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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06431

AMG FUNDS II

(Exact name of registrant as specified in charter)

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, 2016 – JUNE 30, 2016

                                            (Semi-Annual Shareholder Report)

Item 1. Reports to Shareholders

         SEMI-ANNUAL REPORT

AMG Funds

June 30, 2016

AMG Chicago Equity Partners Balanced Fund

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

AMG Chicago Equity Partners Small Cap Value Fund

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

AMG Managers High Yield Fund

Investor Class: MHHAX     |     Institutional Class: MHHYX     |     

AMG Managers Intermediate Duration Government Fund: MGIDX

AMG Managers Short Duration Government Fund: MGSDX

www.amgfunds.com        | SAR009-0616

AMG Funds

Semi-Annual Report—June 30, 2016 (unaudited)

TABLE OF CONTENTS	PAGE
ABOUT YOUR FUND’S EXPENSES		2
FUND PERFORMANCE		3
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS
AMG Chicago Equity Partners Balanced Fund		5
AMG Chicago Equity Partners Small Cap Value Fund		15
AMG Managers High Yield Fund		19
AMG Managers Intermediate Duration Government Fund		32
AMG Managers Short Duration Government Fund		38
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS		45
FINANCIAL STATEMENTS
Statement of Assets and Liabilities		52
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts
Statement of Operations		55
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the period
Statements of Changes in Net Assets		56
Detail of changes in assets for the past two periods
Financial Highlights		58
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets
Notes to Financial Statements		65
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks
ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS		74

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

About Your Fund’s Expenses (unaudited)

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Six Months Ended June 30, 2016	Expense Ratio for the Period			Beginning Account Value 1/01/16		Ending Account Value 6/30/16		Expenses Paid During the Period*
AMG Chicago Equity Partners Balanced Fund
Investor Class
Based on Actual Fund Return		1.09	%	$	1,000	$	1,019	$	5.47
Hypothetical (5% return before expenses)		1.09	%	$	1,000	$	1,019	$	5.47
Service Class
Based on Actual Fund Return		0.94	%	$	1,000	$	1,020	$	4.72
Hypothetical (5% return before expenses)		0.94	%	$	1,000	$	1,020	$	4.72
Institutional Class
Based on Actual Fund Return		0.84	%	$	1,000	$	1,020	$	4.22
Hypothetical (5% return before expenses)		0.84	%	$	1,000	$	1,021	$	4.22
AMG Chicago Equity Partners Small Cap Value Fund
Investor Class
Based on Actual Fund Return		1.34	%	$	1,000	$	1,043	$	6.81
Hypothetical (5% return before expenses)		1.34	%	$	1,000	$	1,018	$	6.72
Service Class
Based on Actual Fund Return		1.08	%	$	1,000	$	1,043	$	5.49
Hypothetical (5% return before expenses)		1.08	%	$	1,000	$	1,019	$	5.42
Institutional Class
Based on Actual Fund Return		0.95	%	$	1,000	$	1,044	$	4.83
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.77
AMG Managers High Yield Fund
Investor Class
Based on Actual Fund Return		1.15	%	$	1,000	$	1,077	$	5.94
Hypothetical (5% return before expenses)		1.15	%	$	1,000	$	1,019	$	5.77
Institutional Class
Based on Actual Fund Return		0.90	%	$	1,000	$	1,078	$	4.65
Hypothetical (5% return before expenses)		0.90	%	$	1,000	$	1,020	$	4.52
AMG Managers Intermediate Duration Government Fund
Based on Actual Fund Return		0.89	%	$	1,000	$	1,027	$	4.49
Hypothetical (5% return before expenses)		0.89	%	$	1,000	$	1,020	$	4.47
AMG Managers Short Duration Government Fund
Based on Actual Fund Return		0.80	%	$	1,000	$	1,006	$	3.99
Hypothetical (5% return before expenses)		0.80	%	$	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 (182), then divided by 366.

2

Fund Performance (unaudited)

Periods ended June 30, 2016

The table below shows the average annual total returns for the periods indicated for each Fund, as well as each Fund’s relative index for the same time periods ended June 30, 2016.

Average Annual Total Returns1	Six Months*			One Year			Five Years			Ten Years			Since Inception			Inception Date
AMG Chicago Equity Partners Balanced Fund2,3,4,5,6,7
Investor Class		1.90	%		1.24	%		7.92	%		6.99	%		7.75	%		01/02/97
Service Class		2.03	%		1.41	%		—			—			8.58	%		11/30/12
Institutional Class		2.01	%		1.44	%		8.19	%		7.27	%		8.14	%		01/02/97
60% Russell 1000® Index8/40%
Barclays U.S. Aggregate Bond Index9		4.57	%		4.59	%		8.96	%		7.20	%		7.41	%		01/02/97	†
Barclays U.S. Aggregate Bond Index9		5.31	%		6.00	%		3.76	%		5.13	%		5.59	%		01/02/97	†
Russell 1000® Index8		3.74	%		2.93	%		11.88	%		7.51	%		7.68	%		01/02/97	†
AMG Chicago Equity Partners Small Cap Value Fund2,6,10,11,12
Investor Class		4.26	%		(2.20	)%		—			—			(1.41	)%		12/31/14
Service Class		4.28	%		(2.03	)%		—			—			(1.17	)%		12/31/14
Institutional Class		4.39	%		(1.94	)%		—			—			(1.04	)%		12/31/14
Russell 2000® Value Index13		6.08	%		(2.58	)%		8.15	%		5.15	%		(1.24	)%		12/31/14	†
AMG Managers High Yield Fund2,7,11,14,15,16
Investor Class		7.74	%		0.45	%		5.14	%		6.13	%		6.20	%		01/02/98
Institutional Class		7.83	%		0.63	%		5.38	%		6.42	%		6.33	%		03/02/98
Barclays U.S. Corporate High Yield Index18		9.06	%		1.62	%		5.84	%		7.56	%		6.50	%		12/31/97
AMG Managers Intermediate Duration Government Fund2,7,14,17,19,20		2.71	%		3.45	%		3.00	%		4.94	%		5.82	%		03/31/92
Barclays U.S. Aggregate Bond Index9		5.31	%		6.00	%		3.76	%		5.13	%		5.98	%		03/31/92	†
Citigroup Mortgage Index21		3.06	%		4.29	%		3.00	%		4.99	%		5.82	%		03/31/92	†
AMG Managers Short Duration Government Fund2,3,7,17,19,20		0.55	%		(0.02	)%		0.59	%		1.78	%		3.48	%		03/31/92
BofA Merrill Lynch 6-Month U.S. Treasury Bill Index22		0.41	%		0.52	%		0.24	%		1.40	%		3.03	%		03/31/92	†

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

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

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

* Not annualized.

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

¹  Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Funds are net of expenses and based on the published NAV as of June 30, 2016. All returns are in U.S. dollars ($).

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

³  Changing interest rates may adversely affect the value of an investment. An increase in interest rates typically causes the value of bonds and other fixed income securities to fall. The Fund is subject to the risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtor’s ability to pay its creditors.

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 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 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.

¹⁰  The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings history and a reliance on one or a limited number of products. The stocks of small capitalization companies may experience greater price volatility than those of larger, more established companies.

3

Fund Performance (continued)

¹¹  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.

¹² 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.

¹³ 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.

¹⁴ 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.

¹⁵ 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.

¹⁶ A short-term redemption fee of 2% will be charged on shares held for less than 90 days.

¹⁷ 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.

¹⁸ The Barclays U.S. Corporate High Yield 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 Index is unmanaged, is not available for investment, and does not incur expenses.

¹⁹ 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.

²⁰ 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.

²¹ 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.

²² The BofA Merrill Lynch 6-Month U.S. Treasury Bill Index is an unmanaged index that measures returns of 6-month Treasury Bills. Unlike the Fund, the BofA Merrill Lynch 6-Month Treasury Bill Index is unmanaged, is not available for investment, and does not incur expenses.

The Russell 1000^® Index and Russell 2000^® Value Index are registered trademarks of the London Stock Exchange Group companies.

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

4

AMG Chicago Equity Partners Balanced Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

Sector	AMG Chicago Equity Partners Balanced Fund*
U.S. Government and Agency Obligations		40.8	%
Financials		12.0	%
Information Technology		8.9	%
Industrials		8.6	%
Health Care		7.8	%
Consumer Discretionary		6.6	%
Consumer Staples		4.3	%
Energy		4.2	%
Utilities		3.5	%
Telecommunication Services		1.2	%
Materials		1.2	%
Other Assets and Liabilities		0.9	%

* As a percentage of net assets.

TOP TEN HOLDINGS

Security Name	% of Net Assets
U.S. Treasury Bonds, 2.750%, 08/15/42**		3.1	%
U.S. Treasury Notes, 2.25%, 11/15/24**		2.7	%
U.S. Treasury Notes, 2.500%, 05/15/24**		2.6	%
U.S. Treasury Notes, 1.500%, 01/31/22		2.6	%
FHLMC Gold Pool, 3.500%, 01/01/46		1.6	%
U.S. Treasury Notes, 1.875%, 11/30/21		1.6	%
U.S. Treasury Notes, 1.500%, 02/28/19		1.6	%
Exxon Mobil Corp.		1.3	%
FHLMC Gold Pool, 4.000%, 06/01/45		1.3	%
U.S. Treasury Notes, 0.875%, 07/15/18		1.3	%
Top Ten as a Group		19.7	%

** Top Ten Holdings as of December 31, 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.

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

5

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Shares		Value
Common Stocks - 54.0%
Consumer Discretionary - 6.6%
Abercrombie & Fitch Co., Class A		260	$	4,631
Amazon.com, Inc.*		1,690		1,209,398
AMC Entertainment Holdings, Inc., Class A		160		4,418
American Axle & Manufacturing Holdings, Inc.*		1,510		21,865
American Eagle Outfitters, Inc.1		2,300		36,639
Asbury Automotive Group, Inc.*		570		30,062
Bassett Furniture Industries, Inc.		40		958
Big Lots, Inc.1		6,540		327,719
Bloomin’ Brands, Inc.		790		14,117
Boyd Gaming Corp.*		2,025		37,260
Callaway Golf Co.		730		7,453
The Cato Corp., Class A		180		6,790
CBS Corp., Class B		3,130		170,397
The Children’s Place, Inc.		185		14,833
Columbia Sportswear Co.		280		16,111
Comcast Corp., Class A		4,810		313,564
Cooper-Standard Holding, Inc.*		80		6,319
Core-Mark Holding Co., Inc.		520		24,367
Cracker Barrel Old Country Store, Inc.1		160		27,435
Culp, Inc.		220		6,079
Darden Restaurants, Inc.		10,530		666,970
Dave & Buster’s Entertainment, Inc.*		800		37,432
DreamWorks Animation SKG, Inc., Class A*		210		8,583
Entercom Communications Corp., Class A		180		2,443
Ethan Allen Interiors, Inc.1		360		11,894
Express, Inc.*		750		10,882
Extended Stay America, Inc.1		10,120		151,294
Genuine Parts Co.		2,340		236,925
Hasbro, Inc.		2,220		186,458
The Home Depot, Inc.		3,900		497,991
The Interpublic Group of Cos., Inc.		15,280		352,968
Intrawest Resorts Holdings, Inc.*,1		1,250		16,225
Johnson Outdoors, Inc., Class A		170		4,369
Liberty TripAdvisor Holdings, Inc., Class A*		390		8,533
LifeLock, Inc.*,1		1,235		19,525
Lowe’s Cos., Inc.		1,400		110,838
Marriott International, Inc., Class A1		7,810		519,053
Marriott Vacations Worldwide Corp.		200		13,698
Mattel, Inc.1		3,760		117,650
McDonald’s Corp.		1,700		204,578
Michael Kors Holdings, Ltd.*		1,390		68,777
NIKE, Inc., Class B		6,430		354,936
Nordstrom, Inc.1		11,300		429,965
Omnicom Group, Inc.		3,940		321,071

	Shares		Value
O’Reilly Automotive, Inc.*		1,480	$	401,228
Outerwall, Inc.		660		27,720
Perry Ellis International, Inc.*		640		12,877
PetMed Express, Inc.		595		11,162
Pool Corp.		700		65,821
Ross Stores, Inc.		1,290		73,130
Scholastic Corp.		130		5,149
ServiceMaster Global Holdings, Inc.*		5,160		205,368
Sinclair Broadcast Group, Inc., Class A		360		10,750
Sirius XM Holdings, Inc.*,1		18,730		73,984
Smith & Wesson Holding Corp.*,1		1,420		38,596
Sonic Automotive, Inc., Class A		910		15,570
Sonic Corp.1		370		10,008
Starbucks Corp.		6,680		381,562
Target Corp.		15,115		1,055,329
Tenneco, Inc.*		1,150		53,602
Texas Roadhouse, Inc.		200		9,120
Tile Shop Holdings, Inc.*,1		1,400		27,832
Tower International, Inc.		520		10,702
Tupperware Brands Corp.		13,490		759,217
Twenty-First Century Fox, Inc., Class A		5,030		136,062
Urban Outfitters, Inc.*		2,580		70,950
VF Corp.		11,990		737,265
Vista Outdoor, Inc.*		1,520		72,550
Visteon Corp.		2,030		133,594
The Walt Disney Co.		4,495		439,701
Weight Watchers International, Inc.*,1		460		5,350
West Marine, Inc.*		250		2,098
Whirlpool Corp.		1,360		226,630
Wolverine World Wide, Inc.		620		12,598
World Wrestling Entertainment, Inc., Class A1		2,260		41,607
Total Consumer Discretionary				11,760,605
Consumer Staples - 4.3%
Altria Group, Inc.		3,275		225,844
B&G Foods, Inc.		410		19,762
Brown-Forman Corp., Class B		740		73,822
Bunge, Ltd.		6,140		363,181
Central Garden and Pet Co., Class A*		270		5,862
The Coca-Cola Co.		2,590		117,405
ConAgra Foods, Inc.		18,640		891,178
Dean Foods Co.1		2,190		39,617
Dr. Pepper Snapple Group, Inc.		3,670		354,632
Fresh Del Monte Produce, Inc.		620		33,747
General Mills, Inc.		4,000		285,280
Ingredion, Inc.		960		124,234
Kimberly-Clark Corp.		790		108,609

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

6

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Consumer Staples - 4.3% (continued)
The Kroger Co.		3,260	$	119,935
Lancaster Colony Corp.		145		18,503
Medifast, Inc.		550		18,298
Mondelez International, Inc., Class A		9,790		445,543
National Beverage Corp.*		555		34,860
Natural Health Trends Corp.		860		24,243
PepsiCo, Inc.		8,390		888,837
Philip Morris International, Inc.		2,460		250,231
Pilgrim’s Pride Corp.1		2,105		53,635
The Procter & Gamble Co.		17,080		1,446,164
Reynolds American, Inc.		2,230		120,264
Sanderson Farms, Inc.1		50		4,332
Seneca Foods Corp., Class A*		280		10,139
SpartanNash Co.		290		8,868
Sysco Corp.		7,200		365,328
Tyson Foods, Inc., Class A		1,590		106,196
Universal Corp.		170		9,816
Walgreens Boots Alliance, Inc.		7,140		594,548
Wal-Mart Stores, Inc.		6,540		477,551
Weis Markets, Inc.		80		4,044
Total Consumer Staples				7,644,508
Energy - 4.2%
Apache Corp.		4,150		231,031
Cabot Oil & Gas Corp.		15,530		399,742
Chevron Corp.		14,695		1,540,477
Cimarex Energy Co.		2,770		330,516
ConocoPhillips		5,710		248,956
DHT Holdings, Inc.		1,110		5,583
EOG Resources, Inc.		1,960		163,503
EQT Corp.		1,590		123,114
Evolution Petroleum Corp.		1,740		9,518
Exxon Mobil Corp.		25,885		2,426,460
Jones Energy, Inc., Class A*,1		1,350		5,562
Matador Resources Co.*,1		545		10,791
Matrix Service Co.*		740		12,203
McDermott International, Inc.*		10,980		54,241
National Oilwell Varco, Inc.		6,570		221,080
Navios Maritime Acquisition Corp.		3,960		6,217
Noble Corp. PLC1		13,280		109,427
Nordic American Tankers, Ltd.		330		4,584
Oasis Petroleum, Inc.*		1,810		16,905
Occidental Petroleum Corp.		4,350		328,686
Oceaneering International, Inc.		4,450		132,877
Parsley Energy, Inc., Class A*		590		15,965
Renewable Energy Group, Inc.*		630		5,563

	Shares		Value
RSP Permian, Inc.*		380	$	13,258
Schlumberger, Ltd.		5,817		460,008
Ship Finance International, Ltd.1		1,605		23,658
Spectra Energy Corp.		4,740		173,626
Teekay Tankers, Ltd., Class A1		1,620		4,828
US Silica Holdings, Inc.		180		6,205
Valero Energy Corp.		6,930		353,430
Western Refining, Inc.		320		6,602
Total Energy				7,444,616
Financials - 11.1%
1st Source Corp.		310		10,041
Access National Corp.		190		3,707
Aflac, Inc.		8,420		607,587
The Allstate Corp.		7,920		554,004
Altisource Portfolio Solutions, S.A.*		960		26,726
American Capital Agency Corp.		9,210		182,542
American International Group, Inc.		8,910		471,250
Ameriprise Financial, Inc.		5,230		469,916
Annaly Capital Management, Inc.		8,650		95,756
Apollo Residential Mortgage, Inc.		680		9,112
Armada Hoffler Properties, Inc.		910		12,503
Ashford Hospitality Trust, Inc.		2,940		15,788
Aspen Insurance Holdings, Ltd.		8,420		390,520
Associated Banc-Corp.		36,750		630,262
Assurant, Inc.		1,010		87,173
Axis Capital Holdings, Ltd.		6,070		333,850
Banc of California, Inc.		180		3,258
Banco Latinoamericano de Comercio Exterior, S.A.		1,020		27,030
Bank of America Corp.		66,560		883,251
BBCN Bancorp, Inc.		1,320		19,694
Berkshire Hathaway, Inc., Class B*		4,150		600,878
Boston Properties, Inc.		5,450		718,855
Capitol Federal Financial, Inc.		810		11,300
Cash America International, Inc.		440		18,753
Cathay General Bancorp		1,290		36,378
CenterState Banks, Inc.		1,480		23,310
Charter Financial Corp		290		3,851
Chemical Financial Corp.1		170		6,339
CME Group, Inc.		1,205		117,367
Cohen & Steers, Inc.		1,120		45,293
Columbia Property Trust, Inc.		12,410		265,574
Comerica, Inc.		8,040		330,685
Commerce Bancshares, Inc.		6,378		305,506
CommunityOne Bancorp*		460		5,814
CoreSite Realty Corp.		590		52,327

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

7

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Financials - 11.1% (continued)
Corporate Office Properties Trust		8,390	$	248,092
Crown Castle International Corp.		880		89,258
CYS Investments, Inc.		1,260		10,546
DCT Industrial Trust, Inc.		460		22,098
DiamondRock Hospitality Co.		680		6,140
Digital Realty Trust, Inc.1		990		107,900
Discover Financial Services		5,270		282,419
DuPont Fabros Technology, Inc.		650		30,901
Eaton Vance Corp.		11,540		407,824
Education Realty Trust, Inc.		330		15,226
eHealth, Inc.*		840		11,777
Employers Holdings, Inc.		850		24,667
Enova International, Inc.*		3,565		26,238
Enterprise Financial Services Corp.		250		6,972
Equity Lifestyle Properties, Inc.		2,130		170,506
Equity Residential		7,860		541,397
Erie Indemnity Co.		720		71,525
Everest Re Group, Ltd.		1,005		183,583
Extra Space Storage, Inc.		2,210		204,513
EZCORP, Inc., Class A*		1,730		13,079
FactSet Research Systems, Inc.		280		45,198
Farmers Capital Bank Corp.		90		2,462
FCB Financial Holdings, Inc.*		280		9,520
Federal Agricultural Mortgage Corp., Class C		40		1,393
Fidelity & Guaranty Life1		280		6,490
Fifth Third Bancorp		10,840		190,676
First American Financial Corp.		1,105		44,443
First Bancorp		130		2,285
First Defiance Financial Corp.		155		6,022
First Financial Bancorp		450		8,752
First Financial Corp/IN		515		18,859
First Horizon National Corp.		16,850		232,193
First Industrial Realty Trust, Inc.		70		1,947
First NBC Bank Holding Co.*		350		5,876
First Niagara Financial Group, Inc.		14,250		138,795
FirstMerit Corp.		460		9,324
Fox Chase Bancorp, Inc.		230		4,678
Franklin Financial Network, Inc.*		190		5,958
Franklin Resources, Inc.		5,170		172,523
Fulton Financial Corp.		2,610		35,235
The Goldman Sachs Group, Inc.		710		105,492
Great Western Bancorp, Inc.		2,320		73,173
HFF, Inc., Class A		1,920		55,450
Highwoods Properties, Inc.		755		39,864
Hudson Pacific Properties, Inc.		200		5,836

	Shares		Value
Independent Bank Corp.		700	$	10,157
Interactive Brokers Group, Inc., Class A		2,110		74,694
INTL. FCStone, Inc.*		590		16,101
Invesco Mortgage Capital, Inc.		1,280		17,523
Jones Lang LaSalle, Inc.		480		46,776
JPMorgan Chase & Co.		7,748		481,461
KeyCorp		21,490		237,464
LaSalle Hotel Properties		310		7,310
Lazard, Ltd., Class A		3,030		90,233
LendingTree, Inc.*,1		395		34,890
Lexington Realty Trust		1,430		14,457
Lincoln National Corp.		7,560		293,101
LTC Properties, Inc.		70		3,621
The Macerich Co.		3,520		300,573
Mack-Cali Realty Corp.		1,460		39,420
Marlin Business Services Corp.		130		2,119
Medical Properties Trust, Inc.		890		13,537
Mercantile Bank Corp.		110		2,625
Meridian Bancorp, Inc.		950		14,041
Meta Financial Group, Inc.		100		5,096
MFA Financial, Inc.		13,130		95,455
Morningstar, Inc.		1,140		93,229
MSCI, Inc.		540		41,645
Nasdaq, Inc.		6,890		445,576
National Bankshares, Inc.1		60		2,095
New Residential Investment Corp.		200		2,768
Northern Trust Corp.		10,940		724,884
Old Second Bancorp, Inc.		370		2,527
Oritani Financial Corp.		1,070		17,109
Pacific Continental Corp.		270		4,242
PennyMac Financial Services, Inc., Class A*		370		4,621
Piedmont Office Realty Trust, Inc., Class A1		25,890		557,671
Post Properties, Inc.		4,430		270,452
Preferred Bank		440		12,705
Primerica, Inc.		370		21,179
PrivateBancorp, Inc.		1,010		44,470
Prudential Financial, Inc.		4,480		319,603
PS Business Parks, Inc.		310		32,885
Public Storage		430		109,904
QCR Holdings, Inc.		150		4,078
RLI Corp.		80		5,502
Selective Insurance Group, Inc.		210		8,024
Senior Housing Properties Trust		7,080		147,476
Signature Bank*		650		81,198
Simon Property Group, Inc.		830		180,027
State Bank Financial Corp.		570		11,600

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

8

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Financials - 11.1% (continued)
State Street Corp.		2,760	$	148,819
Stifel Financial Corp.*		520		16,354
Stock Yards Bancorp, Inc.		160		4,517
STORE Capital Corp.		270		7,952
Summit Hotel Properties, Inc.		6,320		83,677
Sunstone Hotel Investors, Inc.		1,173		14,154
SunTrust Banks, Inc.		10,035		412,238
T. Rowe Price Group, Inc.		2,790		203,586
Tanger Factory Outlet Centers, Inc.		4,150		166,747
Taubman Centers, Inc.		1,920		142,464
TD Ameritrade Holding Corp.		6,520		185,657
Terreno Realty Corp.		260		6,726
Torchmark Corp.		3,760		232,443
Towne Bank		340		7,361
The Travelers Cos., Inc.		4,855		577,939
TriCo Bancshares		160		4,416
Trustmark Corp.		100		2,485
UMB Financial Corp.		690		36,715
Universal Insurance Holdings, Inc.		2,195		40,783
Urban Edge Properties		2,095		62,557
US Bancorp		11,475		462,787
Wells Fargo & Co.		15,550		735,982
Western Alliance Bancorp*		465		15,182
WP Glimcher, Inc.		18,700		209,253
Total Financials				19,800,223
Health Care - 7.8%
Abbott Laboratories		5,760		226,426
AbbVie, Inc.		6,925		428,727
Aetna, Inc.		4,855		592,941
Allergan PLC*		290		67,016
AmerisourceBergen Corp.		1,870		148,328
Amgen, Inc.		5,010		762,272
AMN Healthcare Services, Inc.*		705		28,179
Amphastar Pharmaceuticals, Inc.*		2,720		43,846
Anika Therapeutics, Inc.*		270		14,486
Anthem, Inc.		2,415		317,186
ARIAD Pharmaceuticals, Inc.*,1		5,530		40,867
Array BioPharma, Inc.*		8,785		31,275
Baxter International, Inc.		25,148		1,137,193
BioSpecifics Technologies Corp.*		60		2,396
BioTelemetry, Inc.*		375		6,112
Bruker Corp.		7,250		164,865
Cambrex Corp.*		635		32,849
Catalent, Inc.*		2,275		52,302
Centene Corp.*		3,321		237,020

	Shares		Value
Cigna Corp.		4,200	$	537,558
Corcept Therapeutics, Inc.*,1		2,140		11,684
CR Bard, Inc.		3,780		888,905
CryoLife, Inc.		410		4,842
Cynosure, Inc., Class A*		350		17,026
DENTSPLY SIRONA, Inc.		2,677		166,081
Edwards Lifesciences Corp.*		1,440		143,611
Eli Lilly & Co.		1,570		123,638
Emergent BioSolutions, Inc.*		680		19,122
Exelixis, Inc.*,1		4,230		33,036
Express Scripts Holding Co.*		6,580		498,764
Five Prime Therapeutics, Inc.*		390		16,126
Gilead Sciences, Inc.		3,450		287,799
Glaukos Corp.*		430		12,539
Halozyme Therapeutics, Inc.*,1		2,475		21,359
Halyard Health, Inc.*		740		24,065
HMS Holdings Corp.*		715		12,591
Humana, Inc.		750		134,910
ICU Medical, Inc.*		580		65,395
Immunomedics, Inc.*		5,020		11,646
INC Research Holdings, Inc., Class A*		1,240		47,281
Incyte Corp.*		1,190		95,176
Innoviva, Inc.1		6,950		73,184
Insulet Corp.*		50		1,512
Intuitive Surgical, Inc.*		280		185,195
Invacare Corp.1		45		546
iRadimed Corp.*,1		120		2,611
Ironwood Pharmaceuticals, Inc.*,1		2,485		32,491
Johnson & Johnson		17,075		2,071,198
Ligand Pharmaceuticals, Inc.*,1		420		50,093
Luminex Corp.*		120		2,428
Magellan Health, Inc.*		900		59,193
Masimo Corp.*		925		48,576
McKesson Corp.		1,690		315,438
Merck & Co., Inc.		17,845		1,028,050
Merrimack Pharmaceuticals, Inc.*,1		320		1,725
Mylan N.V.*		4,610		199,336
Myriad Genetics, Inc.*		680		20,808
NeoGenomics, Inc.*		1,460		11,738
Omeros Corp.*,1		2,985		31,402
OraSure Technologies, Inc.*		1,740		10,283
Orthofix International NV*		200		8,480
Owens & Minor, Inc.		500		18,690
Pacific Biosciences of California, Inc.*,1		3,330		23,427
Penumbra, Inc.*,1		240		14,280
Pfizer, Inc.		22,217		782,261

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

9

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Health Care - 7.8% (continued)
PRA Health Sciences, Inc.*		1,380	$	57,629
Shire PLC		1		184
St. Jude Medical, Inc.		5,070		395,460
Synergy Pharmaceuticals, Inc.*		1,525		5,795
Theravance Biopharma, Inc.*,1		320		7,261
Triple-S Management Corp., Class B*		480		11,726
United Therapeutics Corp.*		2,150		227,728
UnitedHealth Group, Inc.		1,950		275,340
Universal Health Services, Inc., Class B		530		71,073
VWR Corp.*		11,330		327,437
Waters Corp.*		580		81,577
WellCare Health Plans, Inc.*		65		6,973
West Pharmaceutical Services, Inc.		430		32,628
Total Health Care				14,001,196
Industrials - 5.7%
A. O. Smith Corp.		1,030		90,753
ABM Industries, Inc.		575		20,976
Actuant Corp., Class A		140		3,165
Aerojet Rocketdyne Holdings, Inc.*		210		3,839
Alaska Air Group, Inc.		1,140		66,451
Altra Industrial Motion Corp.		535		14,434
AMERCO		530		198,512
Astec Industries, Inc.		320		17,968
Atlas Air Worldwide Holdings, Inc.*		360		14,911
The Boeing Co.		310		40,260
Brady Corp., Class A		900		27,504
Briggs & Stratton Corp.		870		18,427
The Brink’s Co.		540		15,385
C.H. Robinson Worldwide, Inc.		4,740		351,945
Cintas Corp.		5,690		558,360
CLARCOR, Inc.		240		14,599
Comfort Systems USA, Inc.		1,130		36,804
Curtiss-Wright Corp.		340		28,645
Deere & Co.1		2,490		201,790
Deluxe Corp.		575		38,163
DigitalGlobe, Inc.*		1,070		22,887
EMCOR Group, Inc.		310		15,271
Energy Recovery, Inc.*,1		1,360		12,090
Ennis, Inc.		760		14,577
Exponent, Inc.		520		30,373
FTI Consulting, Inc.*		340		13,831
GATX Corp.1		5,520		242,714
General Cable Corp.		1,260		16,015
General Dynamics Corp.		2,280		317,467
General Electric Co.		38,450		1,210,406

	Shares		Value
Global Brass & Copper Holdings, Inc.		1,535	$	41,890
Hawaiian Holdings, Inc.*		1,310		49,728
Herman Miller, Inc.		760		22,716
HNI Corp.		910		42,306
Honeywell International, Inc.		460		53,507
Hub Group, Inc., Class A*		485		18,609
Illinois Tool Works, Inc.		1,390		144,782
Insperity, Inc.		940		72,596
Insteel Industries, Inc.		2,510		71,761
JetBlue Airways Corp.*		6,180		102,341
John Bean Technologies Corp.		160		9,795
Kelly Services, Inc., Class A		590		11,192
Kennametal, Inc.		5,470		120,942
The KEYW Holding Corp.*		240		2,386
Knoll, Inc.		750		18,210
L-3 Communications Holdings, Inc.		4,300		630,767
Landstar System, Inc.		4,500		308,970
Lydall, Inc.*		255		9,833
Masco Corp.		7,200		222,768
MasTec, Inc.*		2,615		58,367
Mistras Group, Inc.*		190		4,535
MRC Global, Inc.*		845		12,007
Mueller Water Products, Inc., Class A		1,415		16,159
National Presto Industries, Inc.		140		13,209
Northrop Grumman Corp.		500		111,140
Orbital ATK, Inc.		4,900		417,186
PACCAR, Inc.		4,280		222,004
Powell Industries, Inc.		160		6,294
Quad/Graphics, Inc.		2,255		52,519
Quanta Services, Inc.*		33,890		783,537
Rockwell Automation, Inc.		7,455		855,983
SkyWest, Inc.		420		11,113
Snap-on, Inc.		1,180		186,228
Southwest Airlines Co.		5,135		201,343
Spirit AeroSystems Holdings, Inc., Class A*		9,370		402,910
Stanley Black & Decker, Inc.		1,310		145,698
Steelcase, Inc., Class A		1,360		18,455
Swift Transportation Co.*,1		1,180		18,184
Tetra Tech, Inc.		860		26,441
TriNet Group, Inc.*		230		4,782
Tutor Perini Corp.*		2,010		47,336
United Technologies Corp.		4,070		417,378
Universal Forest Products, Inc.		605		56,077
Valmont Industries, Inc.		3,390		458,565
Vectrus, Inc.*		830		23,647
Virgin America, Inc.*,1		90		5,059

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

10

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Industrials - 5.7% (continued)
Wabash National Corp.*		3,700	$	46,990
West Corp.		960		18,874
YRC Worldwide, Inc.*,1		1,970		17,336
Total Industrials				10,272,977
Information Technology - 8.9%
Accenture PLC, Class A		2,720		308,149
Activision Blizzard, Inc.		3,330		131,968
Advanced Energy Industries, Inc.*		365		13,855
Advanced Micro Devices, Inc.*		11,000		56,540
Aerohive Networks, Inc.*		850		5,627
Alarm.com Holdings, Inc.*,1		1,270		32,550
Alpha & Omega Semiconductor, Ltd.*		1,015		14,139
Alphabet, Inc., Class A*		1,065		749,259
Alphabet, Inc., Class C*		400		276,840
Amdocs, Ltd.		5,050		291,486
Apple, Inc.		14,650		1,400,540
Applied Micro Circuits Corp.*		2,815		18,072
Automatic Data Processing, Inc.		500		45,935
Benefitfocus, Inc.*,1		140		5,337
Cardtronics, Inc.*		405		16,123
Care.com, Inc.*		1,545		18,046
CDK Global, Inc.		4,390		243,601
Cirrus Logic, Inc.*		500		19,395
Cisco Systems, Inc.		14,550		417,440
Citrix Systems, Inc.*		5,950		476,536
Cohu, Inc.		890		9,656
CommScope Holding Co., Inc.*		5,800		179,974
CommVault Systems, Inc.*		1,425		61,546
Convergys Corp.		220		5,500
CoreLogic, Inc.*		5,160		198,557
Cornerstone OnDemand, Inc.*		320		12,179
Cray, Inc.*,1		1,750		52,360
CSG Systems International, Inc.		535		21,566
Datalink Corp.*		870		6,525
DST Systems, Inc.		1,250		145,538
Ebix, Inc.1		715		34,248
Electronic Arts, Inc.*		3,525		267,054
Facebook, Inc., Class A*		13,350		1,525,638
Fairchild Semiconductor International, Inc.*		300		5,955
Finisar Corp.*		130		2,276
First Solar, Inc.*		5,630		272,942
Fortinet, Inc.*		900		28,431
Gigamon, Inc.*		1,480		55,337
GoDaddy, Inc., Class A*,1		5,600		174,664
The Hackett Group, Inc.		1,540		21,360

	Shares		Value
HP, Inc.		6,850	$	85,968
Intel Corp.		7,220		236,816
International Business Machines Corp.		1,110		168,476
Juniper Networks, Inc.		11,160		250,988
KLA-Tencor Corp.		3,090		226,342
Leidos Holdings, Inc.		11,975		573,243
Littelfuse, Inc.		200		23,638
Manhattan Associates, Inc.*		1,010		64,771
ManTech International Corp., Class A		310		11,724
Maxim Integrated Products, Inc.		31,620		1,128,518
MeetMe, Inc.*,1		3,220		17,163
Mentor Graphics Corp.		420		8,929
Microsemi Corp.*		880		28,758
Microsoft Corp.		31,610		1,617,484
Nanometrics, Inc.*		310		6,445
NCR Corp.*		6,000		166,620
NeoPhotonics Corp.*,1		3,430		32,688
NETGEAR, Inc.*		1,240		58,950
NIC, Inc.		480		10,531
Oclaro, Inc.*		720		3,514
Paycom Software, Inc.*,1		1,580		68,272
Paylocity Holding Corp.*,1		1,590		68,688
PC Connection, Inc.		150		3,570
PFSweb, Inc.*		1,845		17,528
Plexus Corp.*		500		21,600
Power Integrations, Inc.		95		4,757
Progress Software Corp.*		70		1,922
Qlik Technologies, Inc.*		490		14,494
QLogic Corp.*		245		3,611
Red Hat, Inc.*		3,680		267,168
Rovi Corp.*		270		4,223
Sanmina Corp.*		310		8,311
Science Applications International Corp.		210		12,254
Semtech Corp.*		560		13,362
Silicon Laboratories, Inc.*		30		1,462
Stamps.com, Inc.*,1		465		40,650
Sykes Enterprises, Inc.*		420		12,163
SYNNEX Corp.		30		2,845
Systemax, Inc.*		130		1,109
Take-Two Interactive Software, Inc.*		1,210		45,883
TE Connectivity, Ltd.		9,500		542,545
Tech Data Corp.*		1,005		72,209
Teradata Corp.*		3,420		85,739
Texas Instruments, Inc.		9,920		621,488
Total System Services, Inc.		2,690		142,866
Ubiquiti Networks, Inc.*,1		80		3,093

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

11

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Information Technology - 8.9% (continued)
Universal Display Corp.*		95	$	6,441
VeriSign, Inc.*,1		3,340		288,776
Viavi Solutions, Inc.*		53,530		354,904
Visa, Inc., Class A		4,940		366,400
Vishay Intertechnology, Inc.		3,710		45,967
Xilinx, Inc.		10,150		468,220
Zedge, Inc.*		414		1,899
Total Information Technology				15,958,729
Materials - 1.2%
AEP Industries, Inc.		380		30,575
Air Products & Chemicals, Inc.		620		88,065
Bemis Co., Inc.		2,420		124,606
Berry Plastics Group, Inc.*		4,000		155,400
Cabot Corp.		19,450		888,087
Celanese Corp., Series A		2,480		162,316
Commercial Metals Co.		1,290		21,801
The Dow Chemical Co.		2,520		125,269
E.I. du Pont de Nemours & Co.		3,330		215,784
HB Fuller Co.		305		13,417
Headwaters, Inc.*		1,135		20,362
Innospec, Inc.		355		16,326
Kronos Worldwide, Inc.1		1,160		6,090
Louisiana-Pacific Corp.*		205		3,557
Myers Industries, Inc.		520		7,488
Nucor Corp.		2,610		128,960
Olympic Steel, Inc.		480		13,109
PH Glatfelter Co.		350		6,846
Rayonier Advanced Materials, Inc.		1,340		18,211
Ryerson Holding Corp.*		930		16,275
Steel Dynamics, Inc.		2,300		56,350
Stepan Co.		300		17,859
Trinseo, S.A.1		1,335		57,312
Total Materials				2,194,065
Telecommunication Services - 1.2%
AT&T, Inc.		23,010		994,262
CenturyLink, Inc.		18,970		550,320
Cogent Communications Holdings, Inc.		485		19,429
IDT Corp., Class B		845		11,991
Shenandoah Telecommunications Co.		1,115		43,552
Verizon Communications, Inc.		11,120		620,941
Total Telecommunication Services				2,240,495
Utilities - 3.0%
ALLETE, Inc.		40		2,585
American Water Works Co, Inc.		9,315		787,211

	Shares		Value
Artesian Resources Corp., Class A		240	$	8,141
Atmos Energy Corp.		4,360		354,555
Avista Corp.		30		1,344
CenterPoint Energy, Inc.		16,725		401,400
Chesapeake Utilities Corp.		200		13,236
Connecticut Water Service, Inc.		280		15,736
Consolidated Edison, Inc.		3,770		303,259
Duke Energy Corp.		3,670		314,849
Edison International		4,330		336,311
Eversource Energy		2,300		137,770
IDACORP, Inc.		520		42,302
Middlesex Water Co.		225		9,760
New Jersey Resources Corp.		90		3,470
Northwest Natural Gas Co.		330		21,391
OGE Energy Corp.		4,410		144,428
Ormat Technologies, Inc.		955		41,791
Pinnacle West Capital Corp.		3,040		246,422
PPL Corp.		21,350		805,962
Public Service Enterprise Group, Inc.		7,140		332,795
Sempra Energy		2,100		239,442
SJW Corp.		220		8,664
Vectren Corp.		11,365		598,595
WGL Holdings, Inc.		430		30,440
Xcel Energy, Inc.		2,040		91,351
Total Utilities				5,293,210
Total Common Stocks (cost $92,063,906)				96,610,624
Rights - 0.0%#
DYAX Corp. (Healthcare)*,15 (cost $0)		670		7
	Principal
	Amount
Corporate Bonds and Notes - 4.3%
Financials - 0.9%
The Toronto-Dominion Bank, Series MTN,
2.250%, 11/05/19	$	80,000		82,134
US Bancorp, MTN, 2.200%, 04/25/19		200,000		205,201
Visa, Inc., 2.200%, 12/14/20		250,000		257,931
Wells Fargo & Co.,
1.400%, 09/08/17		345,000		346,122
2.500%, 03/04/21		620,000		636,189
2.625%, 12/15/16		110,000		110,930
Total Financials				1,638,507

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

12

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 2.9%
3M Co., Series MTN, 2.000%, 06/26/22	$	150,000	$	153,791
Altria Group, Inc., 2.625%, 01/14/20		225,000		234,090
The Boeing Co., 2.350%, 10/30/21		289,000		299,656
Burlington Northern Santa Fe LLC, 4.700%, 10/01/19		75,000		82,967
Caterpillar Financial Services Corp., MTN, 1.000%, 11/25/16		65,000		65,037
Cisco Systems, Inc., 1.400%, 02/28/18		225,000		227,093
Colgate-Palmolive Co., MTN, 1.750%, 03/15/19		120,000		122,827
Exxon Mobil Corp., 1.708%, 03/01/19		110,000		111,831
General Electric Co.,
2.900%, 01/09/17		130,000		131,441
5.250%, 12/06/17		385,000		407,969
MTN, Series A, 6.750%, 03/15/32		45,000		63,257
The Home Depot, Inc., 2.250%, 09/10/18		240,000		247,215
Johnson & Johnson,
0.700%, 11/28/16		80,000		79,950
5.150%, 07/15/18		105,000		114,038
Lockheed Martin Corp., 1.850%, 11/23/18		80,000		81,132
McDonald’s Corp.,
MTN, 5.350%, 03/01/18		220,000		235,360
MTN, 6.300%, 10/15/37		155,000		206,375
Medtronic, Inc., 0.875%, 02/27/17		50,000		49,992
PepsiCo, Inc., Series 1, 1.000%, 10/13/17		155,000		155,220
Pfizer, Inc., 6.200%, 03/15/19		135,000		152,528
Philip Morris International, Inc., 1.625%, 03/20/17		375,000		377,272
Tyson Foods, Inc., 2.650%, 08/15/19		225,000		231,320
Union Pacific Corp., 3.646%, 02/15/24		175,000		193,683
United Parcel Service, Inc., 6.200%, 01/15/38		240,000		344,938
Verizon Communications, Inc., 2.625%, 02/21/20		388,000		401,875
Wal-Mart Stores, Inc., 6.500%, 08/15/37		280,000		406,601
The Walt Disney Co., 1.350%, 08/16/16		75,000		75,079
Total Industrials				5,252,537
Utilities - 0.5%
BP Capital Markets PLC, 1.676%, 05/03/19		255,000		257,143
Consolidated Edison Co. of New York, Inc., Series 08-B, 6.750%, 04/01/38		120,000		170,213
Dominion Resources, Inc., 4.450%, 03/15/211		85,000		94,002

	Principal Amount		Value
Georgia Power Co., 5.400%, 06/01/40	$	75,000	$	93,229
Shell International Finance BV, 1.875%, 05/10/21		145,000		145,869
TransCanada PipeLines, Ltd., 3.800%, 10/01/20		115,000		122,296
Total Utilities				882,752
Total Corporate Bonds and Notes (cost $7,541,433)				7,773,796
U.S. Government and Agency Obligations - 40.8%
Federal Home Loan Mortgage Corporation - 13.1%
FHLMC, 1.375%, 05/01/20		185,000		187,894
FHLMC Gold Pool,
2.500%, 07/01/28 to 12/01/30		890,822		922,524
3.000%, 01/01/29 to 02/01/46		6,061,407		6,313,332
3.500%, 03/01/42 to 01/01/46		7,171,884		7,575,850
4.000%, 08/01/43 to 11/01/45		5,236,871		5,609,782
4.500%, 02/01/39 to 04/01/44		1,368,536		1,495,227
5.000%, 07/01/35 to 07/01/41		1,065,097		1,179,451
5.500%, 04/01/38 to 01/01/39		64,222		72,498
Total Federal Home Loan Mortgage Corporation				23,356,558
Federal National Mortgage Association - 4.4%
FNMA,
0.875%, 12/20/17 to 05/21/18 1		1,170,000		1,174,516
1.875%, 02/19/19		500,000		514,033
2.000%, 01/01/30		72,854		73,987
2.500%, 04/01/28 to 05/01/43		1,295,287		1,316,442
2.625%, 09/06/24 1		345,000		371,596
3.000%, 03/01/42 to 08/01/43		717,917		746,702
3.500%, 11/01/25 to 07/01/43		687,184		727,860
4.000%, 12/01/21 to 11/01/44		835,313		897,030
4.500%, 06/01/39 to 09/01/43		1,147,075		1,255,746
5.000%, 09/01/33 to 10/01/41		456,348		508,629
5.500%, 02/01/35 to 05/01/39		228,853		257,931
Total Federal National Mortgage Association				7,844,472
U.S. Treasury Obligations - 23.3%
U.S. Treasury Bonds,
2.750%, 08/15/42		5,000,000		5,510,940

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

13

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
U.S. Treasury Obligations - 23.3% (continued)
3.000%, 11/15/45	$	860,000	$	988,899
3.125%, 11/15/41		1,645,000		1,943,253
U.S. Treasury Notes,
0.625%, 08/31/17		405,000		405,427
0.750%, 12/31/17 to 03/31/18		2,540,000		2,547,173
0.875%, 07/15/18 to 07/31/19		5,155,000		5,181,774
1.000%, 09/30/19		1,395,000		1,405,654
1.375%, 08/31/20		1,145,000		1,166,156
1.500%, 02/28/19 to 01/31/22		7,235,000		7,385,984
1.625%, 07/31/20		1,160,000		1,193,010
1.875%, 11/30/21		2,780,000		2,895,490
2.250%, 11/15/24 to 11/15/25		6,020,000		6,422,822
2.500%, 05/15/24		4,335,000		4,709,401
Total U.S. Treasury Obligations				41,755,983
Total U.S. Government and Agency Obligations (cost $70,932,344)				72,957,013

	Principal Amount		Value
Short-Term Investments - 2.4%
Repurchase Agreements - 1.7%2
Cantor Fitzgerald Securities, Inc., dated 06/30/16, due 07/01/16, 0.470% total to be received $1,000,013 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 07/15/16 - 05/20/66, totaling $1,020,000)	$	1,000,000	$	1,000,000
Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.500% total to be received $1,000,014 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.000%, 07/07/16 - 02/01/49, totaling $1,020,000)		1,000,000		1,000,000
Mizuho Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.450% total to be received $1,707 (collateralized by various U.S. Government Agency Obligations, 1.000% - 8.000%, 06/01/22 - 11/20/45, totaling $1,741)		1,707		1,707
Nomura Securities International, Inc, dated 06/30/16, due 07/01/16, 0.420% total to be received $1,000,012 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.000%, 12/01/16 - 05/20/66, totaling $1,020,000)		1,000,000		1,000,000
Total Repurchase Agreements				3,001,707
	Shares
Other Investment Companies - 0.7%3
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39%		1,226,574		1,226,574
Total Short-Term Investments (cost $4,228,281)				4,228,281
Total Investments - 101.5% (cost $174,765,964)				181,569,721
Other Assets, less Liabilities - (1.5)%				(2,655,729	)
Net Assets - 100.0%			$	178,913,992

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

14

AMG Chicago Equity Partners Small Cap Value Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

Sector	AMG Chicago Equity Partners Small Cap Value Fund*			Russell 2000® Value Index
Financials		41.7	%		41.3	%
Industrials		16.0	%		12.1	%
Information Technology		10.3	%		10.1	%
Utilities		7.8	%		7.8	%
Consumer Discretionary		6.5	%		10.7	%
Energy		5.3	%		5.1	%
Health Care		4.7	%		4.6	%
Materials		4.0	%		4.5	%
Consumer Staples		3.1	%		3.0	%
Telecommunication Services		0.5	%		0.8	%
Other Assets and Liabilities		0.1	%		0.0	%

* As a percentage of net assets.

TOP TEN HOLDINGS

Security Name	% of Net Assets
PrivateBancorp, Inc.**		1.9	%
First American Financial Corp.		1.9	%
Great Western Bancorp, Inc.		1.8	%
IDACORP, Inc.**		1.8	%
Highwoods Properties, Inc.		1.7	%
Mack-Cali Realty Corp.**		1.7	%
UMB Financial Corp.		1.5	%
McDermott International, Inc.		1.5	%
Cathay General Bancorp**		1.5	%
Tech Data Corp.		1.5	%
Top Ten as a Group		16.8	%

** Top Ten Holdings as of December 31, 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.

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.

15

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Shares		Value
Common Stocks - 99.9%
Consumer Discretionary - 6.5%
Abercrombie & Fitch Co., Class A		1,310	$	23,331
AMC Entertainment Holdings, Inc., Class A		750		20,708
American Eagle Outfitters, Inc.1		3,280		52,250
Bassett Furniture Industries, Inc.		150		3,591
Callaway Golf Co.		3,650		37,266
The Cato Corp., Class A		910		34,325
The Children’s Place, Inc.		440		35,279
Columbia Sportswear Co.		140		8,056
Cooper-Standard Holding, Inc.*		360		28,436
Core-Mark Holding Co., Inc.		480		22,493
Cracker Barrel Old Country Store, Inc.1		210		36,009
DreamWorks Animation SKG, Inc., Class A*		1,020		41,687
Entercom Communications Corp., Class A		890		12,077
Express, Inc.*		3,680		53,397
Intrawest Resorts Holdings, Inc.*		6,240		80,995
Johnson Outdoors, Inc., Class A		750		19,275
Marriott Vacations Worldwide Corp.		980		67,120
Perry Ellis International, Inc.*		1,500		30,180
Scholastic Corp.		630		24,954
Sonic Automotive, Inc., Class A		4,480		76,653
Tower International, Inc.		2,610		53,714
West Marine, Inc.*		1,090		9,145
Total Consumer Discretionary				770,941
Consumer Staples - 3.1%
Central Garden and Pet Co., Class A*		1,440		31,262
Dean Foods Co.		2,195		39,708
Fresh Del Monte Produce, Inc.		1,865		101,512
Ingles Markets, Inc., Class A		10		373
National Beverage Corp.*		310		19,471
Sanderson Farms, Inc.1		250		21,660
Seneca Foods Corp., Class A*		1,380		49,970
SpartanNash Co.		1,270		38,837
Universal Corp.		810		46,769
Weis Markets, Inc.		350		17,692
Total Consumer Staples				367,254
Energy - 5.3%
DHT Holdings, Inc.		5,550		27,916
Jones Energy, Inc., Class A*		6,770		27,892
Matrix Service Co.*		2,740		45,183
McDermott International, Inc.*,1		36,650		181,051
Navios Maritime Acquisition Corp.		19,790		31,070
Nordic American Tankers, Ltd.		1,750		24,308

	Shares		Value
Oasis Petroleum, Inc.*		9,060	$	84,620
Parsley Energy, Inc., Class A*		1,910		51,685
Renewable Energy Group, Inc.*		3,420		30,199
RSP Permian, Inc.*		1,870		65,244
Ship Finance International, Ltd.1		2,450		36,113
Teekay Tankers, Ltd., Class A		7,820		23,304
Total Energy				628,585
Financials - 41.7%
1st Source Corp.		1,500		48,585
Access National Corp.		980		19,120
Apollo Residential Mortgage, Inc.		3,410		45,694
Armada Hoffler Properties, Inc.		4,520		62,105
Ashford Hospitality Trust, Inc.		14,640		78,617
Banc of California, Inc.		990		17,919
Banco Latinoamericano de Comercio Exterior, S.A., Class E		5,130		135,945
BBCN Bancorp, Inc.		6,585		98,248
Capitol Federal Financial, Inc.		4,050		56,498
Cash America International, Inc.		2,160		92,059
Cathay General Bancorp		6,410		180,762
CenterState Banks, Inc.		7,540		118,755
Central Pacific Financial Corp.		200		4,720
Charter Financial Corp.		1,450		19,256
Chemical Financial Corp.1		820		30,578
CommunityOne Bancorp*		700		8,848
CYS Investments, Inc.		6,220		52,061
DCT Industrial Trust, Inc.		2,310		110,972
DiamondRock Hospitality Co.		3,390		30,612
DuPont Fabros Technology, Inc.		870		41,360
Education Realty Trust, Inc.		1,640		75,670
Employers Holdings, Inc.		4,300		124,786
Enova International, Inc.*,1		6,370		46,883
Enterprise Financial Services Corp.		1,180		32,910
EZCORP, Inc., Class A*		8,080		61,085
Farmers Capital Bank Corp.		390		10,666
FCB Financial Holdings, Inc., Class A*		200		6,800
Federal Agricultural Mortgage Corp., Class C		230		8,009
Fidelity & Guaranty Life1		1,420		32,916
First American Financial Corp.		5,500		221,210
First Bancorp		560		9,845
First Defiance Financial Corp.		790		30,692
First Financial Bancorp		2,250		43,762
First Industrial Realty Trust, Inc.		330		9,181
First NBC Bank Holding Co.*		1,720		28,879

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

16

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Financials - 41.7% (continued)
FirstMerit Corp.		2,320	$	47,026
Fox Chase Bancorp, Inc.		540		10,984
Franklin Financial Network, Inc.*		960		30,106
Fulton Financial Corp.		12,940		174,690
Gladstone Commercial Corp.		640		10,810
Great Western Bancorp, Inc.		6,740		212,580
Highwoods Properties, Inc.		3,780		199,584
Hudson Pacific Properties, Inc.		990		28,888
Independent Bank Corp.		2,780		40,338
INTL. FCStone, Inc.*,1		2,970		81,051
Invesco Mortgage Capital, Inc.		6,370		87,205
LaSalle Hotel Properties		1,560		36,785
Lexington Realty Trust		6,920		69,961
LTC Properties, Inc.		290		15,002
Mack-Cali Realty Corp.		7,280		196,560
Marlin Business Services Corp.		640		10,432
Medical Properties Trust, Inc.		4,430		67,380
Mercantile Bank Corp.		620		14,793
Meridian Bancorp, Inc.		4,760		70,353
Meta Financial Group, Inc.		410		20,894
National Bankshares, Inc.1		340		11,873
New Residential Investment Corp.		1,015		14,048
Old Second Bancorp, Inc.		2,090		14,275
Oritani Financial Corp.		5,310		84,907
Pacific Continental Corp.		1,250		19,638
PennyMac Financial Services, Inc., Class A*		1,690		21,108
Preferred Bank		2,190		63,236
Primerica, Inc.		1,830		104,749
PrivateBancorp, Inc.		5,150		226,754
PS Business Parks, Inc.		265		28,111
QCR Holdings, Inc.		770		20,936
RLI Corp.		370		25,449
The RMR Group, Inc., Class A		1		22
Selective Insurance Group, Inc.		1,030		39,356
ServisFirst Bancshares, Inc.1		580		28,646
State Bank Financial Corp.		2,840		57,794
Stifel Financial Corp.*		2,610		82,084
Stock Yards Bancorp, Inc.		800		22,584
STORE Capital Corp.		1,330		39,168
Summit Hotel Properties, Inc.		12,000		158,880
Sunstone Hotel Investors, Inc.		6,079		73,368
Terreno Realty Corp.		1,290		33,372
Towne Bank		100		2,165
TriCo Bancshares		810		22,356

	Shares		Value
Trustmark Corp.		440	$	10,934
UMB Financial Corp.		3,430		182,510
Universal Insurance Holdings, Inc.		6,470		120,213
Total Financials				4,929,966
Health Care - 4.7%
Array BioPharma, Inc.*,1		19,540		69,562
CryoLife, Inc.		1,940		22,911
Halyard Health, Inc.*		3,660		119,023
ICU Medical, Inc.*		410		46,228
Immunomedics, Inc.*		3,290		7,633
Innoviva, Inc.		7,460		78,554
Luminex Corp.*		630		12,745
Magellan Health, Inc.*		1,170		76,951
Merrimack Pharmaceuticals, Inc.*		1,360		7,330
Omeros Corp.*,1		3,100		32,612
Owens & Minor, Inc.		600		22,428
Triple-S Management Corp., Class B*		2,410		58,876
Total Health Care				554,853
Industrials - 16.0%
ABM Industries, Inc.		2,865		104,515
Actuant Corp., Class A		730		16,505
Aerojet Rocketdyne Holdings, Inc.*		1,210		22,119
ArcBest Corp.		10		163
Astec Industries, Inc.		1,620		90,963
Atlas Air Worldwide Holdings, Inc.*		1,750		72,485
Brady Corp., Class A		1,270		38,811
Briggs & Stratton Corp.		4,350		92,133
Curtiss-Wright Corp.		970		81,722
Deluxe Corp.		1,720		114,156
DigitalGlobe, Inc.*		2,420		51,764
EMCOR Group, Inc.		1,510		74,383
Ennis, Inc.		3,780		72,500
Global Brass & Copper Holdings, Inc.		1,560		42,572
Insteel Industries, Inc.		3,150		90,058
Kelly Services, Inc., Class A		2,930		55,582
Kennametal, Inc.		2,020		44,662
The KEYW Holding Corp.*		900		8,946
MasTec, Inc.*		1,000		22,320
MRC Global, Inc.*		3,000		42,630
National Presto Industries, Inc.		680		64,158
Powell Industries, Inc.		790		31,079
Quad/Graphics, Inc.		3,740		87,105
SkyWest, Inc.		2,070		54,772
Tetra Tech, Inc.		4,320		132,818
Tutor Perini Corp.*		3,380		79,599

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

17

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Industrials - 16.0% (continued)
Universal Forest Products, Inc.		1,255	$	116,326
Vectrus, Inc.*		810		23,077
West Corp.		4,540		89,256
YRC Worldwide, Inc.*		8,630		75,944
Total Industrials				1,893,123
Information Technology - 10.3%
Advanced Energy Industries, Inc.*		1,030		39,099
Advanced Micro Devices, Inc.*		20,740		106,604
Alpha & Omega Semiconductor, Ltd.*		440		6,129
Care.com, Inc.*		2,670		31,186
Cohu, Inc.		4,520		49,042
Comtech Telecommunications Corp.		10		128
Convergys Corp.		1,110		27,750
Datalink Corp.*		3,280		24,600
Fairchild Semiconductor International, Inc.*		1,565		31,065
Finisar Corp.*		580		10,156
ManTech International Corp., Class A		1,540		58,243
Mentor Graphics Corp.		2,070		44,008
Nanometrics, Inc.*		1,650		34,304
NeoPhotonics Corp.*,1		5,060		48,222
NETGEAR, Inc.*		2,980		141,669
Oclaro, Inc.*		700		3,416
PC Connection, Inc.		700		16,660
Plexus Corp.*		1,510		65,232
Progress Software Corp.*		370		10,160
QLogic Corp.*		1,205		17,762
Rovi Corp.*		1,350		21,114
Sanmina Corp.*		1,560		41,824
Sykes Enterprises, Inc.*		2,080		60,237
SYNNEX Corp.		110		10,430
Systemax, Inc.*		100		853
Take-Two Interactive Software, Inc.*		920		34,886
Tech Data Corp.*		2,490		178,906
Vishay Intertechnology, Inc.		8,120		100,607
Zedge, Inc., Class B*		1		5
Total Information Technology				1,214,297
Materials - 4.0%
Commercial Metals Co.		6,375		107,738
Innospec, Inc.		1,750		80,482
Kronos Worldwide, Inc.		4,400		23,100
Olympic Steel, Inc.		2,400		65,544
PH Glatfelter Co.		1,750		34,230
Rayonier Advanced Materials, Inc.		370		5,028

	Shares		Value
Ryerson Holding Corp.*		3,900	$	68,250
Stepan Co.		1,475		87,807
Total Materials				472,179
Telecommunication Services - 0.5%
IDT Corp., Class B		2,550		36,184
Shenandoah Telecommunications Co.		430		16,796
Total Telecommunication Services				52,980
Utilities - 7.8%
ALLETE, Inc.		220		14,219
Artesian Resources Corp., Class A		1,210		41,043
Avista Corp.		110		4,928
Chesapeake Utilities Corp.		1,020		67,504
Connecticut Water Service, Inc.		1,390		78,118
IDACORP, Inc.		2,610		212,324
Middlesex Water Co.		1,120		48,586
New Jersey Resources Corp.		500		19,275
Northwest Natural Gas Co.		1,630		105,657
Ormat Technologies, Inc.		2,620		114,651
Piedmont Natural Gas Co., Inc.		390		23,447
SJW Corp.		1,080		42,530
WGL Holdings, Inc.		2,140		151,491
Total Utilities				923,773
Total Common Stocks (cost $11,205,357)				11,807,951
	Principal Amount
Short-Term Investments - 5.2%
Repurchase Agreements - 3.5%2
Cantor Fitzgerald Securities, Inc., dated 06/30/16, due 07/01/16, 0.470% total to be received $417,460 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 07/15/16 - 05/20/66, totaling $425,804)	$	417,455		417,455
	Shares
Other Investment Companies - 1.7%3
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39%		196,491		196,491
Total Short-Term Investments (cost $613,946)				613,946
Total Investments - 105.1% (cost $11,819,303)				12,421,897
Other Assets, less Liabilities - (5.1)%				(597,173	)
Net Assets - 100.0%			$	11,824,724

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

18

AMG Managers High Yield Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

Sector	AMG Managers High Yield Fund*
Industrials		88.5	%
Financials		5.4	%
Floating Rate Senior Loan Interests		4.4	%
Utilities		0.6	%
Other Assets and Liabilities		1.1	%

* As a percentage of net assets.

Rating	AMG Managers High Yield Fund***
Baa		4.6	%
Ba		32.8	%
B		43.5	%
Caa & lower		14.3	%
N/R		4.8	%

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

TOP TEN HOLDINGS

Security Name	% of Net Assets
Sprint Corp., 7.875%, 09/15/23**		1.5	%
HCA, Inc., 7.500%, 02/15/22**		1.4
First Data Corp., 5.750%, 01/15/24**		1.4
Sprint Capital Corp., 8.750%, 03/15/32**		1.3
Caesars Entertainment Operating Co., Inc., 9.000%, 02/15/20**		1.2
DISH DBS Corp., 5.000%, 03/15/23		1.1
CCO Holdings LLC / CCO Holdings Capital Corp., 5.750%, 02/15/26		1.1
Valeant Pharmaceuticals International, Inc., 7.500%, 07/15/21**		1.0
MGM Resorts International, 7.750%, 03/15/22		1.0
Neptune Finco Corp., 10.875%, 10/15/25		1.0
Top Ten as a Group		12.0	%

** Top Ten Holdings as of December 31, 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.

19

AMG Managers High Yield Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Principal Amount		Value
Corporate Bonds and Notes - 94.1%
Financials - 5.4%
Aircastle, Ltd., Series, 5.000%, 04/01/23	$	70,000	$	71,309
Ally Financial, Inc.,
4.625%, 05/19/22		80,000		80,800
4.625%, 03/30/25		110,000		108,625
5.125%, 09/30/241		35,000		35,787
5.750%, 11/20/25		40,000		40,250
Bank of America Corp., Series K, 8.000%, 07/29/494,5		165,000		164,175
Chinos Intermediate Holdings A, Inc., (7.750% Cash or 8.500% PIK), 7.750%, 05/01/19 (a)6		62,550		21,580
CIT Group, Inc., 5.500%, 02/15/19 (a)		50,000		52,437
Cogent Communications Finance, Inc., 5.625%, 04/15/21 (a)		90,000		88,425
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.250%, 10/15/23		100,000		101,938
Corrections Corp. of America, 4.625%, 05/01/23		110,000		111,375
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.,
5.450%, 06/15/23 (a)		45,000		46,757
6.020%, 06/15/26 (a)		40,000		41,776
Equinix, Inc.,
5.375%, 01/01/22		25,000		25,938
5.750%, 01/01/25		5,000		5,200
5.875%, 01/15/26		40,000		41,775
International Lease Finance Corp., 5.875%, 04/01/19		85,000		90,844
Newfield Exploration Co., 5.750%, 01/30/22		25,000		25,438
Serta Simmons Bedding LLC, 8.125%, 10/01/20 (a)		130,000		133,575
Total Financials				1,288,004
Industrials - 88.1%
1011778 BC ULC / New Red Finance, Inc., 6.000%, 04/01/22 (a)		45,000		46,786
21st Century Oncology, Inc., 11.000%, 05/01/23 (a)		65,000		55,088
ACCO Brands Corp., 6.750%, 04/30/201		70,000		74,462
The ADT Corp., 3.500%, 07/15/221		95,000		87,519
AECOM,
5.750%, 10/15/22		20,000		20,500
5.875%, 10/15/24		25,000		25,750
Aerojet Rocketdyne Holdings, Inc., 7.125%, 03/15/21		125,000		131,906
Air Medical Merger Sub Corp., 6.375%, 05/15/23 (a)		70,000		66,850
Alberta Energy Co., Ltd.,
7.375%, 11/01/31		5,000		5,291
8.125%, 09/15/30		10,000		11,126

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

20

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
Alere, Inc.,
6.375%, 07/01/23 (a)	$	30,000	$	31,425
6.500%, 06/15/20		20,000		20,000
Allegion PLC, 5.875%, 09/15/23		15,000		15,975
Allegion US Holding Co., Inc., 5.750%, 10/01/21		30,000		31,425
Altice Luxembourg, S.A., 7.750%, 05/15/22 (a)		200,000		202,750
AMC Networks, Inc., 5.000%, 04/01/24		80,000		79,490
American Axle & Manufacturing, Inc.,
6.250%, 03/15/211		25,000		26,031
6.625%, 10/15/221		55,000		59,125
Amkor Technology, Inc.,
6.375%, 10/01/22		85,000		82,131
6.625%, 06/01/211		60,000		58,500
Anixter, Inc., 5.500%, 03/01/23		80,000		81,700
Antero Resources Corp.,
5.125%, 12/01/22		20,000		19,300
5.375%, 11/01/21		40,000		39,300
6.000%, 12/01/20		15,000		15,238
Apex Tool Group LLC, 7.000%, 02/01/21 (a)		30,000		26,025
Argos Merger Sub, Inc., 7.125%, 03/15/23 (a)		145,000		149,712
Ashland, Inc., 4.750%, 08/15/22 (b)		95,000		94,881
Aspect Software, Inc., 10.625%, 05/15/177,8		80,000		300
Associated Materials LLC / AMH New Finance, Inc., 9.125%, 11/01/171		40,000		35,800
Avaya, Inc., 7.000%, 04/01/19 (a)1		85,000		61,200
Avis Budget Car Rental LLC / Avis Budget Finance, Inc.,
5.500%, 04/01/231		100,000		98,875
6.375%, 04/01/24 (a)1		30,000		29,850
Belden, Inc., 5.500%, 09/01/22 (a)		85,000		86,062
Berry Plastics Corp., 6.000%, 10/15/221		20,000		20,775
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (a)		80,000		76,200
Boardwalk Pipelines L.P., 5.950%, 06/01/261		15,000		15,785
Bombardier, Inc.,
7.500%, 03/15/25 (a)1		105,000		91,350
7.750%, 03/15/20 (a)		25,000		24,687
Boyd Gaming Corp., 6.375%, 04/01/26 (a)		50,000		52,500
BreitBurn Energy Partners, L.P. / BreitBurn Finance Corp., 7.875%, 04/15/228		30,000		6,150
Bumble Bee Holding, Inc., 9.000%, 12/15/17 (a)		110,000		111,650
Caesars Entertainment Operating Co., Inc.,
8.500%, 02/15/207,8		125,000		115,625

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

21

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
Caesars Entertainment Operating Co., Inc.,
9.000%, 02/15/207,8	$	295,000	$	273,612
11.250%, 06/01/177,8		115,000		106,662
California Resources Corp., 8.000%, 12/15/22 (a)		62,000		44,097
Carrizo Oil & Gas, Inc., 6.250%, 04/15/231		20,000		19,350
CCO Holdings LLC / CCO Holdings Capital Corp.,
5.125%, 05/01/23 (a)		40,000		40,325
5.375%, 05/01/25 (a)		30,000		30,525
5.500%, 05/01/26 (a)		55,000		55,962
5.750%, 02/15/26 (a)		255,000		263,287
5.875%, 04/01/24 (a)		90,000		93,600
Central Garden & Pet Co., 6.125%, 11/15/23		40,000		41,800
CenturyLink, Inc., Series W, 6.750%, 12/01/23		165,000		162,731
The Chemours Co.,
6.625%, 05/15/231		65,000		55,575
7.000%, 05/15/251		20,000		16,875
Chesapeake Energy Corp.,
3.878%, 04/15/19 (07/15/16)9		15,000		11,362
8.000%, 12/15/22 (a)1		102,000		86,572
Cinemark USA, Inc., 4.875%, 06/01/23		65,000		64,675
Claire’s Stores, Inc.,
8.875%, 03/15/19		70,000		16,625
9.000%, 03/15/19 (a)		145,000		87,725
Clean Harbors, Inc.,
5.125%, 06/01/21		25,000		25,703
5.250%, 08/01/20		35,000		35,919
Clear Channel Worldwide Holdings, Inc.,
6.500%, 11/15/22		85,000		82,237
Series A, 7.625%, 03/15/20		55,000		50,462
Series B, 6.500%, 11/15/22		225,000		226,125
Series B, 7.625%, 03/15/20		155,000		148,257
CNH Industrial Capital LLC,
4.375%, 11/06/201		65,000		65,812
4.875%, 04/01/211		70,000		71,400
Cogent Communications Group, Inc., 5.375%, 03/01/22 (a)		70,000		70,525
CommScope Technologies Finance LLC, 6.000%, 06/15/25 (a)		75,000		77,250
CommScope, Inc., 5.500%, 06/15/24 (a)		35,000		35,656
Comstock Resources, Inc., 10.000%, 03/15/20 (a)		80,000		64,800
Concho Resources, Inc., 5.500%, 04/01/231		5,000		5,038
Continental Resources, Inc., 5.000%, 09/15/221		75,000		73,688

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

22

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp.,
6.125%, 03/01/22	$	10,000	$	9,300
6.250%, 04/01/23 (a)		35,000		32,375
CSI Compressco L.P. / Compressco Finance, Inc., 7.250%, 08/15/22		20,000		16,500
Dana Holding Corp.,
5.500%, 12/15/241		55,000		52,525
6.000%, 09/15/23		95,000		96,900
DaVita HealthCare Partners, Inc., 5.000%, 05/01/25		70,000		69,562
Denbury Resources, Inc.,
4.625%, 07/15/23		55,000		35,750
5.500%, 05/01/22		95,000		64,600
DISH DBS Corp.,
5.000%, 03/15/23		295,000		269,188
5.875%, 07/15/22		125,000		121,875
5.875%, 11/15/24		80,000		74,700
6.750%, 06/01/21		30,000		31,162
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp., 8.125%, 06/15/21 (a)		155,000		134,850
DreamWorks Animation SKG, Inc., 6.875%, 08/15/20 (a)		109,000		115,472
Encana Corp.,
6.625%, 08/15/37		25,000		24,955
7.200%, 11/01/31		15,000		15,405
Energizer Holdings, Inc., 5.500%, 06/15/25 (a)		65,000		64,838
EnLink Midstream Partners L.P., 4.400%, 04/01/241		25,000		23,489
Entegris, Inc., 6.000%, 04/01/22 (a)		90,000		92,475
EP Energy LLC / Everest Acquisition Finance, Inc.,
7.750%, 09/01/22		65,000		39,975
9.375%, 05/01/20		105,000		74,812
FGI Operating Co. LLC / FGI Finance, Inc., 7.875%, 05/01/20		75,000		54,750
First Data Corp.,
5.375%, 08/15/23 (a)		37,000		37,713
5.750%, 01/15/24 (a)		335,000		334,302
7.000%, 12/01/23 (a)		53,000		53,861
Frontier Communications Corp.,
10.500%, 09/15/22		70,000		74,331
11.000%, 09/15/25		185,000		192,169
Gardner Denver, Inc., 6.875%, 08/15/21 (a)1		40,000		36,500
GCI, Inc., 6.750%, 06/01/21		50,000		50,875
GCP Applied Technologies, Inc., 9.500%, 02/01/23 (a)		35,000		39,200
General Cable Corp., 5.750%, 10/01/22 (b)		85,000		78,625
General Motors Co., 4.875%, 10/02/23		65,000		69,301

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

23

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
The Geo Group, Inc.,
5.875%, 01/15/22	$	110,000	$	112,750
6.000%, 04/15/26		25,000		25,312
The Goodyear Tire & Rubber Co., 5.000%, 05/31/26		20,000		20,425
Gray Television, Inc., 5.875%, 07/15/26 (a)		15,000		15,075
Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19		120,000		115,500
H&E Equipment Services, Inc., 7.000%, 09/01/221		90,000		93,600
Halcon Resources Corp.,
8.625%, 02/01/20 (a)		20,000		18,962
13.000%, 02/15/22 (a)		106,000		56,710
Hanesbrands, Inc.,
4.625%, 05/15/24 (a)		25,000		25,188
4.875%, 05/15/26 (a)		25,000		25,215
HCA, Inc.,
5.250%, 06/15/26		45,000		46,828
5.375%, 02/01/25		205,000		210,638
5.875%, 02/15/26		140,000		145,600
7.500%, 02/15/22		300,000		341,850
HD Supply, Inc., 5.750%, 04/15/24 (a)		55,000		57,338
HealthSouth Corp.,
5.750%, 11/01/24		30,000		30,270
5.750%, 09/15/25		30,000		29,850
HERC Renaults Inc, 7.750%, 06/01/24		85,000		83,088
The Hertz Corp.,
6.250%, 10/15/221		75,000		77,625
7.375%, 01/15/211		80,000		83,000
Hexion, Inc.,
6.625%, 04/15/20		210,000		176,673
8.875%, 02/01/18		80,000		69,800
Hiland Partners, L.P. / Hiland Partners Finance Corp., 7.250%, 10/01/20 (a)		55,000		57,131
The Hillman Group, Inc., 6.375%, 07/15/22 (a)		70,000		62,650
Hill-Rom Holdings, Inc., 5.750%, 09/01/23 (a)		35,000		35,962
HRG Group, Inc., 7.750%, 01/15/221		15,000		14,991
Huntsman International LLC,
4.875%, 11/15/201		20,000		20,200
5.125%, 11/15/221		90,000		89,550
iHeartCommunications, Inc., 9.000%, 03/01/21		105,000		74,419
INEOS Group Holdings, S.A., 5.875%, 02/15/19 (a)1		200,000		200,500
Infinity Acquisition LLC / Infinity Acquisition Finance Corp., 7.250%, 08/01/22 (a)		60,000		52,650

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

24

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
Huntsman International LLC,
Infor Software Parent LLC / Infor Software Parent, Inc., (7.125% Cash or 7.875% PIK), 7.125%, 05/01/21 (a)6	$	115,000	$	102,350
Infor US, Inc., 6.500%, 05/15/22		145,000		137,660
Informatica LLC, 7.125%, 07/15/23 (a)1		90,000		85,725
Intelsat Jackson Holdings S.A.,
5.500%, 08/01/23		110,000		70,400
6.625%, 12/15/22		55,000		37,400
7.250%, 04/01/19		40,000		29,400
7.250%, 10/15/20		315,000		226,012
7.500%, 04/01/21		35,000		24,325
Intelsat Luxembourg, S.A., 7.750%, 06/01/21		65,000		16,250
International Game Technology PLC, 6.500%, 02/15/25 (a)		200,000		202,500
Interval Acquisition Corp., 5.625%, 04/15/23		65,000		65,488
inVentiv Health, Inc.,
9.000%, 01/15/18 (a)		105,000		108,412
10.000%, 08/15/18 (b)		35,000		35,028
inVentiv Health, Inc., (10.000% Cash or 12.000% PIK), 10.000%, 08/15/18 (a)6		53,595		55,203
J.C. Penney Corp., Inc., 6.375%, 10/15/36		90,000		68,598
Jack Cooper Holdings Corp., 9.250%, 06/01/20 (b)		120,000		77,700
James Hardie International Finance, Ltd., 5.875%, 02/15/23 (a)		20,000		20,550
JCH Parent, Inc., (10.500% Cash or 11.250% PIK), 10.500%, 03/15/19 (a)6		46,507		14,882
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC,
5.000%, 06/01/24 (a)		20,000		20,400
5.250%, 06/01/26 (a)		20,000		20,550
Kindred Healthcare, Inc., 8.750%, 01/15/23		95,000		94,110
Kinetic Concepts, Inc. / KCI USA, Inc.,
7.875%, 02/15/21 (a)		30,000		31,969
10.500%, 11/01/18 (b)		150,000		150,000
KLX, Inc., 5.875%, 12/01/22 (a)		90,000		88,650
Kratos Defense & Security Solutions, Inc., 7.000%, 05/15/191		74,000		60,125
L Brands, Inc., 6.750%, 07/01/36		45,000		45,197
Level 3 Communications, Inc., 5.750%, 12/01/22		60,000		60,900
Level 3 Financing, Inc., 5.375%, 05/01/25		45,000		44,831
LSB Industries, Inc., 7.750%, 08/01/19		104,000		104,000
LTF Merger Sub, Inc., 8.500%, 06/15/23 (a)		90,000		85,500
Magnachip Semiconductor Corp., 6.625%, 07/15/21 (b)		95,000		74,575
Mallinckrodt International Finance, S.A. / Mallinckrodt CB LLC,
5.625%, 10/15/23 (a)1		30,000		28,088
4.875%, 04/15/20 (a)		25,000		24,250
5.500%, 04/15/25 (a)		35,000		31,399

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

25

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
MEG Energy Corp.,
6.375%, 01/30/23 (a)	$	25,000	$	18,625
7.000%, 03/31/24 (a)		110,000		85,250
MGM Growth Properties Operating Partnership L.P. / MGP Escrow Co-Issuer, Inc., 5.625%, 05/01/24 (a)		10,000		10,600
MGM Resorts International,
6.000%, 03/15/231		160,000		169,200
7.750%, 03/15/22		210,000		238,088
Micron Technology, Inc.,
5.500%, 02/01/25		55,000		47,025
5.250%, 01/15/24 (a)		95,000		80,988
7.500%, 09/15/23 (a)		30,000		31,950
Microsemi Corp., 9.125%, 04/15/23 (a)		75,000		82,875
Midcontinent Communications & Midcontinent Finance Corp., 6.875%, 08/15/23 (a)		70,000		72,100
MPLX L.P.,
4.875%, 06/01/25 (a)		115,000		112,592
5.500%, 02/15/23 (a)		35,000		35,592
Neiman Marcus Group, Ltd. LLC, 8.000%, 10/15/21 (a)1		40,000		32,800
Neiman Marcus Group, Ltd. LLC (8.750% Cash or 9.500% PIK), 8.750%, 10/15/21 (a)1,6		80,000		61,200
Neptune Finco Corp., 10.875%, 10/15/25 (a)		200,000		229,124
Nexstar Broadcasting, Inc., 6.875%, 11/15/201		120,000		125,850
Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 (a)		65,000		66,544
Noranda Aluminum Acquisition Corp., 11.000%, 06/01/198		35,000		481
Oasis Petroleum, Inc.,
6.500%, 11/01/211		15,000		13,762
6.875%, 03/15/221		85,000		78,944
6.875%, 01/15/23		25,000		22,875
Omega US Sub LLC, 8.750%, 07/15/23 (a)		75,000		73,875
Oshkosh Corp.,
5.375%, 03/01/22		45,000		46,575
5.375%, 03/01/25		20,000		20,650
Plantronics, Inc., 5.500%, 05/31/23 (a)		45,000		44,550
Post Holdings, Inc.,
6.000%, 12/15/22 (a)		40,000		41,150
7.375%, 02/15/22		90,000		94,950
7.750%, 03/15/24 (a)		75,000		82,781
Quebecor Media, Inc., 5.750%, 01/15/23		155,000		158,100
Quebecor World, Escrow, 6.500%, 08/01/27*,7		165,000		16
Qwest Capital Funding, Inc., 7.750%, 02/15/31		65,000		55,640
Radio Systems Corp., 8.375%, 11/01/19 (a)		105,000		109,462
Rain CII Carbon LLC / CII Carbon Corp., 8.000%, 12/01/18 (a)		30,000		26,100

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

26

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
Regal Entertainment Group,
5.750%, 03/15/22	$	30,000	$	30,825
5.750%, 06/15/23		10,000		10,125
Regency Energy Partners, L.P. / Regency Energy Finance Corp.,
5.000%, 10/01/22		35,000		35,960
5.500%, 04/15/23		45,000		45,443
5.875%, 03/01/22		20,000		21,418
Reichhold Holdings International B.V.,
0.120%, 03/13/177		54,531		54,531
0.150%, 03/13/177		85,105		85,105
Reichhold LLC, 0.012%, 03/13/177		35,000		35,000
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu,
5.750%, 10/15/20		95,000		98,325
7.000%, 07/15/24 (a)		20,000		20,628
Rite Aid Corp., 6.125%, 04/01/23 (a)		110,000		117,838
Riverbed Technology Inc., 8.875%, 03/01/23 (a)		100,000		104,000
RSI Home Products, Inc., 6.500%, 03/15/23 (a)		105,000		108,412
RSP Permian, Inc., 6.625%, 10/01/22		15,000		15,525
Sabine Pass Liquefaction LLC, 5.750%, 05/15/24		100,000		99,750
Sabre GLBL, Inc.,
5.250%, 11/15/23 (a)		35,000		35,788
5.375%, 04/15/23 (a)		70,000		71,925
Sanchez Energy Corp., 6.125%, 01/15/23		65,000		50,538
The Scotts Miracle-Gro Co., 6.000%, 10/15/23 (a)		40,000		42,300
Sensata Technologies BV,
4.875%, 10/15/23 (a)		110,000		110,412
5.000%, 10/01/25 (a)		5,000		5,047
Service Corp. International, 7.500%, 04/01/27		115,000		133,975
Sinclair Television Group, Inc., 6.125%, 10/01/22		105,000		108,938
Sirius XM Radio, Inc.,
5.375%, 04/15/25 (a)		130,000		129,756
5.750%, 08/01/21 (a)1		20,000		20,825
6.000%, 07/15/24 (a)		55,000		56,994
Six Flags Entertainment Corp., 4.875%, 07/31/24 (a)		20,000		19,800
SM Energy Co.,
5.625%, 06/01/25		30,000		25,950
6.125%, 11/15/221		10,000		9,238
6.500%, 01/01/23		10,000		9,350
Sprint Capital Corp.,
6.875%, 11/15/28		15,000		11,850

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

27

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
Sprint Capital Corp.,
8.750%, 03/15/32	$	360,000	$	309,600
Sprint Corp.,
7.625%, 02/15/25		200,000		159,250
7.875%, 09/15/23		435,000		357,788
Targa Resources Partners L.P. / Targa Resources Partners Finance Corp.,
4.125%, 11/15/19		20,000		19,900
6.750%, 03/15/24 (a)		55,000		56,650
TEGNA, Inc.,
4.875%, 09/15/21 (a)		15,000		15,412
5.500%, 09/15/24 (a)		45,000		46,519
Tempur Sealy International, Inc., 5.625%, 10/15/23		30,000		31,050
Tenet Healthcare Corp.,
6.750%, 06/15/23		180,000		173,025
8.125%, 04/01/22		220,000		226,556
Tenneco, Inc., 5.000%, 07/15/26		30,000		30,506
Terex Corp.,
6.000%, 05/15/21		135,000		135,844
6.500%, 04/01/20		60,000		60,825
Tesoro Logistics L.P. / Tesoro Logistics Finance Corp.,
5.875%, 10/01/20		58,000		59,885
6.125%, 10/15/21		25,000		26,000
6.250%, 10/15/22		20,000		20,950
6.375%, 05/01/24		20,000		21,050
Time, Inc., 5.750%, 04/15/22 (a)		80,000		75,500
T-Mobile USA, Inc.,
6.500%, 01/15/26		65,000		68,819
6.731%, 04/28/22		175,000		184,678
TransDigm, Inc., 6.500%, 05/15/25		80,000		80,500
Trinidad Drilling, Ltd., 7.875%, 01/15/19 (a)		45,000		40,275
Triumph Group, Inc., 4.875%, 04/01/21		80,000		75,600
UCI International LLC, 8.625%, 02/15/197,8		115,000		25,875
United Rentals North America, Inc.,
5.875%, 09/15/26		30,000		29,925
6.125%, 06/15/231		40,000		41,850
United States Cellular Corp., 6.700%, 12/15/33		50,000		46,219
Valeant Pharmaceuticals International, Inc.,
5.875%, 05/15/23 (a)1		210,000		170,625
6.125%, 04/15/25 (a)1		135,000		108,675
7.250%, 07/15/22 (a)		130,000		112,151

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

28

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 88.1% (continued)
Valeant Pharmaceuticals International, Inc.,
7.500%, 07/15/21 (a)	$	280,000	$	248,325
Vista Outdoor, Inc., 5.875%, 10/01/23 (a)		55,000		57,475
Western Digital Corp.,
7.375%, 04/01/23 (a)		65,000		69,388
10.500%, 04/01/24 (a)		145,000		155,512
Whiting Petroleum Corp., 6.250%, 04/01/23		5,000		4,500
Williams Partners, L.P. / ACMP Finance Corp., 6.125%, 07/15/22		60,000		61,603
Wind Acquisition Finance, S.A., 7.375%, 04/23/21 (a)		200,000		191,500
Windstream Services LLC,
6.375%, 08/01/231		30,000		25,350
7.500%, 06/01/221		60,000		54,300
7.500%, 04/01/231		15,000		13,462
7.750%, 10/01/211		170,000		161,075
WMG Acquisition Corp.,
5.625%, 04/15/22 (a)		20,000		20,525
6.000%, 01/15/21 (a)		56,000		57,960
WPX Energy, Inc.,
5.250%, 09/15/241		25,000		22,125
8.250%, 08/01/23		50,000		50,375
WR Grace & Co., 5.625%, 10/01/24 (a)		10,000		10,288
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.500%, 03/01/25 (a)1		150,000		145,688
XPO Logistics, Inc., 6.500%, 06/15/22 (a)1		80,000		76,700
Zayo Group LLC / Zayo Capital, Inc.,
6.000%, 04/01/23		50,000		51,000
6.375%, 05/15/25		60,000		61,425
Zebra Technologies Corp., 7.250%, 10/15/221		140,000		149,100
ZF North America Capital, Inc., 4.750%, 04/29/25 (a)		175,000		177,952
Total Industrials				20,956,454
Utilities - 0.6%
AES Corp, 6.000%, 05/15/26		15,000		15,337
Dynegy, Inc., 7.375%, 11/01/22		80,000		77,600
NRG Energy, Inc.,
6.250%, 07/15/22		40,000		39,000
7.875%, 05/15/21		16,000		16,640
Total Utilities				148,577
Total Corporate Bonds and Notes (cost $23,742,645)				22,393,035

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

29

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Floating Rate Senior Loan Interests - 4.4%9
21st Century Oncology Holdings, Inc., 1st Lien Senior Secured Term Loan B, 7.000%, 04/30/22 (09/30/16)	$	99,000	$	90,338
Bway Intermediate Company, Inc., Initial Term Loan,
5.500%, 08/14/20 (08/22/16)		58,697		58,514
5.500%, 08/14/20 (09/06/16)		2,501		2,494
7.000%, 08/14/20 (09/30/16)		799		797
CD&R Millennium Holdco. 6 S.A.R.L. (Mauser Holdings), Initial Term Loan (Second Lien), 8.750%, 07/31/22 (07/29/16)		70,000		65,625
Clear Channel Communications, Inc., Term Loan D, 7.210%, 01/30/19 (07/29/16)		34,927		25,671
Evergreen Skills LUX S.A R.L., Initial Term Loan (First Lien), 5.750%, 04/28/21 (07/29/16)		98,250		78,600
Evergreen Skills LUX S.A R.L., Initial Term Loan (Second Lien), 9.250%, 04/28/22 (07/29/16)		100,000		47,500
Hercules Achievement, Inc. (Varsity Brands), Initial Term Loan (First Lien),
5.000%, 12/10/21 (09/12/16)		93,001		92,862
5.000%, 12/10/21 (09/30/16)		574		573
The Hillman Group, Inc., Initial Term Loan, 4.500%, 06/30/21 (09/30/16)		98,000		96,775
Neiman Marcus Group, Inc., Other Term Loan,
4.250%, 10/25/20 (07/29/16)		260		234
4.250%, 10/25/20 (09/06/16)		101,276		91,227
Ortho-Clinical Diagnostics Holdings Luxembourg S.A.R.L., Initial Term Loan, 4.750%, 06/30/21 (07/01/16)		98,250		93,010
Riverbed Technology Inc., 1st Lien Term Loan, 5.000%, (09/30/16)		78,036		78,182
Steinway Musical Instruments, Inc., 1st Lien Term Loan, 4.750%, 09/19/19 (07/29/16)		96,632		93,733
Vertaforce, Inc., 2nd Lien Term Loan, 9.750%, 10/27/17 (07/31/16)		45,000		45,155
Wilton Brands LLC (FKA Wilton Brands Inc.), 8.500%, 08/30/18 (08/31/16)		116,176		95,845
Total Floating Rate Senior Loan Interests (cost $1,183,776)				1,057,135
	Shares
Common Stocks - 0.4%
Industrials - 0.4%
Reichhold Cayman Equity (Industrials)7 (cost $58,016)		148		85,396

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

30

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Short-Term Investments - 11.4%
Repurchase Agreements - 10.5%2
Cantor Fitzgerald Securities, dated 06/30/16, due 07/01/16, 0.470%, total to be received $1,000,013 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 07/15/16 - 05/20/66,totaling $1,020,000)	$	1,000,000	$	1,000,000
Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.500%, total to be received $1,000,014 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.000%, 07/07/16 - 02/01/49, totaling $1,020,000)		1,000,000		1,000,000
Nomura Securities International Inc, dated 06/30/16, due 07/01/16, 0.420%, total to be received $499,699 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.000%, 12/01/16 - 05/20/66, totaling $509,687)		499,693		499,693
Total Repurchase Agreements				2,499,693
	Shares
Other Investment Companies - 0.9%3
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39%		208,453		208,453
Total Short-Term Investments (cost $2,708,146)				2,708,146
Total Investments - 110.3% (cost $27,692,583)				26,243,712
Other Assets, less Liabilities - (10.3)%				(2,453,926	)
Net Assets - 100.0%			$	23,789,786

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

31

AMG Managers Intermediate Duration Government Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

Category	AMG Managers Intermediate Duration Government Fund*
U.S. Government and Agency Obligations		102.0	%
Asset-Backed Securities		5.5	%
Mortgage-Backed Securities		5.3	%
TBA Forward Sale Commitments		(2.5	)%
Other Assets and Liabilities		(10.3	)%

* As a percentage of net assets.

Rating	AMG Managers Intermediate Duration Government Fund***
U.S. Government and Agency Obligations		90.4	%
Aaa		9.3	%
Aa		0.0	%#
Baa		0.1	%
Ba & lower		0.2	%

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

^#  Less than 0.05%.

TOP TEN HOLDINGS

Security Name	% of Net Assets
FHLMC Gold Pool, 4.000%, TBA 30 years		11.5	%
FNMA, 3.500%, TBA 30 years		7.5
FNMA, 4.000%, TBA 30 years		6.5
FNMA, 3.500%, TBA 30 years		6.2
FHLMC Gold Pool, 3.500%, TBA 30 years		5.0
FNMA, 4.500%, TBA 30 years		3.7
GNMA, 3.000%, TBA 30 years		1.6
Progress Residential Trust, Series 2015-SFR2, Class A, 2.740%, 06/12/32**		1.5
American Residential Properties Trust, Series 2014-SFR1, Class A, 1.546%, 09/17/31		1.3
GNMA, 3.500%, 11/20/45		1.2
Top Ten as a Group		46.0	%

** Top Ten Holdings as of December 31, 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.

32

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

		Principal Amount		Value
Asset-Backed Securities - 5.5%
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.446%, 06/17/31 (07/17/16) (a)9,10		$	1,205,370	$	1,190,969
American Residential Properties Trust, Series 2014-SFR1, Class A, 1.546%, 09/17/31 (07/17/16) (a)9,10			2,653,189		2,617,220
Colony American Homes, Series 2014-2A, Class A, 1.401%, 07/17/31 (07/17/16) (a)9			1,795,705		1,768,805
Invitation Homes Trust,
Series 2013-SFR1, Class A, 1.596%, 12/17/30 (07/17/16) (a)9,10			1,975,286		1,966,686
Series 2014-SFR1, Class A, 1.446%, 06/17/31 (07/17/16) (a)9			97,724		96,214
Series 2015-SFR1, Class A, 1.896%, 03/17/32 (07/17/16) (a)9			322,488		322,722
Progress Residential Trust, Series 2015-SFR2, Class A, 2.740%, 06/12/32 (a)10			2,985,957		3,028,528
SWAY Residential Trust, Series 2014-1, Class A, 1.746%, 01/17/32 (07/17/16) (a)9			326,942		325,013
Total Asset-Backed Securities (cost $11,230,556)					11,316,157
Mortgage-Backed Securities - 5.3%
American Home Mortgage Assets Trust, Series 2005-1, Class 1A1, 2.854%, 11/25/35 (08/25/16)9			69,178		58,819
American Home Mortgage Investment Trust,
Series 2004-1, Class 4A, 2.978%, 04/25/44 (08/25/16)9			109,828		101,516
Series 2005-1, Class 5A1, 2.958%, 06/25/45 (08/25/16)9			27,853		27,251
Bank of America Funding Trust, Series 2004-B, Class 1A2, 2.907%, 12/20/34 (05/20/16)4			85,775		78,683
Bear Stearns Commercial Mortgage Securities Trust,
Series 2006-PW14, Class A1A, 5.189%, 12/11/38			610,777		614,564
Series 2006-T24, Class A4, 5.537%, 10/12/41			956,580		959,444
Series 2007-PW16, Class A4, 5.910%, 06/11/404,10			1,705,769		1,742,440
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.223%, 08/15/48			790,199		792,506
COMM 2006-C8 Mortgage Trust, Series 2006-C8, Class A4, 5.306%, 12/10/46			1,260,484		1,266,358
GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF, 0.803%, 03/25/35 (07/25/16) (a)1,7,9	��		163,436		137,876
GSR Mortgage Loan Trust, Series 2004-5, Class 1A3, 2.430%, 05/25/34 (08/25/16)9			34,350		32,855
Harborview Mortgage Loan Trust, Series 2004-7, Class 2A2, 2.550%, 11/19/34 (08/19/16)4			60,542		53,872
Morgan Stanley Capital I Trust,
Series 2006-IQ12, Class A4, 5.332%, 12/15/43			436,474		437,612
Series 2007-T27, Class A4, 5.820%, 06/11/424			1,852,415		1,914,316
Reperforming Loan REMIC Trust, Series 2004-R2, Class 1AF1, 0.873%, 11/25/34 (07/25/16) (a)1,7,9			98,492		82,933
Structured Asset Securities Corp., Series 2005-RF1, Class A, 0.803%, 03/25/35 (07/25/16) (a)1,7,9			185,699		151,708
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/48			2,247,451		2,257,081
Wells Fargo Mortgage Backed Securities Trust, Series 2007-16, Class 1A1, 6.000%, 12/28/37			163,882		169,116
Total Mortgage-Backed Securities (cost $11,110,611)					10,878,950
U.S. Government and Agency Obligations - 102.0%
Federal Home Loan Mortgage Corporation - 29.8%
FHLMC,
2.591%, 11/01/33 (09/15/2016)9,10			740,552		789,882
3.076%, 02/01/37 (09/15/2016)9			59,446		63,712

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

33

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal Home Loan Mortgage Corporation - 29.8% (continued)
FHLMC Gold Pool,
3.000%, 06/01/45	$	1,711,877	$	1,787,995
3.500%, 04/01/32 to 05/01/4310		7,023,497		7,454,715
3.500%, TBA 30 years11,12		9,700,000		10,213,799
4.000%, 09/01/31 to 07/01/4410		5,355,141		5,753,981
4.000%, TBA 30 years11,12		22,000,000		23,526,250
4.500%, 02/01/20 to 09/01/4110		2,600,761		2,832,373
5.000%, 05/01/18 to 06/01/4110		3,091,495		3,425,125
5.500%, 11/01/17 to 01/01/4010		2,840,737		3,181,316
6.000%, 09/01/17 to 01/01/2410		702,197		762,358
7.000%, 07/01/19		75,791		79,271
7.500%, 07/01/3410		756,335		937,760
Total Federal Home Loan Mortgage Corporation				60,808,537
Federal National Mortgage Association - 47.1%
FNMA,
2.340%, 06/01/34 (08/25/2016)9,10		575,781		597,951
2.500%, 02/01/43		766,396		775,947
2.603%, 08/01/34 (08/25/2016)9		259,625		274,974
3.000%, 03/01/43 to 04/01/4510		3,194,817		3,324,914
3.000%, TBA 30 years11,12		2,000,000		2,075,546
3.500%, 05/01/42 to 11/01/4510		13,119,162		13,917,188
3.500%, TBA 30 years11,12		12,100,000		12,752,265
3.500%, TBA 30 years11,12		14,510,000		15,310,316
4.000%, 01/01/26 to 11/01/4510		10,427,151		11,214,868
4.000%, TBA 30 years11,12		12,300,000		13,176,022
4.500%, 11/01/26 to 05/01/4610,11		7,077,698		7,760,289
4.500%, TBA 30 years12		400,000		436,623
4.500%, TBA 30 years11,12		7,000,000		7,636,524
4.750%, 07/01/34 to 09/01/34		273,685		304,683
5.000%, 06/01/18 to 11/01/39		229,944		251,852
5.500%, 03/01/17 to 08/01/4110		3,144,287		3,542,676
6.000%, 08/01/17 to 06/01/3910		1,269,082		1,410,710
6.500%, 07/01/32		62,714		64,253
7.000%, 11/01/2210		378,578		412,287
FNMA REMICS,
Series 1994-55, Class H, 7.000%, 03/25/2410		513,250		566,738
Series 2005-13, Class AF, 0.853%, 03/25/35 (07/25/2016)9,10		264,296		264,044
FNMA REMICS Whole Loan, Series 2003-W4, Class 4A, 6.922%, 10/25/424		63,576		74,700
Total Federal National Mortgage Association				96,145,370

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

34

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Government National Mortgage Association - 24.2%
GNMA,
3.000%, 11/15/42 to 06/20/45	$	3,992,879	$	4,187,723
3.000%, TBA 30 years11,12		3,200,000		3,345,812
3.500%, 08/15/43 to 11/20/4510		9,458,705		10,088,478
4.000%, 06/20/43 to 03/20/4610		11,391,953		12,318,950
4.000%, TBA 30 years11,12		1,872,864		2,021,231
4.000%, TBA 30 years11,12		1,300,000		1,396,688
4.000%, TBA 30 years11,12		2,100,000		2,244,703
4.500%, 05/15/39 to 02/15/4610		5,971,135		6,620,617
5.000%, 12/15/35 to 12/15/4510		5,053,157		5,684,534
5.500%, 10/15/39 to 11/15/3910		1,224,541		1,390,196
7.500%, 09/15/28 to 11/15/31		21,095		22,071
Total Government National Mortgage Association				49,321,003
Interest Only Strips - 0.9%
FHLMC,
Series 212, Class IO, 6.000%, 05/01/311,7		1,226		254
Series 233, Class 5, 4.500%, 09/15/35		79,790		11,809
FHLMC REMICS,
Series 2380, Class SI, 7.458%, 06/15/31 (07/15/2016)1,7,9		10,477		2,434
Series 2922, Class SE, 6.308%, 02/15/35 (07/15/2016)9		103,074		22,842
Series 2934, Class HI, 5.000%, 02/15/20		36,242		2,317
Series 2934, Class KI, 5.000%, 02/15/20		27,245		1,427
Series 2965, Class SA, 5.608%, 05/15/32 (07/15/2016)9		206,892		35,189
Series 2967, Class JI, 5.000%, 04/15/20		69,547		4,573
Series 2980, Class SL, 6.258%, 11/15/34 (07/15/2016)9		138,444		37,947
Series 3031, Class BI, 6.248%, 08/15/35 (07/15/2016)9		292,352		69,278
Series 3065, Class DI, 6.178%, 04/15/35 (07/15/2016)9		253,510		51,614
Series 3114, Class GI, 6.158%, 02/15/36 (07/15/2016)9		209,878		55,399
Series 3308, Class S, 6.758%, 03/15/32 (07/15/2016)9		198,359		43,425
Series 3424, Class XI, 6.128%, 05/15/36 (07/15/2016)9		223,917		46,741
Series 3489, Class SD, 7.358%, 06/15/32 (07/15/2016)9		115,522		27,594
Series 3606, Class SN, 5.808%, 12/15/39 (07/15/2016)9		276,420		50,335
Series 3685, Class EI, 5.000%, 03/15/19		144,539		3,893
Series 3731, Class IO, 5.000%, 07/15/19		70,751		2,455
Series 3882, Class AI, 5.000%, 06/15/26		134,319		7,039
FNMA,
Series 215, Class 2, 7.000%, 04/25/231,7		63,231		10,337
Series 222, Class 2, 7.000%, 06/25/231,7		6,313		1,057
Series 343, Class 21, 4.000%, 09/25/18		44,239		1,283
Series 343, Class 22, 4.000%, 11/25/18		24,210		702

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

35

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)

,	Principal Amount		Value
Interest Only Strips - 0.9% (continued)
FNMA,
Series 351, Class 3, 5.000%, 04/25/34	$	64,863	$	11,075
Series 351, Class 4, 5.000%, 04/25/34		37,927		6,665
Series 351, Class 5, 5.000%, 04/25/34		31,902		5,607
Series 365, Class 4, 5.000%, 04/25/36		83,513		14,679
FNMA REMICS,
Series 2004-49, Class SQ, 6.597%, 07/25/34 (07/25/2016)9		87,999		18,334
Series 2004-51, Class SX, 6.667%, 07/25/34 (07/25/2016)9		115,623		24,580
Series 2004-64, Class SW, 6.597%, 08/25/34 (07/25/2016)9		355,248		77,095
Series 2005-12, Class SC, 6.297%, 03/25/35 (07/25/2016)9		157,837		32,098
Series 2005-45, Class SR, 6.267%, 06/25/35 (07/25/2016)9		282,167		58,940
Series 2005-65, Class KI, 6.547%, 08/25/35 (07/25/2016)9,10		649,717		141,463
Series 2005-89, Class S, 6.247%, 10/25/35 (07/25/2016)9		648,895		130,909
Series 2006-3, Class SA, 5.697%, 03/25/36 (07/25/2016)9		135,715		25,661
Series 2007-75, Class JI, 6.092%, 08/25/37 (07/25/2016)9		133,504		26,602
Series 2008-86, Class IO, 4.500%, 03/25/23		138,828		4,731
Series 2009-31, Class PI, 5.000%, 11/25/38		865,076		131,781
Series 2010-37, Class GI, 5.000%, 04/25/25		127,692		3,591
Series 2010-65, Class IO, 5.000%, 09/25/20		260,186		13,097
Series 2010-121, Class IO, 5.000%, 10/25/25		88,556		3,954
Series 2011-69, Class AI, 5.000%, 05/25/18		172,235		4,842
Series 2011-88, Class WI, 3.500%, 09/25/26		309,826		30,853
Series 2011-124, Class IC, 3.500%, 09/25/21		259,517		12,638
Series 2012-126, Class SJ, 4.547%, 11/25/42 (07/25/2016)9		672,036		114,155
GNMA,
Series 2011-32, Class KS, 11.215%, 06/16/34 (07/16/2016)9		225,149		30,441
Series 2011-94, Class IS, 6.258%, 06/16/36 (07/16/2016)9		220,299		29,499
Series 2011-157, Class SG, 6.152%, 12/20/41 (07/20/2016)9		891,233		192,848
Series 2011-167, Class IO, 5.000%, 12/16/20		175,551		7,522
Series 2012-34, Class KS, 5.608%, 03/16/42 (07/16/2016)9		401,344		94,883
Series 2012-69, Class QI, 4.000%, 03/16/41		271,151		40,535
Series 2012-103, Class IB, 3.500%, 04/20/40		232,425		26,878
Series 2014-173, Class AI, 4.000%, 11/20/38		346,243		22,549
Total Interest Only Strips				1,828,449
Total U.S. Government and Agency Obligations (cost $203,873,562)				208,103,359

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

36

AMG Managers Intermediate Duration Government Fund

Schedule of Portfolio Investments (continued)

,	Principal Amount		Value
Short-Term Investments - 30.8%
U.S. Treasury Bills - 0.1%
U. S. Treasury Bills, 0.42%, 03/02/1713,14	$	110,000	$	109,712
	Shares
Other Investment Companies - 30.7%3
Dreyfus Government Cash Management Fund, 0.25%10		17,000,000		17,000,000
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39%10		16,620,202		16,620,202
JP Morgan US Government Money Market Fund, 0.30%		9,009,847		9,009,847
JPMorgan Liquid Assets Money Market Fund, Capital Shares, 0.37%		10,049,161		10,049,161
JPMorgan Prime Money Market Fund, Capital Shares, 0.41%		10,024,730		10,024,730
Total Other Investment Companies				62,703,940
Total Short-Term Investments (cost $62,813,609)				62,813,652
Total Investments - 143.6% (cost $289,028,338)				293,112,118
Other Assets, less Liabilities - (43.6)%				(89,015,833	)
Net Assets - 100.0%			$	204,096,285

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

37

AMG Managers Short Duration Government Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

Category	AMG Managers Short Duration Government Fund*
U.S. Government and Agency Obligations		84.0	%
Asset-Backed Securities		10.2	%
Mortgage-Backed Securities		2.0	%
TBA Forward Sale Commitments		(1.2	)%
Other Assets and Liabilities		5.0	%

* As a percentage of net assets.

Rating	AMG Managers Short Duration Government Fund***
U.S. Government and Agency Obligations		87.3	%
Aaa		12.7	%

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

TOP TEN HOLDINGS

Security Name	% of Net Assets
FNMA, 3.500%, 11/01/30**		4.3	%
GNMA, 6.000%, 01/15/36**		3.4
FNMA, 3.000%, TBA 15 years		2.5
FNMA, 5.500%, 05/01/34		2.5
American Residential Properties Trust, Series 2014-SFR1, Class
A, 1.546%, 09/17/31		2.5
FNMA, 4.500%, 04/01/35		2.4
FNMA, 4.000%, 02/01/41		2.4
FNMA, 2.811%, 04/01/37		2.3
FHLMC Gold Pool, 4.500%, 03/01/42		2.1
FNMA, 5.500%, 08/01/41		1.9
Top Ten as a Group		26.3	%

** Top Ten Holdings as of December 31, 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.

38

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Principal Amount		Value
Asset-Backed Securities - 10.2%
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.446%, 06/17/31 (07/17/16) (a)9	$	1,755,019	$	1,734,051
American Residential Properties Trust, Series 2014-SFR1, Class A, 1.546%, 09/17/31 (07/17/16) (a)9		5,950,938		5,870,262
AmeriCredit Automobile Receivables Trust, Series 2012-3, Class D, 3.030%, 07/09/18		1,000,000		1,004,291
Colony American Homes, Series 2014-2A, Class A, 1.401%, 07/17/31 (07/17/16) (a)9		1,713,279		1,687,614
Invitation Homes Trust,
Series 2013-SFR1, Class A, 1.596%, 12/17/30 (07/17/16) (a)9		998,580		994,232
Series 2014-SFR1, Class A, 1.446%, 06/17/31 (07/17/16) (a)9		977,239		962,136
Santander Drive Auto Receivables Trust,
Series 2012-2, Class D, 3.870%, 02/15/18		637,093		638,944
Series 2012-3, Class D, 3.640%, 05/15/18		3,552,151		3,577,859
Series 2012-4, Class C, 2.940%, 12/15/17		262,417		262,529
Series 2012-4, Class D, 3.500%, 06/15/18		3,790,000		3,826,438
Series 2012-6, Class D, 2.520%, 09/17/18		3,680,000		3,697,132
Total Asset-Backed Securities (cost $24,213,465)				24,255,488
Mortgage-Backed Securities - 2.0%
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW14, Class A1A, 5.189%, 12/11/38		1,557,480		1,567,135
Merrill Lynch Mortgage Investors Trust, Series 1998-C1, Class A3, 6.720%, 11/15/264		79,250		79,287
Morgan Stanley Capital I Trust, Series 2006-IQ12, Class A4, 5.332%, 12/15/43		1,095,889		1,098,748
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/48		1,908,175		1,916,352
Total Mortgage-Backed Securities (cost $4,764,740)				4,661,522
U.S. Government and Agency Obligations - 84.0%
Federal Home Loan Mortgage Corporation - 20.1%
FHLMC,
2.372%, 11/01/33 (09/15/16)9		824,121		865,502
2.469%, 10/01/33 (09/15/16)9		965,606		1,021,410
2.482%, 10/01/33 (09/15/16)9		1,484,352		1,565,743
2.552%, 05/01/34 (09/15/16)9		1,669,641		1,763,058
2.567%, 11/01/33 (09/15/16)9		875,877		931,461
2.600%, 12/01/33 (09/15/16)9		1,282,137		1,355,454
2.646%, 10/01/28 (09/15/16)9		26,961		28,509
2.788%, 04/01/34 (09/15/16)9		531,694		562,172
2.793%, 09/01/33 (09/15/16)9		1,627,281		1,716,551
2.886%, 03/01/34 (09/15/16)9		2,298,954		2,440,238
2.892%, 02/01/23 (09/15/16)9		146,103		153,944
3.006%, 06/01/35 (09/15/16)9		566,364		601,963
3.076%, 02/01/37 (09/15/16)9		709,955		760,902
3.178%, 05/01/35 (09/15/16)9		953,055		1,020,321
FHLMC Gold Pool,
3.000%, 04/01/31		2,915,952		3,071,168

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

39

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal Home Loan Mortgage Corporation - 20.1% (continued)
FHLMC Gold Pool,
4.500%, 05/01/19 to 03/01/42	$	10,909,572	$	11,866,931
5.000%, 10/01/18 to 08/01/20		1,427,284		1,477,154
5.500%, 08/01/24 to 08/01/40		7,737,813		8,727,564
6.000%, 02/01/22 to 01/01/24		3,547,872		3,862,960
6.500%, 03/01/18 to 10/01/23		228,646		244,551
7.000%, 06/01/17 to 07/01/19		82,223		85,302
7.500%, 04/01/29 to 03/01/33		259,027		312,523
FHLMC REMICS,
Series 2427, Class LW, 6.000%, 03/15/17		83,467		84,802
Series 2627, Class BM, 4.500%, 06/15/18		66,326		67,964
Series 2631, Class PD, 4.500%, 06/15/18		22,204		22,803
Series 2668, Class AZ, 4.000%, 09/15/18		381,866		390,098
Series 2682, Class LC, 4.500%, 07/15/32		198,460		199,732
Series 2683, Class JB, 4.000%, 09/15/18		241,044		245,942
Series 2684, Class PE, 5.000%, 01/15/33		13,405		13,421
Series 2786, Class BC, 4.000%, 04/15/19		92,072		94,845
Series 2809, Class UC, 4.000%, 06/15/19		97,413		100,000
Series 2877, Class PA, 5.500%, 07/15/33		85,405		88,009
Series 2935, Class LM, 4.500%, 02/15/35		256,171		260,931
Series 3033, Class CI, 5.500%, 01/15/35		151,925		156,394
Series 3535, Class CA, 4.000%, 05/15/24		77,678		79,410
Series 3609, Class LA, 4.000%, 12/15/24		296,729		305,419
Series 3632, Class AG, 4.000%, 06/15/38		210,888		218,362
Series 3653, Class JK, 5.000%, 11/15/38		202,322		215,143
Series 3756, Class DA, 1.200%, 11/15/18		311,728		312,289
Series 3798, Class BD, 2.500%, 06/15/24		317,940		318,759
Series 3818, Class UA, 1.350%, 02/15/17		56,286		56,317
Series 3827, Class CA, 1.500%, 04/15/17		38,780		38,777
Series 3846, Class CK, 1.500%, 09/15/20		66,517		66,636
Total Federal Home Loan Mortgage Corporation				47,771,434
Federal National Mortgage Association - 53.7%
FNMA,
2.175%, 09/01/33 (08/25/2016)9		856,647		905,217
2.185%, 02/01/33 (08/25/2016)9		1,067,596		1,107,471
2.217%, 08/01/33 (08/25/2016)9		408,421		424,248
2.340%, 06/01/34 (08/25/2016)9		722,371		750,186
2.396%, 01/01/34 (08/25/2016)9		609,875		642,121
2.457%, 12/01/33 (08/25/2016)9		462,508		483,941
2.480%, 06/01/35 (08/25/2016)9		121,435		129,295

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

40

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal National Mortgage Association - 53.7% (continued)
FNMA,
2.484%, 10/01/35 (08/25/2016)9	$	1,346,902	$	1,411,840
2.488%, 09/01/33 (08/25/2016)9		377,228		396,929
2.503%, 07/01/34 (08/25/2016)9		1,211,043		1,280,249
2.561%, 03/01/34 (08/25/2016)9		218,804		229,208
2.596%, 12/01/34 (08/25/2016)9		2,369,071		2,513,233
2.603%, 08/01/34 (08/25/2016)9		324,531		343,718
2.645%, 05/01/33 (08/25/2016)9		1,472,053		1,551,096
2.653%, 11/01/34 (08/25/2016)9		3,054,505		3,232,698
2.663%, 12/01/34 (08/25/2016)9		1,952,784		2,066,755
2.691%, 08/01/35 (08/25/2016)9		1,312,989		1,389,290
2.725%, 04/01/34 (08/25/2016)9		487,992		516,626
2.732%, 01/01/36 (08/25/2016)9		43,190		45,672
2.750%, 01/01/36 (08/25/2016)9		3,283,991		3,485,567
2.763%, 06/01/33 (08/25/2016)9		319,496		336,687
2.769%, 04/01/34 (08/25/2016)9		543,711		573,968
2.776%, 01/01/33 (08/25/2016)9		1,032,487		1,086,461
2.785%, 01/01/34 (08/25/2016)9		1,575,992		1,660,448
2.811%, 04/01/37 (08/25/2016)9,10		5,131,965		5,407,773
2.823%, 05/01/34 (08/25/2016)9		1,671,028		1,775,936
2.988%, 06/01/34 (08/25/2016)9		2,081,044		2,197,759
3.000%, TBA 15 years11,12		5,700,000		5,975,649
3.500%, 11/01/3010		9,521,218		10,249,643
4.000%, 10/01/21 to 06/01/42		7,480,379		8,106,442
4.500%, 10/01/19 to 10/01/44		14,912,365		16,362,854
5.000%, 10/01/19 to 01/01/41		11,867,087		13,014,403
5.500%, 05/01/34 to 08/01/41		12,659,295		14,530,631
6.000%, 09/01/21 to 08/01/37		7,515,896		8,445,072
6.500%, 04/01/17 to 08/01/32		3,449,123		4,064,943
7.000%, 11/01/22		1,411,049		1,536,692
7.500%, 08/01/33 to 09/01/33		63,179		79,436
FNMA Grantor Trust,
Series 2002-T5, Class A1, 0.693%, 05/25/32 (07/25/16)9		240,983		234,175
Series 2003-T4, Class 1A, 0.673%, 09/26/33 (07/26/16)9		13,709		13,607
FNMA REMICS,
Series 1994-31, Class ZC, 6.500%, 02/25/24		428,881		493,282
Series 1994-76, Class J, 5.001%, 04/25/24		105,317		108,134
Series 2001-63, Class FA, 0.998%, 12/18/31 (07/18/16)9		425,746		431,932
Series 2001-76, Class UD, 5.500%, 01/25/17		89,919		90,617
Series 2002-47, Class FD, 0.853%, 08/25/32 (07/25/16)9		451,736		452,178

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

41

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Federal National Mortgage Association - 53.7% (continued)
FNMA REMICS,
Series 2002-56, Class UC, 5.500%, 09/25/17	$	65,324	$	66,536
Series 2003-2, Class FA, 0.953%, 02/25/33 (07/25/16)9		382,533		384,440
Series 2003-3, Class HJ, 5.002%, 02/25/18		57,179		58,205
Series 2003-64, Class YA, 3.001%, 05/25/23		46,902		47,244
Series 2004-1, Class AC, 4.000%, 02/25/19		45,439		46,452
Series 2004-21, Class AE, 4.000%, 04/25/19		216,821		222,074
Series 2004-27, Class HB, 4.000%, 05/25/19		112,684		115,990
Series 2004-53, Class NC, 5.500%, 07/25/24		331,175		362,230
Series 2005-13, Class AF, 0.853%, 03/25/35 (07/25/16)9		492,675		492,205
Series 2005-19, Class PA, 5.500%, 07/25/34		185,893		198,920
Series 2005-58, Class EP, 5.500%, 07/25/35		257,277		285,361
Series 2005-68, Class PB, 5.750%, 07/25/35		43,026		45,654
Series 2005-68, Class PC, 5.500%, 07/25/35		262,098		278,295
Series 2006-18, Class PD, 5.500%, 08/25/34		9,340		9,369
Series 2007-56, Class FN, 0.823%, 06/25/37 (07/25/16)9		198,594		198,326
Series 2008-59, Class KB, 4.500%, 07/25/23		104,221		107,094
Series 2010-12, Class AC, 2.500%, 12/25/18		126,107		127,474
Series 2010-48, Class GV, 5.000%, 05/25/21		33,715		33,704
Series 2011-60, Class UC, 2.500%, 09/25/39		315,892		321,958
FNMA REMICS Whole Loan,
Series 2003-W1, Class 2A, 6.301%, 12/25/424		17,676		21,002
Series 2003-W4, Class 4A, 6.922%, 10/25/424		381,458		448,197
Series 2003-W13, Class AV2, 0.733%, 10/25/33 (07/25/16)7,9		18,434		17,801
Series 2004-W5, Class F1, 0.903%, 02/25/47 (07/25/16)9		439,498		435,115
Series 2004-W14, Class 1AF, 0.853%, 07/25/44 (07/25/16)9		1,793,409		1,736,711
Series 2005-W2, Class A1, 0.653%, 05/25/35 (07/25/16)9		1,114,513		1,103,448
Total Federal National Mortgage Association				127,297,887
Government National Mortgage Association - 4.3%
GNMA,
4.000%, 09/15/18		130,335		136,504
5.000%, 01/15/46		1,374,835		1,536,965
6.000%, 01/15/3610		6,885,468		8,118,416
9.500%, 12/15/17		374		376
Series 2000-36, Class F, 0.992%, 11/16/30 (07/16/16)9		483,491		486,517
Total Government National Mortgage Association				10,278,778
Interest Only Strips - 2.4%
FHLMC, Series 233, Class 5, 4.500%, 09/15/35		40,709		6,025

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

42

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Interest Only Strips - 2.4% (continued)
FHLMC REMICS,
Series 2922, Class SE, 6.308%, 02/15/35 (07/15/16)9	$	232,333	$	51,487
Series 2934, Class HI, 5.000%, 02/15/20		51,775		3,310
Series 2934, Class KI, 5.000%, 02/15/20		31,786		1,665
Series 2965, Class SA, 5.608%, 05/15/32 (07/15/16)9		512,289		87,133
Series 2967, Class JI, 5.000%, 04/15/20		163,658		10,762
Series 2980, Class SL, 6.258%, 11/15/34 (07/15/16)9		305,523		83,742
Series 2981, Class SU, 7.358%, 05/15/30 (07/15/16)9		249,682		52,868
Series 3031, Class BI, 6.248%, 08/15/35 (07/15/16)9		893,697		211,777
Series 3065, Class DI, 6.178%, 04/15/35 (07/15/16)9		774,960		157,779
Series 3114, Class GI, 6.158%, 02/15/36 (07/15/16)9		1,292,976		341,292
Series 3308, Class S, 6.758%, 03/15/32 (07/15/16)9		449,962		98,506
Series 3424, Class XI, 6.128%, 05/15/36 (07/15/16)9		583,261		121,751
Series 3489, Class SD, 7.358%, 06/15/32 (07/15/16)9		258,542		61,757
Series 3606, Class SN, 5.808%, 12/15/39 (07/15/16)9		735,889		134,004
Series 3685, Class EI, 5.000%, 03/15/19		322,754		8,693
Series 3731, Class IO, 5.000%, 07/15/19		160,490		5,568
Series 3882, Class AI, 5.000%, 06/15/26		107,433		5,630
FNMA,
Series 92, Class 2, 9.000%, 12/25/167		294		3
Series 306, Class IO, 8.000%, 05/25/307		70,142		19,453
Series 365, Class 4, 5.000%, 04/25/36		56,355		9,905
FNMA REMICS,
Series 2003-48, Class SJ, 5.547%, 06/25/18 (07/25/16)7,9		29,485		542
Series 2004-49, Class SQ, 6.597%, 07/25/34 (07/25/16)9		196,241		40,885
Series 2004-51, Class SX, 6.667%, 07/25/34 (07/25/16)9		290,183		61,689
Series 2004-64, Class SW, 6.597%, 08/25/34 (07/25/16)9		817,484		177,409
Series 2004-66, Class SE, 6.047%, 09/25/34 (07/25/16)9		131,925		26,572
Series 2005-5, Class SD, 6.247%, 01/25/35 (07/25/16)9		222,970		39,743
Series 2005-12, Class SC, 6.297%, 03/25/35 (07/25/16)9		301,575		61,329
Series 2005-45, Class SR, 6.267%, 06/25/35 (07/25/16)9		695,258		145,228
Series 2005-65, Class KI, 6.547%, 08/25/35 (07/25/16)9		1,620,458		352,824
Series 2005-66, Class GS, 6.397%, 07/25/20 (07/25/16)9		90,493		7,127
Series 2006-3, Class SA, 5.697%, 03/25/36 (07/25/16)9		314,099		59,391
Series 2007-75, Class JI, 6.092%, 08/25/37 (07/25/16)9		160,172		31,916
Series 2007-85, Class SI, 6.007%, 09/25/37 (07/25/16)9		334,401		70,047
Series 2008-86, Class IO, 4.500%, 03/25/23		347,512		11,842
Series 2008-87, Class AS, 7.197%, 07/25/33 (07/25/16)9		958,865		223,292
Series 2009-31, Class PI, 5.003%, 11/25/38		1,006,389		153,308
Series 2010-37, Class GI, 5.000%, 04/25/25		328,014		9,226

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

43

AMG Managers Short Duration Government Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Interest Only Strips - 2.4% (continued)
FNMA REMICS,
Series 2010-65, Class IO, 5.000%, 09/25/20	$	672,561	$	33,855
Series 2010-68, Class SJ, 6.097%, 07/25/40 (07/25/16)9		359,621		79,191
Series 2010-105, Class IO, 5.004%, 08/25/20		353,721		21,644
Series 2010-121, Class IO, 5.000%, 10/25/25		237,655		10,612
Series 2011-69, Class AI, 5.000%, 05/25/18		460,122		12,936
Series 2011-88, Class WI, 3.500%, 09/25/26		909,081		90,529
Series 2011-124, Class IC, 3.500%, 09/25/21		1,230,491		59,923
Series 2012-126, Class SJ, 4.547%, 11/25/42 (07/25/16)9		4,419,870		750,777
GNMA,
Series 2011-32, Class KS, 11.215%, 06/16/34 (07/16/16)9		546,990		73,956
Series 2011-94, Class IS, 6.258%, 06/16/36 (07/16/16)9		494,951		66,277
Series 2011-157, Class SG, 6.152%, 12/20/41 (07/20/16)9		1,180,223		255,381
Series 2011-167, Class IO, 5.000%, 12/16/20		1,033,899		44,302
Series 2012-34, Class KS, 5.608%, 03/16/42 (07/16/16)9		3,082,063		728,638
Series 2012-69, Class QI, 4.000%, 03/16/41		1,434,402		214,434
Series 2012-96, Class IC, 3.002%, 08/20/27		836,168		81,657
Series 2012-101, Class AI, 3.500%, 08/20/27		544,445		61,001
Series 2012-103, Class IB, 3.500%, 04/20/40		1,011,809		117,006
Series 2014-173, Class AI, 4.000%, 11/20/38		328,845		21,416
Total Interest Only Strips				5,669,015
U.S. Government Obligations - 3.5%
U.S. Treasury Inflation Indexed Bonds,
0.375%, 07/15/23		4,112,480		4,252,078
2.375%, 01/15/27		3,238,954		3,973,665
Total U.S. Government Obligations				8,225,743
Total U.S. Government and Agency Obligations (cost $192,614,753)				199,242,857
Short-Term Investments - 3.7%
U.S. Treasury Bills - 0.3%
U. S. Treasury Bills, 0.42%, 03/02/1713,14		780,000		777,960
	Shares
Other Investment Companies - 3.4%3
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39%		8,095,461		8,095,461
Total Short-Term Investments (cost $8,873,201)				8,873,421
Total Investments - 99.9% (cost $230,466,159)				237,033,288
Other Assets, less Liabilities - 0.1%				200,704
Net Assets - 100.0%			$	237,233,992

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

44

Notes to Schedules of Portfolio Investments (unaudited)

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

At June 30, 2016, 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	$	175,152,720	$	8,423,446	$	(2,006,445	)	$	6,417,001
AMG Chicago Equity Partners Small Cap Value Fund		11,824,170		1,002,574		(404,847	)		597,727
AMG Managers High Yield Fund		27,778,653		391,698		(1,926,639	)		(1,534,941	)
AMG Managers Intermediate Duration Government Fund		289,042,036		4,755,756		(685,674	)		4,070,082
AMG Managers Short Duration Government Fund		230,481,694		7,068,245		(516,651	)		6,551,594

^*  Non-income producing security.

^#  Less than 0.05%.

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2016, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers High Yield Fund	$	8,895,407		37.4	%
AMG Managers Intermediate Duration Government Fund		11,688,674		5.7	%
AMG Managers Short Duration Government Fund		11,248,295		4.7	%

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

¹  Some or all of these securities were out on loan to various brokers as of June 30, 2016, amounting to the following:

Fund	Market Value		% of Net Assets
AMG Chicago Equity Partners Balanced Fund	$	2,957,889		1.7	%
AMG Chicago Equity Partners Small Cap Value Fund		404,793		3.4	%
AMG Managers High Yield Fund		2,428,866		10.2	%

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

³  Yield shown represents the June 30, 2016, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

⁴  Variable Rate Security: The rate listed is as of June 30, 2016 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. The market value of illiquid securities at June 30, 2016, amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers High Yield Fund	$	782,122		3.3	%
AMG Managers Intermediate Duration Government Fund		386,598		0.2	%
AMG Managers Short Duration Government Fund		37,799		0.0	%

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 June 30, 2016. Date in parentheses represents the security’s next coupon rate reset.

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

45

Notes to Schedules of Portfolio Investments (continued)

¹⁰  Some or all of these securities are segregated as collateral for delayed delivery agreements. At June 30, 2016, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers Intermediate Duration Government Fund	$	94,600,018		46.3	%
AMG Managers Short Duration Government Fund		23,775,832		10.0	%

¹¹  All or part of the security is delayed delivery transaction. The market value for delayed delivery securities at June 30, 2016, amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers Intermediate Duration Government Fund	$	94,600,018		46.3	%
AMG Managers Short Duration Government Fund		5,975,649		2.5	%

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 June 30, 2016.

¹⁴  Some or all of this security is held as collateral for futures contracts. The market value of collateral at June 30, 2016, amounted to the following:

Fund	Market Value		% of Net Assets
AMG Managers Intermediate Duration Government Fund	$	109,712		0.1	%
AMG Managers Short Duration Government Fund		777,960		0.3	%

¹⁵  This security is restricted and not available for re-sale. The security was received as part of a corporate action on January 22, 2016.

The following tables summarize the inputs used to value the Funds’ investments by the fair value hierarchy levels as of June 30, 2016: (See Note 1(a) in the Notes to the Financial Statements.)

	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Chicago Equity Partners Balanced Fund
Investments in Securities
Common Stocks†	$	96,610,624		—		—	$	96,610,624
Rights		—		—	$	7		7
Corporate Bonds and Notes††		—	$	7,773,796		—		7,773,796
U.S. Government and Agency Obligations††		—		72,957,013		—		72,957,013
Short-Term Investments
Repurchase Agreements		—		3,001,707		—		3,001,707
Other Investment Companies		1,226,574		—		—		1,226,574
Total Investments in Securities	$	97,837,198	$	83,732,516	$	7	$	181,569,721

At June 30, 2016, the Level 3 securities are Rights received as a result of a corporate action.

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

46

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 Chicago Equity Partners Small Cap Value Fund
Investments in Securities
Common Stocks†	$	11,807,951		—		—	$	11,807,951
Short-Term Investments
Repurchase Agreements		—	$	417,455		—		417,455
Other Investment Companies		196,491		—		—		196,491
Total Investments in Securities	$	12,004,442	$	417,455		—	$	12,421,897

	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Managers High Yield Fund
Investments in Securities
Corporate Bonds and Notes
Industrials		—	$	20,781,802	$	174,652	$	20,956,454
Financials		—		1,288,004		—		1,288,004
Utilities		—		148,577		—		148,577
Floating Rate Senior Loan Interests		—		666,439		390,696		1,057,135
Common Stocks
Industrials		—		—		85,396		85,396
Short-Term Investments
Repurchase Agreements		—		2,499,693		—		2,499,693
Other Investment Companies	$	208,453		—		—		208,453
Total Investments in Securities	$	208,453	$	25,384,515	$	650,744	$	26,243,712

The following table below is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at June 30, 2016:

	Common Stock		Corporate Bond			Floating Rate Senior Loan Interests*			Total
AMG Managers High Yield Fund
Balance as of December 31, 2015	$	81,252	$	170,713		$	700,083		$	952,048
Accrued discounts (premiums)		—		769			875			1,644
Realized gain (loss)		—		—			698			698
Change in unrealized appreciation (depreciation)		4,144		(890	)		(9,425	)		(6,171	)
Purchases		—		4,357			8,220			12,577
Sales		—		(297	)		(20,023	)		(20,320	)
Transfers in to Level 3		—		—			44,997			44,997
Transfers out of Level 3		—		—			(334,729	)		(334,729	)
Balance as of June 30, 2016	$	85,396	$	174,652		$	390,696		$	650,744
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2016	$	4,144	$	(890	)	$	(9,425	)	$	(6,171	)

^*  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.

47

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 June 30, 2016. The table below is not intended to be all-inclusive, but rather provides information on the significant Level 3 inputs as they relate to the Fund’s fair value measurements:

Quantitative Information about Level 3 Fair Value Measurements
	Fair Value as of June 30, 2016		Valuation Technique(s)	Unobservable Inputs	Range		Average
AMG Managers High Yield Fund
Common Stocks	$	85,396	Enterprise Value	EV Multiple, Discount		7.7-9.0		8.25
Corporate Bonds		174,636	Enterprise Value	EV Multiple, Discount		7.7-9.0		8.25
Corporate Bonds		16	Broker Quote	Price		n/a		n/a
Floating Rate Senior Loan Interests		390,696	Unadjusted Price from Third Party	Price		n/a		n/a
Total	$	650,744

	Quoted Prices in Active Markets for Identical Investments Level 1			Significant Other Observable Inputs Level 2			Significant Unobservable Inputs Level 3		Total
AMG Managers Intermediate Duration Government Fund
Investments in Securities
Asset-Backed Securities		—		$	11,316,157			—	$	11,316,157
Mortgage-Backed Securities		—			10,878,950			—		10,878,950
U.S. Government and Agency Obligations
Federal Home Loan Mortgage Corporation		—			60,808,537			—		60,808,537
Federal National Mortgage Association		—			96,145,370			—		96,145,370
Government National Mortgage Association		—			47,299,772		$	2,021,231		49,321,003
Interest Only Strips		—			1,828,449			—		1,828,449
Short-Term Investments
U.S. Treasury Bills		—			109,712			—		109,712
Other Investment Companies	$	62,703,940			—			—		62,703,940
Total Investments in Securities	$	62,703,940		$	228,386,947		$	2,021,231	$	293,112,118
TBA Sale Commitments				$	(5,105,435	)		—	$	(5,105,435	)
Financial Derivative Instruments-Assets†††
Futures contracts	$	36,096			—			—	$	36,096
Financial Derivative Instruments-Liabilities†††
Futures contracts		(151,702	)		—			—		(151,702	)
Total Financial Derivative Instruments	$	(115,606	)		—			—	$	(115,606	)

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

48

Notes to Schedules of Portfolio Investments (continued)

The following table below is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at June 30, 2016:

	U.S. Government and Agency Obligations
AMG Managers Intermediate Duration Government Fund
Balance as of December 31, 2015		—
Accrued discounts (premiums)		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		—
Purchases	$	2,021,231
Sales		—
Transfers in to Level 3		—
Transfers out of Level 3		—
Balance as of June 30, 2016	$	2,021,231
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2016	$	—

The Fund’s investment that is categorized as Level 3 is valued utilizing the recent transaction price. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investment.

	Quoted Prices in Active Markets for Identical Investments Level 1			Significant Other Observable Inputs Level 2				Significant Unobservable Inputs Level 3		Total
AMG Managers Short Duration Government Fund
Investments in Securities
Asset-Backed Securities		—		$	24,255,488				—	$	24,255,488
Mortgage-Backed Securities		—			4,661,522				—		4,661,522
U.S. Government and Agency Obligations††		—			199,242,857				—		199,242,857
Short-Term Investments
U.S. Treasury Bills		—			777,960				—		777,960
Other Investment Companies	$	8,095,461			—		��		—		8,095,461
Total Investments in Securities	$	8,095,461		$	228,937,827				—	$	237,033,288
TBA Sale Commitments		—		$	(2,937,266	)			—	$	(2,937,266	)
Financial Derivative Instruments-Assets†††
Futures	$	198,370			—				—	$	198,370
Financial Derivative Instruments-Liabilities†††
Futures		(1,219,098	)		—				—		(1,219,098	)
Total Financial Derivative Instruments	$	(1,020,728	)		—				—	$	(1,020,728	)

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

^††  All corporate bonds and notes and U.S. government and agency obligations held in the AMG Chicago Equity Partners Balanced Fund and AMG Managers Short Duration Government Fund are Level 2 securities. For a detailed breakout of the corporate bonds and notes and U.S. government and agency obligations; by major industry or agency classification, please refer to the respective Schedule of Portfolio Investments.

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

As of June 30, 2016, the Funds had no significant transfers between Levels 1 and 2 from the beginning of the reporting period.

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

49

Notes to Schedules of Portfolio Investments (continued)

The following schedule shows the value of derivative instruments at June 30, 2016:

		Asset Derivatives			Liability Derivatives
Fund	Derivatives not accounted for as hedging instruments	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
AMG Managers Intermediate Duration Government Fund
	Interest rate contracts	Receivable for variation margin1	$	6,734	Payable for variation margin1	$	2,859

		Asset Derivatives			Liability Derivatives
Fund	Derivatives not accounted for as hedging instruments	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
AMG Managers Short Duration Government Fund
	Interest rate contracts	Receivable for variation margin1	$	31,844	Payable for variation margin1	$	31,641

¹  Only current day’s variation margin is reported within the Statement of Assets and Liabilities. The variation margin is included in the open futures cumulative depreciation for AMG Managers Intermediate Duration Government Fund and AMG Managers Short Duration Government Fund of $(115,606) and $(1,020,728), respectively, as reported in the Notes to Schedules of Portfolio Investments.

For the six months ended June 30, 2016, 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 was as follows:

		Realized Gain (Loss)			Change in Unrealized Gain (Loss)
Fund	Derivatives not accounted for as hedging instruments	Statement of Operations Location	Realized Gain/(Loss)		Statement of Operations Location	Change in Unrealized Gain/(Loss)
AMG Managers Intermediate Duration Government Fund
	Interest rate contracts	Net realized loss on futures contracts	$	242,506	Net change in unrealized appreciation (depreciation) of futures contracts	$	(101,586	)

		Realized Gain (Loss)			Change in Unrealized Gain (Loss)
Fund	Derivatives not accounted for as hedging instruments	Statement of Operations Location	Realized Gain/(Loss)		Statement of Operations Location	Change in Unrealized Gain/(Loss)
AMG Managers Short Duration Government Fund
	Interest rate contracts	Net realized loss on futures contracts	$	2,348,380	Net change in unrealized appreciation (depreciation) of futures contracts	$	(1,040,425	)

At June 30, 2016, the following Funds had TBA forward sale commitments:

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

AMG Managers Intermediate Duration Government Fund

Security	Principal Amount		Settlement Date			Current Liability		Proceeds
FNMA, 4.000%, TBA 30 years	$	2,500,000		07/14/16		$	2,637,891	$	(2,610,742	)
FNMA, 4.500%, TBA 30 years		400,000		07/14/16			436,622		(435,875	)
GNMA, 4.000%, TBA 30 years		1,900,000		07/20/16			2,030,922		(2,028,250	)
					Totals	$	5,105,435	$	(5,074,867	)

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

50

Notes to Schedules of Portfolio Investments (continued)

AMG Managers Short Duration Government Fund

Security	Principal Amount		Settlement Date			Current Liability		Proceeds
FHLMC Gold Pool, 3.000%, TBA 15 years		2,800,000		07/19/16		$	2,937,266	$	(2,925,671	)
					Totals	$	2,937,266	$	(2,925,671	)

At June 30, 2016, 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		10/05/16	$	(4,601	)
5-Year Interest Rate Swap		23		Short		09/19/16		(34,722	)
5-Year U.S. Treasury Note		5		Short		10/05/16		(11,224	)
10-Year Interest Rate Swap		34		Short		09/19/16		(101,155	)
10-Year U.S. Treasury Bond		3		Long		09/30/16		10,820
U.S. Ultra Bond CBT Sep16		2		Long		09/30/16		25,276
						Total	$	(115,606	)

AMG Managers Short Duration Government Fund

Type	Number of Contracts		Position		Expiration Date		Unrealized Gain/(Loss)
2-Year U.S. Treasury Note		190		Short		10/05/16	$	(243,381	)
5-Year Interest Rate Swap		406		Short		09/19/16		(595,094	)
5-Year U.S. Treasury Note		8		Short		10/05/16		(17,958	)
10-Year Interest Rate Swap		20		Short		09/19/16		(59,174	)
10-Year U.S. Treasury Bond		55		Long		09/30/16		198,370
U.S. Ultra Bond CBT Sep16		24		Short		09/30/16		(303,491	)
						Total	$	(1,020,728	)

INVESTMENTS DEFINITIONS AND ABBREVIATIONS:

CMBS:	Commercial Mortgage-Backed Securities
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

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.

51

Statement of Assets and Liabilities (unaudited)

June 30, 2016

	AMG Chicago Equity Partners Balanced Fund			AMG Chicago Equity Partners Small Cap Value Fund			AMG Managers High Yield Fund
Assets:
Investments at value* (including securities on loan valued at $2,957,889, $404,793 and $2,428,866, respectively)	$	178,568,014		$	12,004,442		$	23,744,019
Repurchase Agreements at value**		3,001,707			417,455			2,499,693
Receivable for investments sold		3,229,906			291,968			15,093
Receivable for Fund shares sold		374,558			37,447			8,591
Dividends, interest and other receivables		460,127			17,743			449,653
Receivable from affiliate		27,159			7,501			13,013
Prepaid expenses		33,125			21,432			19,160
Total assets		185,694,596			12,797,988			26,749,222
Liabilities:
Payable for investments purchased		2,874,561			312,069			43,098
Payable upon return of securities loaned		3,001,707			417,455			2,499,693
Payable for Fund shares repurchased		682,942			156,733			321,372
Payable to affiliate		—			47,346			—
Accrued expenses:
Investment advisory and management fees		102,290			6,014			13,892
Administrative fees		29,226			2,425			3,969
Distribution fees - Investor Class		20,463			3			4,435
Shareholder servicing fees - Investor Class		—			2			—
Shareholder servicing fees - Service Class		5,974			491			—
Trustees fees and expenses		275			8			18
Other		63,166			30,718			72,959
Total liabilities		6,780,604			973,264			2,959,436
Net Assets	$	178,913,992		$	11,824,724		$	23,789,786
Net Assets Represent:
Paid-in capital	$	174,120,077		$	12,553,037		$	28,424,722
Undistributed net investment income		112,408			72,919			42,906
Accumulated net realized loss from investments		(2,122,251	)		(1,403,826	)		(3,228,971	)
Net unrealized appreciation (depreciation) of investments		6,803,758			602,594			(1,448,871	)
Net Assets	$	178,913,992		$	11,824,724		$	23,789,786
*  Investments at cost	$	171,764,257		$	11,401,848		$	25,192,890
**Repurchase agreements at cost	$	3,001,707		$	417,455		$	2,499,693

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

52

Statement of Assets and Liabilities (continued)

	AMG Chicago Equity Partners Balanced Fund		AMG Chicago Equity Partners Small Cap Value Fund		AMG Managers High Yield Fund
Investor Class Shares:
Net Assets	$	100,291,060	$	15,412	$	21,204,990
Shares outstanding		6,623,859		1,575		2,866,123
Net asset value, offering and redemption price per share	$	15.14	$	9.79	$	7.40
Service Class Shares:
Net Assets	$	73,202,852	$	10,285,520		n/a
Shares outstanding		4,791,840		1,054,504		n/a
Net asset value, offering and redemption price per share	$	15.28	$	9.75		n/a
Institutional Class Shares:
Net Assets	$	5,420,080	$	1,523,792	$	2,584,796
Shares outstanding		354,894		156,086		345,784
Net asset value, offering and redemption price per share	$	15.27	$	9.76	$	7.48

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

53

Statement of Assets and Liabilities (continued)

	AMG Managers Intermediate Duration Government Fund			AMG Managers Short Duration Government Fund
Assets:
Investments at value*	$	293,112,118		$	237,033,288
Receivable for delayed delivery investments sold		77,534,970			9,130,904
Receivable for paydowns		24,979			147,274
Dividends, interest and other receivables		571,970			784,648
Receivable for Fund shares sold		228,215			142,550
Receivable from affiliate		6,105			—
Receivable for variation margin		6,734			31,844
Prepaid expenses		15,053			12,547
Total assets		371,500,144			247,283,055
Liabilities:
Payable for cash collateral on TBA’s		269,000			—
Payable for delayed delivery investments purchased		161,312,960			6,191,491
TBA sale commitments at value (proceeds receivable of $5,074,867 and $2,925,671,respectively)		5,105,435			2,937,266
Payable for Fund shares repurchased		473,685			616,804
Payable for investments purchased		8,520			—
Payable for variation margin		2,859			31,641
Accrued expenses:
Investment advisory and management fees		116,926			142,727
Shareholder servicing fees		16,704			300
Trustees fees and expenses		541			8
Other		97,229			128,826
Total liabilities		167,403,859			10,049,063
Net Assets	$	204,096,285		$	237,233,992
Net Assets Represent:
Paid-in capital	$	200,902,747		$	240,828,854
Undistributed net investment income		71,891			493,685
Accumulated net realized loss from investments and futures contracts		(815,959	)		(9,623,353	)
Net unrealized appreciation of investments and futures contracts		3,937,606			5,534,806
Net Assets	$	204,096,285		$	237,233,992
Shares outstanding		18,505,104			24,640,655
Net asset value, offering and redemption price per share	$	11.03		$	9.63
* Investments at cost	$	289,028,338		$	230,466,159

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

54

Statement of Operations (unaudited)

For the six months ended June 30, 2016

	AMG Chicago Equity Partners Balanced Fund			AMG Chicago Equity Partners Small Cap Value Fund			AMG Managers High Yield Fund			AMG Managers Intermediate Duration Government Fund			AMG Managers Short Duration Government Fund
Investment Income:
Dividend income	$	1,034,576		$	129,547		$	531		$	92,470		$	12,626
Interest income		713,903			—			909,261			2,026,482			2,594,341
Securities lending income		12,744			4,272			10,355			—			—
Total investment income		1,761,223			133,819			920,147			2,118,952			2,606,967
Expenses:
Investment advisory and management fees		590,886			36,024			90,871			701,113			1,074,787
Administrative fees		168,824			14,526			25,963			—			—
Distribution fees - Investor Class		121,338			20			29,353			—			—
Shareholder servicing fees - Investor Class		—			12			—			—			—
Shareholder servicing fees - Service Class		33,734			6,458			—			—			—
Shareholder servicing fees		—			—			—			100,159			1,820
Custodian fees		33,932			7,344			31,564			39,140			49,308
Professional fees		21,291			11,025			26,691			30,066			35,682
Registration fees		17,986			16,782			8,397			7,747			8,199
Transfer agent fees		10,254			3,272			5,641			10,997			10,068
Reports to shareholders		9,783			5,668			6,757			17,410			37,250
Trustees fees and expenses		5,968			457			1,053			7,546			13,161
Miscellaneous		2,303			997			931			2,331			3,849
Total expenses before offsets/reductions		1,016,299			102,585			227,221			916,509			1,234,124
Expense reimbursements		(152,165	)		(40,890	)		(81,012	)		(25,094	)		—
Expense reductions		(10,753	)		(795	)		—			—			—
Fee waivers		—			—			—			(8,668	)		—
Net expenses		853,381			60,900			146,209			882,747			1,234,124
Net investment income		907,842			72,919			773,938			1,236,205			1,372,843
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		(1,147,303	)		(401,116	)		(1,065,166	)		1,967,012			1,911,233
Net realized loss on futures contracts		—			—			—			(242,506	)		(2,348,380	)
Net change in unrealized appreciation (depreciation) of investments		4,284,151			795,927			2,214,836			2,512,319			1,584,056
Net change in unrealized appreciation (depreciation) of futures contracts		—			—			—			(101,586	)		(1,040,425	)
Net realized and unrealized gain		3,136,848			394,811			1,149,670			4,135,239			106,484
Net increase in net assets resulting from operations	$	4,044,690		$	467,730		$	1,923,608		$	5,371,444		$	1,479,327

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

55

Statements of Changes in Net Assets

For the six months ended June 30, 2016 (unaudited) and the year ended December 31, 2015

	AMG Chicago Equity Partners Balanced Fund						AMG Chicago Equity Small Cap Value Fund*						AMG Managers High Yield Fund
	June 30, 2016			December 31, 2015			June 30, 2016			December 31, 2015			June 30, 2016			December 31, 2015
Increase (Decrease) in Net Assets
Resulting From Operations:
Net investment income	$	907,842		$	681,498		$	72,919		$	97,792		$	773,938		$	1,890,731
Net realized gain (loss) on investments		(1,147,303	)		2,473,703			(401,116	)		(999,755	)		(1,065,166	)		(45,820	)
Net change in unrealized appreciation (depreciation) of investments		4,284,151			(1,434,299	)		795,927			(193,333	)		2,214,836			(3,262,411	)
Net increase (decrease) in net assets resulting from operations		4,044,690			1,720,902			467,730			(1,095,296	)		1,923,608			(1,417,500	)
Distributions to Shareholders:
From net investment income:
Investor Class		(412,625	)		(520,943	)		—			—			(681,027	)		(1,716,173	)
Service Class		(345,130	)		(326,230	)		—			(87,485	)		—			—
Institutional Class		(26,565	)		(45,707	)		—			(14,054	)		(74,686	)		(169,087	)
From net realized gain on investments:
Investor Class		—			(2,381,784	)		—			—			—			—
Service Class		—			(1,556,354	)		—			—			—			—
Institutional Class		—			(43,342	)		—			—			—			—
Total distributions to shareholders		(784,320	)		(4,874,360	)		—			(101,539	)		(755,713	)		(1,885,260	)
Capital Share Transactions:1
Net increase (decrease) from capital share transactions		18,670,599			91,503,363			(1,353,190	)		13,907,019			(6,822,545	)		(5,092,769	)
Total increase (decrease) in net assets		21,930,969			88,349,905			(885,460	)		12,710,184			(5,654,650	)		(8,395,529	)
Net Assets:
Beginning of period		156,983,023			68,633,118			12,710,184			—			29,444,436			37,839,965
End of period	$	178,913,992		$	156,983,023		$	11,824,724		$	12,710,184		$	23,789,786		$	29,444,436
End of period (distributions in excess of) undistributed net investment income	$	112,408		$	(11,114	)	$	72,919			—		$	42,906		$	24,681

^*  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.

56

Statements of Changes in Net Assets (continued)

For the six months ended Jun 30, 2016 (unaudited) and the year ended December 31, 2015

	AMG Managers Intermediate Duration Government Fund						AMG Managers Short Duration Government Fund
	June 30,			December 31,			June 30,			December 31,
	2016			2015			2016			2015
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	1,236,205		$	1,878,230		$	1,372,843		$	941,736
Net realized gain (loss) on investments and futures contracts		1,724,506			1,637,304			(437,147	)		(862,542	)
Net change in unrealized appreciation (depreciation) of investments and futures contracts		2,410,733			(1,603,350	)		543,631			(616,502	)
Net increase (decrease) in net assets resulting from operations		5,371,444			1,912,184			1,479,327			(537,308	)
Distributions to Shareholders:
From net investment income		(1,329,931	)		(1,715,923	)		(1,203,662	)		(613,266	)
From net realized gain on investments		—			(2,980,423	)		—			—
Total distributions to shareholders		(1,329,931	)		(4,696,346	)		(1,203,662	)		(613,266	)
Capital Share Transactions:
Proceeds from sale of shares		39,837,780			80,828,756			41,454,382			247,057,885
Reinvestment of dividends and distributions		1,207,097			4,309,750			1,006,693			544,398
Cost of shares repurchased		(33,029,581	)		(64,452,490	)		(200,809,003	)		(236,391,813	)
Net increase (decrease) from capital share transactions		8,015,296			20,686,016			(158,347,928	)		11,210,470
Total increase (decrease) in net assets		12,056,809			17,901,854			(158,072,263	)		10,059,896
Net Assets:
Beginning of period		192,039,476			174,137,622			395,306,255			385,246,359
End of period	$	204,096,285		$	192,039,476		$	237,233,992		$	395,306,255
End of period undistributed net investment income	$	71,891		$	165,617		$	493,685		$	324,504
Share Transactions:
Sale of shares		3,640,752			7,332,604			4,303,746			25,577,569
Reinvested shares from dividends and distributions		110,313			396,581			104,519			56,336
Shares repurchased		(3,017,920	)		(5,851,649	)		(20,854,799	)		(24,480,608	)
Net increase (decrease) in shares		733,145			1,877,536			(16,446,534	)		1,153,297

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

57

AMG Chicago Equity Partners Balanced Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016
				For the years ended December 31,
Investor Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	14.92		$	15.09		$	15.13		$	14.19		$	13.70		$	13.49
Income from Investment Operations:
Net investment income1,2		0.07			0.10	17		0.11			0.10	4		0.18			0.18
Net realized and unrealized gain on investments		0.21			0.23			1.37			2.33			1.16			0.69
Total income from investment operations		0.28			0.33			1.48			2.43			1.34			0.87
Less Distributions to Shareholders from:
Net investment income		(0.06	)		(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		(0.06	)		(0.50	)		(1.52	)		(1.49	)		(0.85	)		(0.66	)
Net Asset Value, End of Period	$	15.14		$	14.92		$	15.09		$	15.13		$	14.19		$	13.70
Total Return1		1.90	%15		2.19	%		9.69	%		17.14	%		9.86	%		6.45	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.08	%16		1.08	%		1.07	%		1.10	%5		1.17	%6,7		1.24	%
Ratio of expenses to average net assets (with offsets)		1.09	%16		1.09	%		1.09	%		1.11	%5		1.18	%6		1.25	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.27	%16		1.36	%		1.40	%		1.55	%5		1.52	%6		1.70	%
Ratio of net investment income to average net assets1		1.01	%16		0.64	%		0.70	%		0.62	%5		1.21	%6		1.27	%
Portfolio turnover		65	%15		105	%		92	%		90	%		110	%		94	%
Net assets at end of period (000’s omitted)	$	100,291		$	94,476		$	41,751		$	33,151		$	26,047		$	17,519

	For the six months ended June 30, 2016			For the years ended December 31,									For the period ended December 1, 2012 through
Service Class	(unaudited)			2015			2014			2013			December 31, 2012*
Net Asset Value, Beginning of Period	$	15.05		$	15.23		$	15.26		$	14.30		$	15.11
Income from Investment Operations:
Net investment income1,2		0.09			0.12	17		0.15			0.13	4		0.02
Net realized and unrealized gain (loss) on investments		0.21			0.23			1.37			2.36			(0.08	)
Total income (loss) from investment operations		0.30			0.35			1.52			2.49			(0.06	)
Less Distributions to Shareholders from:
Net investment income		(0.07	)		(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		(0.07	)		(0.53	)		(1.55	)		(1.53	)		(0.75	)
Net Asset Value, End of Period	$	15.28		$	15.05		$	15.23		$	15.26		$	14.30
Total Return1		2.03	%15		2.29	%		9.93	%		17.45	%8		(0.36	)%8,15
Ratio of net expenses to average net assets (with offsets/reductions)		0.93	%16		0.93	%		0.86	%		0.92	%5		0.82	%6,16
Ratio of expenses to average net assets (with offsets)		0.94	%16		0.94	%		0.88	%		0.93	%5		0.83	%6,16
Ratio of total expenses to average net assets (without offsets/reductions)3		1.12	%16		1.21	%		1.20	%		1.39	%5		1.62	%6,16
Ratio of net investment income to average net assets1		1.16	%16		0.80	%		0.91	%		0.83	%5		1.90	%6,16
Portfolio turnover		65	%15		105	%		92	%		90	%		110	%15
Net assets at end of period (000’s omitted)	$	73,203		$	60,798		$	14,481		$	1,581		$	9

58

AMG Chicago Equity Partners Balanced Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016
				For the years ended December 31,
Institutional Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	15.05		$	15.22		$	15.26		$	14.31		$	13.82		$	13.60
Income from Investment Operations:
Net investment income1,2		0.10			0.14	17		0.15			0.14	4		0.21			0.21
Net realized and unrealized gain on investments		0.20			0.23			1.38			2.35			1.18			0.71
Total income from investment operations		0.30			0.37			1.53			2.49			1.39			0.92
Less Distributions to Shareholders from:
Net investment income		(0.08	)		(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		(0.08	)		(0.54	)		(1.57	)		(1.54	)		(0.90	)		(0.70	)
Net Asset Value, End of Period	$	15.27		$	15.05		$	15.22		$	15.26		$	14.31		$	13.82
Total Return1		2.01	%15		2.44	%		9.97	%		17.45	%		10.09	%		6.77	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.83	%16		0.83	%		0.82	%		0.85	%5		0.92	%6,7		0.99	%
Ratio of expenses to average net assets (with offsets)		0.84	%16		0.84	%		0.84	%		0.86	%5		0.93	%6		1.00	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.02	%16		1.09	%		1.15	%		1.30	%5		1.27	%6		1.45	%
Ratio of net investment income to average net assets1		1.30	%15		0.89	%		0.95	%		0.88	%5		1.46	%6		1.52	%
Portfolio turnover		65	%15		105	%		92	%		90	%		110	%		94	%
Net assets at end of period (000’s omitted)	$	5,420		$	1,709		$	12,401		$	11,122		$	9,601		$	8,885

59

AMG Chicago Equity Partners Small Cap Value Fund

Financial Highlights

For a share outstanding throughout each period

Investor Class	For the six months ended June 30, 2016 (unaudited)			For the period ended December 31, 2015**
Net Asset Value, Beginning of Period	$	9.39		$	10.00
Income from Investment Operations:
Net investment Income (loss)1,2		0.04			(0.08	)17
Net realized and unrealized gain (loss) on investments		0.36			(0.53	)
Total income (loss) from investment operations		0.40			(0.61	)
Net Asset Value, End of Period	$	9.79		$	9.39
Total Return1		4.26	%15		(6.10	)%15
Ratio of net expenses to average net assets (with offsets/reductions)		1.33	%16		1.32	%16
Ratio of expenses to average net assets (with offsets)		1.34	%16		1.35	%16
Ratio of total expenses to average net assets (without offsets/reductions)3		2.05	%16		2.34	%16
Ratio of net investment income (loss) to average net assets1		0.97	%16		(0.77	)%16
Portfolio turnover		70	%15		138	%15
Net assets at end of period (000’s omitted)	$	15		$	16

Service Class	For the six months ended June 30, 2016 (unaudited)			For the period ended December 31, 2015**
Net Asset Value, Beginning of Period	$	9.35		$	10.00
Income from Investment Operations:
Net investment income1,2		0.06			0.10	17
Net realized and unrealized gain (loss) on investments		0.34			(0.68	)
Total income (loss) from investment operations		0.40			(0.58	)
Less Distributions to Shareholders from:
Net investment income		—			(0.07	)
Net Asset Value, End of Period	$	9.75		$	9.35
Total Return1		4.28	%15		(5.77	)%15
Ratio of net expenses to average net assets (with offsets/reductions)		1.07	%16		1.03	%16
Ratio of expenses to average net assets (with offsets)		1.08	%16		1.06	%16
Ratio of total expenses to average net assets (without offsets/reductions)3		1.78	%16		1.85	%16
Ratio of net investment income to average net assets1		1.24	%16		0.98	%16
Portfolio turnover		70	%15		138	%15
Net assets at end of period (000’s omitted)	$	10,286		$	11,085

60

AMG Chicago Equity Partners Small Cap Value Fund

Financial Highlights

For a share outstanding throughout each period

Institutional Class	For the six months ended June 30, 2016 (unaudited)			For the period ended December 31, 2015**
Net Asset Value, Beginning of Period	$	9.35		$	10.00
Income from Investment Operations:
Net investment income1,2		0.06			0.11	17
Net realized and unrealized gain (loss) on investments		0.35			(0.68	)
Total income (loss) from investment operations		0.41			(0.57	)
Less Distributions to Shareholders from:
Net investment income		—			(0.08	)
Net Asset Value, End of Period	$	9.76		$	9.35
Total Return1		4.39	%15		(5.69	)%15
Ratio of net expenses to average net assets (with offsets/reductions)		0.94	%16		0.92	%16
Ratio of expenses to average net assets (with offsets)		0.95	%16		0.95	%16
Ratio of total expenses to average net assets (without offsets/reductions)3		1.66	%16		3.06	%16
Ratio of net investment income to average net assets1		1.37	%16		1.07	%16
Portfolio turnover		70	%15		138	%15
Net assets at end of period (000’s omitted)	$	1,524		$	1,609

61

AMG Managers High Yield Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016			For the years ended December 31,
Investor Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	7.07		$	7.84		$	8.09		$	8.07		$	7.51		$	7.74
Income from Investment Operations:
Net investment income1,2		0.21			0.42			0.42			0.47			0.54			0.56
Net realized and unrealized gain (loss) on investments		0.33			(0.77	)		(0.26	)		0.02			0.56			(0.22	)
Total income (loss) from investment operations		0.54			(0.35	)		0.16			0.49			1.10			0.34
Less Distributions to Shareholders from:
Net investment income		(0.21	)		(0.42	)		(0.41	)		(0.47	)		(0.54	)		(0.57	)
Net Asset Value, End of Period	$	7.40		$	7.07		$	7.84		$	8.09		$	8.07		$	7.51
Total Return1		7.74	%15		(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	%16		1.15	%		1.15	%		1.17	%9		1.15	%10		1.15	%
Ratio of expenses to average net assets (with offsets)		1.15	%16		1.15	%		1.15	%		1.17	%9		1.15	%10		1.15	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.77	%16		1.68	%		1.67	%		1.70	%9		1.73	%10		1.69	%
Ratio of net investment income to average net assets1		5.94	%16		5.41	%		5.12	%		5.76	%9		6.87	%10		7.35	%
Portfolio turnover		13	%15		42	%		40	%		39	%		48	%		48	%
Net assets at end of period (000’s omitted)	$	21,205		$	27,020		$	34,709		$	31,751		$	30,817		$	23,957
	For the six months ended June 30, 2016			For the years ended December 31,
Institutional Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	7.14		$	7.92		$	8.18		$	8.16		$	7.59		$	7.82
Income from Investment Operations:
Net investment income1,2		0.22			0.44			0.44			0.49			0.56			0.59
Net realized and unrealized gain (loss) on investments		0.34			(0.78	)		(0.26	)		0.02			0.58			(0.22	)
Total income (loss) from investment operations		0.56			(0.34	)		0.18			0.51			1.14			0.37
Less Distributions to Shareholders from:
Net investment income		(0.22	)		(0.44	)		(0.44	)		(0.49	)		(0.57	)		(0.60	)
Net Asset Value, End of Period	$	7.48		$	7.14		$	7.92		$	8.18		$	8.16		$	7.59
Total Return1		7.98	%8,15		(4.56	)%		2.16	%		6.47	%		15.46	%		4.83	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.90	%16		0.90	%		0.90	%		0.92	%9		0.90	%10		0.90	%
Ratio of expenses to average net assets (with offsets)		0.90	%16		0.90	%		0.90	%		0.92	%9		0.90	%10		0.90	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.53	%16		1.43	%		1.42	%		1.45	%9		1.48	%10		1.44	%
Ratio of net investment income to average net assets1		6.18	%16		5.65	%		5.37	%		6.01	%9		7.12	%10		7.60	%
Portfolio turnover		13	%15		42	%		40	%		39	%		48	%		48	%
Net assets at end of period (000’s omitted)	$	2,585		$	2,424		$	3,131		$	2,765		$	2,538		$	5,247

62

AMG Managers Intermediate Duration Government Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016			For the years ended December 31,
	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	10.81		$	10.96		$	10.64		$	10.98		$	11.10		$	11.01
Income from Investment Operations:
Net investment income1		0.07	2		0.11	2		0.17	2		0.18	2		0.20	2		0.30
Net realized and unrealized gain (loss) on investments		0.22			0.01			0.54			(0.32	)		0.14			0.34
Total income (loss) from investment operations		0.29			0.12			0.71			(0.14	)		0.34			0.64
Less Distributions to Shareholders from:
Net investment income		(0.07	)		(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		(0.07	)		(0.27	)		(0.39	)		(0.20	)		(0.46	)		(0.55	)
Net Asset Value, End of Period	$	11.03		$	10.81		$	10.96		$	10.64		$	10.98		$	11.10
Total Return1		2.71	%15		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	%16		0.88	%		0.89	%		0.91	%11		0.89	%12		0.88	%
Ratio of expenses to average net assets (with offsets)		0.89	%16		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	%16		0.92	%		0.96	%		0.94	%11		0.92	%12		0.94	%
Ratio of net investment income to average net assets1		1.23	%16		0.99	%		1.54	%		1.64	%11		1.81	%12		2.64	%
Portfolio turnover		8	%15		21	%		11	%		29	%		21	%		453	%
Net assets at end of period (000’s omitted)	$	204,096		$	192,039		$	174,138		$	136,915		$	185,898		$	178,087

63

AMG Managers Short Duration Government Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016			For the years ended December 31,
	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	9.62		$	9.65		$	9.64		$	9.65		$	9.57		$	9.58
Income from Investment Operations:
Net investment income1		0.04	2		0.02	2		0.05	2		0.03	2		0.08	2		0.09
Net realized and unrealized gain (loss) on investments		0.01			(0.03	)		0.01			(0.01	)		0.08			(0.01	)
Total income (loss) from investment operations		0.05			(0.01	)		0.06			0.02			0.16			0.08
Less Distributions to Shareholders from:
Net investment income		(0.04	)		(0.02	)		(0.05	)		(0.03	)		(0.08	)		(0.09	)
Net Asset Value, End of Period	$	9.63		$	9.62		$	9.65		$	9.64		$	9.65		$	9.57
Total Return1		0.55	%15		(0.15	)%		0.60	%		0.20	%		1.64	%		0.80	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.80	%16		0.79	%		0.80	%		0.79	%13		0.81	%14		0.82	%
Ratio of expenses to average net assets (with offsets)		0.80	%16		0.79	%		0.80	%		0.79	%13		0.81	%14		0.82	%
Ratio of total expenses to average net assets (without offsets/reductions)3		0.80	%16		0.79	%		0.80	%		0.79	%13		0.81	%14		0.82	%
Ratio of net investment income to average net assets1		0.89	%16		0.25	%		0.47	%		0.27	%13		0.80	%14		0.89	%
Portfolio turnover		20	%15		51	%		41	%		48	%		49	%		141	%
Net assets at end of period (000’s omitted)	$	237,234		$	395,306		$	385,246		$	422,488		$	466,415		$	393,014

Notes to Financial Highlights (unaudited)

^*  Commencement of operations was December 1, 2012.

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

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

²  Per share numbers have been calculated using average shares.

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

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

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

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

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

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

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

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

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

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

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

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

¹⁵  Not annualized.

¹⁶ Annualized.

¹⁷ Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.09, $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.

64

Notes to Financial Statements (unaudited)

June 30, 2016

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 six months ended June 30, 2016, High Yield had redemption fees amounting to $1,655.

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.

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 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.

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.

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

65

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.

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, futures contracts)

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

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

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

b. SECURITY TRANSACTIONS

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

c. INVESTMENT INCOME AND EXPENSES

Dividend income is recorded on the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. 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 other trusts within the AMG Funds family of mutual funds (collectively the “AMG Funds family”) 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 Funds had certain portfolio trades directed to various brokers, under a brokerage recapture program, which paid a portion of such Fund’s expenses. For the six months ended June 30, 2016, the amount by which the Fund’s expenses were reduced and the impact on the expense ratios, if any, were as follows: Balanced - $10,753 or 0.01%, Small Cap Value - $795 or 0.01%.

The Funds have a “balance credit” arrangement with The Bank of New York Mellon (“BNYM”), the Funds’ custodian, whereby each Fund is credited with an interest factor equal to 0.75% below the effective 90-day T-Bill rate for account balances left uninvested overnight. If the T-Bill rate falls below 0.75%, no credits will be earned. These credits serve to reduce custodian expenses that would otherwise be charged to each Fund. For the six months ended June 30, 2016, the Funds’ custodian expense was not reduced.

Effective June 1, 2016, the overdraft fees are computed at 1.75% (previously 1.0%) above the effective Federal Funds rate on the day of the overdraft. For the six months ended June 30, 2016, overdraft fees for Small Cap Value and High Yield equaled $7 and $23, respectively.

66

Notes to Financial Statements (continued)

d. DIVIDENDS AND DISTRIBUTIONS

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

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 June 30, 2016, the following Funds had accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes as

shown in the following chart. These amounts may be used to offset future realized capital gains, if any, through the expiration dates listed or in the case of post-enactment losses, for an unlimited time period.

	Capital Loss
	Carryover Amounts
					Expires
Fund	Short-Term Long-Term				December 31,
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.

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.

67

Notes to Financial Statements (continued)

For the six months ended June 30, 2016 (unaudited) and the year ended December 31, 2015, the capital stock transactions by class for Balanced, Small Cap Value and High Yield were as follows:

	Balanced												Small Cap*
	2016						2015						2016						2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares		2,402,861		$	34,951,649			4,917,700		$	75,876,816			63		$	600			1,181,275		$	12,083,124
Reinvestment of distributions		23,750			350,441			169,057			2,540,619			—			—			—			—
Cost of shares repurchased		(2,135,890	)		(31,177,109	)		(1,519,741	)		(23,301,123	)		(219	)		(2,127	)		(1,179,544	)		(12,193,236	)
Net increase (decrease)		290,721		$	4,124,981			3,567,016		$	55,116,312			(156	)	$	(1,527	)		1,731		$	(110,112	)
Service Class:
Proceeds from sale of shares		1,409,815		$	20,743,415			3,649,007		$	56,053,664			94,227		$	853,470			1,308,993		$	13,485,730
Reinvestment of distributions		7,800			116,102			32,172			487,073			—			—			9,228			87,485
Cost of shares repurchased		(665,062	)		(9,819,404	)		(592,922	)		(9,069,021	)		(225,393	)		(2,073,513	)		(132,551	)		(1,308,615	)
Net increase (decrease)		752,553		$	11,040,113			3,088,257		$	47,471,716			(131,166	)	$	(1,220,043	)		1,185,670		$	12,264,600
Institutional Class:
Proceeds from sale of shares		294,797		$	4,305,945			113,841		$	1,780,500			32,073		$	294,207			185,788		$	1,891,574
Reinvestment of distributions		1,754			26,104			5,616			86,077			—			—			1,481			14,055
Cost of shares repurchased		(55,233	)		(826,544	)		(820,603	)		(12,951,242	)		(48,064	)		(425,827	)		(15,192	)		(153,098	)
Net increase (decrease)		241,318		$	3,505,505			(701,146	)	$	(11,084,665	)		(15,991	)	$	(131,620	)		172,077		$	1,752,531

	High Yield
	2016						2015
	Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares		328,325		$	2,286,298			458,232		$	3,548,190
Reinvestment of distributions		82,254			581,102			201,329			1,540,515
Cost of shares repurchased		(1,368,751	)		(9,732,862	)		(1,264,058	)		(9,754,397	)
Net decrease		(958,172	)	$	(6,865,462	)		(604,497	)	$	(4,665,692	)
Institutional Class:
Proceeds from sale of shares		30,705		$	217,194			64,450		$	499,391
Reinvestment of distributions		9,781			70,071			20,559			159,183
Cost of shares repurchased		(34,219	)		(244,348	)		(140,790	)		(1,085,651	)
Net increase (decrease)		6,267		$	42,917			(55,781	)	$	(427,077	)

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

At June 30, 2016, 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 41%; High Yield - one owns 14%; Intermediate Duration—two collectively own 51%; Short Duration - three collectively own 72%. Transactions by these shareholders may have a material impact on their respective Fund.

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

68

Notes to Financial Statements (continued)

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.

At June 30, 2016, the market value of repurchase agreements or joint repurchase agreements outstanding for Balanced, Small Cap Value and High Yield were $3,001,707, $417,455, and $2,499,693, respectively.

i. SECURITIES TRANSACTED ON A WHEN ISSUED BASIS

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

j. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES

The Funds may enter into securities transactions on a delayed delivery or when issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Funds’ Schedules of Portfolio Investments. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of the commitment. The payables and receivables associated with

the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Funds’ Statement of Assets and Liabilities. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.

2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES

For each of the Funds, the 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.

Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the six months ended June 30, 2016, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:

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

The Investment Manager has contractually agreed, through at least May 1, 2017, to waive management fees (but not below zero) and/or reimburse Fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), shareholder servicing, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) of Balanced, Small Cap Value and High Yield to 0.84%, 0.95% and 0.90%, respectively, of each Fund’s average daily net assets subject to later reimbursement by the Funds in certain circumstances.

The Investment Manager has contractually agreed, through at least May 1, 2017, to waive management fees (but not below zero) and/or reimburse Fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) to 0.89% of Intermediate Duration Fund’s average daily net assets subject to later reimbursement by the Fund in certain circumstances.

69

Notes to Financial Statements (continued)

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

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

For the six months ended June 30, 2016, the Funds’ expiration of reimbursement are as follows:

Expiration Period	Balanced		Small Cap Value
Less than 1 year*	$	178,901		—
Within 2 years		195,228	$	41,606
Within 3 years		314,884		99,379
Total Amount Subject to Reimbursement	$	689,013	$	140,985
Expiration Period	High Yield		Intermediate Duration
Less than 1 year*	$	175,806	$	56,203
Within 2 years		202,159		66,607
Within 3 years		181,031		77,997
Total Amount Subject to Reimbursement	$	558,996	$	200,807

* A portion of this represents the expiration amount through the year ended December 31, 2016 of $102,529, $0, $95,167 and $25,466 for Balanced, Small Cap Value, High Yield and Intermediate Duration, respectively.

The Investment Manager has agreed to waive a portion of its management fee in consideration of shareholder servicing fees that it has received from JPMorgan Distribution Services, Inc., with respect to short-term cash investments each Fund may have made in the JPMorgan Money Market Funds. For the six months ended June 30, 2016, the management fee for Intermediate Duration was reduced by $8,668.

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.

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.

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 six months ended June 30, 2016, was as follows:

	Maximum			Actual
Fund	Amount Approved			Amount Incurred
Balanced-Service Class		0.100	%		0.100	%
Small Cap Value-Service Class		0.150	%		0.126	%
Small Cap Value-Investor Class		0.150	%		0.150	%
Intermediate Duration		0.100	%		0.100	%
Short Duration		0.100	%		0.001	%

In June 2016, the Funds’ Board approved a proposal to revise certain fees paid by the Funds. These changes will not increase the overall fees incurred by the Funds or by shareholders of the Funds. These changes will not be effective until October 1, 2016 following execution of all relevant agreements and the filing of revised prospectuses and Statements of Additional Information with the Securities and Exchange Commission. The Board approved, in some cases, changes to the administrative fee and/or management fee of the Funds. The Board also approved, in some cases, changes to the shareholder servicing fees

70

Notes to Financial Statements (continued)

of Balanced, Small Cap, Intermediate Duration and Short Duration. Further details regarding such changes will be available once all relevant agreements are finalized and executed and revised prospectuses and Statements of Additional Information are filed with the Securities and Exchange Commission.

The Board provides supervision of the affairs of the Trusts, other trusts within the AMG Funds family and other affiliated funds. The Trustees of the Trusts who are not affiliated with an Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.

The Securities and Exchange Commission granted an exemptive order that permits each fund to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The Investment Manager administers the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. For the six months ended June 30, 2016, Intermediate Duration lent $1,607,090 for 3 days earning interest of $114. The interest amount is included in the Statement of Operations as interest income. At June 30, 2016, the Funds had no interfund loans outstanding.

3. PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended June 30, 2016, were as follows:

	Long-Term Securities
Fund	Purchases		Sales
Balanced	$	77,755,941	$	77,448,785
Small Cap Value		8,302,007		9,560,658
High Yield		3,184,903		9,369,451
Intermediate Duration		9,017,629		11,493,322
Short Duration		4,355,807		20,336,701
	U.S. Government Obligations
Fund	Purchases		Sales
Balanced	$	51,132,230	$	32,248,850
Small Cap Value		—		—
High Yield		—		—
Intermediate Duration		10,275,168		22,509,636
Short Duration		53,540,222		155,628,219

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 June 30, 2016, the value of the securities loaned and cash collateral received, were as follows:

	Securities		Cash Collateral
Fund	Loaned		Received
Balanced	$	2,957,889	$	3,001,707
Small Cap Value		404,793		417,455
High Yield		2,428,866		2,499,693

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.

71

Notes to Financial Statements (continued)

7. DERIVATIVE INSTRUMENTS

The following disclosures contain information on how and why certain Funds use derivative instruments, the credit risk and how derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities and the realized and changes in unrealized gains and losses on the Statement of Operations, each categorized by type of derivative contract, are included in a table in the Notes to the Schedules of Portfolio Investments. For the six months ended June 30, 2016, the average quarterly balances of derivative financial instruments outstanding were as follows:

	Intermediate		Short
	Duration		Duration
Financial futures contracts:
Average number of contracts purchased		6		18
Average number of contracts sold		64		659
Average notional value of contracts purchased	$	818,281	$	2,438,047
Average notional value of contracts sold	$	7,083,083	$	86,409,134

8. FUTURES CONTRACTS

A Fund may enter 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 a fund may be sensitive to interest rate fluctuations because a fund 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

A Fund 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

A Fund may 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.

72

Notes to Financial Statements (continued)

12. MASTER NETTING AGREEMENTS

The Funds may enter into master netting agreements with their counterparties for the securities lending program and repurchase agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the

defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.

The following table is a summary of the Funds’ open repurchase agreements that are subject to a master netting agreement as of June 30, 2016:

			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		—		—
Mizuho Securities USA, Inc.		1,707		1,707		—		—
Nomura Securities International, Inc.		1,000,000		1,000,000		—		—
Totals	$	3,001,707	$	3,001,707		—		—
Small Cap Value
Cantor Fitzgerald Securities, Inc.	$	417,455	$	417,455		—		—
Totals	$	417,455	$	417,455		—		—
High Yield
Cantor Fitzgerald Securities, Inc.	$	1,000,000	$	1,000,000		—		—
Daiwa Capital Markets America		1,000,000		1,000,000		—		—
Nomura Securities International, Inc.		499,693		499,693		—		—
Totals	$	2,499,693	$	2,499,693		—		—

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.

73

Annual Renewal of Investment Management and Subadvisory Agreements (unaudited)

AMG Managers Intermediate Duration Government Fund, AMG Managers Short Duration Government Fund, AMG Managers High Yield Fund, AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund: Approval of Investment Management and Subadvisory Agreements on June 22-23, 2016.

At an in-person meeting held on June 22-23, 2016, the Board of Trustees (the “Board” or the “Trustees”) of each of AMG Funds and AMG Funds II (each, a “Trust” and collectively, the “Trusts”), and separately a majority of the Trustees who are not “interested persons” of the Trusts (the “Independent Trustees”), approved (i) the Investment Management Agreement, as amended at any time prior to the date of the meeting, with AMG Funds LLC (the “Investment Manager”) and each Trust for each of AMG Managers Intermediate Duration Government Fund, AMG Managers Short Duration Government Fund, AMG Managers High Yield Fund, AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund (each, a “Fund,” and collectively, the “Funds”) and separately an amendment, to be effective October 1, 2016, to such Investment Management Agreement for each of AMG Managers Intermediate Duration Government Fund, AMG Managers Short Duration Government Fund, AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund (collectively, the “Investment Management Agreement”) and (ii) the Subadvisory Agreement, as amended at any time prior to the date of the meeting, for each of AMG Managers High Yield Fund, AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund and separately an amendment, to be effective October 1, 2016, to the Subadvisory Agreement with respect to AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund (collectively, the “Subadvisory Agreements”)¹. The Independent Trustees were separately represented by independent legal counsel in connection with their consideration of the approval of these agreements. In considering the Investment Management

Agreement and the Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and each Subadvisor, including comparative performance, fee and expense information for an appropriate peer group of similar mutual funds (each, a “Peer Group”), performance information for relevant benchmark indices (each, a “Fund Benchmark”) and, as to all other matters, other information provided to them on a periodic basis throughout the year, as well as information provided in connection with the meetings of June 22-23, 2016, regarding the nature, extent and quality of services provided by the Investment Manager and the Subadvisors under their respective agreements. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with their independent legal counsel and with management; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Investment Management Agreement and the Subadvisory Agreements; and (c) met with their independent legal counsel in private sessions at which no representatives of management were present.

¹  On September 17, 2015, the Board of Trustees, and separately a majority of the Independent Trustees, approved the Subadvisory Agreement for each of AMG Managers Intermediate Duration Government Fund and AMG Managers Short Duration Government Fund’s Subadvisor for an initial two-year period.

NATURE, EXTENT AND QUALITY OF SERVICES.

In considering the nature, extent and quality of the services provided by the Investment Manager, the Trustees reviewed information relating to the Investment Manager’s operations and personnel. Among other things, the Investment Manager provided financial information, biographical information on its supervisory and professional staff and descriptions of its organizational and management structure. The Trustees also took into account information provided periodically throughout the previous year by the Investment Manager in Board meetings relating to the performance of its duties with respect to the

Funds and the Trustees’ knowledge of the Investment Manager’s management and the quality of the performance of the Investment Manager’s duties. In the course of their deliberations regarding the Investment Management Agreement, the Trustees evaluated, among other things: (a) the extent and quality of the Investment Manager’s oversight of the operation and management of the Funds; (b) the quality of the search, selection and monitoring services performed by the Investment Manager in overseeing the portfolio management responsibilities of the Subadvisors; (c) the Investment Manager’s ability to supervise the Funds’ other service providers; and (d) the Investment Manager’s compliance program. The Trustees also took into account that, in performing its functions under the Investment Management Agreement and supervising each Subadvisor, the Investment Manager: performs periodic detailed analyses and reviews of the performance by each Subadvisor of its obligations to a Fund, including without limitation, analysis and review of portfolio and other compliance matters and review of each Subadvisor’s investment performance with respect to a Fund; prepares and presents periodic reports to the Board regarding the investment performance of each Subadvisor and other information regarding each Subadvisor, at such times and in such forms as the Board may reasonably request; reviews and considers any changes in the personnel of each Subadvisor responsible for performing the Subadvisor’s obligations and makes appropriate reports to the Board; reviews and considers any changes in the ownership or senior management of each Subadvisor and makes appropriate reports to the Board; performs periodic in-person or telephonic diligence meetings, including with respect to compliance matters, with representatives of each Subadvisor; assists the Board and management of the Trusts in developing and reviewing information with respect to the initial approval of each Subadvisory Agreement and annual consideration of each Subadvisory Agreement thereafter; prepares recommendations with respect to the continued retention of any Subadvisor or the replacement of any Subadvisor, including at the

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Annual Renewal of Investment Management and Subadvisory Agreements (continued)

request of the Board; identifies potential successors to or replacements of any Subadvisor or potential additional subadvisors, performs appropriate due diligence, and develops and presents to the Board a recommendation as to any such successor, replacement, or additional subadvisor, including at the request of the Board; designates and compensates from its own resources such personnel as the Investment Manager may consider necessary or appropriate to the performance of its services; and performs such other review and reporting functions as the Board shall reasonably request consistent with the Investment Management Agreement and applicable law. With respect to AMG Chicago Equity Partners Small Cap Value Fund and AMG Chicago Equity Partners Balanced Fund, the Trustees noted the affiliation of the Subadvisor with the Investment Manager, noting any potential conflicts of interest. The Trustees also took into account the financial condition of the Investment Manager with respect to its ability to provide the services required under the Investment Management Agreement and the Investment Manager’s undertaking to maintain contractual expense limitations for AMG Managers Intermediate Duration Government Fund, AMG Managers High Yield Fund, AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund. The Trustees also considered the Investment Manager’s risk management processes.

For each applicable Fund, the Trustees also reviewed information relating to each Subadvisor’s operations and personnel and the investment philosophy, strategies and techniques (for each Subadvisor, its “Investment Strategy”) used in managing the Fund. Among other things, the Trustees reviewed biographical information on portfolio management and other professional staff, information regarding each Subadvisor’s organizational and management structure and each Subadvisor’s brokerage policies and practices. The Trustees considered specific information provided regarding the experience of the individuals at each Subadvisor with portfolio management responsibility for the Fund, including

the information set forth in the Fund’s prospectus and statement of additional information. In the course of their deliberations, the Trustees evaluated, among other things: (a) the services rendered by each Subadvisor in the past; (b) the qualifications and experience of the Subadvisor’s personnel; and (c) the Subadvisor’s compliance program. The Trustees also took into account the financial condition of each Subadvisor with respect to its ability to provide the services required under its Subadvisory Agreement. The Trustees also considered each Subadvisor’s risk management processes.

PERFORMANCE.

As noted above, the Board considered each Fund’s net performance during relevant time periods as compared to the Fund’s Peer Group and Fund Benchmark and considered the gross performance of the Fund as compared to the Subadvisor’s relevant performance composite that utilizes the same investment strategy and approach and noted that the Board reviews on a quarterly basis detailed information about both the Fund’s performance results and portfolio composition, as well as each Subadvisor’s Investment Strategy. The Board noted the Investment Manager’s expertise and resources in monitoring the performance, investment style and risk-adjusted performance of each Subadvisor. The Board was mindful of the Investment Manager’s attention to monitoring each Subadvisor’s performance with respect to the Funds and its discussions with management regarding the factors that contributed to the performance of the Funds.

ADVISORY FEES AND PROFITABILITY.

In considering the reasonableness of the advisory fee charged by the Investment Manager for managing each Fund, the Trustees noted that the Investment Manager, and not the Fund, is responsible for paying the fees charged by the Fund’s Subadvisor and, therefore, that the fees paid to the Investment Manager cover the cost of providing portfolio management services as well as the cost of providing search, selection and monitoring services in operating a “manager-of-managers” complex of mutual funds. The Trustees

noted that, effective October 1, 2016, the management fee rate for each of AMG Managers Intermediate Duration Government Fund, AMG Managers Short Duration Government Fund, AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund will be reduced, each of AMG Managers Intermediate Duration Government Fund and AMG Managers Short Duration Government Fund will be authorized to pay an administrative fee to the Investment Manager, shares of AMG Managers Short Duration Government Fund will be authorized to pay a shareholder servicing fee and the shareholder servicing fee rate paid by shares of AMG Managers Intermediate Government Fund will be increased and the administrative fee rate paid by each of AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund will be reduced. The Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to each of AMG Managers Intermediate Duration Government Fund, AMG Managers Short Duration Government Fund, AMG Managers High Yield Fund and AMG Chicago Equity Partners Balanced Fund. With respect to AMG Chicago Equity Partners Small Cap Value Fund, the Trustees noted that, effective October 1, 2016, the administrative fee rate paid by the Fund will be reduced. The Trustees also noted that the Investment Manager pays the Subadvisor a subadvisory fee that is equal to the advisory fee that it receives from AMG Chicago Equity Partners Small Cap Value Fund, but that, effective October 1, 2016, the Investment Manager will pay the Subadvisor a subadvisory fee that is a portion of the advisory fee that it receives from that Fund. The Trustees also considered the amount of the advisory fee that will be retained by the Investment Manager after payment of the subadvisory fee with respect to AMG Chicago Equity Partners Small Cap Value Fund effective October 1, 2016. The Trustees also noted any payments that were made from Chicago Equity Partners, LLC (“CEP”) to the Investment Manager, and any other payments made or to be made from the Investment Manager to CEP. The Trustees concluded that, in light of the additional high quality supervisory services

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Annual Renewal of Investment Management and Subadvisory Agreements (continued)

provided by the Investment Manager and the fact that the subadvisory fees are paid out of the advisory fee, the advisory fee payable by each Fund to the Investment Manager can reasonably be expected to exceed the median advisory fee for the Peer Group, which consists of many funds that do not operate with a manager-of-managers structure. In this regard, the Trustees also noted that the Investment Manager has undertaken to maintain contractual expense limitations for AMG Managers Intermediate Duration Government Fund, AMG Managers High Yield Fund, AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund. The Trustees also noted that the changes in fee rates described above would not cause an increase in total Fund expenses.

In addition, in considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees also reviewed information provided by the Investment Manager setting forth all revenues and other benefits, both direct and indirect (including any so-called “fallout benefits” such as reputational value derived from the Investment Manager serving as Investment Manager to a Fund), received by the Investment Manager and its affiliates attributable to managing each Fund and all the mutual funds in the AMG Funds Family of Funds, the cost of providing such services, the entrepreneurial risk undertaken as Investment Manager and sponsor of the Funds and the resulting profitability to the Investment Manager and its affiliates from these relationships. The Trustees also noted the current asset levels of each Fund and the willingness of the Investment Manager to waive fees and pay expenses for AMG Managers Intermediate Duration Government Fund, AMG Managers High Yield Fund, AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund from time to time as a means of limiting total expenses. The Trustees also considered management’s discussion of the current asset levels of the Funds, and the impact on profitability of both the current asset levels and any future growth of assets of the Funds. The Board took into account management’s discussion of the current

and revised advisory fee structure, as applicable, and, as noted above, the services the Investment Manager provides in performing its functions under the Investment Management Agreement and supervising each Subadvisor. In this regard, the Trustees noted that, unlike a mutual fund that is managed by a single investment adviser, the Funds operate in a manager-of-managers structure. Based on the foregoing, the Trustees concluded that the profitability to the Investment Manager is reasonable and that the Investment Manager is not realizing material benefits from economies of scale that would warrant adjustments to the advisory fees for any Fund at this time (after noting the fee rate changes made at the meeting). With respect to economies of scale, the Trustees also noted that as a Fund’s assets increase over time, the Fund may realize other economies of scale to the extent that the increase in assets is proportionally greater than the increase in certain other expenses.

SUBADVISORY FEES AND PROFITABILITY.

In considering the reasonableness of the fee payable by the Investment Manager to J.P. Morgan Investment Management Inc. (“JPMorgan”), the Trustees relied on the ability of the Investment Manager to negotiate the terms of the Subadvisory Agreement at arm’s length as part of the manager-of-managers structure, noting that the Investment Manager is not affiliated with JPMorgan. In addition, the Trustees considered other potential benefits of the subadvisory relationship to JPMorgan, including, among others, the indirect benefits that JPMorgan may receive from its relationship with the Fund, including any so-called “fallout benefits” to JPMorgan, such as reputational value derived from JPMorgan serving as Subadvisor to the Fund. In addition, the Trustees noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. As a consequence of all of the foregoing, the cost of services to be provided by JPMorgan and the profitability to JPMorgan of its relationship with the Fund were not material factors in the Trustees’ deliberations. For similar reasons, the Trustees did not consider potential economies of scale in the management of a Fund by JPMorgan to be a material factor in their deliberations at this time.

In considering the reasonableness of the fees payable by the Investment Manager to CEP, the Trustees noted that CEP is an affiliate of the Investment Manager, and the Trustees reviewed information regarding the cost to CEP of providing subadvisory services to a Fund and the resulting profitability from such relationship. The Trustees noted that, because CEP is an affiliate of the Investment Manager, a portion of CEP’s revenues or profits might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. The Board also took into account management’s discussion of the current and revised subadvisory fee structure, and the services CEP provides in performing its functions under the applicable Subadvisory Agreement. Based on the foregoing, the Trustees concluded that the profitability to CEP is reasonable and that CEP is not realizing material benefits from economies of scale that would warrant adjustments to the advisory or subadvisory fees at this time (after noting the fee rate changes made at the meeting). Also with respect to economies of scale, the Trustees noted that as the Fund’s assets increase over time, the Fund may realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.

In addition to the foregoing, the Trustees considered the specific factors and related conclusions set forth below with respect to each Fund, the Investment Manager and each Subadvisor.

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Annual Renewal of Investment Management and Subadvisory Agreements (continued)

AMG Managers Short Duration Government Fund

Fund Performance.

Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2016 was below, below, below and above, respectively, the median performance of the Peer Group and below, above, above and above, respectively, the performance of the Fund Benchmark, the BofA Merrill Lynch 6-Month T-Bill Index. The Trustees also took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s more recent underperformance. The Trustees also took into account that the Fund ranked in the second quintile relative to its Peer Group for the 10-year period and in the third quintile relative to its Peer Group for the 3-year and 5-year periods, and exceeded the returns of the Fund Benchmark for each of the 3-year, 5-year and 10-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.

Advisory Fee.

The Trustees noted that the Fund’s advisory fee and total expenses as of March 31, 2016 were both higher than the average for the Fund’s Peer Group. The Trustees took into account management’s discussion of the Fund’s expenses, including the Fund’s relatively distinctive investment approach. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager, and the considerations noted above with respect to the Investment Manager, the Fund’s advisory fee is reasonable.

AMG Managers Intermediate Duration Government Fund

Fund Performance.

Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for the 1-year, 3-year, 5-year and

10-year periods ended March 31, 2016 was above the median performance of the Peer Group and below, above, above and below, respectively, the performance of the Fund Benchmark, the Citigroup Mortgage Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s more recent underperformance relative to the Fund Benchmark. The Trustees also took into account the fact that the Fund ranked in the top decile relative to its Peer Group for the 3-year period and in the top quintile relative to its Peer Group for the 5-year and 10-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.

Advisory Fee.

The Trustees noted that the Fund’s advisory fee and total expenses (net of applicable expense waivers/reimbursements) as of March 31, 2016 were both higher than the average for the Peer Group. The Trustees took into account management’s discussion of the Fund’s expenses, including the fact that the Investment Manager has contractually agreed, through May 1, 2017, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.89%. The Trustees also took into account the Fund’s relatively distinctive investment approach. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager, the foregoing expense limitation and the considerations noted above with respect to the Investment Manager, the Fund’s advisory fee is reasonable.

AMG Chicago Equity Partners Balanced Fund

Fund Performance.

Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Investor Class shares (which share class has the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2016 was above the median performance of the

Peer Group and below the performance of the Fund Benchmark, a Composite Index (60% Russell 1000^® Index and 40% Barclays U.S. Aggregate Bond Index). The Trustees took into account management’s discussion of the Fund’s performance, including the fact that the Fund ranked in the top quartile relative to its Peer Group for the 1-year and 3-year periods. The Trustees also noted that the Fund’s longer-term performance results ranked strongly relative to its Peer Group and that the Fund ranked in the top decile relative to its Peer Group for the 5-year and 10-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.

Advisory and Subadvisory Fees.

The Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2016 were higher and lower, respectively, than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2017, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.84%. The Trustees also took into account management’s discussion of the Fund’s expenses, including fees and expenses relative to comparably sized funds, and the current size of the Fund. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.

AMG Chicago Equity Partners Small Cap Value Fund

Fund Performance.

Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Service Class shares (which share

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Annual Renewal of Investment Management and Subadvisory Agreements (continued)

class has the largest amount of assets of all the share classes of the Fund) for the 1-year period ended March 31, 2016 and for the period from the Fund’s inception on December 31, 2014 through March 31, 2016 was below the median performance of the Peer Group and above the performance of the Fund Benchmark, the Russell 2000^® Value Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s underperformance relative to the Peer Group. The Trustees also noted that the Fund outperformed the Fund Benchmark for all relevant time periods and that the Fund ranked in the third quartile relative to its Peer Group for the 1-year period and since inception. The Trustees concluded that the Fund’s overall performance has been satisfactory.

Advisory and Subadvisory Fees.

The Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2016 were both lower than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2017, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.95%. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.

AMG Managers High Yield Fund

Fund Performance.

Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Investor Class shares (which share class has the earliest inception date and the largest amount of assets of all the share classes of

the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2016 was below, below, above and below, respectively, the median performance of the Peer Group and below the performance of the Fund Benchmark, the Barclays U.S. Corporate High Yield Bond Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s underperformance and any actions being taken to address such performance. The Trustees also noted that the Fund ranked in the second quintile relative to its Peer Group for the 5-year period and in the third quintile relative to its Peer Group for the 1-year, 3-year and 10-year periods. The Trustees concluded that the Fund’s performance is being addressed.

Advisory and Subadvisory Fees.

The Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2016 were both higher than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2017, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.90%. The Trustees also took into account management’s discussion of the Fund’s expenses, including relative to comparably sized funds, and the current size of the Fund. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor, the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.

*    *    *    *    *

After consideration of the foregoing, the Trustees also reached the following conclusions (in addition to the conclusions discussed above) regarding the Investment Management Agreement and each Subadvisory Agreement: (a) the Investment

Manager and each Subadvisor have demonstrated that they possess the capability and resources to perform the duties required of them under the Investment Management Agreement and the applicable Subadvisory Agreement; (b) each Subadvisor’s Investment Strategy is appropriate for pursuing the applicable Fund’s investment objectives; and (c) the Investment Manager and each Subadvisor maintain appropriate compliance programs.

Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of the Investment Management Agreement and each Subadvisory Agreement would be in the best interests of the applicable Fund and its shareholders. Accordingly, on June 22-23, 2016, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management Agreement for each Fund and the Subadvisory Agreement for each of AMG Managers High Yield Fund, AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund.

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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^TM ONLY

AMG Funds

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

P.O. Box 9847

Providence, Rhode Island 02940-8047

(800) 358-7668

TRUSTEES

Bruce B. Bingham

Christine C. Carsman

William E. Chapman, II

Edward J. Kaier

Kurt A. Keilhacker

Steven J. Paggioli

Richard F. Powers, III

Eric Rakowski

Victoria L. Sassine

Thomas R. Schneeweis

This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.835.3879. Distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.835.3879, or (ii) on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. For information regarding each Fund’s proxy voting record for the 12-month period ended June 30, call 800.835.3879 or visit the SEC website at www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. A Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To review a complete list of the Fund’s portfolio holdings, or to view the most recent quarterly holdings report, semiannual report, or annual report, please visit www.amgfunds.com.

www.amgfunds.com        |

AFFILIATE SUBADVISED FUNDS

BALANCED FUNDS

AMG Chicago Equity Partners Balanced

Chicago Equity Partners, LLC

AMG FQ Global Risk-Balanced

First Quadrant, L.P.

EQUITY FUNDS

AMG Chicago Equity Partners Small Cap Value

Chicago Equity Partners, LLC

AMG FQ Tax-Managed U.S. Equity

AMG FQ U.S. Equity

First Quadrant, L.P.

AMG Frontier Small Cap Growth

Frontier Capital Management Company, LLC

AMG GW&K Small Cap Core

AMG GW&K Small Cap Growth

GW&K Investment Management, LLC

AMG Renaissance International Equity

AMG Renaissance Large Cap Growth

The Renaissance Group LLC

AMG SouthernSun Small Cap

AMG SouthernSun U.S. Equity

AMG SouthernSun Global Opportunities

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

         SEMI-ANNUAL REPORT

AMG Funds

June 30, 2016

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        | SAR019-0616

AMG Funds

Semi-Annual Report—June 30, 2016 (unaudited)

TABLE OF CONTENTS	PAGE
ABOUT YOUR FUND’S EXPENSES		2
FUND PERFORMANCE		4
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS
AMG GW&K Enhanced Core Bond Fund		6
AMG GW&K Municipal Bond Fund		10
AMG GW&K Municipal Enhanced Yield Fund		16
AMG GW&K Small Cap Core Fund		20
AMG GW&K Small Cap Growth Fund		23
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS		26
FINANCIAL STATEMENTS
Statement of Assets and Liabilities		29
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts
Statement of Operations		31
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the period
Statements of Changes in Net Assets		32
Detail of changes in assets for the past two periods
Financial Highlights		34
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets
Notes to Financial Highlights		43
Notes to Financial Statements		44
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks
ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS		52

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

About Your Fund’s Expenses (unaudited)

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Six Months Ended June 30, 2016	Expense Ratio for the Period			Beginning Account Value 01/01/16		Ending Account Value 06/30/16		Expenses Paid During the Period*
AMG GW&K Enhanced Core Bond Fund
Investor Class
Based on Actual Fund Return		0.84	%	$	1,000	$	1,052	$	4.29
Hypothetical (5% return before expenses)		0.84	%	$	1,000	$	1,021	$	4.22
Service Class
Based on Actual Fund Return		0.69	%	$	1,000	$	1,054	$	3.52
Hypothetical (5% return before expenses)		0.69	%	$	1,000	$	1,021	$	3.47
Class C
Based on Actual Fund Return		1.59	%	$	1,000	$	1,050	$	8.10
Hypothetical (5% return before expenses)		1.59	%	$	1,000	$	1,017	$	7.97
Institutional Class
Based on Actual Fund Return		0.59	%	$	1,000	$	1,053	$	3.01
Hypothetical (5% return before expenses)		0.59	%	$	1,000	$	1,022	$	2.97
AMG GW&K Municipal Bond Fund
Investor Class
Based on Actual Fund Return		0.78	%	$	1,000	$	1,036	$	3.95
Hypothetical (5% return before expenses)		0.78	%	$	1,000	$	1,021	$	3.92
Service Class
Based on Actual Fund Return		0.50	%	$	1,000	$	1,037	$	2.53
Hypothetical (5% return before expenses)		0.50	%	$	1,000	$	1,022	$	2.51
Institutional Class
Based on Actual Fund Return		0.34	%	$	1,000	$	1,038	$	1.72
Hypothetical (5% return before expenses)		0.34	%	$	1,000	$	1,023	$	1.71
AMG GW&K Municipal Enhanced Yield Fund
Investor Class
Based on Actual Fund Return		1.14	%	$	1,000	$	1,080	$	5.89
Hypothetical (5% return before expenses)		1.14	%	$	1,000	$	1,019	$	5.72
Service Class
Based on Actual Fund Return		0.70	%	$	1,000	$	1,082	$	3.62
Hypothetical (5% return before expenses)		0.70	%	$	1,000	$	1,021	$	3.52
Institutional Class
Based on Actual Fund Return		0.64	%	$	1,000	$	1,082	$	3.31
Hypothetical (5% return before expenses)		0.64	%	$	1,000	$	1,022	$	3.22
AMG GW&K Small Cap Core Fund
Investor Class
Based on Actual Fund Return		1.34	%	$	1,000	$	1,063	$	6.87
Hypothetical (5% return before expenses)		1.34	%	$	1,000	$	1,018	$	6.72
Service Class
Based on Actual Fund Return		1.06	%	$	1,000	$	1,064	$	5.44
Hypothetical (5% return before expenses)		1.06	%	$	1,000	$	1,020	$	5.32
Institutional Class
Based on Actual Fund Return		0.95	%	$	1,000	$	1,064	$	4.88
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.77

2

About Your Fund’s Expenses

(continued)

Six Months Ended June 30, 2016	Expense Ratio for the Period			Beginning Account Value 01/01/16		Ending Account Value 06/30/16		Expenses Paid During the Period*
AMG GW&K Small Cap Growth Fund
Institutional Class
Based on Actual Fund Return		0.95	%	$	1,000	$	996	$	4.71
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.77

* 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 (182), then divided by 366.

3

Fund Performance (unaudited)

Periods ended June 30, 2016

The table below shows the average annual total returns for the periods indicated for each Fund, as well as each Fund’s relative index for the same time periods ended June 30, 2016.

Average Annual Total Returns1	Six Months*			One Year			Five Years			Ten Years			Since Inception			Inception Date
AMG GW&K Enhanced Core Bond Fund 2,3,4,5,6,7,8
Investor Class		5.23	%		2.25	%		3.39	%		5.46	%		5.75	%		01/02/97
Service Class		5.40	%		2.43	%		—			—			2.33	%		11/30/12
Class C9		4.95	%		1.59	%		2.63	%		4.67	%		4.94	%		03/05/98
Institutional Class		5.34	%		2.51	%		3.65	%		5.72	%		6.15	%		01/02/97
Barclays U.S. Aggregate Bond Index10		5.31	%		6.00	%		3.76	%		5.13	%		5.59	%		01/02/97	†
AMG GW&K Municipal Bond Fund 2,3,4,6,7,8,11,12
Investor Class		3.65	%		7.21	%		4.86	%		—			5.36	%		06/30/09
Service Class		3.72	%		7.55	%		5.16	%		—			5.63	%		06/30/09
Institutional Class		3.80	%		7.71	%		5.35	%		—			5.88	%		06/30/09
Barclays 10-Year Municipal Bond Index12		4.47	%		8.29	%		5.54	%		5.67	%		5.95	%		06/30/09	†
AMG GW&K Municipal Enhanced Yield Fund 2,3,4,5,6,7,8,11,13
Investor Class		7.97	%		12.69	%		8.20	%		—			8.53	%		07/27/09
Service Class		8.19	%		13.17	%		8.52	%		—			8.83	%		07/27/09
Institutional Class		8.24	%		13.26	%		8.66	%		5.66	%		5.47	%		12/30/05
Barclays U.S. Municipal Bond BAA Index14		5.30	%		9.00	%		6.50	%		4.22	%		4.22	%		12/30/05	†
AMG GW&K Small Cap Core Fund 2,15,16
Investor Class		6.29	%		(0.54	)%		10.08	%		7.34	%		7.71	%		12/10/96
Service Class		6.42	%		(0.28	)%		10.35	%		—			14.70	%		07/27/09
Institutional Class		6.44	%		(0.16	)%		10.53	%		—			14.91	%		07/27/09
Russell 2000® Index17		2.22	%		(6.73	)%		8.35	%		6.20	%		7.52	%		12/10/96	†
AMG GW&K Small Cap Growth Fund 2,16,18
Institutional Class		(0.45	)%		(11.00	)%		—			—			(11.00	)%		06/30/15
Russell 2000® Growth Index19		(1.59	)%		(10.75	)%		8.51	%		7.14	%		(10.75	)%		06/30/15	†

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

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

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

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

* Not annualized.

¹  Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Fund are net of expenses and based on the published NAV as of June 30, 2016. 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.

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  Closed to new investments.

¹⁰ 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.

¹¹ 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.

¹² 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.

4

Fund Performance (continued)

¹³  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.

¹⁴  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.

¹⁵  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.

¹⁶  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.

¹⁷  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. equity market. The Russell 2000^® Index and the Russell 3000^® Index are unmanaged, is not available for investment, and does not incur expenses.

¹⁸  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.

¹⁹  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.

5

AMG GW&K Enhanced Core Bond Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

	AMG GW&K Enhanced
Sector	Core Bond Fund*
Industrials		38.0	%
U.S. Government and Agency Obligations		37.5	%
Financials		15.6	%
Municipal Bonds		6.7	%
Other Assets and Liabilities		2.2	%

* As a percentage of net assets.

	AMG GW&K Enhanced
Rating	Core Bond Fund**
U.S. Government and Agency Obligations		38.3	%
Aa		8.4	%
A		9.1	%
Baa		28.2	%
Ba		12.7	%
B		2.3	%
Not rated		1.0	%

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

TOP TEN HOLDINGS

	% of
Security Name	Net Assets
United States Treasury Bond, 6.250%, 08/15/23***		5.5	%
FNMA, 4.000%, 10/01/43		3.8
United States Treasury Notes, 2.000%, 11/30/22		3.0
FNMA, 4.500%, 04/01/41		2.5
FNMA, 4.500%, 05/01/39***		2.2
FNMA, 5.500%, 02/01/39***		2.2
California State General Obligation, School Improvements, 7.550%, 04/01/39***		2.0
The Goldman Sachs Group, Inc., 6.125%, 02/15/33***		2.0
FHLMC Gold Pool, 5.000%, 10/01/36***		1.8
T-Mobile USA, Inc., 6.500%, 01/15/26		1.6
Top Ten as a Group		26.6	%

*** Top Ten Holdings as of December 31, 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.

6

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Principal Amount		Value
Corporate Bonds and Notes - 53.6%
Financials - 15.6%
Ally Financial, Inc.,
5.125%, 09/30/241	$	424,000	$	433,540
8.000%, 03/15/20		775,000		873,813
American Tower Corp., 4.400%, 02/15/26		1,172,000		1,274,896
Bank of America Corp., MTN, 3.875%, 08/01/25		1,798,000		1,910,995
Corrections Corp. of America, 5.000%, 10/15/22		911,000		949,718
Crown Castle International Corp., 5.250%, 01/15/23		1,125,000		1,266,536
The Goldman Sachs Group, Inc., 6.125%, 02/15/33		2,035,000		2,544,507
Host Hotels & Resorts, L.P., Series C, 4.750%, 03/01/231		1,181,000		1,263,183
International Lease Finance Corp., 8.250%, 12/15/20		1,220,000		1,447,005
JPMorgan Chase & Co., Series S, 6.750%, 01/29/492,3		1,134,000		1,250,235
Morgan Stanley, GMTN, 5.500%, 07/28/21		1,093,000		1,249,466
National Rural Utilities Cooperative Finance Corp., MTN, 3.250%, 11/01/25		1,189,000		1,283,254
Realogy Group LLC, 4.875%, 06/01/23 (a)		1,250,000		1,237,500
Wells Fargo & Co., Series U, 5.875%, 12/29/492,3		1,189,000		1,269,258
Weyerhaeuser Co., 8.500%, 01/15/25		1,340,000		1,771,221
Total Financials				20,025,127
Industrials - 38.0%
Actavis Funding SCS, 3.800%, 03/15/25		1,229,000		1,282,717
Anheuser-Busch InBev Finance, Inc., 3.650%, 02/01/26		1,793,000		1,924,554
Automatic Data Processing, Inc., 3.375%, 09/15/25		1,746,000		1,900,846
Ball Corp., 5.250%, 07/01/25		1,180,000		1,234,575
BorgWarner, Inc., 3.375%, 03/15/251		1,260,000		1,290,734
Burlington Northern Santa Fe LLC, 6.150%, 05/01/37		1,465,000		1,946,727
CCO Holdings LLC / CCO Holdings Capital Corp., Series, 5.125%, 02/15/23		1,237,000		1,259,278
CDW LLC / CDW Finance Corp., Series, 5.500%, 12/01/24		1,207,000		1,252,263
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp., Series, 5.375%, 06/01/24		1,183,000		1,224,405
CF Industries, Inc., 7.125%, 05/01/20		1,635,000		1,888,059
Comcast Corp., 7.050%, 03/15/33		901,000		1,263,846
CVS Health Corp., 5.125%, 07/20/45		1,035,000		1,289,260
Ford Motor Co., 7.450%, 07/16/31		944,000		1,268,915
General Motors Co., 6.250%, 10/02/43		1,106,000		1,232,828
Georgia-Pacific LLC, 8.000%, 01/15/24		968,000		1,295,099
The Goodyear Tire & Rubber Co., 5.000%, 05/31/26		1,254,000		1,280,648
Hanesbrands, Inc., 4.625%, 05/15/24 (a)		925,000		931,938
HCA, Inc., 5.000%, 03/15/24		1,531,000		1,588,413
Lear Corp., 5.375%, 03/15/24		1,370,000		1,448,775

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

7

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Industrials - 38.0% (continued)
Lennar Corp., Series, 4.750%, 04/01/21	$	1,236,000	$	1,291,620
Masco Corp., Series, 4.375%, 04/01/26		1,252,000		1,297,686
McDonald’s Corp., MTN, 3.700%, 01/30/26		1,167,000		1,263,378
Molson Coors Brewing Co., 3.000%, 07/15/26		1,270,000		1,271,478
Newell Brands, Inc., 3.850%, 04/01/23		1,799,000		1,910,918
Omnicom Group, Inc., Series, 3.600%, 04/15/26		1,199,000		1,265,375
Owens Corning, 4.200%, 12/15/22		1,215,000		1,297,366
QVC, Inc., 5.125%, 07/02/22		1,190,000		1,284,560
Reynolds Group Issuer, Inc., 5.125%, 07/15/23 (a)		1,000,000		1,013,750
Royal Caribbean Cruises, Ltd., Series, 5.250%, 11/15/22		1,200,000		1,269,000
Sinclair Television Group, Inc., 5.875%, 03/15/26 (a)		600,000		613,500
Sirius XM Radio, Inc., 5.375%, 07/15/26 (a)		1,000,000		995,000
Sprint Communications, Inc., 9.000%, 11/15/18 (a)		600,000		641,250
T-Mobile USA, Inc., 6.500%, 01/15/26		1,924,000		2,037,035
Tyson Foods, Inc., 4.875%, 08/15/34		1,138,000		1,273,421
Verizon Communications, Inc., 5.150%, 09/15/23		1,089,000		1,270,219
Vulcan Materials Co., 4.500%, 04/01/25		882,000		945,945
WESCO Distribution, Inc., 5.375%, 12/15/21		1,214,000		1,229,175
Total Industrials				48,974,556
Total Corporate Bonds and Notes (cost $66,910,196)				68,999,683
Municipal Bonds - 6.7%
California State General Obligation, School Improvements, 7.550%, 04/01/39		1,615,000		2,554,559
JobsOhio Beverage System, Series B, 3.985%, 01/01/29		1,190,000		1,363,312
Los Angeles Unified School District, School Improvements, 5.750%, 07/01/34		1,100,000		1,457,082
Los Angeles Unified School District, School Improvements, 6.758%, 07/01/34		345,000		497,473
Metropolitan Transportation Authority Revenue, Transit Improvements, 6.668%, 11/15/39		965,000		1,413,436
New Jersey Economic Development Authority, Pension Funding, Series A, 7.425%, 02/15/29 (National Insured)4		1,085,000		1,341,255
Total Municipal Bonds (cost $8,019,526)				8,627,117
U.S. Government and Agency Obligations - 37.5%
Federal Home Loan Mortgage Corporation - 3.6%
FHLMC Gold Pool,
4.500%, 09/01/26 to 10/01/39		1,420,138		1,526,908
5.000%, 06/01/26 to 10/01/36		2,806,190		3,082,694
Total Federal Home Loan Mortgage Corporation				4,609,602
Federal National Mortgage Association - 24.4%
FNMA,
4.000%, 09/01/25 to 10/01/43		11,428,298		12,349,626
4.500%, 05/01/39 to 09/01/42		8,258,165		9,094,522
5.000%, 08/01/35		965,588		1,075,414

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

8

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (continued)

		Principal Amount		Value
Federal National Mortgage Association - 24.4% (continued)
FNMA,
5.500%, 05/01/25 to 04/01/40		$	5,870,575	$	6,623,578
6.000%, 02/01/23 to 10/01/39			1,950,117		2,231,013
Total Federal National Mortgage Association	��				31,374,153
U.S. Treasury Obligations - 9.5%
United States Treasury Bonds,
3.500%, 02/15/39			1,063,000		1,342,059
6.250%, 08/15/23			5,273,000		7,070,766
United States Treasury Notes, 2.000%, 11/30/22			3,657,000		3,828,064
Total U.S. Treasury Obligations					12,240,889
Total U.S. Government and Agency Obligations (cost $47,132,291)					48,224,644
Short-Term Investments - 2.9%
Repurchase Agreements - 1.6%5
Bank of Nova Scotia, dated 06/30/16, due 07/01/16, 0.420% total to be received $1,000,012 (collateralized by various U.S. Government Agency Obligations, 3.000% - 7.250%, 01/01/30 - 06/20/46, totaling $1,020,012)			1,000,000		1,000,000
Cantor Fitzgerald Securities, Inc., dated 06/30/16, due 07/01/16, 0.470% total to be received $1,000,013 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 07/15/16 - 05/20/66, totaling $1,020,000)			1,000,000		1,000,000
Mizuho Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.450% total to be received $13,479 (collateralized by various U.S. Government Agency Obligations, 1.000% - 8.000%, 06/01/22 - 11/20/45, totaling $13,749)			13,479		13,479
Total Repurchase Agreements					2,013,479
		Shares
Other Investment Companies - 1.3%6
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39%			1,736,492		1,736,492
Total Short-Term Investments (cost $3,749,971)					3,749,971
Total Investments - 100.7% (cost $125,811,984)					129,601,415
Other Assets, less Liabilities - (0.7)%					(869,267	)
Net Assets - 100.0%				$	128,732,148

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

9

AMG GW&K Municipal Bond Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

	AMG GW&K Municipal
Sector	Bond Fund*
General Obligation		36.4	%
Utilities		18.1	%
Transportation		16.3	%
Education		10.9	%
Industrial Development		8.9	%
Healthcare		4.0	%
Tax		1.3	%
Facilities		0.3	%
Other Assets and Liabilities		3.8	%

* As a percentage of net assets.

	AMG GW&K Municipal
Rating	Bond Fund**
Aaa		37.5	%
Aa		53.1	%
A		6.7	%
Baa		1.4	%
Not rated		1.3	%

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

TOP TEN HOLDINGS

	% of
Security Name	Net Assets
North Carolina State Limited Obligation, Series A, 5.000%, 06/01/26		2.8	%
Maryland State, General Obligation, University and College Improvements, Series B, 5.000%, 08/01/23***		2.7
Arizona Water Infrastructure Finance Authority, Water Quality Revenue, Series A, 5.000%, 10/01/26***		2.0
Commonwealth of Virginia, Series B, 5.000%, 06/01/22		1.6
State of Washington, Water Utility Improvements Revenue, Series C, 5.000%, 08/01/25		1.5
Texas Transportation Commission Fund, Series A, 5.000%, 04/01/27		1.5
Central Texas Turnpike System Transportation Commission, Series C, 5.000%, 08/15/31		1.4
New York City General Obligation, Series I, 5.000%, 08/01/24***		1.4
Missouri Highway & Transportation Commission, Fuel Sales Tax Revenue, Series A, 5.000%, 05/01/22		1.4
Ohio Water Development Authority, Water Pollution Control Loan Fund, Series 2015A, 5.000%, 06/01/25		1.4
Top Ten as a Group		17.7	%

*** Top Ten Holdings as of December 31, 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.

10

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Principal Amount		Value
Municipal Bonds - 96.2%
Arizona - 4.1%
Arizona School Facilities Board COPS, Series A, 5.000%, 09/01/21	$	5,090,000	$	6,047,989
Arizona Transportation Board, Subordinated Highway Revenue, Series 2013 A, 5.000%, 07/01/22		4,355,000		5,319,415
Arizona Water Infrastructure Finance Authority, Water Quality Revenue, Series A, 5.000%, 10/01/26		15,000,000		19,200,000
City of Phoenix Civic Improvement Corp., Water Utility Improvements, Series A, 5.000%, 07/01/21		4,110,000		4,623,544
Phoenix Civic Improvement Corp., Water Utility Improvements, Series A, 5.000%, 07/01/22		3,650,000		4,104,900
Total Arizona				39,295,848
California - 3.6%
California State Tax Exempt General Obligation, 5.000%, 03/01/24		5,000,000		6,343,400
California State University, Series A, 5.000%, 11/01/29		4,510,000		5,756,384
State of California, 5.000%, 09/01/25		10,000,000		13,002,500
State of California, Series C, 5.000%, 09/01/26		7,700,000		9,928,149
Total California				35,030,433
Colorado - 0.8%
Regional Transportation District County COPS, Series A, 5.000%, 06/01/24		6,000,000		7,319,340
Connecticut - 0.7%
State of Connecticut Special Tax Revenue, Transit Infrastructure, 5.000%, 08/01/24		5,340,000		6,746,182
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		5,986,650
District of Columbia Water & Sewer Authority Public Utility Revenue, Sub Lien, Series C, 5.000%, 10/01/24		5,475,000		6,710,269
District of Columbia, Series A, 5.000%, 06/01/24		5,000,000		6,372,150
District of Columbia, Series A, 5.000%, 06/01/30		5,000,000		6,408,650
Total District of Columbia				25,477,719
Florida - 3.9%
Florida State Board of Education, Series D, 5.000%, 06/01/24		6,565,000		7,783,727
Orange County Health Facilities Authority, Series A, 5.000%, 10/01/31		4,165,000		5,250,316
State of Florida, Capital Outlay, Series B, 5.000%, 06/01/27		9,295,000		11,790,057
State of Florida, Department of Transportation, Fuel Sales Tax Revenue, Series B, 5.000%, 07/01/26		5,720,000		6,778,086
Tampa Bay Water, 5.500%, 10/01/22 (National Insured)4		5,000,000		6,312,000
Total Florida				37,914,186
Georgia - 4.5%
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/25		5,000,000		6,459,650
Georgia State University & College Improvements, Series A, 5.000%, 02/01/26		5,520,000		7,191,953
Georgia State University & College Improvements, Series A - Tranche 2, 5.000%, 07/01/24		5,000,000		6,120,200
Georgia State, Series E-2, 5.000%, 09/01/21		9,265,000		11,142,274
Georgia State University & College Improvements, Series A, 5.000%, 07/01/27		5,450,000		6,614,719
State of Georgia, Series C, 5.000%, 09/01/23		5,000,000		6,163,650
Total Georgia				43,692,446

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

11

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Idaho - 0.7%
Idaho Housing & Finance Association, 5.000%, 07/15/23	$	5,770,000	$	7,042,862
Illinois - 3.4%
Chicago O’Hare International Airport, Series B, 5.000%, 01/01/28		10,500,000		12,928,965
Illinois State Finance Authority Revenue, University of Chicago, Series A, 5.000%, 10/01/23		5,070,000		6,266,723
Illinois State Toll Highway Authority, Series A, 5.000%, 12/01/22		3,590,000		4,386,190
Illinois State Toll Highway Authority, Series A, 5.000%, 12/01/31		7,780,000		9,718,932
Total Illinois				33,300,810
Indiana - 0.7%
Indiana Finance Authority, Indiana University Health Revenue, Series A, 5.000%, 12/01/23		5,000,000		6,237,600
Iowa - 0.5%
State of Iowa, Series A, 5.000%, 06/01/25		4,000,000		5,120,840
Maryland - 4.7%
Maryland State, General Obligation, University and College Improvements, Series A, 5.000%, 03/01/22		5,000,000		6,093,400
Maryland State, General Obligation, University and College Improvements, Series B, 5.000%, 08/01/23		21,290,000		26,179,887
University System of Maryland, University & College Improvements, Series A, 5.000%, 04/01/23		5,475,000		6,841,450
University System of Maryland, University & College Improvements, Series A, 5.000%, 04/01/24		5,075,000		6,486,966
Total Maryland				45,601,703
Massachusetts - 8.2%
Commonwealth of Massachusetts, Public Improvements, Series B, 5.000%, 08/01/22		5,000,000		5,826,050
Commonwealth of Massachusetts, Series A, 5.000%, 07/01/25		7,500,000		9,706,350
Commonwealth of Massachusetts, Series B, 5.000%, 07/01/23		10,000,000		12,439,700
Massachusetts Clean Water Trust, 5.000%, 08/01/25		12,050,000		14,900,198
Massachusetts School Building Authority, 5.000%, 08/15/25		5,025,000		6,149,695
Massachusetts State Department of Taxation and Finance, Series F, 5.000%, 11/01/24		10,000,000		12,292,100
Massachusetts State Development Finance Agency, Boston College, Series S, 5.000%, 07/01/23		5,645,000		7,091,249
Massachusetts Water Resources Authority, Series C, 5.000%, 08/01/26		4,025,000		5,376,957
University of Massachusetts Building Authority, Series 2, 5.000%, 11/01/21		5,000,000		6,027,750
Total Massachusetts				79,810,049
Michigan - 0.8%
Michigan State Building Authority Revenue, Series I, 5.000%, 04/15/27		5,700,000		7,201,494
Minnesota - 1.9%
Minnesota Public Facilities Authority, Water Revenue, 5.000%, 03/01/22		5,085,000		6,200,090
Minnesota State General Obligation, Series D, 5.000%, 08/01/22		10,000,000		12,296,800
Total Minnesota				18,496,890
Missouri - 2.7%
Missouri Highway & Transportation Commission, Fuel Sales Tax Revenue, Series A, 5.000%, 05/01/22		10,720,000		13,104,235
Missouri Highway & Transportation Commission, Fuel Sales Tax Revenue, Series B, 5.000%, 05/01/23		10,305,000		12,938,340
Total Missouri				26,042,575

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

12

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
New Jersey - 1.5%
New Jersey Economic Development Authority, School Facilities Construction, 5.000%, 03/01/25	$	2,000,000	$	2,238,260
New Jersey Economic Development Authority, Schools Facilities Construction, Series II, 5.000%, 03/01/22		2,175,000		2,439,197
New Jersey State Turnpike Authority Revenue, Series 2012 B, 5.000%, 01/01/24		2,790,000		3,422,326
New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 01/01/24		4,925,000		5,993,331
Total New Jersey				14,093,114
New York - 8.7%
Metropolitan Transportation Authority, Fuel Sales Tax Revenue, Series A, 5.000%, 11/15/24		10,000,000		12,830,100
Metropolitan Transportation Authority, Transit Revenue, Series C, 5.000%, 11/15/21		5,185,000		6,213,445
Metropolitan Transportation Authority, Transit Revenue, Series F, 5.000%, 11/15/24		4,935,000		6,062,697
New York City General Obligation, Series C, 5.000%, 08/01/24		5,000,000		6,347,050
New York City General Obligation, Series G, 5.000%, 08/01/23		5,000,000		6,226,550
New York City General Obligation, Series I, 5.000%, 08/01/24		10,785,000		13,134,728
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series C, 5.000%, 11/01/23		10,000,000		12,591,100
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series D, 5.000%, 11/01/22		5,115,000		5,904,756
New York City Water & Sewer System Revenue, Series FF, 5.000%, 06/15/25		7,500,000		8,688,150
New York State Urban Development Corp., Personal Income Tax Revenue, 5.000%, 03/15/24		5,000,000		6,349,850
Total New York				84,348,426
North Carolina - 4.1%
North Carolina Municipal Power Agency No. 1, Electric, Power and Light Revenue, Series A, 5.000%, 01/01/27		5,025,000		6,472,100
North Carolina State Limited Obligation, Series A, 5.000%, 06/01/26		20,160,000		26,959,162
North Carolina State Limited Obligation, Series C, 5.000%, 05/01/23		5,000,000		6,233,050
Total North Carolina				39,664,312
Ohio - 4.6%
Ohio State General Obligation, Series A, 5.000%, 09/15/22		10,000,000		12,301,100
Ohio State General Obligation, University & College Improvements, Series C, 5.000%, 11/01/26		5,000,000		6,454,850
Ohio Water Development Authority, Water Pollution Control Loan Fund, 5.000%, 06/01/23		5,000,000		6,273,850
Ohio Water Development Authority, Water Pollution Control Loan Fund, Series 2015A, 5.000%, 06/01/25		10,000,000		13,081,300
State of Ohio, Series A, 5.000%, 09/15/25		4,500,000		5,879,025
Total Ohio				43,990,125
Pennsylvania - 1.5%
Lancaster County Hospital Authority, University of Pennsylvania Health Revenue, 5.000%, 08/15/26		6,455,000		8,349,220
Pennsylvania Economic Development Financing Authority Revenue, Series 2012 B, 5.000%, 07/01/21		5,740,000		6,113,100
Total Pennsylvania				14,462,320
Tennessee - 0.7%
State of Tennessee Fuel Sales Tax Revenue, Series B, 5.000%, 09/01/26		5,000,000		6,462,400
Texas - 14.3%
Central Texas Turnpike System Transportation Commission, Series C, 5.000%, 08/15/31		11,045,000		13,266,370
City of Austin TX Water & Wastewater System Revenue, Series A, 5.000%, 11/15/22		7,790,000		9,548,670
City of Dallas TX Waterworks & Sewer System Revenue, Series A, 5.000%, 10/01/22		10,000,000		12,296,700

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

13

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Texas - 14.3% (continued)
Cypress-Fairbanks Independent School District, Series C, 5.000%, 02/15/23	$	5,100,000	$	6,316,656
Metropolitan Transit Authority of Harris County, Series A, 5.000%, 11/01/24		5,000,000		6,372,800
North Texas Tollway Authority Revenue, Special Projects System, 1st Tier, Series A, 5.000%, 01/01/25		5,320,000		6,608,291
North Texas Tollway Authority Revenue, Special Projects System, Series D, 5.250%, 09/01/27		10,265,000		12,336,066
North Texas Tollway Authority, Series A, 5.000%, 01/01/26		7,640,000		9,435,400
Plano Independent School District, Series A, 5.000%, 02/15/22		6,000,000		7,240,200
San Antonio Electric & Gas Revenue, Series A, 5.250%, 02/01/25		5,000,000		5,555,250
Spring Branch Independent School District, Series A, 5.000%, 02/01/21		8,650,000		10,178,888
State of Texas, Transportation Commission Highway Improvements Revenue, 5.000%, 04/01/25		5,000,000		6,062,450
Tarrant County Cultural Education Facilities Finance Corp., 5.000%, 11/15/28		4,350,000		5,565,999
Texas Transportation Commission Fund, Series A, 5.000%, 04/01/27		12,000,000		14,461,080
The University of Texas System Financing Revenue, Series A, 5.000%, 08/15/22		4,525,000		5,187,415
The University of Texas System Financing Revenue, Series B, 5.000%, 08/15/22		6,865,000		8,428,778
Total Texas				138,861,013
Virginia - 4.0%
Commonwealth of Virginia, Series B, 5.000%, 06/01/22		12,980,000		15,932,041
Fairfax County Industrial Development Authority, 5.000%, 05/15/30		6,250,000		7,971,312
Virginia College Building Authority, 21st Century College & Equipment, 5.000%, 02/01/21		5,000,000		5,900,950
Virginia College Building Authority, Series B, 5.000%, 09/01/23		5,350,000		6,714,410
Virginia Public Building Authority, Correctional Facilities Revenue, Series B, 5.000%, 08/01/24		2,320,000		2,608,074
Total Virginia				39,126,787
Washington - 8.1%
City of Seattle WA Municipal Light & Power Revenue, Series A, 5.000%, 02/01/23		2,175,000		2,542,466
City of Seattle WA Municipal Light & Power Revenue, Series B, 5.000%, 02/01/23		5,565,000		6,345,714
Energy Northwest Electric Revenue, Bonneville Power, 5.000%, 07/01/25		10,000,000		13,029,800
Energy Northwest Washington Electric Revenue, Columbia Generating Station, Series A, 5.000%, 07/01/21		5,035,000		6,004,086
King County Sewer Revenue, Series B, 5.000%, 01/01/24		5,175,000		6,031,359
State of Washington School Improvements, Series C, 5.000%, 02/01/28		5,925,000		7,608,826
State of Washington, Water Utility Improvements Revenue, Series C, 5.000%, 08/01/25		11,925,000		14,491,976
University of Washington, University & College Improvements Revenue, Series C, 5.000%, 07/01/27		7,270,000		8,953,223
Washington Health Care Facilities Authority Multicare Health System, Series B, 5.000%, 08/15/23		3,940,000		4,887,452
Washington State Generation Obligation, Series 2016A, 5.000%, 07/01/21		7,315,000		8,687,660
Total Washington				78,582,562
Wisconsin - 4.9%
Wisconsin State Revenue, Department of Transportation, Series 1, 5.000%, 07/01/21		5,000,000		5,967,700
Wisconsin State Revenue, Department of Transportation, Series 1, 5.000%, 07/01/25		3,005,000		3,691,162
Wisconsin State Revenue, Department of Transportation, Series A, 5.000%, 07/01/22		5,000,000		6,139,700
Wisconsin State Revenue, Department of Transportation, Series A, 5.000%, 07/01/24		5,000,000		6,420,850
Wisconsin State, Series 1, 5.000%, 11/01/21		8,010,000		9,647,244

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

14

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Wisconsin - 4.9% (continued)
Wisconsin State, Series 2, 5.000%, 05/01/24	$	3,420,000	$	4,156,907
Wisconsin State, Series A, 5.000%, 05/01/23		10,000,000		11,835,900
Total Wisconsin				47,859,463
Total Municipal Bonds (cost $900,262,468)				931,781,499
	Shares
Short-Term Investments - 4.5%
Dreyfus Government Cash Management Fund, 0.25%6 (cost $43,295,515)		43,295,515		43,295,515
Total Investments - 100.7% (cost $943,557,983)				975,077,014
Other Assets, less Liabilities - (0.7)%				(6,733,819	)
Net Assets - 100.0%			$	968,343,195

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

15

AMG GW&K Municipal Enhanced Yield Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

	AMG GW&K Municipal
Sector	Enhanced Yield Fund*
Industrial Development		30.6	%
Healthcare		25.2	%
Transportation		24.7	%
Utilities		8.0	%
State and Non-State Appropriated Tobacco		4.2	%
General Obligation		3.0	%
Housing		2.0	%
Education		1.1	%
Other Assets & Liabilities		1.2	%

* As a percentage of net assets.

	AMG GW&K Municipal
Rating	Enhanced Yield Fund**
Aa		18.9	%
A		35.4	%
BBB		45.7	%

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

TOP TEN HOLDINGS

	% of
Security Name	Net Assets
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/40***		4.9	%
New Jersey Turnpike Authority, Series E, 5.000%, 01/01/45***		4.3
Central Texas Turnpike System, Series C, 5.000%, 08/15/42***		3.9
New York Transportation Development Corp., Laguardia Airport Terminal B, 5.000%, 07/01/46		3.6
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, 5.000%, 12/01/44		2.8
Illinois State Toll Highway Authority, Series B, 5.000%, 01/01/40		2.7
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group 5.000%, 11/15/39		2.6
Massachusetts Development Finance Agency, Dana-Farber Cancer Institute, 5.000%, 12/01/46		2.4
Miami Beach Health Facilities Authority, Mt. Sinai Medical Center, 5.000%, 11/15/39***		2.4
New York City Transitional Finance Authority, Building Aid Revenue, Series S-1, 5.000%, 07/15/43		2.4
Top Ten as a Group		32.0	%

*** Top Ten Holdings as of December 31, 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.

16

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Principal Amount		Value
Municipal Bonds - 98.8%
California - 2.1%
M-S-R Energy Authority, Natural Gas Revenue, Series C, 6.500%, 11/01/39	$	3,635,000	$	5,555,807
Colorado - 1.6%
Public Authority for Colorado Energy Natural Gas Purchase Revenue, Series 2008, 6.500%, 11/15/38		2,740,000		4,107,370
Florida - 9.0%
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, 5.000%, 12/01/44		6,200,000		7,236,578
Martin County Health Facilities Authority, Martin Memorial Medical Center, 5.500%, 11/15/42		4,410,000		4,992,870
Miami Beach Health Facilities Authority, Mt. Sinai Medical Center, 5.000%, 11/15/39		5,430,000		6,244,717
Orange County Health Facilities Authority, Orlando Health Inc., Series A, 5.000%, 10/01/39		4,015,000		4,884,047
Total Florida				23,358,212
Georgia - 4.9%
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/40		10,350,000		12,661,362
Idaho - 0.9%
Idaho Health Facilities Authority, Trinity Health Corp., Series 2016, 5.000%, 12/01/45		2,000,000		2,436,160
Illinois - 11.9%
Illinois State General Obligation, 5.000%, 02/01/39		3,890,000		4,223,762
Illinois State General Obligation, 5.500%, 07/01/38		3,245,000		3,652,702
Illinois State Toll Highway Authority, Series B, 5.000%, 01/01/40		5,635,000		6,866,022
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series 2012 A, 5.000%, 06/15/42		4,935,000		5,386,997
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series B, 5.000%, 06/15/52		5,240,000		5,690,430
Railsplitter Tobacco Settlement Authority Revenue, 6.000%, 06/01/28		4,150,000		4,977,302
Total Illinois				30,797,215
Louisiana - 3.9%
Louisiana Local Government Environmental Facilities and Community Development Authority Hospital Revenue, Series 2010 A, 5.875%, 10/01/40		4,395,000		5,198,098
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project, 5.000%, 05/15/47		4,235,000		5,001,366
Total Louisiana				10,199,464
Massachusetts - 5.1%
Massachusetts Development Finance Agency, Dana-Farber Cancer Institute, 5.000%, 12/01/46		5,000,000		6,102,800
Massachusetts Development Finance Agency, Lahey Clinic Obligations, Series F, 5.000%, 08/15/45		3,500,000		4,196,115
Massachusetts Health and Educational Facilities Authority Revenue, Suffolk University, Series 2009 A, 5.750%, 07/01/39		2,485,000		2,803,950
Total Massachusetts				13,102,865
Michigan - 4.4%
Michigan Finance Authority, Trinity Health Corp., Series 2016, 5.000%, 12/01/45		4,380,000		5,335,190
Michigan State Building Authority Revenue, Facilities Program, Series I, 5.000%, 10/15/45		3,000,000		3,642,240
Michigan State Hospital Finance Authority Revenue, Henry Ford Health System, Series 2009, 5.750%, 11/15/39		1,995,000		2,298,579
Total Michigan				11,276,009
Nebraska - 2.2%
Central Plains Energy Project, Natural Gas Revenue, 5.000%, 09/01/42		5,010,000		5,652,983

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

17

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
New Jersey - 11.2%
New Jersey Economic Development Authority, School Facilities Construction, 5.000%, 03/01/25	$	2,575,000	$	2,881,760
New Jersey Economic Development Authority, Series XX, 5.000%, 06/15/22		5,000,000		5,630,250
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/28		1,020,000		1,141,441
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/29		1,000,000		1,116,160
New Jersey Economic Development Authority, UMM Energy Partners, Series 2012 A, 5.125%, 06/15/43		4,450,000		4,842,268
New Jersey Transportation Trust Fund Authority, Series A, 5.000%, 06/15/42		2,000,000		2,194,480
New Jersey Turnpike Authority, Series E, 5.000%, 01/01/45		9,235,000		11,045,060
Total New Jersey				28,851,419
New York - 13.2%
Long Island Power Authority, Electric Light & Power Improvements, Series A, 5.000%, 09/01/44		2,570,000		3,093,689
Long Island Power Authority, Series B, 5.000%, 09/01/45		3,960,000		4,797,778
New York City Transitional Finance Authority, Building Aid Revenue, Series S-1, 5.000%, 07/15/43		5,000,000		6,163,250
New York State Thruway Authority, Junior Lien, Series A, 5.000%, 01/01/41		2,125,000		2,599,300
New York State Thruway Authority, Junior Lien, Series A, 5.000%, 01/01/46		5,000,000		6,097,000
New York Transportation Development Corp., Laguardia Airport Terminal B, 5.000%, 07/01/46		8,150,000		9,406,241
Port Authority of New York and New Jersey Special Project, JFK International Air Terminal LLC Project, Series 2010, 6.000%, 12/01/42		1,580,000		1,849,058
Total New York				34,006,316
Pennsylvania - 1.7%
Lancaster County Hospital Authority, University of Pennsylvania Health Revenue, 5.000%, 08/15/46		3,550,000		4,352,548
Rhode Island - 2.3%
Tobacco Settlement Financing Corp., Series A, 5.000%, 06/01/35		2,000,000		2,237,460
Tobacco Settlement Financing Corp., Series A, 5.000%, 06/01/40		3,250,000		3,596,450
Total Rhode Island				5,833,910
Texas - 16.1%
Central Texas Regional Mobility Authority, 5.000%, 01/01/40		4,600,000		5,501,462
Central Texas Regional Mobility Authority, 5.000%, 01/01/46		3,700,000		4,407,958
Central Texas Regional Mobility Authority Senior Lien Revenue, Series A, 5.000%, 01/01/43		1,500,000		1,731,015
Central Texas Turnpike System, Series C, 5.000%, 08/15/42		8,570,000		10,085,262
Grand Parkway Transportation Corp., 1st Tier Toll Revenue, Series A, 5.500%, 04/01/53		3,790,000		4,483,153
New Hope Cultural Education Facilities Corp., College Station Project, Series A, 5.000%, 07/01/47		4,600,000		5,242,160
Texas Municipal Gas Acquisition & Supply Corp., Gas Supply Revenue, Senior Lien Series 2008 D, 6.250%, 12/15/26		3,720,000		4,820,116
Texas Private Activity Bond Surface Transportation Corp., Senior Lien-Blueridge Transport, 5.000%, 12/31/40		1,500,000		1,763,670
Texas Private Activity Bond Surface Transportation Corp., Senior Lien-Blueridge Transport, 5.000%, 12/31/45		3,000,000		3,511,050
Total Texas				41,545,846
Virginia - 1.3%
Chesapeake City Expressway Toll Road Revenue, Series 2012 A, 5.000%, 07/15/47		3,000,000		3,415,260
West Virginia - 2.3%
West Virginia Hospital Finance Authority, West Virginia United Health Systems Obligation Group, Series A, 5.500%, 06/01/44		5,000,000		5,998,050

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

18

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (continued)

	Principal Amount		Value
Wisconsin - 4.7%
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group, 5.000%, 11/15/39	$	5,510,000	$	6,793,499
Wisconsin Health & Educational Facilities Authority, ProHealth Care Obligation Group, 5.000%, 08/15/39		4,570,000		5,392,691
Total Wisconsin				12,186,190
Total Municipal Bonds (cost $238,624,775)				255,336,986
	Shares
Short-Term Investments - 3.6%
Dreyfus Government Cash Management Fund, 0.25%6 (cost $9,356,738)		9,356,738		9,356,738
Total Investments - 102.4% (cost $247,981,513)				264,693,724
Other Assets, less Liabilities - (2.4)%				(6,327,858	)
Net Assets - 100.0%			$	258,365,866

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

19

AMG GW&K Small Cap Core Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

	AMG GW&K Small Russell 2000®
Sector	Cap Core Fund*			Index
Financials		22.7	%		25.8	%
Industrials		18.1	%		13.8	%
Health Care		15.3	%		13.6	%
Information Technology		15.3	%		17.2	%
Consumer Discretionary		14.8	%		13.5	%
Materials		4.1	%		4.6	%
Utilities		3.2	%		4.4	%
Energy		2.9	%		3.1	%
Consumer Staples		1.7	%		3.1	%
Telecommunication Services		0.0	%		0.9	%
Other Assets and Liabilities		1.9	%		0.0	%

* As a percentage of net assets.

TOP TEN HOLDINGS

	% of
Security Name	Net Assets
West Pharmaceutical Services, Inc.**		2.8	%
MarketAxess Holdings, Inc.**		2.5
Tyler Technologies, Inc.**		2.3
Texas Roadhouse, Inc.**		2.2
Grand Canyon Education, Inc.**		2.1
NorthWestern Corp.**		2.1
FEI Co.**		2.0
ICU Medical, Inc.**		1.9
LogMeln, Inc.		1.9
Education Realty Trust, Inc.		1.8
Top Ten as a Group		21.6	%

** Top Ten Holdings as of December 31, 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.

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.

20

AMG GW&K Small Cap Core Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Shares		Value
Common Stocks - 98.1%
Consumer Discretionary - 14.8%
CalAtlantic Group, Inc.		149,222	$	5,477,940
Five Below, Inc.*,1		137,160		6,365,596
Grand Canyon Education, Inc.*		204,230		8,152,862
Helen of Troy, Ltd.*		37,845		3,891,980
Hibbett Sports, Inc.*,1		103,025		3,584,240
Lithia Motors, Inc., Class A1		64,625		4,592,899
Monro Muffler Brake, Inc.		47,530		3,021,007
Oxford Industries, Inc.		65,834		3,727,521
Texas Roadhouse, Inc.		188,985		8,617,716
Tumi Holdings, Inc.*		107,362		2,870,860
Tupperware Brands Corp.		69,037		3,885,402
Wolverine World Wide, Inc.		159,943		3,250,042
Total Consumer Discretionary				57,438,065
Consumer Staples - 1.7%
Amplify Snack Brands, Inc.*,1		150,027		2,212,898
WD-40 Co.		38,700		4,545,315
Total Consumer Staples				6,758,213
Energy - 2.9%
Dril-Quip, Inc.*		56,186		3,282,948
Forum Energy Technologies, Inc.*		194,499		3,366,778
Matador Resources Co.*,1		232,948		4,612,370
Total Energy				11,262,096
Financials - 22.7%
American Campus Communities, Inc.		106,840		5,648,631
Ameris Bancorp		92,331		2,742,231
AMERISAFE, Inc.		86,276		5,281,817
Cathay General Bancorp		202,715		5,716,563
Cohen & Steers, Inc.		131,955		5,336,260
Education Realty Trust, Inc.		154,272		7,118,110
Glacier Bancorp, Inc.		111,550		2,964,999
IBERIABANK Corp.		63,467		3,790,884
MarketAxess Holdings, Inc.		67,495		9,813,773
National Health Investors, Inc.		73,259		5,501,018
Pebblebrook Hotel Trust1		118,243		3,103,879
PRA Group, Inc.*		72,629		1,753,264
ProAssurance Corp.		99,310		5,318,050
STAG Industrial, Inc.		227,030		5,405,584
Stifel Financial Corp.*		127,630		4,013,964
Sun Communities, Inc.		73,672		5,646,222

	Shares		Value
Texas Capital Bancshares, Inc.*		98,515	$	4,606,561
Webster Financial Corp.		131,185		4,453,731
Total Financials				88,215,541
Health Care - 15.3%
Air Methods Corp.*		32,115		1,150,680
Analogic Corp.		49,337		3,919,331
Cantel Medical Corp.		73,177		5,029,455
Catalent, Inc.*		184,984		4,252,782
Diplomat Pharmacy, Inc.*,1		143,779		5,032,265
Globus Medical, Inc., Class A*		231,841		5,524,771
ICU Medical, Inc.*		65,610		7,397,528
Impax Laboratories, Inc.*		126,340		3,641,119
Medidata Solutions, Inc.*		108,850		5,101,800
Team Health Holdings, Inc.*,1		102,081		4,151,634
West Pharmaceutical Services, Inc.		142,290		10,796,965
Wright Medical Group, Inc*		206,590		3,588,468
Total Health Care				59,586,798
Industrials - 18.1%
Alamo Group, Inc.		28,676		1,891,756
CEB, Inc.		90,392		5,575,379
CLARCOR, Inc.		95,229		5,792,780
Healthcare Services Group, Inc.		155,175		6,421,141
Heartland Express, Inc.1		270,590		4,705,560
HEICO Corp.		78,431		5,239,975
HEICO Corp., Class A		58,604		3,144,105
Mobile Mini, Inc.		114,735		3,974,420
Primoris Services Corp.		209,602		3,967,766
Proto Labs, Inc.*,1		70,693		4,069,089
RBC Bearings, Inc.*		58,277		4,225,082
Ritchie Bros. Auctioneers, Inc.		201,836		6,818,020
The Toro Co.		51,253		4,520,515
Universal Forest Products, Inc.		69,442		6,436,579
US Ecology, Inc.		77,565		3,564,112
Total Industrials				70,346,279
Information Technology - 15.3%
Blackbaud, Inc.		88,192		5,988,237
Callidus Software, Inc.*		169,916		3,394,922
Cardtronics, Inc.*		102,070		4,063,407
Cognex Corp.		139,545		6,014,389
EPAM Systems, Inc.*		70,239		4,517,070
FEI Co.		73,744		7,881,759

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

21

AMG GW&K Small Cap Core Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Information Technology - 15.3% (continued)
LogMeln, Inc.*		113,773	$	7,216,621
M/A-COM Technology Solutions Holdings, Inc.*,1		118,112		3,895,334
Power Integrations, Inc.		92,592		4,636,081
SciQuest, Inc.*		153,600		2,712,576
Tyler Technologies, Inc.*,1		54,332		9,057,688
Total Information Technology				59,378,084
Materials - 4.1%
Balchem Corp.		66,437		3,962,967
Compass Minerals International, Inc.1		44,254		3,283,204
Flotek Industries, Inc.*		192,087		2,535,548
KapStone Paper and Packaging Corp.		175,440		2,282,474
Silgan Holdings, Inc.		74,783		3,848,333
Total Materials				15,912,526
Utilities - 3.2%
IDACORP, Inc.		52,448		4,266,645
NorthWestern Corp.		127,602		8,047,858
Total Utilities				12,314,503
Total Common Stocks (cost $333,372,699)				381,212,105
	Principal Amount
Short-Term Investments - 8.4%
Repurchase Agreements - 6.6%5
Cantor Fitzgerald Securities, Inc., dated
06/30/16, due 07/01/16, 0.470%, total to be received $6,026,631 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 07/15/16 - 05/20/66, totaling $6,147,083)	$	6,026,552		6,026,552

	Principal Amount		Value
Citigroup Global Markets, Inc., 06/30/16, due 07/01/16, 0.440%, total to be received $6,026,626 (collateralized by various U.S. Government Agency Obligations, 0.500% - 7.500%, 04/30/17 - 03/15/57, totaling $6,147,083)	$	6,026,552	$	6,026,552
HSBC Securities USA, Inc., dated 06/30/16, due 07/01/16, 0.400%, total to be received $5,762,493 (collateralized by a U.S. Government Agency Obligation, 3.000% - 8.000%, 08/01/22 - 06/01/46, totaling $5,877,695)		5,762,429		5,762,429
Merrill Lynch Pierce Fenner & Smith, Inc, dated 06/30/16, due 07/01/16, 0.440%, total to be received $6,026,626 (collateralized by various U.S. Government Agency Obligations, 4.000%, 03/20/46 - 05/20/46, totaling $6,147,083)		6,026,552		6,026,552
State of Wisconsin Investment Board, dated 06/30/16, due 07/01/16, 0.480%, total to be received $1,532,581 (collateralized by various U.S. Government Agency Obligations, 0.125% - 2.500%, 04/15/18 - 01/15/29, totaling $1,575,608)		1,532,561		1,532,561
Total Repurchase Agreements				25,374,646
	Shares
Other Investment Companies - 1.8%6
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39%		7,055,498		7,055,498
Total Short-Term Investments (cost $32,430,144)				32,430,144
Total Investments - 106.5% (cost $365,802,843)				413,642,249
Other Assets, less Liabilities - (6.5)%				(25,213,744	)
Net Assets - 100.0%			$	388,428,505

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

22

AMG GW&K Small Cap Growth Fund

Fund Snapshots (unaudited)

June 30, 2016

PORTFOLIO BREAKDOWN

	AMG GW&K Small Russell 2000®
Sector	Cap Growth Fund*			Growth Index
Information Technology		23.4	%		24.2	%
Health Care		22.3	%		22.4	%
Consumer Discretionary		16.3	%		16.4	%
Industrials		15.0	%		15.5	%
Financials		9.8	%		10.5	%
Consumer Staples		3.3	%		3.3	%
Materials		3.0	%		4.6	%
Energy		1.0	%		1.2	%
Telecommunication Services		0.0	%		1.0	%
Utilities		0.0	%		0.9	%
Other Assets and Liabilities		5.9	%		0.0	%

* As a percentage of net assets.

TOP TEN HOLDINGS

	% of
Security Name	Net Assets
Grand Canyon Education, Inc.**		2.5	%
MarketAxess Holdings, Inc.**		2.4
Five Below, Inc.		2.4
Ritchie Bros. Auctioneers, Inc.		2.3
WageWorks, Inc.		2.2
Burlington Stores, Inc.		2.2
Pool Corp.**		2.1
FEI Co.		1.8
Power Integrations, Inc.**		1.8
HEICO Corp.		1.8
Top Ten as a Group		21.5	%

** Top Ten Holdings as of December 31, 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.

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.

23

AMG GW&K Small Cap Growth Fund

Schedule of Portfolio Investments (unaudited)

June 30, 2016

	Shares		Value
Common Stocks - 94.1%
Consumer Discretionary - 16.3%
BJ’s Restaurants, Inc.*		645	$	28,270
Build-A-Bear Workshop, Inc.*		1,605		21,539
Burlington Stores, Inc.*		670		44,696
Chuy’s Holdings, Inc.*,1		860		29,765
Five Below, Inc.*,1		1,040		48,266
Fox Factory Holding Corp.*		1,100		19,107
Grand Canyon Education, Inc.*		1,260		50,299
Hibbett Sports, Inc.*,1		525		18,265
Oxford Industries, Inc.		410		23,214
Pool Corp.		460		43,254
Vitamin Shoppe, Inc.*,1		270		8,254
Total Consumer Discretionary				334,929
Consumer Staples - 3.3%
Amplify Snack Brands, Inc.*,1		1,270		18,733
PriceSmart, Inc.		330		30,878
Smart & Final Stores, Inc.*		1,260		18,761
Total Consumer Staples				68,372
Energy - 1.0%
Matador Resources Co.*,1		1,070		21,186
Financials - 9.8%
Encore Capital Group, Inc.*		760		17,883
Greenhill & Co., Inc.		345		5,555
Heritage Insurance Holdings, Inc.		920		11,012
MarketAxess Holdings, Inc.		340		49,436
PrivateBancorp, Inc.		735		32,362
STAG Industrial, Inc.		1,295		30,834
Stifel Financial Corp.*		400		12,580
Sun Communities, Inc.		310		23,758
Texas Capital Bancshares, Inc.*		360		16,834
Total Financials				200,254
Health Care - 22.3%
ABIOMED, Inc.*		205		22,404
Acadia Healthcare Co., Inc.*,1		500		27,700
Align Technology, Inc.*		400		32,220
Amicus Therapeutics, Inc.*,1		3,110		16,981
Bruker Corp.		690		15,691
Catalent, Inc.*		1,115		25,634
DBV Technologies, S.A., Sponsored ADR*		830		27,075
Dynavax Technologies Corp.*,1		1,060		15,455

	Shares		Value
Emergent BioSolutions, Inc.*		735	$	20,668
Endologix, Inc.*,1		1,325		16,510
Globus Medical, Inc., Class A*		1,230		29,311
ICU Medical, Inc.*		230		25,933
Impax Laboratories, Inc.*		730		21,039
Inotek Pharmaceuticals Corp.*		2,420		18,005
Medidata Solutions, Inc.*		735		34,449
Neurocrine Biosciences, Inc.*		565		25,679
Retrophin, Inc.*,1		615		10,953
Team Health Holdings, Inc.*		535		21,758
West Pharmaceutical Services, Inc.		360		27,317
Wright Medical Group N.V.*		1,320		22,928
Total Health Care				457,710
Industrials - 15.0%
CEB, Inc.		415		25,597
Exponent, Inc.		450		26,285
Graco, Inc.		350		27,647
HEICO Corp.		545		36,411
Knight Transportation, Inc.		670		17,809
Mobile Mini, Inc.		670		23,209
Proto Labs, Inc.*,1		400		23,024
Ritchie Bros. Auctioneers, Inc.		1,380		46,616
Thermon Group Holdings, Inc.*		605		11,622
WageWorks, Inc.*		755		45,157
Woodward, Inc.		430		24,785
Total Industrials				308,162
Information Technology - 23.4%
Blackbaud, Inc.		470		31,913
Bottomline Technologies, Inc.*		700		15,071
Cabot Microelectronics Corp.		360		15,242
Callidus Software, Inc.*		1,390		27,772
Cardtronics, Inc.*		525		20,900
Cognex Corp.		615		26,507
comScore, Inc.*		690		16,477
CyberArk Software, Ltd.*		400		19,436
EPAM Systems, Inc.*		520		33,441
FEI Co.		355		37,942
Forrester Research, Inc.		840		30,962
Interactive Intelligence Group, Inc.*		545		22,340
IntraLinks Holdings, Inc.*		1,120		7,280
LogMeln, Inc.*		560		35,521

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

24

AMG GW&K Small Cap Growth Fund

Schedule of Portfolio Investments (continued)

	Shares		Value
Information Technology - 23.4% (continued)
M/A-COM Technology Solutions Holdings, Inc.*		610	$	20,118
Power Integrations, Inc.		750		37,552
Super Micro Computer, Inc.*		625		15,531
Tyler Technologies, Inc.*		210		35,009
VeriFone Systems, Inc.*		900		16,686
Zebra Technologies Corp., Class A*		280		14,028
Total Information Technology				479,728
Materials - 3.0%
Balchem Corp.		595		35,492
Flotek Industries, Inc.*		1,060		13,992
KapStone Paper and Packaging Corp.		945		12,294
Total Materials				61,778
Total Common Stocks (cost $1,901,652)				1,932,119

	Principal Amount		Value
Short-Term Investments - 12.5%
Repurchase Agreements - 8.7%5
Cantor Fitzgerald Securities, Inc., dated 06/30/16, due 07/01/16, 0.470% total to be received $178,584 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 07/15/16 - 05/20/66, totaling $182,153)	$	178,582	$	178,582
	Shares
Other Investment Companies - 3.8%6
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39%		77,047		77,047
Total Short-Term Investments (cost $255,629)				255,629
Total Investments - 106.6% (cost $2,157,281)				2,187,748
Other Assets, less Liabilities - (6.6)%				(134,958	)
Net Assets - 100.0%			$	2,052,790

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

25

Notes to Schedules of Portfolio Investments (unaudited)

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

At June 30, 2016, the approximate cost of investments and the aggregate gross unrealized appreciation and depreciation based on federal income tax were as follows:

Fund	Cost		Appreciation		Depreciation			Net
AMG GW&K Enhanced Core Bond Fund	$	125,811,984	$	3,881,912	$	(92,481	)	$	3,789,431
AMG GW&K Municipal Bond Fund		943,557,983		31,545,314		(26,283	)		31,519,031
AMG GW&K Municipal Enhanced Yield Fund		248,206,712		16,487,012		—			16,487,012
AMG GW&K Small Cap Core Fund		365,853,894		75,623,939		(27,835,584	)		47,788,355
AMG GW&K Small Cap Growth Fund		2,182,875		135,158		(130,285	)		4,873

* Non-income producing security.

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2016, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	5,432,938		4.2	%

¹ Some or all of these securities were out on loan to various brokers as of June 30, 2016, amounting to the following:

Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	1,946,991		1.5	%
AMG GW&K Small Cap Core Fund		24,689,398		6.4	%
AMG GW&K Small Cap Growth Fund		174,058		8.5	%

² Variable Rate Security. The rate listed is as of June 30, 2016, and is periodically reset subject to terms and conditions set forth in the debenture.

³ Perpetuity Bond. The date shown is the final call date.

⁴  Securities in the portfolio backed by insurance of financial institutions and financial guaranty assurance agencies. At June 30, 2016, the value of these securities amounted to the following:

Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	1,341,255		1.0	%
AMG GW&K Municipal Bond Fund		6,312,000		0.7	%

⁵  Collateral received from brokers for securities lending was invested in these joint repurchase agreements.

⁶  Yield shown represents the June 30, 2016, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

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

26

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 June 30, 2016: (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 GW&K Enhanced Core Bond Fund
Investments in Securities
Corporate Bonds and Notes†		—	$	68,999,683		—	$	68,999,683
Municipal Bonds††		—		8,627,117		—		8,627,117
U.S. Government and Agency Obligations†		—		48,224,644		—		48,224,644
Short-Term Investments
Repurchase Agreements		—		2,013,479		—		2,013,479
Other Investment Companies	$	1,736,492		—		—		1,736,492
Total Investments in Securities	$	1,736,492	$	127,864,923		—	$	129,601,415
	Quoted Prices in Active Markets		Significant Other		Significant
	for Identical Investments		Observable Inputs		Unobservable Inputs
	Level 1		Level 2		Level 3		Total
AMG GW&K Municipal Bond Fund
Investments in Securities
Municipal Bonds††		—	$	931,781,499		—	$	931,781,499
Short-Term Investments	$	43,295,515		—		—		43,295,515
Total Investments in Securities	$	43,295,515	$	931,781,499		—	$	975,077,014
	Quoted Prices in Active Markets		Significant Other		Significant
	for Identical Investments		Observable Inputs		Unobservable Inputs
	Level 1		Level 2		Level 3		Total
AMG GW&K Municipal Enhanced Yield Fund
Investments in Securities
Municipal Bonds††		—	$	255,336,986		—	$	255,336,986
Short-Term Investments	$	9,356,738		—		—		9,356,738
Total Investments in Securities	$	9,356,738	$	255,336,986		—	$	264,693,724

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

27

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 GW&K Small Cap Core Fund
Investments in Securities
Common Stocks†††	$	381,212,105		—		—	$	381,212,105
Short-Term Investments
Other Investment Companies		7,055,498		—		—		7,055,498
Repurchase Agreements		—	$	25,374,646		—		25,374,646
Total Investments in Securities	$	388,267,603	$	25,374,646		—	$	413,642,249
	Quoted Prices in Active Markets		Significant Other		Significant
	for Identical Investments		Observable Inputs		Unobservable Inputs
	Level 1		Level 2		Level 3		Total
AMG GW&K Small Cap Growth Fund
Investments in Securities
Common Stocks†††	$	1,932,119		—		—	$	1,932,119
Short-Term Investments
Repurchase Agreements		—	$	178,582		—		178,582
Other Investment Companies		77,047		—		—		77,047
Total Investments in Securities	$	2,009,166	$	178,582		—	$	2,187,748

^†  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.

^††  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 Schedule of Portfolio Investments.

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

As of June 30, 2016, the Funds had no transfers between levels from the beginning of the reporting period.

INVESTMENTS DEFINITIONS AND ABBREVIATIONS:

ADR: ADR after the name of a holding stands for American Depositary Receipt, representing ownership of foreign securities on deposit with a domestic custodian bank. The value of an ADR security is determined or significantly influenced by trading on exchanges not located in the United States or Canada. Sponsored ADRs are initiated by the underlying foreign company.

COPS:	Certificates of Participation
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.

28

Statement of Assets and Liabilities (unaudited)

June 30, 2016

	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 $1,946,991, $0, $0, $24,689,398 and $174,058, respectively)	$	129,601,415	$	975,077,014	$	264,693,724	$	413,642,249	$	2,187,748
Receivable for investments sold		1,607,372		—		1,732,094		—		24,542
Receivable for delayed delivery investments sold		—		—		11,625,300		—		—
Receivable for Fund shares sold		225,348		2,324,833		427,387		318,217		50,440
Dividends, interest and other receivables		1,333,335		10,671,453		2,183,777		403,291		663
Receivable from affiliate		17,461		238,314		35,894		33,102		4,231
Prepaid expenses		27,679		25,280		22,053		19,706		—
Total assets		132,812,610		988,336,894		280,720,229		414,416,565		2,267,624
Liabilities:
Payable upon return of securities loaned		2,013,479		—		—		25,374,646		178,582
Payable for investments purchased		1,392,990		17,570,642		8,817,484		—		—
Payable for delayed delivery investments purchased		—		—		11,521,956		—		—
Payable for Fund shares repurchased		547,073		1,836,907		1,811,730		219,580		—
Accrued expenses:
Investment advisory and management fees		47,169		275,220		103,327		240,354		1,142
Administrative fees		20,964		196,586		51,663		80,118		381
Shareholder service fees - Investor Class		—		14,003		1,267		4,057		—
Shareholder service fees - Service Class		3,402		—		860		3,140		—
Distribution fees - Investor Class		3,873		6,795		1,267		7,396		—
Distribution fees - Class C		8,092		—		—		—		—
Professional fees		27,770		29,857		24,124		20,096		15,093
Registration fees		—		—		—  `		—		13,263
Trustees fees and expenses		—		2,434		—		—		3
Other		15,650		61,255		20,685		38,673		6,370
Total liabilities		4,080,462		19,993,699		22,354,363		25,988,060		214,834
Net Assets	$	128,732,148	$	968,343,195	$	258,365,866	$	388,428,505	$	2,052,790
* Investments at cost	$	125,811,984	$	943,557,983	$	247,981,513	$	365,802,843	$	2,157,281

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

29

Statement of Assets and Liabilities (continued)

						AMG GW&K
	AMG GW&K			AMG GW&K		Municipal		AMG GW&K		AMG GW&K
	Enhanced Core			Municipal Bond		Enhanced Yield		Small Cap		Small Cap
	Bond Fund			Fund		Fund		Core Fund		Growth Fund
Net Assets Represent:
Paid-in capital	$	129,893,874		$	921,105,383	$	232,990,594	$	329,982,551	$	2,075,405
Undistributed (Accumulated) net investment income (loss)		44,779			16,874		4,596		640,059		(2,183	)
Accumulated net realized gain (loss) from investments		(4,995,936	)		15,701,907		8,658,465		9,966,489		(50,899	)
Net unrealized appreciation (depreciation) of investments		3,789,431			31,519,031		16,712,211		47,839,406		30,467
Net Assets	$	128,732,148		$	968,343,195	$	258,365,866	$	388,428,505	$	2,052,790
Investor Class:
Net Assets	$	19,006,020		$	33,544,331	$	6,533,160	$	35,821,707		n/a
Shares outstanding		1,903,961			2,779,536		607,791		1,546,208		n/a
Net asset value, offering and redemption price per share	$	9.98		$	12.07	$	10.75	$	23.17		n/a
Service Class:
Net Assets	$	41,227,210		$	166,585,433	$	17,822,909	$	34,649,015		n/a
Shares outstanding		4,114,419			13,773,747		1,656,568		1,481,743		n/a
Net asset value, offering and redemption price per share	$	10.02		$	12.09	$	10.76	$	23.38		n/a
Class C Shares:
Net Assets	$	9,794,900			n/a		n/a		n/a		n/a
Shares outstanding		982,874			n/a		n/a		n/a		n/a
Net asset value, offering and redemption price per share	$	9.97			n/a		n/a		n/a		n/a
Institutional Class:
Net Assets	$	58,704,018		$	768,213,431	$	234,009,797	$	317,957,783	$	2,052,790
Shares outstanding		5,862,605			63,319,853		21,791,092		13,550,330		230,555
Net asset value, offering and redemption price per share	$	10.01		$	12.13	$	10.74	$	23.46	$	8.90

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

30

Statement of Operations (unaudited)

For the six months ended June 30, 2016

							AMG GW&K
	AMG GW&K			AMG GW&K			Municipal			AMG GW&K			AMG GW&K
	Enhanced Core			Municipal			Enhanced Yield			Small Cap			Small Cap
	Bond Fund			Bond Fund			Fund			Core Fund			Growth Fund
Investment Income:
Interest income	$	1,676,536		$	8,056,293		$	4,394,477		$	278			—
Dividend income		8,657			28,197			7,169			2,408,460		$	4,255
Securities lending income		3,928			—			—			55,442			119
Miscellaneous income		1,706			—			—			—			—
Foreign withholding tax		—			—			—			(9,688	)		(50	)
Total investment income		1,690,827			8,084,490			4,401,646			2,454,492			4,324
Expenses:
Investment advisory and management fees		241,382			1,579,966			608,392			1,373,075			5,137
Administrative fees		107,281			1,128,547			304,196			457,692			1,712
Distribution fees - Investor Class		23,675			37,374			7,406			42,990			—
Distribution fees - Class C		51,730			—			—			—			—
Shareholder servicing fees - Investor Class		—			27,874			7,406			24,829			—
Shareholder servicing fees - Service Class		12,246			117,171			4,743			18,124			—
Professional fees		24,889			47,592			24,591			25,057			11,931
Registration fees		16,063			18,965			16,400			14,487			6,389
Custodian		8,416			34,428			12,023			12,312			3,579
Reports to shareholders		7,124			14,938			5,618			20,279			3,215
Transfer agent		4,143			21,489			5,715			10,259			153
Trustees fees and expenses		3,008			32,494			7,939			13,178			40
Miscellaneous		1,909			8,308			3,305			4,573			698
Total expenses before offsets		501,866			3,069,146			1,007,734			2,016,855			32,854
Fee waivers		—			—			(109,755	)		—			—
Expense reimbursements		(97,714	)		(1,351,308	)		(99,658	)		(191,684	)		(26,347	)
Expense reductions		—			—			—			(10,738	)		—
Net expenses		404,152			1,717,838			798,321			1,814,433			6,507
Net investment income (loss)		1,286,675			6,366,652			3,603,325			640,059			(2,183	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		431,814			11,780,153			7,760,974			7,656,754			(25,676	)
Net change in unrealized appreciation (depreciation) of investments		3,791,607			15,386,921			8,167,509			15,433,660			51,174
Net realized and unrealized gain		4,223,421			27,167,074			15,928,483			23,090,414			25,498
Net increase in net assets resulting from operations	$	5,510,096		$	33,533,726		$	19,531,808		$	23,730,473		$	23,315

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

31

Statements of Changes in Net Assets

For the six months ended June 30, 2016 (unaudited) and the year ended December 31, 2015

	AMG GW&K Enhanced						AMG GW&K Municipal
	Core Bond Fund						Bond Fund
	June 30,			December 31,			June 30,			December 31,
	2016			2015			2016			2015
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	1,286,675		$	2,589,414		$	6,366,652		$	11,879,981
Net realized gain (loss) on investments		431,814			(5,132,363	)		11,780,153			12,154,764
Net change in unrealized appreciation (depreciation) of investments		3,791,607			(631,280	)		15,386,921			3,671,047
Net increase (decrease) in net assets resulting from operations		5,510,096			(3,174,229	)		33,533,726			27,705,792
Distributions to Shareholders:
From net investment income:
Investor Class		(211,226	)		(757,792	)		(141,763	)		(307,554	)
Service Class		(288,388	)		(121,235	)		(961,457	)		(1,760,792	)
Class C		(76,397	)		(284,731	)		—			—
Institutional Class		(665,885	)		(1,459,487	)		(5,246,558	)		(9,837,254	)
From net realized gain on investments:
Investor Class		—			—			—			(345,596	)
Service Class		—			—			—			(1,606,917	)
Class C		—			—			—			—
Institutional Class		—			—			—			(8,166,806	)
Total distributions to shareholders		(1,241,896	)		(2,623,245	)		(6,349,778	)		(22,024,919	)
Capital Share Transactions:1
Net increase from capital share transactions		38,365,646			4,076,345			129,353,714			290,819,321
Total increase (decrease) in net assets		42,633,846			(1,721,129	)		156,537,662			296,500,194
Net Assets:
Beginning of period		86,098,302			87,819,431			811,805,533			515,305,339
End of period	$	128,732,148		$	86,098,302		$	968,343,195		$	811,805,533
End of period undistributed net investment income	$	44,779			—		$	16,874			—

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

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

32

Statements of Changes in Net Assets (continued)

For the six months ended June 30, 2016 (unaudited) and the year ended December 31, 2015

	AMG GW&K Municipal						AMG GW&K Small						AMG GW&K Small
	Enhanced Yield Fund						Cap Core Fund						Cap Growth Fund*
	June 30,			December 31,			June 30,			December 31,			June 30,			December 31,
	2016			2015			2016			2015			2016			2015
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income (loss)	$	3,603,325		$	7,963,038		$	640,059		$	433,600		$	(2,183	)	$	(1,792	)
Net realized gain (loss) on investments		7,760,974			4,973,058			7,656,754			13,481,106			(25,676	)		(23,431	)
Net change in unrealized appreciation (depreciation) of investments		8,167,509			(3,739,962	)		15,433,660			(24,005,209	)		51,174			(20,707	)
Net increase (decrease) in net assets resulting from operations		19,531,808			9,196,134			23,730,473			(10,090,503	)		23,315			(45,930	)
Distributions to Shareholders:
From net investment income:
Investor Class		(74,271	)		(139,414	)		—			—			—			—
Service Class		(234,954	)		(562,790	)		—			(33,789	)		—			—
Institutional Class		(3,289,757	)		(7,264,910	)		—			(710,270	)		—			—
From net realized gain on investments:
Investor Class		—			(71,420	)		—			(1,421,265	)		—			—
Service Class		—			(208,173	)		—			(1,479,651	)		—			—
Institutional Class		—			(2,744,562	)		—			(12,008,340	)		—			—
Total distributions to shareholders		(3,598,982	)		(10,991,269	)		—			(15,653,315	)		—			—
Capital Share Transactions:1
Net increase (decrease) from capital share transactions		8,840,316			(15,159,353	)		(10,113,237	)		26,453,362			856,324			1,219,081
Total increase (decrease) in net assets		24,773,142			(16,954,488	)		13,617,236			709,544			879,639			1,173,151
Net Assets:
Beginning of period		233,592,724			250,547,212			374,811,269			374,101,725			1,173,151			—
End of period	$	258,365,866		$	233,592,724		$	388,428,505		$	374,811,269		$	2,052,790		$	1,173,151
End of period accumulated net investment income (loss)	$	4,596		$	253		$	640,059			—		$	(2,183	)		—

^*  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.

33

AMG GW&K Enhanced Core Bond Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016 (unaudited)
				For the years ended December 31,
Investor Class				2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	9.58		$	10.22		$	9.96		$	11.24		$	10.81		$	11.00
Income from Investment Operations:
Net investment income1,2		0.11			0.29			0.29			0.24			0.44			0.46
Net realized and unrealized gain (loss) on investments		0.40			(0.64	)		0.26			(0.21	)		0.58			0.03
Total income (loss) from investment operations		0.51			(0.35	)		0.55			0.03			1.02			0.49
Less Distributions to Shareholders from:
Net investment income		(0.11	)		(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		(0.11	)		(0.29	)		(0.29	)		(1.31	)		(0.59	)		(0.68	)
Net Asset Value, End of Period	$	9.98		$	9.58		$	10.22		$	9.96		$	11.24		$	10.81
Total Return2		5.34	%6,18		(3.51	)%6		5.58	%		0.29	%		9.53	%		4.53	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.84	%19		0.84	%		0.84	%		0.86	%4		0.84	%5		0.84	%
Ratio of expenses to average net assets (with offsets)		0.84	%19		0.84	%		0.84	%		0.86	%4		0.84	%5		0.84	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.02	%19		1.07	%		1.09	%		1.08	%4		1.04	%5		1.05	%
Ratio of net investment income to average net assets2		2.32	%19		2.87	%		2.82	%		2.14	%4		3.92	%5		4.18	%
Portfolio turnover		42	%18		57	%		22	%		43	%		110	%		28	%
Net assets at end of period (000’s omitted)	$	19,006		$	20,203		$	27,444		$	32,009		$	41,772		$	35,647

	For the six months ended			For the years ended									For the period from December 1, 2012
	June 30, 2016			December 31,									through
Service Class	(unaudited)			2015			2014			2013			December 31, 2012*
Net Asset Value, Beginning of Period	$	9.62		$	10.26		$	9.99		$	11.28		$	11.41
Income from Investment Operations:
Net investment income1,2		0.12			0.30			0.31			0.26			0.02
Net realized and unrealized gain (loss) on investments		0.40			(0.63	)		0.27			(0.22	)		0.01
Total income (loss) from investment operations		0.52			(0.33	)		0.58			0.04			0.03
Less Distributions to Shareholders from:
Net investment income		(0.12	)		(0.31	)		(0.31	)		(0.28	)		(0.05	)
Net realized gain on investments		—			—			—			(1.05	)		(0.11	)
Total distributions to shareholders		(0.12	)		(0.31	)		(0.31	)		(1.33	)		(0.16	)
Net Asset Value, End of Period	$	10.02		$	9.62		$	10.26		$	9.99		$	11.28
Total Return2		5.40	%18		(3.30	)%		5.84	%		0.41	%		0.26	%17
Ratio of net expenses to average net assets (with offsets/reductions)		0.69	%19		0.67	%		0.65	%		0.69	%4		0.64	%5,18
Ratio of expenses to average net assets (with offsets)		0.69	%19		0.67	%		0.65	%		0.69	%4		0.64	%5,18
Ratio of total expenses to average net assets (without offsets/reductions)3		0.87	%19		0.90	%		0.90	%		0.91	%4		0.90	%5,18
Ratio of net investment income to average net assets2		2.44	%19		2.96	%		3.00	%		2.31	%4		2.07	%5,18
Portfolio turnover		42	%18		57	%		22	%		43	%		110	%
Net assets at end of period (000’s omitted)	$	41,227		$	7,463		$	2,480		$	1,563		$	10

34

AMG GW&K Enhanced Core Bond Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016 (unaudited)
				For the years ended December 31,
Class C				2015			2014			2013			2012††			2011
Net Asset Value, Beginning of Period	$	9.57		$	10.20		$	9.94		$	11.22		$	10.79		$	10.98
Income from Investment Operations:
Net investment income1,2		0.08			0.21			0.21			0.15			0.36			0.38
Net realized and unrealized gain (loss) on investments		0.39			(0.63	)		0.26			(0.20	)		0.57			0.02
Total income (loss) from investment operations		0.47			(0.42	)		0.47			(0.05	)		0.93			0.40
Less Distributions to Shareholders from:
Net investment income		(0.07	)		(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		(0.07	)		(0.21	)		(0.21	)		(1.23	)		(0.50	)		(0.59	)
Net Asset Value, End of Period	$	9.97		$	9.57		$	10.20		$	9.94		$	11.22		$	10.79
Total Return2		4.95	%6,18		(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	%19		1.59	%		1.59	%		1.61	%4		1.59	%5		1.59	%
Ratio of expenses to average net assets (with offsets)		1.59	%19		1.59	%		1.59	%		1.61	%4		1.59	%5		1.59	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.77	%19		1.82	%		1.84	%		1.83	%4		1.79	%5		1.80	%
Ratio of net investment income to average net assets2		1.57	%19		2.12	%		2.07	%		1.38	%4		3.18	%5		3.42	%
Portfolio turnover		42	%18		57	%		22	%		43	%		110	%		28	%
Net assets at end of period (000’s omitted)	$	9,795		$	11,031		$	15,927		$	20,793		$	33,026		$	33,615
	For the six months ended June 30, 2016 (unaudited)
				For the years ended December 31,
Institutional Class				2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	9.61		$	10.25		$	9.99		$	11.28		$	10.84		$	11.03
Income from Investment Operations:
Net investment income1,2		0.12			0.31			0.31			0.27			0.47			0.49
Net realized and unrealized gain (loss) on investments		0.40			(0.63	)		0.27			(0.22	)		0.58			0.02
Total income (loss) from investment operations		0.52			(0.32	)		0.58			0.05			1.05			0.51
Less Distributions to Shareholders from:
Net investment income		(0.12	)		(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		(0.12	)		(0.32	)		(0.32	)		(1.34	)		(0.61	)		(0.70	)
Net Asset Value, End of Period	$	10.01		$	9.61		$	10.25		$	9.99		$	11.28		$	10.84
Total Return2		5.34	%18		(3.15	)%		5.85	%		0.46	%		9.89	%		4.79	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.59	%19		0.59	%		0.59	%		0.61	%4		0.59	%5		0.59	%
Ratio of expenses to average net assets (with offsets)		0.59	%19		0.59	%		0.59	%		0.61	%4		0.59	%5		0.59	%
Ratio of total expenses to average net assets (without offsets/reductions)3		0.77	%19		0.82	%		0.84	%		0.83	%4		0.79	%5		0.80	%
Ratio of net investment income to average net assets2		2.56	%19		3.10	%		3.05	%		2.39	%4		4.21	%5		4.41	%
Portfolio turnover		42	%18		57	%		22	%		43	%		110	%		28	%
Net assets at end of period (000’s omitted)	$	58,704		$	47,402		$	41,968		$	59,182		$	65,573		$	64,573

35

AMG GW&K Municipal Bond Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016 (unaudited)
				For the years ended December 31,
Investor Class				2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	11.70		$	11.61		$	11.02		$	11.52		$	11.21		$	10.29
Income from Investment Operations:
Net investment income1,2		0.06			0.15			0.18			0.18			0.20			0.27
Net realized and unrealized gain (loss) on investments		0.37			0.24			0.63			(0.47	)		0.38			0.97
Total income (loss) from investment operations		0.43			0.39			0.81			(0.29	)		0.58			1.24
Less Distributions to Shareholders from:
Net investment income		(0.06	)		(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		(0.06	)		(0.30	)		(0.22	)		(0.21	)		(0.27	)		(0.32	)
Net Asset Value, End of Period	$	12.07		$	11.70		$	11.61		$	11.02		$	11.52		$	11.21
Total Return2		3.65	%18		3.36	%		7.39	%		(2.51	)%6		5.27	%6		12.16	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.78	%19		0.82	%		0.80	%		0.81	%7		0.80	%8		0.81	%
Ratio of expenses to average net assets (with offsets)		0.78	%19		0.82	%		0.80	%		0.81	%7		0.80	%8		0.81	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.08	%19		1.13	%		1.12	%		1.17	%7		1.18	%8		1.34	%
Ratio of net investment income to average net assets2		1.01	%19		1.28	%		1.55	%		1.56	%7		1.71	%8		2.46	%
Portfolio turnover		40	%18		78	%		31	%		28	%		39	%		26	%
Net assets at end of period (000’s omitted)	$	33,544		$	27,362		$	23,572		$	28,655		$	22,726		$	8,777
	For the six months ended June 30, 2016 (unaudited)
				For the years ended December 31,
Service Class				2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	11.73		$	11.63		$	11.04		$	11.54		$	11.23		$	10.30
Income from Investment Operations:
Net investment income1,2		0.08			0.19			0.21			0.21			0.23			0.30
Net realized and unrealized gain (loss) on investments		0.36			0.24			0.63			(0.47	)		0.38			0.97
Total income (loss) from investment operations		0.44			0.43			0.84			(0.26	)		0.61			1.27
Less Distributions to Shareholders from:
Net investment income		(0.08	)		(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		(0.08	)		(0.33	)		(0.25	)		(0.24	)		(0.30	)		(0.34	)
Net Asset Value, End of Period	$	12.09		$	11.73		$	11.63		$	11.04		$	11.54		$	11.23
Total Return2		3.72	%18		3.77	%		7.62	%		(2.24	)%		5.53	%		12.52	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.50	%19		0.51	%		0.52	%		0.53	%7		0.55	%8		0.54	%
Ratio of expenses to average net assets (with offsets)		0.50	%19		0.51	%		0.52	%		0.53	%7		0.55	%8		0.54	%
Ratio of total expenses to average net assets (without offsets/reductions)3		0.80	%19		0.82	%		0.84	%		0.89	%7		0.93	%8		1.09	%
Ratio of net investment income to average net assets2		1.29	%19		1.59	%		1.82	%		1.84	%7		1.97	%8		2.80	%
Portfolio turnover		40	%18		78	%		31	%		28	%		39	%		26	%
Net assets at end of period (000’s omitted)	$	166,585		$	128,684		$	98,152		$	53,024		$	35,444		$	22,705

36

AMG GW&K Municipal Bond Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended June 30, 2016 (unaudited)
				For the years ended December 31,
Institutional Class				2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	11.77		$	11.67		$	11.08		$	11.58		$	11.26		$	10.33
Income from Investment Operations:
Net investment income1,2		0.09			0.21			0.23			0.23			0.25			0.30
Net realized and unrealized gain (loss) on investments		0.36			0.24			0.63			(0.47	)		0.40			0.99
Total income (loss) from investment operations		0.45			0.45			0.86			(0.24	)		0.65			1.29
Less Distributions to Shareholders from:
Net investment income		(0.09	)		(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		(0.09	)		(0.35	)		(0.27	)		(0.26	)		(0.33	)		(0.36	)
Net Asset Value, End of Period	$	12.13		$	11.77		$	11.67		$	11.08		$	11.58		$	11.26
Total Return2		3.80	%18		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	%19		0.34	%		0.34	%		0.36	%7		0.35	%8		0.34	%
Ratio of expenses to average net assets (with offsets)		0.34	%19		0.34	%		0.34	%		0.36	%7		0.35	%8		0.34	%
Ratio of total expenses to average net assets (without offsets/reductions)3		0.64	%19		0.65	%		0.66	%		0.72	%7		0.73	%8		0.83	%
Ratio of net investment income to average net assets2		1.45	%19		1.76	%		2.00	%		2.01	%7		2.15	%8		2.79	%
Portfolio turnover		40	%18		78	%		31	%		28	%		39	%		26	%
Net assets at end of period (000’s omitted)	$	768,213		$	655,760		$	393,581		$	204,711		$	121,609		$	32,019

37

AMG GW&K Municipal Enhanced Yield Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended
	June 30, 2016			For the years ended December 31,
Investor Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	10.08		$	10.16		$	8.98		$	10.24		$	9.55		$	8.79
Income from Investment Operations:
Net investment income1,2		0.13			0.30			0.34			0.35			0.36			0.37
Net realized and unrealized gain (loss) on investments		0.67			0.05			1.18			(1.18	)		0.93			0.78
Total income (loss) from investment operations		0.80			0.35			1.52			(0.83	)		1.29			1.15
Less Distributions to Shareholders from:
Net investment income		(0.13	)		(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		(0.13	)		(0.43	)		(0.34	)		(0.43	)		(0.60	)		(0.39	)
Net Asset Value, End of Period	$	10.75		$	10.08		$	10.16		$	8.98		$	10.24		$	9.55
Total Return2		7.97	%18		3.57	%		17.14	%		(8.27	)%6		13.69	%6		13.48	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.14	%19		1.07	%		1.00	%		1.12	%9		1.07	%10		1.17	%11
Ratio of expenses to average net assets (with offsets)		1.14	%19		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		1.31	%19		1.25	%		1.19	%		1.30	%9		1.27	%10		1.40	%
Ratio of net investment income to average net assets2		2.48	%19		2.98	%		3.46	%		3.58	%9		3.53	%10		4.02	%
Portfolio turnover		101	%18		120	%		83	%		52	%		70	%		31	%
Net assets at end of period (000’s omitted)	$	6,533		$	5,500		$	8,507		$	8,030		$	21,413		$	5,689
	For the six months ended
	June 30, 2016			For the years ended December 31,
Service Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	10.09		$	10.16		$	8.98		$	10.23		$	9.54		$	8.79
Income from Investment Operations:
Net investment income1,2		0.15			0.34			0.36			0.38			0.38			0.40
Net realized and unrealized gain (loss) on investments		0.67			0.06			1.18			(1.18	)		0.93			0.77
Total income (loss) from investment operations		0.82			0.40			1.54			(0.80	)		1.31			1.17
Less Distributions to Shareholders from:
Net investment income		(0.15	)		(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		(0.15	)		(0.47	)		(0.36	)		(0.45	)		(0.62	)		(0.42	)
Net Asset Value, End of Period	$	10.76		$	10.09		$	10.16		$	8.98		$	10.23		$	9.54
Total Return2		8.19	%18		4.07	%		17.39	%		(7.95	)%		13.90	%		13.65	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.70	%19		0.71	%		0.72	%		0.78	%9		0.86	%10		0.94	%11
Ratio of expenses to average net assets (with offsets)		0.70	%19		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		0.87	%19		0.89	%		0.91	%		0.96	%9		1.06	%10		1.16	%
Ratio of net investment income to average net assets2		2.92	%19		3.35	%		3.68	%		3.99	%9		3.74	%10		4.48	%
Portfolio turnover		101	%18		120	%		83	%		52	%		70	%		31	%
Net assets at end of period (000’s omitted)	$	17,823		$	16,036		$	15,757		$	5,222		$	6,401		$	2,145

38

AMG GW&K Municipal Enhanced Yield Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended
	June 30, 2016			For the years ended December 31,
Institutional Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	10.07		$	10.14		$	8.97		$	10.22		$	9.53		$	8.78
Income from Investment Operations:
Net investment income1,2		0.15			0.34			0.37			0.39			0.40			0.41
Net realized and unrealized gain (loss) on investments		0.67			0.07			1.17			(1.17	)		0.93			0.78
Total income (loss) from investment operations		0.82			0.41			1.54			(0.78	)		1.33			1.19
Less Distributions to Shareholders from:
Net investment income		(0.15	)		(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		(0.15	)		(0.48	)		(0.37	)		(0.47	)		(0.64	)		(0.44	)
Net Asset Value, End of Period	$	10.74		$	10.07		$	10.14		$	8.97		$	10.22		$	9.53
Total Return2		8.24	%18		4.15	%		17.45	%		(7.80	)%		14.13	%6		13.94	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.64	%19		0.64	%		0.64	%		0.66	%9		0.65	%10		0.69	%11
Ratio of expenses to average net assets (with offsets)		0.64	%19		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		0.81	%19		0.82	%		0.83	%		0.84	%9		0.85	%10		0.91	%
Ratio of net investment income to average net assets2		2.98	%19		3.42	%		3.83	%		4.08	%9		3.96	%10		4.69	%
Portfolio turnover		101	%18		120	%		83	%		52	%		70	%		31	%
Net assets at end of period (000’s omitted)	$	234,010		$	212,057		$	226,284		$	201,161		$	294,983		$	138,250

39

AMG GW&K Small Cap Core Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended
	June 30, 2016			For the years ended December 31,
Investor Class	(unaudited			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	21.80		$	23.39		$	24.34		$	17.72		$	15.87		$	15.64
Income from Investment Operations:
Net investment income (loss)1,2		(0.00	)#		(0.06	)12		(0.07	)13		(0.07	)14		0.14	15		(0.02	)
Net realized and unrealized gain (loss) on investments		1.37			(0.64	)		0.46			7.56			2.15			0.25
Total income (loss) from investment operations		1.37			(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 Period	$	23.17		$	21.80		$	23.39		$	24.34		$	17.72		$	15.87
Total Return2		6.29	%18		(3.02	)%		1.53	%		42.26	%		14.45	%		1.47	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.34	%19		1.35	%		1.42	%		1.37	%16		1.41	%17		1.39	%
Ratio of expenses to average net assets (with offsets)		1.34	%19		1.35	%		1.42	%		1.37	%16		1.41	%17		1.39	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.45	%19		1.46	%		1.53	%		1.50	%16		1.62	%17		1.71	%
Ratio of net investment income (loss) to average net assets2		0.00	%#,19		(0.24	)%		(0.28	)%		(0.32	)%16		0.78	%17		(0.14	)%
Portfolio turnover		11	%18		16	%		26	%		19	%		14	%		25	%
Net assets at end of period (000’s omitted)	$	35,822		$	35,691		$	37,995		$	69,992		$	14,707		$	3,349
	For the six months ended
	June 30, 2016			For the years ended December 31,
Service Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	21.97		$	23.53		$	24.42		$	17.73		$	15.85		$	15.59
Income from Investment Operations:
Net investment income (loss)1,2		0.03			0.01	12		0.04	13		(0.02	)14		0.06	15		0.01
Net realized and unrealized gain (loss) on investments		1.38			(0.65	)		0.43			7.58			2.26			0.25
Total income (loss) from investment operations		1.41			(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 Period	$	23.38		$	21.97		$	23.53		$	24.42		$	17.73		$	15.85
Total Return2		6.42	%18		(2.75	)%		1.86	%		42.64	%6		14.67	%6		1.67	%6
Ratio of net expenses to average net assets (with offsets/reductions)		1.06	%19		1.07	%		1.10	%		1.13	%16		1.20	%17		1.20	%
Ratio of expenses to average net assets (with offsets)		1.06	%19		1.07	%		1.10	%		1.13	%16		1.20	%17		1.20	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.16	%19		1.18	%		1.22	%		1.26	%16		1.41	%17		1.52	%
Ratio of net investment income (loss) to average net assets2		0.28	%19		0.03	%		0.16	%		(0.09	)%16		0.44	%17		0.04	%
Portfolio turnover		11	%18		16	%		26	%		19	%		14	%		25	%
Net assets at end of period (000’s omitted)	$	34,649		$	36,739		$	44,806		$	35,836		$	13,052		$	19,007

40

AMG GW&K Small Cap Core Fund

Financial Highlights

For a share outstanding throughout each period

	For the six months ended
	June 30, 2016			For the years ended December 31,
Institutional Class	(unaudited)			2015			2014			2013			2012			2011
Net Asset Value, Beginning of Period	$	22.04		$	23.61		$	24.49		$	17.76		$	15.87		$	15.59
Income from Investment Operations:
Net investment income1,2		0.04			0.04	12		0.07	13		0.02	14		0.14	15		0.05
Net realized and unrealized gain (loss) on investments		1.38			(0.65	)		0.44			7.58			2.23			0.25
Total income (loss) from investment operations		1.42			(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 Period	$	23.46		$	22.04		$	23.61		$	24.49		$	17.76		$	15.87
Total Return2		6.44	%18		(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	%19		0.95	%		0.95	%		0.97	%16		0.96	%17		0.95	%
Ratio of expenses to average net assets (with offsets)		0.95	%19		0.95	%		0.95	%		0.97	%16		0.96	%17		0.95	%
Ratio of total expenses to average net assets (without offsets/reductions)3		1.05	%19		1.06	%		1.07	%		1.10	%16		1.17	%17		1.27	%
Ratio of net investment income to average net assets2		0.40	%19		0.17	%		0.30	%		0.07	%16		0.84	%17		0.30	%
Portfolio turnover		11	%18		16	%		26	%		19	%		14	%		25	%
Net assets at end of period (000’s omitted)	$	317,958		$	302,381		$	291,301		$	168,854		$	76,673		$	40,425

41

AMG GW&K Small Cap Growth Fund

Financial Highlights

For a share outstanding throughout each period

	For the six			For the period from
	months ended			June 30, 2015
	June 30, 2016			through
Institutional Class	(unaudited)			December 31, 2015**
Net Asset Value, Beginning of Period	$	8.95		$	10.00
Income from Investment Operations:
Net investment loss1,2		(0.01	)		(0.02	)
Net realized and unrealized loss on investments		(0.04	)		(1.03	)
Total loss from investment operations		(0.05	)		(1.05	)
Net Asset Value, End of Period	$	8.90		$	8.95
Total Return2		(0.45	)%18		(10.50	)%18
Ratio of net expenses to average net assets (with offsets/reductions)		0.95	%19		0.95	%19
Ratio of expenses to average net assets (with offsets)		0.95	%19		0.95	%19
Ratio of total expenses to average net assets (without offsets/reductions)3		4.80	%19		11.39	%19
Ratio of net investment loss to average net assets2		(0.32	)%19		(0.39	)%19
Portfolio turnover		24	%18		41	%18
Net assets at end of period (000’s omitted)	$	2,053		$	1,173

42

Notes to Financial Highlights (unaudited)

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.

^# Rounds to less than 0.01% or $0.00.

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

¹³ 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.

¹⁴ 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.

¹⁵ 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.

¹⁶ 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.

¹⁷ 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.

¹⁸ Not annualized.

¹⁹ Annualized.

43

Notes to Financial Statements (unaudited)

June 30, 2016

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

44

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 Pricing Committee, 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. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. 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 Trusts and other trusts within AMG Funds family of mutual funds (collectively the “AMG Funds family” 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 six months ended June 30, 2016, 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: $10,738 or less than 0.01%.

The Funds have a “balance credit” arrangement with The Bank of New York Mellon (“BNYM”), the Funds’ custodian, whereby each Fund is credited with an interest factor equal to 0.75% below the effective 90-day T-Bill rate for account balances left uninvested overnight. If the T-Bill rate falls below 0.75%, no credits will be earned. These credits serve to reduce custodian expenses that would otherwise be charged to each Fund. For the six months ended June 30, 2016, the Funds’ custodian expense was not reduced.

Effective June 1, 2016, the overdraft fees are computed at 1.75% (previously 1.0%) above the effective Federal Funds rate on the day of the overdraft. For the six months ended June 30, 2016, overdraft fees for Enhanced Core Bond, Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth equaled $23, $596, $24, $0 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

45

Notes to Financial Statements (continued)

purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax 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.

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

f. CAPITAL LOSS CARRYOVERS AND DEFERRALS

As of June 30, 2016, 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.

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 six months ended June 30, 2016 (unaudited) and the year ended December 31, 2015, the capital stock transactions by class for the Funds were as follows:

	Enhanced Core Bond												Municipal Bond
	2016						2015						2016						2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares		189,269		$	1,850,515			745,685		$	7,581,134			903,524		$	10,757,054			1,539,109		$	17,987,833
Reinvestment of distributions		14,159			138,365			53,402			536,159			11,065			131,775			54,114			632,448
Cost of shares repurchased		(407,675	)		(3,960,587	)		(1,376,533	)		(13,764,481	)		(473,068	)		(5,642,911	)		(1,285,745	)		(14,916,621	)
Net increase (decrease)		(204,247	)	$	(1,971,707	)		(577,446	)	$	(5,647,188	)		441,521		$	5,245,918			307,478		$	3,703,660
Service Class:
Proceeds from sale of shares		3,586,819		$	35,364,274			590,618		$	5,851,078			4,970,032		$	59,299,641			5,825,773		$	68,099,858
Reinvestment of distributions		28,593			282,408			10,485			104,238			58,974			703,906			192,521			2,255,691
Cost of shares repurchased		(276,873	)		(2,748,150	)		(67,052	)		(669,781	)		(2,225,605	)		(26,533,997	)		(3,484,494	)		(40,798,939	)
Net increase		3,338,539		$	32,898,532			534,051		$	5,285,535			2,803,401		$	33,469,550			2,533,800		$	29,556,610

46

Notes to Financial Statements (continued)

	Enhanced Core Bond												Municipal Bond
	2016						2015						2016						2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Class C:
Proceeds from sale of shares		1,362		$	13,292			5,337		$	53,505			—			—			—			—
Reinvestment of distributions		5,370			52,382			19,802			198,380			—			—			—			—
Cost of shares repurchased		(176,814	)		(1,723,572	)		(433,309	)		(4,362,382	)		—			—			—			—
Net decrease		(170,082	)	$	(1,657,898	)		(408,170	)	$	(4,110,497	)		—			—			—			—
Institutional Class:
Proceeds from sale of shares		1,282,193		$	12,531,034			1,630,862		$	16,511,994			15,511,743		$	185,280,483			33,123,648		$	388,149,326
Reinvestment of distributions		67,114			658,464			143,327			1,438,083			407,153			4,873,794			1,438,936			16,900,334
Cost of shares repurchased		(417,611	)		(4,092,779	)		(937,260	)		(9,401,582	)		(8,323,016	)		(99,516,031	)		(12,559,632	)		(147,490,609	)
Net increase		931,696		$	9,096,719			836,929		$	8,548,495			7,595,880		$	90,638,246			22,002,952		$	257,559,051
	Municipal Enhanced												Small Cap Core
	2016						2015						2016						2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Investor Class:
Proceeds from sale of shares		393,520		$	4,086,795			765,332		$	7,817,267			91,180		$	1,925,199			344,200		$	8,072,293
Reinvestment of distributions		7,126			73,763			20,792			210,164			—			—			60,630			1,336,887
Cost of shares repurchased		(338,617	)		(3,505,219	)		(1,078,015	)		(11,024,996	)		(182,038	)		(3,920,916	)		(392,023	)		(9,181,256	)
Net increase (decrease)		62,029		$	655,339			(291,891	)	$	(2,997,565	)		(90,858	)	$	(1,995,717	)		12,807		$	227,924
Service Class:
Proceeds from sale of shares		728,415		$	7,511,844			1,115,492		$	11,383,413			28,016		$	602,300			162,317		$	3,848,812
Reinvestment of distributions		22,661			234,945			76,444			770,964			—			—			35,688			792,991
Cost of shares repurchased		(684,575	)		(7,022,828	)		(1,152,453	)		(11,693,012	)		(218,159	)		(4,701,967	)		(430,228	)		(10,436,822	)
Net increase (decrease)		66,501		$	723,961			39,483		$	461,365			(190,143	)	$	(4,099,667	)		(232,223	)	$	(5,795,019	)
Institutional Class:
Proceeds from sale of shares		3,489,161		$	36,143,504			5,680,203		$	57,465,629			1,245,514		$	26,519,852			2,374,100		$	56,191,800
Reinvestment of distributions		170,902			1,767,432			587,901			5,926,350			—			—			538,090			11,994,017
Cost of shares repurchased		(2,933,677	)		(30,449,920	)		(7,508,463	)		(76,015,132	)		(1,415,595	)		(30,537,705	)		(1,531,195	)		(36,165,360	)
Net increase (decrease)		726,386		$	7,461,016			(1,240,359	)	$	(12,623,153	)		(170,081	)	$	(4,017,853	)		1,380,995		$	32,020,457

	Small Cap Growth
	2016						2015
	Shares			Amount			Shares			Amount
Institutional Class:
Proceeds from sale of shares		126,231		$	1,085,950			159,184		$	1,476,468
Cost of shares repurchased		(26,822	)		(229,626	)		(28,038	)		(257,387	)
Net increase		99,409		$	856,324			131,146		$	1,219,081

47

Notes to Financial Statements (continued)

At June 30, 2016, 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 39%; Municipal Bond - two collectively own 64%; Municipal Enhanced - two collectively own 78%; Small Cap Core - three collectively own 65% and Small Cap Growth - two collectively own 82%. Transactions by these shareholders may have a material impact on their respective Fund.

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.

At June 30, 2016, the market value of repurchase agreements or joint repurchase agreements outstanding for Enhanced Core Bond, Small Cap Core and Small Cap Growth were $2,013,479, $25,374,646 and $178,582, 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 six months ended June 30, 2016, 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, 2017, 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.

48

Notes to Financial Statements (continued)

For the six months ended June 30, 2016, each Fund’s expiration of reimbursement is detailed in the following chart:

	Enhanced		Municipal
Expiration Period	Core Bond		Bond
Less than 1 year*	$	256,835	$	1,041,372
Within 2 years		219,391		1,683,544
Within 3 years		209,871		2,563,791
Total Amount Subject to Reimbursement	$	686,097	$	5,288,707
	Municipal
Expiration Period	Enhanced		Small Cap Core
Less than 1 year*	$	205,539	$	320,161
Within 2 years		231,939		411,834
Within 3 years		211,246		413,891
Total Amount Subject to Reimbursement	$	648,724	$	1,145,886

Expiration Period	Small Cap Growth
Less than 1 year		—
Within 2 years		—
Within 3 years	$	74,870
Total Amount Subject to Reimbursement	$	74,870

* A portion of this represents the expiration amount through the year ended December 31, 2016 of $139,156, $350,484, $108,146, $82,940 for Enhanced Core Bond, Municipal Bond, Municipal Enhanced and Small Cap Core, respectively.

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 six months ended June 30, 2016, the amount waived was $109,755 or 0.09%.

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.

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.

The impact on the annualized expense ratios for the six months ended June 30, 2016, were as follows:

	Maximum			Actual
Fund	Amount Approved			Amount Incurred
Enhanced Core Bond
Service Class		0.10	%		0.10	%
Municipal Bond
Investor Class		0.25	%		0.19	%
Service Class		0.25	%		0.16	%
Municipal Enhanced
Investor Class		0.25	%		0.25	%
Service Class		0.25	%		0.06	%
Small Cap Core
Investor Class		0.25	%		0.14	%
Service Class		0.25	%		0.11	%

49

Notes to Financial Statements (continued)

In June 2016, the Funds’ Board approved a proposal to revise certain fees paid by the Funds. These changes will not increase the overall fees incurred by the Funds or by shareholders of the Funds. These changes will not be effective until October 1, 2016 following execution of all relevant agreements and the filing of revised prospectuses and Statements of Additional Information with the Securities and Exchange Commission. The Board approved, in some cases, changes to the administrative fee, management fee and/or shareholder servicing fee on certain classes of the Funds. Further details regarding such changes will be available once all relevant agreements are finalized and executed and revised prospectuses and Statements of Additional Information are filed with the Securities and Exchange Commission.

The Board provides supervision of the affairs of the Trusts, other trusts within the AMG Funds family and other affiliated funds. The Trustees of the Trusts who are not affiliated with an Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.

The Securities and Exchange Commission granted an exemptive order that permits each fund to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating Fund. The Investment Manager administers the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. For the six months ended June 30, 2016, the following Funds either borrowed from or lent to other Funds in the AMG Funds family: Enhanced Core Bond lent $1,581,285 for one day earning interest in the amount of $42 and Small Cap Core lent $2,796,955 for four days earning interest in the amount of $278. The interest amount is included in the Statement of Operations as interest income. For the six months ended June 30, 2016, Municipal Bond, Municipal Enhanced and Small Cap Growth neither borrowed from nor lent to other Funds in the AMG Funds family. At June 30, 2016, the Funds had no interfund loans outstanding.

3. PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended June 30, 2016, were as follows:

	Long-Term Securities
Fund	Purchases		Sales
Enhanced Core Bond	$	61,051,295	$	31,465,822
Municipal Bond		465,453,639		341,002,842
Municipal Enhanced		249,402,447		239,284,026
Small Cap Core		39,025,683		45,593,830

	Long-Term Securities
Fund	Purchases		Sales
Small Cap Growth		1,081,542		336,356
	U.S. Government Obligations
Fund	Purchases		Sales
Enhanced Core Bond	$	21,944,880	$	10,881,916

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 June 30, 2016, the value of the securities loaned and cash collateral received, were as follows:

	Securities		Cash Collateral
Fund	Loaned		Received
Enhanced Core Bond	$	1,946,991	$	2,013,479
Small Cap Core		24,689,398		25,374,646
Small Cap Growth		174,058		178,582

5. COMMITMENTS AND CONTINGENCIES

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

50

Notes to Financial Statements (continued)

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 June 30, 2016:

			Gross Amount Not Offset in the
			Statement of Assets and Liabilities
	Net Amounts of Assets
	Presented in the Statement		Financial Instruments		Cash Collateral
	of Assets and Liabilities		Collateral		Received		Net Amount
Enhanced Core Bond
Bank of Nova Scotia	$	1,000,000	$	1,000,000		—		—
Cantor Fitzgerald Securities, Inc.		1,000,000		1,000,000		—		—
Mizuho Securities USA, Inc.		13,479		13,479		—		—
Totals	$	2,013,479	$	2,013,479		—		—
Small Cap Core
Cantor Fitzgerald Securities, Inc.	$	6,026,552	$	6,026,552		—		—
Citigroup Global Markets, Inc.		6,026,552		6,026,552		—		—
HSBC Securities USA, Inc.		5,762,429		5,762,429		—		—
Merrill Lynch Pierce Fenner & Smith, Inc.		6,026,552		6,026,552		—		—
State of Wisconsin Investment Board		1,532,561		1,532,561		—		—
Totals	$	25,374,646	$	25,374,646		—		—
Small Cap Growth
Cantor Fitzgerald Securities, Inc	$	178,582	$	178,582		—		—

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.

51

Annual Renewal of Investment Management and Subadvisory Agreements (unaudited)

AMG GW&K Small Cap Core Fund, AMG GW&K Small Cap Growth Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund: Approval of Investment Management and Subadvisory Agreements on June 22-23, 2016.

At an in-person meeting held on June 22-23, 2016, the Board of Trustees (the “Board” or the “Trustees”) of each of AMG Funds and AMG Funds II (each, a “Trust” and collectively, the “Trusts”), and separately a majority of the Trustees who are not “interested persons” of the Trusts (the “Independent Trustees”), approved (i) the Investment Management Agreement, as amended at any time prior to the date of the meeting, with AMG Funds LLC (the “Investment Manager”) and each Trust for each of AMG GW&K Small Cap Core Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund (each, a “Fund”, and collectively, the “Funds”) and separately an amendment, to be effective October 1, 2016, to such Investment Management Agreement for AMG GW&K Municipal Bond Fund (collectively, the “Investment Management Agreement”) and (ii) the Subadvisory Agreements, as amended at any time prior to the date of the meeting, with respect to each Fund and separately an amendment, to be effective October 1, 2016, to each Subadvisory Agreement with respect to AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Small Cap Core Fund and AMG GW&K Small Cap Growth Fund (collectively, the “Subadvisory Agreements”)¹. The Independent Trustees were separately represented by independent legal counsel in connection with their consideration of the approval of these agreements. In considering the Investment Management Agreement and the Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and the Subadvisor, including

comparative performance, fee and expense information for an appropriate peer group of similar mutual funds for each Fund (each, a “Peer Group”), performance information for the relevant benchmark index for each Fund (each, a “Fund Benchmark”) and, as to all other matters, other

information provided to them on a periodic basis throughout the year, as well as information provided in connection with the meetings of June 22-23, 2016, regarding the nature, extent and quality of services provided by the Investment Manager and the Subadvisor under their respective agreements. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with their independent legal counsel and with management; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Investment Management and Subadvisory Agreements; and (c) met with their independent legal counsel in private sessions at which no representatives of management were present.

¹  On June 24-25, 2015, the Board of Trustees, and separately a majority of the Independent Trustees, approved the Investment Management Agreement with the Investment Manager and the Subadvisory Agreement with the Subadvisor for AMG GW&K Small Cap Growth Fund for an initial two-year period.

NATURE, EXTENT AND QUALITY OF SERVICES.

In considering the nature, extent and quality of the services provided by the Investment Manager, the Trustees reviewed information relating to the Investment Manager’s operations and personnel. Among other things, the Investment Manager provided financial information, biographical information on its supervisory and professional staff and descriptions of its organizational and management structure. The Trustees also took into account information provided periodically throughout the previous year by the Investment Manager in Board meetings relating to the performance of its duties with respect to the Funds and the Trustees’ knowledge of the Investment Manager’s management and the quality of the performance of the Investment Manager’s duties. In the course of their deliberations regarding the Investment Management Agreements, the Trustees evaluated, among other things: (a) the extent and quality of the Investment Manager’s oversight of the operation and management of the Funds; (b) the quality of the Investment Manager’s oversight of

the performance by the Subadvisor of its portfolio management duties; (c) the Investment Manager’s ability to supervise the Funds’ other service providers; and (d) the Investment Manager’s compliance program. The Trustees also took into account that, in performing its functions under the Investment Management Agreements and supervising the Subadvisor, the Investment Manager: performs periodic detailed analyses and reviews of the performance by the Subadvisor of its obligations to each Fund, including without limitation, analysis and review of portfolio and other compliance matters and review of the Subadvisor’s investment performance with respect to each Fund; prepares and presents periodic reports to the Board regarding the investment performance of the Subadvisor and other information regarding the Subadvisor, at such times and in such forms as the Board may reasonably request; reviews and considers any changes in the personnel of the Subadvisor responsible for performing the Subadvisor’s obligations and makes appropriate reports to the Board; reviews and considers any changes in the ownership or senior management of the Subadvisor and makes appropriate reports to the Board; performs periodic in-person or telephonic diligence meetings, including with respect to compliance matters, with representatives of the Subadvisor; assists the Board and management of the Trusts in developing and reviewing information with respect to the initial approval of each Subadvisory Agreement and annual consideration of each Subadvisory Agreement thereafter; prepares recommendations with respect to the continued retention of the Subadvisor or the replacement of the Subadvisor, including at the request of the Board; identifies potential successors to or replacements of the Subadvisor or potential additional subadvisors, performs appropriate due diligence, and develops and presents to the Board a recommendation as to any such successor, replacement, or additional subadvisor, including at the request of the Board; designates and compensates from its own resources such personnel as the Investment Manager may consider necessary or appropriate to the performance of its services; and performs

52

Annual Renewal of Investment Management and Subadvisory Agreements (continued)

such other review and reporting functions as the Board shall reasonably request consistent with the Investment Management Agreements and applicable law. The Trustees noted the affiliation of the Subadvisor with the Investment Manager, noting any potential conflicts of interest. The Trustees also took into account the financial condition of the Investment Manager with respect to its ability to provide the services required under the Investment Management Agreements and the Investment Manager’s undertaking to maintain contractual expense limitations for the Funds.

The Trustees also considered the Investment Manager’s risk management processes. The Trustees also reviewed information relating to the Subadvisor’s financial condition, operations and personnel and the investment philosophy, strategies and techniques (its “Investment Strategy”) used in managing each Fund and AMG GW&K Small Cap Growth Fund. Among other things, the Trustees reviewed biographical information on portfolio management and other professional staff, information regarding the Subadvisor’s organizational and management structure and the Subadvisor’s brokerage policies and practices. The Trustees considered specific information provided regarding the experience of the individuals at the Subadvisor with portfolio management responsibility for the Funds, including the information set forth in each Fund’s prospectus and statement of additional information. In the course of their deliberations, the Trustees evaluated, among other things: (a) the services rendered by the Subadvisor in the past; (b) the qualifications and experience of the Subadvisor’s personnel; and (c) the Subadvisor’s compliance program. The Trustees also took into account the financial condition of the Subadvisor with respect to its ability to provide the services required under each Subadvisory Agreement. The Trustees also considered the Subadvisor’s risk management processes.

PERFORMANCE.

As noted above, the Board considered each Fund’s net performance during relevant time periods as compared to the Fund’s Peer Group and Fund

Benchmark and considered the gross performance of the Fund as compared to the Subadvisor’s relevant performance composite that utilizes the same investment strategy and approach and noted that the Board reviews on a quarterly basis detailed information about each Fund’s performance results and portfolio composition, as well as the Subadvisor’s Investment Strategy. The Board noted the Investment Manager’s expertise and resources in monitoring the performance, investment style and risk-adjusted performance of the Subadvisor. The Board was mindful of the Investment Manager’s attention to monitoring the Subadvisor’s performance with respect to the Funds and its discussions with management regarding the factors that contributed to the performance of the Funds.

With respect to AMG GW&K Small Cap Core Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Investor Class shares (which share class has the earliest inception date of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2016 was above the median performance of the Peer Group and above the performance of the Fund Benchmark, the Russell 2000^® Index. The Trustees took into account management’s discussion of the Fund’s performance, including its more recent improved performance relative to the Peer Group and Fund Benchmark. The Trustees noted that the Fund ranked in the top quintile relative to its Peer Group for the 1-year, 5-year and 10-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.

With respect to AMG GW&K Municipal Enhanced Yield Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Institutional Class shares (which share class has the earliest inception date and the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2016 was above the median performance of the Peer Group and above the performance of the Fund

Benchmark, the Barclays U.S. Municipal Bond BAA Index. The Trustees noted that the Fund ranked in the top quintile relative to the Peer Group for the 5-year and 10-year periods and in the top quartile relative to its Peer Group for the 3-year period. The Trustees concluded that the Fund’s performance has been satisfactory.

With respect to AMG GW&K Municipal Bond Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Institutional Class shares (which share class has the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year and 5-year periods ended March 31, 2016 and for the period from the Fund’s inception on June 30, 2009 through March 31, 2016 was above the median performance of the Peer Group and below the performance of the Fund Benchmark, the Barclays 10-Year Municipal Bond Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s underperformance relative to the Fund Benchmark. The Trustees also noted that the Fund ranked in the top quintile relative to its Peer Group for all relevant time periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.

With respect to AMG GW&K Enhanced Core Bond Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Institutional Class shares (which share class has the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2016 was below, below, above and above, respectively, the median performance of the Peer Group and below, below, below and above, respectively, the performance of the Fund Benchmark, the Barclays U.S. Aggregate Bond Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s recent underperformance. The Trustees noted that the Fund ranked in the top quintile relative to its Peer Group for the 10-year period, in the second

53

Annual Renewal of Investment Management and Subadvisory Agreements (continued)

quartile relative to its Peer Group for the 5-year period and in the third quartile relative to its Peer Group for the 3-year period. The Trustees concluded that the Fund’s performance is being addressed.

ADVISORY AND SUBADVISORY FEES AND PROFITABILITY.

In considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees reviewed information provided by the Investment Manager setting forth all revenues and other benefits, both direct and indirect (including any so-called “fallout benefits” such as reputational value derived from the Investment Manager serving as Investment Manager to a Fund), received by the Investment Manager and its affiliates attributable to managing each Fund and all the mutual funds in the AMG Funds Family of Funds, the cost of providing such services, the entrepreneurial risk undertaken as Investment Manager and sponsor of the Funds and the resulting profitability to the Investment Manager and its affiliates from these relationships. The Trustees noted that, effective October 1, 2016, the management fee rate for AMG GW&K Municipal Bond Fund will be reduced and the administrative fee rate paid by AMG GW&K Small Cap Core Fund, AMG GW&K Small Cap Growth Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund will be reduced and the shareholder servicing fee rate paid by Service Class shares of AMG GW&K Small Cap Core Fund, AMG GW&K Small Cap Growth Fund, AMG GW&K Municipal Enhanced Yield Fund and AMG GW&K Municipal Bond Fund will be reduced. The Trustees further noted that the Investment Manager and the Subadvisor are affiliated and that, in the case of AMG GW&K Small Cap Growth Fund, AMG GW&K Small Cap Core Fund and AMG GW&K Municipal Enhanced Yield Fund, the Investment Manager pays the Subadvisor a subadvisory fee that is equal to the advisory fee that it receives from the Fund, but that effective October 1, 2016, the Investment Manager will pay the Subadvisor a subadvisory fee that is a portion of the advisory fee that it receives from each of AMG GW&K Small

Cap Growth Fund, AMG GW&K Small Cap Core Fund and AMG GW&K Municipal Enhanced Yield Fund. The Trustees also considered the amount of the advisory fee that will be retained by the Investment Manager after payment of the subadvisory fee with respect to AMG GW&K Small Cap Growth Fund, AMG GW&K Small Cap Core Fund and AMG GW&K Municipal Enhanced Yield Fund effective October 1, 2016. In the case of AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund, the Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to the Fund. The Trustees also noted any payments that were made from the Subadvisor to the Investment Manager, and any other payments made or to be made from the Investment Manager to the Subadvisor. The Trustees also considered management’s discussion of the current asset levels of the Funds, and the impact on profitability of both the current asset levels and any future growth of assets of the Funds. The Trustees also noted that the changes in fee rates described above would not cause an increase in total Fund expenses.

In considering the cost of services to be provided by the Investment Manager under each Investment Management Agreement and the profitability to the Investment Manager of its relationship with the Funds, the Trustees noted the undertaking by the Investment Manager to maintain contractual expense limitations for the Funds. The Board also took into account management’s discussion of the current and revised advisory fee structure, as applicable, and, as noted above, the services the Investment Manager provides in performing its functions under each Investment Management Agreement and supervising the Subadvisor. Based on the foregoing, the Trustees concluded that the profitability to the Investment Manager is reasonable and that the Investment Manager is not realizing material benefits from economies of scale that would warrant adjustments to the advisory fee at this time (after noting the fee rate changes made at the meeting). Also with respect to economies of scale, the Trustees noted that as a Fund’s assets increase over time, the Fund may

realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.

In considering the reasonableness of the subadvisory fees payable by the Investment Manager to the Subadvisor, the Trustees reviewed information regarding the cost of providing subadvisory services to each of the Funds and the resulting profitability to the Subadvisor from these relationships. The Trustees noted that, because the Subadvisor is an affiliate of the Investment Manager, a portion of the Subadvisor’s revenues or profits might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. The Board also took into account management’s discussion of the current and revised subadvisory fee structure, as applicable, and the services the Subadvisor provides in performing its functions under each Subadvisory Agreement. Based on the foregoing, the Trustees concluded that the profitability to the Subadvisor is reasonable and that the Subadvisor is not realizing material benefits from economies of scale that would warrant adjustments to the advisory or subadvisory fees at this time (after noting the fee rate changes made at the meeting). Also with respect to economies of scale, the Trustees noted that as a Fund’s assets increase over time, the Fund may realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.

With respect to AMG GW&K Small Cap Core Fund, the Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2016 were higher and lower, respectively, than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2017, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to

54

Annual Renewal of Investment Management and Subadvisory Agreements (continued)

0.95%. The Trustees also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.

With respect to AMG GW&K Municipal Enhanced Yield Fund, the Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2016 were higher and lower, respectively, than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2017, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.64%. The Board also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.

With respect to AMG GW&K Municipal Bond Fund, the Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2016 were higher and lower, respectively, than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through at

least May 1, 2017, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.34%. The Board also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.

With respect to AMG GW&K Enhanced Core Bond Fund, the Trustees noted that the Fund’s advisory fees (which include both the advisory and administration fee) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2016 were both higher than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2017, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.59%. The Trustees also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisor (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadvisor, the Fund’s advisory and subadvisory fees are reasonable.

*    *    *    *

After consideration of the foregoing, the Trustees also reached the following conclusions (in addition to the conclusions discussed above) regarding the Investment Management and Subadvisory Agreements: (a) the Investment Manager has demonstrated that it possesses the resources and capability to perform its duties under each

Investment Management Agreement; (b) the Subadvisor has the resources to perform its duties under each Subadvisory Agreement and is qualified to manage each Fund’s assets in accordance with its investment objectives and policies; and (c) the Investment Manager and Subadvisor maintain appropriate compliance programs.

Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of each Investment Management Agreement and each Subadvisory Agreement would be in the best interests of the applicable Fund and its shareholders. Accordingly, on June 22-23, 2016, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management Agreement for each Fund and the Subadvisory Agreements for each of AMG GW&K Small Cap Core Fund, AMG GW&K Small Cap Growth Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund.

55

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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^TM ONLY

AMG Funds

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

P.O. Box 9847

Providence, Rhode Island 02940-8047

(800) 358-7668

TRUSTEES

Bruce B. Bingham

Christine C. Carsman

William E. Chapman, II

Edward J. Kaier

Kurt A. Keilhacker

Steven J. Paggioli

Richard F. Powers, III

Eric Rakowski

Victoria L. Sassine

Thomas R. Schneeweis

This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.835.3879. Distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.835.3879, or (ii) on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. For information regarding each Fund’s proxy voting record for the 12-month period ended June 30, call 800.835.3879 or visit the SEC website at www.sec.gov.

Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. A Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To review a complete list of the Funds’ portfolio holdings, or to view the most recent quarterly holdings report, semiannual report, or annual report, please visit www.amgfunds.com.

www.amgfunds.com

www.amgfunds.com        |

AFFILIATE SUBADVISED FUNDS

BALANCED FUNDS

AMG Chicago Equity Partners Balanced

Chicago Equity Partners, LLC

AMG FQ Global Risk-Balanced

First Quadrant, L.P.

EQUITY FUNDS

AMG Chicago Equity Partners Small Cap Value

Chicago Equity Partners, LLC

AMG FQ Tax-Managed U.S. Equity

AMG FQ U.S. Equity

First Quadrant, L.P.

AMG Frontier Small Cap Growth

Frontier Capital Management Company, LLC

AMG GW&K Small Cap Core

AMG GW&K Small Cap Growth

GW&K Investment Management, LLC

AMG Renaissance International Equity

AMG Renaissance Large Cap Growth

The Renaissance Group LLC

AMG SouthernSun Small Cap

AMG SouthernSun U.S. Equity

AMG SouthernSun Global Opportunities

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

  SAR019-0616   |       www.amgfunds.com

Item 2. CODE OF ETHICS

Not applicable for the semi-annual shareholder report.

Item 3. AUDIT COMMITTEE FINANCIAL EXPERT

Not applicable for the semi-annual shareholder report.

Item 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

Not applicable for the semi-annual shareholder report.

Item 5. AUDIT COMMITTEE OF LISTED REGISTRANTS

Not applicable.

Item 6. SCHEDULE OF INVESTMENTS

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

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

Item 11. CONTROLS AND PROCEDURES

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

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

Item 12. EXHIBITS

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

SIGNATURES

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

AMG FUNDS II
By:	/s/ Jeffrey T. Cerutti
	Jeffrey T. Cerutti, Principal Executive Officer
Date:	September 6, 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:	September 6, 2016
By:	/s/ Donald S. Rumery
	Donald S. Rumery, Principal Financial Officer
Date:	September 6, 2016