AMG Funds II N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06431

AMG FUNDS II

(Exact name of registrant as specified in charter)

800 Connecticut Avenue, Norwalk, Connecticut 06854

(Address of principal executive offices) (Zip code)

AMG Funds LLC

800 Connecticut Avenue, Norwalk, Connecticut 06854

(Name and address of agent for service)

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

Date of fiscal year end: DECEMBER 31

Date of reporting period: JANUARY 1, 2015 – JUNE 30, 2015

                                            (Semi-Annual Shareholder Report)

Item 1. Reports to Shareholders

          SEMI-ANNUAL REPORT

    AMG Funds

    June 30, 2015

    AMG Chicago Equity Partners Balanced Fund

    Investor Class: MBEAX    |    Service Class: MBESX    |    Institutional Class: MBEYX

    AMG Chicago Equity Partners Small Cap Value Fund

    Investor Class: CESVX    |    Service Class: CESSX    |    Institutional Class: CESIX

    AMG Managers High Yield Fund

    Investor Class: MHHAX    |    Institutional Class: MHHYX     |    

    AMG Managers Intermediate Duration Government Fund: MGIDX

    AMG Managers Short Duration Government Fund: MGSDX

  www.amgfunds.com     SAR009-0615  

AMG Funds

Semi-Annual Report—June 30, 2015 (unaudited)

TABLE OF CONTENTS	PAGE
ABOUT YOUR FUND’S EXPENSES		2
FUND PERFORMANCE		3
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS
AMG Chicago Equity Partners Balanced Fund		5
AMG Chicago Equity Partners Small Cap Value Fund		14
AMG Managers High Yield Fund		18
AMG Managers Intermediate Duration Government Fund		34
AMG Managers Short Duration Government Fund		40
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS		49
FINANCIAL STATEMENTS
Statement of Assets and Liabilities		56
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts
Statement of Operations		59
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the period
Statements of Changes in Net Assets		60
Detail of changes in assets for the past two periods
Financial Highlights		62
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets
Notes to Financial Statements		69
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks
ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS		78
APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY AGREEMENTS		82

Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds Family of mutual funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.

About Your Fund’s Expenses (unaudited)

As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on $1,000 invested at the beginning of the period and held for the entire period as indicated below.

ACTUAL EXPENSES

The first line of the following table provides information about the 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 following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% 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 the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional 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.

Six Months Ended June 30, 2015	Expense Ratio for the Period			Beginning Account Value 1/01/15		Ending Account Value 6/30/15		Expenses Paid During the Period*
AMG Chicago Equity Partners Balanced Fund
Investor Class
Based on Actual Fund Return		1.09	%	$	1,000	$	1,029	$	5.48
Hypothetical (5% return before expenses)		1.09	%	$	1,000	$	1,019	$	5.46
Service Class
Based on Actual Fund Return		0.94	%	$	1,000	$	1,029	$	4.72
Hypothetical (5% return before expenses)		0.94	%	$	1,000	$	1,020	$	4.70
Institutional Class
Based on Actual Fund Return		0.84	%	$	1,000	$	1,030	$	4.23
Hypothetical (5% return before expenses)		0.84	%	$	1,000	$	1,021	$	4.21
AMG Chicago Equity Partners Small Cap Value Fund**
Investor Class
Based on Actual Fund Return		1.35	%	$	1,000	$	1,001	$	6.70
Hypothetical (5% return before expenses)		1.35	%	$	1,000	$	1,018	$	6.76
Service Class
Based on Actual Fund Return		1.05	%	$	1,000	$	1,003	$	5.21
Hypothetical (5% return before expenses)		1.05	%	$	1,000	$	1,020	$	5.26
Institutional Class
Based on Actual Fund Return		0.95	%	$	1,000	$	1,004	$	4.72
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.76
AMG Managers High Yield Fund
Investor Class
Based on Actual Fund Return		1.15	%	$	1,000	$	1,022	$	5.76
Hypothetical (5% return before expenses)		1.15	%	$	1,000	$	1,019	$	5.76
Institutional Class
Based on Actual Fund Return		0.90	%	$	1,000	$	1,023	$	4.51
Hypothetical (5% return before expenses)		0.90	%	$	1,000	$	1,020	$	4.51
AMG Managers Intermediate Duration Government Fund
Based on Actual Fund Return		0.89	%	$	1,000	$	1,004	$	4.42
Hypothetical (5% return before expenses)		0.89	%	$	1,000	$	1,020	$	4.46
AMG Managers Short Duration Government Fund
Based on Actual Fund Return		0.78	%	$	1,000	$	1,004	$	3.88
Hypothetical (5% return before expenses)		0.78	%	$	1,000	$	1,021	$	3.91

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), then divided by 365.

** Commencement of operations was on January 2, 2015.

2

Fund Performance (unaudited)

Periods ended June 30, 2015

The table below shows the average annual total returns for the periods indicated for each Fund, as well as each Fund’s relative index for the same time periods ended June 30, 2015.

Average Annual Total Returns1	Six Months*			One Year			Five Years			Ten Years			Since Inception			Inception Date
AMG Chicago Equity Partners Balanced Fund2,3,4,5,6
Investor Class		2.86	%		6.12	%		11.70	%		7.47	%		8.12	%		01/02/97
Service Class		2.91	%		6.37	%		—			—			11.49	%		11/30/12
Institutional Class		3.02	%		6.42	%		11.99	%		7.74	%		8.51	%		01/02/97
60% Russell 1000® Index7/40% Barclays U.S. Aggregate Index8		1.09	%		5.35	%		12.05	%		7.26	%		7.56	%		01/02/97	†
AMG Chicago Equity Partners Small Cap Value Fund2,9,10,11
Investor Class		0.10	%		—			—			—			0.10	%		12/31/14
Service Class		0.30	%		—			—			—			0.30	%		12/31/14
Institutional Class		0.40	%		—			—			—			0.40	%		12/31/14
Russell 2000 Value® Index12		0.76	%		—			—			—			0.76	%		12/31/14	†
AMG Managers High Yield Fund2,6,10,13,14,15,16
Investor Class		2.15	%		(0.16	)%		7.99	%		6.53	%		6.53	%		01/02/98
Institutional Class		2.27	%		0.02	%		8.27	%		6.81	%		6.67	%		03/02/98
Barclays U.S. Corporate High Yield Bond Index17		2.53	%		(0.40	)%		8.61	%		7.89	%		6.79	%		12/31/97
AMG Managers Intermediate Duration Government Fund2,6,13,16,18,19		0.37	%		2.30	%		3.22	%		4.57	%		5.92	%		03/31/92
Barclays U.S. Aggregate Index8		(0.10	)%		1.86	%		3.35	%		4.44	%		5.98	%		03/31/92	†
Citigroup Mortgage Index20		0.36	%		2.35	%		2.89	%		4.60	%		5.89	%		03/31/92	†
AMG Managers Short Duration Government Fund2,6,13,16,18,19		0.42	%		0.51	%		0.89	%		2.13	%		3.64	%		03/31/92
BofA Merrill Lynch 6-Month U.S. Treasury Bill Index21		0.11	%		0.17	%		0.21	%		1.73	%		3.14	%		03/31/92	†

The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Investors should carefully consider the Fund’s investment objectives, risks, charges, and expenses before investing. For performance information through the most recent month end, current net asset values per share for the Funds and other information, please call (800) 835-3879 or visit our website at www.amgfunds.com for a free prospectus. Read it carefully before investing or sending money.

Distributed by AMG Distributors, Inc., member FINRA/SIPC.

* Not annualized.

^†  Date reflects inception date of the Fund, not the index.

1	Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Funds are net of expenses and based on the published NAV as of June 30, 2015. All returns are in U.S. dollars ($).
2	From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.
3	Changing interest rates may adversely affect the value of an investment. An increase in interest rates typically causes the value of bonds and other fixed income securities to fall. The Fund is subject to the risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtor’s ability to pay its creditors. Investments in foreign securities, even though publicly traded in the United States, may involve risks which are in addition to those inherent in domestic investments.
4	The Fund is subject to risks associated with investments in mid-capitalization companies such as greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies.
5	The Fund invests in value stocks, which may perform differently from the market as a whole and may be undervalued by the market for a long period of time. Value stocks may underperform growth stocks during given periods.
6	To the extent that the Fund invests in asset-backed or mortgage-backed securities, its exposure to prepayment and extension risks may be greater than investments in other fixed income securities.
7	The Russell 1000® Index measures the performance of approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® represents approximately 92% of the U.S. market. The Russell 1000® Index is unmanaged, is not available for investment, and does not incur expenses.
8	The Barclays U.S. Aggregate Index is an index of the U.S. investment-grade fixed-rate bond market, including both government and corporate bonds. The Barclays U.S. Aggregate Bond Index is unmanaged, is not available for investment, and does not incur expenses.
9	The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings history and a reliance on one or a limited number of products. The stocks of small capitalization companies may experience greater price volatility than those of larger, more established companies.

3

Fund Performance (continued)

10	Investments in international securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets.
11	The Fund is subject to special risk considerations similar to those associated with the direct ownership of real estate. Real estate valuations may be subject to factors such as changing general and local economic, financial, competitive, and environmental conditions.
12	The Russell 2000® Value Index is an unmanaged, market-value weighted, value-oriented index comprised of small stocks that have relatively low price-to-book ratios and lower forecasted growth values. Unlike the Fund, the Russell 2000® Value Index is unmanaged, is not available for investment and does not incur expenses.
13	Fixed income funds are subject to risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtors’ ability to pay their creditors. Changing interest rates may adversely affect the value of a fixed income investment. An increase in interest rates typically causes the value of bonds and other fixed-income securities to fall.
14	The Fund holds securities in which the issuer of the security may default or otherwise be unable to honor a financial obligation. The Fund holds securities rated below investment grade that are especially susceptible to this risk. These issuers may be involved in bankruptcy proceedings, reorganizations,

	or financial restructurings, and are not as strong financially as higher-rated issuers.
15	A short-term redemption fee of 2% will be charged on shares held for less than 90 days.
16	The Fund may use derivative instruments for hedging purposes or as part of its investment strategy. There is a risk that a derivative intended as a hedge may not perform as expected. The main risk with derivatives is that some types can amplify a gain or loss, potentially earning or losing substantially more money than the actual cost of the derivative; or that the counterparty may fail to honor its contract terms, causing a loss for the Fund. Use of these instruments may also involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk that a fund could not close out a position when it would be most advantageous to do so.
17	The Barclays U.S. Corporate High Yield Bond Index is a total return performance benchmark for fixed income securities having a maximum quality rating of Ba1 (as determined by Moody’s Investors Service, Inc.). Unlike the Fund, the Barclays U.S. Corporate High Yield Bond Index is unmanaged, is not available for investment, and does not incur expenses.
18	Many bonds have call provisions which allow the debtors to pay them back before maturity. This is especially true with mortgage securities, which can be paid back anytime. Typically debtors prepay their debt when it is to their advantage (when interest rates drop making a new loan at current rates more attractive), and thus likely to the disadvantage of bondholders, who may have to reinvest prepayment

	proceeds in securities with lower yields. Prepayment risk will vary depending on the provisions of the security and current interest rates relative to the interest rate of the debt.
19	Obligations of certain government agencies are not backed by the full faith and credit of the U.S. Government. If one of these agencies defaulted on a loan, there is no guarantee that the U.S. Government will provide financial support. Additionally, debt securities of the U.S. Government may be affected by changing interest rates and subject to prepayment risk.
20	The Citigroup Mortgage Index includes all outstanding government sponsored fixed-rate mortgage-backed securities, weighted in proportion to their current market capitalization. The Index reflects no deductions for fees, expenses, or taxes. Unlike the Fund, the Citigroup Mortgage Index is unmanaged, is not available for investment, and does not incur expenses.
21	The BofA Merrill Lynch 6-Month U.S. Treasury Bill Index is an unmanaged index that measures returns of 6-month Treasury Bills. Unlike the Fund, the BofA Merrill Lynch 6-Month Treasury Bill Index is unmanaged, is not available for investment, and does not incur expenses.
The Russell 1000® Index and the Russell 2000® Index are registered trademark of Russell Investments. Russell® is a trademark of Russell Investments. Not FDIC Insured, nor bank guaranteed. May lose value.

4

AMG Chicago Equity Partners Balanced Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Sector	AMG Chicago Equity Partners Balanced Fund**
U.S. Government and Agency Obligations		32.9	%
Information Technology		13.5	%
Financials		10.3	%
Health Care		10.2	%
Consumer Discretionary		9.3	%
Industrials		8.4	%
Consumer Staples		4.6	%
Energy		3.2	%
Materials		3.0	%
Utilities		1.6	%
Telecommunication Services		1.5	%
Other Assets and Liabilities		1.5	%

** As a percentage of net assets.

TOP TEN HOLDINGS

Security Name	% of Net Assets
Apple, Inc.*		3.2	%
U.S. Treasury Notes, 2.500%, 05/15/24*		2.6
U.S. Treasury Notes, 2.250%, 11/15/24		2.5
U.S. Treasury Notes, 0.750%, 03/31/18*		2.1
U.S. Treasury Notes, 0.250%, 05/15/16		2.0
U.S. Treasury Notes, 2.625%, 08/15/20*		2.0
U.S. Treasury Bonds, 2.750%, 08/15/42*		1.9
U.S. Treasury Notes, 0.625%, 12/15/16		1.4
The Walt Disney Co.		1.3
U.S. Treasury Notes, 0.750%, 12/31/17		1.2
Top Ten as a Group		20.2	%

* Top Ten Holdings as of December 31, 2014.

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

5

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Shares		Value
Common Stocks - 63.5%
Consumer Discretionary - 9.3%
Amazon.com, Inc.*		510	$	221,386
AMC Entertainment Holdings, Inc., Class A		155		4,755
American Axle & Manufacturing Holdings, Inc.*		980		20,492
American Eagle Outfitters, Inc.		980		16,876
Asbury Automotive Group, Inc.*		390		35,342
Barnes & Noble, Inc.*		200		5,192
Best Buy Co., Inc.		1,650		53,807
Big Lots, Inc.		2,175		97,853
BJ’s Restaurants, Inc.*		50		2,423
Brunswick Corp.		130		6,612
Build-A-Bear Workshop, Inc.*		755		12,072
CarMax, Inc.*		3,690		244,315
CBS Corp., Class B		3,010		167,055
Charter Communications, Inc., Class A*,1		450		77,063
The Cheesecake Factory, Inc.		175		9,544
The Children’s Place, Inc.		225		14,717
Comcast Corp., Class A		13,940		838,352
Cooper Tire & Rubber Co.		110		3,721
Cracker Barrel Old Country Store, Inc.1		195		29,086
Dana Holding Corp.		160		3,293
Darden Restaurants, Inc.		2,370		168,460
Domino’s Pizza, Inc.		3,720		421,848
Dunkin’ Brands Group, Inc.		2,060		113,300
Express, Inc.*		675		12,224
Foot Locker, Inc.		4,030		270,050
The Goodyear Tire & Rubber Co.		6,340		191,151
Grand Canyon Education, Inc.*		100		4,240
Group 1 Automotive, Inc.		50		4,541
Hanesbrands, Inc.		10,560		351,859
Helen of Troy, Ltd.*		85		8,287
The Home Depot, Inc.		2,355		261,711
Hooker Furniture Corp.		130		3,264
HSN, Inc.		325		22,812
Isle of Capri Casinos, Inc.*		1,370		24,865
Jack in the Box, Inc.		180		15,869
Johnson Controls, Inc.		2,180		107,975
Lowe’s Cos., Inc.		5,830		390,435
The Madison Square Garden Co., Class A*		340		28,387
Marriott International Inc., Class A		1,155		85,920
Marriott Vacations Worldwide Corp.		105		9,634
Murphy USA, Inc.*		400		22,328

	Shares		Value
Nautilus, Inc.*		400	$	8,604
The New York Times Co., Class A		135		1,843
Norwegian Cruise Line Holdings, Ltd.*		5,070		284,123
Nutrisystem, Inc.		285		7,091
O’Reilly Automotive, Inc.*		1,290		291,514
Outerwall, Inc.1		50		3,806
Papa John’s International, Inc.		125		9,451
Penske Automotive Group, Inc.		60		3,127
PetMed Express, Inc.		225		3,886
Pool Corp.		270		18,949
Select Comfort Corp.*		700		21,049
Signet Jewelers, Ltd.		770		98,745
Skechers U.S.A., Inc., Class A*		305		33,486
Sotheby’s		100		4,524
Staples, Inc.		2,605		39,883
Starbucks Corp.		6,750		361,901
Starwood Hotels & Resorts Worldwide, Inc.		1,220		98,930
Target Corp.		4,085		333,459
Taylor Morrison Home Corp., Class A*		90		1,832
Time Warner, Inc.		1,390		121,500
Tower International, Inc.*		610		15,891
Ulta Salon Cosmetics & Fragrance, Inc.*		1,130		174,528
Vail Resorts, Inc.		100		10,920
The Walt Disney Co.		8,720		995,301
World Wrestling Entertainment, Inc., Class A1		400		6,600
Total Consumer Discretionary				7,334,059
Consumer Staples - 4.6%
Altria Group, Inc.		3,255		159,202
Archer-Daniels-Midland Co.		3,455		166,600
Bunge, Ltd.		660		57,948
Cal-Maine Foods, Inc.		50		2,610
Casey’s General Stores, Inc.		125		11,968
Central Garden and Pet Co., Class A*		1,035		11,809
The Clorox Co.		730		75,935
Coca-Cola Bottling Co. Consolidated		30		4,532
The Coca-Cola Co.		6,325		248,130
ConAgra Foods, Inc.		1,500		65,580
Constellation Brands, Inc., Class A		4,045		469,301
Costco Wholesale Corp.		200		27,012
Coty, Inc., Class A*		2,700		86,319
Dean Foods Co.		625		10,106
Dr. Pepper Snapple Group, Inc.		3,900		284,310
Fresh Del Monte Produce, Inc.		190		7,345
Hormel Foods Corp.		1,580		89,065

The accompanying notes are an integral part of these financial statements.

6

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Consumer Staples - 4.6% (continued)
John B Sanfilippo & Son, Inc.		50	$	2,595
Kimberly-Clark Corp.		470		49,806
The Kroger Co.		5,165		374,514
Lancaster Colony Corp.		40		3,634
Mead Johnson Nutrition Co.		1,110		100,144
Molson Coors Brewing Co., Class B		2,000		139,620
Monster Beverage Corp.*		2,000		268,040
National Beverage Corp.*		125		2,811
Pilgrim’s Pride Corp.1		6,695		153,784
The Procter & Gamble Co.		3,360		262,886
Reynolds American, Inc.		3,370		251,604
Sanderson Farms, Inc.1		90		6,764
SpartanNash Co.		50		1,627
USANA Health Sciences, Inc.*		30		4,100
Walgreens Boots Alliance, Inc.		300		25,332
The WhiteWave Foods Co.*		4,990		243,911
Total Consumer Staples				3,668,944
Energy - 3.2%
Alon USA Energy, Inc.		330		6,237
Atwood Oceanics, Inc.1		170		4,495
Cabot Oil & Gas Corp.		7,520		237,181
Cameron International Corp.*		1,750		91,648
Carrizo Oil & Gas, Inc.*		350		17,234
Chevron Corp.		2,385		230,081
ConocoPhillips		3,050		187,301
Delek US Holdings, Inc.		380		13,992
EQT Corp.		1,335		108,589
Exxon Mobil Corp.		5,675		472,160
Forum Energy Technologies, Inc.*		105		2,129
Hess Corp.		970		64,874
Matrix Service Co.*		130		2,376
Nabors Industries, Ltd.		17,990		259,596
National Oilwell Varco, Inc.		1,050		50,694
Navios Maritime Acquisition Corp.		2,295		8,239
Noble Corp. PLC		2,190		33,704
Occidental Petroleum Corp.		1,745		135,709
Pacific Ethanol, Inc.*,1		1,505		15,532
PDC Energy, Inc.*		265		14,215
Phillips 66		1,745		140,577
REX American Resources Corp.*		85		5,409
Schlumberger, Ltd.		3,725		321,058
SEACOR Holdings, Inc.*		35		2,483
Teekay Tankers, Ltd., Class A		3,665		24,226

	Shares		Value
US Silica Holdings, Inc.1		55	$	1,615
Valero Energy Corp.		1,170		73,242
Western Refining, Inc.		210		9,160
Total Energy				2,533,756
Financials - 9.6%
AG Mortgage Investment Trust, Inc.		980		16,934
Allied World Assurance Co. Holdings AG		1,640		70,881
The Allstate Corp.		2,490		161,526
Ambac Financial Group, Inc.*		550		9,152
American International Group, Inc.		1,070		66,147
AmTrust Financial Services, Inc.1		10		655
Annaly Capital Management, Inc.		1,690		15,531
Arbor Realty Trust, Inc.		1,035		6,997
ARMOUR Residential REIT, Inc.		10,525		29,575
Aspen Insurance Holdings, Ltd.		2,200		105,380
Associated Banc-Corp.		3,770		76,418
Associated Estates Realty Corp.		320		9,162
Assured Guaranty, Ltd.		2,950		70,771
Axis Capital Holdings, Ltd.		1,490		79,521
Bank of America Corp.		14,280		243,046
The Bank of New York Mellon Corp.		3,170		133,045
Berkshire Hathaway, Inc., Class B*		1,460		198,721
Boston Properties, Inc.		330		39,943
Brixmor Property Group, Inc.		1,040		24,055
Cardinal Financial Corp.		490		10,677
Cathay General Bancorp		460		14,927
CBRE Group, Inc., Class A*		8,790		325,230
The Chubb Corp.		1,060		100,848
Citigroup, Inc.		2,090		115,452
CME Group, Inc.		1,395		129,819
Comerica, Inc.		4,080		209,386
Commerce Bancshares, Inc.		1,840		86,057
Cowen Group, Inc., Class A*		2,575		16,480
CYS Investments, Inc.		585		4,522
DiamondRock Hospitality Co.		890		11,401
Eaton Vance Corp.		1,580		61,825
Employers Holdings, Inc.		90		2,050
EPR Properties		85		4,656
Equinix, Inc.		1,020		259,080
Equity Lifestyle Properties, Inc.		3,150		165,627
Everest Re Group, Ltd.		365		66,434
Extra Space Storage, Inc.		4,280		279,142
FelCor Lodging Trust, Inc.		270		2,668

The accompanying notes are an integral part of these financial statements.

7

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Financials - 9.6% (continued)
Fidelity Southern Corp.		135	$	2,354
First American Financial Corp.		505		18,791
First BanCorp/Puerto Rico*		575		2,770
First Defiance Financial Corp.		235		8,820
First Horizon National Corp.		6,370		99,818
Franklin Resources, Inc.		1,140		55,894
The Goldman Sachs Group, Inc.		490		102,307
Great Southern Bancorp, Inc.		315		13,274
Great Western Bancorp, Inc.		150		3,616
HCI Group, Inc.		70		3,095
Heartland Financial USA, Inc.		155		5,769
Heritage Commerce Corp.		80		769
Hersha Hospitality Trust		163		4,166
HFF, Inc., Class A		470		19,613
Highwoods Properties, Inc.		315		12,584
Hilltop Holdings, Inc.*		1,245		29,992
HomeStreet, Inc.*		130		2,967
Horace Mann Educators Corp.		30		1,091
Hudson Pacific Properties, Inc.		585		16,596
Intercontinental Exchange, Inc.		170		38,014
INTL. FCStone, Inc.*		955		31,744
Iron Mountain, Inc.		5,790		179,490
Janus Capital Group, Inc.		190		3,253
Jones Lang LaSalle, Inc.		750		128,250
JPMorgan Chase & Co.		4,168		282,424
KeyCorp		2,720		40,854
LaSalle Hotel Properties		690		24,467
Lazard, Ltd., Class A		5,600		314,944
Legg Mason, Inc.		1,205		62,094
LTC Properties, Inc.		235		9,776
Maiden Holdings, Ltd.		60		947
MainSource Financial Group, Inc.		20		439
Marcus & Millichap, Inc.*		450		20,763
MBIA, Inc.*		10,920		65,629
McGraw Hill Financial, Inc.		2,090		209,940
Metro Bancorp, Inc.		405		10,587
MFA Financial, Inc.		5,360		39,610
MGIC Investment Corp.*		2,445		27,824
MidWestOne Financial Group, Inc.		60		1,975
Morgan Stanley		2,610		101,242
New Residential Investment Corp.		220		3,353
Northern Trust Corp.		2,860		218,676

	Shares		Value
Piedmont Office Realty Trust, Inc., Class A1		10,980	$	193,138
Pinnacle Financial Partners, Inc.		320		17,398
Preferred Bank		310		9,315
PrivateBancorp, Inc.		500		19,910
The Progressive Corp.		3,120		86,830
PS Business Parks, Inc.		90		6,494
Public Storage		1,300		239,681
RLJ Lodging Trust		180		5,360
Signature Bank*		1,015		148,586
Simon Property Group, Inc.		1,440		249,149
SLM Corp.*		24,890		245,664
Sovran Self Storage, Inc.		120		10,429
Square 1 Financial, Inc., Class A*		85		2,325
State Street Corp.		1,790		137,830
Stock Yards Bancorp, Inc.		110		4,157
Sunstone Hotel Investors, Inc.		937		14,064
SunTrust Banks, Inc.		1,435		61,734
SVB Financial Group*		740		106,545
The Travelers Cos., Inc.		1,285		124,208
Universal Insurance Holdings, Inc.		1,305		31,581
US Bancorp		2,225		96,565
Validus Holdings, Ltd.		950		41,790
Wells Fargo & Co.		4,890		275,014
Western Alliance Bancorp*		650		21,944
Western Asset Mortgage Capital Corp.1		135		1,994
WisdomTree Investments, Inc.1		75		1,647
Total Financials				7,597,674
Health Care - 10.2%
AbbVie, Inc.		8,805		591,608
ABIOMED, Inc.*		515		33,851
Adeptus Health, Inc., Class A*		250		23,748
Aetna, Inc.		1,275		162,512
Affymetrix, Inc.*,1		1,110		12,121
Alexion Pharmaceuticals, Inc.*		1		164
Allergan PLC*		1,330		403,602
AmerisourceBergen Corp.		1,800		191,412
Amgen, Inc.		4,510		692,375
AMN Healthcare Services, Inc.*		355		11,214
Anacor Pharmaceuticals, Inc.*		590		45,684
ANI Pharmaceuticals, Inc.*,1		155		9,618
Anthem, Inc.		1,075		176,451
Array BioPharma, Inc.*		1,160		8,364
Biogen, Inc.*		400		161,576
Bio-Rad Laboratories, Inc., Class A*		200		30,122

The accompanying notes are an integral part of these financial statements.

8

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Health Care - 10.2% (continued)
Bristol-Myers Squibb Co.		1,960	$	130,418
Cambrex Corp.*		195		8,568
Celgene Corp.*		2,000		231,470
Centene Corp.*		6,640		533,856
Cepheid, Inc.*		665		40,665
Chemed Corp.		130		17,043
Cigna Corp.		570		92,340
Depomed, Inc.*		485		10,408
Dyax Corp.*		155		4,108
Edwards Lifesciences Corp.*		3,000		427,290
Emergent BioSolutions, Inc.*		95		3,130
Endo International PLC*		3,330		265,234
Five Star Quality Care, Inc.*		490		2,352
Gilead Sciences, Inc.		7,105		831,853
Globus Medical, Inc., Class A*		100		2,567
Greatbatch, Inc.*		15		809
Halozyme Therapeutics, Inc.*		1,035		23,370
Health Net, Inc.*		770		49,372
Hologic, Inc.*		3,650		138,919
ICU Medical, Inc.*		320		30,611
Illumina, Inc.*		2,710		591,756
Impax Laboratories, Inc.*		60		2,755
Invacare Corp.		435		9,409
Isis Pharmaceuticals, Inc.*,1		505		29,063
Johnson & Johnson		3,595		350,369
Lannett Co., Inc.*,1		135		8,024
Ligand Pharmaceuticals, Inc.*,1		320		32,288
Magellan Health, Inc.*		30		2,102
Mallinckrodt PLC*		2,040		240,149
Medivation, Inc.*		1,180		134,756
Medtronic PLC		1,416		104,926
Merck & Co., Inc.		1,125		64,046
Merit Medical Systems, Inc.*		140		3,016
Merrimack Pharmaceuticals, Inc.*,1		2,860		35,364
Mettler-Toledo International, Inc.*		100		34,146
Molina Healthcare, Inc.*		450		31,635
Natus Medical, Inc.*		805		34,261
Neurocrine Biosciences, Inc.*		450		21,492
NuVasive, Inc.*		205		9,713
Omeros Corp.*,1		635		11,424
Owens & Minor, Inc.		40		1,360
Pfizer, Inc.		8,117		272,163
Phibro Animal Health Corp., Class A		150		5,841

	Shares		Value
Raptor Pharmaceutical Corp.*,1		1,060	$	16,737
Regeneron Pharmaceuticals, Inc.*		200		102,026
Sequenom, Inc.*		6,925		21,052
Sucampo Pharmaceuticals, Inc., Class A*		320		5,258
Tenet Healthcare Corp.*		1,570		90,872
Theravance, Inc.1		250		4,517
Thoratec Corp.*		120		5,348
United Therapeutics Corp.*		770		133,941
Universal Health Services, Inc., Class B		1,215		172,651
Waters Corp.*		890		114,258
WellCare Health Plans, Inc.*		35		2,969
Total Health Care				8,098,492
Industrials - 7.3%
ABM Industries, Inc.		130		4,273
ACCO Brands Corp.*		815		6,333
Acuity Brands, Inc.		2,590		466,148
Aerojet Rocketdyne Holdings, Inc.*		80		1,649
Alaska Air Group, Inc.		2,580		166,229
Albany International Corp., Class A		395		15,721
AMERCO		550		179,801
American Woodmark Corp.*		150		8,228
Argan, Inc.		430		17,342
Atlas Air Worldwide Holdings, Inc.*		255		14,015
Avis Budget Group, Inc.*		3,755		165,520
Barnes Group, Inc.		100		3,899
Brady Corp., Class A		25		619
The Brink’s Co.		100		2,943
Caterpillar, Inc.		810		68,704
CH Robinson Worldwide, Inc.		430		26,828
Cintas Corp.		3,320		280,839
Civeo Corp.		180		553
Commercial Vehicle Group, Inc.*		500		3,605
Con-way, Inc.		610		23,406
CRA International, Inc.*		135		3,762
Cubic Corp.		45		2,141
Deluxe Corp.		350		21,700
Dycom Industries, Inc.*		430		25,306
EMCOR Group, Inc.		60		2,866
Esterline Technologies Corp.*		45		4,290
Federal Signal Corp.		1,135		16,923
General Cable Corp.		685		13,515
General Dynamics Corp.		1,430		202,617
General Electric Co.		10,340		274,734

The accompanying notes are an integral part of these financial statements.

9

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Industrials - 7.3% (continued)
Global Brass & Copper Holdings, Inc.		1,115	$	18,966
The Greenbrier Cos., Inc.		605		28,344
HEICO Corp.1		230		13,409
Hexcel Corp.		3,480		173,095
HNI Corp.		260		13,299
Honeywell International, Inc.		790		80,556
Hurco Cos., Inc.		120		4,154
Hyster-Yale Materials Handling, Inc.		20		1,386
Illinois Tool Works, Inc.		1,520		139,521
Ingersoll-Rand PLC		960		64,723
Insperity, Inc.		600		30,540
Interface, Inc.		1,295		32,440
JB Hunt Transport Services, Inc.		880		72,239
JetBlue Airways Corp.*		1,175		24,393
Joy Global, Inc.		1,980		71,676
KBR, Inc.		6,500		126,620
Kforce, Inc.		645		14,751
Kirby Corp.*		480		36,797
Landstar System, Inc.		450		30,092
Lincoln Electric Holdings, Inc.		1,050		63,935
Meritor, Inc.*		605		7,938
The Middleby Corp.*		1,130		126,820
MRC Global, Inc.*		790		12,198
Mueller Industries, Inc.		95		3,298
MYR Group, Inc.*		175		5,418
Old Dominion Freight Line, Inc.*		1,180		80,954
PAM Transportation Services, Inc.*		230		13,351
Park-Ohio Holdings Corp.		30		1,454
Pitney Bowes, Inc.		7,240		150,664
Polypore International, Inc.*		95		5,689
RBC Bearings, Inc.*		50		3,588
Rockwell Automation, Inc.		695		86,625
Rockwell Collins, Inc.		2,720		251,192
Snap-on,, Inc.		1,310		208,617
Southwest Airlines Co.		8,720		288,545
Spirit AeroSystems Holdings, Inc., Class A*		7,240		398,996
SPX Corp.		1,680		121,615
Stanley Black & Decker, Inc.		670		70,511
Swift Transportation Co.*		275		6,234
TASER International, Inc.*,1		85		2,831
Teledyne Technologies, Inc.*		80		8,441
Titan Machinery, Inc.*,1		310		4,566
TransDigm Group, Inc.*		1,820		408,899

	Shares		Value
Trex Co., Inc.*		260	$	12,852
Trinity Industries, Inc.		4,965		131,225
Triumph Group, Inc.		1,270		83,807
Tyco International PLC		1,575		60,606
Union Pacific Corp.		920		87,740
Universal Forest Products, Inc.		45		2,341
USA Truck, Inc.*		100		2,123
VSE Corp.		55		2,943
Wabash National Corp.*		1,270		15,926
Waste Management, Inc.		1,260		58,401
West Corp.		110		3,311
Total Industrials				5,795,164
Information Technology - 13.5%
Advanced Micro Devices, Inc.*,1		4,220		10,128
Alliance Fiber Optic Products, Inc.		430		7,977
Alpha & Omega Semiconductor, Ltd.*		825		7,210
Apple, Inc.		20,275		2,542,992
Applied Micro Circuits Corp.*		1,295		8,741
Arista Networks, Inc.*,1		3,615		295,490
Aspen Technology, Inc.*		480		21,864
Barracuda Networks, Inc.*		410		16,244
Booz Allen Hamilton Holding Corp.		3,965		100,077
Broadcom Corp., Class A		2,820		145,202
Brocade Communications Systems, Inc.		6,920		82,210
CDK Global, Inc.		1,590		85,828
CDW Corp.		10,660		365,425
Cisco Systems, Inc.		1,200		32,952
Cognizant Technology Solutions Corp., Class A*		1,635		99,882
Convergys Corp.		40		1,020
CSG Systems International, Inc.		125		3,958
Cypress Semiconductor Corp.*		440		5,174
Dealertrack Technologies, Inc.*		40		2,512
Diodes, Inc.*		275		6,630
Dot Hill Systems Corp.*		150		918
DST Systems, Inc.		490		61,730
Electronic Arts, Inc.*		10,895		724,518
EMCORE Corp.*		2,160		13,003
EPAM Systems, Inc.*		345		24,574
ePlus, Inc.*		435		33,343
Euronet Worldwide, Inc.*		450		27,765
F5 Networks, Inc.*		1,210		145,623
Facebook, Inc., Class A*		9,455		810,908
FactSet Research Systems, Inc.		890		144,634
Fairchild Semiconductor International, Inc.*		925		16,077

The accompanying notes are an integral part of these financial statements.

10

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Information Technology - 13.5% (continued)
FleetCor Technologies, Inc.*		1,815	$	283,249
Fortinet, Inc.*		2,220		91,753
Gartner, Inc.*		340		29,165
Gigamon, Inc.*		335		11,052
Global Payments, Inc.		1,210		125,174
Google, Inc., Class A*		320		172,813
Google, Inc., Class C*		401		208,725
Harris Corp.		654		50,299
Hewlett-Packard Co.		4,920		147,649
Higher One Holdings, Inc.*		1,415		4,231
Imation Corp.*,1		790		3,207
Infinera Corp.*		985		20,665
Infoblox, Inc.*		250		6,552
Integrated Device Technology, Inc.*		555		12,043
InterDigital, Inc.		30		1,707
Intuit, Inc.		430		43,331
IPG Photonics Corp.*		4,550		387,546
Jabil Circuit, Inc.		9,275		197,465
Leidos Holdings, Inc.		2,395		96,686
LogMeln, Inc.*		275		17,735
Manhattan Associates, Inc.*		720		42,948
MAXIMUS, Inc.		380		24,977
Mentor Graphics Corp.		50		1,321
Methode Electronics, Inc.		705		19,352
Microsoft Corp.		9,115		402,427
MicroStrategy, Inc., Class A*		150		25,512
Motorola Solutions, Inc.		2,320		133,029
Multi-Fineline Electronix, Inc.*		845		18,472
NeoPhotonics Corp.*		210		1,917
NeuStar, Inc., Class A*		190		5,550
Palo Alto Networks, Inc.*		2,510		438,497
Paycom Software, Inc.*		220		7,513
Paylocity Holding Corp.*		700		25,095
PC Connection, Inc.		245		6,061
Pericom Semiconductor Corp.		295		3,879
Polycom, Inc.*		305		3,489
Quantum Corp.*		3,055		5,132
Rackspace Hosting, Inc.*		2,010		74,752
Rambus, Inc.*		335		4,854
Sanmina Corp.*		415		8,366
Science Applications International Corp.		150		7,927
Silicon Laboratories, Inc.*		30		1,620
SolarWinds, Inc.*		1,885		86,955

	Shares		Value
Stamps.com, Inc.*		185	$	13,610
Super Micro Computer, Inc.*		100		2,958
SYNNEX Corp.		10		732
Tableau Software, Inc., Class A*		4,260		491,178
Tech Data Corp.*		60		3,454
Tessera Technologies, Inc.		685		26,016
Texas Instruments, Inc.		3,220		165,862
TTM Technologies, Inc.*		1,020		10,190
Tyler Technologies, Inc.*		100		12,938
VASCO Data Security International, Inc.*,1		925		27,926
VeriSign, Inc.*,1		1,870		115,416
Visa, Inc., Class A		2,440		163,846
Xerox Corp.		2,090		22,238
Xilinx, Inc.		6,320		279,091
Zebra Technologies Corp., Class A*		2,270		252,084
Total Information Technology				10,692,840
Materials - 3.0%
A. Schulman, Inc.		20		874
Ashland, Inc.		1,290		157,251
Avery Dennison Corp.		630		38,392
Boise Cascade Co.*		175		6,419
Cabot Corp.		1,700		63,393
Century Aluminum Co.*		615		6,414
Chemtura Corp.*		1,095		30,999
Cliffs Natural Resources, Inc.1		5,290		22,906
Commercial Metals Co.		930		14,954
Cytec Industries, Inc.		420		25,423
Ferro Corp.*		160		2,685
Graphic Packaging Holding Co.		350		4,875
International Flavors & Fragrances, Inc.		3,020		330,056
KMG Chemicals, Inc.		165		4,198
LyondellBasell Industries N.V., Class A		5,090		526,917
Neenah Paper, Inc.		100		5,896
Newmont Mining Corp.		2,020		47,187
Olin Corp.		70		1,887
Platform Specialty Products Corp.*		11,365		290,717
Schweitzer-Mauduit International, Inc.		65		2,592
Sealed Air Corp.		8,095		415,921
The Sherwin-Williams Co.		970		266,769
Stepan Co.		80		4,329
Trinseo, S.A.*		455		12,212
United States Steel Corp.		5,240		108,049
Total Materials				2,391,315

The accompanying notes are an integral part of these financial statements.

11

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Telecommunication Services - 1.5%
AT&T, Inc.		5,190	$	184,349
CenturyLink, Inc.		1,960		57,585
Cincinnati Bell, Inc.*		2,640		10,085
IDT Corp., Class B		385		6,961
Inteliquent, Inc.		725		13,340
Intelsat, S.A.*,1		3,040		30,157
Level 3 Communications, Inc.*		4,230		222,794
RingCentral, Inc., Class A*		180		3,328
Verizon Communications, Inc.		13,330		621,311
Windstream Holdings, Inc.1		3,504		22,357
Total Telecommunication Services				1,172,267
Utilities - 1.3%
American States Water Co.		345		12,900
American Water Works Co, Inc.		5,045		245,338
Atlantic Power Corp.		880		2,710
CenterPoint Energy, Inc.		6,555		124,742
Chesapeake Utilities Corp.		10		539
Cleco Corp.		60		3,231
IDACORP, Inc.		150		8,421
Middlesex Water Co.		145		3,271
New Jersey Resources Corp.		815		22,453
Ormat Technologies, Inc.		195		7,348
Public Service Enterprise Group, Inc.		5,360		210,541
Questar Corp.		9,100		190,281
SJW Corp.		110		3,376
UIL Holdings Corp.		115		5,269
Vectren Corp.		5,575		214,526
WGL Holdings, Inc.		120		6,515
Total Utilities				1,061,461
Total Common Stocks (cost $47,523,437)				50,345,972
	Principal Amount
Corporate Bonds and Notes - 2.1%
Financials - 0.7%
American Express Credit Corp., MTN, 2.750%, 09/15/15	$	80,000		80,312
General Electric Capital Corp.,
2.900%, 01/09/17		70,000		72,082
MTN, 1.000%, 01/08/16		50,000		50,145
MTN, Series A, 6.750%, 03/15/32		30,000		39,011

	Principal Amount		Value
US Bancorp, MTN, 2.200%, 04/25/19	$	75,000	$	75,826
Wells Fargo & Co.,
1.250%, 07/20/16		85,000		85,373
MTN, 1.400%, 09/08/17		110,000		110,317
Total Financials				513,066
Industrials - 1.1%
Burlington Northern, Santa Fe LLC, 4.700%, 10/01/19		25,000		27,583
Caterpillar Financial Services Corp., MTN, 1.000%, 11/25/16		65,000		65,175
Colgate-Palmolive Co., MTN, 1.750%, 03/15/19		50,000		49,951
Exxon Mobil Corp., 0.921%, 03/15/17		65,000		65,045
International Business Machines Corp., 4.000%, 06/20/42		66,000		59,648
Johnson & Johnson, 0.700%, 11/28/16		80,000		80,194
McDonald’s Corp., MTN, 6.300%, 10/15/37		20,000		23,728
Medtronic, Inc., 0.875%, 02/27/17		40,000		39,954
PepsiCo, Inc., 2.500%, 05/10/16		75,000		76,186
Pfizer, Inc., 6.200%, 03/15/19		50,000		57,221
Union Pacific Corp., 3.646%, 02/15/24		95,000		97,900
United Parcel Service, Inc., 6.200%, 01/15/38		45,000		56,364
Verizon Communications, Inc., 2.625%, 02/21/20		93,000		92,891
Wal-Mart Stores, Inc., 6.500%, 08/15/37		45,000		57,942
The Walt Disney Co., 1.350%, 08/16/16		50,000		50,357
Total Industrials				900,139
Utilities - 0.3%
Consolidated Edison Co. of New York, Inc., Series 08-B, 6.750%, 04/01/38		55,000		71,575
Dominion Resources, Inc., 4.450%, 03/15/21		30,000		32,208
Georgia Power Co., 5.400%, 06/01/40		25,000		27,754
TransCanada PipeLines, Ltd., 3.800%, 10/01/20		70,000		74,240
Total Utilities				205,777
Total Corporate Bonds and Notes (cost $1,612,661)				1,618,982
U.S. Government and Agency Obligations - 32.9%
Federal Home Loan Mortgage Corporation - 7.7%
FHLMC,
0.875%, 10/14/16 to 02/22/17		370,000		371,944

The accompanying notes are an integral part of these financial statements.

12

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal Home Loan Mortgage Corporation - 7.7% (continued)
1.375%, 05/01/20 1	$	75,000	$	73,969
FHLMC Gold Pool,
2.500%, 07/01/28 to 04/01/30		276,451		280,784
3.000%, 01/01/29 to 04/01/45		1,351,970		1,363,498
3.500%, 03/01/42 to 06/01/45		1,631,892		1,681,418
4.000%, 08/01/43 to 06/01/45		1,529,866		1,620,525
4.500%, 02/01/39 to 03/01/44		390,234		422,156
5.000%, 07/01/35 to 07/01/41		164,154		181,480
5.500%, 04/01/38 to 01/01/39		84,295		94,680
Total Federal Home Loan Mortgage Corporation				6,090,454
Federal National Mortgage Association - 6.0%
FNMA,
0.875%, 05/21/18		185,000		183,945
1.875%, 02/19/19		180,000		183,457
2.500%, 04/01/28		213,865		217,880
2.625%, 09/06/24		115,000		115,184
3.000%, 03/01/42 to 08/01/43		798,118		799,095
3.500%, 11/01/25 to 07/01/43		826,002		861,089
4.000%, 12/01/21 to 11/01/44		600,336		638,594
4.500%, 07/01/39 to 09/01/43		952,150		1,031,795
5.000%, 09/01/33 to 10/01/41		596,980		660,797
5.500%, 02/01/35 to 06/01/38		75,943		85,353
Total Federal National Mortgage Association				4,777,189
U.S. Treasury Obligations - 19.2%
U.S. Treasury Bonds,
2.750%, 08/15/42		1,630,000		1,516,792
4.750%, 02/15/41		595,000		775,127
U.S. Treasury Notes,
0.250%, 05/15/16		1,615,000		1,614,622
0.625%, 12/15/16		1,065,000		1,067,372
0.750%, 12/31/17 to 03/31/18		2,580,000		2,569,906

	Principal Amount		Value
0.875%, 04/15/17	$	800,000	$	804,313
1.000%, 03/31/17		520,000		524,022
1.375%, 05/31/20		645,000		637,391
2.250%, 11/15/24		1,965,000		1,953,179
2.500%, 05/15/24		2,035,000		2,069,978
2.625%, 08/15/20		1,505,000		1,573,900
3.125%, 05/15/21		125,000		133,711
Total U.S. Treasury Obligations				15,240,313
Total U.S. Government and Agency Obligations (cost $26,146,944)				26,107,956
Short-Term Investments - 3.6%
Repurchase Agreements - 1.3%2
Cantor Fitzgerald Securities, Inc., dated 06/30/15, due 07/01/15, 0.150%, total to be received $1,000,004 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.500%, 07/15/15 - 05/20/65, totaling $1,020,000)		1,000,000		1,000,000
Nomura Securities International, Inc., dated 06/30/15, due 07/01/15, 0.140%, total to be received $67,348 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.500%, 07/31/15 - 05/20/65 totaling $68,695)		67,348		67,348
Total Repurchase Agreements				1,067,348
	Shares
Other Investment Companies - 2.3%3
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.08%		1,794,314		1,794,314
Total Short-Term Investments (cost $2,861,662)				2,861,662
Total Investments - 102.1% (cost $78,144,704)				80,934,572
Other Assets, less Liabilities - (2.1)%				(1,677,641	)
Net Assets - 100.0%			$	79,256,931

The accompanying notes are an integral part of these financial statements.

13

AMG Chicago Equity Partners Small Cap Value Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Sector	AMG Chicago Equity Partners Small Cap Value Fund*			Russell 2000® Value Index
Financials		41.2	%		41.7	%
Industrials		16.6	%		12.4	%
Information Technology		9.9	%		10.3	%
Consumer Discretionary		8.3	%		10.8	%
Utilities		6.5	%		6.5	%
Energy		6.2	%		6.3	%
Health Care		4.6	%		4.2	%
Materials		3.0	%		3.9	%
Consumer Staples		2.4	%		3.0	%
Telecommunication Services		0.8	%		0.9	%
Other Assets and Liabilities		0.5	%		0.0	%

* As a percentage of net assets.

TOP TEN HOLDINGS

Security Name	% of Net Assets
PrivateBancorp, Inc.		2.0	%
First American Financial Corp.		1.9
Pinnacle Financial Partners, Inc.		1.7
Universal Insurance Holdings, Inc.		1.7
LaSalle Hotel Properties		1.7
Hudson Pacific Properties, Inc.		1.7
Western Alliance Bancorp		1.6
New Jersey Resources Corp.		1.6
Hilltop Holdings, Inc.		1.6
MGIC Investment Corp.		1.5
Top Ten as a Group		17.0	%

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

14

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Shares		Value
Common Stocks - 99.5%
Consumer Discretionary - 8.3%
AMC Entertainment Holdings, Inc., Class A		2,120	$	65,042
American Eagle Outfitters, Inc.		4,910		84,550
Asbury Automotive Group, Inc.*		700		63,434
Barnes & Noble, Inc.*		2,750		71,390
Build-A-Bear Workshop, Inc.*		4,250		67,957
The Children’s Place, Inc.		1,020		66,718
Cooper Tire & Rubber Co.		1,500		50,745
Cracker Barrel Old Country Store, Inc.1		355		52,952
Dana Holding Corp.		2,120		43,630
Group 1 Automotive, Inc.		745		67,668
Helen of Troy, Ltd.*		1,140		111,139
Hooker Furniture Corp.		390		9,793
Isle of Capri Casinos, Inc.*		6,220		112,893
Marriott Vacations Worldwide Corp.		1,050		96,337
The New York Times Co., Class A		1,760		24,024
Penske Automotive Group, Inc.		775		40,385
Skechers U.S.A., Inc., Class A*		600		65,874
Taylor Morrison Home Corp., Class A*		1,150		23,414
Total Consumer Discretionary				1,117,945
Consumer Staples - 2.4%
Central Garden and Pet Co., Class A*		2,030		23,162
Dean Foods Co.		8,475		137,041
Fresh Del Monte Produce, Inc.		2,645		102,256
Ingles Markets, Inc., Class A		10		478
John B Sanfilippo & Son, Inc.		660		34,254
SpartanNash Co.		640		20,826
Total Consumer Staples				318,017
Energy - 6.2%
Alon USA Energy, Inc.		4,510		85,239
Atwood Oceanics, Inc.		2,300		60,812
Carrizo Oil & Gas, Inc.*		1,920		94,541
Delek US Holdings, Inc.		750		27,615
Forum Energy Technologies, Inc.*		1,470		29,812
Matrix Service Co.*		1,650		30,162
Navios Maritime Acquisition Corp.		18,490		66,379
Pacific Ethanol, Inc.*,1		8,115		83,747
PDC Energy, Inc.*		3,590		192,568
SEACOR Holdings, Inc.*		500		35,470
Teekay Tankers, Ltd., Class A		19,990		132,134
Triangle Petroleum Corp.*,1		70		351
Total Energy				838,830

	Shares		Value
Financials - 41.2%
AG Mortgage Investment Trust, Inc.		11,200	$	193,536
Ambac Financial Group, Inc.*		7,330		121,971
AmTrust Financial Services, Inc.		160		10,482
ARMOUR Residential REIT, Inc.		58,360		163,992
Associated Estates Realty Corp.		4,300		123,109
Cardinal Financial Corp.		6,620		144,250
Cathay General Bancorp		6,240		202,488
Cowen Group, Inc., Class A*		29,770		190,528
CYS Investments, Inc.		7,830		60,526
DiamondRock Hospitality Co.		12,270		157,179
Employers Holdings, Inc.		1,230		28,019
EPR Properties		1,185		64,914
FelCor Lodging Trust, Inc.		3,710		36,655
Fidelity Southern Corp.		1,910		33,310
First American Financial Corp.		6,880		256,005
First BanCorp/Puerto Rico*		7,785		37,524
First Defiance Financial Corp.		3,220		120,847
Great Southern Bancorp, Inc.		4,250		179,095
Great Western Bancorp, Inc.		2,120		51,113
HCI Group, Inc.		1,140		50,399
Heartland Financial USA, Inc.		2,080		77,418
Heritage Commerce Corp.		1,245		11,964
Hersha Hospitality Trust		2,271		58,235
Highwoods Properties, Inc.		4,250		169,787
Hilltop Holdings, Inc.*		8,910		214,642
HomeStreet, Inc.*		1,720		39,250
Horace Mann Educators Corp.		390		14,188
Hudson Pacific Properties, Inc.		7,880		223,556
INTL. FCStone, Inc.*		4,500		149,580
Janus Capital Group, Inc.		2,540		43,485
LaSalle Hotel Properties		6,380		226,235
LTC Properties, Inc.		3,230		134,368
Maiden Holdings, Ltd.		720		11,362
MainSource Financial Group, Inc.		350		7,682
Metro Bancorp, Inc.		5,500		143,770
MGIC Investment Corp.*		17,960		204,385
MidWestOne Financial Group, Inc.		640		21,069
New Residential Investment Corp.		3,115		47,473
Pinnacle Financial Partners, Inc.		4,320		234,878
Preferred Bank		4,230		127,111
PrivateBancorp, Inc.		6,770		269,581
PS Business Parks, Inc.		945		68,182

The accompanying notes are an integral part of these financial statements.

15

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Financials - 41.2% (continued)
RLJ Lodging Trust		2,485	$	74,003
Square 1 Financial, Inc., Class A*		1,220		33,367
Stock Yards Bancorp, Inc.		1,555		58,763
Sunstone Hotel Investors, Inc.		12,890		193,479
Universal Insurance Holdings, Inc.		9,550		231,110
Western Alliance Bancorp*		6,560		221,466
Western Asset Mortgage Capital Corp.1		1,920		28,358
Total Financials				5,564,689
Health Care - 4.6%
Affymetrix, Inc.*		1,350		14,742
AMN Healthcare Services, Inc.*		370		11,688
Anacor Pharmaceuticals, Inc.*		885		68,526
Emergent BioSolutions, Inc.*		1,260		41,517
Five Star Quality Care, Inc.*		6,210		29,808
Greatbatch, Inc.*		260		14,019
ICU Medical, Inc.*		2,070		198,016
Impax Laboratories, Inc.*		880		40,410
Invacare Corp.		1,940		41,962
Magellan Health, Inc.*		530		37,137
Merrimack Pharmaceuticals, Inc.*,1		4,625		57,188
Owens & Minor, Inc.		720		24,480
WellCare Health Plans, Inc.*		505		42,839
Total Health Care				622,332
Industrials - 16.6%
ABM Industries, Inc.		1,630		53,578
ACCO Brands Corp.*		11,090		86,169
Aerojet Rocketdyne Holdings, Inc.*		1,050		21,641
Albany International Corp., Class A		2,680		106,664
ArcBest Corp.		10		318
Argan, Inc.		2,660		107,278
Atlas Air Worldwide Holdings, Inc.*		420		23,083
Barnes Group, Inc.		1,320		51,467
Brady Corp., Class A		340		8,412
Civeo Corp.		2,790		8,565
CRA International, Inc.*		1,700		47,379
Cubic Corp.		610		29,024
Deluxe Corp.		2,610		161,820
Dycom Industries, Inc.*		2,310		135,943
EMCOR Group, Inc.		890		42,515
Esterline Technologies Corp.*		615		58,634
Federal Signal Corp.		5,900		87,969
General Cable Corp.		4,195		82,767

	Shares		Value
Global Brass & Copper Holdings, Inc.		5,190	$	88,282
The Greenbrier Cos., Inc.1		1,350		63,247
HNI Corp.		1,285		65,728
Hurco Cos., Inc.		1,580		54,700
JetBlue Airways Corp.*		5,010		104,008
Meritor, Inc.*		5,320		69,798
MRC Global, Inc.*		10,670		164,745
Mueller Industries, Inc.		1,320		45,830
MYR Group, Inc.*		2,360		73,066
PAM Transportation Services, Inc.*		1,415		82,141
SkyWest, Inc.		30		451
Teledyne Technologies, Inc.*		1,060		111,841
Titan Machinery, Inc.*,1		4,105		60,467
Universal Forest Products, Inc.		655		34,080
USA Truck, Inc.*		1,410		29,934
VSE Corp.		620		33,176
West Corp.		1,480		44,548
Total Industrials				2,239,268
Information Technology - 9.9%
Advanced Micro Devices, Inc.*		18,390		44,136
Alpha & Omega Semiconductor, Ltd.*		7,230		63,190
Comtech Telecommunications Corp.		10		291
Convergys Corp.		520		13,255
CSG Systems International, Inc.		1,570		49,706
Dealertrack Technologies, Inc.*		490		30,767
EMCORE Corp.*		9,290		55,926
ePlus, Inc.*		2,330		178,594
Fairchild Semiconductor International, Inc.*		9,305		161,721
InterDigital, Inc.		400		22,756
Mentor Graphics Corp.		690		18,237
Multi-Fineline Electronix, Inc.*		6,900		150,834
NeoPhotonics Corp.*		2,730		24,925
NeuStar, Inc., Class A*		2,580		75,362
Paylocity Holding Corp.*		1,395		50,011
Polycom, Inc.*		3,780		43,243
Quantum Corp.*		7,790		13,087
Sanmina Corp.*		5,655		114,005
Stamps.com, Inc.*		255		18,760
SYNNEX Corp.		150		10,978
Tech Data Corp.*		750		43,170
Tessera Technologies, Inc.		3,415		129,702
TTM Technologies, Inc.*		2,980		29,770
Total Information Technology				1,342,426

The accompanying notes are an integral part of these financial statements.

16

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Materials - 3.0%
A. Schulman, Inc.		340	$	14,865
Century Aluminum Co.*		5,480		57,156
Commercial Metals Co.		9,905		159,272
KMG Chemicals, Inc.		2,290		58,258
Olin Corp.		930		25,063
Schweitzer-Mauduit International, Inc.		830		33,100
Stepan Co.		1,125		60,874
Total Materials				408,588
Telecommunication Services - 0.8%
Cincinnati Bell, Inc.*		21,315		81,423
IDT Corp., Class B		760		13,741
Inteliquent, Inc.		950		17,480
Total Telecommunication Services				112,644
Utilities - 6.5%
American States Water Co.		4,780		178,724
Chesapeake Utilities Corp.		230		12,386
Cleco Corp.		820		44,157
IDACORP, Inc.		2,030		113,964
Middlesex Water Co.		1,890		42,638
New Jersey Resources Corp.		7,870		216,818

	Shares		Value
Ormat Technologies, Inc.		1,670	$	62,926
SJW Corp.		1,440		44,194
UIL Holdings Corp.		1,590		72,854
WGL Holdings, Inc.		1,660		90,121
Total Utilities				878,782
Total Common Stocks (cost $13,609,855)				13,443,521
	Principal Amount
Short-Term Investments - 1.6%
Repurchase Agreements - 1.6%2
Cantor Fitzgerald Securities, Inc., dated 06/30/15, due 07/01/15, 0.150%, total to be received $219,356 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.500%, 07/15/15 - 05/20/65, totaling $223,742) (cost $219,355)	$	219,355		219,355
Total Investments - 101.1% (cost $13,829,210)				13,662,876
Other Assets, less Liabilities - (1.1)%				(150,796	)
Net Assets - 100.0%			$	13,512,080

The accompanying notes are an integral part of these financial statements.

17

AMG Managers High Yield Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Sector	AMG Managers High Yield Fund**
Industrials		84.7	%
Financials		5.9	%
Floating Rate Senior Loan Interests		5.7	%
Utilities		1.1	%
Other Assets and Liabilities		2.6	%

** As a percentage of net assets.

Rating	AMG Managers High Yield Fund***
Baa		2.8	%
Ba		36.3	%
B		42.7	%
Caa & lower		11.6	%
N/R		6.6	%

*** As a percentage of market value of preferred and fixed-income securities.

TOP TEN HOLDINGS

Security Name	% of Net Assets
HCA, Inc., 7.500%, 02/15/22*		1.6	%
Sprint Corp., 7.875%, 09/15/23*		1.5
Sprint Capital Corp., 8.750%, 03/15/32*		1.2
DISH DBS Corp., 6.750%, 06/01/21*		1.0
Intelsat Jackson Holdings SA, 7.250%, 10/15/20*		1.0
Caesars Entertainment Operating Co., Inc., 9.000%, 02/15/20		1.0
HCA, Inc., 5.375%, 02/01/25		1.0
Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/22		0.9
First Data Corp., (8.750% Cash or 10.000% PIK), 8.750%, 01/15/22*		0.9
Valeant Pharmaceuticals International, Inc., 7.500%, 07/15/21		0.9
Top Ten as a Group		11.0	%

* Top Ten Holdings as of December 31, 2014.

Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

18

AMG Managers High Yield Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Shares		Value
Common Stocks - 0.2%
Reichhold Cayman Equity (Industrials)6 (cost $0)		148	$	62,456
	Principal Amount
Corporate Bonds and Notes - 91.5%
Financials - 5.9%
Ally Financial, Inc.,
3.500%, 01/27/19	$	75,000		74,625
4.125%, 03/30/20		160,000		160,099
4.625%, 05/19/22		40,000		39,550
4.625%, 03/30/25		105,000		100,275
4.750%, 09/10/18		30,000		31,013
6.250%, 12/01/17		30,000		32,100
Bank of America Corp., Series K, 8.000%, 07/29/494		175,000		184,844
Chinos Intermediate Holdings A, Inc., (7.500% Cash or 8.500% PIK), 7.750%, 05/01/19 (a)5		45,000		36,450
CIT Group, Inc.,
3.875%, 02/19/19		100,000		99,500
5.250%, 03/15/18		70,000		72,538
5.500%, 02/15/19 (a)		120,000		125,400
Cogent Communications Finance, Inc., 5.625%, 04/15/21 (a)		90,000		85,725
Communications Sales & Leasing, Inc., 8.250%, 10/15/23 (a)		100,000		98,500
Corrections Corp. of America,
4.125%, 04/01/20		90,000		90,000
4.625%, 05/01/23		110,000		108,350
General Motors Financial Co., Inc.,
3.450%, 04/10/22		40,000		39,253
4.250%, 05/15/23		30,000		30,406
International Lease Finance Corp.,
4.625%, 04/15/21		25,000		25,313
5.875%, 04/01/19		185,000		197,709
6.250%, 05/15/19		40,000		43,350
Interval Acquisition Corp., 5.625%, 04/15/23 (a)		60,000		61,050
Newfield Exploration Co.,
5.375%, 01/01/26		25,000		24,875
5.750%, 01/30/22		10,000		10,200
Realogy Group LLC / Realogy Co-Issuer Corp., 5.250%, 12/01/21 (a)1		20,000		20,325
Serta Simmons Holdings LLC, 8.125%, 10/01/20 (a)		235,000		249,100
Vanguard Natural Resources LLC/VNR Finance Corp., 7.875%, 04/01/20		50,000		48,000
Total Financials				2,088,550
Industrials - 84.5%
1011778 BC ULC / New Red Finance, Inc., 6.000%, 04/01/22 (a)		70,000		72,100

The accompanying notes are an integral part of these financial statements.

19

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
21st Century Oncology, Inc., 11.000%, 05/01/23 (a)	$	65,000	$	64,350
Academy, Ltd. / Academy Finance Corp., 9.250%, 08/01/19 (a)		60,000		63,342
ACCO Brands Corp., 6.750%, 04/30/20		120,000		126,600
ACI Worldwide, Inc., 6.375%, 08/15/20 (a)		50,000		52,813
The ADT Corp.,
3.500%, 07/15/22		95,000		86,450
6.250%, 10/15/211		15,000		15,825
AECOM,
5.750%, 10/15/22 (a)		20,000		20,300
5.875%, 10/15/24 (a)		25,000		25,406
Aerojet Rocketdyne Holdings, Inc., 7.125%, 03/15/21		125,000		133,749
Air Medical Merger Sub Corp., 6.375%, 05/15/23 (a)		40,000		37,800
Aircastle, Ltd., 7.625%, 04/15/20		70,000		79,447
Alcatel-Lucent USA, Inc., 8.875%, 01/01/20 (a)		200,000		218,250
Alere, Inc.,
6.375%, 07/01/23 (a)1		15,000		15,300
6.500%, 06/15/20		20,000		20,700
Allegion US Holding Co., Inc., 5.750%, 10/01/21		30,000		31,125
Altice, S.A., 7.750%, 05/15/22 (a)		200,000		194,000
AMC Entertainment, Inc., 5.750%, 06/15/25 (a)		85,000		83,513
American Axle & Manufacturing, Inc.,
6.250%, 03/15/21		25,000		26,375
7.750%, 11/15/19		60,000		68,100
American Energy-Permian Basin LLC / AEPB Finance Corp.,
7.125%, 11/01/20 (a)		20,000		13,700
7.375%, 11/01/21 (a)		40,000		27,375
8.000%, 06/15/20 (a)		45,000		44,325
Amkor Technology, Inc.,
6.375%, 10/01/22		120,000		121,950
6.625%, 06/01/21		55,000		56,031
Antero Resources Corp.,
5.125%, 12/01/22		20,000		19,000
5.375%, 11/01/21		40,000		38,600
6.000%, 12/01/20		15,000		15,150
Apex Tool Group LLC, 7.000%, 02/01/21 (a)		15,000		13,463
Arch Coal, Inc.,
7.000%, 06/15/191		35,000		5,250
7.250%, 06/15/21		95,000		13,775
8.000%, 01/15/19 (a)		20,000		4,300

The accompanying notes are an integral part of these financial statements.

20

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (a)	$	200,000	$	212,000
Argos Merger Sub, Inc., 7.125%, 03/15/23 (a)		155,000		162,750
Ashland, Inc., 4.750%, 08/15/22 (b)		195,000		192,075
Ashtead Capital, Inc., 6.500%, 07/15/22 (a)		35,000		37,275
Aspect Software, Inc., 10.625%, 05/15/17		80,000		77,000
Associated Materials LLC / AMH New Finance, Inc., 9.125%, 11/01/17		40,000		33,400
Atwood Oceanics, Inc., 6.500%, 02/01/20		75,000		72,750
Audatex North America, Inc., 6.000%, 06/15/21 (a)		150,000		154,688
Avaya, Inc., 7.000%, 04/01/19 (a)		115,000		112,988
AVINTIV Specialty Materials, Inc., 7.750%, 02/01/19		65,000		67,112
Avis Budget Car Rental LLC / Avis Budget Finance, Inc.,
5.125%, 06/01/22 (a)		10,000		9,788
5.500%, 04/01/23		95,000		94,169
B&G Foods, Inc., 4.625%, 06/01/21		55,000		54,381
Baytex Energy Corp., 5.625%, 06/01/24 (a)		20,000		18,650
Belden, Inc., 5.500%, 09/01/22 (a)		85,000		84,788
Berry Petroleum Co. LLC, 6.375%, 09/15/22		20,000		15,700
Blackboard, Inc., 7.750%, 11/15/19 (a)		90,000		85,050
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (a)		50,000		51,750
Bombardier, Inc.,
7.500%, 03/15/25 (a)		105,000		95,813
7.750%, 03/15/20 (a)		40,000		40,420
BreitBurn Energy Partners, L.P. / BreitBurn Finance Corp.,
7.875%, 04/15/22		40,000		33,400
8.625%, 10/15/20		70,000		61,950
Building Materials Corp. of America, 6.750%, 05/01/21 (a)		45,000		47,081
Bumble Bee Holding, Inc., 9.000%, 12/15/17 (a)		110,000		115,638
Caesars Entertainment Operating Co., Inc.,
8.500%, 02/15/201,6,7		125,000		101,250
9.000%, 02/15/201,6,7		490,000		401,450
11.250%, 06/01/176,7		115,000		90,850
California Resources Corp., 6.000%, 11/15/241		85,000		73,525
Carrizo Oil & Gas, Inc., 6.250%, 04/15/23		20,000		20,150
Case New Holland Industrial, Inc., 7.875%, 12/01/17		35,000		38,500
CCO Holdings LLC / CCO Holdings Capital Corp.,
5.125%, 05/01/23 (a)		120,000		117,000
5.250%, 03/15/21		180,000		180,000
5.375%, 05/01/25 (a)		35,000		34,169
6.625%, 01/31/22		30,000		31,350
Central Garden and Pet Co., 8.250%, 03/01/181		134,000		137,551

The accompanying notes are an integral part of these financial statements.

21

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
CenturyLink, Inc.,
Series T, 5.800%, 03/15/22	$	145,000	$	139,019
Series W, 6.750%, 12/01/23		130,000		130,894
The Chemours Co.,
6.625%, 05/15/23 (a)		65,000		63,131
7.000%, 05/15/25 (a)		20,000		19,450
Chesapeake Energy Corp.,
4.875%, 04/15/221		50,000		43,625
6.125%, 02/15/21		25,000		23,625
6.625%, 08/15/20		100,000		98,000
6.875%, 11/15/20		15,000		14,700
Cinemark USA, Inc.,
4.875%, 06/01/23		25,000		24,125
7.375%, 06/15/21		115,000		122,044
Claire’s Stores, Inc.,
8.875%, 03/15/191		70,000		31,850
9.000%, 03/15/19 (a)		145,000		123,250
Clean Harbors, Inc., 5.250%, 08/01/20		110,000		112,200
Clear Channel Worldwide Holdings, Inc.,
6.500%, 11/15/22		85,000		87,444
Series A, 7.625%, 03/15/20		55,000		56,994
Series B, 6.500%, 11/15/22		315,000		329,175
Series B, 7.625%, 03/15/20		155,000		162,169
CNH Industrial Capital LLC, 3.625%, 04/15/18		50,000		50,250
Cogent Communications Group, Inc., 5.375%, 03/01/22 (a)		70,000		69,388
CommScope Technologies Finance LLC, 6.000%, 06/15/25 (a)		55,000		54,931
CommScope, Inc.,
5.000%, 06/15/21 (a)		30,000		29,363
5.500%, 06/15/24 (a)		10,000		9,763
Comstock Resources, Inc., 10.000%, 03/15/20 (a)1		80,000		72,566
Concho Resources, Inc., 5.500%, 04/01/23		15,000		15,075
CONSOL Energy, Inc., 5.875%, 04/15/22		30,000		25,650
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.,
6.125%, 03/01/22		10,000		10,250
6.250%, 04/01/23 (a)		35,000		36,575
Crown Castle International Corp., 5.250%, 01/15/23		80,000		80,880
CSI Compressco L.P. / Compressco Finance, Inc., 7.250%, 08/15/22 (a)		20,000		19,200

The accompanying notes are an integral part of these financial statements.

22

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
Dana Holding Corp.,
5.375%, 09/15/21	$	25,000	$	25,719
5.500%, 12/15/24		55,000		54,313
6.000%, 09/15/23		40,000		41,925
6.750%, 02/15/21		45,000		47,306
DaVita HealthCare Partners, Inc., 5.000%, 05/01/25		70,000		67,550
Denali Borrower LLC / Denali Finance Corp., 5.625%, 10/15/20 (a)		100,000		105,375
Denbury Resources, Inc.,
4.625%, 07/15/23		55,000		46,475
5.500%, 05/01/22		95,000		85,263
DISH DBS Corp.,
5.125%, 05/01/20		20,000		20,275
5.875%, 07/15/22		170,000		167,025
5.875%, 11/15/24		80,000		77,050
6.750%, 06/01/21		350,000		365,750
7.875%, 09/01/19		15,000		16,673
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp., 8.125%, 06/15/21 (a)		155,000		160,038
DreamWorks Animation SKG, Inc., 6.875%, 08/15/20 (a)		89,000		88,555
Energizer Holdings, Inc., 5.500%, 06/15/25 (a)		75,000		74,250
Entegris, Inc., 6.000%, 04/01/22 (a)		65,000		67,031
EP Energy LLC / Everest Acquisition Finance, Inc.,
7.750%, 09/01/22		65,000		68,575
9.375%, 05/01/201		170,000		182,529
Equinix, Inc.,
5.375%, 01/01/22		25,000		25,188
5.750%, 01/01/25		20,000		19,900
EV Energy Partners, L.P. / EV Energy Finance Corp., 8.000%, 04/15/19		105,000		98,175
FCA US LLC / CG Co-Issuer, Inc., 8.250%, 06/15/21		200,000		218,500
FGI Operating Co. LLC / FGI Finance, Inc., 7.875%, 05/01/20		110,000		84,700
First Data Corp.,
8.250%, 01/15/21 (a)		225,000		237,938
8.750%, 01/15/22 (a)		290,000		309,031
8.875%, 08/15/20 (a)		115,000		121,181
12.625%, 01/15/21		155,000		179,413
FMG Resources August 2006 Pty, Ltd., 8.250%, 11/01/19 (a)1		145,000		122,888
Frontier Communications Corp.,
6.250%, 09/15/21		20,000		18,300
6.875%, 01/15/25		35,000		29,400
Gardner Denver, Inc., 6.875%, 08/15/21 (a)1		40,000		36,650

The accompanying notes are an integral part of these financial statements.

23

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
GCI, Inc., 6.750%, 06/01/21	$	90,000	$	91,575
General Cable Corp., 5.750%, 10/01/22 (b)		95,000		89,538
General Motors Co., 4.875%, 10/02/23		175,000		185,373
The Geo Group, Inc., 5.875%, 01/15/22		60,000		62,700
The Goodyear Tire & Rubber Co.,
6.500%, 03/01/21		40,000		42,500
8.750%, 08/15/20		65,000		78,000
Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19 (a)		120,000		123,000
The Gymboree Corp., 9.125%, 12/01/18		75,000		28,875
H&E Equipment Services, Inc., 7.000%, 09/01/221		90,000		93,263
Halcon Resources Corp.,
8.625%, 02/01/20 (a)1		20,000		19,825
8.875%, 05/15/211		125,000		82,813
9.250%, 02/15/22		25,000		16,313
9.750%, 07/15/201		15,000		10,163
HCA Holdings, Inc., 6.250%, 02/15/21		30,000		32,400
HCA, Inc.,
5.250%, 04/15/25		25,000		26,094
5.375%, 02/01/25		330,000		336,204
6.500%, 02/15/20		25,000		28,000
7.500%, 02/15/22		475,000		546,844
HD Supply, Inc.,
5.250%, 12/15/21 (a)		70,000		71,225
11.500%, 07/15/20		70,000		81,200
HealthSouth Corp.,
5.750%, 11/01/24		25,000		25,625
7.750%, 09/15/22		42,000		44,048
The Hertz Corp.,
5.875%, 10/15/20		80,000		81,400
6.250%, 10/15/221		75,000		76,500
7.375%, 01/15/211		80,000		83,700
Hexion, Inc.,
6.625%, 04/15/20		255,000		235,238
8.875%, 02/01/18		80,000		72,600
Hiland Partners, L.P. / Hiland Partners Finance Corp., 7.250%, 10/01/20 (a)		55,000		59,675
The Hillman Group, Inc., 6.375%, 07/15/22 (a)		60,000		57,000
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 5.625%, 10/15/21		40,000		41,748
Hologic, Inc., 5.250%, 07/15/22 (a)8		75,000		76,781

The accompanying notes are an integral part of these financial statements.

24

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
HRG Group, Inc.,
7.750%, 01/15/22 (a)	$	15,000	$	14,681
7.875%, 07/15/19 (a)		15,000		15,863
Huntsman International LLC, 4.875%, 11/15/20		165,000		165,413
iHeartCommunications, Inc.,
9.000%, 03/01/21		105,000		95,419
10.625%, 03/15/23 (a)		45,000		42,750
IMS Health, Inc., 6.000%, 11/01/20 (a)		75,000		77,437
INEOS Group Holdings, S.A., 5.875%, 02/15/19 (a)		200,000		201,750
Infinity Acquisition LLC / Infinity Acquisition Finance Corp., 7.250%, 08/01/22 (a)		50,000		47,250
Infor Software Parent LLC / Infor Software Parent, Inc., (7.125% Cash or 7.875% PIK), 7.125%, 05/01/21 (a)1,5		115,000		115,719
Infor US, Inc., 6.500%, 05/15/22 (a)		155,000		158,100
Intelsat Jackson Holdings SA,
5.500%, 08/01/23		85,000		75,586
6.625%, 12/15/22		55,000		50,325
7.250%, 10/15/20		355,000		352,337
7.500%, 04/01/21		120,000		119,100
Intelsat Luxembourg, S.A., 7.750%, 06/01/211		110,000		92,262
Interline Brands, Inc., (10.000% Cash or 10.750% PIK), 10.000%, 11/15/185		15,000		15,712
International Game Technology PLC, 6.250%, 02/15/22 (a)		200,000		192,000
inVentiv Health, Inc.,
9.000%, 01/15/18 (a)		105,000		109,659
11.000%, 08/15/18 (a), (b)		35,000		33,830
inVentiv Health, Inc., (10.000% Cash or 12.000% PIK), 10.000%, 08/15/18 (a)5		47,700		49,608
Iron Mountain, Inc., 6.000%, 08/15/23		70,000		73,412
Isle of Capri Casinos, Inc., 5.875%, 03/15/21		60,000		61,950
Italics Merger Sub, Inc., 7.125%, 07/15/23 (a)		80,000		79,200
J.C. Penney Corp., Inc., 6.375%, 10/15/36		90,000		67,275
Jack Cooper Holdings Corp., 10.250%, 06/01/20 (a), (b)		120,000		111,600
James Hardie International Finance, Ltd., 5.875%, 02/15/23 (a)		20,000		20,700
JCH Parent, Inc., (10.500% Cash or 11.250% PIK), 10.500%, 03/15/19 (a)5		41,687		31,578
Kindred Healthcare, Inc.,
8.000%, 01/15/20 (a)		70,000		75,075
8.750%, 01/15/23 (a)		25,000		27,250
Kinetic Concepts, Inc. / KCI USA, Inc., 10.500%, 11/01/18 (b)		150,000		160,503
KLX, Inc., 5.875%, 12/01/22 (a)		90,000		91,340
Kraft Heinz Foods Co., 4.875%, 02/15/25 (a)		105,000		114,581
Kratos Defense & Security Solutions, Inc., 7.000%, 05/15/19		95,000		87,044
Laredo Petroleum, Inc., 5.625%, 01/15/22		35,000		34,825

The accompanying notes are an integral part of these financial statements.

25

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
Legacy Reserves, L.P. / Legacy Reserves Finance Corp.,
6.625%, 12/01/21	$	40,000	$	32,600
8.000%, 12/01/20		70,000		61,250
Level 3 Communications, Inc., 5.750%, 12/01/22		60,000		59,700
Level 3 Financing, Inc.,
5.125%, 05/01/23 (a)		60,000		58,575
5.375%, 05/01/25 (a)		60,000		57,900
5.625%, 02/01/23 (a)		40,000		40,550
8.625%, 07/15/20		40,000		42,848
Linn Energy LLC / Linn Energy Finance Corp.,
6.250%, 11/01/19 (b)		50,000		39,375
7.750%, 02/01/21		135,000		105,638
8.625%, 04/15/20		10,000		8,252
LSB Industries, Inc., 7.750%, 08/01/19		104,000		110,760
LTF Merger Sub, Inc., 8.500%, 06/15/23 (a)		90,000		87,300
Magnachip Semiconductor Corp., 6.625%, 07/15/21 (b)		105,000		83,344
Mallinckrodt International Finance, S.A. / Mallinckrodt CB LLC,
4.875%, 04/15/20 (a)		25,000		25,532
5.500%, 04/15/25 (a)		20,000		19,475
Marina District Finance Co., Inc., 9.875%, 08/15/18		125,000		128,906
MarkWest Energy Partners, L.P. / MarkWest Energy Finance Corp.,
4.875%, 12/01/24		30,000		29,475
4.875%, 06/01/25		115,000		112,700
5.500%, 02/15/23		85,000		87,656
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance, 9.750%, 04/01/21 (b)		55,000		60,775
MEG Energy Corp.,
6.375%, 01/30/23 (a)		75,000		69,750
7.000%, 03/31/24 (a)		100,000		96,375
Memorial Production Partners, L.P. / Memorial Production Finance Corp.,
6.875%, 08/01/22		30,000		27,285
7.625%, 05/01/21		80,000		76,600
MGM Resorts International,
5.250%, 03/31/20		155,000		156,937
6.000%, 03/15/231		160,000		162,800
6.750%, 10/01/20		120,000		127,800
7.750%, 03/15/22		125,000		138,125
Michaels Stores, Inc., 5.875%, 12/15/20 (a)		45,000		47,362

The accompanying notes are an integral part of these financial statements.

26

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
Micron Technology, Inc.,
5.250%, 08/01/23 (a)	$	15,000	$	14,419
5.250%, 01/15/24 (a)		35,000		33,141
5.500%, 02/01/25 (a)		25,000		23,487
5.875%, 02/15/22		40,000		40,850
Neiman Marcus Group, Ltd., Inc., 8.000%, 10/15/21 (a)		40,000		42,300
Neiman Marcus Group, Ltd., Inc. (8.750% Cash or 9.500% PIK), 8.750%, 10/15/21 (a)5		65,000		70,119
Nexeo Solutions LLC / Nexeo Solutions Finance Corp., 8.375%, 03/01/18		75,000		69,750
Nexstar Broadcasting, Inc.,
6.125%, 02/15/22 (a)		25,000		25,437
6.875%, 11/15/20		120,000		127,650
The Nielsen Co. Luxembourg SARL, 5.500%, 10/01/21 (a)		50,000		50,687
Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 (a)		90,000		88,537
Noranda Aluminum Acquisition Corp., 11.000%, 06/01/19		35,000		25,025
Numericable-SFR SAS, 6.000%, 05/15/22 (a)		200,000		197,625
NXP, B.V. / NXP Funding LLC, 5.750%, 02/15/21 (a)		200,000		208,750
Oasis Petroleum, Inc., 6.875%, 03/15/221		85,000		86,700
Omega US Sub LLC, 8.750%, 07/15/23 (a)		55,000		55,137
Orbital ATK, Inc., 5.250%, 10/01/21 (a)		60,000		61,500
Oshkosh Corp.,
5.375%, 03/01/22		5,000		5,138
5.375%, 03/01/25		20,000		20,100
Outfront Media Capital LLC / Outfront Media Capital Corp.,
5.250%, 02/15/221		20,000		20,300
5.625%, 02/15/24		15,000		15,394
Party City Holdings, Inc., 8.875%, 08/01/20		80,000		85,800
Peabody Energy Corp.,
6.250%, 11/15/211		85,000		29,325
6.500%, 09/15/20		15,000		5,175
Petco Animal Supplies, Inc., 9.250%, 12/01/18 (a)		110,000		115,225
Plantronics, Inc., 5.500%, 05/31/23 (a)		45,000		45,675
Post Holdings, Inc.,
6.000%, 12/15/22 (a)1		50,000		48,313
6.750%, 12/01/21 (a)		50,000		50,125
7.375%, 02/15/22		150,000		153,187
Project Homestake Merger Corp., 8.875%, 03/01/23 (a)		100,000		97,250
Quebecor Media, Inc., 5.750%, 01/15/23		180,000		180,225
Quebecor World, Escrow, 6.500%, 08/01/27*,6,7		165,000		433
Quintiles Transnational Corp., 4.875%, 05/15/23 (a)		20,000		20,150

The accompanying notes are an integral part of these financial statements.

27

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
Qwest Capital Funding, Inc., 7.750%, 02/15/31	$	65,000	$	67,275
Radio Systems Corp., 8.375%, 11/01/19 (a)		105,000		111,562
Rain CII Carbon LLC / CII Carbon Corp., 8.000%, 12/01/18 (a)		30,000		29,400
Range Resources Corp., 4.875%, 05/15/25 (a)		45,000		43,882
Regal Entertainment Group, 5.750%, 03/15/22		55,000		55,822
Regency Energy Partners, L.P. / Regency Energy Finance Corp.,
5.000%, 10/01/22		35,000		35,605
5.500%, 04/15/23		45,000		46,026
5.750%, 09/01/20		5,000		5,465
5.875%, 03/01/22		20,000		21,319
Reichhold Holdings International B.V.,
12.000%, 03/13/176		79,000		79,000
15.000%, 03/13/176		50,000		50,000
Reichhold Industries, Inc., (9.000% Cash or 11.000% PIK), 9.000%, 05/08/17 (a)5,6,7		151,046		—
Reichhold LLC, 12.000%, 03/13/176		35,000		35,000
Rentech Nitrogen Partners, L.P. / Rentech Nitrogen Finance Corp., 6.500%, 04/15/21 (a)		40,000		40,200
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu,
5.750%, 10/15/20		145,000		148,987
9.000%, 04/15/19		230,000		238,912
RHP Hotel Properties, L.P. / RHP Finance Corp.,
5.000%, 04/15/21		135,000		135,675
5.000%, 04/15/23 (a)		30,000		29,550
Rite Aid Corp., 6.125%, 04/01/23 (a)		110,000		113,712
RKI Exploration & Production LLC / RKI Finance Corp., 8.500%, 08/01/21 (a)		45,000		44,775
RSI Home Products, Inc., 6.500%, 03/15/23 (a)		105,000		106,312
RSP Permian, Inc., 6.625%, 10/01/22 (a)		15,000		15,412
Sabine Pass Liquefaction LLC,
5.625%, 03/01/25 (a)		50,000		49,688
5.750%, 05/15/24		100,000		100,125
6.250%, 03/15/22		100,000		104,000
Sabre GLBL, Inc., 5.375%, 04/15/23 (a)		70,000		69,300
Sally Holdings LLC / Sally Capital, Inc., 5.500%, 11/01/231		20,000		20,900
Sanchez Energy Corp., 6.125%, 01/15/231		55,000		49,500
SandRidge Energy, Inc., 8.125%, 10/15/22		70,000		30,275
SBA Telecommunications, Inc., 5.750%, 07/15/20		45,000		46,856
The Scotts Miracle-Gro Co., 6.625%, 12/15/20		60,000		63,000
Sealed Air Corp., 6.500%, 12/01/20 (a)		30,000		33,225
Sensata Technologies BV, 5.000%, 10/01/25 (a)		20,000		19,525
Service Corp. International, 7.500%, 04/01/27		115,000		132,825
The ServiceMaster Co. LLC, 7.000%, 08/15/20		43,000		45,634

The accompanying notes are an integral part of these financial statements.

28

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
Sinclair Television Group, Inc.,
5.375%, 04/01/21	$	85,000	$	85,956
6.125%, 10/01/22		40,000		41,300
Sirius XM Radio, Inc.,
4.625%, 05/15/23 (a)		25,000		23,562
5.375%, 04/15/25 (a)		85,000		82,237
5.750%, 08/01/21 (a)1		125,000		128,906
6.000%, 07/15/24 (a)		15,000		15,187
SM Energy Co.,
5.625%, 06/01/25		30,000		29,769
6.125%, 11/15/22 (a)		20,000		20,654
Spectrum Brands, Inc.,
5.750%, 07/15/25 (a)		40,000		40,800
6.375%, 11/15/20		35,000		37,187
6.625%, 11/15/22		25,000		26,750
6.750%, 03/15/20		60,000		63,330
Sprint Capital Corp.,
6.875%, 11/15/28		15,000		12,937
8.750%, 03/15/32		435,000		424,125
Sprint Communications, Inc., 9.000%, 11/15/18 (a)		55,000		62,247
Sprint Corp.,
7.250%, 09/15/21		45,000		43,987
7.625%, 02/15/25		50,000		47,250
7.875%, 09/15/23		535,000		523,058
SunGard Data Systems, Inc.,
6.625%, 11/01/19		75,000		77,719
7.625%, 11/15/20		30,000		31,462
Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 4.125%, 11/15/19 (a)		20,000		19,900
TEGNA, Inc.,
4.875%, 09/15/21 (a)		15,000		14,925
5.500%, 09/15/24 (a)		15,000		14,888
Telecom Italia S.P.A., 5.303%, 05/30/24 (a)		200,000		200,000
Tempur Sealy International, Inc., 6.875%, 12/15/20		60,000		63,900
Tenet Healthcare Corp.,
4.500%, 04/01/21		10,000		9,937
4.750%, 06/01/20		90,000		91,800
6.000%, 10/01/20		100,000		106,875
6.750%, 06/15/23 (a)		55,000		56,169
8.000%, 08/01/20		205,000		213,969
8.125%, 04/01/22		190,000		208,240

The accompanying notes are an integral part of these financial statements.

29

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
Terex Corp.,
6.000%, 05/15/211	$	155,000	$	156,550
6.500%, 04/01/20		60,000		63,150
Tesoro Logistics L.P. / Tesoro Logistics Finance Corp.,
5.875%, 10/01/20		93,000		96,022
6.125%, 10/15/21		45,000		47,137
6.250%, 10/15/22 (a)		20,000		20,800
Time, Inc., 5.750%, 04/15/22 (a)		80,000		77,600
T-Mobile USA, Inc.,
6.633%, 04/28/21		45,000		46,800
6.731%, 04/28/22		210,000		219,450
TransDigm, Inc., 6.500%, 05/15/25 (a)		60,000		59,625
Trinidad Drilling, Ltd., 7.875%, 01/15/19 (a)		90,000		90,450
Triumph Group, Inc., 4.875%, 04/01/21		80,000		78,800
UCI International, Inc., 8.625%, 02/15/19		115,000		102,925
Ultra Petroleum Corp., 6.125%, 10/01/24 (a)		50,000		44,125
United Rentals North America, Inc.,
7.375%, 05/15/20		50,000		53,599
7.625%, 04/15/22		100,000		108,750
8.250%, 02/01/21		101,000		108,449
United States Cellular Corp., 6.700%, 12/15/33		50,000		46,860
United Surgical Partners International, Inc., 9.000%, 04/01/20		100,000		106,750
Valeant Pharmaceuticals International, Inc.,
5.875%, 05/15/23 (a)		180,000		184,950
6.125%, 04/15/25 (a)		125,000		128,906
6.750%, 08/15/21 (a)		100,000		104,500
7.000%, 10/01/20 (a)		55,000		57,337
7.250%, 07/15/22 (a)		130,000		138,612
7.500%, 07/15/21 (a)		280,000		302,050
Videotron, Ltd., 5.375%, 06/15/24 (a)		35,000		35,087
Virgin Media Secured Finance PLC, 5.375%, 04/15/21 (a)		180,000		186,075
Watco Cos. LLC / Watco Finance Corp., 6.375%, 04/01/23 (a)		55,000		55,962
Whiting Canadian Holding Co. ULC, 8.125%, 12/01/19		90,000		94,669
Whiting Petroleum Corp.,
5.750%, 03/15/211		105,000		103,845
6.250%, 04/01/23 (a)		50,000		49,875
Williams Partners, L.P. / ACMP Finance Corp., 6.125%, 07/15/22		60,000		63,773
Wind Acquisition Finance, S.A., 7.375%, 04/23/21 (a)		200,000		202,750

The accompanying notes are an integral part of these financial statements.

30

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 84.5% (continued)
Windstream Corp.,
7.500%, 04/01/231	$	115,000	$	100,912
7.750%, 10/01/21		230,000		211,600
WMG Acquisition Corp.,
5.625%, 04/15/22 (a)		20,000		20,100
6.000%, 01/15/21 (a)		56,000		57,400
WPX Energy, Inc., 5.250%, 09/15/241		25,000		23,156
WR Grace & Co.,
5.125%, 10/01/21 (a)		20,000		20,200
5.625%, 10/01/24 (a)		10,000		10,163
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.500%, 03/01/25 (a)		110,000		105,325
XPO Logistics, Inc., 6.500%, 06/15/22 (a)		80,000		78,500
Zayo Group LLC / Zayo Capital, Inc.,
6.000%, 04/01/23 (a)		120,000		118,824
6.375%, 05/15/25 (a)		35,000		34,037
Zebra Technologies Corp., 7.250%, 10/15/22 (a)		130,000		141,050
ZF North America Capital, Inc., 4.750%, 04/29/25 (a)1		175,000		170,079
Total Industrials				29,878,679
Utilities - 1.1%
The AES Corp.,
4.875%, 05/15/23		25,000		23,625
7.375%, 07/01/21		125,000		137,813
Dynegy, Inc.,
7.375%, 11/01/22 (a)		80,000		84,200
7.625%, 11/01/24 (a)		40,000		42,500
NRG Energy, Inc.,
6.250%, 07/15/22		40,000		40,800
7.875%, 05/15/21		45,000		48,150
Total Utilities				377,088
Total Corporate Bonds and Notes (cost $33,111,635)				32,344,317
Floating Rate Senior Loan Interests - 5.7%10
21st Century Oncology, Inc., Tranche B Term Loan, 6.500%, 04/30/22 (09/30/15)		100,000		99,250
Academy, LTD., Initial Term Loan,
4.500%, 08/03/18 (07/02/15)		46,368		46,412
4.500%, 08/03/18 (09/03/15)		52,363		52,412
Accellent, Inc., Initial Term Loan (First Lien), 4.500%, 03/12/21 (09/14/15)		98,750		98,338
Alliance Laundry Systems LLC, Term Loan (First Lien), 4.250%, 12/10/18 (07/07/15)		95,548		95,906
American Energy - Marcelus, LLC, Initial Loan (First Lien), 5.250%, 08/04/20 (08/05/15)		65,000		50,667

The accompanying notes are an integral part of these financial statements.

31

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Floating Rate Senior Loan Interests - 5.7% (continued)10
Bway Intermediate Company, Inc., Initial Term Loan,
5.500%, 08/14/20 (08/25/15)	$	61,686	$	62,081
5.500%, 08/14/20 (09/08/15)		2,664		2,681
CD&R Millennium Holdco. 6 S.A.R.L. (Mauser Holdings), Initial Dollar Term Loan (First Lien), 4.500%, 07/31/21 (07/31/15)		64,513		64,486
CD&R Millennium Holdco. 6 S.A.R.L. (Mauser Holdings), Initial Term Loan (Second Lien), 8.750%, 07/31/22 (07/30/15)		70,000		69,388
Clear Channel Communications, Inc., Term Loan D, 6.937%, 01/30/19 (07/31/15)		34,927		32,337
Diamond Foods, Loan, 4.250%, 08/20/18 (07/31/15)		98,997		98,997
Evergreen Skills LUX S.A R.L., Initial Term Loan (First Lien), 5.750%, 04/28/21 (07/31/15)		99,250		97,239
Evergreen Skills LUX S.A R.L., Initial Term Loan (Second Lien), 9.250%, 04/28/22 (07/31/15)		100,000		94,250
Hercules Achievement, Inc. (Varsity Brands), Initial Term Loan (First Lien), 5.000%, 12/10/21 (09/30/15)		94,525		95,177
The Hillman Group, Inc., Initial Term Loan, 4.500%, 06/30/21 (09/30/15)		99,000		99,866
Informatica, Term Loan B, 4.500%, 05/20/22 (09/02/15)8		20,000		19,979
Integra Telecom Holdings, Inc., Term Loan B,
5.250%, 08/08/20 (06/30/15)		62,082		61,761
5.250%, 08/08/20 (07/31/15)		65,000		64,665
Interline Brands, 1st Lien Term Loan, 4.000%, 03/17/21 (09/17/15)		79,198		79,148
Neiman Marcus Group, Inc., Other Term Loan,
4.250%, 10/25/20 (07/31/15)		400		398
4.250%, 10/25/20 (09/08/15)		157,595		156,905
New Albertsons, Inc., Term B Loan, 4.750%, 06/27/21 (09/28/15)		99,250		99,510
Ortho-Clinical Diagnostics Holdings Luxembourg S.A.R.L., Initial Term Loan, 4.750%, 06/30/21 (09/25/15)		98,999		97,199
Riverbed Technology Inc., Term Loan B, 6.000%, 04/24/22 (09/30/15)		79,800		80,654
Steinway Musical Instruments, Inc., 1st Lien Term Loan, 4.750%, 09/19/19 (07/30/15)		97,021		97,203
Vertaforce, Inc., 2nd Lien Term Loan, 9.750%, 10/29/17 (09/29/15)		45,000		45,619
Wilton Brands LLC (FKA Wilton Brands Inc.), Tranche B Loan, 7.500%, 08/30/18 (08/27/15)		68,246		66,284
Total Floating Rate Senior Loan Interests (cost $2,046,173)				2,028,812
Short-Term Investments - 6.5%
Repurchase Agreements - 5.0%2
Cantor Fitzgerald Securities, Inc., dated 06/30/15, due 07/01/15, 0.150%, total to be received $1,000,004 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.500%, 07/15/15 - 05/20/65, totaling $1,020,000)		1,000,000		1,000,000
Nomura Securities International, Inc., dated 06/30/15, due 07/01/15, 0.140%, total to be received $765,160 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.500%, 07/31/15 - 05/20/65 totaling $780,460)		765,157		765,157
Total Repurchase Agreements				1,765,157
	Shares
Other Investment Companies - 1.5%3
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.08%9		520,844		520,844
Total Short-Term Investments (cost $2,286,001)				2,286,001

The accompanying notes are an integral part of these financial statements.

32

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Value
Total Investments - 103.9% (cost $37,443,809)	$	36,721,586
Other Assets, less Liabilities - (3.9)%		(1,362,916	)
Net Assets - 100.0%	$	35,358,670

The accompanying notes are an integral part of these financial statements.

33

AMG Managers Intermediate Duration Government Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Category	AMG Managers Intermediate Duration Government Fund**
U.S. Government and Agency Obligations		107.0	%
Asset-Backed Securities		6.2	%
Mortgage-Backed Securities		6.1	%
Other Assets and Liabilities		(19.3	)%

** As a percentage of net assets.

Rating	AMG Managers Intermediate Duration Government Fund***
U.S. Government and Agency Obligations		89.6	%
Aaa		9.3	%
Aa		0.0	%#
Baa		0.3	%
Ba & lower		0.8	%

*** As a percentage of market value of fixed-income securities.

^#  Rounds to less than 0.1%.

TOP TEN HOLDINGS

Security Name	% of Net Assets
FNMA, 3.500%, TBA 30 years		14.2	%
FHLMC Gold Pool, 4.000%, TBA 30 years		12.2
FNMA, 4.000%, TBA 30 years		8.1
GNMA, 4.000%, TBA 30 years		5.4
FNMA, 4.500%, TBA 30 years		3.2
FHLMC Gold Pool, 3.500%, TBA 30 years		2.7
GNMA, 3.000%, TBA 30 years		1.7
Progress Residential Trust, Series 2015-SF, Class A, 2.740%, 06/12/32		1.6
Invitation Homes Trust, Series 2013-SF, Class A, 1.400%, 12/17/30 (07/17/15)		1.5
FHLMC Gold Pool, 5.000%, 10/01/36*		1.3
Top Ten as a Group		51.9	%

* Top Ten Holdings as of December 31, 2014.

Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

34

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Principal Amount		Value
Asset-Backed Securities - 6.2%
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.250%, 06/17/31 (07/17/15) (a)9,10	$	1,227,685	$	1,223,647
American Residential Properties, Series 2014-SFR1, Class A, 1.286%, 09/17/31 (07/17/15) (a)9,10		1,870,000		1,851,029
Colony American Homes, Series 2014-2A, Class A, 1.137%, 07/17/31 (07/17/15) (a)10		901,971		891,380
Invitation Homes Trust,
Series 2013-SFR1, Class A, 1.400%, 12/17/30 (07/17/15) (a)9,10		2,919,714		2,907,428
Series 2014-SFR1, Class A, 1.185%, 06/17/31 (07/17/15) (a)10		650,000		642,520
Series 2015-SFR3, Class A, 1.483%, 08/17/32 (07/17/15) (a)10		500,000		499,514
Progress Residential Trust,
Series 2014-SFR1, Class A, 1.285%, 10/17/31 (07/17/15) (a)10		900,000		888,931
Series 2015-SFR2, Class A, 2.740%, 06/12/32 (a)		3,000,000		2,950,428
Total Asset-Backed Securities (cost $11,907,854)				11,854,877
Mortgage-Backed Securities - 6.1%
American Home Mortgage Assets Trust, Series 2005-1, Class 1A1, 2.449%, 11/25/35 (08/25/15)10		82,871		72,867
American Home Mortgage Investment Trust,
Series 2004-1, Class 4A, 2.423%, 04/25/44 (08/25/15)10		123,646		116,313
Series 2005-1, Class 5A1, 2.423%, 06/25/45 (08/25/15)10		46,787		46,170
Bank of America Commercial Mortgage Trust, Series 2006-6, Class A2, 5.309%, 10/10/45		127,222		127,511
Bank of America Funding Corp., Series 2004-B, Class 1A2, 2.747%, 12/20/34 (08/20/15)10		119,534		109,917
Bank of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.115%, 10/10/454		714,107		714,515
Bear Stearns Alt-A Trust, Series 2005-3, Class 2A3, 2.746%, 04/25/35 (08/25/15)10		122,636		107,462
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4, 5.766%, 04/12/384		1,979,286		2,017,124
Countrywide Home Loan Mortgage Pass Through Trust,
Series 2005-HYB2, Class 1A4, 2.730%, 05/20/35 (08/20/15)10		91,946		86,691
Series 2005-HYB8, Class 1A1, 2.470%, 12/20/35 (08/20/15)10		107,108		87,318
Countrywide Home Loan reperforming loan REMIC Trust, Series 2004-R2, Class 1AF1, 0.607%, 11/25/34 (07/25/15) (a)6,10		129,352		115,459
Credit Suisse Commercial Mortgage Trust,
Series 2006-C3, Class A1A, 6.000%, 06/15/384		1,002,027		1,034,830
Series 2006-C3, Class A3, 6.000%, 06/15/384		979,280		1,000,146
GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF, 0.537%, 03/25/35 (07/25/15) (a)6,10		183,739		160,352
GSR Mortgage Loan Trust, Series 2004-5, Class 1A3, 2.010%, 05/25/34 (08/25/15)10		39,497		36,804
Harborview Mortgage Loan Trust, Series 2004-7, Class 2A2, 2.295%, 11/19/34 (08/19/15)10		70,039		65,076
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP5, Class A4, 5.412%, 12/15/444		2,215,778		2,220,753
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.028%, 06/15/384		418,701		430,311
Master Alternative Loans Trust, Series 2005-2, Class 2A1, 6.000%, 01/25/359		556,531		592,528
Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4, 5.291%, 01/12/444		409,628		411,664
Morgan Stanley Mortgage Loan Trust, Series 2005-4, Class 2A1, 5.925%, 08/25/354,9		790,665		778,878
Structured Asset Securities Corp., Series 2005-RF1, Class A, 0.537%, 03/25/35 (07/25/15) (a)6,10		214,083		177,644

The accompanying notes are an integral part of these financial statements.

35

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Mortgage-Backed Securities - 6.1% (continued)
Wachovia Bank Commercial Mortgage Trust,
Series 2006-C26, Class A2, 5.935%, 06/15/45	$	36,126	$	36,311
Series 2006-C27, Class A3, 5.765%, 07/15/454		712,717		732,312
Wells Fargo Mortgage Backed Securities Trust, Series 2007-16, Class 1A1, 6.000%, 12/28/37		235,226		242,417
Total Mortgage-Backed Securities (cost $11,691,111)				11,521,373
U.S. Government and Agency Obligations - 107.4%
Federal Home Loan Mortgage Corporation - 36.4%
FHLMC,
2.349%, 11/01/33 (09/15/15)9,10		953,756		1,021,602
2.470%, 01/01/36 (09/15/15)9,10		2,118,701		2,270,903
2.785%, 02/01/37 (09/15/15)10		64,345		69,591
FHLMC Gold Pool,
3.000%, 06/01/458		1,806,251		1,801,824
3.500%, 04/01/32 to 01/01/449		12,453,013		12,879,771
3.500%, TBA 30 years,8,11		4,900,000		5,027,764
4.000%, 05/01/24 to 07/01/449		7,084,678		7,514,441
4.000%, TBA 30 years,8,11		22,000,000		23,233,028
4.500%, 02/01/20 to 09/01/419		3,449,895		3,719,297
5.000%, 05/01/18 to 07/01/419		4,684,002		5,170,151
5.500%, 11/01/17 to 01/01/409		3,674,387		4,109,595
6.000%, 09/01/17 to 01/01/249		991,508		1,084,281
7.000%, 07/01/19		115,123		122,143
7.500%, 07/01/349		904,294		1,076,437
Total Federal Home Loan Mortgage Corporation				69,100,828
Federal National Mortgage Association - 52.8%
FNMA,
1.975%, 06/01/34 (08/25/15)9,10		723,819		760,707
2.233%, 08/01/34 (08/25/15)10		293,294		312,409
2.500%, 02/01/438		839,789		806,615
3.000%, 03/01/43 to 04/01/458,9		3,583,824		3,586,190
3.000%, TBA 30 years,8,11		2,800,000		2,789,555
3.500%, 05/01/42 to 06/01/459		8,825,150		9,113,050
3.500%, TBA 30 years,8,11		26,200,000		26,951,454
4.000%, 01/01/26 to 06/01/459		11,535,847		12,275,133
4.000%, TBA 30 years,8,11		14,600,000		15,449,430
4.500%, 04/01/25 to 05/01/458,9		10,813,260		11,721,718
4.500%, TBA 30 years,8,11		5,600,000		6,054,125
4.750%, 07/01/34 to 09/01/34		331,954		364,886
5.000%, 06/01/18 to 06/01/41		1,460,888		1,608,565

The accompanying notes are an integral part of these financial statements.

36

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal National Mortgage Association - 52.8% (continued)
FNMA,
5.500%, 03/01/17 to 08/01/419	$	3,501,329	$	3,930,939
6.000%, 08/01/17 to 06/01/399		2,390,785		2,645,231
6.500%, 11/01/28 to 07/01/32		108,468		116,175
7.000%, 11/01/229		550,165		602,900
FNMA REMICS,
Series 1994-55, Class H, 7.000%, 03/25/249		647,842		718,252
Series 2005-13, Class AF, 0.587%, 03/25/35 (07/25/15)9,10		351,108		353,632
FNMA Whole Loan, Series 2003-W4, Class 4A, 6.997%, 10/25/424		76,927		88,211
Total Federal National Mortgage Association				100,249,177
Government National Mortgage Association - 17.1%
GNMA,
2.000%, 05/20/21 (08/20/15)10		12,707		13,105
3.000%, 11/15/42 to 06/20/458		4,285,109		4,348,235
3.000%, 03/20/16 to 08/20/18 (08/20/15)9,10		72,474		74,338
3.000%, TBA 30 years,8,11		3,200,000		3,230,250
3.500%, 08/15/439		1,104,420		1,154,598
3.500%, TBA 30 years,8,11		2,000,000		2,075,703
4.000%, 06/20/43 to 11/15/449		2,227,097		2,395,163
4.000%, TBA 30 years,8,11		9,600,000		10,173,564
4.500%, 06/15/39 to 05/15/419		909,300		996,919
5.000%, 09/15/39 to 10/20/419		5,235,229		5,849,493
5.500%, 10/15/39 to 11/15/399		1,763,201		2,015,725
7.500%, 09/15/28 to 11/15/31		22,046		23,086
Total Government National Mortgage Association				32,350,179
Interest Only Strips - 1.1%
FHLMC,
Series 212, Class IO, 6.000%, 05/01/316		1,545		347
Series 233, Class 5, 4.500%, 09/15/35		105,475		18,508
FHLMC REMICS,
Series 2380, Class SI, 7.715%, 06/15/31 (07/15/15)6,10		13,211		3,155
Series 2922, Class SE, 6.565%, 02/15/35 (07/15/15)10		124,907		25,742
Series 2934, Class HI, 5.000%, 02/15/20		57,014		4,618
Series 2934, Class KI, 5.000%, 02/15/20		43,482		3,514
Series 2965, Class SA, 5.865%, 05/15/32 (07/15/15)10		262,313		43,953
Series 2967, Class JI, 5.000%, 04/15/20		107,103		9,298
Series 2980, Class SL, 6.515%, 11/15/34 (07/15/15)10		163,790		41,971
Series 3031, Class BI, 6.504%, 08/15/35 (07/15/15)10		321,786		75,624
Series 3065, Class DI, 6.435%, 04/15/35 (07/15/15)10		283,417		62,959

The accompanying notes are an integral part of these financial statements.

37

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Interest Only Strips - 1.1% (continued)
FHLMC REMICS,
Series 3114, Class GI, 6.415%, 02/15/36 (07/15/15)10	$	235,016	$	60,530
Series 3308, Class S, 7.015%, 03/15/32 (07/15/15)10		252,055		52,312
Series 3424, Class XI, 6.385%, 05/15/36 (07/15/15)10		258,378		47,047
Series 3489, Class SD, 7.615%, 06/15/32 (07/15/15)10		144,382		32,983
Series 3606, Class SN, 6.065%, 12/15/39 (07/15/15)10		353,555		58,349
Series 3685, Class EI, 5.000%, 03/15/19		306,281		15,402
Series 3731, Class IO, 5.000%, 07/15/19		144,521		7,744
Series 3882, Class AI, 5.000%, 06/15/26		223,428		15,354
FNMA,
Series 215, Class 2, 7.000%, 04/25/236		82,554		14,401
Series 222, Class 2, 7.000%, 06/25/236		7,823		1,384
Series 343, Class 21, 4.000%, 09/25/18		85,843		3,959
Series 343, Class 22, 4.000%, 11/25/18		47,044		2,224
Series 351, Class 3, 5.000%, 04/25/34		85,178		18,803
Series 351, Class 4, 5.000%, 04/25/34		49,564		10,694
Series 351, Class 5, 5.000%, 04/25/34		41,871		9,034
Series 365, Class 4, 5.000%, 04/25/36		112,854		23,167
FNMA REMICS,
Series 2003-73, Class SM, 6.413%, 04/25/18 (07/25/15)6,10		40,552		735
Series 2004-49, Class SQ, 6.863%, 07/25/34 (07/25/15)10		103,002		20,437
Series 2004-51, Class SX, 6.933%, 07/25/34 (07/25/15)10		145,949		33,079
Series 2004-64, Class SW, 6.863%, 08/25/34 (07/25/15)10		431,839		91,933
Series 2005-12, Class SC, 6.563%, 03/25/35 (07/25/15)10		162,130		29,230
Series 2005-45, Class SR, 6.533%, 06/25/35 (07/25/15)10		342,735		67,282
Series 2005-65, Class KI, 6.813%, 08/25/35 (07/25/15)9,10		794,149		151,457
Series 2005-89, Class S, 6.513%, 10/25/35 (07/25/15)10		809,615		156,986
Series 2006-3, Class SA, 5.963%, 03/25/36 (07/25/15)10		168,072		29,644
Series 2007-75, Class JI, 6.358%, 08/25/37 (07/25/15)10		171,018		30,164
Series 2008-86, Class IO, 4.500%, 03/25/23		275,127		13,963
Series 2010-37, Class GI, 5.000%, 04/25/25		326,740		14,155
Series 2010-65, Class IO, 5.000%, 09/25/20		425,363		32,164
Series 2010-121, Class IO, 5.000%, 10/25/25		156,593		10,124
Series 2011-69, Class AI, 5.000%, 05/25/18		394,296		18,571
Series 2011-88, Class WI, 3.500%, 09/25/26		410,120		48,489
Series 2011-124, Class IC, 3.500%, 09/25/21		372,082		24,367
Series 2012-126, Class SJ, 4.813%, 11/25/42 (07/25/15)10		773,398		129,387
GNMA,
Series 2011-32, Class KS, 11.731%, 06/16/34 (07/16/15)10		300,891		52,932

The accompanying notes are an integral part of these financial statements.

38

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Interest Only Strips - 1.1% (continued)
GNMA,
Series 2011-94, Class IS, 6.515%, 06/16/36 (07/16/15)10	$	268,118	$	37,781
Series 2011-157, Class SG, 6.413%, 12/20/41 (07/20/15)10		1,047,528		255,713
Series 2011-167, Class IO, 5.000%, 12/16/20		325,041		19,808
Series 2012-34, Class KS, 5.865%, 03/16/42 (07/16/15)10		440,631		101,303
Series 2012-69, Class QI, 4.000%, 03/16/41		315,088		59,647
Series 2012-103, Class IB, 3.500%, 04/20/40		276,571		37,137
Total Interest Only Strips				2,129,564
Total U.S. Government and Agency Obligations (cost $200,892,967)				203,829,748
Short-Term Investments - 32.4%
U.S. Treasury Bills - 0.0%#
U.S. Treasury Bills, 0.003%, 09/24/1512,13		90,000		89,999
	Shares
Other Investment Companies - 32.4%3
Dreyfus Cash Management Fund, Institutional Class Shares, 0.04%9		19,000,000		19,000,000
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.08%9		22,403,518		22,403,518
JPMorgan Liquid Assets Money Market Fund, Capital Shares, 0.12%9		20,016,789		20,016,789
Total Other Investment Companies				61,420,307
Total Short-Term Investments (cost $61,510,282)				61,510,306
Total Investments - 152.1% (cost $286,002,214)				288,716,304
Other Assets, less Liabilities - (52.1)%				(98,945,279	)
Net Assets - 100.0%			$	189,771,025

The accompanying notes are an integral part of these financial statements.

39

AMG Managers Short Duration Government Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Category	AMG Managers Short Duration Government Fund**
U.S. Government and Agency Obligations		69.0	%
Asset-Backed Securities		11.1	%
Mortgage-Backed Securities		2.0	%
Other Assets and Liabilities		17.9	%

** As a percentage of net assets.

Rating	AMG Managers Short Duration Government Fund***
U.S. Government and Agency Obligations		86.1	%
Aaa		13.8	%
A		0.1	%
Ba & lower		0.0	%#

*** As a percentage of market value of fixed-income securities.

^#  Rounds to less than 0.1%.

TOP TEN HOLDINGS

Security Name	% of Net Assets
FNMA, 3.500%, TBA 15 years		2.8	%
SLM Student Loan Trust, Series 2008-9, Class A, 1.777%, 04/25/23		2.6
U.S. Treasury Inflation Indexed Bonds, 0.375%, 07/15/23*		2.4
FHLMC REMICS, Series 3990, Class GF, 0.586%, 03/15/41*		2.2
FNMA REMICS, Series 2011-115, Class FK, 0.557%, 10/25/39*		2.1
FNMA, 2.326%, 04/01/37*		1.5
FHLMC Gold Pool, 5.500%, 12/01/24*		1.4
FNMA, 5.500%, 08/01/41*		1.3
FNMA, 6.500%, 12/01/28*		1.2
FNMA, 2.532%, 01/01/36		1.1
Top Ten as a Group		18.6	%

* Top Ten Holdings as of December 31, 2014.

Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

40

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Principal Amount		Value
Asset-Backed Securities - 11.1%
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.250%, 06/17/31 (07/17/15) (a)10	$	1,851,349	$	1,845,260
American Residential Properties, Series 2014-SFR1, Class A, 1.286%, 09/17/31 (07/17/15) (a)10		3,230,000		3,197,232
AmeriCredit Automobile Receivables Trust,
Series 2011-1, Class D, 4.260%, 02/08/17		3,346,249		3,348,726
Series 2011-2, Class D, 4.000%, 05/08/17		3,560,523		3,571,233
Series 2011-3, Class D, 4.040%, 07/10/17		4,095,000		4,137,547
Series 2012-1, Class C, 2.670%, 01/08/18		343,188		345,134
Colony American Homes,
Series 2014-2A, Class A, 1.137%, 07/17/31 (07/17/15) (a)10		2,260,873		2,234,326
Series 2015-1A, Class A, 1.387%, 07/17/32 (07/17/15) (a)10		2,430,000		2,403,520
Invitation Homes Trust,
Series 2013-SFR1, Class A, 1.400%, 12/17/30 (07/17/15) (a)10		1,271,347		1,265,997
Series 2014-SFR1, Class A, 1.185%, 06/17/31 (07/17/15) (a)10		1,125,000		1,112,055
Series 2015-SFR3, Class A, 1.483%, 08/17/32 (07/17/15) (a)10		3,700,000		3,696,400
Progress Residential Trust, Series 2014-SFR1, Class A, 1.285%, 10/17/31 (07/17/15) (a)10		1,680,000		1,659,338
Santander Drive Auto Receivables Trust, Series 2011-1, Class D, 4.010%, 02/15/17		2,991,875		3,001,389
SLM Student Loan Trust, Series 2008-9, Class A, 1.777%, 04/25/23 (07/27/15)10		9,552,921		9,800,180
Total Asset-Backed Securities (cost $41,782,758)				41,618,337
Mortgage-Backed Securities - 2.0%
Bank of America Commercial Mortgage Trust, Series 2006-6, Class A2, 5.309%, 10/10/45		28,050		28,113
Bank of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.328%, 09/10/474		2,033,478		2,043,770
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4, 5.766%, 04/12/384		1,393,386		1,420,023
CD Commercial Mortgage Trust, Series 2005-CD1, Class A4, 5.380%, 07/15/444		282,614		282,836
Commercial Mortgage Trust, Series 2005-C6, Class A5A, 5.116%, 06/10/444		61,732		61,697
Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-25, Class 2A4, 0.687%, 02/25/35 (07/27/15)6,10		395,042		154,600
Merrill Lynch Mortgage Investors Trust, Series 1998-C1, Class A3, 6.720%, 11/15/264		594,707		612,184
Morgan Stanley Capital I Trust, Series 2006-HQ8, Class A4, 5.601%, 03/12/444		1,584,988		1,594,672
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A4, 5.448%, 12/15/444		930,473		931,629
WaMu Mortgage Pass Through Certificates, Series 2005-AR2, Class 2A3, 0.537%, 01/25/45 (07/25/15)10		421,795		388,591
Total Mortgage-Backed Securities (cost $8,185,780)				7,518,115
U.S. Government and Agency Obligations - 69.0%
Federal Home Loan Mortgage Corporation - 24.4%
FHLMC,
1.875%, 09/01/35 (09/15/15)10		1,999,382		2,110,759
2.125%, 11/01/33 (09/15/15)10		918,992		977,514
2.338%, 10/01/28 (09/15/15)10		32,268		34,013
2.344%, 10/01/33 (09/15/15)10		1,197,519		1,277,074
2.350%, 10/01/33 (09/15/15)10		1,848,009		1,970,445

The accompanying notes are an integral part of these financial statements.

41

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal Home Loan Mortgage Corporation - 24.4% (continued)
FHLMC,
2.351%, 11/01/33 (09/15/15)10	$	1,106,235	$	1,181,774
2.355%, 12/01/33 (09/15/15)10		1,577,888		1,687,901
2.375%, 12/01/32 (09/15/15)10		483,403		515,884
2.376%, 05/01/34 (09/15/15)10		2,023,677		2,157,891
2.457%, 09/01/33 (09/15/15)10		2,126,693		2,267,805
2.482%, 07/01/34 (09/15/15)10		274,906		293,149
2.493%, 03/01/34 (09/15/15)10		2,727,864		2,914,166
2.499%, 04/01/34 (09/15/15)10		699,032		745,698
2.572%, 02/01/23 (09/15/15)10		234,372		248,850
2.697%, 06/01/35 (09/15/15)10		690,368		740,852
2.785%, 02/01/37 (09/15/15)10		768,462		831,113
FHLMC Gold Pool,
4.000%, 05/01/24 to 11/01/26		8,354,722		8,879,227
4.500%, 05/01/19 to 07/01/26		4,830,239		5,099,110
5.000%, 10/01/18 to 11/01/20		4,993,697		5,269,519
5.500%, 01/01/20 to 08/01/40		18,829,107		20,840,210
6.000%, 02/01/22 to 01/01/24		4,892,024		5,360,420
6.500%, 03/01/18 to 10/01/23		400,701		429,069
7.000%, 06/01/17 to 07/01/19		172,353		180,458
7.500%, 12/01/15 to 03/01/33		310,683		365,747
FHLMC REMICS,
Series 2427, Class LW, 6.000%, 03/15/17		362,875		374,167
Series 2429, Class HB, 6.500%, 12/15/23		578,657		651,280
Series 2541, Class ED, 5.000%, 12/15/17		1,643,925		1,708,381
Series 2627, Class BM, 4.500%, 06/15/18		129,824		135,206
Series 2631, Class PD, 4.500%, 06/15/18		43,583		45,377
Series 2645, Class BY, 4.500%, 07/15/18		1,473,617		1,534,709
Series 2653, Class PA, 4.000%, 07/15/31		1,851,745		1,895,503
Series 2668, Class AZ, 4.000%, 09/15/18		713,490		739,553
Series 2682, Class LC, 4.500%, 07/15/32		702,692		716,685
Series 2683, Class JB, 4.000%, 09/15/18		460,925		478,443
Series 2684, Class PE, 5.000%, 01/15/33		170,481		173,942
Series 2709, Class PE, 5.000%, 12/15/22		59,772		59,893
Series 2763, Class JD, 3.500%, 10/15/18		60,440		60,647
Series 2786, Class BC, 4.000%, 04/15/19		158,679		165,516
Series 2809, Class UC, 4.000%, 06/15/19		172,335		179,230
Series 2877, Class PA, 5.500%, 07/15/33		152,144		160,169
Series 2882, Class UM, 4.500%, 08/15/19		211,922		212,739

The accompanying notes are an integral part of these financial statements.

42

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal Home Loan Mortgage Corporation - 24.4% (continued)
FHLMC REMICS,
Series 2935, Class LM, 4.500%, 02/15/35	$	503,207	$	521,921
Series 3013, Class GA, 5.000%, 06/15/34		213,149		215,656
Series 3033, Class CI, 5.500%, 01/15/35		290,404		303,437
Series 3117, Class PL, 5.000%, 08/15/34		54,553		54,642
Series 3535, Class CA, 4.000%, 05/15/24		148,146		153,268
Series 3609, Class LA, 4.000%, 12/15/24		508,411		529,522
Series 3632, Class AG, 4.000%, 06/15/38		300,805		314,596
Series 3653, Class JK, 5.000%, 11/15/38		280,442		300,813
Series 3659, Class EJ, 3.000%, 06/15/18		3,159,767		3,227,054
Series 3683, Class AD, 2.250%, 06/15/20		687,958		694,427
Series 3756, Class DA, 1.200%, 11/15/18		566,918		568,834
Series 3818, Class UA, 1.350%, 02/15/17		427,431		429,008
Series 3827, Class CA, 1.500%, 04/15/17		163,562		164,143
Series 3846, Class CK, 1.500%, 09/15/20		190,144		191,305
Series 3990, Class GF, 0.586%, 03/15/41 (07/15/15)10		8,039,481		8,124,273
Total Federal Home Loan Mortgage Corporation				91,462,987
Federal National Mortgage Association - 36.7%
FNMA,
1.850%, 08/01/34 (08/25/15)10		307,627		322,687
1.875%, 02/01/33 (08/25/15)10		1,333,110		1,398,655
1.921%, 01/01/24 (08/25/15)10		561,859		573,581
1.925%, 09/01/33 to 03/01/36 (08/25/15)10		1,939,429		2,047,714
1.935%, 08/01/33 (08/25/15)10		501,766		527,022
1.975%, 06/01/34 (08/25/15)10		908,098		954,378
2.021%, 02/01/36 (08/25/15)10		3,210,947		3,396,361
2.150%, 01/01/34 (08/25/15)10		712,295		753,023
2.172%, 10/01/35 (08/25/15)10		1,543,423		1,632,562
2.182%, 01/01/36 (08/25/15)10		73,995		79,299
2.189%, 03/01/34 (08/25/15)10		275,076		293,729
2.195%, 01/01/33 to 12/01/33 (08/25/15)10		625,395		667,616
2.208%, 08/01/36 (08/25/15)10		209,268		222,830
2.209%, 07/01/34 (08/25/15)10		1,524,775		1,625,240
2.233%, 08/01/34 (08/25/15)10		366,617		390,512
2.270%, 09/01/37 (08/25/15)10		242,091		257,804
2.300%, 09/01/33 (08/25/15)10		631,298		667,244
2.310%, 02/01/37 (08/25/15)10		380,341		407,412
2.314%, 03/01/33 (08/25/15)10		471,256		504,318
2.326%, 04/01/37 (08/25/15)10		5,423,956		5,761,791
2.343%, 12/01/34 (08/25/15)10		2,692,880		2,883,466

The accompanying notes are an integral part of these financial statements.

43

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal National Mortgage Association - 36.7% (continued)
FNMA,
2.355%, 06/01/35 (08/25/15)10	$	158,669	$	168,970
2.367%, 05/01/33 (08/25/15)10		1,903,872		2,030,508
2.371%, 01/01/26 (08/25/15)10		252,738		262,363
2.389%, 06/01/35 (08/25/15)10		166,174		176,910
2.393%, 01/01/25 (08/25/15)10		398,884		416,593
2.404%, 01/01/36 (08/25/15)10		51,463		55,073
2.408%, 06/01/33 (08/25/15)10		423,999		449,097
2.425%, 01/01/34 (08/25/15)10		1,946,567		2,085,238
2.428%, 12/01/34 (08/25/15)10		2,320,588		2,484,209
2.435%, 01/01/33 (08/25/15)10		1,038,513		1,112,064
2.448%, 08/01/35 (08/25/15)10		1,637,445		1,746,217
2.476%, 04/01/34 (08/25/15)10		618,118		662,978
2.480%, 05/01/36 (08/25/15)10		87,044		93,226
2.489%, 05/01/34 (08/25/15)10		1,951,810		2,080,868
2.491%, 11/01/34 (08/25/15)10		3,875,749		4,154,267
2.500%, 04/01/34 (08/25/15)10		706,739		756,375
2.520%, 06/01/34 (08/25/15)10		2,442,626		2,605,180
2.532%, 01/01/36 (08/25/15)10		3,968,098		4,250,342
3.500%, TBA 15 years,8,11		10,000,000		10,546,406
4.000%, 10/01/21 to 08/01/30		1,011,555		1,071,426
4.500%, 10/01/19 to 06/01/26		3,555,587		3,795,249
5.000%, 10/01/18 to 09/01/25		12,705,464		13,594,712
5.500%, 11/01/17 to 08/01/41		16,044,112		18,059,895
6.000%, 09/01/19 to 07/01/25		6,512,191		7,110,120
6.500%, 04/01/17 to 08/01/32		4,555,913		5,277,463
7.000%, 11/01/22		2,050,595		2,247,149
7.500%, 08/01/33 to 09/01/33		74,345		88,104
FNMA Grantor Trust,
Series 2002-T5, Class A1, 0.427%, 05/25/32 (07/27/15)10		285,036		280,959
Series 2003-T4, Class 1A, 0.405%, 09/26/33 (07/27/15)10		14,392		14,266
FNMA REMICS,
Series 1994-31, Class ZC, 6.500%, 02/25/24		550,088		631,842
Series 1994-76, Class J, 5.000%, 04/25/24		163,533		170,603
Series 2001-63, Class FA, 0.735%, 12/18/31 (07/18/15)10		513,099		520,780
Series 2001-76, Class UD, 5.500%, 01/25/17		455,529		469,356
Series 2002-47, Class FD, 0.587%, 08/25/32 (07/25/15)10		560,402		566,197
Series 2002-56, Class UC, 5.500%, 09/25/17		199,781		208,061
Series 2002-74, Class FV, 0.637%, 11/25/32 (07/25/15)10		964,007		974,646

The accompanying notes are an integral part of these financial statements.

44

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal National Mortgage Association - 36.7% (continued)
FNMA REMICS,
Series 2003-2, Class FA, 0.687%, 02/25/33 (07/25/15)10	$	475,419	$	481,160
Series 2003-3, Class HJ, 5.000%, 02/25/18		123,079		127,659
Series 2003-64, Class YA, 3.000%, 05/25/23		121,365		123,313
Series 2004-1, Class AC, 4.000%, 02/25/19		88,362		91,369
Series 2004-21, Class AE, 4.000%, 04/25/19		395,996		410,179
Series 2004-27, Class HB, 4.000%, 05/25/19		191,949		198,631
Series 2004-28, Class MD, 4.500%, 01/25/34		1,917,657		2,082,369
Series 2004-53, Class NC, 5.500%, 07/25/24		307,975		337,551
Series 2005-13, Class AF, 0.587%, 03/25/35 (07/25/15)10		654,502		659,208
Series 2005-19, Class PA, 5.500%, 07/25/34		140,232		151,872
Series 2005-29, Class TC, 5.000%, 04/25/35		27,961		28,042
Series 2005-58, Class EP, 5.500%, 07/25/35		348,142		382,738
Series 2005-68, Class PB, 5.750%, 07/25/35		72,154		77,301
Series 2005-68, Class PC, 5.500%, 07/25/35		258,889		276,802
Series 2005-100, Class BQ, 5.500%, 11/25/25		896,404		984,032
Series 2005-100, Class GC, 5.000%, 12/25/34		283,903		288,528
Series 2006-18, Class PD, 5.500%, 08/25/34		80,453		83,035
Series 2007-56, Class FN, 0.557%, 06/25/37 (07/25/15)10		255,504		255,218
Series 2007-69, Class AB, 5.500%, 12/25/32		50,495		50,840
Series 2008-59, Class KB, 4.500%, 07/25/23		183,839		191,724
Series 2010-12, Class AC, 2.500%, 12/25/18		248,946		253,362
Series 2011-40, Class DK, 4.000%, 11/25/37		33,069		33,057
Series 2011-60, Class UC, 2.500%, 09/25/39		444,436		453,130
Series 2011-60, Class UE, 3.000%, 09/25/39		1,079,086		1,113,651
Series 2011-115, Class FK, 0.557%, 10/25/39 (07/25/15)10		7,673,911		7,723,169
FNMA Whole Loan,
Series 2003-W1, Class 2A, 6.475%, 12/25/424		19,762		22,958
Series 2003-W4, Class 4A, 6.997%, 10/25/424		461,564		529,268
Series 2003-W13, Class AV2, 0.467%, 10/25/33 (07/27/15)6,10		34,461		33,028
Series 2004-W5, Class F1, 0.637%, 02/25/47 (07/25/15)10		504,978		508,178
Series 2004-W14, Class 1AF, 0.587%, 07/25/44 (07/25/15)10		2,033,285		1,997,493
Series 2005-W2, Class A1, 0.387%, 05/25/35 (07/25/15)10		1,486,080		1,468,264
Total Federal National Mortgage Association				138,002,085
Government National Mortgage Association - 2.6%
GNMA,
1.625%, 12/20/21 to 09/20/35 (08/20/15)10		5,348,167		5,558,738
1.750%, 01/20/28 to 03/20/37 (08/20/15)10		459,355		475,667
2.000%, 06/20/22 (08/20/15)10		50,524		53,976

The accompanying notes are an integral part of these financial statements.

45

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Government National Mortgage Association - 2.6% (continued)
GNMA,
2.500%, 07/20/18 to 08/20/21 (08/20/15)10	$	44,172	$	45,579
2.750%, 10/20/17 (08/20/15)10		10,816		11,053
3.000%, 11/20/17 to 03/20/21 (08/20/15)10		52,350		54,234
3.500%, 07/20/18 (08/20/15)10		17,426		17,978
4.000%, 09/15/18		220,714		232,852
4.500%, 04/15/18 to 07/15/24		1,449,063		1,538,531
9.500%, 12/15/17		1,427		1,491
Series 2000-36, Class F, 0.735%, 11/16/30 (07/16/15)10		568,282		572,254
Series 2010-2, Class F, 0.735%, 01/16/40 (07/16/15)10		1,191,197		1,206,381
Total Government National Mortgage Association				9,768,734
Interest Only Strips - 1.9%
FHLMC,
Series 215, Class IO, 8.000%, 06/15/316		111,981		31,827
Series 233, Class 5, 4.500%, 09/15/35		53,813		9,443
FHLMC REMICS,
Series 2649, Class IM, 7.000%, 07/15/33		388,223		101,857
Series 2763, Class KS, 6.465%, 10/15/18 (07/15/15)6,10		74,145		828
Series 2922, Class SE, 6.565%, 02/15/35 (07/15/15)10		281,545		58,024
Series 2934, Class HI, 5.000%, 02/15/20		81,448		6,597
Series 2934, Class KI, 5.000%, 02/15/20		50,729		4,100
Series 2965, Class SA, 5.865%, 05/15/32 (07/15/15)10		649,517		108,834
Series 2967, Class JI, 5.000%, 04/15/20		252,037		21,881
Series 2980, Class SL, 6.515%, 11/15/34 (07/15/15)10		361,459		92,624
Series 2981, Class SU, 7.615%, 05/15/30 (07/15/15)10		303,232		78,077
Series 3031, Class BI, 6.504%, 08/15/35 (07/15/15)10		983,677		231,177
Series 3065, Class DI, 6.435%, 04/15/35 (07/15/15)10		866,383		192,460
Series 3114, Class GI, 6.415%, 02/15/36 (07/15/15)10		1,447,841		372,902
Series 3308, Class S, 7.015%, 03/15/32 (07/15/15)10		571,766		118,666
Series 3424, Class XI, 6.385%, 05/15/36 (07/15/15)10		673,026		122,548
Series 3489, Class SD, 7.615%, 06/15/32 (07/15/15)10		323,131		73,816
Series 3606, Class SN, 6.065%, 12/15/39 (07/15/15)10		941,240		155,338
Series 3685, Class EI, 5.000%, 03/15/19		683,921		34,393
Series 3731, Class IO, 5.000%, 07/15/19		327,827		17,566
Series 3882, Class AI, 5.000%, 06/15/26		178,706		12,281
FNMA,
Series 92, Class 2, 9.000%, 12/25/166		3,481		139
Series 306, Class IO, 8.000%, 05/25/306		88,617		24,965
Series 365, Class 4, 5.000%, 04/25/36		76,154		15,633

The accompanying notes are an integral part of these financial statements.

46

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Interest Only Strips - 1.9% (continued)
FNMA REMICS,
Series 2001-82, Class S, 7.643%, 05/25/28 (07/25/15)6,10	$	269,780	$	64,564
Series 2003-48, Class SJ, 5.813%, 06/25/18 (07/25/15)6,10		95,290		3,919
Series 2003-73, Class SM, 6.413%, 04/25/18 (07/25/15)6,10		52,971		960
Series 2004-49, Class SQ, 6.863%, 07/25/34 (07/25/15)10		229,699		45,574
Series 2004-51, Class SX, 6.933%, 07/25/34 (07/25/15)10		366,291		83,019
Series 2004-64, Class SW, 6.863%, 08/25/34 (07/25/15)10		993,733		211,554
Series 2004-66, Class SE, 6.313%, 09/25/34 (07/25/15)10		161,819		31,344
Series 2005-5, Class SD, 6.513%, 01/25/35 (07/25/15)10		286,107		47,921
Series 2005-12, Class SC, 6.563%, 03/25/35 (07/25/15)10		364,744		65,759
Series 2005-45, Class SR, 6.533%, 06/25/35 (07/25/15)10		844,496		165,782
Series 2005-65, Class KI, 6.813%, 08/25/35 (07/25/15)10		1,980,688		377,750
Series 2005-66, Class GS, 6.663%, 07/25/20 (07/25/15)10		138,886		12,912
Series 2006-3, Class SA, 5.963%, 03/25/36 (07/25/15)10		388,986		68,609
Series 2007-75, Class JI, 6.358%, 08/25/37 (07/25/15)10		205,180		36,190
Series 2007-85, Class SI, 6.273%, 09/25/37 (07/25/15)10		414,455		77,161
Series 2008-86, Class IO, 4.500%, 03/25/23		688,693		34,952
Series 2008-87, Class AS, 7.463%, 07/25/33 (07/25/15)10		1,196,442		261,903
Series 2010-37, Class GI, 5.000%, 04/25/25		839,325		36,362
Series 2010-65, Class IO, 5.000%, 09/25/20		1,099,534		83,141
Series 2010-68, Class SJ, 6.363%, 07/25/40 (07/25/15)10		428,117		85,958
Series 2010-105, Class IO, 5.000%, 08/25/20		565,444		42,903
Series 2010-121, Class IO, 5.000%, 10/25/25		420,245		27,168
Series 2011-69, Class AI, 5.000%, 05/25/18		1,053,354		49,613
Series 2011-88, Class WI, 3.500%, 09/25/26		1,203,359		142,275
Series 2011-124, Class IC, 3.500%, 09/25/21		1,764,214		115,536
Series 2012-126, Class SJ, 4.813%, 11/25/42 (07/25/15)10		5,086,511		850,957
GNMA,
Series 2011-32, Class KS, 11.731%, 06/16/34 (07/16/15)10		731,001		128,595
Series 2011-94, Class IS, 6.515%, 06/16/36 (07/16/15)10		602,387		84,884
Series 2011-146, Class EI, 5.000%, 11/16/41		371,556		96,176
Series 2011-157, Class SG, 6.413%, 12/20/41 (07/20/15)10		1,282,128		312,981
Series 2011-167, Class IO, 5.000%, 12/16/20		1,914,311		116,657
Series 2012-34, Class KS, 5.865%, 03/16/42 (07/16/15)10		3,383,766		777,945
Series 2012-69, Class QI, 4.000%, 03/16/41		1,666,830		315,535
Series 2012-96, Class IC, 3.000%, 08/20/27		1,011,117		106,698
Series 2012-101, Class AI, 3.500%, 08/20/27		751,909		90,639
Series 2012-103, Class IB, 3.500%, 04/20/40		1,203,988		161,666
Total Interest Only Strips				7,101,538

The accompanying notes are an integral part of these financial statements.

47

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
U.S. Government Obligations - 3.4%
U.S. Treasury Inflation Indexed Bonds,
0.375%, 07/15/23	$	8,946,784	$	8,978,939
2.375%, 01/15/27		3,202,918		3,832,240
Total U.S. Government Obligations				12,811,179
Total U.S. Government and Agency Obligations (cost $251,406,529)				259,146,523
Short-Term Investments - 19.8%
U.S. Government and Agency Discount Notes - 11.9%
FHLMC, 0.08%, 08/25/1512		8,000,000		7,999,512
FHLMC, 0.10%, 10/09/1512		1,220,000		1,219,665
FHLMC, 0.11%, 10/20/1512		2,000,000		1,999,390
FNMA, 0.08%, 09/01/1512		10,000,000		9,998,950
FNMA, 0.09%, 10/01/1512		2,000,000		1,999,494
FNMA, 0.10%, 10/14/1512		6,795,000		6,793,036
FNMA, 0.09%, 11/18/1512		5,000,000		4,997,860
FNMA, 0.17%, 01/04/1612		10,000,000		9,992,730
Total U.S. Government and Agency Discount Notes				45,000,637
U.S. Treasury Bills - 0.2%
U.S. Treasury Bills, 0.003%, 09/24/1512,13		710,000		709,991
	Shares
Other Investment Companies - 7.7%3
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.08%9		28,919,525		28,919,525
Total Short-Term Investments (cost $74,624,193)				74,630,153
Total Investments - 101.9% (cost $375,999,260)				382,913,128
Other Assets, less Liabilities - (1.9)%				(7,255,726	)
Net Assets - 100.0%			$	375,657,402

The accompanying notes are an integral part of these financial statements.

48

Notes to Schedule of Portfolio Investments (unaudited)

The following footnotes and abbreviations should be read in conjunction with each of the Schedules of Portfolio Investments previously presented in this report.

At June 30, 2015, the approximate cost of investments for federal income tax purposes and the aggregate gross unrealized appreciation and/or depreciation based on tax cost were as follows:

Fund	Cost		Appreciation		Depreciation			Net
AMG Chicago Equity Partners Balanced Fund	$	78,275,402	$	4,270,851	$	(1,611,681	)	$	2,659,170
AMG Chicago Equity Partners Small Cap Value Fund		13,829,210		489,307		(655,641	)		(166,334	)
AMG Managers High Yield Fund		37,445,204		689,742		(1,413,360	)		(723,618	)
AMG Managers Intermediate Duration Government Fund		288,328,891		1,639,373		(1,251,960	)		387,413
AMG Managers Short Duration Government Fund		383,525,425		558,506		(1,170,803	)		(612,297	)

* Non-income producing security.

# Rounds to less than 0.1%.

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2015, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers High Yield Fund	$	12,494,937		35.3	%
AMG Managers Intermediate Duration Government Fund		12,308,332		6.5	%
AMG Managers Short Duration Government Fund		17,414,128		4.6	%

(b) Step Bond: A debt instrument with either deferred interest or an interest rate that resets at specific times during its term.

¹ Some or all of these shares were out on loan to various brokers as of June 30, 2015, amounting to the following:

Fund	Market Value		% of Net Assets
AMG Chicago Equity Partners Balanced Fund	$	1,044,837		1.3	%
AMG Chicago Equity Partners Small Cap Fund		216,364		1.6	%
AMG Managers High Yield Fund		1,695,796		4.8	%

²  Collateral received from brokers for securities lending was invested in these short-term investments.

³  Yield shown represents the June 30, 2015, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

⁴  Variable Rate Security: The rate listed is as of June 30, 2015 and is periodically reset subject to terms and conditions set forth in the debenture.

⁵  Payment-in-Kind Security: The security may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

⁶  Illiquid Security: A security not readily convertible into cash such as a stock, bond or commodity that is not actively traded and would be difficult to sell in a timely sale. The Funds may not invest more than 15% of their net assets in illiquid securities. Illiquid securities market value at June 30, 2015, amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers High Yield	$	820,439		2.3	%
Managers Intermediate Duration Government Fund		473,477		0.2	%
AMG Managers Short Duration Government Fund		314,830		0.1	%

⁷  Security is in default. Issuer has failed to make a timely payment of either principal or interest or has failed to comply with some provision of the bond indenture.

The accompanying notes are an integral part of these financial statements.

49

Notes to Schedule of Portfolio Investments (continued)

⁸  All or part of the security is delayed delivery transactions. The market value of delayed delivery securities at June 30, 2015, amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers High Yield Fund	$	96,760		0.3	%
AMG Managers Intermediate Duration Government Fund		99,041,012		52.2	%
AMG Managers Short Duration Government Fund		10,546,406		2.8	%

⁹  Some or all of these securities are segregated as collateral for delayed delivery agreements. At June 30, 2015, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers High Yield Fund	$	96,760		0.3	%
AMG Managers Intermediate Duration Government Fund		99,041,012		52.2	%
AMG Managers Short Duration Government Fund		10,546,406		2.8	%

¹⁰ Floating Rate Security: The rate listed is as of June 30, 2015. Date in parentheses represents the security’s next coupon rate reset.

¹¹ TBA Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned.

¹² Represents yield to maturity at June 30, 2015.

¹³ Some or all of this security is held with brokers as collateral for futures contracts. The collateral market value at June 30, 2015, amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers Intermediate Duration Government Fund	$	89,999		0.0	%#
AMG Managers Short Duration Government Fund		709,991		0.2	%

The following tables summarize the inputs used to value the Funds’ net assets by the fair value hierarchy levels as of June 30, 2015: (See Note 1(a) in the Notes to the Financial Statements.)

	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Chicago Equity Partners Balanced Fund
Investments in Securities
Common Stocks†	$	50,345,972		—		—	$	50,345,972
Corporate Bonds and Notes††		—	$	1,618,982		—		1,618,982
U.S. Government and Agency Obligations††		—		26,107,956		—		26,107,956
Short-Term Investments
Repurchase Agreements		—		1,067,348		—		1,067,348
Other Investment Companies		1,794,314		—		—		1,794,314
Total Investments in Securities	$	52,140,286	$	28,794,286		—	$	80,934,572

The accompanying notes are an integral part of these financial statements.

50

Notes to Schedule of Portfolio Investments (continued)

	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Chicago Equity Partners Small Cap Value Fund
Investments in Securities
Common Stocks†	$	13,443,521		—		—	$	13,443,521
Short-Term Investments
Repurchase Agreements		—	$	219,355		—		219,355
Total Investments in Securities	$	13,443,521	$	219,355		—	$	13,662,876

	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Managers High Yield Fund
Investments in Securities
Common Stocks		—		—	$	62,456	$	62,456
Corporate Bonds and Notes††		—	$	32,179,884		164,433		32,344,317
Floating Rate Senior Loan Interests		—		1,929,562		99,250		2,028,812
Short-Term Investments
Repurchase Agreements		—		1,765,157		—		1,765,157
Other Investment Companies	$	520,844		—		—		520,844
Total Investments in Securities	$	520,844	$	35,874,603	$	326,139	$	36,721,586

The following table below is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at June 30, 2015:

AMG Managers High Yield Fund	Common Stock		Corporate Bond			Floating Rate Senior Loan Interests			Total
Balance as of December 31, 2014		—		—		$	274,666		$	274,666
Accrued discounts (premiums)		—	$	328			17			345
Realized gain (loss)		—		—			—			—
Change in unrealized appreciation (depreciation)	$	62,456		(84,424	)		233			(21,735	)
Purchases		—		161,000			99,000			260,000
Sales		—		(44	)		—			(44	)
Transfers in to Level 3		—		87,573			—			87,573
Transfers out of Level 3		—		—			(274,666	)		(274,666	)
Balance as of June 30, 2015	$	62,456	$	164,433		$	99,250		$	326,139
Net change in unrealized appreciation/depreciation on investments still held at June 30, 2015	$	62,456	$	(84,424	)	$	233		$	(21,735	)

The accompanying notes are an integral part of these financial statements.

51

Notes to Schedule of Portfolio Investments (continued)

The following table summarizes the quantitative inputs and assumptions used for items categorized in level 3 of the fair value hierarchy as of June 30, 2015. The table below is not intended to be all-inclusive, but rather provides information on the significant level 3 inputs as they relate to the Fund’s fair value measurements:

Quantitative Information about Level 3 Fair Value Measurements
	Fair Value as of June 30, 2015		Valuation Technique(s)	Unobservable Inputs	Range		Average
AMG Managers High Yield Fund
Common Stocks	$	62,456	Enterprise Value	EV Multiple, Discount		8.0-10.5		9.1
Corporate Bonds		164,000	Enterprise Value	EV Multiple, Discount		8.0-10.5		9.1
Corporate Bonds		433	Broker Quote	Price		n/a		n/a
Floating Rate Senior Loan Interests		99,250	Unadjusted Price from Third Party	Price		n/a		n/a
Total	$	326,139

	Quoted Prices in Active Markets for Identical Investments Level 1			Significant Other Observable Inputs Level 2			Significant Unobservable Inputs Level 3		Total
AMG Managers Intermediate Duration Government Fund
Investments in Securities
Asset-Backed Securities		—		$	11,854,877			—	$	11,854,877
Mortgage-Backed Securities		—			11,521,373			—		11,521,373
U.S. Government and Agency Obligations††		—			203,829,748			—		203,829,748
Short-Term Investments
U.S. Treasury Bills		—			89,999			—		89,999
Other Investment Companies	$	61,420,307			—			—		61,420,307
Total Investments in Securities	$	61,420,307		$	227,295,997			—	$	288,716,304
TBA Sale Commitments		—		$	(3,314,938	)		—	$	(3,314,938	)
Financial Derivative Instruments-Assets†††
Interest Rate Contracts	$	526			—			—	$	526
Financial Derivative Instruments-Liabilities†††
Interest Rate Contracts		(43,873	)		—			—		(43,873	)
Total Financial Derivative Instruments	$	(43,347	)		—			—	$	(43,347	)

The accompanying notes are an integral part of these financial statements.

52

Notes to Schedule of Portfolio Investments (continued)

	Quoted Prices in Active Markets for Identical Investments Level 1			Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Managers Short Duration Government Fund
Investments in Securities
Asset-Backed Securities		—		$	41,618,337		—	$	41,618,337
Mortgage-Backed Securities		—			7,518,115		—		7,518,115
U.S. Government and Agency Obligations††		—			259,146,523		—		259,146,523
Short-Term Investments
U.S. Government and Agency Discount Notes		—			45,000,637		—		45,000,637
U.S. Treasury Bills		—			709,991		—		709,991
Other Investment Companies	$	28,919,525			—		—		28,919,525
Total Investments in Securities	$	28,919,525		$	353,993,603		—	$	382,913,128
Financial Derivative Instruments-Assets†††
Interest Rate Contracts	$	92,865			—		—	$	92,865
Financial Derivative Instruments-Liabilities†††
Interest Rate Contracts		(197,183	)		—		—		(197,183	)
Total Financial Derivative Instruments	$	(104,318	)		—		—	$	(104,318	)

^†  All common stocks held in the Funds are level 1 securities. For a detailed breakout of the common stocks, please refer to the respective Schedule of Portfolio Investments.

^††  All corporate bonds and notes and U.S. government and agency obligations held in the Funds 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 respective Schedule of Portfolio Investments.

^†††  Derivative instruments, such as futures, are not reflected in the Schedule of Portfolio Investments and are valued at the unrealized appreciation/depreciation of the instrument.

As of June 30, 2015, the Funds had no transfers between levels from the beginning of the reporting period.

The following schedule shows the value of derivative instruments at June 30, 2015:

		Asset Derivatives			Liability Derivatives
Fund	Derivatives not accounted for as hedging instruments	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
AMG Managers Intermediate Duration Government Fund
	Interest rate contracts	Receivable for variation margin1	$	3,453	Payable for variation margin1	$	641
		Asset Derivatives			Liability Derivatives
Fund	Derivatives not accounted for as hedging instruments	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
AMG Managers Short Duration Government Fund
	Interest rate contracts	Receivable for variation margin1	$	9,953	Payable for variation margin1	$	4,976

¹  Only current day’s variation margin is reported within the Statement of Assets and Liabilities. The variation margin is included in the open futures cumulative appreciation/ (depreciation) for AMG Managers Intermediate Duration Government Fund and AMG Managers Short Duration Government Fund of $(43,346) and $(104,317), respectively, as reported in the Notes to Schedule of Portfolio Investments.

The accompanying notes are an integral part of these financial statements.

53

Notes to Schedule of Portfolio Investments (continued)

For the six months ended June 30, 2015, the effect of derivative instruments on the Statement of Operations for the Funds and the amount of realized gain/(loss) and unrealized gain (loss) on derivatives recognized in income were as follows:

		Realized Gain (Loss)				Change in Unrealized Gain (Loss)
Fund	Derivatives not accounted for as hedging instruments	Statement of Operations Location	Realized Gain/(Loss)			Statement of Operations Location	Change in Unrealized Gain/(Loss)
AMG Managers Intermediate Duration Government Fund
	Interest rate contracts	Net realized loss on futures contracts	$	(36,452	)	Net change in unrealized appreciation-(depreciation) of futures contracts	$	(13,888	)
		Realized Gain (Loss)				Change in Unrealized Gain (Loss)
Fund	Derivatives not accounted for as hedging instruments	Statement of Operations Location	Realized Gain/(Loss)			Statement of Operations Location	Change in Unrealized Gain/(Loss)
AMG Managers Short Duration Government Fund
	Interest rate contracts	Net realized loss on futures contracts	$	(626,347	)	Net change in unrealized appreciation-(depreciation) of futures contracts	$	251,545

At June 30, 2015, the following Fund had TBA forward sale commitments:

(See Note 1(k) in the Notes to Financial Statements.)

AMG Managers Intermediate Duration Government Fund
Security	Principal Amount		Settlement Date	Current Liability		Proceeds
FNMA, 3.000%, TBA 30 years	$	2,800,000	07/14/15	$	2,789,555	$	(2,777,501	)
FNMA, 3.500%, TBA 30 years		300,000	07/14/15		309,164		(312,094	)
FNMA, 4.500%, TBA 30 years		200,000	07/14/15		216,219		(216,125	)
Totals				$	3,314,938	$	(3,305,720	)

At June 30, 2015, the following Funds had open futures contracts:

(See Note 7 in the Notes to Financial Statements.)

AMG Managers Intermediate Duration Government Fund
Type	Number of Contracts	Position	Expiration Date	Unrealized Gain/(Loss)
2-Year U.S. Treasury Note	4	Short	10/05/15	$	(1,260	)
5-Year Interest Rate Swap	23	Short	09/16/15		(10,956	)
5-Year U.S. Treasury Note	2	Short	10/05/15		526
10-Year Interest Rate Swap	34	Short	09/16/15		(21,186	)
10-Year U.S. Treasury Note	5	Long	09/30/15		(6,263	)
Ultra U.S. Treasury Bond	2	Long	09/30/15		(4,208	)
Total				$	(43,347	)

The accompanying notes are an integral part of these financial statements.

54

Notes to Schedule of Portfolio Investments (continued)

AMG Managers Short Duration Government Fund
Type	Number of Contracts	Position	Expiration Date	Unrealized Gain/(Loss)
2-Year U.S. Treasury Note	27	Short	10/05/15	$	(8,505	)
5-Year Interest Rate Swap	271	Short	09/16/15		(143,102	)
5-Year U.S. Treasury Note	19	Long	10/05/15		(5,244	)
10-Year Interest Rate Swap	65	Short	09/16/15		(40,332	)
10-Year U.S. Treasury Note	29	Short	09/30/15		36,403
Ultra U.S. Treasury Bond	27	Short	09/30/15		56,462
Total				$	(104,318	)

INVESTMENTS DEFINITIONS AND ABBREVIATIONS:

FHLMC:	Federal Home Loan Mortgage Corporation
FNMA:	Federal National Mortgage Association
GNMA:	Government National Mortgage Association
GSMPS:	Goldman Sachs Mortgage Participation Securities
GSR:	Goldman Sachs REMIC
IO:	Interest Only

LB-UBS:	Lehman Brothers-Union Bank of Switzerland
MTN:	Medium-Term Notes
PIK:	Payment-in-Kind
PLC:	Public Limited Company
REMICS:	Real Estate Mortgage Investment Conduits
TBA:	To Be Announced

The accompanying notes are an integral part of these financial statements.

55

Statement of Assets and Liabilities (unaudited)

June 30, 2015

	AMG Chicago Equity Partners Balanced Fund			AMG Chicago Equity Partners Small Cap Value Fund			AMG Managers High Yield Fund
Assets:
Investments at value* (including securities on loan valued at $1,044,837, $216,364 and $1,695,796, respectively)	$	80,934,572		$	13,662,876		$	36,721,586
Receivable for investments sold		2,049,272			748,370			103,782
Receivable for Fund shares sold		373,919			41,653			50,276
Dividends, interest and other receivables		152,780			29,807			611,423
Receivable for delayed delivery investments sold		—			—			39,950
Receivable from affiliate		17,684			6,716			15,060
Prepaid expenses		32,399			6,843			21,694
Total assets		83,560,626			14,496,265			37,563,771
Liabilities:
Payable to Custodian		—			9,551			—
Payable for investments purchased		3,028,332			696,219			202,030
Payable upon return of securities loaned		1,067,348			219,355			1,765,157
Payable for Fund shares repurchased		102,283			8,364			51,779
Payable to affiliate		—			23,673			—
Payable for delayed delivery investments purchased		—			—			94,950
Accrued expenses:
Investment advisory and management fees		44,807			7,018			20,546
Administrative fees		12,802			2,830			5,870
Distribution fees - Investor Class		11,919			5			6,667
Shareholder servicing fees - Investor Class		—			3			—
Shareholder servicing fees - Service Class		1,509			986			—
Trustees fees and expenses		106			132			41
Other		34,589			16,049			58,061
Total liabilities		4,303,695			984,185			2,205,101
Net Assets	$	79,256,931		$	13,512,080		$	35,358,670
Net Assets Represent:
Paid-in capital	$	73,030,577		$	13,783,313		$	38,017,558
(Distributions in excess) accumulated net investment income		(784	)		36,062			2,215
Accumulated net realized gain (loss) from investments		3,437,270			(140,961	)		(1,938,880	)
Net unrealized appreciation (depreciation) of investments		2,789,868			(166,334	)		(722,223	)
Net Assets	$	79,256,931		$	13,512,080		$	35,358,670
*  Investments at cost	$	78,144,704		$	13,829,210		$	37,443,809

The accompanying notes are an integral part of these financial statements.

56

Statement of Assets and Liabilities (continued)

	AMG Chicago Equity Partners Balanced Fund		AMG Chicago Equity Partners Small Cap Value Fund		AMG Managers High Yield Fund
Investor Class Shares:
Net Assets	$	59,138,152	$	23,400	$	32,114,010
Shares outstanding		3,821,523		2,337		4,118,631
Net asset value, offering and redemption price per share	$	15.48	$	10.01	$	7.80
Service Class Shares:
Net Assets	$	18,617,542	$	11,756,181		n/a
Shares outstanding		1,192,448		1,172,126		n/a
Net asset value, offering and redemption price per share	$	15.61	$	10.03		n/a
Institutional Class Shares:
Net Assets	$	1,501,237	$	1,732,499	$	3,244,660
Shares outstanding		96,186		172,621		411,757
Net asset value, offering and redemption price per share	$	15.61	$	10.04	$	7.88

The accompanying notes are an integral part of these financial statements.

57

Statement of Assets and Liabilities (continued)

	AMG Managers Intermediate Duration Government Fund			AMG Managers Short Duration Government Fund
Assets:
Investments at value*	$	288,716,304		$	382,913,128
Receivable for delayed delivery investments sold		54,338,129			—
Dividends, interest and other receivables		575,313			956,784
Cash collateral		305,000			—
Receivable for Fund shares sold		208,735			3,581,860
Receivable for investments sold and paydowns		13,530			300,451
Receivable for variation margin		3,453			9,953
Receivable from affiliate		1,896			—
Prepaid expenses		11,094			9,928
Total assets		344,173,454			387,772,104
Liabilities:
Payable for delayed delivery investments purchased		150,580,792			10,555,208
TBA sale commitments at value (proceeds receivable of $3,305,720 and $0, respectively)		3,314,938			—
Payable for Fund shares repurchased		325,894			1,260,512
Payable for variation margin		641			4,976
Accrued expenses:
Investment advisory and management fees		109,752			211,785
Shareholder servicing fees		15,679			300
Trustees fees and expenses		278			1,518
Other		54,455			80,403
Total liabilities		154,402,429			12,114,702
Net Assets	$	189,771,025		$	375,657,402
Net Assets Represent:
Paid-in capital	$	187,962,039		$	377,235,371
Accumulated net investment income		92,916			58,633
Accumulated net realized loss from investments and futures contracts		(945,455	)		(8,446,152	)
Net unrealized appreciation of investments and futures contracts		2,661,525			6,809,550
Net Assets	$	189,771,025		$	375,657,402
Shares outstanding		17,322,172			38,818,956
Net asset value, offering and redemption price per share	$	10.96		$	9.68
*  Investments at cost	$	286,002,214		$	375,999,260

The accompanying notes are an integral part of these financial statements.

58

Statement of Operations (unaudited)

For the six months ended June 30, 2015

	AMG Chicago Equity Partners Balanced Fund			AMG Chicago Equity Partners Small Cap Value Fund*			AMG Managers High Yield Fund			AMG Managers Intermediate Duration Government Fund			AMG Managers Short Duration Government Fund
Investment Income:
Dividend income	$	402,081	1	$	67,181		$	251		$	27,459		$	4,487
Interest income		239,636			—			1,176,014			1,562,795			1,908,423
Securities lending income		10,022			2,554			8,940			—			—
Total investment income		651,739			69,735			1,185,205			1,590,254			1,912,910
Expenses:
Investment advisory and management fees		266,339			22,124			129,076			648,773			1,302,373
Administrative fees		76,097			8,921			36,879			—			—
Distribution fees - Investor Class		61,321			521			42,063			—			—
Shareholder servicing fees - Investor Class		—			312			—			—			—
Shareholder servicing fees - Service Class		7,906			2,818			—			—			—
Shareholder servicing fees		—			—			—			92,682			1,806
Custodian fees		23,121			1,423			33,465			31,045			58,637
Professional fees		17,845			12,227			26,511			26,727			30,693
Registration fees		14,193			23,493			9,978			7,506			11,090
Reports to shareholders		8,095			6,143			8,420			11,838			25,238
Transfer agent fees		4,421			138			5,691			5,868			11,841
Trustees fees and expenses		1,832			142			928			4,554			9,820
Miscellaneous		1,452			895			673			1,774			2,421
Total expenses before offsets		482,622			79,157			293,684			830,767			1,453,919
Expense reimbursements		(93,434	)		(41,606	)		(85,667	)		(5,898	)		—
Expense reductions		(4,686	)		(3,878	)		—			—			—
Fee waivers		—			—			—			(5,954	)		—
Net expenses		384,502			33,673			208,017			818,915			1,453,919
Net investment income		267,237			36,062			977,188			771,339			458,991
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		2,877,969			(140,961	)		167,451			288,134			503,241
Net realized loss on futures contracts		—			—			—			(36,452	)		(626,347	)
Net change in unrealized appreciation (depreciation) of investments		(1,164,038	)		(166,334	)		(320,927	)		(454,810	)		950,328
Net change in unrealized appreciation (depreciation) of futures contracts		—			—			—			(13,888	)		251,545
Net realized and unrealized gain (loss)		1,713,931			(307,295	)		(153,476	)		(217,016	)		1,078,767
Net increase (decrease) in net assets resulting from operations	$	1,981,168		$	(271,233	)	$	823,712		$	554,323		$	1,537,758

* Commencement of operations was on January 2, 2015.

¹  Includes non-recurring dividends of $52,243.

The accompanying notes are an integral part of these financial statements.

59

Statements of Changes in Net Assets

For the six months ended June 30, 2015 (unaudited) and the year ended December 31, 2014

							AMG Chicago Equity Small Cap Value Fund*
	AMG Chicago Equity Partners Balanced Fund									AMG Managers High Yield Fund
	2015			2014			2015			2015			2014
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	267,237		$	445,430		$	36,062		$	977,188		$	1,942,264
Net realized gain (loss) on investments		2,877,969			5,348,407			(140,961	)		167,451			463,758
Net change in unrealized appreciation (depreciation) of investments		(1,164,038	)		(680,658	)		(166,334	)		(320,927	)		(1,737,634	)
Net increase (decrease) in net assets resulting from operations		1,981,168			5,113,179			(271,233	)		823,712			668,388
Distributions to Shareholders:
From net investment income:
Investor Class		(171,261	)		(255,532	)		—			(893,089	)		(1,776,356	)
Service Class		(67,671	)		(67,831	)		—			—			—
Institutional Class		(36,945	)		(108,580	)		—			(89,440	)		(166,982	)
From net realized gain on investments:
Investor Class		—			(3,590,785	)		—			—			—
Service Class		—			(810,554	)		—			—			—
Institutional Class		—			(1,055,585	)		—			—			—
Total distributions to shareholders		(275,877	)		(5,888,867	)		—			(982,529	)		(1,943,338	)
Capital Share Transactions:1
Net increase (decrease) from capital share transactions		8,918,522			23,554,155			13,783,313			(2,322,478	)		4,598,297
Total increase (decrease) in net assets		10,623,813			22,778,467			13,512,080			(2,481,295	)		3,323,347
Net Assets:
Beginning of period		68,633,118			45,854,651			—			37,839,965			34,516,618
End of period	$	79,256,931		$	68,633,118		$	13,512,080		$	35,358,670		$	37,839,965
End of period (distributions in excess) accumulated net investment income	($	784	)	$	7,856		$	36,062		$	2,215		$	7,556

* Commencement of operations was on January 2, 2015.

¹  See Note 1(g) of the Notes to Financial Statements.

The accompanying notes are an integral part of these financial statements.

60

Statements of Changes in Net Assets (continued)

For the six months ended June 30, 2015 (unaudited) and the year ended December 31, 2014

	AMG Managers Intermediate Duration Government Fund						AMG Managers Short Duration Government Fund
	2015			2014			2015			2014
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	771,339		$	2,189,952		$	458,991		$	1,950,075
Net realized gain (loss) on investments and futures contracts		251,682			4,637,953			(123,106	)		(35,126	)
Net change in unrealized appreciation (depreciation) of investments and futures contracts		(468,698	)		2,287,316			1,201,873			418,867
Net increase in net assets resulting from operations		554,323			9,115,221			1,537,758			2,333,816
Distributions to Shareholders:
From net investment income		(681,524	)		(2,186,725	)		(400,358	)		(2,078,120	)
From net realized gain on investments		—			(3,467,539	)		—			—
Total distributions to shareholders		(681,524	)		(5,654,264	)		(400,358	)		(2,078,120	)
Capital Share Transactions:
Proceeds from sale of shares		50,482,338			63,567,920			110,791,637			160,549,746
Reinvestment of dividends and distributions		619,217			5,096,002			364,637			1,907,063
Cost of shares repurchased		(35,340,951	)		(34,902,523	)		(121,882,631	)		(199,954,281	)
Net increase (decrease) from capital share transactions		15,760,604			33,761,399			(10,726,357	)		(37,497,472	)
Total increase (decrease) in net assets		15,633,403			37,222,356			(9,588,957	)		(37,241,776	)
Net Assets:
Beginning of period		174,137,622			136,915,266			385,246,359			422,488,135
End of period	$	189,771,025		$	174,137,622		$	375,657,402		$	385,246,359
End of period undistributed net investment income	$	92,916		$	3,101		$	58,633			—
Capital Share Transactions:
Sale of shares		4,577,263			5,754,077			11,460,437			16,610,106
Reinvested shares from dividends and distributions		56,235			465,823			37,689			197,427
Shares repurchased		(3,205,749	)		(3,191,247	)		(12,613,062	)		(20,694,738	)
Net increase (decrease) in shares		1,427,749			3,028,653			(1,114,936	)		(3,887,205	)

The accompanying notes are an integral part of these financial statements.

61

AMG Chicago Equity Partners Balanced Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Investor Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	15.09		$	15.13		$	14.19		$	13.70		$	13.49		$	12.33
Income from Investment Operations:
Net investment income1		0.05	2,17		0.11	2		0.10	2,4		0.18	2		0.18	2		0.20
Net realized and unrealized gain on investments		0.39			1.37			2.33			1.16			0.69			1.16
Total income from investment operations		0.44			1.48			2.43			1.34			0.87			1.36
Less Distributions to Shareholders from:
Net investment income		(0.05	)		(0.11	)		(0.09	)		(0.17	)		(0.18	)		(0.20	)
Net realized gain on investments		—			(1.41	)		(1.40	)		(0.68	)		(0.48	)		—
Total distributions to shareholders		(0.05	)		(1.52	)		(1.49	)		(0.85	)		(0.66	)		(0.20	)
Net Asset Value, End of Period	$	15.48		$	15.09		$	15.13		$	14.19		$	13.70		$	13.49
Total Return1		2.92	%8,15		9.69	%		17.14	%		9.86	%		6.45	%		11.14	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.08	%16		1.07	%		1.10	%5		1.17	%6,7		1.24	%		1.22	%
Ratio of expenses to average net assets (with offsets)		1.09	%16		1.09	%		1.11	%5		1.18	%6		1.25	%		1.25	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.34	%16		1.40	%		1.55	%5		1.52	%6		1.70	%		1.80	%
Ratio of net investment income to average net assets1		0.63	%16		0.70	%		0.62	%5		1.21	%6		1.27	%		1.56	%
Portfolio turnover		64	%15		92	%		90	%		110	%		94	%		97	%
Net assets at end of period (000’s omitted)	$	59,138		$	41,751		$	33,151		$	26,047		$	17,519		$	7,605

	For the six months ended June 30, 2015			For the years ended December 31,						For the period ended December 1, 2012 through
Service Class	(unaudited)			2014			2013			December 31, 2012*
Net Asset Value, Beginning of Period	$	15.23		$	15.26		$	14.30		$	15.11
Income from Investment Operations:
Net investment income1,2		0.06	17		0.15			0.13	4		0.02
Net realized and unrealized gain (loss) on investments		0.38			1.37			2.36			(0.08	)
Total income (loss) from investment operations		0.44			1.52			2.49			(0.06	)
Less Distributions to Shareholders from:
Net investment income		(0.06	)		(0.13	)		(0.12	)		(0.06	)
Net realized gain on investments		—			(1.42	)		(1.41	)		(0.69	)
Total distributions to shareholders		(0.06	)		(1.55	)		(1.53	)		(0.75	)
Net Asset Value, End of Period	$	15.61		$	15.23		$	15.26		$	14.30
Total Return1		2.91	%15		9.93	%		17.45	%8		(0.36	)%8,15
Ratio of net expenses to average net assets (with offsets/reductions)		0.93	%16		0.86	%		0.92	%5		0.82	%6,16
Ratio of expenses to average net assets (with offsets)		0.94	%16		0.88	%		0.93	%5		0.83	%6,16
Ratio of total expenses to average net assets (without offsets/reductions)3		1.19	%16		1.20	%		1.39	%5		1.62	%6,16
Ratio of net investment income to average net assets1		0.80	%16		0.91	%		0.83	%5		1.90	%6,16
Portfolio turnover		64	%15		92	%		90	%		110	%15
Net assets at end of period (000’s omitted)	$	18,618		$	14,481		$	1,581		$	9

62

AMG Chicago Equity Partners Balanced Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Institutional Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	15.22		$	15.26		$	14.31		$	13.82		$	13.60		$	12.43
Income from Investment Operations:
Net investment income1		0.07	2,17		0.15	2		0.14	2,4		0.21	2		0.21	2		0.24
Net realized and unrealized gain on investments		0.39			1.38			2.35			1.18			0.71			1.17
Total income from investment operations		0.46			1.53			2.49			1.39			0.92			1.41
Less Distributions to Shareholders from:
Net investment income		(0.07	)		(0.15	)		(0.13	)		(0.21	)		(0.22	)		(0.24	)
Net realized gain on investments		—			(1.42	)		(1.41	)		(0.69	)		(0.48	)		—
Total distributions to shareholders		(0.07	)		(1.57	)		(1.54	)		(0.90	)		(0.70	)		(0.24	)
Net Asset Value, End of Period	$	15.61		$	15.22		$	15.26		$	14.31		$	13.82		$	13.60
Total Return1		3.02	%15		9.97	%		17.45	%		10.09	%		6.77	%		11.42	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.83	%16		0.82	%		0.85	%5		0.92	%6,7		0.99	%		0.97	%
Ratio of expenses to average net assets (with offsets)		0.84	%16		0.84	%		0.86	%5		0.93	%6		1.00	%		1.00	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.08	%16		1.15	%		1.30	%5		1.27	%6		1.45	%		1.55	%
Ratio of net investment income to average net assets1		0.89	%16		0.95	%		0.88	%5		1.46	%6		1.52	%		1.81	%
Portfolio turnover		64	%15		92	%		90	%		110	%		94	%		97	%
Net assets at end of period (000’s omitted)	$	1,501		$	12,401		$	11,122		$	9,601		$	8,885		$	7,863

63

AMG Chicago Equity Partners Small Cap Value Fund

Financial Highlights

For a share outstanding throughout each period

Investor Class	For the period ended June 30, 2015**
Net Asset Value, Beginning of Period	$	10.00
Income from Investment Operations:
Net investment loss1,2		(0.04	)
Net realized and unrealized gain on investments		0.05
Total income from investment operations		0.01
Net Asset Value, End of Period	$	10.01
Total Return1		0.10	%15
Ratio of net expenses to average net assets (with offsets/reductions)		1.30	%16
Ratio of expenses to average net assets (with offsets)		1.35	%16
Ratio of total expenses to average net assets (without offsets/reductions)3		2.35	%16
Ratio of net investment loss to average net assets1		(0.70	)%16
Portfolio turnover		74	%15
Net assets at end of period (000’s omitted)	$	23

Service Class	For the period ended June 30, 2015**
Net Asset Value, Beginning of Period	$	10.00
Income from Investment Operations:
Net investment income1,2		0.06
Net realized and unrealized loss on investments		(0.03	)
Total income from investment operations		0.03
Net Asset Value, End of Period	$	10.03
Total Return1		0.30	%15
Ratio of net expenses to average net assets (with offsets/reductions)		1.00	%16
Ratio of expenses to average net assets (with offsets)		1.05	%16
Ratio of total expenses to average net assets (without offsets/reductions)3		1.67	%16
Ratio of net investment income to average net assets1		1.11	%16
Portfolio turnover		74	%15
Net assets at end of period (000’s omitted)	$	11,756

64

AMG Chicago Equity Partners Small Cap Value Fund

Financial Highlights

For a share outstanding throughout each period

Institutional Class	For the period ended June 30, 2015**
Net Asset Value, Beginning of Period	$	10.00
Income from Investment Operations:
Net investment income1,2		0.06
Net realized and unrealized loss on investments		(0.02	)
Total income from investment operations		0.04
Net Asset Value, End of Period	$	10.04
Total Return1		0.40	%15
Ratio of net expenses to average net assets (with offsets/reductions)		0.90	%16
Ratio of expenses to average net assets (with offsets)		0.95	%16
Ratio of total expenses to average net assets (without offsets/reductions)3		4.93	%16
Ratio of net investment income to average net assets1		1.17	%16
Portfolio turnover		74	%15
Net assets at end of period (000’s omitted)	$	1,732

65

AMG Managers High Yield Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Investor Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	7.84		$	8.09		$	8.07		$	7.51		$	7.74		$	7.35
Income from Investment Operations:
Net investment income1		0.21	2		0.42	2		0.47	2		0.54	2		0.56	2		0.61
Net realized and unrealized gain (loss) on investments		(0.04	)		(0.26	)		0.02			0.56			(0.22	)		0.39
Total income from investment operations		0.17			0.16			0.49			1.10			0.34			1.00
Less Distributions to Shareholders from:
Net investment income		(0.21	)		(0.41	)		(0.47	)		(0.54	)		(0.57	)		(0.61	)
Net Asset Value, End of Period	$	7.80		$	7.84		$	8.09		$	8.07		$	7.51		$	7.74
Total Return1		2.15	%15		1.99	%		6.21	%8		15.12	%8		4.54	%		14.20	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.15	%16		1.15	%		1.17	%9		1.15	%10		1.15	%		1.15	%
Ratio of expenses to average net assets (with offsets)		1.15	%16		1.15	%		1.17	%9		1.15	%10		1.15	%		1.15	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.62	%16		1.67	%		1.70	%9		1.73	%10		1.69	%		1.78	%
Ratio of net investment income to average net assets1		5.28	%16		5.12	%		5.76	%9		6.87	%10		7.35	%		8.06	%
Portfolio turnover		24	%15		40	%		39	%		48	%		48	%		60	%
Net assets at end of period (000’s omitted)	$	32,114		$	34,709		$	31,751		$	30,817		$	23,957		$	21,729
	For the six months ended June 30, 2015			For the years ended December 31,
Institutional Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	7.92		$	8.18		$	8.16		$	7.59		$	7.82		$	7.42
Income from Investment Operations:
Net investment income1		0.22	2		0.44	2		0.49	2		0.56	2		0.59	2		0.63
Net realized and unrealized gain (loss) on investments		(0.04	)		(0.26	)		0.02			0.58			(0.22	)		0.40
Total income from investment operations		0.18			0.18			0.51			1.14			0.37			1.03
Less Distributions to Shareholders from:
Net investment income		(0.22	)		(0.44	)		(0.49	)		(0.57	)		(0.60	)		(0.63	)
Net Asset Value, End of Period	$	7.88		$	7.92		$	8.18		$	8.16		$	7.59		$	7.82
Total Return1		2.27	%15		2.16	%		6.47	%		15.46	%		4.83	%		14.58	%8
Ratio of net expenses to average net assets (with offsets/reductions)		0.90	%16		0.90	%		0.92	%9		0.90	%10		0.90	%		0.90	%
Ratio of expenses to average net assets (with offsets)		0.90	%16		0.90	%		0.92	%9		0.90	%10		0.90	%		0.90	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.37	%16		1.42	%		1.45	%9		1.48	%10		1.44	%		1.53	%
Ratio of net investment income to average net assets1		5.53	%16		5.37	%		6.01	%9		7.12	%10		7.60	%		8.26	%
Portfolio turnover		24	%15		40	%		39	%		48	%		48	%		60	%
Net assets at end of period (000’s omitted)	$	3,245		$	3,131		$	2,765		$	2,538		$	5,247		$	4,718

66

AMG Managers Intermediate Duration Government Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	10.96		$	10.64		$	10.98		$	11.10		$	11.01		$	10.90
Income from Investment Operations:
Net investment income1		0.05	2		0.17	2		0.18	2		0.20	2		0.30			0.32
Net realized and unrealized gain (loss) on investments		(0.01	)		0.54			(0.32	)		0.14			0.34			0.46
Total income (loss) from investment operations		0.04			0.71			(0.14	)		0.34			0.64			0.78
Less Distributions to Shareholders from:
Net investment income		(0.04	)		(0.17	)		(0.18	)		(0.20	)		(0.30	)		(0.32	)
Net realized gain on investments		—			(0.22	)		(0.02	)		(0.26	)		(0.25	)		(0.35	)
Total distributions to shareholders		(0.04	)		(0.39	)		(0.20	)		(0.46	)		(0.55	)		(0.67	)
Net Asset Value, End of Period	$	10.96		$	10.96		$	10.64		$	10.98		$	11.10		$	11.01
Total Return1		0.37	%8,15		6.73	%8		(1.25	)%8		3.15	%8		5.88	%8		7.20	%8
Ratio of net expenses to average net assets (with offsets/reductions)		0.89	%16		0.89	%		0.91	%11		0.89	%12		0.88	%		0.89	%
Ratio of expenses to average net assets (with offsets)		0.89	%16		0.89	%		0.91	%11		0.89	%12		0.88	%		0.89	%
Ratio of total expenses to average net assets (without offsets/reductions)3		0.90	%16		0.96	%		0.94	%11		0.92	%12		0.94	%		0.96	%
Ratio of net investment income to average net assets1		0.83	%16		1.54	%		1.64	%11		1.81	%12		2.64	%		2.80	%
Portfolio turnover		9	%15		11	%		29	%		21	%		453	%		409	%
Net assets at end of period (000’s omitted)	$	189,771		$	174,138		$	136,915		$	185,898		$	178,087		$	153,644

67

AMG Managers Short Duration Government Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	9.65		$	9.64		$	9.65		$	9.57		$	9.58		$	9.56
Income from Investment Operations:
Net investment income1		0.01	2		0.05	2		0.03	2		0.08	2		0.09			0.13
Net realized and unrealized gain (loss) on investments		0.03			0.01			(0.01	)		0.08			(0.01	)		0.03
Total income from investment operations		0.04			0.06			0.02			0.16			0.08			0.16
Less Distributions to Shareholders from:
Net investment income		(0.01	)		(0.05	)		(0.03	)		(0.08	)		(0.09	)		(0.14	)
Net Asset Value, End of Period	$	9.68		$	9.65		$	9.64		$	9.65		$	9.57		$	9.58
Total Return1		0.42	%15		0.60	%		0.20	%		1.64	%		0.80	%		1.68	%8
Ratio of net expenses to average net assets (with offsets/reductions)		0.78	%16		0.80	%		0.79	%13		0.81	%14		0.82	%		0.81	%
Ratio of expenses to average net assets (with offsets)		0.78	%16		0.80	%		0.79	%13		0.81	%14		0.82	%		0.81	%
Ratio of total expenses to average net assets (without offsets/reductions)3		0.78	%16		0.80	%		0.79	%13		0.81	%14		0.82	%		0.82	%
Ratio of net investment income to average net assets1		0.25	%16		0.47	%		0.27	%13		0.80	%14		0.89	%		1.38	%
Portfolio turnover		17	%15		41	%		48	%		49	%		141	%		116	%
Net assets at end of period (000’s omitted)	$	375,657		$	385,246		$	422,488		$	466,415		$	393,014		$	380,926

Notes to Financial Highlights (unaudited)

* Commencement of operations was December 1, 2012.

** Commencement of operations was January 2, 2015.

¹  Total returns and net investment income would have been lower had certain expenses not been offset.

²  Per share numbers have been calculated using average shares.

³  Excludes the impact of expense reimbursements or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes and extraordinary expenses. (See Notes 1(c) and 2 in the Notes to Financial Statements.)

⁴  Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.09, $0.12, and $0.13 for AMG Chicago Equity Partners Balanced Fund’s Investor Class, Service Class, and Institutional Class shares, respectively.

⁵  Includes non-routine extraordinary expenses amounting to 0.019%, 0.014% and 0.019% of average net assets for the Investor Class, Service Class and Institutional Class, respectively.

⁶  Includes non-routine extraordinary expenses amounting to 0.005%, 0.005% and 0.004% of average net assets for the Investor Class, Service Class and Institutional Class, respectively.

⁷  Effective July 1, 2012, the Fund’s expense cap was reduced to 0.84% from 1.00%. The expense ratio shown reflects the weighted average expense ratio for the full year ended December 31, 2012.

⁸  The total return is based on the Financial Statement Net Asset Values as shown in the Financial Highlights.

⁹  Includes non-routine extraordinary expenses amounting to 0.020% and 0.021% of average net assets for the Investor Class and Institutional Class, respectively.

¹⁰  Includes non-routine extraordinary expenses amounting to 0.005% and 0.004% of average net assets for the Investor Class and Institutional Class, respectively.

¹¹  Includes non-routine extraordinary expenses amounting to 0.020% of average net assets.

¹²  Includes non-routine extraordinary expenses amounting to 0.004% of average net assets.

¹³  Includes non-routine extraordinary expenses amounting to 0.019% of average net assets.

¹⁴  Includes non-routine extraordinary expenses amounting to 0.005% of average net assets.

¹⁵  Not annualized.

¹⁶  Annualized.

¹⁷  Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.04, $0.05, and $0.06 for AMG Chicago Equity Partners Balanced Fund’s Investor Class, Service Class, and Institutional Class shares, respectively.

68

Notes to Financial Statements (unaudited)

June 30, 2015

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

AMG Funds and AMG Funds II (the “Trusts”) are open-end management investment companies, organized as a Massachusetts business trusts, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trusts consist of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Funds II: AMG Chicago Equity Partners Balanced Fund (“Balanced”), AMG Managers High Yield Fund (“High Yield”), AMG Managers Intermediate Duration Government Fund (“Intermediate Duration”) and AMG Managers Short Duration Government Fund (“Short Duration”) and AMG Funds: AMG Chicago Small Cap Value Fund (“Small Cap Value”), each a “Fund” and collectively the “Funds.” High Yield will deduct a 2.00% redemption fee from the proceeds of any redemption (including a redemption by exchange) of shares if the redemption occurs within 90 days of the purchase of those shares. For the six months ended June 30, 2015, High Yield had redemption fees amounting to $2,570.

The Small Cap Value Fund had an inception date of December 31, 2014. The Fund’s commencement of operations was on January 2, 2015.

Balanced and Small Cap Value offers three classes of shares: Investor, Service and Institutional Class. High Yield offers two classes of shares: Investor and Institutional Class. Each class represents an interest in the same assets of the Fund. Although all share classes generally have identical voting rights, each share class votes separately when required by law. Different share classes may pay different distribution amounts to the extent the net asset value per share and/or the expenses of such share classes differ. Each share class has its own expense structure. Please refer to a current prospectus for additional information on each share class.

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:

a. VALUATION OF INVESTMENTS

Equity securities traded on a domestic or international securities exchange are valued at the last quoted sale price, or, lacking any sales, at the last quoted bid price. Equity securities traded on an international securities exchange and equity securities traded on NASDAQ or in a U.S. or non-U.S. over-the-counter market are valued at the market’s official closing price, or, if there are no trades on the applicable date, at the last quoted bid price. In addition, if the applicable market does not offer an official closing price or if the official closing price is not representative of the overall market, equity securities traded on an international securities exchange and equity securities traded in a non-U.S. over-the-counter market are valued at the last quoted sales price. The Funds’ 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 Funds (the “Board”).

Fixed-income securities are valued based on valuations furnished by independent pricing services that utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. Debt obligations (other than short-term debt obligations that have 60 days or less remaining until maturity) will be valued using the evaluated bid price or the mean price provided by an authorized pricing service. Futures contracts for which market quotations are readily available are valued at the settlement price as of the close of the futures exchange. Short term debt obligations (debt obligations with maturities of one year or less at the time of issuance) that have 60 days or less remaining until maturity will be valued at amortized cost. Investments in other open-end regulated investment companies are valued at their end of day net asset value per share. Investments in certain mortgage-backed and stripped mortgage-backed securities, preferred stocks, convertible securities, derivatives and other debt securities not traded on an organized securities market are valued on the basis of valuations provided by dealers or by a pricing service which uses information with respect to transactions in such securities and various relationships between such securities and yield to maturity in determining value.

Under certain circumstances, the value of certain Fund 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 and Pricing Committee are the committees appointed by the Board to make fair value determinations for such investments. 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 deemed to be readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if AMG Funds LLC (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 seeks to determine the price that the Fund might reasonably expect to receive from a current sale of that 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 analytical data and press releases relating to the investment and its issuer; 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 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 Pricing Committee, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.

Portfolio investments that trade on foreign markets are priced based upon the market quotation of such securities as of the close of their respective principal

69

Notes to Financial Statements (continued)

markets. Under certain circumstances, on behalf of a fund that invests in international securities, the Investment Manager or applicable subadvisor may recommend an adjustment of such prices based on its determination of the impact of events occurring subsequent to the close of such markets but prior to the time as of which each Fund calculates its NAV. The Board has also adopted a policy that securities held in a fund that invests in international securities and certain foreign debt obligations held by a fund, in each case, that can be fair valued by the applicable fair value pricing service are fair valued on each business day without regard to a “trigger” (e.g., without regard to invoking fair value based upon a change in a U.S. equity securities index exceeding a predetermined level). The Funds may invest in securities that may be thinly traded. The Board has adopted procedures to adjust prices of securities that are judged to be stale so that they reflect fair value. An investment valued on the basis of its fair value may be valued at a price higher or lower than available market quotations.

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, futures contracts, options contracts)

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, swap contracts, 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.

b. SECURITY TRANSACTIONS

Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.

c. INVESTMENT INCOME AND EXPENSES

Dividend income is recorded on the ex-dividend date. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Distributions received in excess of income from return of capital including real estate investment trusts (REITs) are recorded as a reduction of the cost of the related investment and/or as a realized gain. If the Funds no longer own the applicable securities, any distributions received in excess of income are recorded as an adjustment to realized gain. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the Funds in the Trust and in some cases other affiliated funds based upon their relative average net assets or number of shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain Fund level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund.

The following Funds had certain portfolio trades directed to various brokers, under a brokerage recapture program, which paid a portion of such Fund’s expenses. For the six months ended June 30, 2015, the amount by which the Fund’s expenses were reduced and the impact on the expense ratios, if any, were as follows: Balanced - $4,686 or 0.01%, and Small Cap Value - $3,878 or 0.05%.

The Funds have a “balance credit” arrangement with The Bank of New York Mellon (“BNYM”), the Funds’ custodian, whereby each Fund is credited with an interest factor equal to 0.75% below the effective 90-day T-Bill rate for account balances left uninvested overnight. If the T-Bill rate falls below 0.75%, no credits will be earned. These credits serve to reduce custodian expenses that would otherwise be charged to each Fund. For the six months ended June 30, 2015, the Funds’ custodian expense was not reduced.

Overdraft fees are computed at 1% above the effective Federal Funds rate on the day of the overdraft. For the six months ended June 30, 2015, the Funds did not incur overdraft fees.

d. DIVIDENDS AND DISTRIBUTIONS

Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in December, as described in the Funds’ prospectus. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent

70

Notes to Financial Statements (continued)

differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The permanent differences are due primarily to differing treatments for losses deferred due to excise tax regulations. Temporary differences are due to wash sales, futures and tax straddles.

e. FEDERAL TAXES

Each Fund intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.

Additionally, based on each Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, each Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.

Management has analyzed the Funds’ tax positions taken on federal income tax returns as of December 31, 2014 and all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Additionally, the Funds are not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

Net capital losses incurred in taxable years beginning after the enactment of the Regulated Investment Company Modernization Act of 2010, may be carried forward for an unlimited time period. Such losses will be required to be utilized prior to any loss carryovers incurred in pre-enactment taxable years, which generally expire eight years following the close of the taxable year in which they were incurred. As a result of this ordering rule, pre-enactment capital loss carryovers may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward retain their tax character as either short-term or long-term capital losses, unlike pre-enactment losses which are considered all short-term.

f. CAPITAL LOSS CARRYOVERS AND DEFERRALS

As of June 30, 2015, the following Funds had accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains, if any, through the expiration dates listed or in the case of post-enactment losses, for an unlimited time period.

	Capital Loss Carryover Amounts				Expires
Fund	Short-Term		Long-Term		December 31,
Balanced
(Pre-Enactment)		—		—
Small Cap Value
(Post-Enactment)		—		—
High Yield
(Pre-Enactment)	$	2,105,202		—		2017
Intermediate Duration
(Pre-Enactment)		—		—
Short Duration
(Post-Enactment)	$	584,645		—		N/A

g. CAPITAL STOCK

The Trusts’ Declaration of Trust authorizes for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date. The cost of securities contributed to the Funds in connection with the issuance of shares is based on the valuation of those securities in accordance with the Funds’ policy on investment valuation.

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Notes to Financial Statements (continued)

For the six months ended June 30, 2015 (unaudited) and December 31, 2014, the capital stock transactions by class for Balanced, Small Cap Value and High Yield were as follows:

	Balanced												Small Cap*
	2015						2014						2015
	Shares			Amount			Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares		1,665,000		$	25,886,596			1,202,988		$	19,138,905			1,181,275		$	12,085,259
Reinvestment of distributions		9,048			140,636			208,257			3,173,093			—			—
Cost of shares repurchased		(618,647	)		(9,524,392	)		(836,466	)		(13,186,170	)		(1,178,938	)		(12,189,372	)
Net increase (decrease)		1,055,401		$	16,502,840			574,779		$	9,125,828			2,337		$	(104,113	)
Service Class:
Proceeds from sale of shares		410,209		$	6,391,583			1,334,849		$	20,991,730			1,218,989		$	12,611,930
Reinvestment of distributions		579			9,088			9,184			142,301			—			—
Cost of shares repurchased		(169,370	)		(2,622,979	)		(496,623	)		(8,023,723	)		(46,863	)		(481,690	)
Net increase		241,418		$	3,777,692			847,410		$	13,110,308			1,172,126		$	12,130,240
Institutional Class:
Proceeds from sale of shares		64,887		$	1,016,840			131,007		$	2,098,590			182,641		$	1,860,888
Reinvestment of distributions		2,336			36,453			75,120			1,155,376			—			—
Cost of shares repurchased		(785,759	)		(12,415,303	)		(120,406	)		(1,935,947	)		(10,020	)		(103,702	)
Net increase (decrease)		(718,536	)	$	(11,362,010	)		85,721		$	1,318,019			172,621		$	1,757,186

	High Yield
	2015						2014
	Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares		270,051		$	2,135,331			1,152,505		$	9,370,757
Reinvestment of distributions		101,226			799,655			195,308			1,581,726
Cost of shares repurchased		(681,438	)		(5,388,363	)		(841,406	)		(6,824,466	)
Net increase (decrease)		(310,161	)	$	(2,453,377	)		506,407		$	4,128,017
Institutional Class:
Proceeds from sale of shares		26,461		$	211,349			109,032		$	896,735
Reinvestment of distributions		10,582			84,481			18,929			154,888
Cost of shares repurchased		(20,584	)		(164,931	)		(70,641	)		(581,343	)
Net increase		16,459		$	130,899			57,320		$	470,280

* Commencement of operations was on January 2, 2015.

At June 30, 2015, certain unaffiliated shareholders of record, specifically omnibus accounts, individually or collectively held greater than 10% of the net assets of the Funds as follows: Balanced - one collectively owns 19%; Intermediate Duration – two collectively own 52%; Short Duration two collectively own 69%. Transactions by these shareholders may have a material impact on their respective Funds.

72

Notes to Financial Statements (continued)

h. REPURCHASE AGREEMENTS

The Funds may enter into repurchase agreements provided that the value of the underlying collateral, including accrued interest, will equal or exceed the value of the repurchase agreement during the term of the agreement. The underlying collateral for all repurchase agreements is held in safekeeping by the Fund’s custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. At June 30, 2015, the market value of repurchase agreements outstanding for Balanced, Small Cap Value, High Yield, Intermediate Duration and Short Duration was $1,067,348, $219,355, $1,765,157, $0 and $0, respectively.

i. SECURITIES TRANSACTED ON A WHEN ISSUED BASIS

The Funds may enter into To-Be-Announced (“TBA”) sale commitments to hedge their portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities according to the procedures described under “Valuation of Investments,” in footnote 1a above. Each contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the Funds realize a gain or loss. If the Funds deliver securities under the commitment, the Funds realize a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

j. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES

The Funds may enter into securities transactions on a delayed delivery or when issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Funds’ Schedules of Portfolio Investments. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Funds’ Statement of Assets and Liabilities. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.

2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES

For each of the Funds, the Trust has entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisors for the Funds (subject to Board approval) and monitors each subadvisor’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by one or more portfolio managers who serve pursuant to a subadvisory agreement with the Investment Manager. The investment portfolio of Balanced and Small Cap Value are managed by Chicago Equity Partners, LLC (“CEP”). AMG indirectly owns a majority interest in CEP.

Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the six months ended June 30, 2015, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:

Balanced	0.70	%
Small Cap Value	0.62	%
High Yield	0.70	%
Intermediate Duration	0.70	%
Short Duration	0.70	%

The Investment Manager has contractually agreed, through at least May 1, 2016, to waive management fees (but not below zero) and/or reimburse Fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), shareholder servicing, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) of Balanced, Small Cap Value and High Yield to 0.84%, 0.95% and 0.90%, respectively, of each Fund’s average daily net assets subject to later reimbursement by the Funds in certain circumstances.

The Investment Manager has contractually agreed, through at least May 1, 2016, to waive management fees (but not below zero) and/or reimburse Fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) to 0.89% of Intermediate Duration Fund’s average daily net assets subject to later reimbursement by the Fund in certain circumstances.

The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.

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Notes to Financial Statements (continued)

Each Fund is obligated to repay the Investment Manager such amounts waived, paid or reimbursed in future years provided that the repayment occurs within thirty-six (36) months after the waiver or reimbursement and that such repayment would not cause the Fund’s total annual operating expenses after fee waiver and expense reimbursements in any such future year to exceed that Fund’s contractual expense limitation amount. For the six months ended June 30, 2015, each Fund’s components of reimbursement available are detailed in the following chart:

	Balanced			Small Cap Value
Reimbursement Available -12/31/14	$	485,939			—
Additional Reimbursements		93,434		$	41,606
Expired Reimbursements		(37,143	)		—
Reimbursement Available - 6/30/15	$	542,230		$	41,606

	High Yield			Intermediate Duration
Reimbursement Available - 12/31/14	$	545,202		$	183,362
Additional Reimbursements		85,667			5,898
Expired Reimbursements		(90,422	)		(20,732	)
Reimbursement Available - 6/30/15	$	540,447		$	168,528

The expiration of each Fund’s reimbursement are as follows:

Expiry Date	Balanced		Small Cap Value
Less than 1 year*	$	168,100		—
Within 2 years		178,901		—
Within 3 years		195,229	$	41,606
Total amount subject to reimbursement	$	542,230	$	41,606

Expiry Date	High Yield		Intermediate Duration
Less than 1 year*	$	162,482	$	45,718
Within 2 years		175,806		56,203
Within 3 years		202,159		66,607
Total amount subject to reimbursement	$	540,447	$	168,528

* A portion of this represents the expiration amount through the year ended December 31, 2015 of $89,127, $0, $78,076 and $24,354 for Balanced, Small Cap Value, High Yield and Intermediate Duration, respectively.

The Investment Manager has agreed to waive a portion of its management fee in consideration of shareholder servicing fees that it has received from JPMorgan Distribution Services, Inc., with respect to short-term cash investments each Fund may have made in the JPMorgan Liquid Assets Money Market Fund, Capital Shares. For the six months ended June 30, 2015, the management fee for Intermediate Duration was reduced by $5,954.

Balanced, Small Cap Value and High Yield have entered into an Administration and Shareholder Servicing Agreement under which the Investment Manager serves as Funds’ administrator (the “Administrator”) and is responsible for all

aspects of managing the Funds’ operations, including administration and shareholder services to each Fund, its shareholders, and certain institutions, such as bank trust departments, broker-dealers and registered investment advisers, that advise or act as an intermediary with the Funds’ shareholders. Balanced, Small Cap Value and High Yield each pay a fee to the Administrator at the rate of 0.20%, 0.25%, 0.20%, respectively, per annum of each Fund’s average daily net assets for this service.

Effective January 1, 2015, the Board provides supervision of the affairs of the Trust, other trusts within the AMG Funds family of mutual funds (collectively the “AMG Funds family”) and other affiliated funds. Previously, the Board provided supervision to only the Trust and other trusts within the AMG Funds family.

Beginning January 1, 2015, the aggregate annual retainer paid to each Independent Trustee of the Board is $200,000, plus $16,000, $4,000 or $2,000 for each regular, in-person special or telephonic special meeting attended, respectively. The Independent Chairman of the Trusts receives an additional payment of $55,000 per year. The Chairman of the Audit Committee receives an additional payment of $25,000 per year.

Prior to January 1, 2015, the aggregate annual retainer paid to each Independent Trustee of the Board was $130,000, plus $7,000 or $2,500 for each regular or special meeting attended, respectively. The Independent Chairman of the Trusts formerly received an additional payment of $35,000 per year. The Chairman of the Audit Committee formerly received an additional payment of $15,000 per year.

Effective January 1, 2015, the Trustees’ fees and expenses are generally allocated among all of the Funds in the Trust, other trusts within the AMG Funds family and other affiliated funds based on the relative net assets of such funds. Before January 1, 2015, the Trustees’ fees and expenses were generally allocated among all of the funds in the Trust and other trusts within the AMG Funds family. The “Trustees fees and expenses” shown in the financial statements represents each Fund’s allocated portion of the total fees and expenses paid to the Independent Trustees of the Board.

The Funds are distributed by AMG Distributors, Inc. (the “Distributor”), a wholly-owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of each Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Subject to the compensation arrangement discussed below, generally the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.

The Trusts have adopted a distribution and service plan (the “Plan”) with respect to the Investor Class shares in accordance with the requirements of Rule 12b-1 under the 1940 Act and the requirements of the applicable rules of FINRA regarding asset based sales charges. Pursuant to the Plan, Balanced, Small Cap

74

Notes to Financial Statements (continued)

Value and High Yield may make payments to the Distributor for their expenditures in financing any activity primarily intended to result in the sale of each such class of the Fund’s shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorizes payments to the Distributor up to 0.25% annually of each Fund’s average daily net assets attributable to the Investor Class shares.

For Intermediate Duration, the Investor Class of Small Cap Value, and the Service Class of both Balanced and Small Cap Value, the Board has approved reimbursement payments to the Investment Manager for shareholder servicing expenses (“shareholder servicing fees”) for the actual amount incurred up to a maximum annual rate of each Class’s average daily net assets. Shareholder servicing fees include payments to third parties such as a bank, broker-dealer, trust company or other financial intermediaries who provide shareholder recordkeeping, account servicing and other services. For Short Duration, the Board has approved the Fund to pay shareholder servicing fees directly to a broker-dealer for the actual amount incurred up to a maximum annual rate of the Fund’s average daily net asset value.

The Fund’s maximum annual rate, and impact on the annualized expense ratio for the six months ended June 30, 2015, was as follows:

Fund	Maximum Amount Allowed			Actual Amount Incurred
Balanced-Service Class		0.100	%		0.100	%
Small Cap Value-Service Class		0.150	%		0.100	%
Small Cap Value-Investor Class		0.150	%		0.150	%
Intermediate Duration		0.100	%		0.100	%
Short Duration		0.100	%		0.001	%

The Securities and Exchange Commission granted an exemptive order that permits the Funds to lend and borrow money for certain temporary purposes directly to and from other eligible Funds in the AMG Funds family. Participation in this interfund lending program is voluntary for both the borrowing and lending Funds, and an interfund loan is only made if it benefits each participating Fund. The Investment Manager administers the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating Funds. Balanced borrowed varying amounts not exceeding $4,386,070, for 13 days paying interest of $355. The interest amount is included in the Statement of Operations as miscellaneous expense. At June 30, 2015, the Funds had no interfund loans outstanding.

3. PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities (excluding short-term securities) for the six months ended June 30, 2015, were as follows:

	Long-Term Securities (excluding U.S. Government Obligations)
Fund	Purchases		Sales
Balanced	$	41,358,368	$	36,401,062
Small Cap Value		19,453,448		5,702,632
High Yield		8,741,128		10,406,683
Intermediate Duration		29,662,206		10,995,290
Short Duration		29,812,589		43,409,778

	U.S. Government Obligations
Fund	Purchases		Sales
Balanced	$	17,224,437	$	12,074,887
Small Cap Value		—		—
High Yield		—		—
Intermediate Duration		28,294,638		9,335,011
Short Duration		24,971,619		44,372,519

4. PORTFOLIO SECURITIES LOANED

The Funds participate in a securities lending program offered by BNYM (the “Program”), providing for the lending of securities to qualified brokers. Securities lending income include earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash and is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Funds’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in a separate account managed by BNYM, who is authorized to exclusively enter into overnight government repurchase agreements. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested.

75

Notes to Financial Statements (continued)

At June 30, 2015, the value of the securities loaned and cash collateral received, were as follows:

Fund	Securities Loaned		Cash Collateral Received
Balanced	$	1,044,837	$	1,067,348
Small Cap Value		216,364		219,355
High Yield		1,695,796		1,765,157

5. COMMITMENTS AND CONTINGENCIES

Under the Trusts’ organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trusts. In addition, in the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The maximum exposure to the Funds under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds had no prior claims or losses and expect the risks of loss to be remote.

6. RISKS ASSOCIATED WITH HIGH YIELD SECURITIES

Investing in high yield securities involves greater risks and considerations not typically associated with U.S. Government and other high quality/investment grade securities. High yield securities are generally below investment grade securities and do not have an established retail secondary market. Economic downturns may disrupt the high yield market and impair the issuer’s ability to repay principal and interest. Also, an increase in interest rates would likely have an adverse impact on the value of such obligations and could cause the securities to become less liquid.

7. DERIVATIVE INSTRUMENTS

The following disclosures contain information on how and why the Funds use derivative instruments, the credit risk and how derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities and the realized and changes in unrealized gains and losses on the Statement of Operations, each categorized by type of derivative contract, are included in a table in the Notes to the Schedules of Portfolio Investments. For the six months ended June 30, 2015, the average quarterly balances of derivative financial instruments outstanding were as follows:

	Intermediate Duration		Short Duration
Financial futures contracts:
Average number of contracts purchased		7		20
Average number of contracts sold		63		464
Average notional value of contracts purchased	$	996,979	$	2,389,213
Average notional value of contracts sold	$	6,903,109	$	52,618,078

8. FUTURES CONTRACTS

The Funds entered into futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital shares transactions. There are certain risks associated with futures

contracts. Prices may not move as expected or the Fund may not be able to close out the contract when it desires to do so, resulting in losses.

On entering into a futures contract, either cash or securities in an amount equal to a certain percentage of the contract value (initial margin) must be deposited with the futures broker. Subsequent payments (variation margin) are made or received each day. The variation margin payments equal the daily changes in the contract value and are recorded as unrealized gains or losses. For over-the-counter (“OTC”) futures, daily variation margin is not required. The Funds recognize a realized gain or loss when the contract is closed or expires equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.

9. RISKS ASSOCIATED WITH COLLATERALIZED MORTGAGE OBLIGATIONS (“CMOs”)

The net asset values of the Funds may be sensitive to interest rate fluctuations because the Funds may hold several instruments, including CMOs and other derivatives, whose values can be significantly impacted by interest rate movements. CMOs are obligations collateralized by a portfolio of mortgages or mortgage-related securities. Payments of principal and interest on the mortgages are passed through to the holder of the CMOs on the same schedule as they are received, although certain classes of CMOs have priority over others with respect to the receipt of prepayments on the mortgages. Therefore, the investment in CMOs may be subject to a greater or lesser risk of prepayment than other types of mortgage-related securities. CMOs are subject to principal paydowns as a result of prepayments or refinancing of the underlying mortgage instruments. As a result, the average life may be substantially less than the original maturity. CMOs may have a fixed or variable rate of interest.

10. DOLLAR ROLL AGREEMENTS

The Funds may enter into dollar rolls in which they sell debt securities for delivery currently and simultaneously contract to repurchase similar, but not identical, securities at the same price or a lower price on an agreed date. The Funds receive compensation as consideration for entering into the commitment to repurchase. The compensation is the difference between the current sale price and the repurchase price (often referred to as the “drop”) as well as the interest earned on the cash proceeds of the initial sale. The Funds may also be compensated by the receipt of a commitment fee. As the holder, the counterparty receives all principal and interest payments, including prepayments, made with respect to the similar security sold. Dollar rolls may be renewed with a new sale and repurchase price with a cash settlement made at renewal without physical delivery of the securities subject to the contract.

Certain risks may arise upon entering into dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of such securities may change adversely before the Funds are able to repurchase them. There can be no assurance that the Funds’ use of the cash that they receive from a dollar roll will provide a return that exceeds their cost.

76

Notes to Financial Statements (continued)

11. STRIPPED SECURITIES

The Funds invest in stripped securities (“STRIPS”), primarily interest-only strips, for their hedging characteristics. Interest-only STRIPS will most likely move differently than typical fixed-income securities in relation to changes in interest rates. STRIPS are usually structured with two classes that receive different proportions of the interest and principal distributions from a pool of underlying assets. A common type of STRIP will have one class receiving all of the interest from the underlying assets (“interest-only” or “IO” class), while the other class will receive the entire principal (“principal only” or “PO” class). However, in some instances, one class will receive some of the interest and most of the principal while the other class will receive most of the interest and the remainder of the principal. STRIPS are unusually volatile in response to changes in interest rates. The yield to maturity on an IO class of STRIPS is extremely sensitive not only to changes in prevailing interest rates but also to the rate of principal payments (including prepayments) on the underlying assets. A rapid rate of principal prepayments may have a measurably adverse effect on a Funds’ yield to maturity to the extent it invests in IOs. Conversely, POs tend to increase in value if prepayments are greater than anticipated and decline if prepayments are slower than

anticipated. Thus, if the underlying assets experience greater than anticipated repayments of principal, a Fund may fail to fully recover its initial investment in these securities, even if the STRIPS were rated of the highest credit quality by Standard & Poor’s Corporation or Moody’s Investors Service, Inc. These risks are managed by investing in a variety of such securities and by using certain hedging techniques. In addition the secondary market for STRIPS may be less liquid than that of other mortgage-backed or asset-backed securities, potentially limiting a Fund’s ability to buy or sell those securities at any particular time.

12. MASTER NETTING AGREEMENTS

The Funds may enter into master netting agreements with their counterparties for the securities lending program and repurchase agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.

The following table is a summary of the Funds’ open repurchase agreements that are subject to a master netting agreement as of June 30, 2015:

	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Gross Amount Not Offset in the Statement of Assets and Liabilities
Fund			Financial Instruments		Cash Collateral Received		Net Amount
Balanced
Cantor Fitzgerald Securities, Inc.	$	1,000,000	$	1,000,000		—		—
Nomura Securities International, Inc.		67,348		67,348		—		—
Total	$	1,067,348	$	1,067,348		—		—
Small Cap Value
Cantor Fitzgerald Securities, Inc.	$	219,355	$	219,355		—		—
High Yield
Cantor Fitzgerald Securities, Inc.	$	1,000,000	$	1,000,000		—		—
Nomura Securities International, Inc.		765,157		765,157		—		—
Total	$	1,765,157	$	1,765,157		—		—

13. SUBSEQUENT EVENTS

Each Fund has determined that no material events or transactions occurred through the issuance of the Funds’ financial statements, which require additional disclosure in or adjustment of the Funds’ financial statements.

77

Annual Renewal of Investment Management and Subadvisory Agreements (unaudited)

AMG Managers Intermediate Duration Government Fund, AMG Managers Short Duration Government Fund, AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund: Approval of Investment Management and Subadvisory Agreements on June 24-25, 2015   At an in-person meeting held on June 24-25, 2015, the Board of Trustees (the “Board” or the “Trustees”), and separately a majority of the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), approved the Investment Management Agreement and separately an amendment to the Investment Management Agreement, in each case with AMG Funds, LLC (the “Investment Manager”), (collectively the “Investment Management Agreement”) for each of AMG Managers Intermediate Duration Government Fund, AMG Managers Short Duration Government Fund, AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund (each a “Fund”) and the Subadvisory Agreement for each Fund’s Subadvisor. The Independent Trustees were separately represented by independent legal counsel in connection with their consideration of the approval of these agreements. In considering the Investment Management and Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and each Subadvisor, including comparative performance, fee and expense information for an appropriate peer group of similar mutual funds (each a “Peer Group”), performance information for relevant benchmark indices (each a “Fund Benchmark”) and, with respect to each Subadvisor, comparative performance information for an appropriate peer group of managed accounts, and, as to all other matters, other information provided to them on a periodic basis throughout the year, as well as information provided in connection with the meetings of June 24-25, 2015, regarding the nature, extent and quality of services provided by the Investment Manager and the Subadvisors under their respective agreements. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with their independent legal counsel and with management; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Investment Management Agreement and the Subadvisory Agreements; and (c) met with their independent legal counsel in private sessions at which no representatives of management were present.   NATURE, EXTENT AND QUALITY OF SERVICES.   In considering the nature, extent and quality of the services provided by the Investment Manager, the Trustees reviewed information relating to the Investment Manager’s operations and personnel. Among other things, the Investment Manager provided financial information, biographical information on its supervisory and professional staff and descriptions of its organizational and management structure. The Trustees also took into account information provided periodically throughout the previous year by the Investment Manager in Board meetings relating to the performance of its duties with respect to the Funds and the Trustees’ knowledge of the Investment Manager’s management and the quality of the performance of the Investment Manager’s duties. In the course of their deliberations regarding the Investment Management Agreement, the Trustees evaluated, among other things: (a) the extent and quality of the Investment Manager’s oversight of the operation and management of the Funds; (b) the quality of the search, selection and monitoring services performed by the Investment Manager in overseeing the portfolio management responsibilities of the Subadvisors; (c) the Investment Manager’s ability to supervise the Funds’ other service providers; and (d) the Investment Manager’s compliance program. The Trustees also took into account that, in performing its functions under the Investment Management Agreement and supervising each Subadvisor, the Investment Manager: performs periodic detailed analysis and reviews of the performance by each Subadvisor of its obligations to a Fund, including without limitation, analysis and review of portfolio and other compliance matters and review of each Subadvisor’s investment performance in respect of a Fund; prepares and presents periodic reports to the Board regarding the investment performance of each Subadvisor and other information regarding each Subadvisor, at such times and in such forms as the Board may reasonably request; reviews and considers any changes in the personnel of each Subadvisor responsible for performing the Subadvisor’s obligations and makes appropriate reports to the Board; reviews and considers any changes in the ownership or senior management of each Subadvisor and makes appropriate reports to the Board; performs periodic in-person or telephonic diligence meetings, including with respect to compliance matters, with representatives of each Subadvisor; assists the Board and management of the Trust in developing and reviewing information with respect to the initial approval of each Subadvisory Agreement and annual consideration of each Subadvisory Agreement thereafter; prepares recommendations with respect to the continued retention of any Subadvisor or the replacement of any Subadvisor, including at the request of the Board; identifies potential successors to or replacements of any Subadvisor or potential additional subadvisors, performs appropriate due diligence, and develops and presents to the Board a recommendation as to any such successor, replacement, or additional subadvisor, including at the request of the Board; designates and compensates from its own resources such personnel as the Investment Manager may consider necessary or appropriate to the performance of its services; and performs such other review and reporting functions as the Board shall reasonably request consistent with the Investment Management Agreement and applicable law. With respect to AMG Chicago Equity Partners Balanced Fund, the Trustees noted the affiliation of the Subadvisor with the Investment Manager, noting any potential conflicts of interest. The Trustees also took into account the financial condition of the Investment Manager with respect to its ability to provide the services required under the Investment Management Agreement and the Investment Manager’s undertaking to maintain contractual expense

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Annual Renewal of Investment Management and Subadvisory Agreements (continued)

limitations for AMG Managers Intermediate Duration Government Fund, AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund. The Trustees also considered the Investment Manager’s risk management processes.   For each Fund, the Trustees also reviewed information relating to each Subadvisor’s operations and personnel and the investment philosophy, strategies and techniques (for each Subadvisor, its “Investment Strategy”) used in managing the Fund. Among other things, the Trustees reviewed biographical information on portfolio management and other professional staff, information regarding each Subadvisor’s organizational and management structure and each Subadvisor’s brokerage policies and practices. The Trustees considered specific information provided regarding the experience of the individuals at each Subadvisor with portfolio management responsibility for the Fund, including the information set forth in the Fund’s prospectus and statement of additional information. In the course of their deliberations, the Trustees evaluated, among other things: (a) the services rendered by each Subadvisor in the past; (b) the qualifications and experience of the Subadvisor’s personnel; and (c) the Subadvisor’s compliance program. The Trustees also took into account the financial condition of each Subadvisor with respect to its ability to provide the services required under its Subadvisory Agreement. The Trustees also considered each Subadvisor’s risk management processes.   PERFORMANCE.   As noted above, the Board considered each Fund’s net performance during relevant time periods as compared to the Fund’s Peer Group and Fund Benchmark and considered each Subadvisor’s performance as compared to an appropriate peer group of managed accounts and also considered the gross performance of the Fund as compared to the Subadvisor’s relevant performance composite that utilizes the same investment strategy and approach and noted that the Board reviews on a quarterly basis detailed information about both the Fund’s performance results and portfolio composition, as well as each Subadvisor’s Investment Strategy. The Board noted the Investment Manager’s expertise and resources in monitoring the performance, investment style and risk-adjusted performance of each Subadvisor. The Board was mindful of the Investment Manager’s attention to monitoring each Subadvisor’s performance with respect to the Funds and its discussions with management regarding the factors that contributed to the performance of the Funds.   ADVISORY FEES AND PROFITABILITY.   In considering the reasonableness of the advisory fee charged by the Investment Manager for managing each Fund, the Trustees noted that the Investment Manager, and not the Fund, is responsible for paying the fees charged by the Fund’s Subadvisor and, therefore, that the fees paid to the Investment Manager cover the cost of providing portfolio management services as well as the cost of providing search, selection and monitoring services in operating a “manager-of-managers” complex of mutual funds. The Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to each Fund. The Trustees also noted any payments that were made from Chicago Equity Partners, LLC (“CEP”) to the Investment Manager. The Trustees concluded that, in light of the additional high quality supervisory services provided by the Investment Manager and the fact that the subadvisory fees are paid out of the advisory fee, the advisory fee payable by each Fund to the Investment Manager can reasonably be expected to exceed the median advisory fee for the Peer Group, which consists of many funds that do not operate with a manager-of-managers structure. In this regard, the Trustees also noted that the Investment Manager has undertaken to maintain contractual expense limitations for AMG Managers Intermediate Duration Government Fund, AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund. In addition, in considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees also reviewed information provided by the Investment Manager setting forth all revenues and other benefits, both direct and indirect (including any so-called “fallout benefits” such as reputational value derived from the Investment Manager serving as Investment Manager to a Fund), received by the Investment Manager and its affiliates attributable to managing each Fund and all the mutual funds in the AMG Funds Family of Funds, the cost of providing such services and the resulting profitability to the Investment Manager and its affiliates from these relationships. The Trustees also noted the current asset levels of each Fund and the willingness of the Investment Manager to waive fees and pay expenses for AMG Managers Intermediate Duration Government Fund, AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund from time to time as a means of limiting total expenses. The Trustees also considered management’s discussion of the current asset levels of the Funds, and considered the impact on profitability of the current asset levels and any future growth of assets of the Funds. The Board took into account management’s discussion of the current advisory fee structure, and, as noted above, the services the Investment Manager provides in performing its functions under the Investment Management Agreement and supervising each Subadvisor. In this regard, the Trustees noted that, unlike a mutual fund that is managed by a single investment adviser, the Funds operate in a manager-of-managers structure. Based on the foregoing, the Trustees concluded that the profitability to the Investment Manager is reasonable and that the Investment Manager is not realizing material benefits from economies of scale that would warrant adjustments to the advisory fees for any Fund at this time. With respect to economies of scale, the Trustees also noted that as a Fund’s assets increase over time, the Fund may realize other economies of scale to the extent that the increase in assets is proportionally greater than the increase in certain other expenses.

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Annual Renewal of Investment Management and Subadvisory Agreements (continued)

SUBADVISORY FEES AND PROFITABILITY.   In considering the reasonableness of the fee payable by the Investment Manager to each of J.P. Morgan Investment Management Inc. (“JPMorgan”) and Amundi Smith Breeden LLC (“Amundi Smith Breeden”), the Trustees relied on the ability of the Investment Manager to negotiate the terms of the Subadvisory Agreement at arm’s length as part of the manager-of-managers structure, noting that the Investment Manager is not affiliated with JPMorgan or Amundi Smith Breeden. In addition, the Trustees considered other potential benefits of the subadvisory relationship to JPMorgan and Amundi Smith Breeden, including, among others, the indirect benefits that JPMorgan and Amundi Smith Breeden, respectively, may receive from its relationship with a Fund, including any so-called “fallout benefits” to JPMorgan or Amundi Smith Breeden, such as reputational value derived from JPMorgan and Amundi Smith Breeden serving as Subadvisor to a Fund. In addition, the Trustees noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. As a consequence of all of the foregoing, the cost of services to be provided by each of JPMorgan and Amundi Smith Breeden and the profitability to each of JPMorgan and Amundi Smith Breeden of its relationship with a Fund were not material factors in the Trustees’ deliberations. For similar reasons, the Trustees did not consider potential economies of scale in the management of a Fund by each of JPMorgan and Amundi Smith Breeden to be a material factor in their deliberations at this time.   In considering the reasonableness of the fees payable by the Investment Manager to CEP, the Trustees noted that CEP is an affiliate of the Investment Manager and reviewed information regarding the cost to CEP of providing subadvisory services to the Fund and the resulting profitability from such relationship and noted that, because CEP is an affiliate of the Investment Manager, a portion of such profitability or CEP’s revenues might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. The Board also took into account management’s discussion of the current subadvisory fee structure, and the services CEP provides in performing its functions under the Subadvisory Agreement. Based on the foregoing, the Trustees concluded that the profitability to CEP is reasonable and that CEP is not realizing material benefits from economies of scale that would warrant adjustments to the subadvisory fee at this time. Also with respect to economies of scale, the Trustees noted that as the Fund’s assets increase over time, the Fund may realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.   In addition to the foregoing, the Trustees considered the specific factors and related conclusions set forth below with respect to each Fund, the Investment Manager and each Subadvisor.   AMG Managers Short Duration Government Fund   Fund Performance.   Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2015 was above, below, below and above, respectively, the median performance of the Peer Group and above the performance of the Fund Benchmark, the BofA Merrill Lynch 6-Month U.S. T-Bill Index. The Trustees also took into account management’s discussion of the Fund’s performance, including its more recent improved performance and the fact that the Fund outperformed the Fund Benchmark for all relevant time periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.   Advisory and Subadvisory Fees.   The Trustees noted that the Fund’s advisory fee and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2015 were both higher than the average for the Fund’s Peer Group. The Trustees took into account management’s discussion of the Fund’s expenses, including the Fund’s relatively distinctive investment approach. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor, and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.   AMG Managers Intermediate Duration Government Fund   Fund Performance.   Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2015 was above the median performance of the Peer Group and above, above, above and below, respectively, the performance of the Fund Benchmark, the Citigroup Mortgage Index. The Trustees took into account management’s discussion of the Fund’s performance, including the fact that the Fund ranked in the top decile relative to its Peer Group for the 1-year and 3-year periods and in the top quintile relative to its Peer Group for the 5-year and 10-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.   Advisory and Subadvisory fees.   The Trustees noted that the Fund’s advisory fee and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2015 were both higher than the average for the Peer Group. The Trustees took into account management’s discussion of the Fund’s expenses, including the fact that the Investment Manager has contractually agreed, through May 1, 2016, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.89%. The Trustees also took into account the Fund’s relatively distinctive investment approach. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor, the foregoing expense limitation and the

80

Annual Renewal of Investment Management and Subadvisory Agreements (continued)

considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.   AMG Chicago Equity Partners Balanced Fund   Fund Performance.   Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Investor Class shares (which share class has the largest assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2015 was above the median performance of the Peer Group and above, below, below and above, respectively, the performance of the Fund Benchmark, a Composite Index (60% Russell 1000^® Index and 40% Barclays U.S. Aggregate Index). The Trustees took into account management’s discussion of the Fund’s performance, including the fact that the Fund ranked in the top decile relative to its Peer Group for the 1-year period. The Trustees also noted that the Fund’s longer-term performance results ranked strongly relative to its Peer Group. The Trustees concluded that the Fund’s overall performance has been satisfactory.   Advisory and Subadvisory fees.   The Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2015 were higher and lower, respectively, than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2016, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.84%. The Trustees also noted that the Investment Manager previously reduced the Fund’s expense limitation in 2012. The Trustees also took into account management’s discussion of the Fund’s expenses, including fees and expenses relative to comparably sized funds, and the current size of the Fund. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.   AMG Managers High Yield Fund   Fund Performance.   Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Investor Class shares (which share class has the earliest inception date and the largest assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2015 was above, above, above and at, respectively, the median performance of the Peer Group and below the performance of the Fund Benchmark, the Barclays U.S. Corporate High Yield Bond Index. The Trustees took into account management’s discussion of the Fund’s performance, including its more recent improved performance. The Trustees also noted that the Fund performed well relative to the Peer Group for the 1-year, 3-year and 5-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.   Advisory and Subadvisory fees.   The Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2015 were both higher than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2016, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.90%. The Trustees also took into account management’s discussion of the Fund’s expenses, including relative to comparably sized funds, and the current size of the Fund. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor, the foregoing expense limitation   and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.   *        *        *         *   After consideration of the foregoing, the Trustees also reached the following conclusions (in addition to the conclusions discussed above) regarding the Investment Management Agreement and each Subadvisory Agreement: (a) the Investment Manager and each Subadvisor have demonstrated that they possess the capability and resources to perform the duties required of them under the Investment Management Agreement and the applicable Subadvisory Agreement; (b) each Subadvisor’s Investment Strategy is appropriate for pursuing the applicable Fund’s investment objectives; and (c) the Investment Manager and each Subadvisor maintain appropriate compliance programs.   Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of the Investment Management Agreement and each Subadvisory Agreement would be in the best interests of the applicable Fund and its shareholders. Accordingly, on June 24-25, 2015, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management Agreement for each Fund and the Subadvisory Agreement for each Fund.

81

Approval of Investment Advisory and Subadvisory Agreements (unaudited)

Approval of Amendment to Investment Management Agreement and New Subadvisory Agreement with Chicago Equity Partners, LLC with Respect to AMG Chicago Equity Partners Small Cap Value Fund   At an in-person meeting held on September 18-19, 2014, the Board of Trustees (the “Board” or the “Trustees”) of AMG Funds (the “Trust”), and separately a majority of the Trustees who are not “interested persons” of the Trust (“Independent Trustees”) within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”), unanimously voted to approve an amendment to the Investment Management Agreement (the “Investment Management Agreement”) between AMG Funds LLC (the “Investment Manager”) and the Trust relating to AMG Chicago Equity Partners Small Cap Value Fund, a new series of the Trust (the “New Fund”), and a new Subadvisory Agreement between the Investment Manager and Chicago Equity Partners, LLC (“CEP”) relating to the New Fund (the “Subadvisory Agreement” and, together with the Investment Management Agreement, the “New Fund Agreements”). The Trustees were separately represented by independent legal counsel in their consideration of the New Fund Agreements.   In considering the New Fund Agreements, the Trustees reviewed a variety of materials relating to the New Fund, the Investment Manager and CEP, including fee and expense information for an appropriate peer group of similar mutual funds for the New Fund (the “Peer Group”) and other information regarding the nature, extent and quality of services to be provided by the Investment Manager and CEP under their respective agreements. Because the New Fund is a newly created series of the Trust and has not yet begun operations, no comparative performance information for the New Fund was provided. The Trustees, however, considered the performance of the Small Cap Value Equity Composite managed by CEP for various time periods. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with their independent legal counsel and with management and (b) discussed with legal counsel the legal standards applicable to their consideration of the New Fund Agreements.   NATURE, EXTENT AND QUALITY OF SERVICES.   In considering the nature, extent and quality of the services to be provided by the Investment Manager under the Investment Management Agreement, the Trustees took into account information provided periodically throughout the previous year by the Investment Manager in Board meetings relating to the Investment Manager’s financial information, operations and personnel, the performance of its duties with respect to other funds in the AMG Fund Complex, the quality of the performance of the Investment Manager’s duties and the Trustees’ knowledge of the Investment Manager’s management team.   In the course of their deliberations regarding the Investment Management Agreement, the Trustees evaluated, among other things: (a) the quality of the monitoring services intended to be performed by the Investment Manager in overseeing the portfolio management responsibilities of CEP; (b) the Investment Manager’s ability to supervise the New Fund’s other service providers; and (c) the Investment Manager’s compliance program. The Trustees also took into account that, in performing its functions under the Investment Management Agreement and supervising CEP, the Investment Manager will: perform periodic detailed analysis and reviews of the performance by CEP of its obligations to the New Fund, including without limitation a review of CEP’s investment performance in respect of the New Fund; prepare and present periodic reports to the Trustees regarding the investment performance of CEP and other information regarding CEP, at such times and in such forms as the Trustees may reasonably request; review and consider any changes in the personnel of CEP responsible for performing CEP’s obligations and make appropriate reports to the Trustees; review and consider any changes in the ownership or senior management of CEP and make appropriate reports to the Trustees; perform periodic in-person or telephonic diligence meetings, including with respect to compliance matters, with representatives of CEP; assist the Trustees and management of the Trust in developing and reviewing information with respect to the annual consideration of the Subadvisory Agreement; prepare recommendations with respect to the continued retention of CEP or the replacement of CEP; identify potential successors to or replacements of CEP or potential additional subadvisors; perform appropriate due diligence, and develop and present to the Trustees a recommendation as to any such successor, replacement, or additional subadvisor; designate and compensate from its own resources such personnel as the Investment Manager may consider necessary or appropriate to the performance of its services; and perform such other review and reporting functions as the Trustees shall reasonably request consistent with the Investment Management Agreement and applicable law. The Trustees also took into account the financial condition of the Investment Manager with respect to its ability to provide the services required under the Investment Management Agreement and noted that, as of June 30, 2014, the Investment Manager had approximately $42.1 billion in mutual fund assets under management. The Trustees also considered the Investment Manager’s risk management processes.   In the course of their deliberations regarding the nature, extent and quality of services to be provided by CEP under the Subadvisory Agreement, the Trustees evaluated, among other things: (a) the expected services to be rendered by CEP to the New Fund; (b) the qualifications and experience of CEP’s personnel; and (c) CEP’s compliance program. The Trustees also took into account the financial condition of CEP with respect to its ability to provide the services required under the Subadvisory Agreement and noted that, as of June 30, 2014, CEP managed approximately $10.5 billion in assets. The Trustees also considered CEP’s risk management processes. The Trustees also noted that CEP advised one other fund in the Fund Complex, and that the Trustees had overseen the fund advised by CEP since 2000.

82

Approval of Investment Advisory and Subadvisory Agreements (continued)

The Trustees also considered information they received and discussed at the June 19-20, 2014 in-person meeting regarding the nature, extent and quality of services provided by the Investment Manager and CEP, as applicable, to the AMG funds Fund Complex in connection with the Trustees’ annual consideration at the AMG Fund’s contractual arrangements.   The Trustees considered the investment philosophy, strategies and techniques that are intended to be used in managing the New Fund. Among other things, the Trustees reviewed biographical information on portfolio management and other professional staff, information regarding CEP’s organizational and management structure and CEP’s brokerage policies and practices. The Trustees considered specific information provided regarding the experience of the individuals at CEP that are expected to have portfolio management responsibility for the New Fund, including the information set forth in the New Fund’s prospectus and statement of additional information to be filed with the Securities and Exchange Commission. The Trustees noted that two of the proposed portfolio managers are Founding Partners of CEP (founded in 1989) and serve as co-portfolio managers for the equity portion of the other fund sub-advised by CEP in the Fund Complex. The Trustees also noted that one of these proposed portfolio managers is the Chief Investment Officer of Equities at CEP and the other is the Lead Portfolio Manager of Equities. The Trustees further noted that the third proposed portfolio manager is a Partner and Managing Director at CEP and joined CEP in 1998. In addition, the Trustees observed that CEP is proposing to combine quantitative methods with a qualitative implementation plan and proprietary risk model to seek to create and manage a diversified value-oriented small-cap equity portfolio. The Trustees considered that this investment process seeks to construct a well-diversified portfolio of companies with attractive valuation ratios, quality balance sheets and positive growth and momentum expectations built through a disciplined, risk controlled process. PERFORMANCE.   Because the New Fund has not yet commenced operations, the Trustees noted that they could not draw any conclusions regarding the performance of the New Fund. The Trustees, however, considered the performance of CEP with respect to its Small Cap Value Equity Composite. The Trustees noted that, for the one-year, three-year and five-year periods ended June 30, 2014, the annualized gross performance of the Composite was above the performance of the Russell 2000 Value^® Index. The Trustees concluded this performance record supported the approval of the Subadvisory Agreement.   ADVISORY FEES AND PROFITABILITY.   In considering the reasonableness of the advisory fee charged by the Investment Manager for managing the New Fund, the Trustees noted that the Investment Manager, and not the New Fund, is responsible for paying the fees charged by CEP, and, therefore, that the fees paid to the Investment Manager cover the cost of providing portfolio management services as well as the cost of providing search, selection and monitoring services in operating a “manager-of-managers” complex of mutual funds. The Trustees also noted that all of the advisory fees paid to the Investment Manager by the New Fund would be paid in turn to CEP and that the Investment Manager would indirectly benefit from such fees because the Investment Manager and CEP are affiliated. The Trustees noted that the New Fund’s estimated advisory fees and total gross expenses were lower than the average for the New Fund’s Peer Group, measured as of July 31, 2014. The Trustees also took into account the fact that the Investment Manager has contractually agreed, through at least May 1, 2016, to limit the total annual operating expenses (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) of the New Fund to the annual rate of 0.95% of the New Fund’s average daily net assets, noting that the net expenses of the New Fund were lower than the average for the New Fund’s Peer Group. The Trustees concluded that, in light of the nature, extent and quality of the services to be provided by the Investment Manager and CEP and the considerations noted above with respect to the Investment Manager and CEP, the New Fund’s advisory fees, including subadvisory fees, are reasonable.   In considering the anticipated profitability of the Investment Manager with respect to the provision of investment advisory services to the New Fund, the Trustees considered all revenues and other benefits, both direct and indirect (including any so-called “fallout benefits” such as reputational value derived from the Investment Manager serving as investment manager to the New Fund), received by Investment Manager and its affiliates attributable to managing all the mutual funds in the AMG Funds family of funds, the cost of providing such services and the resulting profitability to the Investment Manager and its affiliates from these relationships. The Trustees also noted that all of the advisory fees paid to the Investment Manager by the New Fund would be paid in turn to CEP. Based on the foregoing, the Trustees concluded that the profitability to the Investment Manager is expected to be reasonable and that, since the New Fund does not currently have any assets, the Investment Manager is not realizing any material benefits from economies of scale. With respect to economies of scale, the Trustees also noted that as the New Fund’s assets increase over time, the New Fund may realize economies of scale to the extent that the increase in assets is proportionally greater than the increase in certain other expenses.   In considering the anticipated profitability of CEP with respect to the provision of subadvisory services to the New Fund, although recognizing that profitability with respect to the New Fund is speculative, the Trustees considered information regarding CEP’s organization, management and financial stability. The Trustees noted that, because CEP is an affiliate of the Investment Manager, such anticipated profitability might be

83

Approval of Investment Advisory and Subadvisory Agreements (continued)

directly or indirectly shared by the Investment Manager. The Trustees also noted that the subadvisory fees are to be paid by the Investment Manager out of its advisory fee. The Board took into account management’s discussion of the proposed subadvisory fee structure, and the services CEP is expected to provide in performing its functions under the Subadvisory Agreement. The Trustees also considered the anticipated net assets of the New Fund for its first year of operations. The Trustees also were provided, in their June 19-20, 2014 meeting, with the profitability of CEP with respect to the other fund it manages in the Fund complex. Based on the foregoing, the Trustees concluded that the profitability to CEP is expected to be reasonable and that, since the New Fund does not currently have any assets, CEP is not realizing material benefits from economies of scale. Also with respect to economies of scale, the Trustees noted that as the New Fund’s assets increase over time, the New Fund may realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.   After consideration of the foregoing, the Trustees reached the following conclusions (in addition to the conclusions discussed above) regarding the New Fund Agreements: (a) the Investment Manager and CEP have demonstrated that they possess the capability and resources to perform the duties required of them under the Investment Management Agreement and the Subadvisory Agreement; (b) CEP’s investment strategy is appropriate for pursuing the New Fund’s investment objectives; (c) CEP is reasonably likely to execute its investment strategy consistently over time; and (d) the Investment Manager and CEP maintain appropriate compliance programs.   Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of the New Fund Agreements would be in the best interests of the New Fund and its shareholders. Accordingly, on September 18-19, 2014, the Trustees, and separately a majority of the Independent Trustees, unanimously voted to approve the New Fund Agreements.

84

INVESTMENT MANAGER AND ADMINISTRATOR   AMG Funds LLC 800 Connecticut Avenue Norwalk, CT 06854 (800) 835-3879   DISTRIBUTOR   AMG Distributors, Inc. 800 Connecticut Avenue Norwalk, CT 06854 (800) 835-3879   CUSTODIAN   The Bank of New York Mellon 2 Hanson Place Brooklyn, NY 11217   LEGAL COUNSEL   Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, MA 02199-3600 TRANSFER AGENT   BNY Mellon Investment Servicing (US) Inc. Attn: AMG Funds P.O. Box 9769 Providence, RI 02940 (800) 548-4539   FOR MANAGERSCHOICE^™ ONLY   AMG Funds c/o BNY Mellon Investment Servicing (US) Inc. P.O. Box 9847 Providence, Rhode Island 02940-8047 (800) 358-7668   TRUSTEES   Bruce B. Bingham Christine C. Carsman William E. Chapman II Edward J. Kaier Kurt A. Keilhacker Steven J. Paggioli Richard F. Powers III Eric Rakowski Victoria L. Sassine Thomas R. Schneeweis This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.835.3879. Distributed by AMG Distributors, Inc., member FINRA/SIPC.   Current net asset values per share for each Fund are available on the Funds’ website at www.amgfunds.com.   A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.835.3879, or (ii) on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. For information regarding each Fund’s proxy voting record for the 12-month period ended June 30, call 800.835.3879 or visit the SEC website at www.sec.gov.   The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. A Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To review a complete list of the Fund’s portfolio holdings, or to view the most recent quarterly holdings report, semiannual report, or annual report, please visit www.amgfunds.com.

www.amgfunds.com

AFFILIATE SUBADVISED FUNDS

BALANCED FUNDS   AMG Chicago Equity Partners Balanced Chicago Equity Partners, LLC   AMG FQ Global Risk-Balanced First Quadrant, L.P.   EQUITY FUNDS   AMG Chicago Equity Partners Small Cap Value Chicago Equity Partners, LLC   AMG FQ Tax-Managed U.S. Equity AMG FQ U.S. Equity First Quadrant, L.P.   AMG Frontier Small Cap Growth Frontier Capital Management Company, LLC   AMG GW&K Small Cap Core AMG GW&K Small Cap Growth GW&K Investment Management, LLC AMG Renaissance International Equity AMG Renaissance Large Cap Growth The Renaissance Group LLC   AMG SouthernSun Small Cap AMG SouthernSun U.S. Equity SouthernSun Asset Management, LLC   AMG Systematic Large Cap Value AMG Systematic Mid Cap Value Systematic Financial Management, L.P.   AMG TimesSquare All Cap Growth AMG TimesSquare International Small Cap AMG TimesSquare Mid Cap Growth AMG TimesSquare Small Cap Growth TimesSquare Capital Management, LLC AMG Trilogy Emerging Markets Equity AMG Trilogy Emerging Wealth Equity AMG Trilogy Global Equity AMG Trilogy International Small Cap Trilogy Global Advisors, L.P.   AMG Yacktman Focused AMG Yacktman AMG Yacktman Special Opportunities Yacktman Asset Management LP   FIXED INCOME FUNDS   AMG GW&K Enhanced Core Bond AMG GW&K Core Bond (formerly AMG Managers Total Return Bond) AMG GW&K Municipal Bond AMG GW&K Municipal Enhanced Yield GW&K Investment Management, LLC

OPEN-ARCHITECTURE FUNDS

EQUITY FUNDS   AMG Managers Brandywine Advisors Mid Cap Growth AMG Managers Brandywine Blue AMG Managers Brandywine Friess Associates, LLC   AMG Managers Cadence Capital Appreciation AMG Managers Cadence Emerging Companies AMG Managers Cadence Mid Cap Cadence Capital Management, LLC   AMG Managers Emerging Opportunities Lord, Abbett & Co. LLC WEDGE Capital Management L.L.P. Next Century Growth Investors LLC RBC Global Asset Management (U.S.) Inc. AMG Managers Essex Small/Micro Cap Growth Essex Investment Management Co., LLC   AMG Managers Real Estate Securities CenterSquare Investment Management, Inc.   AMG Managers Skyline Special Equities Skyline Asset Management, L.P.   AMG Managers Special Equity Ranger Investment Management, L.P. Lord, Abbett & Co. LLC Smith Asset Management Group, L.P. Federated MDTA LLC FIXED INCOME FUNDS   AMG Managers Bond AMG Managers Global Income Opportunity Loomis, Sayles & Co., L.P.   AMG Managers High Yield J.P. Morgan Investment Management Inc.   AMG Managers Intermediate Duration Government AMG Managers Short Duration Government Amundi Smith Breeden LLC

                         www.amgfunds.com  

             SEMI-ANNUAL REPORT

AMG Funds

June 30, 2015

AMG GW&K Enhanced Core Bond Fund

Investor Class: MFDAX    |    Service Class: MFDSX    |    Class C: MFDCX

Institutional Class: MFDYX

AMG GW&K Municipal Bond Fund

Investor Class: GWMTX    |    Service Class: GWMSX    |    Institutional Class: GWMIX

AMG GW&K Municipal Enhanced Yield Fund

Investor Class: GWMNX    |    Service Class: GWMRX    |    Institutional Class: GWMEX

AMG GW&K Small Cap Core Fund

Investor Class: GWETX    |    Service Class: GWESX    |    Institutional Class: GWEIX

  www.amgfunds.com     SAR019-0615  

AMG Funds

Semi-Annual Report—June 30, 2015 (unaudited)

TABLE OF CONTENTS	PAGE
ABOUT YOUR FUND’S EXPENSES		2
FUND PERFORMANCE		3
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS
AMG GW&K Enhanced Core Bond Fund		5
AMG GW&K Municipal Bond Fund		9
AMG GW&K Municipal Enhanced Yield Fund		17
AMG GW&K Small Cap Core Fund		22
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS		25
FINANCIAL STATEMENTS
Statement of Assets and Liabilities		28
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts
Statement of Operations		29
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the period
Statements of Changes in Net Assets		30
Detail of changes in assets for the past two fiscal periods
Financial Highlights		32
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets
Notes to Financial Highlights		40
Notes to Financial Statements		41
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks
ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS		50

Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Fund family of mutual funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.

About Your Fund’s Expenses (unaudited)

As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on $1,000 invested at the beginning of the period and held for the entire period as indicated below.

ACTUAL EXPENSES

The first line of the following table provides information about the 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 following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% 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 the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional 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.

Six Months Ended June 30, 2015	Expense Ratio for the Period			Beginning Account Value 01/01/15		Ending Account Value 06/30/15		Expenses Paid During the Period*
AMG GW&K Enhanced Core Bond Fund
Investor Class
Based on Actual Fund Return		0.84	%	$	1,000	$	994	$	4.15
Hypothetical (5% return before expenses)		0.84	%	$	1,000	$	1,021	$	4.21
Service Class
Based on Actual Fund Return		0.64	%	$	1,000	$	995	$	3.41
Hypothetical (5% return before expenses)		0.64	%	$	1,000	$	1,022	$	3.46
Class C
Based on Actual Fund Return		1.59	%	$	1,000	$	990	$	7.85
Hypothetical (5% return before expenses)		1.59	%	$	1,000	$	1,017	$	7.95
Institutional Class
Based on Actual Fund Return		0.59	%	$	1,000	$	995	$	2.92
Hypothetical (5% return before expenses)		0.59	%	$	1,000	$	1,022	$	2.96
AMG GW&K Municipal Bond Fund
Investor Class
Based on Actual Fund Return		0.81	%	$	1,000	$	999	$	4.02
Hypothetical (5% return before expenses)		0.81	%	$	1,000	$	1,021	$	4.06
Service Class
Based on Actual Fund Return		0.51	%	$	1,000	$	1,001	$	2.53
Hypothetical (5% return before expenses)		0.51	%	$	1,000	$	1,022	$	2.56
Institutional Class
Based on Actual Fund Return		0.34	%	$	1,000	$	1,002	$	1.69
Hypothetical (5% return before expenses)		0.34	%	$	1,000	$	1,023	$	1.71
AMG GW&K Municipal Enhanced Yield Fund
Investor Class
Based on Actual Fund Return		1.02	%	$	1,000	$	992	$	5.04
Hypothetical (5% return before expenses)		1.02	%	$	1,000	$	1,020	$	5.11
Service Class
Based on Actual Fund Return		0.72	%	$	1,000	$	995	$	3.56
Hypothetical (5% return before expenses)		0.72	%	$	1,000	$	1,021	$	3.61
Institutional Class
Based on Actual Fund Return		0.64	%	$	1,000	$	995	$	3.17
Hypothetical (5% return before expenses)		0.64	%	$	1,000	$	1,022	$	3.21
AMG GW&K Small Cap Core Fund
Investor Class
Based on Actual Fund Return		1.38	%	$	1,000	$	1,036	$	6.97
Hypothetical (5% return before expenses)		1.38	%	$	1,000	$	1,018	$	6.90
Service Class
Based on Actual Fund Return		1.09	%	$	1,000	$	1,038	$	5.51
Hypothetical (5% return before expenses)		1.09	%	$	1,000	$	1,019	$	5.46
Institutional Class
Based on Actual Fund Return		0.95	%	$	1,000	$	1,038	$	4.80
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.76

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365.

2

Fund Performance (unaudited)

Periods ended June 30, 2015

The table below shows the average annual total returns for the periods indicated for each Fund, as well as each Fund’s relative index for the same time periods ended June 30, 2015.

Average Annual Total Returns1	Six Months*			One Year			Five Years			Ten Years			Since Inception			Inception Date
AMG GW&K Enhanced Core Bond Fund 2,3,4,5
Investor Class		(0.60	)%		(0.64	)%		4.67	%		5.22	%		5.94	%		01/02/97
Service Class		(0.49	)%		(0.35	)%		—			—			2.29	%		11/30/12
C Class		(0.97	)%		(1.40	)%		3.87	%		4.42	%		5.14	%		03/05/98
Institutional Class		(0.47	)%		(0.38	)%		4.91	%		5.48	%		6.35	%		01/02/97
Barclays U.S. Aggregate Bond Index6		(0.10	)%		1.86	%		3.35	%		4.44	%		5.57	%		01/02/97	†
AMG GW&K Municipal Bond Fund 2,3,5,7,8
Investor Class		(0.07	)%		2.02	%		4.39	%		—			5.06	%		06/30/09
Service Class		0.08	%		2.39	%		4.69	%		—			5.32	%		06/30/09
Institutional Class		0.16	%		2.56	%		4.88	%		—			5.58	%		06/30/09
Barclays 10-Year Municipal Bond Index9		0.11	%		2.97	%		4.78	%		4.85	%		5.57	%		06/30/09	†
AMG GW&K Municipal Enhanced Yield Fund 2,3,4,8,10
Investor Class		(0.77	)%		4.18	%		6.26	%		—			7.84	%		07/27/09
Service Class		(0.51	)%		4.58	%		6.53	%		—			8.12	%		07/27/09
Institutional Class		(0.47	)%		4.58	%		6.71	%		—			4.68	%		12/30/05
Barclays U.S. Municipal Bond BAA Index11		0.70	%		5.03	%		5.31	%		0.00	%#		3.37	%		12/30/05	†
AMG GW&K Small Cap Core Fund 2,12,13
Investor Class		3.63	%		5.35	%		18.11	%		8.20	%		8.18	%		12/10/96
Service Class		3.78	%		5.72	%		18.39	%		—			17.45	%		07/27/09
Institutional Class		3.81	%		5.84	%		18.62	%		—			17.66	%		07/27/09
Russell 2000® Index14		4.75	%		6.49	%		17.08	%		8.40	%		8.35	%		12/10/96	†

The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Investors should carefully consider the Fund’s investment objectives, risks, charges and expenses before investing. For performance information through the most recent month end, current net asset values per share for the Fund and other information, please call (800) 835-3879 or visit our website at www.amgfunds.com for a free prospectus. Read it carefully before investing or sending money.

Distributed by AMG Distributors, Inc., member FINRA/SIPC.

^†  Date reflects the inception date of the Fund, not the index.

* Not annualized.

^#  Rounds to less than 0.01%.

1	Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Fund are net of expenses and based on the published NAV as of June 30, 2015. All returns are in U.S. dollars ($).
2	From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.
3	Fixed income funds are subject to the risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtor’s ability to pay its creditors.
4	Issuer of bonds may not be able to meet interest or principal payments when the bonds come due. High yield bonds (also known as “junk bonds”) are subject to additional risks such as the risk of default. The use of leverage in a Fund’s strategy can magnify relatively small market movements into relatively larger looses for the Fund. Factors unique to the municipal bond market may negatively affect the value in municipal bonds.
5	Changing interest rates may adversely affect the value of a fixed income investment. An increase in interest rates typically causes the value of bonds and other fixed income securities to fall.
6	The Barclays U.S. Aggregate Bond Index is an index of the U.S. investment-grade, fixed-rate bond market, including both government and corporate bonds. Unlike the Fund, the Barclays U.S. Aggregate Bond Index is unmanaged, is not available for investment and does not incur expenses.
7	Issuer of bonds may not be able to meet interest of principal payments when the bonds come due. Factors unique to the municipal bond market may negatively affect the value in municipal bonds.
8	Investment income may be subject to certain state and local taxes, and depending on your tax status, the federal alternative minimum tax. Capital gains are not exempt from federal income tax.
9	The Barclays 10-Year Municipal Bond Index is the 10 year (8-12) component of the Municipal bond index. It is a rules-based, market-value-weighted Index engineered for the tax-exempt bond market. The Index tracks general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds rated Baa3/BBB or higher by at leaset two of the ratings agencies: Moody’s, S&P, Fitch. Unlike the Fund, the Barclays 10-Year Municipal Bond Index is unmanaged, is not available for investment and does not incur expenses.
10	The performance shown includes that of the predecessor Fund, the BNY Hamilton Municipal Enhanced Yield Fund, a series of BNY Hamilton Funds, Inc., which was reorganized into the GW&K Municipal

3

Fund Performance (continued)

	Enhanced Yield Fund, a series of AMG Funds, as of the close of business on November 7, 2008.
11	The Barclays U.S. Municipal Bond BAA Index is a subset of the Barclays Capital Municipal Bond Index with an index rating of Baa1, Baa2, or Baa3. The Barclays Capital Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term, tax-exempt bond market. Unlike the Fund, the Barclays U.S. Municipal Bond Index is unmanaged, is not available for investment, and does not incur expenses.
12	The Fund inception dates and returns for all periods beginning prior to November 7, 2008 reflects

	performance of the predecessor Fund, The BNY Hamilton Municipal Enhanced Yield Fund, a series of BNY Hamilton Funds, Inc
13	The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings patterns, competitive conditions, limited earnings history, and a reliance on one or a limited number of products.
14	The Russell 2000® Index is composed of the 2,000 smallest stocks in the Russell 3000® Index and is widely regarded in the industry as the premier measure of small-cap stock performance. The

	Russell 3000® Index is composed of the 3,000 largest U.S. companies as measured by market capitalization, and represents about 98% of the U.S. stock market. The Russell 2000® Index and the Russell 3000® Index are unmanaged, is not available for investment, and does not incur expenses.
The Russell 2000® Index and Russell 3000® Index is a registered trademarks of Russell Investments. Russell® is a trademark of Russell Investments.
Not FDIC insured, nor bank guaranteed. May lose value.

4

AMG GW&K Enhanced Core Bond Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Sector	AMG GW&K Enhanced Core Bond Fund**
Industrials		43.1	%
U.S. Government and Agency Obligations		31.7	%
Financials		14.3	%
Municipal Bonds		6.0	%
Other Assets and Liabilities		4.9	%

** As a percentage of net assets.

Rating	AMG GW&K Enhanced Core Bond Fund†
U.S. Government and Agency Obligations		33.3	%
Aa		6.0	%
A		10.2	%
Baa		34.9	%
Ba		12.5	%
B		3.1	%

*** As a percentage of market value of fixed-income securities.

TOP TEN HOLDINGS

Security Name	% of Net Assets
FNMA, 5.500%, 02/01/39*		4.1	%
FNMA, 4.500%, 05/01/39*		3.8
United States Treasury Bond, 6.250%, 08/15/23*		3.5
FHLMC Gold Pool, 5.000%, 10/01/36*		3.3
The Goldman Sachs Group, Inc., 6.125%, 02/15/33*		2.0
Starwood Hotels & Resorts Worldwide, Inc., 4.500%, 10/01/34*		1.9
Weyerhaeuser Co., 8.500%, 01/15/25		1.9
CF Industries, Inc., 7.125%, 05/01/20		1.8
California State General Obligation, Build America Bonds, 7.550%, 04/01/39*		1.8
Burlington Northern Santa Fe LLC, 6.150%, 05/01/37		1.8
Top Ten as a Group		25.9	%

* Top Ten Holdings as of December 31, 2014.

Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

5

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Principal Amount		Value
Corporate Bonds and Notes - 57.4%
Financials - 14.3%
Ally Financial, Inc., 8.000%, 03/15/20	$	675,000	$	796,500
Associates Corp. of North America, 6.950%, 11/01/18		725,000		834,729
Bank of America Corp., Series M, 8.125%, 12/29/491		645,000		685,313
Crown Castle International Corp., 5.250%, 01/15/23		865,000		874,515
General Electric Capital Corp., Series GMTN, 6.000%, 08/07/19		775,000		886,382
The Goldman Sachs Group, Inc., 6.125%, 02/15/33		1,525,000		1,822,329
International Lease Finance Corp., 8.250%, 12/15/20		550,000		654,500
JPMorgan Chase & Co., Series 1, 7.900%, 12/29/491		1,310,000		1,387,290
Morgan Stanley, Series GMTN, 5.500%, 07/28/21		750,000		846,728
The PNC Financial Services Group, Inc., 6.750%, 07/29/491		1,255,000		1,391,481
Wells Fargo & Co., Series K, 7.980%, 03/29/491		1,215,000		1,318,275
Weyerhaeuser Co., 8.500%, 01/15/25		1,340,000		1,753,139
Total Financials				13,251,181
Industrials - 43.1%
AbbVie, Inc., 3.200%, 11/06/22		930,000		922,382
Actavis Funding SCS, 3.800%, 03/15/25		1,000,000		984,294
Alcoa, Inc., 5.125%, 10/01/24		955,000		971,713
ArcelorMittal, 10.600%, 06/01/19 (b)		530,000		636,663
Ball Corp., 5.250%, 07/01/252		575,000		569,250
BorgWarner, Inc., 3.375%, 03/15/25		1,000,000		986,006
Burlington Northern Santa Fe LLC, 6.150%, 05/01/37		1,335,000		1,653,244
CenturyLink, Inc., Series S, 6.450%, 06/15/21		430,000		435,375
CF Industries, Inc., 7.125%, 05/01/20		1,435,000		1,706,404
Chesapeake Energy Corp., 6.125%, 02/15/21		915,000		864,675
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 6.375%, 03/15/24		550,000		396,000
Comcast Corp., 7.050%, 03/15/33		660,000		847,812
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
5.000%, 03/01/21		550,000		596,310
5.200%, 03/15/20		1,000,000		1,104,073
Ford Motor Co., 7.450%, 07/16/31		670,000		858,305
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas Inc., 6.750%, 02/01/22		765,000		812,812
Frontier Communications Corp., 8.500%, 04/15/20		440,000		461,120
General Motors Co., 6.250%, 10/02/43		750,000		839,594
Georgia-Pacific LLC, 8.000%, 01/15/24		645,000		831,080
HCA, Inc., 5.000%, 03/15/24		1,300,000		1,326,000
Hornbeck Offshore Services, Inc., 5.875%, 04/01/20		600,000		555,000
Host Hotels & Resorts, L.P., Series C, 4.750%, 03/01/23		815,000		861,506
International Paper Co., 3.800%, 01/15/26		935,000		918,070

The accompanying notes are an integral part of these financial statements.

6

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 43.1% (continued)
L-3 Communications Corp., 4.950%, 02/15/21	$	1,185,000	$	1,266,146
Lear Corp., 5.375%, 03/15/24		450,000		459,000
The Mosaic Co., 4.250%, 11/15/23		840,000		865,189
Newfield Exploration Co., 5.375%, 01/01/26		500,000		497,500
Owens Corning, 4.200%, 12/15/22		855,000		867,938
QVC, Inc., 5.125%, 07/02/22		830,000		855,965
The Ryland Group, Inc., 6.625%, 05/01/20		850,000		947,750
Sealed Air Corp., 5.500%, 09/15/25 (a)2		1,000,000		1,010,000
Sprint Corp., 7.875%, 09/15/23		600,000		586,680
Starwood Hotels & Resorts Worldwide, Inc., 4.500%, 10/01/34		1,900,000		1,777,017
Teck Resources, Ltd., 6.125%, 10/01/35		1,500,000		1,239,764
Teekay Corp., 8.500%, 01/15/20		1,250,000		1,396,875
Thompson Creek Metals Co., Inc., 9.750%, 12/01/17		525,000		548,625
T-Mobile USA, Inc., 6.633%, 04/28/21		280,000		291,200
Tyson Foods, Inc., 4.875%, 08/15/34		845,000		852,865
Valeant Pharmaceuticals International, Inc., 6.125%, 04/15/25 (a)		700,000		721,875
Verizon Communications, Inc., 5.150%, 09/15/23		830,000		910,249
Viacom, Inc., 6.875%, 04/30/36		675,000		753,358
Weatherford International, Ltd./Bermuda, 9.625%, 03/01/19		1,218,000		1,423,221
The Williams Cos., Inc., 8.750%, 03/15/32		1,360,000		1,653,181
WPX Energy, Inc., 6.000%, 01/15/22		915,000		908,138
Total Industrials				39,970,224
Total Corporate Bonds and Notes (cost $54,342,556)				53,221,405
Municipal Bonds - 6.0%
California State General Obligation, Build America Bonds, 7.550%, 04/01/39		1,175,000		1,699,720
Illinois State General Obligation, 5.365%, 03/01/17		1,150,000		1,202,221
JobsOhio Beverage System, Series B, 3.985%, 01/01/29		880,000		913,326
Metropolitan Transportation Authority NY Revenue, Build America Bonds, 6.668%, 11/15/39		685,000		903,494
New Jersey Economic Development Authority, Series A, 7.425%, 02/15/29 (National Insured)3		770,000		881,011
Total Municipal Bonds (cost $5,659,428)				5,599,772
U.S. Government and Agency Obligations - 31.7%
Federal Home Loan Mortgage Corporation - 5.5%
FHLMC Gold Pool,
4.500%, 10/01/39		781,188		845,612
5.000%, 06/01/26 to 10/01/36		3,840,379		4,206,789
Total Federal Home Loan Mortgage Corporation				5,052,401
Federal National Mortgage Association - 22.2%
FNMA,
4.000%, 02/01/26 to 02/01/29		2,362,511		2,515,794

The accompanying notes are an integral part of these financial statements.

7

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal National Mortgage Association - 22.2% (continued)
FNMA,
4.500%, 05/01/39	$	3,191,758	$	3,491,827
5.000%, 08/01/35		1,246,405		1,378,059
5.500%, 05/01/25 to 04/01/40		7,499,617		8,413,067
6.000%, 02/01/23 to 10/01/40		4,226,779		4,820,145
Total Federal National Mortgage Association				20,618,892
U.S. Treasury Obligations - 4.0%
United States Treasury Bond, 6.250%, 08/15/23		2,480,000		3,237,174
United States Treasury Notes, 3.500%, 05/15/20		426,000		463,341
Total U.S. Treasury Obligations				3,700,515
Total U.S. Government and Agency Obligations (cost $28,827,309)				29,371,808
Short-Term Investments - 5.1%
Repurchase Agreements - 1.1%4
Cantor Fitzgerald Securities, Inc., dated 06/30/15, due 07/01/15, 0.150%, total to be received $1,000,004 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.500%, 07/15/15 - 05/20/65, totaling $1,020,000)		1,000,000		1,000,000
Nomura Securities International, Inc., dated 06/30/15, due 07/01/15, 0.140%, total to be received $24,926 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.500%, 07/31/15 - 05/20/65 totaling $25,425)		24,926		24,926
Total Repurchase Agreements				1,024,926
	Shares
Other Investment Companies - 4.0%5
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.08%		3,691,240		3,691,240
Total Short-Term Investments (cost $4,716,166)				4,716,166
Total Investments - 100.2% (cost $93,545,459)				92,909,151
Other Assets, less Liabilities - (0.2)%				(187,265	)
Net Assets - 100.0%			$	92,721,886

The accompanying notes are an integral part of these financial statements.

8

AMG GW&K Municipal Bond Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Sector	AMG GW&K Municipal Bond Fund**
Transportation		22.1	%
General Obligation		21.3	%
Education		18.9	%
Utilities		16.8	%
Public Services		8.1	%
Healthcare		3.4	%
Tax		2.4	%
Industrial Development		1.7	%
State and Non-State Appropriated Tobacco		1.0	%
Certificate of Participation		1.0	%
Other		0.7	%
Lease/Rent		0.4	%
Cash		1.1	%
Other Assets and Liabilities		1.1	%

** As a percentage of net assets.

Rating	AMG GW&K Municipal Bond Fund***
Aaa		25.7	%
Aa		58.4	%
A		14.1	%
Baa		1.8	%

*** As a percentage of market value of fixed-income securities.

TOP TEN HOLDINGS

Security Name	% of Net Assets
Ohio State Water Development Authority, 5.000%, 06/01/23		2.2	%
University of California, College and University Revenue, Series AO, 5.000%, 05/15/26		2.0
Missouri Highway & Transportation Commission: Fuel Sales Tax Revenue, Series A, 5.000%, 05/01/23		1.8
North Texas Tollway Authority Revenue, Special Projects System, Series D, 5.250%, 09/01/27*		1.7
Massachusetts State Department of Taxation & Finance, Series F, 5.000%, 11/01/24*		1.7
New York State Thruway Authority, General Revenue, Junior Indebtedness, Series A, 5.000%, 05/01/19*		1.7
Texas Transportation Commission State Highway Fund, 5.000%, 04/01/23*		1.5
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/25		1.5
Central Texas Turnpike System Transportation Commission, Series C, 5.000%, 08/15/31		1.4
Ohio State General Obligation, Series A, 5.000%, 09/15/22		1.4
Top Ten as a Group		16.9	%

* Top Ten Holdings as of December 31, 2014.

Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

9

AMG GW&K Municipal Bond Fund

Fund Snapshots (continued)

June 30, 2015

STATE BREAKDOWN

State	% of Net Assets
Texas		14.4	%
New York		9.2	%
California		7.9	%
Ohio		7.7	%
Washington		7.6	%
Massachusetts		5.8	%
Florida		5.6	%
Illinois		4.7	%
North Carolina		3.6	%
Virginia		3.5	%
New Jersey		3.2	%
Arizonia		3.0	%
Wisconsin		1.9	%
Oregon		1.9	%
Georgia		1.8	%
District of Columbia		1.8	%

State	% of Net Assets
Missouri		1.8	%
Michigan		1.7	%
Pennsylvania		1.6	%
Colorado		1.5	%
South Carolina		1.4	%
Indiana		1.3	%
Tennessee		1.1	%
Idaho		1.0	%
Kentucky		1.0	%
Minnesota		0.6	%
Oklahoma		0.5	%
Mississippi		0.4	%
Other Assets and Liabilities		2.5	%
		100	%

10

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Principal Amount		Value
Municipal Bonds - 97.5%
Arizona - 3.0%
Arizona Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/01/26	$	2,560,000	$	2,947,251
Arizona State University, College and University Revenue, Series A, 5.000%, 07/01/28		3,415,000		4,010,269
Arizona Transportation Board, Subordinated Highway Revenue, Series 2011 A, 5.000%, 07/01/22		2,480,000		2,906,932
Arizona Transportation Board, Subordinated Highway Revenue, Series 2013 A, 5.000%, 07/01/21		1,760,000		2,072,787
Arizona Transportation Board, Subordinated Highway Revenue, Series 2013 A, 5.000%, 07/01/22		4,120,000		4,892,582
Phoenix Civic Improvement Corp., Water Utility Improvements, Series A, 5.000%, 07/01/22		3,650,000		4,171,439
Total Arizona				21,001,260
California - 7.9%
California State Health Facilities Financing Authority Revenue, Saint Joseph Health System, Series A, 5.000%, 07/01/27		1,390,000		1,595,692
California State Tax Exempt General Obligation, 5.000%, 02/01/23		2,165,000		2,549,829
California State Tax Exempt General Obligation, 5.000%, 10/01/23		6,170,000		7,433,801
California State Tax Exempt General Obligation, 5.000%, 03/01/24		5,000,000		6,023,150
California State Tax Exempt General Obligation, 5.000%, 09/01/25		1,750,000		1,958,005
Golden State Tobacco Securitization Corp., Series A, 5.000%, 06/01/33		6,000,000		6,731,520
Los Angeles Unified School District General Obligation, Series KRY, 5.250%, 07/01/28		2,100,000		2,456,034
University of California, College and University Revenue, Series AO, 5.000%, 05/15/26		1,500,000		1,812,690
University of California, College and University Revenue, Series I, 5.000%, 05/15/24		4,025,000		4,891,341
University of California, College and University Revenue, Series I, 5.000%, 05/15/26		11,355,000		13,656,431
University of California, Limited Project Revenue, Series G, 5.000%, 05/15/25		4,740,000		5,573,908
Total California				54,682,401
Colorado - 1.5%
Denver City & County Co. Airport Revenue, Series B, 5.000%, 11/15/24		2,750,000		3,215,850
Regional Transportation District County COPS, Series A, 5.000%, 06/01/24		6,000,000		7,017,900
Total Colorado				10,233,750
District of Columbia - 1.8%
District of Columbia Water & Sewer Authority Public Utility Revenue, Sub Lien, Series C, 5.000%, 10/01/21		5,000,000		5,900,900
District of Columbia Water & Sewer Authority Public Utility Revenue, Sub Lien, Series C, 5.000%, 10/01/24		5,475,000		6,455,025
Total District of Columbia				12,355,925
Florida - 5.6%
Florida State Board of Education Capital Outlay, Series 2008 C, 5.000%, 06/01/20		2,990,000		3,392,514
Florida State Board of Education Capital Outlay, Series 2011 C, 5.000%, 06/01/22		3,655,000		4,282,564
Florida State Board of Education Capital Outlay, Series A, 5.000%, 06/01/20		6,455,000		7,385,036
Florida State Board of Education, Series D, 5.000%, 06/01/24		6,565,000		7,624,525
JEA Water and Sewer System Revenue, Series 2012 A, 5.000%, 10/01/24		1,670,000		1,932,340
Miami-Dade Water & Sewer System Revenue, 5.000%, 10/01/24		5,000,000		5,916,350
Miami-Dade Water & Sewer System Revenue, 5.000%, 10/01/25		5,000,000		5,943,500
Reedy Creek Improvement District, Utility Revenue, Series 1, 5.000%, 10/01/25		2,000,000		2,337,580
Total Florida				38,814,409

The accompanying notes are an integral part of these financial statements.

11

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Georgia - 1.8%
Atlanta Department of Aviation FAC Charge Revenue, Series A, 5.000%, 01/01/25	$	1,500,000	$	1,760,085
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/25		8,830,000		10,596,442
Total Georgia				12,356,527
Idaho - 1.0%
Idaho Housing & Finance Association, 5.000%, 07/15/236		5,770,000		6,721,819
Illinois - 4.7%
Illinois State Finance Authority Revenue, University of Chicago, Series A, 5.000%, 10/01/20		7,650,000		8,888,612
Illinois State Finance Authority Revenue, University of Chicago, Series A, 5.000%, 10/01/23		5,105,000		6,057,848
Illinois State Miscellaneous Revenue, 5.000%, 02/01/24		1,030,000		1,109,495
Illinois State Miscellaneous Revenue, 5.000%, 02/01/25		2,000,000		2,134,860
Illinois State Sales Tax Revenue, Build Illinois, Junior Obligation, 5.000%, 06/15/23		3,570,000		4,172,795
Illinois State Toll Highway Authority, Series A, 5.000%, 12/01/20		4,310,000		5,019,383
Illinois State Toll Highway Authority, Series A, 5.000%, 12/01/22		2,415,000		2,854,651
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series 2012 B, 5.000%, 12/15/22		2,095,000		2,378,537
Total Illinois				32,616,181
Indiana - 1.3%
Indiana Finance Authority Miscellaneous Revenue, Series A, 5.000%, 02/01/24		4,540,000		5,496,260
Indiana University Student Fee Revenue, Series W-2, 5.000%, 08/01/23		2,750,000		3,316,418
Total Indiana				8,812,678
Kentucky - 1.0%
Kentucky State Asset/Liability Commission Agency Fund Revenue, Project NTS-Federal Highway Trust 1st, Series A, 5.250%, 09/01/22		1,600,000		1,900,336
Kentucky State Asset/Liability Commission Agency Fund Revenue, Project NTS-Federal Highway Trust 1st, Series A, 5.250%, 09/01/24		1,515,000		1,803,289
Kentucky Turnpike Authority Revenue, Revitalization Projects, Series A, 5.000%, 07/01/23		2,750,000		3,068,505
Total Kentucky				6,772,130
Massachusetts - 5.8%
Massachusetts Development Finance Agency, Boston College, Series P, 5.000%, 07/01/21		3,090,000		3,342,020
Massachusetts State Department of Taxation & Finance, Series F, 5.000%, 11/01/24		10,000,000		11,927,800
Massachusetts State Development Finance Agency Revenue, Boston College, Series S, 5.000%, 07/01/23		5,645,000		6,806,007
Massachusetts State Health & Educational Facilities Authority Revenue, Northeastern University, Series 2008 T-1, 5.000%, 10/01/24		1,655,000		1,920,131
Massachusetts State School Building Authority Sales Tax Revenue, Series 2012 A, 5.000%, 08/15/21		2,760,000		3,272,173
Massachusetts State School Building Authority, Sales Tax Revenue, Series A, 5.000%, 08/15/22		6,390,000		6,938,709
University of Massachusetts Building Authority, Series 2, 5.000%, 11/01/21		5,000,000		5,908,950
Total Massachusetts				40,115,790
Michigan - 1.7%
Michigan Finance Authority Revenue, Health, Hospital and Nursing Home Revenue, 5.000%, 11/15/23		1,770,000		2,064,086
Michigan Finance Authority Revenue, Unemployment Obligation, Series 2012 B, 5.000%, 07/01/20		3,190,000		3,640,364
Michigan Finance Authority Revenue, Unemployment Obligation, Series 2012 B, 5.000%, 07/01/22		4,475,000		4,677,404

The accompanying notes are an integral part of these financial statements.

12

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Michigan - 1.7% (continued)
Michigan Strategic Fund Limited Obligation Revenue, Cadillac Place Office Building Project, Series 2011, 5.250%, 10/15/23	$	1,000,000	$	1,173,340
Total Michigan				11,555,194
Minnesota - 0.6%
Minnesota State General Obligation, Series D, 5.000%, 08/01/21		3,325,000		3,889,219
Mississippi - 0.4%
Mississippi Development Bank Special Obligation, Madison County Highway Project, Series C, 5.000%, 01/01/22		2,585,000		3,027,087
Missouri - 1.8%
Missouri Highway & Transportation Commission: Fuel Sales Tax Revenue, Series A, 5.000%, 05/01/23		10,000,000		12,105,000
New Jersey - 3.2%
New Jersey Economic Development Authority, Schools Facilities Construction, Series 2013 NN, 5.000%, 03/01/21		1,935,000		2,104,332
New Jersey Economic Development Authority, Schools Facilities Construction, Series II, 5.000%, 03/01/22		2,100,000		2,272,473
New Jersey Economic Development Authority, Schools Facilities Construction, Series NN, 5.000%, 03/01/26		2,625,000		2,762,839
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/20		2,000,000		2,205,600
New Jersey State Turnpike Authority Revenue, Series 2012 B, 5.000%, 01/01/24		2,790,000		3,251,075
New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 01/01/24		1,925,000		2,245,147
New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 01/01/25		2,600,000		3,008,876
New Jersey Transportation Trust Fund Authority, Series 2003 B, 5.250%, 12/15/19		1,270,000		1,395,184
New Jersey Transportation Trust Fund Authority, Series 2011 A, 5.250%, 06/15/24		1,165,000		1,252,783
New Jersey Transportation Trust Fund Authority, Series 2011 B, 5.250%, 06/15/23		1,550,000		1,671,923
Total New Jersey				22,170,232
New York - 9.2%
Long Island Power Authority, Series 2012 B, 5.000%, 09/01/23		1,510,000		1,739,777
Metropolitan Transportation Authority, Transit Revenue, Subseries B, 5.000%, 11/15/24		3,900,000		4,567,017
New York City General Obligation, Series 2013 H, 5.000%, 08/01/25		2,070,000		2,437,736
New York City General Obligation, Series E, 5.250%, 08/01/22		3,000,000		3,580,830
New York City General Obligation, Series G, 5.000%, 08/01/23		5,000,000		5,944,450
New York City General Obligation, Series I, 5.000%, 08/01/24		3,625,000		4,262,783
New York City General Obligation, Series I, 5.000%, 08/01/26		2,500,000		2,907,925
New York City Health & Hospital Corp., Series A, 5.000%, 02/15/23		1,020,000		1,197,970
New York City Transitional Finance Authority Future Tax Secured Revenue, Series A, 5.000%, 11/01/22		2,015,000		2,382,617
New York City Transitional Finance Authority Future Tax Secured Revenue, Series C, 5.000%, 11/01/21		1,675,000		1,975,127
New York State Dormitory Authority Revenue, State University Facilities, Series A, 5.000%, 07/01/22		4,180,000		4,931,104
New York State Dormitory Authority, Personal Income Tax Revenue, Series A, 5.000%, 02/15/25		5,000,000		5,949,800
New York State Dormitory Authority, Personal Income Tax Revenue, Series C, 5.000%, 03/15/22		4,635,000		5,398,385
New York State Environmental Facilities Corp., New York City Municipal Water Finance Authority Project, Series F, 5.000%, 06/15/21		1,000,000		1,117,520
New York State Thruway Authority, General Revenue, Junior Indebtedness, Series A, 5.000%, 05/01/19		10,480,000		11,844,810
New York State Thruway Authority, General Revenue, Series 2012 I, 5.000%, 01/01/21		2,790,000		3,248,062
Total New York				63,485,913

The accompanying notes are an integral part of these financial statements.

13

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
North Carolina - 3.6%
North Carolina Eastern Municipal Power Agency, Series 2012 D, 5.000%, 01/01/23	$	3,000,000	$	3,448,980
North Carolina Limited Obligation, Series C, 5.000%, 05/01/24		5,000,000		6,058,600
North Carolina State Grant Anticipation Revenue, 5.000%, 03/01/23		3,275,000		3,804,830
North Carolina State Limited Obligation, Series A, 5.000%, 05/01/22		3,000,000		3,564,690
North Carolina State Limited Obligation, Series C, 5.000%, 05/01/23		6,575,000		7,906,438
Total North Carolina				24,783,538
Ohio - 7.7%
American Municipal Power, Inc., 5.000%, 02/15/23		2,500,000		2,881,750
Cleveland Department of Public Utilities Division of Water, Series A, 5.000%, 01/01/22		3,010,000		3,536,720
Miami University, General Receipts Revenue, Series 2011, 5.000%, 09/01/22		1,000,000		1,161,530
Ohio State Adult Correctional Building Fund Project, Series 2013, 5.000%, 10/01/21		2,200,000		2,585,088
Ohio State General Obligation, Common Schools, Series B, 5.000%, 03/15/25		5,000,000		5,869,300
Ohio State General Obligation, Series A, 5.000%, 09/15/22		8,030,000		9,594,405
Ohio State General Obligation, Series R, 5.000%, 05/01/21		5,215,000		6,151,927
Ohio State Water Development Authority, 5.000%, 06/01/23		12,500,000		15,066,125
Ohio State Water Development Authority, Series B, 5.000%, 12/01/22		4,950,000		5,929,357
Total Ohio				52,776,202
Oklahoma - 0.5%
Oklahoma Capital Improvement Authority, Series A, 5.000%, 07/01/22		3,080,000		3,657,562
Oregon - 1.9%
Oregon State Lottery Revenue, Series C, 5.000%, 04/01/25		5,760,000		7,069,997
Oregon State Lottery Revenue, Series D, 5.000%, 04/01/21		5,000,000		5,895,000
Total Oregon				12,964,997
Pennsylvania - 1.6%
Monroeville Finance Authority, University of Pittsburgh Medical Center, 5.000%, 02/15/22		1,330,000		1,544,529
Pennsylvania Economic Development Financing Authority Revenue, Series 2012 B, 5.000%, 07/01/21		5,740,000		6,271,180
Pennsylvania Economic Development Financing Authority Revenue, Series B, 5.000%, 07/01/22		1,690,000		1,763,177
Saint Mary Hospital Authority Health System Revenue, Catholic Health East, Series A, 5.000%, 11/15/26		1,100,000		1,237,907
Total Pennsylvania				10,816,793
South Carolina - 1.4%
Florence County Hospital Revenue, McLeod Regional Medical Center Project, 5.000%, 11/01/28		2,720,000		3,133,032
South Carolina Transportation Infrastructure Bank, Series 2012 A, 5.000%, 10/01/21		2,415,000		2,840,813
South Carolina Transportation Infrastructure Bank, Series B, 5.000%, 10/01/21		3,145,000		3,699,526
Total South Carolina				9,673,371
Tennessee - 1.1%
Tennessee State School Bond Authority, 5.000%, 11/01/24		6,455,000		7,854,831
Texas - 14.4%
Austin Water & Wastewater System Revenue, Series A, 5.000%, 11/15/22		2,780,000		3,312,314

The accompanying notes are an integral part of these financial statements.

14

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Texas - 14.4% (continued)
Central Texas Turnpike System Transportation Commission, Series C, 5.000%, 08/15/31	$	9,000,000	$	9,788,490
City Public Service Board of San Antonio TX, Series A, 5.250%, 02/01/24		2,320,000		2,637,724
Cypress-Fairbanks Independent School District, Series C, 5.000%, 02/15/23		5,000,000		5,983,500
Cypress-Fairbanks Independent School District, Series C, 5.000%, 02/15/26		3,760,000		4,461,466
Harris County Cultural Education Facilities Finance Corp., Memorial Herman Health System, Series A, 5.000%, 12/01/25		2,800,000		3,275,776
Houston Combined Utility System Revenue, 1st Lien, Series C, 5.000%, 05/15/21		5,850,000		6,868,485
North Texas Tollway Authority Revenue, Special Projects System, 1st Tier, Series A, 5.000%, 01/01/25		5,250,000		6,125,648
North Texas Tollway Authority Revenue, Special Projects System, Series D, 5.250%, 09/01/27		10,165,000		11,946,111
San Antonio Electric & Gas Revenue, Series A, 5.250%, 02/01/25		5,075,000		5,768,143
Texas State A&M University, Series A, 5.000%, 05/15/22		5,730,000		6,814,288
Texas State A&M University, Series B, 5.000%, 05/15/21		4,040,000		4,765,503
Texas State University System Financing Revenue, Series A, 5.000%, 03/15/24		3,500,000		4,194,750
Texas Transportation Commission Fund, Series A, 5.000%, 04/01/27		5,000,000		5,837,800
Texas Transportation Commission State Highway Fund, 5.000%, 04/01/23		8,850,000		10,610,619
Texas Transportation Commission State Highway Fund, 1st Tier, 5.000%, 04/01/21		1,910,000		2,045,266
The University of Texas System Financing Revenue, Series A, 5.000%, 08/15/22		4,185,000		4,832,754
Total Texas				99,268,637
Virginia - 3.5%
Virginia College Building Authority Miscellaneous Revenue, 5.000%, 09/01/22		3,640,000		4,332,255
Virginia College Building Authority, 21st Century College & Equipment, 5.000%, 02/01/21		5,000,000		5,858,700
Virginia College Building Authority, Educational Facilities Authority Revenue, 21st Century College & Equipment Programs, Series B, 5.000%, 02/01/23		2,360,000		2,790,606
Virginia College Building Authority, Series B, 5.000%, 09/01/23		5,350,000		6,426,901
Virginia Public Building Authority, Correctional Facilities Revenue, Series B, 5.000%, 08/01/24		2,320,000		2,625,637
Virginia State College Building Authority, 5.000%, 09/01/23		1,910,000		2,263,503
Total Virginia				24,297,602
Washington - 7.6%
Energy Northwest Washington Electric Revenue, Columbia Generating Station, Series 2012 A, 5.000%, 07/01/21		1,955,000		2,308,503
Energy Northwest Washington Electric Revenue, Columbia Generating Station, Series A, 5.000%, 07/01/21		3,250,000		3,837,665
King County Sewer Revenue, Series B, 5.000%, 01/01/24		5,175,000		6,004,087
Port of Seattle Revenue, Series 2012 A, 5.000%, 08/01/23		3,055,000		3,588,128
Seattle Municipal Light & Power Revenue, Series A, 5.000%, 02/01/23		2,175,000		2,556,103
Washington Health Care Facilities Authority Multicare Health System, Series B, 5.000%, 08/15/23		3,940,000		4,608,342
Washington Health Care Facilities Authority Revenue, Providence Health Services, Series 2012 A, 5.000%, 10/01/21		1,510,000		1,774,310
Washington State Federal Highway Grant, Senior 520 Corridor Program, 5.000%, 09/01/20		3,700,000		4,287,967
Washington State General Obligation, Miscellaneous Revenue, Series R 2015 C, 5.000%, 07/01/21		5,015,000		5,921,812
Washington State General Obligation, Motor Fuel Tax Revenue, Series 2012 E, 5.000%, 02/01/21		3,000,000		3,520,440
Washington State General Obligation, Motor Vehicle Fuel Tax, Series C, 5.000%, 02/01/24		5,335,000		6,431,076

The accompanying notes are an integral part of these financial statements.

15

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Washington - 7.6% (continued)
Washington State General Obligation, Series 2010 A, 5.000%, 08/01/20	$	3,850,000	$	4,383,264
Washington State General Obligation, Series 2010 B, 5.000%, 01/01/22		2,870,000		3,277,396
Total Washington				52,499,093
Wisconsin - 1.9%
Wisconsin Department of Transportation Revenue, Series 1, 5.000%, 07/01/217		5,000,000		5,888,600
Wisconsin General Obligation, Series 2, 5.000%, 05/01/24		3,170,000		3,737,937
Wisconsin State Revenue, Department of Transportation Revenue, Series I, 5.000%, 07/01/257		3,000,000		3,554,220
Total Wisconsin				13,180,757
Total Municipal Bonds (cost $670,316,196)				672,488,898
	Shares
Other Investment Companies - 1.1%5
Fidelity Institutional Money Market Tax Exempt Portfolio, Institutional Class, 0.01%7 (cost $7,551,234)		7,551,234		7,551,234
Total Investments - 98.6% (cost $677,867,430)				680,040,132
Other Assets, less Liabilities - 1.4%				9,826,085
Net Assets - 100.0%			$	689,866,217

The accompanying notes are an integral part of these financial statements.

16

AMG GW&K Municipal Enhanced Yield Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Sector	AMG GW&K Municipal Enhanced Yield Fund**
Healthcare		23.9	%
Transportation		18.9	%
Utilities		15.9	%
Education		10.7	%
Industrial Development		9.2	%
State and Non-State Appropriated Tobacco		4.7	%
Tax		4.6	%
Public Services		3.7	%
General Obligation		3.1	%
Recreation		1.7	%
Certificate of Participation		1.0	%
Other		0.9	%
Cash		1.1	%
Other Assets and Liabilities		0.7	%

** As a percentage of net assets.

Rating	AMG GW&K Municipal Enhanced Yield Fund***
Aaa		2.3	%
Aa		3.8	%
A		42.8	%
BBB		49.7	%
BB		1.4	%

*** As a percentage of market value of fixed-income securities.

TOP TEN HOLDINGS

Security Name	% of Net Assets
Tampa Revenue, University of Tampa, 5.000%, 04/01/45		3.3	%
Long Island Power Authority, Electric Light & Power Improvements, Series A, 5.000%, 09/01/44		3.0
Louisiana Local Government Environmental Facilities and Community Development Authority Hospital Revenue, Series 2010 A, 5.880%, 10/01/40*		2.6
Miami Beach Health Facilities Authority, Mt. Sinai Medical Center, 5.000%, 11/15/39		2.6
West Virginia Hospital Finance Authority, West Virginia United Health Systems Obligation Group, Series A, 5.500%, 06/01/44*		2.5
Virgin Islands Public Finance Authority Matching Fund Loan Notes, Series 2012 A, 5.000%, 10/01/32		2.5
Pennsylvania Economic Development Financing Authority, PA Bridges FINCO LP, 5.000%, 06/30/42		2.5
Michigan State Hospital Finance Authority Revenue, Henry Ford Health System, Series 2009, 5.750%, 11/15/39		2.5
Central Plains Energy Project, Natural Gas Revenue, 5.000%, 09/01/42		2.4
Central Texas Turnpike System, Series C, 5.000%, 08/15/42		2.4
Top Ten as a Group		26.3	%

* Top Ten Holdings as of December 31, 2014.

Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

17

AMG GW&K Municipal Enhanced Yield Fund

Fund Snapshots (continued)

June 30, 2015

STATE BREAKDOWN

State	% of Net Assets
Texas		12.1	%
Florida		10.2	%
Pennsylvania		8.3	%
Illinois		7.5	%
New Jersey		7.0	%
California		5.2	%
West Virginia		4.6	%
Massachusetts		4.5	%
Louisiana		4.0	%
District of Columbia		4.0	%
New York		3.8	%
Virgin Islands		2.5	%
Rhode Island		2.5	%
Michigan		2.5	%

State	% of Net Assets
Nebraska		2.4	%
Utah		2.4	%
Colorado		2.3	%
Ohio		2.0	%
Virginia		1.9	%
New Hampshire		1.9	%
Oregon		1.8	%
Indiana		1.5	%
Tennessee		1.4	%
Georgia		1.0	%
Other Assets and Liabilities		2.7	%
		100	%

18

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Principal Amount		Value
Municipal Bonds - 97.3%
California - 5.2%
California Pollution Control Financing Authority, Series A3, 4.300%, 07/01/40	$	2,500,000	$	2,510,075
California Statewide Communities Development Authority, Student Housing Revenue, University of California Irvine Campus Apartments Project, Series 2011, 5.375%, 05/15/38		1,735,000		1,916,516
M-S-R Energy Authority, Natural Gas Revenue, Series C, 6.500%, 11/01/39		3,535,000		4,655,560
Sacramento County Public Facilities Financing Corporation COPS, 5.750%, 02/01/30		1,935,000		2,169,387
Total California				11,251,538
Colorado - 2.3%
Public Authority for Colorado Energy Natural Gas Purchase Revenue, Series 2008, 6.500%, 11/15/38		3,760,000		4,931,390
District of Columbia - 4.0%
District of Columbia Ballpark Revenue, Series 2006 B-1, 5.000%, 02/01/31 (National Insured)3		3,595,000		3,667,475
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Dulles Metrorail and Capital Improvement Project, Series A, 5.000%, 10/01/53		5,000,000		5,161,150
Total District of Columbia				8,828,625
Florida - 10.2%
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, 5.000%, 12/01/44		2,075,000		2,189,561
Martin County Health Facilities Authority, Martin Memorial Medical Center, 5.500%, 11/15/42		4,235,000		4,623,307
Miami Beach Health Facilities Authority, Mt. Sinai Medical Center, 5.000%, 11/15/39		5,265,000		5,575,372
Seminole Tribe Special Obligation Revenue, Series 2007 A, 5.500%, 10/01/24 (a)		2,500,000		2,680,675
Tampa Revenue, University of Tampa, 5.000%, 04/01/45		6,785,000		7,142,570
Total Florida				22,211,485
Georgia - 1.0%
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/40		2,040,000		2,276,171
Illinois - 7.5%
Illinois State General Obligation, 5.000%, 02/01/39		3,790,000		3,805,577
Illinois State General Obligation, 5.500%, 07/01/38		2,785,000		2,913,054
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series 2012 A, 5.000%, 06/15/42		4,785,000		4,926,157
Railsplitter Tobacco Settlement Authority Revenue, 6.000%, 06/01/28		4,130,000		4,788,281
Total Illinois				16,433,069
Indiana - 1.5%
Indiana State Finance Authority Hospital Revenue, Community Health Network, Series 2012 A, 5.000%, 05/01/42		3,030,000		3,214,860
Louisiana - 4.0%
Louisiana Local Government Environmental Facilities and Community Development Authority Hospital Revenue, Series 2010 A, 5.875%, 10/01/40		4,915,000		5,684,984
Saint John the Baptist Parish Revenue, Marathon Oil Corp. Project, Series 2007 A, 5.125%, 06/01/37		3,000,000		3,157,980
Total Louisiana				8,842,964
Massachusetts - 4.5%
Massachusetts Development Finance Agency Revenue, Cap Cod Healthcare Obligation, 5.250%, 11/15/41		2,500,000		2,703,425

The accompanying notes are an integral part of these financial statements.

19

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Massachusetts - 4.5% (continued)
Massachusetts Development Finance Agency Revenue, Covanta Energy Project, Series 2012 B, 4.875%, 11/01/42 (a)	$	3,000,000	$	3,038,850
Massachusetts Health and Educational Facilities Authority Revenue, Suffolk University, Series 2009 A, 5.750%, 07/01/39		3,675,000		4,120,998
Total Massachusetts				9,863,273
Michigan - 2.5%
Michigan State Hospital Finance Authority Revenue, Henry Ford Health System, Series 2009, 5.750%, 11/15/39		4,780,000		5,381,754
Nebraska - 2.4%
Central Plains Energy Project, Natural Gas Revenue, 5.000%, 09/01/42		5,010,000		5,312,303
New Hampshire - 1.9%
New Hampshire Health and Education Facilities Authority, Southern New Hampshire University, 5.000%, 01/01/42		4,000,000		4,136,400
New Jersey - 7.0%
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/28		1,020,000		1,094,684
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/29		1,000,000		1,069,450
New Jersey Economic Development Authority, UMM Energy Partners, Series 2012 A, 5.125%, 06/15/43		4,450,000		4,660,040
New Jersey Health Care Facilities Financing Authority Revenue and Refunding, Barnabas Health Issue, Series 2011 A, 5.625%, 07/01/32		4,095,000		4,667,931
New Jersey Transportation Trust Fund Authority, Series A, 5.000%, 06/15/42		3,675,000		3,728,692
Total New Jersey				15,220,797
New York - 3.8%
Long Island Power Authority, Electric Light & Power Improvements, Series A, 5.000%, 09/01/44		6,000,000		6,484,440
Port Authority of New York and New Jersey Special Project, JFK International Air Terminal LLC Project, Series 2010, 6.000%, 12/01/42		1,565,000		1,823,820
Total New York				8,308,260
Ohio - 2.0%
Butler County Hospital Facilities Revenue, UC Health, Series 2010, 5.500%, 11/01/40		3,760,000		4,266,284
Oregon - 1.8%
Oregon State Facilities Authority, University of Portland, Series A, 5.000%, 04/01/45		3,560,000		3,829,670
Pennsylvania - 8.3%
Lycoming County Authority Health System Revenue, Susquehanna Health System Project, Series 2009 A, 5.750%, 07/01/39		4,915,000		5,251,383
Pennsylvania Economic Development Financing Authority, PA Bridges FINCO LP, 5.000%, 12/31/38		1,500,000		1,573,710
Pennsylvania Economic Development Financing Authority, PA Bridges FINCO LP, 5.000%, 06/30/42		5,250,000		5,457,007
Pennsylvania Higher Educational Facilities Authority, La Salle University, 5.000%, 05/01/42		4,000,000		4,171,440
Philadelphia Gas Works Revenue, Ninth Series, 5.250%, 08/01/40		1,470,000		1,617,176
Total Pennsylvania				18,070,716
Rhode Island - 2.5%
Tobacco Settlement Financing Corp., Series A, 5.000%, 06/01/35		2,000,000		2,074,260
Tobacco Settlement Financing Corp., Series A, 5.000%, 06/01/40		3,325,000		3,382,024
Total Rhode Island				5,456,284
Tennessee - 1.4%
Chattanooga-Hamilton County Hospital Authority, 5.000%, 10/01/44		3,000,000		3,143,580

The accompanying notes are an integral part of these financial statements.

20

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Texas - 12.1%
Central Texas Regional Mobility Authority Senior Lien Revenue, Series 2011, 6.000%, 01/01/41	$	3,480,000	$	4,083,258
Central Texas Regional Mobility Authority Senior Lien Revenue, Series A, 5.000%, 01/01/43		1,500,000		1,601,205
Central Texas Turnpike System, Series C, 5.000%, 08/15/42		5,000,000		5,276,700
Fort Bend County Industrial Development Corp. Industrial Revenue, Series 2012 A, 4.750%, 05/01/38		3,500,000		3,577,945
Grand Parkway Transportation Corp. 1st Tier Toll Revenue, Series A, 5.500%, 04/01/53		3,630,000		3,976,629
North Texas Tollway Authority Revenue, 2nd Tier, Series B, 5.000%, 01/01/31		4,000,000		4,354,480
Texas Municipal Gas Acquisition & Supply Corp. Gas Supply Revenue, Senior Lien Series 2008 D, 6.250%, 12/15/26		3,000,000		3,578,220
Total Texas				26,448,437
Utah - 2.4%
Utah Transit Authority, Sales Tax Revenue, Series A, 5.000%, 06/15/37		4,675,000		5,213,654
Virgin Islands - 2.5%
Virgin Islands Public Finance Authority Matching Fund Loan Notes, Series 2012 A, 5.000%, 10/01/32		5,000,000		5,472,150
Virginia - 1.9%
Chesapeake City Expressway Toll Road Revenue, Series 2012 A, 5.000%, 07/15/47		4,000,000		4,237,800
West Virginia - 4.6%
West Virginia Economic Development Revenue, Appalachian Power Co. Amos Project, Series 2010 A, 5.375%, 12/01/381		4,125,000		4,492,001
West Virginia Hospital Finance Authority, West Virginia United Health Systems Obligation Group, Series A, 5.500%, 06/01/44		5,000,000		5,550,150
Total West Virginia				10,042,151
Total Municipal Bonds (cost $208,241,049)				212,393,615
	Shares
Other Investment Companies - 1.1%5
Fidelity Institutional Money Market Tax Exempt Portfolio, Institutional Class, 0.01% (cost $2,407,275)		2,407,275		2,407,275
Total Investments - 98.4% (cost $210,648,324)				214,800,890
Other Assets, less Liabilities - 1.6%				3,532,909
Net Assets - 100.0%			$	218,333,799

The accompanying notes are an integral part of these financial statements.

21

AMG GW&K Small Cap Core Fund

Fund Snapshots (unaudited)

June 30, 2015

PORTFOLIO BREAKDOWN

Sector	AMG GW&K Small Cap Core Fund**			Russell 2000® Index
Financials		21.2	%		24.2	%
Information Technology		18.4	%		17.2	%
Industrials		17.5	%		12.8	%
Consumer Discretionary		14.9	%		14.6	%
Health Care		14.1	%		16.1	%
Materials		4.9	%		4.0	%
Energy		3.5	%		3.9	%
Utilities		2.5	%		3.3	%
Consumer Staples		1.0	%		3.1	%
Telecommunication Services		0.0	%		0.8	%
Other Assets and Liabilities		2.0	%		0.0	%

** As a percentage of net assets.

TOP TEN HOLDINGS

Security Name	% of Net Assets
Tyler Technologies, Inc.*		2.6	%
MarketAxess Holdings, Inc.*		2.4
Grand Canyon Education, Inc.*		2.2
West Pharmaceutical Services, Inc.*		2.1
Texas Roadhouse, Inc.*		2.1
Cognex Corp.*		2.1
CEB, Inc.		2.0
Stifel Financial Corp.		1.9
FEI Co.*		1.9
Lithia Motors, Inc., Class A		1.9
Top Ten as a Group		21.2	%

* Top Ten Holdings as of December 31, 2014.

Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.

Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.

22

AMG GW&K Small Cap Core Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2015

	Shares		Value
Common Stocks - 98.0%
Consumer Discretionary - 14.9%
Grand Canyon Education, Inc.*		197,605	$	8,378,452
Hibbett Sports, Inc.*,2		101,575		4,731,364
Lithia Motors, Inc., Class A		63,445		7,179,436
Mattress Firm Holding Corp.*,2		42,259		2,575,686
Monro Muffler Brake, Inc.		46,875		2,913,750
Oxford Industries, Inc.		66,979		5,857,314
Pier 1 Imports, Inc.		181,500		2,292,345
The Ryland Group, Inc.		141,250		6,549,762
Texas Roadhouse, Inc.		218,310		8,171,343
Tumi Holdings, Inc.*		231,931		4,759,224
Tupperware Brands Corp.2		68,047		4,391,753
Total Consumer Discretionary				57,800,429
Consumer Staples - 1.0%
WD-40 Co.		47,021		4,098,350
Energy - 3.5%
Dril-Quip, Inc.*		55,381		4,167,420
Forum Energy Technologies, Inc.*		191,749		3,888,670
Matador Resources Co.*		215,848		5,396,200
Total Energy				13,452,290
Financials - 21.2%
American Campus Communities, Inc.		135,665		5,113,214
AMERISAFE, Inc.		84,651		3,983,676
Cathay General Bancorp		133,970		4,347,327
Cohen & Steers, Inc.		130,105		4,433,978
Glacier Bancorp, Inc.		223,190		6,566,250
Iberiabank Corp.		88,587		6,044,291
MarketAxess Holdings, Inc.		101,036		9,373,110
National Health Investors, Inc.		74,585		4,646,645
Pebblebrook Hotel Trust		145,035		6,219,101
PRA Group, Inc.*,2		99,154		6,178,286
ProAssurance Corp.		101,655		4,697,478
STAG Industrial, Inc.		216,355		4,327,100
Stifel Financial Corp.*		125,790		7,263,115
Texas Capital Bancshares, Inc.*		100,585		6,260,410
Webster Financial Corp.		69,495		2,748,527
Total Financials				82,202,508
Health Care - 14.1%
Air Methods Corp.*		78,945		3,263,586

	Shares		Value
Analogic Corp.		48,649	$	3,838,406
Cantel Medical Corp.		74,802		4,014,623
Catalent, Inc.*		132,212		3,877,778
Cepheid, Inc.*		75,270		4,602,761
Globus Medical, Inc., Class A*		213,901		5,490,839
HMS Holdings Corp.*,2		112,715		1,935,317
ICU Medical, Inc.*		71,585		6,847,821
IPC Healthcare, Inc.*		70,060		3,880,623
Medidata Solutions, Inc.*		89,270		4,849,146
West Pharmaceutical Services, Inc.		142,210		8,259,557
Wright Medical Group, Inc.*		139,600		3,665,896
Total Health Care				54,526,353
Industrials - 17.5%
CEB, Inc.		88,377		7,694,102
CLARCOR, Inc.		93,879		5,843,029
Healthcare Services Group, Inc.		181,425		5,996,096
Heartland Express, Inc.		273,940		5,541,806
HEICO Corp.2		61,366		3,577,638
HEICO Corp., Class A		24,969		1,267,676
Mobile Mini, Inc.		113,120		4,755,565
Primoris Services Corp.		206,627		4,091,215
Proto Labs, Inc.*,2		69,683		4,702,209
RBC Bearings, Inc.*		70,667		5,071,064
Ritchie Bros. Auctioneers, Inc.2		205,911		5,749,035
The Toro Co.		87,243		5,913,331
Universal Forest Products, Inc.		70,830		3,685,285
US Ecology, Inc.		76,460		3,725,131
Total Industrials				67,613,182
Information Technology - 18.4%
Aspen Technology, Inc.*		120,580		5,492,419
Blackbaud, Inc.		125,910		7,170,575
Cardtronics, Inc.*		100,620		3,727,971
Cavium, Inc.*		88,810		6,111,016
Cognex Corp.		169,220		8,139,482
EPAM Systems, Inc.*		71,925		5,123,218
FEI Co.		87,494		7,255,877
LogMeln, Inc.*		80,306		5,178,934
Power Integrations, Inc.		98,508		4,450,591
Rofin-Sinar Technologies, Inc.*		100,232		2,766,403
SciQuest, Inc.*		151,450		2,242,974

The accompanying notes are an integral part of these financial statements.

23

AMG GW&K Small Cap Core Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Information Technology - 18.4% (continued)
Solera Holdings, Inc.		76,066	$	3,389,501
Tyler Technologies, Inc.*		78,306		10,131,230
Total Information Technology				71,180,191
Materials - 4.9%
Balchem Corp.		65,485		3,648,824
Compass Minerals International, Inc.		43,629		3,583,686
Flotek Industries, Inc.*,2		142,750		1,788,658
KapStone Paper and Packaging Corp.		172,940		3,998,373
Silgan Holdings, Inc.		110,065		5,807,029
Total Materials				18,826,570
Utilities - 2.5%
Cleco Corp.		64,250		3,459,863
NorthWestern Corp.		125,762		6,130,897
Total Utilities				9,590,760
Total Common Stocks (cost $316,954,053)				379,290,633
	Principal Amount
Short-Term Investments -5.4%
Repurchase Agreements -3.5%4
Cantor Fitzgerald Securities, Inc., dated 06/30/15, due 07/01/15, 0.150%, total to be received $3,180,946 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.500%, 07/15/15 - 05/20/65, totaling $3,244,552)	$	3,180,933		3,180,933
Daiwa Capital Markets America, dated 06/30/15, due 07/01/15, 0.180%, total to be received $3,180,949 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.250%, 11/15/15 - 03/01/48 and cash, totaling $3,244,536)		3,180,933		3,180,933
Nomura Securities International, Inc., dated 06/30/15, due 07/01/15, 0.140%, total to be received $3,180,945 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.500%, 07/31/15 - 05/20/65 totaling $3,244,553)		3,180,933		3,180,933

	Principal Amount		Value
RBC Capital Markets LLC, dated 06/30/15, due 07/01/15, 0.100%, total to be received $2,346,035 (collateralized by various U.S. Government Agency Obligations, 2.375% - 6.500%, 03/01/19 - 02/20/65, totaling $2,392,949)	$	2,346,028	$	2,346,028
State of Wisconsin Investment Board, dated 06/30/15, due 07/01/15, 0.200%, total to be received $1,504,539 (collateralized by various U.S. Government Agency Obligations, 0.125% - 2.500%, 01/15/17 - 01/15/29, totaling $1,535,198)		1,504,531		1,504,531
Total Repurchase Agreements				13,393,358
	Shares
Other Investment Companies - 1.9%5
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.08%		7,313,864		7,313,864
Total Short-Term Investments (cost $20,707,222)				20,707,222
Total Investments - 103.4% (cost $337,661,275)				399,997,855
Other Assets, less Liabilities - (3.4)%				(12,996,874	)
Net Assets - 100.0%			$	387,000,981

The accompanying notes are an integral part of these financial statements.

24

Notes to Schedules of Portfolio Investments (unaudited)

The following footnotes and abbreviations should be read in conjunction with each of the Schedules of Portfolio Investments previously presented in this report.

At June 30, 2015, the approximate cost of investments for federal income tax purposes and the aggregate gross unrealized appreciation and/or depreciation based on tax cost were:

Fund	Cost		Appreciation		Depreciation			Net
AMG GW&K Enhanced Core Bond Fund	$	93,545,693	$	1,221,543	$	(1,858,085	)	$	(636,542	)
AMG GW&K Municipal Bond Fund		677,867,430		5,742,041		(3,569,339	)		2,172,702
AMG GW&K Municipal Enhanced Yield Fund		210,729,396		6,678,005		(2,606,511	)		4,071,494
AMG GW&K Small Cap Core Fund		337,634,383		76,489,599		(14,126,127	)		62,363,472

* Non-income producing security.

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2015, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	1,731,875		1.9	%
AMG GW&K Municipal Enhanced Yield Fund		5,719,525		2.6	%

(b) Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term.

¹  Variable Rate Security. The rate listed is as of June 30, 2015, and is periodically reset subject to terms and conditions set forth in the debenture.

²  Some or all of these shares were out on loan to various brokers as of June 30, 2015, amounting to:

Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	993,656		1.1	%
AMG GW&K Small Cap Core Fund		13,100,414		3.4	%

³  Securities in the portfolio backed by insurance of financial institutions and financial guaranty assurance agencies. At June 30, 2015, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	881,011		1.0	%
AMG GW&K Municipal Enhanced Yield Fund		3,667,475		1.7	%

⁴  Collateral received from brokers for securities lending was invested in these short-term investments.

⁵  Yield shown represents the June 30, 2015, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

⁶  All or part of the security is delayed delivery transaction. The market value of delayed delivery securities at June 30, 2015, amounted to the following:

Fund	Market Value		% of Net Assets
AMG GW&K Municipal Bond Fund	$	6,721,819		1.0	%

⁷  Some of these securities are segregated as collateral for delayed delivery transactions. At June 30, 2015, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG GW&K Municipal Bond Fund	$	16,993,979		2.5	%

The accompanying notes are an integral part of these financial statements.

25

Notes to Schedules of Portfolio Investments (continued)

The following tables summarize the inputs used to value the Funds’ net assets by the fair value hierarchy levels as of June 30, 2015: (See Note 1(a) in the Notes to the Financial Statements.)

	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Enhanced Core Bond Fund
Investments in Securities
Corporate Bonds and Notes†		—	$	53,221,405		—	$	53,221,405
Municipal Bonds††		—		5,599,772		—		5,599,772
U.S. Government and Agency Obligations†		—		29,371,808		—		29,371,808
Short-Term Investments
Repurchase Agreements		—		1,024,926		—		1,024,926
Other Investment Companies	$	3,691,240		—		—		3,691,240
Total Investments in Securities	$	3,691,240	$	89,217,911		—	$	92,909,151
	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Municipal Bond Fund
Investments in Securities
Municipal Bonds††		—	$	672,488,898		—	$	672,488,898
Other Investment Companies	$	7,551,234		—		—		7,551,234
Total Investments in Securities	$	7,551,234	$	672,488,898		—	$	680,040,132
	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Municipal Enhanced Yield Fund
Investments in Securities
Municipal Bonds††		—	$	212,393,615		—	$	212,393,615
Other Investment Companies	$	2,407,275		—		—		2,407,275
Total Investments in Securities	$	2,407,275	$	212,393,615		—	$	214,800,890

The accompanying notes are an integral part of these financial statements.

26

Notes to Schedules of Portfolio Investments (continued)

	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Small Cap Core Fund
Investments in Securities
Common Stocks†††	$	379,290,633		—		—	$	379,290,633
Short-Term Investments
Repurchase Agreements		—	$	13,393,358		—		13,393,358
Other Investment Companies		7,313,864		—		—		7,313,864
Total Investments in Securities	$	386,604,497	$	13,393,358		—	$	399,997,855

^†  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 respective Schedule of Portfolio Investments.

^††  All municipal bonds held in the Fund are Level 2 securities. For a detailed breakout of the bonds by major classification, please refer to the respective Schedule of Portfolio Investments.

^††† All common stocks held in the Funds are Level 1 securities. For a detailed breakout of the common stocks by major industry classification, please refer to the respective Schedule of Portfolio Investments.

As of June 30, 2015, the Funds had no transfers between levels from the beginning of the reporting period.

INVESTMENTS DEFINITIONS AND ABBREVIATIONS:

COPS:	Certificates of Participation
FHLMC:	Federal Home Loan Mortgage Corporation
FNMA:	Federal National Mortgage Association
GMTN:	Global Medium-Term Notes
National:	National Public Finance Guarantee Corporation

The accompanying notes are an integral part of these financial statements.

27

Statement of Assets and Liabilities (unaudited)

June 30, 2015

	AMG GW&K Enhanced Core Bond Fund			AMG GW&K Municipal Bond Fund			AMG GW&K Municipal Enhanced Yield Fund		AMG GW&K Small Cap Core Fund
Assets:
Investments at value* (including securities on loan valued at $993,656, $0, $0 and $13,100,414, respectively)	$	92,909,151		$	680,040,132		$	214,800,890	$	399,997,855
Receivable for investments sold		—			11,781,880			3,523,696		—
Receivable for Fund shares sold		48,182			4,013,237			765,154		819,734
Dividends, interest and other receivables		1,139,926			8,280,699			2,348,500		338,656
Receivable from affiliate		17,642			164,192			31,244		31,675
Prepaid expenses		35,691			22,742			22,597		25,459
Total assets		94,150,593			704,302,882			221,492,081		401,213,379
Liabilities:
Payable upon return of securities loaned		1,024,926			—			—		13,393,358
Payable for investments purchased		168,767			5,904,887			2,545,944		—
Payable for Fund shares repurchased		123,580			1,420,640			430,000		440,007
Payable for delayed delivery investments purchased		—			6,699,316			—		—
Accrued expenses:
Investment advisory and management fees		34,368			193,231			90,746		239,818
Administrative fees		15,275			138,022			45,373		79,939
Shareholder service fees - Investor Class		—			4,600			447		4,732
Shareholder service fees - Service Class		119			14,526			1,144		4,648
Distribution fees - Investor Class		5,939			5,227			746		7,887
Distribution fees - Class C		10,997			—			—		—
Trustees fees and expenses		300			1,669			—		480
Other		44,436			54,547			43,882		41,529
Total liabilities		1,428,707			14,436,665			3,158,282		14,212,398
Net Assets	$	92,721,886		$	689,866,217		$	218,333,799	$	387,000,981
Net Assets Represent:
Paid-in capital	$	94,343,329		$	681,082,635		$	212,041,634	$	312,368,873
Undistributed (accumulated) net investment income (loss)		(1,258	)		(2,185	)		3,291		171,209
Accumulated net realized gain (loss) from investments		(983,877	)		6,613,065			2,136,308		12,124,319
Net unrealized appreciation (depreciation) of investments		(636,308	)		2,172,702			4,152,566		62,336,580
Net Assets	$	92,721,886		$	689,866,217		$	218,333,799	$	387,000,981
Investor Class:
Net Assets	$	28,858,558		$	20,740,058		$	3,733,839	$	38,034,140
Shares outstanding		2,882,827			1,799,136			375,872		1,569,193
Net asset value, offering and redemption price per share	$	10.01		$	11.53		$	9.93	$	24.24
Service Class:
Net Assets	$	2,803,565		$	103,148,552		$	17,004,842	$	40,218,239
Shares outstanding		279,042			8,927,726			1,710,607		1,647,120
Net asset value, offering and redemption price per share	$	10.05		$	11.55		$	9.94	$	24.42
Class C Shares:
Net Assets	$	13,160,474			n/a			n/a		n/a
Shares outstanding		1,316,714			n/a			n/a		n/a
Net asset value, offering and redemption price per share	$	9.99			n/a			n/a		n/a
Institutional Class:
Net Assets	$	47,899,289		$	565,977,607		$	197,595,118	$	308,748,603
Shares outstanding		4,769,615			48,827,800			19,911,384		12,595,288
Net asset value, offering and redemption price per share	$	10.04		$	11.59		$	9.92	$	24.51
*  Investments at cost	$	93,545,459		$	677,867,430		$	210,648,324	$	337,661,275

The accompanying notes are an integral part of these financial statements.

28

Statement of Operations (unaudited)

For the six months ended June 30, 2015

	AMG GW&K Enhanced Core Bond Fund			AMG GW&K Municipal Bond Fund			AMG GW&K Municipal Enhanced Yield Fund			AMG GW&K Small Cap Core Fund
Investment Income:
Interest income	$	1,712,082		$	6,357,638		$	4,922,195		$	92
Dividend income		1,057			1,254			326			2,044,058
Securities lending income		4,883			—			—			18,854
Foreign withholding tax		—			—			—			(8,697	)
Total investment income		1,718,022			6,358,892			4,922,521			2,054,307
Expenses:
Investment advisory and management fees		204,798			1,068,486			609,469			1,407,749
Administrative fees		91,021			763,204			304,735			469,250
Distribution fees - Investor Class		36,135			31,876			6,974			46,956
Distribution fees - Class C		72,649			—			—			—
Shareholder servicing fees - Investor Class		—			27,999			3,589			33,140
Shareholder servicing fees - Service Class		680			85,291			6,783			30,155
Professional fees		24,467			28,707			22,656			20,346
Registration fees		16,213			16,282			18,160			14,247
Reports to shareholders		11,393			10,159			3,948			18,486
Custodian		8,180			27,515			12,805			13,132
Transfer agent		4,413			15,111			4,822			10,889
Trustees fees and expenses		2,210			15,354			6,100			9,453
Miscellaneous		1,987			4,015			2,900			3,338
Total expenses before offsets		474,146			2,093,999			1,002,941			2,077,141
Fee waivers		—			—			(110,888	)		—
Expense reimbursements		(96,170	)		(910,812	)		(94,273	)		(183,706	)
Net expenses		377,976			1,183,187			797,780			1,893,435
Net investment income		1,340,046			5,175,705			4,124,741			160,872
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		(688,534	)		4,701,137			3,187,720			8,086,312
Net change in unrealized appreciation (depreciation) of investments		(1,265,412	)		(10,288,361	)		(8,132,098	)		5,925,625
Net realized and unrealized gain (loss)		(1,953,946	)		(5,587,224	)		(4,944,378	)		14,011,937
Net increase (decrease) in net assets resulting from operations	$	(613,900	)	$	(411,519	)	$	(819,637	)	$	14,172,809

The accompanying notes are an integral part of these financial statements.

29

Statements of Changes in Net Assets

For the six months ended June 30, 2015 (unaudited) and the year ended December 31, 2014

	AMG GW&K Enhanced Core Bond Fund						AMG GW&K Municipal Bond Fund
	2015			2014			2015			2014
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	1,340,046		$	2,507,510		$	5,175,705		$	7,875,121
Net realized gain (loss) on investments		(688,534	)		87,523			4,701,137			3,462,649
Net change in unrealized appreciation (depreciation) of investments		(1,265,412	)		2,660,589			(10,288,361	)		16,538,759
Net increase (decrease) in net assets resulting from operations		(613,900	)		5,255,622			(411,519	)		27,876,529
Distributions to Shareholders:
From net investment income:
Investor Class		(432,253	)		(769,523	)		(155,219	)		(432,266	)
Service Class		(43,479	)		(57,198	)		(785,077	)		(1,339,974	)
Class C		(160,299	)		(381,610	)		—			—
Institutional Class		(727,185	)		(1,330,077	)		(4,237,594	)		(6,154,942	)
From net realized gain on investments:
Investor Class		—			—			—			(79,952	)
Service Class		—			—			—			(330,497	)
Class C		—			—			—			—
Institutional Class		—			—			—			(1,316,968	)
Total distributions to shareholders		(1,363,216	)		(2,538,408	)		(5,177,890	)		(9,654,599	)
Capital Share Transactions:1
Net increase (decrease) from capital share transactions		6,879,571			(28,444,315	)		180,150,287			210,693,581
Total increase (decrease) in net assets		4,902,455			(25,727,101	)		174,560,878			228,915,511
Net Assets:
Beginning of period		87,819,431			113,546,532			515,305,339			286,389,828
End of period	$	92,721,886		$	87,819,431		$	689,866,217		$	515,305,339
End of period undistributed (accumulated) net investment income (loss)	$	(1,258	)	$	21,912		$	(2,185	)		—

¹  See Note 1(g) of the Notes to Financial Statements.

The accompanying notes are an integral part of these financial statements.

30

Statements of Changes in Net Assets (continued)

For the six months ended June 30, 2015 (unaudited) and the year ended December 31, 2014.

	AMG GW&K Municipal Enhanced Yield Fund						AMG GW&K Small Cap Core Fund
	2015			2014			2015			2014
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	4,124,741		$	9,127,984		$	160,872		$	614,594
Net realized gain on investments		3,187,720			3,771,712			8,086,312			22,646,725
Net change in unrealized appreciation (depreciation) of investments		(8,132,098	)		25,123,728			5,925,625			(14,926,183	)
Net increase (decrease) in net assets resulting from operations		(819,637	)		38,023,424			14,172,809			8,335,136
Distributions to Shareholders:
From net investment income:
Investor Class		(79,751	)		(345,685	)		—			—
Service Class		(288,750	)		(377,198	)		—			(20,176	)
Institutional Class		(3,757,278	)		(8,402,809	)		—			(460,718	)
From net realized gain on investments:
Investor Class		—			—			—			(2,104,505	)
Service Class		—			—			—			(2,494,630	)
Institutional Class		—			—			—			(15,829,282	)
Total distributions to shareholders		(4,125,779	)		(9,125,692	)		—			(20,909,311	)
Capital Share Transactions:1
Net increase (decrease) from capital share transactions		(27,267,997	)		7,236,539			(1,273,553	)		111,993,583
Total increase (decrease) in net assets		(32,213,413	)		36,134,271			12,899,256			99,419,408
Net Assets:
Beginning of period		250,547,212			214,412,941			374,101,725			274,682,317
End of period	$	218,333,799		$	250,547,212		$	387,000,981		$	374,101,725
End of period undistributed net investment income	$	3,291		$	4,329		$	171,209		$	10,337

¹  See Note 1(g) of the Notes to Financial Statements.

The accompanying notes are an integral part of these financial statements.

31

AMG GW&K Enhanced Core Bond Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Investor Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	10.22		$	9.96		$	11.24		$	10.81		$	11.00		$	10.43
Income from Investment Operations:
Net investment income1		0.15	3		0.29	3		0.24	3		0.44	3		0.46	3		0.47
Net realized and unrealized gain (loss) on investments		(0.21	)		0.26			(0.21	)		0.58			0.03			0.56
Total income from investment operations		(0.06	)		0.55			0.03			1.02			0.49			1.03
Less Distributions to Shareholders from:
Net investment income		(0.15	)		(0.29	)		(0.26	)		(0.48	)		(0.51	)		(0.46	)
Net realized gain on investments		—			—			(1.05	)		(0.11	)		(0.17	)		—
Total distributions to shareholders		(0.15	)		(0.29	)		(1.31	)		(0.59	)		(0.68	)		(0.46	)
Net Asset Value, End of Period	$	10.01		$	10.22		$	9.96		$	11.24		$	10.81		$	11.00
Total Return1		(0.60	)%17		5.58	%		0.29	%		9.53	%		4.53	%		10.04	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.84	%18		0.84	%		0.86	%4		0.84	%5		0.84	%		0.84	%
Ratio of expenses to average net assets (with offsets)		0.84	%18		0.84	%		0.86	%4		0.84	%5		0.84	%		0.84	%
Ratio of total expenses to average net assets (without offsets/reductions)2		1.05	%18		1.09	%		1.08	%4		1.04	%5		1.05	%		1.07	%
Ratio of net investment income to average net assets1		2.94	%18		2.82	%		2.14	%4		3.92	%5		4.18	%		4.13	%
Portfolio turnover		16	%17		22	%		43	%		110	%		28	%		23	%
Net assets at end of period (000’s omitted)	$	28,859		$	27,444		$	32,009		$	41,772		$	35,647		$	38,655

	For the six months ended June 30, 2015			For the years ended December 31,						For the period from December 1, 2012 through
Service Class	(unaudited)			2014			2013			December 31, 2012*
Net Asset Value, Beginning of Period	$	10.26		$	9.99		$	11.28		$	11.41
Income from Investment Operations:
Net investment income1,3		0.16			0.31			0.26			0.02
Net realized and unrealized gain (loss) on investments		(0.21	)		0.27			(0.22	)		0.01
Total income from investment operations		(0.05	)		0.58			0.04			0.03
Less Distributions to Shareholders from:
Net investment income		(0.16	)		(0.31	)		(0.28	)		(0.05	)
Net realized gain on investments		—			—			(1.05	)		(0.11	)
Total distributions to shareholders		(0.16	)		(0.31	)		(1.33	)		(0.16	)
Net Asset Value, End of Period	$	10.05		$	10.26		$	9.99		$	11.28
Total Return1		(0.49	)%17		5.84	%		0.41	%		0.26	%17
Ratio of net expenses to average net assets (with offsets/reductions)		0.64	%18		0.65	%		0.69	%4		0.64	%5,18
Ratio of expenses to average net assets (with offsets)		0.64	%18		0.65	%		0.69	%4		0.64	%5,18
Ratio of total expenses to average net assets (without offsets/reductions)2		0.85	%18		0.90	%		0.91	%4		0.90	%5,18
Ratio of net investment income to average net assets1		3.13	%18		3.00	%		2.31	%4		2.07	%5,18
Portfolio turnover		16	%17		22	%		43	%		110	%
Net assets at end of period (000’s omitted)	$	2,804		$	2,480		$	1,563		$	10

32

AMG GW&K Enhanced Core Bond Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Class C	(unaudited)			2014			2013			2012††			2011			2010
Net Asset Value, Beginning of Period	$	10.20		$	9.94		$	11.22		$	10.79		$	10.98		$	10.41
Income from Investment Operations:
Net investment income1		0.11	3		0.21	3		0.15	3		0.36	3		0.38	3		0.39
Net realized and unrealized gain (loss) on investments		(0.21	)		0.26			(0.20	)		0.57			0.02			0.56
Total income (loss) from investment operations		(0.10	)		0.47			(0.05	)		0.93			0.40			0.95
Less Distributions to Shareholders from:
Net investment income		(0.11	)		(0.21	)		(0.18	)		(0.39	)		(0.42	)		(0.38	)
Net realized gain on investments		—			—			(1.05	)		(0.11	)		(0.17	)		—
Total distributions to shareholders		(0.11	)		(0.21	)		(1.23	)		(0.50	)		(0.59	)		(0.38	)
Net Asset Value, End of Period	$	9.99		$	10.20		$	9.94		$	11.22		$	10.79		$	10.98
Total Return1		(0.97	)%17		4.79	%		(0.50	)%6		8.72	%6		3.73	%		9.22	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.59	%18		1.59	%		1.61	%4		1.59	%5		1.59	%		1.59	%
Ratio of expenses to average net assets (with offsets)		1.59	%18		1.59	%		1.61	%4		1.59	%5		1.59	%		1.59	%
Ratio of total expenses to average net assets (without offsets/reductions)2		1.80	%18		1.84	%		1.83	%4		1.79	%5		1.80	%		1.82	%
Ratio of net investment income to average net assets1		2.20	%18		2.07	%		1.38	%4		3.18	%5		3.42	%		3.39	%
Portfolio turnover		16	%17		22	%		43	%		110	%		28	%		23	%
Net assets at end of period (000’s omitted)	$	13,160		$	15,927		$	20,793		$	33,026		$	33,615		$	45,363

	For the six months ended June 30, 2015			For the years ended December 31,
Institutional Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	10.25		$	9.99		$	11.28		$	10.84		$	11.03		$	10.46
Income from Investment Operations:
Net investment income1		0.16	3		0.31	3		0.27	3		0.47	3		0.49	3		0.49
Net realized and unrealized gain (loss) on investments		(0.21	)		0.27			(0.22	)		0.58			0.02			0.57
Total income from investment operations		(0.05	)		0.58			0.05			1.05			0.51			1.06
Less Distributions to Shareholders from:
Net investment income		(0.16	)		(0.32	)		(0.29	)		(0.50	)		(0.53	)		(0.49	)
Net realized gain on investments		—			—			(1.05	)		(0.11	)		(0.17	)		—
Total distributions to shareholders		(0.16	)		(0.32	)		(1.34	)		(0.61	)		(0.70	)		(0.49	)
Net Asset Value, End of Period	$	10.04		$	10.25		$	9.99		$	11.28		$	10.84		$	11.03
Total Return1		(0.47	)%17		5.85	%		0.46	%		9.89	%		4.79	%		10.29	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.59	%18		0.59	%		0.61	%4		0.59	%5		0.59	%		0.59	%
Ratio of expenses to average net assets (with offsets)		0.59	%18		0.59	%		0.61	%4		0.59	%5		0.59	%		0.59	%
Ratio of total expenses to average net assets (without offsets/reductions)2		0.80	%18		0.84	%		0.83	%4		0.79	%5		0.80	%		0.82	%
Ratio of net investment income to average net assets1		3.18	%18		3.05	%		2.39	%4		4.21	%5		4.41	%		4.34	%
Portfolio turnover		16	%17		22	%		43	%		110	%		28	%		23	%
Net assets at end of period (000’s omitted)	$	47,899		$	41,968		$	59,182		$	65,573		$	64,573		$	61,748

33

AMG GW&K Municipal Bond Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Investor Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	11.61		$	11.02		$	11.52		$	11.21		$	10.29		$	10.27
Income from Investment Operations:
Net investment income1,3		0.07			0.18			0.18			0.20			0.27			0.31
Net realized and unrealized gain (loss) on investments		(0.08	)		0.63			(0.47	)		0.38			0.97			0.09
Total income (loss) from investment operations		(0.01	)		0.81			(0.29	)		0.58			1.24			0.40
Distributions to Shareholders from:
Net investment income		(0.07	)		(0.18	)		(0.17	)		(0.19	)		(0.27	)		(0.31	)
Net realized gain on investments		—			(0.04	)		(0.04	)		(0.08	)		(0.05	)		(0.07	)
Total distributions to shareholders		(0.07	)		(0.22	)		(0.21	)		(0.27	)		(0.32	)		(0.38	)
Net Asset Value, End of Period	$	11.53		$	11.61		$	11.02		$	11.52		$	11.21		$	10.29
Total Return1		(0.07	)%17		7.39	%		(2.51	)%6		5.27	%6		12.16	%		3.89	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.81	%18		0.80	%		0.81	%7		0.80	%8		0.81	%		0.75	%
Ratio of expenses to average net assets (with offsets)		0.81	%18		0.80	%		0.81	%7		0.80	%8		0.81	%		0.75	%
Ratio of total expenses to average net assets (without offsets/reductions)2		1.11	%18		1.12	%		1.17	%7		1.18	%8		1.34	%		1.45	%
Ratio of net investment income to average net assets1		1.27	%18		1.55	%		1.56	%7		1.71	%8		2.46	%		2.91	%
Portfolio turnover		29	%17		31	%		28	%		39	%		26	%		22	%
Net assets at end of period (000’s omitted)	$	20,740		$	23,572		$	28,655		$	22,726		$	8,777		$	2,856

	For the six month ended June 30, 2015			For the years ended December 31,
Service Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	11.63		$	11.04		$	11.54		$	11.23		$	10.30		$	10.28
Income from Investment Operations:
Net investment income1,3		0.09			0.21			0.21			0.23			0.30			0.33
Net realized and unrealized gain (loss) on investments		(0.08	)		0.63			(0.47	)		0.38			0.97			0.09
Total income (loss) from investment operations		0.01			0.84			(0.26	)		0.61			1.27			0.42
Distributions to Shareholders from:
Net investment income		(0.09	)		(0.21	)		(0.20	)		(0.22	)		(0.29	)		(0.33	)
Net realized gain on investments		—			(0.04	)		(0.04	)		(0.08	)		(0.05	)		(0.07	)
Total distributions to shareholders		(0.09	)		(0.25	)		(0.24	)		(0.30	)		(0.34	)		(0.40	)
Net Asset Value, End of Period	$	11.55		$	11.63		$	11.04		$	11.54		$	11.23		$	10.30
Total Return1		0.08	%17		7.62	%		(2.24	)%		5.53	%		12.52	%		4.05	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.51	%18		0.52	%		0.53	%7		0.55	%8		0.54	%		0.55	%
Ratio of expenses to average net assets (with offsets)		0.51	%18		0.52	%		0.53	%7		0.55	%8		0.54	%		0.55	%
Ratio of total expenses to average net assets (without offsets/reductions)2		0.81	%18		0.84	%		0.89	%7		0.93	%8		1.09	%		1.25	%
Ratio of net investment income to average net assets1		1.57	%18		1.82	%		1.84	%7		1.97	%8		2.80	%		3.13	%
Portfolio turnover		29	%17		31	%		28	%		39	%		26	%		22	%
Net assets at end of period (000’s omitted)	$	103,149		$	98,152		$	53,024		$	35,444		$	22,705		$	15,032

34

AMG GW&K Municipal Bond Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 215			For the years ended December 31,
Institutional Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	11.67		$	11.08		$	11.58		$	11.26		$	10.33		$	10.31
Income from Investment Operations:
Net investment income1,3		0.10			0.23			0.23			0.25			0.30			0.35
Net realized and unrealized gain (loss) on investments		(0.08	)		0.63			(0.47	)		0.40			0.99			0.09
Total income (loss) from investment operations		0.02			0.86			(0.24	)		0.65			1.29			0.44
Distributions to Shareholders from:
Net investment income		(0.10	)		(0.23	)		(0.22	)		(0.25	)		(0.31	)		(0.35	)
Net realized gain on investments		—			(0.04	)		(0.04	)		(0.08	)		(0.05	)		(0.07	)
Total distributions to shareholders		(0.10	)		(0.27	)		(0.26	)		(0.33	)		(0.36	)		(0.42	)
Net Asset Value, End of Period	$	11.59		$	11.67		$	11.08		$	11.58		$	11.26		$	10.33
Total Return1		0.16	%17		7.80	%		(2.02	)%		5.80	%6		12.71	%6		4.27	%6
Ratio of net expenses to average net assets (with offsets/reductions)		0.34	%18		0.34	%		0.36	%7		0.35	%8		0.34	%		0.34	%
Ratio of expenses to average net assets (with offsets)		0.34	%18		0.34	%		0.36	%7		0.35	%8		0.34	%		0.34	%
Ratio of total expenses to average net assets (without offsets/reductions)2		0.64	%18		0.66	%		0.72	%7		0.73	%8		0.83	%		1.04	%
Ratio of net investment income to average net assets1		1.74	%18		2.00	%		2.01	%7		2.15	%8		2.79	%		3.31	%
Portfolio turnover		29	%17		31	%		28	%		39	%		26	%		22	%
Net assets at end of period (000’s omitted)	$	565,978		$	393,581		$	204,711		$	121,609		$	32,019		$	1,180

35

AMG GW&K Municipal Enhanced Yield Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Investor Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	10.16		$	8.98		$	10.24		$	9.55		$	8.79		$	8.81
Income from Investment Operations:
Net investment income1		0.15	3		0.34	3		0.35	3		0.36	3		0.37	3		0.37
Net realized and unrealized gain (loss) on investments		(0.23	)		1.18			(1.18	)		0.93			0.78			(0.03	)
Total income (loss) from investment operations		(0.08	)		1.52			(0.83	)		1.29			1.15			0.34
Distributions to Shareholders from:
Net investment income		(0.15	)		(0.34	)		(0.36	)		(0.36	)		(0.37	)		(0.36	)
Net realized gain on investments		—			—			(0.07	)		(0.24	)		(0.02	)		—
Total distributions to shareholders		(0.15	)		(0.34	)		(0.43	)		(0.60	)		(0.39	)		(0.36	)
Net Asset Value, End of Period	$	9.93		$	10.16		$	8.98		$	10.24		$	9.55		$	8.79
Total Return1		(0.77	)%17		17.14	%		(8.27	)%6		13.69	%6		13.48	%		3.81	%��
Ratio of net expenses to average net assets (with offsets/reductions)		1.02	%18		1.00	%		1.12	%9		1.07	%10		1.17	%11		1.27	%
Ratio of expenses to average net assets (with offsets)		1.02	%18		1.00	%		1.12	%9		1.07	%10		1.17	%11		1.27	%
Ratio of total expenses to average net assets (without offsets/reductions)2		1.19	%18		1.19	%		1.30	%9		1.27	%10		1.40	%		1.57	%
Ratio of net investment income to average net assets1		3.01	%18		3.46	%		3.58	%9		3.53	%10		4.02	%		4.10	%
Portfolio turnover		55	%17		83	%		52	%		70	%		31	%		50	%
Net assets at end of period (000’s omitted)	$	3,734		$	8,507		$	8,030		$	21,413		$	5,689		$	557

	For the six months ended June 30, 2015			For the years ended December 31,
Service Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	10.16		$	8.98		$	10.23		$	9.54		$	8.79		$	8.81
Income from Investment Operations:
Net investment income1		0.17	3		0.36	3		0.38	3		0.38	3		0.40	3		0.39
Net realized and unrealized gain (loss) on investments		(0.22	)		1.18			(1.18	)		0.93			0.77			(0.02	)
Total income (loss) from investment operations		(0.05	)		1.54			(0.80	)		1.31			1.17			0.37
Distributions to Shareholders from:
Net investment income		(0.17	)		(0.36	)		(0.38	)		(0.38	)		(0.40	)		(0.39	)
Net realized gain on investments		—			—			(0.07	)		(0.24	)		(0.02	)		—
Total distributions to shareholders		(0.17	)		(0.36	)		(0.45	)		(0.62	)		(0.42	)		(0.39	)
Net Asset Value, End of Period	$	9.94		$	10.16		$	8.98		$	10.23		$	9.54		$	8.79
Total Return1		(0.51	)%17		17.39	%		(7.95	)%		13.90	%		13.65	%		4.09	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.72	%18		0.72	%		0.78	%9		0.86	%10		0.94	%11		1.01	%
Ratio of expenses to average net assets (with offsets)		0.72	%18		0.72	%		0.78	%9		0.86	%10		0.94	%11		1.01	%
Ratio of total expenses to average net assets (without offsets/reductions)2		0.89	%18		0.91	%		0.96	%9		1.06	%10		1.16	%		1.31	%
Ratio of net investment income to average net assets1		3.32	%18		3.68	%		3.99	%9		3.74	%10		4.48	%		4.36	%
Portfolio turnover		55	%17		83	%		52	%		70	%		31	%		50	%
Net assets at end of period (000’s omitted)	$	17,005		$	15,757		$	5,222		$	6,401		$	2,145		$	1,181

36

AMG GW&K Municipal Enhanced Yield Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Institutional Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	10.14		$	8.97		$	10.22		$	9.53		$	8.78		$	8.81
Income from Investment Operations:
Net investment income1		0.17	3		0.37	3		0.39	3		0.40	3		0.41	3		0.40
Net realized and unrealized gain (loss) on investments		(0.21	)		1.17			(1.17	)		0.93			0.78			(0.03	)
Total income (loss) from investment operations		(0.04	)		1.54			(0.78	)		1.33			1.19			0.37
Distributions to Shareholders from:
Net investment income		(0.18	)		(0.37	)		(0.40	)		(0.40	)		(0.42	)		(0.40	)
Net realized gain on investments		—			—			(0.07	)		(0.24	)		(0.02	)		—
Total distributions to shareholders		(0.18	)		(0.37	)		(0.47	)		(0.64	)		(0.44	)		(0.40	)
Net Asset Value, End of Period	$	9.92		$	10.14		$	8.97		$	10.22		$	9.53		$	8.78
Total Return1		(0.47	)%17		17.45	%		(7.80	)%		14.13	%6		13.94	%		4.15	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.64	%18		0.64	%		0.66	%9		0.65	%10		0.69	%11		0.79	%
Ratio of expenses to average net assets (with offsets)		0.64	%18		0.64	%		0.66	%9		0.65	%10		0.69	%11		0.79	%
Ratio of total expenses to average net assets (without offsets/reductions)2		0.81	%18		0.83	%		0.84	%9		0.85	%10		0.91	%		1.09	%
Ratio of net investment income to average net assets1		3.40	%18		3.83	%		4.08	%9		3.96	%10		4.69	%		4.58	%
Portfolio turnover		55	%17		83	%		52	%		70	%		31	%		50	%
Net assets at end of period (000’s omitted)	$	197,595		$	226,284		$	201,161		$	294,983		$	138,250		$	48,079

37

AMG GW&K Small Cap Core Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Investor Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	23.39		$	24.34		$	17.72		$	15.87		$	15.64		$	12.05
Income from Investment Operations:
Net investment income (loss)1,3		(0.03	)		(0.07	)19		(0.07	)13		0.14	14		(0.02	)		0.01
Net realized and unrealized gain on investments		0.88			0.46			7.56			2.15			0.25			3.58
Total income from investment operations		0.85			0.39			7.49			2.29			0.23			3.59
Distributions to Shareholders from:
Net investment income		—			—			—			(0.08	)		—			(0.00	)12
Net realized gain on investments		—			(1.34	)		(0.87	)		(0.36	)		—			—
Total distributions to shareholders		—			(1.34	)		(0.87	)		(0.44	)		—			(0.00	)12
Net Asset Value, End of Period	$	24.24		$	23.39		$	24.34		$	17.72		$	15.87		$	15.64
Total Return1		3.63	%17		1.53	%		42.26	%		14.45	%		1.47	%		29.81	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.38	%18		1.42	%		1.37	%15		1.41	%16		1.39	%		1.42	%
Ratio of expenses to average net assets (with offsets)		1.38	%18		1.42	%		1.37	%15		1.41	%16		1.39	%		1.42	%
Ratio of total expenses to average net assets (without offsets/reductions)2		1.48	%18		1.53	%		1.50	%15		1.62	%16		1.71	%		1.84	%
Ratio of net investment income (loss) to average net assets1		(0.28	)%18		(0.28	)%		(0.32	)%15		0.78	%16		(0.14	)%		0.07	%
Portfolio turnover		9	%17		26	%		19	%		14	%		25	%		19	%
Net assets at end of period (000’s omitted)	$	38,034		$	37,995		$	69,992		$	14,707		$	3,349		$	1,914

		For the six months ended June 30, 2015			For the years ended December 31,
Service Class		(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period		$	23.53		$	24.42		$	17.73		$	15.85		$	15.59		$	12.01
Income from Investment Operations:
Net investment income (loss)1,3			(0.00	)12		0.04	19		(0.02	)13		0.06	14		0.01			0.04
Net realized and unrealized gain on investments			0.89			0.43			7.58			2.26			0.25			3.56
Total income from investment operations			0.89			0.47			7.56			2.32			0.26			3.60
Distributions to Shareholders from:
Net investment income			—			(0.01	)		—			(0.08	)		—			(0.02	)
Net realized gain on investments			—			(1.35	)		(0.87	)		(0.36	)		—			—
Total distributions to shareholders			—			(1.36	)		(0.87	)		(0.44	)		—			(0.02	)
Net Asset Value, End of Period		$	24.42		$	23.53		$	24.42		$	17.73		$	15.85		$	15.59
Total Return1			3.78	%17		1.86	%		42.64	%6		14.67	%6		1.67	%6		30.01	%6
Ratio of net expenses to average net assets (with offsets/reductions)			1.09	%18		1.10	%		1.13	%15		1.20	%16		1.20	%		1.20	%
Ratio of expenses to average net assets (with offsets)	��		1.09	%18		1.10	%		1.13	%15		1.20	%16		1.20	%		1.20	%
Ratio of total expenses to average net assets (without offsets/reductions)2			1.19	%18		1.22	%		1.26	%15		1.41	%16		1.52	%		1.62	%
Ratio of net investment income (loss) to average net assets1			(0.01	)%18		0.16	%		(0.09	)%15		0.44	%16		0.04	%		0.30	%
Portfolio turnover			9	%17		26	%		19	%		14	%		25	%		19	%
Net assets at end of period (000’s omitted)		$	40,218		$	44,806		$	35,836		$	13,052		$	19,007		$	18,788

38

AMG GW&K Small Cap Core Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2015			For the years ended December 31,
Institutional Class	(unaudited)			2014			2013			2012			2011			2010
Net Asset Value, Beginning of Period	$	23.61		$	24.49		$	17.76		$	15.87		$	15.59		$	12.01
Income from Investment Operations:
Net investment income1,3		0.02			0.07	19		0.02	13		0.14	14		0.05			0.07
Net realized and unrealized gain on investments		0.88			0.44			7.58			2.23			0.25			3.57
Total income from investment operations		0.90			0.51			7.60			2.37			0.30			3.64
Distributions to Shareholders from:
Net investment income		—			(0.04	)		—			(0.12	)		(0.02	)		(0.06	)
Net realized gain on investments		—			(1.35	)		(0.87	)		(0.36	)		—			—
Total distributions to shareholders		—			(1.39	)		(0.87	)		(0.48	)		(0.02	)		(0.06	)
Net Asset Value, End of Period	$	24.51		$	23.61		$	24.49		$	17.76		$	15.87		$	15.59
Total Return1		3.81	%17		2.04	%		42.81	%6		14.97	%6		1.90	%		30.28	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.95	%18		0.95	%		0.97	%15		0.96	%16		0.95	%		0.95	%
Ratio of expenses to average net assets (with offsets)		0.95	%18		0.95	%		0.97	%15		0.96	%16		0.95	%		0.95	%
Ratio of total expenses to average net assets (without offsets/reductions)2		1.05	%18		1.07	%		1.10	%15		1.17	%16		1.27	%		1.37	%
Ratio of net investment income to average net assets1		0.15	%18		0.30	%		0.07	%15		0.84	%16		0.30	%		0.55	%
Portfolio turnover		9	%17		26	%		19	%		14	%		25	%		19	%
Net assets at end of period (000’s omitted)	$	308,749		$	291,301		$	168,854		$	76,673		$	40,425		$	17,941

39

Notes to Financial Highlights

The following footnotes should be read in conjunction with the Financial Highlights of the Funds previously presented in this report.

* Commencement of operations was December 1, 2012.

^††  Effective December 1, 2012, Class C shares were closed to all new investors.

¹  Total returns and net investment income would have been lower had certain expenses not been offset.

²  Excludes the impact of expense reimbursement and expense offsets such as brokerage credits, but includes non-reimbursable expenses, if any, such as interest, taxes and extraordinary expenses. (See Notes 1(c) and 2 in the Notes to Financial Statements.)

³  Per share numbers have been calculated using average shares.

⁴  Includes non-routine extraordinary expenses amounting to 0.021%, 0.016%, 0.021% and 0.020% of average net assets for the Investor Class, Service Class, Class C and Institutional Class, respectively.

⁵  Includes non-routine extraordinary expenses amounting to 0.004%, 0.005%, 0.004% and 0.004% of average net assets for the Investor Class, Service Class, Class C and Institutional Class, respectively.

⁶  The Total Return is based on the Financial Statement Net Asset Values as shown in the Financial Highlights.

⁷  Includes non-routine extraordinary expenses amounting to 0.021%, 0.020% and 0.020% of average net assets for the Investor Class, Service Class and Institutional Class, respectively.

⁸  Includes non-routine extraordinary expenses amounting to 0.005%, 0.005% and 0.005% of average net assets for the Investor Class, Service Class and Institutional Class, respectively.

⁹  Includes non-routine extraordinary expenses amounting to 0.024%, 0.022% and 0.023% of average net assets for the Investor Class, Service Class and Institutional Class, respectively.

¹⁰  Includes non-routine extraordinary expenses amounting to 0.006%, 0.005% and 0.005% of average net assets for the Investor Class, Service Class and Institutional Class, respectively.

¹¹  Effective July 1, 2011, the Fund’s expense cap was reduced to 0.64% from 0.79%. The expense ratio shown reflects the weighted average expense ratio for the full year ended December 31, 2011.

¹²  Rounds to less than $(0.005).

¹³  Includes non-recurring dividends. Without these dividends net investment income per share would have been $(0.09), $(0.04) and $0.00 for the Investor Class, Service Class and Institutional Class, respectively.

¹⁴  Includes non-recurring dividends. Without these dividends net investment income per share would have been $0.03, $(0.05) and $0.03 for the Investor Class, Service Class and Institutional Class, respectively.

¹⁵  Includes non-routine extraordinary expenses amounting to 0.015%, 0.017% and 0.018% of average net assets for the Investor Class, Service Class and Institutional Class, respectively.

¹⁶  Includes non-routine extraordinary expenses amounting to 0.008%, 0.004% and 0.005% of average net assets for the Investor Class, Service Class and Institutional Class, respectively.

¹⁷  Not annualized.

¹⁸  Annualized.

¹⁹  Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.11), $(0.00), and $0.03 for AMG GW&K Small Cap Core Fund’s Investor Class, Service Class, and Institutional Class shares, respectively.

40

Notes to Financial Statements (unaudited)

June 30, 2015

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

AMG Funds and AMG Funds II (the “Trusts”) are open-end management investment companies, organized as Massachusetts business trusts, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trusts consist of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Funds II: AMG GW&K Enhanced Core Bond Fund (“Enhanced Core Bond”) and AMG Funds: AMG GW&K Municipal Bond Fund (“Municipal Bond”), AMG GW&K Municipal Enhanced Yield Fund (“Municipal Enhanced”) and AMG GW&K Small Cap Core Fund (“Small Cap Core”), each a “Fund” and collectively, the “Funds.”

Each Fund offers three classes of shares: Investor Class, Service Class and Institutional Class. Each class represents an interest in the same assets of the Fund. Although all share classes generally have identical voting rights, each share class votes separately when required by law. Different share classes may pay different distribution amounts to the extent the net asset value per share and/or the expenses of such share classes differ. Each share class has its own expense structure. Please refer to a current prospectus for additional information on each share class.

Effective December 1, 2012, Class C shares of Enhanced Core Bond were closed to all new investors and will no longer be available for purchase by existing shareholders, including purchase by exchange, except for purchases made by automatic reinvestment of dividends and capital gains pursuant to the Fund’s automatic reinvestment plan. Shareholders who redeem Class C shares of the Fund will continue to be subject to the deferred sales charges described in the prospectus.

Effective November 1, 2013, Small Cap Core was closed to new investors. Please refer to a current prospectus for additional information.

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:

a. VALUATION OF INVESTMENTS

Equity securities traded on a domestic or international securities exchange are valued at the last quoted sale price, or, lacking any sales, at the last quoted bid price. Equity securities traded on an international securities exchange and equity securities traded on NASDAQ or in a U.S. or non-U.S. over-the-counter market are valued at the market’s official closing price, or, if there are no trades on the applicable date, at the last quoted bid price. In addition, if the applicable market does not offer an official closing price or if the official closing price is not representative of the overall market, equity securities traded on an international securities exchange and equity securities traded in a non-U.S. over-the-counter market are valued at the last quoted sales price. The Funds’ 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 Funds (the “Board”).

Fixed-income securities are valued based on valuations furnished by independent pricing services that utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. Debt obligations (other than short term debt obligations that have 60 days or less remaining until maturity) will be valued using the evaluated bid price or the mean price provided by an authorized pricing service. Short-term debt obligations (debt obligations with maturities of one year or less at the time of issuance) that have 60 days or less remaining until maturity will be valued at amortized cost. Investments in other open-end regulated investment companies are valued at their end of day net asset value per share. Investments in certain mortgage-backed and stripped mortgage-backed securities, preferred stocks, convertible securities, derivatives and other debt securities not traded on an organized securities market are valued on the basis of valuations provided by dealers or by a pricing service which uses information with respect to transactions in such securities and various relationships between such securities and yield to maturity in determining value.

Under certain circumstances, the value of certain Fund 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 and the Pricing Committee are the committees appointed by the Board to make fair value determinations for such investments. 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 deemed to be readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if AMG Funds LLC (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 seeks to determine the price that the Fund might reasonably expect to receive from a current sale of that 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 analytical data and press releases relating to the investment and its issuer; 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 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 Pricing Committee, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.

41

Notes to Financial Statements (continued)

Portfolio investments that trade on foreign markets are priced based upon the market quotation of such securities as of the close of their respective principal markets. Under certain circumstances, on behalf of a fund that invests in international securities, the Investment Manager or applicable subadvisor may recommend an adjustment of such prices based on its determination of the impact of events occurring subsequent to the close of such markets but prior to the time as of which each Fund calculates its NAV. The Board has also adopted a policy that securities held in a fund that invests in international securities and certain foreign debt obligations held by a fund, in each case, that can be fair valued by the applicable fair value pricing service are fair valued on each business day without regard to a “trigger” (e.g., without regard to invoking fair value based upon a change in a U.S. equity securities index exceeding a predetermined level). The Funds may invest in securities that may be thinly traded. The Board has adopted procedures to adjust prices of securities that are judged to be stale so that they reflect fair value. An investment valued on the basis of its fair value may be valued at a price higher or lower than available market quotations.

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

The three-tier hierarchy of inputs is summarized below:

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

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

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

Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or

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

b. SECURITY TRANSACTIONS

Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.

c. INVESTMENT INCOME AND EXPENSES

Dividend income is recorded on the ex-dividend date. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Distributions received in excess of income from return of capital including real estate investment trusts (REITs) are recorded as a reduction of the cost of the related investment and/or as a realized gain. If the Fund no longer owns the applicable securities, any distributions received in excess of income are recorded as an adjustment to realized gain. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the Funds in the AMG Trust and other affiliated funds based upon their relative average net assets or number of shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain Fund level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund.

The Funds have a “balance credit” arrangement with The Bank of New York Mellon (“BNYM”), the Funds’ custodian, whereby each Fund is credited with an interest factor equal to 0.75% below the effective 90-day T-Bill rate for account balances left uninvested overnight. If the T-Bill rate falls below 0.75%, no credits will be earned. These credits serve to reduce custodian expenses that would otherwise be charged to each Fund. For the six months ended June 30, 2015, the Funds’ custodian expense was not reduced.

Overdraft fees are computed at 1% above the effective Federal Funds rate on the day of the overdraft. For the six months ended June 30, 2015, overdraft fees for Enhanced Core Bond, Municipal Bond, Municipal Enhanced and Small Cap Core equaled $0, $63, $141 and $35, respectively.

d. DIVIDENDS AND DISTRIBUTIONS

Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in December, as described in the Funds’ prospectus. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax

42

Notes to Financial Statements (continued)

purposes; these differences will reverse at some time in the future. Temporary differences are due to differing treatments for losses deferred due to excise tax regulations and wash sales.

e. FEDERAL TAXES

Each Fund intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, and, to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.

Additionally, based on Small Cap Core’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, the Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.

Management has analyzed the Funds’ tax positions taken on federal income tax returns as of December 31, 2014, and for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Additionally, the Funds are not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

Net capital losses incurred in taxable years beginning after the enactment of the Regulated Investment Company Modernization Act of 2010, may be carried forward for an unlimited time period and retain their tax character as either short-term or long-term capital losses.

f. CAPITAL LOSS CARRYOVERS AND DEFERRALS

As of June 30, 2015, the following Funds had accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains for an unlimited time period.

	Capital Loss Carryover Amounts
Fund	Short-Term		Long-Term		Expires
Enhanced Core Bond
(Post-Enactment)	$	295,109		—		Unlimited
Municipal Bond
(Post-Enactment)		—		—		Unlimited
Municipal Enhanced
(Post-Enactment)	$	970,340		—		Unlimited
Small Cap Core
(Post-Enactment)		—		—		Unlimited

g. CAPITAL STOCK

The Trusts’ Declarations of Trust authorize for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date. The cost of securities contributed to the Funds in connection with the issuance of shares is based on the valuation of those securities in accordance with the Funds’ policy on investment valuation.

43

Notes to Financial Statements (continued)

For the six months ended June 30, 2015 (unaudited) and the year ended December 31, 2014, the capital stock transactions by class for Enhanced Core Bond, Municipal Bond, Municipal Enhanced and Small Cap Core were as follows:

		Enhanced Core Bond												Municipal Bond
		2015						2014						2015						2014
		Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares			588,965		$	6,036,614			1,105,135		$	11,355,152			753,829		$	8,792,086			1,313,946		$	15,060,926
Reinvestment of distributions			30,211			308,816			48,652			497,882			12,872			150,014			43,890			504,129
Cost of shares repurchased			(422,003	)		(4,316,807	)		(1,683,022	)		(17,154,959	)		(998,102	)		(11,562,634	)		(1,926,523	)		(22,140,073	)
Net increase (decrease)			197,173		$	2,028,623			(529,235	)	$	(5,301,925	)		(231,401	)	$	(2,620,534	)		(568,687	)	$	(6,575,018	)
Service Class:
Proceeds from sale of shares			65,095		$	669,417			109,002		$	1,126,759			2,031,261		$	23,745,033			5,554,498		$	63,929,297
Reinvestment of distributions			3,387			34,745			3,830			39,381			39,446			460,557			88,317			1,018,649
Cost of shares repurchased			(31,269	)		(318,128	)		(27,386	)		(280,334	)		(1,579,527	)		(18,434,367	)		(2,008,633	)		(22,996,704	)
	��
Net increase			37,213		$	386,034			85,446		$	885,806			491,180		$	5,771,223			3,634,182		$	41,951,242
Class C:
Proceeds from sale of shares			3,002		$	30,671			7,687		$	78,568			—			—			—			—
Reinvestment of distributions			10,880			111,137			25,851			264,164			—			—			—			—
Cost of shares repurchased			(258,294	)		(2,642,628	)		(563,996	)		(5,763,405	)		—			—			—			—
Net decrease			(244,412	)	$	(2,500,820	)		(530,458	)	$	(5,420,673	)		—			—			—			—
Institutional Class:
Proceeds from sale of shares			967,508		$	9,971,498			1,334,860		$	13,732,720			19,281,139		$	225,862,051			20,955,711		$	241,281,689
Reinvestment of distributions			69,795			715,784			124,781			1,280,372			351,461			4,114,346			640,309			7,411,371
Cost of shares repurchased			(361,668	)		(3,721,548	)		(3,289,907	)		(33,620,615	)		(4,525,821	)		(52,976,799	)		(6,356,590	)		(73,375,703	)
Net increase (decrease)			675,635		$	6,965,734			(1,830,266	)	$	(18,607,523	)		15,106,779		$	176,999,598			15,239,430		$	175,317,357

44

Notes to Financial Statements (continued)

	Municipal Enhanced												Small Cap Core
	2015						2014						2015						2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares		538,248		$	5,515,191			1,818,662		$	17,853,038			186,822		$	4,427,412			634,821		$	15,177,787
Reinvestment of distributions		7,772			79,273			35,200			344,366			—			—			83,102			1,964,534
Cost of shares repurchased		(1,007,801	)		(10,321,575	)		(1,910,370	)		(18,841,404	)		(241,888	)		(5,725,811	)		(1,969,034	)		(47,032,493	)
Net decrease		(461,781	)	$	(4,727,111	)		(56,508	)	$	(644,000	)		(55,066	)	$	(1,298,399	)		(1,251,111	)	$	(29,890,172	)
Service Class:
Proceeds from sale of shares		930,560		$	9,528,525			2,041,597		$	20,091,308			75,114		$	1,817,388			623,346		$	15,141,794
Reinvestment of distributions		28,441			288,750			38,258			377,147			—			—			70,148			1,667,423
Cost of shares repurchased		(798,978	)		(8,155,839	)		(1,110,705	)		(10,961,898	)		(332,103	)		(8,138,320	)		(256,726	)		(6,139,546	)
Net increase (decrease)		160,023		$	1,661,436			969,150		$	9,506,557			(256,989	)	$	(6,320,932	)		436,768		$	10,669,671
Institutional Class:
Proceeds from sale of shares		3,321,757		$	33,821,052			5,027,817		$	48,928,368			1,043,764		$	25,220,811			6,496,214		$	156,385,059
Reinvestment of distributions		239,297			2,430,819			646,628			6,307,190			—			—			629,895			15,022,999
Cost of shares repurchased		(5,954,735	)		(60,454,193	)		(5,796,894	)		(56,861,576	)		(787,892	)		(18,875,033	)		(1,681,058	)		(40,193,974	)
Net increase (decrease)		(2,393,681	)	$	(24,202,322	)		(122,449	)	$	(1,626,018	)		255,872		$	6,345,778			5,445,051		$	131,214,084

At June 30, 2015, certain unaffiliated shareholders of record, specifically omnibus accounts, individually or collectively held greater than 10% of the net assets of the Funds as follows: Enhanced Core Bond - three collectively own 54%; Municipal Bond - two collectively own 68%; Municipal Enhanced - two collectively own 78%; Small Cap Core - three collectively own 62%. Transactions by these shareholders may have a material impact on their respective Funds.

h. REPURCHASE AGREEMENTS

The Funds may enter into repurchase agreements provided that the value of the underlying collateral, including accrued interest, will equal or exceed the value of the repurchase agreement during the term of the agreement. The underlying collateral for all repurchase agreements is held in safekeeping by the Fund’s custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. At June 30, 2015, the market value of repurchase agreements outstanding for Enhanced Core Bond and Small Cap Core was $1,024,926 and $13,393,358, respectively.

i. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES

The Funds may enter into securities transactions on a delayed delivery or when issued basis. Payment and delivery may take place after the customary

settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Funds’ Schedules of Portfolio Investments. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.

2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES

For each of the Funds, the Trusts have entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisors for the Funds (subject to Board approval) and monitors each subadvisor’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by GW&K Investment Management, LLC, (GW&K) who serves pursuant to a subadvisory agreement with the Investment Manager. AMG indirectly owns a majority interest in GW&K.

45

Notes to Financial Statements (continued)

Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the six months ended June 30, 2015, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:

Enhanced Core Bond	0.45	%
Municipal Bond	0.35	%
Municipal Enhanced	0.50	%
Small Cap Core	0.75	%

The Investment Manager has contractually agreed, through at least May 1, 2016, to waive management fees (but not below zero) and/or reimburse Fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) of Enhanced Core Bond, Municipal Bond, Municipal Enhanced and Small Cap Core to 0.59%, 0.34%, 0.64% and 0.95%, respectively, of each Fund’s average daily net assets subject to later reimbursement by the Funds in certain circumstances. The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.

Each Fund is obligated to repay the Investment Manager such amounts waived, paid, or reimbursed in future years provided that the repayment occurs within thirty-six (36) months after the waiver or reimbursement and that such repayment would not cause the Fund’s total annual operating expenses after fee waiver and expense reimbursements in any such future year to exceed that Fund’s contractual expense limitation amount. For the six months ended June 30, 2015, each Fund’s components of reimbursement available consisted of:

	Enhanced Core Bond			Municipal Bond
Reimbursement Available - 12/31/14	$	798,879		$	2,659,807
Additional Reimbursements		96,170			910,812
Expired Reimbursements		(139,260	)		(198,800	)
Reimbursement Available - 06/30/15	$	755,789		$	3,371,819
	Municipal Enhanced			Small Cap Core
Reimbursement Available - 12/31/14	$	752,877		$	806,358
Additional Reimbursements		94,273			183,706
Expired Reimbursements		(152,195	)		(91,623	)
Reimbursement Available - 06/30/15	$	694,955		$	898,441

The expiration of the Fund’s reimbursement is as follows:

	Enhanced Core Bond		Municipal Bond
Less than 1 year*	$	279,564	$	646,903
Within 2 years		256,834		1,041,372
Within 3 years		219,391		1,683,544
Total amount subject to reimbursement	$	755,789	$	3,371,819
Expiry Date	Municipal Enhanced		Small Cap Core
Less than 1 year*	$	257,477	$	166,446
Within 2 years		205,539		320,161
Within 3 years		231,939		411,834
Total amount subject to reimbursement	$	694,955	$	898,441

* A portion of this represents the expiration amount through the year ended December 31, 2015 of $140,408, $296,419, $149,331 and $83,507 for Enhanced Core Bond, Municipal Bond, Municipal Enhanced and Small Cap Core, respectively.

Each Fund has entered into an Administration and Shareholder Servicing Agreement under which the Investment Manager serves as the Funds’ administrator (the “Administrator”) and is responsible for all aspects of managing the Funds’ operations, including administration and shareholder services to each Fund, its shareholders, and certain institutions, such as bank trust departments, broker-dealers and registered investment advisers, that advise or act as intermediary with the Funds’ shareholders. The Funds pay a fee to the Administrator at the rate of 0.25% per annum of each Fund’s average daily net assets for this service. The Administrator for Municipal Enhanced is voluntarily waiving a portion of its administration fee on 90% of the Fund’s net assets. The waiver, which may be modified or terminated at any time, amounts to 0.10% on the first $250 million of the Fund’s net assets and 0.15% on the remaining net assets. For the six months ended June 30, 2015, the amount waived was $110,888 or 0.09%.

Effective January 1, 2015, the Board provides supervision of the affairs of the Trust, other trusts within the AMG Funds family of mutual funds (collectively the “AMG Funds family”) and other affiliated funds. Previously, the Board provided supervision to only the Trust and other trusts within the AMG Funds family.

Beginning January 1, 2015, the aggregate annual retainer paid to each Independent Trustee of the Board is $200,000, plus $16,000, $4,000 or $2,000 for each regular, in-person special or telephonic special meeting attended, respectively. The Independent Chairman of the Trusts receives an additional payment of $55,000 per year. The Chairman of the Audit Committee receives an additional payment of $25,000 per year.

Prior to January 1, 2015, the aggregate annual retainer paid to each Independent Trustee of the Board was $130,000, plus $7,000 or $2,500 for each regular or special meeting attended, respectively. The Independent Chairman of the Trusts formerly received an additional payment of $35,000 per year. The Chairman of the Audit Committee formerly received an additional payment of $15,000 per year.

46

Notes to Financial Statements (continued)

Effective January 1, 2015, the Trustees’ fees and expenses are generally allocated among all of the Funds in the Trust, other trusts within the AMG Funds family and other affiliated funds based on the relative net assets of such funds. Before January 1, 2015, the Trustees’ fees and expenses were generally allocated among all of the funds in the Trust and other trusts within the AMG Funds family. The “Trustees fees and expenses” shown in the financial statements represents each Fund’s allocated portion of the total fees and expenses paid to the Independent Trustees of the Board.

The Funds are distributed by AMG Distributors, Inc. (the “Distributor”), a wholly owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of each Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Subject to the compensation arrangement discussed below, generally the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.

The Trusts have adopted a distribution and service plan (the “Plan”) with respect to the Investor Class shares of each Fund and Class C shares of Enhanced Core Bond, in accordance with the requirements of Rule 12b-1 under the 1940 Act and the requirements of the applicable rules of FINRA regarding asset-based sales charges. Pursuant to the Plan, each Fund may make payments to the Distributor for its expenditures in financing any activity primarily intended to result in the sale of each such class of the Fund’s shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorizes payments to the Distributors of up to 0.25% and 1.00% annually of each Fund’s average daily net assets attributable to the Investor Class and Class C shares, respectively.

For Enhanced Core Bond’s Service Class and for each of the Investor and Service Classes of Municipal Bond, Municipal Enhanced and Small Cap Core, the Board has approved reimbursement payments to the Investment Manager for shareholder servicing expenses (“shareholder servicing fees”) incurred. Shareholder servicing fees include payments to third parties such as a bank, broker-dealer, trust company or other financial intermediaries who provide shareholder recordkeeping, account servicing and other services. The Investor and Service Class shares may reimburse the Investment Manager for the actual amount incurred up to a maximum annual rate of each Class’s average daily net assets as shown in the table below.

The impact on the annualized expense ratios for the six months ended June 30, 2015, were as follows:

Fund	Maximum Amount Allowed			Actual Amount Incurred
Enhanced Core Bond
Service Class		0.10	%		0.05	%
Municipal Bond
Investor Class		0.25	%		0.22	%
Service Class		0.25	%		0.17	%
Municipal Enhanced
Investor Class		0.25	%		0.13	%
Service Class		0.25	%		0.08	%
Small Cap Core
Investor Class		0.25	%		0.18	%
Service Class		0.25	%		0.14	%

The Securities and Exchange Commission granted an exemptive order that permits the Funds to lend and borrow money for certain temporary purposes directly to and from other eligible Funds in the AMG Funds family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating Fund. The Investment Manager administers the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating Funds. For the six months ended June 30, 2015, the following Funds either borrowed from or lent to other Funds in the AMG Funds family: Enhanced Core Bond lent $1,034,348, for three days earning interest of $55 and Small Cap Core lent varying amounts not exceeding $1,932,962, for five days earning interest in the amount of $92. The interest amount is included in the Statement of Operations as interest income. Municipal Enhanced borrowed varying amounts not exceeding $4,600,549 for five days paying interest of $173. The interest amount is included in the Statement of Operations as miscellaneous expense. For the six months ended June 30, 2015, Municipal Bond neither borrowed from nor lent to other Funds in the AMG Funds family. At June 30, 2015, the Funds had no interfund loans outstanding.

47

Notes to Financial Statements (continued)

3. PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities (excluding short-term securities and U.S. Government obligations) for the six months ended June 30, 2015, were as follows:

	Long-Term Securities excluding (U.S. Government Obligations)
Fund	Purchases		Sales
Enhanced Core Bond	$	13,581,791	$	10,276,252
Municipal Bond		351,417,348		169,062,505
Municipal Enhanced		131,030,177		158,344,543
Small Cap Core		34,003,894		33,754,487
	U.S. Government Obligations
Fund	Purchases		Sales
Enhanced Core Bond	$	6,546,503	$	3,197,927

4. PORTFOLIO SECURITIES LOANED

The Funds participate in a securities lending program offered by BNYM (the “Program”), providing for the lending of securities to qualified brokers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral received on all securities loaned is accepted in cash and is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Funds’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in a separate account managed by BNYM, who is authorized to exclusively enter into overnight government repurchase agreements. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested.

At June 30, 2015, the value of securities loaned and cash collateral received, were as follows:

Fund	Securities Loaned		Cash Collateral Received
Enhanced Core Bond	$	993,656	$	1,024,926
Small Cap Core		13,100,414		13,393,358

5. COMMITMENTS AND CONTINGENCIES

Under each Trusts’ organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trusts. In addition, in the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the Funds under these arrangements is unknown, as this would involve future claims that may be made against a Fund that have not yet occurred. However, based on experience, the Funds had no prior claims or losses and expect the risks of loss to be remote.

6. MASTER NETTING AGREEMENTS

The Funds may enter into master netting agreements with their counterparties for the securities lending program and repurchase agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For security lending transactions, see Note 4.

48

Notes to Financial Statements (continued)

The following table is a summary of the Funds’ open repurchase agreements which are subject to a master netting agreement as of June 30, 2015:

			Gross Amount Not Offset in the Statement of Assets and Liabilities
	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
Enhanced Core Bond
Cantor Fitzgerald Securities, Inc.	$	1,000,000	$	1,000,000		—		—
Nomura Securities International, Inc.		24,926		24,926		—		—
Total	$	1,024,926	$	1,024,926		—		—
Small Cap Core
Cantor Fitzgerald Securities, Inc.	$	3,180,933	$	3,180,933		—		—
Daiwa Capital Markets America		3,180,933		3,180,933		—		—
Nomura Securities International, Inc.		3,180,933		3,180,933		—		—
RBC Capital Markets, LLC.		2,346,028		2,346,028		—		—
State of Wisconsin Investment Board		1,504,531		1,504,531		—		—
Total	$	13,393,358	$	13,393,358		—		—

7. SUBSEQUENT EVENTS

Each Fund has determined that no material events or transactions occurred through the issuance date of the Funds’ financial statements which require additional disclosure in or adjustment of the Funds’ financial statements.

49

Annual Renewal of Investment Management and Subadvisory Agreements (unaudited)

AMG GW&K Small Cap Core Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund: Approval of Investment Management and Subadvisory Agreements on June 24-25, 2015   At an in-person meeting held on June 24-25, 2015, the Board of Trustees (the “Board” or the “Trustees”) of each of AMG Funds and AMG Funds II (each, a “Trust” and collectively, the “Trusts”), and separately a majority of the Trustees who are not “interested persons” of the Trusts (the “Independent Trustees”), approved each Investment Management Agreement and separately an amendment to each Investment Management Agreement, in each case with AMG Funds, LLC (the “Investment Manager”) (collectively the “Investment Management Agreements”) for each of AMG GW&K Small Cap Core Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund (each a “Fund”) and the Subadvisory Agreements with respect to each Fund. The Independent Trustees were separately represented by independent legal counsel in connection with their consideration of the approval of these agreements. In considering the Investment Management and Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and the Subadvisor, including comparative performance, fee and expense information for an appropriate peer group of similar mutual funds for each Fund (each a “Peer Group”), performance information for the relevant benchmark index for each Fund (each a “Fund Benchmark”) and, with respect to the Subadvisor, comparative performance information for an appropriate peer group of managed accounts, and, as to all other matters, other information provided to them on a periodic basis throughout the year, as well as information provided in connection with the meetings of June 24-25, 2015, regarding the nature, extent and quality of services provided by the Investment Manager and the Subadvisor under their respective agreements. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with their independent legal counsel and with management; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Investment Management and Subadvisory Agreements; and (c) met with their independent legal counsel in private sessions at which no representatives of management were present.   NATURE, EXTENT AND QUALITY OF SERVICES.   In considering the nature, extent and quality of the services provided by the Investment Manager, the Trustees reviewed information relating to the Investment Manager’s operations and personnel. Among other things, the Investment Manager provided financial information, biographical information on its supervisory and professional staff and descriptions of its organizational and management structure. The Trustees also took into account information provided periodically throughout the previous year by the Investment Manager in Board meetings relating to the performance of its duties with respect to the Funds and the Trustees’ knowledge of the Investment Manager’s management and the quality of the performance of the Investment Manager’s duties. In the course of their deliberations regarding the Investment Management Agreements, the Trustees evaluated, among other things: (a) the extent and quality of the Investment Manager’s oversight of the operation and management of the Funds; (b) the quality of the Investment Manager’s oversight of the performance by the Subadvisor of its portfolio management duties; (c) the Investment Manager’s ability to supervise the Funds’ other service providers; and (d) the Investment Manager’s compliance program. The Trustees also took into account that, in performing its functions under the Investment Management Agreements and supervising the Subadvisor, the Investment Manager: performs periodic detailed analysis and reviews of the performance by the Subadvisor of its obligations to each Fund, including without limitation, analysis and review of portfolio and other compliance matters and review of the Subadvisor’s investment performance in respect of   each Fund; prepares and presents periodic reports to the Board regarding the investment performance of the Subadvisor and other information regarding the Subadvisor, at such times and in such forms as the Board may reasonably request; reviews and considers any changes in the personnel of the Subadvisor responsible for performing the Subadvisor’s obligations and makes appropriate reports to the Board; reviews and considers any changes in the ownership or senior management of the Subadvisor and makes appropriate reports to the Board; performs periodic in-person or telephonic diligence meetings, including with respect to compliance matters, with representatives of the Subadvisor; assists the Board and management of the Trusts in developing and reviewing information with respect to the initial approval of each Subadvisory Agreement and annual consideration of each Subadvisory Agreement thereafter; prepares recommendations with respect to the continued retention of the Subadvisor or the replacement of the Subadvisor, including at the request of the Board; identifies potential successors to or replacements of the Subadvisor or potential additional subadvisors, performs appropriate due diligence, and develops and presents to the Board a recommendation as to any such successor, replacement, or additional subadvisor, including at the request of the Board; designates and compensates from its own resources such personnel as the Investment Manager may consider necessary or appropriate to the performance of its services; and performs such other review and reporting functions as the Board shall reasonably request consistent with the Investment Management Agreements and applicable law. The Trustees noted the affiliation of the Subadvisor with the Investment Manager, noting any potential conflicts of interest. The Trustees also took into account the financial condition of the Investment Manager with respect to its ability to provide the services required under the Investment Management Agreements and the Investment Manager’s undertaking to maintain contractual expense limitations for the Funds. The Trustees also considered the Investment Manager’s risk management processes.

50

Annual Renewal of Investment Management and Subadvisory Agreements (continued)

The Trustees also reviewed information relating to the Subadvisor’s financial condition, operations and personnel and the investment philosophy, strategies and techniques (its “Investment Strategy”) used in managing each Fund. Among other things, the Trustees reviewed biographical information on portfolio management and other professional staff, information regarding the Subadvisor’s organizational and management structure and the Subadvisor’s brokerage policies and practices. The Trustees considered specific information provided regarding the experience of the individuals at the Subadvisor with portfolio management responsibility for the Funds, including the information set forth in each Fund’s prospectus and statement of additional information. In the course of their deliberations, the Trustees evaluated, among other things: (a) the services rendered by the Subadvisor in the past; (b) the qualifications and experience of the Subadvisor’s personnel; and (c) the Subadvisor’s compliance program. The Trustees also took into account the financial condition of the Subadvisor with respect to its ability to provide the services required under each Subadvisory Agreement. The Trustees also considered the Subadvisor’s risk management processes.   PERFORMANCE.   As noted above, the Board considered each Fund’s net performance during relevant time periods as compared to the Fund’s Peer Group and Fund Benchmark and considered the Subadvisor’s performance as compared to an appropriate peer group of managed accounts and also considered the gross performance of the Fund as compared to the Subadvisor’s relevant performance composite that utilizes the same investment strategy and approach and noted that the Board reviews on a quarterly basis detailed information about each Fund’s performance results and portfolio composition, as well as the Subadvisor’s Investment Strategy. The Board noted the Investment Manager’s expertise and resources in monitoring the performance, investment style and risk-adjusted performance of the Subadvisor. The Board was mindful of the Investment Manager’s attention to monitoring the Subadvisor’s   performance with respect to the Funds and its discussions with management regarding the factors that contributed to the performance of the Funds.   With respect to AMG GW&K Small Cap Core Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Investor Class shares (which share class has the earliest inception date of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2015 was below, above, above and below, respectively, the median performance of the Peer Group and below, below, above and below, respectively, the performance of the Fund Benchmark, the Russell 2000^® Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s recent underperformance. The Trustees concluded that the Fund’s overall performance has been satisfactory in light of all factors considered.   With respect to AMG GW&K Municipal Enhanced Yield Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Institutional Class shares (which share class has the earliest inception date and the largest assets of all the share classes of the Fund) for the 1-year, 3-year and 5-year periods ended March 31, 2015 and for the period from the Institutional Class shares’ inception on December 30, 2005 through March 31, 2015 was above the median performance of the Peer Group and above the performance of the Fund Benchmark, the Barclays U.S. Municipal Bond BAA Index. The Trustees noted that the Fund ranked in the top quintile relative to the Peer Group for the 1-year period. The Trustees also noted the Fund’s strong intermediate-term and longer-term performance compared to the Fund Benchmark. The Trustees concluded that the Fund’s performance has been satisfactory.   With respect to AMG GW&K Municipal Bond Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Institutional Class shares (which share class has the largest assets of all the share classes of the Fund) for the 1-year, 3-year and 5-year periods ended March 31, 2015 and for the period from the Fund’s inception on June 30, 2009 through March 31, 2015 was above the median performance of the Peer Group and below, below, above and at, respectively, the performance of the Fund Benchmark, the Barclays 10-Year Municipal Bond Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s recent underperformance relative to the Fund Benchmark. The Trustees also noted that the Fund outperformed its Peer Group for all relevant time periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.   With respect to AMG GW&K Enhanced Core Bond Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Institutional Class shares (which share class has the largest assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2015 was below, above, above and above, respectively, the median performance of the Peer Group and below, above, above and above, respectively, the performance of the Fund Benchmark, the Barclays U.S. Aggregate Bond Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s recent underperformance. The Trustees also noted that the Fund’s 3-year, 5-year and 10-year performance includes the performance of the Fund’s prior subadvisor. The Trustees concluded that the Fund’s performance has been satisfactory in light of all factors considered.   ADVISORY FEES AND PROFITABILITY.   In considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees reviewed information provided by the Investment Manager setting forth all revenues and other benefits, both direct and indirect (including any so-called “fallout benefits” such as

51

Annual Renewal of Investment Management and Subadvisory Agreements (continued)

reputational value derived from the Investment Manager serving as Investment Manager to a Fund), received by the Investment Manager and its affiliates attributable to managing each Fund and all the mutual funds in the AMG Funds Family of Funds, the cost of providing such services and the resulting profitability to the Investment Manager and its affiliates from these relationships. The Trustees noted that the Investment Manager and the Subadvisor are affiliated and that, in the case of AMG GW&K Small Cap Core Fund and AMG GW&K Municipal Enhanced Yield Fund, the Investment Manager pays the Subadvisor a subadvisory fee that is equal to the advisory fee that it receives from the Fund. In the case of AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund, the Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to the Fund. The Trustees also noted any payments that were made from the Subadvisor to the Investment Manager. The Trustees also noted management’s discussion of the current asset levels of the Funds, and considered the impact on profitability of the current asset levels and any future growth of assets of the Funds.   In considering the cost of services to be provided by the Investment Manager under each Investment Management Agreement and the profitability to the Investment Manager of its relationship with the Funds, the Trustees noted the undertaking by the Investment Manager to maintain contractual expense limitations for the Funds. The Board also took into account management’s discussion of the current advisory fee structure, and, as noted above, the services the Investment Manager provides in performing its functions under each Investment Management Agreement and supervising the Subadvisor. Based on the foregoing, the Trustees concluded that the profitability to the Investment Manager is reasonable and that the Investment Manager is not realizing material benefits from economies of scale that would warrant adjustments to the advisory fee at this time. Also with respect to economies of scale, the Trustees noted that as a Fund’s assets increase over time, the Fund may realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.   In considering the reasonableness of the subadvisory fees payable by the Investment Manager to the Subadvisor, the Trustees reviewed information regarding the cost of providing subadvisory services to each of the Funds and the resulting profitability to the Subadvisor from these relationships and noted that, because the Subadvisor is an affiliate of the Investment Manager, a portion of such profitability or the Subadvisor’s revenues might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. The Board also took into account management’s discussion of the current subadvisory fee structure, and the services the Subadvisor provides in performing its functions under each Subadvisory Agreement. Based on the foregoing, the Trustees concluded that the profitability to the Subadvisor is reasonable and that the Subadvisor is not realizing material benefits from economies of scale that would warrant adjustments to the subadvisory fees at this time. Also with respect to economies of scale, the Trustees noted that as a Fund’s assets increase over time, the Fund may realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.   With respect to AMG GW&K Small Cap Core Fund, the Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2015 were higher and lower, respectively, than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2016, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.95%. The Trustees also took into account management’s discussion of the   Fund’s expenses and competitiveness with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.   With respect to AMG GW&K Municipal Enhanced Yield Fund, the Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2015 were higher and lower, respectively, than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2016, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.64%. The Board also took into account management’s discussion of the Fund’s expenses. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.   With respect to AMG GW&K Municipal Bond Fund, the Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2015 were higher and lower, respectively, than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through at least May 1, 2016, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.34%. The Board also took into account management’s discussion of the Fund’s expenses and competitiveness with

52

Annual Renewal of Investment Management and Subadvisory Agreements (continued)

comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.   With respect to AMG GW&K Enhanced Core Bond Fund, the Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2015 were both higher than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2016, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.59%. The Trustees also took into account management’s   discussion of the Fund’s expenses and competitiveness with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.   *        *        *         *   After consideration of the foregoing, the Trustees also reached the following conclusions (in addition to the conclusions discussed above) regarding the Investment Management and Subadvisory Agreements: (a) the Investment Manager has demonstrated that it possesses the resources and capability to perform its duties under each Investment Management Agreement; (b) the Subadvisor has the resources to perform its duties under each Subadvisory Agreement and is qualified to manage each Fund’s assets in accordance with its investment objectives and policies; and (c) the Investment Manager and Subadvisor maintain appropriate compliance programs.   Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of each Investment Management Agreement and each Subadvisory Agreement would be in the best interests of the applicable Fund and its shareholders. Accordingly, on June 24-25, 2015, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management Agreement and the Subadvisory Agreement for each Fund.

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INVESTMENT MANAGER AND ADMINISTRATOR   AMG Funds LLC 800 Connecticut Avenue Norwalk, CT 06854 (800) 835-3879   DISTRIBUTOR   AMG Distributors, Inc. 800 Connecticut Avenue Norwalk, CT 06854 (800) 835-3879   SUBADVISOR   GW&K Investment Management, LLC 222 Berkeley St. Boston, MA 02116   CUSTODIAN   The Bank of New York Mellon 2 Hanson Place Brooklyn, NY 11217   LEGAL COUNSEL   Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, MA 02199-3600 TRANSFER AGENT   BNY Mellon Investment Servicing (US) Inc. Attn: AMG Funds P.O. Box 9769 Providence, RI 02940 (800) 548-4539   FOR MANAGERSCHOICE^™ ONLY   AMG Funds c/o BNY Mellon Investment Servicing (US) Inc. P.O. Box 9847 Providence, Rhode Island 02940-8047 (800) 358-7668   TRUSTEES   Bruce B. Bingham Christine C. Carsman William E. Chapman, II Edward J. Kaier Kurt A. Keilhacker Steven J. Paggioli Richard F. Powers, III Eric Rakowski Victoria L. Sassine Thomas R. Schneeweis This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.835.3879. Distributed by AMG Distributors, Inc., member FINRA/SIPC.   Current net asset values per share for each Fund are available on the Funds’ website at www.amgfunds.com.   A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.835.3879, or (ii) on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. For information regarding each Fund’s proxy voting record for the 12-month period ended June 30, call 800.835.3879 or visit the SEC website at www.sec.gov.   Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. A Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To review a complete list of the Funds’ portfolio holdings, or to view the most recent quarterly holdings report, semiannual report, or annual report, please visit www.amgfunds.com.  

www.amgfunds.com

AFFILIATE SUBADVISED FUNDS

BALANCED FUNDS   AMG Chicago Equity Partners Balanced Chicago Equity Partners, LLC   AMG FQ Global Risk-Balanced First Quadrant, L.P.   EQUITY FUNDS   AMG Chicago Equity Partners Small Cap Value Chicago Equity Partners, LLC   AMG FQ Tax-Managed U.S. Equity AMG FQ U.S. Equity First Quadrant, L.P.   AMG Frontier Small Cap Growth Frontier Capital Management Company, LLC   AMG GW&K Small Cap Core AMG GW&K Small Cap Growth GW&K Investment Management, LLC   AMG Renaissance International Equity AMG Renaissance Large Cap Growth The Renaissance Group LLC   AMG SouthernSun Small Cap AMG SouthernSun U.S. Equity SouthernSun Asset Management, LLC   AMG Systematic Large Cap Value AMG Systematic Mid Cap Value Systematic Financial Management, L.P.   AMG TimesSquare All Cap Growth AMG TimesSquare International Small Cap AMG TimesSquare Mid Cap Growth AMG TimesSquare Small Cap Growth TimesSquare Capital Management, LLC AMG Trilogy Emerging Markets Equity AMG Trilogy Emerging Wealth Equity AMG Trilogy Global Equity AMG Trilogy International Small Cap Trilogy Global Advisors, L.P.   AMG Yacktman Focused AMG Yacktman AMG Yacktman Special Opportunities Yacktman Asset Management LP   FIXED INCOME FUNDS   AMG GW&K Enhanced Core Bond AMG GW&K Core Bond (formerly AMG Managers Total Return Bond) AMG GW&K Municipal Bond AMG GW&K Municipal Enhanced Yield GW&K Investment Management, LLC

OPEN-ARCHITECTURE FUNDS

EQUITY FUNDS   AMG Managers Brandywine Advisors Mid Cap Growth AMG Managers Brandywine Blue AMG Managers Brandywine Friess Associates, LLC   AMG Managers Cadence Capital Appreciation AMG Managers Cadence Emerging Companies AMG Managers Cadence Mid Cap Cadence Capital Management, LLC   AMG Managers Emerging Opportunities Lord, Abbett & Co. LLC WEDGE Capital Management L.L.P. Next Century Growth Investors LLC RBC Global Asset Management (U.S.) Inc.   AMG Managers Essex Small/Micro Cap Growth Essex Investment Management Co., LLC   AMG Managers Real Estate Securities CenterSquare Investment Management, Inc.   AMG Managers Skyline Special Equities Skyline Asset Management, L.P.   AMG Managers Special Equity Ranger Investment Management, L.P. Lord, Abbett & Co. LLC Smith Asset Management Group, L.P. Federated MDTA LLC FIXED INCOME FUNDS   AMG Managers Bond AMG Managers Global Income Opportunity Loomis, Sayles & Co., L.P.   AMG Managers High Yield J.P. Morgan Investment Management Inc.   AMG Managers Intermediate Duration Government AMG Managers Short Duration Government Amundi Smith Breeden LLC

                         www.amgfunds.com  

Item 2. CODE OF ETHICS

Not applicable for the semi-annual shareholder report.

Item 3. AUDIT COMMITTEE FINANCIAL EXPERT

Not applicable for the semi-annual shareholder report.

Item 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

Not applicable for the semi-annual shareholder report.

Item 5. AUDIT COMMITTEE OF LISTED REGISTRANTS

Not applicable.

Item 6. SCHEDULE OF INVESTMENTS

The schedule of investments in unaffiliated issuers as of the close of the reporting period is included as part of the shareholder report contained in Item 1 hereof.

Item 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

Item 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable.

Item 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS

Not applicable.

Item 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

Not applicable.

Item 11. CONTROLS AND PROCEDURES

(a) The registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) There were no changes in the registrant’s internal control over financial reporting during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting.

Item 12. EXHIBITS

(a)(1)	Not applicable.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 - Filed herewith.
(a)(3)	Not applicable.
(b)	Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 - 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.

AMG FUNDS II
By:	/s/ Jeffrey T. Cerutti
	Jeffrey T. Cerutti, Principal Executive Officer
Date:	September 2, 2015

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 2, 2015
By:	/s/ Donald S. Rumery
	Donald S. Rumery, Principal Financial Officer
Date:	September 2, 2015