AMG Funds II NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

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)

600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830

(Address of principal executive offices) (Zip code)

AMG Funds LLC

600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830

(Name and address of agent for service)

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

Date of fiscal year end: DECEMBER 31

Date of reporting period: JANUARY 1, 2015 – DECEMBER 31, 2015

(Annual Shareholder Report)

Item 1. Reports to Shareholders


				ANNUAL REPORT

AMG Funds

December 31, 2015

LOGO

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

AMG GW&K Small Cap Growth Fund

Institutional Class: GWGIX


www.amgfunds.com \|		AR020-1215

AMG Funds

Annual Report—December 31, 2015


TABLE OF CONTENTS	PAGE
LETTER TO SHAREHOLDERS		2

ABOUT YOUR FUND’S EXPENSES		3

PORTFOLIO MANAGER’S COMMENTS, FUND SNAPSHOTS, AND SCHEDULES OF PORTFOLIO INVESTMENTS
AMG GW&K Enhanced Core Bond Fund		5
AMG GW&K Municipal Bond Fund		11
AMG GW&K Municipal Enhanced Yield Fund		20
AMG GW&K Small Cap Core Fund		27
AMG GW&K Small Cap Growth Fund		33

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS		39

FINANCIAL STATEMENTS

Statement of Assets and Liabilities		42
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts

Statement of Operations		44
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the year

Statements of Changes in Net Assets		45
Detail of changes in assets for the past two years

Financial Highlights		47
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets

Notes to Financial Highlights		56

Notes to Financial Statements		57
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM		66

TRUSTEES AND OFFICERS		67

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.


				Letter to Shareholders

DEAR SHAREHOLDER:

Overall, U.S. equity investors achieved modest positive returns for the year ended December 31, 2015, although the second half of the year was characterized by a notable increase in volatility. The S&P 500 Index, a widely followed barometer of the U.S. equity market, returned 1.4% during the past twelve months. However, the U.S. equity market did experience its first correction in four years in August, losing just over 10% of its value in a little more than a week. Fortunately, those losses were almost entirely recovered by the end of the period. Investors had to process the first rate increase from the U.S. Federal Reserve +0.25% in nearly six years, a continued slowing of growth in China and the implications for global economic growth and the impact of commodity prices falling to lows not seen since 2009. During the year, there was significant dispersion in performance across sectors, with consumer discretionary and health care stocks returning 6% while companies within the energy sector fell (23)%. Meanwhile, international stocks fell during the prior year, returning (5.7)%, as measured by the MSCI ACWI ex USA (in U.S. Dollar terms). International investment returns in U.S. Dollar terms were negatively impacted by continued strengthening in the U.S. Dollar.

The Barclays U.S. Aggregate Index, a broad U.S. bond market benchmark, returned 0.6% for the year ended December 31, 2015. Interest rates rose modestly during 2015, providing some pressure on bond prices. Investors’ appetite for risk declined during the second half of 2015, reflected in the (4.5)% decline in the Barclays U.S. Corporate High Yield Index.

Our foremost goal at AMG Funds is to provide investment solutions that help our shareholders successfully reach their long-term investment goals. By partnering with AMG’s affiliated investment boutiques, AMG Funds provides access to a distinctive array of actively-managed, return-oriented investment strategies. Additionally, we oversee and distribute a number of complementary open-architecture mutual funds subadvised by unaffiliated investment managers. We thank you for your continued confidence and investment in AMG Funds. You can rest assured that under all market conditions our team is focused on delivering excellent investment management services for your benefit.

Respectfully,

LOGO

Jeffery Cerutti

President

AMG Funds


Average Annual Total Returns		Periods ended December 31, 2015
		1 Year			3 Years			5 Years
Stocks:
Large Caps	(S&P 500 Index)		1.38	%		15.13	%		12.57	%
Small Caps	(Russell 2000^® Index)		(4.41	)%		11.65	%		9.19	%
International	(MSCI All Country World Index ex US Index)		(5.66	)%		1.50	%		1.06	%
Bonds:
Investment Grade	(Barclays U.S. Aggregate Bond Index)		0.55	%		1.44	%		3.25	%
High Yield	(Barclays U.S. Corporate High Yield Bond Index)		(4.47	)%		1.69	%		5.04	%
Tax-exempt	(Barclays Municipal Bond Index)		3.30	%		3.16	%		5.35	%
Treasury Bills	(BofA Merrill Lynch 6-month U.S. Treasury Bill Index)		0.22	%		0.17	%		0.19	%

About Your Fund’s Expenses

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 December 31, 2015	Expense Ratio for the Period			Beginning Account Value 07/01/15		Ending Account Value 12/31/15		Expenses Paid During the Period*
AMG GW&K Enhanced Core Bond Fund
Investor Class
Based on Actual Fund Return		0.84	%	$	1,000	$	972	$	4.17
Hypothetical (5% return before expenses)		0.84	%	$	1,000	$	1,021	$	4.28
Service Class
Based on Actual Fund Return		0.69	%	$	1,000	$	972	$	3.43
Hypothetical (5% return before expenses)		0.69	%	$	1,000	$	1,022	$	3.52
Class C
Based on Actual Fund Return		1.59	%	$	1,000	$	968	$	7.89
Hypothetical (5% return before expenses)		1.59	%	$	1,000	$	1,017	$	8.08
Institutional Class
Based on Actual Fund Return		0.59	%	$	1,000	$	973	$	2.93
Hypothetical (5% return before expenses)		0.59	%	$	1,000	$	1,022	$	3.01
AMG GW&K Municipal Bond Fund
Investor Class
Based on Actual Fund Return		0.83	%	$	1,000	$	1,034	$	4.26
Hypothetical (5% return before expenses)		0.83	%	$	1,000	$	1,021	$	4.23
Service Class
Based on Actual Fund Return		0.51	%	$	1,000	$	1,037	$	2.62
Hypothetical (5% return before expenses)		0.51	%	$	1,000	$	1,023	$	2.60
Institutional Class
Based on Actual Fund Return		0.34	%	$	1,000	$	1,038	$	1.75
Hypothetical (5% return before expenses)		0.34	%	$	1,000	$	1,024	$	1.73
AMG GW&K Municipal Enhanced Yield Fund
Investor Class
Based on Actual Fund Return		1.14	%	$	1,000	$	1,044	$	5.87
Hypothetical (5% return before expenses)		1.14	%	$	1,000	$	1,019	$	5.80
Service Class
Based on Actual Fund Return		0.70	%	$	1,000	$	1,046	$	3.61
Hypothetical (5% return before expenses)		0.70	%	$	1,000	$	1,022	$	3.57
Institutional Class
Based on Actual Fund Return		0.64	%	$	1,000	$	1,046	$	3.30
Hypothetical (5% return before expenses)		0.64	%	$	1,000	$	1,022	$	3.26
AMG GW&K Small Cap Core Fund
Investor Class
Based on Actual Fund Return		1.33	%	$	1,000	$	936	$	6.49
Hypothetical (5% return before expenses)		1.33	%	$	1,000	$	1,019	$	6.77
Service Class
Based on Actual Fund Return		1.05	%	$	1,000	$	937	$	5.13
Hypothetical (5% return before expenses)		1.05	%	$	1,000	$	1,020	$	5.35
Institutional Class
Based on Actual Fund Return		0.95	%	$	1,000	$	938	$	4.64
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.84

About Your Fund’s Expenses


Six Months Ended December 31, 2015	Expense Ratio for the Period			Beginning Account Value 07/01/15		Ending Account Value 12/31/15		Expenses Paid During the Period*
AMG GW&K Small Cap Growth Fund
Institutional Class
Based on Actual Fund Return		0.95	%	$	1,000	$	894	$	4.54
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.84

*	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 (184), then divided by 365.

AMG GW&K Enhanced Core Bond Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

AMG GW&K Enhanced Core Bond Fund (Investor Class) (the “Fund”) returned (3.41%) for the year ended December 31, 2015, compared to the return of 0.55% for the Barclays U.S. Aggregate Bond Index.

The end of the year was challenged by the same general themes that plagued the taxable bond market throughout 2015. Investors grappled with a combination of an imminent U.S. Federal Reserve (the “Fed”) lift-off, an uncertain global growth outlook as China’s economy continued to slow, a stronger U.S. Dollar, plummeting oil prices and an unyielding commodity related sell-off. After months of back and forth, the Federal Open Market Committee finally raised rates for the first tightening of monetary policy in nearly a decade, mollifying one source of angst for investors. The market greeted the hike as affirming a benign economic outlook for the U.S. economy. But for the year, the Fed’s actions took a back seat to the commodity price decline and credit-related issues. This divide can be seen by the breakeven performance in the Barclays U.S. Aggregate Index versus a -4.5% loss in the U.S. high-yield market in the last several months of the year. The market ended the year with very little movement in the intermediate part of the curve, and slightly higher rates on the short end relative to the long end. This flattening of the yield curve left the 2/30yr Treasury spread close to its lowest level in 12 months.

Heading into 2016, many of the challenges that weighed on the market last year remain. The theme of relative domestic strength and global weakness should remain prevalent throughout the first half of the year. U.S. monetary policy divergence with the rest of the world is likely to be an important influence on both the bond market and the economy. Fed activity may produce an elevated level of volatility, but we do not expect interest rates to increase meaningfully. A low inflationary environment, moderate economic growth and a cautious approach from the Fed should all contribute to keeping rates in the intermediate and long end of the curve fairly

subdued. We maintain a relatively neutral duration and continue to prefer the intermediate part of the curve given the attractive carry and roll for the interest-rate risk assumed.

Despite a healthy economy, the fundamental and technical backdrop for corporate credit is challenging. Investors are particularly concerned about low market liquidity and redemption risk. Furthermore, the fortunes for large portions of the corporate bond market remain hostage to the bursting of the commodity cycle and slowing global growth. Defaults in the high-yield segment are expected to rise from 2.8% this year to 3.8% next year, driven by the energy sector, which could see its default rate approach 10%.

As we enter 2016, the big question on investors’ minds is whether there will be a broader contagion from the commodity rout. While developments in the credit markets bear close monitoring, we do not see a case for a more far-reaching credit crunch. The primary market remains open to most issuers and banks are sanguine about credit quality. However, given these challenges, we believe managing the risks and rebalancing portfolios accordingly will be the key for successful investing in the New Year. Along these lines, we continued to reduce our exposure to commodity prices and global growth within the Fund. The proceeds were invested into higher-quality mortgage-backed securities, taxable municipals and defensive investment-grade credits. We remain overweight investment grade corporates, which should outperform Treasuries in a moderate growth climate. The risk/return for this segment improved markedly throughout the course of the year as spreads widened amid record new issuance. We are slightly underweight the high-yield market. While we see attractive valuation in some sectors, weak technicals and challenging fundamentals will continue to weigh on the market. The outlook for the mortgage sector remains favorable due to solid technicals. We remain biased toward higher premium mortgage-backed securities because they should provide solid excess returns in a part of the curve that is susceptible to higher rates next year.

This commentary reflects the viewpoints of the portfolio manager, GW&K Investment Management, LLC as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

AMG GW&K Enhanced Core Bond Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Enhanced Core Bond Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all distributions were reinvested. The chart compares a hypothetical $10,000 investment made in the AMG Enhanced Core Bond Fund—Investor Class shares on December 31, 2005, with a $10,000 investment made in the Barclays U.S. Aggregate Bond Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns for the Fund would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Enhanced Core Bond Fund and the Barclays U.S. Aggregate Bond Index for the same time periods ended December 31, 2015.


Average Annual Total Returns¹	One Year			Five Years			Ten Years			Since Inception			Inception Date
AMG GW&K Enhanced Core Bond Fund ^2,3,4,5
Investor Class		(3.41	)%		3.21	%		4.85	%		5.62	%		01/02/97
Service Class		(3.30	)%		—			—			0.98	%		11/30/12
Class C⁶		(4.14	)%		2.42	%		4.06	%		4.80	%		03/05/98
Institutional Class		(3.15	)%		3.47	%		5.11	%		6.02	%		01/02/97
Barclays U.S. Aggregate Bond Index⁷		0.55	%		3.25	%		4.51	%		5.45	%		01/02/97	^†

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.

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

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 December 31, 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	Closed to new investments.

⁷	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.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG GW&K Enhanced Core Bond Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


Sector	AMG GW&K Enhanced Core Bond Fund**
U.S. Government and Agency Obligations		42.6	%
Industrials		31.5	%
Financials		14.1	%
Municipal Bonds		6.6	%
Other Assets and Liabilities		5.2	%

**	As a percentage of net assets.


Rating	AMG GW&K Enhanced Core Bond Fund***
U.S. Government and Agency Obligations		44.9	%
Aaa		2.1	%
Aa		9.1	%
A		10.6	%
Baa		22.8	%
Ba		8.8	%
B		1.7	%

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

TOP TEN HOLDINGS


Security Name	% of Net Assets
United States Treasury Bond, 6.250%, 08/15/23*		6.9	%
FNMA, 5.500%, 02/01/39*		3.8
FNMA, 4.500%, 05/01/39*		3.7
FHLMC Gold Pool, 5.000%, 10/01/36*		3.0
Microsoft Corp., 2.650%, 11/03/22		2.0
Burlington Northern Santa Fe LLC, 6.150%, 05/01/37*		2.0
Weyerhaeuser Co., 8.500%, 01/15/25*		2.0
The Goldman Sachs Group, Inc., 6.125%, 02/15/33*		2.0
California State General Obligation, School Improvements,
7.550%, 04/01/39*		2.0
CF Industries, Inc., 7.125%, 05/01/20*		1.9

Top Ten as a Group		29.3	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments

December 31, 2015


	Principal Amount		Value
Corporate Bonds and Notes—45.6%
Financials—14.1%
Ally Financial, Inc., 8.000%, 03/15/20	$	775,000	$	885,438
Crown Castle International Corp., 5.250%, 01/15/23		865,000		912,575
General Electric Capital Corp., GMTN, 6.000%, 08/07/19		775,000		878,381
The Goldman Sachs Group, Inc., 6.125%, 02/15/33		1,465,000		1,720,919
Host Hotels & Resorts, L.P., Series C, 4.750%, 03/01/23¹		815,000		843,572
International Lease Finance Corp., 8.250%, 12/15/20		700,000		829,500
JPMorgan Chase & Co., Series S, 6.750%, 01/29/49²		799,000		871,909
Morgan Stanley, GMTN, 5.500%, 07/28/21		750,000		841,296
National Rural Utilities Cooperative Finance Corp., MTN, 3.250%, 11/01/25		875,000		872,422
Visa, Inc., 3.150%, 12/14/25		860,000		862,135
Wells Fargo & Co., Series U, 5.875%, 12/29/49²		839,000		884,096
Weyerhaeuser Co., 8.500%, 01/15/25		1,340,000		1,722,327
Total Financials				12,124,570
Industrials—31.5%
AbbVie, Inc., 3.200%, 11/06/22		930,000		916,823
Actavis Funding SCS, 3.800%, 03/15/25		1,000,000		996,808
American Axle & Manufacturing, Inc., 6.625%, 10/15/22		1,295,000		1,359,750
Automatic Data Processing, Inc., 3.375%, 09/15/25		846,000		863,473
Ball Corp., 5.250%, 07/01/25		575,000		590,094
BorgWarner, Inc., 3.375%, 03/15/25		1,000,000		945,888
Burlington Northern Santa Fe LLC, 6.150%, 05/01/37		1,465,000		1,722,814
CalAtlantic Group, Inc., 6.625%, 05/01/20		850,000		930,750
CF Industries, Inc., 7.125%, 05/01/20		1,435,000		1,620,798
CHS/Community Health Systems, Inc., 5.125%, 08/01/21		445,000		445,000
Comcast Corp., 7.050%, 03/15/33		660,000		852,921
CVS Health Corp., 4.875%, 07/20/35		1,030,000		1,066,780
Ford Motor Co., 7.450%, 07/16/31		670,000		828,825
Frontier Communications Corp., 8.875%, 09/15/20 (a)		500,000		507,500
General Motors Co., 6.250%, 10/02/43		1,000,000		1,060,106
Georgia-Pacific LLC, 8.000%, 01/15/24		668,000		846,069
HCA, Inc., 5.000%, 03/15/24		1,360,000		1,360,000
International Paper Co., 3.800%, 01/15/26¹		935,000		923,107
Lear Corp., 5.375%, 03/15/24		450,000		464,625
McDonald’s Corp., MTN, 3.700%, 01/30/26		867,000		868,097
Microsoft Corp., 2.650%, 11/03/22		1,741,000		1,740,859
Owens Corning, 4.200%, 12/15/22		855,000		856,775
QVC, Inc., 5.125%, 07/02/22		830,000		828,485

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

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—31.5% (continued)
T-Mobile USA, Inc., 6.250%, 04/01/21	$	1,000,000	$	1,032,500
Tyson Foods, Inc., 4.875%, 08/15/34		845,000		865,018
United Rentals North America, Inc., 6.125%, 06/15/23		1,000,000		1,027,500
Verizon Communications, Inc., 5.150%, 09/15/23		830,000		913,902
Viacom, Inc., 6.875%, 04/30/36		675,000		670,468
Total Industrials				27,105,735
Total Corporate Bonds and Notes (cost $39,542,359)				39,230,305
Municipal Bonds—6.6%
California State General Obligation, School Improvements, 7.550%, 04/01/39		1,175,000		1,707,874
JobsOhio Beverage System, Series B, 3.985%, 01/01/29		880,000		915,922
Los Angeles Unified School District, School Improvements, 5.750%, 07/01/34		1,100,000		1,325,291
Metropolitan Transportation Authority Revenue, Build America Bonds, 6.668%, 11/15/39		685,000		895,699
New Jersey Economic Development Authority, Pension Funding, Series A, 7.425%, 02/15/29 (National Insured)³		770,000		879,902
Total Municipal Bonds (cost $5,771,959)				5,724,688
U.S. Government and Agency Obligations—42.6%
Federal Home Loan Banks—1.3%
FHLB, 2.125%, 05/27/21		1,160,000		1,162,022
Federal Home Loan Mortgage Corporation—5.0%
FHLMC Gold Pool,
4.500%, 10/01/39		682,022		735,995
5.000%, 06/01/26 to 10/01/36		3,254,989		3,546,679
Total Federal Home Loan Mortgage Corporation				4,282,674
Federal National Mortgage Association—26.2%
FNMA,
4.000%, 02/01/26 to 01/01/42		4,354,744		4,629,273
4.500%, 05/01/39 to 09/01/42		4,597,049		5,008,642
5.000%, 08/01/35		1,092,668		1,206,075
5.500%, 05/01/25 to 04/01/40		6,744,313		7,556,122
6.000%, 02/01/23 to 10/01/40		3,652,341		4,135,095
Total Federal National Mortgage Association				22,535,207
U.S. Treasury Obligations—10.1%
United States Treasury Bonds,
3.500%, 02/15/39		738,000		816,585
6.250%, 08/15/23		4,598,000		5,937,705
United States Treasury Notes,
2.250%, 11/15/24		1,469,000		1,468,483
3.500%, 05/15/20		426,000		458,108
Total U.S. Treasury Obligations				8,680,881
Total U.S. Government and Agency Obligations (cost $36,303,635)				36,660,784

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

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Short-Term Investments—5.9%
Repurchase Agreements—1.6%⁴
Cantor Fitzgerald Securities, Inc., dated 12/31/15, due 01/04/16, 0.340%, total to be received $1,000,038 (collateralized by various U.S. Government Obligations, 0.000% - 10.500%, 01/15/16 - 09/01/49, totaling $1,020,000)	$	1,000,000	$	1,000,000
Daiwa Capital Markets America, dated 12/31/15, due 01/04/16, 0.350%, total to be received $376,595 (collateralized by various U.S. Government Agency Obligations, 0.000% - 7.500%, 01/21/16 - 02/01/49, totaling $384,112)		376,580		376,580
Total Repurchase Agreements				1,376,580
	Shares
Other Investment Companies—4.3%⁵
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.26%		3,704,959		3,704,959
Total Short-Term Investments
(cost $5,081,539)				5,081,539
Total Investments—100.7% (cost $86,699,492)				86,697,316
Other Assets, less Liabilities—(0.7)%				(599,014	)
Net Assets—100.0%			$	86,098,302

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

AMG GW&K Municipal Bond Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2015, the AMG GW&K Municipal Bond Fund (Service Class) (the “Fund”) returned 3.77%, outperforming its benchmark, the Barclays 10-Year Municipal Bond Index (the Index), which returned 3.76%.

Municipal bonds posted surprisingly strong results late in 2015, defying the broader sell-off in other fixed-income markets. While Treasuries struggled with a U.S. Federal Reserve (the “Fed”) that turned decisively toward a year-end rate hike, municipal bonds were boosted by a steep decline in new issue volume, which coincided with a seasonal acceleration in coupon and reinvestment demand. Tax-exempt supply fell -24% from the fourth quarter of last year, driven by a 45% plunge in refunding transactions. The dropoff was a product of the major spike in refinancing activity in the first half of the year when borrowers were looking to get ahead of rising rates. Meanwhile, flows into tax-exempt funds were positive every week of the final quarter of 2015 and surged into year end, a welcome turnaround from the negative flows seen throughout the second and third quarters. These technical dynamics led to steady gains in an environment that was otherwise unfavorable towards bonds.

Recall that early in the fourth quarter of 2015, odds of a year-end rate hike were still under 30% due to slowing employment growth and the Fed’s hesitation to raise rates in the face of “recent global economic and financial developments.” It wasn’t until the October 28 Federal Open Market Committee meeting that sentiment flipped. Although rates were kept unchanged at that meeting, policy makers removed reference to global contagion and put a December liftoff squarely on the table. The following week, payrolls rebounded and the odds shot up to over 70%. When the hike finally came in mid-December, the first in nearly ten years, the market was well prepared and seemed relieved to get the uncertainty out of the way. Short Treasury rates moved higher by 40 basis points over the quarter. The longer end of the Treasury curve was up by half as much, held back by a deepening slump in

commodity prices and the Fed’s emphasis on “gradual” rate increases going forward.

With tax-exempt yields hovering near and even higher than Treasury yields in late September, the stage was set for municipal bonds to outperform heading into year end. In fact, the ten-year municipal/Treasury ratio ended December at 85%, down a full 15 percentage points from October 1, the largest quarterly drop since 2011. Municipal bonds also benefited from a solid fundamental backdrop. State and local revenues continued to strengthen throughout the year, helped by steady employment growth, a surge in personal income tax collections and a recovery in the housing market. The troubles in Puerto Rico, which included the island’s first payment default and endless restructuring talks with creditors, bond insurers and even the U.S. Congress, never spilled over to the general market, unsurprising given the unique nature of the territory’s financial crisis. For the year, the Fund outperformed the benchmark with an overweight to bonds longer than the Index (3-4 years) the biggest contributor.

Looking ahead, we expect municipals to hold up well in what could be a choppy 2016. The challenges facing the space should be manageable. Pension funding will continue to test the financial discipline of the states, and in places like Illinois and New Jersey, we expect the situations to get worse before they get better. But unfunded liabilities have been on the mend recently and accounting reforms should prove useful in forcing the hands of reluctant officials to move toward better funding schemes. Relative valuations begin the year just below historical averages, but in periods of rising rates we would expect ratios to test their long-term lows. And while the national recovery is now almost seven years in length, most state and local governments have spent that time wisely, reining in spending, paring back debt and building a cushion against any turn in the cycle. Still, with the financial markets focused on Fed policy, commodity weakness and global turmoil, we can expect volatility to carry over into the new year. We stand ready to take advantage of any opportunities that

emerge, whether related to duration positioning, liquidity disruptions or credit developments.

We enter 2016 with a duration modestly shorter than the benchmark. With inflation expectations near six-year lows and the world finally concerned about the threat of deflation, we could see some near-term opportunities to capture higher yields on even the smallest reversal in sentiment. And yet, waiting around for rates to rise is not a strategy, so we have been careful not to shed too much duration. Also, with liquidity becoming an increasing concern for dealers, regulators and market participants, our long-standing emphasis on large, widely-held credits and our deep experience with trading during all market conditions should give us a welcome edge. The Fund remains well diversified in terms of credit, structure and curve exposure.

This commentary reflects the viewpoints of GW&K Investment Management, LLC as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

AMG GW&K Municipal Bond Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Municipal Bond Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The chart compares a hypothetical $10,000 investment made in AMG GW&K Municipal Bond Fund—Service Class on June 30, 2009, to a $10,000 investment made in the Barclays 10-Year Municipal Bond Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Municipal Bond Fund and the Barclays 10-Year Municipal Bond Index for the same time periods ended December 31, 2015.


	One			Five			Since			Inception
Average Annual Total Returns¹	Year			Years			Inception			Date
AMG GW&K Municipal Bond Fund ^2,3,4,5,6
Investor Class		3.36	%		5.02	%		5.20	%		6/30/09
Service Class		3.77	%		5.33	%		5.48	%		6/30/09
Institutional Class		3.94	%		5.54	%		5.74	%		6/30/09
Barclays 10-Year Municipal Bond Index⁷		3.76	%		5.55	%		5.71	%		6/30/09	^†

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

^†	Date reflects the 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 Fund are net of expenses and based on the published NAV as of December 31, 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	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.

⁴	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.

⁵	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.

⁶	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.

⁷

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 least 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.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG GW&K Municipal Bond Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


	AMG GW&K Municipal
Sector	Bond Fund**
General Obligation		30.1	%
Transportation		20.5	%
Utilities		18.6	%
Public Services		9.6	%
Education		8.2	%
Cash		3.4	%
Tax		3.4	%
Industrial Development		2.3	%
Lease/Rent		2.2	%
Certificate of Participation		1.6	%
Healthcare		1.3	%
State and Non-State Appropriated Tobacco		0.0	%
Other Assets and Liabilities		(1.2	)%

**	As a percentage of net assets.


	AMG GW&K Municipal
Rating	Bond Fund***
Aaa		29.8	%
Aa		57.0	%
A		11.3	%
Baa		1.9	%

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

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
Maryland State, General Obligation, University and College Improvements, Series B, 5.000%, 08/01/23		3.0	%
Arizona Water Infrastructure Finance Authority, Water Quality Revenue, Series A, 5.000%, 10/01/26		2.3
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series C, 5.000%, 11/01/23		2.0
Minnesota State General Obligation, Series D, 5.000%, 08/01/24		1.9
Ohio Water Development Authority, Water Pollution Control Loan Fund, 5.000%, 06/01/23*		1.9
Minnesota State General Obligation, Series D, 5.000%, 08/01/22		1.9
Ohio State General Obligation, Series A, 5.000%, 09/15/22*		1.8
New York City General Obligation, Series I, 5.000%, 08/01/24		1.6
University of California, College and University Revenue, Series I, 5.000%, 05/15/26		1.5
Los Angeles Unified School District General Obligation, Series A, 5.000%, 07/01/23		1.5

Top Ten as a Group		19.4	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG GW&K Municipal Bond Fund

Fund Snapshots (continued)

December 31, 2015

STATE BREAKDOWN


	% of
State	Net Assets
Texas		12.2	%
New York		11.0	%
Ohio		7.8	%
California		6.0	%
Washington		5.8	%
Wisconsin		5.8	%
Illinois		5.1	%
Massachusetts		4.6	%
Arizona		4.5	%
Georgia		4.0	%
Minnesota		3.8	%
North Carolina		3.5	%
Missouri		3.0	%
Maryland		3.0	%


	% of
State	Net Assets
Florida		2.8	%
District of Columbia		2.6	%
New Jersey		2.5	%
Virginia		1.9	%
Pennsylvania		1.7	%
Oregon		1.3	%
Connecticut		1.3	%
Colorado		0.9	%
Michigan		0.9	%
Idaho		0.8	%
Kentucky		0.4	%
Other Assets and Liabilities		2.8	%

		100	%

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments

December 31, 2015


	Principal Amount		Value
Municipal Bonds—97.2%
Arizona—4.5%
Arizona Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/01/26	$	2,560,000	$	3,029,786
Arizona School Facilities Board COPS, Series A, 5.000%, 09/01/21		5,000,000		5,894,450
Arizona Transportation Board, Subordinated Highway Revenue, Series 2013 A, 5.000%, 07/01/22		4,255,000		5,125,488
Arizona Water Infrastructure Finance Authority, Water Quality Revenue, Series A, 5.000%, 10/01/26		15,000,000		18,644,400
Phoenix Civic Improvement Corp., Water Utility Improvements, Series A, 5.000%, 07/01/22		3,650,000		4,173,300
Total Arizona				36,867,424
California—6.0%
California State Public Works Board, Series F, 5.000%, 05/01/25		6,000,000		7,482,900
California State Public Works Board, Series H, 5.000%, 12/01/26		8,500,000		10,538,895
California State Tax Exempt General Obligation, 5.000%, 03/01/24		5,000,000		6,195,250
Los Angeles Unified School District General Obligation, Series A, 5.000%, 07/01/23		10,000,000		12,334,200
University of California, College and University Revenue, Series I, 5.000%, 05/15/26		10,000,000		12,471,200
Total California				49,022,445
Colorado—0.9%
Regional Transportation District County COPS, Series A, 5.000%, 06/01/24		6,000,000		7,182,540
Connecticut—1.3%
State of Connecticut Special Tax Revenue, Series A, 5.000%, 08/01/24		3,400,000		4,169,556
State of Connecticut Special Tax Revenue, Transit Infrastructure, 5.000%, 08/01/24		5,340,000		6,548,656
Total Connecticut				10,718,212
District of Columbia—2.6%
District of Columbia Water & Sewer Authority Public Utility Revenue, Sub Lien, Series C, 5.000%, 10/01/21		5,000,000		5,955,250
District of Columbia Water & Sewer Authority Public Utility Revenue, Sub Lien, Series C, 5.000%, 10/01/24		5,475,000		6,543,227
District of Columbia, Series A, 5.000%, 06/01/24		7,250,000		8,968,685
Total District of Columbia				21,467,162
Florida—2.8%
Florida State Board of Education, Series D, 5.000%, 06/01/24		6,565,000		7,764,294
Miami-Dade Water & Sewer System Revenue, 5.000%, 10/01/24		5,000,000		6,133,750
Miami-Dade Water & Sewer System Revenue, 5.000%, 10/01/25		5,085,000		6,296,349
Reedy Creek Improvement District, Utility Revenue, Series 1, 5.000%, 10/01/25		2,000,000		2,372,840
Total Florida				22,567,233
Georgia—4.0%
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/25		8,730,000		10,854,184
Georgia State University & College Improvements, Series A, 5.000%, 02/01/26		4,230,000		5,309,665
Georgia State University & College Improvements, Series A—Tranche 2, 5.000%, 07/01/24		5,000,000		6,039,950
Georgia State, Series E-2, 5.000%, 09/01/21		8,385,000		10,045,146
Total Georgia				32,248,945
Idaho—0.8%
Idaho Housing & Finance Association, 5.000%, 07/15/23		5,770,000		6,836,411

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

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Illinois—5.1%
Chicago O’Hare International Airport, Series B, 5.000%, 01/01/28	$	10,500,000	$	12,323,955
Illinois State Finance Authority Revenue, University of Chicago, Series A, 5.000%, 10/01/23		5,105,000		6,181,185
Illinois State Toll Highway Authority, Series A, 5.000%, 12/01/22		3,590,000		4,283,660
Illinois State Toll Highway Authority, Series A, 5.000%, 12/01/31⁶		7,295,000		8,660,989
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series 2012 B, 5.000%, 12/15/22		2,095,000		2,415,305
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series A, 5.500%, 06/15/29 (National Insured)³		6,170,000		7,341,375
Total Illinois				41,206,469
Kentucky—0.4%
Kentucky Turnpike Authority Revenue, Revitalization Projects, Series A, 5.000%, 07/01/23		2,750,000		3,017,300
Maryland—3.0%
Maryland State, General Obligation, University and College Improvements, Series B, 5.000%, 08/01/23		20,000,000		24,224,200
Massachusetts—4.6%
Massachusetts School Building Authority, 5.000%, 08/15/25		5,000,000		6,013,300
Massachusetts State Department of Taxation and Finance, Series F, 5.000%, 11/01/24		10,000,000		12,152,100
Massachusetts State Development Finance Agency, Boston College, Series P, 5.000%, 07/01/21		3,090,000		3,278,984
Massachusetts State Development Finance Agency, Boston College, Series S, 5.000%, 07/01/23		5,645,000		6,918,117
Massachusetts State Development Finance Agency, Lahey Clinic Obligations, Series F, 5.000%, 08/15/45		2,560,000		2,897,741
University of Massachusetts Building Authority, Series 2, 5.000%, 11/01/21		5,000,000		5,971,650
Total Massachusetts				37,231,892
Michigan—0.9%
Michigan State Building Authority Revenue, Series I, 5.000%, 04/15/27		5,700,000		6,906,804
Minnesota—3.8%
Minnesota State General Obligation, Series D, 5.000%, 08/01/22		12,500,000		15,201,000
Minnesota State General Obligation, Series D, 5.000%, 08/01/24		12,555,000		15,720,743
Total Minnesota				30,921,743
Missouri—3.0%
Missouri Highway & Transportation Commission: Fuel Sales Tax Revenue, Series A, 5.000%, 05/01/22		10,000,000		12,115,900
Missouri Highway & Transportation Commission: Fuel Sales Tax Revenue, Series A, 5.000%, 05/01/23		10,000,000		12,285,100
Total Missouri				24,401,000
New Jersey—2.5%
New Jersey Economic Development Authority, Schools Facilities Construction, Series 2013 NN, 5.000%, 03/01/21		1,935,000		2,115,516
New Jersey Economic Development Authority, Schools Facilities Construction, Series II, 5.000%, 03/01/22		2,175,000		2,388,172
New Jersey Economic Development Authority, Schools Facilities Construction, Series NN, 5.000%, 03/01/26		2,640,000		2,864,189
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/20		2,000,000		2,186,900
New Jersey State Turnpike Authority Revenue, Series 2012 B, 5.000%, 01/01/24		2,790,000		3,323,169
New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 01/01/24		4,925,000		5,869,073
New Jersey Transportation Trust Fund Authority, Series 2011 A, 5.250%, 06/15/24		1,165,000		1,275,465
Total New Jersey				20,022,484

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

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
New York—11.0%
Metropolitan Transportation Authority, Transit Revenue, Series C, 5.000%, 11/15/21	$	5,185,000	$	6,144,692
New York City General Obligation, Series G, 5.000%, 08/01/23		5,000,000		6,099,750
New York City General Obligation, Series I, 5.000%, 08/01/24		10,760,000		12,928,570
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series C, 5.000%, 11/01/23		13,425,000		16,490,196
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series D, 5.000%, 11/01/22		5,115,000		5,905,012
New York City Water & Sewer System Revenue, Series FF, 5.000%, 06/15/25		6,910,000		7,967,921
New York State Dormitory Authority, Personal Income Tax Revenue, Series A, 5.000%, 02/15/25		5,000,000		6,100,800
New York State Dormitory Authority, Sales Tax Revenue, Series A, 5.000%, 03/15/21		10,000,000		11,796,400
New York State Thruway Authority, General Revenue, Junior Indebtedness, Series A, 5.000%, 05/01/19		5,000,000		5,607,700
New York State Urban Development Corp., General Revenue, Series A, 5.000%, 01/01/21		8,900,000		10,190,055
Total New York				89,231,096
North Carolina—3.5%
North Carolina Limited Obligation, Series C, 5.000%, 05/01/24		8,375,000		10,363,979
North Carolina Municipal Power Agency No 1, Electric, Power and Light Revenue, Series A, 5.000%, 01/01/27		5,025,000		6,134,068
North Carolina State Grant Anticipation Revenue, 5.000%, 03/01/23		3,275,000		3,873,998
North Carolina State Limited Obligation, Series C, 5.000%, 05/01/23		6,575,000		8,062,199
Total North Carolina				28,434,244
Ohio—7.8%
Ohio State General Obligation, Common Schools, Series B, 5.000%, 03/15/25		5,000,000		5,939,150
Ohio State General Obligation, Series A, 5.000%, 09/15/22		12,140,000		14,749,129
Ohio State General Obligation, Series R, 5.000%, 05/01/21		5,215,000		6,179,931
Ohio State General Obligation, University & College Improvements, Series C, 5.000%, 11/01/26		8,545,000		10,550,853
Ohio Water Development Authority, Water Pollution Control Loan Fund, 5.000%, 06/01/23		12,500,000		15,387,000
Ohio Water Development Authority, Water Pollution Control Loan Fund, Series 2015A, 5.000%, 06/01/25⁶		8,000,000		10,090,720
Total Ohio				62,896,783
Oregon—1.3%
Oregon State Lottery Revenue, Series C, 5.000%, 04/01/22		4,000,000		4,835,720
Oregon State Lottery Revenue, Series D, 5.000%, 04/01/21		5,000,000		5,930,650
Total Oregon				10,766,370
Pennsylvania—1.7%
Pennsylvania Economic Development Financing Authority Revenue, Series 2012 B, 5.000%, 07/01/21		5,740,000		6,189,212
Philadelphia Gas Works Co., Natural Gas Revenue, 5.000%, 08/01/24		6,400,000		7,643,520
Total Pennsylvania				13,832,732
Texas—12.2%
Central Texas Turnpike System Transportation Commission, Series C, 5.000%, 08/15/31		9,000,000		10,283,040
City of Austin TX Water & Wastewater System Revenue, Series A, 5.000%, 11/15/22		7,790,000		9,436,183
City of Dallas TX Waterworks & Sewer System Revenue, Series A, 5.000%, 10/01/22		5,000,000		6,056,500
City Public Service Board of San Antonio TX, Series A, 5.250%, 02/01/24		2,320,000		2,597,820
Cypress-Fairbanks Independent School District, Series C, 5.000%, 02/15/23		5,000,000		6,089,100

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

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Texas—12.2% (continued)
Houston Combined Utility System Revenue, 1st Lien, Series C, 5.000%, 05/15/21	$	5,850,000	$	6,900,309
North Texas Tollway Authority Revenue, Special Projects System, 1st Tier, Series A, 5.000%, 01/01/25		5,260,000		6,324,729
North Texas Tollway Authority Revenue, Special Projects System, Series D, 5.250%, 09/01/27		10,165,000		12,071,649
San Antonio Electric & Gas Revenue, Series A, 5.250%, 02/01/25		5,075,000		5,681,107
Spring Branch Independent School District, Series A, 5.000%, 02/01/21		8,650,000		10,159,425
Texas State A&M University, Series A, 5.000%, 05/15/22		5,730,000		6,899,378
Texas Transportation Commission Fund, Series A, 5.000%, 04/01/27		5,000,000		5,946,200
Texas Transportation Commission State Highway Fund, Series A, 5.000%, 04/01/23		5,000,000		6,118,850
The University of Texas System Financing Revenue, Series A, 5.000%, 08/15/22		4,185,000		4,797,014
Total Texas				99,361,304
Virginia—1.9%
Virginia College Building Authority, 21st Century College & Equipment, 5.000%, 02/01/21		5,000,000		5,888,600
Virginia College Building Authority, Series B, 5.000%, 09/01/23		5,350,000		6,568,676
Virginia Public Building Authority, Correctional Facilities Revenue, Series B, 5.000%, 08/01/24		2,320,000		2,629,720
Total Virginia				15,086,996
Washington—5.8%
City of Seattle WA Municipal Light & Power Revenue, Series A, 5.000%, 02/01/23		2,175,000		2,525,632
City of Seattle WA Municipal Light & Power Revenue, Series B, 5.000%, 02/01/23		5,565,000		6,378,492
Energy Northwest Washington Electric Revenue, Columbia Generating Station, Series A, 5.000%, 07/01/21		5,035,000		5,983,091
King County Sewer Revenue, Series B, 5.000%, 01/01/24		5,175,000		6,042,020
Washington Health Care Facilities Authority Multicare Health System, Series B, 5.000%, 08/15/23		3,940,000		4,736,432
Washington State General Obligation, Miscellaneous Revenue, Series R-2015C, 5.000%, 07/01/21		5,515,000		6,553,474
Washington State General Obligation, Motor Vehicle Fuel Tax, Series C, 5.000%, 02/01/24		5,335,000		6,584,777
Washington State Generation Obligation, Series 2016A, 5.000%, 07/01/21		7,250,000		8,615,175
Total Washington				47,419,093
Wisconsin—5.8%
Wisconsin State Revenue, Department of Transportation, Series 1, 5.000%, 07/01/21		5,000,000		5,953,150
Wisconsin State Revenue, Department of Transportation, Series 1, 5.000%, 07/01/25		3,005,000		3,645,185
Wisconsin State Revenue, Department of Transportation, Series A, 5.000%, 07/01/22		9,805,000		11,864,736
Wisconsin State Revenue, Department of Transportation, Series A, 5.000%, 07/01/24		6,085,000		7,567,732
Wisconsin State, Series 2, 5.000%, 05/01/24		3,170,000		3,813,161
Wisconsin State, Series 4, 5.000%, 05/01/25		6,015,000		7,461,728
Wisconsin State, Series A, 5.000%, 05/01/23		6,000,000		7,076,400
Total Wisconsin				47,382,092
Total Municipal Bonds (cost $773,120,864)				789,252,974

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

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Other Investment Companies—3.4%⁵
Fidelity Institutional Money Market Tax Exempt Portfolio, Institutional Class, 0.01%⁷ (cost $27,361,706)		27,361,706	$	27,361,706
Total Investments—100.6% (cost $800,482,570)				816,614,680
Other Assets, less Liabilities—(0.6)%				(4,809,147	)
Net Assets—100.0%			$	811,805,533

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

AMG GW&K Municipal Enhanced Yield Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2015, the AMG GW&K Municipal Enhanced Yield Fund (Institutional Class) (the “Fund”) returned 4.15%, modestly underperforming the Barclays U.S. Municipal Bond BAA Index, which returned 4.25%.

Municipal bonds posted surprisingly strong results late in 2015, defying the broader sell-off in other fixed-income markets. While Treasuries struggled with a U.S. Federal reserve (the “Fed”) that turned decisively toward a year-end rate hike, municipal bonds were boosted by a steep decline in new issue volume, which coincided with a seasonal acceleration in coupon and reinvestment demand. Tax-exempt supply fell -24% from the fourth quarter of last year, driven by a 45% plunge in refunding transactions. The drop-off was a product of the major spike in refinancing activity in the first half of the year when borrowers were looking to get ahead of rising rates. Meanwhile, flows into tax-exempt funds were positive every week of the final quarter of 2015 and surged into year end, a welcome turnaround from the negative flows seen throughout the second and third quarters. These technical dynamics led to steady gains in an environment that was otherwise unfavorable towards bonds.

Recall that early in the fourth quarter of 2015, odds of a year-end rate hike were still under 30% due to slowing employment growth and the Fed’s hesitation to raise rates in the face of “recent global economic and financial developments.” It wasn’t until the October 28 Federal Open Market Committee meeting that sentiment flipped. Although rates were kept unchanged at that meeting, policy makers removed reference to global contagion and put a December lift-off squarely on the table. The following week, payrolls rebounded and the odds shot up to over 70%. When the hike finally came in mid-December, the first in nearly ten years, the market was well prepared and seemed relieved to get the uncertainty out of the way. Short Treasury rates moved higher by 40 basis points over the quarter. The longer end of the Treasury curve was up by half as much, held back by a deepening slump in

commodity prices and the Fed’s emphasis on “gradual” rate increases going forward.

For the year, the Fund performed in line with the benchmark. An overweight to longer maturities aided performance as rates declined on the long end. An underweight to zero coupon bonds and bonds that were recently pre-refunded detracted from performance.

markets focused on Fed policy, commodity weakness and global turmoil, we can expect volatility to carry over into the New Year. We stand ready to take advantage of any opportunities that emerge, whether related to duration positioning, liquidity disruptions or credit developments.

This commentary reflects the viewpoints of the GW&K Investment Management, LLC as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

AMG GW&K Municipal Enhanced Yield Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Municipal Enhanced Yield Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The chart compares a hypothetical $10,000 investment made in AMG GW&K Municipal Enhanced Yield Fund—Institutional Class on December 31, 2005, to a $10,000 investment made in the Barclays U.S. Municipal Bond BAA Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Municipal Enhanced Yield Fund and the Barclays U.S. Municipal Bond BAA Index for the same time periods ended December 31, 2015.


Average Annual Total Returns¹	One Year			Five Years			Ten Years			Since Inception			Inception Date
AMG GW&K Municipal Enhanced Yield Fund ^{2,3,4,5,6,7,8,9,10}
Investor Class		3.57	%		7.50	%		—			7.92	%		7/27/09
Service Class		4.07	%		7.80	%		—			8.21	%		7/27/09
Institutional Class		4.15	%		7.96	%		4.92	%		4.92	%		12/30/05
Barclays U.S. Municipal Bond BAA Index¹¹		4.25	%		6.35	%		3.90	%		3.90	%		12/30/05	^†

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

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	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

⁴	Issuer of bonds may not be able to meet interest or principal payments when the bonds come due.

⁵	High yield bonds (also known as “junk bonds”) are subject to increased risks such as the risk of default.

⁶	The use of leverage in a Fund’s strategy can magnify relatively small market movements into relatively larger losses for the Fund.

⁷	Factors unique to the municipal bond market may negatively affect the value in municipal bonds.

⁸	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.

⁹	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.

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 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.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG GW&K Municipal Enhanced Yield Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


	AMG GW&K Municipal
Sector	Enhanced Yield Fund**
Healthcare		30.6	%
Transportation		27.5	%
Utilities		14.3	%
Education		5.9	%
Industrial Development		4.9	%
State and Non-State Appropriated Tobacco		4.5	%
Tax		4.3	%
General Obligation		3.0	%
Other		2.2	%
Public Services		1.5	%
Cash		0.2	%
Other Assets and Liabilities		1.1	%

**	As a percentage of net assets.


	AMG GW&K Municipal
Rating	Enhanced Yield Fund***
Aa		6.6	%
A		45.6	%
BBB		47.8	%

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

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
Massachusetts Development Finance Agency, Lahey Clinic Obligations, Series F, 5.000%, 08/15/45		3.7	%
Central Texas Turnpike System, Series C, 5.000%, 08/15/42*		3.3
New Jersey Turnpike Authority, Series E. 5.000%, 01/01/45		3.0
Louisiana Local Government Environmental Facilities and Community Development Authority Hospital Revenue, Series 2010 A, 5.880%, 10/01/40*		2.6
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/40		2.6
Miami Beach Health Facilities Authority, Mt. Sinai Medical Center, 5.000%, 11/15/39*		2.5
Wisconsin Health & Educational Facilities Authority, ProHealth Care Obligation Group, 5.000%, 08/15/39		2.5
Pennsylvania Economic Development Financing Authority, PA Bridges FINCO LP, 5.000%, 06/30/42*		2.5
Metropolitan Transportation Authority, 5.000%, 11/15/40		2.5
University of Kansas Hospital Authority, Kansas University Health System, 5.000%, 09/01/45		2.4

Top Ten as a Group		27.6	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG GW&K Municipal Enhanced Yield Fund

Fund Snapshots (continued)

December 31, 2015

STATE BREAKDOWN


	% of
State	Net Assets
Texas		13.3	%
Illinois		12.2	%
New Jersey		10.6	%
Florida		8.4	%
New York		6.6	%
Massachusetts		5.5	%
Louisiana		4.6	%
Pennsylvania		4.5	%
District of Columbia		4.3	%
Michigan		2.7	%
Georgia		2.6	%
Wisconsin		2.5	%
Kansas		2.4	%
West Virginia		2.4	%


	% of
State	Net Assets
Rhode Island		2.4	%
Nebraska		2.3	%
California		2.2	%
Colorado		2.2	%
Kentucky		2.0	%
Virginia		1.8	%
New Hampshire		1.8	%
Tennessee		1.2	%
Other Assets and Liabilities		1.5	%

		100	%

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments

December 31, 2015


	Principal Amount		Value
Municipal Bonds—98.5%
California—2.2%
M-S-R Energy Authority, Natural Gas Revenue, Series C, 6.500%, 11/01/39	$	3,635,000	$	5,106,557
Colorado—2.2%
Public Authority for Colorado Energy Natural Gas Purchase Revenue, Series 2008, 6.500%, 11/15/38		3,760,000		5,069,871
District of Columbia—4.3%
District of Columbia Hospital Revenue, Children’s Hospital, 5.000%, 07/15/44		5,000,000		5,674,750
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Dulles Metrorail and Capital Improvement Project, Series A, 5.000%, 10/01/53		4,195,000		4,483,952
Total District of Columbia				10,158,702
Florida—8.4%
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, 5.000%, 12/01/44		5,075,000		5,583,515
Martin County Health Facilities Authority, Martin Memorial Medical Center, 5.500%, 11/15/42		4,410,000		4,883,149
Miami Beach Health Facilities Authority, Mt. Sinai Medical Center, 5.000%, 11/15/39		5,355,000		5,859,548
Tampa Revenue, University of Tampa, 5.000%, 04/01/45		3,000,000		3,241,620
Total Florida				19,567,832
Georgia—2.6%
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/40		5,245,000		6,064,426
Illinois—12.2%
Chicago O’Hare International Airport, Series C, 5.000%, 01/01/46		2,250,000		2,446,763
Chicago O’Hare International Airport, Series D, 5.000%, 01/01/46		3,820,000		4,242,950
Illinois State General Obligation, 5.000%, 02/01/39		3,740,000		3,911,591
Illinois State General Obligation, 5.500%, 07/01/38		2,785,000		3,015,487
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series 2012 A, 5.000%, 06/15/42		4,785,000		4,979,797
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series B, 5.000%, 06/15/52		4,865,000		5,027,053
Railsplitter Tobacco Settlement Authority Revenue, 6.000%, 06/01/28		4,150,000		4,905,010
Total Illinois				28,528,651
Kansas—2.4%
University of Kansas Hospital Authority, Kansas University Health System, 5.000%, 09/01/45		5,080,000		5,721,553
Kentucky—2.0%
Kentucky Economic Development Finance Authority, Telecommunications Revenue, 5.000%, 07/01/40		1,250,000		1,349,912
Kentucky Economic Development Finance Authority, Telecommunications Revenue, 5.000%, 01/01/45		3,085,000		3,313,938
Total Kentucky				4,663,850
Louisiana—4.6%
Louisiana Local Government Environmental Facilities and Community Development Authority Hospital Revenue, Series 2010 A, 5.875%, 10/01/40		5,260,000		6,117,012
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project, 5.000%, 05/15/47		4,235,000		4,552,413
Total Louisiana				10,669,425
Massachusetts—5.5%
Massachusetts Development Finance Agency, Lahey Clinic Obligations, Series F, 5.000%, 08/15/45		7,735,000		8,755,479

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

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Massachusetts—5.5% (continued)
Massachusetts Health and Educational Facilities Authority Revenue, Suffolk University, Series 2009 A, 5.750%, 07/01/39	$	3,760,000	$	4,177,473
Total Massachusetts				12,932,952
Michigan—2.7%
Michigan State Building Authority Revenue, Facilities Program, Series I, 5.000%, 10/15/45		3,000,000		3,409,590
Michigan State Hospital Finance Authority Revenue, Henry Ford Health System, Series 2009, 5.750%, 11/15/39		2,495,000		2,838,686
Total Michigan				6,248,276
Nebraska—2.3%
Central Plains Energy Project, Natural Gas Revenue, 5.000%, 09/01/42		5,010,000		5,396,872
New Hampshire—1.8%
New Hampshire Health and Education Facilities Authority, Southern New Hampshire University, 5.000%, 01/01/42		4,000,000		4,152,800
New Jersey—10.6%
New Jersey Economic Development Authority, School Improvements Revenue, Series WW, 5.250%, 06/15/40		2,000,000		2,083,040
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/28		1,020,000		1,087,534
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/29		1,000,000		1,060,930
New Jersey Economic Development Authority, UMM Energy Partners, Series 2012 A, 5.125%, 06/15/43		4,450,000		4,672,411
New Jersey Health Care Facilities Financing Authority Revenue and Refunding, Barnabas Health Issue, Series 2011 A, 5.625%, 07/01/32		2,000,000		2,325,220
New Jersey Transportation Trust Fund Authority, Series A, 5.000%, 06/15/42		3,275,000		3,427,091
New Jersey Transportation Trust Fund Authority, Series AA, 5.000%, 06/15/45		1,700,000		1,775,395
New Jersey Transportation Trust Fund Authority, Series AA, 5.250%, 06/15/41		1,250,000		1,344,338
New Jersey Turnpike Authority, Series E, 5.000%, 01/01/45		6,205,000		7,034,981
Total New Jersey				24,810,940
New York—6.6%
Long Island Power Authority, Electric Light & Power Improvements, Series A, 5.000%, 09/01/44		2,820,000		3,173,656
Long Island Power Authority, Series B, 5.000%, 09/01/45		4,210,000		4,760,163
Metropolitan Transportation Authority, 5.000%, 11/15/40		5,000,000		5,727,050
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		1,823,303
Total New York				15,484,172
Pennsylvania—4.5%
Lycoming County Authority Health System Revenue, Susquehanna Health System Project, Series 2009 A, 5.750%, 07/01/39		4,330,000		4,675,144
Pennsylvania Economic Development Financing Authority, PA Bridges FINCO LP, 5.000%, 06/30/42		5,250,000		5,733,578
Total Pennsylvania				10,408,722
Rhode Island—2.4%
Tobacco Settlement Financing Corp., Series A, 5.000%, 06/01/35		2,000,000		2,123,160
Tobacco Settlement Financing Corp., Series A, 5.000%, 06/01/40		3,325,000		3,477,119
Total Rhode Island				5,600,279
Tennessee—1.2%
Chattanooga-Hamilton County Hospital Authority, 5.000%, 10/01/44		2,675,000		2,876,561

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

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Texas—13.3%
Central Texas Regional Mobility Authority Senior Lien Revenue, Series 2011, 6.000%, 01/01/41	$	3,505,000	$	4,083,851
Central Texas Regional Mobility Authority Senior Lien Revenue, Series A, 5.000%, 01/01/43		1,500,000		1,612,380
Central Texas Turnpike System, Series C, 5.000%, 08/15/42		7,000,000		7,785,330
Grand Parkway Transportation Corp. 1st Tier Toll Revenue, Series A, 5.500%, 04/01/53		3,780,000		4,156,450
New Hope Cultural Education Facilities Corp., College Station Project, Series A, 5.000%, 07/01/47		4,950,000		5,104,638
North Texas Tollway Authority, Highway Tolls Revenue, Series B, 5.000%, 01/01/40		3,900,000		4,349,280
Texas Municipal Gas Acquisition & Supply Corp. Gas Supply Revenue, Senior Lien Series 2008 D, 6.250%, 12/15/26		3,130,000		3,861,825
Total Texas				30,953,754
Virginia—1.8%
Chesapeake City Expressway Toll Road Revenue, Series 2012 A, 5.000%, 07/15/47		4,000,000		4,253,640
West Virginia—2.4%
West Virginia Hospital Finance Authority, West Virginia United Health Systems Obligation Group, Series A, 5.500%, 06/01/44		5,000,000		5,667,950
Wisconsin—2.5%
Wisconsin Health & Educational Facilities Authority, ProHealth Care Obligation Group, 5.000%, 08/15/39		5,240,000		5,826,670
Total Municipal Bonds (cost $221,619,753)				230,164,455

	Shares
Other Investment Companies—0.3%⁵
Fidelity Institutional Money Market Tax Exempt Portfolio, Institutional Class, 0.01% (cost $549,037)		549,037		549,037
Total Investments—98.8% (cost $222,168,790)				230,713,492
Other Assets, less Liabilities—1.2%				2,879,232
Net Assets—100.0%			$	233,592,724

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

AMG GW&K Small Cap Core Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2015, the AMG GW&K Small Cap Core Fund (Investor Class) (the “Fund”) returned (3.02)%, outperforming the Russell 2000^® Index, which returned (4.41)%.

It is hard to determine what Americans wasted more time contemplating in 2015: 1) the potential improper inflation of footballs, 2) the presidential prospects of Donald Trump, or 3) whether the U.S. Federal Reserve (the “Fed”) would raise the fed funds rate target. While the final outcomes for items one and two have amazingly still not been resolved, we can at least stop debating whether the Fed will begin normalizing monetary policy. The investment community’s hyper-focus on the Fed and potential lift-off had a widespread impact on the results of many asset classes. Treasury rates in general climbed during 2015, as did the U.S. Dollar (USD). Commodities dropped and financial conditions tightened a bit in asset classes like Emerging Markets and U.S. High Yield. While the potential for a higher U.S. fed funds rate of course wasn’t responsible alone for all the asset class results referenced here, the persistent focus on it in the investment world certainly played a factor. This constriction was also felt in the U.S. small-cap market, as evidenced by the disappointing (4.41)% return from the Russell 2000^® Index for the year. The fourth quarter performance helped to somewhat reduce the damage, with a 3.59% increase. During the course of the calendar year, small caps experienced lower sales and earnings growth than previously expected. Top- and bottom-line growth was closer to low-single-digit growth instead of high-single-digit or low-double-digit expectations to start the year. While growth in the U.S. was slow and steady in many sectors, companies with exposure to export markets (higher USD, slower demand growth) and commodity prices or energy infrastructure saw much greater sales and earnings pressure. This left small-cap investors looking for a place to hide, generating narrow stock market performance and some periods of high volatility. Volatility spiked in late summer, as investors questioned some of the more crowded investment theses. We

will get more into what 2016 might hold for U.S. small-cap investors in the conclusion, but unfortunately,

like the inflation of footballs and hot air coming from Donald Trump, we don’t see an immediate and clean ending to the story line over the next few months.

To help explain how the year progressed for U.S. small-cap investors, it might be best to start with the sector that created some of the biggest headlines: health care. In particular, the biotech and pharmaceutical industries have led the market for several years now. Biopharma as a group is somewhat sheltered to all the earnings bogeymen we worried about in 2015. They are nearly completely uncorrelated with currency strength or weakness in Emerging Markets or commodities. In fact, the vast majority of these stocks in the U.S. small-cap universe have no earnings and no prospect for earnings over the next several years. Combine this with a more accommodative FDA, Obamacare, a good pricing backdrop and a strong funding environment (aided by low rates), and investors became very enamored with these stocks and their long-term potential. Biotech on its own (at +6% of the benchmark) accounted for over one third of the Index performance in the first half of the year. In the third quarter, this narrow momentum group collapsed over 23%, driven lower by political rhetoric concerning drug inflation, the woes of Valeant and the weight of the group’s vertical ascension. The biopharma space rebounded in the fourth quarter somewhat to finish the year ahead of the benchmark once again, but it is fair to say the cracks in the foundation are now visible. We expect more volatility and weakness in the group, particularly the more speculative names, as we progress through 2016.

Information technology and utilities were other solid performers in the Index for 2015. While investors were attracted to the yield and low-earnings volatility in utilities, they also bid up prices in software, services and semiconductor industries within technology. The strength in health care and information technology helped push the Russell 2000^® Growth Index ahead of Russell 2000^® Value Index by 600 basis points during the year. The three-year cumulative advantage for the Russell 2000^® Growth Index is now at 500 basis points annualized, as investors have sought out dependable earnings growth in a shifting global

macro environment and underachieving cyclical growth. While we have expected this to shift, we have thus far been early in this prediction. On the negative side of sector Russell 2000^® Growth Index performance, energy continued to be a falling knife, losing (39.3)% for the year. The forces of supply (excessive) and demand (anemic) continued to pressure prices of both oil and natural gas, although this price mechanism will eventually correct matters. We think we will see a change in perception in these markets in 2016, with greater price stability a result. Price weakness also manifested itself in the consumer discretionary, industrials and materials sectors in 2015, although the first two groups acted a bit better in the quarter. Looking at small-cap index style factors, investors clearly flirted with lower-quality stocks in the quarter, although higher-quality stocks outperformed over the full year. A mirror image of the performance of the biopharma group, high quality stocks were only in favor in the third quarter, but the powerful impact in this quarter outweighed the other three quarters, combined.

The relative performance of the Fund reflected this swing in quality preference, as it outperformed for the year but lagged later in the year when low quality outperformed. For 2015, the higher quality environment for small cap stocks likely aided our relative results by 80-85 basis points, with stock selection driving the remaining outperformance. Energy and information technology were our two best performing sectors. While the Index portion of information technology was up about 3%, our Fund held four stocks that were up over 35% and another that was up nearly 20%. In energy, the Fund was down just over half as much as the Index, helped mainly by our lone E&P holding. This Permian and Eagle Ford Basin-focused producer declined only (2)% compared to the (39.3)% drop in the sector due to a solid balance sheet and good execution. The industrials sector was another positive contributor, as domestic-focused companies offset those with greater international exposure. Financials and health care were our weaker relative performers for the year. In health care, it will be no surprise that the biopharma groups featured prominently, while three holdings

AMG GW&K Small Cap Core Fund

Portfolio Manager’s Comments (continued)

also contributed to the woes. However, these were offset by good selection as well, and our allocation within the sector accounted for the weaker results. In financials, our stock selection in the bank, capital markets and REITs industries was subpar. Fortunately, this was partially made up for by three great performers among the insurance and diversified holdings of the Fund. This is a sector we look to improve upon in 2016.

We started 2015 with expectations for an improving domestic macro-economic environment and small-cap earnings growth in the high single-digit neighborhood. While we didn’t see a lot of potential for valuation improvement, we thought multiples were reasonable given the interest rate, inflation and earnings backdrop. We also laughed upon hearing of a potential Trump presidential run, assuming it was either a publicity stunt or would end in a dramatic flameout. The New England Patriots football deflation story also sounded rather absurd and we assumed it would end within a news cycle. So our record last year was far from perfect, to say the least. This year, we are assuming mid-single-digit earnings growth as some of the USD strength cycles through and commodity-oriented sectors become less bad, especially in the second half of the year. Employment growth in the U.S. remains very good and our belief is that the consumer is healthy and the pace of household formation is improving. Since the small-cap market went down a bit over the last 12 months, valuations are about the same, if not a touch better, at 17-18 times earnings. The negatives to watch include some weak signals within the transport markets, the growth path for China and other emerging economies and how capital markets respond to the likely continuation of Fed policy actions. While the narrow market performance in the first half of 2015 has corrected somewhat, it may not be complete and corrections can become overly harsh. We will hopefully utilize these opportunities as they materialize, and reposition the Fund to seek to maximize the three-to-five year capital appreciation potential. While we may be early in our analysis, see Trump and the footballs, we believe our long-term disciplined approach will continue to deliver good relative performance.

This commentary reflects the viewpoints of GW&K Investment Management, LLC as of December 31,

2015 and is not intended as a forecast or guarantee of future results.

AMG GW&K Small Cap Core Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Small Cap Core Fund’s cumulative total return is based on the daily change in net asset value (NAV) and assumes that all dividends and distributions were reinvested. The chart compares a hypothetical $10,000 investment made in AMG GW&K Small Cap Core Fund—Investor Class on December 31, 2005, to a $10,000 investment made in the Russell 2000^® Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Small Cap Core Fund and the Russell 2000^® Index for the same time periods ended December 31, 2015.


	One			Five			Ten			Since			Inception
Average Annual Total Returns¹	Year			Years			Years			Inception			date
AMG GW&K Small Cap Core Fund ^2,3,4
Investor Class		(3.02	)%		10.22	%		7.12	%		7.58	%		12/10/96
Service Class		(2.75	)%		10.48	%		—			14.81	%		7/27/09
Institutional Class		(2.63	)%		10.70	%		—			15.02	%		7/27/09
Russell 2000^® Index⁵		(4.41	)%		9.19	%		6.80	%		7.60	%		12/10/96	^†

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

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	The Fund inception dates and returns for all periods beginning prior to November 7, 2008 reflects performance of the predecessor Fund, The BNY Hamilton Multi-Cap Equity Fund, a series of BNY Hamilton Funds, Inc.

⁴	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.

⁵

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, are not available for investment, and do not incur expenses.

The Russell Indices are trademarks of the London Stock Exchange Group companies.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG GW&K Small Cap Core Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


Sector	AMG GW&K Small Cap Core Fund**			Russell 2000^® Index
Financials		22.3	%		25.6	%
Information Technology		18.0	%		18.0	%
Industrials		16.4	%		12.1	%
Health Care		15.4	%		16.5	%
Consumer Discretionary		13.8	%		13.5	%
Materials		4.7	%		3.6	%
Utilities		2.7	%		3.7	%
Energy		2.7	%		2.8	%
Consumer Staples		1.3	%		3.4	%
Telecommunication Services		0.0	%		0.8	%
Other Assets and Liabilities		2.7	%		0.0	%

**	As a percentage of net assets.

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
MarketAxess Holdings, Inc.*		2.7	%
Tyler Technologies, Inc.*		2.5
West Pharmaceutical Services, Inc.*		2.3
Grand Canyon Education, Inc.*		2.1
Texas Roadhouse, Inc.*		2.1
ICU Medical, Inc.		2.0
Blackbaud, Inc.		1.9
FEI Co.*		1.9
NorthWestern Corp.		1.8
Lithia Motors, Inc., Class A*		1.8

Top Ten as a Group		21.1	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG GW&K Small Cap Core Fund

Schedule of Portfolio Investments

December 31, 2015


	Shares		Value
Common Stocks—97.3%
Consumer Discretionary—13.8%
CalAtlantic Group, Inc.		145,747	$	5,526,726
Five Below, Inc.^*,2		132,530		4,254,213
Grand Canyon Education, Inc.^*		200,055		8,026,207
Hibbett Sports, Inc.^*,2		102,800		3,108,672
Lithia Motors, Inc., Class A		64,245		6,853,014
Monro Muffler Brake, Inc.		47,425		3,140,483
Oxford Industries, Inc.		67,779		4,325,656
Pier 1 Imports, Inc.²		183,650		934,778
Texas Roadhouse, Inc.		220,960		7,903,739
Tumi Holdings, Inc.^*		234,781		3,904,408
Tupperware Brands Corp.²		68,872		3,832,727
Total Consumer Discretionary				51,810,623
Consumer Staples—1.3%
WD-40 Co.		47,596		4,695,345
Energy—2.7%
Dril-Quip, Inc.^*		56,056		3,320,197
Forum Energy Technologies, Inc.^*,2		194,049		2,417,851
Matador Resources Co.^*,2		218,448		4,318,717
Total Energy				10,056,765
Financials—22.3%
American Campus Communities, Inc.		106,215		4,390,928
AMERISAFE, Inc.		85,751		4,364,726
Cathay General Bancorp		159,020		4,982,097
Cohen & Steers, Inc.		131,655		4,012,844
Education Realty Trust, Inc.		151,597		5,742,494
Glacier Bancorp, Inc.		225,890		5,992,862
Iberiabank Corp.		63,087		3,474,201
MarketAxess Holdings, Inc.		89,061		9,938,317
National Health Investors, Inc.		75,485		4,594,772
Pebblebrook Hotel Trust		116,073		3,252,365
PRA Group, Inc.^*		120,579		4,182,886
ProAssurance Corp.		102,880		4,992,766
STAG Industrial, Inc.		219,105		4,042,487
Stifel Financial Corp.^*		127,340		5,394,122
Sun Communities, Inc.		75,300		5,160,309
Texas Capital Bancshares, Inc.^*		101,785		5,030,215


	Shares		Value
Webster Financial Corp.		113,310	$	4,213,999
Total Financials				83,762,390
Health Care—15.4%
Air Methods Corp.^*		79,920		3,351,046
Analogic Corp.		49,224		4,065,902
Cantel Medical Corp.		75,702		4,704,122
Catalent, Inc.^*		179,934		4,503,748
Diplomat Pharmacy, Inc.^*,2		142,349		4,871,183
Globus Medical, Inc., Class A^*		216,501		6,023,058
ICU Medical, Inc.^*		65,225		7,356,075
Medidata Solutions, Inc.^*		108,595		5,352,648
Team Health Holdings, Inc.^*		101,831		4,469,363
West Pharmaceutical Services, Inc.		143,960		8,669,271
Wright Medical Group, Inc^*		185,440		4,483,939
Total Health Care				57,850,355
Industrials—16.4%
CEB, Inc.		89,477		5,492,993
CLARCOR, Inc.		95,004		4,719,799
Healthcare Services Group, Inc.		155,625		5,426,644
Heartland Express, Inc.²		277,240		4,718,625
HEICO Corp.		76,296		4,147,451
HEICO Corp., Class A		27,799		1,367,711
Mobile Mini, Inc.		114,470		3,563,451
Primoris Services Corp.		209,127		4,607,068
Proto Labs, Inc.^*,2		70,533		4,492,247
RBC Bearings, Inc.^*		57,042		3,684,343
Ritchie Bros. Auctioneers, Inc.²		208,361		5,023,584
The Toro Co.		88,293		6,451,570
Universal Forest Products, Inc.		71,680		4,900,762
US Ecology, Inc.		77,385		2,819,909
Total Industrials				61,416,157
Information Technology—18.0%
Aspen Technology, Inc.^*		99,260		3,748,058
Blackbaud, Inc.		107,733		7,095,295
Cardtronics, Inc.^*		101,845		3,427,084
Cavium, Inc.^*		89,885		5,906,343
Cognex Corp.		171,270		5,783,788
EPAM Systems, Inc.^*		72,775		5,721,570

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

AMG GW&K Small Cap Core Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Information Technology—18.0% (continued)
FEI Co.		88,569	$	7,066,920
LogMeln, Inc.^*		81,281		5,453,955
Power Integrations, Inc.		99,733		4,850,016
Rofin-Sinar Technologies, Inc.^*		101,782		2,725,722
SciQuest, Inc.^*		153,250		1,987,652
Solera Holdings, Inc.		76,066		4,170,699
Tyler Technologies, Inc.^*		54,331		9,470,980
Total Information Technology				67,408,082
Materials—4.7%
Balchem Corp.		66,285		4,030,128
Compass Minerals International, Inc.		44,154		3,323,472
Flotek Industries, Inc.^*,2		190,837		2,183,175
KapStone Paper and Packaging Corp.		175,040		3,954,154
Silgan Holdings, Inc.		73,308		3,938,106
Total Materials				17,429,035
Utilities—2.7%
Cleco Corp.		64,250		3,354,492
NorthWestern Corp.		127,312		6,906,676
Total Utilities				10,261,168
Total Common Stocks (cost $332,284,174)				364,689,920

	Principal Amount
Short-Term Investments—7.7%
Repurchase Agreements—5.4%⁴
BNP Paribas Securities Corp., dated 12/31/15,due 01/04/16, 0.300%, total to be received $4,809,384 (collateralized by various U.S. Government Agency Obligations, 0.000%—5.500%, 06/06/16—05/04/37, totaling $4,905,408)	$	4,809,224		4,809,224


	Principal Amount		Value
Cantor Fitzgerald Securities, Inc., dated 12/31/15, due 01/04/16, 0.340%, total to be received $4,809,406 (collateralized by various U.S. Government Obligations, 0.000%—10.500%, 01/15/16—09/01/49, totaling $4,905,409)	$	4,809,224	$	4,809,224
Daiwa Capital Markets America, dated 12/31/15, due 01/04/16, 0.350%, total to be received $4,809,411 (collateralized by various U.S. Government Agency Obligations, 0.000%—7.500%, 01/21/16—02/01/49, totaling $4,905,409)		4,809,224		4,809,224
Nomura Securities International, Inc., dated 12/31/15, due 01/04/16, 0.330%, total to be received $3,842,782 (collateralized by various U.S. Government Agency Obligations, 0.000%—10.500%, 01/15/16—12/20/65, totaling $3,919,494)		3,842,641		3,842,641
State of Wisconsin Investment Board, dated 12/31/15, due 01/04/16, 0.410%, total to be received $1,978,954 (collateralized by various U.S. Government Agency Obligations, 0.125%—2.500%, 01/15/17—02/15/42, totaling $2,019,895)		1,978,864		1,978,864
Total Repurchase Agreements				20,249,177

	Shares
Other Investment Companies—2.3%⁵
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.26%		8,698,017		8,698,017
Total Short-Term Investments (cost $28,947,194)				28,947,194
Total Investments—105.0% (cost $361,231,368)				393,637,114
Other Assets, less Liabilities—(5.0)%				(18,825,845	)
Net Assets—100.0%			$	374,811,269

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

AMG GW&K Small Cap Growth Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the six month period ended December 31, 2015, the AMG GW&K Small Cap Growth Fund (Institutional Class) (the “Fund”) returned (10.60)%, underperforming the Russell 2000^® Growth Index, which returned (9.31)%.

It is hard to determine what Americans wasted more time contemplating in 2015: 1) the potential improper inflation of footballs, 2) the presidential prospects of Donald Trump, or 3) whether the U.S. Federal Reserve (the Fed) would raise the fed funds rate target. While the final outcomes for items one and two have amazingly still not been resolved, we can at least stop debating whether the Fed will begin normalizing monetary policy. The investment community’s hyper-focus on the Fed and potential liftoff had a widespread impact on the results of many asset classes. Treasury rates in general climbed during 2015, as did the U.S. Dollar (USD). Commodities dropped and financial conditions tightened a bit in asset classes like Emerging Markets and U.S. High Yield. Of course, the potential for a higher U.S. fed funds rate wasn’t the only thing responsible for all the asset class results referenced here; however, the persistent focus on it in the investment world certainly played a factor. This constriction was also felt in the U.S. small-cap market, as evidenced by the disappointing (9.31)% return from the Russell 2000^® Growth Index for the year. The fourth-quarter performance helped to reduce the damage somewhat, with a 4.32% increase. During the course of the calendar year, small caps experienced lower sales and earnings growth than previously expected. Top- and bottom-line growth was closer to low-single-digit growth instead of high-single-digit or low-double-digit expectations to start the year. While growth in the U.S. was slow and steady in many sectors, companies with exposure to export markets (higher USD, slower demand growth) and commodity prices or energy infrastructure saw much greater sales and earnings pressure. This left small-cap investors looking for a place to hide, generating narrow stock market performance and some periods of high volatility. Volatility spiked in late summer, as investors questioned some of the more crowded investment theses. We will get more into what 2016 might hold for U.S. small-cap investors in the conclusion but, unfortunately, like the inflation

of footballs and hot air coming from Donald Trump, we don’t see an immediate and clean ending to the story line over the next few months.

To help explain how the year progressed for U.S. small-cap investors, it might be best to start with the sector that created some of the biggest headlines: health care. In particular, the biotech and pharmaceutical industries have led the market for several years now. Biopharma as a group is somewhat sheltered to all the earnings bogeymen we worried about in 2015. They are nearly completely uncorrelated with currency strength or weakness in Emerging Markets or commodities. In fact, the vast majority of these stocks in the U.S. small-cap universe have no earnings and no prospect for earnings over the next several years. Combine this with a more accommodative FDA, Obamacare, a good pricing backdrop and a strong funding environment (aided by low rates), and investors became very enamored with these stocks and their long-term potential. Biotech on its own (at +6% of the benchmark) accounted for over one-third of the Index performance in the first half of the year. In the third quarter, this narrow momentum group collapsed over 23%, driven lower by political rhetoric concerning drug inflation, the woes of Valeant and the weight of the group’s vertical ascension. The biopharma space rebounded in the fourth quarter somewhat to finish the year ahead of the benchmark once again, but it is fair to say the cracks in the foundation are now visible. We expect more volatility and weakness in the group, particularly the more speculative names, as we progress through 2016.

have thus far been early in this prediction. On the negative side of sector Russell 2000^® Growth Index performance, energy continued to be a falling knife, losing (39.3)% for the year. The forces of supply (excessive) and demand (anemic) continued to pressure prices of both oil and natural gas, although this price mechanism will eventually correct matters. We think we will see a change in perception in these markets in 2016, with greater price stability a result. Price weakness also manifested itself in the consumer discretionary, industrials and materials sectors in 2015, although the first two groups acted a bit better in the quarter. Looking at small-cap index style factors, investors clearly flirted with lower-quality stocks in the quarter, although higher-quality stocks outperformed over the full year. A mirror image of the performance of the biopharma group, high-quality stocks were only in favor in the third quarter, but the powerful impact in this quarter outweighed the other three quarters, combined.

The Fund launched midway through the year on June 30, 2015. During the last six months of the year, the Fund underperformed the benchmark, primarily driven by holdings within the consumer staples and financials sectors. In financials, our stock selection in the bank, capital markets and REITs industries was subpar. Fortunately, this was partially made up for by a great performer among the diversified financial services industry within the Fund. Overall, this is a sector we look to improve upon in 2016. Performance lagged later in the year, when low quality outperformed its higher quality counterparts.

The year began with expectations for an improving domestic macro-economic environment and small-cap earnings growth in the high single-digit neighborhood. While we didn’t see a lot of potential for valuation improvement, we thought multiples were reasonable given the interest rate, inflation and earnings backdrop. We also laughed upon hearing of a potential Trump presidential run, assuming it was either a publicity stunt or would end in a dramatic flameout. The New England Patriots football deflation story also sounded rather absurd and we assumed it would end within a news cycle. So our record last year was far from perfect, to say the least. This year, we are

AMG GW&K Small Cap Growth Fund

Portfolio Manager’s Comments (continued)

assuming mid-single-digit earnings growth as some of the USD strength cycles through and commodity-oriented sectors improve somewhat, especially in the second half of the year. Employment growth in the U.S. remains very good and our belief is that the consumer is healthy and the pace of household formation is improving. The negatives to watch include some weak signals within the transport markets, the growth path for China and other emerging economies and how capital markets respond to the likely continuation of Fed policy actions. We will hopefully utilize these opportunities as they materialize, and reposition the Fund to maximize the three-to-five-year capital appreciation potential. While we may be early in our analysis- see Trump and the footballs-we believe our long-term, disciplined approach will deliver good relative performance.

This commentary reflects the viewpoints of GW&K Investment Management, LLC as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

AMG GW&K Small Cap Growth Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Small Cap Growth Fund’s cumulative total return is based on the daily change in net asset value (NAV) and assumes that all dividends and distributions were reinvested. The chart compares a hypothetical $10,000 investment made in AMG GW&K Small Cap Growth Fund—Institutional Class on June 30, 2015, to a $10,000 investment made in the Russell 2000^® Growth Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Small Cap Growth Fund and the Russell 2000^® Growth Index for the same time periods ended December 31, 2015.


	Since			Inception
Average Annual Total Returns¹	Inception			Date
AMG GW&K Small Cap Growth Fund ^2,3,4
Institutional Class		(10.60	)%		6/30/15
Russell 2000^® Growth Index⁵		(9.31	)%		6/30/15	^†

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

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	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.

⁴	The Fund invests in growth stocks, which may be more sensitive to market movements because their prices tend to reflect future investor expectations rather than just current profits. Growth stocks may underperform value stocks during any given period.

⁵	The Russell 2000^® Growth Index measures the performance of the Russell 2,000 companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 2000^® Growth Index is unmanaged, is not available for investment and does not incur expenses.

The Russell Indices are trademarks of the London Stock Exchange Group companies.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG GW&K Small Cap Growth Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


	AMG GW&K Small			Russell 2000^®
Sector	Cap Growth Fund**			Growth Index
Health Care		27.1	%		28.2	%
Information Technology		24.6	%		25.0	%
Consumer Discretionary		15.0	%		16.7	%
Industrials		14.2	%		12.6	%
Financials		10.8	%		7.8	%
Materials		3.6	%		4.1	%
Consumer Staples		2.6	%		3.5	%
Energy		1.1	%		1.2	%
Utilities		0.0	%		0.1	%
Telecommunication Services		0.0	%		0.8	%
Other Assets and Liabilities		1.0	%		0.0	%

**	As a percentage of net assets.

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
Grand Canyon Education, Inc.		2.6	%
MarketAxess Holdings, Inc.		2.4
EPAM Systems, Inc.		2.1
Tyler Technologies, Inc.		2.0
Pool Corp.		1.9
Power Integrations, Inc.		1.9
Align Technology, Inc.		1.9
Medidata Solutions, Inc.		1.8
Balchem Corp.		1.8
Exponent, Inc.		1.7

Top Ten as a Group		20.1	%

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.

AMG GW&K Small Cap Growth Fund

Schedule of Portfolio Investments

December 31, 2015


	Shares		Value
Common Stocks—99.0%
Consumer Discretionary—15.0%
BJ’s Restaurants, Inc.^*		395	$	17,171
Build-A-Bear Workshop, Inc.^*		980		11,995
Burlington Stores, Inc.^*		400		17,160
Chuy’s Holdings, Inc.^*		515		16,140
Five Below, Inc.^*		615		19,741
Grand Canyon Education, Inc.^*		760		30,491
Hibbett Sports, Inc.^*		315		9,526
Oxford Industries, Inc.		245		15,636
Pool Corp.		275		22,214
Tumi Holdings, Inc.^*		580		9,645
Vitamin Shoppe, Inc.^*		170		5,559
Total Consumer Discretionary				175,278
Consumer Staples—2.6%
PriceSmart, Inc.		200		16,598
Smart & Final Stores, Inc.^*		760		13,840
Total Consumer Staples				30,438
Energy—1.1%
Matador Resources Co.^*,2		645		12,752
Financials—10.8%
Encore Capital Group, Inc.^*,2		460		13,377
Greenhill & Co., Inc.		220		6,294
Heritage Insurance Holdings, Inc.		580		12,656
MarketAxess Holdings, Inc.		250		27,898
PrivateBancorp, Inc.		435		17,844
STAG Industrial, Inc.		795		14,668
Stifel Financial Corp.^*		245		10,378
Sun Communities, Inc.		185		12,678
Texas Capital Bancshares, Inc.^*		220		10,872
Total Financials				126,665
Health Care—27.1%
ABIOMED, Inc.^*		205		18,507
Acadia Healthcare Co., Inc.^*		300		18,738
Air Methods Corp.^*		375		15,724
Align Technology, Inc.^*		330		21,730
Amicus Therapeutics, Inc.^*,2		1,860		18,042
Bruker Corp.^*		505		12,256
Catalent, Inc.^*		510		12,765
DBV Technologies, S.A.^*		345		12,527
Dynavax Technologies Corp.^*		635		15,342


	Shares		Value
Emergent BioSolutions, Inc.^*		440	$	17,604
Endologix, Inc.^*,2		825		8,167
Globus Medical, Inc., Class A^*		730		20,309
ICU Medical, Inc.^*		140		15,789
Impax Laboratories, Inc.^*		380		16,249
Inotek Pharmaceuticals Corp.^*		1,445		16,372
Medidata Solutions, Inc.^*		440		21,688
Retrophin, Inc.^*		380		7,330
Team Health Holdings, Inc.^*		320		14,045
West Pharmaceutical Services, Inc.		260		15,657
Wright Medical Group N.V.^*		795		19,223
Total Health Care				318,064
Industrials—14.2%
CEB, Inc.		250		15,347
Exponent, Inc.		410		20,479
The Gorman-Rupp Co.		330		8,821
Graco, Inc.		205		14,774
HEICO Corp.		330		17,939
Knight Transportation, Inc.		400		9,692
Mobile Mini, Inc.		320		9,962
Proto Labs, Inc.^*		285		18,152
Ritchie Bros. Auctioneers, Inc.		830		20,011
Thermon Group Holdings, Inc.^*		365		6,176
WageWorks, Inc.^*		275		12,477
Woodward, Inc.		265		13,160
Total Industrials				166,990
Information Technology—24.6%
Blackbaud, Inc.		285		18,770
Bottomline Technologies, Inc.^*		425		12,635
Cabot Microelectronics Corp.^*		220		9,632
Cardtronics, Inc.^*		320		10,768
Cavium, Inc.^*		245		16,099
Cognex Corp.		605		20,431
comScore, Inc.^*,2		420		17,283
Electronics For Imaging, Inc.^*		245		11,451
EPAM Systems, Inc.^*		310		24,372
FEI Co.		215		17,155
Forrester Research, Inc.		495		14,098
Infoblox, Inc.^*		650		11,953
Interactive Intelligence Group, Inc.^*		330		10,369
IntraLinks Holdings, Inc.^*		695		6,304

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

AMG GW&K Small Cap Growth Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Information Technology—24.6% (continued)
LogMeln, Inc.^*		260	$	17,446
Power Integrations, Inc.		455		22,127
Super Micro Computer, Inc.^*		380		9,314
Tyler Technologies, Inc.^*		135		23,533
VeriFone Systems, Inc.^*		545		15,271
Total Information Technology				289,011
Materials—3.6%
Balchem Corp.		355		21,584
Flotek Industries, Inc.^*,2		660		7,550
KapStone Paper and Packaging Corp.		580		13,102
Total Materials				42,236
Total Common Stocks (cost $1,182,141)				1,161,434


	Principal Amount		Value
Short-Term Investments—7.8%
Repurchase Agreements—4.9%⁴
Royal Bank of Scotland PLC, dated 12/31/15,due 01/04/16, 0.300%, total to be received $57,237 (collateralized by various U.S. Government Agency Obligations, 0.074% — 3.250%, 07/31/16—11/15/23, totaling $58,380)	$	57,235	$	57,235

	Shares
Other Investment Companies—2.9%⁵
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.26%		34,745		34,745
Total Short-Term Investments (cost $91,980)				91,980
Total Investments—106.8% (cost $1,274,121)				1,253,414
Other Assets, less Liabilities—(6.8)%				(80,263	)
Net Assets—100.0%			$	1,173,151

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

Notes to Schedules of Portfolio Investments

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

At December 31, 2015, the approximate cost of investments for federal income tax purposes and the aggregate gross unrealized appreciation and depreciation based on tax cost were:


Fund	Cost		Appreciation		Depreciation			Net
AMG GW&K Enhanced Core Bond Fund	$	86,699,492	$	930,213	$	(932,389	)	$	(2,176	)
AMG GW&K Municipal Bond Fund		800,482,570		16,283,277		(151,167	)		16,132,110
AMG GW&K Municipal Enhanced Yield Fund		222,393,989		8,657,493		(337,990	)		8,319,503
AMG GW&K Small Cap Core Fund		361,282,419		60,230,525		(27,875,830	)		32,354,695
AMG GW&K Small Cap Growth Fund		1,299,715		48,463		(94,764	)		(46,301	)

^*	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 December 31, 2015, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	507,500		0.6	%

¹	Variable Rate Security. The rate listed is as of December 31, 2015, and is periodically reset subject to terms and conditions set forth in the debenture.

²	Some or all of these shares or principal amount were out on loan to various brokers as of December 31, 2015, amounting to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	1,325,009		1.5	%
AMG GW&K Small Cap Core Fund		19,402,890		5.2	%
AMG GW&K Small Cap Growth Fund		55,118		4.7	%

³	Securities in the portfolio backed by insurance of financial institutions and financial guaranty assurance agencies. At December 31, 2015, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	879,902		1.0	%
AMG GW&K Municipal Bond Fund		7,341,375		0.9	%

⁴	Collateral received from brokers for securities lending was invested in these joint repurchase agreements.

⁵	Yield shown represents the December 31, 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 December 31, 2015, amounted to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Municipal Bond Fund	$	18,751,709		2.3	%

⁷	Some or all of these securities are segregated as collateral for delayed delivery transactions. At December 31, 2015, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Municipal Bond Fund	$	18,751,709		2.3	%

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

Notes to Schedules of Portfolio Investments (continued)

The following tables summarize the inputs used to value the Funds’ investments by the fair value hierarchy levels as of December 31, 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^†		—	$	39,230,305		—	$	39,230,305
Municipal Bonds^††		—		5,724,688		—		5,724,688
U.S. Government and Agency Obligations^†		—		36,660,784		—		36,660,784
Short-Term Investments
Repurchase Agreements		—		1,376,580		—		1,376,580
Other Investment Companies	$	3,704,959		—		—		3,704,959

Total Investments in Securities	$	3,704,959	$	82,992,357		—	$	86,697,316


	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^††		—	$	789,252,974		—	$	789,252,974
Other Investment Companies	$	27,361,706		—		—		27,361,706

Total Investments in Securities	$	27,361,706	$	789,252,974		—	$	816,614,680


	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^††		—	$	230,164,455		—	$	230,164,455
Other Investment Companies	$	549,037		—		—		549,037
	��
Total Investments in Securities	$	549,037	$	230,164,455		—	$	230,713,492

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

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^†††	$	364,689,920		—		—	$	364,689,920
Short-Term Investments
Repurchase Agreements		—	$	20,249,177		—		20,249,177
Other Investment Companies		8,698,017		—		—		8,698,017

Total Investments in Securities	$	373,387,937	$	20,249,177		—	$	393,637,114


	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 Growth Fund
Investments in Securities
Common Stocks^†††	$	1,161,434		—		—	$	1,161,434
Short-Term Investments
Repurchase Agreements		—	$	57,235		—		57,235
Other Investment Companies		34,745		—		—		34,745

Total Investments in Securities	$	1,196,179	$	57,235		—	$	1,253,414

^†

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 Funds’ Schedule of Portfolio Investments.

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

As of December 31, 2015, the Funds had no transfers between levels from the beginning of the reporting period.


INVESTMENTS DEFINITIONS AND ABBREVIATIONS:

COPS:		Certificates of Participation
FHLB:		Federal Home Loan Bank
FHLMC:		Federal Home Loan Mortgage Corporation
FNMA:		Federal National Mortgage Association
GMTN:		Global Medium-Term Notes
MTN:		Medium-Term Notes
National Insured:		National Public Finance Guarantee Corp.

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

Statement of Assets and Liabilities

December 31, 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		AMG GW&K Small Cap Growth Fund
Assets:
Investments at value* (including securities on loan valued at $1,325,009, $0, $0, $19,402,890 and $55,118, respectively)	$	86,697,316	$	816,614,680	$	230,713,492	$	393,637,114	$	1,253,414
Receivable for investments sold		—		—		53,855		1,819,405		9,505
Receivable from affiliate for interfund lending		—		—		—		2,796,955		—
Receivable for Fund shares sold		56,898		8,315,377		646,714		678,989		—
Dividends, interest and other receivables		903,897		9,095,723		2,456,573		474,263		466
Receivable from affiliate		21,874		241,093		40,552		46,048		7,736
Prepaid expenses		22,864		19,128		19,829		16,578		1,092
Total assets		87,702,849		834,286,001		233,931,015		399,469,352		1,272,213
Liabilities:
Payable upon return of securities loaned		1,376,580		—		—		20,249,177		57,235
Payable for investments purchased		—		—		—		2,908,344		3,554
Payable for delayed delivery investments purchased		—		18,552,104		—		—		—
Payable for Fund shares repurchased		107,399		3,398,068		134,119		1,110,183		—
Payable to Affiliate		—		—		—		—		12,623
Accrued expenses:
Investment advisory and management fees		33,208		237,076		98,384		242,222		755
Administrative fees		14,759		169,340		49,192		80,741		252
Shareholder service fees—Investor Class		—		4,087		1,109		—		—
Shareholder service fees—Service Class		1,282		17,300		—		—		—
Distribution fees—Investor Class		4,365		5,688		1,042		7,765		—
Distribution fees—Class C		9,533		—		—		—		—
Professional Fees		42,955		43,287		35,357		28,076		19,431
Trustees fees and expenses		60		463		173		260		6
Other		14,406		53,055		18,915		31,315		5,206
Total liabilities		1,604,547		22,480,468		338,291		24,658,083		99,062
Net Assets	$	86,098,302	$	811,805,533	$	233,592,724	$	374,811,269	$	1,173,151
* Investments at cost	$	86,699,492	$	800,482,570	$	222,168,790	$	361,231,368	$	1,274,121

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

Statement of Assets and Liabilities


	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		AMG GW&K Small Cap Growth Fund
Net Assets Represent:
Paid-in capital	$	91,528,228		$	791,751,669	$	224,150,278	$	340,095,788	$	1,219,081
Undistributed net investment income		—			—		253		—		—
Accumulated net realized gain (loss) from investments		(5,427,750	)		3,921,754		897,491		2,309,735		(25,223	)
Net unrealized appreciation (depreciation) of investments		(2,176	)		16,132,110		8,544,702		32,405,746		(20,707	)
Net Assets	$	86,098,302		$	811,805,533	$	233,592,724	$	374,811,269	$	1,173,151
Investor Class:
Net Assets	$	20,203,009		$	27,361,832	$	5,499,772	$	35,691,178		n/a
Shares outstanding		2,108,208			2,338,015		545,762		1,637,066		n/a
Net asset value, offering and redemption price per share	$	9.58		$	11.70	$	10.08	$	21.80		n/a
Service Class:
Net Assets	$	7,462,654		$	128,683,897	$	16,035,829	$	36,738,620		n/a
Shares outstanding		775,880			10,970,346		1,590,067		1,671,886		n/a
Net asset value, offering and redemption price per share	$	9.62		$	11.73	$	10.09	$	21.97		n/a
Class C Shares:
Net Assets	$	11,030,833			n/a		n/a		n/a		n/a
Shares outstanding		1,152,956			n/a		n/a		n/a		n/a
Net asset value, offering and redemption price per share	$	9.57			n/a		n/a		n/a		n/a
Institutional Class:
Net Assets	$	47,401,806		$	655,759,804	$	212,057,123	$	302,381,471	$	1,173,151
Shares outstanding		4,930,909			55,723,973		21,064,706		13,720,411		131,146
Net asset value, offering and redemption price per share	$	9.61		$	11.77	$	10.07	$	22.04	$	8.95

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

Statement of Operations

For the year ended December 31, 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			AMG GW&K Small Cap Growth Fund^*
Investment Income:
Interest income	$	3,313,475		$	14,530,825		$	9,492,469		$	231			—
Dividend income		2,494			2,331			562			4,188,022	¹	$	2,599
Securities lending income		6,169			—			—			51,801			44
Foreign withholding tax		—			—			—			(18,581	)		(44	)
Total investment income		3,322,138			14,533,156			9,493,031			4,221,473			2,599
Expenses:
Investment advisory and management fees		404,389			2,418,498			1,169,998			2,832,778			3,466
Administrative fees		179,729			1,727,497			584,999			944,260			1,155
Distribution fees—Investor Class		65,755			61,116			11,870			93,191			—
Distribution fees—Class C		133,713			—			—			—			—
Shareholder servicing fees—Investor Class		—			55,623			8,539			57,466			—
Shareholder servicing fees—Service Class		2,986			186,521			11,524			49,167			—
Professional fees		55,564			84,615			51,204			52,083			21,671
Registration fees		53,318			63,914			48,563			46,516			12,715
Custodian		18,513			64,191			25,996			23,593			4,400
Reports to shareholders		9,953			31,094			5,290			47,058			9,032
Transfer agent		8,157			33,981			9,520			17,733			147
Trustees fees and expenses		5,140			39,518			14,354			22,541			22
Miscellaneous		3,835			9,902			5,780			7,571			306
Total expenses before offsets		941,052			4,776,470			1,947,637			4,193,957			52,914
Fee waivers		—			—			(211,783	)		—			—
Expense reimbursements		(208,328	)		(2,123,295	)		(205,861	)		(405,914	)		(48,523	)
Expense reductions		—			—			—			(170	)		—
Net expenses		732,724			2,653,175			1,529,993			3,787,873			4,391
Net investment income (loss)		2,589,414			11,879,981			7,963,038			433,600			(1,792	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		(5,132,363	)		12,154,764			4,973,058			13,481,106			(23,431	)
Net change in unrealized appreciation (depreciation) of investments		(631,280	)		3,671,047			(3,739,962	)		(24,005,209	)		(20,707	)
Net realized and unrealized gain (loss)		(5,763,643	)		15,825,811			1,233,096			(10,524,103	)		(44,138	)
Net increase (decrease) in net assets resulting from operations	$	(3,174,229	)	$	27,705,792		$	9,196,134		$	(10,090,503	)	$	(45,930	)

^*	Commencement of operations was on June 30, 2015.

¹	Includes non-recurring dividends of $490,133.

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

Statements of Changes in Net Assets

For the years ended December 31,


	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	$	2,589,414		$	2,507,510		$	11,879,981		$	7,875,121
Net realized gain (loss) on investments		(5,132,363	)		87,523			12,154,764			3,462,649
Net change in unrealized appreciation (depreciation) of investments		(631,280	)		2,660,589			3,671,047			16,538,759
Net increase (decrease) in net assets resulting from operations		(3,174,229	)		5,255,622			27,705,792			27,876,529
Distributions to Shareholders:
From net investment income:
Investor Class		(757,792	)		(769,523	)		(307,554	)		(432,266	)
Service Class		(121,235	)		(57,198	)		(1,760,792	)		(1,339,974	)
Class C		(284,731	)		(381,610	)		—			—
Institutional Class		(1,459,487	)		(1,330,077	)		(9,837,254	)		(6,154,942	)
From net realized gain on investments:
Investor Class		—			—			(345,596	)		(79,952	)
Service Class		—			—			(1,606,917	)		(330,497	)
Class C		—			—			—			—
Institutional Class		—			—			(8,166,806	)		(1,316,968	)
Total distributions to shareholders		(2,623,245	)		(2,538,408	)		(22,024,919	)		(9,654,599	)
Capital Share Transactions:¹
Net increase (decrease) from capital share transactions		4,076,345			(28,444,315	)		290,819,321			210,693,581
Total increase (decrease) in net assets		(1,721,129	)		(25,727,101	)		296,500,194			228,915,511
Net Assets:
Beginning of year		87,819,431			113,546,532			515,305,339			286,389,828
End of year	$	86,098,302		$	87,819,431		$	811,805,533		$	515,305,339
End of year undistributed net investment income		—		$	21,912			—			—

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

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

Statements of Changes in Net Assets (continued)

For the periods ended December 31,


	AMG GW&K Municipal Enhanced Yield Fund						AMG GW&K Small Cap Core Fund						AMG GW&K Small Cap Growth Fund^*
	2015			2014			2015			2014			2015
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income (loss)	$	7,963,038		$	9,127,984		$	433,600		$	614,594		$	(1,792	)
Net realized gain (loss) on investments		4,973,058			3,771,712			13,481,106			22,646,725			(23,431	)
Net change in unrealized appreciation (depreciation) of investments		(3,739,962	)		25,123,728			(24,005,209	)		(14,926,183	)		(20,707	)
Net increase (decrease) in net assets resulting from operations		9,196,134			38,023,424			(10,090,503	)		8,335,136			(45,930	)
Distributions to Shareholders:
From net investment income:
Investor Class		(139,414	)		(345,685	)		—			—			—
Service Class		(562,790	)		(377,198	)		(33,789	)		(20,176	)		—
Institutional Class		(7,264,910	)		(8,402,809	)		(710,270	)		(460,718	)		—
From net realized gain on investments:
Investor Class		(71,420	)		—			(1,421,265	)		(2,104,505	)		—
Service Class		(208,173	)		—			(1,479,651	)		(2,494,630	)		—
Institutional Class		(2,744,562	)		—			(12,008,340	)		(15,829,282	)		—
Total distributions to shareholders		(10,991,269	)		(9,125,692	)		(15,653,315	)		(20,909,311	)		—
Capital Share Transactions:¹
Net increase (decrease) from capital share transactions		(15,159,353	)		7,236,539			26,453,362			111,993,583			1,219,081
Total increase (decrease) in net assets		(16,954,488	)		36,134,271			709,544			99,419,408			1,173,151
Net Assets:
Beginning of period		250,547,212			214,412,941			374,101,725			274,682,317			—
End of period	$	233,592,724		$	250,547,212		$	374,811,269		$	374,101,725		$	1,173,151
End of period undistributed net investment income	$	253		$	4,329			—		$	10,337			—

^*	Commencement of operations was on June 30, 2015.

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

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

AMG GW&K Enhanced Core Bond Fund

Financial Highlights

For a share outstanding throughout each period


	For the years ended December 31,
Investor Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	10.22		$	9.96		$	11.24		$	10.81		$	11.00
Income from Investment Operations:
Net investment income^1,2		0.29			0.29			0.24			0.44			0.46
Net realized and unrealized gain (loss) on investments		(0.64	)		0.26			(0.21	)		0.58			0.03
Total from investment operations		(0.35	)		0.55			0.03			1.02			0.49
Less Distributions to Shareholders from:
Net investment income		(0.29	)		(0.29	)		(0.26	)		(0.48	)		(0.51	)
Net realized gain on investments		—			—			(1.05	)		(0.11	)		(0.17	)
Total distributions to shareholders		(0.29	)		(0.29	)		(1.31	)		(0.59	)		(0.68	)
Net Asset Value, End of Year	$	9.58		$	10.22		$	9.96		$	11.24		$	10.81
Total Return²		(3.51	)%⁶		5.58	%		0.29	%		9.53	%		4.53	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.84	%		0.84	%		0.86	%⁴		0.84	%⁵		0.84	%
Ratio of expenses to average net assets (with offsets)		0.84	%		0.84	%		0.86	%⁴		0.84	%⁵		0.84	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.07	%		1.09	%		1.08	%⁴		1.04	%⁵		1.05	%
Ratio of net investment income to average net assets²		2.87	%		2.82	%		2.14	%⁴		3.92	%⁵		4.18	%
Portfolio turnover		57	%		22	%		43	%		110	%		28	%
Net assets at end of year (000’s omitted)	$	20,203		$	27,444		$	32,009		$	41,772		$	35,647


	For the years ended December 31,									For the period from December 1, 2012 through
Service Class	2015			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 income^1,2		0.30			0.31			0.26			0.02
Net realized and unrealized gain (loss) on investments		(0.63	)		0.27			(0.22	)		0.01
Total from investment operations		(0.33	)		0.58			0.04			0.03
Less Distributions to Shareholders from:
Net investment income		(0.31	)		(0.31	)		(0.28	)		(0.05	)
Net realized gain on investments		—			—			(1.05	)		(0.11	)
Total distributions to shareholders		(0.31	)		(0.31	)		(1.33	)		(0.16	)
Net Asset Value, End of Period	$	9.62		$	10.26		$	9.99		$	11.28
Total Return²		(3.30	)%		5.84	%		0.41	%		0.26	%¹⁷
Ratio of net expenses to average net assets (with offsets/reductions)		0.67	%		0.65	%		0.69	%⁴		0.64	%^5,18
Ratio of expenses to average net assets (with offsets)		0.67	%		0.65	%		0.69	%⁴		0.64	%^5,18
Ratio of total expenses to average net assets (without offsets/reductions)³		0.90	%		0.90	%		0.91	%⁴		0.90	%^5,18
Ratio of net investment income to average net assets²		2.96	%		3.00	%		2.31	%⁴		2.07	%^5,18
Portfolio turnover		57	%		22	%		43	%		110	%
Net assets at end of period (000’s omitted)	$	7,463		$	2,480		$	1,563		$	10

AMG GW&K Enhanced Core Bond Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class C	2015			2014			2013			2012^††			2011
Net Asset Value, Beginning of Year	$	10.20		$	9.94		$	11.22		$	10.79		$	10.98
Income from Investment Operations:
Net investment income^1,2		0.21			0.21			0.15			0.36			0.38
Net realized and unrealized gain (loss) on investments		(0.63	)		0.26			(0.20	)		0.57			0.02
Total from investment operations		(0.42	)		0.47			(0.05	)		0.93			0.40
Less Distributions to Shareholders from:
Net investment income		(0.21	)		(0.21	)		(0.18	)		(0.39	)		(0.42	)
Net realized gain on investments		—			—			(1.05	)		(0.11	)		(0.17	)
Total distributions to shareholders		(0.21	)		(0.21	)		(1.23	)		(0.50	)		(0.59	)
Net Asset Value, End of Year	$	9.57		$	10.20		$	9.94		$	11.22		$	10.79
Total Return²		(4.15	)%⁶		4.79	%		(0.50	)%⁶		8.72	%⁶		3.73	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.59	%		1.59	%		1.61	%⁴		1.59	%⁵		1.59	%
Ratio of expenses to average net assets (with offsets)		1.59	%		1.59	%		1.61	%⁴		1.59	%⁵		1.59	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.82	%		1.84	%		1.83	%⁴		1.79	%⁵		1.80	%
Ratio of net investment income to average net assets²		2.12	%		2.07	%		1.38	%⁴		3.18	%⁵		3.42	%
Portfolio turnover		57	%		22	%		43	%		110	%		28	%
Net assets at end of year (000’s omitted)	$	11,031		$	15,927		$	20,793		$	33,026		$	33,615


	For the years ended December 31,
Institutional Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	10.25		$	9.99		$	11.28		$	10.84		$	11.03
Income from Investment Operations:
Net investment income^1,2		0.31			0.31			0.27			0.47			0.49
Net realized and unrealized gain (loss) on investments		(0.63	)		0.27			(0.22	)		0.58			0.02
Total from investment operations		(0.32	)		0.58			0.05			1.05			0.51
Less Distributions to Shareholders from:
Net investment income		(0.32	)		(0.32	)		(0.29	)		(0.50	)		(0.53	)
Net realized gain on investments		—			—			(1.05	)		(0.11	)		(0.17	)
Total distributions to shareholders		(0.32	)		(0.32	)		(1.34	)		(0.61	)		(0.70	)
Net Asset Value, End of Year	$	9.61		$	10.25		$	9.99		$	11.28		$	10.84
Total Return²		(3.15	)%		5.85	%		0.46	%		9.89	%		4.79	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.59	%		0.59	%		0.61	%⁴		0.59	%⁵		0.59	%
Ratio of expenses to average net assets (with offsets)		0.59	%		0.59	%		0.61	%⁴		0.59	%⁵		0.59	%
Ratio of total expenses to average net assets (without offsets/reductions)³		0.82	%		0.84	%		0.83	%⁴		0.79	%⁵		0.80	%
Ratio of net investment income to average net assets²		3.10	%		3.05	%		2.39	%⁴		4.21	%⁵		4.41	%
Portfolio turnover		57	%		22	%		43	%		110	%		28	%
Net assets at end of year (000’s omitted)	$	47,402		$	41,968		$	59,182		$	65,573		$	64,573

AMG GW&K Municipal Bond Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Investor Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	11.61		$	11.02		$	11.52		$	11.21		$	10.29
Income from Investment Operations:
Net investment income^1,2		0.15			0.18			0.18			0.20			0.27
Net realized and unrealized gain (loss) on investments		0.24			0.63			(0.47	)		0.38			0.97
Total from investment operations		0.39			0.81			(0.29	)		0.58			1.24
Less Distributions to Shareholders from:
Net investment income		(0.15	)		(0.18	)		(0.17	)		(0.19	)		(0.27	)
Net realized gain on investments		(0.15	)		(0.04	)		(0.04	)		(0.08	)		(0.05	)
Total distributions to shareholders		(0.30	)		(0.22	)		(0.21	)		(0.27	)		(0.32	)
Net Asset Value, End of Year	$	11.70		$	11.61		$	11.02		$	11.52		$	11.21
Total Return²		3.36	%		7.39	%		(2.51	)%⁶		5.27	%⁶		12.16	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.82	%		0.80	%		0.81	%⁷		0.80	%⁸		0.81	%
Ratio of expenses to average net assets (with offsets)		0.82	%		0.80	%		0.81	%⁷		0.80	%⁸		0.81	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.13	%		1.12	%		1.17	%⁷		1.18	%⁸		1.34	%
Ratio of net investment income to average net assets²		1.28	%		1.55	%		1.56	%⁷		1.71	%⁸		2.46	%
Portfolio turnover		78	%		31	%		28	%		39	%		26	%
Net assets at end of year (000’s omitted)	$	27,362		$	23,572		$	28,655		$	22,726		$	8,777


	For the years ended December 31,
Service Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	11.63		$	11.04		$	11.54		$	11.23		$	10.30
Income from Investment Operations:
Net investment income^1,2		0.19			0.21			0.21			0.23			0.30
Net realized and unrealized gain (loss) on investments		0.24			0.63			(0.47	)		0.38			0.97
Total from investment operations		0.43			0.84			(0.26	)		0.61			1.27
Less Distributions to Shareholders from:
Net investment income		(0.18	)		(0.21	)		(0.20	)		(0.22	)		(0.29	)
Net realized gain on investments		(0.15	)		(0.04	)		(0.04	)		(0.08	)		(0.05	)
Total distributions to shareholders		(0.33	)		(0.25	)		(0.24	)		(0.30	)		(0.34	)
Net Asset Value, End of Year	$	11.73		$	11.63		$	11.04		$	11.54		$	11.23
Total Return²		3.77	%		7.62	%		(2.24	)%		5.53	%		12.52	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.51	%		0.52	%		0.53	%⁷		0.55	%⁸		0.54	%
Ratio of expenses to average net assets (with offsets)		0.51	%		0.52	%		0.53	%⁷		0.55	%⁸		0.54	%
Ratio of total expenses to average net assets (without offsets/reductions)³		0.82	%		0.84	%		0.89	%⁷		0.93	%⁸		1.09	%
Ratio of net investment loss to average net assets²		1.59	%		1.82	%		1.84	%⁷		1.97	%⁸		2.80	%
Portfolio turnover		78	%		31	%		28	%		39	%		26	%
Net assets at end of year (000’s omitted)	$	128,684		$	98,152		$	53,024		$	35,444		$	22,705

AMG GW&K Municipal Bond Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Institutional Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	11.67		$	11.08		$	11.58		$	11.26		$	10.33
Income from Investment Operations:
Net investment income^1,2		0.21			0.23			0.23			0.25			0.30
Net realized and unrealized gain (loss) on investments		0.24			0.63			(0.47	)		0.40			0.99
Total income (loss) from investment operations		0.45			0.86			(0.24	)		0.65			1.29
Less Distributions to Shareholders from:
Net investment income		(0.20	)		(0.23	)		(0.22	)		(0.25	)		(0.31	)
Net realized gain on investments		(0.15	)		(0.04	)		(0.04	)		(0.08	)		(0.05	)
Total distributions to shareholders		(0.35	)		(0.27	)		(0.26	)		(0.33	)		(0.36	)
Net Asset Value, End of Year	$	11.77		$	11.67		$	11.08		$	11.58		$	11.26
Total Return²		3.94	%		7.80	%		(2.02	)%		5.80	%⁶		12.71	%⁶
Ratio of net expenses to average net assets (with offsets/reductions)		0.34	%		0.34	%		0.36	%⁷		0.35	%⁸		0.34	%
Ratio of expenses to average net assets (with offsets)		0.34	%		0.34	%		0.36	%⁷		0.35	%⁸		0.34	%
Ratio of total expenses to average net assets (without offsets/reductions)³		0.65	%		0.66	%		0.72	%⁷		0.73	%⁸		0.83	%
Ratio of net investment income to average net assets²		1.76	%		2.00	%		2.01	%⁷		2.15	%⁸		2.79	%
Portfolio turnover		78	%		31	%		28	%		39	%		26	%
Net assets at end of year (000’s omitted)	$	655,760		$	393,581		$	204,711		$	121,609		$	32,019

AMG GW&K Municipal Enhanced Yield Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Investor Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	10.16		$	8.98		$	10.24		$	9.55		$	8.79
Income from Investment Operations:
Net investment income^1,2		0.30			0.34			0.35			0.36			0.37
Net realized and unrealized gain (loss) on investments		0.05			1.18			(1.18	)		0.93			0.78
Total from investment operations		0.35			1.52			(0.83	)		1.29			1.15
Less Distributions to Shareholders from:
Net investment income		(0.30	)		(0.34	)		(0.36	)		(0.36	)		(0.37	)
Net realized gain on investments		(0.13	)		—			(0.07	)		(0.24	)		(0.02	)
Total distributions to shareholders		(0.43	)		(0.34	)		(0.43	)		(0.60	)		(0.39	)
Net Asset Value, End of Year	$	10.08		$	10.16		$	8.98		$	10.24		$	9.55
Total Return²		3.57	%		17.14	%		(8.27	)%⁶		13.69	%⁶		13.48	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.07	%		1.00	%		1.12	%⁹		1.07	%¹⁰		1.17	%¹¹
Ratio of expenses to average net assets (with offsets)		1.07	%		1.00	%		1.12	%⁹		1.07	%¹⁰		1.17	%¹¹
Ratio of total expenses to average net assets (without offsets/reductions)³		1.25	%		1.19	%		1.30	%⁹		1.27	%¹⁰		1.40	%
Ratio of net investment income to average net assets²		2.98	%		3.46	%		3.58	%⁹		3.53	%¹⁰		4.02	%
Portfolio turnover		120	%		83	%		52	%		70	%		31	%
Net assets at end of year (000’s omitted)	$	5,500		$	8,507		$	8,030		$	21,413		$	5,689


	For the years ended December 31,
Service Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	10.16		$	8.98		$	10.23		$	9.54		$	8.79
Income from Investment Operations:
Net investment income^1,2		0.34			0.36			0.38			0.38			0.40
Net realized and unrealized gain (loss) on investments		0.06			1.18			(1.18	)		0.93			0.77
Total from investment operations		0.40			1.54			(0.80	)		1.31			1.17
Less Distributions to Shareholders from:
Net investment income		(0.34	)		(0.36	)		(0.38	)		(0.38	)		(0.40	)
Net realized gain on investments		(0.13	)		—			(0.07	)		(0.24	)		(0.02	)
Total distributions to shareholders		(0.47	)		(0.36	)		(0.45	)		(0.62	)		(0.42	)
Net Asset Value, End of Year	$	10.09		$	10.16		$	8.98		$	10.23		$	9.54
Total Return²		4.07	%		17.39	%		(7.95	)%		13.90	%		13.65	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.71	%		0.72	%		0.78	%⁹		0.86	%¹⁰		0.94	%¹¹
Ratio of expenses to average net assets (with offsets)		0.71	%		0.72	%		0.78	%⁹		0.86	%¹⁰		0.94	%¹¹
Ratio of total expenses to average net assets (without offsets/reductions)³	��	0.89	%		0.91	%		0.96	%⁹		1.06	%¹⁰		1.16	%
Ratio of net investment income to average net assets²		3.35	%		3.68	%		3.99	%⁹		3.74	%¹⁰		4.48	%
Portfolio turnover		120	%		83	%		52	%		70	%		31	%
Net assets at end of year (000’s omitted)	$	16,036		$	15,757		$	5,222		$	6,401		$	2,145

AMG GW&K Municipal Enhanced Yield Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Institutional Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	10.14		$	8.97		$	10.22		$	9.53		$	8.78
Income from Investment Operations:
Net investment income^1,2		0.34			0.37			0.39			0.40			0.41
Net realized and unrealized gain (loss) on investments		0.07			1.17			(1.17	)		0.93			0.78
Total from investment operations		0.41			1.54			(0.78	)		1.33			1.19
Less Distributions to Shareholders from:
Net investment income		(0.35	)		(0.37	)		(0.40	)		(0.40	)		(0.42	)
Net realized gain on investments		(0.13	)		—			(0.07	)		(0.24	)		(0.02	)
Total distributions to shareholders		(0.48	)		(0.37	)		(0.47	)		(0.64	)		(0.44	)
Net Asset Value, End of Year	$	10.07		$	10.14		$	8.97		$	10.22		$	9.53
Total Return²		4.15	%		17.45	%		(7.80	)%		14.13	%⁶		13.94	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.64	%		0.64	%		0.66	%⁹		0.65	%¹⁰		0.69	%¹¹
Ratio of expenses to average net assets (with offsets)		0.64	%		0.64	%		0.66	%⁹		0.65	%¹⁰		0.69	%¹¹
Ratio of total expenses to average net assets (without offsets/reductions)³		0.82	%		0.83	%		0.84	%⁹		0.85	%¹⁰		0.91	%
Ratio of net investment income to average net assets²		3.42	%		3.83	%		4.08	%⁹		3.96	%¹⁰		4.69	%
Portfolio turnover		120	%		83	%		52	%		70	%		31	%
Net assets at end of year (000’s omitted)	$	212,057		$	226,284		$	201,161		$	294,983		$	138,250

AMG GW&K Small Cap Core Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Investor Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	23.39		$	24.34		$	17.72		$	15.87		$	15.64
Income from Investment Operations:
Net investment income (loss)^1,2		(0.06	)¹⁹		(0.07	)¹²		(0.07	)¹³		0.14	¹⁴		(0.02	)
Net realized and unrealized gain (loss) on investments		(0.64	)		0.46			7.56			2.15			0.25
Total from investment operations		(0.70	)		0.39			7.49			2.29			0.23
Less Distributions to Shareholders from:
Net investment income		—			—			—			(0.08	)		—
Net realized gain on investments		(0.89	)		(1.34	)		(0.87	)		(0.36	)		—
Total distributions to shareholders		(0.89	)		(1.34	)		(0.87	)		(0.44	)		—
Net Asset Value, End of Year	$	21.80		$	23.39		$	24.34		$	17.72		$	15.87
Total Return²		(3.02	)%		1.53	%		42.26	%		14.45	%		1.47	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.35	%		1.42	%		1.37	%¹⁵		1.41	%¹⁶		1.39	%
Ratio of expenses to average net assets (with offsets)		1.35	%		1.42	%		1.37	%¹⁵		1.41	%¹⁶		1.39	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.46	%		1.53	%		1.50	%¹⁵		1.62	%¹⁶		1.71	%
Ratio of net investment income (loss) to average net assets²		(0.24	)%		(0.28	)%		(0.32	)%¹⁵		0.78	%¹⁶		(0.14	)%
Portfolio turnover		16	%		26	%		19	%		14	%		25	%
Net assets at end of year (000’s omitted)	$	35,691		$	37,995		$	69,992		$	14,707		$	3,349


	For the years ended December 31,
Service Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	23.53		$	24.42		$	17.73		$	15.85		$	15.59
Income from Investment Operations:
Net investment income (loss)^1,2		0.01	¹⁹		0.04	¹²		(0.02	)¹³		0.06	¹⁴		0.01
Net realized and unrealized gain (loss) on investments		(0.65	)		0.43			7.58			2.26			0.25
Total income from investment operations		(0.64	)		0.47			7.56			2.32			0.26
Less Distributions to Shareholders from:
Net investment income		(0.02	)		(0.01	)		—			(0.08	)		—
Net realized gain on investments		(0.90	)		(1.35	)		(0.87	)		(0.36	)		—
Total distributions to shareholders		(0.92	)		(1.36	)		(0.87	)		(0.44	)		—
Net Asset Value, End of Year	$	21.97		$	23.53		$	24.42		$	17.73		$	15.85
Total Return²		(2.75	)%		1.86	%		42.64	%⁶		14.67	%⁶		1.67	%⁶
Ratio of net expenses to average net assets (with offsets/reductions)		1.07	%		1.10	%		1.13	%¹⁵		1.20	%¹⁶		1.20	%
Ratio of expenses to average net assets (with offsets)		1.07	%		1.10	%		1.13	%¹⁵		1.20	%¹⁶		1.20	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.18	%		1.22	%		1.26	%¹⁵		1.41	%¹⁶		1.52	%
Ratio of net investment income (loss) to average net assets²		0.03	%		0.16	%		(0.09	)%¹⁵		0.44	%¹⁶		0.04	%
Portfolio turnover		16	%		26	%		19	%		14	%		25	%
Net assets at end of year (000’s omitted)	$	36,739		$	44,806		$	35,836		$	13,052		$	19,007

AMG GW&K Small Cap Core Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Institutional Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	23.61		$	24.49		$	17.76		$	15.87		$	15.59
Income from Investment Operations:
Net investment income^1,2		0.04	¹⁹		0.07	¹²		0.02	¹³		0.14	¹⁴		0.05
Net realized and unrealized gain (loss) on investments		(0.65	)		0.44			7.58			2.23			0.25
Total from investment operations		(0.61	)		0.51			7.60			2.37			0.30
Less Distributions to Shareholders from:
Net investment income		(0.05	)		(0.04	)		—			(0.12	)		(0.02	)
Net realized gain on investments		(0.91	)		(1.35	)		(0.87	)		(0.36	)		—
Total distributions to shareholders		(0.96	)		(1.39	)		(0.87	)		(0.48	)		(0.02	)
Net Asset Value, End of Year	$	22.04		$	23.61		$	24.49		$	17.76		$	15.87
Total Return²		(2.63	)%		2.04	%		42.81	%⁶		14.97	%⁶		1.90	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.95	%		0.95	%		0.97	%¹⁵		0.96	%¹⁶		0.95	%
Ratio of expenses to average net assets (with offsets)		0.95	%		0.95	%		0.97	%¹⁵		0.96	%¹⁶		0.95	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.06	%		1.07	%		1.10	%¹⁵		1.17	%¹⁶		1.27	%
Ratio of net investment income to average net assets²		0.17	%		0.30	%		0.07	%¹⁵		0.84	%¹⁶		0.30	%
Portfolio turnover		16	%		26	%		19	%		14	%		25	%
Net assets at end of year (000’s omitted)	$	302,381		$	291,301		$	168,854		$	76,673		$	40,425

AMG GW&K Small Cap Growth Fund

Financial Highlights

For a share outstanding throughout each period


Institutional Class	For the period from June 30, 2015 through December 31, 2015**
Net Asset Value, Beginning of Period	$	10.00
Income from Investment Operations:
Net investment loss^1,2		(0.02	)
Net realized and unrealized loss on investments		(1.03	)
Total from investment operations		(1.05	)
Net Asset Value, End of Period	$	8.95
Total Return²		(10.50	)%¹⁷
Ratio of net expenses to average net assets (with offsets/reductions)		0.95	%¹⁸
Ratio of expenses to average net assets (with offsets)		0.95	%¹⁸
Ratio of total expenses to average net assets (without offsets/reductions)³		11.39	%¹⁸
Ratio of net investment loss to average net assets²		(0.39	)%¹⁸
Portfolio turnover		41	%¹⁷
Net assets at end of period (000’s omitted)	$	1,173

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.

^**	Commencement of operations was June 30, 2015.

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

¹	Per share numbers have been calculated using average shares.

²	Total returns and net investment income would have been lower had certain expenses not been offset.

³	Excludes the impact of expense reimbursements or fee waiver and expense reductions 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.)

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	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.

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 $(0.05), $0.01 and $0.05 for the Investor Class, Service Class and Institutional Class, respectively.

Notes to Financial Statements

December 31, 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: AMG GW&K Municipal Bond Fund (“Municipal Bond”), AMG GW&K Municipal Enhanced Yield Fund (“Municipal Enhanced”), AMG GW&K Small Cap Core Fund (“Small Cap Core”) and AMG GW&K Small Cap Growth Fund (“Small Cap Growth”) and AMG Funds II: AMG GW&K Enhanced Core Bond Fund (“Enhanced Core Bond”), each a “Fund” and collectively, the “Funds.”

Each Fund has established the following classes of shares: Investor Class, Service Class and Institutional Class. Currently, Enhanced Core Bond, Municipal Bond, Municipal Enhanced and Small Cap Core offer Investor Class, Service Class and Institutional Class Shares. Small Cap Growth offers Institutional Class shares only. Additionally, Enhanced Core Bond established and offers Class C shares. The Small Cap Growth Fund commenced operations on June 30, 2015.

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. 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 Enhanced Core Bond’s and Small Cap Core’s 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 national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price or the mean between the last quoted bid and ask prices (the “exchange mean price”). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the exchange mean

price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.

Fixed income securities purchased with a remaining maturity exceeding 60 days are valued at the evaluated mean price provided by an authorized pricing service or, if an evaluated price is not available, by reference to other securities which are considered comparable in credit rating, interest rate, due date and other features (generally referred to as “matrix pricing”) or other similar pricing methodologies. 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.

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

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

The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be

Notes to Financial Statements (continued)

realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Fund, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.

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

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 Trusts 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 following fund had certain portfolio trades directed to various brokers, under a brokerage recapture program, which paid a portion of such Fund’s expenses. For the year ended December 31, 2015 the amount by which the Small Cap Core Fund’s expenses were reduced and the impact on the annualized expense ratios, if any, were as follows: $170 or 0.00%.

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 year ended December 31, 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 year ended December 31, 2015, overdraft fees for Enhanced Core Bond, Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth equaled $0, $104, $289, $35 and $0, 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.

Notes to Financial Statements (continued)

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. Permanent differences are due to tax equalization and temporary differences are due to wash sales.

The tax character of distribution paid during the years ended December 31, 2015 and December 31, 2014 were are follows:


	Enhanced Core Bond				Municipal Bond*				Municipal Enhanced**				Small Cap Core
Distributions paid from:	2015		2014		2015		2014		2015		2014		2015		2014
Ordinary income	$	2,623,245	$	2,538,408	$	11,879,981	$	7,913,906	$	7,967,114	$	9,125,692	$	648,345	$	480,894
Short-term capital gains		—		—		2,721,008		675,428		267,207		—		986,775		2,885,197
Long-term capital gains		—		—		7,423,930		1,065,265		2,756,948		—		14,018,195		17,543,220

	$	2,623,245	$	2,538,408	$	22,024,919	$	9,654,599	$	10,991,269	$	9,125,692	$	15,653,315	$	20,909,311

*	The ordinary income distributions paid by Municipal Bond which were tax-exempt for the periods 2015 and 2014 were $11,879,981 and $7,912,223, respectively.

**	The ordinary income distributions paid by Municipal Enhanced which were tax-exempt for the periods 2015 and 2014 were $7,948,240 and $9,107,195, respectively.

As of December 31, 2015, the components of distributions earnings (excluding unrealized appreciation/depreciation) on a tax basis consisted of:


	Enhanced Core Bond		Municipal Bond		Municipal Enhanced		Small Cap Core		Small Cap Growth
Capital loss carryforward	$	2,222,439		—		—		—		—
Undistributed ordinary income		—		—	$	253		—		—
Undistributed short-term capital gains		—	$	1,535,767		399,191		—	$	371
Undistributed long-term capital gains		—		2,385,987		642,427	$	3,297,269		—
Late year loss deferral		3,205,311		—		—		936,483		—

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 and Small cap Growth’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, Small Cap Core and Small Cap Growth 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, 2015, 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, Management is 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 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 December 31, 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.


	Capital Loss
	Carryover Amounts
Fund	Short-Term		Long-Term
Enhanced Core Bond	$	540,021	$	1,682,418

These amounts may be used to offset future realized capital gains for an unlimited time period.

As of December 31, 2015, Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth had no accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes. Should Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth incur net capital losses for the year ended December 31, 2016, such amounts may be used to offset future realized capital gains, for an unlimited time period.

Notes to Financial Statements (continued)

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.

For the years ended December 31, 2015 and 2014, the capital stock transactions by class for Enhanced Core Bond, Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth 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		745,685		$	7,581,134			1,105,135		$	11,355,152			1,539,109		$	17,987,833				1,313,946		$	15,060,926
Reinvestment of distributions		53,402			536,159			48,652			497,882			54,114			632,448				43,890			504,129
Cost of shares repurchased		(1,376,533	)		(13,764,481	)		(1,683,022	)		(17,154,959	)		(1,285,745	)		(14,916,621	)			(1,926,523	)		(22,140,073	)

Net increase (decrease)		(577,446	)	$	(5,647,188	)		(529,235	)	$	(5,301,925	)		307,478		$	3,703,660				(568,687	)	$	(6,575,018	)

Service Class:
Proceeds from sale of shares		590,618		$	5,851,078			109,002		$	1,126,759			5,825,773		$	68,099,858				5,554,498		$	63,929,297
Reinvestment of distributions		10,485			104,238			3,830			39,381			192,521			2,255,691				88,317			1,018,649
Cost of shares repurchased		(67,052	)		(669,781	)		(27,386	)		(280,334	)		(3,484,494	)		(40,798,939	)			(2,008,633	)		(22,996,704	)

Net increase		534,051		$	5,285,535			85,446		$	885,806			2,533,800		$	29,556,610				3,634,182		$	41,951,242
																			��
Class C:
Proceeds from sale of shares		5,337		$	53,505			7,687		$	78,568			—			—				—			—
Reinvestment of distributions		19,802			198,380			25,851			264,164			—			—				—			—
Cost of shares repurchased		(433,309	)		(4,362,382	)		(563,996	)		(5,763,405	)		—			—				—			—

Net decrease		(408,170	)	$	(4,110,497	)		(530,458	)	$	(5,420,673	)		—			—				—			—

Institutional Class:
Proceeds from sale of shares		1,630,862		$	16,511,994			1,334,860		$	13,732,720			33,123,648		$	388,149,326				20,955,711		$	241,281,689
Reinvestment of distributions		143,327			1,438,083			124,781			1,280,372			1,438,936			16,900,334				640,309			7,411,371
Cost of shares repurchased		(937,260	)		(9,401,582	)		(3,289,907	)		(33,620,615	)		(12,559,632	)		(147,490,609	)			(6,356,590	)		(73,375,703	)

Net increase (decrease)		836,929		$	8,548,495			(1,830,266	)	$	(18,607,523	)		22,002,952		$	257,559,051				15,239,430		$	175,317,357

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		765,332		$	7,817,267			1,818,662		$	17,853,038			344,200		$	8,072,293			634,821		$	15,177,787
Reinvestment of distributions		20,792			210,164			35,200			344,366			60,630			1,336,887			83,102			1,964,534
Cost of shares repurchased		(1,078,015	)		(11,024,996	)		(1,910,370	)		(18,841,404	)		(392,023	)		(9,181,256	)		(1,969,034	)		(47,032,493	)

Net increase (decrease)		(291,891	)	$	(2,997,565	)		(56,508	)	$	(644,000	)		12,807		$	227,924			(1,251,111	)	$	(29,890,172	)

Service Class:
Proceeds from sale of shares		1,115,492		$	11,383,413			2,041,597		$	20,091,308			162,317		$	3,848,812			623,346		$	15,141,794
Reinvestment of distributions		76,444			770,964			38,258			377,147			35,688			792,991			70,148			1,667,423
Cost of shares repurchased		(1,152,453	)		(11,693,012	)		(1,110,705	)		(10,961,898	)		(430,228	)		(10,436,822	)		(256,726	)		(6,139,546	)

Net increase (decrease)		39,483		$	461,365			969,150		$	9,506,557			(232,223	)	$	(5,795,019	)		436,768		$	10,669,671

Institutional Class:
Proceeds from sale of shares		5,680,203		$	57,465,629			5,027,817		$	48,928,368			2,374,100		$	56,191,800			6,496,214		$	156,385,059
Reinvestment of distributions		587,901			5,926,350			646,628			6,307,190			538,090			11,994,017			629,895			15,022,999
Cost of shares repurchased		(7,508,463	)		(76,015,132	)		(5,796,894	)		(56,861,576	)		(1,531,195	)		(36,165,360	)		(1,681,058	)		(40,193,974	)

Net increase (decrease)		(1,240,359	)	$	(12,623,153	)		(122,449	)	$	(1,626,018	)		1,380,995		$	32,020,457			5,445,051		$	131,214,084


	Small Cap Growth
	2015
	Shares			Amount
Institutional Class:
Proceeds from sale of shares		159,184		$	1,476,468
Cost of shares repurchased		(28,038	)		(257,387	)

Net increase		131,146		$	1,219,081

At December 31, 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—two collectively own 46%; Municipal Bond—two collectively own 66%; Municipal Enhanced—two collectively own 78%; Small Cap Core—three collectively own 64% and Small Cap Growth—three collectively own 76%. Transactions by these shareholders may have a material impact on their respective Funds.

h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS

The Funds may enter into repurchase agreements for temporary cash management purposes 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 Funds may be delayed or limited.

Additionally, the Funds may enter into joint repurchase agreements for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by BNYM (the “Program”), provided that the value of the underlying collateral, including accrued interest, will equal or exceed the value of the joint repurchase agreement during the term of the agreement. The Funds participate on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for joint 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 Funds may be delayed or limited. Pursuant to the Program, the Funds are indemnified for such losses by BNYM.

Notes to Financial Statements (continued)

At December 31, 2015, the market value of repurchase agreements or joint repurchase agreements outstanding for Enhanced Core Bond, Small Cap Core and Small Cap Growth were $1,376,580, $20,249,177 and $57,235, 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.

Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the year ended December 31, 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	%
Small Cap Growth	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, Small Cap Core

and Small Cap Growth to 0.59%, 0.34%, 0.64%, 0.95% 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 Trust’s Board of Trustees, 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 respective expense reimbursements in any such future year to exceed that Funds’ respective contractual expense limitation amount.

For the year ended December 31, 2015, each Fund’s components of reimbursement available are detailed in the following chart:


	Enhanced			Municipal
	Core Bond			Bond
Reimbursement Available—12/31/14	$	798,879		$	2,659,807
Additional Reimbursements		208,328			2,123,295
Expired Reimbursements		(279,668	)		(495,219	)

Reimbursement Available—12/31/15	$	727,539		$	4,287,883


	Municipal Enhanced			Small Cap Core
Reimbursement Available—12/31/14	$	752,877		$	806,358
Additional Reimbursements		205,861			405,914
Expired Reimbursements		(301,526	)		(175,130	)

Reimbursement Available—12/31/15	$	657,212		$	1,037,142


	Small Cap Growth
Reimbursement Available—12/31/14		—
Additional Reimbursements	$	48,523
Expired Reimbursements		—

Reimbursement Available—12/31/15	$	48,523

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


	Enhanced		Municipal
Expiration Period	Core Bond		Bond
Less than 1 year	$	290,204	$	852,297
Within 2 years		229,007		1,312,291
Within 3 years		208,328		2,123,295

Total Amount Subject to Reimbursement	$	727,539	$	4,287,883

Notes to Financial Statements (continued)


	Municipal
Expiration Period	Enhanced		Small Cap Core
Less than 1 year	$	219,146	$	252,383
Within 2 years		232,205		378,845
Within 3 years		205,861		405,914

Total Amount Subject to Reimbursement	$	657,212	$	1,037,142


Expiration Period	Small Cap Growth
Less than 1 year		—
Within 2 years		—
Within 3 years	$	48,523

Total Amount Subject to Reimbursement	$	48,523

Enhanced Core Bond, Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth have entered into an Administration and Shareholder Servicing Agreement under which the Investment Manager serves as the Funds’ administrator (the “Administrator”) and provides a variety of administration and shareholder services to the Funds. Enhanced Core Bond pays a fee to the Administrator at the rate of 0.20% per annum of the Fund’s average daily net assets for these services. Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth each pay a fee to the Administrator at the rate of 0.25% per annum of the Fund’s average daily net assets for these services.

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 year ended December 31, 2015, the amount waived was $211,783 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.

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. The Plan further provides for periodic payments by the Trust or the Distributor to brokers, dealers and other financial intermediaries for providing shareholder services and for promotional and other sales related costs. The portion of payments made under the plan by Class C shares or Investor Class shares for shareholder servicing may not exceed an annual rate of 0.25% of the average daily net asset value of each Fund’s shares of that class owned by clients of such broker, dealer or financial intermediary.

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.

Notes to Financial Statements (continued)

The impact on the annualized expense ratios for the year ended December 31, 2015, were as follows:


	Maximum			Actual
Fund	Amount Allowed			Amount Incurred
Enhanced Core Bond
Service Class		0.10	%		0.08	%
Municipal Bond
Investor Class		0.25	%		0.23	%
Service Class		0.25	%		0.17	%
Municipal Enhanced
Investor Class		0.25	%		0.18	%
Service Class		0.25	%		0.07	%
Small Cap Core
Investor Class		0.25	%		0.15	%
Service Class		0.25	%		0.12	%

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 year ended December 31, 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 in the amount of $55 and Small Cap Core lent varying amounts not exceeding $2,796,955 for seven days earning interest in the amount of $231. The interest amount is included in the Statement of Operations as interest income. Enhanced Core Bond borrowed $1,886,367 for two days paying interest of $71, Municipal Bond borrowed $7,808,335 for three days paying interest of $414 and 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 year ended December 31, 2015, Small Cap Growth neither borrowed from nor lent to other Funds in the AMG Funds family. At December 31, 2015, Small Cap Core had $2,796,955 in interfund loans outstanding.

The Investment Manager paid the initial state registration fees in the amount of $12,623 on behalf of Small Cap Growth. This balance is reflected as a Payable to Affiliate on the Statement of Assets and Liabilities.

3. PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities (excluding short-term securities and U.S. Government obligations) for the year ended December 31, 2015, were as follows:


	Long-Term Securities excluding (U.S. Government Obligations)
Fund	Purchases		Sales
Enhanced Core Bond	$	34,350,291	$	41,044,768
Municipal Bond		807,174,271		522,000,265
Municipal Enhanced		275,108,344		290,156,255
Small Cap Core		70,658,947		59,898,498
Small Cap Growth		1,577,121		371,550

	U.S. Government Obligations
Fund	Purchases		Sales
Enhanced Core Bond	$	18,847,979	$	7,648,689

4. PORTFOLIO SECURITIES LOANED

The Funds participate in 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 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 omnibus account managed by BNYM, who is authorized to exclusively enter into joint 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 December 31, 2015, the value of the securities loaned and cash collateral received, were as follows:


	Securities		Cash Collateral
Fund	Loaned		Received
Enhanced Core Bond	$	1,325,009	$	1,376,580
Small Cap Core		19,402,890		20,249,177
Small Cap Growth		55,118		57,235

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

Notes to Financial Statements (continued)

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.

The following table is a summary of the Funds’ open repurchase agreements which are subject to a master netting agreement as of December 31, 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 Collateral		Cash Collateral Received		Net Amount
Enhanced Core Bond
Cantor Fitzgerald Securities, Inc.	$	1,000,000	$	1,000,000		—		—
Daiwa Capital Markets America		376,580		376,580		—		—

Total	$	1,376,580	$	1,376,580		—		—

Small Cap Core
BNP Paribas Securities Corp.	$	4,809,224	$	4,809,224		—		—
Cantor Fitzgerald Securities, Inc.		4,809,224		4,809,224		—		—
Daiwa Capital Markets America		4,809,224		4,809,224		—		—
Nomura Securities International, Inc.		3,842,641		3,842,641		—		—
State of Wisconsin Investment Board		1,978,864		1,978,864		—		—

Total	$	20,249,177	$	20,249,177		—		—

Small Cap Growth
Royal Bank of Scotland PLC	$	57,235	$	57,235		—		—

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.

TAX INFORMATION (unaudited)

The 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 and AMG GW&K Small Cap Growth Fund each hereby designates the maximum amount allowable of its net taxable income as qualified dividends as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003. The 2015 Form 1099-DIV you receive for each Fund will show the tax status of all distributions paid to you during the year.

Pursuant to section 852 of the Internal Revenue Code, 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 and AMG GW&K Small Cap Growth Fund each hereby designates $0, $7,423,930, $2,756,948, $14,031,654 and $0, respectively, as a capital gain distribution with respect to the taxable year ended December 31, 2015, or if subsequently determined to be different, the net capital gains of such fiscal year.

Report of Independent Registered Public Accounting Firm

TO THE BOARD OF TRUSTEES OF AMG FUNDS II AND THE SHAREHOLDERS OF AMG GW&K ENHANCED CORE BOND FUND, AS WELL AS THE BOARD OF TRUSTEES OF AMG FUNDS AND THE SHAREHOLDERS OF AMG GW&K MUNICIPAL BOND FUND, AMG GW&K MUNICIPAL ENHANCED YIELD FUND, AMG GW&K SMALL CAP CORE FUND AND AMG GW&K SMALL CAP GROWTH FUND:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 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, and AMG GW&K Small Cap Growth Fund (the “Funds”) at December 31, 2015, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian and brokers, and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 29, 2016

AMG Funds

Trustees and Officers

The Trustees and Officers of the Trust, their business addresses, principal occupations for the past five years and ages are listed below. The Trustees provide broad supervision over the affairs of the Trust and the Funds. The Trustees are experienced executives who meet periodically throughout the year to oversee the Funds’ activities, review contractual arrangements with

companies that provide services to the Funds, and review the Funds’ performance. Unless otherwise noted, the address of each Trustee or Officer is the address of the Trust: 600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830.

There is no stated term of office for Trustees. Trustees serve until their resignation, retirement or removal in accordance with the Trust’s

organizational documents and policies adopted by the Board from time to time. The Chairman of the Trustees, President, Treasurer and Secretary of the Trust are elected by the Trustees annually. Other officers hold office at the pleasure of the Trustees.

Independent Trustees

The following Trustees are not “interested persons” of the Trust within the meaning of the 1940 Act:


Number of Funds Overseen in Fund Complex		Name, Age, Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee
• Trustee since 2012		Bruce B. Bingham, 67

• Oversees 72 Funds in Fund Complex		Partner, Hamilton Partners (real estate development firm) (1987-Present); Trustee of Aston Funds (27 portfolios) (2014-Present); Director of The Yacktman Funds (2000-2012).

• Independent Chairman		William E. Chapman, II, 74

• Trustee since 1999 - AMG Funds • Trustee since 2000 - AMG Funds II • Oversees 72 Funds in Fund Complex		President and Owner, Longboat Retirement Planning Solutions (1998-Present); Hewitt Associates, LLC (part time) (provider of Retirement and Investment Education Seminars) (2002-2009); Trustee Emeritus of Bowdoin College (2013-Present); Trustee of Bowdoin College (2002-2013); Director of Harding, Loevner Funds, Inc. (6 portfolios); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio); Trustee of Aston Funds (27 portfolios) (2010-Present).

• Trustee since 1999 - AMG Funds		Edward J. Kaier, 70

• Trustee since 2000 - AMG Funds II • Oversees 72 Funds in Fund Complex		Attorney at Law and Partner, Teeters Harvey Marrone & Kaier LLP (2007-Present); Attorney at Law and Partner, Hepburn Willcox Hamilton & Putnam, LLP (1977-2007); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio); Trustee of Aston Funds (27 portfolios) (2010-Present).

• Trustee since 2013		Kurt A. Keilhacker, 52

• Oversees 74 Funds in Fund Complex		Managing Member, TechFund Capital (1997-Present); Managing Member, TechFund Europe (2000-Present); Board Member, 6wind SA, (2002-Present); Managing Member, Elementum Ventures (2013-Present); Trustee of Aston Funds (27 portfolios) (2014-Present); Trustee, Gordon College (2001-2016).

• Trustee since 2004 - AMG Funds		Steven J. Paggioli, 65

• Trustee since 2000 - AMG Funds II • Oversees 72 Funds in Fund Complex		Independent Consultant (2002-Present); Formerly Executive Vice President and Director, The Wadsworth Group (1986-2001); Executive Vice President, Secretary and Director, Investment Company Administration, LLC (1990-2001); Vice President, Secretary and Director, First Fund Distributors, Inc. (1991-2001); Trustee, Professionally Managed Portfolios (32 portfolios); Advisory Board Member, Sustainable Growth Advisors, LP; Independent Director, Chase Investment Counsel (2008 – Present); Trustee of Aston Funds (27 portfolios) (2010-Present).

• Trustee since 2013		Richard F. Powers III, 70

• Oversees 72 Funds in Fund Complex		Adjunct Professor, Boston College (2010-2013); Trustee of Aston Funds (27 portfolios) (2014-Present); President and CEO of Van Kampen Investments Inc. (1998-2003).

• Trustee since 1999 - AMG Funds		Eric Rakowski, 57

• Trustee since 2000 - AMG Funds II • Oversees 74 Funds in Fund Complex		Professor, University of California at Berkeley School of Law (1990-Present); Director of Harding, Loevner Funds, Inc. (6 portfolios); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio); Trustee of Aston Funds (27 portfolios) (2010-Present).

• Trustee since 2013		Victoria L. Sassine, 50

• Oversees 74 Funds in Fund Complex		Lecturer, Babson College (2007 – Present); Trustee of Aston Funds (27 portfolios) (2014-Present).

• Trustee since 2004 - AMG Funds • Trustee since 2000 - AMG Funds II • Oversees 72 Funds in Fund Complex		Thomas R. Schneeweis, 68 Professor Emeritus, University of Massachusetts (2013 - Present); Partner, S Capital Wealth Advisors (2015-Present); President, TRS Associates (1982-Present); Board Member, Chartered Alternative Investment Association (“CAIA”) (2002-Present); Director, CAIA Foundation (Education), (2010-Present); Director, Institute for Global Asset and Risk Management (Education) (2010-Present); Partner, S Capital Management, LLC (2007-2015); Director, CISDM at the University of Massachusetts, (1996-2013); President, Alternative Investment Analytics, LLC, (formerly Schneeweis Partners, LLC) (2001-2013); Professor of Finance, University of Massachusetts (1977-2013); Trustee of Aston Funds (27 portfolios) (2010-Present).

AMG Funds

Trustees and Officers (continued)

Interested Trustees

Each Trustee in the following table is an “interested person” of the Trust within the meaning of the 1940 Act. Ms. Carsman is an interested person of the Trust within the meaning of the 1940 Act by virtue of her position with, and interest in securities of AMG.


Number of Funds Overseen in Fund Complex		Name, Age, Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee
• Trustee since 2011		Christine C. Carsman, 63

• Oversees 74 Funds in Fund Complex		Senior Vice President and Deputy General Counsel, Affiliated Managers Group, Inc. (2011-Present); Trustee of Aston Funds (27 portfolios) (2014-Present); Senior Vice President and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2007-2011); Vice President and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2004-2007); Secretary and Chief Legal Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2004-2011); Senior Counsel, Vice President and Director of Operational Risk Management and Compliance, Wellington Management Company, LLP (1995-2004).

Officers

Position(s) Held with Fund and Length of Time Served		Name, Age, Principal Occupation(s) During Past 5 Years
• President since 2014		Jeffrey T. Cerutti, 48

• Principal Executive Officer since 2014		Chief Executive Officer, AMG Funds LLC (2014-Present); Director, President and Principal, AMG Distributors, Inc. (2014-Present); Chief Executive Officer and President, Aston Funds (2015-Present); President, VP Distributors, (2011-2014); Executive Vice President, Head of Distribution, Virtus Investment Partners, Inc. (2010-2014); Managing Director, Head of Sales, UBS Global Asset Management (2001-2010).

• Chief Operating Officer since 2007		Keitha L. Kinne, 57 Chief Operating Officer, AMG Funds LLC (2007-Present); Chief Investment Officer, AMG Funds LLC (2008-Present); Chief Operating Officer, AMG Distributors, Inc. (2007-Present); Managing Partner, AMG Funds LLC (2007-2014); President, AMG Funds (2012-2014); President, AMG Distributors, Inc. (2012-2014); Managing Director, Legg Mason & Co., LLC (2006-2007); Managing Director, Citigroup Asset Management (2004-2006).

• Secretary since 2015		Mark J. Duggan, 51

• Chief Legal Officer since 2015		Senior Vice President and Senior Counsel, AMG Funds LLC (2015-Present); Secretary and Chief Legal Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2015-Present); Attorney, K&L Gates, LLP (2009-2015).

• Chief Financial Officer since 2007 • Treasurer since 1999 • Principal Financial Officer since 2008		Donald S. Rumery, 57 Senior Vice President, Director of Mutual Funds Services, AMG Funds LLC (2005-Present); Treasurer, AMG Funds III (1995-Present); Treasurer, AMG Funds (1999-Present); Treasurer, AMG Funds I and AMG Funds II (2000-Present); Chief Financial Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2007-Present); Treasurer and Chief Financial Officer, AMG Distributors, Inc. (2000-2012); Vice President, AMG Funds LLC, (1994-2004).

• Assistant Treasurer since 2014		John C. Ball, 40 Vice President, Assistant Treasurer, AMG Funds LLC (2014-Present); Vice President, State Street Corp. (2010-2014); Vice President, State Street International (Ireland) Limited (2007-2010).

• Chief Compliance Officer since 2010		John J. Ferencz, 53 Vice President, Chief Compliance Officer—AMG Family of Funds, AMG Funds LLC (2010-Present); Code of Ethics Reporting Officer and Sarbanes Oxley Code of Ethics Compliance Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2010-Present); Senior Compliance Analyst, Mutual Funds and Regulatory, GE Asset Management Incorporated (2005-2010).

• Anti-Money Laundering Compliance Officer since 2014		Patrick J. Spellman, 41 Senior Vice President, Chief Compliance Officer, AMG Funds LLC (2011-Present); Chief Compliance Officer, AMG Distributors, Inc., (2010-Present); Compliance Manager, Legal and Compliance, Affiliated Managers Group, Inc. (2005-2011).

LOGO

INVESTMENT MANAGER AND ADMINISTRATOR

AMG Funds LLC

600 Steamboat Road Suite 300

Greenwich, CT 06830

(800) 835-3879

DISTRIBUTOR

AMG Distributors, Inc.

600 Steamboat Road, Suite 300

Greenwich, CT 06830

(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^TMONLY

AMG Funds

c/o BNY Mellon Investment Servicing (US) Inc.

P.O. Box 9847

Providence, Rhode Island 02940-8047

(800) 358-7668

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 |

LOGO

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

AMG Yacktman Focused

AMG Yacktman Special Opportunities

Yacktman Asset Management LP

FIXED INCOME FUNDS

AMG GW&K Core Bond

AMG GW&K Enhanced Core 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

AMG Managers Brandywine Advisors Mid Cap Growth

AMG Managers Brandywine Blue

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


		ANNUAL REPORT

AMG Funds

December 31, 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 \|		AR002-1215

AMG Funds

Annual Report—December 31, 2015


TABLE OF CONTENTS	PAGE
LETTER TO SHAREHOLDERS		2

ABOUT YOUR FUND’S EXPENSES		3

PORTFOLIO MANAGER’S COMMENTS, FUND SNAPSHOTS, AND SCHEDULES OF PORTFOLIO INVESTMENTS

AMG Chicago Equity Partners Balanced Fund		4

AMG Chicago Equity Partners Small Cap Value Fund		17

AMG Managers High Yield Fund		23

AMG Managers Intermediate Duration Government Fund		40

AMG Managers Short Duration Government Fund		49

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS		60

FINANCIAL STATEMENTS

Statement of Assets and Liabilities		67
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts

Statement of Operations		70
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the year

Statements of Changes in Net Assets		71
Detail of changes in assets for the past two years

Financial Highlights		73
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets

Notes to Financial Statements		80
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM		90

TRUSTEES AND OFFICERS		91


		Letter to Shareholders

DEAR SHAREHOLDER:

Overall, U.S. equity investors achieved modest positive returns for the year ended December 31, 2015, although the second half of the year was characterized by a notable increase in volatility. The S&P 500 Index, a widely followed barometer of the U.S. equity market, returned 1.4% during the past twelve months. However, the U.S. equity market did experience its first correction in four years in August, losing just over 10% of its value in a little more than a week. Fortunately, those losses were almost entirely recovered by the end of the period. Investors had to process the first rate increase from the U.S. Federal Reserve +0.25% in nearly six years, a continued slowing of growth in China and the implications for global economic growth and the impact of commodity prices falling to lows not seen since 2009. During the year, there was significant dispersion in performance across sectors, with consumer discretionary and health care stocks returning 6% while companies within the energy sector fell (23)%. Meanwhile, international stocks fell during the prior year, returning (5.7)%, as measured by the MSCI All Country World ex USA Index (in U.S. Dollar terms). International investment returns in U.S. Dollar terms were negatively impacted by continued strengthening in the U.S. Dollar.

The Barclays U.S. Aggregate Bond Index, a broad U.S. bond market benchmark, returned 0.6% for the year ended December 31, 2015. Interest rates rose modestly during 2015, providing some pressure on bond prices. Investors’ appetite for risk declined during the second half of 2015, reflected in the (4.5)% decline in the Barclays U.S. Corporate High Yield Bond Index.

Respectfully,

LOGO

Jeffery Cerutti

President

AMG Funds


Average Annual Total Returns		Periods ended December 31, 2015
Stocks:		1 Year			3 Years			5 Years
Large Caps	(S&P 500 Index)		1.38	%		15.13	%		12.57	%
Small Caps	(Russell 2000^® Index)		(4.41	)%		11.65	%		9.19	%
International	(MSCI All Country World ex USA Index)		(5.66	)%		1.50	%		1.06	%

Bonds:
Investment Grade	(Barclays U.S. Aggregate Bond Index)		0.55	%		1.44	%		3.25	%
High Yield	(Barclays U.S. Corporate High Yield Bond Index)		(4.47	)%		1.69	%		5.04	%
Tax-exempt	(Barclays Municipal Bond Index)		3.30	%		3.16	%		5.35	%
Treasury Bills	(BofA Merrill Lynch 6-month U.S. Treasury Bill)		0.22	%		0.17	%		0.19	%

About Your Fund’s Expenses

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES


				Beginning		Ending		Expenses
	Expense			Account		Account		Paid
	Ratio for			Value		Value		During
Six Months Ended December 31, 2015	the Period			7/01/15		12/31/15		the Period*
AMG Chicago Equity Partners Balanced Fund
Investor Class
Based on Actual Fund Return		1.09	%	$	1,000	$	994	$	5.48
Hypothetical (5% return before expenses)		1.09	%	$	1,000	$	1,020	$	5.55
Service Class
Based on Actual Fund Return		0.94	%	$	1,000	$	994	$	4.72
Hypothetical (5% return before expenses)		0.94	%	$	1,000	$	1,020	$	4.79
Institutional Class
Based on Actual Fund Return		0.84	%	$	1,000	$	994	$	4.22
Hypothetical (5% return before expenses)		0.84	%	$	1,000	$	1,021	$	4.28
AMG Chicago Equity Partners Small Cap Value Fund^**
Investor Class
Based on Actual Fund Return		1.35	%	$	1,000	$	938	$	6.58
Hypothetical (5% return before expenses)		1.35	%	$	1,000	$	1,018	$	6.86
Service Class
Based on Actual Fund Return		1.06	%	$	1,000	$	940	$	5.17
Hypothetical (5% return before expenses)		1.06	%	$	1,000	$	1,020	$	5.38
Institutional Class
Based on Actual Fund Return		0.95	%	$	1,000	$	939	$	4.64
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.84
AMG Managers High Yield Fund
Investor Class
Based on Actual Fund Return		1.15	%	$	1,000	$	932	$	5.60
Hypothetical (5% return before expenses)		1.15	%	$	1,000	$	1,019	$	5.85
Institutional Class
Based on Actual Fund Return		0.90	%	$	1,000	$	933	$	4.39
Hypothetical (5% return before expenses)		0.90	%	$	1,000	$	1,021	$	4.58
AMG Managers Intermediate Duration Government Fund
Based on Actual Fund Return		0.89	%	$	1,000	$	1,007	$	4.50
Hypothetical (5% return before expenses)		0.89	%	$	1,000	$	1,021	$	4.53
AMG Managers Short Duration Government Fund
Based on Actual Fund Return		0.79	%	$	1,000	$	994	$	3.97
Hypothetical (5% return before expenses)		0.79	%	$	1,000	$	1,021	$	4.02

*	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 (184), then divided by 365.

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

AMG Chicago Equity Partners Balanced Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2015, the AMG Chicago Equity Partners Balanced Fund (Investor Share Class) (the “Fund”) returned 2.2%, compared to the 1.1% return for its benchmark, which consists of 60% of the return of the Russell 1000^® Index and 40% of the return of the Barclays U.S. Aggregate Bond Index. The Fund is managed to emphasize stock selection while also using our proprietary models to adjust size, style and allocation exposures. Our disciplined approach worked well during the year as we added value in stock selection and style tilt toward growth in the equity portfolio, as well as sector allocation toward higher-quality in fixed income. The Fund’s slight overweight position in equities had a neutral effect on relative performance for the year.

EQUITY

Stocks recovered in the fourth quarter, with the S&P 500 rising 7% to finish the year slightly positive at 1%. Small caps didn’t recover quite as much, with the Russell 2000^® rising 4% in the quarter, finishing down (4.0)% for the year. Size favored large caps in the quarter and the year, with the Russell 1000^® beating the Russell 2000^® by 3% in the quarter and around 5% for the year. The style spread was wide in favor of growth for the year, with Russell 1000^® Growth beating Russell 1000^® Value by 9%, and Russell 2000^® Growth beating Russell 2000^® Value by 6%. Volatility, as measured by the VIX, initially decreased early in the quarter, but picked up in mid-December, only to retreat the last couple of weeks of the year to finish (18) close to where it started the year (19).

The end of zero-interest-rate policy, economic growth in U.S. and global and the drop in commodities were some of the major concerns for investors in 2015. After passing on a rate hike in the third quarter, the U.S. Federal Reserve (the Fed) finally raised rates in December, shifting the concern over the rate hike start date to how the Fed proceeds in 2016. The U.S. economy plugged along in 2015, the sixth year in a row with around 2% GDP growth, helped by continued improvement in the labor market. Commodities continued to decrease in the quarter, as global

demand weakened among solid supply. Despite the backdrop of global weakness and flat U.S. equity returns, M&A set a record year with around $4.6 trillion worth of deals, breaking the 2007 record. Many of the deals occurred in the health care and technology sectors.

The equity portion of the Fund outperformed its benchmark for the year. Our focus on growth over value stocks in 2015 contributed to outperformance as growth stocks outperformed value by more than 900 basis points (“bps”) in the large-cap space and 600 bps in small caps. Our security selection model also added value, with positive performance in three of four factor groups and top-ranked stocks outperforming bottom-ranked counterparts across sectors.

Our research has shown that constructing 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, has delivered consistent excess returns. Overall, our philosophy will not change based on short-term trends or conditions in the market. We will continue to use our disciplined approach to provide added value at controlled levels of risk.

There is somewhat greater risk to this forecast due to continuing global risks, a non-synchronous expansion regime for different global regions, and distortions from central bank accommodation in this environment and related currency movements.

FIXED INCOME

2015 was not a good year for the riskier sectors of the fixed-income markets. While the fourth quarter saw a respite from a 15-month period dominated by weakness in the performance of credit sectors, the combination of poor fundamentals and the anticipation of less accommodative central bank policy resulted in the second consecutive year of negative excess return for the U.S. corporate sector of the Barclays U.S. Aggregate Index relative to duration-equivalent Treasuries.

One area of the investment-grade market hit particularly hard was the BBB-rated industrial sector where several energy components lost over 10% of their market value in 2015 as a result of the significant declines in commodity prices throughout the year. Meanwhile, the high-yield sector of the bond market posted a negative excess return for the year of almost 6% versus U.S. Treasuries.

Spreads on investment-grade credit declined by four bps in the fourth quarter but were wider by 35 bps for the year. Longer-maturity, lower-quality spreads widened more significantly. Interest rates were generally higher in both the fourth quarter and for all of 2015, with the largest increases in shorter maturities. The “flattening” of the yield curve was mostly a function of the anticipation of the December increase in the federal funds overnight rate by the Federal Reserve Open Market Committee. Overall rate increases were modest.

The Barclays U.S. Aggregate Bond Index had a total return of (0.6)% for the fourth quarter and 0.6% for all of 2015. Although modest, the coupon income earned over the full year was enough to offset the year-over-year rate increases. The most significant drag on U.S. Aggregate total returns was the (0.7)% return of the corporate sector of the index. Corporates underperformed Treasuries for the year by 161 bps. The Barclays U.S. Aggregate Bond Index ended 2014 with a yield to maturity of 2.13% and 2015 with a yield of 2.47%.

AMG Chicago Equity Partners Balanced Fund

Portfolio Manager’s Comments (continued)

The underperformance of the credit sectors of the benchmark benefited the fixed-income portion of the Fund in 2015. The Fund’s underweight to credit and emphasis on high quality was a strong positive for relative performance, while a yield disadvantage offset a portion of these gains. Our sector allocation research indicates continued difficulties for the credit-related sectors of the markets. We believe the Fund is well-positioned for an environment of higher volatility and risk avoidance. We continue to believe our positioning is prudent and in line with our stated objectives, and will benefit shareholders.

This commentary reflects the viewpoints of the portfolio manager, Chicago Equity Partners, LLC, as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

CUMULATIVE TOTAL RETURN PERFORMANCE

The AMG Chicago Equity Partners Balanced Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical

$10,000 investment made in the Fund’s Investor Class shares on December 31, 2005 to a $10,000 investment made in the benchmarks for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the indices exclude expenses. Total returns for the Fund would have been lower had certain expenses not been reduced.

AMG Chicago Equity Partners Balanced Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE (continued)

LOGO

The table below shows the average annual total returns for the AMG Chicago Equity Partners Balanced Fund, the Russell 1000^® Index and the Barclays U.S. Aggregate Bond Index for the same time periods ended December 31, 2015.


	One			Five			Ten			Since			Inception
Average Annual Total Returns¹	Year			Years			Years			Inception			Date
AMG Chicago Equity Partners Balanced Fund ^2,3,4,5,6,7
Investor Class		2.19	%		8.96	%		7.08	%		7.85	%		01/02/97
Service Class		2.29	%		—			—			9.31	%		11/30/12
Institutional Class		2.44	%		9.24	%		7.35	%		8.25	%		01/02/97
60% Russell 1000^® Index⁸/40% Barclays U.S. Aggregate Bond Index⁹		1.11	%		9.06	%		6.87	%		7.36	%		01/02/97	^†
Barclays U.S. Aggregate Bond Index⁹		0.55	%		3.25	%		4.51	%		5.45	%		01/02/97	^†
Russell 1000^® Index⁸		0.92	%		12.44	%		7.40	%		7.68	%		01/02/97	^†

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

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

²	From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.

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.

⁴	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.

⁵	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.

⁶	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 the given periods.

⁷	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.

⁸

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.

⁹	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. The Barclays U.S. Aggregate Bond Index is unmanaged, is not available for investment, and does not incur expenses.

The Russell 1000^® Index is a trademark of the London Stock Exchange Group companies.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG Chicago Equity Partners Balanced Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


	AMG Chicago Equity Partners
Sector	Balanced Fund**
U.S. Government and Agency Obligations		32.9	%
Information Technology		13.8	%
Consumer Discretionary		10.5	%
Financials		10.2	%
Health Care		10.0	%
Industrials		8.4	%
Consumer Staples		5.7	%
Energy		2.4	%
Materials		2.1	%
Utilities		1.7	%
Telecommunication Services		1.1	%
Other Assets and Liabilities		1.2	%

**	As a percentage of net assets.

TOP TEN HOLDINGS


	%of
Security Name	Net Assets
Apple, Inc.*		2.5	%
U.S. Treasury Notes, 2.500%, 05/15/24*		2.4
U.S. Treasury Notes, 0.750%, 03/31/18*		2.1
U.S. Treasury Notes, 2.25%, 11/15/24*		2.1
U.S. Treasury Notes, 1.375%, 08/31/20		2.1
U.S. Treasury Notes, 0.875%, 07/15/18		2.1
U.S. Treasury Bonds, 2.750%, 08/15/42*		2.1
U.S. Treasury Notes, 0.875%, 10/15/18		1.7
U.S. Treasury Notes, 1.625%, 07/31/20		1.4
FHLMC Gold Pool, 3.500%, 09/01/45		1.3
Top Ten as a Group		19.8	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments

December 31, 2015


	Shares		Value
Common Stocks—63.7%
Consumer Discretionary—10.5%
Abercrombie & Fitch Co., Class A		190	$	5,130
Amazon.com, Inc.^*		3,020		2,041,188
American Axle & Manufacturing Holdings, Inc.^*		1,470		27,842
American Eagle Outfitters, Inc.¹		1,800		27,900
Asbury Automotive Group, Inc.^*		470		31,697
Bassett Furniture Industries, Inc.		200		5,016
Belmond, Ltd., Class A^*		350		3,325
Big Lots, Inc.		3,760		144,910
Boyd Gaming Corp.^*,1		1,435		28,513
Brunswick Corp.		120		6,061
Caleres, Inc.		150		4,023
Callaway Golf Co.		670		6,311
CBS Corp., Class B		4,060		191,348
Columbia Sportswear Co.		20		975
Comcast Corp., Class A		14,640		826,135
Cooper Tire & Rubber Co.		620		23,467
Cooper-Standard Holding, Inc.^*		30		2,328
Cracker Barrel Old Country Store, Inc.¹		20		2,537
Crown Media Holdings, Inc., Class A^*		3,330		18,681
Darden Restaurants, Inc.		4,190		266,652
Dave & Buster’s Entertainment, Inc.^*		960		40,070
Express, Inc.^*		2,605		45,014
Foot Locker, Inc.		6,240		406,162
Francesca’s Holdings Corp.^*		550		9,576
G-III Apparel Group, Ltd.^*		430		19,032
The Goodyear Tire & Rubber Co.		19,100		623,997
Group 1 Automotive, Inc.		100		7,570
Hasbro, Inc.		3,420		230,371
The Home Depot, Inc.		10,765		1,423,671
Hooker Furniture Corp.		440		11,106
Hyatt Hotels Corp., Class A^*		1,700		79,934
The Interpublic Group of Cos., Inc.		28,770		669,766
Isle of Capri Casinos, Inc.^*		1,530		21,313
Jarden Corp.^*		2,100		119,952
Johnson Controls, Inc.		9,240		364,888
KB Home		270		3,329
Lowe’s Cos., Inc.		4,160		316,326
The Madison Square Garden Co., Class A^*		1,137		183,967
McDonald’s Corp.		7,860		928,580
MGM Resorts International^*		10,530		239,242
MSG Networks, Inc., Class A^*		340		7,072
Nautilus, Inc.^*		860		14,379
Netflix, Inc.^*		3,320		379,742
Newell Rubbermaid, Inc.		5,230		230,538


	Shares		Value
NIKE, Inc., Class B		12,380	$	773,750
Norwegian Cruise Line Holdings, Ltd.^*		3,470		203,342
Nutrisystem, Inc.		875		18,935
O’Reilly Automotive, Inc.^*		4,460		1,130,253
Outerwall, Inc.¹		415		15,164
Oxford Industries, Inc.		60		3,829
PetMed Express, Inc.		425		7,284
Pool Corp.		600		48,468
Reading International, Inc., Class A^*		730		9,570
Ruth’s Hospitality Group, Inc.		715		11,383
Scholastic Corp.		660		25,450
ServiceMaster Global Holdings, Inc.^*		11,050		433,602
Sinclair Broadcast Group, Inc., Class A¹		430		13,992
Smith & Wesson Holding Corp.^*		710		15,606
Sonic Automotive, Inc., Class A		500		11,380
Staples, Inc.		2,605		24,669
Starbucks Corp.		14,180		851,225
Starwood Hotels & Resorts Worldwide, Inc.		1,610		111,541
Target Corp.		10,335		750,424
Tempur Sealy International, Inc.^*		720		50,731
Tenneco, Inc.^*		230		10,559
Time Warner, Inc.		1,850		119,640
Ulta Salon Cosmetics & Fragrance, Inc.^*		1,690		312,650
Vail Resorts, Inc.		150		19,198
The Walt Disney Co.		13,130		1,379,700
Wolverine World Wide, Inc.		305		5,097
World Wrestling Entertainment, Inc., Class A¹		1,620		28,901
Total Consumer Discretionary				16,425,979
Consumer Staples—5.7%
Altria Group, Inc.		7,375		429,299
Brown-Forman Corp., Class B		2,180		216,430
Bunge, Ltd.		3,590		245,125
Cal-Maine Foods, Inc.¹		100		4,634
Casey’s General Stores, Inc.		255		30,715
Central Garden and Pet Co., Class A^*		555		7,548
The Clorox Co.		1,170		148,391
The Coca-Cola Co.		3,705		159,167
Coca-Cola Enterprises, Inc.		2,850		140,334
ConAgra Foods, Inc.		4,570		192,671
Constellation Brands, Inc., Class A		7,915		1,127,413
Costco Wholesale Corp.		200		32,300
Coty, Inc., Class A¹		7,870		201,708
Dean Foods Co.¹		3,480		59,682
Dr. Pepper Snapple Group, Inc.		8,190		763,308
Flowers Foods, Inc.		2,190		47,063
Fresh Del Monte Produce, Inc.		790		30,715

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Consumer Staples—5.7% (continued)
Hormel Foods Corp.		4,120	$	325,810
Ingredion, Inc.		2,170		207,973
Kimberly-Clark Corp.		1,070		136,211
The Kroger Co.		19,270		806,064
Molson Coors Brewing Co., Class B		1,140		107,069
Mondelez International, Inc., Class A		5,500		246,620
National Beverage Corp.^*		185		8,406
Natural Health Trends Corp.¹		290		9,724
Omega Protein Corp.^*		160		3,552
PepsiCo, Inc.		6,280		627,498
Philip Morris International, Inc.		6,970		612,733
Pilgrim’s Pride Corp.¹		4,215		93,109
Post Holdings, Inc.^*		25		1,542
The Procter & Gamble Co.		5,330		423,255
Reynolds American, Inc.		12,060		556,569
SpartanNash Co.		210		4,544
Universal Corp.¹		130		7,290
USANA Health Sciences, Inc.^*		70		8,942
Village Super Market, Inc., Class A		160		4,216
Walgreens Boots Alliance, Inc.		3,120		265,684
Wal-Mart Stores, Inc.		1,240		76,012
The WhiteWave Foods Co.^*		13,430		522,561
Total Consumer Staples				8,891,887
Energy—2.4%
Alon USA Energy, Inc.¹		1,300		19,292
Cabot Oil & Gas Corp.		8,020		141,874
Cameron International Corp.^*		3,500		221,200
Chevron Corp.		7,265		653,559
ConocoPhillips		7,030		328,231
EOG Resources, Inc.		1,000		70,790
Exxon Mobil Corp.		10,755		838,352
Green Plains, Inc.		140		3,206
Hess Corp.		5,490		266,155
Matador Resources Co.^*,1		115		2,274
Matrix Service Co.^*		710		14,583
McDermott International, Inc.^*		1,650		5,528
Murphy Oil Corp.		4,420		99,229
National Oilwell Varco, Inc.		1,420		47,556
Navios Maritime Acquisition Corp.		3,755		11,303
Noble Corp. PLC¹		11,380		120,059
Nordic American Tankers, Ltd.¹		260		4,040
Oasis Petroleum, Inc.^*,1		1,230		9,065
PDC Energy, Inc.^*		305		16,281
Phillips 66		2,645		216,361
QEP Resources, Inc.		10,120		135,608


	Shares		Value
RSP Permian, Inc.^*		100	$	2,439
Schlumberger, Ltd.		4,270		297,832
Ship Finance International, Ltd.		530		8,782
Teekay Tankers, Ltd., Class A		1,190		8,187
TETRA Technologies, Inc.^*		70		526
Valero Energy Corp.		3,580		253,142
Western Refining, Inc.¹		320		11,398
Total Energy				3,806,852
Financials—9.7%
Access National Corp.¹		140		2,864
Allied World Assurance Co. Holdings AG		7,460		277,437
The Allstate Corp.		4,370		271,333
Ambac Financial Group, Inc.^*		170		2,395
American International Group, Inc.		4,610		285,682
Annaly Capital Management, Inc.		4,900		45,962
ARMOUR Residential REIT, Inc.		1,180		25,677
Ashford Hospitality Trust, Inc.		2,110		13,314
Aspen Insurance Holdings, Ltd.		4,350		210,105
Associated Banc-Corp.		6,940		130,125
Assured Guaranty, Ltd.		8,670		229,148
Axis Capital Holdings, Ltd.		3,130		175,969
BancorpSouth, Inc.		620		14,874
Bank of America Corp.		37,180		625,739
The Bank of New York Mellon Corp.		7,690		316,982
BBCN Bancorp, Inc.		950		16,359
Beneficial Bancorp, Inc.^*		2,160		28,771
Berkshire Hathaway, Inc., Class B^*		1,560		205,982
Boston Properties, Inc.		1,000		127,540
Cardinal Financial Corp.		220		5,005
Cash America International, Inc.		450		13,478
Cathay General Bancorp		800		25,064
CBL & Associates Properties, Inc.		9,460		117,020
CBRE Group, Inc., Class A^*		13,400		463,372
CenterState Banks, Inc.		750		11,738
Chemical Financial Corp.		110		3,770
The Chubb Corp.		2,600		344,864
Citigroup, Inc.		5,020		259,785
CME Group, Inc.		675		61,155
Comerica, Inc.		4,620		193,255
Commerce Bancshares, Inc.		3,118		132,640
CommunityOne Bancorp^*		70		943
Cousins Properties, Inc.		580		5,469
Crown Castle International Corp.		5,450		471,153
CubeSmart		1,975		60,474
DCT Industrial Trust, Inc.		80		2,990
DiamondRock Hospitality Co.		530		5,114

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Financials—9.7% (continued)
Eaton Vance Corp.¹		6,450	$	209,174
eHealth, Inc.^*		560		5,589
Enterprise Financial Services Corp.		180		5,103
EPR Properties		425		24,841
Equity Lifestyle Properties, Inc.		4,690		312,682
Evercore Partners, Inc., Class A		760		41,093
Everest Re Group, Ltd.		515		94,291
Extra Space Storage, Inc.		4,810		424,290
FactSet Research Systems, Inc.		570		92,665
Federal Agricultural Mortgage Corp., Class C		30		947
First American Financial Corp.		145		5,206
First Defiance Financial Corp.		195		7,367
First Financial Bancorp		780		14,095
First Horizon National Corp.		14,670		213,008
First Industrial Realty Trust, Inc.		130		2,877
First NBC Bank Holding Co.^*		40		1,496
First Niagara Financial Group, Inc.		7,270		78,880
Flagstar Bancorp, Inc.^*		1,340		30,967
Fox Chase Bancorp, Inc.		80		1,623
Franklin Financial Network, Inc.^*		140		4,393
Franklin Resources, Inc.		3,910		143,966
The Goldman Sachs Group, Inc.		1,290		232,497
Government Properties Income Trust¹		690		10,950
Great Southern Bancorp, Inc.¹		235		10,636
Great Western Bancorp, Inc.		810		23,506
Hallmark Financial Services, Inc.^*		490		5,728
Heartland Financial USA, Inc.		265		8,310
Heritage Insurance Holdings, Inc.		90		1,964
Hersha Hospitality Trust		202		4,396
Highwoods Properties, Inc.		545		23,762
Infinity Property & Casualty Corp.		200		16,446
Interactive Brokers Group, Inc., Class A		3,960		172,656
Intercontinental Exchange, Inc.		330		84,566
INTL. FCStone, Inc.^*		1,100		36,806
Investors Real Estate Trust		260		1,807
Iron Mountain, Inc.		2,110		56,991
iStar, Inc.^*,1		900		10,557
Janus Capital Group, Inc.		270		3,804
Jones Lang LaSalle, Inc.		1,220		195,029
JPMorgan Chase & Co.		7,208		475,944
KeyCorp		11,060		145,881
Lamar Advertising Co., Class A		8,090		485,238
Lazard, Ltd., Class A		11,070		498,261
LendingTree, Inc.^*		185		16,517
Mack-Cali Realty Corp.		1,050		24,518


	Shares		Value
MarketAxess Holdings, Inc.		150	$	16,738
McGraw Hill Financial, Inc.		2,220		218,848
Mercantile Bank Corp.		160		3,926
MFA Financial, Inc.		7,470		49,302
MGIC Investment Corp.^*,1		4,025		35,541
Morgan Stanley		7,810		248,436
MSCI, Inc.		8,270		596,515
Nasdaq, Inc.		3,810		221,628
New Residential Investment Corp.		400		4,864
NewStar Financial, Inc.^*		450		4,041
Northern Trust Corp.		5,600		403,704
Old Second Bancorp, Inc.^*		270		2,117
One Liberty Properties, Inc.		385		8,262
Pacific Continental Corp.		140		2,083
Piedmont Office Realty Trust, Inc., Class A		14,300		269,984
Pinnacle Financial Partners, Inc.		305		15,665
Post Properties, Inc.		2,280		134,885
Preferred Bank		320		10,566
PrivateBancorp, Inc.		870		35,687
The Progressive Corp.		9,140		290,652
PS Business Parks, Inc.		400		34,972
Public Storage		1,960		485,492
QCR Holdings, Inc.		240		5,830
RE/MAX Holdings, Inc., Class A		260		9,698
Regional Management Corp.^*		210		3,249
RLI Corp.		60		3,705
The RMR Group, Inc., Class A^*,1		81		1,167
Selective Insurance Group, Inc.		150		5,037
Senior Housing Properties Trust		8,740		129,702
ServisFirst Bancshares, Inc.		470		22,339
Signature Bank^*		1,675		256,895
Simon Property Group, Inc.		1,850		359,714
Sovran Self Storage, Inc.		280		30,047
State Street Corp.		2,800		185,808
Suffolk Bancorp		90		2,552
Sunstone Hotel Investors, Inc.		827		10,329
SunTrust Banks, Inc.		5,655		242,260
SVB Financial Group^*		980		116,522
Symetra Financial Corp.		160		5,083
Taubman Centers, Inc.		1,600		122,752
The Travelers Cos., Inc.		2,655		299,643
United Fire Group, Inc.		500		19,155
Universal Insurance Holdings, Inc.¹		1,565		36,277
US Bancorp		4,235		180,707
Valley National Bancorp¹		1,290		12,706
Walker & Dunlop, Inc.^*		190		5,474

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Financials—9.7% (continued)
Wells Fargo & Co.		8,660	$	470,758
Western Alliance Bancorp^*		1,490		53,431
WisdomTree Investments, Inc.¹		1,720		26,970
Total Financials				15,156,588
Health Care—10.0%
Abbott Laboratories		8,690		390,268
AbbVie, Inc.		10,365		614,023
Aetna, Inc.		1,545		167,045
Albany Molecular Research, Inc.^*,1		605		12,009
Allergan PLC^*		3,090		965,625
AmerisourceBergen Corp.		6,480		672,041
Amgen, Inc.		8,930		1,449,607
AMN Healthcare Services, Inc.^*		735		22,822
Amphastar Pharmaceuticals, Inc.^*		1,360		19,353
AmSurg Corp.^*		25		1,900
Anacor Pharmaceuticals, Inc.^*		480		54,226
Anthem, Inc.		1,465		204,280
ARIAD Pharmaceuticals, Inc.^*,1		4,490		28,063
Array BioPharma, Inc.^*		3,405		14,369
Bio-Rad Laboratories, Inc., Class A^*		340		47,144
Bruker Corp.^*		4,850		117,710
Cambrex Corp.^*		295		13,892
Cardinal Health, Inc.		820		73,201
Catalent, Inc.^*		2,255		56,443
Centene Corp.^*		7,850		516,609
Cepheid, Inc.^*		430		15,708
Chemed Corp.¹		230		34,454
Cigna Corp.		1,290		188,766
Corcept Therapeutics, Inc.^*		640		3,187
Cross Country Healthcare, Inc.^*		730		11,965
CryoLife, Inc.		290		3,126
DENTSPLY International, Inc.		3,650		222,102
Dyax Corp.^*		670		25,205
Eagle Pharmaceuticals, Inc.^*		150		13,300
Edwards Lifesciences Corp.^*		7,420		586,032
Eli Lilly & Co.		8,570		722,108
Emergent BioSolutions, Inc.^*		540		21,605
Endo International PLC^*		3,100		189,782
Exelixis, Inc.^*,1		3,090		17,428
Express Scripts Holding Co.^*		2,500		218,525
Five Star Quality Care, Inc.^*		790		2,512
Gilead Sciences, Inc.		12,255		1,240,083
Globus Medical, Inc., Class A^*,1		200		5,564
Greatbatch, Inc.^*		35		1,838
Halozyme Therapeutics, Inc.^*		1,795		31,107


	Shares		Value
Health Net, Inc.^*		5,000	$	342,300
Hologic, Inc.^*		5,020		194,224
ICU Medical, Inc.^*		630		71,051
Illumina, Inc.^*		2,930		562,399
INC Research Holdings, Inc., Class A^*		280		13,583
Incyte Corp.^*		4,780		518,391
Insys Therapeutics, Inc.^*,1		525		15,031
Intuitive Surgical, Inc.^*		640		349,542
Invacare Corp.		45		783
iRadimed Corp.^*		120		3,364
Johnson & Johnson		6,535		671,275
Ligand Pharmaceuticals, Inc.^*,1		475		51,500
Mallinckrodt PLC^*		4,790		357,478
Masimo Corp.^*		675		28,019
McKesson Corp.		230		45,363
Medtronic PLC		2,116		162,763
Merck & Co., Inc.		2,905		153,442
Merrimack Pharmaceuticals, Inc.^*,1		2,705		21,370
Mettler-Toledo International, Inc.^*		100		33,913
Molina Healthcare, Inc.^*,1		770		46,300
Natus Medical, Inc.^*		1,155		55,498
Neurocrine Biosciences, Inc.^*		65		3,677
NuVasive, Inc.^*		375		20,291
Orthofix International NV^*		200		7,842
Owens & Minor, Inc.		70		2,519
Pacific Biosciences of California, Inc.^*,1		1,430		18,776
Pfizer, Inc.		16,097		519,611
PharMerica Corp.^*		80		2,800
PRA Health Sciences, Inc.^*		490		22,182
Regeneron Pharmaceuticals, Inc.^*		1,270		689,445
Repligen Corp.^*		540		15,277
Sarepta Therapeutics, Inc.^*,1		190		7,330
Sequenom, Inc.^*		10,435		17,113
St. Jude Medical, Inc.		1,910		117,981
STAAR Surgical Co.^*,1		210		1,499
STERIS PLC		360		27,122
Stryker Corp.		500		46,470
Sucampo Pharmaceuticals, Inc., Class A^*		335		5,792
Synergy Pharmaceuticals, Inc.^*		1,525		8,647
Teligent, Inc.^*		2,690		23,941
Theravance, Inc.¹		4,740		49,960
Triple-S Management Corp., Class B^*		520		12,433
Ultragenyx Pharmaceutical, Inc.^*		25		2,804
United Therapeutics Corp.^*		770		120,590
UnitedHealth Group, Inc.		4,420		519,969
Universal Health Services, Inc., Class B		945		112,918

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Health Care—10.0% (continued)
VCA, Inc.^*		8,930	$	491,150
Waters Corp.^*		960		129,197
Zogenix, Inc.^*,1		1,100		16,214
Total Health Care				15,706,166
Industrials—6.9%
A. O. Smith Corp.¹		2,620		200,718
ACCO Brands Corp.^*		955		6,809
Actuant Corp., Class A		80		1,917
Acuity Brands, Inc.		2,920		682,696
Aerojet Rocketdyne Holdings, Inc.^*		630		9,866
Alaska Air Group, Inc.		2,160		173,902
AMERCO		1,200		467,400
American Woodmark Corp.^*		230		18,395
Argan, Inc.		680		22,032
Atlas Air Worldwide Holdings, Inc.^*		260		10,748
AZZ, Inc.		230		12,781
The Boeing Co.		5,850		845,852
Briggs & Stratton Corp.		320		5,536
The Brink’s Co.		200		5,772
C.H. Robinson Worldwide, Inc.		740		45,895
Caterpillar, Inc.		1,110		75,436
CBIZ, Inc.^*		1,090		10,747
Cintas Corp.		6,680		608,214
Comfort Systems USA, Inc.		810		23,020
Deere & Co.¹		1,280		97,626
Deluxe Corp.		645		35,178
Dover Corp.		4,210		258,115
Dycom Industries, Inc.^*		465		32,531
EMCOR Group, Inc.		220		10,569
Emerson Electric Co.		1,600		76,528
Ennis, Inc.		500		9,625
Federal Signal Corp.		1,035		16,405
FreightCar America, Inc.		920		17,876
GATX Corp.		2,840		120,842
General Cable Corp.		2,445		32,836
General Dynamics Corp.		5,010		688,174
General Electric Co.		24,650		767,848
Global Brass & Copper Holdings, Inc.		1,700		36,210
The Greenbrier Cos., Inc.¹		520		16,962
Hawaiian Holdings, Inc.^*		830		29,324
HD Supply Holdings, Inc.^*		12,830		385,285
Heidrick & Struggles International, Inc.		230		6,261
Hertz Global Holdings, Inc.^*		14,210		202,208
Hillenbrand, Inc.		340		10,074


	Shares		Value
Honeywell International, Inc.		2,440	$	252,711
Illinois Tool Works, Inc.		880		81,558
Insperity, Inc.		260		12,519
Interface, Inc.		1,435		27,466
JetBlue Airways Corp.^*		12,725		288,221
John Bean Technologies Corp.		240		11,959
Joy Global, Inc.¹		3,150		39,722
Kaman Corp.		140		5,713
KBR, Inc.		12,700		214,884
Kennametal, Inc.		5,030		96,576
Kforce, Inc.		635		16,053
Landstar System, Inc.		1,310		76,832
Lawson Products, Inc.^*		1,030		24,050
Lincoln Electric Holdings, Inc.		1,050		54,484
LSI Industries, Inc.		110		1,341
Lydall, Inc.^*		995		35,303
Masco Corp.		5,590		158,197
The Middleby Corp.^*		910		98,162
Moog, Inc., Class A^*		150		9,090
MRC Global, Inc.^*		1,085		13,996
National Presto Industries, Inc.¹		100		8,286
Northrop Grumman Corp.		1,900		358,739
PAM Transportation Services, Inc.^*		310		8,553
Quanta Services, Inc.^*		10,770		218,092
Rockwell Automation, Inc.		2,055		210,864
Roper Technologies, Inc.		670		127,159
SkyWest, Inc.		190		3,614
Snap-on, Inc.		2,660		456,004
Southwest Airlines Co.		7,110		306,157
Spirit AeroSystems Holdings, Inc., Class A^*		7,330		367,013
Stanley Black & Decker, Inc.		670		71,509
Steelcase, Inc., Class A		960		14,304
Swift Transportation Co.^*,1		275		3,800
Teledyne Technologies, Inc.^*		60		5,322
TransDigm Group, Inc.^*		2,980		680,781
TriMas Corp.^*		260		4,849
Triumph Group, Inc.		4,800		190,800
TrueBlue, Inc.^*		530		13,653
Universal Forest Products, Inc.		395		27,006
USA Truck, Inc.^*		140		2,443
Virgin America, Inc.^*,1		290		10,443
Wabash National Corp.^*,1		3,245		38,388
Waste Management, Inc.		2,870		153,172
West Corp.		90		1,941

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Industrials—6.9% (continued)
YRC Worldwide, Inc.^*		100	$	1,418
Total Industrials				10,881,360
Information Technology—13.8%
Accenture PLC, Class A		4,120		430,540
Activision Blizzard, Inc.		2,030		78,581
Advanced Energy Industries, Inc.^*		320		9,034
Advanced Micro Devices, Inc.^*		7,500		21,525
Alpha & Omega Semiconductor, Ltd.^*		1,125		10,339
Alphabet, Inc., Class A^*		720		560,167
Alphabet, Inc., Class C^*		741		562,330
Apple, Inc.		37,685		3,966,723
Aspen Technology, Inc.^*		850		32,096
Blackbaud, Inc.		70		4,610
Booz Allen Hamilton Holding Corp.		3,205		98,874
Broadcom Corp., Class A		2,570		148,597
Brocade Communications Systems, Inc.		4,210		38,648
CDK Global, Inc.		6,160		292,415
CDW Corp.		7,440		312,778
Cirrus Logic, Inc.^*		350		10,336
Cisco Systems, Inc.		3,740		101,560
Citrix Systems, Inc.^*		8,220		621,843
Cognizant Technology Solutions Corp., Class A^*		2,585		155,152
Cohu, Inc.		1,030		12,432
Convergys Corp.		160		3,982
CoreLogic, Inc.^*		8,910		301,693
Cray, Inc.^*		890		28,881
CSG Systems International, Inc.		600		21,588
DST Systems, Inc.		640		72,998
EarthLink Holdings Corp.		790		5,870
Electronic Arts, Inc.^*		5,625		386,550
ePlus, Inc.^*		95		8,860
Euronet Worldwide, Inc.^*		765		55,409
Facebook, Inc., Class A^*		15,995		1,674,037
Fairchild Semiconductor International, Inc.^*		220		4,556
FireEye, Inc.^*,1		14,200		294,508
First Solar, Inc.^*		3,210		211,828
Fleetmatics Group PLC^*,1		360		18,284
Gigamon, Inc.^*		725		19,263
Global Payments, Inc.		7,100		458,021
Globant, S.A.^*		400		15,004
The Hackett Group, Inc.		1,120		17,998
Heartland Payment Systems, Inc.		160		15,171
Hewlett Packard Enterprise Co.		6,910		105,032
HP, Inc.		6,850		81,104
II-VI, Inc.^*		760		14,106


	Shares		Value
Imperva, Inc.^*		640	$	40,518
Infinera Corp.^*,1		345		6,251
Integrated Device Technology, Inc.^*		1,735		45,717
InterDigital, Inc.		260		12,750
International Business Machines Corp.		870		119,729
Intuit, Inc.		900		86,850
IPG Photonics Corp.^*,1		7,030		626,795
Ixia^*		715		8,887
IXYS Corp.		660		8,336
j2 Global, Inc.		120		9,878
Jabil Circuit, Inc.		6,575		153,132
Juniper Networks, Inc.		30,060		829,656
KLA-Tencor Corp.		6,990		484,756
Lam Research Corp.		3,450		273,999
Leidos Holdings, Inc.		5,445		306,336
Littelfuse, Inc.		200		21,402
LogMeln, Inc.^*		405		27,176
Manhattan Associates, Inc.^*		950		62,862
Maxim Integrated Products, Inc.		8,160		310,080
Microsoft Corp.		30,255		1,678,547
Motorola Solutions, Inc.		4,670		319,662
Multi-Fineline Electronix, Inc.^*		1,445		29,883
NeoPhotonics Corp.^*		3,150		34,209
NETGEAR, Inc.^*		440		18,440
NeuStar, Inc., Class A^*,1		2,040		48,899
NIC, Inc.		330		6,494
Oclaro, Inc.^*		1,400		4,872
OSI Systems, Inc.^*		35		3,103
Palo Alto Networks, Inc.^*		4,980		877,177
Paycom Software, Inc.^*		1,120		42,146
Paylocity Holding Corp.^*		540		21,897
Pegasystems, Inc.		85		2,338
RetailMeNot, Inc.^*		210		2,083
RingCentral, Inc., Class A^*		370		8,725
Sabre Corp.		10,280		287,532
Sanmina Corp.^*		805		16,567
Seagate Technology PLC		1,610		59,023
ServiceNow, Inc.^*		5,920		512,435
Silicon Laboratories, Inc.^*		30		1,456
Stamps.com, Inc.^*		185		20,278
SunPower Corp.^*,1		2,990		89,730
Sykes Enterprises, Inc.^*		320		9,850
SYNNEX Corp.		180		16,187
Tableau Software, Inc., Class A^*		2,750		259,105
Take-Two Interactive Software, Inc.^*		1,360		47,382
Tech Data Corp.^*		395		26,220

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Information Technology—13.8% (continued)
Tessera Technologies, Inc.		795	$	23,858
Texas Instruments, Inc.		13,070		716,367
Total System Services, Inc.		3,940		196,212
Tyler Technologies, Inc.^*		285		49,681
VeriSign, Inc.^*,1		440		38,438
Visa, Inc., Class A		11,130		863,132
Web.com Group, Inc.^*		430		8,604
Xerox Corp.		17,020		180,923
Xilinx, Inc.		10,720		503,518
Total Information Technology				21,743,406
Materials—2.1%
AEP Industries, Inc.^*		205		15,816
Air Products & Chemicals, Inc.		1,580		205,574
Ashland, Inc.		1,810		185,887
Avery Dennison Corp.		2,230		139,732
Cabot Corp.		6,080		248,550
Celanese Corp., Series A		5,710		384,454
Chemtura Corp.^*		1,965		53,586
Cliffs Natural Resources, Inc.^*		5,290		8,358
Commercial Metals Co.		970		13,279
Crown Holdings, Inc.^*		2,930		148,551
The Dow Chemical Co.		5,660		291,377
Greif, Inc., Class A		720		22,183
Innospec, Inc.		235		12,763
LyondellBasell Industries N.V., Class A		9,240		802,956
Newmont Mining Corp.		4,320		77,717
Rayonier Advanced Materials, Inc.		260		2,545
Ryerson Holding Corp.^*,1		430		2,008
Schweitzer-Mauduit International, Inc.		35		1,470
Sealed Air Corp.		14,865		662,979
Stepan Co.		100		4,969
Trinseo, S.A.^*		675		19,035
Total Materials				3,303,789
Telecommunication Services—1.1%
AT&T, Inc.		32,620		1,122,454
Atlantic Tele-Network, Inc.		30		2,347
CenturyLink, Inc.		7,830		197,003
FairPoint Communications, Inc.^*,1		620		9,963
IDT Corp., Class B		655		7,637
Shenandoah Telecommunications Co.		500		21,525
Verizon Communications, Inc.		9,390		434,006
Total Telecommunication Services				1,794,935
Utilities—1.5%
American States Water Co.		615		25,799


	Shares		Value
American Water Works Co, Inc.		6,495	$	388,076
Artesian Resources Corp., Class A		80		2,216
Atlantic Power Corp.		390		768
CenterPoint Energy, Inc.		21,885		401,809
Chesapeake Utilities Corp.		220		12,485
Cleco Corp.		90		4,699
IDACORP, Inc.		380		25,840
Middlesex Water Co.		235		6,237
New Jersey Resources Corp.		420		13,843
Ormat Technologies, Inc.		355		12,947
PPL Corp.		4,180		142,663
Public Service Enterprise Group, Inc.		6,010		232,527
Questar Corp.		25,900		504,532
Vectren Corp.		11,295		479,134
WGL Holdings, Inc.		440		27,716
Total Utilities				2,281,291
Total Common Stocks (cost $97,218,741)				99,992,253

	Principal Amount
Corporate Bonds and Notes—2.2%
Financials—0.5%
General Electric Capital Corp.,
2.900%, 01/09/17¹	$	80,000		81,345
MTN, 1.000%, 01/08/16		55,000		55,001
MTN, Series A, 6.750%, 03/15/32		35,000		45,805
US Bancorp, MTN, 2.200%, 04/25/19		135,000		136,052
Visa, Inc., Series, 2.200%, 12/14/20		175,000		174,796
Wells Fargo & Co.,
2.625%, 12/15/16		110,000		111,510
MTN, 1.400%, 09/08/17		265,000		264,763
Total Financials				869,272
Industrials—1.5%
The Boeing Co., 2.350%, 10/30/21		209,000		207,317
Burlington Northern Santa Fe LLC, 4.700%, 10/01/19		35,000		37,884
Caterpillar Financial Services Corp., MTN, 1.000%, 11/25/16		65,000		65,025
Colgate-Palmolive Co., MTN, 1.750%, 03/15/19		70,000		70,188
Exxon Mobil Corp., 0.921%, 03/15/17		85,000		84,917
Johnson & Johnson, 0.700%, 11/28/16		80,000		79,869
McDonald’s Corp., MTN, 6.300%, 10/15/37		130,000		152,977

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—1.5% (continued)
Medtronic, Inc., 0.875%, 02/27/17	$	40,000	$	39,865
PepsiCo, Inc.,
2.500%, 05/10/16		90,000		90,553
Series 1, 1.000%, 10/13/17		100,000		99,505
Pfizer, Inc., 6.200%, 03/15/19		85,000		95,667
Philip Morris International, Inc., 1.625%, 03/20/17¹		350,000		352,133
Union Pacific Corp., 3.646%, 02/15/24		115,000		120,165
United Parcel Service, Inc., 6.200%, 01/15/38		170,000		218,483
Verizon Communications, Inc., 2.625%, 02/21/20		288,000		289,282
Wal-Mart Stores, Inc., 6.500%, 08/15/37		200,000		258,826
The Walt Disney Co., 1.350%, 08/16/16		75,000		75,210
Total Industrials				2,337,866
Utilities—0.2%
Consolidated Edison Co. of New York, Inc.,
Series 08-B, 6.750%, 04/01/38		95,000		122,694
Dominion Resources, Inc., 4.450%, 03/15/21		45,000		47,674
Georgia Power Co., 5.400%, 06/01/40		35,000		36,959
TransCanada PipeLines, Ltd., 3.800%, 10/01/20		90,000		91,898
Total Utilities				299,225
Total Corporate Bonds and Notes (cost $3,507,635)				3,506,363
U.S. Government and Agency Obligations—32.9%
Federal Home Loan Mortgage Corporation—7.9%
FHLMC,
0.875%, 02/22/17		340,000		339,880
1.375%, 05/01/20 ¹		140,000		137,926
FHLMC Gold Pool,
2.500%, 07/01/28 to 10/01/30		679,106		686,696
3.000%, 01/01/29 to 07/01/45		3,045,810		3,070,147
3.500%, 03/01/42 to 09/01/45		4,215,570		4,344,381
4.000%, 08/01/43 to 09/01/45		2,212,599		2,340,569
4.500%, 02/01/39 to 03/01/44		727,598		785,249
5.000%, 07/01/35 to 07/01/41		611,557		671,715
5.500%, 04/01/38 to 01/01/39		72,921		81,192
Total Federal Home Loan Mortgage Corporation				12,457,755
Federal National Mortgage Association—4.0%
FNMA,
0.875%, 12/20/17 to 05/21/18		530,000		525,985


	Principal Amount		Value
1.875%, 02/19/19	$	355,000	$	359,927
2.000%, 01/01/30		77,358		76,057
2.500%, 04/01/28		197,427		200,101
2.625%, 09/06/24		235,000		237,757
3.000%, 03/01/42 to 08/01/43		758,505		760,787
3.500%, 11/01/25 to 07/01/43		749,840		779,406
4.000%, 12/01/21 to 11/01/44		932,098		988,536
4.500%, 06/01/39 to 09/01/43		1,319,018		1,427,649
5.000%, 09/01/33 to 10/01/41		518,431		572,546
5.500%, 02/01/35 to 05/01/39		265,377		296,627
Total Federal National Mortgage Association				6,225,378
U.S. Treasury Obligations—21.0%
U.S. Treasury Bonds,
2.750%, 08/15/42		3,470,000		3,317,917
3.125%, 11/15/41		1,415,000		1,462,397
U.S. Treasury Notes,
0.625%, 12/15/16 to 02/15/17		2,120,000		2,115,964
0.750%, 12/31/17 to 03/31/18		4,915,000		4,874,976
0.875%, 07/15/18 to 10/15/18		6,070,000		6,010,517
1.375%, 05/31/20 to 08/31/20		4,725,000		4,652,098
1.625%, 07/31/20		2,260,000		2,249,405
1.875%, 11/30/21		815,000		811,753
2.250%, 11/15/24		3,360,000		3,358,817
2.500%, 05/15/24		3,635,000		3,714,941
3.125%, 05/15/21		445,000		473,360
Total U.S. Treasury Obligations				33,042,145
Total U.S. Government and Agency Obligations (cost $51,977,911)				51,725,278

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Short-Term Investments—3.5%
Repurchase Agreements—1.4%²
Cantor Fitzgerald Securities, Inc., dated 12/31/15, due 01/04/16, 0.340%, total to be received $1,000,038 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 01/15/16 - 09/01/49,totaling $1,020,000)	$	1,000,000	$	1,000,000
Daiwa Capital Markets America, dated 12/31/15, due 01/04/16, 0.350%, total to be received $1,000,039 (collateralized by various U.S. Government Agency Obligations, 0.000% - 7.500%, 01/21/16 - 02/01/49, totaling $1,020,000)		1,000,000		1,000,000
Nomura Securities International, Inc., dated 12/31/15, due 01/04/16, 0.330%, total to be received $205,657 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 01/15/16 -12/20/65 totaling $209,762)		205,649		205,649
Total Repurchase Agreements				2,205,649


	Shares		Value
Other Investment Companies—2.1%³
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.26%		3,212,096	$	3,212,096
Total Short-Term Investments (cost $5,417,745)				5,417,745
Total Investments—102.3% (cost $158,122,032)				160,641,639
Other Assets, less Liabilities—(2.3)%				(3,658,616	)
Net Assets—100.0%			$	156,983,023

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

AMG Chicago Equity Partners Small Cap Value Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2015, the AMG Chicago Equity Partners Small Cap Value (Service Share Class) (the “Fund”) returned (5.8)%, compared to the (7.5)% return for its benchmark, the Russell 2000^® Value Index. The Fund is managed to emphasize stock selection while neutralizing size, style and sector exposure. Our disciplined approach worked well relative to the benchmark over the last twelve months as our top ranked stocks outperformed the lower ranked stocks.

MARKET ENVIRONMENT

Stocks recovered in the fourth quarter, with the Russell 2000^® Value Index up 2.9% for the quarter, but returning (7.5)% for the year. Size favored large caps in the quarter and the year, with the Russell 1000^® beating the Russell 2000^® by 3% in the quarter and around 5% for the year. From a style perspective, growth outperformed value across the size spectrum both in the fourth quarter and for 2015. The style spread was wide in favor of growth for the year, with Russell 2000^® Growth beating Russell 2000^® Value by 6%, and Russell 1000^® Growth beating Russell 1000^® Value by 9%. Therefore, the market segment with lowest return was small-cap value.

PERFORMANCE REVIEW

After tracking the benchmark for the first half of 2015, the Fund recorded one of its best excess returns in the third quarter. We saw a typical reversal in performance with the beginning of the fourth quarter, but to a much lesser extent versus the prior quarter’s outperformance. Over the last year, the Momentum factors provided the best information across all sectors, and the Growth factors were strong in cyclicals and energy sectors. The Value and Quality factor groups were more muted and did not provide as much information. However, the Fund had positive security selection in seven of the ten sectors. As a result, the Fund outperformed its benchmark in 2015.

OUTLOOK

Our research has shown that constructing 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 has delivered consistent excess returns. Overall, our philosophy will not change based on short-term trends or conditions in the market. We will continue to use our disciplined approach to provide added value at controlled levels of risk.

We expect equities to perform below long-term equity return averages in the near term. We expect low single digit earnings growth excluding energy to be the primary driver of equity returns. If the market enters a downturn (quality) phase, there is above-average potential for multiple contractions and negative equity returns. In terms of alpha, we expect the Fund to outperform in either an expansion or downturn market phase. There is somewhat greater risk to this forecast due to continuing global risks, a non-synchronous expansion regime for different global regions and distortions from central bank accommodation in this environment and related currency movements.

This commentary reflects the viewpoints of the portfolio manager, Chicago Equity Partners, LLC, as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

AMG Chicago Equity Partners Small Cap Value Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

The AMG Chicago Equity Partners Small Cap Value Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in the Fund’s Service Class shares on December 31, 2014 to a $10,000 investment made in the benchmark for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the indices exclude expenses. Total returns for the Fund would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG Chicago Equity Partners Small Cap Value Fund and the Russell 2000^® Value Index for the same time periods ended December 31, 2015.


	One			Since			Inception
Average Annual Total Returns¹	Year			Inception			Date
AMG Chicago Equity Partners Small Cap Value Fund ^2,3,4,5,6
Investor Class		(6.10	)%		(6.10	)%		12/31/14
Service Class		(5.77	)%		(5.77	)%		12/31/14
Institutional Class		(5.69	)%		(5.69	)%		12/31/14
Russell 2000^® Value Index⁷		(7.47	)%		(7.47	)%		12/31/14	^†

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

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

²	From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.

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.

⁴	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.

⁵	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.

⁶	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.

⁷

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.

The Russell 2000^® Value Index is a trademark of the London Stock Exchange Group companies.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG Chicago Equity Partners Small Cap Value Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


	AMG Chicago Equity Partners Small Cap			Russell 2000^®
Sector	Value Fund**			Value Index
Financials		43.8	%		43.8	%
Industrials		14.2	%		11.6	%
Information Technology		10.7	%		10.8	%
Utilities		7.4	%		7.4	%
Consumer Discretionary		7.4	%		10.1	%
Health Care		4.7	%		4.6	%
Energy		4.2	%		4.4	%
Consumer Staples		3.9	%		3.3	%
Materials		2.8	%		3.1	%
Telecommunication Services		0.6	%		0.9	%
Other Assets and Liabilities		0.3	%		0.0	%

**	As a percentage of net assets.

TOP TEN HOLDINGS


	%of
Security Name	Net Assets
PrivateBancorp, Inc.*		2.2	%
PS Business Parks, Inc.		1.7
Flagstar Bancorp, Inc.		1.7
American States Water Co.		1.6
IDACORP, Inc.		1.6
ARMOUR Residential REIT, Inc.		1.6
Cathay General Bancorp		1.5
EPR Properties		1.5
Mack-Cali Realty Corp.		1.5
WGL Holdings, Inc.		1.5
Top Ten as a Group		16.4	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments

December 31, 2015


	Shares		Value
Common Stocks—99.7%
Consumer Discretionary—7.4%
Abercrombie & Fitch Co., Class A¹		1,460	$	39,420
American Eagle Outfitters, Inc.¹		4,910		76,105
Bassett Furniture Industries, Inc.		1,480		37,118
Belmond, Ltd., Class A^*		3,180		30,210
Caleres, Inc.		1,130		30,307
Callaway Golf Co.		4,810		45,310
Columbia Sportswear Co.		140		6,826
Cooper Tire & Rubber Co.		3,280		124,148
Cooper-Standard Holding, Inc.^*		260		20,173
Crown Media Holdings, Inc., Class A^*		7,615		42,720
Express, Inc.^*		4,230		73,094
Group 1 Automotive, Inc.		745		56,396
Hooker Furniture Corp.		1,830		46,189
Isle of Capri Casinos, Inc.^*		3,310		46,108
KB Home		2,130		26,263
Reading International, Inc., Class A^*		1,800		23,598
Ruth’s Hospitality Group, Inc.		550		8,756
Scholastic Corp.		3,060		117,994
Sonic Automotive, Inc., Class A		3,730		84,895
Total Consumer Discretionary				935,630
Consumer Staples—3.9%
Central Garden and Pet Co., Class A^*		2,140		29,104
Dean Foods Co.¹		8,445		144,832
Fresh Del Monte Produce, Inc.		4,085		158,825
Ingles Markets, Inc., Class A		10		441
Omega Protein Corp.^*		1,090		24,198
Post Holdings, Inc.^*		230		14,191
SpartanNash Co.		1,630		35,273
Universal Corp.		920		51,594
Village Super Market, Inc., Class A		1,220		32,147
Total Consumer Staples				490,605
Energy—4.2%
Alon USA Energy, Inc.		4,510		66,928
Green Plains, Inc.		1,080		24,732
Matrix Service Co.^*		4,160		85,446
McDermott International, Inc.^*		12,560		42,076
Navios Maritime Acquisition Corp.		22,100		66,521
Nordic American Tankers, Ltd.¹		1,750		27,195
Oasis Petroleum, Inc.^*,1		4,390		32,354
PDC Energy, Inc.^*		2,050		109,429
RSP Permian, Inc.^*		810		19,756
Teekay Tankers, Ltd., Class A		9,060		62,333


	Shares		Value
TETRA Technologies, Inc.^*		560	$	4,211
Triangle Petroleum Corp.^*		70		54
Total Energy				541,035
Financials—43.8%
Access National Corp.		1,060		21,688
Ambac Financial Group, Inc.^*		1,340		18,881
ARMOUR Residential REIT, Inc.		9,185		199,866
Ashford Hospitality Trust, Inc.		16,440		103,736
BancorpSouth, Inc.		4,820		115,632
BBCN Bancorp, Inc.		7,405		127,514
Beneficial Bancorp, Inc.^*		13,860		184,615
Cardinal Financial Corp.		1,560		35,490
Cash America International, Inc.		3,510		105,124
Cathay General Bancorp		6,240		195,499
CenterState Banks, Inc.		5,790		90,613
Chemical Financial Corp.		950		32,556
CommunityOne Bancorp^*		500		6,735
Cousins Properties, Inc.		4,490		42,341
CubeSmart		5,070		155,243
DCT Industrial Trust, Inc.		480		17,938
DiamondRock Hospitality Co.		3,790		36,574
Enterprise Financial Services Corp.		1,410		39,974
EPR Properties		3,275		191,424
Federal Agricultural Mortgage Corp., Class C		230		7,261
First American Financial Corp.		1,120		40,208
First Defiance Financial Corp.		1,550		58,559
First Financial Bancorp		6,070		109,685
First Industrial Realty Trust, Inc.		960		21,245
First NBC Bank Holding Co.^*		410		15,330
Flagstar Bancorp, Inc.^*		9,300		214,923
Fox Chase Bancorp, Inc.		540		10,957
Franklin Financial Network, Inc.^*		1,080		33,890
Government Properties Income Trust¹		5,250		83,318
Great Southern Bancorp, Inc.		1,840		83,278
Great Western Bancorp, Inc.		6,230		180,795
Hallmark Financial Services, Inc.^*		1,080		12,625
Heartland Financial USA, Inc.		2,080		65,229
Heritage Insurance Holdings, Inc.		700		15,274
Hersha Hospitality Trust		1,591		34,620
Highwoods Properties, Inc.		4,250		185,300
Infinity Property & Casualty Corp.		1,520		124,990
INTL. FCStone, Inc.^*		4,500		150,570
Investors Real Estate Trust		1,850		12,858
iStar, Inc.^*		6,910		81,054

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

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Financials—43.8% (continued)
Janus Capital Group, Inc.		2,140	$	30,153
Mack-Cali Realty Corp.		8,150		190,302
Mercantile Bank Corp.		1,230		30,184
MGIC Investment Corp.^*,1		17,900		158,057
New Residential Investment Corp.		3,115		37,878
NewStar Financial, Inc.^*		1,150		10,327
Old Second Bancorp, Inc.^*		2,090		16,386
One Liberty Properties, Inc.		1,440		30,902
Pacific Continental Corp.		1,080		16,070
Pinnacle Financial Partners, Inc.		2,400		123,264
Preferred Bank		2,480		81,890
PrivateBancorp, Inc.		6,770		277,705
PS Business Parks, Inc.		2,485		217,264
RE/MAX Holdings, Inc., Class A		1,910		71,243
Regional Management Corp.^*		1,620		25,061
RLI Corp.		430		26,552
The RMR Group, Inc., Class A^*,1		57		817
Selective Insurance Group, Inc.		1,160		38,953
ServisFirst Bancshares, Inc.		3,570		169,682
Suffolk Bancorp		710		20,128
Sunstone Hotel Investors, Inc.		6,390		79,811
Symetra Financial Corp.		1,230		39,077
United Fire Group, Inc.		3,910		149,792
Universal Insurance Holdings, Inc.		7,240		167,823
Valley National Bancorp		9,590		94,462
Walker & Dunlop, Inc.^*		1,400		40,334
Western Alliance Bancorp^*		4,410		158,143
Total Financials				5,565,672
Health Care—4.7%
AmSurg Corp.^*		240		18,240
Anacor Pharmaceuticals, Inc.^*		475		53,661
Cross Country Healthcare, Inc.^*		1,410		23,110
CryoLife, Inc.		2,290		24,686
Five Star Quality Care, Inc.^*		6,210		19,748
Greatbatch, Inc.^*		260		13,650
ICU Medical, Inc.^*		970		109,397
Invacare Corp.		340		5,913
Merrimack Pharmaceuticals, Inc.^*		4,625		36,538
Orthofix International NV^*		1,500		58,815
Owens & Minor, Inc.		720		25,906
PharMerica Corp.^*		630		22,050
Theravance, Inc.¹		8,360		88,114
Triple-S Management Corp., Class B^*		3,900		93,249
Total Health Care				593,077


	Shares		Value
Industrials—14.2%
ACCO Brands Corp.^*		7,420	$	52,905
Actuant Corp., Class A		730		17,491
Aerojet Rocketdyne Holdings, Inc.^*		1,210		18,949
ArcBest Corp.		10		214
Argan, Inc.		2,660		86,184
Atlas Air Worldwide Holdings, Inc.^*		2,010		83,093
Briggs & Stratton Corp.		2,450		42,385
CBIZ, Inc.^*		8,350		82,331
Deluxe Corp.		2,430		132,532
Dycom Industries, Inc.^*		340		23,786
EMCOR Group, Inc.		1,740		83,590
Ennis, Inc.		3,880		74,690
Federal Signal Corp.		7,800		123,630
FreightCar America, Inc.		3,570		69,365
Global Brass & Copper Holdings, Inc.		4,110		87,543
Heidrick & Struggles International, Inc.		1,800		48,996
Kaman Corp.		1,030		42,034
Lawson Products, Inc.^*		1,160		27,086
LSI Industries, Inc.		980		11,946
Lydall, Inc.^*		3,620		128,438
Moog, Inc., Class A^*		1,170		70,902
MRC Global, Inc.^*		8,200		105,780
National Presto Industries, Inc.		760		62,974
PAM Transportation Services, Inc.^*		1,415		39,040
SkyWest, Inc.		1,520		28,910
Teledyne Technologies, Inc.^*		440		39,028
TriMas Corp.^*		1,940		36,181
Universal Forest Products, Inc.		2,245		153,491
West Corp.		740		15,962
YRC Worldwide, Inc.^*		930		13,187
Total Industrials				1,802,643
Information Technology—10.7%
Advanced Energy Industries, Inc.^*		1,740		49,120
Advanced Micro Devices, Inc.^*		18,390		52,779
Alpha & Omega Semiconductor, Ltd.^*		3,360		30,878
Cohu, Inc.		4,960		59,867
Comtech Telecommunications Corp.		10		201
Convergys Corp.		1,240		30,864
CSG Systems International, Inc.		420		15,112
ePlus, Inc.^*		710		66,215
Fairchild Semiconductor International, Inc.^*		1,565		32,411
II-VI, Inc.^*		1,930		35,821
IXYS Corp.		2,120		26,776
Multi-Fineline Electronix, Inc.^*		6,890		142,485

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

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Information Technology—10.7% (continued)
NeoPhotonics Corp.^*		5,550	$	60,273
NETGEAR, Inc.^*		2,030		85,077
NeuStar, Inc., Class A^*,1		5,530		132,554
Oclaro, Inc.^*		9,950		34,626
OSI Systems, Inc.^*		160		14,186
RetailMeNot, Inc.^*		1,470		14,582
Sanmina Corp.^*		4,175		85,922
Sykes Enterprises, Inc.^*		2,490		76,642
SYNNEX Corp.		720		64,750
Take-Two Interactive Software, Inc.^*		2,990		104,172
Tech Data Corp.^*		1,750		116,165
Tessera Technologies, Inc.		1,125		33,761
Total Information Technology				1,365,239
Materials—2.8%
Commercial Metals Co.		7,255		99,321
Greif, Inc., Class A		2,740		84,419
Innospec, Inc.		1,790		97,215
Rayonier Advanced Materials, Inc.		1,610		15,762
Ryerson Holding Corp.^*		3,090		14,430
Schweitzer-Mauduit International, Inc.		280		11,757
Stepan Co.		695		34,535
Total Materials				357,439
Telecommunication Services—0.6%
Atlantic Tele-Network, Inc.		270		21,122
IDT Corp., Class B		2,420		28,217
Shenandoah Telecommunications Co.		780		33,579
Total Telecommunication Services				82,918
Utilities—7.4%
American States Water Co.		4,780		200,521
Artesian Resources Corp., Class A		610		16,897
Atlantic Power Corp.		2,990		5,890
Chesapeake Utilities Corp.		1,660		94,205


	Shares		Value
Cleco Corp.		820	$	42,812
IDACORP, Inc.		2,940		199,920
Middlesex Water Co.		1,670		44,322
New Jersey Resources Corp.		3,370		111,075
Ormat Technologies, Inc.		920		33,552
WGL Holdings, Inc.		2,990		188,340
Total Utilities				937,534
Total Common Stocks (cost $12,865,125)				12,671,792

	Principal Amount
Short-Term Investments—4.4%
Repurchase Agreements—3.4%²
HSBC Securities USA Inc., dated 12/31/15, due 01/04/16, 0.290%, total to be received $65,726 (collateralized by a U.S. Government Agency Obligation, 3.000%, 11/15/44,totaling $67,039)	$	65,724		65,724
RBC Capital Markets LLC, dated 12/31/15, due 01/04/16, 0.280%, total to be received $372,446 (collateralized by various U.S. Government Agency Obligations, 0.000% - 7.000%, 04/20/25 - 03/20/65,totaling $379,883)		372,434		372,434
Total Repurchase Agreements				438,158

	Shares
Other Investment Companies—1.0%³
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.26%		126,146		126,146
Total Short-Term Investments (cost $564,304)				564,304
Total Investments—104.1% (cost $13,429,429)				13,236,096
Other Assets, less Liabilities—(4.1)%				(525,912	)
Net Assets—100.0%			$	12,710,184

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

AMG Managers High Yield Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

The AMG Managers High Yield Fund (Investor Class Shares) (the “Fund”) returned (4.8)% for the year ended December 31, 2015, compared with (4.5)% for the Barclays U.S. Corporate High Yield Bond Index (the Index).

MARKET RECAP

Sentiment within high yield eroded in 2015 on continued global growth uncertainty, geopolitical turmoil, further declines in energy and commodity-related prices and deteriorating technicals. The result of this challenging year was a (4.6)% annual return (as measured by the BAML US High Yield Master II Constrained Index) for high yield, which lagged five-year Treasuries (GA05), +1.5%; Emerging Markets (EMCB), 1.1%; U.S. Aggregate (D0A0), 0.6%; and high-grade credit (C0A0), (0.6)%. Negative returns for high yield were posted in six of the last seven months of the year and the annual return for 2015 was the first negative occurrence in a non-recessionary period. High yield spreads widened a dramatic 193 basis points (bps) for the 12-month period, closing the year at 697 bps. For the same period, yields rose from 6.65% at December 31, 2014, to 8.77%.

Higher quality outperformed dramatically as double-Bs returned (1.2)%, besting single-Bs, (4.7)%, and CCCs, (15.8)%, for the year. Not surprisingly, energy (23.6%) and metals and mining (26.2%) were the worst sector performers, while consumer goods (6.4%) and banking (5.6%) were top sector performers. Big and liquid names (as measured by the Barclays Very Liquid Index) underperformed for the year, posting a return of (5.3)%, trailing the broader high yield market by 65 bps.

2015 new high yield issuance totaled $293 billion, 18% below last year’s issuance tally. Issuers were of better quality overall but acquisition and general corporate purpose use of proceeds increased significantly versus previous years and were more than 50% of new issuance in 2015. With periods of market volatility and declining risk appetites,

technicals were challenging and full-year outflows for U.S. high yield mutual funds totaled $13.4 billion.

The default rate moved lower over the year to 1.82% as Caesars Entertainment dropped from the trailing 12-month par-weighted rate. Excluding energy and metals and mining, the default rate dropped further to 0.30% but will likely increase in 2016, largely driven by commodity-related issuers.

PERFORMANCE AND POSITIONING

The Fund slightly underperformed the Index for the year due to security selection in the independent energy, telecommunications and retailers sectors. Specifically, relative weightings in Sprint Corporation, Claire’s Stores, Legacy Reserves/ Finance and Breitburn Energy Partners hindered results for the year. Alternatively, relative contributions from security selection in the metals and mining, oil field services and consumer products sectors enhanced performance in 2015. The largest contributors came from relative weightings in HCA, First Data Corporation, Reichhold and Caesars Entertainment Corporation.

Compared to the Index at year end, the Fund was overweight in technology, consumer products and gaming due to our view of the relative value opportunities within those sectors. The Fund was underweight in banking/financials, metals and mining and home construction because we have not found these sectors compelling due to challenging fundamental outlooks or rich valuations. Relative to the Index at year end, the Fund’s spread and yield are lower and the duration of the Fund remains slightly shorter than that of the Index.

MARKET OUTLOOK

The impact on global growth from the slowdown in China, coupled with commodity-induced weakness, has increased global recessionary risks. Despite these headwinds, we expect the majority of high yield issuers to maintain solid fundamentals with reasonable growth in revenues

and cash flows. We believe broader market high yield spreads are very attractive and overly discount recessionary risks in the developed markets. We expect defaults to increase to 2.5-3.5% in 2016 driven largely by commodity-related issuers. Commodity-related security prices have moved aggressively lower to reflect the reality of current energy prices for a longer period of time. For the vast majority of the high yield market, the decline in oil is a benefit to either end-demand or cost inputs and should be supportive of fundamentals. However, weak technicals and increased economic uncertainty have contributed to broadening performance pressure away from the energy and commodity-related sectors. New issue activity has slowed due to broader market volatility and commodity markets pressure. Acquisition and general corporate purposes use of proceeds are now more than 50% of new issue volume. As central bank policies develop and if global growth concerns continue, we expect episodes of volatility to persist while dispersion of returns among individual issuers, industry sectors and rating buckets will increase. Spread and performance volatility may also continue around technical pressures resulting from retail fund flows. We believe our current Fund portfolio positioning and our fundamental research, bottom-up-oriented style should allow us to take advantage of market opportunities.

This commentary reflects the viewpoints of the Fund’s subadvisor, JP Morgan Asset Management as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

AMG Managers High Yield Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG Managers High Yield Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in the Fund’s Investor Class shares on December 31, 2005 to a $10,000 investment made in the Barclays U.S. Corporate High Yield Bond Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns for the Fund would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG Managers High Yield Fund and the Barclays U.S. Corporate High Yield Bond Index for the same time periods ended December 31, 2015.


	One			Five			Ten
Average Annual Total Returns¹	Year			Years			Years
AMG Managers High Yield Fund ^2,3,4,5,6,7
Investor Class		(4.77	)%		4.42	%		5.66	%
Institutional Class		(4.56	)%		4.67	%		5.95	%
Barclays U.S. Corporate High Yield Bond Index⁸		(4.47	)%		5.04	%		6.96	%

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

²	From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.

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.

⁴

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.

⁵	A short term redemption fee of 2% will be charged on shares held for less than 90 days.

⁶	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.

⁷	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.

⁸

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.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG Managers High Yield Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


	AMG Managers
Sector	High Yield Fund**
Industrials		85.4	%
Financials		6.3	%
Floating Rate Senior Loan Interests		4.3	%
Utilities		1.1	%
Other Assets and Liabilities		2.9	%

^** As a percentage of net assets.

	AMG Managers
Rating	High Yield Fund^***
Baa		3.5	%
Ba		34.3	%
B		46.4	%
Caa & lower		11.0	%
N/R		4.8	%

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

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
HCA, Inc., 7.500%, 02/15/22*		1.6	%
First Data Corp., 5.750%, 01/15/24		1.5
Sprint Corp., 7.875%, 09/15/23*		1.4
Sprint Capital Corp., 8.750%, 03/15/32*		1.1
Caesars Entertainment Operating Co., Inc., 9.000%, 02/15/20*		1.1
Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/22*		1.1
Intelsat Jackson Holdings SA, 7.250%, 10/15/20*		1.1
HCA, Inc., 5.375%, 02/01/25*		1.0
Valeant Pharmaceuticals International, Inc., 7.500%, 07/15/21*		1.0
Serta Simmons Bedding LLC, 8.125%, 10/01/20		0.8

Top Ten as a Group		11.7	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG Managers High Yield Fund

Schedule of Portfolio Investments

December 31, 2015


	Principal Amount		Value
Corporate Bonds and Notes—92.5%
Financials—6.3%
Ally Financial, Inc.,
3.500%, 01/27/19	$	75,000	$	74,156
4.625%, 05/19/22		80,000		80,600
4.625%, 03/30/25¹		135,000		133,650
5.125%, 09/30/24		35,000		35,962
5.750%, 11/20/25		40,000		40,600
Bank of America Corp., Series K, 8.000%, 07/29/49^4,5		165,000		168,094
Chinos Intermediate Holdings A, Inc., (7.750% Cash or 8.500% PIK), 7.750%, 05/01/19 (a)⁶		60,000		15,300
CIT Group, Inc.,
3.875%, 02/19/19		100,000		99,750
5.500%, 02/15/19 (a)		120,000		125,700
Cogent Communications Finance, Inc., 5.625%, 04/15/21 (a)		90,000		83,925
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.250%, 10/15/23		100,000		85,000
Corrections Corp. of America,
4.125%, 04/01/20		50,000		49,750
4.625%, 05/01/23		110,000		106,700
5.000%, 10/15/22		25,000		25,000
Equinix, Inc.,
5.375%, 01/01/22		25,000		25,750
5.750%, 01/01/25		20,000		20,550
5.875%, 01/15/26		25,000		25,812
General Motors Financial Co., Inc.,
3.450%, 04/10/22		5,000		4,803
4.250%, 05/15/23		30,000		29,721
International Lease Finance Corp.,
4.625%, 04/15/21		25,000		25,688
5.875%, 04/01/19		185,000		196,562
6.250%, 05/15/19		40,000		42,950
Interval Acquisition Corp., 5.625%, 04/15/23 (a)		65,000		64,838
Newfield Exploration Co., 5.750%, 01/30/22		35,000		31,150
Serta Simmons Bedding LLC, 8.125%, 10/01/20 (a)		235,000		246,750
Vanguard Natural Resources LLC / VNR Finance Corp., 7.875%, 04/01/20		50,000		13,500
Total Financials				1,852,261
Industrials—85.1%
1011778 BC ULC / New Red Finance, Inc., 6.000%, 04/01/22 (a)		70,000		72,275
21st Century Oncology, Inc., 11.000%, 05/01/23 (a)		65,000		50,375
ACCO Brands Corp., 6.750%, 04/30/20		110,000		113,850
ACI Worldwide, Inc., 6.375%, 08/15/20 (a)		50,000		51,687

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
The ADT Corp.,
3.500%, 07/15/22	$	95,000	$	85,500
6.250%, 10/15/21¹		10,000		10,495
AECOM,
5.750%, 10/15/22		20,000		20,675
5.875%, 10/15/24		25,000		25,594
Aerojet Rocketdyne Holdings, Inc., 7.125%, 03/15/21		125,000		130,625
Air Medical Merger Sub Corp., 6.375%, 05/15/23 (a)		70,000		62,650
Aircastle, Ltd., 5.125%, 03/15/21		20,000		20,600
Alere, Inc.,
6.375%, 07/01/23 (a)¹		30,000		28,125
6.500%, 06/15/20		20,000		19,300
Allegion PLC, 5.875%, 09/15/23		15,000		15,338
Allegion US Holding Co., Inc., 5.750%, 10/01/21		30,000		30,525
Altice Luxembourg, S.A., 7.750%, 05/15/22 (a)		200,000		181,000
AMC Entertainment, Inc., 5.750%, 06/15/25		85,000		85,637
American Axle & Manufacturing, Inc.,
6.250%, 03/15/21		25,000		25,969
6.625%, 10/15/22		55,000		57,750
American Energy-Permian Basin LLC / AEPB Finance Corp.,
7.125%, 11/01/20 (a)		20,000		7,625
7.375%, 11/01/21 (a)		40,000		15,800
8.000%, 06/15/20 (a)		35,000		26,075
Amkor Technology, Inc.,
6.375%, 10/01/22¹		125,000		122,031
6.625%, 06/01/21		60,000		59,775
Anixter, Inc., 5.500%, 03/01/23 (a)		80,000		80,600
Antero Resources Corp.,
5.125%, 12/01/22		20,000		15,300
5.375%, 11/01/21		40,000		32,200
6.000%, 12/01/20		15,000		12,600
Apex Tool Group LLC, 7.000%, 02/01/21 (a)		25,000		19,375
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (a)		200,000		206,500
Argos Merger Sub, Inc., 7.125%, 03/15/23 (a)		175,000		173,950
Ashland, Inc., 4.750%, 08/15/22 (b)		195,000		190,369
Ashtead Capital, Inc., 6.500%, 07/15/22 (a)		35,000		36,662
Aspect Software, Inc., 10.625%, 05/15/17⁷		80,000		62,800
Associated Materials LLC / AMH New Finance, Inc., 9.125%, 11/01/17		40,000		27,800
Atwood Oceanics, Inc., 6.500%, 02/01/20		75,000		40,500

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
Audatex North America, Inc., 6.000%, 06/15/21 (a)	$	150,000	$	151,688
Avaya, Inc., 7.000%, 04/01/19 (a)		115,000		85,675
Avis Budget Car Rental LLC / Avis Budget Finance, Inc.,
5.125%, 06/01/22 (a)		10,000		9,912
5.500%, 04/01/23¹		95,000		95,594
B&G Foods, Inc., 4.625%, 06/01/21		55,000		54,656
Belden, Inc., 5.500%, 09/01/22 (a)		85,000		82,238
Berry Petroleum Co. LLC, 6.375%, 09/15/22		20,000		4,950
Berry Plastics Corp., 6.000%, 10/15/22 (a)		20,000		20,450
Blackboard, Inc., 7.750%, 11/15/19 (a)		75,000		65,250
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (a)		75,000		52,125
Bombardier, Inc.,
7.500%, 03/15/25 (a)		105,000		74,025
7.750%, 03/15/20 (a)		40,000		32,500
BreitBurn Energy Partners, L.P. / BreitBurn Finance Corp.,
7.875%, 04/15/22		40,000		7,400
8.625%, 10/15/20		70,000		14,350
Bumble Bee Holding, Inc., 9.000%, 12/15/17 (a)		110,000		111,650
Caesars Entertainment Operating Co., Inc.,
8.500%, 02/15/20^1,8		125,000		95,625
9.000%, 02/15/20⁸		490,000		374,727
11.250%, 06/01/17⁸		115,000		86,825
California Resources Corp.,
6.000%, 11/15/24		20,000		6,150
8.000%, 12/15/22 (a)		52,000		27,495
Carrizo Oil & Gas, Inc., 6.250%, 04/15/23		20,000		16,300
CCO Holdings LLC / CCO Holdings Capital Corp.,
5.125%, 05/01/23 (a)		115,000		115,288
5.375%, 05/01/25 (a)¹		120,000		119,700
6.625%, 01/31/22		65,000		68,656
CCOH Safari LLC, 5.750%, 02/15/26 (a)		130,000		130,650
Central Garden & Pet Co., 6.125%, 11/15/23		40,000		40,600
CenturyLink, Inc.,
Series T, 5.800%, 03/15/22		60,000		55,215
Series W, 6.750%, 12/01/23		215,000		202,369
The Chemours Co.,
6.625%, 05/15/23 (a)¹		65,000		45,825
7.000%, 05/15/25 (a)		20,000		13,700
Chesapeake Energy Corp.,
3.571%, 04/15/19 (01/15/16)⁹		15,000		4,238

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
Chesapeake Energy Corp.,
8.000%, 12/15/22 (a)¹	$	102,000	$	50,490
Cinemark USA, Inc.,
4.875%, 06/01/23		25,000		24,469
7.375%, 06/15/21		80,000		84,500
Claire’s Stores, Inc.,
8.875%, 03/15/19		70,000		16,800
9.000%, 03/15/19 (a)		145,000		88,450
Clean Harbors, Inc., 5.250%, 08/01/20		85,000		87,125
Clear Channel Worldwide Holdings, Inc.,
6.500%, 11/15/22		85,000		82,344
Series A, 7.625%, 03/15/20		55,000		50,256
Series B, 6.500%, 11/15/22		325,000		318,094
Series B, 7.625%, 03/15/20		155,000		143,762
CNH Industrial Capital LLC,
3.625%, 04/15/18		30,000		29,685
4.375%, 11/06/20		35,000		33,075
Cogent Communications Group, Inc., 5.375%, 03/01/22 (a)		70,000		68,425
CommScope Technologies Finance LLC, 6.000%, 06/15/25 (a)		75,000		72,375
CommScope, Inc.,
5.000%, 06/15/21 (a)		30,000		28,875
5.500%, 06/15/24 (a)		35,000		33,381
Comstock Resources, Inc., 10.000%, 03/15/20 (a)¹		80,000		37,200
Concho Resources, Inc., 5.500%, 04/01/23		5,000		4,650
CONSOL Energy, Inc., 5.875%, 04/15/22¹		30,000		18,750
Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp.,
6.125%, 03/01/22		10,000		7,000
6.250%, 04/01/23 (a)		35,000		24,588
CSI Compressco L.P. / Compressco Finance, Inc., 7.250%, 08/15/22		20,000		14,900
Dana Holding Corp.,
5.375%, 09/15/21		25,000		24,906
5.500%, 12/15/24		55,000		53,625
6.000%, 09/15/23		60,000		60,450
6.750%, 02/15/21		25,000		25,781
DaVita HealthCare Partners, Inc., 5.000%, 05/01/25		70,000		67,725
Denali Borrower LLC / Denali Finance Corp., 5.625%, 10/15/20 (a)		100,000		105,000
Denbury Resources, Inc.,
4.625%, 07/15/23		55,000		17,978
5.500%, 05/01/22		95,000		32,013

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
DISH DBS Corp.,
5.000%, 03/15/23	$	175,000	$	152,250
5.875%, 07/15/22		205,000		191,675
5.875%, 11/15/24		80,000		71,400
6.750%, 06/01/21		175,000		176,750
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp., 8.125%, 06/15/21 (a)		155,000		137,950
DreamWorks Animation SKG, Inc., 6.875%, 08/15/20 (a)		109,000		107,910
Energizer Holdings, Inc., 5.500%, 06/15/25 (a)		75,000		70,688
Entegris, Inc., 6.000%, 04/01/22 (a)		65,000		66,056
EP Energy LLC / Everest Acquisition Finance, Inc.,
7.750%, 09/01/22		65,000		33,475
9.375%, 05/01/20		170,000		109,225
EV Energy Partners, L.P. / EV Energy Finance Corp., 8.000%, 04/15/19		90,000		45,450
FGI Operating Co. LLC / FGI Finance, Inc., 7.875%, 05/01/20		110,000		79,750
First Data Corp.,
5.750%, 01/15/24 (a)		440,000		434,500
7.000%, 12/01/23 (a)		90,000		90,225
8.750%, 01/15/22 (a)		118,000		123,440
Frontier Communications Corp.,
6.250%, 09/15/21		20,000		17,050
6.875%, 01/15/25		35,000		28,962
10.500%, 09/15/22 (a)		70,000		69,912
11.000%, 09/15/25 (a)		185,000		183,612
Gardner Denver, Inc., 6.875%, 08/15/21 (a)		40,000		30,800
GCI, Inc., 6.750%, 06/01/21		90,000		91,800
General Cable Corp., 5.750%, 10/01/22 (b)		95,000		73,625
General Motors Co., 4.875%, 10/02/23		140,000		143,872
The Geo Group, Inc., 5.875%, 01/15/22		135,000		133,650
The Goodyear Tire & Rubber Co.,
5.125%, 11/15/23		35,000		36,050
6.500%, 03/01/21		40,000		42,200
8.750%, 08/15/20		65,000		77,512
Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19		120,000		112,200
The Gymboree Corp., 9.125%, 12/01/18		75,000		17,625
H&E Equipment Services, Inc., 7.000%, 09/01/22¹		90,000		88,650
Halcon Resources Corp.,
8.625%, 02/01/20 (a)		20,000		13,875
13.000%, 02/15/22 (a)¹		106,000		36,570
HCA Holdings, Inc., 6.250%, 02/15/21		20,000		21,250

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
HCA, Inc.,
5.250%, 04/15/25	$	25,000	$	25,250
5.375%, 02/01/25		305,000		301,569
5.875%, 02/15/26		100,000		100,625
7.500%, 02/15/22		430,000		478,375
HD Supply, Inc., 5.250%, 12/15/21 (a)		40,000		40,950
HealthSouth Corp.,
5.750%, 11/01/24		25,000		23,969
5.750%, 09/15/25 (a)		30,000		28,050
5.750%, 11/01/24 (a)		5,000		4,794
7.750%, 09/15/22		30,000		31,350
The Hertz Corp.,
5.875%, 10/15/20¹		80,000		82,900
6.250%, 10/15/22¹		75,000		78,000
7.375%, 01/15/21¹		80,000		83,400
Hexion, Inc.,
6.625%, 04/15/20		255,000		199,538
8.875%, 02/01/18		80,000		56,800
Hiland Partners, L.P. / Hiland Partners Finance Corp., 7.250%, 10/01/20 (a)		55,000		55,619
The Hillman Group, Inc., 6.375%, 07/15/22 (a)		70,000		58,450
Hill-Rom Holdings, Inc., 5.750%, 09/01/23 (a)		35,000		35,875
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 5.625%, 10/15/21		40,000		41,650
HRG Group, Inc., 7.750%, 01/15/22 (a)		15,000		14,756
Huntsman International LLC,
4.875%, 11/15/20¹		100,000		91,750
5.125%, 11/15/22 (a)¹		75,000		67,875
iHeartCommunications, Inc.,
9.000%, 03/01/21		105,000		73,631
10.625%, 03/15/23		45,000		31,680
INEOS Group Holdings, S.A., 5.875%, 02/15/19 (a)¹		200,000		194,750
Infinity Acquisition LLC / Infinity Acquisition Finance Corp., 7.250%, 08/01/22 (a)		60,000		51,900
Infor Software Parent LLC / Infor Software Parent, Inc., (7.125% Cash or 7.875% PIK), 7.125%, 05/01/21 (a)⁶		115,000		83,519
Infor US, Inc., 6.500%, 05/15/22 (a)		185,000		156,788
Informatica LLC, 7.125%, 07/15/23 (a)		90,000		81,900
Intelsat Jackson Holdings S.A.,
5.500%, 08/01/23		110,000		86,900
6.625%, 12/15/22		55,000		35,338
7.250%, 04/01/19		50,000		46,125
7.250%, 10/15/20		355,000		312,400
7.500%, 04/01/21		35,000		30,625

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
Intelsat Luxembourg, S.A., 7.750%, 06/01/21	$	105,000	$	49,612
International Game Technology PLC, 6.500%, 02/15/25 (a)		200,000		176,500
inVentiv Health, Inc.,
9.000%, 01/15/18 (a)		105,000		107,888
10.000%, 08/15/18 (b)		35,000		33,865
inVentiv Health, Inc., (10.000% Cash or 12.000% PIK), 10.000%, 08/15/18 (a)⁶		50,562		48,160
Iron Mountain, Inc., 6.000%, 08/15/23		70,000		72,712
Isle of Capri Casinos, Inc., 5.875%, 03/15/21		60,000		61,500
J.C. Penney Corp., Inc., 6.375%, 10/15/36		90,000		56,025
Jack Cooper Holdings Corp., 10.250%, 06/01/20 (a), (b)		120,000		100,200
James Hardie International Finance, Ltd., 5.875%, 02/15/23 (a)		20,000		20,500
JCH Parent, Inc., (10.500% Cash or 11.250% PIK), 10.500%, 03/15/19 (a)⁶		44,031		27,299
Kindred Healthcare, Inc.,
8.000%, 01/15/20		60,000		56,400
8.750%, 01/15/23		35,000		32,331
Kinetic Concepts, Inc. / KCI USA, Inc., 10.500%, 11/01/18 (b)		150,000		146,625
KLX, Inc., 5.875%, 12/01/22 (a)		90,000		85,950
Kratos Defense & Security Solutions, Inc., 7.000%, 05/15/19		69,000		47,351
Laredo Petroleum, Inc., 5.625%, 01/15/22		35,000		30,625
Lear Corp., 5.250%, 01/15/25		65,000		66,462
Legacy Reserves, L.P. / Legacy Reserves Finance Corp.,
6.625%, 12/01/21		40,000		8,600
8.000%, 12/01/20		70,000		15,050
Level 3 Communications, Inc., 5.750%, 12/01/22		60,000		61,500
Level 3 Financing, Inc.,
5.125%, 05/01/23 (a)		30,000		29,888
5.375%, 01/15/24 (a)		40,000		40,300
5.375%, 05/01/25 (a)		45,000		44,944
Linn Energy LLC / Linn Energy Finance Corp.,
7.750%, 02/01/21		90,000		13,500
8.625%, 04/15/20¹		10,000		1,762
12.000%, 12/15/20 (a)		25,000		12,750
LSB Industries, Inc., 7.750%, 08/01/19		104,000		86,840
LTF Merger Sub, Inc., 8.500%, 06/15/23 (a)		90,000		86,400
Magnachip Semiconductor Corp., 6.625%, 07/15/21 (b)		105,000		73,894
Mallinckrodt International Finance, S.A. / Mallinckrodt CB LLC,
4.875%, 04/15/20 (a)		25,000		24,188
5.500%, 04/15/25 (a)		35,000		32,375
5.625%, 10/15/23 (a)		40,000		38,200
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance, 9.750%, 04/01/21 (b)		55,000		58,575

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
MEG Energy Corp.,
6.375%, 01/30/23 (a)	$	75,000	$	51,750
7.000%, 03/31/24 (a)		100,000		71,500
Memorial Production Partners, L.P. / Memorial Production Finance Corp.,
6.875%, 08/01/22		30,000		9,150
7.625%, 05/01/21		80,000		24,400
MGM Resorts International,
5.250%, 03/31/20		155,000		154,225
6.000%, 03/15/23¹		160,000		159,200
6.750%, 10/01/20		20,000		20,650
7.750%, 03/15/22		190,000		202,588
Micron Technology, Inc.,
5.250%, 01/15/24 (a)		90,000		79,425
5.500%, 02/01/25		35,000		30,538
5.875%, 02/15/22		10,000		9,762
Midcontinent Communications & Midcontinent Finance Corp., 6.875%, 08/15/23 (a)		85,000		86,488
MPLX L.P.,
4.875%, 12/01/24 (a)		30,000		27,075
4.875%, 06/01/25 (a)		115,000		103,500
5.500%, 02/15/23 (a)		85,000		74,800
Neiman Marcus Group, Ltd. LLC, 8.000%, 10/15/21 (a)		40,000		29,800
Neiman Marcus Group, Ltd. LLC (8.750% Cash or 9.500% PIK), 8.750%, 10/15/21 (a)⁶		80,000		50,000
Neptune Finco Corp., 10.875%, 10/15/25 (a)		200,000		210,000
Nexeo Solutions LLC / Nexeo Solutions Finance Corp., 8.375%, 03/01/18		75,000		70,688
Nexstar Broadcasting, Inc.,
6.125%, 02/15/22 (a)		25,000		24,562
6.875%, 11/15/20		120,000		123,150
The Nielsen Co. Luxembourg SARL, 5.500%, 10/01/21 (a)		40,000		41,150
Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 (a)		65,000		64,431
Noranda Aluminum Acquisition Corp., 11.000%, 06/01/19		35,000		5,162
Numericable-SFR SAS, 6.000%, 05/15/22 (a)		200,000		194,500
NXP B.V. / NXP Funding LLC, 5.750%, 02/15/21 (a)		200,000		208,750
Oasis Petroleum, Inc., 6.875%, 03/15/22		85,000		54,825
Omega US Sub LLC, 8.750%, 07/15/23 (a)		75,000		69,562
Orbital ATK, Inc., 5.250%, 10/01/21		60,000		60,600
Oshkosh Corp.,
5.375%, 03/01/22		45,000		45,225
5.375%, 03/01/25		20,000		19,700
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.625%, 02/15/24		15,000		15,469
Party City Holdings, Inc., 6.125%, 08/15/23 (a)¹		50,000		48,750

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
Peabody Energy Corp.,
6.250%, 11/15/21	$	85,000	$	12,112
6.500%, 09/15/20		15,000		2,138
Petco Animal Supplies, Inc., 9.250%, 12/01/18 (a)		110,000		113,025
Plantronics, Inc., 5.500%, 05/31/23 (a)		45,000		44,888
Post Holdings, Inc.,
6.000%, 12/15/22 (a)		50,000		49,188
6.750%, 12/01/21 (a)		10,000		10,225
7.375%, 02/15/22		140,000		146,475
7.750%, 03/15/24 (a)¹		75,000		78,750
8.000%, 07/15/25 (a)		45,000		47,812
Quebecor Media, Inc., 5.750%, 01/15/23		180,000		182,025
Quebecor World, Escrow, 6.500%, 08/01/27^*,7,8		165,000		433
Qwest Capital Funding, Inc., 7.750%, 02/15/31		65,000		55,412
Radio Systems Corp., 8.375%, 11/01/19 (a)		105,000		109,200
Rain CII Carbon LLC / CII Carbon Corp., 8.000%, 12/01/18 (a)		30,000		25,875
Range Resources Corp., 4.875%, 05/15/25 (a)		45,000		34,369
Regal Entertainment Group,
5.750%, 03/15/22		55,000		55,206
5.750%, 06/15/23		10,000		10,000
Regency Energy Partners, L.P. / Regency Energy Finance Corp.,
5.000%, 10/01/22		35,000		31,049
5.500%, 04/15/23¹		45,000		40,575
5.875%, 03/01/22		20,000		18,875
Reichhold Holdings International B.V.,
12.000%, 03/13/17⁷		82,609		82,609
15.000%, 03/13/17⁷		52,671		52,671
Reichhold Industries, Inc., (9.000% Cash or 11.000% PIK), 9.000%, 05/08/17^6,7,8		88,947		—
Reichhold LLC, 12.000%, 03/13/17⁷		35,000		35,000
Rentech Nitrogen Partners, L.P. / Rentech Nitrogen Finance Corp., 6.500%, 04/15/21 (a)		40,000		39,000
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu,
5.750%, 10/15/20		145,000		147,855
9.000%, 04/15/19		230,000		227,125
RHP Hotel Properties, L.P. / RHP Finance Corp., 5.000%, 04/15/21		75,000		76,688
Rite Aid Corp., 6.125%, 04/01/23 (a)		110,000		114,262
Riverbed Technology Inc., 8.875%, 03/01/23 (a)		100,000		92,875
RSI Home Products, Inc., 6.500%, 03/15/23 (a)		105,000		108,675
RSP Permian, Inc., 6.625%, 10/01/22		15,000		13,875
Sabine Pass Liquefaction LLC,
5.625%, 03/01/25 (a)		25,000		21,250

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
Sabine Pass Liquefaction LLC,
5.750%, 05/15/24	$	100,000	$	87,500
6.250%, 03/15/22		100,000		93,000
Sabre GLBL, Inc.,
5.250%, 11/15/23 (a)		35,000		34,781
5.375%, 04/15/23 (a)		70,000		70,000
Sally Holdings LLC / Sally Capital, Inc., 5.625%, 12/01/25		30,000		30,450
Sanchez Energy Corp., 6.125%, 01/15/23¹		55,000		29,975
SandRidge Energy, Inc., 8.125%, 10/15/22		70,000		8,050
SBA Telecommunications, Inc., 5.750%, 07/15/20		45,000		46,969
The Scotts Miracle-Gro Co., 6.000%, 10/15/23 (a)		40,000		41,900
Sensata Technologies BV, 5.000%, 10/01/25 (a)		20,000		19,600
Service Corp. International, 7.500%, 04/01/27		115,000		133,975
Sinclair Television Group, Inc.,
5.375%, 04/01/21		85,000		85,531
6.125%, 10/01/22		40,000		41,000
Sirius XM Radio, Inc.,
4.625%, 05/15/23 (a)		25,000		24,594
5.375%, 04/15/25 (a)		85,000		85,744
5.750%, 08/01/21 (a)¹		105,000		108,544
6.000%, 07/15/24 (a)		40,000		41,900
SM Energy Co.,
5.625%, 06/01/25		30,000		19,875
6.125%, 11/15/22¹		10,000		7,400
6.500%, 01/01/23		10,000		7,400
Spectrum Brands, Inc., 5.750%, 07/15/25 (a)		30,000		30,900
Sprint Capital Corp.,
6.875%, 11/15/28		15,000		10,500
8.750%, 03/15/32		435,000		327,338
Sprint Corp.,
7.250%, 09/15/21		50,000		37,860
7.625%, 02/15/25		125,000		91,875
7.875%, 09/15/23		535,000		403,122
Targa Resources Partners L.P. / Targa Resources Partners Finance Corp.,
4.125%, 11/15/19		20,000		16,750
6.750%, 03/15/24 (a)		55,000		47,025
TEGNA, Inc.,
4.875%, 09/15/21 (a)		15,000		15,075
5.500%, 09/15/24 (a)		45,000		45,112

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
Tempur Sealy International, Inc.,
5.625%, 10/15/23 (a)	$	60,000	$	60,900
6.875%, 12/15/20		60,000		63,150
Tenet Healthcare Corp.,
4.500%, 04/01/21		10,000		9,800
4.750%, 06/01/20		70,000		70,700
6.000%, 10/01/20		60,000		63,450
6.750%, 06/15/23¹		245,000		227,697
8.125%, 04/01/22		220,000		220,550
Terex Corp.,
6.000%, 05/15/21		140,000		129,500
6.500%, 04/01/20		60,000		58,050
Tesoro Logistics L.P. / Tesoro Logistics Finance Corp.,
5.875%, 10/01/20		83,000		79,680
6.125%, 10/15/21		20,000		19,100
6.250%, 10/15/22 (a)		20,000		19,050
Time, Inc., 5.750%, 04/15/22 (a)		80,000		73,400
T-Mobile USA, Inc.,
6.500%, 01/15/26		65,000		65,779
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		58,350
Trinidad Drilling, Ltd., 7.875%, 01/15/19 (a)		80,000		70,800
Triumph Group, Inc., 4.875%, 04/01/21		80,000		64,850
UCI International LLC, 8.625%, 02/15/19		115,000		40,250
Ultra Petroleum Corp., 6.125%, 10/01/24 (a)		50,000		11,625
United Rentals North America, Inc.,
6.125%, 06/15/23		40,000		41,100
7.625%, 04/15/22		100,000		107,370
United States Cellular Corp., 6.700%, 12/15/33		50,000		45,000
Valeant Pharmaceuticals International, Inc.,
5.875%, 05/15/23 (a)		235,000		210,912
6.125%, 04/15/25 (a)		135,000		120,825
6.750%, 08/15/21 (a)		100,000		97,000
7.250%, 07/15/22 (a)		130,000		127,725
7.500%, 07/15/21 (a)		280,000		280,700
Videotron, Ltd., 5.375%, 06/15/24 (a)		35,000		35,262
Vista Outdoor, Inc., 5.875%, 10/01/23 (a)		35,000		36,050
Whiting Petroleum Corp.,
1.250%, 04/01/20 (a)		25,000		17,125

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—85.1% (continued)
Whiting Petroleum Corp.,
5.750%, 03/15/21¹	$	105,000	$	77,070
6.250%, 04/01/23¹		50,000		36,250
Williams Partners, L.P. / ACMP Finance Corp., 6.125%, 07/15/22		60,000		56,833
Wind Acquisition Finance, S.A., 7.375%, 04/23/21 (a)		200,000		189,500
Windstream Services LLC,
6.375%, 08/01/23		55,000		39,806
7.500%, 06/01/22		60,000		46,275
7.500%, 04/01/23		15,000		11,360
7.750%, 10/01/21		230,000		182,131
WMG Acquisition Corp.,
5.625%, 04/15/22 (a)		20,000		19,350
6.000%, 01/15/21 (a)		56,000		56,560
WPX Energy, Inc.,
5.250%, 09/15/24		25,000		16,625
8.250%, 08/01/23		85,000		68,212
WR Grace & Co., 5.625%, 10/01/24 (a)		10,000		10,138
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.500%, 03/01/25 (a)¹		150,000		134,250
XPO Logistics, Inc., 6.500%, 06/15/22 (a)		80,000		74,300
Zayo Group LLC / Zayo Capital, Inc.,
6.000%, 04/01/23		75,000		71,250
6.375%, 05/15/25		60,000		55,950
Zebra Technologies Corp., 7.250%, 10/15/22		140,000		146,650
ZF North America Capital, Inc., 4.750%, 04/29/25 (a)		175,000		167,344
Total Industrials				25,052,752
Utilities—1.1%
AES Corp.,
4.875%, 05/15/23		25,000		22,000
7.375%, 07/01/21		125,000		128,125
Dynegy, Inc.,
7.375%, 11/01/22		80,000		70,000
7.625%, 11/01/24¹		40,000		34,392
NRG Energy, Inc.,
6.250%, 07/15/22		40,000		34,280
7.875%, 05/15/21		45,000		42,412
Total Utilities				331,209
Total Corporate Bonds and Notes (cost $30,752,578)				27,236,222

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Floating Rate Senior Loan Interests—4.3%⁹
21st Century Oncology Holdings, Inc., Tranche B Term Loan, 6.500%, 04/30/22 (03/31/16)	$	99,500	$	84,575
American Energy—Marcelus, LLC, Initial Loan (First Lien), 5.250%, 08/04/20 (02/05/16)		65,000		17,631
Bway Intermediate Company, Inc., Initial Term Loan,
5.500%, 08/14/20 (02/22/16)		58,697		56,838
5.500%, 08/14/20 (03/07/16)		2,664		2,580
7.000%, 08/14/20 (01/28/16)		2,664		2,580
CD&R Millennium Holdco. 6 S.A.R.L. (Mauser Holdings), Initial Term Loan (Second Lien), 8.750%, 07/31/22 (01/29/16)		70,000		63,000
Clear Channel Communications, Inc., Term Loan D, 7.174%, 01/30/19 (01/29/16)		34,927		24,624
Evergreen Skills LUX S.A R.L., Initial Term Loan (First Lien), 5.750%, 04/28/21 (01/29/16)		98,750		77,025
Evergreen Skills LUX S.A R.L., Initial Term Loan (Second Lien), 9.250%, 04/28/22 (01/29/16)		100,000		68,334
Hercules Achievement, Inc. (Varsity Brands), Initial Term Loan (First Lien), 5.000%, 12/10/21 (03/11/16)		94,050		93,168
The Hillman Group, Inc., Initial Term Loan, 4.500%, 06/30/21 (03/31/16)		98,500		96,202
Integra Telecom Holdings, Inc., Term Loan B,
5.250%, 08/14/20 (01/29/16)		65,000		63,115
5.250%, 08/14/20 (02/29/16)		21,760		21,129
5.250%, 08/14/20 (03/31/16)		39,685		38,534
Neiman Marcus Group, Inc., Other Term Loan,
4.250%, 10/25/20 (01/29/16)		400		355
4.250%, 10/25/20 (03/07/16)		156,795		139,205
Ortho-Clinical Diagnostics Holdings Luxembourg S.A.R.L., Initial Term Loan, 4.750%, 06/30/21 (04/01/16)		98,499		84,094
Riverbed Technology Inc., Term Loan, 6.000%, 04/24/22 (03/31/16)		79,400		79,284
Steinway Musical Instruments, Inc., 1st Lien Term Loan, 4.750%, 09/19/19 (01/29/16)		97,021		96,597
Vertaforce, Inc., 2nd Lien Term Loan, 9.750%, 10/27/17 (01/29/16)		45,000		44,966
Wilton Brands LLC (FKA Wilton Brands Inc.), Tranche B Loan, 8.500%, 08/30/18 (02/29/16)		127,058		121,182
Total Floating Rate Senior Loan Interests (cost $1,445,605)				1,275,018

	Shares
Common Stocks—0.3%
Industrials—0.3%
Reichhold Cayman Equity (Industrials)⁷(cost $58,016)		148		81,252

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Short-Term Investments—7.2%
Repurchase Agreements—5.6%²
Cantor Fitzgerald Securities, Inc., dated 12/31/15, due 01/04/16, 0.340%, total to be received $1,000,038 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 01/15/16 - 09/01/49,totaling $1,020,000)	$	1,000,000	$	1,000,000
Daiwa Capital Markets America, dated 12/31/15, due 01/04/16, 0.350%, total to be received $652,221 (collateralized by various U.S. Government Agency Obligations, 0.000% - 7.500%, 01/21/16 - 02/01/49, totaling $665,240)		652,196		652,196
Total Repurchase Agreements				1,652,196

	Shares
Other Investment Companies—1.6%³
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.26%		476,208		476,208
Total Short-Term Investments (cost $2,128,404)				2,128,404
Total Investments—104.3% (cost $34,384,603)				30,720,896
Other Assets, less Liabilities—(4.3)%				(1,276,460	)
Net Assets—100.0%			$	29,444,436

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

AMG Managers Intermediate Duration Government Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

During the year ended December 31, 2015, the AMG Managers Intermediate Duration Government Fund (the “Fund”) returned 1.1%, compared to 1.6% for its benchmark, the Citigroup Mortgage Index.

2015 was marked by a number of notable events. The Greece debt problem was resolved (at least temporarily) by the brinksmanship that led to increased market volatility and risk premia. In accordance with market expectations, the U.S. Federal Reserve (the “Fed”) finally raised rates at the end of the year to begin moving monetary policy to a more “normalized” place. Energy (led by oil) dropped dramatically. However, the expected benefit to increased consumer spending was disappointing throughout the year.

Agency mortgage-backed securities (MBS) experienced a difficult environment to begin the first quarter, particularly for higher coupon MBS, as the rally in rates led to the market pricing higher prepayment rates. These concerns were short-lived as the bear steepener in the middle of the quarter removed prepayment concerns, leading to stronger performance in MBS pricing, led by the higher coupons. Weaker economic data led to expectations that the Fed would likely remain accommodative for longer than initially anticipated, which further benefited agency MBS.

Interest rates continued to rise to start the second quarter, further benefiting agency MBS by pacifying concerns related to higher prepayment rates. However, May proved to be a mixed month. Interest rates rose yet again, albeit more modestly than at the start of the quarter. However, higher realized volatility hampered performance in MBS. MBS continued to experience challenges through the end of the quarter as elevated macro risks and higher levels of mortgage supply detracted from MBS performance. Realized volatility remained high as markets digested headlines from Greece and China to try to determine future monetary policy. Fed repurchase activity remained heavy and ultimately helped support MBS spreads.

abated. However, by the middle of the quarter, both nominal and option-adjusted MBS spreads widened due to the increased market volatility.

Agency MBS ended the quarter on weakness as MBS spreads hit multi-year wides. The fourth quarter was one of recovery, as Agency MBS spreads joined most other risk assets by reversing the weakness from 3Q. The middle of the quarter was quiet as stable rates supported MBS. Tepid prepayments rates led once again to higher coupons outperforming their lower-coupon counterparts.

The Fund’s underperformance during the year was driven primarily by the Fund’s positioning relative to the yield curve. As volatility and macro uncertainty increased starting the second half of the year, we saw spreads widen in sympathy across most spread sectors. While our holdings in Residential Asset-Backed Securities (ABS) and Commercial Mortgage-Backed Securities (CMBS) were both skewed towards the high credit-quality securities, the lackluster performance in both areas caused our holdings in these securities to also modestly detract from performance. The Fund’s positioning in agency FRMs (Fixed-Rate MBS) was a positive contributor to performance. Specifically, we avoided the coupons in which the Fed was most active. Additionally, we maintained a bias to higher coupons, which provided significant carry and experienced lower prepayments than the market had priced into the securities. The lower-than-expected prepayments also benefited our Interest Only (IOs) positions. Finally, our holdings in Non-Agency Adjustable Rate MBS (ARMs) and Fixed Rate MBS (FRMs) also both modestly contributed to the Fund during the year.

Derivatives, such as financial futures, options and mortgage derivatives, are used for portfolio duration and convexity risk management. We continue to find value in mortgage derivatives with beneficial underlying collateral characteristics.

We increased the leverage in the Fund’s portfolio during the course of the year. The vast majority of Fund assets were invested in 30-year agency FRMs. By the end of the year, the 30-year Agency FRM holdings accounted for 95% of the Fund’s capital, up from about 89% to start the year. However, the market weight of the Agency ARM

holdings was reduced by over half during the year. We continue to view MBS as an attractive alternative to Treasuries due to the additional spread offered.

LOOKING FORWARD

As we enter 2016, Agency MBS spreads are attractively priced relative to historical levels. Shorter-term, demand should be sufficient to support Agency MBS, at least relative to other spread sectors. The Fed continues to reinvest any cash flows from its existing portfolio and will absorb much of the gross supply. Now that the Fed tightening cycle has begun, it is natural to wonder when the reinvestment policy will be altered, but it seems likely that the timeframe will be pushed out to 2017. Additional demand should continue from banks and money managers. Banks are large holders of agency MBS, and regulatory factors continue to push them into the sector, especially towards GNMA MBS. Also large buyers in 2015, total-return-oriented investors are likely to continue to add, dependent on spreads. Demand from non-U.S. investors will be interesting to watch. The MBS sector should be appealing, as yields are significantly higher than any similar duration sovereign debt alternatives. However, global flows could limit USD investments due to Dollar strength, which would negatively impact MBS demand.

Overall, we continue to be positive on agency MBS, both shorter and longer-term. MBS spreads are back in a range that is attractive historically, and we believe that the market has substantially priced-in the Fed’s eventual exit. We expect prepayment activity will be low in the near-term, which also supports valuations, but have taken positions that have less exposure to prepayment risk longer-term. Empirical data illustrates that MBS have performed better than U.S. Treasuries with generally lower volatility over time. We expect this performance advantage will continue.

This commentary reflects the viewpoints of Amundi Smith Breeden LLC as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

AMG Managers Intermediate Duration Government Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG Managers Intermediate Duration Government Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in the AMG Managers Intermediate Duration Government Fund on December 31, 2005 to a $10,000 investment made in the benchmarks for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG Managers Intermediate Duration Government Fund, Barclays U.S. Aggregate Bond Index and the Citigroup Mortgage Index for the same time periods ended December 31, 2015.


	One			Five			Ten
Average Annual Total Returns¹	Year			Years			Years
AMG Managers Intermediate Duration Government Fund ^2,3,4,5,6,7		1.09	%		3.06	%		4.64	%
Barclays U.S. Aggregate Bond Index⁸		0.55	%		3.25	%		4.51	%
Citigroup Mortgage Index⁹		1.56	%		2.98	%		4.67	%

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.

²	From time to time the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.

The Fund is subject to the risks associated with investments in debt securities, such as default risk, fluctuations in the debtor’s perceived ability to pay its creditors and changing interest rate risk. An increase in interest rates typically causes the value of bonds and other fixed-income securities to fall.

⁴

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.

⁵

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.

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

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.

AMG Managers Intermediate Duration Government Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE (continued)

⁸	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.

⁹

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.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG Managers Intermediate Duration Government Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


	AMG Managers Intermediate
Category	Duration Government Fund**
U.S. Government and Agency Obligations		118.3	%
Asset-Backed Securities		6.1	%
Mortgage-Backed Securities		6.7	%
TBA Forward Sale Commitments		(16.0	)%
Other Assets and Liabilities		(15.1	)%

** As a percentage of net assets.

	AMG Managers Intermediate
Rating	Duration Government Fund^***
U.S. Government and Agency Obligations		88.9	%
Aaa		10.1	%
Aa		0.0	%^#
A		0.1	%
Baa		0.3	%
Ba & lower		0.6	%

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

^#	Rounds to less than 0.1%.

TOP TEN HOLDINGS


	%of
Security Name	Net Assets
FNMA, 3.500%, TBA 30 years		12.6	%
FHLMC Gold Pool, 4.000%, TBA 30 years		12.1
GNMA, 3.500%, TBA 30 years		8.8
FNMA, 4.500%, TBA 30 years		4.8
FNMA, 4.000%, TBA 30 years		4.6
GNMA, 4.000%, TBA 30 years		3.7
FHLMC Gold Pool, 3.500%, TBA 30 years		2.9
GNMA, 3.000%, TBA 30 years		1.7
Progress Residential Trust, Series 2015-SF, Class A, 2.740%, 06/12/32*		1.5
Invitation Homes Trust, Series 2013-SF, Class A, 1.450%, 12/17/30 (01/17/16)*		1.5

Top Ten as a Group		54.2	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments

December 31, 2015


	Principal Amount		Value
Asset-Backed Securities—6.1%
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.351%, 06/17/31 (01/17/16) (a)^9,10	$	1,216,528	$	1,192,133
American Residential Properties Trust, Series 2014-SFR1, Class A, 1.451%, 09/17/31 (01/17/16) (a)^9,10		1,179,195		1,155,921
Colony American Homes, Series 2014-2A, Class A, 1.301%, 07/17/31 (01/17/16) (a)⁹		894,994		873,615
Invitation Homes Trust,
Series 2013-SFR1, Class A, 1.451%, 12/17/30 (01/17/16) (a)^9,10		2,893,952		2,836,210
Series 2014-SFR1, Class A, 1.351%, 06/17/31 (01/17/16) (a)⁹		650,000		636,063
Series 2015-SFR3, Class A, 1.651%, 08/17/32 (01/17/16) (a)⁹		496,969		487,513
Progress Residential Trust,
Series 2014-SFR1, Class A, 1.451%, 10/17/31 (01/17/16) (a)⁹		898,558		885,372
Series 2015-SFR2, Class A, 2.740%, 06/12/32 (a)¹⁰		3,000,000		2,930,169
SWAY Residential Trust, Series 2014-1, Class A, 1.651%, 01/17/32 (01/17/16) (a)⁹		664,171		651,458
Total Asset-Backed Securities (cost $11,835,686)				11,648,454
Mortgage-Backed Securities—6.7%
American Home Mortgage Assets Trust, Series 2005-1, Class 1A1, 2.732%, 11/25/35 (02/25/16)⁹		76,046		66,663
American Home Mortgage Investment Trust,
Series 2004-1, Class 4A, 2.654%, 04/25/44 (02/25/16)⁹		113,921		105,608
Series 2005-1, Class 5A1, 2.654%, 06/25/45 (02/25/16)⁹		42,523		41,950
Bank of America Funding Trust, Series 2004-B, Class 1A2, 2.811%, 12/20/34 (02/20/16)⁹		110,424		99,672
Bear Stearns Alt-A Trust, Series 2005-3, Class 2A3, 2.747%, 04/25/35 (02/25/16)⁹		115,114		101,744
Bear Stearns Commercial Mortgage Securities Trust,
Series 2006-PW14, Class A1A, 5.189%, 12/11/38		646,729		660,639
Series 2006-T22, Class A4, 5.620%, 04/12/38^4,10		807,561		807,878
Series 2007-PW16, Class A4, 5.722%, 06/11/40^4,10		1,791,695		1,834,164
COMM 2006-C8 Mortgage Trust, Series 2006-C8, Class A4, 5.306%, 12/10/46		1,571,438		1,599,434
Countrywide Home Loan Mortgage Pass Through Trust,
Series 2005-HYB2, Class 1A4, 2.666%, 05/20/35 (02/20/16)⁹		87,514		82,112
Series 2005-HYB8, Class 1A1, 2.561%, 12/20/35 (02/20/16)⁹		97,960		80,846
Countrywide Home Loan reperforming loan REMIC Trust, Series 2004-R2, Class 1AF1, 0.842%, 11/25/34 (01/25/16) (a)^7,9		115,394		100,918
Credit Suisse Commercial Mortgage Trust,
Series 2006-C3, Class A1A, 5.816%, 06/15/38⁴		860,379		866,191
Series 2006-C3, Class A3, 5.816%, 06/15/38⁴		873,081		874,738
GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF, 0.772%, 03/25/35 (01/25/16) (a)^7,9		173,149		148,533
GSR Mortgage Loan Trust, Series 2004-5, Class 1A3, 2.250%, 05/25/34 (02/25/16)⁹		38,438		36,784
Harborview Mortgage Loan Trust, Series 2004-7, Class 2A2, 2.430%, 11/19/34 (02/19/16)⁹		65,792		61,159
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.820%, 06/15/38⁴		363,835		367,024
Master Alternative Loans Trust, Series 2005-2, Class 2A1, 6.000%, 01/25/35¹⁰		531,408		564,711
Morgan Stanley Capital I Trust,
Series 2006-HQ9, Class A1A, 5.728%, 07/12/44⁴		349,981		352,808

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

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Mortgage-Backed Securities—6.7% (continued)
Series 2006-IQ12, Class A4, 5.332%, 12/15/43	$	809,432	$	823,795
Morgan Stanley Mortgage Loan Trust, Series 2005-4, Class 2A1, 5.942%, 08/25/35^4,10		733,539		706,169
Structured Asset Securities Corp., Series 2005-RF1, Class A, 0.772%, 03/25/35 (01/25/16) (a)^7,9		200,898		166,595
Wachovia Bank Commercial Mortgage Trust,
Series 2006-C27, Class A3, 5.765%, 07/15/45⁴		654,683		653,868
Series 2006-C29, Class A4, 5.308%, 11/15/48		1,521,525		1,542,308
Wells Fargo Mortgage Backed Securities Trust, Series 2007-16, Class 1A1, 6.000%, 12/28/37		192,537		199,663
Total Mortgage-Backed Securities (cost $13,253,303)				12,945,974
U.S. Government and Agency Obligations—118.3%
Federal Home Loan Mortgage Corporation—32.6%
FHLMC,
2.592%, 11/01/33 (03/15/16)^9,10		868,855		921,521
2.790%, 02/01/37 (03/15/16)⁹		59,511		64,002
FHLMC Gold Pool,
3.000%, 06/01/45		1,756,187		1,756,607
3.500%, 04/01/32 to 01/01/44¹⁰		11,037,274		11,427,782
3.500%, TBA 30 years,^11,12		5,500,000		5,649,585
4.000%, 05/01/24 to 07/01/44¹⁰		6,415,677		6,792,886
4.000%, TBA 30 years,^11,12		22,000,000		23,194,099
4.500%, 02/01/20 to 09/01/41¹⁰		3,006,163		3,236,350
5.000%, 05/01/18 to 06/01/41¹⁰		3,599,077		3,949,872
5.500%, 11/01/17 to 01/01/40¹⁰		3,208,727		3,547,122
6.000%, 09/01/17 to 01/01/24¹⁰		830,748		897,693
7.000%, 07/01/19		94,951		99,675
7.500%, 07/01/34¹⁰		812,565		959,293
Total Federal Home Loan Mortgage Corporation				62,496,487
Federal National Mortgage Association—51.4%
FNMA,
2.054%, 06/01/34 (02/25/16)^9,10		610,328		633,215
2.345%, 08/01/34 (02/25/16)⁹		269,266		285,269
2.500%, 02/01/43		800,845		773,875
3.000%, 03/01/43 to 04/01/45¹⁰		3,388,624		3,395,794
3.000%, TBA 30 years,^11,12		2,000,000		1,996,034
3.500%, 05/01/42 to 11/01/45¹⁰		14,328,306		14,807,561
3.500%, TBA 30 years,^11,12		23,510,000		24,242,255
4.000%, 01/01/26 to 11/01/45¹⁰		17,395,321		18,483,144
4.000%, TBA 30 years,^11,12		8,300,000		8,766,292
4.500%, 04/01/25 to 05/01/45¹⁰		7,245,950		7,859,946
4.500%, TBA 30 years,^11,12		8,550,000		9,226,778

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

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal National Mortgage Association—51.4% (continued)
FNMA,
4.750%, 07/01/34 to 09/01/34	$	316,119	$	348,242
5.000%, 06/01/18 to 11/01/39		403,504		437,758
5.500%, 03/01/17 to 08/01/41¹⁰		3,157,828		3,520,387
6.000%, 08/01/17 to 06/01/39¹⁰		2,031,282		2,232,238
6.500%, 11/01/28 to 07/01/32		102,090		109,081
7.000%, 11/01/22¹⁰		455,808		493,797
FNMA REMICS,
Series 1994-55, Class H, 7.000%, 03/25/24¹⁰		582,064		637,756
Series 2005-13, Class AF, 0.822%, 03/25/35 (01/25/16)^9,10		317,728		318,717
FNMA REMICS Whole Loan, Series 2003-W4, Class 4A, 7.028%, 10/25/42⁴		68,851		79,022
Total Federal National Mortgage Association				98,647,161
Government National Mortgage Association—33.4%
GNMA,
2.000%, 05/20/21 (02/20/16)⁹		11,026		11,168
3.000%, 11/15/42 to 06/20/45		4,153,524		4,227,416
3.000%, 03/20/16 to 08/20/18 (02/20/16)^9,10		53,672		54,604
3.000%, TBA 30 years,^11,12		3,200,000		3,243,376
3.500%, 08/15/43 to 11/20/45¹⁰		9,051,090		9,464,039
3.500%, TBA 30 years,^11,12		16,180,000		16,867,019
4.000%, 06/20/43 to 12/20/45¹⁰		10,466,090		11,206,672
4.000%, TBA 30 years,^11,12		6,700,000		7,115,085
4.500%, 05/15/39 to 12/15/45^10,11		4,365,967		4,749,472
5.000%, 12/15/35 to 10/20/41¹⁰		5,031,585		5,582,244
5.500%, 10/15/39 to 11/15/39¹⁰		1,473,031		1,656,015
7.500%, 09/15/28 to 11/15/31		21,581		22,474
Total Government National Mortgage Association				64,199,584
Interest Only Strips—0.9%
FHLMC,
Series 212, Class IO, 6.000%, 05/01/31⁷		1,356		296
Series 233, Class 5, 4.500%, 09/15/35		90,483		15,741
FHLMC REMICS,
Series 2380, Class SI, 7.570%, 06/15/31 (01/15/16)^7,9		11,749		2,728
Series 2922, Class SE, 6.420%, 02/15/35 (01/15/16)⁹		114,108		21,643
Series 2934, Class HI, 5.000%, 02/15/20		46,245		3,308
Series 2934, Class KI, 5.000%, 02/15/20		34,907		2,318
Series 2965, Class SA, 5.720%, 05/15/32 (01/15/16)⁹		234,429		37,119
Series 2967, Class JI, 5.000%, 04/15/20		87,306		6,407
Series 2980, Class SL, 6.370%, 11/15/34 (01/15/16)⁹		150,867		39,019

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

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Interest Only Strips—0.9% (continued)
FHLMC REMICS,
Series 3031, Class BI, 6.359%, 08/15/35 (01/15/16)⁹	$	308,011	$	72,813
Series 3065, Class DI, 6.290%, 04/15/35 (01/15/16)⁹		266,037		53,680
Series 3114, Class GI, 6.270%, 02/15/36 (01/15/16)⁹		222,534		49,006
Series 3308, Class S, 6.870%, 03/15/32 (01/15/16)⁹		221,656		46,656
Series 3424, Class XI, 6.240%, 05/15/36 (01/15/16)⁹		239,824		44,834
Series 3489, Class SD, 7.470%, 06/15/32 (01/15/16)⁹		128,089		26,937
Series 3606, Class SN, 5.920%, 12/15/39 (01/15/16)⁹		316,622		53,211
Series 3685, Class EI, 5.000%, 03/15/19		218,102		8,291
Series 3731, Class IO, 5.000%, 07/15/19		104,303		4,477
Series 3882, Class AI, 5.000%, 06/15/26		176,908		10,783
FNMA,
Series 215, Class 2, 7.000%, 04/25/23⁷		73,022		12,427
Series 222, Class 2, 7.000%, 06/25/23⁷		6,981		1,205
Series 343, Class 21, 4.000%, 09/25/18		63,224		2,491
Series 343, Class 22, 4.000%, 11/25/18		34,275		1,350
Series 351, Class 3, 5.000%, 04/25/34		73,785		14,518
Series 351, Class 4, 5.000%, 04/25/34		43,118		8,484
Series 351, Class 5, 5.000%, 04/25/34		36,331		7,148
Series 365, Class 4, 5.000%, 04/25/36		94,979		16,076
FNMA REMICS,
Series 2003-73, Class SM, 6.178%, 04/25/18 (01/25/16)^7,9		6,208		24
Series 2004-49, Class SQ, 6.628%, 07/25/34 (01/25/16)⁹		95,155		18,091
Series 2004-51, Class SX, 6.698%, 07/25/34 (01/25/16)⁹		129,007		29,281
Series 2004-64, Class SW, 6.628%, 08/25/34 (01/25/16)⁹		390,964		79,727
Series 2005-12, Class SC, 6.328%, 03/25/35 (01/25/16)⁹		147,481		28,576
Series 2005-45, Class SR, 6.298%, 06/25/35 (01/25/16)⁹		309,260		57,490
Series 2005-65, Class KI, 6.578%, 08/25/35 (01/25/16)^9,10		717,142		136,298
Series 2005-89, Class S, 6.278%, 10/25/35 (01/25/16)⁹		730,977		135,011
Series 2006-3, Class SA, 5.728%, 03/25/36 (01/25/16)⁹		149,960		24,791
Series 2007-75, Class JI, 6.123%, 08/25/37 (01/25/16)⁹		149,864		26,062
Series 2008-86, Class IO, 4.500%, 03/25/23		197,757		7,845
Series 2010-37, Class GI, 5.000%, 04/25/25		215,011		7,473
Series 2010-65, Class IO, 5.000%, 09/25/20		336,106		21,255
Series 2010-121, Class IO, 5.000%, 10/25/25		120,697		6,457
Series 2011-69, Class AI, 5.000%, 05/25/18		272,614		9,942
Series 2011-88, Class WI, 3.500%, 09/25/26		354,228		37,842
Series 2011-124, Class IC, 3.500%, 09/25/21		312,603		17,854
Series 2012-126, Class SJ, 4.578%, 11/25/42 (01/25/16)⁹		731,373		110,033

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

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Interest Only Strips—0.9% (continued)
GNMA,
Series 2011-32, Class KS, 11.411%, 06/16/34 (01/16/16)⁹	$	262,095	$	38,873
Series 2011-94, Class IS, 6.356%, 06/16/36 (01/16/16)⁹		240,716		31,394
Series 2011-157, Class SG, 6.198%, 12/20/41 (01/20/16)⁹		971,068		214,772
Series 2011-167, Class IO, 5.000%, 12/16/20		244,469		12,186
Series 2012-34, Class KS, 5.706%, 03/16/42 (01/16/16)⁹		420,274		87,306
Series 2012-69, Class QI, 4.000%, 03/16/41		292,383		48,665
Series 2012-103, Class IB, 3.500%, 04/20/40		254,196		30,395
Total Interest Only Strips				1,780,609
Total U.S. Government and Agency Obligations (cost $224,999,225)				227,123,841
Short-Term Investments—21.4%
U.S. Treasury Bills—0.0%^#
U. S. Treasury Bills, 0.46%, 06/23/16^13,14		90,000		89,800

	Shares
Other Investment Companies—21.4%³
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.26%¹⁰		12,013,722		12,013,722
JP Morgan US Government Money Market Fund, 0.12%¹⁰		9,000,093		9,000,093
JPMorgan Liquid Assets Money Market Fund, Capital Shares, 0.25%¹⁰		10,030,024		10,030,024
JPMorgan Prime Money Market Fund, Capital Shares, 0.21%		10,005,333		10,005,333
Total Other Investment Companies				41,049,172
Total Short-Term Investments
(cost $41,139,079)				41,138,972
Total Investments—152.5% (cost $291,227,293)				292,857,241
Other Assets, less Liabilities—(52.5)%				(100,817,765	)
Net Assets—100.0%			$	192,039,476

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

AMG Managers Short Duration Government Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

During the year ended December 31, 2015, the AMG Managers Short Duration Government Fund (the “Fund”) returned (0.2)%, while the BofA Merrill Lynch 6-Month U.S. Treasury Bill Index returned 0.2%.

Agency mortgage-backed securities (MBS) experienced a difficult environment to begin the first quarter, particularly for higher-coupon MBS, as the rally in rates led to the market pricing higher prepayment rates. These concerns were short-lived as the bear steepener in the middle of the quarter removed prepayment concerns, leading to stronger performance in MBS pricing, led by the higher coupons. Weaker economic data led to expectations that the Fed would likely remain accommodative for longer than initially anticipated, which further benefited agency MBS.

Interest rates continued to rise to start the second quarter, further benefiting agency MBS by pacifying concerns related to higher prepayment rates. However, May proved to be a mixed month. Interest rates rose yet again, albeit more modestly than at the start of the quarter. However, higher realized volatility hampered performance in MBS. MBS continued to experience challenges through the end of the quarter, as elevated macro risks and higher levels of mortgage supply detracted from MBS performance. Realized volatility remained high as markets digested headlines from Greece and China to try to determine future monetary policy. Fed repurchase activity remained heavy and ultimately helped support MBS spreads.

The third quarter provided for mixed performance within Agency MBS. MBS continued its struggles to start the third quarter due to increased realized volatility, only to reverse course as macro concerns abated. However, by the middle of the quarter, both nominal and option-adjusted MBS spreads widened due to the increased market volatility. Agency MBS ended the quarter on weakness as MBS spreads hit multi-year wides.

The fourth quarter was one of recovery as Agency MBS spreads joined most other risk assets by reversing the weakness from 3Q. The middle of the quarter was quiet as stable rates supported MBS. Tepid prepayment rates led once again to higher coupons outperforming their lower-coupon counterparts.

While employment continued to improve throughout 2015, that improvement did not result in wage growth. Additionally, the decline in energy prices quelled any concerns regarding inflation, which ultimately led our Treasury Inflation-Protected Securities (TIPS) exposure to detract from performance. The slight flattening of the yield curve also modestly detracted from performance. Our holdings in residential-related asset-backed securities (ABS) also moderately detracted from performance for the year. Offsetting that weakness was a positive contribution from our positioning in Agency FRMs (Fixed-Rate MBS). Specifically, we avoided the coupons in which the Fed was most active. Additionally, we maintained a bias to higher coupons, which provided significant carry and experienced lower prepayments than the market had priced into the securities. The lower-than-expected prepayments also benefited our Interest Only (IOs) positions. Our positioning in Agency Collateralized Mortgage Obligations (CMOs), Agency Adjustable-Rate Mortgages (ARMs), Non-Agency CMOs, Commercial Mortgage-Backed Securities (CMBS) and Consumer ABS all moderately contributed to the positive performance for the year.

At the end of the year, 15-year Agency FRMs were the largest component of the Fund. They stayed relatively stable at ~25% during the year. We increased our exposure to 30-year Agency FRMs by 10% to end the year with ~19% weighting in the sector. We reduced our holdings in Agency ARMs by almost 6% during the year. Additionally,

we reduced our weighting to Commercial Mortgage-Backed Securities (CMBS) by half to end the year at 2%. We continue to view Agency MBS as an attractive alternative to Treasuries due to the additional spread offered.

LOOKING FORWARD

As we enter 2016, we believe Agency MBS spreads are attractively priced relative to historical levels. Shorter-term, demand should be sufficient to support Agency MBS, at least relative to other spread sectors. The Fed continues to reinvest any cash flows from its existing portfolio and will absorb much of the gross supply. Now that the Fed tightening cycle has begun, it is natural to wonder when the reinvestment policy will be altered, but it seems likely that the timeframe will be pushed out to 2017. Additional demand should continue from banks and money managers. Banks are large holders of agency MBS, and regulatory factors continue to push them into the sector, especially towards GNMA MBS. Also large buyers in 2015, total-return-oriented investors are likely to continue to add, dependent on spreads. Demand from non-U.S. investors will be interesting to watch. The MBS sector should be appealing as yields are significantly higher than any similar duration sovereign debt alternatives. However, global flows could limit USD investments due to Dollar strength, which would negatively swap MBS demand.

This commentary reflects the viewpoints of Amundi Smith Breeden LLC as of December 31, 2015 and is not intended as a forecast or guarantee of future results.

AMG Managers Short Duration Government Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG Managers Short Duration Government Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. This graph compares a hypothetical $10,000 investment made in the AMG Managers Short Duration Government Fund on December 31, 2005 to a $10,000 investment made in the BofA Merrill Lynch 6-Month U.S. Treasury Bill Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG Managers Short Duration Government Fund and the BofA Merrill Lynch 6-Month U.S. Treasury Bill Index for the same time periods ended December 31, 2015.


Average Annual Total Returns¹	One Year			Five Years			Ten Years
AMG Managers Short Duration Government Fund ^2,3,4,5,6,7		(0.15	)%		0.62	%		1.92	%
BofA Merrill Lynch 6-Month U.S. Treasury Bill Index⁸		0.22	%		0.19	%		1.57	%

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

²	From time to time the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.

The Fund is subject to the risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtors’ ability to pay its creditors. Changing investments 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.

⁴

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 risks 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.

⁵

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

⁸	The BofA Merrill Lynch 6-Month U.S. Treasury Bill Index is an unmanaged index that measures returns of six-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.

Not FDIC insured, nor bank guaranteed. May lose value.

AMG Managers Short Duration Government Fund

Fund Snapshots (unaudited)

December 31, 2015

PORTFOLIO BREAKDOWN


Category	AMG Managers Short Duration Government Fund**
U.S. Government and Agency Obligations		79.8	%
Asset-Backed Securities		9.1	%
Mortgage-Backed Securities		2.2	%
Other Assets and Liabilities		8.9	%

** As a percentage of net assets.


Rating	AMG Managers Short Duration Government Fund^***
U.S. Government and Agency Obligations		87.6	%
Aaa		12.3	%
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, 3.000%, TBA 15 years		5.0	%
FHLMC, 0.543%, 04/07/16		3.8
FNMA, 3.500%, 11/01/30		2.7
FNMA, 5.500%, 12/01/38		2.6
FHLMC, 0.493%, 04/04/16		2.5
U.S. Treasury Inflation Indexed Bonds, 0.375%, 07/15/23*		2.2
GNMA, 6.000%, 01/15/36		2.2
FNMA, 4.500%, 11/01/25		2.0
FHLMC REMICS, Series 3990, Class GF, 0.731%, 03/15/41*		1.9
FNMA REMICS, Series 2011-115, Class FK, 0.792%, 10/25/39*		1.8

Top Ten as a Group		26.7	%

*	Top Ten Holdings as of June 30, 2015.

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.

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments

December 31, 2015


	Principal Amount		Value
Asset-Backed Securities—9.1%
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.351%, 06/17/31 (01/17/16) (a)⁹	$	2,744,486	$	2,689,453
American Residential Properties Trust, Series 2014-SFR1, Class A, 1.451%, 09/17/31 (01/17/16) (a)⁹		3,337,722		3,271,843
AmeriCredit Automobile Receivables Trust,
Series 2012-1, Class C, 2.670%, 01/08/18		113,626		113,778
Series 2012-3, Class D, 3.030%, 07/09/18		1,000,000		1,009,473
Colony American Homes,
Series 2014-2A, Class A, 1.301%, 07/17/31 (01/17/16) (a)⁹		2,243,385		2,189,798
Series 2015-1A, Class A, 1.551%, 07/17/32 (01/17/16) (a)⁹		2,426,896		2,370,933
Invitation Homes Trust,
Series 2013-SFR1, Class A, 1.451%, 12/17/30 (01/17/16) (a)⁹		1,462,909		1,433,720
Series 2014-SFR1, Class A, 1.351%, 06/17/31 (01/17/16) (a)⁹		2,920,000		2,857,390
Series 2014-SFR2, Class A, 1.451%, 09/17/31 (01/17/16) (a)⁹		1,140,000		1,118,897
Series 2015-SFR3, Class A, 1.651%, 08/17/32 (01/17/16) (a)⁹		2,584,237		2,535,067
Progress Residential Trust, Series 2014-SFR1, Class A, 1.451%, 10/17/31 (01/17/16) (a)⁹		1,677,308		1,652,695
Santander Drive Auto Receivables Trust,
Series 2012-2, Class D, 3.870%, 02/15/18		910,000		919,868
Series 2012-3, Class D, 3.640%, 05/15/18		3,657,000		3,713,886
Series 2012-4, Class C, 2.940%, 12/15/17		1,513,621		1,520,466
Series 2012-4, Class D, 3.500%, 06/15/18		3,790,000		3,843,052
Series 2012-6, Class D, 2.520%, 09/17/18		3,680,000		3,696,980
SWAY Residential Trust, Series 2014-1, Class A, 1.651%, 01/17/32 (01/17/16) (a)⁹		1,149,907		1,127,897
Total Asset-Backed Securities (cost $36,331,058)				36,065,196
Mortgage-Backed Securities—2.2%
Bear Stearns Commercial Mortgage Securities Trust,
Series 2006-PW14, Class A1A, 5.189%, 12/11/38		1,649,158		1,684,631
Series 2006-T22, Class A4, 5.620%, 04/12/38⁴		568,510		568,733
Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-25, Class 2A4, 1.422%, 02/25/35 (01/25/16)^7,9		325,948		141,522
Merrill Lynch Mortgage Investors Trust, Series 1998-C1, Class A3, 6.720%, 11/15/26⁴		342,123		345,478
Morgan Stanley Capital I Trust,
Series 2006-HQ9, Class A1A, 5.728%, 07/12/44⁴		849,953		856,820
Series 2006-IQ12, Class A4, 5.332%, 12/15/43		2,032,303		2,068,366
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/48		2,733,040		2,770,371
WaMu Mortgage Pass Through Certificates, Series 2005-AR2, Class 2A3, 0.772%, 01/25/45 (01/25/16)⁹		390,590		361,209
Total Mortgage-Backed Securities (cost $9,139,172)				8,797,130
U.S. Government and Agency Obligations—79.8%
Federal Home Loan Mortgage Corporation—19.8%
FHLMC,
2.372%, 11/01/33 (03/15/16)⁹		844,272		886,687

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

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal Home Loan Mortgage Corporation—19.8% (continued)
FHLMC,
2.390%, 10/01/28 (03/15/16)⁹	$	29,535	$	31,114
2.469%, 10/01/33 (03/15/16)⁹		1,039,262		1,097,529
2.482%, 07/01/34 (03/15/16)⁹		331,031		349,559
2.484%, 10/01/33 (03/15/16)⁹		1,662,505		1,766,737
2.493%, 03/01/34 (03/15/16)⁹		2,485,247		2,626,167
2.499%, 04/01/34 (03/15/16)⁹		610,796		649,019
2.511%, 09/01/33 (03/15/16)⁹		1,706,081		1,801,970
2.526%, 05/01/34 (03/15/16)⁹		1,849,464		1,953,395
2.567%, 12/01/32 (03/15/16)⁹		458,847		485,084
2.568%, 11/01/33 (03/15/16)⁹		991,398		1,052,846
2.599%, 12/01/33 (03/15/16)⁹		1,357,853		1,429,995
2.629%, 02/01/23 (03/15/16)⁹		187,890		198,325
2.765%, 06/01/35 (03/15/16)⁹		639,910		681,515
2.790%, 02/01/37 (03/15/16)⁹		710,728		764,372
FHLMC Gold Pool,
4.000%, 05/01/24 to 12/01/26		7,853,350		8,285,286
4.500%, 05/01/19 to 03/01/31		6,054,924		6,454,345
5.000%, 10/01/18 to 11/01/20		2,808,816		2,936,122
5.500%, 01/01/20 to 08/01/40		16,988,306		18,608,753
6.000%, 02/01/22 to 01/01/24		4,799,006		5,197,085
6.500%, 03/01/18 to 10/01/23		314,962		336,501
7.000%, 06/01/17 to 07/01/19		122,284		127,131
7.500%, 04/01/29 to 03/01/33		282,188		330,944
FHLMC REMICS,
Series 2427, Class LW, 6.000%, 03/15/17		208,859		213,595
Series 2429, Class HB, 6.500%, 12/15/23		525,028		583,588
Series 2541, Class ED, 5.000%, 12/15/17		1,137,237		1,169,805
Series 2627, Class BM, 4.500%, 06/15/18		94,977		97,692
Series 2631, Class PD, 4.500%, 06/15/18		31,646		32,636
Series 2645, Class BY, 4.500%, 07/15/18		1,085,305		1,117,839
Series 2653, Class PA, 4.000%, 07/15/31		1,142,431		1,158,767
Series 2668, Class AZ, 4.000%, 09/15/18		541,601		555,138
Series 2682, Class LC, 4.500%, 07/15/32		417,094		422,377
Series 2683, Class JB, 4.000%, 09/15/18		344,721		352,911
Series 2684, Class PE, 5.000%, 01/15/33		85,430		86,376
Series 2786, Class BC, 4.000%, 04/15/19		122,656		126,651
Series 2809, Class UC, 4.000%, 06/15/19		131,447		135,379
Series 2877, Class PA, 5.500%, 07/15/33		118,552		123,130
Series 2935, Class LM, 4.500%, 02/15/35		370,679		379,442

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

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal Home Loan Mortgage Corporation—19.8% (continued)
FHLMC REMICS,
Series 3013, Class GA, 5.000%, 06/15/34	$	55,233	$	55,355
Series 3033, Class CI, 5.500%, 01/15/35		212,868		220,035
Series 3535, Class CA, 4.000%, 05/15/24		109,971		112,781
Series 3609, Class LA, 4.000%, 12/15/24		396,994		409,503
Series 3632, Class AG, 4.000%, 06/15/38		251,551		261,340
Series 3653, Class JK, 5.000%, 11/15/38		240,961		257,125
Series 3659, Class EJ, 3.000%, 06/15/18¹⁰		2,163,437		2,195,363
Series 3683, Class AD, 2.250%, 06/15/20		1,202,982		1,209,005
Series 3756, Class DA, 1.200%, 11/15/18		420,427		420,321
Series 3798, Class BD, 2.500%, 06/15/24		610,582		613,795
Series 3818, Class UA, 1.350%, 02/15/17		209,144		209,249
Series 3827, Class CA, 1.500%, 04/15/17		93,153		93,198
Series 3846, Class CK, 1.500%, 09/15/20		122,414		122,660
Series 3990, Class GF, 0.731%, 03/15/41 (01/15/16)⁹		7,352,388		7,383,138
Total Federal Home Loan Mortgage Corporation				78,168,675
Federal National Mortgage Association—47.6%
FNMA,
1.938%, 08/01/34 (02/25/16)⁹		265,189		273,591
1.942%, 02/01/33 (02/25/16)⁹		1,211,139		1,262,897
1.958%, 08/01/33 (02/25/16)⁹		452,733		473,109
2.030%, 01/01/24 (02/25/16)⁹		442,775		449,649
2.054%, 06/01/34 (02/25/16)⁹		765,713		794,427
2.164%, 01/01/34 (02/25/16)⁹		675,897		710,209
2.175%, 09/01/33 (02/25/16)⁹		875,515		923,182
2.195%, 01/01/33 (02/25/16)⁹		32,075		32,815
2.221%, 03/01/34 (02/25/16)⁹		242,926		256,732
2.276%, 01/01/36 (02/25/16)⁹		57,645		59,715
2.320%, 03/01/33 (02/25/16)⁹		373,773		394,429
2.326%, 04/01/37 (02/25/16)^9,10		5,351,626		5,668,836
2.335%, 08/01/36 (02/25/16)⁹		197,365		208,923
2.345%, 08/01/34 (02/25/16)⁹		336,583		356,587
2.361%, 10/01/35 (02/25/16)⁹		1,408,076		1,481,213
2.366%, 05/01/33 (02/25/16)⁹		1,650,716		1,733,095
2.375%, 02/01/37 (02/25/16)⁹		310,166		330,756
2.381%, 09/01/33 (02/25/16)⁹		547,179		575,785
2.412%, 01/01/36 (02/25/16)⁹		45,699		48,428
2.422%, 07/01/34 (02/25/16)⁹		1,322,044		1,395,622
2.425%, 01/01/34 (02/25/16)⁹		1,680,840		1,783,558

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

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal National Mortgage Association—47.6% (continued)
FNMA,
2.435%, 01/01/33 (02/25/16)⁹	$	1,089,297	$	1,160,680
2.443%, 06/01/33 (02/25/16)⁹		378,334		398,627
2.456%, 01/01/26 (02/25/16)⁹		217,347		224,229
2.459%, 12/01/33 (02/25/16)⁹		489,669		517,963
2.480%, 01/01/25 to 05/01/36 (02/25/16)⁹		755,311		796,008
2.494%, 05/01/34 (02/25/16)⁹		1,793,781		1,902,987
2.498%, 12/01/34 (02/25/16)⁹		2,540,519		2,700,569
2.520%, 09/01/37 (02/25/16)⁹		207,020		218,814
2.545%, 06/01/34 (02/25/16)⁹		2,252,303		2,392,594
2.578%, 04/01/34 (02/25/16)⁹		555,393		589,883
2.602%, 04/01/34 (02/25/16)⁹		621,475		659,989
2.614%, 11/01/34 (02/25/16)⁹		3,392,797		3,588,256
2.645%, 01/01/36 (02/25/16)⁹		3,592,973		3,820,431
2.655%, 12/01/34 (02/25/16)⁹		2,140,420		2,264,471
2.679%, 08/01/35 (02/25/16)⁹		1,506,700		1,605,326
3.000%, TBA 15 years,^11,12		19,300,000		19,881,760
3.500%, 11/01/30		9,987,317		10,538,610
4.000%, 10/01/21 to 08/01/30		894,782		948,215
4.500%, 10/01/19 to 10/01/44		17,160,494		18,562,242
5.000%, 10/01/18 to 09/01/25		10,465,857		11,103,001
5.500%, 11/01/17 to 08/01/41^10,11		39,947,194		44,822,529
6.000%, 09/01/19 to 08/01/37		9,757,245		10,796,758
6.500%, 04/01/17 to 08/01/32		3,958,484		4,513,697
7.000%, 11/01/22		1,698,905		1,840,496
7.500%, 08/01/33 to 09/01/33		67,140		81,135
FNMA Grantor Trust,
Series 2002-T5, Class A1, 0.662%, 05/25/32 (01/25/16)⁹		263,727		257,130
Series 2003-T4, Class 1A, 0.642%, 09/26/33 (01/26/16)⁹		13,978		13,863
FNMA REMICS,
Series 1994-31, Class ZC, 6.500%, 02/25/24		493,988		564,493
Series 1994-76, Class J, 5.000%, 04/25/24		130,587		135,024
Series 2001-63, Class FA, 0.910%, 12/18/31 (01/18/16)⁹		475,158		483,214
Series 2001-76, Class UD, 5.500%, 01/25/17		236,390		240,521
Series 2002-47, Class FD, 0.822%, 08/25/32 (01/25/16)⁹		505,561		510,472
Series 2002-56, Class UC, 5.500%, 09/25/17		127,451		130,996
Series 2002-74, Class FV, 0.872%, 11/25/32 (01/25/16)⁹		876,770		881,068
Series 2003-2, Class FA, 0.922%, 02/25/33 (01/25/16)⁹		420,849		426,302
Series 2003-3, Class HJ, 5.000%, 02/25/18		87,989		90,387

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

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal National Mortgage Association—47.6% (continued)
FNMA REMICS,
Series 2003-64, Class YA, 3.000%, 05/25/23	$	81,175	$	82,082
Series 2004-1, Class AC, 4.000%, 02/25/19		65,704		67,396
Series 2004-21, Class AE, 4.000%, 04/25/19		300,502		308,775
Series 2004-27, Class HB, 4.000%, 05/25/19		150,238		154,982
Series 2004-28, Class MD, 4.500%, 01/25/34		1,722,947		1,850,359
Series 2004-53, Class NC, 5.500%, 07/25/24		379,717		411,631
Series 2005-13, Class AF, 0.822%, 03/25/35 (01/25/16)⁹		592,278		594,121
Series 2005-19, Class PA, 5.500%, 07/25/34		226,444		241,682
Series 2005-58, Class EP, 5.500%, 07/25/35		299,449		326,041
Series 2005-68, Class PB, 5.750%, 07/25/35		55,657		59,054
Series 2005-68, Class PC, 5.500%, 07/25/35		330,382		349,795
Series 2005-100, Class BQ, 5.500%, 11/25/25		770,532		838,389
Series 2005-100, Class GC, 5.000%, 12/25/34		53,625		53,738
Series 2006-18, Class PD, 5.500%, 08/25/34		35,603		36,091
Series 2007-56, Class FN, 0.792%, 06/25/37 (01/25/16)⁹		222,628		222,579
Series 2007-69, Class AB, 5.500%, 12/25/32		957		956
Series 2008-59, Class KB, 4.500%, 07/25/23		141,396		146,605
Series 2010-12, Class AC, 2.500%, 12/25/18		182,832		185,029
Series 2010-48, Class GV, 5.000%, 05/25/21		626,928		631,577
Series 2011-60, Class UC, 2.500%, 09/25/39		379,806		384,444
Series 2011-60, Class UE, 3.000%, 09/25/39		922,163		942,835
Series 2011-115, Class FK, 0.792%, 10/25/39 (01/25/16)⁹		7,029,025		7,041,802
FNMA REMICS Whole Loan,
Series 2003-W1, Class 2A, 6.392%, 12/25/42⁴		18,663		21,475
Series 2003-W4, Class 4A, 7.028%, 10/25/42⁴		413,105		474,131
Series 2003-W13, Class AV2, 0.702%, 10/25/33 (01/25/16)^7,9		20,864		20,021
Series 2004-W5, Class F1, 0.872%, 02/25/47 (01/25/16)⁹		473,864		473,958
Series 2004-W14, Class 1AF, 0.822%, 07/25/44 (01/25/16)⁹		1,939,751		1,912,776
Series 2005-W2, Class A1, 0.622%, 05/25/35 (01/25/16)⁹		1,293,741		1,279,269
Total Federal National Mortgage Association				187,987,891
Government National Mortgage Association—7.7%
GNMA,
1.625%, 12/20/21 to 10/20/34 (02/20/16)⁹		841,062		871,680
1.750%, 04/20/24 to 03/20/37 (02/20/16)⁹		1,150,544		1,185,944
1.875%, 09/20/22 to 09/20/35 (02/20/16)⁹		3,332,507		3,447,186
2.000%, 06/20/22 (02/20/16)⁹		39,605		40,597
2.500%, 07/20/18 to 08/20/21 (02/20/16)⁹		36,395		37,060
2.750%, 10/20/17 (02/20/16)⁹		8,154		8,287
3.000%, 11/20/17 to 03/20/21 (02/20/16)⁹		41,543		42,858

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

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Government National Mortgage Association—7.7% (continued)
GNMA,
3.500%, 07/20/18 (02/20/16)⁹	$	11,264	$	11,500
4.000%, 09/15/18		171,677		180,566
4.500%, 04/15/18 to 07/15/24		1,138,262		1,193,139
6.000%, 01/15/36		7,535,842		8,759,451
9.500%, 12/15/17		818		843
Series 2000-36, Class F, 0.895%, 11/16/30 (01/16/16)⁹		530,745		534,308
Series 2005-47, Class QC, 5.000%, 11/20/32¹⁰		2,828,663		2,927,915
Series 2010-2, Class F, 0.895%, 01/16/40 (01/16/16)⁹		1,080,417		1,093,377
Series 2010-14, Class DC, 4.500%, 07/20/37		692,512		701,990
Series 2010-145, Class GL, 2.500%, 09/20/34		4,119,236		4,142,184
Series 2010-167, Class CJ, 3.000%, 09/20/33		5,408,180		5,476,257
Total Government National Mortgage Association				30,655,142
Interest Only Strips—1.5%
FHLMC,
Series 215, Class IO, 8.000%, 06/15/31⁷		97,656		27,362
Series 233, Class 5, 4.500%, 09/15/35		46,164		8,030
FHLMC REMICS,
Series 2649, Class IM, 7.000%, 07/15/33		359,279		93,919
Series 2922, Class SE, 6.420%, 02/15/35 (01/15/16)⁹		257,205		48,785
Series 2934, Class HI, 5.000%, 02/15/20		66,065		4,726
Series 2934, Class KI, 5.000%, 02/15/20		40,725		2,704
Series 2965, Class SA, 5.720%, 05/15/32 (01/15/16)⁹		580,474		91,911
Series 2967, Class JI, 5.000%, 04/15/20		205,450		15,076
Series 2980, Class SL, 6.370%, 11/15/34 (01/15/16)⁹		332,939		86,108
Series 2981, Class SU, 7.470%, 05/15/30 (01/15/16)⁹		274,008		56,512
Series 3031, Class BI, 6.359%, 08/15/35 (01/15/16)⁹		941,566		222,584
Series 3065, Class DI, 6.290%, 04/15/35 (01/15/16)⁹		813,255		164,094
Series 3114, Class GI, 6.270%, 02/15/36 (01/15/16)⁹		1,370,944		301,907
Series 3308, Class S, 6.870%, 03/15/32 (01/15/16)⁹		502,809		105,835
Series 3424, Class XI, 6.240%, 05/15/36 (01/15/16)⁹		624,695		116,784
Series 3489, Class SD, 7.470%, 06/15/32 (01/15/16)⁹		286,666		60,287
Series 3606, Class SN, 5.920%, 12/15/39 (01/15/16)⁹		842,915		141,658
Series 3685, Class EI, 5.000%, 03/15/19		487,020		18,514
Series 3731, Class IO, 5.000%, 07/15/19		236,597		10,155
Series 3882, Class AI, 5.000%, 06/15/26		141,498		8,624
FNMA,
Series 92, Class 2, 9.000%, 12/25/16⁷		1,710		40
Series 306, Class IO, 8.000%, 05/25/30⁷		78,029		21,668
Series 365, Class 4, 5.000%, 04/25/36		64,092		10,848

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

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Interest Only Strips—1.5% (continued)
FNMA REMICS,
Series 2001-82, Class S, 7.408%, 05/25/28 (01/25/16)^7,9	$	245,376	$	57,288
Series 2003-48, Class SJ, 5.578%, 06/25/18 (01/25/16)^7,9		60,218		1,692
Series 2003-73, Class SM, 6.178%, 04/25/18 (01/25/16)^7,9		8,110		31
Series 2004-49, Class SQ, 6.628%, 07/25/34 (01/25/16)⁹		212,199		40,343
Series 2004-51, Class SX, 6.698%, 07/25/34 (01/25/16)⁹		323,772		73,486
Series 2004-64, Class SW, 6.628%, 08/25/34 (01/25/16)⁹		899,674		183,465
Series 2004-66, Class SE, 6.078%, 09/25/34 (01/25/16)⁹		145,237		26,169
Series 2005-5, Class SD, 6.278%, 01/25/35 (01/25/16)⁹		251,668		42,022
Series 2005-12, Class SC, 6.328%, 03/25/35 (01/25/16)⁹		331,786		64,288
Series 2005-45, Class SR, 6.298%, 06/25/35 (01/25/16)⁹		762,013		141,655
Series 2005-65, Class KI, 6.578%, 08/25/35 (01/25/16)⁹		1,788,623		339,942
Series 2005-66, Class GS, 6.428%, 07/25/20 (01/25/16)⁹		116,028		9,752
Series 2006-3, Class SA, 5.728%, 03/25/36 (01/25/16)⁹		347,068		57,376
Series 2007-75, Class JI, 6.123%, 08/25/37 (01/25/16)⁹		179,800		31,268
Series 2007-85, Class SI, 6.038%, 09/25/37 (01/25/16)⁹		365,455		68,600
Series 2008-86, Class IO, 4.500%, 03/25/23		495,024		19,638
Series 2008-87, Class AS, 7.228%, 07/25/33 (01/25/16)⁹		1,071,447		240,279
Series 2010-37, Class GI, 5.000%, 04/25/25		552,318		19,197
Series 2010-65, Class IO, 5.000%, 09/25/20		868,809		54,942
Series 2010-68, Class SJ, 6.128%, 07/25/40 (01/25/16)⁹		391,838		79,142
Series 2010-105, Class IO, 5.000%, 08/25/20		452,771		31,265
Series 2010-121, Class IO, 5.000%, 10/25/25		323,912		17,329
Series 2011-69, Class AI, 5.000%, 05/25/18		728,283		26,559
Series 2011-88, Class WI, 3.500%, 09/25/26		1,039,364		111,034
Series 2011-124, Class IC, 3.500%, 09/25/21		1,482,196		84,652
Series 2012-126, Class SJ, 4.578%, 11/25/42 (01/25/16)⁹		4,810,122		723,672
GNMA,
Series 2011-32, Class KS, 11.411%, 06/16/34 (01/16/16)⁹		636,747		94,440
Series 2011-94, Class IS, 6.356%, 06/16/36 (01/16/16)⁹		540,823		70,534
Series 2011-146, Class EI, 5.000%, 11/16/41		343,812		85,020
Series 2011-157, Class SG, 6.198%, 12/20/41 (01/20/16)⁹		1,285,946		284,414
Series 2011-167, Class IO, 5.000%, 12/16/20		1,439,790		71,769
Series 2012-34, Class KS, 5.706%, 03/16/42 (01/16/16)⁹		3,227,437		670,457
Series 2012-69, Class QI, 4.000%, 03/16/41		1,546,721		257,441
Series 2012-96, Class IC, 3.000%, 08/20/27		920,731		97,178
Series 2012-101, Class AI, 3.500%, 08/20/27		671,615		81,255
Series 2012-103, Class IB, 3.500%, 04/20/40		1,106,585		132,320
Total Interest Only Strips				6,008,045

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

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
U.S. Government Obligations—3.2%
U.S. Treasury Inflation Indexed Bonds,
0.375%, 07/15/23	$	8,993,600	$	8,785,857
2.375%, 01/15/27¹⁰		3,219,680		3,722,044
Total U.S. Government Obligations				12,507,901
Total U.S. Government and Agency Obligations (cost $309,741,773)				315,327,654
Short-Term Investments—14.0%
U.S. Government and Agency Discount Notes—11.4%
FHLMC, 0.30%, 01/22/16¹³		2,600,000		2,599,805
FHLMC, 0.49%, 04/04/16^10,13		10,000,000		9,991,150
FHLMC, 0.52%, 05/02/16¹³		7,000,000		6,990,284
FHLMC, 0.54%, 04/07/16¹³		15,000,000		14,986,290
FNMA, 0.27%, 04/20/16¹³		3,000,000		2,996,880
FNMA, 0.39%, 05/11/16¹³		5,000,000		4,992,535
FNMA, 0.39%, 05/18/16¹³		2,500,000		2,496,062
Total U.S. Government and Agency Discount Notes				45,053,006
U.S. Treasury Bills—0.3%
U. S. Treasury Bills, 0.46%, 06/23/16^13,14		1,030,000		1,027,710

	Shares
Other Investment Companies—2.3%³
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.26%		9,190,210		9,190,210
Total Short-Term Investments (cost $55,277,425)				55,270,926
Total Investments—105.1% (cost $410,489,428)				415,460,906
Other Assets, less Liabilities—(5.1)%				(20,154,651	)
Net Assets—100.0%			$	395,306,255

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

Note to Schedules of Portfolio Investments

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

At December 31, 2015, the approximate cost of investments and the aggregate gross unrealized appreciation and depreciation for federal income tax were as follows:


Fund	Cost		Appreciation		Depreciation			Net
AMG Chicago Equity Partners Balanced Fund	$	158,508,788	$	5,645,729	$	(3,512,878	)	$	2,132,851
AMG Chicago Equity Partners Small Cap Value Fund		13,434,296		515,697		(713,897	)		(198,200	)
AMG Managers High Yield Fund		34,470,673		260,731		(4,010,508	)		(3,749,777	)
AMG Managers Intermediate Duration Government Fund		291,240,991		3,085,239		(1,468,989	)		1,616,250
AMG Managers Short Duration Government Fund		410,504,963		6,214,809		(1,258,866	)		4,955,943

*	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 December 31, 2015, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers High Yield Fund	$	11,074,251		37.6	%
AMG Managers Intermediate Duration Government Fund		12,064,500		6.3	%
AMG Managers Short Duration Government Fund		21,247,693		5.4	%

(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 December 31, 2015, amounting to the following:


Fund	Market Value		% of Net Assets
AMG Chicago Equity Partners Balanced Fund	$	2,123,769		1.4	%
AMG Chicago Equity Partners Small Cap Value Fund		419,919		3.3	%
AMG Managers High Yield Fund		1,580,119		5.4	%

²	Collateral received from brokers for securities lending was invested in these joint repurchase agreements.

³	Yield shown represents the December 31, 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 December 31, 2015 and is periodically reset subject to terms and conditions set forth in the debenture.

⁵	Perpetuity Bond. The date shown is the final call date.

⁶	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.

⁷

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 December 31, 2015, amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers High Yield	$	314,765		1.1	%
AMG Managers Intermediate Duration Government Fund		432,726		0.2	%
AMG Managers Short Duration Government Fund		269,624		0.1	%

⁸	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.

⁹	Floating Rate Security: The rate listed is as of December 31, 2015. Date in parentheses represents the security’s next coupon rate reset.

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

Notes to Schedules of Portfolio Investments (continued)

¹⁰	Some or all of these securities are segregated as collateral for delayed delivery agreements. At December 31, 2015, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers Intermediate Duration Government Fund	$	101,078,496		52.6	%
AMG Managers Short Duration Government Fund		30,843,052		7.8	%

¹¹	All or part of the security is delayed delivery transactions. The market value of delayed delivery securities at December 31, 2015, amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers Intermediate Duration Government Fund	$	101,078,496		52.6	%
AMG Managers Short Duration Government Fund		20,364,453		5.2	%

¹²	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.

¹³	Represents yield to maturity at December 31, 2015.

¹⁴	Some or all of this security is held with brokers as collateral for futures contracts. The collateral market value at December 31, 2015, amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers Intermediate Duration Government Fund	$	89,800		0.0	%^#
AMG Managers Short Duration Government Fund		1,027,710		0.3	%

The following tables summarize the inputs used to value the Funds’ investments by the fair value hierarchy levels as of December 31, 2015: (See Note 1(a) in the Notes to the Financial Statements.)


	Quoted Prices in Active Markets		Significant Other		Significant
	for Identical Investments		Observable Inputs		Unobservable Inputs
	Level 1		Level 2		Level 3		Total
AMG Chicago Equity Partners Balanced Fund
Investments in Securities
Common Stocks^†	$	99,992,253		—		—	$	99,992,253
Corporate Bonds and Notes^††		—	$	3,506,363		—		3,506,363
U.S. Government and Agency Obligations^††		—		51,725,278		—		51,725,278
Short-Term Investments
Repurchase Agreements		—		2,205,649		—		2,205,649
Other Investment Companies		3,212,096		—		—		3,212,096

Total Investments in Securities	$	103,204,349	$	57,437,290		—	$	160,641,639

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

Notes to Schedules of Portfolio Investments (continued)


	Quoted Prices in Active Markets		Significant Other		Significant
	for Identical Investments		Observable Inputs		Unobservable Inputs
	Level 1		Level 2		Level 3		Total
AMG Chicago Equity Partners Small Cap Value Fund
Investments in Securities
Common Stocks^†	$	12,671,792		—		—	$	12,671,792
Short-Term Investments
Repurchase Agreements		—	$	438,158		—		438,158
Other Investment Companies		126,146		—		—		126,146

Total Investments in Securities	$	12,797,938	$	438,158		—	$	13,236,096


	Quoted Prices in Active Markets		Significant Other		Significant
	for Identical Investments		Observable Inputs		Unobservable Inputs
	Level 1		Level 2		Level 3		Total
AMG Managers High Yield Fund
Investments in Securities
Corporate Bonds and Notes
Industrials		—	$	24,882,039	$	170,713	$	25,052,752
Financials		—		1,852,261		—		1,852,261
Utilities		—		331,209		—		331,209
Floating Rate Senior Loan Interests		—		574,935		700,083		1,275,018
Common Stocks
Industrials		—		—		81,252		81,252
Short-Term Investments
Repurchase Agreements		—		1,652,196		—		1,652,196
Other Investment Companies	$	476,208		—		—		476,208

Total Investments in Securities	$	476,208	$	29,292,640	$	952,048	$	30,720,896

The following table below is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at December 31, 2015:


						Floating Rate
	Common		Corporate			Senior Loan
AMG Managers High Yield Fund	Stock		Bond			Interests^*			Total
Balance as of December 31, 2014		—		—		$	274,666		$	274,666
Accrued discounts (premiums)		—	$	337			1,245			1,582
Realized gain (loss)		—		—			831			831
Change in unrealized appreciation (depreciation)	$	23,236		2,418			(70,401	)		(44,747	)
Purchases		58,016		167,280			163,805			389,101
Sales		—		(44	)		(18,777	)		(18,821	)
Transfers in to Level 3		—		722			425,626			426,348
Transfers out of Level 3		—		—			(76,912	)		(76,912	)
Balance as of December 31, 2015	$	81,252	$	170,713		$	700,083		$	952,048
Net change in unrealized appreciation/depreciation on investments still held at December 31, 2015	$	23,236	$	2,418		$	(70,401	)	$	(44,747	)

*	The Fund transferred certain investments into Level 3 due to decreased liquidity and decreased visibility into pricing inputs of the third party pricing vendor.

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

Notes to Schedules 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 December 31, 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

Valuation

Unobservable

September 30, 2015

Technique(s)

Inputs

Range

Average

AMG Managers High Yield Fund

Common Stocks

81,252

Enterprise Value

EV Multiple, Discount

7.4-8.4

7.9

Corporate Bonds

170,280

Enterprise Value

EV Multiple, Discount

7.4-8.4

7.9

Corporate Bonds

433

Broker Quote

Price

n/a

Floating Rate Senior Loan Interests

700,083

Unadjusted Price from Third Party

Price

n/a

Total

952,048


	Quoted Prices in Active Markets			Significant Other			Significant
	for Identical Investments			Observable Inputs			Unobservable Inputs
	Level 1			Level 2			Level 3		Total
AMG Managers Intermediate Duration Government Fund
Investments in Securities
Asset-Backed Securities		—		$	11,648,454			—	$	11,648,454
Mortgage-Backed Securities		—			12,945,974			—		12,945,974
U.S. Government and Agency Obligations^††		—			227,123,841			—		227,123,841
Short-Term Investments
U.S. Treasury Bills		—			89,800			—		89,800
Other Investment Companies	$	41,049,172			—			—		41,049,172

Total Investments in Securities	$	41,049,172		$	251,808,069			—	$	292,857,241

TBA Sale Commitments		—		$	(30,746,253	)		—	$	(30,746,253	)

Financial Derivative Instruments-Assets^†††
Interest Rate Contracts	$	4,382			—			—	$	4,382

Financial Derivative Instruments-Liabilities^†††
Interest Rate Contracts		(18,402	)		—			—		(18,402	)

Total Financial Derivative Instruments	$	(14,020	)		—			—	$	(14,020	)

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

Notes to Schedules of Portfolio Investments (continued)


	Quoted Prices in Active Markets			Significant Other		Significant
	for Identical Investments			Observable Inputs		Unobservable Inputs
	Level 1			Level 2		Level 3		Total
AMG Managers Short Duration Government Fund
Investments in Securities
Asset-Backed Securities		—		$	36,065,196		—	$	36,065,196
Mortgage-Backed Securities		—			8,797,130		—		8,797,130
U.S. Government and Agency Obligations^††		—			315,327,654		—		315,327,654
Short-Term Investments
U.S. Government and Agency Discount Notes		—			45,053,006		—		45,053,006
U.S. Treasury Bills		—			1,027,710		—		1,027,710
Other Investment Companies	$	9,190,210			—		—		9,190,210

Total Investments in Securities	$	9,190,210		$	406,270,696		—	$	415,460,906

Financial Derivative Instruments-Assets^†††
Interest Rate Contracts	$	73,551			—		—	$	73,551

Financial Derivative Instruments-Liabilities^†††
Interest Rate Contracts		(53,854	)		—		—		(53,854	)

Total Financial Derivative Instruments	$	19,697			—		—	$	19,697

^†	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 contracts, are not reflected in the Schedule of Portfolio Investments and are valued at the unrealized appreciation/depreciation of the instrument.

As of December 31, 2015, the Funds had no significant transfers between Levels 1 and 2 from the beginning of the reporting period.

The following schedule shows the value of derivative instruments at December 31, 2015:

Asset Derivatives

Liability Derivatives

Derivatives not accounted

Statement of Assets and

Fund

for as hedging instruments

Liabilities Location

Fair Value

Liabilities Location

Fair Value

AMG Managers Intermediate Duration Government Fund

Interest rate contracts

Receivable for variation margin¹

3,484

Payable for variation margin¹

15,516

Asset Derivatives

Liability Derivatives

Derivatives not accounted

Statement of Assets and

Fund

for as hedging instruments

Liabilities Location

Fair Value

Liabilities Location

Fair Value

AMG Managers Short Duration Government Fund

Interest rate contracts

Receivable for variation margin¹

—

Payable for variation margin¹

117,516

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 $(14,020) and $19,697, respectively, as reported in the Notes to Schedule of Portfolio Investments.

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

Notes to Schedules of Portfolio Investments (continued)

For the year ended December 31, 2015, the effect of derivative instruments on the Statement of Operations for the Funds and the amount of realized gain/(loss) and change in unrealized gain (loss) on derivatives recognized in income were as follows:

Realized Gain (Loss)

Change in Unrealized Gain (Loss)

Derivatives not accounted

Statement of Operations

Realized

Statement of Operations

Change in Unrealized

Fund

for as hedging instruments

Location

Gain/(Loss)

Location

Gain/(Loss)

AMG Managers Intermediate Duration Government Fund

Interest rate contracts

Net realized loss on futures contracts

(205,712

)

Net change in unrealized appreciation- (depreciation) of futures contracts

15,439

Realized Gain (Loss)

Change in Unrealized Gain (Loss)

Derivatives not accounted

Statement of Operations

Realized

Statement of Operations

Change in Unrealized

Fund

for as hedging instruments

Location

Gain/(Loss)

Location

Gain/(Loss)

AMG Managers Short Duration Government Fund

Interest rate contracts futures contracts

Net realized loss on

(1,360,083

)

Net change in unrealized appreciation- (depreciation) of futures contracts

375,560

At December 31, 2015, the following Fund had TBA forward sale commitments:

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

AMG Managers Intermediate Duration Government Fund


	Principal		Settlement		Current
Security	Amount		Date		Liability		Proceeds
FNMA, 3.500%, TBA 30 years	$	6,900,000		01/13/16	$	7,118,890	$	(7,118,859	)
FNMA, 4.500%, TBA 30 years		1,050,000		01/13/16		1,133,869		(1,132,195	)
GNMA, 3.500%, TBA 30 years		16,180,000		01/21/16		16,867,019		(16,794,456	)
GNMA, 4.000%, TBA 30 years		1,600,000		01/21/16		1,697,249		(1,689,750	)
GNMA, 4.000%, TBA 30 years		3,700,000		01/21/16		3,929,226		(3,921,938	)

				Totals	$	30,746,253	$	(30,657,198	)

At December 31, 2015, the following Funds had open futures contracts:

(See Note 8 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		3		Short		04/05/16	$	883
5-Year Interest Rate Swap		23		Short		03/16/16		1,286
5-Year U.S. Treasury Note		2		Short		04/05/16		526
10-Year Interest Rate Swap		34		Short		03/16/16		(16,554	)
10-Year U.S. Treasury Note		5		Long		03/31/16		(1,848	)
Ultra U.S. Treasury Bond		2		Long		03/31/16		1,687

						Total	$	(14,020	)

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

Notes to Schedules 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		119		Short		04/05/16	$	35,031
5-Year Interest Rate Swap		424		Short		03/16/16		26,161
5-Year U.S. Treasury Note		9		Short		04/05/16		2,368
10-Year Interest Rate Swap		65		Short		03/16/16		(31,647	)
10-Year U.S. Treasury Note		28		Short		03/31/16		9,991
Ultra U.S. Treasury Bond		26		Short		03/31/16		(22,207	)

						Total	$	19,697


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
REIT:		Real Estate Investment Trust
REMICS:		Real Estate Mortgage Investment Conduits
TBA:		To Be Announced

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

Statement of Assets and Liabilities

December 31, 2015


				AMG
	AMG			Chicago Equity
	Chicago Equity			Partners			AMG Managers
	Partners			Small Cap Value			High Yield
	Balanced Fund			Fund			Fund
Assets:
Investments at value (including securities on loan valued at $2,123,769, $419,919 and $1,580,119, respectively)*	$	160,641,639		$	13,236,096		$	30,720,896
Receivable for Fund shares sold		1,774,818			2,063			18,906
Receivable for investments sold		833,028			21,170			—
Dividends, interest and other receivables		304,924			21,601			549,810
Receivable from affiliate		48,176			11,147			16,415
Prepaid expenses		21,253			24,084			16,266
Total assets		163,623,838			13,316,161			31,322,293
Liabilities:
Payable for investments purchased		2,382,667			66,081			—
Payable upon return of securities loaned		2,205,649			438,158			1,652,196
Payable for Fund shares repurchased		1,842,933			12,521			108,913
Payable to affiliate		—			47,346			—
Accrued expenses:
Investment advisory and management fees		90,711			6,861			17,792
Administrative fees		25,918			2,766			5,084
Distribution fees—Investor Class		19,377			3			5,834
Shareholder servicing fees—Investor Class		—			2			—
Shareholder servicing fees—Service Class		5,058			839			—
Trustees fees and expenses		82			6			29
Other		68,420			31,394			88,009
Total liabilities		6,640,815			605,977			1,877,857
Net Assets	$	156,983,023		$	12,710,184		$	29,444,436
Net Assets Represent:
Paid-in capital	$	155,449,478		$	13,906,227		$	35,247,267
(Distributions in excess of) undistributed net investment income		(11,114	)		—			24,681
Accumulated net realized loss from investments		(974,948	)		(1,002,710	)		(2,163,805	)
Net unrealized appreciation (depreciation) of investments		2,519,607			(193,333	)		(3,663,707	)
Net Assets	$	156,983,023		$	12,710,184		$	29,444,436
* Investments at cost	$	158,122,032		$	13,429,429		$	34,384,603

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

Statement of Assets and Liabilitiess (continued)


			AMG
	AMG		Chicago Equity		AMG
	Chicago Equity		Partners		Managers
	Partners		Small Cap Value		High Yield
	Balanced Fund		Fund		Fund
Investor Class Shares:
Net Assets	$	94,476,153	$	16,254	$	27,020,168
Shares outstanding		6,333,138		1,731		3,824,295
Net asset value, offering and redemption price per share	$	14.92	$	9.39	$	7.07
Service Class Shares:
Net Assets	$	60,797,788	$	11,084,657		n/a
Shares outstanding		4,039,287		1,185,670		n/a
Net asset value, offering and redemption price per share	$	15.05	$	9.35		n/a
Institutional Class Shares:
Net Assets	$	1,709,082	$	1,609,273	$	2,424,268
Shares outstanding		113,576		172,077		339,517
Net asset value, offering and redemption price per share	$	15.05	$	9.35	$	7.14

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

Statement of Assets and Liabilities (continued)


	AMG Managers
	Intermediate			AMG Managers
	Duration			Short Duration
	Government Fund			Government Fund
Assets:
Investments at value*	$	292,857,241		$	415,460,906
Receivable for delayed delivery investments sold		84,070,114			—
Receivable for paydowns		35,688			221,731
Dividends, interest and other receivables		635,151			1,129,885
Receivable for Fund shares sold		394,349			5,549,567
Cash collateral		—			252,000
Receivable from affiliate		19,471			—
Receivable for variation margin		3,484			—
Prepaid expenses		9,651			10,883
Total assets		378,025,149			422,624,972
Liabilities:
Payable for delayed delivery investments purchased		154,475,535			20,457,884
TBA sale commitments at value (proceeds receivable of $30,657,198 and $0,respectively)		30,746,253			—
Payable for Fund shares repurchased		464,005			6,384,176
Payable for variation margin		15,516			117,516
Payable for investments purchased		4,467			—
Accrued expenses:
Investment advisory and management fees		114,802			235,151
Shareholder servicing fees		16,400			340
Trustees fees and expenses		136			409
Other		148,559			123,241
Total liabilities		185,985,673			27,318,717
Net Assets	$	192,039,476		$	395,306,255
Net Assets Represent:
Paid-in capital	$	192,887,451		$	399,176,782
Undistributed net investment income		165,617			324,504
Accumulated net realized loss from investments and futures contracts		(2,540,465	)		(9,186,206	)
Net unrealized appreciation of investments and futures contracts		1,526,873			4,991,175
Net Assets	$	192,039,476		$	395,306,255
Shares outstanding		17,771,959			41,087,189
Net asset value, offering and redemption price per share	$	10.81		$	9.62
* Investments at cost	$	291,227,293		$	410,489,428

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

Statement of Operations

For the year ended December 31, 2015


				AMG
	AMG			Chicago Equity			AMG			AMG Managers
	Chicago Equity			Partners			Managers			Intermediate			AMG Managers
	Partners			Small Cap Value			High Yield			Duration			Short Duration
	Balanced Fund			Fund^*			Fund			Government Fund			Government Fund
Investment Income:
Dividend income	$	1,032,191	¹	$	195,761	²	$	588		$	53,923		$	15,140
Interest income		617,327			—			2,265,980			3,496,435			3,916,506
Securities lending income		15,990			5,192			17,360			—			—
Foreign withholding tax		(9	)		(22	)		—			—			—
Total investment income		1,665,499			200,931			2,283,928			3,550,358			3,931,646
Expenses:
Investment advisory and management fees		678,609			63,364			243,906			1,325,791			2,662,834
Administrative fees		193,888			25,551			69,687			—			—
Distribution fees—Investor Class		154,319			544			79,604			—			—
Shareholder servicing fees—Investor Class		—			326			—			—			—
Shareholder servicing fees—Service Class		28,730			9,055			—			—			—
Shareholder servicing fees		—			—			—			189,399			3,676
Custodian fees		61,154			9,445			66,593			71,236			103,330
Registration fees		56,446			54,420			31,072			23,058			26,907
Professional fees		44,275			25,157			57,726			63,276			76,736
Reports to shareholders		16,098			12,125			13,449			37,836			71,749
Transfer agent fees		12,511			4,890			13,361			19,023			18,203
Trustees fees and expenses		5,126			406			2,141			11,126			22,182
Miscellaneous		2,794			1,828			1,344			3,704			4,293
Total expenses before offsets/reductions		1,253,950			207,111			578,883			1,744,449			2,989,910
Expense reimbursements		(256,154	)		(100,095	)		(185,686	)		(58,801	)		—
Expense reductions		(13,795	)		(3,877	)		—			—			—
Fee waivers		—			—			—			(13,520	)		—
Net expenses		984,001			103,139			393,197			1,672,128			2,989,910
Net investment income		681,498			97,792			1,890,731			1,878,230			941,736
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		2,473,703			(999,755	)		(45,820	)		1,843,016			497,541
Net realized loss on futures contracts		—			—			—			(205,712	)		(1,360,083	)
Net change in unrealized appreciation (depreciation) of investments		(1,434,299	)		(193,333	)		(3,262,411	)		(1,618,789	)		(992,062	)
Net change in unrealized appreciation (depreciation) of futures contracts		—			—			—			15,439			375,560
Net realized and unrealized gain (loss)		1,039,404			(1,193,088	)		(3,308,231	)		33,954			(1,479,044	)
Net increase (decrease) in net assets resulting from operations	$	1,720,902		$	(1,095,296	)	$	(1,417,500	)	$	1,912,184		$	(537,308	)

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

¹	Includes non-recurring dividends of $ 64,131.

²	Includes non-recurring dividends of $ 11,502.

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

Statements of Changes in Net Assets

For the years ended December 31,


							AMG Chicago
							Equity			AMG Managers High
	AMG Chicago Equity						Small Cap Value			Yield
	Partners Balanced Fund						Fund^*			Fund
	2015			2014			2015			2015			2014
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	681,498		$	445,430		$	97,792		$	1,890,731		$	1,942,264
Net realized gain (loss) on investments		2,473,703			5,348,407			(999,755	)		(45,820	)		463,758
Net change in unrealized appreciation (depreciation) of investments		(1,434,299	)		(680,658	)		(193,333	)		(3,262,411	)		(1,737,634	)
Net increase (decrease) in net assets resulting from operations		1,720,902			5,113,179			(1,095,296	)		(1,417,500	)		668,388
Distributions to Shareholders:
From net investment income:
Investor Class		(520,943	)		(255,532	)		—			(1,716,173	)		(1,776,356	)
Service Class		(326,230	)		(67,831	)		(87,485	)		—			—
Institutional Class		(45,707	)		(108,580	)		(14,054	)		(169,087	)		(166,982	)
From net realized gain on investments:
Investor Class		(2,381,784	)		(3,590,785	)		—			—			—
Service Class		(1,556,354	)		(810,554	)		—			—			—
Institutional Class		(43,342	)		(1,055,585	)		—			—			—
Total distributions to shareholders		(4,874,360	)		(5,888,867	)		(101,539	)		(1,885,260	)		(1,943,338	)
Capital Share Transactions:¹
Net increase (decrease) from capital share transactions		91,503,363			23,554,155			13,907,019			(5,092,769	)		4,598,297
Total increase (decrease) in net assets		88,349,905			22,778,467			12,710,184			(8,395,529	)		3,323,347
Net Assets:
Beginning of year		68,633,118			45,854,651			—			37,839,965			34,516,618
End of year	$	156,983,023		$	68,633,118		$	12,710,184		$	29,444,436		$	37,839,965
End of year (distributions in excess of) undistributed net investment income	$	(11,114	)	$	7,856			—		$	24,681		$	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.

Statement of Changes in Net Assets (continued)

For the years ended December 31,


	AMG Managers Intermediate Duration						AMG Managers Short Duration
	Government Fund						Government Fund
	2015			2014			2015			2014
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	1,878,230		$	2,189,952		$	941,736		$	1,950,075
Net realized gain (loss) on investments and futures contracts		1,637,304			4,637,953			(862,542	)		(35,126	)
Net change in unrealized appreciation (depreciation) of investments and futures contracts		(1,603,350	)		2,287,316			(616,502	)		418,867
Net increase (decrease) in net assets resulting from operations		1,912,184			9,115,221			(537,308	)		2,333,816
Distributions to Shareholders:
From net investment income		(1,715,923	)		(2,186,725	)		(613,266	)		(2,078,120	)
From net realized gain on investments		(2,980,423	)		(3,467,539	)		—			—
Total distributions to shareholders		(4,696,346	)		(5,654,264	)		(613,266	)		(2,078,120	)
Capital Share Transactions:
Proceeds from sale of shares		80,828,756			63,567,920			247,057,885			160,549,746
Reinvestment of dividends and distributions		4,309,750			5,096,002			544,398			1,907,063
Cost of shares repurchased		(64,452,490	)		(34,902,523	)		(236,391,813	)		(199,954,281	)
Net increase (decrease) from capital share transactions		20,686,016			33,761,399			11,210,470			(37,497,472	)
Total increase (decrease) in net assets		17,901,854			37,222,356			10,059,896			(37,241,776	)
Net Assets:
Beginning of year		174,137,622			136,915,266			385,246,359			422,488,135
End of year	$	192,039,476		$	174,137,622		$	395,306,255		$	385,246,359
End of year undistributed net investment income	$	165,617		$	3,101		$	324,504			—

Share Transactions:
Sale of shares		7,332,604			5,754,077			25,577,569			16,610,106
Reinvested shares from dividends and distributions		396,581			465,823			56,336			197,427
Shares repurchased		(5,851,649	)		(3,191,247	)		(24,480,608	)		(20,694,738	)
Net increase (decrease) in shares		1,877,536			3,028,653			1,153,297			(3,887,205	)

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

AMG Chicago Equity Partners Balanced Fund

Financial Highlights

For a share outstanding throughout each period


	For the years ended December 31,
Investor Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	15.09		$	15.13		$	14.19		$	13.70		$	13.49
Income from Investment Operations:
Net investment income^1,2		0.10	¹⁷		0.11			0.10	⁴		0.18			0.18
Net realized and unrealized gain on investments		0.23			1.37			2.33			1.16			0.69
Total income from investment operations		0.33			1.48			2.43			1.34			0.87
Less Distributions to Shareholders from:
Net investment income		(0.11	)		(0.11	)		(0.09	)		(0.17	)		(0.18	)
Net realized gain on investments		(0.39	)		(1.41	)		(1.40	)		(0.68	)		(0.48	)
Total distributions to shareholders		(0.50	)		(1.52	)		(1.49	)		(0.85	)		(0.66	)
Net Asset Value, End of Year	$	14.92		$	15.09		$	15.13		$	14.19		$	13.70
Total Return¹		2.19	%		9.69	%		17.14	%		9.86	%		6.45	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.08	%		1.07	%		1.10	%⁵		1.17	%^6,7		1.24	%
Ratio of expenses to average net assets (with offsets)		1.09	%		1.09	%		1.11	%⁵		1.18	%⁶		1.25	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.36	%		1.40	%		1.55	%⁵		1.52	%⁶		1.70	%
Ratio of net investment income to average net assets¹		0.64	%		0.70	%		0.62	%⁵		1.21	%⁶		1.27	%
Portfolio turnover		105	%		92	%		90	%		110	%		94	%
Net assets at end of year (000’s omitted)	$	94,476		$	41,751		$	33,151		$	26,047		$	17,519


										For the period ended
	For the years ended									December 1, 2012
	December 31,									through
Service Class	2015			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 income^1,2		0.12	¹⁷		0.15			0.13	⁴		0.02
Net realized and unrealized gain (loss) on investments		0.23			1.37			2.36			(0.08	)
Total income (loss) from investment operations		0.35			1.52			2.49			(0.06	)
Less Distributions to Shareholders from:
Net investment income		(0.14	)		(0.13	)		(0.12	)		(0.06	)
Net realized gain on investments		(0.39	)		(1.42	)		(1.41	)		(0.69	)
Total distributions to shareholders		(0.53	)		(1.55	)		(1.53	)		(0.75	)
Net Asset Value, End of Period	$	15.05		$	15.23		$	15.26		$	14.30
Total Return¹		2.29	%		9.93	%		17.45	%⁸		(0.36	)%^8,15
Ratio of net expenses to average net assets (with offsets/reductions)		0.93	%		0.86	%		0.92	%⁵		0.82	%^6,16
Ratio of expenses to average net assets (with offsets)		0.94	%		0.88	%		0.93	%⁵		0.83	%^6,16
Ratio of total expenses to average net assets (without offsets/reductions)³		1.21	%		1.20	%		1.39	%⁵		1.62	%^6,16
Ratio of net investment income to average net assets¹		0.80	%		0.91	%		0.83	%⁵		1.90	%^6,16
Portfolio turnover		105	%		92	%		90	%		110	%¹⁵
Net assets at end of period (000’s omitted)	$	60,798		$	14,481		$	1,581		$	9

AMG Chicago Equity Partners Balanced Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Institutional Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	15.22		$	15.26		$	14.31		$	13.82		$	13.60
Income from Investment Operations:
Net investment income^1,2		0.14	¹⁷		0.15			0.14	⁴		0.21			0.21
Net realized and unrealized gain on investments		0.23			1.38			2.35			1.18			0.71
Total income from investment operations		0.37			1.53			2.49			1.39			0.92
Less Distributions to Shareholders from:
Net investment income		(0.15	)		(0.15	)		(0.13	)		(0.21	)		(0.22	)
Net realized gain on investments		(0.39	)		(1.42	)		(1.41	)		(0.69	)		(0.48	)
Total distributions to shareholders		(0.54	)		(1.57	)		(1.54	)		(0.90	)		(0.70	)
Net Asset Value, End of Year	$	15.05		$	15.22		$	15.26		$	14.31		$	13.82
Total Return¹		2.44	%		9.97	%		17.45	%		10.09	%		6.77	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.83	%		0.82	%		0.85	%⁵		0.92	%^6,7		0.99	%
Ratio of expenses to average net assets (with offsets)		0.84	%		0.84	%		0.86	%⁵		0.93	%⁶		1.00	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.09	%		1.15	%		1.30	%⁵		1.27	%⁶		1.45	%
Ratio of net investment income to average net assets¹		0.89	%		0.95	%		0.88	%⁵		1.46	%⁶		1.52	%
Portfolio turnover		105	%		92	%		90	%		110	%		94	%
Net assets at end of year (000’s omitted)	$	1,709		$	12,401		$	11,122		$	9,601		$	8,885

AMG Chicago Equity Partners Small Cap Value Fund

Financial Highlights

For a share outstanding throughout each period


	For the period ended
Investor Class	December 31, 2015**
Net Asset Value, Beginning of Period	$	10.00
Income from Investment Operations:
Net investment loss^1,2		(0.08	)¹⁷
Net realized and unrealized loss on investments		(0.53	)
Total loss from investment operations		(0.61	)
Net Asset Value, End of Period	$	9.39
Total Return¹		(6.10	)%¹⁵
Ratio of net expenses to average net assets (with offsets/reductions)		1.32	%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		2.34	%¹⁶
Ratio of net investment loss to average net assets¹		(0.77	)%¹⁶
Portfolio turnover		138	%¹⁵
Net assets at end of period (000’s omitted)	$	16


	For the period ended
Service Class	December 31, 2015**
Net Asset Value, Beginning of Period	$	10.00
Income from Investment Operations:
Net investment income^1,2		0.10	¹⁷
Net realized and unrealized loss on investments		(0.68	)
Total loss from investment operations		(0.58	)
Less Distributions to Shareholders from:
Net investment income		(0.07	)
Net Asset Value, End of Period	$	9.35
Total Return¹		(5.77	)%¹⁵
Ratio of net expenses to average net assets (with offsets/reductions)		1.03	%¹⁶
Ratio of expenses to average net assets (with offsets)		1.06	%¹⁶
Ratio of total expenses to average net assets (without offsets/reductions)³		1.85	%¹⁶
Ratio of net investment income to average net assets¹		0.98	%¹⁶
Portfolio turnover		138	%¹⁵
Net assets at end of period (000’s omitted)	$	11,085

AMG Chicago Equity Partners Small Cap Value Fund

Financial Highlights

For a share outstanding throughout each period


	For the period ended
Institutional Class	December 31, 2015**
Net Asset Value, Beginning of Period	$	10.00
Income from Investment Operations:
Net investment income^1,2		0.11	¹⁷
Net realized and unrealized loss on investments		(0.68	)
Total loss from investment operations		(0.57	)
Less Distributions to Shareholders from:
Net investment income		(0.08	)
Net Asset Value, End of Period	$	9.35
Total Return¹		(5.69	)%¹⁵
Ratio of net expenses to average net assets (with offsets/reductions)		0.92	%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		3.06	%¹⁶
Ratio of net investment income to average net assets¹		1.07	%¹⁶
Portfolio turnover		138	%¹⁵
Net assets at end of period (000’s omitted)	$	1,609

AMG Managers High Yield Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Investor Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	7.84		$	8.09		$	8.07		$	7.51		$	7.74
Income from Investment Operations:
Net investment income^1,2		0.42			0.42			0.47			0.54			0.56
Net realized and unrealized gain (loss) on investments		(0.77	)		(0.26	)		0.02			0.56			(0.22	)
Total income (loss) from investment operations		(0.35	)		0.16			0.49			1.10			0.34
Less Distributions to Shareholders from:
Net investment income		(0.42	)		(0.41	)		(0.47	)		(0.54	)		(0.57	)
Net Asset Value, End of Year	$	7.07		$	7.84		$	8.09		$	8.07		$	7.51
Total Return¹		(4.77	)%		1.99	%		6.21	%⁸		15.12	%⁸		4.54	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.15	%		1.15	%		1.17	%⁹		1.15	%¹⁰		1.15	%
Ratio of expenses to average net assets (with offsets)		1.15	%		1.15	%		1.17	%⁹		1.15	%¹⁰		1.15	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.68	%		1.67	%		1.70	%⁹		1.73	%¹⁰		1.69	%
Ratio of net investment income to average net assets¹		5.41	%		5.12	%		5.76	%⁹		6.87	%¹⁰		7.35	%
Portfolio turnover		42	%		40	%		39	%		48	%		48	%
Net assets at end of year (000’s omitted)	$	27,020		$	34,709		$	31,751		$	30,817		$	23,957


	For the years ended December 31,
Institutional Class	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	7.92		$	8.18		$	8.16		$	7.59		$	7.82
Income from Investment Operations:
Net investment income^1,2		0.44			0.44			0.49			0.56			0.59
Net realized and unrealized gain (loss) on investments		(0.78	)		(0.26	)		0.02			0.58			(0.22	)
Total income (loss) from investment operations		(0.34	)		0.18			0.51			1.14			0.37
Less Distributions to Shareholders from:
Net investment income		(0.44	)		(0.44	)		(0.49	)		(0.57	)		(0.60	)
Net Asset Value, End of Year	$	7.14		$	7.92		$	8.18		$	8.16		$	7.59
Total Return¹		(4.56	)%		2.16	%		6.47	%		15.46	%		4.83	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.90	%		0.90	%		0.92	%⁹		0.90	%¹⁰		0.90	%
Ratio of expenses to average net assets (with offsets)		0.90	%		0.90	%		0.92	%⁹		0.90	%¹⁰		0.90	%
Ratio of total expenses to average net assets (without offsets/reductions)³		1.43	%		1.42	%		1.45	%⁹		1.48	%¹⁰		1.44	%
Ratio of net investment income to average net assets¹		5.65	%		5.37	%		6.01	%⁹		7.12	%¹⁰		7.60	%
Portfolio turnover		42	%		40	%		39	%		48	%		48	%
Net assets at end of year (000’s omitted)	$	2,424		$	3,131		$	2,765		$	2,538		$	5,247

AMG Managers Intermediate Duration Government Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	10.96		$	10.64		$	10.98		$	11.10		$	11.01
Income from Investment Operations:
Net investment income¹		0.11	²		0.17	²		0.18	²		0.20	²		0.30
Net realized and unrealized gain (loss) on investments		0.01			0.54			(0.32	)		0.14			0.34
Total income (loss) from investment operations		0.12			0.71			(0.14	)		0.34			0.64
Less Distributions to Shareholders from:
Net investment income		(0.10	)		(0.17	)		(0.18	)		(0.20	)		(0.30	)
Net realized gain on investments		(0.17	)		(0.22	)		(0.02	)		(0.26	)		(0.25	)
Total distributions to shareholders		(0.27	)		(0.39	)		(0.20	)		(0.46	)		(0.55	)
Net Asset Value, End of Year	$	10.81		$	10.96		$	10.64		$	10.98		$	11.10
Total Return¹		1.09	%⁸		6.73	%⁸		(1.25	)%⁸		3.15	%⁸		5.88	%⁸
Ratio of net expenses to average net assets (with offsets/reductions)		0.88	%		0.89	%		0.91	%¹¹		0.89	%¹²		0.88	%
Ratio of expenses to average net assets (with offsets)		0.88	%		0.89	%		0.91	%¹¹		0.89	%¹²		0.88	%
Ratio of total expenses to average net assets (without offsets/reductions)³		0.92	%		0.96	%		0.94	%¹¹		0.92	%¹²		0.94	%
Ratio of net investment income to average net assets¹		0.99	%		1.54	%		1.64	%¹¹		1.81	%¹²		2.64	%
Portfolio turnover		21	%		11	%		29	%		21	%		453	%
Net assets at end of year (000’s omitted)	$	192,039		$	174,138		$	136,915		$	185,898		$	178,087

AMG Managers Short Duration Government Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
	2015			2014			2013			2012			2011
Net Asset Value, Beginning of Year	$	9.65		$	9.64		$	9.65		$	9.57		$	9.58
Income from Investment Operations:
Net investment income¹		0.02	²		0.05	²		0.03	²		0.08	²		0.09
Net realized and unrealized gain (loss) on investments		(0.03	)		0.01			(0.01	)		0.08			(0.01	)
Total income (loss) from investment operations		(0.01	)		0.06			0.02			0.16			0.08
Less Distributions to Shareholders from:
Net investment income		(0.02	)		(0.05	)		(0.03	)		(0.08	)		(0.09	)
Net Asset Value, End of Year	$	9.62		$	9.65		$	9.64		$	9.65		$	9.57
Total Return¹		(0.15	)%		0.60	%		0.20	%		1.64	%		0.80	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.79	%		0.80	%		0.79	%¹³		0.81	%¹⁴		0.82	%
Ratio of expenses to average net assets (with offsets)		0.79	%		0.80	%		0.79	%¹³		0.81	%¹⁴		0.82	%
Ratio of total expenses to average net assets (without offsets/reductions)³		0.79	%		0.80	%		0.79	%¹³		0.81	%¹⁴		0.82	%
Ratio of net investment income to average net assets¹		0.25	%		0.47	%		0.27	%¹³		0.80	%¹⁴		0.89	%
Portfolio turnover		51	%		41	%		48	%		49	%		141	%
Net assets at end of year (000’s omitted)	$	395,306		$	385,246		$	422,488		$	466,415		$	393,014

Notes to Financial Highlights

*	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 $0.09, $0.11, and $0.13 for AMG Chicago Equity Partners Balanced Fund’s Investor Class, Service Class, and Institutional Class shares, respectively and net investment income (loss) per share would have been $(0.09), $0.09, and $0.10 for AMG Chicago Equity Partners Small Cap Value Fund’s Investor Class, Service Class, and Institutional Class share, respectively.

Notes to Financial Statements

December 31, 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: AMG Chicago Equity Partners Small Cap Value Fund (“Small Cap Value”) and 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”), 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 year ended December 31, 2015, High Yield had redemption fees amounting to $4,518.

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 offer 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.

a. VALUATION OF INVESTMENTS

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

Fixed income securities purchased with a remaining maturity exceeding 60 days are valued at the evaluated bid price or the mean price provided by an authorized pricing service or, if an evaluated price is not available, by reference to other securities which are considered comparable in credit rating, interest rate, due date and other features (generally referred to as “matrix pricing”) or other similar pricing methodologies. 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.

Futures contracts for which market quotations are readily available are valued at the settlement price as of the close of the futures exchange.

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

The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that

Notes to Financial Statements (continued)

would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Fund, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.

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)

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)

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 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 year ended December 31, 2015, the amount by which the Fund’s expenses were reduced and the impact on the expense ratios, if any, were as follows: Balanced—$13,795 or 0.01%, and Small Cap Value—$3,877 or 0.03%.

Overdraft fees are computed at 1% above the effective Federal Funds rate on the day of the overdraft. For the year ended December 31, 2015, the Funds did not incur overdraft fees.

Notes to Financial Statements (continued)

d. DIVIDENDS AND DISTRIBUTIONS

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 to write-off of interest on certain defaulted bonds, and the treatment of certain sales or exchanges in corporate inversion transactions. Temporary differences are due to differing treatments for losses deferred due to tax regulations, wash sales, futures and tax straddles.

The tax character of distributions paid during the years ended December 31, 2015 and December 31, 2014 were as follows:


					Small Cap
	Balanced				Value		High Yield				Intermediate Duration				Short Duration
	2015		2014		2015		2015		2014		2015		2014		2015		2014
Distributions paid from:
Ordinary income	$	891,722	$	431,943	$	101,539	$	1,885,260	$	1,943,338	$	1,715,923	$	2,186,725	$	613,266	$	1,950,075
Short-term capital gains		428,523		1,411,082		—		—		—		2,802,915		3,286,678		—		—
Long-term capital gains		3,554,115		4,045,842		—		—		—		177,508		180,861		—		—

Total	$	4,874,360	$	5,888,867	$	101,539	$	1,885,260	$	1,943,338	$	4,696,346	$	5,654,264	$	613,266	$	1,950,075

As of December 31, 2015, the components of distributable earnings (excluding unrealized appreciation/depreciation) on a tax basis consisted of:


	Balanced			Small Cap Value			High Yield			Intermediate Duration		Short Duration
Capital loss carryforward		—		$	418,019		$	1,914,719			—	$	2,561,397
Undistributed ordinary income		—			—			24,681		$	165,617		324,504
Undistributed short-term capital gains		—			—			—			3,504		—
Undistributed long-term capital gains		—			—			—			—		—
Late-year loss deferral	$	(588,729	)		(579,824	)		(163,016	)		—		—

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, 2015 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, Management is 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 December 31, 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.

Notes to Financial Statements (continued)


	Capital Loss
	Carryover Amounts
Fund	Short-Term Long- Term				Expires December 31,
Small Cap Value
(Post-Enactment)	$	418,019		—		Unlimited
High Yield
(Pre-Enactment)	$	1,914,719		—		2017
Short Duration
(Pre-Enactment)	$	585,044		—		2017
(Post-Enactment)	$	360,270	$	1,616,083		Unlimited

Balanced and Intermediate Duration had no accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes. Should Balanced and Intermediate Duration incur net capital losses for the year ended December 31, 2016, such amounts may be used to offset future realized capital gains, for an unlimited time period.

For the year ended December 31, 2015, the following Funds utilized capital loss carryovers in the amount of:


	Capital Loss Carryover Utilized
Fund	Short-Term		Long-Term
Balanced		—		—
Small Cap Value		—		—
High Yield	$	190,503		—
Intermediate Duration		—		—
Short Duration		—		—

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.

For the years ended December 31, 2015 and 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		4,917,700		$	75,876,816			1,202,988		$	19,138,905			1,181,275		$	12,083,124
Reinvestment of distributions		169,057			2,540,619			208,257			3,173,093			—			—
Cost of shares repurchased		(1,519,741	)		(23,301,123	)		(836,466	)		(13,186,170	)		(1,179,544	)		(12,193,236	)

Net increase (decrease)		3,567,016		$	55,116,312			574,779		$	9,125,828			1,731		$	(110,112	)

Service Class:
Proceeds from sale of shares		3,649,007		$	56,053,664			1,334,849		$	20,991,730			1,308,993		$	13,485,730
Reinvestment of distributions		32,172			487,073			9,184			142,301			9,228			87,485
Cost of shares repurchased		(592,922	)		(9,069,021	)		(496,623	)		(8,023,723	)		(132,551	)		(1,308,615	)

Net increase		3,088,257		$	47,471,716			847,410		$	13,110,308			1,185,670		$	12,264,600

Institutional Class:
Proceeds from sale of shares		113,841		$	1,780,500			131,007		$	2,098,590			185,788		$	1,891,574
Reinvestment of distributions		5,616			86,077			75,120			1,155,376			1,481			14,055
Cost of shares repurchased		(820,603	)		(12,951,242	)		(120,406	)		(1,935,947	)		(15,192	)		(153,098	)

Net increase (decrease)		(701,146	)	$	(11,084,665	)		85,721		$	1,318,019			172,077		$	1,752,531

Notes to Financial Statements (continued)


	High Yield
	2015						2014
	Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares		458,232		$	3,548,190			1,152,505		$	9,370,757
Reinvestment of distributions		201,329			1,540,515			195,308			1,581,726
Cost of shares repurchased		(1,264,058	)		(9,754,397	)		(841,406	)		(6,824,466	)

Net increase (decrease)		(604,497	)	$	(4,665,692	)		506,407		$	4,128,017

Institutional Class:
Proceeds from sale of shares		64,450		$	499,391			109,032		$	896,735
Reinvestment of distributions		20,559			159,183			18,929			154,888
Cost of shares repurchased		(140,790	)		(1,085,651	)		(70,641	)		(581,343	)

Net increase (decrease)		(55,781	)	$	(427,077	)		57,320		$	470,280

*	Commencement of operations was on January 2, 2015, and included an initial subscription from the Investment Manager.

At December 31, 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—two collectively own 39%; Intermediate Duration – two collectively own 49%; Short Duration three collectively own 83%. Transactions by these shareholders may have a material impact on their respective Funds.

h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS

At December 31, 2015, the market value of repurchase agreements or joint repurchase agreements outstanding for Balanced, Small Cap Value, High Yield,

Intermediate Duration and Short Duration was $2,205,649, $438,158, $1,652,196, $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

Notes to Financial Statements (continued)

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 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 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.


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.

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.

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 year ended December 31, 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		256,154		$	100,095
Expired Reimbursements		(126,271	)		—

Reimbursement Available—12/31/15	$	615,822		$	100,095


	High Yield			Intermediate Duration
Reimbursement Available—12/31/14	$	545,202		$	183,362
Additional Reimbursements		185,686			58,801
Expired Reimbursements		(168,498	)		(45,094	)

Reimbursement Available—12/31/15	$	562,390		$	197,069

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


Expiry Date	Balanced		Small Cap Value
Less than 1 year	$	181,501		—
Within 2 years		178,167		—
Within 3 years		256,154	$	100,095

Total Amount Subject to Reimbursement	$	615,822	$	100,095


Expiry Date	High Yield		Intermediate Duration
Less than 1 year	$	179,573	$	46,830
Within 2 years		197,131		91,438
Within 3 years		185,686		58,801

Total Amount Subject to Reimbursement	$	562,390	$	197,069

The Investment Manager has agreed to waive a portion of its management fee in consideration of shareholder servicing fees that it has received from

Notes to Financial Statements (continued)

JPMorgan Distribution Services, Inc., with respect to short-term cash investments each Fund may have made in the JPMorgan Money Market Funds. For the year ended December 31, 2015, the management fee for Intermediate Duration was reduced by $13,520.

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 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 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 impact on the annualized expense ratios for the year ended December 31, 2015, was as follows:


	Maximum			Actual
Fund	Amount Allowed			Amount Incurred
Balanced-Service Class		0.100	%		0.100	%
Small Cap Value-Service Class		0.150	%		0.110	%
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. For the year ended December 31, 2015, the following Funds either borrowed or lent to other Funds in the AMG Funds family: Balanced lent $1,186,568 for one day earning interest of $23, Intermediate Duration lent varying amounts not exceeding $3,005,600 for two days earning interest of $105 and Short Duration lent $1,640,771 for one day earning interest of $29. The interest amount is included in the Statement of Operations as interest income. Balanced borrowed varying amounts not exceeding $4,386,070, for 15 days paying interest of $417. The interest amount is included in the Statement of Operations as miscellaneous expense. At December 31, 2015, the Funds had no interfund loans outstanding.

Notes to Financial Statements (continued)

3. PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities (excluding short-term securities) for the year ended December 31, 2015, were as follows:


	Long-Term Securities
	(excluding U.S. Government
	Obligations)
Fund	Purchases		Sales
Balanced	$	129,462,336	$	72,480,568
Small Cap Value		29,036,437		15,158,228
High Yield		14,144,113		18,471,999
Intermediate Duration		37,286,401		17,052,876
Short Duration		64,954,905		72,530,426

	U.S. Government Obligations
Fund	Purchases		Sales
Balanced	$	59,323,958	$	28,107,373
Small Cap Value		—		—
High Yield		—		—
Intermediate Duration		68,381,118		30,065,694
Short Duration		121,084,534		98,402,312

4. PORTFOLIO SECURITIES LOANED

At December 31, 2015, the value of the securities loaned and cash collateral received, were as follows:


	Securities		Cash Collateral
Fund	Loaned		Received
Balanced	$	2,123,769	$	2,205,649
Small Cap Value		419,919		438,158
High Yield		1,580,119		1,652,196

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 year ended December 31, 2015, the average quarterly balances of derivative financial instruments outstanding were as follows:


	Intermediate		Short
	Duration		Duration
Financial futures contracts:
Average number of contracts purchased		7		16
Average number of contracts sold		63		547
Average notional value of contracts purchased	$	980,466	$	1,867,384
Average notional value of contracts sold	$	6,879,500	$	65,794,132

Notes to Financial Statements (continued)

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.

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.

Notes to Financial Statements (continued)

The following table is a summary of the Funds’ open repurchase agreements that are subject to a master netting agreement as of December 31, 2015:


			Gross Amount Not Offset in the
			Statement of Assets and Liabilities
	Net Amounts of Assets		Financial
	Presented in the Statement of		Instruments		Cash Collateral
Fund	Assets and Liabilities		Collateral		Received		Net Amount
Balanced
Cantor Fitzgerald Securities, Inc.	$	1,000,000	$	1,000,000		—		—
Daiwa Capital Markets America		1,000,000		1,000,000
Nomura Securities International, Inc.		205,649		205,649		—		—

Total	$	2,205,649	$	2,205,649		—		—

Small Cap Value
HSBC Securities USA, Inc.	$	65,724	$	65,724		—		—
RBC Capital Markets LLC		372,434		372,434		—		—

Total	$	438,158	$	438,158		—		—

High Yield
Cantor Fitzgerald Securities, Inc.	$	1,000,000	$	1,000,000		—		—
Daiwa Capital Markets America		652,196		652,196		—		—

Total	$	1,652,196	$	1,652,196		—		—

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.

TAX INFORMATION (unaudited)

The 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 and AMG Managers Short Duration Government Fund each hereby designates the maximum amount allowable of its net taxable income as qualified dividends as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003. The 2015 Form 1099-DIV you receive for each Fund will show the tax status of all distributions paid to you during the year.

Pursuant to section 852 of the Internal Revenue Code, 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 and AMG Managers Short Duration Government Fund each hereby designates $3,554,115, $0, $0, $177,508 and $0, respectively, as a capital gain distribution with respect to the taxable year ended December 31, 2015, or if subsequently determined to be different, the net capital gains of such fiscal year.

Report of Independent Registered Public Accounting Firm

TO THE BOARDS OF TRUSTEES OF AMG FUNDS AND AMG FUNDS II AND THE SHAREHOLDERS OF 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 AND AMG MANAGERS SHORT DURATION GOVERNMENT FUND:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 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, and AMG Managers Short Duration Government Fund (the “Funds”) at December 31, 2015, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, brokers, and transfer agent, and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 29, 2016

AMG Funds

Trustees and Officers

There is no stated term of office for Trustees. Trustees serve until their resignation, retirement or removal in accordance with the Trust’s

Independent Trustees

The following Trustees are not “interested persons” of the Trust within the meaning of the 1940 Act:


Number of Funds
Overseen in Fund Complex		Name, Age, Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee
• Trustee since 2012		Bruce B. Bingham, 67
• Oversees 72 Funds in Fund Complex		Partner, Hamilton Partners (real estate development firm) (1987-Present); Trustee of Aston Funds (27 portfolios) (2014-Present); Director of The Yacktman Funds (2000-2012).

• Independent Chairman		William E. Chapman, II, 74
• Trustee since 1999 - AMG Funds • Trustee since 2000 - AMG Funds II • Oversees 72 Funds in Fund Complex		President and Owner, Longboat Retirement Planning Solutions (1998-Present); Hewitt Associates, LLC (part time) (provider of Retirement and Investment Education Seminars) (2002-2009); Trustee Emeritus of Bowdoin College (2013-Present); Trustee of Bowdoin College (2002-2013); Director of Harding, Loevner Funds, Inc. (6 portfolios); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio); Trustee of Aston Funds (27 portfolios) (2010-Present).

• Trustee since 1999 - AMG Funds		Edward J. Kaier, 70 Attorney at Law and Partner, Teeters Harvey Marrone & Kaier LLP (2007-Present); Attorney at Law and Partner, Hepburn Willcox Hamilton & Putnam, LLP (1977-2007); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio); Trustee of Aston Funds (27 portfolios) (2010-Present).
• Trustee since 2000 - AMG Funds II • Oversees 72 Funds in Fund Complex

• Trustee since 2013		Kurt A. Keilhacker, 52
• Oversees 74 Funds in Fund Complex		Managing Member, TechFund Capital (1997-Present); Managing Member, TechFund Europe (2000-Present); Board Member, 6wind SA, (2002-Present); Managing Member, Elementum Ventures (2013-Present); Trustee of Aston Funds (27 portfolios) (2014-Present); Trustee, Gordon College (2001-2016).

• Trustee since 2004 - AMG Funds		Steven J. Paggioli, 65 Independent Consultant (2002-Present); Formerly Executive Vice President and Director, The Wadsworth Group (1986-2001); Executive Vice President, Secretary and Director, Investment Company Administration, LLC (1990-2001); Vice President, Secretary and Director, First Fund Distributors, Inc. (1991-2001); Trustee, Professionally Managed Portfolios (32 portfolios); Advisory Board Member, Sustainable Growth Advisors, LP; Independent Director, Chase Investment Counsel (2008 – Present); Trustee of Aston Funds (27 portfolios) (2010-Present).
• Trustee since 2000 - AMG Funds II • Oversees 72 Funds in Fund Complex

• Trustee since 2013		Richard F. Powers III, 70
• Oversees 72 Funds in Fund Complex		Adjunct Professor, Boston College (2010-2013); Trustee of Aston Funds (27 portfolios) (2014-Present); President and CEO of Van Kampen Investments Inc. (1998-2003).

• Trustee since 1999 - AMG Funds		Eric Rakowski, 57 Professor, University of California at Berkeley School of Law (1990-Present); Director of Harding, Loevner Funds, Inc. (6 portfolios); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio); Trustee of Aston Funds (27 portfolios) (2010-Present).
• Trustee since 2000 - AMG Funds II • Oversees 74 Funds in Fund Complex

• Trustee since 2013		Victoria L. Sassine, 50
• Oversees 74 Funds in Fund Complex		Lecturer, Babson College (2007 – Present); Trustee of Aston Funds (27 portfolios) (2014-Present).

• Trustee since 2004 - AMG Funds • Trustee since 2000 - AMG Funds II • Oversees 72 Funds in Fund Complex		Thomas R. Schneeweis, 68 Professor Emeritus, University of Massachusetts (2013—Present); Partner, S Capital Wealth Advisors (2015-Present); President, TRS Associates (1982-Present); Board Member, Chartered Alternative Investment Association (“CAIA”) (2002-Present); Director, CAIA Foundation (Education), (2010-Present); Director, Institute for Global Asset and Risk Management (Education) (2010-Present); Partner, S Capital Management, LLC (2007-2015); Director CISDM at the University of Massachusetts, (1996-2013); President, Alternative Investment Analytics, LLC, (formerly Schneeweis Partners, LLC) (2001-2013); Professor of Finance, University of Massachusetts (1977-2013); Trustee of Aston Funds (27 portfolios) (2010-Present).

AMG Funds

Trustees and Officers (continued)

Interested Trustees


Number of Funds
Overseen in Fund Complex		Name, Age, Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee
• Trustee since 2011		Christine C. Carsman, 63
• Oversees 74 Funds in Fund Complex		Senior Vice President and Deputy General Counsel, Affiliated Managers Group, Inc. (2011-Present); Trustee of Aston Funds (27 portfolios) (2014-Present); Senior Vice President and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2007-2011); Vice President and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2004-2007); Secretary and Chief Legal Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2004-2011); Senior Counsel, Vice President and Director of Operational Risk Management and Compliance, Wellington Management Company, LLP (1995-2004).

Officers

Position(s) Held with Fund and Length of Time Served		Name, Age, Principal Occupation(s) During Past 5 Years
• President since 2014		Jeffrey T. Cerutti, 48
• Principal Executive Officer since 2014		Chief Executive Officer, AMG Funds LLC (2014-Present); Director, President and Principal, AMG Distributors, Inc. (2014-Present); Chief Executive Officer and President, Aston Funds (2015-Present); President, VP Distributors, (2011-2014); Executive Vice President, Head of Distribution, Virtus Investment Partners, Inc. (2010-2014); Managing Director, Head of Sales, UBS Global Asset Management (2001-2010).

• Chief Operating Officer		Keitha L. Kinne, 57
since 2007		Chief Operating Officer, AMG Funds LLC (2007-Present); Chief Investment Officer, AMG Funds LLC (2008-Present); Chief Operating Officer, AMG Distributors, Inc. (2007-Present); Managing Partner, AMG Funds LLC (2007-2014); President, AMG Funds (2012-2014); President, AMG Distributors, Inc. (2012-2014); Managing Director, Legg Mason & Co., LLC (2006-2007); Managing Director, Citigroup Asset Management (2004-2006).

• Secretary since 2015		Mark J. Duggan, 51
• Chief Legal Officer since 2015		Senior Vice President and Senior Counsel, AMG Funds LLC (2015-Present); Secretary and Chief Legal Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2015-Present); Attorney, K&L Gates, LLP (2009-2015).

• Chief Financial		Donald S. Rumery, 57
Officer since 2007 • Treasurer since 1999 • Principal Financial Officer since 2008		Senior Vice President, Director of Mutual Funds Services, AMG Funds LLC (2005-Present); Treasurer, AMG Funds III (1995-Present); Treasurer, AMG Funds (1999-Present); Treasurer, AMG Funds I and AMG Funds II (2000-Present); Chief Financial Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2007-Present); Treasurer and Chief Financial Officer, AMG Distributors, Inc. (2000-2012); Vice President, AMG Funds LLC, (1994-2004).

• Assistant Treasurer		John C. Ball, 40
since 2014		Vice President, Assistant Treasurer, AMG Funds LLC (2014-Present); Vice President, State Street Corp. (2010-2014); Vice President, State Street International (Ireland) Limited (2007-2010).

• Chief Compliance Officer		John J. Ferencz, 53
since 2010		Vice President, Chief Compliance Officer—AMG Family of Funds, AMG Funds LLC (2010-Present); Code of Ethics Reporting Officer and Sarbanes Oxley Code of Ethics Compliance Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2010-Present); Senior Compliance Analyst, Mutual Funds and Regulatory, GE Asset Management Incorporated (2005-2010).

• Anti-Money Laundering		Patrick J. Spellman, 41
Compliance Officer since 2014		Senior Vice President, Chief Compliance Officer, AMG Funds LLC (2011-Present); Chief Compliance Officer, AMG Distributors, Inc., (2010-Present); Compliance Manager, Legal and Compliance, Affiliated Managers Group, Inc. (2005-2011).

LOGO

INVESTMENT MANAGER AND ADMINISTRATOR

AMG Funds LLC

600 Steamboat Road, Suite 300

Greenwich, CT 06830

(800) 835-3879

DISTRIBUTOR

AMG Distributors, Inc.

600 Steamboat Road, Suite 300

Greenwich, CT 06830

(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^TMONLY

AMG Funds

c/o BNY Mellon Investment Servicing (US) Inc.

P.O. Box 9847

Providence, Rhode Island 02940-8047

(800) 358-7668

Current net asset values per share for each Fund are available on the Funds’ website at www.amgfunds.com.


www.amgfunds.com

LOGO

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

AMG Yacktman Focused

AMG Yacktman Special Opportunities

Yacktman Asset Management LP

FIXED INCOME FUNDS

AMG GW&K Core Bond

AMG GW&K Enhanced Core 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

AMG Managers Brandywine Advisors Mid Cap Growth

AMG Managers Brandywine Blue

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

Registrant has adopted a Code of Ethics. See attached Exhibit (a)(1).

Item 3. AUDIT COMMITTEE FINANCIAL EXPERT

Registrant’s Board of Trustees has determined that independent Trustee Mr. Steven J. Paggioli qualifies as an Audit Committee Financial Expert. Mr. Paggioli is “independent” as such term is defined in Form N-CSR.

Item 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

(a) Audit Fees

The aggregate fees billed by the Funds’ independent registered public accounting firm, PricewaterhouseCoopers LLP (“PwC”), to the Funds for the Funds’ two most recent fiscal years for professional services rendered for audits of annual financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements (“Audit Fees”) were as follows:


Fund - AMG FUNDS II	Fiscal 2015		Fiscal 2014
AMG GW&K Enhanced Core Bond Fund	$	41,633	$	41,097
AMG Chicago Equity Partners Balanced Fund	$	32,237	$	26,100
AMG Managers High Yield Fund	$	46,662	$	50,909
AMG Managers Short Duration Government Fund	$	45,939	$	44,896
AMG Managers Intermediate Duration Government Fund	$	42,072	$	52,186

(b) Audit-Related Fees

There were no fees billed by PwC to the Funds in its two recent fiscal years for services rendered for assurance and related services that are reasonably related to the performance of the audit or review of the Fund’s financial statements, but are not reported as Audit Fees (“Audit-Related Fees”).

For the Funds’ two most recent fiscal years, there were no Audit-Related Fees billed by PwC for engagements related directly to the operations and financial reporting of one or more Funds by a Fund Service Provider. A Fund Service Provider is (a) any investment adviser to the Fund (not including any Subadvisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) or (b) any entity that provides ongoing services to the Fund and is controlling, controlled by or under common control with a Fund investment adviser described in (a).

The aggregate fees billed by PwC to the Funds for the two most recent fiscal years for professional services rendered for tax compliance, tax advice, and tax planning (“Tax Fees”) were as follows:


Fund - AMG FUNDS II	Fiscal 2015		Fiscal 2014
AMG GW&K Enhanced Core Bond Fund	$	9,240	$	8,830
AMG Chicago Equity Partners Balanced Fund	$	7,225	$	6,885
AMG Managers High Yield Fund	$	9,240	$	8,830
AMG Managers Short Duration Government Fund	$	9,960	$	9,530
AMG Managers Intermediate Duration Government Fund	$	9,960	$	9,530

For the Funds’ two most recent fiscal years, Tax Fees billed by PwC for engagements by Fund Service Providers that related directly to the operations and financial reporting of the Funds were $0 for fiscal 2014 and $0 for fiscal 2013, respectively.

The services for which Tax Fees were charged comprise all services performed by professional staff in PwC’s tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.

(d) All Other Fees

There were no other fees billed by PwC to the Funds for all other non-audit services (“Other Fees”) during the Funds’ two most recent fiscal years. During the same period, there were no Other Fees billed by PwC for engagements by Fund Service Providers that related directly to the operations and financial reporting of the Funds.

(e) (1) According to policies adopted by the Audit Committee, services provided by PwC to the Funds must be pre-approved by the Audit Committee. On an annual basis, the Audit Committee reviews and pre-approves various types of services that PwC may perform for the Funds without specific approval of each engagement, subject to specified budget limitations. As contemplated by the Sarbanes-Oxley Act of 2002 and related SEC rules, the Audit Committee also pre-approves non-audit services provided by PwC to any Fund Service Provider for any engagement that relates directly to the operations and financial reporting of the Funds. Any engagement that is not already pre-approved or that will exceed a pre-approved budget must be submitted to the Audit Committee for pre-approval. The Chairman of the Audit Committee is authorized on behalf of the Board of Trustees and the Audit Committee to approve the engagement of PwC to perform non-audit services subject to certain conditions, including notification to the Audit Committee of such pre-approval not later than the next meeting of the Audit Committee following the date of such pre-approval.

(e)(2) None.

(f) Not applicable.

(g) The aggregate fees billed by PwC in 2015 and 2014 for non-audit services rendered to the Funds and Fund Service Providers were $111,625 and $109,500, respectively. For the fiscal years ended December 31, 2015, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $0 in fees billed to the Fund Service Providers for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended December 31, 2014, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $0 in fees billed to the Fund Service Providers for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The Trust’s Audit Committee has considered whether the provision of non-audit services by registrant’s independent registered public accounting firm to the registrant’s investment advisor, and any entity controlling, controlled, or under common control with the investment advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

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 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 fourth fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to affect, the internal control over financial reporting.

Item 12. EXHIBITS



(a)(1)		Any Code of Ethics or amendments hereto. Filed herewith.

(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:		March 8, 2016

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:		March 8, 2016

By:		/s/ Donald S. Rumery
		Donald S. Rumery, Principal Financial Officer

Date:		March 8, 2016

AMG Funds II N-CSRCertified annual shareholder report (management investment company)