Investment Company Act file number

811-21616

RMR F.I.R.E FUND

(Exact name of registrant as specified in charter)

400 CENTRE STREET
NEWTON, MASSACHUSETTS

02458

(Address of principal executive offices)

(Zip code)

Thomas M. O’Brien, President
RMR F.I.R.E. Fund
400 Centre Street
Newton, Massachusetts 02458

(Name and address of agent for service)

Copy to:

Hugh Carter
State Street Bank and Trust Company
  2 Avenue De Lafayette, 6^th Floor
Boston, Massachusetts 02111

Thomas Reyes, Esq.
State Street Bank and Trust Company
 2 Avenue De Lafayette, 6^th Floor
Boston, Massachusetts 02111

Registrant's telephone number, including area code:

(617) 332-9530

Date of fiscal year end:

December 31

Date of reporting period:

September 30, 2006

Company

Shares

Value

Common Stocks – 86.9%

Financial Services – 26.8%

Banks – 7.4%

Farmers Capital Bank Corp.

3,035

$

102,796

First Commonwealth Financial Corp.

28,000

364,840

First Horizon National Corp.

11,400

433,314

Firstmerit Corp.

12,800

296,576

FNB Corp.

28,500

474,810

National City Corp.

17,400

636,840

Trustco Bank Corp. NY

23,400

253,656

2,562,832

Thrifts – 7.2%

Beverly Hills Bancorp, Inc.

58

473

Capitol Federal Financial

17,400

618,744

Flagstar Bancorp, Inc.

25,000

363,750

New York Community Bancorp, Inc.

82,200

1,346,436

Washington Mutual, Inc.

4,000

173,880

2,503,283

Other Financial Services – 12.2%

American Capital Strategies, Ltd.

36,000

1,420,920

CharterMac

44,200

882,232

Fannie Mae

13,000

726,830

Friedman Billings Ramsey Group, Inc. *

54,000

433,620

MCG Capital Corp.

46,500

759,345

4,222,947

Total Financial Services (Cost $10,744,396)

9,289,062

Real Estate – 57.6%

Apartments – 0.4%

Home Properties, Inc. *

300

17,148

United Dominion Realty Trust, Inc. *

4,000

120,800

137,948

Diversified – 15.0%

Centracore Properties Trust *

9,600

304,800

Cousins Properties, Inc. *

6,900

236,049

Crescent Real Estate Equities Co. *

90,900

1,982,529

iStar Financial, Inc. *

17,000

708,900

Lexington Corporate Properties Trust *

42,000

889,560

Liberty Property Trust *

1,900

90,801

National Retail Properties, Inc. *

38,350

828,360

Newkirk Realty Trust, Inc. *

8,000

131,840

5,172,839

Health Care – 8.7%

Health Care Property Investors, Inc. *

16,850

523,193

Health Care REIT, Inc. *

28,650

1,146,286

Healthcare Realty Trust, Inc. *

13,500

518,535

Nationwide Health Properties, Inc. *

26,400

705,936

OMEGA Healthcare Investors, Inc. *

2,000

30,020

Windrose Medical Properties Trust *

5,000

88,400

3,012,370

Company

Shares

Value

Common Stocks – continued

Real Estate – continued

Hospitality – 1.1%

Eagle Hospitality Properties Trust, Inc. *

36,500

$

339,450

Hersha Hospitality Trust *

3,000

28,800

368,250

Industrial – 4.9%

First Industrial Realty Trust, Inc. *

38,700

1,702,800

Manufactured Homes – 2.3%

Sun Communities, Inc. *

25,000

799,000

Mortgage – 5.0%

American Mortgage Acceptance Co. *

8,100

146,124

Crystal River Capital, Inc. *(a)

4,000

91,520

KKR Financial Corp. *

2,000

49,080

New Century Financial Corp. *

5,000

196,550

Newcastle Investment Corp. *

22,500

616,725

NovaStar Financial, Inc. *

22,000

642,180

1,742,179

Office – 0.6%

American Financial Realty Trust *

5,000

55,800

Maguire Properties, Inc. *

4,000

162,960

218,760

Retail – 11.6%

CBL & Associates Properties, Inc. *

13,000

544,830

Glimcher Realty Trust *

55,300

1,370,334

Heritage Property Investment Trust *

10,300

375,538

New Plan Excel Realty Trust *

40,650

1,099,582

Realty Income Corp. *

3,200

79,072

Taubman Centers, Inc. *

2,000

88,840

The Mills Corp. *

28,100

469,551

4,027,747

Specialty – 8.0%

Alesco Financial Trust *(b)

150,000

1,650,000

Getty Realty Corp. *

4,000

117,120

Trustreet Properties, Inc. *

79,300

992,043

2,759,163

Total Real Estate (Cost $19,986,991)

19,941,056

Other – 2.5%

Iowa Telecommunication Services, Inc.

42,500

841,075

Total Other (Cost $721,192)

841,075

Total Common Stocks (Cost $31,452,579)

30,071,193

Preferred Stocks – 63.8%

Real Estate – 60.9%

Apartments – 10.5%

Apartment Investment & Management Co., Series U *

32,500

824,525

Apartment Investment & Management Co., Series V *

27,700

705,796

Apartment Investment & Management Co., Series Y *

65,000

1,644,500

Home Properties, Inc., Series F *

18,800

480,058

3,654,879

Company

Shares

Value

Preferred Stocks – continued

Real Estate – continued

Diversified – 5.4%

Cousins Properties, Inc., Series B *

20,000

$

508,400

Digital Realty Trust, Inc., Series A *

20,000

519,000

LBA Realty LLC, Series B *

45,000

840,150

1,867,550

Health Care – 3.4%

Health Care REIT, Inc., Series F *

26,900

691,599

OMEGA Healthcare Investors Inc., Series D *

19,000

497,420

1,189,019

Hospitality – 17.5%

Eagle Hospitality Properties Trust, Inc., Series A *

14,000

359,240

Entertainment Properties Trust, Series B *

40,000

996,800

Equity Inns, Inc., Series B *

50,000

1,305,000

FelCor Lodging Trust, Inc., Series C *

64,000

1,594,240

Host Marriott Corp., Series E *

10,000

264,700

LaSalle Hotel Properties, Series A *

36,000

922,320

Strategic Hotels & Resorts, Inc., Series B *

13,700

356,885

Winston Hotels, Inc., Series B *

10,900

273,699

6,072,884

Manufactured Homes – 0.5%

Affordable Residential Communities, Series A *

6,900

164,048

Mortgage – 10.4%

HomeBanc Corp., Series A *

10,000

252,600

MFA Mortgage Investments, Inc., Series A *

13,800

339,894

New Century Financial Corp., Series A *

20,000

490,000

RAIT Investment Trust, Series B *

59,000

1,507,450

Thornburg Mortgage, Inc., Series C *

40,000

1,002,400

3,592,344

Office – 2.4%

Alexandria Real Estate Equities, Inc., Series C *

31,600

827,920

Retail – 10.8%

CBL & Associates Properties, Inc., Series D *

10,000

252,000

Glimcher Realty Trust, Series F *

26,500

672,040

Glimcher Realty Trust, Series G *

41,000

1,028,690

Ramco-Gershenson Properties Trust, Series B *

36,000

963,540

Taubman Centers, Inc., Series G *

15,000

399,450

The Mills Corp., Series E *

9,500

197,030

The Mills Corp., Series G *

11,500

223,215

3,735,965

Total Real Estate (Cost $21,602,672)

21,104,609

Financial Services – 2.9%

Corts-UNUM Provident Financial Trust

38,000

992,750

Total Financial Services (Cost $982,300)

992,750

Total Preferred Stocks (Cost $22,584,972)

22,097,359

Short-Term Investments – 0.1%

Other Investment Companies – 0.1%

SSgA Money Market Fund, 4.95% (c) (Cost $46,163)

46,163

46,163

Total Investments – 150.8% (Cost $54,083,714) (d)

52,214,715

Other assets less liabilities – 7.0%

2,413,265

Preferred Shares, at liquidation preference – (57.8)%

(20,000,000

)

Net Assets applicable to common shareholders – 100%

$

34,627,980

*

Real estate investment trust, or REIT.

(a)

Non-income producing security as first dividend paid subsequent to September 30, 2006.

(b)

144A securities. Securities restricted for resale to Qualified Institutional Buyers. On October 6, 2006, Alesco Financial Trust merged with Sunset Financial Resources to form Alesco Financial, Inc and the security ceased to be a restricted 144A security.

(c)

Rate reflects 7 day yield as of September 30, 2006.

(d)

Although subject to adjustments to the extent 2006 distributions by the issuers of the Fund’s investments are characterized as return of capital, the cost, gross unrealized appreciation and gross unrealized depreciation of the Fund’s investments for federal income tax purposes, as of September 30, 2006, are as follows:

Reference should be made to the Fund’s financial statements for the year ended December 31, 2005, and six months ended June 30, 2006, for further information concerning the income tax characterization of the Fund’s investment income and distributions.

RMR F.I.R.E. FUND

By:

/s/ Thomas M. O’Brien

Thomas M. O’Brien

President

Date:

November 16, 2006

By:

/s/ Thomas M. O’Brien

Thomas M. O’Brien

President

Date:

November 16, 2006

By:

/s/ Mark L. Kleifges

Mark L. Kleifges

Treasurer

Date:

November 16, 2006