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)
Registrants 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 |
|
Chuys 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 Funds 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 Funds 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 Alexanders 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 |
|
Ruths 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 |
REIT |
Real Estate Investment Trust |
SPDR |
Standard & Poors Depositary Receipt |
The following table summarizes the inputs
used to value the Funds 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 Funds 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 |
|
McDonalds 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 |
13
|
|
|
|
|
|
|
AMG GW&K Core Bond Fund |
|
Schedule of Portfolio Investments (continued) |
The following table summarizes the inputs used to value the Funds 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 Boards 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 Trusts 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 Funds 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 Childrens 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 |
|
Francescas 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 |
|
Kirklands, Inc. * |
|
|
7,831 |
|
|
|
73,220 |
|
Liberty Media Corp-Liberty SiriusXM * |
|
|
19,069 |
|
|
|
879,653 |
|
Lowes 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 Funds 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 & Busters Entertainment, Inc. * |
|
|
534 |
|
|
|
33,167 |
|
Discovery Communications, Inc., Class C * |
|
|
12,283 |
|
|
|
284,106 |
|
Extended Stay America, Inc. |
|
|
6,463 |
|
|
|
127,774 |
|
Francescas 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 Alexanders Holdings, Inc. *,3
|
|
|
4,927 |
|
|
|
51,980 |
|
Kirklands, 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 |
|
Lowes 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 Funds 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 & Poors 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 Funds 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 Funds 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 Boards 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 Trusts 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 Funds 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 registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants 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 registrants 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 registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial
reporting. |
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 registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably
likely to materially affect, the registrants internal control over financial reporting; and |
|
5. |
The registrants other certifying officer(s) and I have disclosed to the registrants auditors and audit committee of the registrants 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 registrants 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 registrants 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 registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably
likely to materially affect, the registrants internal control over financial reporting; and |
|
5. |
The registrants other certifying officer(s) and I have disclosed to the registrants auditors and audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
Date: September 20, 2017
|
/s/ Christopher R. Townsend |
Christopher R. Townsend |
Principal Financial Officer |