $ | 14,987 | ||||||||||
| Ratio of net expenses to average net assets | 1.13 | % (d) | 1.10 | % | 1.12 | % | 1.15 | % | 1.15 | % (d) | ||||||||||
| Ratio of expenses to average net assets before waiver and reimbursement | 1.44 | % (d) | 1.52 | % | 1.74 | % | 2.32 | % | 4.05 | % (d) | ||||||||||
| Ratio of net investment income to average net assets | 0.30 | % (d) | 0.40 | % | 0.47 | % | 0.87 | % | 0.84 | % (d) | ||||||||||
| Portfolio turnover rate | 25 | % (c) | 38 | % | 48 | % | 52 | % | 30 | % (c) | ||||||||||
| (a) | For the period January 19, 2022 (commencement of operations) to November 30, 2022. |
| (b) | Total return represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of distributions. |
| (c) | Not annualized. |
| (d) | Annualized. |
See accompanying notes which are an integral part of these financial statements
9
|
Connors Hedged Equity Fund Notes to the Financial Statements |
| May 31, 2026 (Unaudited) |
NOTE 1. ORGANIZATION
The Connors Hedged Equity Fund (the Fund) is a diversified series of Connors Funds (the Trust), which is registered under the Investment Company Act of 1940, as amended (1940 Act) as an open-end management investment company. The Trust was organized as a Delaware statutory trust on September 15, 2021. The Fund currently offers one class of shares: Institutional Shares. The Fund commenced investment operations on January 19, 2022. The Funds investment adviser is Connors Investor Services, Inc. (the Adviser). The investment objective of the Fund is to seek to achieve capital appreciation and secondarily income generation, with lower volatility than U.S. equity markets.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The Fund has adopted Financial Accounting Standards Board (FASB) Accounting Standards Updated 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures. Adoption of the standard impacted financial statement disclosure only and did not affect the Funds financial position or the results of its operations. An operating segment is defined in Topic 280 as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entitys chief operating decision maker (CODM) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Funds CODM is the President and Principal Executive Officer of the Trust. The Fund operates as a single operating segment. The Funds income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of the Fund, using the information presented in the financial statements and financial highlights.
The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services-Investment Companies. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America (GAAP).
Estimates - The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
10
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
Federal Income Taxes - The Fund makes no provision for federal income or excise tax. The Fund has qualified and intends to qualify each year as a regulated investment company (RIC) under subchapter M of the Internal Revenue Code of 1986, as amended, by complying with the requirements applicable to RICs and by distributing substantially all of its taxable income. The Fund also intends to distribute sufficient net investment income and net realized capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. If the required amount of net investment income or gains is not distributed, the Fund could incur a tax expense.
As of and during the six months ended May 31, 2026, the Fund did not have any liabilities for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations when incurred. During the six months ended May 31, 2026, the Fund did not incur any interest or penalties. Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last three tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Security Transactions and Related Income - The Fund follows industry practice and records security transactions on the trade date for financial reporting purposes. The specific identification method is used for determining gains or losses for financial statement and income tax purposes. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Non-cash income, if any, is recorded at the fair market value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Funds understanding of the applicable countrys tax rules and rates.
Dividends and Distributions - The Fund intends to distribute its net investment income and net realized long-term and short-term capital gains, if any, at least annually. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The treatment for financial reporting purposes of distributions made to shareholders during the period from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of the recognition of certain components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified among the components of net assets based on their ultimate characterization for federal income tax purposes. Any such reclassifications will have no effect on net assets, results of operations or net asset value (NAV) per share of the Fund.
11
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
Options Contracts - The Fund may purchase and sell put and call options. A call option gives a holder the right to purchase a specific security or an index at a specified price (exercise price) within a specified period of time. A put option gives a holder the right to sell a specific security or an index at a specified price within a specified period of time. The initial purchaser of a call option pays the writer, i.e., the party selling the option, a premium which is paid at the time of purchase and is retained by the writer whether or not such option is exercised. The Fund may purchase put options to hedge its portfolio against the risk of a decline in the market value of securities held and may purchase call options to hedge against an increase in the price of securities it is committed to purchase. The Fund may write put and call options along with a long position in options to increase its ability to hedge against a change in the market value of the securities it holds or is committed to purchase.
Options may relate to particular securities and may or may not be listed on a national securities exchange and issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options on particular securities may be more volatile than the underlying securities, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying securities themselves. Refer to the Funds Schedule of Investments for details regarding open option contracts as of May 31, 2026. The amount of realized gain (loss) on Purchased and Written Options is presented on the Statement of Operations as Net Realized Gain (Loss) on Purchased and Written Options The change in the net fair value of the Purchased and Written Options is included in the Statement of Operations as Net Change in Unrealized Appreciation (Depreciation) on Purchased and Written Options.
Derivative Transactions - The following tables identify the location and fair value of derivative instruments on the Statement of Assets and Liabilities as of May 31, 2026 and the effect of derivative instruments on the Statement of Operations for the six months ended May 31, 2026.
| Location of Derivatives on Statement of Assets and Liabilities | ||||||||
| Derivatives | Asset Derivatives | Liability Derivatives | Fair Value | |||||
| Equity Price Risk: | ||||||||
| Purchased Options | Investments in securities at fair value | $ | 315,990 | |||||
| Written Options | Written options, at fair value | (848,116 | ) | |||||
12
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
For the six months ended May 31, 2026:
| Change in Unrealized | ||||||||||
| Location of Gain (Loss) on | Realized Gain | Appreciation | ||||||||
| Derivatives on Statement of | (Loss) on | (Depreciation) on | ||||||||
| Derivatives | Operations | Derivatives | Derivatives | |||||||
| Equity Price Risk: | ||||||||||
| Purchased options | Net realized gain (loss) and change in unrealized appreciation (depreciation) on purchased options | $ | (1,040,331 | ) | $ | (103,788 | ) | |||
| Written options | Net realized gain (loss) and change in unrealized appreciation (depreciation) on written options | 280,071 | (68,951 | ) | ||||||
The following table summarizes the average ending monthly fair value of derivatives outstanding during the six months ended May 31, 2026:
| Average Ending Monthly | ||||
| Derivatives | Fair Value(a) | |||
| Purchased Options | $ | 336,598 | ||
| Written Options | (708,649 | ) | ||
| (a) | Average based on the 6 months during the period that had activity. |
The following table provides a summary of offsetting financial liabilities and derivatives and the effect of derivative instruments on the Statement of Assets and Liabilities as of May 31, 2026:
| Gross Amounts Not Offset | ||||||||||||||||||||||||
| in Statement of Assets and | ||||||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||||
| Net Amounts | ||||||||||||||||||||||||
| Gross Amounts | of Liabilities | |||||||||||||||||||||||
| Gross | Offset in | Presented in | ||||||||||||||||||||||
| Amounts of | Statement of | Statement of | ||||||||||||||||||||||
| Recognized | Assets and | Assets and | Financial | Collateral | Net | |||||||||||||||||||
| Liabilities | liabilities | Liabilities | Instruments | Pledged | Amount | |||||||||||||||||||
| Written Options | $ | 848,116 | $ | - | $ | 848,116 | $ | (848,116 | ) | $ | - | $ | - | |||||||||||
NOTE 3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS
The Fund values its portfolio securities at fair value as of the close of regular trading on the New York Stock Exchange (NYSE) (normally 4:00 p.m. Eastern Time) on each business day the NYSE is open for business. Fair value is defined as the price that the Fund
13
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
would receive upon selling an investment or transferring a liability in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.
Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or the risk inherent in the inputs to the valuation technique). Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained and available from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Various inputs are used in determining the value of the Funds investments. These inputs are summarized in the three broad levels listed below.
| ● | Level 1 - unadjusted quoted prices in active markets for identical investments and/or registered investment companies where the value per share is determined and published and is the basis for current transactions for identical assets or liabilities at the valuation date |
| ● | Level 2 - other significant observable inputs (including, but not limited to, quoted prices for an identical security in an inactive market, quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| ● | Level 3 - significant unobservable inputs (including the Funds own assumptions in determining fair value of investments based on the best information available) |
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy which is reported is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Equity securities that are traded on any stock exchange are generally valued at the last quoted sale price on the securitys primary exchange. Lacking a last sale price, an exchange-traded security is generally valued at the mean between the most recent quoted bid and ask prices. Securities traded in the Nasdaq over-the-counter market are generally valued at the Nasdaq Official Closing Price. When using market quotations and when
14
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
the market is considered active, the security is classified as a Level 1 security. In the event that market quotations are not readily available or are considered unreliable due to market or other events, securities are valued in good faith by the Adviser as Valuation Designee under the oversight of the Board. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Advisers fair valuation determinations will be reviewed by the Board. Under these policies, the securities will be classified as Level 2 or 3 within the fair value hierarchy, depending on the inputs used.
Investments in mutual funds, including money market mutual funds, are generally priced at the ending NAV as reported by the underlying fund companies. These securities are categorized as Level 1 securities.
Option contracts are generally traded on an exchange and are valued at the composite price, using the National Best Bid and Offer quotes (NBBO). NBBO consists of the highest bid price and lowest ask price across any of the exchanges on which an option is quoted, thus providing a view across the entire U.S. options marketplace. Composite option pricing calculates the mean of the highest bid price and lowest ask price across the exchanges where the option is traded. Expiring options may be priced at intrinsic value.
For options where market quotations are not readily available, fair value shall be determined by the Adviser. Generally, if market quotations are not readily available and the bid price or ask price is not available and, therefore, an option cannot be valued at the composite price, options may be valued at their last quoted sales price.
If the Fund decides that a price provided by the pricing service does not accurately reflect the fair value of the securities, when prices are not readily available from a pricing service, or when restricted or illiquid securities are being valued, securities are valued at fair value as determined by the Adviser, in conformity with policies adopted by the Board. These securities will generally be categorized as Level 2 or 3 within the fair value hierarchy, depending on the inputs used.
In accordance with the Trusts valuation policies and fair value determinations pursuant to Rule 2a-5 under the 1940 Act, the Valuation Designee is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable as described above. No single method exists for determining fair value because fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of a security being valued by the Valuation
15
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
Designee would be the amount that the Fund might reasonably expect to receive upon the current sale. Methods that are in accordance with this principle may, for example, be based on (i) a multiple of earnings; (ii) a discount from market prices of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (iii) yield to maturity with respect to debt issues, or a combination of these and other methods. Fair-value pricing is permitted if, in the Valuation Designees opinion, the validity of market quotations appears to be questionable based on factors such as evidence of a thin market in the security based on a small number of quotations, a significant event occurs after the close of a market but before the Funds NAV calculation that may affect a securitys value, or the Valuation Designee is aware of any other data that calls into question the reliability of market quotations. The Valuation Designee may obtain assistance from others in fulfilling its duties. For example, it may seek assistance from pricing services, fund administrators, sub-advisers, accountants, or counsel; it may also consult the Trusts Fair Value Committee. The Valuation Designee, however, remains responsible for the final fair value determination and may not designate or assign that responsibility to any third party.
The following is a summary of the inputs used to value the Funds investments as of May 31, 2026:
| Valuation Inputs | ||||||||||||||||
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks (a) | $ | 64,045,361 | $ | - | $ | - | $ | 64,045,361 | ||||||||
| Purchased Call Options | - | 226,300 | - | 226,300 | ||||||||||||
| Purchased Put Options | - | 89,690 | - | 89,690 | ||||||||||||
| Money Market Funds | 2,026,185 | - | - | 2,026,185 | ||||||||||||
| Total | $ | 66,071,546 | $ | 315,990 | $ | - | $ | 66,387,536 | ||||||||
| Valuation Inputs | ||||||||||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Call Options | $ | - | $ | (818,171 | ) | $ | - | $ | (818,171 | ) | ||||||
| Written Put Options | - | (29,945 | ) | - | (29,945 | ) | ||||||||||
| Total | $ | - | $ | (848,116 | ) | $ | - | $ | (848,116 | ) | ||||||
| (a) | Refer to Schedule of Investments for sector classifications. |
The Fund did not hold any Level 3 securities during the six months ended May 31, 2026.
NOTE 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES AND OTHER SERVICE PROVIDERS
Under the terms of the investment advisory agreement, on behalf of the Fund (the Agreement), the Adviser manages the Funds investments subject to oversight of the Board. As compensation for its services, the Fund pays the Adviser a fee, computed and
16
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
accrued daily and paid monthly at an annual rate of 0.80% of the average daily net assets of the Fund. For the six months ended May 31, 2026, the Adviser earned a fee of $239,768 from the Fund before the waivers described below. At May 31, 2026, the Fund owed the Adviser $27,906.
The Fund has adopted an Administrative Services Plan (the Plan) for its Institutional Class shares effective March 30, 2024. The Plan allows the Fund to pay financial intermediaries that provide services relating to Institutional Class shares computed and accrued daily at an annual rate not to exceed 0.10% of the Funds average daily net assets. For the six months ended May 31, 2026, the Fund paid $22,998 in Plan fees.
The Adviser has contractually agreed under an expense limitation agreement (the Expense Limitation Agreement), until March 31, 2027 to reduce Management Fees and reimburse other expenses to the extent necessary to limit total annual fund operating expenses (excluding brokerage costs; taxes; interest; borrowing costs such as interest and dividend expenses on securities sold short, Acquired Fund Fees and Expenses; payments, if any, under a Rule 12b-1 Distribution Plan or Administrative Services Plan, extraordinary expenses such as litigation and merger or reorganization costs, and other expenses not incurred in the ordinary course of the Funds business) to 1.05% (1.15% prior to March 31, 2024) of the Funds average daily net assets of its Institutional Class shares. The Expense Limitation Agreement may be terminated by the Adviser, or the Board, without approval by the other party, at the end of the then current term upon not less than 90 days notice to the other parties as set forth in the Expense Limitation Agreement. The Expense Limitation Agreement will terminate automatically if the Funds Advisory Agreement with the Adviser is terminated.
Each fee waiver or expense reimbursement by the Adviser is subject to repayment by the Fund within the three years following the date the fee waiver or expense reimbursement occurred, provided that the Fund is able to make the repayment without exceeding the expense limitation that is in effect at the time of the repayment or at the time of the fee waiver or expense reimbursement, whichever is lower. For the six months ended May 31, 2026, the Adviser waived fees or reimbursed expenses totaling $93,039. As of May 31, 2026, the Adviser may seek repayment of investment advisory fee waivers and expense reimbursements as follows:
| Recoverable Through | ||||
| November 30, 2026 | $ | 109,102 | ||
| November 30, 2027 | 203,519 | |||
| November 30, 2028 | 201,979 | |||
| May 31, 2029 | 93,039 | |||
17
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
Ultimus Fund Solutions, LLC (Ultimus) provides administration, fund accounting and transfer agent services to the Fund. The Fund pays Ultimus fees in accordance with the agreements for such services. The Funds allocated fees incurred for fund administration, fund accounting and transfer agency for the six months ended May 31, 2026, are reported on the Statement of Operations.
Under the terms of a Distribution Agreement with the Trust, Ultimus Fund Distributors, LLC (the Distributor) serves as principal underwriter to the Fund. The Distributor is a wholly-owned subsidiary of Ultimus. The Distributor is compensated by the Adviser (not the Fund) for acting as principal underwriter.
Pursuant to a Compliance Consulting Agreement with Beacon Compliance Consulting, Inc. (Beacon), Beacon provides the Chief Compliance Officer and compliance services to the Trust. The Funds allocated fees incurred for compliance services for the six months ended May 31, 2026, are reported on the Statement of Operations.
The Board supervises the business activities of the Trust. Each Trustee serves as a trustee until termination of the Trust unless the Trustee dies, resigns, retires, or is removed. The Trust pays each Trustee of the Trust who is not an interested person an annual retainer of $5,000. The Trust also reimburses the Trustees for travel and other expenses incurred in attending meetings of the Board. Officers of the Trust and Trustees who are interested persons of the Trust do not receive any direct compensation from the Trust. No other compensation or retirement benefits are received by any Trustee or officer from the Fund.
NOTE 5. PURCHASES AND SALES OF SECURITIES
For the six months ended May 31, 2026, purchases and sales of investment securities, other than short-term investments, were $17,686,965 and $14,569,663, respectively.
There were no purchases or sales of long-term U.S. government obligations during the six months ended May 31, 2026.
NOTE 6. SECTOR RISK
If the Fund has significant investments in the securities of issuers within a particular sector, any development affecting that sector will have a greater impact on the value of the net assets of the Fund than would be the case if the Fund did not have significant investments in that sector. In addition, this may increase the risk of loss in the Fund and increase the volatility of the Funds NAV per share. For instance, economic or market factors, regulatory changes or other developments may negatively impact all companies in a particular sector, and therefore the value of the Funds portfolio will be adversely
18
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
affected. As of May 31, 2026, the Fund had 31.24% of the value of its net assets invested in stocks within the Technology sector.
NOTE 7. FEDERAL TAX INFORMATION
At May 31, 2026, the net unrealized appreciation (depreciation) and tax cost of investments, including written options, for tax purposes was as follows:
| Gross unrealized appreciation | $ | 18,191,984 | ||
| Gross unrealized depreciation | (1,250,841 | ) | ||
| Net unrealized appreciation on investments | 16,941,143 | |||
| Tax cost of investments | $ | 48,598,277 |
The tax character of distributions paid for the fiscal year ended November 30, 2025, the Funds most recent fiscal year end, was as follows:
| Distributions paid from: | ||||
| Ordinary income(a) | $ | 194,753 | ||
| Long-term capital gains | 436,739 | |||
| Total distributions paid | $ | 631,492 |
| (a) | Short-term capital gain distributions are treated as ordinary income for tax purposes. |
At November 30, 2025, the components of accumulated earnings (deficit) on a tax basis were as follows:
| Undistributed ordinary income | $ | 187,042 | ||
| Accumulated capital and other losses | (1,680,219 | ) | ||
| Unrealized appreciation on investments | $ | 13,694,435 | ||
| Total accumulated earnings | $ | 12,201,258 |
As of November 30, 2025, the Fund had short-term capital loss carryforwards of $1,658,461. These capital loss carryforwards, which do not expire, may be utilized in future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders.
For the fiscal year ended November 30, 2025, the Fund didnt utilize any capital loss carryforwards.
In this reporting period, the Fund adopted FASB Accounting Standards Update 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures, which is intended to enhance transparency and decision usefulness of income tax disclosures including additional detail related to rate reconciliation and income taxes paid during the reporting
19
| Connors Hedged Equity Fund |
| Notes to the Financial Statements (continued) |
| May 31, 2026 (Unaudited) |
period. For the period ended May 31, 2026, federal, state, or local income taxes or any income taxes in foreign jurisdictions paid by the Fund were immaterial.
NOTE 8. COMMITMENTS AND CONTINGENCIES
The Fund indemnifies its officers and Trustees for certain liabilities that may arise from their performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.
NOTE 9. SUBSEQUENT EVENTS
Management of the Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date at which these financial statements were issued. Based upon this evaluation, management has determined there were no items requiring adjustment of the financial statements or additional disclosure.
20
| Additional Information (Unaudited) |
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the period covered by this report.
Proxy Disclosures
No matter was submitted to a vote of shareholders during the period covered by the report.
Remuneration Paid to Directors, Officers and Others
Refer to the financial statements included herein.
Statement Regarding Basis for Approval of Investment Advisory Agreement
Not applicable.
21
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not Applicable
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not Applicable
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Included under Item 7
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Included under Item 7
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable
Item 15. Submission of Matters to a Vote of Security Holders.
None
Item 16. Controls and Procedures
(a) The registrants Principal Executive Officer and Principal Financial Officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures as of a date within 90 days of this report on Form N-CSR.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable
Item 18. Recovery of Erroneously Awarded Compensation.
(a) Not Applicable
(b) Not Applicable
Item 19. Exhibits.
(a)(1) Not Applicable - disclosed with annual report.
(a)(2) Not Applicable
(a)(3) Certifications by the registrants principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2under the Investment Company Act of 1940 are filed herewith.
(a)(4) Not Applicable
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Connors Funds |
| By (Signature and Title) | /s/ Peter Connors | |
| Peter Connors, President and Principal Executive Officer |
| Date | 8/7/2026 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title) | /s/ Peter Connors | |
| Peter Connors, President and Principal Executive Officer |
| Date | 8/7/2026 |
| By (Signature and Title) | /s/ Debora M. Covell | |
| Debora M. Covell, Treasurer and Principal Financial Officer |
| Date | 8/7/2026 |
Connors Funds published this content on August 07, 2026, and is solely responsible for the information contained herein. Distributed via EDGAR on August 07, 2026 at 20:51 UTC. If you believe the information included in the content is inaccurate or outdated and requires editing or removal, please contact us at [email protected]