Bmo Funds N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number 811-58433

BMO Funds, Inc.

(Exact name of registrant as specified in charter)

111 East Kilbourn Avenue, Suite 200

                Milwaukee, WI 53202                

(Address of principal executive offices) (Zip code)

John M. Blaser

BMO Asset Management Corp.

111 East Kilbourn Avenue, Suite 200

                Milwaukee, WI 53202                

(Name and address of agent for service)

Copies to:

Michael P. O’Hare, Esq.

Stradley, Ronon, Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103

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

Date of fiscal year end: August 31

Date of reporting period: August 31, 2017

Item 1.  Reports to Stockholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Act”) (17 CFR 270.30e-1).

BMO Funds August 31, 2017

Annual report

Equity Funds

International & Global Funds

Alternative Funds

Fixed Income Funds

Money Market Funds

Table of Contents

Commentaries
Equity Funds:		Fixed Income Funds:
BMO Low Volatility Equity Fund	2	BMO Ultra Short Tax-Free Fund	18
BMO Dividend Income Fund	3	BMO Short Tax-Free Fund	19
BMO Large-Cap Value Fund	4	BMO Short-Term Income Fund	20
BMO Large-Cap Growth Fund	5	BMO Intermediate Tax-Free Fund	21
BMO Mid-Cap Value Fund	6	BMO Strategic Income Fund	22
BMO Mid-Cap Growth Fund	7	BMO TCH Corporate Income Fund	23
BMO Small-Cap Value Fund	8	BMO TCH Core Plus Bond Fund	24
BMO Small-Cap Core Fund	9	BMO High Yield Bond Fund	25
BMO Small-Cap Growth Fund	10	Money Market Funds:
International and Global Funds:		BMO Government Money Market Fund	26
BMO Global Low Volatility Equity Fund	11	BMO Tax-Free Money Market Fund	27
BMO Disciplined International Equity Fund	12	BMO Prime Money Market Fund	28
BMO Pyrford International Stock Fund	13	BMO Institutional Prime Money Market Fund	29
BMO LGM Emerging Markets Equity Fund	14	Explanation of the Indices and Notes in the Commentary	30
BMO TCH Emerging Markets Bond Fund	15
Alternative Funds:
BMO Alternative Strategies Fund	16
BMO Global Long/Short Equity Fund	17
Financial Information
Expense Example			34
Schedules of Investments:
Equity Funds:		Fixed Income Funds:
BMO Low Volatility Equity Fund	38	BMO Ultra Short Tax-Free Fund	76
BMO Dividend Income Fund	39	BMO Short Tax-Free Fund	79
BMO Large-Cap Value Fund	41	BMO Short-Term Income Fund	82
BMO Large-Cap Growth Fund	43	BMO Intermediate Tax-Free Fund	86
BMO Mid-Cap Value Fund	44	BMO Strategic Income Fund	91
BMO Mid-Cap Growth Fund	46	BMO TCH Corporate Income Fund	95
BMO Small-Cap Value Fund	48	BMO TCH Core Plus Bond Fund	99
BMO Small-Cap Core Fund	50	BMO High Yield Bond Fund	103
BMO Small Cap Growth Fund	53	Money Market Funds:
International and Global Funds:		BMO Government Money Market Fund	105
BMO Global Low Volatility Equity Fund	55	BMO Tax-Free Money Market Fund	107
BMO Disciplined International Equity Fund	57	BMO Prime Money Market Fund	109
BMO Pyrford International Stock Fund	60	BMO Institutional Prime Money Market Fund	112
BMO LGM Emerging Markets Equity Fund	61
BMO TCH Emerging Markets Bond Fund	62
Alternative Funds:
BMO Alternative Strategies Fund	64
BMO Global Long/Short Equity Fund	73
Notes to Schedules of Investments			114
Statements of Assets and Liabilities			115
Statements of Operations			122
Statements of Changes in Net Assets			128
Financial Highlights			136
Notes to Financial Statements			147
Results of the Special Meetings of Shareholders			176
Report of Independent Registered Public Accounting Firm			177
Directors and Officers of the Funds (Unaudited)			178
Shareholder Report Disclosure of Directors’ Approval of Continuation of Contracts (Unaudited)			180

Not FDIC Insured No Bank Guarantee May Lose Value

Annual Report BMO Low Volatility Equity Fund

Average annual total returns (%)
	1-year		Since inception*
Advisor Class (A) NAV		6.94		8.69
Advisor Class (A) OFFER		1.57		7.00
Institutional Class (I)		7.24		11.82
Russell 1000® Index		16.16		14.01
Lipper Multi-Cap Core Funds Index		14.49		12.76

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

Consistent with our long term objective, the Fund provided upside participation during another positive year for equities. Our emphasis on stocks with attractive valuations was a detractor from performance, as investors favored more expensive growth companies. Sector positioning largely reflected our emphasis on risk reduction with significant weight in sectors like Consumer Staples and Utilities. An overweight to Consumer Staples and underweight to Information Technology were significant detractors from returns. An underweight position in Energy, however, was a positive contributor as a sudden pull back in oil prices caused the sector to trade lower.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Jason C. Hans, CFA; since 1999

Jay Kaufman, CFA; since 2006

Ernesto Ramos, Ph.D.; since 1988

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BLVAX		09658W105		5/27/2014		1.06		0.91
Institutional (I)		MLVEX		09658L208		9/28/2012		0.81		0.66

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		8.4
Consumer Staples		17.9
Energy		2.3
Financials		18.1
Healthcare		18.7
Industrials		7.1
Information Technology		7.8
Real Estate		3.2
Telecommunication Services		1.7
Utilities		12.8
Other Assets & Liabilities, Net		2.0
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

2

Annual Report BMO Dividend Income Fund

Average annual total returns (%)
	1-year		5-year		Since inception*
Advisor Class (A) NAV		14.80		—		8.63
Advisor Class (A) OFFER		9.07		—		6.95
Institutional Class (I)		15.15		12.52		12.74
Russell 1000® Value Index		11.58		13.25		14.02
Standard & Poor’s 500® Index		16.23		14.34		15.00
Lipper Equity Income Funds Index		12.26		11.77		12.20

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

The Fund benefited from strong stock selection within the Industrials sector. After the U.S. presidential election, industrial stocks performed well on the expectation of increased federal infrastructure spending. Boeing Co. (2.7% of the Fund, 90.8%) benefited from global growth and has thus seen demand for its airplanes grow. Investors have been attracted to the company’s cash flow generation and healthy capital return growth.

The Fund’s performance was hampered by weak stock selection and an underweight position within the Information Technology sector. The Fund’s Information Technology holdings are typically mature companies that offer less growth, yet higher capital returns via dividends. During the fiscal year, investors preferred Information Technology companies that offered above average growth and little or no dividend. Investors rewarded Apple, Inc. (1.1% of the Fund, 57.3%) ahead of its newest iPhone launch. Unfortunately, the company is held at a relative underweight due to its below market average dividend yield and was the Fund’s largest detractor from performance.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

Kenneth M. Conrad, Ph.D., CFA; since 2000

Casey J. Sambs, CFA; since 2004

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BADIX		09658W204		5/27/2014		1.08		0.90
Institutional (I)		MDIVX		09658L604		12/29/2011		0.83		0.65

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		8.3
Consumer Staples		7.7
Energy		6.6
Financials		14.3
Healthcare		11.1
Industrials		9.1
Information Technology		18.2
Materials		4.7
Real Estate		5.4
Telecommunication Services		4.8
Utilities		8.0
Other Assets & Liabilities, Net		1.8
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

3

Annual Report BMO Large-Cap Value Fund

Average annual total returns (%)
	1-year		5-year		Since inception*
Advisor Class (A) NAV		14.33		—		7.32
Advisor Class (A) OFFER		8.64		—		5.65
Institutional Class (I)		14.66		13.06		6.60
Retirement Class (R-6)		14.75		—		10.97
Russell 1000® Value Index		11.58		13.25		6.97
Lipper Multi-Cap Value Funds Index		12.58		12.63		6.58

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

The Fund outperformed its benchmark due to our preference for companies with positive or improving investor interest. Additionally, our focus on fundamentals was rewarded as high-quality companies outperformed lower quality counterparts. The Fund’s performance also was enhanced by strong stock selection, as sector allocation was a modest contributor to returns. The Fund’s underweight position in Telecommunication Services added to performance, while an underweight position in Financials detracted. Stock selection was particularly strong in Industrials while selection in Consumer Staples detracted from performance. Within Industrials, Boeing Co. (1.9% of the Fund, 90.8%) was the top contributor to returns. Top detractors included Tyson Foods, Inc., Class A (0.0% of the Fund, -22.4%) and CVS Health Corp. (2.3% of the Fund, -15.2%) in Consumer Staples.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Jason C. Hans, CFA; since 1999

Ernesto Ramos, Ph.D.; since 1988

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BALVX		09658W303		5/27/2014		1.03		1.00
Institutional (I)		MLVIX		09658L844		1/31/2008		0.78		0.75
Retirement (R-6)		BLCRX		09658W568		12/28/2015		0.63		0.60

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		6.4
Consumer Staples		9.5
Energy		9.3
Financials		22.5
Healthcare		11.8
Industrials		11.4
Information Technology		9.3
Materials		4.0
Real Estate		7.7
Telecommunication Services		0.2
Utilities		6.3
Other Assets & Liabilities, Net		1.6
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class and Retirement R-6 shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

4

Annual Report BMO Large-Cap Growth Fund

Average annual total returns (%)
	1-year		5-year		10-year		Since inception
Investor Class (Y)		21.30		16.07		9.00		—
Advisor Class (A) NAV		21.30		—		—		13.21
Advisor Class (A) OFFER		15.21		—		—		11.45
Institutional Class (I)		21.63		16.37		—		10.31
Retirement Class (R-6)		21.83		—		—		15.83
Russell 1000® Growth Index		20.82		15.41		9.39		—
Lipper Multi-Cap Growth Funds Index		20.14		14.45		7.96		—

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

The Fund outperformed its benchmark due to our preference for companies with positive or improving investor interest. Additionally, our focus on fundamentals was rewarded as high-quality companies outperformed lower quality counterparts. The Fund’s performance also was enhanced by strong stock selection, as sector allocation was a modest detractor to returns. The Fund’s underweight position in Consumer Staples added to performance, while an overweight position in Telecommunication Services detracted. Stock selection was particularly strong in Consumer Discretionary while selection in Real Estate detracted from performance. Within Consumer Discretionary, Wyndham Worldwide Corp. (1.8% of the Fund, 44.5%) and Sirius XM Holdings, Inc. (2.0% of the Fund, 40.1%) were top contributors to returns. Top detractors included EPR Properties (0.6% of the Fund, -6.0%) in Real Estate.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Jason C. Hans, CFA; since 1999

Ernesto Ramos, Ph.D.; since 1988

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MASTX		09658L745		11/20/1992		1.06		1.00
Advisor (A)		BALGX		09658W402		5/27/2014		1.06		1.00
Institutional (I)		MLCIX		09658L752		1/31/2008		0.81		0.75
Retirement (R-6)		BLGRX		09658W576		12/28/2015		0.66		0.60

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		16.2
Consumer Staples		4.3
Financials		6.3
Healthcare		16.2
Industrials		11.5
Information Technology		35.4
Materials		2.4
Real Estate		5.0
Telecommunication Services		1.3
Other Assets & Liabilities, Net		1.4
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class, Advisor Class and Retirement R-6 shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

5

Annual Report BMO Mid-Cap Value Fund

Average annual total returns (%)
	1-year		5-year		Since inception
Advisor Class (A)NAV		12.88		—		6.86
Advisor Class (A)OFFER		7.22		—		5.20
Institutional Class (I)		13.10		13.76		8.67
Retirement Class (R-3)		12.60		—		6.58
Retirement Class (R-6)		13.31		—		7.26
Russell Midcap® Value Index		10.82		14.22		9.35
Lipper Mid-Cap Value Funds Index		10.18		12.84		8.05

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

The Fund outperformed its benchmark due to our preference for companies with positive or improving investor interest. Additionally, our focus on fundamentals was rewarded as high-quality companies outperformed lower quality counterparts. The Fund’s performance also was enhanced via strong stock selection, as sector allocation was a modest contributor to returns. The Fund’s overweight position in Information Technology added to performance, while an overweight position in Consumer Staples detracted. Stock selection was particularly strong in Information Technology while selection in Consumer Discretionary slightly detracted from performance. Within Information Technology, Western Digital Corp. (1.2% of the Fund, 94.4%) and Lam Research Corp. (1.5% of the Fund, 80.4%) were top contributors to returns. Top detractors included Brinker International, Inc. (0.0% of the Fund, -17.6%) and American Eagle Outfitters, Inc. (0.0% of the Fund, -21.8%) in Consumer Discretionary.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Thomas Lettenberger, CFA; since 1994

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BAMCX		09658W501		5/27/2014		1.23		1.23
Institutional (I)		MRVIX		09658L711		1/31/2008		0.98		0.98
Retirement (R-3)		BMVDX		09658V446		5/27/2014		1.48		1.48
Retirement (R-6)		BMVGX		09658V438		5/27/2014		0.83		0.83

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		9.5
Consumer Staples		4.6
Energy		7.3
Financials		17.5
Healthcare		6.2
Industrials		14.5
Information Technology		9.2
Materials		5.9
Real Estate		13.1
Utilities		11.2
Other Assets & Liabilities, Net		1.0
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class, Retirement R-3 and Retirement R-6 Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

6

Annual Report BMO Mid-Cap Growth Fund

Average annual total returns (%)
	1-year		5-year		Since inception
Advisor Class (A)NAV		16.73		—		3.96
Advisor Class (A)OFFER		10.87		—		2.34
Institutional Class (I)		17.07		9.73		7.51
Retirement Class (R-3)		16.47		—		3.71
Retirement Class (R-6)		17.22		—		4.37
Russell Midcap® Growth Index		14.52		13.99		9.57
Lipper Mid-Cap Growth Funds Index		16.89		13.12		8.25

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

The Fund outperformed its benchmark due to our preference for companies with positive or improving investor interest. Additionally, our focus on fundamentals was rewarded as high-quality companies outperformed lower quality counterparts. The Fund’s performance also was enhanced by strong stock selection, as sector allocation was a modest contributor to returns. The Fund’s overweight position in Information Technology added to performance, while an overweight position in Energy detracted. Stock selection was particularly strong in Healthcare while selection in Real Estate slightly detracted from performance. Within Healthcare, Align Technology, Inc. (1.7% of the Fund, 90.3%) and WellCare Health Plans, Inc. (1.8% of the Fund, 55.0%) were top contributors to returns. Top detractors included Boston Properties, Inc. (1.5% of the Fund, -12.0%) and EPR Properties (0.0% of the Fund, -1.8%) in Real Estate.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Thomas Lettenberger, CFA; since 1994

					Inception date	Expenses (%)
Share class	Ticker		Cusip			Gross	Net
Advisor (A)		BGMAX		09658W600	5/27/2014	1.30		1.25
Institutional (I)		MRMIX		09658L737	1/31/2008	1.05		1.00
Retirement (R-3)		BMGDX		09658V420	5/27/2014	1.55		1.50
Retirement (R-6)		BMGGX		09658V412	5/27/2014	0.90		0.85

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		15.6
Consumer Staples		2.8
Energy		1.7
Financials		6.0
Healthcare		15.2
Industrials		16.2
Information Technology		28.9
Materials		5.4
Real Estate		5.2
Telecommunication Services		1.3
Other Assets & Liabilities, Net		1.7
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class, Retirement R-3 and Retirement R-6 Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

7

Annual Report BMO Small-Cap Value Fund

Average annual total returns (%)
	1-year		5-year		Since inception*
Advisor Class (A)NAV		11.58		—		4.83
Advisor Class (A)OFFER		5.96		—		3.18
Institutional Class (I)		11.87		12.38		10.22
Retirement Class (R-3)		11.32		—		4.56
Retirement Class (R-6)		12.05		—		5.25
Russell 2000® Value Index		13.47		12.51		9.36
Lipper Small-Cap Core Funds Index		13.79		12.71		9.64

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

The Fund underperformed its benchmark due to stock selection, as sector allocation was a modest contributor to returns. The Fund’s underweight position in Energy added to performance, while an underweight position in Real Estate detracted. Stock selection was particularly strong in Industrials while selection in Health Care detracted from performance. Within Industrials, Brink’s Company (0.9% of the Fund, 116.9%) and ArcBest Corp. (0.9% of the fund, 64.3%) were top contributors to returns. Top detractors included Lannett Company, Inc. (0.2% of the Fund, -42.1%) and Acorda Therapeutics, Inc. (0.3% of the Fund, -33.1%) in Health Care.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Thomas Lettenberger, CFA; since 1994

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BACVX		09658W709		5/27/2014		1.40		1.25
Institutional (I)		MRSNX		09658L596		2/28/2011		1.15		1.00
Retirement (R-3)		BSVDX		09658V396		5/27/2014		1.65		1.50
Retirement (R-6)		BSVGX		09658V388		5/27/2014		1.00		0.85

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		7.4
Consumer Staples		1.8
Energy		4.9
Financials		27.0
Healthcare		9.1
Industrials		14.6
Information Technology		10.8
Materials		7.1
Real Estate		10.2
Utilities		6.3
Other Assets & Liabilities, Net		0.8
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class, Retirement R-3 and Retirement R-6 Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

8

Annual Report BMO Small-Cap Core Fund

Average annual total returns (%)
	1-year		Since inception*
Advisor Class (A)NAV		16.09		9.44
Advisor Class (A)OFFER		10.28		7.74
Institutional Class (I)		16.33		8.85
Russell 2000® Index		14.92		6.75
Lipper Small-Cap Core Funds Index		13.79		6.56

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

The Fund outperformed its benchmark due to strong stock selection, as sector allocation was a modest contributor to returns. The Fund’s overweight position in Health Care added to performance, with no significant detractors in terms of sector allocation. Stock selection was particularly strong in Industrials while selection in Consumer Discretionary detracted from performance. Within Industrials, Brink’s Company (0.9% of the Fund, 116.9%) and ArcBest Corp. (0.9% of the Fund, 64.3%) were top contributors to returns. Top detractors included Francesca’s Holding Corporation (0.4% of the Fund, -54.6%) and Express, Inc. (0.5% of the Fund, -46.2%) in Consumer Discretionary.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Thomas Lettenberger, CFA; since 1994

				Inception date	Expenses (%)
Share class	Ticker	Cusip			Gross	Net
Advisor (A)	BCCAX		09658W808	5/27/2014	2.54		1.15
Institutional (I)	BSCNX		09658V537	12/27/2013	2.29		0.90

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		9.3
Consumer Staples		2.2
Energy		2.0
Financials		15.6
Healthcare		18.6
Industrials		14.8
Information Technology		20.3
Materials		6.0
Real Estate		5.9
Telecommunication Services		0.8
Utilities		2.6
Other Assets & Liabilities, Net		1.9
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

9

Annual Report BMO Small-Cap Growth Fund

Average annual total returns (%)
	1-year		5-year		Since inception*
Advisor Class (A) NAV		—		—		3.26
Advisor Class (A) OFFER		—		—		(1.92	)
Institutional Class (I)		14.32		10.51		8.47
Russell 2000® Growth Index		16.39		13.75		9.82
Lipper Small-Cap Growth Funds Index		14.49		12.26		8.19

* Cumulative for periods less than one year. Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

The Fund underperformed its benchmark due to stock selection, as sector allocation was a positive contributor to returns. The Fund’s overweight position in Healthcare added to performance, with no significant detractors in terms of sector allocation. Stock selection was particularly strong in Energy while selection in Consumer Discretionary detracted from performance. Within Energy, Sanchez Energy Corp. (0.0% of the Fund, 52.1%) was the top contributor to returns. Top detractors included Francesca’s Holding Corp. (0.4% of the Fund, -56.3%) and MarineMax, Inc. (0.8% of the Fund, -23.8%) in Consumer Discretionary.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Thomas Lettenberger, CFA; since 1994

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BSLAX		09658V339		5/31/2017		1.17		1.17
Institutional (I)		MSGIX		09658L620		1/31/2008		0.92		0.92

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		10.8
Consumer Staples		2.8
Energy		1.1
Financials		4.5
Healthcare		24.6
Industrials		17.3
Information Technology		27.0
Materials		6.2
Real Estate		2.5
Telecommunication Services		1.0
Utilities		1.0
Other Assets & Liabilities, Net		1.2
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

10

Annual Report BMO Global Low Volatility Equity Fund

Average annual total returns (%)
	1-year		Since inception*
Advisor Class (A) NAV		6.59		6.52
Advisor Class (A) OFFER		1.29		4.85
Institutional Class (I)		6.76		8.56
Morgan Stanley Capital International All Country World Index		17.75		8.05
Lipper Global Multi-Cap Value Funds Index		15.70		6.32

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations.

Consistent with our long term objective, the Fund provided upside participation during another positive year for equities. Our emphasis on stocks with attractive valuations was a detractor from performance, as investors favored more expensive growth companies. Sector positioning largely reflects our emphasis on risk reduction with significant weight in sectors like Consumer Staples and Utilities. An overweight to Consumer Staples and underweight to Information Technology were significant detractors from returns. An underweight position in Energy, however, was a positive contributor as a sudden pull back in oil prices caused the sector to trade lower.

Heading into the next fiscal year, we believe several themes will influence equity markets. From a policy standpoint, tax reform and infrastructure spending could support economic growth. These factors, combined with continued corporate earnings growth, could lead to positive stock market returns. However, markets could react negatively if fiscal or monetary policy falls short of expectations, including a more aggressive Federal Reserve. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

Jay Kaufman, CFA; since 2006

Ernesto Ramos, Ph.D.; since 1988

David Rosenblatt, CFA; since 2007

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross	Net
Advisor (A)		BAEGX		09658W873		5/27/2014	1.64	1.11
Institutional (I)		BGLBX		09658V768		9/30/2013	1.39	0.86

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		4.7
Consumer Staples		16.2
Financials		20.0
Healthcare		21.4
Industrials		4.2
Information Technology		7.3
Real Estate		6.2
Telecommunication Services		6.3
Utilities		11.8
Other Assets & Liabilities, Net		1.9
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

11

Annual Report BMO Disciplined International Equity Fund

Average annual total returns (%)
	1-year		Since inception*
Advisor Class (A)NAV		19.97		7.26
Advisor Class (A)OFFER		14.01		4.47
Institutional Class (I)		20.30		7.52
Morgan Stanley Capital International Europe, Australasia, Far East Index		17.64		8.69
Lipper International Multi-Cap Core Funds Index		17.28		9.36

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, international stocks in both developed and emerging markets outpaced U.S. stocks as corporate earnings and economic growth stabilized in international markets.

The Fund outperformed its benchmark due to our preference for fundamentally strong companies with reasonable valuations. The Fund’s relative performance was mostly driven by stock selection. An overweight position in Healthcare detracted from performance, while an underweight position in Real Estate contributed positively. In terms of country weights, an overweight position in France added to performance while an underweight position in Spain detracted. Stock selection was particularly strong in Financials, where Societe Generale SA (1.6% of the Fund, 61.0%) was a top contributor. Within Industrials, Royal Mail PLC (0.6% of the Fund, -20.5%) was the biggest detractor from returns.

As we look ahead, continued corporate earnings growth should lead to positive stock market returns. Any tax reform and infrastructure spending could further support economic growth, although with more uncertainty around these drivers. However, markets could react negatively with a slowdown in corporate earnings, or fiscal or monetary policy falls short of expectations. We also recognize a seeming disconnect between the equity and bond market that we continue to monitor. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

Jay Kaufman, CFA; since 2006

Ernesto Ramos, Ph.D.; since 1988

David Rosenblatt, CFA; since 2007

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BDAQX		09658W667		9/17/2015		1.45		1.15
Institutional (I)		BDIQX		09658W659		9/17/2015		1.20		0.90

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		10.2
Consumer Staples		11.0
Energy		2.6
Financials		19.4
Healthcare		14.7
Industrials		15.4
Information Technology		7.9
Materials		9.4
Telecommunication Services		3.7
Utilities		2.8
Real Estate		1.6
Other Assets & Liabilities, Net		1.3
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

12

Annual Report BMO Pyrford International Stock Fund

Average annual total returns (%)
	1-year		5-year		Since inception*
Investor Class (Y)		10.38		6.63		7.19
Advisor Class (A)NAV		10.38		—		1.59
Advisor Class (A)OFFER		4.87		—		0.00
Institutional Class (I)		10.68		6.90		7.47
Retirement Class (R-3)		10.17		—		1.34
Retirement Class (R-6)		10.85		—		1.98
Class F-3		—		—		0.08
Morgan Stanley Capital International Europe, Australasia, Far East Index		17.64		8.48		8.96
Lipper International Multi-Cap Core Funds Index		17.28		8.44		9.03

* Cumulative for periods less than one year. Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

International equity markets were marked by a reflation trade over the second half of 2016 as investors looked to rotate out of defensive sectors into more cyclical areas of the market. Since the turn of the year, European equities have performed strongly though a strengthening Euro has the potential to tighten conditions. Concerns on economic growth remain with forecasts steadily being revised downward, though market sentiment has been helped by supportive central bank policy from Japan, Europe, and the U.S. Ordinarily, this liquidity would have translated into robust credit growth in the real economy, but in a world where banks are reluctant to lend because of capital constraints and asset quality concerns and the private sector is unwilling to borrow because of already high existing levels of debt, this traditional transmission mechanism is broken.

We maintained a very defensive stance during the year, concentrating on characteristics of value and quality—high dividend yield, low financial leverage, and high return on equity. The Fund underperformed during the period under review. Underperformance was predominantly driven by underweight financials and stock selection within Europe. Low quality cyclical stocks in peripheral Europe were buoyed by the potential for reflation and a steeper yield curve over the second half of 2016, an area we are underweight. We continue to be underweight as we remain concerned with asset quality. We strongly believe that the European debt crisis has not gone away and banks remain the most exposed when the structural problems of peripheral southern Europe resurface. Indeed, Italian banks have been the focus of the market given high levels of bad debts.

In Asia, Hong Kong stock selection was positive led by Information Technology names. The Hong Kong market has performed strongly year-to-date, leading us to reduce our country allocation on valuation concerns. Currency contribution was positive by being underweight the Japanese Yen, despite the best efforts of the Bank of Japan, the currency depreciated by more than 6% over the period.

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Pyrford International Ltd.

Fund Managers; Investment Experience

Tony Cousins, CFA; since 1985

Daniel McDonagh, CFA; since 1997

Paul Simons, CFA; since 1996

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross	Net
Investor (Y)		MISYX		09658L497		12/29/2011	1.31	1.19
Advisor (A)		BPIAX		09658W840		5/27/2014	1.31	1.19
Institutional (I)		MISNX		09658L513		12/29/2011	1.06	0.94
Retirement (R-3)		BISDX		09658V370		5/27/2014	1.56	1.44
Retirement (R-6)		BISGX		09658V362		5/27/2014	0.91	0.79
Class F-3		BISBX		09658V321		5/31/2017	0.91	0.79

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		3.0
Consumer Staples		13.0
Energy		9.9
Financials		8.8
Healthcare		9.9
Industrials		18.5
Information Technology		6.2
Materials		4.1
Telecommunication Services		11.9
Utilities		6.5
Other Assets & Liabilities, Net		8.2
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Investor Class, Advisor Class, Retirement R-3, Retirement R-6 and F-3 Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

13

Annual Report BMO LGM Emerging Markets Equity Fund

Average annual total returns (%)
	1-year		5-year		Since inception*
Advisor Class (A) NAV		14.03		—		5.60
Advisor Class (A) OFFER		8.32		—		3.96
Institutional Class (I)		14.36		5.70		9.72
Morgan Stanley Capital International Emerging Markets Index		24.53		5.30		10.69
Lipper Emerging Markets Funds Index		23.67		5.65		10.88

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

Two major events occurred in the fourth quarter of 2016, demonetization in India and the impact of Trump’s election on certain emerging market countries, in particular Mexico. The Fund has several investments in both markets. While both caused a significant spike in volatility, we believed they did not diminish the investment case for the Fund’s holdings and, as such, we added to conviction positions. This action materially benefited the Fund’s return in 2017.

The Fund’s relative underperformance was primarily due to negative allocation effects from underweighting China and security selection in Indonesia, Vietnam, and the Philippines. In the Philippines, Universal Robina Corp. (URC) (3.6% of the Fund, -37.7%) was the largest detractor to the Fund’s performance. We raised our concerns with the stock in conversations with company management while in Manila in 2017. Our concerns included the high cost of recent acquisitions, the overall competitive environment, and lingering problems caused by product recalls in Vietnam. We came away greatly reassured, even though the competitive environment is likely to remain tough over the medium term. With URC’s market-leading brands in underpenetrated categories, superior distribution, robust balance sheet, and great management team, we remain confident in the long-term outlook for this business.

Adding to performance included security selection in India, South Africa, and Turkey. BIM Birlesik Magazalar AS (BIM), a Turkish discount retailer, (3.5% of the Fund, 31.7%) has a focus on the long-term and a ruthless attention to cost efficiency. BIM only operates in non-prime locations, has a narrow product offering (roughly 600 products of which about 70% are private label), and has a first-mover advantage, allowing them to build scale. This scale gives BIM bargaining power with suppliers and, combined with lower real estate costs and fewer product offerings, provides BIM with a much lower cost base than competitors.

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

LGM Investments Limited

Fund Managers; Investment Experience

Damian Bird, CFA; since 2008

Irina Hunter; since 1994

Rishikesh Patel; since 2003

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BAEMX		09658W824		5/27/2014		1.64		1.40
Institutional (I)		MIEMX		09658L489		12/22/2008		1.39		1.15

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		11.7
Consumer Staples		39.0
Financials		32.7
Healthcare		1.5
Industrials		1.6
Information Technology		1.9
Materials		1.0
Utilities		1.7
Common Stock Units		2.4
Participation Notes		2.6
Other Assets & Liabilities, Net		3.9
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

14

Annual Report BMO TCH Emerging Markets Bond Fund

Average annual total returns (%)
	1-year		Since inception*
Advisor Class (A) NAV		4.92		3.91
Advisor Class (A) OFFER		1.23		2.78
Institutional Class (I)		5.07		5.75
JP Morgan Emerging Markets Bond Global Diversified Index		5.02		7.44
Lipper Emerging Markets Hard Currency Debt Funds Index		7.67		5.40

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

In our view, the moderate approach the Federal Reserve (the Fed) appears to be taking with regard to their balance sheet is positive for the emerging market debt sector. Many investors had feared that eventual policy normalization would withdraw liquidity and hurt the sector, but the slow, deliberate course the Fed is charting projects more stability for the sector. Emerging market debt performance has been more positive than many expected and with spread tightening in other sectors even more in the second quarter, emerging market debt continues to appear attractive on a relative basis. The dollar continued to weaken in the second quarter, erasing almost all of the rise post-election in 2016, despite the second rate hike of 2017. This weakening should benefit hard currency emerging market debt.

The Fund delivered strong absolute returns for the fiscal year, outperforming the benchmark, but lagged the peer group. The period was characterized by meaningful rate increases and spread compression that left overall yields in a similar position after a strong year of performance for the sector.

The Fund is diversified to various sectors relative to its benchmark, which is comprised primarily of sovereign and fully owned quasi-sovereign issuers. Corporate and quasi-sovereign sectors outperformed the sovereign benchmark, adding to the Fund’s relative returns. The Fund maintains a higher quality bias versus the benchmark. For the trailing period, non-investment grade outperformed investment grade emerging market debt by nearly 600 basis points, detracting from relative performance.

Regional allocations contributed to Fund performance. Below benchmark allocations to Asia benefited performance for the trailing twelve months, and increasing allocations to the Middle East and North Africa from approximately benchmark weight to overweight benefited the Fund as that was the top performing region for the Fund’s fiscal year. By country, the Fund was overweight Mexico which underperformed, but underweight Philippines, which underperformed.

While U.S. policy priorities appear less focused on trade than several months ago, potential further volatility around U.S. political rhetoric could continue to create opportunities. As a whole, current emerging market yields remain attractive and we expect sub-sector and security selection opportunities to be important drivers of returns in the coming quarters.

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

Scott M. Kimball, CFA; since 2004

Daniela Mardarovici, CFA; since 2000

Frank J. Reda, CMT; since 2001

Janelle Woodward, CFA; since 2003

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross	Net
Advisor (A)		BAMEX		09658W816		5/27/2014	2.84	1.00
Institutional (I)		MEBIX		09658L448		9/30/2013	2.59	0.85

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		55.0
International Bonds		41.5
Other Assets & Liabilities, Net		3.5
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

15

Annual Report BMO Alternative Strategies Fund

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		4.27			3.03
Advisor Class (A) OFFER		(0.92	)		1.08
Institutional Class (I)		4.65			3.31
Bank of America Merrill Lynch 3-Month T-Bill Index		0.62			0.32
HFRX Global Hedge Fund Index		5.57			1.59
Lipper Alternative Multi-Strategy Funds Index		3.75			1.66

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year began with strength across global markets as China maintained a pro-growth stance and the markets welcomed Donald Trump’s unexpected victory. U.S. stocks led developed markets higher, while rising commodity prices fueled emerging markets. Global equities rallied into 2017 as strong corporate earnings growth and improving economic data continued in the United States, Europe and Japan. Several market indexes hit new highs, fueled by expectations that Trump would deliver business-friendly policies, including tax cuts and regulatory reforms. Fixed income also traded higher despite tightening U.S. monetary policy. The fiscal year ended with increased volatility as geopolitical concerns grew as mounting tension with both North Korea and Russia caused bouts of weakness in equity markets. U.S. and German government bonds ended on a strong note as demand for safe haven assets increased.

The Fund achieved its results with an average volatility that was approximately 40% of the market as measured by Morgan Stanley Capital International (MSCI) All Country World Index (ACWI). As such, the portfolio provided good downside protection in periods of stress while lagging in an upward moving market.

Given a relatively strong equity market during most of the year, equity hedged strategies were among the strongest contributors to portfolio performance. Our higher beta manager contributed significantly to returns while the lower beta manager provided protection in the more recent down drafts.

The relative value allocation turned in mixed results for the portfolio. Our volatility manager continued to capitalize predominantly on U.S. based returns where the relationship between implied volatility and realized remained the most attractive. The other manager in this allocation continued to struggle and was replaced at the end of February with a global long/short mandate.

The credit hedged sleeve of the portfolio enhanced performance as bank loans and long equities were strong. This manager continued to monitor the geopolitical environment and continued to look for opportunities that are more insulated from market turmoil and remain relatively defensively positioned.

Our macro allocation also managed to add value during this time period. Equity positioning was additive with long positions in U.S., China and Japan indices among the largest contributors to performance in this strategy.

Investment Adviser:

BMO Asset Management Corp.

Sub-advisers:

CTC myCFO, LLC

Capstone Investment Advisors, LLC

Cramer Rosenthan McGlynn, LLC

Graham Capital Management, L.P.

Iridian Asset Management LLC

Sound Point Capital Management, L.P.

			Inception date	Expenses (%)
Share class	Ticker	Cusip		Gross	Net
Advisor (A)	BMATX	09658W683	12/16/2014	3.73	2.92
Institutional (I)	BMASX	09658W675	12/16/2014	3.48	2.67

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
	Short			Long
Common Stocks Sold Short or Purchased Long
Consumer Discretionary		(3.5	)		8.9
Consumer Staples		(1.4	)		2.6
Energy		(0.2	)		0.7
Financials		(0.7	)		2.9
Healthcare		(1.2	)		5.4
Industrials		(2.4	)		8.7
Information Technology		(1.6	)		5.6
Materials		(0.8	)		4.9
Real Estate		(1.0	)		0.5
Telecommunication Services		(0.1	)		0.9
Utilities		(0.7	)		1.3
Total Common Stocks		(13.6	)		42.4
Total Common Stocks Sold Short					(13.6	)
Total Net Sold Short and Purchased Long Common Stocks					28.8
Other investments Purchased Long*					7.9
Other investments Sold Short*					(6.1	)
Short-Term Investments					51.9
Other Assets & Liabilities					17.5
Total					100.0

* See Schedules of Investments for additional detail on investment type.

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

16

Annual Report BMO Global Long/Short Equity Fund

Average annual total returns (%)
	1-year		Since inception*
Advisor Class (A) NAV		15.77		11.46
Advisor Class (A) OFFER		10.00		8.55
Institutional Class (I)		16.10		11.73
Morgan Stanley Capital International All Country World Index		17.75		12.01
Lipper Alternative Long/Short Equity Funds Index		6.48		3.55

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The fiscal year featured two distinct market environments. Immediately following the unanticipated outcome of the U.S. election, expectations of fiscal spending, deregulation, and tax cuts for individuals and corporations inspired a new sense of optimism among investors. That renewed outlook for future economic growth and inflation led to an increase in U.S. 10 year treasury yields, the repricing of expensive “bond proxy” stocks, and outperformance of more attractively valued pro-cyclical stocks. Since the end of 2016, however, the market experienced a partial reversal of post-election themes; with growth becoming scarce in the market, investors preferred stocks with higher growth rates over company valuations. Contrary to expectations heading into 2017, international stocks in both developed and emerging markets outpaced U.S. stocks as corporate earnings and economic growth have stabilized in international markets.

Within the global investment universe, our emphasis on stock valuations detracted from returns in what was predominantly a growth-oriented market. However, the portfolio continues to display the intended risk characteristics, with volatility and drawdowns at a fraction of those of the Morgan Stanley Capital International (MSCI) All Country World Index (ACWI).

The Fund’s sector and country allocations had a modest impact on performance, as relative returns were mostly driven by stock selection. An underweight position in Information Technology detracted from performance, while a net short position in Energy contributed positively. In terms of country weights, a net short position in the United Kingdom added to performance while an underweight position in China detracted.

As we look ahead, continued corporate earnings growth should lead to positive stock market returns. Any tax reform and infrastructure spending could further support economic growth, although with more uncertainty around these drivers. However, markets could react negatively with a slowdown in corporate earnings, or fiscal or monetary policy falls short of expectations. We also recognize the seeming disconnect between the equity and bond market that we continue to monitor. Accordingly, we have positioned your portfolio to participate in up markets while managing downside risks.

Fund Managers; Investment Experience

Jay Kaufman, CFA; since 2006

Ernesto Ramos, Ph.D.; since 1988

David Rosenblatt, CFA; since 2006

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BGAQX		09658W626		9/17/2015		9.50		2.40
Institutional (I)		BGIQX		09658W618		9/17/2015		9.25		2.15

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
	Short			Long
Common Stocks Sold Short or Purchased Long
Consumer Discretionary		(5.1	)		9.9
Consumer Staples		(1.6	)		9.4
Energy		(0.2	)		—
Financials		(2.8	)		11.7
Healthcare		(1.6	)		19.9
Industrials		(8.0	)		18.3
Information Technology		(7.5	)		11.2
Materials		(3.3	)		5.1
Real Estate		(4.9	)		5.4
Telecommunication Services		(0.6	)		2.2
Utilities		—			5.7
Total Common Stocks		(35.6	)		98.8
Total Common Stocks Sold Short					(35.6	)
Total Net Sold Short and Purchased Long Common Stocks					63.2
Short-Term Investments					40.1
Other Assets & Liabilities					(3.3	)
Total					100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

17

Annual Report BMO Ultra Short Tax-Free Fund

Average annual total returns (%)
	1-year			5-year		Since inception*
Advisor Class (A) NAV		0.80			—		0.51
Advisor Class (A) OFFER		(1.26	)		—		(0.12	)
Institutional Class (I)		1.15			0.83		1.19
Blended Index (50% Bloomberg Barclays 1 Year Municipal Bond Index and 50% iMoneyNet, Inc. Money Market Fund Tax-Free National Retail Index)		0.66			0.43		0.52
Lipper Short Municipal Debt Funds Index		0.77			0.78		1.18

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

Looking back over the past year, interest rates increased dramatically following the election of President Trump—the “reflation” trade—before rallying back towards pre-election levels. Fixed income yields moved higher with forecasted increases in Gross Domestic Product and inflation due to aggressive fiscal policies proposed by the new Trump Administration. Ultimately, this put some pressure on the Federal Reserve (the Fed) to move interest rates higher. However, hurdles to enacting looser fiscal policy, as well as choppy economic data and lower inflation, limited the Fed’s actions over the past year. As of August 31, only four interest rate hikes have been made by the Fed in the current tightening cycle. Since December 2015, the Federal Open Market Committee (FOMC) has increased the Fed Funds target rate by 100 basis points from 0.25% to the current 1.25%. The probability for a widely anticipated rate hike in the fourth quarter of 2017 has fallen as inflation has drifted lower over the year and global political tensions have risen.

Municipal yields increased across the curve for the year. The long end experienced the largest increase with the thirty-year yield higher by about 60 basis points from August 2016. On the short end of the curve, one- and five-year yields increased by 25 basis points, and the ten-year yield increased by 45 basis points. Despite higher yields, returns were positive for all spots along the municipal yield curve, albeit with a wide range of outcomes. According to the Bloomberg Barclays Municipal Bond Index, the long bond index returned 0.42%, the ten-year bond index returned 1.06% the five-year bond index returned 1.44%, and the one year bond index returned 1.04%.

The Fund outperformed its blended benchmark and peer group over the period. Performance was helped by an overweight of lower quality bonds as spreads tightened with investors stretching for yield in the low interest rate environment. Additionally, the Fund had an overweight of municipal floating rate notes which performed well in the rising interest rate environment. The Fund’s performance was hindered by its selection of bonds within the lower quality rating sectors.

Fund Managers; Investment Experience

Thomas Byron; since 1981

Brian Sipich, CFA; since 1998

Robert Wimmel; since 1992

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BAUSX		09658W790		5/27/2014		0.64		0.55
Institutional (I)		MUISX		09658L539		9/30/2009		0.39		0.30

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 14.1%
School District		5.4
State or Local		8.7
Revenue Bonds — 89.2%
Appropriation		16.8
Education		6.4
General Revenue		1.2
Healthcare		23.2
Housing		7.8
Industrial Revenue		8.1
Power		2.9
Special Tax		3.4
Tobacco		0.8
Transportation		9.4
Water & Sewer		9.2
Other Assets & Liabilities, Net		(3.3	)
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

18

Annual Report BMO Short Tax-Free Fund

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		1.08			1.42
Advisor Class (A) OFFER		(0.95	)		0.78
Institutional Class (I)		1.14			1.87
Bloomberg Barclays Short (1-5 Year) Municipal Index		1.13			1.29
Lipper Short Municipal Debt Funds Index		0.77			0.74

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

Looking back over the past year, interest rates increased dramatically following the election of President Trump—the “reflation” trade—before rallying back towards pre-election levels. Fixed income yields moved higher with forecasted increases in Gross Domestic Product and inflation due to aggressive fiscal policies proposed by the new Trump Administration. Ultimately, this put some pressure on the Federal Reserve (the Fed) to move interest rates higher. However, hurdles to enacting looser fiscal policy, as well as choppy economic data and lower inflation, limited the Fed’s actions over the past year. As of August 31, only four interest rate hikes have been made by the Fed in the current tightening cycle. Since December 2015, the Federal Open Market Committee (FOMC) has increased the Fed Funds target rate by 100 basis points from 0.25% to the current 1.25%. The probability for a widely anticipated rate hike in the fourth quarter of 2017 has fallen as inflation has drifted lower over the year and global political tensions have risen.

Municipal yields increased across the curve for the year. The long end experienced the largest increase with the thirty-year yield higher by about 60 basis points from August 2016. On the short end of the curve, one- and five-year yields increased by 25 basis points, and the ten-year yield increased by 45 basis points. Despite higher yields, returns were positive for all spots along the municipal yield curve, albeit with a wide range of outcomes. According to the Bloomberg Barclays Municipal Bond Index, the long bond index returned 0.42%, the ten-year bond index returned 1.06% the five-year bond index returned 1.44%, and the one year bond index returned 1.04%.

The Fund performed in line with the benchmark and outperformed the peer group over the period. Performance was helped by an overweight of lower quality bonds as spreads tightened with investors stretching for yield in the low interest rate environment. The Fund’s barbell structure also was additive as the yield curve rose. The Fund’s performance was hindered by its selection of bonds within the lower quality rating sectors.

Fund Managers; Investment Experience

Thomas Byron; since 1981

Brian Sipich, CFA; since 1998

Robert Wimmel; since 1992

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BASFX		09658W782		5/27/2014		0.78		0.56
Institutional (I)		MTFIX		09658L646		11/29/2012		0.53		0.41

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 19.0%
School District		7.2
State or Local		11.8
Revenue Bonds — 76.3%
Appropriation		14.2
Education		12.3
General Revenue		1.5
Healthcare		22.3
Housing		3.4
Industrial Revenue		3.2
Power		2.9
Special Tax		2.3
Student Loan		0.3
Tobacco		2.0
Transportation		7.8
Water & Sewer		4.1
Other Assets & Liabilities, Net		4.7
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

19

Annual Report BMO Short-Term Income Fund

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Advisor Class (A) NAV		1.46			—		—		1.18
Advisor Class (A) OFFER		(0.55	)		—		—		0.57
Institutional Class (I)		1.60			1.43		2.93		—
Bank of America Merrill Lynch 1-3 Year U.S. Government/Corporate Index		0.88			0.98		2.18		—
Lipper Short Investment-Grade Debt Funds Index		1.60			1.36		2.30		—

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The Federal Open Market Committee (FOMC) and the surprise election of Donald Trump were significant factors in the bond market’s significant volatility over the past year. While three interest rate increases by the FOMC since December 2016 spurred yields dramatically higher, the Presidential election ignited market participants’ hopes for deregulation and tax reform. These beliefs reinforced a “risk-on” mentality in the marketplace, which drove sales of Treasury bonds and increased the buying of credit bonds. While interest rates climbed all across the yield curve, the most dramatic increases were seen in maturities of 1 year and shorter.

An overweight in percentage and duration exposure to the Corporate, Asset-Backed Securities (ABS) and Commercial Mortgage Securities (CMS) sectors, as compared to the benchmark index, benefited performance, as they were the top performers for the year. Conversely, exposure to longer-dated U.S. Government securities detracted from performance, as interest rates rose dramatically all across the yield curve. A barbell term structure was beneficial as the yield curve flattened in maturities greater than one year. Thanks in large part to the anticipation of regulatory and tax reform, the security selection of financial versus industrial corporate issues also proved to be additive to performance.

After a rebound in growth for the second quarter of 2017, economists anticipate that the economy will finish the year at 2% to 2.5% Gross Domestic Product. The U.S. Federal Reserve continues to be concerned with inflation persisting well below its targeted level of 2%; however, the employment data remains strong and has shown resilience in the face of economic uncertainty. As of August 31, 2017 the futures market reflected only a 33% chance of a policy tightening occurring by the end of 2017.

The trends of rising rates out to five years and a flatter yield curve beyond six months are likely to remain in place. As the fiscal year drew to a close, and as efforts to swiftly implement agenda items have reached an impasse, Congress and the new administration will remain significant wildcards in the marketplace. A few items of focus in the near-term include raising the debt ceiling, passing a budget and any potential tax or regulatory reform. Exogenous items that affect market confidence, like weather-related emergencies and/or increasing tension in Asia will also bear watching.

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BTMAX		09658W774		5/27/2014		0.72		0.62
Institutional (I)		MSIFX		09658L570		5/31/2007		0.47		0.37

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Asset-Backed Securities		21.6
Collateralized Mortgage Obligations		3.0
Commercial Mortgage Securities		7.0
Corporate Bonds & Notes		41.7
Mutual Funds		1.9
U.S. Government & U.S. Government Agency Obligations		15.9
U.S. Government Agency—Mortgage Securities		0.5
Other Assets & Liabilities, Net		8.4
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

20

Annual Report BMO Intermediate Tax-Free Fund

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Investor Class (Y)		0.78			2.79		4.75		—
Advisor Class (A) NAV		0.79			—		—		3.10
Advisor Class (A) OFFER		(2.73	)		—		—		2.00
Institutional Class (I)		1.11			3.04		—		4.44
Bloomberg Barclays 1-15 Year Blend Municipal Bond Index		1.07			2.73		4.32		—
Lipper Intermediate Municipal Debt Funds Index		0.63			2.48		3.87		—

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

Looking back over the past year, interest rates increased dramatically following the election of President Trump—the “reflation” trade—before rallying back towards pre-election levels. Fixed income yields moved higher with forecasted increases in Gross Domestic Product and inflation due to aggressive fiscal policies proposed by the new Trump Administration. Ultimately, this put some pressure on the Federal Reserve (the Fed) to move interest rates higher. However, hurdles to enacting looser fiscal policy, as well as choppy economic data and lower inflation, limited the Fed’s actions over the past year. As of August 31, only four interest rate hikes have been made by the Fed in the current tightening cycle. Since December 2015, the Federal Open Market Committee (FOMC) has increased the Fed Funds target rate by 100 basis points from 0.25% to the current 1.25%. The probability for a widely anticipated rate hike in the fourth quarter of 2017 has fallen as inflation has drifted lower over the year and global political tensions have risen.

Municipal yields increased across the curve for the year. The long end experienced the largest increase with the thirty-year yield higher by about 60 basis points from August 2016. On the short end of the curve, one- and five-year yields increased by 25 basis points, and the ten-year yield increased by 45 basis points. Despite higher yields, returns were positive for all spots along the municipal yield curve, albeit with a wide range of outcomes. According to the Bloomberg Barclays Municipal Bond Index, the long bond index returned 0.42%, the ten-year bond index returned 1.06% the five-year bond index returned 1.44%, and the one year bond index returned 1.04%.

The Fund outperformed its benchmark and peer group over the period. Performance was helped by an overweight of lower quality bonds as spreads tightened with investors stretching for yield in the low interest rate environment. The Fund’s barbell structure also was additive as the yield curve rose. The Fund’s performance was hindered by the selection of bonds in the 15 year portion of the yield curve.

Fund Managers; Investment Experience

Thomas Byron; since 1981

Brian Sipich, CFA; since 1998

Robert Wimmel; since 1992

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MITFX		09658L760		2/1/1994		0.58		0.56
Advisor (A)		BITAX		09658W766		5/27/2014		0.58		0.56
Institutional (I)		MIITX		09658L778		12/27/2010		0.33		0.33

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 23.0%
School District		13.2
State or Local		9.8
Revenue Bonds — 75.5%
Appropriation		18.7
Education		8.1
General Revenue		0.9
Healthcare		18.4
Housing		4.0
Industrial Revenue		0.7
Power		2.7
Special Tax		1.3
Student Loan		0.7
Tobacco		0.7
Transportation		11.4
Water & Sewer		7.9
Other Assets & Liabilities, Net		1.5
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

21

Annual Report BMO Strategic Income Fund

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Investor Class (Y)		3.32			2.34		4.31		—
Advisor Class (A)NAV		3.32			—		—		3.27
Advisor Class (A)OFFER		(0.28	)		—		—		2.15
Institutional Class (I)		3.58			2.59		4.56		—
Bloomberg Barclays U.S. Aggregate Bond Index*		0.49			2.19		4.40		—
Bloomberg Barclays U.S. Mortgage Backed Securities Index		0.80			2.05		4.24		—
Lipper Multi-Sector Income Funds Index		5.51			3.87		5.61		—

* The Bloomberg Barclays U.S. Aggregate Bond Index is replacing the Bloomberg Barclays U.S. Mortgage Backed Securities Index as the Fund’s benchmark. The Fund has changed the broad-based securities market index to which it compares its performance. The Bloomberg Barclays U.S. Mortgage Back Securities Index will be excluded from this comparison in the future.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

Since the end of May, the Fund has performed approximately in-line with its new benchmark, benefitting from the strength of security selection and the performance of non-government securities, but interest rate and yield curve impacts offset these contributions. In this timeframe, security selection within Mining and Chemicals was particularly additive, while selection within Energy names detracted from performance.

The Fund outperformed the new benchmark, but underperformed the new peer group for the full fiscal period. Relative to the benchmark, the Fund was overweight non-agency mortgages, which performed well and contributed meaningful income to the portfolio. The Fund’s outperformance was significantly benefited by a litigation settlement from a crisis-era investment received during the first quarter. Relative to the new peer group, the Fund had a significant overweight to agency mortgages in a period when agency mortgages underperformed higher yielding securities typically held in multi-sector fixed income portfolios, such as emerging market debt, credit and high yield corporates.

Looking forward, when the Federal Reserve begins its long awaited balance sheet reduction plan, the deliberate and methodical approach should ease the direct impact to Treasuries and broader fixed income, though implementation should be monitored closely. U.S. fixed income has benefited from significant international flows, a continuing support given yield differentials. Those factors notwithstanding, Treasury markets have priced in moderating economic data to a greater degree than other asset classes and sectors. Whether credit, priced near historical median levels, or Treasuries are better reflective of near term economic outcomes will help define the coming quarters for fixed income investors. As markets respond to U.S. fiscal policy and global monetary policy shifts, we see opportunities and risks across the spectrum of fixed income sectors and expect sub-sector and security selection opportunities to be important drivers of returns for the upcoming period.

Fund Managers; Investment Experience

Scott M. Kimball, CFA; since 2004

Daniela Mardarovici, CFA; since 2000

Frank J. Reda, CMT; since 2001

Janelle Woodward, CFA; since 2003

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MRGIX		09658L810		12/13/1992		0.86		0.80
Advisor (A)		BMTAX		09658W758		5/27/2014		0.86		0.80
Institutional (I)		MGIIX		09658L828		5/31/2007		0.61		0.55

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Asset-Backed Securities		0.2
Collateralized Mortgage Obligations		10.6
Commercial Mortgage Securities		6.0
Corporate Bonds & Notes		66.0
U.S. Government Agency—Mortgage Securities		15.6
Other Assets & Liabilities, Net		1.6
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Investor Class and Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

22

Annual Report BMO TCH Corporate Income Fund

Average annual total returns (%)
	1-year		5-year		Since inception*
Investor Class (Y)		3.86		4.64		8.22
Advisor Class (A)NAV		3.86		—		4.27
Advisor Class (A)OFFER		0.21		—		3.14
Institutional Class (I)		4.07		4.79		8.40
Bloomberg Barclays U.S. Credit Index		1.90		3.39		6.61
Lipper Corporate Debt Funds BBB-Rated Index		3.35		4.45		10.50

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The Fund outperformed its benchmark and peer group in a period when rates rose significantly and economic expectations improved.

Interest rates on the 10 year U.S. Treasury rose from 1.58% on August 31, 2016 to 2.12% on August 31, 2017, resulting in a -0.95% return for Treasuries. The Fund had tactically reduced portfolio duration in 2016 and that positioning contributed to strong relative performance against the benchmark as yields rose sharply in the later part of 2016. Floating rate notes, also part of the yield curve positioning, benefited the portfolio as the Federal Reserve hiked rates three times (December, March, June) during the period.

Individual security selection within corporate credit was the largest driver of positive performance. In particular, names within Information Technology, Healthcare, and Metals & Mining, contributed to returns while other sectors such as Retail mildly detracted from returns.

Sector and quality selection was positive. The portfolio was overweight credit, which outperformed duration-matched Treasuries by 309 basis points as spreads tightened. Within credit, the Fund was overweight lower quality investment grade securities which outperformed higher quality securities with BBB bonds outperforming AAA equivalents by over 360 basis points of excess return. The portfolio was overweight corporate credit, which outperformed non-corporate credit by 150 basis points, adding to relative performance.

Looking forward, duration positioning has been brought closer to benchmark given the adjustment in rates and the Fund is positioning for continued flattening of the yield curve as the rate hike cycle proceeds. The Fund remains modestly constructive credit relative to government securities in light of fundamental underpinnings as the corporate backdrop remains benign, but this view is balanced against tightening credit spreads. To date, earnings and strong demand continue to be supportive of spread levels. We expect security selection and idiosyncratic opportunities to remain key drivers in the coming quarters as uncertainty regarding U.S. policy implementation (Healthcare, Financials) and Merger & Acquisition activity continue to create opportunities, while other sectors undergo secular changes (Retail, Telecommunications).

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

Scott M. Kimball, CFA; since 2004

Daniela Mardarovici, CFA; since 2000

Frank J. Reda, CMT; since 2001

Janelle Woodward, CFA; since 2003

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MCIYX		09658L851		12/22/2008		0.73		0.60
Advisor (A)		BATIX		09658W733		5/27/2014		0.73		0.60
Institutional (I)		MCIIX		09658L869		12/22/2008		0.48		0.48

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		93.7
Municipals		0.2
U.S. Government & U.S. Government Agency Obligations		3.3
Other Assets & Liabilities, Net		2.8
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Investor Class and Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

23

Annual Report BMO TCH Core Plus Bond Fund

Average annual total returns (%)
	1-year			5-year		Since inception*
Investor Class (Y)		1.91			3.22		6.00
Advisor Class (A) NAV		1.91			—		2.96
Advisor Class (A) OFFER		(1.65	)		—		1.84
Institutional Class (I)		2.08			3.46		6.25
Bloomberg Barclays U.S. Aggregate Bond Index		0.49			2.19		4.04
Lipper Core Plus Bond Funds Index		1.16			2.58		6.03

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

The Fund outperformed its benchmark meaningfully, but modestly underperformed the peer group in a period when rates rose significantly and economic expectations improved.

Interest rates on the 10 year U.S. Treasury rose from 1.58% on August 31, 2016 to 2.12% on August 31, 2017, resulting in a -0.95% return for Treasuries. The Fund had tactically reduced portfolio duration in 2016 and that positioning contributed to strong relative performance against the benchmark as yields rose sharply in the later part of 2016. Floating rate notes, also part of the yield curve positioning, benefited the portfolio as the Federal Reserve hiked rates three times (December, March, June) during the period.

Sector and quality selection was positive. The portfolio was overweight credit, which outperformed duration-matched Treasuries by 309 basis points as spreads tightened. Within credit, the Fund was overweight lower quality investment grade securities which outperformed higher quality securities with BBB bonds outperforming AAA equivalents by over 360 basis points of excess return. The portfolio was overweight corporate credit, which outperformed non-corporate credit by 150 basis points, adding to relative performance. However, the overweight to mortgage backed securities (MBS) detracted from relative returns as that sector underperformed in the period and mortgage duration extended with the increase in Treasury yields.

Individual security selection within corporate credit contributed to performance, in particular names within Information Technology and Metals & Mining, while other sectors such as Retail mildly detracted from returns.

Looking forward, duration positioning has been brought closer to benchmark given the adjustment in rates and the Fund is positioning for continued flattening of the yield curve as the rate hike cycle proceeds. The Fund remains modestly constructive credit relative to government securities in light of fundamental underpinnings as the corporate backdrop remains benign, but this view is balanced against tightening credit spreads. To date, earnings and strong demand continue to be supportive of spread levels. We expect security selection and idiosyncratic opportunities to remain key drivers in the coming quarters as uncertainty regarding U.S. policy implementation (Healthcare, Financials) and Merger & Acquisition activity continue to create opportunities, while other sectors undergo secular changes (Retail, Telecommunications).

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

Scott M. Kimball, CFA; since 2004

Daniela Mardarovici, CFA; since 2000

Frank J. Reda, CMT; since 2001

Janelle Woodward, CFA; since 2003

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MCYBX		09658L877		12/22/2008		0.60		0.60
Advisor (A)		BATCX		09658W725		5/27/2014		0.60		0.60
Institutional (I)		MCBIX		09658L885		12/22/2008		0.35		0.35

Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		46.0
U.S. Government & U.S. Government Agency Obligations		12.7
U.S. Government Agency—Mortgage Securities		36.2
Other Assets & Liabilities, Net		5.1
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Investor Class and Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

24

Annual Report BMO High Yield Bond Fund

Average annual total returns (%)
	1-year		5-year		Since inception*
Advisor Class (A) NAV		6.37		—		3.13
Advisor Class (A) OFFER		2.70		—		2.01
Institutional Class (I)		6.53		4.86		5.52
Bank of America Merrill Lynch U.S. High Yield, Master II Constrained Index		8.78		6.50		7.58
Bank of America Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index		7.58		6.26		7.25
Lipper High Yield Bond Funds Index		8.67		5.88		7.00

* Benchmarks since inception reflect the inception date of the Institutional Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

Commentary

For the full fiscal year, lower quality high yield outperformed with CCC rated bonds producing more than double the return of B rate securities—over 14% vs. approximately 7%. This difference in returns by quality segment led the Fund to underperform given its higher quality bias. Of note, during the first six months of the fiscal year, when the Fund had more of a high quality bias, CCC rated bonds returned approximately 12% versus 3% for BB rated. However, in the second half of the fiscal year, as the benchmark changed and the Fund incorporated lower quality assets, BB rated securities outperformed CCC rated by over 1%. Since the end of March, high yield spreads have remained unchanged with rates moving modestly lower impacting overall yields.

For the second quarter of calendar year 2017, security selection within certain Energy sub-sectors, Consumer Products and niche Retail sectors detracted from performance. Companies within the Telecommunication sector were the largest positive contributors, offsetting some of the impact from Energy. Cable sector performance was due to fundamental strength and idiosyncratic company factors.

Since the end of the second quarter of calendar year 2017, security selection within the Mining and Transportation sectors were positive contributors while Telecommunications and Consumer, Non-Cyclical were the largest detractors.

We continue to expect returns for full year 2017 to be approximately 5-7%, driven primarily by interest income and continued spread compression, partially offset by rising rates. High yield continues to be an attractive asset class for investors due to its diversification benefits and short duration, which should benefit from reinvestment activity when rates increase.

Fund Managers; Investment Experience

Ronald J. Salinas, CFA; since 2000

Eduardo J. Simpson, CFA; since 1999

Janelle Woodward, CFA; since 2003

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BMHAX		09658W717		5/27/2014		1.22		0.91
Institutional (I)		MHBNX		09658L406		12/29/2011		0.97		0.66

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		96.0
Other Assets & Liabilities, Net		4.0
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

25

Annual Report BMO Government Money Market Fund

Average annual total returns (%)
	7-day current yield		1-year		5-year		10-year
Investor Class (Y)		0.62		0.24		0.06		0.40
Premier Class		0.87		0.45		0.12		0.49
iMoneyNet, Inc. Government Money Market Index				0.03		0.02		0.29
Lipper U.S. Government Money Market Funds Index				0.18		0.05		0.35

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

An investment in the Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Commentary

The Federal Open Market Committee (FOMC) and the surprise election of Donald Trump were significant factors in the bond market’s significant volatility over the past year. While three interest rate increases, by the FOMC, since December 2016, spurred yields dramatically higher, the Presidential election ignited market participants’ hopes for deregulation and tax reform. These beliefs reinforced a “risk-on” mentality in the marketplace, which drove sales of Treasury bonds and increased the buying of credit bonds. While interest rates climbed all across the yield curve, the most dramatic increases were seen in maturities of one year and shorter.

Due to a rising interest rate environment, the Fund’s low Weighted Average Maturity and increased allocation to floating rate securities were strong contributors to performance during the fiscal year. Following the Money Market Reform implemented last October, strong demand for short-dated Government instruments has continued unabated, and as a result, short government yields remain under pressure. Nearly one year later, assets have still not begun shifting back to the Prime Funds as expected, as clients continue to rely on Government Funds for liquidity and many investors are content to keep the status quo amid uncertainty regarding fiscal policy and regulatory reform.

Thanks to the December 2016, March and June 2017 interest rate increases, yields climbed dramatically during the fiscal year, most noticeably on maturities of one year and less. Floating rate instruments remain attractive as the FOMC projects a further reduction in policy accommodation in the remainder of 2017 and 2018.

The trends of rising rates out to five years and a flatter yield curve beyond six months are likely to remain in place. As the fiscal year drew to a close, and as efforts to swiftly implement agenda items have reached an impasse, Congress and the Trump administration will remain significant wildcards in the marketplace. A few items of focus in the near-term include raising the debt ceiling, passing a budget and any potential tax or regulatory reform. Exogenous items that affect market confidence, like weather-related emergencies and/or increasing tension in Asia also will bear watching.

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MGYXX		09658L786		5/17/2004		0.54		0.46
Premier		MGNXX		09658L794		5/28/2004		0.29		0.21

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Mutual Funds		5.5
Repurchase Agreements		19.7
U.S. Government & U.S. Government Agency Obligations		86.2
Other Assets & Liabilities, Net		(11.4	)
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Premier Class shares of the Fund. Performance for the Investor Class shares will vary from the performance of the Premier Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Premier Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

26

Annual Report BMO Tax-Free Money Market Fund

Average annual total returns (%)
	7-day current yield		1-year		5-year		10-year
Investor Class (Y)		0.42		0.37		0.10		0.49
Premier Class		0.67		0.62		0.19		0.66
iMoneyNet, Inc. Fund Report/Tax-Free National Retail Index				0.28		0.07		0.34
Lipper Tax-Exempt Money Market Funds Index				0.39		0.10		0.35

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

An investment in the Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Commentary

Looking back over the past year, interest rates increased dramatically following the election of President Trump—the “reflation” trade—before rallying back towards pre-election levels. Fixed income yields moved higher with forecasted increases in Gross Domestic Product and inflation due to aggressive fiscal policies proposed by the new Trump Administration. Ultimately, this put some pressure on the Federal Reserve (the Fed) to move interest rates higher. However, hurdles to enacting looser fiscal policy, as well as choppy economic data and lower inflation, limited the Fed’s actions over the past year. As of August 31 only four interest rate hikes have been made by the Fed in the current tightening cycle. Since December 2015, the Federal Open Market Committee (FOMC) has increased the Fed Funds target rate by 100 basis points from 0.25% to the current 1.25%. The probability for a widely anticipated rate hike in the fourth quarter of 2017 has fallen as inflation has drifted lower over the year and global political tensions have risen.

Municipal yields increased across the curve for the year. The long end experienced the largest increase with the thirty-year yield higher by about 60 basis points from August 2016. On the short end of the curve, one- and five-year yields increased by 25 basis points, and the ten-year yield increased by 45 basis points. Despite higher yields, returns were positive for all spots along the municipal yield curve, albeit with a wide range of outcomes. According to the Bloomberg Barclays Municipal Bond Index, the long bond index returned 0.42%, the ten-year bond index returned 1.06% the five-year bond index returned 1.44%, and the one year bond index returned 1.04%.

The Fund outperformed its benchmark and peer group over the period. Duration for the Fund has stayed short with the Weighted Average Maturity fluctuating between 13 and 30 days. The Fund has a large allocation to variable rate demand bonds with daily or weekly liquidity and management made purchases in fixed rate bonds when the Fund was adequately compensated. Use of commercial paper has allowed the Fund to pick up some fixed interest rate exposure in the one to three month space as a way to diversify interest rate exposure while allowing flexibility for additional rate increases by the Fed.

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Thomas Byron; since 1981

Boyd R. Eager; since 1997

Brian Sipich, CFA; since 1998

Robert Wimmel; since 1992

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MTFXX		09658L547		9/22/2004		0.54		0.46
Premier		MFIXX		09658L554		6/29/2005		0.29		0.21

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 15.9%
State or Local		15.9
Revenue Bonds — 85.5%
Appropriation		8.3
Education		8.8
General Revenue		2.5
Healthcare		16.3
Housing		8.7
Industrial Revenue		7.4
Special Tax		13.5
Transportation		8.6
Water & Sewer		11.4
Other Assets & Liabilities, Net		(1.4	)
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Premier Class shares of the Fund. Performance for the Investor Class shares will vary from the performance of the Premier Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Premier Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

27

Annual Report BMO Prime Money Market Fund

Average annual total returns (%)
	7-day current yield		1-year		5-year		10-year
Investor Class (Y)		0.81		0.42		0.10		0.53
Premier Class		1.06		0.67		0.20		0.69
iMoneyNet, Inc. Money Fund Report Averages				0.14		0.05		0.40
Lipper Money Market Instrument Funds Index				0.44		0.11		0.47

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

An investment in the Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Commentary

The Federal Open Market Committee (FOMC) and the surprise election of Donald Trump were significant factors in the bond market’s significant volatility over the past year. While three interest rate increases, by the FOMC, since December 2016, spurred yields dramatically higher, the Presidential election ignited market participants’ hopes for deregulation and tax reform. These beliefs reinforced a “risk-on” mentality in the marketplace, which drove sales of Treasury bonds and increased the buying of credit bonds. While interest rates climbed all across the yield curve, the most dramatic increases were seen in maturities of one year and shorter.

Due to a rising interest rate environment, the Fund’s low Weighted Average Maturity and increased allocation to floating rate securities were strong contributors to performance during the fiscal year. Higher yields on commercial paper, particularly in financial and asset-backed names, also helped performance. Following the Money Market Reform implemented last October, strong demand for short-dated Government instruments has continued unabated, and as a result, short government yields remain under pressure. Nearly one year later, assets have still not begun shifting back to the Prime Funds as expected, as clients continue to rely on Government Funds for liquidity, and many investors are content to keep the status quo amid uncertainty regarding fiscal policy and regulatory reform.

Thanks to the December 2016, March and June 2017 interest rate increases, yields climbed dramatically during the fiscal year, most noticeably on maturities of one year and less. Floating rate instruments remain attractive as the FOMC projects a further reduction in policy accommodation in the remainder of 2017 and 2018.

The trends of rising rates out to five years and a flatter yield curve beyond six months are likely to remain in place. As the fiscal year drew to a close, and as efforts to swiftly implement agenda items have reached an impasse, Congress and the Trump administration will remain significant wildcards in the marketplace. A few items of focus in the near-term include raising the debt ceiling, passing a budget and any potential tax or regulatory reform. Exogenous items that affect market confidence, like weather-related emergencies and/or increasing tension in Asia also will bear watching.

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MARXX		09658L679		11/23/1992		0.46		0.46
Premier		MAIXX		09658L687		4/3/2000		0.21		0.21

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Certificates of Deposit		25.7
Commercial Paper		57.4
Municipals		4.3
Mutual Funds		7.0
Repurchase Agreements		5.6
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Premier Class shares of the Fund. Performance for the Investor Class shares will vary from the performance of the Premier Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Premier Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

28

Annual Report BMO Institutional Prime Money Market Fund

Average annual total returns (%)
	7-day current yield		1-year		Since inception*
Investor Class (Y)		0.83		0.50		0.43
Premier Class		1.08		0.75		0.68
iMoneyNet, Inc. Money Fund Report Averages				0.14		0.14
Lipper Institutional Money Market Funds Index				0.86		0.69

* Benchmarks since inception reflect the inception date of the Premier Class.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

An investment in the Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Commentary

The Federal Open Market Committee (FOMC) and the surprise election of Donald Trump were significant factors in the bond market’s significant volatility over the past year. While three interest rate increases by the FOMC, since December 2016, spurred yields dramatically higher, the Presidential election ignited market participants’ hopes for deregulation and tax reform. These beliefs reinforced a “risk-on” mentality in the marketplace, which drove sales of Treasury bonds and increased the buying of credit bonds. While interest rates climbed all across the yield curve, the most dramatic increases were seen in maturities of one year and shorter.

Due to a rising interest rate environment, the Fund’s low Weighted Average Maturity and increased allocation to floating rate securities were strong contributors to performance during the fiscal year. Higher yields on commercial paper, particularly in financial and asset-backed names, also helped performance. The Fund had substantial liquidity and considerably short-weighted average maturity relative to its peers, which weighed on performance relative to the Index. Following the Money Market Reform implemented last October, strong demand for short-dated Government instruments has continued unabated, and as a result, short government yields remain under pressure. Nearly one year later, assets have still not begun shifting back to the Prime Funds as expected, as clients continue to rely on Government Funds for liquidity, and many investors are content to keep the status quo amid uncertainty regarding fiscal policy and regulatory reform.

Thanks to the December 2016, March and June 2017 interest rate increases, yields climbed dramatically during the fiscal year, most noticeably on maturities of one year and less. Floating rate instruments remain attractive as the FOMC projects a further reduction in policy accommodation in the remainder of 2017 and 2018.

The trends of rising rates out to five years and a flatter yield curve beyond six months are likely to remain in place. As the fiscal year drew to a close, and as efforts to swiftly implement agenda items have reached an impasse, Congress and the Trump administration will remain significant wildcards in the marketplace. A few items of focus in the near-term include raising the debt ceiling, passing a budget and any potential tax or regulatory reform. Exogenous items that affect market confidence, like weather-related emergencies and/or increasing tension in Asia also will bear watching.

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		BYFXX		09658V354		6/3/2016		0.54		0.45
Premier		BPFXX		09658L347		6/3/2016		0.29		0.20

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2017. The Adviser has committed to continue this arrangement through December 31, 2018. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Certificates of Deposit		17.6
Commercial Paper		59.1
Mutual Funds		6.0
Repurchase Agreements		17.4
Other Assets & Liabilities, Net		(0.1	)
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Premier Class shares of the Fund. Performance for the Investor Class shares will vary from the performance of the Premier Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Premier Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2007 to August 31, 2017.

29

Explanation of the Indices and Notes in the Commentary

The views expressed in the commentary are as of August 31, 2017 and are those of the Funds’ investment adviser and/or portfolio manager(s). The views are subject to change at any time in response to changing circumstances in the market and are not intended to predict or guarantee the future performance of the Funds or any individual security, industry, market sector or the markets generally. Statements involving predictions, assessments, analyses or outlook for individual securities, industries, market sectors and/or markets involve risks and uncertainties. In addition to the general risks described for the Funds in their current Prospectuses, other factors bearing on these commentaries include the accuracy of the investment adviser’s or portfolio manager’s forecasts and predictions and the appropriateness of the investment programs designed by the investment adviser or portfolio managers to implement their strategies efficiently and effectively. Any one, or more, of these factors, as well as other risks affecting the securities markets and investment instruments generally, could cause the actual results of a Fund to differ materially as compared to benchmarks associated with that Fund. The line graphs and tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The gross and net expense ratios are based on expenses incurred by a Fund as disclosed in the Funds’ Prospectus dated December 29, 2016. Each Fund’s performance assumes the reinvestment of all dividends and distributions. Performance returns for all benchmark comparisons assume dividends and distributions were reinvested for the entire period. All indices are unmanaged and are not available for direct investment.

Fund/Benchmark Comparison per Fund		Explanation
Low Volatility Equity Fund	Russell 1000® Index	The Russell 1000® Index consists of approximately 1,000 of the largest companies in the U.S. equity markets.(4)
	Lipper Multi-Cap Core Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Dividend Income Fund	Russell 1000® Value Index	The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.(4)
	Standard & Poor’s 500® Index	The S&P 500® is an unmanaged index of large-cap common stocks.
	Lipper Equity Income Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Large-Cap Value Fund	Russell 1000® Value Index	The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.(4)
	Lipper Multi-Cap Value Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Large-Cap Growth Fund	Russell 1000® Growth Index	The Russell 1000® Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.(4)
	Lipper Multi-Cap Growth Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Mid-Cap Value Fund	Russell Midcap® Value Index	This index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000® Value Index.(4)
	Lipper Mid-Cap Value Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Mid-Cap Growth Fund	Russell Midcap® Growth Index	This index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The stocks are also members of the Russell 1000® Growth Index.(4)
	Lipper Mid-Cap Growth Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Small-Cap Value Fund(1)	Russell 2000® Value Index	The Russell 2000® Value Index measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.(4)
	Lipper Small-Cap Core Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Small-Cap Core Fund(1)	Russell 2000® Index	The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.(4)
	Lipper Small-Cap Core Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)

30

Explanation of the Indices and Notes in the Commentary (continued)

Fund/Benchmark Comparison per Fund		Explanation
Small-Cap Growth Fund(1)	Russell 2000® Growth Index	The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.(4)
	Lipper Small-Cap Growth Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Global Low Volatility Equity Fund(3)	Morgan Stanley Capital International All Country World Index	The MSCI All Country World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.(4)
	Lipper Global Multi-Cap Value Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Disciplined International Equity Fund(3)	Morgan Stanley Capital International Europe, Australasia, Far East Index	The MSCI Europe, Australasia and Far East Index is a standard unmanaged foreign securities index representing major non-U.S. stock markets, as monitored by Morgan Stanley Capital International.(4)
	Lipper International Multi-Cap Core Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Pyrford International Stock Fund(3)	Morgan Stanley Capital International Europe, Australasia, Far East Index	The MSCI Europe, Australasia and Far East Index is a standard unmanaged foreign securities index representing major non-U.S. stock markets, as monitored by Morgan Stanley Capital International.(4)
	Lipper International Multi-Cap Core Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
LGM Emerging Markets Equity Fund(3)	Morgan Stanley Capital International Emerging Markets Index	The MSCI Emerging Markets Index is a market capitalization weighted index comprised of over 800 companies representative of the market structure of the emerging countries in Europe, Latin America, Africa, Middle East and Asia, as monitored by Morgan Stanley Capital International.(4)
	Lipper Emerging Markets Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
TCH Emerging Markets Bond Fund(3)(6)	JP Morgan Emerging Markets Bond Global Diversified Index	The JP Morgan Emerging Markets Bond Global Diversified Index tracks total returns for traded external debt instruments (external meaning foreign currency denominated fixed income) in the emerging markets and limits the weights of those index countries with larger debt stocks by only including a specified portion of these countries eligible current face amounts of debt outstanding.(4)
	Lipper Emerging Markets Hard Currency Debt Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Alternative Strategies Fund(3)	Bank of America Merrill Lynch 3-Month T-Bill Index	Bank of America Merrill Lynch 3-Month T-Bill Index comprises a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. While the index will often hold the Treasury Bill issued at the most recent 3-month auction, it is also possible for a seasoned 6-month Bill to be selected.(4)
	HFRX Global Hedge Fund Index	HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It comprises all eligible hedge fund strategies, including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event-driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.
	Lipper Alternative Multi-Strategy Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Global Long/Short Equity Fund(3)	Morgan Stanley Capital International All Country World Index	The MSCI All Country World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.(4)
	Lipper Alternative Long/Short Equity Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Ultra Short Tax-Free Fund(2)(6)	Blended Index (50% Bloomberg Barclays 1 Year Municipal Bond Index and 50% iMoneyNet, Inc. Money Market Fund Tax-Free National Retail Index)	The blended index consists of 50% Bloomberg Barclays 1 Year Municipal Bond Index and 50% iMoneyNet Money Market Fund Tax-Free National Retail Index. The Bloomberg Barclays 1 Year Municipal Bond Index is the 1 year component of the Bloomberg Barclays Capital Municipal Bond Index, which is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. The iMoneyNet Money Market Fund Tax-Free National Retail Index is an average of money funds with investment objectives similar to that of the Fund.(4)
	Lipper Short Municipal Debt Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)

31

Explanation of the Indices and Notes in the Commentary (continued)

Fund/Benchmark Comparison per Fund		Explanation
Short Tax-Free Fund(2)(6)	Bloomberg Barclays Short (1-5 Year) Municipal Index	The Bloomberg Barclays Short (1-5 Year) Municipal Index includes invetment-grade tax-exempt bonds that are issued by state and local governments and have maturities of 1 to 5 years.(4)
	Lipper Short Municipal Debt Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Short-Term Income Fund(6)	Bank of America Merrill Lynch 1-3 Year U.S. Government/Corporate Index	This is an index tracking short-term U.S. government and corporate securities with maturities between 1 and 2.99 years. The index is produced by Merrill Lynch, Pierce, Fenner & Smith.(4)
	Lipper Short Investment-Grade Debt Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Intermediate Tax-Free Fund(2)(6)	Bloomberg Barclays 1-15 Year Blend Municipal Bond Index	This index is the 1-15 year Blend component of the Bloomberg Barclays Municipal Bond Index, which is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa and a range of maturities between 1-17 years. To qualify for inclusion, a bond or security must have outstanding par value of at least $7 million, issued as part of a transaction of at least $75 million, fixed rate, dated-date after December 31, 1990 and must have at least one year from final maturity.(4)
	Lipper Intermediate Municipal Debt Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Strategic Income Fund(6)	Bloomberg Barclays U.S. Aggregate Bond Index	Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage pass-through securities, asset-backed securities and commercial mortgage-based securities.(4)
	Bloomberg Barclays U.S. Mortgage Backed Securities Index	This index is an unmanaged index that includes 15 and 30 year fixed-rate securities backed by mortgage pools of the Government National Mortgage Association (GNMA), Federal Home Loan Mortgage Corp. (FHLMC) and the Federal National Mortgage Corporation (FNMC).(4)
	Lipper Multi-Sector Income Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
TCH Corporate Income Fund(6)	Bloomberg Barclays U.S. Credit Index	Bloomberg Barclays U.S. Credit Index represents securities that are SEC registered, taxable and U.S. dollar denominated. The index covers U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity and quality requirements.(4)
	Lipper Corporate Debt Funds BBB-Rated Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
TCH Core Plus Bond Fund(6)	Bloomberg Barclays U.S Aggregate Bond Index	Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage pass-through securities, asset-backed securities and commercial mortgage-based securities. To qualify for inclusion, a bond or security must have at least one year to final maturity, rated investment grade Baa3 or better, dollar denominated, non-convertible, fixed rate and be publicly issued.(4)
	Lipper Core Plus Bond Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
High Yield Bond Fund(3)(6)	Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index	This is an Index that tracks the performance of U.S. dollar denominated below investment grade rated corporate debt publically issued in the U.S. domestic market.(4)
	Bank of America Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index	This is a benchmark index for high yield corporate bonds which excludes lower-rated securities and caps exposure to any one issuer at 2% and is administrated by Merrill Lynch.(4)
	Lipper High Yield Bond Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Government Money Market Fund	iMoneyNet, Inc. Government Money Market Index	This index is an average of money funds with investment objectives similar to that of the Fund.
	Lipper U.S. Government Money Market Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)

32

Explanation of the Indices and Notes in the Commentary (continued)

Fund/Benchmark Comparison per Fund		Explanation
Tax-Free Money Market Fund	iMoneyNet, Inc. Fund Report/Tax-Free National Retail Index	This index is an average of money funds with investment objectives similar to that of the Fund.
	Lipper Tax-Exempt Money Market Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Prime Money Market Fund	iMoneyNet, Inc. Money Fund Report Averages	This index is an average of money funds with investment objectives similar to that of the Fund.
	Lipper Money Market Instrument Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Institutional Prime Money Market Fund	iMoneyNet, Inc. Money Fund Report Averages	This index is an average of money funds with investment objectives similar to that of the Fund.
	Lipper Institutional Money Market Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)

(1) Small-Cap stocks are less liquid and more volatile than large-cap stocks.

(2) Income generated by the Fund may be subject to the federal alternative minimum tax.

(3) International investing involves special risks including currency risk, political risk, increased volatility of foreign securities, and differences in auditing and other financial standards.

(4) Performance returns do not reflect the deduction of sales charges, expenses, or other fees that the Securities and Exchange Commission requires to be reflected in a mutual fund’s performance.

(5) Performance returns do not reflect the deduction of sales charges of component funds, or taxes, but do reflect the deduction of fund expenses.

(6) Investors should be aware that in an environment of rising interest rates, they may expect to see declining bond prices.

33

Expense Example (Unaudited)

For the Six Months Ended August 31, 2017

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended August 31, 2017 (3/1/17-8/31/17).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Investor									Advisor									Institutional
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)
Low Volatility Equity Fund
Actual										$	1,000.00	$	1,015.20		0.90	%	$	4.57	$	1,000.00	$	1,017.10		0.65	%	$	3.31
Hypothetical (5% return before expenses)											1,000.00		1,020.46		0.90			4.58		1,000.00		1,021.72		0.65			3.31
Dividend Income Fund
Actual											1,000.00		1,035.60		0.90			4.62		1,000.00		1,037.00		0.65			3.34
Hypothetical (5% return before expenses)											1,000.00		1,020.46		0.90			4.58		1,000.00		1,021.72		0.65			3.31
Large-Cap Value Fund
Actual											1,000.00		1,014.40		1.00			5.08		1,000.00		1,016.40		0.75			3.81
Hypothetical (5% return before expenses)											1,000.00		1,019.96		1.00			5.09		1,000.00		1,021.22		0.75			3.82
Large-Cap Growth Fund
Actual	$	1,000.00	$	1,093.90		1.00	%	$	5.27		1,000.00		1,093.90		1.00			5.25		1,000.00		1,095.20		0.75			3.95
Hypothetical (5% return before expenses)		1,000.00		1,019.96		1.00			5.09		1,000.00		1,019.96		1.00			5.09		1,000.00		1,021.22		0.75			3.82

34

Expense Example (Unaudited) (continued)

	Investor									Advisor										Institutional
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)			Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)
Mid-Cap Value Fund
Actual										$	1,000.00	$	1,003.40		1.24	%	$	6.26		$	1,000.00	$	1,004.20		0.99	%	$	5.00
Hypothetical (5% return before expenses)											1,000.00		1,018.75		1.24			6.31			1,000.00		1,020.01		0.99			5.04
Mid-Cap Growth Fund
Actual											1,000.00		1,064.80		1.24			6.48			1,000.00		1,066.50		0.99			5.15
Hypothetical (5% return before expenses)											1,000.00		1,018.75		1.24			6.31			1,000.00		1,020.01		0.99			5.04
Small-Cap Value Fund
Actual											1,000.00		973.60		1.24			6.18			1,000.00		974.00		0.99			4.92
Hypothetical (5% return before expenses)											1,000.00		1,018.75		1.24			6.31			1,000.00		1,020.01		0.99			5.04
Small-Cap Core Fund
Actual											1,000.00		1,004.60		1.15			5.80			1,000.00		1,006.10		0.90			4.56
Hypothetical (5% return before expenses)											1,000.00		1,019.20		1.15			5.85			1,000.00		1,020.46		0.90			4.58
Small-Cap Growth Fund
Actual											1,000.00		1,032.60		1.24	(2)		3.19	(2)		1,000.00		1,057.30		0.99			5.16
Hypothetical (5% return before expenses)											1,000.00		1,018.72		1.24	(3)		6.33	(3)		1,000.00		1,020.01		0.99			5.04
Global Low Volatility Equity Fund
Actual											1,000.00		1,060.40		1.10			5.70			1,000.00		1,061.90		0.85			4.41
Hypothetical (5% return before expenses)											1,000.00		1,019.46		1.10			5.60			1,000.00		1,020.72		0.85			4.33
Disciplined International Equity Fund
Actual											1,000.00		1,124.90		1.15			6.15			1,000.00		1,126.90		0.90			4.81
Hypothetical (5% return before expenses)											1,000.00		1,019.20		1.15			5.85			1,000.00		1,020.46		0.90			4.58
Pyrford International Stock Fund
Actual	$	1,000.00	$	1,090.30		1.19	%	$	6.24		1,000.00		1,090.30		1.19			6.30			1,000.00		1,091.70		0.94			4.94
Hypothetical (5% return before expenses)		1,000.00		1,019.00		1.19			6.06		1,000.00		1,019.00		1.19			6.06			1,000.00		1,020.26		0.94			4.79
LGM Emerging Markets Equity Fund
Actual											1,000.00		1,187.90		1.40			7.75			1,000.00		1,190.00		1.15			6.32
Hypothetical (5% return before expenses)											1,000.00		1,017.94		1.40			7.12			1,000.00		1,019.20		1.15			5.85
TCH Emerging Markets Bond Fund
Actual											1,000.00		1,045.10		1.00			5.13			1,000.00		1,046.50		0.85			4.41
Hypothetical (5% return before expenses)											1,000.00		1,019.96		1.00			5.09			1,000.00		1,020.72		0.85			4.33
Alternative Strategies Fund
Actual											1,000.00		1,018.00		2.97			15.12			1,000.00		1,020.80		2.72			13.87
Hypothetical (5% return before expenses)											1,000.00		1,010.03		2.97			15.05			1,000.00		1,011.29		2.72			13.79
Global Long/Short Equity Fund
Actual											1,000.00		1,034.70		2.49			12.76			1,000.00		1,036.40		2.24			11.49
Hypothetical (5% return before expenses)											1,000.00		1,012.45		2.49			12.63			1,000.00		1,013.71		2.24			11.37
Ultra Short Tax-Free Fund
Actual											1,000.00		1,004.70		0.55			2.78			1,000.00		1,006.00		0.30			1.52
Hypothetical (5% return before expenses)											1,000.00		1,022.23		0.55			2.80			1,000.00		1,023.49		0.30			1.53
Short Tax-Free Fund
Actual											1,000.00		1,014.30		0.55			2.80			1,000.00		1,014.10		0.40			2.03
Hypothetical (5% return before expenses)											1,000.00		1,022.23		0.55			2.80			1,000.00		1,022.98		0.40			2.04
Short-Term Income Fund
Actual											1,000.00		1,011.40		0.60			3.05			1,000.00		1,011.60		0.35			1.78
Hypothetical (5% return before expenses)											1,000.00		1,021.98		0.60			3.06			1,000.00		1,023.24		0.35			1.78
Intermediate Tax-Free Fund
Actual		1,000.00		1,033.20		0.55			2.82		1,000.00		1,033.20		0.55			2.83			1,000.00		1,034.40		0.32			1.64
Hypothetical (5% return before expenses)		1,000.00		1,022.23		0.55			2.80		1,000.00		1,022.23		0.55			2.80			1,000.00		1,023.39		0.32			1.63

35

Expense Example (Unaudited) (continued)

	Investor									Advisor									Institutional
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)
Strategic Income Fund
Actual	$	1,000.00	$	1,049.10		0.80	%	$	4.13	$	1,000.00	$	1,049.10		0.80	%	$	4.13	$	1,000.00	$	1,050.50		0.55	%	$	2.84
Hypothetical (5% return before expenses)		1,000.00		1,020.97		0.80			4.08		1,000.00		1,020.97		0.80			4.08		1,000.00		1,022.23		0.55			2.80
TCH Corporate Income Fund
Actual		1,000.00		1,032.10		0.59			3.01		1,000.00		1,032.10		0.59			3.01		1,000.00		1,033.50		0.46			2.36
Hypothetical (5% return before expenses)		1,000.00		1,022.03		0.59			3.01		1,000.00		1,022.03		0.59			3.01		1,000.00		1,022.68		0.46			2.35
TCH Core Plus Bond Fund
Actual		1,000.00		1,027.80		0.59			2.99		1,000.00		1,027.80		0.59			2.99		1,000.00		1,028.20		0.34			1.72
Hypothetical (5% return before expenses)		1,000.00		1,022.03		0.59			3.01		1,000.00		1,022.03		0.59			3.01		1,000.00		1,023.29		0.34			1.73
High Yield Bond Fund
Actual											1,000.00		1,025.20		0.90			4.60		1,000.00		1,025.40		0.65			3.29
Hypothetical (5% return before expenses)											1,000.00		1,020.46		0.90			4.58		1,000.00		1,021.72		0.65			3.31
																			Premier
Government Money Market Fund
Actual		1,000.00		1,002.10		0.45			2.27											1,000.00		1,003.40		0.20			1.01
Hypothetical (5% return before expenses)		1,000.00		1,022.73		0.45			2.29											1,000.00		1,023.99		0.20			1.02
Tax-Free Money Market Fund
Actual		1,000.00		1,002.00		0.45			2.27											1,000.00		1,003.30		0.20			1.01
Hypothetical (5% return before expenses)		1,000.00		1,022.73		0.45			2.29											1,000.00		1,023.99		0.20			1.02
Prime Money Market Fund
Actual		1,000.00		1,003.20		0.45			2.27											1,000.00		1,004.50		0.20			1.01
Hypothetical (5% return before expenses)		1,000.00		1,022.73		0.45			2.29											1,000.00		1,023.99		0.20			1.02
Institutional Prime Money Market Fund
Actual		1,000.00		1,003.30		0.45			2.27											1,000.00		1,004.60		0.20			1.01
Hypothetical (5% return before expenses)		1,000.00		1,022.73		0.45			2.29											1,000.00		1,023.99		0.20			1.02
	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)
Large-Cap Value Fund
Actual										$	1,000.00	$	1,016.60		0.60	%	$	3.05
Hypothetical (5% return before expenses)											1,000.00		1,021.98		0.60			3.06
Large-Cap Growth Fund
Actual											1,000.00		1,096.50		0.60			3.17
Hypothetical (5% return before expenses)											1,000.00		1,021.98		0.60			3.06
Mid-Cap Value Fund
Actual	$	1,000.00	$	1,001.70		1.49	%	$	7.54		1,000.00		1,005.10		0.84			4.25
Hypothetical (5% return before expenses)		1,000.00		1,017.49		1.49			7.58		1,000.00		1,020.77		0.84			4.28
Mid-Cap Growth Fund
Actual		1,000.00		1,064.00		1.49			7.78		1,000.00		1,066.90		0.84			4.38
Hypothetical (5% return before expenses)		1,000.00		1,017.49		1.49			7.58		1,000.00		1,020.77		0.84			4.28
Small-Cap Value Fund
Actual		1,000.00		971.40		1.49			7.40		1,000.00		974.80		0.84			4.18
Hypothetical (5% return before expenses)		1,000.00		1,017.49		1.49			7.58		1,000.00		1,020.77		0.84			4.28

36

Expense Example (Unaudited) (continued)

	Retirement Class R-3									Retirement Class R-6									Class F-3
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio			Expenses paid during period 3/1/17- 8/31/17
Pyrford International Stock Fund
Actual	$	1,000.00	$	1,089.30		1.44	%	$	7.56	$	1,000.00	$	1,092.60		0.79	%	$	4.15	$	1,000.00	$	1,000.80		0.79	(2)%	$	2.00	(2)
Hypothetical (5% return before expenses)		1,000.00		1,017.74		1.44			7.32		1,000.00		1,021.02		0.79			4.02		1,000.00		1,020.99		0.79	(3)		4.02	(3)

(1) Expenses are equal to the Funds’ annualized expense ratios for the period March 1, 2017 through August 31, 2017, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

(2) Expenses are equal to the Funds’ annualized expense ratios for the period May 31, 2017 (inception date) through August 31, 2017, multiplied by the average account value over the period, multiplied by 92/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

(3) Expenses are equal to the Funds’ annualized expense ratios for the period May 31, 2017 (inception date) through August 31, 2017, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

37

August 31, 2017

Schedules of Investments

Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 98.0%
Consumer Discretionary — 8.4%
Apparel Retail — 0.2%
Foot Locker, Inc. (1)		8,836	$	311,292
Apparel, Accessories & Luxury Goods — 0.4%
Carter’s, Inc. (1)		7,100		615,641
Automotive Retail — 0.3%
AutoZone, Inc. (1)(2)		802		423,809
Broadcasting — 0.4%
AMC Networks, Inc., Class A (1)(2)		11,636		707,236
Cable & Satellite — 2.0%
Comcast Corp., Class A		79,535		3,229,916
Computer & Electronics Retail — 0.3%
Best Buy Co., Inc. (1)		7,875		427,298
General Merchandise Stores — 0.4%
Target Corp. (1)		11,534		628,949
Movies & Entertainment — 2.0%
Regal Entertainment Group, Class A (1)		35,709		527,422
Walt Disney Co.		26,555		2,687,366
				3,214,788
Publishing — 0.2%
John Wiley & Sons, Inc., Class A (1)		7,697		415,253
Restaurants — 2.2%
Brinker International, Inc. (1)		23,762		741,849
Darden Restaurants, Inc. (1)		14,854		1,219,365
Dunkin’ Brands Group, Inc. (1)		29,062		1,498,437
				3,459,651
Total Consumer Discretionary				13,433,833
Consumer Staples — 17.9%
Agricultural Products — 1.2%
Bunge, Ltd.		26,453		1,974,187
Drug Retail — 2.2%
CVS Health Corp.		38,537		2,980,452
Walgreens Boots Alliance, Inc. (1)		6,425		523,637
				3,504,089
Food Distributors — 2.5%
Sysco Corp. (1)		30,311		1,596,480
U.S. Foods Holding Corp. (2)		84,188		2,310,961
				3,907,441
Food Retail — 1.5%
Kroger Co. (1)		107,753		2,356,558
Household Products — 0.8%
Church & Dwight Co., Inc. (1)		10,626		533,106
Spectrum Brands Holdings, Inc. (1)		7,424		816,343
				1,349,449
Hypermarkets & Super Centers — 3.9%
Costco Wholesale Corp. (1)		18,228		2,857,057
Wal-Mart Stores, Inc. (1)		42,742		3,336,868
				6,193,925
Packaged Foods & Meats — 1.9%
ConAgra Brands, Inc. (1)		42,582		1,382,212
Kellogg Co. (1)		7,885		516,152
Pinnacle Foods, Inc. (1)		19,112		1,133,533
				3,031,897

Description	Shares		Value
Common Stocks (continued)
Consumer Staples (continued)
Soft Drinks — 3.9%
Dr. Pepper Snapple Group, Inc. (1)		32,393	$	2,949,383
PepsiCo, Inc. (1)		28,400		3,286,732
				6,236,115
Total Consumer Staples				28,553,661
Energy — 2.3%
Integrated Oil & Gas — 2.3%
Chevron Corp. (1)		28,610		3,079,008
Exxon Mobil Corp. (1)		7,526		574,460
Total Energy				3,653,468
Financials — 18.1%
Consumer Finance — 1.6%
American Express Co. (1)		29,432		2,534,095
Financial Exchanges & Data — 0.8%
Morningstar, Inc. (1)		15,179		1,255,303
Life & Health Insurance — 2.5%
Aflac, Inc. (1)		42,631		3,519,189
Unum Group		8,399		404,664
				3,923,853
Multi-Line Insurance — 0.7%
Hartford Financial Services Group, Inc. (1)		19,714		1,065,936
Property & Casualty Insurance — 7.4%
Allstate Corp.		40,214		3,639,367
Aspen Insurance Holdings, Ltd.		39,893		1,803,164
Axis Capital Holdings, Ltd.		52,235		3,146,636
Progressive Corp.		22,201		1,031,902
Travelers Cos., Inc.		18,642		2,259,038
				11,880,107
Regional Banks — 0.9%
PNC Financial Services Group, Inc. (1)		11,807		1,480,716
Reinsurance — 4.2%
Everest Re Group, Ltd. (1)		14,826		3,743,269
Validus Holdings, Ltd. (1)		59,281		2,972,942
				6,716,211
Total Financials				28,856,221
Healthcare — 18.7%
Biotechnology — 0.6%
AbbVie, Inc. (1)		13,253		997,951
Healthcare Equipment — 5.3%
Baxter International, Inc.		52,866		3,279,807
Becton, Dickinson and Co. (1)		13,417		2,675,887
Hill-Rom Holdings, Inc. (1)		7,813		601,288
Medtronic PLC		12,611		1,016,699
Varian Medical Systems, Inc. (1)(2)		7,700		818,125
				8,391,806
Healthcare Services — 2.1%
DaVita, Inc. (2)		23,520		1,377,331
Express Scripts Holding Co. (1)(2)		31,703		1,991,583
				3,368,914
Healthcare Supplies — 1.1%
Cooper Cos., Inc.		6,794		1,704,139
Life Sciences Tools & Services — 0.4%
Bio-Rad Laboratories, Inc., Class A (1)(2)		2,643		575,698

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

38

BMO Funds

Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Managed Healthcare — 1.3%
Anthem, Inc. (1)		2,310	$	452,852
Cigna Corp.		9,167		1,668,944
				2,121,796
Pharmaceuticals — 7.9%
Bristol-Myers Squibb Co. (1)		11,095		671,026
Eli Lilly & Co. (1)		36,090		2,933,756
Johnson & Johnson (1)		27,907		3,694,049
Merck & Co., Inc.		35,208		2,248,383
Pfizer, Inc.		92,526		3,138,482
				12,685,696
Total Healthcare				29,846,000
Industrials — 7.1%
Aerospace & Defense — 4.3%
Huntington Ingalls Industries, Inc.		3,264		698,365
Lockheed Martin Corp. (1)		10,520		3,212,703
Northrop Grumman Corp. (1)		5,359		1,458,773
Raytheon Co. (1)		2,693		490,153
Spirit AeroSystems Holdings, Inc., Class A (1)		12,495		930,878
				6,790,872
Agricultural & Farm Machinery — 0.3%
Deere & Co. (1)		4,544		526,786
Environmental & Facilities Services — 2.0%
Waste Management, Inc. (1)		42,112		3,247,256
Trucking — 0.5%
Landstar System, Inc. (1)		7,709		719,635
Total Industrials				11,284,549
Information Technology — 7.8%
Communications Equipment — 2.0%
Cisco Systems, Inc.		79,751		2,568,780
Motorola Solutions, Inc. (1)		6,336		558,328
				3,127,108
Consulting & Other Services — 1.6%
Amdocs, Ltd.		39,312		2,547,025
Data Processing & Outsourced Services — 1.0%
Genpact, Ltd. (1)		54,891		1,561,649
Electronic Components — 0.4%
Dolby Laboratories, Inc., Class A (1)		13,640		688,274
Internet Software & Services — 0.3%
eBay, Inc. (1)(2)		13,025		470,593
Technology Hardware, Storage & Peripherals — 2.5%
Apple, Inc.		24,427		4,006,028
Total Information Technology				12,400,677
Real Estate — 3.2%
Office REITs — 1.7%
Piedmont Office Realty Trust, Inc., Class A (1)		17,647		357,352
Equity Commonwealth (1)(2)		77,486		2,397,417
				2,754,769
Residential REITs — 1.5%
Essex Property Trust, Inc. (1)		9,194		2,445,328
Total Real Estate				5,200,097

Description	Shares		Value
Common Stocks (continued)
Telecommunication Services — 1.7%
Integrated Telecommunication Services — 1.7%
AT&T, Inc. (1)		74,073	$	2,774,775
Utilities — 12.8%
Electric Utilities — 8.3%
American Electric Power Co., Inc. (1)		45,207		3,328,591
Edison International (1)		38,800		3,110,984
Entergy Corp.		21,403		1,694,476
Exelon Corp.		31,922		1,208,886
Great Plains Energy, Inc. (1)		52,804		1,620,555
Xcel Energy, Inc. (1)		46,685		2,310,907
				13,274,399
Multi-Utilities — 4.5%
Ameren Corp. (1)		20,021		1,201,060
Consolidated Edison, Inc. (1)		28,412		2,394,279
PG&E Corp. (1)		49,552		3,487,470
				7,082,809
Total Utilities				20,357,208
Total Common Stocks (identified cost $136,995,994)				156,360,489
Short-Term Investments — 49.3%
Collateral Pool Investments for Securities on Loan — 47.5%
Collateral pool allocation (3)				75,732,318
Mutual Funds — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		2,832,860		2,833,143
Total Short-Term Investments (identified cost $78,565,461)				78,565,461
Total Investments — 147.3% (identified cost $215,561,455)				234,925,950
Other Assets and Liabilities — (47.3)%				(75,464,782	)
Total Net Assets — 100.0%			$	159,461,168

Dividend Income Fund

Description	Shares		Value
Common Stocks — 98.2%
Consumer Discretionary — 8.3%
Automobile Manufacturers — 1.3%
Ford Motor Co. (1)		136,632	$	1,507,051
Cable & Satellite — 0.6%
Comcast Corp., Class A (1)		15,889		645,252
Department Stores — 1.5%
Kohl’s Corp. (1)		24,864		989,090
Nordstrom, Inc. (1)		17,055		760,994
				1,750,084
Hotels, Resorts & Cruise Lines — 2.8%
Carnival Corp. (1)		16,315		1,133,566
Wyndham Worldwide Corp. (1)		21,421		2,135,245
				3,268,811
Restaurants — 2.1%
Darden Restaurants, Inc. (1)		21,923		1,799,659
Yum! Brands, Inc. (1)		7,724		593,358
				2,393,017
Total Consumer Discretionary				9,564,215

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

39

August 31, 2017

Schedules of Investments

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 7.7%
Drug Retail — 1.4%
CVS Health Corp.		21,054	$	1,628,317
Food Distributors — 1.0%
Sysco Corp. (1)		23,058		1,214,465
Hypermarkets & Super Centers — 2.3%
Wal-Mart Stores, Inc. (1)		33,360		2,604,415
Packaged Foods & Meats — 0.4%
ConAgra Brands, Inc. (1)		14,105		457,848
Soft Drinks — 2.0%
Dr. Pepper Snapple Group, Inc. (1)		6,213		565,694
PepsiCo, Inc. (1)		14,957		1,730,973
				2,296,667
Tobacco — 0.6%
Philip Morris International, Inc. (1)		5,886		688,250
Total Consumer Staples				8,889,962
Energy — 6.6%
Integrated Oil & Gas — 2.7%
Chevron Corp. (1)		29,112		3,133,033
Oil & Gas-Drilling — 0.8%
Helmerich & Payne, Inc. (1)		20,228		856,454
Oil & Gas-Refining & Marketing — 1.7%
Marathon Petroleum Corp.		10,207		535,357
Valero Energy Corp. (1)		21,330		1,452,573
				1,987,930
Oil & Gas-Storage & Transportation — 1.4%
Kinder Morgan, Inc. (1)		28,320		547,426
Williams Cos., Inc.		37,470		1,113,983
				1,661,409
Total Energy				7,638,826
Financials — 14.3%
Asset Management & Custody Banks — 2.3%
Ameriprise Financial, Inc.		19,004		2,632,244
Consumer Finance — 2.8%
Discover Financial Services (1)		25,933		1,528,750
Navient Corp. (1)		126,399		1,668,467
				3,197,217
Diversified Banks — 4.5%
JPMorgan Chase & Co.		17,751		1,613,389
Wells Fargo & Co.		70,876		3,619,637
				5,233,026
Life & Health Insurance — 2.8%
Lincoln National Corp. (1)		12,443		844,382
Prudential Financial, Inc.		23,089		2,356,925
				3,201,307
Property & Casualty Insurance — 1.0%
Allstate Corp.		12,993		1,175,866
Regional Banks — 0.9%
PNC Financial Services Group, Inc. (1)		4,452		558,325
Regions Financial Corp. (1)		38,497		543,193
				1,101,518
Total Financials				16,541,178

Description	Shares		Value
Common Stocks (continued)
Healthcare — 11.1%
Biotechnology — 4.6%
AbbVie, Inc. (1)		40,781	$	3,070,809
Amgen, Inc.		12,518		2,225,325
				5,296,134
Pharmaceuticals — 6.5%
Eli Lilly & Co. (1)		6,748		548,545
Johnson & Johnson (1)		10,065		1,332,304
Merck & Co., Inc.		38,741		2,474,000
Pfizer, Inc.		93,569		3,173,861
				7,528,710
Total Healthcare				12,824,844
Industrials — 9.1%
Aerospace & Defense — 3.4%
Boeing Co. (1)		13,189		3,160,876
Lockheed Martin Corp. (1)		2,460		751,259
				3,912,135
Airlines — 0.9%
Delta Air Lines, Inc. (1)		21,955		1,036,056
Construction Machinery & Heavy Trucks — 1.5%
Cummins, Inc. (1)		10,589		1,687,675
Environmental & Facilities Services — 1.0%
Republic Services, Inc. (1)		8,761		571,568
Waste Management, Inc. (1)		7,891		608,475
				1,180,043
Industrial Machinery — 0.9%
Ingersoll-Rand PLC (1)		12,930		1,104,093
Railroads — 0.5%
Union Pacific Corp. (1)		5,035		530,185
Trucking — 0.9%
Ryder System, Inc. (1)		14,002		1,086,555
Total Industrials				10,536,742
Information Technology — 18.2%
Communications Equipment — 4.8%
Cisco Systems, Inc. (1)		105,645		3,402,825
Harris Corp. (1)		17,749		2,181,352
				5,584,177
Electronic Equipment & Instruments — 0.5%
FLIR Systems, Inc. (1)		15,699		596,562
Semiconductor Equipment — 2.2%
KLA-Tencor Corp. (1)		17,051		1,597,508
Lam Research Corp. (1)		5,775		958,535
				2,556,043
Semiconductors — 4.4%
Intel Corp. (1)		67,514		2,367,716
Texas Instruments, Inc. (1)		32,761		2,713,266
				5,080,982
Systems Software — 3.3%
Microsoft Corp.		51,170		3,825,981
Technology Hardware, Storage & Peripherals — 3.0%
Apple, Inc. (1)		8,055		1,321,020
HP, Inc. (1)		78,982		1,506,976
Xerox Corp.		17,510		565,048
				3,393,044
Total Information Technology				21,036,789

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

40

BMO Funds

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials — 4.7%
Commodity Chemicals — 0.5%
LyondellBasell Industries NV, Class A (1)		6,733	$	609,943
Diversified Chemicals — 1.1%
Eastman Chemical Co. (1)		14,095		1,214,989
Paper Packaging — 3.1%
Avery Dennison Corp. (1)		11,602		1,093,604
WestRock Co.		43,181		2,457,431
				3,551,035
Total Materials				5,375,967
Real Estate — 5.4%
Hotel & Resort REITs — 2.0%
Host Hotels & Resorts, Inc. (1)		128,260		2,324,071
Industrial REITs — 0.6%
Prologis, Inc.		10,753		681,310
Office REITs — 0.5%
Alexandria Real Estate Equities, Inc. (1)		4,655		564,698
Residential REITs — 1.7%
Essex Property Trust, Inc. (1)		7,348		1,954,348
Specialized REITs — 0.6%
Crown Castle International Corp. (1)		6,207		673,087
Total Real Estate				6,197,514
Telecommunication Services — 4.8%
Integrated Telecommunication Services — 4.8%
AT&T, Inc. (1)		61,672		2,310,233
Verizon Communications, Inc.		66,981		3,213,079
Total Telecommunication Services				5,523,312
Utilities — 8.0%
Electric Utilities — 3.0%
American Electric Power Co., Inc.		25,374		1,868,288
Exelon Corp.		41,655		1,577,475
				3,445,763
Independent Power Producers & Energy Traders — 0.7%
AES Corp. (1)		81,222		896,691
Multi-Utilities — 4.3%
Ameren Corp. (1)		42,225		2,533,078
CenterPoint Energy, Inc. (1)		81,946		2,427,240
				4,960,318
Total Utilities				9,302,772
Total Common Stocks (identified cost $90,591,714)				113,432,121
Short-Term Investments — 47.5%
Collateral Pool Investments for Securities on Loan — 45.7%
Collateral pool allocation (3)				52,860,743

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		2,075,197	$	2,075,405
Total Short-Term Investments (identified cost $54,936,116)				54,936,148
Total Investments — 145.7% (identified cost $145,527,830)				168,368,269
Other Assets and Liabilities — (45.7)%				(52,786,561	)
Total Net Assets — 100.0%			$	115,581,708

Large-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.4%
Consumer Discretionary — 6.4%
Apparel Retail — 0.5%
Gap, Inc. (1)		76,114	$	1,797,813
Auto Parts & Equipment — 1.9%
Lear Corp. (1)		41,541		6,212,041
Broadcasting — 0.3%
AMC Networks, Inc., Class A (1)(2)		15,134		919,844
Cable & Satellite — 1.9%
Comcast Corp., Class A (1)		158,123		6,421,375
Home Improvement Retail — 0.7%
Lowe’s Cos., Inc.		33,824		2,499,255
Hotels, Resorts & Cruise Lines — 1.1%
Wyndham Worldwide Corp. (1)		36,095		3,597,950
Total Consumer Discretionary				21,448,278
Consumer Staples — 9.5%
Agricultural Products — 1.1%
Bunge, Ltd.		47,781		3,565,896
Drug Retail — 2.3%
CVS Health Corp. (1)		100,054		7,738,176
Hypermarkets & Super Centers — 2.9%
Wal-Mart Stores, Inc. (1)		122,937		9,597,692
Packaged Foods & Meats — 0.4%
ConAgra Brands, Inc. (1)		38,101		1,236,758
Soft Drinks — 2.8%
Dr. Pepper Snapple Group, Inc. (1)		52,580		4,787,409
PepsiCo, Inc. (1)		41,275		4,776,756
				9,564,165
Total Consumer Staples				31,702,687
Energy — 9.3%
Integrated Oil & Gas — 3.9%
Chevron Corp. (1)		79,182		8,521,567
Exxon Mobil Corp. (1)		57,018		4,352,184
				12,873,751
Oil & Gas-Equipment & Services — 0.9%
National Oilwell Varco, Inc. (1)		97,342		2,985,479
Oil & Gas-Exploration & Production — 1.4%
ConocoPhillips (1)		105,075		4,587,574

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

41

August 31, 2017

Schedules of Investments

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Energy (continued)
Oil & Gas-Refining & Marketing — 3.1%
Marathon Petroleum Corp.		95,218	$	4,994,184
Valero Energy Corp. (1)		80,538		5,484,638
				10,478,822
Total Energy				30,925,626
Financials — 22.5%
Asset Management & Custody Banks — 1.6%
Northern Trust Corp. (1)		35,070		3,103,695
State Street Corp. (1)		24,346		2,251,762
				5,355,457
Consumer Finance — 1.9%
American Express Co. (1)		12,855		1,106,815
Synchrony Financial (1)		173,339		5,337,108
				6,443,923
Diversified Banks — 10.4%
Bank of America Corp. (1)		526,977		12,589,481
Citigroup, Inc.		173,466		11,800,892
Wells Fargo & Co.		200,002		10,214,102
				34,604,475
Investment Banking & Brokerage — 0.2%
Raymond James Financial, Inc. (1)		9,999		783,122
Life & Health Insurance — 3.5%
Prudential Financial, Inc.		62,444		6,374,284
Unum Group (1)		106,586		5,135,313
				11,509,597
Multi-Line Insurance — 1.7%
American International Group, Inc. (1)		91,337		5,524,062
Property & Casualty Insurance — 2.0%
Allstate Corp. (1)		75,441		6,827,410
Regional Banks — 1.2%
PNC Financial Services Group, Inc. (1)		31,193		3,911,914
Total Financials				74,959,960
Healthcare — 11.8%
Biotechnology — 3.0%
AbbVie, Inc. (1)		67,982		5,119,045
Amgen, Inc.		17,177		3,053,555
Celgene Corp. (1)(2)		11,777		1,636,179
				9,808,779
Healthcare Equipment — 1.9%
Baxter International, Inc. (1)		46,413		2,879,462
Hill-Rom Holdings, Inc. (1)		11,881		914,362
Hologic, Inc. (1)(2)		68,761		2,654,175
				6,447,999
Pharmaceuticals — 6.9%
Eli Lilly & Co. (1)		45,985		3,738,121
Johnson & Johnson		59,150		7,829,685
Merck & Co., Inc. (1)		53,540		3,419,064
Pfizer, Inc. (1)		239,227		8,114,580
				23,101,450
Total Healthcare				39,358,228

Description	Shares		Value
Common Stocks (continued)
Industrials — 11.4%
Aerospace & Defense — 4.4%
Boeing Co. (1)		26,227	$	6,285,563
Huntington Ingalls Industries, Inc.		19,248		4,118,302
Spirit AeroSystems Holdings, Inc., Class A (1)		59,345		4,421,202
				14,825,067
Air Freight & Logistics — 0.5%
FedEx Corp.		7,909		1,695,531
Airlines — 2.0%
JetBlue Airways Corp. (2)		69,728		1,381,312
Southwest Airlines Co.		101,427		5,288,404
				6,669,716
Building Products — 0.6%
Owens Corning (1)		25,585		1,896,616
Construction & Engineering — 0.4%
Quanta Services, Inc. (1)(2)		36,388		1,307,421
Construction Machinery & Heavy Trucks — 2.1%
Allison Transmission Holdings, Inc. (1)		24,639		855,712
Cummins, Inc. (1)		39,362		6,273,516
				7,129,228
Trading Companies & Distributors — 1.4%
United Rentals, Inc. (1)(2)		38,141		4,502,927
Total Industrials				38,026,506
Information Technology — 9.3%
Application Software — 1.0%
Citrix Systems, Inc. (1)(2)		42,571		3,329,478
Communications Equipment — 4.0%
Cisco Systems, Inc.		276,406		8,903,037
F5 Networks, Inc. (1)(2)		38,289		4,570,941
				13,473,978
Electronic Manufacturing Services — 1.0%
Flex, Ltd. (2)		211,682		3,444,066
Semiconductor Equipment — 3.3%
Applied Materials, Inc.		125,823		5,677,134
Lam Research Corp. (1)		31,355		5,204,303
				10,881,437
Total Information Technology				31,128,959
Materials — 4.0%
Metal & Glass Containers — 1.7%
Berry Global Group, Inc. (2)		101,774		5,723,770
Paper Packaging — 1.5%
WestRock Co.		87,422		4,975,186
Steel — 0.8%
Steel Dynamics, Inc. (1)		81,321		2,801,508
Total Materials				13,500,464
Real Estate — 7.7%
Hotel & Resort REITs — 0.8%
Host Hotels & Resorts, Inc. (1)		145,837		2,642,566
Office REITs — 3.5%
Boston Properties, Inc. (1)		49,553		5,976,092
Highwoods Properties, Inc. (1)		69,588		3,634,581
Kilroy Realty Corp. (1)		30,099		2,083,754
				11,694,427

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

42

BMO Funds

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Real Estate (continued)
Residential REITs — 1.8%
Essex Property Trust, Inc. (1)		22,092	$	5,875,809
Specialized REITs — 1.6%
Equinix, Inc. (1)		11,385		5,332,848
Total Real Estate				25,545,650
Telecommunication Services — 0.2%
Integrated Telecommunication Services — 0.2%
AT&T, Inc. (1)		21,250		796,025
Utilities — 6.3%
Electric Utilities — 2.5%
American Electric Power Co., Inc. (1)		98,637		7,262,642
Entergy Corp.		12,891		1,020,581
				8,283,223
Multi-Utilities — 3.8%
Ameren Corp. (1)		110,310		6,617,497
PG&E Corp. (1)		87,307		6,144,666
				12,762,163
Total Utilities				21,045,386
Total Common Stocks (identified cost $276,420,349)				328,437,769
Short-Term Investments — 50.1%
Collateral Pool Investments for Securities on Loan — 48.8%
Collateral pool allocation (3)				162,597,871
Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		4,410,765		4,411,207
Total Short-Term Investments (identified cost $167,009,052)				167,009,078
Total Investments — 148.5% (identified cost $443,429,401)				495,446,847
Other Assets and Liabilities — (48.5)%				(161,751,155	)
Total Net Assets — 100.0%			$	333,695,692

Large-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.6%
Consumer Discretionary — 16.2%
Apparel Retail — 0.7%
Burlington Stores, Inc. (1)(2)		28,631	$	2,494,619
Broadcasting — 1.4%
AMC Networks, Inc., Class A (1)(2)		84,822		5,155,481
Cable & Satellite — 5.2%
Comcast Corp., Class A (1)		280,012		11,371,287
Sirius XM Holdings, Inc. (1)		1,231,570		7,081,528
				18,452,815
Home Improvement Retail — 1.4%
Home Depot, Inc. (1)		33,575		5,031,885
Hotels, Resorts & Cruise Lines — 1.8%
Wyndham Worldwide Corp. (1)		65,853		6,564,227

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail — 4.6%
Amazon.com, Inc. (2)		16,760	$	16,434,856
Leisure Facilities — 1.1%
Vail Resorts, Inc.		16,586		3,780,779
Total Consumer Discretionary				57,914,662
Consumer Staples — 4.3%
Soft Drinks — 4.3%
Dr. Pepper Snapple Group, Inc. (1)		61,512		5,600,668
PepsiCo, Inc. (1)		84,336		9,760,205
Total Consumer Staples				15,360,873
Financials — 6.3%
Consumer Finance — 1.8%
American Express Co. (1)		76,457		6,582,947
Diversified Banks — 1.4%
U.S. Bancorp (1)		97,579		5,000,924
Financial Exchanges & Data — 1.4%
MSCI, Inc. (1)		22,373		2,564,169
S&P Global, Inc. (1)		15,014		2,317,111
				4,881,280
Property & Casualty Insurance — 1.7%
Allstate Corp. (1)		67,570		6,115,085
Total Financials				22,580,236
Healthcare — 16.2%
Biotechnology — 5.2%
AbbVie, Inc. (1)		29,203		2,198,986
Amgen, Inc.		38,429		6,831,523
Celgene Corp. (1)(2)		69,018		9,588,671
				18,619,180
Healthcare Equipment — 1.9%
IDEXX Laboratories, Inc. (1)(2)		24,085		3,743,532
Masimo Corp. (1)(2)		35,164		2,967,138
				6,710,670
Healthcare Supplies — 2.1%
Align Technology, Inc. (1)(2)		31,687		5,600,360
Cooper Cos., Inc. (1)		8,236		2,065,836
				7,666,196
Healthcare Technology — 0.5%
Veeva Systems, Inc., Class A (1)(2)		28,236		1,680,042
Managed Healthcare — 2.5%
Cigna Corp.		11,884		2,163,601
UnitedHealth Group, Inc. (1)		24,636		4,900,100
WellCare Health Plans, Inc. (1)(2)		10,010		1,748,547
				8,812,248
Pharmaceuticals — 4.0%
Eli Lilly & Co. (1)		102,822		8,358,401
Johnson & Johnson		44,203		5,851,151
				14,209,552
Total Healthcare				57,697,888
Industrials — 11.5%
Aerospace & Defense — 4.9%
Boeing Co. (1)		44,154		10,581,948
Huntington Ingalls Industries, Inc.		32,085		6,864,906
				17,446,854

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

43

August 31, 2017

Schedules of Investments

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Agricultural & Farm Machinery — 1.0%
Toro Co.		59,479	$	3,668,665
Airlines — 1.7%
Southwest Airlines Co.		114,206		5,954,701
Construction Machinery & Heavy Trucks — 3.3%
Allison Transmission Holdings, Inc. (1)		110,380		3,833,497
Caterpillar, Inc. (1)		68,410		8,037,491
				11,870,988
Electrical Components & Equipment — 0.6%
Rockwell Automation, Inc. (1)		13,444		2,205,623
Total Industrials				41,146,831
Information Technology — 35.4%
Application Software — 4.7%
Adobe Systems, Inc. (2)		46,711		7,247,679
Cadence Design Systems, Inc. (1)(2)		188,444		7,403,965
Synopsys, Inc. (1)(2)		27,622		2,221,361
				16,873,005
Communications Equipment — 2.7%
Cisco Systems, Inc. (1)		158,298		5,098,778
F5 Networks, Inc. (1)(2)		31,042		3,705,794
Palo Alto Networks, Inc. (1)(2)		6,872		911,846
				9,716,418
Data Processing & Outsourced Services — 4.6%
Alliance Data Systems Corp. (1)		26,741		6,030,096
MasterCard, Inc., Class A (1)		78,688		10,489,110
				16,519,206
Internet Software & Services — 6.5%
Alphabet, Inc., Class A (2)		5,115		4,886,053
Alphabet, Inc., Class C (2)		12,948		12,162,445
Facebook, Inc., Class A (2)		35,392		6,086,362
				23,134,860
Semiconductor Equipment — 3.6%
Applied Materials, Inc.		120,586		5,440,840
Lam Research Corp. (1)		45,097		7,485,200
				12,926,040
Semiconductors — 0.7%
Skyworks Solutions, Inc. (1)		21,589		2,274,617
Systems Software — 7.2%
Microsoft Corp. (1)		206,625		15,449,351
Oracle Corp.		62,345		3,137,824
Red Hat, Inc. (1)(2)		64,556		6,939,770
				25,526,945
Technology Hardware, Storage & Peripherals — 5.4%
Apple, Inc.		116,110		19,042,040
Total Information Technology				126,013,131
Materials — 2.4%
Metal & Glass Containers — 1.9%
Berry Global Group, Inc. (2)		120,354		6,768,709
Specialty Chemicals — 0.5%
Axalta Coating Systems, Ltd. (1)(2)		57,487		1,697,016
Total Materials				8,465,725

Description	Shares		Value
Common Stocks (continued)
Real Estate — 5.0%
Office REITs — 2.4%
Douglas Emmett, Inc. (1)		104,692	$	4,078,800
Alexandria Real Estate Equities, Inc. (1)		35,472		4,303,109
				8,381,909
Specialized REITs — 2.6%
EPR Properties (1)		30,815		2,146,573
Equinix, Inc. (1)		15,382		7,205,082
				9,351,655
Total Real Estate				17,733,564
Telecommunication Services — 1.3%
Wireless Telecommunication Services — 1.3%
T-Mobile US, Inc. (1)(2)		72,615		4,698,917
Total Common Stocks (identified cost $264,960,557)				351,611,827
Short-Term Investments — 43.8%
Collateral Pool Investments for Securities on Loan — 42.5%
Collateral pool allocation (3)				151,430,406
Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		4,542,326		4,542,780
Total Short-Term Investments (identified cost $155,973,136)				155,973,186
Total Investments — 142.4% (identified cost $420,933,693)				507,585,013
Other Assets and Liabilities — (42.4)%				(151,129,585	)
Total Net Assets — 100.0%			$	356,455,428

Mid-Cap Value Fund

Description	Shares		Value
Common Stocks — 99.0%
Consumer Discretionary — 9.5%
Apparel, Accessories & Luxury Goods — 1.6%
PVH Corp.		25,913	$	3,262,187
Auto Parts & Equipment — 1.7%
Lear Corp. (1)		23,177		3,465,889
Broadcasting — 2.3%
AMC Networks, Inc., Class A (1)(2)		39,992		2,430,714
Discovery Communications, Inc., Class A (1)(2)		101,306		2,250,006
				4,680,720
Department Stores — 1.2%
Kohl’s Corp. (1)		65,278		2,596,759
Hotels, Resorts & Cruise Lines — 1.5%
Royal Caribbean Cruises, Ltd. (1)		24,961		3,106,646
Leisure Products — 1.2%
Brunswick Corp. (1)		49,237		2,583,958
Total Consumer Discretionary				19,696,159

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

44

BMO Funds

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 4.6%
Agricultural Products — 2.0%
Bunge, Ltd.		28,342	$	2,115,163
Ingredion, Inc.		16,746		2,073,490
				4,188,653
Food Distributors — 1.4%
Sysco Corp. (1)		55,190		2,906,857
Packaged Foods & Meats — 1.2%
Pinnacle Foods, Inc.		42,683		2,531,529
Total Consumer Staples				9,627,039
Energy — 7.3%
Oil & Gas-Equipment & Services — 1.2%
Oceaneering International, Inc. (1)		108,587		2,448,637
Oil & Gas-Exploration & Production — 3.7%
Cimarex Energy Co. (1)		28,315		2,822,723
Diamondback Energy, Inc. (1)(2)		22,497		2,042,503
Noble Energy, Inc. (1)		51,342		1,220,399
Parsley Energy, Inc., Class A (1)(2)		62,845		1,574,267
				7,659,892
Oil & Gas-Refining & Marketing — 1.1%
Valero Energy Corp. (1)		33,374		2,272,769
Oil & Gas-Storage & Transportation — 1.3%
Williams Cos., Inc.		90,597		2,693,449
Total Energy				15,074,747
Financials — 17.5%
Asset Management & Custody Banks — 2.8%
Ameriprise Financial, Inc.		22,933		3,176,450
Northern Trust Corp. (1)		29,167		2,581,279
				5,757,729
Consumer Finance — 2.2%
Discover Financial Services (1)		42,316		2,494,528
Synchrony Financial		63,494		1,954,981
				4,449,509
Life & Health Insurance — 2.3%
Lincoln National Corp. (1)		29,980		2,034,443
Unum Group		57,780		2,783,840
				4,818,283
Multi-Line Insurance — 1.6%
Hartford Financial Services Group, Inc. (1)		61,945		3,349,366
Property & Casualty Insurance — 1.2%
Aspen Insurance Holdings, Ltd.		56,615		2,558,998
Regional Banks — 5.9%
Comerica, Inc.		32,797		2,238,395
East West Bancorp, Inc. (1)		37,990		2,103,506
Regions Financial Corp. (1)		189,502		2,673,873
SunTrust Banks, Inc. (1)		50,815		2,799,907
TCF Financial Corp.		151,084		2,346,335
				12,162,016
Reinsurance — 1.5%
Everest Re Group, Ltd. (1)		11,783		2,974,972
Total Financials				36,070,873
Healthcare — 6.2%
Biotechnology — 0.9%
United Therapeutics Corp. (1)(2)		13,838		1,810,011

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Equipment — 3.7%
Hill-Rom Holdings, Inc. (1)		38,319	$	2,949,030
Hologic, Inc. (1)(2)		63,327		2,444,422
Zimmer Biomet Holdings, Inc.		20,080		2,294,542
				7,687,994
Managed Healthcare — 1.6%
Centene Corp. (2)		36,359		3,230,497
Total Healthcare				12,728,502
Industrials — 14.5%
Aerospace & Defense — 1.9%
Spirit AeroSystems Holdings, Inc., Class A (1)		54,292		4,044,754
Airlines — 2.1%
JetBlue Airways Corp. (1)(2)		131,731		2,609,591
Spirit Airlines, Inc. (2)		49,902		1,699,163
				4,308,754
Building Products — 1.7%
Owens Corning (1)		48,269		3,578,181
Construction Machinery & Heavy Trucks — 2.2%
Allison Transmission Holdings, Inc. (1)		55,608		1,931,266
Cummins, Inc.		15,966		2,544,661
				4,475,927
Environmental & Facilities Services — 1.6%
Republic Services, Inc.		50,596		3,300,883
Human Resource & Employment Services — 1.3%
Robert Half International, Inc. (1)		60,204		2,727,241
Trading Companies & Distributors — 1.1%
United Rentals, Inc. (1)(2)		18,722		2,210,319
Trucking — 2.6%
Old Dominion Freight Line, Inc. (1)		23,890		2,386,611
Ryder System, Inc.		38,196		2,964,010
				5,350,621
Total Industrials				29,996,680
Information Technology — 9.2%
Application Software — 1.0%
Citrix Systems, Inc. (1)(2)		26,860		2,100,721
Data Processing & Outsourced Services — 0.9%
Alliance Data Systems Corp. (1)		8,111		1,829,030
Electronic Equipment & Instruments — 1.4%
FLIR Systems, Inc. (1)		75,773		2,879,374
Electronic Manufacturing Services — 1.6%
Jabil, Inc. (1)		108,023		3,386,521
Semiconductor Equipment — 1.5%
Lam Research Corp. (1)		18,434		3,059,675
Semiconductors — 1.6%
ON Semiconductor Corp. (1)(2)		190,776		3,258,454
Technology Hardware, Storage & Peripherals — 1.2%
Western Digital Corp.		27,689		2,444,108
Total Information Technology				18,957,883
Materials — 5.9%
Commodity Chemicals — 1.0%
Cabot Corp. (1)		38,259		2,015,484

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

45

August 31, 2017

Schedules of Investments

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Diversified Chemicals — 1.2%
Eastman Chemical Co.		29,306	$	2,526,177
Paper Packaging — 2.5%
Avery Dennison Corp.		29,105		2,743,437
WestRock Co.		43,009		2,447,642
				5,191,079
Steel — 1.2%
Nucor Corp. (1)		43,141		2,377,501
Total Materials				12,110,241
Real Estate — 13.1%
Diversified REITs — 1.6%
Liberty Property Trust (1)		76,208		3,246,461
Hotel & Resort REITs — 1.2%
Host Hotels & Resorts, Inc. (1)		138,250		2,505,090
Industrial REITs — 1.2%
Prologis, Inc.		38,410		2,433,658
Office REITs — 5.1%
Boston Properties, Inc. (1)		23,502		2,834,341
Highwoods Properties, Inc. (1)		58,807		3,071,490
Kilroy Realty Corp. (1)		42,651		2,952,729
SL Green Realty Corp. (1)		16,777		1,616,967
				10,475,527
Residential REITs — 1.8%
Essex Property Trust, Inc. (1)		14,397		3,829,170
Retail REITs — 1.0%
Brixmor Property Group, Inc. (1)		116,913		2,188,611
Specialized REITs — 1.2%
EPR Properties (1)		34,403		2,396,513
Total Real Estate				27,075,030
Utilities — 11.2%
Electric Utilities — 6.4%
Entergy Corp.		35,810		2,835,078
Great Plains Energy, Inc.		119,552		3,669,051
Pinnacle West Capital Corp.		36,067		3,244,948
Xcel Energy, Inc. (1)		67,573		3,344,863
				13,093,940
Gas Utilities — 1.3%
UGI Corp. (1)		55,076		2,721,305
Multi-Utilities — 3.5%
Ameren Corp. (1)		61,599		3,695,324
Public Service Enterprise Group, Inc.		76,674		3,591,410
				7,286,734
Total Utilities				23,101,979
Total Common Stocks (identified cost $177,370,389)				204,439,133
Short-Term Investments — 44.1%
Collateral Pool Investments for Securities on Loan — 43.2%
Collateral pool allocation (3)				89,263,621

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		1,880,603	$	1,880,791
Total Short-Term Investments (identified cost $91,144,412)				91,144,412
Total Investments — 143.1% (identified cost $268,514,801)				295,583,545
Other Assets and Liabilities — (43.1)%				(89,079,577	)
Total Net Assets — 100.0%			$	206,503,968

Mid-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.3%
Consumer Discretionary — 15.6%
Apparel Retail — 1.6%
Burlington Stores, Inc. (1)(2)		20,758	$	1,808,644
Auto Parts & Equipment — 1.5%
Lear Corp. (1)		11,128		1,664,081
Casinos & Gaming — 1.4%
Wynn Resorts, Ltd. (1)		11,681		1,623,542
Distributors — 1.2%
Pool Corp. (1)		13,688		1,364,557
General Merchandise Stores — 1.8%
Dollar Tree, Inc. (1)(2)		25,422		2,024,608
Homebuilding — 1.4%
D.R. Horton, Inc.		45,412		1,641,644
Hotels, Resorts & Cruise Lines — 1.8%
Wyndham Worldwide Corp. (1)		20,041		1,997,687
Internet & Direct Marketing Retail — 1.8%
Expedia, Inc. (1)		13,974		2,073,183
Leisure Products — 1.4%
Brunswick Corp.		30,484		1,599,800
Movies & Entertainment — 1.7%
Live Nation Entertainment, Inc. (1)(2)		47,321		1,890,947
Total Consumer Discretionary				17,688,693
Consumer Staples — 2.8%
Food Distributors — 1.4%
U.S. Foods Holding Corp. (2)		57,300		1,572,885
Packaged Foods & Meats — 1.4%
Blue Buffalo Pet Products, Inc. (1)(2)		60,247		1,551,963
Total Consumer Staples				3,124,848
Energy — 1.7%
Oil & Gas-Exploration & Production — 1.7%
Diamondback Energy, Inc. (1)(2)		10,667		968,457
Newfield Exploration Co. (2)		34,477		900,884
Total Energy				1,869,341
Financials — 6.0%
Financial Exchanges & Data — 1.5%
MSCI, Inc.		14,451		1,656,229
Investment Banking & Brokerage — 1.5%
LPL Financial Holdings, Inc.		35,518		1,663,663
Property & Casualty Insurance — 1.5%
Progressive Corp.		37,928		1,762,893

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

46

BMO Funds

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks — 1.5%
Citizens Financial Group, Inc. (1)		52,105	$	1,726,239
Total Financials				6,809,024
Healthcare — 15.2%
Biotechnology — 1.1%
Exelixis, Inc. (1)(2)		41,546		1,214,805
Healthcare Equipment — 4.7%
Hill-Rom Holdings, Inc. (1)		25,050		1,927,848
Masimo Corp. (2)		19,913		1,680,259
Varian Medical Systems, Inc. (1)(2)		16,263		1,727,944
				5,336,051
Healthcare Supplies — 1.7%
Align Technology, Inc. (1)(2)		10,908		1,927,880
Life Sciences Tools & Services — 4.7%
Agilent Technologies, Inc.		29,451		1,906,069
Bio-Rad Laboratories, Inc., Class A (1)(2)		8,408		1,831,430
Waters Corp. (1)(2)		8,706		1,597,377
				5,334,876
Managed Healthcare — 1.8%
WellCare Health Plans, Inc. (2)		11,449		1,999,911
Pharmaceuticals — 1.2%
Jazz Pharmaceuticals PLC (1)(2)		9,479		1,415,784
Total Healthcare				17,229,307
Industrials — 16.2%
Aerospace & Defense — 1.8%
Huntington Ingalls Industries, Inc.		9,331		1,996,461
Air Freight & Logistics — 1.2%
XPO Logistics, Inc. (1)(2)		23,257		1,423,328
Airlines — 1.1%
JetBlue Airways Corp. (1)(2)		64,251		1,272,812
Building Products — 3.1%
Fortune Brands Home & Security, Inc. (1)		24,301		1,519,542
Masco Corp.		52,920		1,945,868
				3,465,410
Construction Machinery & Heavy Trucks — 1.5%
Cummins, Inc.		11,041		1,759,715
Diversified Support Services — 1.5%
KAR Auction Services, Inc.		37,058		1,670,945
Electrical Components & Equipment — 1.5%
Rockwell Automation, Inc. (1)		10,092		1,655,694
Industrial Machinery — 2.7%
Ingersoll-Rand PLC		19,089		1,630,010
Lincoln Electric Holdings, Inc.		15,971		1,386,921
				3,016,931
Trucking — 1.8%
Landstar System, Inc.		21,802		2,035,217
Total Industrials				18,296,513
Information Technology — 28.9%
Application Software — 3.0%
Synopsys, Inc. (2)		21,495		1,728,628
Workday, Inc., Class A (1)(2)		14,676		1,609,810
				3,338,438

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Communications Equipment — 1.5%
F5 Networks, Inc. (2)		14,385	$	1,717,281
Consulting & Other Services — 1.7%
Gartner, Inc. (1)(2)		15,450		1,863,116
Data Processing & Outsourced Services — 3.2%
Euronet Worldwide, Inc. (1)(2)		19,321		1,898,675
MAXIMUS, Inc. (1)		28,494		1,731,865
				3,630,540
Electronic Equipment & Instruments — 1.4%
Zebra Technologies Corp., Class A (1)(2)		15,766		1,625,317
Electronic Manufacturing Services — 1.5%
IPG Photonics Corp. (1)(2)		9,794		1,721,687
Home Entertainment Software — 1.6%
Electronic Arts, Inc. (1)(2)		14,889		1,809,014
Internet Software & Services — 2.8%
GoDaddy, Inc., Class A (1)(2)		32,971		1,477,760
VeriSign, Inc. (1)(2)		15,855		1,644,956
				3,122,716
Semiconductor Equipment — 3.7%
Lam Research Corp. (1)		12,630		2,096,327
Teradyne, Inc. (1)		58,550		2,084,966
				4,181,293
Semiconductors — 2.9%
Maxim Integrated Products, Inc. (1)		31,210		1,456,259
ON Semiconductor Corp. (1)(2)		109,812		1,875,589
				3,331,848
Systems Software — 5.6%
Fortinet, Inc. (1)(2)		51,388		1,963,022
Red Hat, Inc. (1)(2)		21,401		2,300,607
Tableau Software, Inc., Class A (1)(2)		28,510		2,066,405
				6,330,034
Total Information Technology				32,671,284
Materials — 5.4%
Copper — 1.2%
Freeport-McMoRan, Inc. (2)		91,683		1,355,075
Metal & Glass Containers — 1.6%
Berry Global Group, Inc. (2)		31,704		1,783,033
Specialty Chemicals — 1.4%
Axalta Coating Systems, Ltd. (2)		55,635		1,642,345
Steel — 1.2%
Steel Dynamics, Inc.		39,739		1,369,008
Total Materials				6,149,461
Real Estate — 5.2%
Office REITs — 2.8%
Boston Properties, Inc. (1)		13,988		1,686,953
Highwoods Properties, Inc. (1)		27,047		1,412,665
				3,099,618
Residential REITs — 1.1%
Essex Property Trust, Inc. (1)		4,659		1,239,154
Specialized REITs — 1.3%
Equinix, Inc. (1)		3,210		1,503,596
Total Real Estate				5,842,368

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

47

August 31, 2017

Schedules of Investments

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Telecommunication Services — 1.3%
Alternative Carriers — 1.3%
Zayo Group Holdings, Inc. (1)(2)		42,070	$	1,437,532
Total Common Stocks (identified cost $93,605,992)				111,118,371
Short-Term Investments — 50.8%
Collateral Pool Investments for Securities on Loan — 49.1%
Collateral pool allocation (3)				55,413,816
Mutual Funds — 1.7%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		1,947,119		1,947,313
Total Short-Term Investments (identified cost $57,361,129)				57,361,129
Total Investments — 149.1% (identified cost $150,967,121)				168,479,500
Other Assets and Liabilities — (49.1)%				(55,456,983	)
Total Net Assets — 100.0%			$	113,022,517

Small-Cap Value Fund

Description	Shares		Value
Common Stocks — 99.2%
Consumer Discretionary — 7.4%
Apparel Retail — 1.4%
Children’s Place, Inc. (1)		4,276	$	453,897
Express, Inc. (1)(2)		42,593		271,318
Genesco, Inc. (2)		6,678		141,240
				866,455
Auto Parts & Equipment — 2.1%
Cooper-Standard Holdings, Inc. (1)(2)		5,902		593,623
Dana, Inc.		30,989		745,905
				1,339,528
Broadcasting — 0.8%
Gray Television, Inc. (1)(2)		35,797		511,897
Casinos & Gaming — 0.3%
Penn National Gaming, Inc. (2)		9,126		202,506
Education Services — 0.7%
American Public Education, Inc. (2)		9,470		174,721
K12, Inc. (1)(2)		16,503		295,734
				470,455
Footwear — 0.7%
Deckers Outdoor Corp. (1)(2)		7,320		467,748
Homebuilding — 0.9%
KB Home		27,522		588,971
Specialty Stores — 0.5%
Hibbett Sports, Inc. (1)(2)		23,703		291,547
Total Consumer Discretionary				4,739,107
Consumer Staples — 1.8%
Agricultural Products — 1.2%
Darling Ingredients, Inc. (2)		45,573		792,970
Packaged Foods & Meats — 0.6%
Dean Foods Co. (1)		31,298		344,278
Total Consumer Staples				1,137,248

Description	Shares		Value
Common Stocks (continued)
Energy — 4.9%
Oil & Gas-Drilling — 0.4%
Rowan Cos. PLC (1)(2)		28,974	$	282,496
Oil & Gas-Equipment & Services — 2.2%
Exterran Corp. (2)		15,638		433,798
McDermott International, Inc. (1)(2)		81,604		501,049
Newpark Resources, Inc. (1)(2)		33,598		270,464
U.S. Silica Holdings, Inc. (1)		8,412		228,890
				1,434,201
Oil & Gas-Exploration & Production — 1.4%
Callon Petroleum Co. (1)(2)		27,071		280,456
Carrizo Oil & Gas, Inc. (1)(2)		7,844		105,423
PDC Energy, Inc. (1)(2)		7,675		301,858
RSP Permian, Inc. (2)		6,200		194,556
				882,293
Oil & Gas-Refining & Marketing — 0.9%
Pacific Ethanol, Inc. (2)		52,976		264,880
Renewable Energy Group, Inc. (1)(2)		26,049		315,193
				580,073
Total Energy				3,179,063
Financials — 27.0%
Consumer Finance — 0.5%
Nelnet, Inc., Class A (1)		7,039		333,860
Investment Banking & Brokerage — 0.4%
Stifel Financial Corp. (1)		5,622		268,451
Life & Health Insurance — 2.3%
American Equity Investment Life Holding Co. (1)		24,868		690,335
CNO Financial Group, Inc.		36,225		809,629
				1,499,964
Property & Casualty Insurance — 3.5%
Argo Group International Holdings, Ltd.		9,877		594,596
Employers Holdings, Inc.		13,095		551,954
HCI Group, Inc. (1)		10,092		393,487
Safety Insurance Group, Inc. (1)		2,396		171,074
Selective Insurance Group, Inc.		10,100		509,040
				2,220,151
Regional Banks — 16.6%
1st Source Corp. (1)		7,911		369,206
BancFirst Corp.		5,996		302,198
BancorpSouth, Inc. (1)		23,213		674,338
Banner Corp.		9,633		530,971
Cathay General Bancorp (1)		19,848		700,039
Central Pacific Financial Corp. (1)		18,811		545,519
City Holding Co. (1)		6,404		405,565
Customers Bancorp, Inc. (1)(2)		15,757		444,032
Fidelity Southern Corp.		9,718		212,436
Financial Institutions, Inc.		6,523		177,426
First Interstate BancSystem, Inc., Class A		9,782		344,326
Great Southern Bancorp, Inc.		2,762		137,548
Hanmi Financial Corp.		17,811		475,554
Heartland Financial USA, Inc.		10,173		462,872
Heritage Financial Corp.		10,220		267,253
Hilltop Holdings, Inc. (1)		25,108		594,306
Independent Bank Corp.		7,686		156,794
Investors Bancorp, Inc.		26,468		346,466
Peapack Gladstone Financial Corp.		5,148		156,860
Peoples Bancorp, Inc.		5,036		156,418
Preferred Bank (1)		8,849		476,076
S&T Bancorp, Inc.		4,461		160,328

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

48

BMO Funds

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks (continued)
Sandy Spring Bancorp, Inc.		7,152	$	275,853
TriCo Bancshares		6,961		247,672
Umpqua Holdings Corp. (1)		43,897		768,198
United Community Banks, Inc. (1)		19,456		507,996
Wintrust Financial Corp. (1)		10,098		735,235
				10,631,485
Thrifts & Mortgage Finance — 3.7%
First Defiance Financial Corp.		3,483		170,528
HomeStreet, Inc. (1)(2)		18,616		470,054
NMI Holdings, Inc., Class A (2)		16,388		177,810
TrustCo Bank Corp.		33,571		265,211
Walker & Dunlop, Inc. (1)(2)		12,001		578,328
Washington Federal, Inc. (1)		23,061		720,656
				2,382,587
Total Financials				17,336,498
Healthcare — 9.1%
Biotechnology — 2.1%
Emergent BioSolutions, Inc. (1)(2)		11,040		412,123
Enanta Pharmaceuticals, Inc. (1)(2)		9,006		385,997
Myriad Genetics, Inc. (1)(2)		18,201		554,949
				1,353,069
Healthcare Equipment — 2.4%
Analogic Corp.		5,147		368,268
AngioDynamics, Inc. (1)(2)		12,572		214,101
Integer Holdings Corp. (2)		10,049		461,752
Natus Medical, Inc. (1)(2)		9,584		322,022
Orthofix International NV (1)(2)		4,004		197,037
				1,563,180
Healthcare Supplies — 1.1%
Anika Therapeutics, Inc. (1)(2)		4,087		219,472
Merit Medical Systems, Inc. (2)		11,125		459,462
				678,934
Healthcare Technology — 0.4%
Allscripts Healthcare Solutions, Inc. (2)		20,331		267,149
Life Sciences Tools & Services — 0.7%
Luminex Corp. (1)		21,943		424,158
Managed Healthcare — 0.8%
Magellan Health, Inc. (2)		4,339		351,025
Triple-S Management Corp., Class B (2)		7,709		190,490
				541,515
Pharmaceuticals — 1.6%
Innoviva, Inc. (1)(2)		19,579		274,889
Phibro Animal Health Corp., Class A		14,643		519,827
Sucampo Pharmaceuticals, Inc., Class A (1)(2)		19,663		231,040
				1,025,756
Total Healthcare				5,853,761
Industrials — 14.6%
Aerospace & Defense — 1.4%
KLX, Inc. (1)(2)		6,256		299,913
Moog, Inc., Class A (1)(2)		8,152		625,747
				925,660

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Airlines — 0.7%
Hawaiian Holdings, Inc. (1)(2)		9,809	$	420,316
Construction & Engineering — 1.0%
EMCOR Group, Inc. (1)		9,945		656,768
Construction Machinery & Heavy Trucks — 1.8%
Greenbrier Cos., Inc. (1)		14,020		601,458
Wabash National Corp. (1)		26,890		565,228
				1,166,686
Environmental & Facilities Services — 0.2%
CECO Environmental Corp. (1)		16,063		119,991
Human Resource & Employment Services — 0.9%
TrueBlue, Inc. (2)		27,746		567,406
Industrial Machinery — 2.3%
Chart Industries, Inc. (1)(2)		10,329		348,501
Columbus McKinnon Corp. (1)		7,780		256,973
EnPro Industries, Inc.		5,239		369,192
Global Brass & Copper Holdings, Inc. (1)		10,889		325,037
Hyster-Yale Materials Handling, Inc.		2,741		195,104
				1,494,807
Office Services & Supplies — 1.5%
ACCO Brands Corp. (2)		42,071		460,677
Herman Miller, Inc.		8,760		294,774
Kimball International, Inc., Class B		13,534		229,537
				984,988
Research & Consulting Services — 1.2%
Navigant Consulting, Inc. (2)		13,637		209,055
RPX Corp. (2)		42,316		552,647
				761,702
Security & Alarm Services — 0.7%
Brink’s Co. (1)		5,320		417,354
Trading Companies & Distributors — 1.8%
Aircastle, Ltd. (1)		23,868		535,120
Rush Enterprises, Inc., Class A (2)		15,217		623,745
				1,158,865
Trucking — 1.1%
ArcBest Corp. (1)		24,122		716,423
Total Industrials				9,390,966
Information Technology — 10.8%
Data Processing & Outsourced Services — 2.1%
Convergys Corp. (1)		27,063		635,981
Travelport Worldwide, Ltd.		44,294		670,611
				1,306,592
Electronic Components — 1.9%
Rogers Corp. (2)		3,878		459,737
Vishay Intertechnology, Inc. (1)		43,532		770,516
				1,230,253
Electronic Manufacturing Services — 1.8%
Benchmark Electronics, Inc. (2)		20,132		654,290
TTM Technologies, Inc. (1)(2)		35,840		510,362
				1,164,652
Semiconductor Equipment — 2.6%
Cohu, Inc. (1)		19,091		358,147
Entegris, Inc. (2)		24,275		617,799
Photronics, Inc. (1)(2)		27,364		216,176
Rudolph Technologies, Inc. (2)		21,145		469,419
				1,661,541

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

49

August 31, 2017

Schedules of Investments

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Semiconductors — 1.0%
Diodes, Inc. (2)		23,266	$	654,705
Systems Software — 0.8%
Progress Software Corp.		15,784		530,027
Technology Distributors — 0.6%
ScanSource, Inc. (2)		10,098		396,346
Total Information Technology				6,944,116
Materials — 7.1%
Aluminum — 0.9%
Kaiser Aluminum Corp.		6,295		606,334
Commodity Chemicals — 1.4%
Koppers Holdings, Inc. (2)		12,748		499,722
Trinseo SA (1)		2,336		156,278
Tronox, Ltd., Class A		11,012		227,838
				883,838
Forest Products — 1.7%
Boise Cascade Co. (2)		19,220		576,600
Louisiana-Pacific Corp. (2)		20,655		526,290
				1,102,890
Specialty Chemicals — 3.1%
A Schulman, Inc.		7,777		236,421
Kraton Corp. (2)		15,604		512,279
Minerals Technologies, Inc.		7,954		509,056
OMNOVA Solutions, Inc. (2)		16,971		147,648
Stepan Co.		7,179		555,367
				1,960,771
Total Materials				4,553,833
Real Estate — 10.2%
Diversified REITs — 1.6%
American Assets Trust, Inc.		15,514		630,179
Select Income REIT (1)		18,535		430,197
				1,060,376
Hotel & Resort REITs — 2.4%
Ashford Hospitality Prime, Inc. (1)		28,079		270,120
Chesapeake Lodging Trust (1)		24,840		635,656
Xenia Hotels & Resorts, Inc.		33,051		659,698
				1,565,474
Industrial REITs — 2.0%
DCT Industrial Trust, Inc. (1)		9,503		554,500
First Industrial Realty Trust, Inc.		22,700		703,246
				1,257,746
Office REITs — 1.3%
Mack-Cali Realty Corp. (1)		27,717		634,442
Tier REIT, Inc.		11,617		213,869
				848,311
Residential REITs — 1.0%
Preferred Apartment Communities, Inc., Class A (1)		33,885		616,368
Retail REITs — 0.3%
Saul Centers, Inc. (1)		3,497		211,918

Description	Shares		Value
Common Stocks (continued)
Real Estate (continued)
Specialized REITs — 1.6%
EPR Properties (1)		4,992	$	347,743
Pebblebrook Hotel Trust (1)		20,398		685,169
				1,032,912
Total Real Estate				6,593,105
Utilities — 6.3%
Electric Utilities — 3.7%
El Paso Electric Co. (1)		13,458		747,592
PNM Resources, Inc. (1)		19,628		832,227
Portland General Electric Co.		16,731		794,890
				2,374,709
Gas Utilities — 1.2%
Southwest Gas Holdings, Inc.		9,754		775,638
Multi-Utilities — 1.1%
NorthWestern Corp. (1)		11,494		693,318
Renewable Electricity — 0.3%
Pattern Energy Group, Inc.		7,950		199,704
Total Utilities				4,043,369
Total Common Stocks (identified cost $58,459,807)				63,771,066
Short-Term Investments — 24.5%
Collateral Pool Investments for Securities on Loan — 23.6%
Collateral pool allocation (3)				15,189,775
Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		588,503		588,562
Total Short-Term Investments (identified cost $15,778,337)				15,778,337
Total Investments — 123.7% (identified cost $74,238,144)				79,549,403
Other Assets and Liabilities — (23.7)%				(15,263,871	)
Total Net Assets — 100.0%			$	64,285,532

Small-Cap Core Fund

Description	Shares		Value
Common Stocks — 98.1%
Consumer Discretionary — 9.3%
Apparel Retail — 1.5%
Children’s Place, Inc. (1)		954	$	101,267
DSW, Inc., Class A (1)		4,895		90,704
Express, Inc. (1)(2)		8,969		57,133
Francesca’s Holdings Corp. (1)(2)		5,499		39,923
				289,027
Apparel, Accessories & Luxury Goods — 0.5%
Movado Group, Inc.		3,326		92,296
Auto Parts & Equipment — 2.7%
Cooper-Standard Holdings, Inc. (1)(2)		1,393		140,108
Dana, Inc. (1)		8,642		208,013
Tenneco, Inc. (1)		3,430		185,906
				534,027
Broadcasting — 0.7%
Gray Television, Inc. (1)(2)		9,472		135,450

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

50

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Casinos & Gaming — 0.8%
Penn National Gaming, Inc. (1)(2)		3,363	$	74,625
Pinnacle Entertainment, Inc. (1)(2)		4,442		86,619
				161,244
Education Services — 0.3%
American Public Education, Inc. (2)		3,511		64,778
Footwear — 0.3%
Deckers Outdoor Corp. (1)(2)		1,049		67,031
General Merchandise Stores — 0.3%
Big Lots, Inc. (1)		1,330		63,308
Homebuilding — 0.8%
KB Home (1)		7,635		163,389
Homefurnishing Retail — 0.3%
Haverty Furniture Cos., Inc. (1)		2,434		57,077
Leisure Products — 0.6%
Malibu Boats, Inc., Class A (1)(2)		4,408		118,884
Restaurants — 0.5%
BJ’s Restaurants, Inc. (2)		3,010		90,601
Total Consumer Discretionary				1,837,112
Consumer Staples — 2.2%
Agricultural Products — 1.1%
Darling Ingredients, Inc. (2)		11,905		207,147
Food Distributors — 0.3%
SpartanNash Co. (1)		2,559		63,054
Packaged Foods & Meats — 0.8%
Sanderson Farms, Inc. (1)		1,075		158,584
Total Consumer Staples				428,785
Energy — 2.0%
Oil & Gas-Drilling — 0.5%
Rowan Cos. PLC (1)(2)		9,885		96,379
Oil & Gas-Equipment & Services — 1.1%
McDermott International, Inc. (1)(2)		25,788		158,338
U.S. Silica Holdings, Inc. (1)		2,145		58,366
				216,704
Oil & Gas-Refining & Marketing — 0.4%
Renewable Energy Group, Inc. (1)(2)		6,592		79,763
Total Energy				392,846
Financials — 15.6%
Consumer Finance — 0.5%
Nelnet, Inc., Class A		2,008		95,240
Investment Banking & Brokerage — 0.4%
Evercore Inc., Class A (1)		1,214		91,596
Life & Health Insurance — 2.7%
American Equity Investment Life Holding Co. (1)		5,643		156,650
CNO Financial Group, Inc.		8,406		187,874
Primerica, Inc. (1)		2,492		190,762
				535,286
Property & Casualty Insurance — 2.1%
Argo Group International Holdings, Ltd. (1)		1,675		100,835
Employers Holdings, Inc.		4,569		192,583
Selective Insurance Group, Inc.		2,340		117,936
				411,354

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks — 7.5%
1st Source Corp. (1)		2,022	$	94,367
BancFirst Corp. (1)		1,782		89,813
BancorpSouth, Inc.		2,921		84,855
Bryn Mawr Bank Corp. (1)		1,477		60,483
Cathay General Bancorp (1)		3,531		124,538
Central Pacific Financial Corp.		5,500		159,500
First Financial Corp.		1,262		54,771
Hanmi Financial Corp.		4,812		128,480
Heartland Financial USA, Inc.		1,852		84,266
Heritage Financial Corp.		3,344		87,446
Hilltop Holdings, Inc. (1)		5,398		127,771
Investors Bancorp, Inc.		12,550		164,279
Preferred Bank (1)		2,886		155,267
TriCo Bancshares		1,729		61,518
				1,477,354
Thrifts & Mortgage Finance — 2.4%
HomeStreet, Inc. (1)(2)		2,437		61,534
TrustCo Bank Corp. (1)		7,208		56,943
Walker & Dunlop, Inc. (1)(2)		3,814		183,797
Washington Federal, Inc. (1)		5,267		164,594
				466,868
Total Financials				3,077,698
Healthcare — 18.6%
Biotechnology — 3.3%
BioSpecifics Technologies Corp. (2)		1,423		67,094
Cytokinetics, Inc. (1)(2)		7,256		107,752
Emergent BioSolutions, Inc. (1)(2)		4,044		150,963
Genomic Health, Inc. (1)(2)		2,983		94,561
Ironwood Pharmaceuticals, Inc. (1)(2)		2,635		42,028
Myriad Genetics, Inc. (1)(2)		4,265		130,040
Versartis, Inc. (1)(2)		3,223		61,237
				653,675
Healthcare Equipment — 4.3%
Cardiovascular Systems, Inc. (1)(2)		3,720		109,256
Cutera, Inc. (2)		2,526		93,841
Globus Medical, Inc., Class A (1)(2)		5,430		164,149
Inogen, Inc. (1)(2)		1,450		138,910
Integer Holdings Corp. (1)(2)		1,664		76,461
LeMaitre Vascular, Inc. (1)		3,567		129,839
Masimo Corp. (2)		1,541		130,030
				842,486
Healthcare Supplies — 1.6%
Anika Therapeutics, Inc. (1)(2)		2,156		115,777
OraSure Technologies, Inc. (1)(2)		9,129		186,323
				302,100
Healthcare Technology — 1.1%
HealthStream, Inc. (1)(2)		3,564		83,718
Medidata Solutions, Inc. (1)(2)		1,730		129,681
				213,399
Life Sciences Tools & Services — 2.6%
Cambrex Corp. (1)(2)		3,050		158,905
INC Research Holdings, Inc. (1)(2)		2,537		148,922
PRA Health Sciences, Inc. (2)		2,634		203,872
				511,699
Managed Healthcare — 1.5%
Magellan Health, Inc. (2)		2,637		213,333
Molina Healthcare, Inc. (1)(2)		1,339		85,696
				299,029

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

51

August 31, 2017

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Pharmaceuticals — 4.2%
Catalent, Inc. (2)		2,603	$	107,478
Corcept Therapeutics, Inc. (1)(2)		10,414		173,601
Heska Corp. (1)(2)		1,236		125,726
Pacira Pharmaceuticals, Inc. (1)(2)		3,451		131,483
Phibro Animal Health Corp., Class A (1)		3,797		134,793
Supernus Pharmaceuticals, Inc. (1)(2)		3,432		157,186
				830,267
Total Healthcare				3,652,655
Industrials — 14.8%
Airlines — 0.9%
Hawaiian Holdings, Inc. (1)(2)		4,220		180,827
Construction & Engineering — 1.8%
Argan, Inc. (1)		2,371		150,203
EMCOR Group, Inc.		2,509		165,694
MYR Group, Inc. (2)		1,604		41,399
				357,296
Construction Machinery & Heavy Trucks — 1.8%
Greenbrier Cos., Inc. (1)		3,821		163,921
Wabash National Corp. (1)		8,613		181,045
				344,966
Environmental & Facilities Services — 0.3%
CECO Environmental Corp. (1)		8,064		60,238
Human Resource & Employment Services — 0.8%
TrueBlue, Inc. (2)		7,249		148,242
Industrial Machinery — 1.9%
Briggs & Stratton Corp.		5,700		119,358
Chart Industries, Inc. (1)(2)		3,196		107,833
Global Brass & Copper Holdings, Inc.		2,725		81,341
Hyster-Yale Materials Handling, Inc.		887		63,137
				371,669
Office Services & Supplies — 1.3%
ACCO Brands Corp. (2)		7,549		82,662
Herman Miller, Inc. (1)		5,445		183,224
				265,886
Research & Consulting Services — 0.8%
RPX Corp. (2)		11,538		150,686
Security & Alarm Services — 1.0%
Brink’s Co.		2,569		201,538
Trading Companies & Distributors — 2.3%
H&E Equipment Services, Inc.		6,456		151,974
MRC Global, Inc. (1)(2)		7,319		115,421
Rush Enterprises, Inc., Class A (1)(2)		4,637		190,071
				457,466
Trucking — 1.9%
ArcBest Corp.		5,733		170,270
Saia, Inc. (1)(2)		3,587		202,845
				373,115
Total Industrials				2,911,929
Information Technology — 20.3%
Application Software — 1.5%
RealPage, Inc. (1)(2)		3,255		140,291
Verint Systems, Inc. (2)		3,695		146,691
				286,982

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Communications Equipment — 1.7%
Ciena Corp. (1)(2)		6,596	$	142,540
Plantronics, Inc. (1)		3,224		137,439
Silicom, Ltd.		1,125		61,537
				341,516
Consulting & Other Services — 0.3%
Hackett Group, Inc.		4,104		56,061
Data Processing & Outsourced Services — 3.0%
Cardtronics PLC (2)		3,417		88,774
Convergys Corp. (1)		4,896		115,056
CSG Systems International, Inc. (1)		3,198		123,795
Sykes Enterprises, Inc. (2)		1,396		37,217
Travelport Worldwide, Ltd.		14,523		219,878
				584,720
Electronic Components — 1.8%
Rogers Corp. (2)		1,576		186,835
Vishay Intertechnology, Inc. (1)		9,118		161,388
				348,223
Electronic Equipment & Instruments — 1.0%
Control4 Corp. (1)(2)		2,588		64,079
Itron, Inc. (1)(2)		1,955		141,933
				206,012
Electronic Manufacturing Services — 3.0%
Benchmark Electronics, Inc. (2)		5,607		182,227
Methode Electronics, Inc.		3,886		158,937
Sanmina Corp. (2)		3,295		123,398
TTM Technologies, Inc. (1)(2)		9,032		128,616
				593,178
Internet Software & Services — 0.3%
Blucora, Inc. (1)(2)		2,167		49,407
Semiconductor Equipment — 4.1%
Amkor Technology, Inc. (1)(2)		14,104		123,833
Brooks Automation, Inc. (1)		3,860		100,630
Entegris, Inc. (2)		8,605		218,997
MKS Instruments, Inc.		967		79,633
Photronics, Inc. (1)(2)		13,534		106,919
Rudolph Technologies, Inc. (1)(2)		7,576		168,187
				798,199
Semiconductors — 1.6%
Diodes, Inc. (2)		2,881		81,071
Integrated Device Technology, Inc. (1)(2)		6,194		153,054
Silicon Laboratories, Inc. (1)(2)		1,143		86,754
				320,879
Systems Software — 2.0%
Barracuda Networks, Inc. (1)(2)		4,393		106,355
CommVault Systems, Inc. (2)		1,960		119,658
Progress Software Corp.		5,106		171,459
				397,472
Total Information Technology				3,982,649
Materials — 6.0%
Commodity Chemicals — 1.7%
Koppers Holdings, Inc. (2)		4,246		166,443
Trinseo SA (1)		2,655		177,619
				344,062
Forest Products — 1.9%
Boise Cascade Co. (1)(2)		5,511		165,330
Louisiana-Pacific Corp. (2)		8,052		205,165
				370,495

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

52

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Metal & Glass Containers — 0.7%
Berry Global Group, Inc. (2)		2,533	$	142,456
Specialty Chemicals — 1.7%
Kraton Corp. (1)(2)		4,205		138,050
Minerals Technologies, Inc.		1,617		103,488
OMNOVA Solutions, Inc. (2)		9,714		84,512
				326,050
Total Materials				1,183,063
Real Estate — 5.9%
Diversified REITs — 1.6%
American Assets Trust, Inc.		2,754		111,868
PS Business Parks, Inc.		682		92,145
Select Income REIT (1)		4,982		115,632
				319,645
Hotel & Resort REITs — 2.0%
Chesapeake Lodging Trust (1)		5,295		135,499
Ashford Hospitality Prime, Inc. (1)		7,399		71,178
Xenia Hotels & Resorts, Inc.		8,712		173,892
				380,569
Industrial REITs — 0.6%
First Industrial Realty Trust, Inc.		3,775		116,949
Office REITs — 0.8%
Mack-Cali Realty Corp. (1)		7,106		162,656
Residential REITs — 0.9%
Preferred Apartment Communities, Inc., Class A		9,735		177,080
Total Real Estate				1,156,899
Telecommunication Services — 0.8%
Alternative Carriers — 0.8%
Cogent Communications Holdings, Inc. (1)		3,398		158,347
Utilities — 2.6%
Electric Utilities — 2.1%
El Paso Electric Co.		3,511		195,036
Portland General Electric Co.		4,415		209,757
				404,793
Gas Utilities — 0.5%
Southwest Gas Holdings, Inc.		1,299		103,296
Total Utilities				508,089
Total Common Stocks (identified cost $16,742,274)				19,290,072
Short-Term Investments — 50.7%
Collateral Pool Investments for Securities on Loan — 48.8%
Collateral pool allocation (3)				9,591,857
Mutual Funds — 1.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		368,964		369,001
Total Short-Term Investments (identified cost $9,960,858)				9,960,858
Total Investments — 148.8% (identified cost $26,703,132)				29,250,930
Other Assets and Liabilities — (48.8)%				(9,589,952	)
Total Net Assets — 100.0%			$	19,660,978

Small-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.8%
Consumer Discretionary — 10.8%
Apparel Retail — 0.4%
Francesca’s Holdings Corp. (1)(2)		73,884	$	536,398
Auto Parts & Equipment — 0.8%
Gentherm, Inc. (1)(2)		36,804		1,146,445
Casinos & Gaming — 1.0%
Pinnacle Entertainment, Inc. (2)		69,446		1,354,197
Footwear — 1.0%
Steven Madden, Ltd. (2)		32,460		1,376,304
Home Furnishings — 0.9%
La-Z-Boy, Inc.		50,216		1,197,651
Homebuilding — 1.0%
TopBuild Corp. (2)		24,708		1,466,420
Household Appliances — 0.8%
iRobot Corp. (1)(2)		11,269		1,075,288
Internet & Direct Marketing Retail — 0.7%
Shutterfly, Inc. (1)(2)		22,803		1,039,361
Restaurants — 1.4%
Habit Restaurants, Inc., Class A (1)(2)		58,778		764,114
Texas Roadhouse, Inc. (1)		24,641		1,169,215
				1,933,329
Specialized Consumer Services — 1.0%
Sotheby’s (1)(2)		30,369		1,362,657
Specialty Stores — 1.8%
Five Below, Inc. (1)(2)		27,502		1,308,270
MarineMax, Inc. (1)(2)		71,269		1,150,994
				2,459,264
Total Consumer Discretionary				14,947,314
Consumer Staples — 2.8%
Agricultural Products — 1.0%
Darling Ingredients, Inc. (1)(2)		77,385		1,346,499
Hypermarkets & Super Centers — 0.8%
PriceSmart, Inc. (1)		14,349		1,165,856
Soft Drinks — 1.0%
Coca-Cola Bottling Co. Consolidated (1)		6,671		1,424,859
Total Consumer Staples				3,937,214
Energy — 1.1%
Oil & Gas-Equipment & Services — 0.7%
McDermott International, Inc. (1)(2)		152,527		936,516
Oil & Gas-Exploration & Production — 0.4%
PDC Energy, Inc. (1)(2)		13,640		536,461
Total Energy				1,472,977
Financials — 4.5%
Life & Health Insurance — 0.9%
CNO Financial Group, Inc.		57,289		1,280,409
Mortgage REITs — 0.9%
Redwood Trust, Inc. (1)		74,808		1,247,798
Property & Casualty Insurance — 0.8%
Employers Holdings, Inc.		27,554		1,161,401

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

53

August 31, 2017

Schedules of Investments

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks — 1.9%
Customers Bancorp, Inc. (1)(2)		44,085	$	1,242,315
Great Western Bancorp, Inc. (1)		36,479		1,310,326
				2,552,641
Total Financials				6,242,249
Healthcare — 24.6%
Biotechnology — 7.4%
Akebia Therapeutics, Inc. (2)		54,324		909,384
Cytokinetics, Inc. (2)		74,035		1,099,420
Emergent BioSolutions, Inc. (1)(2)		37,441		1,397,672
Exact Sciences Corp. (1)(2)		30,434		1,274,880
Genomic Health, Inc. (1)(2)		34,099		1,080,938
Ironwood Pharmaceuticals, Inc. (1)(2)		54,380		867,361
MiMedx Group, Inc. (1)(2)		75,410		1,226,921
Vanda Pharmaceuticals, Inc. (2)		65,443		1,125,620
Versartis, Inc. (1)(2)		64,653		1,228,407
				10,210,603
Healthcare Equipment — 4.6%
Analogic Corp.		17,610		1,259,995
Cardiovascular Systems, Inc. (2)		41,852		1,229,193
Inogen, Inc. (1)(2)		14,137		1,354,325
K2M Group Holdings, Inc. (1)(2)		50,725		1,185,951
Masimo Corp. (2)		16,465		1,389,317
				6,418,781
Healthcare Services — 0.8%
Amedisys, Inc. (2)		22,038		1,151,265
Healthcare Supplies — 2.3%
Merit Medical Systems, Inc. (1)(2)		42,856		1,769,953
OraSure Technologies, Inc. (1)(2)		71,826		1,465,969
				3,235,922
Healthcare Technology — 2.0%
Medidata Solutions, Inc. (1)(2)		22,651		1,697,919
Vocera Communications, Inc. (1)(2)		37,640		1,048,274
				2,746,193
Life Sciences Tools & Services — 3.1%
Cambrex Corp. (1)(2)		26,714		1,391,799
INC Research Holdings, Inc. (1)(2)		23,864		1,400,817
PRA Health Sciences, Inc. (1)(2)		19,538		1,512,241
				4,304,857
Managed Healthcare — 0.9%
Magellan Health, Inc. (2)		16,168		1,307,991
Pharmaceuticals — 3.5%
Innoviva, Inc. (1)(2)		87,827		1,233,091
Pacira Pharmaceuticals, Inc. (1)(2)		29,982		1,142,314
Phibro Animal Health Corp., Class A (1)		31,199		1,107,565
Supernus Pharmaceuticals, Inc. (1)(2)		29,453		1,348,947
				4,831,917
Total Healthcare				34,207,529
Industrials — 17.3%
Aerospace & Defense — 0.1%
Cubic Corp. (1)		2,709		116,352
Air Freight & Logistics — 0.9%
Hub Group, Inc., Class A (1)(2)		32,040		1,231,938

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Building Products — 3.7%
American Woodmark Corp. (2)		13,725	$	1,136,430
Builders FirstSource, Inc. (1)(2)		98,307		1,600,438
NCI Building Systems, Inc. (1)(2)		74,059		1,244,191
Simpson Manufacturing Co., Inc. (1)		25,931		1,135,259
				5,116,318
Construction & Engineering — 1.7%
Comfort Systems USA, Inc.		38,435		1,308,712
MasTec, Inc. (2)		25,337		1,033,749
				2,342,461
Construction Machinery & Heavy Trucks — 1.8%
Greenbrier Cos., Inc. (1)		27,163		1,165,293
Wabash National Corp. (1)		66,702		1,402,076
				2,567,369
Human Resource & Employment Services — 3.0%
Insperity, Inc.		16,994		1,364,618
Korn/Ferry International		39,805		1,326,302
TriNet Group, Inc. (2)		42,468		1,517,382
				4,208,302
Industrial Machinery — 3.2%
Chart Industries, Inc. (1)(2)		32,821		1,107,381
Proto Labs, Inc. (1)(2)		18,551		1,331,962
SPX FLOW Inc. (2)		21,404		716,392
Watts Water Technologies, Inc., Class A		21,925		1,352,772
				4,508,507
Office Services & Supplies — 1.0%
Herman Miller, Inc. (1)		40,352		1,357,845
Research & Consulting Services — 0.9%
ICF International, Inc. (1)(2)		26,565		1,276,448
Trucking — 1.0%
Werner Enterprises, Inc.		40,620		1,344,522
Total Industrials				24,070,062
Information Technology — 27.0%
Application Software — 2.9%
Callidus Software, Inc. (1)(2)		57,138		1,471,304
RealPage, Inc. (2)		29,159		1,256,753
Verint Systems, Inc. (2)		31,230		1,239,831
				3,967,888
Communications Equipment — 1.9%
Ciena Corp. (1)(2)		59,249		1,280,371
Extreme Networks, Inc. (2)		122,120		1,395,832
				2,676,203
Data Processing & Outsourced Services — 2.0%
Blackhawk Network Holdings, Inc. (2)		31,383		1,405,959
Travelport Worldwide, Ltd. (1)		95,052		1,439,087
				2,845,046
Electronic Components — 2.0%
II-VI, Inc. (1)(2)		31,181		1,117,839
Rogers Corp. (2)		14,137		1,675,941
				2,793,780
Electronic Equipment & Instruments — 1.2%
Itron, Inc. (2)		22,097		1,604,242
Electronic Manufacturing Services — 0.9%
Methode Electronics, Inc.		30,097		1,230,967

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

54

BMO Funds

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Internet Software & Services — 3.3%
Carbonite, Inc. (2)		57,508	$	1,150,160
Cornerstone OnDemand, Inc. (1)(2)		32,169		1,125,272
Shutterstock, Inc. (1)(2)		23,654		794,301
Yelp, Inc. (1)(2)		35,093		1,494,962
				4,564,695
Semiconductor Equipment — 5.0%
Brooks Automation, Inc. (1)		56,268		1,466,907
Entegris, Inc. (1)(2)		76,087		1,936,414
FormFactor, Inc. (1)(2)		75,916		1,146,332
Nanometrics, Inc. (2)		45,387		1,170,531
Rudolph Technologies, Inc. (1)(2)		54,743		1,215,294
				6,935,478
Semiconductors — 2.2%
Semtech Corp. (1)(2)		41,493		1,560,137
Silicon Laboratories, Inc. (1)(2)		19,964		1,515,267
				3,075,404
Systems Software — 5.6%
Barracuda Networks, Inc. (1)(2)		56,834		1,375,951
CommVault Systems, Inc. (1)(2)		24,487		1,494,931
Gigamon, Inc. (1)(2)		37,933		1,629,222
Qualys, Inc. (1)(2)		29,841		1,417,448
Rapid7, Inc. (1)(2)		41,926		706,872
Varonis Systems, Inc. (1)(2)		30,152		1,169,898
				7,794,322
Total Information Technology				37,488,025
Materials — 6.2%
Commodity Chemicals — 1.1%
Trinseo SA (1)		23,341		1,561,513
Forest Products — 2.2%
Boise Cascade Co. (2)		50,015		1,500,450
Louisiana-Pacific Corp. (2)		59,786		1,523,347
				3,023,797
Specialty Chemicals — 1.9%
Ferro Corp. (1)(2)		71,826		1,384,087
Kraton Corp. (1)(2)		38,933		1,278,170
				2,662,257
Steel — 1.0%
Commercial Metals Co. (1)		73,875		1,395,499
Total Materials				8,643,066
Real Estate — 2.5%
Diversified REITs — 0.8%
American Assets Trust, Inc.		29,340		1,191,791
Hotel & Resort REITs — 0.8%
Hersha Hospitality Trust (1)		58,278		1,080,474
Specialized REITs — 0.9%
DiamondRock Hospitality Co.		112,805		1,239,727
Total Real Estate				3,511,992
Telecommunication Services — 1.0%
Alternative Carriers — 1.0%
Cogent Communications Holdings, Inc. (1)		30,206		1,407,600

Description	Shares		Value
Common Stocks (continued)
Utilities — 1.0%
Gas Utilities — 1.0%
Southwest Gas Holdings, Inc.		16,842	$	1,339,276
Total Common Stocks (identified cost $122,328,148)				137,267,304
Short-Term Investments — 30.2%
Collateral Pool Investments for Securities on Loan —29.1%
Collateral pool allocation (3)				40,411,406
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		1,560,337		1,560,493
Total Short-Term Investments (identified cost $41,971,899)				41,971,899
Total Investments — 129.0% (identified cost $164,300,047)				179,239,203
Other Assets and Liabilities — (29.0)%				(40,243,373	)
Total Net Assets — 100.0%			$	138,995,830

Global Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 98.1%
Austria — 0.9%
Flughafen Wien AG		10,782	$	423,924
Belgium — 0.3%
bpost SA		5,983		167,104
Bermuda — 3.7%
Argo Group International Holdings, Ltd.		2,975		179,095
Dairy Farm International Holdings, Ltd.		16,800		136,197
Enstar Group, Ltd. (2)		1,470		305,099
Everest Re Group, Ltd.		4,317		1,089,956
Giordano International, Ltd.		164,000		97,242
				1,807,589
Canada — 3.9%
BCE, Inc.		12,132		577,478
First Capital Realty, Inc. (1)		7,354		119,489
George Weston, Ltd.		1,403		121,936
Granite Real Estate Investment Trust		5,343		217,571
Laurentian Bank of Canada		6,001		269,931
Loblaw Cos., Ltd.		7,094		384,766
Metro, Inc.		2,310		76,251
Pure Industrial Real Estate Trust		26,202		138,905
				1,906,327
Cayman Islands — 2.4%
361 Degrees International, Ltd.		292,000		126,052
Dali Foods Group Co., Ltd.		349,000		232,396
Fresh Del Monte Produce, Inc.		2,304		108,265
Melco Resorts & Entertainment, Ltd., ADR		11,859		260,305
Uni-President China Holdings, Ltd.		91,000		78,033
WH Group, Ltd.		347,000		362,829
				1,167,880

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

55

August 31, 2017

Schedules of Investments

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
China — 3.3%
Agricultural Bank of China, Ltd., Class H		613,000	$	289,282
China Minsheng Banking Corp., Ltd., Class H		204,000		203,680
China Telecom Corp., Ltd., Class H		172,000		88,690
Industrial & Commercial Bank of China, Ltd., Class H		705,000		530,260
Livzon Pharmaceutical Group, Inc., Class H		23,210		126,803
Tsingtao Brewery Co., Ltd., Class H		94,000		389,923
				1,628,638
Czech Republic — 0.7%
CEZ AS		17,990		341,272
Denmark — 0.4%
Dfds A/S		3,659		211,022
France — 0.1%
Boiron SA		743		70,198
Germany — 0.7%
RHOEN-KLINIKUM AG		9,827		326,729
Guernsey — 2.0%
Amdocs, Ltd.		15,264		988,955
Hong Kong — 7.9%
China Unicom Hong Kong, Ltd. (2)		62,000		89,932
CLP Holdings, Ltd.		100,500		1,063,216
Dah Sing Financial Holdings, Ltd.		29,600		215,117
Hang Seng Bank, Ltd.		23,300		537,273
HK Electric Investments & HK Electric Investments, Ltd. (1)		800,500		736,326
Hysan Development Co., Ltd.		52,000		240,640
PCCW, Ltd.		805,000		449,129
VTech Holdings, Ltd.		21,800		306,496
Yuexiu Real Estate Investment Trust		409,000		269,674
				3,907,803
Hungary — 0.6%
Magyar Telekom Telecommunications PLC		102,609		194,971
Richter Gedeon Nyrt		4,313		112,232
				307,203
Ireland — 0.2%
ICON PLC (2)		1,027		116,452
Israel — 1.3%
Bank Leumi Le-Israel BM		67,867		355,678
Bezeq — The Israeli Telecommunication Corp., Ltd.		204,161		300,842
				656,520
Italy — 0.6%
Amplifon SpA		19,236		278,341
Japan — 8.9%
Bridgestone Corp.		2,700		116,090
Daiichi Sankyo Co., Ltd.		5,700		134,933
Duskin Co., Ltd.		17,700		511,844
Hogy Medical Co., Ltd.		1,400		99,176
Kissei Pharmaceutical Co., Ltd.		7,100		180,686
KYORIN Holdings, Inc.		18,300		385,309
Mitsui Sugar Co., Ltd.		5,700		194,359
Morinaga Milk Industry Co., Ltd.		14,000		110,567
Nippon Telegraph & Telephone Corp.		10,100		503,106
Nisshin Oillio Group, Ltd.		47,000		337,652
Noevir Holdings Co., Ltd.		2,600		155,848

Description	Shares		Value
Common Stocks (continued)
Japan (continued)
Prima Meat Packers, Ltd.		28,000	$	174,168
Shimachu Co., Ltd. (1)		7,200		186,222
Suzuken Co., Ltd.		7,900		288,185
Takeda Pharmaceutical Co., Ltd.		5,000		277,174
Towa Pharmaceutical Co., Ltd.		2,400		114,555
Tsumura & Co.		9,600		363,010
Vital KSK Holdings, Inc. (1)		11,900		97,443
Xebio Holdings Co., Ltd.		7,500		148,204
				4,378,531
Malaysia — 4.4%
Malayan Banking Bhd		198,500		440,068
Public Bank Bhd		154,100		744,197
Tenaga Nasional Bhd		285,900		956,262
				2,140,527
Netherlands — 0.1%
Sligro Food Group NV		1,358		59,856
New Zealand — 3.0%
Argosy Property, Ltd.		199,824		151,486
Chorus, Ltd.		36,168		104,005
Fisher & Paykel Healthcare Corp., Ltd.		40,960		346,661
Infratil, Ltd.		76,744		173,631
Metlifecare, Ltd.		40,331		177,238
Ryman Healthcare, Ltd.		45,465		297,152
Summerset Group Holdings, Ltd.		61,146		224,774
				1,474,947
Philippines — 0.9%
First Philippine Holdings Corp.		60,540		79,266
Manila Electric Co.		64,300		340,348
				419,614
Singapore — 5.3%
Ascott Residence Trust		83,200		72,133
Cache Logistics Trust		174,300		112,441
CDL Hospitality Trusts		72,400		87,008
Frasers Centrepoint Trust		191,700		298,438
Mapletree Industrial Trust		73,300		100,291
Mapletree Logistics Trust		474,200		430,255
RHT Health Trust		210,000		133,344
SATS, Ltd.		128,800		459,257
Sheng Siong Group, Ltd. (1)		126,800		86,113
Singapore Airlines, Ltd.		29,800		226,752
Venture Corp., Ltd.		50,100		584,456
				2,590,488
South Korea — 0.7%
GS Home Shopping, Inc.		824		161,127
Kia Motors Corp.		6,127		192,551
				353,678
Switzerland — 4.0%
ALSO Holding AG (2)		1,695		220,435
Cembra Money Bank AG		6,384		556,090
Novartis AG		6,219		524,511
Roche Holding AG		280		71,367
Sonova Holding AG		1,640		277,313
Valora Holding AG		991		299,007
				1,948,723
Taiwan — 2.2%
Far EasTone Telecommunications Co., Ltd.		324,000		785,990
Taichung Commercial Bank Co., Ltd.		503,100		159,281
Taiwan Secom Co., Ltd.		41,075		121,410
				1,066,681

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

56

BMO Funds

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Thailand — 1.1%
Thai Beverage PCL		803,400	$	551,464
United States — 38.5%
Abaxis, Inc. (1)		4,934		228,049
Allstate Corp.		10,576		957,128
American Electric Power Co., Inc.		4,657		342,895
American Express Co.		1,671		143,873
Atrion Corp.		358		222,730
Avista Corp. (1)		2,585		132,869
Bryn Mawr Bank Corp.		4,409		180,549
Carter’s, Inc.		815		70,669
Chemed Corp.		3,708		731,551
Children’s Place, Inc. (1)		1,081		114,748
Cisco Systems, Inc.		11,502		370,479
Consolidated Edison, Inc.		10,993		926,380
CVS Health Corp.		3,360		259,862
Darden Restaurants, Inc.		4,325		355,039
Discover Financial Services		12,344		727,679
Dr. Pepper Snapple Group, Inc.		10,225		930,986
Edison International		2,750		220,495
Equity Commonwealth (2)		3,658		113,179
Essex Property Trust, Inc.		1,966		522,897
Fiserv, Inc. (2)		1,999		247,296
Foot Locker, Inc.		1,744		61,441
Forrester Research, Inc.		2,074		84,515
Getty Realty Corp.		10,678		294,286
Harris Corp.		3,502		430,396
Huntington Ingalls Industries, Inc.		1,102		235,784
ICU Medical, Inc. (2)		1,336		232,932
Jack Henry & Associates, Inc.		1,873		193,050
Johnson & Johnson		7,707		1,020,176
Kroger Co.		15,693		343,206
Masimo Corp. (2)		1,851		156,187
Merck & Co., Inc.		14,340		915,752
Meridian Bancorp, Inc.		28,052		493,715
Navigators Group, Inc.		3,103		173,147
Owens & Minor, Inc.		21,184		591,881
PepsiCo, Inc.		6,404		741,135
Pfizer, Inc.		26,815		909,565
Pinnacle West Capital Corp.		1,145		103,016
Portland General Electric Co.		8,462		402,030
Progressive Corp.		2,610		121,313
Prudential Financial, Inc.		4,670		476,714
Quidel Corp. (2)		5,105		178,369
Safety Insurance Group, Inc.		3,537		252,542
Spirit AeroSystems Holdings, Inc., Class A		2,977		221,786
Sysco Corp.		11,941		628,932
U.S. Physical Therapy, Inc.		2,798		167,600
Unum Group		8,711		419,696
Wal-Mart Stores, Inc.		12,869		1,004,683
WebMD Health Corp. (2)		2,170		144,175
WellCare Health Plans, Inc. (2)		932		162,802
				18,960,179
Total Common Stocks (identified cost $41,729,321)				48,250,645
Short-Term Investments — 4.1%
Collateral Investment for Securities on Loan — 2.4%
State Street Navigator Securities Lending Government Money Market Portfolio, 0.994% (3)		1,201,607		1,201,607

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.7%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.150%		825,968	$	825,968
Total Short-Term Investments (identified cost $2,027,649)				2,027,575
Total Investments — 102.2% (identified cost $43,756,970)				50,278,220
Other Assets and Liabilities — (2.2)%				(1,060,037	)
Total Net Assets — 100.0%			$	49,218,183

Industry Allocation
Industry	Value			% of Total Net Assets
Aerospace/Defense	$	652,182			1.3	%
Airlines		226,752			0.5
Apparel		70,669			0.2
Auto Manufacturers		192,551			0.4
Auto Parts & Equipment		116,090			0.2
Banks		3,925,316			8.0
Beverages		2,613,509			5.3
Commercial Services		717,770			1.5
Computers		988,954			2.0
Cosmetics/Personal Care		155,848			0.3
Diversified Financial Services		1,427,642			2.9
Electric		5,818,006			11.8
Electronics		804,891			1.6
Engineering & Construction		883,182			1.8
Food		3,349,414			6.8
Healthcare-Products		1,741,417			3.5
Healthcare-Services		2,204,298			4.5
Insurance		3,974,689			8.1
Internet		144,175			0.3
Lodging		260,305			0.5
Pharmaceuticals		6,462,119			13.1
Real Estate		644,960			1.3
Real Estate Investment Trusts		2,657,076			5.4
Retail		2,899,741			5.9
Savings & Loans		493,715			1.0
Shipbuilding		235,784			0.5
Software		440,346			0.9
Telecommunications		3,771,118			7.7
Transportation		378,126			0.8
Total Common Stocks		48,250,645			98.1
Collateral Investment for Securities on Loan		1,201,607			2.4
Mutual Funds		825,968			1.7
Total Investments		50,278,220			102.2
Other Assets and Liabilities		(1,060,037	)		(2.2	)
Total Net Assets	$	49,218,183			100.0	%

Disciplined International Equity Fund

Description	Shares		Value
Common Stocks — 98.7%
Australia — 6.3%
Australia & New Zealand Banking Group, Ltd.		26,165	$	614,731
BHP Billiton, Ltd.		33,203		722,401
CSL, Ltd.		1,696		173,465
Fortescue Metals Group, Ltd. (1)		279,478		1,337,576

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

57

August 31, 2017

Schedules of Investments

Disciplined International Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Australia (continued)
Ramsay Health Care, Ltd.		5,373	$	292,265
Telstra Corp., Ltd. (1)		135,851		396,666
Woodside Petroleum, Ltd. (1)		45,188		1,040,579
				4,577,683
Belgium — 0.2%
bpost SA		3,900		108,926
Bermuda — 0.2%
Fly Leasing, Ltd. (2)		9,729		132,606
Cayman Islands — 0.6%
Cheung Kong Property Holdings, Ltd.		23,000		202,492
WH Group, Ltd.		186,000		194,485
				396,977
Denmark — 3.1%
Danske Bank A/S		15,874		617,224
Novo Nordisk A/S		23,888		1,140,453
Vestas Wind Systems A/S		5,359		488,217
				2,245,894
Finland — 2.7%
Nokian Renkaat OYJ		4,175		176,581
Orion OYJ		3,778		178,970
UPM-Kymmene OYJ		62,567		1,628,912
				1,984,463
France — 13.3%
Arkema SA		7,651		832,537
Bouygues SA		4,109		186,473
Capgemini SE		1,918		212,900
CNP Assurances		38,305		889,885
Credit Agricole SA		46,045		812,535
Eiffage SA		2,637		272,770
Peugeot SA		82,510		1,744,204
Sanofi		15,542		1,517,506
Societe Generale SA		20,670		1,158,396
TOTAL SA		3,288		170,125
Valeo SA		12,858		860,911
Vinci SA		10,725		988,440
				9,646,682
Germany — 7.5%
Allianz SE		9,431		2,018,074
Bayer AG		4,375		560,317
Continental AG		773		174,413
Fresenius Medical Care AG & Co. KGaA		1,941		181,532
Fresenius SE & Co. KGaA		18,295		1,548,597
Merck KGaA		3,690		405,603
Siemens AG		2,547		333,031
Talanx AG		4,760		196,996
				5,418,563
Hong Kong — 0.8%
BOC Hong Kong Holdings, Ltd.		39,000		199,225
I-CABLE Communications, Ltd. (2)		10,272		362
Sun Hung Kai Properties, Ltd.		12,000		200,377
Wharf Holdings, Ltd.		21,000		200,592
				600,556
Ireland — 1.2%
Seagate Technology PLC (1)		27,664		872,246
Israel — 0.3%
Check Point Software Technologies, Ltd. (2)		1,755		196,332

Description	Shares		Value
Common Stocks (continued)
Italy — 0.5%
Atlantia SpA		6,897	$	222,176
GEDI Gruppo Editoriale SpA (2)		4,099		3,506
Recordati SpA		3,934		168,629
				394,311
Japan — 23.8%
Aoyama Trading Co., Ltd.		14,100		518,002
Asahi Glass Co., Ltd.		12,100		474,224
Bridgestone Corp.		5,100		219,282
Chubu Electric Power Co., Inc.		39,500		517,310
Dai Nippon Printing Co., Ltd.		73,000		863,757
Daiwa Securities Group, Inc.		113,000		619,888
Fujikura, Ltd.		141,000		1,149,595
Fujitsu, Ltd.		51,000		380,858
Heiwado Co., Ltd.		15,000		350,704
Hitachi Maxell, Ltd.		10,300		246,633
Hitachi, Ltd.		142,000		979,693
Ibiden Co., Ltd. (1)		46,600		773,864
Kansai Electric Power Co., Inc.		53,500		750,385
Kawasaki Kisen Kaisha, Ltd. (1)(2)		185,000		502,929
Kirin Holdings Co., Ltd.		82,300		1,872,456
Konica Minolta, Inc. (1)		79,100		633,145
Mitsubishi Chemical Holdings Corp.		99,000		923,754
Mitsubishi UFJ Financial Group, Inc.		20,900		127,376
Monex Group, Inc. (1)		110,400		291,920
Morinaga Milk Industry Co., Ltd.		34,000		268,520
NEC Corp.		106,000		281,227
Nippon Telegraph & Telephone Corp.		40,200		2,002,460
Nissan Motor Co., Ltd.		10,500		104,594
Nisshin Oillio Group, Ltd.		51,000		366,388
Nisshinbo Holdings, Inc.		53,200		565,231
NTT DoCoMo, Inc.		11,600		269,760
Sumitomo Electric Industries, Ltd.		11,000		173,087
Sumitomo Riko Co., Ltd. (1)		11,100		106,759
Toho Holdings Co., Ltd.		6,200		121,668
Toppan Printing Co., Ltd.		59,000		591,714
Warabeya Nichiyo Holdings Co., Ltd.		6,200		155,971
				17,203,154
Jersey — 2.4%
Centamin PLC		140,140		275,094
Delphi Automotive PLC		15,140		1,459,496
				1,734,590
Luxembourg — 1.0%
Subsea 7 SA		24,812		357,096
Ternium SA		12,813		389,900
				746,996
Marshall Islands — 0.1%
Seaspan Corp. (1)		13,901		99,253
Netherlands — 4.2%
AerCap Holdings NV (2)		9,151		460,295
Boskalis Westminster		14,727		481,596
Fiat Chrysler Automobiles NV (2)		83,348		1,258,626
ING Groep NV		48,497		861,597
				3,062,114
New Zealand — 0.6%
Air New Zealand, Ltd.		155,551		399,560
Norway — 1.1%
Marine Harvest ASA		9,952		197,699
Salmar ASA		14,532		421,542
Yara International ASA		3,939		161,134
				780,375

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

58

BMO Funds

Disciplined International Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Portugal — 1.1%
EDP — Energias de Portugal SA		202,082	$	775,991
Singapore — 2.3%
DBS Group Holdings, Ltd.		24,400		371,737
Japfa, Ltd. (1)		219,800		89,301
Mapletree Industrial Trust		239,000		327,006
Oversea-Chinese Banking Corp., Ltd.		24,000		198,018
SATS, Ltd.		79,000		281,688
Singapore Airlines, Ltd.		28,200		214,578
Yanlord Land Group, Ltd.		168,100		214,655
				1,696,983
Spain — 1.1%
Banco Bilbao Vizcaya Argentaria SA		36,947		326,906
Distribuidora Internacional de Alimentacion SA (1)		28,883		182,835
Repsol SA		16,775		288,260
				798,001
Sweden — 2.6%
Nordea Bank AB		113,466		1,527,533
Skandinaviska Enskilda Banken AB, Class A		27,835		362,450
				1,889,983
Switzerland — 6.2%
Lonza Group AG		4,362		1,105,501
Novartis AG		6,054		510,594
Roche Holding AG		3,722		948,669
Swiss Re AG		4,760		431,359
TE Connectivity, Ltd.		14,760		1,174,896
Zurich Insurance Group AG		1,051		314,653
				4,485,672
United Kingdom — 15.5%
Admiral Group PLC		12,936		323,146
British American Tobacco PLC		15,932		993,465
Compass Group PLC		19,139		408,618
GlaxoSmithKline PLC		90,129		1,787,858
Go-Ahead Group PLC		15,231		354,757
Imperial Brands PLC		29,784		1,231,768
Jupiter Fund Management PLC		28,641		198,805
Legal & General Group PLC		418,713		1,408,305
Paragon Group of Cos. PLC		30,311		160,600
QinetiQ Group PLC		156,450		465,260
Reckitt Benckiser Group PLC		12,401		1,176,390
RELX PLC		50,962		1,114,868
Rio Tinto PLC		11,214		542,785
Royal Mail PLC		83,570		426,113
Unilever PLC		7,447		435,420
WH Smith PLC		7,957		190,161
				11,218,319
Total Common Stocks (identified cost $60,570,265)				71,466,230
Short-Term Investments — 6.8%
Collateral Investment for Securities on Loan — 6.1%
State Street Navigator Securities Lending Government Money Market Portfolio, 0.994% (3)		4,416,726		4,416,726

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 0.7%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.150%		521,362	$	521,362
Total Short-Term Investments (identified cost $4,938,129)				4,938,088
Total Investments — 105.5% (identified cost $65,508,394)				76,404,318
Other Assets and Liabilities — (5.5)%				(4,016,276	)
Total Net Assets — 100.0%			$	72,388,042

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	2,314,534			3.2	%
Airlines		614,138			0.8
Auto Manufacturers		3,107,424			4.3
Auto Parts & Equipment		3,170,530			4.4
Banks		7,177,730			9.9
Beverages		1,872,456			2.6
Biotechnology		173,465			0.2
Building Materials		474,224			0.7
Chemicals		1,917,425			2.6
Commercial Services		3,718,071			5.1
Computers		1,662,336			2.3
Cosmetics/Personal Care		435,419			0.6
Diversified Financial Services		1,111,900			1.5
Electric		2,043,686			2.8
Electrical Components & Equipment		1,149,595			1.6
Electronics		2,476,620			3.4
Energy-Alternate Sources		488,217			0.7
Engineering & Construction		2,210,965			3.1
Food		2,138,143			3.0
Food Service		408,618			0.6
Forest Products & Paper		1,628,911			2.2
Healthcare-Products		1,105,501			1.5
Healthcare-Services		2,022,393			2.8
Holding Companies-Diversified		200,592			0.3
Household Products/Wares		1,176,390			1.6
Insurance		5,582,419			7.7
Internet		291,920			0.4
Iron/Steel		1,727,476			2.4
Machinery-Construction & Mining		979,693			1.4
Media		3,868			0.0
Mining		1,540,280			2.1
Miscellaneous Manufacturing		966,176			1.3
Oil & Gas		1,498,963			2.1
Oil & Gas Services		357,096			0.5
Pharmaceuticals		7,340,267			10.1
Real Estate		617,524			0.9
Real Estate Investment Trusts		327,006			0.4
Retail		708,163			1.0
Telecommunications		3,234,117			4.5
Transportation		1,491,979			2.1
Total Common Stocks		71,466,230			98.7
Collateral Investment for Securities on Loan		4,416,726			6.1
Mutual Funds		521,362			0.7
Total Investments		76,404,318			105.5
Other Assets and Liabilities		(4,016,276	)		(5.5	)
Total Net Assets	$	72,388,042			100.0	%

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

59

August 31, 2017

Schedules of Investments

Pyrford International Stock Fund

Description	Shares		Value
Common Stocks — 90.2%
Australia — 10.6%
Brambles, Ltd.		1,810,183	$	13,450,842
Computershare, Ltd.		944,925		10,573,888
Newcrest Mining, Ltd.		329,017		5,992,086
QBE Insurance Group, Ltd.		1,044,434		8,726,581	��
Rio Tinto, Ltd. (1)		119,946		6,479,153
Woodside Petroleum, Ltd.		485,185		11,172,729
Woolworths, Ltd.		603,957		12,496,098
				68,891,377
Belgium — 1.2%
Proximus SADP		208,917		7,362,780
Finland — 1.9%
Kone OYJ, Class B (1)		117,273		6,365,070
Sampo OYJ, A Shares		109,064		5,759,229
				12,124,299
France — 7.7%
Air Liquide SA		80,993		9,901,516
Bureau Veritas SA		291,566		6,941,936
Legrand SA		101,747		7,134,188
Rubis SCA		88,590		5,765,686
Sanofi		115,639		11,290,884
TOTAL SA		175,124		9,061,101
				50,095,311
Germany — 4.6%
Brenntag AG		144,483		7,669,507
Deutsche Post AG		189,282		7,852,871
GEA Group AG (1)		127,857		5,636,305
SAP AG		79,376		8,325,610
				29,484,293
Hong Kong — 5.5%
AIA Group, Ltd.		814,400		6,254,055
ASM Pacific Technology, Ltd.		70,500		880,039
China Mobile, Ltd.		997,500		10,576,556
CNOOC, Ltd.		5,417,000		6,541,034
Power Assets Holdings, Ltd.		629,500		5,564,695
VTech Holdings, Ltd.		431,900		6,072,264
				35,888,643
Israel — 1.4%
Bezeq — The Israeli Telecommunication Corp., Ltd.		6,252,554		9,213,470
Japan — 8.2%
ABC-Mart, Inc. (1)		71,600		3,683,914
Japan Tobacco, Inc.		306,868		10,523,263
KDDI Corp.		364,700		9,854,591
Mitsubishi Electric Corp.		644,000		9,557,826
Nihon Kohden Corp.		330,500		7,678,088
Sumitomo Rubber Industries, Ltd.		431,100		7,165,584
Toyota Tsusho Corp.		159,700		4,929,780
				53,393,046
Malaysia — 2.8%
Axiata Group Bhd		8,159,163		9,434,058
Malayan Banking Bhd		4,044,591		8,966,725
				18,400,783
Netherlands — 4.1%
Koninklijke Vopak NV (1)		175,847		7,451,751
RELX NV		344,272		7,238,031
Unilever NV		202,659		12,073,104
				26,762,886

Description	Shares		Value
Common Stocks (continued)
Norway — 1.9%
Telenor ASA		601,663	$	12,186,717
Singapore — 4.6%
ComfortDelGro Corp., Ltd.		5,304,900		8,977,873
Sembcorp Industries, Ltd.		2,273,000		5,000,729
Singapore Technologies Engineering, Ltd.		2,768,400		7,465,458
United Overseas Bank, Ltd.		468,702		8,321,553
				29,765,613
Sweden — 4.2%
Assa Abloy AB, Class B		230,871		4,994,396
Atlas Copco AB, A Shares		290,455		11,394,923
Essity AB, Class B (2)		388,950		10,805,748
				27,195,067
Switzerland — 12.8%
Givaudan SA		2,031		4,152,294
Nestle SA		247,323		20,988,864
Novartis AG		208,655		17,597,961
Panalpina Welttransport Holding AG (1)		36,698		4,836,833
Roche Holding AG		73,846		18,821,988
Schindler Holding AG		19,288		4,133,202
SGS SA		1,731		3,869,763
Zurich Insurance Group AG		29,953		8,967,447
				83,368,352
Taiwan — 3.7%
Advantech Co., Ltd.		735,118		5,436,616
Chunghwa Telecom Co., Ltd.		2,287,000		7,952,519
Merida Industry Co., Ltd.		435,000		1,916,742
Taiwan Semiconductor Manufacturing Co., Ltd.		1,236,000		8,897,733
				24,203,610
United Kingdom — 15.0%
BP PLC		893,351		5,159,387
British American Tobacco PLC		177,810		11,087,620
GlaxoSmithKline PLC		469,365		9,310,633
Imperial Brands PLC		153,279		6,339,116
Legal & General Group PLC		2,963,333		9,966,913
National Grid PLC		1,057,267		13,317,494
Royal Dutch Shell PLC, A Shares		299,726		8,261,590
Royal Dutch Shell PLC, B Shares		221,646		6,194,543
SSE PLC		426,361		7,854,000
United Utilities Group PLC		814,394		9,578,885
Vodafone Group PLC		3,662,383		10,476,087
				97,546,268
Total Common Stocks (identified cost $522,880,624)				585,882,515
Preferred Stocks — 1.6%
Germany — 1.6%
Fuchs Petrolub SE (1)		182,577		10,159,146
Total Preferred Stocks (identified cost $6,602,641)				10,159,146
Short-Term Investments — 6.9%
Collateral Investment for Securities on Loan — 2.8%
State Street Navigator Securities Lending Government Money Market Portfolio, 0.994% (3)		18,127,685		18,127,685

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

60

BMO Funds

Pyrford International Stock Fund (continued)

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 4.1%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.150%		26,855,802	$	26,855,802
Total Short-Term Investments (identified cost $44,985,600)				44,983,487
Total Investments — 98.7% (identified cost $574,468,865)				641,025,148
Other Assets and Liabilities — 1.3%				8,714,437
Total Net Assets — 100.0%			$	649,739,585

Industry Allocation
Industry	Value		% of Total Net Assets
Agriculture	$	27,949,999		4.3	%
Auto Parts & Equipment		7,165,584		1.1
Banks		17,288,278		2.7
Chemicals		21,723,318		3.3
Commercial Services		31,500,572		4.8
Computers		16,010,504		2.5
Cosmetics/Personal Care		22,878,852		3.5
Distribution/Wholesale		4,929,780		0.8
Electric		13,418,695		2.1
Electrical Components & Equipment		7,134,188		1.1
Electronics		4,994,396		0.8
Engineering & Construction		7,465,458		1.2
Food		33,484,962		5.2
Gas		19,083,180		2.9
Hand/Machine Tools		4,133,202		0.6
Healthcare-Products		7,678,088		1.2
Insurance		39,674,225		6.1
Leisure Time		1,916,741		0.3
Machinery-Construction & Mining		20,952,749		3.2
Machinery-Diversified		12,001,375		1.8
Mining		12,471,239		1.9
Oil & Gas		46,390,384		7.1
Pharmaceuticals		57,021,465		8.8
Pipelines		7,451,751		1.1
Retail		3,683,914		0.6
Semiconductors		9,777,772		1.5
Shipbuilding		5,000,729		0.8
Software		8,325,610		1.3
Telecommunications		83,129,043		12.8
Transportation		21,667,577		3.3
Water		9,578,885		1.5
Total Common Stocks		585,882,515		90.2
Preferred Stocks		10,159,146		1.6
Collateral Investment for Securities on Loan		18,127,685		2.8
Mutual Funds		26,855,802		4.1
Total Investments		641,025,148		98.7
Other Assets and Liabilities		8,714,437		1.3
Total Net Assets	$	649,739,585		100.0	%

LGM Emerging Markets Equity Fund

Description	Shares		Value
Common Stocks — 91.1%
Bermuda — 3.9%
Credicorp, Ltd.		11,938	$	2,421,504
Dairy Farm International Holdings, Ltd.		483,415		3,919,033
				6,340,537
Brazil — 1.0%
CCR SA		298,400		1,655,118
Cayman Islands — 2.0%
Sands China, Ltd.		725,200		3,249,913
Chile — 1.7%
Aguas Andinas SA, Class A		4,263,203		2,738,855
China — 2.2%
Foshan Haitian Flavouring & Food Co., Ltd., Class A		587,000		3,609,517
Egypt — 4.0%
Commercial International Bank Egypt SAE GDR		1,265,531		5,784,314
Edita Food Industries SAE GDR		131,694		691,394
				6,475,708
Hong Kong — 2.7%
AIA Group, Ltd.		569,400		4,372,616
India — 22.2%
Colgate-Palmolive India, Ltd.		96,303		1,684,442
Container Corp. Of India, Ltd.		42,312		873,460
Emami, Ltd.		269,911		4,574,105
Hindustan Unilever, Ltd.		91,123		1,733,562
Housing Development Finance Corp., Ltd.		177,246		4,932,117
ICICI Bank, Ltd.		1,150,310		5,391,605
ITC, Ltd.		1,177,734		5,200,175
Nestle India, Ltd.		21,848		2,428,500
Pidilite Industries, Ltd.		129,835		1,706,765
Titan Co., Ltd.		212,221		2,054,899
Yes Bank, Ltd.		197,638		5,405,933
				35,985,563
Indonesia — 11.3%
Bank Mandiri Persero Tbk PT		7,009,304		6,894,865
Bank Rakyat Indonesia Persero Tbk PT		5,516,100		6,264,824
Hanjaya Mandala Sampoerna Tbk PT		5,174,800		1,410,397
Kalbe Farma Tbk PT		18,977,100		2,432,436
Unilever Indonesia Tbk PT		352,100		1,333,545
				18,336,067
Kenya — 0.5%
East African Breweries, Ltd.		317,471		802,539
Malaysia — 3.7%
British American Tobacco Malaysia Bhd		445,200		4,606,137
Public Bank Bhd		277,300		1,339,169
				5,945,306
Mexico — 10.1%
Bolsa Mexicana de Valores SAB de C.V. (1)		1,817,373		3,134,795
Grupo Financiero Banorte SAB de C.V., Class O		572,875		3,909,043
Grupo Herdez SAB de C.V. (1)		555,373		1,360,534
Wal-Mart de Mexico SAB de C.V.		3,287,211		7,997,745
				16,402,117

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

61

August 31, 2017

Schedules of Investments

LGM Emerging Markets Equity Fund (continued)

Description	Shares or Units		Value
Common Stocks (continued)
Nigeria — 1.0%
Guaranty Trust Bank PLC		15,198,387	$	1,658,823
Philippines — 3.6%
Universal Robina Corp.		2,046,650		5,843,654
South Africa — 6.4%
Clicks Group, Ltd.		253,311		2,898,622
Famous Brands, Ltd.		109,124		991,371
Mr Price Group, Ltd.		461,564		6,432,264
				10,322,257
Taiwan — 2.1%
President Chain Store Corp.		416,000		3,488,268
Thailand — 0.9%
Kasikornbank PCL		255,869		1,548,853
Turkey — 3.5%
BIM Birlesik Magazalar AS		259,893		5,760,591
United States — 7.3%
PriceSmart, Inc.		29,900		2,429,375
Western Union Co.		164,589		3,114,024
Yum China Holdings, Inc. (2)		178,293		6,304,440
				11,847,839
Vietnam — 1.0%
Vietnam Dairy Products JSC		248,570		1,622,909
Total Common Stocks (identified cost $111,114,602)				148,007,050
Common Stock Units — 2.4%
Mexico — 2.4%
Fomento Economico Mexicano SAB de C.V.		383,200		3,837,734
Total Common Stock Units (identified cost $3,169,741)				3,837,734
Participation Notes — 2.6%
United States — 2.6%
Vietnam Dairy Products JSC, Issued by Citigroup Global Markets Holding, Maturity Date 2/8/2018 (5)		641,463		4,187,718
Total Participation Notes (identified cost $2,536,119)				4,187,718
Short-Term Investments — 4.2%
Collateral Investment for Securities on Loan — 0.3%
State Street Navigator Securities Lending Government Money Market Portfolio, 0.994% (3)		512,972		512,972
Mutual Funds — 3.9%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.150%		6,268,485		6,268,485
Total Short-Term Investments (identified cost $6,781,960)				6,781,457
Total Investments — 100.3% (identified cost $123,602,422)				162,813,959
Other Assets and Liabilities — (0.3)%				(457,148	)
Total Net Assets — 100.0%			$	162,356,811

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	11,216,709			6.9	%
Banks		40,618,933			25.0
Beverages		802,539			0.5
Commercial Services		4,769,142			2.9
Cosmetics/Personal Care		1,684,442			1.0
Diversified Financial Services		8,066,912			5.0
Food		25,236,131			15.5
Household Products/Wares		3,067,107			1.9
Insurance		4,372,617			2.7
Lodging		3,249,913			2.0
Miscellaneous Manufacturing		1,706,765			1.1
Pharmaceuticals		7,006,541			4.3
Retail		32,596,984			20.1
Transportation		873,460			0.5
Water		2,738,855			1.7
Total Common Stocks		148,007,050			91.1
Common Stock Units		3,837,734			2.4
Participation Notes		4,187,718			2.6
Collateral Investment for Securities on Loan		512,972			0.3
Mutual Funds		6,268,485			3.9
Total Investments		162,813,959			100.3
Other Assets and Liabilities		(457,148	)		(0.3	)
Total Net Assets	$	162,356,811			100.0	%

TCH Emerging Markets Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 55.0%
Austria — 1.8%
Suzano Austria GmbH, 5.750%, 7/14/2026 (1)(6)	$	200,000	$	217,000
British Virgin Islands — 3.2%
China Cinda Finance 2014, Ltd., 5.625%, 5/14/2024 (6)		200,000		223,634
GTL Trade Finance, Inc., 5.893%, 4/29/2024 (6)		150,000		159,750
				383,384
Canada — 1.8%
Kinross Gold Corp.:
5.125%, 9/1/2021 (1)		50,000		53,380
6.875%, 9/1/2041		150,000		161,625
				215,005
Cayman Islands — 4.2%
Batelco International Finance No. 1, Ltd., 4.250%, 5/1/2020		200,000		201,236
Odebrecht Finance, Ltd., 7.125%, 6/26/2042 (6)		200,000		82,000
Vale Overseas, Ltd., 4.375%, 1/11/2022		200,000		211,250
				494,486
Chile — 1.8%
Empresa de Transporte de Pasajeros Metro SA, 5.000%, 1/25/2047 (6)		200,000		219,578

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

62

BMO Funds

TCH Emerging Markets Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Colombia — 3.4%
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022	$	200,000	$	206,000
Ecopetrol SA, 5.875%, 5/28/2045		200,000		195,370
				401,370
Costa Rica — 1.8%
Banco Nacional de Costa Rica, 6.250%, 11/1/2023		200,000		210,040
Georgia — 2.3%
Georgian Railway JSC, 7.750%, 7/11/2022 (6)		250,000		276,310
Hungary — 1.7%
Magyar Export-Import Bank Zrt, 4.000%, 1/30/2020 (6)		200,000		207,522
Indonesia — 1.7%
Pelabuhan Indonesia II PT, 4.250%, 5/5/2025 (1)(6)		200,000		205,680
Kazakstan — 3.5%
Eurasian Development Bank, 4.767%, 9/20/2022 (6)		200,000		208,845
KazMunayGas National Co. JSC, 3.875%, 4/19/2022 (6)		200,000		204,300
				413,145
Luxembourg — 3.5%
Gazprom Neft OAO Via GPN Capital SA, 6.000%, 11/27/2023 (6)		200,000		219,557
Minerva Luxembourg SA, 6.500%, 9/20/2026 (6)		200,000		201,360
				420,917
Mexico — 9.2%
Alfa SAB de CV, 6.875%, 3/25/2044 (6)		200,000		223,750
Comision Federal de Electricidad, 4.750%, 2/23/2027 (6)		300,000		312,000
Nemak SAB de CV, 5.500%, 2/28/2023 (6)		250,000		257,500
Petroleos Mexicanos:
6.375%, 2/4/2021		100,000		110,600
5.625%, 1/23/2046		200,000		188,800
				1,092,650
Morocco — 1.9%
OCP SA, 6.875%, 4/25/2044 (6)		200,000		226,608
Netherlands — 1.9%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		200,000		223,708
Peru — 1.8%
Corp Financiera de Desarrollo SA, 4.750%, 7/15/2025 (6)		200,000		216,750
South Africa — 2.1%
Transnet SOC, Ltd., 4.000%, 7/26/2022 (6)		250,000		247,026
Turkey — 5.2%
Coca-Cola Icecek AS, 4.750%, 10/1/2018 (6)		200,000		205,111

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Turkey (continued)
TC Ziraat Bankasi AS, 4.250%, 7/3/2019 (6)	$	200,000	$	202,600
Turk Telekomunikasyon AS, 4.875%, 6/19/2024 (6)		200,000		205,092
				612,803
United Kingdom — 2.2%
Standard Chartered PLC, 3.950%, 1/11/2023 (6)		250,000		256,524
Total Corporate Bonds & Notes (identified cost $6,314,604)				6,540,506
International Bonds — 41.5%
Argentina — 3.6%
Argentine Republic Government International Bond:
5.625%, 1/26/2022		200,000		209,700
6.875%, 1/26/2027 (1)		200,000		215,800
				425,500
Armenia — 3.2%
Republic of Armenia, 6.000%, 9/30/2020 (1)(6)		362,000		385,092
Bahamas — 1.8%
Bahamas Government International Bond, 5.750%, 1/16/2024		200,000		211,500
Bahrain — 1.5%
Bahrain Government International Bond, 6.000%, 9/19/2044 (1)(6)		200,000		175,192
Bolivia — 2.1%
Bolivian Government International Bond, 4.500%, 3/20/2028 (6)		250,000		246,562
Brazil — 1.9%
Brazilian Government International Bond, 6.000%, 4/7/2026		200,000		222,300
Costa Rica — 1.5%
Costa Rica Government International Bond, 5.625%, 4/30/2043 (6)		200,000		182,750
Cote d’Ivoire — 2.1%
Ivory Coast Government International Bond, 6.125%, 6/15/2033		250,000		250,000
Croatia — 1.9%
Croatia Government International Bond, 5.500%, 4/4/2023 (6)		200,000		222,493
Dominican Republic — 2.3%
Dominican Republic International Bond:
5.875%, 4/18/2024 (6)		100,000		108,750
5.950%, 1/25/2027 (6)		150,000		163,125
				271,875
Ethiopia — 1.7%
Federal Democratic Republic of Ethiopia, 6.625%, 12/11/2024 (6)		200,000		205,071
Indonesia — 2.1%
Perusahaan Penerbit SBSN Indonesia III, 3.300%, 11/21/2022		250,000		255,312

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

63

August 31, 2017

Schedules of Investments

TCH Emerging Markets Bond Fund (continued)

Description	Shares or Principal Amount		Value
International Bonds (continued)
Namibia — 1.7%
Namibia International Bonds, 5.250%, 10/29/2025 (6)	$	200,000	$	205,430
Oman — 1.7%
Oman Government International Bond, 4.750%, 6/15/2026 (1)(6)		200,000		200,050
Paraguay — 1.8%
Paraguay Government International Bond, 4.625%, 1/25/2023 (6)		200,000		212,000
Rwanda — 1.8%
Rwanda International Government Bond, 6.625%, 5/2/2023 (6)		200,000		209,492
Saudi Arabia — 1.7%
Saudi Government International Bond, 4.500%, 10/26/2046 (6)		200,000		205,935
Sri Lanka — 1.7%
Sri Lanka Government International Bond, 6.000%, 1/14/2019 (6)		200,000		207,614
Turkey — 3.6%
Export Credit Bank of Turkey, 5.000%, 9/23/2021 (6)		200,000		206,279
Turkey Government International Bond, 6.000%, 3/25/2027		200,000		219,490
				425,769
Vietnam — 1.8%
Vietnam Government International Bond, 4.800%, 11/19/2024 (6)		200,000		212,781
Total International Bonds (identified cost $4,769,923)				4,932,718
Short-Term Investments — 9.9%
Collateral Investment for Securities on Loan — 8.6%
State Street Navigator Securities Lending Government Money Market Portfolio, 0.994% (3)		1,016,625		1,016,625
Mutual Funds — 1.3%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.150%		153,700		153,701
Total Short-Term Investments (identified cost $1,170,330)				1,170,326
Total Investments — 106.4% (identified cost $12,254,857)				12,643,550
Other Assets and Liabilities — (6.4)%				(760,017	)
Total Net Assets — 100.0%			$	11,883,533

Industry Allocation
Industry	Value			% of Total Net Assets
Auto Parts & Equipment	$	257,500			2.2	%
Banks		885,914			7.5
Beverages		205,111			1.7
Chemicals		226,608			1.9
Diversified Financial Services		223,634			1.9
Electric		312,000			2.6
Engineering & Construction		82,000			0.7
Food		201,360			1.7
Forest Products & Paper		217,000			1.8
Holding Companies-Diversified		223,750			1.9
Iron/Steel		371,000			3.1
Mining		215,005			1.8
Multi-National		208,845			1.8
Oil & Gas		918,627			7.7
Sovereign		207,522			1.7
Telecommunications		612,328			5.1
Transportation		1,172,302			9.9
Total Corporate Bonds & Notes		6,540,506			55.0
International Bonds		4,932,718			41.5
Collateral Investment for Securities on Loan		1,016,625			8.6
Mutual Funds		153,701			1.3
Total Investments		12,643,550			106.4
Other Assets and Liabilities		(760,017	)		(6.4	)
Total Net Assets	$	11,883,533			100.0	%

Alternative Strategies Fund

Description	Principal Amount		Value
Bank Loans Purchased Long — 4.7%
Canada — 0.3%
Valeant Pharmaceuticals International, Inc., 5.990% (US LIBOR+475 basis points), 4/1/2022 (7)	$	228,279	$	232,429
Jersey — 0.0%
Cyan Blue Holdco 3, Ltd., 4.818% (US LIBOR+350 basis points), 7/26/2024 (7)(8)		11,000		11,086
Netherlands — 0.0%
Diamond (BC) B.V., 4.818% (US LIBOR+350 basis points), 7/12/2024 (7)(8)		25,000		24,883
United States — 4.4%
21st Century Oncology Holdings, Inc., 7.425% (US LIBOR+613 basis points), 4/30/2022 (7)(9)		185,171		175,449
Air Newco LLC, 6.816% (US LIBOR+550 basis points), 3/18/2022 (7)		193,882		191,943
Almonde, Inc., 8.567% (US LIBOR+725 basis points), 6/13/2025 (7)		30,000		30,637
American Bath Group LLC, 6.546% (US LIBOR+525 basis points), 9/30/2023 (7)		130,343		130,180
AP Exhaust Acquisition LLC, 6.309% (US LIBOR+500 basis points), 5/10/2024 (7)		14,963		14,738

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

64

BMO Funds

Alternative Strategies Fund (continued)

Description	Principal Amount		Value
Bank Loans Purchased Long (continued)
United States (continued)
Centurylink, Inc., 6.318% (US LIBOR+500 basis points), 2/17/2018 (7)(8)	$	300,000	$	300,000
Chief Power Finance LLC, 5.990% (US LIBOR+475 basis points), 12/31/2020 (7)		52,730		34,472
Confie Seguros Holding II Co.:
6.739% (US LIBOR+550 basis points), 4/19/2022 (7)		176,115		174,618
11.046% (US LIBOR+975 basis points), 5/8/2019 (7)		126,000		124,425
CPI International, Inc., 4.734% (US LIBOR+350 basis points), 7/26/2024 (7)		49,000		48,980
Del Monte Foods, Inc., 4.570% (US LIBOR+325 basis points), 2/18/2021 (7)		15,877		13,059
Duff & Phelps Corp., 9.796% (US LIBOR+850 basis points), 4/23/2021 (7)		51,750		52,267
Duravant LLC:
4.485% (US LIBOR+325 basis points), 7/19/2024 (7)		5,522		5,527
4.556% (US LIBOR+325 basis points), 7/19/2024 (7)(8)		103,478		103,575
8.556% (US LIBOR+725 basis points), 7/18/2025 (7)(8)		30,000		30,263
GenOn Energy, Inc., 11.458% (US LIBOR+1,014 basis points), 6/12/2018 (7)(8)		662,000		662,000
Global Tel*Link Corp.:
5.296% (US LIBOR+400 basis points), 5/23/2020 (7)		17,000		17,162
9.046% (US LIBOR+775 basis points), 11/23/2020 (7)		71,000		70,882
Harland Clarke Holdings Corp., 6.796% (US LIBOR+550 basis points), 2/9/2022 (7)		95,396		95,973
HD Supply Waterworks, Ltd., 4.455% (US LIBOR+300 basis points), 8/1/2024 (7)		65,000		65,244
Highland Acquisitions Holdings LLC, 6.739% (US LIBOR+550 basis points), 11/30/2022 (7)		189,101		190,835
Invenergy Thermal Operating I LLC, 6.796% (US LIBOR+550 basis points), 10/19/2022 (7)		17,307		16,614
Ocwen Loan Servicing LLC, 6.231% (US LIBOR+500 basis points), 12/5/2020 (7)		156,987		156,536
Proampac PG Borrower LLC, 9.816% (US LIBOR+850 basis points), 11/18/2024 (7)		122,000		124,478
Quorum Health Corp., 8.067% (US LIBOR+675 basis points), 4/29/2022 (7)		175,974		177,790
Securus Technologies Holdings, Inc., 9.000% (US LIBOR+775 basis points), 4/30/2021 (7)		70,000		70,379
Southcross Energy Partners LP, 5.546% (US LIBOR+425 basis points), 8/4/2021 (7)		87,786		77,636

Description	Shares or Principal Amount		Value
Bank Loans Purchased Long (continued)
United States (continued)
StandardAero Aviation Holdings, Inc., 5.068% (US LIBOR+375 basis points), 7/7/2022 (7)(8)	$	22,000	$	22,103
SunEdison, Inc.:
8.739% (US LIBOR+750 basis points), 5/2/2018 (7)		559,696		560,255
11.318% (US LIBOR+1,000 basis points), 7/2/2018 (7)(9)		40,059		4,574
13.318% (US LIBOR+1,200 basis points), 5/2/2018 (7)(8)		161,888		162,293
TKC Holdings, Inc., 9.239% (US LIBOR+800 basis points), 2/1/2024 (7)		21,000		21,095
Walter Investment Management Corp., 4.989% (US LIBOR+375 basis points), 12/18/2020 (7)		338,031		314,001
				4,239,983
Total Bank Loans Purchased Long (identified cost $4,463,636)				4,508,381
Common Stocks Purchased Long — 42.4%
Australia — 0.1%
Regis Resources, Ltd.		24,998		82,605
Bermuda — 0.3%
Argo Group International Holdings, Ltd.		1,667		100,354
Aspen Insurance Holdings, Ltd.		3,105		140,346
Everest Re Group, Ltd.		188		47,466
Syncora Holdings, Ltd. (2)		5,417		12,838
				301,004
Canada — 0.7%
Air Canada (2)		480		8,972
BlackBerry, Ltd. (2)		35,570		329,734
Celestica, Inc. (2)		3,022		34,679
George Weston, Ltd.		1,762		153,137
Just Energy Group, Inc.		3,322		19,180
Pure Industrial Real Estate Trust		9,001		47,717
Transcontinental, Inc.		1,719		33,451
				626,870
Cayman Islands — 0.0%
China Dongxiang Group Co., Ltd.		159,000		28,448
China — 0.1%
Agricultural Bank of China, Ltd., Class H		48,000		22,652
China Machinery Engineering Corp., Class H		55,000		36,147
				58,799
Denmark — 0.0%
Novo Nordisk A/S		636		30,364
France — 0.2%
Boiron SA		398		37,603
IPSOS		987		30,856
Peugeot SA		2,188		46,253
Sanofi		356		34,759
				149,471
Germany — 0.1%
Hamburger Hafen und Logistik AG		540		17,204
Software AG		2,444		107,408
				124,612
Hungary — 0.1%
Richter Gedeon Nyrt		3,288		85,559

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

65

August 31, 2017

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
Ireland — 2.3%
Adient PLC		4,370	$	308,872
Allergan PLC (10)		3,753		861,238
Johnson Controls International PLC (10)		26,290		1,040,821
Seagate Technology PLC		1,025		32,318
				2,243,249
Italy — 0.1%
Amplifon SpA		4,951		71,640
ASTM SpA		895		22,574
Societa Iniziative Autostradali e Servizi SpA		1,940		28,993
				123,207
Japan — 1.2%
Fujibo Holdings, Inc.		800		24,481
Futaba Corp.		2,000		37,059
Heiwado Co., Ltd.		4,700		109,887
Kato Sangyo Co., Ltd.		600		17,706
Keihin Corp.		3,100		51,189
Mitsui Sugar Co., Ltd.		1,000		34,098
Nippon Road Co., Ltd.		2,000		11,150
Nippon Telegraph & Telephone Corp. (10)		3,900		194,269
Nipro Corp.		6,200		82,213
Nissan Motor Co., Ltd.		7,000		69,729
Okinawa Electric Power Co., Inc.		800		17,888
Paramount Bed Holdings Co., Ltd.		2,400		106,548
Press Kogyo Co., Ltd.		5,800		30,514
Sapporo Holdings, Ltd. (10)		6,600		192,035
Shimachu Co., Ltd.		2,100		54,315
Wakita & Co., Ltd.		2,900		33,758
Warabeya Nichiyo Holdings Co., Ltd.		1,400		35,219
Yorozu Corp.		1,200		23,758
				1,125,816
Jersey — 0.6%
Delphi Automotive PLC (10)		5,495		529,718
Wizz Air Holdings PLC (2)(6)		860		32,783
				562,501
Luxembourg — 0.2%
Orion Engineered Carbons SA		1,537		33,046
Ternium SA		2,414		73,458
Trinseo SA		1,589		106,304
				212,808
Netherlands — 0.6%
BE Semiconductor Industries NV (10)		2,449		158,967
Boskalis Westminster		2,986		97,647
Playa Hotels & Resorts NV (2)		31,740		329,144
				585,758
New Zealand — 0.1%
Air New Zealand, Ltd.		43,483		111,694
Norway — 0.0%
Austevoll Seafood ASA		3,803		39,344
Panama — 0.1%
Copa Holdings SA, Class A		506		62,779
Singapore — 0.7%
Broadcom, Ltd.		1,769		445,912
Flex, Ltd. (2)		10,525		171,242
Yanlord Land Group, Ltd.		21,100		26,943
				644,097

Description	Shares		Value
Common Stocks Purchased Long (continued)
Sweden — 0.0%
Mycronic AB		3,697	$	34,787
United Kingdom — 0.4%
Debenhams PLC		30,024		15,622
DFS Furniture PLC		5,073		15,646
Go-Ahead Group PLC		1,369		31,887
Greggs PLC		2,858		44,492
Imperial Brands PLC		2,002		82,796
QinetiQ Group PLC		14,895		44,296
WH Smith PLC		4,118		98,414
				333,153
United States — 34.5%
Aetna, Inc.		1,825		287,802
Air Products & Chemicals, Inc.		2,305		335,078
Allegheny Technologies, Inc.		11,795		245,690
Allscripts Healthcare Solutions, Inc. (2)		12,600		165,564
American International Group, Inc.		3,935		237,989
Amkor Technology, Inc. (2)		4,430		38,895
ArcBest Corp. (10)		6,126		181,942
Armstrong World Industries, Inc. (2)		8,215		390,212
Artec Group, Inc.		3,308		67,814
Atmos Energy Corp.		3,805		334,992
AutoZone, Inc. (2)(10)		1,994		1,053,709
Ball Corp.		10,229		409,058
Bank of America Corp.		13,785		329,324
Best Buy Co., Inc.		1,505		81,661
Bio-Rad Laboratories, Inc., Class A (2)(10)		2,370		516,233
Boston Properties, Inc. (10)		1,376		165,946
Cabot Corp.		2,892		152,351
Casey’s General Stores, Inc.		2,370		249,845
Chemed Corp.		464		91,543
CNO Financial Group, Inc. (10)		8,437		188,567
Cooper-Standard Holdings, Inc. (2)		707		71,110
CSX Corp.		7,980		400,596
Cutera, Inc. (2)		1,463		54,350
Danaher Corp. (10)		9,340		779,143
Delta Air Lines, Inc.		2,670		125,997
Discover Financial Services		1,505		88,720
Dover Corp. (10)		9,420		799,570
Dun & Bradstreet Corp. (10)		7,595		846,387
Eagle Pharmaceuticals, Inc. (2)(10)		6,830		372,645
Edgewell Personal Care Co. (2)(10)		7,040		534,618
Emergent BioSolutions, Inc. (2)		2,847		106,278
Employers Holdings, Inc.		1,299		54,753
Ennis, Inc.		2,358		45,038
Equinix, Inc. (10)		403		188,769
F5 Networks, Inc. (2)		310		37,008
FedEx Corp.		2,380		510,224
FLIR Systems, Inc.		10,285		390,830
GameStop Corp., Class A		1,612		29,822
GCP Applied Technologies, Inc. (2)(10)		13,220		373,465
General Dynamics Corp. (10)		2,620		527,537
Halozyme Therapeutics, Inc. (2)(10)		26,798		348,642
HD Supply Holdings, Inc. (2)		14,028		467,132
Highwoods Properties, Inc.		1,310		68,421
HP, Inc.		13,940		265,975
Huntington Ingalls Industries, Inc.		627		134,153
INC Research Holdings, Inc. (2)		1,104		64,805
Inogen, Inc. (2)		711		68,114
Intercontinental Exchange, Inc.		5,015		324,320
International Paper Co.		5,280		284,434
Intersect ENT, Inc. (2)		268		8,281
Intrexon Corp. (2)		9,025		178,063
KLX, Inc. (2)		6,165		295,550
Kraft Heinz Co.		2,005		161,904
La Quinta Holdings, Inc. (2)(10)		34,075		538,385

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

66

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
United States (continued)
Lantheus Holdings, Inc. (2)		1,949	$	34,107
Lear Corp. (10)		1,228		183,635
LeMaitre Vascular, Inc.		1,486		54,090
Louisiana-Pacific Corp. (2)		10,765		274,292
Lumentum Holdings, Inc. (2)		7,775		442,009
Magellan Health, Inc. (2)		1,134		91,741
Marathon Petroleum Corp. (10)		12,415		651,167
Martin Marietta Materials, Inc.		2,336		495,209
Masimo Corp. (2)(10)		2,094		176,692
MBIA, Inc. (2)		7,740		77,864
Medicines Co. (2)		4,800		176,112
Merit Medical Systems, Inc. (2)(10)		3,790		156,527
MGM Resorts International (10)		13,045		429,963
Microchip Technology, Inc.		4,515		391,902
Mohawk Industries, Inc. (2)		1,415		358,165
Molina Healthcare, Inc. (2)		1,736		111,104
Mondelez International, Inc.		8,460		343,984
Murphy USA, Inc. (2)		4,082		263,126
Natus Medical, Inc. (2)		1,119		37,598
NCR Corp. (2)		2,150		78,539
NextEra Energy, Inc.		2,265		340,905
Norfolk Southern Corp. (10)		4,830		582,112
Olin Corp. (10)		13,185		424,953
OraSure Technologies, Inc. (2)		4,212		85,967
Orbital ATK, Inc.		2,970		331,393
Owens Corning		5,971		442,630
PennyMac Financial Services, Inc., Class A (2)		2,121		36,057
PG&E Corp. (10)		2,391		168,279
Photronics, Inc. (2)		3,286		25,959
PNM Resources, Inc.		3,219		136,486
Portland General Electric Co. (10)		3,780		179,588
Post Holdings, Inc. (2)		3,900		332,007
PPG Industries, Inc.		2,980		310,874
PTC, Inc. (2)		4,890		273,840
PVH Corp. (10)		4,365		549,510
Quanta Services, Inc. (2)		2,094		75,237
Raymond James Financial, Inc.		1,226		96,020
Rogers Corp. (2)		577		68,403
Rush Enterprises, Inc., Class A (2)		1,791		73,413
S&P Global, Inc.		2,135		329,495
Sanmina Corp. (2)		300		11,235
SBA Communications Corp., Class A (2)(10)		4,410		677,155
Sealed Air Corp. (10)		7,670		340,395
Selective Insurance Group, Inc.		2,377		119,801
Six Flags Entertainment Corp.		7,955		434,104
Steel Dynamics, Inc.		644		22,186
Supernus Pharmaceuticals, Inc. (2)		1,872		85,738
Sykes Enterprises, Inc. (2)		2,146		57,212
Sysco Corp.		1,470		77,425
Tiffany & Co. (10)		5,575		509,555
Total System Services, Inc. (10)		10,080		696,730
TriCo Bancshares		888		31,595
Tyson Foods, Inc., Class A		818		51,779
United Rentals, Inc. (2)		1,354		159,853
Univar, Inc. (2)(10)		16,275		459,118
Unum Group		3,017		145,359
Vail Resorts, Inc.		1,400		319,130
Versum Materials, Inc.		4,800		177,264
Vishay Intertechnology, Inc.		6,305		111,598
Visteon Corp. (2)(10)		4,060		468,686
Wabash National Corp.		5,881		123,619
WellCare Health Plans, Inc. (2)		688		120,180
Wells Fargo & Co.		6,830		348,808

Description	Shares, Contracts, Principal Amount, or Units		Value
Common Stocks Purchased Long (continued)
United States (continued)
Western Digital Corp. (10)		10,595	$	935,221
WR Grace & Co.		10,850		775,558
Wyndham Worldwide Corp.		3,425		341,404
Yum China Holdings, Inc. (2)		5,364		189,671
Zimmer Biomet Holdings, Inc.		3,760		429,655
				32,980,242
Total Common Stocks Purchased Long (identified cost $37,597,559)				40,547,167
Convertible Bonds Purchased Long — 0.1%
United States — 0.1%
Ascent Capital Group, Inc., 4.000%, 7/15/2020	$	158,000		124,820
Total Convertible Bonds Purchased Long (identified cost $113,677)				124,820
Corporate Bonds & Notes Purchased Long — 0.6%
Luxembourg — 0.2%
ABG Orphan Holdco SARL, 14.000%, 2/28/2021		181,000		192,765
United States — 0.4%
ASP AMC Merger Sub, Inc., 8.000%, 5/15/2025 (6)		136,000		129,880
CEDC Finance Corp. International, Inc., 10.000%, 12/31/2022 (6)		263,959		253,401
Midstates Petroleum Co., Inc., 10.000%, 6/1/2020 (9)		72,000		0
				383,281
Total Corporate Bonds & Notes Purchased Long (identified cost $585,137)				576,046
Limited Partnership Units Purchased Long — 0.7%
United States — 0.7%
CrossAmerica Partners LP		19,755		529,434
DCP Midstream LP, Class A		2,962		95,110
Total Limited Partnership Units Purchased Long (identified cost $586,016)				624,544
Mutual Funds Purchased Long — 0.9%
United States — 0.9%
Altaba, Inc. (2)		13,270		850,342
Total Mutual Funds Purchased Long (identified cost $523,651)				850,342
Purchased Call Options — 0.6%
United States — 0.6%
MBIA, Inc., Exercise Price: $9.00, Notional: $162,000, 1/19/2018 (2)		180		29,070
Perrigo Co. PLC, Exercise Price: $50.00, Notional: $205,000, 1/19/2018 (2)		41		118,490
S&P 500 Index:
Exercise Price: $2,445.00, Notional: $6,846,000, 9/15/2017 (2)		28		99,400
Exercise Price: $2,470.00, Notional: $11,856,000, 9/15/2017 (2)		48		67,200
Exercise Price: $2,450.00, Notional: $980,000, 9/15/2017 (2)		4		11,200

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

67

August 31, 2017

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares, Contracts, or Principal Amount			Value
Purchased Call Options (continued)
United States (continued)
Exercise Price: $2,430.00, Notional: $11,178,000, 9/15/2017 (2)		46		$	204,700
Exercise Price: $2,425.00, Notional: $2,182,500, 9/15/2017 (2)		9			44,055
Total Purchased Call Options (identified cost $636,934)					574,115
Purchased Put Options — 0.3%
United States — 0.3%
General Dynamics Corp., Exercise Price: $195.00, Notional: $175,500, 9/15/2017 (2)		9			513
iShares Russell 2000 ETF, Exercise Price: $130.00, Notional: $2,353,000, 9/29/2017 (2)		181			5,792
Medicines Co., Exercise Price: $38.00, Notional: $182,400, 9/15/2017 (2)		48			11,040
S&P 500 Index:
Exercise Price: $2,465.00, Notional: $5,176,500, 9/15/2017 (2)		21			25,200
Exercise Price: $2,475.00, Notional: $29,205,000, 9/15/2017 (2)		118			194,700
Exercise Price: $2,455.00, Notional: $7,856,000, 9/15/2017 (2)		32			30,720
Exercise Price: $2,420.00, Notional: $9,680,000, 9/15/2017 (2)		40			17,000
Total Purchased Put Options (identified cost $809,054)					284,965
Short-Term Investments — 51.9%
Mutual Funds — 38.8%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.150%		37,183,212			37,183,212
U.S. Treasury Bills — 13.1%
United States Treasury Bill, 0.985%, 9/21/2017 (11)	$	12,500,000			12,493,827
Total Short-Term Investments (identified cost $49,677,675)					49,677,039
Total Investments — 102.2% (identified cost $94,993,340)					97,767,419
Other Assets and Liabilities — 17.5%					16,762,897
Securities Sold Short and Written Options (see summary below) — (19.7)%					(18,790,135	)
Total Net Assets — 100.0%				$	95,740,181
Securities Sold Short & Written Options — (19.7)%
Common Stocks Sold Short — (13.6)%
Australia — (0.1)%
Aconex, Ltd. (2)		(6,190	)	$	(20,093	)
Mayne Pharma Group, Ltd. (2)		(80,611	)		(43,016	)

Description	Shares			Value
Securities Sold Short & Written Options (continued)
Common Stocks Sold Short (continued)
Australia (continued)
Nanosonics, Ltd. (2)		(10,765	)	$	(22,376	)
					(85,485	)
Belgium — (0.0)%
Tessenderlo Group SA (2)		(386	)		(16,922	)
Bermuda — (0.0)%
Esprit Holdings, Ltd. (2)		(28,500	)		(16,500	)
Canada — (0.8)%
Canadian Tire Corp. Ltd., Class A		(750	)		(88,769	)
Canadian Western Bank		(5,660	)		(131,443	)
Genworth MI Canada, Inc.		(4,520	)		(130,198	)
Magna International, Inc.		(5,325	)		(256,133	)
National Bank of Canada		(2,700	)		(124,281	)
					(730,824	)
Cayman Islands — (0.0)%
JD.com, Inc. (2)		(1,112	)		(46,604	)
Finland — (0.0)%
Caverion Corp. (2)		(2,098	)		(18,838	)
Germany — (0.2)%
Deutsche Lufthansa AG		(3,870	)		(97,144	)
Zalando SE (2)(6)		(1,850	)		(87,672	)
zooplus AG (2)		(127	)		(22,219	)
					(207,035	)
Ireland — (0.3)%
Eaton Corp. PLC		(2,350	)		(168,636	)
Ingersoll-Rand PLC		(2,015	)		(172,061	)
					(340,697	)
Japan — (0.5)%
ABC-Mart, Inc.		(200	)		(10,290	)
Acom Co., Ltd. (2)		(5,100	)		(20,912	)
Don Quijote Holdings Co., Ltd.		(800	)		(30,441	)
Fuji Seal International, Inc.		(1,700	)		(51,707	)
Hoshizaki Corp.		(900	)		(78,458	)
Kose Corp.		(300	)		(37,714	)
Kura Corp.		(500	)		(27,474	)
M3, Inc.		(1,200	)		(31,342	)
MISUMI Group, Inc.		(3,100	)		(79,879	)
Nippon Paint Holdings Co., Ltd.		(500	)		(17,101	)
Pilot Corp.		(1,000	)		(43,958	)
Prestige International, Inc.		(2,800	)		(30,092	)
SMS Co., Ltd.		(1,600	)		(51,836	)
					(511,204	)
Netherlands — (0.1)%
TomTom NV (2)		(7,107	)		(74,219	)
New Zealand — (0.1)%
Xero, Ltd. (2)		(2,830	)		(53,530	)
Norway — (0.1)%
Schibsted ASA		(2,196	)		(53,367	)
XXL ASA (6)		(2,116	)		(21,206	)
					(74,573	)
Spain — (0.1)%
Cellnex Telecom SA (6)		(2,463	)		(55,030	)
Inmobiliaria Colonial SA		(1,463	)		(14,302	)
					(69,332	)
Sweden — (0.2)%
AAK AB		(467	)		(34,306	)
SKF AB		(8,205	)		(164,108	)
Wallenstam AB		(3,705	)		(37,748	)
					(236,162	)

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

68

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares			Value
Securities Sold Short & Written Options (continued)
Common Stocks Sold Short (continued)
Switzerland — (0.3)%
Arbonia AG (2)		(1,707	)	$	(30,538	)
Roche Holding AG		(855	)		(217,924	)
					(248,462	)
United Kingdom — (0.6)%
Balfour Beatty PLC		(9,279	)		(32,243	)
Capital & Counties Properties PLC		(7,981	)		(27,999	)
Cobham PLC		(50,275	)		(89,290	)
Just Eat PLC (2)		(8,883	)		(76,609	)
LivaNova PLC (2)		(3,175	)		(198,691	)
Serco Group PLC (2)		(28,423	)		(43,278	)
Sophos Group PLC (6)		(10,092	)		(65,760	)
					(533,870	)
United States — (10.2)%
Abiomed, Inc. (2)		(1,150	)		(173,420	)
Acuity Brands, Inc.		(925	)		(163,531	)
Advanced Micro Devices, Inc. (2)		(6,696	)		(87,048	)
Aerovironment, Inc. (2)		(1,529	)		(74,952	)
Albemarle Corp.		(1,415	)		(164,508	)
Allegheny Technologies, Inc.		(2,437	)		(50,763	)
Apartment Investment & Management Co., Class A		(829	)		(37,579	)
Aspen Technology, Inc. (2)		(2,960	)		(187,220	)
Autoliv, Inc.		(1,240	)		(134,689	)
Automatic Data Processing, Inc.		(1,525	)		(162,367	)
B&G Foods, Inc.		(4,615	)		(140,758	)
Bancorp, Inc. (2)		(4,588	)		(36,016	)
Benefitfocus, Inc. (2)		(1,554	)		(47,941	)
Big Lots, Inc.		(2,550	)		(121,380	)
BioScrip, Inc. (2)		(16,177	)		(49,016	)
Brown-Forman Corp., Class B		(1,283	)		(68,050	)
C.H. Robinson Worldwide, Inc.		(2,210	)		(156,092	)
Chesapeake Energy Corp. (2)		(4,022	)		(14,640	)
Children’s Place, Inc.		(1,635	)		(173,555	)
Church & Dwight Co., Inc.		(3,880	)		(194,660	)
Coeur Mining, Inc. (2)		(3,588	)		(31,395	)
Consolidated Edison, Inc.		(2,005	)		(168,961	)
Costco Wholesale Corp.		(1,595	)		(250,000	)
CubeSmart		(8,795	)		(216,797	)
Deltic Timber Corp.		(546	)		(42,610	)
Dominion Energy, Inc.		(2,115	)		(166,599	)
Duke Energy Corp.		(1,940	)		(169,362	)
Duke Realty Corp.		(2,785	)		(82,770	)
Dunkin’ Brands Group, Inc.		(3,170	)		(163,445	)
Education Realty Trust, Inc.		(1,510	)		(58,346	)
Financial Engines, Inc.		(798	)		(26,374	)
Five Below, Inc. (2)		(2,550	)		(121,303	)
Ford Motor Co.		(18,070	)		(199,312	)
GATX Corp.		(1,285	)		(77,845	)
General Mills, Inc.		(4,820	)		(256,713	)
Genuine Parts Co.		(2,040	)		(168,973	)
Guidewire Software, Inc. (2)		(776	)		(58,751	)
H&R Block, Inc.		(2,790	)		(74,605	)
Harmonic, Inc. (2)		(11,984	)		(38,948	)
Hasbro, Inc.		(1,695	)		(166,534	)
Hawaiian Electric Industries, Inc.		(5,045	)		(168,604	)
Hologic, Inc. (2)		(3,170	)		(122,362	)
Hormel Foods Corp.		(5,370	)		(165,074	)
Host Hotels & Resorts, Inc.		(6,970	)		(126,296	)
Instructure, Inc. (2)		(1,697	)		(50,231	)
Intel Corp.		(4,900	)		(171,843	)
Interactive Brokers Group, Inc.		(2,200	)		(92,246	)

Description	Shares or Principal Amount			Value
Securities Sold Short & Written Options (continued)
Common Stocks Sold Short (continued)
United States (continued)
Kansas City Southern		(1,650	)	$	(170,660	)
Kopin Corp. (2)		(7,526	)		(30,255	)
Leggett & Platt, Inc.		(3,705	)		(170,319	)
LSB Industries, Inc. (2)		(3,881	)		(23,674	)
Macerich Co.		(732	)		(38,628	)
Macquarie Infrastructure Corp.		(1,048	)		(78,055	)
McCormick & Co., Inc.		(1,780	)		(169,331	)
NetApp, Inc.		(4,135	)		(159,859	)
Netflix, Inc. (2)		(295	)		(51,539	)
Park Hotels & Resorts, Inc.		(6,655	)		(177,622	)
Patterson Cos., Inc.		(4,450	)		(171,325	)
PHH Corp. (2)		(5,688	)		(80,770	)
Praxair, Inc.		(1,255	)		(165,083	)
PROS Holdings, Inc. (2)		(2,176	)		(57,316	)
Rayonier, Inc.		(2,517	)		(73,018	)
Regal Beloit Corp.		(1,500	)		(113,100	)
Ross Stores, Inc.		(4,615	)		(269,747	)
Scotts Miracle-Gro Co.		(1,780	)		(170,150	)
Senior Housing Properties Trust		(1,923	)		(37,922	)
Sonic Corp.		(6,825	)		(159,773	)
Splunk, Inc. (2)		(566	)		(37,973	)
Symantec Corp.		(9,050	)		(271,319	)
Synaptics, Inc. (2)		(1,900	)		(78,983	)
Target Corp.		(3,775	)		(205,851	)
Tenneco, Inc.		(2,810	)		(152,302	)
TimkenSteel Corp. (2)		(1,892	)		(28,058	)
Titan International, Inc.		(2,874	)		(24,659	)
Tractor Supply Co.		(1,530	)		(91,050	)
United Therapeutics Corp. (2)		(1,360	)		(177,888	)
Verso Corp., Class A (2)		(5,495	)		(29,233	)
Wabtec Corp.		(1,216	)		(85,813	)
WageWorks, Inc. (2)		(2,190	)		(129,100	)
Walt Disney Co.		(1,190	)		(120,428	)
Weyerhaeuser Co.		(1,270	)		(41,415	)
Whirlpool Corp.		(1,370	)		(235,119	)
					(9,751,821	)
Total Common Stocks Sold Short (proceeds $(13,033,260))					(13,016,078	)
Corporate Bonds & Notes Sold Short — (0.2)%
United States — (0.2)%
Flowers Foods, Inc., 4.375%, 4/1/2022	$	(135,000	)		(144,972	)
Total Corporate Bonds & Notes Sold Short (proceeds $(142,621))					(144,972	)
Exchange Traded Funds Sold Short — (4.8)%
United States — (4.8)%
Energy Select Sector SPDR		(4,795	)		(301,941	)
Industrial Select Sector SPDR		(2,870	)		(196,480	)
iShares Russell 2000		(9,365	)		(1,308,571	)
iShares Russell 2000 Growth		(3,485	)		(592,311	)
iShares Russell 2000 Value		(3,195	)		(371,195	)
iShares Russell Mid-Cap		(1,635	)		(315,048	)
iShares Russell Mid-Cap Growth		(3,205	)		(353,640	)
iShares Russell Mid-Cap Value		(1,162	)		(96,620	)
PowerShares QQQ Trust Series 1		(2,975	)		(434,945	)
SPDR S&P 500 Trust		(2,438	)		(603,381	)
Total Exchange Traded Funds Sold Short (proceeds $(4,323,651))					(4,574,132	)

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

69

August 31, 2017

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Contracts			Value
Securities Sold Short & Written Options (continued)
Written Call Options — (0.9)%
United States — (0.9)%
Allergan PLC, Exercise Price: $230.00, Notional: $(23,000), 11/17/2017 (2)		(1	)	$	(1,050	)
Altaba, Inc.:
Exercise Price: $62.50, Notional: $(93,750), 9/15/2017 (2)		(15	)		(3,210	)
Exercise Price: $60.00, Notional: $(54,000), 9/15/2017 (2)		(9	)		(3,870	)
Exercise Price: $57.50, Notional: $(57,500), 9/15/2017 (2)		(10	)		(6,600	)
Exercise Price: $55.00, Notional: $(22,000), 9/15/2017 (2)		(4	)		(3,660	)
Exercise Price: $65.00, Notional: $(78,000), 10/20/2017 (2)		(12	)		(2,460	)
Exercise Price: $62.50, Notional: $(37,500), 10/20/2017 (2)		(6	)		(2,010	)
BlackBerry Ltd.:
Exercise Price: $11.00, Notional: $(5,500), 9/15/2017 (2)		(5	)		(5	)
Exercise Price: $10.00, Notional: $(5,000), 9/15/2017 (2)		(5	)		(30	)
Exercise Price: $9.00, Notional: $(9,900), 12/15/2017 (2)		(11	)		(1,056	)
Eagle Pharmaceuticals, Inc.:
Exercise Price: $55.00, Notional: $(104,500), 9/15/2017 (2)		(19	)		(4,465	)
Exercise Price: $50.00, Notional: $(65,000), 9/15/2017 (2)		(13	)		(6,630	)
Exercise Price: $95.00, Notional: $(209,000), 9/15/2017 (2)		(22	)		(198	)
General Dynamics Corp., Exercise Price: $200.00, Notional: $(180,000), 9/15/2017 (2)		(9	)		(3,060	)
Halozyme Therapeutics, Inc.:
Exercise Price: $12.00, Notional: $(15,600), 9/15/2017 (2)		(13	)		(1,287	)
Exercise Price: $11.00, Notional: $(14,300), 9/15/2017 (2)		(13	)		(2,600	)
Exercise Price: $14.00, Notional: $(25,200), 9/15/2017 (2)		(18	)		(144	)
Exercise Price: $13.00, Notional: $(81,900), 12/15/2017 (2)		(63	)		(6,300	)
Intrexon Corp.:
Exercise Price: $19.00, Notional: $(34,200), 9/15/2017 (2)		(18	)		(2,250	)
Exercise Price: $18.00, Notional: $(32,400), 9/15/2017 (2)		(18	)		(3,582	)
Exercise Price: $24.00, Notional: $(12,000), 9/15/2017 (2)		(5	)		(5	)
iShares Russell 2000 ETF, Exercise Price: $135.00, Notional: $(148,500), 9/15/2017 (2)		(11	)		(5,588	)
KLX, Inc., Exercise Price: $50.00, Notional: $(30,000), 9/15/2017 (2)		(6	)		(222	)
La Quinta Holdings, Inc., Exercise Price: $15.00, Notional: $(16,500), 9/15/2017 (2)		(11	)		(990	)
Martin Marietta Materials, Inc.:
Exercise Price: $220.00, Notional: $(22,000), 9/15/2017 (2)		(1	)		(123	)
Exercise Price: $210.00, Notional: $(42,000), 9/15/2017 (2)		(2	)		(946	)
Exercise Price: $220.00, Notional: $(22,000), 10/20/2017 (2)		(1	)		(410	)

Description	Contracts			Value
Securities Sold Short & Written Options (continued)
Written Call Options (continued)
United States (continued)
Exercise Price: $210.00, Notional: $(21,000), 10/20/2017 (2)		(1	)	$	(830	)
Exercise Price: $200.00, Notional: $(20,000), 10/20/2017 (2)		(1	)		(1,467	)
Medicines Co., Exercise Price: $38.00, Notional: $(182,400), 9/15/2017 (2)		(48	)		(3,600	)
MGM Resorts International, Exercise Price: $32.00, Notional: $(54,400), 12/15/2017 (2)		(17	)		(4,114	)
Murphy USA, Inc.:
Exercise Price: $80.00, Notional: $(32,000), 9/15/2017 (2)		(4	)		(70	)
Exercise Price: $75.00, Notional: $(30,000), 9/15/2017 (2)		(4	)		(120	)
Olin Corp., Exercise Price: $30.00, Notional: $(27,000), 9/15/2017 (2)		(9	)		(2,138	)
S&P 500 Index:
Exercise Price: $2,465.00, Notional: $(32,538,000), 9/15/2017 (2)		(132	)		(223,080	)
Exercise Price: $2,475.00, Notional: $(29,205,000), 9/15/2017 (2)		(118	)		(135,700	)
Exercise Price: $2,455.00, Notional: $(7,856,000), 9/15/2017 (2)		(32	)��		(78,400	)
Exercise Price: $2,420.00, Notional: $(9,680,000), 9/15/2017 (2)		(40	)		(230,000	)
SPDR S&P 500 ETF Trust:
Exercise Price: $225.00, Notional: $(697,500), 9/15/2017 (2)		(31	)		(70,804	)
Exercise Price: $230.00, Notional: $(713,000), 10/20/2017 (2)		(31	)		(54,684	)
Western Digital Corp., Exercise Price: $95.00, Notional: $(38,000), 9/15/2017 (2)		(4	)		(116	)
Wyndham Worldwide Corp.:
Exercise Price: $97.50, Notional: $(19,500), 11/17/2017 (2)		(2	)		(1,092	)
Exercise Price: $100.00, Notional: $(20,000), 11/17/2017 (2)		(2	)		(826	)
Total Written Call Options (proceeds $(1,027,388))					(869,792	)
Written Put Options — (0.2)%
United States — (0.2)%
iShares Russell 2000 ETF, Exercise Price: $115.00, Notional: $(2,081,500), 9/29/2017 (2)		(181	)		(905	)
S&P 500 Index:
Exercise Price: $2,445.00, Notional: $(6,846,000), 9/15/2017 (2)		(28	)		(20,160	)
Exercise Price: $2,470.00, Notional: $(11,856,000), 9/15/2017 (2)		(48	)		(67,200	)
Exercise Price: $2,450.00, Notional: $(980,000), 9/15/2017 (2)		(4	)		(3,200	)
Exercise Price: $2,430.00, Notional: $(11,178,000), 9/15/2017 (2)		(46	)		(24,242	)
Exercise Price: $2,425.00, Notional: $(37,345,000), 9/15/2017 (2)		(154	)		(69,454	)
Total Written Put Options (proceeds $(712,113))					(185,161	)
Total Securities Sold Short & Written Options (proceeds $(19,239,033))				$	(18,790,135	)

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

70

BMO Funds

Alternative Strategies Fund (continued)

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Advertising	$	30,856		0.0	%
Aerospace/Defense		1,154,480		1.2
Agriculture		82,796		0.1
Airlines		342,225		0.4
Auto Manufacturers		239,601		0.2
Auto Parts & Equipment		1,667,482		1.7
Banks		732,378		0.8
Beverages		192,035		0.2
Biotechnology		1,325,329		1.4
Building Materials		2,643,165		2.8
Chemicals		3,041,705		3.2
Commercial Services		1,517,675		1.6
Computers		2,141,009		2.2
Cosmetics/Personal Care		534,617		0.6
Distribution/Wholesale		500,890		0.5
Diversified Financial Services		612,931		0.6
Electric		843,145		0.9
Electronics		859,834		0.9
Engineering & Construction		144,944		0.1
Entertainment		753,234		0.8
Food		1,400,983		1.5
Forest Products & Paper		284,434		0.3
Gas		354,173		0.4
Healthcare-Products		2,073,286		2.2
Healthcare-Services		702,369		0.7
Insurance		1,125,337		1.2
Internet		37,008		0.0
Iron/Steel		341,334		0.4
Lodging		1,638,896		1.7
Mining		82,605		0.1
Miscellaneous Manufacturing		905,874		0.9
Oil & Gas		914,292		1.0
Packaging & Containers		749,452		0.8
Pharmaceuticals		1,579,546		1.6
Real Estate		26,944		0.0
Real Estate Investment Trusts		1,148,009		1.2
Retail		2,949,632		3.1
Semiconductors		1,061,636		1.1
Shipbuilding		134,153		0.1
Software		1,393,199		1.5
Telecommunications		194,268		0.2
Textiles		382,645		0.4
Transportation		1,706,761		1.8
Total Common Stocks Purchased Long		40,547,167		42.4
Bank Loans Purchased Long		4,508,381		4.7
Convertible Bonds Purchased Long		124,820		0.1
Corporate Bonds & Notes Purchased Long
Beverages		253,401		0.3
Diversified Financial Services		129,880		0.1
Engineering & Construction		192,765		0.2
Total Corporate Bonds & Notes Purchased Long		576,046		0.6
Limited Partnership Units Purchased Long		624,544		0.7
Mutual Funds Purchased Long		850,342		0.9
Purchased Call Options		574,115		0.6
Purchased Put Options		284,965		0.3
Short-Term Investments		49,677,039		51.9
Total Investments		97,767,419		102.2

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Other Assets and Liabilities	$	16,762,897			17.5	%
Securities Sold Short & Written Options (see below)		(18,790,135	)		(19.7	)
Total Net Assets	$	95,740,181			100.0	%
Securities Sold Short & Written Options
Common Stocks Sold Short
Aerospace/Defense	$	(164,241	)		(0.2	)%
Airlines		(97,144	)		(0.1	)
Auto Manufacturers		(199,312	)		(0.2	)
Auto Parts & Equipment		(567,782	)		(0.6	)
Banks		(291,740	)		(0.3	)
Beverages		(68,050	)		(0.1	)
Biotechnology		(177,888	)		(0.2	)
Building Materials		(30,539	)		(0.0	)
Chemicals		(363,614	)		(0.4	)
Commercial Services		(363,956	)		(0.4	)
Computers		(268,897	)		(0.3	)
Cosmetics/Personal Care		(37,714	)		(0.0	)
Diversified Financial Services		(349,402	)		(0.3	)
Electric		(673,526	)		(0.7	)
Electrical Components & Equipment		(163,531	)		(0.2	)
Engineering & Construction	��	(32,243	)		(0.0	)
Food		(766,182	)		(0.8	)
Forest Products & Paper		(71,843	)		(0.1	)
Hand/Machine Tools		(113,100	)		(0.1	)
Healthcare-Products		(688,175	)		(0.7	)
Home Furnishings		(483,897	)		(0.5	)
Household Products/Wares		(238,618	)		(0.2	)
Housewares		(170,150	)		(0.2	)
Insurance		(130,198	)		(0.1	)
Internet		(551,468	)		(0.6	)
Iron/Steel		(50,763	)		(0.1	)
Machinery-Diversified		(85,813	)		(0.1	)
Media		(173,795	)		(0.2	)
Metal Fabricate/Hardware		(272,045	)		(0.3	)
Mining		(31,395	)		(0.0	)
Miscellaneous Manufacturing		(364,371	)		(0.4	)
Oil & Gas		(14,640	)		(0.0	)
Packaging & Containers		(51,707	)		(0.1	)
Pharmaceuticals		(309,956	)		(0.3	)
Real Estate		(65,747	)		(0.1	)
Real Estate Investment Trusts		(904,694	)		(0.9	)
Retail		(2,007,431	)		(2.1	)
Semiconductors		(368,128	)		(0.4	)
Software		(587,274	)		(0.6	)
Telecommunications		(93,978	)		(0.1	)
Toys/Games/Hobbies		(166,534	)		(0.2	)
Transportation		(326,752	)		(0.3	)
Trucking & Leasing		(77,845	)		(0.1	)
Total Common Stocks Sold Short		(13,016,078	)		(13.6	)
Corporate Bonds & Notes Sold Short Food		(144,972	)		(0.2	)
Exchange Traded Funds Sold Short		(4,574,132	)		(4.8	)
Written Call Options		(869,792	)		(0.9	)
Written Put Options		(185,161	)		(0.2	)
Total Securities Sold Short & Written Options	$	(18,790,135	)		(19.7	)%

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

71

August 31, 2017

Schedules of Investments

At August 31, 2017, the Alternative Strategies Fund had outstanding futures contracts as set forth below:    

Expiration Date	Number of Contracts	Description		Notional Amount	Value at August 31, 2017	Unrealized Appreciation (Depreciation)
Long Futures
Bond Futures
September 2017	21		SFE 10-Year Australian Bond	$2,160,673	$2,147,681	$	(12,992)
December 2017	29		CBOT U.S. Long Bond	4,502,906	4,526,719		23,813
December 2017	20		Eurex 10-Year Euro BUND	3,864,084	3,862,060		(2,024)
December 2017	14		LIFFE Long Gilt Government Bond	2,299,416	2,304,564		5,148
December 2017	13		CBOT 10-Year U.S. Treasury Note	1,646,359	1,650,797		4,438
Index Futures
September 2017	228		CME E-Mini S&P 500® Index	28,030,502	28,159,140		128,638
September 2017	30		Eurex Euro STOXX 50 Index	1,235,580	1,222,831		(12,749)
September 2017	22		CBOT E-Mini DJIA Index	2,361,517	2,414,500		52,983
September 2017	17		LIFFE FTSE 100 Index	1,625,619	1,633,865		8,246
September 2017	15		CME E-Mini S&P 500® Index	1,841,967	1,852,575		10,608
September 2017	13		TSE TOPIX Index	1,907,156	1,916,860		9,704
September 2017	6		CAC 40 10 Euro	370,135	363,171		(6,964)
September 2017	5		OSE Nikkei 225 Index	911,568	895,529		(16,039)
September 2017	5		CME E-Mini NASDAQ 100 Index	588,794	599,075		10,281
September 2017	3		Eurex DAX Index	1,107,066	1,077,298		(29,768)
September 2017	2		Russell 2000 Mini Index	137,755	140,440		2,685
September 2017	2		HKG Hang Seng Index	353,019	356,988		3,969
Interest Rate Futures
December 2018	231		CME 3-Month Eurodollar	56,755,033	56,814,450		59,417
December 2018	173		LIFFE 90-Day Sterling	27,810,209	27,815,096		4,887
Short Futures
Bond Futures
December 2017	10		MSE 10-Year Canadian Bond	(1,101,477)	(1,107,107)		(5,630)
Interest Rate Futures
December 2018	51		LIFFE 3-Month Euro Euribor	(15,201,082)	(15,210,879)		(9,797)
Total Futures Contracts				$123,206,799	$123,435,653	$	228,854

At August 31, 2017, the Alternative Strategies Fund had outstanding forward foreign currency exchange contracts as set forth below:

		Contract Amount						Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell		Value					Counterparty
September 22, 2017	Australian Dollar	AUD	8,901,000	$	6,783,812	$	7,074,424	$	290,612		Bank of America
September 22, 2017	Australian Dollar	$	3,860,353	AUD	5,076,000		4,034,353		(174,000	)	Bank of America
September 22, 2017	Canadian Dollar	CAD	8,903,000	$	6,895,459		7,131,028		235,569		Bank of America
September 22, 2017	Canadian Dollar	$	3,524,370	CAD	4,711,000		3,773,366		(248,996	)	Bank of America
September 22, 2017	Euro Currency	EUR	5,618,000	$	6,390,662		6,693,989		303,327		Bank of America
September 22, 2017	Euro Currency	$	3,755,043	EUR	3,196,000		3,808,116		(53,073	)	Bank of America
September 22, 2017	Japanese Yen	JPY	1,241,791,000	$	11,366,941		11,304,479		(62,462	)	Bank of America
September 22, 2017	Japanese Yen	$	10,410,796	JPY	1,152,394		10,490,666		(79,870	)	Bank of America
September 22, 2017	Mexican Peso	MXN	23,992,000	$	1,303,724		1,338,209		34,485		Bank of America
September 22, 2017	Mexican Peso	$	474,234	MXN	8,495,000		473,828		406		Bank of America
September 22, 2017	New Zealand Dollar	NZD	2,571,000	$	1,855,947		1,845,385		(10,562	)	Bank of America
September 22, 2017	New Zealand Dollar	$	522,595	NZD	717,000		514,641		7,954		Bank of America
September 22, 2017	Pound Sterling	GBP	4,622,000	$	6,011,775		5,980,195		(31,580	)	Bank of America
September 22, 2017	Pound Sterling	$	6,115,884	GBP	4,735,000		6,126,401		(10,517	)	Bank of America
September 22, 2017	Swiss Franc	CHF	2,720,000	$	2,835,896		2,839,611		3,715		Bank of America
September 22, 2017	Swiss Franc	$	642,653	CHF	620,000		647,264		(4,611	)	Bank of America
								$	200,397

72

BMO Funds

Global Long/Short Equity Fund

Description	Shares		Value
Common Stocks Purchased Long — 98.8%
Australia — 0.9%
Regis Resources, Ltd.		26,491	$	87,539
Bermuda — 3.2%
Argo Group International Holdings, Ltd.		1,768		106,434
Aspen Insurance Holdings, Ltd. (10)		3,291		148,753
Everest Re Group, Ltd.		200		50,496
				305,683
Canada — 3.3%
Air Canada (2)		525		9,813
Celestica, Inc. (2)		3,204		36,767
George Weston, Ltd. (10)		1,869		162,437
Just Energy Group, Inc.		3,521		20,330
Pure Industrial Real Estate Trust		9,540		50,574
Transcontinental, Inc.		1,822		35,455
				315,376
Cayman Islands — 0.3%
China Dongxiang Group Co., Ltd.		170,000		30,416
China — 0.7%
Agricultural Bank of China, Ltd., Class H		52,000		24,540
China Machinery Engineering Corp., Class H		59,000		38,776
				63,316
Denmark — 0.3%
Novo Nordisk A/S		695		33,180
France — 1.6%
Boiron SA		423		39,965
IPSOS		1,048		32,763
Peugeot SA		2,320		49,043
Sanofi		378		36,907
				158,678
Germany — 1.4%
Hamburger Hafen und Logistik AG		574		18,287
Software AG (1)		2,591		113,869
				132,156
Greece — 0.5%
JUMBO SA		2,682		44,718
Hungary — 0.9%
Richter Gedeon Nyrt		3,485		90,685
Ireland — 0.4%
Seagate Technology PLC (1)		1,088		34,305
Italy — 1.3%
Amplifon SpA		5,248		75,937
ASTM SpA		949		23,936
Societa Iniziative Autostradali e Servizi SpA		2,057		30,742
				130,615
Japan — 12.8%
Fujibo Holdings, Inc.		900		27,541
Futaba Corp. (1)		2,200		40,765
Heiwado Co., Ltd. (10)		5,100		119,239
Kato Sangyo Co., Ltd.		800		23,608
Keihin Corp.		3,400		56,143
Mitsui Sugar Co., Ltd.		1,200		40,918
Nippon Road Co., Ltd. (10)		4,000		22,299
Nippon Telegraph & Telephone Corp. (10)		4,200		209,212

Description	Shares		Value
Common Stocks Purchased Long (continued)
Japan (continued)
Nipro Corp.		6,700	$	88,843
Nissan Motor Co., Ltd.		7,500		74,710
Okinawa Electric Power Co., Inc. (1)		880		19,677
Paramount Bed Holdings Co., Ltd. (10)		2,600		115,427
Press Kogyo Co., Ltd.		6,300		33,145
Sapporo Holdings, Ltd. (10)		7,100		206,583
Shimachu Co., Ltd. (1)		2,400		62,074
Wakita & Co., Ltd.		3,200		37,250
Warabeya Nichiyo Holdings Co., Ltd.		1,600		40,251
Yorozu Corp.		1,400		27,718
				1,245,403
Jersey — 0.4%
Wizz Air Holdings PLC (2)(6)		912		34,765
Luxembourg — 2.3%
Orion Engineered Carbons SA		1,630		35,045
Ternium SA		2,559		77,870
Trinseo SA		1,685		112,727
				225,642
Netherlands — 2.8%
BE Semiconductor Industries NV (10)		2,597		168,574
Boskalis Westminster		3,165		103,501
				272,075
New Zealand — 1.2%
Air New Zealand, Ltd.		46,079		118,362
Norway — 0.4%
Austevoll Seafood ASA		4,031		41,702
Panama — 0.7%
Copa Holdings SA, Class A		538		66,750
Poland — 0.5%
Asseco Poland SA		4,073		51,742
Singapore — 0.3%
Yanlord Land Group, Ltd.		22,400		28,604
South Korea — 1.4%
Samsung Electronics Co., Ltd.		67		138,352
Sweden — 0.4%
Mycronic AB (1)		3,918		36,867
Taiwan — 0.5%
HannStar Display Corp.		115,000		46,893
United Kingdom — 3.6%
Debenhams PLC		31,817		16,555
DFS Furniture PLC (1)		5,378		16,586
Go-Ahead Group PLC		1,452		33,820
Greggs PLC		3,030		47,170
Imperial Brands PLC		2,122		87,759
QinetiQ Group PLC		15,784		46,939
WH Smith PLC (10)		4,365		104,317
				353,146
United States — 56.7%
Amkor Technology, Inc. (2)		4,696		41,231
ArcBest Corp. (10)		6,699		198,960
Best Buy Co., Inc.		1,596		86,599
Boston Properties, Inc. (10)		1,460		176,076
Cabot Corp. (10)		3,066		161,517
Chemed Corp.		507		100,026
CNO Financial Group, Inc. (10)		8,942		199,854
Cooper-Standard Holdings, Inc. (2)		750		75,435
Cutera, Inc. (2)		1,600		59,440
Delta Air Lines, Inc. (10)		2,830		133,548

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

73

August 31, 2017

Schedules of Investments

Global Long/Short Equity Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
United States (continued)
Discover Financial Services		1,596	$	94,084
Emergent BioSolutions, Inc. (2)(10)		3,114		116,246
Employers Holdings, Inc.		1,377		58,041
Ennis, Inc.		2,500		47,750
Equinix, Inc. (10)		428		200,479
F5 Networks, Inc. (2)		330		39,395
GameStop Corp., Class A (1)		1,709		31,616
Highwoods Properties, Inc.		1,389		72,547
Huntington Ingalls Industries, Inc. (10)		665		142,283
INC Research Holdings, Inc. (2)		1,171		68,738
Inogen, Inc. (2)		778		74,532
Intersect ENT, Inc. (2)		293		9,054
Lantheus Holdings, Inc. (2)		2,132		37,310
Lear Corp. (10)		1,303		194,851
LeMaitre Vascular, Inc.		1,625		59,150
Magellan Health, Inc. (2)		1,203		97,323
Masimo Corp. (2)(10)		2,221		187,408
Merit Medical Systems, Inc. (2)(10)		4,018		165,943
Molina Healthcare, Inc. (2)(10)		1,841		117,824
Natus Medical, Inc. (2)		1,187		39,883
NCR Corp. (2)		2,279		83,252
OraSure Technologies, Inc. (2)		4,464		91,110
Owens Corning (10)		1,703		126,243
PennyMac Financial Services, Inc., Class A (2)		2,249		38,233
PG&E Corp. (10)		2,534		178,343
Photronics, Inc. (2)		3,483		27,516
PNM Resources, Inc. (10)		3,412		144,669
Portland General Electric Co. (10)		4,007		190,373
Quanta Services, Inc. (2)		2,221		79,801
Raymond James Financial, Inc.		1,300		101,816
Rogers Corp. (2)		613		72,671
Rush Enterprises, Inc., Class A (2)		1,898		77,799
Sanmina Corp. (2)		319		11,947
Selective Insurance Group, Inc. (10)		2,520		127,008
Steel Dynamics, Inc.		704		24,253
Supernus Pharmaceuticals, Inc. (2)		2,047		93,753
Sykes Enterprises, Inc. (2)		2,275		60,651
Sysco Corp.		1,559		82,112
TriCo Bancshares		943		33,552
Tyson Foods, Inc., Class A		868		54,944
United Rentals, Inc. (2)(10)		1,481		174,847
Unum Group (10)		3,198		154,080
Vishay Intertechnology, Inc. (10)		6,895		122,041
Wabash National Corp. (1)		6,233		131,018
WellCare Health Plans, Inc. (2)(10)		730		127,516
				5,496,691
Total Common Stocks Purchased Long (identified cost $8,355,746)				9,583,661
Short-Term Investments — 40.1%
Collateral Investment for Securities on Loan — 3.2%
State Street Navigator Securities Lending Government Money Market Portfolio, 0.994% (3)		310,539		310,539

Description	Shares			Value
Short-Term Investments (continued)
Mutual Funds — 36.9%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.150%		3,573,943		$	3,573,943
Total Short-Term Investments (identified cost $3,884,700)					3,884,482
Total Investments — 138.9% (identified cost $12,240,446)					13,468,143
Other Assets and Liabilities — (3.3)%					(316,834	)
Securities Sold Short (see below) — (35.6)%					(3,454,239	)
Total Net Assets — 100.0%				$	9,697,070
Securities Sold Short — (35.6)%
Common Stocks Sold Short — (35.6)%
Australia — (0.9)%
Aconex, Ltd. (2)		(6,560	)	$	(21,294	)
Mayne Pharma Group, Ltd. (2)		(85,423	)		(45,583	)
Nanosonics, Ltd. (2)		(11,409	)		(23,715	)
					(90,592	)
Belgium — (0.2)%
Tessenderlo Group SA (2)		(422	)		(18,501	)
Bermuda — (0.2)%
Esprit Holdings, Ltd. (2)		(30,300	)		(17,542	)
Cayman Islands — (0.5)%
JD.com, Inc. (2)		(1,179	)		(49,412	)
Finland — (0.2)%
Caverion Corp. (2)		(2,225	)		(19,978	)
Germany — (1.2)%
Zalando SE (2)(6)		(2,026	)		(96,012	)
zooplus AG (2)		(135	)		(23,619	)
					(119,631	)
Japan — (6.2)%
ABC-Mart, Inc.		(400	)		(20,580	)
Acom Co., Ltd. (2)		(5,600	)		(22,962	)
Don Quijote Holdings Co., Ltd.		(1,000	)		(38,051	)
Fuji Seal International, Inc.		(2,000	)		(60,832	)
Hoshizaki Corp.		(1,100	)		(95,894	)
Kose Corp.		(400	)		(50,286	)
Kura Corp.		(600	)		(32,969	)
M3, Inc.		(1,400	)		(36,566	)
MISUMI Group, Inc.		(3,400	)		(87,609	)
Nippon Paint Holdings Co., Ltd.		(500	)		(17,101	)
Pilot Corp.		(1,200	)		(52,750	)
Prestige International, Inc.		(3,000	)		(32,241	)
SMS Co., Ltd.		(1,800	)		(58,315	)
					(606,156	)
Netherlands — (0.8)%
TomTom NV (2)		(7,532	)		(78,657	)
New Zealand — (0.6)%
Xero, Ltd. (2)		(3,000	)		(56,746	)
Norway — (0.8)%
Schibsted ASA		(2,328	)		(56,575	)
XXL ASA (6)		(2,243	)		(22,479	)
					(79,054	)
Spain — (0.8)%
Cellnex Telecom SA (6)		(2,611	)		(58,336	)
Inmobiliaria Colonial SA		(1,551	)		(15,162	)
					(73,498	)

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

74

BMO Funds

Global Long/Short Equity Fund (continued)

Description	Shares			Value
Securities Sold Short (continued)
Common Stocks Sold Short (continued)
Sweden — (0.8)%
AAK AB		(496	)	$	(36,437	)
Wallenstam AB		(3,928	)		(40,020	)
					(76,457	)
Switzerland — (0.3)%
Arbonia AG (2)		(1,810	)		(32,381	)
United Kingdom — (3.7)%
Balfour Beatty PLC		(9,834	)		(34,171	)
Capital & Counties Properties PLC		(8,458	)		(29,672	)
Cobham PLC		(53,277	)		(94,621	)
Just Eat PLC (2)		(9,415	)		(81,197	)
Serco Group PLC (2)		(30,120	)		(45,862	)
Sophos Group PLC (6)		(10,695	)		(69,690	)
					(355,213	)
United States — (18.4)%
Advanced Micro Devices, Inc. (2)		(7,323	)		(95,199	)
Aerovironment, Inc. (2)		(1,622	)		(79,511	)
Allegheny Technologies, Inc.		(2,584	)		(53,825	)
Apartment Investment & Management Co., Class A		(906	)		(41,069	)
Bancorp, Inc. (2)		(4,863	)		(38,175	)
Benefitfocus, Inc. (2)		(1,648	)		(50,841	)
BioScrip, Inc. (2)		(17,690	)		(53,601	)
Brown-Forman Corp., Class B		(1,361	)		(72,188	)
Chesapeake Energy Corp. (2)		(4,263	)		(15,517	)
Coeur Mining, Inc. (2)		(3,804	)		(33,285	)
Deltic Timber Corp.		(580	)		(45,263	)
Duke Realty Corp.		(2,953	)		(87,763	)
Education Realty Trust, Inc.		(1,602	)		(61,901	)
Financial Engines, Inc.		(846	)		(27,960	)
Guidewire Software, Inc. (2)		(823	)		(62,309	)
Harmonic, Inc. (2)		(13,105	)		(42,591	)
Instructure, Inc. (2)		(1,800	)		(53,280	)
Interactive Brokers Group, Inc.		(2,332	)		(97,781	)
Kopin Corp. (2)		(7,976	)		(32,064	)
LSB Industries, Inc. (2)		(4,114	)		(25,095	)
Macerich Co.		(777	)		(41,002	)
Macquarie Infrastructure Corp.		(1,112	)		(82,822	)
Netflix, Inc. (2)		(313	)		(54,684	)
PHH Corp. (2)		(6,029	)		(85,612	)
PROS Holdings, Inc. (2)		(2,379	)		(62,663	)
Rayonier, Inc.		(2,668	)		(77,399	)
Senior Housing Properties Trust		(2,039	)		(40,209	)
Splunk, Inc. (2)		(601	)		(40,321	)
TimkenSteel Corp. (2)		(2,006	)		(29,749	)
Titan International, Inc.		(3,142	)		(26,958	)
Verso Corp., Class A (2)		(6,009	)		(31,968	)
Wabtec Corp.		(1,330	)		(93,858	)
Weyerhaeuser Co.		(1,348	)		(43,958	)
					(1,780,421	)
Total Securities Sold Short (proceeds $(3,171,194))				$	(3,454,239	)

Industry Allocation
Industry	Value			% of Total Net Assets
Common Stocks Purchased Long
Advertising	$	32,763			0.3	%
Agriculture		87,759			0.9
Airlines		363,237			3.7
Auto Manufacturers		254,771			2.6
Auto Parts & Equipment		387,291			4.0
Banks		58,091			0.6
Beverages		206,583			2.1
Biotechnology		116,246			1.2
Building Materials		126,243			1.3
Chemicals		196,562			2.0
Commercial Services		526,494			5.4
Computers		229,950			2.4
Distribution/Wholesale		37,250			0.4
Diversified Financial Services		234,133			2.4
Electric		533,061			5.5
Electronics		367,952			3.8
Engineering & Construction		164,576			1.7
Food		612,382			6.3
Gas		20,329			0.2
Healthcare-Products		928,101			9.6
Healthcare-Services		442,689			4.6
Insurance		844,665			8.7
Internet		39,395			0.4
Iron/Steel		102,123			1.0
Mining		87,539			0.9
Miscellaneous Manufacturing		112,727			1.2
Pharmaceuticals		370,429			3.8
Real Estate		28,604			0.3
Real Estate Investment Trusts		499,677			5.1
Retail		470,681			4.9
Semiconductors		375,673			3.9
Shipbuilding		142,283			1.5
Software		113,869			1.2
Telecommunications		209,212			2.2
Textiles		27,541			0.3
Transportation		232,780			2.4
Total Common Stocks Purchased Long		9,583,661			98.8
Collateral Investment for Securities on Loan		310,539			3.2
Mutual Funds		3,573,943			36.9
Total Investments		13,468,143			138.9
Other Assets and Liabilities		(316,834	)		(3.3	)
Securities Sold Short (see below)		(3,454,239	)		(35.6	)
Total Net Assets	$	9,697,070			100.0	%
Securities Sold Short
Aerospace/Defense	$	(174,132	)		(1.8	)%
Auto Parts & Equipment		(26,958	)		(0.3	)
Banks		(38,175	)		(0.4	)
Beverages		(72,187	)		(0.7	)
Building Materials		(32,381	)		(0.3	)
Chemicals		(35,601	)		(0.4	)
Commercial Services		(135,041	)		(1.4	)
Computers		(115,552	)		(1.2	)
Cosmetics/Personal Care		(50,286	)		(0.5	)
Diversified Financial Services		(234,315	)		(2.4	)
Engineering & Construction		(34,171	)		(0.4	)
Food		(36,437	)		(0.4	)
Forest Products & Paper		(77,231	)		(0.8	)
Healthcare-Products		(23,715	)		(0.2	)
Home Furnishings		(95,894	)		(1.0	)
Household Products/Wares		(52,750	)		(0.5	)
Internet		(303,793	)		(3.1	)
Iron/Steel		(53,825	)		(0.6	)

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

75

August 31, 2017

Schedules of Investments

Global Long/Short Equity Fund (continued)

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Machinery-Diversified	$	(93,858	)		(1.0	) %
Media		(56,575	)		(0.6	)
Metal Fabricate/Hardware		(117,358	)		(1.2	)
Mining		(33,285	)		(0.3	)
Miscellaneous Manufacturing		(25,095	)		(0.3	)
Oil & Gas		(15,517	)		(0.2	)
Packaging & Containers		(60,832	)		(0.6	)
Pharmaceuticals		(99,184	)		(1.0	)
Real Estate		(69,692	)		(0.7	)
Real Estate Investment Trusts		(408,464	)		(4.2	)
Retail		(227,634	)		(2.4	)
Semiconductors		(127,262	)		(1.3	)
Software		(426,111	)		(4.4	)
Telecommunications		(100,928	)		(1.0	)
Total Securities Sold Short	$	(3,454,239	)		(35.6	)%

Ultra Short Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 96.1%
Alabama — 4.9%
Health Care Authority for Baptist Health, 1.150%, 11/1/2042 (12)	$	14,125,000	$	14,125,000
Mobile Industrial Development Board:
0.930%, 6/1/2034, Call 9/1/2017 (12)		250,000		250,000
1.000%, 6/1/2034, Call 9/1/2017 (12)		4,000,000		4,000,000
Tender Option Bond Trust Receipts/Certificates, 1.040%, 12/1/2030 (6)(12)		7,060,000		7,060,000
Other securities				6,863,635
				32,298,635
Arizona — 1.8%
Arizona Health Facilities Authority:
0.800%, 1/1/2029, Call 9/1/2017 (12)		6,000,000		6,000,000
2.640% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (7)		3,250,000		3,299,497
2.640% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (7)		750,000		761,423
Other securities				1,570,519
				11,631,439
Arkansas — 2.6%
Arkansas Development Finance Authority:
1.200%, 9/1/2044, Call 9/1/2017 (12)		10,400,000		10,400,000
1.890% (SIFMA Municipal Swap Index Yield+110 basis points), 9/1/2019, Call 3/1/2019 (7)		3,000,000		3,005,220

Description	Principal Amount		Value
Municipals (continued)
Arkansas (continued)
Other securities			$	3,658,102
				17,063,322
California — 7.6%
Golden Empire Schools Financing Authority, 4.000%, 5/1/2018	$	4,000,000		4,085,520
Golden State Tobacco Securitization Corp., 4.000%, 6/1/2018		5,000,000		5,114,900
Northern California Gas Authority No. 1, 1.500% (LIBOR 3 Month+63 basis points), 7/1/2019 (7)		7,500,000		7,494,975
Rib Floater Trust Various States, 0.970%, 8/15/2051 (6)(12)		3,000,000		3,000,000
State of California, FSA, 1.000%, 8/1/2027 (6)(12)		5,500,000		5,500,000
Tender Option Bond Trust Receipts/Certificates:
0.860%, 11/1/2023 (6)(12)		8,000,000		8,000,000
0.910%, 5/1/2022 (6)(12)		3,000,000		3,000,000
Other securities				14,358,466
				50,553,861
Colorado — 1.8%
Colorado Health Facilities Authority:
1.450%, 7/1/2034, Call 7/1/2019 (6)(12)		4,300,000		4,300,000
4.000%, 2/1/2018		175,000		176,628
Other securities				7,553,614
				12,030,242
Connecticut — 0.3%
Other securities				2,204,994
District of Columbia — 0.1%
Other securities				391,209
Florida — 6.2%
County of Escambia, 0.870%, 4/1/2039, Call 9/1/2017 (12)		6,100,000		6,100,000
County of Manatee, 0.870%, 9/1/2024, Call 9/1/2017 (12)		4,300,000		4,300,000
Miami-Dade County Industrial Development Authority, 0.870%, 6/1/2021, Call 9/1/2017 (12)		8,100,000		8,100,000
School Board of Miami-Dade County, FGIC, 1.020%, 9/7/2017, Call 9/1/2017 (6)(12)		8,000,000		8,000,000
Other securities				14,305,927
				40,805,927
Georgia — 0.9%
Other securities				5,749,219
Guam — 0.1%
Other securities				763,538
Idaho — 1.4%
American Falls Reservoir District, 0.980%, 2/1/2025, Call 9/1/2017 (12)		4,885,000		4,885,000
Idaho Housing & Finance Association, 0.870%, 1/1/2038, Call 9/1/2017 (12)		4,600,000		4,600,000
				9,485,000

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

76

BMO Funds

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Illinois — 5.6%
City of Chicago:
2.000%, 11/1/2017	$	2,000,000	$	2,003,160
5.000%, 11/1/2018		1,000,000		1,045,360
5.000%, 11/1/2018		1,155,000		1,207,391
City of Chicago, AGM, 4.250%, 11/1/2018		150,000		155,519
Rib Floater Trust Various States, 1.040%, 4/1/2036, Call 4/1/2027 (6)(12)		4,250,000		4,250,000
Tender Option Bond Trust Receipts/Certificates, 0.990%, 6/15/2032, Call 6/15/2026 (6)(12)		4,655,000		4,655,000
Other securities				23,412,177
				36,728,607
Indiana — 2.8%
Indiana Housing & Community Development Authority, GNMA FNMA FHLMC COLL, 0.890%, 7/1/2039, Call 10/2/2017 (12)		8,200,000		8,200,000
Tender Option Bond Trust Receipts/Certificates, 1.140%, 4/15/2019 (6)(12)		8,500,000		8,500,000
Other securities				2,086,160
				18,786,160
Iowa — 1.9%
Iowa Finance Authority, 0.810%, 6/1/2039, Call 9/1/2017 (12)		4,900,000		4,900,000
Iowa Higher Education Loan Authority:
1.000%, 9/1/2018, Call 3/1/2018		3,000,000		3,000,300
2.000%, 12/1/2018, Call 6/1/2018		3,500,000		3,519,670
Other securities				979,065
				12,399,035
Kansas — 0.3%
Other securities				1,745,000
Kentucky — 1.4%
Other securities				9,044,749
Louisiana — 3.1%
East Baton Rouge Sewerage Commission, 1.362% (LIBOR 1 Month+50 basis points), 8/1/2018, Call 2/1/2018 (7)		6,090,000		6,094,019
Louisiana Offshore Terminal Authority, 0.800%, 9/1/2033, Call 9/1/2017 (12)		5,000,000		5,000,000
Other securities				9,716,280
				20,810,299
Maine — 0.1%
Other securities				608,000
Maryland — 0.1%
Other securities				622,519
Massachusetts — 0.3%
Other securities				1,783,501

Description	Principal Amount		Value
Municipals (continued)
Michigan — 1.6%
Michigan Finance Authority, 0.850%, 12/1/2017 (8)(12)	$	5,000,000	$	5,000,000
Other securities				5,371,942
				10,371,942
Minnesota — 1.4%
Minnesota Rural Water Finance Authority, Inc.:
1.050%, 3/1/2019 (8)		1,350,000		1,350,203
2.000%, 10/1/2017		3,000,000		3,002,490
Other securities				4,666,399
				9,019,092
Mississippi — 1.7%
Mississippi Business Finance Corp., 1.150%, 5/1/2037, Call 11/1/2017 (12)		6,662,000		6,662,666
Other securities				4,431,621
				11,094,287
Missouri — 1.3%
City of Kansas City, 0.810%, 4/15/2034, Call 9/1/2017 (12)		5,000,000		5,000,000
Other securities				3,588,420
				8,588,420
Nebraska — 0.4%
Other securities				2,558,245
Nevada — 0.1%
Other securities				555,616
New Jersey — 5.2%
New Jersey Economic Development Authority:
1.080%, 11/1/2040, Call 9/1/2017 (12)		5,770,000		5,770,000
1.080%, 11/1/2040, Call 9/1/2017 (12)		4,700,000		4,700,000
1.090%, 11/1/2031, Call 9/1/2017 (12)		5,395,000		5,395,000
New Jersey Transportation Trust Fund Authority:
1.790% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (7)		5,000,000		4,940,650
5.000%, 12/15/2017		1,200,000		1,213,368
5.000%, 6/15/2019		1,500,000		1,576,425
Tender Option Bond Trust Receipts/Certificates, 0.850%, 1/1/2043, Call 7/1/2022 (6)(12)		5,000,000		5,000,000
Other securities				5,756,867
				34,352,310
New Mexico — 1.2%
New Mexico Municipal Energy Acquisition Authority, 1.575% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (7)		5,500,000		5,500,825
Other securities				2,789,486
				8,290,311

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

77

August 31, 2017

Schedules of Investments

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
New York — 8.6%
Metropolitan Transportation Authority, AGM, 1.450% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 11/15/2017 (7)	$	4,650,000	$	4,653,023
New York City Transitional Finance Authority:
0.920%, 8/1/2022, Call 9/1/2017 (12)		4,320,000		4,320,000
0.920%, 8/1/2023, Call 9/1/2017 (12)		6,550,000		6,550,000
New York State Energy Research & Development Authority, NATL-RE, 1.365%, 12/1/2020, Call 9/6/2017 (12)(13)		7,350,000		7,101,791
Triborough Bridge & Tunnel Authority:
0.860%, 11/1/2032, Call 9/1/2017 (12)		150,000		150,000
1.525% (LIBOR 1 Month+70 basis points), 2/1/2021 (7)		5,000,000		5,050,600
Other securities				29,120,629
				56,946,043
North Carolina — 0.3%
Other securities				1,925,194
North Dakota — 0.5%
Other securities				3,141,068
Ohio — 5.9%
County of Allen, 0.800%, 5/1/2036, Call 9/1/2017 (12)		6,000,000		6,000,000
County of Crawford, 1.430%, 11/1/2017, Call 10/2/2017		5,000,000		5,001,850
Lancaster Port Authority, 1.545% (LIBOR 1 Month+72 basis points), 8/1/2019, Call 2/1/2019 (7)		5,000,000		5,003,050
Rib Floater Trust Various States, 0.970%, 1/15/2046, Call 10/2/2017 (6)(12)		4,000,000		4,000,000
State of Ohio:
0.870%, 1/15/2045, Call 9/1/2017 (12)		5,500,000		5,500,000
0.950%, 1/15/2045, Call 9/1/2017 (12)		5,000,000		5,000,000
Other securities				8,618,924
				39,123,824
Oklahoma — 0.2%
Other securities				1,150,076
Oregon — 0.6%
Other securities				4,215,730

Description	Principal Amount		Value
Municipals (continued)
Pennsylvania — 4.6%
Pennsylvania Turnpike Commission:
1.390% (SIFMA Municipal Swap Index Yield+60 basis points), 12/1/2017, Call 10/2/2017 (7)	$	100,000	$	100,034
1.470% (SIFMA Municipal Swap Index Yield+68 basis points), 12/1/2018, Call 6/1/2018 (7)		6,000,000		6,012,840
1.940% (SIFMA Municipal Swap Index Yield+115 basis points), 12/1/2019, Call 6/1/2019 (7)		2,225,000		2,248,118
Other securities				21,975,720
				30,336,712
Rhode Island — 0.1%
Other securities				1,023,340
South Carolina — 0.8%
Other securities				5,057,640
Tennessee — 2.2%
Tender Option Bond Trust Receipts/Certificates, 0.940%, 7/1/2046, Call 7/1/2026 (6)(12)		5,000,000		5,000,000
Other securities				9,852,067
				14,852,067
Texas — 8.8%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 9/21/2017 (12)		5,590,000		5,589,609
Harris County Cultural Education Facilities Finance Corp., 0.880%, 12/1/2024, Call 9/1/2017 (12)		8,000,000		8,000,000
Spring Branch Independent School District, PSF, 3.000%, 6/18/2019 (12)		4,000,000		4,138,120
Tender Option Bond Trust Receipts/Certificates, 0.990%, 7/1/2021 (6)(12)		11,950,000		11,950,000
Other securities				28,173,631
				57,851,360
Utah — 0.4%
Tender Option Bond Trust Receipts/Certificates, 0.990%, 1/1/2025 (6)(12)		2,500,000		2,500,000
Virginia — 0.9%
Other securities				5,719,651
Washington — 2.9%
Tender Option Bond Trust Receipts/Certificates:
0.940%, 6/15/2033, Call 6/1/2019 (6)(12)		5,050,000		5,050,000
0.960%, 1/1/2035 (6)(12)		5,000,000		5,000,000
Washington State Housing Finance Commission, 0.810%, 9/1/2049, Call 9/1/2017 (12)		5,000,000		5,000,000
Other securities				4,022,633
				19,072,633

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

78

BMO Funds

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
West Virginia — 0.0%
Other securities			$	50,000
Wisconsin — 2.4%
Wisconsin Housing & Economic Development Authority, 0.800%, 5/1/2055, Call 9/1/2017 (12)	$	5,000,000		5,000,000
Other securities				11,161,871
				16,161,871
Wyoming — 0.7%
County of Converse, 0.880%, 12/1/2020, Call 9/1/2017 (12)		5,000,000		5,000,000
Total Municipals (identified cost $633,869,349)				634,462,688
Short-Term Investments — 7.2%
Mutual Funds — 0.0%
Other securities (4)				80,322
Short-Term Municipals — 7.2%
California — 0.2%
Other securities				1,121,333
Colorado — 0.1%
Other securities				512,740
Connecticut — 1.2%
Other securities				7,936,090
Florida — 0.6%
Other securities				4,000,000
Georgia — 0.2%
Other securities				1,030,900
Illinois — 0.0%
Other securities				176,048
Minnesota — 0.1%
Other securities				657,833
New Jersey — 0.3%
Other securities				2,015,140
New York — 0.6%
Other securities				4,000,760
Ohio — 1.9%
Other securities				12,609,376
Texas — 2.0%
State of Texas, 4.000%, 8/30/2018 (8)		10,000,000		10,305,000
Other securities				3,202,458
				13,507,458
Total Short-Term Municipals				47,567,678
Total Short-Term Investments (identified cost $47,633,316)				47,648,000
Total Investments — 103.3% (identified cost $681,502,665)				682,110,688
Other Assets and Liabilities — (3.3)%				(21,723,398	)
Total Net Assets — 100.0%			$	660,387,290

Short Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 94.4%
Alabama — 2.8%
Alabama Federal Aid Highway Finance Authority, 5.000%, 9/1/2018	$	1,000,000	$	1,034,430
Black Belt Energy Gas District, 4.000%, 6/1/2021, Call 3/1/2021 (12)		1,000,000		1,085,910
County of Jefferson, 5.000%, 9/15/2021		1,000,000		1,139,990
Other securities				1,896,799
				5,157,129
Alaska — 0.4%
Other securities				660,611
Arizona — 2.3%
Other securities				4,292,562
Arkansas — 0.7%
Other securities				1,312,872
California — 10.1%
California Municipal Finance Authority, 5.000%, 2/1/2022		1,000,000		1,144,430
California Statewide Communities Development Authority:
3.500%, 11/1/2018		100,000		100,634
5.000%, 12/1/2025 (6)		200,000		234,080
California Statewide Communities Development Authority, AGM, 3.000%, 10/1/2017		200,000		200,226
California Statewide Communities Development Authority, CMI, 3.500%, 11/1/2021, Call 11/1/2019		750,000		782,790
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2022		1,000,000		1,161,400
Northern California Gas Authority No. 1, 1.500% (LIBOR 3 Month+63 basis points), 7/1/2019 (7)		1,040,000		1,039,303
Tender Option Bond Trust, 0.940%, 8/1/2022 (6)(12)		2,000,000		2,000,000
Other securities				11,696,058
				18,358,921
Colorado — 5.0%
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (6)		590,000		591,811
3.000%, 10/1/2017		380,000		380,608
3.000%, 11/15/2017		200,000		200,972
5.000%, 10/1/2021		1,000,000		1,129,210
Colorado Health Facilities Authority:
1.450%, 7/1/2034, Call 7/1/2019 (6)(12)		1,000,000		1,000,000
4.000%, 12/1/2018		250,000		257,870
4.500%, 2/1/2019		250,000		258,988
5.000%, 5/15/2021		325,000		356,843
5.000%, 6/1/2021 (8)		250,000		279,605
5.000%, 5/15/2022		250,000		277,965
5.000%, 6/1/2022 (8)		250,000		285,245
El Paso County School District No. 20 Academy, SAW, 5.000%, 12/15/2022		1,000,000		1,191,960
Other securities				2,989,442
				9,200,519

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

79

August 31, 2017

Schedules of Investments

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Connecticut — 0.7%
State of Connecticut:
1.670% (SIFMA Municipal Swap Index Yield+88 basis points), 8/15/2018 (7)	$	250,000	$	250,890
1.710% (SIFMA Municipal Swap Index Yield+92 basis points), 5/15/2018 (7)		150,000		150,710
1.710% (SIFMA Municipal Swap Index Yield+92 basis points), 9/15/2019 (7)		115,000		115,619
5.000%, 3/15/2021		500,000		556,585
Other securities				250,052
				1,323,856
Delaware — 0.1%
Other securities				106,335
Florida — 5.8%
Columbia County School Board:
5.000%, 7/1/2019		920,000		983,922
5.000%, 7/1/2021		400,000		448,920
Miami-Dade County School Board Foundation, Inc.:
5.000%, 5/1/2018		300,000		308,025
5.000%, 5/1/2019		225,000		239,674
Miami-Dade County School Board Foundation, Inc., AMBAC, 5.000%, 8/1/2023, Call 8/1/2018		100,000		103,493
School Board of Miami-Dade County, 1.020%, 9/7/2017 (6)(12)		650,000		650,000
School District of Broward County, 5.000%, 7/1/2019		1,000,000		1,073,250
Other securities				6,841,601
				10,648,885
Georgia — 3.6%
City of Atlanta:
5.000%, 1/1/2021		250,000		279,088
5.000%, 1/1/2022		700,000		801,136
Gainesville & Hall County Hospital Authority:
1.740% (SIFMA Municipal Swap Index Yield+95 basis points), 2/18/2020, Call 8/22/2019 (7)		350,000		348,988
5.000%, 2/15/2021		700,000		784,378
Georgia State Road & Tollway Authority, 5.000%, 6/1/2021		1,250,000		1,424,487
Main Street Natural Gas, Inc.:
5.000%, 3/15/2019		1,000,000		1,053,660
5.250%, 9/15/2018		100,000		103,988
Other securities				1,742,102
				6,537,827
Guam — 0.3%
Other securities				574,580
Idaho — 0.1%
Other securities				239,647

Description	Principal Amount		Value
Municipals (continued)
Illinois — 13.1%
City of Chicago:
5.000%, 1/1/2021	$	840,000	$	929,082
5.000%, 11/1/2021		1,000,000		1,127,900
5.000%, 1/1/2022		500,000		565,080
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019		1,000,000		1,085,660
County of Cook:
5.000%, 11/15/2020, Call 11/15/2019		250,000		266,385
5.000%, 11/15/2021		720,000		805,795
Illinois Finance Authority:
2.212% (LIBOR 1 Month+135 basis points), 5/1/2021, Call 11/1/2020 (7)		1,000,000		1,007,440
2.500%, 5/15/2018		150,000		150,664
4.000%, 10/1/2018		275,000		281,229
5.000%, 1/1/2021		200,000		219,916
5.000%, 11/15/2021		400,000		455,788
5.000%, 1/1/2022		150,000		168,396
5.000%, 11/15/2022		555,000		646,231
5.000%, 11/15/2022		500,000		582,190
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023		1,000,000		1,169,360
Rib Floater Trust Various States, 1.040%, 4/1/2036, Call 4/1/2027 (6)(12)		1,710,000		1,710,000
State of Illinois:
5.000%, 1/1/2018		1,000,000		1,010,270
5.000%, 4/1/2020		100,000		106,208
5.000%, 2/1/2021		240,000		258,554
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019		1,110,000		1,163,613
Other securities				10,288,780
				23,998,541
Indiana — 2.3%
Other securities				4,160,934
Iowa — 1.1%
Other securities				2,003,660
Kansas — 0.4%
Other securities				775,814
Kentucky — 1.1%
Other securities				2,034,131
Louisiana — 0.6%
Other securities				1,083,273
Maine — 0.1%
Other securities				253,494
Maryland — 0.5%
Other securities				914,220
Massachusetts — 1.2%
Massachusetts Development Finance Agency:
4.000%, 4/15/2020		330,000		348,325
5.000%, 7/1/2021		280,000		315,241
5.000%, 7/1/2022		315,000		362,426
Other securities				1,099,349
				2,125,341

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

80

BMO Funds

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Michigan — 2.1%
Other securities			$	3,925,008
Minnesota — 0.7%
St. Paul Housing & Redevelopment Authority:
5.000%, 11/15/2021	$	500,000		574,780
5.000%, 11/15/2022		500,000		587,355
St. Paul Housing & Redevelopment Authority, NATL-RE, 5.000%, 11/15/2021, Call 11/15/2017		50,000		50,401
Other securities				110,616
				1,323,152
Mississippi — 0.2%
Other securities				441,808
Missouri — 2.8%
Southeast Missouri State University, 5.000%, 4/1/2019		1,000,000		1,060,830
Other securities				4,007,769
				5,068,599
Nebraska — 0.1%
Other securities				159,886
Nevada — 0.1%
Other securities				165,198
New Hampshire — 0.1%
Other securities				250,795
New Jersey — 3.1%
New Jersey Health Care Facilities Financing Authority:
5.000%, 7/1/2022		790,000		920,073
5.125%, 7/1/2019, Call 7/1/2018		130,000		134,462
Other securities				4,653,667
				5,708,202
New Mexico — 1.6%
City of Farmington, 1.875%, 4/1/2020 (12)		1,000,000		1,016,260
Other securities				1,831,119
				2,847,379
New York — 9.2%
County of Nassau, 5.000%, 10/1/2018		1,000,000		1,044,190
New York City Transitional Finance Authority:
0.850%, 11/1/2029, Call 9/1/2017 (12)		1,200,000		1,200,000
0.920%, 8/1/2022, Call 9/1/2017 (12)		1,250,000		1,250,000
New York State Dormitory Authority, 5.000%, 7/1/2018		1,000,000		1,034,140
New York State Thruway Authority, 5.000%, 5/1/2019		1,000,000		1,066,420
TSASC, Inc., 5.000%, 6/1/2021		1,000,000		1,118,170
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020		1,155,000		1,260,013
Other securities				8,841,208
				16,814,141

Description	Principal Amount		Value
Municipals (continued)
North Carolina — 0.6%
Other securities			$	1,123,703
North Dakota — 0.2%
Other securities				385,692
Ohio — 2.8%
Rib Floater Trust Various States, 0.970%, 1/15/2046, Call 10/2/2017 (6)(12)	$	1,000,000		1,000,000
Other securities				4,102,924
				5,102,924
Oklahoma — 0.1%
Other securities				135,100
Oregon — 0.5%
Other securities				1,000,000
Pennsylvania — 3.8%
Other securities				6,924,022
Rhode Island — 0.5%
Other securities				848,875
South Carolina — 0.6%
Newberry Investing in Children’s Education, 5.000%, 12/1/2019		1,000,000		1,083,340
Tennessee — 0.3%
Other securities				484,975
Texas — 6.5%
Lower Colorado River Authority, 5.000%, 5/15/2019		1,000,000		1,068,490
New Hope Cultural Education Facilities Finance Corp.:
4.000%, 11/15/2021		615,000		644,059
5.000%, 11/1/2022		500,000		578,390
Tarrant County Cultural Education Facilities Finance Corp.:
5.000%, 5/15/2021		500,000		542,880
5.000%, 11/15/2022		1,000,000		1,164,380
Other securities				7,857,990
				11,856,189
Utah — 0.3%
Other securities				493,082
Vermont — 0.2%
Other securities				364,823
Virgin Islands — 0.1%
Other securities				98,775
Virginia — 0.7%
Henrico County Economic Development Authority, AGM, 2.156%, 8/23/2027, Call 9/1/2017 (12)(13)		1,250,000		1,192,784
Washington — 1.2%
State of Washington, 5.000%, 2/1/2022		1,000,000		1,166,220
Other securities				937,309
				2,103,529
West Virginia — 0.7%
West Virginia Commissioner, 5.000%, 9/1/2018		1,250,000		1,298,312

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

81

August 31, 2017

Schedules of Investments

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Wisconsin — 3.0%
Public Finance Authority:
5.000%, 11/15/2021 (8)	$	610,000	$	692,948
5.000%, 11/15/2022 (8)		500,000		579,490
Other securities				4,254,354
				5,526,792
Total Municipals (identified cost $170,882,303)				172,490,237
Mutual Funds — 0.5%
Other securities (4)				866,132
Total Mutual Funds (identified cost $866,956)				866,132
Short-Term Investments — 1.0%
Mutual Funds — 0.1%
Other securities (4)				115,488
Short-Term Municipals — 0.9%
Connecticut — 0.4%
Other securities				705,810
Ohio — 0.5%
Other securities				1,002,240
Total Short-Term Municipals				1,708,050
Total Short-Term Investments (identified cost $1,823,132)				1,823,538
Total Investments — 95.9% (identified cost $173,572,391)				175,179,907
Other Assets and Liabilities — 4.1%				7,440,509
Total Net Assets — 100.0%			$	182,620,416

Short-Term Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 21.6%
Automobiles — 6.0%
AmeriCredit Auto Receivables Trust, Class B, (Series 2014-4), 1.870%, 12/9/2019	$	500,000	$	500,463
CarMax Auto Owner Trust:
Class A3, (Series 2015-4), 1.560%, 11/16/2020		650,000		650,053
Class A3, (Series 2016-2), 1.520%, 2/16/2021		420,000		419,451
CPS Auto Receivables Trust, Class A, (Series 2013-A), 1.310%, 6/15/2020 (6)		206,429		206,022
GM Financial Automobile Leasing Trust, Class A3, (Series 2017-2), 2.020%, 9/21/2020		1,000,000		1,004,685
GM Financial Consumer Automobile, Class C, (Series 2017-1A), 2.450%, 7/17/2023 (6)		1,000,000		1,006,093
GM Financial Leasing Trust, Class A3, (Series 2017-1), 2.060%, 5/20/2020		1,000,000		1,005,566
Mercedes-Benz Auto Lease Trust, Class A3, (Series 2017-A), 1.790%, 4/15/2020		2,400,000		2,404,644

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Automobiles (continued)
Nissan Auto Receivables Owner Trust, Class A3, (Series 2017-B), 1.750%, 10/15/2021	$	2,000,000	$	2,004,248
Santander Drive Auto Receivables Trust:
Class C, (Series 2013-A), 3.120%, 10/15/2019 (6)		237,799		238,294
Class D, (Series 2014-1), 2.910%, 4/15/2020		1,431,000		1,442,976
Class D, (Series 2015-2), 3.020%, 4/15/2021		760,000		769,764
Toyota Auto Receivables, Class A3, (Series 2016-C), 1.140%, 8/17/2020		880,000		875,860
World Omni Auto Receivables Trust:
Class A3, (Series 2015-B), 1.490%, 12/15/2020		1,603,000		1,602,692
Class A3, (Series 2017-B), 1.950%, 2/15/2023		450,000		451,910
				14,582,721
Credit Cards — 5.8%
Cabela’s Credit Card Master Trust:
Class A, (Series 2014-2), 1.677% (LIBOR 1 Month+45 basis points), 7/15/2022 (7)		1,000,000		1,004,504
Class A1, (Series 2015-1A), 2.260%, 3/15/2023		1,000,000		1,009,578
Class A1, (Series 2015-2), 2.250%, 7/17/2023		2,208,000		2,231,286
Chase Issuance Trust:
Class A4, (Series 2016-A4), 1.490%, 7/15/2022		2,500,000		2,482,202
Class A5, (Series 2016-A5), 1.270%, 7/15/2021		2,000,000		1,989,188
Discover Card Execution Note Trust, Class A1, (Series 2016-A1), 1.640%, 7/15/2021		1,725,000		1,727,881
Synchrony Credit Card Master Trust, Class B, (Series 2012-7), 2.210%, 9/15/2022		1,285,000		1,290,382
World Financial Network Credit Card Master Trust:
Class A, (Series 2015-B), 2.550%, 6/17/2024		365,000		370,580
Class A, (Series 2016-A), 2.030%, 4/15/2025		2,000,000		1,995,120
				14,100,721
Other Financial — 9.1%
Ally Master Owner Trust, Class A, (Series 2012-5), 1.540%, 9/15/2019		1,000,000		999,964
Colony American Homes, Class A, (Series 2014-2A), 2.177% (LIBOR 1 Month+95 basis points), 7/17/2031 (6)(7)		1,517,577		1,520,927
Consumers Securitization Funding LLC, Class A1, (Series 2014-A), 1.334%, 11/1/2020		1,564,218		1,559,015
Dell Equipment Finance Trust, Class A3, (Series 2017-1), 2.140%, 4/22/2022 (6)		1,300,000		1,307,250

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

82

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Other Financial (continued)
Ford Credit Floorplan Master Owner Trust:
Class A1, (Series 2016-3), 1.550%, 7/15/2021	$	2,000,000	$	1,995,080
Class A1, (Series 2016-5), 1.950%, 11/15/2021		1,000,000		1,004,800
GMF Floorplan Owner Revolving Trust:
Class��A1, (Series 2015-1), 1.650%, 5/15/2020 (6)		1,000,000		1,000,653
Class C, (Series 2015-1), 2.220%, 5/15/2020 (6)		1,170,000		1,171,012
Hilton Grand Vacations Trust, Class A, (Series 2014-AA), 1.770%, 11/25/2026 (6)		725,753		719,308
Sierra Receivables Funding Co. LLC, Class B, (Series 2017-1A), 3.200%, 3/20/2034 (6)		2,007,904		2,032,860
SLM Student Loan Trust, Class A5, (Series 2004-5A), 1.914% (LIBOR 3 Month+60 basis points), 10/25/2023 (6)(7)		379,847		380,491
Trafigura Securitisation Finance PLC, Class A1, (Series 2017-1A), 2.077% (LIBOR 1 Month+85 basis points), 12/15/2020 (6)(7)		3,000,000		3,012,783
Verizon Owner Trust, Class A, (Series 2016-1A), 1.420%, 1/20/2021 (6)		1,250,000		1,247,685
Westgate Resorts LLC:
Class A, (Series 2015-2A), 3.200%, 7/20/2028 (6)		2,900,716		2,919,237
Class B, (Series 2014-1A), 3.250%, 12/20/2026 (6)		1,213,823		1,217,796
				22,088,861
Private Sponsor — 0.7%
JP Morgan Mortgage Trust, Class 1A5, (Series 2017-3), 3.500%, 8/25/2047 (6)(12)		1,500,000		1,546,369
Total Asset-Backed Securities (identified cost $52,183,886)				52,318,672
Collateralized Mortgage Obligations — 3.0%
Federal National Mortgage Association — 1.6%
3.000%, 6/25/2033, (Series 2014-20)		2,115,093		2,172,391
3.000%, 8/25/2040, (Series 2015-15)		1,668,827		1,714,088
				3,886,479
Federal Home Loan Mortgage Corporation — 0.6%
3.000%, 2/15/2031, (Series 4013)		1,431,617		1,491,809
Private Sponsor — 0.8%
Banc of America Funding Trust:
Class 1A3, (Series 2007-C), 3.192%, 5/20/2036 (12)		210,313		193,593
Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		267,460		283,226

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor (continued)
Chase Mortgage Finance Trust:
Class A1, (Series 2005-S2), 5.500%, 10/25/2035	$	202,200	$	209,754
Class A3, (Series 2006-S4), 6.000%, 12/25/2036		233,695		202,549
JP Morgan Mortgage Trust:
Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		133,318		131,618
Class 3A1, (Series 2007-A2), 3.139%, 4/25/2037 (12)		19,070		16,721
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.385%, 11/25/2034 (12)		388,528		396,351
Wells Fargo Mortgage Backed Securities Trust:
Class 2A4, (Series 2006-AR7), 3.329%, 5/25/2036 (12)		159,881		154,383
Class 2A4, (Series 2006-AR8), 3.340%, 4/25/2036 (12)		54,471		55,106
Class A1, (Series 2006-AR19), 3.081%, 12/25/2036 (12)		314,663		292,901
				1,936,202
Total Collateralized Mortgage Obligations (identified cost $7,314,441)				7,314,490
Commercial Mortgage Securities — 7.0%
Federal Home Loan Mortgage Corporation — 1.2%
3.274%, 4/25/2046, (Series 2013-K713) (6)(12)		1,010,000		1,031,007
3.942%, 6/25/2047, (Series 2012-K710) (6)(12)		475,000		487,085
4.301%, 9/25/2044, (Series 2012-K705) (6)(12)		217,211		221,502
5.045%, 7/25/2044, (Series 2011-K703) (6)(12)		1,200,000		1,221,730
				2,961,324
Government National Mortgage Association — 1.8%
1.600%, 12/16/2042, (Series 2013-2)		685,932		680,962
1.800%, 7/16/2037, (Series 2013-179)		1,058,557		1,054,480
2.205%, 1/16/2044, (Series 2014-61)		865,888		867,754
2.650%, 2/16/2045, (Series 2015-33)		1,696,135		1,705,291
				4,308,487
Private Sponsor — 4.0%
Assurant Commercial Mortgage Trust, Class A1, (Series 2016-1A), 1.362%, 5/15/2049 (6)		2,146,677		2,130,950
Citigroup Commercial Mortgage Trust, Class A1, (Series 2017-P7), 2.008%, 4/14/2050		957,044		962,086
GS Mortgage Securities Trust, Class A1, (Series 2014-GC22), 1.290%, 6/10/2047		504,395		503,026
JPMBB Commercial Mortgage Securities Trust, Class A2, (Series 2013-C14), 3.019%, 8/15/2046		1,138,954		1,155,997
Morgan Stanley BAML Trust, Class A1, (Series 2016-C30), 1.389%, 9/15/2049		1,771,042		1,754,965

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

83

August 31, 2017

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
RAIT Trust, Class A, (Series 2017-FL7), 2.177% (LIBOR 1 Month+95 basis points), 6/15/2037 (6)(7)	$	1,499,931	$	1,501,104
UBS Commercial Mortgage Trust, Class A1, (Series 2017-C3), 1.935%, 8/15/2050		1,850,000		1,849,960
				9,858,088
Total Commercial Mortgage Securities (identified cost $17,188,135)				17,127,899
Corporate Bonds & Notes — 41.7%
Auto Manufacturers — 3.1%
Ford Motor Credit Co. LLC:
2.021%, 5/3/2019		500,000		500,002
2.551%, 10/5/2018 (1)		500,000		503,529
2.565% (LIBOR 3 Month+127 basis points), 3/28/2022 (7)		1,000,000		1,008,547
2.943%, 1/8/2019		1,500,000		1,519,935
General Motors Financial Co., Inc.:
2.400%, 5/9/2019		1,000,000		1,005,110
3.100%, 1/15/2019 (1)		2,000,000		2,029,154
Toyota Motor Credit Corp., 1.200%, 4/6/2018		1,000,000		998,784
				7,565,061
Banks — 23.6%
Bank of America Corp.:
2.250%, 4/21/2020 (1)		1,000,000		1,005,876
2.313% (LIBOR 3 Month+100 basis points), 4/24/2023 (1)(7)		2,000,000		2,008,400
2.625%, 10/19/2020		1,000,000		1,014,663
Bank of America NA, 1.650%, 3/26/2018 (1)		1,000,000		1,000,678
Bank of Nova Scotia, 1.950%, 1/15/2019 (1)		2,000,000		2,009,500
Bank of the Ozarks, Inc., 5.500%, 7/1/2026 (12)		1,225,000		1,284,985
Branch Banking & Trust Co., 2.100%, 1/15/2020		1,200,000		1,209,040
Canadian Imperial Bank of Commerce:
1.492% (LIBOR 3 Month+18 basis points), 11/5/2018 (7)		1,250,000		1,249,925
1.672% (LIBOR 3 Month+36 basis points), 8/8/2018 (7)		1,350,000		1,349,935
1.694% (LIBOR 3 Month+39 basis points), 7/13/2018 (7)		1,250,000		1,249,944
Capital One Financial Corp.:
2.500%, 5/12/2020		900,000		908,798
3.050%, 3/9/2022		1,000,000		1,017,721
Citigroup, Inc.:
2.274% (LIBOR 3 Month+96 basis points), 4/25/2022 (7)		1,500,000		1,511,881
2.350%, 8/2/2021 (1)		520,000		519,751
Customers Bancorp, Inc., 3.950%, 6/30/2022		2,000,000		2,022,500
Discover Bank, 2.600%, 11/13/2018		1,000,000		1,008,355
Eagle Bancorp, Inc., 5.000%, 8/1/2026 (12)		1,900,000		1,962,312

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Goldman Sachs Group, Inc.:
2.000%, 4/25/2019 (1)	$	1,000,000	$	1,001,929
2.511% (LIBOR 3 Month+120 basis points), 4/30/2018 (7)		1,650,000		1,660,479
2.550%, 10/23/2019 (1)		1,500,000		1,518,639
Hanmi Financial Corp., 5.450%, 3/30/2027 (12)		2,000,000		2,064,574
Home BancShares, Inc., 5.625%, 4/15/2027 (12)		2,000,000		2,095,000
HSBC USA, Inc., 2.000%, 8/7/2018 (1)		1,000,000		1,003,836
Huntington Bancshares, Inc.:
2.300%, 1/14/2022 (1)		700,000		695,567
3.150%, 3/14/2021 (1)		1,000,000		1,030,042
Independent Bank Group, Inc., 5.875%, 8/1/2024		1,745,000		1,782,029
KeyCorp, 2.900%, 9/15/2020		1,000,000		1,024,481
Mizuho Bank, Ltd., 1.796% (LIBOR 3 Month+50 basis points), 9/24/2018 (7)		875,000		874,953
Morgan Stanley:
2.163% (LIBOR 3 Month+85 basis points), 1/24/2019 (7)		500,000		503,463
2.487% (LIBOR 3 Month+118 basis points), 1/20/2022 (1)(7)		645,000		653,377
2.500%, 1/24/2019 (1)		900,000		908,775
Peapack Gladstone Financial Corp., 6.000%, 6/30/2026 (12)		1,525,000		1,581,969
PNC Bank NA, 1.950%, 3/4/2019		1,000,000		1,003,363
PNC Financial Services Group, Inc., 1.562% (LIBOR 3 Month+25 basis points), 8/7/2018 (7)		1,350,000		1,352,654
Renasant Corp., 5.000%, 9/1/2026 (12)		1,125,000		1,157,161
Royal Bank of Canada:
2.000%, 12/10/2018 (1)		1,000,000		1,004,365
2.125%, 3/2/2020 (1)		1,400,000		1,410,021
Sumitomo Mitsui Banking Corp.:
1.691% (LIBOR 3 Month+38 basis points), 8/2/2019 (7)		1,000,000		999,905
1.775% (LIBOR 3 Month+46 basis points), 5/15/2019 (7)		1,300,000		1,299,889
2.053% (LIBOR 3 Month+74 basis points), 7/23/2018 (7)		1,000,000		1,005,126
SunTrust Bank, 2.250%, 1/31/2020 (1)		1,000,000		1,007,136
Toronto-Dominion Bank, 1.750%, 7/23/2018 (1)		500,000		500,964
Towne Bank, 4.500%, 7/30/2027 (12)		2,000,000		2,057,500
U.S. Bank NA, 1.467% (LIBOR 3 Month+15 basis points), 5/24/2019 (7)		1,500,000		1,500,883
Wells Fargo Bank NA, 1.750%, 5/24/2019		700,000		700,643
Westpac Banking Corp.:
1.650%, 5/13/2019		500,000		498,687
2.800%, 1/11/2022 (1)		1,000,000		1,024,787
				57,256,461
Beverages — 0.6%
Anheuser-Busch InBev Finance, Inc., 1.900%, 2/1/2019		1,405,000		1,408,907
Biotechnology — 0.6%
Amgen, Inc., 2.200%, 5/22/2019		1,450,000		1,458,839

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

84

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Chemicals — 0.3%
Rohm & Haas Co., 6.000%, 9/15/2017	$	588,000	$	588,667
Computers — 0.5%
Dell International LLC, 4.420%, 6/15/2021 (6)		1,000,000		1,054,626
Cosmetics/Personal Care — 0.3%
Procter & Gamble Co., 2.150%, 8/11/2022		775,000		781,459
Diversified Financial Services — 2.2%
Ally Financial, Inc.:
3.250%, 9/29/2017		500,000		500,525
3.250%, 2/13/2018 (1)		1,000,000		1,005,000
American Express Credit Corp.:
2.375%, 5/26/2020 (1)		1,000,000		1,012,415
2.700%, 3/3/2022 (1)		1,500,000		1,529,946
National Rural Utilities Cooperative Finance Corp., 1.500%, 11/1/2019		1,285,000		1,278,061
				5,325,947
Electric — 0.8%
Duke Energy Corp., 2.100%, 6/15/2018 (1)		1,500,000		1,504,366
NextEra Energy Capital Holdings, Inc., 2.300%, 4/1/2019		500,000		504,228
				2,008,594
Insurance — 0.4%
QBE Insurance Group, Ltd., 2.400%, 5/1/2018 (6)		1,000,000		1,001,143
Machinery-Construction & Mining — 0.4%
Caterpillar Financial Services Corp., 1.700%, 6/16/2018 (1)		1,000,000		1,000,570
Machinery-Diversified — 0.7%
John Deere Capital Corp., 1.250%, 10/9/2019 (1)		775,000		768,816
Roper Technologies, Inc., 2.050%, 10/1/2018		1,000,000		1,002,637
				1,771,453
Media — 0.2%
Walt Disney Co., 1.950%, 3/4/2020 (1)		500,000		504,116
Miscellaneous Manufacturing — 0.4%
Ingersoll-Rand Global Holding Co., Ltd., 2.875%, 1/15/2019		1,000,000		1,013,507
Oil & Gas — 2.4%
BP Capital Markets PLC:
2.237%, 5/10/2019		1,000,000		1,008,976
2.315%, 2/13/2020 (1)		610,000		617,195
Chevron Corp., 1.961%, 3/3/2020 (1)		1,000,000		1,007,097
Exxon Mobil Corp.:
1.708%, 3/1/2019 (1)		1,000,000		1,002,457
1.912%, 3/6/2020 (1)		1,200,000		1,207,919
Shell International Finance BV, 1.625%, 11/10/2018		1,039,000		1,040,429
				5,884,073

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Pharmaceuticals — 1.0%
Cardinal Health, Inc., 1.950%, 6/15/2018 (1)	$	400,000	$	401,139
Express Scripts Holding Co., 2.250%, 6/15/2019 (1)		1,000,000		1,004,934
Novartis Capital Corp., 1.800%, 2/14/2020		1,000,000		1,005,724
				2,411,797
Real Estate Investment Trusts — 0.4%
Welltower, Inc., 2.250%, 3/15/2018		1,000,000		1,001,835
Savings & Loans — 0.9%
Flagstar Bancorp, Inc., 6.125%, 7/15/2021		2,000,000		2,143,666
Semiconductors — 0.7%
Intel Corp., 2.450%, 7/29/2020 (1)		1,000,000		1,022,651
QUALCOMM, Inc., 2.100%, 5/20/2020		600,000		604,681
				1,627,332
Software — 0.4%
Microsoft Corp., 1.850%, 2/6/2020 (1)		1,000,000		1,006,467
Telecommunications — 1.8%
AT&T, Inc., 2.450%, 6/30/2020 (1)		500,000		504,604
Cisco Systems, Inc.:
1.400%, 9/20/2019 (1)		500,000		498,421
2.125%, 3/1/2019 (1)		1,500,000		1,512,570
Verizon Communications, Inc.:
2.250% (LIBOR 3 Month+100 basis points), 3/16/2022 (7)		750,000		759,861
2.625%, 2/21/2020 (1)		500,000		510,510
3.450%, 3/15/2021 (1)		500,000		520,049
				4,306,015
Total Corporate Bonds & Notes (identified cost $100,071,757)				101,120,535
Mutual Funds — 1.9%
Eaton Vance Institutional Senior Loan Fund, Open-end Cayman Islands Exempted Co. (14)		110,732		999,914
Fidelity Floating Rate High Income Fund		381,700		3,675,768
Total Mutual Funds (identified cost $4,506,884)				4,675,682
U.S. Government & U.S. Government Agency Obligations — 15.9%
Federal Home Loan Mortgage Corporation — 0.8%
1.750%, 5/30/2019 (1)	$	2,000,000		2,014,308
Federal National Mortgage Association — 2.0%
1.000%, 2/26/2019		2,000,000		1,990,390
1.500%, 6/22/2020 (1)		1,000,000		1,001,900
1.750%, 11/26/2019		1,750,000		1,763,482
				4,755,772
U.S. Treasury Bonds & Notes — 13.1%
0.875%, 7/31/2019 (1)		1,000,000		991,758
1.000%, 5/15/2018 (1)		1,500,000		1,497,878
1.000%, 5/31/2018 (1)		1,000,000		998,359
1.000%, 8/31/2019 (1)		1,500,000		1,490,537
1.000%, 9/30/2019 (1)		1,500,000		1,490,097
1.250%, 10/31/2018 (1)		2,000,000		1,999,844
1.250%, 11/15/2018 (1)		1,500,000		1,499,941

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

85

August 31, 2017

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
1.250%, 11/30/2018 (1)	$	1,500,000	$	1,499,649
1.250%, 1/31/2019 (1)		1,000,000		999,570
1.250%, 1/31/2020 (1)		1,000,000		997,363
1.375%, 9/30/2018 (1)		1,500,000		1,501,905
1.375%, 1/31/2020 (1)		1,000,000		1,000,293
1.375%, 10/31/2020 (1)		2,000,000		1,993,790
1.375%, 1/31/2021 (1)		1,000,000		995,449
1.500%, 2/28/2019 (1)		1,500,000		1,504,453
1.500%, 10/31/2019 (1)		2,000,000		2,006,484
1.500%, 4/15/2020 (1)		2,000,000		2,005,860
1.625%, 8/31/2019 (1)		1,750,000		1,760,083
1.750%, 9/30/2019 (1)		1,500,000		1,512,597
2.000%, 8/31/2021		4,000,000		4,060,780
				31,806,690
Total U.S. Government & U.S. Government Agency Obligations (identified cost $38,588,058)				38,576,770
U.S. Government Agency-Mortgage Securities — 0.5%
Federal National Mortgage Association — 0.5%
3.500%, 4/1/2026		123,578		129,047
4.000%, 11/1/2031		485,713		518,806
5.500%, 11/1/2033		138,105		154,683
5.500%, 2/1/2034		104,530		117,212
5.500%, 8/1/2037		241,340		270,658
9.500%, 12/1/2024		2,321		2,336
9.500%, 1/1/2025		4,888		4,927
9.500%, 1/1/2025		2,717		2,732
10.000%, 7/1/2020		10,516		10,708
				1,211,109
Government National Mortgage Association — 0.0%
7.500%, 8/15/2037		13,243		13,544
9.000%, 12/15/2019		4,048		4,235
				17,779
Total U.S. Government Agency-Mortgage Securities (identified cost $1,195,608)				1,228,888
Short-Term Investments — 28.6%
Collateral Pool Investments for Securities on Loan — 21.0%
Collateral pool allocation (3)				50,854,186
Commercial Paper — 5.8%
Atlantic Asset Securitization LLC, 1.552%, (LIBOR + 32 basis points) 1/2/2018 (7)		1,400,000		1,400,022
Duke Energy Corp., 1.319%, 9/6/2017 (11)		2,000,000		1,999,524
Hyundai Captial America, 1.400%, 9/7/2017 (11)		2,500,000		2,499,303
Mondelez International, Inc., 1.490%, 11/9/2017 (11)		1,000,000		997,060
NextEra Energy Capital Holdings, Inc., 2.100%, 9/27/2017 (11)		1,500,000		1,498,334
Omnicom Capital, Inc., 3.082%, 9/18/2017 (11)		1,120,000		1,119,178
Potash Corp., 1.400%, 9/5/2017 (11)		2,000,000		1,999,604
Sysco Corp., 1.331%, 9/1/2017 (11)		2,500,000		2,499,902
				14,012,927

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		4,463,655	$	4,464,102
Total Short-Term Investments (identified cost $69,331,800)				69,331,215
Total Investments — 120.2% (identified cost $290,380,569)				291,694,151
Other Assets and Liabilities — (20.2)%				(49,105,043	)
Total Net Assets — 100.0%			$	242,589,108

Intermediate Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 98.4%
Alabama — 1.8%
UAB Medicine Finance Authority:
5.000%, 9/1/2036, Call 3/1/2027	$	2,340,000	$	2,751,325
5.000%, 9/1/2037, Call 3/1/2027		2,030,000		2,381,312
5.000%, 9/1/2041, Call 3/1/2027		2,020,000		2,345,947
Other securities				21,275,515
				28,754,099
Alaska — 0.6%
Other securities				9,493,845
Arizona — 2.7%
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020		1,000,000		1,100,140
5.250%, 10/1/2024, Call 10/1/2019		5,000,000		5,433,050
Other securities				37,885,117
				44,418,307
Arkansas — 1.4%
Other securities				23,380,386
California — 7.2%
Other securities				116,521,938
Colorado — 2.4%
Colorado Health Facilities Authority:
1.450%, 7/1/2034, Call 7/1/2019 (6)(12)		3,325,000		3,325,000
4.500%, 2/1/2020		455,000		480,667
5.000%, 9/1/2018		530,000		550,802
5.000%, 9/1/2019		560,000		598,438
5.000%, 2/1/2021		475,000		517,550
5.000%, 9/1/2022		750,000		867,450
5.000%, 12/1/2023		215,000		247,325
5.000%, 2/1/2024		420,000		473,281
5.250%, 1/1/2025, Call 1/1/2020		460,000		500,931
Other securities				30,388,452
				37,949,896

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

86

BMO Funds

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Connecticut — 1.1%
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026	$	2,000,000	$	2,308,660
5.000%, 1/15/2033, Call 1/15/2027		4,000,000		4,620,160
Other securities				10,186,741
				17,115,561
Delaware — 0.6%
Other securities				8,944,305
District of Columbia — 0.3%
Other securities				5,412,044
Florida — 5.2%
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022		5,810,000		6,688,879
Other securities				77,799,357
				84,488,236
Georgia — 2.7%
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024		1,000,000		1,181,790
5.000%, 1/1/2032, Call 1/1/2024		2,500,000		2,949,600
5.000%, 1/1/2033, Call 1/1/2024		1,000,000		1,175,290
5.000%, 1/1/2034, Call 1/1/2024		1,000,000		1,170,110
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027		1,500,000		1,733,040
5.000%, 2/15/2037, Call 2/15/2027		2,000,000		2,305,420
5.000%, 2/15/2042, Call 2/15/2027		3,000,000		3,418,620
Other securities				29,068,953
				43,002,823
Guam — 0.1%
Other securities				2,285,780
Hawaii — 0.1%
Other securities				1,199,125
Idaho — 0.3%
Other securities				5,395,609
Illinois — 15.5%
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022		1,060,000		1,194,217
5.000%, 1/1/2025, Call 7/1/2020		230,000		247,048
5.000%, 1/1/2026, Call 1/1/2021		730,000		789,699
5.000%, 1/1/2028, Call 1/1/2024		2,500,000		2,821,075
5.000%, 11/15/2029, Call 11/15/2018		130,000		136,413
5.000%, 1/1/2031, Call 1/1/2026		1,790,000		2,018,046

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
5.000%, 1/1/2040, Call 1/1/2026	$	1,000,000	$	1,099,070
City of Chicago:
5.000%, 11/1/2025		2,000,000		2,358,580
5.000%, 11/1/2027, Call 11/1/2026		2,500,000		2,954,550
5.000%, 11/1/2027, Call 11/1/2026		1,000,000		1,181,820
5.000%, 11/1/2028, Call 11/1/2026		1,000,000		1,174,750
5.000%, 11/1/2029, Call 11/1/2026		1,000,000		1,165,970
5.000%, 1/1/2031, Call 1/1/2025		3,715,000		4,163,549
5.000%, 1/1/2032, Call 1/1/2027		2,000,000		2,279,380
5.000%, 1/1/2033, Call 1/1/2027		3,000,000		3,401,010
5.000%, 1/1/2039, Call 1/1/2025		500,000		548,375
6.000%, 1/1/2038, Call 1/1/2027		10,000,000		11,567,800
City of Chicago, AGM:
5.000%, 11/1/2027, Call 11/1/2018		140,000		146,682
5.000%, 11/1/2027, Call 11/1/2018		60,000		62,587
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023		1,000,000		1,191,350
6.000%, 12/1/2031, Call 12/1/2023		2,035,000		2,424,397
6.000%, 12/1/2032, Call 12/1/2023		2,160,000		2,574,677
6.000%, 6/1/2033, Call 12/1/2023		2,235,000		2,657,013
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026		3,270,000		3,749,382
5.000%, 11/15/2031, Call 11/15/2026		2,000,000		2,276,080
5.250%, 11/15/2023, Call 11/15/2020		350,000		383,512
County of Cook, BAM, 5.000%, 11/15/2023		1,000,000		1,160,590
Illinois Finance Authority:
2.500%, 5/15/2018		170,000		170,753
5.000%, 11/15/2023, Call 11/15/2022		215,000		248,948
5.000%, 8/15/2024		250,000		290,465
5.000%, 5/15/2025		1,000,000		1,109,590
5.000%, 11/15/2026, Call 11/15/2025		1,000,000		1,184,110
5.000%, 11/15/2027, Call 11/15/2025		500,000		585,995
5.000%, 11/1/2029, Call 11/1/2026		2,000,000		2,328,440
5.000%, 5/15/2030, Call 5/15/2025		1,000,000		1,064,230
5.000%, 11/1/2030, Call 11/1/2026		1,200,000		1,388,724
5.000%, 1/1/2036, Call 1/1/2027		2,000,000		2,235,040

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

87

August 31, 2017

Schedules of Investments

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
5.000%, 8/1/2042, Call 8/1/2027	$	580,000	$	634,468
5.000%, 8/1/2046, Call 8/1/2027		515,000		562,035
5.000%, 8/1/2047, Call 8/1/2027		750,000		816,555
6.000%, 8/15/2041, Call 8/15/2021		2,665,000		3,031,251
Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023		1,000,000		1,146,840
5.000%, 1/1/2029, Call 1/1/2023		1,000,000		1,141,420
5.000%, 1/1/2030, Call 1/1/2026		1,000,000		1,181,760
5.000%, 12/1/2032, Call 1/1/2026		7,790,000		9,097,785
5.500%, 1/1/2033, Call 1/1/2018		490,000		497,374
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023		1,000,000		1,169,360
5.000%, 1/1/2024		1,000,000		1,186,370
5.000%, 1/1/2026, Call 1/1/2025		4,000,000		4,723,600
5.250%, 1/1/2033, Call 1/1/2023		900,000		1,013,922
State of Illinois:
5.000%, 3/1/2020		500,000		530,195
5.000%, 4/1/2024, Call 4/1/2023		500,000		550,120
5.000%, 11/1/2025		7,000,000		7,828,380
5.000%, 2/1/2027		1,000,000		1,119,270
5.000%, 2/1/2029, Call 2/1/2027		1,000,000		1,095,750
5.000%, 11/1/2033, Call 11/1/2026		8,000,000		8,506,800
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023		3,205,000		3,497,104
Other securities				134,809,236
				250,473,512
Indiana — 2.3%
Indiana Finance Authority:
3.000%, 7/1/2019		250,000		258,623
5.000%, 8/15/2020		700,000		753,914
5.000%, 10/1/2022		300,000		343,491
5.000%, 10/1/2023		400,000		464,288
5.000%, 10/1/2024, Call 10/1/2023		275,000		318,013
5.000%, 5/1/2029, Call 5/1/2022		4,070,000		4,536,910
5.500%, 5/1/2024, Call 5/1/2019		1,000,000		1,070,140
Other securities				29,858,912
				37,604,291
Iowa — 0.4%
Other securities				6,188,032

Description	Principal Amount		Value
Municipals (continued)
Kansas — 0.2%
Other securities			$	3,586,716
Kentucky — 1.1%
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019	$	100,000		106,358
Paducah Electric Plant Board, AGM:
5.000%, 10/1/2027, Call 10/1/2026		2,000,000		2,380,220
5.000%, 10/1/2028, Call 10/1/2026		1,850,000		2,185,331
5.000%, 10/1/2030, Call 10/1/2026		1,500,000		1,748,295
Other securities				12,002,895
				18,423,099
Louisiana — 2.4%
Parish of St. Bernard:
4.000%, 3/1/2020		3,470,000		3,678,304
4.000%, 3/1/2021		3,585,000		3,868,000
State of Louisiana, 1.332% (LIBOR 1 Month+47 basis points), 5/1/2018, Call 11/1/2017 (7)		7,000,000		7,001,820
Other securities				24,144,303
				38,692,427
Maine — 0.6%
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021		7,500,000		7,880,475
Other securities				2,079,198
				9,959,673
Maryland — 1.0%
Maryland Health & Higher Educational Facilities Authority:
5.000%, 5/15/2042, Call 5/15/2027		4,750,000		5,436,138
5.750%, 7/1/2034, Call 7/1/2021		775,000		910,369
Other securities				9,797,919
				16,144,426
Massachusetts — 1.1%
Commonwealth of Massachusetts, NATL-RE FGIC:
1.620%, 12/1/2030, Call 9/5/2017 (12)(13)		1,450,000		1,338,347
1.635%, 12/1/2030, Call 9/7/2017 (12)(13)		7,375,000		6,807,051
Other securities				9,858,191
				18,003,589
Michigan — 4.0%
Other securities				65,028,317
Minnesota — 0.5%
Other securities				7,535,094
Mississippi — 0.3%
Other securities				5,119,717
Missouri — 2.1%
Other securities				33,511,469

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

88

BMO Funds

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Nebraska — 0.4%
Other securities			$	7,099,821
Nevada — 1.3%
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	$	1,200,000		1,412,484
5.000%, 7/1/2030, Call 7/1/2024		1,000,000		1,172,240
5.000%, 7/1/2040, Call 7/1/2027		4,000,000		4,679,600
Other securities				13,490,247
				20,754,571
New Hampshire — 0.1%
Other securities				1,387,119
New Jersey — 3.7%
New Jersey Economic Development Authority:
5.000%, 11/1/2021		4,600,000		5,091,004
5.500%, 6/15/2030, Call 12/15/2026		2,500,000		2,910,175
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019		6,520,000		6,905,658
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022		3,440,000		3,928,824
5.000%, 1/1/2035, Call 1/1/2022		1,685,000		1,895,372
New Jersey State Turnpike Authority, NATL-RE:
1.365%, 1/1/2030, Call 9/5/2017 (12)(13)		350,000		316,493
1.365%, 1/1/2030, Call 9/7/2017 (12)(13)		475,000		429,522
1.367%, 1/1/2030, Call 9/1/2017 (12)(13)		1,900,000		1,718,138
1.418%, 1/1/2030, Call 9/1/2017 (12)(13)		500,000		452,142
New Jersey Transportation Trust Fund Authority:
1.790% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (7)		5,000,000		4,940,650
5.000%, 6/15/2022		500,000		560,700
5.000%, 6/15/2032, Call 12/15/2024		5,000,000		5,471,050
5.250%, 12/15/2023, Call 12/15/2018		1,355,000		1,421,720
5.250%, 12/15/2023		240,000		278,554
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022		5,000,000		5,462,500
5.000%, 6/15/2033, Call 6/15/2022		3,000,000		3,226,200
5.250%, 6/15/2033, Call 6/15/2023		5,635,000		6,214,391

Description	Principal Amount		Value
Municipals (continued)
New Jersey (continued)
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024	$	440,000	$	374,444
New Jersey Turnpike Authority:
5.000%, 1/1/2031, Call 1/1/2025		500,000		587,505
5.000%, 1/1/2040, Call 1/1/2028		1,000,000		1,182,180
Other securities				6,863,130
				60,230,352
New Mexico — 1.3%
New Mexico Municipal Energy Acquisition Authority, 1.575% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (7)		10,000,000		10,001,500
Other securities				10,166,732
				20,168,232
New York — 6.1%
City of New York, AGM, 0.920%, 11/1/2026 (12)		7,800,000		7,800,000
Metropolitan Transportation Authority, 1.175% (LIBOR 1 Month+35 basis points), 11/1/2017, Call 10/2/2017 (7)		2,800,000		2,800,112
Metropolitan Transportation Authority, AGM, 1.450% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 11/15/2017 (7)		3,950,000		3,952,568
New York City Transitional Finance Authority:
0.920%, 8/1/2022, Call 9/1/2017 (12)		5,855,000		5,855,000
0.920%, 8/1/2023, Call 9/1/2017 (12)		4,600,000		4,600,000
5.000%, 11/1/2024, Call 11/1/2022		5,715,000		6,765,474
5.000%, 11/1/2026, Call 5/1/2025		1,000,000		1,222,990
5.000%, 11/1/2026, Call 5/1/2025		2,000,000		2,445,980
5.000%, 2/1/2038, Call 2/1/2027		4,000,000		4,733,840
5.000%, 2/1/2039, Call 2/1/2027		4,000,000		4,722,960
New York State Dormitory Authority, 5.000%, 3/15/2027, Call 3/15/2022		7,555,000		8,765,084
Other securities				44,788,890
				98,452,898
North Carolina — 0.8%
Other securities				12,223,494
North Dakota — 1.3%
North Dakota Public Finance Authority:
4.000%, 6/1/2023		2,440,000		2,761,104
4.000%, 6/1/2024, Call 6/1/2023		2,190,000		2,452,690
4.000%, 6/1/2025, Call 6/1/2023		1,145,000		1,265,878
Other securities				15,009,581
				21,489,253

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

89

August 31, 2017

Schedules of Investments

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio — 4.0%
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021	$	2,320,000	$	2,574,759
5.000%, 1/1/2031, Call 1/1/2022		1,270,000		1,411,287
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022		3,900,000		4,374,864
5.000%, 1/1/2031, Call 1/1/2022		1,000,000		1,120,440
Other securities				55,139,319
				64,620,669
Oklahoma — 0.9%
Other securities				13,977,900
Oregon — 0.8%
Other securities				12,128,205
Pennsylvania — 2.3%
Pennsylvania Turnpike Commission:
1.770% (SIFMA Municipal Swap Index Yield+98 basis points), 12/1/2021, Call 6/1/2021 (7)		5,000,000		5,075,000
5.000%, 12/1/2030, Call 12/1/2020 (15)		215,000		242,314
5.000%, 12/1/2030, Call 12/1/2020 (15)		120,000		135,245
5.000%, 12/1/2030, Call 12/1/2020 (15)		250,000		276,530
5.500%, 12/1/2042, Call 12/1/2026		3,000,000		3,574,290
6.000%, 12/1/2034, Call 12/1/2020 (15)		55,000		63,734
6.000%, 12/1/2034, Call 12/1/2020 (15)		70,000		81,117
6.000%, 12/1/2034, Call 12/1/2020 (15)		270,000		312,879
Other securities				28,104,426
				37,865,535
Rhode Island — 0.7%
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (16)		300,000		308,010
3.950%, 12/1/2017		250,000		251,592
4.000%, 12/1/2022, Call 12/1/2021 (16)		2,885,000		3,082,997
4.200%, 12/1/2018, Call 12/1/2017		600,000		605,052
4.250%, 12/1/2020, Call 12/1/2017		500,000		503,010
4.250%, 12/1/2025, Call 12/1/2021 (16)		2,205,000		2,313,795
4.500%, 12/1/2021, Call 12/1/2017		1,000,000		1,006,420
4.750%, 12/1/2028, Call 12/1/2021 (16)		1,000,000		1,050,380
4.750%, 12/1/2029, Call 12/1/2021 (16)		275,000		288,412
Other securities				2,222,236
				11,631,904

Description	Principal Amount		Value
Municipals (continued)
South Carolina — 1.0%
Other securities			$	16,806,643
South Dakota — 1.0%
South Dakota Health & Educational Facilities Authority:
4.000%, 11/1/2021	$	500,000		552,475
4.250%, 9/1/2023		740,000		842,897
4.500%, 9/1/2018		500,000		518,540
4.500%, 9/1/2020		900,000		987,417
4.500%, 9/1/2021, Call 9/1/2020		1,080,000		1,175,926
4.500%, 9/1/2022, Call 9/1/2020		1,005,000		1,090,264
5.000%, 9/1/2019		200,000		215,652
5.000%, 11/1/2022		715,000		837,472
5.000%, 8/1/2023		375,000		443,985
5.000%, 11/1/2023		625,000		744,588
5.000%, 8/1/2024		195,000		234,211
5.000%, 11/1/2024, Call 11/1/2019		1,000,000		1,081,620
5.000%, 11/1/2024		650,000		783,673
5.000%, 11/1/2025, Call 11/1/2024		600,000		714,984
5.000%, 9/1/2027, Call 9/1/2024		720,000		834,221
Other securities				4,275,304
				15,333,229
Tennessee — 1.4%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call 1/1/2027		5,815,000		6,537,688
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023		5,310,000		6,121,846
5.250%, 9/1/2021		3,810,000		4,346,524
5.250%, 9/1/2022		250,000		291,605
Other securities				5,433,049
				22,730,712
Texas — 6.6%
City of Houston Combined Utility System:
5.000%, 11/15/2028, Call 11/15/2025		3,540,000		4,302,870
5.000%, 11/15/2028, Call 11/15/2027		3,000,000		3,772,440
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022		1,000,000		1,178,890
5.000%, 11/1/2032, Call 11/1/2020		5,000,000		5,564,650
5.000%, 11/1/2033, Call 11/1/2023		2,000,000		2,324,300
5.250%, 11/1/2033, Call 11/1/2023		1,200,000		1,420,884
North Texas Tollway Authority:
1.590% (SIFMA Municipal Swap Index Yield+80 basis points), 1/1/2019, Call 7/1/2018 (7)		1,750,000		1,756,248
5.000%, 1/1/2027, Call 1/1/2025		2,090,000		2,508,585

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

90

BMO Funds

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Texas (continued)
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019	$	1,725,000	$	1,835,883
North Texas Tollway Authority, BHAC:
5.125%, 1/1/2028, Call 1/1/2018		435,000		441,029
5.125%, 1/1/2028, Call 1/1/2018		65,000		65,829
Tarrant County Cultural Education Facilities Finance Corp.:
5.000%, 5/15/2037, Call 5/15/2024		5,145,000		5,461,057
5.000%, 11/15/2037, Call 11/15/2027		2,175,000		2,500,837
Other securities				73,197,595
				106,331,097
Utah — 0.8%
Other securities				13,408,956
Vermont — 0.1%
Other securities				1,461,121
Virgin Islands — 0.2%
Other securities				3,618,568
Virginia — 0.4%
Other securities				6,419,505
Washington — 1.2%
Other securities				19,852,572
West Virginia — 0.2%
Other securities				2,658,975
Wisconsin — 3.7%
Wisconsin Center District:
0.000%, 12/15/2033, Call 6/15/2026		2,200,000		1,227,006
0.000%, 12/15/2034, Call 6/15/2026		6,665,000		3,549,912
Wisconsin Center District, AGM:
5.250%, 12/15/2023		520,000		604,162
5.250%, 12/15/2027		1,930,000		2,324,724
Wisconsin Health & Educational Facilities Authority:
4.500%, 10/15/2026, Call 10/15/2021		20,000		21,797
4.750%, 10/15/2029, Call 10/15/2021		605,000		657,078
5.000%, 8/15/2018		1,000,000		1,037,680
5.000%, 6/1/2019		205,000		214,225
5.000%, 7/1/2019		990,000		1,056,380
5.000%, 8/15/2019		250,000		268,428
5.000%, 8/15/2019		955,000		1,027,313
5.000%, 8/15/2020		1,060,000		1,178,031
5.000%, 8/15/2021		1,160,000		1,327,748
5.000%, 10/1/2022		750,000		878,070
5.000%, 6/1/2026, Call 6/1/2020		135,000		149,653
5.000%, 8/15/2027, Call 8/15/2022		500,000		587,480

Description	Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
5.000%, 8/15/2029, Call 8/15/2022	$	1,700,000	$	2,015,316
5.000%, 4/1/2032, Call 10/1/2022		4,560,000		5,081,162
5.000%, 6/1/2032, Call 6/1/2022		1,000,000		1,083,970
5.000%, 8/15/2032, Call 8/15/2022		5,000,000		5,927,400
5.250%, 6/1/2034, Call 6/1/2020		300,000		328,035
5.375%, 8/15/2024, Call 2/15/2020		1,625,000		1,781,569
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021		3,655,000		4,054,382
Other securities				24,191,169
				60,572,690
Wyoming — 0.1%
Other securities				1,614,905
Total Municipals (identified cost $1,519,664,582)				1,591,471,242
Mutual Funds — 1.0%
Other securities (4)				16,625,697
Total Mutual Funds (identified cost $15,715,415)				16,625,697
Short-Term Investments — 0.1%
Mutual Funds — 0.0%
Other securities (4)				79,783
Short-Term Municipals — 0.1%
New York — 0.1%
Other securities				2,008,460
Total Short-Term Investments (identified cost $2,087,745)				2,088,243
Total Investments — 99.5% (identified cost $1,537,467,742)				1,610,185,182
Other Assets and Liabilities — 0.5%				7,978,573
Total Net Assets — 100.0%			$	1,618,163,755

Strategic Income Fund

Description	Principal Amount		Value
Asset-Backed Security — 0.2%
Federal Home Loan Mortgage Corporation — 0.2%
1.494% (LIBOR 1 Month+26 basis points), 8/25/2031, (Series T-32) (7)	$	257,659	$	252,973
Total Asset-Backed Securities (identified cost $257,659)				252,973
Collateralized Mortgage Obligations — 10.6%
Federal National Mortgage Association — 0.5%
1.634% (LIBOR 1 Month+40 basis points), 4/25/2034, (Series 2004-25) (7)		208,668		210,001
4.000%, 3/25/2041, (Series 2012-21)		327,805		344,225
				554,226

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

91

August 31, 2017

Schedules of Investments

Strategic Income Fund (continued)

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor — 10.1%
Alternative Loan Trust, Class 1A1, (Series 2004-24CB), 6.000%, 11/25/2034	$	864,630	$	873,309
Banc of America Funding Trust, Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		267,460		283,226
Chase Mortgage Finance Trust:
Class 7A1, (Series 2007-A2), 3.123%, 7/25/2037 (12)		498,714		458,236
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		606,599		629,261
ChaseFlex Trust, Class 4A3, (Series 2005-2), 6.000%, 5/25/2020		127,291		112,015
GSR Mortgage Loan Trust, Class 2A4, (Series 2007-1F), 5.500%, 1/25/2037		158,685		157,885
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.385%, 11/25/2034 (12)		716,826		731,259
Residential Asset Securitization Trust, Class A4, (Series 2005-A8CB), 5.500%, 7/25/2035		776,071		694,183
RFMSI Series Trust, Class A2, (Series 2006-S4), 6.000%, 4/25/2036		676,491		655,342
Structured Adjustable Rate Mortgage Loan Trust, Class 1A2, (Series 2004-18), 3.326%, 12/25/2034 (12)		627,380		606,798
Wells Fargo Mortgage Backed Securities Trust:
Class 1A2, (Series 2006-6), 5.750%, 5/25/2036		385,302		387,013
Class 1A9, (Series 2007-8), 6.000%, 7/25/2037		3,388,756		3,416,130
Class A1, (Series 2006-AR19), 3.081%, 12/25/2036 (12)		831,968		774,430
Class A1, (Series 2007-15), 6.000%, 11/25/2037		722,127		719,147
Class A6, (Series 2007-7), 6.000%, 6/25/2037		443,278		446,955
Class A8, (Series 2007-11), 6.000%, 8/25/2037		524,313		525,872
				11,471,061
Total Collateralized Mortgage Obligations (identified cost $11,923,992)				12,025,287
Commercial Mortgage Securities — 6.0%
Private Sponsor — 6.0%
Citigroup Commercial Mortgage Trust, Class B, (Series 2014-GC23), 4.175%, 7/10/2047 (12)		1,000,000		1,043,796
FREMF Mortgage Trust, Class C, (Series 2012-K21), 4.071%, 7/25/2045 (6)(12)		1,500,000		1,541,655

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
JP Morgan Chase Commercial Mortgage Securities Trust, Class B, (Series 2014-C20), 4.399%, 7/15/2047 (12)	$	2,000,000	$	2,100,898
UBS-Barclays Commercial Mortgage Trust, Class B, (Series 2013-C6), 3.875%, 4/10/2046 (6)(12)		2,000,000		2,074,290
Total Commercial Mortgage Securities (identified cost $6,568,258)				6,760,639
Corporate Bonds & Notes — 66.0%
Auto Manufacturers — 1.9%
Daimler Finance North America LLC, 2.000%, 7/6/2021 (6)		700,000		691,882
Ford Motor Credit Co. LLC, 2.565% (LIBOR 3 Month+127 basis points), 3/28/2022 (7)		1,000,000		1,008,547
General Motors Financial Co., Inc., 3.700%, 5/9/2023 (1)		500,000		510,416
				2,210,845
Auto Parts & Equipment — 0.7%
American Axle & Manufacturing, Inc., 6.625%, 10/15/2022 (1)		750,000		777,187
Banks — 7.7%
Australia & New Zealand Banking Group, Ltd., 4.500%, 3/19/2024 (6)		500,000		530,249
Banco Nacional de Costa Rica, 6.250%, 11/1/2023 (6)		1,000,000		1,050,200
Canadian Imperial Bank of Commerce, 1.743% (LIBOR 3 Month+52 basis points), 9/6/2019 (7)		800,000		803,790
Capital One Financial Corp.:
2.069% (LIBOR 3 Month+76 basis points), 5/12/2020 (7)		750,000		753,187
4.200%, 10/29/2025 (1)		750,000		774,988
Goldman Sachs Group, Inc.:
2.511% (LIBOR 3 Month+120 basis points), 4/30/2018 (7)		500,000		503,176
2.424% (LIBOR 3 Month+111 basis points), 4/26/2022 (7)		1,000,000		1,010,889
HSBC Holdings PLC, 4.250%, 3/14/2024		1,000,000		1,054,200
Morgan Stanley:
2.041% (LIBOR 3 Month+74 basis points), 1/5/2018 (1)(7)		1,000,000		1,002,027
2.053% (LIBOR 3 Month+74 basis points), 7/23/2019 (7)		500,000		503,616
Westpac Banking Corp., 1.876% (LIBOR 3 Month+56 basis points), 8/19/2019 (7)		750,000		753,939
				8,740,261
Chemicals — 1.3%
CF Industries, Inc., 3.450%, 6/1/2023 (1)		1,550,000		1,511,250
Commercial Services — 2.6%
ADT Corp., 4.875%, 7/15/2032 (1)(6)		1,000,000		931,250
Avis Budget Car Rental LLC, 5.125%, 6/1/2022 (1)(6)		750,000		754,687

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

92

BMO Funds

Strategic Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Commercial Services (continued)
Hertz Corp., 5.875%, 10/15/2020 (1)	$	500,000	$	482,500
United Rentals North America, Inc., 5.500%, 5/15/2027 (1)		750,000		796,875
				2,965,312
Computers — 1.3%
Dell International LLC, 5.450%, 6/15/2023 (6)		750,000		822,622
Seagate HDD Cayman, 4.875%, 6/1/2027 (1)		750,000		709,324
				1,531,946
Diversified Financial Services — 3.5%
Ally Financial, Inc., 5.750%, 11/20/2025		1,250,000		1,354,312
American Express Credit Corp., 1.805% (LIBOR 3 Month+49 basis points), 8/15/2019 (7)		500,000		502,450
Discover Financial Services, 4.100%, 2/9/2027		500,000		513,165
Fly Leasing, Ltd., 6.375%, 10/15/2021 (1)		750,000		788,438
Jefferies Finance LLC, 7.500%, 4/15/2021 (1)(6)		750,000		776,250
				3,934,615
Electric — 0.7%
Dynegy, Inc., 7.375%, 11/1/2022 (1)		750,000		778,125
Electrical Components & Equipment — 0.5%
Belden, Inc., 5.250%, 7/15/2024 (6)		500,000		517,500
Electronics — 0.7%
Ingram Micro, Inc., 5.450%, 12/15/2024 (1)		750,000		764,329
Entertainment — 0.6%
AMC Entertainment Holdings, Inc., 5.750%, 6/15/2025		750,000		716,250
Food — 3.5%
Kellogg Co., 2.650%, 12/1/2023		750,000		752,498
Kroger Co., 4.450%, 2/1/2047 (1)		1,200,000		1,161,275
Minerva Luxembourg SA, 6.500%, 9/20/2026 (6)		750,000		755,100
Mondelez International Holdings Netherlands BV, 1.924% (LIBOR 3 Month+61 basis points), 10/28/2019 (6)(7)		750,000		753,156
Post Holdings, Inc., 5.000%, 8/15/2026 (1)(6)		500,000		501,250
				3,923,279
Forest Products & Paper — 0.7%
Suzano Austria GmbH, 7.000%, 3/16/2047 (1)(6)		750,000		815,625
Healthcare-Products — 0.7%
Zimmer Biomet Holdings, Inc., 3.550%, 4/1/2025 (1)		750,000		763,271
Healthcare-Services — 0.4%
CHS/Community Health Systems, Inc., 8.000%, 11/15/2019 (1)		500,000		497,500

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Holding Companies-Diversified — 0.5%
Leucadia National Corp., 5.500%, 10/18/2023	$	500,000	$	538,614
Home Builders — 1.1%
CalAtlantic Group, Inc., 5.000%, 6/15/2027		750,000		753,750
K Hovnanian Enterprises, Inc., 10.000%, 7/15/2022 (6)		500,000		515,000
				1,268,750
Household Products/Wares — 0.5%
ACCO Brands Corp., 5.250%, 12/15/2024 (6)		500,000		516,250
Insurance — 0.7%
Voya Financial, Inc., 3.650%, 6/15/2026		750,000		762,686
Internet — 0.4%
eBay, Inc., 2.181% (LIBOR 3 Month+87 basis points), 1/30/2023 (7)		500,000		503,005
Iron/Steel — 1.8%
GTL Trade Finance, Inc., 5.893%, 4/29/2024 (6)		1,000,000		1,065,000
Vale SA, 5.625%, 9/11/2042 (1)		1,000,000		1,022,500
				2,087,500
Media — 3.4%
Altice Finco SA, 7.625%, 2/15/2025 (1)(6)		800,000		848,000
Cablevision Systems Corp., 5.875%, 9/15/2022 (1)		750,000		785,625
SFR Group SA, 6.000%, 5/15/2022 (1)(6)		500,000		527,490
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (6)		750,000		789,375
Time Warner Cable LLC, 4.500%, 9/15/2042		1,000,000		927,157
				3,877,647
Mining — 3.2%
Anglo American Capital PLC, 4.875%, 5/14/2025 (1)(6)		1,000,000		1,066,200
Glencore Funding LLC, 4.625%, 4/29/2024 (6)		500,000		532,308
HudBay Minerals, Inc., 7.250%, 1/15/2023 (1)(6)		750,000		810,000
Kinross Gold Corp.:
4.500%, 7/15/2027 (6)		25,000		25,063
6.875%, 9/1/2041		750,000		808,125
Teck Resources, Ltd., 3.750%, 2/1/2023 (1)		350,000		353,745
				3,595,441
Miscellaneous Manufacturing — 1.4%
Trinity Industries, Inc., 4.550%, 10/1/2024		1,550,000		1,572,463
Oil & Gas — 6.0%
Ecopetrol SA, 5.875%, 5/28/2045		750,000		732,638
Ensco PLC:
4.500%, 10/1/2024 (1)		1,000,000		735,000
5.200%, 3/15/2025 (1)		1,000,000		750,000
PBF Holding Co. LLC, 7.250%, 6/15/2025 (1)(6)		750,000		744,375
Petrobras Global Finance BV, 5.750%, 1/20/2020		1,000,000		1,054,000

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

93

August 31, 2017

Schedules of Investments

Strategic Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas (continued)
Petroleos Mexicanos:
5.375%, 3/13/2022 (6)	$	750,000	$	805,687
5.500%, 6/27/2044		1,000,000		943,500
Rowan Cos., Inc.:
4.875%, 6/1/2022 (1)		250,000		228,125
4.750%, 1/15/2024 (1)		1,000,000		810,000
				6,803,325
Pharmaceuticals — 1.1%
Endo Finance LLC, 5.750%, 1/15/2022 (6)		500,000		450,000
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		1,000,000		846,092
				1,296,092
Pipelines — 1.6%
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 (1)(6)		750,000		778,125
Energy Transfer LP, 4.900%, 3/15/2035		1,000,000		993,809
				1,771,934
Real Estate Investment Trusts — 4.1%
EPR Properties:
5.250%, 7/15/2023		1,250,000		1,351,152
4.500%, 6/1/2027 (1)		750,000		763,495
GEO Group, Inc., 5.125%, 4/1/2023		1,000,000		1,008,750
SBA Communications Corp., 4.875%, 9/1/2024 (1)		500,000		517,500
Senior Housing Properties Trust, 4.750%, 5/1/2024		1,000,000		1,057,369
				4,698,266
Retail — 3.0%
JC Penney Corp., Inc., 5.650%, 6/1/2020 (1)		750,000		744,975
L Brands, Inc.:
6.950%, 3/1/2033		1,000,000		967,500
7.600%, 7/15/2037		500,000		495,000
New Red Finance, Inc., 4.250%, 5/15/2024 (1)(6)		650,000		659,750
Party City Holdings, Inc., 6.125%, 8/15/2023 (1)(6)		500,000		525,000
				3,392,225
Software — 0.7%
VMware, Inc., 3.900%, 8/21/2027		750,000		757,897
Sovereign — 3.3%
Costa Rica Government International Bond, 5.625%, 4/30/2043 (6)		800,000		731,000
Export Credit Bank of Turkey, 5.000%, 9/23/2021 (6)		750,000		773,548
Ivory Coast Government International Bond, 6.125%, 6/15/2033 (6)		750,000		750,000
Oman Sovereign Sukuk SAOC, 4.397%, 6/1/2024 (6)		500,000		501,886
Sri Lanka Government International Bond, 6.000%, 1/14/2019 (6)		1,000,000		1,038,068
				3,794,502

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications — 4.1%
CenturyLink, Inc., 5.625%, 4/1/2025 (1)	$	750,000	$	716,250
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022 (6)		1,000,000		1,030,000
CommScope, Inc., 5.500%, 6/15/2024 (6)		1,000,000		1,046,250
Motorola Solutions, Inc., 4.000%, 9/1/2024 (1)		500,000		514,018
Sprint Communications, Inc., 6.000%, 11/15/2022 (1)		500,000		533,125
Turk Telekomunikasyon AS, 4.875%, 6/19/2024 (6)		750,000		769,093
				4,608,736
Textiles — 0.7%
Cintas Corp. No. 2, 2.900%, 4/1/2022		750,000		770,216
Transportation — 0.9%
Asciano Finance, Ltd., 4.625%, 9/23/2020 (6)		1,000,000		1,044,937
Venture Capital — 0.7%
Icahn Enterprises LP, 5.875%, 2/1/2022 (1)		750,000		775,087
Total Corporate Bonds & Notes (identified cost $73,694,027)				74,882,868
U.S. Government Agency-Mortgage Securities — 15.6%
Federal Home Loan Mortgage Corporation — 4.8%
3.500%, 4/1/2042		82,937		86,591
4.000%, 10/1/2031		1,390,930		1,485,591
4.000%, 12/1/2040		399,338		425,980
4.500%, 9/1/2031		411,981		445,161
4.500%, 7/1/2040		30,489		33,218
4.500%, 11/1/2040		854,308		928,254
4.500%, 2/1/2041		1,197,903		1,292,551
5.000%, 12/1/2022		113,589		119,739
5.000%, 1/1/2040		257,520		283,925
5.500%, 11/1/2018		25,867		26,074
5.500%, 10/1/2021		114,830		120,487
5.500%, 7/1/2035		49,913		55,667
6.000%, 12/1/2036		26,374		29,862
6.000%, 12/1/2037		10,341		11,610
7.500%, 4/1/2024		34,027		37,960
7.500%, 4/1/2027		19,325		22,328
8.000%, 8/1/2030		19,829		23,495
8.500%, 9/1/2024		18,152		20,253
9.000%, 6/1/2019		1,382		1,390
9.500%, 2/1/2025		6,286		6,354
				5,456,490
Federal National Mortgage Association — 9.1%
3.000%, 8/1/2032		223,669		231,622
3.500%, 7/1/2032		437,616		459,773
4.000%, 11/1/2031		809,521		864,677
4.000%, 3/1/2041		284,386		303,862
4.000%, 9/1/2043		1,128,205		1,205,934
4.500%, 4/1/2041		2,281,733		2,475,915
4.500%, 6/1/2042		992,064		1,083,173
5.000%, 5/1/2018		29,071		29,776
5.500%, 1/1/2023		131,734		145,639
5.500%, 10/1/2024		220,435		243,703
5.500%, 2/1/2036		170,427		191,114
5.500%, 7/1/2036		352,317		394,803

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

94

BMO Funds

Strategic Income Fund (continued)

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
5.500%, 8/1/2037	$	644,079	$	722,321
6.000%, 9/1/2021		163,931		172,583
6.000%, 5/1/2039		599,402		681,864
6.500%, 8/1/2030		365,735		411,311
6.500%, 12/1/2031		21,247		24,415
6.500%, 11/1/2037		71,879		80,548
7.000%, 3/1/2029		48,433		56,631
7.000%, 7/1/2029		138,060		156,811
7.000%, 2/1/2030		93,596		104,729
7.500%, 10/1/2030		21,744		24,442
8.000%, 10/1/2028		165,171		184,758
8.000%, 4/1/2030		38,740		46,943
				10,297,347
Government National Mortgage Association — 1.7%
5.000%, 4/15/2034		279,397		307,068
5.500%, 9/15/2033		666,167		748,582
6.000%, 12/20/2033		697,823		801,916
7.000%, 8/15/2031		38,368		44,234
9.500%, 10/15/2024		4,618		4,637
				1,906,437
Total U.S. Government Agency-Mortgage Securities
(identified cost $16,947,014)				17,660,274
Short-Term Investments — 22.1%
Collateral Pool Investments for Securities on Loan — 21.3%
Collateral pool allocation (3)				24,164,624
Mutual Funds — 0.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		937,935		938,029
Total Short-Term Investments (identified cost $25,102,653)				25,102,653
Total Investments — 120.5% (identified cost $134,493,603)				136,684,694
Other Assets and Liabilities — (20.5)%				(23,292,207	)
Total Net Assets — 100.0%			$	113,392,487

TCH Corporate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 93.7%
Aerospace/Defense — 1.0%
Lockheed Martin Corp., 2.500%, 11/23/2020 (1)	$	2,500,000	$	2,545,245
Agriculture — 1.8%
Philip Morris International, Inc.:
2.000%, 2/21/2020 (1)		2,000,000		2,007,190
2.900%, 11/15/2021		1,000,000		1,027,082
Reynolds American, Inc., 2.300%, 6/12/2018 (1)		1,500,000		1,506,213
				4,540,485
Apparel — 0.8%
Ralph Lauren Corp., 2.125%, 9/26/2018		2,000,000		2,010,218

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Auto Manufacturers — 3.0%
Daimler Finance North America LLC, 2.000%, 7/6/2021 (6)	$	2,500,000	$	2,471,007
Ford Motor Co., 5.291%, 12/8/2046 (1)		2,000,000		2,061,008
Ford Motor Credit Co. LLC, 2.243% (LIBOR 3 Month+93 basis points), 11/4/2019 (7)		1,500,000		1,510,511
General Motors Financial Co., Inc.:
4.000%, 1/15/2025		1,000,000		1,014,519
4.350%, 1/17/2027		500,000		514,431
				7,571,476
Banks — 9.5%
Banco Santander SA, 2.865% (LIBOR 3 Month+156 basis points), 4/11/2022 (7)		2,000,000		2,066,056
Bank of America Corp.:
2.169% (LIBOR 3 Month+87 basis points), 4/1/2019 (1)(7)		1,000,000		1,009,558
2.344% (LIBOR 3 Month+104 basis points), 1/15/2019 (7)		2,000,000		2,021,228
Canadian Imperial Bank of Commerce, 1.743% (LIBOR 3 Month+52 basis points), 9/6/2019 (7)		2,000,000		2,009,474
Capital One Financial Corp., 2.171% (LIBOR 3 Month+95 basis points), 3/9/2022 (7)		1,000,000		1,000,611
Citigroup, Inc., 2.632% (LIBOR 3 Month+143 basis points), 9/1/2023 (1)(7)		2,000,000		2,042,894
Goldman Sachs Group, Inc.:
2.415% (LIBOR 3 Month+110 basis points), 11/15/2018 (7)		1,000,000		1,009,340
2.424% (LIBOR 3 Month+111 basis points), 4/26/2022 (7)		1,000,000		1,010,889
HSBC Holdings PLC, 2.977% (LIBOR 3 Month+166 basis points), 5/25/2021 (7)		1,500,000		1,552,728
JPMorgan Chase & Co., 2.127% (LIBOR 3 Month+84 basis points), 3/22/2019 (7)		2,000,000		2,017,124
Mizuho Financial Group, Inc., 2.953%, 2/28/2022		1,500,000		1,526,213
Morgan Stanley, 2.053% (LIBOR 3 Month+74 basis points), 7/23/2019 (7)		1,500,000		1,510,848
Toronto-Dominion Bank, 2.303% (LIBOR 3 Month+100 basis points), 4/7/2021 (7)		2,000,000		2,042,796
U.S. Bank NA, 1.633% (LIBOR 3 Month+32 basis points), 1/24/2020 (7)		1,500,000		1,504,584
Wells Fargo Bank NA, 1.917% (LIBOR 3 Month+60 basis points), 5/24/2019 (7)		1,000,000		1,007,212
Westpac Banking Corp., 1.876% (LIBOR 3 Month+56 basis points), 8/19/2019 (7)		1,000,000		1,005,252
				24,336,807

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

95

August 31, 2017

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Beverages — 2.5%
Anheuser-Busch InBev Finance, Inc.:
2.571% (LIBOR 3 Month+126 basis points), 2/1/2021 (7)	$	1,250,000	$	1,290,910
2.650%, 2/1/2021 (1)		1,500,000		1,531,689
Molson Coors Brewing Co., 2.250%, 3/15/2020 (1)(6)		1,500,000		1,507,139
PepsiCo, Inc., 1.481% (LIBOR 3 Month+17 basis points), 4/30/2018 (7)		2,000,000		2,002,418
				6,332,156
Biotechnology — 0.5%
Amgen, Inc., 2.200%, 5/22/2019		1,300,000		1,307,925
Chemicals — 2.6%
Braskem America Finance Co., 7.125%, 7/22/2041 (6)		1,000,000		1,133,750
CF Industries, Inc., 5.375%, 3/15/2044 (1)		2,000,000		1,832,500
EI du Pont de Nemours & Co., 1.841% (LIBOR 3 Month+53 basis points), 5/1/2020 (7)		1,500,000		1,513,839
Mexichem SAB de C.V.:
5.875%, 9/17/2044 (6)		500,000		513,750
6.750%, 9/19/2042 (6)		1,500,000		1,693,500
				6,687,339
Commercial Services — 0.7%
ADT Corp.:
4.125%, 6/15/2023		500,000		507,500
4.875%, 7/15/2032 (6)		250,000		232,813
Hertz Corp., 6.750%, 4/15/2019		1,000,000		996,875
				1,737,188
Computers — 4.1%
Apple, Inc., 2.250%, 2/23/2021		2,000,000		2,023,492
Dell International LLC, 8.350%, 7/15/2046 (1)(6)		2,000,000		2,588,426
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		1,000,000		1,063,235
International Business Machines Corp., 1.547% (LIBOR 3 Month+23 basis points), 1/27/2020 (7)		2,500,000		2,508,680
Seagate HDD Cayman, 5.750%, 12/1/2034		2,500,000		2,334,692
				10,518,525
Diversified Financial Services — 3.9%
AerCap Ireland Capital DAC, 3.950%, 2/1/2022 (1)		2,000,000		2,088,292
American Express Credit Corp., 1.817% (LIBOR 3 Month+55 basis points), 3/18/2019 (7)		1,500,000		1,509,009
Capital One Bank USA NA, 2.250%, 2/13/2019 (1)		1,200,000		1,204,883
Discover Financial Services, 4.100%, 2/9/2027 (1)		2,000,000		2,052,660
E*TRADE Financial Corp., 3.800%, 8/24/2027		1,000,000		1,020,522
Jefferies Group, LLC, 6.500%, 1/20/2043		500,000		571,914

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services (continued)
Legg Mason, Inc., 4.750%, 3/15/2026	$	500,000	$	540,051
Mastercard, Inc., 2.000%, 11/21/2021 (1)		1,000,000		999,919
				9,987,250
Electric — 0.8%
Comision Federal de Electricidad, 4.750%, 2/23/2027 (6)		2,000,000		2,080,000
Food — 3.0%
Kraft Heinz Foods Co.:
2.800%, 7/2/2020		1,500,000		1,528,319
3.000%, 6/1/2026		2,000,000		1,930,392
Kroger Co., 4.450%, 2/1/2047 (1)		2,250,000		2,177,390
Mondelez International, Inc., 1.831% (LIBOR 3 Month+52 basis points), 2/1/2019 (7)		2,000,000		2,005,014
				7,641,115
Forest Products & Paper — 0.8%
International Paper Co., 3.000%, 2/15/2027 (1)		2,000,000		1,946,312
Healthcare-Products — 4.7%
Abbott Laboratories:
4.750%, 11/30/2036		1,500,000		1,649,628
4.900%, 11/30/2046 (1)		2,000,000		2,244,776
Becton, Dickinson and Co.:
2.675%, 12/15/2019 (1)		1,500,000		1,522,327
4.685%, 12/15/2044 (1)		2,000,000		2,109,318
Medtronic, Inc., 2.046% (LIBOR 3 Month+80 basis points), 3/15/2020 (7)		2,000,000		2,031,718
Thermo Fisher Scientific, Inc., 3.000%, 4/15/2023 (1)		1,000,000		1,022,034
Zimmer Biomet Holdings, Inc., 2.700%, 4/1/2020		1,500,000		1,518,837
				12,098,638
Healthcare-Services — 0.8%
Laboratory Corp. of America Holdings, 3.250%, 9/1/2024		2,000,000		2,028,836
Holding Companies-Diversified — 0.2%
Leucadia National Corp., 6.625%, 10/23/2043 (1)		500,000		544,478
Insurance — 3.6%
Berkshire Hathaway Finance Corp.:
1.555% (LIBOR 3 Month+25 basis points), 1/11/2019 (7)		1,000,000		1,003,336
1.770% (LIBOR 3 Month+55 basis points), 3/7/2018 (7)		2,000,000		2,006,104
Lincoln National Corp., 3.625%, 12/12/2026		2,000,000		2,051,056
Metropolitan Life Global Funding I, 1.697% (LIBOR 3 Month+43 basis points), 12/19/2018 (6)(7)		2,000,000		2,008,124
Unum Group, 4.000%, 3/15/2024		2,000,000		2,115,460
				9,184,080

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

96

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Internet — 3.7%
Amazon.com, Inc.:
2.500%, 11/29/2022 (1)	$	2,500,000	$	2,533,237
2.800%, 8/22/2024 (6)		1,500,000		1,524,608
4.050%, 8/22/2047 (6)		1,500,000		1,549,697
eBay, Inc.:
2.181% (LIBOR 3 Month+87 basis points), 1/30/2023 (7)		2,500,000		2,515,022
4.000%, 7/15/2042		1,500,000		1,368,210
				9,490,774
Iron/Steel — 1.5%
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (6)		2,500,000		2,607,500
Vale Overseas, Ltd., 8.250%, 1/17/2034		1,000,000		1,262,500
				3,870,000
Lodging — 1.2%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,097,409
Wyndham Worldwide Corp., 4.500%, 4/1/2027		2,000,000		2,038,448
				3,135,857
Media — 2.8%
Charter Communications Operating LLC, 6.484%, 10/23/2045 (1)		2,500,000		2,881,990
Cox Communications, Inc., 4.600%, 8/15/2047 (6)		1,500,000		1,527,577
Scripps Networks Interactive, Inc., 2.750%, 11/15/2019		1,000,000		1,011,976
Viacom, Inc.:
4.375%, 3/15/2043 (1)		1,050,000		905,267
4.850%, 12/15/2034 (1)		1,000,000		966,778
				7,293,588
Mining — 0.4%
Glencore Funding LLC, 4.625%, 4/29/2024 (6)		1,000,000		1,064,617
Miscellaneous Manufacturing — 0.4%
Siemens Financieringsmaatschappij NV, 1.590% (LIBOR 3 Month+34 basis points), 3/16/2020 (6)(7)		1,000,000		1,001,933
Oil & Gas — 6.7%
BP Capital Markets PLC, 2.120% (LIBOR 3 Month+87 basis points), 9/16/2021 (7)		2,000,000		2,035,914
Chevron Corp., 1.428% (LIBOR 3 Month+21 basis points), 3/3/2020 (7)		3,000,000		3,010,077
Ecopetrol SA:
5.375%, 6/26/2026 (1)		1,000,000		1,066,500
7.375%, 9/18/2043 (1)		1,500,000		1,692,750
Ensco PLC:
4.500%, 10/1/2024		1,000,000		735,000
5.200%, 3/15/2025 (1)		1,000,000		750,000
Exxon Mobil Corp., 1.917% (LIBOR 3 Month+60 basis points), 2/28/2018 (1)(7)		2,000,000		2,006,386

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas (continued)
Petroleos Mexicanos, 5.625%, 1/23/2046	$	2,000,000	$	1,888,000
Phillips 66, 1.954% (LIBOR 3 Month+65 basis points), 4/15/2019 (6)(7)		2,000,000		2,002,016
Shell International Finance BV, 3.750%, 9/12/2046		1,000,000		976,250
Transocean, Inc., 9.350%, 12/15/2041		1,000,000		922,500
				17,085,393
Pharmaceuticals — 7.4%
Allergan Funding SCS:
4.550%, 3/15/2035		500,000		539,382
4.850%, 6/15/2044		1,500,000		1,658,541
Bristol-Myers Squibb Co., 2.000%, 8/1/2022 (1)		2,500,000		2,490,647
Express Scripts Holding Co., 4.800%, 7/15/2046 (1)		1,500,000		1,584,810
Johnson & Johnson, 1.472% (LIBOR 3 Month+27 basis points), 3/1/2019 (7)		2,000,000		2,007,748
Merck & Co., Inc., 2.350%, 2/10/2022 (1)		2,500,000		2,542,292
Novartis Capital Corp., 2.400%, 5/17/2022 (1)		1,000,000		1,013,981
Perrigo Finance Unlimited Co., 3.500%, 3/15/2021		1,500,000		1,548,684
Shire Acquisitions Investments Ireland DAC:
2.400%, 9/23/2021 (1)		1,000,000		993,747
2.875%, 9/23/2023		2,000,000		1,992,258
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		2,000,000		1,692,184
Zoetis, Inc., 3.250%, 2/1/2023 (1)		1,000,000		1,035,737
				19,100,011
Pipelines — 2.8%
Energy Transfer LP:
5.150%, 3/15/2045		2,000,000		1,943,590
6.500%, 2/1/2042		1,500,000		1,688,121
Kinder Morgan Energy Partners LP, 7.500%, 11/15/2040		250,000		311,730
Kinder Morgan, Inc., 5.300%, 12/1/2034 (1)		3,000,000		3,126,819
				7,070,260
Real Estate Investment Trusts — 2.3%
EPR Properties:
4.500%, 6/1/2027 (1)		1,500,000		1,526,990
5.250%, 7/15/2023		1,000,000		1,080,922
Hospitality Properties Trust:
4.500%, 6/15/2023 (1)		500,000		530,738
4.500%, 3/15/2025		1,500,000		1,557,807
Kimco Realty Corp., 3.300%, 2/1/2025		1,250,000		1,261,191
				5,957,648
Retail — 6.4%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044		1,000,000		911,306
Coach, Inc., 4.125%, 7/15/2027		2,500,000		2,519,977

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

97

August 31, 2017

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Retail (continued)
CVS Health Corp.:
2.125%, 6/1/2021 (1)	$	2,000,000	$	1,995,072
2.250%, 12/5/2018 (1)		1,250,000		1,258,450
L Brands, Inc.:
6.950%, 3/1/2033		600,000		580,500
7.600%, 7/15/2037		500,000		495,000
Lowe’s Cos., Inc., 1.842% (LIBOR 3 Month+60 basis points), 9/14/2018 (7)		2,000,000		2,011,566
McDonald’s Corp.:
2.100%, 12/7/2018		750,000		755,092
2.750%, 12/9/2020 (1)		1,500,000		1,537,637
O’Reilly Automotive, Inc., 3.600%, 9/1/2027		2,000,000		2,011,724
Target Corp., 3.625%, 4/15/2046		2,500,000		2,355,627
				16,431,951
Semiconductors — 1.6%
QUALCOMM, Inc.:
1.676% (LIBOR 3 Month+36 basis points), 5/20/2019 (7)		2,500,000		2,509,880
4.800%, 5/20/2045 (1)		1,500,000		1,658,007
				4,167,887
Software — 4.7%
Activision Blizzard, Inc., 4.500%, 6/15/2047 (1)		2,000,000		2,086,284
CA, Inc., 4.700%, 3/15/2027 (1)		2,500,000		2,662,880
Microsoft Corp.:
2.000%, 8/8/2023 (1)		1,750,000		1,729,558
2.875%, 2/6/2024		500,000		514,616
Oracle Corp.:
1.814% (LIBOR 3 Month+51 basis points), 10/8/2019 (7)		2,000,000		2,018,540
2.400%, 9/15/2023 (1)		1,000,000		1,002,944
VMware, Inc., 3.900%, 8/21/2027		2,000,000		2,021,058
				12,035,880
Sovereign — 0.8%
Costa Rica Government International Bond, 7.158%, 3/12/2045 (6)		2,000,000		2,145,000
Telecommunications — 4.9%
AT&T, Inc.:
2.227% (LIBOR 3 Month+91 basis points), 11/27/2018 (7)		1,235,000		1,245,065
5.150%, 3/15/2042		2,000,000		2,049,052
CenturyLink, Inc.:
7.600%, 9/15/2039		550,000		488,125
7.650%, 3/15/2042		1,000,000		885,000
Cisco Systems, Inc., 1.614% (LIBOR 3 Month+34 basis points), 9/20/2019 (7)		2,000,000		2,011,672
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022		800,000		824,000
Motorola Solutions, Inc., 5.500%, 9/1/2044		1,000,000		1,029,305

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Telecom Italia Capital SA, 7.200%, 7/18/2036 (1)	$	1,500,000	$	1,875,000
Telefonica Emisiones SAU, 5.213%, 3/8/2047 (1)		2,000,000		2,234,026
				12,641,245
Toys/Games/Hobbies — 0.8%
Mattel, Inc., 2.350%, 8/15/2021 (1)		2,000,000		1,969,936
Transportation — 0.2%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		500,000		559,270
Trucking & Leasing — 0.8%
Penske Truck Leasing Co. Lp, 3.300%, 4/1/2021 (6)		2,000,000		2,067,716
Total Corporate Bonds & Notes (identified cost $233,998,045)				240,187,039
Municipals — 0.2%
California — 0.2%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		565,325
Total Municipals (identified cost $500,000)				565,325
U.S. Government & U.S. Government Agency Obligations — 3.3%
U.S. Treasury Bonds & Notes — 3.3%
2.000%, 11/30/2022 (1)		3,000,000		3,036,681
2.000%, 8/15/2025 (1)		2,500,000		2,494,775
3.500%, 2/15/2018 (1)		3,000,000		3,032,076
Total U.S. Government & U.S. Government Agency Obligations (identified cost $8,598,271)				8,563,532
Short-Term Investments — 25.0%
Collateral Pool Investments for Securities on Loan — 23.3%
Collateral pool allocation (3)				59,729,711
Mutual Funds — 1.7%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		4,410,395		4,410,836
Total Short-Term Investments (identified cost $64,140,547)				64,140,547
Total Investments — 122.2% (identified cost $307,236,863)				313,456,443
Other Assets and Liabilities — (22.2)%				(57,034,214	)
Total Net Assets — 100.0%			$	256,422,229

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

98

BMO Funds

TCH Core Plus Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 46.0%
Apparel — 0.4%
Ralph Lauren Corp., 2.125%, 9/26/2018	$	4,000,000	$	4,020,436
Auto Manufacturers — 2.6%
Daimler Finance North America LLC, 1.932% (LIBOR 3 Month+63 basis points), 1/6/2020 (6)(7)		10,000,000		10,061,400
Ford Motor Co., 5.291%, 12/8/2046 (1)		1,500,000		1,545,756
Ford Motor Credit Co. LLC:
2.243% (LIBOR 3 Month+93 basis points), 11/4/2019 (7)		4,000,000		4,028,028
2.244% (LIBOR 3 Month+94 basis points), 1/9/2018 (7)		7,000,000		7,016,275
General Motors Financial Co., Inc., 4.000%, 1/15/2025 (1)		5,000,000		5,072,595
				27,724,054
Banks — 7.6%
Banco Santander SA, 2.865% (LIBOR 3 Month+156 basis points), 4/11/2022 (7)		4,000,000		4,132,112
BB&T Corp., 1.816% (LIBOR 3 Month+57 basis points), 6/15/2020 (7)		3,000,000		3,017,916
Canadian Imperial Bank of Commerce, 1.743% (LIBOR 3 Month+52 basis points), 9/6/2019 (1)(7)		5,000,000		5,023,685
Capital One Financial Corp., 2.171% (LIBOR 3 Month+95 basis points), 3/9/2022 (7)		1,500,000		1,500,917
Citigroup, Inc.:
2.150% (LIBOR 3 Month+93 basis points), 6/7/2019 (1)(7)		4,500,000		4,543,321
2.289% (LIBOR 3 Month+107 basis points), 12/8/2021 (1)(7)		1,250,000		1,265,331
2.632% (LIBOR 3 Month+143 basis points), 9/1/2023 (1)(7)		5,000,000		5,107,235
Goldman Sachs Group, Inc.:
2.415% (LIBOR 3 Month+110 basis points), 11/15/2018 (7)		5,000,000		5,046,700
2.424% (LIBOR 3 Month+111 basis points), 4/26/2022 (7)		5,000,000		5,054,445
2.473% (LIBOR 3 Month+116 basis points), 4/23/2020 (7)		8,000,000		8,132,040
HSBC Holdings PLC, 2.977% (LIBOR 3 Month+166 basis points), 5/25/2021 (7)		5,000,000		5,175,760
JPMorgan Chase & Co.:
2.127% (LIBOR 3 Month+84 basis points), 3/22/2019 (7)		3,500,000		3,529,967
2.320% (LIBOR 3 Month+110 basis points), 6/7/2021 (7)		5,000,000		5,089,425
2.516% (LIBOR 3 Month+121 basis points), 10/29/2020 (7)		4,000,000		4,093,564

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Morgan Stanley, 2.041% (LIBOR 3 Month+74 basis points), 1/5/2018 (7)	$	3,000,000	$	3,006,081
Toronto-Dominion Bank, 2.303% (LIBOR 3 Month+100 basis points), 4/7/2021 (7)		4,500,000		4,596,291
U.S. Bank NA, 1.633% (LIBOR 3 Month+32 basis points), 1/24/2020 (7)		4,000,000		4,012,224
Wells Fargo Bank NA, 1.917% (LIBOR 3 Month+60 basis points), 5/24/2019 (7)		3,000,000		3,021,636
Westpac Banking Corp., 1.876% (LIBOR 3 Month+56 basis points), 8/19/2019 (7)		4,000,000		4,021,008
				79,369,658
Beverages — 0.8%
Anheuser-Busch InBev Finance, Inc., 2.571% (LIBOR 3 Month+126 basis points), 2/1/2021 (7)		3,000,000		3,098,184
PepsiCo, Inc., 1.481% (LIBOR 3 Month+17 basis points), 4/30/2018 (7)		5,000,000		5,006,045
				8,104,229
Chemicals — 1.6%
Braskem America Finance Co., 7.125%, 7/22/2041 (1)(6)		1,000,000		1,133,750
CF Industries, Inc., 5.150%, 3/15/2034 (1)		6,500,000		6,166,875
Mexichem SAB de C.V.:
5.875%, 9/17/2044 (1)(6)		2,000,000		2,055,000
6.750%, 9/19/2042 (1)(6)		6,400,000		7,225,600
				16,581,225
Commercial Services — 0.4%
Hertz Corp., 6.750%, 4/15/2019		4,250,000		4,236,719
Computers — 2.6%
Apple, Inc., 2.250%, 2/23/2021		1,500,000		1,517,619
Dell International LLC, 8.350%, 7/15/2046 (1)(6)		5,500,000		7,118,171
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		2,000,000		2,126,470
International Business Machines Corp., 1.547% (LIBOR 3 Month+23 basis points), 1/27/2020 (7)		11,000,000		11,038,192
Seagate HDD Cayman:
4.875%, 6/1/2027 (1)		2,000,000		1,891,530
5.750%, 12/1/2034 (1)		3,500,000		3,268,570
				26,960,552
Diversified Financial Services — 1.6%
American Express Credit Corp.:
1.921% (LIBOR 3 Month+61 basis points), 7/31/2018 (1)(7)		3,000,000		3,012,102
2.092% (LIBOR 3 Month+78 basis points), 11/5/2018 (7)		5,000,000		5,037,655
Discover Financial Services, 4.100%, 2/9/2027		5,000,000		5,131,650

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

99

August 31, 2017

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services (continued)
Jefferies Group, LLC, 6.500%, 1/20/2043 (1)	$	1,000,000	$	1,143,828
Legg Mason, Inc., 4.750%, 3/15/2026		1,950,000		2,106,201
				16,431,436
Electric — 0.4%
Comision Federal de Electricidad, 4.750%, 2/23/2027 (6)		4,000,000		4,160,000
Food — 1.9%
Kraft Heinz Foods Co., 3.000%, 6/1/2026 (1)		8,000,000		7,721,568
Kroger Co., 4.450%, 2/1/2047 (1)		5,000,000		4,838,645
Mondelez International Holdings Netherlands BV, 1.924% (LIBOR 3 Month+61 basis points), 10/28/2019 (6)(7)		7,000,000		7,029,456
				19,589,669
Healthcare-Products — 3.0%
Abbott Laboratories:
2.350%, 11/22/2019 (1)		10,000,000		10,093,470
4.750%, 11/30/2036		6,500,000		7,148,388
Becton, Dickinson and Co., 4.685%, 12/15/2044 (1)		7,000,000		7,382,613
Medtronic, Inc., 2.046% (LIBOR 3 Month+80 basis points), 3/15/2020 (7)		7,000,000		7,111,013
				31,735,484
Holding Companies-Diversified — 0.1%
Leucadia National Corp., 6.625%, 10/23/2043		500,000		544,478
Insurance — 1.1%
Berkshire Hathaway, Inc., 3.125%, 3/15/2026		2,000,000		2,049,654
Lincoln National Corp., 3.625%, 12/12/2026		4,500,000		4,614,876
Metropolitan Life Global Funding I, 1.697% (LIBOR 3 Month+43 basis points), 12/19/2018 (6)(7)		5,000,000		5,020,310
				11,684,840
Internet — 1.1%
eBay, Inc.:
2.181% (LIBOR 3 Month+87 basis points), 1/30/2023 (7)		7,500,000		7,545,068
4.000%, 7/15/2042		4,000,000		3,648,560
				11,193,628
Iron/Steel — 1.1%
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (6)		6,500,000		6,779,500
Vale Overseas, Ltd.:
6.875%, 11/21/2036 (1)		3,000,000		3,445,500
8.250%, 1/17/2034 (1)		1,500,000		1,893,750
				12,118,750

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Lodging — 0.3%
Wyndham Worldwide Corp., 4.150%, 4/1/2024 (1)	$	3,000,000	$	3,061,311
Media — 1.3%
Charter Communications Operating LLC, 4.464%, 7/23/2022		1,000,000		1,058,843
Cox Communications, Inc., 4.600%, 8/15/2047 (6)		5,650,000		5,753,875
Viacom, Inc., 4.375%, 3/15/2043		6,500,000		5,604,034
Walt Disney Co., 1.628% (LIBOR 3 Month+31 basis points), 5/30/2019 (7)		1,000,000		1,004,837
				13,421,589
Mining — 0.1%
Glencore Funding LLC, 4.625%, 4/29/2024 (6)		1,000,000		1,064,617
Oil & Gas — 3.8%
BP Capital Markets PLC, 2.120% (LIBOR 3 Month+87 basis points), 9/16/2021 (7)		7,000,000		7,125,699
Chevron Corp., 1.428% (LIBOR 3 Month+21 basis points), 3/3/2020 (7)		5,000,000		5,016,795
Ecopetrol SA:
5.375%, 6/26/2026 (1)		1,000,000		1,066,500
7.375%, 9/18/2043 (1)		6,000,000		6,771,000
Ensco PLC:
5.200%, 3/15/2025 (1)		4,500,000		3,375,000
5.750%, 10/1/2044		2,168,000		1,403,780
Exxon Mobil Corp., 1.917% (LIBOR 3 Month+60 basis points), 2/28/2018 (7)		2,500,000		2,507,982
Petroleos Mexicanos:
5.625%, 1/23/2046		3,000,000		2,832,000
6.375%, 1/23/2045 (1)		2,500,000		2,583,750
Phillips 66, 1.954% (LIBOR 3 Month+65 basis points), 4/15/2019 (6)(7)		2,000,000		2,002,016
Shell International Finance BV, 3.750%, 9/12/2046 (1)		4,500,000		4,393,125
Transocean, Inc., 9.350%, 12/15/2041		1,500,000		1,383,750
				40,461,397
Pharmaceuticals — 2.4%
Allergan Funding SCS:
4.550%, 3/15/2035 (1)		1,500,000		1,618,145
4.850%, 6/15/2044		1,500,000		1,658,541
Bristol-Myers Squibb Co., 2.000%, 8/1/2022		2,500,000		2,490,647
Express Scripts Holding Co., 4.800%, 7/15/2046 (1)		5,000,000		5,282,700
Shire Acquisitions Investments Ireland DAC, 2.875%, 9/23/2023 (1)		7,000,000		6,972,903
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		5,000,000		4,230,460
Zoetis, Inc., 3.250%, 2/1/2023 (1)		2,500,000		2,589,342
				24,842,738

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

100

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines — 0.9%
Energy Transfer LP:
5.150%, 3/15/2045 (1)	$	4,000,000	$	3,887,180
6.500%, 2/1/2042		1,000,000		1,125,414
Kinder Morgan Energy Partners LP, 5.000%, 3/1/2043		5,000,000		4,938,845
				9,951,439
Real Estate Investment Trusts — 1.7%
EPR Properties:
4.500%, 6/1/2027 (1)		1,000,000		1,017,993
5.250%, 7/15/2023 (1)		5,000,000		5,404,610
Hospitality Properties Trust:
4.500%, 6/15/2023 (1)		1,000,000		1,061,476
4.500%, 3/15/2025		2,500,000		2,596,345
Kimco Realty Corp., 4.450%, 9/1/2047		5,000,000		5,077,255
Wellltower, Inc., 4.500%, 1/15/2024		2,500,000		2,726,095
				17,883,774
Retail — 2.8%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044		4,900,000		4,465,399
Coach, Inc., 4.125%, 7/15/2027		7,500,000		7,559,933
CVS Health Corp., 2.250%, 12/5/2018		1,500,000		1,510,140
L Brands, Inc.:
6.950%, 3/1/2033 (1)		2,500,000		2,418,750
7.600%, 7/15/2037		1,500,000		1,485,000
McDonald’s Corp., 2.100%, 12/7/2018 (1)		2,000,000		2,013,578
O’Reilly Automotive, Inc., 3.600%, 9/1/2027		5,000,000		5,029,310
Target Corp., 3.625%, 4/15/2046		5,000,000		4,711,255
				29,193,365
Semiconductors — 0.9%
QUALCOMM, Inc.:
1.766% (LIBOR 3 Month+45 basis points), 5/20/2020 (7)		5,000,000		5,029,055
4.800%, 5/20/2045 (1)		4,000,000		4,421,352
				9,450,407
Software — 1.9%
Activision Blizzard, Inc., 4.500%, 6/15/2047		8,000,000		8,345,136
CA, Inc., 4.700%, 3/15/2027		4,000,000		4,260,608
Oracle Corp.:
1.814% (LIBOR 3 Month+51 basis points), 10/8/2019 (1)(7)		3,600,000		3,633,372
2.400%, 9/15/2023 (1)		4,000,000		4,011,776
				20,250,892
Sovereign — 0.6%
Costa Rica Government International Bond:
5.625%, 4/30/2043 (6)		5,000,000		4,568,750
7.000%, 4/4/2044 (6)		2,000,000		2,110,000
				6,678,750

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications — 2.9%
AT&T, Inc., 5.150%, 3/15/2042	$	4,000,000	$	4,098,104
CenturyLink, Inc.:
7.600%, 9/15/2039		4,000,000		3,550,000
7.650%, 3/15/2042		4,800,000		4,248,000
Cisco Systems, Inc.:
1.556% (LIBOR 3 Month+31 basis points), 6/15/2018 (7)		5,000,000		5,013,120
1.614% (LIBOR 3 Month+34 basis points), 9/20/2019 (1)(7)		5,000,000		5,029,180
Motorola Solutions, Inc., 5.500%, 9/1/2044		3,000,000		3,087,915
Telefonica Emisiones SAU, 5.213%, 3/8/2047 (1)		5,000,000		5,585,065
				30,611,384
Transportation — 0.1%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		500,000		559,270
Total Corporate Bonds & Notes (identified cost $468,089,616)				481,886,091
Municipals — 0.0%
California — 0.0%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		300,000		339,195
Total Municipals (identified cost $300,000)				339,195
U.S. Government & U.S. Government Agency Obligations — 12.7%
U.S. Treasury Bonds & Notes — 12.7%
1.375%, 7/15/2018 (1)		2,839,775		2,883,814
1.750%, 1/15/2028 (1)		1,753,830		1,987,875
1.875%, 7/15/2019 (1)		5,736,000		5,974,887
2.000%, 7/31/2020 (1)		15,000,000		15,246,390
2.000%, 9/30/2020 (1)		5,000,000		5,081,250
2.000%, 11/30/2020 (1)		5,000,000		5,080,860
2.000%, 11/15/2021 (1)		10,000,000		10,155,860
2.000%, 2/15/2023 (1)		15,000,000		15,168,450
2.000%, 2/15/2025 (1)		5,000,000		5,002,540
2.000%, 8/15/2025 (1)		5,000,000		4,989,550
2.125%, 1/15/2019 (1)		5,134,005		5,293,308
2.125%, 8/15/2021 (1)		12,500,000		12,755,613
2.250%, 7/31/2018 (1)		10,000,000		10,090,040
2.375%, 5/31/2018 (1)		7,500,000		7,563,285
2.500%, 5/15/2024 (1)		5,000,000		5,182,715
2.500%, 2/15/2045 (1)		2,500,000		2,394,483
3.500%, 2/15/2018 (1)		17,500,000		17,687,110
Total U.S. Government & U.S. Government Agency Obligations (identified cost $131,595,017)				132,538,030
U.S. Government Agency-Mortgage Securities — 36.2%
Federal Home Loan Mortgage Corporation — 15.8%
3.000%, 11/1/2042		1,297,138		1,319,590
3.000%, 4/1/2043		5,278,039		5,369,301
3.000%, 4/1/2043		1,537,454		1,564,918
3.000%, 4/1/2043		2,311,388		2,351,444
3.000%, 5/1/2043		2,673,089		2,717,363
3.000%, 7/1/2043		10,510,808		10,680,746
3.000%, 9/1/2043		10,604,982		10,767,684

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

101

August 31, 2017

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal Home Loan Mortgage Corporation (continued)
3.000%, 4/1/2045	$	9,483,127	$	9,597,076
3.000%, 5/1/2045		5,220,687		5,283,419
3.000%, 9/1/2045		16,465,826		16,666,051
3.000%, 1/1/2046		17,044,763		17,254,857
3.000%, 4/1/2046		17,467,098		17,682,432
3.500%, 12/1/2040		883,786		922,737
3.500%, 12/1/2041		840,426		877,443
3.500%, 3/1/2042		314,906		328,799
3.500%, 12/1/2042		713,047		742,770
3.500%, 7/1/2043		4,649,183		4,843,151
3.500%, 9/1/2043		9,168,230		9,550,353
3.500%, 11/1/2043		7,260,269		7,562,456
3.500%, 1/1/2044		7,460,258		7,770,463
3.500%, 2/1/2044		7,877,871		8,205,819
3.500%, 11/1/2044		5,688,272		5,904,569
4.000%, 4/1/2026		437,116		458,699
4.000%, 10/1/2031		695,465		742,795
4.000%, 12/1/2039		603,580		640,518
4.000%, 12/1/2040		263,603		281,189
4.000%, 12/1/2040		3,210,053		3,406,614
4.000%, 3/1/2041		267,181		283,534
4.000%, 4/1/2041		6,675,751		7,151,131
4.000%, 8/1/2041		180,649		191,748
4.000%, 11/1/2041		699,113		742,064
4.500%, 9/1/2031		323,699		349,769
4.500%, 3/1/2039		139,937		151,341
4.500%, 5/1/2039		533,548		578,790
4.500%, 2/1/2040		139,032		149,975
4.500%, 11/1/2040		512,585		556,953
4.500%, 2/1/2041		1,048,165		1,130,982
5.000%, 12/1/2035		65,464		71,418
5.000%, 1/1/2038		35,022		38,340
5.000%, 3/1/2038		118,450		129,859
5.000%, 3/1/2038		38,423		42,077
5.000%, 2/1/2039		170,507		185,203
5.000%, 1/1/2040		184,743		203,685
6.000%, 6/1/2037		81,078		91,589
6.000%, 1/1/2038		82,712		92,867
				165,634,581
Federal National Mortgage Association — 20.2%
3.000%, 3/1/2043		2,968,636		3,019,575
3.000%, 7/1/2043		6,998,989		7,117,356
3.000%, 7/1/2043		13,862,980		14,098,665
3.000%, 8/1/2043		10,852,089		11,035,587
3.000%, 9/1/2044		9,005,382		9,145,839
3.000%, 1/1/2045		9,894,301		10,034,889
3.000%, 2/1/2045		13,909,503		14,097,240
3.000%, 6/1/2045		8,094,099		8,199,379
3.000%, 3/1/2046		16,076,809		16,276,258
3.000%, 7/1/2046		18,454,119		18,683,061
3.000%, 10/1/2046		18,992,182		19,227,799
3.000%, 12/1/2046		24,152,155		24,451,787
3.000%, 1/1/2047		24,230,501		24,531,105
3.500%, 7/1/2032		437,616		459,773
3.500%, 5/1/2042		1,141,960		1,191,055
3.500%, 10/1/2042		873,714		911,650
3.500%, 10/1/2042		971,169		1,010,351
3.500%, 10/1/2042		1,258,372		1,308,750
3.500%, 11/1/2042		564,528		587,909
3.500%, 12/1/2042		1,043,284		1,085,249

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
3.500%, 1/1/2043	$	3,411,081	$	3,571,685
3.500%, 5/1/2043		11,658,957		12,113,866
4.000%, 11/1/2040		342,982		364,155
4.000%, 1/1/2041		514,753		546,256
4.000%, 2/1/2041		466,894		495,507
4.000%, 2/1/2041		2,596,188		2,757,424
4.000%, 3/1/2041		196,583		210,046
4.000%, 11/1/2041		445,350		472,637
4.500%, 6/1/2039		759,699		829,032
4.500%, 8/1/2041		492,010		533,156
5.000%, 7/1/2022		232,366		243,743
5.000%, 3/1/2035		282,179		311,639
5.000%, 5/1/2042		725,000		793,705
5.500%, 2/1/2034		47,873		53,681
5.500%, 7/1/2036		253,820		284,428
5.500%, 8/1/2037		492,531		552,363
5.500%, 6/1/2038		66,433		74,206
6.000%, 12/1/2038		25,519		28,692
6.000%, 5/1/2039		191,434		217,770
6.500%, 10/1/2037		51,105		59,252
6.500%, 11/1/2037		35,940		40,274
				211,026,794
Government National Mortgage Association — 0.2%
4.000%, 10/15/2040		492,117		521,282
4.000%, 12/15/2040		599,430		634,619
4.000%, 4/15/2041		571,840		605,697
5.500%, 8/20/2038		89,237		93,625
5.500%, 2/15/2039		46,336		51,594
6.000%, 12/15/2038		61,448		69,513
6.000%, 1/15/2039		33,041		37,378
				2,013,708
Total U.S. Government Agency-Mortgage Securities
(identified cost $373,731,220)				378,675,083
Short-Term Investments — 24.5%
Collateral Pool Investments for Securities on Loan — 20.1%
Collateral pool allocation (3)				210,537,373
Mutual Funds — 4.4%
BMO Institutional Prime Money Market Fund —Premier Class, 1.080% (4)		46,555,400		46,560,055
Total Short-Term Investments (identified cost $257,096,536)				257,097,428
Total Investments — 119.4% (identified cost $1,230,812,389)				1,250,535,827
Other Assets and Liabilities — (19.4)%				(203,201,539	)
Total Net Assets — 100.0%			$	1,047,334,288

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

102

BMO Funds

High Yield Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 96.0%
Aerospace/Defense — 1.3%
KLX, Inc., 5.875%, 12/1/2022 (6)	$	52,000	$	54,730
TransDigm, Inc., 6.500%, 7/15/2024		115,000		119,744
				174,474
Agriculture — 1.4%
Vector Group, Ltd., 6.125%, 2/1/2025 (6)		188,000		193,170
Airlines — 1.2%
United Continental Holdings, Inc., 6.000%, 12/1/2020		150,000		163,125
Auto Parts & Equipment — 3.1%
American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		100,000		103,625
Goodyear Tire & Rubber Co., 5.000%, 5/31/2026		150,000		157,125
Tenneco, Inc., 5.000%, 7/15/2026		150,000		151,875
				412,625
Banks — 1.0%
CIT Group, Inc., 5.000%, 8/15/2022		125,000		135,613
Building Materials — 3.2%
Builders FirstSource, Inc., 5.625%, 9/1/2024 (6)		150,000		157,312
Norbord, Inc., 6.250%, 4/15/2023 (6)		45,000		48,600
U.S. Concrete, Inc., 6.375%, 6/1/2024		200,000		217,000
				422,912
Chemicals — 1.1%
CF Industries, Inc., 3.450%, 6/1/2023		50,000		48,750
Trinseo Materials Finance, Inc., 5.375%, 9/1/2025 (6)		50,000		51,250
Valvoline, Inc., 4.375%, 8/15/2025 (6)		50,000		50,500
				150,500
Commercial Services — 5.1%
Avis Budget Finance Inc., 5.250%, 3/15/2025 (6)		150,000		147,141
Herc Rentals, Inc., 7.500%, 6/1/2022 (6)		169,000		185,900
Hertz Corp., 5.875%, 10/15/2020		100,000		96,500
Live Nation Entertainment, Inc., 4.875%, 11/1/2024 (6)		136,000		139,060
Prime Security Services Borrower LLC, 9.250%, 5/15/2023 (6)		100,000		110,750
				679,351
Computers — 3.1%
Dell, Inc., 6.500%, 4/15/2038		125,000		127,500
Seagate HDD Cayman:
4.750%, 1/1/2025		25,000		24,374
4.875%, 6/1/2027		50,000		47,288
Western Digital Corp., 10.500%, 4/1/2024		175,000		208,250
				407,412
Cosmetics/Personal Care — 0.6%
Revlon Consumer Products Corp., 6.250%, 8/1/2024		100,000		81,243
Diversified Financial Services — 1.4%
Ally Financial, Inc., 8.000%, 11/1/2031		140,000		180,950

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Electric — 1.8%
Dynegy, Inc., 7.375%, 11/1/2022	$	100,000	$	103,750
NRG Energy, Inc., 6.625%, 3/15/2023		125,000		129,687
				233,437
Electrical Components & Equipment — 0.8%
Belden, Inc., 5.250%, 7/15/2024 (6)		100,000		103,500
Electronics — 0.8%
Ingram Micro, Inc., 5.450%, 12/15/2024		100,000		101,911
Entertainment — 1.2%
AMC Entertainment Holdings, Inc., 5.875%, 2/15/2022		100,000		101,000
Cinemark USA, Inc., 4.875%, 6/1/2023		60,000		60,150
				161,150
Food — 1.3%
Minerva Luxembourg SA, 6.500%, 9/20/2026 (6)		75,000		75,510
Post Holdings, Inc., 5.000%, 8/15/2026 (6)		100,000		100,250
				175,760
Forest Products & Paper — 1.0%
Mercer International, Inc., 6.500%, 2/1/2024 (6)		125,000		130,625
Healthcare-Services — 6.8%
CHS/Community Health Systems, Inc., 7.125%, 7/15/2020		125,000		118,047
DaVita, Inc., 5.000%, 5/1/2025		212,000		215,456
Envision Healthcare Corp., 5.625%, 7/15/2022		150,000		156,094
HCA, Inc., 5.875%, 5/1/2023		90,000		98,685
LifePoint Health, Inc., 5.375%, 5/1/2024		159,000		164,962
Select Medical Corp., 6.375%, 6/1/2021		150,000		155,019
				908,263
Home Builders — 4.8%
Brookfield Residential Properties, Inc., 6.125%, 7/1/2022 (6)		150,000		157,125
CalAtlantic Group, Inc., 5.000%, 6/15/2027		100,000		100,500
TRI Pointe Group, Inc., 5.875%, 6/15/2024		176,000		187,880
William Lyon Homes, Inc., 5.875%, 1/31/2025		188,000		193,640
				639,145
Home Furnishings — 1.2%
Tempur Sealy International, Inc., 5.625%, 10/15/2023		150,000		156,938
Household Products/Wares — 0.6%
ACCO Brands Corp., 5.250%, 12/15/2024 (6)		75,000		77,438
Iron/Steel — 1.0%
United States Steel Corp.:
6.875%, 8/15/2025		50,000		51,000
8.375%, 7/1/2021(6)		75,000		83,063
				134,063
Lodging — 1.3%
MGM Resorts International, 4.625%, 9/1/2026		175,000		178,936

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

103

August 31, 2017

Schedules of Investments

High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media — 9.2%
Altice Finco SA, 7.625%, 2/15/2025 (6)	$	200,000	$	212,000
CCO Holdings LLC, 5.500%, 5/1/2026 (6)		200,000		209,250
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		75,000		75,000
Nexstar Broadcasting, Inc., 6.125%, 2/15/2022 (6)		75,000		78,562
SFR Group SA, 7.375%, 5/1/2026 (6)		100,000		108,377
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (6)		100,000		105,250
UPCB Finance IV, Ltd., 5.375%, 1/15/2025 (6)		200,000		208,500
Virgin Media Finance PLC, 6.375%, 4/15/2023 (6)		220,000		231,550
				1,228,489
Mining — 5.0%
Aleris International, Inc., 9.500%, 4/1/2021 (6)		75,000		80,062
Freeport-McMoRan, Inc., 3.550%, 3/1/2022		150,000		147,937
HudBay Minerals, Inc., 7.250%, 1/15/2023 (6)		75,000		81,000
Kaiser Aluminum Corp., 5.875%, 5/15/2024		100,000		107,250
Kinross Gold Corp.:
4.500%, 7/15/2027(6)		75,000		75,188
6.875%, 9/1/2041		50,000		53,875
Teck Resources, Ltd., 4.750%, 1/15/2022		116,000		122,090
				667,402
Oil & Gas — 9.6%
Ensco PLC, 4.500%, 10/1/2024		100,000		73,500
EP Energy LLC, 9.375%, 5/1/2020		100,000		74,125
Gulfport Energy Corp., 6.625%, 5/1/2023		100,000		100,000
Halcon Resources Corp., 6.750%, 2/15/2025 (6)		125,000		126,250
MEG Energy Corp., 7.000%, 3/31/2024 (6)		150,000		120,000
Noble Holding International, Ltd., 7.750%, 1/15/2024		130,000		101,072
Oasis Petroleum, Inc., 6.875%, 3/15/2022		75,000		73,313
PBF Holding Co. LLC, 7.250%, 6/15/2025 (6)		100,000		99,250
QEP Resources, Inc., 5.250%, 5/1/2023		150,000		143,250
Rowan Cos., Inc., 7.375%, 6/15/2025		124,000		112,840
Transocean, Inc., 9.000%, 7/15/2023 (6)		150,000		160,125
Whiting Petroleum Corp., 5.750%, 3/15/2021		100,000		94,250
				1,277,975
Oil & Gas Services — 1.0%
Weatherford International, Ltd., 7.750%, 6/15/2021		128,000		128,480
Pharmaceuticals — 0.5%
Endo Finance LLC, 5.750%, 1/15/2022 (6)		75,000		67,500

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines — 3.7%
Antero Midstream Partners LP, 5.375%, 9/15/2024	$	100,000	$	102,500
Cheniere Corpus Christi Holdings LLC:
5.125%, 6/30/2027 (6)		150,000		155,625
7.000%, 6/30/2024		75,000		85,687
Genesis Energy LP, 6.750%, 8/1/2022		150,000		152,625
				496,437
Real Estate Investment Trusts — 2.2%
GEO Group, Inc., 5.875%, 10/15/2024		138,000		143,520
Iron Mountain, Inc., 5.750%, 8/15/2024		100,000		102,505
SBA Communications Corp., 4.875%, 9/1/2024		50,000		51,750
				297,775
Retail — 3.4%
Asbury Automotive Group, Inc., 6.000%, 12/15/2024		100,000		103,500
JC Penney Corp., Inc., 5.650%, 6/1/2020		75,000		74,497
L Brands, Inc., 5.625%, 10/15/2023		117,000		123,435
New Red Finance, Inc., 4.250%, 5/15/2024 (6)		150,000		152,250
				453,682
Semiconductors — 1.6%
Amkor Technology, Inc., 6.375%, 10/1/2022		100,000		103,625
Micron Technology, Inc., 5.250%, 8/1/2023 (6)		100,000		104,625
				208,250
Software — 1.6%
Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024		74,000		79,735
Rackspace Hosting, Inc., 8.625%, 11/15/2024 (6)		122,000		129,778
				209,513
Telecommunications — 11.7%
CenturyLink, Inc., 5.800%, 3/15/2022		200,000		199,500
Cincinnati Bell, Inc., 7.000%, 7/15/2024 (6)		150,000		148,875
CommScope, Inc., 5.500%, 6/15/2024 (6)		158,000		165,307
Frontier Communications Corp., 8.750%, 4/15/2022		125,000		106,250
GCI, Inc., 6.750%, 6/1/2021		119,000		122,124	��
Hughes Satellite Systems Corp., 7.625%, 6/15/2021		100,000		114,250
Inmarsat Finance PLC, 4.875%, 5/15/2022 (6)		150,000		153,375
Sprint Communications, Inc., 6.000%, 11/15/2022		100,000		106,625
Sprint Corp., 7.125%, 6/15/2024		110,000		121,275
Telecom Italia Capital SA, 6.000%, 9/30/2034		200,000		222,000
Telesat Canada, 8.875%, 11/15/2024 (6)		82,000		92,045
				1,551,626

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

104

BMO Funds

High Yield Bond Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Transportation — 1.4%
XPO Logistics, Inc., 6.500%, 6/15/2022 (6)	$	175,000	$	184,774
Total Corporate Bonds & Notes (identified cost $12,275,868)				12,774,444
Short-Term Investments — 2.7%
Mutual Funds — 2.7%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (4)		360,009		360,045
Total Short-Term Investments (identified cost $360,045)				360,045
Total Investments — 98.7% (identified cost $12,635,913)				13,134,489
Other Assets and Liabilities — 1.3%				178,860
Total Net Assets — 100.0%			$	13,313,349

Government Money Market Fund

Description	Shares or Principal Amount		Value
Mutual Funds — 5.5%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 0.890%		25,000,000	$	25,000,000
Invesco Government & Agency Portfolio — Institutional Class, 0.930%		145,000,000		145,000,000
Total Mutual Funds				170,000,000
Repurchase Agreements — 19.7%
Agreement with Fixed Income Clearing Corp., 0.120%, dated 8/31/2017, to be repurchased at $13,302,580 on 9/1/2017, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/30/2023, with a market value of $13,572,393	$	13,302,536		13,302,536
Agreement with Goldman Sachs Group, Inc., 1.040%, dated 8/31/2017, to be repurchased at $430,012,422 on 9/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 8/1/2047, with a market value of $437,308,940		430,000,000		430,000,000

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.080%, dated 8/31/2017, to be repurchased at $65,001,950 on 9/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 9/1/2047, with a market value of $66,120,013	$	65,000,000	$	65,000,000
Agreement with Toronto Dominion Bank, 1.070%, dated 8/31/2017, to be repurchased at $100,002,972 on 9/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 3/1/2047, with a market value of $101,715,362		100,000,000		100,000,000
Total Repurchase Agreements				608,302,536
U.S. Government & U.S. Government Agency Obligations — 86.2%
Federal Farm Credit Bank — 17.0%
0.990%, 9/6/2017 (11)		20,000,000		19,997,250
0.990%, 9/8/2017 (11)		23,000,000		22,995,572
1.000%, 10/13/2017 (11)		20,000,000		19,976,667
1.035% (LIBOR 3 Month-26 basis points), 9/28/2018 (7)		18,000,000		18,001,741
1.073% (U.S. Treasury 3 Month Bill Money Market Yield+5 basis points), 12/5/2018 (7)		11,000,000		10,999,297
1.129% (LIBOR 1 Month-10 basis points), 8/8/2018 (7)		15,000,000		15,000,000
1.135% (U.S. Federal Funds Effective Rate (continuous series)-3 basis points), 4/25/2019 (7)		18,000,000		17,998,509
1.137% (LIBOR 1 Month-10 basis points), 12/3/2018 (7)		15,000,000		15,000,000
1.145% (FCPR DLY-311 basis points), 4/10/2019 (7)		14,000,000		13,998,867
1.149% (LIBOR 1 Month-8 basis points), 11/9/2018 (7)		10,000,000		9,999,422
1.160% (U.S. Federal Funds Effective Rate (continuous series)+0 basis points), 4/15/2019 (7)		16,000,000		15,997,388
1.166% (LIBOR 1 Month-7 basis points), 7/20/2018 (7)		18,000,000		18,012,205
1.170% (U.S. Federal Funds Effective Rate (continuous series)+1 basis points), 4/24/2019 (7)		15,000,000		14,997,525
1.170% (FCPR DLY-308 basis points), 6/27/2019 (7)		25,000,000		24,999,532

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

105

August 31, 2017

Schedules of Investments

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Farm Credit Bank (continued)
1.176% (LIBOR 1 Month-6 basis points), 12/20/2018 (7)	$	15,500,000	$	15,499,470
1.180% (LIBOR 3 Month-3 basis points), 3/2/2018 (7)		25,950,000		25,978,771
1.186% (LIBOR 1 Month-5 basis points), 1/23/2019 (7)		10,000,000		10,000,785
1.190% (FCPR DLY-306 basis points), 4/25/2019 (7)		10,000,000		9,998,339
1.204% (LIBOR 1 Month-3 basis points), 10/25/2017 (7)		15,000,000		15,000,000
1.244% (LIBOR 1 Month+1 basis points), 11/27/2017 (7)		8,415,000		8,414,593
1.248% (LIBOR 1 Month+2 basis points), 5/17/2018 (7)		12,900,000		12,914,868
1.249% (LIBOR 1 Month+2 basis points), 1/8/2018 (7)		13,690,000		13,697,689
1.258% (LIBOR 1 Month+3 basis points), 1/17/2018 (7)		7,995,000		7,996,780
1.260% (U.S. Federal Funds Effective Rate (continuous series)+10 basis points), 9/1/2017 (7)		15,000,000		15,000,000
1.264% (LIBOR 1 Month+4 basis points), 12/8/2017 (7)		8,000,000		8,002,361
1.265% (LIBOR 1 Month+3 basis points), 11/22/2017 (7)		5,000,000		5,002,384
1.265% (LIBOR 1 Month+3 basis points), 3/22/2018 (7)		2,945,000		2,947,472
1.267% (LIBOR 1 Month+4 basis points), 9/15/2017 (7)		8,100,000		8,100,472
1.270% (U.S. Federal Funds Effective Rate (continuous series)+11 basis points), 1/22/2018 (7)		20,000,000		20,013,368
1.274% (LIBOR 1 Month+5 basis points), 4/9/2018 (7)		27,350,000		27,362,513
1.278% (LIBOR 1 Month+5 basis points), 4/16/2018 (7)		21,075,000		21,084,232
1.284% (LIBOR 3 Month-3 basis points), 1/26/2018 (7)		12,500,000		12,509,168
1.304% (LIBOR 1 Month+7 basis points), 9/28/2017 (7)		6,500,000		6,501,359
1.327% (LIBOR 1 Month+10 basis points), 10/3/2018 (7)		15,050,000		15,054,788
1.349% (LIBOR 1 Month+12 basis points), 11/13/2017 (7)		5,000,000		5,000,000
1.354% (LIBOR 1 Month+13 basis points), 9/14/2017 (7)		5,000,000		5,000,259
1.361% (LIBOR 1 Month+13 basis points), 10/6/2017 (7)		5,300,000		5,301,719
1.374% (LIBOR 1 Month+14 basis points), 1/25/2018 (7)		3,500,000		3,500,294
1.394% (LIBOR 1 Month+16 basis points), 3/26/2018 (7)		5,235,000		5,239,923
				523,095,582

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Bank — 30.0%
0.937% (LIBOR 3 Month-35 basis points), 9/22/2017 (7)	$	24,000,000	$	24,000,000
0.960%, 9/5/2017 (11)		6,500,000		6,499,307
0.960% (LIBOR 3 Month-26 basis points), 9/7/2017 (7)		10,000,000		10,000,001
0.997%, 9/6/2017 (11)		95,683,000		95,669,757
1.000%, 9/14/2017 (11)		15,000,000		14,994,583
1.005%, 9/8/2017 (11)		15,000,000		14,997,069
1.019% (LIBOR 3 Month-30 basis points), 10/25/2017 (7)		14,000,000		13,999,895
1.037%, 11/22/2017 (11)		15,000,000		14,964,569
1.039% (LIBOR 3 Month-16 basis points), 3/1/2018 (7)		10,000,000		10,002,592
1.041% (LIBOR 1 Month-19 basis points), 10/20/2017 (7)		16,000,000		16,000,000
1.048% (LIBOR 1 Month-18 basis points), 1/18/2018 (7)		15,000,000		15,000,000
1.049% (LIBOR 1 Month-19 basis points), 9/26/2017 (7)		20,000,000		20,000,000
1.052% (LIBOR 1 Month-18 basis points), 2/2/2018 (7)		12,000,000		11,997,446
1.062% (LIBOR 1 Month-17 basis points), 1/2/2018 (7)		10,000,000		10,000,000
1.064% (LIBOR 1 Month-17 basis points), 1/26/2018 (7)		12,500,000		12,500,000
1.064% (LIBOR 1 Month-17 basis points), 1/26/2018 (7)		15,000,000		15,000,000
1.069% (LIBOR 1 Month-17 basis points), 1/25/2018 (7)		30,000,000		29,998,896
1.069% (LIBOR 1 Month-17 basis points), 1/26/2018 (7)		10,000,000		9,999,422
1.071% (LIBOR 1 Month-17 basis points), 1/23/2018 (7)		9,000,000		8,999,684
1.073% (LIBOR 1 Month-16 basis points), 1/17/2018 (7)		20,000,000		20,000,000
1.074% (LIBOR 1 Month-16 basis points), 2/12/2018 (7)		14,000,000		14,000,000
1.076% (LIBOR 3 Month-22 basis points), 3/26/2018 (7)		18,500,000		18,500,000
1.079% (LIBOR 1 Month-16 basis points), 1/25/2018 (7)		15,000,000		14,999,786
1.081% (LIBOR 1 Month-15 basis points), 2/2/2018 (7)		15,000,000		14,999,916
1.088% (LIBOR 1 Month-14 basis points), 5/18/2018 (7)		20,000,000		20,000,000
1.089% (LIBOR 1 Month-15 basis points), 4/25/2018 (7)		13,500,000		13,499,542
1.089% (LIBOR 1 Month-15 basis points), 4/26/2018 (7)		15,000,000		14,999,586
1.091% (LIBOR 1 Month-14 basis points), 4/6/2018 (7)		15,000,000		15,000,000
1.104% (LIBOR 1 Month-13 basis points), 7/25/2018 (7)		15,000,000		15,000,000
1.113% (LIBOR 1 Month-12 basis points), 8/23/2018 (7)		15,000,000		15,000,000
1.129% (LIBOR 3 Month-18 basis points), 11/13/2017 (7)		12,500,000		12,500,128
1.129%, 12/22/2017 (11)		17,500,000		17,438,532
1.130%, 12/27/2017 (11)		4,000,000		3,985,310
1.131% (LIBOR 1 Month-10 basis points), 12/21/2018 (7)		17,500,000		17,500,000
1.139% (LIBOR 1 Month-9 basis points), 11/8/2018 (7)		15,000,000		15,000,000

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

106

BMO Funds

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
1.139% (LIBOR 1 Month-9 basis points), 1/11/2019 (7)	$	13,500,000	$	13,500,000
1.140%, 2/9/2018 (11)		10,000,000		9,949,017
1.145% (LIBOR 1 Month-9 basis points), 1/22/2019 (7)		15,000,000		15,000,000
1.151% (LIBOR 1 Month-8 basis points), 2/4/2019 (7)		10,000,000		10,000,000
1.156% (LIBOR 1 Month-8 basis points), 7/23/2018 (7)		10,000,000		10,000,000
1.156% (LIBOR 1 Month-8 basis points), 11/23/2018 (7)		14,500,000		14,500,000
1.165% (LIBOR 1 Month-7 basis points), 11/22/2017 (7)		18,800,000		18,799,537
1.176% (LIBOR 1 Month-6 basis points), 8/28/2019 (7)		10,000,000		10,000,000
1.181% (LIBOR 1 Month-5 basis points), 10/10/2017 (7)		23,000,000		23,000,000
1.187% (LIBOR 1 Month-5 basis points), 2/1/2019 (7)		10,000,000		10,000,052
1.196% (LIBOR 1 Month-4 basis points), 10/6/2017 (7)		5,000,000		5,000,725
1.197% (LIBOR 1 Month-3 basis points), 9/15/2017 (7)		17,500,000		17,500,000
1.213% (LIBOR 3 Month-2 basis points), 9/11/2017 (7)		7,500,000		7,499,438
1.222% (LIBOR 3 Month-9 basis points), 11/6/2017 (7)		4,600,000		4,601,327
1.244% (LIBOR 1 Month+2 basis points), 12/8/2017 (7)		10,000,000		9,999,865
1.249% (LIBOR 1 Month+2 basis points), 11/28/2017 (7)		20,725,000		20,724,931
1.253% (LIBOR 1 Month+3 basis points), 5/17/2018 (7)		5,000,000		5,004,346
1.256% (LIBOR 1 Month+2 basis points), 3/23/2018 (7)		25,000,000		25,000,091
1.271% (LIBOR 1 Month+4 basis points), 9/5/2017 (7)		25,390,000		25,390,377
1.283% (LIBOR 1 Month+6 basis points), 11/17/2017 (7)		12,500,000		12,500,000
1.301% (LIBOR 1 Month+7 basis points), 12/5/2017 (7)		25,530,000		25,534,279
1.301% (LIBOR 1 Month+7 basis points), 12/7/2017 (7)		17,535,000		17,540,053
1.307% (LIBOR 1 Month+8 basis points), 11/3/2017 (7)		10,000,000		10,000,000
1.308% (LIBOR 1 Month+8 basis points), 10/18/2017 (7)		5,000,000		5,000,000
1.331% (LIBOR 1 Month+10 basis points), 2/5/2018 (7)		1,700,000		1,701,675
				924,791,734
Federal Home Loan Mortgage Corporation — 6.1%
0.800%, 9/28/2017		6,400,000		6,400,000
0.924% (LIBOR 3 Month-38 basis points), 10/12/2017 (7)		15,000,000		15,000,000
0.950%, 9/1/2017 (11)		50,000,000		50,000,000
0.995%, 9/5/2017 (11)		10,000,000		9,998,895

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Mortgage Corporation (continued)
1.005%, 9/14/2017 (11)	$	25,000,000	$	24,990,927
1.029% (LIBOR 3 Month-28 basis points), 8/10/2018 (7)		15,000,000		15,000,000
1.054% (LIBOR 3 Month-25 basis points), 10/10/2018 (7)		20,000,000		20,000,000
1.064% (LIBOR 3 Month-25 basis points), 7/25/2018 (7)		10,000,000		10,000,000
1.269% (LIBOR 1 Month+4 basis points), 11/13/2017 (7)		36,935,000		36,943,161
				188,332,983
Federal National Mortgage Association — 28.9%
0.900%, 9/5/2017 (11)		350,000,000		349,965,000
0.950%, 9/1/2017 (11)		475,000,000		475,000,000
1.000%, 9/11/2017 (11)		11,950,000		11,946,680
1.140%, 1/3/2018 (11)		13,414,000		13,361,328
1.239% (LIBOR 1 Month+1 basis points), 9/8/2017 (7)		3,000,000		2,994,450
1.241% (LIBOR 1 Month+1 basis points), 10/5/2017 (7)		29,555,000		29,558,246
1.275% (LIBOR 3 Month-3 basis points), 1/11/2018 (7)		7,500,000		7,500,000
				890,325,704
U.S. Treasury Bonds & Notes — 4.2%
0.875%, 10/15/2017		15,000,000		14,995,488
0.965%, 9/7/2017 (11)		50,000,000		49,991,958
1.071%, 10/5/2017 (11)		15,000,000		14,984,827
1.122%, 10/19/2017 (11)		30,000,000		29,955,127
1.145%, 10/12/2017 (11)		10,000,000		9,986,960
1.175%, 10/26/2017 (11)		10,000,000		9,982,049
				129,896,409
Total U.S. Government & U.S. Government Agency Obligations				2,656,442,412
Total Investments — 111.4% (at amortized cost)				3,434,744,948
Other Assets and Liabilities — (11.4)%				(351,141,574	)
Total Net Assets — 100.0%			$	3,083,603,374

Tax-Free Money Market Fund

Description	Principal Amount		Value
Municipals — 101.4%
Alabama — 9.0%
Chatom Industrial Development Board, 1.300%, 8/1/2037 (12)	$	5,500,000	$	5,500,000
City of Oxford, 0.940%, 9/1/2041 (12)		12,745,000		12,745,000
Mobile Industrial Development Board, 1.000%, 6/1/2034 (12)		10,000,000		10,000,000
				28,245,000

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

107

August 31, 2017

Schedules of Investments

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
California — 1.6%
San Francisco City & County Public Utilities Commission, 0.840%, 10/18/2017	$	5,000,000	$	5,000,000
Colorado — 3.1%
Colorado Health Facilities Authority, 0.850%, 1/1/2035 (12)		9,900,000		9,900,000
Connecticut — 4.0%
State of Connecticut, 0.900%, 5/15/2034 (12)		12,700,000		12,700,000
Delaware — 2.2%
Delaware State Health Facilities Authority, 0.880%, 10/1/2038 (12)		7,000,000		7,000,000
Florida — 6.3%
County of Brevard, 0.940%, 10/1/2019 (12)		800,000		800,000
Jacksonville Pollution Control, 0.870%, 9/18/2017		13,300,000		13,300,000
Tender Option Bond Trust Receipts/Certificates, 0.860%, 11/1/2027 (6)(12)		5,695,000		5,695,000
				19,795,000
Georgia — 0.1%
Columbia County Development Authority, 0.890%, 8/1/2018 (12)		400,000		400,000
Illinois — 3.3%
Jackson-Union Counties Regional Port District, 0.840%, 4/1/2024 (12)		2,400,000		2,400,000
Phoenix Realty Special Account-U LP, 0.810%, 4/1/2020 (12)		8,075,000		8,075,000
				10,475,000
Indiana — 2.5%
Tender Option Bond Trust Receipts/Certificates, 0.940%, 5/14/2026 (6)(12)		7,770,000		7,770,000
Iowa — 4.5%
Iowa Finance Authority:
0.810%, 6/1/2039 (12)		9,800,000		9,800,000
0.830%, 9/1/2036 (12)		3,200,000		3,200,000
0.870%, 3/1/2022 (12)		1,175,000		1,175,000
				14,175,000
Maryland — 3.2%
City of Montgomery, 0.960%, 9/14/2017		10,000,000		10,000,000
Massachusetts — 1.6%
Massachusetts Bay Trust, 0.870%, 10/17/2017		5,000,000		5,000,000
Michigan — 0.4%
Michigan Strategic Fund, 0.890%, 6/1/2039 (12)		1,175,000		1,175,000

Description	Principal Amount		Value
Municipals (continued)
Minnesota — 2.3%
City of Ramsey, 0.980%, 12/1/2023 (12)	$	2,090,000	$	2,090,000
Minnesota Higher Education Facilities Authority:
0.860%, 3/1/2024 (12)		2,000,000		2,000,000
0.860%, 3/1/2033 (12)		3,215,000		3,215,000
				7,305,000
Mississippi — 4.7%
Mississippi Business Finance Corp.:
0.840%, 12/1/2030 (12)		7,000,000		7,000,000
0.840%, 11/1/2035 (12)		3,520,000		3,520,000
0.840%, 11/1/2035 (12)		1,400,000		1,400,000
1.150%, 5/1/2037 (12)		2,823,000		2,823,000
				14,743,000
Missouri — 0.3%
Greene County Industrial Development Authority, 0.910%, 5/1/2039 (12)		1,025,000		1,025,000
Nebraska — 0.2%
Nebraska Investment Finance Authority, 1.000%, 9/1/2031 (12)		600,000		600,000
New Jersey — 3.1%
New Jersey Housing & Mortgage Finance Agency, 0.850%, 10/1/2017 (12)		4,780,000		4,780,000
RBC Municipal Products, Inc. Trust, 0.820%, 6/28/2018 (6)(12)		5,000,000		5,000,000
				9,780,000
New York — 16.6%
City of New York:
0.850%, 4/1/2036 (12)		2,600,000		2,600,000
0.860%, 8/1/2024 (12)		6,205,000		6,205,000
0.860%, 8/1/2044 (12)		2,615,000		2,615,000
Metropolitan Transportation Authority, 0.800%, 11/1/2032 (12)		10,000,000		10,000,000
New York City Transitional Finance Authority, 0.850%, 8/1/2043 (12)		6,715,000		6,715,000
New York City Water & Sewer System:
0.830%, 6/15/2049 (12)		2,520,000		2,520,000
0.840%, 6/15/2039 (12)		5,500,000		5,500,000
0.860%, 6/15/2044 (12)		3,950,000		3,950,000
Tender Option Bond Trust Receipts/Certificates, 0.840%, 1/1/2024 (6)(12)		2,000,000		2,000,000
Triborough Bridge & Tunnel Authority:
0.800%, 1/1/2032 (12)		1,750,000		1,750,000
0.860%, 11/1/2032 (12)		8,330,000		8,330,000
				52,185,000
Ohio — 4.5%
County of Franklin, 0.950%, 12/1/2017 (12)		9,000,000		9,000,000
County of Licking, 2.000%, 5/23/2018		1,200,000		1,206,857

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

108

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio (continued)
Port of Greater Cincinnati Development Authority:
0.930%, 11/1/2023 (12)	$	1,675,000	$	1,675,000
0.930%, 11/1/2025 (12)		315,000		315,000
Village of Cuyahoga Heights, 1.625%, 6/20/2018		2,000,000		2,008,304
				14,205,161
South Carolina — 2.7%
South Carolina Educational Facilities Authority, 0.830%, 10/1/2039 (12)		8,340,000		8,340,000
South Dakota — 4.1%
South Dakota Housing Development Authority:
0.940%, 5/1/2048 (12)		6,685,000		6,685,000
0.950%, 11/1/2048 (12)		6,255,000		6,255,000
				12,940,000
Texas — 9.2%
Harris County Cultural Education Facilities Finance Corp., 0.880%, 12/1/2027 (12)		6,985,000		6,985,000
Harris County Health Facilities Development Corp.:
0.880%, 12/1/2041(12)		3,000,000		3,000,000
0.880%, 12/1/2041(12)		3,100,000		3,100,000
Mission Economic Development Corp., 0.840%, 4/1/2022 (12)		11,000,000		11,000,000
Texas Municipal Power, 0.850%, 9/13/2017		5,000,000		5,000,000
				29,085,000
Utah — 2.5%
City of Murray, 0.790%, 5/15/2036 (12)		8,000,000		8,000,000
Washington — 4.8%
Seattle Housing Authority, 0.940%, 6/1/2040 (12)		1,000,000		1,000,000
Tender Option Bond Trust Receipts/Certificates, 0.940%, 6/15/2029 (6)(12)		11,320,000		11,320,000
Washington State Housing Finance Commission, 0.890%, 7/1/2028 (12)		2,720,000		2,720,000
				15,040,000
Wisconsin — 4.6%
Burlington Area School District, 1.000%, 9/20/2017		2,000,000		2,000,103
Pewaukee School District, 1.000%, 9/27/2017		2,400,000		2,400,254
PMA, 2.000%, 10/20/2017		5,800,000		5,807,865
Tender Option Bond Trust Receipts/Certificates, 0.840%, 7/1/2047 (6)(12)		2,385,000		2,385,000

Description	Shares or Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
Wisconsin Health & Educational Facilities Authority, 0.830%, 5/1/2030 (12)	$	1,805,000	$	1,805,000
				14,398,222
Total Municipals				319,281,383
Mutual Funds — 0.1%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 0.890%		83,175		83,175
Federated Institutional Tax-Free Cash Trust — Institutional Class, 0.660%		118,311		118,311
Total Mutual Funds				201,486
Total Investments — 101.5% (at amortized cost)				319,482,869
Other Assets and Liabilities — (1.5)%				(4,681,456	)
Total Net Assets — 100.0%			$	314,801,413

Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 25.7%
Banks — 18.1%
Bank of Nova Scotia/Houston, 1.408% (LIBOR 1 Month+18 basis points), 5/18/2018 (7)	$	2,000,000	$	2,000,000
Commonwealth Bank of Australia/New York, 1.571% (LIBOR 3 Month+26 basis points), 2/2/2018 (7)		2,000,000		2,000,337
HSBC Bank USA NA:
1.561% (LIBOR 1 Month+33 basis points), 3/20/2018 (7)		2,500,000		2,500,000
1.709% (LIBOR 1 Month+48 basis points), 10/13/2017 (7)		2,500,000		2,500,000
Mitsubishi UFJ Trust & Banking Corp.:
1.399% (LIBOR 1 Month+17 basis points), 12/11/2017 (7)		2,650,000		2,649,784
1.411% (LIBOR 1 Month+18 basis points), 2/9/2018 (7)		2,500,000		2,500,023
1.462% (LIBOR 1 Month+23 basis points), 11/1/2017 (7)		1,500,000		1,500,235
Mizuho Bank, Ltd.:
1.411% (LIBOR 1 Month+18 basis points), 11/10/2017 (7)		2,000,000		2,000,160
1.512% (LIBOR 1 Month+28 basis points), 12/1/2017 (7)		2,500,000		2,500,583
1.632% (LIBOR 1 Month+40 basis points), 9/1/2017 (7)		2,500,000		2,500,000
Skandinaviska Enskilda Banken AB, 1.531% (LIBOR 1 Month+30 basis points), 9/21/2017 (7)		2,500,000		2,500,000
Sumitomo Mitsui Banking Corp./New York, 1.358% (LIBOR 1 Month+13 basis points), 9/18/2017 (7)		2,500,000		2,500,014

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

109

August 31, 2017

Schedules of Investments

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
Swedbank (New York):
1.150%, 9/7/2017	$	7,000,000	$	7,000,000
1.160%, 9/6/2017		7,500,000		7,500,000
Toronto Dominion Bank:
1.431% (LIBOR 1 Month+20 basis points), 8/10/2018 (7)		2,375,000		2,375,000
1.569% (LIBOR 1 Month+34 basis points), 3/13/2018 (7)		2,500,000		2,500,000
1.672% (LIBOR 1 Month+44 basis points), 11/1/2017 (7)		2,500,000		2,500,000
1.748% (LIBOR 1 Month+52 basis points), 11/20/2017 (7)		2,000,000		2,000,000
1.751% (LIBOR 1 Month+52 basis points), 1/10/2018 (7)		2,750,000		2,750,000
Wells Fargo Bank NA:
1.366% (LIBOR 1 Month+13 basis points), 12/19/2017 (7)		3,000,000		3,000,000
1.401% (LIBOR 1 Month+17 basis points), 4/20/2018 (7)		2,500,000		2,500,000
1.664% (LIBOR 3 Month+35 basis points), 11/16/2017 (7)		1,850,000		1,850,000
1.669% (LIBOR 1 Month+44 basis points), 2/14/2018 (7)		2,500,000		2,500,000
1.699% (LIBOR 1 Month+47 basis points), 10/11/2017 (7)		2,500,000		2,500,000
				66,626,136
European Time Deposit — 7.6%
DNB NOR Bank ASA Cayman, 1.060%, 9/1/2017		14,000,000		14,000,000
Svenska Handelsbanken, Inc., 1.060%, 9/1/2017		14,000,000		14,000,000
				28,000,000
Total Certificates of Deposit				94,626,136
Commercial Paper — 57.4%
Asset-Backed Securities — 33.8%
Atlantic Asset Securitization LLC:
1.060%, 9/1/2017 (6)(11)		7,000,000		7,000,000
1.440%, 9/21/2017 (6)(11)		2,500,000		2,498,000
1.552% (LIBOR 1 Month+32 basis points), 1/2/2018 (6)(7)		2,500,000		2,500,000
1.567% (LIBOR 1 Month+34 basis points), 12/15/2017 (7)		2,500,000		2,500,000
Bedford Row Funding Corp.:
1.372% (LIBOR 1 Month+14 basis points), 3/1/2018 (6)(7)		2,500,000		2,500,000
1.449% (LIBOR 1 Month+22 basis points), 6/11/2018 (6)(7)		3,000,000		3,000,000
1.451% (LIBOR 1 Month+22 basis points), 2/21/2018 (6)(7)		2,250,000		2,250,000
1.455% (LIBOR 1 Month+22 basis points), 8/17/2018 (6)(7)		2,000,000		2,000,000
1.498% (LIBOR 1 Month+27 basis points), 12/18/2017 (6)(7)		2,500,000		2,500,000
1.712% (LIBOR 3 Month+41 basis points), 10/6/2017 (6)(7)		2,500,000		2,500,753

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
Chesham Finance Ltd., 1.180%, 9/1/2017 (6)(11)	$	14,500,000	$	14,500,000
Crown Point Capital Co. LLC:
1.310%, 10/31/2017 (6)(11)		2,500,000		2,494,542
1.320%, 10/17/2017 (6)(11)		3,500,000		3,494,097
Gotham Funding Corp., 1.320%, 10/2/2017 (6)(11)		3,500,000		3,496,022
Liberty Street Funding LLC:
1.290%, 9/25/2017 (6)(11)		3,000,000		2,997,420
1.310%, 10/17/2017 (6)(11)		3,000,000		2,994,978
1.310%, 10/25/2017 (6)(11)		3,000,000		2,994,105
Manhattan Asset Funding Co.:
1.220%, 9/19/2017 (6)(11)		2,000,000		1,998,780
1.371% (LIBOR 1 Month+14 basis points), 12/5/2017 (6)(7)		3,000,000		3,000,000
1.389% (LIBOR 1 Month+16 basis points), 2/8/2018 (6)(7)		2,500,000		2,500,000
1.399% (LIBOR 1 Month+16 basis points), 1/31/2018 (6)(7)		2,500,000		2,500,000
1.534% (LIBOR 1 Month+30 basis points), 9/28/2017 (6)(7)		2,500,000		2,500,000
Old Line Funding LLC:
1.351% (LIBOR 1 Month+12 basis points), 12/4/2017 (6)(7)		3,500,000		3,500,000
1.351% (LIBOR 1 Month+12 basis points), 1/19/2018 (6)(7)		2,500,000		2,500,000
1.369% (LIBOR 1 Month+14 basis points), 11/8/2017 (6)(7)		3,000,000		3,000,000
Regency Markets No. 1 LLC:
1.210%, 9/7/2017 (6)(11)		8,000,000		7,998,382
1.230%, 9/15/2017 (6)(11)		4,000,000		3,998,087
1.230%, 9/26/2017 (6)(11)		2,500,000		2,497,865
Ridgefield Funding Co. LLC:
1.300%, 9/18/2017 (6)(11)		4,650,000		4,647,145
1.388% (LIBOR 1 Month+16 basis points), 12/18/2017 (6)(7)		3,500,000		3,500,000
1.409% (LIBOR 1 Month+18 basis points), 1/11/2018 (6)(7)		2,500,000		2,500,000
Starbird Funding Corp., 1.280%, 9/12/2017 (6)(11)		3,750,000		3,748,533
Thunder Bay Funding LLC:
1.349% (LIBOR 1 Month+12 basis points), 12/8/2017 (6)(7)		3,000,000		3,000,000
1.349% (LIBOR 1 Month+12 basis points), 1/12/2018 (6)(7)		3,000,000		3,000,000
1.465% (LIBOR 1 Month+23 basis points), 6/22/2018 (6)(7)		2,500,000		2,500,000
Victory Receivables Corp., 1.260%, 9/8/2017 (6)(11)		3,500,000		3,499,143
				124,607,852

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

110

BMO Funds

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Automobiles — 2.6%
Toyota Motor Credit Corp.:
1.401% (LIBOR 1 Month+17 basis points), 3/12/2018 (7)	$	4,000,000	$	4,000,000
1.412% (LIBOR 1 Month+18 basis points), 4/27/2018 (7)		3,000,000		3,000,000
1.418% (LIBOR 1 Month+19 basis points), 5/10/2018 (7)		2,500,000		2,500,000
				9,500,000
Diversified Financial Services — 6.2%
Collateralized Commercial Paper Co. LLC:
1.536% (LIBOR 1 Month+30 basis points), 10/23/2017 (7)		2,500,000		2,500,000
1.584% (LIBOR 1 Month+35 basis points), 11/28/2017 (7)		2,500,000		2,501,206
JP Morgan Securities LLC:
1.385% (LIBOR 1 Month+15 basis points), 12/22/2017 (7)		3,000,000		3,000,000
1.431% (LIBOR 1 Month+20 basis points), 4/6/2018 (7)		2,500,000		2,500,000
1.481% (LIBOR 1 Month+25 basis points), 9/5/2017 (7)		2,500,000		2,500,000
National Rural Utilities:
1.080%, 9/1/2017 (11)		3,250,000		3,250,000
1.140%, 9/18/2017 (11)		5,000,000		4,997,309
1.160%, 9/6/2017 (11)		1,557,000		1,556,749
				22,805,264
Foreign Banks — 7.9%
Commonwealth Bank of Australia, 1.429% (LIBOR 1 Month+20 basis points), 5/11/2018 (6)(7)		2,500,000		2,500,000
HSBC Bank PLC, 1.568% (LIBOR 1 Month+34 basis points), 9/15/2017 (6)(7)		3,250,000		3,250,000
National Australia Bank, Ltd., 1.581% (LIBOR 1 Month+35 basis points), 3/6/2018 (6)(7)		2,000,000		2,000,000
Natixis, NY Branch, 1.070%, 9/1/2017 (11)		14,000,000		14,000,000
Suncorp Metway, Ltd.:
1.350%, 11/14/2017 (6)(11)		2,000,000		1,994,450
1.460%, 2/5/2018 (6)(11)		3,000,000		2,980,898
Westpac Banking Corp., 1.657% (LIBOR 3 Month+35 basis points), 10/20/2017 (6)(7)		2,500,000		2,500,000
				29,225,348
Machinery Manufacturing — 0.7%
John Deere Capital Corp., 1.150%, 9/5/2017 (6)(11)		2,500,000		2,499,681
Pharmaceuticals — 2.7%
Novartis Finance Corp., 1.100%, 9/6/2017 (6)(11)		10,000,000		9,998,472

Description	Shares or Principal Amount		Value
Commercial Paper (continued)
Winding Up Agencies — 3.5%
Erste Abwicklungsanstalt:
1.160%, 9/1/2017(6)(11)	$	5,000,000	$	5,000,000
1.280%, 9/28/2017(6)(11)		3,000,000		2,997,142
1.300%, 10/18/2017(6)(11)		2,500,000		2,495,757
1.451% (LIBOR 1 Month+22 basis points), 9/7/2017 (6)(7)		2,500,000		2,500,000
				12,992,899
Total Commercial Paper				211,629,516
Municipals — 4.3%
Colorado — 1.3%
Colorado Housing & Finance Authority, 1.190%, 10/1/2036 (12)		4,800,000		4,800,000
Tennessee — 3.0%
Johnson City Health & Educational Facilities Board, 1.180%, 8/15/2043 (12)		11,075,000		11,075,000
Total Municipals				15,875,000
Mutual Funds — 7.0%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 0.890%		10,000,000		10,000,000
Invesco Government & Agency Portfolio — Institutional Class, 0.930%		16,000,000		16,000,000
Total Mutual Funds				26,000,000
Repurchase Agreements — 5.6%
Agreement with Fixed Income Clearing Corp., 0.120%, dated 8/31/2017, to be repurchased at $10,618,336 on 9/1/2017, collateralized by U.S. Government Treasury Obligations with various maturities to 1/15/2024, with a market value of $10,835,417	$	10,618,301		10,618,301
Agreement with Goldman Sachs Group, Inc., 1.040%, dated 8/31/2017, to be repurchased at $10,000,289 on 9/1/2017, collateralized by a U.S. Government Treasury Obligation with a maturity of 5/15/2024, with a market value of $10,200,000		10,000,000		10,000,000
Total Repurchase Agreements				20,618,301
Total Investments — 100.0% (at amortized cost)				368,748,953
Other Assets and Liabilities — 0.0%				(160,186	)
Total Net Assets — 100.0%			$	368,588,767

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

111

August 31, 2017

Schedules of Investments

Institutional Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 17.6%
Banks — 17.6%
Bank of Nova Scotia/Houston, 1.408% (LIBOR 1 Month+18 basis points), 5/18/2018 (7)	$	2,000,000	$	2,000,035
Commonwealth Bank of Australia/New York:
1.397% (LIBOR 1 Month+17 basis points), 8/15/2018 (7)		2,500,000		2,499,818
1.571% (LIBOR 3 Month+26 basis points), 2/2/2018 (7)		2,000,000		2,002,207
HSBC Bank USA NA:
1.561% (LIBOR 1 Month+33 basis points), 3/20/2018 (7)		2,500,000		2,503,120
1.709% (LIBOR 1 Month+48 basis points), 10/13/2017 (7)		2,500,000		2,501,496
Mitsubishi UFJ Trust & Banking Corp.:
1.399% (LIBOR 1 Month+17 basis points), 12/11/2017 (7)		2,650,000		2,650,474
1.411% (LIBOR 1 Month+18 basis points), 2/9/2018 (7)		2,500,000		2,500,266
1.462% (LIBOR 1 Month+23 basis points), 11/1/2017 (7)		1,500,000		1,500,576
Mizuho Bank, Ltd.:
1.411% (LIBOR 1 Month+18 basis points), 11/10/2017 (7)		2,000,000		2,000,647
1.512% (LIBOR 1 Month+28 basis points), 12/1/2017 (7)		2,500,000		2,501,454
1.632% (LIBOR 1 Month+40 basis points), 9/1/2017 (7)		2,500,000		2,500,034
Skandinaviska Enskilda Banken AB, 1.531% (LIBOR 1 Month+30 basis points), 9/21/2017 (7)		2,500,000		2,500,516
Sumitomo Mitsui Banking Corp./New York, 1.358% (LIBOR 1 Month+13 basis points), 9/18/2017 (7)		2,500,000		2,500,170
Svenska Handelsbanken, Inc., 1.527% (LIBOR 1 Month+30 basis points), 9/15/2017 (7)		2,500,000		2,500,374
Swedbank (New York):
1.150%, 9/7/2017		7,500,000		7,500,012
1.160%, 9/6/2017		7,500,000		7,500,024
Toronto Dominion Bank:
1.431% (LIBOR 1 Month+20 basis points), 8/10/2018 (7)		2,375,000		2,375,577
1.569% (LIBOR 1 Month+34 basis points), 3/13/2018 (7)		2,500,000		2,503,159
1.672% (LIBOR 1 Month+44 basis points), 11/1/2017 (7)		2,000,000		2,001,501
1.748% (LIBOR 1 Month+52 basis points), 11/20/2017 (7)		2,000,000		2,002,177
1.751% (LIBOR 1 Month+52 basis points), 1/10/2018 (7)		2,250,000		2,253,590
Wells Fargo Bank NA:
1.366% (LIBOR 1 Month+13 basis points), 12/19/2017 (7)		3,000,000		3,000,480
1.401% (LIBOR 1 Month+17 basis points), 4/20/2018 (7)		2,500,000		2,500,377
1.664% (LIBOR 3 Month+35 basis points), 11/16/2017 (7)		1,850,000		1,851,593
1.669% (LIBOR 1 Month+44 basis points), 2/14/2018 (7)		2,500,000		2,503,759
1.699% (LIBOR 1 Month+47 basis points), 10/11/2017 (7)		2,000,000		2,001,126
Total Certificates of Deposit (identified cost $70,625,926)				70,654,562

Description	Principal Amount		Value
Commercial Paper — 59.1%
Asset-Backed Securities — 33.1%
Atlantic Asset Securitization LLC:
1.060%, 9/1/2017 (6)(11)	$	8,000,000	$	7,999,730
1.440%, 9/21/2017 (6)(11)		2,500,000		2,498,182
1.552% (LIBOR 1 Month+32 basis points), 1/2/2018 (6)(7)		2,500,000		2,500,040
1.567% (LIBOR 1 Month+34 basis points), 12/15/2017 (7)		2,500,000		2,500,034
Bedford Row Funding Corp.:
1.372% (LIBOR 1 Month+14 basis points), 3/1/2018 (6)(7)		2,500,000		2,500,070
1.449% (LIBOR 1 Month+22 basis points), 6/11/2018 (6)(7)		3,000,000		3,000,718
1.451% (LIBOR 1 Month+22 basis points), 2/21/2018 (6)(7)		2,250,000		2,250,915
1.455% (LIBOR 1 Month+22 basis points), 8/17/2018 (6)(7)		2,500,000		2,499,923
1.498% (LIBOR 1 Month+27 basis points), 12/18/2017 (6)(7)		2,500,000		2,501,261
1.712% (LIBOR 3 Month+41 basis points), 10/6/2017 (6)(7)		2,500,000		2,501,276
Chesham Finance Ltd., 1.180%, 9/1/2017 (6)(11)		15,500,000		15,499,492
Crown Point Capital Co. LLC:
1.310%, 10/31/2017 (6)(11)		2,500,000		2,494,464
1.320%, 10/17/2017 (6)(11)		3,500,000		3,494,137
Gotham Funding Corp., 1.320%, 10/2/2017 (6)(11)		3,500,000		3,496,117
Kells Funding LLC, 1.210%, 9/13/2017 (6)(11)		5,000,000		4,997,846
Liberty Street Funding LLC:
1.290%, 9/25/2017 (6)(11)		3,000,000		2,997,406
1.310%, 10/17/2017 (6)(11)		3,000,000		2,995,018
1.310%, 10/25/2017 (6)(11)		3,000,000		2,994,133
Manhattan Asset Funding Co.:
1.220%, 9/19/2017 (6)(11)		2,000,000		1,998,699
1.371% (LIBOR 1 Month+14 basis points), 12/5/2017 (6)(7)		3,000,000		2,999,933
1.389% (LIBOR 1 Month+16 basis points), 2/8/2018 (6)(7)		2,500,000		2,499,994
1.399% (LIBOR 1 Month+16 basis points), 1/31/2018 (6)(7)		2,500,000		2,500,064
1.534% (LIBOR 1 Month+30 basis points), 9/28/2017 (6)(7)		2,500,000		2,500,674
Old Line Funding LLC:
1.351% (LIBOR 1 MonthLIBOR 1 Month+12 basis points), 12/4/2017 (6)(7)		3,500,000		3,500,043
1.351% (LIBOR 1 Month+12 basis points), 1/19/2018 (6)(7)		2,500,000		2,500,046
1.369% (LIBOR 1 Month+14 basis points), 11/8/2017 (6)(7)		3,000,000		3,000,056
Regency Markets No. 1 LLC:
1.210%, 9/7/2017 (6)(11)		9,000,000		8,997,874
1.230%, 9/15/2017 (6)(11)		3,500,000		3,498,214
1.230%, 9/26/2017 (6)(11)		3,000,000		2,997,298
Ridgefield Funding Co. LLC:
1.300%, 9/18/2017 (6)(11)		4,660,000		4,657,132
1.388% (LIBOR 1 Month+16 basis points), 12/18/2017 (6)(7)		3,500,000		3,500,540
1.409% (LIBOR 1 Month+18 basis points), 1/11/2018 (6)(7)		2,500,000		2,500,132
Starbird Funding Corp., 1.280%, 9/12/2017 (6)(11)		3,750,000		3,748,474

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

112

BMO Funds

Institutional Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
Thunder Bay Funding LLC:
1.349% (LIBOR 1 Month+12 basis points), 12/8/2017 (6)(7)	$	3,000,000	$	3,000,038
1.349% (LIBOR 1 Month+12 basis points), 1/12/2018 (6)(7)		3,000,000		3,000,052
1.465% (LIBOR 1 Month+23 basis points), 6/22/2018 (6)(7)		2,500,000		2,500,098
Victory Receivables Corp., 1.260%, 9/8/2017 (6)(11)		3,500,000		3,499,068
				133,119,191
Automobiles — 2.4%
Toyota Motor Credit Corp.:
1.401% (LIBOR 1 Month+17 basis points), 3/12/2018 (7)		4,000,000		4,000,866
1.412% (LIBOR 1 Month+18 basis points), 4/27/2018 (7)		3,000,000		3,000,013
1.418% (LIBOR 1 Month+19 basis points), 5/10/2018 (7)		2,500,000		2,499,938
				9,500,817
Diversified Financial Services — 5.3%
Collateralized Commercial Paper Co. LLC:
1.536% (LIBOR 1 Month+30 basis points), 10/23/2017 (7)		2,500,000		2,501,137
1.584% (LIBOR 1 Month+35 basis points), 11/28/2017 (7)		2,500,000		2,501,877
JP Morgan Securities LLC:
1.385% (LIBOR 1 Month+15 basis points), 12/22/2017 (7)		3,000,000		3,000,674
1.431% (LIBOR 1 Month+20 basis points), 4/6/2018 (7)		2,500,000		2,501,130
1.481% (LIBOR 1 Month+25 basis points), 9/5/2017 (7)		2,500,000		2,500,114
National Rural Utilities:
1.080%, 9/1/2017 (11)		3,250,000		3,249,895
1.140%, 9/18/2017 (11)		5,000,000		4,997,027
				21,251,854
Foreign Banks — 10.0%
Commonwealth Bank of Australia, 1.429% (LIBOR 1 Month+20 basis points), 5/11/2018 (6)(7)		2,500,000		2,501,552
DNB Bank ASA, 1.160%, 9/5/2017 (6)(11)		10,000,000		9,998,401
HSBC Bank PLC, 1.568% (LIBOR 1 Month+34 basis points), 9/15/2017 (6)(7)		3,250,000		3,250,543
National Australia Bank, Ltd., 1.581% (LIBOR 1 Month+35 basis points), 3/6/2018 (6)(7)		2,000,000		2,002,390
Natixis, NY Branch, 1.070%, 9/1/2017 (11)		15,000,000		14,999,515
Suncorp Metway, Ltd.:
1.350%, 11/14/2017 (6)(11)		2,000,000		1,994,396
1.460%, 2/5/2018 (6)(11)		3,000,000		2,980,698

Description	Shares or Principal Amount		Value
Commercial Paper (continued)
Foreign Banks (continued)
Westpac Banking Corp., 1.657% (LIBOR 3 Month+35 basis points), 10/20/2017 (6)(7)	$	2,500,000	$	2,501,509
				40,229,004
Machinery Manufacturing — 1.9%
Illinois Tool Works, Inc., 1.100%, 9/5/2017 (6)(11)		5,000,000		4,999,185
John Deere Capital Corp., 1.150%, 9/5/2017 (6)(11)		2,500,000		2,499,614
				7,498,799
Pharmaceuticals — 2.5%
Novartis Finance Corp., 1.100%, 9/6/2017 (6)(11)		10,000,000		9,998,193
Winding Up Agencies — 3.9%
Erste Abwicklungsanstalt:
1.160%, 9/1/2017 (6)(11)		5,000,000		4,999,842
1.280%, 9/28/2017 (6)(11)		3,000,000		2,997,265
1.300%, 10/18/2017 (6)(11)		2,500,000		2,496,010
1.320%, 12/13/2017 (6)(11)		2,500,000		2,490,662
1.451% (LIBOR 1 MonthLIBOR 1 Month+22 basis points), 9/7/2017 (6)(7)		2,500,000		2,500,143
				15,483,922
Total Commercial Paper (identified cost $237,069,014)				237,081,780
Mutual Funds — 6.0%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 0.890%		8,201,139		8,201,139
Invesco Government & Agency Portfolio — Institutional Class, 0.930%		16,000,000		16,000,000
Total Mutual Funds (identified cost $24,201,139)				24,201,139
Repurchase Agreements — 17.4%
Agreement with Goldman Sachs Group, Inc., 1.040%, dated 8/31/2017, to be repurchased at $35,001,011 on 9/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 7/1/2047, with a market value of $35,610,746	$	35,000,000		35,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.080%, dated 8/31/2017, to be repurchased at $35,001,050 on 9/1/2017, collateralized by a U.S. Government Agency Obligation with a maturity of 3/1/2042, with a market value of $35,588,647		35,000,000		35,000,000
Total Repurchase Agreements (identified cost $70,000,000)				70,000,000
Total Investments — 100.1% (identified cost $401,896,079)				401,937,481
Other Assets and Liabilities — (0.1)%				(313,521	)
Total Net Assets — 100.0%			$	401,623,960

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

113

Notes to Schedules of Investments

The categories of investments are shown as a percentage of total net assets for each Fund as of August 31, 2017. Call dates contained within the Schedules of Investments represent the next possible date the security can be redeemed, at the option of the issuer, determined as of August 31, 2017. Maturity dates contained within the Schedules of Investments represent the stated legal maturity date or mandatory put date. Certain securities may be subject to demand features which allow the security to be redeemed prior to final maturity date. In accordance with Rule 2a-7, securities held in the money market funds provide for the return of principal and interest within 397 days due to a scheduled final maturity date or through specific demand features. Demand features entitle a Fund to receive the principal amount of the instrument from the issuer or a third party (1) on no more than 30 calendar days’ notice or (2) at specified intervals not exceeding 397 calendar days.

* A Summary Schedule of Investments is presented for this portfolio. A complete Schedule of Investments is available by accessing the SEC’s website, www.sec.gov. For all items listed as “Other securities” in this summary Schedule of Investments, this represents issues not identified as top-fifty unaffiliated holdings in terms of value and issues or issuers not exceeding one percent individually or in aggregate, respectively, as of August 31, 2017. In certain instances, securities for which footnotes listed below may otherwise apply are included in the “Other securities” caption.

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

(2) Non-income producing.

(3) Please refer to Note 2, subsection Securities Lending, in the Notes to Financial Statements.

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

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

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At August 31, 2017 these securities amounted to:

Fund	Amount		% of Total Net Assets
Disciplined International Equity Fund	$	194,485		0.27	%
TCH Emerging Markets Bond Fund		8,350,821		70.27
Alternative Strategies Fund
Long		416,064		0.43
Short		229,668		0.24
Global Long/Short Equity Fund
Long		34,765		0.36
Short		246,517		2.54
Ultra Short Tax-Free Fund		106,814,893		16.17
Short Tax-Free Fund		12,985,103		7.11

Fund	Amount		% of Total Net Assets
Short-Term Income Fund	$	28,175,927		11.61	%
Intermediate Tax-Free Fund		35,866,226		2.22
Strategic Income Fund		30,858,121		27.21
TCH Corporate Income Fund		30,278,443		11.81
TCH Core Plus Bond Fund		66,641,715		6.36
High Yield Bond Fund		5,115,442		38.42
Tax-Free Money Market Fund		34,170,000		10.85
Prime Money Market Fund		162,824,252		44.18
Institutional Prime Money Market Fund		188,829,560		47.02

(7) Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2017.

(8) Purchased on a when-issued or delayed delivery basis.

(9) Issue is in default or bankruptcy.

(10) All or a portion of this security is segregated as collateral for securities sold short.

(11) Each issue shows the rate of the discount at the time of purchase.

(12) Denotes a variable rate security.

(13) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

(14) Securities have redemption features that may delay redemption beyond seven days.

(15) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

(16) Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund portfolio represents 2.34%, as calculated based upon total portfolio market value.

The following acronyms may be referenced throughout this report:    

ACA          — American Capital Access Corporation ADED        — Arkansas Department of Economic Development ADR          — American Depository Receipt AGC          — Assured Guaranty Corporation AGM          — Assured Guaranty Municipal AMBAC      — American Municipal Bond Assurance Corporation AMT          — Alternative Minimum Tax BAM          — Build America Mutual Assurance Company BHAC        — Berkshire Hathaway Assurance Corporation BMA          — Bond Market Association CFC           — Cooperative Finance Corporation CIFG          — CDC IXIS Financial Guaranty CMI           — California Mortgage Insurance COLL          — Collateralized ETF            — Exchange Traded Fund FDIC          — Federal Depository Insurance Corporation FGIC          — Financial Guaranty Insurance Corporation FHA          — Federal Housing Administration FHLB         — Federal Home Loan Bank FHLMC       — Federal Home Loan Mortgage Corporation FNMA       — Federal National Mortgage Association FRN          — Floating Rate Note FSA           — Financial Security Assurance Corporation GDR          — Global Depository Receipt GNMA       — Government National Mortgage Association GO            — Government Obligation HFDC         — Health Facility Development Corporation HUD          — Department of Housing and Urban Development IDC           — Industrial Development Corporation IMI            — Investors Mortgage Insurance Company INS              — Insured LIBOR          — London Interbank Offered Rate LIQ              — Liquidity Agreement LLC              — Limited Liability Corporation LOC             — Letter of Credit LP                — Limited Partnership LT                — Limited Tax MAC             — Municipal Assurance Corporation MBIA           — Municipal Bond Insurance Association MHF             — Maryland Housing Fund MTN            — Medium Term Note NATL-RE       — National Rural Utilities Cooperative Finance Corporation                        Reinsurance PCA             — Pollution Control Authority PLC             — Public Limited Company PSF             — Permanent School Fund Guaranteed PUFG           — Permanent University Fund Guarantee Q-SBLF         — Qualified School Bond Loan Fund RADIAN       — Radian Asset Assurance REITs           — Real Estate Investment Trusts REMIC          — Real Estate Mortgage Investment Conduit SAW            — State Aid Withholding SIFMA          — Securities Industry and Financial Markets Association TCRs            — Transferable Custody Receipts TLGP            — Temporary Liquidity Guarantee Program TRANs          — Tax and Revenue Anticipation Notes UT               — Unlimited Tax VRNs           — Variable Rate Notes XLCA            — XL Capital Assurance

114

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund
Assets:
Investments in unaffiliated issuers, at value	$	232,092,807	(1)	$	166,292,864	(1)	$	491,035,640	(1)	$	503,042,233	(1)	$	293,702,754	(1)
Cash sweep investments in affiliated issuers, at value		2,833,143			2,075,405			4,411,207			4,542,780			1,880,791
Dividends and interest receivable		410,003			427,427			1,062,397			560,103			383,379
Receivable for capital stock sold		192,719			95,260			272,314			383,251			105,659
Prepaid expenses and other receivables		13,917			13,525			20,049			21,507			27,036
Total assets		235,542,589			168,904,481			496,801,607			508,549,874			296,099,619
Liabilities:
Payable for return of securities lending collateral		75,732,318			52,860,743			162,597,871			151,430,406			89,263,621
Payable for capital stock redeemed		248,024			372,498			258,996			385,350			113,515
Payable to affiliates, net (Note 6)		60,749			43,507			176,390			199,671			142,679
Other liabilities		40,330			46,025			72,658			79,019			75,836
Total liabilities		76,081,421			53,322,773			163,105,915			152,094,446			89,595,651
Total net assets	$	159,461,168		$	115,581,708		$	333,695,692		$	356,455,428		$	206,503,968
Net assets consist of:
Paid-in capital	$	136,485,151		$	81,556,123		$	257,602,366		$	253,582,557		$	170,180,285
Net unrealized appreciation on investments		19,364,495			22,840,439			52,017,446			86,651,320			27,068,744
Accumulated net realized gain on investments		3,151,309			10,661,810			23,173,582			15,876,085			8,236,155
Undistributed net investment income		460,213			523,336			902,298			345,466			1,018,784
Total net assets	$	159,461,168		$	115,581,708		$	333,695,692		$	356,455,428		$	206,503,968
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	—		$	—		$	17.46		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		14.36			14.51			15.85			17.46			11.91
Offering price per share(2)		15.12			15.27			16.68			18.38			12.54
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		14.42			14.47			15.88			17.60			11.89
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			—			—			11.84
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			15.88			17.62			11.90
Net assets:
Investor class of shares	$	—		$	—		$	—		$	74,358,963		$	—
Advisor class of shares		31,623,915			3,204,469			25,060,949			808,481			64,462,116
Institutional class of shares		127,837,253			112,377,239			307,156,339			278,435,992			127,304,443
Retirement class R-3 of shares		—			—			—			—			23,954
Retirement class R-6 of shares		—			—			1,478,404			2,851,992			14,713,455
Total net assets	$	159,461,168		$	115,581,708		$	333,695,692		$	356,455,428		$	206,503,968
Shares outstanding:
Investor class of shares		—			—			—			4,259,918			—
Advisor class of shares		2,201,464			220,776			1,580,963			46,318			5,411,834
Institutional class of shares		8,867,909			7,764,222			19,347,639			15,818,210			10,704,247
Retirement class R-3 of shares		—			—			—			—			2,023
Retirement class R-6 of shares		—			—			93,093			161,877			1,235,973
Total shares outstanding		11,069,373			7,984,998			21,021,695			20,286,323			17,354,077
Investments, at cost:
Investments in unaffiliated issuers	$	212,728,312		$	143,452,457		$	439,018,220		$	416,390,963		$	266,634,010
Cash sweep investments in affiliated issuers		2,833,143			2,075,373			4,411,181			4,542,730			1,880,791
Total investments, at cost	$	215,561,455		$	145,527,830		$	443,429,401		$	420,933,693		$	268,514,801

(1) Including $74,313,568, $51,870,464, $159,551,804, $148,593,547 and $87,591,380, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Computation of offering price per share 100/95 of net asset value.

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

115

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Assets:
Investments in unaffiliated issuers, at value	$	166,532,187	(1)	$	78,960,841	(1)	$	28,881,929	(1)	$	177,678,710	(1)	$	50,278,220	(1)
Cash sweep investments in affiliated issuers, at value		1,947,313			588,562			369,001			1,560,493			—
Cash denominated in foreign currencies		—			—			—			—			105,909	(2)
Dividends and interest receivable		88,001			46,173			14,315			37,388			128,023
Receivable for investments sold		—			—			—			5,828,724			4,984,432
Receivable for capital stock sold		70,128			28,317			6,000			583,703			—
Receivable from affiliates, net (Note 6)		—			—			348			—			—
Prepaid expenses and other receivables		28,821			27,156			12,178			25,479			10,566
Total assets		168,666,450			79,651,049			29,283,771			185,714,497			55,507,150
Liabilities:
Payable for return of securities lending collateral		55,413,816			15,189,775			9,591,857			40,411,406			1,201,607
Payable for investments purchased		—			—			—			5,989,230			—
Payable for capital stock redeemed		90,778			96,068			—			98,559			5,000,000
Payable for foreign tax expense		—			—			—			—			7,170
Payable to affiliates, net (Note 6)		72,617			18,448			—			151,420			24,541
Other liabilities		66,722			61,226			30,936			68,052			55,649
Total liabilities		55,643,933			15,365,517			9,622,793			46,718,667			6,288,967
Total net assets	$	113,022,517		$	64,285,532		$	19,660,978		$	138,995,830		$	49,218,183
Net assets consist of:
Paid-in capital	$	91,133,909		$	54,828,650		$	16,329,751		$	111,119,631		$	42,050,010
Net unrealized appreciation on investments and foreign currency translation		17,512,379			5,311,259			2,547,798			14,939,156			6,531,140
Accumulated net realized gain (loss) on investments		4,376,229			4,117,399			782,831			13,424,119			(39,336	)
Undistributed net investment income (distributions in excess of net investment income)		—			28,224			598			(487,076	)		676,369
Total net assets	$	113,022,517		$	64,285,532		$	19,660,978		$	138,995,830		$	49,218,183
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Advisor class of shares:
Net asset value and redemption proceeds per share	$	14.79		$	13.30		$	13.22		$	18.37		$	13.16
Offering price per share(3)		15.57			14.00			13.92			19.34			13.85
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		15.39			13.47			13.30			19.00			13.20
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		15.12			13.27			—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		15.46			13.53			—			—			—
Net assets:
Advisor class of shares	$	17,944,744		$	4,930,535		$	2,612,070		$	57,736,691		$	997,288
Institutional class of shares		94,464,000			56,584,762			17,048,908			81,259,139			48,220,895
Retirement class R-3 of shares		22,078			116,804			—			—			—
Retirement class R-6 of shares		591,695			2,653,431			—			—			—
Total net assets	$	113,022,517		$	64,285,532		$	19,660,978		$	138,995,830		$	49,218,183
Shares outstanding:
Advisor class of shares		1,213,597			370,843			197,512			3,142,568			75,799
Institutional class of shares		6,138,097			4,199,919			1,281,617			4,276,477			3,653,718
Retirement class R-3 of shares		1,460			8,801			—			—			—
Retirement class R-6 of shares		38,263			196,050			—			—			—
Total shares outstanding		7,391,417			4,775,613			1,479,129			7,419,045			3,729,517
Investments, at cost:
Investments in unaffiliated issuers	$	149,019,808		$	73,649,582		$	26,334,131		$	162,739,554		$	43,756,970
Cash sweep investments in affiliated issuers		1,947,313			588,562			369,001			1,560,493			—
Total investments, at cost	$	150,967,121		$	74,238,144		$	26,703,132		$	164,300,047		$	43,756,970

(1) Including $54,375,708, $14,905,213, $9,412,165, $39,654,349 and $1,149,975, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies is $99,730.

(3) Computation of offering price per share 100/95 of net asset value.

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

116

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			TCH Emerging Markets Bond Fund			Alternative Strategies Fund
Assets:
Investments in unaffiliated issuers, at value	$	76,404,318	(1)	$	641,025,148	(1)	$	162,813,959	(1)	$	12,643,550	(1)	$	96,908,339
Purchased options, at value		—			—			—			—			859,080
Cash		—			—			—			20,000			4,955
Deposits held at broker for:
Securities sold short		—			—			—			—			13,032,430
Options		—			—			—			—			1,739,487
Futures contracts		—			—			—			—			1,848,200
Forward foreign currency contracts		—			—			—			—			243,900
Cash denominated in foreign currencies		103,367	(2)		704,326	(2)		438,602	(2)		—			3,738	(2)
Dividends and interest receivable		307,025			4,483,555			244,888			159,889			160,393
Receivable for investments sold		—			203,264			316,883			108,032			2,447,275
Receivable for capital stock sold		69,298			25,860,609			167,547			—			54,931
Receivable for daily variation margin on futures contracts		—			—			—			—			324,817
Receivable for forward foreign currency contracts		—			—			—			—			876,068
Receivable from affiliates, net (Note 6)		—			—			—			7,247			—
Prepaid expenses and other receivables		8,214			50,715			13,210			9,843			8,043
Total assets		76,892,222			672,327,617			163,995,089			12,948,561			118,511,656
Liabilities:
Securities sold short, at value (proceeds $17,499,532)		—			—			—			—			17,735,182
Options written, at value (proceeds $1,739,501)		—			—			—			—			1,054,953
Payable for dividends and interest on securities sold short		—			—			—			—			30,722
Payable for return of securities lending collateral		4,416,726			18,127,685			512,972			1,016,625			—
Payable for investments purchased		394			1,747,036			39,149			—			2,901,902
Payable for capital stock redeemed		—			1,904,065			118,993			10,733			22,235
Payable for daily variation margin on futures contracts		—			—			—			—			95,963
Payable for forward foreign currency contracts		—			—			—			—			675,671
Payable for foreign tax expense		2,803			140,362			751,865			201			211
Payable to affiliates, net (Note 6)		31,200			415,246			121,850			—			75,658
Other liabilities		53,057			253,638			93,449			37,469			178,978
Total liabilities		4,504,180			22,588,032			1,638,278			1,065,028			22,771,475
Total net assets	$	72,388,042		$	649,739,585		$	162,356,811		$	11,883,533		$	95,740,181
Net assets consist of:
Paid-in capital	$	65,449,080		$	607,200,745		$	128,661,783		$	11,520,733		$	89,777,534
Net unrealized appreciation on investments, options, futures contracts and foreign currency translation		10,902,421			66,591,524			39,190,730			387,866			3,652,728
Accumulated net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		(4,932,303	)		(38,807,772	)		(6,740,776	)		(338,585	)		2,513,096
Undistributed net investment income (distributions in excess of net investment income)		968,844			14,755,088			1,245,074			313,519			(203,177	)
Total net assets	$	72,388,042		$	649,739,585		$	162,356,811		$	11,883,533		$	95,740,181
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	13.16		$	—		$	—		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		11.17			13.16			15.93			10.66			10.74
Offering price per share		11.76	(3)		13.85	(3)		16.77	(3)		11.05	(4)		11.31	(3)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		11.19			13.21			15.97			10.35			10.81
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			13.17			—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			13.22			—			—			—
Class F-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			13.22			—			—			—
Net assets:
Investor class of shares	$	—		$	6,162,257		$	—		$	—		$	—
Advisor class of shares		149,401			890,491			4,775,653			119,018			156,860
Institutional class of shares		72,238,641			593,746,432			157,581,158			11,764,515			95,583,321
Retirement class R-3 of shares		—			25,623			—			—			—
Retirement class R-6 of shares		—			48,888,994			—			—			—
Class F-3 of shares		—			25,788			—			—			—
Total net assets	$	72,388,042		$	649,739,585		$	162,356,811		$	11,883,533		$	95,740,181

(Continued on next page)

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

117

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund		Pyrford International Stock Fund		LGM Emerging Markets Equity Fund		TCH Emerging Markets Bond Fund		Alternative Strategies Fund
Shares outstanding:
Investor class of shares		—		468,390		—		—		—
Advisor class of shares		13,375		67,686		299,807		11,168		14,601
Institutional class of shares		6,455,738		44,948,939		9,867,658		1,137,182		8,845,309
Retirement class R-3 of shares		—		1,946		—		—		—
Retirement class R-6 of shares		—		3,696,876		—		—		—
Class F-3 of shares		—		1,950		—		—		—
Total shares outstanding		6,469,113		49,185,787		10,167,465		1,148,350		8,859,910
Investments, at cost:
Investments in unaffiliated issuers	$	65,508,394	$	574,468,865	$	123,602,422	$	12,254,857	$	93,547,352
Purchased options		—		—		—		—		1,445,988
Total investments, at cost	$	65,508,394	$	574,468,865	$	123,602,422	$	12,254,857	$	94,993,340

(1) Including $4,228,706, $17,373,890, $491,205 and $995,570, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies are $102,904, $701,572, $460,906 and $8,017, respectively.

(3) Computation of offering price per share 100/95 of net asset value.

(4) Computation of offering price per share 100/96.5 of net asset value.

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

118

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	Global Long/Short Equity Fund			Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund
Assets:
Investments in unaffiliated issuers, at value	$	13,468,143	(1)	$	682,030,366		$	174,198,287		$	287,230,049	(1)	$	1,604,996,902
Cash sweep investments in affiliated issuers, at value		—			80,322			115,488			4,464,102			79,783
Investments in other affiliated issuers, at value		—			—			866,132			—			5,108,497
Cash		—			1,000			1,000			—			1,000
Cash denominated in foreign currencies		1,386	(2)		—			—			—			—
Dividends and interest receivable		27,556			2,429,893			1,428,365			907,764			15,905,509
Receivable for investments sold		—			8,200,888			8,940,507			—			—
Receivable for capital stock sold		—			1,141,445			156,530			3,284,807			1,424,821
Receivable from affiliates, net (Note 6)		9,153			—			—			—			—
Prepaid expenses and other receivables		7,284			15,756			11,471			20,228			26,011
Total assets		13,513,522			693,899,670			185,717,780			295,906,950			1,627,542,523
Liabilities:
Securities sold short, at value (proceeds $3,171,194)		3,454,239			—			—			—			—
Payable for dividends and interest on securities sold short		1,807			—			—			—			—
Payable for return of securities lending collateral		310,539			—			—			50,854,186			—
Payable for investments purchased		—			29,292,677			1,829,914			—			6,497,588
Payable for capital stock redeemed		—			3,673,351			1,022,427			2,197,710			1,518,048
Payable for foreign tax expense		789			—			—			—			—
Payable to affiliates, net (Note 6)		—			132,945			47,496			55,633			566,067
Payable for income distribution		—			338,757			141,018			148,910			658,172
Other liabilities		49,078			74,650			56,509			61,403			138,893
Total liabilities		3,816,452			33,512,380			3,097,364			53,317,842			9,378,768
Total net assets	$	9,697,070		$	660,387,290		$	182,620,416		$	242,589,108		$	1,618,163,755
Net assets consist of:
Paid-in capital	$	8,520,769		$	659,590,565		$	181,253,435		$	242,931,457		$	1,558,090,752
Net unrealized appreciation on investments and foreign currency translation		944,614			608,023			1,607,516			1,313,582			72,717,440
Accumulated net realized gain (loss) on investments and foreign currency transactions		224,365			204,338			(240,070	)		(1,657,291	)		(12,860,202	)
Undistributed net investment income (distributions in excess of net investment income)		7,322			(15,636	)		(465	)		1,360			215,765
Total net assets	$	9,697,070		$	660,387,290		$	182,620,416		$	242,589,108		$	1,618,163,755
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	—		$	—		$	—		$	11.37
Advisor class of shares:
Net asset value and redemption proceeds per share		12.22			10.08			10.22			9.39			11.37
Offering price per share		12.86	(3)		10.29	(4)		10.43	(4)		9.58	(4)		11.78	(5)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		12.25			10.08			10.22			9.40			11.37
Net assets:
Investor class of shares	$	—		$	—		$	—		$	—		$	975,663,588
Advisor class of shares		729,758			34,696,297			7,165,834			33,311,368			10,841,713
Institutional class of shares		8,967,312			625,690,993			175,454,582			209,277,740			631,658,454
Total net assets	$	9,697,070		$	660,387,290		$	182,620,416		$	242,589,108		$	1,618,163,755
Shares outstanding:
Investor class of shares		—			—			—			—			85,781,846
Advisor class of shares		59,730			3,440,971			701,432			3,549,415			953,217
Institutional class of shares		731,994			62,090,069			17,163,320			22,256,627			55,550,449
Total shares outstanding		791,724			65,531,040			17,864,752			25,806,042			142,285,512
Investments, at cost:
Investments in unaffiliated issuers	$	12,240,446		$	681,422,343		$	172,589,947		$	285,916,555		$	1,532,274,601
Cash sweep investments in affiliated issuers		—			80,322			115,488			4,464,014			79,783
Investments in other affiliated issuers		—			—			866,956			—			5,113,358
Total investments, at cost	$	12,240,446		$	681,502,665		$	173,572,391		$	290,380,569		$	1,537,467,742

(1) Including $302,768 and $49,901,497, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies is $1,424.

(3) Computation of offering price per share 100/95 of net asset value.

(4) Computation of offering price per share 100/98 of net asset value.

(5) Computation of offering price per share 100/96.5 of net asset value.

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

119

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	Strategic Income Fund			TCH Corporate Income Fund			TCH Core Plus Bond Fund			High Yield Bond Fund
Assets:
Investments in unaffiliated issuers, at value	$	135,746,665	(1)	$	309,045,607	(1)	$	1,203,975,772	(1)	$	12,774,444
Cash sweep investments in affiliated issuers, at value		938,029			4,410,836			46,560,055			360,045
Deposit held at broker		100,000			250,000			250,000			—
Dividends and interest receivable		1,183,527			2,092,348			6,113,300			207,397
Receivable for investments sold		695,816			—			—			—
Receivable for capital stock sold		19,704			829,177			2,484,534			569
Receivable from affiliates, net (Note 6)		—			—			—			16,209
Prepaid expenses and other receivables		24,785			21,087			22,898			16,290
Total assets		138,708,526			316,649,055			1,259,406,559			13,374,954
Liabilities:
Payable for return of securities lending collateral		24,164,624			59,729,711			210,537,373			—
Payable for investments purchased		973,144			—			—			—
Payable for capital stock redeemed		38,635			123,528			946,357			1,271
Payable to affiliates, net (Note 6)		45,468			88,382			261,772			—
Payable for income distribution		28,279			225,152			232,139			10,281
Other liabilities		65,889			60,053			94,630			50,053
Total liabilities		25,316,039			60,226,826			212,072,271			61,605
Total net assets	$	113,392,487		$	256,422,229		$	1,047,334,288		$	13,313,349
Net assets consist of:
Paid-in capital	$	115,228,862		$	249,924,716		$	1,029,220,474		$	16,059,593
Net unrealized appreciation on investments		2,191,091			6,219,580			19,723,438			498,576
Accumulated net realized gain (loss) on investments		(4,012,540	)		280,631			(1,596,519	)		(3,235,433	)
Distributions in excess of net investment income		(14,926	)		(2,698	)		(13,105	)		(9,387	)
Total net assets	$	113,392,487		$	256,422,229		$	1,047,334,288		$	13,313,349
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	9.45		$	13.20		$	11.79		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		9.45			13.20			11.79			9.58
Offering price per share(2)		9.79			13.68			12.22			9.93
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		9.44			13.19			11.78			9.57
Net assets:
Investor class of shares	$	73,488,107		$	120,745,358		$	68,946,379		$	—
Advisor class of shares		18,353,839			1,384,266			3,336,844			1,010,341
Institutional class of shares		21,550,541			134,292,605			975,051,065			12,303,008
Total net assets	$	113,392,487		$	256,422,229		$	1,047,334,288		$	13,313,349
Shares outstanding:
Investor class of shares		7,778,142			9,145,304			5,849,353			—
Advisor class of shares		1,942,612			104,846			283,095			105,492
Institutional class of shares		2,282,544			10,183,020			82,745,549			1,285,869
Total shares outstanding		12,003,298			19,433,170			88,877,997			1,391,361
Investments, at cost:
Investments in unaffiliated issuers	$	133,555,574		$	302,826,027		$	1,184,253,226		$	12,275,868
Cash sweep investments in affiliated issuers		938,029			4,410,836			46,559,163			360,045
Total investments, at cost	$	134,493,603		$	307,236,863		$	1,230,812,389		$	12,635,913

(1) Including $23,711,930, $58,610,750 and $206,593,220, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Computation of offering price per share 100/96.5 of net asset value.

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

120

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Assets:
Investments in unaffiliated issuers, at value	$	2,826,442,412		$	319,482,869		$	348,130,652		$	331,937,481
Investments in repurchase agreements		608,302,536			—			20,618,301			70,000,000
Cash		—			1,000			—			3,000
Dividends and interest receivable		1,410,588			512,113			166,259			137,127
Receivable for capital stock sold		60,406			—			—			—
Prepaid expenses and other receivables		15,874			19,697			18,276			19,547
Total assets		3,436,231,816			320,015,679			368,933,488			402,097,155
Liabilities:
Payable for investments purchased		349,965,000			5,000,000			—			—
Payable to affiliates, net (Note 6)		638,439			34,194			86,578			11,974
Payable for income distribution		1,938,044			135,746			181,345			360,165
Other liabilities		86,959			44,326			76,798			101,056
Total liabilities		352,628,442			5,214,266			344,721			473,195
Total net assets	$	3,083,603,374		$	314,801,413		$	368,588,767		$	401,623,960
Net assets consist of:
Paid-in capital	$	3,083,603,515		$	314,801,359		$	368,612,742		$	401,566,073
Net unrealized appreciation on investments		—			—			—			41,402
Accumulated net realized gain on investments		900			24,255			87			33
Undistributed net investment income (distributions in excess of net investment income)		(1,041	)		(24,201	)		(24,062	)		16,452
Total net assets	$	3,083,603,374		$	314,801,413		$	368,588,767		$	401,623,960
Net asset value, offering price and redemption proceeds per share   (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	1.00		$	1.00		$	1.00		$	1.0001
Premier class of shares:
Net asset value, offering price and redemption proceeds per share		1.00			1.00			1.00			1.0001
Net assets:
Investor class of shares	$	814,242,090		$	76,029,311		$	202,251,252		$	1,421,404
Premier class of shares		2,269,361,284			238,772,102			166,337,515			400,202,556
Total net assets	$	3,083,603,374		$	314,801,413		$	368,588,767		$	401,623,960
Shares outstanding:
Investor class of shares		814,243,487			76,026,926			202,313,238			1,421,281
Premier class of shares		2,269,360,028			238,802,101			166,299,555			400,167,550
Total shares outstanding		3,083,603,515			314,829,027			368,612,793			401,588,831
Investments, at cost:
Investments in unaffiliated issuers	$	3,434,744,948		$	319,482,869		$	368,748,953		$	401,896,079
Total investments, at cost	$	3,434,744,948		$	319,482,869		$	368,748,953		$	401,896,079

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

121

Year Ended August 31, 2017

Statements of Operations BMO Funds

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	3,620,907	(1)	$	3,392,440		$	6,699,101		$	3,879,281		$	3,993,078
Affiliated issuers		21,760			15,692			38,584			43,549			28,896
Net securities lending income (Note 6)		105,900			83,857			217,322			229,074			146,626
Total income		3,748,567			3,491,989			6,955,007			4,151,904			4,168,600
Expenses:
Investment advisory fees (Note 6)		798,321			584,597			1,630,918			1,518,543			1,511,577
Shareholder servicing fees (Note 6)		—			—			337,030			403,832			271,592
Administration fees (Note 6)		239,496			175,379			487,801			454,021			311,151
Portfolio accounting fees		73,806			60,608			135,649			131,733			117,799
Recordkeeping fees		34,079			27,776			79,379			96,492			90,086
Custodian fees (Note 6)		7,423			5,434			15,164			14,133			10,252
Registration fees		35,424			33,738			70,165			68,300			66,093
Professional fees		23,610			23,610			23,990			23,990			23,990
Printing and postage		20,904			38,185			44,175			40,601			54,073
Directors’ fees		13,333			13,333			13,333			13,333			13,333
Distribution services fees (Note 6):
Advisor class		67,829			164,465			40,851			1,349			50,699
Retirement class R-3		—			—			��			—			116
Miscellaneous		6,669			5,311			11,337			10,123			10,287
Total expenses		1,320,894			1,132,436			2,889,792			2,776,450			2,531,048
Deduct:
Expense waivers (Note 6)		(214,704	)		(207,995	)		(67,008	)		(94,996	)		(43,876	)
Net expenses		1,106,190			924,441			2,822,784			2,681,454			2,487,172
Net investment income		2,642,377			2,567,548			4,132,223			1,470,450			1,681,428
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		3,957,705			11,549,944			26,065,495			18,479,605			46,313,287
Investments in affiliated issuers		299			73			1,358			1,391			1,383
Total net realized gain		3,958,004			11,550,017			26,066,853			18,480,996			46,314,670
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		4,847,208			2,280,340			14,277,360			39,702,441			(20,600,805	)
Investments in affiliated issuers		—			32			26			50			—
Total net change in unrealized appreciation (depreciation)		4,847,208			2,280,372			14,277,386			39,702,491			(20,600,805	)
Net realized and unrealized gain on investments		8,805,212			13,830,389			40,344,239			58,183,487			25,713,865
Change in net assets resulting from operations	$	11,447,589		$	16,397,937		$	44,476,462		$	59,653,937		$	27,395,293

(1) Net of foreign taxes withheld of $4,561.

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

122

Year Ended August 31, 2017

Statements of Operations BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,007,493	(1)	$	878,521	(2)	$	159,554	(2)	$	824,535		$	1,420,974	(1)
Affiliated issuers		18,016			9,724			2,946			24,748			—
Net securities lending income (Note 6)		86,241			55,213			15,512			457,173			6,805
Total income		1,111,750			943,458			178,012			1,306,456			1,427,779
Expenses:
Investment advisory fees (Note 6)		804,195			462,184			111,610			1,471,741			326,874
Shareholder servicing fees (Note 6)		163,287			—			—			214,723			—
Administration fees (Note 6)		175,873			98,504			25,756			306,628			75,432
Portfolio accounting fees		87,627			67,346			33,750			86,715			55,605
Recordkeeping fees		81,631			50,244			23,131			55,821			23,177
Custodian fees (Note 6)		5,455			3,135			799			9,471			71,660
Registration fees		66,077			53,696			30,315			42,756			30,634
Professional fees		23,990			23,610			23,610			23,990			23,915
Printing and postage		44,033			54,655			6,886			56,838			6,657
Directors’ fees		13,333			13,333			13,333			13,333			13,333
Distribution services fees (Note 6):
Advisor class		29,588			95,691			3,434			46,513			1,419
Retirement class R-3		105			519			—			—			—
Miscellaneous		8,120			5,518			2,795			15,430			12,632
Total expenses		1,503,314			928,435			275,419			2,343,959			641,338
Deduct:
Expense waivers (Note 6)		(148,063	)		(166,953	)		(117,281	)		(5,110	)		(211,613	)
Net expenses		1,355,251			761,482			158,138			2,338,849			429,725
Net investment income (loss)		(243,501	)		181,976			19,874			(1,032,393	)		998,054
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain on transactions from:
Investments in unaffiliated issuers		30,467,203			9,972,454			952,281			81,423,920			307,488
Investments in affiliated issuers		689			216			95			1,531			—
Foreign currency transactions		—			—			—			—			(23,988	)
Total net realized gain		30,467,892			9,972,670			952,376			81,425,451			283,500
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(11,980,712	)		(2,759,597	)		1,428,444			(53,783,096	)		2,417,478
Foreign currency translations		—			—			—			—			10,749
Total net change in unrealized appreciation (depreciation)		(11,980,712	)		(2,759,597	)		1,428,444			(53,783,096	)		2,428,227
Net realized and unrealized gain on investments and foreign currency		18,487,180			7,213,073			2,380,820			27,642,355			2,711,727
Change in net assets resulting from operations	$	18,243,679		$	7,395,049		$	2,400,694		$	26,609,962		$	3,709,781

(1) Net of foreign taxes withheld of $2,530 and $87,057, respectively.

(2) Non-cash dividends amounted to $147,301 and $17,755, respectively.

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

123

Year Ended August 31, 2017

Statements of Operations BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			TCH Emerging Markets Bond Fund			Alternative Strategies Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,925,768	(1)	$	22,265,547	(1)	$	3,242,582	(1)	$	5,093		$	1,129,361	(1)(3)
Interest income		—			—			—			625,596			1,000,987	(3)
Net securities lending income (Note 6)		36,575			273,392			4,390			6,352			—
Total income		1,962,343			22,538,939			3,246,972			637,041			2,130,348
Expenses:
Investment advisory fees (Note 6)		388,006			4,616,251			1,304,225			73,045			1,734,588
Shareholder servicing fees (Note 6)		—			215,123			—			—			—
Administration fees (Note 6)		97,001			893,292			217,371			19,921			157,472
Portfolio accounting fees		45,920			91,397			49,437			50,707			317,705
Recordkeeping fees		22,409			493,295			32,782			21,570			23,657
Custodian fees (Note 6)		75,294			312,038			254,200			3,106			370,157
Registration fees		53,530			76,948			36,082			30,666			34,319
Professional fees		23,461			24,390			30,215			27,066			59,480
Printing and postage		6,601			44,185			40,960			7,043			6,913
Directors’ fees		13,333			13,333			13,333			13,333			13,333
Interest expense and dividends on securities sold short		—			—			—			—			836,747
Distribution services fees (Note 6):
Advisor class		334			694			110,747			593			573
Retirement class R-3		—			120			—			—			—
Miscellaneous		14,405			14,008			27,318			3,713			11,918
Total expenses		740,294			6,795,074			2,116,670			250,763			3,566,862
Deduct:
Expense waivers (Note 6)		(157,950	)		(560,420	)		(339,413	)		(137,519	)		(730,384	)
Net expenses		582,344			6,234,654			1,777,257			113,244			2,836,478
Net investment income (loss)		1,379,999			16,304,285			1,469,715			523,797			(706,130	)
Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(968,406	)		(9,737,039	)		1,815,795	(2)		(111,397	)		7,513,102
Foreign currency transactions		18,574			(286,543	)		(119,866	)		(3,193	)		(881,295	)
Forward contracts		—			—			—			—			438,847
Futures contracts		—			—			—			—			636,116
Purchased options		—			—			—			—			(872,774	)
Written options		—			—			—			—			1,647,284
Short sales		—			—			—			—			(2,961,988	)
Total net realized gain (loss)		(949,832	)		(10,023,582	)		1,695,929			(114,590	)		5,519,292
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		10,636,880			59,287,847			17,592,021			171,149			(909,527	)
Futures contracts		—			—			—			—			179,786
Forward contracts		—			—			—			—			189,412
Purchased options		—			—			—			—			(331,039	)
Written options		—			—			—			—			336,447
Short sales		—			—			—			—			439,680
Foreign currency translations		5,586			66,893			(22,684	)		(804	)		118
Total net change in unrealized appreciation (depreciation)		10,642,466			59,354,740			17,569,337			170,345			(95,123	)
Net realized and unrealized gain on investments, options, futures contracts and foreign currency		9,692,634			49,331,158			19,265,266			55,755			5,424,169
Change in net assets resulting from operations	$	11,072,633		$	65,635,443		$	20,734,981		$	579,552		$	4,718,039

(1) Net of foreign taxes withheld of $169,082, $1,820,670, $310,644 and $422, respectively.

(2) Net of foreign taxes withheld of $822,045, $717,474 of which is related to appreciated investments held at period end.

(3) Non-cash dividend and Paid-in-kind interest amounted to $123,691 and $3,368, respectively.

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

124

Year Ended August 31, 2017

Statements of Operations BMO Funds

	Global Long/Short Equity Fund			Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	175,243	(1)	$	—		$	—		$	178,715		$	671,819
Affiliated issuers		—			6,215			9,835			55,426			53,517
Interest income		—			7,579,698			3,273,608			5,005,838			50,875,140
Net securities lending income (Note 6)		1,530			—			—			92,724			—
Total income		176,773			7,585,913			3,283,443			5,332,703			51,600,476
Expenses:
Investment advisory fees (Note 6)		72,295			1,019,790			358,602			490,064			1,954,524
Shareholder servicing fees (Note 6)		—			89,795			33,777			103,883			2,719,878
Administration fees (Note 6)		10,844			914,685			275,212			380,459			2,496,786
Portfolio accounting fees		47,146			245,717			153,791			135,795			468,796
Recordkeeping fees		22,816			39,536			37,255			51,679			52,170
Custodian fees (Note 6)		24,540			28,348			8,527			11,780			77,318
Registration fees		53,635			61,835			46,764			49,217			74,458
Professional fees		26,006			28,320			28,320			28,320			28,320
Printing and postage		6,907			11,527			10,345			12,796			61,122
Directors’ fees		13,333			13,333			13,333			13,333			13,333
Interest expense and dividends on securities sold short		59,502			—			—			—			—
Distribution services fees (Note 6):
Advisor class		1,459			23,562			10,444			23,865			8,137
Miscellaneous		10,827			19,544			7,559			9,592			49,880
Total expenses		349,310			2,495,992			983,929			1,310,783			8,004,722
Deduct:
Expense waivers (Note 6)		(190,751	)		(552,571	)		(223,371	)		(295,091	)		(182,371	)
Net expenses		158,559			1,943,421			760,558			1,015,692			7,822,351
Net investment income		18,214			5,642,492			2,522,885			4,317,011			43,778,125
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		294,718			727,984			(226,841	)		236,882			(11,059,808	)
Investments in affiliated issuers		—			—			—			218			—
Foreign currency transactions		457			—			—			—			—
Short sales		(46,199	)		—			—			—			—
Net realized gain on capital gains distributions from:
Investments in affiliated issuers		—			—			895			—			5,281
Total net realized gain (loss)		248,976			727,984			(225,946	)		237,100			(11,054,527	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		953,226			208,911			(181,247	)		(716,487	)		(26,177,041	)
Investments in affiliated issuers		—			—			864			88			5,093
Short sales		(240,445	)		—			—			—			—
Foreign currency translations		(27	)		—			—			—			—
Total net change in unrealized appreciation (depreciation)		712,754			208,911			(180,383	)		(716,399	)		(26,171,948	)
Net realized and unrealized gain (loss) on investments and foreign currency		961,730			936,895			(406,329	)		(479,299	)		(37,226,475	)
Change in net assets resulting from operations	$	979,944		$	6,579,387		$	2,116,556		$	3,837,712		$	6,551,650

(1) Net of foreign taxes withheld of $10,985.

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

125

Year Ended August 31, 2017

Statements of Operations BMO Funds

	Strategic Income Fund			TCH Corporate Income Fund			TCH Core Plus Bond Fund			High Yield Bond Fund
Investment income:
Dividend income from:
Affiliated issuers	$	11,067		$	77,149		$	268,202		$	8,277
Interest income		3,176,016			7,402,926			28,444,864			2,537,723
Net securities lending income (Note 6)		10,262			70,178			344,146			—
Total income		3,197,345			7,550,253			29,057,212			2,546,000
Expenses:
Investment advisory fees (Note 6)		242,483			444,534			1,272,636			208,206
Shareholder servicing fees (Note 6)		193,934			257,330			1,131,214			—
Administration fees (Note 6)		146,559			343,184			1,473,953			62,462
Portfolio accounting fees		76,443			112,136			268,405			59,199
Recordkeeping fees		57,921			40,014			43,311			26,382
Custodian fees (Note 6)		4,541			10,642			45,679			1,922
Registration fees		38,727			47,255			74,391			41,238
Professional fees		30,480			30,480			30,480			29,910
Printing and postage		19,781			14,505			45,343			38,371
Directors’ fees		13,333			13,333			13,333			13,333
Distribution services fees (Note 6):
Advisor class		8,112			1,388			5,387			56,080
Miscellaneous		4,824			8,521			30,641			3,486
Total expenses		837,138			1,323,322			4,434,773			540,589
Deduct:
Expense waivers (Note 6)		(97,679	)		(130,828	)		—			(215,614	)
Net expenses		739,459			1,192,494			4,434,773			324,975
Net investment income		2,457,886			6,357,759			24,622,439			2,221,025
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		2,392,762			1,718,848			3,197,584			2,635,106
Investments in affiliated issuers		(126	)		2,028			1,503			1,965
Total net realized gain		2,392,636			1,720,876			3,199,087			2,637,071
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,889,424	)		1,352,901			(7,557,407	)		(2,865,438	)
Investments in affiliated issuers		—			—			892			—
Total net change in unrealized appreciation (depreciation)		(1,889,424	)		1,352,901			(7,556,515	)		(2,865,438	)
Net realized and unrealized gain (loss) on investments		503,212			3,073,777			(4,357,428	)		(228,367	)
Change in net assets resulting from operations	$	2,961,098		$	9,431,536		$	20,265,011		$	1,992,658

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

126

Year Ended August 31, 2017

Statements of Operations BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,233,975		$	79,917		$	156,301		$	125,834
Interest income		20,489,776			2,752,345			3,935,306			3,793,344
Total income		21,723,751			2,832,262			4,091,607			3,919,178
Expenses:
Investment advisory fees (Note 6)		6,422,550			733,467			763,460			624,829
Shareholder servicing fees (Note 6)		2,179,124			202,042			640,252			3,417
Administration fees (Note 6)		1,115,080			123,526			171,450			140,384
Portfolio accounting fees		354,841			104,845			118,062			146,194
Recordkeeping fees		29,809			30,361			83,418			196,975
Custodian fees (Note 6)		153,833			17,029			23,586			19,362
Registration fees		65,563			66,330			72,875			45,546
Professional fees		27,240			31,550			37,055			31,550
Printing and postage		35,453			25,279			70,012			35,896
Directors’ fees		13,333			13,333			13,333			13,333
Miscellaneous		63,913			16,001			46,544			12,458
Total expenses		10,460,739			1,363,763			2,040,047			1,269,944
Deduct:
Expense waivers (Note 6)		(1,927,424	)		(427,816	)		(388,578	)		(433,421	)
Net expenses		8,533,315			935,947			1,651,469			836,523
Net investment income		13,190,436			1,896,315			2,440,138			3,082,655
Net realized and unrealized gain on investments:
Net Increase from payments by affiliates (Note 6)		_			_			264,566			_
Net realized gain on transactions from:
Investments in unaffiliated issuers		3,240			35,088			1,277			1,901
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		900			33,710			87			33
Total net realized gain		4,140			68,798			265,930			1,934
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		—			—			—			41,402
Net realized and unrealized gain on investments		4,140			68,798			265,930			43,336
Change in net assets resulting from operations	$	13,194,576		$	1,965,113		$	2,706,068		$	3,125,991

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

127

Statements of Changes in Net Assets

	Low Volatility Equity Fund						Dividend Income Fund						Large-Cap Value Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	2,642,377		$	1,719,750		$	2,567,548		$	2,902,334		$	4,132,223		$	4,610,415
Net realized gain (loss) on investments		3,958,004			1,240,148			11,550,017			354,810			26,066,853			(38,852	)
Net change in unrealized appreciation (depreciation) on investments		4,847,208			9,835,447			2,280,372			9,968,239			14,277,386			11,147,062
Change in net assets resulting from operations		11,447,589			12,795,345			16,397,937			13,225,383			44,476,462			15,718,625
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			(1,604,050	)(1)		(2,355,769	)
Advisor class of shares		(369,362	)		(93,308	)		(1,243,935	)		(1,799,680	)		(525,994	)		(496	)
Institutional class of shares		(2,199,344	)		(1,399,044	)		(1,256,597	)		(1,023,663	)		(2,082,733	)		(2,144,146	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(6,226	)		(551	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			—			(1,409,302	)(1)		(16,736,440	)
Advisor class of shares		(242,749	)		(186,472	)		(664,793	)		(4,585,710	)		(310	)		(3,030	)
Institutional class of shares		(1,697,222	)		(2,310,319	)		(294,696	)		(2,265,425	)		(1,185,002	)		(12,497,098	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(429	)		—
Change in net assets resulting from distributions to shareholders		(4,508,677	)		(3,989,143	)		(3,460,021	)		(9,674,478	)		(6,814,046	)		(33,737,530	)
Capital stock transactions:
Proceeds from sale of shares		54,505,942			77,894,953			94,718,963			17,607,800			425,435,120			104,915,403
Net asset value of shares issued to shareholders in payment of distributions declared		4,155,724			3,775,035			3,335,815			9,308,888			6,683,858			33,226,566
Cost of shares redeemed		(56,616,611	)		(17,952,511	)		(112,660,977	)		(33,025,752	)		(443,263,199	)		(64,253,029	)
Change in net assets resulting from capital stock transactions		2,045,055			63,717,477			(14,606,199	)		(6,109,064	)		(11,144,221	)		73,888,940
Change in net assets		8,983,967			72,523,679			(1,668,283	)		(2,558,159	)		26,518,195			55,870,035
Net assets:
Beginning of period		150,477,201			77,953,522			117,249,991			119,808,150			307,177,497			251,307,462
End of period	$	159,461,168		$	150,477,201		$	115,581,708		$	117,249,991		$	333,695,692		$	307,177,497
Undistributed net investment income included in net assets at end of period	$	460,213		$	386,543		$	523,336		$	456,320		$	902,298		$	989,078

(1) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

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

128

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
$	1,470,450		$	709,679		$	1,681,428		$	2,409,099		$	(243,501	)	$	274,516		$	181,976		$	197,179
	18,480,996			15,242,072			46,314,670			26,245,163			30,467,892			8,811,909			9,972,670			2,472,186
	39,702,491			5,020,597			(20,600,805	)		(11,337,427	)		(11,980,712	)		(19,868,300	)		(2,759,597	)		4,049,590
	59,653,937			20,972,348			27,395,293			17,316,835			18,243,679			(10,781,875	)		7,395,049			6,718,955
	(850,301	)		(172,029	)		(620,800	)(1)		(1,451,373	)		(154,340	)(1)		—			—			—
	(3,292	)		(108	)		(141	)		(283	)		(48	)		—			(127,825	)		—
	(962,258	)		(227,954	)		(406,171	)		(1,036,907	)		(120,879	)		—			(140,161	)		—
	—			—			(40	)		(140	)		—			—			(288	)		—
	(9,663	)		—			(86,426	)		(132,586	)		(115	)		—			(7,836	)		—
	(9,731,477	)		(23,424,642	)		(37,656,722	)(1)		(17,282,806	)		(18,668,185	)(1)		(17,885,662	)		—			—
	(23,105	)		(14,660	)		(10,206	)		(2,836	)		(6,793	)		(4,458	)		(4,014,102	)		(2,966,991	)
	(5,612,118	)		(9,138,591	)		(19,251,433	)		(8,980,221	)		(7,922,531	)		(11,158,688	)		(2,247,077	)		(864,410	)
	—			—			(7,265	)		(2,517	)		(5,167	)		(3,577	)		(8,082	)		(1,046	)
	(3,064	)		—			(3,042,303	)		(830,126	)		(5,155	)		(3,575	)		(90,268	)		(22,642	)
	(17,195,278	)		(32,977,984	)		(61,081,507	)		(29,719,795	)		(26,883,213	)		(29,055,960	)		(6,635,639	)		(3,855,089	)
	260,299,527			72,780,170			235,382,599			32,137,269			172,115,168			22,934,076			51,649,898			23,835,358
	16,862,068			32,554,872			60,113,519			29,132,606			26,605,786			28,499,772			6,551,653			3,718,316
	(222,772,588	)		(68,634,929	)		(286,548,985	)		(104,242,115	)		(203,548,530	)		(92,972,085	)		(63,822,053	)		(53,436,591	)
	54,389,007			36,700,113			8,947,133			(42,972,240	)		(4,827,576	)		(41,538,237	)		(5,620,502	)		(25,882,917	)
	96,847,666			24,694,477			(24,739,081	)		(55,375,200	)		(13,467,110	)		(81,376,072	)		(4,861,092	)		(23,019,051	)
	259,607,762			234,913,285			231,243,049			286,618,249			126,489,627			207,865,699			69,146,624			92,165,675
$	356,455,428		$	259,607,762		$	206,503,968		$	231,243,049		$	113,022,517		$	126,489,627		$	64,285,532		$	69,146,624
$	345,466		$	700,529		$	1,018,784		$	450,934		$	—		$	—		$	28,224		$	120,329

129

Statements of Changes in Net Assets

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	19,874		$	35,444		$	(1,032,393	)	$	(1,545,872	)	$	998,054		$	770,195
Net realized gain (loss) on investments and foreign currency transactions		952,376			77,182			81,425,451			(66,588,079	)		283,500			77,910
Net change in unrealized appreciation (depreciation) on investments and foreign currency translation		1,428,444			1,088,736			(53,783,096	)		22,778,741			2,428,227			3,976,037
Change in net assets resulting from operations		2,400,694			1,201,362			26,609,962			(45,355,210	)		3,709,781			4,824,142
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		(558	)		—			—			—			(3,979	)		(842	)
Institutional class of shares		(45,376	)		(8,676	)		—			—			(903,509	)		(276,907	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			(19,043,435	)		—			—
Advisor class of shares		(10,911	)		(4,815	)		—			—			(1,779	)		(5	)
Institutional class of shares		(235,448	)		(44,857	)		—			(21,414,838	)		(358,652	)		(1,223	)
Change in net assets resulting from distributions to shareholders		(292,293	)		(58,348	)		—			(40,458,273	)		(1,267,919	)		(278,977	)
Capital stock transactions:
Proceeds from sale of shares		9,920,241			7,519,961			164,623,919			122,730,351			25,974,881			30,143,065
Net asset value of shares issued to shareholders in payment of distributions declared		233,520			55,327			—			38,844,689			1,088,741			278,762
Cost of shares redeemed		(4,028,666	)		(1,552,099	)		(388,067,585	)		(386,000,081	)		(19,462,032	)		(78,393	)
Redemption fees		—			—			—			—			50			—
Change in net assets resulting from capital stock transactions		6,125,095			6,023,189			(223,443,666	)		(224,425,041	)		7,601,640			30,343,434
Change in net assets		8,233,496			7,166,203			(196,833,704	)		(310,238,524	)		10,043,502			34,888,599
Net assets:
Beginning of period		11,427,482			4,261,279			335,829,534			646,068,058			39,174,681			4,286,082
End of period	$	19,660,978		$	11,427,482		$	138,995,830		$	335,829,534		$	49,218,183		$	39,174,681
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	598		$	26,658		$	(487,076	)	$	(781,484	)	$	676,369		$	562,878

(1) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

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

130

BMO Funds

Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						TCH Emerging Markets Bond Fund
Year Ended August 31, 2017			Period Ended August 31, 2016(1)			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
$	1,379,999		$	1,597,236		$	16,304,285		$	16,087,942		$	1,469,715		$	1,453,122		$	523,797		$	371,826
	(949,832	)		(4,330,485	)		(10,023,582	)		(25,932,608	)		1,695,929			(5,190,819	)		(114,590	)		(285,616	)
	10,642,466			259,955			59,354,740			47,465,510			17,569,337			26,731,218			170,345			623,408
	11,072,633			(2,473,294	)		65,635,443			37,620,844			20,734,981			22,993,521			579,552			709,618
	—			—			(2,021,310	)		(1,934,163	)		—			—			—			—
	(3,317	)		—			(2,390	)		(16,401	)		(239,982	)		(565,517	)		—			(184,869	)
	(1,673,168	)		—			(11,624,253	)		(13,383,043	)		(717,841	)		(891,245	)		(401,330	)		(187,204	)
	—			—			(421	)		(399	)		—			—			—			—
	—			—			(652,041	)		(314,323	)		—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			(35,898	)
	—			—			—			—			—			—			—			(35,236	)
	(1,676,485	)		—			(14,300,415	)		(15,648,329	)		(957,823	)		(1,456,762	)		(401,330	)		(443,207	)
	22,343,033			82,544,586			396,261,133			193,170,479			109,773,573			36,515,328			17,880,925			6,501
	1,670,654			—			9,352,958			7,286,600			866,512			1,293,611			391,248			443,207
	(28,580,607	)		(12,512,586	)		(409,127,462	)		(345,856,593	)		(98,790,975	)		(77,615,987	)		(14,911,038	)		(66,846	)
	—			108			3,133			10,295			680			254			423			—
	(4,566,920	)		70,032,108			(3,510,238	)		(145,389,219	)		11,849,790			(39,806,794	)		3,361,558			382,862
	4,829,228			67,558,814			47,824,790			(123,416,704	)		31,626,948			(18,270,035	)		3,539,780			649,273
	67,558,814			—			601,914,795			725,331,499			130,729,863			148,999,898			8,343,753			7,694,480
$	72,388,042		$	67,558,814		$	649,739,585		$	601,914,795		$	162,356,811		$	130,729,863		$	11,883,533		$	8,343,753
$	968,844		$	1,157,071		$	14,755,088		$	13,037,761		$	1,245,074		$	957,619		$	313,519		$	232,485

131

Statements of Changes in Net Assets

	Alternative Strategies Fund						Global Long/Short Equity Fund						Ultra Short Tax-Free Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Period Ended August 31, 2016 (1)			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	(706,130	)	$	(691,816	)	$	18,214		$	15,944		$	5,642,492		$	4,066,409
Net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		5,519,292			(1,592,956	)		248,976			5,470			727,984			219,331
Net change in unrealized appreciation (depreciation) on investments, options, futures contracts and foreign currency translation		(95,123	)		3,205,423			712,754			231,860			208,911			15,848
Change in net assets resulting from operations		4,718,039			920,651			979,944			253,274			6,579,387			4,301,588
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			(241,956	)(2)		(238,848	)
Advisor class of shares		—			—			(1,759	)		—			(69,829	)		(142	)
Institutional class of shares		—			(80,732	)		(23,821	)		—			(5,330,707	)		(3,827,419	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			—			(49,470	)(2)		(57,924	)
Advisor class of shares		—			(4,097	)		(3,694	)		—			(91	)		(47	)
Institutional class of shares		—			(965,757	)		(31,174	)		—			(590,147	)		(615,255	)
Change in net assets resulting from distributions to shareholders		—			(1,050,586	)		(60,448	)		—			(6,282,200	)		(4,739,635	)
Capital stock transactions:
Proceeds from sale of shares		21,309,308			86,984,278			4,825,632			4,031,365			524,112,502			397,573,428
Net asset value of shares issued to shareholders in payment of distributions declared		—			967,655			27,773			—			2,303,408			1,987,757
Cost of shares redeemed		(39,701,160	)		(13,680,094	)		(303,296	)		(57,174	)		(468,304,972	)		(563,825,769	)
Change in net assets resulting from capital stock transactions		(18,391,852	)		74,271,839			4,550,109			3,974,191			58,110,938			(164,264,584	)
Change in net assets		(13,673,813	)		74,141,904			5,469,605			4,227,465			58,408,125			(164,702,631	)
Net assets:
Beginning of period		109,413,994			35,272,090			4,227,465			—			601,979,165			766,681,796
End of period	$	95,740,181		$	109,413,994		$	9,697,070		$	4,227,465		$	660,387,290		$	601,979,165
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(203,177	)	$	(461,064	)	$	7,322		$	9,599		$	(15,636	)	$	(15,383	)

(1) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

(2) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(3) Includes paid-in-capital received from a non-taxable in-kind subscription merger of the BMO TCH Intermediate Income Fund effective as of the close of business on June 29, 2017. See Note 11, Reorganization Information, in the Notes to Financial Statements for additional information.

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

132

BMO Funds

Short Tax-Free Fund						Short-Term Income Fund						Intermediate Tax-Free Fund						Strategic Income Fund
Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
$	2,522,885		$	1,979,487		$	4,317,011		$	3,631,630		$	43,778,125		$	40,557,680		$	2,457,886		$	2,650,384
	(225,946	)		60,387			237,100			290,853			(11,054,527	)		5,539,237			2,392,636			654,730
	(180,383	)		1,077,276			(716,399	)		2,643,827			(26,171,948	)		52,312,210			(1,889,424	)		1,346,851
	2,116,556			3,117,150			3,837,712			6,566,310			6,551,650			98,409,127			2,961,098			4,651,965
	(167,597	)(2)		(185,196	)		(632,772	)(2)		(675,983	)		(27,728,210	)		(27,499,998	)		(2,360,082	)		(2,520,683	)
	(52,821	)		(7,632	)		(155,425	)		(502	)		(83,767	)		(44,788	)		(121,105	)		(812	)
	(2,303,362	)		(1,786,659	)		(3,644,261	)		(3,572,053	)		(15,971,429	)		(13,012,894	)		(551,185	)		(728,392	)
	(5,100	)(2)		(53,401	)		—			—			(3,552,901	)		(2,043,712	)		—			—
	(377	)		(1,269	)		—			—			(5,750	)		(3,906	)		—			—
	(51,518	)		(280,303	)		—			—			(1,761,746	)		(788,345	)		—			—
	(2,580,775	)		(2,314,460	)		(4,432,458	)		(4,248,538	)		(49,103,803	)		(43,393,643	)		(3,032,372	)		(3,249,887	)
	122,858,814			134,561,550			204,775,746			199,061,625			512,577,117			569,389,446			39,469,441	(3)		23,372,036
	852,087			583,082			2,472,081			2,617,594			40,385,928			35,545,708			2,752,071			2,729,391
	(125,930,060	)		(81,519,478	)		(257,682,881	)		(241,672,762	)		(737,200,006	)		(627,844,836	)		(36,107,475	)		(37,540,648	)
	(2,219,159	)		53,625,154			(50,435,054	)		(39,993,543	)		(184,236,961	)		(22,909,682	)		6,114,037			(11,439,221	)
	(2,683,378	)		54,427,844			(51,029,800	)		(37,675,771	)		(226,789,114	)		32,105,802			6,042,763			(10,037,143	)
	185,303,794			130,875,950			293,618,908			331,294,679			1,844,952,869			1,812,847,067			107,349,724			117,386,867
$	182,620,416		$	185,303,794		$	242,589,108		$	293,618,908		$	1,618,163,755		$	1,844,952,869		$	113,392,487		$	107,349,724
$	(465	)	$	8,540		$	1,360		$	1,359		$	215,765		$	71,970		$	(14,926	)	$	(14,927	)

133

Statements of Changes in Net Assets

	TCH Corporate Income Fund						TCH Core Plus Bond Fund						High Yield Bond Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	6,357,759		$	8,488,508		$	24,622,439		$	31,078,645		$	2,221,025		$	3,905,456
Net realized gain (loss) on investments		1,720,876			348,361			3,199,087			(760,961	)		2,637,071			(4,008,398	)
Net change in unrealized appreciation (depreciation) on investments		1,352,901			10,485,972			(7,556,515	)		38,114,466			(2,865,438	)		5,004,789
Change in net assets resulting from operations		9,431,536			19,322,841			20,265,011			68,432,150			1,992,658			4,901,847
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(2,785,140	)		(3,428,757	)		(10,958,410	)		(16,668,242	)		—			—
Advisor class of shares		(14,625	)		(2,556	)		(52,010	)		(29,941	)		(1,179,592	)		(2,343,275	)
Institutional/Premier class of shares		(3,557,995	)		(5,057,195	)		(14,084,186	)		(14,807,318	)		(1,041,433	)		(1,562,181	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(669,458	)		(418,374	)		(1,604,981	)		(197,248	)		—			—
Advisor class of shares		(392	)		(93	)		(5,068	)		(295	)		—			—
Institutional/Premier class of shares		(1,035,668	)		(572,757	)		(1,455,998	)		(156,189	)		—			—
Change in net assets resulting from distributions to shareholders		(8,063,278	)		(9,479,732	)		(28,160,653	)		(31,859,233	)		(2,221,025	)		(3,905,456	)
Capital stock transactions:
Proceeds from sale of shares		117,056,559			46,517,931			781,831,952			215,750,635			4,246,536			48,801,469
Net asset value of shares issued to shareholders in payment of distributions declared		5,060,623			5,815,437			25,943,203			29,598,956			2,021,657			3,593,223
Cost of shares redeemed		(79,201,504	)		(150,156,892	)		(721,237,192	)		(388,706,092	)		(99,081,869	)		(20,052,181	)
Change in net assets resulting from capital stock transactions		42,915,678			(97,823,524	)		86,537,963			(143,356,501	)		(92,813,676	)		32,342,511
Change in net assets		44,283,936			(87,980,415	)		78,642,321			(106,783,584	)		(93,042,043	)		33,338,902
Net assets:
Beginning of period		212,138,293			300,118,708			968,691,967			1,075,475,551			106,355,392			73,016,490
End of period	$	256,422,229		$	212,138,293		$	1,047,334,288		$	968,691,967		$	13,313,349		$	106,355,392
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(2,698	)	$	(2,698	)	$	(13,105	)	$	(13,105	)	$	(9,387	)	$	(9,387	)

(1) Reflects operations for the period from June 3, 2016 (inception date) to August 31, 2016.

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

134

BMO Funds

Government Money Market Fund						Tax-Free Money Market Fund						Prime Money Market Fund						Institutional Prime Money Market Fund
Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Period Ended August 31, 2016 (1)
$	13,190,436		$	733,948		$	1,896,315		$	707,407		$	2,440,138		$	5,070,691		$	3,082,655		$	384,445
	4,140			1,602			68,798			299,462			265,930			13,842			1,934			1,744
	—			—			—			—			—			—			41,402			—
	13,194,576			735,550			1,965,113			1,006,869			2,706,068			5,084,533			3,125,991			386,189
	(2,102,345	)		(13,465	)		(273,064	)		(39,268	)		(908,840	)		(386,549	)		(6,848	)		(24	)
	—			—			—			—			—			—			—			—
	(11,088,991	)		(720,483	)		(1,656,960	)		(669,366	)		(1,531,386	)		(4,684,142	)		(3,075,841	)		(384,421	)
	(873	)		(265	)		(20,917	)		(53,619	)		(603	)		(5,949	)		(6	)		—
	—			—			—			—			—			—			—			—
	(2,367	)		(1,478	)		(76,487	)		(182,300	)		(685	)		(7,893	)		(1,894	)		(1,744	)
	(13,194,576	)		(735,691	)		(2,027,428	)		(944,553	)		(2,441,514	)		(5,084,533	)		(3,084,589	)		(386,189	)
	14,334,494,569			5,808,935,538			705,359,534			1,842,462,751			783,415,206			10,819,024,804			914,326,979			748,116,962
	1,300,125			144,953			275,718			85,897			780,900			454,947			8,930			68
	(13,488,067,651	)		(4,142,091,449	)		(794,823,978	)		(2,095,615,919	)		(1,988,344,911	)		(13,119,885,203	)		(928,963,735	)		(331,906,646	)
	847,727,043			1,666,989,042			(89,188,726	)		(253,067,271	)		(1,204,148,805	)		(2,300,405,452	)		(14,627,826	)		416,210,384
	847,727,043			1,666,988,901			(89,251,041	)		(253,004,955	)		(1,203,884,251	)		(2,300,405,452	)		(14,586,424	)		416,210,384
	2,235,876,331			568,887,430			404,052,454			657,057,409			1,572,473,018			3,872,878,470			416,210,384			—
$	3,083,603,374		$	2,235,876,331		$	314,801,413		$	404,052,454		$	368,588,767		$	1,572,473,018		$	401,623,960		$	416,210,384
$	(1,041	)	$	(141	)	$	(24,201	)	$	(8,320	)	$	(24,062	)	$	(23,963	)	$	16,452		$	—

135

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Large-Cap Growth Fund
2017		$	15.34		$	0.06			$	3.03			$	3.09			$	(0.07	)		$	(0.90	)		$	(0.97	)		$	17.46		21.30	%		1.03	%		1.00	%		0.34	%		$	74,359		75	%
2016			16.26			0.03				1.44				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.23				163,712		70
2015			17.94			(0.01	)			0.93				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				161,918		94
2014			15.08			0.01				4.34				4.35				(0.04	)			(1.45	)			(1.49	)			17.94		30.33			1.24			1.24			0.03				97,738		67
2013(3)			14.16			0.06				1.93				1.99				(0.03	)			(1.04	)			(1.07	)			15.08		15.07			1.25			1.24			0.37				92,037		100
Pyrford International Stock Fund
2017(3)(7)			12.18			0.28				0.95				1.23				(0.25	)			—				(0.25	)			13.16		10.38			1.30			1.21			2.28				6,162		33
2016(3)			11.74			0.24				0.44				0.68				(0.24	)			—				(0.24	)			12.18		5.96			1.31			1.24			2.20				99,916		12
2015(3)			13.11			0.23				(1.52	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)		1.28			1.24			2.02				91,700		9
2014(3)			12.07			0.36				1.27				1.63				(0.56	)			(0.03	)			(0.59	)			13.11		13.69			1.27			1.24			3.12				81,352		6
2013(3)			10.76			0.24				1.35				1.59				(0.23	)			(0.05	)			(0.28	)			12.07		14.98			1.34			1.24			2.23				51,265		15
Intermediate Tax-Free Fund
2017			11.61			0.29				(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.78			0.57			0.55			2.55				975,664		44
2016			11.26			0.25				0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.19				1,241,387		42
2015			11.25			0.26				0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.23				1,250,815		26
2014			10.66			0.28				0.59				0.87				(0.28	)			(0.00	)			(0.28	)			11.25		8.29			0.61			0.55			2.58				1,003,132		35
2013(3)			11.30			0.28				(0.57	)			(0.29	)			(0.28	)			(0.07	)			(0.35	)			10.66		(2.67	)		0.61			0.55			2.51				844,129		39
Strategic Income Fund
2017			9.43			0.23				0.08				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			2.46				73,488		65
2016			9.31			0.21				0.17				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.28				85,665		13
2015			9.36			0.22				—				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				94,380		44
2014			9.17			0.20				0.24				0.44				(0.25	)			—				(0.25	)			9.36		4.87			0.92			0.80			2.21				105,888		129
2013(3)			9.77			0.11				(0.38	)			(0.27	)			(0.22	)			(0.11	)			(0.33	)			9.17		(2.81	)		0.88			0.80			1.33				138,914		307
TCH Corporate Income Fund
2017			13.17			0.35				0.14				0.49				(0.35	)			(0.11	)			(0.46	)			13.20		3.86			0.71			0.59			2.70				120,745		44
2016			12.33			0.45				0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.65				82,643		62
2015			13.09			0.36				(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				137,987		26
2014			12.39			0.44				0.91				1.35				(0.44	)			(0.21	)			(0.65	)			13.09		11.20			0.74			0.59			3.32				78,347		25
2013(3)			13.05			0.41				(0.34	)			0.07				(0.43	)			(0.30	)			(0.73	)			12.39		0.40			0.75			0.65			3.20				35,860		123
TCH Core Plus Bond Fund
2017			11.89			0.24				(0.02	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.37				68,946		34
2016			11.42			0.34				0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			3.00				508,030		39
2015			11.95			0.32				(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.69				602,588		25
2014			11.32			0.31				0.66				0.97				(0.32	)			(0.02	)			(0.34	)			11.95		8.68			0.62			0.59			2.66				517,753		44
2013(3)			11.90			0.30				(0.30	)			0.00				(0.30	)			(0.28	)			(0.58	)			11.32		(0.18	)		0.68			0.61			2.26				463,851		101
Government Money Market Fund
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.24			0.50			0.42			0.24				814,242		—
2016			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.29			0.01				268,417		—
2015			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.08			0.01				101,593		—
2014			1.00			0.00				—				0.00				(0.00	)			—				(0.00	)			1.00		0.01			0.54			0.07			0.01				105,267		—
2013			1.00			0.00				—				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.55			0.13			0.01				133,255		—
Tax-Free Money Market Fund
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.37			0.57			0.45			0.33				76,029		—
2016			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.06			0.53			0.26			0.03				90,098		—
2015			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.16			0.01				142,052		—
2014			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.20			0.01				131,175		—
2013			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.30			0.01				121,613		—

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

136

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																															Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Prime Money Market Fund
2017		$	1.00		$	0.00		$	0.00		$	0.00		$	(0.00	)		$	(0.00	)		$	(0.00	)		$	1.00		0.42	%		0.53	%		0.45	%		0.36	%		$	202,251		—	%
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.45			0.38			0.03				903,864		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.19			0.01				1,296,633		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.18			0.01				1,356,875		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.46			0.27			0.01				1,423,007		—
Institutional Prime Money Market Fund
2017(8)			1.00			0.0049			0.0001			0.0050			(0.0049	)			(0.0000	)			(0.0049	)			1.0001		0.50			0.55			0.45			0.50				1,421		—
2016(6)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.54			0.45			0.14				992		—

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01. Effective February 8, 2012, the Ultra Short Tax-Free Fund discontinued it’s redemption fee policy and effective June 14, 2013, the remaining domestic Funds discontinued their redemption fee policy.

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

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from June 3, 2016 (inception date) to August 31, 2016.

(7) Calculated using the average shares method.

(8) Effective October 3, 2016, the BMO Institutional Money Market Fund switched the valuation method of its securities from amortized cost to reflecting changes in market values, thus allowing the Fund’s NAV to “float”. In connection with this change, the Fund’s per share NAV is now calculated to four decimals (e.g., $1.0000).

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

137

Financial Highlights—Advisor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Low Volatility Equity Fund
2017		$	13.79		$	0.20			$	0.74			$	0.94			$	(0.20	)		$	(0.17	)		$	(0.37	)		$	14.36		6.94	%		1.03	%		0.90	%		1.47	%		$	31,624		56	%
2016			12.81			0.16				1.35				1.51				(0.17	)			(0.36	)			(0.53	)			13.79		12.13			1.05			0.90			1.40				15,064		40
2015			13.20			0.14				0.55				0.69				(0.18	)			(0.90	)			(1.08	)			12.81		5.22			1.12			0.90			1.12				1,162		47
2014(6)			12.74			0.04				0.47				0.51				(0.05	)			—				(0.05	)			13.20		4.03			1.02			0.90			1.17				26		47
Dividend Income Fund
2017(11)			12.94			0.28				1.61				1.89				(0.21	)			(0.11	)			(0.32	)			14.51		14.80			1.08			0.90			2.06				3,205		43
2016			12.59			0.30				1.11				1.41				(0.30	)			(0.76	)			(1.06	)			12.94		11.89			1.08			0.90			2.44				78,531		51
2015			14.29			0.31				(0.76	)			(0.45	)			(0.33	)			(0.92	)			(1.25	)			12.59		(3.63	)		1.05			0.90			2.16				74,254		46
2014(6)			13.57			0.08				0.71				0.79				(0.07	)			—				(0.07	)			14.29		5.84			1.08			0.90			2.09				26		45
Large-Cap Value Fund
2017(11)			14.14			0.08				1.93				2.01				(0.18	)			(0.12	)			(0.30	)			15.85		14.33			1.02			1.00			0.49				25,061		62
2016			15.23			0.21				0.53				0.74				(0.22	)			(1.61	)			(1.83	)			14.14		5.31			1.10			1.07			1.61				37		60
2015			17.04			0.13				(0.22	)			(0.09	)			(0.10	)			(1.62	)			(1.72	)			15.23		(0.70	)		1.22			1.21			0.80				28		72
2014(6)			16.23			0.04				0.82				0.86				(0.05	)			—				(0.05	)			17.04		5.32			1.23			1.23			0.83				27		68
Large-Cap Growth Fund
2017			15.34			0.03				3.06				3.09				(0.07	)			(0.90	)			(0.97	)			17.46		21.30			1.03			1.00			0.39				808		75
2016			16.26			0.02				1.45				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.29				405		70
2015			17.94			0.00				0.92				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				37		94
2014(6)			16.81			0.01				1.12				1.13				—				—				—				17.94		6.72			1.24			1.24			0.17				26		67
Mid-Cap Value Fund
2017			14.40			0.05				1.28				1.33				(0.05	)			(3.77	)			(3.82	)			11.91		12.88			1.26			1.24			0.74				64,462		139
2016			15.02			0.11				0.86				0.97				(0.12	)			(1.47	)			(1.59	)			14.40		7.27			1.23			1.23			0.90				39		24
2015			17.66			0.03				(0.59	)			(0.56	)			(0.02	)			(2.06	)			(2.08	)			15.02		(3.55	)		1.22			1.22			0.19				26		27
2014(6)			16.61			0.01				1.04				1.05				—				—				—				17.66		6.32			1.20			1.20			0.31				27		30
Mid-Cap Growth Fund
2017			16.26			(0.02	)			2.11				2.09				(0.02	)			(3.54	)			(3.56	)			14.79		16.73			1.37			1.24			(0.47	)			17,945		157
2016			20.02			0.03				(0.91	)			(0.88	)			—				(2.88	)			(2.88	)			16.26		(4.23	)		1.29			1.24			0.09				31		59
2015			23.93			(0.11	)			(0.57	)			(0.68	)			—				(3.23	)			(3.23	)			20.02		(2.89	)		1.25			1.24			(0.52	)			28		53
2014(6)			22.89			(0.04	)			1.08				1.04				—				—				—				23.93		4.54			1.24			1.24			(0.63	)			26		57
Small-Cap Value Fund
2017(11)			13.21			0.03				1.36				1.39				(0.04	)			(1.26	)			(1.30	)			13.30		11.58			1.49			1.24			0.22				4,931		148
2016			12.72			0.03				0.98				1.01				—				(0.52	)			(0.52	)			13.21		8.23			1.39			1.24			0.17				42,615		39
2015			14.40			(0.02	)			(0.85	)			(0.87	)			—				(0.81	)			(0.81	)			12.72		(6.18	)		1.46			1.24			(0.46	)			72,822		53
2014(6)			13.99			(0.01	)			0.42				0.41				—				—				—				14.40		2.93			1.46			1.24			(0.14	)			26		43
Small-Cap Core Fund
2017			11.57			(0.02	)			1.88				1.86				(0.01	)			(0.20	)			(0.21	)			13.22		16.09			1.83			1.15			(0.18	)			2,612		90
2016			10.41			0.02				1.22				1.24				—				(0.08	)			(0.08	)			11.57		11.97			2.54			1.15			0.19				647		70
2015			10.38			(0.01	)			0.04				0.03				—				—				—				10.41		0.29			5.02			1.15			(0.28	)			629		64
2014(6)			10.08			(0.01	)			0.31				0.30				—				—				—				10.38		2.98			4.82			1.15			(0.30	)			26		43
Small-Cap Growth Fund
2017(9)			17.79			(0.06	)			0.64				0.58				—				—				—				18.37		3.26			1.24			1.24			(0.97	)			57,737		197
Global Low Volatility Equity Fund
2017(3)			12.61			0.14				0.66				0.80				(0.17	)			(0.08	)			(0.25	)			13.16		6.59			1.52			1.10			1.96				997		74
2016(3)			11.31			0.11				1.25				1.36				(0.06	)			(0.00	)			(0.06	)			12.61		12.11			1.63			1.10			2.04				266		36
2015(3)			11.47			0.14				(0.17	)			(0.03	)			(0.08	)			(0.05	)			(0.13	)			11.31		(0.28	)		5.76			1.10			2.38				142		31
2014(3)(6)			11.12			0.05				0.30				0.35				—				—				—				11.47		3.15			11.55			1.10			1.53				26		29
Disciplined International Equity Fund
2017(3)			9.56			0.20				1.66				1.86				(0.25	)			—				(0.25	)			11.17		19.97			1.39			1.15			1.98				149		77
2016(3)(8)			10.00			0.23				(0.67	)			(0.44	)			—				—				—				9.56		(4.40	)		1.45			1.15			2.53				125		64

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

138

Financial Highlights—Advisor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Pyrford International Stock Fund
2017(3)(11)		$	12.18		$	0.40			$	0.83			$	1.23			$	(0.25	)		$	—			$	(0.25	)		$	13.16		10.38	%		1.30	%		1.21	%		3.11	%		$	891		33	%
2016(3)			11.74			0.33				0.35				0.68				(0.24	)			—				(0.24	)			12.18		5.96			1.31			1.24			0.92				88		12
2015(3)			13.11			0.05				(1.34	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)		1.28			1.24			2.79				817		9
2014(3)(6)			13.13			0.07				(0.09	)			(0.02	)			—				—				—				13.11		(0.15	)		1.28			1.24			1.95				25		6
LGM Emerging Markets Equity Fund
2017(3)(11)			14.04			0.13				1.82				1.95				(0.06	)			—				(0.06	)			15.93		14.03			1.63			1.40			0.96				4,776		40
2016(3)			12.12			0.16				1.86				2.02				(0.10	)			—				(0.10	)			14.04		16.88			1.64			1.40			0.92				51,879		24
2015(3)			14.30			0.08				(2.09	)			(2.01	)			(0.17	)			—				(0.17	)			12.12		(14.18	)		1.59			1.40			2.01				63,966		25
2014(3)(6)			13.69			0.08				0.53				0.61				—				—				—				14.30		4.46			1.66			1.40			2.05				26		38
TCH Emerging Markets Bond Fund
2017(3)(11)			10.16			0.40				0.10				0.50				—				—				—				10.66		4.92			2.14			1.00			3.95				119		74
2016(3)			9.89			0.45				0.38				0.83				(0.47	)			(0.09	)			(0.56	)			10.16		9.20			2.84			1.00			4.76				4,168		44
2015(3)			11.14			0.34				(0.79	)			(0.45	)			(0.48	)			(0.32	)			(0.80	)			9.89		(4.11	)		3.21			1.00			4.94				3,882		60
2014(3)(6)			10.80			0.12				0.22				0.34				—				—				—				11.14		3.15			2.42			1.00			4.26				26		72
Alternative Strategies Fund
2017(3)			10.30			(0.18	)			0.62				0.44				—				—				—				10.74		4.27			3.65	(10)		2.95	(10)		(0.93	)			157		251
2016(3)			10.40			(0.23	)			0.23				0.00				—				(0.10	)			(0.10	)			10.30		(0.02	)		3.88	(10)		3.07	(10)		1.11				286		279
2015(3)(7)			10.00			(0.06	)			0.46				0.40				—				—				—				10.40		4.00			4.94	(10)		2.72	(10)		(1.07	)			1,011		119
Global Long/Short Equity Fund
2017(3)			10.68			0.01				1.66				1.67				(0.04	)			(0.09	)			(0.13	)			12.22		15.77			5.05	(10)		2.42	(10)		0.03				730		42
2016(3)(8)			10.00			0.03				0.65				0.68				—				—				—				10.68		6.80			9.46	(10)		2.36	(10)		0.46				510		45
Ultra Short Tax-Free Fund
2017			10.08			0.07				0.01				0.08				(0.07	)			(0.01	)			(0.08	)			10.08		0.80			0.64			0.55			0.74				34,696		126
2016			10.08			0.04				0.01				0.05				(0.04	)			(0.01	)			(0.05	)			10.08		0.50			0.64			0.55			0.39				25		56
2015			10.09			0.04				(0.01	)			0.03				(0.04	)			—				(0.04	)			10.08		0.25			0.60			0.55			0.34				25		57
2014(6)			10.09			0.01				0.00				0.01				(0.01	)			—				(0.01	)			10.09		0.13			0.59			0.55			0.50				25		86
Short Tax-Free Fund
2017			10.24			0.13				(0.02	)			0.11				(0.13	)			(0.00	)			(0.13	)			10.22		1.08			0.76			0.55			1.27				7,166		93
2016			10.20			0.11				0.06				0.17				(0.11	)			(0.02	)			(0.13	)			10.24		1.69			0.77			0.55			1.04				1,151		39
2015			10.20			0.12				(0.00	)			0.12				(0.12	)			—				(0.12	)			10.20		1.21			0.83			0.55			1.15				453		50
2014(6)			10.17			0.03				0.03				0.06				(0.03	)			—				(0.03	)			10.20		0.64			0.83			0.55			1.29				25		69
Short-Term Income Fund
2017			9.40			0.15				(0.01	)			0.14				(0.15	)			—				(0.15	)			9.39		1.46			0.72			0.60			1.61				33,311		53
2016			9.33			0.10				0.07				0.17				(0.10	)			—				(0.10	)			9.40		1.87			0.70			0.60			0.98				157		64
2015			9.40			0.09				(0.05	)			0.04				(0.11	)			—				(0.11	)			9.33		0.43			0.69			0.60			1.02				25		29
2014(6)			9.42			0.02				(0.01	)			0.01				(0.03	)			—				(0.03	)			9.40		0.10			0.71			0.60			1.10				25		43
Intermediate Tax-Free Fund
2017			11.61			0.29				(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.79			0.57			0.55			2.57				10,842		44
2016			11.26			0.25				0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.18				1,693		42
2015			11.25			0.26				0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.24				2,095		26
2014(6)			11.16			0.07				0.09				0.16				(0.07	)			—				(0.07	)			11.25		1.46			0.60			0.55			2.41				2,044		35
Strategic Income Fund
2017			9.43			0.28				0.03				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			3.14				18,354		65
2016			9.31			0.22				0.16				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.27				32		13
2015			9.36			0.22				0.00				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				26		44
2014(6)			9.35			0.03				0.05				0.08				(0.07	)			—				(0.07	)			9.36		0.86			0.94			0.80			2.38				25		129

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

139

Financial Highlights—Advisor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
TCH Corporate Income Fund
2017		$	13.17		$	0.35		$	0.14			$	0.49			$	(0.35	)		$	(0.11	)		$	(0.46	)		$	13.20		3.86	%		0.71	%		0.59	%		2.63	%		$	1,384		44	%
2016			12.33			0.45			0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.77				66		62
2015			13.09			0.36			(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				25		26
2014(6)			12.93			0.09			0.17				0.26				(0.10	)			—				(0.10	)			13.09		2.02			0.72			0.59			2.92				25		25
TCH Core Plus Bond Fund
2017			11.89			0.28			(0.06	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.36				3,337		34
2016			11.42			0.34			0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			2.99				1,434		39
2015			11.95			0.32			(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.71				312		25
2014(6)			11.82			0.08			0.14				0.22				(0.09	)			—				(0.09	)			11.95		1.85			0.60			0.59			2.74				25		44
High Yield Bond Fund
2017			9.49			0.44			0.15				0.59				(0.50	)			—				(0.50	)			9.58		6.37			1.42			0.90			5.26				1,010		47
2016			9.41			0.48			0.08				0.56				(0.48	)			—				(0.48	)			9.49		6.22			1.21			0.90			5.15				72,010		51
2015			10.44			0.51			(0.79	)			(0.28	)			(0.51	)			(0.24	)			(0.75	)			9.41		(2.70	)		1.21			0.90			5.13				42,843		46
2014(6)			10.52			0.14			(0.08	)			0.06				(0.14	)			—				(0.14	)			10.44		0.58			1.17			0.90			5.09				25		42

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01.

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

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

(7) Reflects operations for the period from December 16, 2014 (inception date) to August 31, 2015.

(8) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

(9) Reflects operations for the period from May 31, 2017 (inception date) to August 31, 2017

(10) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios, respectively, excluding interest expense and dividends on securities sold short are as follows:

Alternatives Strategies Fund							Global Long/Short Equity Fund
	Gross			Net				Gross			Net
2017		2.85	%		2.15	%	2017		4.23	%		1.60	%
2016		3.05			2.20		2016		8.70			1.60
2015		4.42			2.20

(11) Calculated using the average shares method.

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

140

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Low Volatility Equity Fund
2017		$	13.84		$	0.24			$	0.74			$	0.98			$	(0.23	)		$	(0.17	)		$	(0.40	)		$	14.42		7.24	%		0.78	%		0.65	%		1.69	%		$	127,837		56	%
2016			12.84			0.20				1.35				1.55				(0.19	)			(0.36	)			(0.55	)			13.84		12.47			0.80			0.65			1.62				135,413		40
2015			13.22			0.20				0.53				0.73				(0.21	)			(0.90	)			(1.11	)			12.84		5.56			0.87			0.65			1.52				76,792		47
2014			11.28			0.18				2.05				2.23				(0.18	)			(0.11	)			(0.29	)			13.22		19.97			0.89			0.65			1.49				57,421		47
2013(3)(6)			10.00			0.10				1.25				1.35				(0.07	)			—				(0.07	)			11.28		13.47			1.28			0.65			1.79				41,009		101
Dividend Income Fund
2017(13)			12.96			0.33				1.60				1.93				(0.31	)			(0.11	)			(0.42	)			14.47		15.15			0.83			0.65			2.37				112,377		43
2016			12.62			0.35				1.08				1.43				(0.33	)			(0.76	)			(1.09	)			12.96		12.07			0.83			0.65			2.68				38,719		51
2015			14.32			0.35				(0.77	)			(0.42	)			(0.36	)			(0.92	)			(1.28	)			12.62		(3.38	)		0.80			0.65			2.50				45,554		46
2014			12.27			0.32				2.51				2.83				(0.31	)			(0.47	)			(0.78	)			14.32		23.87			0.80			0.65			2.43				55,387		45
2013(3)			10.80			0.33				1.46				1.79				(0.32	)			—				(0.32	)			12.27		16.78			0.81			0.65			2.79				50,393		25
Large-Cap Value Fund
2017(13)			14.16			0.22				1.83				2.05				(0.21	)			(0.12	)			(0.33	)			15.88		14.66			0.77			0.75			1.47				307,156		62
2016			15.26			0.24				0.53				0.77				(0.26	)			(1.61	)			(1.87	)			14.16		5.57			0.85			0.82			1.83				136,813		60
2015			17.06			0.18				(0.23	)			(0.05	)			(0.13	)			(1.62	)			(1.75	)			15.26		(0.45	)		0.97			0.96			1.04				94,439		72
2014			14.56			0.16				3.56				3.72				(0.16	)			(1.06	)			(1.22	)			17.06		26.74			0.98			0.98			0.95				119,263		68
2013(3)			12.24			0.17				2.37				2.54				(0.22	)			—				(0.22	)			14.56		20.95			1.02			0.99			1.24				101,834		71
Large-Cap Growth Fund
2017			15.47			0.10				3.06				3.16				(0.13	)			(0.90	)			(1.03	)			17.60		21.63			0.78			0.75			0.65				278,436		75
2016			16.39			0.07				1.44				1.51				(0.06	)			(2.37	)			(2.43	)			15.47		9.88			0.88			0.82			0.50				95,438		70
2015			18.06			0.07				0.90				0.97				(0.04	)			(2.60	)			(2.64	)			16.39		5.85			0.98			0.96			0.29				72,958		94
2014			15.18			0.06				4.36				4.42				(0.09	)			(1.45	)			(1.54	)			18.06		30.63			0.99			0.99			0.28				130,948		67
2013(3)			14.24			0.08				1.96				2.04				(0.06	)			(1.04	)			(1.10	)			15.18		15.46			1.00			0.99			0.58				122,689		100
Mid-Cap Value Fund
2017			14.38			0.08				1.27				1.35				(0.07	)			(3.77	)			(3.84	)			11.89		13.10			1.01			0.99			0.91				127,304		139
2016			15.01			0.16				0.85				1.01				(0.17	)			(1.47	)			(1.64	)			14.38		7.55			0.98			0.98			1.09				75,608		24
2015			17.63			0.08				(0.60	)			(0.52	)			(0.04	)			(2.06	)			(2.10	)			15.01		(3.29	)		0.97			0.97			0.43				99,160		27
2014			16.23			0.08				3.64				3.72				(0.12	)			(2.20	)			(2.32	)	��		17.63		24.96			0.95			0.95			0.49				145,606		30
2013(3)			13.23			0.12				3.61				3.73				(0.11	)			(0.62	)			(0.73	)			16.23		29.58			0.97			0.97			0.77				122,818		48
Mid-Cap Growth Fund
2017			16.76			0.03				2.19				2.22				(0.05	)			(3.54	)			(3.59	)			15.39		17.07			1.12			0.99			(0.07	)			94,464		157
2016			20.51			0.04				(0.91	)			(0.87	)			—				(2.88	)			(2.88	)			16.76		(4.06	)		1.04			0.99			0.33				39,569		59
2015			24.37			(0.08	)			(0.55	)			(0.63	)			—				(3.23	)			(3.23	)			20.51		(2.61	)		1.00			0.99			(0.26	)			82,768		53
2014			23.26			(0.09	)			4.26				4.17				—				(3.06	)			(3.06	)			24.37		19.43			0.97			0.97			(0.36	)			144,807		57
2013(3)			20.32			(0.05	)			4.26				4.21				—				(1.27	)			(1.27	)			23.26		21.74			0.97			0.97			(0.24	)			142,302		58
Small-Cap Value Fund
2017(13)			13.37			0.04				1.41				1.45				(0.09	)			(1.26	)			(1.35	)			13.47		11.87			1.24			0.99			0.33				56,585		148
2016			12.84			0.05				1.00				1.05				—				(0.52	)			(0.52	)			13.37		8.47			1.14			0.99			0.40				25,522		39
2015			14.50			(0.01	)			(0.84	)			(0.85	)			—				(0.81	)			(0.81	)			12.84		(5.99	)		1.21			0.99			(0.14	)			19,186		53
2014			13.62			0.01				2.25				2.26				—				(1.38	)			(1.38	)			14.50		17.68			1.15			0.99			0.04				16,369		43
2013(3)			10.51			0.09				3.35				3.44				(0.09	)			(0.24	)			(0.33	)			13.62		33.49			1.26			0.99			0.48				13,404		74
Small-Cap Core Fund
2017			11.64			0.01				1.89				1.90				(0.04	)			(0.20	)			(0.24	)			13.30		16.33			1.58			0.90			0.14				17,049		90
2016			10.45			0.03				1.25				1.28				(0.01	)			(0.08	)			(0.09	)			11.64		12.37			2.29			0.90			0.44				10,780		70
2015			10.40			0.02				0.03				0.05				—				—				—				10.45		0.48			4.77			0.90			0.17				3,632		64
2014(9)			10.00			0.00				0.40				0.40				—				—				—				10.40		4.00			6.75			0.90			(0.03	)			3,030		43

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

141

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Small-Cap Growth Fund
2017		$	16.62		$	(0.14	)		$	2.52			$	2.38			$	—			$	—			$	—			$	19.00		14.32	%		1.02	%		1.02	%		(0.37	)%		$	81,259		197	%
2016			18.60			(0.10	)			(0.64	)			(0.74	)			—				(1.24	)			(1.24	)			16.62		(3.72	)		1.18			1.18			(0.21	)			179,726		63
2015			22.75			(0.07	)			(0.29	)			(0.36	)			—				(3.79	)			(3.79	)			18.60		(1.27	)		1.15			1.15			(0.35	)			339,016		59
2014			22.55			(0.02	)			3.16				3.14				—				(2.94	)			(2.94	)			22.75		14.69			1.15			1.15			(0.09	)			363,988		82
2013(3)			18.33			(0.12	)			5.67				5.55				—				(1.33	)			(1.33	)			22.55		32.26			1.16			1.16			(0.62	)			297,065		76
Global Low Volatility Equity Fund
2017(3)			12.65			0.19				0.64				0.83				(0.20	)			(0.08	)			(0.28	)			13.20		6.76			1.27			0.85			1.98				48,221		74
2016(3)			11.34			0.07				1.33				1.40				(0.09	)			(0.00	)			(0.09	)			12.65		12.44			1.38			0.85			2.26				38,909		36
2015(3)			11.50			0.25				(0.26	)			(0.01	)			(0.10	)			(0.05	)			(0.15	)			11.34		(0.08	)		5.51			0.85			2.16				4,144		31
2014(3)(8)			10.00			0.07				1.43				1.50				—				—				—				11.50		15.00			13.27			0.85			1.76				3,947		29
Discipline International Equity Fund
2017(3)			9.58			0.25				1.64				1.89				(0.28	)			—				(0.28	)			11.19		20.30			1.14			0.90			2.13				72,239		77
2016(3)(11)			10.00			0.23				(0.65	)			(0.42	)			—				—				—				9.58		(4.20	)		1.20			0.90			2.51				67,434		64
Pyrford International Stock Fund
2017(3)(13)			12.22			0.32				0.94				1.26				(0.27	)			—				(0.27	)			13.21		10.68			1.05			0.96			2.59				593,746		33
2016(3)			11.78			0.35				0.36				0.71				(0.27	)			—				(0.27	)			12.22		6.21			1.06			0.99			2.44				485,787		12
2015(3)			13.14			0.22				(1.48	)			(1.26	)			(0.10	)			—				(0.10	)			11.78		(9.63	)		1.03			0.99			2.52				626,232		9
2014(3)			12.10			0.39				1.27				1.66				(0.59	)			(0.03	)			(0.62	)			13.14		14.00			1.02			0.99			3.32				272,486		6
2013(3)			10.78			0.22				1.40				1.62				(0.25	)			(0.05	)			(0.30	)			12.10		15.29			1.09			0.99			2.63				159,985		15
LGM Emerging Markets Equity Fund
2017(3)(13)			14.08			0.15				1.84				1.99				(0.10	)			—				(0.10	)			15.97		14.36			1.38			1.15			1.04				157,581		40
2016(3)			12.16			0.15				1.90				2.05				(0.13	)			—				(0.13	)			14.08		17.12			1.39			1.15			1.07				78,851		24
2015(3)			14.33			0.16				(2.13	)			(1.97	)			(0.20	)			—				(0.20	)			12.16		(13.88	)		1.34			1.15			1.15				85,034		25
2014(3)			12.61			0.23				1.71				1.94				(0.22	)			—				(0.22	)			14.33		15.57			1.30			1.15			1.89				111,807		38
2013(3)			13.69			0.26				(0.34	)			(0.08	)			(0.20	)			(0.80	)			(1.00	)			12.61		(1.00	)		1.40			1.15			2.41				84,760		29
TCH Emerging Markets Bond Fund
2017(3)(13)			10.17			0.40				0.09				0.49				(0.31	)			—				(0.31	)			10.35		5.07			1.89			0.85			3.96				11,765		74
2016(3)			9.90			0.47				0.38				0.85				(0.49	)			(0.09	)			(0.58	)			10.17		9.36			2.59			0.85			4.91				4,176		44
2015(3)			11.16			0.51				(0.96	)			(0.45	)			(0.49	)			(0.32	)			(0.81	)			9.90		(4.04	)		2.96			0.85			4.96				3,812		60
2014(3)(8)			10.00			0.44				0.84				1.28				(0.12	)			—				(0.12	)			11.16		12.89			2.85			0.85			4.52				3,961		72
Alternative Strategies Fund
2017(3)			10.33			(0.09	)			0.57				0.48				—				—				—				10.81		4.65			3.40	(12)		2.70	(12)		(0.67	)			95,583		251
2016(3)			10.42			(0.05	)			0.07				0.02				(0.01	)			(0.10	)			(0.11	)			10.33		0.16			3.63	(12)		2.82	(12)		(0.75	)			109,128		279
2015(3)(10)			10.00			(0.08	)			0.50				0.42				—				—				—				10.42		4.20			4.69	(12)		2.47	(12)		(1.11	)			34,261		119
Global Long/Short Equity Fund
2017(3)			10.70			0.05				1.66				1.71				(0.07	)			(0.09	)			(0.16	)			12.25		16.10			4.80	(12)		2.17	(12)		0.27				8,967		42
2016(3)(11)			10.00			0.04				0.66				0.70				—				—				—				10.70		7.00			9.21	(12)		2.11	(12)		0.50				3,717		45
Ultra Short Tax-Free Fund
2017			10.07			0.10				0.02				0.12				(0.10	)			(0.01	)			(0.11	)			10.08		1.15			0.39			0.30			0.94				625,691		126
2016			10.08			0.07				0.00				0.07				(0.07	)			(0.01	)			(0.08	)			10.07		0.65			0.39			0.30			0.65				548,641		56
2015			10.09			0.06				(0.01	)			0.05				(0.06	)			—				(0.06	)			10.08		0.50			0.35			0.30			0.59				702,324		57
2014			10.04			0.09				0.05				0.14				(0.09	)			(0.00	)			(0.09	)			10.09		1.35			0.34			0.30			0.82				663,538		86
2013			10.09			0.10				(0.05	)			0.05				(0.10	)			(0.00	)			(0.10	)			10.04		0.51			0.32			0.30			0.97				739,246		71
Short Tax-Free Fund
2017			10.25			0.14				(0.03	)			0.11				(0.14	)			(0.00	)			(0.14	)			10.22		1.14			0.51			0.40			1.39				175,454		93
2016			10.20			0.13				0.07				0.20				(0.13	)			(0.02	)			(0.15	)			10.25		1.94			0.52			0.40			1.18				168,592		39
2015			10.21			0.14				(0.01	)			0.13				(0.14	)			—				(0.14	)			10.20		1.26			0.58			0.40			1.32				105,734		50
2014			9.95			0.15				0.26				0.41				(0.15	)			—				(0.15	)			10.21		4.12			0.62			0.40			1.45				78,050		69
2013(3)(7)			10.00			0.10				(0.05	)			(0.05	)			0.10				—				(0.10	)			9.95		0.45			0.81			0.40			1.33				34,138		74

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

142

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Short-Term Income Fund
2017		$	9.42		$	0.17		$	(0.02	)		$	0.15			$	(0.17	)		$	—			$	(0.17	)		$	9.40		1.60	%		0.47	%		0.35	%		1.76	%		$	209,278		53	%
2016			9.35			0.11			0.09				0.20				(0.13	)			—				(0.13	)			9.42		2.12			0.45			0.35			1.16				234,507		64
2015			9.42			0.12			(0.06	)			0.06				(0.13	)			—				(0.13	)			9.35		0.69			0.44			0.35			1.24				263,894		29
2014			9.39			0.13			0.04				0.17				(0.14	)			—				(0.14	)			9.42		1.80			0.43			0.35			1.35				142,526		43
2013(3)			9.48			0.16			(0.07	)			0.09				(0.18	)			—				(0.18	)			9.39		0.91			0.43			0.35			1.70				117,378		51
Intermediate Tax-Free Fund
2017			11.60			0.31			(0.20	)			0.11				(0.31	)			(0.03	)			(0.34	)			11.37		1.11			0.32			0.32			2.79				631,658		44
2016			11.26			0.28			0.36				0.64				(0.28	)			(0.02	)			(0.30	)			11.60		5.71			0.32			0.32			2.43				601,873		42
2015			11.25			0.28			0.01				0.29				(0.28	)			—				(0.28	)			11.26		2.60			0.32			0.32			2.46				559,937		26
2014			10.66			0.31			0.59				0.90				(0.31	)			(0.00	)			(0.31	)			11.25		8.50			0.36			0.36			2.77				396,291		35
2013(3)			11.29			0.30			(0.56	)			(0.26	)			(0.30	)			(0.07	)			(0.37	)			10.66		(2.40	)		0.36			0.36			2.70				352,883		39
Strategic Income Fund
2017			9.42			0.27			0.06				0.33				(0.31	)			—				(0.31	)			9.44		3.58			0.65			0.55			2.68				21,550		65
2016			9.31			0.23			0.17				0.40				(0.29	)			—				(0.29	)			9.42		4.32			0.61			0.55			2.53				21,663		13
2015			9.35			0.24			0.01				0.25				(0.29	)			—				(0.29	)			9.31		2.70			0.68			0.55			2.61				22,981		44
2014			9.16			0.23			0.23				0.46				(0.27	)			—				(0.27	)			9.35		5.13			0.67			0.55			2.45				28,473		129
2013(3)			9.76			0.15			(0.39	)			(0.24	)			(0.25	)			(0.11	)			(0.36	)			9.16		(2.57	)		0.63			0.55			1.57				35,880		307
TCH Corporate Income Fund
2017			13.15			0.37			0.15				0.52				(0.37	)			(0.11	)			(0.48	)			13.19		4.07			0.46			0.46			2.84				134,293		44
2016			12.32			0.46			0.88				1.34				(0.46	)			(0.05	)			(0.51	)			13.15		11.28			0.47			0.47			3.77				129,429		62
2015			13.07			0.38			(0.70	)			(0.32	)			(0.38	)			(0.05	)			(0.43	)			12.32		(2.53	)		0.45			0.45			2.97				162,107		26
2014			12.37			0.45			0.91				1.36				(0.45	)			(0.21	)			(0.66	)			13.07		11.32			0.49			0.49			3.50				121,773		25
2013(3)			13.03			0.44			(0.35	)			0.09				(0.45	)			(0.30	)			(0.75	)			12.37		0.54			0.50			0.50			3.36				93,490		123
TCH Core Plus Bond Fund
2017			11.89			0.31			(0.07	)			0.24				(0.31	)			(0.04	)			(0.35	)			11.78		2.08			0.34			0.34			2.62				975,051		34
2016			11.42			0.37			0.48				0.85				(0.38	)			(0.00	)			(0.38	)			11.89		7.63			0.34			0.34			3.25				459,228		39
2015			11.94			0.34			(0.45	)			(0.11	)			(0.35	)			(0.06	)			(0.41	)			11.42		(0.96	)		0.33			0.33			2.94				472,576		25
2014			11.32			0.33			0.65				0.98				(0.34	)			(0.02	)			(0.36	)			11.94		8.82			0.37			0.37			2.89				422,941		44
2013(3)			11.90			0.32			(0.29	)			0.03				(0.33	)			(0.28	)			(0.61	)			11.32		0.09			0.43			0.43			2.44				321,051		101
High Yield Bond Fund
2017			9.49			0.52			0.08				0.60				(0.52	)			—				(0.52	)			9.57		6.53			1.17			0.65			5.50				12,303		47
2016			9.41			0.50			0.08				0.58				(0.50	)			—				(0.50	)			9.49		6.47			0.96			0.65			5.43				34,345		51
2015			10.44			0.54			(0.79	)			(0.25	)			(0.54	)			(0.24	)			(0.78	)			9.41		(2.46	)		0.96			0.65			5.46				30,173		46
2014			10.32			0.58			0.26				0.84				(0.58	)			(0.14	)			(0.72	)			10.44		8.32			0.85			0.65			5.53				37,307		42
2013(3)			10.32			0.59			0.00				0.59				(0.59	)			(0.00	)			(0.59	)			10.32		5.80			0.83			0.65			5.61				49,722		34

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01. Effective February 8, 2012, the Ultra Short Tax-Free Fund discontinued it’s redemption fee policy and effective June 14, 2013, the remaining domestic Funds discontinued their redemption fee policy.

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

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from September 28, 2012 (inception date) to August 31, 2013.

(7) Reflects operations for the period from November 29, 2012 (inception date) to August 31, 2013.

(8) Reflects operations for the period from September 30, 2013 (inception date) to August 31, 2014.

(9) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(10) Reflects operations for the period from December 16, 2014 (inception date) to August 31, 2015.

(11) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

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

143

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

(12) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios, respectively, excluding interest expense and dividends on securities sold short are as follows:

Alternatives Strategies Fund							Global Long/Short Equity Fund
	Gross			Net				Gross			Net
2017		2.60	%		1.90	%	2017		3.98	%		1.35	%
2016		2.76			1.95		2016		8.45			1.35
2015		4.17			1.95

(13) Calculated using the average shares method.

Financial Highlights—Premier Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																															Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Government Money Market Fund
2017		$	1.00		$	0.00		$	0.00		$	0.00		$	0.00			$	0.00			$	0.00			$	1.00		0.45	%		0.25	%		0.20	%		0.45	%		$	2,269,361		—	%
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.11			0.28			0.18			0.12				1,967,459		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.28			0.08			0.01				467,294		—
2014			1.00			0.00			—			0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.29			0.07			0.01				427,913		—
2013			1.00			0.00			—			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.30			0.13			0.01				431,677		—
Tax-Free Money Market Fund
2017			1.00			0.01			0.00			0.01			(0.01	)			(0.00	)			(0.01	)			1.00		0.62			0.32			0.20			0.57				238,772		—
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.17			0.28			0.16			0.13				313,954		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.28			0.16			0.01				515,005		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.28			0.19			0.02				453,901		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.13			0.28			0.20			0.11				696,785		—
Prime Money Market Fund
2017			1.00			0.01			0.00			0.01			(0.01	)			(0.00	)			(0.01	)			1.00		0.67			0.28			0.20			0.61				166,338		—
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.22			0.20			0.20			0.21				668,609		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.20			0.18			0.01				2,576,245		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.20			0.18			0.01				1,968,436		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.08			0.21			0.20			0.08				2,590,312		—
Institutional Prime Money Market Fund
2017(6)			1.00			0.0074			0.0001			0.0075			(0.0074	)			(0.0000	)			(0.0074	)			1.0001		0.75			0.30			0.20			0.74				400,203		—
2016(5)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.00			0.29			0.20			0.37				415,218		—

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

(4) Annualized for periods less than one year.

(5) Reflects operations for the period from June 3, 2016 (inception date) to August 31, 2016.

(6) Effective October 3, 2016, the BMO Institutional Money Market Fund switched the valuation method of its securities from amortized cost to reflecting changes in market values, thus allowing the Fund’s NAV to “float”. In connection with this change, the Fund’s per share NAV is now calculated to four decimals (e.g., $1.0000).

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

144

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Mid-Cap Value Fund
2017		$	14.34		$	0.04			$	1.25			$	1.29			$	(0.02	)		$	(3.77	)		$	(3.79	)		$	11.84		12.60	%		1.51	%		1.49	%		0.40	%		$	24		139	%
2016			14.96			0.07				0.86				0.93				(0.08	)			(1.47	)			(1.55	)			14.34		6.95			1.48			1.48			0.56				28		24
2015			17.62			(0.01	)			(0.59	)			(0.60	)			—				(2.06	)			(2.06	)			14.96		(3.80	)		1.47			1.47			(0.06	)			25		27
2014(6)			16.58			0.00				1.04				1.04				—				—				—				17.62		6.27			1.45			1.45			0.07				26		30
Mid-Cap Growth Fund
2017			16.55			(0.08	)			2.19				2.11				—				(3.54	)			(3.54	)			15.12		16.47			1.62			1.49			(0.55	)			22		157
2016			20.37			(0.01	)			(0.93	)			(0.94	)			—				(2.88	)			(2.88	)			16.55		(4.48	)		1.54			1.49			(0.16	)			24		59
2015			24.34			(0.16	)			(0.58	)			(0.74	)			—				(3.23	)			(3.23	)			20.37		(3.11	)		1.50			1.49			(0.77	)			25		53
2014(6)			23.30			(0.06	)			1.10				1.04				—				—				—				24.34		4.46			1.49			1.49			(0.89	)			26		57
Small-Cap Value Fund
2017(7)			13.21			(0.02	)			1.38				1.36				(0.04	)			(1.26	)			(1.30	)			13.27		11.32			1.74			1.49			(0.15	)			117		148
2016			12.76			0.00				0.97				0.97				—				(0.52	)			(0.52	)			13.21		7.88			1.64			1.49			(0.07	)			84		39
2015			14.48			(0.08	)			(0.83	)			(0.91	)			—				(0.81	)			(0.81	)			12.76		(6.43	)		1.71			1.49			(0.62	)			24		53
2014(6)			14.07			(0.01	)			0.42				0.41				—				—				—				14.48		2.91			1.71			1.49			(0.39	)			26		43
Pyrford International Stock Fund
2017(3)(7)			12.18			0.27				0.94				1.21				(0.22	)			—				(0.22	)			13.17		10.17			1.55			1.46			2.18				26		33
2016(3)			11.74			0.23				0.42				0.65				(0.21	)			—				(0.21	)			12.18		5.63			1.56			1.49			1.98				24		12
2015(3)			13.12			0.22				(1.54	)			(1.32	)			(0.06	)			—				(0.06	)			11.74		(10.06	)		1.53			1.49			1.71				22		9
2014(3)(6)			13.15			0.06				(0.09	)			(0.03	)			—				—				—				13.12		(0.23	)		1.53			1.49			1.70				25		6

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01.

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

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

(7) Calculated using the average shares method.

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

145

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Large-Cap Value Fund
2017(9)		$	14.17		$	0.26			$	1.81			$	2.07			$	(0.24	)		$	(0.12	)		$	(0.36	)		$	15.88		14.75	%		0.62	%		0.60	%		1.64	%		$	1,479		62	%
2016(7)			13.81			0.21				0.30				0.51				(0.15	)			—				(0.15	)			14.17		3.77			0.63			0.60			2.27				52		60
Large-Cap Growth Fund
2017			15.49			0.09				3.10				3.19				(0.16	)			(0.90	)			(1.06	)			17.62		21.83			0.63			0.60			0.75				2,852		75
2016(7)			14.75			0.07				0.67				0.74				—				—				—				15.49		5.02			0.66			0.60			0.72				53		70
Mid-Cap Value Fund
2017			14.38			0.11				1.26				1.37				(0.08	)			(3.77	)			(3.85	)			11.90		13.31			0.86			0.84			1.05				14,714		139
2016			15.03			0.18				0.84				1.02				(0.20	)			(1.47	)			(1.67	)			14.38		7.65			0.83			0.83			1.28				11,332		24
2015			17.65			0.11				(0.62	)			(0.51	)			(0.05	)			(2.06	)			(2.11	)			15.03		(3.19	)		0.82			0.82			0.64				8,776		27
2014(6)			16.58			0.03				1.04				1.07				—				—				—				17.65		6.45			0.80			0.80			0.71				27		30
Mid-Cap Growth Fund
2017			16.83			0.07				2.18				2.25				(0.08	)			(3.54	)			(3.62	)			15.46		17.22			0.97			0.84			(0.13	)			592		157
2016			20.55			0.09				(0.93	)			(0.84	)			—				(2.88	)			(2.88	)			16.83		(3.89	)		0.89			0.84			0.49				25		59
2015			24.38			(0.03	)			(0.57	)			(0.60	)			—				(3.23	)			(3.23	)			20.55		(2.47	)		0.85			0.84			(0.12	)			26		53
2014(6)			23.30			(0.02	)			1.10				1.08				—				—				—				24.38		4.64			0.84			0.84			(0.24	)			26		57
Small-Cap Value Fund
2017(9)			13.42			0.05				1.42				1.47				(0.10	)			(1.26	)			(1.36	)			13.53		12.05			1.09			0.84			0.37				2,653		148
2016			12.87			0.07				1.00				1.07				—				(0.52	)			(0.52	)			13.42		8.61			0.99			0.84			0.60				926		39
2015			14.50			(0.00	)			(0.82	)			(0.82	)			—				(0.81	)			(0.81	)			12.87		(5.78	)		1.06			0.84			0.01				134		53
2014(6)			14.07			0.01				0.42				0.43				—				—				—				14.50		3.06			1.06			0.84			0.25				26		43
Pyrford International Stock Fund
2017(3)(9)			12.23			0.40				0.88				1.28				(0.29	)			—				(0.29	)			13.22		10.85			0.90			0.81			3.21				48,889		33
2016(3)			11.79			0.20				0.53				0.73				(0.29	)			—				(0.29	)			12.23		6.35			0.91			0.84			2.85				16,100		12
2015(3)			13.15			0.20				(1.45	)			(1.25	)			(0.11	)			—				(0.11	)			11.79		(9.56	)		0.88			0.84			3.42				6,560		9
2014(3)(6)			13.15			0.08				(0.08	)			0.00				—				—				—				13.15		0.00			0.88			0.84			2.36				25		6
Financial Highlights—Class F-3 of Shares (For a share outstanding throughout each period)
Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Pyrford International Stock Fund
2017(3)(8)(9)		$	13.21		$	0.12			$	(0.11	)		$	0.01			$	—			$	—			$	—			$	13.22		0.08	%		0.88	%		0.79	%		3.52	%		$	26		33	%

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01.

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

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

(7) Reflects operations for the period from December 28, 2015 (inception date) to August 31, 2016.

(8) Reflects operations for the period from May 31, 2017 (inception date) to August 31, 2017.

(9) Calculated using the average shares method.

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

146

August 31, 2017

Notes to Financial Statements

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of August 31, 2017, the Corporation consisted of 43 portfolios, including 28 diversified portfolios within this annual report (individually referred to as the “Fund,” or collectively as the “Funds”) each with differing share class offerings, as well as 10 target retirement and 5 target risk portfolios whose annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Low Volatility Equity Fund	September 28, 2012	To provide capital appreciation.
Dividend Income Fund	December 29, 2011	To provide capital appreciation and current income.
Large-Cap Value Fund	September 30, 1993	To provide capital appreciation.
Large-Cap Growth Fund	November 20, 1992	To provide capital appreciation.
Mid-Cap Value Fund	September 30, 1993	To provide capital appreciation.
Mid-Cap Growth Fund	September 30, 1993	To provide capital appreciation.
Small-Cap Value Fund	February 28, 2011	To provide capital appreciation.
Small-Cap Core Fund	December 27, 2013	To provide capital appreciation.
Small-Cap Growth Fund	October 31, 1995	To provide capital appreciation.
Global Low Volatility Equity Fund(1)	September 30, 2013	To provide capital appreciation.
Disciplined International Equity Fund(1)	September 17, 2015	To provide capital appreciation.
Pyrford International Stock Fund(1)	December 29, 2011	To provide capital appreciation.
LGM Emerging Markets Equity Fund(1)	December 22, 2008	To provide capital appreciation.
TCH Emerging Markets Bond Fund(1)	September 30, 2013	To maximize total return consistent with current income.
Alternative Strategies Fund(1)	December 16, 2014	To provide capital appreciation with an emphasis on absolute returns.
Global Long/Short Equity Fund(1)	September 17, 2015	To provide capital appreciation.
Ultra Short Tax-Free Fund	September 30, 2009	To provide current income exempt from federal income tax consistent with preservation of capital.
Short Tax-Free Fund	November 29, 2012	To provide current income exempt from federal income tax consistent with preservation of capital.
Short-Term Income Fund	November 1, 1992	To maximize total return consistent with current income.
Intermediate Tax-Free Fund	February 1, 1994	To provide a high level of current income exempt from federal income tax consistent with preservation of capital.
Strategic Income Fund(2)	December 13, 1992	To maximize total return consistent with current income.
TCH Corporate Income Fund	December 22, 2008	To maximize total return consistent with current income.
TCH Core Plus Bond Fund	December 22, 2008	To maximize total return consistent with current income.
High Yield Bond Fund(2)	December 29, 2011	To maximize total return consistent with current income.
Government Money Market Fund	May 17, 2004	To provide current income consistent with stability of principal.
Tax-Free Money Market Fund	September 22, 2004	To provide current income that is exempt from federal income tax and is consistent with stability of principal.
Prime Money Market Fund	November 23, 1992	To provide current income consistent with stability of principal.
Institutional Prime Money Market Fund	June 3, 2016	To provide current income consistent with preservation of capital.

(1) Collectively referred to as the “International Funds”.

(2) Effective March 7, 2017, the BMO Monegy High Yield Bond Fund changed its name to the BMO High Yield Bond Fund. Effective May 8, 2017, the BMO Mortgage Income Fund changed its name to the BMO Strategic Income Fund. Effective as of the close of business June 29, 2017, the BMO TCH Intermediate Income Fund merged into the BMO Strategic Income Fund.

2. Significant Accounting Policies

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

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

147

Notes to Financial Statements (continued)

Investment Valuations—Listed equity securities are valued each trading day at the last sale price or official closing price reported on a national securities exchange. Securities listed on a foreign exchange are valued each trading day at the last closing price on the principal exchange on which they are traded immediately prior to the time for determination of Net Asset Value (“NAV”) or at fair value as discussed below. Equity securities without a reported trade, U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities with maturities of 60 days or more, unlisted securities, and private placement securities are generally valued at the mean of the latest bid and asked price as furnished by an independent pricing service. Fixed income securities that are not exchange traded are valued by an independent pricing service, taking into consideration yield, liquidity, risk, credit quality, coupon, maturity, type of issue, and any other factors or market data the pricing service deems relevant. Fixed income securities with remaining maturities of 60 days or less at the time of purchase, and of sufficient credit quality, are valued at amortized cost, which approximates fair value. Investments in other open-end registered investment companies are valued at net asset value. The money market funds use the amortized cost method to value portfolio securities in accordance with Rule 2a-7 under the Act.

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

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

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

Repurchase Agreements—The Funds’ policy requires the custodian bank to take possession, to have legally segregated in the Federal Reserve Book Entry System, or to have segregated within the custodian bank’s vault, all securities held as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Funds to monitor, on a daily basis, the market value of each repurchase agreement’s collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the repurchase agreement, including accrued interest.

The Funds will enter into repurchase agreements only with banks and other recognized financial institutions, such as broker-dealers, which are deemed by the Adviser (or sub-advisers, as applicable) to be creditworthy pursuant to the guidelines and/or standards reviewed or established by the Directors. Risks may arise from the potential inability of counterparties to honor the terms of the repurchase agreement. Accordingly, the Funds could receive less than the repurchase price on the sale of collateral securities.

Investment Income, Expenses, and Distributions—Interest income and expenses are accrued daily. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair market value. Paid-in-kind interest included in interest income, if any, is accrued daily.

The Funds offer multiple classes of shares which differ in their respective distribution, administration, and service fees. All shareholders bear the common expenses of the Funds. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in class-specific expenses. Income, non-class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based on the value of total shares outstanding of each class without distinction between share classes.

Expenses attributable to a particular class of shares, such as shareholder servicing fees, are allocated directly to that class.

Premium and Discount Amortization/Paydown Gains and Losses—Premiums and discounts on fixed income securities are amortized/accreted for tax and financial statement purposes. Gains and losses realized on principal payments of mortgage-backed and asset-backed securities (paydown gains and losses) are classified as part of interest income.

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

148

BMO Funds

When-Issued and Delayed Delivery Transactions—The Funds may engage in when-issued or delayed delivery transactions. The Funds record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the commitment to purchase securities. Securities purchased on a when-issued or delayed delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

Short Sales—Certain Funds may sell a security they do not own in anticipation that the price of the security will decline. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund closes the short sale by purchasing the security at the market price at the time of closure. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the transaction is closed, the Fund is required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Fund also may be required to pay a premium or an interest fee, which are recorded as interest expense. The proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which the Fund sells the security short, or a loss, potentially unlimited in size, will be recognized upon the closing of a short sale. The Fund may not always be able to borrow a security or to close out a short position at a particular time or at an acceptable price. If the price of the borrowed security increases between the date of the short sale and the date on which the Fund closes the short sale, the Fund will experience a loss. The Fund’s loss on a short sale is the maximum attainable price of the security (which could be limitless) less the price the Fund paid for the security at the time it was borrowed.

Futures Contracts—Certain Funds may purchase futures contracts to manage cash flows, enhance yield, or to potentially reduce transaction costs. Upon entering into a futures contract with a broker, the Fund is required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. Daily, the Fund receives from, or pays to, the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities.

Options Contracts—Certain Funds may write covered call and put options on futures, swaps, securities, or currencies a Fund owns, or in which it may invest to create investment exposure consistent with their investment objectives. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received, or made, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security, or currency transaction to determine the realized gain or loss. A Fund, as a writer of an option, has no control over whether the underlying future, swap, security, or currency may be sold (called) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the future, swap, security, or currency underlying the written option. The risk exists that a Fund may not be able to enter into a closing transaction because of an illiquid market.

Certain Funds also may purchase put and call options. Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included in a Fund’s Statement of Assets and Liabilities as an investment and subsequently marked- to-market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying future, swap, security, or currency transaction to determine the realized gain or loss.

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

Foreign Currency Translation—The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities, income, and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

149

Notes to Financial Statements (continued)

Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at each reporting period, resulting from changes in the exchange rate.

Restricted Securities—Restricted securities are securities that may be resold only upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale at the issuer’s expense either upon demand by the Funds or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Directors.

Redemption Fees—The International Funds impose a 2% redemption fee to shareholders who redeem shares held for 30 days or less. All redemption fees are recorded by the International Funds as paid-in-capital.

Securities Lending—Certain Funds participate in one of two securities lending programs, providing for the lending of corporate bonds, equity, and government securities to qualified brokers, in exchange for the opportunity to earn additional income for participating. State Street Bank & Trust Company and BMO Harris Bank N.A. serve as the securities lending agents for the International Funds and non-International Funds participating in the programs, respectively. The Funds receive cash as collateral in return for the securities and record a corresponding payable for collateral due to the respective broker. The amount of cash collateral received is maintained at a minimum level of 100% of the prior day’s market value on securities and accrued interest loaned. Collateral is reinvested in short-term securities including overnight repurchase agreements, commercial paper, master notes, floating rate corporate notes (with at least quarterly reset rates), and money market funds. The valuation of these collateral securities is discussed in “Investment Valuations” above. When a Fund lends its portfolio securities, it is subject to the risk that it may not be able to get the portfolio securities back from the borrower on a timely basis, in which case the Fund may lose certain investment opportunities. A Fund also is subject to the risks associated with the investments of cash collateral received from the borrower.

Cash collateral received as part of the International Funds securities lending program was invested in the following security as of August 31, 2017:

Description	Value
State Street Navigator Securities Lending Government Money Market Portfolio, 0.994%	$	25,586,154

Cash collateral received as part of the non-International Funds securities lending program was jointly pooled and invested in the following securities as of August 31, 2017 (1):

Description	Value
Atlantic Asset Securitization LLC, 1.100%, 9/1/2017(3)	$	10,000,000
Atlantic Asset Securitization LLC, 1.300%, 11/1/2017(3)		4,988,901
Atlantic Asset Securitization LLC, 1.400%, 9/21/2017(3)		5,995,200
Atlantic Asset Securitization LLC, 1.600% (LIBOR 1 Month+32 basis points), 1/2/2018(2)		12,500,000
Atlantic Asset Securitization LLC, 1.600% (LIBOR 1 Month+34 basis points), 12/15/2017(2)		7,500,000
Bank of Nova Scotia/Houston, 1.400% (LIBOR 1 Month+18 basis points), 5/18/2018(2)		4,999,905
Bank of Nova Scotia/Houston, 1.700% (LIBOR 1 Month+48 basis points), 2/2/2018(2)		4,005,983
Bedford Row Funding Corp., 1.400% (LIBOR 1 Month+14 basis points), 3/1/2018(2)		7,850,000
Bedford Row Funding Corp., 1.400% (LIBOR 1 Month+22 basis points), 6/11/2018(2)		7,500,000
Bedford Row Funding Corp., 1.500% (LIBOR 1 Month+22 basis points), 2/21/2018(2)		5,000,000
Bedford Row Funding Corp., 1.500% (LIBOR 1 Month+22 basis points), 8/17/2018(2)		6,500,000
Bedford Row Funding Corp., 1.500% (LIBOR 1 Month+27 basis points), 12/18/2017(2)		5,000,000
BlackRock Liquidity Funds FedFund Portfolio, 1.000%		7,279,367
BMO Government Money Market Fund, 0.870%(4)		55,000,000

Description	Value
BMO Institutional Prime Money Market Fund, 1.080%(4)	$	310,031,000
Collateralized Commercial Paper Co. LLC, 1.500% (LIBOR 1 Month+30 basis points), 10/23/2017(2)		5,800,000
Commonwealth Bank of Australia, 1.400% (LIBOR 1 Month+20 basis points), 5/11/2018(2)		6,000,000
Commonwealth Bank of Australia, 1.400%, 8/15/2018		4,999,395
Crown Point Capital Co. LLC, 1.300%, 10/17/2017(3)		4,991,567
Crown Point Capital Co. LLC, 1.300%, 10/31/2017(3)		4,989,083
Erste Abwicklungsanstalt, 1.200%, 9/6/2017(3)		7,498,802
Erste Abwicklungsanstalt, 1.300%, 10/18/2017(3)		7,487,271
Erste Abwicklungsanstalt, 1.300%, 12/13/2017(3)		7,471,675
Erste Abwicklungsanstalt, 1.400% , 1/19/2018(3)		7,460,625
Erste Abwicklungsanstalt, 1.500% (LIBOR 1 Month+22 basis points), 9/7/2017(2)		6,500,000
HSBC Bank USA NA, 1.600% (LIBOR 1 Month+33 basis points), 3/20/2018(2)		5,006,100
HSBC Bank USA NA, 1.700% (LIBOR 1 Month+48 basis points), 10/13/2017(2)		6,503,855
HSBC Bank, PLC, 1.600% (LIBOR 1 Month+34 basis points), 9/15/2017(2)		7,500,000
Illinois Tool Works, Inc., 1.100% , 9/6/2017(3)		3,999,378
Illinois Tool Works, Inc., 1.100% , 9/8/2017(3)		7,498,352
John Deere Capital Corp., 1.200% , 9/5/2017(3)		4,999,361
JP Morgan Securities LLC, 1.400% (LIBOR 1 Month+15 basis points), 12/22/2017(2)		5,750,000

150

BMO Funds

Description	Value
JP Morgan Securities LLC, 1.400% (LIBOR 1 Month+20 basis points), 4/6/2018(2)	$	7,500,000
JP Morgan Securities LLC, 1.500% (LIBOR 1 Month+25 basis points), 9/5/2017(2)		7,100,000
Liberty Street Funding LLC, 1.300%, 10/17/2017(3)		6,838,534
Liberty Street Funding LLC, 1.300%, 9/25/2017(3)		8,992,260
Liberty Street Funding LLC, 1.400%, 12/13/2017(3)		7,969,100
Manhattan Asset Funding Co., 1.400% (LIBOR 1 Month+14 basis points), 12/5/2017(2)		5,000,000
Manhattan Asset Funding Co., 1.400% (LIBOR 1 Month+16 basis points), 1/31/2018(2)		5,000,000
Manhattan Asset Funding Co., 1.400% (LIBOR 1 Month+16 basis points), 2/8/2018(2)		7,500,000
Manhattan Asset Funding Co., 1.500% (LIBOR 1 Month+30 basis points), 9/28/2017(2)		7,500,000
Mitsubishi UFJ Trust & Banking Corp., 1.400%, 2/9/2018		7,500,630
Mizuho Bank, Ltd., 1.400% (LIBOR 1 Month+28 basis points), 12/1/2017(2)		5,002,845
Mizuho Bank, Ltd., 1.600% (LIBOR 1 Month+40 basis points), 9/1/2017(2)		6,500,085
National Australia Bank Ltd., 1.600% (LIBOR 1 Month+35 basis points), 3/6/2018(2)		5,000,000
National Rural Utilities Co., 1.100%, 9/1/2017(3)		5,000,000
National Rural Utilities Co., 1.100%, 9/6/2017(3)		8,748,615
National Rural Utilities Co., 1.200%, 9/11/2017(3)		16,144,841
Natixis, NY Branch, 1.200% , 9/7/2017(3)		9,998,067
Novartis Finance Corp., 1.100% , 9/1/2017(3)		5,000,000
Old Line Funding LLC, 1.400% (LIBOR 1 Month+12 basis points), 1/19/2018(2)		5,000,000
Old Line Funding LLC, 1.400% (LIBOR 1 Month+12 basis points), 12/4/2017(2)		7,500,000
Old Line Funding LLC, 1.400% (LIBOR 1 Month+14 basis points), 11/8/2017(2)		14,900,000
Paccar Financial Corp., 1.100%, 9/7/2017(3)		4,999,108
Regency Markets No.1 LLC, 1.200%, 9/15/2017(3)		12,494,021
Regency Markets No.1 LLC, 1.200%, 9/26/2017(3)		5,495,302
Regency Markets No.1 LLC, 1.200%, 9/7/2017(3)		15,196,923
Regency Markets No.1 LLC, 1.200%, 9/8/2017(3)		9,997,608
Ridgefield Funding Co. LLC, 1.400% (LIBOR 1 Month+16 basis points), 12/18/2017(2)		10,000,000
Ridgefield Funding Co. LLC, 1.400% (LIBOR 1 Month+18 basis points), 1/11/2018(2)		8,750,000
Ridgefield Funding Co. LLC, 1.400%, 11/14/2017(3)		6,481,963
Skandinaviska Enskilda Banken AB, 1.500% (LIBOR 1 Month+30 basis points), 9/21/2017(2)		7,226,474
Sumitomo Mitsui Banking Corp., 1.300% (LIBOR 1 Month+13 basis points), 9/18/2017(2)		7,500,488
Suncorp Metway Ltd., 1.400%, 11/13/2017(3)		7,479,165
Suncorp Metway Ltd., 1.400%, 11/14/2017(3)		4,986,125

Description	Value
Suncorp Metway Ltd., 1.500%, 2/5/2018(3)	$	7,452,246
Svenska Handelsbaken, Inc., 1.500% (LIBOR 1 Month+30 basis points), 9/15/2017(2)		7,001,029
Swedbank Foreningsspar, 1.100%, 9/7/2017		10,000,000
Swedbank Foreningsspar, 1.200%, 9/6/2017		10,000,020
Swedbank, 1.300% , 12/14/2017(3)		7,471,400
Swedish Export Credit Corp., 1.400%, 11/28/2017(3)		9,967,000
Thunder Bay Funding LLC, 1.300% (LIBOR 1 Month+12 basis points), 12/8/2017(2)		8,500,000
Thunder Bay Funding LLC, 1.400% (LIBOR 1 Month+12 basis points), 1/12/2018(2)		7,500,000
Thunder Bay Funding LLC, 1.500% (LIBOR 1 Month+23 basis points), 6/22/2018(2)		5,000,000
Toronto- Dominion Bank, 1.400% (LIBOR 1 Month+20 basis points), 8/10/2018(2)		5,000,975
Toronto- Dominion Bank, 1.600% (LIBOR 1 Month+34 basis points), 3/13/2018(2)		5,506,804
Toronto- Dominion Bank, 1.700% (LIBOR 1 Month+44 basis points), 11/1/2017(2)		8,005,936
Toronto- Dominion Bank, 1.700% (LIBOR 1 Month+52 basis points), 11/20/2017(2)		5,005,385
Toronto- Dominion Bank, 1.700% (LIBOR 3 Month+40 basis points), 10/17/2017(2)		5,003,140
Toronto- Dominion Bank, 1.800% (LIBOR 1 Month+52 basis points), 1/10/2018(2)		6,510,257
Toyota Motor Credit Corp., 1.400% (LIBOR 1 Month+17 basis points), 3/12/2018(2)		5,000,000
Toyota Motor Credit Corp., 1.400% (LIBOR 1 Month+18 basis points), 4/27/2018(2)		7,450,000
Toyota Motor Credit Corp., 1.400% (LIBOR 1 Month+19 basis points), 5/10/2018(2)		7,500,000
Victory Receivables Corp., 1.300%, 9/25/2017(3)		7,493,500
Victory Receivables Corp., 1.300%, 9/6/2017(3)		4,399,224
Wal-Mart Stores, Inc., 1.100%, 9/5/2017(3)		7,499,058
Wells Fargo Bank NA, 1.400% (LIBOR 1 Month+13 basis points), 12/19/2017(2)		5,650,816
Wells Fargo Bank NA, 1.400% (LIBOR 1 Month+17 basis points), 4/20/2018(2)		5,000,595
Wells Fargo Bank NA, 1.700% (LIBOR 1 Month+44 basis points), 2/14/2018(2)		5,007,405
Wells Fargo Bank NA, 1.700% (LIBOR 1 Month+47 basis points), 10/11/2017(2)		5,002,785
Wells Fargo Bank NA, 1.700% (LIBOR 3 Month+35 basis points), 11/16/2017(2)		5,004,250
Westpac Banking Corp., 1.700% (LIBOR 3 Month+35 basis points), 10/20/2017(2)		6,000,000
Other		(62,092	)
Total	$	997,777,707

(1) The collateral pool is managed by the fixed income group within the Adviser. Each Fund owns a pro-rata interest in the collateral pool determined by the value of securities on loan for such Fund.

(2) Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2017.

(3) Each issue shows the rate of discount at the time of purchase.

(4) Denotes an investment in an affiliated entity.

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

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

151

Notes to Financial Statements (continued)

3. Fair Value Measurement

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

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

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

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

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

In May 2015, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standard Update (“ASU”) 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Unit (or Its Equivalent), modifying ASC 820. Under the modifications, investments in private investment funds valued at net asset value are no longer included in the fair value hierarchy. The Funds did not hold any Level 3 securities as of August 31, 2017.

The following is a summary of the inputs used, as of August 31, 2017, in valuing the Funds’ assets:

	Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	156,360,489	$	—	$	—	$	156,360,489
Short-Term Investments		2,833,143		75,732,318		—		78,565,461
Total	$	159,193,632	$	75,732,318	$	—	$	234,925,950
	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	113,432,121	$	—	$	—	$	113,432,121
Short-Term Investments		2,075,405		52,860,743		—		54,936,148
Total	$	115,507,526	$	52,860,743	$	—	$	168,368,269
	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	328,437,769	$	—	$	—	$	328,437,769
Short-Term Investments		4,411,207		162,597,871		—		167,009,078
Total	$	332,848,976	$	162,597,871	$	—	$	495,446,847
	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	351,611,827	$	—	$	—	$	351,611,827
Short-Term Investments		4,542,780		151,430,406		—		155,973,186
Total	$	356,154,607	$	151,430,406	$	—	$	507,585,013
	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	204,439,133	$	—	$	—	$	204,439,133
Short-Term Investments		1,880,791		89,263,621		—		91,144,412
Total	$	206,319,924	$	89,263,621	$	—	$	295,583,545

	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	111,118,371	$	—	$	—	$	111,118,371
Short-Term Investments		1,947,313		55,413,816		—		57,361,129
Total	$	113,065,684	$	55,413,816	$	—	$	168,479,500
	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	63,771,066	$	—	$	—	$	63,771,066
Short-Term Investments		588,562		15,189,775		—		15,778,337
Total	$	64,359,628	$	15,189,775	$	—	$	79,549,403
	Small-Cap Core Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	19,290,072	$	—	$	—	$	19,290,072
Short-Term Investments		369,001		9,591,857		—		9,960,858
Total	$	19,659,073	$	9,591,857	$	—	$	29,250,930
	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	137,267,304	$	—	$	—	$	137,267,304
Short-Term Investments		1,560,493		40,411,406		—		41,971,899
Total	$	138,827,797	$	40,411,406	$	—	$	179,239,203

152

BMO Funds

	Global Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Austria	$	—	$	423,924	$	—	$	423,924
Belgium		—		167,104		—		167,104
Bermuda		1,574,150		233,439		—		1,807,589
Canada		1,906,327		—		—		1,906,327
Cayman Islands		368,570		799,310		—		1,167,880
China		—		1,628,638		—		1,628,638
Czech Republic		—		341,272		—		341,272
Denmark		—		211,022		—		211,022
France		—		70,198		—		70,198
Germany		—		326,729		—		326,729
Guernsey		988,955		—		—		988,955
Hong Kong		—		3,907,803		—		3,907,803
Hungary		—		307,203		—		307,203
Ireland		116,452		—		—		116,452
Israel		—		656,520		—		656,520
Italy		—		278,341		—		278,341
Japan		—		4,378,531		—		4,378,531
Malaysia		—		2,140,527		—		2,140,527
Netherlands		—		59,856		—		59,856
New Zealand		—		1,474,947		—		1,474,947
Philippines		—		419,614		—		419,614
Singapore		—		2,590,488		—		2,590,488
South Korea		—		353,678		—		353,678
Switzerland		—		1,948,723		—		1,948,723
Taiwan		—		1,066,681		—		1,066,681
Thailand		—		551,464		—		551,464
United States		18,960,179		—		—		18,960,179
Short-Term Investments		2,027,575		—		—		2,027,575
Total	$	25,942,208	$	24,336,012	$	—	$	50,278,220
	Disciplined International Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	4,577,683	$	—	$	4,577,683
Belgium		—		108,926		—		108,926
Bermuda		132,606		—		—		132,606
Cayman Islands		—		396,977		—		396,977
Denmark		—		2,245,894		—		2,245,894
Finland		—		1,984,463		—		1,984,463
France		—		9,646,682		—		9,646,682
Germany		—		5,418,563		—		5,418,563
Hong Kong		—		600,556		—		600,556
Ireland		872,246		—		—		872,246
Israel		196,332				—		196,332
Italy		—		394,311		—		394,311
Japan		—		17,203,154		—		17,203,154
Jersey		1,459,496		275,094		—		1,734,590
Luxembourg		389,900		357,096		—		746,996
Marshall Islands		99,253		—		—		99,253
Netherlands		460,295		2,601,819		—		3,062,114
New Zealand		—		399,560		—		399,560
Norway		—		780,375		—		780,375
Portugal		—		775,991		—		775,991
Singapore		—		1,696,983		—		1,696,983
Spain		—		798,001		—		798,001
Sweden		—		1,889,983		—		1,889,983
Switzerland		1,174,896		3,310,776		—		4,485,672
United Kingdom		—		11,218,319		—		11,218,319
Short-Term Investments		4,938,088		—		—		4,938,088
Total	$	9,723,112	$	66,681,206	$	—	$	76,404,318
	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	—	$	585,882,515	$	—	$	585,882,515
Preferred Stocks(1)		—		10,159,146		—		10,159,146
Short-Term Investments		44,983,487		—		—		44,983,487
Total	$	44,983,487	$	596,041,661	$	—	$	641,025,148

	LGM Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Bermuda	$	2,421,504	$	3,919,033	$	—	$	6,340,537
Brazil		1,655,118		—		—		1,655,118
Cayman Islands		—		3,249,913		—		3,249,913
Chile		2,738,855		—		—		2,738,855
China		—		3,609,517		—		3,609,517
Egypt		691,394		5,784,314		—		6,475,708
Hong Kong		—		4,372,616		—		4,372,616
India		—		35,985,563		—		35,985,563
Indonesia		—		18,336,067		—		18,336,067
Kenya		—		802,539		—		802,539
Malaysia		—		5,945,306		—		5,945,306
Mexico		16,402,117		—		—		16,402,117
Nigeria		—		1,658,823		—		1,658,823
Philippines		—		5,843,654		—		5,843,654
South Africa		—		10,322,257		—		10,322,257
Taiwan		—		3,488,268		—		3,488,268
Thailand		1,548,853		—		—		1,548,853
Turkey		—		5,760,591		—		5,760,591
United States		11,847,839		—		—		11,847,839
Vietnam		—		1,622,909		—		1,622,909
Common Stock Units		3,837,734		—		—		3,837,734
Participation Notes		—		4,187,718		—		4,187,718
Short-Term Investments		6,781,457		—		—		6,781,457
Total	$	47,924,871	$	114,889,088	$	—	$	162,813,959
	TCH Emerging Markets Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	6,540,506	$	—	$	6,540,506
International Bonds		—		4,932,718		—		4,932,718
Short-Term Investments		1,170,326		—		—		1,170,326
Total	$	1,170,326	$	11,473,224	$	—	$	12,643,550

153

Notes to Financial Statements (continued)

	Alternative Strategies Fund(2)
	Level 1		Level 2		Level 3		Total
Assets-Long
Bank Loans	$	—	$	4,508,381	$	—	$	4,508,381
Common Stocks
Australia		—		82,605		—		82,605
Bermuda		301,004		—		—		301,004
Canada		626,870		—		—		626,870
Cayman Islands		—		28,448		—		28,448
China		—		58,799		—		58,799
Denmark		—		30,364		—		30,364
France		—		149,471		—		149,471
Germany		—		124,612		—		124,612
Hungary		—		85,559		—		85,559
Ireland		2,243,249		—		—		2,243,249
Italy		—		123,207		—		123,207
Japan		—		1,125,816		—		1,125,816
Jersey		529,718		32,783		—		562,501
Luxembourg		212,808		—		—		212,808
Netherlands		329,144		256,614		—		585,758
New Zealand		—		111,694		—		111,694
Norway		—		39,344		—		39,344
Panama		62,779		—		—		62,779
Singapore		617,154		26,943		—		644,097
Sweden		—		34,787		—		34,787
United Kingdom		—		333,153		—		333,153
United States		32,980,242		—		—		32,980,242
Convertible Bonds		—		124,820		—		124,820
Corporate Bonds & Notes		—		576,046		—		576,046
Limited Partnership Units		624,544		—		—		624,544
Mutual Funds		850,342		—		—		850,342
Purchased Options		859,080		—		—		859,080
Short-Term Investments		37,183,212		12,493,827		—		49,677,039
Total	$	77,420,146	$	20,347,273	$	—	$	97,767,419
Liabilities-Short
Common Stocks
Australia	$	—	$	85,485	$	—	$	85,485
Belgium		—		16,922		—		16,922
Bermuda		—		16,500		—		16,500
Canada		730,824		—		—		730,824
Cayman Islands		46,604		—		—		46,604
Finland		—		18,838		—		18,838
Germany		—		207,035		—		207,035
Ireland		340,697		—		—		340,697
Japan		—		511,204		—		511,204
Netherlands		—		74,219		—		74,219
New Zealand		—		53,530		—		53,530
Norway		—		74,573		—		74,573
Spain		—		69,332		—		69,332
Sweden		—		236,162		—		236,162
Switzerland		—		248,462		—		248,462
United Kingdom		198,691		335,179		—		533,870
United States		9,751,821		—		—		9,751,821
Corporate Bonds & Notes		—		144,972		—		144,972
Exchange Traded Funds		4,574,132		—		—		4,574,132
Written Options		1,054,953		—		—		1,054,953
Total	$	16,697,722	$	2,092,413	$	—	$	18,790,135

	Global Long/Short Equity Fund
	Level 1		Level 2		Level 3		Total
Assets-Long
Common Stocks
Australia	$	—	$	87,539	$	—	$	87,539
Bermuda		305,683		—		—		305,683
Canada		315,376		—		—		315,376
Cayman Islands		—		30,416		—		30,416
China		—		63,316		—		63,316
Denmark		—		33,180		—		33,180
France		—		158,678		—		158,678
Germany		—		132,156		—		132,156
Greece		—		44,718		—		44,718
Hungary		—		90,685		—		90,685
Ireland		34,305		—		—		34,305
Italy		—		130,615		—		130,615
Japan		—		1,245,403		—		1,245,403
Jersey		—		34,765		—		34,765
Luxembourg		225,642		—		—		225,642
Netherlands		—		272,075		—		272,075
New Zealand		—		118,362		—		118,362
Norway		—		41,702		—		41,702
Panama		66,750		—		—		66,750
Poland		—		51,742		—		51,742
Singapore		—		28,604		—		28,604
South Korea		—		138,352		—		138,352
Sweden		—		36,867		—		36,867
Taiwan		—		46,893		—		46,893
United Kingdom		—		353,146		—		353,146
United States		5,496,691		—		—		5,496,691
Short-Term Investments		3,884,482		—		—		3,884,482
Total	$	10,328,929	$	3,139,214	$	—	$	13,468,143
Liabilities-Short
Common Stocks
Australia	$	—	$	90,592	$	—	$	90,592
Belgium		—		18,501		—		18,501
Bermuda		—		17,542		—		17,542
Cayman Islands		49,412		—		—		49,412
Finland		—		19,978		—		19,978
Germany		—		119,631		—		119,631
Japan		—		606,156		—		606,156
Netherlands		—		78,657		—		78,657
New Zealand		—		56,746		—		56,746
Norway		—		79,054		—		79,054
Spain		—		73,498		—		73,498
Sweden		—		76,457		—		76,457
Switzerland		—		32,381		—		32,381
United Kingdom		—		355,213		—		355,213
United States		1,780,421		—		—		1,780,421
Total	$	1,829,833	$	1,624,406	$	—	$	3,454,239
	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	634,462,688	$	—	$	634,462,688
Short-Term Investments		80,322		47,567,678		—		47,648,000
Total	$	80,322	$	682,030,366	$	—	$	682,110,688
	Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	172,490,237	$	—	$	172,490,237
Mutual Funds		866,132		—		—		866,132
Short-Term Investments		115,488		1,708,050		—		1,823,538
Total	$	981,620	$	174,198,287	$	—	$	175,179,907

154

BMO Funds

	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	52,318,672	$	—	$	52,318,672
Collateralized Mortgage Obligations		—		7,314,490		—		7,314,490
Commercial Mortgage Securities		—		17,127,899		—		17,127,899
Corporate Bonds & Notes		—		101,120,535		—		101,120,535
Mutual Funds		3,675,768		—		—		4,675,682	*
U.S. Government & U.S. Government Agency Obligations		—		38,576,770		—		38,576,770
U.S. Government Agency-Mortgage Securities		—		1,228,888		—		1,228,888
Short-Term Investments		4,464,102		64,867,113		—		69,331,215
Total	$	8,139,870	$	282,554,367	$	—	$	291,694,151

* Total includes a $999,914 private placement senior loan fund holding valued using practical expedient.

	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	1,591,471,242	$	—	$	1,591,471,242
Mutual Funds		16,625,697		—		—		16,625,697
Short-Term Investments		79,783		2,008,460		—		2,088,243
Total	$	16,705,480	$	1,593,479,702	$	—	$	1,610,185,182
	Strategic Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	252,973	$	—	$	252,973
Collateralized Mortgage Obligations		—		12,025,287		—		12,025,287
Commercial Mortgage Securities		—		6,760,639		—		6,760,639
Corporate Bonds & Notes		—		74,882,868		—		74,882,868
U.S. Government Agency-Mortgage Securities		—		17,660,274		—		17,660,274
Short-Term Investments		938,029		24,164,624		—		25,102,653
Total	$	938,029	$	135,746,665	$	—	$	136,684,694
	TCH Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	240,187,039	$	—	$	240,187,039
Municipals		—		565,325		—		565,325
U.S. Government & U.S. Government Agency Obligations		—		8,563,532		—		8,563,532
Short-Term Investments		4,410,836		59,729,711		—		64,140,547
Total	$	4,410,836	$	309,045,607	$	—	$	313,456,443

	TCH Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	481,886,091	$	—	$	481,886,091
Municipals		—		339,195		—		339,195
U.S. Government & U.S. Government Agency Obligations		—		132,538,030		—		132,538,030
U.S. Government Agency-Mortgage Securities		—		378,675,083		—		378,675,083
Short-Term Investments		46,560,055		210,537,373		—		257,097,428
Total	$	46,560,055	$	1,203,975,772	$	—	$	1,250,535,827
	High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	12,774,444	$	—	$	12,774,444
Short-Term Investments		360,045		—		—		360,045
Total	$	360,045	$	12,774,444	$	—	$	13,134,489
	Government Money Market Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	170,000,000	$	—	$	—	$	170,000,000
Repurchase Agreements		—		608,302,536		—		608,302,536
U.S. Government & U.S. Government Agency Obligations		—		2,656,442,412		—		2,656,442,412
Total	$	170,000,000	$	3,264,744,948	$	—	$	3,434,744,948
	Tax-Free Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	319,281,383	$	—	$	319,281,383
Mutual Funds		201,486		—		—		201,486
Total	$	201,486	$	319,281,383	$	—	$	319,482,869
	Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	94,626,136	$	—	$	94,626,136
Commercial Paper		—		211,629,516		—		211,629,516
Municipals		—		15,875,000		—		15,875,000
Mutual Funds		26,000,000		—		—		26,000,000
Repurchase Agreements		—		20,618,301		—		20,618,301
Total	$	26,000,000	$	342,748,953	$	—	$	368,748,953
	Institutional Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	70,654,562	$	—	$	70,654,562
Commercial Paper		—		237,081,780		—		237,081,780
Mutual Funds		24,201,139		—		—		24,201,139
Repurchase Agreements		—		70,000,000		—		70,000,000
Total	$	24,201,139	$	377,736,342	$	—	$	401,937,481

(1) All sub-categories within Common Stocks and Preferred Stocks represent either entire Level 1 or Level 2 evaluation status.

(2) The following is a summary of other financial instruments that are derivative instruments not reflected in the Schedules of Investments, such as futures and forward contracts. Amounts below are the unrealized appreciation/(depreciation) on the investment.

155

Notes to Financial Statements (continued)

	Unrealized Appreciation/(Depreciation) On Other Financial Instruments
Fund	Level 1			Level 2			Level 3		Total
Alternative Strategies Fund
Long Forward Contracts	$	—		$	763,104		$	—	$	763,104
Short Forward Contracts		—			(562,707	)		—		(562,707	)
Total Forwards	$	—		$	200,397		$	—	$	200,397
Long Futures Contracts	$	244,281		$	—		$	—	$	244,281
Short Futures Contracts		(15,427	)		—			—		(15,427	)
Total Futures	$	228,854		$	—		$	—	$	228,854

It is the Funds’ policy to recognize transfers between category levels at the end of the period. As described in Note 2, the Funds’ have retained an independent pricing service to fair value foreign equity securities for events occurring after the close of the market in which the security is principally traded. These valuations occurred on August 31, 2017, but not on August 31, 2016, resulting in transfers between categorization levels.

The following is a reconciliation of transfers between category levels from August 31, 2016 to August 31, 2017:

	Global Low Volatility Equity Fund			Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund - Short Transfers			Global Long/Short Equity Fund - Long Transfers			Global Long/Short Equity Fund - Short Transfers
Transfers into Level 1	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Transfers out of Level 1		(19,038,852	)		(46,764,286	)		(528,090,901	)		(87,271,461	)		(315,068	)		(2,275,656	)		(874,778	)
Net Transfers out of Level 1	$	(19,038,852	)	$	(46,764,286	)	$	(528,090,901	)	$	(87,271,461	)	$	(315,068	)	$	(2,275,656	)	$	(874,778	)
Transfers into Level 2	$	19,038,852		$	46,764,286			528,090,901		$	87,271,461		$	315,068		$	2,275,656		$	874,778
Transfers out of Level 2		—			—			—			—			—			—			—
Net Transfers into Level 2	$	19,038,852		$	46,764,286		$	528,090,901		$	87,271,461		$	315,068		$	2,275,656		$	874,778

4. Derivative Holdings and Activity Detail

Derivatives and Hedging Disclosures—Derivatives and hedging require enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial positions, performance and cash flows. For the year ended August 31, 2017, the Alternative Strategies Fund utilized all derivatives for the purposes of generating and enhancing total return.

During the year ended August 31, 2017, the Alternative Strategies Fund had average quarterly contracts or notional values outstanding:

Average Quarterly Contracts				Average Quarterly Notional Values
Long Futures	Short Futures	Purchased Options	Written Options	Long Forwards	Short Forwards
618	121	618	1,177	$33,189,114	$29,582,452

156

BMO Funds

The effects of these derivative instruments on the Fund’s financial positions and financial performance are reflected in the Statements of Assets and Liabilities and Statements of Operations, and are presented in the table below. The values of derivative instruments as of August 31, 2017 by risk category are as follows:

	Statement of Asset and Liabilities			Statement of Operations
Fund/Financial Instrument Type	Amount			Realized Gain/(Loss)			Net Change in Unrealized Appreciation/ (Depreciation)
Alternative Strategies Fund
Interest rate futures contracts:
Receivables for daily variation margin	$	97,703
Payables for daily variation margin		(30,443	)
Net		67,260		$	(334,572	)	$	46,875
Equity futures contracts:
Receivables for daily variation margin		227,114
Payables for daily variation margin		(65,520	)
Net		161,594			970,688			132,911
Total receivables for interest rate and equity futures contracts		324,817
Total payables for interest rate and equity futures contracts		(95,963	)
Net	$	228,854		$	636,116		$	179,786
Forward foreign exchange contracts:
Receivables for forward foreign exchange contracts	$	876,068
Payables for forward foreign exchange contracts		(675,671	)
Net	$	200,397		$	438,847		$	189,412
Equity option contracts:
Purchased options	$	859,080		$	(872,774	)	$	(331,039	)
Written options	$	(1,054,953	)	$	1,647,284		$	336,447

Offsetting of Assets and Liabilities—Disclosures about offsetting assets and liabilities require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented. As of August 31, 2017, no master netting arrangements exist related to the Funds. The Funds’ Statements of Assets and Liabilities (“SAL”) presents derivative instruments on a gross basis, therefore, no net amounts and no offset amounts exist within the SAL to present below. Gross amounts of the derivative instruments, amounts related to financial instruments/cash collateral not offset in the SAL and net amounts are presented below:

	Derivative Assets				Derivative Liabilities									Net Derivative Assets (Liabilities)			Collateral Pledged (Received) (1)
Fund/Counterparty	Forward Currency Contracts		Futures Contracts		Forward Currency Contracts			Futures Contracts			Written Options						Financial Instruments		Cash		Net Amount
Alternative Strategies Fund
Bank of America Merrill Lynch (Over the Counter)	$	876,068	$	—	$	(675,671	)	$	—		$	—		$	200,397		$	—	$	—	$	200,397
Exchange Traded Futures Contracts		—		324,817		—			(95,963	)		—			228,854			—		—		228,854
Exchange Traded Options Contracts		—		—		—			—			(1,054,953	)		(1,054,953	)		—		1,054,953		—

(1) Collateral pledged exceeds amount of liability balance.

At period end, certain Funds covered in this report had investments in repurchase agreements. The gross value and related collateral received for these investments are presented in each applicable Fund’s Schedule of Investments and the value of these investments is also presented in the Statements of Assets and Liabilities. The value of the related collateral received exceeded the value of the repurchase agreements as of August 31, 2017.

157

Notes to Financial Statements (continued)

5. Capital Stock

The Articles of Incorporation permit the Directors to issue an indefinite number of full and fractional shares of common stock, par value $0.0001 per share. Transactions in capital stock were as follows:

	Low Volatility Equity Fund						Dividend Income Fund						Large-Cap Value Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—		$	25,782,143	(1)	$	41,929,434
Advisor class of shares		30,709,923			20,450,099			9,963,731			12,240,448			2,132,939			6,500
Institutional class of shares		23,796,019			57,444,854			84,755,232			5,367,352			209,105,302			62,929,469
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			1,523,544			50,000	(2)
Advisor class transfers from termination of Investor class		—			—			—			—			186,891,192			—
Net proceeds from sale of shares		54,505,942			77,894,953			94,718,963			17,607,800			425,435,120			104,915,403
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			3,003,799	(1)		19,028,638
Advisor class of shares		600,108			271,512			1,904,772			6,370,133			523,217			3,421
Institutional class of shares		3,555,616			3,503,523			1,431,043			2,938,755			3,151,481			14,194,204
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			5,361			303	(2)
Net proceeds from shares issued		4,155,724			3,775,035			3,335,815			9,308,888			6,683,858			33,226,566
Cost of shares redeemed:
Investor class of shares		—			—			—			—			(29,944,864	)(1)		(36,548,453	)
Advisor class of shares		(16,253,010	)		(7,296,072	)		(95,290,255	)		(16,513,415	)		(163,849,415	)		—
Institutional class of shares		(40,363,601	)		(10,656,439	)		(17,370,722	)		(16,512,337	)		(62,434,365	)		(27,704,576	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(143,363	)		—
Advisor class transfers from termination of Investor class		—			—			—			—			(186,891,192	)		—
Net cost of shares redeemed		(56,616,611	)		(17,952,511	)		(112,660,977	)		(33,025,752	)		(443,263,199	)		(64,253,029	)
Net change resulting from fund share transactions in dollars	$	2,045,055		$	63,717,477		$	(14,606,199	)	$	(6,109,064	)	$	(11,144,221	)	$	73,888,940
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—			1,721,277	(1)		2,992,053
Advisor class of shares		2,223,381			1,557,280			734,704			986,639			136,008			518
Institutional class of shares		1,717,254			4,341,968			5,932,931			450,270			13,571,425			4,406,925
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			98,226			3,621	(2)
Advisor class transfers from termination of Investor class		—			—			—			—			11,959,735			—
Net sale of shares		3,940,635			5,899,248			6,667,635			1,436,909			27,486,671			7,403,117
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			202,894	(1)		1,381,134
Advisor class of shares		43,466			21,225			142,063			526,209			33,497			248
Institutional class of shares		258,635			273,483			104,269			242,483			210,885			1,029,042
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			343			22	(2)
Net shares issued		302,101			294,708			246,332			768,692			447,619			2,410,446
Shares redeemed:
Investor class of shares		—			—			—			—			(2,003,359	)(1)		(2,635,055	)
Advisor class of shares		(1,157,535	)		(577,073	)		(6,726,795	)		(1,338,905	)		(10,550,915	)		—
Institutional class of shares		(2,894,759	)		(809,930	)		(1,260,014	)		(1,316,263	)		(4,093,910	)		(1,966,849	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(9,119	)		—
Advisor class transfers from termination of Investor class		—			—			—			—			(11,959,735	)		—
Net shares redeemed		(4,052,294	)		(1,387,003	)		(7,986,809	)		(2,655,168	)		(28,617,038	)		(4,601,904	)
Net change resulting from fund share transactions in shares		190,442			4,806,953			(1,072,842	)		(449,567	)		(682,748	)		5,211,659

(1) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(2) Reflects operations for the period from December 28, 2015 (inception date) to August 31, 2016.

158

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
$	47,552,629		$	36,107,215		$	12,630,560	(1)	$	17,762,637		$	8,328,558	(1)	$	16,444,621		$	—		$	—
	989,079			375,678			3,288,541			9,778			3,531,002			4,540			4,344,594			11,310,749
	208,981,585			36,247,277			80,906,095			10,810,827			73,932,023			6,484,915			45,025,931			11,641,400
	—			—			1,057			253			—			—			30,591			88,324
	2,776,234			50,000	(2)		3,976,868			3,553,774			563,173			—			2,248,782			794,885
	—			—			134,579,478			—			85,760,412			—			—			—
	260,299,527			72,780,170			235,382,599			32,137,269			172,115,168			22,934,076			51,649,898			23,835,358
	10,511,010			23,452,821			37,960,691	(1)		18,609,651			18,801,115	(1)		17,851,037			—			—
	23,490			14,768			3,053			3,119			1,518			4,458			4,111,818			2,832,915
	6,318,459			9,087,283			19,028,243			9,554,467			7,803,153			10,637,125			2,338,598			861,712
	—			—			76			2,657			—			3,577			5,814			1,046
	9,109			—			3,121,456			962,712			—			3,575			95,423			22,643
	16,862,068			32,554,872			60,113,519			29,132,606			26,605,786			28,499,772			6,551,653			3,718,316
	(167,909,613	)		(48,455,232	)		(37,912,274	)(1)		(62,652,705	)		(21,939,370	)(1)		(48,774,799	)		—			—
	(684,033	)		(36,501	)		(74,055,945	)		—			(71,617,531	)		—			(47,396,459	)		(46,161,907	)
	(54,111,950	)		(20,143,196	)		(37,859,484	)		(39,711,399	)		(24,230,419	)		(44,197,286	)		(15,809,625	)		(7,171,229	)
	—			—			(9	)		—			—			—			(4,887	)		(35,255	)
	(66,992	)		—			(2,141,795	)		(1,878,011	)		(798	)		—			(611,082	)		(68,200	)
	—			—			(134,579,478	)		—			(85,760,412	)		—			—			—
	(222,772,588	)		(68,634,929	)		(286,548,985	)		(104,242,115	)		(203,548,530	)		(92,972,085	)		(63,822,053	)		(53,436,591	)
$	54,389,007		$	36,700,113		$	8,947,133		$	(42,972,240	)	$	(4,827,576	)	$	(41,538,237	)	$	(5,620,502	)	$	(25,882,917	)
	2,983,477			2,388,038			1,079,783	(1)		1,290,770			603,003	(1)		1,010,464			—			—
	60,502			25,578			277,019			767			245,836			254			327,444			917,999
	12,557,523			2,381,183			6,898,100			791,413			4,865,381			395,131			3,311,166			916,465
	—			—			92			19			(1	)		—			2,331			7,056
	161,842			3,390	(2)		337,095			267,325			36,858			—			165,453			62,124
	—			—			11,426,538			—			5,852,195			—			—			—
	15,763,344			4,798,189			20,018,627			2,350,294			11,603,272			1,405,849			3,806,394			1,903,644
	704,400			1,597,604			3,609,940	(1)		1,381,140			1,480,172	(1)		1,110,830			—			—
	1,564			1,006			290			232			120			277			340,483			231,258
	419,303			614,421			1,812,569			711,232			591,039			643,115			190,485			69,605
	—			—			7			198			—			219			481			85
	531			—			296,837			71,713			—			215			7,719			1,823
	1,125,798			2,213,031			5,719,643			2,164,515			2,071,331			1,754,656			539,168			302,771
	(10,102,414	)		(3,267,889	)		(3,280,928	)(1)		(4,544,016	)		(1,572,244	)(1)		(3,023,971	)		—			—
	(42,166	)		(2,427	)		(6,294,719	)		—			(4,886,470	)		—			(3,524,240	)		(3,645,999	)
	(3,325,891	)		(1,279,184	)		(3,265,545	)		(2,848,865	)		(1,678,679	)		(2,714,350	)		(1,210,294	)		(571,338	)
	—			—			(1	)		—			—			—			(367	)		(2,687	)
	(3,886	)		—			(185,873	)		(134,934	)		(52	)		—			(46,103	)		(5,340	)
	—			—			(11,426,538	)		—			(5,852,195	)		—			—			—
	(13,474,357	)		(4,549,500	)		(24,453,604	)		(7,527,815	)		(13,989,640	)		(5,738,321	)		(4,781,004	)		(4,225,364	)
	3,414,785			2,461,720			1,284,666			(3,013,006	)		(315,037	)		(2,577,816	)		(435,442	)		(2,018,949	)

159

Notes to Financial Statements (continued)

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	8,270,106	(1)	$	24,197,134		$	—		$	—
Advisor class of shares		2,075,979			7,593			8,904,983	(2)		—			795,975			110,308
Institutional class of shares		7,844,262			7,512,368			54,817,595			98,533,217			25,178,906			30,032,757
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			—			92,631,103			—			—			—
Net proceeds from sale of shares		9,920,241			7,519,961			164,623,787			122,730,351			25,974,881			30,143,065
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			18,971,056			—			—
Advisor class of shares		627			4,815			—			—			2,983			723
Institutional class of shares		232,893			50,512			—			19,873,633			1,085,758			278,039
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net proceeds from shares issued		233,520			55,327			—			38,844,689			1,088,741			278,762
Cost of shares redeemed:
Investor class of shares		—			—			(85,059,894	)(1)		(153,670,290	)		—			—
Advisor class of shares		(211,102	)		(54,259	)		(45,090,880	)(2)		—			(115,806	)		(5,598	)
Institutional class of shares		(3,817,564	)		(1,497,840	)		(165,285,708	)		(232,329,791	)		(19,346,226	)		(72,795	)
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			—			(92,631,103	)		—			—			—
Net cost of shares redeemed		(4,028,666	)		(1,552,099	)		(388,067,585	)		(386,000,081	)		(19,462,032	)		(78,393	)
Redemption fees		—			—			132			—			50			—
Net change resulting from fund share transactions in dollars	$	6,125,095		$	6,023,189		$	(223,443,666	)	$	(224,425,041	)	$	7,601,640		$	30,343,434
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			494,669	(1)		1,560,531			—			—
Advisor class of shares		157,501			729			498,846	(2)		—			63,712			8,876
Institutional class of shares		629,056			714,579			2,932,428			6,166,782			2,042,381			2,693,452
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			—			5,076,122			—			—			—
Net sale of shares		786,557			715,308			9,002,065			7,727,313			2,106,093			2,702,328
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			1,220,789			—			—
Advisor class of shares		49			451			—			—			251			63
Institutional class of shares		18,110			4,712			—			1,242,102			91,317			24,262
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net shares issued		18,159			5,163			—			2,462,891			91,568			24,325
Shares redeemed:
Investor class of shares		—			—			(5,106,058	)(1)		(10,045,724	)		—			—
Advisor class of shares		(15,970	)		(5,681	)		(2,432,400	)(2)		—			(9,239	)		(444	)
Institutional class of shares		(291,933	)		(140,397	)		(9,469,711	)		(14,824,948	)		(1,556,987	)		(6,055	)
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			—			(5,076,122	)		—			—			—
Net shares redeemed		(307,903	)		(146,078	)		(22,084,291	)		(24,870,672	)		(1,566,226	)		(6,499	)
Net change resulting from fund share transactions in shares		496,813			574,393			(13,082,226	)		(14,680,468	)		631,435			2,720,154

(1) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(2) Reflects operations for the period from May 31, 2017 (inception date) to August 31, 2017.

(3) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

160

BMO Funds

Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						TCH Emerging Markets Bond Fund
Year Ended August 31, 2017			Period Ended August 31, 2016(3)			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
$	—		$	—		$	13,163,350		$	24,600,796		$	—		$	—		$	—		$	—
	2,000			183,392			822,444			125,044			8,777,557			12,304,331			6,915			2,240
	22,341,033			82,361,194			350,747,663			157,265,153			100,996,016			24,210,997			17,874,010			4,261
	—			—			31,501,915			11,179,486			—			—			—			—
	—			—			25,761	(2)		—			—			—			—			—
	—			—			—			—			—			—			—			—
	22,343,033			82,544,586			396,261,133			193,170,479			109,773,573			36,515,328			17,880,925			6,501
	—			—			1,999,666			1,910,079			—			—			—			—
	787			—			1,905			16,401			235,064			562,607			—			220,767
	1,669,867			—			6,699,345			5,045,398			631,448			731,004			391,248			222,440
	—			—			—			399			—			—			—			—
	—			—			652,042			314,323			—			—			—			—
	1,670,654			—			9,352,958			7,286,600			866,512			1,293,611			391,248			443,207
	—			—			(115,429,633	)		(21,379,221	)		—			—			—			—
	—			(60,715	)		(43,970	)		(831,920	)		(61,462,014	)		(34,906,050	)		(4,087,474	)		(66,846	)
	(28,580,607	)		(12,451,871	)		(290,612,247	)		(321,169,468	)		(37,328,961	)		(42,709,937	)		(10,823,564	)		—
	—			—			(3,041,612	)		(2,475,984	)		—			—			—			—
	—			—			—			—			—			—			—			—
	(28,580,607	)		(12,512,586	)		(409,127,462	)		(345,856,593	)		(98,790,975	)		(77,615,987	)		(14,911,038	)		(66,846	)
	—			108			3,133			10,295			680			254			423			—
$	(4,566,920	)	$	70,032,108		$	(3,510,238	)	$	(145,389,219	)	$	11,849,790		$	(39,806,794	)	$	3,361,558		$	382,862
	—			—			1,073,748			2,068,034			—			—			—			—
	180			19,419			63,670			10,726			629,812			995,220			683			243
	2,090,763			8,345,169			27,977,151			13,350,667			6,844,430			1,921,645			1,759,695			429
	—			—			2,563,451			939,422			—			—			—			—
	—			—			1,950	(2)		—			—			—			—			—
	—			—			—			—			—			—			—			—
	2,090,943			8,364,588			31,679,970			16,368,849			7,474,242			2,916,865			1,760,378			672
	—			—			174,491			166,673			—			—			—			—
	84			—			166			1,431			18,509			48,375			—			24,722
	176,893			—			583,567			439,495			49,681			62,747			40,883			24,909
	—			—			—			35			—			—			—			—
	—			—			56,798			27,380			—			—			—			—
	176,977			—			815,022			635,014			68,190			111,122			40,883			49,631
	—			—			(8,986,498	)		(1,839,808	)		—			—			—			—
	—			(6,308	)		(3,359	)		(74,548	)		(4,044,334	)		(2,626,422	)		(399,562	)		(7,570	)
	(2,848,966	)		(1,308,121	)		(23,381,161	)		(27,191,302	)		(2,627,477	)		(3,377,266	)		(1,073,815	)		—
	—			—			(239,843	)		(206,714	)		—			—			—			—
	—			—			—			—			—			—			—			—
	(2,848,966	)		(1,314,429	)		(32,610,861	)		(29,312,372	)		(6,671,811	)		(6,003,688	)		(1,473,377	)		(7,570	)
	(581,046	)		7,050,159			(115,869	)		(12,308,509	)		870,621			(2,975,701	)		327,884			42,733

161

Notes to Financial Statements (continued)

	Alternative Strategies Fund						Global Long/Short Equity Fund						Ultra Short Tax-Free Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Period Ended August 31, 2016(1)			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—		$	6,104,616	(2)	$	10,594,870
Advisor class of shares		27,169			176,496			269,383			483,490			6,200,069			55,513
Institutional class of shares		21,282,139			86,807,782			4,556,249			3,547,875			466,456,337			386,923,045
Advisor class transfers from termination of Investor class		—			—			—			—			45,351,480			—
Net proceeds from sale of shares		21,309,308			86,984,278			4,825,632			4,031,365			524,112,502			397,573,428
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			286,536	(2)		295,588
Advisor class of shares		—			2,839			4,145			—			71,269			132
Institutional class of shares		—			964,816			23,628			—			1,945,603			1,692,037
Net proceeds from shares issued		—			967,655			27,773			—			2,303,408			1,987,757
Cost of shares redeemed:
Investor class of shares		—			—			—			—			(14,358,125	)(2)		(21,875,452	)
Advisor class of shares		(165,974	)		(887,690	)		(128,015	)		(7,748	)		(16,963,463	)		(55,553	)
Institutional class of shares		(39,535,186	)		(12,792,404	)		(175,281	)		(49,426	)		(391,631,904	)		(541,894,764	)
Advisor class transfers from termination of Investor class		—			—			—			—			(45,351,480	)		—
Net cost of shares redeemed		(39,701,160	)		(13,680,094	)		(303,296	)		(57,174	)		(468,304,972	)		(563,825,769	)
Net change resulting from fund share transactions in dollars	$	(18,391,852	)	$	74,271,839		$	4,550,109		$	3,974,191		$	58,110,938		$	(164,264,584	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—			606,227	(2)		1,051,519
Advisor class of shares		2,572			17,279			22,951			48,577			615,178			5,509
Institutional class of shares		2,009,145			8,459,347			397,699			351,888			46,336,954			38,417,809
Advisor class transfers from termination of Investor class		—			—			—			—			4,499,110			—
Net sale of shares		2,011,717			8,476,626			420,650			400,465			52,057,469			39,474,837
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			28,463	(2)		29,340
Advisor class of shares		—			282			374			—			7,071			13
Institutional class of shares		—			95,621			2,129			—			193,296			168,066
Net shares issued		—			95,903			2,503			—			228,830			197,419
Shares redeemed:
Investor class of shares		—			—			—			—			(1,426,090	)(2)		(2,171,241	)
Advisor class of shares		(15,772	)		(86,934	)		(11,422	)		(750	)		(1,682,885	)		(5,515	)
Institutional class of shares		(3,732,936	)		(1,273,394	)		(15,094	)		(4,628	)		(38,912,011	)		(53,812,434	)
Advisor class transfers from termination of Investor class		—			—			—			—			(4,499,110	)		—
Net shares redeemed		(3,748,708	)		(1,360,328	)		(26,516	)		(5,378	)		(46,520,096	)		(55,989,190	)
Net change resulting from fund share transactions in shares		(1,736,991	)		7,212,201			396,637			395,087			5,766,203			(16,316,934	)

(1) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

(2) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(3) Includes paid-in-capital and shares received from a non-taxable in-kind subscription merger of the BMO TCH Intermediate Income Fund effective as of the close of business on June 29, 2017. See Note 11, Reorganization Information, in the Notes to Financial Statements for additional information.

162

BMO Funds

Short Tax-Free Fund						Short-Term Income Fund						Intermediate Tax-Free Fund						Strategic Income Fund
Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
$	10,895,505	(2)	$	8,254,754		$	11,653,364	(2)	$	21,538,961		$	213,547,673		$	303,551,800		$	2,074,321		$	8,893,429
	1,819,564			726,443			10,184,761			138,520			9,967,233			1,694,228			18,617,076	(3)		5,481
	88,094,396			125,580,353			132,998,094			177,384,144			289,062,211			264,143,418			18,778,044	(3)		14,473,126
	22,049,349			—			49,939,527			—			—			—			—			—
	122,858,814			134,561,550			204,775,746			199,061,625			512,577,117			569,389,446			39,469,441			23,372,036
	169,287	(2)		237,387			618,739	(2)		668,656			30,885,014			29,129,421			2,325,868			2,478,073
	46,057			3,317			143,243			370			83,901			45,391			148,215			508
	636,743			342,378			1,710,099			1,948,568			9,417,013			6,370,896			277,988			250,810
	852,087			583,082			2,472,081			2,617,594			40,385,928			35,545,708			2,752,071			2,729,391
	(4,549,287	)(2)		(17,676,600	)		(21,089,307	)(2)		(31,041,668	)		(480,822,580	)		(380,922,084	)		(16,498,767	)		(21,179,966	)
	(17,897,661	)		(35,665	)		(27,139,404	)		(7,758	)		(930,368	)		(2,217,585	)		(531,749	)		—
	(81,433,763	)		(63,807,213	)		(159,514,643	)		(210,623,336	)		(255,447,058	)		(244,705,167	)		(19,076,959	)		(16,360,682	)
	(22,049,349	)		—			(49,939,527	)		—			—			—			—			—
	(125,930,060	)		(81,519,478	)		(257,682,881	)		(241,672,762	)		(737,200,006	)		(627,844,836	)		(36,107,475	)		(37,540,648	)
$	(2,219,159	)	$	53,625,154		$	(50,435,054	)	$	(39,993,543	)	$	(184,236,961	)	$	(22,909,682	)	$	6,114,037		$	(11,439,221	)
	1,076,290	(2)		807,524			1,243,973	(2)		2,303,957			19,005,661			26,553,160			221,723			951,599
	179,645			71,053			1,087,006			14,746			883,384			148,986			1,979,944	(3)		587
	8,670,982			12,284,978			14,175,534			18,916,667			25,701,510			23,113,614			2,000,814	(3)		1,545,784
	2,162,888			—			5,326,826			—			—			—			—			—
	12,089,805			13,163,555			21,833,339			21,235,370			45,590,555			49,815,760			4,202,481			2,497,970
	16,686	(2)		23,243			66,052	(2)		71,445			2,750,131			2,544,022			249,197			264,677
	4,523			324			15,277			39			7,446			3,970			15,702			54
	62,642			33,492			182,198			207,919			838,538			556,153			29,730			26,811
	83,851			57,059			263,527			279,403			3,596,115			3,104,145			294,629			291,542
	(449,187	)(2)		(1,732,485	)		(2,253,283	)(2)		(3,324,720	)		(42,913,006	)		(33,248,095	)		(1,775,161	)		(2,268,782	)
	(1,757,934	)		(3,492	)		(2,896,344	)		(829	)		(83,471	)		(193,161	)		(56,447	)		—
	(8,016,682	)		(6,234,376	)		(16,993,915	)		(22,453,676	)		(22,853,490	)		(21,551,776	)		(2,046,850	)		(1,743,421	)
	(2,162,888	)		—			(5,326,826	)		—			—			—			—			—
	(12,386,691	)		(7,970,353	)		(27,470,368	)		(25,779,225	)		(65,849,967	)		(54,993,032	)		(3,878,458	)		(4,012,203	)
	(213,035	)		5,250,261			(5,373,502	)		(4,264,452	)		(16,663,297	)		(2,073,127	)		618,652			(1,222,691	)

163

Notes to Financial Statements (continued)

	TCH Corporate Income Fund						TCH Core Plus Bond Fund						High Yield Bond Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	85,092,119		$	15,889,907		$	114,719,160		$	114,431,708		$	—		$	—
Advisor class of shares		1,376,817			65,129			1,956,570			1,140,601			2,426,855			36,554,073
Institutional/Premier class of shares		30,587,623			30,562,895			665,156,222			100,178,326			1,819,681			12,247,396
Net proceeds from sale of shares		117,056,559			46,517,931			781,831,952			215,750,635			4,246,536			48,801,469
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		3,445,037			3,841,197			12,537,390			16,828,416			—			—
Advisor class of shares		13,619			717			55,571			29,476			1,174,457			2,338,389
Institutional/Premier class of shares		1,601,967			1,973,523			13,350,242			12,741,064			847,200			1,254,834
Net proceeds from shares issued		5,060,623			5,815,437			25,943,203			29,598,956			2,021,657			3,593,223
Cost of shares redeemed:
Investor class of shares		(51,507,090	)		(78,466,864	)		(559,991,083	)		(245,175,384	)		—			—
Advisor class of shares		(94,009	)		(33,000	)		(118,015	)		(108,607	)		(74,352,589	)		(10,463,414	)
Institutional/Premier class of shares		(27,600,405	)		(71,657,028	)		(161,128,094	)		(143,422,101	)		(24,729,280	)		(9,588,767	)
Net cost of shares redeemed		(79,201,504	)		(150,156,892	)		(721,237,192	)		(388,706,092	)		(99,081,869	)		(20,052,181	)
Net change resulting from fund share transactions in dollars	$	42,915,678		$	(97,823,524	)	$	86,537,963		$	(143,356,501	)	$	(92,813,676	)	$	32,342,511
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		6,571,426			1,256,150			9,850,492			9,982,746			—			—
Advisor class of shares		105,997			5,514			167,833			100,260			256,453			3,920,938
Institutional/Premier class of shares		2,352,481			2,492,220			56,847,089			8,781,394			191,620			1,331,768
Net sale of shares		9,029,904			3,753,884			66,865,414			18,864,400			448,073			5,252,706
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		265,827			314,467			1,076,725			1,474,824			—			—
Advisor class of shares		1,039			60			4,763			2,571			123,996			254,964
Institutional/Premier class of shares		124,238			161,853			1,144,537			1,116,150			89,193			136,962
Net shares issued		391,104			476,380			2,226,025			2,593,545			213,189			391,926
Shares redeemed:
Investor class of shares		(3,968,342	)		(6,486,382	)		(47,799,589	)		(21,481,672	)		—			—
Advisor class of shares		(7,234	)		(2,542	)		(10,119	)		(9,517	)		(7,860,812	)		(1,141,300	)
Institutional/Premier class of shares		(2,134,030	)		(5,976,747	)		(13,875,014	)		(12,645,049	)		(2,615,394	)		(1,055,620	)
Net shares redeemed		(6,109,606	)		(12,465,671	)		(61,684,722	)		(34,136,238	)		(10,476,206	)		(2,196,920	)
Net change resulting from fund share transactions in shares		3,311,402			(8,235,407	)		7,406,717			(12,678,293	)		(9,814,944	)		3,447,712

(1) Reflects operations for the period from June 3, 2016 (inception date) to August 31, 2016.

164

BMO Funds

Government Money Market Fund						Tax-Free Money Market Fund						Prime Money Market Fund						Institutional Prime Money Market Fund
Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Period Ended August 31, 2016(1)
$	4,367,701,056		$	946,889,691		$	89,068,383		$	330,536,933		$	382,077,941		$	3,365,952,862		$	440,297		$	992,287
	—			—			—			—			—			—			—			—
	9,966,793,513			4,862,045,847			616,291,151			1,511,925,818			401,337,265			7,453,071,942			913,886,682			747,124,675
	14,334,494,569			5,808,935,538			705,359,534			1,842,462,751			783,415,206			10,819,024,804			914,326,979			748,116,962
	329,721			5,370			274,041			67,804			644,425			108,168			6,606			24
	—			—			—			—			—			—			—			—
	970,404			139,583			1,677			18,093			136,475			346,779			2,324			44
	1,300,125			144,953			275,718			85,897			780,900			454,947			8,930			68
	(3,822,205,017	)		(780,070,665	)		(103,397,551	)		(382,571,875	)		(1,084,487,321	)		(3,758,829,326	)		(17,918	)		—
	—			—			—			—			—			—			—			—
	(9,665,862,634	)		(3,362,020,784	)		(691,426,427	)		(1,713,044,044	)		(903,857,590	)		(9,361,055,877	)		(928,945,817	)		(331,906,646	)
	(13,488,067,651	)		(4,142,091,449	)		(794,823,978	)		(2,095,615,919	)		(1,988,344,911	)		(13,119,885,203	)		(928,963,735	)		(331,906,646	)
$	847,727,043		$	1,666,989,042		$	(89,188,726	)	$	(253,067,271	)	$	(1,204,148,805	)	$	(2,300,405,452	)	$	(14,627,826	)	$	416,210,384
	4,367,701,056			946,889,691			89,068,383			330,536,933			382,077,940			3,365,952,862			440,281			992,287
	—			—			—			—			—			—			—			—
	9,966,793,513			4,862,045,847			616,291,151			1,511,925,818			401,337,265			7,453,071,942			913,743,656			747,124,675
	14,334,494,569			5,808,935,538			705,359,534			1,842,462,751			783,415,205			10,819,024,804			914,183,937			748,116,962
	329,721			5,370			274,041			67,804			644,425			108,168			6,605			24
	—			—			—			—			—			—			—			—
	970,404			139,583			1,677			18,093			136,475			346,779			2,324			44
	1,300,125			144,953			275,718			85,897			780,900			454,947			8,929			68
	(3,822,205,017	)		(780,070,665	)		(103,397,551	)		(382,571,875	)		(1,084,487,321	)		(3,758,829,326	)		(17,916	)		—
	—			—			—			—			—			—			—			—
	(9,665,862,634	)		(3,362,020,784	)		(691,426,427	)		(1,713,044,044	)		(903,857,590	)		(9,361,055,877	)		(928,796,503	)		(331,906,646	)
	(13,488,067,651	)		(4,142,091,449	)		(794,823,978	)		(2,095,615,919	)		(1,988,344,911	)		(13,119,885,203	)		(928,814,419	)		(331,906,646	)
	847,727,043			1,666,989,042			(89,188,726	)		(253,067,271	)		(1,204,148,806	)		(2,300,405,452	)		(14,621,553	)		416,210,384

165

Notes to Financial Statements (continued)

6. Investment Adviser Fee and Other Transactions with Affiliates

Investment Advisory Fees—The Adviser receives for its services an investment adviser fee based on a percentage of each Fund’s average daily net assets (“ADNA”) as listed below.

	Fund’s ADNA
Fund	on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million
Low Volatility Equity Fund		0.500	%		0.490	%		0.450	%		0.400	%
Dividend Income Fund		0.500			0.490			0.450			0.400
Mid-Cap Value Fund		0.685			0.670			0.570			0.510
Mid-Cap Growth Fund		0.685			0.670			0.570			0.510
Small-Cap Value Fund		0.685			0.680			0.620			0.610
Small-Cap Growth Fund(1)		0.685			0.680			0.620			0.610
Global Low Volatility Equity Fund		0.650			0.640			0.600			0.550
Pyrford International Stock Fund		0.735			0.720			0.620			0.560
LGM Emerging Markets Equity Fund		0.900			0.890			0.850			0.800
	Fund’s ADNA
Fund	on the first $100 million			on the next $150 million			on the next $250 million			in excess of $500 million
TCH Emerging Markets Bond Fund		0.550	%		0.550	%		0.550	%		0.550	%
Ultra Short Tax-Free Fund		0.200			0.190			0.170			0.100
Short Tax-Free Fund		0.200			0.190			0.170			0.150
Short-Term Income Fund		0.200			0.190			0.170			0.100
Intermediate Tax-Free Fund		0.250			0.160			0.120			0.100
Strategic Income Fund		0.250			0.200			0.200			0.200
TCH Corporate Income Fund		0.200			0.190			0.150			0.100
TCH Core Plus Bond Fund		0.250			0.160			0.120			0.100
High Yield Bond Fund		0.500			0.500			0.500			0.500
	Fund’s ADNA
Fund	on the first $1 billion			on the next $1 billion			in excess of $2 billion
Large-Cap Value Fund		0.500	%		0.475	%		0.450	%
Large-Cap Growth Fund		0.500			0.475			0.450
Small-Cap Core Fund		0.650			0.625			0.600
Disciplined International Equity Fund		0.600			0.575			0.550
Alternative Strategies Fund(2)		1.500			1.475			1.450
Global Long/Short Equity Fund		1.000			0.975			0.950
	Fund’s ADNA
Fund	on the first $2 billion			on the next $2 billion			on the next $2 billion			on the next $2 billion			in excess of $8 billion
Government Money Market Fund		0.200	%		0.185	%		0.170	%		0.155	%		0.140	%
Tax-Free Money Market Fund		0.200			0.185			0.170			0.155			0.140
Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090
Institutional Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090

(1) Effective October 5, 2016 the investment adviser fees and breakpoint tiers were reduced for this BMO Fund. Prior to October 5, 2016, the fees charged based on the Fund’s ADNA were as follows: 0.95% on the first $500 million, 0.90% on the next $200 million, 0.90% on the next $100 million and 0.90% in excess of $800 million.

(2) Effective June 1, 2017 the investment adviser fees and breakpoint tiers were reduced for this BMO Fund. Prior to June 1, 2017, the fees charged based on the Fund’s ADNA were as follows: 1.700% on the first $1 billion, 1.675% on the next $1 billion and 1.650% in excess of $2 billion.

166

BMO Funds

The Pyrford International Stock Fund’s sub-adviser is Pyrford International Ltd., an affiliate of the Adviser. The LGM Emerging Markets Equity Fund’s sub-adviser is LGM Investments Limited, an affiliate of the Adviser. The TCH Emerging Markets Bond Fund, TCH Corporate Income Fund and TCH Core Plus Bond Fund’s sub-adviser is Taplin, Canida & Habacht, LLC, an affiliate of the Adviser. One of the sub-advisers of the Alternative Strategies Fund is CTC myCFO, LLC, an affiliate of the Adviser. The Adviser compensates each sub-adviser based on the level of average daily net assets of each respective Fund managed by each sub-adviser.

Contractual Expense Limitation—The Adviser has agreed to waive or reduce its investment advisory fee or reimburse expenses to the extent necessary to prevent class specific total annual operating expenses (excluding taxes, dividend and interest expense, brokerage commissions, other investment related costs, Acquired Fund Fees and Expenses and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the amounts for the periods set forth below. The Adviser may not terminate this arrangement prior to December 31, 2018, without the consent of the Directors, unless the investment advisory agreement is terminated. The Adviser may voluntarily choose to waive any portion of its fee beyond its contractual agreement. The Adviser can modify or terminate this voluntary waiver at any time at its sole discretion. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

	Annualized Contractual Expense Limitation
Fund	Investor Class			Advisor Class			Institutional Class			Premier Class			Retirement Class R-3			Retirement Class R-6			Class F-3
Low Volatility Equity Fund					0.90	%		0.65	%
Dividend Income Fund					0.90			0.65
Large-Cap Value Fund		1.00	%(1)		1.00			0.75									0.60	%
Large-Cap Growth Fund		1.00			1.00			0.75									0.60
Mid-Cap Value Fund		1.24	(1)		1.24			0.99						1.49	%		0.84
Mid-Cap Growth Fund		1.24	(1)		1.24	(4)		0.99						1.49			0.84
Small-Cap Value Fund					1.24			0.99						1.49			0.84
Small-Cap Core Fund					1.15			0.90
Small-Cap Growth Fund		1.24	(1)(2)		1.24	(5)		0.99	(2)
Global Low Volatility Equity Fund					1.10			0.85
Disciplined International Equity Fund					1.15			0.90
Pyrford International Stock Fund		1.19	(3)		1.19	(3)		0.94	(3)					1.44	(3)		0.79	(3)		0.79	%(5)
LGM Emerging Markets Equity Fund					1.40			1.15
TCH Emerging Markets Bond Fund					1.00			0.85
Alternative Strategies Fund					2.00	(4)		1.75	(4)
Global Long/Short Equity Fund					1.60			1.35
Ultra Short Tax-Free Fund		0.55	(1)		0.55			0.30
Short Tax-Free Fund		0.55	(1)		0.55			0.40
Short-Term Income Fund		0.60	(1)		0.60			0.35
Intermediate Tax-Free Fund		0.55			0.55			0.50
Strategic Income Fund		0.80			0.80			0.55
TCH Corporate Income Fund		0.59			0.59			0.55
TCH Core Plus Bond Fund		0.59			0.59			0.55
High Yield Bond Fund					0.90			0.65
Government Money Market Fund		0.45									0.20	%
Tax-Free Money Market Fund		0.45									0.20
Prime Money Market Fund		0.45									0.20
Institutional Prime Money Market Fund		0.45									0.20

(1) Effective through June 2, 2017 (termination of Investor class of shares).

(2) Effective October 5, 2016. Prior to October 5, 2016, the annual rates were 1.44% and 1.19%, respectively.

(3) Effective March 1, 2017. Prior to March 1, 2017, the annual rates were 1.24%, 1.24%, 0.99%, 1.49%, and 0.84%, respectively.

(4) Effective June 1, 2017. Prior to June 1, 2017, the annual rates were 2.20% and 1.95%, respectively.

(5) Class inception date is May 31, 2017.

For the year ended August 31, 2017, the Adviser chose to voluntarily waive beyond its contractual expense limitations for the Government Money Market Fund and the Prime Money Market Fund in the amounts of $264,781 and $5,970, respectively, to ensure shareholders earned at least 0.01% return on their investment. The Adviser also chose to voluntarily make a capital contribution to the Prime Money Market Fund in the amount of $264,566 with the implementation of the new money market fund rules during the period.

Shareholder Servicing Fees—Under the terms of a Shareholder Services Agreement with the Adviser, certain Funds pay the Adviser at the annual rate of 0.25% of average daily net assets of the Fund’s Investor Class shares for the period. The fee paid to the Adviser is used to finance certain services for shareholders and to maintain shareholder accounts.

Distribution Services Fees—Certain Funds are subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorizes payments by the Fund to finance activities intended to result in the sale of its Advisor Class and

167

Notes to Financial Statements (continued)

Retirement Class R-3 shares. The Plan provides that the Fund may incur distribution expenses of 0.25% and 0.50% of the average daily net assets of the Fund’s Advisor Class and Retirement Class R-3 shares, respectively.

Administration Fees—The fee paid to the Adviser is based on each Fund’s average daily net assets with respect to Administration Fee Schedule A and the aggregate average daily net assets of all Funds representing Administration Fee Schedule B as listed below.

Administration Fee Schedule A		Administration Fee Schedule B
Annual Rate		Annual Rate	ADNA
0.1500%		0.0400%	on the first $2 billion
		0.0300	on the next $2 billion
		0.0250	on the next $2 billion
		0.0200	on the next $2 billion
		0.0100	in excess of $8 billion
Fund		Fund
Low Volatility Equity Fund	TCH Emerging Markets Bond Fund	Government Money Market Fund
Dividend Income Fund	Alternative Strategies Fund	Tax-Free Money Market Fund
Large-Cap Value Fund(1)	Global Long/Short Equity Fund	Prime Money Market Fund
Large-Cap Growth Fund(1)	Ultra Short Tax-Free Fund	Institutional Prime Money Market Fund
Mid-Cap Value Fund(1)	Short Tax-Free Fund
Mid-Cap Growth Fund(1)	Short-Term Income Fund
Small-Cap Value Fund(1)	Intermediate Tax-Free Fund
Small-Cap Core Fund	Strategic Income Fund
Small-Cap Growth Fund	TCH Corporate Income Fund
Global Low Volatility Equity Fund	TCH Core Plus Bond Fund
Disciplined International Equity Fund	High Yield Bond Fund
Pyrford International Stock Fund(1)
LGM Emerging Markets Equity Fund

(1) For the year ended August 31, 2017, the Funds with class-specific Administration Fees were as follows:

Fund	Investor Class			Advisor Class		Institutional Class		Retirement Class R-3		Retirement Class R-6(a)		Class F-3(a)
Large-Cap Value Fund	$	202,218	(b)	$	24,511	$	261,072	$	—	$	—	$	—
Large-Cap Growth Fund		242,299			809		210,913		—		—		—
Mid-Cap Value Fund		162,955	(b)		30,420		117,741		35		—		—
Mid-Cap Growth Fund		97,972	(b)		17,753		60,116		32		—		—
Small-Cap Value Fund		—			57,415		40,934		156		—		—
Pyrford International Stock Fund		129,074			417		763,765		36		—		—

(a) Retirement Class R-6 and Class F-3 do not pay an Administrative Fee.

(b) Reflects operations for the period from September 1, 2016 to June 2, 2017 (termination of Investor Class Shares)

Custodian Fees—BMO Harris is the Funds’ custodian, except for the International Funds, for which State Street Bank & Trust Company maintains custody. BMO Harris receives fees consisting of 0.005% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO Harris, and 0.0025% on all assets in excess of $10 billion.

168

BMO Funds

Securities Lending—The Funds pay a fee to BMO Harris for its services as the securities lending agent. The securities lending income as shown in the Statements of Operations is net of these fees. The following amounts were paid for the year ended August 31, 2017:

Fund	Fees Paid
Low Volatility Equity Fund	$	36,124
Dividend Income Fund		27,923
Large-Cap Value Fund		72,303
Large-Cap Growth Fund		84,623
Mid-Cap Value Fund		49,788
Mid-Cap Growth Fund		28,555
Small-Cap Value Fund		19,349

Fund	Fees Paid
Small-Cap Core Fund	$	5,213
Small-Cap Growth Fund		130,092
Short-Term Income Fund		31,541
Strategic Income Fund		6,790
TCH Corporate Income Fund		25,492
TCH Core Plus Bond Fund		127,382

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in a BMO Fund. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior periods may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of August 31, 2017 and may include acquisitions of new investments, prior period holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of period-end.

Security/Fund Description	Value, Beginning of Period		Purchases			Sales Proceeds		Change in Unrealized Appreciation		Net Realized Gain (Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Cash Sweep Investments in BMO Government Money Market Fund, Premier Class, 0.870%
Ultra Short Tax-Free Fund	$	—	$	195,146,627		$	195,066,305	$	—	$	—		$	80,322	$	2,674	$	—
Short Tax-Free Fund		—		68,021,412			67,905,924		—		—			115,488		1,140		—
Intermediate Tax-Free Fund		—		219,410,213			219,330,430		—		—			79,783		3,140		—
Strategic Income Fund		4,706,289		45,001,736			49,708,025		—		—			—		6,502		—
Cash Sweep Investments in BMO Tax-Free Money Market Fund, Premier Class, 0.670%
Ultra Short Tax-Free Fund		568,942		20,011,105			20,580,047		—		—			—		3,541		—
Short Tax-Free Fund		504,804		4,391,807			4,896,611		—		—			—		577		—
Intermediate Tax-Free Fund		3,592,622		17,814,943			21,407,565		—		—			—		2,497		—
Cash Sweep Investments in BMO Institutional Prime Money Market Fund, Premier Class, 1.080%
Low Volatility Equity Fund		3,827,898		42,870,761			43,865,815		—		299			2,833,143		21,760		—
Dividend Income Fund		1,722,615		19,964,291			19,611,606		32		73			2,075,405		15,692		—
Large-Cap Value Fund		5,318,313		78,255,738			79,164,228		26		1,358			4,411,207		38,584		—
Large-Cap Growth Fund		5,069,310		90,979,481			91,507,452		50		1,391			4,542,780		43,549		—
Mid-Cap Value Fund		3,580,179		59,778,509			61,479,280		—		1,383			1,880,791		28,896		—
Mid-Cap Growth Fund		3,799,114		29,984,209			31,836,699		—		689			1,947,313		18,016		—
Small-Cap Value Fund		3,291,960		20,487,000			23,190,614		—		216			588,562		9,724		—
Small-Cap Core Fund		183,137		10,070,342			9,884,573		—		95			369,001		2,946		—
Small-Cap Growth Fund		14,167,565		112,821,039			125,429,642		—		1,531			1,560,493		24,748		—
Short-Term Income Fund		6,777,627		207,921,447			210,235,278		88		218			4,464,102		55,426		—
Strategic Income Fund		—		16,891,633	*		15,953,478		—		(126	)		938,029		4,565		—
TCH Corporate Income Fund		8,154,777		145,105,123			148,851,092		—		2,028			4,410,836		77,149		—
TCH Core Plus Bond Fund		29,910,619		494,822,451			478,175,410		892		1,503			46,560,055		268,202		—
High Yield Bond Fund		3,392,910		82,864,760			85,899,590		—		1,965			360,045		8,277		—
Investments in Other Affiliates
Fund/Security Description
Short Tax-Free Fund
Ultra Short Tax-Free Fund		856,408		8,860			—		864		—			866,132		8,118		896
Intermediate Tax-Free Fund
Ultra Short Tax-Free Fund		5,051,144		52,260			—		5,093		—			5,108,497		47,880		5,281

* Included in Purchases are $3,561,824 of BMO Institutional Prime Money Market Fund received as part of a non-taxable in-kind subscription merger, as of close of business June 29, 2017. See Note 11, Reorganization Information, in the Notes to Financial Statements for additional information.

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes, although the Money Market Funds cannot participate as borrowers. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of a Money Market Fund and (ii) more favorable

169

Notes to Financial Statements (continued)

to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. No interfund borrowing or lending balances existed as of August 31, 2017.

Funds utilizing the Interfund lending program, borrowing from either the BMO Government Money Market Fund or the BMO Prime Money Market Fund during the year ended August 31, 2017, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Low Volatility Equity Fund	$	52,885		1.013	%
Dividend Income Fund		55		0.895
Mid-Cap Value Fund		114		1.129
Mid-Cap Growth Fund		20,115		1.135
Small-Cap Core Fund		14,554		1.131
Small-Cap Growth Fund		361,198		0.962
Pyrford International Stock Fund		15,834		1.124

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Ultra Short Tax-Free Fund	$	60,839		1.126	%
Short Tax-Free Fund		8,643		1.025
Short-Term Income Fund		20,547		0.975
Intermediate Tax-Free Fund		87,379		1.114
TCH Corporate Income Fund		32,948		0.934
TCH Core Plus Bond Fund		139,772		0.964
High Yield Bond Fund		12,240		1.101

General—Certain of the Officers and Directors of the Corporation are also Officers and Directors/Trustees of one or more of the above companies, which are affiliates of the Corporation. None of the Fund Officers or interested Directors receives any compensation from the Funds.

7. Line of Credit

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with UMB Bank, n.a. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. The Tax-Free Money Market Fund utilized this LOC as borrower during the year ended August 31, 2017. No borrowings were outstanding under the LOC at August 31, 2017. For the year ended August 31, 2017, the average daily loan balance outstanding was $24,250 and the weighted average interest rate was 1.78%.

8. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the year ended August 31, 2017 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
Low Volatility Equity Fund	$	89,510,366	$	89,672,119	$	—	$	—
Dividend Income Fund		50,172,314		65,023,031		—		—
Large-Cap Value Fund		199,767,858		211,992,099		—		—
Large-Cap Growth Fund		265,386,390		226,004,260		—		—
Mid-Cap Value Fund		305,481,882		352,242,637		—		—
Mid-Cap Growth Fund		184,774,369		213,603,800		—		—
Small-Cap Value Fund		99,621,702		108,786,430		—		—
Small-Cap Core Fund		20,976,527		15,280,985		—		—
Small-Cap Growth Fund		410,457,331		622,666,055		—		—
Global Low Volatility Equity Fund		43,605,452		36,492,432		—		—
Disciplined International Equity Fund		48,825,365		53,542,510		—		—
Pyrford International Stock Fund		199,960,811		231,916,934		—		—
LGM Emerging Markets Equity Fund		67,298,841		56,523,328		—		—
TCH Emerging Markets Bond Fund		12,479,287		8,901,098		—		—
Alternative Strategies Fund		158,981,211		181,185,532		514,458		529,216
Global Long/Short Equity Fund		7,152,887		2,972,079		—		—
Ultra Short Tax-Free Fund		808,200,289		768,496,103		—		—
Short Tax-Free Fund		171,600,558		181,119,606		—		—
Short-Term Income Fund		99,394,099		126,414,877		32,591,174		51,886,180
Intermediate Tax-Free Fund		738,267,040		910,639,631		—		—
Strategic Income Fund		52,725,617		5,617,793		6,594,751		70,977,406
TCH Corporate Income Fund		133,821,161		86,807,281		11,110,967		15,089,817
TCH Core Plus Bond Fund		284,218,767		237,875,871		114,793,387		97,517,991
High Yield Bond Fund		20,154,649		109,549,741		—		—

170

BMO Funds

9. Federal Tax Information

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

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

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

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended August 31, 2017. Management of the Funds also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

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

Fund	Cost of Investments for Federal Tax Purposes			Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation for Federal Tax Purposes
Low Volatility Equity Fund	$	216,269,771		$	22,926,956	$	(4,270,777	)	$	18,656,179
Dividend Income Fund		145,874,005			24,659,017		(2,164,753	)		22,494,264
Large-Cap Value Fund		444,136,668			56,418,186		(5,108,007	)		51,310,179
Large-Cap Growth Fund		421,209,539			89,487,324		(3,111,850	)		86,375,474
Mid-Cap Value Fund		268,603,855			32,216,420		(5,236,730	)		26,979,690
Mid-Cap Growth Fund		151,092,854			18,660,410		(1,273,764	)		17,386,646
Small-Cap Value Fund		74,439,541			8,213,201		(3,103,389	)		5,109,812
Small-Cap Core Fund		26,811,577			3,212,100		(772,746	)		2,439,354
Small-Cap Growth Fund		165,000,886			18,610,025		(4,371,708	)		14,238,317
Global Low Volatility Equity Fund		44,387,020			6,902,085		(1,010,885	)		5,891,200
Disciplined International Equity Fund		66,129,208			11,872,269		(1,597,159	)		10,275,110
Pyrford International Stock Fund		587,273,973			84,782,560		(31,031,385	)		53,751,175
LGM Emerging Markets Equity Fund		124,802,998			41,673,216		(3,662,255	)		38,010,961
TCH Emerging Markets Bond Fund		12,254,902			491,534		(102,886	)		388,648
Alternative Strategies Fund		77,326,725			3,706,295		(2,055,736	)		1,650,559
Global Long/Short Equity Fund		9,094,948			1,585,300		(666,344	)		918,956
Ultra Short Tax-Free Fund		681,502,665			797,322		(189,299	)		608,023
Short Tax-Free Fund		173,577,339			1,722,829		(120,261	)		1,602,568
Short-Term Income Fund		290,399,850			1,624,133		(329,832	)		1,294,301
Intermediate Tax-Free Fund		1,538,757,506			73,539,670		(2,111,994	)		71,427,676
Strategic Income Fund		134,496,320			2,986,518		(798,144	)		2,188,374
TCH Corporate Income Fund		307,236,863			7,526,848		(1,307,268	)		6,219,580
TCH Core Plus Bond Fund		1,230,812,389			24,480,598		(4,760,429	)		19,720,169
High Yield Bond Fund		12,644,526			626,990		(137,027	)		489,963
Government Money Market Fund		3,434,744,948	*		—		—			—
Tax-Free Money Market Fund		319,482,969	*		—		—			—
Prime Money Market Fund		368,748,953	*		—		—			—
Institutional Prime Money Market Fund		401,896,079			45,548		(4,146	)		41,402

* at amortized cost

171

Notes to Financial Statements (continued)

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2017 and 2016 was as follows:

	2017						2016
Fund	Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains
Low Volatility Equity Fund	$	2,603,123	$	—	$	1,905,554	$	1,746,043	$	—	$	2,243,100
Dividend Income Fund		2,500,532		—		959,489		2,805,501		—		6,868,977
Large-Cap Value Fund		4,510,036		—		2,304,010		9,598,945		—		24,138,585
Large-Cap Growth Fund		1,825,514		—		15,369,764		6,033,858		—		26,944,126
Mid-Cap Value Fund		4,684,525		—		56,396,982		2,621,289		—		27,098,506
Mid-Cap Growth Fund		5,370,941		—		21,512,271		—		—		29,057,778
Small-Cap Value Fund		3,050,561		—		3,585,078		261,828		—		3,593,261
Small-Cap Core Fund		168,167		—		124,126		8,676		—		49,672
Small-Cap Growth Fund		—		—		—		—		—		40,427,824
Global Low Volatility Equity Fund		1,170,206		—		97,713		277,838		—		1,139
Disciplined International Equity Fund		1,676,485		—		—		—		—		—
Pyrford International Stock Fund		14,300,415		—		—		15,648,329		—		—
LGM Emerging Markets Equity Fund		957,823		—		—		1,456,762		—		—
TCH Emerging Markets Bond Fund		401,330		—		—		393,245		—		49,962
Alternative Strategies Fund		—		—		—		1,041,789		—		—
Global Long/Short Equity Fund		56,198		—		4,250		—		—		—
Ultra Short Tax-Free Fund		2,011		5,640,480		639,708		62,033		4,069,527		608,075
Short Tax-Free Fund		11,645		2,531,009		38,121		187,219		1,978,212		149,029
Short-Term Income Fund		4,432,458		—		—		4,248,538		—		—
Intermediate Tax-Free Fund		2,084,903		43,607,907		3,410,963		32,028		40,541,321		2,820,294
Strategic Income Fund		3,032,372		—		—		3,249,887		—		—
TCH Corporate Income Fund		7,493,830		—		569,448		8,488,508		—		991,224
TCH Core Plus Bond Fund		28,160,653		—		—		31,505,501		—		353,732
High Yield Bond Fund		2,221,025		—		—		3,905,456		—		—
Government Money Market Fund		13,191,339		—		3,237		733,949		—		—
Tax-Free Money Market Fund		20,120		1,920,845		86,463		50,489		708,010		186,054
Prime Money Market Fund		2,441,514		—		—		5,070,691		—		—
Institutional Prime Money Market Fund		3,084,589		—		—		386,189		—		—

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

As of August 31, 2017, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Tax-Exempt Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Foreign Currency, Futures Dividend Payable, and Other Adjustments			Unrealized Appreciation
Low Volatility Equity Fund	$	1,376,718	$	—	$	2,943,120	$	—		$	—		$	18,656,179
Dividend Income Fund		2,144,038		—		9,387,284		—			(1	)		22,494,264
Large-Cap Value Fund		6,866,525		—		17,916,622		—			—			51,310,179
Large-Cap Growth Fund		4,266,980		—		12,230,417		—			—			86,375,474
Mid-Cap Value Fund		4,757,592		—		4,586,401		—			—			26,979,690
Mid-Cap Growth Fund		2,766,026		—		1,735,936		—			—			17,386,646
Small-Cap Value Fund		2,621,737		—		1,725,333		—			—			5,109,812
Small-Cap Core Fund		413,700		—		478,174		—			(1	)		2,439,354
Small-Cap Growth Fund		—		—		14,124,958		(505,948	)		—			14,238,317
Global Low Volatility Equity Fund		1,177,231		—		325,785		(235,933	)		9,890			5,891,200
Disciplined International Equity Fund		1,077,069		—		—		(4,419,714	)		6,497			10,275,110
Pyrford International Stock Fund		14,755,088		—		—		(26,002,664	)		35,241			53,751,175
LGM Emerging Markets Equity Fund		1,245,074		—		—		(5,540,201	)		(20,806	)		38,010,961
TCH Emerging Markets Bond Fund		313,519		—		—		(338,540	)		(827	)		388,648
Alternative Strategies Fund		40,915		—		4,034,633		—			236,540			1,650,559
Global Long/Short Equity Fund		100,157		—		157,226		—			(38	)		918,956
Ultra Short Tax-Free Fund		94,095		323,121		110,243		—			(338,757	)		608,023
Short Tax-Free Fund		—		140,553		—		(235,122	)		(141,018	)		1,602,568
Short-Term Income Fund		169,236		—		—		(1,656,976	)		(148,910	)		1,294,301
Intermediate Tax-Free Fund		831,679		—		—		(11,528,180	)		(658,172	)		71,427,676

172

BMO Funds

Fund	Undistributed Ordinary Income		Undistributed Tax-Exempt Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Foreign Currency, Futures Dividend Payable, and Other Adjustments			Unrealized Appreciation
Strategic Income Fund	$	13,353	$	—	$	—	$	(4,009,823	)	$	(28,279	)	$	2,188,374
TCH Corporate Income Fund		526,739		—		—		(23,654	)		(225,152	)		6,219,580
TCH Core Plus Bond Fund		1,180,703		—		—		(2,554,919	)		(232,139	)		19,720,169
High Yield Bond Fund		894		—		—		(3,226,820	)		(10,281	)		489,963
Government Money Market Fund		1,937,003		—		900		—			(1,938,044	)		—
Tax-Free Money Market Fund		24,255		111,545		—		—			(135,746	)		—
Prime Money Market Fund		157,283		—		87		—			(181,345	)		—
Institutional Prime Money Market Fund		376,617		—		33		—			(360,165	)		41,402

At August 31, 2017, certain Funds had capital loss carryforwards, which may reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus will reduce the amount of distributions to shareholders that would otherwise be necessary to relieve the Funds of any liability for federal tax. Pursuant to the Code, such capital loss carryforward information is as follows:

	Utilized in 2017		Expired in 2017		Expiring in 2018		Not Subject to Expiration
Fund							ST		LT		Total
Disciplined International Equity Fund	$	—	$	—	$	—	$	3,616,441	$	803,273	$	4,419,714
Pyrford International Stock Fund		—		—		—		3,097,943		19,555,037		22,652,980
LGM Emerging Markets Equity Fund		—		—		—		—		5,540,201		5,540,201
TCH Emerging Markets Bond Fund		—		—		—		15,406		323,134		338,540
Short Tax-Free Fund		—		—		—		235,122		—		235,122
Short-Term Income Fund		—		—		—		444,399		1,212,577		1,656,976
Intermediate Tax-Free Fund		—		—		—		766,136		145,585		911,721
Strategic Income Fund		1,632,086		19,777,257		796,694		—		3,213,129		4,009,823
High Yield Bond Fund		—		—		—		1,098,121		2,128,699		3,226,820

As of August 31, 2017, the following Funds had post-October losses, which are deferred until fiscal year 2018 for tax purposes, of:

	Post-October Losses
Fund	Short-Term		Long-Term
Global Low Volatility Equity Fund	$	235,933	$	—
Pyrford International Stock Fund		—		3,349,684
Intermediate Tax-Free Fund		9,467,942		1,148,517
TCH Corporate Income Fund		—		23,654
TCH Core Plus Bond Fund		—		2,554,919

Net capital losses incurred after October 31, and within the taxable year, are deemed to arise on the first day of the Fund’s next taxable year.

As of August 31, 2017, the Small-Cap Growth Fund had qualified late-year ordinary losses of $487,076, which are deferred until fiscal year 2018 for tax purposes. Net late-year losses incurred after December 31, and within the taxable year, are deemed to arise on the first day of the Fund’s next taxable year.

173

Notes to Financial Statements (continued)

10. Shareholder Tax Information (Unaudited)

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2017, the percentages that qualify for the dividend received deduction available to corporate shareholders were as follows:

Low Volatility Equity Fund	87.01	%
Dividend Income Fund	80.03
Large-Cap Value Fund	68.93
Large-Cap Growth Fund	79.74
Mid-Cap Value Fund	41.12
Mid-Cap Growth Fund	9.35

Small-Cap Value Fund	33.01	%
Small-Cap Core Fund	43.98
Global Low Volatility Equity Fund	12.71
LGM Emerging Markets Equity Fund	16.20
Alternative Strategies Fund	100.00
Global Long/Short Equity Fund	37.83

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2017, the percentages that are designated as qualified dividend income were as follows:

Low Volatility Equity Fund	97.19	%
Dividend Income Fund	82.10
Large-Cap Value Fund	69.26
Large-Cap Growth Fund	80.31
Mid-Cap Value Fund	43.87
Mid-Cap Growth Fund	9.96
Small-Cap Value Fund	33.93

Small-Cap Core Fund	46.81	%
Global Low Volatility Equity Fund	48.22
Disciplined International Equity Fund	96.54
Pyrford International Stock Fund	71.12
LGM Emerging Markets Equity Fund	100.00
Alternative Strategies Fund	100.00
Global Long/Short Equity Fund	97.73

For Federal tax purposes, for the year ended August 31, 2017, the following Funds designate long-term capital gains, or the amounts determined to be necessary, of:

Low Volatility Equity Fund	$	1,905,554
Dividend Income Fund		9,387,284
Large-Cap Value Fund		2,304,010
Large-Cap Growth Fund		15,369,764
Mid-Cap Value Fund		56,396,982
Mid-Cap Growth Fund		21,512,271
Small-Cap Value Fund		3,585,078
Small-Cap Core Fund		124,126

Global Low Volatility Equity Fund	$	97,713
Global Long/Short Equity Fund		4,250
Ultra Short Tax-Free Fund		639,708
Short Tax-Free Fund		38,121
Intermediate Tax-Free Fund		3,407,707
TCH Corporate Income Fund		569,448
Government Money Market Fund		3,237
Tax-Free Money Market Fund		86,463

For Federal tax purposes, for the year ended August 31, 2017, the following Funds designate qualified short-term capital gains, or the amounts determined to be necessary, of:

Low Volatility Equity Fund	$	34,417
Large-Cap Value Fund		291,033
Mid-Cap Value Fund		3,570,947
Mid-Cap Growth Fund		5,370,941
Small-Cap Value Fund		3,585,078
Small-Cap Core Fund		122,232
Global Low Volatility Equity Fund		262,457
Global Long/Short Equity Fund		30,618

Short Tax-Free Fund	$	10,806
Intermediate Tax-Free Fund		1,908,255
TCH Core Plus Bond Fund		3,066,047
Government Money Market Fund		13,191,339
Tax-Free Money Market Fund		10,941
Prime Money Market Fund		1,277
Institutional Prime Money Market Fund		1,901

For Federal tax purposes, for the year ended August 31, 2017, the following Funds designate qualified tax-exempt dividends, or the amounts determined to be necessary, of:

Ultra Short Tax-Free Fund	$	7,583,649
Short Tax-Free Fund		3,282,561
Intermediate Tax-Free Fund		51,565,468
Tax-Free Money Market Fund		2,836,713

For the year ended August 31, 2017, Pursuant to Section 853 of the Code, the following Funds designate income derived from foreign sources and foreign taxes paid, or the amounts determined to be necessary, of:

Fund	Income Derived from Foreign Sources		Foreign Taxes Paid
Global Low Volatility Equity Fund	$	998,838	$	67,852
Disciplined International Equity Fund		2,086,967		106,581
Pyrford International Stock Fund		23,899,215		953,010
LGM Emerging Markets Equity Fund		3,262,283		281,058

174

BMO Funds

Of the ordinary income (including short-term capital gain) distributions made during the year ended August 31, 2017, the proportionate share of income derived from foreign sources and foreign taxes paid attributable to one share of stock are:

	Foreign Source Income		Foreign Taxes Paid
Global Low Volatility Equity Fund	$	0.2678	$	0.0182
Disciplined International Equity Fund		0.3226		0.0165
Pyrford International Stock Fund		0.4859		0.0194
LGM Emerging Markets Equity Fund		0.3209		0.0276

11. Reorganization Information

On February 8, 2017, the Directors considered and approved the proposed Agreement and Plan of Reorganization that provided for the reorganization of the BMO TCH Intermediate Income Fund into the BMO Strategic Income Fund (the “Reorganization”) as detailed below. On June 20, 2017, beneficial owners of the BMO TCH Intermediate Income Fund approved the proposed Reorganization. This tax-free reorganization was accomplished after the close of business on June 29, 2017 (the “Closing Date”), by exchanging the assets and liabilities of the BMO TCH Intermediate Income Fund for shares of the BMO Strategic Income Fund. Shareholders holding Advisor and Institutional Class shares of the BMO TCH Intermediate Income Fund (1,514,424 shares and 1,489,081 shares, respectively) received corresponding Advisor and Institutional Class shares of the BMO Strategic Income Fund (1,748,491 shares and 1,718,187 shares, respectively) in the Reorganization. The BMO TCH Intermediate Income Fund’s net assets at that date of $32,584,449 included the following:

Assets:
Investments cost	$	31,747,731
Net unrealized appreciation on investments		580,466
Deposit held at broker		100,000
Dividends & interest receivable		267,709
Total assets		32,695,906
Liabilities:
Payable to affiliates		16,595
Payable for income distribution		67,250
Other liabilities		27,612
Total liabilities		111,457
Total Net Assets:	$	32,584,449

The net assets of the BMO TCH Intermediate Income Fund and BMO Strategic Income Fund immediately prior to the Reorganization were $32,584,449 and $82,457,749, respectively. The aggregate net assets of the BMO Strategic Income Fund immediately after the Reorganization was $115,042,198.

The Reorganization was considered and approved primarily to streamline the BMO Funds portfolio offerings to be more consistent with industry practice. The Reorganization also was considered and approved because the potential exists to achieve economies of scale due to the combined larger asset base of the Funds, and the Funds have the same investment objectives and substantially similar policies, strategies, and restrictions. The BMO Strategic Income Fund is the accounting survivor for financial statement and performance reporting purposes.

Assuming the Reorganization had been completed on March 1, 2016, the beginning of a twelve month period of the BMO Strategic Income Fund, the BMO TCH Intermediate Income Fund’s pro forma of operations (unaudited) for the period ended February 28, 2017, are as follows:

Net investment income	$	4,057,835
Net realized gain on investments		54,565
Change in net unrealized appreciation on investments		2,733,039
Net increase in net assets resulting from operations	$	6,845,439

12. Recently Issued Accounting Pronouncement

In October 2016, the Securities and Exchange Commission released its Final Rules on Investment Company Reporting Modernization (the “Rules”). The Rules introduce new regulatory reporting forms for investment companies; Form N-PORT and Form N-CEN. The compliance date for Form N-PORT and Form N-CEN is June 1, 2018 and compliance should be based on the reporting period-end date.

13. Subsequent Events

Management of the Funds have evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that no subsequent events exist requiring recognition or disclosure in the financial statements.

175

Results of the Special Meetings of Shareholders (Unaudited)

The special meeting of the shareholders of the BMO TCH Intermediate Income Fund was held on June 20, 2017. The matters voted on by the shareholders of record as of April 13, 2017 and the results of the vote at the shareholder meetings held June 20, 2017 are as follows:

To approve an Agreement and Plan of Reorganization pursuant to which the BMO TCH Intermediate Income Fund (The “Acquired Fund”) will be reorganized with and into the BMO Strategic Income Fund, including approval of an amendment to the Articles of Incorporation of BMO Funds, Inc., to dissolve and terminate the Acquired Fund, and the transactions it contemplates.

	Affirmative		Against		Abstain
BMO TCH Intermediate Income Fund		4,809,294		12,504		10,364

The special meeting of the shareholders of seven investment portfolios of BMO Funds, Inc. was held on May 23, 2017. The matters voted on by the shareholders of record as of March 14, 2017 and the results of the vote at the shareholder meetings held May 23, 2017 are as follows:

To approve an amendment to the Articles of Incorporation, as amended, of BMO Funds, Inc. (The “Corporation”) to redesignate and convert the Class Y shares of each Fund into Class A shares of the Fund and to terminate the Class Y shares of the Funds, as described in a plan of redesignation and conversion.

	Affirmative		Against		Abstain
BMO Large-Cap Value Fund		10,752,014		12,719		16,308
BMO Mid-Cap Value Fund		7,698,521		83,109		77,007
BMO Mid-Cap Growth Fund		5,673,706		9,483		8,834
BMO Small-Cap Growth Fund		3,195,518		101,261		14,885
BMO Ultra Short Tax-Free Fund		2,234,612		21,114		9,303
BMO Short-Term Income Fund		3,330,551		45,068		47,437
BMO Short Tax-Free Fund		997,612		12,860		593

176

Report of Independent Registered Public Accounting Firm

The Board of Directors and Shareholders

BMO Funds, Inc.:

We have audited the accompanying statements of assets and liabilities of BMO Low Volatility Equity Fund, BMO Dividend Income Fund, BMO Large-Cap Value Fund, BMO Large-Cap Growth Fund, BMO Mid-Cap Value Fund, BMO Mid-Cap Growth Fund, BMO Small-Cap Value Fund, BMO Small-Cap Core Fund, BMO Small-Cap Growth Fund, BMO Global Low Volatility Equity Fund, BMO Disciplined International Equity Fund, BMO Pyrford International Stock Fund, BMO LGM Emerging Markets Equity Fund, BMO TCH Emerging Markets Bond Fund, BMO Alternative Strategies Fund, BMO Global Long/Short Equity Fund, BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, BMO Short-Term Income Fund, BMO Intermediate Tax-Free Fund, BMO Strategic Income Fund, BMO TCH Corporate Income Fund, BMO TCH Core Plus Bond Fund, BMO High Yield Bond Fund, BMO Government Money Market Fund, BMO Tax-Free Money Market Fund, BMO Prime Money Market Fund, and BMO Institutional Prime Money Market Fund (each a series of BMO Funds, Inc., collectively the Funds), including the schedules of investments, as of August 31, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2017, by correspondence with custodians and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of August 31, 2017, the results of their operations, the changes in their net assets, and the financial highlights for the periods specified in the first paragraph, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Milwaukee, Wisconsin

October 24, 2017

177

Directors and Officers of the Funds (Unaudited)

The following tables provide information about each Director and Officer of the Funds as of September 1, 2017. The address of each Director is c/o BMO Funds, 111 East Kilbourn Avenue, Suite 200, Milwaukee, Wisconsin 53202. There are currently 44 separate portfolios or funds in the BMO Funds complex, of which 43 are registered as BMO Funds, Inc. and one is registered as BMO LGM Frontier Markets Equity Fund with the Securities and Exchange Commission. The Funds’ Statement of Additional Information includes additional information about the Directors and is available, without charge and upon request, by calling 1-800-236-FUND (3863).

INDEPENDENT DIRECTORS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director
Ridge A. Braunschweig Age: 64	Independent Director	Since October 2009	President and Chief Executive Officer, CPL Industries, Inc. (a manufacturing holding company prior to May 2009 and a family office since May 2009), since January 2012; Executive Vice President and Chief Financial Officer, CPL Industries, Inc., from 2000 to 2012.	44	None
Benjamin M. Cutler Age: 72	Independent Director	Since July 2004	Chairman, USHEALTH Group, Inc. (a health insurance company), since 2004; CEO and President, USHEALTH Group, Inc., from 2004 to 2016; Director, Freedom from Hunger (a non-profit organization), since 2016.	44	None
John A. Lubs Age: 69	Independent Director	Since July 2004	Retired; formerly, Vice Chairman, Mason Companies, Inc. (a footwear distributor), from 2004 to 2010 and Chief Operating Officer, from 2003 to 2010.	44	None
Vincent P. Lyles Age: 56	Independent Director	Since September 2017	President and Chief Executive Officer, Boys & Girls Clubs of Greater Milwaukee, since 2012.	44	None
James Mitchell Age: 70	Independent Director	Since March 1999	Chairman, Ayrshire Precision Engineering (a precision machining company), since 1992; Chief Executive Officer, NOG, Inc. (a metal processing and consulting company), from 1999 to 2015.	44	None
Barbara J. Pope Age: 69	Independent Director	Since March 1999	Retired; formerly, President of Barbara J. Pope, P.C. (a financial consulting firm), 1992-2015; President of Sedgwick Street Fund LLC (a private investment partnership), 1996-2015; Tax Partner, Price Waterhouse.	44	None
* Each Director serves an indefinite term until he or she retires or otherwise resigns, is removed, dies, or until his or her successor is duly elected. Retirement for a Director occurs no later than August 31 following his or her 75th birthday.

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Directors and Officers of the Funds (Unaudited)  (continued)

INTERESTED DIRECTORS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director
John M. Blaser** Age: 60	Director and President	Since May 1999	Managing Director of the Adviser, since June 2012.	44	None
Christopher B. Begy** Age: 63	Director	Since August 2013	U.S. Country Head, CEO, and a Director of BMO Financial Corp., since August 2013; Chair, BMO Harris Bank N.A., since August 2013; Director of the Adviser, since August 2013; Chief Auditor of BMO Financial Group, from 2001 to 2013.	44	None
* Each Director serves an indefinite term until he or she retires or otherwise resigns, is removed, dies or until his or her successor is duly elected. Retirement for a Director occurs no later than August 31 following his or her 75th birthday.
** Mr. Blaser is an “interested person” of the Corporation (as defined in the 1940 Act) due to the positions that he holds with the Corporation, and the Adviser. Mr. Begy is an “interested person” of the Corporation due to the positions that he holds with the Adviser and BMO.

PRINCIPAL OFFICERS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
Timothy M. Bonin Age: 44	Vice President, Chief Financial Officer and Treasurer	Elected by the Board annually; since February 2006	Vice President of the Adviser, since February 2006.
Stephen R. Oliver Age: 66	Chief Compliance Officer and Anti-Money Laundering Compliance Officer	Elected by the Board annually; Chief Compliance Officer, since July 2008; and Anti-Money Laundering Officer, since January 2009	Vice President of BMO Harris Bank N.A., since March 2006, Vice President of BMO Investment Distributors, LLC (formerly M&I Distributors, LLC), 2007 to 2014.
Michael J. Murphy Age: 38	Secretary	Elected by the Board annually; since May 2016	Senior Counsel and Vice President of BMO Harris Bank N.A., since 2014; Associate, Vedder Price P.C., 2010 to 2014.

179

Shareholder Report Disclosure of Directors’ Approval of
Continuation of Contracts (Unaudited)

Approval of Continuation of Advisory and Subadvisory Agreements

During the reporting period, the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), approved the continuation of the following agreements, all for an additional year ending August 31, 2018: (1) the investment advisory agreement (the “Advisory Agreement”) between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of each portfolio of the Corporation (each, a “Fund” and collectively, the “Funds”); (2) an investment subadvisory agreement with each of the following subadvisers that are affiliates of the Adviser: (i) Taplin, Canida & Habacht, LLC on behalf of BMO TCH Emerging Markets Bond Fund, BMO TCH Corporate Income Fund and BMO TCH Core Plus Bond Fund; (ii) LGM Investments Limited on behalf of BMO LGM Emerging Markets Equity Fund; (iii) Pyrford International Ltd. on behalf of BMO Pyrford International Stock Fund; and (iv) CTC myCFO, LLC (“CTC”) on behalf of BMO Alternative Strategies Fund; and (3) an investment subadvisory agreement on behalf of BMO Alternative Strategies Fund with each of the following subadvisers that are not affiliated with the Adviser: (i) Capstone Investment Advisors, LLC; (ii) Cramer Rosenthal McGlynn, LLC; (iii) Graham Capital Management L.P.; (iv) Iridian Asset Management LLC; and (v) Sound Point Capital Management, L.P. The subadvisers listed above are referred to herein each as a “Subadviser” and collectively as the “Subadvisers.” The subadvisory agreements listed above are referred to herein each as a “Subadvisory Agreement” and collectively as the “Subadvisory Agreements.”

At Board meetings held on July 12, 2017 (“July Meeting”) and August 8-9, 2017 (“August Meeting”), the Board met with management of the Adviser regarding the annual approval of the continuation of the Funds’ Advisory and Subadvisory Agreements. In connection with its consideration of the Advisory and Subadvisory Agreements, the Board considered the information furnished and discussed throughout the year at regularly scheduled Board and Committee meetings, as applicable, and the information provided specifically in relation to the annual consideration of the approval of the Advisory Agreement and Subadvisory Agreements in response to requests of the Independent Directors and their independent legal counsel. Information furnished in connection with Board or Committee meetings throughout the year included, among other things, presentations given by the portfolio managers of the Funds on each Fund’s investment strategies, risks and performance, comparative performance of each Fund against its benchmark indices; reports regarding each Fund’s asset levels including sales and redemption activities; and various reports on the monitoring of the Funds’ compliance with the securities laws, regulations, policies and procedures. In preparation for the Board’s annual consideration of the approval of the Advisory and Subadvisory Agreements, the Directors requested and received a wide variety of information and reports concerning the Adviser (and its affiliates) and the Subadvisers, including information on: (1) the nature, extent and quality of services provided to each Fund by the Adviser (and its affiliates) and the Subadvisers, as applicable; (2) the investment performance of each Fund as compared to a group of comparable funds; (3) the level of the advisory and subadvisory fees charged to each Fund as compared to: (a) other clients of the Adviser and the Subadvisers and (b) a group of comparable funds; (4) the expense ratios of each Fund as compared to a group of comparable funds; (5) the profitability of the Adviser and, to the extent made available, profitability of the Subadvisers; and (6) the Adviser’s and each Subadviser’s compliance program. The Board also considered information related to potential “fall out” or ancillary benefits enjoyed by the Adviser (and its affiliates) and each Subadviser as a result of their relationships with the Funds. In addition to evaluating, among other things, the written information provided by the Adviser, the Board also considered the answers to questions posed by the Board to representatives of the Adviser at various meetings.

In evaluating the Advisory and Subadvisory Agreements, the Board members took into account their accumulated experience in working with the Adviser on matters related to the Funds. The Independent Directors also met separately in executive sessions with their independent legal counsel to review and consider the information provided regarding the Advisory Agreement and the Subadvisory Agreements.

Based on their review, the Independent Directors and the full Board concluded that it was in the best interests of each Fund to approve the continuation of each Advisory and Subadvisory Agreement, as applicable. Although the Advisory Agreement and Subadvisory Agreements for all of the Funds were considered at the same Board meeting, the Directors considered each Fund separately. In their deliberations, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

Nature, Extent and Quality of Services

In evaluating the nature, extent and quality of the services provided by the Adviser and each Subadviser to the Funds, the Board reviewed information describing the financial strength, experience, resources and key personnel of the Adviser and each Subadviser, including the personnel who provide investment management services to the Funds. With respect to the Adviser, the Board considered the administrative services that are provided to each Fund, as well as other services performed by the Adviser, including the selection and monitoring of the Subadvisers, as applicable; monitoring of the execution of portfolio transactions; monitoring adherence to the Funds’ investment restrictions; monitoring the Funds’ compliance with their compliance policies and procedures and with applicable securities laws and regulations; producing shareholder reports; providing support services for the Board and Board committees; communicating with shareholders; and overseeing the activities of other service providers. The Board also considered the Adviser’s experience in providing investment advisory services to funds and the differentiation of the advisory services provided by the management team versus the portfolio management services provided by the Subadvisers, as applicable. With respect to each Subadviser, the Board noted each Subadviser’s experience in managing the strategies of its respective Fund and each Subadviser’s

180

BMO Funds

compliance program as it relates to the Fund. The Board considered the other services provided by the Subadvisers under the Subadvisory Agreements, including selecting broker-dealers for execution of portfolio transactions; monitoring adherence to the Fund’s investment restrictions; and assisting with portfolio compliance with securities laws, regulations, policies and procedures. With respect to CTC, the Board noted CTC’s experience in the alternative strategies space, its Subadviser selection process and its responsibility for assisting the Adviser in the selection of the Subadvisers and related asset allocation.

Review of Fund Performance

The Board reviewed the investment performance of each of the Funds. While consideration was given to performance reports provided in connection with, and discussions held at, regular Board meetings throughout the year, particular attention was given to the performance reports provided specifically in connection with the July and August Meetings. In particular, the Directors noted the performance of each Fund relative to its Lipper Inc. (“Lipper”) peer universe. The Directors also considered updated performance information for each Fund relative to its benchmark and, if applicable, its Morningstar, Inc. (“Morningstar”) ratings.

With respect to each Fund’s performance as compared to its Lipper peer universe (“peer group”), the Board reviewed each Fund’s performance percentile rankings over the year-to-date and one-, three-, five- and ten-year trailing periods (if applicable) through May 31, 2017, as provided by the Adviser. The Board considered that each Fund ranked in one of the top two quartiles for performance as compared to its peer group in at least half of the periods reviewed, except for the following Funds: BMO Low Volatility Equity Fund, BMO Global Low Volatility Equity Fund, BMO Small-Cap Value Fund, BMO Small-Cap Growth Fund, BMO Mid-Cap Growth Fund, BMO Pyrford International Stock Fund, BMO TCH Emerging Markets Bond Fund, and BMO High Yield Bond Fund.

With respect to the BMO Low Volatility Equity Fund and the BMO Global Low Volatility Equity Fund, the Board considered that the Funds were rated five and four stars, respectively, by Morningstar and that each Fund’s three-year performance was in the first quartile of its peer groups, while its year-to-date and one-year performance were in the third and fourth quartiles, respectively. The Board noted the Adviser’s explanation for the recent underperformance of each Fund. In addition, the Board considered that, in the current market, the portfolio management team expected the low volatility strategy to underperform and that performance of each Fund was overall in-line with expectations given the market environment. The Board also considered the Adviser’s statement that each Fund’s low volatility strategy continues to effectively reduce risk and compare favorably to peers on realized risk metrics. With respect to the BMO Global Low Volatility Equity Fund, the Board also noted that the Adviser replaced one portfolio manager of the Fund in December 2016 with a member of the disciplined equity team.

With respect to the BMO Small-Cap Value Fund, the Board considered that Class A and Class R6 of the Fund were ranked three stars and Class I of the Fund was ranked four stars by Morningstar and that its five-year performance was in the first quartile of its peer group, while its year-to-date, one-year and three-year performance were in the fourth quartile. The Board noted that two members of the disciplined equity team took over management of the Fund in October 2016. The Board also considered the Adviser’s explanations for the Fund’s underperformance before and after the manager transition, and the Adviser’s statement that Fund performance has stabilized after the manager transition.

With respect to the BMO Small-Cap Growth Fund, the Board considered that its year-to-date performance was in the third quartile of its peer group, and its one-year, three-year and five-year performance were in the fourth quartile. The Board noted that two members of the disciplined equity team took over management of the Fund in October 2016. The Board also considered the Adviser’s explanations for the Fund’s underperformance before the manager transition, and the Adviser’s statement that Fund performance has stabilized after the manager transition.

With respect to the BMO Mid-Cap Growth Fund, the Board considered that its one-year performance was in the second quartile of its peer group, while its year-to-date performance was in the third quartile and its three-year and five-year performance were in the fourth quartile. With respect to year-to-date performance, the Fund’s rank was just below the majority of the funds in its peer group. The Board noted that two members of the disciplined equity team took over management of each Fund in October 2016. The Board noted the Adviser’s statement that the BMO Mid-Cap Growth Fund had fairly neutral performance prior to the manager transition, but had outperformed significantly following the manager transition.

With respect to the BMO Pyrford International Stock Fund, the Board considered that the Fund was ranked three stars by Morningstar (except for Class R6 of the Fund which was ranked four stars) and that its three-year performance was in the second quartile of its peer group, while its year-to-date and five-year performance were in the third quartile and its one-year performance was in the fourth quarter. The Board considered the information provided by the Adviser about the specific contributors to the Fund’s underperformance, despite positive country allocation, including the Fund’s positioning across sectors and geographic regions.

With respect to the BMO TCH Emerging Markets Bond Fund, the Board considered that the Fund was ranked three stars by Morningstar, while its one- and three-year performance was in the third quartile of its peer group and its year-to-date performance was in the fourth quartile. With respect to the Fund’s three-year performance, the Fund’s rank was only slightly below the majority of the funds in its peer group. The Board noted the Adviser’s statement that the Fund outperformed its benchmark for the one-year period. The Board also considered the information provided by the Adviser about the specific contributors to the Fund’s underperformance relative to its peer group.

With respect to the BMO High Yield Bond Fund, the Board considered that Class A shares of the Fund were ranked three stars by Morningstar, and that its year-to-date and one-, three- and five-year performance were in the third quartile of its peer

181

Shareholder Report Disclosure of Directors’ Approval of
Continuation of Contracts (Unaudited) (continued)

group. The Board noted that three new portfolio managers took over management of the Fund in March 2017. The Board also considered the Adviser’s explanations that a significant decline in assets during the manager transition affected the repositioning, and that the Adviser expects that the investment approach of the new portfolio management team will position the Fund to be more competitive with the peer group.

The Board determined that it was generally satisfied with each Fund’s performance and would continue to monitor each Fund’s performance results.

Costs of Services Provided and Profits Realized by the Adviser and Subadvisers

The Board considered the fees payable by each Fund under the Advisory Agreement and each Subadvisory Agreement. The Board first reviewed the management fees charged to comparable accounts managed by the Adviser and the Subadvisers of each Fund, if any, taking into consideration differences in style, size and services provided to such other accounts. The Board noted that, in some cases, the fees for certain accounts or average fees for certain investment strategies were lower than the fees charged to certain Funds with similar investment strategies. The Board considered the Adviser’s explanation that registered investment companies generally require additional advisory and administrative services than other clients due to the enhanced regulatory structure and legal requirements with which investment companies must comply. With respect to the Subadvisers, the Board also considered the affiliation of each Subadviser (if any) with the Adviser.

The Board next reviewed information provided by the Adviser comparing each Fund’s contractual advisory fee to the median fee of its Morningstar peer category (“Morningstar peers”) or Strategic Insight’s Simfund peer category (“Simfund peers”). In addition, the Board reviewed information provided by the Adviser comparing each Fund’s net expense ratio to the median net expense ratio of the comparable Lipper peer group (“Lipper peers”). With respect to the Subadvisers, the Board considered the fees payable under the Subadvisory Agreements, noting that the fees would be paid by the Adviser (not the Fund).

The Board considered that substantially all of the Funds’ contractual advisory fees were lower than or within a few basis points of their Morningstar or Simfund peers. The Board noted that the contractual advisory fees for certain classes of the BMO Large Cap Growth, BMO Large Cap Value and BMO Small Cap Value Funds were in the third quartile of their respective Morningstar peers, but that the net expense ratio for the BMO Large-Cap Value and BMO Large-Cap Growth Funds were below their Lipper peers. The Board considered that the net expense ratio for the BMO Small-Cap Value Fund was within a few basis points of the average net expense ratio of its comparable Lipper peer group. With respect to the BMO Alternative Strategies Fund, the Board considered that, although its contractual investment advisory fees were higher (worse) than its Morningstar peers, its net expense ratio was below its Lipper peers. The Board also considered that the Adviser has agreed to contractual expense limitations for the Funds (the “Expense Limitations”), and that the net expense ratios for the Funds take into account the effect of the Expense Limitations. The Board noted that the Adviser had lowered expense caps during the period for the BMO Small-Cap Growth and BMO Alternative Strategies Funds.

The Board considered the methodology used by the Adviser and each Subadviser in determining compensation payable to its portfolio managers and the competitive environment for investment management talent. The Board also considered the financial condition of the Adviser and certain of its affiliates and each Subadviser, and particularly focused on the financial strength of the ultimate parent company of the Adviser, and the parent company’s commitment, financial and otherwise, to the global asset management business and the Funds.

The Board reviewed profitability information it received from the Adviser in connection with the services provided to each Fund and the Corporation as a whole. The materials provided in this regard showed, and the Directors acknowledged, that the Adviser experienced positive net margins with respect to certain Funds and did not experience positive net margins with respect to other Funds. The Board also reviewed and considered profitability information it received from each Subadviser, if provided, in connection with the services provided to each Fund.

Economies of Scale

The Board considered the extent to which economies of scale would be realized as the Funds grow and whether the Funds’ fee levels reflect these economies of scale for the benefit of Fund shareholders. The Board considered each Fund’s fee structure, asset size and net expense ratio giving effect to each Fund’s Expense Limitation. The Board also considered the Adviser’s commitment to continue to evaluate advisory fee breakpoints in the future.

Other Benefits to the Adviser and Subadvisers

The Board considered benefits that accrue to the Adviser and its affiliates from their relationships with the Funds, including revenue in the form of administration fees, custody fees, shareholder service fees and securities lending revenue. In addition, the Board considered information relating to any soft dollar arrangements in connection with equity security brokerage transactions for the Funds and/or other clients. The Board noted that, other than the services provided by the Adviser and Subadvisers pursuant to the Advisory and Subadvisory Agreements and the related fees to be paid by each Fund, the Adviser and Subadvisers may potentially benefit from their relationship with each other in other ways. The Board also considered that the success of any Fund could attract other business to the Adviser and that the success of the Adviser could enhance the Adviser’s ability to serve the Funds.

182

BMO Funds

The Board concluded that, taking into account all of the information reviewed, each Fund’s advisory and subadvisory fee was reasonable.

Overall Conclusions

Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory and Subadvisory Agreements are fair and reasonable and that the approval of the continuation of the Advisory Agreement and each Subadvisory Agreement is in the best interests of each applicable Fund.

183

NOTES

184

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

Proxy Voting

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

Each Fund’s proxy voting record for the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the SEC’s website at http://www.sec.gov.

Disclosure of Portfolio Holdings

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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

PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1793

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

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

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

© 2017 BMO Financial Corp. (9/17)

BMO Funds August 31, 2017

Annual report

Target Retirement Funds

Target Risk Funds

Table of Contents

Commentaries
Target Retirement Funds Commentary	2
BMO In-Retirement Fund	3	BMO Target Retirement 2035 Fund	5
BMO Target Retirement 2015 Fund	3	BMO Target Retirement 2040 Fund	6
BMO Target Retirement 2020 Fund	4	BMO Target Retirement 2045 Fund	6
BMO Target Retirement 2025 Fund	4	BMO Target Retirement 2050 Fund	7
BMO Target Retirement 2030 Fund	5	BMO Target Retirement 2055 Fund	7
Target Risk Funds Commentary	8	BMO Balanced Allocation Fund	10
BMO Conservative Allocation Fund	9	BMO Growth Allocation Fund	10
BMO Moderate Allocation Fund	9	BMO Aggressive Allocation Fund	11
Financial Information
Expense Example			12
Schedules of Investments:
BMO In-Retirement Fund	15
BMO Target Retirement 2015 Fund	15	BMO Target Retirement 2050 Fund	21
BMO Target Retirement 2020 Fund	16	BMO Target Retirement 2055 Fund	21
BMO Target Retirement 2025 Fund	17	BMO Conservative Allocation Fund	22
BMO Target Retirement 2030 Fund	18	BMO Moderate Allocation Fund	23
BMO Target Retirement 2035 Fund	18	BMO Balanced Allocation Fund	23
BMO Target Retirement 2040 Fund	19	BMO Growth Allocation Fund	24
BMO Target Retirement 2045 Fund	20	BMO Aggressive Allocation Fund	25
Notes to Schedules of Investments			26
Statements of Assets and Liabilities			27
Statements of Operations			30
Statements of Changes in Net Assets			33
Financial Highlights			38
Notes to Financial Statements			45
Report of Independent Registered Public Accounting Firm			63
Directors and Officers of the Funds (Unaudited)			64
Shareholder Report Disclosure of Directors’ Approval of Continuation of Contracts (Unaudited)			66

Not FDIC Insured No Bank Guarantee May Lose Value

Annual Report — Commentary BMO Target Retirement Funds

Fund Managers; Investment Experience

Jon Adams, CFA; since 2002

Mike Dowdall, CFA; since 2007

Irina Pacheco, CFA; since 2003

Fiscal year 2017 saw the tentative re-emergence of the reflation trade. Synchronized global growth, rising corporate earnings and higher inflation expectations led to higher treasury yields, a narrowing of corporate bond spreads and strong equity returns. The reflation trade reversed in the summer due in part to declining U.S. policy expectations, but volatility in equity markets remained low and returns high. Emerging market equities were the winner, returning 25.0% as low rates, a weak dollar and receding fears of a Chinese slowdown providing a positive backdrop. The Standard & Poor’s 500^® Index (S&P 500) returned 16.2%, with all sectors of the S&P 500 positive with the exception of Energy. International developed equities returned 18.3%, benefitting from an improving European and Japanese economy. Major populist political risks receded in Europe after the election of new French President Emmanuel Macron and the lack of negative short-term consequences from Brexit. The risk-on theme translated into the fixed income market where the Bloomberg Barclays High Yield Index’s return of 8.6% easily outpaced the Bloomberg Barclays U.S. Aggregate Bond Index’s return of 0.5%.

The BMO Target Retirement Funds performance was strong, with all 10 funds outperforming their Morningstar peer group median. The return range was 6.5% for the BMO In-Retirement Fund — Investor Class to 14.7% for the BMO Target Date 2050 Fund — Investor Class. This was reflective of the disparity between stocks and bonds during the one year period, with stocks outperforming bonds.

Fixed income managers had mixed results for the year. BMO TCH Core Plus Bond and Metropolitan West Total Return Bond outperformed their core bond benchmark due to the managers’ positive tilt towards credit. BMO TCH Emerging Markets Bond performed in line with its benchmark. Corporate high yield funds BMO High Yield Bond, Federated High Yield and Fidelity Floating Rate all underperformed their benchmarks mainly due to their bias towards higher quality bonds. The alternatives allocation added value during the year as BMO Alternative Strategies outperformed the Bloomberg Barclays U.S. Aggregate Bond Index’s return.

Domestic equity strategies performed in line with benchmark. Small-cap managers struggled, as Goldman Sachs Small Cap Value and BMO Small-Cap Growth were notable underperformers. Large- and mid-cap managers outperformed benchmarks with T. Rowe Price Growth Stock, BMO Large-Cap Value and Harbor Capital Appreciation performing exceptionally well. BMO Low Volatility Equity was unable to keep pace with the benchmark due to the lower risk of its holdings.

International equity fund performance was mixed, with managers detracting more than contributing to fund performance. Dodge & Cox International added the most value, while BMO Disciplined International Equity and DFA International Small Company slightly outperformed their benchmark as well. MFS International Value and Harbor International were the main laggards. On the emerging markets side, BMO LGM Emerging Markets Equity underperformed the benchmark.

Whereas political risk closed the period quietly, both home and abroad, we did see an uptick in risk around central bank policy. A recent downturn in U.S. inflation has made the Federal Reserve’s job more difficult, as they decide whether to continue hiking rates into the end of 2017 despite few signs of an overheating economy. The European Central Bank faces a similar quandary: should it normalize policy even though inflation remains below its target level. Global economic growth has proved resilient but remains vulnerable to any potential policy misstep.

We currently favor U.S. large cap equities and international developed equities with a commensurate underweight to core bonds. We believe the recent global growth momentum should buoy corporate earnings, a positive for our equity holdings. However, additional policy uncertainty tempers our view and prevents us from becoming too bullish on the equity markets.

2

Annual Report BMO Target Retirement Funds

BMO In-Retirement Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
	1-year		Since inception
								Gross		Net
Investor Class (Y)		6.52		5.39	BTRYX	09658L125	8/30/2013		1.88		0.96
Retirement Class (R-3)		6.39		5.15	BTRRX	09658L141	8/30/2013		2.13		1.21
Retirement Class (R-6)		7.04		5.83	BTRTX	09658L133	8/30/2013		1.48		0.56
Standard & Poor’s Target Date 2010 Index		6.36		5.71
Lipper Mixed-Asset Target 2010 Funds Index		7.10		5.53
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						18.1
					Mid-Cap Funds						3.1
					Small-Cap Funds						1.2
					International Funds						11.4
					Fixed Income Funds						54.9
					Alternative Funds						10.0
					Other Assets & Liabilities, Net						1.3
					Total						100.0
BMO Target Retirement 2015 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
			Since inception
	1-year							Gross		Net
Investor Class (Y)		8.33		5.14	BRTAX	09658V750	12/27/2013		4.74		1.00
Retirement Class (R-3)		8.07		4.90	BRTCX	09658V735	12/27/2013		4.99		1.25
Retirement Class (R-6)		8.80		5.60	BRTDX	09658V727	12/27/2013		4.34		0.60
Standard & Poor’s Target Date 2015 Index		7.65		5.23
Lipper Mixed-Asset Target 2015 Funds Index		7.76		4.86
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						24.4
					Mid-Cap Funds						4.8
					Small-Cap Funds						2.0
					International Funds						15.9
					Fixed Income Funds						42.3
					Alternative Funds						9.5
					Other Assets & Liabilities, Net						1.1
					Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2017.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2016, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2018 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s Target Date Indices are designed to measure the performance of an asset allocation strategy that meets the objectives of investors with an approximate corresponding retirement date horizon.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

3

Annual Report BMO Target Retirement Funds

BMO Target Retirement 2020 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
	1-year		Since inception
								Gross		Net
Investor Class (Y)		10.17		7.03	BTRDX	09658V404	8/30/2013		1.33		1.03
Retirement Class (R-3)		9.87		6.78	BTRFX	09658V206	8/30/2013		1.58		1.28
Retirement Class (R-6)		10.66		7.47	BTRGX	09658V305	8/30/2013		0.93		0.63
Standard & Poor’s Target Date 2020 Index		8.89		7.21
Lipper Mixed-Asset Target 2020 Funds Index		8.62		6.55
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						30.1
					Mid-Cap Funds						6.9
					Small-Cap Funds						2.6
					International Funds						20.3
					Fixed Income Funds						30.0
					Alternative Funds						9.0
					Other Assets & Liabilities, Net						1.1
					Total						100.0
BMO Target Retirement 2025 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
			Since inception
	1-year							Gross		Net
Investor Class (Y)		11.76		5.97	BRTEX	09658V719	12/27/2013		1.71		1.03
Retirement Class (R-3)		11.66		5.76	BRTGX	09658V685	12/27/2013		1.96		1.28
Retirement Class (R-6)		12.20		6.39	BRTHX	09658V677	12/27/2013		1.31		0.63
Standard & Poor’s Target Date 2025 Index		10.15		6.02
Lipper Mixed-Asset Target 2025 Funds Index		10.29		5.77
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						32.4
					Mid-Cap Funds						9.0
					Small-Cap Funds						3.8
					International Funds						23.3
					Fixed Income Funds						21.7
					Alternative Funds						8.0
					Other Assets & Liabilities, Net						1.8
					Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2017.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2016, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2018 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s Target Date Indices are designed to measure the performance of an asset allocation strategy that meets the objectives of investors with an approximate corresponding retirement date horizon.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

4

Annual Report BMO Target Retirement Funds

BMO Target Retirement 2030 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
	1-year		Since inception
								Gross		Net
Investor Class (Y)		12.89		8.15	BTRHX	09658V800	8/30/2013		1.33		1.09
Retirement Class (R-3)		12.70		7.90	BTRKX	09658V602	8/30/2013		1.58		1.34
Retirement Class (R-6)		13.38		8.59	BTRLX	09658V701	8/30/2013		0.93		0.69
Standard & Poor’s Target Date 2030 Index		11.26		8.28
Lipper Mixed-Asset Target 2030 Funds Index		12.19		8.10
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						36.4
					Mid-Cap Funds						10.3
					Small-Cap Funds						4.2
					International Funds						26.0
					Fixed Income Funds						14.3
					Alternative Funds						7.5
					Other Assets & Liabilities, Net						1.3
					Total						100.0
BMO Target Retirement 2035 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
			Since inception
	1-year							Gross		Net
Investor Class (Y)		13.85		6.17	BRTIX	09658V669	12/27/2013		1.71		1.06
Retirement Class (R-3)		13.59		5.88	BRTKX	09658V644	12/27/2013		1.96		1.31
Retirement Class (R-6)		14.31		6.58	BRTLX	09658V636	12/27/2013		1.31		0.66
Standard & Poor’s Target Date 2035 Index		12.38		6.70
Lipper Mixed-Asset Target 2035 Funds Index		13.91		6.75
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						39.7
					Mid-Cap Funds						11.1
					Small-Cap Funds						4.6
					International Funds						28.6
					Fixed Income Funds						8.4
					Alternative Funds						6.5
					Other Assets & Liabilities, Net						1.1
					Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2017.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2016, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2018 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s Target Date Indices are designed to measure the performance of an asset allocation strategy that meets the objectives of investors with an approximate corresponding retirement date horizon.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

5

Annual Report BMO Target Retirement Funds

BMO Target Retirement 2040 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
	1-year		Since inception
								Gross		Net
Investor Class (Y)		14.59		8.80	BTRMX	09658V859	8/30/2013		1.43		1.08
Retirement Class (R-3)		14.17		8.51	BTRPX	09658V875	8/30/2013		1.68		1.33
Retirement Class (R-6)		14.98		9.24	BTRQX	09658V867	8/30/2013		1.03		0.68
Standard & Poor’s Target Date 2040 Index		13.17		9.12
Lipper Mixed-Asset Target 2040 Funds Index		14.51		8.86
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						41.7
					Mid-Cap Funds						11.7
					Small-Cap Funds						4.8
					International Funds						29.7
					Fixed Income Funds						4.9
					Alternative Funds						6.0
					Other Assets & Liabilities, Net						1.2
					Total						100.0
BMO Target Retirement 2045 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
			Since inception
	1-year							Gross		Net
Investor Class (Y)		14.58		6.80	BRTMX	09658V453	12/27/2013		2.22		1.05
Retirement Class (R-3)		14.35		6.54	BRTPX	09658V610	12/27/2013		2.47		1.30
Retirement Class (R-6)		15.08		7.22	BRTQX	09658V594	12/27/2013		1.82		0.65
Standard & Poor’s Target Date 2045 Index		13.80		7.09
Lipper Mixed-Asset Target 2045 Funds Index		15.11		7.07
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						42.1
					Mid-Cap Funds						11.7
					Small-Cap Funds						5.0
					International Funds						30.0
					Fixed Income Funds						4.9
					Alternative Funds						5.0
					Other Assets & Liabilities, Net						1.3
					Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2017.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2016, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2018 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s Target Date Indices are designed to measure the performance of an asset allocation strategy that meets the objectives of investors with an approximate corresponding retirement date horizon.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

6

Annual Report BMO Target Retirement Funds

BMO Target Retirement 2050 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
	1-year		Since inception
								Gross		Net
Investor Class (Y)		14.67		8.88	BTRUX	09658V818	8/30/2013		1.58		1.08
Retirement Class (R-3)		14.38		8.60	BTRWX	09658V834	8/30/2013		1.83		1.33
Retirement Class (R-6)		15.09		9.31	BTRZX	09658V826	8/30/2013		1.18		0.68
Russell 3000® Index		16.06		12.65
Lipper Mixed-Asset Target 2050+ Funds Index		15.22		8.80
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						42.0
					Mid-Cap Funds						11.7
					Small-Cap Funds						5.0
					International Funds						30.0
					Fixed Income Funds						4.9
					Alternative Funds						5.0
					Other Assets & Liabilities, Net						1.4
					Total						100.0
BMO Target Retirement 2055 Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
			Since inception
	1-year							Gross		Net
Investor Class (Y)		14.39		6.80	BRTRX	09658V586	12/27/2013		4.03		1.07
Retirement Class (R-3)		14.22		6.55	BRTTX	09658V560	12/27/2013		4.28		1.32
Retirement Class (R-6)		14.93		7.23	BRTUX	09658V552	12/27/2013		3.63		0.67
Russell 3000® Index		16.06		10.07
Lipper Mixed-Asset Target 2055+ Funds Index		15.73		7.21
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						41.9
					Mid-Cap Funds						11.7
					Small-Cap Funds						5.0
					International Funds						29.9
					Fixed Income Funds						4.9
					Alternative Funds						4.9
					Other Assets & Liabilities, Net						1.7
					Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2017.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2016, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2018 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Russell 3000^® Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

7

Annual Report — Commentary BMO Target Risk Funds

Fund Managers; Investment Experience

Jon Adams, CFA; since 2002

Mike Dowdall, CFA; since 2007

Irina Pacheco, CFA; since 2003

Fiscal year 2017 saw the tentative re-emergence of the reflation trade. Synchronized global growth, rising corporate earnings and higher inflation expectations led to higher treasury yields, a narrowing of corporate bond spreads and strong equity returns. The reflation trade reversed in the summer due in part to declining U.S. policy expectations, but volatility in equity markets remained low and returns high. Emerging market equities were the winner, returning 25.0% as low rates, a weak dollar and receding fears of a Chinese slowdown providing a positive backdrop. The Standard & Poor’s 500^® (S&P 500) returned 16.2%, with all sectors of the S&P 500 positive with the exception of Energy. International developed equities returned 18.3%, benefitting from an improving European and Japanese economy. Major populist political risks receded in Europe after the election of new French President Emmanuel Macron and the lack of negative short-term consequences from Brexit. The risk-on theme translated into the fixed income market where the Bloomberg Barclays High Yield Index’s return of 8.6% easily outpaced the Bloomberg Barclays U.S. Aggregate Bond Index’s return of 0.5%.

The BMO Target Risk Funds all outperformed their peer group medians for the one-year period. The return range was 5.1% for the Conservative Allocation Fund — Institutional Class to 15.8% for the Aggressive Allocation Fund — Institutional Class. The disparity in relative performance was reflective of the divergence between stocks and bonds during the year, with stocks outperforming core bonds.

Fixed income managers had mixed results for the year. BMO TCH Core Plus Bond and Metropolitan West Total Return Bond outperformed their core bond benchmark due to the managers’ positive tilt towards credit. BMO TCH Emerging Markets Bond performed in line with its benchmark. The alternatives allocation added value during the year as BMO Alternative Strategies outperformed the Bloomberg Barclays U.S. Aggregate Bond Index’s return.

Domestic equity strategies performed in line with their benchmark. Small-cap managers struggled, as Goldman Sachs Small-Cap Value and BMO Small-Cap Growth were notable underperformers. Large- and mid-cap managers outperformed benchmarks with T. Rowe Price Growth Stock, BMO Large-Cap Value and Harbor Capital Appreciation performing exceptionally well. BMO Low Volatility Equity was unable to keep pace with the benchmark due to the lower risk of its holdings.

International equity fund performance was mixed, with managers detracting more than contributing to fund performance. Dodge and Cox International added the most value, while BMO Disciplined International Equity and DFA International Small Company slightly outperformed their benchmark as well. MFS International and Harbor International were the main laggards. On the emerging markets side, BMO LGM Emerging Markets Equity underperformed the benchmark.

Whereas political risk closed the period quietly, both home and abroad, we did see an uptick in risk around central bank policy. A recent downturn in U.S. inflation has made the Federal Reserve’s job more difficult, as they decide whether to continue hiking rates into the end of 2017 despite few signs of an overheating economy. The European Central Bank faces a similar quandary: should it normalize policy even though inflation remains below its target level. Global economic growth has proved resilient but remains vulnerable to any potential policy misstep.

Our portfolios are positioned slightly positive risk with overweights in U.S. large cap equities and international developed equities and a commensurate underweight to core bonds. We believe the recent global growth momentum should buoy corporate earnings, a positive for our equity holdings. However, additional policy uncertainty tempers our view and prevents us from taking additional risk within the portfolios.

8

Annual Report BMO Target Risk Funds

BMO Conservative Allocation Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
	1-year		Since inception
								Gross		Net
Investor Class (Y)		4.83		2.99	BDVYX	09658L299	5/30/2014		1.25		1.02
Institutional Class (I)		5.07		3.23	BDVIX	09658L331	5/30/2014		1.00		0.77
Retirement Class (R-3)		4.52		2.74	BDVRX	09658L323	5/30/2014		1.50		1.27
Retirement Class (R-6)		5.22		3.39	BDVSX	09658L315	5/30/2014		0.85		0.62
Bloomberg Barclays U.S. Aggregate Bond Index		0.49		2.72
Lipper Mixed-Asset Target Allocation Conservative Funds Index		5.71		3.37
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						11.5
					Mid-Cap Funds						1.7
					Small-Cap Funds						1.1
					International Funds						5.7
					Fixed Income Funds						63.7
					Alternative Funds						15.0
					Other Assets & Liabilities, Net						1.3
					Total						100.0
BMO Moderate Allocation Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
			Since inception
	1-year							Gross		Net
Investor Class (Y)		7.59		3.88	BMBYX	09658L166	5/30/2014		1.28		1.02
Institutional Class (I)		7.82		4.14	BMBHX	09658L190	5/30/2014		1.03		0.77
Retirement Class (R-3)		7.37		3.64	BMBQX	09658L182	5/30/2014		1.53		1.27
Retirement Class (R-6)		8.02		4.31	BMBTX	09658L174	5/30/2014		0.88		0.62
Bloomberg Barclays U.S. Aggregate Bond Index		0.49		2.72
Lipper Mixed-Asset Target Allocation Moderate Funds Index		9.49		4.93
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						23.3
					Mid-Cap Funds						3.4
					Small-Cap Funds						2.1
					International Funds						11.3
					Fixed Income Funds						46.8
					Alternative Funds						12.0
					Other Assets & Liabilities, Net						1.1
					Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2017.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2016, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2018 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage pass-through securities, asset-backed securities and commercial mortgage-based securities.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

9

Annual Report BMO Target Risk Funds

BMO Balanced Allocation Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
	1-year		Since inception
								Gross		Net
Investor Class (Y)		10.33		4.73	BGRYX	09658L216	5/30/2014		1.22		1.08
Institutional Class (I)		10.67		5.01	BGRHX	09658L240	5/30/2014		0.97		0.83
Retirement Class (R-3)		10.11		4.47	BGRRX	09658L232	5/30/2014		1.47		1.33
Retirement Class (R-6)		10.73		5.14	BGRQX	09658L224	5/30/2014		0.82		0.68
Standard & Poor’s 500 Index		16.23		10.30
Lipper Mixed-Asset Target Allocation Growth Funds Index		12.07		6.24
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						34.6
					Mid-Cap Funds						5.0
					Small-Cap Funds						3.2
					International Funds						17.1
					Fixed Income Funds						28.8
					Alternative Funds						10.0
					Other Assets & Liabilities, Net						1.3
					Total						100.0
BMO Growth Allocation Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
			Since inception
	1-year							Gross		Net
Investor Class (Y)		13.27		5.58	BABYX	09658L380	5/30/2014		1.34		1.08
Institutional Class (I)		13.51		5.82	BABHX	09658L422	5/30/2014		1.09		0.83
Retirement Class (R-3)		12.96		5.30	BABRX	09658L414	5/30/2014		1.59		1.33
Retirement Class (R-6)		13.69		5.99	BABQX	09658L398	5/30/2014		0.94		0.68
Standard & Poor’s 500 Index		16.23		10.30
Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index		14.73		6.22
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						46.4
					Mid-Cap Funds						6.7
					Small-Cap Funds						4.3
					International Funds						22.7
					Fixed Income Funds						10.9
					Alternative Funds						8.0
					Other Assets & Liabilities, Net						1.0
					Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2017.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2016, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2018 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s 500 Index is an unmanaged index of large-cap common stocks.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

10

Annual Report BMO Target Risk Funds

BMO Aggressive Allocation Fund
Average annual total returns (%)					Ticker	Cusip	Inception date	Expenses (%)*
	1-year		Since inception
								Gross		Net
Investor Class (Y)		15.60		6.41	BDSYX	09658L257	5/30/2014		1.20		1.01
Institutional Class (I)		15.79		6.66	BDSHX	09658L281	5/30/2014		0.95		0.76
Retirement Class (R-3)		15.24		6.14	BDSRX	09658L273	5/30/2014		1.45		1.26
Retirement Class (R-6)		16.00		6.83	BDSQX	09658L265	5/30/2014		0.80		0.61
Standard & Poor’s 500 Index		16.23		10.30
Lipper Multi-Cap Core Funds Index		14.49		8.22
Growth of an assumed $10,000 investment					Portfolio sector allocation**
					Sector					Fund (%)
					Large-Cap Funds						56.1
					Mid-Cap Funds						8.2
					Small-Cap Funds						5.2
					International Funds						27.6
					Alternative Funds						2.0
					Other Assets & Liabilities, Net						0.9
					Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2017.

The performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original costs. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. To receive current performance to the most recent month-end, please call 1-800-236-3863 or visit www.bmofunds.com.

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2016, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2018 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s 500 Index is an unmanaged index of large-cap common stocks.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

11

Expense Example (Unaudited)

For the Six Months Ended August 31, 2017

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended August 31, 2017 (3/1/17-8/31/17).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Investor
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)
In-Retirement Fund
Actual	$	1,000.00	$	1,037.60		0.33	%	$	1.69
Hypothetical (5% return before expenses)		1,000.00		1,023.34		0.33			1.68
2015 Fund
Actual		1,000.00		1,045.20		0.33			1.73
Hypothetical (5% return before expenses)		1,000.00		1,023.34		0.33			1.68
2020 Fund
Actual		1,000.00		1,053.10		0.33			1.71
Hypothetical (5% return before expenses)		1,000.00		1,023.34		0.33			1.68
2025 Fund
Actual		1,000.00		1,061.20		0.33			1.71
Hypothetical (5% return before expenses)		1,000.00		1,023.34		0.33			1.68
2030 Fund
Actual		1,000.00		1,066.50		0.37			1.93
Hypothetical (5% return before expenses)		1,000.00		1,023.14		0.37			1.89
2035 Fund
Actual		1,000.00		1,070.40		0.37			1.94
Hypothetical (5% return before expenses)		1,000.00		1,023.14		0.37			1.89
2040 Fund
Actual		1,000.00		1,073.40		0.36			1.88
Hypothetical (5% return before expenses)		1,000.00		1,023.19		0.36			1.84
2045 Fund
Actual		1,000.00		1,073.80		0.36			1.89
Hypothetical (5% return before expenses)		1,000.00		1,023.19		0.36			1.84
2050 Fund
Actual		1,000.00		1,074.40		0.36			1.88
Hypothetical (5% return before expenses)		1,000.00		1,023.19		0.36			1.84
2055 Fund
Actual		1,000.00		1,072.10		0.36			1.90
Hypothetical (5% return before expenses)		1,000.00		1,023.19		0.36			1.84

12

Expense Example (Unaudited) (continued)

	Investor									Institutional
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)
Conservative Allocation Fund
Actual	$	1,000.00	$	1,031.90		0.33	%	$	1.69	$	1,000.00	$	1,033.00		0.08	%	$	0.41
Hypothetical (5% return before expenses)		1,000.00		1,023.34		0.33			1.68		1,000.00		1,024.60		0.08			0.41
Moderate Allocation Fund
Actual		1,000.00		1,040.20		0.30			1.55		1,000.00		1,041.30		0.05			0.26
Hypothetical (5% return before expenses)		1,000.00		1,023.49		0.30			1.53		1,000.00		1,024.75		0.05			0.26
Balanced Allocation Fund
Actual		1,000.00		1,050.10		0.33			1.70		1,000.00		1,051.10		0.08			0.42
Hypothetical (5% return before expenses)		1,000.00		1,023.34		0.33			1.68		1,000.00		1,024.60		0.08			0.41
Growth Allocation Fund
Actual		1,000.00		1,059.00		0.30			1.56		1,000.00		1,060.10		0.05			0.26
Hypothetical (5% return before expenses)		1,000.00		1,023.49		0.30			1.53		1,000.00		1,024.75		0.05			0.26
Aggressive Allocation Fund
Actual		1,000.00		1,067.20		0.33			1.72		1,000.00		1,068.40		0.08			0.42
Hypothetical (5% return before expenses)		1,000.00		1,023.34		0.33			1.68		1,000.00		1,024.60		0.08			0.41

(1) Expenses are equal to the Funds’ annualized expense ratios for the period March 1, 2017 through August 31, 2017, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17			Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)
In-Retirement Fund
Actual	$	1,000.00	$	1,036.30		0.58	%	$	3.00	$	1,000.00	$	1,039.80			0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.08		0.58			2.96		1,000.00		1,025.00			0.00			0.00
2015 Fund
Actual		1,000.00		1,044.40		0.58			3.01		1,000.00		1,046.90			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.08		0.58			2.96		1,000.00		1,025.00			0.00			0.00
2020 Fund
Actual		1,000.00		1,051.90		0.58			3.01		1,000.00		1,055.10			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.08		0.58			2.96		1,000.00		1,025.00			0.00			0.00
2025 Fund
Actual		1,000.00		1,061.50		0.58			3.04		1,000.00		1,062.80			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.08		0.58			2.96		1,000.00		1,025.00	��		0.00			0.00
2030 Fund
Actual		1,000.00		1,065.50		0.62			3.23		1,000.00		1,068.30			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.88		0.62			3.16		1,000.00		1,025.00			0.00			0.00
2035 Fund
Actual		1,000.00		1,068.90		0.62			3.26		1,000.00		1,072.90			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.88		0.62			3.16		1,000.00		1,025.00			0.00			0.00
2040 Fund
Actual		1,000.00		1,071.30		0.61			3.19		1,000.00		1,076.20			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.93		0.61			3.11		1,000.00		1,025.00			0.00			0.00
2045 Fund
Actual		1,000.00		1,072.30		0.61			3.21		1,000.00		1,075.30			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.93		0.61			3.11		1,000.00		1,025.00			0.00			0.00
2050 Fund
Actual		1,000.00		1,073.50		0.61			3.19		1,000.00		1,076.20			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.93		0.61			3.11		1,000.00		1,025.00			0.00			0.00
2055 Fund
Actual		1,000.00		1,071.60		0.61			3.21		1,000.00		1,074.50			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.93		0.61			3.11		1,000.00		1,025.00			0.00			0.00
Conservative Allocation Fund
Actual		1,000.00		1,030.90		0.58			2.97		1,000.00		1,033.00			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.08		0.58			2.96		1,000.00		1,025.00			0.00			0.00
Moderate Allocation Fund
Actual		1,000.00		1,040.20		0.55			2.83		1,000.00		1,043.40			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.23		0.55			2.80		1,000.00		1,025.00			0.00			0.00
Balanced Allocation Fund
Actual		1,000.00		1,047.80		0.58			3.00		1,000.00		1,051.10			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.08		0.58			2.96		1,000.00		1,025.00			0.00			0.00
Growth Allocation Fund
Actual		1,000.00		1,056.90		0.55			2.85		1,000.00		1,061.10			0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.23		0.55			2.80		1,000.00		1,025.00			0.00			0.00

13

Expense Example (Unaudited) (continued)

	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)		Beginning account value 3/1/17		Ending account value 8/31/17		Annualized Expense Ratio(1)			Expenses paid during period 3/1/17- 8/31/17(1)
Aggressive Allocation Fund
Actual	$	1,000.00	$	1,066.20		0.58	%	$	3.02	$	1,000.00	$	1,069.40		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.08		0.58			2.96		1,000.00		1,025.00		0.00			0.00

(1) Expenses are equal to the Funds’ annualized expense ratios for the period March 1, 2017 through August 31, 2017, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

14

As of August 31, 2017

Schedules of Investments BMO Funds

In-Retirement Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 18.1%
BMO Dividend Income Fund — Institutional Class (1)		19,675	$	284,696
BMO Large-Cap Growth Fund — Institutional Class (1)		10,344		182,061
BMO Large-Cap Value Fund — Institutional Class (1)		26,503		420,871
BMO Low Volatility Equity Fund — Institutional Class (1)		27,921		402,614
Harbor Capital Appreciation Fund — Institutional Class		2,550		182,648
T Rowe Price Growth Stock Fund — Institutional Class		2,710		181,694
Vanguard Equity Income Fund — Institutional Class		4,717		344,276
Vanguard Institutional Index Fund — Institutional Class		3,130		707,407
Total Large-Cap Funds				2,706,267
Mid-Cap Funds — 3.1%
BMO Mid-Cap Growth Fund — Institutional Class (1)		4,924		75,778
BMO Mid-Cap Value Fund — Institutional Class (1)		15,122		179,801
Vanguard Mid-Cap Index Fund — Institutional Class		5,328		210,313
Total Mid-Cap Funds				465,892
Small-Cap Funds — 1.2%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		2,402		45,640
Goldman Sachs Small Cap Value Fund — Institutional Class		2,230		135,527
Total Small-Cap Funds				181,167
International Funds — 11.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		26,673		298,473
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		14,861		237,323
BMO Pyrford International Stock Fund — Institutional Class (1)		30,416		401,797
DFA International Small Company Portfolio — Institutional Class		2,161		44,936
Dodge & Cox International Stock Fund — Retail Class		4,593		207,251
Harbor International Fund — Institutional Class		3,044		208,786
MFS International Value Fund — Institutional Class		7,247		313,870
Total International Funds				1,712,436
Fixed Income Funds — 54.9%
BMO High Yield Bond Fund — Institutional Class (1)		28,057		268,504
BMO TCH Core Plus Bond Fund — Institutional Class (1)		235,190		2,770,542
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		43,311		448,273
Federated Institutional High-Yield Bond Fund — Institutional Class		42,824		432,089
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		46,324		445,640
Metropolitan West Total Return Bond Fund — Institutional Class		258,007		2,773,578

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		31,805	$	790,027
Vanguard Short-Term Investment Grade Fund — Institutional Class		27,769		297,681
Total Fixed Income Funds				8,226,334
Alternative Funds — 10.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		96,829		1,046,726
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		91,604		453,438
Total Alternative Funds				1,500,164
Total Mutual Funds (identified cost $12,444,312)				14,792,260
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		144,462		144,477
Total Short-Term Investments (identified cost $144,477)				144,477
Total Investments — 99.7% (identified cost $12,588,789)				14,936,737
Other Assets and Liabilities — 0.3%				43,066
Total Net Assets — 100.0%			$	14,979,803

2015 Fund

Description	Shares		Value
Mutual Funds — 98.9%
Large-Cap Funds — 24.4%
BMO Dividend Income Fund — Institutional Class (1)		5,142	$	74,412
BMO Large-Cap Growth Fund — Institutional Class (1)		4,506		79,310
BMO Large-Cap Value Fund — Institutional Class (1)		9,401		149,289
BMO Low Volatility Equity Fund — Institutional Class (1)		9,730		140,307
Harbor Capital Appreciation Fund — Institutional Class		1,111		79,565
T Rowe Price Growth Stock Fund — Institutional Class		1,180		79,150
Vanguard Equity Income Fund — Institutional Class		1,447		105,634
Vanguard Institutional Index Fund — Institutional Class		1,097		247,841
Total Large-Cap Funds				955,508
Mid-Cap Funds — 4.8%
BMO Mid-Cap Growth Fund — Institutional Class (1)		1,802		27,729
BMO Mid-Cap Value Fund — Institutional Class (1)		6,258		74,407
Vanguard Mid-Cap Index Fund — Institutional Class		2,189		86,380
Total Mid-Cap Funds				188,516

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

15

As of August 31, 2017

Schedules of Investments

2015 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds — 2.0%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		1,256	$	23,860
Goldman Sachs Small Cap Value Fund — Institutional Class		842		51,165
Total Small-Cap Funds				75,025
International Funds — 15.9%
BMO Disciplined International Equity Fund — Institutional Class (1)		9,412		105,317
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		5,826		93,045
BMO Pyrford International Stock Fund — Institutional Class (1)		10,305		136,135
DFA International Small Company Portfolio — Institutional Class		753		15,660
Dodge & Cox International Stock Fund — Retail Class		1,801		81,256
Harbor International Fund — Institutional Class		1,364		93,551
MFS International Value Fund — Institutional Class		2,255		97,662
Total International Funds				622,626
Fixed Income Funds — 42.3%
BMO High Yield Bond Fund — Institutional Class (1)		5,296		50,685
BMO TCH Core Plus Bond Fund — Institutional Class (1)		49,244		580,093
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		9,434		97,638
Federated Institutional High-Yield Bond Fund — Institutional Class		8,877		89,570
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		9,686		93,182
Metropolitan West Total Return Bond Fund — Institutional Class		54,021		580,728
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		6,587		163,633
Total Fixed Income Funds				1,655,529
Alternative Funds — 9.5%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		24,224		261,859
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		22,346		110,613
Total Alternative Funds				372,472
Total Mutual Funds (identified cost $3,554,268)				3,869,676
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		39,794		39,798
Total Short-Term Investments (identified cost $39,798)				39,798
Total Investments — 99.9% (identified cost $3,594,066)				3,909,474
Other Assets and Liabilities — 0.1%				5,219
Total Net Assets — 100.0%			$	3,914,693

2020 Fund

Description	Shares		Value
Mutual Funds — 98.9%
Large-Cap Funds — 30.1%
BMO Dividend Income Fund — Institutional Class (1)		100,483	$	1,453,988
BMO Large-Cap Growth Fund — Institutional Class (1)		120,259		2,116,554
BMO Large-Cap Value Fund — Institutional Class (1)		223,647		3,551,516
BMO Low Volatility Equity Fund — Institutional Class (1)		233,330		3,364,618
Harbor Capital Appreciation Fund — Institutional Class		29,542		2,116,418
T Rowe Price Growth Stock Fund — Institutional Class		31,490		2,111,430
Vanguard Equity Income Fund — Institutional Class		30,953		2,259,254
Vanguard Institutional Index Fund — Institutional Class		32,242		7,286,661
Total Large-Cap Funds				24,260,439
Mid-Cap Funds — 6.9%
BMO Mid-Cap Growth Fund — Institutional Class (1)		95,839		1,474,968
BMO Mid-Cap Value Fund — Institutional Class (1)		163,649		1,945,785
Vanguard Mid-Cap Index Fund — Institutional Class		55,518		2,191,304
Total Mid-Cap Funds				5,612,057
Small-Cap Funds — 2.6%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		42,477		807,054
Goldman Sachs Small Cap Value Fund — Institutional Class		21,270		1,292,794
Total Small-Cap Funds				2,099,848
International Funds — 20.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		231,976		2,595,810
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		170,641		2,725,130
BMO Pyrford International Stock Fund — Institutional Class (1)		273,885		3,618,021
DFA International Small Company Portfolio — Institutional Class		19,704		409,644
Dodge & Cox International Stock Fund — Retail Class		48,023		2,166,775
Harbor International Fund — Institutional Class		34,120		2,340,641
MFS International Value Fund — Institutional Class		57,679		2,498,059
Total International Funds				16,354,080
Fixed Income Funds — 30.0%
BMO High Yield Bond Fund — Institutional Class (1)		76,179		729,037
BMO TCH Core Plus Bond Fund — Institutional Class (1)		725,441		8,545,697
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		116,254		1,203,232
Federated Institutional High-Yield Bond Fund — Institutional Class		136,314		1,375,403
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		150,464		1,447,465
Metropolitan West Total Return Bond Fund — Institutional Class		787,777		8,468,606

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

16

BMO Funds

2020 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		96,361	$	2,393,607
Total Fixed Income Funds				24,163,047
Alternative Funds — 9.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		469,966		5,080,327
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		442,177		2,188,778
Total Alternative Funds				7,269,105
Total Mutual Funds (identified cost $60,281,207)				79,758,576
Short-Term Investments — 0.9%
Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		720,783		720,855
Total Short-Term Investments (identified cost $720,855)				720,855
Total Investments — 99.8% (identified cost $61,002,062)				80,479,431
Other Assets and Liabilities — 0.2%				167,953
Total Net Assets — 100.0%			$	80,647,384

2025 Fund

Description	Shares		Value
Mutual Funds — 98.2%
Large-Cap Funds — 32.4%
BMO Dividend Income Fund — Institutional Class (1)		19,173	$	277,430
BMO Large-Cap Growth Fund — Institutional Class (1)		31,689		557,727
BMO Large-Cap Value Fund — Institutional Class (1)		64,569		1,025,354
BMO Low Volatility Equity Fund — Institutional Class (1)		45,910		662,025
Harbor Capital Appreciation Fund — Institutional Class		12,280		879,762
T Rowe Price Growth Stock Fund — Institutional Class		13,109		878,928
Vanguard Equity Income Fund — Institutional Class		5,270		384,647
Vanguard Institutional Index Fund — Institutional Class		10,221		2,310,050
Total Large-Cap Funds				6,975,923
Mid-Cap Funds — 9.0%
BMO Mid-Cap Growth Fund — Institutional Class (1)		39,076		601,374
BMO Mid-Cap Value Fund — Institutional Class (1)		52,134		619,875
Vanguard Mid-Cap Index Fund — Institutional Class		18,451		728,247
Total Mid-Cap Funds				1,949,496

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds — 3.8%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		20,309	$	385,873
Goldman Sachs Small Cap Value Fund — Institutional Class		7,055		428,807
Total Small-Cap Funds				814,680
International Funds — 23.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		51,864		580,360
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		58,631		936,330
BMO Pyrford International Stock Fund — Institutional Class (1)		77,976		1,030,062
DFA International Small Company Portfolio — Institutional Class		7,237		150,447
Dodge & Cox International Stock Fund — Retail Class		18,002		812,248
Harbor International Fund — Institutional Class		13,133		900,901
MFS International Value Fund — Institutional Class		14,355		621,726
Total International Funds				5,032,074
Fixed Income Funds — 21.7%
BMO High Yield Bond Fund — Institutional Class (1)		15,588		149,180
BMO TCH Core Plus Bond Fund — Institutional Class (1)		139,130		1,638,946
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		22,646		234,389
Federated Institutional High-Yield Bond Fund — Institutional Class		27,455		277,018
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		30,950		297,738
Metropolitan West Total Return Bond Fund — Institutional Class		152,614		1,640,599
Vanguard Short-Term Inflation- Protected Securities Index Fund — Institutional Class		18,001		447,145
Total Fixed Income Funds				4,685,015
Alternative Funds — 8.0%
BMO Alternative Strategies Fund —Institutional Class (1)(2)		110,579		1,195,363
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		105,008		519,787
Total Alternative Funds				1,715,150
Total Mutual Funds (identified cost $18,910,381)				21,172,338
Short-Term Investments — 1.2%
Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		246,876		246,901
Total Short-Term Investments (identified cost $246,901)				246,901
Total Investments — 99.4% (identified cost $19,157,282)				21,419,239
Other Assets and Liabilities — 0.6%				136,429
Total Net Assets — 100.0%			$	21,555,668

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

17

As of August 31, 2017

Schedules of Investments

2030 Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 36.4%
BMO Dividend Income Fund — Institutional Class (1)		89,862	$	1,300,301
BMO Large-Cap Growth Fund — Institutional Class (1)		142,998		2,516,757
BMO Large-Cap Value Fund — Institutional Class (1)		321,004		5,097,536
BMO Low Volatility Equity Fund — Institutional Class (1)		222,309		3,205,702
Harbor Capital Appreciation Fund — Institutional Class		60,387		4,326,147
T Rowe Price Growth Stock Fund — Institutional Class		64,145		4,300,936
Vanguard Equity Income Fund — Institutional Class		26,640		1,944,460
Vanguard Institutional Index Fund — Institutional Class		49,268		11,134,501
Total Large-Cap Funds				33,826,340
Mid-Cap Funds — 10.3%
BMO Mid-Cap Growth Fund — Institutional Class (1)		195,636		3,010,833
BMO Mid-Cap Value Fund — Institutional Class (1)		249,923		2,971,588
Vanguard Mid-Cap Index Fund — Institutional Class		89,574		3,535,504
Total Mid-Cap Funds				9,517,925
Small-Cap Funds — 4.2%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		103,345		1,963,556
Goldman Sachs Small Cap Value Fund — Institutional Class		32,395		1,968,941
Total Small-Cap Funds				3,932,497
International Funds — 26.0%
BMO Disciplined International Equity Fund — Institutional Class (1)		240,319		2,689,172
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		281,126		4,489,577
BMO Pyrford International Stock Fund — Institutional Class (1)		376,213		4,969,772
DFA International Small Company Portfolio — Institutional Class		40,236		836,514
Dodge & Cox International Stock Fund — Retail Class		87,428		3,944,733
Harbor International Fund — Institutional Class		63,214		4,336,473
MFS International Value Fund — Institutional Class		65,933		2,855,580
Total International Funds				24,121,821
Fixed Income Funds — 14.3%
BMO High Yield Bond Fund — Institutional Class (1)		47,970		459,077
BMO TCH Core Plus Bond Fund — Institutional Class (1)		395,260		4,656,159
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		62,316		644,966
Federated Institutional High-Yield Bond Fund — Institutional Class		72,632		732,860
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		94,747		911,461
Metropolitan West Total Return Bond Fund — Institutional Class		433,276		4,657,721

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		47,916	$	1,190,245
Total Fixed Income Funds				13,252,489
Alternative Funds — 7.5%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		443,432		4,793,501
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		430,613		2,131,533
Total Alternative Funds				6,925,034
Total Mutual Funds (identified cost $65,484,763)				91,576,106
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		1,008,552		1,008,652
Total Short-Term Investments (identified cost $1,008,650)				1,008,652
Total Investments — 99.8% (identified cost $66,493,413)				92,584,758
Other Assets and Liabilities — 0.2%				224,624
Total Net Assets — 100.0%			$	92,809,382

2035 Fund

Description	Shares		Value
Mutual Funds — 98.9%
Large-Cap Funds — 39.7%
BMO Dividend Income Fund — Institutional Class (1)		13,498	$	195,316
BMO Large-Cap Growth Fund — Institutional Class (1)		21,567		379,575
BMO Large-Cap Value Fund — Institutional Class (1)		48,425		768,994
BMO Low Volatility Equity Fund — Institutional Class (1)		34,338		495,147
Harbor Capital Appreciation Fund — Institutional Class		9,321		667,733
T Rowe Price Growth Stock Fund — Institutional Class		9,949		667,096
Vanguard Equity Income Fund — Institutional Class		4,109		299,887
Vanguard Institutional Index Fund — Institutional Class		7,565		1,709,667
Total Large-Cap Funds				5,183,415
Mid-Cap Funds — 11.1%
BMO Mid-Cap Growth Fund — Institutional Class (1)		29,804		458,679
BMO Mid-Cap Value Fund — Institutional Class (1)		39,488		469,515
Vanguard Mid-Cap Index Fund — Institutional Class		13,245		522,764
Total Mid-Cap Funds				1,450,958
Small-Cap Funds — 4.6%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		15,834		300,849
Goldman Sachs Small Cap Value Fund — Institutional Class		4,950		300,891
Total Small-Cap Funds				601,740

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

18

BMO Funds

2035 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 28.6%
BMO Disciplined International Equity Fund — Institutional Class (1)		36,335	$	406,586
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		43,903		701,128
BMO Pyrford International Stock Fund — Institutional Class (1)		58,482		772,549
DFA International Small Company Portfolio — Institutional Class		6,308		131,142
Dodge & Cox International Stock Fund — Retail Class		13,585		612,976
Harbor International Fund — Institutional Class		9,921		680,584
MFS International Value Fund — Institutional Class		9,967		431,682
Total International Funds				3,736,647
Fixed Income Funds — 8.4%
BMO High Yield Bond Fund — Institutional Class (1)		4,076		39,009
BMO TCH Core Plus Bond Fund — Institutional Class (1)		34,176		402,590
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		5,025		52,004
Federated Institutional High-Yield Bond Fund — Institutional Class		5,154		52,006
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		6,744		64,879
Metropolitan West Total Return Bond Fund — Institutional Class		37,488		403,000
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		3,661		90,940
Total Fixed Income Funds				1,104,428
Alternative Funds — 6.5%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		55,422		599,109
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		50,727		251,100
Total Alternative Funds				850,209
Total Mutual Funds (identified cost $11,041,745)				12,927,397
Short-Term Investments — 0.5%
Mutual Funds — 0.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		58,665		58,671
Total Short-Term Investments (identified cost $58,671)				58,671
Total Investments — 99.4% (identified cost $11,100,416)				12,986,068
Other Assets and Liabilities — 0.6%				84,340
Total Net Assets — 100.0%			$	13,070,408

2040 Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 41.7%
BMO Dividend Income Fund — Institutional Class (1)		50,803	$	735,126
BMO Large-Cap Growth Fund — Institutional Class (1)		93,067		1,637,988
BMO Large-Cap Value Fund — Institutional Class (1)		204,836		3,252,794
BMO Low Volatility Equity Fund — Institutional Class (1)		143,635		2,071,223
Harbor Capital Appreciation Fund — Institutional Class		40,164		2,877,319
T Rowe Price Growth Stock Fund — Institutional Class		42,695		2,862,716
Vanguard Equity Income Fund — Institutional Class		17,213		1,256,345
Vanguard Institutional Index Fund — Institutional Class		32,096		7,253,754
Total Large-Cap Funds				21,947,265
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund — Institutional Class (1)		120,972		1,861,764
BMO Mid-Cap Value Fund — Institutional Class (1)		159,567		1,897,246
Vanguard Mid-Cap Index Fund — Institutional Class		60,091		2,371,804
Total Mid-Cap Funds				6,130,814
Small-Cap Funds — 4.8%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		66,773		1,268,690
Goldman Sachs Small Cap Value Fund — Institutional Class		20,931		1,272,190
Total Small-Cap Funds				2,540,880
International Funds — 29.7%
BMO Disciplined International Equity Fund — Institutional Class (1)		150,629		1,685,537
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		185,289		2,959,059
BMO Pyrford International Stock Fund — Institutional Class (1)		241,002		3,183,635
DFA International Small Company Portfolio — Institutional Class		27,803		578,021
Dodge & Cox International Stock Fund — Retail Class		56,443		2,546,709
Harbor International Fund — Institutional Class		41,911		2,875,088
MFS International Value Fund — Institutional Class		41,020		1,776,592
Total International Funds				15,604,641
Fixed Income Funds — 4.9%
BMO High Yield Bond Fund — Institutional Class (1)		10,848		103,817
BMO TCH Core Plus Bond Fund — Institutional Class (1)		74,708		880,066
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		15,099		156,274
Federated Institutional High-Yield Bond Fund — Institutional Class		20,531		207,162
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		21,426		206,119
Metropolitan West Total Return Bond Fund — Institutional Class		77,143		829,286

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

19

As of August 31, 2017

Schedules of Investments

2040 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		8,335	$	207,050
Total Fixed Income Funds				2,589,774
Alternative Funds — 6.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		202,921		2,193,574
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		190,922		945,062
Total Alternative Funds				3,138,636
Total Mutual Funds (identified cost $34,698,469)				51,952,010
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		533,220		533,274
Total Short-Term Investments (identified cost $533,274)				533,274
Total Investments — 99.8% (identified cost $35,231,743)				52,485,284
Other Assets and Liabilities — 0.2%				112,202
Total Net Assets — 100.0%			$	52,597,486

2045 Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 42.1%
BMO Dividend Income Fund — Institutional Class (1)		7,627	$	110,360
BMO Large-Cap Growth Fund — Institutional Class (1)		14,019		246,732
BMO Large-Cap Value Fund — Institutional Class (1)		31,412		498,822
BMO Low Volatility Equity Fund — Institutional Class (1)		21,837		314,892
Harbor Capital Appreciation Fund — Institutional Class		6,130		439,168
T Rowe Price Growth Stock Fund — Institutional Class		6,516		436,869
Vanguard Equity Income Fund — Institutional Class		2,592		189,182
Vanguard Institutional Index Fund — Institutional Class		4,866		1,099,712
Total Large-Cap Funds				3,335,737
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund — Institutional Class (1)		18,675		287,401
BMO Mid-Cap Value Fund — Institutional Class (1)		23,944		284,690
Vanguard Mid-Cap Index Fund — Institutional Class		9,042		356,881
Total Mid-Cap Funds				928,972

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		10,471	$	198,946
Goldman Sachs Small Cap Value Fund — Institutional Class		3,267		198,545
Total Small-Cap Funds				397,491
International Funds — 30.0%
BMO Disciplined International Equity Fund — Institutional Class (1)		22,609		253,000
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		29,029		463,592
BMO Pyrford International Stock Fund — Institutional Class (1)		37,053		489,469
DFA International Small Company Portfolio — Institutional Class		4,565		94,901
Dodge & Cox International Stock Fund — Retail Class		8,707		392,844
Harbor International Fund — Institutional Class		6,325		433,881
MFS International Value Fund — Institutional Class		5,834		252,679
Total International Funds				2,380,366
Fixed Income Funds — 4.9%
BMO High Yield Bond Fund — Institutional Class (1)		1,641		15,707
BMO TCH Core Plus Bond Fund — Institutional Class (1)		11,973		141,038
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		1,519		15,718
Federated Institutional High-Yield Bond Fund — Institutional Class		2,332		23,533
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		2,441		23,486
Metropolitan West Total Return Bond Fund — Institutional Class		13,121		141,051
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		1,262		31,353
Total Fixed Income Funds				391,886
Alternative Funds — 5.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		25,465		275,277
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		24,065		119,123
Total Alternative Funds				394,400
Total Mutual Funds (identified cost $6,718,284)				7,828,852
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		78,280		78,288
Total Short-Term Investments (identified cost $78,288)				78,288
Total Investments — 99.7% (identified cost $6,796,572)				7,907,140
Other Assets and Liabilities — 0.3%				20,821
Total Net Assets — 100.0%			$	7,927,961

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

20

BMO Funds

2050 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 42.0%
BMO Dividend Income Fund — Institutional Class (1)		38,123	$	551,643
BMO Large-Cap Growth Fund — Institutional Class (1)		70,078		1,233,372
BMO Large-Cap Value Fund — Institutional Class (1)		157,023		2,493,529
BMO Low Volatility Equity Fund — Institutional Class (1)		109,149		1,573,932
Harbor Capital Appreciation Fund — Institutional Class		30,644		2,195,369
T Rowe Price Growth Stock Fund — Institutional Class		32,569		2,183,775
Vanguard Equity Income Fund — Institutional Class		12,955		945,604
Vanguard Institutional Index Fund — Institutional Class		24,323		5,497,038
Total Large-Cap Funds				16,674,262
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund — Institutional Class (1)		93,354		1,436,717
BMO Mid-Cap Value Fund — Institutional Class (1)		119,688		1,423,085
Vanguard Mid-Cap Index Fund — Institutional Class		45,198		1,783,970
Total Mid-Cap Funds				4,643,772
Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund — Institutional Class (1) (2)		52,342		994,497
Goldman Sachs Small Cap Value Fund — Institutional Class		16,329		992,503
Total Small-Cap Funds				1,987,000
International Funds — 30.0%
BMO Disciplined International Equity Fund — Institutional Class (1)		113,011		1,264,588
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		145,107		2,317,358
BMO Pyrford International Stock Fund — Institutional Class (1)		185,196		2,446,437
DFA International Small Company Portfolio — Institutional Class		22,816		474,352
Dodge & Cox International Stock Fund — Retail Class		43,517		1,963,468
Harbor International Fund — Institutional Class		31,612		2,168,588
MFS International Value Fund — Institutional Class		29,161		1,262,952
Total International Funds				11,897,743
Fixed Income Funds — 4.9%
BMO High Yield Bond Fund — Institutional Class (1)		8,203		78,506
BMO TCH Core Plus Bond Fund — Institutional Class (1)		59,842		704,940
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		7,591		78,564
Federated Institutional High-Yield Bond Fund — Institutional Class		11,657		117,623
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		12,203		117,390
Metropolitan West Total Return Bond Fund — Institutional Class		65,581		704,999

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		6,309	$	156,710
Total Fixed Income Funds				1,958,732
Alternative Funds — 5.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		127,283		1,375,925
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		120,274		595,357
Total Alternative Funds				1,971,282
Total Mutual Funds (identified cost $27,412,867)				39,132,791
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		391,262		391,301
Total Short-Term Investments (identified cost $391,301)				391,301
Total Investments — 99.6% (identified cost $27,804,168)				39,524,092
Other Assets and Liabilities — 0.4%				164,119
Total Net Assets — 100.0%			$	39,688,211

2055 Fund

Description	Shares		Value
Mutual Funds — 98.3%
Large-Cap Funds — 41.9%
BMO Dividend Income Fund — Institutional Class (1)		6,901	$	99,854
BMO Large-Cap Growth Fund — Institutional Class (1)		12,685		223,263
BMO Large-Cap Value Fund — Institutional Class (1)		28,423		451,359
BMO Low Volatility Equity Fund — Institutional Class (1)		19,757		284,902
Harbor Capital Appreciation Fund — Institutional Class		5,547		397,415
T Rowe Price Growth Stock Fund — Institutional Class		5,896		395,299
Vanguard Equity Income Fund — Institutional Class		2,345		171,166
Vanguard Institutional Index Fund — Institutional Class		4,403		995,039
Total Large-Cap Funds				3,018,297
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund — Institutional Class (1)		16,899		260,068
BMO Mid-Cap Value Fund — Institutional Class (1)		21,665		257,593
Vanguard Mid-Cap Index Fund — Institutional Class		8,181		322,913
Total Mid-Cap Funds				840,574
Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		9,475		180,023
Goldman Sachs Small Cap Value Fund — Institutional Class		2,956		179,651
Total Small-Cap Funds				359,674

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

21

As of August 31, 2017

Schedules of Investments

2055 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 29.9%
BMO Disciplined International Equity Fund — Institutional Class (1)		20,456	$	228,907
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		26,266		419,475
BMO Pyrford International Stock Fund — Institutional Class (1)		33,523		442,839
DFA International Small Company Portfolio — Institutional Class		4,130		85,863
Dodge & Cox International Stock Fund — Retail Class		7,877		355,418
Harbor International Fund — Institutional Class		5,722		392,544
MFS International Value Fund — Institutional Class		5,278		228,608
Total International Funds				2,153,654
Fixed Income Funds — 4.9%
BMO High Yield Bond Fund — Institutional Class (1)		1,485		14,211
BMO TCH Core Plus Bond Fund — Institutional Class (1)		10,832		127,602
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		1,374		14,221
Federated Institutional High-Yield Bond Fund — Institutional Class		2,110		21,291
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		2,209		21,249
Metropolitan West Total Return Bond Fund — Institutional Class		11,871		127,612
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		1,142		28,366
Total Fixed Income Funds				354,552
Alternative Funds — 4.9%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		23,040		249,058
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		21,771		107,767
Total Alternative Funds				356,825
Total Mutual Funds (identified cost $6,066,262)				7,083,576
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		70,823		70,830
Total Short-Term Investments (identified cost $70,830)				70,830
Total Investments — 99.3% (identified cost $6,137,092)				7,154,406
Other Assets and Liabilities — 0.7%				51,673
Total Net Assets — 100.0%			$	7,206,079

Conservative Allocation Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 11.5%
BMO Dividend Income Fund — Institutional Class (1)		33,113	$	479,141

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
BMO Large-Cap Growth Fund — Institutional Class (1)		71,992	$	1,267,061
BMO Large-Cap Value Fund — Institutional Class (1)		100,828		1,601,147
BMO Low Volatility Equity Fund — Institutional Class (1)		61,385		885,177
Dodge & Cox Stock Fund — Retail Class		3,162		613,821
Harbor Capital Appreciation Fund — Institutional Class		8,587		615,193
T Rowe Price Growth Stock Fund — Institutional Class		7,399		496,132
Vanguard Institutional Index Fund — Institutional Class		11,442		2,585,895
Total Large-Cap Funds				8,543,567
Mid-Cap Funds — 1.7%
BMO Mid-Cap Growth Fund — Institutional Class (1)		21,692		333,847
BMO Mid-Cap Value Fund — Institutional Class (1)		27,943		332,243
Vanguard Mid-Cap Index Fund — Institutional Class		14,621		577,081
Total Mid-Cap Funds				1,243,171
Small-Cap Funds — 1.1%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		20,267		385,069
BMO Small-Cap Value Fund — Institutional Class (1)		15,934		214,629
Goldman Sachs Small Cap Value Fund — Institutional Class		3,046		185,145
Total Small-Cap Funds				784,843
International Funds — 5.7%
BMO Disciplined International Equity Fund — Institutional Class (1)		75,642		846,439
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		32,218		514,528
BMO Pyrford International Stock Fund — Institutional Class (1)		62,847		830,213
Dodge & Cox International Stock Fund — Retail Class		14,236		642,330
Harbor International Fund — Institutional Class		9,397		644,600
MFS International Value Fund — Institutional Class		17,099		740,550
Total International Funds				4,218,660
Fixed Income Funds — 63.7%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		1,515,349		17,850,814
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		172,802		1,788,501
Metropolitan West Total Return Bond Fund — Institutional Class (3)		1,812,839		19,488,024
Vanguard Total Bond Market Index Fund, Institutional Class		731,874		7,948,156
Total Fixed Income Funds				47,075,495
Alternative Funds — 15.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		716,172		7,741,816

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

22

BMO Funds

Conservative Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds (continued)
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		680,147	$	3,366,726
Total Alternative Funds				11,108,542
Total Mutual Funds (identified cost $63,367,553)				72,974,278
Short-Term Investments — 0.8%
Mutual Funds — 0.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		615,479		615,540
Total Short-Term Investments (identified cost $615,540)				615,540
Total Investments — 99.5% (identified cost $63,983,093)				73,589,818
Other Assets and Liabilities — 0.5%				344,571
Total Net Assets — 100.0%			$	73,934,389

Moderate Allocation Fund

Description	Shares		Value
Mutual Funds — 98.9%
Large-Cap Funds — 23.3%
BMO Dividend Income Fund — Institutional Class (1)		99,965	$	1,446,493
BMO Large-Cap Growth Fund — Institutional Class (1)		218,666		3,848,515
BMO Large-Cap Value Fund — Institutional Class (1)		304,735		4,839,198
BMO Low Volatility Equity Fund — Institutional Class (1)		184,809		2,664,948
Dodge & Cox Stock Fund — Retail Class		9,483		1,840,585
Harbor Capital Appreciation Fund — Institutional Class		26,328		1,886,168
T Rowe Price Growth Stock Fund — Institutional Class		22,265		1,492,886
Vanguard Institutional Index Fund — Institutional Class		34,847		7,875,380
Total Large-Cap Funds				25,894,173
Mid-Cap Funds — 3.4%
BMO Mid-Cap Growth Fund — Institutional Class (1)		65,859		1,013,569
BMO Mid-Cap Value Fund — Institutional Class (1)		84,436		1,003,944
Vanguard Mid-Cap Index Fund — Institutional Class		44,419		1,753,215
Total Mid-Cap Funds				3,770,728
Small-Cap Funds — 2.1%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		60,983		1,158,671
BMO Small-Cap Value Fund — Institutional Class (1)		48,191		649,128
Goldman Sachs Small Cap Value Fund — Institutional Class		9,033		549,023
Total Small-Cap Funds				2,356,822

Description	Shares		Value
Mutual Funds (continued)
International Funds — 11.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		226,580	$	2,535,429
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		96,616		1,542,955
BMO Pyrford International Stock Fund — Institutional Class (1)		186,551		2,464,340
Dodge & Cox International Stock Fund — Retail Class		42,311		1,909,081
Harbor International Fund — Institutional Class		27,966		1,918,441
MFS International Value Fund — Institutional Class		51,170		2,216,174
Total International Funds				12,586,420
Fixed Income Funds — 46.8%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		1,674,194		19,722,005
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		190,644		1,973,164
Metropolitan West Total Return Bond Fund — Institutional Class		2,001,622		21,517,438
Vanguard Total Bond Market Index Fund, Institutional Class		808,824		8,783,832
Total Fixed Income Funds				51,996,439
Alternative Funds — 12.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		862,042		9,318,675
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		814,599		4,032,267
Total Alternative Funds				13,350,942
Total Mutual Funds (identified cost $90,428,941)				109,955,524
Short-Term Investments — 0.9%
Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		1,029,976		1,030,079
Total Short-Term Investments (identified cost $1,030,079)				1,030,079
Total Investments — 99.8% (identified cost $91,459,020)				110,985,603
Other Assets and Liabilities — 0.2%				174,513
Total Net Assets — 100.0%			$	111,160,116

Balanced Allocation Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 34.6%
BMO Dividend Income Fund — Institutional Class (1)		498,493	$	7,213,194
BMO Large-Cap Growth Fund — Institutional Class (1)		1,083,716		19,073,398
BMO Large-Cap Value Fund — Institutional Class (1)		1,515,577		24,067,367
BMO Low Volatility Equity Fund — Institutional Class (1)		924,138		13,326,064
Dodge & Cox Stock Fund — Retail Class		47,417		9,203,547

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

23

As of August 31, 2017

Schedules of Investments

Balanced Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Harbor Capital Appreciation Fund — Institutional Class		129,798	$	9,298,735
T Rowe Price Growth Stock Fund — Institutional Class		110,839		7,431,773
Vanguard Institutional Index Fund — Institutional Class		173,070		39,113,817
Total Large-Cap Funds				128,727,895
Mid-Cap Funds — 5.0%
BMO Mid-Cap Growth Fund — Institutional Class (1)		326,574		5,025,977
BMO Mid-Cap Value Fund — Institutional Class (1)		420,669		5,001,760
Vanguard Mid-Cap Index Fund — Institutional Class		221,052		8,724,908
Total Mid-Cap Funds				18,752,645
Small-Cap Funds — 3.2%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		303,113		5,759,143
BMO Small-Cap Value Fund — Institutional Class (1)		239,877		3,231,150
Goldman Sachs Small Cap Value Fund — Institutional Class		45,246		2,750,065
Total Small-Cap Funds				11,740,358
International Funds — 17.1%
BMO Disciplined International Equity Fund — Institutional Class (1)		1,142,177		12,780,966
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		485,034		7,746,000
BMO Pyrford International Stock Fund — Institutional Class (1)		943,395		12,462,254
Dodge & Cox International Stock Fund — Retail Class		213,507		9,633,416
Harbor International Fund — Institutional Class		140,925		9,667,436
MFS International Value Fund — Institutional Class		257,425		11,149,068
Total International Funds				63,439,140
Fixed Income Funds — 28.8%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		3,445,165		40,584,040
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		392,548		4,062,873
Metropolitan West Total Return Bond Fund — Institutional Class		4,122,623		44,318,196
Vanguard Total Bond Market Index Fund, Institutional Class		1,664,782		18,079,528
Total Fixed Income Funds				107,044,637
Alternative Funds — 10.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		2,395,948		25,900,196
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		2,275,267		11,262,573
Total Alternative Funds				37,162,769
Total Mutual Funds (identified cost $270,249,107)				366,867,444

Description	Shares		Value
Short-Term Investments — 0.8%
Mutual Funds — 0.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		3,074,610	$	3,074,917
Total Short-Term Investments (identified cost $3,074,917)				3,074,917
Total Investments — 99.5% (identified cost $273,324,024)				369,942,361
Other Assets and Liabilities — 0.5%				1,734,511
Total Net Assets — 100.0%			$	371,676,872

Growth Allocation Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 46.4%
BMO Dividend Income Fund — Institutional Class (1)		231,185	$	3,345,242
BMO Large-Cap Growth Fund — Institutional Class (1)		504,908		8,886,380
BMO Large-Cap Value Fund — Institutional Class (1)		705,616		11,205,176
BMO Low Volatility Equity Fund — Institutional Class (1)		427,691		6,167,311
Dodge & Cox Stock Fund — Retail Class		22,023		4,274,683
Harbor Capital Appreciation Fund — Institutional Class		60,588		4,340,548
T Rowe Price Growth Stock Fund — Institutional Class		51,629		3,461,718
Vanguard Institutional Index Fund — Institutional Class		80,395		18,169,272
Total Large-Cap Funds				59,850,330
Mid-Cap Funds — 6.7%
BMO Mid-Cap Growth Fund — Institutional Class (1)		152,418		2,345,710
BMO Mid-Cap Value Fund — Institutional Class (1)		195,407		2,323,392
Vanguard Mid-Cap Index Fund — Institutional Class		101,996		4,025,789
Total Mid-Cap Funds				8,694,891
Small-Cap Funds — 4.3%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		141,519		2,688,854
BMO Small-Cap Value Fund — Institutional Class (1)		111,443		1,501,140
Goldman Sachs Small Cap Value Fund — Institutional Class		21,115		1,283,346
Total Small-Cap Funds				5,473,340
International Funds — 22.7%
BMO Disciplined International Equity Fund — Institutional Class (1)		526,980		5,896,903
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		224,857		3,590,962
BMO Pyrford International Stock Fund — Institutional Class (1)		435,990		5,759,429
Dodge & Cox International Stock Fund — Retail Class		98,613		4,449,422
Harbor International Fund — Institutional Class		65,125		4,467,559

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

24

BMO Funds

Growth Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
MFS International Value Fund — Institutional Class		119,025	$	5,154,985
Total International Funds				29,319,260
Fixed Income Funds — 10.9%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		452,681		5,332,581
BMO TCH Emerging Markets Bond Fund — Institutional Class (1)		52,051		538,729
Metropolitan West Total Return Bond Fund — Institutional Class		541,300		5,818,972
Vanguard Total Bond Market Index Fund, Institutional Class		218,831		2,376,507
Total Fixed Income Funds				14,066,789
Alternative Funds — 8.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		664,988		7,188,515
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		628,378		3,110,471
Total Alternative Funds				10,298,986
Total Mutual Funds (identified cost $88,722,454)				127,703,596
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		1,222,736		1,222,859
Total Short-Term Investments (identified cost $1,222,859)				1,222,859
Total Investments — 100.0% (identified cost $89,945,313)				128,926,455
Other Assets and Liabilities — 0.0%				63,208
Total Net Assets — 100.0%			$	128,989,663

Aggressive Allocation Fund

Description	Shares		Value
Mutual Funds — 99.1%
Large-Cap Funds — 56.1%
BMO Dividend Income Fund — Institutional Class (1)		381,946	$	5,526,761
BMO Large-Cap Growth Fund — Institutional Class (1)		827,974		14,572,342
BMO Large-Cap Value Fund — Institutional Class (1)		1,162,574		18,461,681
BMO Low Volatility Equity Fund — Institutional Class (1)		700,308		10,098,441
Dodge & Cox Stock Fund — Retail Class		36,207		7,027,694
Harbor Capital Appreciation Fund — Institutional Class		99,750		7,146,069
T Rowe Price Growth Stock Fund — Institutional Class		84,815		5,686,874

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Vanguard Institutional Index Fund — Institutional Class		132,457	$	29,935,230
Total Large-Cap Funds				98,455,092
Mid-Cap Funds — 8.2%
BMO Mid-Cap Growth Fund — Institutional Class (1)		250,695		3,858,204
BMO Mid-Cap Value Fund — Institutional Class (1)		322,823		3,838,366
Vanguard Mid-Cap Index Fund — Institutional Class		169,003		6,670,556
Total Mid-Cap Funds				14,367,126
Small-Cap Funds — 5.2%
BMO Small-Cap Growth Fund — Institutional Class (1)(2)		233,430		4,435,179
BMO Small-Cap Value Fund — Institutional Class (1)		185,580		2,499,768
Goldman Sachs Small Cap Value Fund — Institutional Class		34,940		2,123,667
Total Small-Cap Funds				9,058,614
International Funds — 27.6%
BMO Disciplined International Equity Fund — Institutional Class (1)		871,573		9,752,897
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		369,977		5,908,535
BMO Pyrford International Stock Fund — Institutional Class (1)		717,693		9,480,721
Dodge & Cox International Stock Fund — Retail Class		162,469		7,330,612
Harbor International Fund — Institutional Class		107,200		7,353,929
MFS International Value Fund — Institutional Class		196,482		8,509,641
Total International Funds				48,336,335
Alternative Funds — 2.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		229,967		2,485,944
Credit Suisse Commodity Return Strategy Fund — Institutional Class (2)		215,378		1,066,121
Total Alternative Funds				3,552,065
Total Mutual Funds (identified cost $106,862,059)				173,769,232
Short-Term Investments — 0.2%
Mutual Funds — 0.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.080% (1)		444,912		444,956
Total Short-Term Investments (identified cost $444,956)				444,956
Total Investments — 99.3% (identified cost $107,307,015)				174,214,188
Other Assets and Liabilities — 0.7%				1,179,745
Total Net Assets — 100.0%			$	175,393,933

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

25

As of August 31, 2017

Schedules of Investments

Notes to Schedules of Investments

The categories of investments are shown as a percentage of total net assets for each Fund as of August 31, 2017.

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

(2) Non-income producing.

(3) Holding is greater than 25% of portfolio value. Additional information regarding the underlying Fund’s holdings and financial statements may be found at https://www.sec.gov.

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

26

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	In-Retirement Fund		2015 Fund			2020 Fund		2025 Fund			2030 Fund
Assets:
Investments in unaffiliated issuers, at value	$	7,729,161	$	1,975,590		$	40,546,839	$	11,278,050		$	48,807,609
Cash sweep investments in affiliated issuers, at value		144,477		39,798			720,855		246,901			1,008,652
Investments in other affiliated issuers, at value		7,063,099		1,894,086			39,211,737		9,894,288			42,768,497
Dividends and interest receivable		16,870		3,355			50,381		9,953			28,598
Receivable for investments sold		—		—			—		35,427			—
Receivable for capital stock sold		13,907		2,048			110,777		159,948			206,007
Receivable from affiliates, net (Note 5)		16,428		18,037			14,324		20,180			12,654
Prepaid expenses and other receivables		27,544		12,544			27,354		12,646			27,840
Total assets		15,011,486		3,945,458			80,682,267		21,657,393			92,859,857
Liabilities:
Payable for investments purchased		—		—			—		69,658			—
Payable for capital stock redeemed		—		—			—		—			14,138
Other liabilities		31,683		30,765			34,883		32,067			36,337
Total liabilities		31,683		30,765			34,883		101,725			50,475
Total net assets	$	14,979,803	$	3,914,693		$	80,647,384	$	21,555,668		$	92,809,382
Net assets consist of:
Paid-in capital	$	11,909,602	$	3,700,439		$	58,164,982	$	19,536,933		$	64,507,054
Net unrealized appreciation on investments		2,347,948		315,408			19,477,369		2,261,957			26,091,345
Accumulated net realized gain (loss) on investments		553,347		(138,248	)		2,367,333		(422,022	)		1,690,854
Undistributed net investment income		168,906		37,094			637,700		178,800			520,129
Total net assets	$	14,979,803	$	3,914,693		$	80,647,384	$	21,555,668		$	92,809,382
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	9.39	$	11.32		$	10.52	$	11.61		$	11.55
Retirement class R-3 of shares		9.42		11.30			10.53		11.56			11.55
Retirement class R-6 of shares		9.40		11.39			10.54		11.68			11.57
Net assets:
Investor class of shares	$	3,461,098	$	410,302		$	17,810,623	$	933,298		$	19,498,362
Retirement class R-3 of shares		634,114		114,171			6,813,096		150,046			6,315,525
Retirement class R-6 of shares		10,884,591		3,390,220			56,023,665		20,472,324			66,995,495
Total net assets	$	14,979,803	$	3,914,693		$	80,647,384	$	21,555,668		$	92,809,382
Shares outstanding:
Investor class of shares		368,455		36,250			1,692,699		80,353			1,687,853
Retirement class R-3 of shares		67,343		10,108			647,043		12,983			546,967
Retirement class R-6 of shares		1,158,368		297,691			5,314,840		1,752,441			5,790,802
Total shares outstanding		1,594,166		344,049			7,654,582		1,845,777			8,025,622
Investments, at cost:
Investments in unaffiliated issuers	$	6,209,467	$	1,799,065		$	26,990,223	$	9,814,111		$	29,321,426
Cash sweep investments in affiliated issuers		144,477		39,798			720,855		246,901			1,008,650
Investments in other affiliated issuers		6,234,845		1,755,203			33,290,984		9,096,270			36,163,337
Total investments, at cost	$	12,588,789	$	3,594,066		$	61,002,062	$	19,157,282		$	66,493,413

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

27

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	2035 Fund			2040 Fund		2045 Fund			2050 Fund			2055 Fund
Assets:
Investments in unaffiliated issuers, at value	$	6,886,347		$	28,065,217	$	4,233,208		$	21,159,698		$	3,830,201
Cash sweep investments in affiliated issuers, at value		58,671			533,274		78,288			391,301			70,830
Investments in other affiliated issuers, at value		6,041,050			23,886,793		3,595,644			17,973,093			3,253,375
Dividends and interest receivable		2,435			6,167		898			4,561			820
Receivable for investments sold		80,738			—		—			—			—
Receivable for capital stock sold		10,326			115,579		19,630			152,696			50,616
Receivable from affiliates, net (Note 5)		19,103			15,582		18,627			15,373			18,452
Prepaid expenses and other receivables		12,647			27,338		12,546			27,339			12,544
Total assets		13,111,317			52,649,950		7,958,841			39,724,061			7,236,838
Liabilities:
Payable for investments purchased		9,651			—		—			—			—
Payable for capital stock redeemed		—			18,530		—			2,663			—
Other liabilities		31,258			33,934		30,880			33,187			30,759
Total liabilities		40,909			52,464		30,880			35,850			30,759
Total net assets	$	13,070,408		$	52,597,486	$	7,927,961		$	39,688,211		$	7,206,079
Net assets consist of:
Paid-in capital	$	11,081,861		$	32,006,321	$	6,790,789		$	27,832,866		$	6,289,605
Net unrealized appreciation on investments		1,885,652			17,253,541		1,110,568			11,719,924			1,017,314
Accumulated net realized gain (loss) on investments		(3,017	)		3,081,367		(25,606	)		(47,764	)		(137,673	)
Undistributed net investment income		105,912			256,257		52,210			183,185			36,833
Total net assets	$	13,070,408		$	52,597,486	$	7,927,961		$	39,688,211		$	7,206,079
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	11.70		$	11.56	$	11.93		$	11.99		$	11.90
Retirement class R-3 of shares		11.63			11.57		11.87			11.97			11.83
Retirement class R-6 of shares		11.77			11.58		12.00			12.00			11.97
Net assets:
Investor class of shares	$	733,879		$	11,098,157	$	911,346		$	8,400,138		$	550,818
Retirement class R-3 of shares		120,189			2,555,055		52,887			3,115,090			93,724
Retirement class R-6 of shares		12,216,340			38,944,274		6,963,728			28,172,983			6,561,537
Total net assets	$	13,070,408		$	52,597,486	$	7,927,961		$	39,688,211		$	7,206,079
Shares outstanding:
Investor class of shares		62,735			960,321		76,394			700,858			46,275
Retirement class R-3 of shares		10,331			220,748		4,457			260,341			7,921
Retirement class R-6 of shares		1,037,674			3,364,068		580,174			2,348,010			547,978
Total shares outstanding		1,110,740			4,545,137		661,025			3,309,209			602,174
Investments, at cost:
Investments in unaffiliated issuers	$	5,740,063		$	15,209,677	$	3,534,313		$	12,423,418		$	3,190,990
Cash sweep investments in affiliated issuers		58,671			533,274		78,288			391,301			70,830
Investments in other affiliated issuers		5,301,682			19,488,792		3,183,971			14,989,449			2,875,272
Total investments, at cost	$	11,100,416		$	35,231,743	$	6,796,572		$	27,804,168		$	6,137,092

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

28

August 31, 2017

Statements of Assets and Liabilities BMO Funds

	Conservative Allocation Fund		Moderate Allocation Fund		Balanced Allocation Fund		Growth Allocation Fund		Aggressive Allocation Fund
Assets:
Investments in unaffiliated issuers, at value	$	37,903,653	$	55,774,490	$	180,633,062	$	60,933,272	$	82,850,393
Cash sweep investments in affiliated issuers, at value		615,540		1,030,079		3,074,917		1,222,859		444,956
Investments in other affiliated issuers, at value		35,070,625		54,181,034		186,234,382		66,770,324		90,918,839
Dividends and interest receivable		93,474		103,600		215,465		28,946		1,555
Receivable for investments sold		150,893		—		871,326		—		—
Receivable for capital stock sold		130,196		71,594		1,192,232		38,637		1,345,424
Receivable from affiliates, net (Note 5)		13,766		15,618		1,181		15,625		9,159
Prepaid expenses and other receivables		30,238		30,238		30,956		30,240		30,244
Total assets		74,008,385		111,206,653		372,253,521		129,039,903		175,600,570
Liabilities:
Payable for investments purchased		31,851		—		259,915		—		—
Payable for capital stock redeemed		4,649		6,921		261,600		10,272		162,353
Other liabilities		37,496		39,616		55,134		39,968		44,284
Total liabilities		73,996		46,537		576,649		50,240		206,637
Total net assets	$	73,934,389	$	111,160,116	$	371,676,872	$	128,989,663	$	175,393,933
Net assets consist of:
Paid-in capital	$	58,384,099	$	86,784,428	$	247,651,911	$	83,798,759	$	89,687,096
Net unrealized appreciation on investments		9,606,725		19,526,583		96,618,337		38,981,142		66,907,173
Accumulated net realized gain on investments		4,605,934		3,713,298		24,524,312		5,434,734		17,878,063
Undistributed net investment income		1,337,631		1,135,807		2,882,312		775,028		921,601
Total net assets	$	73,934,389	$	111,160,116	$	371,676,872	$	128,989,663	$	175,393,933
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	10.02	$	10.08	$	9.65	$	10.23	$	10.01
Institutional class of shares		10.02		10.08		9.66		10.23		10.00
Retirement class R-3 of shares		10.01		10.08		9.64		10.22		9.98
Retirement class R-6 of shares		10.03		10.09		9.66		10.24		10.01
Net assets:
Investor class of shares	$	15,530,690	$	7,776,969	$	101,516,796	$	16,758,335	$	37,632,081
Institutional class of shares		26,464,684		9,375,274		52,820,533		8,968,719		14,684,460
Retirement class R-3 of shares		3,012,031		13,725,407		23,649,468		18,845,420		17,152,120
Retirement class R-6 of shares		28,926,984		80,282,466		193,690,075		84,417,189		105,925,272
Total net assets	$	73,934,389	$	111,160,116	$	371,676,872	$	128,989,663	$	175,393,933
Shares outstanding:
Investor class of shares		1,550,554		771,549		10,519,426		1,638,627		3,760,830
Institutional class of shares		2,641,526		929,783		5,468,892		876,327		1,468,206
Retirement class R-3 of shares		301,050		1,362,319		2,453,136		1,843,727		1,718,813
Retirement class R-6 of shares		2,884,152		7,958,697		20,040,445		8,243,792		10,580,148
Total shares outstanding		7,377,282		11,022,348		38,481,899		12,602,473		17,527,997
Investments, at cost:
Investments in unaffiliated issuers	$	33,316,245	$	44,186,389	$	119,720,054	$	34,552,912	$	37,633,462
Cash sweep investments in affiliated issuers		615,540		1,030,079		3,074,917		1,222,859		444,956
Investments in other affiliated issuers		30,051,308		46,242,552		150,529,053		54,169,542		69,228,597
Total investments, at cost	$	63,983,093	$	91,459,020	$	273,324,024	$	89,945,313	$	107,307,015

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

29

Year Ended August 31, 2017

Statements of Operations BMO Funds

	In-Retirement Fund			2015 Fund			2020 Fund			2025 Fund			2030 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	177,847		$	39,908		$	773,548		$	248,729		$	815,465
Affiliated issuers		172,870			39,757			717,216			205,405			650,345
Excess expense reimbursement from investment adviser (Note 5)		8,930			2,283			41,383			17,846			21,137
Total income		359,647			81,948			1,532,147			471,980			1,486,947
Expenses:
Shareholder servicing fees (Note 5)		8,171			1,874			44,290			2,097			46,864
Administration fees (Note 5)		6,534			1,313			40,396			2,437			40,151
Portfolio accounting fees		37,921			33,977			58,509			40,851			61,871
Recordkeeping fees		38,638			40,552			38,157			41,254			40,455
Custodian fees (Note 5)		800			197			3,998			1,262			4,517
Registration fees		52,846			45,565			51,984			45,915			52,002
Professional fees		18,795			18,795			18,795			18,795			18,795
Printing and postage		10,594			9,262			11,558			9,605			11,373
Directors’ fees		13,333			13,333			13,333			13,333			13,333
Distribution services fees (Note 5)		5,438			629			46,072			3,929			40,110
Miscellaneous		3,100			2,836			4,835			3,818			5,493
Total expenses		196,170			168,333			331,927			183,296			334,964
Deduct:
Expense waivers (Note 5)		(179,052	)		(165,110	)		(220,015	)		(175,958	)		(215,870	)
Net expenses		17,118			3,223			111,912			7,338			119,094
Net investment income		342,529			78,725			1,420,235			464,642			1,367,853
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		654,842			15,887			2,342,331			240,245			2,342,972
Investments in affiliated issuers		185,299			(32,756	)		422,126			(465,701	)		(72,427	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		82,452			21,820			437,872			195,976			624,904
Investments in affiliated issuers		120,171			40,562			1,170,158			519,801			1,795,549
Total net realized gain		1,042,764			45,513			4,372,487			490,321			4,690,998
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(345,440	)		105,364			1,073,422			1,142,396			3,420,166
Investments in affiliated issuers		36,159			114,313			1,598,125			1,042,836			2,645,724
Total net change in unrealized appreciation (depreciation)		(309,281	)		219,677			2,671,547			2,185,232			6,065,890
Net realized and unrealized gain on investments		733,483			265,190			7,044,034			2,675,553			10,756,888
Change in net assets resulting from operations	$	1,076,012		$	343,915		$	8,464,269		$	3,140,195		$	12,124,741

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

30

Year Ended August 31, 2017

Statements of Operations BMO Funds

	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	216,286		$	495,102		$	117,834		$	338,665		$	64,505
Affiliated issuers		173,992			370,144			91,774			251,962			49,578
Excess expense reimbursement from investment adviser (Note 5)		6,704			17,683			4,579			11,875			2,652
Total income		396,982			882,929			214,187			602,502			116,735
Expenses:
Shareholder servicing fees (Note 5)		1,982			28,973			2,267			21,008			1,386
Administration fees (Note 5)		1,764			23,011			1,834			18,024			1,409
Portfolio accounting fees		39,786			50,615			35,766			45,253			35,017
Recordkeeping fees		40,639			40,406			40,917			40,095			39,793
Custodian fees (Note 5)		1,093			2,770			592			1,941			356
Registration fees		45,915			52,020			45,566			52,020			45,566
Professional fees		18,795			18,795			18,795			18,795			18,795
Printing and postage		9,627			11,659			9,739			11,561			9,610
Directors’ fees		13,333			13,333			13,333			13,333			13,333
Distribution services fees (Note 5)		1,913			18,757			1,580			18,063			1,924
Miscellaneous		3,823			4,464			3,270			4,017			3,020
Total expenses		178,670			264,803			173,659			244,110			170,209
Deduct:
Expense waivers (Note 5)		(173,364	)		(200,184	)		(168,463	)		(191,807	)		(165,860	)
Net expenses		5,306			64,619			5,196			52,303			4,349
Net investment income		391,676			818,310			208,991			550,199			112,386
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		627,677			3,026,839			352,418			688,382			65,383
Investments in affiliated issuers		(479,901	)		170,318			(245,220	)		(305,205	)		(98,727	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		213,405			425,606			120,587			290,510			59,351
Investments in affiliated issuers		629,208			1,281,120			343,596			888,524			160,910
Total net realized gain		990,389			4,903,883			571,381			1,562,211			186,917
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		830,818			1,046,834			490,228			2,162,185			467,437
Investments in affiliated issuers		1,001,470			1,530,097			543,619			1,477,004			329,585
Total net change in unrealized appreciation		1,832,288			2,576,931			1,033,847			3,639,189			797,022
Net realized and unrealized gain on investments		2,822,677			7,480,814			1,605,228			5,201,400			983,939
Change in net assets resulting from operations	$	3,214,353		$	8,299,124		$	1,814,219		$	5,751,599		$	1,096,325

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

31

Year Ended August 31, 2017

Statements of Operations BMO Funds

	Conservative Allocation Fund			Moderate Allocation Fund			Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,051,020		$	966,762		$	3,010,947		$	898,056		$	1,350,022
Affiliated issuers		1,399,695			1,200,659			3,548,832			965,301			1,360,867
Excess expense reimbursement from investment adviser (Note 5)		55,640			91,256			157,935			84,597			83,047
Total income		2,506,355			2,258,677			6,717,714			1,947,954			2,793,936
Expenses:
Shareholder servicing fees (Note 5)		41,416			27,281			256,776			52,504			106,229
Administration fees (Note 5)		76,019			52,449			293,147			76,102			124,322
Portfolio accounting fees		81,230			80,029			158,703			82,776			102,193
Recordkeeping fees		41,755			42,877			46,736			42,054			43,757
Custodian fees (Note 5)		6,045			5,863			19,572			6,292			9,362
Registration fees		51,128			51,128			52,128			51,128			51,484
Professional fees		18,795			18,795			18,795			18,795			18,795
Printing and postage		11,950			14,132			21,016			13,468			16,449
Directors’ fees		13,333			13,333			13,333			13,333			13,333
Distribution services fees (Note 5)		25,179			65,696			131,432			98,822			93,520
Miscellaneous		6,811			6,548			15,134			6,902			8,713
Total expenses		373,661			378,131			1,026,772			462,176			588,157
Deduct:
Expense waivers (Note 5)		(266,557	)		(267,668	)		(481,881	)		(285,379	)		(322,029	)
Net expenses		107,104			110,463			544,891			176,797			266,128
Net investment income		2,399,251			2,148,214			6,172,823			1,771,157			2,527,808
Net realized and unrealized gain on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		2,714,118			2,813,591			19,553,896			4,380,509			13,353,176
Investments in affiliated issuers		1,814,868			587,533			4,088,022			708,787			3,252,027
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		715,172			714,677			2,588,203			895,924			1,463,032
Investments in affiliated issuers		723,634			1,200,353			5,825,407			2,231,773			4,216,793
Total net realized gain		5,967,792			5,316,154			32,055,528			8,216,993			22,285,028
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,444,419	)		338,321			(3,276,600	)		2,879,840			(667,265	)
Investments in affiliated issuers		(1,035,698	)		1,432,819			6,554,401			4,456,591			5,144,608
Total net change in unrealized appreciation (depreciation)		(2,480,117	)		1,771,140			3,277,801			7,336,431			4,477,343
Net realized and unrealized gain on investments		3,487,675			7,087,294			35,333,329			15,553,424			26,762,371
Change in net assets resulting from operations	$	5,886,926		$	9,235,508		$	41,506,152		$	17,324,581		$	29,290,179

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

32

Statements of Changes in Net Assets BMO Funds

	In-Retirement Fund						2015 Fund						2020 Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	342,529		$	481,026		$	78,725		$	99,552		$	1,420,235		$	1,695,410
Net realized gain (loss) on investments		1,042,764			826,785			45,513			(117,638	)		4,372,487			3,166,993
Net change in unrealized appreciation (depreciation) on investments		(309,281	)		(168,515	)		219,677			262,746			2,671,547			623,410
Change in net assets resulting from operations		1,076,012			1,139,296			343,915			244,660			8,464,269			5,485,813
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(72,794	)		(103,894	)		(9,699	)		(13,918	)		(297,735	)		(451,096	)
Institutional class of shares		—			(7,826	)(1)		—			(2,846	)(1)		—			(98,138	)(1)
Retirement class R-3 of shares		(21,844	)		(36,938	)		(2,517	)		(3,317	)		(163,083	)		(219,576	)
Retirement class R-6 of shares		(403,463	)		(434,975	)		(92,325	)		(106,160	)		(1,330,828	)		(1,343,153	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(156,448	)		(311,898	)		—			(6,126	)		(782,933	)		(1,326,705	)
Institutional class of shares		—			(20,244	)(1)		—			(1,148	)(1)		—			(249,266	)(1)
Retirement class R-3 of shares		(56,331	)		(128,069	)		—			(1,728	)		(498,648	)		(792,457	)
Retirement class R-6 of shares		(725,970	)		(1,061,036	)		—			(40,512	)		(2,797,230	)		(3,175,449	)
Change in net assets resulting from distributions to shareholders		(1,436,850	)		(2,104,880	)		(104,541	)		(175,755	)		(5,870,457	)		(7,655,840	)
Capital stock transactions:
Proceeds from sale of shares		3,042,445			5,793,776			2,210,195			978,988			12,088,658			21,076,186
Net asset value of shares issued to shareholders in payment of distributions declared		1,436,850			2,104,880			100,435			175,755			5,870,457			7,655,840
Cost of shares redeemed		(10,733,974	)		(9,176,817	)		(3,204,289	)		(1,849,421	)		(33,161,526	)		(28,163,105	)
Change in net assets resulting from capital stock transactions		(6,254,679	)		(1,278,161	)		(893,659	)		(694,678	)		(15,202,411	)		568,921
Change in net assets		(6,615,517	)		(2,243,745	)		(654,285	)		(625,773	)		(12,608,599	)		(1,601,106	)
Net assets:
Beginning of period		21,595,320			23,839,065			4,568,978			5,194,751			93,255,983			94,857,089
End of period	$	14,979,803		$	21,595,320		$	3,914,693		$	4,568,978		$	80,647,384		$	93,255,983
Undistributed net investment income included in net assets at end of period	$	168,906		$	262,415		$	37,094		$	49,563		$	637,700		$	756,695

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

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

33

Statements of Changes in Net Assets BMO Funds

	2025 Fund						2030 Fund						2035 Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	464,642		$	538,414		$	1,367,853		$	1,520,893		$	391,676		$	459,775
Net realized gain (loss) on investments		490,321			(105,860	)		4,690,998			1,870,789			990,389			215,954
Net change in unrealized appreciation (depreciation) on investments		2,185,232			1,345,697			6,065,890			2,426,398			1,832,288			1,176,846
Change in net assets resulting from operations		3,140,195			1,778,251			12,124,741			5,818,080			3,214,353			1,852,575
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(10,858	)		(30,647	)		(243,224	)		(377,127	)		(9,873	)		(15,846	)
Institutional class of shares		—			(11,812	)(1)		—			(58,803	)(1)		—			(1,325	)(1)
Retirement class R-3 of shares		(15,122	)		(19,884	)		(101,706	)		(165,352	)		(5,872	)		(7,371	)
Retirement class R-6 of shares		(591,903	)		(528,417	)		(1,339,900	)		(1,288,776	)		(518,267	)		(501,371	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(12,985	)		(14,765	)		(668,223	)		(985,760	)		(22,302	)		(3,660	)
Institutional class of shares		—			(5,183	)(1)		—			(126,881	)(1)		—			(268	)(1)
Retirement class R-3 of shares		(19,978	)		(10,790	)		(340,715	)		(527,693	)		(15,697	)		(2,131	)
Retirement class R-6 of shares		(543,487	)		(217,966	)		(2,785,759	)		(2,558,242	)		(903,500	)		(95,399	)
Change in net assets resulting from distributions to shareholders		(1,194,333	)		(839,464	)		(5,479,527	)		(6,088,634	)		(1,475,511	)		(627,371	)
Capital stock transactions:
Proceeds from sale of shares		5,604,471			5,336,257			16,918,635			25,468,395			3,951,792			5,113,376
Net asset value of shares issued to shareholders in payment of distributions declared		1,194,333			839,464			5,479,527			6,088,634			1,475,511			627,371
Cost of shares redeemed		(17,820,626	)		(6,199,760	)		(39,617,757	)		(27,216,023	)		(25,378,614	)		(4,966,590	)
Change in net assets resulting from capital stock transactions		(11,021,822	)		(24,039	)		(17,219,595	)		4,341,006			(19,951,311	)		774,157
Change in net assets		(9,075,960	)		914,748			(10,574,381	)		4,070,452			(18,212,469	)		1,999,361
Net assets:
Beginning of period		30,631,628			29,716,880			103,383,763			99,313,311			31,282,877			29,283,516
End of period	$	21,555,668		$	30,631,628		$	92,809,382		$	103,383,763		$	13,070,408		$	31,282,877
Undistributed net investment income included in net assets at end of period	$	178,800		$	238,835		$	520,129		$	562,149		$	105,912		$	163,275

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

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

34

Statements of Changes in Net Assets BMO Funds

	2040 Fund						2045 Fund						2050 Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	818,310		$	889,329		$	208,991		$	228,529		$	550,199		$	559,753
Net realized gain on investments		4,903,883			1,592,103			571,381			124,069			1,562,211			671,264
Net change in unrealized appreciation (depreciation) on investments		2,576,931			1,374,135			1,033,847			670,024			3,639,189			1,511,768
Change in net assets resulting from operations		8,299,124			3,855,567			1,814,219			1,022,622			5,751,599			2,742,785
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(138,602	)		(203,534	)		(10,889	)		(20,716	)		(80,320	)		(146,769	)
Institutional class of shares		—			(44,537	)(1)		—			(2,048	)(1)		—			(35,895	)(1)
Retirement class R-3 of shares		(36,355	)		(73,664	)		(4,652	)		(6,178	)		(37,443	)		(60,323	)
Retirement class R-6 of shares		(798,006	)		(791,125	)		(255,018	)		(231,014	)		(520,286	)		(428,840	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(490,108	)		(830,743	)		(31,552	)		(3,806	)		(299,678	)		(350,073	)
Institutional class of shares		—			(150,868	)(1)		—			(337	)(1)		—			(72,362	)(1)
Retirement class R-3 of shares		(177,916	)		(416,388	)		(15,798	)		(1,532	)		(165,597	)		(181,590	)
Retirement class R-6 of shares		(2,068,921	)		(2,427,746	)		(549,139	)		(35,560	)		(1,315,743	)		(776,404	)
Change in net assets resulting from distributions to shareholders		(3,709,908	)		(4,938,605	)		(867,048	)		(301,191	)		(2,419,067	)		(2,052,256	)
Capital stock transactions:
Proceeds from sale of shares		10,171,530			17,210,809			2,830,751			4,959,205			10,184,433			14,385,642
Net asset value of shares issued to shareholders in payment of distributions declared		3,709,908			4,938,605			867,048			301,191			2,419,067			2,052,256
Cost of shares redeemed		(32,453,631	)		(17,723,164	)		(13,887,877	)		(3,856,826	)		(21,461,622	)		(11,656,291	)
Change in net assets resulting from capital stock transactions		(18,572,193	)		4,426,250			(10,190,078	)		1,403,570			(8,858,122	)		4,781,607
Change in net assets		(13,982,977	)		3,343,212			(9,242,907	)		2,125,001			(5,525,590	)		5,472,136
Net assets:
Beginning of period		66,580,463			63,237,251			17,170,868			15,045,867			45,213,801			39,741,665
End of period	$	52,597,486		$	66,580,463		$	7,927,961		$	17,170,868		$	39,688,211		$	45,213,801
Undistributed net investment income included in net assets at end of period	$	256,257		$	258,534		$	52,210		$	71,911		$	183,185		$	163,919

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

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

35

Statements of Changes in Net Assets BMO Funds

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	112,386		$	76,177		$	2,399,251		$	3,533,339		$	2,148,214		$	3,109,459
Net realized gain (loss) on investments		186,917			(2,889	)		5,967,792			13,546			5,316,154			1,358,330
Net change in unrealized appreciation (depreciation) on investments		797,022			409,023			(2,480,117	)		3,687,614			1,771,140			2,959,296
Change in net assets resulting from operations		1,096,325			482,311			5,886,926			7,234,499			9,235,508			7,427,085
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(5,113	)		(15,495	)		(392,079	)		(507,382	)		(261,497	)		(392,348	)
Institutional class of shares		—			(2,838	)(1)		(813,572	)		(759,470	)		(289,008	)		(383,423	)
Retirement class R-3 of shares		(5,867	)		(3,993	)		(152,724	)		(146,369	)		(256,521	)		(253,918	)
Retirement class R-6 of shares		(110,946	)		(51,903	)		(2,551,270	)		(2,356,604	)		(2,444,589	)		(2,429,323	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(15,407	)		(6,757	)		(3,300	)		(428,827	)		(162,234	)		(636,841	)
Institutional class of shares		—			(1,095	)(1)		(6,026	)		(572,126	)		(157,323	)		(533,972	)
Retirement class R-3 of shares		(18,291	)		(2,123	)		(1,394	)		(145,688	)		(175,521	)		(513,289	)
Retirement class R-6 of shares		(231,583	)		(18,378	)		(17,954	)		(1,676,948	)		(1,241,608	)		(3,181,486	)
Change in net assets resulting from distributions to shareholders		(387,207	)		(102,582	)		(3,938,319	)		(6,593,414	)		(4,988,301	)		(8,324,600	)
Capital stock transactions:
Proceeds from sale of shares		3,302,459			6,158,439			16,844,101			14,963,101			21,818,957			30,045,053
Net asset value of shares issued to shareholders in payment of distributions declared		384,898			102,582			3,938,319			6,593,414			4,988,301			8,324,600
Cost of shares redeemed		(4,943,591	)		(3,331,016	)		(91,814,964	)		(26,142,752	)		(59,025,227	)		(52,533,067	)
Change in net assets resulting from capital stock transactions		(1,256,234	)		2,930,005			(71,032,544	)		(4,586,237	)		(32,217,969	)		(14,163,414	)
Change in net assets		(547,116	)		3,309,734			(69,083,937	)		(3,945,152	)		(27,970,762	)		(15,060,929	)
Net assets:
Beginning of period		7,753,195			4,443,461			143,018,326			146,963,478			139,130,878			154,191,807
End of period	$	7,206,079		$	7,753,195		$	73,934,389		$	143,018,326		$	111,160,116		$	139,130,878
Undistributed net investment income included in net assets at end of period	$	36,833		$	26,603		$	1,337,631		$	2,221,712		$	1,135,807		$	1,741,198

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

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

36

Statements of Changes in Net Assets BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	6,172,823		$	8,458,691		$	1,771,157		$	1,940,498		$	2,527,808		$	2,825,928
Net realized gain on investments		32,055,528			22,380,911			8,216,993			4,507,622			22,285,028			14,730,732
Net change in unrealized appreciation (depreciation) on investments		3,277,801			(5,627,353	)		7,336,431			864,287			4,477,343			(5,891,402	)
Change in net assets resulting from operations		41,506,152			25,212,249			17,324,581			7,312,407			29,290,179			11,665,258
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(1,887,442	)		(2,670,667	)		(293,423	)		(594,557	)		(444,228	)		(947,452	)
Institutional class of shares		(1,543,662	)		(1,639,131	)		(170,199	)		(281,588	)		(306,784	)		(528,389	)
Retirement class R-3 of shares		(417,940	)		(571,392	)		(160,972	)		(392,670	)		(181,480	)		(232,515	)
Retirement class R-6 of shares		(4,927,720	)		(5,290,678	)		(1,340,617	)		(1,388,142	)		(1,802,775	)		(2,050,840	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(5,403,978	)		(10,179,207	)		(1,064,644	)		(2,245,206	)		(3,575,428	)		(4,638,293	)
Institutional class of shares		(3,791,371	)		(5,371,935	)		(491,722	)		(889,202	)		(1,848,747	)		(2,052,379	)
Retirement class R-3 of shares		(1,439,192	)		(2,566,382	)		(844,909	)		(1,711,464	)		(1,664,710	)		(1,422,315	)
Retirement class R-6 of shares		(11,266,539	)		(16,132,271	)		(3,505,544	)		(4,043,597	)		(9,629,541	)		(7,266,289	)
Change in net assets resulting from distributions to shareholders		(30,677,844	)		(44,421,663	)		(7,872,030	)		(11,546,426	)		(19,453,693	)		(19,138,472	)
Capital stock transactions:
Proceeds from sale of shares		65,025,586			75,534,959			30,658,746			28,369,925			35,561,036			37,575,365
Net asset value of shares issued to shareholders in payment of distributions declared		30,301,890			44,421,663			7,872,030			11,546,426			19,453,693			19,138,472
Cost of shares redeemed		(201,885,039	)		(158,195,784	)		(59,108,452	)		(50,472,757	)		(108,341,684	)		(81,701,480	)
Change in net assets resulting from capital stock transactions		(106,557,563	)		(38,239,162	)		(20,577,676	)		(10,556,406	)		(53,326,955	)		(24,987,643	)
Change in net assets		(95,729,255	)		(57,448,576	)		(11,125,125	)		(14,790,425	)		(43,490,469	)		(32,460,857	)
Net assets:
Beginning of period		467,406,127			524,854,703			140,114,788			154,905,213			218,884,402			251,345,259
End of period	$	371,676,872		$	467,406,127		$	128,989,663		$	140,114,788		$	175,393,933		$	218,884,402
Undistributed net investment income included in net assets at end of period	$	2,882,312		$	4,060,170		$	775,028		$	622,699		$	921,601		$	667,893

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

37

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (2)
In-Retirement Fund
2017		$	9.54		$	0.18			$	0.39			$	0.57			$	(0.23	)		$	(0.49	)		$	(0.72	)		$	9.39		6.52	%		1.42	%		0.33	%		1.65	%		$	3,461		26	%
2016			10.02			0.22				0.27				0.49				(0.24	)			(0.73	)			(0.97	)			9.54		5.45			1.25			0.33			2.02				3,469		44
2015			11.05			0.24				(0.44	)			(0.20	)			(0.29	)			(0.54	)			(0.83	)			10.02		(1.94	)		1.03			0.33			1.96				4,804		53
2014			10.00			0.20				0.99				1.19				(0.12	)			(0.02	)			(0.14	)			11.05		12.03			1.08			0.33			1.92				7,120		45
2015 Fund
2017			10.66			0.34				0.53				0.87				(0.21	)			—				(0.21	)			11.32		8.33			4.29			0.33			1.47				411		72
2016			10.44			0.19				0.39				0.58				(0.25	)			(0.11	)			(0.36	)			10.66		5.76			4.07			0.33			1.80				689		49
2015			10.74			0.11				(0.35	)			(0.24	)			(0.06	)			—				(0.06	)			10.44		(2.27	)		4.21			0.33			1.54				632		83
2014(5)			10.00			0.02				0.72				0.74				—				—				—				10.74		7.40			73.54			0.33			1.23				229		29
2020 Fund
2017			10.21			0.17				0.81				0.98				(0.19	)			(0.48	)			(0.67	)			10.52		10.17			0.63			0.33			1.45				17,810		23
2016			10.49			0.17				0.41				0.58				(0.22	)			(0.64	)			(0.86	)			10.21		5.96			0.63			0.33			1.67				18,913		39
2015			11.34			0.18				(0.46	)			(0.28	)			(0.25	)			(0.32	)			(0.57	)			10.49		(2.58	)		0.59			0.33			1.64				21,331		37
2014			10.00			0.18				1.35				1.53				(0.15	)			(0.04	)			(0.19	)			11.34		15.43			0.63			0.33			1.72				32,064		35
2025 Fund
2017			10.74			0.12				1.10				1.22				(0.16	)			(0.19	)			(0.35	)			11.61		11.76			1.04			0.33			1.12				933		31
2016			10.42			0.15				0.44				0.59				(0.18	)			(0.09	)			(0.27	)			10.74		5.78			1.01			0.33			1.78				674		33
2015			10.78			0.06				(0.37	)			(0.31	)			(0.05	)			—				(0.05	)			10.42		(2.89	)		1.26			0.33			1.04				1,676		53
2014(5)			10.00			0.01				0.77				0.78				—				—				—				10.78		7.80			24.60			0.33			0.56				289		22
2030 Fund
2017			10.79			0.15				1.18				1.33				(0.15	)			(0.42	)			(0.57	)			11.55		12.89			0.61			0.37			1.25				19,498		25
2016			10.84			0.14				0.45				0.59				(0.18	)			(0.46	)			(0.64	)			10.79		5.75			0.61			0.37			1.37				19,681		33
2015			11.61			0.15				(0.49	)			(0.34	)			(0.18	)			(0.25	)			(0.43	)			10.84		(3.07	)		0.59			0.37			1.30				23,332		45
2014			10.00			0.15				1.66				1.81				(0.18	)			(0.02	)			(0.20	)			11.61		18.26			0.66			0.37			1.40				33,059		29
2035 Fund
2017			10.73			0.10				1.33				1.43				(0.14	)			(0.32	)			(0.46	)			11.70		13.85			1.13			0.37			0.91				734		32
2016			10.33			0.10				0.49				0.59				(0.15	)			(0.04	)			(0.19	)			10.73		5.84			1.02			0.37			1.35				659		29
2015			10.71			0.01				(0.38	)			(0.37	)			(0.01	)			—				(0.01	)			10.33		(3.43	)		1.29			0.37			0.26				870		96
2014(5)			10.00			0.00				0.71				0.71				—				—				—				10.71		7.10			23.63			0.37			0.16				348		29
2040 Fund
2017			10.68			0.16				1.32				1.48				(0.13	)			(0.47	)			(0.60	)			11.56		14.59			0.73			0.36			1.30				11,098		24
2016			10.92			0.12				0.47				0.59				(0.16	)			(0.67	)			(0.83	)			10.68		5.74			0.71			0.36			1.18				13,370		31
2015			11.75			0.12				(0.51	)			(0.39	)			(0.20	)			(0.24	)			(0.44	)			10.92		(3.46	)		0.67			0.36			1.14				12,852		36
2014			10.00			0.14				1.82				1.96				(0.19	)			(0.02	)			(0.21	)			11.75		19.81			0.76			0.36			1.45				18,090		22
2045 Fund
2017(7)			10.92			0.11				1.41				1.52				(0.13	)			(0.38	)			(0.51	)			11.93		14.58			1.72			0.36			1.03				911		31
2016			10.48			0.09				0.53				0.62				(0.15	)			(0.03	)			(0.18	)			10.92		6.02			1.53			0.36			1.33				868		32
2015			10.84			(0.01	)			(0.34	)			(0.35	)			(0.01	)			—				(0.01	)			10.48		(3.27	)		2.14			0.36			0.26				1,142		95
2014(5)			10.00			0.00				0.84				0.84				—				—				—				10.84		8.40			33.37			0.36			0.04				154		35
2050 Fund
2017			11.05			0.21				1.34				1.55				(0.13	)			(0.48	)			(0.61	)			11.99		14.67			0.85			0.36			1.55				8,400		27
2016			10.96			0.13				0.50				0.63				(0.16	)			(0.38	)			(0.54	)			11.05		5.98			0.86			0.36			1.15				10,382		29
2015			11.76			0.12				(0.50	)			(0.38	)			(0.19	)			(0.23	)			(0.42	)			10.96		(3.37	)		0.84			0.36			1.06				10,275		39
2014			10.00			0.14				1.81				1.95				(0.17	)			(0.02	)			(0.19	)			11.76		19.69			1.08			0.36			1.36				11,231		28
2055 Fund
2017			10.85			0.11				1.40				1.51				(0.12	)			(0.34	)			(0.46	)			11.90		14.39			2.56			0.36			0.91				551		56
2016			10.41			0.09				0.54				0.63				(0.13	)			(0.06	)			(0.19	)			10.85		6.15			3.32			0.36			1.46				410		38
2015			10.85			0.06				(0.42	)			(0.36	)			(0.06	)			(0.02	)			(0.08	)			10.41		(3.33	)		6.91			0.36			0.57				1,049		61
2014(5)			10.00			0.00				0.85				0.85				—				—				—				10.85		8.50			50.05			0.36			0.07				143		123

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

38

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (2)
Conservative Allocation Fund
2017		$	9.80		$	0.18		$	0.28			$	0.46			$	(0.24	)		$	(0.00	)		$	(0.24	)		$	10.02		4.83	%		0.58	%		0.33	%		1.55	%		$	15,531		40	%
2016			9.76			0.25			0.21				0.46				(0.23	)			(0.19	)			(0.42	)			9.80		4.98			0.56			0.33			2.23				17,919		31
2015			10.14			0.20			(0.34	)			(0.14	)			(0.16	)			(0.08	)			(0.24	)			9.76		(1.37	)		0.57			0.33			1.97				23,598		39
2014(6)			10.00			0.03			0.11				0.14				—				—				—				10.14		1.40			0.60			0.33			1.17				25,931		10
Moderate Allocation Fund
2017			9.72			0.17			0.55				0.72				(0.22	)			(0.14	)			(0.36	)			10.08		7.59			0.58			0.30			1.43				7,777		39
2016			9.78			0.24			0.23				0.47				(0.20	)			(0.33	)			(0.53	)			9.72		5.13			0.56			0.30			1.92				13,119		38
2015			10.20			0.17			(0.36	)			(0.19	)			(0.17	)			(0.06	)			(0.23	)			9.78		(1.89	)		0.57			0.30			1.72				22,595		30
2014(6)			10.00			0.04			0.16				0.20				—				—				—				10.20		2.00			0.60			0.30			1.60				24,928		8
Balanced Allocation Fund
2017			9.42			0.13			0.79				0.92				(0.18	)			(0.51	)			(0.69	)			9.65		10.33			0.48			0.33			1.19				101,517		35
2016			9.78			0.15			0.32				0.47				(0.17	)			(0.66	)			(0.83	)			9.42		5.23			0.47			0.33			1.54				110,814		33
2015			10.26			0.15			(0.39	)			(0.24	)			(0.17	)			(0.07	)			(0.24	)			9.78		(2.41	)		0.47			0.33			1.38				157,207		29
2014(6)			10.00			0.03			0.23				0.26				—				—				—				10.26		2.60			0.47			0.33			1.14				184,860		6
Growth Allocation Fund
2017			9.57			0.10			1.11				1.21				(0.12	)			(0.43	)			(0.55	)			10.23		13.27			0.57			0.30			1.10				16,758		42
2016			9.82			0.12			0.37				0.49				(0.16	)			(0.58	)			(0.74	)			9.57		5.28			0.56			0.30			1.22				24,691		38
2015			10.31			0.11			(0.41	)			(0.30	)			(0.16	)			(0.03	)			(0.19	)			9.82		(2.95	)		0.57			0.30			1.10				43,023		20
2014(6)			10.00			0.02			0.29				0.31				—				—				—				10.31		3.10			0.60			0.30			0.73				46,520		6
Aggressive Allocation Fund
2017			9.56			0.11			1.27				1.38				(0.10	)			(0.83	)			(0.93	)			10.01		15.60			0.53			0.33			1.03				37,632		33
2016			9.85			0.10			0.38				0.48				(0.13	)			(0.64	)			(0.77	)			9.56		5.14			0.52			0.33			1.04				52,260		33
2015			10.36			0.12			(0.41	)			(0.29	)			(0.18	)			(0.04	)			(0.22	)			9.85		(2.79	)		0.53			0.34			0.73				83,064		44
2014(6)			10.00			0.01			0.35				0.36				—				—				—				10.36		3.60			0.58			0.36			0.42				63,049		3

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

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

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) Calculated using the average shares method.

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

39

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (2)
Conservative Allocation Fund
2017		$	9.81		$	0.18		$	0.30			$	0.48			$	(0.27	)		$	(0.00	)		$	(0.27	)		$	10.02		5.07	%		0.33	%		0.08	%		1.78	%		$	26,464		40	%
2016			9.77			0.24			0.25				0.49				(0.26	)			(0.19	)			(0.45	)			9.81		5.29			0.31			0.08			2.46				29,479		31
2015			10.15			0.23			(0.35	)			(0.12	)			(0.17	)			(0.09	)			(0.26	)			9.77		(1.22	)		0.32			0.08			2.23				29,104		39
2014(5)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.35			0.08			1.41				29,082		10
Moderate Allocation Fund
2017			9.73			0.17			0.57				0.74				(0.25	)			(0.14	)			(0.39	)			10.08		7.82			0.33			0.05			1.66				9,375		39
2016			9.79			0.23			0.28				0.51				(0.24	)			(0.33	)			(0.57	)			9.73		5.50			0.31			0.05			2.15				11,990		38
2015			10.21			0.21			(0.38	)			(0.17	)			(0.18	)			(0.07	)			(0.25	)			9.79		(1.75	)		0.32			0.05			1.95				16,112		30
2014(5)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.35			0.05			1.82				17,704		8
Balanced Allocation Fund
2017			9.43			0.13			0.81				0.94				(0.20	)			(0.51	)			(0.71	)			9.66		10.67			0.23			0.08			1.42				52,821		35
2016			9.79			0.17			0.33				0.50				(0.20	)			(0.66	)			(0.86	)			9.43		5.54			0.22			0.08			1.73				74,515		33
2015			10.26			0.17			(0.39	)			(0.22	)			(0.19	)			(0.06	)			(0.25	)			9.79		(2.17	)		0.22			0.08			1.59				81,475		29
2014(5)			10.00			0.04			0.22				0.26				—				—				—				10.26		2.60			0.22			0.08			1.39				79,584		6
Growth Allocation Fund
2017			9.58			0.09			1.14				1.23				(0.15	)			(0.43	)			(0.58	)			10.23		13.51			0.32			0.05			1.15				8,969		42
2016			9.84			0.14			0.37				0.51				(0.19	)			(0.58	)			(0.77	)			9.58		5.50			0.31			0.05			1.48				9,696		38
2015			10.32			0.15			(0.42	)			(0.27	)			(0.18	)			(0.03	)			(0.21	)			9.84		(2.72	)		0.32			0.05			1.32				15,252		20
2014(5)			10.00			0.02			0.30				0.32				—				—				—				10.32		3.20			0.35			0.05			0.96				18,598		6
Aggressive Allocation Fund
2017			9.57			0.14			1.25				1.39				(0.13	)			(0.83	)			(0.96	)			10.00		15.79			0.28			0.08			1.29				14,685		33
2016			9.87			0.11			0.39				0.50				(0.16	)			(0.64	)			(0.80	)			9.57		5.41			0.27			0.08			1.31				24,026		33
2015			10.37			0.14			(0.40	)			(0.26	)			(0.19	)			(0.05	)			(0.24	)			9.87		(2.55	)		0.28			0.09			1.06				31,770		44
2014(5)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.33			0.11			0.66				27,401		3

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

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

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

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

40

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
In-Retirement Fund
2017		$	9.54		$	0.32			$	0.25			$	0.57			$	(0.20	)		$	(0.49	)		$	(0.69	)		$	9.42		6.39	%		1.67	%		0.58	%		1.57	%		$	634		26	%
2016			10.01			0.19				0.28				0.47				(0.21	)			(0.73	)			(0.94	)			9.54		5.19			1.50			0.58			1.77				1,720		44
2015			11.03			0.19				(0.42	)			(0.23	)			(0.26	)			(0.53	)			(0.79	)			10.01		(2.24	)		1.28			0.58			1.76				2,149		53
2014			10.00			0.19				0.98				1.17				(0.12	)			(0.02	)			(0.14	)			11.03		11.74			1.33			0.58			1.64				4,283		45
2015 Fund
2017			10.65			0.14				0.70				0.84				(0.19	)			—				(0.19	)			11.30		8.07			4.54			0.58			1.31				114		72
2016			10.41			0.26				0.30				0.56				(0.21	)			(0.11	)			(0.32	)			10.65		5.57			4.32			0.58			1.75				136		49
2015			10.72			0.09				(0.36	)			(0.27	)			(0.04	)			—				(0.04	)			10.41		(2.50	)		4.46			0.58			1.33				221		83
2014(5)			10.00			0.03				0.69				0.72				—				—				—				10.72		7.20			73.79			0.58			1.18				105		29
2020 Fund
2017			10.22			0.16				0.79				0.95				(0.16	)			(0.48	)			(0.64	)			10.53		9.87			0.88			0.58			1.32				6,813		23
2016			10.48			0.17				0.39				0.56				(0.18	)			(0.64	)			(0.82	)			10.22		5.74			0.88			0.58			1.44				11,985		39
2015			11.33			0.17				(0.48	)			(0.31	)			(0.22	)			(0.32	)			(0.54	)			10.48		(2.88	)		0.84			0.58			1.39				15,177		37
2014			10.00			0.15				1.36				1.51				(0.14	)			(0.04	)			(0.18	)			11.33		15.23			0.88			0.58			1.28				23,025		35
2025 Fund
2017			10.69			0.24				0.97				1.21				(0.15	)			(0.19	)			(0.34	)			11.56		11.66			1.29			0.58			1.17				150		31
2016			10.38			0.14				0.42				0.56				(0.16	)			(0.09	)			(0.25	)			10.69		5.49			1.26			0.58			1.30				1,053		33
2015			10.76			0.03				(0.36	)			(0.33	)			(0.05	)			—				(0.05	)			10.38		(3.06	)		1.51			0.58			0.74				1,388		53
2014(5)			10.00			0.04				0.72				0.76				—				—				—				10.76		7.60			24.85			0.58			0.59				2		22
2030 Fund
2017			10.78			0.14				1.17				1.31				(0.12	)			(0.42	)			(0.54	)			11.55		12.70			0.86			0.62			1.13				6,316		25
2016			10.82			0.12				0.45				0.57				(0.15	)			(0.46	)			(0.61	)			10.78		5.53			0.86			0.62			1.15				9,875		33
2015			11.59			0.13				(0.51	)			(0.38	)			(0.14	)			(0.25	)			(0.39	)			10.82		(3.39	)		0.84			0.62			1.09				12,812		45
2014			10.00			0.13				1.65				1.78				(0.17	)			(0.02	)			(0.19	)			11.59		17.98			0.91			0.62			1.21				20,329		29
2035 Fund
2017			10.67			0.11				1.29				1.40				(0.12	)			(0.32	)			(0.44	)			11.63		13.59			1.38			0.62			0.99				120		32
2016			10.27			0.12				0.44				0.56				(0.12	)			(0.04	)			(0.16	)			10.67		5.55			1.27			0.62			1.06				492		29
2015			10.68			(0.03	)			(0.36	)			(0.39	)			(0.02	)			—				(0.02	)			10.27		(3.65	)		1.54			0.62			(0.13	)			734		96
2014(5)			10.00			0.01				0.67				0.68				—				—				—				10.68		6.80			23.88			0.62			0.19				3		29
2040 Fund
2017			10.69			0.19				1.26				1.45				(0.10	)			(0.47	)			(0.57	)			11.57		14.17			0.98			0.61			1.22				2,555		24
2016			10.91			0.12				0.44				0.56				(0.11	)			(0.67	)			(0.78	)			10.69		5.48			0.96			0.61			1.06				4,991		31
2015			11.72			0.10				(0.50	)			(0.40	)			(0.17	)			(0.24	)			(0.41	)			10.91		(3.57	)		0.92			0.61			0.92				7,748		36
2014			10.00			0.11				1.82				1.93				(0.19	)			(0.02	)			(0.21	)			11.72		19.42			1.01			0.61			0.97				11,429		22
2045 Fund
2017(7)			10.87			0.09				1.41				1.50				(0.12	)			(0.38	)			(0.50	)			11.87		14.35			1.97			0.61			0.80				53		31
2016			10.42			0.13				0.46				0.59				(0.11	)			(0.03	)			(0.14	)			10.87		5.74			1.78			0.61			1.02				426		32
2015			10.82			(0.07	)			(0.31	)			(0.38	)			(0.02	)			—				(0.02	)			10.42		(3.53	)		2.39			0.61			(0.90	)			746		95
2014(5)			10.00			0.00				0.82				0.82				—				—				—				10.82		8.20			33.62			0.61			0.01				3		35
2050 Fund
2017			11.04			0.14				1.38				1.52				(0.11	)			(0.48	)			(0.59	)			11.97		14.38			1.10			0.61			1.07				3,115		27
2016			10.95			0.10				0.50				0.60				(0.13	)			(0.38	)			(0.51	)			11.04		5.66			1.11			0.61			0.98				4,515		29
2015			11.74			0.09				(0.50	)			(0.41	)			(0.15	)			(0.23	)			(0.38	)			10.95		(3.57	)		1.09			0.61			0.81				5,072		39
2014			10.00			0.11				1.82				1.93				(0.17	)			(0.02	)			(0.19	)			11.74		19.40			1.33			0.61			0.87				6,826		28
2055 Fund
2017			10.80			0.07				1.41				1.48				(0.11	)			(0.34	)			(0.45	)			11.83		14.22			2.81			0.61			1.09				94		56
2016			10.38			0.09				0.50				0.59				(0.11	)			(0.06	)			(0.17	)			10.80		5.73			3.57			0.61			0.82				477		38
2015			10.84			0.03				(0.41	)			(0.38	)			(0.06	)			(0.02	)			(0.08	)			10.38		(3.55	)		7.16			0.61			0.14				395		61
2014(5)			10.00			0.01				0.83				0.84				—				—				—				10.84		8.40			50.30			0.61			0.44				54		123

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

41

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Conservative Allocation Fund
2017		$	9.80		$	0.13		$	0.30			$	0.43			$	(0.22	)		$	(0.00	)		$	(0.22	)		$	10.01		4.52	%		0.83	%		0.58	%		1.34	%		$	3,012		40	%
2016			9.74			0.21			0.24				0.45				(0.20	)			(0.19	)			(0.39	)			9.80		4.82			0.81			0.58			1.97				6,802		31
2015			10.14			0.20			(0.37	)			(0.17	)			(0.15	)			(0.08	)			(0.23	)			9.74		(1.72	)		0.82			0.58			1.74				7,624		39
2014(6)			10.00			0.02			0.12				0.14				—				—				—				10.14		1.40			0.85			0.58			0.91				11,583		10
Moderate Allocation Fund
2017			9.72			0.11			0.58				0.69				(0.19	)			(0.14	)			(0.33	)			10.08		7.37			0.83			0.55			1.10				13,725		39
2016			9.76			0.26			0.19				0.45				(0.16	)			(0.33	)			(0.49	)			9.72		4.90			0.81			0.55			1.65				12,695		38
2015			10.20			0.15			(0.37	)			(0.22	)			(0.16	)			(0.06	)			(0.22	)			9.76		(2.23	)		0.82			0.55			1.45				22,279		30
2014(6)			10.00			0.03			0.17				0.20				—				—				—				10.20		2.00			0.85			0.55			1.33				19,949		8
Balanced Allocation Fund
2017			9.40			0.09			0.80				0.89				(0.14	)			(0.51	)			(0.65	)			9.64		10.11			0.73			0.58			0.92				23,649		35
2016			9.76			0.13			0.31				0.44				(0.14	)			(0.66	)			(0.80	)			9.40		4.94			0.72			0.58			1.28				29,095		33
2015			10.25			0.12			(0.38	)			(0.26	)			(0.16	)			(0.07	)			(0.23	)			9.76		(2.64	)		0.72			0.58			1.15				38,677		29
2014(6)			10.00			0.02			0.23				0.25				—				—				—				10.25		2.50			0.72			0.58			0.89				44,647		6
Growth Allocation Fund
2017			9.55			0.10			1.08				1.18				(0.08	)			(0.43	)			(0.51	)			10.22		12.96			0.82			0.55			0.85				18,846		42
2016			9.81			0.09			0.37				0.46				(0.14	)			(0.58	)			(0.72	)			9.55		4.95			0.81			0.55			0.91				25,876		38
2015			10.30			0.09			(0.40	)			(0.31	)			(0.15	)			(0.03	)			(0.18	)			9.81		(3.10	)		0.82			0.55			0.83				28,903		20
2014(6)			10.00			0.01			0.29				0.30				—				—				—				10.30		3.00			0.85			0.55			0.46				31,065		6
Aggressive Allocation Fund
2017			9.55			0.06			1.29				1.35				(0.09	)			(0.83	)			(0.92	)			9.98		15.24			0.78			0.58			0.63				17,152		33
2016			9.84			0.07			0.38				0.45				(0.10	)			(0.64	)			(0.74	)			9.55		4.87			0.77			0.58			0.77				19,395		33
2015			10.35			0.10			(0.40	)			(0.30	)			(0.17	)			(0.04	)			(0.21	)			9.84		(2.94	)		0.78			0.59			0.48				22,578		44
2014(6)			10.00			0.00			0.35				0.35				—				—				—				10.35		3.50			0.83			0.61			0.16				16,200		3

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

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

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) Calculated using the average shares method.

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

42

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)(7)			Net investment income (2)
In-Retirement Fund
2017		$	9.55		$	0.22		$	0.40			$	0.62			$	(0.28	)		$	(0.49	)		$	(0.77	)		$	9.40		7.04	%		1.02	%		0.00	%		2.11	%		$	10,885		26	%
2016			10.05			0.26			0.27				0.53				(0.30	)			(0.73	)			(1.03	)			9.55		5.85			0.85			0.00			2.37				16,406		44
2015			11.08			0.29			(0.45	)			(0.16	)			(0.34	)			(0.53	)			(0.87	)			10.05		(1.54	)		0.63			0.00			2.35				16,611		53
2014			10.00			0.25			0.99				1.24				(0.14	)			(0.02	)			(0.16	)			11.08		12.47			0.68			0.00			2.31				20,128		45
2015 Fund
2017			10.73			0.19			0.73				0.92				(0.26	)			—				(0.26	)			11.39		8.80			3.89			0.00			1.97				3,390		72
2016			10.50			0.25			0.38				0.63				(0.29	)			(0.11	)			(0.40	)			10.73		6.22			3.67			0.00			2.21				3,744		49
2015			10.78			0.13			(0.34	)			(0.21	)			(0.07	)			—				(0.07	)			10.50		(1.92	)		3.81			0.00			1.94				4,234		83
2014(5)			10.00			0.08			0.70				0.78				—				—				—				10.78		7.80			73.14			0.00			1.75				174		29
2020 Fund
2017			10.23			0.19			0.83				1.02				(0.23	)			(0.48	)			(0.71	)			10.54		10.66			0.23			0.00			1.76				56,024		23
2016			10.52			0.21			0.41				0.62				(0.27	)			(0.64	)			(0.91	)			10.23		6.39			0.23			0.00			2.01				62,358		39
2015			11.38			0.25			(0.50	)			(0.25	)			(0.29	)			(0.32	)			(0.61	)			10.52		(2.28	)		0.19			0.00			1.98				53,085		37
2014			10.00			0.22			1.36				1.58				(0.16	)			(0.04	)			(0.20	)			11.38		15.98			0.23			0.00			1.97				59,502		35
2025 Fund
2017			10.81			0.17			1.11				1.28				(0.22	)			(0.19	)			(0.41	)			11.68		12.20			0.64			0.00			1.75				20,473		31
2016			10.48			0.19			0.44				0.63				(0.21	)			(0.09	)			(0.30	)			10.81		6.15			0.61			0.00			1.83				28,905		33
2015			10.81			0.09			(0.35	)			(0.26	)			(0.07	)			—				(0.07	)			10.48		(2.45	)		0.86			0.00			1.48				26,042		53
2014(5)			10.00			0.05			0.76				0.81				—				—				—				10.81		8.10			24.20			0.00			1.39				1,363		22
2030 Fund
2017			10.81			0.16			1.22				1.38				(0.20	)			(0.42	)			(0.62	)			11.57		13.38			0.21			0.00			1.48				66,995		25
2016			10.87			0.19			0.45				0.64				(0.24	)			(0.46	)			(0.70	)			10.81		6.21			0.21			0.00			1.66				73,828		33
2015			11.64			0.16			(0.46	)			(0.30	)			(0.22	)			(0.25	)			(0.47	)			10.87		(2.70	)		0.19			0.00			1.57				60,302		45
2014			10.00			0.19			1.66				1.85				(0.19	)			(0.02	)			(0.21	)			11.64		18.70			0.26			0.00			1.50				48,829		29
2035 Fund
2017			10.79			0.14			1.34				1.48				(0.18	)			(0.32	)			(0.50	)			11.77		14.31			0.73			0.00			1.70				12,216		32
2016			10.38			0.17			0.47				0.64				(0.19	)			(0.04	)			(0.23	)			10.79		6.26			0.62			0.00			1.57				30,132		29
2015			10.73			0.04			(0.36	)			(0.32	)			(0.03	)			—				(0.03	)			10.38		(2.99	)		0.89			0.00			0.97				27,613		96
2014(5)			10.00			0.04			0.69				0.73				—				—				—				10.73		7.30			23.23			0.00			1.06				1,201		29
2040 Fund
2017			10.71			0.14			1.38				1.52				(0.18	)			(0.47	)			(0.65	)			11.58		14.98			0.33			0.00			1.40				38,944		24
2016			10.96			0.17			0.46				0.63				(0.21	)			(0.67	)			(0.88	)			10.71		6.17			0.31			0.00			1.51				48,219		31
2015			11.78			0.16			(0.50	)			(0.34	)			(0.24	)			(0.24	)			(0.48	)			10.96		(2.98	)		0.27			0.00			1.45				40,193		36
2014			10.00			0.18			1.83				2.01				(0.21	)			(0.02	)			(0.23	)			11.78		20.26			0.36			0.00			1.39				39,760		22
2045 Fund
2017(8)			10.98			0.19			1.39				1.58				(0.18	)			(0.38	)			(0.56	)			12.00		15.08			1.32			0.00			1.71				6,964		31
2016			10.53			0.16			0.50				0.66				(0.18	)			(0.03	)			(0.21	)			10.98		6.38			1.13			0.00			1.48				15,877		32
2015			10.87			0.03			(0.35	)			(0.32	)			(0.02	)			—				(0.02	)			10.53		(2.91	)		1.74			0.00			0.85				13,046		95
2014(5)			10.00			0.04			0.83				0.87				—				—				—				10.87		8.70			32.97			0.00			0.93				895		35
2050 Fund
2017			11.08			0.14			1.45				1.59				(0.19	)			(0.48	)			(0.67	)			12.00		15.09			0.45			0.00			1.28				28,173		27
2016			11.00			0.17			0.50				0.67				(0.21	)			(0.38	)			(0.59	)			11.08		6.37			0.46			0.00			1.48				30,317		29
2015			11.80			0.14			(0.48	)			(0.34	)			(0.23	)			(0.23	)			(0.46	)			11.00		(2.99	)		0.44			0.00			1.37				22,487		39
2014			10.00			0.18			1.83				2.01				(0.19	)			(0.02	)			(0.21	)			11.80		20.24			0.68			0.00			1.39				17,346		28
2055 Fund
2017			10.91			0.16			1.41				1.57				(0.17	)			(0.34	)			(0.51	)			11.97		14.93			2.16			0.00			1.53				6,561		56
2016			10.47			0.15			0.51				0.66				(0.16	)			(0.06	)			(0.22	)			10.91		6.43			2.92			0.00			1.30				6,866		38
2015			10.89			0.07			(0.39	)			(0.32	)			(0.08	)			(0.02	)			(0.10	)			10.47		(2.96	)		6.51			0.00			0.90				2,809		61
2014(5)			10.00			0.03			0.86				0.89				—				—				—				10.89		8.90			49.65			0.00			0.84				477		123

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

43

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)(7)			Net investment income (2)
Conservative Allocation Fund
2017		$	9.82		$	0.27		$	0.23			$	0.50			$	(0.29	)		$	(0.00	)		$	(0.29	)		$	10.03		5.22	%		0.18	%		0.00	%		1.96	%		$	28,927		40	%
2016			9.79			0.25			0.24				0.49				(0.27	)			(0.19	)			(0.46	)			9.82		5.34			0.16			0.00			2.61				88,818		31
2015			10.15			0.25			(0.34	)			(0.09	)			(0.19	)			(0.08	)			(0.27	)			9.79		(0.94	)		0.17			0.00			2.38				86,637		39
2014(6)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.20			0.00			1.57				92,207		10
Moderate Allocation Fund
2017			9.74			0.21			0.54				0.75				(0.26	)			(0.14	)			(0.40	)			10.09		8.02			0.18			0.00			1.83				80,283		39
2016			9.80			0.22			0.30				0.52				(0.25	)			(0.33	)			(0.58	)			9.74		5.67			0.16			0.00			2.27				101,327		38
2015			10.21			0.21			(0.37	)			(0.16	)			(0.19	)			(0.06	)			(0.25	)			9.80		(1.56	)		0.17			0.00			2.11				93,206		30
2014(6)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.20			0.00			1.99				95,654		8
Balanced Allocation Fund
2017			9.44			0.19			0.76				0.95				(0.22	)			(0.51	)			(0.73	)			9.66		10.73			0.08			0.00			1.67				193,690		35
2016			9.80			0.18			0.33				0.51				(0.21	)			(0.66	)			(0.87	)			9.44		5.70			0.07			0.00			1.87				252,982		33
2015			10.27			0.18			(0.39	)			(0.21	)			(0.19	)			(0.07	)			(0.26	)			9.80		(2.08	)		0.07			0.00			1.78				247,496		29
2014(6)			10.00			0.04			0.23				0.27				—				—				—				10.27		2.70			0.07			0.00			1.54				284,021		6
Growth Allocation Fund
2017			9.59			0.16			1.09				1.25				(0.17	)			(0.43	)			(0.60	)			10.24		13.69			0.17			0.00			1.49				84,417		42
2016			9.85			0.15			0.37				0.52				(0.20	)			(0.58	)			(0.78	)			9.59		5.67			0.16			0.00			1.51				79,852		38
2015			10.32			0.16			(0.41	)			(0.25	)			(0.19	)			(0.03	)			(0.22	)			9.85		(2.52	)		0.17			0.00			1.47				67,727		20
2014(6)			10.00			0.03			0.29				0.32				—				—				—				10.32		3.20			0.20			0.00			1.11				56,647		6
Aggressive Allocation Fund
2017			9.58			0.15			1.26				1.41				(0.15	)			(0.83	)			(0.98	)			10.01		16.00			0.13			0.00			1.43				105,925		33
2016			9.88			0.14			0.38				0.52				(0.18	)			(0.64	)			(0.82	)			9.58		5.58			0.12			0.00			1.38				123,203		33
2015			10.37			0.17			(0.41	)			(0.24	)			(0.21	)			(0.04	)			(0.25	)			9.88		(2.37	)		0.12			0.00			1.12				113,933		44
2014(6)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.18			0.00			0.82				73,040		3

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

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

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) Please refer to Note 5, subsection Investment Adviser Fee and Other Transactions with Affiliates, in the Notes to Financial Statements.

(8) Calculated using the average shares method.

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

44

August 31, 2017

Notes to Financial Statements BMO Funds

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of August 31, 2017, the Corporation consisted of 43 portfolios, including 10 target retirement and 5 target risk diversified portfolios within this annual report (individually referred to as the “Fund,” or collectively as the “Funds”), each with differing share class offerings as well as 28 other portfolios whose annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Target Retirement
In-Retirement Fund	August 30, 2013	The investment objective of each Target Retirement Fund is to achieve growth, income, and conservation of capital to varying degrees depending on its proximity to its target date. As the Fund approaches its target date, the Fund will reduce its emphasis on growth and increase its emphasis on income and preservation of capital.
2015 Fund	December 27, 2013
2020 Fund	August 30, 2013
2025 Fund	December 27, 2013
2030 Fund	August 30, 2013
2035 Fund	December 27, 2013
2040 Fund	August 30, 2013
2045 Fund	December 27, 2013
2050 Fund	August 30, 2013
2055 Fund	December 27, 2013
Target Risk
Conservative Allocation Fund	May 30, 2014	To provide total return primarily from income, secondarily from appreciation.
Moderate Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Balanced Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Growth Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Aggressive Allocation Fund	May 30, 2014	To provide total investment return primarily from appreciation, secondarily from income.

The target investment allocation for each of the Target Risk Funds, based on each Fund’s total assets, is set forth below.

Target Risk Fund	Equity		Fixed Income		Money Market Funds
Conservative Allocation Fund		10%–30%		70%–90%		0%–10%
Moderate Allocation Fund		30%–50%		50%–70%		0%–10%
Balanced Allocation Fund		50%–70%		30%–50%		0%–10%
Growth Allocation Fund		70%–90%		10%–30%		0%–10%
Aggressive Allocation Fund		90%–100%		0%		0%–10%

Each Fund seeks to achieve its investment objectives by investing in a mix (without limitation) of BMO Funds and unaffiliated mutual funds. The Funds are designed to provide investors with investment management, asset allocation, and ongoing reallocation over time. Each Fund is considered a “fund of funds” because it invests in other mutual funds. A fund of funds bears its own direct expenses in addition to bearing a proportionate share of expenses charged to the underlying funds in which it invests.

2. Significant Accounting Policies

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

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

Investment Valuations—Investments in other open-end registered investment companies are valued at net asset value.

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

45

Notes to Financial Statements (continued)

The Pricing Committee may determine that a security needs to be fair valued. In valuing underlying fund investments, the Funds use the NAVs reported by the underlying funds. An underlying fund may need to fair value one or more of its investments, which may, in turn, require a Fund to do the same because of delays in obtaining the underlying fund’s NAV.

Investment Income, Expenses, and Distributions—Investment income and expenses are accrued daily. The Funds distribute net investment income, if any, and net realized gains (net of any capital loss carryovers) annually. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair market value. Paid-in-kind interest included in interest income, if any, is accrued daily.

The Funds offer multiple classes of shares which differ in their respective distribution, administration, and service fees. All shareholders bear the common expenses of the Funds. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in class-specific expenses. Income, non-class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based on the value of total shares outstanding of each class without distinction between share classes. Expenses attributable to a particular class of shares, such as shareholder servicing fees, are allocated directly to that class.

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

Securities of Other Investment Companies & Underlying Fund Investment Risk—The Funds may invest in the securities of other investment companies, including exchange-traded funds, within the limits prescribed by the 1940 Act and the rules promulgated thereunder. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. The Funds also may invest in investment companies that are not organized under the laws of the United States. The Fund’s risks are directly related to the risks of the underlying funds. It is important to understand the risks associated with investing in the underlying funds.

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

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

3. Fair Value Measurement

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

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

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

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

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

In May 2015, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standard Update (“ASU”) 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Unit (or Its Equivalent), modifying ASC 820. Under the modifications, investments in private investment funds valued at net asset value are no longer included in the fair value hierarchy. For the year ended August 31, 2017, the Funds had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy. It is the Funds’ policy to recognize transfers between category levels at the end of the period. For the year ended August 31, 2017, there were no transfers in and out of Level 1, Level 2 and Level 3. The Funds did not hold any Level 2 or Level 3 securities as of August 31, 2017.

46

BMO Funds

The following is a summary of the inputs used, as of August 31, 2017, in valuing the Funds’ assets:

	In-Retirement Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	14,792,260	$	—	$	—	$	14,792,260
Short-Term Investments		144,477		—		—		144,477
Total	$	14,936,737	$	—	$	—	$	14,936,737
	2015 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	3,869,676	$	—	$	—	$	3,869,676
Short-Term Investments		39,798		—		—		39,798
Total	$	3,909,474	$	—	$	—	$	3,909,474
	2020 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	79,758,576	$	—	$	—	$	79,758,576
Short-Term Investments		720,855		—		—		720,855
Total	$	80,479,431	$	—	$	—	$	80,479,431
	2025 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	21,172,338	$	—	$	—	$	21,172,338
Short-Term Investments		246,901		—		—		246,901
Total	$	21,419,239	$	—	$	—	$	21,419,239
	2030 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	91,576,106	$	—	$	—	$	91,576,106
Short-Term Investments		1,008,652		—		—		1,008,652
Total	$	92,584,758	$	—	$	—	$	92,584,758
	2035 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	12,927,397	$	—	$	—	$	12,927,397
Short-Term Investments		58,671		—		—		58,671
Total	$	12,986,068	$	—	$	—	$	12,986,068
	2040 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	51,952,010	$	—	$	—	$	51,952,010
Short-Term Investments		533,274		—		—		533,274
Total	$	52,485,284	$	—	$	—	$	52,485,284
	2045 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	7,828,852	$	—	$	—	$	7,828,852
Short-Term Investments		78,288		—		—		78,288
Total	$	7,907,140	$	—	$	—	$	7,907,140

	2050 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	39,132,791	$	—	$	—	$	39,132,791
Short-Term Investments		391,301		—		—		391,301
Total	$	39,524,092	$	—	$	—	$	39,524,092
	2055 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	7,083,576	$	—	$	—	$	7,083,576
Short-Term Investments		70,830		—		—		70,830
Total	$	7,154,406	$	—	$	—	$	7,154,406
	Conservative Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	72,974,278	$	—	$	—	$	72,974,278
Short-Term Investments		615,540		—		—		615,540
Total	$	73,589,818	$	—	$	—	$	73,589,818
	Moderate Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	109,955,524	$	—	$	—	$	109,955,524
Short-Term Investments		1,030,079		—		—		1,030,079
Total	$	110,985,603	$	—	$	—	$	110,985,603
	Balanced Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	366,867,444	$	—	$	—	$	366,867,444
Short-Term Investments		3,074,917		—		—		3,074,917
Total	$	369,942,361	$	—	$	—	$	369,942,361
	Growth Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	127,703,596	$	—	$	—	$	127,703,596
Short-Term Investments		1,222,859		—		—		1,222,859
Total	$	128,926,455	$	—	$	—	$	128,926,455
	Aggressive Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	173,769,232	$	—	$	—	$	173,769,232
Short-Term Investments		444,956		—		—		444,956
Total	$	174,214,188	$	—	$	—	$	174,214,188

47

Notes to Financial Statements (continued)

4. Capital Stock

The Articles of Incorporation permit the Directors to issue an indefinite number of full and fractional shares of common stock, par value $0.0001 per share. Transactions in capital stock were as follows:

	In-Retirement Fund						2015 Fund						2020 Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,008,269		$	757,262		$	656,625		$	322,398		$	2,713,803		$	3,811,445
Institutional class of shares		—			146,670	(1)		—			2,318	(1)		—			384,344	(1)
Retirement class R-3 of shares		534,506			471,110			3,871			326,651			1,696,274			2,597,725
Retirement class R-6 of shares		1,499,670			4,418,734			1,549,699			327,621			7,678,581			14,282,672
Net proceeds from sale of shares		3,042,445			5,793,776			2,210,195			978,988			12,088,658			21,076,186
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		229,242			415,792			7,555			20,044			1,080,668			1,777,801
Institutional class of shares		—			28,070	(1)		—			3,995	(1)		—			347,404	(1)
Retirement class R-3 of shares		78,175			165,007			555			5,045			661,731			1,012,032
Retirement class R-6 of shares		1,129,433			1,496,011			92,325			146,671			4,128,058			4,518,603
Net proceeds from shares issued		1,436,850			2,104,880			100,435			175,755			5,870,457			7,655,840
Cost of shares redeemed:
Investor class of shares		(1,213,231	)		(2,254,061	)		(993,165	)		(292,086	)		(5,493,344	)		(7,143,360	)
Institutional class of shares		—			(433,997	)(1)		—			(115,993	)(1)		—			(5,700,230	)(1)
Retirement class R-3 of shares		(1,675,212	)		(965,909	)		(33,078	)		(415,640	)		(7,677,610	)		(6,373,881	)
Retirement class R-6 of shares		(7,845,531	)		(5,522,850	)		(2,178,046	)		(1,025,702	)		(19,990,572	)		(8,945,634	)
Net cost of shares redeemed		(10,733,974	)		(9,176,817	)		(3,204,289	)		(1,849,421	)		(33,161,526	)		(28,163,105	)
Net change resulting from fund share transactions in dollars	$	(6,254,679	)	$	(1,278,161	)	$	(893,659	)	$	(694,678	)	$	(15,202,411	)	$	568,921
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		108,395			77,952			61,847			31,343			268,374			379,524
Institutional class of shares		—			15,572	(1)		—			227	(1)		—			38,990	(1)
Retirement class R-3 of shares		58,358			49,575			365			31,567			167,507			264,638
Retirement class R-6 of shares		160,992			478,376			140,426			32,173			754,743			1,474,069
Net sale of shares		327,745			621,475			202,638			95,310			1,190,624			2,157,221
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		26,020			46,097			719			1,987			112,219			184,037
Institutional class of shares		—			3,112	(1)		—			395	(1)		—			35,963	(1)
Retirement class R-3 of shares		8,833			18,253			53			500			68,502			104,549
Retirement class R-6 of shares		128,491			166,223			8,768			14,479			429,112			467,765
Net shares issued		163,344			233,685			9,540			17,361			609,833			792,314
Shares redeemed:
Investor class of shares		(129,631	)		(239,842	)		(90,952	)		(29,227	)		(540,360	)		(744,875	)
Institutional class of shares		—			(46,029	)(1)		—			(10,928	)(1)		—			(575,711	)(1)
Retirement class R-3 of shares		(180,106	)		(102,190	)		(3,051	)		(40,510	)		(762,158	)		(644,421	)
Retirement class R-6 of shares		(849,082	)		(579,689	)		(200,328	)		(101,058	)		(1,962,803	)		(892,639	)
Net shares redeemed		(1,158,819	)		(967,750	)		(294,331	)		(181,723	)		(3,265,321	)		(2,857,646	)
Net change resulting from fund share transactions in shares		(667,730	)		(112,590	)		(82,153	)		(69,052	)		(1,464,864	)		91,889

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

48

BMO Funds

	2025 Fund						2030 Fund						2035 Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	298,184		$	348,017		$	3,090,018		$	4,129,727		$	510,807		$	486,925
Institutional class of shares		—			39,517	(1)		—			432,852	(1)		—			32,639	(1)
Retirement class R-3 of shares		141,111			213,768			1,391,128			2,764,321			102,195			128,349
Retirement class R-6 of shares		5,165,176			4,734,955			12,437,489			18,141,495			3,338,790			4,465,463
Net proceeds from sale of shares		5,604,471			5,336,257			16,918,635			25,468,395			3,951,792			5,113,376
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		23,843			45,412			911,447			1,362,886			32,175			19,506
Institutional class of shares		—			16,995	(1)		—			185,684	(1)		—			1,593	(1)
Retirement class R-3 of shares		35,100			30,674			442,421			693,045			21,569			9,502
Retirement class R-6 of shares		1,135,390			746,383			4,125,659			3,847,019			1,421,767			596,770
Net proceeds from shares issued		1,194,333			839,464			5,479,527			6,088,634			1,475,511			627,371
Cost of shares redeemed:
Investor class of shares		(137,454	)		(1,339,999	)		(5,492,840	)		(8,605,351	)		(549,772	)		(702,141	)
Institutional class of shares		—			(640,270	)(1)		—			(3,388,679	)(1)		—			(97,574	)(1)
Retirement class R-3 of shares		(1,135,416	)		(585,408	)		(5,859,197	)		(6,063,527	)		(525,837	)		(391,486	)
Retirement class R-6 of shares		(16,547,756	)		(3,634,083	)		(28,265,720	)		(9,158,466	)		(24,303,005	)		(3,775,389	)
Net cost of shares redeemed		(17,820,626	)		(6,199,760	)		(39,617,757	)		(27,216,023	)		(25,378,614	)		(4,966,590	)
Net change resulting from fund share transactions in dollars	$	(11,021,822	)	$	(24,039	)	$	(17,219,595	)	$	4,341,006		$	(19,951,311	)	$	774,157
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		27,606			33,809			282,733			396,140			47,612			46,783
Institutional class of shares		—			3,846	(1)		—			41,939	(1)		—			3,211	(1)
Retirement class R-3 of shares		13,162			21,125			127,664			266,280			9,520			12,675
Retirement class R-6 of shares		467,516			464,965			1,136,600			1,785,871			302,467			439,783
Net sale of shares		508,284			523,745			1,546,997			2,490,230			359,599			502,452
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		2,266			4,448			87,808			132,705			3,079			1,907
Institutional class of shares		—			1,659	(1)		—			18,080	(1)		—			155	(1)
Retirement class R-3 of shares		3,353			3,013			42,540			67,417			2,072			932
Retirement class R-6 of shares		107,620			72,818			397,846			374,953			135,535			58,165
Net shares issued		113,239			81,938			528,194			593,155			140,686			61,159
Shares redeemed:
Investor class of shares		(12,259	)		(136,317	)		(506,947	)		(857,437	)		(49,406	)		(71,417	)
Institutional class of shares		—			(63,832	)(1)		—			(323,760	)(1)		—			(9,828	)(1)
Retirement class R-3 of shares		(102,055	)		(59,326	)		(539,077	)		(601,499	)		(47,373	)		(38,954	)
Retirement class R-6 of shares		(1,496,179	)		(349,342	)		(2,573,184	)		(878,186	)		(2,193,982	)		(364,049	)
Net shares redeemed		(1,610,493	)		(608,817	)		(3,619,208	)		(2,660,882	)		(2,290,761	)		(484,248	)
Net change resulting from fund share transactions in shares		(988,970	)		(3,134	)		(1,544,017	)		422,503			(1,790,476	)		79,363

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

49

Notes to Financial Statements (continued)

	2040 Fund						2045 Fund						2050 Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,883,014		$	4,767,948		$	170,177		$	547,569		$	2,360,706		$	2,855,476
Institutional class of shares		—			744,269	(1)		—			35,333	(1)		—			716,030	(1)
Retirement class R-3 of shares		585,454			1,131,384			143,679			242,359			803,818			1,230,609
Retirement class R-6 of shares		7,703,062			10,567,208			2,516,895			4,133,944			7,019,909			9,583,527
Net proceeds from sale of shares		10,171,530			17,210,809			2,830,751			4,959,205			10,184,433			14,385,642
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		628,710			1,034,277			42,441			24,521			379,998			496,842
Institutional class of shares		—			195,405	(1)		—			2,386	(1)		—			108,258	(1)
Retirement class R-3 of shares		214,271			490,052			20,450			7,710			203,040			241,912
Retirement class R-6 of shares		2,866,927			3,218,871			804,157			266,574			1,836,029			1,205,244
Net proceeds from shares issued		3,709,908			4,938,605			867,048			301,191			2,419,067			2,052,256
Cost of shares redeemed:
Investor class of shares		(5,649,232	)		(4,805,583	)		(253,382	)		(819,881	)		(5,369,123	)		(3,260,413	)
Institutional class of shares		—			(3,276,061	)(1)		—			(143,717	)(1)		—			(2,738,189	)(1)
Retirement class R-3 of shares		(3,487,878	)		(4,088,250	)		(563,598	)		(589,023	)		(2,653,255	)		(1,964,479	)
Retirement class R-6 of shares		(23,316,521	)		(5,553,270	)		(13,070,897	)		(2,304,205	)		(13,439,244	)		(3,693,210	)
Net cost of shares redeemed		(32,453,631	)		(17,723,164	)		(13,887,877	)		(3,856,826	)		(21,461,622	)		(11,656,291	)
Net change resulting from fund share transactions in dollars	$	(18,572,193	)	$	4,426,250		$	(10,190,078	)	$	1,403,570		$	(8,858,122	)	$	4,781,607
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		173,576			453,460			15,219			51,707			209,620			272,211
Institutional class of shares		—			72,663	(1)		—			3,459	(1)		—			68,012	(1)
Retirement class R-3 of shares		53,880			108,460			13,190			23,399			71,209			115,468
Retirement class R-6 of shares		713,031			1,048,607			223,749			400,185			622,506			920,719
Net sale of shares		940,487			1,683,190			252,158			478,750			903,335			1,376,410
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		61,158			101,400			4,004			2,358			35,681			47,139
Institutional class of shares		—			19,157	(1)		—			229	(1)		—			10,271	(1)
Retirement class R-3 of shares		20,763			47,903			1,935			743			19,065			22,930
Retirement class R-6 of shares		279,155			315,576			75,579			25,534			172,721			114,350
Net shares issued		361,076			484,036			81,518			28,864			227,467			194,690
Shares redeemed:
Investor class of shares		(525,932	)		(480,196	)		(22,375	)		(83,493	)		(484,194	)		(316,998	)
Institutional class of shares		—			(315,193	)(1)		—			(14,314	)(1)		—			(251,953	)(1)
Retirement class R-3 of shares		(320,875	)		(399,857	)		(49,820	)		(56,631	)		(238,882	)		(192,760	)
Retirement class R-6 of shares		(2,131,353	)		(529,589	)		(1,164,696	)		(219,487	)		(1,183,799	)		(343,195	)
Net shares redeemed		(2,978,160	)		(1,724,835	)		(1,236,891	)		(373,925	)		(1,906,875	)		(1,104,906	)
Net change resulting from fund share transactions in shares		(1,676,597	)		442,391			(903,215	)		133,689			(776,073	)		466,194

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

50

BMO Funds

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	379,222		$	542,181		$	3,333,251		$	1,811,809		$	1,787,884		$	3,102,719
Institutional class of shares		—			30,152	(1)		3,199,776			2,723,597			2,247,337			3,212,145
Retirement class R-3 of shares		235,131			245,910			594,944			747,669			3,698,491			2,350,004
Retirement class R-6 of shares		2,688,106			5,340,196			9,716,130			9,680,026			14,085,245			21,380,185
Net proceeds from sale of shares		3,302,459			6,158,439			16,844,101			14,963,101			21,818,957			30,045,053
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		20,520			22,251			395,379			936,208			423,731			1,029,190
Institutional class of shares		—			3,933	(1)		819,598			1,331,596			446,331			917,395
Retirement class R-3 of shares		21,849			6,116			154,118			292,057			432,042			767,207
Retirement class R-6 of shares		342,529			70,282			2,569,224			4,033,553			3,686,197			5,610,808
Net proceeds from shares issued		384,898			102,582			3,938,319			6,593,414			4,988,301			8,324,600
Cost of shares redeemed:
Investor class of shares		(320,201	)		(1,153,963	)		(6,464,521	)		(8,437,977	)		(7,901,290	)		(13,162,467	)
Institutional class of shares		—			(227,111	)(1)		(7,637,483	)		(3,814,177	)		(5,677,100	)		(8,062,550	)
Retirement class R-3 of shares		(672,795	)		(191,938	)		(4,559,252	)		(1,890,428	)		(3,601,940	)		(12,516,924	)
Retirement class R-6 of shares		(3,950,595	)		(1,758,004	)		(73,153,708	)		(12,000,170	)		(41,844,897	)		(18,791,126	)
Net cost of shares redeemed		(4,943,591	)		(3,331,016	)		(91,814,964	)		(26,142,752	)		(59,025,227	)		(52,533,067	)
Net change resulting from fund share transactions in dollars	$	(1,256,234	)	$	2,930,005		$	(71,032,544	)	$	(4,586,237	)	$	(32,217,969	)	$	(14,163,414	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		34,155			53,020			341,654			190,169			184,063			330,167
Institutional class of shares		—			2,909	(1)		327,989			285,432			231,324			347,121
Retirement class R-3 of shares		21,703			24,075			61,258			78,292			379,868			249,468
Retirement class R-6 of shares		241,119			519,389			990,085			1,002,674			1,440,015			2,269,691
Net sale of shares		296,977			599,393			1,720,986			1,556,567			2,235,270			3,196,447
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,938			2,152			41,663			101,321			45,078			111,747
Institutional class of shares		—			379	(1)		86,455			144,268			47,533			99,717
Retirement class R-3 of shares		2,071			593			16,240			31,574			45,913			83,121
Retirement class R-6 of shares		32,223			6,771			271,015			437,005			392,985			609,870
Net shares issued		36,232			9,895			415,373			714,168			531,509			904,455
Shares redeemed:
Investor class of shares		(27,594	)		(118,249	)		(660,920	)		(881,334	)		(806,639	)		(1,403,952	)
Institutional class of shares		—			(21,471	)(1)		(777,055	)		(403,086	)		(580,703	)		(860,237	)
Retirement class R-3 of shares		(59,996	)		(18,601	)		(470,782	)		(198,052	)		(369,030	)		(1,309,680	)
Retirement class R-6 of shares		(354,505	)		(165,362	)		(7,418,823	)		(1,251,722	)		(4,274,881	)		(1,985,895	)
Net shares redeemed		(442,095	)		(323,683	)		(9,327,580	)		(2,734,194	)		(6,031,253	)		(5,559,764	)
Net change resulting from fund share transactions in shares		(108,886	)		285,605			(7,191,221	)		(463,459	)		(3,264,474	)		(1,458,862	)

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

51

Notes to Financial Statements (continued)

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2017			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	9,596,115		$	7,142,376		$	1,521,150		$	2,077,673		$	2,549,571		$	3,572,978
Institutional class of shares		18,188,630			13,589,037			3,782,554			1,591,796			3,231,792			3,848,563
Retirement class R-3 of shares		3,462,896			3,545,301			1,995,735			2,171,200			1,545,438			1,791,359
Retirement class R-6 of shares		33,777,945			51,258,245			23,359,307			22,529,256			28,234,235			28,362,465
Net proceeds from sale of shares		65,025,586			75,534,959			30,658,746			28,369,925			35,561,036			37,575,365
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		7,291,420			12,849,873			1,358,067			2,839,764			4,019,656			5,585,746
Institutional class of shares		4,959,081			7,011,067			661,921			1,170,790			2,155,531			2,580,768
Retirement class R-3 of shares		1,857,132			3,137,774			1,005,881			2,104,133			1,846,190			1,654,830
Retirement class R-6 of shares		16,194,257			21,422,949			4,846,161			5,431,739			11,432,316			9,317,128
Net proceeds from shares issued		30,301,890			44,421,663			7,872,030			11,546,426			19,453,693			19,138,472
Cost of shares redeemed:
Investor class of shares		(28,809,458	)		(58,264,348	)		(12,160,876	)		(21,431,476	)		(23,138,517	)		(36,746,238	)
Institutional class of shares		(46,186,859	)		(24,780,559	)		(5,854,651	)		(7,575,632	)		(15,771,306	)		(12,716,568	)
Retirement class R-3 of shares		(11,399,285	)		(14,663,873	)		(11,372,090	)		(6,500,965	)		(6,476,231	)		(5,897,696	)
Retirement class R-6 of shares		(115,489,437	)		(60,487,004	)		(29,720,835	)		(14,964,684	)		(62,955,630	)		(26,340,978	)
Net cost of shares redeemed		(201,885,039	)		(158,195,784	)		(59,108,452	)		(50,472,757	)		(108,341,684	)		(81,701,480	)
Net change resulting from fund share transactions in dollars	$	(106,557,563	)	$	(38,239,162	)	$	(20,577,676	)	$	(10,556,406	)	$	(53,326,955	)	$	(24,987,643	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		1,025,790			783,352			157,085			225,792			269,537			388,583
Institutional class of shares		1,949,386			1,509,315			397,357			171,890			339,793			423,612
Retirement class R-3 of shares		373,495			386,455			206,661			238,599			162,532			194,889
Retirement class R-6 of shares		3,612,043			5,768,354			2,396,103			2,474,947			2,925,969			3,145,394
Net sale of shares		6,960,714			8,447,476			3,157,206			3,111,228			3,697,831			4,152,478
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		822,031			1,432,539			146,659			309,680			449,626			606,487
Institutional class of shares		559,716			782,485			71,559			127,676			241,651			280,518
Retirement class R-3 of shares		209,372			349,807			108,509			229,458			206,740			179,678
Retirement class R-6 of shares		1,827,794			2,388,289			524,476			592,338			1,281,650			1,012,731
Net shares issued		3,418,913			4,953,120			851,203			1,259,152			2,179,667			2,079,414
Shares redeemed:
Investor class of shares		(3,093,692	)		(6,527,889	)		(1,245,696	)		(2,334,793	)		(2,424,144	)		(3,958,147	)
Institutional class of shares		(4,942,672	)		(2,708,731	)		(604,772	)		(837,364	)		(1,624,360	)		(1,411,393	)
Retirement class R-3 of shares		(1,223,751	)		(1,605,109	)		(1,181,512	)		(705,198	)		(681,868	)		(638,101	)
Retirement class R-6 of shares		(12,198,320	)		(6,601,754	)		(3,005,372	)		(1,615,073	)		(6,486,787	)		(2,825,539	)
Net shares redeemed		(21,458,435	)		(17,443,483	)		(6,037,352	)		(5,492,428	)		(11,217,159	)		(8,833,180	)
Net change resulting from fund share transactions in shares		(11,078,808	)		(4,042,887	)		(2,028,943	)		(1,122,048	)		(5,339,661	)		(2,601,288	)

5. Investment Adviser Fee and Other Transactions with Affiliates

Investment Advisory Fees—The Adviser does not receive an investment advisory fee for the services it performs for the Funds. However, the Adviser is entitled to receive an investment advisory fee from each of the BMO Funds that serve as underlying funds.

Contractual Expense Limitation—The Adviser has contractually agreed to waive or reduce fees and reimburse expenses to the extent necessary to prevent class total annual operating expenses (excluding acquired fund fees and expenses, interest, taxes, brokerage commissions, other investment-related costs and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the levels set out in the table below through December 31, 2018. This agreement may not be terminated prior to December 31, 2018 without the consent of the Funds’ Board of Directors, unless terminated due to the termination of the investment advisory agreement. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

52

BMO Funds

	Annualized Contractual Expense Limitation Exclusive of Acquired Fund Fees and Expenses												Annualized Contractual Expense Limitation Inclusive of Acquired Fund Fees and Expenses per the Funds’ Prospectus Dated December 29, 2016
Fund	Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)			Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)
In-Retirement Fund		0.33	%					0.58	%		(0.07	)%		0.96	%					1.21	%		0.56	%
2015 Fund		0.33						0.58			(0.07	)		1.00						1.25			0.60
2020 Fund		0.33						0.58			(0.07	)		1.03						1.28			0.63
2025 Fund		0.33						0.58			(0.07	)		1.03						1.28			0.63
2030 Fund		0.37						0.62			(0.03	)		1.09						1.34			0.69
2035 Fund		0.37						0.62			(0.03	)		1.06						1.31			0.66
2040 Fund		0.36						0.61			(0.04	)		1.08						1.33			0.68
2045 Fund		0.36						0.61			(0.04	)		1.05						1.30			0.65
2050 Fund		0.36						0.61			(0.04	)		1.08						1.33			0.68
2055 Fund		0.36						0.61			(0.04	)		1.07						1.32			0.67
Conservative Allocation Fund		0.33			0.08	%		0.58			(0.07	)		1.02			0.77	%		1.27			0.62
Moderate Allocation Fund		0.30			0.05			0.55			(0.10	)		1.02			0.77			1.27			0.62
Balanced Allocation Fund		0.33			0.08			0.58			(0.07	)		1.08			0.83			1.33			0.68
Growth Allocation Fund		0.30			0.05			0.55			(0.10	)		1.08			0.83			1.33			0.68
Aggressive Allocation Fund		0.33			0.08			0.58			(0.07	)		1.01			0.76			1.26			0.61

(1) As a result of reimbursing expenses including acquired fund expenses, the Adviser reimbursed amounts in excess of the respective share classes operating expenses. The aggregate excess reimbursement is accounted for as “Excess expense reimbursement from investment adviser” included in investment income on the Statements of Operations.

Shareholder Servicing Fees—Under the terms of a Shareholder Services Agreement with the Adviser, each Fund pays the Adviser at the annual rate of 0.25% of average daily net assets of the Fund’s Investor Class shares for the period. The fee paid to the Adviser is used to finance certain services for shareholders and to maintain shareholder accounts.

Distribution Services Fees—The Funds are subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorizes payments by the Fund to finance activities intended to result in the sale of its Retirement Class R-3 shares. The Plan provides that the Fund may incur distribution expenses of 0.50% of the average daily net assets of the Fund’s Retirement Class R-3 shares.

Administration Fees—Each Fund pays the Adviser at the annual rate of 0.15% of average daily net assets per class (except the Retirement class R-6, which does not pay an Administration Fee).

For the year ended August 31, 2017, the Funds were charged the following Administration Fees per class:

Fund	Investor Class		Institutional Class		Retirement Class R-3
In-Retirement Fund	$	4,903			$	1,631
2015 Fund		1,124				189
2020 Fund		26,575				13,821
2025 Fund		1,258				1,179
2030 Fund		28,118				12,033
2035 Fund		1,190				574
2040 Fund		17,384				5,627
2045 Fund		1,360				474
2050 Fund		12,605				5,419
2055 Fund		832				577
Conservative Allocations Fund		24,849	$	43,616		7,554
Moderate Allocation Fund		16,369		16,371		19,709
Balanced Allocation Fund		154,065		99,652		39,430
Growth Allocation Fund		31,502		14,952		29,648
Aggressive Allocation Fund		63,737		32,529		28,056

Custodian Fees—BMO Harris Bank N.A. (“BMO Harris”) is the Funds’ custodian. BMO Harris receives fees based on 0.0050% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO Harris, and 0.0025% on all assets in excess of $10 billion.

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in the BMO Funds. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the year with entities that are affiliates as of August 31, 2017. All securities listed on the table present the Institutional Class, except for BMO LGM Frontier Markets Equity Fund, which has an Investor Class, and BMO Institutional Prime Money Market, which has a Premier Class.

53

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
In-Retirement Fund
BMO Low Volatility Equity Fund	$	580,470	$	98,103	$	292,291	$	(12,277	)	$	28,609		$	402,614	$	7,851	$	6,188
BMO Dividend Income Fund		409,818		55,104		216,372		(2,932	)		39,078			284,696		7,769		2,888
BMO Large-Cap Value Fund		602,411		95,897		334,803		14,808			42,558			420,871		7,257		4,138
BMO Large-Cap Growth Fund		253,944		38,217		135,543		17,264			8,179			182,061		1,686		12,678
BMO Mid-Cap Value Fund		260,074		97,622		141,464		(54,348	)		17,917			179,801		1,316		62,209
BMO Mid-Cap Growth Fund		107,588		32,900		56,666		(16,557	)		8,513			75,778		337		21,104
BMO Small-Cap Growth Fund		64,374		12,332		38,380		(7,642	)		14,956			45,640		—		—
BMO Disciplined International Equity Fund		428,589		53,347		234,945		47,142			4,340			298,473		11,097		—
BMO Pyrford International Stock Fund		571,074		76,865		278,019		(5,611	)		37,488			401,797		11,740		—
BMO LGM Emerging Markets Equity Fund		258,938		124,581		184,493		23,749			14,548			237,323		1,746		—
BMO TCH Emerging Markets Bond Fund		—		739,144		290,866		7,616			(7,621	)		448,273		17,503		—
BMO Alternative Strategies Fund		1,504,017		174,719		686,167		45,015			9,142			1,046,726		—		—
BMO TCH Core Plus Bond Fund		4,014,368		697,583		1,893,333		(42,213	)		(5,863	)		2,770,542		85,438		10,966
BMO High Yield Bond Fund		389,865		57,424		180,688		12,191			(10,288	)		268,504		17,038		—
BMO Institutional Prime Money Market Fund		209,515		7,124,489		7,189,547		—			20			144,477		1,124		—
BMO LGM Frontier Markets Equity Fund		123,684		968		118,329		9,954			(16,277	)		—		968		—
Totals	$	9,778,729	$	9,479,295	$	12,271,906	$	36,159		$	185,299		$	7,207,576	$	172,870	$	120,171
2015 Fund
BMO Low Volatility Equity Fund	$	162,273	$	108,196	$	136,311	$	2,896		$	3,253		$	140,307	$	2,477	$	1,995
BMO Dividend Income Fund		86,958		52,619		74,775		8,793			817			74,412		1,810		697
BMO Large-Cap Value Fund		173,384		104,000		148,389		24,273			(3,979	)		149,289		2,286		1,349
BMO Large-Cap Growth Fund		90,149		58,444		80,279		7,346			3,650			79,310		723		5,165
BMO Mid-Cap Value Fund		86,632		75,325		75,373		8,827			(21,004	)		74,407		502		22,547
BMO Mid-Cap Growth Fund		31,775		24,172		26,304		5,299			(7,213	)		27,729		116		6,680
BMO Small-Cap Growth Fund		27,154		16,853		23,940		4,408			(615	)		23,860		—		—
BMO Disciplined International Equity Fund		123,046		72,833		107,743		15,103			2,078			105,317		3,592		—
BMO Pyrford International Stock Fund		158,684		98,403		131,366		13,204			(2,790	)		136,135		3,670		—
BMO LGM Emerging Markets Equity Fund		87,301		86,187		95,762		11,977			3,342			93,045		702		—
BMO TCH Emerging Markets Bond Fund		—		186,287		88,864		3,628			(3,413	)		97,638		3,519		—
BMO Alternative Strategies Fund		306,504		175,409		232,806		9,860			2,892			261,859		—		—
BMO TCH Core Plus Bond Fund		677,799		439,737		527,846		(3,767	)		(5,830	)		580,093		16,701		2,129
BMO High Yield Bond Fund		59,848		36,860		46,209		1,122			(936	)		50,685		3,013		—
BMO Institutional Prime Money Market Fund		46,224		2,948,449		2,954,832		—			(43	)		39,798		398		—
BMO LGM Frontier Markets Equity Fund		31,708		248		30,335		1,344			(2,965	)		—		248		—
Totals	$	2,149,439	$	4,484,022	$	4,781,134	$	114,313		$	(32,756	)	$	1,933,884	$	39,757	$	40,562
2020 Fund
BMO Low Volatility Equity Fund	$	3,894,115	$	514,263	$	1,188,355	$	142,668		$	1,927		$	3,364,618	$	58,926	$	45,003
BMO Dividend Income Fund		1,670,025		211,234		599,305		68,491			103,543			1,453,988		35,328		12,843
BMO Large-Cap Value Fund		4,126,073		704,413		1,725,841		354,951			91,920			3,551,516		54,568		30,516
BMO Large-Cap Growth Fund		2,404,456		362,921		944,020		266,729			26,468			2,116,554		17,979		128,264
BMO Mid-Cap Value Fund		2,281,189		894,590		903,056		(337,953	)		11,015			1,945,785		12,385		575,626
BMO Mid-Cap Growth Fund		1,670,663		552,986		639,442		(103,898	)		(5,341	)		1,474,968		5,722		348,605
BMO Small-Cap Growth Fund		932,505		202,086		447,132		47,023			72,572			807,054		—		—
BMO Disciplined International Equity Fund		2,972,794		424,749		1,234,558		419,932			12,893			2,595,810		81,954		—
BMO Pyrford International Stock Fund		4,125,091		638,568		1,447,175		229,918			71,619			3,618,021		91,283		—
BMO LGM Emerging Markets Equity Fund		2,631,395		1,146,071		1,379,794		282,568			44,890			2,725,130		19,852		—
BMO TCH Emerging Markets Bond Fund		—		1,651,354		459,137		22,689			(11,674	)		1,203,232		40,777		—
BMO Alternative Strategies Fund		5,838,880		808,487		1,811,395		222,725			21,630			5,080,327		—		—
BMO TCH Core Plus Bond Fund		9,971,443		2,117,830		3,442,858		(90,251	)		(10,467	)		8,545,697		244,083		29,301
BMO High Yield Bond Fund		852,539		150,208		279,289		21,565			(15,986	)		729,037		42,543		—
BMO Institutional Prime Money Market Fund		920,373		20,875,822		21,075,341		—			1			720,855		6,262		—
BMO LGM Frontier Markets Equity Fund		709,471		5,554		773,109		50,968			7,116			—		5,554		—
Totals	$	45,001,012	$	31,261,136	$	38,349,807	$	1,598,125		$	422,126		$	39,932,592	$	717,216	$	1,170,158

54

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2025 Fund
BMO Low Volatility Equity Fund	$	945,739	$	266,250	$	589,380	$	16,114		$	23,302		$	662,025	$	13,253	$	12,198
BMO Dividend Income Fund		399,892		81,452		247,672		41,348			2,410			277,430		7,769		3,372
BMO Large-Cap Value Fund		1,487,538		334,298		969,243		219,507			(46,746	)		1,025,354		18,407		12,156
BMO Large-Cap Growth Fund		784,992		177,592		495,309		69,128			21,324			557,727		5,691		46,972
BMO Mid-Cap Value Fund		888,016		456,619		585,298		78,477			(217,939	)		619,875		5,450		246,015
BMO Mid-Cap Growth Fund		854,792		352,248		538,597		189,446			(256,515	)		601,374		3,239		191,286
BMO Small-Cap Growth Fund		549,784		136,777		370,012		86,374			(17,050	)		385,873		—		—
BMO Disciplined International Equity Fund		832,761		129,882		491,592		101,069			8,240			580,360		25,426		—
BMO Pyrford International Stock Fund		1,452,719		339,786		854,098		104,217			(12,562	)		1,030,062		35,634		—
BMO LGM Emerging Markets Equity Fund		1,114,286		447,553		740,161		91,875			22,777			936,330		9,413		—
BMO TCH Emerging Markets Bond Fund		—		429,700		193,930		5,886			(7,267	)		234,389		10,949		—
BMO Alternative Strategies Fund		1,711,494		342,282		928,456		49,824			20,219			1,195,363		—		—
BMO TCH Core Plus Bond Fund		2,369,198		707,679		1,400,738		(20,482	)		(16,711	)		1,638,946		55,779		7,802
BMO High Yield Bond Fund		215,684		58,053		125,448		6,947			(6,056	)		149,180		10,459		—
BMO Institutional Prime Money Market Fund		307,623		8,206,204		8,266,822		—			(104	)		246,901		2,016		—
BMO LGM Frontier Markets Equity Fund		245,304		1,920		267,307		3,106			16,977			—		1,920		—
Totals	$	14,159,822	$	12,468,295	$	17,064,063	$	1,042,836		$	(465,701	)	$	10,141,189	$	205,405	$	519,801
2030 Fund
BMO Low Volatility Equity Fund	$	3,606,619	$	736,846	$	1,279,971	$	98,709		$	43,499		$	3,205,702	$	54,987	$	42,375
BMO Dividend Income Fund		1,432,917		213,234		502,060		71,811			84,399			1,300,301		30,517		11,286
BMO Large-Cap Value Fund		5,680,775		1,138,051		2,359,851		601,828			36,733			5,097,536		75,926		42,944
BMO Large-Cap Growth Fund		2,764,666		467,804		1,063,202		321,654			25,835			2,516,757		21,007		150,510
BMO Mid-Cap Value Fund		3,327,772		1,364,347		1,250,755		(324,643	)		(145,133	)		2,971,588		18,659		847,558
BMO Mid-Cap Growth Fund		3,302,450		1,165,455		1,257,930		146,618			(345,760	)		3,010,833		11,493		684,973
BMO Small-Cap Growth Fund		2,172,315		469,769		967,174		207,559			81,087			1,963,556		—		—
BMO Disciplined International Equity Fund		2,967,999		339,897		1,061,676		426,554			16,398			2,689,172		84,920		—
BMO Pyrford International Stock Fund		5,515,582		1,357,740		2,313,836		366,599			43,687			4,969,772		124,725		—
BMO LGM Emerging Markets Equity Fund		4,117,478		1,658,173		1,824,832		471,106			67,652			4,489,577		32,239		—
BMO TCH Emerging Markets Bond Fund		—		893,191		254,733		13,151			(6,643	)		644,966		21,502		—
BMO Alternative Strategies Fund		5,342,402		932,782		1,711,232		207,533			22,016			4,793,501		—		—
BMO TCH Core Plus Bond Fund		5,259,167		1,873,680		2,423,483		(44,683	)		(8,522	)		4,656,159		131,471		15,903
BMO High Yield Bond Fund		516,256		102,362		162,750		12,714			(9,505	)		459,077		26,645		—
BMO Institutional Prime Money Market Fund		1,031,813		19,127,170		19,150,364		2			31			1,008,652		7,552		—
BMO LGM Frontier Markets Equity Fund		1,111,642		8,702		1,211,355		69,212			21,799			—		8,702		—
Totals	$	48,149,853	$	31,849,203	$	38,795,204	$	2,645,724		$	(72,427	)	$	43,777,149	$	650,345	$	1,795,549
2035 Fund
BMO Low Volatility Equity Fund	$	1,192,092	$	271,417	$	1,010,713	$	(12,813	)	$	55,164		$	495,147	$	13,711	$	15,018
BMO Dividend Income Fund		470,318		90,608		412,387		39,639			7,138			195,316		7,739		3,954
BMO Large-Cap Value Fund		1,844,270		397,773		1,678,222		251,776			(46,603	)		768,994		19,521		15,089
BMO Large-Cap Growth Fund		906,140		169,339		779,240		35,147			48,189			379,575		5,539		52,949
BMO Mid-Cap Value Fund		1,125,338		516,667		998,081		123,333			(297,742	)		469,515		6,896		302,707
BMO Mid-Cap Growth Fund		1,084,788		385,283		915,721		246,460			(342,131	)		458,679		4,106		236,322
BMO Small-Cap Growth Fund		714,664		195,981		689,739		89,228			(9,285	)		300,849		—		—
BMO Disciplined International Equity Fund		972,060		179,229		846,264		73,098			28,463			406,586		29,422		—
BMO Pyrford International Stock Fund		1,842,225		464,463		1,617,270		97,723			(14,592	)		772,549		44,249		—
BMO LGM Emerging Markets Equity Fund		1,387,337		538,177		1,320,087		40,132			55,569			701,128		11,428		—
BMO TCH Emerging Markets Bond Fund		—		155,416		101,342		1,831			(3,901	)		52,004		3,996		—
BMO Alternative Strategies Fund		1,433,661		319,274		1,205,382		22,913			28,643			599,109		—		—
BMO TCH Core Plus Bond Fund		972,714		345,741		896,034		(12,115	)		(7,716	)		402,590		19,552		3,169
BMO High Yield Bond Fund		95,926		32,692		89,677		2,303			(2,235	)		39,009		3,897		—
BMO Institutional Prime Money Market Fund		267,166		6,729,019		6,937,485		—			(29	)		58,671		1,643		—
BMO LGM Frontier Markets Equity Fund		292,924		2,293		319,199		2,815			21,167			—		2,293		—
Totals	$	14,601,623	$	10,793,372	$	19,816,843	$	1,001,470		$	(479,901	)	$	6,099,721	$	173,992	$	629,208

55

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2040 Fund
BMO Low Volatility Equity Fund	$	2,647,740	$	464,938	$	1,143,945	$	21,121		$	81,369		$	2,071,223	$	38,409	$	31,178
BMO Dividend Income Fund		925,693		112,287		399,822		19,007			77,961			735,126		18,834		7,266
BMO Large-Cap Value Fund		4,113,828		669,417		1,982,235		362,395			89,389			3,252,794		52,537		30,676
BMO Large-Cap Growth Fund		2,020,064		425,708		1,048,994		212,315			28,895			1,637,988		14,821		111,255
BMO Mid-Cap Value Fund		2,418,265		1,064,345		1,243,078		(258,006	)		(84,280	)		1,897,246		13,514		614,507
BMO Mid-Cap Growth Fund		2,302,051		762,310		1,049,815		109,402			(262,184	)		1,861,764		8,093		482,820
BMO Small-Cap Growth Fund		1,590,888		358,217		884,543		117,637			86,491			1,268,690		—		—
BMO Disciplined International Equity Fund		2,115,782		347,429		1,071,332		282,425			11,233			1,685,537		59,621		—
BMO Pyrford International Stock Fund		3,996,309		941,960		2,032,560		219,192			58,734			3,183,635		90,019		—
BMO LGM Emerging Markets Equity Fund		3,024,209		1,129,759		1,548,827		297,884			56,034			2,959,059		23,723		—
BMO TCH Emerging Markets Bond Fund		—		237,746		82,235		3,203			(2,440	)		156,274		5,933		—
BMO Alternative Strategies Fund		2,726,915		486,181		1,132,929		94,738			18,669			2,193,574		—		—
BMO TCH Core Plus Bond Fund		1,131,499		296,196		534,452		(11,273	)		(1,904	)		880,066		26,806		3,418
BMO High Yield Bond Fund		132,377		24,277		53,511		3,759			(3,085	)		103,817		6,554		—
BMO Institutional Prime Money Market Fund		665,511		12,135,421		12,267,583		—			(75	)		533,274		4,414		—
BMO LGM Frontier Markets Equity Fund		877,110		6,867		955,786		56,298			15,511			—		6,866		—
Totals	$	30,688,241	$	19,463,058	$	27,431,647	$	1,530,097		$	170,318		$	24,420,067	$	370,144	$	1,281,120
2045 Fund
BMO Low Volatility Equity Fund	$	690,023	$	126,568	$	524,974	$	(5,915	)	$	29,190		$	314,892	$	7,855	$	8,538
BMO Dividend Income Fund		241,844		36,657		191,361		18,311			4,909			110,360		3,976		1,990
BMO Large-Cap Value Fund		1,080,830		206,239		903,904		142,794			(27,137	)		498,822		11,497		8,704
BMO Large-Cap Growth Fund		532,019		88,768		421,228		23,329			23,844			246,732		3,201		30,467
BMO Mid-Cap Value Fund		617,634		261,359		500,241		59,740			(153,802	)		284,690		3,701		161,883
BMO Mid-Cap Growth Fund		617,448		216,415		492,626		119,751			(173,587	)		287,401		2,282		131,023
BMO Small-Cap Growth Fund		427,466		108,970		384,958		55,291			(7,823	)		198,946		—		—
BMO Disciplined International Equity Fund		550,160		93,677		448,269		48,844			8,588			253,000		16,401		—
BMO Pyrford International Stock Fund		1,061,005		227,907		846,615		54,512			(7,340	)		489,469		25,056		—
BMO LGM Emerging Markets Equity Fund		828,201		301,155		720,518		22,434			32,320			463,592		6,779		—
BMO TCH Emerging Markets Bond Fund		—		42,000		25,720		452			(1,014	)		15,718		1,083		—
BMO Alternative Strategies Fund		600,880		100,401		447,144		9,594			11,546			275,277		—		—
BMO TCH Core Plus Bond Fund		309,465		67,247		229,300		(3,689	)		(2,685	)		141,038		6,132		991
BMO High Yield Bond Fund		34,385		6,293		25,001		672			(642	)		15,707		1,407		—
BMO Institutional Prime Money Market Fund		99,017		3,734,366		3,755,134		—			39			78,288		886		—
BMO LGM Frontier Markets Equity Fund		193,869		1,517		211,259		(2,501	)		18,374			—		1,518		—
Totals	$	7,884,246	$	5,619,539	$	10,128,252	$	543,619		$	(245,220	)	$	3,673,932	$	91,774	$	343,596
2050 Fund
BMO Low Volatility Equity Fund	$	1,811,702	$	484,059	$	790,684	$	43,146		$	25,709		$	1,573,932	$	26,966	$	20,286
BMO Dividend Income Fund		628,092		120,902		262,823		35,079			30,393			551,643		13,246		4,734
BMO Large-Cap Value Fund		2,858,333		629,430		1,309,007		325,585			(10,812	)		2,493,529		37,766		20,769
BMO Large-Cap Growth Fund		1,393,578		287,696		615,757		156,314			11,541			1,233,372		10,249		72,680
BMO Mid-Cap Value Fund		1,640,813		774,438		749,508		(95,880	)		(146,778	)		1,423,085		8,834		424,934
BMO Mid-Cap Growth Fund		1,628,217		680,923		763,277		136,618			(245,764	)		1,436,717		5,474		342,744
BMO Small-Cap Growth Fund		1,130,758		279,563		559,454		133,705			9,925			994,497		—		—
BMO Disciplined International Equity Fund		1,435,322		254,786		630,200		205,578			(898	)		1,264,588		39,100		—
BMO Pyrford International Stock Fund		2,795,127		679,894		1,223,098		206,298			(11,784	)		2,446,437		59,645		—
BMO LGM Emerging Markets Equity Fund		2,185,440		844,042		976,893		241,809			22,960			2,317,358		16,351		—
BMO TCH Emerging Markets Bond Fund		—		111,886		33,753		1,729			(1,298	)		78,564		2,597		—
BMO Alternative Strategies Fund		1,560,871		310,728		561,074		59,582			5,818			1,375,925		—		—
BMO TCH Core Plus Bond Fund		814,035		204,951		304,596		(6,970	)		(2,480	)		704,940		19,958		2,377
BMO High Yield Bond Fund		89,806		19,477		31,181		2,449			(2,045	)		78,506		4,548		—
BMO Institutional Prime Money Market Fund		452,953		8,574,624		8,636,351		—			75			391,301		3,193		—
BMO LGM Frontier Markets Equity Fund		515,392		4,035		561,622		31,962			10,233			—		4,035		—
Totals	$	20,940,439	$	14,261,434	$	18,009,278	$	1,477,004		$	(305,205	)	$	18,364,394	$	251,962	$	888,524

56

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2055 Fund
BMO Low Volatility Equity Fund	$	308,889	$	173,561	$	211,539	$	9,830		$	4,161		$	284,902	$	4,953	$	4,224
BMO Dividend Income Fund		108,770		54,796		76,506		11,235			1,559			99,854		2,411		973
BMO Large-Cap Value Fund		489,994		249,332		348,405		67,875			(7,437	)		451,359		6,866		4,246
BMO Large-Cap Growth Fund		237,840		117,655		163,194		27,805			3,157			223,263		1,961		15,163
BMO Mid-Cap Value Fund		279,791		209,860		192,301		13,112			(52,869	)		257,593		1,804		74,669
BMO Mid-Cap Growth Fund		278,456		187,850		189,581		38,890			(55,547	)		260,068		1,121		61,149
BMO Small-Cap Growth Fund		192,033		115,200		155,156		29,815			(1,869	)		180,023		—		—
BMO Disciplined International Equity Fund		245,717		114,612		169,363		35,383			2,558			228,907		8,061		—
BMO Pyrford International Stock Fund		476,260		296,234		367,349		41,401			(3,707	)		442,839		12,360		—
BMO LGM Emerging Markets Equity Fund		374,152		304,586		308,043		45,502			3,278			419,475		3,364		—
BMO TCH Emerging Markets Bond Fund		—		37,782		23,365		808			(1,004	)		14,221		927		—
BMO Alternative Strategies Fund		272,392		134,515		169,926		10,179			1,898			249,058		—		—
BMO TCH Core Plus Bond Fund		140,717		87,914		99,325		(609	)		(1,095	)		127,602		3,665		486
BMO High Yield Bond Fund		15,183		8,734		9,799		301			(208	)		14,211		837		—
BMO Institutional Prime Money Market Fund		77,544		3,463,025		3,469,667		—			(72	)		70,830		624		—
BMO LGM Frontier Markets Equity Fund		79,727		624		86,879		(1,942	)		8,470			—		624		—
Totals	$	3,577,465	$	5,556,280	$	6,040,398	$	329,585		$	(98,727	)	$	3,324,205	$	49,578	$	160,910
Conservative Allocation Fund
BMO Low Volatility Equity Fund	$	1,649,803	$	451,443	$	1,280,310	$	(11,897	)	$	76,138		$	885,177	$	26,880	$	20,829
BMO Dividend Income Fund		901,806		229,914		748,793		(52,596	)		148,810			479,141		20,202		7,428
BMO Large-Cap Value Fund		2,311,142		1,683,642		2,737,024		178,163			165,224			1,601,147		39,742		24,703
BMO Large-Cap Growth Fund		2,283,819		1,112,821		2,409,761		132,127			148,055			1,267,061		20,319		147,930
BMO Mid-Cap Value Fund		705,290		318,560		590,285		(206,170	)		104,848			332,243		4,190		185,020
BMO Mid-Cap Growth Fund		697,653		268,443		585,184		(102,555	)		55,490			333,847		2,611		148,491
BMO Small-Cap Value Fund		373,564		189,254		360,139		24,482			(12,532	)		214,629		2,320		35,295
BMO Small-Cap Growth Fund		715,216		242,749		673,589		(81,407	)		182,100			385,069		—		—
BMO Disciplined International Equity Fund		1,351,407		792,226		1,449,393		156,130			(3,931	)		846,439		31,469		—
BMO Pyrford International Stock Fund		1,377,606		539,520		1,175,483		(43,495	)		132,065			830,213		32,108		—
BMO LGM Emerging Markets Equity Fund		1,114,343		282,607		1,004,579		(7,158	)		129,315			514,528		9,561		—
BMO TCH Emerging Markets Bond Fund		—		3,984,141		2,204,921		57,431			(48,150	)		1,788,501		87,647		—
BMO Alternative Strategies Fund		14,933,112		1,013,889		8,804,139		243,366			355,588			7,741,816		—		—
BMO TCH Core Plus Bond Fund		46,045,431		7,328,035		34,603,490		(1,476,793	)		557,631			17,850,814		1,031,533		153,938
BMO High Yield Bond Fund		5,278,673		131,735		5,389,076		154,674			(176,006	)		—		81,155		—
BMO Institutional Prime Money Market Fund		1,460,458		23,863,207		24,708,348		—			223			615,540		9,958		—
Totals	$	81,199,323	$	42,432,186	$	88,724,514	$	(1,035,698	)	$	1,814,868		$	35,686,165	$	1,399,695	$	723,634
Moderate Allocation Fund
BMO Low Volatility Equity Fund	$	3,323,441	$	619,164	$	1,397,193	$	119,495		$	41		$	2,664,948	$	50,105	$	37,457
BMO Dividend Income Fund		1,790,411		300,369		826,153		47,309			134,557			1,446,493		37,814		13,398
BMO Large-Cap Value Fund		4,591,399		2,728,049		3,113,304		538,616			94,438			4,839,198		74,135		44,754
BMO Large-Cap Growth Fund		4,598,834		1,568,218		2,890,512		473,517			98,458			3,848,515		36,529		264,537
BMO Mid-Cap Value Fund		1,400,992		702,350		883,609		(300,784	)		84,995			1,003,944		7,581		367,512
BMO Mid-Cap Growth Fund		1,410,661		503,701		795,144		(157,111	)		51,462			1,013,569		4,700		298,921
BMO Small-Cap Value Fund		763,813		350,230		476,013		40,565			(29,467	)		649,128		4,229		72,032
BMO Small-Cap Growth Fund		1,410,154		370,097		804,417		61,119			121,718			1,158,671		—		—
BMO Disciplined International Equity Fund		2,744,262		1,255,204		1,775,442		363,648			(52,243	)		2,535,429		56,526		—
BMO Pyrford International Stock Fund		2,725,365		777,902		1,222,099		131,699			51,473			2,464,340		57,858		—
BMO LGM Emerging Markets Equity Fund		2,237,288		497,244		1,430,813		127,176			112,060			1,542,955		17,227		—
BMO TCH Emerging Markets Bond Fund		—		2,857,247		908,336		50,495			(26,242	)		1,973,164		57,688		—
BMO Alternative Strategies Fund		11,665,276		1,174,993		3,998,099		397,926			78,579			9,318,675		—		—
BMO TCH Core Plus Bond Fund		33,000,431		5,917,368		18,619,041		(577,487	)		734			19,722,005		730,285		101,742
BMO High Yield Bond Fund		3,805,157		123,707		3,912,266		116,636			(133,234	)		—		56,138		—
BMO Institutional Prime Money Market Fund		857,039		29,992,593		29,819,757		—			204			1,030,079		9,844		—
Totals	$	76,324,523	$	49,738,436	$	72,872,198	$	1,432,819		$	587,533		$	55,211,113	$	1,200,659	$	1,200,353

57

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Balanced Allocation Fund
BMO Low Volatility Equity Fund	$	16,850,514	$	2,831,878	$	6,946,425	$	617,911		$	(27,814	)	$	13,326,064	$	254,323	$	191,702
BMO Dividend Income Fund		9,203,550		1,110,996		4,020,142		137,618			781,172			7,213,194		191,655		68,673
BMO Large-Cap Value Fund		23,587,286		12,676,613		15,381,051		2,608,466			576,053			24,067,367		376,273		228,442
BMO Large-Cap Growth Fund		23,390,443		6,888,514		14,024,985		2,346,974			472,452			19,073,398		185,894		1,368,337
BMO Mid-Cap Value Fund		7,207,920		2,728,151		3,818,996		(1,552,704	)		437,389			5,001,760		38,776		1,890,797
BMO Mid-Cap Growth Fund		7,137,793		2,203,326		3,768,473		(1,057,884	)		511,215			5,025,977		24,256		1,513,579
BMO Small-Cap Value Fund		3,851,980		1,686,382		2,384,226		198,784			(121,770	)		3,231,150		21,753		349,987
BMO Small-Cap Growth Fund		7,290,452		1,509,206		3,961,791		158,589			762,687			5,759,143		—		—
BMO Disciplined International Equity Fund		13,965,369		6,860,912		9,607,436		1,847,183			(285,062	)		12,780,966		290,070		—
BMO Pyrford International Stock Fund		13,826,724		4,109,258		6,378,199		491,297			413,174			12,462,254		296,104		—
BMO LGM Emerging Markets Equity Fund		11,356,752		2,399,425		7,196,705		618,924			567,604			7,746,000		88,708		—
BMO TCH Emerging Markets Bond Fund		—		6,117,768		2,101,614		109,223			(62,504	)		4,062,873		121,680		—
BMO Alternative Strategies Fund		32,848,915		2,757,293		11,021,759		1,126,534			189,213			25,900,196		—		—
BMO TCH Core Plus Bond Fund		69,635,028		12,838,586		40,696,625		(1,311,279	)		118,330			40,584,040		1,510,616		213,890
BMO High Yield Bond Fund		8,029,933		274,042		8,274,046		214,765			(244,694	)		—		116,858		—
BMO Institutional Prime Money Market Fund		4,664,487		84,144,204		85,734,351		—			577			3,074,917		31,866		—
Totals	$	252,847,146	$	151,136,554	$	225,316,824	$	6,554,401		$	4,088,022		$	189,309,299	$	3,548,832	$	5,825,407
Growth Allocation Fund
BMO Low Volatility Equity Fund	$	6,734,816	$	1,562,953	$	2,408,295	$	281,501		$	(3,664	)	$	6,167,311	$	107,800	$	79,459
BMO Dividend Income Fund		3,679,363		703,965		1,429,840		259,203			132,551			3,345,242		81,058		28,337
BMO Large-Cap Value Fund		9,456,501		5,604,114		5,188,194		1,292,439			40,316			11,205,176		159,690		94,344
BMO Large-Cap Growth Fund		9,360,825		3,826,179		5,585,867		1,144,664			140,579			8,886,380		79,255		563,563
BMO Mid-Cap Value Fund		2,908,515		1,308,039		1,491,122		(529,783	)		127,743			2,323,392		15,983		720,258
BMO Mid-Cap Growth Fund		2,862,348		1,147,855		1,499,675		(194,602	)		29,784			2,345,710		9,958		584,876
BMO Small-Cap Value Fund		1,521,706		780,145		828,553		76,303			(48,461	)		1,501,140		8,851		135,698
BMO Small-Cap Growth Fund		2,905,386		922,211		1,537,792		263,191			135,858			2,688,854		—		—
BMO Disciplined International Equity Fund		5,623,815		3,211,531		3,651,539		805,564			(92,468	)		5,896,903		119,653		—
BMO Pyrford International Stock Fund		5,604,413		2,146,395		2,443,621		445,602			6,640			5,759,429		122,491		—
BMO LGM Emerging Markets Equity Fund		4,545,433		1,368,956		2,915,177		341,801			249,949			3,590,962		36,584		—
BMO TCH Emerging Markets Bond Fund		—		829,157		302,451		17,204			(5,181	)		538,729		14,282		—
BMO Alternative Strategies Fund		7,884,284		1,366,671		2,408,610		316,409			29,761			7,188,515		—		—
BMO TCH Core Plus Bond Fund		8,307,751		3,028,056		5,908,759		(78,670	)		(15,797	)		5,332,581		185,378		25,238
BMO High Yield Bond Fund		964,705		62,207		1,023,687		15,765			(18,990	)		—		13,577		—
BMO Institutional Prime Money Market Fund		1,360,992		38,947,948		39,086,248		—			167			1,222,859		10,741		—
Totals	$	73,720,853	$	66,816,382	$	77,709,430	$	4,456,591		$	708,787		$	67,993,183	$	965,301	$	2,231,773
Aggressive Allocation Fund
BMO Low Volatility Equity Fund	$	12,740,611	$	2,364,553	$	5,449,756	$	475,814		$	(32,781	)	$	10,098,441	$	198,341	$	142,978
BMO Dividend Income Fund		6,956,287		1,018,441		3,136,410		243,773			444,670			5,526,761		148,929		50,949
BMO Large-Cap Value Fund		17,818,284		8,419,800		10,168,130		2,155,788			235,939			18,461,681		292,587		169,800
BMO Large-Cap Growth Fund		17,797,993		4,803,293		10,276,898		1,846,736			401,218			14,572,342		142,777		1,013,866
BMO Mid-Cap Value Fund		5,494,346		2,143,131		2,945,853		(1,176,229	)		322,971			3,838,366		28,718		1,426,715
BMO Mid-Cap Growth Fund		5,454,392		1,739,781		2,932,299		(777,507	)		373,837			3,858,204		17,892		1,144,904
BMO Small-Cap Value Fund		2,896,681		1,223,275		1,659,996		139,705			(99,897	)		2,499,768		15,934		267,581
BMO Small-Cap Growth Fund		5,559,132		1,202,919		3,031,677		(198,411	)		903,216			4,435,179		—		—
BMO Disciplined International Equity Fund		10,633,022		5,308,424		7,422,312		1,437,262			(203,499	)		9,752,897		215,077		—
BMO Pyrford International Stock Fund		10,624,201		3,344,778		5,241,187		470,399			282,530			9,480,721		220,271		—
BMO LGM Emerging Markets Equity Fund		8,700,946		2,352,813		6,150,032		463,494			541,314			5,908,535		65,868		—
BMO Alternative Strategies Fund		4,604,710		3,380,225		5,644,944		63,784			82,169			2,485,944		—		—
BMO Institutional Prime Money Market Fund		2,134,008		41,346,263		43,035,655		—			340			444,956		14,473		—
Totals	$	111,414,613	$	78,647,696	$	107,095,149	$	5,144,608		$	3,252,027		$	91,363,795	$	1,360,867	$	4,216,793

58

BMO Funds

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of BMO Prime Money Market Fund or BMO Government Money Market Fund and (ii) more favorable to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. No interfund borrowing or lending balances existed as of August 31, 2017.

Funds utilizing the Interfund lending program, borrowing from either the BMO Government Money Market Fund or the BMO Prime Money Market Fund during the year ended August 31, 2017, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
In-Retirement Fund	$	10,622		0.973	%
2015 Fund		7,396		1.136
2020 Fund		955		0.944
2025 Fund		3,703		1.099
2035 Fund		1,111		1.110
2040 Fund		3,574		1.101
2045 Fund		2,872		1.058
2050 Fund		2,690		1.069
2055 Fund		2,430		1.094
Conservative Allocation Fund		1,382		1.205
Moderate Allocation Fund		1,323		1.172
Balanced Allocation Fund		59,492		0.974
Growth Allocation Fund		16,244		0.997
Aggressive Allocation Fund		8,007		1.028

General—Certain of the Officers and Directors of the Corporation are also Officers and Directors/Trustees of one or more of the above companies, which are affiliates of the Corporation. None of the Fund Officers or interested Directors receives any compensation from the Funds.

6. Line of Credit

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with UMB Bank, n.a. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at August 31, 2017. The Funds did not utilize the LOC during the year ended August 31, 2017.

7. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the year ended August 31, 2017 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
In-Retirement Fund	$	4,387,297	$	11,445,001	$	—	$	—
2015 Fund		2,985,495		3,831,159		—		—
2020 Fund		19,571,275		37,368,268		—		—
2025 Fund		8,202,802		19,283,327		—		—
2030 Fund		23,840,395		42,617,823		—		—
2035 Fund		7,517,589		27,527,920		—		—
2040 Fund		14,123,550		33,492,797		—		—
2045 Fund		3,918,923		14,220,226		—		—
2050 Fund		11,224,575		20,806,329		—		—
2055 Fund		4,289,439		5,612,746		—		—
Conservative Allocation Fund		51,351,032		121,790,031		—		—
Moderate Allocation Fund		49,022,053		81,669,821		—		—
Balanced Allocation Fund		146,766,917		270,345,536		—		—
Growth Allocation Fund		56,218,706		79,628,072		—		—
Aggressive Allocation Fund		65,781,255		129,527,413		—		—

59

Notes to Financial Statements (continued)

8. Federal Tax Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are due in part to differing treatment of wash sales.

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

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

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds, have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended August 31, 2017. Management of the Funds also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation for Federal Tax Purposes
In-Retirement Fund	$	12,792,730	$	2,270,542	$	(126,535	)	$	2,144,007
2015 Fund		3,706,719		235,259		(32,504	)		202,755
2020 Fund		61,861,860		19,231,748		(614,177	)		18,617,571
2025 Fund		19,750,128		1,970,589		(301,478	)		1,669,111
2030 Fund		67,847,858		25,551,600		(814,700	)		24,736,900
2035 Fund		11,582,975		1,533,398		(130,305	)		1,403,093
2040 Fund		35,886,496		17,067,958		(469,170	)		16,598,788
2045 Fund		7,104,537		878,968		(76,365	)		802,603
2050 Fund		28,704,918		11,251,003		(431,829	)		10,819,174
2055 Fund		6,398,046		856,899		(100,539	)		756,360
Conservative Allocation Fund		64,342,777		9,574,803		(327,762	)		9,247,041
Moderate Allocation Fund		92,290,778		19,254,030		(559,205	)		18,694,825
Balanced Allocation Fund		276,298,207		96,188,372		(2,544,218	)		93,644,154
Growth Allocation Fund		91,317,057		38,590,689		(981,291	)		37,609,398
Aggressive Allocation Fund		107,996,058		66,313,030		(94,900	)		66,218,130

The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales.

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2017 and August 31, 2016 were as follows:

	2017				2016
Fund	Ordinary Income (1)		Long-Term Capital Gains		Ordinary Income (1)		Long-Term Capital Gains
In-Retirement Fund	$	511,590	$	925,260	$	607,266	$	1,497,614
2015 Fund		104,541		—		130,709		45,046
2020 Fund		1,860,077		4,010,380		2,458,238		5,197,602
2025 Fund		619,664		574,669		590,795		248,669
2030 Fund		1,684,830		3,794,697		2,098,312		3,990,322
2035 Fund		534,601		940,910		547,096		80,275
2040 Fund		997,987		2,711,921		1,223,268		3,715,337
2045 Fund		271,179		595,869		260,096		41,095
2050 Fund		641,782		1,777,285		671,827		1,380,429
2055 Fund		122,469		264,738		74,229		28,353
Conservative Allocation Fund		3,938,319		—		3,815,950		2,777,464
Moderate Allocation Fund		3,317,223		1,671,078		3,459,012		4,865,588
Balanced Allocation Fund		8,980,113		21,697,731		10,349,085		34,072,578
Growth Allocation Fund		2,008,915		5,863,115		2,750,080		8,796,346
Aggressive Allocation Fund		2,739,308		16,714,385		4,154,898		14,983,574

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

60

BMO Funds

As of August 31, 2017, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Other Adjustments			Unrealized Appreciation
In-Retirement Fund	$	189,089	$	737,105	$	—		$	—		$	2,144,007
2015 Fund		37,094		—		(25,595	)		—			202,755
2020 Fund		807,413		3,057,418		—			—			18,617,571
2025 Fund		232,708		116,916		—			—			1,669,111
2030 Fund		771,792		2,793,636		—			—			24,736,900
2035 Fund		217,922		367,532		—			—			1,403,093
2040 Fund		454,587		3,537,790		—			—			16,598,788
2045 Fund		105,768		228,801		—			—			802,603
2050 Fund		371,871		664,300		—			—			10,819,174
2055 Fund		87,771		72,343		—			—			756,360
Conservative Allocation Fund		1,954,319		4,348,930		—			—			9,247,041
Moderate Allocation Fund		1,687,810		3,993,054		—			(1	)		18,694,825
Balanced Allocation Fund		5,481,516		24,899,291		—			—			93,644,154
Growth Allocation Fund		1,924,624		5,656,882		—			—			37,609,398
Aggressive Allocation Fund		2,808,028		16,680,679		—			—			66,218,130

As of August 31, 2017, the following fund had non-expiring capital loss carry forwards:

	Capital Loss Carry Forward
Fund	Short-Term		Long-Term
2015 Fund	$	25,595	$	—

9. Shareholder Tax Information (Unaudited)

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2017, the percentages that qualify for the dividend received deduction available to corporate shareholders were as follows:

In-Retirement Fund	11.65	%
2015 Fund	14.89
2020 Fund	19.58
2025 Fund	20.82
2030 Fund	26.96
2035 Fund	24.90
2040 Fund	31.73
2045 Fund	27.74

2050 Fund	31.29	%
2055 Fund	27.80
Conservative Allocation Fund	5.31
Moderate Allocation Fund	11.20
Balanced Allocation Fund	20.15
Growth Allocation Fund	29.77
Aggressive Allocation Fund	37.61

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2017, the percentages that are designated as qualified dividend income were as follows:

In-Retirement Fund	23.36	%
2015 Fund	33.11
2020 Fund	42.78
2025 Fund	47.78
2030 Fund	58.28
2035 Fund	59.44
2040 Fund	67.69
2045 Fund	61.88

2050 Fund	65.81	%
2055 Fund	59.52
Conservative Allocation Fund	10.38
Moderate Allocation Fund	22.81
Balanced Allocation Fund	38.15
Growth Allocation Fund	52.78
Aggressive Allocation Fund	64.10

For Federal tax purposes, the Funds designate long-term capital gain dividends, or the amounts determined to be necessary, for the year ended August 31 2017:

In-Retirement Fund	$	925,260
2020 Fund		4,010,380
2025 Fund		574,669
2030 Fund		3,794,697
2035 Fund		940,910
2040 Fund		2,711,921
2045 Fund		595,869

2050 Fund	$	1,777,285
2055 Fund		264,738
Moderate Allocation Fund		1,671,078
Balanced Allocation Fund		21,697,731
Growth Allocation Fund		5,863,115
Aggressive Allocation Fund		16,714,385

61

Notes to Financial Statements (continued)

For Federal tax purposes, the Funds designate qualified short-term capital gain dividends, or the amounts determined to be necessary, for the year ended August 31 2017:

In-Retirement Fund	$	13,489
2020 Fund		68,431
2025 Fund		1,781
2035 Fund		590
2040 Fund		25,024
2045 Fund		620
2050 Fund		3,732

2055 Fund	$	543
Conservative Allocation Fund		28,674
Moderate Allocation Fund		65,608
Balanced Allocation Fund		203,349
Growth Allocation Fund		43,704
Aggressive Allocation Fund		4,041

10. Recently Issued Accounting Pronouncement

In October 2016, the Securities and Exchange Commission released its Final Rules on Investment Company Reporting Modernization (the “Rules”). The Rules introduce new regulatory reporting forms for investment companies; Form N-PORT and Form N-CEN. The compliance date for Form N-PORT and Form N-CEN is June 1, 2018 and compliance should be based on the reporting period-end date.

11. Subsequent Events

Management of the Funds have evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that no subsequent events exist requiring recognition or disclosure in the financial statements.

62

Report of Independent Registered Public Accounting Firm

The Board of Directors and Shareholders

BMO Funds, Inc.:

We have audited the accompanying statements of assets and liabilities of BMO In-Retirement Fund, BMO Target Retirement 2015 Fund, BMO Target Retirement 2020 Fund, BMO Target Retirement 2025 Fund, BMO Target Retirement 2030 Fund, BMO Target Retirement 2035 Fund, BMO Target Retirement 2040 Fund, BMO Target Retirement 2045 Fund, BMO Target Retirement 2050 Fund, BMO Target Retirement 2055 Fund, BMO Conservative Allocation Fund, BMO Moderate Allocation Fund, BMO Balanced Allocation Fund, BMO Growth Allocation Fund, and BMO Aggressive Allocation Fund (each a series of BMO Funds, Inc., collectively the Funds), including the schedules of investments, as of August 31, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the four-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2017, by correspondence with the custodian and transfer agents or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of August 31, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the four-year period then ended, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Milwaukee, Wisconsin

October 24, 2017

63

Directors and Officers of the Funds  (Unaudited)

The following tables provide information about each Director and Officer of the Funds as of September 1, 2017. The address of each Director is c/o BMO Funds, 111 East Kilbourn Avenue, Suite 200, Milwaukee, Wisconsin 53202. There are currently 44 separate portfolios or funds in the BMO Funds complex, of which 43 are registered as BMO Funds, Inc. and one is registered as BMO LGM Frontier Markets Equity Fund with the Securities and Exchange Commission. The Funds’ Statement of Additional Information includes additional information about the Directors and is available, without charge and upon request, by calling 1-800-236-FUND (3863).

INDEPENDENT DIRECTORS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director
Ridge A. Braunschweig Age: 64	Independent Director	Since October 2009	President and Chief Executive Officer, CPL Industries, Inc. (a manufacturing holding company prior to May 2009 and a family office since May 2009), since January 2012; Executive Vice President and Chief Financial Officer, CPL Industries, Inc., from 2000 to 2012.	44	None
Benjamin M. Cutler Age: 72	Independent Director	Since July 2004	Chairman, USHEALTH Group, Inc. (a health insurance company), since 2004; CEO and President, USHEALTH Group, Inc., from 2004 to 2016; Director, Freedom from Hunger (a non-profit organization), since 2016.	44	None
John A. Lubs Age: 69	Independent Director	Since July 2004	Retired; formerly, Vice Chairman, Mason Companies, Inc. (a footwear distributor), from 2004 to 2010 and Chief Operating Officer, from 2003 to 2010.	44	None
Vincent P. Lyles Age: 56	Independent Director	Since September 2017	President and Chief Executive Officer, Boys & Girls Clubs of Greater Milwaukee, since 2012.	44	None
James Mitchell Age: 70	Independent Director	Since March 1999	Chairman, Ayrshire Precision Engineering (a precision machining company), since 1992; Chief Executive Officer, NOG, Inc. (a metal processing and consulting company), from 1999 to 2015.	44	None
Barbara J. Pope Age: 69	Independent Director	Since March 1999	Retired; formerly, President of Barbara J. Pope, P.C. (a financial consulting firm), 1992-2015; President of Sedgwick Street Fund LLC (a private investment partnership), 1996-2015; Tax Partner, Price Waterhouse.	44	None
* Each Director serves an indefinite term until he or she retires or otherwise resigns, is removed, dies, or until his or her successor is duly elected. Retirement for a Director occurs no later than August 31 following his or her 75th birthday.

64

Directors and Officers of the Fund (Unaudited)  (continued)

INTERESTED DIRECTORS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director
John M. Blaser** Age: 60	Director and President	Since May 1999	Managing Director of the Adviser, since June 2012.	44	None
Christopher B. Begy** Age: 63	Director	Since August 2013	U.S. Country Head, CEO, and a Director of BMO Financial Corp., since August 2013; Chair, BMO Harris Bank N.A., since August 2013; Director of the Adviser, since August 2013; Chief Auditor of BMO Financial Group, from 2001 to 2013.	44	None
* Each Director serves an indefinite term until he or she retires or otherwise resigns, is removed, dies or until his or her successor is duly elected. Retirement for a Director occurs no later than August 31 following his or her 75th birthday.
** Mr. Blaser is an “interested person” of the Corporation (as defined in the 1940 Act) due to the positions that he holds with the Corporation, and the Adviser. Mr. Begy is an “interested person” of the Corporation due to the positions that he holds with the Adviser and BMO.

PRINCIPAL OFFICERS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
Timothy M. Bonin Age: 44	Vice President, Chief Financial Officer and Treasurer	Elected by the Board annually; since February 2006	Vice President of the Adviser, since February 2006.
Stephen R. Oliver Age: 66	Chief Compliance Officer and Anti-Money Laundering Compliance Officer	Elected by the Board annually; Chief Compliance Officer, since July 2008; and Anti-Money Laundering Officer, since January 2009	Vice President of BMO Harris Bank N.A., since March 2006, Vice President of BMO Investment Distributors, LLC (formerly M&I Distributors, LLC), 2007 to 2014.
Michael J. Murphy Age: 38	Secretary	Elected by the Board annually; since May 2016	Senior Counsel and Vice President of BMO Harris Bank N.A., since 2014; Associate, Vedder Price P.C., 2010 to 2014.

65

Shareholder Report Disclosure of Directors’ Approval of
Continuation of Contracts (Unaudited)

Approval of Continuation of Advisory Agreements

During the reporting period, the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), approved the continuation of the investment advisory agreement (the “Advisory Agreement”) between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of each portfolio of the Corporation (each, a “Fund” and collectively, the “Funds”) for an additional year ending August 31, 2018, except for the BMO In-Retirement Fund, BMO Target Retirement 2020 Fund, BMO Target Retirement 2030 Fund, BMO Target Retirement 2040 Fund and BMO Target Retirement 2050 Fund, which were approved for an additional year ending August 29, 2018.

At Board meetings held on July 12, 2017 (“July Meeting”) and August 8-9, 2017 (“August Meeting”), the Board met with management of the Adviser regarding the annual approval of the continuation of the Funds’ Advisory Agreement. In connection with its consideration of the Advisory Agreement, the Board considered the information furnished and discussed throughout the year at regularly scheduled Board and Committee meetings, as applicable, and the information provided specifically in relation to the annual consideration of the approval of the Advisory Agreement in response to requests of the Independent Directors and their independent legal counsel. Information furnished in connection with Board or Committee meetings throughout the year included, among other things, presentations given by the portfolio managers of the Funds on each Fund’s investment strategies, risks and performance, comparative performance of each Fund against its benchmark indices; reports regarding each Fund’s asset levels including sales and redemption activities; and various reports on the monitoring of the Funds’ compliance with the securities laws, regulations, policies and procedures. In preparation for the Board’s annual consideration of the approval of the Advisory Agreement, the Directors requested and received a wide variety of information and reports concerning the Adviser (and its affiliates) including information on: (1) the nature, extent and quality of services provided to each Fund by the Adviser (and its affiliates); (2) the investment performance of each Fund as compared to a group of comparable funds; (3) the expense ratios of each Fund as compared to a group of comparable funds; (4) profitability information of the Adviser; and (5) the Adviser’s compliance program. The Board also considered information related to potential “fall out” or ancillary benefits enjoyed by the Adviser (and its affiliates) as a result of their relationships with the Funds. In addition to evaluating, among other things, the written information provided by the Adviser, the Board also considered the answers to questions posed by the Board to representatives of the Adviser at various meetings.

In evaluating the Advisory Agreement, the Board members took into account their accumulated experience in working with the Adviser on matters related to the Funds. The Independent Directors also met separately in executive sessions with their independent legal counsel to review and consider the information provided regarding the Advisory Agreement.

Based on their review, the Independent Directors and the full Board concluded that it was in the best interests of each Fund to approve the continuation of the Advisory Agreement. Although the Advisory Agreement for all of the Funds were considered at the same Board meeting, the Directors considered each Fund separately. In their deliberations, the Board did not identify any single factor or group of factors as all-important or controlling but considered all factors together. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

Nature, Extent and Quality of Services

In evaluating the nature, extent and quality of the services provided by the Adviser to the Funds, the Board reviewed information describing the financial strength, experience, resources and key personnel of the Adviser, including the personnel who provide investment management services to the Funds. The Board considered the administrative services that are provided to each Fund, as well as other services performed by the Adviser, including the selection and monitoring of the underlying funds; monitoring adherence to the Funds’ investment restrictions; monitoring the Funds’ compliance with their compliance policies and procedures and with applicable securities laws and regulations; producing shareholder reports; providing support services for the Board and Board committees; communicating with shareholders; and overseeing the activities of other service providers. The Board also considered the Adviser’s experience in providing investment advisory services to funds.

Review of Fund Performance

The Board reviewed the investment performance of each of the Funds. While consideration was given to performance reports provided in connection with, and discussions held at, regular Board meetings throughout the year, particular attention was given to the performance reports provided specifically in connection with the July and August Meetings. In particular, the Directors noted the performance of each Fund relative to its Lipper Inc. (“Lipper”) peer universe. The Directors also considered updated performance information for each Fund relative to its benchmark and, if applicable, its Morningstar, Inc. (“Morningstar”) ratings.

With respect to each Fund’s performance as compared to its Lipper peer universe (“peer group”), the Board reviewed each Fund’s performance percentile rankings over the year-to-date and one- and three-year periods through May 31, 2017, as provided by the Adviser. The Board considered that each Fund ranked in one of the top two quartiles for performance as compared to its peer group in two out of the three periods reviewed, except for the following Funds: BMO Conservative Allocation Fund, BMO Moderate Allocation Fund, BMO Balanced Allocation Fund, and BMO Growth Allocation Fund. The Board took into consideration that each Fund has a very limited performance history.

With respect to the BMO Conservative Allocation Fund, the Board considered that the Fund was rated three stars by Morningstar and that its three-year performance was in the second quartile of its peer group, while the year-to-date and

66

BMO Funds

one-year performance were in the third quartile. With respect to the Fund’s one-year performance, the Fund’s performance ranked only slightly below the majority of the funds in its peer group. The Board also considered portfolio management changes to the Fund during the period and the Adviser’s explanation with respect to contributors to Fund performance.

With respect to the BMO Moderate Allocation Fund, the Board consider that its year-to-date, one-year and three-year performance were in the third quartile of its peer group. With respect to the Fund’s three-year performance, the Fund’s performance ranked only slightly below the majority of the funds in its peer group. The Board also considered portfolio management changes to the Fund during the period and the Adviser’s explanation with respect to contributors to Fund performance.

With respect to the BMO Balanced Allocation Fund, the Board considered that the Fund was rated three stars by Morningstar and that its year-to-date performance was in the second quartile of its peer group, while the one-year and three-year performance were in the third quartile. With respect to the Fund’s one-year performance, the Fund’s performance ranked only slightly below the majority of the funds in its peer group. The Board also considered portfolio management changes to the Fund during the period and the Adviser’s explanation with respect to contributors to Fund performance.

With respect to the BMO Growth Allocation Fund, the Board considered that its year-to-date, one-year and three-year performance was in the third quartile of its peer group. The Board also considered portfolio management changes to the Fund during the period and the Adviser’s explanation with respect to contributors to Fund performance.

The Board determined that it was generally satisfied with each Fund’s performance and would continue to monitor each Fund’s performance results.

Costs of Services Provided and Profits Realized by the Adviser

The Board considered the fees payable by each Fund under the Advisory Agreement, noting that the Funds do not pay a management fee to the Adviser. The Board review information provided by the Adviser comparing each Fund’s net expense ratio to the median net expense ratio of its Lipper peer group (“Lipper peers”). The Board considered that each Target Date Fund’s net expense ratio was higher than the median of its Lipper peers and that each Target Allocation Fund’s net expense ratio was lower than or within a few basis points of its Lipper peers (except for Investor Class shares of the BMO Conservative Allocation Fund and BMO Balanced Allocation Fund). The Board considered that the net expense ratios included the fees and expenses of the underlying funds in which the Funds invest. In addition, the Board noted that the Adviser agreed to contractual expense limitations for the Funds (the “Expense Limitations”), and that the net expense ratios for the Funds take into account the effect of the Expense Limitations. The Board also gave consideration to the fact that the Target Date and Target Allocation Funds were still relatively new and, with the exception of the BMO Balanced Fund, relatively small in size and, therefore, economies of scale with respect to other expenses may not have been realized.

The Board considered the methodology used by the Adviser in determining compensation payable to its portfolio managers and the competitive environment for investment management talent. The Board also considered the financial condition of the Adviser and certain of its affiliates, and particularly focused on the financial strength of the ultimate parent company of the Adviser, and the parent company’s commitment, financial and otherwise, to the global asset management business and the Funds.

The Board reviewed profitability information it received from the Adviser in connection with the services provided to each Fund and the Corporation as a whole. The materials provided in this regard showed, and the Directors acknowledged, that the Adviser would not have a profit with respect to these Funds because the Funds do not pay management fees to the Adviser.

Economies of Scale

The Board did not consider the extent to which economies of scale would be realized as the Funds grow because the Funds do not pay management fees to the Adviser.

Other Benefits to the Adviser

The Board considered benefits that accrue to the Adviser and its affiliates from their relationships with the Funds, including revenue in the form of administration fees and custody fees. The Board noted that the Adviser may potentially benefit from its relationship with each Fund in other ways. The Board also considered that the success of any Fund could attract other business to the Adviser and that the success of the Adviser could enhance the Adviser’s ability to serve the Funds.

The Board concluded that, taking into account all of the information reviewed, each Fund’s advisory fee was reasonable.

Overall Conclusions

Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreement are fair and reasonable and that the approval of the continuation of the Advisory Agreement is in the best interests of each Fund.

67

NOTES

68

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

Proxy Voting

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

Each Fund’s proxy voting record for the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the SEC’s website at http://www.sec.gov.

Disclosure of Portfolio Holdings

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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

PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1793

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

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

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

© 2017 BMO Financial Corp. (9/17)

Item 2.  Code of Ethics.

The Registrant has a code of ethics (the “Code”) that applies to the Registrant’s principal executive officer and principal financial officer. During the period covered by this report, there were no amendments to the provisions of the Code, nor were there any implicit or explicit waivers to the provisions of the Code. The Code is filed herewith.

Item 3.  Audit Committee Financial Expert.

The Registrant’s Board of Directors has determined that the Registrant has four audit committee financial experts serving on its audit committee, each of whom is “independent” within the meaning of Form N-CSR: Ridge A. Braunschweig, Barbara J. Pope, John A. Lubs, and Benjamin M. Cutler. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Directors in the absence of such designation or identification.

Item 4.  Principal Accountant Fees and Services.

The aggregate fees for professional services by KPMG LLP during the fiscal year 2017 and 2016 were as follows:

(a) Audit Fees for Registrant.

Fiscal year ended August 31, 2017	$650,555
Fiscal year ended August 31, 2016	$657,205

(b) Audit-Related Fees for Registrant. These are fees by the Registrant’s independent auditors for assurance and related services that were reasonably related to the performance of the audit of the Registrant’s financial statements that are not reported under “Audit Fees”. These fees include amounts related to Form N-17f-2 filings.

Fiscal year ended August 31, 2017	$76,755
Fiscal year ended August 31, 2016	$77,940

(c) Tax Fees for Registrant. These are fees for professional services rendered by the Registrant’s independent auditors for tax compliance, tax advice, and tax planning. These fees include federal, excise and state tax reviews; performed by KPMG LLP.

Fiscal year ended August 31, 2017	$170,210
Fiscal year ended August 31, 2016	$175,460

(d) All Other Fees.

Fiscal year ended August 31, 2017	None
Fiscal year ended August 31, 2016	None

(e) Audit Committee’s pre-approval policies and procedures.

(1) The Audit Committee has adopted pre-approval policies and procedures that require the Audit Committee to pre-approve all audit and non-audit services of the Registrant, including services provided to the Registrant’s investment adviser or any entity controlling, controlled by or under common control with the Registrant’s investment adviser that provides ongoing services to the Registrant with respect to any engagement that directly relates to the operations and financial reporting of the Registrant.

(2) None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) None.

(g) During the last two fiscal years, other non-audit services rendered by the Registrant’s independent auditors to the Registrant, its investment adviser or any entity controlling, controlled by or under the common control with the investment adviser that provides ongoing services to the Registrant included the following:

Statement on Standards for Attestation Engagements No. 16 (SSAE No. 16) examinations for BMO Harris Bank N.A.

Fiscal year ended August 31, 2017	$220,000
Fiscal year ended August 31, 2016	$198,000

(h) Not applicable.

Item 5.  Audit Committee of Listed Registrants.

Not applicable.

Item 6.  Investments.

Except as noted below, the schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form. The schedules of investments for BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, and BMO Intermediate Tax-Free Fund, are filed under this Item.

Ultra Short Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of August 31, 2017

Description	Shares or         Principal         Amount	Value
Municipals — 96.1%
Alabama — 4.9%
Albertville Municipal Utilities Board, AGM:
2.000%, 8/15/2019	$      735,000	$      744,121
2.000%, 8/15/2020	355,000	359,679
Chatom Industrial Development Board, 1.300%, 8/1/2037, Call 2/1/2018 (12)	2,800,000	2,800,000
City of Brundidge, AGM:
2.000%, 12/1/2017	380,000	381,091
2.000%, 12/1/2018	385,000	389,335
County of Jefferson, 5.000%, 9/15/2019	1,000,000	1,076,630
Health Care Authority for Baptist Health, 1.150%, 11/1/2042 (12)	14,125,000	14,125,000
Limestone County Water & Sewer Authority, BAM, 2.000%, 12/1/2019	160,000	162,779
Mobile Industrial Development Board:
0.910%, 6/1/2034, Call 9/1/2017 (12)	150,000	150,000
0.930%, 6/1/2034, Call 9/1/2017 (12)	250,000	250,000
1.000%, 6/1/2034, Call 9/1/2017 (12)	4,000,000	4,000,000
Tender Option Bond Trust Receipts/Certificates, 1.040%, 12/1/2030 (6) (12)	7,060,000	7,060,000
Wilsonville Industrial Development Board, 0.870%, 1/1/2024, Call 9/1/2017 (12)	800,000	800,000
		32,298,635
Arizona — 1.8%
Arizona Health Facilities Authority:
0.800%, 1/1/2029, Call 9/1/2017 (12)	6,000,000	6,000,000
2.640% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (7)	3,250,000	3,299,497
2.640% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (7)	750,000	761,423
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2018	300,000	309,939
City of Tucson, AGM, 3.000%, 7/1/2018	500,000	508,510
Industrial Development Authority of the County of Pima, 5.000%, 9/1/2017	250,000	250,000
Maricopa County Pollution Control Corp., 1.750%, 5/30/2018 (12)	500,000	502,070
		11,631,439
Arkansas — 2.6%
Arkansas Development Finance Authority:
1.200%, 9/1/2044, Call 9/1/2017 (12)	10,400,000	10,400,000
1.890% (SIFMA Municipal Swap Index Yield+110 basis points), 9/1/2019, Call 3/1/2019 (7)	3,000,000	3,005,220
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023	405,000	405,522
County of Crawford, AGM, 3.000%, 9/1/2017	175,000	175,000
Little Rock School District, SAW, 3.000%, 2/1/2019 (8)	3,000,000	3,077,580
		17,063,322
California — 7.6%
Bay Area Toll Authority:
1.875%, 4/1/2019, Call 10/1/2018 (12)	525,000	531,279
1.890% (SIFMA Municipal Swap Index Yield+110 basis points), 4/1/2024, Call 10/1/2023 (7)	1,750,000	1,784,527
BB&T Municipal Trust, 1.490% (SIFMA Municipal Swap Index Yield+70 basis points), 11/15/2017 (6) (7)	111,277	111,303
California Health Facilities Financing Authority, NATL-RE, 1.383%, 7/1/2022, Call 9/1/2017 (12) (13)	700,000	679,539
California Infrastructure & Economic Development Bank:
1.050%, 12/1/2018	750,000	751,838
1.070% (SIFMA Municipal Swap Index Yield+28 basis points), 4/2/2018, Call 1/2/2018 (7)	550,000	550,820
California Municipal Finance Authority, 1.200%, 2/1/2018 (12)	3,750,000	3,751,950
California Statewide Communities Development Authority:
3.500%, 11/1/2018	400,000	402,536
5.250%, 12/1/2027, Call 12/1/2017	1,250,000	1,263,312
California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 9/1/2017	455,000	455,000

Carson Redevelopment Agency Successor Agency, 4.000%, 10/1/2017	1,265,000	1,267,783
City of Sacramento, 2.000%, 9/1/2017	200,000	200,000
Golden Empire Schools Financing Authority, 4.000%, 5/1/2018	4,000,000	4,085,520
Golden State Tobacco Securitization Corp., 4.000%, 6/1/2018	5,000,000	5,114,900
Northern California Gas Authority No. 1, 1.500% (LIBOR 3 Month+63 basis points), 7/1/2019 (7)	7,500,000	7,494,975
Palomar Health:
4.000%, 11/1/2018	125,000	127,963
4.000%, 11/1/2019	505,000	526,493
Rib Floater Trust Various States, 0.970%, 8/15/2051 (6) (12)	3,000,000	3,000,000
South Placer Wastewater Authority, 1.120% (SIFMA Municipal Swap Index Yield+33 basis points), 11/1/2017, Call 9/18/2017 (7)	600,000	600,000
State of California, 1.692% (LIBOR 1 Month+83 basis points), 12/3/2018, Call 6/1/2018 (7)	950,000	954,123
State of California, FSA, 1.000%, 8/1/2027 (6) (12)	5,500,000	5,500,000
Successor Agency to the Richmond County Redevelopment Agency, BAM, 4.000%, 9/1/2017	400,000	400,000
Tender Option Bond Trust Receipts/Certificates:
0.860%, 11/1/2023 (6) (12)	8,000,000	8,000,000
0.910%, 5/1/2022 (6) (12)	3,000,000	3,000,000
		50,553,861
Colorado — 1.8%
City & County of Denver, AGC, 0.880%, 11/15/2025, Call 9/1/2017 (12) (13)	525,000	525,000
City of Sheridan, 3.000%, 12/1/2017	200,000	200,982
Colorado Educational & Cultural Facilities Authority, 3.000%, 11/15/2017	190,000	190,923
Colorado Health Facilities Authority:
1.450%, 7/1/2034, Call 7/1/2019 (6) (12)	4,300,000	4,300,000
4.000%, 2/1/2018	175,000	176,628
5.000%, 5/15/2018	200,000	204,556
5.000%, 5/15/2019	250,000	263,608
5.000%, 6/1/2019 (8)	450,000	476,402
County of Montrose, 4.000%, 12/1/2017	385,000	387,352
Denver Health & Hospital Authority:
5.000%, 12/1/2019, Call 9/29/2017	200,000	200,536
5.000%, 12/1/2020, Call 9/29/2017	1,730,000	1,734,636
E-470 Public Highway Authority, 1.725% (LIBOR 1 Month+90 basis points), 9/1/2019, Call 3/1/2019 (7)	3,345,000	3,369,619
		12,030,242
Connecticut — 0.3%
Norwalk Housing Authority, 1.250%, 6/1/2018 (12)	2,200,000	2,204,994
District of Columbia — 0.1%
District of Columbia Housing Finance Agency, AGM, 5.000%, 7/1/2021, Call 10/2/2017	390,000	391,209
Florida — 6.2%
Citizens Property Insurance Corp., 5.000%, 6/1/2018, Call 12/1/2017	1,975,000	1,995,066
City of Cape Coral, AGM, 1.400%, 9/1/2018	650,000	652,867
City of Lakeland, 5.000%, 10/1/2017	1,500,000	1,504,425
City of Orlando, AGM:
3.000%, 11/1/2019	850,000	882,784
4.000%, 11/1/2018	650,000	672,822
City of Port St. Lucie, 1.125%, 7/1/2018	625,000	624,175
Columbia County School Board, 5.000%, 7/1/2018	880,000	908,644
County of Escambia, 0.870%, 4/1/2039, Call 9/1/2017 (12)	6,100,000	6,100,000
County of Manatee, 0.870%, 9/1/2024, Call 9/1/2017 (12)	4,300,000	4,300,000
County of Volusia, 5.250%, 10/1/2017	1,000,000	1,003,130
Florida Municipal Power Agency, AMBAC:
1.365%, 10/1/2021, Call 9/7/2017 (12) (13)	250,000	238,154
1.367%, 10/1/2021 (12) (13)	325,000	309,607
JEA Electric System Revenue, 5.000%, 10/1/2018	600,000	626,778
Manatee County School District, AGM, 4.000%, 10/1/2018	670,000	691,909
Miami-Dade County Industrial Development Authority, 0.870%, 6/1/2021, Call 9/1/2017 (12)	8,100,000	8,100,000
North Sumter County Utility Dependent District, 5.000%, 10/1/2017	225,000	225,596
Putnam County Development Authority, 0.870%, 9/1/2024, Call 9/1/2017 (12)	2,400,000	2,400,000
Sarasota County Health Facilities Authority:
4.000%, 1/1/2018	400,000	403,268
4.000%, 1/1/2019	500,000	515,330
School Board of Miami-Dade County, FGIC, 1.020%, 9/7/2017, Call 9/1/2017 (6) (12)	8,000,000	8,000,000
Sumter County Industrial Development Authority, 4.000%, 7/1/2019 620,000		651,372
		40,805,927

Georgia — 0.9%
City of Atlanta, 2.329% (LIBOR 1 Month+150 basis points), 11/1/2018, Call 5/1/2018 (7)	2,750,000	2,767,545
Georgia State Road & Tollway Authority, 5.000%, 6/1/2019	1,750,000	1,871,100
Peach County Development Authority, 1.200%, 10/1/2018, Call 4/1/2018	1,000,000	1,000,390
Private Colleges & Universities Authority, 4.000%, 10/1/2017	110,000	110,184
		5,749,219
Guam — 0.1%
Territory of Guam:
3.000%, 11/15/2017	300,000	300,720
5.000%, 12/1/2017	200,000	201,788
5.000%, 12/1/2018	250,000	261,030
		763,538
Idaho — 1.4%
American Falls Reservoir District, 0.980%, 2/1/2025, Call 9/1/2017 (12)	4,885,000	4,885,000
Idaho Housing & Finance Association, 0.870%, 1/1/2038, Call 9/1/2017 (12)	4,600,000	4,600,000
		9,485,000
Illinois — 5.6%
Arlington Heights Park District, 5.000%, 12/1/2017	170,000	171,674
Chicago Board of Education, 9.000%, 3/1/2032, Call 9/1/2018	3,890,000	3,908,789
City of Burbank, BAM, 3.000%, 12/1/2017	1,040,000	1,044,732
City of Chicago:
2.000%, 11/1/2017	2,000,000	2,003,160
5.000%, 11/1/2018	1,000,000	1,045,360
5.000%, 11/1/2018	1,155,000	1,207,391
City of Chicago, AGM:
4.250%, 11/1/2018	150,000	155,519
5.000%, 1/1/2019, Call 10/2/2017	250,000	254,507
City of Rockford, BAM, 5.000%, 12/15/2017	1,600,000	1,617,456
Cook County Community Consolidated School District No. 15 Palatine, NATL-RE, 0.000%, 12/1/2017	250,000	249,252
County of Cook, 5.000%, 11/15/2018	1,300,000	1,355,406
Illinois Finance Authority:
0.800%, 8/15/2042, Call 9/1/2017 (12)	2,400,000	2,400,000
1.050%, 7/30/2018 (12)	3,275,000	3,277,325
4.000%, 11/15/2017	200,000	201,178
4.000%, 11/15/2018	200,000	206,894
5.000%, 8/15/2018	200,000	205,832
5.000%, 11/15/2018	350,000	365,939
5.000%, 11/15/2019	605,000	652,517
5.000%, 11/15/2019	250,000	269,805
Kankakee River Metropolitan Agency, AGM:
2.000%, 5/1/2018	100,000	100,342
3.000%, 5/1/2019	300,000	307,068
Lake County Forest Preserve District, 1.314% (LIBOR 3 Month+48 basis points), 12/15/2020 (7)	450,000	451,633
McHenry County Community Consolidated School District No. 47 Crystal Lake, AGM, 5.000%, 2/1/2018	210,000	213,461
McHenry County Community Unit School District No. 12 Johnsburg, AGM, 4.000%, 1/1/2018	125,000	126,253
Northern Illinois Municipal Power Agency, 5.000%, 12/1/2018	500,000	524,690
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2018	1,250,000	1,266,250
Ogle Lee & De Kalb Counties Township High School District No. 212 Rochelle, 4.000%, 12/1/2018	925,000	959,225
Rib Floater Trust Various States, 1.040%, 4/1/2036, Call 4/1/2027 (6) (12)	4,250,000	4,250,000
Southwestern Illinois Development Authority, AGM, 5.250%, 12/1/2020, Call 12/1/2017	275,000	277,711
State of Illinois:
5.000%, 1/1/2018	2,000,000	2,020,540
5.000%, 2/1/2018	500,000	506,420
Tender Option Bond Trust Receipts/Certificates, 0.990%, 6/15/2032, Call 6/15/2026 (6) (12)	4,655,000	4,655,000
Village of Franklin Park, BAM, 4.000%, 10/1/2017	95,000	95,198
Village of Plainfield, 2.000%, 12/15/2017	130,000	130,420
Village of Rantoul, AGM:
2.000%, 1/1/2018	100,000	100,272
2.000%, 1/1/2019	150,000	151,388
		36,728,607

Indiana — 2.8%
Clark-Pleasant Community School Building Corp., SAW, 4.000%, 1/15/2018	910,000	920,328
Hamilton Southeastern Consolidated School Building Corp., 5.000%, 1/15/2018	900,000	913,752
Indiana Housing & Community Development Authority, GNMA FNMA FHLMC COLL, 0.890%, 7/1/2039, Call 10/2/2017 (12)	8,200,000	8,200,000
Tender Option Bond Trust Receipts/Certificates, 1.140%, 4/15/2019 (6) (12)	8,500,000	8,500,000
Whitley County Multi School Building Corp., 3.000%, 1/15/2018	250,000	252,080
		18,786,160
Iowa — 1.9%
City of Altoona, 3.000%, 6/1/2018	220,000	223,249
Iowa Finance Authority, 0.810%, 6/1/2039, Call 9/1/2017 (12)	4,900,000	4,900,000
Iowa Higher Education Loan Authority:
1.000%, 9/1/2018, Call 3/1/2018	3,000,000	3,000,300
2.000%, 12/1/2018, Call 6/1/2018	3,500,000	3,519,670
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 6/1/2018	405,000	404,206
Xenia Rural Water District:
2.000%, 12/1/2017	125,000	125,213
2.000%, 12/1/2018	225,000	226,397
		12,399,035
Kansas — 0.3%
Bourbon County Unified School District No. 234-Fort Scott, 3.000%, 9/1/2017	745,000	745,000
Kansas Turnpike Authority, 5.000%, 9/1/2017	1,000,000	1,000,000
		1,745,000
Kentucky — 1.4%
Kentucky Rural Water Finance Corp., 3.000%, 11/1/2018	3,000,000	3,066,120
Kentucky State Property & Building Commission, 5.250%, 10/1/2017	425,000	426,309
Louisville/Jefferson County Metropolitan Government:
1.250%, 6/3/2019 (12)	1,000,000	1,001,890
1.250%, 6/3/2019 (12)	1,000,000	1,001,890
4.000%, 11/15/2017	1,000,000	1,006,240
Northern Kentucky Water Service District, 3.000%, 4/1/2019, Call 10/1/2018	2,500,000	2,542,300
		9,044,749
Louisiana — 3.1%
East Baton Rouge Sewerage Commission, 1.362% (LIBOR 1 Month+50 basis points), 8/1/2018, Call 2/1/2018 (7)	6,090,000	6,094,019
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	525,000	525,037
Louisiana Offshore Terminal Authority, 0.800%, 9/1/2033, Call 9/1/2017 (12)	5,000,000	5,000,000
Louisiana Public Facilities Authority:
0.830%, 12/1/2043, Call 9/1/2017 (12)	500,000	500,000
1.040%, 7/1/2021, Call 9/7/2017 (12)	1,155,000	1,155,000
4.000%, 5/15/2019	225,000	235,593
Parish of St. Charles, 0.870%, 10/1/2022, Call 9/1/2017 (12)	800,000	800,000
Parish of St. James, 0.920%, 11/1/2040, Call 9/1/2017 (12)	4,000,000	4,000,000
State of Louisiana, 1.332% (LIBOR 1 Month+47 basis points), 5/1/2018, Call 11/1/2017 (7)	2,500,000	2,500,650
		20,810,299
Maine — 0.1%
City of Portland:
5.000%, 1/1/2018	285,000	288,454
5.000%, 1/1/2019	305,000	319,546
		608,000
Maryland — 0.1%
City of Baltimore:
3.000%, 9/1/2018	250,000	254,473
4.000%, 9/1/2019	350,000	368,046
		622,519
Massachusetts — 0.3%
Commonwealth of Massachusetts, 1.338% (LIBOR 3 Month+46 basis points), 11/1/2018, Call 11/1/2017 (7)	750,000	750,210
Marthas Vineyard Land Bank, BAM, 4.000%, 5/1/2018	500,000	509,830

Massachusetts Development Finance Agency, 1.270% (SIFMA Municipal Swap Index Yield+48 basis points), 1/29/2020, Call 8/1/2019 (7)	500,000	498,755
Massachusetts Municipal Wholesale Electric Co., MBIA, 1.892%, 7/1/2018, Call 9/5/2017 (12) (13)	25,000	24,706
		1,783,501
Michigan — 1.6%
Boyne City Public School District, 1.500%, 5/1/2019	1,265,000	1,274,918
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	100,000	103,848
Michigan Finance Authority:
0.850%, 12/1/2017 (8) (12)	5,000,000	5,000,000
5.000%, 11/15/2017	500,000	503,900
5.000%, 11/15/2018	500,000	523,135
5.000%, 11/15/2019	400,000	433,140
Michigan State Building Authority, 5.000%, 10/15/2017	30,000	30,137
Michigan State Housing Development Authority, 0.850%, 12/1/2035, Call 9/1/2017 (12)	460,000	460,000
Taylor Tax Increment Finance Authority, AGM:
4.000%, 5/1/2020, Call 10/2/2017	785,000	786,609
4.000%, 5/1/2021, Call 10/2/2017	600,000	601,230
Wayne County Airport Authority, 5.000%, 12/1/2017	250,000	252,437
White Cloud Public Schools, Q-SBLF:
4.000%, 5/1/2018	215,000	219,242
4.000%, 5/1/2019	175,000	183,346
		10,371,942
Minnesota — 1.4%
City of Minneapolis, 1.000%, 12/1/2017, Call 9/21/2017	3,225,000	3,225,806
Housing & Redevelopment Authority of The City of St. Paul:
2.000%, 11/15/2018	805,000	815,183
3.000%, 11/15/2019	600,000	625,410
Minnesota Rural Water Finance Authority, Inc.:
1.050%, 3/1/2019 (8)	1,350,000	1,350,203
2.000%, 10/1/2017	3,000,000	3,002,490
		9,019,092
Mississippi — 1.7%
City of Jackson, BAM, 3.000%, 9/1/2017	375,000	375,000
Mississippi Business Finance Corp.:
0.840%, 11/1/2035, Call 9/1/2017 (12)	200,000	200,000
0.840%, 11/1/2035, Call 9/1/2017 (12)	3,550,000	3,550,000
1.150%, 5/1/2037, Call 11/1/2017 (12)	6,662,000	6,662,666
Mississippi Development Bank, 5.000%, 4/1/2018	300,000	306,621
		11,094,287
Missouri — 1.3%
Cape Girardeau County Industrial Development Authority, 5.000%, 3/1/2019	220,000	231,240
City of Kansas City, 0.810%, 4/15/2034, Call 9/1/2017 (12)	5,000,000	5,000,000
Health & Educational Facilities Authority of the State of Missouri, 4.000%, 2/1/2018	500,000	505,665
Missouri Housing Development Commission, GNMA FNMA, 4.700%, 3/1/2035, Call 9/1/2019	210,000	219,047
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 1.365%, 12/1/2022, Call 9/1/2017 (12) (13)	1,750,000	1,631,098
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 3/1/2018	1,000,000	1,001,370
		8,588,420
Nebraska — 0.4%
Central Plains Energy Project, 5.000%, 6/1/2018	2,000,000	2,058,200
City of La Vista, 1.000%, 3/15/2018, Call 10/2/2017	500,000	500,045
		2,558,245
Nevada — 0.1%
State of Nevada, 5.000%, 12/1/2017	550,000	555,616
New Jersey — 5.2%
City of Margate City, 5.000%, 2/1/2018	200,000	203,386
City of Union City, SAW, 4.000%, 11/1/2019 (8)	1,000,000	1,052,650
New Jersey Economic Development Authority:
1.080%, 11/1/2040, Call 9/1/2017 (12)	5,770,000	5,770,000
1.080%, 11/1/2040, Call 9/1/2017 (12)	4,700,000	4,700,000
1.090%, 11/1/2031, Call 9/1/2017 (12)	5,395,000	5,395,000

New Jersey Health Care Facilities Financing Authority:
1.080%, 7/1/2038, Call 9/1/2017 (12)	3,400,000	3,400,000
1.140%, 7/1/2028, Call 9/6/2017 (12)	300,000	300,000
1.170%, 7/1/2018, Call 9/1/2017 (12)	100,000	100,000
New Jersey Transportation Trust Fund Authority:
1.790% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (7)	5,000,000	4,940,650
5.000%, 12/15/2017	1,200,000	1,213,368
5.000%, 6/15/2019	1,500,000	1,576,425
New Jersey Transportation Trust Fund Authority, AGM, 5.500%, 12/15/2018	250,000	263,327
New Jersey Transportation Trust Fund Authority, FSA, 5.500%, 12/15/2017	135,000	136,688
New Jersey Turnpike Authority, 1.470% (SIFMA Municipal Swap Index Yield+68 basis points), 1/1/2018, Call 10/2/2017 (7)	200,000	200,054
Newark Housing Authority, 4.000%, 12/1/2017	100,000	100,762
Tender Option Bond Trust Receipts/Certificates, 0.850%, 1/1/2043, Call 7/1/2022 (6) (12)	5,000,000	5,000,000
		34,352,310
New Mexico — 1.2%
County of Bernalillo, 1.400%, 3/1/2019 (12)	2,775,000	2,789,486
New Mexico Municipal Energy Acquisition Authority, 1.575% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (7)	5,500,000	5,500,825
		8,290,311
New York — 8.6%
Albany Capital Resource Corp., 3.000%, 12/1/2017	115,000	115,578
Albany Industrial Development Agency, 1.040%, 7/1/2032, Call 9/7/2017 (12)	1,240,000	1,240,000
Chautauqua County Capital Resource Corp., 1.300%, 11/1/2018 (12)	775,000	779,526
City of New York, 0.860%, 8/1/2044, Call 9/1/2017 (12)	1,250,000	1,250,000
City of New York, AGC, 0.820%, 10/1/2021, Call 9/5/2017 (12) (13)	100,000	100,000
City of New York, AGM, 0.920%, 11/1/2026 (12)	2,750,000	2,750,000
Long Island Power Authority, 1.512% (LIBOR 1 Month+65 basis points), 11/1/2018, Call 5/1/2018 (7)	1,600,000	1,603,584
Metropolitan Transportation Authority, 1.525% (LIBOR 1 Month+70 basis points), 2/1/2020 (7)	3,500,000	3,521,630
Metropolitan Transportation Authority, AGM, 1.450% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 11/15/2017 (7)	4,650,000	4,653,023
New York City Transitional Finance Authority:
0.850%, 8/1/2031 (12)	1,045,000	1,045,000
0.860%, 8/1/2031 (12)	2,175,000	2,175,000
0.920%, 8/1/2022, Call 9/1/2017 (12)	4,320,000	4,320,000
0.920%, 8/1/2023, Call 9/1/2017 (12)	6,550,000	6,550,000
New York City Water & Sewer System:
0.830%, 6/15/2039, Call 9/1/2017 (12)	1,700,000	1,700,000
0.840%, 6/15/2039, Call 9/1/2017 (12)	550,000	550,000
0.920%, 6/15/2032, Call 9/15/2017 (12)	2,400,000	2,400,000
New York State Dormitory Authority, 4.000%, 12/1/2018 (6)	1,000,000	1,027,250
New York State Energy Research & Development Authority, NATL-RE, 1.365%, 12/1/2020, Call 9/6/2017 (12) (13)	7,350,000	7,101,791
New York State Housing Finance Agency, 0.860%, 5/1/2042, Call 9/1/2017 (12)	1,200,000	1,200,000
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.030%, 5/1/2047, Call 9/1/2017 (6) (12)	3,000,000	3,000,000
State of New York, NATL-RE FGIC:
1.757%, 2/15/2022, Call 9/7/2017 (12) (13)	1,480,000	1,439,679
1.757%, 2/13/2032, Call 9/7/2017 (12) (13)	1,345,000	1,260,576
Town of Oyster Bay:
3.500%, 2/2/2018	1,380,000	1,390,736
3.500%, 6/1/2018	500,000	505,925
Triborough Bridge & Tunnel Authority:
0.860%, 11/1/2032, Call 9/1/2017 (12)	150,000	150,000
1.525% (LIBOR 1 Month+70 basis points), 2/1/2021 (7)	5,000,000	5,050,600
Upper Mohawk Valley Regional Water Finance Authority, 4.000%, 4/1/2018	65,000	66,145
		56,946,043
North Carolina — 0.3%
North Carolina Medical Care Commission, 1.110%, 6/1/2029, Call 6/1/2020 (6) (12)	1,000,000	1,000,000
University of North Carolina at Chapel Hill, 1.575% (LIBOR 1 Month+75 basis points), 12/1/2017, Call 9/21/2017 (7)	925,000	925,194
		1,925,194

North Dakota — 0.5%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2018	565,000	572,910
4.000%, 5/1/2019	590,000	607,907
City of Grand Forks, 5.000%, 12/15/2017	850,000	859,800
City of Williston, AGM, 2.650%, 11/1/2020, Call 10/2/2017	1,100,000	1,100,451
		3,141,068
Ohio — 5.9%
City of Chillicothe, 2.000%, 9/8/2017	570,000	570,091
City of Cuyahoga Falls, 1.750%, 8/8/2018	3,220,000	3,238,161
City of Middletown, 0.800%, 11/15/2039, Call 9/1/2017 (12)	900,000	900,000
County of Allen, 0.800%, 5/1/2036, Call 9/1/2017 (12)	6,000,000	6,000,000
County of Crawford, 1.430%, 11/1/2017, Call 10/2/2017	5,000,000	5,001,850
County of Hamilton, 4.000%, 1/1/2018	250,000	252,043
County of Lorain, 2.000%, 3/29/2018	1,650,000	1,658,629
Lancaster Port Authority, 1.545% (LIBOR 1 Month+72 basis points), 8/1/2019, Call 2/1/2019 (7)	5,000,000	5,003,050
Rib Floater Trust Various States, 0.970%, 1/15/2046, Call 10/2/2017 (6) (12)	4,000,000	4,000,000
State of Ohio:
0.870%, 1/15/2045, Call 9/1/2017 (12)	5,500,000	5,500,000
0.950%, 1/15/2045, Call 9/1/2017 (12)	5,000,000	5,000,000
1.050%, 9/1/2017 (12)	2,000,000	2,000,000
		39,123,824
Oklahoma — 0.2%
Oklahoma Municipal Power Authority, 1.590% (SIFMA Municipal Swap Index Yield+80 basis points), 8/1/2018, Call 2/1/2018 (7)	130,000	130,096
Tulsa County Independent School District No. 4 Bixby, 2.000%, 7/1/2019	1,000,000	1,019,980
		1,150,076
Oregon — 0.6%
County of Gilliam, 1.500%, 10/1/2018	1,000,000	1,005,730
Port of Morrow, 0.980%, 2/1/2027, Call 9/1/2017 (12)	3,210,000	3,210,000
		4,215,730
Pennsylvania — 4.6%
Bethlehem Area School District, SAW, 1.297% (LIBOR 1 Month+43 basis points), 1/1/2018, Call 9/21/2017 (7)	3,070,000	3,070,276
Bethlehem Area Vocational Technical School Authority, MAC SAW, 1.500%, 9/15/2017	185,000	185,028
City of Philadelphia, 4.000%, 8/1/2018	2,000,000	2,053,960
Indiana County Industrial Development Authority, 1.550%, 4/1/2019, Call 10/1/2018	1,850,000	1,855,476
North Penn Water Authority, 1.325% (LIBOR 1 Month+50 basis points), 11/1/2019, Call 5/1/2019 (7)	2,000,000	2,003,020
Old Forge School District, BAM SAW:
1.180%, 5/1/2018	200,000	199,878
2.000%, 5/1/2019	500,000	504,225
Pennsylvania Higher Educational Facilities Authority:
0.875%, 2/1/2018, Call 10/2/2017	2,100,000	2,100,084
1.200%, 11/1/2017 (12)	2,200,000	2,199,450
Pennsylvania Turnpike Commission:
1.240% (SIFMA Municipal Swap Index Yield+45 basis points), 12/1/2017, Call 10/2/2017 (7)	560,000	560,129
1.390% (SIFMA Municipal Swap Index Yield+60 basis points), 12/1/2017, Call 10/2/2017 (7)	100,000	100,034
1.470% (SIFMA Municipal Swap Index Yield+68 basis points), 12/1/2018, Call 6/1/2018 (7)	6,000,000	6,012,840
1.670% (SIFMA Municipal Swap Index Yield+88 basis points), 12/1/2020, Call 6/1/2020 (7)	1,800,000	1,816,740
1.940% (SIFMA Municipal Swap Index Yield+115 basis points), 12/1/2019, Call 6/1/2019 (7)	2,225,000	2,248,118
Philadelphia Authority for Industrial Development, 4.000%, 10/1/2017	1,250,000	1,252,688
Scranton School District, SAW, 1.837% (LIBOR 1 Month+100 basis points), 4/2/2018, Call 10/2/2017 (7)	2,980,000	2,979,970
Tunkhannock Area School District, BAM SAW, 2.000%, 1/15/2018	125,000	125,481
University Area Joint Authority, 1.190% (SIFMA Municipal Swap Index Yield+40 basis points), 11/1/2017, Call 9/21/2017 (7)	1,070,000	1,069,315
		30,336,712
Rhode Island — 0.1%
Rhode Island Health & Educational Building Corp., 5.000%, 5/15/2018	1,000,000	1,023,340
South Carolina — 0.8%
South Carolina Educational Facilities Authority, 0.830%, 10/1/2039, Call 9/1/2017 (12)	1,050,000	1,050,000
South Carolina Jobs-Economic Development Authority, 2.250%, 5/1/2019, Call 11/1/2018 (6)	3,000,000	3,004,710
Town of Hilton Head Island, SAW, 4.000%, 10/5/2017	1,000,000	1,002,930
		5,057,640

Tennessee — 2.2%
Clarksville Public Building Authority, 0.900%, 2/1/2038, Call 9/1/2017 (12)	3,145,000	3,145,000
County of Monroe, 1.200%, 6/15/2019, Call 12/15/2018	1,250,000	1,251,387
Knox County Health Educational & Housing Facility Board, 1.150%, 8/1/2018	1,000,000	1,001,480
Metropolitan Government Nashville & Davidson County Industrial Development Board, 0.820%, 7/15/2036, Call 9/15/2017 (12)	500,000	500,000
Montgomery County Public Building Authority, 0.900%, 4/1/2032, Call 9/1/2017 (12)	3,850,000	3,850,000
Tender Option Bond Trust Receipts/Certificates, 0.940%, 7/1/2046, Call 7/1/2026 (6) (12)	5,000,000	5,000,000
Tennessee Housing Development Agency, 4.500%, 7/1/2028, Call 1/1/2020	100,000	104,200
		14,852,067
Texas — 8.8%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 9/21/2017 (12)	5,590,000	5,589,609
Austin Convention Enterprises, Inc., 5.000%, 1/1/2019	400,000	419,076
City of Houston, 4.000%, 9/1/2017	200,000	200,000
City of Lewisville, AGM:
2.000%, 9/1/2017	335,000	335,000
4.000%, 9/1/2018	340,000	350,084
Clear Brook City Municipal Utility District, BAM, 2.000%, 2/1/2018	220,000	220,757
Crane County Water District, 4.000%, 2/15/2019	1,000,000	1,041,950
Denton County Fresh Water Supply District No. 7, AGM:
2.000%, 2/15/2018	465,000	466,939
2.000%, 2/15/2019	240,000	243,391
Fort Bend County Municipal Utility District No. 138, BAM, 2.000%, 9/1/2017	200,000	200,000
Fort Bend County Municipal Utility District No. 151, MAC, 2.000%, 9/1/2017	180,000	180,000
Fort Bend County Municipal Utility District No. 50, MAC, 2.000%, 9/1/2017	340,000	340,000
Goose Creek Consolidated Independent School District, PSF:
1.180%, 8/15/2019 (12)	1,800,000	1,800,000
1.350%, 8/15/2018 (12)	700,000	703,339
Harris County Cultural Education Facilities Finance Corp., 0.880%, 12/1/2024, Call 9/1/2017 (12)	8,000,000	8,000,000
Harris County Health Facilities Development Corp., 0.880%, 12/1/2041, Call 9/1/2017 (12)	2,105,000	2,105,000
Harris County Municipal Utility District No. 371, BAM:
2.000%, 9/1/2018	290,000	292,352
2.000%, 9/1/2019	295,000	298,747
Harris County Municipal Utility District No. 468, AGM, 2.000%, 9/1/2017	100,000	100,000
Houston Independent School District, 5.000%, 9/15/2017	2,025,000	2,027,167
Houston Independent School District, PSF, 3.000%, 6/1/2018 (12)	2,640,000	2,681,923
Katy Independent School District, PSF, 5.000%, 2/15/2018	1,000,000	1,018,650
Mission Economic Development Corp., 1.050%, 10/2/2017 (12)	3,000,000	3,000,180
New Hope Cultural Education Facilities Finance Corp., 1.000%, 2/1/2018, Call 9/21/2017	2,000,000	1,999,900
North Texas Tollway Authority:
6.000%, 1/1/2020, Call 1/1/2018	220,000	223,626
6.000%, 1/1/2020, Call 1/1/2018	30,000	30,491
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 2/1/2018 (12)	1,900,000	1,907,562
Spring Branch Independent School District, PSF, 3.000%, 6/18/2019 (12)	4,000,000	4,138,120
Spring Creek Utility District of Montgomery County, BAM, 2.000%, 10/1/2017	375,000	375,233
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 9/21/2017	2,525,000	2,527,474
4.000%, 9/1/2017	550,000	550,000
5.000%, 10/1/2017	1,025,000	1,028,013
5.250%, 8/15/2028, Call 8/15/2018	230,000	239,425
Tender Option Bond Trust Receipts/Certificates, 0.990%, 7/1/2021 (6) (12)	11,950,000	11,950,000
Texas Municipal Gas Acquisition & Supply Corp. II:
1.260% (SIFMA Municipal Swap Index Yield+47 basis points), 9/15/2017 (7)	50,000	50,002
1.535% (LIBOR 3 Month+70 basis points), 9/15/2017 (7)	840,000	840,034
Trail of the Lakes Municipal Utility District, BAM, 5.000%, 4/1/2019	120,000	127,766
Travis County Water Control & Improvement District No. 17, BAM, 0.000%, 11/1/2017	250,000	249,550
		57,851,360
Utah — 0.4%
Tender Option Bond Trust Receipts/Certificates, 0.990%, 1/1/2025 (6) (12)	2,500,000	2,500,000
Virginia — 0.9%
Newport News Redevelopment & Housing Authority, FHA GNMA, 1.200%, 4/1/2019	3,500,000	3,501,365
Peninsula Ports Authority, 1.550%, 10/1/2019 (12)	1,000,000	995,340
Virginia Small Business Financing Authority, 5.000%, 11/1/2017	1,215,000	1,222,946
		5,719,651

Washington — 2.9%
County of Skagit, 2.000%, 12/1/2018	485,000	492,202
Pierce County School District No 10 Tacoma, 5.000%, 12/1/2017	2,280,000	2,302,846
Tender Option Bond Trust Receipts/Certificates:
0.940%, 6/15/2033, Call 6/1/2019 (6) (12)	5,050,000	5,050,000
0.960%, 1/1/2035 (6) (12)	5,000,000	5,000,000
Washington Biomed Research Properties 3.2, 5.000%, 1/1/2019	500,000	527,570
Washington Health Care Facilities Authority, 2.500%, 12/1/2017 (6)	100,000	100,015
Washington Higher Education Facilities Authority, 0.800%, 10/1/2029, Call 9/1/2017 (12)	600,000	600,000
Washington State Housing Finance Commission, 0.810%, 9/1/2049, Call 9/1/2017 (12)	5,000,000	5,000,000
		19,072,633
West Virginia — 0.0%
Berkeley County Building Commission, 3.000%, 9/1/2017	50,000	50,000
Wisconsin — 2.4%
City of South Milwaukee, 4.000%, 9/1/2017	100,000	100,000
County of Langlade:
2.000%, 10/1/2017	365,000	365,186
2.000%, 10/1/2018	100,000	100,549
Hilbert School District, 2.100%, 4/1/2019, Call 4/1/2018	1,580,000	1,588,137
Public Finance Authority:
3.000%, 11/15/2022, Call 11/15/2018 (6)	1,500,000	1,506,615
5.000%, 11/15/2018 (8)	565,000	590,250
5.000%, 11/15/2019 (8)	440,000	474,659
Tender Option Bond Trust Receipts/Certificates, 0.840%, 7/1/2047, Call 7/1/2027 (6) (12)	2,300,000	2,300,000
Town of Freedom, 2.000%, 10/1/2018, Call 10/2/2017	1,170,000	1,170,749
Town of Salem, 1.375%, 11/1/2018, Call 11/1/2017	1,690,000	1,690,726
Wisconsin Center District, 3.000%, 12/15/2017	635,000	638,823
Wisconsin Health & Educational Facilities Authority:
5.000%, 2/15/2019 (8)	455,000	480,366
5.000%, 8/15/2021, Call 8/15/2018	150,000	155,811
Wisconsin Housing & Economic Development Authority, 0.800%, 5/1/2055, Call 9/1/2017 (12)	5,000,000	5,000,000
		16,161,871
Wyoming — 0.7%
County of Converse, 0.880%, 12/1/2020, Call 9/1/2017 (12)	5,000,000	5,000,000
Total Municipals   (identified cost $633,869,349)		634,462,688
Short-Term Investments — 7.2%
Mutual Funds — 0.0%
BMO Government Money Market Fund - Premier Class, 0.870% (4)	80,322	80,322
Short-Term Municipals — 7.2%
California — 0.2%
California Municipal Finance Authority, 5.000%, 2/1/2018	$      500,000	507,605
Fresno Joint Powers Financing Authority, 5.000%, 4/1/2018	600,000	613,728
		1,121,333
Colorado — 0.1%
Colorado Health Facilities Authority, 5.000%, 6/1/2018 (8)	500,000	512,740
Connecticut — 1.2%
City of Hartford, 2.500%, 10/31/2017	4,000,000	4,007,560
City of New Haven, 2.500%, 5/15/2018	2,900,000	2,924,070
Town of Manchester, 2.000%, 2/21/2018	1,000,000	1,004,460
		7,936,090
Florida — 0.6%
Jacksonville Pollution Control, 0.870%, 9/18/2017	4,000,000	4,000,000
Georgia — 0.2%
Georgia State Road & Tollway Authority, 5.000%, 6/1/2018	1,000,000	1,030,900

Illinois — 0.0%
Chicago Transit Authority, 2.000%, 6/1/2018	175,000		176,048
Minnesota — 0.1%
City of Maple Grove, 3.000%, 5/1/2018	650,000		657,833
New Jersey — 0.3%
Hudson County Improvement Authority, County Guarantee, 2.250%, 4/5/2018	2,000,000		2,015,140
New York — 0.6%
Owego Apalachin Central School District, SAW, 1.300%, 2/22/2018, Call 11/15/2017	4,000,000		4,000,760
Ohio — 1.9%
City of Lakewood, 2.000%, 4/2/2018	2,500,000		2,514,000
City of Springfield, 2.000%, 3/30/2018	700,000		704,116
City of Tipp City, 1.750%, 2/14/2018	4,000,000		4,008,960
County of Union, 1.200%, 3/28/2018, Call 10/2/2017	1,500,000		1,501,320
Dublin City School District, 2.000%, 4/26/2018	1,500,000		1,509,360
Township of Union, 2.000%, 9/6/2018 (8)	2,350,000		2,371,620
			12,609,376
Texas — 2.0%
Austin Convention Enterprises, Inc., 5.000%, 1/1/2018	200,000		202,398
State of Texas, 4.000%, 8/30/2018 (8)	10,000,000		10,305,000
Texas Municipal Power, 0.850%, 9/13/2017	3,000,000		3,000,060
			13,507,458
Total Short-Term Municipals			47,567,678
Total Short-Term Investments   (identified cost $47,633,316)			47,648,000
Total Investments — 103.3%   (identified cost $681,502,665)			682,110,688
Other Assets and Liabilities — (3.3)%			(21,723,398)
Total Net Assets — 100.0%		$	660,387,290

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

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At August 31, 2017, these securities amounted to:

Fund	Amount		% of Total Net Assets
Ultra Short Tax-Free Fund	$	106,814,893	16.17%

(7) Floating Rate Security

(8) Purchased on a when-issued or delayed delivery basis.

(12) Variable Rate Security

(13) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

Short Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of August 31, 2017

Description	Shares or Principal Amount	Value
Municipals — 94.4%
Alabama — 2.8%
Alabama Federal Aid Highway Finance Authority, 5.000%, 9/1/2018	$  1,000,000	$  1,034,430
Black Belt Energy Gas District, 4.000%, 6/1/2021, Call 3/1/2021 (12)	1,000,000	1,085,910
County of Jefferson, 5.000%, 9/15/2021	1,000,000	1,139,990
County of Jefferson, AGM, 2.463% (LIBOR 1 Month+0 basis points), 2/1/2042, Call 10/5/2017 (7)	259,832	225,624
Mobile Industrial Development Board:
0.910%, 6/1/2034, Call 9/1/2017 (12)	250,000	250,000
1.000%, 6/1/2034, Call 9/1/2017 (12)	1,000,000	1,000,000
Tuscaloosa City Board of Education:
5.000%, 8/1/2020	200,000	221,616
5.000%, 8/1/2021	175,000	199,559
		5,157,129
Alaska — 0.4%
Alaska Housing Finance Corp., NATL-RE, 5.250%, 12/1/2021, Call 12/1/2017	100,000	101,056
City of Valdez, 5.000%, 1/1/2021	500,000	559,555
		660,611
Arizona — 2.3%
Arizona Health Facilities Authority:
2.640% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (7)	250,000	253,808
2.640% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (7)	250,000	253,808
City of El Mirage, 5.000%, 7/1/2022, Call 7/1/2020	465,000	511,788
Coconino County Pollution Control Corp., 1.600%, 5/21/2020 (12)	750,000	754,762
Greater Arizona Development Authority, 5.000%, 8/1/2024, Call 8/1/2018	25,000	25,938
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (6)	85,000	85,524
La Paz County Industrial Development Authority, 5.000%, 2/15/2021 (6)	750,000	818,707
Maricopa County Industrial Development Authority:
2.550%, 7/1/2021	430,000	432,176
2.875%, 7/1/2021 (6)	260,000	261,165
Phoenix Civic Improvement Corp., 5.500%, 7/1/2019 (15)	100,000	108,338
Pinal County School District No. 1 Florence, BAM, 4.000%, 7/1/2020	250,000	269,853
State of Arizona, AGM, 5.000%, 7/1/2018	500,000	516,695
		4,292,562
Arkansas — 0.7%
Arkansas Development Finance Authority, 1.200%, 9/1/2044, Call 9/1/2017 (12)	750,000	750,000
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023	140,000	140,181
City of Hot Springs, 5.000%, 12/1/2020	245,000	272,477
City of Rogers, 2.125%, 11/1/2029, Call 11/1/2021	150,000	150,214
		1,312,872
California — 10.1%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	500,000	553,540
Bay Area Toll Authority, 1.890% (SIFMA Municipal Swap Index Yield+110 basis points), 4/1/2024, Call 10/1/2023 (7)	500,000	509,865
BB&T Municipal Trust, 1.590% (SIFMA Municipal Swap Index Yield+80 basis points), 11/15/2019 (6) (7)	500,000	501,275
California Health Facilities Financing Authority, NATL-RE:
1.230%, 7/15/2018, Call 9/7/2017 (12) (13)	100,000	98,492
1.383%, 7/1/2022, Call 9/1/2017 (12) (13)	500,000	485,385
California Housing Finance Agency, AGM GO, 3.004%, 2/1/2037, Call 9/7/2017 (12) (13)	10,000	9,698
California Municipal Finance Authority:
1.200%, 2/1/2018 (12)	1,000,000	1,000,520
5.000%, 2/1/2022	1,000,000	1,144,430
California Pollution Control Financing Authority, 0.950%, 11/1/2017 (6) (12)	1,000,000	1,000,040

California Public Finance Authority:
5.000%, 10/15/2021	350,000	389,743
5.000%, 10/15/2022	300,000	339,594
California School Finance Authority, 4.000%, 8/1/2018 (6)	300,000	307,518
California State Public Works Board:
5.000%, 4/1/2020	320,000	352,646
5.000%, 11/1/2020, Call 11/1/2019	35,000	37,802
5.125%, 10/1/2022, Call 10/1/2019	245,000	266,651
California Statewide Communities Development Authority:
3.500%, 11/1/2018	100,000	100,634
5.000%, 12/1/2025 (6)	200,000	234,080
California Statewide Communities Development Authority, AGM, 3.000%, 10/1/2017	200,000	200,226
California Statewide Communities Development Authority, CMI:
2.500%, 8/1/2020, Call 9/1/2017	220,000	220,000
3.500%, 11/1/2021, Call 11/1/2019	750,000	782,790
California Statewide Communities Development Authority, NATL-RE, 3.208%, 4/1/2028 (12) (13)	75,000	69,570
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020	675,000	752,935
Chino Redevelopment Agency, AMBAC, 4.000%, 9/1/2019, Call 10/2/2017	250,000	250,480
City of Redding, NATL-RE, 1.400%, 7/1/2022 (12) (13)	150,000	143,291
County of San Joaquin, 4.000%, 4/1/2019	225,000	235,267
Florin Resource Conservation District, NATL-RE, 4.000%, 9/1/2018	500,000	515,585
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2022	875,000	1,014,790
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2022	1,000,000	1,161,400
Northern California Gas Authority No. 1, 1.500% (LIBOR 3 Month+63 basis points), 7/1/2019 (7)	1,040,000	1,039,303
Palomar Health, 5.000%, 11/1/2022	375,000	424,118
Sacramento Redevelopment Agency Successor Agency, BAM, 5.000%, 12/1/2022	385,000	454,308
State of California:
1.562% (LIBOR 1 Month+70 basis points), 12/1/2017, Call 10/2/2017 (7)	250,000	250,085
1.690% (SIFMA Municipal Swap Index Yield+90 basis points), 5/1/2018, Call 11/1/2017 (7)	180,000	180,171
1.692% (LIBOR 1 Month+83 basis points), 12/3/2018, Call 6/1/2018 (7)	610,000	612,647
State of California, FSA, 1.000%, 8/1/2027 (6) (12)	500,000	500,000
Tender Option Bond Trust, 0.940%, 8/1/2022 (6) (12)	2,000,000	2,000,000
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 11/1/2017 (12)	220,000	220,042
		18,358,921
Colorado — 5.0%
Auraria Higher Education Center:
6.000%, 5/1/2018	169,000	174,538
6.000%, 5/1/2019	178,000	192,213
City of Burlington, 3.000%, 11/1/2019	100,000	103,251
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (6)	590,000	591,811
3.000%, 10/1/2017	380,000	380,608
3.000%, 11/15/2017	200,000	200,972
5.000%, 10/1/2021	1,000,000	1,129,210
Colorado Health Facilities Authority:
1.450%, 7/1/2034, Call 7/1/2019 (6) (12)	1,000,000	1,000,000
4.000%, 12/1/2018	250,000	257,870
4.500%, 2/1/2019	250,000	258,988
5.000%, 5/15/2021	325,000	356,843
5.000%, 6/1/2021 (8)	250,000	279,605
5.000%, 5/15/2022	250,000	277,965
5.000%, 6/1/2022 (8)	250,000	285,245
County of Montrose:
4.000%, 12/1/2018	175,000	180,357
4.000%, 12/1/2019	200,000	210,046
E-470 Public Highway Authority, 1.880% (LIBOR 1 Month+105 basis points), 9/1/2021, Call 3/1/2021 (7)	575,000	584,781
El Paso County School District No. 20 Academy, SAW, 5.000%, 12/15/2022	1,000,000	1,191,960
Regional Transportation District, 5.000%, 6/1/2025, Call 6/1/2020	500,000	554,270
University of Colorado Hospital Authority, 5.000%, 3/1/2022, Call 9/1/2021 (12)	750,000	854,947
Wheatlands Metropolitan District, BAM, 4.000%, 12/1/2020	125,000	135,039
		9,200,519

Connecticut — 0.7%
Connecticut State Health & Educational Facility Authority, 2.875%, 9/1/2020, Call 10/2/2017 (6)	250,000	250,052
State of Connecticut:
1.670% (SIFMA Municipal Swap Index Yield+88 basis points), 8/15/2018 (7)	250,000	250,890
1.710% (SIFMA Municipal Swap Index Yield+92 basis points), 5/15/2018 (7)	150,000	150,710
1.710% (SIFMA Municipal Swap Index Yield+92 basis points), 9/15/2019 (7)	115,000	115,619
5.000%, 3/15/2021	500,000	556,585
		1,323,856
Delaware — 0.1%
Delaware State Housing Authority, 4.800%, 1/1/2023, Call 7/1/2018	105,000	106,335
Florida — 5.8%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020	500,000	546,595
5.000%, 4/1/2021	400,000	450,260
City of Orlando, AGM:
4.000%, 11/1/2021	460,000	507,688
5.000%, 11/1/2022	350,000	408,814
City of Port St. Lucie, 5.000%, 7/1/2020	295,000	326,589
City of Tampa, 5.000%, 11/15/2020, Call 5/15/2020	25,000	27,480
Columbia County School Board:
5.000%, 7/1/2019	920,000	983,922
5.000%, 7/1/2021	400,000	448,920
County of Broward, 5.000%, 10/1/2020	100,000	111,674
County of Okeechobee, 1.550%, 7/1/2021 (12)	800,000	800,248
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2021	300,000	335,838
Florida Housing Finance Corp., GNMA/FNMA/FHLMC, 4.600%, 1/1/2029, Call 1/1/2020	65,000	67,252
Florida Municipal Power Agency, AMBAC, 1.365%, 10/1/2027, Call 9/6/2017 (12) (13)	575,000	529,439
Florida Municipal Power Agency, NATL-RE FGIC, 2.104%, 10/1/2027 (12) (13)	25,000	22,995
Halifax Hospital Medical Center:
5.000%, 6/1/2020	325,000	356,200
5.000%, 6/1/2021	300,000	337,887
Miami-Dade County Educational Facilities Authority, AMBAC, 5.250%, 4/1/2020	40,000	44,323
Miami-Dade County School Board Foundation, Inc.:
5.000%, 5/1/2018	300,000	308,025
5.000%, 5/1/2019	225,000	239,674
Miami-Dade County School Board Foundation, Inc., AMBAC, 5.000%, 8/1/2023, Call 8/1/2018	100,000	103,493
Orlando Community Redevelopment Agency, 4.000%, 9/1/2017	55,000	55,000
Pinellas County Educational Facilities Authority, 5.000%, 10/1/2017	300,000	300,780
Pinellas County Health Facilities Authority, NATL-RE, 1.803%, 11/15/2023, Call 9/1/2017 (12) (13)	175,000	166,941
Sarasota County Health Facilities Authority, 5.000%, 1/1/2022	500,000	558,685
School Board of Miami-Dade County, 1.020%, 9/7/2017 (6) (12)	650,000	650,000
School District of Broward County, 5.000%, 7/1/2019	1,000,000	1,073,250
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2019 (6)	250,000	262,170
Sumter County Industrial Development Authority:
5.000%, 7/1/2020	235,000	256,799
5.000%, 7/1/2020	300,000	327,828
Tampa Bay Water:
5.000%, 10/1/2017	15,000	15,044
5.000%, 10/1/2017	25,000	25,072
		10,648,885
Georgia — 3.6%
Atlanta Development Authority, 4.000%, 9/1/2020	500,000	544,175
City of Atlanta:
2.329% (LIBOR 1 Month+150 basis points), 11/1/2018, Call 5/1/2018 (7)	250,000	251,595
5.000%, 1/1/2021	250,000	279,088
5.000%, 1/1/2022	700,000	801,136
6.000%, 11/1/2029, Call 11/1/2019	290,000	321,392
County of DeKalb, 5.000%, 10/1/2020	150,000	167,753
DeKalb Private Hospital Authority, 5.000%, 11/15/2021, Call 11/15/2019	420,000	457,187
Gainesville & Hall County Hospital Authority:
1.740% (SIFMA Municipal Swap Index Yield+95 basis points), 2/18/2020, Call 8/22/2019 (7)	350,000	348,988
5.000%, 2/15/2021	700,000	784,378
Georgia State Road & Tollway Authority, 5.000%, 6/1/2021	1,250,000	1,424,487
Main Street Natural Gas, Inc.:
5.000%, 3/15/2019	1,000,000	1,053,660
5.250%, 9/15/2018	100,000	103,988
		6,537,827

Guam — 0.3%
Territory of Guam, 5.000%, 12/1/2022	500,000	574,580
Idaho — 0.1%
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	150,000	159,555
Idaho Housing & Finance Association, 5.000%, 7/15/2022, Call 7/15/2019	75,000	80,092
		239,647
Illinois — 13.1%
Bureau & Putnam Counties High School District No. 500 Princeton Township, BAM, 2.000%, 12/1/2018	400,000	404,504
Chicago Board of Education, 9.000%, 3/1/2032, Call 9/1/2018	955,000	959,613
Chicago O’Hare International Airport:
5.000%, 1/1/2019	200,000	210,648
5.000%, 1/1/2021, Call 1/1/2018	100,000	101,346
5.000%, 1/1/2022	100,000	115,628
5.000%, 1/1/2022	200,000	231,256
Chicago Park District:
5.000%, 1/1/2022	250,000	282,985
5.000%, 1/1/2022	500,000	565,970
Chicago Transit Authority:
5.000%, 6/1/2021	750,000	841,230
5.500%, 6/1/2019, Call 12/1/2018	105,000	111,017
City of Chicago:
5.000%, 1/1/2018	50,000	50,402
5.000%, 1/1/2021	840,000	929,082
5.000%, 11/1/2021	1,000,000	1,127,900
5.000%, 1/1/2022	500,000	565,080
City of Chicago, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018	175,000	176,860
City of Peoria, 3.000%, 1/1/2019	300,000	306,885
City of Waukegan, 5.000%, 12/30/2020	250,000	275,892
Clyde Park District, AGM, 4.250%, 2/1/2019	340,000	347,303
Cook County School District No. 100 South Berwyn, BAM, 2.000%, 12/1/2017	65,000	65,152
Cook County Township High School District No. 201 J Sterling Morton, AMBAC:
0.000%, 12/1/2018	170,000	165,808
0.000%, 12/1/2019	100,000	95,309
Cook County Township High School District No. 220 Reavis, 4.000%, 12/1/2017	100,000	100,716
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019	1,000,000	1,085,660
County of Cook:
5.000%, 11/15/2020, Call 11/15/2019	250,000	266,385
5.000%, 11/15/2021	720,000	805,795
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2018	350,000	347,921
Du Page & Will Counties Community School District No. 204 Indian Prairie, 2.000%, 12/30/2019, Call 12/30/2017	575,000	576,696
Illinois Finance Authority:
2.212% (LIBOR 1 Month+135 basis points), 5/1/2021, Call 11/1/2020 (7)	1,000,000	1,007,440
2.500%, 5/15/2018	150,000	150,664
4.000%, 10/1/2018	275,000	281,229
5.000%, 2/15/2018	40,000	40,698
5.000%, 1/1/2021	200,000	219,916
5.000%, 11/15/2021	400,000	455,788
5.000%, 1/1/2022	150,000	168,396
5.000%, 11/15/2022	555,000	646,231
5.000%, 11/15/2022	500,000	582,190
5.500%, 8/15/2018	100,000	104,100
Illinois Finance Authority, AGM:
0.000%, 1/1/2018	40,000	39,896
0.000%, 1/1/2018	55,000	54,731
Illinois Housing Development Authority, AGM, 4.400%, 9/1/2020, Call 10/2/2017	135,000	135,315
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023	1,000,000	1,169,360
Kendall, Kane, & Will Counties Community Unit School District No. 308, NATL-RE FGIC, 4.250%, 10/1/2020, Call 10/2/2017	50,000	50,095
Lake County Forest Preserve District, 1.314% (LIBOR 3 Month+48 basis points), 12/15/2020 (7)	300,000	301,089
Marion-Clinton Counties High School District No. 200-Centralia, BAM, 3.000%, 12/1/2019	185,000	190,211

McHenry & Lake Counties Community Consolidated School District No. 15, AGM, 0.000%, 1/1/2018	100,000	99,536
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	30,000	28,186
Quad Cities Regional Economic Development Authority, 4.000%, 10/1/2019	400,000	416,632
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2018	40,000	41,170
Rib Floater Trust Various States, 1.040%, 4/1/2036, Call 4/1/2027 (6) (12)	1,710,000	1,710,000
Rock Island County Public Building Commission, 3.700%, 12/1/2018	145,000	146,388
State of Illinois:
3.875%, 9/1/2017	100,000	100,000
5.000%, 1/1/2018	1,000,000	1,010,270
5.000%, 4/1/2020	100,000	106,208
5.000%, 2/1/2021	240,000	258,554
Town of Cicero, 5.000%, 1/1/2020	500,000	539,855
Village of Round Lake Beach:
2.000%, 1/1/2018	275,000	275,863
2.000%, 1/1/2018	205,000	205,644
Wayne County Public School District No. 112 Fairfield, 3.000%, 12/1/2017	80,000	80,385
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019	1,110,000	1,163,613
Will County Community High School District No. 210 Lincoln-Way, 4.000%, 1/1/2022, Call 1/1/2019	1,000,000	994,470
Will County School District No. 159 Mokena, 2.000%, 12/1/2018	110,000	111,375
		23,998,541
Indiana — 2.3%
Center Grove Community School Corp., 2.000%, 1/1/2018	505,000	506,071
City of Whiting, 1.850%, 10/1/2019 (12)	1,000,000	1,009,760
Hammond Local Public Improvement Bond Bank, 5.000%, 8/1/2018, Call 2/1/2018	150,000	152,508
Indiana Finance Authority:
4.000%, 10/1/2017	250,000	250,470
5.000%, 5/1/2020	100,000	110,250
5.000%, 8/15/2020	250,000	269,255
5.000%, 9/1/2022	525,000	605,047
5.250%, 10/1/2022, Call 10/1/2021	150,000	173,473
Indiana Housing & Community Development Authority, GNMA FNMA FHLMC COLL, 0.890%, 7/1/2039, Call 10/2/2017 (12)	700,000	700,000
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2020	100,000	109,855
Jasper Hospital Authority, 5.000%, 11/1/2020	250,000	274,245
		4,160,934
Iowa — 1.1%
Iowa Higher Education Loan Authority, 2.000%, 12/1/2018, Call 6/1/2018	1,000,000	1,005,620
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 6/1/2018	1,000,000	998,040
		2,003,660
Kansas — 0.4%
Bourbon County Unified School District No. 234 Fort Scott, 5.000%, 9/1/2020	420,000	465,238
Kansas Development Finance Authority, AMBAC, 0.000%, 7/1/2019	100,000	96,548
Kansas Development Finance Authority, BAM, 5.000%, 12/1/2019	200,000	214,028
		775,814
Kentucky — 1.1%
Kentucky Asset Liability Commission, 5.000%, 9/1/2023	500,000	595,415
Kentucky Asset Liability Commission, NATL-RE, 1.278% (LIBOR 3 Month+40 basis points), 11/1/2017 (7)	35,000	34,993
Kentucky Interlocal School Transportation Association, 2.000%, 3/1/2019	495,000	501,767
Kentucky State Property & Building Commission:
5.375%, 11/1/2023, Call 11/1/2018	20,000	21,029
5.375%, 11/1/2023, Call 11/1/2018	5,000	5,244
Lexington Center Corp., AGC, 4.100%, 10/1/2020, Call 10/2/2017	265,000	265,530
Louisville - Jefferson County Metropolitan Government, 5.000%, 10/1/2020	550,000	610,153
		2,034,131
Louisiana — 0.6%
Evangeline Parish Road & Drain Sales Tax District No. 1, AGM, 5.000%, 12/1/2020	400,000	445,128
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	20,000	20,001
Louisiana Local Government Environmental Facilities & Community Development Authority, 1.562% (LIBOR 1 Month+70 basis points), 8/1/2018, Call 2/1/2018 (7)	450,000	450,553
Louisiana Public Facilities Authority, AMBAC, 1.400%, 9/1/2027, Call 9/26/2017 (12) (13)	50,000	46,430
State of Louisiana, 5.000%, 11/15/2020, Call 5/15/2020	110,000	121,161
		1,083,273

Maine — 0.1%
City of Portland:
4.000%, 7/1/2019	130,000	136,073
4.000%, 7/1/2020	110,000	117,421
		253,494
Maryland — 0.5%
City of Baltimore:
1.637%, 7/1/2037, Call 9/6/2017 (12) (13)	25,000	20,911
5.000%, 9/1/2022	500,000	572,635
City of Baltimore, NATL-RE, 1.599%, 7/1/2020 (12) (13)	50,000	49,006
Howard County Housing Commission, 2.040% (SIFMA Municipal Swap Index Yield+125 basis points), 7/1/2018, Call 1/1/2018 (7)	245,000	245,071
Maryland Community Development Administration, GNMA/FNMA, 4.500%, 3/1/2027, Call 3/1/2021	25,000	26,597
		914,220
Massachusetts — 1.2%
Commonwealth of Massachusetts, 1.700%, 8/1/2022 (12)	1,000,000	1,007,050
Commonwealth of Massachusetts, NATL-RE FGIC, 1.635%, 12/1/2030, Call 9/7/2017 (12) (13)	100,000	92,299
Massachusetts Development Finance Agency:
4.000%, 4/15/2020	330,000	348,325
5.000%, 7/1/2021	280,000	315,241
5.000%, 7/1/2022	315,000	362,426
		2,125,341
Michigan — 2.1%
Avondale School District, Q-SBLF, 5.000%, 11/1/2018	300,000	314,319
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	200,000	207,696
City of Wyandotte, BAM:
5.000%, 10/1/2017	100,000	100,280
5.000%, 10/1/2018	200,000	207,876
5.000%, 10/1/2019	250,000	266,915
Dexter Community Schools, NATL-RE Q-SBLF, 5.100%, 5/1/2018	110,000	113,065
Grosse Ile Township School District, Q-SBLF, 5.000%, 5/1/2020	595,000	655,166
Lake St. Claire Clean Water Initiative, 5.000%, 10/1/2020	150,000	165,548
Lawrence Public Schools, Q-SBLF, 4.000%, 5/1/2018	255,000	259,962
Marquette Board of Light & Power, 5.000%, 7/1/2020	150,000	165,138
Michigan State Hospital Finance Authority, 5.000%, 11/15/2020, Call 11/15/2019	520,000	566,041
Muskegon Public Schools, Q-SBLF, 4.250%, 5/1/2021, Call 5/1/2019	200,000	209,278
Romulus Community Schools, AGM, 4.000%, 11/1/2017	100,000	100,431
State of Michigan, 5.500%, 11/1/2021, Call 5/1/2019	300,000	322,740
Taylor Tax Increment Finance Authority, AGM, 4.000%, 5/1/2021, Call 10/2/2017	270,000	270,553
		3,925,008
Minnesota — 0.7%
Minnesota Housing Finance Agency, 2.750%, 1/1/2018	110,000	110,616
St. Paul Housing & Redevelopment Authority:
5.000%, 11/15/2021	500,000	574,780
5.000%, 11/15/2022	500,000	587,355
St. Paul Housing & Redevelopment Authority, NATL-RE, 5.000%, 11/15/2021, Call 11/15/2017	50,000	50,401
		1,323,152
Mississippi — 0.2%
Mississippi Development Bank, 5.000%, 8/1/2019	155,000	166,808
State of Mississippi, 1.320% (SIFMA Municipal Swap Index Yield+53 basis points), 9/1/2017 (7)	275,000	275,000
		441,808
Missouri — 2.8%
Kansas City Planned Industrial Expansion Authority, 1.500%, 12/1/2018, Call 12/1/2017	1,000,000	1,001,310
Missouri Health & Educational Facilities Authority:
4.000%, 2/1/2018	255,000	257,889
5.000%, 2/1/2022	250,000	282,808
5.000%, 2/1/2024, Call 2/1/2021	250,000	272,310

Missouri Health & Educational Facilities Authority, AMBAC, 1.470%, 6/1/2020, Call 9/1/2017 (12) (13)	50,000	48,437
Missouri Housing Development Commission, GNMA FNMA, 4.700%, 3/1/2035, Call 9/1/2019	225,000	234,693
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 1.365%, 12/1/2022, Call 9/1/2017 (12) (13)	805,000	750,305
Southeast Missouri State University, 5.000%, 4/1/2019	1,000,000	1,060,830
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 3/1/2018	600,000	600,822
St. Louis Municipal Finance Corp., 5.000%, 2/15/2021	500,000	559,195
		5,068,599
Nebraska — 0.1%
Central Plains Energy Project, 1.305% (LIBOR 3 Month+50 basis points), 12/1/2017 (7)	160,000	159,886
Nevada — 0.1%
Clark County School District, NATL:
5.000%, 6/15/2021, Call 10/2/2017	65,000	67,112
5.000%, 6/15/2023, Call 10/2/2017	95,000	98,086
		165,198
New Hampshire — 0.1%
New Hampshire Health and Education Facilities Authority Act:
5.250%, 10/1/2023, Call 10/1/2017	190,000	190,599
5.250%, 10/1/2023, Call 10/2/2017	60,000	60,196
		250,795
New Jersey — 3.1%
City of Jersey City, AGM, 4.000%, 2/15/2019	620,000	646,096
New Jersey Economic Development Authority, 5.000%, 11/1/2021	400,000	442,696
New Jersey Educational Facilities Authority, 5.000%, 7/1/2020, Call 7/1/2018	20,000	20,691
New Jersey Health Care Facilities Financing Authority:
5.000%, 7/1/2022	790,000	920,073
5.125%, 7/1/2019, Call 7/1/2018	130,000	134,462
New Jersey Higher Education Student Assistance Authority:
4.875%, 12/1/2024, Call 12/1/2019	365,000	386,590
5.000%, 12/1/2017	370,000	373,430
5.000%, 6/1/2018	100,000	102,700
New Jersey State Turnpike Authority, NATL-RE:
1.365%, 1/1/2030, Call 9/5/2017 (12) (13)	25,000	22,607
1.365%, 1/1/2030, Call 9/7/2017 (12) (13)	500,000	452,128
1.367%, 1/1/2030, Call 9/1/2017 (12) (13)	25,000	22,607
1.523%, 1/1/2030, Call 9/5/2017 (12) (13)	25,000	22,607
1.523%, 1/1/2030, Call 9/7/2017 (12) (13)	100,000	90,426
New Jersey Transportation Trust Fund Authority:
1.790% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (7)	475,000	469,362
4.000%, 12/15/2019	75,000	78,386
5.000%, 6/15/2019	150,000	157,642
New Jersey Transportation Trust Fund Authority, AGM, 5.250%, 12/15/2019	250,000	270,535
New Jersey Transportation Trust Fund Authority, FSA, 5.500%, 12/15/2017	300,000	303,750
New Jersey Transportation Trust Fund Authority, NATL-RE:
5.500%, 12/15/2019	135,000	146,524
5.500%, 12/15/2020	10,000	11,171
South Jersey Port Corp.:
5.000%, 1/1/2018	250,000	252,632
5.000%, 1/1/2019	340,000	351,087
Township of Lopatcong, NATL-RE, 4.000%, 9/1/2018, Call 9/1/2017	30,000	30,000
		5,708,202
New Mexico — 1.6%
City of Farmington, 1.875%, 4/1/2020 (12)	1,000,000	1,016,260
County of Bernalillo, 5.750%, 10/1/2017	150,000	150,524
New Mexico Mortgage Finance Authority, 5.300%, 9/1/2040, Call 9/1/2019	25,000	26,268
New Mexico Municipal Energy Acquisition Authority, 1.575% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (7)	650,000	650,097
Town of Clayton, NATL, 4.000%, 11/1/2017	1,000,000	1,004,230
		2,847,379

New York — 9.2%
City of Buffalo, AGM SAW, 2.375%, 11/15/2017	100,000	100,304
City of New York, AGM, 0.920%, 11/1/2026 (12)	195,000	195,000
County of Nassau, 5.000%, 10/1/2018	1,000,000	1,044,190
Erie County Industrial Development Agency, SAW, 5.250%, 5/1/2025, Call 5/1/2019	400,000	428,888
Long Island Power Authority, 1.512% (LIBOR 1 Month+65 basis points), 11/1/2018, Call 5/1/2018 (7)	1,000,000	1,002,240
Metropolitan Transportation Authority, AGM, 1.450% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 11/15/2017 (7)	250,000	250,162
New York City Transitional Finance Authority:
0.850%, 11/1/2029, Call 9/1/2017 (12)	1,200,000	1,200,000
0.920%, 8/1/2022, Call 9/1/2017 (12)	1,250,000	1,250,000
New York Mortgage Agency, 5.000%, 10/1/2019	600,000	640,212
New York State Dormitory Authority:
5.000%, 7/1/2018	1,000,000	1,034,140
5.000%, 12/15/2019	495,000	540,827
5.000%, 12/1/2022 (6)	600,000	682,002
5.250%, 2/15/2024, Call 2/15/2019	380,000	404,077
5.250%, 2/15/2024, Call 2/15/2019	20,000	21,255
New York State Dormitory Authority, NATL-RE, 2.281%, 7/1/2029, Call 9/5/2017 (12) (13)	550,000	500,606
New York State Energy Research & Development Authority, 2.000%, 5/1/2020 (12)	350,000	356,181
New York State Energy Research & Development Authority, NATL-RE, 1.365%, 12/1/2020, Call 9/6/2017 (12) (13)	1,000,000	966,230
New York State Housing Finance Agency, FNMA/FHLMC COLL, 0.900%, 11/1/2017	705,000	705,275
New York State Thruway Authority, 5.000%, 5/1/2019	1,000,000	1,066,420
State of New York, AGM, 1.757%, 3/15/2021, Call 9/7/2017 (12) (13)	25,000	23,694
State of New York, NATL-RE FGIC:
1.757%, 2/15/2022, Call 9/7/2017 (12) (13)	455,000	442,604
1.757%, 2/13/2032, Call 9/7/2017 (12) (13)	70,000	65,606
Town of Oyster Bay, 3.500%, 6/1/2018	500,000	505,925
Triborough Bridge & Tunnel Authority, 1.525% (LIBOR 1 Month+70 basis points), 2/1/2021 (7)	1,000,000	1,010,120
TSASC, Inc., 5.000%, 6/1/2021	1,000,000	1,118,170
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020	1,155,000	1,260,013
		16,814,141
North Carolina — 0.6%
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	100,000	104,022
North Carolina Eastern Municipal Power Agency, FGIC, 1.551%, 1/1/2025 (12) (13)	600,000	494,571
University of North Carolina at Chapel Hill, 1.575% (LIBOR 1 Month+75 basis points), 12/1/2017, Call 9/21/2017 (7)	525,000	525,110
		1,123,703
North Dakota — 0.2%
City of Williston, 5.000%, 5/1/2020	240,000	260,258
North Dakota Housing Finance Agency, 3.750%, 7/1/2042, Call 7/1/2022	120,000	125,434
		385,692
Ohio — 2.8%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	805,000	907,146
Bucyrus City School District, 0.000%, 12/1/2017	155,000	154,566
City of Cleveland, AGM, 5.000%, 1/1/2019	600,000	629,826
City of Cleveland, AMBAC, 5.250%, 1/1/2018	50,000	50,657
City of Harrison, 2.000%, 10/1/2018	120,000	120,700
County of Hamilton:
4.000%, 1/1/2021	445,000	473,880
5.000%, 1/1/2022	465,000	520,186
Lancaster Port Authority, 1.445% (LIBOR 1 Month+62 basis points), 8/1/2019, Call 2/1/2019 (7)	195,000	194,795
New Lexington City School District, BAM, 1.200%, 12/1/2017	55,000	54,968
Ohio Housing Finance Agency, GNMA/FNMA COLL, 4.000%, 5/1/2022, Call 5/1/2021	80,000	82,642
Rib Floater Trust Various States, 0.970%, 1/15/2046, Call 10/2/2017 (6) (12)	1,000,000	1,000,000
State of Ohio, 0.950%, 1/15/2045, Call 9/1/2017 (12)	500,000	500,000
University of Toledo, 5.000%, 6/1/2020	375,000	413,558
		5,102,924
Oklahoma — 0.1%
Oklahoma Municipal Power Authority, 1.590% (SIFMA Municipal Swap Index Yield+80 basis points), 8/1/2018, Call 2/1/2018 (7)	135,000	135,100
Oregon — 0.5%
Port of Morrow, 0.980%, 2/1/2027, Call 9/1/2017 (12)	1,000,000	1,000,000

Pennsylvania — 3.8%
Allegheny County Hospital Development Authority:
1.598% (LIBOR 3 Month+72 basis points), 2/1/2021, Call 11/1/2017 (7)	105,000	105,452
5.375%, 8/15/2029, Call 8/15/2019	225,000	243,245
Allentown City School District, 5.000%, 2/15/2020, Call 2/15/2018	50,000	50,928
Berks County Municipal Authority, 2.290% (SIFMA Municipal Swap Index Yield+150 basis points), 7/1/2022, Call 9/18/2017 (7)	350,000	356,685
City of Philadelphia, 5.250%, 8/1/2018	100,000	103,818
City of Philadelphia, AGC:
5.125%, 8/1/2025, Call 8/1/2019	10,000	10,795
5.125%, 8/1/2025, Call 8/1/2019	90,000	96,325
City of Philadelphia, AMBAC:
5.000%, 10/1/2017	250,000	250,735
5.000%, 10/1/2023, Call 10/1/2017	100,000	100,294
Commonwealth of Pennsylvania, 5.000%, 4/15/2020, Call 4/15/2019	600,000	639,588
Delaware County Vocational & Technical School Authority, BAM, 3.000%, 11/1/2018	120,000	122,771
Delaware Valley Regional Financial Authority, AMBAC, 5.500%, 8/1/2018	130,000	135,339
Lancaster County Solid Waste Management Authority, 5.000%, 12/15/2020	200,000	223,032
Lancaster Industrial Development Authority, 5.000%, 5/1/2020	285,000	307,130
North Penn Water Authority, 1.325% (LIBOR 1 Month+50 basis points), 11/1/2019, Call 5/1/2019 (7)	800,000	801,208
Northampton County General Purpose Authority, 2.190% (SIFMA Municipal Swap Index Yield+140 basis points), 8/15/2020, Call 2/15/2020 (7)	150,000	150,630
Pennsylvania Economic Development Financing Authority, 5.000%, 3/1/2020	200,000	217,582
Pennsylvania Turnpike Commission:
1.470% (SIFMA Municipal Swap Index Yield+68 basis points), 12/1/2018, Call 6/1/2018 (7)	90,000	90,193
1.670% (SIFMA Municipal Swap Index Yield+88 basis points), 12/1/2020, Call 6/1/2020 (7)	325,000	328,022
1.770% (SIFMA Municipal Swap Index Yield+98 basis points), 12/1/2021, Call 6/1/2021 (7)	80,000	81,200
1.940% (SIFMA Municipal Swap Index Yield+115 basis points), 12/1/2019, Call 6/1/2019 (7)	600,000	606,234
Pittsburgh Public Parking Authority, NATL-RE, 0.000%, 12/1/2017	50,000	49,911
School District of Philadelphia, 5.000%, 9/1/2018	65,000	67,238
Scranton School District, SAW, 1.837% (LIBOR 1 Month+100 basis points), 4/2/2018, Call 10/2/2017 (7)	1,000,000	999,990
State Public School Building Authority, FSA, 5.375%, 10/1/2023, Call 10/1/2018	160,000	167,725
State Public School Building Authority, SAW, 1.625% (LIBOR 1 Month+80 basis points), 9/1/2018, Call 3/1/2018 (7)	615,000	617,952
		6,924,022
Rhode Island — 0.5%
Rhode Island Health & Educational Building Corp., 5.000%, 5/15/2022	500,000	568,040
Rhode Island Turnpike & Bridge Authority, 3.000%, 10/1/2018	275,000	280,835
		848,875
South Carolina — 0.6%
Newberry Investing in Children’s Education, 5.000%, 12/1/2019	1,000,000	1,083,340
Tennessee — 0.3%
Clarksville Natural Gas Acquisition Corp., 5.000%, 12/15/2019	125,000	134,630
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 5.000%, 7/1/2018	220,000	227,086
Public Building Authority of Sevier County, AMBAC, 1.365%, 6/1/2018 (12) (13)	50,000	49,407
Tennessee Energy Acquisition Corp.:
5.250%, 9/1/2020	10,000	11,107
5.250%, 9/1/2021	55,000	62,745
		484,975
Texas — 6.5%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 9/21/2017 (12)	650,000	649,954
Cinco Southwest Municipal Utility District No. 1, BAM, 2.000%, 12/1/2017	310,000	310,617
City of Coppell, 5.750%, 2/1/2023, Call 2/1/2018	50,000	51,007
City of The Colony, 6.000%, 2/15/2019	795,000	853,774
Clifton Higher Education Finance Corp., PSF, 5.000%, 8/15/2020	160,000	177,080
County of Cameron, BAM, 5.000%, 2/15/2020	240,000	263,525
Crane County Water District, 3.000%, 2/15/2021	605,000	640,344
Harris County Cultural Education Facilities Finance Corp., 1.620% (SIFMA Municipal Swap Index Yield+83 basis points), 6/1/2021 (7)	350,000	353,188
Lower Colorado River Authority, 5.000%, 5/15/2019	1,000,000	1,068,490

New Hope Cultural Education Facilities Finance Corp.:
3.375%, 8/15/2021 (6)	500,000	501,550
4.000%, 4/1/2018	225,000	228,085
4.000%, 11/15/2021	615,000	644,059
5.000%, 11/1/2022	500,000	578,390
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2020	250,000	264,912
North Texas Higher Education Authority, Inc., 2.199% (LIBOR 3 Month+90 basis points), 7/1/2030 (7)	125,000	125,108
North Texas Tollway Authority:
1.460% (SIFMA Municipal Swap Index Yield+67 basis points), 1/1/2020, Call 7/1/2019 (7)	350,000	351,162
1.590% (SIFMA Municipal Swap Index Yield+80 basis points), 1/1/2019, Call 7/1/2018 (7)	250,000	250,893
5.000%, 1/1/2022	250,000	289,182
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 2/1/2018 (12)	695,000	697,766
Panhandle-Plains Higher Education Authority, Inc., 2.549% (LIBOR 3 Month+125 basis points), 4/1/2035, Call 9/1/2017 (7)	250,000	252,988
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 9/21/2017	700,000	700,686
5.000%, 5/15/2021	500,000	542,880
5.000%, 11/15/2022	1,000,000	1,164,380
Texas Municipal Gas Acquisition & Supply Corp. I:
1.385% (LIBOR 3 Month+55 basis points), 12/15/2017, Call 9/1/2017 (7)	10,000	9,984
5.625%, 12/15/2017	255,000	256,928
Texas Municipal Gas Acquisition & Supply Corp. II, 1.535% (LIBOR 3 Month+70 basis points), 9/15/2017 (7)	220,000	220,009
Texas State University System, 5.000%, 3/15/2022	350,000	409,248
		11,856,189
Utah — 0.3%
Salt Lake City Corp., AMBAC, 0.737%, 5/15/2020, Call 9/1/2017 (12) (13)	500,000	493,082
Vermont — 0.2%
City of Burlington, AGM:
5.000%, 7/1/2018	250,000	257,950
5.000%, 7/1/2019	100,000	106,873
		364,823
Virgin Islands — 0.1%
Virgin Islands Public Finance Authority, 2.250%, 10/1/2017 (6)	100,000	98,775
Virginia — 0.7%
Henrico County Economic Development Authority, AGM, 2.156%, 8/23/2027, Call 9/1/2017 (12) (13)	1,250,000	1,192,784
Washington — 1.2%
City of Tacoma, 5.750%, 12/1/2017	100,000	101,135
FYI Properties, 5.000%, 6/1/2020, Call 6/1/2019	360,000	384,523
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	75,000	77,262
State of Washington, 5.000%, 2/1/2022	1,000,000	1,166,220
Washington Health Care Facilities Authority, 0.000%, 12/1/2017 (6)	25,000	24,952
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL, 5.000%, 10/1/2020	320,000	349,437
		2,103,529
West Virginia — 0.7%
West Virginia Commissioner, 5.000%, 9/1/2018	1,250,000	1,298,312
Wisconsin — 3.0%
City of Stanley, 2.500%, 3/1/2018, Call 10/2/2017	1,000,000	1,000,930
Hilbert School District, 2.100%, 4/1/2019, Call 4/1/2018	1,000,000	1,005,150
Public Finance Authority:
3.500%, 11/15/2023, Call 5/15/2019 (6)	500,000	505,480
5.000%, 11/15/2021 (8)	610,000	692,948
5.000%, 11/15/2022 (8)	500,000	579,490
State of Wisconsin:
5.000%, 9/1/2020	175,000	194,777
5.000%, 3/1/2021	300,000	337,932
Wisconsin Health & Educational Facilities Authority:
3.000%, 8/15/2019	105,000	109,131
3.250%, 5/1/2018	200,000	200,508
4.000%, 8/15/2018	300,000	308,355
5.000%, 3/1/2020	200,000	214,682

5.000%, 8/15/2020	260,000		289,752
5.500%, 12/15/2020, Call 12/15/2019	80,000		87,657
			5,526,792
Total Municipals  (identified cost $170,882,303)			172,490,237
Mutual Funds — 0.5%
BMO Ultra Short Tax-Free Fund - Institutional Class (4)	85,926		866,132
Total Mutual Funds  (identified cost $866,956)			866,132
Short-Term Investments — 1.0%
Mutual Funds — 0.1%
BMO Government Money Market Fund - Premier Class, 0.870% (4)	115,488		115,488
Short-Term Municipals — 0.9%
Connecticut — 0.4%
City of New Haven, 2.500%, 5/15/2018	$      700,000		705,810
Ohio — 0.5%
City of Tipp City, 1.750%, 2/14/2018	1,000,000		1,002,240
Total Short-Term Municipals			1,708,050
Total Short-Term Investments   (identified cost $1,823,132)			1,823,538
Total Investments — 95.9%  (identified cost $173,572,391)			175,179,907
Other Assets and Liabilities — 4.1%			7,440,509
Total Net Assets — 100.0%		$	182,620,416

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

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At August 31, 2017, these securities amounted to:

Fund	Amount		% of Total Net Assets
Short Tax-Free Fund	$	12,985,101		7.11%

(7) Floating Rate Security

(8) Purchased on a when-issued or delayed delivery basis.

(12) Variable Rate Security

(13) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

(15) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

Intermediate Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of August 31, 2017

Description	Shares or         Principal         Amount	Value
Municipals — 98.4%
Alabama — 1.8%
Alabama Board of Education:
3.000%, 6/1/2021	$      305,000	$      320,988
4.000%, 7/1/2021	1,895,000	2,065,758
4.375%, 10/1/2017	200,000	200,488
5.000%, 10/1/2020, Call 10/1/2018	230,000	239,258
Butler County Board of Education, AGM, 4.000%, 7/1/2020	585,000	626,389
City of Birmingham, 4.000%, 3/1/2022 (15)	1,945,000	2,117,463
Columbia Industrial Development Board, 0.930%, 12/1/2037, Call 9/1/2017 (12)	400,000	400,000
County of Jefferson, AGM, 2.463% (LIBOR 1 Month+0 basis points), 2/1/2042, Call 10/5/2017 (7)	454,517	394,678
Health Care Authority for Baptist Health, 1.150%, 11/1/2042 (12)	3,485,000	3,485,000
Mobile County Board of School Commissioners, 5.000%, 3/1/2027, Call 3/1/2026	4,015,000	4,842,973
Pell City Special Care Facilities, 5.000%, 12/1/2025, Call 12/1/2021	4,000,000	4,507,520
UAB Medicine Finance Authority:
5.000%, 9/1/2036, Call 3/1/2027	2,340,000	2,751,325
5.000%, 9/1/2037, Call 3/1/2027	2,030,000	2,381,312
5.000%, 9/1/2041, Call 3/1/2027	2,020,000	2,345,947
Wilsonville Industrial Development Board, 0.870%, 1/1/2024, Call 9/1/2017 (12)	2,075,000	2,075,000
		28,754,099
Alaska — 0.6%
Alaska Housing Finance Corp.:
5.000%, 12/1/2027, Call 6/1/2022	1,375,000	1,572,518
5.000%, 12/1/2028, Call 12/1/2024	2,500,000	2,967,650
5.000%, 6/1/2029, Call 12/1/2024	1,000,000	1,181,930
Alaska Municipal Bond Bank Authority, AMBAC:
5.100%, 4/1/2033, Call 4/1/2018	165,000	169,031
5.100%, 4/1/2033, Call 4/1/2018	35,000	35,855
Borough of Matanuska-Susitna:
5.000%, 11/1/2022	500,000	591,635
5.000%, 4/1/2031, Call 4/1/2021	150,000	170,760
Borough of North Slope, 5.000%, 6/30/2024, Call 6/1/2021	1,020,000	1,166,819
City of Anchorage, NATL-RE, 5.000%, 12/1/2024, Call 10/2/2017	305,000	305,906
City of Valdez, 5.000%, 1/1/2021	1,190,000	1,331,741
		9,493,845
Arizona — 2.7%
Arizona Department of Transportation State Highway, 5.250%, 7/1/2029, Call 7/1/2021	3,000,000	3,468,030
Arizona Health Facilities Authority:
2.640% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (7)	4,500,000	4,568,535
5.000%, 2/1/2022	1,000,000	1,134,400
Arizona Sports & Tourism Authority, 4.000%, 7/1/2018	765,000	781,394
Arizona State University, 6.250%, 7/1/2028, Call 7/1/2018	1,050,000	1,094,415
Arizona Transportation Board:
5.000%, 7/1/2022, Call 7/1/2020	1,260,000	1,400,503
5.000%, 7/1/2023, Call 7/1/2020	1,405,000	1,561,672
City of Goodyear, 5.125%, 7/1/2025, Call 7/1/2020	345,000	379,893
City of Peoria, 4.000%, 7/1/2019	515,000	543,742
City of Tucson, AGM, 5.000%, 7/1/2020	500,000	552,805
County of Pima, 5.000%, 7/1/2027, Call 7/1/2022	1,450,000	1,701,299
Gilbert Public Facilities Municipal Property Corp., 5.500%, 7/1/2026, Call 7/1/2019	825,000	893,632
Glendale Industrial Development Authority, 5.000%, 5/15/2023, Call 5/15/2020	500,000	549,470
Greater Arizona Development Authority, NATL-RE:
5.000%, 8/1/2019, Call 10/2/2017	15,000	15,041
5.000%, 8/1/2027, Call 10/2/2017	240,000	240,631

Industrial Development Authority of the City of Phoenix:
3.000%, 7/1/2020 (6)	425,000	427,622
5.000%, 7/1/2031, Call 7/1/2026 (6)	3,000,000	3,161,610
Industrial Development Authority of the County of Pima, 4.950%, 10/1/2020	2,000,000	2,182,280
La Paz County Industrial Development Authority, 5.000%, 2/15/2046, Call 2/15/2026 (6)	1,000,000	1,076,220
Maricopa County Elementary School District No. 33 Buckeye, 5.250%, 7/1/2018	365,000	377,775
Maricopa County Industrial Development Authority:
4.000%, 1/1/2019	200,000	207,548
5.000%, 7/1/2036, Call 7/1/2026	750,000	818,632
5.000%, 7/1/2036, Call 7/1/2026 (6)	1,225,000	1,290,991
Maricopa County Unified School District No. 60 Higley, AGM:
4.000%, 7/1/2022	500,000	561,365
5.000%, 7/1/2023	1,000,000	1,191,250
5.000%, 7/1/2024	575,000	695,853
Phoenix Civic Improvement Corp.:
5.000%, 7/1/2019	615,000	659,354
5.000%, 7/1/2020, Call 7/1/2018	600,000	620,736
5.000%, 7/1/2026, Call 7/1/2020	1,050,000	1,163,358
Phoenix Civic Improvement Corp., BHAC, 5.500%, 7/1/2027 (15)	500,000	633,860
Phoenix Civic Improvement Corp., NATL-RE FGIC:
5.500%, 7/1/2021 (15)	555,000	633,988
5.500%, 7/1/2036 (15)	530,000	700,421
Pima County Industrial Development Authority, 6.375%, 7/1/2028, Call 7/1/2018	240,000	250,781
Rio Nuevo Multipurpose Facilities District, AGC, 6.000%, 7/15/2020, Call 7/15/2018	240,000	250,630
Salt Verde Financial Corp., 5.250%, 12/1/2022	110,000	127,863
Scottsdale Industrial Development Authority, 5.000%, 9/1/2018	250,000	259,888
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	1,000,000	1,100,140
5.250%, 10/1/2024, Call 10/1/2019	5,000,000	5,433,050
Town of Marana, 5.000%, 7/1/2023	450,000	534,411
Tucson & Pima Counties Industrial Development Authorities, GNMA/FNMA/FHLMC, 5.400%, 6/1/2040, Call 12/1/2017 (16)	170,000	171,753
University Medical Center Corp., 5.000%, 7/1/2021	425,000	483,913
University of Arizona, 5.000%, 8/1/2026, Call 8/1/2021	455,000	517,553
		44,418,307
Arkansas — 1.4%
Arkansas Development Finance Authority:
1.200%, 9/1/2044, Call 9/1/2017 (12)	3,650,000	3,650,000
5.000%, 2/1/2020	255,000	275,856
5.000%, 2/1/2021	315,000	350,548
5.000%, 2/1/2022	150,000	171,459
Arkansas Development Finance Authority, GNMA/FNMA:
4.000%, 1/1/2025, Call 7/1/2021	215,000	226,352
4.000%, 7/1/2025, Call 7/1/2021	465,000	488,683
Arkansas State University:
4.000%, 3/1/2021	390,000	425,498
4.000%, 3/1/2022	1,140,000	1,264,773
4.000%, 3/1/2023	985,000	1,103,190
City of Fayetteville, 3.300%, 11/1/2023	2,985,000	3,213,950
City of Maumelle, 2.600%, 3/1/2030, Call 3/1/2022	910,000	932,523
City of Springdale:
3.000%, 11/1/2021	1,000,000	1,064,740
5.000%, 11/1/2028, Call 11/1/2022	1,000,000	1,165,350
City of Stuttgart, AGM, 3.800%, 6/1/2042, Call 6/1/2020	1,325,000	1,325,371
Conway Health Facilities Board, 4.250%, 8/1/2021	605,000	633,356
County of Greene, AGM:
4.000%, 3/1/2019, Call 10/2/2017	840,000	841,688
4.000%, 3/1/2020, Call 10/2/2017	1,430,000	1,433,017
Henderson State University, BAM:
5.000%, 11/1/2022	905,000	1,061,972
5.000%, 11/1/2023, Call 11/1/2022	860,000	995,742
University of Arkansas:
5.000%, 12/1/2021	300,000	347,616
5.000%, 12/1/2022	520,000	617,947
5.000%, 12/1/2023, Call 12/1/2022	500,000	590,285
5.000%, 11/1/2030, Call 11/1/2024	1,000,000	1,200,470
		23,380,386

California — 7.2%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	515,000	570,146
Abag Finance Authority for Nonprofit Corps., CMI, 5.000%, 4/1/2020	1,000,000	1,098,530
ABC Unified School District, MBIA, 5.000%, 2/1/2021	1,250,000	1,403,450
Alvord Unified School District, AGM, 0.000%, 8/1/2046, Call 8/1/2036 (15)	1,150,000	1,091,568
Anaheim Public Financing Authority, 5.000%, 10/1/2030, Call 4/1/2019	225,000	239,672
Bay Area Toll Authority, 2.040% (SIFMA Municipal Swap Index Yield+125 basis points), 4/1/2027, Call 10/1/2026 (7)	5,000,000	5,081,700
BB&T Municipal Trust, 1.590% (SIFMA Municipal Swap Index Yield+80 basis points), 11/15/2019 (6) (7)	1,500,000	1,503,825
Bellevue Union School District, AGM:
0.000%, 8/1/2030	585,000	379,127
0.000%, 8/1/2031	615,000	381,724
Bonita Unified School District, 5.500%, 8/1/2035, Call 8/1/2021	940,000	1,100,317
Burbank Unified School District, 0.000%, 8/1/2031, Call 2/1/2025 (15)	1,325,000	1,146,284
California County Tobacco Securitization Agency, 4.000%, 6/1/2029, Call 10/2/2017	4,240,000	4,245,046
California Health Facilities Financing Authority:
5.000%, 7/1/2037, Call 7/1/2023	2,000,000	2,279,620
5.000%, 8/15/2042, Call 8/15/2027	1,000,000	1,136,710
California Health Facilities Financing Authority, NATL-RE, 1.383%, 7/1/2022, Call 9/1/2017 (12) (13)	1,600,000	1,553,232
California Infrastructure & Economic Development Bank, 1.750%, 6/1/2022 (12)	1,000,000	1,011,380
California Municipal Finance Authority, 5.000%, 2/1/2042, Call 2/1/2027	1,500,000	1,698,180
California State Public Works Board, 5.000%, 4/1/2037, Call 4/1/2022	1,000,000	1,125,710
California Statewide Communities Development Authority:
5.000%, 12/1/2031, Call 6/1/2026 (6)	1,000,000	1,129,680
5.000%, 12/1/2046, Call 6/1/2026 (6)	1,000,000	1,089,510
California Statewide Communities Development Authority, NATL-RE, 5.125%, 7/1/2024, Call 7/1/2018	1,500,000	1,553,370
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2021	850,000	974,984
City of Fairfield, XLCA, 0.000%, 4/1/2022	1,205,000	1,097,767
City of Madera:
5.750%, 1/1/2026, Call 1/1/2020	1,550,000	1,723,662
6.500%, 1/1/2040, Call 1/1/2020	1,280,000	1,445,414
County of Los Angeles, 0.000%, 9/1/2018	750,000	742,950
County of Los Angeles, AMBAC, 0.000%, 9/1/2020	600,000	578,082
County of San Joaquin, 5.000%, 4/1/2022	350,000	407,946
Delhi Unified School District, AMBAC, 0.000%, 8/1/2019	250,000	225,685
Duarte Unified School District, 5.125%, 8/1/2026 (15)	585,000	736,661
El Centro Financing Authority, AGM:
4.000%, 10/1/2021	460,000	509,068
5.000%, 10/1/2022	515,000	604,595
5.000%, 10/1/2022	580,000	686,511
5.000%, 10/1/2023	800,000	956,720
Encinitas Union School District, 0.000%, 8/1/2035, Call 8/1/2032 (15)	500,000	550,150
Escondido Union High School District, 0.000%, 8/1/2032, Call 8/1/2025 (15)	1,250,000	1,273,237
Escondido Union High School District, AGC, 0.000%, 8/1/2031	480,000	310,411
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2033, Call 4/1/2027	1,000,000	1,174,370
Fresno Unified School District, 0.000%, 8/1/2034, Call 8/1/2021	1,045,000	403,454
Fresno Unified School District, MBIA, 6.000%, 8/1/2026	2,890,000	3,550,596
Golden State Tobacco Securitization Corp.:
5.000%, 6/1/2028, Call 6/1/2027	1,000,000	1,197,620
5.000%, 6/1/2029, Call 6/1/2027	1,000,000	1,188,180
Hacienda La Puente Unified School District, AGM:
5.000%, 6/1/2022	400,000	467,760
5.000%, 6/1/2023	400,000	477,636
5.000%, 6/1/2024	775,000	939,858
5.000%, 6/1/2025	425,000	521,760
Imperial Community College District, AGC, 0.000%, 8/1/2028	330,000	235,970
Imperial County Local Transportation Authority, 5.000%, 6/1/2032, Call 6/1/2022	2,000,000	2,277,540
Jefferson School District/San Joaquin County, 0.000%, 8/1/2029, Call 8/1/2024	170,000	108,921
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020	375,000	415,976
Lakeside Union School District/San Diego County, AGC, 0.000%, 9/1/2027	295,000	221,070
Long Beach Bond Finance Authority:
5.000%, 11/1/2025, Call 11/1/2021	1,000,000	1,152,160
5.000%, 11/1/2030, Call 11/1/2021	1,750,000	1,993,390

Lynwood Unified School District, AGM:
5.000%, 8/1/2024, Call 8/1/2023	620,000	739,046
5.000%, 8/1/2025, Call 8/1/2023	760,000	902,158
McKinleyville Union School District, AGM, 0.000%, 8/1/2041, Call 8/1/2026 (15)	165,000	168,473
McKinleyville Union School District, BAM:
0.000%, 8/1/2036, Call 8/1/2021	1,200,000	517,692
0.000%, 8/1/2037, Call 8/1/2021	1,980,000	802,652
Mendocino-Lake Community College District, AGM, 5.600%, 8/1/2031, Call 8/1/2026 (15)	300,000	375,168
Midpeninsula Regional Open Space District, 5.000%, 9/1/2029, Call 9/1/2022	2,000,000	2,360,380
Modesto Irrigation District, 5.000%, 7/1/2021	500,000	573,945
Mount Diablo Unified School District, AGM, 0.000%, 8/1/2035, Call 8/1/2025 (15)	2,125,000	1,977,206
Murrieta Valley Unified School District Public Financing Authority, NATL-RE FGIC, 0.000%, 9/1/2020	500,000	476,765
Northern California Gas Authority No. 1:
1.500% (LIBOR 3 Month+63 basis points), 7/1/2019 (7)	3,000,000	2,997,990
1.590% (LIBOR 3 Month+72 basis points), 7/1/2027 (7)	1,915,000	1,843,015
Northern California Power Agency:
5.000%, 7/1/2031, Call 7/1/2022	500,000	571,295
5.000%, 7/1/2032, Call 7/1/2022	700,000	798,427
Orchard School District, NATL-RE FGIC, 0.000%, 8/1/2023	590,000	533,272
Pasadena Public Financing Authority, 0.000%, 3/1/2029	2,000,000	1,440,100
Porterville Unified School District Facilities Improvement District, AGM, 0.000%, 8/1/2034, Call 10/2/2017	1,500,000	662,940
Rib Floater Trust Various States, 0.970%, 8/15/2051 (6) (12)	2,000,000	2,000,000
Roseville Joint Union High School District, 0.000%, 8/1/2022	305,000	279,618
Sacramento Redevelopment Agency Successor Agency, BAM:
5.000%, 12/1/2027, Call 12/1/2025	235,000	283,723
5.000%, 12/1/2028, Call 12/1/2025	425,000	508,173
5.000%, 12/1/2030, Call 12/1/2025	1,000,000	1,176,060
5.000%, 12/1/2031, Call 12/1/2025	2,000,000	2,340,800
San Francisco City & County Airport Commission:
5.000%, 5/1/2024, Call 5/1/2021	745,000	853,226
5.000%, 5/1/2024, Call 5/1/2021	295,000	336,760
San Jose Financing Authority, 5.000%, 6/1/2039, Call 6/1/2023	1,435,000	1,638,727
San Jose International Airport:
5.000%, 3/1/2041, Call 3/1/2027 (16)	1,000,000	1,154,230
5.000%, 3/1/2042, Call 3/1/2027	1,665,000	1,951,646
San Jose Unified School District, NATL, 0.000%, 8/1/2027	1,495,000	1,151,912
San Miguel Joint Union Elementary School District, AGM:
0.000%, 6/15/2020	415,000	398,363
0.000%, 6/15/2021	490,000	460,527
0.000%, 6/15/2022	505,000	462,055
Santa Ana Unified School District, 0.000%, 8/1/2021	500,000	472,955
Santa Ana Unified School District, AGM, 5.500%, 8/1/2030, Call 8/1/2018	930,000	967,851
Santa Barbara County College Elementary School District:
0.000%, 8/1/2027	365,000	277,688
0.000%, 8/1/2031	470,000	300,222
State of California:
1.562% (LIBOR 1 Month+70 basis points), 12/1/2017, Call 10/2/2017 (7)	2,500,000	2,500,850
5.250%, 9/1/2025, Call 9/1/2021	2,045,000	2,380,319
6.000%, 3/1/2033, Call 3/1/2020	1,550,000	1,741,053
Tahoe Forest Hospital District:
5.500%, 8/1/2027, Call 8/1/2018	1,345,000	1,402,109
5.500%, 8/1/2035, Call 8/1/2018	1,000,000	1,042,460
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 11/1/2017 (12)	1,365,000	1,365,259
Vallejo City Unified School District, MBIA, 5.900%, 8/1/2025	1,225,000	1,486,280
Walnut Creek Elementary School District Contra Costa County, 0.000%, 9/1/2023	1,560,000	1,403,828
Watereuse Finance Authority, BAM, 5.500%, 5/1/2036, Call 5/1/2024	2,635,000	3,214,068
West Contra Costa Unified School District, AGM NATL-RE FGIC, 0.000%, 8/1/2025	310,000	257,334
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021	2,000,000	2,270,540
Westminster School District, BAM, 0.000%, 8/1/2048, Call 8/1/2023	7,045,000	1,119,662
Whittier Union High School District, 0.000%, 8/1/2034, Call 8/1/2019	500,000	189,875
Windsor Unified School District, AGM:
0.000%, 8/1/2020	105,000	100,427
0.000%, 8/1/2023	240,000	213,276
0.000%, 8/1/2024, Call 8/1/2023	330,000	282,850
0.000%, 8/1/2025, Call 8/1/2023	270,000	217,966
0.000%, 8/1/2026, Call 8/1/2023	330,000	250,081
0.000%, 8/1/2028, Call 8/1/2023	420,000	281,908
Yosemite Community College District, AGM, 5.000%, 8/1/2032, Call 8/1/2018	75,000	77,848
		116,521,938

Colorado — 2.4%
Adams & Arapahoe Joint School District 28J Aurora, SAW, 5.000%, 12/1/2031, Call 12/1/2026	5,000,000	6,084,900
Adams County School District No. 14, SAW:
5.000%, 12/1/2024	500,000	611,125
5.000%, 12/1/2026, Call 12/1/2024	355,000	436,881
5.000%, 12/1/2027, Call 12/1/2024	500,000	613,410
City & County of Denver, 5.000%, 11/15/2021	500,000	579,660
Colorado Educational & Cultural Facilities Authority:
4.000%, 12/1/2017	120,000	120,906
4.000%, 12/15/2025 (6)	535,000	550,558
5.000%, 9/1/2020 (15)	1,060,000	1,174,830
5.000%, 9/1/2021 (15)	865,000	984,232
5.000%, 10/1/2030, Call 10/1/2025	1,250,000	1,436,662
Colorado Health Facilities Authority:
1.450%, 7/1/2034, Call 7/1/2019 (6) (12)	3,325,000	3,325,000
4.500%, 2/1/2020	455,000	480,667
5.000%, 9/1/2018	530,000	550,802
5.000%, 9/1/2019	560,000	598,438
5.000%, 2/1/2021	475,000	517,550
5.000%, 9/1/2022	750,000	867,450
5.000%, 12/1/2023	215,000	247,325
5.000%, 2/1/2024	420,000	473,281
5.000%, 6/1/2047, Call 6/1/2027 (8)	1,000,000	1,106,760
5.250%, 1/1/2025, Call 1/1/2020	460,000	500,931
5.250%, 5/15/2037, Call 5/15/2027	1,000,000	1,082,000
Commerce City Northern Infrastructure General Improvement District, AGM:
5.000%, 12/1/2020	785,000	883,125
5.000%, 12/1/2021	725,000	839,093
5.000%, 12/1/2022	1,185,000	1,406,216
County of Boulder:
5.000%, 12/1/2023, Call 12/1/2020	500,000	559,445
5.000%, 12/1/2025, Call 12/1/2020	475,000	531,150
Denver City & County School District No. 1, SAW, 5.000%, 12/1/2032, Call 12/1/2022	1,500,000	1,760,910
Denver Convention Center Hotel Authority:
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,155,890
5.000%, 12/1/2034, Call 12/1/2026	1,000,000	1,150,670
Denver Health & Hospital Authority, 5.500%, 12/1/2019	1,195,000	1,274,993
Park Creek Metropolitan District, 5.000%, 12/1/2030, Call 12/1/2025	1,895,000	2,128,483
Public Authority for Colorado Energy, 5.750%, 11/15/2018	345,000	356,161
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021	2,000,000	2,322,420
Weld County School District No. RE-7 Platte Valley, SAW, 4.000%, 12/1/2023, Call 12/1/2020	1,140,000	1,237,972
		37,949,896
Connecticut — 1.1%
City of New Haven, AGM, 5.000%, 8/1/2023	2,060,000	2,403,670
Connecticut Housing Finance Authority, 3.600%, 11/15/2030, Call 11/15/2024	635,000	657,403
Connecticut State Health & Educational Facility Authority:
2.875%, 9/1/2020, Call 10/2/2017 (6)	450,000	450,095
3.250%, 9/1/2021, Call 3/1/2018 (6)	700,000	701,743
State of Connecticut:
5.000%, 3/15/2027, Call 3/15/2026	2,155,000	2,540,960
5.000%, 4/15/2034, Call 4/15/2027	3,000,000	3,432,870
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026	2,000,000	2,308,660
5.000%, 1/15/2033, Call 1/15/2027	4,000,000	4,620,160
		17,115,561
Delaware — 0.6%
City of Wilmington, 5.000%, 10/1/2025, Call 10/1/2023	3,715,000	4,445,146
Delaware State Economic Development Authority, 5.000%, 6/1/2036, Call 6/1/2026	1,500,000	1,548,105
Delaware State Housing Authority:
5.000%, 1/1/2026, Call 7/1/2019 (16)	215,000	222,742
5.200%, 7/1/2029, Call 7/1/2018	915,000	929,119
Sustainable Energy Utility, Inc., 5.000%, 9/15/2034, Call 9/15/2021	1,580,000	1,799,193
		8,944,305

District of Columbia — 0.3%
District of Columbia:
5.000%, 10/1/2025, Call 10/1/2021	1,865,000	2,079,494
5.000%, 6/1/2036, Call 6/1/2026	2,500,000	2,760,775
5.000%, 12/1/2036, Call 12/1/2021	500,000	571,775
		5,412,044
Florida — 5.2%
Citizens Property Insurance Corp., 5.000%, 6/1/2019	2,615,000	2,795,487
City of Boynton Beach, AGM, 5.000%, 11/1/2027, Call 11/1/2021	1,000,000	1,146,030
City of Fort Pierce, AGC, 5.875%, 9/1/2028, Call 9/1/2018	1,000,000	1,046,700
City of Gulf Breeze, 5.000%, 12/1/2023, Call 12/1/2020	2,000,000	2,229,680
City of Lakeland, AGM, 5.250%, 10/1/2028	1,250,000	1,624,162
City of North Port, 5.000%, 7/1/2022	200,000	231,818
City of Orlando, AGM:
5.000%, 11/1/2034, Call 11/1/2027	1,000,000	1,177,730
5.000%, 11/1/2035, Call 11/1/2027	1,000,000	1,171,980
5.000%, 11/1/2036, Call 11/1/2027	1,000,000	1,168,170
5.000%, 11/1/2037, Call 11/1/2027	1,000,000	1,165,320
5.000%, 11/1/2038, Call 11/1/2027	1,000,000	1,161,530
City of Port St. Lucie, AGC, 6.250%, 9/1/2027, Call 9/1/2018	500,000	526,610
City of Sunrise, 4.000%, 10/1/2019	540,000	571,266
City of Sunrise, NATL-RE:
0.000%, 10/1/2019	905,000	884,502
0.000%, 10/1/2020	975,000	938,408
0.000%, 10/1/2021	175,000	165,743
City of Tallahassee:
5.000%, 12/1/2026, Call 12/1/2025	450,000	526,316
5.000%, 12/1/2027, Call 12/1/2025	400,000	464,312
City of Tampa, 5.250%, 11/15/2026, Call 5/15/2020	2,000,000	2,206,580
City of Tampa, AMBAC, 0.000%, 4/1/2021	460,000	433,030
Columbia County School Board, 5.000%, 7/1/2026, Call 7/1/2025	495,000	586,243
County of Broward:
5.000%, 10/1/2026, Call 10/1/2025 (16)	750,000	898,965
5.000%, 10/1/2031, Call 10/1/2025 (16)	1,000,000	1,155,550
County of Broward, AGM, 5.000%, 4/1/2033, Call 4/1/2023 (16)	740,000	812,187
County of Lee, 5.000%, 10/1/2029, Call 10/1/2022	2,000,000	2,321,360
County of Manatee, 0.870%, 9/1/2024, Call 9/1/2017 (12)	4,600,000	4,600,000
County of Miami-Dade:
5.000%, 10/1/2025, Call 10/1/2024	800,000	966,264
5.000%, 10/1/2040, Call 10/1/2027 (16)	1,500,000	1,743,450
5.250%, 10/1/2029, Call 10/1/2023	100,000	120,069
5.500%, 10/1/2026, Call 10/1/2020	450,000	511,056
5.500%, 10/1/2026, Call 10/1/2020	1,450,000	1,639,210
County of Miami-Dade, AGC:
0.000%, 10/1/2021	610,000	564,134
5.000%, 10/1/2029, Call 10/1/2019	400,000	431,744
County of Miami-Dade, BHAC, 6.000%, 10/1/2023, Call 10/1/2018	1,000,000	1,054,920
County of Miami-Dade, NATL-RE BHAC, 5.000%, 10/1/2030, Call 10/1/2017 (15)	475,000	476,397
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022	5,810,000	6,688,879
County of St. Johns, AGM:
5.000%, 10/1/2020	1,625,000	1,814,182
5.000%, 10/1/2021	1,110,000	1,276,078
Dupree Lakes Community Development District, BAM:
3.000%, 5/1/2018	230,000	232,516
3.000%, 5/1/2019	190,000	194,539
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2032, Call 1/1/2025	1,445,000	1,660,204
Florida HomeLoan Corp., GNMA/FHLMC/FNMA, 5.000%, 7/1/2028, Call 1/1/2020	200,000	209,080
Florida HomeLoan Corp., GNMA/FNMA/FHLMC, 4.450%, 1/1/2030, Call 7/1/2021	355,000	370,755
Florida Municipal Loan Council, AGM, 5.000%, 5/1/2021	1,745,000	1,973,909
Halifax Hospital Medical Center:
5.000%, 6/1/2026	1,525,000	1,845,113
5.000%, 6/1/2027, Call 6/1/2026	1,295,000	1,529,784
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,242,340
Lee County School Board, 5.000%, 8/1/2028, Call 8/1/2024	2,500,000	2,933,725

Miami-Dade County Educational Facilities Authority, 5.000%, 4/1/2031, Call 4/1/2025	2,000,000	2,332,340
Miami-Dade County Industrial Development Authority:
0.840%, 4/1/2020, Call 9/1/2017 (12)	400,000	400,000
0.870%, 6/1/2021, Call 9/1/2017 (12)	3,500,000	3,500,000
Orange County Health Facilities Authority, 5.250%, 10/1/2035, Call 10/1/2018	440,000	460,662
Polk County Housing Finance Authority, GNMA, 5.000%, 9/1/2029, Call 8/1/2020	150,000	162,218
Sarasota County Health Facilities Authority:
5.000%, 1/1/2030, Call 1/1/2025	750,000	841,470
5.000%, 1/1/2031, Call 1/1/2025	935,000	1,043,198
School Board of Miami-Dade County, 1.020%, 9/7/2017 (6) (12)	3,855,000	3,855,000
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2018 (6)	2,405,000	2,446,558
St. Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021	2,500,000	2,804,775
Sumter County Industrial Development Authority:
4.000%, 7/1/2019	1,000,000	1,050,600
5.000%, 7/1/2020	500,000	546,380
Town of Davie:
5.000%, 4/1/2019	75,000	79,285
5.000%, 4/1/2021	615,000	686,580
5.000%, 4/1/2022	830,000	946,781
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call 10/15/2021	730,000	844,362
		84,488,236
Georgia — 2.7%
Carroll City-County Hospital Authority, County Guarantee:
5.000%, 7/1/2023, Call 7/1/2020	1,185,000	1,315,385
5.000%, 7/1/2023, Call 7/1/2020	1,605,000	1,774,504
5.000%, 7/1/2024, Call 7/1/2020	695,000	771,471
5.000%, 7/1/2024, Call 7/1/2020	945,000	1,041,749
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024	1,000,000	1,181,790
5.000%, 1/1/2032, Call 1/1/2024	2,500,000	2,949,600
5.000%, 1/1/2033, Call 1/1/2024	1,000,000	1,175,290
5.000%, 1/1/2034, Call 1/1/2024	1,000,000	1,170,110
City of Atlanta, NATL-RE FGIC, 5.500%, 11/1/2022	1,000,000	1,169,330
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021	3,000,000	3,280,320
Floyd County Hospital Authority, County Guarantee:
5.000%, 7/1/2020	1,335,000	1,470,890
5.000%, 7/1/2021	1,155,000	1,309,089
5.000%, 7/1/2027, Call 7/1/2022	1,250,000	1,431,337
Fulton County Development Authority, 5.250%, 3/15/2024, Call 3/15/2019	1,120,000	1,191,154
Gainesville & Hall County Development Authority:
5.000%, 3/1/2027	400,000	448,356
5.000%, 3/1/2037, Call 3/1/2027	500,000	538,010
5.000%, 3/1/2047, Call 3/1/2027	500,000	527,410
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027	1,500,000	1,733,040
5.000%, 2/15/2037, Call 2/15/2027	2,000,000	2,305,420
5.000%, 2/15/2042, Call 2/15/2027	3,000,000	3,418,620
Jefferson City School District, SAW, 5.250%, 2/1/2029, Call 2/1/2021	1,350,000	1,533,681
Main Street Natural Gas, Inc., 5.250%, 9/15/2018	250,000	259,970
Private Colleges & Universities Authority, 5.000%, 10/1/2020	575,000	622,524
Richmond County Hospital Authority:
5.250%, 1/1/2029, Call 1/1/2019	1,150,000	1,216,389
5.375%, 1/1/2029, Call 1/1/2019	940,000	995,808
South Fulton Municipal Regional Water & Sewer Authority, BAM:
5.000%, 1/1/2023	800,000	936,816
5.000%, 1/1/2024	1,000,000	1,184,410
5.000%, 1/1/2025, Call 1/1/2024	700,000	838,768
South Regional Joint Development Authority, 5.250%, 8/1/2023	25,000	29,640
Spalding County, 6.125%, 9/1/2028, Call 9/1/2018	700,000	736,393
Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%, 10/1/2025, Call 10/1/2021	2,940,000	3,305,089
Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call 12/1/2021	1,000,000	1,140,460
		43,002,823
Guam — 0.1%
Territory of Guam:
5.000%, 12/1/2030, Call 12/1/2026	1,000,000	1,145,920
5.000%, 12/1/2031, Call 12/1/2026	1,000,000	1,139,860
		2,285,780

Hawaii — 0.1%
City & County of Honolulu:
5.000%, 10/1/2022	500,000	593,445
5.000%, 10/1/2023	500,000	605,680
		1,199,125
Idaho — 0.3%
Boise-Kuna Irrigation District:
5.875%, 6/1/2022, Call 6/1/2018	200,000	207,432
7.375%, 6/1/2034, Call 6/1/2018	340,000	356,368
Canyon County School District No. 131 Nampa, School Bond Gty, 5.000%, 9/15/2023	1,000,000	1,206,660
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	515,000	547,805
Idaho Housing & Finance Association, AGC, 5.250%, 7/15/2026, Call 7/15/2018	2,965,000	3,077,344
		5,395,609
Illinois — 15.5%
Bureau County Township High School District No. 502, BAM, 6.625%, 10/1/2043, Call 12/1/2023	3,400,000	4,189,582
Chicago Board of Education:
6.000%, 4/1/2046, Call 4/1/2027	1,500,000	1,740,420
9.000%, 3/1/2032, Call 9/1/2018	5,855,000	5,883,280
Chicago Board of Education, NATL:
0.000%, 12/1/2022	365,000	312,626
5.250%, 12/1/2021	1,000,000	1,094,250
Chicago Board of Education, NATL-RE, 5.000%, 12/1/2019	70,000	73,874
Chicago O’Hare International Airport:
5.000%, 1/1/2026, Call 1/1/2025 (16)	1,500,000	1,793,670
5.000%, 1/1/2031, Call 1/1/2025 (16)	1,000,000	1,154,670
5.000%, 1/1/2039, Call 1/1/2027	2,000,000	2,310,700
Chicago O’Hare International Airport, AGC, 5.250%, 1/1/2026, Call 1/1/2020	775,000	846,385
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022	1,060,000	1,194,217
5.000%, 1/1/2025, Call 7/1/2020	230,000	247,048
5.000%, 1/1/2026, Call 1/1/2021	730,000	789,699
5.000%, 1/1/2028, Call 1/1/2024	2,500,000	2,821,075
5.000%, 11/15/2029, Call 11/15/2018	130,000	136,413
5.000%, 1/1/2031, Call 1/1/2026	1,790,000	2,018,046
5.000%, 1/1/2040, Call 1/1/2026	1,000,000	1,099,070
Chicago Transit Authority, 5.000%, 12/1/2046, Call 12/1/2026	3,000,000	3,310,020
Chicago Transit Authority, AGC:
5.250%, 6/1/2019, Call 6/1/2018	375,000	387,360
5.250%, 6/1/2022, Call 6/1/2018	3,250,000	3,357,120
City of Chicago:
5.000%, 11/1/2025	2,000,000	2,358,580
5.000%, 11/1/2027, Call 11/1/2026	2,500,000	2,954,550
5.000%, 11/1/2027, Call 11/1/2026	1,000,000	1,181,820
5.000%, 11/1/2028, Call 11/1/2026	1,000,000	1,174,750
5.000%, 11/1/2029, Call 11/1/2026	1,000,000	1,165,970
5.000%, 1/1/2031, Call 1/1/2025	3,715,000	4,163,549
5.000%, 1/1/2032, Call 1/1/2027	2,000,000	2,279,380
5.000%, 1/1/2033, Call 1/1/2027	3,000,000	3,401,010
5.000%, 1/1/2039, Call 1/1/2025	500,000	548,375
6.000%, 1/1/2038, Call 1/1/2027	10,000,000	11,567,800
City of Chicago, AGM:
5.000%, 11/1/2027, Call 11/1/2018	140,000	146,682
5.000%, 11/1/2027, Call 11/1/2018	60,000	62,587
City of Springfield:
5.000%, 12/1/2022	905,000	1,034,460
5.000%, 3/1/2028, Call 3/1/2025	1,000,000	1,160,830
5.000%, 3/1/2029, Call 3/1/2025	1,000,000	1,153,480
Cook County Community Consolidated School District No. 65 Evanston:
0.000%, 12/1/2027, Call 12/1/2024	300,000	207,774
0.000%, 12/1/2029, Call 12/1/2024	400,000	247,572
0.000%, 12/1/2030, Call 12/1/2024	1,130,000	661,943
0.000%, 12/1/2031, Call 12/1/2024	1,500,000	830,085

Cook County Community High School District No. 219-Niles Township, FSA, 5.000%, 12/1/2025, Call 12/1/2017	1,405,000	1,418,404
Cook County School District No. 103 Lyons, AGM, 0.000%, 12/1/2021	850,000	774,112
Cook County School District No. 124 Evergreen Park, BAM, 4.000%, 12/1/2020	450,000	486,882
Cook County School District No. 144 Prairie Hills, AGM:
0.000%, 12/1/2028	2,830,000	1,845,783
0.000%, 12/1/2029	2,580,000	1,596,762
Cook County School District No. 83 Mannheim, 5.625%, 6/1/2033	2,980,000	3,523,403
Cook County Township High School District No. 201 J Sterling Morton, AMBAC, 0.000%, 12/1/2019	675,000	643,336
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023	1,000,000	1,191,350
6.000%, 12/1/2031, Call 12/1/2023	2,035,000	2,424,397
6.000%, 12/1/2032, Call 12/1/2023	2,160,000	2,574,677
6.000%, 6/1/2033, Call 12/1/2023	2,235,000	2,657,013
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026	3,270,000	3,749,382
5.000%, 11/15/2031, Call 11/15/2026	2,000,000	2,276,080
5.250%, 11/15/2023, Call 11/15/2020	350,000	383,512
County of Cook, BAM, 5.000%, 11/15/2023	1,000,000	1,160,590
County of St. Clair:
5.250%, 10/1/2024, Call 10/1/2019	485,000	527,530
5.250%, 10/1/2024, Call 10/1/2019	215,000	230,454
5.250%, 10/1/2027, Call 10/1/2019	835,000	908,221
5.250%, 10/1/2027, Call 10/1/2019	315,000	336,442
5.500%, 1/1/2038, Call 1/1/2023	825,000	933,034
County of Will:
5.750%, 1/1/2023	480,000	480,600
5.750%, 1/1/2023	545,000	547,839
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2020	600,000	570,048
DeKalb County Community Unit School District No. 428 DeKalb:
0.000%, 1/1/2025, Call 7/1/2020	400,000	292,448
0.000%, 1/1/2028, Call 7/1/2020	1,000,000	598,240
DeKalb, Kane & LaSalle Counties Etc Community College District No. 523 Kishwaukee, 0.000%, 2/1/2035, Call 2/1/2021	470,000	162,310
DuPage County School District No. 16 Queen Bee, NATL-RE FGIC, 0.000%, 11/1/2019	530,000	508,100
Frankfort Square Park District, AMBAC, 0.000%, 1/1/2022	670,000	580,923
Illinois Finance Authority:
2.500%, 5/15/2018	170,000	170,753
5.000%, 11/15/2023, Call 11/15/2022	215,000	248,948
5.000%, 8/15/2024	250,000	290,465
5.000%, 5/15/2025	1,000,000	1,109,590
5.000%, 11/15/2026, Call 11/15/2025	1,000,000	1,184,110
5.000%, 11/15/2027, Call 11/15/2025	500,000	585,995
5.000%, 11/1/2029, Call 11/1/2026	2,000,000	2,328,440
5.000%, 5/15/2030, Call 5/15/2025	1,000,000	1,064,230
5.000%, 11/1/2030, Call 11/1/2026	1,200,000	1,388,724
5.000%, 1/1/2036, Call 1/1/2027	2,000,000	2,235,040
5.000%, 8/1/2042, Call 8/1/2027	580,000	634,468
5.000%, 8/1/2046, Call 8/1/2027	515,000	562,035
5.000%, 8/1/2047, Call 8/1/2027	750,000	816,555
5.250%, 11/15/2022, Call 11/15/2017	1,450,000	1,462,426
5.250%, 2/15/2030, Call 2/15/2020	250,000	269,950
6.000%, 10/1/2024, Call 10/1/2021	1,010,000	1,104,566
6.000%, 8/15/2041, Call 8/15/2021	2,665,000	3,031,251
6.875%, 10/1/2043, Call 10/1/2021	3,000,000	3,342,300
Illinois Finance Authority, AGC, 5.250%, 8/15/2019	250,000	270,885
Illinois Finance Authority, AGM:
0.000%, 1/1/2020	450,000	439,101
0.000%, 1/1/2020	500,000	478,655
0.000%, 1/1/2021	255,000	245,315
5.150%, 1/1/2019	420,000	441,987
Illinois Finance Authority, AMBAC, 6.000%, 2/1/2022, Call 2/1/2018	335,000	342,015
Illinois Housing Development Authority, GNMA/FNMA COLL, 2.450%, 6/1/2043, Call 1/1/2023	660,969	659,925

Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023	1,000,000	1,146,840
5.000%, 1/1/2029, Call 1/1/2023	1,000,000	1,141,420
5.000%, 1/1/2030, Call 1/1/2026	1,000,000	1,181,760
5.000%, 12/1/2032, Call 1/1/2026	7,790,000	9,097,785
5.500%, 1/1/2033, Call 1/1/2018	490,000	497,374
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-RE FGIC, 0.000%, 2/1/2023	5,450,000	4,765,425
Kane Cook & DuPage Counties School District No. U-46 Elgin, AMBAC:
0.000%, 1/1/2023	350,000	324,110
0.000%, 1/1/2023	650,000	566,845
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023	1,000,000	1,169,360
5.000%, 1/1/2024	1,000,000	1,186,370
5.000%, 1/1/2026, Call 1/1/2025	4,000,000	4,723,600
5.250%, 1/1/2033, Call 1/1/2023	900,000	1,013,922
Knox & Warren Counties Community Unit School District No. 205 Galesburg, 6.125%, 1/1/2036, Call 1/1/2021	1,435,000	1,624,147
Lake County School District No. 33, XLCA:
0.000%, 12/1/2026	525,000	345,870
0.000%, 12/1/2028	335,000	195,952
Lake County School District No. 38 Big Hollow, AMBAC, 0.000%, 2/1/2019	200,000	192,748
Lake County School District No. 56 Gurnee, 5.000%, 1/1/2024	440,000	516,270
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, AGM FGIC, 0.000%, 1/1/2024	500,000	429,490
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL, 0.000%, 1/1/2021	1,900,000	1,789,097
McHenry County Community High School District No. 154 Marengo, NATL-RE FGIC, 0.000%, 1/1/2018	325,000	323,697
McHenry County Community Unit School District No. 12 Johnsburg, AGM:
4.000%, 1/1/2019	265,000	273,512
5.000%, 1/1/2020	550,000	590,183
5.000%, 1/1/2021	810,000	889,834
5.000%, 1/1/2022	895,000	1,003,188
Metropolitan Pier & Exposition Authority, NATL-RE:
0.000%, 12/15/2023	855,000	718,106
0.000%, 6/15/2024	1,000,000	820,040
5.700%, 6/15/2023 (15)	3,530,000	4,188,063
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	440,000	413,398
Metropolitan Water Reclamation District of Greater Chicago, 5.000%, 12/1/2031, Call 12/1/2026	3,500,000	4,125,835
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018	2,215,000	2,244,814
Peoria Public Building Commission, AGC, 0.000%, 12/1/2019, Call 12/1/2018	1,000,000	939,800
Railsplitter Tobacco Settlement Authority, 5.250%, 6/1/2021	1,120,000	1,273,776
Rib Floater Trust Various States, 1.040%, 4/1/2036, Call 4/1/2027 (6) (12)	1,000,000	1,000,000
South Suburban College Community School District No. 510, AGC, 0.000%, 12/1/2025	1,000,000	770,540
Southern Illinois University, BAM, 5.000%, 4/1/2026, Call 4/1/2025	1,175,000	1,317,833
Southwestern Illinois Development Authority:
5.000%, 10/15/2029, Call 10/15/2025	1,780,000	2,023,504
5.000%, 10/15/2032, Call 10/15/2025	1,335,000	1,497,283
Southwestern Illinois Development Authority, AGC, 5.750%, 2/1/2029, Call 2/1/2019	1,025,000	1,086,705
St. Clair County Community Unit School District No. 187 Cahokia, AGM, 5.000%, 1/1/2020	630,000	677,968
St. Louis Regional Airport Authority, 6.000%, 12/1/2024, Call 12/1/2018 (16)	745,000	789,685
State of Illinois:
5.000%, 3/1/2020	500,000	530,195
5.000%, 4/1/2024, Call 4/1/2023	500,000	550,120
5.000%, 11/1/2025	7,000,000	7,828,380
5.000%, 2/1/2027	1,000,000	1,119,270
5.000%, 2/1/2029, Call 2/1/2027	1,000,000	1,095,750
5.000%, 11/1/2033, Call 11/1/2026	8,000,000	8,506,800
5.250%, 6/15/2034, Call 6/15/2019	3,715,000	4,000,238
6.500%, 6/15/2022	300,000	337,032
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023	3,205,000	3,497,104
Stephenson County School District No. 145 Freeport, AMBAC, 0.000%, 1/1/2018	425,000	423,134
Tazewell County School District No. 51 Washington Central, NATL-RE FGIC, 9.000%, 12/1/2025	165,000	241,445
Town of Cicero:
5.000%, 1/1/2020	1,000,000	1,079,710
5.000%, 1/1/2021	1,000,000	1,109,810
Village of Bolingbrook, AGM, 5.000%, 1/1/2025, Call 1/1/2020	1,425,000	1,527,757

Village of Elwood, RADIAN:
0.000%, 3/1/2024, Call 3/1/2018	250,000	178,418
0.000%, 3/1/2026, Call 3/1/2018	1,280,000	814,771
Village of Franklin Park, BAM:
4.000%, 10/1/2018	425,000	437,928
4.000%, 10/1/2019	420,000	442,546
4.000%, 10/1/2020	615,000	661,143
5.000%, 10/1/2022, Call 10/1/2021	730,000	829,251
5.000%, 10/1/2023, Call 10/1/2021	685,000	777,263
5.000%, 10/1/2024, Call 10/1/2021	425,000	481,708
5.000%, 10/1/2025, Call 10/1/2021	920,000	1,041,201
Village of Justice, AMBAC, 0.000%, 1/1/2021	635,000	575,234
Will & Kankakee Counties School District No 255:
5.000%, 6/1/2026, Call 6/1/2025	500,000	581,680
5.000%, 6/1/2029, Call 6/1/2025	600,000	679,176
Will County Community High School District No. 210 Lincoln-Way:
5.000%, 1/1/2027, Call 1/1/2023	1,250,000	1,243,475
5.000%, 1/1/2028, Call 1/1/2023	3,500,000	3,444,385
5.000%, 1/1/2030, Call 1/1/2023	1,500,000	1,449,030
Will County Community School District No. 161 Summit Hill, NATL-RE FGIC, 0.000%, 1/1/2019	695,000	677,785
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE:
0.000%, 11/1/2020	245,000	236,300
0.000%, 11/1/2020	1,755,000	1,640,574
0.000%, 11/1/2021	55,000	52,226
0.000%, 11/1/2021	245,000	222,894
0.000%, 11/1/2022	60,000	55,952
0.000%, 11/1/2022	190,000	167,595
Will County School District No. 114 Manhattan, NATL, 0.000%, 12/1/2017	375,000	373,387
Will County School District No. 114, NATL-RE FGIC:
0.000%, 12/1/2020	1,180,000	1,098,285
0.000%, 12/1/2023	1,600,000	1,356,912
Will County Township High School District No. 204 Joliet, 6.250%, 1/1/2031, Call 1/1/2021	500,000	575,910
Will, Grundy, Etc. Counties Community College District No. 525:
5.250%, 6/1/2036, Call 12/1/2023	3,400,000	3,913,366
5.750%, 6/1/2028, Call 6/1/2018	170,000	175,700
Williamson County Community Unit School District No. 5 Carterville, AGC:
0.000%, 1/1/2029, Call 1/1/2019	300,000	166,359
0.000%, 1/1/2033, Call 1/1/2019	1,000,000	417,010
0.000%, 1/1/2034, Call 1/1/2019	1,000,000	386,460
Winnebago & Boone Counties School District No. 205 Rockford:
0.000%, 2/1/2020	500,000	474,620
4.000%, 2/1/2027, Call 2/1/2023	4,680,000	4,971,751
		250,473,512
Indiana — 2.3%
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020	350,000	385,935
City of Greenwood:
4.000%, 10/1/2017	115,000	115,223
4.250%, 10/1/2020, Call 10/1/2018	820,000	854,858
4.625%, 10/1/2024, Call 10/1/2018	520,000	544,970
City of Rockport, 1.750%, 6/1/2018 (12)	1,500,000	1,504,260
Concord Community Schools Building Corp., AGM, 5.000%, 7/15/2025, Call 7/15/2018	1,000,000	1,035,760
Damon Run Conservancy District:
4.500%, 1/1/2018	215,000	216,980
4.500%, 7/1/2018	220,000	225,188
Fishers Redevelopment District:
5.125%, 7/15/2026, Call 1/15/2020	1,875,000	2,061,281
5.250%, 7/15/2023, Call 1/15/2020	1,605,000	1,769,127
Frankfort High School Elementary School Building Corp., 5.000%, 7/15/2025	115,000	140,157
Franklin Township-Marion County Multiple School Building Corp., SAW:
5.000%, 7/10/2021	580,000	657,639
5.000%, 7/15/2029, Call 1/15/2023	2,565,000	2,985,275
Gary Chicago International Airport Authority, 5.000%, 2/1/2018 (16)	885,000	898,275
Indiana Bond Bank, 1.450% (SIFMA Municipal Swap Index Yield+66 basis points), 10/15/2022 (7)	1,650,000	1,588,884
Indiana Finance Authority:
3.000%, 7/1/2019	250,000	258,623
5.000%, 8/15/2020	700,000	753,914

5.000%, 10/1/2022	300,000	343,491
5.000%, 10/1/2023	400,000	464,288
5.000%, 10/1/2024, Call 10/1/2023	275,000	318,013
5.000%, 5/1/2029, Call 5/1/2022	4,070,000	4,536,910
5.250%, 10/1/2024, Call 10/1/2021	710,000	820,497
5.250%, 10/1/2031, Call 10/1/2021	2,190,000	2,521,435
5.250%, 11/15/2046, Call 11/15/2026	2,500,000	2,793,275
5.500%, 5/1/2024, Call 5/1/2019	1,000,000	1,070,140
Indiana Health & Educational Facilities Financing Authority, AGM, 5.250%, 11/1/2023, Call 5/1/2018	500,000	514,485
Indiana Health Facility Financing Authority, AMBAC, 1.890%, 5/1/2031, Call 9/5/2017 (12) (13)	525,000	487,293
Indiana Municipal Power Agency, 5.250%, 1/1/2024, Call 1/1/2019	500,000	529,205
Indianapolis Local Public Improvement Bond Bank:
5.000%, 1/1/2021	175,000	195,241
5.000%, 1/1/2022, Call 1/1/2021	200,000	222,786
5.750%, 1/1/2038, Call 1/1/2019	345,000	367,411
Indianapolis Local Public Improvement Bond Bank, NATL-RE, 5.250%, 7/1/2022	500,000	582,795
Lafayette Redevelopment Authority, 3.000%, 2/1/2018	95,000	95,846
Marion High School Building Corp.:
4.000%, 7/15/2019	455,000	479,980
4.000%, 7/15/2020, Call 1/15/2020	935,000	996,588
4.000%, 7/15/2021, Call 1/15/2020	375,000	399,881
North Central Campus School Building Corp., AGM, 5.250%, 7/15/2022, Call 7/15/2018	1,000,000	1,037,890
Portage Redevelopment District:
5.000%, 1/15/2023	280,000	321,401
5.000%, 1/15/2024	215,000	249,701
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021	200,000	216,586
Rush County Elementary School Building Corp., SAW, 5.250%, 7/15/2021, Call 1/15/2019	565,000	598,578
Steuben Lakes Regional Waste District, 5.000%, 9/1/2024, Call 9/1/2023	1,225,000	1,444,226
		37,604,291
Iowa — 0.4%
Iowa Finance Authority, 5.000%, 5/15/2036, Call 5/15/2026	4,000,000	4,513,240
Johnston Community School District, AGM, 5.000%, 7/1/2027, Call 7/1/2022	1,455,000	1,674,792
		6,188,032
Kansas — 0.2%
Kansas Development Finance Authority:
5.000%, 11/15/2020, Call 11/15/2019	800,000	869,736
5.000%, 3/1/2031, Call 3/1/2020	1,000,000	1,071,140
Kansas Development Finance Authority, FSA, 5.250%, 11/1/2028, Call 11/1/2018	475,000	499,030
Wyandotte County-Kansas City, 5.000%, 9/1/2032, Call 9/1/2022	1,000,000	1,146,810
		3,586,716
Kentucky — 1.1%
Kentucky Asset Liability Commission:
5.000%, 9/1/2024	1,000,000	1,208,460
5.000%, 9/1/2025	1,250,000	1,524,488
Kentucky Economic Development Finance Authority:
5.000%, 8/15/2041, Call 8/15/2027	1,500,000	1,658,295
5.000%, 8/15/2046, Call 8/15/2027	1,500,000	1,654,380
Kentucky State Property & Building Commission, NATL, 5.000%, 3/1/2022, Call 10/2/2017	35,000	35,094
Louisville/Jefferson County Metropolitan Government:
5.000%, 10/1/2030, Call 10/1/2026	1,300,000	1,534,728
5.000%, 10/1/2031, Call 10/1/2026	3,500,000	4,112,885
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019	100,000	106,358
Paducah Electric Plant Board, AGM:
5.000%, 10/1/2027, Call 10/1/2026	2,000,000	2,380,220
5.000%, 10/1/2028, Call 10/1/2026	1,850,000	2,185,331
5.000%, 10/1/2030, Call 10/1/2026	1,500,000	1,748,295
Pulaski County Public Properties Corp., 5.500%, 12/1/2024, Call 12/1/2018	260,000	274,565
		18,423,099

Louisiana — 2.4%
City of Bossier, 5.000%, 10/1/2031, Call 10/1/2024	1,160,000	1,361,608
City of New Orleans:
5.000%, 6/1/2021	800,000	906,024
5.000%, 12/1/2021	500,000	569,570
5.000%, 6/1/2022	450,000	522,855
5.000%, 12/1/2022	725,000	843,958
5.000%, 6/1/2023	500,000	591,600
5.000%, 12/1/2024	765,000	917,166
5.000%, 6/1/2026, Call 6/1/2025	150,000	181,026
5.000%, 12/1/2026, Call 12/1/2025	240,000	289,759
5.000%, 6/1/2027, Call 6/1/2025	200,000	239,158
5.000%, 6/1/2029, Call 6/1/2025	200,000	235,734
5.000%, 12/1/2029, Call 12/1/2025	350,000	413,325
City of Shreveport, BAM, 4.000%, 12/1/2025, Call 12/1/2024	2,210,000	2,488,880
Lafayette Public Trust Financing Authority, AGM:
4.000%, 10/1/2020	690,000	739,190
4.000%, 10/1/2021	675,000	734,400
Louisiana Housing Corp., GNMA/FNMA/FHLMC, 4.750%, 6/1/2027, Call 6/1/2020	715,000	746,503
Louisiana Public Facilities Authority:
3.375%, 9/1/2028, Call 3/1/2021	2,440,000	2,452,371
5.000%, 5/15/2042, Call 5/15/2027	2,500,000	2,830,000
Louisiana Stadium & Exposition District, 5.000%, 7/1/2023	800,000	944,216
Louisiana State Citizens Property Insurance Corp., 5.000%, 6/1/2020	650,000	717,015
New Orleans Aviation Board:
5.000%, 1/1/2043, Call 1/1/2027	1,500,000	1,739,625
5.000%, 1/1/2048, Call 1/1/2027	1,875,000	2,164,631
Parish of St. Bernard:
4.000%, 3/1/2020	3,470,000	3,678,304
4.000%, 3/1/2021	3,585,000	3,868,000
Port New Orleans Board of Commissioners, 5.000%, 4/1/2032, Call 4/1/2023 (16)	725,000	786,835
Regional Transit Authority, NATL-RE FGIC, 0.000%, 12/1/2021	240,000	197,278
State of Louisiana, 1.332% (LIBOR 1 Month+47 basis points), 5/1/2018, Call 11/1/2017 (7)	7,000,000	7,001,820
Terrebonne Parish Consolidated Government, 5.875%, 3/1/2024, Call 3/1/2019	495,000	531,576
		38,692,427
Maine — 0.6%
City of Portland, 5.000%, 7/1/2022	300,000	344,343
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021	7,500,000	7,880,475
Maine Turnpike Authority, 5.000%, 7/1/2029, Call 7/1/2022	1,500,000	1,734,855
		9,959,673
Maryland — 1.0%
City of Baltimore:
5.000%, 9/1/2034, Call 9/1/2027	1,000,000	1,143,620
5.000%, 9/1/2035, Call 9/1/2027	1,000,000	1,140,880
5.000%, 9/1/2036, Call 9/1/2027	1,000,000	1,138,150
5.000%, 9/1/2039, Call 9/1/2027	1,000,000	1,143,620
5.000%, 9/1/2042, Call 9/1/2027	1,000,000	1,138,150
Maryland Health & Higher Educational Facilities Authority:
5.000%, 5/15/2042, Call 5/15/2027	4,750,000	5,436,138
5.750%, 7/1/2034, Call 7/1/2021	775,000	910,369
Montgomery County Housing Opportunites Commission:
5.000%, 7/1/2031, Call 7/1/2020	655,000	710,845
5.125%, 7/1/2037, Call 7/1/2020	3,110,000	3,382,654
		16,144,426
Massachusetts — 1.1%
Commonwealth of Massachusetts, NATL-RE FGIC:
1.620%, 12/1/2030, Call 9/5/2017 (12) (13)	1,450,000	1,338,347
1.635%, 12/1/2030, Call 9/7/2017 (12) (13)	7,375,000	6,807,051
Massachusetts Development Finance Agency:
5.000%, 7/1/2025, Call 7/1/2021	1,425,000	1,623,673
5.000%, 7/1/2027, Call 7/1/2025	125,000	150,213
Massachusetts Educational Financing Authority:
5.000%, 7/1/2025, Call 7/1/2022 (16)	500,000	551,625
5.250%, 1/1/2019	445,000	463,134
5.250%, 1/1/2019 (16)	1,150,000	1,200,853
Massachusetts Health & Educational Facilities Authority, 5.000%, 7/1/2024, Call 7/1/2019	3,105,000	3,335,360
Massachusetts Housing Finance Agency, 3.700%, 12/1/2027, Call 6/1/2022 (16)	1,540,000	1,578,300
Massachusetts School Building Authority, 5.000%, 8/15/2030, Call 8/15/2022	815,000	955,033
		18,003,589

Michigan — 4.0%
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2021	890,000	1,010,497
Bay City School District, Q-SBLF:
5.000%, 11/1/2027, Call 5/1/2024	645,000	761,435
5.000%, 11/1/2028, Call 5/1/2024	1,305,000	1,530,843
Caledonia Community Schools, Q-SBLF:
5.000%, 5/1/2025	600,000	725,700
5.000%, 5/1/2026	500,000	608,425
Carman-Ainsworth Community School District, BAM, 5.000%, 5/1/2020	375,000	411,473
Charter Township of Northville:
4.000%, 4/1/2021	400,000	438,576
4.000%, 4/1/2022	240,000	267,751
Chippewa Valley Schools, Q-SBLF, 5.000%, 5/1/2027, Call 11/1/2025	20,000	23,944
City of Battle Creek, BAM, 5.000%, 6/1/2033, Call 6/1/2018	1,000,000	1,030,750
City of Detroit Sewage Disposal System Revenue, AGC NATL-RE, 5.250%, 7/1/2023, Call 10/2/2017	95,000	95,295
City of Detroit Sewage Disposal System Revenue, NATL, 0.000%, 7/1/2020	110,000	102,245
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.500%, 7/1/2035, Call 7/1/2018	1,035,000	1,074,547
City of Wyandotte, BAM:
5.000%, 10/1/2020	200,000	219,088
5.000%, 10/1/2021	290,000	324,197
5.000%, 10/1/2022	290,000	329,194
5.000%, 10/1/2023	250,000	286,963
5.000%, 10/1/2024	300,000	344,547
Coloma Community School District, Q-SBLF, 3.000%, 5/1/2021	905,000	963,038
Comstock Park Public Schools, Q-SBLF, 5.000%, 5/1/2028, Call 5/1/2021	400,000	446,096
Detroit City School District, AGM Q-SBLF, 5.250%, 5/1/2026	300,000	361,494
Dundee Community Schools, Q-SBLF:
5.000%, 5/1/2022	1,200,000	1,383,960
5.000%, 5/1/2025	1,000,000	1,201,650
Fitzgerald Public School District, BAM, 4.000%, 5/1/2019	2,065,000	2,149,975
Forest Hills Public Schools, 5.000%, 5/1/2021	1,600,000	1,805,600
Fraser Public School District, Q-SBLF:
5.000%, 5/1/2021	1,000,000	1,135,780
5.000%, 5/1/2022	1,000,000	1,165,520
5.000%, 5/1/2025	1,700,000	2,066,911
Grosse Ile Township School District, Q-SBLF:
5.000%, 5/1/2026, Call 5/1/2025	200,000	240,644
5.000%, 5/1/2027, Call 5/1/2025	230,000	273,698
Hartland Consolidated Schools, AGM Q-SBLF:
5.250%, 5/1/2026, Call 5/1/2021	1,625,000	1,824,745
5.250%, 5/1/2027, Call 5/1/2021	600,000	672,846
5.250%, 5/1/2028, Call 5/1/2021	1,575,000	1,765,039
Howell Public Schools, Q-SBLF, 4.250%, 5/1/2024, Call 5/1/2022	1,000,000	1,120,260
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020 (12)	415,000	453,865
Jenison Public Schools:
5.000%, 5/1/2021	500,000	563,490
5.000%, 5/1/2022, Call 5/1/2021	560,000	629,406
Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021	1,000,000	1,122,590
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021	1,000,000	1,114,840
Lansing School District, Q-SBLF:
5.000%, 5/1/2019	1,000,000	1,067,610
5.000%, 5/1/2020	1,825,000	2,009,544
Livonia Public Schools School District, BAM, 5.000%, 5/1/2021	1,600,000	1,796,480
Marshall Public Schools, Q-SBLF:
4.000%, 11/1/2028, Call 5/1/2025	1,380,000	1,509,237
4.000%, 11/1/2029, Call 5/1/2025	940,000	1,017,860
Mattawan Consolidated School District, Q-SBLF, 5.000%, 5/1/2019	215,000	228,986
Michigan Finance Authority:
5.000%, 11/1/2020	2,000,000	2,231,120
5.000%, 7/1/2026, Call 7/1/2025	175,000	203,196
5.000%, 7/1/2027, Call 7/1/2025	600,000	692,100
5.000%, 7/1/2029, Call 7/1/2025	950,000	1,095,103
5.000%, 7/1/2032, Call 7/1/2025	1,500,000	1,707,660
5.000%, 7/1/2034, Call 7/1/2025	500,000	561,805
5.000%, 11/15/2041, Call 11/15/2026	1,000,000	1,124,510

Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024	1,500,000	1,738,830
5.000%, 7/1/2030, Call 7/1/2024	1,500,000	1,730,670
Michigan State Housing Development Authority, 5.625%, 10/1/2031, Call 10/1/2020	850,000	920,788
North Branch Area Schools, Q-SBLF, 5.000%, 5/1/2024	200,000	237,882
Plymouth-Canton Community School District, Q-SBLF, 5.000%, 5/1/2021	450,000	512,833
Redford Union School District No. 1, AMBAC Q-SBLF, 5.000%, 5/1/2022	250,000	277,663
River Rouge School District, Q-SBLF:
5.000%, 5/1/2020	1,700,000	1,874,726
5.000%, 5/1/2021	1,155,000	1,314,043
Taylor Tax Increment Finance Authority, AGM:
3.000%, 5/1/2018	855,000	866,089
3.000%, 5/1/2019	340,000	349,190
3.250%, 5/1/2020	90,000	94,128
Wayland Union School District, AGM Q-SBLF:
5.000%, 5/1/2024, Call 5/1/2018	500,000	513,675
5.250%, 5/1/2019, Call 5/1/2018	400,000	411,588
Wayne County Airport Authority:
5.000%, 12/1/2026, Call 12/1/2025 (16)	3,000,000	3,572,250
5.000%, 12/1/2030, Call 12/1/2025	1,250,000	1,481,262
Wayne State University, AGM:
5.000%, 11/15/2025, Call 11/15/2018	230,000	241,489
5.000%, 11/15/2025, Call 11/15/2018	285,000	297,839
Western Township Utilities Authority, 4.000%, 1/1/2021	1,200,000	1,301,244
		65,028,317
Minnesota — 0.5%
City of Minneapolis, AGC:
6.500%, 11/15/2038, Call 11/15/2018	165,000	175,966
6.500%, 11/15/2038, Call 11/15/2018	905,000	963,689
City of Minneapolis/St Paul Housing & Redevelopment Authority, 4.000%, 8/15/2019	445,000	468,398
City of Minneapolis/St Paul Housing & Redevelopment Authority, AGM, 5.000%, 8/15/2025, Call 8/15/2020 (12)	215,000	236,313
City of Minneapolis/St Paul Housing & Redevelopment Authority, NATL-RE, 1.740%, 8/1/2027, Call 9/5/2017 (12) (13)	375,000	350,591
City of Winona, 3.750%, 7/1/2021	170,000	176,370
Housing & Redevelopment Authority of The City of St. Paul, 4.000%, 11/15/2043, Call 11/15/2027	1,500,000	1,570,320
Minneapolis & St. Paul Housing & Redevelopment Authority, 5.250%, 8/15/2025, Call 8/15/2020	275,000	305,489
Minnesota Higher Education Facilities Authority, 5.000%, 10/1/2019	400,000	426,220
Minnesota Housing Finance Agency, 3.900%, 7/1/2030, Call 1/1/2022	590,000	612,556
Minnesota Housing Finance Agency, GNMA, 2.600%, 9/1/2042, Call 7/1/2022	974,605	983,493
Minnesota Housing Finance Agency, GNMA/FNMA COLL:
2.250%, 12/1/2042, Call 1/1/2022	602,245	599,764
5.000%, 1/1/2031, Call 7/1/2021	625,000	665,925
		7,535,094
Mississippi — 0.3%
Mississippi Development Bank:
3.125%, 10/1/2023	185,000	190,036
5.000%, 10/1/2023	2,615,000	2,899,172
5.000%, 1/1/2027, Call 1/1/2022	1,200,000	1,396,320
Mississippi Home Corp., GNMA/FNMA/FHLMC, 6.750%, 6/1/2039, Call 6/1/2018	205,000	218,185
Mississippi State University Educational Building Corp.:
5.000%, 11/1/2021	225,000	257,661
5.000%, 11/1/2022	135,000	158,343
		5,119,717
Missouri — 2.1%
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, 5.000%, 10/1/2033, Call 10/1/2022	4,000,000	4,666,000
Chesterfield Valley Transportation Development District:
4.000%, 5/15/2019	475,000	497,691
5.000%, 5/15/2020	125,000	136,116
5.000%, 5/15/2021	490,000	545,561
City of Kansas City:
5.000%, 9/1/2021, Call 9/1/2019	500,000	538,615
5.000%, 9/1/2023, Call 9/1/2019	300,000	322,554

5.000%, 10/1/2026, Call 10/1/2025	120,000	144,618
5.000%, 10/1/2028, Call 10/1/2025	115,000	135,155
5.000%, 9/1/2032, Call 9/1/2019	1,000,000	1,069,050
Health & Educational Facilities Authority:
5.000%, 2/1/2032, Call 2/1/2026	1,000,000	1,123,060
5.000%, 11/15/2034, Call 5/15/2026	3,000,000	3,470,850
Independence School District, SAW, 5.250%, 3/1/2030, Call 3/1/2021	2,000,000	2,267,660
Joplin Industrial Development Authority, 5.000%, 2/15/2020	330,000	358,581
Lees Summit Industrial Development Authority:
5.000%, 8/15/2036, Call 8/15/2024	1,000,000	1,066,010
5.000%, 8/15/2046, Call 8/15/2024	2,000,000	2,104,480
Missouri Health & Educational Facilities Authority, 5.000%, 2/1/2024, Call 2/1/2021	1,050,000	1,143,702
Missouri Housing Development Commission, 5.000%, 11/1/2027, Call 11/1/2019	280,000	289,094
Missouri Housing Development Commission, GNMA/FNMA/FHLMC:
3.800%, 5/1/2025, Call 5/1/2021	690,000	728,778
4.000%, 5/1/2027, Call 5/1/2021	680,000	716,230
Missouri State Environmental Improvement & Energy Resources Authority:
5.750%, 1/1/2029, Call 1/1/2019	685,000	728,559
5.750%, 1/1/2029, Call 1/1/2019	65,000	69,143
Missouri State Health & Educational Facilities Authority:
3.750%, 2/15/2018	950,000	957,971
5.250%, 10/1/2031, Call 10/1/2021	1,000,000	1,139,420
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 3/1/2018	2,900,000	2,903,973
St. Louis Regional Convention & Sports Complex Authority, 5.000%, 8/15/2020	3,050,000	3,375,588
Stone County Reorganized School District No. 4 Reeds Spring, SAW:
5.000%, 3/1/2030, Call 3/1/2020	1,000,000	1,095,640
5.000%, 3/1/2031, Call 3/1/2020	750,000	821,730
5.000%, 3/1/2032, Call 3/1/2020	1,000,000	1,095,640
		33,511,469
Nebraska — 0.4%
Central Plains Energy Project, 5.000%, 12/1/2019 (12)	1,000,000	1,080,340
Lancaster County Hospital Authority No. 1, 5.500%, 1/1/2030, Call 1/1/2020	1,000,000	1,083,420
Nebraska Public Power District:
5.000%, 1/1/2025, Call 1/1/2018	750,000	760,215
5.000%, 1/1/2032, Call 1/1/2022	1,000,000	1,134,620
Omaha-Douglas Public Building Commission:
5.000%, 5/1/2026, Call 5/1/2022	825,000	959,533
5.000%, 5/1/2027, Call 5/1/2022	585,000	679,822
5.000%, 5/1/2028, Call 5/1/2022	550,000	637,802
5.000%, 5/1/2029, Call 5/1/2022	660,000	764,069
		7,099,821
Nevada — 1.3%
County of Clark, 5.000%, 7/1/2028, Call 7/1/2019	2,180,000	2,341,320
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	1,200,000	1,412,484
5.000%, 7/1/2030, Call 7/1/2024	1,000,000	1,172,240
5.000%, 7/1/2040, Call 7/1/2027	4,000,000	4,679,600
County of Washoe:
5.000%, 2/1/2033, Call 2/1/2019	3,920,000	4,126,545
5.500%, 2/1/2028, Call 2/1/2019	1,000,000	1,063,970
Las Vegas Valley Water District, 5.000%, 6/1/2028, Call 6/1/2022	5,115,000	5,958,412
		20,754,571
New Hampshire — 0.1%
New Hampshire Housing Finance Authority:
4.500%, 1/1/2029, Call 7/1/2020	365,000	378,173
4.800%, 7/1/2028, Call 1/1/2022	965,000	1,008,946
		1,387,119
New Jersey — 3.7%
New Jersey Economic Development Authority:
5.000%, 6/15/2019	3,000,000	3,145,350
5.000%, 6/15/2020	1,500,000	1,604,460
5.000%, 11/1/2021	4,600,000	5,091,004
5.500%, 6/15/2030, Call 12/15/2026	2,500,000	2,910,175
New Jersey Health Care Facilities Financing Authority, 5.000%, 7/1/2042, Call 7/1/2027	1,500,000	1,723,185

New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019	6,520,000	6,905,658
New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021	375,000	390,135
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022	3,440,000	3,928,824
5.000%, 1/1/2035, Call 1/1/2022	1,685,000	1,895,372
New Jersey State Turnpike Authority, NATL-RE:
1.365%, 1/1/2030, Call 9/5/2017 (12) (13)	350,000	316,493
1.365%, 1/1/2030, Call 9/7/2017 (12) (13)	475,000	429,522
1.367%, 1/1/2030, Call 9/1/2017 (12) (13)	1,900,000	1,718,138
1.418%, 1/1/2030, Call 9/1/2017 (12) (13)	500,000	452,142
New Jersey Transportation Trust Fund Authority:
1.790% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (7)	5,000,000	4,940,650
5.000%, 6/15/2022	500,000	560,700
5.000%, 6/15/2032, Call 12/15/2024	5,000,000	5,471,050
5.250%, 12/15/2023, Call 12/15/2018	1,355,000	1,421,720
5.250%, 12/15/2023	240,000	278,554
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022	5,000,000	5,462,500
5.000%, 6/15/2033, Call 6/15/2022	3,000,000	3,226,200
5.250%, 6/15/2033, Call 6/15/2023	5,635,000	6,214,391
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024	440,000	374,444
New Jersey Turnpike Authority:
5.000%, 1/1/2031, Call 1/1/2025	500,000	587,505
5.000%, 1/1/2040, Call 1/1/2028	1,000,000	1,182,180
		60,230,352
New Mexico — 1.3%
City of Farmington, 1.875%, 4/1/2020 (12)	2,000,000	2,032,520
City of Santa Fe, 4.000%, 6/1/2025, Call 6/1/2022	655,000	727,364
New Mexico Finance Authority:
5.000%, 6/1/2026, Call 6/1/2018	2,395,000	2,467,018
5.700%, 6/1/2026, Call 6/1/2018	465,000	481,577
5.800%, 6/1/2027, Call 6/1/2018	825,000	855,517
New Mexico Mortgage Finance Authority, GNMA, 2.600%, 2/1/2043, Call 1/1/2023	912,683	920,624
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC:
4.500%, 9/1/2024, Call 9/1/2019	195,000	201,743
5.650%, 9/1/2039, Call 3/1/2019	245,000	255,995
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC COLL:
4.625%, 3/1/2028, Call 9/1/2021	615,000	640,166
5.350%, 3/1/2030, Call 9/1/2020	1,505,000	1,584,208
New Mexico Municipal Energy Acquisition Authority, 1.575% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (7)	10,000,000	10,001,500
		20,168,232
New York — 6.1%
Albany Capital Resource Corp.:
5.000%, 12/1/2023	150,000	174,915
5.000%, 12/1/2024	200,000	235,362
Buffalo & Erie County Industrial Land Development Corp.:
5.000%, 6/1/2035, Call 6/1/2024	1,000,000	1,084,130
5.000%, 8/1/2037, Call 8/1/2027	1,300,000	1,375,933
5.000%, 8/1/2047, Call 8/1/2027	1,000,000	1,046,070
Byron-Bergen Central School District, AGM SAW, 3.000%, 6/15/2018	1,215,000	1,235,412
City of New York, 0.860%, 8/1/2024, Call 9/1/2017 (12)	1,000,000	1,000,000
City of New York, AGC, 0.820%, 10/1/2021, Call 9/5/2017 (12) (13)	400,000	400,000
City of New York, AGM, 0.920%, 11/1/2026 (12)	7,800,000	7,800,000
Long Island Power Authority, 1.512% (LIBOR 1 Month+65 basis points), 11/1/2018, Call 5/1/2018 (7)	2,500,000	2,505,600
Metropolitan Transportation Authority:
1.175% (LIBOR 1 Month+35 basis points), 11/1/2017, Call 10/2/2017 (7)	2,800,000	2,800,112
5.000%, 11/15/2036, Call 11/15/2026	2,325,000	2,741,036
Metropolitan Transportation Authority, AGM, 1.450% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 11/15/2017 (7)	3,950,000	3,952,568
New York City Transitional Finance Authority:
0.920%, 8/1/2022, Call 9/1/2017 (12)	5,855,000	5,855,000
0.920%, 8/1/2023, Call 9/1/2017 (12)	4,600,000	4,600,000
5.000%, 11/1/2024, Call 11/1/2022	5,715,000	6,765,474

5.000%, 11/1/2026, Call 5/1/2025	1,000,000	1,222,990
5.000%, 11/1/2026, Call 5/1/2025	2,000,000	2,445,980
5.000%, 2/1/2038, Call 2/1/2027	4,000,000	4,733,840
5.000%, 2/1/2039, Call 2/1/2027	4,000,000	4,722,960
New York City Water & Sewer System:
0.920%, 6/15/2032, Call 9/15/2017 (12)	3,400,000	3,400,000
5.000%, 6/15/2028, Call 6/15/2024	500,000	604,090
5.000%, 6/15/2029, Call 6/15/2024	600,000	722,778
New York Convention Center Development Corp., 0.000%, 11/15/2032	1,250,000	754,600
New York Mortgage Agency, 5.000%, 10/1/2019	500,000	533,510
New York State Dormitory Authority:
5.000%, 3/15/2027, Call 3/15/2022	7,555,000	8,765,084
5.000%, 3/15/2028, Call 3/15/2019	625,000	664,413
5.000%, 12/1/2035, Call 6/1/2027 (6)	500,000	551,505
5.000%, 12/1/2037, Call 6/1/2027 (6)	500,000	549,700
6.000%, 7/1/2038, Call 7/1/2020	1,000,000	1,110,260
New York State Dormitory Authority, NATL-RE, 2.281%, 7/1/2029, Call 9/5/2017 (12) (13)	2,800,000	2,548,538
New York State Energy Research & Development Authority, NATL-RE, 1.365%, 12/1/2020, Call 9/6/2017 (12) (13)	6,450,000	6,232,183
New York State Housing Finance Agency:
0.860%, 5/1/2042, Call 9/1/2017 (12)	2,545,000	2,545,000
0.860%, 5/1/2042, Call 9/1/2017 (12)	750,000	750,000
New York State Urban Development Corp., 5.000%, 3/15/2028, Call 3/15/2023	1,000,000	1,182,000
New York Transportation Development Corp., 5.000%, 7/1/2034, Call 7/1/2024 (16)	1,250,000	1,397,375
New York Transportation Development Corp., AGM, 4.000%, 7/1/2032, Call 7/1/2024 (16)	2,500,000	2,648,300
State of New York, NATL-RE FGIC:
1.757%, 2/15/2022, Call 9/7/2017 (12) (13)	1,045,000	1,016,530
1.757%, 2/13/2032, Call 9/7/2017 (12) (13)	2,080,000	1,949,440
Town of Oyster Bay, 3.500%, 6/1/2018	1,000,000	1,011,850
TSASC, Inc.:
5.000%, 6/1/2036, Call 6/1/2027	1,000,000	1,136,060
5.000%, 6/1/2041, Call 6/1/2027	1,000,000	1,124,560
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2021	500,000	557,740
		98,452,898
North Carolina — 0.8%
County of Catawba:
4.000%, 10/1/2025, Call 10/1/2021	585,000	634,795
5.000%, 10/1/2023, Call 10/1/2021	1,000,000	1,146,610
5.000%, 10/1/2024, Call 10/1/2021	835,000	957,060
County of Cumberland, 5.125%, 12/1/2028, Call 12/1/2019	250,000	273,270
County of Union:
5.000%, 12/1/2026, Call 6/1/2023	1,390,000	1,642,980
5.000%, 12/1/2027, Call 6/1/2023	1,645,000	1,942,416
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	180,000	187,240
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021	340,000	356,286
North Carolina Medical Care Commission:
4.000%, 6/1/2020	470,000	504,653
5.000%, 6/1/2027, Call 6/1/2022	500,000	564,305
North Carolina Turnpike Authority, State Appropriation, 5.000%, 7/1/2047, Call 7/1/2026	750,000	834,098
Orange County Public Facilities, 5.000%, 10/1/2026, Call 10/1/2022	1,130,000	1,329,603
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020	1,690,000	1,850,178
		12,223,494
North Dakota — 1.3%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2021	635,000	665,772
4.500%, 5/1/2030, Call 5/1/2021	1,515,000	1,563,844
4.500%, 5/1/2033, Call 5/1/2021	1,850,000	1,889,905
City of Dickinson, 5.000%, 10/1/2025, Call 10/1/2021	2,240,000	2,417,498
City of Grand Forks:
4.000%, 12/1/2019	535,000	567,212
5.000%, 12/1/2032, Call 12/1/2021	1,000,000	1,083,520
City of West Fargo, 3.000%, 5/1/2023, Call 10/2/2017	185,000	185,120
North Dakota Public Finance Authority:
4.000%, 6/1/2023	2,440,000	2,761,104
4.000%, 6/1/2024, Call 6/1/2023	2,190,000	2,452,690
4.000%, 6/1/2025, Call 6/1/2023	1,145,000	1,265,878

North Dakota State Housing Finance Agency, 5.250%, 1/1/2029, Call 7/1/2019	500,000		526,155
Williston Parks & Recreation District:
4.500%, 3/1/2020	1,205,000		1,208,928
4.500%, 3/1/2025, Call 3/1/2021	2,525,000		2,415,011
4.625%, 3/1/2026, Call 3/1/2021	2,620,000		2,486,616
			21,489,253
Ohio — 4.0%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	1,000,000		1,126,890
Brookfield Local School District, AGM, 5.000%, 1/15/2030, Call 1/15/2018	400,000		405,672
City of Chillicothe, 5.000%, 12/1/2037, Call 12/1/2027	3,000,000	��	3,442,620
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021	2,320,000		2,574,759
5.000%, 10/1/2024, Call 10/1/2022	460,000		537,570
5.000%, 10/1/2028, Call 10/1/2022	1,075,000		1,247,731
5.000%, 10/1/2029, Call 10/1/2022	1,130,000		1,307,998
5.000%, 10/1/2029, Call 10/1/2022	2,290,000		2,650,721
5.000%, 1/1/2031, Call 1/1/2022	1,270,000		1,411,287
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022	3,900,000		4,374,864
5.000%, 1/1/2031, Call 1/1/2022	1,000,000		1,120,440
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021	1,000,000		1,103,670
Cleveland Department of Public Utilities Division of Water:
4.000%, 1/1/2028, Call 1/1/2024	500,000		553,440
4.000%, 1/1/2029, Call 1/1/2024	1,000,000		1,097,580
4.000%, 1/1/2030, Call 1/1/2024	1,000,000		1,087,150
Cleveland Heights & University Heights City School District:
0.000%, 12/1/2024	400,000		344,128
0.000%, 12/1/2025	600,000		496,998
Cleveland-Cuyahoga County Port Authority, 5.000%, 10/1/2022, Call 10/1/2020	1,000,000		1,119,640
County of Franklin:
5.000%, 5/15/2028, Call 5/15/2023	2,000,000		2,320,040
5.000%, 7/1/2029, Call 7/1/2026	2,000,000		2,227,460
5.000%, 5/15/2031, Call 5/15/2023	405,000		463,709
County of Hamilton:
5.000%, 12/1/2029, Call 12/1/2021	975,000		1,106,800
5.000%, 1/1/2031, Call 1/1/2026	1,350,000		1,489,873
County of Hancock, 5.750%, 12/1/2026, Call 6/1/2021	1,120,000		1,278,256
County of Lorain, AMBAC:
2.524%, 10/1/2030 (12) (13)	500,000		477,361
2.534%, 10/1/2030 (12) (13)	4,350,000		4,100,123
County of Lucas, 5.000%, 11/15/2022, Call 11/15/2021	925,000		1,060,901
Delaware City School District, 5.250%, 12/1/2038, Call 6/1/2023	1,240,000		1,450,738
Elyria City School District, School District Credit Program:
4.000%, 12/1/2026, Call 12/1/2022	480,000		525,984
4.000%, 12/1/2027, Call 12/1/2022	1,160,000		1,263,901
4.000%, 12/1/2028, Call 12/1/2022	1,130,000		1,224,807
Johnstown-Monroe Local School District, 5.000%, 12/1/2030, Call 12/1/2021	715,000		830,094
Lake County Community College District:
4.000%, 12/1/2022, Call 12/1/2019	695,000		737,638
4.000%, 12/1/2024, Call 12/1/2019	835,000		881,292
4.000%, 12/1/2025, Call 12/1/2019	855,000		899,494
Lake Local School District/Stark County, School District Credit Program:
4.000%, 12/1/2023, Call 12/1/2021	1,550,000		1,715,168
4.000%, 12/1/2025, Call 12/1/2021	1,660,000		1,818,945
Liberty Local School District, AGM, 4.500%, 12/1/2018	885,000		923,285
New Albany Community Authority:
4.000%, 10/1/2020	590,000		634,451
5.000%, 10/1/2022	1,000,000		1,163,320
5.000%, 10/1/2023, Call 10/1/2022	1,105,000		1,290,165
North Olmsted City School District:
5.000%, 12/1/2027, Call 12/1/2023	220,000		260,207
5.000%, 12/1/2028, Call 12/1/2023	365,000		430,528
5.000%, 12/1/2029, Call 12/1/2023	500,000		589,125
Ohio Higher Educational Facility Commission:
4.000%, 12/1/2020	1,050,000		1,125,022
4.000%, 12/1/2021	795,000		865,668
4.000%, 12/1/2022	845,000		930,810

Ohio Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.200%, 9/1/2029, Call 9/1/2018	1,115,000	1,141,336
Ohio State Turnpike Commission, 5.250%, 2/15/2033, Call 2/15/2023	1,330,000	1,558,547
Ohio State Water Development Authority, 5.000%, 6/1/2022	1,100,000	1,294,645
Ohio University, 5.000%, 12/1/2028, Call 6/1/2022	225,000	258,755
University of Toledo, 5.000%, 6/1/2030, Call 6/1/2021	250,000	279,063
		64,620,669
Oklahoma — 0.9%
Cushing Educational Facilities Authority, 5.000%, 9/1/2022	2,000,000	2,320,460
Delaware County Justice Authority:
3.750%, 9/1/2029, Call 10/2/2017	2,365,000	2,367,933
4.000%, 9/1/2018	415,000	427,687
4.000%, 9/1/2019	740,000	777,407
4.000%, 9/1/2020	700,000	749,854
4.000%, 9/1/2021	805,000	876,065
Oklahoma Housing Finance Agency, GNMA:
2.500%, 3/1/2022	405,000	415,315
3.300%, 3/1/2031, Call 3/1/2022	985,000	1,014,422
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC, 6.500%, 9/1/2038, Call 9/1/2018	90,000	92,021
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.250%, 9/1/2029, Call 3/1/2019	5,000	5,022
Tulsa Airports Improvement Trust, BAM, 5.000%, 6/1/2028, Call 6/1/2023 (16)	1,405,000	1,596,389
Tulsa County Industrial Authority:
5.250%, 11/15/2037, Call 11/15/2025	1,500,000	1,674,960
5.250%, 11/15/2045, Call 11/15/2025	1,500,000	1,660,365
		13,977,900
Oregon — 0.8%
City of Portland, 5.000%, 6/15/2027, Call 6/15/2022	1,000,000	1,130,590
City of Tigard, 5.000%, 8/1/2029, Call 8/1/2022	690,000	801,959
City of Woodburn:
0.000%, 3/1/2020	1,380,000	1,323,779
0.000%, 3/1/2021	1,215,000	1,141,420
Clackamas & Washington Counties School District No. 3, NATL-RE FGIC School Bond Gty, 0.000%, 6/15/2023	2,000,000	1,816,860
Klamath Falls Intercommunity Hospital Authority:
5.000%, 9/1/2021	250,000	283,732
5.000%, 9/1/2022	505,000	586,179
Port of Morrow:
3.500%, 6/1/2020, Call 6/1/2019	210,000	217,829
3.750%, 6/1/2021, Call 6/1/2019	220,000	229,374
4.000%, 6/1/2022, Call 6/1/2019	235,000	245,937
Port of Portland, 5.500%, 7/1/2031, Call 7/1/2021	3,000,000	3,438,960
State of Oregon Housing & Community Services Department, 4.450%, 7/1/2023, Call 1/1/2020 (16)	870,000	911,586
		12,128,205
Pennsylvania — 2.3%
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021	500,000	553,810
City of Pittsburgh, 4.000%, 9/1/2021	750,000	826,260
Geisinger Authority, 5.000%, 2/15/2039, Call 2/15/2027	2,500,000	2,910,650
Kiski Area School District, AGM SAW, 4.000%, 3/1/2021	1,450,000	1,570,103
Lancaster Industrial Development Authority:
5.000%, 5/1/2021	360,000	395,183
5.000%, 5/1/2022	430,000	478,328
Lehigh County General Purpose Authority, 4.000%, 11/1/2019	555,000	585,608
Montgomery County Industrial Development Authority, 6.250%, 11/15/2029, Call 11/15/2019	715,000	796,824
Montgomery County Industrial Development Authority, FHA, 5.000%, 8/1/2024, Call 8/1/2020	1,350,000	1,504,521
Nazareth Area School District, SAW, 1.357% (LIBOR 1 Month+52 basis points), 2/1/2018, Call 9/21/2017 (7)	500,000	499,605
Pennsylvania Economic Development Financing Authority, AGM:
0.000%, 1/1/2020	600,000	569,658
0.000%, 1/1/2021	600,000	554,682
5.000%, 1/1/2022	305,000	342,405
Pennsylvania Housing Finance Agency, 4.200%, 10/1/2033, Call 10/1/2022 (16)	2,240,000	2,352,045

Pennsylvania Turnpike Commission:
1.470% (SIFMA Municipal Swap Index Yield+68 basis points), 12/1/2018, Call 6/1/2018 (7)	2,850,000	2,856,099
1.770% (SIFMA Municipal Swap Index Yield+98 basis points), 12/1/2021, Call 6/1/2021 (7)	5,000,000	5,075,000
4.000%, 12/1/2023, Call 12/1/2019	105,000	112,043
4.000%, 12/1/2023, Call 12/1/2019	95,000	100,180
5.000%, 6/1/2021, Call 6/1/2019	715,000	766,280
5.000%, 12/1/2030, Call 12/1/2020 (15)	215,000	242,314
5.000%, 12/1/2030, Call 12/1/2020 (15)	120,000	135,245
5.000%, 12/1/2030, Call 12/1/2020 (15)	250,000	276,530
5.500%, 12/1/2042, Call 12/1/2026	3,000,000	3,574,290
6.000%, 12/1/2034, Call 12/1/2020 (15)	55,000	63,734
6.000%, 12/1/2034, Call 12/1/2020 (15)	70,000	81,117
6.000%, 12/1/2034, Call 12/1/2020 (15)	270,000	312,879
6.000%, 12/1/2036, Call 12/1/2020	975,000	1,129,840
Pittsburgh Public Schools, BAM SAW, 5.000%, 9/1/2024, Call 9/1/2022	1,000,000	1,175,430
Pocono Mountain School District, AGM SAW, 4.000%, 6/15/2021	2,785,000	3,067,594
Sayre Health Care Facilities Authority, 1.585% (LIBOR 3 Month+78 basis points), 12/1/2024, Call 12/1/2017 (7)	225,000	220,471
Scranton School District, SAW, 1.837% (LIBOR 1 Month+100 basis points), 4/2/2018, Call 10/2/2017 (7)	3,305,000	3,304,967
State Public School Building Authority, SAW, 1.625% (LIBOR 1 Month+80 basis points), 9/1/2018, Call 3/1/2018 (7)	1,425,000	1,431,840
		37,865,535
Rhode Island — 0.7%
Rhode Island Housing & Mortgage Finance Corp., 3.625%, 10/1/2029, Call 10/1/2021	760,000	798,745
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (16)	300,000	308,010
3.950%, 12/1/2017	250,000	251,592
4.000%, 12/1/2022, Call 12/1/2021 (16)	2,885,000	3,082,997
4.200%, 12/1/2018, Call 12/1/2017	600,000	605,052
4.250%, 12/1/2020, Call 12/1/2017	500,000	503,010
4.250%, 12/1/2025, Call 12/1/2021 (16)	2,205,000	2,313,795
4.500%, 12/1/2021, Call 12/1/2017	1,000,000	1,006,420
4.750%, 12/1/2028, Call 12/1/2021 (16)	1,000,000	1,050,380
4.750%, 12/1/2029, Call 12/1/2021 (16)	275,000	288,412
Town of Cumberland:
4.000%, 3/15/2024	795,000	907,477
4.000%, 3/15/2026, Call 3/15/2024	460,000	516,014
		11,631,904
South Carolina — 1.0%
City of Rock Hill, AGM:
5.250%, 1/1/2026, Call 1/1/2022	730,000	833,543
5.250%, 1/1/2028, Call 1/1/2022	475,000	542,374
County of Dorchester:
5.000%, 10/1/2022	480,000	563,246
5.000%, 10/1/2026, Call 10/1/2022	400,000	468,944
County of Florence:
5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,219,960
5.000%, 11/1/2030, Call 11/1/2020	500,000	541,610
5.000%, 11/1/2031, Call 11/1/2024	360,000	414,529
Piedmont Municipal Power Agency, AGM:
5.000%, 1/1/2030, Call 7/1/2021	450,000	504,680
5.750%, 1/1/2034, Call 7/1/2021	1,000,000	1,153,140
South Carolina Jobs-Economic Development Authority, 5.000%, 7/1/2022	1,735,000	1,965,287
South Carolina Public Service Authority, 5.000%, 12/1/2032, Call 12/1/2026	3,265,000	3,808,296
South Carolina State Housing Finance & Development Authority, 5.000%, 1/1/2028, Call 7/1/2019	85,000	88,676
South Carolina State Public Service Authority, 5.500%, 1/1/2038, Call 1/1/2019	920,000	976,129
Spartanburg Sanitation Sewer District, 5.000%, 3/1/2030, Call 3/1/2023	1,500,000	1,736,940
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call 4/1/2021	900,000	989,289
		16,806,643
South Dakota — 1.0%
City of Rapid City:
5.500%, 12/1/2022, Call 12/1/2019	225,000	240,140
6.750%, 12/1/2031, Call 12/1/2019	500,000	540,570
7.000%, 12/1/2035, Call 12/1/2019	750,000	811,485

South Dakota Health & Educational Facilities Authority:
4.000%, 11/1/2021	500,000	552,475
4.250%, 9/1/2023	740,000	842,897
4.500%, 9/1/2018	500,000	518,540
4.500%, 9/1/2020	900,000	987,417
4.500%, 9/1/2021, Call 9/1/2020	1,080,000	1,175,926
4.500%, 9/1/2022, Call 9/1/2020	1,005,000	1,090,264
5.000%, 9/1/2019	200,000	215,652
5.000%, 11/1/2022	715,000	837,472
5.000%, 8/1/2023	375,000	443,985
5.000%, 11/1/2023	625,000	744,588
5.000%, 8/1/2024	195,000	234,211
5.000%, 11/1/2024, Call 11/1/2019	1,000,000	1,081,620
5.000%, 11/1/2024	650,000	783,673
5.000%, 11/1/2025, Call 11/1/2024	600,000	714,984
5.000%, 9/1/2027, Call 9/1/2024	720,000	834,221
South Dakota Housing Development Authority, 3.750%, 5/1/2018	290,000	295,469
South Dakota Housing Development Authority, FHLMC COLL, 3.550%, 11/1/2033, Call 11/1/2022	2,355,000	2,387,640
		15,333,229
Tennessee — 1.4%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call 1/1/2027	5,815,000	6,537,688
Metropolitan Government Nashville & Davidson County Health & Educational Faciilities Board, 5.000%, 7/1/2031, Call 7/1/2026	1,000,000	1,168,280
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board:
5.000%, 11/1/2027, Call 11/1/2021	500,000	546,970
5.000%, 7/1/2040, Call 7/1/2026	1,350,000	1,530,940
Public Building Authority of Sevier County, AMBAC, 1.365%, 6/1/2018 (12) (13)	200,000	197,630
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023	5,310,000	6,121,846
5.250%, 9/1/2021	3,810,000	4,346,524
5.250%, 9/1/2022	250,000	291,605
Tennessee Housing Development Agency:
4.000%, 7/1/2025, Call 1/1/2021	905,000	954,024
4.125%, 1/1/2025, Call 1/1/2021	655,000	692,224
4.500%, 7/1/2028, Call 1/1/2020	190,000	197,980
5.000%, 1/1/2027, Call 7/1/2019	140,000	145,001
		22,730,712
Texas — 6.6%
Brazoria-Fort Bend County Municipal Utility District No. 1, MAC, 3.000%, 9/1/2020	700,000	731,801
Capital Area Cultural Education Facilities Finance Corp.:
5.000%, 4/1/2019	1,000,000	1,046,430
5.250%, 4/1/2021, Call 4/1/2020	400,000	429,788
Central Texas Regional Mobility Authority, 0.000%, 1/1/2025	1,000,000	815,260
City of Beaumont:
5.000%, 9/1/2026, Call 9/1/2025	1,000,000	1,226,200
5.000%, 9/1/2027, Call 9/1/2025	600,000	728,790
5.000%, 9/1/2030, Call 9/1/2025	1,000,000	1,191,130
City of Galveston, 4.625%, 2/1/2024, Call 2/1/2021	1,130,000	1,206,693
City of Houston, 5.000%, 9/1/2026, Call 9/1/2024	250,000	294,568
City of Houston Combined Utility System:
5.000%, 11/15/2028, Call 11/15/2025	3,540,000	4,302,870
5.000%, 11/15/2028, Call 11/15/2027	3,000,000	3,772,440
City of Houston, AMBAC, 0.000%, 9/1/2019	400,000	385,332
City of Houston, XLCA, 2.474%, 7/1/2032 (12) (16) (13)	425,000	407,163
City of Laredo International Toll Bridge, AGM:
5.000%, 10/1/2026, Call 10/1/2024	225,000	266,681
5.000%, 10/1/2027, Call 10/1/2024	240,000	283,255
City of San Antonio, 1.190% (SIFMA Municipal Swap Index Yield+40 basis points), 11/1/2017 (7)	1,600,000	1,600,480
City of San Marcos:
4.500%, 11/1/2028, Call 11/1/2022	600,000	663,162
5.000%, 11/1/2033, Call 11/1/2022	1,215,000	1,386,837
Clifton Higher Education Finance Corp., PSF:
5.000%, 8/15/2026, Call 8/15/2025	675,000	819,140
5.000%, 8/15/2027, Call 8/15/2025	545,000	655,188

5.000%, 8/15/2028, Call 8/15/2025	835,000	996,447
5.000%, 8/15/2029, Call 8/15/2025	335,000	397,102
5.000%, 8/15/2030, Call 8/15/2025	1,250,000	1,473,813
Corpus Christi Business & Job Development Corp., 5.000%, 9/1/2022	1,000,000	1,160,750
County of Bexar, AGM, 5.000%, 8/15/2031, Call 8/15/2024	1,280,000	1,479,219
County of Bowie, AGM:
4.000%, 8/1/2021, Call 10/2/2017	1,275,000	1,277,703
4.000%, 8/1/2024, Call 10/2/2017	1,315,000	1,317,564
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021	4,000,000	4,433,360
Crane County Water District:
5.000%, 2/15/2026, Call 2/15/2025	915,000	1,078,968
5.000%, 2/15/2030, Call 2/15/2025	1,000,000	1,139,640
Cypress-Fairbanks Independent School District, PSF, 5.000%, 2/15/2034, Call 2/15/2021	675,000	755,399
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022	1,000,000	1,178,890
5.000%, 11/1/2032, Call 11/1/2020	5,000,000	5,564,650
5.000%, 11/1/2033, Call 11/1/2023	2,000,000	2,324,300
5.250%, 11/1/2033, Call 11/1/2023	1,200,000	1,420,884
Forney Independent School District, PSF, 6.000%, 8/15/2037, Call 8/15/2018	1,840,000	1,929,222
Georgetown Independent School District, PSF, 5.000%, 8/15/2025, Call 8/15/2020	645,000	714,641
Grand Parkway Transportation Corp., 0.000%, 10/1/2030, Call 10/1/2028 (15)	1,000,000	966,530
Gulf Coast Waste Disposal Authority, AGM:
5.000%, 10/1/2029, Call 10/1/2022	1,430,000	1,659,772
5.000%, 10/1/2030, Call 10/1/2022	1,505,000	1,744,446
Harris County Cultural Education Facilities Finance Corp.:
1.540% (SIFMA Municipal Swap Index Yield+75 basis points), 6/1/2020 (7)	2,000,000	2,012,680
1.620% (SIFMA Municipal Swap Index Yield+83 basis points), 6/1/2021 (7)	2,400,000	2,421,864
5.250%, 10/1/2029, Call 10/1/2019	1,550,000	1,685,920
Harris County Municipal Utility District No. 165, BAM, 5.000%, 3/1/2025	400,000	479,048
Harris County Municipal Utility District No. 374, AGM, 5.000%, 9/1/2036, Call 9/1/2019	550,000	594,292
La Vernia Higher Education Finance Corp., 5.000%, 8/15/2018	150,000	155,652
Lancaster Independent School District, BAM, 4.000%, 2/15/2029, Call 2/15/2025	3,000,000	3,276,090
Lower Colorado River Authority:
5.000%, 5/15/2026, Call 5/15/2025	695,000	836,349
5.000%, 5/15/2027, Call 5/15/2025	1,355,000	1,618,900
Lower Colorado River Authority, BHAC, 5.250%, 5/15/2028, Call 5/15/2018	675,000	694,616
Mesquite Independent School District, PSF, 0.000%, 8/15/2021	635,000	604,564
Nacogdoches County Hospital District, AGM:
3.000%, 5/15/2018	495,000	500,975
3.000%, 5/15/2019	510,000	523,418
New Hope Cultural Education Facilities Finance Corp.:
5.000%, 7/1/2030, Call 7/1/2025	750,000	838,305
5.000%, 11/15/2031, Call 11/15/2024	850,000	908,718
5.000%, 8/15/2036, Call 8/15/2021 (6)	1,700,000	1,727,744
5.000%, 8/15/2037, Call 8/15/2021 (6)	1,260,000	1,274,893
5.500%, 8/15/2036, Call 8/15/2021	1,000,000	1,024,110
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2024	440,000	482,544
Nolan County Hospital District:
5.000%, 8/15/2022	310,000	354,491
5.000%, 8/15/2023	250,000	290,600
5.000%, 8/15/2024	200,000	235,442
North Texas Tollway Authority:
1.590% (SIFMA Municipal Swap Index Yield+80 basis points), 1/1/2019, Call 7/1/2018 (7)	1,750,000	1,756,248
5.000%, 1/1/2027, Call 1/1/2025	2,090,000	2,508,585
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019	1,725,000	1,835,883
North Texas Tollway Authority, BHAC:
5.125%, 1/1/2028, Call 1/1/2018	435,000	441,029
5.125%, 1/1/2028, Call 1/1/2018	65,000	65,829
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 2/1/2018 (12)	2,085,000	2,093,298
Pleasanton Independent School District, PSF, 5.000%, 8/15/2029, Call 8/15/2024	1,000,000	1,173,000
Sabine River Authority, MBIA, 4.950%, 3/1/2018	370,000	377,359
San Antonio Municipal Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021	500,000	563,665
Sienna Plantation Levee Improvement District, BAM, 4.000%, 9/1/2020	400,000	431,776
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 9/21/2017	1,000,000	1,000,980
5.000%, 10/1/2028, Call 10/1/2023	2,030,000	2,333,850
5.000%, 5/15/2037, Call 5/15/2024	5,145,000	5,461,057
5.000%, 11/15/2037, Call 11/15/2027	2,175,000	2,500,837

Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2021	2,000,000	2,293,240
Waco Independent School District, PSF:
4.000%, 8/15/2028, Call 8/15/2024	1,000,000	1,107,810
4.000%, 8/15/2029, Call 8/15/2024	2,380,000	2,618,928
		106,331,097
Utah — 0.8%
Central Utah Water Conservancy District:
5.000%, 10/1/2026, Call 10/1/2019	850,000	921,102
5.000%, 10/1/2028, Call 10/1/2019	1,000,000	1,083,650
City of Draper, 5.000%, 5/1/2032, Call 5/1/2022	325,000	375,772
City of Riverton:
5.250%, 12/1/2034, Call 6/1/2023	1,455,000	1,721,265
5.250%, 12/1/2036, Call 6/1/2023	2,150,000	2,530,657
Jordan Valley Water Conservancy District, 5.000%, 10/1/2035, Call 4/1/2021	920,000	1,034,568
Uintah County Municipal Building Authority, 5.300%, 6/1/2028, Call 6/1/2018	1,350,000	1,393,456
Utah Infrastructure Agency, AGM:
5.400%, 10/15/2036, Call 10/15/2021	1,000,000	1,142,360
5.500%, 10/15/2030, Call 10/15/2021	1,300,000	1,503,606
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020	1,030,000	1,147,894
Utah State Charter School Finance Authority, 5.250%, 10/15/2028, Call 10/15/2023	480,000	554,626
		13,408,956
Vermont — 0.1%
Vermont Housing Finance Agency, 4.000%, 11/1/2043, Call 5/1/2023	1,120,000	1,187,737
Vermont Student Assistance Corp.:
5.000%, 6/15/2019 (16)	130,000	137,608
5.000%, 6/15/2020 (16)	125,000	135,776
		1,461,121
Virgin Islands — 0.2%
Virgin Islands Public Finance Authority, 5.000%, 9/1/2030, Call 9/1/2025 (6)	3,320,000	3,618,568
Virginia — 0.4%
City of Chesapeake, 5.000%, 7/15/2022	500,000	574,605
Henrico County Economic Development Authority, AGM, 2.156%, 8/23/2027, Call 9/1/2017 (12) (13)	50,000	47,711
Stafford County Economic Development Authority:
5.000%, 6/15/2028, Call 6/15/2026	1,000,000	1,170,070
5.000%, 6/15/2030, Call 6/15/2026	700,000	805,525
Virginia College Building Authority:
5.000%, 3/1/2023, Call 3/1/2020	745,000	817,802
5.000%, 3/1/2024, Call 3/1/2020	1,755,000	1,926,042
Virginia Small Business Financing Authority, 4.250%, 11/1/2021, Call 5/1/2020	1,000,000	1,077,750
		6,419,505
Washington — 1.2%
Chelan County Public Utility District No. 1, NATL-RE, 0.000%, 6/1/2024	210,000	180,860
King County Housing Authority:
5.200%, 5/1/2028, Call 11/1/2018	660,000	681,476
5.500%, 12/1/2028, Call 12/1/2018	1,000,000	1,037,430
King County Public Hospital District No. 1, 5.000%, 12/1/2031, Call 12/1/2026	4,000,000	4,700,960
King County Public Hospital District No. 2, 5.250%, 12/1/2028, Call 12/1/2020	200,000	224,342
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	130,000	133,921
Mason & Kitsap Counties School District No. 403 North Mason, School Bond Gty, 5.000%, 12/1/2035, Call 12/1/2023	2,025,000	2,397,701
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020	1,060,000	1,189,734
Spokane County School District No. 81 Spokane, School Bond Gty, 5.000%, 12/1/2030, Call 12/1/2021	650,000	747,058
State of Washington, 4.100%, 7/1/2022, Call 1/1/2019	440,000	456,293
Washington Health Care Facilities Authority:
0.000%, 12/1/2017 (6)	70,000	69,866
5.000%, 10/1/2030, Call 10/1/2022	750,000	850,208
Washington State Housing Finance Commission, 5.000%, 1/1/2036, Call 1/1/2025 (6)	2,125,000	2,287,138
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL:
3.050%, 6/1/2022 (16)	750,000	793,943
3.150%, 12/1/2023, Call 9/1/2017 (16)	45,000	45,000
3.300%, 6/1/2024, Call 9/1/2017 (16)	20,000	20,000
3.450%, 6/1/2025, Call 9/1/2017 (16)	845,000	845,000

WBRP 3.2 Washington Biomed Research Properties Lease:
5.000%, 1/1/2026, Call 7/1/2025	750,000	918,795
5.000%, 1/1/2031, Call 7/1/2025	940,000	1,122,886
Whidbey Island Public Hospital District:
5.000%, 12/1/2021	520,000	575,900
5.000%, 12/1/2022	510,000	574,061
		19,852,572
West Virginia — 0.2%
West Virginia Hospital Finance Authority, 5.750%, 1/1/2044, Call 1/1/2019	2,500,000	2,658,975
Wisconsin — 3.7%
City of Oak Creek, 3.000%, 6/1/2027, Call 6/1/2025	100,000	103,352
Monroe Redevelopment Authority, 5.500%, 2/15/2029, Call 2/15/2019	500,000	533,240
Public Finance Authority:
3.500%, 11/15/2023, Call 5/15/2019 (6)	750,000	758,220
3.950%, 11/15/2024, Call 11/15/2019 (6)	1,000,000	1,020,180
4.750%, 12/1/2035, Call 12/1/2020	2,000,000	2,099,240
5.000%, 11/15/2029 (8)	1,900,000	2,279,088
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022	800,000	880,832
5.000%, 3/1/2023, Call 9/1/2021	2,000,000	2,285,720
5.000%, 5/1/2027, Call 5/1/2022	25,000	29,286
5.000%, 5/1/2027, Call 5/1/2022	1,580,000	1,836,102
6.000%, 5/1/2036, Call 5/1/2019	1,965,000	2,131,730
State of Wisconsin, State Appropriation:
5.750%, 5/1/2029, Call 5/1/2019	105,000	113,298
5.750%, 5/1/2029, Call 5/1/2019	1,050,000	1,134,976
6.000%, 5/1/2033, Call 5/1/2019	135,000	146,221
6.000%, 5/1/2033, Call 5/1/2019	1,280,000	1,388,608
Wisconsin Center District:
0.000%, 12/15/2033, Call 6/15/2026	2,200,000	1,227,006
0.000%, 12/15/2034, Call 6/15/2026	6,665,000	3,549,912
Wisconsin Center District, AGM:
5.250%, 12/15/2023	520,000	604,162
5.250%, 12/15/2027	1,930,000	2,324,724
Wisconsin Health & Educational Facilities Authority:
4.000%, 2/15/2042, Call 2/15/2027 (8)	2,000,000	2,023,480
4.500%, 10/15/2026, Call 10/15/2021	20,000	21,797
4.750%, 10/15/2029, Call 10/15/2021	605,000	657,078
5.000%, 8/15/2018	1,000,000	1,037,680
5.000%, 6/1/2019	205,000	214,225
5.000%, 7/1/2019	990,000	1,056,380
5.000%, 8/15/2019	250,000	268,428
5.000%, 8/15/2019	955,000	1,027,313
5.000%, 8/15/2020	1,060,000	1,178,031
5.000%, 3/1/2021	240,000	263,786
5.000%, 8/15/2021	1,160,000	1,327,748
5.000%, 3/1/2022	205,000	229,672
5.000%, 10/1/2022	750,000	878,070
5.000%, 12/15/2022	500,000	581,530
5.000%, 12/15/2023	500,000	589,970
5.000%, 12/15/2024	500,000	595,850
5.000%, 3/1/2025, Call 3/1/2024	315,000	357,242
5.000%, 6/1/2026, Call 6/1/2020	135,000	149,653
5.000%, 8/15/2027, Call 8/15/2022	500,000	587,480
5.000%, 12/15/2028, Call 12/15/2024	100,000	115,883
5.000%, 8/15/2029, Call 8/15/2022	1,700,000	2,015,316
5.000%, 4/1/2032, Call 10/1/2022	4,560,000	5,081,162
5.000%, 6/1/2032, Call 6/1/2022	1,000,000	1,083,970
5.000%, 8/15/2032, Call 8/15/2022	5,000,000	5,927,400
5.000%, 2/15/2047, Call 2/15/2027 (8)	1,000,000	1,119,480
5.125%, 4/15/2031, Call 4/15/2023	250,000	282,600
5.250%, 4/1/2023, Call 4/1/2018	365,000	374,121
5.250%, 6/1/2034, Call 6/1/2020	300,000	328,035
5.375%, 8/15/2024, Call 2/15/2020	1,625,000	1,781,569
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021	3,655,000	4,054,382
Wisconsin Housing & Economic Development Authority, 5.750%, 11/1/2025, Call 5/1/2020 (16)	865,000	917,462
		60,572,690

Wyoming — 0.1%
County of Laramie, 5.000%, 5/1/2027, Call 5/1/2021	1,000,000		1,107,380
Wyoming Municipal Power Agency, Inc., 5.500%, 1/1/2028, Call 1/1/2018	500,000		507,525
			1,614,905
Total Municipals   (identified cost $1,519,664,582)			1,591,471,242
Mutual Funds — 1.0%
BlackRock Long-Term Municipal Advantage Trust	121,500		1,482,300
BlackRock Muni Intermediate Duration Fund, Inc.	110,000		1,574,100
BlackRock Municipal Bond Trust	93,400		1,493,466
BlackRock Municipal Income Quality Trust	107,800		1,599,752
BlackRock Municipal Income Trust	107,000		1,546,150
BlackRock MuniHoldings Quality Fund, Inc.	93,400		1,296,392
BlackRock MuniYield Quality Fund, Inc.	105,000		1,656,900
BMO Ultra Short Tax-Free Fund - Institutional Class (4)	506,795		5,108,497
Eaton Vance Municipal Income Term Trust	42,000		868,140
Total Mutual Funds   (identified cost $15,715,415)			16,625,697
Short-Term Investments — 0.1%
Mutual Funds — 0.0%
BMO Government Money Market Fund - Premier Class, 0.870% (4)	79,783		79,783
Short-Term Municipals — 0.1%
New York — 0.1%
Town of Oyster Bay, 2.500%, 2/23/2018	$  2,000,000		2,008,460
Total Short-Term Investments   (identified cost $2,087,745)			2,088,243
Total Investments — 99.5%   (identified cost $1,537,467,742)			1,610,185,182
Other Assets and Liabilities — 0.5%			7,978,573
Total Net Assets — 100.0%		$	1,618,163,755

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

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At August 31, 2017, these securities amounted to:

Fund	Amount		% of Total Net Assets
Intermediate Tax-Free Fund	$	35,866,226		2.22%

(7) Floating Rate Security

(8) Purchased on a when-issued or delayed delivery basis.

(12) Variable Rate Security

(13) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

(15) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

(16) Securities that are subject to alternative minimum tax represent 2.34% of the Intermediate Tax-Free Fund’s portfolio as calculated based upon total portfolio market value.

Report of Independent Registered Public Accounting Firm

The Shareholders and Board of Directors

BMO Funds, Inc.:

We have audited the accompanying statements of assets and liabilities of BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, and BMO Intermediate Tax-Free Fund (each a series of BMO Funds, Inc., collectively the Funds), including the summary schedules of investments as of August 31, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended (collectively, the financial statements), the financial highlights for each of the years or periods in the five-year period then ended (the financial statements and financial highlights are included in Item 1 of this Form N-CSR), and the schedules of investments as of August 31, 2017 (included in Item 6 of this Form N-CSR). These financial statements, financial highlights, and schedules of investments are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements, financial highlights, and schedules of investments are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2017, by correspondence with custodians and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements, financial highlights, and schedules of investments referred to above present fairly, in all material respects, the financial position of the Funds as of August 31, 2017, and the results of their operations, the changes in their net assets, and the financial highlights for the periods specified in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Milwaukee, Wisconsin

October 24, 2017

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

Not applicable to open-end management investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

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

Not applicable to open-end management investment companies.

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

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service providers.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

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

Not applicable to open-end management investment companies.

Item 13. Exhibits.

(a) (1) Code of Ethics. Filed herewith.

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

(a) (3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end management investment companies.

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

SIGNATURES

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

BMO Funds, Inc.

/s/ John M. Blaser         

By: John M. Blaser

President

(Principal Executive Officer)

October 24, 2017

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.

/s/ John M. Blaser         

By: John M. Blaser

President

(Principal Executive Officer)

October 24, 2017

/s/ Timothy M. Bonin    

By: Timothy M. Bonin

Treasurer

(Principal Financial Officer)

October 24, 2017