As filed with the Securities and Exchange Commission on July 10, 2017
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, 2016 – May 31, 2017
ITEM 1. REPORT TO STOCKHOLDERS.
CVR DYNAMIC ALLOCATION FUND SCHEDULE OF INVESTMENTS MAY 31, 2017 |
![]() | Shares | Security Description | Value |
Common Stock - 88.1% | ||||||||
Aerospace & Defense - 0.8% | ||||||||
545 | Esterline Technologies Corp. (a) | $ | 53,110 | |||||
928 | KLX, Inc. (a) | 44,906 | ||||||
209 | Rockwell Collins, Inc. | 22,792 | ||||||
371 | Teledyne Technologies, Inc. (a) | 48,790 | ||||||
169,598 | ||||||||
Agricultural Operations - 2.0% | ||||||||
5,695 | Bunge, Ltd. | 455,429 | ||||||
Auto & Truck - 5.5% | |||||||
10,568 | Cooper Tire & Rubber Co. | 380,448 | |||||
2,341 | Dana, Inc. | 49,442 | |||||
18,882 | Gentex Corp. | 358,381 | |||||
2,707 | Lear Corp. | 403,451 | |||||
701 | Oshkosh Corp. | 44,247 | |||||
1,235,969 | |||||||
Banks - 2.7% | |||||||
1,392 | Associated Banc-Corp. | 33,199 | |||||
1,048 | BancorpSouth, Inc. | 30,078 | |||||
842 | Cathay General Bancorp | 29,891 | |||||
352 | Cullen/Frost Bankers, Inc. | 32,264 | |||||
608 | East West Bancorp, Inc. | 33,276 | |||||
2,174 | FNB Corp. | 28,697 | |||||
1,827 | Fulton Financial Corp. | 31,972 | |||||
698 | Hancock Holding Co. | 32,248 | |||||
764 | MB Financial, Inc. | 31,462 | |||||
582 | PacWest Bancorp | 27,162 | |||||
656 | PrivateBancorp, Inc. | 39,091 | |||||
439 | Prosperity Bancshares, Inc. | 27,499 | |||||
225 | Signature Bank (a) | 32,179 | |||||
176 | SVB Financial Group (a) | 30,008 | |||||
770 | Synovus Financial Corp. | 31,478 | |||||
1,985 | TCF Financial Corp. | 29,894 | |||||
1,738 | Umpqua Holdings Corp. | 29,450 | |||||
2,856 | Valley National Bancorp | 32,216 | |||||
677 | Webster Financial Corp. | 32,983 | |||||
595,047 | |||||||
Biotechnology - 0.3% | |||||||
545 | United Therapeutics Corp. (a) | 65,885 | |||||
Building - 1.4% | |||||||
1,272 | AECOM (a) | 40,844 | |||||
1,320 | CalAtlantic Group, Inc. | 47,573 | |||||
699 | EMCOR Group, Inc. | 44,051 | |||||
2,883 | KBR, Inc. | 39,295 | |||||
2,141 | Louisiana-Pacific Corp. (a) | 47,702 | |||||
3,719 | TRI Pointe Group, Inc. (a) | 46,004 | |||||
328 | Watsco, Inc. | 46,287 | |||||
311,756 |
Chemicals - 4.1% | ||||||||
427 | Ashland Global Holdings, Inc. | 28,413 | ||||||
879 | Cabot Corp. | 45,910 | ||||||
656 | Compass Minerals International, Inc. | 42,082 | ||||||
6,573 | FMC Corp. | 495,407 | ||||||
119 | NewMarket Corp. | 55,377 | ||||||
1,674 | Olin Corp. | 49,115 | ||||||
1,514 | PolyOne Corp. | 56,533 | ||||||
979 | RPM International, Inc. | 53,091 | ||||||
1,575 | The Chemours Co. | 62,984 | ||||||
1,172 | Valvoline, Inc. | 26,218 | ||||||
915,130 | ||||||||
Commercial Services - 2.8% | ||||||||
2,007 | Convergys Corp. | 48,790 | ||||||
183 | Factset Research Systems, Inc. | 30,321 | ||||||
815 | GATX Corp. | 48,476 | ||||||
933 | Leidos Holdings, Inc. | 51,838 | ||||||
495 | ManpowerGroup, Inc. | 50,426 | ||||||
15,865 | The Interpublic Group of Cos., Inc. | 395,514 | ||||||
625,365 | ||||||||
Communications - 0.2% | ||||||||
1,151 | FTI Consulting, Inc. (a) | 39,744 | ||||||
Computers - 7.9% | |||||||
2,436 | ACI Worldwide, Inc. (a) | 55,687 | |||||
1,694 | Acxiom Corp. (a) | 44,383 | |||||
7,211 | Allscripts Healthcare Solutions, Inc. (a) | 82,278 | |||||
481 | ANSYS, Inc. (a) | 60,765 | |||||
3,522 | Brocade Communications Systems, Inc. | 44,483 | |||||
1,586 | Cadence Design Systems, Inc. (a) | 55,732 | |||||
411 | DST Systems, Inc. | 49,657 | |||||
15,632 | Juniper Networks, Inc. | 458,487 | |||||
966 | Manhattan Associates, Inc. (a) | 45,247 | |||||
1,510 | National Instruments Corp. | 57,606 | |||||
1,284 | NetScout Systems, Inc. (a) | 46,994 | |||||
22,997 | Nuance Communications, Inc. (a) | 425,674 | |||||
12,158 | Teradata Corp. (a) | 331,427 | |||||
1,758,420 | |||||||
Consumer Products - 0.2% | |||||||
888 | Plantronics, Inc. | 46,993 | |||||
Containers - 1.4% | |||||||
704 | AptarGroup, Inc. | 59,847 | |||||
1,051 | Bemis Co., Inc. | 46,917 | |||||
892 | Greif, Inc., Class A | 53,029 | |||||
2,604 | Owens-Illinois, Inc. (a) | 58,772 | |||||
1,704 | Silgan Holdings, Inc. | 54,204 | |||||
964 | Sonoco Products Co. | 48,885 | |||||
321,654 |
See Notes to Financial Statements. | 1 |
CVR DYNAMIC ALLOCATION FUND SCHEDULE OF INVESTMENTS MAY 31, 2017 |
![]() | Shares | Security Description | Value |
Cosmetics & Personal Care - 0.6% | ||||||||
467 | Helen of Troy, Ltd. (a) | $ | 42,497 | |||||
1,581 | Prestige Brands Holdings, Inc. (a) | 79,651 | ||||||
122,148 | ||||||||
Electronics - 4.4% | ||||||||
656 | Arrow Electronics, Inc. (a) | 49,587 | ||||||
1,046 | Avnet, Inc. | 38,367 | ||||||
1,852 | Cree, Inc. (a) | 44,161 | ||||||
396 | Hubbell, Inc. | 45,900 | ||||||
17,059 | Jabil Circuit, Inc. | 510,405 | ||||||
1,260 | Keysight Technologies, Inc. (a) | 48,687 | ||||||
2,486 | Knowles Corp. (a) | 42,585 | ||||||
650 | Regal Beloit Corp. | 51,480 | ||||||
849 | Synaptics, Inc. (a) | 47,171 | ||||||
1,549 | Trimble, Inc. (a) | 55,826 | ||||||
2,958 | Vishay Intertechnology, Inc. | 48,363 | ||||||
982,532 | ||||||||
Financial Services - 0.2% | ||||||||
412 | CBOE Holdings, Inc. | 35,584 | ||||||
Financials - 1.3% | |||||||
751 | Eaton Vance Corp. | 34,974 | |||||
1,234 | Janus Henderson Group PLC (a) | 38,615 | |||||
909 | Legg Mason, Inc. | 33,515 | |||||
2,160 | New York Community Bancorp, Inc. | 27,907 | |||||
416 | Raymond James Financial, Inc. | 30,064 | |||||
652 | SEI Investments Co. | 32,659 | |||||
598 | Stifel Financial Corp. (a) | 25,493 | |||||
2,494 | VeriFone Systems, Inc. (a) | 45,615 | |||||
1,775 | Waddell & Reed Financial, Inc., Class A | 29,713 | |||||
298,555 | |||||||
Food - 0.2% | |||||||
653 | Sensient Technologies Corp. | 52,429 | |||||
Funeral Services - 0.2% | |||||||
1,443 | Service Corp. International | 46,003 | |||||
Household - 2.7% | |||||||
1,602 | Herman Miller, Inc. | 50,543 | |||||
1,042 | HNI Corp. | 44,827 | |||||
997 | Tempur Sealy International, Inc. (a) | 46,300 | |||||
757 | Tupperware Brands Corp. | 54,436 | |||||
2,211 | Whirlpool Corp. | 410,229 | |||||
606,335 | |||||||
Insurance - 1.7% | |||||||
53 | Alleghany Corp. (a) | 31,129 | |||||
438 | American Financial Group, Inc. | 43,734 | |||||
591 | Aspen Insurance Holdings, Ltd. | 30,023 | |||||
1,554 | CNO Financial Group, Inc. | 31,842 | |||||
165 | Everest Re Group, Ltd. | 42,017 |
843 | First American Financial Corp. | 36,687 | ||||||
1,588 | Old Republic International Corp. | 31,411 | ||||||
255 | Reinsurance Group of America, Inc. | 31,750 | ||||||
271 | RenaissanceRe Holdings, Ltd. | 38,715 | ||||||
366 | The Hanover Insurance Group, Inc. | 30,521 | ||||||
595 | WR Berkley Corp. | 41,049 | ||||||
388,878 | ||||||||
Internet Network - 1.3% | ||||||||
6,104 | Akamai Technologies, Inc. (a) | 287,804 |
Leisure - 2.6% | |||||||
756 | Brunswick Corp. | 41,777 | |||||
1,069 | Cinemark Holdings, Inc. | 42,300 | |||||
1,226 | International Speedway Corp., Class A | 43,278 | |||||
1,572 | Live Nation Entertainment, Inc. (a) | 54,218 | |||||
15,114 | Mattel, Inc. | 346,262 | |||||
517 | Polaris Industries, Inc. | 43,221 | |||||
571,056 | |||||||
Machinery - 0.6% | |||||||
729 | AGCO Corp. | 46,678 | |||||
1,145 | ITT, Inc. | 43,521 | |||||
1,432 | Terex Corp. | 46,941 | |||||
137,140 | |||||||
Media - 6.2% | |||||||
805 | AMC Networks, Inc., Class A (a) | 42,649 | |||||
86 | Graham Holdings Co., Class B | 51,497 | |||||
816 | John Wiley & Sons, Inc., Class A | 41,371 | |||||
716 | Meredith Corp. | 38,736 | |||||
8,358 | Scholastic Corp. | 355,466 | |||||
17,733 | TEGNA, Inc. | 420,981 | |||||
24,546 | The New York Times Co., Class A | 432,009 | |||||
1,382,709 | |||||||
Medical - 10.9% | |||||||
1,011 | Charles River Laboratories International, Inc. (a) | 93,063 | |||||
3,278 | Globus Medical ,Inc. (a) | 100,798 | |||||
2,225 | Halyard Health, Inc. (a) | 79,966 | |||||
1,425 | Hill-Rom Holdings, Inc. | 110,238 | |||||
1,413 | LifePoint Hospitals, Inc. (a) | 85,910 | |||||
1,280 | MEDNAX, Inc. (a) | 69,504 | |||||
1,535 | Molina Healthcare, Inc. (a) | 99,115 | |||||
2,605 | Owens & Minor, Inc. | 83,047 | |||||
1,335 | PAREXEL International Corp. (a) | 107,895 | |||||
9,029 | Patterson Cos., Inc. | 398,721 | |||||
4,140 | Quest Diagnostics, Inc. | 450,308 | |||||
1,256 | ResMed, Inc. | 89,302 | |||||
502 | Teleflex, Inc. | 100,410 | |||||
4,609 | Tenet Healthcare Corp. (a) | 76,233 | |||||
4,843 | Varian Medical Systems, Inc. (a) | 479,554 | |||||
2,424,064 |
See Notes to Financial Statements. | 2 |
CVR DYNAMIC ALLOCATION FUND SCHEDULE OF INVESTMENTS MAY 31, 2017 |
![]() | Shares | Security Description | Value |
Metals - 0.8% | ||||||||
2,301 | Commercial Metals Co. | $ | 41,648 | |||||
606 | Reliance Steel & Aluminum Co. | 44,208 | ||||||
1,031 | The Timken Co. | 47,580 | ||||||
322 | Valmont Industries, Inc. | 47,141 | ||||||
180,577 | ||||||||
Mining - 1.6% | ||||||||
13,098 | Arconic, Inc. | 359,802 | ||||||
Oil & Gas - 2.6% | |||||||
801 | Dril-Quip, Inc. (a) | 39,730 | |||||
693 | Murphy USA, Inc. (a) | 47,145 | |||||
1,859 | Oceaneering International, Inc. | 45,322 | |||||
2,841 | Rowan Cos. PLC, Class A (a) | 34,206 | |||||
28,997 | Transocean, Ltd. (a) | 263,583 | |||||
833 | UGI Corp. | 42,633 | |||||
1,373 | Western Refining, Inc. | 49,702 | |||||
1,340 | World Fuel Services Corp. | 47,355 | |||||
569,676 | |||||||
Paper & Paper Products - 0.2% | |||||||
1,277 | Domtar Corp. | 46,457 | |||||
Pollution Control - 4.0% | |||||||
10,294 | Donaldson Co., Inc. | 493,701 | |||||
4,999 | Stericycle, Inc. (a) | 408,768 | |||||
902,469 | |||||||
Real Estate Development & Operations - 0.2% | |||||||
347 | Jones Lang LaSalle, Inc. | 40,068 |
REIT - 3.4% | ||||||
807 | American Campus Communities, Inc. REIT | 38,300 | ||||
488 | Camden Property Trust REIT | 40,655 | ||||
1,618 | Care Capital Properties, Inc. REIT | 42,537 | ||||
1,218 | CoreCivic, Inc. REIT | 35,017 | ||||
4,610 | Cousins Properties, Inc. REIT | 39,462 | ||||
531 | EPR Properties REIT | 37,653 | ||||
1,304 | Healthcare Realty Trust, Inc. REIT | 43,371 | ||||
792 | Highwoods Properties, Inc. REIT | 39,917 | ||||
1,230 | Hospitality Properties Trust REIT | 35,572 | ||||
1,289 | LaSalle Hotel Properties REIT | 36,672 | ||||
484 | Life Storage, Inc. REIT | 36,252 | ||||
2,989 | Medical Properties Trust, Inc. REIT | 38,708 | ||||
898 | National Retail Properties, Inc. REIT | 34,456 | ||||
1,273 | Omega Healthcare Investors, Inc. REIT | 39,870 | ||||
2,175 | Quality Care Properties, Inc. REIT (a) | 36,801 |
1,404 | Rayonier, Inc. REIT | 39,438 | ||||
572 | Regency Centers Corp. REIT | 34,812 | ||||
2,020 | Senior Housing Properties Trust REIT | 42,703 | ||||
582 | Taubman Centers, Inc. REIT | 35,589 | ||||
4,239 | Washington Prime Group, Inc. REIT | 32,344 | ||||
760,129 | ||||||
Retail - 2.0% | ||||||
1,550 | Aaron's, Inc. | 56,606 | ||||
2,963 | American Eagle Outfitters, Inc. | 34,075 | ||||
884 | Big Lots, Inc. | 43,166 | ||||
3,225 | Chico's FAS, Inc. | 30,509 | ||||
275 | Cracker Barrel Old Country Store, Inc. | 45,873 | ||||
901 | CST Brands, Inc. | 43,545 | ||||
2,407 | Fossil Group, Inc. (a) | 25,923 | ||||
1,775 | GameStop Corp., Class A | 39,298 | ||||
1,248 | HSN, Inc. | 41,371 | ||||
1,994 | Sally Beauty Holdings, Inc. (a) | 35,932 | ||||
933 | Williams-Sonoma, Inc. | 45,400 | ||||
441,698 | ||||||
Steel - 0.4% | ||||||
1,241 | Carpenter Technology Corp. | 45,260 | ||||
1,379 | Steel Dynamics, Inc. | 46,872 | ||||
92,132 | ||||||
Telecommunications - 1.1% | ||||||
1,625 | ARRIS International PLC (a) | 45,565 | ||||
658 | Belden, Inc. | 46,718 | ||||
1,911 | Ciena Corp. (a) | 44,871 | ||||
585 | Dycom Industries, Inc. (a) | 49,251 | ||||
717 | ViaSat, Inc. (a) | 46,784 | ||||
233,189 | ||||||
Transportation - 6.9% | ||||||
6,725 | CH Robinson Worldwide, Inc. | 450,642 | ||||
3,897 | Copa Holdings SA, Class A | 440,517 | ||||
624 | Genesee & Wyoming, Inc., Class A (a) | 40,872 | ||||
2,425 | JetBlue Airways Corp. (a) | 54,369 | ||||
649 | Kirby Corp. (a) | 42,996 | ||||
1,721 | Trinity Industries, Inc. | 43,920 | ||||
560 | Wabtec Corp. | 45,780 | ||||
15,494 | Werner Enterprises, Inc. | 422,211 | ||||
1,541,307 |
See Notes to Financial Statements. | 3 |
CVR DYNAMIC ALLOCATION FUND SCHEDULE OF INVESTMENTS MAY 31, 2017 |
![]() | Shares | Security Description | Value |
Utilities - 2.3% | ||||||||
1,316 | Aqua America, Inc. | $ | 43,020 | |||||
521 | Atmos Energy Corp. | 43,405 | ||||||
1,417 | Great Plains Energy, Inc. | 40,710 | ||||||
1,211 | Hawaiian Electric Industries, Inc. | 40,133 | ||||||
499 | IDACORP, Inc. | 43,563 | ||||||
1,046 | New Jersey Resources Corp. | 43,827 | ||||||
699 | NorthWestern Corp. | 43,310 | ||||||
1,149 | OGE Energy Corp. | 40,939 | ||||||
615 | ONE Gas, Inc. | 43,450 | ||||||
1,137 | PNM Resources, Inc. | 43,774 | ||||||
718 | Vectren Corp. | 44,042 | ||||||
745 | Westar Energy, Inc. | 39,448 | ||||||
509,621 | ||||||||
Wholesale Electronics - 0.4% | ||||||||
408 | SYNNEX Corp. | 45,394 | ||||||
554 | Tech Data Corp. (a) | 53,722 | ||||||
99,116 |
Total Common Stock (Cost $19,455,282) | 19,652,468 |
Total Investments - 88.1% (Cost $19,455,282)* | $ | 19,652,468 | ||
Other Assets & Liabilities, Net – 11.9% | 2,660,153 | |||
Net Assets – 100.0% | $ | 22,312,621 |
See Notes to Financial Statements. | 4 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2017 |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
(a) | Non-income producing security. |
* Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
Gross Unrealized Appreciation | $ | 1,146,151 | ||
Gross Unrealized Depreciation | (948,965 | ) | ||
Net Unrealized Appreciation | $ | 197,186 |
As of May 31, 2017, the Fund had the following forward currency contracts outstanding for which the Fund will receive/pay United States Dollars:
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) | |||||||||||
Jefferies & Co., Inc. | (900,000 | ) | Australian Dollar | 06/02/17 | $ | 683,604 | $ | 14,858 | |||||||
(234,000 | ) | Australian Dollar | 06/02/17 | 172,741 | (1,132 | ) | |||||||||
108,000 | Australian Dollar | 06/02/17 | (79,895 | ) | 354 | ||||||||||
1,026,000 | Australian Dollar | 06/02/17 | (773,901 | ) | (11,532 | ) | |||||||||
(234,000 | ) | Australian Dollar | 09/05/17 | 174,127 | 501 | ||||||||||
(1,530,000 | ) | Brazilian Real | 06/02/17 | 479,806 | 6,994 | ||||||||||
(1,350,000 | ) | Brazilian Real | 06/02/17 | 403,719 | (13,470 | ) | |||||||||
918,000 | Brazilian Real | 06/02/17 | (281,941 | ) | 1,747 | ||||||||||
1,962,000 | Brazilian Real | 06/02/17 | (623,793 | ) | (17,479 | ) | |||||||||
(918,000 | ) | Brazilian Real | 09/05/17 | 276,231 | (1,323 | ) | |||||||||
(936,000 | ) | Canadian Dollars | 06/02/17 | 704,035 | 11,139 | ||||||||||
(684,000 | ) | Canadian Dollars | 06/02/17 | 502,830 | (3,518 | ) | |||||||||
486,000 | Canadian Dollars | 06/02/17 | (356,174 | ) | 3,598 | ||||||||||
1,134,000 | Canadian Dollars | 06/02/17 | (846,466 | ) | (6,994 | ) | |||||||||
(360,000 | ) | Canadian Dollars | 09/05/17 | 268,094 | 1,132 | ||||||||||
72,000 | Canadian Dollars | 09/05/17 | (53,554 | ) | (161 | ) | |||||||||
(306,000,000 | ) | Chilean Peso | 06/02/17 | 459,579 | 5,438 | ||||||||||
(72,000,000 | ) | Chilean Peso | 06/02/17 | 106,432 | (426 | ) | |||||||||
378,000,000 | Chilean Peso | 06/02/17 | (571,584 | ) | (10,586 | ) | |||||||||
(126,000,000 | ) | Chilean Peso | 09/05/17 | 187,411 | 1,076 | ||||||||||
(1,260,000,000 | ) | Colombian Peso | 06/02/17 | 421,435 | (10,605 | ) | |||||||||
594,000,000 | Colombian Peso | 06/02/17 | (205,900 | ) | (2,224 | ) | |||||||||
666,000,000 | Colombian Peso | 06/02/17 | (227,309 | ) | 1,055 | ||||||||||
(522,000,000 | ) | Colombian Peso | 09/05/17 | 175,864 | (617 | ) | |||||||||
(1,440,000 | ) | European Union Euro | 06/02/17 | 1,551,511 | (66,112 | ) | |||||||||
(54,000 | ) | European Union Euro | 06/02/17 | 60,702 | 42 | ||||||||||
1,494,000 | European Union Euro | 06/02/17 | (1,615,642 | ) | 62,639 | ||||||||||
(54,000 | ) | European Union Euro | 09/05/17 | 60,894 | (89 | ) | |||||||||
342,000 | European Union Euro | 09/05/17 | (383,782 | ) | 2,463 | ||||||||||
(214,200,000 | ) | Hungarian Forint | 06/02/17 | 749,618 | (30,998 | ) | |||||||||
214,200,000 | Hungarian Forint | 06/02/17 | (753,331 | ) | 27,285 | ||||||||||
84,600,000 | Hungarian Forint | 09/05/17 | (308,573 | ) | 909 | ||||||||||
(43,200,000 | ) | Indian Rupee | 06/02/17 | 667,188 | (2,371 | ) | |||||||||
5,400,000 | Indian Rupee | 06/02/17 | (83,760 | ) | (65 | ) | |||||||||
37,800,000 | Indian Rupee | 06/02/17 | (558,999 | ) | 26,866 | ||||||||||
5,400,000 | Indian Rupee | 09/05/17 | (82,962 | ) | (43 | ) | |||||||||
7,200,000 | Indian Rupee | 09/05/17 | (110,362 | ) | 185 | ||||||||||
(3,960,000,000 | ) | Indonesian Rupiah | 06/02/17 | 295,847 | (1,451 | ) | |||||||||
(1,440,000,000 | ) | Indonesian Rupiah | 06/02/17 | 108,108 | - | ||||||||||
360,000,000 | Indonesian Rupiah | 06/02/17 | (27,068 | ) | (41 | ) | |||||||||
5,040,000,000 | Indonesian Rupiah | 06/02/17 | (377,053 | ) | 1,327 | ||||||||||
180,000,000 | Indonesian Rupiah | 09/05/17 | (13,423 | ) | (14 | ) |
See Notes to Financial Statements. | 5 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2017 |
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) | |||||||||||
(77,400,000 | ) | Japanese Yen | 06/02/17 | $ | 689,913 | $ | (8,958 | ) | |||||||
(12,600,000 | ) | Japanese Yen | 06/02/17 | 115,247 | 1,476 | ||||||||||
43,200,000 | Japanese Yen | 06/02/17 | (393,656 | ) | (3,588 | ) | |||||||||
46,800,000 | Japanese Yen | 06/02/17 | (419,540 | ) | 3,034 | ||||||||||
(2,167,200 | ) | Japanese Yen | 06/05/17 | 19,589 | 16 | ||||||||||
(2,125,800 | ) | Japanese Yen | 06/05/17 | 19,148 | (51 | ) | |||||||||
4,293,000 | Japanese Yen | 06/05/17 | (38,580 | ) | 192 | ||||||||||
3,600,000 | Japanese Yen | 09/05/17 | (32,498 | ) | 156 | ||||||||||
(8,280,000 | ) | Mexican Peso | 06/02/17 | 447,789 | 3,726 | ||||||||||
(2,340,000 | ) | Mexican Peso | 06/02/17 | 122,933 | (2,565 | ) | |||||||||
10,620,000 | Mexican Peso | 06/02/17 | (539,085 | ) | 30,475 | ||||||||||
10,440,000 | Mexican Peso | 09/05/17 | (555,707 | ) | (4,958 | ) | |||||||||
(1,494,000 | ) | New Romanian Lei | 06/02/17 | 356,140 | (11,420 | ) | |||||||||
1,494,000 | New Romanian Lei | 06/02/17 | (354,221 | ) | 13,339 | ||||||||||
522,000 | New Romanian Lei | 09/05/17 | (128,392 | ) | 382 | ||||||||||
(32,220,000 | ) | New Taiwan Dollar | 06/02/17 | 1,057,655 | (13,526 | ) | |||||||||
9,000,000 | New Taiwan Dollar | 06/02/17 | (300,143 | ) | (932 | ) | |||||||||
23,220,000 | New Taiwan Dollar | 06/02/17 | (770,067 | ) | 1,900 | ||||||||||
(16,020,000 | ) | New Taiwan Dollar | 09/05/17 | 534,050 | 533 | ||||||||||
(1,980,000 | ) | New Taiwan Dollar | 09/05/17 | 65,857 | (83 | ) | |||||||||
(1,080,000 | ) | New Zealand Dollar | 06/02/17 | 754,981 | (10,197 | ) | |||||||||
(72,000 | ) | New Zealand Dollar | 06/02/17 | 51,861 | 849 | ||||||||||
234,000 | New Zealand Dollar | 06/02/17 | (167,081 | ) | (1,292 | ) | |||||||||
918,000 | New Zealand Dollar | 06/02/17 | (636,946 | ) | 13,457 | ||||||||||
360,000 | New Zealand Dollar | 09/05/17 | (253,509 | ) | 1,039 | ||||||||||
(3,960,000 | ) | Norwegian Krone | 06/02/17 | 471,952 | 3,274 | ||||||||||
(3,600,000 | ) | Norwegian Krone | 06/02/17 | 420,591 | (5,480 | ) | |||||||||
3,780,000 | Norwegian Krone | 06/02/17 | (450,056 | ) | (2,683 | ) | |||||||||
3,780,000 | Norwegian Krone | 06/02/17 | (441,398 | ) | 5,976 | ||||||||||
(180,000 | ) | Norwegian Krone | 09/05/17 | 21,452 | 114 | ||||||||||
(882,000 | ) | Peruvian Inti | 06/02/17 | 267,750 | (1,933 | ) | |||||||||
(126,000 | ) | Peruvian Inti | 06/02/17 | 38,733 | 207 | ||||||||||
252,000 | Peruvian Inti | 06/02/17 | (77,187 | ) | (134 | ) | |||||||||
756,000 | Peruvian Inti | 06/02/17 | (230,810 | ) | 347 | ||||||||||
(126,000 | ) | Peruvian Inti | 09/05/17 | 38,136 | (14 | ) | |||||||||
144,000 | Peruvian Inti | 09/05/17 | (43,413 | ) | 186 | ||||||||||
(30,060,000 | ) | Philippines Peso | 06/02/17 | 598,739 | (5,178 | ) | |||||||||
(6,660,000 | ) | Philippines Peso | 06/02/17 | 133,949 | 146 | ||||||||||
7,020,000 | Philippines Peso | 06/02/17 | (141,335 | ) | (301 | ) | |||||||||
29,700,000 | Philippines Peso | 06/02/17 | (587,587 | ) | 9,099 | ||||||||||
8,640,000 | Philippines Peso | 09/05/17 | (172,603 | ) | (96 | ) | |||||||||
(4,212,000 | ) | Polish Zloty | 06/02/17 | 1,097,641 | (34,604 | ) | |||||||||
4,212,000 | Polish Zloty | 06/02/17 | (1,047,111 | ) | 85,130 | ||||||||||
1,638,000 | Polish Zloty | 09/05/17 | (437,072 | ) | 2,894 | ||||||||||
(468,000 | ) | Pounds Sterling | 06/02/17 | 583,592 | (19,404 | ) | |||||||||
(198,000 | ) | Pounds Sterling | 06/02/17 | 257,084 | 1,971 | ||||||||||
72,000 | Pounds Sterling | 06/02/17 | (93,264 | ) | (495 | ) | |||||||||
594,000 | Pounds Sterling | 06/02/17 | (744,713 | ) | 20,626 | ||||||||||
(54,000 | ) | Pounds Sterling | 09/05/17 | 69,540 | (250 | ) | |||||||||
36,000 | Pounds Sterling | 09/05/17 | (46,272 | ) | 256 | ||||||||||
(21,600,000 | ) | Russian Rouble | 06/02/17 | 371,667 | (9,151 | ) | |||||||||
(3,600,000 | ) | Russian Rouble | 06/02/17 | 63,824 | 354 | ||||||||||
25,200,000 | Russian Rouble | 06/02/17 | (436,184 | ) | 8,104 | ||||||||||
(12,600,000 | ) | Russian Rouble | 09/05/17 | 217,082 | (195 | ) |
See Notes to Financial Statements. | 6 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2017 |
Counterparty | Contracts to Purchase/(Sell) | Settlement Date | Settlement Value | Net Unrealized Appreciation (Depreciation) | |||||||||||
3,600,000 | Russian Rouble | 09/05/17 | $ | (62,080 | ) | $ | 12 | ||||||||
(10,440,000 | ) | S. African Rand (Fin) | 06/02/17 | 773,060 | (22,975 | ) | |||||||||
(720,000 | ) | S. African Rand (Fin) | 06/02/17 | 55,579 | 680 | ||||||||||
1,080,000 | S. African Rand (Fin) | 06/02/17 | (84,144 | ) | (1,796 | ) | |||||||||
10,080,000 | S. African Rand (Fin) | 06/02/17 | (756,547 | ) | 12,041 | ||||||||||
(180,000 | ) | S. African Rand (Fin) | 09/05/17 | 13,777 | 290 | ||||||||||
540,000 | S. African Rand (Fin) | 09/05/17 | (40,475 | ) | (12 | ) | |||||||||
(414,000 | ) | Singapore Dollar | 06/02/17 | 294,314 | (4,893 | ) | |||||||||
(72,000 | ) | Singapore Dollar | 06/02/17 | 52,048 | 11 | ||||||||||
486,000 | Singapore Dollar | 06/02/17 | (345,589 | ) | 5,654 | ||||||||||
72,000 | Singapore Dollar | 09/05/17 | (52,103 | ) | (3 | ) | |||||||||
(774,000,000 | ) | South Korean Won | 06/02/17 | 678,310 | (13,009 | ) | |||||||||
324,000,000 | South Korean Won | 06/02/17 | (289,650 | ) | (263 | ) | |||||||||
450,000,000 | South Korean Won | 06/02/17 | (396,840 | ) | 5,088 | ||||||||||
(162,000,000 | ) | South Korean Won | 09/05/17 | 144,941 | 47 | ||||||||||
(126,000,000 | ) | South Korean Won | 09/05/17 | 112,140 | (556 | ) | |||||||||
(11,340,000 | ) | Swedish Krona | 06/02/17 | 1,269,362 | (35,376 | ) | |||||||||
11,340,000 | Swedish Krona | 06/02/17 | (1,284,780 | ) | 19,959 | ||||||||||
(720,000 | ) | Swedish Krona | 09/05/17 | 83,097 | (220 | ) | |||||||||
(360,000 | ) | Swedish Krona | 09/05/17 | 41,667 | 9 | ||||||||||
(1,026,000 | ) | Swiss Franc | 06/02/17 | 1,028,411 | (30,904 | ) | |||||||||
1,026,000 | Swiss Franc | 06/02/17 | (1,039,451 | ) | 19,865 | ||||||||||
54,000 | Swiss Franc | 09/05/17 | (55,776 | ) | 338 | ||||||||||
(3,960,000 | ) | Thailand Baht | 06/02/17 | 112,865 | (3,400 | ) | |||||||||
(2,880,000 | ) | Thailand Baht | 06/02/17 | 84,557 | - | ||||||||||
6,840,000 | Thailand Baht | 06/02/17 | (196,548 | ) | 4,274 | ||||||||||
2,880,000 | Thailand Baht | 09/05/17 | (84,564 | ) | (39 | ) | |||||||||
$ | 14,949 |
At May 31, 2017, the Fund held the following exchange traded futures contracts:
Contracts | Type | Expiration Date | Notional Contract Value | Net Unrealized Appreciation (Depreciation) |
6 | 10-year Mini JGB Future | 06/16/17 | $ | 790,981 | $ | 2,751 | |||||||
4 | ASX SPI 200 Index Future | 06/20/17 | 439,015 | (10,035 | ) | ||||||||
3 | Australian 10-year Bond Future | 06/20/17 | 293,403 | 7,189 | |||||||||
1 | Australian 3-year Bond Future | 06/20/17 | 83,778 | 67 | |||||||||
5 | Canadian 10-year Bond Future | 10/03/17 | 536,322 | 1,773 | |||||||||
4 | EURO-BOBL Future | 06/16/17 | 578,490 | 251 | |||||||||
1 | EURO-BUND Future | 06/16/17 | 173,602 | (1,220 | ) | ||||||||
1 | Gold 100 oz. Future | 09/05/17 | 125,964 | 1,576 | |||||||||
1 | Hang Seng Index Future | 07/04/17 | 162,980 | 515 | |||||||||
3 | Long Gilt Future | 10/03/17 | 495,726 | 2,229 | |||||||||
1 | NASDAQ 100 E-mini Future | 06/20/17 | 107,679 | 8,186 | |||||||||
3 | S&P 500 E-mini Future | 06/20/17 | 360,374 | 1,291 | |||||||||
1 | Silver Future | 08/04/17 | 85,377 | 1,653 | |||||||||
2 | U.S. 10-year Note Future | 10/03/17 | 251,709 | 885 | |||||||||
3 | U.S. 5-year Note Future | 10/10/17 | 354,291 | 647 | |||||||||
1 | Yen Denominated Nikkei 22 Future | 06/12/17 | 87,596 | (1,176 | ) | ||||||||
(7 | ) | EURO-STOXX Future | 06/20/17 | (278,315 | ) | 938 | |||||||
(1 | ) | FTSE 100 Index Future | 06/20/17 | (93,108 | ) | (4,012 | ) | ||||||
$ | 4,555,864 | $ | 13,508 |
See Notes to Financial Statements. | 7 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2017 |
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, 2017.
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.
Level 1 | Level 2 | Level 3 | Total |
Assets | ||||||||||||||||
Investments At Value | ||||||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 169,598 | $ | - | $ | - | $ | 169,598 | ||||||||
Agricultural Operations | 455,429 | - | - | 455,429 | ||||||||||||
Auto & Truck | 1,235,969 | - | - | 1,235,969 | ||||||||||||
Banks | 595,047 | - | - | 595,047 | ||||||||||||
Biotechnology | 65,885 | - | - | 65,885 | ||||||||||||
Building | 311,756 | - | - | 311,756 | ||||||||||||
Chemicals | 915,130 | - | - | 915,130 | ||||||||||||
Commercial Services | 625,365 | - | - | 625,365 | ||||||||||||
Communications | 39,744 | - | - | 39,744 | ||||||||||||
Computers | 1,758,420 | - | - | 1,758,420 | ||||||||||||
Consumer Products | 46,993 | - | - | 46,993 | ||||||||||||
Containers | 321,654 | - | - | 321,654 | ||||||||||||
Cosmetics & Personal Care | 122,148 | - | - | 122,148 | ||||||||||||
Electronics | 982,532 | - | - | 982,532 | ||||||||||||
Financial Services | 35,584 | - | - | 35,584 | ||||||||||||
Financials | 298,555 | - | - | 298,555 | ||||||||||||
Food | 52,429 | - | - | 52,429 | ||||||||||||
Funeral Services | 46,003 | - | - | 46,003 | ||||||||||||
Household | 606,335 | - | - | 606,335 | ||||||||||||
Insurance | 388,878 | - | - | 388,878 | ||||||||||||
Internet Network | 287,804 | - | - | 287,804 | ||||||||||||
Leisure | 571,056 | - | - | 571,056 | ||||||||||||
Machinery | 137,140 | - | - | 137,140 | ||||||||||||
Media | 1,382,709 | - | - | 1,382,709 | ||||||||||||
Medical | 2,424,064 | - | - | 2,424,064 | ||||||||||||
Metals | 180,577 | - | - | 180,577 | ||||||||||||
Mining | 359,802 | - | - | 359,802 | ||||||||||||
Oil & Gas | 569,676 | - | - | 569,676 | ||||||||||||
Paper & Paper Products | 46,457 | - | - | 46,457 | ||||||||||||
Pollution Control | 902,469 | - | - | 902,469 | ||||||||||||
Real Estate Development & Operations | 40,068 | - | - | 40,068 | ||||||||||||
REIT | 760,129 | - | - | 760,129 | ||||||||||||
Retail | 441,698 | - | - | 441,698 | ||||||||||||
Steel | 92,132 | - | - | 92,132 | ||||||||||||
Telecommunications | 233,189 | - | - | 233,189 | ||||||||||||
Transportation | 1,541,307 | - | - | 1,541,307 | ||||||||||||
Utilities | 509,621 | - | - | 509,621 | ||||||||||||
Wholesale Electronics | 99,116 | - | - | 99,116 | ||||||||||||
Total Investments At Value | $ | 19,652,468 | $ | - | $ | - | $ | 19,652,468 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | - | 447,134 | - | 447,134 | ||||||||||||
Futures | 29,951 | - | - | 29,951 | ||||||||||||
Total Other Financial Instruments** | $ | 29,951 | $ | 447,134 | $ | - | $ | 477,085 | ||||||||
Total Assets | $ | 19,682,419 | $ | 447,134 | $ | - | $ | 20,129,553 |
See Notes to Financial Statements. | 8 |
CVR DYNAMIC ALLOCATION FUND NOTES TO SCHEDULE OF INVESTMENTS MAY 31, 2017 |
Level 1 | Level 2 | Level 3 | Total |
Liabilities Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | - | $ | (432,185 | ) | $ | - | $ | (432,185 | ) | ||||||
Futures | (16,443 | ) | - | - | (16,443 | ) | ||||||||||
Total Other Financial Instruments** | $ | (16,443 | ) | $ | (432,185 | ) | $ | - | $ | (448,628 | ) |
**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, 2017.
PORTFOLIO HOLDINGS | ||
% of Total Investments | ||
Media | 7.0 | % |
Machinery | 0.7 | % |
Metals | 0.9 | % |
Medical | 12.3 | % |
Insurance | 2.0 | % |
Household | 3.1 | % |
Leisure | 2.9 | % |
Internet Network | 1.5 | % |
Mining | 1.8 | % |
Steel | 0.5 | % |
REIT | 3.9 | % |
Wholesale Electronics | 0.5 | % |
Transportation | 7.8 | % |
Paper & Paper Products | 0.2 | % |
Oil & Gas | 2.9 | % |
Real Estate Development & Operations | 0.2 | % |
Pollution Control | 4.6 | % |
Funeral Services | 0.2 | % |
Building | 1.6 | % |
Commercial Services | 3.2 | % |
Computers | 9.0 | % |
Banks | 3.0 | % |
Aerospace & Defense | 0.9 | % |
Agricultural Operations | 2.3 | % |
Auto & Truck | 6.3 | % |
Cosmetics & Personal Care | 0.6 | % |
Electronics | 5.0 | % |
Food | 0.3 | % |
Containers | 1.6 | % |
Consumer Products | 0.2 | % |
Biotechnology | 0.3 | % |
Chemicals | 4.7 | % |
Communications | 0.2 | % |
Financials | 1.5 | % |
Financial Services | 0.2 | % |
Retail | 2.3 | % |
Telecommunications | 1.2 | % |
Utilities | 2.6 | % |
100.0 | % |
See Notes to Financial Statements. | 9 |
CVR DYNAMIC ALLOCATION FUND STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2017 |
ASSETS | ||||||
. | Total investments, at value (Cost $19,455,282) | $ | 19,652,468 | |||
Deposits with brokers | 229,573 | |||||
Cash | 2,400,749 | |||||
Receivables: | ||||||
Dividends and interest | 34,127 | |||||
Unrealized gain on forward currency contracts | 447,134 | |||||
Prepaid expenses | 9,830 | |||||
Total Assets | 22,773,881 | |||||
LIABILITIES | ||||||
Unrealized loss on forward currency contracts | 432,185 | |||||
Accrued Liabilities: | ||||||
Investment adviser fees | 13,234 | |||||
Trustees' fees and expenses | 93 | |||||
Fund services fees | 9,965 | |||||
Other expenses | 5,783 | |||||
Total Liabilities | 461,260 | |||||
NET ASSETS | $ | 22,312,621 | ||||
COMPONENTS OF NET ASSETS | ||||||
Paid-in capital | $ | 21,213,021 | ||||
Distributions in excess of net investment income | (74,565 | ) | ||||
Accumulated net realized gain | 948,370 | |||||
Net unrealized appreciation | 225,795 | |||||
NET ASSETS | $ | 22,312,621 | ||||
SHARES OF BENEFICIAL INTEREST AT NO PAR VALUE (UNLIMITED SHARES AUTHORIZED) | ||||||
Institutional Shares | 2,032,260 | |||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | ||||||
Institutional Shares (based on net assets of $22,312,621) | $ | 10.98 |
See Notes to Financial Statements. | 10 |
CVR DYNAMIC ALLOCATION FUND STATEMENT OF OPERATIONS SIX MONTHS ENDED MAY 31, 2017 |
INVESTMENT INCOME | ||||||
Dividend income | . | $ | 134,830 | |||
Interest income | 4,824 | |||||
Total Investment Income | 139,654 | |||||
Adviser | ||||||
EXPENSES | ||||||
Investment adviser fees | 115,540 | |||||
Fund services fees | 70,439 | |||||
Custodian fees | 3,868 | |||||
Registration fees | 6,352 | |||||
Professional fees | 14,529 | |||||
Trustees' fees and expenses | 1,606 | |||||
Other expenses | 24,632 | |||||
Total Expenses | 236,966 | |||||
Fees waived and expenses reimbursed | (63,656 | ) | ||||
Net Expenses | 173,310 | |||||
NET INVESTMENT LOSS | (33,656 | ) | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||
Net realized gain (loss) on: | ||||||
Investments | 3,216,525 | |||||
Foreign currency transactions | (101,369 | ) | ||||
Futures | 7,847 | |||||
Net realized gain | 3,123,003 | |||||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | (2,190,656 | ) | ||||
Foreign currency translations | 119,373 | |||||
Futures | (6,065 | ) | ||||
Net change in unrealized appreciation (depreciation) | (2,077,348 | ) | ||||
NET REALIZED AND UNREALIZED GAIN | 1,045,655 | |||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,011,999 | ||||
See Notes to Financial Statements. | 11 |
CVR DYNAMIC ALLOCATION FUND STATEMENTS OF CHANGES IN NET ASSETS |
For the Six Months Ended May 31, 2017 | For the Year Ended November 30, 2016 | ||||||||||
OPERATIONS | |||||||||||
Net investment loss | $ | (33,656 | ) | $ | (40,136 | ) | |||||
Net realized gain (loss) | 3,123,003 | (2,050,173 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (2,077,348 | ) | 2,576,219 | ||||||||
Increase in Net Assets Resulting from Operations | 1,011,999 | 485,910 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | |||||||||||
Net investment income: | |||||||||||
Institutional Shares | (11,174 | ) | - | ||||||||
Net realized gain: | |||||||||||
Institutional Shares | - | (7,352 | ) | ||||||||
Total Distributions to Shareholders | (11,174 | ) | (7,352 | ) | |||||||
CAPITAL SHARE TRANSACTIONS | |||||||||||
Sale of shares: | |||||||||||
Institutional Shares | 2,142,937 | 1,171,019 | |||||||||
Reinvestment of distributions: | |||||||||||
Institutional Shares | 11,174 | 7,352 | |||||||||
Redemption of shares: | |||||||||||
2 | Institutional Shares | (203,363 | ) | (5,009,258 | ) | ||||||
Increase (Decrease) in Net Assets from Capital Share Transactions | 1,950,748 | (3,830,887 | ) | ||||||||
Increase (Decrease) in Net Assets | 2,951,573 | (3,352,329 | ) | ||||||||
NET ASSETS | |||||||||||
Beginning of Period | 19,361,048 | 22,713,377 | |||||||||
End of Period (Including line (a)) | $ | 22,312,621 | $ | 19,361,048 | |||||||
SHARE TRANSACTIONS | |||||||||||
Sale of shares: | |||||||||||
Institutional Shares | 195,508 | 121,295 | |||||||||
Reinvestment of distributions: | |||||||||||
Institutional Shares | 1,054 | 754 | |||||||||
Redemption of shares: | |||||||||||
Institutional Shares | (18,807 | ) | (522,956 | ) | |||||||
Increase (Decrease) in Shares | 177,755 | (400,907 | ) | ||||||||
(a) | Distributions in excess of net investment income | $ | (74,565 | ) | $ | (29,735 | ) |
See Notes to Financial Statements. | 12 |
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, 2017 | For the Year Ended November 30, 2016 | For the Year Ended November 30, 2015 | December 30, 2013 (a) Through November 30, 2014 | |||||||||||||||
INSTITUTIONAL SHARES | ||||||||||||||||||
NET ASSET VALUE, Beginning | ||||||||||||||||||
of Period | $ | 10.44 | $ | 10.07 | $ | 10.68 | $ | 10.00 | ||||||||||
INVESTMENT OPERATIONS | ||||||||||||||||||
Net investment loss (b) | (0.02 | ) | (0.02 | ) | (0.04 | ) | (0.07 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.57 | 0.39 | (0.50 | ) | 0.68 | |||||||||||||
Net gain from contribution from affiliate | - | - | - | 0.07 | ||||||||||||||
Total from Investment Operations | 0.55 | 0.37 | (0.54 | ) | 0.68 | |||||||||||||
DISTRIBUTIONS TO | ||||||||||||||||||
SHAREHOLDERS FROM | ||||||||||||||||||
Net investment income | (0.01 | ) | — | — | — | |||||||||||||
Net realized gain | — | — | (c) | (0.07 | ) | — | ||||||||||||
Total Distributions to Shareholders | (0.01 | ) | — | (0.07 | ) | — | ||||||||||||
NET ASSET VALUE, End of Period | $ | 10.98 | $ | 10.44 | $ | 10.07 | $ | 10.68 | ||||||||||
TOTAL RETURN | 5.23 | %(d) | 3.71 | % | (5.11 | )% | 6.80 | %(d)(e) | ||||||||||
RATIOS/SUPPLEMENTARY DATA | ||||||||||||||||||
Net Assets at End of Period (000's omitted) | $22,313 | $19,361 | $22,713 | $19,492 | ||||||||||||||
Ratios to Average Net Assets:(f) | ||||||||||||||||||
Net investment loss | (0.32 | )%(g) | (0.21 | )% | (0.41 | )% | (0.70 | )%(g) | ||||||||||
Net expenses (h) | 1.65 | %(g) | 1.63 | % | 1.52 | % | 1.47 | %(g) | ||||||||||
Gross expenses (i) | 2.26 | %(g) | 2.33 | % | 2.26 | % | 3.14 | %(g) | ||||||||||
PORTFOLIO TURNOVER RATE | 88 | %(d) | 108 | % | 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. |
See Notes to Financial Statements. | 13 |
CVR DYNAMIC ALLOCATION FUND NOTES TO FINANCIAL STATEMENTS MAY 31, 2017 |
Note 1. Organization
The CVR Dynamic Allocation Fund (the "Fund") is a 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, as amended (the "Act"). 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, 2017, 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
The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946, "Financial Services-Investment Companies". 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 – Securities are valued at market prices using the last quoted trade or official closing price from the principal exchange where the security is traded, as provided by independent pricing services on each Fund business day. In the absence of a last trade, securities are valued at the mean of the last bid and ask price provided by the pricing service. Futures contracts are valued at the day's settlement price on the exchange where the contract is traded. Forward currency contracts are generally valued based on interpolation of forward curve data points obtained from major banking institutions that deal in foreign currencies and currency dealers. 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 not readily available or (2) the Adviser, as defined in Note 4, 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 that 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.
GAAP 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, 2017, for the Fund's investments is included in the Fund's Schedule of Investments.
CVR DYNAMIC ALLOCATION FUND
FOR MORE INFORMATION:
P.O. Box 588
Portland, ME 04112
(855) 328-7691 (toll free)
INVESTMENT ADVISER
CVR Portfolio Funds LLC
One Bromfield Street, Suite 5100
Boston, MA 02108
TRANSFER AGENT
Atlantic Fund Services
P.O. Box 588
Portland, ME 04112
www.atlanticfundservices.com
DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101
www.foreside.com
This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information.
219-SAR-0517
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. INVESTMENTS.
(a) | Included as part of report to shareholders under Item 1. |
(b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
The Registrant does not accept nominees to the board of trustees from shareholders.
ITEM 11. CONTROLS AND PROCEDURES
(a) The Registrant's Principal Executive Officer and Principal Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) are effective, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant's internal control over financial reporting (as defined in
Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) of the Act, and Section 302 of the Sarbanes-Oxley Act of 2002. (Exhibits filed herewith)
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) of the Act, and Section 906 of the Sarbanes-Oxley Act of 2002. (Exhibit filed herewith)
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 Forum Funds II
By | /s/ Jessica Chase | |
Jessica Chase, Principal Executive Officer | ||
Date | June 28, 2017 |
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 | /s/ Jessica Chase | |
Jessica Chase, Principal Executive Officer | ||
Date | June 28, 2017 |
By | /s/ Karen Shaw | |
Karen Shaw, Principal Financial Officer | ||
Date | June 28, 2017 |