AMG FQ Global Risk-Balanced Fund
Schedule of Portfolio Investments (unaudited)
July 31, 2021
Shares | Value | |
Exchange Traded Funds - 51.7% | ||
iShares Global Infrastructure ETF | 12,613 | $578,685 |
iShares iBoxx High Yield Corporate Bond ETF1,2 | 80,438 | 7,065,674 |
iShares TIPS Bond ETF2 | 52,521 | 6,858,192 |
Materials Select Sector SPDR Fund | 7,054 | 592,677 |
SPDR FTSE International Government Inflation-Protected Bond ETF | 24,923 | 1,422,605 |
VanEck Vectors Gold Miners ETF | 17,135 | 598,354 |
VanEck Vectors Natural Resource ETF | 12,766 | 583,594 |
Vanguard Global ex-U.S. Real Estate ETF | 3,311 | 193,362 |
Vanguard Real Estate ETF2 | 16,654 | 1,770,154 |
Total Exchange Traded Funds (Cost $18,289,503) | 19,663,297 |
Notes | ||
Exchange Traded Notes - 10.3% | ||
Barclays PLC, iPath Bloomberg Commodity Index Total Return ETN, 06/12/36* | 54,908 | 1,528,639 |
Deutsche Bank AG, DB Gold Double Long ETN, 02/15/38* | 19,814 | 775,486 |
Swedish Export Credit Corp., ELEMENTS Linked to the Rogers International Commodity Index Total Return, 10/24/22* | 252,876 | 1,625,993 |
Total Exchange Traded Notes (Cost $2,912,551) | 3,930,118 |
Purchased Options - 0.6% | ||
(See Open Exchange Traded Purchased Options schedule) (Cost $386,601) | 205,116 |
Principal Amount | ||
Short-Term Investments - 44.3% | ||
Joint Repurchase Agreements - 5.7%3 | ||
Daiwa Capital Markets America, dated 07/30/21, due 08/02/21, 0.050% total to be received $1,000,004 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.500%, 09/16/21 - 08/01/51, totaling $1,020,000) | $1,000,000 | 1,000,000 |
Principal Amount | Value | |
Morgan, Stanley & Co. LLC, dated 07/30/21, due 08/02/21, 0.050% total to be received $145,005 (collateralized by various U.S. Government Agency Obligations, 1.500% - 8.000%, 07/01/24 - 08/01/51, totaling $147,904) | $145,004 | $145,004 |
RBC Dominion Securities, Inc., dated 07/30/21, due 08/02/21, 0.050% total to be received $1,000,004 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.250% - 7.500%, 04/15/24 - 04/01/53, totaling $1,020,000) | 1,000,000 | 1,000,000 |
Total Joint Repurchase Agreements | 2,145,004 | |
U.S. Government Obligations - 21.0% | ||
U.S. Treasury Bills, 0.001%, 09/16/214,5 | 2,500,000 | 2,499,891 |
U.S. Treasury Bills, 0.010%, 08/12/215 | 2,500,000 | 2,499,978 |
U.S. Treasury Bills, 0.043%, 11/18/211,4,5 | 3,000,000 | 2,999,572 |
Total U.S. Government Obligations | 7,999,441 |
Shares | ||
Other Investment Companies - 17.6% | ||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%6 | 2,213,672 | 2,213,672 |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%6 | 2,213,672 | 2,213,672 |
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%6 | 2,280,753 | 2,280,753 |
Total Other Investment Companies | 6,708,097 | |
Total Short-Term Investments (Cost $16,852,704) | 16,852,542 | |
Total Investments - 106.9% (Cost $38,441,359) | 40,651,073 | |
Derivatives - (0.8)%7 | (296,536) | |
Other Assets, less Liabilities - (6.1)% | (2,310,401) | |
Net Assets - 100.0% | $38,044,136 |
* | Non-income producing security. |
1 | Some or all of these securities were held as collateral for written options as of July 31, 2021, amounting to $5,945,250 or 15.6% of net assets. |
2 | Some of these securities, amounting to $8,056,104 or 21.2% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See below for more information. |
3 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
4 | Some or all of this security is held as collateral for futures contracts. The market value of collateral at July 31, 2021, amounted to $2,799,779, or 7.4% of net assets. |
5 | Represents yield to maturity at July 31, 2021. |
6 | Yield shown represents the July 31, 2021, seven day average yield, which refers to the sum of the previous seven days' dividends paid, expressed as an annual percentage. |
7 | Includes Exchange Traded Written Options and Futures Contracts. Please refer to the Open Exchange Traded Written Options and Open Futures Contracts tables for the details. |
ETF | Exchange Traded Fund |
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AMG FQ Global Risk-Balanced Fund
Schedule of Portfolio Investments (continued)
ETN | Exchange Traded Notes |
SPDR | Standard & Poor's Depositary Receipt |
TIPS | Treasury Inflation-Protected Securities |
Open Exchange Traded Purchased Options
Description | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Cost | Value | |
EURO STOXX 50 (Put) | 3,750 | 10/15/21 | 42 | $1,575,000 | $29,118 | $25,509 | |
EURO STOXX 50 (Put) | 3,775 | 10/15/21 | 13 | 490,750 | 9,990 | 8,405 | |
EURO STOXX 50 (Put) | 3,800 | 09/17/21 | 34 | 1,292,000 | 22,739 | 14,600 | |
EURO STOXX 50 (Put) | 3,825 | 09/17/21 | 19 | 726,750 | 11,956 | 8,790 | |
EURO STOXX 50 (Put) | 3,875 | 08/20/21 | 4 | 155,000 | 1,935 | 892 | |
S&P 500 Index (Put) | 3,875 | 09/17/21 | 15 | 5,812,500 | 101,784 | 26,550 | |
S&P 500 Index (Put) | 3,890 | 10/15/21 | 8 | 3,112,000 | 57,509 | 30,608 | |
S&P 500 Index (Put) | 3,930 | 09/17/21 | 9 | 3,537,000 | 52,052 | 19,053 | |
S&P 500 Index (Put) | 3,990 | 08/20/21 | 4 | 1,596,000 | 17,766 | 2,680 | |
S&P 500 Index (Put) | 4,050 | 10/15/21 | 13 | 5,265,000 | 81,752 | 68,029 | |
Total | $386,601 | $205,116 |
Open Exchange Traded Written Options
Description | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premium | Value | |
EURO STOXX 50 (Call) | 4,300 | 10/15/21 | 42 | $1,806,000 | $10,163 | $(12,505) | |
EURO STOXX 50 (Call) | 4,375 | 08/20/21 | 4 | 175,000 | 547 | (24) | |
EURO STOXX 50 (Call) | 4,400 | 09/17/21 | 34 | 1,496,000 | 6,768 | (1,089) | |
EURO STOXX 50 (Call) | 4,425 | 09/17/21 | 19 | 840,750 | 3,684 | (451) | |
EURO STOXX 50 (Call) | 4,475 | 10/15/21 | 13 | 581,750 | 2,897 | (663) | |
EURO STOXX 50 (Put) | 3,575 | 10/15/21 | 42 | 1,501,500 | 18,694 | (16,890) | |
EURO STOXX 50 (Put) | 3,625 | 10/15/21 | 13 | 471,250 | 7,120 | (5,860) | |
EURO STOXX 50 (Put) | 3,650 | 09/17/21 | 34 | 1,241,000 | 15,637 | (9,559) | |
EURO STOXX 50 (Put) | 3,675 | 09/17/21 | 19 | 698,250 | 8,081 | (5,725) | |
EURO STOXX 50 (Put) | 3,775 | 08/20/21 | 4 | 151,000 | 1,396 | (574) | |
S&P 500 Index (Call) | 4,460 | 09/17/21 | 15 | 6,690,000 | 25,846 | (76,575) | |
S&P 500 Index (Call) | 4,490 | 08/20/21 | 4 | 1,796,000 | 3,886 | (3,940) | |
S&P 500 Index (Call) | 4,540 | 09/17/21 | 9 | 4,086,000 | 12,802 | (18,855) | |
S&P 500 Index (Call) | 4,575 | 10/15/21 | 8 | 3,660,000 | 16,243 | (27,120) | |
S&P 500 Index (Call) | 4,660 | 10/15/21 | 13 | 6,058,000 | 19,206 | (20,280) | |
S&P 500 Index (Put) | 3,725 | 10/15/21 | 8 | 2,980,000 | 41,227 | (20,080) | |
S&P 500 Index (Put) | 3,750 | 09/17/21 | 15 | 5,625,000 | 75,906 | (19,290) | |
S&P 500 Index (Put) | 3,810 | 09/17/21 | 9 | 3,429,000 | 39,478 | (13,230) | |
S&P 500 Index (Put) | 3,900 | 08/20/21 | 4 | 1,560,000 | 13,722 | (1,760) | |
S&P 500 Index (Put) | 3,930 | 10/15/21 | 13 | 5,109,000 | 62,483 | (51,935) | |
Total | $385,786 | $(306,405) |
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AMG FQ Global Risk-Balanced Fund
Schedule of Portfolio Investments (continued)
Open Futures Contracts
Description | Currency | Number of Contracts | Position | Expiration Date | Current Notional Amount | Value and Unrealized Gain/(Loss) |
ASX SPI 200 Index | AUD | 12 | Long | 09/16/21 | $1,607,132 | $10,040 |
Australia 10-Year Bond | AUD | 46 | Long | 09/15/21 | 4,908,202 | 87,375 |
Canadian 10-Year Bond | CAD | 42 | Long | 09/21/21 | 4,982,703 | 59,497 |
EURO STOXX 50 | EUR | 87 | Long | 09/17/21 | 4,218,969 | (45,703) |
FTSE 100 Index | GBP | 11 | Long | 09/17/21 | 1,065,178 | (20,024) |
MINI HSI Index | HKD | 21 | Long | 08/30/21 | 699,815 | (23,702) |
MINI TPX Index | JPY | 64 | Long | 09/09/21 | 1,111,344 | (35,382) |
MSCI Emerging Markets Index | USD | 51 | Long | 09/17/21 | 3,258,135 | (231,054) |
Russell 2000® Mini Index | USD | 36 | Long | 09/17/21 | 3,998,880 | (174,699) |
S&P 500 E-Mini Index | USD | 62 | Long | 09/17/21 | 1,360,745 | 50,911 |
S&P/TSX 60 Index | CAD | 7 | Long | 09/16/21 | 1,360,500 | 14,870 |
U.K. 10-Year Gilt | GBP | 37 | Long | 09/28/21 | 6,675,100 | 75,950 |
US LONG BOND(CBT) | USD | 53 | Long | 09/21/21 | 8,730,094 | 241,790 |
Total | $9,869 |
CURRENCY ABBREVIATIONS: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
EUR | Euro Dollar |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
USD | US Dollar |
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AMG FQ Global Risk-Balanced Fund
Schedule of Portfolio Investments (continued)
The following table summarizes the inputs used to value the Fund's investments by the fair value hierarchy levels as of July 31, 2021:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | |||||||
Exchange Traded Funds† | $19,663,297 | — | — | $19,663,297 | |||
Exchange Traded Notes† | 3,930,118 | — | — | 3,930,118 | |||
Purchased Options | |||||||
Equity Contracts | 205,116 | — | — | 205,116 | |||
Short-Term Investments | |||||||
Joint Repurchase Agreements | — | $2,145,004 | — | 2,145,004 | |||
U.S. Government Obligations | — | 7,999,441 | — | 7,999,441 | |||
Other Investment Companies | 6,708,097 | — | — | 6,708,097 | |||
Total Investments in Securities | $30,506,628 | $10,144,445 | — | $40,651,073 | |||
Financial Derivative Instruments - Assets | |||||||
Equity Futures Contracts | $75,821 | — | — | $75,821 | |||
Interest Rate Futures Contracts | 464,612 | — | — | 464,612 | |||
Financial Derivative Instruments - Liabilities | |||||||
Equity Futures Contracts | (530,564) | — | — | (530,564) | |||
Equity Written Options | (306,405) | — | — | (306,405) | |||
Total Financial Derivative Instruments | $(296,536) | — | — | $(296,536) |
† | All exchange traded funds and exchange traded notes held in the Fund are level 1 securities. For a detailed listing of these securities, please refer to the Fund’s Schedule of Portfolio Investments. |
For the period ended July 31, 2021, there were no transfers in or out of Level 3.
The Fund participates in the securities lending program offered by The Bank of New York Mellon providing for the lending of securities to qualified brokers. The value of securities loaned on positions held, cash collateral and securities collateral received at July 31, 2021, were as follows:
Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | |
$8,056,104 | $2,145,004 | $6,074,719 | $8,219,723 |
The following table summarizes the securities received as collateral for securities lending at July 31, 2021:
Collateral Type | Coupon Range | Maturity Date Range | |
U.S. Treasury Obligations | 0.000%-8.000% | 08/15/21-02/15/50 |
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent semi or annual report.
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