As filed with the Securities and Exchange Commission on July 13, 2016
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 811-22842
FORUM FUNDS II
Three Canal Plaza, Suite 600
Portland, Maine 04101
Jessica Chase, Principal Executive Officer
Three Canal Plaza, Suite 600
Portland, Maine 04101
207-347-2000
Date of fiscal year end: November 30
Date of reporting period: December 1, 2015 – May 31, 2016
ITEM 1. REPORT TO STOCKHOLDERS.
CVR DYNAMIC ALLOCATION FUND |
Semi-Annual Report
May 31, 2016
(Unaudited)
CVR DYNAMIC ALLOCATION FUND SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Shares | Security Description | Value |
Common Stock - 81.7% | ||||||||
Aerospace & Defense - 6.3% | ||||||||
698 | Curtiss-Wright Corp. | $ | 58,087 | |||||
764 | General Dynamics Corp. | 108,389 | ||||||
7,645 | HEICO Corp. | 508,775 | ||||||
433 | L-3 Communications Holdings, Inc. | 59,412 | ||||||
468 | Lockheed Martin Corp. | 110,556 | ||||||
629 | Orbital ATK, Inc. | 54,742 | ||||||
559 | Rockwell Collins, Inc. | 49,415 | ||||||
586 | Teledyne Technologies, Inc. (a) | 57,504 | ||||||
764 | The Boeing Co. | 96,379 | ||||||
231 | TransDigm Group, Inc. (a) | 60,878 | ||||||
1,164,137 | ||||||||
Agricultural Operations - 0.5% | ||||||||
825 | Monsanto Co. | 92,788 |
Airlines - 4.0% | |||||||
8,023 | Delta Air Lines, Inc. | 348,680 | |||||
9,052 | Spirit Airlines, Inc. (a) | 393,490 | |||||
742,170 | |||||||
Apparel, Shoes, etc. - 4.5% | |||||||
7,697 | Michael Kors Holdings, Ltd. (a) | 328,816 | |||||
839 | NIKE, Inc., Class B | 46,330 | |||||
6,018 | The TJX Cos., Inc. | 458,090 | |||||
833,236 | |||||||
Auto - 2.4% | |||||||
3,813 | Ford Motor Co. | 51,437 | |||||
5,180 | Visteon Corp. (a) | 388,397 | |||||
439,834 | |||||||
Building - Mobile Home/RV - 2.2% | |||||||
6,338 | Thor Industries, Inc. | 411,970 |
Chemicals - Agricultural - 0.3% | |||||||
1,099 | CF Industries Holdings, Inc. | 30,398 | |||||
1,279 | The Mosaic Co. | 32,269 | |||||
62,667 | |||||||
Chemicals - Basic - 5.6% | |||||||
16,115 | Chemtura Corp. (a) | 429,948 | |||||
9,512 | Innospec, Inc. | 461,902 | |||||
866 | LyondellBasell Industries NV, Class A | 70,458 | |||||
1,455 | The Dow Chemical Co. | 74,729 | |||||
1,037,037 | |||||||
Chemicals - Paint - 0.8% | |||||||
679 | PPG Industries, Inc. | 73,114 | |||||
264 | The Sherwin-Williams Co. | 76,848 | |||||
149,962 |
Chemicals - Specialty - 0.8% | ||||||||
521 | Air Products & Chemicals, Inc. | 74,316 | ||||||
662 | Praxair, Inc. | 72,727 | ||||||
147,043 | ||||||||
Cleaning and Prep - 0.4% | ||||||||
675 | Ecolab, Inc. | 79,137 |
Commercial Services - 0.3% | |||||||
635 | Omnicom Group, Inc. | 52,915 |
Computer Software - 0.4% | |||||||
1,769 | Activision Blizzard, Inc. | 69,451 |
Diversified Operations - 4.6% | |||||||
7,575 | Crane Co. | 434,805 | |||||
3,628 | Honeywell International, Inc. | 412,975 | |||||
847,780 | |||||||
Electronic Components - 2.1% | |||||||
4,541 | IPG Photonics Corp. (a) | 392,252 |
Financials - 1.1% | |||||||
753 | MasterCard, Inc., Class A | 72,213 | |||||
1,404 | PayPal Holdings, Inc. (a) | 53,057 | |||||
947 | Visa, Inc., Class A | 74,756 | |||||
200,026 | |||||||
Food - 6.9% | |||||||
7,976 | Cal-Maine Foods, Inc. | 354,932 | |||||
16,274 | Pilgrim's Pride Corp. (a) | 404,735 | |||||
5,737 | Sanderson Farms, Inc. | 514,666 | |||||
1,274,333 | |||||||
Homebuilders - 2.3% | |||||||
249 | NVR, Inc. (a) | 431,517 |
Household - Appliance/Wares - 0.3% | |||||||
423 | The Middleby Corp. (a) | 52,537 |
Industrial Distribution - 2.2% | |||||||
5,562 | MSC Industrial Direct Co., Inc. | 416,872 |
Industrials - 0.9% | |||||||
2,076 | Graco, Inc. | 166,640 |
Insurance - Accidental & Health - 0.4% | |||||||
1,091 | Aflac, Inc. | 75,781 |
Insurance - Brokers - 0.8% | |||||||
681 | Aon PLC | 74,413 | |||||
1,949 | Brown & Brown, Inc. | 70,281 | |||||
144,694 |
See Notes to Financial Statements. | 1 |
CVR DYNAMIC ALLOCATION FUND SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Shares | Security Description | Value |
Insurance - Property/Casualty/Title - 3.9% | ||||||||
977 | American Financial Group, Inc. | $ | 71,595 | |||||
1,344 | AMERISAFE, Inc. | 81,621 | ||||||
575 | Chubb, Ltd. | 72,801 | ||||||
1,061 | Cincinnati Financial Corp. | 73,315 | ||||||
357 | Everest Re Group, Ltd. | 63,942 | ||||||
78 | Markel Corp. (a) | 74,334 | ||||||
591 | RenaissanceRe Holdings, Ltd. | 68,266 | ||||||
1,939 | Selective Insurance Group, Inc. | 72,034 | ||||||
596 | The Travelers Cos., Inc. | 68,027 | ||||||
1,264 | WR Berkley Corp. | 72,086 | ||||||
718,021 | ||||||||
Internet - 5.6% | ||||||||
121 | Alphabet, Inc., Class A (a) | 90,611 | ||||||
349 | Amazon.com, Inc. (a) | 252,254 | ||||||
180 | Equinix, Inc. REIT | 65,160 | ||||||
528 | Expedia, Inc. | 58,735 | ||||||
823 | Facebook, Inc., Class A (a) | 97,780 | ||||||
506 | LinkedIn Corp., Class A (a) | 69,069 | ||||||
1,440 | Netflix, Inc. (a) | 147,701 | ||||||
109 | The Priceline Group, Inc. (a) | 137,812 | ||||||
898 | TripAdvisor, Inc. (a) | 60,830 | ||||||
645 | VeriSign, Inc. (a) | 55,122 | ||||||
1,035,074 | ||||||||
Machinery - 6.9% | ||||||||
1,044 | Badger Meter, Inc. | 78,300 | ||||||
1,180 | EnPro Industries, Inc. | 59,673 | ||||||
1,479 | Flowserve Corp. | 71,184 | ||||||
827 | IDEX Corp. | 68,922 | ||||||
4,124 | Illinois Tool Works, Inc. | 437,268 | ||||||
1,109 | Ingersoll-Rand PLC | 74,092 | ||||||
1,817 | ITT, Inc. | 64,522 | ||||||
1,246 | John Bean Technologies Corp. | 75,607 | ||||||
612 | Parker Hannifin Corp. | 70,282 | ||||||
2,014 | Sun Hydraulics Corp. | 58,950 | ||||||
1,338 | Tennant Co. | 71,851 | ||||||
2,637 | The Gorman-Rupp Co. | 81,615 | ||||||
1,297 | Woodward, Inc. | 73,851 | ||||||
1,286,117 | ||||||||
Media - 3.6% | ||||||||
7,010 | Scripps Networks Interactive, Inc., Class A | 451,023 | ||||||
1,059 | The Walt Disney Co. | 105,074 | ||||||
717 | Time Warner, Inc. | 54,248 | ||||||
1,846 | Twenty-First Century Fox, Inc., Class A | 53,313 | ||||||
663,658 | ||||||||
Metal Processing & Fabrication - 0.2% | ||||||||
303 | Valmont Industries, Inc. | 41,911 |
Paper & Paper Products - 0.2% | ||||||||
903 | International Paper Co. | 38,070 |
Retail - Restaurant - 0.7% | |||||||
666 | McDonald's Corp. | 81,292 | |||||
873 | Starbucks Corp. | 47,919 | |||||
129,211 | |||||||
Retail - Wholesale/Building - 0.7% | |||||||
686 | Lowe's Cos., Inc. | 54,969 | |||||
633 | The Home Depot, Inc. | 83,632 | |||||
138,601 | |||||||
Semiconductor - 2.2% | |||||||
11,562 | Cirrus Logic, Inc. (a) | 416,232 |
Software - 0.4% | |||||||
805 | Salesforce.com, Inc. (a) | 67,387 |
Telecommunications - Cable - 0.8% | |||||||
211 | Charter Communications, Inc., Class A (a) | 46,251 | |||||
1,562 | Comcast Corp., Class A | 98,874 | |||||
145,125 | |||||||
Tobacco - 2.2% | |||||||
8,125 | Reynolds American, Inc. | 403,812 |
Transportation - Freight - 0.3% | |||||||
492 | United Parcel Service, Inc., Class B | 50,720 |
Transportation - Logistics - 3.3% | |||||||
7,416 | CH Robinson Worldwide, Inc. | 556,052 | |||||
1,067 | Expeditors International of Washington, Inc. | 51,803 | |||||
607,855 | |||||||
Transportation - Rails - 0.6% | |||||||
1,258 | Union Pacific Corp. | 105,911 |
Total Common Stock (Cost $14,393,242) | 15,132,484 |
Money Market Fund - 7.4% | |||||||
1,370,645 | Fidelity Institutional Cash Money Market Fund, 0.34% (b) (Cost $1,370,645) | 1,370,645 | |||||
Total Investments - 89.1% (Cost $15,763,887)* | $ | 16,503,129 | ||
Other Assets & Liabilities, Net – 10.9% | 2,024,989 | |||
Net Assets – 100.0% | $ | 18,528,118 |
See Notes to Financial Statements. | 2 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
(a) | Non-income producing security. |
(b) | Variable rate security. Rate presented is as of May 31, 2016. |
* Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
Gross Unrealized Appreciation | $ | 1,022,996 | ||
Gross Unrealized Depreciation | (283,754 | ) | ||
Net Unrealized Appreciation | $ | 739,242 |
As of May 31, 2016, the Fund had the following forward currency contracts outstanding:
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) |
Jefferies & Co., Inc. | (210,000 | ) | Australian Dollar | 06/03/16 | $ | 150,585 | $ | (1,174 | ) | ||||||
(168,000 | ) | Australian Dollar | 06/03/16 | 125,934 | 4,527 | ||||||||||
(147,000 | ) | Australian Dollar | 06/03/16 | 107,507 | 1,275 | ||||||||||
(126,000 | ) | Australian Dollar | 06/03/16 | 96,204 | 5,148 | ||||||||||
(126,000 | ) | Australian Dollar | 06/03/16 | 92,032 | 976 | ||||||||||
(105,000 | ) | Australian Dollar | 06/03/16 | 75,503 | (377 | ) | |||||||||
(105,000 | ) | Australian Dollar | 06/03/16 | 76,861 | 981 | ||||||||||
(105,000 | ) | Australian Dollar | 06/03/16 | 80,270 | 4,390 | ||||||||||
(84,000 | ) | Australian Dollar | 06/03/16 | 61,832 | 1,128 | ||||||||||
(63,000 | ) | Australian Dollar | 06/03/16 | 48,080 | 2,552 | ||||||||||
(63,000 | ) | Australian Dollar | 06/03/16 | 48,509 | 2,981 | ||||||||||
42,000 | Australian Dollar | 06/03/16 | (31,386 | ) | (1,035 | ) | |||||||||
63,000 | Australian Dollar | 06/03/16 | (45,360 | ) | 168 | ||||||||||
63,000 | Australian Dollar | 06/03/16 | (45,875 | ) | (347 | ) | |||||||||
63,000 | Australian Dollar | 06/03/16 | (47,312 | ) | (1,784 | ) | |||||||||
63,000 | Australian Dollar | 06/03/16 | (48,541 | ) | (3,013 | ) | |||||||||
63,000 | Australian Dollar | 06/03/16 | (46,789 | ) | (1,262 | ) | |||||||||
84,000 | Australian Dollar | 06/03/16 | (64,727 | ) | (4,023 | ) | |||||||||
84,000 | Australian Dollar | 06/03/16 | (63,107 | ) | (2,403 | ) | |||||||||
84,000 | Australian Dollar | 06/03/16 | (63,157 | ) | (2,453 | ) | |||||||||
84,000 | Australian Dollar | 06/03/16 | (62,642 | ) | (1,939 | ) | |||||||||
84,000 | Australian Dollar | 06/03/16 | (63,796 | ) | (3,092 | ) | |||||||||
105,000 | Australian Dollar | 06/03/16 | (78,056 | ) | (2,177 | ) | |||||||||
126,000 | Australian Dollar | 06/03/16 | (98,233 | ) | (7,178 | ) | |||||||||
294,000 | Australian Dollar | 06/03/16 | (211,715 | ) | 748 | ||||||||||
(294,000 | ) | Australian Dollar | 09/02/16 | 211,037 | (745 | ) | |||||||||
(84,000 | ) | Australian Dollar | 09/02/16 | 60,773 | 277 | ||||||||||
(1,050,000 | ) | Brazilian Real | 06/03/16 | 290,216 | (82 | ) | |||||||||
(294,000 | ) | Brazilian Real | 06/03/16 | 79,653 | (1,630 | ) | |||||||||
(294,000 | ) | Brazilian Real | 06/03/16 | 75,346 | (5,937 | ) | |||||||||
(273,000 | ) | Brazilian Real | 06/03/16 | 75,655 | 177 | ||||||||||
(231,000 | ) | Brazilian Real | 06/03/16 | 63,654 | (212 | ) | |||||||||
(231,000 | ) | Brazilian Real | 06/03/16 | 64,149 | 283 | ||||||||||
(168,000 | ) | Brazilian Real | 06/03/16 | 46,680 | 232 | ||||||||||
(147,000 | ) | Brazilian Real | 06/03/16 | 40,816 | 175 | ||||||||||
(147,000 | ) | Brazilian Real | 06/03/16 | 41,414 | 773 | ||||||||||
126,000 | Brazilian Real | 06/03/16 | (33,717 | ) | 1,119 | ||||||||||
147,000 | Brazilian Real | 06/03/16 | (40,219 | ) | 423 | ||||||||||
147,000 | Brazilian Real | 06/03/16 | (40,794 | ) | (152 | ) | |||||||||
168,000 | Brazilian Real | 06/03/16 | (47,344 | ) | (896 | ) | |||||||||
189,000 | Brazilian Real | 06/03/16 | (53,254 | ) | (1,001 | ) | |||||||||
189,000 | Brazilian Real | 06/03/16 | (54,324 | ) | (2,071 | ) |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) |
Jefferies & Co., Inc. – (continued) | 1,890,000 | New Taiwan Dollar | 06/03/16 | $ | (57,675 | ) | $ | 255 | |||||||
1,890,000 | New Taiwan Dollar | 06/03/16 | (58,532 | ) | (602 | ) | |||||||||
2,310,000 | New Taiwan Dollar | 06/03/16 | (70,696 | ) | 107 | ||||||||||
2,730,000 | New Taiwan Dollar | 06/03/16 | (82,125 | ) | 1,551 | ||||||||||
2,940,000 | New Taiwan Dollar | 06/03/16 | (89,593 | ) | 520 | ||||||||||
3,150,000 | New Taiwan Dollar | 06/03/16 | (97,177 | ) | (628 | ) | |||||||||
5,040,000 | New Taiwan Dollar | 06/03/16 | (154,270 | ) | 210 | ||||||||||
5,250,000 | New Taiwan Dollar | 06/03/16 | (160,159 | ) | 758 | ||||||||||
(840,000 | ) | New Taiwan Dollar | 09/02/16 | 25,779 | 47 | ||||||||||
1,470,000 | New Taiwan Dollar | 09/02/16 | (45,064 | ) | 7 | ||||||||||
(1,113,000 | ) | New Turkish Lira | 06/03/16 | 376,942 | 222 | ||||||||||
(462,000 | ) | New Turkish Lira | 06/03/16 | 154,896 | (1,479 | ) | |||||||||
(462,000 | ) | New Turkish Lira | 06/03/16 | 155,372 | (1,002 | ) | |||||||||
(336,000 | ) | New Turkish Lira | 06/03/16 | 112,095 | (1,632 | ) | |||||||||
(325,500 | ) | New Turkish Lira | 06/03/16 | 109,049 | (1,124 | ) | |||||||||
(325,500 | ) | New Turkish Lira | 06/03/16 | 108,899 | (1,274 | ) | |||||||||
(231,000 | ) | New Turkish Lira | 06/03/16 | 78,220 | 33 | ||||||||||
(147,000 | ) | New Turkish Lira | 06/03/16 | 49,537 | (219 | ) | |||||||||
(147,000 | ) | New Turkish Lira | 06/03/16 | 49,733 | (23 | ) | |||||||||
147,000 | New Turkish Lira | 06/03/16 | (49,111 | ) | 644 | ||||||||||
210,000 | New Turkish Lira | 06/03/16 | (70,628 | ) | 451 | ||||||||||
315,000 | New Turkish Lira | 06/03/16 | (107,203 | ) | (584 | ) | |||||||||
378,000 | New Turkish Lira | 06/03/16 | (127,931 | ) | 12 | ||||||||||
2,499,000 | New Turkish Lira | 06/03/16 | (829,847 | ) | 15,998 | ||||||||||
1,113,000 | New Turkish Lira | 09/02/16 | (368,350 | ) | (325 | ) | |||||||||
(315,000 | ) | New Zealand Dollar | 06/03/16 | 211,568 | (1,527 | ) | |||||||||
(147,000 | ) | New Zealand Dollar | 06/03/16 | 100,083 | 639 | ||||||||||
(105,000 | ) | New Zealand Dollar | 06/03/16 | 69,977 | (1,054 | ) | |||||||||
(105,000 | ) | New Zealand Dollar | 06/03/16 | 72,850 | 1,819 | ||||||||||
(84,000 | ) | New Zealand Dollar | 06/03/16 | 56,620 | (205 | ) | |||||||||
(84,000 | ) | New Zealand Dollar | 06/03/16 | 55,192 | (1,633 | ) | |||||||||
(84,000 | ) | New Zealand Dollar | 06/03/16 | 57,875 | 1,050 | ||||||||||
(63,000 | ) | New Zealand Dollar | 06/03/16 | 42,758 | 139 | ||||||||||
(63,000 | ) | New Zealand Dollar | 06/03/16 | 43,469 | 850 | ||||||||||
(63,000 | ) | New Zealand Dollar | 06/03/16 | 43,530 | 911 | ||||||||||
(63,000 | ) | New Zealand Dollar | 06/03/16 | 42,760 | 141 | ||||||||||
63,000 | New Zealand Dollar | 06/03/16 | (42,516 | ) | 103 | ||||||||||
63,000 | New Zealand Dollar | 06/03/16 | (42,422 | ) | 197 | ||||||||||
84,000 | New Zealand Dollar | 06/03/16 | (55,578 | ) | 1,247 | ||||||||||
84,000 | New Zealand Dollar | 06/03/16 | (56,725 | ) | 101 | ||||||||||
84,000 | New Zealand Dollar | 06/03/16 | (57,884 | ) | (1,059 | ) | |||||||||
84,000 | New Zealand Dollar | 06/03/16 | (56,783 | ) | 42 | ||||||||||
105,000 | New Zealand Dollar | 06/03/16 | (72,207 | ) | (1,175 | ) | |||||||||
105,000 | New Zealand Dollar | 06/03/16 | (69,865 | ) | 1,166 | ||||||||||
105,000 | New Zealand Dollar | 06/03/16 | (70,318 | ) | 713 | ||||||||||
126,000 | New Zealand Dollar | 06/03/16 | (87,450 | ) | (2,212 | ) | |||||||||
126,000 | New Zealand Dollar | 06/03/16 | (86,081 | ) | (843 | ) | |||||||||
147,000 | New Zealand Dollar | 06/03/16 | (97,839 | ) | 1,605 | ||||||||||
315,000 | New Zealand Dollar | 09/02/16 | (210,630 | ) | 1,469 | ||||||||||
(2,100,000 | ) | Norwegian Krone | 06/03/16 | 242,404 | (8,622 | ) | |||||||||
(840,000 | ) | Norwegian Krone | 06/03/16 | 97,075 | (3,335 | ) | |||||||||
(630,000 | ) | Norwegian Krone | 06/03/16 | 73,788 | (1,519 | ) | |||||||||
(630,000 | ) | Norwegian Krone | 06/03/16 | 75,547 | 239 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) |
Jefferies & Co., Inc. – (continued) | (630,000 | ) | Norwegian Krone | 06/03/16 | $ | 74,446 | $ | (862 | ) | ||||||
(630,000 | ) | Norwegian Krone | 06/03/16 | 76,051 | 744 | ||||||||||
(420,000 | ) | Norwegian Krone | 06/03/16 | 49,084 | (1,121 | ) | |||||||||
(420,000 | ) | Norwegian Krone | 06/03/16 | 51,654 | 1,449 | ||||||||||
(210,000 | ) | Norwegian Krone | 06/03/16 | 25,392 | 289 | ||||||||||
420,000 | Norwegian Krone | 06/03/16 | (51,833 | ) | (1,628 | ) | |||||||||
420,000 | Norwegian Krone | 06/03/16 | (50,962 | ) | (757 | ) | |||||||||
420,000 | Norwegian Krone | 06/03/16 | (51,722 | ) | (1,517 | ) | |||||||||
420,000 | Norwegian Krone | 06/03/16 | (52,237 | ) | (2,032 | ) | |||||||||
420,000 | Norwegian Krone | 06/03/16 | (52,190 | ) | (1,985 | ) | |||||||||
420,000 | Norwegian Krone | 06/03/16 | (50,983 | ) | (778 | ) | |||||||||
420,000 | Norwegian Krone | 06/03/16 | (50,227 | ) | (22 | ) | |||||||||
420,000 | Norwegian Krone | 06/03/16 | (51,357 | ) | (1,152 | ) | |||||||||
420,000 | Norwegian Krone | 06/03/16 | (50,921 | ) | (716 | ) | |||||||||
630,000 | Norwegian Krone | 06/03/16 | (76,878 | ) | (1,570 | ) | |||||||||
630,000 | Norwegian Krone | 06/03/16 | (76,429 | ) | (1,121 | ) | |||||||||
630,000 | Norwegian Krone | 06/03/16 | (74,988 | ) | 319 | ||||||||||
840,000 | Norwegian Krone | 06/03/16 | (100,951 | ) | (541 | ) | |||||||||
(840,000 | ) | Norwegian Krone | 09/02/16 | 100,921 | 529 | ||||||||||
(420,000 | ) | Norwegian Krone | 09/02/16 | 50,228 | (150 | ) | |||||||||
(420,000 | ) | Norwegian Krone | 09/02/16 | 50,520 | 324 | ||||||||||
(399,000 | ) | Peruvian Inti | 06/03/16 | 121,646 | 3,522 | ||||||||||
(315,000 | ) | Peruvian Inti | 06/03/16 | 93,960 | 704 | ||||||||||
(252,000 | ) | Peruvian Inti | 06/03/16 | 75,067 | 462 | ||||||||||
(189,000 | ) | Peruvian Inti | 06/03/16 | 56,250 | 296 | ||||||||||
(147,000 | ) | Peruvian Inti | 06/03/16 | 43,959 | 440 | ||||||||||
147,000 | Peruvian Inti | 06/03/16 | (44,505 | ) | (985 | ) | |||||||||
210,000 | Peruvian Inti | 06/03/16 | (58,684 | ) | 3,487 | ||||||||||
315,000 | Peruvian Inti | 06/03/16 | (89,872 | ) | 3,384 | ||||||||||
630,000 | Peruvian Inti | 06/03/16 | (181,295 | ) | 5,217 | ||||||||||
189,000 | Peruvian Inti | 09/02/16 | (55,605 | ) | (313 | ) | |||||||||
(10,710,000 | ) | Philippines Peso | 06/03/16 | 229,434 | 444 | ||||||||||
(7,770,000 | ) | Philippines Peso | 06/03/16 | 161,707 | (4,424 | ) | |||||||||
(5,880,000 | ) | Philippines Peso | 06/03/16 | 125,106 | (614 | ) | |||||||||
(5,040,000 | ) | Philippines Peso | 06/03/16 | 108,434 | 674 | ||||||||||
(4,410,000 | ) | Philippines Peso | 06/03/16 | 94,635 | 345 | ||||||||||
(4,410,000 | ) | Philippines Peso | 06/03/16 | 93,042 | (1,248 | ) | |||||||||
(4,200,000 | ) | Philippines Peso | 06/03/16 | 89,457 | (343 | ) | |||||||||
(4,200,000 | ) | Philippines Peso | 06/03/16 | 90,094 | 294 | ||||||||||
(3,780,000 | ) | Philippines Peso | 06/03/16 | 80,161 | (659 | ) | |||||||||
(3,780,000 | ) | Philippines Peso | 06/03/16 | 80,761 | (60 | ) | |||||||||
(3,570,000 | ) | Philippines Peso | 06/03/16 | 75,853 | (478 | ) | |||||||||
(3,150,000 | ) | Philippines Peso | 06/03/16 | 67,969 | 618 | ||||||||||
(2,940,000 | ) | Philippines Peso | 06/03/16 | 63,226 | 366 | ||||||||||
(2,520,000 | ) | Philippines Peso | 06/03/16 | 54,557 | 677 | ||||||||||
(2,520,000 | ) | Philippines Peso | 06/03/16 | 53,663 | (217 | ) | |||||||||
(2,310,000 | ) | Philippines Peso | 06/03/16 | 48,920 | (470 | ) | |||||||||
(2,100,000 | ) | Philippines Peso | 06/03/16 | 45,376 | 476 | ||||||||||
(1,890,000 | ) | Philippines Peso | 06/03/16 | 40,807 | 397 | ||||||||||
1,890,000 | Philippines Peso | 06/03/16 | (40,506 | ) | (96 | ) | |||||||||
2,310,000 | Philippines Peso | 06/03/16 | (49,443 | ) | (53 | ) | |||||||||
2,520,000 | Philippines Peso | 06/03/16 | (53,789 | ) | 91 | ||||||||||
2,730,000 | Philippines Peso | 06/03/16 | (58,773 | ) | (403 | ) |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) |
Jefferies & Co., Inc. – (continued) | 2,730,000 | Philippines Peso | 06/03/16 | $ | (57,729 | ) | $ | 641 | |||||||
2,940,000 | Philippines Peso | 06/03/16 | (61,765 | ) | 1,095 | ||||||||||
2,940,000 | Philippines Peso | 06/03/16 | (62,394 | ) | 466 | ||||||||||
3,360,000 | Philippines Peso | 06/03/16 | (71,322 | ) | 518 | ||||||||||
3,360,000 | Philippines Peso | 06/03/16 | (72,300 | ) | (460 | ) | |||||||||
3,360,000 | Philippines Peso | 06/03/16 | (71,918 | ) | (78 | ) | |||||||||
3,570,000 | Philippines Peso | 06/03/16 | (74,546 | ) | 1,784 | ||||||||||
3,570,000 | Philippines Peso | 06/03/16 | (76,217 | ) | 113 | ||||||||||
3,780,000 | Philippines Peso | 06/03/16 | (81,220 | ) | (400 | ) | |||||||||
3,990,000 | Philippines Peso | 06/03/16 | (85,439 | ) | (129 | ) | |||||||||
4,410,000 | Philippines Peso | 06/03/16 | (93,432 | ) | 858 | ||||||||||
4,410,000 | Philippines Peso | 06/03/16 | (92,530 | ) | 1,760 | ||||||||||
4,830,000 | Philippines Peso | 06/03/16 | (103,626 | ) | (356 | ) | |||||||||
5,670,000 | Philippines Peso | 06/03/16 | (121,909 | ) | (679 | ) | |||||||||
6,300,000 | Philippines Peso | 06/03/16 | (135,306 | ) | (606 | ) | |||||||||
6,510,000 | Philippines Peso | 06/03/16 | (138,452 | ) | 739 | ||||||||||
3,570,000 | Philippines Peso | 09/02/16 | (75,990 | ) | 260 | ||||||||||
10,710,000 | Philippines Peso | 09/02/16 | (228,261 | ) | (515 | ) | |||||||||
(483,000 | ) | Polish Zloty | 06/03/16 | 120,841 | (1,626 | ) | |||||||||
(252,000 | ) | Polish Zloty | 06/03/16 | 64,736 | 840 | ||||||||||
(231,000 | ) | Polish Zloty | 06/03/16 | 59,681 | 1,109 | ||||||||||
(210,000 | ) | Polish Zloty | 06/03/16 | 53,815 | 569 | ||||||||||
(210,000 | ) | Polish Zloty | 06/03/16 | 56,591 | 3,345 | ||||||||||
(189,000 | ) | Polish Zloty | 06/03/16 | 48,042 | 120 | ||||||||||
(189,000 | ) | Polish Zloty | 06/03/16 | 48,913 | 991 | ||||||||||
(168,000 | ) | Polish Zloty | 06/03/16 | 43,999 | 1,402 | ||||||||||
(168,000 | ) | Polish Zloty | 06/03/16 | 44,264 | 1,666 | ||||||||||
(168,000 | ) | Polish Zloty | 06/03/16 | 44,612 | 2,015 | ||||||||||
(168,000 | ) | Polish Zloty | 06/03/16 | 44,128 | 1,531 | ||||||||||
(168,000 | ) | Polish Zloty | 06/03/16 | 44,731 | 2,134 | ||||||||||
(168,000 | ) | Polish Zloty | 06/03/16 | 44,120 | 1,523 | ||||||||||
168,000 | Polish Zloty | 06/03/16 | (44,228 | ) | (1,631 | ) | |||||||||
189,000 | Polish Zloty | 06/03/16 | (49,794 | ) | (1,872 | ) | |||||||||
189,000 | Polish Zloty | 06/03/16 | (48,598 | ) | (676 | ) | |||||||||
189,000 | Polish Zloty | 06/03/16 | (48,689 | ) | (768 | ) | |||||||||
210,000 | Polish Zloty | 06/03/16 | (54,473 | ) | (1,226 | ) | |||||||||
210,000 | Polish Zloty | 06/03/16 | (52,978 | ) | 268 | ||||||||||
231,000 | Polish Zloty | 06/03/16 | (59,485 | ) | (914 | ) | |||||||||
273,000 | Polish Zloty | 06/03/16 | (69,000 | ) | 220 | ||||||||||
273,000 | Polish Zloty | 06/03/16 | (72,730 | ) | (3,510 | ) | |||||||||
336,000 | Polish Zloty | 06/03/16 | (84,807 | ) | 388 | ||||||||||
504,000 | Polish Zloty | 06/03/16 | (130,556 | ) | (2,764 | ) | |||||||||
378,000 | Polish Zloty | 09/02/16 | (96,007 | ) | (32 | ) | |||||||||
(168,000 | ) | Pounds Sterling | 06/03/16 | 234,111 | (9,218 | ) | |||||||||
(168,000 | ) | Pounds Sterling | 06/03/16 | 234,831 | (8,498 | ) | |||||||||
(105,000 | ) | Pounds Sterling | 06/03/16 | 153,621 | 1,541 | ||||||||||
(105,000 | ) | Pounds Sterling | 06/03/16 | 149,502 | (2,579 | ) | |||||||||
(105,000 | ) | Pounds Sterling | 06/03/16 | 148,814 | (3,267 | ) | |||||||||
(63,000 | ) | Pounds Sterling | 06/03/16 | 90,204 | (1,045 | ) | |||||||||
(42,000 | ) | Pounds Sterling | 06/03/16 | 61,086 | 254 | ||||||||||
(42,000 | ) | Pounds Sterling | 06/03/16 | 58,841 | (1,991 | ) | |||||||||
(42,000 | ) | Pounds Sterling | 06/03/16 | 59,987 | (845 | ) | |||||||||
(42,000 | ) | Pounds Sterling | 06/03/16 | 60,773 | (59 | ) |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) |
Jefferies & Co., Inc. – (continued) | (21,000 | ) | Pounds Sterling | 06/03/16 | $ | 29,342 | $ | (1,074 | ) | ||||||
(21,000 | ) | Pounds Sterling | 06/03/16 | 30,209 | (207 | ) | |||||||||
21,000 | Pounds Sterling | 06/03/16 | (30,289 | ) | 127 | ||||||||||
21,000 | Pounds Sterling | 06/03/16 | (29,791 | ) | 625 | ||||||||||
21,000 | Pounds Sterling | 06/03/16 | (30,512 | ) | (96 | ) | |||||||||
42,000 | Pounds Sterling | 06/03/16 | (61,214 | ) | (382 | ) | |||||||||
42,000 | Pounds Sterling | 06/03/16 | (61,472 | ) | (640 | ) | |||||||||
42,000 | Pounds Sterling | 06/03/16 | (60,837 | ) | (5 | ) | |||||||||
42,000 | Pounds Sterling | 06/03/16 | (60,354 | ) | 479 | ||||||||||
42,000 | Pounds Sterling | 06/03/16 | (61,444 | ) | (612 | ) | |||||||||
42,000 | Pounds Sterling | 06/03/16 | (60,581 | ) | 251 | ||||||||||
63,000 | Pounds Sterling | 06/03/16 | (90,084 | ) | 1,165 | ||||||||||
63,000 | Pounds Sterling | 06/03/16 | (91,701 | ) | (453 | ) | |||||||||
63,000 | Pounds Sterling | 06/03/16 | (91,598 | ) | (350 | ) | |||||||||
63,000 | Pounds Sterling | 06/03/16 | (90,111 | ) | 1,137 | ||||||||||
63,000 | Pounds Sterling | 06/03/16 | (92,515 | ) | (1,267 | ) | |||||||||
84,000 | Pounds Sterling | 06/03/16 | (122,878 | ) | (1,214 | ) | |||||||||
105,000 | Pounds Sterling | 06/03/16 | (152,954 | ) | (873 | ) | |||||||||
105,000 | Pounds Sterling | 06/03/16 | (152,068 | ) | 12 | ||||||||||
21,000 | Pounds Sterling | 09/02/16 | (30,757 | ) | (431 | ) | |||||||||
105,000 | Pounds Sterling | 09/02/16 | (153,713 | ) | (1,533 | ) | |||||||||
(8,400,000 | ) | Russian Rouble | 06/03/16 | 126,468 | 611 | ||||||||||
(2,100,000 | ) | Russian Rouble | 06/03/16 | 30,151 | (1,314 | ) | |||||||||
2,100,000 | Russian Rouble | 06/03/16 | (28,649 | ) | 2,815 | ||||||||||
4,200,000 | Russian Rouble | 06/03/16 | (55,570 | ) | 7,358 | ||||||||||
4,200,000 | Russian Rouble | 06/03/16 | (62,733 | ) | 195 | ||||||||||
8,400,000 | Russian Rouble | 09/02/16 | (123,439 | ) | (678 | ) | |||||||||
(2,152,500 | ) | S. African Rand (Fin) | 06/03/16 | 147,807 | 10,938 | ||||||||||
(2,100,000 | ) | S. African Rand (Fin) | 06/03/16 | 135,473 | 1,941 | ||||||||||
(1,470,000 | ) | S. African Rand (Fin) | 06/03/16 | 95,744 | 2,272 | ||||||||||
(1,365,000 | ) | S. African Rand (Fin) | 06/03/16 | 84,083 | (2,712 | ) | |||||||||
(1,365,000 | ) | S. African Rand (Fin) | 06/03/16 | 85,045 | (1,751 | ) | |||||||||
(1,260,000 | ) | S. African Rand (Fin) | 06/03/16 | 80,270 | 151 | ||||||||||
(1,050,000 | ) | S. African Rand (Fin) | 06/03/16 | 66,680 | (86 | ) | |||||||||
(1,050,000 | ) | S. African Rand (Fin) | 06/03/16 | 67,202 | 437 | ||||||||||
(1,050,000 | ) | S. African Rand (Fin) | 06/03/16 | 66,146 | (619 | ) | |||||||||
(840,000 | ) | S. African Rand (Fin) | 06/03/16 | 52,327 | (1,086 | ) | |||||||||
(840,000 | ) | S. African Rand (Fin) | 06/03/16 | 55,314 | 1,901 | ||||||||||
(630,000 | ) | S. African Rand (Fin) | 06/03/16 | 41,891 | 1,832 | ||||||||||
210,000 | S. African Rand (Fin) | 06/03/16 | (14,572 | ) | (1,219 | ) | |||||||||
420,000 | S. African Rand (Fin) | 06/03/16 | (26,855 | ) | (149 | ) | |||||||||
472,500 | S. African Rand (Fin) | 06/03/16 | (31,073 | ) | (1,029 | ) | |||||||||
630,000 | S. African Rand (Fin) | 06/03/16 | (41,565 | ) | (1,506 | ) | |||||||||
630,000 | S. African Rand (Fin) | 06/03/16 | (43,686 | ) | (3,627 | ) | |||||||||
840,000 | S. African Rand (Fin) | 06/03/16 | (53,707 | ) | (294 | ) | |||||||||
840,000 | S. African Rand (Fin) | 06/03/16 | (52,902 | ) | 510 | ||||||||||
840,000 | S. African Rand (Fin) | 06/03/16 | (53,643 | ) | (231 | ) | |||||||||
1,050,000 | S. African Rand (Fin) | 06/03/16 | (68,094 | ) | (1,329 | ) | |||||||||
1,050,000 | S. African Rand (Fin) | 06/03/16 | (70,223 | ) | (3,458 | ) | |||||||||
1,050,000 | S. African Rand (Fin) | 06/03/16 | (70,318 | ) | (3,552 | ) | |||||||||
7,140,000 | S. African Rand (Fin) | 06/03/16 | (448,845 | ) | 5,161 | ||||||||||
840,000 | S. African Rand (Fin) | 09/02/16 | (52,732 | ) | (300 | ) | |||||||||
1,890,000 | S. African Rand (Fin) | 09/02/16 | (117,766 | ) | 1,335 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) |
Jefferies & Co., Inc. – (continued) | (105,000 | ) | Singapore Dollar | 06/03/16 | $ | 76,247 | $ | 4 | |||||||
(105,000 | ) | Singapore Dollar | 06/03/16 | 76,173 | (71 | ) | |||||||||
(84,000 | ) | Singapore Dollar | 06/03/16 | 60,663 | (332 | ) | |||||||||
(84,000 | ) | Singapore Dollar | 06/03/16 | 60,720 | (275 | ) | |||||||||
(63,000 | ) | Singapore Dollar | 06/03/16 | 45,533 | (213 | ) | |||||||||
42,000 | Singapore Dollar | 06/03/16 | (31,187 | ) | (690 | ) | |||||||||
42,000 | Singapore Dollar | 06/03/16 | (30,536 | ) | (39 | ) | |||||||||
84,000 | Singapore Dollar | 06/03/16 | (61,823 | ) | (828 | ) | |||||||||
126,000 | Singapore Dollar | 06/03/16 | (89,489 | ) | 2,003 | ||||||||||
147,000 | Singapore Dollar | 06/03/16 | (104,736 | ) | 2,004 | ||||||||||
(126,000 | ) | Singapore Dollar | 09/02/16 | 91,288 | (143 | ) | |||||||||
(63,000 | ) | Singapore Dollar | 09/02/16 | 45,733 | 62 | ||||||||||
(42,000 | ) | Singapore Dollar | 09/02/16 | 30,483 | 36 | ||||||||||
(945,000,000 | ) | South Korean Won | 06/03/16 | 761,378 | (32,116 | ) | |||||||||
(105,000,000 | ) | South Korean Won | 06/03/16 | 92,251 | 4,085 | ||||||||||
(84,000,000 | ) | South Korean Won | 06/03/16 | 71,465 | 932 | ||||||||||
(84,000,000 | ) | South Korean Won | 06/03/16 | 72,948 | 2,415 | ||||||||||
(84,000,000 | ) | South Korean Won | 06/03/16 | 73,581 | 3,048 | ||||||||||
(63,000,000 | ) | South Korean Won | 06/03/16 | 55,036 | 2,137 | ||||||||||
(63,000,000 | ) | South Korean Won | 06/03/16 | 55,297 | 2,397 | ||||||||||
(63,000,000 | ) | South Korean Won | 06/03/16 | 54,310 | 1,411 | ||||||||||
(63,000,000 | ) | South Korean Won | 06/03/16 | 54,273 | 1,373 | ||||||||||
(63,000,000 | ) | South Korean Won | 06/03/16 | 54,768 | 1,869 | ||||||||||
(63,000,000 | ) | South Korean Won | 06/03/16 | 52,852 | (47 | ) | |||||||||
(63,000,000 | ) | South Korean Won | 06/03/16 | 54,664 | 1,764 | ||||||||||
(42,000,000 | ) | South Korean Won | 06/03/16 | 36,107 | 841 | ||||||||||
(42,000,000 | ) | South Korean Won | 06/03/16 | 36,729 | 1,463 | ||||||||||
63,000,000 | South Korean Won | 06/03/16 | (52,083 | ) | 816 | ||||||||||
63,000,000 | South Korean Won | 06/03/16 | (51,860 | ) | 1,039 | ||||||||||
63,000,000 | South Korean Won | 06/03/16 | (53,399 | ) | (499 | ) | |||||||||
63,000,000 | South Korean Won | 06/03/16 | (54,226 | ) | (1,327 | ) | |||||||||
63,000,000 | South Korean Won | 06/03/16 | (53,030 | ) | (131 | ) | |||||||||
84,000,000 | South Korean Won | 06/03/16 | (68,304 | ) | 2,229 | ||||||||||
105,000,000 | South Korean Won | 06/03/16 | (90,098 | ) | (1,932 | ) | |||||||||
105,000,000 | South Korean Won | 06/03/16 | (87,756 | ) | 410 | ||||||||||
105,000,000 | South Korean Won | 06/03/16 | (89,882 | ) | (1,716 | ) | |||||||||
105,000,000 | South Korean Won | 06/03/16 | (87,859 | ) | 307 | ||||||||||
105,000,000 | South Korean Won | 06/03/16 | (87,999 | ) | 167 | ||||||||||
126,000,000 | South Korean Won | 06/03/16 | (108,220 | ) | (2,420 | ) | |||||||||
189,000,000 | South Korean Won | 06/03/16 | (152,962 | ) | 5,737 | ||||||||||
588,000,000 | South Korean Won | 06/03/16 | (497,462 | ) | (3,732 | ) | |||||||||
(588,000,000 | ) | South Korean Won | 09/02/16 | 496,664 | 3,640 | ||||||||||
(1,470,000 | ) | Swedish Krona | 06/03/16 | 173,012 | (3,242 | ) | |||||||||
(840,000 | ) | Swedish Krona | 06/03/16 | 101,295 | 578 | ||||||||||
(840,000 | ) | Swedish Krona | 06/03/16 | 99,043 | (1,674 | ) | |||||||||
(630,000 | ) | Swedish Krona | 06/03/16 | 75,682 | 144 | ||||||||||
(630,000 | ) | Swedish Krona | 06/03/16 | 75,724 | 186 | ||||||||||
(630,000 | ) | Swedish Krona | 06/03/16 | 75,432 | (105 | ) | |||||||||
(630,000 | ) | Swedish Krona | 06/03/16 | 75,738 | 200 | ||||||||||
(630,000 | ) | Swedish Krona | 06/03/16 | 75,847 | 309 | ||||||||||
(630,000 | ) | Swedish Krona | 06/03/16 | 75,625 | 88 | ||||||||||
(420,000 | ) | Swedish Krona | 06/03/16 | 49,431 | (927 | ) | |||||||||
(420,000 | ) | Swedish Krona | 06/03/16 | 50,694 | 336 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) |
Jefferies & Co., Inc. – (continued) | (420,000 | ) | Swedish Krona | 06/03/16 | $ | 51,587 | $ | 1,229 | |||||||
(420,000 | ) | Swedish Krona | 06/03/16 | 50,752 | 394 | ||||||||||
(420,000 | ) | Swedish Krona | 06/03/16 | 50,199 | (160 | ) | |||||||||
(420,000 | ) | Swedish Krona | 06/03/16 | 49,728 | (631 | ) | |||||||||
(210,000 | ) | Swedish Krona | 06/03/16 | 24,864 | (315 | ) | |||||||||
420,000 | Swedish Krona | 06/03/16 | (51,717 | ) | (1,359 | ) | |||||||||
420,000 | Swedish Krona | 06/03/16 | (51,193 | ) | (834 | ) | |||||||||
420,000 | Swedish Krona | 06/03/16 | (51,782 | ) | (1,424 | ) | |||||||||
420,000 | Swedish Krona | 06/03/16 | (52,271 | ) | (1,912 | ) | |||||||||
630,000 | Swedish Krona | 06/03/16 | (78,431 | ) | (2,893 | ) | |||||||||
630,000 | Swedish Krona | 06/03/16 | (77,682 | ) | (2,145 | ) | |||||||||
1,050,000 | Swedish Krona | 06/03/16 | (128,065 | ) | (2,169 | ) | |||||||||
1,680,000 | Swedish Krona | 06/03/16 | (196,069 | ) | 5,365 | ||||||||||
3,990,000 | Swedish Krona | 06/03/16 | (479,419 | ) | (1,014 | ) | |||||||||
(3,990,000 | ) | Swedish Krona | 09/02/16 | 481,175 | 960 | ||||||||||
(630,000 | ) | Swedish Krona | 09/02/16 | 75,915 | (77 | ) | |||||||||
(420,000 | ) | Swedish Krona | 09/02/16 | 50,794 | 245 | ||||||||||
(84,000 | ) | Swiss Franc | 06/03/16 | 85,430 | 911 | ||||||||||
(84,000 | ) | Swiss Franc | 06/03/16 | 84,859 | 339 | ||||||||||
(84,000 | ) | Swiss Franc | 06/03/16 | 86,864 | 2,344 | ||||||||||
(63,000 | ) | Swiss Franc | 06/03/16 | 64,547 | 1,158 | ||||||||||
(63,000 | ) | Swiss Franc | 06/03/16 | 63,996 | 607 | ||||||||||
(63,000 | ) | Swiss Franc | 06/03/16 | 66,424 | 3,034 | ||||||||||
(63,000 | ) | Swiss Franc | 06/03/16 | 63,344 | (46 | ) | |||||||||
(63,000 | ) | Swiss Franc | 06/03/16 | 65,617 | 2,227 | ||||||||||
(63,000 | ) | Swiss Franc | 06/03/16 | 63,518 | 128 | ||||||||||
(42,000 | ) | Swiss Franc | 06/03/16 | 43,940 | 1,680 | ||||||||||
(42,000 | ) | Swiss Franc | 06/03/16 | 42,621 | 361 | ||||||||||
(42,000 | ) | Swiss Franc | 06/03/16 | 42,401 | 141 | ||||||||||
(42,000 | ) | Swiss Franc | 06/03/16 | 43,513 | 1,253 | ||||||||||
(42,000 | ) | Swiss Franc | 06/03/16 | 42,569 | 309 | ||||||||||
42,000 | Swiss Franc | 06/03/16 | (43,981 | ) | (1,721 | ) | |||||||||
42,000 | Swiss Franc | 06/03/16 | (44,153 | ) | (1,893 | ) | |||||||||
42,000 | Swiss Franc | 06/03/16 | (43,797 | ) | (1,537 | ) | |||||||||
42,000 | Swiss Franc | 06/03/16 | (43,111 | ) | (851 | ) | |||||||||
63,000 | Swiss Franc | 06/03/16 | (65,108 | ) | (1,719 | ) | |||||||||
63,000 | Swiss Franc | 06/03/16 | (66,058 | ) | (2,668 | ) | |||||||||
63,000 | Swiss Franc | 06/03/16 | (63,222 | ) | 168 | ||||||||||
63,000 | Swiss Franc | 06/03/16 | (63,322 | ) | 68 | ||||||||||
63,000 | Swiss Franc | 06/03/16 | (66,142 | ) | (2,752 | ) | |||||||||
63,000 | Swiss Franc | 06/03/16 | (63,418 | ) | (28 | ) | |||||||||
105,000 | Swiss Franc | 06/03/16 | (109,050 | ) | (3,401 | ) | |||||||||
189,000 | Swiss Franc | 06/03/16 | (191,142 | ) | (973 | ) | |||||||||
(2,520,000 | ) | Thailand Baht | 06/03/16 | 70,926 | 391 | ||||||||||
(2,310,000 | ) | Thailand Baht | 06/03/16 | 64,833 | 176 | ||||||||||
(1,890,000 | ) | Thailand Baht | 06/03/16 | 53,458 | 556 | ||||||||||
(1,680,000 | ) | Thailand Baht | 06/03/16 | 48,048 | 1,025 | ||||||||||
(1,470,000 | ) | Thailand Baht | 06/03/16 | 41,839 | 693 | ||||||||||
1,890,000 | Thailand Baht | 06/03/16 | (53,307 | ) | (406 | ) | |||||||||
2,520,000 | Thailand Baht | 06/03/16 | (70,588 | ) | (53 | ) | |||||||||
5,460,000 | Thailand Baht | 06/03/16 | (152,685 | ) | 142 | ||||||||||
(2,520,000 | ) | Thailand Baht | 09/02/16 | 70,450 | 18 | ||||||||||
$ | (62,895 | ) |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
At May 31, 2016, the Fund held the following futures contracts:
Contracts | Type | Expiration Date | Notional Contract Value | Net Unrealized Appreciation (Depreciation) |
4 | 10-year Mini JGB Future | 06/14/16 | $ | 559,483 | $ | (152 | ) | ||||||
5 | ASX SPI 200 Index Future | 06/21/16 | 488,357 | 3,676 | |||||||||
4 | Austrailian 10-year Bond Future | 06/21/16 | 388,367 | (1,023 | ) | ||||||||
6 | Austrailian 3-year Bond Future | 06/21/16 | 498,689 | 316 | |||||||||
2 | Canadian 10-year Bond Future | 10/04/16 | 221,066 | 523 | |||||||||
11 | EURO-BOBL Future | 06/14/16 | 1,629,647 | (474 | ) | ||||||||
3 | EURO-BUND Future | 06/14/16 | 554,244 | 388 | |||||||||
3 | EURO-STOXX 50 Future | 06/21/16 | 100,744 | 1,463 | |||||||||
1 | Long Gilt Future | 10/04/16 | 177,607 | 159 | |||||||||
1 | NASDAQ 100 E-Mini Future | 06/21/16 | 87,439 | 3,046 | |||||||||
1 | S&P 500 E-Mini Future | 06/21/16 | 104,654 | 1,446 | |||||||||
5 | SGX Nifty Future | 07/05/16 | 79,224 | 2,661 | |||||||||
1 | U.S. 10-year Note Future | 10/04/16 | 129,628 | 59 | |||||||||
(2 | ) | FTSE 100 Index Future | 06/24/16 | (178,465 | ) | (2,393 | ) | ||||||
(1 | ) | Gold 100 oz. Future | 09/06/16 | (125,246 | ) | 3,496 | |||||||
(2 | ) | Hang Seng Index Future | 07/05/16 | (251,738 | ) | (11,815 | ) | ||||||
(1 | ) | U.S. 5-year Note Future | 10/11/16 | (119,911 | ) | (206 | ) | ||||||
(1 | ) | Yen Denom Nikkei 225 Future | 06/14/16 | (75,923 | ) | (2,175 | ) | ||||||
$ | 4,267,866 | $ | (1,005 | ) |
The following is a summary of the inputs used to value the Fund's investments and other financial instruments and liabilities as of May 31, 2016.
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in Note 2 of the accompanying Notes to Financial Statements.
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
Level 1 | Level 2 | Level 3 | Total |
Assets | ||||||||||||||||
Investments At Value | ||||||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 1,164,137 | $ | - | $ | - | $ | 1,164,137 | ||||||||
Agricultural Operations | 92,788 | - | - | 92,788 | ||||||||||||
Airlines | 742,170 | - | - | 742,170 | ||||||||||||
Apparel, Shoes, etc. | 833,236 | - | - | 833,236 | ||||||||||||
Auto | 439,834 | - | - | 439,834 | ||||||||||||
Building - Mobile Home/RV | 411,970 | - | - | 411,970 | ||||||||||||
Chemicals - Agricultural | 62,667 | - | - | 62,667 | ||||||||||||
Chemicals - Basic | 1,037,037 | - | - | 1,037,037 | ||||||||||||
Chemicals - Paint | 149,962 | - | - | 149,962 | ||||||||||||
Chemicals - Specialty | 147,043 | - | - | 147,043 | ||||||||||||
Cleaning and Prep | 79,137 | - | - | 79,137 | ||||||||||||
Commercial Services | 52,915 | - | - | 52,915 | ||||||||||||
Computer Software | 69,451 | - | - | 69,451 | ||||||||||||
Diversified Operations | 847,780 | - | - | 847,780 | ||||||||||||
Electronic Components | 392,252 | - | - | 392,252 | ||||||||||||
Financials | 200,026 | - | - | 200,026 | ||||||||||||
Food | 1,274,333 | - | - | 1,274,333 | ||||||||||||
Homebuilders | 431,517 | - | - | 431,517 | ||||||||||||
Household - Appliance/Wares | 52,537 | - | - | 52,537 | ||||||||||||
Industrial Distribution | 416,872 | - | - | 416,872 | ||||||||||||
Industrials | 166,640 | - | - | 166,640 | ||||||||||||
Insurance - Accidental & Health | 75,781 | - | - | 75,781 | ||||||||||||
Insurance - Brokers | 144,694 | - | - | 144,694 | ||||||||||||
Insurance - Property/Casualty/Title | 718,021 | - | - | 718,021 | ||||||||||||
Internet | 1,035,074 | - | - | 1,035,074 | ||||||||||||
Machinery | 1,286,117 | - | - | 1,286,117 | ||||||||||||
Media | 663,658 | - | - | 663,658 | ||||||||||||
Metal Processing & Fabrication | 41,911 | - | - | 41,911 | ||||||||||||
Paper & Paper Products | 38,070 | - | - | 38,070 | ||||||||||||
Retail - Restaurant | 129,211 | - | - | 129,211 | ||||||||||||
Retail - Wholesale/Building | 138,601 | - | - | 138,601 | ||||||||||||
Semiconductor | 416,232 | - | - | 416,232 | ||||||||||||
Software | 67,387 | - | - | 67,387 | ||||||||||||
Telecommunications - Cable | 145,125 | - | - | 145,125 | ||||||||||||
Tobacco | 403,812 | - | - | 403,812 | ||||||||||||
Transportation - Freight | 50,720 | - | - | 50,720 | ||||||||||||
Transportation - Logistics | 607,855 | - | - | 607,855 | ||||||||||||
Transportation - Rails | 105,911 | - | - | 105,911 | ||||||||||||
Money Market Fund | - | 1,370,645 | - | 1,370,645 | ||||||||||||
Total Investments At Value | $ | 15,132,484 | $ | 1,370,645 | $ | - | $ | 16,503,129 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | - | 417,209 | - | 417,209 | ||||||||||||
Futures | 17,233 | - | - | 17,233 | ||||||||||||
Total Other Financial Instruments** | $ | 17,233 | $ | 417,209 | $ | - | $ | 434,442 | ||||||||
Total Assets | $ | 15,149,717 | $ | 1,787,854 | $ | - | $ | 16,937,571 |
Liabilities Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | - | (480,104 | ) | - | (480,104 | ) | ||||||||||
Futures | (18,238 | ) | - | - | (18,238 | ) | ||||||||||
Total Other Financial Instruments** | $ | (18,238 | ) | $ | (480,104 | ) | $ | - | $ | (498,342 | ) |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2016 |
**Other Financial Instruments are derivatives not reflected in the Schedule of Investments, such as forward currency contracts and futures, which are valued at the unrealized appreciation (depreciation) at period end.
The Fund utilizes the end of period methodology when determining transfers. There were no transfers among Level 1, Level 2 and Level 3 for the period ended May 31, 2016.
AFA
PORTFOLIO HOLDINGS | ||
% of Total Investments | ||
Aerospace & Defense | 7.1 | % |
Agricultural Operations | 0.6 | % |
Airlines | 4.5 | % |
Apparel, Shoes, etc. | 5.0 | % |
Auto | 2.7 | % |
Building - Mobile Home/RV | 2.5 | % |
Chemicals - Agricultural | 0.4 | % |
Chemicals - Basic | 6.3 | % |
Chemicals - Paint | 0.9 | % |
Chemicals - Specialty | 0.9 | % |
Cleaning and Prep | 0.5 | % |
Commercial Services | 0.3 | % |
Computer Software | 0.4 | % |
Diversified Operations | 5.1 | % |
Electronic Components | 2.4 | % |
Financials | 1.2 | % |
Food | 7.7 | % |
Homebuilders | 2.6 | % |
Household - Appliance/Wares | 0.3 | % |
Industrial Distribution | 2.5 | % |
Industrials | 1.0 | % |
Insurance - Accidental & Health | 0.5 | % |
Insurance - Brokers | 0.9 | % |
Insurance - Property/Casualty/Title | 4.4 | % |
Internet | 6.3 | % |
Machinery | 7.8 | % |
Media | 4.0 | % |
Metal Processing & Fabrication | 0.3 | % |
Paper & Paper Products | 0.2 | % |
Retail - Restaurant | 0.8 | % |
Retail - Wholesale/Building | 0.8 | % |
Semiconductor | 2.5 | % |
Software | 0.4 | % |
Telecommunications - Cable | 0.9 | % |
Tobacco | 2.4 | % |
Transportation - Freight | 0.3 | % |
Transportation - Logistics | 3.7 | % |
Transportation - Rails | 0.6 | % |
Money Market Fund | 8.3 | % |
100.0 | % |
CVR DYNAMIC ALLOCATION FUND STATEMENT OF OPERATIONS SIX MONTHS ENDED MAY 31, 2016 |
INVESTMENT INCOME | ||||||
Dividend income | . | $ | 141,926 | |||
Interest income | 1,485 | |||||
Total Investment Income | 143,411 | |||||
EXPENSES | ||||||
Investment adviser fees | 104,607 | |||||
Fund services fees | 57,277 | |||||
Custodian fees | 2,911 | |||||
Registration fees | 5,192 | |||||
Professional fees | 14,122 | |||||
Trustees' fees and expenses | 2,197 | |||||
Miscellaneous expenses | 18,327 | |||||
Total Expenses | 204,633 | |||||
Fees waived and expenses reimbursed | (51,184 | ) | ||||
Net Expenses | 153,449 | |||||
NET INVESTMENT LOSS | (10,038 | ) | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||
Net realized gain (loss) on: | ||||||
Investments | (2,127,436 | ) | ||||
Foreign currency transactions | (3,036 | ) | ||||
Futures | (52,960 | ) | ||||
Net realized loss | (2,183,432 | ) | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | 931,145 | |||||
Foreign currency translations | 41,997 | |||||
Futures | (24,496 | ) | ||||
Net change in unrealized appreciation (depreciation) | 948,646 | |||||
NET REALIZED AND UNREALIZED LOSS | (1,234,786 | ) | ||||
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (1,244,824 | ) | |||
CVR DYNAMIC ALLOCATION FUND STATEMENTS OF CHANGES IN NET ASSETS |
For the Six Months Ended May 31, 2016 | For the Year Ended November 30, 2015 | ||||||||||
OPERATIONS | |||||||||||
Net investment loss | $ | (10,038 | ) | $ | (90,474 | ) | |||||
Net realized gain (loss) | (2,183,432 | ) | 141,622 | ||||||||
Net change in unrealized appreciation (depreciation) | 948,646 | (1,338,106 | ) | ||||||||
Decrease in Net Assets Resulting from Operations | (1,244,824 | ) | (1,286,958 | ) | |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | |||||||||||
Net realized gain: | |||||||||||
Institutional Shares | (7,352 | ) | (122,144 | ) | |||||||
CAPITAL SHARE TRANSACTIONS | |||||||||||
Sale of shares: | |||||||||||
Institutional Shares | 905,990 | 6,744,306 | |||||||||
Reinvestment of distributions: | |||||||||||
Institutional Shares | 7,352 | 122,144 | |||||||||
Redemption of shares: | |||||||||||
Institutional Shares | (3,846,425 | ) | (2,236,223 | ) | |||||||
Increase (Decrease) in Net Assets from Capital Share Transactions | (2,933,083 | ) | 4,630,227 | ||||||||
Increase (Decrease) in Net Assets | (4,185,259 | ) | 3,221,125 | ||||||||
NET ASSETS | |||||||||||
Beginning of Period | 22,713,377 | 19,492,252 | |||||||||
End of Period (Including line (a)) | $ | 18,528,118 | $ | 22,713,377 | |||||||
SHARE TRANSACTIONS | |||||||||||
Sale of shares: | |||||||||||
Institutional Shares | 93,970 | 638,603 | |||||||||
Reinvestment of distributions: | |||||||||||
Institutional Shares | 754 | 11,745 | |||||||||
Redemption of shares: | |||||||||||
Institutional Shares | (403,497 | ) | (219,467 | ) | |||||||
Increase (Decrease) in Shares | (308,773 | ) | 430,881 | ||||||||
(a) | Accumulated net investment loss | $ | (20,313 | ) | $ | (10,275 | ) |
CVR DYNAMIC ALLOCATION FUND FINANCIAL HIGHLIGHTS |
These financial highlights reflect selected data for a share outstanding throughout each period. | |||||||||||||
For the Six Months Ended May 31, 2016 | For the Year Ended November 30, 2015 | December 30, 2013 (a) Through November 30, 2014 | |||||||||||
INSTITUTIONAL SHARES | |||||||||||||
NET ASSET VALUE, Beginning of Period | $ | 10.07 | $ | 10.68 | $ | 10.00 | |||||||
INVESTMENT OPERATIONS | |||||||||||||
Net investment loss (b) | (0.01 | ) | (0.04 | ) | (0.07 | ) | |||||||
Net realized and unrealized gain (loss) | (0.54 | ) | (0.50 | ) | 0.68 | ||||||||
Net gain from contribution by affiliate | - | - | 0.07 | ||||||||||
Total from Investment Operations | (0.55 | ) | (0.54 | ) | 0.68 | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | |||||||||||||
Net realized gain | — | (c) | (0.07 | ) | — | ||||||||
NET ASSET VALUE, End of Period | $ | 9.52 | $ | 10.07 | $ | 10.68 | |||||||
TOTAL RETURN | (5.43 | )%(d) | (5.11 | )% | 6.80 | %(d)(e) | |||||||
RATIOS/SUPPLEMENTARY DATA | |||||||||||||
Net Assets at End of Period (000's omitted) | $18,528 | $22,713 | $19,492 | ||||||||||
Ratios to Average Net Assets:(f) | |||||||||||||
Net investment loss | (0.11 | )%(g) | (0.41 | )% | (0.70 | )%(g) | |||||||
Net expenses (h) | 1.61 | %(g) | 1.52 | % | 1.47 | %(g) | |||||||
Gross expenses (i) | 2.15 | %(g) | 2.26 | % | 3.14 | %(g) | |||||||
PORTFOLIO TURNOVER RATE | 78 | %(d) | 129 | % | 157 | %(d) | |||||||
(a) | Commencement of operations. | ||||||||||||
(b) | Calculated based on average shares outstanding during each period. | ||||||||||||
(c) | Less than $0.01 per share. | ||||||||||||
(d) | Not annualized. | ||||||||||||
(e) | Calculation includes affiliate reimbursements and gains incurred on the contribution of capital. Excluding the effect of the net reimbursements from the Fund's ending net asset value per share, total return for the period ending November 30, 2014, would have been 6.10%. | ||||||||||||
(f) | The ratios of expenses and net investment loss to average net assets do not reflect the Fund's proportionate share of income and expenses of underlying investment companies in which the Fund invests. | ||||||||||||
(g) | Annualized. | ||||||||||||
(h) | Net expenses include reimbursement of indirect fees by the Adviser, such as acquired fund fees and expenses. | ||||||||||||
(i) | Reflects the expense ratio excluding any waivers and/or reimbursements. |
CVR DYNAMIC ALLOCATION FUND NOTES TO FINANCIAL STATEMENTS MAY 31, 2016 |
Note 1. Organization
The CVR Dynamic Allocation Fund (the "Fund") is a diversified portfolio of Forum Funds II (the "Trust"). The Trust is a Delaware statutory trust that is registered as an open-end, management investment company under the Investment Company Act of 1940 (the "Act"), as amended. Under its Trust Instrument, the Trust is authorized to issue an unlimited number of the Fund's shares of beneficial interest without par value. The Fund commenced operations on December 30, 2013. The Fund currently offers two classes of shares: Institutional Shares and Investor Shares. As of May 31, 2016, Investor Shares had not commenced operations. The Fund seeks long-term capital appreciation while preserving capital in declining markets.
Note 2. Summary of Significant Accounting Policies
These financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP"), which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the fiscal period. Actual amounts could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation – Exchange-traded securities (such as shares of exchange-traded funds) and over-the-counter securities are valued using the last quoted trade or official closing price, provided by independent pricing services as of the close of trading on the market or exchange for which they are primarily traded, on each Fund business day. In the absence of a sale, such securities are valued at the mean of the last bid and ask price provided by independent pricing services. Non-exchange-traded securities for which quotations are available are valued using the last quoted sales price, or in the absence of a sale, at the mean of the last bid and ask prices provided by independent pricing services. Futures contracts listed for trading on a securities exchange or board of trade shall be valued at the last quoted sales price or in the absence of a sale at the mean of the last bid and asked prices. Forward currency contracts are generally valued at the mean of bid and ask prices for the time period interpolated from rates reported by an independent pricing service for proximate time periods. Shares of non-exchange traded open-end mutual funds are valued at net asset value ("NAV"). Short-term investments that mature in 60 days or less may be valued at amortized cost.
The Fund values its investments at fair value pursuant to procedures adopted by the Trust's Board of Trustees (the "Board") if (1) market quotations are insufficient or not readily available or (2) the adviser believes that the values available are unreliable. The Trust's Valuation Committee, as defined in the Fund's registration statement, performs certain functions as they relate to the administration and oversight of the Fund's valuation procedures. Under these procedures, the Valuation Committee convenes on a regular and ad-hoc basis to review such investments and considers a number of factors, including valuation methodologies and significant unobservable inputs, when arriving at fair value.
The Valuation Committee may work with the adviser to provide valuation inputs. In determining fair valuations, inputs may include market-based analytics which may consider related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant investment information. Adviser inputs may include an income-based approach in which the anticipated future cash flows of the investment are discounted in determining fair value. Discounts may also be applied based on the nature or duration of any restrictions on the disposition of the investments. The Valuation Committee performs regular reviews of valuation methodologies, key inputs and assumptions, disposition analysis and market activity.
Fair valuation is based on subjective factors and, as a result, the fair value price of an investment may differ from the security's market price and may not be the price at which the asset may be sold. Fair valuation could result in a different NAV than a NAV determined by using market quotes.
The Fund has a three-tier fair value hierarchy. The basis of the tiers is dependent upon the various "inputs" used to determine the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical assets and liabilities
Level 2 — other significant observable inputs (including quoted prices of similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The aggregate value by input level, as of May 31, 2016, for the Fund's investments is included in the Fund's Schedule of Investments.