https://www.sec.gov/Archives/edgar/data/1576367/000143510920000386/abrsupplement.htm497 1 abrsupplement.htm
ABR Dynamic Short Volatility Fund (the “Fund”)
Institutional Class Shares
Investor Class Shares
Supplement dated November 23, 2020, to the Prospectus dated December 1, 2019, as supplemented September 18, 2020
IMPORTANT NOTICE REGARDING CHANGES TO THE FUND
As previously communicated to shareholders of the Fund through a supplement dated September 18, 2020 (“September Supplement”), at the September 10, 2020 meeting of the Board of Trustees (the “Board”) of Forum Funds II (the “Trust”), the Board approved, at the recommendation of ABR Dynamic Funds, LLC, the investment adviser to the Fund (“Adviser”), changes to the Fund’s name and investment strategy in order to reflect a reduction in the Fund’s short volatility exposure, such as short exposure to VIX Index futures contracts, and a potential increase in the Fund’s long volatility exposure. The following information supplements the information included in the September Supplement.
While the Fund will still provide investors with significant short volatility exposure, the Adviser anticipates that these changes will help mitigate the risk associated with that short volatility exposure.
The changes to the Fund, which are described in greater detail below, will take effect December 1, 2020 (the “Effective Date”). Please reference the Fund’s Prospectus dated December 1, 2020, once available, for more information.
The costs incurred in connection with effectuating these changes will be borne by the Adviser. The Fund may incur trading costs associated with transitioning the Fund’s current portfolio of investments, which costs are expected to be immaterial.
On the Effective Date, the Fund’s Prospectus will be revised as follows:
1.The ABR Dynamic Short Volatility Fund will be renamed the ABR 50/50 Volatility Fund.
2.The section entitled “Principal Investment Strategies” on page 8 of the Fund’s Prospectus will be revised as follows:
Employing a proprietary investment model, the Fund’s adviser, ABR Dynamic Funds, LLC (the “Adviser”), invests the Fund’s assets primarily in securities and derivative instruments that, to varying degrees, provide for an allocation among (i) long exposure to CBOE Volatility Index (“VIX Index”) futures and VIX Index exchange-traded products (“ETPs”); (ii) short exposure to VIX Index futures and VIX Index ETPs; (iii) long exposure to S&P 500 Index futures and S&P 500 Index ETPs; (iv) long exposure to long-term U.S. Treasury securities, and (v) cash. For purposes of this policy, ETPs include exchange-traded funds and exchange-traded notes. The Fund’s holdings are rebalanced daily.
When the Fund has long exposure to any combination of VIX Index futures, VIX Index ETPs, S&P 500 Index futures, S&P 500 Index ETPs, and/or long-term U.S. Treasury securities, the Fund will profit if the price of the security or derivative instrument increases. When the Fund has short exposure to VIX Index futures or VIX Index ETPs, it has taken an opposing position to the movement of equity volatility in the market; it gains when the price of VIX Index futures or VIX Index ETPs falls while incurring losses when the price of VIX Index futures or VIX Index ETPs rises. Long and short positions may be directly related to one another or independent from each other.
The Adviser will typically manage the Fund’s assets so that fifty percent (50%) of its net assets are managed in accordance with the Adviser’s proprietary “long” volatility strategy, and the remaining fifty percent (50%) of its net assets are managed in accordance with the Adviser’s proprietary “short” volatility strategy. The actual exposure of the Fund’s assets to these two strategies may deviate from these targets based on market conditions. In addition, the Adviser may implement adjustments to the 50/50 blend under various market conditions with the goal of enhancing returns or mitigating risk. The 50/50 blend will result in significant short volatility exposure at times, which is subject to the risks discussed below...
