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Form N-Q AMG Funds I For: Jul 31

September 20, 2017 3:20 PM EDT

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-06520

 

 

AMG Funds I

(Exact name of registrant as specified in charter)

 

 

600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830

(Address of principal executive offices) (Zip code)

 

 

AMG Funds LLC

600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (203) 299-3500

Date of fiscal year end: October 31st

Date of reporting period: JULY 31, 2017 (3rd Quarter End Portfolio Holdings)

 

 

 


Item 1. SCHEDULE OF INVESTMENTS.


     AMG Frontier Small Cap Growth Fund
     Schedule of Portfolio Investments (unaudited)
     July 31, 2017

 

 

 

    Shares     Value  

Common Stocks - 98.9%

 

 

Consumer Discretionary - 6.6%

 

 

Bojangles’, Inc. *,1

    1,735     $ 23,076  

Boot Barn Holdings, Inc. *

    5,185       41,532  

Burlington Stores, Inc. *

    104       9,051  

Chuy’s Holdings, Inc. *

    4,563       107,459  

Dana, Inc.

    5,790       137,339  

Deckers Outdoor Corp. *

    2,305       149,502  

The Habit Restaurants, Inc., Class A *

    4,278       70,373  

IMAX Corp. *

    2,008       42,971  

LGI Homes, Inc. *,1

    2,502       110,839  

Libbey, Inc.

    609       5,481  

LKQ Corp. *

    6,302       217,797  

Planet Fitness, Inc., Class A

    9,970       225,920  

Tailored Brands, Inc.

    3,899       48,893  

Total Consumer Discretionary

      1,190,233  

Energy - 1.5%

 

 

Carrizo Oil & Gas, Inc. *,1

    4,879       76,893  

GasLog, Ltd.

    3,534       64,495  

SM Energy Co. 1

    6,982       121,417  

Total Energy

      262,805  

Financials - 5.4%

 

 

Argo Group International Holdings, Ltd.

    4,158       249,272  

Greenhill & Co., Inc.

    5,188       95,978  

James River Group Holdings, Ltd.

    5,600       224,896  

Raymond James Financial, Inc.

    1,119       93,090  

Signature Bank *

    1,321       183,064  

Webster Financial Corp. 1

    2,563       133,096  

Total Financials

      979,396  

Health Care - 22.5%

 

 

ABIOMED, Inc. *

    1,982       293,514  

Acadia Healthcare Co., Inc. *,1

    3,945       208,809  

ACADIA Pharmaceuticals, Inc. *,1

    8,023       238,845  

Alkermes PLC *

    2,217       120,627  

Alnylam Pharmaceuticals, Inc. *,1

    812       67,185  

Bioverativ, Inc. *

    5,319       329,618  

Bluebird Bio, Inc. *,1

    1,534       144,579  

Celldex Therapeutics, Inc. *

    4,206       9,632  

Clovis Oncology, Inc. *

    535       45,373  

DexCom, Inc. *,1

    1,115       74,270  

Diplomat Pharmacy, Inc. *

    4,002       63,512  

Envision Healthcare Corp. *

    4,491       253,427  

Exact Sciences Corp. *,1

    5,577       216,388  
    Shares     Value  

Insulet Corp. *,1

    4,301     $ 216,383  

Intrexon Corp. *,1

    5,190       112,052  

Kite Pharma, Inc. *,1

    952       103,206  

The Medicines Co. *,1

    1,732       66,595  

Medidata Solutions, Inc. *

    1,291       99,162  

Merit Medical Systems, Inc. *

    6,805       279,005  

Molina Healthcare, Inc. *,1

    1,931       128,991  

Myriad Genetics, Inc. *

    1,633       39,633  

Nevro Corp. *,1

    2,065       177,714  

Novocure, Ltd. *,1

    12,414       255,728  

Pacira Pharmaceuticals, Inc. *

    1,012       39,974  

Penumbra, Inc. *,1

    664       54,216  

PTC Therapeutics, Inc. *

    11,811       243,543  

STERIS PLC

    1,869       152,978  

Total Health Care

      4,034,959  

Industrials - 17.9%

 

 

A.O. Smith Corp.

    3,169       169,700  

American Woodmark Corp. *

    837       82,151  

Aqua Metals, Inc. *

    2,838       33,148  

Beacon Roofing Supply, Inc. *

    5,826       267,588  

BMC Stock Holdings, Inc. *

    6,394       140,668  

Caesarstone, Ltd. *

    4,600       161,460  

Granite Construction, Inc.

    4,586       224,806  

JetBlue Airways Corp. *

    12,534       274,871  

KAR Auction Services, Inc.

    8,453       355,364  

MasTec, Inc. *

    10,042       463,940  

Meritor, Inc. *

    5,393       93,191  

Swift Transportation Co. *,1

    3,618       92,259  

TransUnion *

    8,043       368,611  

Tutor Perini Corp. *

    7,410       197,106  

Watsco, Inc.

    1,474       222,235  

Wesco Aircraft Holdings, Inc. *

    6,738       73,107  

Total Industrials

      3,220,205  

Information Technology - 38.5%

 

 

2U,Inc.*,1

    11,799       610,598  

Benefitfocus, Inc. *,1

    11,049       395,002  

Blackhawk Network Holdings, Inc. *

    5,416       236,408  

Callidus Software, Inc. *

    10,253       249,148  

Conduent, Inc. *

    17,815       294,126  

Ellie Mae, Inc. *

    1,016       88,616  

Euronet Worldwide, Inc. *

    5,182       500,633  

Fortinet, Inc. *

    1,518       56,029  

HubSpot, Inc. *,1

    3,255       235,499  
 

 

 

 

1


   
  AMG Frontier Small Cap Growth Fund
  Schedule of Portfolio Investments (continued)

 

 

 

 

    Shares     Value  

Information Technology - 38.5% (continued)

 

 

Inphi Corp. *

    7,518     $ 288,691  

Jack Henry & Associates, Inc.

    1,690       181,371  

Leidos Holdings, Inc.

    3,279       175,230  

LogMeIn, Inc.

    169       19,680  

MACOM Technology Solutions Holdings, Inc. *

    7,623       461,573  

Mimecast, Ltd. *

    5,126       143,836  

Monolithic Power Systems, Inc.

    2,565       262,451  

New Relic, Inc. *

    4,779       224,422  

Qorvo, Inc. *

    4,832       331,282  

Rapid7, Inc. *

    5,523       83,894  

Real Page, Inc. *

    4,982       193,053  

Ring Central, Inc., Class A *,1

    3,909       136,033  

Semtech Corp. *

    12,293       486,803  

TiVo Corp.

    4,670       91,532  

The Trade Desk, Inc., Class A *

    751       40,036  

Twilio, Inc., Class A *,1

    6,696       195,322  

Universal Display Corp. 1

    88       10,613  

Wix.com, Ltd. *

    3,109       191,825  

Workiva, Inc. *,1

    5,949       116,600  

Xperi Corp.

    10,782       315,373  

Zendesk, Inc. *

    9,870       289,388  

Total Information Technology

      6,905,067  

Materials - 3.1%

   

Allegheny Technologies, Inc. 1

    11,428       216,446  

CF Industries Holdings, Inc. 1

    5,499       161,396  

Kraton Corp. *

    4,649       172,943  

Total Materials

      550,785  

Real Estate - 2.2%

   

Healthcare Trust of America, Inc., Class A, REIT

    6,515       199,294  

Physicians Realty Trust, REIT

    10,348       192,680  

Total Real Estate

      391,974  

Telecommunication Services - 0.6%

 

 

Cogent Communications Holdings, Inc.

    2,565       107,089  
    Shares     Value  

Utilities - 0.6%

   

Portland General Electric Co.

    2,566     $ 114,675  

Total Common Stocks
(Cost $13,548,999)

      17,757,188  
    Principal        
    Amount        

Short-Term Investments - 18.7%

 

 

Repurchase Agreements - 18.6%2

 

 

BNP Paribas SA, dated 07/31/17, due 08/01/17, 1.060% total to be received $1,000,029 (collateralized by various U.S. Government Agency Obligations, 2.000% - 7.000%, 11/01/18 - 07/20/63, totaling $1,020,000)

  $ 1,000,000       1,000,000  

Daiwa Capital Markets America, dated 07/31/17, due 08/01/17, 1.070% total to be received $1,000,030 (collateralized by various U.S. Government Agency Obligations, 0.000% - 6.500%, 08/03/17 - 12/01/51, totaling $1,020,000)

    1,000,000       1,000,000  

NBC Global Finance, Ltd., dated 07/31/17, due 08/01/17, 1.200% total to be received $348,982 (collateralized by various U.S. Government Agency Obligations, 1.250% - 2.500%, 08/15/21 - 09/09/49, totaling $355,949)

    348,970       348,970  

RBC Capital Markets LLC, dated 07/31/17, due 08/01/17, 1.040% total to be received $1,000,029 (collateralized by various U.S. Government Agency Obligations, 0.125% - 7.000%, 02/08/18 - 06/20/47, totaling $1,020,000)

    1,000,000       1,000,000  

Total Repurchase Agreements

      3,348,970  
    Shares        

Other Investment Companies - 0.1%

 

 

Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.91% 3

    13,871       13,871  

Total Short-Term Investments
(Cost $3,362,841)

      3,362,841  

Total Investments - 117.6%
(Cost $16,911,840)

      21,120,029  

Other Assets, less Liabilities - (17.6%)

      (3,164,065

Net Assets - 100.0%

    $ 17,955,964  
 

 

*  Non-income producing security.
1  Some or all of these securities, amounting to $3,242,635 or 18.1% of net assets, were out on loan to various brokers.
2  Collateral received from brokers for securities lending was invested in these joint repurchase agreements.
3  Yield shown represents the July 31, 2017, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

 

REIT Real Estate Investment Trust
 

 

 

 

2


   
  AMG Frontier Small Cap Growth Fund
  Schedule of Portfolio Investments (continued)

 

 

 

The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of July 31, 2017:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

           

Common Stocks

   $ 17,757,188        —          —        $ 17,757,188  

Short-Term Investments

           

Repurchase Agreements

     —        $ 3,348,970        —          3,348,970  

Other Investment Companies

     13,871        —          —          13,871  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 17,771,059      $ 3,348,970        —        $ 21,120,029  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  All common stocks held in the Fund are Level 1 securities. For a detailed break-out of the common stocks by major industry classification, please refer to the Schedule of Portfolio Investments.

As of July 31, 2017, the Fund had no transfers between levels from the beginning of the reporting period.

 

 

 

3


    AMG Times Square All Cap Growth Fund
  Schedule of Portfolio Investments (unaudited)
  July 31, 2017

 

 

 

    Shares     Value  

Short-Term Investments - 103.6%

 

 

Other Investment Companies - 103.6%

 

 

Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.91% 1

    7,928,170     $ 7,928,170  

Total Short-Term Investments
(Cost $7,928,170)

      7,928,170  
        Value  

Total Investments - 103.6%
(Cost $7,928,170)

    $ 7,928,170  

Other Assets, less Liabilities - (3.6%)

      (274,442

Net Assets - 100.0%

    $ 7,653,728  
 

 

1  Yield shown represents the July 31, 2017, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of July 31, 2017:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

           

Short-Term Investments

           

Other Investment Companies

   $ 7,928,170        —          —        $ 7,928,170  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 7,928,170        —          —        $ 7,928,170  
  

 

 

    

 

 

    

 

 

    

 

 

 

As of July 31, 2017, the Fund had no transfers between levels from the beginning of the reporting period.

 

 

 

4


    AMG Managers Emerging Opportunities Fund
  Schedule of Portfolio Investments (unaudited)
  July 31, 2017

 

 

 

    Shares     Value  

Common Stocks - 95.9%

   

Consumer Discretionary - 15.1%

 

 

American Outdoor Brands Corp. *,1

    26,578     $ 549,367  

At Home Group, Inc. *,1

    10,228       232,789  

Barnes & Noble Education, Inc. *

    8,600       62,178  

Cavco Industries, Inc. *

    2,618       341,387  

Century Casinos, Inc. *

    11,900       85,561  

Chegg, Inc. *

    69,011       955,802  

Citi Trends, Inc.

    18,000       398,700  

Culp, Inc.

    5,700       171,000  

Del Taco Restaurants, Inc. *

    53,309       697,815  

Delta Apparel, Inc. *

    45,090       948,243  

Destination Maternity Corp. *

    14,270       21,833  

Destination XL Group, Inc. *

    160,546       321,092  

Fox Factory Holding Corp. *

    12,628       485,547  

Grand Canyon Education, Inc. *

    15,730       1,157,256  

Gray Television, Inc. *

    40,510       603,599  

The Habit Restaurants, Inc., Class A *

    15,063       247,786  

Haverty Furniture Cos., Inc.

    11,750       261,438  

J Alexander’s Holdings, Inc. *

    19,000       200,450  

Johnson Outdoors, Inc., Class A

    2,525       127,563  

Kona Grill, Inc. *

    19,750       52,338  

Lakeland Industries, Inc. *

    29,940       450,597  

LGI Homes, Inc. *

    40,456       1,792,201  

Libbey, Inc.

    25,030       225,270  

Lifetime Brands, Inc.

    15,000       284,250  

Malibu Boats, Inc., Class A *

    73,415       2,100,403  

The Marcus Corp.

    11,525       313,480  

Marine Products Corp.

    14,800       214,896  

MarineMax, Inc. *

    29,884       446,766  

MCBC Holdings, Inc. *

    9,700       179,450  

Monarch Casino & Resort, Inc. *

    9,700       320,973  

Motorcar Parts of America, Inc. *

    8,860       247,814  

Netshoes Cayman, Ltd. *

    16,077       327,810  

Potbelly Corp. *

    22,800       262,200  

Reading International, Inc., Class A *

    12,200       194,712  

Red Robin Gourmet Burgers, Inc. *

    3,620       216,476  

Rocky Brands, Inc.

    5,725       79,864  

Ruth’s Hospitality Group, Inc.

    21,100       422,000  

Salem Media Group, Inc.

    69,881       499,649  

Shoe Carnival, Inc.

    22,700       414,502  

SodaStream International, Ltd. *

    13,126       739,256  

Spartan Motors, Inc.

    22,700       200,895  
    Shares     Value  

Stoneridge, Inc. *

    21,600     $ 329,616  

Superior Uniform Group, Inc.

    26,480       591,298  

Tandy Leather Factory, Inc. *

    67,200       594,720  

Tower International, Inc.

    14,700       363,090  

UCP, Inc., Class A *

    9,800       109,270  

Unifi, Inc. *

    9,700       317,772  

Universal Electronics, Inc. *

    34,693       2,374,736  

West Marine, Inc.

    14,800       190,772  

William Lyon Homes, Class A *

    14,050       317,671  

Wingstop, Inc. *,1

    15,750       472,657  

ZAGG, Inc. *

    72,897       615,980  

Total Consumer Discretionary

      24,132,790  

Consumer Staples - 2.1%

   

Calavo Growers, Inc. 1

    3,503       259,397  

John B Sanfilippo & Son, Inc. 1

    10,820       695,942  

Landec Corp. *

    47,530       584,619  

Limoneira Co. 1

    8,700       198,012  

Medifast, Inc.

    8,800       375,672  

MGP Ingredients, Inc. 1

    9,627       567,608  

Primo Water Corp. *,1

    52,468       651,128  

Total Consumer Staples

      3,332,378  

Energy - 2.4%

   

Callon Petroleum Co. *,1

    61,880       700,482  

Dawson Geophysical Co. *

    67,746       271,661  

Era Group, Inc. *

    17,100       149,796  

GasLog, Ltd. 1

    29,125       531,531  

Gulf Island Fabrication, Inc.

    32,891       374,957  

Gulfport Energy Corp. *

    24,440       308,433  

Natural Gas Services Group, Inc. *

    13,900       346,805  

RigNet, Inc. *

    5,500       104,225  

Ring Energy, Inc. *

    66,126       863,606  

Solaris Oilfield Infrastructure, Inc., Class A *,1

    18,506       241,503  

Total Energy

      3,892,999  

Financials - 17.0%

   

American National Bankshares, Inc.

    5,700       215,175  

AMERISAFE, Inc.

    21,910       1,265,303  

Arrow Financial Corp. 1

    7,606       247,956  

Atlas Financial Holdings, Inc. *,1

    24,530       378,989  

Bank of Marin Bancorp

    2,900       193,285  

Blue Capital Reinsurance Holdings, Ltd.

    13,600       262,480  

Bridge Bancorp, Inc.

    10,508       341,510  

Bryn Mawr Bank Corp. 1

    10,872       461,516  

Byline Bancorp, Inc. *

    40,498       816,440  
 

 

 

 

5


   
  AMG Managers Emerging Opportunities Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Shares     Value  

Financials - 17.0% (continued)

   

Capstar Financial Holdings, Inc. *,1

    15,941     $ 280,562  

CenterState Banks, Inc.

    37,356       933,526  

Charter Financial Corp.

    6,100       109,678  

CoBiz Financial, Inc.

    37,080       652,608  

Community Bankers Trust Corp. *,1

    11,200       96,320  

Compass Diversified Holdings 1

    113,160       1,980,300  

Diamond Hill Investment Group, Inc.

    1,900       375,250  

Enova International, Inc. *

    18,500       268,250  

Farmers Capital Bank Corp.

    2,800       105,140  

Farmers National Banc Corp.

    7,000       96,250  

Federal Agricultural Mortgage Corp., Class C

    6,100       418,216  

First Bancorp

    37,970       1,188,461  

First Community Bancshares, Inc.

    7,600       206,872  

First Defiance Financial Corp.

    9,000       465,750  

First Financial Corp.

    7,900       363,795  

Flushing Financial Corp.

    13,050       372,317  

German American Bancorp, Inc. 1

    25,305       906,678  

Greenhill & Co., Inc.

    9,835       181,948  

Hallmark Financial Services, Inc. *

    7,900       88,875  

Hamilton Lane, Inc., Class A

    10,031       225,296  

HCI Group, Inc.

    4,100       184,869  

Heritage Commerce Corp.

    21,773       302,427  

Heritage Financial Corp.

    35,757       972,590  

Home Bancorp, Inc.

    3,000       121,560  

Independent Bank Corp.

    21,800       462,160  

Kingstone Cos., Inc.

    15,013       247,715  

Kinsale Capital Group, Inc.

    21,100       821,212  

Lakeland Bancorp, Inc.

    14,831       286,980  

Live Oak Bancshares, Inc.

    12,872       325,018  

MainSource Financial Group, Inc.

    8,300       290,002  

Marlin Business Services Corp.

    7,500       195,000  

Mercantile Bank Corp.

    25,020       796,136  

Meta Financial Group, Inc.

    4,741       338,033  

Midland States Bancorp, Inc.

    5,700       181,032  

NMI Holdings, Inc., Class A *

    59,566       702,879  

Northrim BanCorp, Inc.

    23,876       695,985  

Old Second Bancorp, Inc.

    23,300       276,105  

Pacific Premier Bancorp, Inc. *

    42,976       1,542,838  

Piper Jaffray Cos.

    5,033       314,059  

Preferred Bank

    26,930       1,512,119  

Regional Management Corp. *

    17,500       419,825  

Riverview Bancorp, Inc.

    16,200       122,958  
    Shares     Value  

Southwest Bancorp, Inc.

    7,100     $ 185,310  

State Bank Financial Corp.

    15,400       422,730  

State National Cos., Inc.

    29,800       622,224  

Territorial Bancorp, Inc.

    6,125       184,546  

TriState Capital Holdings, Inc. *

    11,100       255,300  

Triumph Bancorp, Inc. *

    10,000       284,000  

United Community Financial Corp.

    21,900       201,480  

Waterstone Financial, Inc.

    19,400       365,690  

West Bancorporation, Inc.

    4,825       110,975  

Total Financials

      27,242,503  

Health Care - 15.2%

   

Acceleron Pharma, Inc. *

    6,200       199,330  

Achaogen, Inc. *,1

    31,361       596,173  

Addus HomeCare Corp. *

    7,400       251,230  

AtriCure, Inc. *

    13,250       321,048  

AxoGen, Inc. *,1

    59,143       934,459  

BioTelemetry, Inc. *

    8,200       280,440  

Blueprint Medicines Corp. *

    12,414       649,625  

Calithera Biosciences, Inc. *,1

    37,340       571,302  

Cardiovascular Systems, Inc. *

    21,111       666,052  

ChemoCentryx, Inc. *

    13,000       131,820  

Corcept Therapeutics, Inc. *

    40,143       500,583  

CryoLife, Inc. *

    13,058       244,838  

Dynavax Technologies Corp. *,1

    57,975       918,904  

Enzo Biochem, Inc. *

    20,900       226,765  

Epizyme, Inc. *,1

    47,956       546,698  

Esperion Therapeutics *,1

    14,243       645,065  

Exactech, Inc. *

    15,840       461,736  

Five Prime Therapeutics, Inc. *

    4,104       115,487  

Foundation Medicine, Inc. *

    16,223       573,483  

Genomic Health, Inc. *

    10,605       338,299  

Glaukos Corp. *,1

    21,708       872,227  

Global Blood Therapeutics, Inc. *

    10,089       263,323  

Heska Corp. *

    2,000       219,080  

Immunomedics, Inc. *

    86,114       737,136  

Intersect ENT, Inc. *

    24,153       661,792  

Invacare Corp.

    15,370       240,541  

iRhythm Technologies, Inc. *,1

    44,648       1,846,641  

K2M Group Holdings, Inc. *

    20,969       510,176  

Lantheus Holdings, Inc. *,1

    11,600       214,020  

LeMaitre Vascular, Inc.

    11,800       425,626  

Loxo Oncology,Inc. *,1

    4,715       340,942  

National Research Corp., Class A

    3,900       114,660  
 

 

 

 

6


   
  AMG Managers Emerging Opportunities Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Shares     Value  

Health Care - 15.2% (continued)

 

 

NeoGenomics, Inc. *

    90,530     $ 855,508  

OraSure Technologies, Inc. *

    43,445       762,025  

Pacific Biosciences of California, Inc. *,1

    44,481       145,008  

PetIQ, Inc. *

    31,009       721,890  

The Providence Service Corp. *

    8,100       417,474  

Repligen Corp. *

    12,454       501,523  

RTI Surgical, Inc. *

    72,300       412,110  

Spark Therapeutics, Inc. *,1

    5,117       363,307  

Surmodics, Inc. *

    11,030       290,089  

Tactile Systems Technology, Inc. *,1

    45,057       1,331,434  

Tivity Health, Inc. *,1

    13,920       551,928  

U.S. Physical Therapy, Inc.

    13,476       850,336  

Utah Medical Products, Inc.

    1,500       103,650  

Versartis, Inc. *,1

    23,009       425,666  

ViewRay, Inc. *

    74,015       350,091  

Xencor, Inc. *,1

    24,878       580,901  

Total Health Care

      24,282,441  

Industrials - 18.8%

 

 

ACCO Brands Corp. *

    96,633       1,125,774  

Air Transport Services Group, Inc. *

    34,660       844,318  

Alamo Group, Inc.

    4,559       424,033  

ArcBest Corp.

    19,300       536,540  

ASV Holdings, Inc. *

    42,865       333,918  

AZZ, Inc.

    17,770       900,939  

Blue Bird Corp. *

    15,432       273,918  

Broadwind Energy, Inc. *

    46,290       204,602  

Builders FirstSource, Inc. *

    20,974       328,663  

Casella Waste Systems, Inc., Class A *

    40,407       678,029  

Columbus McKinnon Corp.

    65,420       1,687,836  

Covenant Transportation Group, Inc., Class A *,1

    37,208       697,650  

CRA International, Inc.

    10,650       413,326  

Ducommun, Inc. *

    33,280       963,789  

Ennis, Inc.

    49,260       948,255  

Gencor Industries, Inc. *

    14,242       228,584  

Global Brass & Copper Holdings, Inc.

    12,000       384,600  

GP Strategies Corp. *

    1,200       34,380  

The Greenbrier Cos., Inc. 1

    19,197       863,865  

Heidrick & Struggles International, Inc.

    11,403       206,394  

Heritage-Crystal Clean, Inc. *

    17,800       334,640  

Hudson Technologies, Inc. *,1

    123,190       996,607  

Hurco Cos., Inc.

    2,700       88,965  

InnerWorkings, Inc. *

    23,810       280,720  
    Shares     Value  

Insteel Industries, Inc.

    23,010     $ 605,623  

Interface, Inc.

    15,020       284,629  

Kadant, Inc.

    2,700       210,735  

Kornit Digital, Ltd. *,1

    56,995       1,179,796  

Limbach Holdings, Inc. *

    24,634       289,696  

Lydall, Inc. *

    16,312       807,444  

Manitex International, Inc. *,1

    26,663       188,507  

Marten Transport, Ltd.

    28,500       454,580  

NCI Building Systems, Inc. *

    12,114       218,052  

Neff Corp., Class A *

    61,049       1,282,029  

NN, Inc.

    65,868       1,824,544  

NV5 Global, Inc. *,1

    40,952       1,701,556  

Old Dominion Freight Line, Inc.

    2,045       196,136  

Orion Group Holdings, Inc. *

    38,400       269,568  

Patrick Industries, Inc. *

    40,074       3,049,631  

PGT Innovations, Inc. *

    45,610       592,930  

Radiant Logistics, Inc. *

    82,290       356,316  

Sterling Construction Co., Inc. *

    26,300       336,114  

Sun Hydraulics Corp.

    810       33,502  

Supreme Industries, Inc., Class A

    20,340       305,914  

Titan International, Inc.

    51,101       651,538  

TPI Composites, Inc. *

    24,579       463,068  

Universal Logistics Holdings, Inc.

    5,000       72,750  

Vectrus, Inc. *

    13,700       465,937  

Willdan Group, Inc. *,1

    7,787       261,721  

YRC Worldwide, Inc. *,1

    17,600       233,904  

Total Industrials

      30,116,565  

Information Technology - 18.6%

 

 

8x8, Inc. *

    32,215       409,131  

Alarm.com Holdings, Inc. *

    9,374       356,493  

Alpha & Omega Semiconductor, Ltd. *

    11,200       198,240  

Alteryx, Inc., Class A *,1

    23,474       472,297  

American Software, Inc., Class A

    27,550       267,235  

Appian Corp. *,1

    33,623       657,666  

Applied Optoelectronics, Inc. *

    11,922       1,162,276  

Aspen Technology, Inc. *

    8,440       479,983  

Bel Fuse, Inc., Class B

    12,700       320,675  

Calix, Inc. *

    23,800       163,030  

Carbonite, Inc. *,1

    5,800       136,880  

Care.com, Inc. *

    58,905       855,890  

CEVA, Inc. *

    17,542       811,317  

Comtech Telecommunications Corp.

    10,500       189,000  

Control4 Corp. *

    72,582       1,658,499  
 

 

 

 

7


   
  AMG Managers Emerging Opportunities Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Shares     Value  

Information Technology - 18.6% (continued)

 

 

CTS Corp.

    17,300     $ 380,600  

CYREN, Ltd. *

    55,790       94,843  

DHI Group, Inc. *

    108,035       237,677  

Digi International, Inc. *

    29,683       310,187  

Everbridge, Inc. *

    72,780       1,721,247  

Everi Holdings, Inc. *

    13,100       97,726  

Fabrinet *

    3,963       178,375  

Five9, Inc. *

    83,876       1,850,305  

Glu Mobile, Inc. *

    43,380       118,427  

Guidance Software, Inc. *

    14,000       98,980  

The Hackett Group, Inc.

    25,400       417,068  

Impinj, Inc. *,1

    11,553       567,714  

Information Services Group, Inc. *,1

    48,600       195,858  

Inphi Corp. *,1

    4,910       188,544  

Instructure, Inc. *

    20,785       672,395  

Materialise N.V., ADR *

    20,747       315,562  

MaxLinear, Inc. *

    6,111       160,108  

Mesa Laboratories, Inc.

    2,379       343,837  

Mimecast, Ltd. *

    15,257       428,111  

MINDBODY, Inc., Class A *,1

    23,628       613,147  

Mitek Systems, Inc. *

    87,080       827,260  

Nanometrics, Inc. *

    6,500       173,225  

Napco Security Technologies, Inc. *,1

    9,500       86,925  

NCI, Inc., Class A *

    9,500       189,525  

Novanta, Inc. *

    54,240       2,001,456  

NVE Corp.

    3,600       283,968  

PC Connection, Inc.

    24,146       622,967  

Points International, Ltd. *

    9,700       79,831  

PROS Holdings, Inc. *

    12,434       358,472  

Q2 Holdings, Inc. *

    24,666       959,507  

QAD, Inc., Class A

    3,500       109,725  

Quotient Technology, Inc. *,1

    46,684       541,534  

Sapiens International Corp. N.V. *,1

    69,070       824,005  

ShoreTel, Inc. *

    56,900       423,905  

Talend, S.A., ADR *

    39,110       1,479,531  

TechTarget, Inc. *

    66,349       636,287  

TESSCO Technologies, Inc.

    53,460       713,691  

Tyler Technologies, Inc. *

    5,900       1,013,679  
    Shares     Value  

USA Technologies, Inc. *,1

    163,937     $ 909,850  

Vishay Precision Group, Inc. *

    14,380       251,650  

Xplore Technologies Corp. *

    66,392       158,677  

Total Information Technology

      29,774,993  

Materials - 4.0%

 

 

Ferro Corp. *

    22,199       427,109  

FutureFuel Corp.

    25,480       370,989  

Koppers Holdings, Inc. *

    24,815       900,785  

Materion Corp.

    10,125       389,306  

Myers Industries, Inc.

    21,600       367,200  

OMNOVA Solutions, Inc. *

    139,081       1,307,361  

Ryerson Holding Corp. *

    22,182       191,874  

Universal Stainless & Alloy Products, Inc. *

    61,844       1,175,036  

US Concrete, Inc. *,1

    17,493       1,370,577  

Total Materials

      6,500,237  

Real Estate - 1.5%

 

 

Community Healthcare Trust, Inc., REIT

    42,470       1,077,464  

Gramercy Property Trust, REIT

    6,948       209,969  

LaSalle Hotel Properties, REIT

    9,750       288,015  

NexPoint Residential Trust, Inc., REIT

    14,659       367,794  

Whitestone, REIT

    30,300       395,415  

Total Real Estate

      2,338,657  

Telecommunication Services - 0.6%

 

 

Boingo Wireless, Inc. *

    61,555       912,861  

Utilities - 0.6%

   

Connecticut Water Service, Inc.

    3,400       193,732  

Middlesex Water Co.

    4,600       180,504  

Unitil Corp.

    12,610       639,957  

Total Utilities

      1,014,193  

Total Common Stocks
(Cost $105,060,751)

      153,540,617  

Exchange Traded Funds - 0.0%

 

SPDR S&P Regional Banking ETF
(Cost $ 10,620)

    550       29,964  
 

 

 

 

8


   
  AMG Managers Emerging Opportunities Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Principal
Amount
    Value  

Short-Term Investments - 12.7%

   

Repurchase Agreements - 8.7%2

 

 

Citibank N.A., dated 07/31/17, due 08/01/17, 1.040% total to be received $1,011,067 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.000%, 10/12/17 - 09/09/49, totaling $1,031,259)

  $ 1,011,038     $ 1,011,038  

HSBC Securities USA, Inc., dated 07/31/17, due 08/01/17, 1.030% total to be received $3,286,806 (collateralized by various U.S. Government Agency Obligations, 1.625% - 3.375%, 02/15/26 - 05/15/44, totaling $3,352,466)

    3,286,712       3,286,712  

Merrill Lynch, Pierce, Fenner & Smith, Inc., dated 07/31/17, due 08/01/17, 1.050% total to be received $3,286,808 (collateralized by various U.S. Government Agency Obligations, 3.500%, 04/20/46 - 07/20/47, totaling $3,352,446)

    3,286,712       3,286,712  

RBC Dominion Securities, Inc., dated 07/31/17, due 08/01/17, 1.040% total to be received $3,286,807 (collateralized by various U.S. Government Agency Obligations, 0.125% -7.000%, 02/08/18 - 06/20/47, totaling $3,352,446)

    3,286,712       3,286,712  
    Principal
Amount
    Value  

State of Wisconsin Investment Board, dated 07/31/17, due 08/01/17, 1.180% total to be received $2,966,381 (collateralized by various U.S. Government Agency Obligations, 0.125% -3.875%, 01/15/19 - 02/15/46, totaling $3,038,545)

  $ 2,966,284     $ 2,966,284  

Total Repurchase Agreements

      13,837,458  
    Shares        

Other Investment Companies - 4.0%

 

 

Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.91% 3

    6,442,809       6,442,809  

Total Short-Term Investments
(Cost $20,280,267)

      20,280,267  

Total Investments - 108.6%
(Cost $125,351,638)

      173,850,848  

Other Assets, less Liabilities - (8.6%)

      (13,740,721

Net Assets - 100.0%

    $ 160,110,127  
 
*  Non-income producing security.
1  Some or all of these securities, amounting to $13,525,447 or 8.4% of net assets, were out on loan to various brokers.
2  Collateral received from brokers for securities lending was invested in these joint repurchase agreements.
3  Yield shown represents the July 31, 2017, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.
ADR American Depositary Receipt
ETF Exchange Traded Fund
REIT Real Estate Investment Trust
S&P Standard & Poor’s
SPDR Standard & Poor’s Depositary Receipt
 

 

The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of July 31, 2017:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

           

Common Stocks

   $ 153,540,617     

 

—  

 

     —        $ 153,540,617  

Exchange Traded Funds

     29,964        —          —          29,964  

Short-Term Investments

           

Repurchase Agreements

     —        $ 13,837,458        —          13,837,458  

Other Investment Companies

     6,442,809        —          —          6,442,809  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 160,013,390      $ 13,837,458        —        $ 173,850,848  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  All common stocks held in the Fund are Level 1 securities. For a detailed break-out of the common stocks by major industry classification, please refer to the Schedule of Portfolio Investments.

As of July 31, 2017, the Fund had no transfers between levels from the beginning of the reporting period.

 

 

 

9


    
   AMG Managers Center Square Real Estate Fund
   Schedule of Portfolio Investments (unaudited)
   July 31, 2017

 

 

 

    Shares     Value  

REITS - 99.7%

   

Apartments - 20.4%

   

Apartment Investment & Management Co., Class A

    121,760     $ 5,546,168  

AvalonBay Communities, Inc.

    85,780       16,499,783  

Education Realty Trust, Inc.

    43,686       1,640,409  

Equity Residential

    136,920       9,318,775  

Essex Property Trust, Inc.

    48,390       12,663,663  

Invitation Homes, Inc.

    92,100       1,963,572  

Starwood Waypoint Homes

    262,960       9,193,082  

UDR, Inc.

    272,490       10,651,634  

Total Apartments

      67,477,086  

Diversified - 9.4%

 

 

Digital Realty Trust, Inc.

    27,470       3,168,390  

Duke Realty Corp.

    263,070       7,521,171  

Equinix, Inc.

    11,555       5,208,185  

PS Business Parks, Inc.

    12,903       1,734,938  

STAG Industrial, Inc.

    115,780       3,159,636  

Vornado Realty Trust

    105,400       8,363,490  

Washington Real Estate Investment Trust

    62,781       2,098,769  

Total Diversified

      31,254,579  

Health Care - 10.3%

   

HCP, Inc.

    421,620       13,344,273  

Healthcare Trust of America, Inc., Class A

    175,990       5,383,534  

Medical Properties Trust, Inc.

    209,790       2,723,074  

Ventas, Inc.

    67,170       4,523,900  

Welltower, Inc.

    109,370       8,026,664  

Total Health Care

      34,001,445  

Hotels - 9.0%

   

Chesapeake Lodging Trust

    118,780       2,996,819  

DiamondRock Hospitality Co.

    170,010       1,985,717  

Hilton Worldwide Holdings, Inc.

    98,556       6,162,707  

Host Hotels & Resorts, Inc.

    462,120       8,623,159  

Pebblebrook Hotel Trust

    15,959       537,340  

RLJ Lodging Trust

    63,580       1,345,353  

Sun Communities, Inc.

    54,520       4,852,825  

Sunstone Hotel Investors, Inc.

    201,160       3,274,885  

Total Hotels

      29,778,805  

Office Property - 16.1%

 

 

Alexandria Real Estate Equities, Inc.

    60,270       7,307,737  
    Shares     Value  

Boston Properties, Inc.

    124,170     $ 15,013,395  

Columbia Property Trust, Inc.

    125,960       2,739,630  

Douglas Emmett, Inc.

    225,630       8,632,604  

Highwoods Properties, Inc.

    162,610       8,377,667  

Hudson Pacific Properties, Inc.

    45,789       1,498,216  

JBG SMITH Properties *

    86,600       3,072,568  

Kilroy Realty Corp.

    36,090       2,505,007  

Mack-Cali Realty Corp.

    155,190       4,072,186  

Total Office Property

      53,219,010  

Regional Malls - 11.7%

   

General Growth Properties, Inc.

    449,130       10,154,829  

The Macerich Co.

    71,430       4,099,368  

Simon Property Group, Inc.

    154,480       24,485,080  

Total Regional Malls

      38,739,277  

Shopping Centers - 7.3%

   

DDR Corp.

    302,360       3,081,048  

Federal Realty Investment Trust

    24,640       3,268,003  

Kimco Realty Corp.

    278,970       5,629,615  

Regency Centers Corp.

    124,698       8,257,501  

Weingarten Realty Investors

    125,723       4,080,969  

Total Shopping Centers

      24,317,136  

Storage - 7.1%

   

CubeSmart

    535,440       13,203,950  

Public Storage

    50,270       10,334,004  

Total Storage

      23,537,954  

Warehouse/Industrials - 8.4%

   

CyrusOne, Inc.

    92,400       5,517,204  

DCT Industrial Trust, Inc.

    13,950       785,943  

First Industrial Realty Trust, Inc.

    67,810       2,069,561  

Prologis, Inc.

    321,300       19,538,253  

Total Warehouse/Industrials

      27,910,961  

Total REITS

   

(Cost $327,347,000)

      330,236,253  

Total Investments - 99.7%

   

(Cost $327,347,000)

      330,236,253  

Other Assets, less Liabilities - 0.3%

      1,084,423  

Net Assets - 100.0%

    $ 331,320,676  
 

 

*  Non-income producing security.

 

 

 

10


   
  AMG Managers Center Square Real Estate Fund
  Schedule of Portfolio Investments (continued)

 

 

The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of July 31, 2017:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

           

REITS

   $ 330,236,253        —          —        $ 330,236,253  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 330,236,253        —          —        $ 330,236,253  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  All REITs held in the Fund are Level 1 securities. For a detailed break-out of the REITs by major industry classification, please refer to the Schedule of Portfolio Investments.

As of July 31, 2017, the Fund had no transfers between levels from the beginning of the reporting period.

 

 

 

11


    AMG GW&K Core Bond Fund
    Schedule of Portfolio Investments (unaudited)
    July 31, 2017

 

 

 

    Principal
Amount
    Value  

Corporate Bonds and Notes - 44.6%

 

 

Financials - 21.7%

   

American Tower Corp., 3.375%, 10/15/26

  $ 2,548,000     $ 2,523,570  

Bank of America Corp., 3.875%, 08/01/25

    5,597,000       5,838,639  

Berkshire Hathaway, Inc., 3.125%, 03/15/26

    5,240,000       5,345,701  

Citigroup, Inc., 2.050%, 12/07/18

    7,634,000       7,666,154  

Crown Castle International Corp., 5.250%, 01/15/23

    5,281,000       5,911,815  

The Goldman Sachs Group, Inc., 6.125%, 02/15/33

    4,943,000       6,201,938  

Host Hotels & Resorts, L.P.,

   

Series C, 4.750%, 03/01/23

    3,755,000       4,049,505  

JPMorgan Chase & Co., Series S, (3-Month LIBOR + 3.780%) 6.750%, 08/01/2165 1,2

    3,584,000       4,109,952  

Morgan Stanley, GMTN, 5.500%, 07/28/21

    5,195,000       5,787,240  

National Rural Utilities Cooperative Finance Corp., 3.250%, 11/01/25

    3,937,000       4,019,386  

US Bancorp, MTN, 2.950%, 07/15/22

    6,898,000       7,058,296  

Visa, Inc., 3.150%, 12/14/25

    3,955,000       4,051,328  

Wells Fargo & Co., (3-Month LIBOR + 0.930%) 2.239%, 02/11/22 2

    8,277,000       8,344,160  

Weyerhaeuser Co., 7.375%, 03/15/32

    2,591,000       3,598,161  

Total Financials

      74,505,845  

Industrials - 22.9%

   

AbbVie, Inc., 3.200%, 11/06/22

    3,956,000       4,079,910  

Apple, Inc.,

   

(3-Month LIBOR + 0.500%) 1.811%, 02/09/22 2

    8,360,000       8,475,711  

Automatic Data Processing, Inc., 3.375%, 09/15/25

    5,078,000       5,315,082  
    Principal
Amount
    Value  

Burlington Northern Santa Fe LLC, 6.150%, 05/01/37

  $ 3,191,000     $ 4,185,325  

Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/25

    3,750,000       4,036,264  

Comcast Corp., 7.050%, 03/15/33

    2,212,000       3,050,337  

CSX Corp., 2.600%, 11/01/26

    3,815,000       3,703,976  

CVS Health Corp., 5.125%, 07/20/45

    3,205,000       3,692,291  

Georgia-Pacific LLC, 8.000%, 01/15/24

    2,726,000       3,534,730  

International Paper Co., 3.000%, 02/15/27

    5,829,000       5,682,115  

Kaiser Foundation Hospitals, 3.150%, 05/01/27

    3,387,000       3,417,246  

McDonald’s Corp., MTN, 3.700%, 01/30/26

    3,848,000       4,039,226  

Microsoft Corp., 3.750%, 02/12/45

    3,805,000       3,797,280  

Mohawk Industries, Inc., 3.850%, 02/01/23

    3,862,000       3,989,094  

Molson Coors Brewing Co., 3.000%, 07/15/26

    3,920,000       3,822,290  

Omnicom Group, Inc., 3.600%, 04/15/26

    3,945,000       4,009,931  

Owens Corning, 4.200%, 12/15/22

    4,000,000       4,252,672  

Verizon Communications, Inc., 4.400%, 11/01/34

    5,490,000       5,407,974  

Total Industrials

      78,491,454  

Total Corporate Bonds and Notes
(Cost $151,685,235)

      152,997,299  

Municipal Bonds - 7.2%

   

California State General Obligation, Build America Bonds, 7.550%, 04/01/39

    4,610,000       7,115,259  

Los Angeles Unified School District, 5.750%, 07/01/34

    4,865,000       6,220,632  

Metropolitan Transportation Authority Revenue, Build America Bonds, 6.687%, 11/15/40

    3,030,000       4,089,591  
 

 

 

 

12


   
  AMG GW&K Core Bond Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Principal
Amount
    Value  

New Jersey Transportation Trust Fund Authority Revenue, Build America Bonds, Series C, 5.754%, 12/15/28

  $ 3,765,000     $ 4,122,524  

Ohio Jobs Beverage System Statewide Revenue Bonds, Taxable Series B, 4.532%, 01/01/35

    2,795,000       3,004,122  

Total Municipal Bonds
(Cost $24,316,521)

      24,552,128  

U.S. Government and Agency Obligations - 45.9%

 

 

Fannie Mae - 26.0%

   

Fannie Mae,

   

3.500%, 07/01/28 to 02/01/46

    9,647,151       10,027,035  

4.000%, 01/01/29 to 08/01/43

    9,977,603       10,503,879  

4.500%, 04/01/39 to 06/01/46

    33,702,587       36,578,170  

5.000%, 02/01/34 to 08/01/40

    15,252,088       16,749,035  

5.500%, 08/01/37 to 10/01/41

    13,751,225       15,398,277  

Total Fannie Mae

    82,330,654       89,256,396  

Freddie Mac - 3.9%

   

Freddie Mac Gold Pool,

   

3.500%, 11/01/25

    4,853,728       5,093,337  

4.000%, 05/01/26

    297,034       312,075  

5.000%, 07/01/41 to 07/01/44

    7,177,801       7,945,570  

Total Freddie Mac

    12,328,563       13,350,982  

U.S. Treasury Obligations - 16.0%

 

 

U.S. Treasury Bonds,

   

3.500%, 02/15/39

    2,850,000       3,197,064  
    Principal
Amount
    Value  

4.500%, 02/15/36

  $ 5,389,000     $ 6,913,602  

6.250%, 08/15/23

    18,959,000       23,592,106  

U.S. Treasury Note,

   

1.750%, 03/31/22

    3,565,000       3,556,504  

2.000%, 11/30/22

    17,744,000       17,836,180  

Total U.S. Treasury Obligations

    48,507,000       55,095,456  

Total U.S. Government and Agency Obligations
(Cost $158,209,668)

      157,702,834  
    Shares        

Short-Term Investments - 1.7%

 

 

Other Investment Companies - 1.7%

 

 

Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.91% 3

    6,034,973       6,034,973  

Total Short-Term Investments
(Cost $6,034,973)

      6,034,973  

Total Investments - 99.4%
(Cost $340,246,397)

      341,287,234  

Other Assets, less Liabilities - 0.6%

      1,963,547  

Net Assets - 100.0%

    $ 343,250,781  
 

 

1  Perpetuity Bond. The date shown is the final call date.
2  Variable rate security. The rate shown is based on the latest available information as of July 31, 2017. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
3  Yield shown represents the July 31, 2017, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

 

GMTN Global Medium-Term Notes
LIBOR London Interbank Offered Rate
MTN Medium-Term Note
 

 

 

 

13


   
  AMG GW&K Core Bond Fund
  Schedule of Portfolio Investments (continued)

 

 

The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of July 31, 2017:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

           

Corporate Bonds and Notes

     —        $ 152,997,299        —        $ 152,997,299  

Municipal Bonds

     —          24,552,128        —          24,552,128  

U.S. Government and Agency Obligations

     —          157,702,834        —          157,702,834  

Short-Term Investments

           

Other Investment Companies

   $ 6,034,973        —          —          6,034,973  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 6,034,973      $ 335,252,261        —        $ 341,287,234  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  All corporate bonds and notes and U.S. government and agency obligations held in the Fund are level 2 securities. For a detailed breakout of the corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the Schedule of Portfolio Investments.

As of July 31, 2017, the Fund had no transfers between levels from the beginning of the reporting period.

 

 

 

14


   
  Notes to Schedules of Portfolio of Investments (unaudited)

 

 

VALUATION OF INVESTMENTS

Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price or the mean between the last quoted bid and ask prices (the “exchange mean price”). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the exchange mean price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.

Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end regulated investment companies are valued at their end of day net asset value per share.

The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third-party pricing services approved by the Board of Trustees of the Trust (the “Board”). Under certain circumstances, the value of certain Fund portfolio investments (including derivatives) may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Fund LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trust’s securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.

The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Fund, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.

With respect to foreign equity securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in a Fund that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.

FAIR VALUE MEASUREMENTS

Generally Accepted Accounting Principles (“U.S. GAAP”) defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds. Unobservable inputs reflect the Funds’ own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.

The three-tier hierarchy of inputs is summarized below:

Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies)

Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities with observable inputs)

Level 3 – inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)

Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period.

 

 

 

15


    AMG FQ Tax-Managed U.S. Equity Fund
    Schedule of Portfolio Investments (unaudited)
    July 31, 2017

 

 

 

    Shares     Value  

Common Stocks - 99.0%

 

 

Consumer Discretionary - 12.3%

 

 

1-800-Flowers.com, Inc., Class A *

    17,600     $ 169,840  

Amazon.com, Inc. *

    1,113       1,099,399  

Ascent Capital Group, Inc., Class A. *

    3,329       56,260  

Best Buy Co., Inc.

    2,515       146,725  

Cambium Learning Group, Inc. *

    15,810       77,785  

The Children’s Place, Inc. 1

    1,782       188,268  

Comcast Corp., Class A

    4,316       174,582  

Discovery Communications, Inc., Class C *

    11,109       256,951  

DISH Network Corp., Class A *

    2,000       128,060  

Extended Stay America, Inc.

    37,315       737,718  

Francesca’s Holdings Corp. *

    27,795       270,446  

Graham Holdings Co., Class B

    662       392,169  

Hibbett Sports, Inc. *

    28,795       449,202  

The Home Depot, Inc.

    1,170       175,032  

International Speedway Corp., Class A

    5,124       183,439  

Kirkland’s, Inc. *

    7,831       73,220  

Liberty Media Corp-Liberty SiriusXM *

    19,069       879,653  

Lowe’s Cos., Inc.

    6,998       541,645  

MCBC Holdings, Inc. *

    17,286       319,791  

Netflix, Inc. *

    1,053       191,288  

Ross Stores, Inc.

    11,063       612,005  

Standard Motor Products, Inc.

    3,900       196,482  

Taylor Morrison Home Corp., Class A *

    36,412       823,640  

Tenneco, Inc.

    8,546       472,594  

The Walt Disney Co.

    1,011       111,139  

Total Consumer Discretionary

      8,727,333  

Consumer Staples - 7.4%

 

 

Altria Group, Inc.

    17,411       1,131,193  

Campbell Soup Co.

    3,034       160,286  

Central Garden & Pet Co. *,1

    8,781       280,992  

Central Garden & Pet Co., Class A *

    11,889       365,706  

The Coca-Cola Co.

    2,775       127,206  

Medifast, Inc.

    9,924       423,656  

National Beverage Corp. 1

    6,098       622,728  

PepsiCo, Inc.

    950       110,779  

Philip Morris International, Inc.

    783       91,384  

The Procter & Gamble Co.

    3,153       286,355  

Tyson Foods, Inc., Class A

    19,097       1,209,986  

US Foods Holding Corp. *

    9,436       265,623  
    Shares     Value  

Village Super Market, Inc., Class A

    7,641     $ 188,962  

Total Consumer Staples

      5,264,856  

Energy - 4.6%

 

 

Abraxas Petroleum Corp. *

    93,591       166,592  

Baker Hughes Co.

    840       30,988  

Chevron Corp.

    1,910       208,553  

Devon Energy Corp.

    4,449       148,196  

Evolution Petroleum Corp.

    13,789       118,585  

Exterran Corp. *

    2,981       82,544  

Exxon Mobil Corp.

    7,593       607,744  

Laredo Petroleum, Inc. *,1

    1,696       21,980  

Marathon Petroleum Corp.

    9,400       526,306  

Natural Gas Services Group, Inc. *

    9,793       244,335  

Pacific Ethanol, Inc. *

    13,335       83,344  

Phillips 66

    4,600       385,250  

Renewable Energy Group, Inc. *

    16,184       202,300  

REX American Resources Corp. *

    428       42,791  

Valero Energy Corp.

    5,800       400,026  

Total Energy

      3,269,534  

Financials - 14.3%

 

 

Arch Capital Group, Ltd. *

    11,700       1,137,942  

B. Riley Financial, Inc.

    1,830       35,594  

Bank of America Corp.

    12,444       300,149  

Berkshire Hathaway, Inc., Class B *

    10,287       1,799,916  

Brown & Brown, Inc.

    25,500       1,137,300  

Canadian Imperial Bank of Commerce

    1,823       158,309  

Central Valley Community Bancorp

    2,657       58,401  

Cherry Hill Mortgage Investment Corp.

    3,477       66,724  

Citigroup, Inc.

    4,100       280,645  

CNA Financial Corp.

    17,972       933,645  

Discover Financial Services

    10,498       639,748  

Employers Holdings, Inc.

    11,883       515,128  

Enterprise Financial Services Corp.

    2,000       79,100  

Erie Indemnity Co., Class A

    2,000       254,920  

Everest Re Group, Ltd.

    2,200       577,258  

First Defiance Financial Corp.

    1,481       76,642  

First Financial Corp.

    525       24,176  

First Hawaiian, Inc.

    12,008       354,236  

First Interstate BancSystem, Inc., Class A

    4,099       149,818  

GAMCO Investors, Inc., Class A

    4,750       145,872  

HomeTrust Bancshares, Inc. *

    1,014       24,488  
 

 

 

 

1


   
  AMG FQ Tax-Managed U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Shares     Value  

Financials - 14.3% (continued)

 

 

Houlihan Lokey, Inc.

    764     $ 28,406  

Independent Bank Corp.

    1,999       42,379  

JPMorgan Chase & Co.

    6,852       629,014  

National Western Life Group, Inc., Class A

    103       34,669  

Sierra Bancorp

    3,100       84,940  

Stonegate Bank

    1,800       83,790  

SunTrust Banks, Inc.

    3,197       183,156  

Wells Fargo & Co.

    6,184       333,565  

Total Financials

      10,169,930  

Health Care - 14.0%

   

Agilent Technologies, Inc.

    1,239       74,080  

Amgen, Inc.

    6,296       1,098,715  

AngioDynamics, Inc. *

    5,317       86,401  

Anika Therapeutics, Inc. *

    9,000       460,440  

Atrion Corp

    251       158,682  

Biogen, Inc. *

    1,735       502,439  

Bioverativ, Inc. *

    867       53,728  

Cantel Medical Corp.

    2,899       215,106  

Cardiovascular Systems, Inc. *

    659       20,792  

Centene Corp. *

    10,956       870,126  

Charles River Laboratories International, Inc. *

    5,950       584,290  

Chemed Corp.

    1,500       296,250  

ChemoCentryx, Inc. *

    23,349       236,759  

Chimerix, Inc. *

    9,599       47,707  

CR Bard, Inc.

    100       32,060  

Hologic, Inc. *

    7,519       332,415  

IDEXX Laboratories, Inc. *

    974       162,132  

INC Research Holdings, Inc., Class A *

    4,620       254,100  

Johnson & Johnson

    5,018       665,989  

Landauer, Inc.

    3,745       203,915  

McKesson Corp.

    1,199       194,082  

Merck & Co., Inc.

    2,139       136,639  

OraSure Technologies, Inc. *

    9,021       158,228  

Pfizer, Inc.

    5,943       197,070  

Phibro Animal Health Corp., Class A

    19,329       738,368  

The Providence Service Corp. *

    3,547       182,812  

Quality Systems, Inc. *

    3,981       68,075  

UnitedHealth Group, Inc.

    8,199       1,572,650  

WellCare Health Plans, Inc. *

    2,003       354,511  

Total Health Care

      9,958,561  

Industrials - 14.8%

   

Alaska Air Group, Inc.

    17,694       1,508,060  
    Shares     Value  

Allison Transmission Holdings, Inc.

    22,735     $ 859,383  

ARC Document Solutions, Inc. *

    79,795       276,091  

BWX Technologies, Inc.

    27,500       1,448,700  

Comfort Systems USA, Inc.

    3,852       128,272  

Continental Building Products, Inc. *

    32,781       721,182  

Delta Air Lines, Inc.

    10,904       538,221  

General Dynamics Corp.

    2,997       588,401  

General Electric Co.

    10,971       280,967  

Huntington Ingalls Industries, Inc.

    5,799       1,195,232  

ICF International, Inc. *

    1,569       70,997  

RPX Corp. *

    56,427       771,357  

Rush Enterprises, Inc., Class B *

    6,529       265,600  

Southwest Airlines Co.

    11,822       656,239  

TPI Composites, Inc. *

    1,903       35,853  

UniFirst Corp.

    3,000       426,750  

West Corp

    31,890       745,269  

Total Industrials

      10,516,574  

Information Technology - 23.9%

 

 

Alphabet, Inc., Class A *

    816       771,528  

Alphabet, Inc., Class C *

    829       771,384  

Appfolio, Inc., Class A *

    2,427       84,824  

Apple, Inc.

    15,001       2,231,099  

Benchmark Electronics, Inc. *

    25,252       849,730  

Black Box Corp.

    16,642       131,472  

Carbonite, Inc. *

    14,877       351,097  

Care.com, Inc. *

    3,364       48,879  

CDW Corp.

    8,563       543,151  

Cisco Systems, Inc.

    2,742       86,236  

Citrix Systems, Inc. *

    611       48,257  

CommerceHub, Inc. *,1

    15,931       286,439  

CSRA, Inc.

    13,859       451,942  

Diodes, Inc. *

    1,265       33,560  

Extreme Networks, Inc. *

    7,089       62,312  

Facebook, Inc., Class A *

    6,516       1,102,833  

Guidance Software, Inc. *

    8,106       57,309  

Intel Corp.

    2,795       99,139  

International Business Machines Corp.

    350       50,635  

Intuit, Inc.

    2,987       409,846  

IXYS Corp. *

    6,098       106,105  

KLA-Tencor Corp.

    2,029       187,946  

MasterCard, Inc., Class A

    14,970       1,913,166  

Microsoft Corp.

    22,700       1,650,290  

MoneyGram International, Inc. *

    3,471       56,647  
 

 

2


   
  AMG FQ Tax-Managed U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

 

     Shares      Value  

Information Technology - 23.9% (continued)

 

  

NetScout Systems, Inc. *

     9,480      $ 327,060  

Oracle Corp.

     583        29,109  

PC Connection, Inc.

     794        20,485  

Progress Software Corp.

     26,502        848,329  

QAD, Inc., Class A

     9,851        308,829  

Rudolph Technologies, Inc. *

     16,756        414,711  

salesforce.com, Inc. *

     1,719        156,085  

ServiceNow, Inc. *

     326        36,007  

Synchronoss Technologies, Inc. *

     3,904        65,900  

Tech Data Corp *

     799        81,818  

Visa, Inc., Class A

     21,140        2,104,698  

Zix Corp. *

     38,333        204,315  

Zynga, Inc., Class A *

     8,228        29,703  

Total Information Technology

        17,012,875  

Materials - 2.9%

     

AdvanSix, Inc. *

     11,569        387,330  

Cabot Corp.

     2,197        119,363  

Graphic Packaging Holding Co.

     38,946        513,698  

LyondellBasell Industries NV, Class A

     7,700        693,693  

SunCoke Energy, Inc. *

     1,715        15,349  

Trecora Resources *,1

     6,085        70,282  

Valvoline, Inc.

     13,722        311,078  

Total Materials

        2,110,793  

Real Estate - 1.2%

     

American Homes 4 Rent, Class A, REIT

     11,900        273,819  

American Tower Corp, REIT

     481        65,575  

Columbia Property Trust, Inc., REIT

     14,606        317,680  

Equity Commonwealth, REIT *

     2,951        93,193  

Park Hotels & Resorts, Inc., REIT

     3,564        95,978  

Total Real Estate

        846,245  

Telecommunication Services - 1.5%

 

  

AT&T, Inc.

     13,001        507,039  

 

*  Non-income producing security.
1  Some or all of these securities, amounting to $833,029 or 1.2% of net assets, were out on loan to various brokers.
2  Collateral received from brokers for securities lending was invested in these joint repurchase agreements.
     Shares      Value  

Boingo Wireless, Inc. *

     12,095      $ 179,369  

Spok Holdings, Inc.

     12,910        211,724  

Verizon Communications, Inc.

     3,360        162,624  

Total Telecommunication Services

        1,060,756  

Utilities - 2.1%

     

American Water Works Co., Inc.

     10,900        883,990  

Atmos Energy Corp.

     602        52,229  

Hawaiian Electric Industries, Inc.

     10,503        346,494  

Vectren Corp.

     4,069        244,588  

Total Utilities

        1,527,301  

Total Common Stocks

     

(Cost $50,272,474)

        70,464,758  
     Principal
Amount
        

Short-Term Investments - 2.4%

 

  

Repurchase Agreements - 1.2%2

 

  

Cantor Fitzgerald Securities, Inc., dated 07/31/2017, due 08/01/2017, 1.100% total to be received $855,694 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 08/15/17 - 05/20/67, totaling $872,781)

   $ 855,668        855,668  
     Shares         

Other Investment Companies - 1.2%

 

  

Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.91% 3

     830,583        830,583  

Total Short-Term Investments
(Cost $1,686,251)

        1,686,251  

Total Investments - 101.4%
(Cost $51,958,725)

        72,151,009  

Other Assets, less Liabilities - (1.4%)

        (1,020,367

Net Assets - 100.0%

      $ 71,130,642  

 

3  Yield shown represents the July 31, 2017, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

 

REIT Real Estate Investment Trust
 

 

 

 

3


   
  AMG FQ Tax-Managed U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of July 31, 2017:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

           

Common Stocks

   $ 70,464,758        —          —        $ 70,464,758  

Short-Term Investments

           

Repurchase Agreements

     —        $ 855,668        —          855,668  

Other Investment Companies

     830,583        —          —          830,583  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 71,295,341      $ 855,668        —        $ 72,151,009  
  

 

 

    

 

 

    

 

 

    

 

 

 

As of July 31, 2017, the Fund had no transfers between levels from the beginning of the reporting period.

 

 

 

4


    AMG FQ U.S. Equity Fund      
    Schedule of Portfolio Investments (unaudited)      
    July 31, 2017      

 

 

 

    Shares     Value  

Common Stocks - 99.2%

 

 

Consumer Discretionary - 13.1%

 

 

Amazon.com, Inc. *,1

    667     $ 658,849  

American Axle & Manufacturing Holdings, Inc. *,2

    3,363       49,571  

Ascent Capital Group, Inc., Class A *

    3,884       65,640  

Bloomin’ Brands, Inc. 2

    2,514       43,819  

Cavco Industries, Inc. *

    367       47,857  

Choice Hotels International, Inc. 1

    3,436       222,137  

Comcast Corp., Class A

    984       39,803  

Cooper-Standard Holdings, Inc. *

    303       30,985  

CSS Industries, Inc.

    5,768       154,409  

Dave & Buster’s Entertainment, Inc. *

    534       33,167  

Discovery Communications, Inc., Class C *

    12,283       284,106  

Extended Stay America, Inc.

    6,463       127,774  

Francesca’s Holdings Corp. *

    5,142       50,032  

Genesco, Inc. *

    1,812       58,165  

Gentex Corp.

    4,111       69,969  

H&R Block, Inc.

    1,052       32,086  

Hibbett Sports, Inc. *

    9,003       140,447  

Hilton Grand Vacations, Inc. *,1

    1,829       67,234  

The Home Depot, Inc.

    3,241       484,854  

Hyatt Hotels Corp., Class A *

    1,353       75,186  

International Speedway Corp., Class A

    3,836       137,329  

J Alexander’s Holdings, Inc. *,3

    4,927       51,980  

Kirkland’s, Inc. *

    4,731       44,235  

Las Vegas Sands Corp.

    1,402       86,377  

Lear Corp.

    204       30,231  

Lennar Corp., Class B

    2,511       111,664  

Libbey, Inc.

    9,445       85,005  

Liberty Interactive Corp. QVC Group, Class A *

    1,894       45,342  

Liberty Media Corp-Liberty SiriusXM *,1

    2,301       106,145  

Liberty Media Corp-Liberty SiriusXM, Class C *

    733       33,718  

Lowe’s Cos., Inc.

    733       56,734  

M/I Homes, Inc. *

    2,276       59,039  

Malibu Boats, Inc., Class A *

    1,914       54,760  

The Marcus Corp.

    1,455       39,576  

MCBC Holdings, Inc. *

    1,831       33,874  

The Michaels Cos., Inc. *

    5,916       119,148  

Netflix, Inc. *

    650       118,079  

News Corp., Class B

    9,815       144,280  

NVR, Inc. *

    69       180,120  

Regal Entertainment Group, Class A 2

    2,564       48,767  
    Shares     Value  

Ross Stores, Inc.

    4,481     $ 247,889  

Select Comfort Corp. *

    894       30,226  

Stoneridge, Inc. *

    1,918       29,269  

Target Corp.

    2,153       122,011  

Taylor Morrison Home Corp., Class A *

    14,792       334,595  

Tenneco, Inc.

    1,054       58,286  

The TJX Cos., Inc.

    1,452       102,090  

Tower International, Inc.

    1,492       36,852  

Urban Outfitters, Inc. *,2

    2,070       40,551  

The Walt Disney Co.

    1,270       139,611  

Yum China Holdings, Inc. *

    1,853       66,319  

Total Consumer Discretionary

      5,530,192  

Consumer Staples - 5.9%

 

 

Altria Group, Inc.

    532       34,564  

Brown-Forman Corp., Class A 1

    4,098       211,211  

Campbell Soup Co.

    1,446       76,392  

Church & Dwight Co., Inc. 1

    2,532       135,082  

The Clorox Co.

    788       105,190  

Conagra Brands, Inc.

    5,980       204,755  

CVS Health Corp.

    424       33,890  

Energizer Holdings, Inc.

    654       30,130  

Ingles Markets, Inc., Class A

    743       21,919  

Ingredion, Inc.

    312       38,476  

Inter Parfums, Inc.

    777       30,148  

J&J Snack Foods Corp.

    651       85,541  

Kimberly-Clark Corp.

    1,027       126,485  

Lancaster Colony Corp.

    546       66,951  

Lifevantage Corp. *

    5,779       21,960  

Medifast, Inc.

    687       29,328  

Monster Beverage Corp. *

    547       28,854  

PepsiCo, Inc.

    204       23,789  

Performance Food Group Co. *

    1,592       45,850  

Philip Morris International, Inc.

    204       23,809  

Pinnacle Foods, Inc.

    1,161       68,940  

The Procter & Gamble Co.

    1,349       122,516  

Seaboard Corp.

    15       64,125  

Sprouts Farmers Market, Inc. *,2

    1,105       26,597  

Tyson Foods, Inc., Class A 1

    1,789       113,351  

US Foods Holding Corp. *

    8,013       225,566  

Village Super Market, Inc., Class A

    3,322       82,153  

Walgreens Boots Alliance, Inc.

    977       78,815  

Wal-Mart Stores, Inc. 1

    3,284       262,687  
 

 

 

 

5


   
  AMG FQ U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Shares     Value  

Consumer Staples - 5.9% (continued)

 

 

Weis Markets, Inc. 2

    1,475     $ 69,782  

Total Consumer Staples

      2,488,856  

Energy - 3.7%

   

Anadarko Petroleum Corp.

    1,286       58,732  

Baker Hughes Co. 1

    2,771       102,222  

Chevron Corp. 1

    589       64,313  

Cimarex Energy Co.

    236       23,371  

ConocoPhillips

    561       25,453  

Devon Energy Corp.

    1,914       63,755  

Erin Energy Corp. *

    17,507       30,637  

Exxon Mobil Corp. 1

    6,248       500,090  

Kinder Morgan, Inc.

    4,431       90,525  

Marathon Petroleum Corp.

    1,966       110,076  

Natural Gas Services Group, Inc. *

    2,694       67,215  

Oceaneering International, Inc.

    1,329       34,089  

ONEOK, Inc.

    801       45,313  

Overseas Shipholding Group, Inc., Class A *

    18,459       56,854  

Ultra Petroleum Corp. *

    3,434       35,336  

Valero Energy Corp.

    1,479       102,007  

The Williams Cos., Inc.

    2,185       69,439  

World Fuel Services Corp. 1

    2,227       72,021  

Total Energy

      1,551,448  

Financials - 19.6%

   

1st Source Corp.

    1,454       71,391  

American Equity Investment Life Holding Co.

    1,277       34,198  

Artisan Partners Asset Management, Inc., Class A 1

    1,526       50,740  

Aspen Insurance Holdings, Ltd. 1

    5,368       261,958  

Athene Holding, Ltd., Class A *

    787       39,767  

Baldwin & Lyons, Inc., Class B 1

    5,704       133,474  

Bank of America Corp. 1

    15,522       374,391  

Berkshire Hathaway, Inc., Class B *,1

    4,335       758,495  

Brown & Brown, Inc.

    1,258       56,107  

Central Pacific Financial Corp.

    1,854       57,344  

Century Bancorp, Inc., Class A 1

    4,549       303,418  

Charter Financial Corp.

    4,316       77,602  

Cherry Hill Mortgage Investment Corp.

    16,016       307,347  

Citigroup, Inc. 1

    3,305       226,227  

CNA Financial Corp.

    8,465       439,757  

Discover Financial Services

    1,200       73,128  

Dynex Capital, Inc.

    6,418       44,348  

East West Bancorp, Inc.

    1,464       83,419  

Employers Holdings, Inc.

    2,555       110,759  
    Shares     Value  

Erie Indemnity Co., Class A

    1,687     $ 215,025  

Financial Institutions, Inc.

    1,236       36,338  

First Defiance Financial Corp.

    1,163       60,185  

First Financial Corp.

    5,272       242,776  

First Hawaiian, Inc.

    3,058       90,211  

GAMCO Investors, Inc., Class A 2

    3,908       120,015  

German American Bancorp, Inc.

    1,947       69,761  

Hallmark Financial Services, Inc. *

    2,767       31,129  

The Hanover Insurance Group, Inc.

    1,772       168,092  

Home Bancorp, Inc.

    4,763       192,997  

Houlihan Lokey, Inc.

    2,216       82,391  

Infinity Property & Casualty Corp.

    1,417       141,771  

JPMorgan Chase & Co. 1

    4,078       374,360  

Macatawa Bank Corp.

    9,467       91,357  

MarketAxess Holdings, Inc.

    323       65,533  

MFA Financial, Inc., REIT

    12,251       104,011  

Morningstar, Inc.

    3,532       291,637  

MSCI, Inc.

    1,110       120,935  

National Western Life Group, Inc., Class A

    509       171,324  

OM Asset Management PLC

    6,881       103,697  

ProAssurance Corp.

    1,365       84,357  

Provident Financial Holdings, Inc.

    2,632       50,008  

Prudential Financial, Inc.

    1,325       150,030  

QCR Holdings, Inc.

    2,108       96,863  

Republic Bancorp, Inc., Class A

    1,196       42,936  

Riverview Bancorp, Inc.

    11,095       84,211  

S&P Global, Inc.

    870       133,623  

Selective Insurance Group, Inc.

    1,020       51,663  

Shore Bancshares, Inc.

    4,145       70,009  

State National Cos., Inc.

    2,256       47,105  

Synovus Financial Corp.

    1,480       64,350  

Territorial Bancorp, Inc. 1

    11,356       342,156  

TFS Financial Corp.

    14,762       235,897  

Validus Holdings, Ltd. 1

    4,993       268,573  

Wells Fargo & Co. 1

    3,522       189,977  

Westwood Holdings Group, Inc.

    1,956       115,306  

Total Financials

      8,304,479  

Health Care - 12.2%

   

Agilent Technologies, Inc. 1

    2,712       162,150  

Alexion Pharmaceuticals, Inc. *,1

    639       87,760  

Allergan PLC

    272       68,634  

Amgen, Inc. 1

    1,843       321,622  

AngioDynamics, Inc. *,1

    7,220       117,325  
 

 

 

 

6


   
  AMG FQ U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Shares     Value  

Health Care - 12.2% (continued)

   

Anthem, Inc.

    320     $ 59,587  

Baxter International, Inc. 1

    3,665       221,659  

Biogen, Inc. *

    281       81,375  

BioSpecifics Technologies Corp. *

    1,311       63,780  

Bristol-Myers Squibb Co. 1

    3,724       211,896  

Bruker Corp. 1

    4,417       126,680  

Cardiovascular Systems, Inc. *

    1,713       54,045  

Catalent, Inc. *

    2,132       73,980  

Celgene Corp. *,1

    1,843       249,561  

Centene Corp. *

    1,895       150,501  

Chemed Corp.

    764       150,890  

The Cooper Cos., Inc.

    184       44,872  

Corcept Therapeutics, Inc. *

    2,420       30,177  

CorVel Corp. *

    1,180       56,109  

Cotiviti Holdings, Inc. *,2

    654       28,155  

Edwards Lifesciences Corp. *

    361       41,580  

Gilead Sciences, Inc.

    1,064       80,960  

Hologic, Inc. *,1

    3,404       150,491  

IDEXX Laboratories, Inc. *

    558       92,885  

INC Research Holdings, Inc., Class A *

    766       42,130  

Johnson & Johnson 1

    2,647       351,310  

Landauer, Inc. 2

    1,429       77,809  

LeMaitre Vascular, Inc.

    2,849       102,763  

McKesson Corp.

    951       153,938  

Merck & Co., Inc.

    2,626       167,749  

Meridian Bioscience, Inc.

    2,895       39,227  

Molina Healthcare, Inc. *,2

    839       56,045  

National HealthCare Corp.

    1,777       115,807  

National Research Corp., Class A

    4,470       131,418  

OraSure Technologies, Inc. *

    2,297       40,289  

Pfizer, Inc.

    3,176       105,316  

Phibro Animal Health Corp., Class A

    1,946       74,337  

The Providence Service Corp. *

    1,416       72,981  

Quality Systems, Inc. *

    4,837       82,713  

RTI Surgical, Inc. *

    6,363       36,269  

Triple-S Management Corp., Class B *

    2,450       37,926  

UnitedHealth Group, Inc.

    1,381       264,890  

Utah Medical Products, Inc.

    1,453       100,402  

Vertex Pharmaceuticals, Inc. *

    508       77,125  

WellCare Health Plans, Inc. *

    558       98,760  

West Pharmaceutical Services, Inc.

    638       56,591  
    Shares     Value  

Zoetis, Inc.

    2,261     $ 141,358  

Total Health Care

      5,153,827  

Industrials - 11.6%

 

 

Allegion PLC 1

    1,057       85,871  

Allison Transmission Holdings, Inc. 1

    11,165       422,037  

ARC Document Solutions, Inc. *,1

    13,294       45,997  

Argan, Inc. 1

    1,613       103,958  

Barnes Group, Inc.

    1,371       82,507  

The Boeing Co.

    332       80,497  

Brady Corp., Class A

    1,797       59,660  

Cintas Corp. 1

    1,095       147,661  

Comfort Systems USA, Inc.

    2,834       94,372  

Continental Building Products, Inc. *

    10,009       220,198  

Copart, Inc. *

    1,986       62,539  

Ennis, Inc.

    6,411       123,412  

Essendant, Inc.

    2,917       36,404  

Gencor Industries, Inc. *

    3,399       54,554  

General Electric Co.

    5,067       129,766  

Graco, Inc.

    199       23,092  

Graham Corp.

    2,351       47,044  

Hardinge, Inc.

    4,134       50,021  

Hawaiian Holdings, Inc. *

    1,574       65,164  

HEICO Corp., Class A

    2,000       142,100  

Hillenbrand, Inc.

    1,878       67,608  

Hyster-Yale Materials Handling, Inc.

    820       58,105  

ICF International, Inc. *

    2,036       92,129  

Illinois Tool Works, Inc. 1

    506       71,199  

Interface, Inc.

    4,609       87,341  

Kelly Services, Inc., Class A

    4,098       91,262  

Kimball International, Inc., Class B

    6,455       107,605  

Landstar System, Inc.

    2,921       242,881  

Masco Corp.

    2,221       84,687  

Moog, Inc., Class A *

    2,268       168,558  

MSA Safety, Inc.

    1,008       80,801  

On Assignment, Inc. *

    664       32,702  

Owens Corning

    1,048       70,268  

Pitney Bowes, Inc.

    3,114       49,014  

Primoris Services Corp.

    2,080       51,834  

Regal Beloit Corp.

    2,084       173,701  

Rexnord Corp. *

    1,438       33,304  

Rollins, Inc. 2

    3,493       151,631  

RPX Corp. *

    11,518       157,451  
 

 

 

 

7


   
  AMG FQ U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

 

    Shares     Value  

Industrials - 11.6% (continued)

 

 

Rush Enterprises, Inc., Class A *

    1,364     $ 58,829  

Rush Enterprises, Inc., Class B *

    4,173       169,758  

Southwest Airlines Co.

    4,010       222,595  

SP Plus Corp. *

    4,415       144,370  

TriNet Group, Inc. *

    2,109       73,815  

TrueBlue, Inc. *

    1,884       48,136  

Verisk Analytics, Inc. *

    1,083       94,503  

Wabash National Corp.

    3,445       65,731  

Willis Lease Finance Corp. *

    2,756       69,672  

Total Industrials

      4,896,344  

Information Technology - 22.6%

 

 

Activision Blizzard, Inc.

    679       41,949  

Advanced Energy Industries, Inc. *

    721       52,309  

Alphabet, Inc., Class A *,1

    526       497,333  

Alphabet, Inc., Class C *,1

    535       497,817  

American Software, Inc., Class A 1

    18,664       181,041  

Anixter International, Inc. *

    745       58,669  

Apple, Inc. 1

    8,991       1,337,231  

Applied Materials, Inc. 1

    4,227       187,298  

ARRIS International PLC *

    1,575       44,037  

Benchmark Electronics, Inc. *,1

    8,697       292,654  

Broadcom, Ltd.

    448       110,504  

Brooks Automation, Inc.

    1,573       38,633  

CACI International, Inc., Class A *

    536       67,054  

Cadence Design Systems, Inc. *,1

    8,046       296,897  

Care.com, Inc. *

    2,010       29,205  

CDW Corp. 1

    3,599       228,285  

Ciena Corp. *,2

    1,356       34,917  

Cisco Systems, Inc.

    1,497       47,081  

Convergys Corp. 1

    3,760       90,127  

CSG Systems International, Inc.

    1,421       58,758  

CSRA, Inc.

    2,071       67,535  

CTS Corp.

    2,983       65,626  

Diodes, Inc. *

    3,612       95,826  

DXC Technology Co.

    449       35,193  

eBay, Inc. *

    1,116       39,875  

Entegris, Inc. *

    3,897       101,712  

EVERTEC, Inc.

    5,549       99,050  

Extreme Networks, Inc. *

    3,931       34,554  

F5 Networks, Inc. *

    977       117,973  

Facebook, Inc., Class A *,1

    4,025       681,231  

FLIR Systems, Inc.

    2,591       96,696  
    Shares     Value  

Guidance Software, Inc. *

    5,485     $ 38,779  

Hewlett Packard Enterprise Co.

    3,336       58,413  

Intuit, Inc.

    2,024       277,713  

IXYS Corp. *

    2,976       51,782  

Juniper Networks, Inc.

    1,913       53,468  

Keysight Technologies, Inc. *

    2,421       100,689  

KLA-Tencor Corp.

    1,016       94,112  

MasterCard, Inc., Class A

    700       89,460  

Maxim Integrated Products, Inc.

    3,947       179,352  

Microsoft Corp. 1

    13,057       949,244  

NCR Corp. *

    956       36,185  

NetScout Systems, Inc. *,2

    2,878       99,291  

NVIDIA Corp.

    387       62,891  

PC Connection, Inc.

    1,380       35,604  

Perficient, Inc. *

    2,591       48,711  

Plantronics, Inc.

    1,794       81,053  

Progress Software Corp.

    7,087       226,855  

QAD, Inc., Class A

    3,568       111,857  

Rudolph Technologies, Inc. *

    5,715       141,446  

salesforce.com, Inc. *

    1,164       105,691  

ServiceNow, Inc. *

    231       25,514  

Synopsys, Inc. *,1

    2,232       170,904  

TeleTech Holdings, Inc.

    1,335       55,803  

Teradata Corp. *,2

    2,377       75,636  

Texas Instruments, Inc.

    1,295       105,387  

Trimble, Inc. *

    1,632       61,086  

TTM Technologies, Inc. *,2

    2,843       49,411  

Verint Systems, Inc. *

    1,383       54,836  

Versum Materials, Inc.

    1,141       40,232  

Visa, Inc., Class A 1

    2,140       213,058  

Vishay Precision Group, Inc. *

    2,291       40,093  

VMware, Inc., Class A *

    386       35,786  

XO Group, Inc. *

    3,826       69,939  

Zebra Technologies Corp., Class A *

    332       33,771  

Zix Corp. *

    10,269       54,734  

Total Information Technology

      9,555,856  

Materials - 4.1%

   

Berry Global Group, Inc. *

    2,256       126,516  

Cabot Corp. 1

    2,847       154,678  

Crown Holdings, Inc. *

    5,286       314,358  

FutureFuel Corp.

    2,530       36,837  

Graphic Packaging Holding Co.

    16,533       218,070  

Hawkins, Inc.

    629       28,274  
 

 

 

 

8


   
  AMG FQ U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

 

     Shares      Value  

Materials - 4.1% (continued)

 

  

KMG Chemicals, Inc.

     881      $ 44,596  

Louisiana-Pacific Corp. *

     4,862        122,085  

LyondellBasell Industries NV, Class A

     955        86,036  

Sealed Air Corp.

     1,681        73,140  

Sensient Technologies Corp.

     780        58,001  

Silgan Holdings, Inc.

     4,796        145,319  

UFP Technologies, Inc. *

     1,609        46,420  

United States Lime & Minerals, Inc.

     2,302        186,968  

Valvoline, Inc.

     3,292        74,630  

Total Materials

        1,715,928  

Real Estate - 2.1%

     

Brixmor Property Group, Inc., REIT 1

     8,368        163,929  

Consolidated-Tomoka Land Co.

     1,224        67,859  

Duke Realty Corp., REIT

     869        24,845  

Equity Commonwealth, REIT *

     5,018        158,468  

Liberty Property Trust, REIT

     3,538        148,667  

Park Hotels & Resorts, Inc., REIT

     2,610        70,287  

Retail Properties of America, Inc., Class A, REIT

     18,693        247,308  

Xenia Hotels & Resorts, Inc., REIT

     1,339        27,209  

Total Real Estate

        908,572  

Telecommunication Services - 1.7%

 

  

AT&T, Inc. 1

     9,582        373,698  

Boingo Wireless, Inc. *

     2,923        43,348  

Telephone & Data Systems, Inc.

     3,703        105,276  

T-Mobile US, Inc. *

     566        34,900  

United States Cellular Corp. *

     3,155        119,511  

Verizon Communications, Inc. 1

     929        44,964  

Total Telecommunication Services

        721,697  

Utilities - 2.6%

     

AES Corp. 1

     19,305        215,830  

 

*  Non-income producing security.
1 Some or all of these securities were held as collateral for written options as of July 31, 2017, amounting to a market value of $13,782,482 or 32.6% of net assets.
2  Some or all of these securities, amounting to $460,657 or 1.1% of net assets, were out on loan to various brokers.
3  The security has been determined to be an illiquid security. At July 31, 2017, the security amounted to $51,980, or 0.1% of net assets. The security was valued using a quote from the primary exchange and management has determined the security is traded in active markets. Therefore, it has been determined that the security is valued using Level 1 pricing inputs.
     Shares      Value  

Atmos Energy Corp. 1

     2,152      $ 186,707  

Avangrid, Inc. 1

     2,383        108,236  

Vectren Corp. 1

     5,372        322,911  

Xcel Energy, Inc. 1

     5,400        255,474  

Total Utilities

        1,089,158  

Total Common Stocks
(Cost $38,468,586)

        41,916,357  

Purchased Options - 0.2%

     

(See Open Purchased Options schedule)
(Cost $316,055)

        107,992  
     Principal
Amount
        

Short-Term Investments - 2.5%

 

  

Repurchase Agreements - 1.1%4

 

  

Merrill Lynch, Pierce, Fenner & Smith, Inc., dated 07/31/2017, due 08/01/2017, 1.040% total to be received $475,566 (collateralized by various U.S. Government Agency Obligations, 0.125% -1.000%, 03/15/18 - 07/15/24, totaling $485,063)

   $ 475,552        475,552  
     Shares         

Other Investment Companies - 1.4%

 

  

Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.91% 5

     592,110        592,110  

Total Short-Term Investments
(Cost $1,067,662)

        1,067,662  

Total Investments - 101.9%
(Cost $39,852,303)

        43,092,011  

Other Assets, less Liabilities - (1.9%)

        (822,844

Net Assets - 100.0%

      $ 42,269,167  

 

4  Collateral received from brokers for securities lending was invested in these joint repurchase agreements.
5  Yield shown represents the July 31, 2017, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

 

REIT Real Estate Investment Trust
 

 

 

 

9


   
  AMG FQ U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

 

Open Purchased Options

 
Description    Strike Price      Expiration Date     

Number of

Contracts

    

Notional

Amount

    Cost      Value  

S&P 500 Index (Put)

     2,275        08/18/17        71      $ 9,585     $ 149,206      $ 9,585  

S&P 500 Index (Put)

     2,290        09/15/17        5        2,605       9,708        2,605  

S&P 500 Index (Put)

     2,290        10/20/17        43        50,955       57,856        50,955  

S&P 500 Index (Put)

     2,300        09/15/17        26        14,560       61,139        14,560  

S&P 500 Index (Put)

     2,375        09/15/17        31        30,287       38,146        30,287  
             

 

 

    

 

 

 
              Total     $ 316,055      $ 107,992  
             

 

 

    

 

 

 

Open Written Options

 
Description    Strike Price      Expiration Date     

Number of

Contracts

    

Notional

Amount

    Premium      Value  

S&P 500 Index (Call)

     2,510        08/18/17        40      $ (5,400   $ 24,340      $ (5,400

S&P 500 Index (Call)

     2,520        08/18/17        31        (2,325     15,454        (2,325

S&P 500 Index (Call)

     2,540        09/15/17        31        (7,595     19,353        (7,595

S&P 500 Index (Call)

     2,550        09/15/17        31        (5,363     10,122        (5,363

S&P 500 Index (Call)

     2,580        10/20/17        21        (6,720     9,856        (6,720

S&P 500 Index (Call)

     2,590        10/20/17        22        (5,126     7,909        (5,126

S&P 500 Index (Put)

     2,225        08/18/17        71        (6,390     109,943        (6,390

S&P 500 Index (Put)

     2,225        10/20/17        43        (35,690     39,538        (35,690

S&P 500 Index (Put)

     2,240        09/15/17        5        (1,900     6,993        (1,900

S&P 500 Index (Put)

     2,250        09/15/17        26        (10,270     44,681        (10,270

S&P 500 Index (Put)

     2,335        09/15/17        31        (22,196     27,264        (22,196
             

 

 

    

 

 

 
              Total     $ 315,453      $ (108,975
             

 

 

    

 

 

 

Open Futures Contracts

 
Description    Currency     

Number of

Contracts

     Position     

Expiration

Date

   

Current

Notional

Amount

    

Value and

Unrealized

Gain/(Loss)

 

S&P 500 E-Mini FUT Index

     USD        2        Long        09/15/17     $ 246,800      $ 3,836  

 

 

 

10


   
  AMG FQ U.S. Equity Fund
  Schedule of Portfolio Investments (continued)

 

 

The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of July 31, 2017:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

           

Common Stocks

   $ 41,916,357        —          —        $ 41,916,357  

Purchased Options

     107,992        —          —          107,992  

Short-Term Investments

           

Repurchase Agreements

     —        $ 475,552        —          475,552  

Other Investment Companies

     592,110        —          —          592,110  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 42,616,459      $ 475,552        —        $ 43,092,011  
  

 

 

    

 

 

    

 

 

    

 

 

 

Financial Derivative Instruments - Assets

           

Equity Contracts

   $ 3,836        —          —        $ 3,836  

Financial Derivative Instruments - Liabilities

           

Equity Contracts

     (108,975      —          —          (108,975
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Financial Derivative Instruments

   $ (105,139      —          —        $ (105,139
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  All common stocks held in the Fund are Level 1 securities. For a detailed break-out of the common stocks by major industry classification, please refer to the Schedule of Portfolio Investments.

As of July 31, 2017, the Fund had no transfers between levels from the beginning of the reporting period.

 

 

 

11


    AMG FQ Global Risk-Balanced Fund
  Schedule of Portfolio Investments (unaudited)
  July 31, 2017

 

 

 

    Shares     Value  

Exchange Traded Funds - 59.3%

 

 

iShares Barclays TIPS Bond Fund1

    67,898     $ 7,717,287  

iShares Global Infrastructure2

    27,711       1,254,477  

iShares iBoxx $ High Yield Corporate Bond Fund2

    103,442       9,197,028  

iShares iBoxx $ Investment Grade Corporate Bond1

    75,689       9,166,695  

Materials Select Sector SPDR Fund

    22,316       1,219,346  

SPDR Citi International Government Inflation-Protected Bond1

    25,987       1,479,960  

VanEck Vectors Gold Miners

    54,123       1,237,252  

VanEck Vectors Natural Resource

    37,061       1,271,737  

Vanguard REIT1

    51,569       4,345,204  

Total Exchange Traded Funds
(Cost $36,121,460)

      36,888,986  
    Notes        

Exchange Traded Notes - 10.2%

 

 

Credit Suisse AG, VelocityShares 3x Long Crude Oil ETN, 02/09/32 *

    10,845       178,400  

Deutsche Bank AG, PowerShares DB Gold Double Long, 02/15/38 *,2

    52,685       1,260,541  

iPath Bloomberg Commodity Index Total Return, 06/12/36 *,2

    101,224       2,355,483  

Swedish Export Credit Corp., ELEMENTS Linked to the Rogers International Commodity Index Total Return, 10/24/22*

    504,471       2,537,489  

Total Exchange Traded Notes
(Cost $6,943,482)

      6,331,913  

Purchased Options - 0.2%

   

(See Open Purchased Options schedule)
(Cost $537,524)

      157,879  
    Principal
Amount
       

U.S. Government Obligations - 11.1%

 

 

United States Treasury Bill, 0.768%, 08/03/17 3

  $ 500,000       499,979  

United States Treasury Bill, 0.900%, 09/07/17 3,4

    1,000,000       999,075  

United States Treasury Bill, 0.915%, 08/17/17 3,4

    2,000,000       1,999,187  

United States Treasury Bill, 0.945%, 09/21/17 3,4

    2,000,000       1,997,358  

 

*  Non-income producing security.
1  Some or all of these securities were held as collateral for written options as of July 31, 2017, amounting to a market value of $14,725,246 or 23.7% of net assets.
2  Some or all of these securities, amounting to $7,423,980 or 11.9% of net assets, were out on loan to various brokers.
3  Represents yield to maturity at July 31, 2017.
4  Some or all of these securities are held as collateral for futures contracts. The market value of collateral at July 31, 2017, amounted to $3,996,027 or 6.4% of net assets.
    Principal
Amount
    Value  

United States Treasury Bill, 1.010%, 10/12/17 1,3

  $ 450,000     $ 449,031  

United States Treasury Bill, 1.050%, 10/19/17 3

    1,000,000       997,613  

Total U.S. Government Obligations
(Cost $6,942,385)

      6,942,243  

Short-Term Investments - 31.6%

 

 

Repurchase Agreements - 12.2%5

 

 

Cantor Fitzgerald Securities, Inc., dated 07/31/2017, due 08/01/2017, 1.100% total to be received $1,274,996 (collateralized by various U.S. Government Agency Obligations, 0.000% 10.500%, 08/15/17 - 05/20/67, totaling $1,300,456)

    1,274,957       1,274,957  

Daiwa Capital Markets America dated 07/31/2017, due 08/01/2017, 1.070% total to be received $1,801,075 (collateralized by various U.S. Government Agency Obligations, 0.000% - 6.500%, 08/03/17 - 12/01/51, totaling $1,837,042)

    1,801,021       1,801,021  

MUFG Securities America Inc., dated 07/31/17, due 08/01/17, 1.040% total to be received $1,801,073 (collateralized by various U.S. Government Agency Obligations, 1.919% - 6.000%, 01/01/19 - 08/01/47, totaling $1,837,041)

    1,801,021       1,801,021  

Nomura Securities International, Inc., dated 07/31/2017, due 08/01/2017, 1.060% total to be received $1,801,074 (collateralized by various U.S. Government Agency Obligations, 0.000% -9.000%, 08/04/17 - 06/20/67, totaling $1,837,041)

    1,801,021       1,801,021  

RBC Capital Markets LLC dated 07/31/2017, due 08/01/2017, 1.040% total to be received $904,592 (collateralized by various U.S. Government Agency Obligations, 0.125% - 7.000%, 02/08/18 - 06/20/47, totaling $922,657)

    904,566       904,566  

Total Repurchase Agreements

      7,582,586  
    Shares        

Other Investment Companies - 19.4%

 

 

Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.91% 6

    12,049,751       12,049,751  

Total Short-Term Investments
(Cost $19,632,337)

      19,632,337  

Total Investments - 112.4%
(Cost $70,177,188)

      69,953,358  

Other Assets, less Liabilities - (12.4%)

      (7,699,087

Net Assets - 100.0%

    $ 62,254,271  

 

5  Collateral received from brokers for securities lending was invested in these joint repurchase agreements.
6  Yield shown represents the July 31, 2017, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

 

ETN Exchange Traded Notes
REIT Real Estate Investment Trust
SPDR Standard & Poor’s Depositary Receipt
TIPS Treasury Inflation-Protected Securities
 

 

 

 

12


   
  AMG FQ Global Risk-Balanced Fund
  Schedule of Portfolio Investments (continued)

 

 

 

Open Purchased Options

 
Description    Strike Price      Expiration Date      Number of
Contracts
     Notional
Amount
    Cost      Value  

EURO STOXX 50 (Put)

     3,000        09/15/17        116      $ 5,905     $ 70,995      $ 5,905  

EURO STOXX 50 (Put)

     3,200        10/20/17        21        6,588       9,037        6,588  

EURO STOXX 50 (Put)

     3,225        10/20/17        41        14,463       17,447        14,463  

EURO STOXX 50 (Put)

     3,250        10/20/17        20        7,931       8,116        7,931  

EURO STOXX 50 (Put)

     3,300        08/18/17        108        7,927       36,469        7,927  

S&P 500 Index (Put)

     2,275        08/18/17        76        10,260       159,761        10,260  

S&P 500 Index (Put)

     2,290        09/15/17        5        2,605       9,711        2,605  

S&P 500 Index (Put)

     2,290        10/20/17        56        66,360       75,454        66,360  

S&P 500 Index (Put)

     2,300        09/15/17        64        35,840       150,535        35,840  
             

 

 

    

 

 

 
              Total     $ 537,525      $ 157,879  
             

 

 

    

 

 

 

Open Written Options

 
Description    Strike Price      Expiration Date      Number of
Contracts
     Notional
Amount
    Premium      Value  

EURO STOXX 50 (Call)

     3,650        10/20/17        41      $ (5,339   $ 7,294      $ (5,339

EURO STOXX 50 (Call)

     3,675        10/20/17        41        (3,834     6,716        (3,834

EURO STOXX 50 (Call)

     3,700        08/18/17        108        (128     13,118        (128

EURO STOXX 50 (Call)

     3,725        09/15/17        21        (249     6,338        (249

EURO STOXX 50 (Call)

     3,750        09/15/17        95        (900     25,743        (900

EURO STOXX 50 (Put)

     2,800        09/15/17        116        (2,197     38,823        (2,197

EURO STOXX 50 (Put)

     3,075        10/20/17        21        (3,803     5,302        (3,803

EURO STOXX 50 (Put)

     3,100        10/20/17        20        (4,025     5,083        (4,025

EURO STOXX 50 (Put)

     3,125        10/20/17        41        (9,222     9,934        (9,222

EURO STOXX 50 (Put)

     3,200        08/18/17        108        (2,940     23,022        (2,940

S&P 500 Index (Call)

     2,510        08/18/17        38        (5,130     23,100        (5,130

S&P 500 Index (Call)

     2,520        08/18/17        38        (2,850     18,920        (2,850

S&P 500 Index (Call)

     2,540        09/15/17        69        (16,905     43,954        (16,905

S&P 500 Index (Call)

     2,580        10/20/17        29        (9,280     13,451        (9,280

S&P 500 Index (Call)

     2,590        10/20/17        27        (6,291     9,690        (6,291

S&P 500 Index (Put)

     2,225        08/18/17        76        (6,840     117,639        (6,840

S&P 500 Index (Put)

     2,225        10/20/17        56        (46,480     51,476        (46,480

S&P 500 Index (Put)

     2,240        09/15/17        5        (1,900     6,989        (1,900

S&P 500 Index (Put)

     2,250        09/15/17        64        (25,280     109,945        (25,280
             

 

 

    

 

 

 
              Total     $ 536,537      $ (153,593
             

 

 

    

 

 

 

 

Open Futures Contracts

 
Description    Currency      Number of
Contracts
     Position      Expiration
Date
     Current
Notional
Amount
     Value and
Unrealized
Gain/(Loss)
 

Australia 10-Year Bond

     AUD        41        Long        09/15/17      $ 4,229,710      $ (75,888

Australian SPI 200 Index

     AUD        33        Long        09/21/17        3,736,260        21,004  

Canadian 10-Year Bond

     CAD        37        Long        09/20/17        4,074,377        (210,801

 

 

 

13


   
  AMG FQ Global Risk-Balanced Fund
  Schedule of Portfolio Investments (continued)

 

 

 

Description    Currency      Number of
Contracts
     Position      Expiration
Date
     Current
Notional
Amount
     Value and
Unrealized
Gain/(Loss)
 

E-Mini MSCI Index

     USD        144        Long        09/15/17        7,664,400      $ 341,607  

EURO BUXL 30-Year Bond

     EUR        18        Long        09/07/17        3,454,507        (107,090

EURO STOXX 50

     EUR        229        Long        09/15/17        9,344,449        (16,288

FTSE 100 Index

     GBP        26        Long        09/15/17        2,507,652        (47,366

Hang Seng Index

     HKD        11        Long        08/30/17        1,917,268        31,367  

Russell 2000® Mini Index

     USD        120        Long        09/15/17        8,546,400        41,225  

S&P 500 E-Mini FUT Index

     USD        25        Long        09/15/17        3,085,000        47,952  

S&P/TSX 60 Index

     CAD        22        Long        09/14/17        3,138,849        (60,404

TOPIX Index

     JPY        18        Long        09/07/17        2,644,202        13,715  

U.K. 10-Year Gilt

     GBP        33        Long        09/27/17        5,486,938        (75,896

U.S. Treasury Long Bond

     USD        24        Long        09/20/17        3,671,250        10,202  
                 

 

 

 
                 Total      $ (86,661
                 

 

 

 

The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of July 31, 2017:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

           

Exchange Traded Funds

   $ 36,888,986        —          —        $ 36,888,986  

Exchange Traded Notes

     6,331,913        —          —          6,331,913  

Purchased Options

     157,879        —          —          157,879  

U.S. Government Obligations

     —        $ 6,942,243        —          6,942,243  

Short-Term Investments

           

Repurchase Agreements

     —          7,582,586        —          7,582,586  

Other Investment Companies

     12,049,751        —          —          12,049,751  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 55,428,529      $ 14,524,829        —        $ 69,953,358  
  

 

 

    

 

 

    

 

 

    

 

 

 

Financial Derivative Instruments - Assets

           

Equity Contracts

   $ 496,870        —          —        $ 496,870  

Interest Rate Contracts

     10,202        —          —          10,202  

Financial Derivative Instruments - Liabilities

           

Equity Contracts

     (277,651      —          —          (277,651

Interest Rate Contracts

     (469,675      —          —          (469,675
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Financial Derivative Instruments

   $ (240,254      —          —        $ (240,254
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  All exchange traded funds and exchange traded notes held in the Fund are level 1 securities. For a detailed listing of these securities, please refer to the Fund’s Schedule of Portfolio Investments.

As of July 31, 2017, the Fund had no transfers between levels from the beginning of the reporting period.

 

 

 

14


    
   Notes to Schedules of Portfolio of Investments (unaudited)

 

 

VALUATION OF INVESTMENTS

Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price or the mean between the last quoted bid and ask prices (the “exchange mean price”). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the exchange mean price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.

Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end regulated investment companies are valued at their end of day net asset value per share.

The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third-party pricing services approved by the Board of Trustees of the Trust (the “Board”). Under certain circumstances, the value of certain Fund portfolio investments (including derivatives) may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Fund LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trust’s securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.

The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Fund, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.

With respect to foreign equity securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in a Fund that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.

FAIR VALUE MEASUREMENTS

Generally Accepted Accounting Principles (“U.S. GAAP”) defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds. Unobservable inputs reflect the Funds’ own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.

The three-tier hierarchy of inputs is summarized below:

Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies)

Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities with observable inputs)

Level 3 – inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)

Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period.

 

 

 

15


Item 2. Controls and Procedures.

 

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached as Exhibit 99.CERT


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.

 

AMG FUNDS I
By:  

/s/ Jeffrey T. Cerutti

Jeffrey T. Cerutti, Principal Executive Officer
Date: September 20, 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/ Jeffrey T. Cerutti

Jeffrey T. Cerutti, Principal Executive Officer
Date: September 20, 2017
By:  

/s/ Christopher R. Townsend

Christopher R. Townsend, Principal Financial Officer
Date: September 20, 2017

CERTIFICATION

I, Jeffrey T. Cerutti, certify that:

 

  1. I have reviewed this report on Form N-Q of AMG Funds I;

 

  2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

  3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

  4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation;

 

  d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


  5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: September 20, 2017

 

/s/ Jeffrey T. Cerutti

Jeffrey T. Cerutti
Principal Executive Officer


CERTIFICATION

I, Christopher R. Townsend, certify that:

 

  1. I have reviewed this report on Form N-Q of AMG Funds I;

 

  2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

  3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

  4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation;

 

  d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


  5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: September 20, 2017

 

/s/ Christopher R. Townsend

Christopher R. Townsend
Principal Financial Officer


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