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: 811-09521
AMG Funds
(Exact name of registrant as specified in charter)
One Stamford Plaza, 263 Tresser Boulevard, Suite 949, Stamford,
Connecticut 06901
(Address of principal executive offices) (Zip code)
AMG Funds LLC
One Stamford Plaza, 263 Tresser Boulevard, Suite 949, Stamford,
Connecticut 06901
(Name and address of agent for service)
Registrant’s telephone number, including area code: (203) 299-3500
Date of fiscal year end: October 31
Date of reporting period: November 1, 2020 – April 30, 2021
(Semi-Annual Shareholder Report)
Item 1. | Reports to Shareholders |
SEMI-ANNUAL REPORT
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AMG Funds | ||||||
April 30, 2021 | ||||||
AMG GW&K Core Bond ESG Fund | ||||||
Class N: MBGVX | Class I: MBDFX | Class Z: MBDLX | ||||
AMG GW&K Emerging Markets Equity Fund | ||||||
Class N: TLEVX | Class I: TLESX | Class Z: TLEIX | ||||
AMG GW&K Emerging Wealth Equity Fund | ||||||
Class N: TYWVX | Class I: TYWSX | Class Z: TYWIX | ||||
AMG GW&K Small/Mid Cap Growth Fund | ||||||
(formerly AMG GW&K Small Cap Fund II, which was formerly AMG Managers LMCG Small Cap Growth Fund) | ||||||
Class N: ACWDX | Class I: ACWIX | |||||
AMG GW&K Small Cap Value Fund II | ||||||
(formerly AMG Managers Silvercrest Small Cap Fund) | ||||||
Class N: ASCTX | Class I: ACRTX | Class Z: ACZTX | ||||
amgfunds.com | 043021 | SAR069 |
AMG Funds Semi-Annual Report — April 30, 2021 (unaudited) |
TABLE OF CONTENTS | PAGE | |||||
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2 | ||||||
3 | ||||||
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS | ||||||
5 | ||||||
9 | ||||||
13 | ||||||
17 | ||||||
20 | ||||||
FINANCIAL STATEMENTS | ||||||
23 | ||||||
Balance sheets, net asset value (NAV) per share computations and cumulative distributable earnings (loss) | ||||||
25 | ||||||
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period | ||||||
26 | ||||||
Detail of changes in assets for the past two fiscal periods | ||||||
28 | ||||||
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets | ||||||
42 | ||||||
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks | ||||||
51 | ||||||
55 | ||||||
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| Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds Family of Funds. Such offering is made only by prospectus, which includes details as to offering price and other material information. |
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As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on $1,000 invested at the beginning of the period and held for the entire period as indicated below.
ACTUAL EXPENSES
The first line of the following table provides information about the actual account values and | actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s | actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. |
Six Months Ended April 30, 2021 | Expense Ratio for the Period | Beginning Account Value 11/01/20 | Ending Account Value 04/30/21 | Expenses Paid During the Period* | ||||||||||||||||
AMG GW&K Core Bond ESG Fund |
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Based on Actual Fund Return |
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Class N | 0.88 | % | $1,000 | $991 | $4.34 | |||||||||||||||
Class I | 0.55 | % | $1,000 | $993 | $2.72 | |||||||||||||||
Class Z | 0.48 | % | $1,000 | $993 | $2.37 | |||||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 0.88 | % | $1,000 | $1,020 | $4.41 | |||||||||||||||
Class I | 0.55 | % | $1,000 | $1,022 | $2.76 | |||||||||||||||
Class Z | 0.48 | % | $1,000 | $1,022 | $2.41 | |||||||||||||||
AMG GW&K Emerging Markets Equity Fund |
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Based on Actual Fund Return |
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Class N | 1.27 | % | $1,000 | $1,216 | $6.98 | |||||||||||||||
Class I | 0.95 | % | $1,000 | $1,217 | $5.22 | |||||||||||||||
Class Z | 0.87 | % | $1,000 | $1,218 | $4.78 | |||||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 1.27 | % | $1,000 | $1,019 | $6.36 | |||||||||||||||
Class I | 0.95 | % | $1,000 | $1,020 | $4.76 | |||||||||||||||
Class Z | 0.87 | % | $1,000 | $1,020 | $4.36 | |||||||||||||||
AMG GW&K Emerging Wealth Equity Fund |
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Based on Actual Fund Return |
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Class N | 1.19 | % | $1,000 | $1,174 | $6.41 | |||||||||||||||
Class I | 0.92 | % | $1,000 | $1,176 | $4.96 | |||||||||||||||
Class Z | 0.79 | % | $1,000 | $1,176 | $4.26 | |||||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 1.19 | % | $1,000 | $1,019 | $5.96 | |||||||||||||||
Class I | 0.92 | % | $1,000 | $1,020 | $4.61 | |||||||||||||||
Class Z | 0.79 | % | $1,000 | $1,021 | $3.96 |
Six Months Ended April 30, 2021 | Expense Ratio for the Period | Beginning Account Value 11/01/20 | Ending Account Value 04/30/21 | Expenses Paid During the Period* | ||||||||||||||||
AMG GW&K Small/Mid Cap Growth Fund |
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Based on Actual Fund Return |
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Class N | 1.28 | % | $1,000 | $1,323 | $7.37 | |||||||||||||||
Class I | 1.10 | % | $1,000 | $1,324 | $6.34 | |||||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 1.28 | % | $1,000 | $1,018 | $6.41 | |||||||||||||||
Class I | 1.10 | % | $1,000 | $1,019 | $5.51 | |||||||||||||||
AMG GW&K Small Cap Value Fund II |
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Based on Actual Fund Return |
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Class N | 1.41 | % | $1,000 | $1,469 | $8.63 | |||||||||||||||
Class I | 1.15 | % | $1,000 | $1,471 | $7.05 | |||||||||||||||
Class Z | 1.08 | % | $1,000 | $1,472 | $6.62 | |||||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 1.41 | % | $1,000 | $1,018 | $7.05 | |||||||||||||||
Class I | 1.15 | % | $1,000 | $1,019 | $5.76 | |||||||||||||||
Class Z | 1.08 | % | $1,000 | $1,019 | $5.41 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365. |
2 |
Periods ended April 30, 2021 |
The table below shows the average annual total returns for the periods indicated for each Fund, as well as each Fund’s relative index for the same time periods ended April 30, 2021.
Average Annual Total Returns1 | Six Months* | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||||||
AMG GW&K Core Bond ESG Fund2, 3, 4, 5, 6, 7, 8, 9 |
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Class N | (0.94%) | 1.18% | 2.82% | — | 2.74% | 05/08/15 | ||||||||||||||||||
Class I | (0.69%) | 1.60% | 3.18% | 3.24% | 5.71% | 04/30/93 | ||||||||||||||||||
Class Z | (0.75%) | 1.58% | 3.24% | — | 3.15% | 05/08/15 | ||||||||||||||||||
Bloomberg Barclays | (1.52%) | (0.27%) | 3.19% | 3.39% | 5.18% | 04/30/93 | † | |||||||||||||||||
AMG GW&K Emerging Markets Equity Fund2, 6, 8, 10, 11, 12, 13, 14, 15, 16, 17 |
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Class N | 21.58% | 49.75% | 12.35% | — | 3.87% | 03/01/12 | ||||||||||||||||||
Class I | 21.67% | 50.19% | 12.74% | 2.55% | 3.11% | 03/01/11 | ||||||||||||||||||
Class Z | 21.77% | 50.49% | 12.83% | 2.66% | 3.22% | 03/01/11 | ||||||||||||||||||
MSCI Emerging Markets | 22.95% | 48.71% | 12.50% | 3.59% | 4.39% | 03/01/11 | † | |||||||||||||||||
AMG GW&K Emerging Wealth Equity Fund2, 6, 8, 10, 11, 13, 15, 16, 17 |
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Class N | 17.39% | 43.82% | 14.15% | — | 9.98% | 03/19/15 | ||||||||||||||||||
Class I | 17.56% | 44.18% | 14.49% | — | 10.26% | 03/19/15 | ||||||||||||||||||
Class Z | 17.64% | 44.37% | 14.59% | — | 10.38% | 03/19/15 | ||||||||||||||||||
MSCI Emerging Markets | 22.95% | 48.71% | 12.50% | — | 8.11% | 03/19/15 | † | |||||||||||||||||
AMG GW&K Small/Mid Cap Growth Fund2, 4, 8, 12, 13, 14, 15, 16, 17, 18, 19 |
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Class N | 32.30% | 70.31% | 18.02% | 11.08% | 13.00% | 11/03/10 | ||||||||||||||||||
Class I | 32.40% | 70.61% | 18.26% | — | 11.61% | 06/01/11 | ||||||||||||||||||
Russell 2000® Growth Index23 | 37.84% | 69.15% | 18.89% | 12.86% | 14.67% | 11/03/10 | † | |||||||||||||||||
Russell 2500® Growth Index24 | 32.00% | 67.27% | 20.51% | 14.21% | 15.98% | 11/03/10 | † | |||||||||||||||||
AMG GW&K Small Cap Value Fund II2, 8, 16, 17, 18, 19, 20 |
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Class N | 46.93% | 62.27% | 11.36% | — | 11.47% | 12/27/11 | ||||||||||||||||||
Class I | 47.14% | 62.66% | 11.64% | — | 11.76% | 12/27/11 | ||||||||||||||||||
Class Z | 47.20% | 62.74% | — | — | 7.66% | 09/29/17 | ||||||||||||||||||
Russell 2000® Value Index25 | 59.17% | 78.96% | 13.54% | — | 12.36% | 12/27/11 | † | |||||||||||||||||
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. |
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Investors should carefully consider the Fund’s investment objectives, risks, charges and expenses before investing. For performance information through the most recent month end, current net asset values per share for the Funds and other information, please call 800.548.4539 or visit our website at amgfunds.com for a free prospectus. Read it carefully before investing or sending money. |
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Distributed by AMG Distributors, Inc., member FINRA/SIPC. |
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† Date reflects the inception date of the Fund, not the index. |
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* Not annualized. |
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1 Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Funds are net of expenses and based on the published NAV as of April 30, 2021. All returns are in U.S. dollars ($).
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2 From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.
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3 To the extent that the Fund invests in asset-backed or mortgage-backed securities, its exposure to prepayment and extension risks may be greater than investments in other fixed income securities.
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4 Active and frequent trading of a fund may result in higher transaction costs and increased tax liability.
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5 The Fund is subject to the risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtor’s ability to pay its creditors. Changing interest rates may adversely affect the value of an investment. An increase in interest rates typically causes the value of bonds and other fixed income securities to fall.
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6 The Fund may invest in derivatives such as options and futures; the complexity and rapidly changing structure of derivatives markets may increase the possibility of market losses.
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7 Many bonds have call provisions which allow the debtors to pay them back before maturity. This is especially true with mortgage securities, which can be paid back anytime. Typically debtors prepay their debt when it is to their advantage (when interest rates drop making a new loan at current rates more attractive), and thus likely to the disadvantage of bondholders, who may have to reinvest prepayment proceeds in securities with lower yields. Prepayment risk will vary depending on the provisions of the security and current interest rates relative to the interest rate of the debt.
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8 Market prices of investments held by the Fund may fall rapidly or unpredictably due to a variety of economic or political factors, market conditions, disasters or public health issues, or in response to events that affect particular industries or companies.
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9 Applying the Fund’s ESG investment criteria may result in the selection or exclusion of securities of certain issuers for reasons other than performance, and the Fund may underperform funds that do not utilize an ESG investment strategy. The application of this strategy may affect the Fund’s exposure to certain companies, sectors, regions, countries or types of investments, which could negatively impact the Fund’s performance depending on whether such investments
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3 |
Fund Performance Periods ended April 30, 2021 (continued) |
are in or out of favor. Applying ESG criteria to investment decisions is qualitative and subjective by nature, and there is no guarantee that the criteria utilized by the Subadviser or any judgment exercised by the Subadviser will reflect the beliefs or values of any particular investor.
10 The Fund is subject to currency risk resulting from fluctuations in exchange rates that may affect the total loss or gain on a non-U.S. Dollar investment when converted back to U.S. Dollars.
11 The Fund is subject to the risks associated with investments in emerging markets, such as erratic earnings patterns, economic and political instability, changing exchange controls, limitations on repatriation of foreign capital and changes in local governmental attitudes toward private investment, possibly leading to nationalization or confiscation of investor assets.
12 The Fund invests in growth stocks, which may be more sensitive to market movements because their prices tend to reflect future investor expectations rather than just current profits. Growth stocks may underperform value stocks during given periods.
13 Investments in international securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets.
14 Investing in initial public offerings (IPOs) is risky and the prices of stocks purchased in IPOs tend to fluctuate more widely than stocks of companies that have been publicly traded for a longer period of time. Stocks purchased in IPOs generally do not have a trading history, and information about the companies may be available for very limited periods.
15 The Fund is subject to risks associated with investments in mid-capitalization companies such as greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies. | sectors may be similarly affected by particular economic or market events; to the extent the Fund has substantial holdings within a particular sector, the risks associated with that sector increase.
17 The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings patterns, competitive conditions, limited earnings history and a reliance on one or a limited number of products.
18 Performance shown for periods prior to March 19, 2021, reflects the performance of the Fund’s previous Subadviser.
19 The Fund is subject to special risk considerations similar to those associated with the direct ownership of real estate. Real estate valuations may be subject to factors such as changing general and local economic, financial, competitive, and environmental conditions.
20 The Fund invests in value stocks, which may perform differently from the market as a whole and may be undervalued by the market for a long period of time.
21 The Bloomberg Barclays U.S. Aggregate Bond Index® is an index of the U.S. investment-grade fixed-rate bond market, including both government and corporate bonds. Unlike the Fund, the Bloomberg Barclays U.S. Aggregate Bond Index® is unmanaged, is not available for investment and does not incur expenses.
22 The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. Please go to msci.com for most current list of countries represented by the index. Unlike the Fund, the MSCI Emerging Markets Index is unmanaged, is not available for investment and does not incur expenses. | of the U.S. equity universe. It includes those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 2500® Growth Index is unmanaged, is not available for investment and does not incur expenses
25 The Russell 2000® Value Index is an unmanaged, market-value weighted, value-oriented index comprised of small stocks that have relatively low price-to-book ratios and lower forecasted growth values. Unlike the Fund, the Russell 2000® Value Index is unmanaged, is not available for investment and does not incur expenses.
Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
All MSCI data is provided “as is”. The products described herein are not sponsored or endorsed and have not been reviewed or passed on by MSCI. In no event shall MSCI, its affiliates or any MSCI data provider have any liability of any kind in connection with the MSCI data or the products described herein. Copying or redistributing the MSCI data is strictly prohibited. . | ||
16 Issuers and companies that are in similar industry |
23 The Russell 2000® Growth Index measures the performance of the Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 2000 Growth Index is unmanaged, is not available investment and does not incur expenses.
24 The Russell 2500® Growth Index measures the performance of the small- to mid-cap growth segment |
The Russell Indices are a trademark of London Stock Exchange Group companies.
Not FDIC insured, nor bank guaranteed. May lose value |
4
Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Category | % of Net Assets | |
Corporate Bonds and Notes | 44.1 | |
U.S. Government and Agency Obligations | 41.8 | |
Municipal Bonds | 8.7 | |
Foreign Government Obligations | 1.4 | |
Other Assets Less Liabilities | 4.0 |
Rating | % of Market Value1 | |
U.S. Government and Agency Obligations | 43.6 | |
Aaa/AAA | 3.2 | |
Aa/AA | 12.2 | |
A | 9.6 | |
Baa/BBB | 31.4 |
1 Includes market value of long-term fixed-income securities only.
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
FHLMC, 3.500%, 10/01/45 | 3.2 | |
United States Treasury Notes, 2.000%, 11/30/22 | 3.0 | |
FHLMC, 2.500%, 10/01/34 | 2.1 | |
The Bank of Nova Scotia, 0.557%, 03/02/26 (Canada) | 2.0 | |
FNMA, 4.500%, 06/01/41 | 2.0 | |
California State General Obligation, School Improvements, 7.550%, 04/01/39 | 2.0 | |
U.S. Treasury Bonds, 1.875%, 02/15/51 | 2.0 | |
Campbell Soup Co., 4.150%, 03/15/28 | 2.0 | |
Verizon Communications, Inc., 3.875%, 02/08/29 | 1.9 | |
FHLMC, 2.500%, 08/01/50 | 1.9 | |
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Top Ten as a Group | 22.1 | |
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Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by any of the rating agencies. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
5 |
AMG GW&K Core Bond ESG Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Principal Amount | Value | |||||||
Corporate Bonds and Notes - 44.1% |
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Financials - 12.7% | ||||||||
Air Lease Corp. | $2,113,000 | $2,112,402 | ||||||
Ally Financial, Inc. | 1,404,000 | 1,974,678 | ||||||
The Bank of New York Mellon Corp. | 937,000 | 991,889 | ||||||
Series G, (4.700% to 09/20/25 then U.S. Treasury Yield Curve CMT 5 year + 4.358%), 4.700%, 09/20/251,2,3 | 910,000 | 1,005,550 | ||||||
The Bank of Nova Scotia (Canada) (SOFRRATE + 0.545%), 0.557%, 03/02/263 | 3,986,000 | 3,994,987 | ||||||
Boston Properties, LP | 1,841,000 | 1,970,461 | ||||||
The Charles Schwab Corp. | ||||||||
Series I, (4.000% to 06/01/26 then U.S. Treasury Yield Curve CMT 5 year + 3.168%), 4.000%, 06/01/261,2,3 | 1,975,000 | 2,034,369 | ||||||
Crown Castle International Corp. | 1,800,000 | 2,006,052 | ||||||
Equinix, Inc. | 1,020,000 | 1,006,454 | ||||||
The Goldman Sachs Group, Inc. | 2,726,000 | 2,976,300 | ||||||
Host Hotels & Resorts LP | 1,052,000 | 1,069,048 | ||||||
JPMorgan Chase & Co. | 1,962,000 | 1,969,905 | ||||||
MetLife, Inc. | ||||||||
Series G, (3.850% to 09/15/25 then U.S. Treasury Yield Curve CMT 5 year + 3.576%), 3.850%, 09/15/251,2,3 | 2,009,000 | 2,119,495 | ||||||
Total Financials | 25,231,590 | |||||||
Industrials - 29.9% | ||||||||
AT&T, Inc. | 1,778,000 | 2,013,821 | ||||||
Block Financial LLC | 476,000 | 506,341 | ||||||
BorgWarner, Inc. | 1,994,000 | 2,093,125 | ||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. | 1,808,000 | 1,981,217 | ||||||
Campbell Soup Co. | 3,432,000 | 3,859,569 | ||||||
Comcast Corp. | 1,686,000 | 1,940,271 | ||||||
CommonSpirit Health | 2,317,000 | 2,473,772 | ||||||
CVS Health Corp. | 1,735,000 | 2,164,708 |
Principal Amount | Value | |||||||
Fiserv, Inc. | $1,703,000 | $1,933,762 | ||||||
The Ford Foundation | 2,207,000 | 2,044,613 | ||||||
Georgia-Pacific LLC | 1,583,000 | 1,894,679 | ||||||
GLP Capital LP/GLP Financing II, Inc. 5.375%, 04/15/26 | 2,610,000 | 2,957,658 | ||||||
HCA, Inc. | 1,762,000 | 1,959,413 | ||||||
4.500%, 02/15/27 | 874,000 | 985,569 | ||||||
Lear Corp. | 1,915,000 | 2,106,247 | ||||||
Lowe’s Cos., Inc. | 1,772,000 | 1,966,986 | ||||||
Marriott International, Inc. | ||||||||
Series FF, 4.625%, 06/15/30 | 1,743,000 | 1,957,485 | ||||||
McDonald’s Corp., MTN | 2,215,000 | 2,464,121 | ||||||
Microsoft Corp. | 2,195,000 | 2,045,253 | ||||||
Parker-Hannifin Corp. | 1,773,000 | 1,910,653 | ||||||
Precision Castparts Corp. | 1,831,000 | 1,987,777 | ||||||
PulteGroup, Inc. | 1,400,000 | 1,980,720 | ||||||
ServiceNow, Inc. | 2,080,000 | 1,900,286 | ||||||
Smith & Nephew PLC (United Kingdom) | 1,010,000 | 963,562 | ||||||
Sysco Corp. | 2,324,000 | 2,324,714 | ||||||
T-Mobile USA, Inc. | 920,000 | 998,780 | ||||||
Verizon Communications, Inc. | 3,403,000 | 3,834,252 | ||||||
VF Corp. | 1,848,000 | 1,979,256 | ||||||
Xylem, Inc. | 1,929,000 | 1,888,396 | ||||||
Total Industrials | 59,117,006 | |||||||
Utilities - 1.5% | ||||||||
Dominion Energy, Inc. | ||||||||
Series B, (4.650% to 12/15/24 then U.S. Treasury Yield Curve CMT 5 year + 2.993%), 4.650%, 12/15/241,2,3 | 978,000 | 1,039,125 |
The accompanying notes are an integral part of these financial statements.
6 |
AMG GW&K Core Bond ESG Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Utilities - 1.5% (continued) | ||||||||
National Rural Utilities Cooperative Finance Corp. 1.350%, 03/15/31 | $2,024,000 | $1,844,213 | ||||||
Total Utilities | 2,883,338 | |||||||
Total Corporate Bonds and Notes | ||||||||
(Cost $85,338,993) | 87,231,934 | |||||||
Municipal Bonds - 8.7% | ||||||||
California State General Obligation, School Improvements 7.550%, 04/01/39 | 2,410,000 | 3,969,614 | ||||||
JobsOhio Beverage System | 1,705,000 | 2,086,536 | ||||||
Los Angeles Unified School District, School Improvements | 2,635,000 | 3,524,912 | ||||||
Massachusetts School Building Authority | 2,017,000 | 1,996,220 | ||||||
Metropolitan Transportation Authority | 1,695,000 | 2,333,446 | ||||||
University of California, University & College Improvements | 2,935,000 | 3,260,566 | ||||||
Total Municipal Bonds | ||||||||
(Cost $15,818,182) | 17,171,294 | |||||||
U.S. Government and Agency Obligations - 41.8% | ||||||||
Fannie Mae - 19.4% | ||||||||
FNMA | 5,021,652 | 5,113,208 | ||||||
3.500%, 03/01/30 to 03/01/48 | 8,136,665 | 8,828,226 | ||||||
4.000%, 03/01/44 to 07/01/49 | 7,853,658 | 8,628,333 | ||||||
4.500%, 04/01/39 to 06/01/41 | 11,529,795 | 13,023,322 | ||||||
5.000%, 08/01/40 | 2,512,807 | 2,845,000 | ||||||
Total Fannie Mae | 38,438,089 | |||||||
Freddie Mac - 13.7% | ||||||||
FHLMC | 1,578,753 | 1,594,811 |
Principal Amount | Value | |||||||
FHLMC | $7,497,481 | $7,876,822 | ||||||
3.000%, 11/01/49 to 03/01/50 | 3,874,609 | 4,130,572 | ||||||
3.500%, 10/01/45 | 5,769,745 | 6,303,512 | ||||||
4.000%, 07/01/48 to 09/01/50 | 2,438,080 | 2,666,934 | ||||||
5.000%, 07/01/44 | 2,051,726 | 2,371,637 | ||||||
FHLMC Gold Pool | 1,960,875 | 2,147,181 | ||||||
Total Freddie Mac | 27,091,469 | |||||||
U.S. Treasury Obligations - 8.7% |
| |||||||
U.S. Treasury Bonds | 4,292,000 | 3,899,014 | ||||||
United States Treasury Bonds | 1,781,000 | 2,026,061 | ||||||
4.500%, 02/15/36 | 742,000 | 992,889 | ||||||
United States Treasury Notes 2.875%, 05/15/28 | 1,763,000 | 1,949,045 | ||||||
2.000%, 11/30/22 | 5,852,000 | 6,024,817 | ||||||
6.250%, 08/15/23 | 2,148,000 | 2,444,776 | ||||||
Total U.S. Treasury Obligations | 17,336,602 | |||||||
Total U.S. Government and Agency Obligations | ||||||||
(Cost $80,892,059) | 82,866,160 | |||||||
Foreign Government Obligations - 1.4% |
| |||||||
Chile Government International Bond (Chile) 2.550%, 01/27/32 | 1,388,000 | 1,421,326 | ||||||
The Korea Development Bank (South Korea) 0.500%, 10/27/23 | 1,385,000 | 1,387,734 | ||||||
Total Foreign Government Obligations |
| |||||||
(Cost $2,847,204) | 2,809,060 | |||||||
Total Investments - 96.0% | ||||||||
(Cost $184,896,438) | 190,078,448 | |||||||
Other Assets, less Liabilities - 4.0% |
| 7,873,148 | ||||||
Net Assets - 100.0% | $197,951,596 |
1 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at April 30, 2021. Rate will reset at a future date. |
2 | Perpetuity Bond. The date shown represents the next call date. |
3 | Variable rate security. The rate shown is based on the latest available information as of April 30, 2021. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
4 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the value of this security amounted to $998,780 or 0.5% of net assets. |
CMT | Constant Maturity Treasury | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
MTN | Medium-Term Note | |
SOFRRATE | Secured Overnight Financing Rate |
The accompanying notes are an integral part of these financial statements.
7 |
AMG GW&K Core Bond ESG Fund Schedule of Portfolio Investments (continued) |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of April 30, 2021:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Corporate Bonds and Notes† | — | $87,231,934 | — | $87,231,934 | ||||||||||||
Municipal Bonds | — | 17,171,294 | — | 17,171,294 | ||||||||||||
U.S. Government and Agency Obligations† | — | 82,866,160 | — | 82,866,160 | ||||||||||||
Foreign Government Obligations | — | 2,809,060 | — | 2,809,060 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | — | $190,078,448 | — | $190,078,448 | ||||||||||||
|
|
|
|
|
|
|
|
† | All corporate bonds and notes and U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the Fund’s Schedule of Portfolio Investments. |
For the six months ended April 30, 2021, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
8 |
AMG GW&K Emerging Markets Equity Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |||
Information Technology | 24.2 | |||
Consumer Discretionary | 23.2 | |||
Financials | 21.8 | |||
Communication Services | 11.0 | |||
Consumer Staples | 7.0 | |||
Health Care | 4.3 | |||
Energy | 3.0 | |||
Industrials | 1.4 | |||
Short-Term Investments | 0.4 | |||
Other Assets Less Liabilities
|
| 3.7
|
|
TOP TEN HOLDINGS
Security Name | % of Net Assets | |||
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 7.5 | |||
Alibaba Group Holding, Ltd., Sponsored ADR (China) | 5.9 | |||
Samsung Electronics Co., Ltd. (South Korea) | 4.8 | |||
Tencent Holdings, Ltd. (China) | 4.1 | |||
Prosus, N.V. (Netherlands) | 3.0 | |||
HDFC Bank, Ltd. (India) | 2.8 | |||
Sands China, Ltd. (Macau) | 2.7 | |||
Housing Development Finance Corp., Ltd. (India) | 2.7 | |||
Sberbank of Russia PJSC, Sponsored ADR (Russia) | 2.6 | |||
MediaTek, Inc. (Taiwan) | 2.5 | |||
|
|
| ||
Top Ten as a Group | 38.6 | |||
|
|
| ||
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
9 |
AMG GW&K Emerging Markets Equity Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 95.9% | ||||||||
Communication Services - 11.0% |
| |||||||
Baidu, Inc., Sponsored ADR (China)* | 6,577 | $1,383,341 | ||||||
Kuaishou Technology (China)*,1,2 | 10,275 | 347,890 | ||||||
MultiChoice Group (South Africa) | 71,358 | 614,107 | ||||||
NetEase, Inc., ADR (China) | 6,115 | 685,247 | ||||||
Tencent Holdings, Ltd. (China) | 33,506 | 2,672,842 | ||||||
Tencent Music Entertainment Group, ADR (China)* | 66,122 | 1,151,845 | ||||||
Zee Entertainment Enterprises, Ltd. (India) | 111,749 | 279,363 | ||||||
Total Communication Services |
| 7,134,635 | ||||||
Consumer Discretionary - 23.2% |
| |||||||
Alibaba Group Holding, Ltd., Sponsored ADR (China)* | 16,691 | 3,854,786 | ||||||
Feng TAY Enterprise Co., Ltd. (Taiwan) | 98,877 | 731,884 | ||||||
Huazhu Group, Ltd., ADR (China)* | 6,800 | 400,928 | ||||||
MakeMyTrip, Ltd. (India)* | 28,248 | 774,560 | ||||||
Midea Group Co., Ltd., Class A (China) | 46,585 | 575,360 | ||||||
Naspers, Ltd., N Shares (South Africa) | 4,163 | 947,416 | ||||||
New Oriental Education & Technology Group, Inc., | ||||||||
Sponsored ADR (China)* | 38,570 | 588,578 | ||||||
Ozon Holdings PLC, ADR (Cyprus)* | 8,389 | 521,712 | ||||||
Prosus, N.V. (Netherlands) | 17,612 | 1,911,460 | ||||||
Sands China, Ltd. (Macau)* | 370,239 | 1,751,993 | ||||||
Shenzhou International Group Holdings, Ltd. (China) | 20,060 | 441,300 | ||||||
Trip.com Group, Ltd., ADR (China)* | 29,377 | 1,148,053 | ||||||
Yum China Holdings, Inc. (China) | 22,917 | 1,441,938 | ||||||
Total Consumer Discretionary |
| 15,089,968 | ||||||
Consumer Staples - 7.0% |
| |||||||
Bid Corp., Ltd. (South Africa)* | 50,993 | 1,005,338 | ||||||
CP All PCL (Thailand) | 156,468 | 313,910 | ||||||
Dino Polska, S.A. (Poland)*,1 | 4,971 | 322,514 | ||||||
Fomento Economico Mexicano, S.A.B de CV (Mexico) | 52,796 | 409,790 | ||||||
Inner Mongolia Yili Industrial Group Co., Ltd., Class A (China) | 39,200 | 247,087 | ||||||
LG Household & Health Care, Ltd. (South Korea) | 367 | 506,874 | ||||||
Orion Corp. (South Korea) | 5,685 | 597,165 | ||||||
Vietnam Dairy Products JSC (Vietnam) | 23,000 | 93,070 | ||||||
Wal-Mart de Mexico, S.A.B. de CV (Mexico) | 318,738 | 1,045,257 | ||||||
Total Consumer Staples |
| 4,541,005 | ||||||
Energy - 3.0% |
| |||||||
Novatek PJSC, Sponsored GDR (Russia) | 4,641 | 835,772 |
Shares | Value | |||||||
Reliance Industries, Ltd. (India) | 42,488 | $1,141,492 | ||||||
Total Energy |
| 1,977,264 | ||||||
Financials - 21.8% |
| |||||||
AIA Group, Ltd. (Hong Kong) | 84,768 | 1,075,924 | ||||||
B3, S.A. - Brasil Bolsa Balcao (Brazil) | 45,300 | 429,896 | ||||||
Banco Bradesco, S.A., ADR (Brazil) | 173,985 | 756,835 | ||||||
Bank Mandiri Persero Tbk PT (Indonesia) | 994,916 | 423,597 | ||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia) | 2,008,201 | 561,965 | ||||||
BDO Unibank, Inc. (Philippines) | 314,090 | 671,734 | ||||||
China International Capital Corp., Ltd., Class H (China)*,1 | 415,600 | 1,040,428 | ||||||
China Merchants Bank Co., Ltd., Class H (China) | �� | 32,500 | 261,053 | |||||
Credicorp, Ltd. (Peru) | 2,524 | 301,366 | ||||||
Grupo Financiero Banorte, S.A.B de CV, Class O (Mexico) | 159,842 | 907,589 | ||||||
HDFC Bank, Ltd. (India)* | 96,540 | 1,834,258 | ||||||
Housing Development Finance Corp., Ltd. (India) | 53,569 | 1,744,490 | ||||||
Itau Unibanco Holding, S.A., Sponsored ADR (Brazil) | 115,942 | 579,710 | ||||||
Noah Holdings, Ltd., ADR (China)*,2 | 5,969 | 262,934 | ||||||
OTP Bank Plc (Hungary)* | 17,173 | 772,009 | ||||||
Ping An Insurance Group Co. of China, Ltd., Class H (China) | 73,220 | 798,265 | ||||||
Sberbank of Russia PJSC, Sponsored ADR (Russia) | 108,785 | 1,712,627 | ||||||
Total Financials |
| 14,134,680 | ||||||
Health Care - 4.3% |
| |||||||
Alibaba Health Information Technology, Ltd. (Hong Kong)* | 100,000 | 304,380 | ||||||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd., Class A (China) | 158,000 | 609,497 | ||||||
Fleury, S.A. (Brazil) | 127,431 | 601,257 | ||||||
Jinxin Fertility Group, Ltd. (China)1 | 100,000 | 256,240 | ||||||
Lepu Medical Technology Beijing Co., Ltd., Class A (China) | 39,800 | 196,878 | ||||||
Meinian Onehealth Healthcare Holdings Co., Ltd., Class A (China)* | 185,000 | 350,688 | ||||||
Odontoprev, S.A. (Brazil) | 208,811 | 493,192 | ||||||
Total Health Care |
| 2,812,132 | ||||||
Industrials - 1.4% |
| |||||||
Greentown Service Group Co., Ltd. (China) | 256,023 | 407,001 | ||||||
Grupo Aeroportuario del Pacifico, S.A.B de CV, Class B (Mexico)* | 48,955 | 503,953 | ||||||
Total Industrials |
| 910,954 |
The accompanying notes are an integral part of these financial statements.
10 |
AMG GW&K Emerging Markets Equity Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Information Technology - 24.2% |
| |||||||
Advantech Co., Ltd. (Taiwan) | 24,727 | $312,867 | ||||||
Delta Electronics, Inc. (Taiwan) | 63,100 | 675,985 | ||||||
GDS Holdings, Ltd., ADR (China)*,2 | 3,450 | 286,247 | ||||||
Infosys, Ltd., Sponsored ADR (India) | 51,169 | 925,136 | ||||||
Kingsoft Corp., Ltd. (China)2 | 131,428 | 927,309 | ||||||
MediaTek, Inc. (Taiwan) | 39,000 | 1,634,981 | ||||||
Pagseguro Digital, Ltd., Class A (Brazil)* | 7,988 | 365,371 | ||||||
Samsung Electronics Co., Ltd. (South Korea) | 42,567 | 3,102,516 | ||||||
SK Hynix, Inc. (South Korea) | 12,884 | 1,469,824 | ||||||
Sunny Optical Technology Group Co., Ltd. (China) | 16,676 | 404,262 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 231,632 | 4,878,083 | ||||||
Tata Consultancy Services, Ltd. (India) | 8,460 | 346,213 | ||||||
Yeahka, Ltd. (China)*,2 | 45,745 | 376,158 | ||||||
Total Information Technology | 15,704,952 | |||||||
Total Common Stocks | ||||||||
(Cost $45,296,406) | 62,305,590 | |||||||
Principal Amount | Value | |||||||
Short-Term Investments - 0.4% |
| |||||||
Joint Repurchase Agreements - 0.4%3 |
| |||||||
Morgan Stanley & Co. LLC, dated 04/30/21, due 05/03/21, 0.010% total to be received $277,960 (collateralized by various U.S. Government Agency Obligations, 2.000% - 4.000%, 04/01/36 - 05/01/51, totaling $283,519) | $277,960 | $277,960 | ||||||
Total Short-Term Investments | ||||||||
(Cost $277,960) | 277,960 | |||||||
Total Investments - 96.3% | ||||||||
(Cost $45,574,366) | 62,583,550 | |||||||
Other Assets, less Liabilities - 3.7% | 2,424,398 | |||||||
Net Assets - 100.0% | $65,007,948 | |||||||
* | Non-income producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the value of these securities amounted to $1,967,072 or 3.0% of net assets. |
2 | Some of these securities, amounting to $1,107,000 or 1.7% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
3 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
ADR American Depositary Receipt
GDR Global Depositary Receipt
The accompanying notes are an integral part of these financial statements.
11 |
AMG GW&K Emerging Markets Equity Fund Schedule of Portfolio Investments (continued) |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of April 30, 2021:
Level 1 | Level 21 | Level 3 | Total | |||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||
Information Technology | $1,576,754 | $14,128,198 | — | $15,704,952 | ||||||||||||||||||||||||||||
Consumer Discretionary | 8,730,555 | 6,359,413 | — | 15,089,968 | ||||||||||||||||||||||||||||
Financials | 3,238,330 | 10,896,350 | — | 14,134,680 | ||||||||||||||||||||||||||||
Communication Services | 3,568,323 | 3,566,312 | — | 7,134,635 | ||||||||||||||||||||||||||||
Consumer Staples | 2,460,385 | 2,080,620 | — | 4,541,005 | ||||||||||||||||||||||||||||
Health Care | 1,094,449 | 1,717,683 | — | 2,812,132 | ||||||||||||||||||||||||||||
Energy | — | 1,977,264 | — | 1,977,264 | ||||||||||||||||||||||||||||
Industrials | 503,953 | 407,001 | — | 910,954 | ||||||||||||||||||||||||||||
Short-Term Investments | ||||||||||||||||||||||||||||||||
Joint Repurchase Agreements | — | 277,960 | — | 277,960 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Investments in Securities | $21,172,749 | $41,410,801 | — | $62,583,550 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. |
For the six months ended April 30, 2021, there were no transfers in or out of Level 3.
The country allocation in the Schedule of Portfolio Investments at April 30, 2021, was as follows:
Country | % of Long-Term Investments | |
Brazil | 5.2 | |
China | 33.9 | |
Cyprus | 0.8 | |
Hong Kong | 2.2 | |
Hungary | 1.2 | |
India | 11.3 | |
Indonesia | 1.6 | |
Macau | 2.8 | |
Mexico | 4.6 | |
Netherlands | 3.1 | |
Peru | 0.5 |
Country | % of Long-Term Investments | |
Philippines | 1.1 | |
Poland | 0.5 | |
Russia | 4.1 | |
South Africa | 4.1 | |
South Korea | 9.1 | |
Taiwan | 13.2 | |
Thailand | 0.5 | |
Vietnam | 0.2 | |
| ||
100.0 | ||
|
The accompanying notes are an integral part of these financial statements.
12 |
AMG GW&K Emerging Wealth Equity Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Consumer Discretionary | 40.0 | |
Financials | 20.5 | |
Information Technology | 13.2 | |
Health Care | 12.3 | |
Communication Services | 6.3 | |
Consumer Staples | 3.4 | |
Materials | 2.3 | |
Short-Term Investments | 1.1 | |
Other Assets Less Liabilities | 0.9 |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Sands China, Ltd. (Macau) | 7.3 | |
Trip.com Group, Ltd., ADR (China) | 5.7 | |
Infineon Technologies AG (Germany) | 4.9 | |
QUALCOMM, Inc. | 4.7 | |
Yum China Holdings, Inc. (China) | 4.6 | |
HDFC Bank, Ltd., ADR (India) | 4.0 | |
AIA Group, Ltd. (Hong Kong) | 3.9 | |
Tencent Music Entertainment Group, ADR (China) | 3.7 | |
Alibaba Group Holding, Ltd., Sponsored ADR (China) | 3.3 | |
Huazhu Group, Ltd., ADR (China) | 3.1 | |
| ||
Top Ten as a Group | 45.2 | |
|
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
13 |
AMG GW&K Emerging Wealth Equity Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 98.0% |
| |||||||
Communication Services - 6.3% |
| |||||||
Kuaishou Technology (China)*,1 | 24,375 | $825,287 | ||||||
Tencent Holdings, Ltd. (China) | 67,740 | 5,403,758 | ||||||
Tencent Music Entertainment Group, ADR (China)* | 623,559 | 10,862,398 | ||||||
The Walt Disney Co. (United States)* | 7,668 | 1,426,401 | ||||||
Total Communication Services | 18,517,844 | |||||||
Consumer Discretionary - 40.0% |
| |||||||
Alibaba Group Holding, Ltd., Sponsored ADR (China)* | 41,531 | 9,591,584 | ||||||
Eicher Motors, Ltd. (India)* | 124,180 | 4,052,404 | ||||||
Haidilao International Holding, Ltd. (China)1,2 | 499,000 | 3,228,889 | ||||||
Hermes International (France) | 2,514 | 3,155,350 | ||||||
Huazhu Group, Ltd., ADR (China)* | 156,209 | 9,210,083 | ||||||
JD Health International, Inc. | 42,400 | 654,625 | ||||||
Jubilant Foodworks, Ltd. (India)* | 159,188 | 6,201,468 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 4,551 | 3,428,498 | ||||||
MakeMyTrip, Ltd. (India)* | 224,198 | 6,147,509 | ||||||
Moncler SpA (Italy)* | 89,633 | 5,493,651 | ||||||
New Oriental Education & Technology Group, Inc., Sponsored ADR (China)* | 136,130 | 2,077,344 | ||||||
NIKE, Inc., Class B (United States) | 21,089 | 2,796,823 | ||||||
Ozon Holdings PLC, ADR (Cyprus)* | 35,970 | 2,236,974 | ||||||
Sands China, Ltd. (Macau)* | 4,521,400 | 21,395,536 | ||||||
Starbucks Corp. (United States) | 7,676 | 878,825 | ||||||
TAL Education Group, ADR (China)* | 56,980 | 3,245,011 | ||||||
Titan Co., Ltd. (India) | 182,530 | 3,669,141 | ||||||
Trip.com Group, Ltd., ADR (China)* | 427,592 | 16,710,295 | ||||||
Yum China Holdings, Inc. (China) | 212,288 | 13,357,161 | ||||||
Total Consumer Discretionary |
| 117,531,171 | ||||||
Consumer Staples - 3.4% |
| |||||||
The Estee Lauder Cos., Inc., Class A (United States) | 6,660 | 2,089,908 | ||||||
Foshan Haitian Flavouring & Food Co., Ltd., Class A (China) | 50,700 | 1,323,547 | ||||||
LG Household & Health Care, Ltd. (South Korea) | 885 | 1,222,299 | ||||||
Wal-Mart de Mexico, S.A.B. de CV (Mexico) | 373,570 | 1,225,070 | ||||||
Wuliangye Yibin Co., Ltd., Class A (China) | 92,603 | 4,057,986 | ||||||
Total Consumer Staples | 9,918,810 | |||||||
Financials - 20.5% | ||||||||
AIA Group, Ltd. (Hong Kong) | 912,500 | 11,581,976 | ||||||
China International Capital Corp., Ltd., Class H (China)*,1 | 2,747,400 | 6,877,939 | ||||||
Credicorp, Ltd. (Peru) | 40,638 | 4,852,177 |
Shares | Value | |||||||
East Money Information Co., Ltd., Class A (China) | 446,100 | $2,211,682 | ||||||
Grupo Financiero Banorte, S.A.B de CV, Class O (Mexico) | 1,307,504 | 7,424,057 | ||||||
HDFC Bank, Ltd., ADR (India)* | 167,783 | 11,791,789 | ||||||
Hong Kong Exchanges & Clearing, Ltd. (Hong Kong) | 66,350 | 4,001,638 | ||||||
Kotak Mahindra (India)* | 390,686 | 9,198,693 | ||||||
LIC Housing Finance, Ltd. (India) | 432,200 | 2,360,143 | ||||||
Total Financials | 60,300,094 | |||||||
Health Care - 12.3% | ||||||||
Alibaba Health Information Technology, Ltd. (Hong Kong)* | 1,209,602 | 3,681,784 | ||||||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd., Class A (China) | 1,669,312 | 6,439,498 | ||||||
CSPC Pharmaceutical Group, Ltd. (China) | 2,317,600 | 2,860,705 | ||||||
Jiangsu Hengrui Medicine Co., Ltd., Class A (China) | 175,384 | 2,271,820 | ||||||
Jinxin Fertility Group, Ltd. (China)1 | 968,000 | 2,480,403 | ||||||
Lepu Medical Technology Beijing Co., Ltd., Class A (China) | 158,800 | 785,535 | ||||||
Meinian Onehealth Healthcare Holdings Co., Ltd., Class A (China)* | 2,530,848 | 4,797,502 | ||||||
Novo Nordisk A/S, Class B (Denmark) | 65,224 | 4,811,410 | ||||||
Ping An Healthcare and Technology Co., Ltd. (China)*,1,2 | 413,310 | 4,822,441 | ||||||
Wuxi Biologics Cayman, Inc. (China)*,1 | 227,500 | 3,193,598 | ||||||
Total Health Care |
| 36,144,696 | ||||||
Information Technology - 13.2% |
| |||||||
Infineon Technologies AG (Germany) | 358,835 | 14,389,485 | ||||||
Kingsoft Corp., Ltd. (China) | 348,000 | 2,455,362 | ||||||
Mastercard, Inc., Class A (United States) | 7,985 | 3,050,749 | ||||||
OneConnect Financial Technology Co., Ltd., ADR (China)*,2 | 84,145 | 1,240,297 | ||||||
QUALCOMM, Inc. (United States) | 99,874 | 13,862,511 | ||||||
SK Hynix, Inc. (South Korea) | 19,300 | 2,201,770 | ||||||
Yeahka, Ltd. (China)*,2 | 188,800 | 1,552,489 | ||||||
Total Information Technology | 38,752,663 | |||||||
Materials - 2.3% | ||||||||
Asian Paints, Ltd. (India) | 178,348 | 6,098,142 | ||||||
Chr Hansen Holding A/S (Denmark)* | 8,523 | 782,475 | ||||||
Total Materials | 6,880,617 | |||||||
Total Common Stocks | 288,045,895 |
The accompanying notes are an integral part of these financial statements.
14 |
AMG GW&K Emerging Wealth Equity Fund Schedule of Portfolio Investments (continued) |
Principal
| Value
| |||||||
Short-Term Investments - 1.1% | ||||||||
Joint Repurchase Agreements - 1.1%3 |
| |||||||
Bank of America Securities, Inc., dated 04/30/21, due 05/03/21, 0.010% total to be received $1,000,001 (collateralized by various U.S. Government Agency Obligations, 1.000% -5.500%, 11/01/28 - 05/01/51, totaling $1,020,000) | $ | 1,000,000 | $ | 1,000,000 | ||||
Daiwa Capital Markets America, dated 04/30/21, due 05/03/21, 0.010% total to be received $1,000,001 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 8.000%, 06/30/21 - 05/01/51, totaling $1,020,000) | 1,000,000 | 1,000,000 | ||||||
Morgan Stanley & Co. LLC, dated 04/30/21, due 05/03/21, 0.010% total to be received $343,259 (collateralized by various U.S. Government Agency Obligations, 2.000% - 4.000%, 04/01/36 - 05/01/51, totaling $350,124)
|
| 343,259
|
|
| 343,259
|
|
Principal
| Value
| |||||||
RBC Dominion Securities, Inc., dated 04/30/21, due 05/03/21, 0.010% total to be received $1,000,001 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.500%, 06/01/21 -12/15/60, totaling $1,020,000) | $ | 1,000,000 | $ | 1,000,000 | ||||
Total Joint Repurchase Agreements | 3,343,259 | |||||||
Total Short-Term Investments | ||||||||
(Cost $3,343,259) | 3,343,259 | |||||||
Total Investments - 99.1% | ||||||||
(Cost $230,369,071) | 291,389,154 | |||||||
Other Assets, less Liabilities - 0.9% |
| 2,587,217 | ||||||
Net Assets - 100.0% | $
| 293,976,371
|
|
* | Non-income producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the value of these securities amounted to $22,083,182 or 7.5% of net assets. |
2 | Some of these securities, amounting to $5,112,550 or 1.7% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
3 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
ADR | American Depositary Receipt |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of April 30, 2021:
Level 1 | Level 21 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $66,251,609 | $51,279,562 | — | $117,531,171 | ||||||||||||
Financials | 24,068,023 | 36,232,071 | — | 60,300,094 | ||||||||||||
Information Technology | 18,153,557 | 20,599,106 | — | 38,752,663 | ||||||||||||
Health Care | — | 36,144,696 | — | 36,144,696 | ||||||||||||
Communication Services | 13,114,086 | 5,403,758 | — | 18,517,844 | ||||||||||||
Consumer Staples | 3,314,978 | 6,603,832 | — | 9,918,810 | ||||||||||||
Materials | — | 6,880,617 | — | 6,880,617 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 3,343,259 | — | 3,343,259 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $124,902,253 | $166,486,901 | — | $291,389,154 | ||||||||||||
|
|
|
|
|
|
|
|
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. |
For the six months ended April 30, 2021, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
15 |
AMG GW&K Emerging Wealth Equity Fund Schedule of Portfolio Investments (continued) |
The country allocation in the Schedule of Portfolio Investments at April 30, 2021, was as follows:
Country
| % of Long-Term Investments
| |||
China | 42.5 | |||
Cyprus | 0.8 | |||
Denmark | 1.9 | |||
France | 2.3 | |||
Germany | 5.0 | |||
Hong Kong | 6.7 | |||
India | 17.2 | |||
Italy | 1.9 | |||
Macau | 7.4 | |||
Mexico | 3.0 | |||
Peru | 1.7 | |||
South Korea | 1.2 | |||
United States | 8.4 | |||
|
|
| ||
100.0 | ||||
|
|
|
The accompanying notes are an integral part of these financial statements.
16 |
AMG GW&K Small/Mid Cap Growth Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector
| % of
| |
Information Technology | 30.1 | |
Health Care | 28.1 | |
Industrials | 14.8 | |
Consumer Discretionary | 14.4 | |
Financials | 5.0 | |
Materials | 3.6 | |
Real Estate | 2.3 | |
Consumer Staples | 1.5 | |
Short-Term Investments | 1.0 | |
Other Assets Less Liabilities | (0.8) |
TOP TEN HOLDINGS
Security Name
| % of
| |||
HubSpot, Inc. | 3.6 | |||
EPAM Systems, Inc. | 3.1 | |||
Zebra Technologies Corp., Class A | 3.1 | |||
Paylocity Holding Corp. | 2.8 | |||
Burlington Stores, Inc. | 2.7 | |||
Catalent, Inc. | 2.5 | |||
Gartner, Inc. | 2.2 | |||
Brooks Automation, Inc. | 2.2 | |||
Pool Corp. | 2.0 | |||
Syneos Health, Inc. | 2.0 | |||
|
| |||
Top Ten as a Group | 26.2 | |||
|
|
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
17 |
AMG GW&K Small/Mid Cap Growth Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 99.8% | ||||||||
Consumer Discretionary - 14.4% | ||||||||
Bright Horizons Family Solutions, Inc.* | 2,204 | $319,205 | ||||||
Burlington Stores, Inc.* | 3,403 | 1,110,501 | ||||||
Churchill Downs, Inc. | 2,476 | 523,674 | ||||||
Five Below, Inc.* | 2,434 | 489,891 | ||||||
Grand Canyon Education, Inc.* | 5,105 | 552,820 | ||||||
Lithia Motors, Inc., Class A | 1,294 | 497,388 | ||||||
LKQ Corp.* | 10,784 | 503,721 | ||||||
Pool Corp. | 1,939 | 819,266 | ||||||
Texas Roadhouse, Inc.* | 6,955 | 744,324 | ||||||
Vail Resorts, Inc.* | 1,086 | 353,124 | ||||||
Total Consumer Discretionary | 5,913,914 | |||||||
Consumer Staples - 1.5% | ||||||||
Performance Food Group Co.* | 5,972 | 350,556 | ||||||
PriceSmart, Inc. | 3,418 | 287,249 | ||||||
Total Consumer Staples | 637,805 | |||||||
Financials - 5.0% | ||||||||
Evercore, Inc., Class A | 2,988 | 418,708 | ||||||
MarketAxess Holdings, Inc. | 1,631 | 796,678 | ||||||
Pinnacle Financial Partners, Inc. | 4,455 | 390,436 | ||||||
Signature Bank | 1,858 | 467,306 | ||||||
Total Financials | 2,073,128 | |||||||
Health Care - 28.1% | ||||||||
Acadia Healthcare Co., Inc.* | 9,633 | 586,842 | ||||||
Albireo Pharma, Inc.* | 11,144 | 357,722 | ||||||
Arena Pharmaceuticals, Inc.* | 5,665 | 388,789 | ||||||
Biohaven Pharmaceutical Holding Co., Ltd.* | 4,692 | 352,369 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 788 | 496,543 | ||||||
Catalent, Inc.* | 8,984 | 1,010,431 | ||||||
Chemed Corp. | 703 | 335,057 | ||||||
CryoPort, Inc.*,1 | 7,770 | 439,549 | ||||||
Deciphera Pharmaceuticals, Inc.* | 9,158 | 424,657 | ||||||
Emergent BioSolutions, Inc.* | 4,852 | 295,875 | ||||||
Globus Medical, Inc., Class A* | 9,231 | 662,509 | ||||||
Halozyme Therapeutics, Inc.* | 8,239 | 411,538 | ||||||
HealthEquity, Inc.* | 7,444 | 565,521 | ||||||
Horizon Therapeutics PLC* | 6,815 | 644,835 | ||||||
ICU Medical, Inc.* | 951 | 198,065 | ||||||
Integra LifeSciences Holdings Corp.* | 7,127 | 527,968 | ||||||
LHC Group, Inc.* | 3,216 | 669,796 | ||||||
Medpace Holdings, Inc.* | 2,740 | 464,923 | ||||||
Neurocrine Biosciences, Inc.*,1 | 3,844 | 363,220 |
Shares | Value | |||||||
Oyster Point Pharma, Inc.*,1 | 19,496 | $402,592 | ||||||
Phathom Pharmaceuticals, Inc.* | 8,468 | 326,187 | ||||||
Syneos Health, Inc.* | 9,623 | 816,512 | ||||||
West Pharmaceutical Services, Inc. | 1,600 | 525,632 | ||||||
Zogenix, Inc.*,1 | 16,042 | 303,033 | ||||||
Total Health Care | 11,570,165 | |||||||
Industrials - 14.8% | ||||||||
Booz Allen Hamilton Holding Corp. | 3,897 | 323,256 | ||||||
CACI International, Inc., Class A* | 1,552 | 395,543 | ||||||
Dycom Industries, Inc.* | 2,233 | 209,478 | ||||||
Gibraltar Industries, Inc.* | 4,043 | 371,390 | ||||||
Graco, Inc. | 6,436 | 494,285 | ||||||
IAA, Inc.* | 8,102 | 508,887 | ||||||
Ingersoll Rand, Inc.* | 10,307 | 509,269 | ||||||
JELD-WEN Holding, Inc.* | 5,252 | 153,201 | ||||||
Knight-Swift Transportation Holdings, Inc. | 6,399 | 301,521 | ||||||
RBC Bearings, Inc.* | 1,621 | 323,276 | ||||||
Ritchie Bros. Auctioneers, Inc. (Canada) | 11,974 | 761,546 | ||||||
SiteOne Landscape Supply, Inc.* | 4,084 | 732,588 | ||||||
The Toro Co. | 4,956 | 567,957 | ||||||
Woodward, Inc. | 3,346 | 418,283 | ||||||
Total Industrials | 6,070,480 | |||||||
Information Technology - 30.1% | ||||||||
Brooks Automation, Inc. | 9,074 | 919,469 | ||||||
Cerence, Inc.*,1 | 8,374 | 807,337 | ||||||
Cognex Corp. | 8,467 | 729,178 | ||||||
The Descartes Systems Group, Inc. (Canada)* | 6,223 | 398,645 | ||||||
Entegris, Inc. | 5,997 | 675,142 | ||||||
EPAM Systems, Inc.* | 2,785 | 1,274,834 | ||||||
Gartner, Inc.* | 4,730 | 926,512 | ||||||
HubSpot, Inc.* | 2,810 | 1,479,325 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 7,351 | 416,140 | ||||||
Paylocity Holding Corp.* | 5,967 | 1,153,063 | ||||||
Rapid7, Inc.*,1 | 9,702 | 788,288 | ||||||
Rogers Corp.* | 1,964 | 384,630 | ||||||
Silicon Laboratories, Inc.* | 3,136 | 442,019 | ||||||
SS&C Technologies Holdings, Inc. | 4,463 | 331,244 | ||||||
Tyler Technologies, Inc.* | 942 | 400,218 | ||||||
Zebra Technologies Corp., Class A* | 2,581 | 1,258,857 | ||||||
Total Information Technology | 12,384,901 | |||||||
Materials - 3.6% | ||||||||
AptarGroup, Inc. | 3,152 | 475,353 | ||||||
Avient Corp. | 6,739 | 342,139 |
The accompanying notes are an integral part of these financial statements.
18 |
AMG GW&K Small/Mid Cap Growth Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Materials - 3.6% (continued) | ||||||||
Eagle Materials, Inc. | 1,314 | $181,516 | ||||||
RPM International, Inc. | 4,902 | 464,906 | ||||||
Total Materials | 1,463,914 | |||||||
Real Estate - 2.3% | ||||||||
American Campus Communities, Inc., REIT | 4,946 | 223,609 | ||||||
CoreSite Realty Corp., REIT | 1,801 | 218,803 | ||||||
Sun Communities, Inc., REIT | 3,017 | 503,326 | ||||||
Total Real Estate | 945,738 | |||||||
Total Common Stocks |
| |||||||
(Cost $37,140,858) | 41,060,045 | |||||||
Principal Amount | ||||||||
Short-Term Investments - 1.0% |
| |||||||
Joint Repurchase Agreements - 1.0%2 |
| |||||||
Citigroup Global Markets, Inc., dated 04/30/21, due 05/03/21, 0.010% total to be received $409,985 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.000%, 05/15/21 - 04/20/51, totaling $418,185) | $409,985 | 409,985 | ||||||
Total Short-Term Investments | ||||||||
(Cost $409,985) | 409,985 |
Value | ||||
Total Investments - 100.8% | ||||
(Cost $37,550,843) | $41,470,030 | |||
Other Assets, less Liabilities - (0.8)% | (341,939 | ) | ||
Net Assets - 100.0% | $41,128,091 |
* | Non-income producing security. |
1 | Some of these securities, amounting to $2,339,811 or 5.7% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
2 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
REIT Real Estate Investment Trust
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of April 30, 2021:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks† | $41,060,045 | – | – | $41,060,045 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | – | $409,985 | – | 409,985 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $41,060,045 | $409,985 | – | $41,470,030 | ||||||||||||
|
|
|
|
|
|
|
|
† | All common stocks held in the Fund are Level 1 securities. For a detailed breakout of common stocks by major industry classification, please refer to the Fund’s Schedule of Portfolio Investments. |
For the six months ended April 30, 2021, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
19 |
AMG GW&K Small Cap Value Fund II Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector
| % of
| |
Financials | 29.9 | |
Industrials | 20.2 | |
Consumer Discretionary | 14.2 | |
Real Estate | 9.0 | |
Health Care | 7.1 | |
Materials | 5.6 | |
Energy | 4.3 | |
Information Technology | 4.0 | |
Utilities | 3.8 | |
Consumer Staples | 3.1 | |
Communication Services | 1.9 | |
Other Assets Less Liabilities | (3.1) |
TOP TEN HOLDINGS
Security Name
| % of
| |||
Tenet Healthcare Corp. | 2.4 | |||
Group 1 Automotive, Inc. | 2.4 | |||
Central Garden & Pet Co. | 2.3 | |||
Pacific Premier Bancorp, Inc. | 2.2 | |||
Walker & Dunlop, Inc. | 2.2 | |||
Ameris Bancorp | 2.2 | |||
Independence Realty Trust, Inc. | 2.0 | |||
Piper Sandler Cos | 2.0 | |||
Stifel Financial Corp. | 2.0 | |||
Gray Television, Inc. | 1.9 | |||
|
| |||
Top Ten as a Group | 21.6 | |||
|
|
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
20 |
AMG GW&K Small Cap Value Fund II Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 103.1% | ||||||||
Communication Services - 1.9% | ||||||||
Gray Television, Inc. | 155,579 | $3,161,365 | ||||||
Consumer Discretionary - 14.2% | ||||||||
Boot Barn Holdings, Inc.* | 41,342 | 2,916,265 | ||||||
Callaway Golf Co. | 92,509 | 2,678,135 | ||||||
Deckers Outdoor Corp.* | 6,204 | 2,098,193 | ||||||
Denny’s Corp.* | 152,111 | 2,880,982 | ||||||
Group 1 Automotive, Inc. | 24,603 | 4,038,828 | ||||||
Johnson Outdoors, Inc., Class A | 19,001 | 2,694,532 | ||||||
MDC Holdings, Inc. | 23,844 | 1,398,689 | ||||||
Patrick Industries, Inc. | 27,630 | 2,475,648 | ||||||
Stoneridge, Inc.* | 73,931 | 2,458,206 | ||||||
Total Consumer Discretionary | 23,639,478 | |||||||
Consumer Staples - 3.1% |
| |||||||
BJ’s Wholesale Club Holdings, Inc.* | 31,804 | 1,420,685 | ||||||
Central Garden & Pet Co.* | 69,235 | 3,748,383 | ||||||
Total Consumer Staples |
| 5,169,068 | ||||||
Energy - 4.3% |
| |||||||
Magnolia Oil & Gas Corp., Class A* | 141,484 | 1,593,110 | ||||||
Matador Resources Co. | 78,254 | 2,058,862 | ||||||
ProPetro Holding Corp.* | 132,329 | 1,274,328 | ||||||
Renewable Energy Group, Inc.*,1 | 22,942 | 1,273,740 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A | 95,136 | 1,040,788 | ||||||
Total Energy |
| 7,240,828 | ||||||
Financials - 29.9% |
| |||||||
Ameris Bancorp | 67,273 | 3,638,797 | ||||||
Atlantic Union Bankshares Corp. | 80,501 | 3,112,974 | ||||||
Cathay General Bancorp | 51,932 | 2,102,207 | ||||||
City Holding Co. | 22,993 | 1,779,658 | ||||||
Community Bank System, Inc. | 37,380 | 2,901,809 | ||||||
Enterprise Financial Services Corp. | 44,201 | 2,171,595 | ||||||
Federal Agricultural Mortgage Corp., Class C | 21,022 | 2,162,323 | ||||||
First Financial Bancorp | 84,211 | 2,064,012 | ||||||
First Interstate BancSystem, Inc., Class A | 45,242 | 2,125,017 | ||||||
Flagstar Bancorp, Inc. | 50,430 | 2,347,012 | ||||||
International Bancshares Corp. | 51,807 | 2,455,134 | ||||||
James River Group Holdings, Ltd. (Bermuda) | 33,637 | 1,584,639 | ||||||
OceanFirst Financial Corp. | 123,061 | 2,813,174 | ||||||
Pacific Premier Bancorp, Inc. | 84,423 | 3,717,145 | ||||||
Piper Sandler Cos | 28,252 | 3,276,950 | ||||||
Selective Insurance Group, Inc. | 40,113 | 3,054,204 | ||||||
Stifel Financial Corp. | 47,139 | 3,261,547 | ||||||
Shares | Value | |||||||
Walker & Dunlop, Inc. | 32,953 | $3,652,840 | ||||||
WesBanco, Inc. | 42,529 | 1,543,377 | ||||||
Total Financials |
| 49,764,414 | ||||||
Health Care - 7.1% |
| |||||||
Apollo Medical Holdings, Inc.* | 65,046 | 1,931,216 | ||||||
Covetrus, Inc.* | 51,561 | 1,477,223 | ||||||
Emergent BioSolutions, Inc.* | 14,883 | 907,565 | ||||||
Integer Holdings Corp.* | 21,030 | 1,974,296 | ||||||
Supernus Pharmaceuticals, Inc.* | 45,610 | 1,388,825 | ||||||
Tenet Healthcare Corp.* | 68,463 | 4,057,117 | ||||||
Total Health Care |
| 11,736,242 | ||||||
Industrials - 20.2% |
| |||||||
Allegiant Travel Co.* | 5,210 | 1,228,153 | ||||||
American Woodmark Corp.* | 19,027 | 1,892,425 | ||||||
Atkore, Inc.* | 25,427 | 1,990,426 | ||||||
CACI International, Inc., Class A* | 10,009 | 2,550,894 | ||||||
CBIZ, Inc.* | 61,486 | 2,065,315 | ||||||
Columbus McKinnon Corp. | 63,293 | 3,133,636 | ||||||
Comfort Systems USA, Inc. | 25,412 | 2,092,932 | ||||||
Douglas Dynamics, Inc. | 56,341 | 2,520,133 | ||||||
Federal Signal Corp. | 76,063 | 3,151,290 | ||||||
Gibraltar Industries, Inc.* | 27,138 | 2,492,897 | ||||||
ICF International, Inc. | 27,791 | 2,530,648 | ||||||
Lydall, Inc.* | 54,495 | 2,008,141 | ||||||
Primoris Services Corp. | 57,125 | 1,865,703 | ||||||
SkyWest, Inc.* | 38,529 | 1,913,350 | ||||||
UFP Industries, Inc. | 25,438 | 2,137,810 | ||||||
Total Industrials | 33,573,753 | |||||||
Information Technology - 4.0% | ||||||||
American Software, Inc., Class A | 65,357 | 1,352,236 | ||||||
Power Integrations, Inc. | 17,824 | 1,476,006 | ||||||
Silicon Laboratories, Inc.* | 11,188 | 1,576,949 | ||||||
Viavi Solutions, Inc.* | 136,506 | 2,233,238 | ||||||
Total Information Technology |
| 6,638,429 | ||||||
Materials - 5.6% |
| |||||||
Minerals Technologies, Inc. | 26,499 | 2,070,632 | ||||||
Orion Engineered Carbons, S.A. (Luxembourg)* | 129,047 | 2,562,874 | ||||||
Schnitzer Steel Industries, Inc., Class A | 65,554 | 3,094,804 | ||||||
Worthington Industries, Inc. | 24,447 | 1,595,411 | ||||||
Total Materials |
| 9,323,721 | ||||||
Real Estate - 9.0% |
| |||||||
Agree Realty Corp., REIT | 30,300 | 2,131,908 | ||||||
Four Corners Property Trust, Inc., REIT | 93,538 | 2,700,442 | ||||||
The accompanying notes are an integral part of these financial statements.
21 |
AMG GW&K Small Cap Value Fund II Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Real Estate - 9.0% (continued) |
| |||||||
Getty Realty Corp., REIT | 76,513 | $2,416,281 | ||||||
Independence Realty Trust, Inc., REIT | 199,294 | 3,356,111 | ||||||
Lexington Realty Trust, REIT | 105,794 | 1,294,919 | ||||||
Summit Hotel Properties, Inc., | 136,326 | 1,386,435 | ||||||
Xenia Hotels & Resorts, Inc., REIT * | 90,817 | 1,764,574 | ||||||
Total Real Estate | 15,050,670 | |||||||
Utilities - 3.8% | ||||||||
IDACORP, Inc. | 22,950 | 2,351,916 | ||||||
Shares | Value | |||||||
NorthWestern Corp. | 32,582 | $2,216,553 | ||||||
Southwest Gas Holdings, Inc. | 24,975 | 1,741,257 | ||||||
Total Utilities | 6,309,726 | |||||||
Total Common Stocks | 171,607,694 | |||||||
Total Investments - 103.1% | 171,607,694 | |||||||
Other Assets, less Liabilities - (3.1)% | (5,136,781 | ) | ||||||
Net Assets - 100.0% | $166,470,913 | |||||||
* | Non-income producing security. |
1 | Some of these securities, amounting to $1,260,970 or 0.8% of net assets, were out on loan to various borrowers and are collateralized by various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
REIT | Real Estate Investment Trust |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of April 30, 2021:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks† | $ | 171,607,694 | — | — | $ | 171,607,694 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 171,607,694 | — | — | $ | 171,607,694 | ||||||||||
|
|
|
|
|
|
|
|
† | All common stocks held in the Fund are Level 1 securities. For a detailed breakout of common stocks by major industry classification, please refer to the Fund’s Schedule of Portfolio Investments. |
For the six months ended April 30, 2021, there were no transfers in or out of Level 3
The accompanying notes are an integral part of these financial statements.
22 |
Statement of Assets and Liabilities (unaudited) April 30, 2021 |
AMG GW&K Core Bond ESG Fund | AMG GW&K Emerging Markets Equity Fund | AMG GW&K Emerging Wealth Equity Fund | AMG GW&K Small/Mid Cap Growth Fund | AMG GW&K Small Cap Value Fund II | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments at value1 (including securities on loan valued at $0, $1,107,000, $5,112,550, $2,339,811, and $1,260,970, respectively) | $190,078,448 | $62,583,550 | $291,389,154 | $41,470,030 | $171,607,694 | |||||||||||||||
Cash | 6,927,728 | 1,976,833 | 5,534,827 | 191,097 | — | |||||||||||||||
Foreign currency2 | — | 488,596 | 490,263 | — | — | |||||||||||||||
Receivable for investments sold | — | — | — | — | 3,009,122 | |||||||||||||||
Dividend and interest receivables | 1,185,065 | 62,866 | 264,607 | 4,232 | 23,908 | |||||||||||||||
Securities lending income receivable | — | 664 | 1,774 | — | — | |||||||||||||||
Receivable for Fund shares sold | 9,048 | 264,401 | 198,068 | 1,249 | 48,588 | |||||||||||||||
Receivable from affiliate | 10,214 | — | — | 9,604 | 10,168 | |||||||||||||||
Prepaid expenses and other assets | 14,598 | 4,593 | 30,765 | 14,196 | 27,488 | |||||||||||||||
Total assets | 198,225,101 | 65,381,503 | 297,909,458 | 41,690,408 | 174,726,968 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable upon return of securities loaned | — | 277,960 | 3,343,259 | 409,985 | — | |||||||||||||||
Payable for Fund shares repurchased | 113,633 | 14,960 | 176,434 | 78,023 | 7,379,273 | |||||||||||||||
Payable for foreign capital gains tax | — | — | 197,574 | — | — | |||||||||||||||
Due to custodian | — | — | — | — | 664,031 | |||||||||||||||
Accrued expenses: | ||||||||||||||||||||
Investment advisory and management fees | 48,883 | 29,860 | 132,237 | 30,224 | 135,883 | |||||||||||||||
Administrative fees | 24,441 | 8,006 | 36,065 | 5,037 | 22,647 | |||||||||||||||
Distribution fees | 382 | 108 | 399 | 4,951 | 2,306 | |||||||||||||||
Shareholder service fees | 12,094 | 1,919 | 5,281 | 2,351 | 7,054 | |||||||||||||||
Other | 74,072 | 40,742 | 41,838 | 31,746 | 44,861 | |||||||||||||||
Total liabilities | 273,505 | 373,555 | 3,933,087 | 562,317 | 8,256,055 | |||||||||||||||
Net Assets | $197,951,596 | $65,007,948 | $293,976,371 | $41,128,091 | $166,470,913 | |||||||||||||||
1 Investments at cost | $184,896,438 | $45,574,366 | $230,369,071 | $37,550,843 | $159,618,083 | |||||||||||||||
2 Foreign currency at cost | — | $489,061 | $490,263 | — | — |
The accompanying notes are an integral part of these financial statements. 23 |
Statement of Assets and Liabilities (continued) |
AMG GW&K Core Bond ESG Fund | AMG GW&K Emerging Markets Equity Fund | AMG GW&K Emerging Wealth Equity Fund | AMG GW&K Small/Mid Cap Growth Fund | AMG GW&K Small Cap Value Fund II | ||||||||||||||||
Net Assets Represent: | ||||||||||||||||||||
Paid-in capital | $189,494,761 | $46,440,148 | $226,027,402 | $39,527,637 | $169,699,043 | |||||||||||||||
Total distributable earnings (loss) | 8,456,835 | 18,567,800 | 67,948,969 | 1,600,454 | (3,228,130 | ) | ||||||||||||||
Net Assets | $197,951,596 | $65,007,948 | $293,976,371 | $41,128,091 | $166,470,913 | |||||||||||||||
Class N: | ||||||||||||||||||||
Net Assets | $1,861,680 | $469,979 | $1,837,042 | $34,578,812 | $6,043,659 | |||||||||||||||
Shares outstanding | 173,452 | 41,233 | 117,816 | 2,169,612 | 446,495 | |||||||||||||||
Net asset value, offering and redemption price per share | $10.73 | $11.40 | $15.59 | $15.94 | $13.54 | |||||||||||||||
Class I: | ||||||||||||||||||||
Net Assets | $192,137,819 | $27,744,373 | $42,791,686 | $6,549,279 | $98,037,044 | |||||||||||||||
Shares outstanding | 17,894,652 | 2,459,900 | 2,720,373 | 395,208 | 7,101,131 | |||||||||||||||
Net asset value, offering and redemption price per share | $10.74 | $11.28 | $15.73 | $16.57 | $13.81 | |||||||||||||||
Class Z: | ||||||||||||||||||||
Net Assets | $3,952,097 | $36,793,596 | $249,347,643 | — | $62,390,210 | |||||||||||||||
Shares outstanding | 368,287 | 3,280,502 | 15,886,672 | — | 4,524,059 | |||||||||||||||
Net asset value, offering and redemption price per share | $10.73 | $11.22 | $15.70 | — | $13.79 |
The accompanying notes are an integral part of these financial statements. 24 |
Statement of Operations (unaudited) For the six months ended April 30, 2021 |
AMG GW&K Core Bond ESG Fund | AMG GW&K Emerging Markets Equity Fund | AMG GW&K Emerging Wealth Equity Fund | AMG GW&K Small/Mid Cap Growth Fund | AMG GW&K Small Cap Value Fund II | |||||||||||||||||||||
Investment Income: | |||||||||||||||||||||||||
Dividend income | $97 | $287,923 | 1 | $751,091 | $30,476 | $1,167,067 | |||||||||||||||||||
Interest income | 2,149,715 | — | — | — | — | ||||||||||||||||||||
Securities lending income | — | 1,668 | 9,709 | 5,294 | 4,940 | ||||||||||||||||||||
Foreign withholding tax | — | (44,000 | ) | (65,673 | ) | — | — | ||||||||||||||||||
Total investment income | 2,149,812 | 245,591 | 695,127 | 35,770 | 1,172,007 | ||||||||||||||||||||
Expenses: | |||||||||||||||||||||||||
Investment advisory and management fees | 302,839 | 155,176 | 733,034 | 192,364 | 978,087 | ||||||||||||||||||||
Administrative fees | 151,419 | 42,321 | 199,918 | 32,061 | 163,015 | ||||||||||||||||||||
Distribution fees - Class N | 2,273 | 656 | 2,433 | 31,880 | 30,012 | ||||||||||||||||||||
Shareholder servicing fees - Class N | 1,364 | 393 | 1,460 | 12,214 | 8,186 | ||||||||||||||||||||
Shareholder servicing fees - Class I | 73,608 | 9,957 | 21,783 | 2,748 | 50,781 | ||||||||||||||||||||
Professional fees | 27,422 | 18,222 | 23,284 | 12,335 | 16,415 | ||||||||||||||||||||
Reports to shareholders | 21,235 | 4,272 | 8,163 | 8,336 | 16,216 | ||||||||||||||||||||
Registration fees | 15,910 | 16,747 | 29,278 | 14,282 | 23,300 | ||||||||||||||||||||
Custodian fees | 12,719 | 29,961 | 42,049 | 9,239 | 13,861 | ||||||||||||||||||||
Transfer agent fees | 10,202 | 1,264 | 3,562 | 4,255 | 2,806 | ||||||||||||||||||||
Trustee fees and expenses | 8,763 | 2,362 | 10,230 | 1,830 | 9,123 | ||||||||||||||||||||
Interest expense | — | — | — | 166 | 9,082 | ||||||||||||||||||||
Miscellaneous | 4,331 | 1,957 | 2,955 | 2,011 | 8,804 | ||||||||||||||||||||
Total expenses before offsets | 632,085 | 283,288 | 1,078,149 | 323,721 | 1,329,688 | ||||||||||||||||||||
Expense reimbursements | (70,298 | ) | (26,822 | ) | — | (56,563 | ) | (56,058 | ) | ||||||||||||||||
Expense reductions | — | — | — | (1,451 | ) | (48,699 | ) | ||||||||||||||||||
Fee waivers | — | (297 | ) | — | — | — | |||||||||||||||||||
Net expenses | 561,787 | 256,169 | 1,078,149 | 265,707 | 1,224,931 | ||||||||||||||||||||
Net investment income (loss) | 1,588,025 | (10,578 | ) | (383,022 | ) | (229,937 | ) | (52,924 | ) | ||||||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||||
Net realized gain on investments | 3,700,824 | 2,651,323 | 11,267,774 | 14,756,741 | 66,586,774 | ||||||||||||||||||||
Net realized gain (loss) on foreign currency transactions | — | 4,897 | (47,303 | ) | — | — | |||||||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (6,745,394 | ) | 6,793,290 | 25,776,780 | (3,380,429 | ) | 14,347,231 | ||||||||||||||||||
Net change in unrealized appreciation/depreciation on foreign currency translations | — | (2,708 | ) | (94,605 | ) | — | — | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3,044,570 | ) | 9,446,802 | 36,902,646 | 11,376,312 | 80,934,005 | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | $(1,456,545 | ) | $9,436,224 | $36,519,624 | $11,146,375 | $80,881,081 |
1 | Includes non-recurring dividends of $54,159. |
The accompanying notes are an integral part of these financial statements. 25 |
Statements of Changes in Net Assets For the six months ended April 30, 2021 (unaudited) and the fiscal year ended October 31, 2020 |
AMG GW&K Core Bond ESG Fund | AMG GW&K Emerging Markets Equity Fund | AMG GW&K Emerging Wealth Equity Fund | ||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $1,588,025 | $4,276,093 | $(10,578 | ) | $243,007 | $(383,022 | ) | $55,701 | ||||||||||||||||
Net realized gain (loss) on investments | 3,700,824 | 3,844,884 | 2,656,220 | 1,747,550 | 11,220,471 | (3,363,890 | ) | |||||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (6,745,394 | ) | 3,478,614 | 6,790,582 | 1,505,399 | 25,682,175 | 24,585,666 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (1,456,545 | ) | 11,599,591 | 9,436,224 | 3,495,956 | 36,519,624 | 21,277,477 | |||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Class N | (11,429 | ) | (27,152 | ) | (17,233 | ) | (26,892 | ) | — | (55,712 | ) | |||||||||||||
Class I | (1,546,890 | ) | (4,226,935 | ) | (1,069,474 | ) | (1,090,353 | ) | — | (219,919 | ) | |||||||||||||
Class Z | (31,370 | ) | (77,096 | ) | (1,249,608 | ) | (1,569,541 | ) | (35,421 | ) | (3,346,538 | ) | ||||||||||||
Total distributions to shareholders | (1,589,689 | ) | (4,331,183 | ) | (2,336,315 | ) | (2,686,786 | ) | (35,421 | ) | (3,622,169 | ) | ||||||||||||
Capital Share Transactions:1 | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions | (7,081,697 | ) | (16,453,440 | ) | 14,053,680 | (13,302,131 | ) | 47,208,096 | 79,224,668 | |||||||||||||||
Total increase (decrease) in net assets | (10,127,931 | ) | (9,185,032 | ) | 21,153,589 | (12,492,961 | ) | 83,692,299 | 96,879,976 | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 208,079,527 | 217,264,559 | 43,854,359 | 56,347,320 | 210,284,072 | 113,404,096 | ||||||||||||||||||
End of period | $197,951,596 | $208,079,527 | $65,007,948 | $43,854,359 | $293,976,371 | $210,284,072 |
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements. 26 |
Statements of Changes in Net Assets (continued) For the six months ended April 30, 2021 (unaudited) and the fiscal year ended October 31, 2020 |
AMG GW&K Small/Mid Cap Growth Fund | AMG GW&K Small Cap Value Fund II | |||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||
Net investment income (loss) | $(229,937 | ) | $(314,735 | ) | $(52,924 | ) | $489,573 | |||||||||
Net realized gain (loss) on investments | 14,756,741 | 4,712,131 | 66,586,774 | (9,161,963 | ) | |||||||||||
Net change in unrealized appreciation/depreciation on investments | (3,380,429 | ) | 2,853,559 | 14,347,231 | (19,170,573 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 11,146,375 | �� | 7,250,955 | 80,881,081 | (27,842,963 | ) | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Class N | (15,072,357 | ) | — | (3,488,207 | ) | (661,535 | ) | |||||||||
Class I | (3,222,602 | ) | — | (46,711,495 | ) | (4,033,106 | ) | |||||||||
Class Z | — | — | (21,602,353 | ) | (958,145 | ) | ||||||||||
Total distributions to shareholders | (18,294,959 | ) | — | (71,802,055 | ) | (5,652,786 | ) | |||||||||
Capital Share Transactions:1 | ||||||||||||||||
Net increase (decrease) from capital share transactions | 12,885,209 | (17,184,417 | ) | (20,401,597 | ) | (13,237,379 | ) | |||||||||
Total increase (decrease) in net assets | 5,736,625 | (9,933,462 | ) | (11,322,571 | ) | (46,733,128 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 35,391,466 | 45,324,928 | 177,793,484 | 224,526,612 | ||||||||||||
End of period | $41,128,091 | $35,391,466 | $166,470,913 | $177,793,484 |
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements. 27 |
AMG GW&K Core Bond ESG Fund For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.90 | $10.53 | $9.67 | $10.14 | $10.26 | $10.23 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.07 | 0.18 | 0.21 | 0.18 | 0.18 | 0.16 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.17 | ) | 0.37 | 0.86 | (0.46 | ) | (0.12 | ) | 0.28 | |||||||||||||||||||||
Total income (loss) from investment operations | (0.10 | ) | 0.55 | 1.07 | (0.28 | ) | 0.06 | 0.44 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.18 | ) | (0.21 | ) | (0.19 | ) | (0.18 | ) | (0.17 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | — | — | — | (0.24 | ) | |||||||||||||||||||||||
Total distributions to shareholders | (0.07 | ) | (0.18 | ) | (0.21 | ) | (0.19 | ) | (0.18 | ) | (0.41 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.73 | $10.90 | $10.53 | $9.67 | $10.14 | $10.26 | ||||||||||||||||||||||||
Total Return3,4 | (0.94 | )%5 | 5.31 | % | 11.20 | % | (2.79 | )% | 0.57 | % | 4.44 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | | 0.88 | %6 | 0.88 | % | 0.88 | % | 0.88 | % | 0.88 | % | 0.88 | % | |||||||||||||||||
Ratio of gross expenses to average net assets7 | | 0.95 | %6 | 0.96 | % | 0.95 | % | 0.93 | % | 0.93 | % | 0.97 | % | |||||||||||||||||
Ratio of net investment income to average net assets3 | | 1.25 | %6 | 1.69 | % | 2.10 | % | 1.88 | % | 1.75 | % | 1.51 | % | |||||||||||||||||
Portfolio turnover | 30 | %5 | 56 | % | 48 | % | 17 | % | 18 | % | 48 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $1,862 | $1,905 | $1,255 | $502 | $146 | $293 | ||||||||||||||||||||||||
28 |
AMG GW&K Core Bond ESG Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.90 | $10.54 | $9.67 | $10.15 | $10.27 | $10.24 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.09 | 0.22 | 0.24 | 0.22 | 0.21 | 0.21 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.16 | ) | 0.36 | 0.88 | (0.48 | ) | (0.12 | ) | 0.26 | |||||||||||||||||||||
Total income (loss) from investment operations | (0.07 | ) | 0.58 | 1.12 | (0.26 | ) | 0.09 | 0.47 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.22 | ) | (0.25 | ) | (0.22 | ) | (0.21 | ) | (0.20 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | — | — | — | (0.24 | ) | |||||||||||||||||||||||
Total distributions to shareholders | (0.09 | ) | (0.22 | ) | (0.25 | ) | (0.22 | ) | (0.21 | ) | (0.44 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.74 | $10.90 | $10.54 | $9.67 | $10.15 | $10.27 | ||||||||||||||||||||||||
Total Return3,4 | (0.69 | )%5 | 5.55 | % | 11.70 | % | (2.59 | )% | 0.91 | % | 4.79 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.55 | %6 | 0.55 | % | 0.55 | % | 0.56 | % | 0.55 | % | 0.55 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 0.62 | %6 | 0.63 | % | 0.62 | % | 0.61 | % | 0.60 | % | 0.65 | % | ||||||||||||||||||
Ratio of net investment income to average net assets3 | 1.58 | %6 | 2.01 | % | 2.42 | % | 2.20 | % | 2.08 | % | 2.01 | % | ||||||||||||||||||
Portfolio turnover | 30 | %5 | 56 | % | 48 | % | 17 | % | 18 | % | 48 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $192,138 | $202,363 | $212,801 | $264,795 | $325,855 | $414,400 | ||||||||||||||||||||||||
29 |
AMG GW&K Core Bond ESG Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.90 | $10.53 | $9.67 | $10.14 | $10.26 | $10.23 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.09 | 0.22 | 0.25 | 0.23 | 0.22 | 0.19 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.17 | ) | 0.38 | 0.87 | (0.47 | ) | (0.12 | ) | 0.29 | |||||||||||||||||||||
Total income (loss) from investment operations | (0.08 | ) | 0.60 | 1.12 | (0.24 | ) | 0.10 | 0.48 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.23 | ) | (0.26 | ) | (0.23 | ) | (0.22 | ) | (0.21 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | — | — | — | (0.24 | ) | |||||||||||||||||||||||
Total distributions to shareholders | (0.09 | ) | (0.23 | ) | (0.26 | ) | (0.23 | ) | (0.22 | ) | (0.45 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.73 | $10.90 | $10.53 | $9.67 | $10.14 | $10.26 | ||||||||||||||||||||||||
Total Return3,4 | | (0.75 | )%5 | 5.73 | % | 11.71 | % | (2.42 | )% | 0.98 | % | 4.85 | % | |||||||||||||||||
Ratio of net expenses to average net assets | 0.48 | %6 | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 0.55 | %6 | 0.56 | % | 0.55 | % | 0.53 | % | 0.53 | % | 0.58 | % | ||||||||||||||||||
Ratio of net investment income to average net assets3 | 1.65 | %6 | 2.09 | % | 2.50 | % | 2.28 | % | 2.15 | % | 1.88 | % | ||||||||||||||||||
Portfolio turnover | 30 | %5 | 56 | % | 48 | % | 17 | % | 18 | % | 48 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $3,952 | $3,812 | $3,208 | $5,005 | $5,590 | $5,668 | ||||||||||||||||||||||||
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class I and Class Z, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Annualized. |
7 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
30 |
AMG GW&K Emerging Markets Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $9.73 | $9.52 | $8.61 | $10.11 | $7.91 | $7.23 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | (0.02 | )4 | 0.01 | 0.14 | 0.11 | 0.09 | 0.06 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.10 | 0.70 | 1.04 | (1.54 | ) | 2.18 | 0.66 | |||||||||||||||||||||||
Total income (loss) from investment operations | 2.08 | 0.71 | 1.18 | (1.43 | ) | 2.27 | 0.72 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.06 | ) | (0.17 | ) | (0.07 | ) | (0.07 | ) | (0.04 | ) | ||||||||||||||||||
Net realized gain on investments | (0.34 | ) | (0.44 | ) | (0.10 | ) | — | — | — | |||||||||||||||||||||
Total distributions to shareholders | (0.41 | ) | (0.50 | ) | (0.27 | ) | (0.07 | ) | (0.07 | ) | (0.04 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $11.40 | $9.73 | $9.52 | $8.61 | $10.11 | $7.91 | ||||||||||||||||||||||||
Total Return3 | 21.58 | %5,6 | 7.55 | %6 | 13.94 | %6 | (14.24 | )%6 | 28.97 | %6 | 10.01 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.27 | %7 | 1.34 | % | 1.30 | % | 1.27 | % | 1.31 | % | 1.44 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.37 | %7 | 1.52 | % | 1.30 | % | 1.27 | % | 1.31 | % | 1.44 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | (0.40 | )%7 | 0.13 | % | 1.52 | % | 1.12 | % | 1.08 | % | 0.81 | % | ||||||||||||||||||
Portfolio turnover | 18 | %5 | 40 | % | 123 | % | 24 | % | 29 | % | 33 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $470 | $412 | $520 | $289 | $350 | $497 | ||||||||||||||||||||||||
31 |
AMG GW&K Emerging Markets Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $9.69 | $9.48 | $8.60 | $10.11 | $7.90 | $7.19 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | | (0.00 | )4,9 | 0.04 | 0.17 | 0.13 | 0.12 | 0.08 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.08 | 0.69 | 1.04 | (1.53 | ) | 2.18 | 0.67 | |||||||||||||||||||||||
Total income (loss) from investment operations | 2.08 | 0.73 | 1.21 | (1.40 | ) | 2.30 | 0.75 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.08 | ) | (0.23 | ) | (0.11 | ) | (0.09 | ) | (0.04 | ) | ||||||||||||||||||
Net realized gain on investments | (0.34 | ) | (0.44 | ) | (0.10 | ) | — | — | — | |||||||||||||||||||||
Total distributions to shareholders | (0.49 | ) | (0.52 | ) | (0.33 | ) | (0.11 | ) | (0.09 | ) | (0.04 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $11.28 | $9.69 | $9.48 | $8.60 | $10.11 | $7.90 | ||||||||||||||||||||||||
Total Return3,6 | | 21.67 | %5 | 7.91 | % | 14.34 | % | (13.94 | )% | 29.34 | % | 10.48 | % | |||||||||||||||||
Ratio of net expenses to average net assets | 0.95 | %7 | 1.01 | % | 0.97 | % | 0.99 | % | 1.03 | % | 1.07 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.05 | %7 | 1.19 | % | 0.97 | % | 0.99 | % | 1.03 | % | 1.07 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | | (0.08 | )%7 | 0.47 | % | 1.85 | % | 1.40 | % | 1.36 | % | 1.14 | % | |||||||||||||||||
Portfolio turnover | 18 | %5 | 40 | % | 123 | % | 24 | % | 29 | % | 33 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $27,744 | $19,251 | $24,100 | $11,210 | $2,207 | $1,271 | ||||||||||||||||||||||||
32 |
AMG GW&K Emerging Markets Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $9.64 | $9.43 | $8.56 | $10.06 | $7.86 | $7.20 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.00 | 4,9 | 0.05 | 0.18 | 0.15 | 0.13 | 0.09 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.07 | 0.69 | 1.02 | (1.53 | ) | 2.16 | 0.65 | |||||||||||||||||||||||
Total income (loss) from investment operations | 2.07 | 0.74 | 1.20 | (1.38 | ) | 2.29 | 0.74 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.09 | ) | (0.23 | ) | (0.12 | ) | (0.09 | ) | (0.08 | ) | ||||||||||||||||||
Net realized gain on investments | (0.34 | ) | (0.44 | ) | (0.10 | ) | — | — | — | |||||||||||||||||||||
Total distributions to shareholders | (0.49 | ) | (0.53 | ) | (0.33 | ) | (0.12 | ) | (0.09 | ) | (0.08 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $11.22 | $9.64 | $9.43 | $8.56 | $10.06 | $7.86 | ||||||||||||||||||||||||
Total Return3 | | 21.77 | %5,6 | 8.01 | %6 | | 14.39 | %6 | | (13.88 | )%6 | 29.62 | %6 | 10.52 | % | |||||||||||||||
Ratio of net expenses to average net assets | 0.87 | %7 | 0.94 | % | 0.90 | % | 0.87 | % | 0.88 | % | 0.94 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 0.97 | %7 | 1.12 | % | 0.90 | % | 0.87 | % | 0.88 | % | 0.94 | % | ||||||||||||||||||
Ratio of net investment income to average net assets3 | | 0.00 | %7,10 | 0.53 | % | 1.92 | % | 1.52 | % | 1.51 | % | 1.25 | % | |||||||||||||||||
Portfolio turnover | 18 | %5 | 40 | % | 123 | % | 24 | % | 29 | % | 33 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $36,794 | $24,191 | $31,727 | $133,688 | $130,828 | $102,086 | ||||||||||||||||||||||||
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class I and Class Z, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.03), $(0.02), and $(0.01) for Class N, Class I and Class Z, respectively. |
5 | Not annualized. |
6 | The total return is calculated using the published Net Asset Value as of period end. |
7 | Annualized. |
8 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
9 | Less than $0.005 or $(0.005) per share. |
10 | Less than 0.005%. |
33 |
AMG GW&K Emerging Wealth Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.28 | $11.93 | $10.38 | $12.94 | $10.13 | $9.34 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | (0.05 | ) | (0.04 | ) | 0.10 | 0.06 | 0.05 | 0.05 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.36 | 1.72 | 1.95 | (1.88 | ) | 2.80 | 0.74 | |||||||||||||||||||||||
Total income (loss) from investment operations | 2.31 | 1.68 | 2.05 | (1.82 | ) | 2.85 | 0.79 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.06 | ) | (0.06 | ) | (0.05 | ) | (0.04 | ) | — | ||||||||||||||||||||
Net realized gain on investments | — | (0.27 | ) | (0.44 | ) | (0.69 | ) | — | — | |||||||||||||||||||||
Total distributions to shareholders | — | (0.33 | ) | (0.50 | ) | (0.74 | ) | (0.04 | ) | — | ||||||||||||||||||||
Net Asset Value, End of Period | $15.59 | $13.28 | $11.93 | $10.38 | $12.94 | $10.13 | ||||||||||||||||||||||||
Total Return3,4 | | 17.39 | %5 | 14.37 | % | 20.82 | % | (15.16 | )% | 28.31 | % | 8.46 | % | |||||||||||||||||
Ratio of net expenses to average net assets | | 1.19 | %6 | 1.26 | % | | 1.37 | %7 | | 1.45 | %7,8 | | 1.45 | %7,8 | 1.44 | % | ||||||||||||||
Ratio of gross expenses to average net assets9 | | 1.19 | %6 | 1.26 | % | | 1.37 | %7 | | 1.45 | %7 | | 1.45 | %7 | 1.53 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets3 | | (0.67 | )%6 | (0.35 | )% | 0.93 | % | 0.49 | % | 0.45 | % | 0.51 | % | |||||||||||||||||
Portfolio turnover | 18 | %5 | 37 | % | 40 | % | 37 | % | 68 | % | 58 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $1,837 | $1,716 | $2,007 | $1,940 | $10 | $10 | ||||||||||||||||||||||||
34 |
AMG GW&K Emerging Wealth Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.38 | $12.03 | $10.44 | $12.96 | $10.14 | $9.34 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | (0.03 | ) | (0.01 | ) | 0.14 | 0.09 | 0.08 | 0.07 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.38 | 1.73 | 1.96 | (1.88 | ) | 2.81 | 0.75 | |||||||||||||||||||||||
Total income (loss) from investment operations | 2.35 | 1.72 | 2.10 | (1.79 | ) | 2.89 | 0.82 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.10 | ) | (0.07 | ) | (0.04 | ) | (0.07 | ) | (0.02 | ) | |||||||||||||||||||
Net realized gain on investments | — | (0.27 | ) | (0.44 | ) | (0.69 | ) | — | — | |||||||||||||||||||||
Total distributions to shareholders | — | (0.37 | ) | (0.51 | ) | (0.73 | ) | (0.07 | ) | (0.02 | ) | |||||||||||||||||||
Net Asset Value, End of Period | $15.73 | $13.38 | $12.03 | $10.44 | $12.96 | $10.14 | ||||||||||||||||||||||||
Total Return3,4 | | 17.56 | %5 | 14.63 | % | 21.15 | % | (14.89 | )% | 28.73 | % | 8.77 | % | |||||||||||||||||
Ratio of net expenses to average net assets | 0.92 | %6 | 0.97 | % | | 1.08 | %7 | | 1.19 | %7,8 | | 1.12 | %7,8 | 1.16 | % | |||||||||||||||
Ratio of gross expenses to average net assets9 | 0.92 | %6 | 0.97 | % | | 1.08 | %7 | | 1.19 | %7 | | 1.16 | %7 | 1.24 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets3 | | (0.40 | )%6 | (0.06 | )% | 1.22 | % | 0.75 | % | 0.78 | % | 0.79 | % | |||||||||||||||||
Portfolio turnover | 18 | %5 | 37 | % | 40 | % | 37 | % | 68 | % | 58 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $42,792 | $22,813 | $6,328 | $2,539 | $1,646 | $16,639 | ||||||||||||||||||||||||
35 |
AMG GW&K Emerging Wealth Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.34 | $11.99 | $10.41 | $12.97 | $10.15 | $9.35 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | (0.02 | ) | 0.01 | 0.15 | 0.11 | 0.10 | 0.09 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.38 | 1.72 | 1.96 | (1.89 | ) | 2.80 | 0.74 | |||||||||||||||||||||||
Total income (loss) from investment operations | 2.36 | 1.73 | 2.11 | (1.78 | ) | 2.90 | 0.83 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.00 | )10 | (0.11 | ) | (0.09 | ) | (0.09 | ) | (0.08 | ) | (0.03 | ) | ||||||||||||||||||
Net realized gain on investments | — | (0.27 | ) | (0.44 | ) | (0.69 | ) | — | — | |||||||||||||||||||||
Total distributions to shareholders | (0.00 | )10 | (0.38 | ) | (0.53 | ) | (0.78 | ) | (0.08 | ) | (0.03 | ) | ||||||||||||||||||
�� Net Asset Value, End of Period | $15.70 | $13.34 | $11.99 | $10.41 | $12.97 | $10.15 | ||||||||||||||||||||||||
Total Return3,4 | 17.64 | %5 | 14.75 | % | 21.34 | % | (14.87 | )% | 28.86 | % | 8.86 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.79 | %6 | 0.86 | % | 0.97 | %7 | | 1.05 | %7,8 | | 1.05 | %7,8 | 1.05 | % | ||||||||||||||||
Ratio of gross expenses to average net assets9 | 0.79 | %6 | 0.86 | % | 0.97 | %7 | 1.05 | %7 | 1.05 | %7 | 1.15 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | (0.27 | )%6 | 0.05 | % | 1.33 | % | 0.89 | % | 0.85 | % | 0.94 | % | ||||||||||||||||||
Portfolio turnover | 18 | %5 | 37 | % | 40 | % | 37 | % | 68 | % | 58 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $249,348 | $185,755 | $105,069 | $60,443 | $59,500 | $30,777 | ||||||||||||||||||||||||
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class I and Class Z, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
4 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Annualized. |
7 | Such ratio includes recapture of waived/reimbursed fees from prior periods amounting to 0.02%, 0.07% and 0.04% for the fiscal years ended October 31, 2019, 2018 and 2017, respectively. |
8 | Includes reduction from broker recapture amounting to less than 0.01%. |
9 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
10 | Less than $(0.005) per share. |
36 |
AMG GW&K Small/Mid Cap Growth Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $21.14 | $17.02 | $16.90 | $15.30 | $12.19 | $14.47 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment loss1,2 | (0.13 | ) | (0.17 | ) | (0.08 | ) | (0.12 | ) | (0.09 | )3 | (0.11 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 5.97 | 4.29 | 0.20 | 1.72 | 3.20 | (2.17 | ) | |||||||||||||||||||||||
Total income (loss) from investment operations | 5.84 | 4.12 | 0.12 | 1.60 | 3.11 | (2.28 | ) | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net realized gain on investments | (11.04 | ) | — | — | — | — | (0.00 | )4 | ||||||||||||||||||||||
Net Asset Value, End of Period | $15.94 | $21.14 | $17.02 | $16.90 | $15.30 | $12.19 | ||||||||||||||||||||||||
Total Return2,5 | | 32.30 | %6 | 24.27 | % | 0.71 | % | 10.46 | % | 25.51 | % | (15.74 | )% | |||||||||||||||||
Ratio of net expenses to average net assets | | 1.28 | %7,8 | | 1.29 | %8,9 | 1.30 | %8 | 1.31 | %8 | 1.23 | %8 | 1.35 | % | ||||||||||||||||
Ratio of gross expenses to average net assets10 | 1.54 | %7 | 1.60 | % | 1.47 | % | 1.43 | % | 1.36 | % | 1.51 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets2 | | (1.11 | )%7 | (0.92 | )% | (0.48 | )% | (0.73 | )% | (0.65 | )% | (1.00 | )% | |||||||||||||||||
Portfolio turnover | 152 | %6 | 126 | % | 138 | % | 161 | % | 151 | % | 138 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $34,579 | $28,908 | $30,717 | $37,232 | $45,902 | $53,816 | ||||||||||||||||||||||||
37 |
AMG GW&K Small/Mid Cap Growth Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $21.60 | $17.35 | $17.20 | $15.54 | $12.36 | $14.64 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment loss1,2 | (0.11 | ) | (0.14 | ) | (0.05 | ) | (0.09 | ) | (0.07 | )3 | (0.08 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.12 | 4.39 | 0.20 | 1.75 | 3.25 | (2.20 | ) | |||||||||||||||||||||||
Total income (loss) from investment operations | 6.01 | 4.25 | 0.15 | 1.66 | 3.18 | (2.28 | ) | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net realized gain on investments | (11.04 | ) | — | — | — | — | (0.00 | )4 | ||||||||||||||||||||||
Net Asset Value, End of Period | $16.57 | $21.60 | $17.35 | $17.20 | $15.54 | $12.36 | ||||||||||||||||||||||||
Total Return2,5 | | 32.40 | %6 | 24.48 | % | 0.93 | % | 10.68 | % | 25.73 | % | (15.56 | )% | |||||||||||||||||
Ratio of net expenses to average net assets | | 1.10 | %7,8 | | 1.10 | %8,9 | 1.10 | %8 | 1.10 | %8 | 1.05 | %8 | 1.10 | % | ||||||||||||||||
Ratio of gross expenses to average net assets10 | | 1.36 | %7 | 1.41 | % | 1.27 | % | 1.22 | % | 1.18 | % | 1.25 | % | |||||||||||||||||
Ratio of net investment loss to average net assets2 | | (0.93 | )%7 | (0.73 | )% | (0.28 | )% | (0.52 | )% | (0.47 | )% | (0.59 | )% | |||||||||||||||||
Portfolio turnover | | 152 | %6 | 126 | % | 138 | % | 161 | % | 151 | % | 138 | % | |||||||||||||||||
Net assets end of period (000’s) omitted | $6,549 | $6,483 | $14,608 | $65,802 | $79,652 | $58,020 | ||||||||||||||||||||||||
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment loss would have been lower had certain expenses not been offset. |
3 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.11) and $(0.09) for Class N and Class I shares, respectively. |
4 | Less than $(0.005) per share. |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Not annualized. |
7 | Annualized. |
8 | Includes reduction from broker recapture amounting to less than 0.01% for the six months ended April 30, 2021, 0.01%, less than 0.01%, 0.01% and 0.01% for the fiscal years ended 2020, 2019, 2018 and 2017, respectively. |
9 | Includes interest expense of 0.01%. |
10 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
38 |
AMG GW&K Small Cap Value Fund II Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.54 | $15.97 | $16.69 | $19.28 | $15.43 | $15.20 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | (0.02 | ) | 0.00 | 3 | 0.02 | (0.04 | ) | (0.02 | ) | 0.02 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.01 | (2.06 | ) | 0.82 | (1.07 | ) | 4.00 | 0.80 | ||||||||||||||||||||||
Total income (loss) from investment operations | 5.99 | (2.06 | ) | 0.84 | (1.11 | ) | 3.98 | 0.82 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | | (0.00 | )3 | (0.02 | ) | (0.00 | )3 | — | — | (0.04 | ) | |||||||||||||||||||
Net realized gain on investments | (5.99 | ) | (0.35 | ) | (1.56 | ) | (1.48 | ) | (0.13 | ) | (0.55 | ) | ||||||||||||||||||
Total distributions to shareholders | (5.99 | ) | (0.37 | ) | (1.56 | ) | (1.48 | ) | (0.13 | ) | (0.59 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $13.54 | $13.54 | $15.97 | $16.69 | $19.28 | $15.43 | ||||||||||||||||||||||||
Total Return2,4 | | 46.93 | %5 | (13.25 | )% | 6.85 | % | (6.43 | )% | 25.83 | % | 5.73 | % | |||||||||||||||||
Ratio of net expenses to average net assets | | 1.39 | %6,7 | 1.36 | %7 | 1.37 | %7 | 1.37 | %7 | 1.37 | %7 | 1.40 | % | |||||||||||||||||
Ratio of gross expenses to average net assets8 | | 1.46 | %6 | 1.45 | % | 1.46 | % | 1.43 | % | 1.43 | % | 1.45 | % | |||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | | (0.32 | )%6 | 0.03 | % | 0.13 | % | (0.19 | )% | (0.12 | )% | 0.16 | % | |||||||||||||||||
Portfolio turnover | | 118 | %5 | 30 | % | 20 | % | 34 | % | 40 | % | 32 | % | |||||||||||||||||
Net assets end of period (000’s) omitted | $6,044 | $21,727 | $28,847 | $12,745 | $25,451 | $20,228 | ||||||||||||||||||||||||
39 |
AMG GW&K Small Cap Value Fund II Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
April 30, 2021 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.73 | $16.19 | $16.87 | $19.44 | $15.56 | $15.30 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | (0.00 | )3 | 0.04 | 0.06 | 0.01 | 0.02 | 0.06 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.10 | (2.09 | ) | 0.84 | (1.08 | ) | 4.03 | 0.81 | ||||||||||||||||||||||
Total income (loss) from investment operations | 6.10 | (2.05 | ) | 0.90 | (1.07 | ) | 4.05 | 0.87 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.03 | ) | (0.06 | ) | (0.02 | ) | (0.02 | ) | (0.04 | ) | (0.06 | ) | ||||||||||||||||||
Net realized gain on investments | (5.99 | ) | (0.35 | ) | (1.56 | ) | (1.48 | ) | (0.13 | ) | (0.55 | ) | ||||||||||||||||||
Total distributions to shareholders | (6.02 | ) | (0.41 | ) | (1.58 | ) | (1.50 | ) | (0.17 | ) | (0.61 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $13.81 | $13.73 | $16.19 | $16.87 | $19.44 | $15.56 | ||||||||||||||||||||||||
Total Return2,4 | | 47.14 | %5 | (13.04 | )% | 7.14 | % | (6.16 | )% | 26.07 | % | 6.04 | % | |||||||||||||||||
Ratio of net expenses to average net assets | | 1.13 | %6,7 | 1.12 | %7 | 1.12 | %7 | 1.13 | %7 | 1.12 | %7 | 1.15 | % | |||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.20 | %6 | 1.21 | % | 1.21 | % | 1.19 | % | 1.18 | % | 1.21 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | | (0.06 | )%6 | 0.27 | % | 0.38 | % | 0.05 | % | 0.12 | % | 0.40 | % | |||||||||||||||||
Portfolio turnover | 118 | %5 | 30 | % | 20 | % | 34 | % | 40 | % | 32 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $98,037 | $121,400 | $159,069 | $191,477 | $241,626 | $181,964 | ||||||||||||||||||||||||
40 |
AMG GW&K Small Cap Value Fund II Financial Highlights For a share outstanding throughout each fiscal period |
For the fiscal | |||||||||||||||||||||||||
For the six | period ended | ||||||||||||||||||||||||
months ended | For the fiscal year ended October 31, | October 31, | |||||||||||||||||||||||
April 30, 2021 | |||||||||||||||||||||||||
Class Z | (unaudited) | 2020 | 2019 | 2018 | 20179 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.72 | $16.18 | $16.87 | $19.45 | $19.24 | ||||||||||||||||||||
Income (loss) from Investment Operations: | |||||||||||||||||||||||||
Net investment income (loss)1,2 | 0.00 | 3 | 0.05 | 0.07 | 0.02 | (0.01 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.09 | (2.09 | ) | 0.83 | (1.09 | ) | 0.22 | ||||||||||||||||||
Total income (loss) from investment operations | 6.09 | (2.04 | ) | 0.90 | (1.07 | ) | 0.21 | ||||||||||||||||||
Less Distributions to Shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.03 | ) | (0.07 | ) | (0.03 | ) | (0.03 | ) | — | ||||||||||||||||
Net realized gain on investments | (5.99 | ) | (0.35 | ) | (1.56 | ) | (1.48 | ) | — | ||||||||||||||||
Total distributions to shareholders | (6.02 | ) | (0.42 | ) | (1.59 | ) | (1.51 | ) | — | ||||||||||||||||
Net Asset Value, End of Period | $13.79 | $13.72 | $16.18 | $16.87 | $19.45 | ||||||||||||||||||||
Total Return2,4 | 47.20 | %5 | (12.99 | )% | 7.20 | % | (6.14 | )% | 1.09 | %5 | |||||||||||||||
Ratio of net expenses to average net assets | 1.06 | %6,7 | 1.05 | %7 | 1.05 | %7 | 1.06 | %7 | 1.08 | %6,7 | |||||||||||||||
Ratio of gross expenses to average net assets8 | 1.13 | %6 | 1.14 | % | 1.14 | % | 1.12 | % | 1.08 | %6 | |||||||||||||||
Ratio of net investment income (loss) to average net assets2 | 0.01 | %6 | 0.34 | % | 0.45 | % | 0.12 | % | (0.44 | )%6 | |||||||||||||||
Portfolio turnover | 118 | %5 | 30 | % | 20 | % | 34 | % | 40 | %5 | |||||||||||||||
Net assets end of period (000’s) omitted | $62,390 | $34,666 | $36,610 | $33,273 | $206 | ||||||||||||||||||||
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
3 | Less than $0.005 per share or $(0.005) per share. |
4 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Annualized. |
7 | Includes reduction from broker recapture amounting to 0.02% for the six months ended April 30, 2021, 0.03%, 0.03% and 0.02% for the fiscal years ended 2020, 2019, 2018, respectively, and 0.03%, 0.03% and 0.01% for Class N, Class I and Class Z, respectively, for the fiscal period ended 2017. |
8 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
9 | The commencement of operations was October 2, 2017. |
41 |
Notes to Financial Statements (unaudited) April 30, 2021 |
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds, AMG Funds I and AMG Funds IV (the “Trusts”) are open-end management investment companies. AMG Funds and AMG Funds I are organized as Massachusetts business trusts, while AMG Funds IV is organized as a Delaware Statutory Trust, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trusts consist of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Funds I: AMG GW&K Core Bond ESG Fund (“Core Bond ESG”), AMG Funds: AMG GW&K Emerging Markets Equity Fund (“Emerging Markets Equity”) and AMG GW&K Emerging Wealth Equity Fund (“Emerging Wealth Equity”) and AMG Funds IV: GW&K Small/Mid Cap Growth Fund (“Small/Mid Cap Growth”) (formerly AMG GW&K Small Cap Fund II, which was formerly AMG Managers LMCG Small Cap Growth Fund) and GW&K Small Cap Value Fund II (“Small Cap Value II”) (formerly AMG Managers Silvercrest Small Cap Fund), each a “Fund” and collectively, the “Funds”.
Each Fund offers different classes of shares. All Funds offer Class N shares and Class I shares; and all Funds except for Small/Mid Cap Growth offer Class Z shares. Each class represents an interest in the same assets of the respective Fund. Although all share classes generally have identical voting rights, each share class votes separately when required by law. Different share classes may have different net asset values per share to the extent the share classes pay different distribution amounts and/or the expenses of such share classes differ. Each share class has its own expense structure. Please refer to a current prospectus for additional information on each share class.
On March 17-18, 2021, the Board of Trustees of AMG Funds IV (together with the Board of Trustees of AMG Funds and AMG Funds I, the“Board”) approved GW&K Investment Management, LLC (“GW&K”) as the subadviser to Small/Mid Cap Growth and Small Cap Value II on an interim basis to replace LMCG Investments, LLC (“LMCG”) and Silvercrest Asset Management Group LLC (“Silvercrest”), respectively, effective March 19, 2021. The Board also approved the longer-term appointment of GW&K, a new subadvisory agreement between the Investment Manager and GW&K and the submission of the new subadvisory agreements to shareholders for approval. In connection with the hiring of GW&K, effective March 19, 2021, Small/Mid Cap Growth and Small Cap Value II made changes to their investment objectives, principal investments strategies and principal risks. In addition, the Board approved the following fee changes for Small/Mid Cap Growth, to be implemented upon effectiveness of the new subadvisory agreement for Small/Mid Cap Growth: a reduction in the management fee rate from 0.90% to 0.62% of Small/Mid Cap Growth’s average daily net assets; the elimination of the shareholder servicing fees of up to 0.15% that Class N shares of Small/Mid Cap Growth are authorized to pay to financial intermediaries; a reduction in the shareholder servicing fees from 0.15% to 0.05% that Class I shares of Small/Mid Cap Growth are authorized to pay to financial intermediaries; and the reduction of the expense cap from 1.03% to 0.82% of the Fund’s average daily net assets (exclusive of certain excluded expenses). The Board also approved, subject to shareholder approval, a merger between Small Cap Value II and AMG GW&K Small Cap Value Fund (“Small Cap Value”).
In conjunction with the respective change in investment strategy for Small/Mid Cap Growth and Small Cap Value II, the Funds sold substantially all open positions around the date of the subadviser change that increased each Fund’s portfolio turnover. The Funds also declared a special capital gain distribution on March 24, 2021.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the Funds and thus Fund performance.
Certain instruments held by a Fund may pay an interest rate based on the London Interbank Offered Rate (“LIBOR”), which is the offered rate for short-term loans between certain major international banks. LIBOR is expected to be phased out by the end of 2021. While the effect of the phase out cannot yet be determined, it may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of some LIBOR-based investments or the effectiveness of new hedges placed against existing LIBOR-based investments. These effects could occur prior to the end of 2021. There also remains uncertainty and risk regarding the willingness and ability of issuers to include enhanced provisions in new and existing contracts or instruments. All of the aforementioned may adversely affect a Fund’s performance or net asset value.
The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including accounting and reporting guidance pursuant to Accounting Standards Codification Topic 946 applicable to investment companies. U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:
a. VALUATION OF INVESTMENTS
Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price or the mean between the last quoted bid and ask prices (the “mean price”). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the mean price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.
Fixed income securities purchased with a remaining maturity exceeding 60 days are valued at the evaluated mean price provided by an authorized pricing service or, if an evaluated price is not available, by reference to other securities which are considered comparable in credit rating, interest rate, due date and other features (generally referred to as “matrix pricing”) or other similar pricing methodologies.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end registered investment companies are valued at their end of day net asset value per share.
The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third party pricing services approved by the Board. Under certain circumstances, the value of certain Fund portfolio investments may be
42 |
Notes to Financial Statements (continued) |
based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trusts’ securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Funds, including a comparison with the prior quarter end and the percentage of the Funds that the security represents at each quarter end.
With respect to foreign equity securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in the Funds that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.
U.S. GAAP defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds.
Unobservable inputs reflect the Funds’ own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies)
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, swaps, foreign securities utilizing international fair value pricing, fair valued securities with observable inputs)
Level 3 – inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)
Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments.
b. SECURITY TRANSACTIONS
Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
c. INVESTMENT INCOME AND EXPENSES
Dividend income is recorded on the ex-dividend date. Dividends from foreign securities are recorded on the ex-dividend date, and if after the fact, as soon as the Funds become aware of the ex-dividend date, except for Korean securities where dividends are recorded on confirmation date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Upon notification from issuers, distributions received from a real estate investment trust (REIT) may be redesignated as a reduction of cost of investments and/or realized gain. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the funds in the Trusts and other trusts or funds within the AMG Funds Family of Funds (collectively the “AMG Funds Family”) based upon their relative average net assets or number of shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain fund level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund.
The following Funds had certain portfolio trades directed to various brokers under a brokerage recapture program. Credits received from the brokerage recapture program are earned and paid on a monthly basis, and are recorded as expense offsets, which serve to reduce the Funds’ overall expense ratio. For the six months ended April 30, 2021, the impact on the expenses and expense ratios were as follows:
43 |
Notes to Financial Statements (continued) |
Amount | Percentage Reduction | |||||||
Small/Mid Cap Growth | $1,451 | 0.00% | 1 | |||||
Small Cap Value II | 48,699 | 0.02% |
1 | Less than 0.005%. |
d. DIVIDENDS AND DISTRIBUTIONS
Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in December. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Temporary differences are primarily due to wash sale loss deferrals, mark-to-market on passive foreign investment companies, and capital loss carryforwards. There were no permanent differences.
At April 30, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The approximate cost of investments and the aggregate gross unrealized appreciation and depreciation for federal income tax purposes were as follows:
Fund | Cost | Appreciation | Depreciation | Net Appreciation | ||||||||||||
Core Bond ESG | $184,896,438 | $6,685,415 | $(1,503,405 | ) | $5,182,010 | |||||||||||
Emerging Markets Equity | 45,574,366 | 17,910,417 | (901,233 | ) | 17,009,184 | |||||||||||
Emerging Wealth Equity | 230,369,071 | 63,972,346 | (2,952,263 | ) | 61,020,083 | |||||||||||
Small/Mid Cap Growth | 37,550,843 | 4,366,648 | (447,461 | ) | 3,919,187 | |||||||||||
Small Cap Value II | 159,618,083 | 13,955,452 | (1,965,841 | ) | 11,989,611 |
e. FEDERAL TAXES
Each Fund currently qualifies as an investment company and intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.
Additionally, based on each Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, each Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Additionally, Management is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of October 31, 2020, the following Funds had capital loss carryovers for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains indefinitely, and retain their character as short-term and/or long-term.
Capital Loss | ||||||||||||
Carryover Amounts | ||||||||||||
Fund | Short-Term | Long-Term | Total | |||||||||
Core Bond ESG | $425,987 | $0 | $425,987 | |||||||||
Emerging Wealth Equity | 911,098 | 0 | 911,098 | |||||||||
Small Cap Value II | 3,713,729 | 3,821,896 | 7,535,625 |
As of October 31, 2020, Emerging Markets Equity and Small/Mid Cap Growth had no capital loss carryovers for federal income tax purposes. Should the Funds incur net capital losses for the fiscal year ended October 31, 2021, such amounts may be used to offset future realized capital gains indefinitely, and retain their character as either short-term and/or long-term.
g. CAPITAL STOCK
The Trusts’ Declaration of Trust authorizes for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date.
44 |
Notes to Financial Statements (continued) |
For the six months ended April 30, 2021 (unaudited) and the fiscal year ended October 31, 2020, the capital stock transactions by class for the Funds were as follows:
Core Bond ESG | Emerging Markets Equity | |||||||||||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 26,842 | $289,949 | 85,411 | $920,846 | 21,662 | $253,229 | 181,059 | $1,744,337 | ||||||||||||||||||||||||
Reinvestment of distributions | 1,044 | 11,363 | 2,508 | 26,975 | 1,571 | 17,233 | 2,833 | 26,891 | ||||||||||||||||||||||||
Cost of shares repurchased | (29,220) | (317,914) | (32,291) | (348,057) | (24,326) | (282,562) | (196,188) | (1,558,530) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (1,334) | $(16,602) | 55,628 | $599,764 | (1,093) | $(12,100) | (12,296) | $212,698 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 677,398 | $7,354,728 | 1,374,556 | $14,850,604 | 489,725 | $5,512,023 | 1,230,745 | $9,743,030 | ||||||||||||||||||||||||
Reinvestment of distributions | 135,205 | 1,471,870 | 374,177 | 4,019,598 | 35,661 | 386,561 | 52,112 | 491,414 | ||||||||||||||||||||||||
Cost of shares repurchased | (1,476,133) | (16,091,463) | (3,385,772) | (36,392,063) | (53,157) | (604,334) | (1,837,609) | (15,777,470) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (663,530) | $(7,264,865) | (1,637,039) | $(17,521,861) | 472,229 | $5,294,250 | (554,752) | $(5,543,026) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class Z: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 52,755 | $576,307 | 82,098 | $869,531 | 700,378 | $8,040,516 | 231,629 | $2,130,804 | ||||||||||||||||||||||||
Reinvestment of distributions | 2,885 | 31,370 | 7,172 | 77,096 | 115,827 | 1,248,619 | 128,421 | 1,203,308 | ||||||||||||||||||||||||
Cost of shares repurchased | (37,094) | (407,907) | (44,147) | (477,970) | (46,014) | (517,605) | (1,213,641) | (11,305,915) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | 18,546 | $199,770 | 45,123 | $468,657 | 770,191 | $8,771,530 | (853,591) | $(7,971,803) | ||||||||||||||||||||||||
|
|
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|
|
|
|
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|
|
|
| |||||||||||||||||
Emerging Wealth Equity | Small/Mid Cap Growth | |||||||||||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 6,953 | $109,156 | 24,646 | $275,535 | 46,469 | $1,025,763 | 36,920 | $687,740 | ||||||||||||||||||||||||
Reinvestment of distributions | — | — | 4,548 | 55,712 | 972,672 | 14,770,300 | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | (18,394) | (288,013) | (68,095) | (733,597) | (216,760) | (4,182,027) | (473,941) | (8,270,391) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (11,441) | $(178,857) | (38,901) | $(402,350) | 802,381 | $11,614,036 | (437,021) | $(7,582,651) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 1,050,921 | $16,894,410 | 1,818,122 | $21,632,228 | 18,940 | $483,441 | 34,550 | $621,155 | ||||||||||||||||||||||||
Reinvestment of distributions | — | — | 17,592 | 216,555 | 202,482 | 3,199,629 | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | (35,978) | (562,395) | (656,368) | (7,085,572) | (126,311) | (2,411,897) | (576,238) | (10,222,921) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | 1,014,943 | $16,332,015 | 1,179,346 | $14,763,211 | 95,111 | $1,271,173 | (541,688) | $(9,601,766) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class Z: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 2,408,304 | $38,041,477 | 8,182,601 | $98,216,854 | — | — | — | — | ||||||||||||||||||||||||
Reinvestment of distributions | 161 | 2,470 | 27,678 | 339,331 | — | — | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | (445,490) | (6,989,009) | (3,049,658) | (33,692,378) | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase | 1,962,975 | $31,054,938 | 5,160,621 | $64,863,807 | — | — | — | — | ||||||||||||||||||||||||
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|
|
45 |
Notes to Financial Statements (continued) |
Small Cap Value II | ||||||||||||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 288,123 | $4,679,788 | 265,768 | $3,703,030 | ||||||||||||||||||||||||||||
Reinvestment of distributions | 272,240 | 3,477,520 | 40,987 | 661,535 | ||||||||||||||||||||||||||||
Cost of shares repurchased | (1,718,643) | (30,566,207) | (508,355) | (7,106,086) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net decrease | (1,158,280) | $(22,408,899) | (201,600) | $(2,741,521) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 1,454,988 | $23,376,864 | 3,344,085 | $43,840,355 | ||||||||||||||||||||||||||||
Reinvestment of distributions | 3,539,680 | 46,154,445 | 244,758 | 3,996,897 | ||||||||||||||||||||||||||||
Cost of shares repurchased | (6,736,742) | (100,866,599) | (4,572,252) | (61,700,564) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net decrease | (1,742,074) | $(31,335,290) | (983,409) | $(13,863,312) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Class Z: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 1,486,725 | $28,133,131 | 605,490 | $8,029,577 | ||||||||||||||||||||||||||||
Reinvestment of distributions | 1,659,776 | 21,602,353 | 58,746 | 958,146 | ||||||||||||||||||||||||||||
Cost of shares repurchased | (1,148,502) | (16,392,892) | (400,565) | (5,620,269) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net increase | 1,997,999 | $33,342,592 | 263,671 | $3,367,454 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Funds may enter into third-party repurchase agreements for temporary cash management purposes and third-party or bilateral joint repurchase agreements for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Program”) (collectively, “Repurchase Agreements”). The value of the underlying collateral, including accrued interest, must equal or exceed the value of the Repurchase Agreements during the term of the agreement. For joint repurchase agreements, the Funds participate on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for all Repurchase Agreements is held in safekeeping by the Funds’ custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited. Pursuant to the Program, the Funds are indemnified for such losses by BNYM on joint repurchase agreements.
At April 30, 2021, the market value of Repurchase Agreements outstanding for Emerging Markets Equity, Emerging Wealth Equity and Small/Mid Cap Growth were $277,960, $3,343,259 and $409,985, respectively.
i. FOREIGN CURRENCY TRANSLATION
The books and records of the Funds are maintained in U.S. dollars. The value of investments, assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon current foreign exchange rates. Purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based on currency exchange rates prevailing on the respective
dates of such transactions. Net realized and unrealized gain (loss) on foreign currency transactions represent: (1) foreign exchange gains and losses from the sale and holdings of foreign currencies; (2) gains and losses between trade date and settlement date on investment securities transactions and foreign currency exchange contracts; and (3) gains and losses from the difference between amounts of interest and dividends recorded and the amounts actually received.
The Funds do not isolate the net realized and unrealized gain or loss resulting from changes in exchange rates from the fluctuations in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
For each of the Funds, the Trusts have entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisers for the Funds (subject to Board approval) and monitors each subadviser’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by GW&K Investment Management, LLC, (“GW&K”), who serves pursuant to a subadvisory agreement with the Investment Manager. Effective March 19, 2021, Small/Mid Cap Growth and Small Cap Value II are managed by GW&K. AMG indirectly owns a majority interest in GW&K. Prior to March 19, 2021, Small/Mid Cap Growth’s investment portfolio was managed by LMCG and Small Cap Value II’s investment portfolio was managed by Silvercrest, who served pursuant to subadvisory agreements with the Investment Manager.
46 |
Notes to Financial Statements (continued) |
Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the six months ended April 30, 2021, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:
Core Bond ESG | 0.30% | |||
Emerging Markets Equity | 0.55% | |||
Emerging Wealth Equity | 0.55% | |||
Small/Mid Cap Growth | 0.90% | |||
Small Cap Value II | 0.90% |
The Investment Manager has contractually agreed, through at least March 1, 2022 for Core Bond ESG, Emerging Markets Equity, Emerging Wealth Equity, Small/Mid Cap Growth and Small Cap Value II, to waive management fees and/or pay or reimburse fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts and in connection with securities sold short), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, dividends payable with respect to securities sold short, acquired fund fees and expenses and extraordinary expenses) of Core Bond ESG, Emerging Markets Equity, Emerging Wealth Equity, Small/Mid Cap Growth and Small Cap Value II to 0.48%, 0.87%, 0.90%, 1.03% and 1.08%, respectively, of each Fund’s average daily net assets (this annual rate or such other annual rate that may be in effect from time to time, the “Expense Cap”), subject to later reimbursement by the Funds in certain circumstances. Prior to March 1, 2020, the total annual Fund operating expense limitation was 1.05% of Emerging Markets Equity’s average daily net assets.
In general, for a period of up to 36 months after the date any amounts are paid, waived or reimbursed by the Investment Manager, the Investment Manager may recover such amounts from a Fund, provided that such repayment would not cause the Fund’s total annual operating expenses after fee waiver and expense reimbursements (exclusive of the items noted in the parenthetical above) to exceed either (i) the Expense Cap in effect at the time such amounts were paid, waived or reimbursed, or (ii) the Expense Cap in effect at the time of such repayment by the Fund.
The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of a Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of a Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of a Fund.
At April 30, 2021, the Funds’ expiration of reimbursements subject to recoupment is as follows:
Expiration Period | Core Bond ESG | Emerging Markets Equity | Small/Mid Cap Growth | |||||||||
Less than 1 year | $151,139 | — | $146,831 | |||||||||
1-2 years | 150,693 | $38,914 | 124,425 | |||||||||
2-3 years | 150,321 | 73,722 | 105,267 | |||||||||
|
|
|
|
|
| |||||||
Total | $452,153 | $112,636 | $376,523 | |||||||||
|
|
|
|
|
| |||||||
Expiration Period | Small Cap Value II | |||||||||||
Less than 1 year | $120,273 | |||||||||||
1-2 years | 127,577 | |||||||||||
2-3 years | 112,214 | |||||||||||
|
| |||||||||||
Total | $360,064 | |||||||||||
|
|
The Investment Manager has contractually agreed, through March 1, 2021, to waive management fees and/or pay or reimburse Emerging Markets Equity’s expenses in an amount that is equal to the fees and expenses incurred indirectly by the Fund as a result of investment in shares of one or more acquired funds. The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement among the Investment Manager, GW&K and the AMG Funds Board of Trustees or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund. For the four months ended February 28, 2021, the Investment Manager waived $297 in fees.
The Trusts, on behalf of the Funds, have entered into an amended and restated Administration Agreement under which the Investment Manager serves as the Funds’ administrator (the “Administrator”) and is responsible for all non-portfolio management aspects of managing the Funds’ operations, including administration and shareholder services to each Fund. Each Fund pays a fee to the Administrator at the rate of 0.15% per annum of the Fund’s average daily net assets for this service.
The Funds are distributed by AMG Distributors, Inc. (the “Distributor”), a wholly-owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of each Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Generally the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.
Each Trust has adopted a distribution and service plan (the “Plan”) with respect to the Class N shares of each Fund, in accordance with the requirements of Rule 12b-1 under the 1940 Act and the requirements of the applicable rules of FINRA regarding asset-based sales charges. Pursuant to the Plan, each Fund may
47 |
Notes to Financial Statements (continued) |
make payments to the Distributor for its expenditures in financing any activity primarily intended to result in the sale of each Fund’s Class N shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorized payments to the Distributor up to 0.25% annually of each Fund’s average daily net assets attributable to the Class N shares. For Small/Mid Cap Growth and Small Cap Value II, the Plan is characterized as a reimbursement plan and is directly tied to expenses incurred by the Distributor; the payments the Distributor receives during any year may not exceed its actual expenses. The impact on the Class N annualized expense ratios for the six months ended April 30, 2021, were 0.25% for Core Bond ESG, Emerging Markets Equity, Emerging Wealth Equity and Small Cap Value II and 18% for Small/Mid Cap Growth.
For each of the Class N shares and Class I shares, the Board has approved reimbursement payments to the Investment Manager for shareholder servicing expenses (“shareholder servicing fees”) incurred. Shareholder servicing fees include payments to financial intermediaries, such as broker-dealers (including fund supermarket platforms), banks, and trust companies who provide shareholder recordkeeping, account servicing and other services. The Class N and Class I shares may reimburse the Investment Manager for the actual amount incurred up to a maximum annual rate of each Class’s average daily net assets as shown in the table below.
The Investment Manager has agreed, through at least October 1, 2021, to waive a portion of shareholder servicing fees paid by the various share classes of Small/Mid Cap Growth and Small Cap Value II, as necessary, to ensure the total net expense ratio for each share class of Small/Mid Cap Growth and Small Cap Value II do not increase due to the changes in the methodology of shareholder servicing reimbursements described above.
The impact on the annualized expense ratios for the six months ended April 30, 2021, were as follows:
Fund | Maximum Annual Amount Approved | Actual Amount | ||||||||
Core Bond ESG | ||||||||||
Class N | 0.15 | % | 0.15 | % | ||||||
Class I | 0.10 | % | 0.07 | % | ||||||
Emerging Markets Equity | ||||||||||
Class N | 0.15 | % | 0.15 | % | ||||||
Class I | 0.15 | % | 0.08 | % | ||||||
Emerging Wealth Equity | ||||||||||
Class N | 0.15 | % | 0.15 | % | ||||||
Class I | 0.15 | % | 0.13 | % | ||||||
Small/Mid Cap Growth | ||||||||||
Class N | 0.15 | % | 0.07 | % | ||||||
Class I | 0.15 | % | 0.07 | % | ||||||
Small Cap Value II | ||||||||||
Class N | 0.15 | % | 0.07 | % | ||||||
Class I | 0.15 | % | 0.07 | % |
The Board provides supervision of the affairs of the Trusts and other trusts within the AMG Funds Family. The Trustees of the Trusts who are not affiliated with the Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.
The Securities and Exchange Commission (the “SEC”) granted an exemptive order that permits Core Bond ESG, Emerging Markets Equity, Emerging Wealth Equity to lend and borrow, and Small Cap Value II to lend money for certain temporary purposes directly to and from other eligible funds in the AMG Funds Family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The Administrator manages the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. The interest earned and interest paid on interfund loans are included on the Statement of Operations as interest income and miscellaneous expense, respectively. For the six months ended April 30, 2021, the Funds neither borrowed nor lent to other funds in the AMG Funds family. At April 30, 2021, the Funds had no interfund loans outstanding.
3. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended April 30, 2021, were as follows:
Long Term Securities | ||||||||
Fund | Purchases | Sales | ||||||
Core Bond ESG | $31,413,685 | $43,297,174 | ||||||
Emerging Markets Equity | 20,519,299 | 9,858,794 | ||||||
Emerging Wealth Equity | 96,059,069 | 45,542,784 | ||||||
Small/Mid Cap Growth | 62,452,724 | 67,060,390 | ||||||
Small Cap Value II | 242,252,780 | 327,738,504 |
Core Bond ESG purchases and sales of U.S. Government obligations during the six months ended April 30, 2021 were $28,001,130 and $25,905,440, respectively.
4. PORTFOLIO SECURITIES LOANED
The Funds participate in the Program providing for the lending of securities to qualified borrowers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash, U.S. Treasury Obligations or U.S. Government Agency Obligations. Collateral is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Funds’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned.
48 |
Notes to Financial Statements (continued) |
Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in separate omnibus accounts managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements for that cash collateral. Securities collateral is held in separate omnibus accounts managed by BNYM that cannot be sold or pledged. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities as soon as practical, which is normally within three business days.
The value of securities loaned on positions held, cash collateral and securities collateral received at April 30, 2021, were as follows:
Fund | Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | ||||||||||||
Emerging Markets Equity | $1,107,000 | $277,960 | $879,325 | $1,157,285 | ||||||||||||
Emerging Wealth Equity | 5,112,550 | 3,343,259 | 2,071,580 | 5,414,839 | ||||||||||||
Small/Mid Cap Growth | 2,339,811 | 409,985 | 2,005,604 | 2,415,589 | ||||||||||||
Small Cap Value II | 1,260,970 | — | 1,285,116 | 1,285,116 |
The following table summarizes the securities received as collateral for securities lending at April 30, 2021:
Fund | Collateral Type | Coupon Range | Maturity Date Range | |||||
Emerging Markets Equity | U.S. Treasury Obligations | 0.000%-6.875% | 05/20/21-08/15/50 | |||||
Emerging Wealth Equity | U.S. Treasury Obligations | 0.000%-6.875% | 05/31/21-08/15/50 | |||||
Small/Mid Cap Growth | U.S. Treasury Obligations | 0.000%-6.875% | 05/15/21-08/15/50 | |||||
Small Cap Value II | U.S. Treasury Obligations | 0.010%-6.875% | 05/31/21-08/15/50 |
5. FOREIGN SECURITIES
Certain Funds invest in securities of foreign entities and in instruments denominated in foreign currencies which involve risks not typically associated with investments in domestic securities. Non-domestic securities carry special risks, such as exposure to currency fluctuations, less developed or less efficient trading markets, political instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. A Fund’s investments in emerging market countries are exposed to additional risks. A Fund’s performance will be influenced by political, social and economic factors affecting companies in emerging market countries. Emerging market countries generally have economic structures that are less diverse and mature, and political systems that are less stable, than those of developed countries. Realized gains in certain countries may be subject to foreign taxes at the Fund level and the Fund would pay such foreign taxes at the appropriate rate for each jurisdiction.
6. COMMITMENTS AND CONTINGENCIES
Under the Trusts’ organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trusts. In addition, in the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the Funds under these arrangements is unknown, as this would involve future claims that may be made against a Fund that have not yet occurred. However, based on experience, the Funds had no prior claims or losses and expect the risks of loss to be remote.
7. CREDIT AGREEMENT
Effective July 6, 2010, and amended and restated on July 22, 2020, AMG Funds IV entered into a Credit Agreement with BNYM which provides AMG Funds IV with a revolving line of credit of up to $50 million. The facility is shared by each Fund of AMG Funds IV and is available for temporary, emergency purposes including liquidity needs in meeting redemptions. The interest rate on outstanding Alternate Base Rate Loans is equal to the greater of the Prime Rate plus 1.25%, or 0.50% plus the Federal Funds Effective Rate plus 1.25%. The interest rate on outstanding Overnight Loans is equal to the greater of the Federal Funds Effective Rate plus 1.25%, or the One-Month LIBOR Rate plus 1.25%. AMG Funds IV pays a commitment fee on the unutilized commitment amount of 0.175% per annum, which is allocated to the Funds based on average daily net assets and included in miscellaneous expense on the Statement of Operations. Interest incurred on the line of credit utilized is included in the Statement of Operations as interest expense. At April 30, 2021, Small Mid/Cap Growth and Small Cap Value II had no loans outstanding.
The following Funds utilized the line of credit during the six months ended April 30, 2021:
Fund | Weighted Average Borrowed | Number of Days | Interest Paid | Average Interest Rate | ||||||||||||
Small/Mid Cap Growth | $1,471,403 | 3 | $166 | 1.357 | % | |||||||||||
Small Cap Value II | 11,446,562 | 21 | 9,082 | 1.360 | % |
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Notes to Financial Statements (continued) |
8. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their counterparties for the securities lending program and Repurchase Agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.
Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Fund | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Offset Amount | Net Asset Balance | Collateral Received | Net Amount | |||||||||||||||
Emerging Markets Equity | ||||||||||||||||||||
Morgan Stanley & Co. LLC | $277,960 | — | $277,960 | $277,960 | — | |||||||||||||||
Emerging Wealth Equity | ||||||||||||||||||||
Bank of America Securities, Inc. | $1,000,000 | — | $1,000,000 | $1,000,000 | — | |||||||||||||||
Daiwa Capital Markets America | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
Morgan Stanley & Co. LLC | 343,259 | — | 343,259 | 343,259 | — | |||||||||||||||
RBC Dominion Securities, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
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Total | $3,343,259 | — | $3,343,259 | $3,343,259 | — | |||||||||||||||
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Small/Mid Cap Growth | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $409,985 | — | $409,985 | $409,985 | — |
9. SUBSEQUENT EVENTS
The Funds have determined that no material events or transactions occurred through the issuance date of the Funds’ financial statements which require an additional disclosure in or adjustment of the Funds’ financial statements, except all proposals related to Small Cap Value II and Small/Mid Cap Growth, as discussed in Note 1, were approved by the respective Fund’s shareholders. Additionally, in connection with the merger between Small Cap Value II and Small Cap Value, that is expected to close on or about August 9, 2021, the Investment Manager agreed to waive a portion of the management fee so the management fee will be limited to
0.70% of the Fund’s average daily net assets; waive a portion of the shareholder servicing fees payable by Class I so the amount charged does not exceed 0.05% of Small Cap Value II’s average daily net assets attributable to the Class I shares; waive a portion of the shareholder servicing fees payable by Class N such that the aggregate distribution and/or service fees under the Plan and shareholder servicing fees paid by Class N does not exceed 0.25% of Small Cap Value II’s average daily net assets attributable to the Class N shares; and reduced the expense cap of Small Cap Value II from 1.08% to 0.90% of the Fund’s average daily net assets (exclusive of certain excluded expenses).
50 |
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AMG Managers LMCG Small Cap Growth Fund: Approval of Subadvisory Agreements on March 17-18, 2021
At a meeting held via telephone and videoconference on March 17-18, 2021,1 the Board of Trustees (the “Board” or the “Trustees”), and separately a majority of the Trustees who are not “interested persons” of AMG Funds IV (the “Trust”) (the “Independent Trustees”), unanimously voted to terminate the subadvisory agreement between AMG Funds LLC (the “Investment Manager”) and LMCG Investments, LLC (“LMCG”) with respect to AMG Managers LMCG Small Cap Growth Fund (the “Fund”) (the “Former Subadvisory Agreement”), and approve the interim subadvisory agreement between the Investment Manager and GW&K Investment Management, LLC (“GW&K”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and GW&K with respect to the Fund (the “New Subadvisory Agreement” and together with the Interim Subadvisory Agreement, the “Agreements”), and the presentation of the New Subadvisory Agreement for shareholder approval at a special meeting to be held for such purpose, including a recommendation that shareholders vote to approve the New Subadvisory Agreement. The Independent Trustees were separately represented by independent legal counsel in their consideration of the Agreements. | (the “Investment Strategy”) that are intended to be used by GW&K in managing the Fund. The Trustees noted that, initially, the Fund would invest, under normal circumstances, at least 80% of its assets in common stocks and other equity securities of small-cap companies. The Trustees further noted that, effective May 21, 2021, the Fund would invest, under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of small- and mid-capitalization companies. Among other things, at this meeting and/or prior meetings, the Trustees reviewed information on portfolio management and other professional staff, information regarding GW&K’s organizational and management structure, GW&K’s compliance policies and procedures, and GW&K’s brokerage policies and practices. The Trustees noted that GW&K was founded in 1974 and has 155 employees. The Trustees considered specific information provided regarding the experience of the individuals at GW&K that are expected to have portfolio management responsibility for the Fund. The Trustees noted that both proposed portfolio managers joined GW&K in 2008. The Trustees further noted that one of the proposed portfolio managers serves as a portfolio manager on other funds subadvised by GW&K in the AMG | been adjusted for the fees and expenses of the Fund. The Trustees noted that the Small/Mid Cap Growth Composite outperformed its benchmark for the 3-year and 5-year periods ended December 31, 2020 and for the period since the inception of the Small/Mid Cap Growth Composite on January 1, 2016 through December 31, 2020. The Trustees further considered the performance of the other funds in the AMG Funds Complex sub-advised by GW&K.
SUBADVISORY FEES, PROFITABILITY AND ECONOMIES OF SCALE
The Trustees noted that the Investment Manager, and not the Fund, is responsible for paying the fees charged by GW&K. In considering the anticipated profitability of GW&K with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding GW&K’s organization, management and financial stability. The Trustees noted that, because GW&K is an affiliate (“Affiliate”) of the Investment Manager, a portion of GW&K’s revenues or anticipated profits might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fee rate to be paid to GW&K under the Interim Subadvisory Agreement was the same as the rate paid to LMCG under the Former Subadvisory Agreement. The |
In considering the Agreements, the Trustees considered the information relating to the Fund and GW&K provided to them in connection with the meeting on March 17-18, 2021 and other meetings of the Board throughout the last twelve months, as well as in prior years. In considering the Agreements, the Trustees also considered information relating to the twelve other funds that GW&K sub-advises in the AMG Funds Family of Funds, which, as of March 17-18, 2021, consisted of 46 funds (the “AMG Funds Complex”). Prior to voting, the Independent Trustees: (a) reviewed the foregoing information; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Agreements; and (c) met with their independent legal counsel in a private session at which no representatives of management were present.
NATURE, EXTENT AND QUALITY OF SERVICES
In considering the nature, extent and quality of the services to be provided by GW&K, the Trustees reviewed information relating to GW&K’s financial condition, operations and personnel and the investment philosophy, strategies and techniques | Funds Complex. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by GW&K to the Fund; (b) the qualifications and experience of GW&K’s personnel; and (c) GW&K’s compliance program. The Trustees additionally considered GW&K’s risk management processes. The Trustees reviewed GW&K’s compliance policies and procedures, code of ethics, and specific information related to how GW&K monitors, among other things, portfolio compliance and proxy voting and deemed all of them to be adequate. The Trustees also took into account the financial condition of GW&K with respect to its ability to provide the services required under the Agreements and noted that, as of December 31, 2020, GW&K managed approximately $51 billion in assets. The Trustees concluded that, given GW&K’s financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements.
PERFORMANCE
Because GW&K was proposing to manage the Fund with its small/mid cap growth investment strategy, the Trustees noted that they could not draw any conclusions regarding the performance of the Fund to date. The Trustees, however, considered the performance provided by GW&K with respect to its Small/Mid Cap Growth Composite, which had not | Trustees also noted that the subadvisory fee rate to be paid to GW&K under the New Subadvisory Agreement was lower than the rate paid to LMCG under the Former Subadvisory Agreement. The Trustees further noted that the Investment Manager proposed certain fee changes for the Fund, all of which would be implemented upon the effectiveness of the New Subadvisory Agreement and would result in the overall reduction of the Fund’s net expense ratios as compared with the Fund’s current fee structure. The Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to the Fund, which would decrease if the New Subadvisory Agreement was approved. The Trustees also noted payments made or to be made from GW&K to the Investment Manager, and other payments made or to be made from the Investment Manager to GW&K, including certain expense sharing arrangements related to, among other things, shareholder servicing and distribution. The Trustees concluded that these arrangements were reasonable. The Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Fund’s distribution) of the Fund |
51 |
Approval of Subadvisory Agreements (continued) |
would both be higher than the average for an appropriate peer group of similar mutual funds for the Fund once the new fee changes went into effect.
The Board took into account management’s discussion of the proposed subadvisory fee structure, and the services GW&K is expected to provide in performing its functions under the Agreements. The Trustees were provided with the estimated profitability of GW&K with respect to its proposed subadvisory services to the Fund. The Trustees also were provided, in advance of their June 25, 2020 meeting, with the profitability of GW&K with respect to the other funds it sub-advises in the AMG Funds Complex. Based on the foregoing, the Trustees concluded that the profitability to GW&K is expected to be reasonable and that GW&K is not expected to realize material benefits from economies of scale that would warrant adjustments to the subadvisory fees at this time. Also with respect to economies of scale, the Trustees noted that as the Fund’s assets increase over time, the Fund may realize economies of scale with respect to certain fees and expenses, other than the Fund’s management fee, to the extent the increase in assets is proportionally greater than the increase in such fees and expenses. | overlap and provide more differentiated investment solutions for the AMG Funds complex that are otherwise not available to U.S. retail investors. The Trustees further considered that the repositioning would bring AMG’s strong partnerships in support of the Fund and the AMG Funds complex as a whole and enable AMG Funds to bring the best capabilities of AMG’s Affiliates to the Fund and the rest of the AMG Funds complex. The Trustees noted that AMG’s relationship with its Affiliates will also allow the Fund to have greater insight into the Affiliate’s compliance and business platform than is generally possible with third party subadvisers, aiding the ongoing monitoring of subadvisers. In light of the foregoing, in approving the Agreements, the Trustees, including a majority of the Independent Trustees, determined that the hiring of GW&K is in the best interests of the Fund and its shareholders and does not involve a conflict of interest from which the Investment Manager or an affiliated subadviser derives an inappropriate advantage.
* * * *
After consideration of the foregoing, the Trustees reached the following conclusions (in addition to the | Funds LLC (the “Investment Manager”) and Silvercrest Asset Management Group LLC (“Silvercrest”) with respect to AMG Managers Silvercrest Small Cap Fund (the “Fund”) (the “Former Subadvisory Agreement”), and approve the interim subadvisory agreement between the Investment Manager and GW&K Investment Management, LLC (“GW&K”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and GW&K with respect to the Fund (the “New Subadvisory Agreement” and together with the Interim Subadvisory Agreement, the “Agreements”), and the presentation of the New Subadvisory Agreement for shareholder approval at a special meeting to be held for such purpose, including a recommendation that shareholders vote to approve the New Subadvisory Agreement. The Independent Trustees were separately represented by independent legal counsel in their consideration of the Agreements.
In considering the Agreements, the Trustees considered the information relating to the Fund and GW&K provided to them in connection with the meeting on March 17-18, 2021 and other meetings of the Board throughout the last twelve months, as well as in |
In addition, the Trustees considered other potential benefits of the subadvisory relationship to GW&K, including, among others, the potential broadening of GW&K’s small/mid cap growth investment capabilities, as well as the indirect benefits that GW&K may receive from GW&K’s relationship with the Fund, including any so-called “fallout benefits” to GW&K, such as reputational value derived from GW&K serving as subadviser to the Fund, which bears GW&K’s name. Taking into account all of the foregoing, the Trustees concluded that, in light of the nature, extent and quality of the services to be provided by GW&K, and the other considerations noted above with respect to GW&K, the Fund’s subadvisory fees are reasonable.
The Trustees also considered information provided by the Investment Manager related to the benefits of the proposed strategic repositioning of the AMG Funds complex. The Trustees considered that the strategic repositioning was expected to create value for the Fund, the other funds in the AMG Funds complex and their shareholders through enhanced resources and competitive fee levels. The Trustees noted that the proposed changes would bring the full range of AMG’s resources to bear on the growth and success of the AMG Funds, streamline the lineup of funds in the AMG Funds complex and reduce the number of subadvisers, significantly reduce strategy | conclusions discussed above) regarding each Agreement: (a) GW&K has demonstrated that it possesses the capability and resources to perform the duties required of it under each Agreement; (b) GW&K’s Investment Strategy is appropriate for pursuing the Fund’s investment objectives; (c) GW&K is reasonably likely to execute its investment strategy consistently over time; and (d) GW&K maintains appropriate compliance programs.
Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of each Agreement would be in the best interests of the Fund and its shareholders. Accordingly, on March 17-18, 2021, the Trustees, and separately a majority of the Independent Trustees, unanimously voted to approve each Agreement.
AMG Managers Silvercrest Small Cap Fund: Approval of Subadvisory Agreements on March 17-18, 2021
At a meeting held via telephone and videoconference on March 17-18, 2021,1 the Board of Trustees (the “Board” or the “Trustees”), and separately a majority of the Trustees who are not “interested persons” of AMG Funds IV (the “Trust”) (the “Independent Trustees”), unanimously voted to terminate the subadvisory agreement between AMG | prior years. In considering the Agreements, the Trustees also considered information relating to the twelve other funds that GW&K sub-advises in the AMG Funds Family of Funds, which, as of March 17-18, 2021, consisted of 46 funds (the “AMG Funds Complex”). Prior to voting, the Independent Trustees: (a) reviewed the foregoing information; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Agreements; and (c) met with their independent legal counsel in a private session at which no representatives of management were present.
NATURE, EXTENT AND QUALITY OF SERVICES
In considering the nature, extent and quality of the services to be provided by GW&K, the Trustees reviewed information relating to GW&K’s financial condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by GW&K in managing the Fund. The Trustees noted that the Fund would invest, under normal circumstances, at least 80% of its assets in common stocks and other equity securities of small-cap companies. Among other things, at this meeting and/or prior meetings, the Trustees reviewed information on portfolio management and other professional staff, information regarding GW&K’s |
52 |
Approval of Subadvisory Agreements (continued) |
organizational and management structure, GW&K’s compliance policies and procedures, and GW&K’s brokerage policies and practices. The Trustees noted that GW&K was founded in 1974 and has 155 employees. The Trustees considered specific information provided regarding the experience of the individuals at GW&K that are expected to have portfolio management responsibility for the Fund. The Trustees noted that one proposed portfolio manager joined GW&K in 2005 and the other proposed portfolio manager joined GW&K in 2008. The Trustees further noted that each portfolio manager serves as a portfolio manager on at least one other fund subadvised by GW&K in the AMG Funds Complex. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by GW&K to the Fund; (b) the qualifications and experience of GW&K’s personnel; and (c) GW&K’s compliance program. The Trustees additionally considered GW&K’s risk management processes. The Trustees reviewed GW&K’s compliance policies and procedures, code of ethics, and specific information related to how GW&K monitors, among other things, portfolio compliance and proxy voting and deemed all of them to be adequate. The Trustees also took into account the financial condition of GW&K with respect to its ability to provide the services required | profitability of GW&K with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding GW&K’s organization, management and financial stability. The Trustees noted that, because GW&K is an affiliate of the Investment Manager, a portion of GW&K’s revenues or anticipated profits might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fee rate to be paid to GW&K under each Agreement was the same as the rate paid to Silvercrest under the Former Subadvisory Agreement. The Trustees also considered the percentage amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to the Fund, which would not change if the New Subadvisory Agreement was approved. The Trustees also noted payments made or to be made from GW&K to the Investment Manager, and other payments made or to be made from the Investment Manager to GW&K, including certain expense sharing arrangements related to, among other things, shareholder servicing and distribution. The Trustees concluded that these arrangements were reasonable. | from GW&K’s relationship with the Fund, including any so-called “fallout benefits” to GW&K, such as reputational value derived from GW&K serving as subadviser to the Fund, which bears GW&K’s name. Taking into account all of the foregoing, the Trustees concluded that, in light of the nature, extent and quality of the services to be provided by GW&K, and the other considerations noted above with respect to GW&K, the Fund’s subadvisory fees are reasonable.
The Trustees also considered information provided by the Investment Manager related to the benefits of the proposed strategic repositioning of the AMG Funds complex. The Trustees considered that the strategic repositioning was expected to create value for the Fund, the other funds in the AMG Funds complex and their shareholders through enhanced resources and competitive fee levels. The Trustees noted that the proposed changes would bring the full range of AMG’s resources to bear on the growth and success of the AMG Funds, streamline the lineup of funds in the AMG Funds complex and reduce the number of subadvisers, significantly reduce strategy overlap and provide more differentiated investment solutions for the AMG Funds complex that are |
under the Agreements and noted that, as of December 31, 2020, GW&K managed approximately $51 billion in assets. The Trustees concluded that, given GW&K’s financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements.
PERFORMANCE
Because GW&K was proposing to manage the Fund with its small cap value investment strategy, the Trustees noted that they could not draw any conclusions regarding the performance of the Fund to date. The Trustees, however, considered the performance provided by GW&K with respect to its Small Cap Value Composite, which had not been adjusted for the fees and expenses of the Fund. The Trustees noted that the Small Cap Value Composite outperformed its benchmark for the period since the inception date of the Small Cap Value Composite on July 1, 2012 through December 31, 2020. The Trustees further considered the performance of the other funds in the AMG Funds Complex sub-advised by GW&K.
SUBADVISORY FEES, PROFITABILITY AND ECONOMIES OF SCALE
The Trustees noted that the Investment Manager, and not the Fund, is responsible for paying the fees charged by GW&K. In considering the anticipated |
The Board took into account management’s discussion of the proposed subadvisory fee structure, and the services GW&K is expected to provide in performing its functions under the Agreements. The Trustees were provided with the estimated profitability of GW&K with respect to its proposed subadvisory services to the Fund. The Trustees also were provided, in advance of their June 25, 2020 meeting, with the profitability of GW&K with respect to the other funds it sub-advises in the AMG Funds Complex. Based on the foregoing, the Trustees concluded that the profitability to GW&K is expected to be reasonable and that GW&K is not expected to realize material benefits from economies of scale that would warrant adjustments to the subadvisory fees at this time. Also with respect to economies of scale, the Trustees noted that as the Fund’s assets increase over time, the Fund may realize economies of scale with respect to certain fees and expenses, other than the Fund’s management fee, to the extent the increase in assets is proportionally greater than the increase in such fees and expenses.
In addition, the Trustees considered other potential benefits of the subadvisory relationship to GW&K, including, among others, the potential broadening of GW&K’s small cap value investment capabilities, as well as the indirect benefits that GW&K may receive | otherwise not available to U.S. retail investors. The Trustees further considered that the repositioning would bring AMG’s strong partnerships in support of the Fund and the AMG Funds complex as a whole and enable AMG Funds to bring the best capabilities of AMG’s Affiliates to the Fund and the rest of the AMG Funds complex. The Trustees noted that AMG’s relationship with its Affiliates will also allow the Fund to have greater insight into the Affiliate’s compliance and business platform than is generally possible with third party subadvisers, aiding the ongoing monitoring of subadvisers. In light of the foregoing, in approving the Agreements, the Trustees, including a majority of the Independent Trustees, determined that the hiring of GW&K is in the best interests of the Fund and its shareholders and does not involve a conflict of interest from which the Investment Manager or an affiliated subadviser derives an inappropriate advantage.
* * * *
After consideration of the foregoing, the Trustees reached the following conclusions (in addition to the conclusions discussed above) regarding each Agreement: (a) GW&K has demonstrated that it possesses the capability and resources to perform the duties required of it under each Agreement; (b) GW&K’s Investment Strategy is appropriate for pursuing the Fund’s investment objectives; (c) |
53 |
Approval of Subadvisory Agreements (continued) |
GW&K is reasonably likely to execute its investment strategy consistently over time; and (d) GW&K maintains appropriate compliance programs.
Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of each Agreement would be in the best interests of | the Fund and its shareholders. Accordingly, on March 17-18, 2021, the Trustees, and separately a majority of the Independent Trustees, unanimously voted to approve each Agreement.
1 The Trustees determined that the conditions surrounding the COVID-19 virus constituted unforeseen or emergency circumstances and that reliance on the SEC’s exemptive order, which provides relief from the in-person voting requirements of the 1940 Act in certain circumstances (the “In-Person Relief”), was necessary | or appropriate due to the circumstances related to current or potential effects of COVID-19. The Trustees unanimously wished to rely on the In-Person Relief with respect to the approval of those matters on the agenda for the March 17-18, 2021 meeting that would otherwise require in-person votes under the 1940 Act. See Investment Company Release No. 33897 (June 19, 2020). This exemptive order supersedes, in part, a similar, earlier exemptive order issued by the SEC (Investment Company Release No. 33824 (March 25, 2020)). |
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The Securities and Exchange Commission (the “SEC”) adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders.
The AMG Funds Family of Funds (each a “Fund,” and collectively, the “Funds”) have adopted and implemented a Liquidity Risk Management Program (the “Program”) as required by the Liquidity Rule. The Program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short and long-term cash flow projections, and its holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources, including access to the Funds’ credit facility. Under the Liquidity Rule, each liquidity classification category (highly liquid, moderately liquid, less liquid and illiquid) is defined with respect to the time it is reasonably expected to take to convert the investment to cash (or sell or dispose of the investment) in current market conditions without significantly changing the market value of the investment.
The Funds’ Board of Trustees (the “Board”) appointed AMG Funds, LLC (“AMGF”) as the Program administrator. AMGF formed a Liquidity Risk Management Committee (“LRMC”), which includes | members of various departments across AMGF, including Legal, Compliance, Mutual Fund Services, Investment Research and Product Analysis & Operations and, as needed, other representatives of AMGF and/or representatives of the subadvisers to the Funds. The LRMC meets on a periodic basis, no less frequently than monthly. The LRMC is responsible for the Program’s administration and oversight and for reporting to the Board on at least an annual basis regarding the Program’s operation and effectiveness.
At a meeting of the Board held on March 17-18, 2021, the Board received a report from the LRMC regarding the design and operational effectiveness of the Program for the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows:
A. The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed whether each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions is appropriate for an open-end fund structure. The LRMC also factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. | B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed historical net redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size. The Funds maintain an in-kind redemption policy, which may be utilized to meet larger redemption requests, when appropriate. The LRMC may also take into consideration a Fund’s shareholder ownership concentration, a Fund’s distribution channels, and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements:
The LRMC considered the terms of the credit facilities available to the Funds.
The report concluded that, based upon the review of the Program, using resources and methodologies that AMGF considers reasonable, AMGF believes that the Program and Funds’ Liquidity Risk Management Policies and Procedures are adequate, effective, and reasonably designed to effectively manage the Funds’ liquidity risk.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus or statement of additional information for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject. |
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INVESTMENT MANAGER AND ADMINISTRATOR AMG Funds LLC One Stamford Plaza 263 Tresser Blvd, Suite 949 Stamford, CT 06901 800.548.4539
DISTRIBUTOR AMG Distributors, Inc. One Stamford Plaza 263 Tresser Blvd, Suite 949 Stamford, CT 06901 800.548.4539
SUBADVISER GW&K Investment Management, LLC 222 Berkeley St. Boston, MA 02116
CUSTODIAN The Bank of New York Mellon 111 Sanders Creek Parkway East Syracuse, NY 13057
LEGAL COUNSEL Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, MA 02199-3600 | TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. Attn: AMG Funds 4400 Computer Drive Westborough, MA 01581 800.548.4539
TRUSTEES Bruce B. Bingham Christine C. Carsman Kurt A. Keilhacker Steven J. Paggioli Richard F. Powers III Eric Rakowski Victoria L. Sassine Thomas R. Schneeweis | This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.548.4539. Distributed by AMG Distributors, Inc., member FINRA/SIPC.
Current net asset values per share for each Fund are available on the Funds’ website at amgfunds.com.
A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.548.4539, or (ii) on the Securities and Exchange Commission’s (SEC) website at sec.gov. For information regarding each Fund’s proxy voting record for the 12-month period ended June 30, call 800.548.4539 or visit the SEC website at sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ portfolio holdings on Form N-PORT are available on the SEC’s website at sec.gov and the Funds’ website at amgfunds.com. To review a complete list of the Funds’ portfolio holdings, or to view the most recent semiannual report or annual report, please visit amgfunds.com.
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amgfunds.com | |
BALANCED FUNDS AMG GW&K Global Allocation GW&K Investment Management, LLC
AMG FQ Global Risk-Balanced First Quadrant, L.P.
EQUITY FUNDS AMG Beutel Goodman International Equity Beutel, Goodman & Company Ltd.
AMG Boston Common Global Impact Boston Common Asset Management, LLC
AMG Managers CenterSquare Real Estate CenterSquare Investment Management LLC
AMG Frontier Small Cap Growth Frontier Capital Management Co., LLC
AMG GW&K Small Cap Core AMG GW&K Small Cap Value AMG GW&K Small Cap Value II AMG GW&K Small/Mid Cap AMG GW&K Small/Mid Cap Growth AMG GW&K Emerging Markets Equity AMG GW&K Emerging Wealth Equity AMG GW&K International Small Cap GW&K Investment Management, LLC
AMG Montrusco Bolton Large Cap Growth Montrusco Bolton Investments, Inc. |
| AMG Renaissance Large Cap Growth The Renaissance Group LLC
AMG River Road Dividend All Cap Value AMG River Road Focused Absolute Value AMG River Road Large Cap Value Select AMG River Road Long-Short AMG River Road Mid Cap Value AMG River Road Small-Mid Cap Value AMG River Road Small Cap Value River Road Asset Management, LLC
AMG TimesSquare Emerging Markets Small Cap AMG TimesSquare Global Small Cap AMG TimesSquare International Small Cap AMG TimesSquare Mid Cap Growth AMG TimesSquare Small Cap Growth TimesSquare Capital Management, LLC
AMG Veritas Asia Pacific AMG Veritas China AMG Veritas Global Focus AMG Veritas Global Real Return Veritas Asset Management LLP
AMG Yacktman AMG Yacktman Focused AMG Yacktman Focused Fund - Security Selection Only AMG Yacktman Special Opportunities Yacktman Asset Management LP
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| FIXED INCOME FUNDS AMG Beutel Goodman Core Plus Bond Beutel, Goodman & Company Ltd.
AMG GW&K Core Bond ESG AMG GW&K Enhanced Core Bond ESG AMG GW&K ESG Bond AMG GW&K High Income AMG GW&K Municipal Bond AMG GW&K Municipal Enhanced Yield GW&K Investment Management, LLC |
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amgfunds.com | | 043021 | SAR069 |
Item 2. | CODE OF ETHICS |
Not applicable for the semi-annual shareholder report.
Item 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
Not applicable for the semi-annual shareholder report.
Item 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
Not applicable for the semi-annual shareholder report.
Item 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
Not applicable.
Item 6. | SCHEDULE OF INVESTMENTS |
The schedule of investments in unaffiliated issuers as of the close of the reporting period is included as part of the shareholder report contained in Item 1 hereof.
Item 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS |
Not applicable.
Item 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
Not applicable.
Item 11. | CONTROLS AND PROCEDURES |
(a) | The registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
(b) | There were no changes in the registrant’s internal control over financial reporting during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting. |
Item 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 13. | EXHIBITS |
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 - Filed herewith. | |
(a)(3) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 - Filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AMG FUNDS
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer |
Date: July 7, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer |
Date: July 7, 2021
By: | /s/ Thomas Disbrow | |
Thomas Disbrow, Principal Financial Officer |
Date: July 7, 2021