There are a few pieces of critical information missing that I would need to give you an answer. You might be able to get the answer yourself if you answer them, however.
1. Do you want employees, or team members? Employees are recruited primarily for their skills and retained by their compensation package. They make decisions primarily based on what the impact would be on their compensation package. Team members are hired for their fit to the culture and make decisions first on what is "right" according to that culture, and secondarily by the impact the decision would have on their compensation package. An HR manager of employees needs to report to the keeper of the purse-strings. An HR manager of team members needs to report to the primary team leader.
2. Which reporting relationship is more in line with your organizational touchstone? The vision, mission, and values of the organization should serve as a touchstone, determining the "purity" or value of every decision. What does your vision, mission, and values say?
3. What is the critical role for the CEO? What is the critical role for the CFO? What is the critical role for the HR Manager? Which critical role (CEO or CFO) is most aligned with, and most needs the support of the HR Managers critical role?
4. Why not just leave things as they are? The worst reason to do anything is "because everyone else is". If you don't hire an HR Manager, what impact will that have on your bottom line? What impact will that have on achieving your Vision? What impact will that have on your ability to successfully address the four areas of you mission statement? What costs & benefits (money, time, CFO bandwidth, CEO bandwidth, etc) would be involved in keeping things the same? What costs & benefits would be involved in adding an HR manager under the CFO? Under the CEO?
5. What "feels" like the right answer to you? To your partner? Why? Often "feelings" are a synthesis by our non-conscious mind that can provide a very valuable insight that is not yet accessible by our conscious mind.