QUESTIONING CLM AND CRF'S LATEST REPORTS TO SHAREHOLDERS

I've been a shareholder in both CLM and CRF for quite some time now.  As a dividend investor, I love the high monthly dividend payments even though I know they're not really representative of the funds earnings.  It's just nice to get those big payments every month.  However, I had considered selling both after looking over their most recent reports to shareholders.  Once again, they both report substantial returns which I would ordinarily be quite happy with.  The problem is, they always seem to report positive returns while the value of my shares continue to diminish.  Maybe I'm missing something here, but if the fund is making money, should the value of your shares be going up instead of down?  O.K., I understand that a major part of the big monthly dividend is a return of capital, which reduces my average cost per share.  I'm just wondering if I continue to take dividends in cash, will my shares eventually dwindle down to nothing?  Not really sure how that will work out.  

Instead of selling, I decided to keep both positions for now.  To reduce the risk of a total loss, I'm taking the precaution of collecting monthly dividends in cash and putting them to work elsewhere, at least for now.  What made me decide to keep the funds was the fact that they're both pretty highly rated on Morningstar.  I trust Morningstar ratings pretty well, so I'll hang on to them for a while longer and see how it goes.