N-CSRS 1 primary-document.htm
As filed with the Securities and Exchange Commission on March 21, 2024
 
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
 
 
Zachary Tackett, Principal Executive Officer
Three Canal Plaza, Suite 600
Portland, Maine 04101
207-347-2000
 
 
Date of fiscal year end: July 31
 
Date of reporting period: August 1, 2023 – January 31, 2024
 
 

ITEM 1. REPORT TO STOCKHOLDERS.
 
ABR
Funds
ABR
50/50
Volatility
Fund
ABR
75/25
Volatility
Fund
Semi-Annual
Report
For
the
Six
Months
Ended
January
31,
2024
(Unaudited)
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
SCHEDULE
OF
INVESTMENTS
January
31,
2024
1
See
Notes
to
Financial
Statements.
At
January
31,
2024,
the
Fund
held
the
following
exchange-traded
futures
contracts.
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's investments
as
of
January
31,
2024. 
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.
The
Level
1
value
displayed
in
this
table
includes
futures.
Value
Investments,
at
value
-
0.0%
(Cost
$0)
$
0‌
Other
Assets
&
Liabilities,
Net
-
100.0%
101,891,011‌
Net
Assets
-
100.0%
$
101,891,011‌
Contracts
Description
Expiration
Date
Notional
Contract
Value
Value
Net
Unrealized
Appreciation
125‌
CBOE
VIX
Future
02/14/24
$
1,846,402‌
$
1,859,188‌
$
12,786‌
144‌
CBOE
VIX
Future
03/20/24
2,203,653‌
2,257,171‌
53,518‌
400‌
S&P
500
E-mini
Future
03/15/24
94,903,969‌
97,410,000‌
2,506,031‌
$
98,954,024‌
$
101,526,359‌
$
2,572,335‌
Valuation
Inputs
Other
Financial
Instruments*
Level
1
-
Quoted
Prices
$
2,572,335‌
Level
2
-
Other
Significant
Observable
Inputs
–‌
Level
3
-
Significant
Unobservable
Inputs
–‌
Total
$
2,572,335‌
*
Other
Financial
Instruments
are
derivatives
not
reflected
in
the
Schedule
of
Investments
,
such
as
futures,
which
are
valued
at
the
unrealized
appreciation
(depreciation)
at
period
end.
PORTFOLIO
HOLDINGS
%
of
Total
Net
Assets
Other
Assets
&
Liabilities,
Net
100.0%
100.0%
ABR
50/50
Volatility
Fund
SCHEDULE
OF
INVESTMENTS
January
31,
2024
2
See
Notes
to
Financial
Statements.
At
January
31,
2024,
the
Fund
held
the
following
exchange-traded
futures
contracts:
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's investments
as
of
January
31,
2024. 
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.
The
Level
1
value
displayed
in
this
table
includes
futures.
The
Level
2
value
displayed
in
this
table
is
U.S.
Treasury
Securities.
Principal
Security
Description
Rate
Maturity
Value
U.S.
Government
&
Agency
Obligations
-
41.7%
U.S.
Treasury
Securities
-
41.7%
4,217,000‌
U.S.
Treasury
Bond
3.88% 
05/15/43
$
3,968,922‌
3,895,000‌
U.S.
Treasury
Bond
4.38 
08/15/43
3,924,213‌
3,744,000‌
U.S.
Treasury
Bond
4.75 
11/15/43
3,964,545‌
4,408,000‌
U.S.
Treasury
Bond
3.63 
05/15/53
3,962,034‌
3,989,000‌
U.S.
Treasury
Bond
4.13 
08/15/53
3,923,556‌
3,627,000‌
U.S.
Treasury
Bond
4.75 
11/15/53
3,960,797‌
23,704,067‌
Total
U.S.
Government
&
Agency
Obligations
(Cost
$22,100,729)
23,704,067‌
Investments,
at
value
-
41.7%
(Cost
$22,100,729)
$
23,704,067‌
Other
Assets
&
Liabilities,
Net
-
58.3%
33,203,321‌
Net
Assets
-
100.0%
$
56,907,388‌
Contracts
Description
Expiration
Date
Notional
Contract
Value
Value
Net
Unrealized
Appreciation
(Depreciation)
(156‌)
CBOE
VIX
Future
02/14/24
$
(2,220,500‌)
$
(2,320,266‌)
$
(99,766‌)
(179‌)
CBOE
VIX
Future
03/20/24
(2,723,116‌)
(2,805,789‌)
(82,673‌)
113‌
S&P
500
E-mini
Future
03/15/24
26,950,633‌
27,518,326‌
567,693‌
$
22,007,017‌
$
22,392,271‌
$
385,254‌
Valuation
Inputs
Investments
in
Securities
Other
Financial
Instruments*
Level
1
-
Quoted
Prices
$
–‌
$
385,254‌
Level
2
-
Other
Significant
Observable
Inputs
23,704,067‌
–‌
Level
3
-
Significant
Unobservable
Inputs
–‌
–‌
Total
$
23,704,067‌
$
385,254‌
*
Other
Financial
Instruments
are
derivatives
not
reflected
in
the
Schedule
of
Investments
,
such
as
futures,
which
are
valued
at
the
unrealized
appreciation
(depreciation)
at
period
end.
PORTFOLIO
HOLDINGS
%
of
Total
Net
Assets
U.S.
Government
&
Agency
Obligations
41.7%‌
Other
Assets
&
Liabilities,
Net
58.3%
100.0%
ABR
75/25
Volatility
Fund
SCHEDULE
OF
INVESTMENTS
January
31,
2024
3
See
Notes
to
Financial
Statements.
At
January
31,
2024,
the
Fund
held
the
following
exchange-traded
futures
contracts:
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's investments
as
of
January
31,
2024. 
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.
The
Level
1
value
displayed
in
this
table
includes
futures.
The
Level
2
value
displayed
in
this
table
is
U.S.
Treasury
Securities.
Principal
Security
Description
Rate
Maturity
Value
U.S.
Government
&
Agency
Obligations
-
20.8%
U.S.
Treasury
Securities
-
20.8%
9,683,000‌
U.S.
Treasury
Bond
3.88% 
05/15/43
$
9,113,367‌
8,943,000‌
U.S.
Treasury
Bond
4.38 
08/15/43
9,010,073‌
8,596,000‌
U.S.
Treasury
Bond
4.75 
11/15/43
9,102,358‌
10,122,000‌
U.S.
Treasury
Bond
3.63 
05/15/53
9,097,938‌
9,158,000‌
U.S.
Treasury
Bond
4.13 
08/15/53
9,007,752‌
8,329,000‌
U.S.
Treasury
Bond
4.75 
11/15/53
9,095,528‌
54,427,016‌
Total
U.S.
Government
&
Agency
Obligations
(Cost
$49,904,022)
54,427,016‌
Investments,
at
value
-
20.8%
(Cost
$49,904,022)
$
54,427,016‌
Other
Assets
&
Liabilities,
Net
-
79.2%
206,746,543‌
Net
Assets
-
100.0%
$
261,173,559‌
Contracts
Description
Expiration
Date
Notional
Contract
Value
Value
Net
Unrealized
Appreciation
(Depreciation)
(170‌)
CBOE
VIX
Future
02/14/24
$
(2,387,084‌)
$
(2,528,495‌)
$
(141,411‌)
(197‌)
CBOE
VIX
Future
03/20/24
(2,973,879‌)
(3,087,935‌)
(114,056‌)
812‌
S&P
500
E-mini
Future
03/15/24
193,230,014‌
197,742,300‌
4,512,286‌
$
187,869,051‌
$
192,125,870‌
$
4,256,819‌
Valuation
Inputs
Investments
in
Securities
Other
Financial
Instruments*
Level
1
-
Quoted
Prices
$
–‌
$
4,256,819‌
Level
2
-
Other
Significant
Observable
Inputs
54,427,016‌
–‌
Level
3
-
Significant
Unobservable
Inputs
–‌
–‌
Total
$
54,427,016‌
$
4,256,819‌
*
Other
Financial
Instruments
are
derivatives
not
reflected
in
the
Schedule
of
Investments
,
such
as
futures,
which
are
valued
at
the
unrealized
appreciation
(depreciation)
at
period
end.
PORTFOLIO
HOLDINGS
%
of
Total
Net
Assets
U.S.
Government
&
Agency
Obligations
20.8%‌
Other
Assets
&
Liabilities,
Net
79.2%
100.0%
ABR
Funds
STATEMENTS
OF
ASSETS
AND
LIABILITIES
January
31,
2024
4
See
Notes
to
Financial
Statements.
*
$6,344,700,
$6,402,111,
and
$12,963,991
was
held
at
StoneX
Financial,
Inc.
and
$13,610,797,
$8,483,702
and
$28,332,587
was
held
at
Marex
Capital
Markets,
Inc.
for
the
ABR
Dynamic
Blend
Equity
&
Volatility
Fund,
ABR
50/50
Volatility
Fund,
and
ABR
75/25
Volatility
Fund,
respectively.
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
ABR
50/50
Volatility
Fund
ABR
75/25
Volatility
Fund
ASSETS
Investments,
at
value
(Cost
$0,
$22,100,729
and
$49,904,022,
respectively)
$
–‌
$
23,704,067‌
$
54,427,016‌
Cash
83,455,609‌
16,253,899‌
157,630,975‌
Deposits
with
broker*
19,955,497‌
14,885,813‌
41,296,578‌
Receivables:
Fund
shares
sold
2,835‌
646‌
291,347‌
Investment
securities
sold
–‌
2,472,436‌
9,905,905‌
Interest
373,515‌
410,412‌
1,523,341‌
Variation
margin
215,977‌
–‌
–‌
Prepaid
expenses
21,983‌
28,552‌
21,238‌
Total
Assets
104,025,416‌
57,755,825‌
265,096,400‌
LIABILITIES
Payables:
Fund
shares
redeemed
355,127‌
14,840‌
6,897‌
Variation
margin
1,610,000‌
706,434‌
3,516,497‌
Accrued
Liabilities:
Investment
adviser
fees
134,493‌
92,114‌
318,162‌
Fund
services
fees
12,782‌
9,137‌
22,967‌
Other
expenses
22,003‌
25,912‌
58,318‌
Total
Liabilities
2,134,405‌
848,437‌
3,922,841‌
NET
ASSETS
$
101,891,011‌
$
56,907,388‌
$
261,173,559‌
COMPONENTS
OF
NET
ASSETS
Paid-in
capital
$
151,447,954‌
$
69,986,055‌
$
331,284,999‌
Accumulated
loss
(49,556,943‌)
(13,078,667‌)
(70,111,440‌)
NET
ASSETS
$
101,891,011‌
$
56,907,388‌
$
261,173,559‌
SHARES
OF
BENEFICIAL
INTEREST
AT
NO
PAR
VALUE
(UNLIMITED
SHARES
AUTHORIZED)
Institutional
Shares
8,779,623‌
7,089,061‌
24,706,742‌
Investor
Shares
963,590‌
707,406‌
2,623,207‌
NET
ASSET
VALUE,
OFFERING
AND
REDEMPTION
PRICE
PER
SHARE
Institutional
Shares
(based
on
net
assets
of
$92,104,439,
$51,843,505
and
$236,300,870,
respectively)
$
10.49‌
$
7.31‌
$
9.56‌
Investor
Shares
(based
on
net
assets
of
$9,786,572,
$5,063,883
and
$24,872,689,
respectively)
$
10.16‌
$
7.16‌
$
9.48‌
ABR
Funds
STATEMENTS
OF
OPERATIONS
SIX
MONTHS
ENDED
JANUARY
31,
2024
5
See
Notes
to
Financial
Statements.
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
ABR
50/50
Volatility
Fund
ABR
75/25
Volatility
Fund
INVESTMENT
INCOME
Interest
income
$
1,560,467‌
$
853,837‌
$
4,196,654‌
Total
Investment
Income
1,560,467‌
853,837‌
4,196,654‌
EXPENSES
Investment
adviser
fees
912,308‌
717,491‌
3,243,451‌
Fund
services
fees
62,142‌
42,317‌
128,522‌
Transfer
agent
fees:
Institutional
Shares
16,933‌
11,543‌
29,902‌
Investor
Shares
11,201‌
11,145‌
12,832‌
Distribution
fees:
Investor
Shares
12,733‌
6,041‌
28,850‌
Custodian
fees
4,608‌
2,557‌
10,713‌
Registration
fees:
Institutional
Shares
9,136‌
8,846‌
9,751‌
Investor
Shares
8,752‌
8,419‌
10,088‌
Professional
fees
20,265‌
17,693‌
26,242‌
Trustees'
fees
and
expenses
6,617‌
4,931‌
12,603‌
Brokerage
fees
12,848‌
8,901‌
5,067‌
Other
expenses
93,748‌
51,906‌
165,487‌
Total
Expenses
1,171,291‌
891,790‌
3,683,508‌
Fees
waived
(115,923‌)
(168,258‌)
(1,384,247‌)
Net
Expenses
1,055,368‌
723,532‌
2,299,261‌
NET
INVESTMENT
INCOME
505,099‌
130,305‌
1,897,393‌
NET
REALIZED
AND
UNREALIZED
GAIN
(LOSS)
Net
realized
gain
(loss)
on:
Investments
–‌
(3,208,572‌)
(7,366,338‌)
Futures
(120,045‌)
4,697,391‌
10,777,072‌
Net
realized
gain
(loss)
(120,045‌)
1,488,819‌
3,410,734‌
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investments
–‌
2,285,708‌
5,643,597‌
Futures
(1,735,600‌)
(1,016,183‌)
(3,624,009‌)
Net
change
in
unrealized
appreciation
(depreciation)
(1,735,600‌)
1,269,525‌
2,019,588‌
NET
REALIZED
AND
UNREALIZED
GAIN
(LOSS)
(1,855,645‌)
2,758,344‌
5,430,322‌
INCREASE
(DECREASE)
IN
NET
ASSETS
RESULTING
FROM
OPERATIONS
$
(1,350,546‌)
$
2,888,649‌
$
7,327,715‌
ABR
Funds
STATEMENTS
OF
CHANGES
IN
NET
ASSETS
6
See
Notes
to
Financial
Statements.
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
ABR
50/50
Volatility
Fund
For
the
Six
Months
Ended
January
31,
2024
For
the
Year
Ended
July
31,
2023
For
the
Six
Months
Ended
January
31,
2024
For
the
Year
Ended
July
31,
2023
OPERATIONS
Net
investment
income
(loss)
$
505,099‌
$
(678,629‌)
$
130,305‌
$
(608,348‌)
Net
realized
gain
(loss)
(120,045‌)
7,977,301‌
1,488,819‌
20,058,354‌
Net
change
in
unrealized
appreciation
(depreciation)
(1,735,600‌)
(10,755,514‌)
1,269,525‌
(5,217,992‌)
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(1,350,546‌)
(3,456,842‌)
2,888,649‌
14,232,014‌
DISTRIBUTIONS
TO
SHAREHOLDERS
Institutional
Shares
–‌
–‌
–‌
–‌
Investor
Shares
–‌
–‌
–‌
–‌
Total
Distributions
Paid
–‌
–‌
–‌
–‌
CAPITAL
SHARE
TRANSACTIONS
Sale
of
shares:
Institutional
Shares
9,517,068‌
33,695,265‌
5,072,578‌
22,899,309‌
Investor
Shares
450,958‌
994,667‌
1,151,611‌
2,809,076‌
Reinvestment
of
distributions:
Institutional
Shares
–‌
–‌
–‌
–‌
Investor
Shares
–‌
–‌
–‌
–‌
Redemption
of
shares:
Institutional
Shares
(19,190,363‌)
(88,073,596‌)
(12,138,352‌)
(34,633,279‌)
Investor
Shares
(1,886,309‌)
(12,941,234‌)
(2,632,981‌)
(2,341,096‌)
Decrease
in
Net
Assets
from
Capital
Share
Transactions
(11,108,646‌)
(66,324,898‌)
(8,547,144‌)
(11,265,990‌)
Increase
(Decrease)
in
Net
Assets
(12,459,192‌)
(69,781,740‌)
(5,658,495‌)
2,966,024‌
NET
ASSETS
Beginning
of
Period
114,350,203‌
184,131,943‌
62,565,883‌
59,599,859‌
End
of
Period
$
101,891,011‌
$
114,350,203‌
$
56,907,388‌
$
62,565,883‌
SHARE
TRANSACTIONS
Sale
of
shares:
Institutional
Shares
936,859‌
3,405,271‌
739,404‌
4,135,213‌
Investor
Shares
47,588‌
104,309‌
167,330‌
468,994‌
Reinvestment
of
distributions:
Institutional
Shares
–‌
–‌
–‌
–‌
Investor
Shares
–‌
–‌
–‌
–‌
Redemption
of
shares:
Institutional
Shares
(1,914,285‌)
(8,888,544‌)
(1,773,972‌)
(6,271,156‌)
Investor
Shares
(193,181‌)
(1,305,738‌)
(393,608‌)
(412,846‌)
Decrease
in
Shares
(1,123,019‌)
(6,684,702‌)
(1,260,846‌)
(2,079,795‌)
ABR
Funds
STATEMENTS
OF
CHANGES
IN
NET
ASSETS
7
See
Notes
to
Financial
Statements.
ABR
75/25
Volatility
Fund
For
the
Six
Months
Ended
January
31,
2024
For
the
Year
Ended
July
31,
2023
$
1,897,393‌
$
(356,980‌)
3,410,734‌
55,301,245‌
2,019,588‌
(22,904,564‌)
7,327,715‌
32,039,701‌
(670,378‌)
–‌
(32,573‌)
–‌
(702,951‌)
–‌
20,258,625‌
75,444,546‌
11,025,954‌
5,214,226‌
375,526‌
–‌
32,523‌
–‌
(43,192,152‌)
(159,012,001‌)
(5,297,714‌)
(9,390,047‌)
(16,797,238‌)
(87,743,276‌)
(10,172,474‌)
(55,703,575‌)
271,346,033‌
327,049,608‌
$
261,173,559‌
$
271,346,033‌
2,232,153‌
9,235,283‌
1,272,891‌
641,749‌
39,240‌
–‌
3,427‌
–‌
(4,765,713‌)
(19,928,312‌)
(595,153‌)
(1,158,293‌)
(1,813,155‌)
(11,209,573‌)
ABR
DYNAMIC
BLEND
EQUITY
&
VOLATILITY
FUND
FINANCIAL
HIGHLIGHTS
8
See
Notes
to
Financial
Statements.
These
financial
highlights
reflect
selected
data
for
a
share
outstanding
throughout
each
period
.
For
the
Six
Months
Ended
January
31,
2024
For
the
Years
Ended
July
31,
2023
2022
2021
2020
2019
INSTITUTIONAL
SHARES
NET
ASSET
VALUE,
Beginning
of
Period
$
10.56‌
$
10.53‌
$
13.43‌
$
15.37‌
$
10.20‌
$
10.63‌
INVESTMENT
OPERATIONS
Net
investment
income
(loss)
(a)
0.05‌
(0.05‌)
(0.23‌)
(0.26‌)
(0.16‌)
(0.13‌)
Net
realized
and
unrealized
gain
(loss)
(0.12‌)
0.08‌(b)
(1.57‌)
1.33‌
5.41‌
0.08‌
Total
from
Investment
Operations
(0.07‌)
0.03‌
(1.80‌)
1.07‌
5.25‌
(0.05‌)
DISTRIBUTIONS
TO
SHAREHOLDERS
FROM
Net
realized
gain
–‌
–‌
(1.10‌)
(3.01‌)
(0.08‌)
(0.38‌)
Total
Distributions
to
Shareholders
–‌
–‌
(1.10‌)
(3.01‌)
(0.08‌)
(0.38‌)
NET
ASSET
VALUE,
End
of
Period
$
10.49‌
$
10.56‌
$
10.53‌
$
13.43‌
$
15.37‌
$
10.20‌
TOTAL
RETURN
(0.66‌)%(c)
0.29‌%
(14.93‌)%
9.20‌%
51.91‌%
(0.31‌)%
RATIOS/SUPPLEMENTARY
DATA
Net
Assets
at
End
of
Period
(000s
omitted)
$
92,104‌
$
103,000‌
$
160,485‌
$
198,285‌
$
195,398‌
$
37,331‌
Ratios
to
Average
Net
Assets:
Net
investment
income
(loss)
0.99‌%(d)
(0.47‌)%
(1.86‌)%
(1.93‌)%
(1.28‌)%
(1.31‌)%
Net
expenses
2.00‌%(d)
2.00‌%
2.00‌%
2.00‌%
2.00‌%
2.00‌%
Brokerage
fees
0.03‌%(d)
0.02‌%
0.02‌%
0.02‌%
0.01‌%
0.02‌%
Net
expenses
without
brokerage
fees
1.97‌%(d)
1.98‌%
1.98‌%
1.98‌%
1.99‌%
1.98‌%
Gross
expenses
(e)
2.18‌%(d)
2.24‌%
2.05‌%
2.03‌%
2.20‌%
2.41‌%
PORTFOLIO
TURNOVER
RATE
0‌%(c)
0‌%
0‌%
0‌%
0‌%
0‌%
(a)
Calculated
based
on
average
shares
outstanding
during
each
period.
(b)
Per
share
amount
does
not
accord
with
the
amount
reported
in
the
Statement
of
Operations
for
the
year
ended
July
31,
2023
due
to
the
timing
of
Fund
share
sales
and
the
amount
per
share
of
realized
and
unrealized
gains
and
losses
at
such
time.
(c)
Not
annualized.
(d)
Annualized.
(e)
Reflects
the
expense
ratio
excluding
any
waivers
and/or
reimbursements.
ABR
DYNAMIC
BLEND
EQUITY
&
VOLATILITY
FUND
FINANCIAL
HIGHLIGHTS
9
See
Notes
to
Financial
Statements.
These
financial
highlights
reflect
selected
data
for
a
share
outstanding
throughout
each
period
.
For
the
Six
Months
Ended
January
31,
2024
For
the
Years
Ended
July
31,
2023
2022
2021
2020
2019
INVESTOR
SHARES
NET
ASSET
VALUE,
Beginning
of
Period
$
10.23‌
$
10.23‌
$
13.12‌
$
15.11‌
$
10.05‌
$
10.51‌
INVESTMENT
OPERATIONS
Net
investment
income
(loss)
(a)
0.04‌
(0.07‌)
(0.26‌)
(0.29‌)
(0.20‌)
(0.16‌)
Net
realized
and
unrealized
gain
(loss)
(0.11‌)
0.07‌(b)
(1.53‌)
1.31‌
5.34‌
0.08‌
Total
from
Investment
Operations
(0.07‌)
0.00‌
(1.79‌)
1.02‌
5.14‌
(0.08‌)
DISTRIBUTIONS
TO
SHAREHOLDERS
FROM
Net
realized
gain
–‌
–‌
(1.10‌)
(3.01‌)
(0.08‌)
(0.38‌)
Total
Distributions
to
Shareholders
–‌
–‌
(1.10‌)
(3.01‌)
(0.08‌)
(0.38‌)
NET
ASSET
VALUE,
End
of
Period
$
10.16‌
$
10.23‌
$
10.23‌
$
13.12‌
$
15.11‌
$
10.05‌
TOTAL
RETURN
(0.68‌)%(c)
0.00‌%
(15.22‌)%
8.99‌%
51.59‌%
(0.61‌)%
RATIOS/SUPPLEMENTARY
DATA
Net
Assets
at
End
of
Period
(000s
omitted)
$
9,787‌
$
11,350‌
$
23,646‌
$
41,227‌
$
40,932‌
$
3,158‌
Ratios
to
Average
Net
Assets:
Net
investment
income
(loss)
0.75‌%(d)
(0.74‌)%
(2.14‌)%
(2.18‌)%
(1.53‌)%
(1.58‌)%
Net
expenses
2.25‌%(d)
2.25‌%
2.25‌%
2.25‌%
2.25‌%
2.25‌%
Brokerage
fees
0.03‌%(d)
0.02‌%
0.02‌%
0.02‌%
0.01‌%
0.02‌%
Net
expenses
without
brokerage
fees
2.22‌%(d)
2.23‌%
2.23‌%
2.23‌%
2.24‌%
2.23‌%
Gross
expenses
(e)
2.83‌%(d)
2.80‌%
2.40‌%
2.44‌%
2.76‌%
3.81‌%
PORTFOLIO
TURNOVER
RATE
0‌%(c)
0‌%
0‌%
0‌%
0‌%
0‌%
(a)
Calculated
based
on
average
shares
outstanding
during
each
period.
(b)
Per
share
amount
does
not
accord
with
the
amount
reported
in
the
Statement
of
Operations
for
the
year
ended
July
31,
2023
due
to
the
timing
of
Fund
share
sales
and
the
amount
per
share
of
realized
and
unrealized
gains
and
losses
at
such
time.
(c)
Not
annualized.
(d)
Annualized.
(e)
Reflects
the
expense
ratio
excluding
any
waivers
and/or
reimbursements.
ABR
50/50
VOLATILITY
FUND
FINANCIAL
HIGHLIGHTS
10
See
Notes
to
Financial
Statements.
These
financial
highlights
reflect
selected
data
for
a
share
outstanding
throughout
each
period
.
For
the
Six
Months
Ended
January
31,
2024
For
the
Years
Ended
July
31,
2023
2022
2021
2020
2019
INSTITUTIONAL
SHARES
NET
ASSET
VALUE,
Beginning
of
Period
$
6.92‌
$
5.36‌
$
10.66‌
$
7.08‌
$
7.68‌
$
7.80‌
INVESTMENT
OPERATIONS
Net
investment
income
(loss)
(a)
0.02‌
(0.06‌)
(0.17‌)
(0.19‌)
(0.15‌)
(0.05‌)
Net
realized
and
unrealized
gain
(loss)
0.37‌
1.62‌
(1.34‌)
3.77‌
0.40‌
0.57‌
Total
from
Investment
Operations
0.39‌
1.56‌
(1.51‌)
3.58‌
0.25‌
0.52‌
DISTRIBUTIONS
TO
SHAREHOLDERS
FROM
Net
realized
gain
–‌
–‌
(3.79‌)
(0.00‌)(b)
(0.85‌)
(0.64‌)
Total
Distributions
to
Shareholders
–‌
–‌
(3.79‌)
(0.00‌)
(0.85‌)
(0.64‌)
NET
ASSET
VALUE,
End
of
Period
$
7.31‌
$
6.92‌
$
5.36‌
$
10.66‌
$
7.08‌
$
7.68‌
TOTAL
RETURN
5.64‌%(c)
29.10‌%
(24.38‌)%(d)
50.57‌%
1.71‌%
9.46‌%
RATIOS/SUPPLEMENTARY
DATA
Net
Assets
at
End
of
Period
(000s
omitted)
$
51,844‌
$
56,232‌
$
54,979‌
$
82,498‌
$
45,863‌
$
2,824‌
Ratios
to
Average
Net
Assets:
Net
investment
income
(loss)
0.47‌%(e)
(1.07‌)%
(2.15‌)%
(2.19‌)%
(2.11‌)%
(0.74‌)%
Net
expenses
2.50‌%(e)
2.50‌%
2.50‌%
2.50‌%
2.50‌%
2.50‌%
Brokerage
fees
0.03‌%(e)
0.03‌%
0.02‌%
0.02‌%
0.05‌%
0.14‌%
Net
expenses
without
brokerage
fees
2.47‌%(e)
2.47‌%
2.48‌%
2.48‌%
2.45‌%
2.36‌%
Gross
expenses
(f)
3.01‌%(e)
3.02‌%
2.90‌%
2.91‌%
3.70‌%
6.66‌%
PORTFOLIO
TURNOVER
RATE
(g)
377‌%(c)
1,180‌%
2,774‌%
1,782‌%
875‌%
963‌%
(a)
Calculated
based
on
average
shares
outstanding
during
each
period.
(b)
Less
than
$0.01
per
share.
(c)
Not
annualized.
(d)
Total
return
includes
the
impact
of
the
net
gain
from
reimbursement
by
affiliate.
Absent
this
reimbursement,
total
return
would
have
been
(24.52)%.
(e)
Annualized.
(f)
Reflects
the
expense
ratio
excluding
any
waivers
and/or
reimbursements.
(g)
Short
term
cash
instruments
and
derivative
instruments
such
as
futures
contracts
are
excluded
from
the
portfolio
turnover
rate
calculation.
ABR
50/50
VOLATILITY
FUND
FINANCIAL
HIGHLIGHTS
11
See
Notes
to
Financial
Statements.
These
financial
highlights
reflect
selected
data
for
a
share
outstanding
throughout
each
period
.
For
the
Six
Months
Ended
January
31,
2024
For
the
Years
Ended
July
31,
2023
2022
2021
2020
2019
INVESTOR
SHARES
NET
ASSET
VALUE,
Beginning
of
Period
$
6.78‌
$
5.27‌
$
10.56‌
$
7.03‌
$
7.64‌
$
7.79‌
INVESTMENT
OPERATIONS
Net
investment
income
(loss)
(a)
0.01‌
(0.07‌)
(0.17‌)
(0.21‌)
(0.17‌)
(0.07‌)
Net
realized
and
unrealized
gain
(loss)
0.37‌
1.58‌
(1.33‌)
3.74‌
0.41‌
0.56‌
Total
from
Investment
Operations
0.38‌
1.51‌
(1.50‌)
3.53‌
0.24‌
0.49‌
DISTRIBUTIONS
TO
SHAREHOLDERS
FROM
Net
realized
gain
–‌
–‌
(3.79‌)
(0.00‌)(b)
(0.85‌)
(0.64‌)
Total
Distributions
to
Shareholders
–‌
–‌
(3.79‌)
(0.00‌)
(0.85‌)
(0.64‌)
NET
ASSET
VALUE,
End
of
Period
$
7.16‌
$
6.78‌
$
5.27‌
$
10.56‌
$
7.03‌
$
7.64‌
TOTAL
RETURN
5.60‌%(c)
28.65‌%
(24.57‌)%(d)
50.21‌%
1.58‌%
9.07‌%
RATIOS/SUPPLEMENTARY
DATA
Net
Assets
at
End
of
Period
(000s
omitted)
$
5,064‌
$
6,334‌
$
4,621‌
$
2,933‌
$
3,133‌
$
715‌
Ratios
to
Average
Net
Assets:
Net
investment
income
(loss)
0.24‌%(e)
(1.31‌)%
(2.40‌)%
(2.52‌)%
(2.36‌)%
(0.99‌)%
Net
expenses
2.75‌%(e)
2.75‌%
2.75‌%
2.75‌%
2.75‌%
2.75‌%
Brokerage
fees
0.03‌%(e)
0.04‌%
0.02‌%
0.02‌%
0.09‌%
0.14‌%
Net
expenses
without
brokerage
fees
2.72‌%(e)
2.71‌%
2.73‌%
2.73‌%
2.66‌%
2.61‌%
Gross
expenses
(f)
4.15‌%(e)
4.17‌%
4.41‌%
4.74‌%
6.53‌%
8.24‌%
PORTFOLIO
TURNOVER
RATE
(g)
377‌%(c)
1,180‌%
2,774‌%
1,782‌%
875‌%
963‌%
(a)
Calculated
based
on
average
shares
outstanding
during
each
period.
(b)
Less
than
$0.01
per
share.
(c)
Not
annualized.
(d)
Total
return
includes
the
impact
of
the
net
gain
from
reimbursement
by
affiliate.
Absent
this
reimbursement,
total
return
would
have
been
(24.71)%.
(e)
Annualized.
(f)
Reflects
the
expense
ratio
excluding
any
waivers
and/or
reimbursements.
(g)
Short
term
cash
instruments
and
derivative
instruments
such
as
futures
contracts
are
excluded
from
the
portfolio
turnover
rate
calculation.
ABR
75/25
VOLATILITY
FUND
FINANCIAL
HIGHLIGHTS
12
See
Notes
to
Financial
Statements.
These
financial
highlights
reflect
selected
data
for
a
share
outstanding
throughout
each
period
.
For
the
Six
Months
Ended
January
31,
2024
For
the
Years
Ended
July
31,
August
3,
2020
(a)
Through
July
31,
2021
2023
2022
INSTITUTIONAL
SHARES
NET
ASSET
VALUE,
Beginning
of
Period
$
9.32‌
$
8.11‌
$
11.79‌
$
10.00‌
INVESTMENT
OPERATIONS
Net
investment
income
(loss)
(b)
0.07‌
(0.01‌)
(0.15‌)
(0.16‌)
Net
realized
and
unrealized
gain
(loss)
0.20‌
1.22‌
(1.50‌)
1.95‌
Total
from
Investment
Operations
0.27‌
1.21‌
(1.65‌)
1.79‌
DISTRIBUTIONS
TO
SHAREHOLDERS
FROM
Net
investment
income
(0.03‌)
–‌
–‌
–‌
Net
realized
gain
–‌
–‌
(2.03‌)
–‌
Total
Distributions
to
Shareholders
(0.03‌)
–‌
(2.03‌)
–‌
NET
ASSET
VALUE,
End
of
Period
$
9.56‌
$
9.32‌
$
8.11‌
$
11.79‌
TOTAL
RETURN
2.87‌%(c)
14.92‌%
(17.88‌)%
17.90‌%(c)
RATIOS/SUPPLEMENTARY
DATA
Net
Assets
at
End
of
Period
(000s
omitted)
$
236,301‌
$
253,418‌
$
307,247‌
$
314,576‌
Ratios
to
Average
Net
Assets:
Net
investment
income
(loss)
1.47‌%(d)
(0.11‌)%
(1.48‌)%
(1.53‌)%(d)
Net
expenses
1.75‌%(d)
1.75‌%
1.75‌%
1.75‌%(d)
Brokerage
fees
0.00‌%(d)
0.00‌%
0.00‌%
0.00‌%(d)
Net
expenses
without
brokerage
fees
1.75‌%(d)
1.75‌%
1.75‌%
1.75‌%(d)
Gross
expenses
(e)
2.79‌%(d)
2.78‌%
2.74‌%
2.78‌%(d)
PORTFOLIO
TURNOVER
RATE
(f)
412‌%(c)
1,286‌%
2,720‌%
1,622‌%(c)
(a)
Commencement
of
operations.
(b)
Calculated
based
on
average
shares
outstanding
during
each
period.
(c)
Not
annualized.
(d)
Annualized.
(e)
Reflects
the
expense
ratio
excluding
any
waivers
and/or
reimbursements.
(f)
Short
term
cash
instruments
and
derivative
instruments
such
as
futures
contracts
are
excluded
from
the
portfolio
turnover
rate
calculation.
ABR
75/25
VOLATILITY
FUND
FINANCIAL
HIGHLIGHTS
13
See
Notes
to
Financial
Statements.
These
financial
highlights
reflect
selected
data
for
a
share
outstanding
throughout
each
period
.
For
the
Six
Months
Ended
January
31,
2024
For
the
Years
Ended
July
31,
August
5,
2020
(a)
Through
July
31,
2021
2023
2022
INVESTOR
SHARES
NET
ASSET
VALUE,
Beginning
of
Period
$
9.23‌
$
8.05‌
$
11.75‌
$
10.00‌
INVESTMENT
OPERATIONS
Net
investment
income
(loss)
(b)
0.06‌
(0.03‌)
(0.18‌)
(0.19‌)
Net
realized
and
unrealized
gain
(loss)
0.20‌
1.21‌
(1.49‌)
1.94‌
Total
from
Investment
Operations
0.26‌
1.18‌
(1.67‌)
1.75‌
DISTRIBUTIONS
TO
SHAREHOLDERS
FROM
Net
investment
income
(0.01‌)
–‌
–‌
–‌
Net
realized
gain
–‌
–‌
(2.03‌)
–‌
Total
Distributions
to
Shareholders
(0.01‌)
–‌
(2.03‌)
–‌
NET
ASSET
VALUE,
End
of
Period
$
9.48‌
$
9.23‌
$
8.05‌
$
11.75‌
TOTAL
RETURN
2.84‌%(c)
14.66‌%
(18.15‌)%
17.50‌%(c)
RATIOS/SUPPLEMENTARY
DATA
Net
Assets
at
End
of
Period
(000s
omitted)
$
24,873‌
$
17,928‌
$
19,802‌
$
23,096‌
Ratios
to
Average
Net
Assets:
Net
investment
income
(loss)
1.40‌%(d)
(0.39‌)%
(1.75‌)%
(1.76‌)%(d)
Net
expenses
2.00‌%(d)
2.00‌%
2.00‌%
2.00‌%(d)
Dividend
and
interest
expenses
0.00‌%(d)
0.00‌%
0.00‌%
0.00‌%(d)
Gross
expenses
(e)
3.31‌%(d)
3.32‌%
3.18‌%
3.48‌%(d)
PORTFOLIO
TURNOVER
RATE
(f)
412‌%(c)
1,286‌%
2,720‌%
1,622‌%(c)
(a)
Commencement
of
operations.
(b)
Calculated
based
on
average
shares
outstanding
during
each
period.
(c)
Not
annualized.
(d)
Annualized.
(e)
Reflects
the
expense
ratio
excluding
any
waivers
and/or
reimbursements.
(f)
Short
term
cash
instruments
and
derivative
instruments
such
as
futures
contracts
are
excluded
from
the
portfolio
turnover
rate
calculation.
ABR
Funds
NOTES
TO
FINANCIAL
STATEMENTS
January
31,
2024
14
Note
1.
Organization
The
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
and
ABR
50/50
Volatility
Fund
are
diversified
portfolios
and
the
ABR
75/25
Volatility
Fund
(individually,
a
“Fund”
and
collectively,
the
“Funds”)
is
a
non-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
each
Fund’s
shares
of
beneficial
interest
without
par
value.
Each
Fund
currently
offers
two
classes
of
shares:
Institutional
Shares
and
Investor
Shares.
Institutional
Shares
and
Investor
Shares
commenced
operations
on
August
3,
2015,
and
August
14,
2015,
respectively,
for
the
ABR
Dynamic
Blend
Equity
&
Volatility
Fund;
October
2,
2017
and
October
11,
2017,
respectively,
for
the
ABR
50/50
Volatility
Fund;
and
August
3,
2020
and
August
5,
2020,
respectively,
for
the
ABR
75/25
Volatility
Fund.
The
ABR
Dynamic
Blend
Equity
&
Volatility
Fund’s
investment
objective
is
to
seek
investment
results
that
correspond
generally
to
the
performance,
before
the
Fund’s
fees
and
expenses,
of
a
benchmark
index
that
measures
the
investment
returns
of
a
dynamic
ratio
of
large-capitalization
stocks
and
the
volatility
of
large-capitalization
stocks.
The
ABR
50/50
Volatility
Fund
and
ABR
75/25
Volatility
Fund’s
investment
objective
is
to
seek
long-term
capital
appreciation.
Prior
to
December
1,
2020,
the
ABR
50/50
Volatility
Fund
was
named
ABR
Dynamic
Short
Volatility
Fund.
Note
2.
Summary
of
Significant
Accounting
Policies
The
Funds
are
investment
companies
and
follow
accounting
and
reporting
guidance
under
Financial
Accounting
Standards
Board
Accounting
Standards
Codification
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
each
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.
Debt
securities
may
be
valued
at
prices
supplied
by
a
fund’s
pricing
agent
based
on
broker
or
dealer
supplied
valuations
or
matrix
pricing,
a
method
of
valuing
securities
by
reference
to
the
value
of
other
securities
with
similar
characteristics
such
as
rating,
interest
rate
and
maturity.
Futures
contracts
are
valued
at
the
day’s
settlement
price
on
the
exchange
where
the
contract
is
traded.
Shares
of
non-exchange
traded
open-end
mutual
funds
are
valued
at
net
asset
value
(“NAV”).
Short-term
investments
that
mature
in
sixty
days
or
less
may
be
valued
at
amortized
cost.
Pursuant
to
Rule
2a-5
under
the
Investment
Company
Act,
the
Trust’s
Board
of
Trustees
(the
“Board”)
has
designated
the
Adviser,
as
defined
in
Note
4,
as
each
Fund’s
valuation
designee
to
perform
any
fair
value
determinations
for
securities
and
other
assets
held
by
each
Fund.
The
Adviser
is
subject
to
the
oversight
of
the
Board
and
certain
reporting
and
other
requirements
intended
to
provide
the
Board
the
information
needed
to
oversee
the
Adviser’s
fair
value
determinations.
The
Adviser
is
responsible
for
determining
the
fair
value
of
investments
for
which
market
quotations
are
not
readily
available
in
accordance
with
policies
and
procedures
that
have
been
approved
by
the
Board.
Under
these
procedures,
the
Adviser
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
Board
has
approved
the
Adviser’s
fair
valuation
procedures
as
a
part
of
each
Fund’s
compliance
program
and
will
review
any
changes
made
to
the
procedures.
The
Adviser
provides
fair
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
Adviser
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
each
Fund’s
investments.
These
inputs
are
summarized
in
the
three
broad
levels
listed
below:
ABR
Funds
NOTES
TO
FINANCIAL
STATEMENTS
January
31,
2024
15
Level
1
-
Quoted
prices
in
active
markets
for
identical
assets
and
liabilities.
Level
2
-
Prices
determined
using
significant
other
observable
inputs
(including
quoted
prices
for
similar
securities,
interest
rates,
prepayment
speeds,
credit
risk,
etc.).
Short-term
securities
with
maturities
of
sixty
days
or
less
are
valued
at
amortized
cost,
which
approximates
market
value,
and
are
categorized
as
Level
2
in
the
hierarchy.
Municipal
securities,
long-term
U.S.
government
obligations
and
corporate
debt
securities
are
valued
in
accordance
with
the
evaluated
price
supplied
by
a
pricing
service
and
generally
categorized
as
Level
2
in
the
hierarchy.
Other
securities
that
are
categorized
as
Level
2
in
the
hierarchy
include,
but
are
not
limited
to,
warrants
that
do
not
trade
on
an
exchange,
securities
valued
at
the
mean
between
the
last
reported
bid
and
ask
quotation
and
international
equity
securities
valued
by
an
independent
third
party
with
adjustments
for
changes
in
value
between
the
time
of
the
securities’
respective
local
market
closes
and
the
close
of
the
U.S.
market.
Level
3
-
Significant
unobservable
inputs
(including
each
Fund’s
own
assumptions
in
determining
the
fair
value
of
investments).
The
aggregate
value
by
input
level,
as
of
January
31,
2024,
for
each
Fund’s
investments
is
included
in
each
Fund’s
Schedule
of
Investments.
Security
Transactions,
Investment
Income
and
Realized
Gain
and
Loss
–
Investment
transactions
are
accounted
for
on
the
trade
date.
Dividend
income
is
recorded
on
the
ex-dividend
date.
Foreign
dividend
income
is
recorded
on
the
ex-dividend
date
or
as
soon
as
possible
after
determining
the
existence
of
a
dividend
declaration
after
exercising
reasonable
due
diligence.
Income
and
capital
gains
on
some
foreign
securities
may
be
subject
to
foreign
withholding
taxes,
which
are
accrued
as
applicable.
Interest
income
is
recorded
on
an
accrual
basis.
Premium
is
amortized
to
the
next
call
date
above
par,
and
discount
is
accreted
to
maturity
using
the
effective
interest
method.
Identified
cost
of
investments
sold
is
used
to
determine
the
gain
and
loss
for
both
financial
statement
and
federal
income
tax
purposes.
Futures
Contracts
–
Each
Fund
may
purchase
futures
contracts
to
gain
exposure
to
market
changes,
which
may
be
more
efficient
or
cost
effective
than
actually
buying
the
securities.
A
futures
contract
is
an
agreement
between
parties
to
buy
or
sell
a
security
at
a
set
price
on
a
future
date.
Upon
entering
into
such
a
contract,
a
fund
is
required
to
pledge
to
the
broker
an
amount
of
cash,
U.S.
Government
obligations
or
other
high-quality
debt
securities
equal
to
the
minimum
“initial
margin”
requirements
of
the
exchange
on
which
the
futures
contract
is
traded.
Pursuant
to
the
contract,
the
Fund
agrees
to
receive
from
or
pay
to
the
broker
an
amount
of
cash
equal
to
the
daily
fluctuation
in
the
value
of
the
contract.
Such
receipts
or
payments
are
known
as
“variation
margin”
and
are
recorded
by
the
Fund
as
unrealized
gains
or
losses.
When
the
contract
is
closed,
the
Fund
records
a
realized
gain
or
loss
equal
to
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
value
at
the
time
it
was
closed.
Risks
of
entering
into
futures
contracts
include
the
possibility
that
there
may
be
an
illiquid
market
and
that
a
change
in
the
value
of
the
contract
may
not
correlate
with
changes
in
the
value
of
the
underlying
securities.
Notional
amounts
of
each
individual
futures
contract
outstanding
as
of
January
31,
2024,
for
each
Fund,
are
disclosed
in
the
Schedules
of
Investments.
Distributions
to
Shareholders
–
Each
Fund
declares
any
dividends
from
net
investment
income
and
pays
them
annually.
Any
net
capital
gains
realized
by
the
Funds
are
distributed
at
least
annually.
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Distributions
are
based
on
amounts
calculated
in
accordance
with
applicable
federal
income
tax
regulations,
which
may
differ
from
GAAP.
These
differences
are
due
primarily
to
differing
treatments
of
income
and
gain
on
various
investment
securities
held
by
each
Fund,
timing
differences
and
differing
characterizations
of
distributions
made
by
each
Fund.
Federal
Taxes
–
Each
Fund
intends
to
continue
to
qualify
each
year
as
a
regulated
investment
company
under
Subchapter
M
of
Chapter
1,
Subtitle
A,
of
the
Internal
Revenue
Code
of
1986,
as
amended
(“Code”),
and
to
distribute
all
of
its
taxable
income
to
shareholders.
In
addition,
by
distributing
in
each
calendar
year
substantially
all
of
their
net
investment
income
and
capital
gains,
if
any,
the
Funds
will
not
be
subject
to
a
federal
excise
tax.
Therefore,
no
federal
income
or
excise
tax
provision
is
required.
Each
Fund
recognizes
interest
and
penalties,
if
any,
related
to
unrecognized
tax
benefits
as
income
tax
expense
in
the
Statements
of
Operations.
During
the
period,
each
Fund
did
not
incur
any
interest
or
penalties.
Each
Fund
will
file
a
U.S.
federal
income
and
excise
tax
return
as
required.
Each
Fund’s
federal
income
tax
returns
are
subject
to
examination
by
the
Internal
Revenue
Service
for
a
period
of
three
fiscal
years
after
they
are
filed.
As
of
January
31,
2024,
there
are
no
uncertain
tax
positions
that
would
require
financial
statement
recognition,
de-recognition
or
disclosure.
ABR
Funds
NOTES
TO
FINANCIAL
STATEMENTS
January
31,
2024
16
Income
and
Expense
Allocation
–
The
Trust
accounts
separately
for
the
assets,
liabilities
and
operations
of
each
of
its
investment
portfolios.
Expenses
that
are
directly
attributable
to
more
than
one
investment
portfolio
are
allocated
among
the
respective
investment
portfolios
in
an
equitable
manner.
The
Funds'
class-specific
expenses
are
charged
to
the
operations
of
that
class
of
shares.
Income
and
expenses
(other
than
expenses
attributable
to
a
specific
class)
and
realized
and
unrealized
gains
or
losses
on
investments
are
allocated
to
each
class
of
shares
based
on
the
class’
respective
net
assets
to
the
total
net
assets
of
each
Fund.
Commitments
and
Contingencies
–
In
the
normal
course
of
business,
each
Fund
enters
into
contracts
that
provide
general
indemnifications
by
each
Fund
to
the
counterparty
to
the
contract.
Each
Fund’s
maximum
exposure
under
these
arrangements
is
dependent
on
future
claims
that
may
be
made
against
each
Fund
and,
therefore,
cannot
be
estimated;
however,
based
on
experience,
the
risk
of
loss
from
such
claims
is
considered
remote.
Each
Fund
has
determined
that
none
of
these
arrangements
requires
disclosure
on
each
Fund’s
statement
of
assets
and
liabilities.
Note
3.
Cash
–
Concentration
in
Uninsured
Account
For
cash
management
purposes,
each
Fund
may
concentrate
cash
with
each
Fund’s
custodian.
This
typically
results
in
cash
balances
exceeding
the
Federal
Deposit
Insurance
Corporation
(“FDIC”)
insurance
limits.
As
of
January
31,
2024,
the
ABR
Dynamic
Blend
Equity
&
Volatility
Fund,
ABR
50/50
Volatility
Fund,
and
ABR
75/25
Volatility
Fund
had
$83,205,609,
$16,003,899,
and
$157,380,975,
respectively,
at
US
Bank
that
exceeded
the
FDIC
insurance
limit.
Note
4.
Fees
and
Expenses
Investment
Adviser
–
ABR
Dynamic
Funds,
LLC
(the
“Adviser”)
is
the
investment
adviser
to
the
Funds.
Pursuant
to
an
investment
advisory
agreement,
the
Adviser
receives
an
advisory
fee,
payable
monthly,
at
an
annual
rate
of
1.75%,
2.50%,
and
2.50%
of
the
average
daily
net
assets
of
the
ABR
Dynamic
Blend
Equity
&
Volatility
Fund,
ABR
50/50
Volatility
Fund,
and
ABR
75/25
Volatility
Fund,
respectively.
Distribution
–
Foreside
Fund
Services,
LLC,
a
wholly
owned
subsidiary
of
Foreside
Financial
Group,
LLC
(d/b/a
ACA
Group)
(the
“Distributor”),
acts
as
the
agent
of
the
Trust
in
connection
with
the
continuous
offering
of
shares
of
the
Funds.
The
Funds
have
adopted
a
Distribution
Plan
(the
“Plan”)
in
accordance
with
Rule
12b-1
of
the
Act.
Under
the
Plan,
each
Fund
may
pay
the
Distributor
and/or
any
other
entity
as
authorized
by
the
Board
a
fee
of
up
to
0.25%
of
each
Fund’s
average
daily
net
assets
of
Investor
Shares
for
providing
distribution
and/or
shareholder
services
to
the
Funds.
The
Distributor
is
not
affiliated
with
the
Adviser
or
Atlantic
Fund
Administration,
LLC,
a
wholly
owned
subsidiary
of
Apex
US
Holdings
LLC
(d/b/a
Apex
Fund
Services)
(“Apex”)
or
their
affiliates.
Other
Service
Providers
–
Apex
provides
fund
accounting,
fund
administration,
compliance
and
transfer
agency
services
to
each
Fund.
The
fees
related
to
these
services
are
included
in
Fund
services
fees
and
Transfer
agent
fees
within
the
Statements
of
Operations.
Apex
also
provides
certain
shareholder
report
production
and
EDGAR
conversion
and
filing
services.
Pursuant
to
an
Apex
Services
Agreement,
each
Fund
pays
Apex
customary
fees
for
its
services.
Apex
provides
a
Principal
Executive
Officer,
a
Principal
Financial
Officer,
a
Chief
Compliance
Officer
and
an
Anti-Money
Laundering
Officer
to
each
Fund,
as
well
as
certain
additional
compliance
support
functions.
Trustees
and
Officers
–
Each
Independent
Trustee
receives
an
annual
fee
of
$25,000
($32,500
for
the
Chairman)
for
service
to
the
Trust.
The
Independent
Trustees
and
Chairman
may
receive
additional
fees
for
special
Board
meetings.
The
Independent
Trustees
are
also
reimbursed
for
all
reasonable
out-of-pocket
expenses
incurred
in
connection
with
their
duties
as
Trustees,
including
travel
and
related
expenses
incurred
in
attending
Board
meetings.
The
amount
of
Independent
Trustees’
fees
attributable
to
each
Fund
is
disclosed
in
the
Statements
of
Operations.
Certain
officers
of
the
Trust
are
also
officers
or
employees
of
the
above
named
service
providers,
and
during
their
terms
of
office
received
no
compensation
from
each
Fund.
Note
5.
Expenses
Reimbursed
and
Fees
Waived
The
Adviser has
contractually
agreed
to
waive
its
fee
and/or
reimburse
Fund
expenses
to
limit
Total
Annual
Fund
Operating
Expenses
After
Fee
Waiver
and/or
Expense
Reimbursement
(excluding
all
taxes,
interest,
portfolio
transaction
expenses,
proxy
expenses
and
extraordinary
expenses)
to
2.00%
for
Institutional
Shares
and
2.25%
for
Investor
Shares
of
the
ABR
Dynamic
Blend
Equity
&
Volatility
Fund;
2.50%
for
Institutional
Shares
and
2.75%
for
Investor
Shares
of
the
ABR
50/50
Volatility
Fund;
and
1.75%
for
Institutional
Shares
and
2.00%
for
Investor
Shares
of
the
ABR
75/25
Volatility
Fund,
through
at
least
at
least
November
30,
2024.
Other
Fund
service
ABR
Funds
NOTES
TO
FINANCIAL
STATEMENTS
January
31,
2024
17
providers
have
voluntarily
agreed
to
waive
and
reimburse
a
portion
of
their
fees.
These
voluntary
fee
waivers
and
reimbursements
may
be
reduced
or
eliminated
at
any
time.
For
the
period
ended
January
31,
2024,
fees
waived
and
expenses
reimbursed
were
as
follows:
The
Adviser
may
be
reimbursed
by
each
Fund
for
fees
waived
and
expenses
reimbursed
by
the
Adviser
pursuant
to
the
Expense
Cap
if
such
payment
is
made
within
three
years
of
the
fee
waiver
or
expense
reimbursement,
and
does
not
cause
the
Total
Annual
Fund
Operating
Expenses
After
Fee
Waiver
and/or
Expense
Reimbursement
to
exceed
the
lesser
of
(i)
the
then-current
expense
cap,
or
(ii)
the
expense
cap
in
place
at
the
time
the
fees/expenses
were
waived/reimbursed.
As
of
January
31,
2024,
$574,083,
$953,411
and
$9,223,549
is
subject
to
recapture
by
the
Adviser
for
the
ABR
Dynamic
Blend
Equity
&
Volatility
Fund,
ABR
50/50
Volatility
Fund,
and
ABR
75/25
Volatility
Fund,
respectively.
Other
Waivers
are
not
eligible
for
recoupment.
Note
6.
Security
Transactions
The
cost
of
purchases
and
proceeds
from
sales
of
investment
securities
(including
maturities),
other
than
short-term
investments,
during
the
period
ended
January
31,
2024,
were
as
follows:
Note
7.
Summary
of
Derivative
Activity
The
volume
of
open
derivative
positions
may
vary
on
a
daily
basis
as
each
Fund
transacts
derivative
contracts
in
order
to
achieve
the
exposure
desired
by
the
Adviser.
The
total
notional
value
of
transactions
for
the
period
ended
January
31,
2024,
for
any
derivative
type
that
was
held
is
as
follows:
Each
Fund’s
use
of
derivatives
during
the
period
ended
January
31,
2024,
was
limited
to
futures
contracts.
Following
is
a
summary
of
the
effect
of
derivatives
on
the
Statements
of
Assets
and
Liabilities
as
of
January
31,
2024.
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
ABR
50/50
Volatility
Fund
Investment
Adviser
Fees
Waived
Other
Waivers
Total
Fees
Waived
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
$
102,125‌
$
13,798‌
$
115,923‌
ABR
50/50
Volatility
Fund
157,030‌
11,228‌
168,258‌
ABR
75/25
Volatility
Fund
1,338,983‌
45,264‌
1,384,247‌
U.S.
Government
Obligations
Purchases
Sales
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
$
–‌
$
–‌
ABR
50/50
Volatility
Fund
81,224,072‌
82,808,824‌
ABR
75/25
Volatility
Fund
200,821,072‌
201,071,168‌
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
ABR
50/50
Volatility
Fund
ABR
75/25
Volatility
Fund
Futures
Contracts
$
565,683,322‌
$
58,475,978‌
$
732,361,723‌
Location:
Equity
Contracts
Asset
derivatives:
Unrealized
appreciation
on
futures*
$
2,572,335‌
Receivable
–
variation
margin
$
215,977‌
Total
asset
derivatives
$
2,788,312‌
Liability
derivatives:
Payable
–
variation
margin
$
1,610,000‌
Total
liability
derivatives
$
(1,610,000‌)
Location:
Equity
Contracts
Futures
contracts:
Unrealized
appreciation
on
futures*
$
385,254‌
Total
futures
contracts
$
385,254‌
Liability
derivatives:
Payable
–
variation
margin
$
(706,434‌)
Total
liability
derivatives
$
(706,434‌)
ABR
Funds
NOTES
TO
FINANCIAL
STATEMENTS
January
31,
2024
18
ABR
75/25
Volatility
Fund
*
Balance
is
included
in
the
deposits
with
broker
for
futures
on
the
Statements
of
Assets
and
Liabilities.
Realized
and
unrealized
gains
and
losses
on
derivatives
contracts
during
the
period
ended
January
31,
2024,
by
each
Fund
are
recorded
in
the
following
locations
on
the
Statements
of
Operations:
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
ABR
50/50
Volatility
Fund
ABR
75/25
Volatility
Fund
Note
8.
Federal
Income
Tax
As
of
January
31,
2024,
the
cost
for
federal
income
tax
purposes
is
substantially
the
same
as
for
financial
statement
purposes
and
the
components
of
net
unrealized
appreciation
were
as
follows:
Location:
Equity
Contracts
Futures
contracts:
Unrealized
appreciation
on
futures*
$
4,256,819‌
Total
futures
contracts
$
4,256,819‌
Liability
derivatives:
Payable
–
variation
margin
$
3,516,497‌
Total
liability
derivatives
$
3,516,497‌
Location:
Equity
Contracts
Net
realized
gain
(loss)
on:
Futures
$
(120,045‌)
Total
net
realized
gain
(loss)
$
(120,045‌)
Net
change
in
unrealized
appreciation
(depreciation)
on:
Futures
$
(1,735,600‌)
Total
net
change
in
unrealized
appreciation
(depreciation)
$
(1,735,600‌)
Location:
Equity
Contracts
Net
realized
gain
(loss)
on:
Futures
$
4,697,391‌
Total
net
realized
gain
(loss)
$
4,697,391‌
Net
change
in
unrealized
appreciation
(depreciation)
on:
Futures
$
(1,016,183‌)
Total
net
change
in
unrealized
appreciation
(depreciation)
$
(1,016,183‌)
Location:
Equity
Contracts
Net
realized
gain
(loss)
on:
Futures
$
10,777,072‌
Total
net
realized
gain
(loss)
$
10,777,072‌
Net
change
in
unrealized
appreciation
(depreciation)
on:
Futures
$
(3,624,009‌)
Total
net
change
in
unrealized
appreciation
(depreciation)
$
(3,624,009‌)
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net
Unrealized
Appreciation
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
$
–‌
$
–‌
$
–‌
ABR
50/50
Volatility
Fund
1,603,337‌
–‌
1,603,337‌
ABR
75/25
Volatility
Fund
4,522,994‌
–‌
4,522,994‌
ABR
Funds
NOTES
TO
FINANCIAL
STATEMENTS
January
31,
2024
19
As
of
July
31,
2023,
distributable
earnings
(accumulated
loss)
on
a
tax
basis
for
the
Funds
were
as
follows:
For
tax
purposes,
the
prior
year
late-year
ordinary
loss
was
$658,793,
$365,439
and
$652,842
for
the
ABR
Dynamic
Blend
Equity
&
Volatility
Fund,
ABR
50/50
Volatility
Fund,
and
ABR
75/25
Volatility
Fund,
respectively,
(realized
during
the
period
January
1,
2023
through
July
31,
2023).
These
losses
were
recognized
for
tax
purposes
on
the
first
business
day
of
each
Fund’s
current
fiscal
year,
August
1,
2023.
As
of
July
31,
2023,
the
ABR
Dynamic
Blend
Equity
&
Volatility
Fund,
ABR
50/50
Volatility
Fund,
and
ABR
75/25
Volatility
Fund
had
$28,528,563,
$8,202,139,
and
$43,277,900,
respectively,
of
available
long-term
capital
loss
carryforwards
and
$19,019,041,
$6,381,507,
and
$30,547,144,
respectively,
of
available
short-term
capital
loss
carryforwards
that
have
no
expiration
date.
Note
9.
Recent
Accounting
Pronouncements
In
June
2022,
the
Financial
Accounting
Standards
Board
issued
Accounting
Standards
Update
2022-03,
which
amends
Fair
Value
Measurement
(Topic
820);
Fair
Value
Measurement
of
Equity
Securities
Subject
to
Contractual
Sale
Restrictions
(“ASU
2022-03”).
ASU
2022-03
clarifies
guidance
for
fair
value
measurement
of
an
equity
security
subject
to
a
contractual
sale
restriction
and
establishes
new
disclosure
requirements
for
such
equity
securities.
ASU
2022-03
is
effective
for
fiscal
years
beginning
after
December
15,
2023,
and
for
interim
periods
within
those
fiscal
years,
with
early
adoption
permitted.
Management
is
currently
evaluating
the
impact
of
these
amendments
on
the
financial
statements.
Note
10.
Subsequent
Events
Subsequent
events
occurring
after
the
date
of
this
report
through
the
date
these
financial
statements
were
issued
have
been
evaluated
for
potential
impact,
and
each
Fund
has
had
no
such
events.
Capital
and
Other
Losses
Unrealized
Depreciation
Total
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
$
(48,206,397‌)
$
–‌
$
(48,206,397‌)
ABR
50/50
Volatility
Fund
(14,949,085‌)
(1,018,231‌)
(15,967,316‌)
ABR
75/25
Volatility
Fund
(74,477,886‌)
(2,258,318‌)
(76,736,204‌)
ABR
Funds
ADDITIONAL
INFORMATION
January
31,
2024
20
Liquidity
Risk
Management
Program
The
Funds
have
adopted
and
implemented
a
written
liquidity
risk
management
program,
as
required
by
Rule
22e-4
(the
“Liquidity
Rule”)
under
the
Investment
Company
Act
of
1940,
as
amended.
The
liquidity
risk
management
program
is
reasonably
designed
to
assess
and
manage
the
Fund’s
liquidity
risk,
taking
into
consideration,
among
other
factors,
the
Funds'
investment
strategy
and
the
liquidity
of
the
portfolio
investments
during
normal
and
reasonably
foreseeable
stressed
conditions,
its
short
and
long-term
cash
flow
projections
and
its
cash
holdings
and
access
to
other
funding
sources.
The
Board
approved
the
designation
of
a
Liquidity
Committee
as
the
administrator
of
the
liquidity
risk
management
program
(the
“Program
Administrator”).
The
Program
Administrator
is
responsible
for
the
administration
and
oversight
of
the
program
and
for
reporting
to
the
Board
on
at
least
an
annual
basis
regarding,
among
other
things,
the
program’s
operation,
adequacy,
and
effectiveness.
The
Program
Administrator
assessed
the
Fund’s
liquidity
risk
profile
based
on
information
gathered
for
the
period
July
1,
2022
through
June
30,
2023
in
order
to
prepare
a
written
report
to
the
Board
for
review
at
its
meeting
held
on
September
15,
2023.
The
Program
Administrator’s
written
report
stated
that:
(i)
the
Funds
are
able
to
meet
redemptions
in
normal
and
reasonably
foreseeable
stressed
conditions
and
without
significant
dilution
of
remaining
shareholders’
interests
in
the
Funds;
(ii)
the
Funds'
strategy
is
appropriate
for
an
open-end
mutual
fund;
(iii)
the
liquidity
classification
determinations
regarding
the
Funds'
portfolio
investments,
which
take
into
account
a
variety
of
factors
and
may
incorporate
analysis
from
one
or
more
third-party
data
vendors,
remained
appropriate;
(iv)
the
Funds
did
not
approach
the
internal
triggers
set
forth
in
the
liquidity
risk
management
program
or
the
regulatory
percentage
limitation
(15%)
on
holdings
in
illiquid
investments;
(v)
it
continues
to
be
appropriate
to
not
set
a
“highly
liquid
investment
minimum”
for
the
Funds
because
the
Funds
primarily
hold
“highly
liquid
investments”;
and
(vi)
the
liquidity
risk
management
program
remains
reasonably
designed
and
adequately
implemented
to
prevent
violations
of
the
Liquidity
Rule.
No
significant
liquidity
events
impacting
the
Funds
or
proposed
changes
to
the
Program
were
noted
in
the
report.
Proxy
Voting
Information
A
description
of
the
policies
and
procedures
that
each
Fund
uses
to
determine
how
to
vote
proxies
relating
to
securities
held
in
each
Fund’s
portfolio
is
available,
without
charge
and
upon
request,
by
calling
(855)
422-4518
and
on
the
U.S.
Securities
and
Exchange
Commission’s
(the
“SEC”)
website
at
www.sec.gov.
Each
Fund’s
proxy
voting
record
for
the
most
recent
twelve-month
period
ended
June
30
is
available,
without
charge
and
upon
request,
by
calling
(855)
422-4518
and
on
the
SEC’s
website
at
www.sec.gov.
Availability
of
Quarterly
Portfolio
Schedules
Each
Fund
files
its
complete
schedule
of
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
of
each
fiscal
year
on
Form
N-PORT.
Forms
N-PORT
are
available
free
of
charge
on
the
SEC’s
website
at
www.sec.gov.
Shareholder
Expense
Example
As
a
shareholder
of
the
Funds
,
you
incur
ongoing
costs,
including
management
fees,
distribution
and/or
service
(12b-1)
fees
(for
Investor
Shares
only)
and
other
Fund
expenses.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Funds
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds.
The
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
from
August
1,
2023
through
January
31,
2024.
Actual
Expenses
–
The
first
line
of
the
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
line,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
first
line
under
the
heading
entitled
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
the
period.
Hypothetical
Example
for
Comparison
Purposes
–
The
second
line
of
the
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
each
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
each
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
ABR
Funds
ADDITIONAL
INFORMATION
January
31,
2024
21
in
each
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only.
Therefore,
the
second
line
of
the
table
is
useful
in
comparing
ongoing
costs
only
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
Beginning
Account
Value
August
1,
2023
Ending
Account
Value
January
31,
2024
Expenses
Paid
During
Period*
Annualized
Expense
Ratio*
ABR
Dynamic
Blend
Equity
&
Volatility
Fund
Institutional
Shares
Actual
$
1,000.00‌
$
993.37‌
$
10.02‌
2.00%‌
Hypothetical
(5%
return
before
expenses)
$
1,000.00‌
$
1,015.08‌
$
10.13‌
2.00%‌
Investor
Shares
Actual
$
1,000.00‌
$
993.16‌
$
11.27‌
2.25%‌
Hypothetical
(5%
return
before
expenses)
$
1,000.00‌
$
1,013.83‌
$
11.39‌
2.25%‌
ABR
50/50
Volatility
Fund
Institutional
Shares
Actual
$
1,000.00‌
$
1,056.36‌
$
12.92‌
2.50%‌
Hypothetical
(5%
return
before
expenses)
$
1,000.00‌
$
1,012.57‌
$
12.65‌
2.50%‌
Investor
Shares
Actual
$
1,000.00‌
$
1,056.05‌
$
14.21‌
2.75%‌
Hypothetical
(5%
return
before
expenses)
$
1,000.00‌
$
1,011.31‌
$
13.90‌
2.75%‌
ABR
75/25
Volatility
Fund
Institutional
Shares
Actual
$
1,000.00‌
$
1,028.68‌
$
8.92‌
1.75%‌
Hypothetical
(5%
return
before
expenses)
$
1,000.00‌
$
1,016.34‌
$
8.87‌
1.75%‌
Investor
Shares
Actual
$
1,000.00‌
$
1,028.37‌
$
10.20‌
2.00%‌
Hypothetical
(5%
return
before
expenses)
$
1,000.00‌
$
1,015.08‌
$
10.13‌
2.00%‌
*
Expenses
are
equal
to
the
Fund’s
annualized
expense
ratio
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
the
number
of
days
in
the
most
recent
fiscal
half-year
(184)
divided
by
366
to
reflect
the
half-year
period.
ABR
Funds
FOR
MORE
INFORMATION:
P.O.
Box
588
Portland,
ME
04112
(855)
422-4518
(toll
free)
INVESTMENT
ADVISER
ABR
Dynamic
Funds,
LLC
17
State
Street,
Suite
725
New
York,
NY
10004
TRANSFER
AGENT
Apex
Fund
Services
P.O.
Box
588
Portland,
ME
04112
www.apexgroup.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
Funds.
It
is
not
authorized
for
distribution
to
prospective
investors
unless
preceded
or
accompanied
by
an
effective
prospectus,
which
includes
information
regarding
the
Funds’
risks,
objectives,
fees
and
expenses,
experience
of
its
management,
and
other
information.
For
the
most
recent
month-end
performance
and
current
fund
prices,
please
call
(855)
422-4518.
227-SAR-0124
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.
 
TEM 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 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 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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
 
ITEM 13. EXHIBITS.
 
(a)(1)  Not applicable.
 
 
(a)(3)  Not applicable.
 
 

 
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/ Zachary Tackett
 
 
Zachary Tackett, Principal Executive Officer
 
 
 
 
Date
March 20, 2024
 
 
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/ Zachary Tackett
 
 
Zachary Tackett, Principal Executive Officer
 
 
 
 
Date
March 20, 2024
 
 
 
By
/s/ Karen Shaw
 
 
Karen Shaw, Principal Financial Officer
 
 
 
 
Date
March 20, 2024