BMO LGM Frontier Markets Equity Fund (BLGFX) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act File Number811-22882

BMO LGM Frontier Markets Equity Fund

(Exact name of registrant as specified in charter)

111 East Kilbourn Avenue, Suite 200

                Milwaukee, WI 53202                  

(Address of principal executive offices) (Zip code)

John M. Blaser

BMO Asset Management Corp.

111 East Kilbourn Avenue, Suite 200

                Milwaukee, WI 53202                  

(Name and address of agent for service)

Copies to:

Michael P. O’Hare, Esq.

Stradley, Ronon, Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103

Registrant’s telephone number, including area code:(800)236-3863

Date of fiscal year end:August 31

Date of reporting period:February 28, 2019

Item 1. Reports to Stockholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940, as amended (the “Act”).

BMO Funds February 28, 2019

Semi-Annual

report

LGM Frontier Markets Equity Fund

Notification of electronic delivery of shareholder materials

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your broker/dealer, investment professional, or financial institution. Instead, the reports will be made available online at bmofunds.com/documents, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by calling1-800-236-FUND (3863), by sending an email request to bmofundsus.services@bmo.com, or by asking your broker/dealer, investment professional, or financial institution.

Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call the Fund toll-free at1-800-236-FUND (3863) or send an email request to bmofundsus.services@bmo.com. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.

Table of Contents

Financial Information
Expense Example	2
Schedule of Investments	3
Notes to Schedule of Investments	4
Statement of Assets and Liabilities	5
Statement of Operations	6
Statements of Changes in Net Assets	7
Financial Highlights	8
Notes to Financial Statements	9

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 28, 2019

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service(12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 28, 2019(9/1/18-2/28/19).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

		Actual Expenses				Hypothetical Expenses
Beginning account value 9/1/18		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Annualized Expense Ratio(1)
$	1,000.00	$	936.10	$	9.60	$	1,014.90	$	9.99		2.00	%

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2018 through February 28, 2019, multiplied by the average account value over the period, multiplied by 181/365 (to reflect theone-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

2

February 28, 2019 (Unaudited)

Schedule of Investments BMO LGM Frontier Markets Equity Fund

Description	Shares		Value
Common Stocks — 90.3%
Argentina — 5.1%
BBVA Banco Frances SA, ADR		474,794	$	5,260,717
Despegar.com Corp. (1)(2)		82,100		1,476,979
				6,737,696
Botswana — 1.6%
Letshego Holdings, Ltd.		13,763,348		2,096,240
Colombia — 1.2%
Bolsa de Valores de Colombia		448,275		1,571,108
Costa Rica — 2.6%
Florida Ice & Farm Co. SA		2,813,131		3,419,897
Croatia — 0.0%
Ledo DD (1)		632		—
Egypt — 11.3%
Alexandria Containers & Goods		294,710		236,475
Commercial International Bank Egypt SAE, GDR		1,294,087		5,156,937
Eastern Tobacco		10,262,444		9,547,413
				14,940,825
Georgia — 4.7%
Bank of Georgia Group PLC		143,408		3,185,623
Georgia Capital PLC (1)		175,473		2,564,779
Georgia Healthcare Group PLC (1)		171,495		468,572
				6,218,974
Ghana — 0.6%
FAN Milk, Ltd. (1)		355,900		519,790
Unilever Ghana, Ltd.		90,900		293,563
				813,353
Kenya — 4.0%
Barclays Bank of Kenya, Ltd.		12,080,000		1,369,710
British American Tobacco Kenya, Ltd.		283,393		1,698,659
East African Breweries, Ltd.		1,151,400		2,219,982
Uchumi Supermarkets PLC (1)		595,500		3,570
				5,291,921
Kuwait — 0.8%
Humansoft Holding Co. KSC		111,364		1,100,797
Mauritius — 2.7%
MCB Group, Ltd.		425,810		3,551,532
Nigeria — 6.1%
Guaranty Trust Bank PLC		69,649,694		6,824,994
Guaranty Trust Bank PLC, GDR		245,000		1,249,500
				8,074,494
Pakistan — 5.9%
Abbott Laboratories Pakistan, Ltd.		515,345		2,452,038
United Bank, Ltd.		5,523,100		5,419,417
				7,871,455
Peru — 8.7%
Alicorp SA		2,982,353		10,171,736
BBVA Banco Continental SA		1,140,832		1,341,952
				11,513,688
Puerto Rico — 4.0%
EVERTEC, Inc.		187,600		5,369,112
Senegal — 5.7%
Sonatel SA		215,858		7,598,382
South Africa — 3.7%
Famous Brands, Ltd. (1)(2)		773,729		4,940,886

Description	Shares or Participation Units		Value
Common Stocks (continued)
Sri Lanka — 2.3%
Ceylon Tobacco Co. PLC		244,387	$	1,927,942
Commercial Bank of Ceylon PLC		1,912,608		1,121,001
				3,048,943
Tanzania (United Republic Of) — 3.3%
Tanzania Breweries, Ltd.		869,747		4,363,527
Tunisia — 0.4%
Delice Holding		148,095		538,207
Turkey — 3.5%
Coca-Cola Icecek AS		734,355		4,622,175
United Arab Emirates — 2.9%
Aramex PJSC		3,218,511		3,846,791
United Kingdom — 1.4%
ASA International Group PLC (1)		320,630		1,828,650
United States — 2.4%
PriceSmart, Inc.		50,416		3,259,899
Vietnam — 4.2%
Phu Nhuan Jewelry JSC		352,560		1,464,948
Vietnam Dairy Products JSC		680,419		4,138,238
				5,603,186
Zimbabwe — 1.2%
Delta Corp., Ltd. (3)		1,960,852		1,588,290
Total Common Stocks (identified cost $121,039,815)				119,810,028
Participation Notes — 5.5%
United Kingdom — 5.5%
HumanSoft Holding Co. KSC, Issued by HSBC Bank PLC, Maturity Date 7/29/2019 (4)		560,457		5,539,938
Saudia Dairy & Foodstuff Co., Issued by HSBC Bank PLC, Maturity Date 5/10/2021 (4)		63,482		1,726,549
				7,266,487
Total Participation Notes (identified cost $7,709,273)				7,266,487
Short-Term Investments — 4.4%
Collateral Investment for Securities on Loan — 1.9%
BMO Institutional Prime Money Market Fund, 2.430% (5)		2,574,722		2,574,722
Mutual Funds — 2.5%					��
BMO Institutional Prime Money Market Fund - Premier Class, 2.433% (6)		3,331,995		3,332,329
Total Short-Term Investments (identified cost $5,906,983)				5,907,051
Total Investments — 100.2% (identified cost $134,656,071)				132,983,566
Other Assets and Liabilities — (0.2)%				(308,650	)
Total Net Assets — 100.0%			$	132,674,916

(See Notes which are an integral part of the Financial Statements)

3

February 28, 2019 (Unaudited)

Schedule of Investments

Industry Allocation as of February 28, 2019
Industry	Value			% of Total Net Assets
Agriculture	$	13,174,014			10.0	%
Banks		30,929,851			23.3
Beverages		15,163,788			11.5
Commercial Services		6,938,481			5.2
Diversified Financial Services		9,047,530			6.9
Food		14,833,334			11.2
Holding Companies-Diversified		1,588,290			1.2
Household Products/Wares		293,563			0.2
Internet		1,476,979			1.1
Investment Companies		2,564,779			1.9
Pharmaceuticals		2,452,038			1.8
Retail		9,665,733			7.2
Telecommunications		7,598,382			5.7
Transportation		4,083,266			3.1
Total Common Stocks		119,810,028			90.3
Participation Notes		7,266,487			5.5
Collateral Investment for Securities on Loan		2,574,722			1.9
Mutual Funds		3,332,329			2.5
Total Investments		132,983,566			100.2
Other Assets and Liabilities		(308,650	)		(0.2	)
Net Assets	$	132,674,916			100.0	%

Notes to Schedule of Investments (Unaudited)

The categories of investments are shown as a percentage of total net assets for the Fund as of February 28, 2019.

(1) Non-income producing.

(2) Certain shares or principal amounts are temporarily on loan to unaffiliated brokers-dealers.

(3) At February 28, 2019, the Fund held a fair valued security valued at $1,588,290 representing 1.2% of net assets. This security has been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund’s Trustees.

(4) Participation notes are issued by banks or broker-dealers and are designed to offer a return linked to the performance of a particular underlying equity security or market.

(5) Please refer to Note 2, subsectionSecurities Lending, in the Notes to Financial Statements.

(6) Denotes an investment in an affiliated entity. Please refer to Note 5, subsectionInvestments in Affiliated Issuers, in the Notes to Financial Statements.

The following acronyms may be referenced throughout this report:

ADR — American Depository Receipt

FDIC — Federal Depository Insurance Corporation

GDR — Global Depository Receipt

LLC — Limited Liability Corporation

PLC — Public Limited Company

(See Notes which are an integral part of the Financial Statements)

4

February 28, 2019 (Unaudited)

Statement of Assets and Liabilities BMO LGM Frontier Markets Equity Fund

Assets:
Investments in unaffiliated issuers, at value	$	129,651,237	(1)
Cash sweep investments in affiliated issuers, at value		3,332,329
Cash		44,120
Cash denominated in foreign currencies		2,377,994	(2)
Dividends and interest receivable		55,029
Receivable for investments sold		175,346
Prepaid expenses and other receivables		26,246
Total assets		135,662,301
Liabilities:
Payable for return of securities lending collateral		2,574,722
Payable for foreign tax expense		139,905
Payable to affiliates, net (Note 5)		158,800
Other liabilities		113,958
Total liabilities		2,987,385
Total net assets	$	132,674,916
Net assets consist of:
Paid-in capital	$	138,171,880
Accumulated loss		(5,496,964	)
Total net assets	$	132,674,916
Net asset value, offering price and redemption proceeds per Investor class of shares (unlimited shares authorized, no par value)	$	9.31
Total Investor class of shares outstanding		14,248,796
Investments, at cost:
Investments in unaffiliated issuers	$	131,323,810
Cash sweep investments in affiliated issuers		3,332,261
Total investments, at cost	$	134,656,071

(1) Including $2,437,731 of securities on loan.

(2) Identified cost of cash denominated in foreign currencies is $2,385,841.

(See Notes which are an integral part of the Financial Statements)

5

Six Months Ended February 28, 2019 (Unaudited)

Statement of Operations BMO LGM Frontier Markets Equity Fund

Investment Income:
Dividend income from:
Unaffiliated issuers	$	1,386,126	(1)
Affiliated issuers		36,362
Securities lending income from (Note 2):
Unaffiliated issuers		1,668
Affiliated issuers		1,365
Total income		1,425,521
Expenses:
Investment advisory fees (Note 5)		985,570
Shareholder servicing fees (Note 5)		164,262
Administration fees (Note 5)		98,557
Portfolio accounting fees		2,382
Recordkeeping fees		26,629
Custodian fees (Note 5)		211,665
Registration fees		11,100
Professional fees		16,612
Printing and postage		10,264
Trustees’ fees		7,776
Miscellaneous		3,321
Total expenses		1,538,138
Deduct:
Expense waivers (Note 5)		(221,263	)
Net expenses		1,316,875
Net investment income		108,646
Realized and unrealized loss on Investments, and foreign currency
Net realized gain on transactions from:
Investments in unaffiliated issuers		(1,626,359	)(2)
Investments in affiliated issuers		52
Foreign currency transactions		(55,913	)
Total net realized loss		(1,682,220	)
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(6,907,515	)
Investments in affiliated issuers		(18	)
Foreign currency translations		(13,826	)
Total net change in unrealized depreciation		(6,921,359	)
Net realized and unrealized gain (loss)		(8,603,579	)
Change in net assets resulting from operations	$	(8,494,933	)

(1) Net of foreign taxes withheld of $116,220.

(2) Net of foreign taxes withheld of $135,322, $135,322 of which is related to appreciated investments held at period end.

(See Notes which are an integral part of the Financial Statements)

6

February 28, 2019 (Unaudited)

Statements of Changes in Net Assets BMO LGM Frontier Markets Equity Fund

	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income	$	108,646		$	1,830,168
Net realized gain (loss) on investments		(1,682,220	)		1,855,201
Net change in unrealized depreciation on investments		(6,921,359	)		(3,971,860	)
Change in net assets resulting from operations		(8,494,933	)		(286,491	)
Distributions to shareholders:
Net investment income and net realized gain		(2,706,754	)		(470,637	)(1)
Change in net assets resulting from distributions to shareholders		(2,706,754	)		(470,637	)
Capital stock transactions:
Proceeds from sale of shares		25,000,000			15,020,000
Net asset value of shares issued to shareholders in payment of distributions declared		2,641,790			448,243
Cost of shares redeemed		(2,596,559	)		(1,158,924	)
Repurchase fees		51,037			23,178
Change in net assets resulting from capital stock transactions		25,096,268			14,332,497
Change in net assets		13,894,581			13,575,369
Net assets:
Beginning of period		118,780,335			105,204,966
End of period	$	132,674,916		$	118,780,335	(2)
Capital stock transactions in shares:
Sale of shares		2,532,928			1,386,814
Shares issued to shareholders in payment of distributions declared		283,150			42,608
Shares redeemed		(269,984	)		(105,045	)
Net change resulting from fund share transactions in shares		2,546,094			1,324,377

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	Year Ended August 31, 2018
Distributions to shareholders from net investment income:	$	(470,632	)
Distributions to shareholders from net realized gain on investments:		(470,647	)

(2) There was no undistributed net investment income included in net assets for the year ended August 31, 2018.

(See Notes which are an integral part of the Financial Statements)

7

Financial Highlights (For a share outstanding throughout the period) BMO LGM Frontier Markets Equity Fund

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Repurchase fees				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																						Gross Expenses			Net Expenses (4)			Net investment income (4)
2019 (5)		$	10.15		$	(0.02	)		$	(0.63	)		$	(0.65	)		$	(0.19	)		$	—			$	(0.19	)		$	0.00	(6)		$	9.31		(6.39	)%		2.34	%		2.00	%		0.17	%		$	132,675		5	%
2018			10.14			0.16				(0.10	)			0.06				(0.05	)			—				(0.05	)			0.00	(6)			10.15		0.53			2.39			2.00			1.49				118,780		17
2017			9.21			0.07				0.92				0.99				(0.07	)			—				(0.07	)			0.01				10.14		10.97			2.56			2.00			0.92				105,205		23
2016			8.44			0.09				0.79				0.88				(0.13	)			—				(0.13	)			0.02				9.21		10.89			2.82			2.00			1.74				72,127		24
2015			10.46			0.18				(2.03	)			(1.85	)			(0.16	)			(0.06	)			(0.22	)			0.05				8.44		(17.34	)		2.88			2.00			1.94				33,502		31
2014 (7)			10.00			0.13				0.31				0.44				—				—				—				0.02				10.46		4.60			3.01			2.00			2.33				34,628		9

(1) Annualized for periods less than one year.

(2) Based on net asset value as of end of period date.

(3) Not annualized for periods less than one year.

(4) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income ratios.

(5) For the six months ended February 28, 2019 (Unaudited).

(6) Repurchase fees consisted of per share amounts less than $0.01.

(7) Reflects operations for the period from December 18, 2013 (inception date) to August 31, 2014.

(See Notes which are an integral part of the Financial Statements)

8

February 28, 2019 (Unaudited)

Notes to Financial Statements BMO LGM Frontier Markets Equity Fund

1. Organization

BMO LGM Frontier Markets Equity Fund (the “Fund”) was established as a Delaware statutory trust on July 3, 2013. The Fund is registered with the Securities and Exchange Commission (the “SEC”) as anon-diversified,closed-end management investment company that operates as an “Interval Fund” under the Investment Company Act of 1940, as amended (the “1940 Act”). An Interval Fund continuously offers its shares to the public, but only offers to repurchase its shares at predetermined intervals. The Fund has set quarterly repurchase intervals. On October 23, 2017, the Fund closed to new investors. The Fund’s inception date is December 18, 2013.

The Fund’s investment objective is to provide capital appreciation. The Fund invests at least 80% of its assets in equity securities of foreign companies located in frontier markets or whose primary business activities or principal trading markets are in frontier markets. Frontier markets are considered to be those markets in any country that is included in the Morgan Stanley Capital International (“MSCI”) Frontier Markets Index, certain countries in the MSCI Emerging Markets Index, and certain other countries that are not included in those indices, as described in the Fund’s Prospectus.

2. Significant Accounting Policies

The Fund is an investment company and follows the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946,Financial Services—Investment Companies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.

Use of Estimates—The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

Investment Valuations—Listed equity securities are valued each trading day at the last sale price or official closing price reported on a national securities exchange, including NASDAQ. Securities listed on a foreign exchange are valued each trading day at the last closing price on the principal exchange on which they are traded immediately prior to the time for determination of Net Asset Value (“NAV”) or at fair value as discussed below. Equity securities without a reported trade, U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities with maturities of 60 days or more, unlisted securities, and private placement securities are generally valued at the mean of the latest bid and asked price as furnished by an independent pricing service. Fixed income securities that are not exchange traded are valued by an independent pricing service, taking into consideration yield, liquidity, risk, credit quality, coupon, maturity, type of issue, and any other factors or market data the pricing service deems relevant. Fixed income securities with remaining maturities of 60 days or less at the time of purchase and of sufficient credit quality, are valued at amortized cost, which approximates fair value. Investments in otheropen-end registered investment companies are valued at net asset value.

Securities or other assets for which market valuations are not readily available, or are deemed to be inaccurate, are valued at fair value as determined in good faith using methods approved by the Board of Trustees (the “Trustees”). The Trustees have established a Pricing Committee, which is responsible for determinations of fair value, subject to the supervision of the Trustees. In determining fair value, the Pricing Committee takes into account all information available and any factors it deems appropriate. Consequently, the price of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security is materially different than the value that would be realized upon the sale of that security and the differences may be material to the NAV of the Fund or the financial statements presented.

Securities held in the Fund may be listed on foreign exchanges that do not value their listed securities at the same time the Fund calculates its NAV. Most foreign markets close well before the Fund values its securities, generally 3:00 p.m. (Central Time). The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim.

The Pricing Committee may determine that a security needs to be fair valued if, among other things, it believes the value of the security might have been materially affected by events occurring after the close of the market in which the security was principally traded, but before the time for determination of the NAV (“a subsequent event”). A subsequent event might include a company-specific development (for example, announcement of a merger that is made after the close of the foreign market), a development that might affect an entire market or region (for example, weather related events) or a potentially global development (such as a terrorist attack that may be expected to have an effect on investor expectations worldwide). The Fund has retained an independent fair value pricing service to assist in fair valuing foreign securities. The service utilizes statistical data based on historical performance of securities, markets, and other data in developing factors used to estimate a fair value.

Foreign Currency Translation—The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities, income, and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The effect of changes in foreign exchange rates on realized and unrealized gains or losses on securities is reflected as a component of such gains or losses.

Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities ofshort-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates

9

Notes to Financial Statements (continued)

on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at each reporting period, resulting from changes in the exchange rate.

Foreign Exchange Contracts—The Fund may enter into foreign currency exchange contracts as a way of managing foreign exchange rate risk. The Fund may enter into these contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross hedge against either specific transactions or portfolio positions. The objective of foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of the Fund’s foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. All foreign currency exchange contracts aremarked-to-market daily at the applicable translation rates resulting in unrealized gains or losses. Realized gains or losses are recorded at the time the foreign currency exchange contract is offset by entering into a closing transaction or by the delivery or receipt of the currency. Risk may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

The Fund did not hold any foreign currency exchange contracts during, or at, the period ended February 28, 2019.

Restricted Securities—Restricted securities are securities that may be resold only upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale at the issuer’s expense either upon demand by the Fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Trustees. The restricted securities are valued at the price provided by dealers in the secondary market or, if no market prices are available, the fair value as determined in good faith using methods approved by the Trustees.

Investment Income, Expenses, and Distributions—Interest income and expenses are accrued daily. The Fund distributes net investment income, if any, and net realized gains (net of any capital loss carryovers) annually. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on theex-dividend date except in the case of certain foreign securities, in which dividends are recorded as soon after theex-dividend date as the Fund’s information agents become aware of such dividends.Non-cash dividends included in dividend income, if any, are recorded at fair market value.Paid-in-kind interest included in interest income, if any, is accrued daily.

Securities Lending—The Fund participates in a securities lending program, providing for the lending of equity securities to qualified brokers, in exchange for the opportunity to earn additional income for participating. State Street Bank & Trust Company serves as the securities lending agent. The Fund receives cash as collateral in return for the securities and records a corresponding payable for collateral due to the respective broker. The amount of cash collateral received is maintained at a minimum level of 100% of the prior day’s fair value on securities and accrued interest loaned. Collateral was reinvested in the State Street Navigator Securities Lending Government Money Market Portfolio through December 16, 2018, and in the BMO Institutional Prime Money Market Fund thereafter. The valuation of collateral is discussed in “Investment Valuations” in Note 2 of the Notes to Financial Statements. When the Fund lends its portfolio securities, it is subject to the risk that it may not be able to get the portfolio securities back from the borrower on a timely basis, in which case the Fund may lose certain investment opportunities. The Fund also is subject to the risks associated with the investments of cash collateral received from the borrower. Cash collateral received as part of the Fund’s securities lending program invested in the BMO Institutional Prime Money Market Fund as of February 28, 2019 was $2,574,722. The value of securities loaned at February 28, 2019 was $2,437,731.

Federal Income Taxes—The policies and procedures of the Fund require compliance with Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), and distribution to shareholders each year substantially all of its income. Accordingly, no provisions for federal tax are necessary. Withholding taxes on foreign dividends and unrealized appreciation on investments have been provided for in accordance with the applicable country’s tax rules and rates.

Commitments and Contingencies—In the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Other—Investment transactions are accounted for on a trade date basis. Net realized gains and losses on securities are computed on the basis of specific security lot identification.

3. Fair Value Measurement

Fair Valuation Measurement defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It establishes a fair value hierarchy that distinguishes between (1) market participant assumptions developed based on market data obtained from sources independent of the reporting issuer (observable inputs), and (2) the reporting issuer’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly and how that information must be incorporated into fair value measurement.

10

BMO LGM Frontier Markets Equity Fund

In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update2018-13, Fair Value Measurement (Topic 820)—Disclosures Framework—Changes to Disclosure Requirements of Fair Value Measurement(“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU2018-13 would be effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years; however, management has elected to early adopt ASU2018-13 effective with the current reporting period as permitted by the standard. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy and disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, when applicable.

Various inputs are used in determining the value of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels listed below:

Level 1—quoted prices in active markets for identical securities. An active market for the security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Common and preferred stocks, options and futures contracts, and U.S. registered mutual funds are generally categorized as Level 1.

Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Fixed income securities, repurchase agreements, cash collateral received as part of the securities lending program, and securities valued by an independent fair value pricing service are generally categorized as Level 2.

Level 3—significant unobservable inputs, including management’s own assumptions in determining the fair value of investments.

For the period ended February 28, 2019, the Fund had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy.

The following is a summary of the inputs used, as of February 28, 2019, in valuing the Fund’s assets:

	Level 1		Level 2		Level 3		Total
Common Stocks
Argentina	$	6,737,696	$	—	$	—	$	6,737,696
Botswana		2,096,240		—		—		2,096,240
Colombia		1,571,108		—		—		1,571,108
Costa Rica		3,419,897		—		—		3,419,897
Egypt		14,940,825		—		—		14,940,825
Georgia		6,218,974		—		—		6,218,974
Ghana		813,353		—		—		813,353
Kenya		5,291,921		—		—		5,291,921
Kuwait		1,100,797		—		—		1,100,797
Mauritius		3,551,532		—		—		3,551,532
Nigeria		8,074,494		—		—		8,074,494
Pakistan		7,871,455		—		—		7,871,455
Peru		11,513,688		—		—		11,513,688
Puerto Rico		5,369,112		—		—		5,369,112
Senegal		7,598,382		—		—		7,598,382
South Africa		4,940,886		—		—		4,940,886
Sri Lanka		3,048,943		—		—		3,048,943
Tanzania (United Republic Of)		4,363,527		—		—		4,363,527
Tunisia		538,207		—		—		538,207
Turkey		4,622,175		—		—		4,622,175
United Arab Emirates		3,846,791		—		—		3,846,791
United Kingdom		1,828,650		—		—		1,828,650
United States		3,259,899		—		—		3,259,899
Vietnam		5,603,186		—		—		5,603,186
Zimbabwe		—		—		1,588,290		1,588,290
Participation Notes		—		7,266,487		—		7,266,487
Short-Term Investments		3,332,329		—		—		3,332,329
Total	$	121,554,067	$	7,266,487	$	1,588,290	$	130,408,844

It is the Fund’s policy to recognize transfers between category levels at the end of the period. As described in Note 2, the Fund has retained an independent pricing service to fair value foreign equity securities for events occurring after the close of the market in which the security is principally traded. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes.

11

Notes to Financial Statements (continued)

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

	Common Stock
Beginning Balance	$	—
Purchases		78,815
Sales		—
Amortization of discount		—
Transfers in		4,255,786
Transfers out		—
Corporate actions		—
Change in unrealized appreciation (depreciation)		(2,746,311	)
Realized gains (losses)		—
Ending Balance	$	1,588,290
Net change in unrealized appreciation (depreciation) from investments still held as of February 29, 2018	$	—

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of November 30, 2018:

	Fair Value at February 29, 2018		Valuation Technique	Unobservable Input	Impact to Valuation from an Increase in input
Common Stock	$	1,588,290	Market Approach	Discounts for Lack of Marketability		Increase

4. Capital Stock

The shares of beneficial interest of the Fund (the “Shares”) were continuously offered under Rule 415 under the Securities Act of 1933, as amended. On October 23, 2017, the Fund closed to new investors. As of February 28, 2019, the Fund had registered a total of 13,200,000 shares with no par value. Investors may purchase shares each business day without any sales charge at a price equal to the NAV per share next determined after receipt of an order to purchase.

The Shares are not redeemable each business day, are not listed for trading on an exchange, and no secondary market currently exists for Fund shares.

Repurchase Offer Policy—The Fund has a policy of making quarterly repurchase offers of between 5% and 25% of the Fund’s outstanding Shares (“Repurchase Offers”) pursuant to Rule23c-3 of the 1940 Act. If shareholders tender more than the repurchase offer amount for any given Repurchase Offer, the Fund may repurchase up to an additional 2% of the outstanding Shares. If Fund shareholders tender more shares than the Fund decides to repurchase, the Fund will repurchase the shares on a pro rata basis, subject to limited exceptions. These periodic Repurchase Offers will be made in intervals of three calendar months with the repurchase pricing date occurring on the last business day of March, June, September and December. The maximum number of days between the repurchase request deadline and the repurchase pricing date shall be no more than 14 days (provided that if the 14th day of such period is not a business day, the repurchase pricing date shall occur on the next business day). A repurchase fee equal to 2% of the value of the Shares repurchased will be applied to offset repurchase expenses.

During the period ended February 28, 2019, the Fund had Repurchase Offers as follows:

Repurchase Date	Repurchase Offer Amount			% of Shares Tendered			Number of Shares Tendered
September 28, 2018		5	%		1.2	%		152,624
December 31, 2018		5			0.9			117,360

5. Investment Adviser Fee and Other Transactions with Affiliates

Investment Adviser Fee—The Fund has entered into an Investment Advisory Agreement with the Adviser, pursuant to which the Adviser will provide general investment advisory services for the Fund. As compensation for its advisory services under the investment advisory agreement with the Fund, the Fund pays the Adviser, on a monthly basis, an annual management fee equal to 1.50% of the average daily net assets of the Fund. The Fund’ssub-adviser is LGM Investments Limited, an affiliate of the Adviser. It is the Adviser’s responsibility to selectsub-advisers for the Fund and to review eachsub-adviser’s performance. The Adviser compensates thesub-adviser based on the level of average daily net assets of the Fund.

The Adviser has agreed to waive or reduce its investment advisory fee or reimburse expenses to the extent necessary to prevent total annual operating expenses (excluding taxes, interest, brokerage commissions, other investment related costs, Acquired Fund Fees and Expenses and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of the Fund’s business) from exceeding 2.00% of the average daily net assets of the Fund. The Adviser may not terminate this arrangement prior to December 31, 2019 unless the investment advisory agreement is terminated. In addition, the Adviser may voluntarily waive any portion of its management fee for the Fund. Any such voluntary waiver by the Adviser may be terminated at any time in the Adviser’s sole discretion. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

12

BMO LGM Frontier Markets Equity Fund

Shareholder Servicing Fee—Under the terms of a Shareholder Services Agreement with the Adviser, the Fund pays the Adviser at the annual rate of 0.25% of average daily net assets for the period. The fee paid to the Adviser is used to finance certain services for shareholders and to maintain shareholder accounts. The Adviser also may voluntarily choose to waive any additional portion of its fee. The Adviser can modify or terminate this voluntary waiver at any time in its sole discretion.

Administration Fee—The fee paid by the Fund to the Adviser, as Administrator, is 0.15% of the Fund’s average daily net assets.

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in a BMO Fund. Issuers that are affiliates of the Fund atperiod-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior periods may result in the Fund owning in excess of 5% of the outstanding shares atperiod-end. The table below reflects transactions during the period with entities that are affiliates as of February 28, 2019 and may include acquisitions of new investments, prior period holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as ofperiod-end.

Security/Fund Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Depreciation			Net Realized Gain		Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Cash Sweep Investments in BMO Institutional Prime Money Market Fund, Premier Class, 2.433%
	$	303,076	$	31,733,793	$	28,704,573	$	(19	)	$	52	$	3,332,329	$	36,362	$	—
Security/Fund Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Depreciation			Net Realized Gain (Loss)		Value, End of Period		Dividends Credited to Income
Collateral Investment for Securities on Loan in BMO Institutional Prime Money Market Fund, 2.430%
	$	—	$	4,594,992	$	2,020,270	$	—		$	—	$	2,574,722	$	1,365

General—Certain of the Officers and Trustees of the Fund are also Officers and Directors of one or more portfolios within the Fund complex, which are affiliates of the Fund. None of the Fund Officers or interested Trustees receives any compensation from the Fund. Certain Officers and Trustees of the Fund are also Officers of the Adviser.

6. Line of Credit

The Fund participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with State Street Bank. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at February 28, 2019. The Fund did not utilize the LOC during the period ended February 28, 2019.

7. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities and short-term obligations, for the period ended February 28, 2019, were $58,271,028 and $35,849,321, respectively.

8. Federal Tax Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are due in part to differing treatments for net operating loss, foreign currency transactions, paydown gain or loss, market discount accretion, premium amortization and expiring capital loss carryforwards.

To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts, on the Statement of Assets and Liabilities, based on their Federal tax basis treatment; temporary differences do not require reclassification and had no impact on the NAV of the Fund.

The Fund complied with FASB interpretationAccounting for Uncertainty in Income Taxes which provides guidance for how uncertain tax provisions should be recognized, measured, presented and disclosed in the financial statements.Accounting for Uncertainty in Income Taxes requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is“more-likely-than-not,” (i.e., greater than 50 percent) of being sustained by the applicable tax authority. Tax positions not deemed to meet themore-likely-than-not threshold may result in a tax benefit or expense in the current year.

Accounting for Uncertainty in Income Taxes requires management of the Fund to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Fund has no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Fund reviewed all tax positions taken or expected to be taken in the preparation of the Fund’s tax returns and concluded thatAccounting for Uncertainty in Income Taxes resulted in no effect on the Fund’s reported net assets or results of operations as of and during the period ended February 28, 2019. Management of the Fund also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

13

Notes to Financial Statements (continued)

The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, unrealized foreign capital gains tax and foreign currency.

Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized Depreciation for Federal Tax Purposes			Net Unrealized Depreciation for Federal Tax Purposes
$	134,656,071	$	16,660,478	$	(18,332,983	)	$	(1,672,505	)

The tax character of distributions reported on the Statements of Changes in Net Assets for the years ended August 31, 2018 and August 31, 2017, were as follows:

2018			2017
Ordinary Income (1)	Long-Term Capital Gains		Ordinary Income (1)		Long-Term Capital Gains
$470,637	$	—	$	580,197	$	—

(1) For tax purposes, short-term capital gain distributions are considered ordinary income.

As of August 31, 2018, the components of distributable earnings on a tax basis are as follows:

Undistributed Ordinary Income	Undistributed Tax-Exempt Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Foreign Currency and Other Adjustments		Unrealized Appreciation
$2,515,470	$	—	$	—	$	(1,045,440	)	$	—	$	4,234,693

As of August 31, 2018, the Fund had anon-expiring, long-term capital loss carry forward of $1,045,440.

9. Subsequent Events

On March 29, 2019, the Fund completed its next quarterly repurchase event. Shares totaling 9,587, or 0.07% of the Fund, were repurchased at a value of $86,498.

On March 29, 2019, the Fund eliminated the 0.25% shareholder servicing fee payable to the Adviser, and renamed the shares “Institutional Class of Shares”.

14

NOTES

15

NOTES

16

This report is authorized for distribution to prospective investors only when preceded or accompanied by the Fund’s prospectus, which contain facts concerning its objective and policies, management fees, expenses, and other information.

Proxy Voting

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free,1-800-236-FUND (3863) and by accessing the Fund’s Statement of Additional Information, which is available on the Fund’s website at http://www.bmofunds.com and on the SEC’s website at http://www.sec.gov.

The Fund’s proxy voting record for the most recent12-month period ended June 30 is available without charge, upon request, by calling toll free,1-800-236-FUND (3863) and by accessing the SEC’s website at http://www.sec.gov.

Disclosure of Portfolio Holdings

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormN-Q. The Fund’s FormN-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling1-800-SEC-0330.

Shares of the Fund are not bank deposits or other obligations of, or issued, endorsed or guaranteed by, BMO Harris Bank, NA, or any of its affiliates. Shares of the Fund, like shares of all mutual funds, are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.

	BMO Funds U.S. Services P.O. Box 55931 Boston, MA 02205-5931
	Contact us 1-800-236-FUND (3863) 414-287-8555
	Learn more bmofunds.com

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

Investment products are:NOT FDIC INSURED — NO BANK GUARANTEE — MAY LOSE VALUE.

© 2019 BMO Financial Corp. (3/18)

Item 2. Code of Ethics.

Not applicable to semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable to semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable to semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Included as part of the report to shareholders filed under Item 1 of this FormN-CSR.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.

Not applicable to semi-annual reports.

Item 8. Portfolio Managers ofClosed-End Management Investment Companies.

Not applicable to semi-annual reports.

Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.

Period	(a) Total Number of   Shares Purchased		(b) Average Price   Paid Per Share		(c) Total Number of       Shares Purchased as   Part of Publicly   Announced Plans or   Programs		(d) Maximum       Number of Shares   that May Yet Be   Purchased Under   the Plans or   Programs
Sep. 1-30, 2018		152,623.52		10.00		0		0
Oct. 1-31, 2018		0		0		0		0
Nov. 1-30, 2018		0		0		0		0
Dec. 1-31, 2018		117,359.98		9.12		0		0
Jan. 1-31, 2019		0		0		0		0
Feb. 1-28, 2019		0		0		0		0
Total		269,983.50		0		0		0

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended, (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule30a-3(b) under the Act. Based on their review, such officers have concluded that the disclosure controls and procedures were effective in ensuring that information required to be disclosed in this report was appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service providers.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Act (17 CFR270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that materially affected, or were reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.

Not applicable to semi-annual reports.

Item 13. Exhibits.

(a) (1) Not applicable to semi-annual reports.

(a) (2) Certifications required pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(a) (3) Not applicable.

(a)(4)  Not applicable.

(b)      Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BMO LGM Frontier Markets Equity Fund

By:  /s/ John M. Blaser              

        John M. Blaser

        President

Date:  May 2, 2019

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/ John M. Blaser              

        John M. Blaser

        President

        (Principal Executive Officer)

Date:  May 2, 2019

By:  /s/ Timothy M. Bonin        

        Timothy M. Bonin

        Treasurer

        (Principal Financial Officer)

Date:  May 2, 2019