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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: 811-06520
AMG FUNDS I
(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)
Table of Contents
Item 1. | Reports to Shareholders |
Table of Contents
SEMI-ANNUAL REPORT | ||
AMG Funds | ||||||
April 30, 2021 | ||||||
AMG Veritas Global Focus Fund | ||||||
(formerly AMG FQ Tax-Managed U.S. Equity Fund) | ||||||
Class N: MFQAX | Class I: MFQTX | |||||
AMG FQ Global Risk-Balanced Fund | ||||||
Class N: MMAVX | Class I: MMASX | Class Z: MMAFX | ||||
amgfunds.com | 043021 | SAR014 |
Table of Contents
Table of Contents
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 | ||||||
10 | ||||||
FINANCIAL STATEMENTS | ||||||
14 | ||||||
Balance sheets, net asset value (NAV) per share computations and cumulative distributable earnings (loss) | ||||||
16 | ||||||
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period | ||||||
17 | ||||||
Detail of changes in assets for the past two fiscal periods | ||||||
18 | ||||||
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets | ||||||
23 | ||||||
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks | ||||||
31 | ||||||
33 |
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.
Table of Contents
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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.
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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 Veritas Global Focus Fund |
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Based on Actual Fund Return |
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Class N | 1.14 | % | $ | 1,000 | $ | 1,300 | $ | 6.50 | ||||||||
Class I | 0.89 | % | $ | 1,000 | $ | 1,302 | $ | 5.08 | ||||||||
Based on Hypothetical 5% Annual Return |
| |||||||||||||||
Class N | 1.14 | % | $ | 1,000 | $ | 1,019 | $ | 5.71 | ||||||||
Class I | 0.89 | % | $ | 1,000 | $ | 1,020 | $ | 4.46 | ||||||||
AMG FQ Global Risk-Balanced Fund |
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Based on Actual Fund Return |
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Class N | 1.29 | % | $ | 1,000 | $ | 1,122 | $ | 6.79 | ||||||||
Class I | 1.04 | % | $ | 1,000 | $ | 1,124 | $ | 5.48 | ||||||||
Class Z | 0.89 | % | $ | 1,000 | $ | 1,124 | $ | 4.69 | ||||||||
Based on Hypothetical 5% Annual Return |
| |||||||||||||||
Class N | 1.29 | % | $ | 1,000 | $ | 1,018 | $ | 6.46 | ||||||||
Class I | 1.04 | % | $ | 1,000 | $ | 1,020 | $ | 5.21 | ||||||||
Class Z | 0.89 | % | $ | 1,000 | $ | 1,020 | $ | 4.46 |
* | 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
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Periods ended April 30, 2021 |
The table below shows the average annual total returns for the periods indicated for each
| ||||||||||||||||
Average Annual Total Returns1 | Six Months* | One Year | Five Years | Ten Years | ||||||||||||
AMG Veritas Global Focus Fund2, 3, 4, 5, 6, 7, 8 |
| |||||||||||||||
Class N | 30.02% | 44.60% | 13.98% | 12.06% | ||||||||||||
Class I | 30.17% | 44.96% | 14.27% | 12.34% | ||||||||||||
Russell 3000® Index22 | 31.08% | 50.92% | 17.67% | 14.03% | ||||||||||||
Returns After Tax on Distributions9 |
| |||||||||||||||
Class N | 29.58% | 44.11% | 13.74% | 11.91% | ||||||||||||
Class I | 29.65% | 44.38% | 13.95% | 12.13% | ||||||||||||
Returns After Tax on Distributions & Sale of Fund Shares9 |
| |||||||||||||||
Class N | 18.02% | 26.68% | 11.19% | 10.05% | ||||||||||||
Class I | 18.15% | 26.93% | 11.40% | 10.28% | ||||||||||||
AMG FQ Global Risk-Balanced Fund3, 4, 7, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21 |
| |||||||||||||||
Class N | 12.23% | 14.42% | 4.49% | 3.61% | ||||||||||||
Class I | 12.35% | 14.70% | 4.79% | 3.98% | ||||||||||||
Class Z | 12.36% | 14.80% | 4.90% | 4.09% | ||||||||||||
Composite Hedged Index23 | 14.90% | 23.00% | 10.31% | 8.63% | ||||||||||||
Composite UnHedged Index23 | 15.84% | 26.41% | 9.50% | 6.79% | ||||||||||||
S&P 500® Index24 | 28.85% | 45.98% | 17.42% | 14.17% | ||||||||||||
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.
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
|
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* Not annualized.
1 Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. Except for AMG Veritas Global Focus Fund, 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 ($).
2 Effective May 21, 2021, Veritas Asset Management LLP became the Fund’s interim subadviser and the Fund changed its name from AMG FQ Tax-Managed U.S. Equity Fund to AMG Veritas Global Focus Fund. Additionally, the Fund made changes to its investment objective, principal investments strategies and principal risks; and replaced its primary benchmark index with the MSCI World Index. Please refer to the Fund’s prospectus or statement of additional information for more information.
3 From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns. |
|
4 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. |
5 The Fund invests in large-capitalization companies that may underperform other stock funds (such as funds that focus on small- and medium-capitalization companies) when stocks of large-capitalization companies are out of favor. |
6 Although the Fund was managed before the subadviser change to minimize taxable distributions, it may not be able to avoid taxable distributions. |
7 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. |
8 The Fund’s former Subadviser relied heavily on one or more quantitative models (“Model”) and information and data supplied by third parties (“Data”). When a Model or Data is used in managing the Fund contains an error, or is incorrect or incomplete, any investment decision made in reliance on the Model or Data may not produce the desired results and the Fund may realize losses. In addition, any hedging based on a faulty Model or Data may prove to be unsuccessful. |
9 After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown, and after-tax returns are not relevant to investors who hold their Fund shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. |
10 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. |
11 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. |
12 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. |
13 Investments in commodities are subject to greater volatility than investments in traditional securities, such as stocks and bonds. Commodities are subject to risks, including but not limited to climate conditions, livestock disease, war, terrorism, political conflicts, |
3
Table of Contents
Fund Performance Periods ended April 30, 2021 (continued) |
interest rates, currency fluctuations, embargoes, tariffs and other regulatory developments.
14 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.
15 Because exchange-traded funds (ETFs) incur their own costs, investing in them could result in a higher cost to the investor. Additionally, the fund will be indirectly exposed to all the risks of securities held by the ETFs.
16 High-yield bonds (also known as “junk bonds”) may be subject to greater levels of interest rate, credit, and liquidity risk than investments in higher rated securities. These securities are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments. The issuers of the Fund’s holdings may be involved in bankruptcy proceedings, reorganizations, or financial restructurings, and are not as strong financially as higher-rated issuers.
17 The use of leverage in a Fund’s strategy, such as futures and forward commitment transactions, can magnify relatively small market movements into relatively larger losses for the Fund.
18 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. | 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 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.
21 Obligations of certain government agencies are not backed by the full faith and credit of the U.S. government. If one of these agencies defaulted on a loan, there is no guarantee that the U.S. government would provide financial support. Additionally, debt securities of the U.S. government may be affected by changing interest rates and subject to prepayment risk.
22 The Russell 3000® Index is composed of the 3,000 largest U.S. companies as measured by market capitalization, and represents about 98% of the U.S. stock market. Unlike the Fund, the Russell 3000® Index is unmanaged, is not available for investment and does not incur expenses.
23 The benchmark is composed of 60% MSCI World Index and 40% FTSE World Government Bond Index. The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The MSCI World Index consists of 23 developed market country indices. Please go to msci.com for most current list of countries represented by the index. The FTSE World Government Bond Index | (FTSE) measures the performance of fixed-rate, local currency, investment grade sovereign bonds. The FTSE is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 25 years of history available. Prior to July 31, 2018, the FTSE World Government Bond Index was known as the Citigroup World Government Bond Index. Unlike the Fund, the Composite Index is unmanaged, is not available for investment and does not incur fees.
24 The S&P 500® Index is a capitalization-weighted index of 500 stocks. The S&P 500® Index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Unlike the Fund, the S&P 500® Index is unmanaged, is not available for investment and does not incur expenses.
The Russell 3000® Index is a trademark of the London Stock Exchange Group companies.
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.
The S&P 500® Index is proprietary data of Standard & Poor’s, a division of McGraw-Hill Companies, Inc.
Not FDIC insured, nor bank guaranteed. May lose value. | ||
4
Table of Contents
Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Information Technology | 26.2 | |
Consumer Discretionary | 13.2 | |
Health Care | 13.0 | |
Financials | 11.4 | |
Communication Services | 9.9 | |
Industrials | 8.7 | |
Consumer Staples | 6.1 | |
Real Estate | 3.4 | |
Energy | 2.9 | |
Materials | 2.1 | |
Utilities | 2.0 | |
Short-Term Investments | 1.3 | |
Other Assets Less Liabilities | (0.2)
|
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Apple, Inc. | 5.0 | |
Microsoft Corp. | 4.6 | |
UnitedHealth Group, Inc. | 4.0 | |
Visa, Inc., Class A | 4.0 | |
Mastercard, Inc., Class A | 3.7 | |
Amazon.com, Inc. | 3.6 | |
Berkshire Hathaway, Inc., Class B | 3.3 | |
Brown & Brown, Inc. | 2.5 | |
Facebook, Inc., Class A | 2.4 | |
Alphabet, Inc., Class C | 2.2 | |
| ||
Top Ten as a Group | 35.3 | |
| ||
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
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AMG Veritas Global Focus Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 98.9% | ||||||||
Communication Services - 9.9% | ||||||||
Alphabet, Inc., Class A* | 706 | $1,661,571 | ||||||
Alphabet, Inc., Class C* | 715 | 1,723,236 | ||||||
Altice USA, Inc., Class A* | 696 | 25,272 | ||||||
AT&T, Inc. | 4,748 | 149,135 | ||||||
Charter Communications, Inc., Class A* | 571 | 384,540 | ||||||
Comcast Corp., Class A | 1,216 | 68,278 | ||||||
Electronic Arts, Inc. | 3,363 | 477,815 | ||||||
Facebook, Inc., Class A* | 5,716 | 1,858,157 | ||||||
Fox Corp., Class B | 1,036 | 37,690 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class A* | 627 | 28,334 | ||||||
Netflix, Inc.* | 784 | 402,560 | ||||||
News Corp., Class B | 1,963 | 47,721 | ||||||
Pinterest, Inc., Class A* | 635 | 42,145 | ||||||
Snap, Inc., Class A* | 301 | 18,608 | ||||||
Take-Two Interactive Software, Inc.* | 332 | 58,226 | ||||||
TechTarget, Inc.* | 1,452 | 111,368 | ||||||
Twitter, Inc. * | 267 | 14,744 | ||||||
Verizon Communications, Inc. | 2,872 | 165,973 | ||||||
The Walt Disney Co.* | 1,464 | 272,333 | ||||||
Zynga, Inc., Class A* | 8,227 | 89,016 | ||||||
Total Communication Services | 7,636,722 | |||||||
Consumer Discretionary - 13.2% | ||||||||
Amazon.com, Inc.* | 799 | 2,770,469 | ||||||
AutoZone, Inc.* | 173 | 253,293 | ||||||
Best Buy Co., Inc. | 2,515 | 292,419 | ||||||
Booking Holdings, Inc.* | 108 | 266,337 | ||||||
Bright Horizons Family Solutions, Inc.* | 1,676 | 242,735 | ||||||
Crocs, Inc.* | 1,408 | 140,969 | ||||||
Deckers Outdoor Corp.* | 173 | 58,509 | ||||||
eBay, Inc. | 2,099 | 117,103 | ||||||
Gentex Corp. | 14,287 | 502,617 | ||||||
Groupon, Inc.* | 4,440 | 224,797 | ||||||
The Home Depot, Inc. | 1,153 | 373,191 | ||||||
La-Z-Boy, Inc. | 1,279 | 56,864 | ||||||
LKQ Corp.* | 926 | 43,253 | ||||||
Lowe’s Cos., Inc. | 6,998 | 1,373,357 | ||||||
Malibu Boats, Inc., Class A* | 545 | 45,431 | ||||||
NIKE, Inc., Class B | 3,048 | 404,226 | ||||||
O’Reilly Automotive, Inc.* | 935 | 516,943 | ||||||
Tesla, Inc.* | 1,376 | 976,189 | ||||||
Texas Roadhouse, Inc.* | 866 | 92,679 |
Shares | Value | |||||||
The Gap, Inc. | 2,707 | $89,602 | ||||||
The TJX Cos., Inc. | 5,878 | 417,338 | ||||||
Tractor Supply Co. | 2,107 | 397,380 | ||||||
Ulta Beauty, Inc.* | 154 | 50,720 | ||||||
The Wendy’s Co. | 17,503 | 395,043 | ||||||
Yum! Brands, Inc. | 488 | 58,326 | ||||||
Total Consumer Discretionary | 10,159,790 | |||||||
Consumer Staples - 6.1% | ||||||||
Central Garden & Pet Co., Class A* | 11,889 | 585,771 | ||||||
Church & Dwight Co., Inc. | 1,119 | 95,943 | ||||||
The Coca-Cola Co. | 369 | 19,919 | ||||||
Colgate-Palmolive Co. | 1,471 | 118,710 | ||||||
Herbalife Nutrition, Ltd.* | 1,485 | 67,968 | ||||||
The Hershey Co. | 1,939 | 318,578 | ||||||
Lamb Weston Holdings, Inc. | 1,609 | 129,524 | ||||||
Medifast, Inc. | 1,859 | 422,160 | ||||||
National Beverage Corp. | 3,142 | 152,670 | ||||||
Nature’s Sunshine Products, Inc. | 11,610 | 241,604 | ||||||
PepsiCo, Inc. | 156 | 22,489 | ||||||
The Procter & Gamble Co. | 2,461 | 328,347 | ||||||
Spectrum Brands Holdings, Inc. | 15,454 | 1,362,116 | ||||||
Sysco Corp. | 1,059 | 89,729 | ||||||
Tyson Foods, Inc., Class A | 5,935 | 459,666 | ||||||
USANA Health Sciences, Inc.* | 1,282 | 115,367 | ||||||
Walmart, Inc. | 952 | 133,194 | ||||||
Total Consumer Staples | 4,663,755 | |||||||
Energy - 2.9% | ||||||||
APA Corp. | 11,674 | 233,480 | ||||||
Baker Hughes Co. | 5,700 | 114,456 | ||||||
ConocoPhillips | 7,302 | 373,424 | ||||||
EOG Resources, Inc. | 2,410 | 177,472 | ||||||
Exxon Mobil Corp. | 548 | 31,368 | ||||||
Hess Corp. | 2,125 | 158,334 | ||||||
Occidental Petroleum Corp. | 16,640 | 421,990 | ||||||
Phillips 66 | 4,459 | 360,778 | ||||||
ProPetro Holding Corp.* | 31,491 | 303,258 | ||||||
Renewable Energy Group, Inc.* | 1,254 | 69,622 | ||||||
Total Energy | 2,244,182 | |||||||
Financials - 11.4% | ||||||||
Aflac, Inc. | 1,514 | 81,347 | ||||||
Bank of America Corp. | 7,256 | 294,086 | ||||||
Berkshire Hathaway, Inc., Class B* | 9,361 | 2,573,807 | ||||||
Brown & Brown, Inc. | 36,169 | 1,923,468 |
The accompanying notes are an integral part of these financial statements.
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AMG Veritas Global Focus Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Financials - 11.4% (continued) | ||||||||
Canadian Imperial Bank of Commerce (Canada) | 1,790 | $186,088 | ||||||
Cherry Hill Mortgage Investment Corp., REIT | 13,191 | 133,493 | ||||||
Chubb, Ltd. (Switzerland) | 268 | 45,986 | ||||||
Citigroup, Inc. | 2,244 | 159,863 | ||||||
Evercore, Inc., Class A | 2,693 | 377,370 | ||||||
FactSet Research Systems, Inc. | 78 | 26,225 | ||||||
First American Financial Corp. | 10,182 | 656,739 | ||||||
Intercontinental Exchange, Inc. | 1,127 | 132,659 | ||||||
Jefferies Financial Group, Inc. | 2,498 | 81,210 | ||||||
JPMorgan Chase & Co. | 4,600 | 707,526 | ||||||
KKR & Co., Inc. | 2,537 | 143,544 | ||||||
Marsh & McLennan Cos., Inc. | 222 | 30,125 | ||||||
Principal Financial Group, Inc. | 1,244 | 79,454 | ||||||
Pzena Investment Management, Inc., Class A | 8,553 | 90,063 | ||||||
S&P Global, Inc. | 1,043 | 407,177 | ||||||
StoneX Group, Inc.* | 1,014 | 64,409 | ||||||
Truist Financial Corp. | 9,957 | 590,550 | ||||||
Two Harbors Investment Corp. | 2,743 | 21,395 | ||||||
Total Financials | 8,806,584 | |||||||
Health Care - 13.0% | ||||||||
AbbVie, Inc. | 3,462 | 386,013 | ||||||
Agilent Technologies, Inc. | 1,239 | 165,580 | ||||||
Amgen, Inc. | 2,280 | 546,379 | ||||||
Anika Therapeutics, Inc.* | 2,693 | 108,205 | ||||||
Atrion Corp. | 251 | 160,289 | ||||||
Avid Bioservices, Inc.* | 2,369 | 50,708 | ||||||
Biogen, Inc.* | 1,735 | 463,818 | ||||||
Bristol-Myers Squibb Co. | 1,138 | 71,034 | ||||||
Castlight Health Inc., Class B* | 90,347 | 171,659 | ||||||
Centene Corp.* | 5,321 | 328,519 | ||||||
Charles River Laboratories International, Inc.* | 4,884 | 1,623,686 | ||||||
Dexcom, Inc.* | 83 | 32,046 | ||||||
Edwards Lifesciences Corp.* | 1,914 | 182,825 | ||||||
Haemonetics Corp.* | 570 | 38,338 | ||||||
Hologic, Inc.* | 3,446 | 225,885 | ||||||
Humana, Inc. | 357 | 158,951 | ||||||
IDEXX Laboratories, Inc.* | 859 | 471,582 | ||||||
Illumina, Inc.* | 160 | 62,854 | ||||||
Johnson & Johnson | 3,199 | 520,573 | ||||||
McKesson Corp. | 1,199 | 224,884 | ||||||
Merck & Co., Inc. | 1,326 | 98,787 | ||||||
ModivCare, Inc.* | 1,986 | 278,199 |
Shares | Value | |||||||
NuVasive, Inc.* | 376 | $26,865 | ||||||
Pfizer, Inc. | 3,638 | 140,609 | ||||||
PPD, Inc.* | 828 | 38,254 | ||||||
Select Medical Holdings Corp.* | 3,715 | 140,130 | ||||||
UnitedHealth Group, Inc. | 7,731 | 3,083,123 | ||||||
West Pharmaceutical Services, Inc. | 86 | 28,253 | ||||||
Zoetis, Inc. | 1,287 | 222,690 | ||||||
Total Health Care | 10,050,738 | |||||||
Industrials - 8.7% | ||||||||
AeroVironment, Inc.* | 255 | 28,144 | ||||||
Alaska Air Group, Inc.* | 11,034 | 762,891 | ||||||
AMETEK, Inc. | 944 | 127,374 | ||||||
Boise Cascade Co. | 2,623 | 175,007 | ||||||
BWX Technologies, Inc. | 8,387 | 561,258 | ||||||
CACI International, Inc., Class A* | 476 | 121,313 | ||||||
Carrier Global Corp. | 1,885 | 82,148 | ||||||
CBIZ, Inc.* | 898 | 30,164 | ||||||
Copa Holdings, S.A., Class A (Panama)* | 1,480 | 128,020 | ||||||
CSX Corp. | 1,366 | 137,624 | ||||||
Delta Air Lines, Inc.* | 2,381 | 111,717 | ||||||
Emerson Electric Co. | 1,211 | 109,583 | ||||||
HEICO Corp., Class A | 1,155 | 145,853 | ||||||
Hubbell, Inc. | 1,129 | 216,779 | ||||||
IDEX Corp. | 1,933 | 433,379 | ||||||
Ingersoll Rand, Inc.* | 519 | 25,644 | ||||||
ITT, Inc. | 322 | 30,368 | ||||||
Landstar System, Inc. | 3,371 | 580,756 | ||||||
Lennox International, Inc. | 208 | 69,751 | ||||||
Lincoln Electric Holdings, Inc. | 256 | 32,781 | ||||||
Mueller Industries, Inc. | 1,157 | 51,915 | ||||||
Primoris Services Corp. | 30,894 | 1,008,998 | ||||||
Robert Half International, Inc. | 5,769 | 505,422 | ||||||
Rollins, Inc. | 14,494 | 540,336 | ||||||
Schneider National, Inc., Class B | 5,730 | 138,838 | ||||||
TransUnion | 1,098 | 114,840 | ||||||
TriNet Group, Inc.* | 863 | 67,927 | ||||||
UFP Industries, Inc. | 2,430 | 204,217 | ||||||
Union Pacific Corp. | 369 | 81,951 | ||||||
United Parcel Service, Inc., Class B | 456 | 92,960 | ||||||
Total Industrials | 6,717,958 | |||||||
Information Technology - 26.2% | ||||||||
Adobe, Inc.* | 1,212 | 616,108 | ||||||
Amkor Technology, Inc. | 2,139 | 43,251 |
The accompanying notes are an integral part of these financial statements.
7
Table of Contents
AMG Veritas Global Focus Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Information Technology - 26.2% (continued) | ||||||||
Appfolio, Inc., Class A* | 2,427 | $351,017 | ||||||
Apple, Inc. | 29,502 | 3,878,333 | ||||||
Automatic Data Processing, Inc. | 180 | 33,658 | ||||||
Avnet, Inc. | 6,473 | 284,294 | ||||||
Broadcom, Inc. | 64 | 29,197 | ||||||
Cadence Design Systems, Inc.* | 2,192 | 288,840 | ||||||
Ciena Corp.* | 3,022 | 152,520 | ||||||
Cirrus Logic, Inc.* | 3,550 | 264,156 | ||||||
Cisco Systems, Inc. | 2,711 | 138,017 | ||||||
Corning, Inc. | 10,012 | 442,631 | ||||||
Dell Technologies, Inc., Class C* | 1,798 | 176,797 | ||||||
ExlService Holdings, Inc.* | 592 | 54,689 | ||||||
FormFactor, Inc.* | 669 | 26,191 | ||||||
GoDaddy, Inc., Class A* | 455 | 39,503 | ||||||
HP, Inc. | 3,576 | 121,977 | ||||||
Intel Corp. | 2,556 | 147,047 | ||||||
Intuit, Inc. | 1,001 | 412,572 | ||||||
Lumentum Holdings, Inc.* | 1,486 | 126,384 | ||||||
Mastercard, Inc., Class A | 7,492 | 2,862,394 | ||||||
Microsoft Corp. | 14,207 | 3,582,721 | ||||||
Mitek Systems, Inc.* | 1,964 | 31,836 | ||||||
Motorola Solutions, Inc. | 1,734 | 326,512 | ||||||
National Instruments Corp. | 3,683 | 152,513 | ||||||
NETGEAR, Inc.* | 3,080 | 114,607 | ||||||
NortonLifeLock, Inc. | 3,116 | 67,337 | ||||||
NVIDIA Corp. | 1,046 | 627,997 | ||||||
Onto Innovation, Inc.* | 1,166 | 79,894 | ||||||
Oracle Corp. | 2,316 | 175,530 | ||||||
PayPal Holdings, Inc.* | 479 | 125,637 | ||||||
QAD, Inc., Class A | 5,100 | 360,519 | ||||||
QUALCOMM, Inc. | 1,853 | 257,196 | ||||||
salesforce.com, Inc.* | 1,695 | 390,392 | ||||||
Sanmina Corp.* | 2,990 | 122,112 | ||||||
ServiceNow, Inc.* | 326 | 165,077 | ||||||
SPS Commerce, Inc.* | 650 | 66,586 | ||||||
Visa, Inc., Class A | 13,053 | 3,048,659 | ||||||
Total Information Technology | 20,184,701 | |||||||
Materials - 2.1% | ||||||||
Avient Corp. | 4,438 | 225,317 | ||||||
FutureFuel Corp. | 4,119 | 52,311 | ||||||
Graphic Packaging Holding Co. | 25,298 | 469,278 |
Shares | Value | |||||||
Louisiana-Pacific Corp. | 9,154 | $603,065 | ||||||
Myers Industries, Inc. | 1,705 | 38,465 | ||||||
Orion Engineered Carbons, S.A. (Luxembourg)* | 2,616 | 51,954 | ||||||
The Sherwin-Williams Co. | 495 | 135,566 | ||||||
Trecora Resources* | 3,512 | 26,656 | ||||||
Total Materials | 1,602,612 | |||||||
Real Estate - 3.4% | ||||||||
American Tower Corp., REIT | 481 | 122,544 | ||||||
Camden Property Trust, REIT | 2,481 | 298,911 | ||||||
CareTrust REIT, Inc. | 12,604 | 304,765 | ||||||
DiamondRock Hospitality Co., REIT * | 25,116 | 261,709 | ||||||
Equity Commonwealth, REIT | 1,963 | 56,534 | ||||||
Equity LifeStyle Properties, Inc., REIT | 8,562 | 594,203 | ||||||
Life Storage, Inc., REIT | 708 | 68,010 | ||||||
MGM Growth Properties LLC, Class A | 5,111 | 184,098 | ||||||
RE/MAX Holdings, Inc., Class A | 872 | 32,029 | ||||||
Rexford Industrial Realty, Inc., REIT | 4,252 | 236,199 | ||||||
Weyerhaeuser Co., REIT | 12,205 | 473,188 | ||||||
Total Real Estate | 2,632,190 | |||||||
Utilities - 2.0% | ||||||||
Ameren Corp. | 4,904 | 416,055 | ||||||
American Water Works Co., Inc. | 4,104 | 640,183 | ||||||
DTE Energy Co. | 1,373 | 192,247 | ||||||
IDACORP, Inc. | 446 | 45,706 | ||||||
OGE Energy Corp. | 814 | 27,318 | ||||||
Public Service Enterprise Group, Inc. | 3,728 | 235,461 | ||||||
Total Utilities | 1,556,970 | |||||||
Total Common Stocks | ||||||||
(Cost $32,684,447) | 76,256,202 | |||||||
Short-Term Investments - 1.3% | ||||||||
Other Investment Companies - 1.3% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%1 | 317,124 | 317,124 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%1 | 317,124 | 317,124 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%1 | 326,734 | 326,734 | ||||||
Total Short-Term Investments | ||||||||
(Cost $960,982) | 960,982 | |||||||
Total Investments - 100.2% | ||||||||
(Cost $33,645,429) | 77,217,184 | |||||||
Other Assets, less Liabilities - (0.2)% |
| (132,653 | ) | |||||
Net Assets - 100.0% | $77,084,531 |
The accompanying notes are an integral part of these financial statements.
8
Table of Contents
AMG Veritas Global Focus Fund Schedule of Portfolio Investments (continued) |
* | Non-income producing security. |
1 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
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† | $76,256,202 | — | — | $76,256,202 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | 960,982 | — | — | 960,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $77,217,184 | — | — | $77,217,184 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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.
9
Table of Contents
AMG FQ Global Risk-Balanced Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares |
|
Value |
| |||||
Exchange Traded Funds - 53.3% |
| |||||||
iShares Global Infrastructure ETF1 | 13,533 | $631,179 | ||||||
iShares iBoxx High Yield Corporate Bond ETF1,2 | 87,005 | 7,607,717 | ||||||
iShares TIPS Bond ETF | 55,701 | 7,073,470 | ||||||
Materials Select Sector SPDR Fund1 | 7,033 | 584,020 | ||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 29,089 | 1,631,311 | ||||||
VanEck Vectors Gold Miners ETF | 16,401 | 563,538 | ||||||
VanEck Vectors Natural Resource ETF | 12,814 | 589,269 | ||||||
Vanguard Global ex-U.S. Real Estate ETF | 3,412 | 194,962 | ||||||
Vanguard Real Estate ETF1 | 18,917 | 1,874,297 | ||||||
Total Exchange Traded Funds | 20,749,763 | |||||||
Notes | ||||||||
Exchange Traded Notes - 10.4% |
| |||||||
Barclays PLC, iPath Bloomberg Commodity Index Total Return ETN, 06/12/36* | 61,617 | 1,600,193 | ||||||
Deutsche Bank AG, DB Gold Double Long ETN, 02/15/38* | 20,415 | 770,836 | ||||||
Swedish Export Credit Corp., ELEMENTS Linked to the Rogers International Commodity Index Total Return, 10/24/22*,1 | 279,886 | 1,673,718 | ||||||
Total Exchange Traded Notes |
| 4,044,747 | ||||||
Purchased Options - 0.4% |
| |||||||
(See Open Exchange Traded Purchased Options schedule) | 153,977 | |||||||
| Principal Amount | | ||||||
Short-Term Investments - 48.1% |
| |||||||
Joint Repurchase Agreements - 10.6%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 | ||||||
Citigroup Global Markets, 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% - 6.000%, 05/15/21 - 04/20/51, totaling $1,020,000)
|
| 1,000,000
|
|
| 1,000,000
|
|
| Principal Amount | | Value | |||||
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 | ||||||
HSBC Securities USA, Inc., dated 04/30/21, due 05/03/21, 0.000% total to be received $131,945 (collateralized by various U.S. Treasuries, 0.000% - 2.250%, 01/15/22 - 02/15/48, totaling $134,584) | 131,945 | 131,945 | ||||||
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 |
| 4,131,945 | ||||||
U.S. Government Obligations - 20.6% |
| |||||||
U.S. Treasury Bills, 0.010%, 05/20/212,4,5 | 2,500,000 | 2,499,987 | ||||||
U.S. Treasury Bills, 0.010%, 08/12/215 | 2,500,000 | 2,499,947 | ||||||
U.S. Treasury Bills, 0.011%, 07/15/212,4,5 | 3,000,000 | 2,999,954 | ||||||
Total U.S. Government Obligations |
| 7,999,888 | ||||||
Shares | ||||||||
Other Investment Companies - 16.9% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%6 | 2,172,003 | 2,172,003 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%6 | 2,172,003 | 2,172,003 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%6 | 2,237,822 | 2,237,822 | ||||||
Total Other Investment Companies |
| 6,581,828 | ||||||
Total Short-Term Investments | 18,713,661 | |||||||
Total Investments - 112.2% | 43,662,148 | |||||||
Derivatives - (0.8)%7 | (327,216 | ) | ||||||
Other Assets, less Liabilities - (11.4)% |
| (4,421,136 | ) | |||||
Net Assets - 100.0% |
| $38,913,796
|
|
The accompanying notes are an integral part of these financial statements.
10
Table of Contents
AMG FQ Global Risk-Balanced Fund Schedule of Portfolio Investments (continued) |
* | Non-income producing security. |
1 | Some of these securities, amounting to $5,891,221 or 15.1% 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 | Some or all of these securities were held as collateral for written options as of April 30, 2021, amounting to $7,122,852 or 18.3% of net assets. |
3 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
4 | Some or all of this security is held as collateral for futures contracts. The market value of collateral at April 30, 2021, amounted to $2,599,968, or 6.7% of net assets. |
5 | Represents yield to maturity at April 30, 2021. |
6 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
7 | Includes Exchange Traded Written Options and Futures Contracts. Please refer to the Open Exchange Traded Written Options and Open Futures Contracts tables for the details. |
ETF Exchange Traded Fund
ETN Exchange Traded Notes
SPDR Standard & Poor’s Depositary Receipt
TIPS Treasury Inflation-Protected Securities
Open Exchange Traded Purchased Options |
| |||||||||||||||||||||||
Description
| Strike Price
| Expiration Date
| Number of
| Notional
| Cost
| Value
| ||||||||||||||||||
EURO STOXX 50 (Put) | 3,400 | 05/21/21 | 41 | $1,394,000 | $34,113 | $2,514 | ||||||||||||||||||
EURO STOXX 50 (Put) | 3,500 | 06/18/21 | 34 | 1,190,000 | 24,499 | 7,889 | ||||||||||||||||||
EURO STOXX 50 (Put) | 3,675 | 07/16/21 | 39 | 1,433,250 | 21,262 | 25,554 | ||||||||||||||||||
S&P 500 Index (Put) | 3,600 | 06/18/21 | 15 | 5,400,000 | 108,159 | 19,020 | ||||||||||||||||||
S&P 500 Index (Put) | 3,610 | 05/21/21 | 20 | 7,220,000 | 163,468 | 5,840 | ||||||||||||||||||
S&P 500 Index (Put) | 3,880 | 07/16/21 | 17 | 6,596,000 | 98,559 | 93,160 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $450,060 | $153,977 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Open Exchange Traded Written Options |
| |||||||||||||||||||||||
Description
| Strike Price
| Expiration Date
| Number of
| Notional
| Premium
| Value
| ||||||||||||||||||
EURO STOXX 50 (Call) | 3,925 | 05/21/21 | 41 | $1,609,250 | $13,818 | $(36,279 | ) | |||||||||||||||||
EURO STOXX 50 (Call) | 4,050 | 06/18/21 | 34 | 1,377,000 | 9,431 | (15,411 | ) | |||||||||||||||||
EURO STOXX 50 (Call) | 4,225 | 07/16/21 | 39 | 1,647,750 | 7,424 | (6,424 | ) | |||||||||||||||||
EURO STOXX 50 (Put) | 3,175 | 05/21/21 | 41 | 1,301,750 | 19,585 | (1,479 | ) | |||||||||||||||||
EURO STOXX 50 (Put) | 3,300 | 06/18/21 | 34 | 1,122,000 | 14,493 | (4,578 | ) | |||||||||||||||||
EURO STOXX 50 (Put) | 3,525 | 07/16/21 | 39 | 1,374,750 | 13,731 | (16,973 | ) | |||||||||||||||||
S&P 500 Index (Call) | 4,190 | 06/18/21 | 15 | 6,285,000 | 41,496 | (126,900 | ) | |||||||||||||||||
S&P 500 Index (Call) | 4,230 | 05/21/21 | 20 | 8,460,000 | 63,737 | (60,080 | ) | |||||||||||||||||
S&P 500 Index (Call) | 4,460 | 07/16/21 | 17 | 7,582,000 | 35,367 | (27,710 | ) | |||||||||||||||||
S&P 500 Index (Put) | 3,360 | 05/21/21 | 20 | 6,720,000 | 98,000 | (3,000 | ) | |||||||||||||||||
S&P 500 Index (Put) | 3,385 | 06/18/21 | 15 | 5,077,500 | 66,966 | (11,250 | ) | |||||||||||||||||
S&P 500 Index (Put) | 3,690 | 07/16/21 | 17 | 6,273,000 | 63,621 | (58,820 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $447,669 | $(368,904 | ) | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Open Futures Contracts |
| |||||||||||||||||||||||
Description
| Currency
| Number of
| Position
| Expiration
| Current
| Value and
| ||||||||||||||||||
ASX SPI 200 Index | AUD | 13 | Long | 06/17/21 | $1,753,047 | $58,746 | ||||||||||||||||||
Australia 10-Year Bond | AUD | 48 | Long | 06/15/21 | 5,154,205 | 24,554 | ||||||||||||||||||
Canadian 10-Year Bond | CAD | 44 | Long | 06/21/21 | 4,988,683 | (103,199 | ) | |||||||||||||||||
EURO STOXX 50 | EUR | 93 | Long | 06/18/21 | 4,405,285 | 182,649 | ||||||||||||||||||
FTSE 100 Index | GBP | 12 | Long | 06/18/21 | 1,149,724 | 35,289 |
The accompanying notes are an integral part of these financial statements.
11
Table of Contents
AMG FQ Global Risk-Balanced Fund Schedule of Portfolio Investments (continued) |
Description | Currency | Number of Contracts | Position | Expiration Date | Current Notional Amount | Value and Unrealized Gain/(Loss) | ||||||||||||
MINI HSI Index | HKD | 21 | Long | 05/28/21 | $771,304 | $(2,023 | ) | |||||||||||
MINI TPX Index | JPY | 67 | Long | 06/10/21 | 1,165,711 | 33,776 | ||||||||||||
MSCI Emerging Markets Index | USD | 50 | Long | 06/18/21 | 3,341,500 | (41,361 | ) | |||||||||||
Russell 2000® Mini Index | USD | 37 | Long | 06/18/21 | 4,183,775 | (38,930 | ) | |||||||||||
S&P 500 E-Mini Index | USD | 67 | Long | 06/18/21 | 1,398,424 | 122,278 | ||||||||||||
S&P/TSX 60 Index | CAD | 8 | Long | 06/17/21 | 1,477,964 | 28,696 | ||||||||||||
U.K. 10-Year Gilt | GBP | 38 | Long | 06/28/21 | 6,700,109 | (64,592 | ) | |||||||||||
US LONG BOND(CBT) | USD | 58 | Long | 06/21/21 | 9,120,500 | (194,195 | ) | |||||||||||
|
| |||||||||||||||||
Total | $41,688 | |||||||||||||||||
|
|
CURRENCY ABBREVIATIONS: | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EUR | Euro Dollar | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
JPY | Japanese Yen | |
USD | US Dollar |
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 | ||||||||||||||||
Exchange Traded Funds† | $20,749,763 | — | — | $20,749,763 | ||||||||||||
Exchange Traded Notes† | 4,044,747 | — | — | 4,044,747 | ||||||||||||
Purchased Options | ||||||||||||||||
Equity Contracts | 153,977 | — | — | 153,977 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $4,131,945 | — | 4,131,945 | ||||||||||||
U.S. Government Obligations | — | 7,999,888 | — | 7,999,888 | ||||||||||||
Other Investment Companies | 6,581,828 | — | — | 6,581,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $31,530,315 | $12,131,833 | — | $43,662,148 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Equity Futures Contracts | $461,434 | — | — | $461,434 | ||||||||||||
Interest Rate Futures Contracts | 24,554 | — | — | 24,554 | ||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Equity Futures Contracts | (82,314 | ) | — | — | (82,314 | ) | ||||||||||
Equity Written Options | (368,904 | ) | — | — | (368,904 | ) | ||||||||||
Interest Rate Futures Contracts | (361,986 | ) | — | — | (361,986 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $(327,216 | ) | — | — | $(327,216 | ) | ||||||||||
|
|
|
|
|
|
|
|
† | All exchange traded funds and exchange traded notes held in the Fund are level 1 securities. For a detailed listing of these securities, please refer to the Fund’s Schedule of Portfolio Investments. |
The accompanying notes are an integral part of these financial statements.
12
Table of Contents
AMG FQ Global Risk-Balanced Fund Schedule of Portfolio Investments (continued) |
For the six months ended April 30, 2021, there were no transfers in or out of Level 3.
The following schedule shows the value of derivative instruments at April 30, 2021:
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives not accounted for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||||
Equity contracts | Options purchased1 | $153,977 | Options written | $368,904 | ||||||||||
Equity contracts | Receivable for variation margin2 | 994 | Payable for variation margin2 | 189,194 | ||||||||||
Interest rate contracts | Receivable for variation margin2 | 9,662 | Payable for variation margin2 | 12,392 | ||||||||||
|
|
|
| |||||||||||
Totals | $164,633 | $570,490 | ||||||||||||
|
|
|
|
For the six months ended April 30, 2021, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
Realized Gain/(Loss) | Change in Unrealized Appreciation/Depreciation | |||||||||||||
Derivatives not accounted for as hedging instruments | Statement of Operations Location | Realized Gain/(Loss) | Statement of Operations Location | Change in Unrealized Appreciation/ Depreciation | ||||||||||
Equity contracts | Net realized loss on options purchased1 | $(1,036,893 | ) | Net change in unrealized appreciation/ depreciation on options purchased1 | $(462,358) | |||||||||
Equity contracts | Net realized loss on options written | (106,344 | ) | Net change in unrealized appreciation/ depreciation on options written | (4,760 | ) | ||||||||
Interest rate contracts | Net realized loss on futures contracts | (1,545,832 | ) | Net change in unrealized appreciation/ depreciation on futures contracts | (184,308 | ) | ||||||||
Equity contracts | Net realized gain on futures contracts | 4,549,762 | Net change in unrealized appreciation/ depreciation on futures contracts | 984,840 | ||||||||||
|
|
|
| |||||||||||
Totals | $1,860,693 | $333,414 | ||||||||||||
|
|
|
|
1 Options purchased are included in investments at value on the Statement of Assets and Liabilities. Net realized gain/(loss) on options purchased and net change in unrealized appreciation/depreciation on options purchased are included in the net realized gain/(loss) on investments and net change in unrealized appreciation/depreciation of investments, respectively, on the Statement of Operations.
2 Only current day’s variation margin is reported within the Statement of Assets and Liabilities. The variation margin is included in the open futures cumulative appreciation of $41,688.
The accompanying notes are an integral part of these financial statements.
13
Table of Contents
Statement of Assets and Liabilities (unaudited) April 30, 2021 |
AMG Veritas Global Focus Fund | AMG FQ Global Risk-Balanced Fund | |||||||
Assets: | ||||||||
Investments at value1 (including securities on loan valued at $0, and $5,891,221, respectively) | $77,217,184 | $43,662,148 | ||||||
Dividend and interest receivables | 29,944 | 316 | ||||||
Securities lending income receivable | 46 | 3,787 | ||||||
Receivable for Fund shares sold | 967 | 1,041 | ||||||
Receivable from affiliate | 5,869 | 3,265 | ||||||
Receivable for variation margin | — | 10,656 | ||||||
Prepaid expenses and other assets | 15,035 | 7,520 | ||||||
Total assets | 77,269,045 | 43,688,733 | ||||||
Liabilities: | ||||||||
Payable upon return of securities loaned | — | 4,131,945 | ||||||
Payable for Fund shares repurchased | 91,283 | 9,439 | ||||||
Written options2 | — | 368,904 | ||||||
Payable for variation margin | — | 201,586 | ||||||
Accrued expenses: | ||||||||
Investment advisory and management fees | 43,672 | 19,197 | ||||||
Administrative fees | 9,358 | 4,799 | ||||||
Distribution fees | 1,657 | 249 | ||||||
Shareholder service fees | — | 354 | ||||||
Other | 38,544 | 38,464 | ||||||
Total liabilities | 184,514 | 4,774,937 | ||||||
Net Assets | $77,084,531 | $38,913,796 | ||||||
1 Investments at cost | $33,645,429 | $41,909,970 | ||||||
2 Premiums received | — | $447,669 |
The accompanying notes are an integral part of these financial statements.
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Statement of Assets and Liabilities (continued) |
AMG Veritas Global Focus Fund | AMG FQ Global Risk-Balanced Fund | |||||||
Net Assets Represent: | ||||||||
Paid-in capital | $27,907,237 | $41,729,043 | ||||||
Total distributable earnings (loss) | 49,177,294 | (2,815,247 | ) | |||||
Net Assets | $77,084,531 | $38,913,796 | ||||||
Class N: | ||||||||
Net Assets | $8,211,111 | $1,218,271 | ||||||
Shares outstanding | 188,333 | 80,275 | ||||||
Net asset value, offering and redemption price per share | $43.60 | $15.18 | ||||||
Class I: | ||||||||
Net Assets | $68,873,420 | $1,701,890 | ||||||
Shares outstanding | 1,582,309 | 111,700 | ||||||
Net asset value, offering and redemption price per share | $43.53 | $15.24 | ||||||
Class Z: | ||||||||
Net Assets | — | $35,993,635 | ||||||
Shares outstanding | — | 2,363,472 | ||||||
Net asset value, offering and redemption price per share | — | $15.23 |
The accompanying notes are an integral part of these financial statements.
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Statement of Operations (unaudited) For the six months ended April 30, 2021 |
AMG Veritas Global Focus Fund | AMG FQ Global Risk-Balanced Fund | |||||||
Investment Income: | ||||||||
Dividend income | $353,420 | $303,302 | ||||||
Interest income | — | 1,819 | ||||||
Securities lending income | 1,963 | 19,154 | ||||||
Foreign withholding tax | (619 | ) | — | |||||
Total investment income | 354,764 | 324,275 | ||||||
Expenses: | ||||||||
Investment advisory and management fees | 248,458 | 120,715 | ||||||
Administrative fees | 53,241 | 30,179 | ||||||
Distribution fees - Class N | 9,542 | 1,493 | ||||||
Shareholder servicing fees - Class N | — | 896 | ||||||
Shareholder servicing fees - Class I | — | 1,280 | ||||||
Professional fees | 14,367 | 17,285 | ||||||
Registration fees | 13,998 | 12,907 | ||||||
Custodian fees | 9,035 | 8,929 | ||||||
Reports to shareholders | 7,725 | 6,065 | ||||||
Transfer agent fees | 5,303 | 5,005 | ||||||
Trustee fees and expenses | 2,942 | 1,752 | ||||||
Miscellaneous | 1,777 | 1,843 | ||||||
Total expenses before offsets | 366,388 | 208,349 | ||||||
Expense reimbursements | (40,944 | ) | (25,619 | ) | ||||
Expense reductions | (1,388 | ) | (839 | ) | ||||
Net expenses | 324,056 | 181,891 | ||||||
| ||||||||
Net investment income | 30,708 | 142,384 | ||||||
Net Realized and Unrealized Gain: | ||||||||
Net realized gain (loss) on investments | 5,652,856 | (905,049 | ) | |||||
Net realized gain on futures contracts | — | 3,003,930 | ||||||
Net realized loss on written options | — | (106,344 | ) | |||||
Net realized loss on foreign currency transactions | — | (4,869 | ) | |||||
Net change in unrealized appreciation/depreciation on investments | 12,757,208 | 1,787,170 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | — | 800,532 | ||||||
Net change in unrealized appreciation/depreciation on written options | — | (4,760 | ) | |||||
Net change in unrealized appreciation/depreciation on foreign currency translations | — | (9 | ) | |||||
Net realized and unrealized gain | 18,410,064 | 4,570,601 | ||||||
Net increase in net assets resulting from operations | $18,440,772 | $4,712,985 |
The accompanying notes are an integral part of these financial statements.
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Statements of Changes in Net Assets For the six months ended April 30, 2021 (unaudited) and the fiscal year ended October 31, 2020 |
AMG Veritas Global Focus Fund | AMG FQ Global Risk-Balanced Fund | |||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||
Net investment income | $30,708 | $292,463 | $142,384 | $245,432 | ||||||||||||
Net realized gain (loss) on investments | 5,652,856 | 882,650 | 1,987,668 | (6,013,420 | ) | |||||||||||
Net change in unrealized appreciation/depreciation on investments | 12,757,208 | (1,682,389 | ) | 2,582,933 | (1,730,052 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 18,440,772 | (507,276 | ) | 4,712,985 | (7,498,040 | ) | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Class N | (109,685 | ) | (30,370 | ) | (3,955 | ) | (81,284 | ) | ||||||||
Class I | (1,047,629 | ) | (392,779 | ) | (10,887 | ) | (81,571 | ) | ||||||||
Class Z | — | — | (298,407 | ) | (1,851,649 | ) | ||||||||||
Total distributions to shareholders | (1,157,314 | ) | (423,149 | ) | (313,249 | ) | (2,014,504 | ) | ||||||||
Capital Share Transactions:1 | ||||||||||||||||
Net decrease from capital share transactions | (2,866,400 | ) | (6,357,745 | ) | (4,316,167 | ) | (5,341,377 | ) | ||||||||
Total increase (decrease) in net assets | 14,417,058 | (7,288,170 | ) | 83,569 | (14,853,921 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 62,667,473 | 69,955,643 | 38,830,227 | 53,684,148 | ||||||||||||
End of period | $77,084,531 | $62,667,473 | $38,913,796 | $38,830,227 |
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
17
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Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | April 30, 2021 (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $34.02 | $34.33 | $31.68 | $29.69 | $24.11 | $24.42 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | (0.03 | ) | 0.07 | 0.09 | 4 | 0.03 | 0.03 | 5 | 0.22 | 6 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 10.16 | (0.25 | ) | 3.02 | 2.00 | 5.79 | (0.43 | ) | ||||||||||||||||||||||
Total income (loss) from investment operations | 10.13 | (0.18 | ) | 3.11 | 2.03 | 5.82 | (0.21 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.08 | ) | (0.05 | ) | — | (0.24 | ) | (0.10 | ) | |||||||||||||||||||
Net realized gain on investments | (0.50 | ) | (0.05 | ) | (0.41 | ) | (0.04 | ) | — | — | ||||||||||||||||||||
Total distributions to shareholders | (0.55 | ) | (0.13 | ) | (0.46 | ) | (0.04 | ) | (0.24 | ) | (0.10 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $43.60 | $34.02 | $34.33 | $31.68 | $29.69 | $24.11 | ||||||||||||||||||||||||
Total Return3,7 | 30.02 | %8 | (0.54 | )% | 10.15 | % | 6.84 | % | 24.27 | % | (0.86 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.14 | %9,10 | 1.13 | %10 | 1.13 | %10 | 1.14 | %10 | 1.14 | % | 1.14 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets11 | 1.26 | %9 | 1.29 | % | 1.28 | % | 1.26 | % | 1.27 | % | 1.26 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | (0.14 | )%9 | 0.22 | % | 0.28 | % | 0.09 | % | 0.13 | % | 0.93 | % | ||||||||||||||||||
Portfolio turnover | 14 | %8 | 45 | % | 34 | % | 31 | % | 75 | % | 102 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $8,211 | $6,922 | $8,188 | $9,622 | $12,131 | $22,885 | ||||||||||||||||||||||||
18
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AMG Veritas Global Focus Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I | April 30, 2021 (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $34.00 | $34.31 | $31.69 | $29.72 | $24.14 | $24.42 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.02 | 0.16 | 0.17 | 4 | 0.11 | 0.10 | 5 | 0.28 | 6 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 10.16 | (0.25 | ) | 3.00 | 2.00 | 5.79 | (0.43 | ) | ||||||||||||||||||||||
Total income (loss) from investment operations | 10.18 | (0.09 | ) | 3.17 | 2.11 | 5.89 | (0.15 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.17 | ) | (0.14 | ) | (0.10 | ) | (0.31 | ) | (0.13 | ) | ||||||||||||||||||
Net realized gain on investments | (0.50 | ) | (0.05 | ) | (0.41 | ) | (0.04 | ) | — | — | ||||||||||||||||||||
Total distributions to shareholders | (0.65 | ) | (0.22 | ) | (0.55 | ) | (0.14 | ) | (0.31 | ) | (0.13 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $43.53 | $34.00 | $34.31 | $31.69 | $29.72 | $24.14 | ||||||||||||||||||||||||
Total Return3,7 | 30.17 | %8 | (0.27 | )% | 10.40 | % | 7.13 | % | 24.57 | % | (0.59 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.89 | %9,10 | 0.88 | %10 | 0.88 | %10 | 0.89 | %10 | 0.89 | % | 0.89 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets11 | 1.01 | %9 | 1.04 | % | 1.03 | % | 1.01 | % | 1.02 | % | 1.01 | % | ||||||||||||||||||
Ratio of net investment income to average net assets3 | 0.11 | %9 | 0.47 | % | 0.53 | % | 0.34 | % | 0.38 | % | 1.19 | % | ||||||||||||||||||
Portfolio turnover | 14 | %8 | 45 | % | 34 | % | 31 | % | 75 | % | 102 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $68,873 | $55,746 | $61,767 | $63,440 | $60,421 | $53,494 | ||||||||||||||||||||||||
1 | Effective October 1, 2016, the Investor Class and Institutional Class were renamed Class N and Class I, 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 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.06 and $0.14 for Class N and Class I, respectively. |
5 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.01 and $0.08 for Class N and Class I, respectively. |
6 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.11 and $0.17 for Class N and Class I, respectively. |
7 | The total return is calculated using the published Net Asset Value as of period end. |
8 | Not annualized. |
9 | Annualized. |
10 | Includes reduction from broker recapture amounting to less than 0.01% for the six months ended April 30, 2021 and 0.01%, 0.01% and less than 0.01% for the fiscal years ended 2020, 2019 and 2018, respectively. |
11 | 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.) |
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AMG FQ Global Risk-Balanced Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | April 30, 2021 (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.57 | $16.54 | $14.56 | $15.77 | $13.89 | $12.93 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | 0.02 | 0.02 | 0.21 | 0.26 | 0.11 | (0.02 | ) | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.64 | (2.41 | ) | 2.06 | (1.43 | ) | 1.91 | 1.16 | ||||||||||||||||||||||
Total income (loss) from investment operations | 1.66 | (2.39 | ) | 2.27 | (1.17 | ) | 2.02 | 1.14 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.58 | ) | (0.29 | ) | (0.04 | ) | (0.14 | ) | (0.18 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $15.18 | $13.57 | $16.54 | $14.56 | $15.77 | $13.89 | ||||||||||||||||||||||||
Total Return3,4 | | 12.23 | %5 | (15.01 | )% | 15.98 | % | (7.43 | )% | 14.69 | % | 8.97 | % | |||||||||||||||||
Ratio of net expenses to average net assets | | 1.29 | %6,7 | | 1.28 | %7 | 1.29 | % | 1.29 | % | 1.33 | % | 1.39 | % | ||||||||||||||||
Ratio of gross expenses to average net assets8 | | 1.42 | %6 | 1.45 | % | 1.41 | % | 1.37 | % | 1.39 | % | 1.55 | % | |||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | | 0.32 | %6 | 0.17 | % | 1.38 | % | 1.67 | % | 0.76 | % | (0.15 | )% | |||||||||||||||||
Portfolio turnover | 2 | %5 | 193 | % | 15 | % | 27 | % | 26 | % | 71 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $1,218 | $1,110 | $2,340 | $1,870 | $2,200 | $3,725 | ||||||||||||||||||||||||
20
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AMG FQ Global Risk-Balanced Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I | April 30, 2021 (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.65 | $16.62 | $14.64 | $15.83 | $13.97 | $13.02 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | 0.04 | 0.06 | 0.25 | 0.30 | 0.16 | (0.01 | ) | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.64 | (2.42 | ) | 2.06 | (1.44 | ) | 1.92 | 1.21 | ||||||||||||||||||||||
Total income (loss) from investment operations | 1.68 | (2.36 | ) | 2.31 | (1.14 | ) | 2.08 | 1.20 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.61 | ) | (0.33 | ) | (0.05 | ) | (0.22 | ) | (0.25 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $15.24 | $13.65 | $16.62 | $14.64 | $15.83 | $13.97 | ||||||||||||||||||||||||
Total Return3,4 | | 12.35 | %5 | (14.75 | )% | 16.23 | % | (7.20 | )% | 15.14 | % | 9.43 | % | |||||||||||||||||
Ratio of net expenses to average net assets | | 1.04 | %6,7 | | 1.03 | %7 | 1.04 | % | 1.04 | % | 0.99 | % | 0.99 | % | ||||||||||||||||
Ratio of gross expenses to average net assets8 | | 1.17 | %6 | 1.20 | % | 1.16 | % | 1.12 | % | 1.05 | % | 1.15 | % | |||||||||||||||||
Ratio of net investment income to average net assets3 | | 0.57 | %6 | 0.42 | % | 1.63 | % | 1.92 | % | 1.09 | % | 0.25 | % | |||||||||||||||||
Portfolio turnover | 2 | %5 | 193 | % | 15 | % | 27 | % | 26 | % | 71 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $1,702 | $1,528 | $2,182 | $1,484 | $1,420 | $7,215 | ||||||||||||||||||||||||
21
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AMG FQ Global Risk-Balanced Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class Z | April 30, 2021 (unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.66 | $16.62 | $14.64 | $15.87 | $14.00 | $13.05 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.05 | 0.08 | 0.28 | 0.32 | 0.18 | 0.05 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.64 | (2.40 | ) | 2.05 | (1.44 | ) | 1.92 | 1.16 | ||||||||||||||||||||||
Total income (loss) from investment operations | 1.69 | (2.32 | ) | 2.33 | (1.12 | ) | 2.10 | 1.21 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.64 | ) | (0.35 | ) | (0.11 | ) | (0.23 | ) | (0.26 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $15.23 | $13.66 | $16.62 | $14.64 | $15.87 | $14.00 | ||||||||||||||||||||||||
Total Return3,4 | | 12.36 | %5 | (14.57 | )% | 16.43 | % | (7.13 | )% | 15.23 | % | 9.55 | % | |||||||||||||||||
Ratio of net expenses to average net assets | 0.89 | %6,7 | 0.88 | %7 | 0.89 | % | 0.89 | % | 0.89 | % | 0.89 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.02 | %6 | 1.05 | % | 1.01 | % | 0.97 | % | 0.95 | % | 1.05 | % | ||||||||||||||||||
Ratio of net investment income to average net assets3 | 0.72 | %6 | 0.57 | % | 1.78 | % | 2.07 | % | 1.19 | % | 0.36 | % | ||||||||||||||||||
Portfolio turnover | 2 | %5 | 193 | % | 15 | % | 27 | % | 26 | % | 71 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $35,994 | $36,192 | $49,163 | $50,058 | $59,712 | $58,670 | ||||||||||||||||||||||||
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 | Includes reduction from broker recapture amounting to less than 0.01% for the six months ended April 30, 2021 and 0.01% for the fiscal year ended 2020. |
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.) |
22
Table of Contents
Notes to Financial Statements (unaudited) April 30, 2021 |
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds I (the “Trust”) is an open-end management investment company, organized as a Massachusetts business trust, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trust consists of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Veritas Global Focus Fund (“Global Focus”) (formerly AMG FQ Tax-Managed U.S. Equity Fund) and AMG FQ Global Risk-Balanced Fund (“Global Risk-Balanced”), each a “Fund” and collectively, the “Funds”.
Each Fund offers different classes of shares. Both Funds offer Class N and Class I shares, and Global Risk Balanced offers 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 the Trust (the “Board”) approved Veritas Asset Management LLP (“Veritas”) as the subadviser to Global Focus on an interim basis to replace First Quadrant, L.P., effective May 21, 2021. The Board also approved the longer-term appointment of Veritas, a new subadvisory agreement between the Investment Manager and Veritas and the submission of the new subadvisory agreements to shareholders for approval. In connection with the hiring of Veritas, effective May 21, 2021, Global Focus changed its name from AMG FQ Tax-Managed U.S. Equity Fund to AMG Veritas Global Focus Fund; made changes to its investment objective, principal investments strategies and principal risks; and replaced its primary benchmark index with the MSCI World Index. In addition, the Board approved the following fee changes for the Fund, to be implemented upon effectiveness of the new subadvisory agreement: a reduction in the management fee rate from 0.70% to 0.67% of the Fund’s average daily net assets; and the reduction of the expense cap from 0.89% to 0.88% of the Fund’s average daily net assets (exclusive of certain excluded expenses).
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.
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, including option contracts, 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.
Futures contracts for which market quotations are readily available are valued at the settlement price as of the close of the futures exchange.
The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third party pricing services approved by the Board. Under certain circumstances, the value of certain Fund portfolio investments (including derivatives) may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trust’s securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that 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
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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, futures contracts, options contracts)
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, 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. 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 Trust 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.
Global Focus and Global Risk-Balanced 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: Global Focus - $1,388 or less than 0.01%, and Global Risk-Balanced - $839 or less than 0.01%.
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 due to wash sales, mark-to-market of foreign currency, futures and option contracts, return of capital from REITs and capital loss carryforwards.
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 | ||||||||||||
Global Focus | $33,645,429 | $43,635,066 | $(63,311) | $43,571,755 | ||||||||||||
Global Risk-Balanced | 41,909,970 | 2,763,231 | (890,600) | 1,872,631 |
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
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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 Fund 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 | |||||||||
Global Risk-Balanced | $3,996,587 | $2,553,128 | $6,549,715 |
As of October 31, 2020, Global Focus had no capital loss carryovers for federal income tax purposes. Should the Fund 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 Trust’s 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.
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:
Global Focus | Global Risk-Balanced | |||||||||||||||||||||||||||||||
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 | 2,624 | $104,963 | 9,440 | $298,433 | 217 | $3,208 | 9,833 | $156,768 | ||||||||||||||||||||||||
Reinvestment of distributions | 2,715 | 103,547 | 798 | 28,718 | 267 | 3,955 | 5,052 | 81,284 | ||||||||||||||||||||||||
Cost of shares repurchased | (20,477) | (797,030) | (45,297) | (1,481,907) | (1,972) | (29,608) | (74,612) | (1,131,549) | ||||||||||||||||||||||||
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Net decrease | (15,138) | $(588,520) | (35,059) | $(1,154,756) | (1,488) | $(22,445) | (59,727) | $(893,497) | ||||||||||||||||||||||||
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Class I:
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Proceeds from sale of shares | 16,653 | $708,842 | 47,300 | $1,530,200 | 16,708 | $247,813 | 12,337 | $196,102 | ||||||||||||||||||||||||
Reinvestment of distributions | 26,107 | 993,386 | 10,453 | 375,154 | 731 | 10,887 | 5,010 | 80,875 | ||||||||||||||||||||||||
Cost of shares repurchased | (99,867) | (3,980,108) | (218,571) | (7,108,343) | (17,681) | (264,434) | (36,648) | (554,743) | ||||||||||||||||||||||||
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Net decrease | (57,107) | $(2,277,880 | ) | (160,818) | $(5,202,989) | (242) | $(5,734) | (19,301) | $(277,766) | |||||||||||||||||||||||
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Class Z: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | — | — | — | — | 28,198 | $417,454 | 60,251 | $825,289 | ||||||||||||||||||||||||
Reinvestment of distributions | — | — | — | — | 19,957 | 296,758 | 114,271 | 1,843,200 | ||||||||||||||||||||||||
Cost of shares repurchased | — | — | — | — | (334,978) | (5,002,200) | (481,439) | (6,838,603) | ||||||||||||||||||||||||
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Net decrease | — | — | — | — | (286,823) | $(4,287,988) | (306,917) | $(4,170,114) | ||||||||||||||||||||||||
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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
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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 Global Risk-Balanced was $4,131,945. Global Focus had no Repurchase Agreements outstanding.
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 Trust has 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. During the six months ended April 30, 2021, each Fund’s investment portfolio was managed by First Quadrant, L.P. (“First Quadrant”), who serves pursuant to a subadvisory agreement with the Investment Manager. AMG indirectly owns a majority interest in First Quadrant.
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:
Global Focus | 0.70% | |
Global Risk-Balanced | 0.60% |
The Investment Manager has contractually agreed, through at least March 1, 2022, 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 Global Focus and Global Risk-Balanced to 0.89% and 0.89%, 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.
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 | Global Focus | Global Risk-Balanced | ||||||
Less than 1 year | $98,720 | $61,124 | ||||||
1-2 years | 95,059 | 62,249 | ||||||
2-3 years | 89,539 | 63,357 | ||||||
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Total | $283,318 | $186,730 | ||||||
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The Trust, on behalf of the Funds, has 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.
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The 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 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 Class N and Class I shares of Global Risk-Balanced, 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 impact on the annualized expense ratios for the six months ended April 30, 2021, were as follows:
Fund
| | Maximum Annual Amount Approved | | | Actual Amount Incurred | | ||
Global Risk-Balanced
| ||||||||
Class N
| 0.15% | 0.15% | ||||||
Class I
| 0.15% | 0.15% |
The Board provides supervision of the affairs of the Trust and other trusts within the AMG Funds Family. The Trustees of the Trust 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 the Funds to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds Family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The 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. At April 30, 2021, the Funds had no interfund loans outstanding.
The following Fund utilized the interfund loan program during the six months ended April 30, 2021 as follows:
Fund | Average Lent | Number of Days | Interest Earned | Average Interest Rate | ||||||||||||
Global Risk-Balanced | $ | 1,410,047 | 11 | $ | 396 | 0.932 | % |
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 | ||||||
Global Focus | $9,433,593 | $13,365,536 | ||||||
Global Risk-Balanced | 409,002 | 1,990,878 |
The Funds had no purchases or sales of U.S. Government Obligations during the six months ended April 30, 2021.
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. 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 | ||||||||||||
Global Risk-Balanced | $ | 5,891,221 | $ | 4,131,945 | $ | 1,886,110 | $ | 6,018,055 |
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Notes to Financial Statements (continued) |
The following table summarizes the securities received as collateral for securities lending at April 30, 2021:
Collateral | Coupon | Maturity | ||||
Fund | Type | Range | Date Range | |||
Global | U.S. Treasury Obligations | 0.000%-6.250% | 05/11/21-02/15/50 |
5. FOREIGN SECURITIES
Global Risk-Balanced invests 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. 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 Trust’s organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. 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. FORWARD COMMITMENTS
Certain transactions, such as futures and forward transactions may have a similar effect on a Fund’s net asset value as if a Fund had created a degree of leverage in its portfolio. However, if a Fund enters into such a transaction, a Fund will establish a segregated account with its custodian in which it will maintain cash, U.S. government securities or other liquid securities equal in value to its obligations in respect to such transaction. Securities and other assets held in the segregated account may not be sold while the transaction is outstanding, unless other suitable assets are substituted.
8. DERIVATIVE INSTRUMENTS
The following disclosures contain information on how and why Global Risk-Balanced use derivative instruments, the credit risk and how derivative instruments affect the Fund’s financial position, and results of operations. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities, and the realized gains and losses and changes in unrealized appreciation and depreciation on the Statement of Operations, each categorized by type of derivative contract, are included in a table at the end of the Fund’s Schedule of Portfolio Investments. For the six months ended April 30, 2021, the average quarterly balances of derivative financial instruments outstanding were as follows:
Global Risk-Balanced | ||
Financial Futures Contracts
| ||
Average number of contracts purchased | 591 | |
Average notional value of contracts purchased | $45,357,208 | |
Options
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Average value of option contracts purchased | $415,827 | |
Average value of option contracts written | $505,140 |
9. FUTURES CONTRACTS
Global Risk-Balanced entered into futures contracts, including futures contracts on fixed-income securities, interest rate futures contracts, foreign currency futures contracts and futures contracts on security indices (including broad-based security indices). Global Risk-Balanced purchased and sold futures contracts to achieve desired levels of investment. There are certain risks associated with futures contracts. Prices may not move as expected or the Fund may not be able to close out the contract when it desires to do so, resulting in losses.
On entering into a futures contract, either cash or securities in an amount equal to a certain percentage of the contract value (initial margin) must be deposited with the futures broker. Subsequent payments (variation margin) are made or received each day. As of April 30, 2021, Global Risk-Balanced had securities deposited with the futures broker valued at $2,599,968 reported as Investments at value in the Statement of Assets and Liabilities.
Variation margin on future contracts is recorded as unrealized appreciation or depreciation until the futures contract is closed or expired. The Funds recognize a realized gain or loss when the contract is closed or expires equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as Receivable for variation margin or Payable for variation margin, and in the Statement of Operations as Net change in unrealized appreciation (depreciation) on futures contracts until the contracts are closed, when they are recorded as Net realized gain or loss on futures contracts.
10. OPTIONS
Global Risk-Balanced may purchase and write call options and put options on a variety of underlying securities and instruments, including, but not limited to, specific securities, securities indices, futures contracts and foreign currencies. A call option gives the purchaser the right to buy, and obligates the writer to sell, the underlying security or instrument at the agreed-upon price during the option period. A put option gives the purchaser the right to sell, and obligates the writer to buy, the underlying security or instrument at the agreed-upon price during the option period. Options purchased are recorded as an asset, while options written (sold) are recorded as liabilities. When a Fund writes options it bears the risk of an unfavorable change in the market value of the instrument underlying the written option. When an option expires, the premium (original option value) is realized as a gain if the option was written or as a loss if the option was purchased. When the exercise of an option results in a cash settlement, the difference between the premium and the settlement proceeds is recognized as realized gain or loss. When securities are acquired or delivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, the difference between the premium and the cost to close the position is realized as a gain or loss.
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Notes to Financial Statements (continued) |
11. EXCHANGE TRADED NOTES
Global Risk-Balanced invests in Exchange Traded Notes (“ETNs”). ETNs are senior, unsecured, unsubordinated debt securities issued by a financial institution, listed on an exchange and traded in the secondary market. There are no periodic interest payments, and principal is not protected. The Fund could lose some or all of the amount invested. The price in the secondary market is determined by supply and demand, the current performance of the index, and the credit rating of the ETN issuer. At maturity, the issuer pays the Fund a return linked to the performance of the market index, such as a commodity index, to which the ETN is linked, minus the issuer’s fee. ETNs are subject to the risk of a breakdown in the futures markets that they use. As a means to obtain commodity exposure, the Fund invests in ETNs linked to commodity indices. The Fund may be exposed to a wide variety of commodity sectors, including, without limitation, agriculture, livestock, base/industrial metals, oil, energy and precious metals. Commodity prices, and the value of stocks of companies exposed to commodities, can be extremely volatile and are affected by a wide range of factors.
12. MARKET, CREDIT AND COUNTERPARTY RISKS
In the normal course of business, Global Risk-Balanced invests in securities and enters into transactions where risks exist due to market fluctuations and is exposed to credit risk with parties with whom it trades (issuers or counterparties). Market prices of investments held by the Fund may fall rapidly or unpredictably and will rise and fall due to changing economic, political, or market conditions or in response to events that affect particular industries or companies. The Fund may be exposed to credit or counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default or not perform under the contract. The Fund minimizes credit risk and counterparty risk by undertaking transactions with a large number of customers and counterparties
on recognized and reputable exchanges. The Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations.
The Funds are subject to various Master Agreements, which govern the terms of certain transactions with select counterparties. These Master Agreements reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant master agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement.
International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by the Funds and the respective counterparty. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fail to meet the terms of the ISDA Master Agreement, which requires accelerated settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements.
13. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their counterparties for the securities lending program and Repurchase Agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.
The following table is a summary of the Funds’ open Repurchase Agreements that are subject to a master netting agreement as of April 30, 2021:
Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Fund | Gross Amounts of Assets and Liabilities | Offset Amount | Net Asset Balance | Collateral Received | Net Amount | |||||||||||||||
Global Risk-Balanced | ||||||||||||||||||||
Bank of America Securities, Inc. | $1,000,000 | — | $1,000,000 | $1,000,000 | — | |||||||||||||||
Citigroup Global Markets, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
Daiwa Capital Markets America | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
HSBC Securities USA, Inc. | 131,945 | — | 131,945 | 131,945 | — | |||||||||||||||
RBC Dominion Securities, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
|
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|
|
|
| |||||||||
Total | $4,131,945 | — | $4,131,945 | $4,131,945 | — | |||||||||||||||
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Notes to Financial Statements (continued) |
14. 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 that in conjunction with the change in investment strategy for Global Focus,
the Fund sold substantially all open positions around the date of the subadviser change that increased the Fund’s portfolio turnover. The Fund also declared a special capital gain distribution on May 27, 2021. On June 25, 2021, all proposals related to Global Focus, as discussed in Note 1, were approved by the Fund’s shareholders.
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AMG FQ Tax-Managed U.S. Equity Fund: Approval of Subadvisory Agreements on March 17-18, 2021
At a meeting held via telephone and videoconference on March 17-18, 2021, the Board of Trustees (the “Board” or the “Trustees”), and separately a majority of the Trustees who are not “interested persons” of AMG Funds I (the “Trust”) (the “Independent Trustees”), unanimously voted to approve the termination of the subadvisory agreement between AMG Funds LLC (the “Investment Manager”) and First Quadrant, L.P. (“First Quadrant”) with respect to AMG FQ Tax-Managed U.S. Equity Fund (the “Fund”) (the “Existing Subadvisory Agreement”), and approve the interim subadvisory agreement between the Investment Manager and Veritas Asset Management LLP (“Veritas”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and Veritas 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 Veritas provided to them in connection with the meeting on March 17-18, 2021. 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 Veritas, the Trustees reviewed information relating to | circumstances, the Fund would invest at least 35% (or if conditions are not favorable, in the view of Veritas, 25%) of its net assets in investments economically tied to countries other than the U.S., and the Fund would hold investments economically tied to a minimum of three countries other than the U.S. The Trustees further noted that in connection with hiring Veritas, shareholders would be asked to approve a change in the Fund’s status from operating as a diversified fund to operating as a non-diversified fund. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding Veritas’ organizational and management structure, and Veritas’ compliance policies and procedures. The Trustees noted that Veritas was founded in 2003 and has 42 employees. The Trustees considered specific information provided regarding the experience of the individuals at Veritas that are expected to have portfolio management responsibility for the Fund. The Trustees noted that one proposed portfolio manager joined Veritas in 2003 and the other proposed portfolio manager joined Veritas in 2014. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by Veritas to the Fund; (b) the qualifications and experience of Veritas’ personnel; and (c) Veritas’ compliance program. The Trustees additionally considered Veritas’ risk management processes. The Trustees reviewed Veritas’ compliance policies and procedures, code of ethics, and specific information related to how Veritas 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 Veritas with respect to its ability to provide the services required under the Agreements and noted that, as of December 31, 2020, Veritas managed approximately $33 billion in assets. The Trustees concluded that, given Veritas’ financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements.
| the Fund. The Trustees reviewed the year over year performance of the Global Focus Equity Composite from 2011 through 2019 and noted that the composite outperformed its benchmark in six of the nine calendar years.
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 Veritas. In considering the anticipated profitability of Veritas with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding Veritas’ organization, management and financial stability. The Trustees noted that, because Veritas is an affiliate of the Investment Manager, a portion of Veritas’ 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 Veritas under each Agreement was lower than the rate paid to First Quadrant under the Existing 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 percentage amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to the Fund, which would increase if the New Subadvisory Agreement was approved. The Trustees also noted payments made or to be made from Veritas to the Investment Manager, and other payments made or to be made from the Investment Manager to Veritas, 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 | ||
Veritas’ financial condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by Veritas in managing the Fund. The Trustees noted that the Fund’s investment objective would be to seek to provide long-term capital appreciation. The Trustees also noted that the Fund would intend to invest in equity securities of a relatively select group of global companies and, under normal | PERFORMANCE
Because Veritas was proposing to manage the Fund with its global equity 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 Veritas with respect to Veritas’ Global Focus Equity Composite, which is managed in a substantially similar manner to the Fund. In this regard, the Trustees noted that the performance of the Global Focus Equity Composite had not been adjusted for the fees and expenses of | 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 would both be lower 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 Veritas is expected to provide in performing its functions under the Agreements. The Trustees also were provided with the estimated profitability of Veritas with respect to |
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Approval of Subadvisory Agreement (continued) |
its proposed subadvisory services to the Fund. Based on the foregoing, the Trustees concluded that the profitability to Veritas is expected to be reasonable and that Veritas 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 Veritas, including, among others, the potential broadening of Veritas’ global equity investment capabilities, as well | as the indirect benefits that Veritas may receive from Veritas’ relationship with the Fund, including any so-called “fallout benefits” to Veritas, such as reputational value derived from Veritas serving as subadviser to the Fund, which bears Veritas’ 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 Veritas, and the other considerations noted above with respect to Veritas, the Fund’s subadvisory fees are reasonable.
* * * *
After consideration of the foregoing, the Trustees reached the following conclusions (in addition to the conclusions discussed above) regarding each Agreement: (a) Veritas has demonstrated that it possesses the capability and resources to perform | the duties required of it under each Agreement; (b) Veritas’ Investment Strategy is appropriate for pursuing the Fund’s investment objective; (c) Veritas is reasonably likely to execute its investment strategy consistently over time; and (d) Veritas 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.
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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 First Quadrant, L.P. 800 E. Colorado Boulevard, Suite 900 Pasadena, CA 91101
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 | |
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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 | 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 | ||||||
amgfunds.com | | 043021 SAR014 |
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SEMI-ANNUAL REPORT
|
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 |
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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 |
| |||||||||||||||||||
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 |
| |||||||||||||||||||
Based on Actual Fund Return |
| |||||||||||||||||||
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 |
| |||||||||||||||||||
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 |
| |||||||||||||||||||
Based on Actual Fund Return |
| |||||||||||||||||||
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 |
| |||||||||||||||||||
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 |
| |||||||||||||||||||
Based on Actual Fund Return |
| |||||||||||||||||||
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 |
| |||||||||||||||||||
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 |
| |||||||||||||||||||
Based on Actual Fund Return |
| |||||||||||||||||||
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 |
| |||||||||||||||||||
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 |
Table of Contents
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 |
| |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||
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. |
| |||||||||||||||||||||||
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. |
| |||||||||||||||||||||||
Distributed by AMG Distributors, Inc., member FINRA/SIPC. |
| |||||||||||||||||||||||
† Date reflects the inception date of the Fund, not the index. |
| |||||||||||||||||||||||
* Not annualized. |
|
1 Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Funds are net of expenses and based on the published NAV as of April 30, 2021. All returns are in U.S. dollars ($).
|
2 From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.
|
3 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.
|
4 Active and frequent trading of a fund may result in higher transaction costs and increased tax liability.
|
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.
|
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.
|
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.
|
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.
|
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
|
3 |
Table of Contents
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
Table of Contents
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 | |
| ||
Top Ten as a Group | 22.1 | |
| ||
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 |
Table of Contents
AMG GW&K Core Bond ESG Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Principal Amount | Value | |||||||
Corporate Bonds and Notes - 44.1% |
| |||||||
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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:
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Table of Contents
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.
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Table of Contents
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) | ||||||||||||||||||||||||
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Net increase (decrease) | (1,334) | $(16,602) | 55,628 | $599,764 | (1,093) | $(12,100) | (12,296) | $212,698 | ||||||||||||||||||||||||
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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) | ||||||||||||||||||||||||
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Net increase (decrease) | (663,530) | $(7,264,865) | (1,637,039) | $(17,521,861) | 472,229 | $5,294,250 | (554,752) | $(5,543,026) | ||||||||||||||||||||||||
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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) | ||||||||||||||||||||||||
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| |||||||||||||||||
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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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) | ||||||||||||||||||||||||
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| |||||||||||||||||
Net increase (decrease) | (11,441) | $(178,857) | (38,901) | $(402,350) | 802,381 | $11,614,036 | (437,021) | $(7,582,651) | ||||||||||||||||||||||||
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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) | ||||||||||||||||||||||||
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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) | ||||||||||||||||||||||||
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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) | — | — | — | — | ||||||||||||||||||||||||
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Net increase | 1,962,975 | $31,054,938 | 5,160,621 | $64,863,807 | — | — | — | — | ||||||||||||||||||||||||
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Table of Contents
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) | ||||||||||||||||||||||||||||
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Net decrease | (1,158,280) | $(22,408,899) | (201,600) | $(2,741,521) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
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) | ||||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||
Net decrease | (1,742,074) | $(31,335,290) | (983,409) | $(13,863,312) | ||||||||||||||||||||||||||||
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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) | ||||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||
Net increase | 1,997,999 | $33,342,592 | 263,671 | $3,367,454 | ||||||||||||||||||||||||||||
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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.
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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 | |||||||||
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|
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|
|
| |||||||
Total | $452,153 | $112,636 | $376,523 | |||||||||
|
|
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|
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| |||||||
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
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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.
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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 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total | $3,343,259 | — | $3,343,259 | $3,343,259 | — | |||||||||||||||
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|
|
|
|
|
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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).
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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 |
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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 |
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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) |
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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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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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SEMI-ANNUAL REPORT | ||
AMG Funds | ||||||
April 30, 2021 | ||||||
AMG Frontier Small Cap Growth Fund | ||||||
Class N: MSSVX | Class I: MSSCX | Class Z: MSSYX | ||||||
AMG Veritas China Fund | ||||||
(formerly AMG Managers Emerging Opportunities Fund) | ||||||
Class N: MMCFX | Class I: MIMFX | ||||||
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AMG Funds | ||
Semi-Annual Report – April 30, 2021 (unaudited) |
TABLE OF CONTENTS | PAGE | |||||
2 | ||||||
3 | ||||||
| FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS | |||||
4 | ||||||
8 | ||||||
FINANCIAL STATEMENTS | ||||||
13 | ||||||
Balance sheets, net asset value (NAV) per share computations and cumulative distributable earnings (loss) | ||||||
15 | ||||||
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period | ||||||
16 | ||||||
Detail of changes in assets for the past two fiscal periods | ||||||
17 | ||||||
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets | ||||||
22 | ||||||
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks | ||||||
28 | ||||||
30 | ||||||
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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About Your Fund’s Expenses (unaudited) |
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on $1,000 invested at the beginning of the period and held for the entire period as indicated below.
ACTUAL EXPENSES
The first line of the following table provides information about the actual account values and | actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s | actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. |
Six Months Ended 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 Frontier Small Cap Growth Fund |
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Based on Actual Fund Return |
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Class N | 1.30% | $1,000 | $1,489 | $8.02 | ||||||||||||
Class I | 0.94% | $1,000 | $1,492 | $5.81 | ||||||||||||
Class Z | 0.90% | $1,000 | $1,492 | $5.56 | ||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 1.30% | $1,000 | $1,018 | $6.51 | ||||||||||||
Class I | 0.94% | $1,000 | $1,020 | $4.71 | ||||||||||||
Class Z | 0.90% | $1,000 | $1,020 | $4.51 | ||||||||||||
AMG Veritas China Fund |
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Based on Actual Fund Return |
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Class N | 1.17% | $1,000 | $1,529 | $7.34 | ||||||||||||
Class I | 0.94% | $1,000 | $1,531 | $5.90 | ||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 1.17% | $1,000 | $1,019 | $5.86 | ||||||||||||
Class I | 0.94% | $1,000 | $1,020 | $4.71 | ||||||||||||
* 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. |
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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 Frontier Small Cap Growth Fund2, 3, 4, 5, 6, 7
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Class N | 48.92 | % | 94.68 | % | 24.38 | % | 13.49 | % | 15.54 | % | 01/01/10 | |||||||||||||
Class I | 49.26 | % | 95.27 | % | 24.77 | % | 13.82 | % | 10.11 | % | 09/24/97 | |||||||||||||
Class Z | 49.24 | % | 95.19 | % | 24.89 | % | 14.02 | % | 16.05 | % | 01/01/10 | |||||||||||||
Russell 2000® Growth Index12 | 37.84 | % | 69.15 | % | 18.89 | % | 12.86 | % | 7.68 | % | 09/24/97 | † | ||||||||||||
AMG Veritas China Fund2, 5, 6, 7, 8, 9, 10, 11
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Class N | 52.90 | % | 82.10 | % | 21.00 | % | 13.74 | % | 13.72 | % | 06/30/94 | |||||||||||||
Class I | 53.09 | % | 82.52 | % | 21.29 | % | — | 18.19 | % | 10/01/11 | ||||||||||||||
Russell Microcap® Index13 | 61.12 | % | 91.72 | % | 17.41 | % | 12.07 | % | — | — | ||||||||||||||
Russell 2000® Index14
| 48.06 | % | 74.91 | % | 16.48 | % | 11.63 | % | 10.19 | % | 06/30/94 | † |
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.
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.
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
† | Date reflects the inception date of the Fund, not the index. |
* | Not annualized. |
1 | Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Funds are net of expenses and based on the published NAV as of April 30, 2021. All returns are in U.S. dollars ($). |
2 | From time to time, the Funds’ advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns. |
3 | The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings patterns, competitive conditions, limited earnings history and a reliance on one or a limited number of products. |
4 | Active and frequent trading of a fund may result in higher transaction costs and increased tax liability. |
5 | 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. |
6 | Companies that are in similar industry 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. |
7 | 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. |
8 The Fund is subject to the special risks associated with investments in micro-cap companies, such as relatively short earnings history, competitive conditions, less publicly available corporate information, and reliance on a limited number of products. | ||
9 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. | ||
10 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. | ||
11 Effective May 21, 2021, Veritas Asset Management LLP became the Fund’s interim subadviser and the Fund changed its name from AMG Managers Emerging Opportunities Fund to AMG Veritas China Fund. Additionally, the Fund made changes to its investment objective, principal investments strategies and principal risks; and replaced its primary benchmark index with the MSCI China Index. Please refer to the Fund’s prospectus or statement of additional information for more information. | ||
12 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 for investment, and does not incur expenses. | ||
13 The Russell Microcap® Index tracks the microcap segment of the U.S. equity market. It makes up less than 3% of the U.S. Equity market and is represented by the smallest 1,000 securities in the small-cap Russell 2000® Index plus the next 1,000 securities. Unlike the Fund, the Russell Microcap® Index is unmanaged, is not available for investment, and does not incur expenses. | ||
14 The Russell 2000® Index is composed of the 2,000 smallest stocks in the Russell 3000® Index and is widely regarded in the industry as the premier measure of small-cap stock performance. Unlike the Fund, the Russell 2000® Index is unmanaged, is not available for investment, and does not incur expenses. | ||
The Russell Indices are trademarks of the London Stock Exchange Group companies. | ||
Not FDIC insured, nor bank guaranteed. May lose value. |
3
Table of Contents
AMG Frontier Small Cap Growth Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |||
Industrials | 24.7 | |||
Health Care | 19.3 | |||
Consumer Discretionary | 19.1 | |||
Information Technology | 15.4 | |||
Financials | 10.6 | |||
Materials | 6.4 | |||
Communication Services | 2.1 | |||
Energy | 0.7 | |||
Real Estate | 0.5 | |||
Short-Term Investments | 5.9 | |||
Other Assets Less Liabilities | (4.7) |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Caesars Entertainment, Inc. | 4.1 | |
KBR, Inc. | 3.3 | |
SmileDirectClub, Inc. | 3.1 | |
Mattel, Inc. | 3.1 | |
Quanta Services, Inc. | 2.8 | |
Builders FirstSource, Inc. | 2.7 | |
LPL Financial Holdings, Inc. | 2.5 | |
NMI Holdings, Inc., Class A | 2.4 | |
MasTec, Inc. | 2.3 | |
Horizon Therapeutics PLC | 2.3 | |
| ||
Top Ten as a Group | 28.6 | |
| ||
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.
4
Table of Contents
AMG Frontier Small Cap Growth Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 98.8% | ||||||||
Communication Services - 2.1% | ||||||||
Cardlytics, Inc.*,1 | 2,771 | $381,096 | ||||||
Radius Global Infrastructure, Inc.* | 11,410 | 168,982 | ||||||
Total Communication Services | 550,078 | |||||||
Consumer Discretionary - 19.1% |
| |||||||
Adtalem Global Education, Inc.* | 12,540 | 430,247 | ||||||
BorgWarner, Inc. | 11,029 | 535,789 | ||||||
Caesars Entertainment, Inc.* | 10,802 | 1,056,868 | ||||||
Dana, Inc. | 14,495 | 366,723 | ||||||
Five Below, Inc.* | 26 | 5,233 | ||||||
Floor & Decor Holdings, Inc., Class A* | 5,211 | 578,004 | ||||||
LCI Industries | 2,117 | 310,141 | ||||||
Lithia Motors, Inc., Class A | 608 | 233,703 | ||||||
Magnite, Inc.* | 719 | 28,796 | ||||||
Mattel, Inc.* | 36,769 | 789,063 | ||||||
Stoneridge, Inc.* | 3,949 | 131,304 | ||||||
Under Armour, Inc., Class C* | 9,591 | 190,957 | ||||||
Veoneer, Inc. (Sweden)*,1 | 11,386 | 260,739 | ||||||
Total Consumer Discretionary | 4,917,567 | |||||||
Energy - 0.7% | ||||||||
Cimarex Energy Co. | 2,441 | 161,594 | ||||||
Euronav, N.V. (Belgium) | 628 | 5,351 | ||||||
International Seaways, Inc. | 448 | 7,921 | ||||||
Total Energy | 174,866 | |||||||
Financials - 10.6% | ||||||||
Argo Group International Holdings, | 4,042 | 210,912 | ||||||
BankUnited, Inc. | 6,232 | 290,474 | ||||||
LPL Financial Holdings, Inc. | 4,016 | 629,307 | ||||||
NMI Holdings, Inc., Class A* | 23,874 | 616,904 | ||||||
Pinnacle Financial Partners, Inc. | 3,057 | 267,915 | ||||||
Webster Financial Corp. | 8,266 | 437,354 | ||||||
Wintrust Financial Corp. | 3,565 | 274,862 | ||||||
Total Financials | 2,727,728 | |||||||
Health Care - 19.3% | ||||||||
ABIOMED, Inc.* | 7 | 2,245 | ||||||
Acadia Healthcare Co., Inc.* | 5,103 | 310,875 | ||||||
ACADIA Pharmaceuticals, Inc.* | 6,149 | 126,423 | ||||||
Acceleron Pharma, Inc.* | 1,213 | 151,589 | ||||||
Adaptive Biotechnologies Corp.* | 2,032 | 84,531 | ||||||
ADC Therapeutics, S.A. (Switzerland)* | 502 | 12,319 | ||||||
Alnylam Pharmaceuticals, Inc.* | 14 | 1,969 |
Shares | Value | |||||||
Axonics, Inc.* | 418 | $26,305 | ||||||
BioMarin Pharmaceutical, Inc.* | 32 | 2,493 | ||||||
Cara Therapeutics, Inc.* | 3,106 | 40,223 | ||||||
Covetrus, Inc.*,1 | 11,064 | 316,984 | ||||||
Denali Therapeutics, Inc.* | 91 | 5,500 | ||||||
Exact Sciences Corp.* | 37 | 4,877 | ||||||
Global Blood Therapeutics, Inc.*,1 | 4,703 | 191,788 | ||||||
Guardant Health, Inc.* | 89 | 14,149 | ||||||
Horizon Therapeutics PLC* | 6,261 | 592,416 | ||||||
Insmed, Inc.* | 404 | 13,627 | ||||||
Inspire Medical Systems, Inc.* | 319 | 75,546 | ||||||
Insulet Corp.* | 20 | 5,904 | ||||||
Karyopharm Therapeutics, Inc.*,1 | 7,121 | 66,510 | ||||||
NanoString Technologies, Inc.* | 1,668 | 132,890 | ||||||
Natera, Inc.* | 709 | 78,004 | ||||||
Nektar Therapeutics* | 3,927 | 77,009 | ||||||
Novocure, Ltd. (Jersey)*,1 | 1,208 | 246,553 | ||||||
NuVasive, Inc.* | 5,235 | 374,041 | ||||||
Pacira BioSciences, Inc.* | 2,907 | 183,664 | ||||||
Quanterix Corp.* | 8,279 | 506,178 | ||||||
REVOLUTION Medicines, Inc.* | 269 | 8,928 | ||||||
SmileDirectClub, Inc.*,1 | 75,878 | 806,963 | ||||||
Supernus Pharmaceuticals, Inc.* | 5,796 | 176,488 | ||||||
Turning Point Therapeutics, Inc.* | 1,006 | 76,687 | ||||||
United Therapeutics Corp.* | 757 | 152,581 | ||||||
Vericel Corp.*,1 | 1,451 | 90,571 | ||||||
Total Health Care | 4,956,830 | |||||||
Industrials - 24.7% | ||||||||
AECOM* | 5,393 | 358,257 | ||||||
American Woodmark Corp.* | 1,600 | 159,136 | ||||||
Azul, S.A., ADR (Brazil)*,1 | 20,454 | 435,261 | ||||||
Builders FirstSource, Inc.* | 14,238 | 692,964 | ||||||
CIRCOR International, Inc.* | 5,017 | 172,434 | ||||||
Controladora Vuela Cia de Aviacion, S.A.B de CV, ADR (Mexico)* | 18,563 | 302,020 | ||||||
EnerSys | 2,647 | 242,412 | ||||||
Interface, Inc. | 14,846 | 190,623 | ||||||
KBR, Inc. | 21,711 | 858,887 | ||||||
Knight-Swift Transportation Holdings, Inc. | 4,542 | 214,019 | ||||||
MasTec, Inc.* | 5,765 | 601,636 | ||||||
MYR Group, Inc.* | 1,996 | 155,488 | ||||||
Quanta Services, Inc. | 7,320 | 707,405 | ||||||
Triumph Group, Inc.* | 16,655 | 281,803 |
The accompanying notes are an integral part of these financial statements.
5
Table of Contents
AMG Frontier Small Cap Growth Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Industrials - 24.7% (continued) |
| |||||||
Tutor Perini Corp.* | 8,354 | $134,499 | ||||||
Upwork, Inc.* | 5,651 | 260,285 | ||||||
Welbilt, Inc.* | 10,501 | 234,592 | ||||||
WESCO International, Inc.* | 3,256 | 298,640 | ||||||
Willdan Group, Inc.* | 1,059 | 40,422 | ||||||
Total Industrials | 6,340,783 | |||||||
Information Technology - 15.4% |
| |||||||
Anaplan, Inc.* | 284 | 16,941 | ||||||
Blackline, Inc.* | 1,125 | 130,567 | ||||||
Coupa Software, Inc.* | 27 | 7,264 | ||||||
Cree, Inc.* | 1,521 | 151,218 | ||||||
Five9, Inc.* | 24 | 4,511 | ||||||
Genpact, Ltd. | 12,422 | 590,418 | ||||||
HubSpot, Inc.* | 10 | 5,265 | ||||||
II-VI, Inc.* | 4,400 | 295,416 | ||||||
LiveRamp Holdings, Inc.* | 2,122 | 103,936 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 7,009 | 396,779 | ||||||
MaxLinear, Inc.* | 14,539 | 523,259 | ||||||
Medallia, Inc.*,1 | 177 | 5,220 | ||||||
MKS Instruments, Inc. | 146 | 26,150 | ||||||
Model N, Inc.*,1 | 1,125 | 44,753 | ||||||
MongoDB, Inc.* | 14 | 4,164 | ||||||
Monolithic Power Systems, Inc. | 13 | 4,698 | ||||||
NCR Corp.* | 8,643 | 395,417 | ||||||
Nuance Communications, Inc.* | 5,473 | 290,999 | ||||||
Ouster, Inc.*,1 | 5,085 | 55,426 | ||||||
Paya Holdings, Inc., Class A* | 10,935 | 122,035 | ||||||
Paylocity Holding Corp.* | 20 | 3,865 | ||||||
Perficient, Inc.* | 3,418 | 224,255 | ||||||
Rapid7, Inc.*,1 | 1,420 | 115,375 | ||||||
SiTime Corp.* | 1,170 | 108,283 | ||||||
Switch, Inc., Class A | 6,809 | 126,443 | ||||||
Teradyne, Inc. | 38 | 4,753 | ||||||
Zendesk, Inc.*,1 | 87 | 12,715 | ||||||
Zscaler, Inc.*,1 | 47 | 8,819 | ||||||
Zuora, Inc., Class A* | 11,531 | 186,802 | ||||||
Total Information Technology | 3,965,746 | |||||||
Materials - 6.4% |
| |||||||
Allegheny Technologies, Inc.* | 11,776 | 273,910 | ||||||
Carpenter Technology Corp. | 9,116 | 345,223 |
Shares | Value | |||||||
Eagle Materials, Inc. | 4,012 | $554,217 | ||||||
Livent Corp.*,1 | 12,297 | 221,592 | ||||||
Pan American Silver Corp. (Canada) | 1,150 | 36,593 | ||||||
Summit Materials, Inc., Class A*,1 | 7,306 | 210,340 | ||||||
Total Materials | 1,641,875 | |||||||
Real Estate - 0.5% |
| |||||||
Brixmor Property Group, Inc., REIT | 1,313 | 29,332 | ||||||
SITE Centers Corp., REIT | 1,045 | 15,414 | ||||||
Spirit Realty Capital, Inc., REIT | 1,177 | 55,955 | ||||||
STAG Industrial, Inc., REIT | 485 | 17,707 | ||||||
Total Real Estate | 118,408 | |||||||
Total Common Stocks | 25,393,881 | |||||||
Principal Amount | ||||||||
Short-Term Investments - 5.9% | ||||||||
Joint Repurchase Agreements - 4.8%2 |
| |||||||
Morgan, Stanley & Co. LLC, dated 04/30/21, due 05/03/21, 0.010% total to be received $220,577 (collateralized by various U.S. Government Agency Obligations, 2.000% - 4.000%, 04/01/36 - 05/01/51, totaling $224,989) | $220,577 | 220,577 | ||||||
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 | 1,220,577 | |||||||
Shares | ||||||||
Other Investment Companies - 1.1% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%3 | 94,964 | 94,964 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%3 | 94,965 | 94,965 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%3 | 97,842 | 97,842 | ||||||
Total Other Investment Companies |
| 287,771 | ||||||
Total Short-Term Investments |
| 1,508,348 | ||||||
Total Investments - 104.7% |
| 26,902,229 | ||||||
Other Assets, less Liabilities - (4.7)% |
| (1,216,880 | ) | |||||
Net Assets - 100.0% |
| $25,685,349 |
The accompanying notes are an integral part of these financial statements.
6
Table of Contents
AMG Frontier Small Cap Growth Fund Schedule of Portfolio Investments (continued) |
* | Non-income producing security. |
1 | Some of these securities, amounting to $2,694,930 or 10.5% 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. |
3 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
ADR American Depositary Receipt
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† | $25,393,881 | — | — | $25,393,881 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $1,220,577 | — | 1,220,577 | ||||||||||||
Other Investment Companies | 287,771 | — | — | 287,771 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $25,681,652 | $1,220,577 | — | $26,902,229 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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.
7
Table of Contents
Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Health Care | 21.0 | |
Industrials | 17.9 | |
Financials | 17.5 | |
Information Technology | 13.9 | |
Consumer Discretionary | 12.8 | |
Materials | 3.6 | |
Energy | 3.2 | |
Communication Services | 2.1 | |
Real Estate | 2.1 | |
Consumer Staples | 1.7 | |
Utilities | 0.3 | |
Short-Term Investments | 5.1 | |
Other Assets Less Liabilities | (1.2)
|
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Ducommun, Inc. | 2.0 | |
Compass Diversified Holdings, MLP | 1.8 | |
Columbus McKinnon Corp. | 1.6 | |
Patrick Industries, Inc. | 1.6 | |
InfuSystem Holdings, Inc. | 1.5 | |
Malibu Boats, Inc., Class A | 1.4 | |
Surmodics, Inc. | 1.3 | |
TechTarget, Inc. | 1.1 | |
Universal Electronics, Inc. | 1.1 | |
Insteel Industries, Inc. | 1.1 | |
| ||
Top Ten as a Group | 14.5 | |
| ||
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.
8
Table of Contents
AMG Veritas China Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 96.1% | ||||||||
Communication Services - 2.1% | ||||||||
Entravision Communications Corp., Class A | 93,636 | $360,499 | ||||||
Gray Television, Inc. | 81,306 | 1,652,138 | ||||||
TechTarget, Inc.* | 29,565 | 2,267,635 | ||||||
Total Communication Services | 4,280,272 | |||||||
Consumer Discretionary - 12.8% | ||||||||
American Public Education, Inc.* | 29,165 | 888,366 | ||||||
Aspen Group, Inc.* | 7,126 | 33,991 | ||||||
Beazer Homes USA, Inc.* | 22,038 | 491,668 | ||||||
CarParts.com, Inc.*,1 | 24,249 | 419,023 | ||||||
Carriage Services, Inc. | 26,924 | 1,001,034 | ||||||
Clarus Corp. | 23,980 | 446,268 | ||||||
Culp, Inc. | 15,659 | 221,575 | ||||||
Del Taco Restaurants, Inc. | 100,945 | 1,150,773 | ||||||
Delta Apparel, Inc.* | 58,648 | 1,994,618 | ||||||
Destination XL Group, Inc.* | 113,046 | 174,091 | ||||||
Fiesta Restaurant Group, Inc.*,1 | 46,437 | 684,481 | ||||||
G-III Apparel Group, Ltd.* | 26,400 | 857,736 | ||||||
Grand Canyon Education, Inc.* | 7,340 | 794,849 | ||||||
Hamilton Beach Brands Holding Co., Class A | 11,591 | 226,024 | ||||||
Haverty Furniture Cos., Inc. | 15,503 | 720,424 | ||||||
Lakeland Industries, Inc.* | 20,707 | 584,144 | ||||||
Lazydays Holdings Inc.*,1 | 69,552 | 1,721,412 | ||||||
Lindblad Expeditions Holdings, Inc.* | 41,209 | 675,416 | ||||||
Malibu Boats, Inc., Class A* | 32,613 | 2,718,620 | ||||||
The ONE Group Hospitality, Inc.*,1 | 61,300 | 570,090 | ||||||
Patrick Industries, Inc.1 | 35,328 | 3,165,389 | ||||||
Rocky Brands, Inc. | 5,851 | 308,055 | ||||||
Ruth’s Hospitality Group, Inc.* | 16,380 | 427,682 | ||||||
Select Interior Concepts, Inc., Class A* | 20,917 | 157,505 | ||||||
Shoe Carnival, Inc.1 | 7,552 | 452,742 | ||||||
Stoneridge, Inc.* | 14,752 | 490,504 | ||||||
Superior Group of Cos., Inc. | 8,531 | 215,152 | ||||||
Superior Industries International, Inc.* | 75,369 | 378,352 | ||||||
Tilly’s, Inc., Class A* | 31,160 | 375,790 | ||||||
Turtle Beach Corp.* | 13,811 | 383,808 | ||||||
Unifi, Inc.* | 18,364 | 496,379 | ||||||
Universal Electronics, Inc.* | 39,800 | 2,262,630 | ||||||
Total Consumer Discretionary | 25,488,591 | |||||||
Consumer Staples - 1.7% | ||||||||
Farmer Bros Co.* | 86,847 | 885,840 | ||||||
John B Sanfilippo & Son, Inc. | 10,400 | 914,160 |
Shares | Value | |||||||
Lifevantage Corp.* | 70,099 | $569,905 | ||||||
MGP Ingredients, Inc.1 | 7,700 | 462,770 | ||||||
Natural Grocers by Vitamin Cottage, Inc. | 41,345 | 649,943 | ||||||
Total Consumer Staples | 3,482,618 | |||||||
Energy - 3.2% | ||||||||
Aspen Aerogels, Inc.* | 55,177 | 1,005,877 | ||||||
Bonanza Creek Energy, Inc.* | 33,430 | 1,106,199 | ||||||
DMC Global, Inc.*,1 | 20,950 | 1,131,300 | ||||||
Evolution Petroleum Corp. | 15,148 | 50,140 | ||||||
Exterran Corp.* | 104,577 | 343,013 | ||||||
Magnolia Oil & Gas Corp., Class A*,1 | 77,590 | 873,663 | ||||||
North American Construction Group, Ltd. (Canada) | 28,541 | 384,447 | ||||||
Par Pacific Holdings Inc.* | 47,390 | 719,854 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A | 68,248 | 746,633 | ||||||
Total Energy | 6,361,126 | |||||||
Financials - 17.5% | ||||||||
Allegiance Bancshares, Inc. | 25,480 | 1,009,008 | ||||||
Amalgamated Financial Corp. | 25,433 | 410,743 | ||||||
AMERISAFE, Inc. | 26,510 | 1,645,741 | ||||||
Atlantic Capital Bancshares, Inc.* | 47,848 | 1,279,934 | ||||||
Bridgewater Bancshares, Inc.* | 79,267 | 1,340,405 | ||||||
Camden National Corp. | 22,276 | 1,063,011 | ||||||
Central Valley Community Bancorp | 12,197 | 239,549 | ||||||
Compass Diversified Holdings, MLP | 144,052 | 3,664,683 | ||||||
Dime Community Bancshares, Inc. | 32,892 | 1,089,383 | ||||||
Financial Institutions, Inc. | 35,005 | 1,117,710 | ||||||
First Bancorp | 18,830 | 798,392 | ||||||
First Business Financial Services, Inc. | 10,771 | 285,001 | ||||||
First Internet Bancorp | 19,737 | 677,966 | ||||||
The First of Long Island Corp. | 27,154 | 578,109 | ||||||
Flushing Financial Corp. | 63,996 | 1,489,187 | ||||||
FS Bancorp, Inc. | 4,183 | 285,908 | ||||||
German American Bancorp, Inc. | 31,545 | 1,366,845 | ||||||
Guaranty Bancshares, Inc. | 8,450 | 328,705 | ||||||
HCI Group, Inc.1 | 12,269 | 900,790 | ||||||
Heritage Insurance Holdings, Inc. | 89,409 | 814,516 | ||||||
Independent Bank Corp. | 49,193 | 1,158,987 | ||||||
Level One Bancorp, Inc. | 9,115 | 246,378 | ||||||
Luther Burbank Corp. | 14,712 | 163,892 | ||||||
Mercantile Bank Corp. | 18,750 | 605,250 | ||||||
Meridian Corp. | 12,004 | 316,906 | ||||||
Metropolitan Bank Holding Corp.* | 12,631 | 793,858 |
The accompanying notes are an integral part of these financial statements.
9
Table of Contents
AMG Veritas China Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Financials - 17.5% (continued) | ||||||||
NMI Holdings, Inc., Class A* | 47,619 | $1,230,475 | ||||||
Northrim BanCorp, Inc. | 34,211 | 1,459,099 | ||||||
Old Second Bancorp, Inc. | 27,144 | 358,572 | ||||||
Orrstown Financial Services, Inc. | 12,385 | 293,648 | ||||||
Peapack-Gladstone Financial Corp. | 19,104 | 611,328 | ||||||
Preferred Bank | 15,290 | 1,002,107 | ||||||
RBB Bancorp. | 23,578 | 497,024 | ||||||
Regional Management Corp. | 23,850 | 923,710 | ||||||
Sierra Bancorp | 19,239 | 520,800 | ||||||
Silvergate Capital Corp., Class A* | 12,537 | 1,344,217 | ||||||
South Plains Financial, Inc. | 14,581 | 333,030 | ||||||
Stock Yards Bancorp, Inc. | 21,370 | 1,093,289 | ||||||
TriState Capital Holdings, Inc.* | 23,223 | 554,333 | ||||||
Triumph Bancorp, Inc.* | 8,900 | 788,807 | ||||||
Unity Bancorp, Inc. | 11,962 | 263,762 | ||||||
Total Financials | 34,945,058 | |||||||
Health Care - 21.0% | ||||||||
Accolade, Inc.*,1 | 8,481 | 425,322 | ||||||
Accuray, Inc.* | 207,052 | 973,144 | ||||||
Alphatec Holdings, Inc.* | 94,096 | 1,504,595 | ||||||
AngioDynamics, Inc.* | 44,884 | 1,090,681 | ||||||
BioLife Solutions, Inc.* | 7,282 | 254,142 | ||||||
CareDx, Inc.* | 18,605 | 1,471,097 | ||||||
Castle Biosciences, Inc.* | 19,562 | 1,350,365 | ||||||
Computer Programs and Systems, Inc. | 13,976 | 419,560 | ||||||
Cross Country Healthcare, Inc.* | 50,114 | 667,518 | ||||||
CryoLife, Inc.*,1 | 19,081 | 556,784 | ||||||
CryoPort, Inc.*,1 | 4,529 | 256,206 | ||||||
Electromed, Inc.* | 46,216 | 451,530 | ||||||
Harrow Health, Inc.*,1 | 158,827 | 1,218,203 | ||||||
Harvard Bioscience, Inc.* | 79,103 | 548,184 | ||||||
Health Catalyst, Inc.*,1 | 12,520 | 724,908 | ||||||
ImmuCell Corp.* | 20,384 | 221,370 | ||||||
InfuSystem Holdings, Inc.* | 130,102 | 2,942,907 | ||||||
Inotiv, Inc.* | 83,422 | 1,970,428 | ||||||
Invacare Corp.1 | 182,115 | 1,644,498 | ||||||
IRIDEX Corp.*,1 | 109,882 | 944,985 | ||||||
Itamar Medical, Ltd., ADR (Israel)* | 31,590 | 756,581 | ||||||
The Joint Corp.*,1 | 35,924 | 1,993,064 | ||||||
Lantheus Holdings, Inc.* | 48,470 | 1,148,739 | ||||||
Neuronetics, Inc.* | 59,713 | 626,987 | ||||||
OptimizeRx Corp.* | 27,660 | 1,395,724 |
Shares | Value | |||||||
OrthoPediatrics Corp.* | 31,632 | $1,850,472 | ||||||
Osmotica Pharmaceuticals PLC* | 342,093 | 985,228 | ||||||
Pro-Dex, Inc.* | 3,963 | 113,025 | ||||||
ProPhase Labs, Inc.* | 119,013 | 634,339 | ||||||
SeaSpine Holdings Corp.* | 24,833 | 516,775 | ||||||
Sharps Compliance Corp.*,1 | 43,501 | 760,832 | ||||||
SI-BONE, Inc.* | 47,456 | 1,684,688 | ||||||
Silk Road Medical, Inc.* | 26,782 | 1,637,451 | ||||||
SOC Telemed, Inc.* | 31,624 | 248,248 | ||||||
Surmodics, Inc.* | 47,726 | 2,552,864 | ||||||
Tactile Systems Technology, Inc.* | 17,200 | 985,560 | ||||||
Treace Medical Concepts, Inc.* | 31,101 | 975,327 | ||||||
Utah Medical Products, Inc. | 6,684 | 583,246 | ||||||
Veracyte, Inc.* | 13,545 | 673,864 | ||||||
Vericel Corp.*,1 | 32,689 | 2,040,447 | ||||||
Total Health Care | 41,799,888 | |||||||
Industrials - 17.9% | ||||||||
ACCO Brands Corp. | 243,703 | 2,090,972 | ||||||
Aegion Corp.* | 27,678 | 833,108 | ||||||
Air Transport Services Group, Inc.* | 6,810 | 179,239 | ||||||
Allied Motion Technologies, Inc. | 30,274 | 1,575,762 | ||||||
Astronics Corp.* | 83,484 | 1,453,456 | ||||||
Babcock & Wilcox Enterprises, Inc.* | 52,590 | 474,362 | ||||||
Barrett Business Services, Inc. | 13,150 | 964,289 | ||||||
Casella Waste Systems, Inc., Class A* | 8,777 | 589,024 | ||||||
CBIZ, Inc.* | 26,450 | 888,455 | ||||||
Columbus McKinnon Corp. | 65,362 | 3,236,073 | ||||||
Commercial Vehicle Group, Inc.* | 54,481 | 598,746 | ||||||
Covenant Logistics Group, Inc., | 21,676 | 466,251 | ||||||
CRA International, Inc. | 10,065 | 807,817 | ||||||
DLH Holdings Corp.* | 13,502 | 137,585 | ||||||
Ducommun, Inc.* | 67,969 | 4,005,413 | ||||||
Ennis, Inc. | 36,044 | 747,192 | ||||||
Graham Corp. | 13,681 | 187,567 | ||||||
The Greenbrier Cos., Inc.1 | 27,792 | 1,312,894 | ||||||
Heidrick & Struggles International, Inc. | 19,979 | 845,112 | ||||||
Heritage-Crystal Clean, Inc.* | 14,510 | 416,727 | ||||||
Insteel Industries, Inc. | 55,160 | 2,103,251 | ||||||
L B Foster Co., Class A* | 3,477 | 56,119 | ||||||
Lawson Products, Inc. * | 3,849 | 201,803 | ||||||
LSI Industries, Inc. | 41,086 | 337,727 | ||||||
Lydall, Inc.* | 47,919 | 1,765,815 | ||||||
Marten Transport, Ltd. | 48,322 | 807,944 |
The accompanying notes are an integral part of these financial statements.
10
Table of Contents
AMG Veritas China Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Industrials - 17.9% (continued) | ||||||||
Mastech Digital, Inc.* | 6,064 | $95,751 | ||||||
Matrix Service Co.* | 46,405 | 613,010 | ||||||
Mayville Engineering Co., Inc.* | 13,419 | 209,471 | ||||||
Miller Industries, Inc. | 10,500 | 451,710 | ||||||
Mistras Group, Inc.* | 49,016 | 545,548 | ||||||
MRC Global, Inc.* | 77,307 | 728,232 | ||||||
Northwest Pipe Co.* | 35,503 | 1,181,185 | ||||||
NV5 Global, Inc.* | 14,450 | 1,302,378 | ||||||
PAM Transportation Services, Inc.* | 2,629 | 152,272 | ||||||
Radiant Logistics, Inc.* | 90,808 | 606,597 | ||||||
Standex International Corp. | 3,800 | 360,316 | ||||||
Transcat, Inc.* | 13,019 | 650,950 | ||||||
Universal Logistics Holdings, Inc. | 11,161 | 279,137 | ||||||
USA Truck, Inc.* | 20,120 | 309,244 | ||||||
Vectrus, Inc.* | 10,954 | 573,442 | ||||||
Willdan Group, Inc.* | 11,531 | 440,138 | ||||||
Total Industrials | 35,582,084 | |||||||
Information Technology - 13.9% | ||||||||
Airgain, Inc.* | 14,192 | 335,357 | ||||||
American Software, Inc., Class A | 22,487 | 465,256 | ||||||
AstroNova, Inc.* | 27,084 | 397,051 | ||||||
Aviat Networks, Inc.* | 15,044 | 487,576 | ||||||
AXT, Inc.* | 85,230 | 840,368 | ||||||
Bel Fuse, Inc., Class B | 11,404 | 227,282 | ||||||
ChannelAdvisor Corp.* | 39,846 | 842,743 | ||||||
Clearfield, Inc.* | 11,130 | 382,315 | ||||||
Cohu, Inc.* | 32,980 | 1,319,530 | ||||||
Comtech Telecommunications Corp. | 15,594 | 373,944 | ||||||
Domo, Inc., Class B* | 26,887 | 1,728,565 | ||||||
DSP Group, Inc.* | 12,968 | 180,126 | ||||||
eGain Corp.* | 31,957 | 314,137 | ||||||
Genasys, Inc.* | 14,249 | 89,056 | ||||||
Grid Dynamics Holdings, Inc.* | 113,060 | 1,629,195 | ||||||
The Hackett Group, Inc. | 29,722 | 494,277 | ||||||
IEC Electronics Corp.* | 41,778 | 509,274 | ||||||
inTEST Corp.* | 13,214 | 160,286 | ||||||
LightPath Technologies, Inc., Class A* | 130,190 | 338,494 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 16,139 | 913,629 | ||||||
Mitek Systems, Inc.*,1 | 61,240 | 992,700 | ||||||
Model N, Inc.*,1 | 16,820 | 669,100 | ||||||
Napco Security Technologies, Inc.*,1 | 32,700 | 1,089,237 | ||||||
nLight, Inc.* | 20,336 | 596,658 |
Shares | Value | |||||||
Novanta, Inc.* | 13,010 | $1,713,547 | ||||||
Paya Holdings, Inc., Class A* | 38,459 | 429,202 | ||||||
PC Connection, Inc. | 11,357 | 515,040 | ||||||
PCTEL, Inc. | 24,510 | 163,727 | ||||||
Qumu Corp.* | 20,885 | 114,868 | ||||||
Sapiens International Corp. NV (Israel) | 47,121 | 1,524,836 | ||||||
SEMrush Holdings, Inc., Class A* | 33,132 | 545,021 | ||||||
SiTime Corp.* | 16,124 | 1,492,276 | ||||||
Sprout Social, Inc., Class A* | 25,044 | 1,660,167 | ||||||
StarTek, Inc.* | 26,629 | 216,494 | ||||||
Telos Corp.* | 33,486 | 1,111,065 | ||||||
Verra Mobility Corp.* | 73,398 | 986,469 | ||||||
Vishay Precision Group, Inc.* | 43,274 | 1,379,575 | ||||||
WidePoint Corp.* | 41,474 | 367,874 | ||||||
Total Information Technology | 27,596,317 | |||||||
Materials - 3.6% | ||||||||
FutureFuel Corp. | 74,650 | 948,055 | ||||||
Haynes International, Inc. | 8,639 | 252,604 | ||||||
Koppers Holdings, Inc.* | 58,077 | 1,930,480 | ||||||
Myers Industries, Inc. | 43,107 | 972,494 | ||||||
Trecora Resources* | 23,390 | 177,530 | ||||||
UFP Technologies, Inc.* | 23,934 | 1,198,136 | ||||||
Universal Stainless & Alloy Products, Inc.* | 43,743 | 399,811 | ||||||
Verso Corp., Class A | 83,823 | 1,294,227 | ||||||
Total Materials | 7,173,337 | |||||||
Real Estate - 2.1% | ||||||||
CatchMark Timber Trust, Inc., Class A, REIT | 37,541 | 436,602 | ||||||
Community Healthcare Trust, Inc., REIT | 13,350 | 679,782 | ||||||
CorePoint Lodging, Inc., REIT * | 45,401 | 453,556 | ||||||
New Senior Investment Group, Inc., REIT | 126,129 | 834,974 | ||||||
Plymouth Industrial REIT, Inc. | 21,347 | 397,908 | ||||||
UMH Properties, Inc., REIT | 68,290 | 1,470,284 | ||||||
Total Real Estate | 4,273,106 | |||||||
Utilities - 0.3% | ||||||||
Global Water Resources, Inc. | 8,056 | 137,355 | ||||||
Unitil Corp. | 7,420 | 427,614 | ||||||
Total Utilities | 564,969 | |||||||
Total Common Stocks |
| 191,547,366 |
The accompanying notes are an integral part of these financial statements.
11
Table of Contents
AMG Veritas China Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Short-Term Investments - 5.1% | ||||||||
Joint Repurchase Agreements - 1.4%2 |
| |||||||
Bank of America Securities, Inc., dated 04/30/21,due 05/03/21, 0.010% total to be received $805,751 (collateralized by various U.S. Government Agency Obligations, 1.000% - 5.500%, 11/01/28 - 05/01/51, totaling $821,865) | $805,750 | $805,750 | ||||||
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 | ||||||
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 |
| 2,805,750 | ||||||
Shares | Value | |||||||
Other Investment Companies - 3.7% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%3 | 7,170,559 | $7,170,559 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%3 | 79,544 | 79,544 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%3 | 81,954 | 81,954 | ||||||
Total Other Investment Companies |
| 7,332,057 | ||||||
Total Short-Term Investments |
| 10,137,807 | ||||||
Total Investments - 101.2% | 201,685,173 | |||||||
Other Assets, less Liabilities - (1.2)% | (2,487,369 | ) | ||||||
Net Assets - 100.0% | $199,197,804 | |||||||
* | Non-income producing security. |
1 | Some of these securities, amounting to $16,463,145 or 8.3% 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. |
3 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
ADR American Depositary Receipt
MLP Master Limited Partnership
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† | $ | 191,547,366 | — | — | $ | 191,547,366 | ||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $ | 2,805,750 | — | 2,805,750 | |||||||||||
Other Investment Companies | 7,332,057 | — | — | 7,332,057 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $198,879,423 | $2,805,750 | — | $201,685,173 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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.
12
Table of Contents
Statement of Assets and Liabilities (unaudited) April 30, 2021 |
AMG Frontier Small Cap Growth Fund | AMG Veritas China Fund | |||||||
Assets: | ||||||||
Investments at value1 (including securities on loan valued at $2,694,930, and $16,463,145, respectively) |
|
$26,902,229 |
|
|
$201,685,173 |
| ||
Receivable for investments sold | 73,882 | 480,347 | ||||||
Dividend and interest receivables | 69 | 65,335 | ||||||
Securities lending income receivable | 504 | 1,490 | ||||||
Receivable for Fund shares sold | 350 | 225,630 | ||||||
Receivable from affiliate | 5,511 | 4,715 | ||||||
Prepaid expenses and other assets | 412 | 17,181 | ||||||
Total assets | 26,982,957 | 202,479,871 | ||||||
Liabilities: | ||||||||
Payable upon return of securities loaned | 1,220,577 | 2,805,750 | ||||||
Payable for investments purchased | 26,381 | 250,930 | ||||||
Payable for Fund shares repurchased | 1,200 | 8,156 | ||||||
Accrued expenses: | ||||||||
Investment advisory and management fees | 14,637 | 120,001 | ||||||
Administrative fees | 3,136 | 24,324 | ||||||
Distribution fees | 180 | — | ||||||
Shareholder service fees | 711 | 28,168 | ||||||
Other | 30,786 | 44,738 | ||||||
Total liabilities | 1,297,608 | 3,282,067 | ||||||
Net Assets | $25,685,349 | $199,197,804 | ||||||
1 Investments at cost | $21,056,669 | $129,396,514 |
The accompanying notes are an integral part of these financial statements.
13
Table of Contents
Statement of Assets and Liabilities (continued) |
AMG Frontier | AMG Veritas | |||||||||
Net Assets Represent: | ||||||||||
Paid-in capital | $13,706,262 | $103,232,545 | ||||||||
Total distributable earnings | 11,979,087 | 95,965,259 | ||||||||
Net Assets
|
| $25,685,349
|
|
| $199,197,804
|
| ||||
Class N:
| ||||||||||
Net Assets
|
| $913,358
|
|
| $158,238,693
|
| ||||
Shares outstanding
|
| 74,421
|
|
| 2,881,844
|
| ||||
Net asset value, offering and redemption price per
|
| $12.27
|
|
| $54.91
|
| ||||
Class I:
| ||||||||||
Net Assets
|
| $16,710,612
|
|
| $40,959,111
|
| ||||
Shares outstanding
|
| 1,282,237
|
|
| 727,130
|
| ||||
Net asset value, offering and redemption price per
|
| $13.03
|
|
| $56.33
|
| ||||
Class Z: | ||||||||||
Net Assets
|
| $8,061,379
|
|
| —
|
| ||||
Shares outstanding
|
| 592,099
|
|
| —
|
| ||||
Net asset value, offering and redemption price per
|
| $13.61 —
|
|
The accompanying notes are an integral part of these financial statements.
14
Table of Contents
Statement of Operations (unaudited) For the six months ended April 30, 2021 |
AMG Frontier Small Cap Growth Fund | AMG Veritas China Fund | |||||||||
Investment Income: | ||||||||||
Dividend income | $20,964 | $855,892 | ||||||||
Securities lending income | 4,293 | 18,198 | ||||||||
Foreign withholding tax | (214 | ) | (276 | ) | ||||||
Total investment income | 25,043 | 873,814 | ||||||||
Expenses: | ||||||||||
Investment advisory and management fees | 86,922 | 673,285 | ||||||||
Administrative fees | 18,626 | 136,477 | ||||||||
Distribution fees - Class N | 697 | — | ||||||||
Shareholder servicing fees - Class N | 418 | 166,136 | ||||||||
Shareholder servicing fees - Class I | 3,375 | — | ||||||||
Professional fees | 13,343 | 16,605 | ||||||||
Custodian fees | 13,092 | 14,002 | ||||||||
Registration fees | 12,712 | 15,279 | ||||||||
Transfer agent fees | 3,033 | 13,772 | ||||||||
Reports to shareholders | 2,278 | 12,949 | ||||||||
Trustee fees and expenses | 1,011 | 7,176 | ||||||||
Miscellaneous | 1,531 | 3,227 | ||||||||
Total expenses before offsets | 157,038 | 1,058,908 | ||||||||
Expense reimbursements | (40,630 | ) | (37,518 | ) | ||||||
Expense reductions | — | (12,548 | ) | |||||||
Net expenses | 116,408 | 1,008,842 | ||||||||
Net investment loss | (91,365 | ) | (135,028 | ) | ||||||
Net Realized and Unrealized Gain: | ||||||||||
Net realized gain on investments | 6,915,483 | 27,675,329 | ||||||||
Net change in unrealized appreciation/depreciation on investments | 2,418,522 | 45,205,222 | ||||||||
Net realized and unrealized gain | 9,334,005 | 72,880,551 | ||||||||
Net increase in net assets resulting from operations
|
| $9,242,640
|
|
| $72,745,523
|
|
The accompanying notes are an integral part of these financial statements.
15
Table of Contents
Statements of Changes in Net Assets For the six months ended April 30, 2021 (unaudited) and the fiscal year ended October 31, 2020 |
AMG Frontier Small Cap Growth Fund | AMG Veritas China Fund | |||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations:
| ||||||||||||||||
Net investment income (loss)
|
| $(91,365
| )
|
| $(67,144
| )
|
| $(135,028
| )
|
| $421,490
|
| ||||
Net realized gain on investments
|
| 6,915,483
|
|
| 1,105,007
|
|
| 27,675,329
|
|
| 6,134,621
|
| ||||
Net change in unrealized appreciation/depreciation on investments
|
| 2,418,522
|
|
| 1,636,337
|
|
| 45,205,222
|
|
| (10,442,976
| )
| ||||
Net increase (decrease) in net assets resulting from operations
|
| 9,242,640
|
|
| 2,674,200
|
|
| 72,745,523
|
|
| (3,886,865
| )
| ||||
Distributions to Shareholders:
| ||||||||||||||||
Class N
|
| (14,298
| )
|
| (28,430
| )
|
| (6,320,410
| )
|
| (12,148,476
| )
| ||||
Class I
|
| (499,904
| )
|
| (930,660
| )
|
| (1,536,219
| )
|
| (2,572,340
| )
| ||||
Class Z
|
| (307,436
| )
|
| (590,610
| )
|
| —
|
|
| —
|
| ||||
Total distributions to shareholders
|
| (821,638
| )
|
| (1,549,700)
|
|
| (7,856,629
| )
|
| (14,720,816
| )
| ||||
Capital Share Transactions:1
| ||||||||||||||||
Net increase (decrease) from capital share transactions
|
| (2,438,150
| )
|
| 185,255
|
|
| (6,769,996
| )
|
| (9,256,576
| )
| ||||
Total increase (decrease) in net assets
|
| 5,982,852
|
|
| 1,309,755
|
|
| 58,118,898
|
|
| (27,864,257
| )
| ||||
Net Assets:
| ||||||||||||||||
Beginning of period
|
| 19,702,497
|
|
| 18,392,742
|
|
| 141,078,906
|
|
| 168,943,163
|
| ||||
End of period
|
| $25,685,349
|
|
| $19,702,497
|
|
| $199,197,804
|
|
| $141,078,906
|
|
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
16
Table of Contents
AMG Frontier Small 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, | ||||||||||||||||||||||||||||||||||||
Class N
| April 30, 2021
| 2020
| 2019
| 2018
| 2017
| 20161
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period
|
| $8.55
|
|
| $8.03
|
|
| $11.69
|
|
| $13.20
|
|
| $10.29
|
|
| $13.57
|
| |||||||||||||||||||
Income (loss) from Investment Operations:
| |||||||||||||||||||||||||||||||||||||
Net investment loss2,3
|
| (0.06
| )
|
| (0.06
| )
|
| (0.06
| )
|
| (0.09
| )
|
| (0.11
| )
|
| (0.06
| )4
| |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.17 | 1.30 | 0.45 | 1.58 | 3.07 | (0.22 | ) | ||||||||||||||||||||||||||||||
Total income (loss) from investment operations
|
| 4.11
|
|
| 1.24
|
|
| 0.39
|
|
| 1.49
|
|
| 2.96
|
|
| (0.28
| )
| |||||||||||||||||||
Less Distributions to Shareholders from:
| |||||||||||||||||||||||||||||||||||||
Net realized gain on investments
|
| (0.39
| )
|
| (0.72
| )
|
| (4.05
| )
|
| (3.00
| )
|
| (0.05
| )
|
| (3.00
| )
| |||||||||||||||||||
Net Asset Value, End of Period
|
| $12.27
|
|
| $8.55
|
|
| $8.03
|
|
| $11.69
|
|
| $13.20
|
|
| $10.29
|
| |||||||||||||||||||
Total Return3,5
|
| 48.92
| %6
|
| 16.22
| %
|
| 11.83
| %
|
| 13.81
| %
|
| 28.82
| %
|
| (3.01
| )%
| |||||||||||||||||||
Ratio of net expenses to average net assets
|
| 1.30
| %7
|
| 1.30
| %
|
| 1.30
| %
|
| 1.30
| %
|
| 1.43
| %
|
| 1.55
| %
| |||||||||||||||||||
Ratio of gross expenses to average net assets8
|
| 1.63
| %7
|
| 1.90
| %
|
| 1.94
| %
|
| 1.81
| %
|
| 2.01
| %
|
| 1.95
| %
| |||||||||||||||||||
Ratio of net investment loss to average net assets3
|
| (1.10
| )%7
|
| (0.73
| )%
|
| (0.79
| )%
|
| (0.76
| )%
|
| (0.93
| )%
|
| (0.58
| )%
| |||||||||||||||||||
Portfolio turnover
|
| 123
| %6
|
| 206
| %
|
| 226
| %
|
| 233
| %
|
| 99
| %
|
| 70
| %
| |||||||||||||||||||
Net assets end of period (000’s) omitted
|
| $913
|
|
| $306
|
|
| $324
|
|
| $553
|
|
| $210
|
|
| $147
|
| |||||||||||||||||||
17
Table of Contents
AMG Frontier Small 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, | ||||||||||||||||||||||||||||||||||||
Class I
| April 30, 2021
| 2020
| 2019
| 2018
| 2017
| 20161
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period
|
| $9.04
|
|
| $8.43
|
|
| $12.02
|
|
| $13.46
|
|
| $10.46
|
|
| $13.76
|
| |||||||||||||||||||
Income (loss) from Investment Operations:
| |||||||||||||||||||||||||||||||||||||
Net investment loss2,3
|
| (0.04
| )
|
| (0.03
| )
|
| (0.04
| )
|
| (0.06
| )
|
| (0.08
| )
|
| (0.03
| )4
| |||||||||||||||||||
Net realized and unrealized gain (loss) on investments
|
| 4.42
|
|
| 1.36
|
|
| 0.50
|
|
| 1.62
|
|
| 3.13
|
|
| (0.23
| )
| |||||||||||||||||||
Total income (loss) from investment operations
|
| 4.38
|
|
| 1.33
|
|
| 0.46
|
|
| 1.56
|
|
| 3.05
|
|
| (0.26
| )
| |||||||||||||||||||
Less Distributions to Shareholders from:
| |||||||||||||||||||||||||||||||||||||
Net realized gain on investments
|
| (0.39
| )
|
| (0.72
| )
|
| (4.05
| )
|
| (3.00
| )
|
| (0.05
| )
|
| (3.04
| )
| |||||||||||||||||||
Net Asset Value, End of Period
|
| $13.03
|
|
| $9.04
|
|
| $8.43
|
|
| $12.02
|
|
| $13.46
|
|
| $10.46
|
| |||||||||||||||||||
Total Return3,5
|
| 49.26
| %6
|
| 16.69
| %
|
| 12.08
| %
|
| 14.12
| %
|
| 29.22
| %
|
| (2.77
| )%
| |||||||||||||||||||
Ratio of net expenses to average net assets
|
| 0.94
| %7
|
| 0.95
| %
|
| 0.96
| %
|
| 1.01
| %
|
| 1.15
| %
|
| 1.29
| %
| |||||||||||||||||||
Ratio of gross expenses to average net assets8
|
| 1.27
| %7
|
| 1.55
| %
|
| 1.60
| %
|
| 1.52
| %
|
| 1.73
| %
|
| 1.69
| %
| |||||||||||||||||||
Ratio of net investment loss to average net assets3
|
| (0.74
| )%7
|
| (0.38
| )%
|
| (0.45
| )%
|
| (0.46
| )%
|
| (0.65
| )%
|
| (0.32
| )%
| |||||||||||||||||||
Portfolio turnover
|
| 123
| %6
|
| 206
| %
|
| 226
| %
|
| 233
| %
|
| 99
| %
|
| 70
| %
| |||||||||||||||||||
Net assets end of period (000’s) omitted
|
| $16,711
|
|
| $11,547
|
|
| $10,873
|
|
| $11,549
|
|
| $11,009
|
|
| $9,570
|
| |||||||||||||||||||
18
Table of Contents
AMG Frontier Small 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, | |||||||||||||||||||||||||||||
Class Z | April 30, 2021 (unaudited) |
2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period
|
| $9.43
|
|
| $8.75
|
|
| $12.31
|
|
| $13.70
|
|
| $10.63
|
|
| $13.95
|
| ||||||||||||
Income (loss) from Investment Operations:
| ||||||||||||||||||||||||||||||
Net investment loss2,3
|
| (0.04
| )
|
| (0.03
| )
|
| (0.03
| )
|
| (0.05
| )
|
| (0.06
| )
|
| (0.01
| )4
| ||||||||||||
Net realized and unrealized gain (loss) on investments
|
| 4.61
|
|
| 1.43
|
|
| 0.52
|
|
| 1.66
|
|
| 3.18
|
|
| (0.22
| )
| ||||||||||||
Total income (loss) from investment operations
|
| 4.57
|
|
| 1.40
|
|
| 0.49
|
|
| 1.61
|
|
| 3.12
|
|
| (0.23
| )
| ||||||||||||
Less Distributions to Shareholders from:
| ||||||||||||||||||||||||||||||
Net realized gain on investments
|
| (0.39
| )
|
| (0.72
| )
|
| (4.05
| )
|
| (3.00
| )
|
| (0.05
| )
|
| (3.09
| )
| ||||||||||||
Net Asset Value, End of Period
|
| $13.61
|
|
| $9.43
|
|
| $8.75
|
|
| $12.31
|
|
| $13.70
|
|
| $10.63
|
| ||||||||||||
Total Return3,5
|
| 49.24
| %6
|
| 16.74
| %
|
| 12.15
| %
|
| 14.26
| %
|
| 29.42
| %
|
| (2.53
| )%
| ||||||||||||
Ratio of net expenses to average net assets
|
| 0.90
| %7
|
| 0.90
| %
|
| 0.90
| %
|
| 0.90
| %
|
| 1.00
| %
|
| 1.05
| %
| ||||||||||||
Ratio of gross expenses to average net assets8
|
| 1.23
| %7
|
| 1.50
| %
|
| 1.54
| %
|
| 1.41
| %
|
| 1.58
| %
|
| 1.44
| %
| ||||||||||||
Ratio of net investment loss to average net assets3
|
| (0.70
| )%7
|
| (0.33
| )%
|
| (0.39
| )%
|
| (0.36
| )%
|
| (0.50
| )%
|
| (0.10
| )%
| ||||||||||||
Portfolio turnover
|
| 123
| %6
|
| 206
| %
|
| 226
| %
|
| 233
| %
|
| 99
| %
|
| 70
| %
| ||||||||||||
Net assets end of period (000’s) omitted
|
| $8,061
|
|
| $7,850
|
|
| $7,196
|
|
| $6,418
|
|
| $7,354
|
|
| $9,114
|
| ||||||||||||
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed as Class N, Class I and Class Z, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment loss 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 $(0.09), $(0.06), and $(0.04) for Class N, Class I, and Class Z shares, respectively. |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Not annualized. |
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.) |
19
Table of Contents
AMG Veritas China Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | April 30, 2021 (unaudited) | 2020 | 2019 | 2018 | 20171 | 20162 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period
|
| $37.61
|
|
| $41.44
|
|
| $48.48
|
|
| $50.06
|
|
| $37.09
|
|
| $40.76
|
| ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)3,4 | (0.05 | ) | 0.09 | (0.09 | ) | (0.32 | ) | (0.27 | )5 | (0.17 | )6 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 19.46 | (0.23 | ) | 1.70 | 4.45 | 13.38 | 1.02 | |||||||||||||||||||||||
Total income (loss) from investment operations
|
| 19.41
|
|
| (0.14
| )
|
| 1.61
|
|
| 4.13
|
|
| 13.11
|
|
| 0.85
|
| ||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.01 | ) | — | — | — | — | — | |||||||||||||||||||||||
Net realized gain on investments | (2.10 | ) | (3.69 | ) | (8.65 | ) | (5.71 | ) | (0.14 | ) | (4.52 | ) | ||||||||||||||||||
Total distributions to shareholders
|
| (2.11
| )
|
| (3.69
| )
|
| (8.65
| )
|
| (5.71
| )
|
| (0.14
| )
|
| (4.52
| )
| ||||||||||||
Net Asset Value, End of Period | $54.91 | $37.61 | $41.44 | $48.48 | $50.06 | $37.09 | ||||||||||||||||||||||||
Total Return4,7
|
| 52.90
| %8
|
| (0.86
| )%
|
| 7.46
| %
|
| 8.82
| %
|
| 35.43
| %
|
| 2.50
| %
| ||||||||||||
Ratio of net expenses to average net assets9
|
| 1.16
| %10
|
| 1.18
| %
|
| 1.24
| %
|
| 1.41
| %
|
| 1.42
| %
|
| 1.41
| %
| ||||||||||||
Ratio of gross expenses to average net assets11
|
| 1.21
| %10
|
| 1.26
| %
|
| 1.34
| %
|
| 1.50
| %
|
| 1.51
| %
|
| 1.62
| %
| ||||||||||||
Ratio of net investment income (loss) to average net assets4
|
| (0.20
| )%10
|
| 0.24
| %
|
| (0.23
| )%
|
| (0.63
| )%
|
| (0.62
| )%
|
| (0.47
| )%
| ||||||||||||
Portfolio turnover
|
| 32
| %8
|
| 75
| %
|
| 79
| %
|
| 55
| %
|
| 58
| %
|
| 72
| %
| ||||||||||||
Net assets end of period (000’s) omitted
|
| $158,239
|
|
| $114,122
|
|
| $138,695
|
|
| $148,419
|
|
| $148,915
|
|
| $124,045
|
|
20
Table of Contents
AMG Veritas China Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||||
months ended | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||||
Class I | April 30, 2021 (unaudited) | 2020 | 2019 | 2018 | 2017 | 20162 | ||||||||||||||||||||||||||
Net Asset Value, Beginning of Period
| $38.58 | $42.31 | $49.19 | $50.60 | $37.40 | $41.05 | ||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss)3,4 | 0.01 | 0.18 | 0.01 | (0.20 | ) | (0.16 | )5 | (0.08 | )6 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 19.95 | (0.22 | ) | 1.76 | 4.50 | 13.51 | 1.02 | |||||||||||||||||||||||||
Total income (loss) from investment operations
| 19.96 | (0.04 | ) | 1.77 | 4.30 | 13.35 | 0.94 | |||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||
Net investment income | (0.11 | ) | — | — | — | — | (0.04 | ) | ||||||||||||||||||||||||
Net realized gain on investments | (2.10 | ) | (3.69 | ) | (8.65 | ) | (5.71 | ) | (0.15 | ) | (4.55 | ) | ||||||||||||||||||||
Total distributions to shareholders
| (2.21 | ) | (3.69 | ) | (8.65 | ) | (5.71 | ) | (0.15 | ) | (4.59 | ) | ||||||||||||||||||||
Net Asset Value, End of Period | $56.33 | $38.58 | $42.31 | $49.19 | $50.60 | $37.40 | ||||||||||||||||||||||||||
Total Return4,7
| 53.09 | %8 | (0.62 | )% | 7.72 | % | 9.09 | % | 35.80 | % | 2.73 | % | ||||||||||||||||||||
Ratio of net expenses to average net assets9 | 0.93 | %10 | 0.93 | % | 0.99 | % | 1.16 | % | 1.17 | % | 1.16 | % | ||||||||||||||||||||
Ratio of gross expenses to average net assets11 | 0.98 | %10 | 1.01 | % | 1.09 | % | 1.25 | % | 1.26 | % | 1.37 | % | ||||||||||||||||||||
Ratio of net investment income (loss) to average net | 0.03 | %10 | 0.49 | % | 0.02 | % | (0.38 | )% | (0.37 | )% | (0.22 | )% | ||||||||||||||||||||
Portfolio turnover | 32 | %8 | 75 | % | 79 | % | 55 | % | 58 | % | 72 | % | ||||||||||||||||||||
Net assets end of period (000’s) omitted | $40,959 | $26,957 | $30,248 | $28,485 | $23,974 | $25,127 |
1 | Effective February 27, 2017, Class S was renamed Class N. |
2 | Effective October 1, 2016, the Service Class and Institutional Class were renamed Class S and Class I, respectively. |
3 | Per share numbers have been calculated using average shares. |
4 | Total returns and net investment loss would have been lower had certain expenses not been offset. |
5 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.34) and $(0.23) for Class N and Class I shares, respectively. |
6 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.24) and $(0.15) for Class N and Class I shares, respectively. |
7 | The total return is calculated using the published Net Asset Value as of period end. |
8 | Not annualized. |
9 | Includes reduction from broker recapture amounting to 0.01% for the six months ended April 30, 2021 and 0.01%, 0.02%, 0.02%, 0.01%, and 0.02% for the fiscal years ended 2020, 2019, 2018, 2017 and 2016, respectively. |
10 | Annualized. |
11 | 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.) |
21
Table of Contents
Notes to Financial Statements (unaudited) April 30, 2021 |
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds I (the “Trust”) is an open-end management investment company, organized as a Massachusetts business trust, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trust consists of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are the AMG Frontier Small Cap Growth Fund (“Small Cap”) and AMG Veritas China Fund (“China”) (formerly AMG Managers Emerging Opportunities Fund), each a “Fund” and collectively, the “Funds”.
Each Fund offers different classes of shares. Both Funds offer Class N and Class I shares, and Small Cap offers 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 the Trust (the “Board”) approved Veritas Asset Management LLP (“Veritas”) as the subadviser to China on an interim basis to replace Next Century Growth Investors LLC, WEDGE Capital Management L.L.P. and RBC Global Asset Management (U.S.) Inc., effective May 21, 2021. The Board also approved the longer-term appointment of Veritas, a new subadvisory agreement between the Investment Manager and Veritas and the submission of the new subadvisory agreements to shareholders for approval. In connection with the hiring of Veritas, effective May 21, 2021, China changed its name from AMG Emerging Opportunities Fund to AMG Veritas China Fund; made changes to its investment objectives, principal investments strategies and principal risks; and replaced its primary benchmark index with the MSCI China Index and removed its secondary benchmark index. In addition, the Board approved the following fee changes for the Fund, to be implemented upon effectiveness of the new subadvisory agreement: a reduction in the management fee rate from 0.74% to 0.71% of the Fund’s average daily net assets; and the reduction of the expense cap from 0.94% to 0.93% of the Fund’s average daily net assets (exclusive of certain excluded expenses).
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.
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 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 based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trust’s securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that 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
22
Table of Contents
Notes to Financial Statements (continued) |
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. 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 Trust 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.
China 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 Fund’s overall expense ratio. For the six months ended April 30, 2021, the impact on the expenses and expense ratios were as follows: China - $12,548 or 0.01%.
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 distributions received from investments in certain partnerships, wash sales deferrals, mark-to-market on passive foreign investment companies, return of capital from REITs, and the deferral of qualified late year losses.
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 | ||||||||||||
Small Cap | $21,056,669 | $6,163,027 | $(317,467 | ) | $5,845,560 | |||||||||||
China | 129,396,514 | 75,979,271 | (3,690,612 | ) | 72,288,659 |
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.
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Notes to Financial Statements (continued) |
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 Funds 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 short-term and/or long-term.
g. CAPITAL STOCK
The Trust’s 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.
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:
Small Cap | China | |||||||||||||||||||||||||||||||
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 | 83,398 | $998,888 | 21,983 | $171,687 | 75,881 | $3,961,587 | 164,332 | $5,862,463 | ||||||||||||||||||||||||
Reinvestment of distributions | 1,373 | 14,298 | 3,530 | 27,888 | 139,284 | 6,232,937 | 300,381 | 11,991,204 | ||||||||||||||||||||||||
Cost of shares repurchased | (46,090) | (531,258) | (30,085) | (207,132) | (367,282) | (18,504,434) | (777,792) | (26,470,500) | ||||||||||||||||||||||||
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Net increase (decrease) | 38,681 | $481,928 | (4,572) | $(7,557) | (152,117) | $(8,309,910) | (313,079) | $(8,616,833) | ||||||||||||||||||||||||
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Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 112,157 | $1,411,168 | 160,240 | $1,351,935 | 97,314 | $5,143,034 | 141,654 | $5,004,115 | ||||||||||||||||||||||||
Reinvestment of distributions | 44,866 | 495,323 | 110,211 | 918,061 | 32,120 | 1,473,326 | 61,148 | 2,498,494 | ||||||||||||||||||||||||
Cost of shares repurchased | (151,562) | (1,739,634) | (284,168) | (2,168,212) | (101,051) | (5,076,446) | (218,889) | (8,142,352) | ||||||||||||||||||||||||
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Net increase (decrease) | 5,461 | $166,857 | (13,717) | $101,784 | 28,383 | $1,539,914 | (16,087) | $(639,743) | ||||||||||||||||||||||||
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Class Z: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 8,812 | $111,185 | 10,516 | $55,000 | — | — | — | — | ||||||||||||||||||||||||
Reinvestment of distributions | 26,664 | 307,436 | 67,965 | 590,610 | — | — | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | (275,593) | (3,505,556) | (68,314) | (554,582) | — | — | — | — | ||||||||||||||||||||||||
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Net increase (decrease) | (240,117) | $(3,086,935) | 10,167 | $91,028 | — | — | — | — | ||||||||||||||||||||||||
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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 Small Cap and China were $1,220,577 and $2,805,750, respectively.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
For each of the Funds, the Trust has 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 one or more portfolio managers who serve pursuant to a subadvisory agreement with the Investment Manager. Small Cap is managed by
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Notes to Financial Statements (continued) |
Frontier Capital Management Co., LLC (“Frontier”). AMG indirectly owns a majority interest in Frontier. China was managed by Next Century Growth Investors LLC, RBC Global Asset Management (U.S.) Inc., and WEDGE Capital Management L.L.P.
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:
Small Cap | 0.70% | |||
China | 0.74% |
The Investment Manager has contractually agreed, through at least March 1, 2022, 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 Small Cap and China to 0.90% and 0.94%, 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.
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 | Small Cap | China | ||||||
Less than 1 year | $114,490 | $133,467 | ||||||
1-2 years | 119,373 | 117,653 | ||||||
2-3 years | 93,482 | 89,093 | ||||||
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Total | $327,345 | $340,213 | ||||||
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The Trust, on behalf of the Funds, has 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.
Small Cap has adopted a distribution and service plan (the “Plan”) with respect to the Class N shares, in accordance with the requirements of Rule 12b-1 under the 1940 Act and the requirements of the applicable rules of FINRA regarding asset-based sales charges. Pursuant to the Plan, Small Cap may make payments to the Distributor for its expenditures in financing any activity primarily intended to result in the sale of the 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 the Fund’s average daily net assets attributable to the Class N shares.
For Class N of Small Cap and China, and for Class I of Small Cap, 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 shares of Small Cap and China and Class I shares of Small Cap may reimburse the Investment Manager for the actual amount incurred up to a maximum annual rate of each Class’s average daily net assets as shown in the table below.
The impact on the annualized expense ratios for the six months ended April 30, 2021, were as follows:
Fund
| Maximum Annual
| Actual
| ||||||
Small Cap | ||||||||
Class N | 0.15% | 0.15% | ||||||
Class I | 0.15% | 0.04% | ||||||
China | ||||||||
Class N | 0.25% | 0.23% |
The Board provides supervision of the affairs of the Trust and other trusts within the AMG Funds Family. The Trustees of the Trust 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
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Notes to Financial Statements (continued) |
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 the Funds to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds Family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The 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. At April 30, 2021, the Funds had no interfund loans outstanding.
The following Fund utilized the interfund loan program during the six months ended April 30, 2021 as follows:
Fund | Average Borrowed | Number of Days | Interest Paid | Average Interest Rate | ||||||||||||
Small Cap | $1,557,880 | 4 | $154 | 0.903% |
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 | ||||||
Small Cap | $29,590,489 | $33,208,990 | ||||||
China | 54,126,810 | 69,459,590 | ||||||
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The Funds had no purchases or sales of U.S. Government Obligations during the six months ended April 30, 2021.
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. 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 | ||||||||||||
Small Cap | $2,694,930 | $1,220,577 | $1,625,951 | $2,846,528 | ||||||||||||
China | 16,463,145 | 2,805,750 | 14,292,708 | 17,098,458 |
The following table summarizes the securities received as collateral for securities lending at April 30, 2021:
Fund | Collateral Type | Coupon Range | Maturity Date Range | |||||||
Small Cap | U.S. Treasury Obligations | 0.000%-6.875% | 05/18/21-08/15/50 | |||||||
China | U.S. Treasury Obligations | 0.000%-6.875% | 05/15/21-08/15/50 |
5. COMMITMENTS AND CONTINGENCIES
Under the Trust’s organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. 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.
6. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their counterparties for the securities lending program and Repurchase Agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.
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Notes to Financial Statements (continued) |
The following table is a summary of the Funds’ open Repurchase Agreements that are subject to a master netting agreement as of April 30, 2021:
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 | |||||||||||||||
Small Cap | ||||||||||||||||||||
Morgan, Stanley & Co. LLC | $220,577 | — | $220,577 | $220,577 | — | |||||||||||||||
RBC Dominion Securities, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
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Total | $1,220,577 | — | $1,220,577 | $1,220,577 | — | |||||||||||||||
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China | ||||||||||||||||||||
Bank of America Securities, Inc. | $805,750 | — | $805,750 | $805,750 | — | |||||||||||||||
Daiwa Capital Markets America | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
RBC Dominion Securities, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
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Total | $2,805,750 | — | $2,805,750 | $2,805,750 | — | |||||||||||||||
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7. 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 that in conjunction with the change in investment strategy for China, the Fund
sold substantially all open positions around the date of the subadviser change that increased the Fund’s portfolio turnover. The Fund also declared a special capital gain distribution on May 27, 2021. On June 25, 2021, all proposals related to China, as discussed in Note 1, were approved by the Fund’s shareholders.
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AMG Managers Emerging Opportunities Fund: Approval of Subadvisory Agreements on March 17-18, 2021
At a meeting held via telephone and videoconference on March 17-18, 2021, the Board of Trustees (the “Board” or the “Trustees”), and separately a majority of the Trustees who are not “interested persons” of AMG Funds I (the “Trust”) (the “Independent Trustees”), unanimously voted to approve the termination of the subadvisory agreements between AMG Funds LLC (the “Investment Manager”) and each of Next Century Growth Investors LLC, WEDGE Capital Management L.L.P. and RBC Global Asset Management (U.S.) Inc. (each, an “Existing Subadviser”) with respect to AMG Managers Emerging Opportunities Fund (the “Fund”) (the “Existing Subadvisory Agreements”), and approve the interim subadvisory agreement between the Investment Manager and Veritas Asset Management LLP (“Veritas”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and Veritas 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 Veritas provided to them in connection with the meeting on March 17-18, 2021. 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 Veritas, the Trustees reviewed information relating to Veritas’ financial condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by Veritas in managing the Fund. The Trustees noted that, under normal circumstances, the Fund would invest at least 80% of its net assets, plus the | amount of any borrowings for investment purposes, in securities of issuers located in China (People’s Republic of China and its Special Administrative Regions, Hong Kong and Macau) or issuers that are not located in China but derive a majority (over 50%) of their income from China. The Trustees further noted that in connection with hiring Veritas, shareholders would be asked to approve a change in the Fund’s status from operating as a diversified fund to operating as a non-diversified fund. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding Veritas’ organizational and management structure, and Veritas’ compliance policies and procedures. The Trustees noted that Veritas was founded in 2003 and has 42 employees. The Trustees considered specific information provided regarding the experience of the individual at Veritas that is expected to have portfolio management responsibility for the Fund. The Trustees noted that the proposed portfolio manager joined Veritas in 2004. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by Veritas to the Fund; (b) the qualifications and experience of Veritas’ personnel; and (c) Veritas’ compliance program. The Trustees additionally considered Veritas’ risk management processes. The Trustees reviewed Veritas’ compliance policies and procedures, code of ethics, and specific information related to how Veritas 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 Veritas with respect to its ability to provide the services required under the Agreements and noted that, as of December 31, 2020, Veritas managed approximately $33 billion in assets. The Trustees concluded that, given Veritas’ financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements.
PERFORMANCE
Because Veritas was proposing to manage the Fund with its China equity 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 Veritas with respect to Veritas’ China Long Composite, which is managed in a substantially similar manner to the Fund. In this regard, the Trustees noted that the performance of the China Long Composite had not been adjusted for the fees and expenses of the Fund. The Trustees reviewed the year over year performance of the China Long Composite and noted that the composite | outperformed its benchmark for the period from the inception date of the composite on September 28, 2018 through December 31, 2018.
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 Veritas. In considering the anticipated profitability of Veritas with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding Veritas’ organization, management and financial stability. The Trustees noted that, because Veritas is an affiliate of the Investment Manager, a portion of Veritas’ 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 Veritas under each Agreement was lower than the rate paid to each Existing Subadviser under the applicable Existing 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 percentage amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to the Fund, which would increase if the New Subadvisory Agreement was approved. The Trustees also noted payments made or to be made from Veritas to the Investment Manager, and other payments made or to be made from the Investment Manager to Veritas, 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 would both be lower 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 Veritas is expected to provide in performing its functions under the Agreements. The Trustees also were provided with the estimated profitability of Veritas with respect to |
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Approval of Subadvisory Agreement (continued) |
its proposed subadvisory services to the Fund. Based on the foregoing, the Trustees concluded that the profitability to Veritas is expected to be reasonable and that Veritas 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 Veritas, including, among others, the potential broadening of Veritas’ China equity investment capabilities, as well as the indirect benefits that Veritas may receive from Veritas’ relationship with the Fund, including any so-called “fallout benefits” to Veritas, such as reputational value derived from Veritas serving as subadviser to the Fund, which bears Veritas’ 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 Veritas, and the other considerations noted above with respect to Veritas, 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 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 Veritas 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) Veritas has demonstrated that it possesses the capability and resources to perform the duties required of it under each Agreement; (b) Veritas’ Investment Strategy is appropriate for pursuing the Fund’s investment objective; (c) Veritas is reasonably likely to execute its investment strategy consistently over time; and (d) Veritas 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. |
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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
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. |
amgfunds.com
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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 | 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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SEMI-ANNUAL REPORT | ||
AMG Funds | ||||
April 30, 2021 | ||||
Class N, I, & Z Shares | ||||
Equity | ||||
Fixed Income | ||||
International | ||||
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AMG Funds Semi-Annual Report — April 30, 2021 (unaudited) |
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4 | ||||||||||||
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS |
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8 | AMG Beutel Goodman Core Plus Bond Fund (formerly AMG Managers DoubleLine Core Plus Bond
| 29 | ||||||||||
11 | 38 | |||||||||||
14 | AMG Montrusco Bolton Large Cap Growth Fund | |||||||||||
17 | 41 | |||||||||||
20 | ||||||||||||
23 | ||||||||||||
26 | ||||||||||||
FINANCIAL STATEMENTS | ||||||||||||
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48 | ||||||||||||
51 | ||||||||||||
55 | ||||||||||||
83 | ||||||||||||
98 | ||||||||||||
106 | ||||||||||||
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 River Road Mid Cap Value Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.15% | $ 1,000 | $1,408 | $6.87 | ||||
Class I | 0.90% | $1,000 | $1,410 | $5.38 | ||||
Class Z | 0.82% | $1,000 | $1,410 | $4.90 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.15% | $1,000 | $1,019 | $5.76 | ||||
Class I | 0.90% | $1,000 | $1,020 | $4.51 | ||||
Class Z | 0.82% | $1,000 | $1,021 | $4.11 | ||||
AMG River Road Large Cap Value Select Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.04% | $1,000 | $1,270 | $5.85 | ||||
Class I | 0.73% | $1,000 | $1,271 | $4.11 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.04% | $1,000 | $1,020 | $5.21 | ||||
Class I | 0.73% | $1,000 | $1,021 | $3.66 |
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 River Road Small Cap Value Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.35% | $1,000 | $1,440 | $8.17 | ||||
Class I | 1.09% | $1,000 | $1,442 | $6.60 | ||||
Class Z | 1.00% | $1,000 | $1,443 | $6.06 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.35% | $1,000 | $1,018 | $6.76 | ||||
Class I | 1.09% | $1,000 | $1,019 | $5.46 | ||||
Class Z | 1.00% | $1,000 | $1,020 | $5.01 | ||||
AMG River Road Dividend All Cap Value Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.09% | $1,000 | $1,308 | $6.24 | ||||
Class I | 0.83% | $1,000 | $1,310 | $4.75 | ||||
Class Z | 0.79% | $1,000 | $1,310 | $4.52 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.09% | $1,000 | $1,019 | $5.46 | ||||
Class I | 0.83% | $1,000 | $1,021 | $4.16 | ||||
Class Z | 0.79% | $1,000 | $1,021 | $3.96 |
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About Your Fund’s Expenses (continued) |
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 River Road Small-Mid Cap Value Fund | ||||||||||
Based on Actual Fund Return | ||||||||||
Class N | 1.29% | $1,000 | $1,450 | $7.84 | ||||||
Class I | 1.04% | $1,000 | $1,453 | $6.32 | ||||||
Class Z | 0.98% | $1,000 | $1,453 | $5.96 | ||||||
Based on Hypothetical 5% Annual Return | ||||||||||
Class N | 1.29% | $1,000 | $1,018 | $6.46 | ||||||
Class I | 1.04% | $1,000 | $1,020 | $5.21 | ||||||
Class Z | 0.98% | $1,000 | $1,020 | $4.91 | ||||||
AMG River Road Long-Short Fund** | ||||||||||
Based on Actual Fund Return | ||||||||||
Class N | 1.45% | $1,000 | $1,205 | $7.93 | ||||||
Class I | 1.20% | $1,000 | $1,208 | $6.57 | ||||||
Class Z | 1.12% | $1,000 | $1,208 | $6.13 | ||||||
Based on Hypothetical 5% Annual Return | ||||||||||
Class N | 1.45% | $1,000 | $1,018 | $7.25 | ||||||
Class I | 1.20% | $1,000 | $1,019 | $6.01 | ||||||
Class Z | 1.12% | $1,000 | $1,019 | $5.61 | ||||||
AMG River Road Focused Absolute Value Fund | ||||||||||
Based on Actual Fund Return | ||||||||||
Class N | 1.06% | $1,000 | $1,335 | $6.14 | ||||||
Class I | 0.82% | $1,000 | $1,336 | $4.75 | ||||||
Class��Z | 0.78% | $1,000 | $1,337 | $4.52 | ||||||
Based on Hypothetical 5% Annual Return | ||||||||||
Class N | 1.06% | $1,000 | $1,020 | $5.31 | ||||||
Class I | 0.82% | $1,000 | $1,021 | $4.11 | ||||||
Class Z | 0.78% | $1,000 | $1,021 | $3.91 | ||||||
AMG Beutel Goodman Core Plus Bond Fund | ||||||||||
Based on Actual Fund Return | ||||||||||
Class N | 0.94% | $1,000 | $1,010 | $4.68 | ||||||
Class I | 0.69% | $1,000 | $1,011 | $3.44 | ||||||
Class Z | 0.61% | $1,000 | $1,012 | $3.04 | ||||||
Based on Hypothetical 5% Annual Return | ||||||||||
Class N | 0.94% | $1,000 | $1,020 | $4.71 | ||||||
Class I | 0.69% | $1,000 | $1,021 | $3.46 | ||||||
Class Z | 0.61% | $1,000 | $1,022 | $3.06 |
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 Beutel Goodman International Equity Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.29% | $1,000 | $1,367 | $7.57 | ||||
Class I | 0.99% | $1,000 | $1,370 | $5.82 | ||||
Class Z | 0.89% | $1,000 | $1,371 | $5.23 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.29% | $1,000 | $1,018 | $6.46 | ||||
Class I | 0.99% | $1,000 | $1,020 | $4.96 | ||||
Class Z | 0.89% | $1,000 | $1,020 | $4.46 | ||||
AMG Montrusco Bolton Large Cap Growth Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.14% | $1,000 | $1,263 | $6.40 | ||||
Class I | 0.98% | $1,000 | $1,263 | $5.50 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.14% | $1,000 | $1,019 | $5.71 | ||||
Class I | 0.98% | $1,000 | $1,020 | $4.91 |
* | 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. |
** | Excludes interest expense and dividends on short positions. If included, your annualized expense ratios would be 2.98%, 2.73% and 2.65% for Class N, Class I and Class Z, respectively, and your actual and hypothetical expenses paid during the period would be $16.29, $14.94 and $14.51, and $14.85, $13.61 and $13.22 for Class N, Class I and Class Z, respectively. |
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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 River Road Mid Cap Value Fund2, 3, 4, 5, 6, 7, 8, 9, 10, 11 |
| |||||||||||||||||||||||
Class N | 40.80% | 56.71% | 8.71% | 8.61% | 11.38% | 09/19/94 | ||||||||||||||||||
Class I | 41.02% | 57.15% | 8.99% | 8.89% | 9.24% | 07/06/04 | ||||||||||||||||||
Class Z | 41.03% | 57.26% | — | — | 5.76% | 09/29/17 | ||||||||||||||||||
Russell Midcap® Value Index37 | 41.41% | 60.70% | 12.18% | 11.31% | 10.23% | 09/19/94 | † | |||||||||||||||||
S&P MidCap 400® Index38 | 44.34% | 67.90% | 15.10% | 12.11% | 12.39% | 09/19/94 | † | |||||||||||||||||
AMG River Road Large Cap Value Select Fund2, 3, 4, 5, 6, 7, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22 |
| |||||||||||||||||||||||
Class N | 26.96% | 23.02% | 10.80% | 9.58% | 7.36% | 03/01/06 | ||||||||||||||||||
Class I | 27.14% | 23.39% | 11.12% | 9.88% | 8.48% | 08/14/92 | ||||||||||||||||||
Russell 1000® Value Index39 | 36.30% | 45.92% | 12.15% | 11.13% | 10.13% | 08/14/92 | † | |||||||||||||||||
Russell 3000® Index40 | 31.08% | 50.92% | 17.67% | 14.03% | 10.65% | 08/14/92 | † | |||||||||||||||||
AMG River Road Small Cap Value Fund3, 4, 6, 7, 9, 10, 11 |
| |||||||||||||||||||||||
Class N | 43.96% | 60.52% | 14.12% | 10.71% | 8.98% | 06/28/05 | ||||||||||||||||||
Class I | 44.17% | 61.08% | 14.41% | 10.99% | 7.65% | 12/13/06 | ||||||||||||||||||
Class Z | 44.26% | 61.18% | — | — | 11.92% | 09/29/17 | ||||||||||||||||||
Russell 2000® Value Index41 | 59.17% | 78.96% | 13.54% | 10.10% | 8.20% | 06/28/05 | † | |||||||||||||||||
AMG River Road Dividend All Cap Value Fund3, 4, 6, 7, 9, 10, 11, 14, 23 |
| |||||||||||||||||||||||
Class N | 30.80% | 44.02% | 8.93% | 9.33% | 8.26% | 06/28/05 | ||||||||||||||||||
Class I | 30.98% | 44.43% | 9.22% | 9.62% | 7.15% | 06/28/07 | ||||||||||||||||||
Class Z | 31.01% | 44.50% | — | — | 8.31% | 09/29/17 | ||||||||||||||||||
Russell 3000® Value Index42 | 37.64% | 47.78% | 12.25% | 11.04% | 8.21% | 06/28/05 | † | |||||||||||||||||
AMG River Road Small-Mid Cap Value Fund3, 4, 6, 7, 9, 10, 11 |
| |||||||||||||||||||||||
Class N | 45.00% | 64.06% | 15.19% | 11.42% | 8.32% | 03/29/07 | ||||||||||||||||||
Class I | 45.28% | 64.35% | 15.45% | 11.71% | 8.36% | 06/28/07 | ||||||||||||||||||
Class Z | 45.20% | 64.53% | — | — | 12.60% | 09/29/17 | ||||||||||||||||||
Russell 2500® Value Index43 | 53.12% | 72.68% | 12.66% | 10.44% | 7.86% | 03/29/07 | † | |||||||||||||||||
Russell 2000® Value Index41 | 59.17% | 78.96% | 13.54% | 10.10% | 7.29% | 03/29/07 | † | |||||||||||||||||
AMG River Road Long-Short Fund5, 6, 7, 9, 10, 11, 12, 14, 19, 21 |
| |||||||||||||||||||||||
Class N | 20.53% | 20.85% | 7.78% | — | 6.18% | 05/04/11 | ||||||||||||||||||
Class I | 20.77% | 21.19% | 8.06% | — | 6.00% | 03/04/13 | ||||||||||||||||||
Class Z | 20.79% | 21.31% | — | — | 7.57% | 09/29/17 | ||||||||||||||||||
Russell 3000® Index40 | 31.08% | 50.92% | 17.67% | — | 14.12% | 05/04/11 | † | |||||||||||||||||
50% Russell 3000® Index/50% ICE BofA Merrill Lynch U.S. T-Bill (0-3 mo) Index44 | 14.67% | 23.44% | 9.60% | — | 7.57% | 05/04/11 | † |
* Not annualized.
† Date reflects the inception date of the Fund, not the index.
1 Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Funds are net of expenses and based on the published NAV as of April 30, 2021. All returns are in U.S. dollars ($).
2 Performance shown for periods prior to March 19, 2021, of AMG River Road Mid Cap Value Fund, AMG Beutel Goodman Core Plus Bond Fund, AMG Beutel Goodman International Equity Fund, and AMG Mon-trusco Bolton Large Cap Growth, and for periods prior to March 22, 2021, of AMG River Road Large Cap Value Select Fund reflects the performance of the Fund’s previous Subadviser.
3 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. |
4 The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings patterns, competitive conditions, limited earnings history and a reliance on one or a limited number of products.
5 The 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.
6 Investments in international securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets.
7 Companies that are in similar industry 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.
8 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. |
4
Table of Contents
Fund Performance Periods ended April 30, 2021 (continued) |
Average Annual Total Returns1 | Six Months* | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||||||
AMG River Road Focused Absolute Value Fund3, 4, 6, 7, 9, 10, 11, 12, 14, 19, 24 |
| |||||||||||||||||||||||
Class N | 33.49% | 46.77% | 13.16% | — | 12.17% | 11/03/15 | ||||||||||||||||||
Class I | 33.61% | 47.10% | 13.43% | — | 12.44% | 11/03/15 | ||||||||||||||||||
Class Z | 33.74% | 47.25% | — | — | 11.09% | 09/29/17 | ||||||||||||||||||
Russell 3000® Value Index42 | 37.64% | 47.48% | 12.25% | — | 11.18% | 11/03/15 | † | |||||||||||||||||
AMG Beutel Goodman Core Plus Bond Fund2, 5, 6, 10, 12, 13, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34 |
| |||||||||||||||||||||||
Class N | 0.99% | 6.90% | 3.26% | — | 4.12% | 07/18/11 | ||||||||||||||||||
Class I | 1.11% | 7.18% | 3.53% | — | 4.38% | 07/18/11 | ||||||||||||||||||
Class Z | 1.15% | 7.26% | — | — | 3.47% | 09/29/17 | ||||||||||||||||||
Bloomberg Barclays | ||||||||||||||||||||||||
U.S. Aggregate Bond Index45 | (1.52% | ) | (0.27% | ) | 3.19% | — | 3.26% | 07/18/11 | † | |||||||||||||||
AMG Beutel Goodman International Equity Fund2, 3, 4, 6, 7, 10, 19, 20, 24, 35 |
| |||||||||||||||||||||||
Class N | 36.70% | 51.62% | 7.95% | — | 5.03% | 04/14/14 | ||||||||||||||||||
Class I | 37.04% | 52.33% | 8.26% | — | 5.34% | 04/14/14 | ||||||||||||||||||
Class Z | 37.13% | 52.47% | — | — | 5.24% | 09/29/17 | ||||||||||||||||||
MSCI EAFE Index46 | 28.84% | 39.88% | 8.87% | — | 5.37% | 04/14/14 | † | |||||||||||||||||
AMG Montrusco Bolton Large Cap Growth Fund2, 6, 7, 8, 9, 10, 19, 20, 33, 36 |
| |||||||||||||||||||||||
Class N | 26.25% | 49.46% | 18.47% | 13.62% | 10.60% | 11/02/94 | ||||||||||||||||||
Class I | 26.33% | 49.65% | 18.69% | 13.87% | 9.64% | 06/28/96 | ||||||||||||||||||
S&P 500® Growth Index47 | 24.61% | 48.86% | 21.26% | 16.55% | 11.59% | 11/02/94 | † | |||||||||||||||||
Russell 1000® Growth Index48 | 24.31% | 51.41% | 22.88% | 17.02% | 11.17% | 11/02/94 | † | |||||||||||||||||
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. |
| |||||||||||||||||||||||
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.
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
|
|
9 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.
10 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.
11 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.
12 Active and frequent trading of a fund may result in higher transaction costs and increased tax liability.
13 In managing the Fund, the Fund’s Subadviser may rely heavily on one or more quantitative models (“Model”) and information and data supplied by third parties (“Data”). When a Model or Data used in managing the Fund contains an error, or is incorrect or incomplete, any investment decision made in reliance on the Model or Data may not produce the desired results and the Fund may realize losses. In addition, any hedging based on a faulty Model or Data may prove to be unsuccessful. |
14 Investing in PTPs (including master limited partner- ships) involves risks in addition to those typically associated with publicly traded companies. PTPs are exposed to the risks of their underlying assets, which in many cases includes the same types of risks as energy and natural resources companies. PTPs are also subject to capital markets risk. PTPs may lose their partnership status for tax purposes. The Fund’s status as a regulated investment company may be jeopardized if it does not appropriately limit such investments in PTPs or if such investments are re- characterized for tax purposes.
15 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.
16 Convertible preferred stocks, which are convertible into shares of the issuer’s common stock and pay regular dividends, and convertible debt securities, which are convertible into shares of the issuer’s common stock and bear interest, are subject to the risks of equity securities and fixed income securities. |
5
Table of Contents
Fund Performance Periods ended April 30, 2021 (continued) |
17 Investments in master limited partnerships (MLPs) are subject to similar risks to those associated with the specific industry or industries in which the partnership invests, such as the risk of investing in the real estate or oil and gas industries. In addition, investments in MLPs are subject to the risks of investing in a partnership, including limited control and voting rights on matters affecting the partnership and fewer investor protections compared to corporations.
18 Because exchange-traded funds (ETFs) incur their own costs, investing in them could result in a higher cost to the investor. Additionally, the fund will be indirectly exposed to all the risks of securities held by the ETFs.
19 A greater percentage of the Fund’s holdings may be focused in a smaller number of securities which may place the Fund at greater risk than a more diversified fund.
20 The Fund invests in large-capitalization companies that may underperform other stock funds (such as funds that focus on small- and medium-capitalization companies) when stocks of large-capitalization companies are out of favor.
21 The Fund may suffer significant losses on assets that it sells short. Unlike the possible loss on a security that is purchased, there is no limit on the amount of loss on an appreciating security that is sold short.
22 The use of leverage in a Fund’s strategy, such as futures and forward commitment transactions, can magnify relatively small market movements into relatively larger losses for the Fund.
23 An issuer of a security may be unwilling or unable to pay income on a security. Common stocks do not assure dividend payments and are paid only when declared by an issuer’s board of directors. | 27 Bank loans are subject to the credit risk of nonpayment of principal or interest.
28 High-yield bonds (also known as “junk bonds”) may be subject to greater levels of interest rate, credit, and liquidity risk than investments in higher rated securities. These securities are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments. The issuers of the Fund’s holdings may be involved in bankruptcy proceedings, reorganizations, or financial restructurings, and are not as strong financially as higher-rated issuers.
29 Factors unique to the municipal bond market may negatively affect the value in municipal bonds.
30 Obligations of certain government agencies are not backed by the full faith and credit of the U.S. government. If one of these agencies defaulted on a loan, there is no guarantee that the U.S. government would provide financial support. Additionally, debt securities of the U.S. government may be affected by changing interest rates and subject to prepayment risk.
31 During periods of rising interest rates, a debtor may pay back a bond or other fixed income security slower than expected or required, and the value of such security may fall.
32 The Fund may have difficulty reinvesting payments from debtors and may receive lower rates than from its original investments.
33 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 | 35 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.
36 The Fund’s performance may be adversely affected when stocks preferred by a GARP investing strategy underperform or are not favored by investors in prevailing market and economic conditions.
37 On March 19, 2021, the primary benchmark changed from the S&P MidCap 400® Index to the Russell Midcap® Value Index. The Russell Midcap® Value Index measures the performance of those Russell Midcap® companies with lower price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000® Value Index. Unlike the Fund, the Russell Midcap® Value Index is unmanaged, is not available for investment and does not incur expenses.
38 The S&P MidCap 400® Index provides investors with a benchmark for mid-sized companies. The Index, which is distinct from the large-cap S&P 500®, measures the performance of mid-sized companies, reflecting the distinctive risk and return characteristics of this market segment. Unlike the Fund, the S&P MidCap 400® Index is unmanaged, is not available for investment and does not incur expenses.
39 On March 22, 2021, the primary benchmark changed from the Russell 3000® Index to the Russell 1000® Value Index. The Russell 1000® Value Index is a market capitalization |
24 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.
25 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.
26 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. | 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 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.
34 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. | weighted index that measures the performance of those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values. Unlike the Fund, the Russell 1000® Value Index is unmanaged, is not available for investment and does not incur expenses.
40 The Russell 3000® Index is composed of the 3,000 largest U.S. companies as measured by market capitalization, and represents about 98% of the U.S. stock market. Unlike the Fund, the Russell 3000® Index is unmanaged, is not available for investment and does not incur expenses.
41 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. | ||
6
Table of Contents
Fund Performance Periods ended April 30, 2021 (continued) |
42 The Russell 3000® Value Index measures the performance of the broad value segment of the U.S. equity universe. It includes those Russell 3000® companies with lower price-to-book ratios and lower forecasted growth values. Unlike the Fund, the Russell 3000® Value Index is unmanaged, is not available for investment and does not incur expenses.
43 The Russell 2500® Value Index measures the performance of the Russell 2500® companies with lower price-to-book ratios and lower forecasted growth values. Unlike the Fund, the Russell 2500® Value Index is unmanaged, is not available for investment and does not incur expenses.
44 The secondary benchmark is composed of 50% Russell 3000® Index and 50% ICE BofAML 0-3 Month U.S. Treasury Bill Index. The ICE BofAML 0-3 Month U.S. Treasury Bill Index is a subset of The Bank of America Merrill Lynch 0-1 Year US Treasury Index including all securities with a remaining term to final maturity less than 3 months. Unlike the Fund, the indices are unmanaged, are not available for investment and do not incur expenses.
45 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. | 46 The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. Please go to msci.com for most current list of countries represented by the index. Unlike the Fund, the MSCI EAFE Index is unmanaged, is not available for investment and does not incur expenses.
47 Effective March 19, 2021, the primary benchmark changed from the Russell 1000® Growth Index to the S&P 500® Growth Index. The S&P 500® Growth Index draws its constituents from the S&P 500® based on three growth factors: sales growth, the ratio of earnings change to price, and momentum. Unlike the Fund, the S&P 500® Growth Index is unmanaged, is not available for investment and does not incur expenses.
48 The Russell 1000® Growth Index is a market capitalization weighted index that measures the performance of those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 1000® Growth Index is unmanaged, is not available for investment and does not incur expenses.
The S&P Index is proprietary data of Standard & Poor’s, a division of McGraw-Hill Companies, Inc. All rights reserved.
The Russell Indices are a trademark of London Stock Exchange Group companies. | 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.
Not FDIC insured, nor bank guaranteed. May lose value. | ||
7
Table of Contents
AMG River Road Mid Cap Value Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | ||||
Financials | 25.8 | ||||
Communication Services | 17.6 | ||||
Consumer Discretionary | 17.4 | ||||
Industrials | 11.5 | ||||
Consumer Staples | 7.0 | ||||
Energy | 5.8 | ||||
Information Technology | 5.3 | ||||
Health Care | 4.7 | ||||
Materials | 1.8 | ||||
Utilities | 1.6 | ||||
Short-Term Investments | 1.7 | ||||
Other Assets Less Liabilities |
| (0.2)
|
|
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Liberty Broadband Corp., Class C | 4.8 | |
KKR&Co., Inc. | 4.6 | |
Liberty Media Corp.-Liberty SiriusXM, Class C | 3.9 | |
Advance Auto Parts, Inc. | 3.9 | |
Dollar Tree, Inc. | 3.3 | |
News Corp., Class A | 3.2 | |
NVR, Inc. | 3.2 | |
LKQ Corp. | 3.2 | |
Ares Management Corp., Class A | 3.0 | |
Cannae Holdings, Inc. | 2.8 | |
| ||
Top Ten as a Group | 35.9 | |
| ||
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.
8
Table of Contents
AMG River Road Mid Cap Value Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 98.5% | ||||||||
Communication Services - 17.6% | ||||||||
Altice USA, Inc., Class A* | 178,812 | $6,492,664 | ||||||
Liberty Broadband Corp., Class C* | 131,980 | 21,475,785 | ||||||
Liberty Global PLC, Class C (United Kingdom)* | 342,014 | 9,254,899 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C* | 386,007 | 17,459,097 | ||||||
Madison Square Garden Sports Corp.* | 52,509 | 9,705,763 | ||||||
News Corp., Class A | 547,789 | 14,349,333 | ||||||
Total Communication Services | 78,737,541 | |||||||
Consumer Discretionary - 17.4% |
| |||||||
Advance Auto Parts, Inc. | 86,567 | 17,327,251 | ||||||
D.R. Horton, Inc. | 95,083 | 9,345,708 | ||||||
Dollar Tree, Inc.* | 127,723 | 14,675,373 | ||||||
LKQ Corp.* | 302,278 | 14,119,405 | ||||||
Murphy USA, Inc. | 58,185 | 8,110,989 | ||||||
NVR, Inc.* | 2,838 | 14,241,368 | ||||||
Total Consumer Discretionary | 77,820,094 | |||||||
Consumer Staples - 7.0% |
| |||||||
Albertsons Cos., Inc., Class A | 273,894 | 5,086,211 | ||||||
BJ’s Wholesale Club Holdings, Inc.* | 170,297 | 7,607,167 | ||||||
Fomento Economico Mexicano SAB de CV, Sponsored ADR (Mexico) | 124,884 | 9,678,510 | ||||||
Molson Coors Beverage Co., Class B* | 158,944 | 8,733,973 | ||||||
Total Consumer Staples | 31,105,861 | |||||||
Energy - 5.8% |
| |||||||
Marathon Petroleum Corp. | 136,238 | 7,581,645 | ||||||
Pioneer Natural Resources Co. | 36,094 | 5,552,340 | ||||||
Texas Pacific Land Corp. | 2,838 | 4,370,946 | ||||||
The Williams Cos., Inc. | 339,174 | 8,262,278 | ||||||
Total Energy | 25,767,209 | |||||||
Financials - 25.8% |
| |||||||
American Equity Investment Life Holding Co. | 282,410 | 8,749,062 | ||||||
American Financial Group, Inc. | 52,509 | 6,451,256 | ||||||
Apollo Global Management, Inc. | 161,782 | 8,957,869 | ||||||
Ares Management Corp., Class A | 254,026 | 13,341,445 | ||||||
Axis Capital Holdings, Ltd. (Bermuda) | 100,759 | 5,622,352 | ||||||
Cannae Holdings, Inc.* | 317,887 | 12,620,114 | ||||||
Cboe Global Markets, Inc. | 100,759 | 10,516,217 | ||||||
CNA Financial Corp. | 93,664 | 4,395,652 | ||||||
Fidelity National Financial, Inc. | 238,416 | 10,876,538 | ||||||
First American Financial Corp. | 102,178 | 6,590,481 | ||||||
GoHealth, Inc., Class A*
|
| 367,558
|
|
| 4,384,967
|
|
Shares | Value | |||||||
KKR & Co., Inc. | 361,882 | $20,475,284 | ||||||
Old Republic International Corp. | 91,533 | 2,253,542 | ||||||
Total Financials | 115,234,779 | |||||||
Health Care - 4.7% |
| |||||||
Centene Corp.* | 75,208 | 4,643,342 | ||||||
McKesson Corp. | 58,185 | 10,913,178 | ||||||
Premier, Inc., Class A | 147,591 | 5,217,342 | ||||||
Total Health Care | 20,773,862 | |||||||
Industrials - 11.5% |
| |||||||
API Group Corp.*,1 | 495,280 | 10,529,653 | ||||||
Armstrong World Industries, Inc. | 53,760 | 5,572,224 | ||||||
CACI International, Inc., Class A* | 32,641 | 8,318,885 | ||||||
Carlisle Cos., Inc. | 46,831 | 8,975,161 | ||||||
Colfax Corp.* | 109,274 | 4,938,092 | ||||||
Huntington Ingalls Industries, Inc. | 26,601 | 5,647,924 | ||||||
UniFirst Corp. | 32,641 | 7,317,786 | ||||||
Total Industrials | 51,299,725 | |||||||
Information Technology - 5.3% |
| |||||||
CDK Global, Inc. | 173,135 | 9,278,305 | ||||||
DXC Technology Co.* | 82,310 | 2,708,822 | ||||||
NCR Corp.* | 255,445 | 11,686,609 | ||||||
Total Information Technology | 23,673,736 | |||||||
Materials - 1.8% |
| |||||||
Royal Gold, Inc. | 72,377 | 8,096,091 | ||||||
Utilities - 1.6% |
| |||||||
Hawaiian Electric Industries, Inc. | 160,363 | 6,905,231 | ||||||
Total Common Stocks | 439,414,129 | |||||||
Short-Term Investments - 1.7% | ||||||||
Other Investment Companies - 1.7% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%2 | 2,593,744 | 2,593,744 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%2 | 2,593,743 | 2,593,743 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%2 | 2,672,342 | 2,672,342 | ||||||
Total Short-Term Investments |
| 7,859,829 | ||||||
Total Investments - 100.2% |
| 447,273,958 | ||||||
Other Assets, less Liabilities - (0.2)% |
| (1,049,133 | ) | |||||
Net Assets - 100.0%
|
|
| $446,224,825
|
|
The accompanying notes are an integral part of these financial statements.
9
Table of Contents
AMG River Road Mid Cap Value Fund Schedule of Portfolio Investments (continued) |
* | 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 $10,529,653 or 2.4% of net assets. |
2 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
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 2 | Level 3 | Total | |||||||||||||
Investments in Securities
| ||||||||||||||||
Common Stocks† | $ | 439,414,129 | — | — | $ | 439,414,129 | ||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | 7,859,829 | — | — | 7,859,829 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 447,273,958 | — | — | $ | 447,273,958 | ||||||||||
|
|
|
|
|
|
|
|
† | 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.
For the six months ended April 30, 2021, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
Realized Gain/(Loss) | Change in Unrealized Appreciation/Depreciation | |||||||||||||
Derivatives not accounted for as hedging instruments | Statement of Operations Location | Realized Gain/(Loss) | Statement of Operations Location | Change in Unrealized Appreciation/ Depreciation | ||||||||||
Equity contracts | Net realized (loss) on futures contracts | $(132,843) | Net change in unrealized appreciation/ depreciation on futures contracts | — |
The accompanying notes are an integral part of these financial statements.
The accompanying notes are an integral part of these financial statements.
10
Table of Contents
AMG River Road Large Cap Value Select Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | %of Net Assets | ||||
Financials | 27.8 | ||||
Communication Services | 25.2 | ||||
Consumer Discretionary | 10.9 | ||||
Health Care | 10.5 | ||||
Consumer Staples | 8.6 | ||||
Exchange Traded Funds | 5.6 | ||||
Utilities | 3.7 | ||||
Energy | 3.0 | ||||
Industrials | 2.4 | ||||
Short-Term Investments | 2.2 | ||||
Other Assets Less Liabilities |
| 0.1
|
|
TOP TEN HOLDINGS
Security Name | %of Net Assets | |
Berkshire Hathaway, Inc., Class B | 8.9 | |
Nestle SA, Sponsored ADR (Switzerland) | 8.6 | |
Liberty Broadband Corp., Class C | 7.2 | |
KKR & Co., Inc. | 5.1 | |
Comcast Corp., Class A | 4.3 | |
The Progressive Corp. | 4.3 | |
Liberty Media Corp.-Liberty SiriusXM, Class C | 4.2 | |
Fidelity National Financial, Inc. | 4.2 | |
Dollar Tree, Inc. | 4.2 | |
T-Mobile US, Inc. | 3.9 | |
| ||
Top Ten as a Group | 54.9 | |
| ||
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.
11
Table of Contents
AMG River Road Large Cap Value Select Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 92.1% | ||||||||
Communication Services - 25.2% |
| |||||||
Alphabet, Inc., Class C* | 471 | $1,135,167 | ||||||
Comcast Corp., Class A | 32,592 | 1,830,041 | ||||||
Liberty Broadband Corp., Class C* | 18,818 | 3,062,065 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C* | 39,571 | 1,789,796 | ||||||
Madison Square Garden Sports Corp.* | 6,432 | 1,188,891 | ||||||
T-Mobile US, Inc.* | 12,525 | 1,654,928 | ||||||
Total Communication Services | 10,660,888 | |||||||
Consumer Discretionary - 10.9% |
| |||||||
Dollar Tree, Inc.* | 15,286 | 1,756,361 | ||||||
LKQ Corp.* | 32,451 | 1,515,786 | ||||||
NVR, Inc.* | 265 | 1,329,797 | ||||||
Total Consumer Discretionary | 4,601,944 | |||||||
Consumer Staples - 8.6% | ||||||||
Nestle SA, Sponsored ADR (Switzerland) | 30,584 | 3,655,706 | ||||||
Energy - 3.0% | ||||||||
Pioneer Natural Resources Co. | 8,235 | 1,266,790 | ||||||
Financials - 27.8% | ||||||||
American Financial Group, Inc. | 9,688 | 1,190,268 | ||||||
Berkshire Hathaway, Inc., Class B* | 13,653 | 3,753,892 | ||||||
Fidelity National Financial, Inc. | 39,129 | 1,785,065 | ||||||
KKR & Co., Inc. | 37,731 | 2,134,820 | ||||||
The Progressive Corp. | 18,031 | 1,816,443 | ||||||
U.S. Bancorp | 18,361 | 1,089,725 | ||||||
Total Financials | 11,770,213 | |||||||
Health Care - 10.5% | ||||||||
CVS Health Corp. | 19,605 | 1,497,822 | ||||||
Shares | Value | |||||||
Premier, Inc., Class A | 38,530 | $1,362,036 | ||||||
UnitedHealth Group, Inc. | 3,923 | 1,564,492 | ||||||
Total Health Care | 4,424,350 | |||||||
Industrials - 2.4% | ||||||||
General Dynamics Corp. | 5,403 | 1,027,813 | ||||||
Utilities - 3.7% | ||||||||
American Electric Power Co., Inc. | 17,481 | 1,550,739 | ||||||
Total Common Stocks | 38,958,443 | |||||||
Exchange Traded Funds - 5.6% | ||||||||
iShares Russell 1000 Value ETF | 5,416 | 853,291 | ||||||
Vanguard Russell 1000 Value ETF | 22,316 | 1,542,035 | ||||||
Total Exchange Traded Funds | 2,395,326 | |||||||
Short-Term Investments - 2.2% | ||||||||
Other Investment Companies - 2.2% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%1 | 301,103 | 301,103 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%1 | 301,104 | 301,104 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%1 | 310,228 | 310,228 | ||||||
Total Short-Term Investments |
| 912,435 | ||||||
Total Investments - 99.9% |
| 42,266,204 | ||||||
Other Assets, less Liabilities - 0.1% |
| 49,954 | ||||||
Net Assets - 100.0% |
| $42,316,158 | ||||||
* | Non-income producing security. |
1 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
ADR American Depositary Receipt
ETF Exchange Traded Fund
The accompanying notes are an integral part of these financial statements.
12
Table of Contents
AMG River Road Large Cap Value Select 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
| ||||||||||||||||
Common Stocks† | $ | 38,958,443 | — | — | $ | 38,958,443 | ||||||||||
Exchange Traded Funds | 2,395,326 | — | — | 2,395,326 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | 912,435 | — | — | 912,435 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $42,266,204 | — | — | $42,266,204 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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.
For the six months ended April 30, 2021, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
Realized Gain/(Loss) | Change in Unrealized Appreciation/Depreciation | |||||||||||||
Derivatives not accounted for as hedging instruments | Statement of Operations Location | Realized Gain/(Loss) | Statement of Operations Location | Change in Unrealized Appreciation/ Depreciation | ||||||||||
Net realized gain on swaps | $ | 6,028,932 | Net change in unrealized appreciation/ depreciation on swaps | $ | 653,732 |
The accompanying notes are an integral part of these financial statements.
13
Table of Contents
AMG River Road Small Cap Value Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |||
Industrials | 28.1 | |||
Information Technology | 16.7 | |||
Financials | 15.9 | |||
Consumer Staples | 8.9 | |||
Communication Services | 5.2 | |||
Health Care | 5.1 | |||
Consumer Discretionary | 4.8 | |||
Energy | 2.7 | |||
Utilities | 1.4 | |||
Materials | 0.9 | |||
Real Estate | 0.8 | |||
Short-Term Investments | 9.8 | |||
Other Assets Less Liabilities |
| (0.3)
|
|
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Cannae Holdings, Inc. | 4.0 | |
White Mountains Insurance Group, Ltd. | 3.9 | |
Air Transport Services Group, Inc. | 3.8 | |
BJ’s Wholesale Club Holdings, Inc. | 3.6 | |
NCR Corp. | 3.5 | |
Avaya Holdings Corp. | 3.1 | |
Premier, Inc., Class A | 3.1 | |
Murphy USA, Inc. | 2.9 | |
UniFirst Corp. | 2.8 | |
Axis Capital Holdings, Ltd. (Bermuda) | 2.6 | |
| ||
Top Ten as a Group | 33.3 | |
| ||
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.
14
Table of Contents
AMG River Road Small Cap Value Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 90.5% | ||||||||
Communication Services - 5.2% | ||||||||
Liberty Latin America, Ltd., Class C* | 1,200,901 | $16,752,569 | ||||||
ORBCOMM, Inc.* | 1,550,681 | 17,770,804 | ||||||
Vonage Holdings Corp.* | 714,117 | 9,676,285 | ||||||
Total Communication Services | 44,199,658 | |||||||
Consumer Discretionary - 4.8% |
| |||||||
Extended Stay America, Inc. | 546,746 | 10,874,778 | ||||||
J Alexander’s Holdings, Inc.* | 467,527 | 4,801,502 | ||||||
Murphy USA, Inc. | 179,149 | 24,973,371 | ||||||
Total Consumer Discretionary | 40,649,651 | |||||||
Consumer Staples - 8.9% |
| |||||||
BJ’s Wholesale Club Holdings, Inc.* | 684,216 | 30,563,929 | ||||||
Hostess Brands, Inc.* | 1,398,004 | 21,375,481 | ||||||
Ingles Markets, Inc., Class A | 191,254 | 11,721,957 | ||||||
Whole Earth Brands, Inc.*,1 | 851,278 | 11,492,253 | ||||||
Total Consumer Staples | 75,153,620 | |||||||
Energy - 2.7% |
| |||||||
Evolution Petroleum Corp. | 814,068 | 2,694,565 | ||||||
HollyFrontier Corp. | 317,370 | 11,107,950 | ||||||
PBF Energy, Inc., Class A*,1 | 177,339 | 2,514,667 | ||||||
World Fuel Services Corp. | 214,680 | 6,640,052 | ||||||
Total Energy | 22,957,234 | |||||||
Financials - 15.9% |
| |||||||
American Equity Investment Life Holding Co. | 651,628 | 20,187,435 | ||||||
Axis Capital Holdings, Ltd. (Bermuda) | 389,225 | 21,718,755 | ||||||
Cannae Holdings, Inc.* | 854,605 | 33,927,819 | ||||||
Foley Trasimene Acquisition Corp., Class A* | 212,474 | 2,135,364 | ||||||
Genworth Financial, Inc., Class A* | 2,662,782 | 11,503,218 | ||||||
GoHealth, Inc., Class A* | 973,700 | 11,616,241 | ||||||
White Mountains Insurance Group, Ltd. | 28,525 | 33,243,891 | ||||||
Total Financials | 134,332,723 | |||||||
Health Care - 5.1% |
| |||||||
Computer Programs and Systems, Inc. | 270,550 | 8,121,911 | ||||||
MEDNAX, Inc.*,1 | 350,593 | 9,227,608 | ||||||
Premier, Inc., Class A | 738,671 | 26,112,020 | ||||||
Total Health Care | 43,461,539 | |||||||
Industrials - 28.1% |
| |||||||
Air Transport Services Group, Inc.* | 1,207,875 | 31,791,270 | ||||||
Argan, Inc. | 312,130 | 15,653,320 | ||||||
Armstrong World Industries, Inc. | 184,388 | 19,111,816 | ||||||
Atkore, Inc.* | 166,528 | 13,035,812 | ||||||
Barrett Business Services, Inc. | 76,699 | 5,624,338 | ||||||
Shares | Value | |||||||
Colfax Corp.*,1 | 164,148 | $7,417,848 | ||||||
Comfort Systems USA, Inc. | 250,718 | 20,649,134 | ||||||
CoreCivic, Inc., REIT *,1 | 1,241,419 | 9,645,826 | ||||||
Cubic Corp.1 | 86,265 | 6,456,073 | ||||||
GMS, Inc.* | 196,569 | 8,592,031 | ||||||
GrafTech International, Ltd. | 1,297,608 | 16,505,574 | ||||||
Harsco Corp.* | 469,759 | 8,422,779 | ||||||
MSC Industrial Direct Co., Inc., Class A | 49,719 | 4,482,665 | ||||||
nVent Electric PLC (United Kingdom) | 127,821 | 3,892,149 | ||||||
Park Aerospace Corp. | 466,833 | 6,297,577 | ||||||
SP Plus Corp.* | 257,678 | 8,846,086 | ||||||
TriMas Corp.* | 200,498 | 6,383,856 | ||||||
UniFirst Corp. | 104,035 | 23,323,607 | ||||||
Univar Solutions, Inc.* | 277,047 | 6,469,047 | ||||||
US Ecology, Inc.* | 141,783 | 6,020,106 | ||||||
Viad Corp.* | 228,247 | 9,508,770 | ||||||
Total Industrials | 238,129,684 | |||||||
Information Technology - 16.7% |
| |||||||
Avaya Holdings Corp.* | 908,938 | 26,150,146 | ||||||
CDK Global, Inc. | 401,317 | 21,506,578 | ||||||
Computer Services, Inc. | 184,199 | 11,236,139 | ||||||
DXC Technology Co.* | 553,525 | 18,216,508 | ||||||
ePlus, Inc.* | 190,352 | 19,103,727 | ||||||
Ituran Location and Control, Ltd. (Israel) | 396,781 | 8,669,665 | ||||||
NCR Corp.* | 650,321 | 29,752,186 | ||||||
Perspecta, Inc. | 239,638 | 7,014,204 | ||||||
Total Information Technology | 141,649,153 | |||||||
Materials - 0.9% |
| |||||||
Axalta Coating Systems, Ltd.* | 235,009 | 7,494,437 | ||||||
Real Estate - 0.8% |
| |||||||
Newmark Group, Inc., Class A | 640,853 | 6,889,170 | ||||||
Utilities - 1.4% |
| |||||||
Southwest Gas Holdings, Inc. | 161,999 | 11,294,570 | ||||||
Total Common Stocks | 766,211,439 | |||||||
Principal Amount | ||||||||
Short-Term Investments - 9.8% |
| |||||||
Joint Repurchase Agreements - 0.1%2 |
| |||||||
RBC Dominion Securities, Inc., dated 04/30/21, due 05/03/21, 0.010% total to be received $690,322 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.500%, 06/01/21 - 12/15/60, totaling $704,127) | $690,321 | 690,321 | ||||||
The accompanying notes are an integral part of these financial statements.
15
Table of Contents
AMG River Road Small Cap Value Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Other Investment Companies - 9.7% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%3 | 27,295,566 | $ | 27,295,566 | |||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%3 | 27,295,566 | 27,295,566 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%3 | 28,122,704 | 28,122,704 | ||||||
Total Other Investment Companies |
| 82,713,836 | ||||||
Total Short-Term Investments |
| 83,404,157 | ||||||
Value | ||||||
Total Investments - 100.3% | $ | 849,615,596 | ||||
Other Assets, less Liabilities - (0.3)% | (2,901,149 | ) | ||||
Net Assets - 100.0% | $ | 846,714,447 | ||||
* | Non-income producing security. |
1 | Some of these securities, amounting to $21,120,996 or 2.5% 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. |
3 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
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† | $ | 766,211,439 | — | — | $ | 766,211,439 | ||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $ | 690,321 | — | 690,321 | |||||||||||
Other Investment Companies | 82,713,836 | — | — | 82,713,836 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 848,925,275 | $ | 690,321 | — | $ | 849,615,596 | |||||||||
|
|
|
|
|
|
|
|
† | 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.
16
Table of Contents
AMG River Road Dividend All Cap Value Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Financials | 18.1 | |
Health Care | 13.4 | |
Information Technology | 12.9 | |
Utilities | 9.9 | |
Industrials | 9.0 | |
Energy | 8.8 | |
Consumer Staples | 8.6 | |
Consumer Discretionary | 8.2 | |
Communication Services | 8.2 | |
Real Estate | 1.1 | |
Short-Term Investments | 1.7 | |
Other Assets Less Liabilities | 0.1 |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
United Parcel Service, Inc., Class B | 4.2 | |
Corning, Inc. | 3.9 | |
The AES Corp. | 3.7 | |
Comcast Corp., Class A | 3.6 | |
Truist Financial Corp. | 3.3 | |
U.S. Bancorp | 2.9 | |
Verizon Communications, Inc. | 2.9 | |
Target Corp. | 2.9 | |
Cisco Systems, Inc. | 2.7 | |
Bristol-Myers Squibb Co. | 2.7 | |
| ||
Top Ten as a Group | 32.8 | |
| ||
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
Table of Contents
AMG River Road Dividend All Cap Value Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 98.2% | ||||||||
Communication Services - 8.2% | ||||||||
Comcast Corp., Class A | 343,522 | $19,288,760 | ||||||
The Interpublic Group of Cos., Inc. | 297,114 | 9,433,370 | ||||||
Verizon Communications, Inc. | 270,765 | 15,647,509 | ||||||
Total Communication Services | 44,369,639 | |||||||
Consumer Discretionary - 8.2% |
| |||||||
Genuine Parts Co. | 97,821 | 12,224,690 | ||||||
The Home Depot, Inc. | 19,770 | 6,398,956 | ||||||
Magna International, Inc. (Canada) | 110,105 | 10,396,114 | ||||||
Target Corp. | 75,208 | 15,587,610 | ||||||
Total Consumer Discretionary | 44,607,370 | |||||||
Consumer Staples - 8.6% |
| |||||||
The JM Smucker Co. | 40,856 | 5,351,727 | ||||||
Kimberly-Clark Corp. | 90,794 | 12,104,656 | ||||||
PepsiCo, Inc. | 69,219 | 9,978,611 | ||||||
Unilever PLC, Sponsored ADR (United Kingdom) | 240,283 | 14,109,418 | ||||||
Walgreens Boots Alliance, Inc. | 92,695 | 4,922,105 | ||||||
Total Consumer Staples | 46,466,517 | |||||||
Energy - 8.8% |
| |||||||
Enterprise Products Partners LP, MLP | 483,968 | 11,136,104 | ||||||
Kinder Morgan, Inc. | 776,345 | 13,236,682 | ||||||
Magellan Midstream Partners LP, MLP | 73,616 | 3,443,020 | ||||||
Marathon Petroleum Corp. | 188,598 | 10,495,479 | ||||||
The Williams Cos., Inc. | 373,039 | 9,087,230 | ||||||
Total Energy | 47,398,515 | |||||||
Financials - 18.1% |
| |||||||
Axis Capital Holdings, Ltd. (Bermuda) | 131,575 | 7,341,885 | ||||||
Chubb, Ltd. (Switzerland) | 63,577 | 10,909,178 | ||||||
CNA Financial Corp. | 188,387 | 8,841,002 | ||||||
Fidelity National Financial, Inc. | 273,863 | 12,493,630 | ||||||
Lazard, Ltd., Class A | 98,358 | 4,425,126 | ||||||
M&T Bank Corp. | 42,910 | 6,766,478 | ||||||
The PNC Financial Services Group, Inc. | 70,685 | 13,214,561 | ||||||
Stock Yards Bancorp, Inc. | 12,337 | 631,161 | ||||||
Truist Financial Corp. | 297,525 | 17,646,208 | ||||||
U.S. Bancorp | 265,681 | 15,768,167 | ||||||
Total Financials | 98,037,396 | |||||||
Health Care - 13.4% |
| |||||||
AbbVie, Inc. | 109,156 | 12,170,894 | ||||||
Amgen, Inc. | 44,534 | 10,672,128 | ||||||
Bristol-Myers Squibb Co. | 234,760 | 14,653,719 | ||||||
Medtronic PLC (Ireland) | 32,795 | 4,293,521 | ||||||
Shares | Value | |||||||
Merck & Co., Inc. | 90,095 | $6,712,078 | ||||||
Pfizer, Inc. | 260,937 | 10,085,215 | ||||||
Premier, Inc., Class A | 242,566 | 8,574,708 | ||||||
Quest Diagnostics, Inc. | 40,670 | 5,363,560 | ||||||
Total Health Care | 72,525,823 | |||||||
Industrials - 9.0% |
| |||||||
3M Co. | 46,253 | 9,118,316 | ||||||
General Dynamics Corp. | 51,584 | 9,812,824 | ||||||
Lockheed Martin Corp. | 18,418 | 7,009,154 | ||||||
United Parcel Service, Inc., Class B | 111,967 | 22,825,593 | ||||||
Total Industrials | 48,765,887 | |||||||
Information Technology - 12.9% |
| |||||||
Cass Information Systems, Inc. | 84,591 | 3,881,881 | ||||||
Cisco Systems, Inc. | 288,593 | 14,692,270 | ||||||
Corning, Inc. | 483,662 | 21,382,697 | ||||||
CSG Systems International, Inc. | 73,031 | 3,358,696 | ||||||
The Hackett Group, Inc. | 153,883 | 2,559,074 | ||||||
NortonLifeLock, Inc. | 244,717 | 5,288,334 | ||||||
Oracle Corp. | 118,638 | 8,991,574 | ||||||
QUALCOMM, Inc. | 70,119 | 9,732,517 | ||||||
Total Information Technology | 69,887,043 | |||||||
Real Estate - 1.1% |
| |||||||
Iron Mountain, Inc., REIT1 | 146,126 | 5,862,575 | ||||||
Utilities - 9.9% |
| |||||||
The AES Corp. | 721,800 | 20,080,476 | ||||||
Atlantica Sustainable Infrastructure PLC (United Kingdom) | 287,455 | 11,081,390 | ||||||
Black Hills Corp. | 118,703 | 8,188,133 | ||||||
IDACORP, Inc. | 82,768 | 8,482,065 | ||||||
Vistra Corp. | 352,258 | 5,942,592 | ||||||
Total Utilities | 53,774,656 | |||||||
Total Common Stocks | 531,695,421 | |||||||
Short-Term Investments - 1.7% | ||||||||
Other Investment Companies - 1.7% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%2 | 3,021,983 | 3,021,983 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%2 | 3,021,983 | 3,021,983 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%2 | 3,113,558 | 3,113,558 | ||||||
Total Short-Term Investments |
| 9,157,524 | ||||||
The accompanying notes are an integral part of these financial statements.
18
Table of Contents
AMG River Road Dividend All Cap Value Fund Schedule of Portfolio Investments (continued) |
Value | ||||||
Total Investments - 99.9% | $ | 540,852,945 | ||||
Other Assets, less Liabilities - 0.1% | 433,064 | |||||
Net Assets - 100.0% | $ | 541,286,009 | ||||
1 | Some of these securities, amounting to $3,618,503 or 0.7% 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. |
2 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
ADR American | Depositary Receipt |
MLP Master | Limited Partnership |
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† | $ | 531,695,421 | — | — | $ | 531,695,421 | ||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | 9,157,524 | — | — | 9,157,524 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 540,852,945 | — | — | $ | 540,852,945 | ||||||||||
|
|
|
|
|
|
|
|
† | 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
Table of Contents
AMG River Road Small-Mid Cap Value Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | ||||
Industrials | 29.9 | ||||
Financials | 18.7 | ||||
Information Technology | 11.7 | ||||
Consumer Discretionary | 10.9 | ||||
Consumer Staples | 9.8 | ||||
Health Care | 4.6 | ||||
Utilities | 3.2 | ||||
Communication Services | 2.8 | ||||
Energy | 2.4 | ||||
Materials | 0.8 | ||||
Real Estate | 0.6 | ||||
Short-Term Investments | 4.6 | ||||
Other Assets Less Liabilities
| (0.0)1 |
1 | Less then (0.05) |
TOP TEN HOLDINGS
Security Name | % of Net Assets | ||||
Cannae Holdings, Inc. | 4.0 | ||||
White Mountains Insurance Group, Ltd. | 4.0 | ||||
Air Transport Services Group, Inc. | 3.8 | ||||
LKQ Corp. | 3.7 | ||||
BJ’s Wholesale Club Holdings, Inc. | 3.5 | ||||
NCR Corp. | 3.5 | ||||
Fidelity National Financial, Inc. | 3.1 | ||||
Premier, Inc., Class A | 3.0 | ||||
Avaya Holdings Corp. | 3.0 | ||||
UniFirst Corp. | 3.0 | ||||
|
| ||||
Top Ten as a Group | 34.6 | ||||
|
| ||||
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
Table of Contents
AMG River Road Small-Mid Cap Value Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 95.4% | ||||||||
Communication Services - 2.8% | ||||||||
Liberty Latin America, Ltd., Class A* | 134,852 | $1,872,420 | ||||||
Liberty Latin America, Ltd., Class C* | 222,335 | 3,101,573 | ||||||
Vonage Holdings Corp.* | 176,683 | 2,394,055 | ||||||
Total Communication Services | 7,368,048 | |||||||
Consumer Discretionary - 10.9% | ||||||||
Advance Auto Parts, Inc. | 37,683 | 7,542,629 | ||||||
Extended Stay America, Inc. | 181,359 | 3,607,231 | ||||||
LKQ Corp.* | 208,761 | 9,751,226 | ||||||
Murphy USA, Inc. | 54,547 | 7,603,852 | ||||||
Total Consumer Discretionary | 28,504,938 | |||||||
Consumer Staples - 9.8% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 206,033 | 9,203,494 | ||||||
Hostess Brands, Inc.* | 480,727 | 7,350,316 | ||||||
Ingles Markets, Inc., Class A1 | 39,074 | 2,394,845 | ||||||
Molson Coors Beverage Co., Class B* | 91,337 | 5,018,968 | ||||||
Whole Earth Brands, Inc.* | 117,431 | 1,585,319 | ||||||
Total Consumer Staples | 25,552,942 | |||||||
Energy - 2.4% | ||||||||
HollyFrontier Corp. | 100,316 | 3,511,060 | ||||||
PBF Energy, Inc., Class A* | 44,348 | 628,854 | ||||||
World Fuel Services Corp. | 65,546 | 2,027,338 | ||||||
Total Energy | 6,167,252 | |||||||
Financials - 18.7% | ||||||||
American Equity Investment Life Holding Co. | 184,461 | 5,714,602 | ||||||
Axis Capital Holdings, Ltd. (Bermuda) | 87,639 | 4,890,256 | ||||||
Cannae Holdings, Inc.* | 266,304 | 10,572,269 | ||||||
CNA Financial Corp. | 69,476 | 3,260,509 | ||||||
Fidelity National Financial, Inc. | 176,677 | 8,060,005 | ||||||
Genworth Financial, Inc., Class A* | 806,941 | 3,485,985 | ||||||
GoHealth, Inc., Class A* | 223,994 | 2,672,248 | ||||||
White Mountains Insurance Group, Ltd. | 8,966 | 10,449,245 | ||||||
Total Financials | 49,105,119 | |||||||
Health Care - 4.6% | ||||||||
Computer Programs and Systems, Inc. | 57,161 | 1,715,973 | ||||||
MEDNAX, Inc.*,1 | 90,801 | 2,389,882 | ||||||
Premier, Inc., Class A | 227,727 | 8,050,150 | ||||||
Total Health Care | 12,156,005 | |||||||
Industrials - 29.9% | ||||||||
Air Transport Services Group, Inc.* | 375,778 | 9,890,477 | ||||||
Argan, Inc. | 99,631 | 4,996,495 | ||||||
Armstrong World Industries, Inc.
|
| 61,860
|
|
| 6,411,789
|
|
Shares | Value | |||||||
Atkore, Inc.* | 51,242 | $4,011,224 | ||||||
CACI International, Inc., Class A* | 10,475 | 2,669,659 | ||||||
Colfax Corp.* | 40,360 | 1,823,868 | ||||||
Comfort Systems USA, Inc. | 72,672 | 5,985,266 | ||||||
CoreCivic, Inc., REIT * | 394,365 | 3,064,216 | ||||||
Cubic Corp. | 21,123 | 1,580,845 | ||||||
Curtiss-Wright Corp. | 13,002 | 1,662,956 | ||||||
GrafTech International, Ltd. | 374,097 | 4,758,514 | ||||||
Harsco Corp.* | 140,325 | 2,516,027 | ||||||
Huntington Ingalls Industries, Inc. | 24,884 | 5,283,371 | ||||||
MSC Industrial Direct Co., Inc., Class A | 12,595 | 1,135,565 | ||||||
Nielsen Holdings PLC | 209,449 | 5,372,367 | ||||||
SP Plus Corp.* | 57,977 | 1,990,350 | ||||||
TriMas Corp.* | 31,110 | 990,542 | ||||||
UniFirst Corp. | 34,779 | 7,797,104 | ||||||
Univar Solutions, Inc.* | 83,755 | 1,955,679 | ||||||
US Ecology, Inc.* | 43,380 | 1,841,915 | ||||||
Viad Corp.* | 64,139 | 2,672,031 | ||||||
Total Industrials | 78,410,260 | |||||||
Information Technology - 11.7% |
| |||||||
Avaya Holdings Corp.* | 274,690 | 7,902,831 | ||||||
CDK Global, Inc. | 80,517 | 4,314,906 | ||||||
DXC Technology Co.* | 100,855 | 3,319,138 | ||||||
ePlus, Inc.* | 47,997 | 4,816,979 | ||||||
Ituran Location and Control, Ltd. (Israel) | 57,256 | 1,251,044 | ||||||
NCR Corp.* | 199,780 | 9,139,935 | ||||||
Total Information Technology | 30,744,833 | |||||||
Materials - 0.8% | ||||||||
Axalta Coating Systems, Ltd.* | 67,384 | 2,148,876 | ||||||
Real Estate - 0.6% | ||||||||
Newmark Group, Inc., Class A | 155,499 | 1,671,614 | ||||||
Utilities - 3.2% | ||||||||
OGE Energy Corp. | 75,001 | 2,517,034 | ||||||
Pinnacle West Capital Corp. | 28,124 | 2,380,697 | ||||||
Vistra Corp. | 210,959 | 3,558,878 | ||||||
Total Utilities | 8,456,609 | |||||||
Total Common Stocks
|
| 250,286,496
|
|
The accompanying notes are an integral part of these financial statements.
21
Table of Contents
AMG River Road Small-Mid Cap Value Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Short-Term Investments - 4.6% | ||||||||
Other Investment Companies - 4.6% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%2 | 3,960,902 | $ | 3,960,902 | |||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%2 | 3,960,901 | 3,960,901 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%2 | 4,080,928 | 4,080,928 | ||||||
Total Short-Term Investments
|
| 12,002,731
|
|
Value | ||||||
Total Investments - 100.0% | $ | 262,289,227 | ||||
Other Assets, less Liabilities - (0.0)% | (57,307 | ) | ||||
Net Assets - 100.0%
| $
| 262,231,920
|
|
* | Non-income producing security. |
1 | Some of these securities, amounting to $1,385,876 or 0.5% 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. |
2 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
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† | $ | 250,286,496 | — | — | $ | 250,286,496 | ||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | 12,002,731 | — | — | 12,002,731 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $262,289,227 | — | — | $262,289,227 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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
Table of Contents
AMG River Road Long-Short Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | Long Exposure1 | Short Exposure1 | Net Exposure1 | |||||||||
Financials | 23.2 | (0.5 | ) | 22.7 | ||||||||
Communication Services | 22.6 | (1.6 | ) | 21.0 | ||||||||
Health Care | 10.2 | (1.2 | ) | 9.0 | ||||||||
Consumer Discretionary | 8.7 | (2.3 | ) | 6.4 | ||||||||
Industrials | 5.8 | (6.3 | ) | (0.5 | ) | |||||||
Consumer Staples | 5.2 | (5.4 | ) | (0.2 | ) | |||||||
Utilities | 4.5 | 0.0 | 4.5 | |||||||||
Energy | 2.9 | 0.0 | 2.9 | |||||||||
Information Technology | 1.9 | (0.4 | ) | 1.5 | ||||||||
Materials | 1.5 | 0.0 | 1.5 | |||||||||
Real Estate | 0.0 | (0.8 | ) | (0.8 | ) | |||||||
Short Term Investments | 12.6 | — | 12.6 | |||||||||
Other Assets2
|
| 19.4
|
|
| —
|
|
| 19.4
|
|
1 | As a percentage of net assets. |
2 | Includes collateral for short sales. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
KKR & Co., Inc. | 4.6 | |
Liberty Broadband Corp., Class C | 4.4 | |
Ares Management Corp., Class A | 3.4 | |
T-Mobile US, Inc. | 3.2 | |
Liberty Media Corp.-Liberty SiriusXM, Class C | 3.1 | |
NVR, Inc. | 3.1 | |
Dollar General Corp. | 3.1 | |
Cannae Holdings, Inc. | 2.8 | |
Berkshire Hathaway, Inc., Class B | 2.6 | |
Intercontinental Exchange, Inc. | 2.6 | |
| ||
Top Ten as a Group | 32.9 | |
| ||
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
23
Table of Contents
AMG River Road Long-Short Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Long Positions - 99.1% | ||||||||
Common Stocks - 86.5% | ||||||||
Communication Services - 22.6% | ||||||||
Comcast Corp., Class A | 6,603 | $370,757 | ||||||
Liberty Broadband Corp., Class C* | 4,960 | 807,091 | ||||||
Liberty Media Corp.-Liberty Braves, Class C* | 16,782 | 464,694 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C*,1 | 12,714 | 575,054 | ||||||
Madison Square Garden Entertainment Corp.* | 4,916 | 445,439 | ||||||
Madison Square Garden Sports Corp.* | 2,175 | 402,027 | ||||||
News Corp., Class A | 9,229 | 241,754 | ||||||
Quebecor, Inc., Class B (Canada) | 9,989 | 268,589 | ||||||
T-Mobile US, Inc.*,1 | 4,499 | 594,453 | ||||||
Total Communication Services | 4,169,858 | |||||||
Consumer Discretionary - 8.7% | ||||||||
Dollar General Corp. | 2,615 | 561,571 | ||||||
Dollar Tree, Inc.*,1 | 2,428 | 278,977 | ||||||
LKQ Corp.* | 4,290 | 200,386 | ||||||
NVR, Inc.* | 114 | 572,064 | ||||||
Total Consumer Discretionary | 1,612,998 | |||||||
Consumer Staples - 5.2% | ||||||||
Albertsons Cos., Inc., Class A | 20,709 | 384,566 | ||||||
Fomento Economico Mexicano SAB de CV, Sponsored ADR (Mexico) | 4,721 | 365,878 | ||||||
Molson Coors Beverage Co., Class B* | 3,776 | 207,491 | ||||||
Total Consumer Staples | 957,935 | |||||||
Energy - 2.9% | ||||||||
Marathon Petroleum Corp. | 3,598 | 200,229 | ||||||
Texas Pacific Land Corp. | 215 | 331,132 | ||||||
Total Energy | 531,361 | |||||||
Financials - 23.2% | ||||||||
American Financial Group, Inc. | 2,412 | 296,338 | ||||||
Ares Management Corp., Class A | 11,801 | 619,789 | ||||||
Axis Capital Holdings, Ltd. (Bermuda) | 5,166 | 288,263 | ||||||
Berkshire Hathaway, Inc., Class B*,1 | 1,771 | 486,936 | ||||||
Cannae Holdings, Inc.* | 13,015 | 516,696 | ||||||
CNA Financial Corp. | 6,845 | 321,236 | ||||||
Fidelity National Financial, Inc. | 4,638 | 211,586 | ||||||
Intercontinental Exchange, Inc. | 4,069 | 478,962 | ||||||
KKR & Co., Inc. | 15,090 | 853,792 | ||||||
U.S. Bancorp | 3,327 | 197,457 | ||||||
Total Financials | 4,271,055 | |||||||
Health Care - 10.2% | ||||||||
Bristol-Myers Squibb Co. | 7,074 | 441,559 | ||||||
Shares | Value | |||||||
Centene Corp.*,1 | 5,329 | $329,013 | ||||||
CVS Health Corp. | 4,957 | 378,715 | ||||||
McKesson Corp.1 | 1,456 | 273,087 | ||||||
Premier, Inc., Class A | 12,814 | 452,975 | ||||||
Total Health Care | 1,875,349 | |||||||
Industrials - 5.8% | ||||||||
API Group Corp.*,2 | 21,244 | 451,648 | ||||||
CACI International, Inc., Class A* | 1,571 | 400,385 | ||||||
CoreCivic, Inc., REIT * | 27,599 | 214,444 | ||||||
Total Industrials | 1,066,477 | |||||||
Information Technology - 1.9% | ||||||||
Fiserv, Inc.*,1 | 2,996 | 359,879 | ||||||
Materials - 1.5% | ||||||||
Sandstorm Gold, Ltd. (Canada)* | 37,551 | 278,628 | ||||||
Utilities - 4.5% | ||||||||
American Electric Power Co., Inc. | 4,626 | 410,372 | ||||||
Atmos Energy Corp. | 3,969 | 411,149 | ||||||
Total Utilities | 821,521 | |||||||
Total Common Stocks |
| 15,945,061 | ||||||
Short-Term Investments - 12.6% | ||||||||
Other Investment Companies - 12.6% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%3 | 764,430 | 764,430 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%3 | 764,430 | 764,430 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%3 | 787,595 | 787,595 | ||||||
Total Short-Term Investments |
| 2,316,455 | ||||||
Total Investments - 99.1% |
| 18,261,516 | ||||||
Short Sales - (18.5%)4 | ||||||||
Common Stocks - (18.5%) | ||||||||
Communication Services - (1.6%) | ||||||||
AT&T, Inc. | (9,142 | ) | (287,150 | ) | ||||
Consumer Discretionary - (2.3%) | ||||||||
Best Buy Co., Inc. | (2,410 | ) | (280,210 | ) | ||||
Leggett & Platt, Inc. | (3,049 | ) | (151,444 | ) | ||||
Total Consumer Discretionary | (431,654 | ) | ||||||
Consumer Staples - (5.4%) | ||||||||
The Clorox Co. | (371 | ) | (67,708 | ) | ||||
Conagra Brands, Inc. | (7,613 | ) | (282,366 | ) | ||||
Energizer Holdings, Inc. | (3,847 | ) | (189,657 | ) | ||||
The accompanying notes are an integral part of these financial statements.
24
Table of Contents
AMG River Road Long-Short Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Consumer Staples - (5.4%) (continued) |
| |||||||
Kellogg Co. | (3,026 | ) | $(188,883 | ) | ||||
Lancaster Colony Corp. | (509 | ) | (94,017 | ) | ||||
McCormick & Co., Inc. | (1,835 | ) | (165,811 | ) | ||||
Total Consumer Staples | (988,442 | ) | ||||||
Financials - (0.5%) | ||||||||
Dime Community Bancshares, Inc. | (3,039 | ) | (100,652 | ) | ||||
Health Care - (1.2%) | ||||||||
HCA Healthcare, Inc. | (1,070 | ) | (215,134 | ) | ||||
Industrials - (6.3%) | ||||||||
ACCO Brands Corp. | (10,099 | ) | (86,649 | ) | ||||
Caterpillar, Inc. | (1,371 | ) | (312,739 | ) | ||||
Ennis, Inc. | (8,638 | ) | (179,066 | ) | ||||
Shares | Value | |||||||
Heartland Express, Inc. | (6,788 | ) | $(126,189 | ) | ||||
HNI Corp. | (3,810 | ) | (161,315 | ) | ||||
Union Pacific Corp. | (882 | ) | (195,883 | ) | ||||
Werner Enterprises, Inc. | (2,063 | ) | (95,373 | ) | ||||
Total Industrials | (1,157,214 | ) | ||||||
Information Technology - (0.4%) | ||||||||
Canon, Inc., Sponsored ADR (Japan) | (3,501 | ) | (83,079 | ) | ||||
Real Estate - (0.8%) | ||||||||
Omega Healthcare Investors, Inc., REIT | (3,883 | ) | (147,554 | ) | ||||
Total Common Stocks | (3,410,879 | ) | ||||||
Other Assets, less Liabilities - 19.4% |
| 3,579,962 | ||||||
Net Assets - 100.0% |
| $18,430,599 | ||||||
* | Non-income producing security. |
1 | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. As of April 30, 2021, value of securities held in the segregated account was $1,022,592. |
2 | 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 $451,648 or 2.5% of net assets. |
3 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
4 | The Fund is contractually responsible to the lender for any dividends payable on securities while those securities are outstanding in short position. These dividends and interest amounts are recorded as interest and dividend expense on the Statement of Operations. |
ADR American | Depositary Receipt |
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 | Value | |||||||||||||
Investments in Securities
| ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks† | $ | 15,945,061 | — | — | $ | 15,945,061 | ||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | 2,316,455 | — | — | 2,316,455 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 18,261,516 | — | — | 18,261,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Common Stocks† | (3,410,879 | ) | — | — | (3,410,879 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investments in Securities | $ | 14,850,637 | — | — | $ | 14,850,637 | ||||||||||
|
|
|
|
|
|
|
|
† | 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.
25
Table of Contents
AMG River Road Focused Absolute Value Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |||
Financials | 25.0 | |||
Communication Services | 20.7 | |||
Consumer Staples | 15.5 | |||
Consumer Discretionary | 11.2 | |||
Information Technology | 10.3 | |||
Health Care | 8.3 | |||
Utilities | 5.7 | |||
Industrials | 2.0 | |||
Short-Term Investments | 1.3 | |||
Other Assets Less Liabilities |
| 0.01
|
|
1 | Less than 0.05% |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Berkshire Hathaway, Inc., Class B | 9.8 | |
Liberty Broadband Corp., Class C | 9.4 | |
Fidelity National Financial, Inc. | 5.8 | |
Comcast Corp., Class A | 5.7 | |
Liberty Media Corp.-Liberty SiriusXM, Class C | 5.6 | |
LKQ Corp. | 5.5 | |
Unilever PLC, Sponsored ADR (United Kingdom) | 4.6 | |
Molson Coors Beverage Co., Class B | 4.5 | |
Bristol-Myers Squibb Co. | 4.5 | |
Cisco Systems, Inc. | 4.1 | |
| ||
Top Ten as a Group | 59.5 | |
| ||
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.
26
Table of Contents
AMG River Road Focused Absolute Value Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 98.7% | ||||||||
Communication Services - 20.7% | ||||||||
Comcast Corp., Class A | 209,199 | $11,746,524 | ||||||
Liberty Broadband Corp., Class C* | 119,127 | 19,384,345 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C* | 256,414 | 11,597,605 | ||||||
Total Communication Services | 42,728,474 | |||||||
Consumer Discretionary - 11.2% |
| |||||||
Advance Auto Parts, Inc. | 26,994 | 5,403,119 | ||||||
D.R. Horton, Inc. | 66,120 | 6,498,935 | ||||||
LKQ Corp.* | 240,797 | 11,247,628 | ||||||
Total Consumer Discretionary | 23,149,682 | |||||||
Consumer Staples - 15.5% |
| |||||||
BJ’s Wholesale Club Holdings, Inc.* | 111,500 | 4,980,705 | ||||||
Fomento Economico Mexicano SAB de CV, Sponsored ADR (Mexico) | 106,416 | 8,247,240 | ||||||
Molson Coors Beverage Co., Class B* | 167,795 | 9,220,335 | ||||||
Unilever PLC, Sponsored ADR (United Kingdom)1 | 161,258 | 9,469,070 | ||||||
Total Consumer Staples | 31,917,350 | |||||||
Financials - 25.0% |
| |||||||
Axis Capital Holdings, Ltd. (Bermuda) | 138,377 | 7,721,437 | ||||||
Berkshire Hathaway, Inc., Class B* | 73,728 | 20,271,514 | ||||||
Chubb, Ltd. (Switzerland) | 33,414 | 5,733,508 | ||||||
Fidelity National Financial, Inc. | 263,183 | 12,006,408 | ||||||
GoHealth, Inc., Class A* | 150,348 | 1,793,652 | ||||||
The Progressive Corp. | 40,200 | 4,049,748 | ||||||
Total Financials | 51,576,267 | |||||||
Health Care - 8.3% |
| |||||||
Bristol-Myers Squibb Co. | 147,456 | 9,204,204 | ||||||
Premier, Inc., Class A | 226,269 | 7,998,609 | ||||||
Total Health Care
|
| 17,202,813
|
|
Shares | Value | |||||||
Industrials - 2.0% |
| |||||||
CACI International, Inc., Class A* | 15,850 | $4,039,531 | ||||||
Information Technology - 10.3% |
| |||||||
Cisco Systems, Inc. | 167,002 | 8,502,072 | ||||||
Fiserv, Inc.* | 42,494 | 5,104,379 | ||||||
NCR Corp.* | 164,548 | 7,528,071 | ||||||
Total Information Technology | 21,134,522 | |||||||
Utilities - 5.7% |
| |||||||
The AES Corp. | 258,957 | 7,204,183 | ||||||
Vistra Corp. | 265,494 | 4,478,884 | ||||||
Total Utilities | 11,683,067 | |||||||
Total Common Stocks | 203,431,706 | |||||||
Short-Term Investments - 1.3% | ||||||||
Other Investment Companies - 1.3% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%2 | 923,692 | 923,692 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%2 | 923,692 | 923,692 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%2 | 951,682 | 951,682 | ||||||
Total Short-Term Investments |
| 2,799,066 | ||||||
Total Investments - 100.0% |
| 206,230,772 | ||||||
Other Assets, less Liabilities - (0.0)%# |
| (83,708 | ) | |||||
Net Assets - 100.0%
|
|
| $206,147,064
|
|
* | Non-income producing security. |
# | Less than 0.05%. |
1 | Some of these securities, amounting to $886,672 or 0.4% 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. |
2 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
ADR American | Depositary Receipt |
The accompanying notes are an integral part of these financial statements.
27
Table of Contents
AMG River Road Focused Absolute Value 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
| ||||||||||||||||
Common Stocks† | $ | 203,431,706 | — | — | $ | 203,431,706 | ||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | 2,799,066 | — | — | 2,799,066 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 206,230,772 | — | — | $ | 206,230,772 | ||||||||||
|
|
|
|
|
|
|
|
† | 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.
28
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Category | % of Net Assets | ||||
Corporate Bonds and Notes | 57.5 | ||||
U.S. Government and Agency Obligations | 24.8 | ||||
Mortgage-Backed Securities | 4.4 | ||||
Foreign Government Obligations | 1.8 | ||||
Municipal Bonds | 0.2 | ||||
Floating Rate Senior Loan Interests | 0.1 | ||||
Common Stocks | 0.0 | 1 | |||
Short-Term Investments | 11.9 | ||||
Other Assets Less Liabilities
|
| (0.7
| )
|
1 | Less than 0.05% |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
FHLMC, 2.500%, 11/01/50 | 2.6 | |
U.S. Treasury Bonds, 1.250%, 05/15/50 | 2.2 | |
FHLMC REMICS, Series 4934, Class P, 2.500%, 11/15/40 | 1.6 | |
U.S. Treasury Bonds, 1.875%, 02/15/51 | 1.5 | |
FNMA REMICS, Series 2012-20, Class ZT, 3.500%, 03/25/42 | 1.4 | |
The Bank of Nova Scotia, 0.700%, 04/15/24 (Canada) | 1.3 | |
Royal Bank of Canada, 1.200%, 04/27/26 (Canada) | 1.3 | |
FNMA, 2.140%, 10/01/29 | 1.3 | |
U.S. Treasury Notes, 0.125%, 01/15/24 | 1.1 | |
Verizon Communications, Inc., 4.400%, 11/01/34 | 1.1 | |
| ||
Top Ten as a Group
| 15.4 | |
|
Rating | % of Market Value1 | ||||
U.S. Government and Agency Obligations | 27.9 | ||||
Aaa/AAA | 0.3 | ||||
Aa/AA | 5.6 | ||||
A | 22.1 | ||||
Baa/BBB | 26.6 | ||||
Ba/BB | 14.8 | ||||
B | 2.6 | ||||
Caa/CCC & lower
|
| 0.1
|
|
1 | Includes market value of long-term fixed-income securities only. |
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
29
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Principal Amount | Value | |||||||
Corporate Bonds and Notes - 57.5% |
| |||||||
Financials - 16.9% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | $ | 1,450,000 | $ | 1,536,936 | ||||
Air Lease Corp. | 1,505,000 | 1,532,846 | ||||||
Ally Financial, Inc. | 3,000,000 | 3,048,600 | ||||||
American Tower Corp. 3.600%, 01/15/28 | 480,000 | 524,587 | ||||||
Avolon Holdings Funding, Ltd. (Cayman Islands) 3.250%, 02/15/274 | 1,545,000 | 1,574,357 | ||||||
Bank of America Corp. | ||||||||
(2.687% to 04/22/31 then SOFRRATE + 1.320%), 2.687%, 04/22/321,3 | 1,000,000 | 1,012,855 | ||||||
(3.974% to 02/07/29 then 3 month LIBOR + 1.210%), 3.974%, 02/07/301,3 | 1,390,000 | 1,551,719 | ||||||
Bank of Montreal (Canada) | 1,385,000 | 1,528,566 | ||||||
The Bank of Nova Scotia (Canada) 0.700%, 04/15/24 | 5,000,000 | 5,005,145 | ||||||
Berkshire Hathaway Finance Corp. 2.850%, 10/15/50 | 1,710,000 | 1,623,577 | ||||||
BNP Paribas SA (France) | 1,495,000 | 1,550,806 | ||||||
BOC Aviation USA Corp. | 3,500,000 | 3,516,748 | ||||||
BOC Aviation, Ltd. (Singapore) | 1,525,000 | 1,521,745 | ||||||
Citigroup, Inc. | ||||||||
(SOFRRATE + 0.669%), 0.679%, 05/01/253 | 2,000,000 | 2,002,975 | ||||||
(3 month LIBOR + 1.100%), 1.292%, 05/17/243 | 1,520,000 | 1,541,259 | ||||||
(2.561% to 05/01/31 then SOFRRATE + 1.167%), 2.561%, 05/01/321,3 | 1,000,000 | 1,000,226 | ||||||
Credit Agricole SA/London (France) 3.750%, 04/24/234 | 1,445,000 | 1,538,676 | ||||||
DBS Group Holdings, Ltd., GMTN (Singapore) | 1,529,000 | 1,543,350 | ||||||
Discover Financial Services 4.100%, 02/09/27 | 1,375,000 | 1,536,889 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
(3 month LIBOR + 1.170%), 1.364%, 05/15/263 | 1,510,000 | 1,535,824 | ||||||
Series T (3.800% to 05/10/26 then U.S. Treasury Yield Curve CMT 5 year + 2.969%), 3.800%, 05/10/261,2,3 | 500,000 | 501,500 | ||||||
Principal Amount | Value | |||||||
HSBC Holdings PLC (United Kingdom) | $ | 1,475,000 | $ | 1,515,296 | ||||
Iron Mountain, Inc. | 1,040,000 | 1,038,586 | ||||||
4.875%, 09/15/294 | 1,035,000 | 1,056,228 | ||||||
JPMorgan Chase & Co. | 1,525,000 | 1,541,965 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 430,000 | 467,638 | ||||||
Malayan Banking Bhd (Malaysia) | 1,500,000 | 1,522,785 | ||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 5.750%, 02/01/27 | 920,000 | 1,027,530 | ||||||
Morgan Stanley | 2,000,000 | 2,010,534 | ||||||
OneMain Finance Corp. | 900,000 | 1,025,712 | ||||||
7.125%, 03/15/26 | 905,000 | 1,058,850 | ||||||
Prudential Financial, Inc. | 1,450,000 | 1,617,999 | ||||||
Royal Bank of Canada (Canada) | 5,000,000 | 4,987,730 | ||||||
Synchrony Financial | 3,795,000 | 4,131,039 | ||||||
United Overseas Bank, Ltd., EMTN (Singapore) | 1,525,000 | 1,539,213 | ||||||
Wells Fargo & Co., MTN | 1,475,000 | 1,532,033 | ||||||
Willis North America, Inc. | 415,000 | 476,624 | ||||||
Total Financials | 63,278,948 | |||||||
Industrials - 36.1% | ||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC 3.500%, 03/15/294 | 1,085,000 | 1,043,000 | ||||||
Altria Group, Inc. | 1,334,000 | 1,518,872 | ||||||
American Airlines Inc/AAdvantage Loyalty IP, Ltd. 5.750%, 04/20/294 | 975,000 | 1,045,931 | ||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc. | 1,325,000 | 1,585,464 | ||||||
Aramark Services, Inc. 6.375%, 05/01/254 | 975,000 | 1,038,375 | ||||||
The accompanying notes are an integral part of these financial statements.
30
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Industrials - 36.1% (continued) | ||||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4.000%, 09/01/294 | $ | 1,025,000 | $ | 1,021,812 | ||||
BAT Capital Corp. | 1,465,000 | 1,523,427 | ||||||
Bausch Health Cos., Inc. (Canada) 6.250%, 02/15/294 | 985,000 | 1,042,884 | ||||||
7.000%, 01/15/284 | 940,000 | 1,023,472 | ||||||
Bell Canada (Canada) | ||||||||
Series US-3 0.750%, 03/17/24 | 1,010,000 | 1,009,304 | ||||||
4.300%, 07/29/49 | 1,400,000 | 1,616,709 | ||||||
Bristol-Myers Squibb Co. | 1,320,000 | 1,588,113 | ||||||
Burlington Northern Santa Fe LLC | 1,600,000 | 1,573,614 | ||||||
Caesars Entertainment, Inc. | 970,000 | 1,032,517 | ||||||
Canadian Natural Resources, Ltd. (Canada) | 1,400,000 | 1,532,343 | ||||||
CCL Industries, Inc. (Canada) | 220,000 | 225,892 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 3,520,000 | 3,585,613 | ||||||
4.750%, 03/01/304 | 1,000,000 | 1,045,000 | ||||||
Cheniere Corpus Christi Holdings LLC | 1,325,000 | 1,529,081 | ||||||
Cheniere Energy Partners LP | 80,000 | 83,500 | ||||||
Chesapeake Energy Corp. | 60,000 | 64,725 | ||||||
Cigna Corp. | 1,295,000 | 1,600,875 | ||||||
Clean Harbors, Inc. | 2,794,000 | 2,912,745 | ||||||
The Coca-Cola Co. | 1,100,000 | 1,101,198 | ||||||
Comcast Corp. | 1,675,000 | 1,561,854 | ||||||
3.400%, 04/01/30 | 1,425,000 | 1,553,471 | ||||||
Dell International LLC / EMC Corp. | 1,275,000 | 1,562,870 | ||||||
Dell International LLC/EMC Corp. | 1,763,000 | 2,089,700 | ||||||
Delta Air Lines, Inc. | 1,325,000 | 1,541,556 | ||||||
Delta Air Lines, Inc./SkyMiles IP, Ltd. | 1,410,000 | 1,549,483 | ||||||
Digicel Group Holdings, Ltd. (Bermuda) | 8,740 | 6,489 | ||||||
8.000%, 04/01/254,6 | 6,699 | 5,625 | ||||||
Principal Amount | Value | |||||||
DuPont de Nemours, Inc. | $ | 1,200,000 | $ | 1,585,775 | ||||
Empresa de Transporte de Pasajeros Metro SA (Chile) 5.000%, 01/25/474 | 1,350,000 | 1,567,897 | ||||||
Enable Midstream Partners LP | 1,405,000 | 1,539,671 | ||||||
Enterprise Products Operating LLC | 1,500,000 | 1,547,448 | ||||||
EOG Resources, Inc. | 1,325,000 | 1,531,663 | ||||||
EQM Midstream Partners LP | 60,000 | 59,472 | ||||||
EQT Corp. | 55,000 | 70,400 | ||||||
Exxon Mobil Corp. | 1,500,000 | 1,538,654 | ||||||
Ford Motor Co. | 830,000 | 1,069,231 | ||||||
9.000%, 04/22/25 | 860,000 | 1,051,350 | ||||||
Ford Motor Credit Co. LLC, GMTN | 975,000 | 1,042,636 | ||||||
General Electric Co. | 1,110,000 | 1,598,071 | ||||||
General Motors Financial Co, Inc. | 1,515,000 | 1,528,309 | ||||||
The Home Depot, Inc. | 1,390,000 | 1,583,248 | ||||||
JBS USA LUX, S.A./JBS USA Food Co./JBS USA Finance, Inc. | 935,000 | 1,029,678 | ||||||
6.500%, 04/15/294 | 925,000 | 1,039,478 | ||||||
Kraft Heinz Foods Co. | 880,000 | 1,029,312 | ||||||
5.200%, 07/15/45 | 875,000 | 1,037,319 | ||||||
Marathon Petroleum Corp. | 1,310,000 | 1,545,507 | ||||||
Mattamy Group Corp. (Canada) 5.250%, 12/15/274 | 2,450,000 | 2,574,031 | ||||||
McDonald’s Corp. | 1,405,000 | 1,550,866 | ||||||
4.450%, 03/01/47 | 1,335,000 | 1,571,587 | ||||||
MEG Energy Corp. (Canada) | 15,000 | 15,395 | ||||||
7.125%, 02/01/274 | 70,000 | 74,832 | ||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd. | 1,390,000 | 1,527,262 | ||||||
Mondelez International, Inc. | 1,645,000 | 1,554,800 | ||||||
Nutrien, Ltd. (Canada) | 1,350,000 | 1,534,375 | ||||||
The accompanying notes are an integral part of these financial statements.
31
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Industrials - 36.1% (continued) |
| |||||||
OAS Finance, Ltd. (Virgin Islands, British) | $400,000 | $3,000 | ||||||
8.875%, 05/31/211,2,8 | 600,000 | 4,500 | ||||||
Occidental Petroleum Corp. | 160,000 | 153,000 | ||||||
8.000%, 07/15/25 | 40,000 | 46,775 | ||||||
ONEOK, Inc. | 1,500,000 | 1,568,049 | ||||||
Oracle Corp. | 1,505,000 | 1,512,512 | ||||||
Parkland Corp. (Canada) | 95,000 | 101,275 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 1,370,000 | 1,542,083 | ||||||
Pilgrim’s Pride Corp. | 2,070,000 | 2,199,375 | ||||||
Post Holdings, Inc. | 1,025,000 | 1,036,531 | ||||||
5.500%, 12/15/294 | 950,000 | 1,023,910 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 1,085,000 | 1,049,737 | ||||||
6.250%, 01/15/284 | 985,000 | 1,030,724 | ||||||
PulteGroup, Inc. | 1,325,000 | 1,546,109 | ||||||
Rattler Midstream LP | 45,000 | 47,512 | ||||||
Rogers Communications, Inc. (Canada) | 1,425,000 | 1,524,042 | ||||||
Sabine Pass Liquefaction LLC | 1,335,000 | 1,535,811 | ||||||
Sirius XM Radio, Inc. | 975,000 | 1,008,101 | ||||||
Six Flags Theme Parks, Inc. | 945,000 | 1,023,303 | ||||||
Smithfield Foods, Inc. | 3,705,000 | 4,074,189 | ||||||
Sprint Corp. | 850,000 | 1,043,375 | ||||||
Standard Industries, Inc. | 975,000 | 1,006,688 | ||||||
Steel Dynamics, Inc. | 3,825,000 | 4,116,623 | ||||||
Sunoco LP/Sunoco Finance Corp. | 25,000 | 25,281 | ||||||
5.500%, 02/15/26 | 120,000 | 124,183 | ||||||
6.000%, 04/15/27 | 60,000 | 63,168 | ||||||
Superior Plus LP / Superior General Partner, Inc. (Canada) | 1,000,000 | 1,021,395 | ||||||
Principal Amount | Value | |||||||
Sydney Airport Finance Co. Pty, Ltd. (Australia) | $990,000 | $1,058,748 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 100,000 | 104,663 | ||||||
6.500%, 07/15/27 | 60,000 | 65,399 | ||||||
Target Corp. | 1,400,000 | 1,552,429 | ||||||
TELUS Corp. (Canada) | 1,375,000 | 1,539,486 | ||||||
4.300%, 06/15/49 | 1,400,000 | 1,603,374 | ||||||
T-Mobile USA, Inc. | 4,325,000 | 4,148,626 | ||||||
2.875%, 02/15/31 | 1,055,000 | 1,031,263 | ||||||
4.750%, 02/01/28 | 975,000 | 1,043,250 | ||||||
Toll Brothers Finance Corp. | 2,000,000 | 2,244,790 | ||||||
Transcanada Trust (Canada) | 1,475,000 | 1,570,101 | ||||||
United Rentals North America Inc. | 1,035,000 | 1,042,897 | ||||||
US Foods, Inc. | 1,025,000 | 1,035,250 | ||||||
Valero Energy Corp. | 1,450,000 | 1,531,626 | ||||||
Verizon Communications, Inc. | 3,575,000 | 4,172,396 | ||||||
Videotron, Ltd. (Canada) | 975,000 | 1,032,471 | ||||||
Vodafone Group PLC (United Kingdom) | 1,325,000 | 1,526,058 | ||||||
(7.000% to 04/04/29 then USD Swap 5 year + 4.873%), 7.000%, 04/04/791,3 | 850,000 | 1,036,899 | ||||||
Volkswagen Group of America Finance LLC | 1,395,000 | 1,517,929 | ||||||
Western Midstream Operating LP | 70,000 | 74,113 | ||||||
5.300%, 02/01/307 | 75,000 | 81,938 | ||||||
WPX Energy, Inc. | 55,000 | 58,790 | ||||||
Yum! Brands, Inc. | 1,080,000 | 1,067,515 | ||||||
4.750%, 01/15/304 | 1,000,000 | 1,071,270 | ||||||
Total Industrials | 135,256,313 | |||||||
Utilities - 4.5% | ||||||||
AES Andres, B.V. / Dominican Power Partners (Netherlands) | 730,000 | 760,353 | ||||||
Duke Energy Corp. | 1,500,000 | 1,610,496 | ||||||
The accompanying notes are an integral part of these financial statements.
32
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Utilities - 4.5% (continued) | ||||||||
Duke Energy Progress LLC | $1,390,000 | $1,595,840 | ||||||
The East Ohio Gas Co. | 1,700,000 | 1,628,701 | ||||||
Emera US Finance LP | 1,400,000 | 1,531,476 | ||||||
Empresa Generadora de Electricidad Itabo, S.A. (Dominican Republic) | 270,000 | 281,227 | ||||||
NextEra Energy Capital Holdings, Inc. | 1,575,000 | 1,559,033 | ||||||
NRG Energy, Inc. | 1,035,000 | 1,015,333 | ||||||
Ovintiv, Inc. | 60,000 | 79,359 | ||||||
Stoneway Capital Corp. (Canada) | 797,025 | 243,093 | ||||||
Tampa Electric Co. | 1,475,000 | 1,588,513 | ||||||
Tucson Electric Power Co. | 1,425,000 | 1,595,983 | ||||||
Vistra Operations Co. LLC | 3,450,000 | 3,592,312 | ||||||
Total Utilities | 17,081,719 | |||||||
Total Corporate Bonds and Notes | 215,616,980 | |||||||
Mortgage-Backed | ||||||||
BANK | ||||||||
Series 2017-BNK5, | 300,000 | 318,176 | ||||||
Series 2020-BN28, Class AS | 524,000 | 505,459 | ||||||
Series 2020-BN28, Class B | 524,000 | 512,014 | ||||||
BBCMS Mortgage Trust | ||||||||
Series 2017-DELC, Class C | 132,000 | 132,050 | ||||||
Series 2017-DELC, Class D | 150,000 | 150,046 | ||||||
Series 2017-DELC, Class E | 302,000 | 300,782 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2020-B17, Class B | 340,000 | 346,583 | ||||||
Series 2020-B19, Class AS | 524,000 | 512,669 | ||||||
Series 2020-B19, Class B | 524,000 | 513,785 | ||||||
Principal Amount | Value | |||||||
BX Trust | ||||||||
4.075%, 12/09/413,4 | $709,000 | $719,910 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2016-GC36, Class B 4.909%, 02/10/493 | 763,000 | 833,231 | ||||||
Commercial Mortgage Pass Through Certificates | ||||||||
Series 2015-LC23, Class C | 585,000 | 634,923 | ||||||
Series 2016-CR28, Class C | 726,000 | 789,066 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2017-CX10, Class B | 506,000 | 535,809 | ||||||
Series 2018-C14, Class C | 880,000 | 967,042 | ||||||
CSMC Trust | ||||||||
Series 2017-CHOP, Class D (1 month LIBOR + 1.900%), 2.015%, 07/15/323,4 | 261,000 | 250,964 | ||||||
DBJPM | ||||||||
Series 2016-C1, Class C 3.488%, 05/10/493 | 534,000 | 519,090 | ||||||
GSCG Trust | ||||||||
Series 2019-600C, Class D 3.764%, 09/06/344 | 862,000 | 872,589 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2006-LDP8, Class X | 6,448 | 0 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C23, Class C | 330,824 | 344,202 | ||||||
Series 2014-C25, Class C | 450,000 | 451,373 | ||||||
Series 2015-C33, Class C | 670,000 | 713,910 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
Series 2020-COR7, Class C 3.850%, 05/13/533 | 496,000 | 520,905 | ||||||
UBS Commercial Mortgage Trust | ||||||||
Series 2018-C8, Class C | 917,000 | 1,016,690 | ||||||
Series 2019-C16, Class B | 769,000 | 860,753 | ||||||
Series 2019-C18, Class B | 717,000 | 770,098 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2016-C33, Class C | 517,000 | 543,942 | ||||||
Series 2019-C49, Class C | 350,000 | 390,229 | ||||||
Series 2019-C50, Class B | 637,000 | 705,028 | ||||||
The accompanying notes are an integral part of these financial statements.
33
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Mortgage-Backed Securities - 4.4% (continued) | ||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2019-C50, Class C | $637,000 | $668,797 | ||||||
Total Mortgage-Backed Securities | 16,400,115 | |||||||
Municipal Bonds - 0.2% | ||||||||
California State General Obligation, School Improvements | 330,000 | 543,557 | ||||||
Missouri Highway & Transportation Commission, Build America Bonds | 245,000 | 277,516 | ||||||
Total Municipal Bonds | 821,073 | |||||||
U.S. Government and Agency | ||||||||
Fannie Mae - 6.7% | ||||||||
FNMA, | 7,000,000 | 7,280,074 | ||||||
2.260%, 01/01/30 | 3,200,000 | 3,353,640 | ||||||
3.000%, 03/01/45 | 1,078,393 | 1,137,638 | ||||||
3.500%, 12/01/31 to 01/01/32 | 382,100 | 411,989 | ||||||
4.000%, 09/01/31 to 06/01/42 | 122,475 | 132,265 | ||||||
4.500%, 03/01/42 | 37,401 | 40,032 | ||||||
FNMA REMICS, | ||||||||
Series 2010-156, Class ZC | 398,731 | 423,091 | ||||||
Series 2011-121, Class JP | 73,502 | 79,253 | ||||||
Series 2012-105, Class Z | 1,349,831 | 1,458,209 | ||||||
Series 2012-127, Class PA | 878,063 | 935,964 | ||||||
Series 2012-20, Class ZT | 4,727,815 | 5,044,926 | ||||||
Series 2012-31, Class Z | 1,429,220 | 1,579,300 | ||||||
Series 2015-9, Class HA | 2,591,199 | 2,759,416 | ||||||
Series 2015-95, Class AP | 583,649 | 590,331 | ||||||
Total Fannie Mae | 25,226,128 | |||||||
Freddie Mac - 8.2% | ||||||||
FHLMC, | 9,236,916 | 9,595,093 | ||||||
3.000%, 04/01/47 | 1,460,851 | 1,550,173 | ||||||
FHLMC Gold, | 3,075,772 | 3,258,705 | ||||||
3.500%, 10/01/42 | 272,134 | 286,993 | ||||||
4.000%, 10/01/41 | 37,974 | 40,707 | ||||||
5.000%, 07/01/35 | 11,510 | 13,324 | ||||||
Principal Amount | Value | |||||||
FHLMC REMICS, | ||||||||
Series 2909, Class Z | $134,531 | $152,953 | ||||||
Series 3626, Class AZ | 76,363 | 88,232 | ||||||
Series 3792, Class SE | 527,962 | 579,399 | ||||||
Series 3872, Class BA | 20,165 | 21,826 | ||||||
Series 3894, Class ZA | 101,378 | 114,658 | ||||||
Series 3957, Class HZ | 560,118 | 586,294 | ||||||
Series 4016, Class KZ | 2,587,044 | 2,907,262 | ||||||
Series 4316, Class BZ | 3,709,315 | 3,923,663 | ||||||
Series 4750, Class PA | 1,609,585 | 1,662,231 | ||||||
Series 4934, Class P | 5,600,712 | 5,877,010 | ||||||
Total Freddie Mac | 30,658,523 | |||||||
Ginnie Mae - 0.1% | ||||||||
GNMA, | ||||||||
Series 2004-35, Class SA | 12,427 | 20,331 | ||||||
Series 2009-32, Class ZE | 138,462 | 152,111 | ||||||
Series 2009-35, Class DZ | 163,657 | 179,895 | ||||||
Series 2009-75, Class GZ | 158,148 | 173,963 | ||||||
Total Ginnie Mae | 526,300 | |||||||
U.S. Treasury | ||||||||
U.S. Treasury Bonds, | 10,375,000 | 8,052,378 | ||||||
1.875%, 02/15/41 to 02/15/51 | 9,250,000 | 8,537,039 | ||||||
4.750%, 02/15/37 | 2,030,000 | 2,811,946 | ||||||
U.S. Treasury Notes, | 4,223,000 | 4,205,514 | ||||||
0.250%, 11/15/23 | 720,000 | 720,113 | ||||||
1.125%, 02/15/31 | 2,000,000 | 1,910,156 | ||||||
1.625%, 10/31/26 | 1,970,000 | 2,038,527 | ||||||
2.125%, 09/30/24 | 2,590,000 | 2,737,964 | ||||||
2.250%, 10/31/24 | 3,220,000 | 3,419,552 | ||||||
2.750%, 02/28/25 | 1,950,000 | 2,112,970 | ||||||
Total U.S. Treasury Obligations | 36,546,159 | |||||||
Total U.S. Government and Agency Obligations | 92,957,110 | |||||||
Foreign Government | ||||||||
Abu Dhabi Government International Bond (United Arab Emirates) 0.750%, 09/02/234 | 225,000 | 226,446 | ||||||
The accompanying notes are an integral part of these financial statements.
34
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Schedule of Portfolio Investments (continued) |
| Principal Amount | | Value | |||||
Foreign Government Obligations - 1.8% |
| |||||||
(continued) |
| |||||||
Abu Dhabi Government International Bond (United Arab Emirates) | $225,000 | $238,275 | ||||||
3.125%, 04/16/304 | 325,000 | 351,570 | ||||||
Indonesia Government International Bond (Indonesia) | 200,000 | 210,697 | ||||||
Mexico Government International Bond (Mexico) | 610,000 | 661,896 | ||||||
4.150%, 03/28/27 | 231,000 | 259,153 | ||||||
Perusahaan Penerbit SBSN Indonesia III (Indonesia) | 500,000 | 557,645 | ||||||
Peruvian Government International Bond (Peru) | 325,000 | 334,627 | ||||||
2.783%, 01/23/31 | 550,000 | 551,787 | ||||||
Philippine Government International Bond (Philippines) | 325,000 | 334,953 | ||||||
Qatar Government International Bond (Qatar) | 775,000 | 833,590 | ||||||
3.875%, 04/23/23 | 325,000 | 346,718 | ||||||
Saudi Government International Bond (Saudi Arabia) | 650,000 | 656,487 | ||||||
2.875%, 03/04/23 | 400,000 | 416,564 | ||||||
2.900%, 10/22/254 | 725,000 | 771,153 | ||||||
Total Foreign Government Obligations |
| |||||||
(Cost $6,571,178) | 6,751,561 | |||||||
Floating Rate Senior Loan Interests - 0.1% |
| |||||||
Industrials - 0.1% |
| |||||||
Intelsat Jackson Holdings, S.A., SuperPriority Secured DIP Term Loan, (3 month LIBOR + 5.500%), 6.500%, 07/14/213 | 35,336 | 35,822 | ||||||
Intelsat Jackson Holdings, S.A., Tranche B-3 Term Loan, | 235,000 | 239,490 | ||||||
Tapstone Energy Holdings III Subordinated Term Loan, | 1,214 | 1,215 | ||||||
Total Floating Rate Senior Loan Interests |
| |||||||
(Cost $270,029) | 276,527 | |||||||
Shares | ||||||||
Common Stocks - 0.0%# |
| |||||||
Energy - 0.0%# |
| |||||||
Foresight10 | 202 | 3,627 | ||||||
Tapstone Energy10 | 1,579 | 3,584 | ||||||
Total Energy | 7,211 | |||||||
| Principal Amount | | Value | |||||
Short-Term Investments - 11.9% |
| |||||||
Joint Repurchase Agreements - 1.0%11 |
| |||||||
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 | ||||||
Citigroup Global Markets, Inc., dated 04/30/21, due 05/03/21, 0.010% total to be received $789,696 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% -6.000%, 05/15/21 - 04/20/51, totaling $805,489) | 789,695 | 789,695 | ||||||
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 | ||||||
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 | 3,789,695 | |||||||
Commercial Paper - 7.3% |
| |||||||
EPCOR, 0.193%, 05/25/2112 | 2,500,000 | 2,499,679 | ||||||
Suncor Energy, Inc., 0.230%, 07/16/2112 | 1,580,000 | 1,579,202 | ||||||
Enbridge Pipelines, Inc., 0.144%, 05/21/2112 | 23,225,000 | 23,223,155 | ||||||
Total Commercial Paper | 27,302,036 | |||||||
Shares | ||||||||
Other Investment Companies - 3.6% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%13 | 4,455,488 | 4,455,488 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%13 | 4,455,487 | 4,455,487 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%13 | 4,590,502 | 4,590,502 | ||||||
Total Other Investment Companies |
| 13,501,477 | ||||||
Total Short-Term Investments |
| |||||||
(Cost $44,593,240) | 44,593,208 | |||||||
Total Investments - 100.7% |
| |||||||
(Cost $373,776,842) | 377,423,785 | |||||||
Other Assets, less Liabilities - (0.7)% |
| (2,439,310 | ) | |||||
Net Assets - 100.0% |
| $ | 374,984,475 | |||||
The accompanying notes are an integral part of these financial statements.
35
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Schedule of Portfolio Investments (continued) |
# Less than 0.05%.
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 these securities amounted to $78,976,652 or 21.1% of net assets. |
5 | Some of these securities, amounting to $4,779,456 or 1.3% 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. |
6 | Payment-in-Kind Security: The security may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
7 | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
8 | Security is in default. Issuer has failed to make a timely payment of either principal or either interest or has failed to comply with some provision of the bond indenture. |
9 | Interest only security. This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
10 | Security’s value was determined by using significant unobservable inputs. |
11 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
12 | Represents yield to maturity at April 30, 2021. |
13 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
CMT | Constant Maturity Treasury | |
EMTN | European Medium Term Note | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
GMTN | Global Medium-Term Notes | |
GNMA | Ginnie Mae | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium-Term Note | |
REMICS | Real Estate Mortgage Investment Conduit | |
SOFRRATE | Secured Overnight Financing Rate | |
USD | United States Dollar |
The following schedule shows the value of affiliated investments for the six months ended April 30, 2021.
Affiliated Issuers | Number of shares | Purchases | Sales | Net realized gain (loss) for the period | Net change in appreciation/ depreciation | Amount of Dividends or Interest | Value | |||||||||||
DoubleLine Global Bond Fund, Class I | — | — | $23,596,685 | $(60,487) | $(647,642) | $389,585 | — |
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 | ||||||||||||||||
Energy | — | — | $7,211 | $7,211 | ||||||||||||
Corporate Bonds and Notes† | — | $215,616,980 | — | 215,616,980 | ||||||||||||
Mortgage-Backed Securities | — | 16,400,115 | — | 16,400,115 | ||||||||||||
Municipal Bonds | — | 821,073 | — | 821,073 | ||||||||||||
U.S. Government and Agency Obligations† | — | 92,957,110 | — | 92,957,110 | ||||||||||||
Foreign Government Obligations | — | 6,751,561 | — | 6,751,561 | ||||||||||||
Floating Rate Senior Loan Interests | ||||||||||||||||
Industrials | — | 275,312 | 1,215 | 276,527 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | — | 27,302,036 | — | 27,302,036 | ||||||||||||
Joint Repurchase Agreements | — | 3,789,695 | — | 3,789,695 | ||||||||||||
Other Investment Companies | $13,501,477 | — | — | 13,501,477 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment in Securities | $13,501,477 | $363,913,882 | $8,426 | $377,423,785 | ||||||||||||
|
|
|
|
|
|
|
|
† 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.
The accompanying notes are an integral part of these financial statements.
36
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Schedule of Portfolio Investments (continued) |
The following table below is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at April 30, 2021:
Common Stock | Mortgage-Backed Securities | Floating Rate Senior Loan Interests | ||||||||||
Balance as of October 31, 2020 | $3,328 | $4,870,800 | $1,215 | |||||||||
Accrued discounts (premiums) | — | — | 47 | |||||||||
Realized gain (loss) | — | — | — | |||||||||
Change in unrealized appreciation/depreciation | 3,883 | 28,200 | (47 | ) | ||||||||
Purchases | — | — | — | |||||||||
Sales | — | (4,899,000 | ) | — | ||||||||
Transfers in to Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance as of April 30, 2021 | $7,211 | $0 | $1,215 | |||||||||
| ||||||||||||
Net change in unrealized appreciation/depreciation on investments still held at April 30, 2021 | $3,883 | $0 | $(47 | ) |
The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy as of April 30, 2021. The table below is not intended to be all-inclusive, but rather provides information on the significant Level 3 inputs as they relate to the Fund’s fair value measurements:
Quantitative Information about Level 3 Fair Value Measurements
Fair Value as of | Valuation | Unobservable | Range | Median | Impact to Valuation from | |||||||
Common Stock | $7,221 | Market Approach | EV/Sale Multiple | N/A | N/A | Increase | ||||||
Floating Rate Senior Rate Interests | $1,215 | Market Approach | EV/Sale Multiple | N/A | N/A | Increase |
(a) | Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end. |
For the six months ended April 30, 2021, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
Realized Gain/(Loss) | Change in Unrealized Appreciation/Depreciation | |||||||||||
Derivatives not accounted for as hedging instruments | Statement of Operations Location | Realized Gain/(Loss) | Statement of Operations Location | Change in Unrealized Appreciation/ Depreciation | ||||||||
Interest rate contracts | Net realized loss on futures contracts | $(291,164 | ) | Net change in unrealized appreciation/depreciation on futures contracts | — |
The accompanying notes are an integral part of these financial statements.
37
Table of Contents
AMG Beutel Goodman International Equity Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Industrials | 18.5 | |
Health Care | 16.0 | |
Consumer Staples | 12.8 | |
Communication Services | 12.4 | |
Materials | 10.9 | |
Information Technology | 7.8 | |
Energy | 7.2 | |
Consumer Discretionary | 6.6 | |
Financials | 6.1 | |
Other Assets Less Liabilities | 1.7 |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
IMI PLC (United Kingdom) | 6.0 | |
Koninklijke KPN, N.V. (Netherlands) | 4.9 | |
Konecranes Oyj (Finland) | 4.8 | |
Carlsberg A.S. (Denmark) | 4.8 | |
Ampol, Ltd. (Australia) | 4.6 | |
GlaxoSmithKline PLC (United Kingdom) | 4.2 | |
Atea A.S.A. (Norway) | 4.0 | |
dormakaba Holding AG (Switzerland) | 3.9 | |
Henkel AG & Co. KGaA (Germany) | 3.8 | |
Smiths Group PLC (United Kingdom) | 3.8 | |
| ||
Top Ten as a Group | 44.8 | |
| ||
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
38
Table of Contents
AMG Beutel Goodman International Equity Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 98.3% | ||||||||
Communication Services - 12.4% |
| |||||||
Hakuhodo DY Holdings, Inc. (Japan) | 188,670 | $3,193,113 | ||||||
ITV PLC (United Kingdom)* | 527,827 | 882,191 | ||||||
Koninklijke KPN, N.V. (Netherlands) | 1,329,122 | 4,584,961 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 118,020 | 2,975,625 | ||||||
Total Communication Services | 11,635,890 | |||||||
Consumer Discretionary - 6.6% |
| |||||||
Cie Generale des Etablissements Michelin SCA (France) | 21,456 | 3,104,697 | ||||||
EssilorLuxottica, S.A. (France) | 18,698 | 3,112,092 | ||||||
Total Consumer Discretionary | 6,216,789 | |||||||
Consumer Staples - 12.8% |
| |||||||
Carlsberg A.S. (Denmark) | 25,354 | 4,448,108 | ||||||
Essity AB, Class B (Sweden) | 93,286 | 3,044,669 | ||||||
Henkel AG & Co. KGaA (Germany) | 36,079 | 3,584,541 | ||||||
Unilever PLC (United Kingdom) | 15,600 | 913,803 | ||||||
Total Consumer Staples | 11,991,121 | |||||||
Energy - 7.2% | ||||||||
Ampol, Ltd. (Australia) | 219,958 | 4,335,785 | ||||||
Royal Dutch Shell PLC, Class B (Netherlands) | 2,057 | 36,807 | ||||||
TGS NOPEC Geophysical Co., A.S.A. (Norway) | 156,030 | 2,357,266 | ||||||
Total Energy | 6,729,858 | |||||||
Financials - 6.1% | ||||||||
DBS Group Holdings, Ltd. (Singapore) | 134,570 | 3,015,857 | ||||||
Julius Baer Group, Ltd. (Switzerland) | 42,467 | 2,672,765 | ||||||
Total Financials | 5,688,622 | |||||||
Health Care - 16.0% | ||||||||
GlaxoSmithKline PLC (United Kingdom) | 213,585 | 3,947,001 | ||||||
Shares | Value | |||||||
Merck KGaA (Germany) | 10,554 | $1,854,173 | ||||||
Roche Holding AG (Switzerland) | 9,479 | 3,091,631 | ||||||
Shionogi & Co., Ltd. (Japan) | 59,910 | 3,158,409 | ||||||
Smith & Nephew PLC (United Kingdom) | 133,894 | 2,897,969 | ||||||
Total Health Care | 14,949,183 | |||||||
Industrials - 18.5% | ||||||||
dormakaba Holding AG (Switzerland) | 5,559 | 3,653,007 | ||||||
IMI PLC (United Kingdom) | 254,905 | 5,601,439 | ||||||
Konecranes Oyj (Finland) | 96,834 | 4,456,984 | ||||||
Smiths Group PLC (United Kingdom) | 159,137 | 3,573,952 | ||||||
Total Industrials | 17,285,382 | |||||||
Information Technology - 7.8% |
| |||||||
Atea A.S.A. (Norway) | 194,018 | 3,716,440 | ||||||
Software AG (Germany) | 81,832 | 3,544,559 | ||||||
Total Information Technology | 7,260,999 | |||||||
Materials - 10.9% | ||||||||
Akzo Nobel, N.V. (Netherlands) | 26,951 | 3,235,980 | ||||||
BASF SE (Germany) | 43,511 | 3,506,610 | ||||||
HeidelbergCement AG (Germany) | 37,631 | 3,448,254 | ||||||
Total Materials |
| 10,190,844 | ||||||
Total Common Stocks |
| 91,948,688 | ||||||
Total Investments - 98.3% |
| 91,948,688 | ||||||
Other Assets, less Liabilities - 1.7% |
| 1,632,937 | ||||||
Net Assets - 100.0% |
| $93,581,625 | ||||||
* | Non-income producing security. |
The accompanying notes are an integral part of these financial statements.
39
Table of Contents
AMG Beutel Goodman International 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 | ||||||||||||||||
Industrials | — | $17,285,382 | — | $17,285,382 | ||||||||||||
Health Care | — | 14,949,183 | — | 14,949,183 | ||||||||||||
Consumer Staples | — | 11,991,121 | — | 11,991,121 | ||||||||||||
Communication Services | — | 11,635,890 | — | 11,635,890 | ||||||||||||
Materials | — | 10,190,844 | — | 10,190,844 | ||||||||||||
Information Technology | — | 7,260,999 | — | 7,260,999 | ||||||||||||
Energy | — | 6,729,858 | — | 6,729,858 | ||||||||||||
Consumer Discretionary | — | 6,216,789 | — | 6,216,789 | ||||||||||||
Financials | — | 5,688,622 | — | 5,688,622 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | — | $91,948,688 | — | $91,948,688 | ||||||||||||
|
|
|
|
|
|
|
|
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.
For the six months ended April 30, 2021, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
Realized Gain/(Loss) | Change in Unrealized Appreciation/Depreciation |
| ||||||||
Derivatives not accounted for as hedging instruments | Statement of Operations Location | Realized Gain/(Loss) | Statement of Operations Location | Change in Unrealized Appreciation/ Depreciation | ||||||
Equity contracts | Net realized gain on futures contracts | $1,387,763 | Net change in unrealized appreciation/ depreciation on futures contracts | — |
The country allocation in the Schedule of Portfolio Investments at April 30, 2021, was as follows:
Country | % of Long-Term Investments | |
Australia | 4.7 | |
Denmark | 4.8 | |
Finland | 4.9 | |
France | 6.8 | |
Germany | 17.3 | |
Japan | 10.1 | |
Netherlands | 8.6 |
Country | % of Long-Term Investments | |
Norway | 6.6 | |
Singapore | 3.3 | |
Sweden | 3.3 | |
Switzerland | 10.2 | |
United Kingdom | 19.4 | |
| ||
100.0 | ||
|
The accompanying notes are an integral part of these financial statements.
40
Table of Contents
AMG Montrusco Bolton Large Cap Growth Fund Fund Snapshots (unaudited) April 30, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |||
Information Technology | 42.2 | |||
Consumer Discretionary | 17.2 | |||
Communication Services | 15.2 | |||
Health Care | 11.1 | |||
Industrials | 4.9 | |||
Financials | 4.2 | |||
Consumer Staples | 2.1 | |||
Materials | 2.0 | |||
Real Estate | 1.1 | |||
Short-Term Investments | 11.9 | |||
Other Assets Less Liabilities | (11.9 | ) |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Amazon.com, Inc. | 9.0 | |
Microsoft Corp. | 8.2 | |
Apple, Inc. | 7.0 | |
Waste Connections, Inc. | 4.9 | |
Facebook, Inc., Class A | 4.8 | |
Five Below, Inc. | 4.6 | |
Adobe, Inc. | 4.6 | |
Texas Instruments, Inc. | 4.5 | |
Visa, Inc., Class A | 4.4 | |
Fidelity National Information Services, Inc. | 4.2 | |
| ||
Top Ten as a Group | 56.2 | |
| ||
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.
41
Table of Contents
AMG Montrusco Bolton Large Cap Growth Fund Schedule of Portfolio Investments (unaudited) April 30, 2021 |
Shares | Value | |||||||
Common Stocks - 100.0% | ||||||||
Communication Services - 15.2% |
| |||||||
Activision Blizzard, Inc. | 130,407 | $ | 11,891,814 | |||||
Alphabet, Inc., Class A* | 6,376 | 15,005,916 | ||||||
Facebook, Inc., Class A* | 61,772 | 20,080,842 | ||||||
Netflix, Inc.* | 32,216 | 16,541,950 | ||||||
Total Communication Services | 63,520,522 | |||||||
Consumer Discretionary - 17.2% |
| |||||||
Amazon.com, Inc.* | 10,852 | 37,628,442 | ||||||
Five Below, Inc.* | 96,458 | 19,414,101 | ||||||
The TJX Cos., Inc. | 211,653 | 15,027,363 | ||||||
Total Consumer Discretionary | 72,069,906 | |||||||
Consumer Staples - 2.1% | ||||||||
Costco Wholesale Corp. | 23,626 | 8,790,998 | ||||||
Financials - 4.2% | ||||||||
BlackRock, Inc. | 10,224 | 8,376,523 | ||||||
CME Group, Inc. | 45,177 | 9,125,302 | ||||||
Total Financials | 17,501,825 | |||||||
Health Care - 11.1% | ||||||||
Amgen, Inc. | 23,879 | 5,722,364 | ||||||
Charles River Laboratories International, Inc.* | 33,214 | 11,041,994 | ||||||
Danaher Corp. | 63,558 | 16,139,919 | ||||||
Thermo Fisher Scientific, Inc. | 28,992 | 13,632,908 | ||||||
Total Health Care | 46,537,185 | |||||||
Industrials - 4.9% | ||||||||
Waste Connections, Inc. | 170,156 | 20,267,281 | ||||||
Information Technology - 42.2% |
| |||||||
Adobe, Inc.* | 37,752 | 19,190,852 | ||||||
Analog Devices, Inc. | 70,629 | 10,817,538 | ||||||
* | Non-income producing security. |
1 | Some of these securities, amounting to $15,793,561 or 3.8% 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. |
Shares | Value | |||||||
Apple, Inc. | 223,306 | $ | 29,355,807 | |||||
Fidelity National Information Services, Inc. | 115,895 | 17,720,345 | ||||||
Mastercard, Inc., Class A | 46,210 | 17,654,993 | ||||||
Microsoft Corp. | 135,791 | 34,243,774 | ||||||
Proofpoint, Inc.* | 59,518 | 10,243,643 | ||||||
Texas Instruments, Inc. | 105,297 | 19,007,161 | ||||||
Visa, Inc., Class A1 | 78,463 | 18,325,818 | ||||||
Total Information Technology | 176,559,931 | |||||||
Materials - 2.0% | ||||||||
Linde PLC (United Kingdom) | 28,853 | 8,247,342 | ||||||
Real Estate - 1.1% | ||||||||
Public Storage, REIT | 16,326 | 4,590,218 | ||||||
Total Common Stocks | ||||||||
(Cost $303,538,439) | 418,085,208 | |||||||
Short-Term Investments - 11.9% | ||||||||
Other Investment Companies - 11.9% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%2 | 16,439,657 | 16,439,657 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%2 | 16,439,657 | 16,439,657 | ||||||
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%2 | 16,937,829 | 16,937,829 | ||||||
Total Short-Term Investments | ||||||||
(Cost $49,817,143) | 49,817,143 | |||||||
Total Investments - 111.9% | ||||||||
(Cost $353,355,582) | 467,902,351 | |||||||
Other Assets, less Liabilities - (11.9)% |
| (49,608,459 | ) | |||||
Net Assets - 100.0% | $ | 418,293,892 | ||||||
2 | Yield shown represents the April 30, 2021, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of these financial statements.
42
Table of Contents
AMG Montrusco Bolton Large Cap Growth 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 | ||||||||||||||||
Common Stocks† | $ | 418,085,208 | — | — | $ | 418,085,208 | ||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | 49,817,143 | — | — | 49,817,143 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 467,902,351 | — | — | $ | 467,902,351 | ||||||||||
|
|
|
|
|
|
|
|
† | 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.
43
Table of Contents
Statement of Assets and Liabilities (unaudited) April 30, 2021 |
AMG | AMG | AMG | AMG | AMG | ||||||||||||||||
River Road | River Road Large | River Road | River Road | River Road | ||||||||||||||||
Mid Cap | Cap Value | Small Cap | Dividend All Cap | Small-Mid Cap | ||||||||||||||||
Value Fund | Select Fund | Value Fund | Value Fund | Value Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments at value1 (including securities on loan valued at $0, $0, $21,120,996, $3,618,503, and $1,385,876, respectively) | $447,273,958 | $42,266,204 | $849,615,596 | $540,852,945 | $262,289,227 | |||||||||||||||
Receivable for investments sold | 4,118,437 | — | — | 73,296 | 657,828 | |||||||||||||||
Segregated cash | — | 10,000 | — | — | — | |||||||||||||||
Dividend and interest receivables | 147,366 | 98,890 | 70,271 | 1,147,546 | 23,736 | |||||||||||||||
Securities lending income receivable | — | — | 3,727 | 417 | 602 | |||||||||||||||
Receivable for Fund shares sold | 8,378,694 | 375 | 949,237 | 121,883 | 58,366 | |||||||||||||||
Receivable from affiliate | 20,726 | 3,709 | — | 8,825 | — | |||||||||||||||
Prepaid expenses and other assets | 27,311 | 14,119 | 45,710 | 41,420 | 32,081 | |||||||||||||||
Total assets
|
| 459,966,492
|
|
| 42,393,297
|
|
| 850,684,541
|
|
| 542,246,332
|
|
| 263,061,840
|
| |||||
Liabilities: | ||||||||||||||||||||
Payable upon return of securities loaned | — | — | 690,321 | — | — | |||||||||||||||
Payable for investments purchased | 4,551,926 | — | 2,139,996 | — | 547,589 | |||||||||||||||
Payable for Fund shares repurchased | 8,673,131 | 6,154 | 376,061 | 510,504 | 26,860 | |||||||||||||||
Accrued expenses: | ||||||||||||||||||||
Investment advisory and management fees | 239,657 | 11,907 | 548,474 | 263,808 | 159,010 | |||||||||||||||
Administrative fees | 54,777 | 5,103 | 102,839 | 65,952 | 31,802 | |||||||||||||||
Distribution fees | 58,729 | 887 | 7,154 | 9,326 | 5,128 | |||||||||||||||
Shareholder service fees | 28,585 | 1,695 | 57,792 | 17,505 | 11,538 | |||||||||||||||
Other | 134,862 | 51,393 | 47,457 | 93,228 | 47,993 | |||||||||||||||
Total liabilities
|
| 13,741,667
|
|
| 77,139
|
|
| 3,970,094
|
|
| 960,323
|
|
| 829,920
|
| |||||
Net Assets | $446,224,825 | $42,316,158 | $846,714,447 | $541,286,009 | $262,231,920 | |||||||||||||||
1 Investments at cost | $420,479,214 | $39,720,151 | $630,028,330 | $370,217,588 | $205,901,474 |
The accompanying notes are an integral part of these financial statements.
44
Table of Contents
Statement of Assets and Liabilities (continued) |
AMG | AMG | AMG | AMG | AMG | ||||||||||||||||
River Road | River Road Large | River Road | River Road | River Road | ||||||||||||||||
Mid Cap | Cap Value | Small Cap | Dividend All Cap | Small-Mid Cap | ||||||||||||||||
Value Fund | Select Fund | Value Fund | Value Fund | Value Fund | ||||||||||||||||
Net Assets Represent: | ||||||||||||||||||||
Paid-in capital | $425,143,479 | $47,226,700 | $600,655,925 | $358,100,119 | $197,352,409 | |||||||||||||||
Total distributable earnings (loss) | 21,081,346 | (4,910,542 | ) | 246,058,522 | 183,185,890 | 64,879,511 | ||||||||||||||
Net Assets
|
| $446,224,825
|
|
| $42,316,158
|
|
| $846,714,447
|
|
| $541,286,009
|
|
| $262,231,920
|
| |||||
Class N: | ||||||||||||||||||||
Net Assets
|
| $300,249,664
|
|
| $4,790,916
|
|
| $35,352,679
|
|
| $45,568,526
|
|
| $25,342,213
|
| |||||
Shares outstanding | 16,529,047 | 326,037 | 2,282,377 | 3,510,700 | 2,571,152 | |||||||||||||||
Net asset value, offering and redemption price per share
|
| $18.16
|
|
| $14.69
|
|
| $15.49
|
|
| $12.98
|
|
| $9.86
|
| |||||
Class I: | ||||||||||||||||||||
Net Assets
|
| $127,981,020
|
|
| $37,525,242
|
|
| $809,868,405
|
|
| $493,180,048
|
|
| $236,106,558
|
| |||||
Shares outstanding | 6,587,392 | 2,536,407 | 50,840,221 | 38,024,156 | 23,295,412 | |||||||||||||||
Net asset value, offering and redemption price per share
|
| $19.43
|
|
| $14.79
|
|
| $15.93
|
|
| $12.97
|
|
| $10.14
|
| |||||
Class Z: | ||||||||||||||||||||
Net Assets
|
| $17,994,141
|
|
| —
|
|
| $1,493,363
|
|
| $2,537,435
|
|
| $783,149
|
| |||||
Shares outstanding | 931,255 | — | 93,746 | 195,609 | 77,273 | |||||||||||||||
Net asset value, offering and redemption price per share
|
| $19.32
|
|
| —
|
|
| $15.93
|
|
| $12.97
|
|
| $10.13
|
|
The accompanying notes are an integral part of these financial statements.
45
Table of Contents
Statement of Assets and Liabilities (continued) |
AMG | AMG | AMG | AMG | |||||||||||||||||
AMG | River Road | Beutel Goodman | Beutel Goodman | Montrusco Bolton | ||||||||||||||||
River Road | Focused Absolute | Core Plus | International | Large Cap | ||||||||||||||||
Long-Short Fund | Value Fund | Bond Fund | Equity Fund | Growth Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments at value1 (including securities on loan valued at $0, $886,672, $4,779,456, $0, and $15,793,561, respectively) | $18,261,516 | $206,230,772 | $377,423,785 | $91,948,688 | $467,902,351 | |||||||||||||||
Cash | — | — | 328,387 | — | — | |||||||||||||||
Foreign currency2 | 177,155 | — | — | 439,398 | — | |||||||||||||||
Receivable for investments sold | — | — | 7,066,346 | 3,089,276 | 12,858,137 | |||||||||||||||
Segregated cash | 3,431,460 | — | — | — | — | |||||||||||||||
Dividend and interest receivables | 9,784 | 110,614 | 2,224,728 | 1,490,073 | 198,776 | |||||||||||||||
Securities lending income receivable | — | 357 | — | — | — | |||||||||||||||
Receivable for Fund shares sold | 622 | 15,740 | 230,683 | 26,645 | 59,078 | |||||||||||||||
Receivable from affiliate | 4,291 | 7,353 | 19,765 | 10,029 | — | |||||||||||||||
Prepaid expenses and other assets | 15,987 | 23,725 | 43,578 | 33,030 | 27,977 | |||||||||||||||
Total assets
|
| 21,900,815
|
|
| 206,388,561
|
|
| 387,337,272
|
|
| 97,037,139
|
|
| 481,046,319
|
| |||||
Liabilities: | ||||||||||||||||||||
Payable upon return of securities loaned | — | — | 3,789,695 | — | — | |||||||||||||||
Payable for investments purchased | — | — | 7,215,804 | 521,937 | 9,345,559 | |||||||||||||||
Payable for Fund shares repurchased | — | 64,649 | 1,001,315 | 180,170 | 2,949,832 | |||||||||||||||
Interest and dividends payable | 15,302 | — | — | — | — | |||||||||||||||
Due to custodian | — | — | — | — | 49,813,359 | |||||||||||||||
Line of credit payable | — | — | — | 2,604,671 | 186,641 | |||||||||||||||
Accrued expenses: | ||||||||||||||||||||
Investment advisory and management fees | 13,056 | 98,983 | 152,780 | 59,507 | 274,221 | |||||||||||||||
Administrative fees | 2,304 | 24,746 | 50,927 | 13,322 | 58,762 | |||||||||||||||
Distribution fees | 346 | 918 | 9,534 | 1,601 | 23,333 | |||||||||||||||
Shareholder service fees | 1,181 | 6,489 | 26,429 | 8,625 | 27,422 | |||||||||||||||
Other | 27,148 | 45,712 | 106,313 | 65,681 | 73,298 | |||||||||||||||
Securities sold short, at value4 | 3,410,879 | — | — | — | — | |||||||||||||||
Total liabilities
|
| 3,470,216
|
|
| 241,497
|
|
| 12,352,797
|
|
| 3,455,514
|
|
| 62,752,427
|
| |||||
Net Assets
|
| $18,430,599
|
|
| $206,147,064
|
|
| $ 374,984,475
|
|
| $93,581,625
|
|
| $418,293,892
|
| |||||
1 Investments at cost | $15,050,757 | $ 164,365,309 | $373,776,842 | $86,426,180 | $353,355,582 | |||||||||||||||
2 Foreign currency at cost | $172,663 | — | — | $439,567 | — | |||||||||||||||
4 Proceeds | $3,121,527 | — | — | — | — |
The accompanying notes are an integral part of these financial statements.
46
Table of Contents
Statement of Assets and Liabilities (continued) |
AMG | AMG | AMG | AMG | |||||||||||||||||
AMG | River Road | Beutel Goodman | Beutel Goodman | Montrusco Bolton | ||||||||||||||||
River Road | Focused Absolute | Core Plus | International | Large Cap | ||||||||||||||||
Long-Short Fund | Value Fund | Bond Fund | Equity Fund | Growth Fund | ||||||||||||||||
Net Assets Represent: | ||||||||||||||||||||
Paid-in capital | $16,008,508 | $166,523,099 | $382,008,495 | $158,715,727 | $272,998,007 | |||||||||||||||
Total distributable earnings (loss) | 2,422,091 | 39,623,965 | (7,024,020 | ) | (65,134,102 | ) | 145,295,885 | |||||||||||||
Net Assets
|
| $18,430,599
|
|
| $206,147,064
|
|
| $374,984,475
|
|
| $93,581,625
|
|
| $418,293,892
|
| |||||
Class N: | ||||||||||||||||||||
Net Assets
|
| $1,685,853
|
|
| $4,592,781
|
|
| $45,862,785
|
|
| $7,250,354
|
|
| $181,266,671
|
| |||||
Shares outstanding | 122,699 | 311,281 | 4,283,172 | 644,526 | 11,747,135 | |||||||||||||||
Net asset value, offering and redemption price per share
|
| $13.74
|
|
| $14.75
|
|
| $10.71
|
|
| $11.25
|
|
| $15.43
|
| |||||
Class I: | ||||||||||||||||||||
Net Assets
|
| $16,012,300
|
|
| $198,102,303
|
|
| $317,970,125
|
|
| $79,909,065
|
|
| $237,027,221
|
| |||||
Shares outstanding | 1,138,333 | 13,409,503 | 29,714,404 | 7,083,789 | 15,105,830 | |||||||||||||||
Net asset value, offering and redemption price per share
|
| $14.07
|
|
| $14.77
|
|
| $10.70
|
|
| $11.28
|
|
| $15.69
|
| |||||
Class Z: | ||||||||||||||||||||
Net Assets
|
| $732,446
|
|
| $3,451,980
|
|
| $11,151,565
|
|
| $6,422,206
|
|
| —
|
| |||||
Shares outstanding | 51,885 | 233,572 | 1,041,146 | 570,950 | — | |||||||||||||||
Net asset value, offering and redemption price per share
|
| $14.12
|
|
| $14.78
|
|
| $10.71
|
|
| $11.25
|
|
| —
|
|
The accompanying notes are an integral part of these financial statements.
47
Table of Contents
Statement of Operations (unaudited) For the six months ended April 30, 2021 |
AMG | AMG | AMG | AMG | AMG | ||||||||||||||||
River Road | River Road Large | River Road | River Road | River Road | ||||||||||||||||
Mid Cap | Cap Value | Small Cap | Dividend All Cap | Small-Mid Cap | ||||||||||||||||
Value Fund | Select Fund | Value Fund | Value Fund | Value Fund | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $2,523,006 | $303,265 | $3,359,469 | 1 | $5,944,120 | $1,177,068 | ||||||||||||||
Interest income | — | 38 | — | — | — | |||||||||||||||
Securities lending income | — | 37 | 19,661 | 12,608 | 5,985 | |||||||||||||||
Foreign withholding tax | (31,688 | ) | (14,065 | ) | (46,955 | ) | (19,420 | ) | (6,530 | ) | ||||||||||
Total investment income
|
| 2,491,318
|
|
| 289,275
|
|
| 3,332,175
|
|
| 5,937,308
|
|
| 1,176,523
|
| |||||
Expenses: | ||||||||||||||||||||
Investment advisory and management fees | 1,581,120 | 73,153 | 2,844,742 | 1,519,582 | 841,783 | |||||||||||||||
Administrative fees | 364,287 | 31,351 | 533,389 | 379,896 | 168,357 | |||||||||||||||
Distribution fees - Class N | 360,748 | 5,330 | 39,669 | 55,473 | 29,487 | |||||||||||||||
Shareholder servicing fees - Class N | 117,697 | 2,132 | 15,867 | 11,120 | 7,175 | |||||||||||||||
Shareholder servicing fees - Class I | 72,288 | 8,186 | 290,125 | 98,717 | 53,970 | |||||||||||||||
Reports to shareholders | 51,739 | 10,561 | 18,726 | 26,827 | 19,702 | |||||||||||||||
Registration fees | 31,455 | 16,955 | 31,190 | 27,232 | 25,968 | |||||||||||||||
Professional fees | 25,323 | 20,464 | 27,604 | 26,383 | 16,218 | |||||||||||||||
Custodian fees | 24,018 | 9,626 | 20,424 | 19,990 | 12,432 | |||||||||||||||
Trustee fees and expenses | 23,217 | 1,891 | 26,569 | 21,286 | 8,665 | |||||||||||||||
Transfer agent fees | 15,657 | 5,424 | 7,565 | 7,296 | 3,182 | |||||||||||||||
Interest expense | 254 | — | — | — | — | |||||||||||||||
Miscellaneous | 28,433 | 2,029 | 36,460 | 16,085 | 6,144 | |||||||||||||||
Total expenses before offsets
|
| 2,696,236
|
|
| 187,102
|
|
| 3,892,330
|
|
| 2,209,887
|
|
| 1,193,083
|
| |||||
Expense reimbursements | (153,813 | ) | (27,183 | ) | — | (42,560 | ) | — | ||||||||||||
Expense reductions | — | — | (71,817 | ) | (8,251 | ) | (20,586 | ) | ||||||||||||
Net expenses
|
| 2,542,423
|
|
| 159,919
|
|
| 3,820,513
|
|
| 2,159,076
|
|
| 1,172,497
|
| |||||
Net investment income (loss)
|
| (51,105
| )
|
| 129,356
|
|
| (488,338
| )
|
| 3,778,232
|
|
| 4,026
|
| |||||
Net Realized and Unrealized Gain: | ||||||||||||||||||||
Net realized gain on investments | 241,521,688 | 810,277 | 39,252,076 | 25,783,559 | 18,853,872 | |||||||||||||||
Net realized loss on futures contracts | (132,843 | ) | — | — | — | — | ||||||||||||||
Net realized gain on swaps | — | 6,028,932 | — | — | — | |||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (74,951,894 | ) | 2,622,320 | 200,014,708 | 105,591,397 | 60,467,805 | ||||||||||||||
Net change in unrealized appreciation/depreciation on swaps | — | 653,732 | — | — | — | |||||||||||||||
Net realized and unrealized gain
|
| 166,436,951
|
|
| 10,115,261
|
|
| 239,266,784
|
|
| 131,374,956
|
|
| 79,321,677
|
| |||||
Net increase in net assets resulting from operations
|
| $166,385,846
|
|
| $10,244,617
|
|
| $238,778,446
|
|
| $135,153,188
|
|
| $79,325,703
|
|
1 | Includes non-recurring dividends of $365,456. |
The accompanying notes are an integral part of these financial statements.
48
Table of Contents
Statement of Operations (continued) |
AMG | AMG | AMG | AMG | |||||||||||||||||
AMG | River Road | Beutel Goodman | Beutel Goodman | Montrusco Bolton | ||||||||||||||||
River Road | Focused Absolute | Core Plus | International | Large Cap | ||||||||||||||||
Long-Short Fund | Value Fund | Bond Fund | Equity Fund | Growth Fund | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $107,246 | $1,170,532 | 1 | $12,465 | $2,213,252 | $1,735,512 | ||||||||||||||
Interest income | — | 202 | 7,395,045 | — | — | |||||||||||||||
Dividends from affiliated securities | — | — | 389,585 | — | — | |||||||||||||||
Securities lending income | — | 2,563 | 6,747 | 508 | 2,284 | |||||||||||||||
Foreign withholding tax | (934 | ) | — | (5,629 | ) | (243,255 | ) | — | ||||||||||||
Total investment income
|
| 106,312
|
|
| 1,173,297
|
|
| 7,798,213
|
|
| 1,970,505
|
|
| 1,737,796
|
| |||||
Expenses: | ||||||||||||||||||||
Investment advisory and management fees | 76,404 | 542,237 | 1,096,536 | 662,752 | 1,733,669 | |||||||||||||||
Administrative fees | 13,483 | 135,559 | 365,512 | 148,377 | 371,501 | |||||||||||||||
Distribution fees - Class N | 2,066 | 7,725 | 65,496 | 9,950 | 142,884 | |||||||||||||||
Shareholder servicing fees - Class N | 661 | 1,269 | 20,959 | 5,798 | 62,685 | |||||||||||||||
Shareholder servicing fees - Class I | 6,252 | 34,285 | 169,563 | 89,313 | 110,682 | |||||||||||||||
Dividend expense | 75,398 | — | — | — | — | |||||||||||||||
Registration fees | 16,827 | 22,654 | 29,525 | 27,794 | 20,695 | |||||||||||||||
Professional fees | 13,940 | 16,699 | 47,201 | 18,006 | 30,805 | |||||||||||||||
Custodian fees | 8,201 | 11,717 | 26,804 | 40,415 | 19,446 | |||||||||||||||
Reports to shareholders | 2,872 | 14,028 | 17,495 | 16,512 | 22,100 | |||||||||||||||
Trustee fees and expenses | 756 | 7,106 | 21,455 | 9,446 | 21,460 | |||||||||||||||
Transfer agent fees | 408 | 2,127 | 7,191 | 3,190 | 23,129 | |||||||||||||||
Interest expense | 12,342 | 700 | — | 1,174 | 4,968 | |||||||||||||||
Miscellaneous | 1,659 | 5,359 | 16,470 | 9,192 | 14,357 | |||||||||||||||
Total expenses before offsets
|
| 231,269
|
|
| 801,465
|
|
| 1,884,207
|
|
| 1,041,919
|
|
| 2,578,381
|
| |||||
Expense reimbursements | (33,876 | ) | (52,578 | ) | (94,090 | ) | (54,871 | ) | — | |||||||||||
Expense reductions | (4,476 | ) | (6,127 | ) | — | — | (3,027 | ) | ||||||||||||
Fee waivers | — | — | (47,684 | ) | — | — | ||||||||||||||
Net expenses
|
| 192,917
|
|
| 742,760
|
|
| 1,742,433
|
|
| 987,048
|
|
| 2,575,354
|
| |||||
Net investment income (loss)
|
| (86,605
| )
|
| 430,537
|
|
| 6,055,780
|
|
| 983,457
|
|
| (837,558
| )
| |||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on investments | 2,692,679 | 19,421,582 | (1,373,861 | ) | 42,474,999 | 193,669,731 | ||||||||||||||
Net realized loss on affiliated investments | — | — | (60,487 | ) | — | — | ||||||||||||||
Net realized loss on short sales | (1,892,400 | ) | — | — | — | — | ||||||||||||||
Net realized gain (loss) on futures contracts | — | — | (291,164 | ) | 1,387,763 | — | ||||||||||||||
Net realized gain (loss) on foreign currency transactions | 10,506 | — | — | (154,917 | ) | — | ||||||||||||||
Net change in unrealized appreciation/depreciation on investments | 3,256,295 | 30,853,952 | 1,507,177 | 17,798,638 | (77,601,391 | ) | ||||||||||||||
Net change in unrealized appreciation/depreciation on affiliated investments | — | — | (647,642 | ) | — | — | ||||||||||||||
Net change in unrealized appreciation/depreciation on short sales | (670,928 | ) | — | — | — | — | ||||||||||||||
Net change in unrealized appreciation/depreciation on foreign currency translations | 2,494 | — | — | 11,226 | — |
The accompanying notes are an integral part of these financial statements.
49
Table of Contents
Statement of Operations (continued) |
AMG | AMG | AMG | AMG | |||||||||||||||||
AMG | River Road | Beutel Goodman | Beutel Goodman | Montrusco Bolton | ||||||||||||||||
River Road | Focused Absolute | Core Plus | International | Large Cap | ||||||||||||||||
Long-Short Fund | Value Fund | Bond Fund | Equity Fund | Growth Fund | ||||||||||||||||
Net change in unrealized appreciation/depreciation on unfunded loan commitments | — | — | (877 | ) | — | — | ||||||||||||||
Net realized and unrealized gain (loss) | 3,398,646 | 50,275,534 | (866,854 | ) | 61,517,709 | 116,068,340 | ||||||||||||||
Net increase in net assets resulting from operations | $3,312,041 | $50,706,071 | $5,188,926 | $62,501,166 | $115,230,782 |
1 | Includes non-recurring dividends of $224,645. |
The accompanying notes are an integral part of these financial statements.
50
Table of Contents
Statements of Changes in Net Assets For the six months ended April 30, 2021 (unaudited) and the fiscal year ended October 31, 2020 |
AMG | AMG | AMG | ||||||||||||||||||||||
River Road | River Road Large | River Road | ||||||||||||||||||||||
Mid Cap Value Fund | Cap Value Select Fund | Small Cap Value 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) | $(51,105 | ) | $4,726,723 | $129,356 | $372,445 | $(488,338 | ) | $244,674 | ||||||||||||||||
Net realized gain (loss) on investments | 241,388,845 | 124,204,848 | 6,839,209 | (7,603,426 | ) | 39,252,076 | (10,803,606 | ) | ||||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (74,951,894 | ) | (179,176,911 | ) | 3,276,052 | (4,306,653 | ) | 200,014,708 | (29,318,189 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations
|
| 166,385,846
|
|
| (50,245,340
| )
|
| 10,244,617
|
|
| (11,537,634
| )
|
| 238,778,446
|
|
| (39,877,121
| )
| ||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Class N | (178,403,402 | ) | (33,504,723 | ) | (667,556 | ) | (624,543 | ) | — | (2,120,249 | ) | |||||||||||||
Class I | (89,340,283 | ) | (37,562,764 | ) | (5,854,852 | ) | (3,646,142 | ) | (32,322 | ) | (23,298,854 | ) | ||||||||||||
Class Z | (6,230,574 | ) | (3,451,809 | ) | — | — | (824 | ) | (11,458 | ) | ||||||||||||||
Total distributions to shareholders
|
| (273,974,259
| )
|
| (74,519,296
| )
|
| (6,522,408
| )
|
| (4,270,685
| )
|
| (33,146
| )
|
| (25,430,561
| )
| ||||||
Capital Share Transactions:1 | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions
|
| 107,658,715
|
|
| (1,097,820,771
| )
|
| (5,112,469
| )
|
| (38,109,098
| )
|
| 93,386,984
|
|
| 175,396,275
|
| ||||||
Total increase (decrease) in net assets
|
| 70,302
|
|
| (1,222,585,407
| )
|
| (1,390,260
| )
|
| (53,917,417
| )
|
| 332,132,284
|
|
| 110,088,593
|
| ||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 446,154,523 | 1,668,739,930 | 43,706,418 | 97,623,835 | 514,582,163 | 404,493,570 | ||||||||||||||||||
End of period
|
| $446,224,825
|
|
| $446,154,523
|
|
| $42,316,158
|
|
| $43,706,418
|
|
| $846,714,447
|
|
| $514,582,163
|
|
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
51
Table of Contents
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 | ||||||||||||||||||||||||
River Road | AMG | AMG | ||||||||||||||||||||||
Dividend All Cap | River Road | River Road | ||||||||||||||||||||||
Value Fund | Small-Mid Cap Value Fund | Long-Short 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) | $3,778,232 | $13,424,588 | $4,026 | $103,778 | $(86,605 | ) | $(233,345 | ) | ||||||||||||||||
Net realized gain (loss) on investments | 25,783,559 | 2,020,791 | 18,853,872 | (9,195,938 | ) | 810,785 | (637,581 | ) | ||||||||||||||||
Net change in unrealized appreciation/depreciation on investments | 105,591,397 | (77,612,710 | ) | 60,467,805 | (14,720,991 | ) | 2,587,861 | (272,397 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations
|
| 135,153,188
|
|
| (62,167,331
| )
|
| 79,325,703
|
|
| (23,813,151
| )
|
| 3,312,041
|
|
| (1,143,323
| )
| ||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Class N | (435,677 | ) | (5,975,070 | ) | — | (512,884 | ) | — | (244,069 | ) | ||||||||||||||
Class I | (5,052,058 | ) | (47,458,557 | ) | (4,398 | ) | (3,093,005 | ) | — | (1,797,271 | ) | |||||||||||||
Class Z | (25,205 | ) | (20,856 | ) | (318 | ) | (3,815 | ) | — | (6,804 | ) | |||||||||||||
Total distributions to shareholders
|
| (5,512,940
| )
|
| (53,454,483
| )
|
| (4,716
| )
|
| (3,609,704
| )
|
| —
|
|
| (2,048,144
| )
| ||||||
Capital Share Transactions:1 | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions
|
| (40,457,126
| )
|
| (45,255,562
| )
|
| 4,389,499
|
|
| 35,471,352
|
|
| (1,166,184
| )
|
| (6,117,855
| )
| ||||||
Total increase (decrease) in net assets
|
| 89,183,122
|
|
| (160,877,376
| )
|
| 83,710,486
|
|
| 8,048,497
|
|
| 2,145,857
|
|
| (9,309,322
| )
| ||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 452,102,887 | 612,980,263 | 178,521,434 | 170,472,937 | 16,284,742 | 25,594,064 | ||||||||||||||||||
End of period
|
| $541,286,009
|
|
| $452,102,887
|
|
| $262,231,920
|
|
| $178,521,434
|
|
| $18,430,599
|
|
| $16,284,742
|
|
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
52
Table of Contents
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 | AMG | |||||||||||||||||||||||
River Road | Beutel Goodman | AMG | ||||||||||||||||||||||
Focused Absolute | Core Plus | Beutel Goodman | ||||||||||||||||||||||
Value Fund | Bond Fund | International 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 | $430,537 | $861,559 | $6,055,780 | $15,693,415 | $983,457 | $2,370,259 | ||||||||||||||||||
Net realized gain (loss) on investments | 19,421,582 | (20,924,160 | ) | (1,725,512 | ) | 9,719,236 | 43,707,845 | (16,789,457 | ) | |||||||||||||||
Net change in unrealized appreciation/depreciation on investments | 30,853,952 | (655,316 | ) | 858,658 | (14,442,344 | ) | 17,809,864 | (20,654,193 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations
|
| 50,706,071
|
|
| (20,717,917
| )
|
| 5,188,926
|
|
| 10,970,307
|
|
| 62,501,166
|
|
| (35,073,391
| )
| ||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Class N | — | (376,933 | ) | (769,930 | ) | (1,927,975 | ) | — | (1,609,403 | ) | ||||||||||||||
Class I | (950,327 | ) | (3,160,161 | ) | (6,669,588 | ) | (15,037,786 | ) | (947,027 | ) | (4,602,504 | ) | ||||||||||||
Class Z | (18,026 | ) | (3,318 | ) | (176,940 | ) | (96,813 | ) | (73,113 | ) | (1,338,806 | ) | ||||||||||||
Total distributions to shareholders
|
| (968,353
| )
|
| (3,540,412
| )
|
| (7,616,458
| )
|
| (17,062,574
| )
|
| (1,020,140
| )
|
| (7,550,713
| )
| ||||||
Capital Share Transactions:1 | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions
|
| 10,723,521
|
|
| 23,576,015
|
|
| (123,327,865
| )
|
| (163,855,105
| )
|
| (153,377,270
| )
|
| (67,267,345
| )
| ||||||
Total increase (decrease) in net assets
|
| 60,461,239
|
|
| (682,314
| )
|
| (125,755,397
| )
|
| (169,947,372
| )
|
| (91,896,244
| )
|
| (109,891,449
| )
| ||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 145,685,825 | 146,368,139 | 500,739,872 | 670,687,244 | 185,477,869 | 295,369,318 | ||||||||||||||||||
End of period
|
| $206,147,064
|
|
| $145,685,825
|
|
| $374,984,475
|
|
| $500,739,872
|
|
| $93,581,625
|
|
| $185,477,869
|
|
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
53
Table of Contents
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 | ||||||||
Montrusco Bolton | ||||||||
Large Cap Growth Fund | ||||||||
April 30, 2021 | October 31, 2020 | |||||||
Increase in Net Assets Resulting From Operations: | ||||||||
Net investment loss | $(837,558 | ) | $(914,947 | ) | ||||
Net realized gain on investments | 193,669,731 | 85,184,256 | ||||||
Net change in unrealized appreciation/depreciation on investments | (77,601,391 | ) | 9,372,542 | |||||
Net increase in net assets resulting from operations
|
| 115,230,782
|
|
| 93,641,851
|
| ||
Distributions to Shareholders: | ||||||||
Class N | (86,153,903 | ) | (14,140,899 | ) | ||||
Class I | (151,058,809 | ) | (28,027,374 | ) | ||||
Total distributions to shareholders
|
| (237,212,712
| )
|
| (42,168,273
| )
| ||
Capital Share Transactions:1 | ||||||||
Net increase (decrease) from capital share transactions
|
| 64,587,419
|
|
| (71,363,061
| )
| ||
Total decrease in net assets
|
| (57,394,511
| )
|
| (19,889,483
| )
| ||
Net Assets: | ||||||||
Beginning of period | 475,688,403 | 495,577,886 | ||||||
End of period
|
| $418,293,892
|
|
| $475,688,403
|
|
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
54
Table of Contents
AMG River Road Mid Cap Value Fund For a share outstanding throughout each fiscal period |
For the six April 30, 2021 | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $29.75 | $34.95 | $38.27 | $41.95 | $37.48 | $37.56 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | (0.02 | ) | 0.16 | 0.34 | 3 | 0.08 | (0.02 | ) | 0.16 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 10.46 | (2.85 | ) | (0.85 | ) | (0.95 | ) | 6.33 | 1.92 | |||||||||||||||||||||
Total income (loss) from investment operations | 10.44 | (2.69 | ) | (0.51 | ) | (0.87 | ) | 6.31 | 2.08 | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.33 | ) | (0.15 | ) | — | (0.13 | ) | (0.11 | ) | |||||||||||||||||||
Net realized gain on investments | (22.01 | ) | (2.18 | ) | (2.66 | ) | (2.81 | ) | (1.71 | ) | (2.05 | ) | ||||||||||||||||||
Total distributions to shareholders | (22.03 | ) | (2.51 | ) | (2.81 | ) | (2.81 | ) | (1.84 | ) | (2.16 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $18.16 | $29.75 | $34.95 | $38.27 | $41.95 | $37.48 | ||||||||||||||||||||||||
Total Return2,4 | 40.80 | %5 | (8.62 | )% | (0.55 | )% | (2.82 | )% | 16.87 | % | 6.01 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.15 | %6 | 1.14 | % | 1.15 | % | 1.12 | % | 1.12 | % | 1.12 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 1.21 | %6 | 1.16 | % | 1.15 | % | 1.13 | % | 1.13 | % | 1.12 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | (0.12 | )%6 | 0.52 | % | 0.95 | % | 0.19 | % | (0.05 | )% | 0.44 | % | ||||||||||||||||||
Portfolio turnover | 119 | %5 | 50 | % | 21 | % | 18 | % | 28 | % | 24 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $300,250 | $259,561 | $518,354 | $893,685 | $1,292,107 | $1,374,982 | ||||||||||||||||||||||||
55
Table of Contents
AMG River Road Mid Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $30.68 | $35.96 | $39.33 | $42.97 | $38.39 | $38.44 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.02 | 0.25 | 0.45 | 3 | 0.19 | 0.08 | 0.25 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 10.84 | (2.94 | ) | (0.89 | ) | (0.99 | ) | 6.49 | 1.98 | |||||||||||||||||||||
Total income (loss) from investment operations | 10.86 | (2.69 | ) | (0.44 | ) | (0.80 | ) | 6.57 | 2.23 | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.41 | ) | (0.27 | ) | (0.03 | ) | (0.24 | ) | (0.23 | ) | ||||||||||||||||||
Net realized gain on investments | (22.01 | ) | (2.18 | ) | (2.66 | ) | (2.81 | ) | (1.75 | ) | (2.05 | ) | ||||||||||||||||||
Total distributions to shareholders | (22.11 | ) | (2.59 | ) | (2.93 | ) | (2.84 | ) | (1.99 | ) | (2.28 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $19.43 | $30.68 | $35.96 | $39.33 | $42.97 | $38.39 | ||||||||||||||||||||||||
Total Return2,4 | 41.02 | %5 | (8.38 | )% | (0.33 | )% | (2.56 | )% | 17.16 | % | 6.26 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.90 | %6 | 0.90 | % | 0.90 | % | 0.87 | % | 0.87 | % | 0.87 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 0.96 | %6 | 0.92 | % | 0.90 | % | 0.88 | % | 0.88 | % | 0.87 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 0.13 | %6 | 0.76 | % | 1.20 | % | 0.44 | % | 0.20 | % | 0.68 | % | ||||||||||||||||||
Portfolio turnover | 119 | %5 | 50 | % | 21 | % | 18 | % | 28 | % | 24 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $127,981 | $176,807 | $1,102,479 | $1,754,203 | $2,668,464 | $2,135,998 | ||||||||||||||||||||||||
56
Table of Contents
AMG River Road Mid Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 (unaudited)
| For the fiscal year ended October 31, | For the fiscal period ended October 31, | |||||||||||||||||||||||
Class Z |
2020 |
2019 |
2018 |
20178 | |||||||||||||||||||||
Net Asset Value, Beginning of Period | $30.63 | $35.95 | $39.34 | $42.98 | $44.24 | ||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income1,2 | 0.03 | 0.28 | 0.48 | 3 | 0.22 | 0.00 | 9 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 10.81 | (2.94 | ) | (0.89 | ) | (0.98 | ) | (1.26 | ) | ||||||||||||||||
Total income (loss) from investment operations | 10.84 | (2.66 | ) | (0.41 | ) | (0.76 | ) | (1.26 | ) | ||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | (0.14 | ) | (0.48 | ) | (0.32 | ) | (0.07 | ) | – | ||||||||||||||||
Net realized gain on investments | (22.01 | ) | (2.18 | ) | (2.66 | ) | (2.81 | ) | – | ||||||||||||||||
Total distributions to shareholders | (22.15 | ) | (2.66 | ) | (2.98 | ) | (2.88 | ) | – | ||||||||||||||||
Net Asset Value, End of Period | $19.32 | $30.63 | $35.95 | $39.34 | $42.98 | ||||||||||||||||||||
Total Return2,4 | 41.03 | %5 | (8.32 | )% | (0.25 | )% | (2.48 | )% | (2.85 | )%5 | |||||||||||||||
Ratio of net expenses to average net assets | 0.82 | %6 | 0.82 | % | 0.82 | % | 0.79 | % | 0.79 | %6 | |||||||||||||||
Ratio of gross expenses to average net assets7 | 0.88 | %6 | 0.84 | % | 0.82 | % | 0.80 | % | 0.80 | %6 | |||||||||||||||
Ratio of net investment income to average net assets2 | 0.21 | %6 | 0.84 | % | 1.28 | % | 0.52 | % | 0.01 | %6 | |||||||||||||||
Portfolio turnover | 119 | %5 | 50 | % | 21 | % | 18 | % | 28 | %5 | |||||||||||||||
Net assets end of period (000’s) omitted | $17,994 | $9,786 | $47,907 | $205,203 | $9,625 | ||||||||||||||||||||
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 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.23, $0.33 and $0.36 for Class N, Class I and Class z, respectively. |
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.) |
8 | Commencement of operations was on October 2, 2017. |
9 | Less than $0.005 per share. |
57
Table of Contents
AMG River Road Large Cap Value Select Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | 2020 | 2019 | 2018 | 2017 | 20161 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.73 | $16.22 | $15.68 | $17.97 | $15.48 | $17.38 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | �� | |||||||||||||||||||||||||||||
Net investment income (loss)2,3 | 0.03 | 0.04 | 4 | 0.12 | 5 | (0.07 | ) | 0.10 | 6 | 0.14 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.49 | (1.84 | ) | 0.95 | 1.94 | 3.30 | (0.31 | ) | ||||||||||||||||||||||
Total income (loss) from investment operations | 3.52 | (1.80 | ) | 1.07 | 1.87 | 3.40 | (0.17 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (2.56 | ) | – | (0.02 | ) | – | (0.16 | ) | (0.15 | ) | ||||||||||||||||||||
Net realized gain on investments | – | (0.69 | ) | (0.51 | ) | (4.16 | ) | (0.75 | ) | (1.58 | ) | |||||||||||||||||||
Total distributions to shareholders | (2.56 | ) | (0.69 | ) | (0.53 | ) | (4.16 | ) | (0.91 | ) | (1.73 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $14.69 | $13.73 | $16.22 | $15.68 | $17.97 | $15.48 | ||||||||||||||||||||||||
Total Return3,7 | 26.96 | %8 | (11.66 | )% | 7.15 | % | 12.54 | % | 22.62 | % | (0.98 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.04 | %9 | 1.04 | % | 1.28 | %10,11 | 2.24 | %10,11 | 1.09 | %11 | 1.05 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets12 | 1.17 | %9 | 1.08 | % | 1.30 | % | 2.36 | % | 1.14 | % | 1.08 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | 0.34 | %9 | 0.25 | % | 0.74 | % | (0.43 | )% | 0.60 | % | 0.88 | % | ||||||||||||||||||
Portfolio turnover | 264 | %8 | 750 | % | 330 | % | 240 | % | 159 | % | 178 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $4,791 | $4,716 | $14,301 | $24,536 | $3,495 | $24,752 | ||||||||||||||||||||||||
58
Table of Contents
AMG River Road Large Cap Value Select Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I | 2020 | 2019 | 2018 | 2017 | 20161 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $13.80 | $16.25 | $15.71 | $17.97 | $15.47 | $17.37 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | 0.05 | 0.08 | 4 | 0.16 | 5 | (0.02 | ) | 0.15 | 6 | 0.18 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.51 | (1.84 | ) | 0.95 | 1.92 | 3.33 | (0.31 | ) | ||||||||||||||||||||||
Total income (loss) from investment operations | 3.56 | (1.76 | ) | 1.11 | 1.90 | 3.48 | (0.13 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (2.57 | ) | – | (0.06 | ) | – | (0.23 | ) | (0.19 | ) | ||||||||||||||||||||
Net realized gain on investments | – | (0.69 | ) | (0.51 | ) | (4.16 | ) | (0.75 | ) | (1.58 | ) | |||||||||||||||||||
Total distributions to shareholders | (2.57 | ) | (0.69 | ) | (0.57 | ) | (4.16 | ) | (0.98 | ) | (1.77 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $14.79 | $13.80 | $16.25 | $15.71 | $17.97 | $15.47 | ||||||||||||||||||||||||
Total Return3,7 | 27.14 | %8 | (11.38 | )% | 7.43 | % | 12.82 | % | 23.11 | % | (0.73 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.73 | %9 | 0.76 | % | 0.99 | %10,11 | 1.92 | %10,11 | 0.78 | %11 | 0.79 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets12 | 0.86 | %9 | 0.80 | % | 1.01 | % | 2.04 | % | 0.87 | % | 0.82 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | 0.65 | %9 | 0.53 | % | 1.03 | % | (0.11 | )% | 0.90 | % | 1.14 | % | ||||||||||||||||||
Portfolio turnover | 264 | %8 | 750 | % | 330 | % | 240 | % | 159 | % | 178 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $37,525 | $38,990 | $83,323 | $55,590 | $37,002 | $33,715 | ||||||||||||||||||||||||
1 | Effective October 1, 2016, the Investor Class and Institutional Class were renamed Class N and Class I, 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 | Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $(0.01) and $0.03 for Class N and Class I, respectively. |
5 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.07 and $0.12 for Class N and Class I, respectively. |
6 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.07 and $0.12 for Class N and Class I, respectively. |
7 | The total return is calculated using the published Net Asset Value as of period end. |
8 | Not annualized. |
9 | Annualized. |
10 | Includes reduction from broker recapture amounting to less than 0.01% and 0.01% for the fiscal years ended October 31, 2019 and October 31, 2018, respectively. |
11 | Expense ratio includes dividend and interest expense related to securities sold short. Excluding such dividend and interest expense, the ratio of expenses to average net assets would be 1.04% and 0.75%, 1.04% and 0.72% and 1.04% and 0.73% for Class N and Class I, respectively, for the fiscal years ended October 31, 2019, October 31, 2018 and October 31, 2017, respectively. |
12 | 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.) |
59
Table of Contents
AMG River Road Small Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.76 | $13.00 | $13.26 | $14.46 | $12.29 | $12.20 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment loss1,2 | (0.03 | )3 | (0.02 | ) | (0.04 | ) | (0.05 | ) | (0.05 | ) | (0.04 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.76 | (1.43 | ) | 1.17 | 0.79 | 2.88 | 0.85 | |||||||||||||||||||||||
Total income (loss) from investment operations | 4.73 | (1.45 | ) | 1.13 | 0.74 | 2.83 | 0.81 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net realized gain on investments | – | (0.79 | ) | (1.39 | ) | (1.94 | ) | (0.66 | ) | (0.72 | ) | |||||||||||||||||||
Net Asset Value, End of Period | $15.49 | $10.76 | $13.00 | $13.26 | $14.46 | $12.29 | ||||||||||||||||||||||||
Total Return2,4 | 43.96 | %5 | (12.09 | )% | 10.86 | % | 5.41 | % | 23.43 | % | 7.22 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.34 | %6,7 | 1.34 | %7 | 1.36 | %7 | 1.35 | %7 | 1.35 | %7 | 1.34 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.35 | %6 | 1.36 | % | 1.37 | % | 1.36 | % | 1.36 | % | 1.34 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets2 | (0.39 | )%6 | (0.19 | )% | (0.33 | )% | (0.34 | )% | (0.36 | )% | (0.31 | )% | ||||||||||||||||||
Portfolio turnover | 25 | %5 | 42 | % | 47 | %9 | 41 | % | 42 | % | 57 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $35,353 | $25,920 | $29,963 | $28,444 | $31,657 | $21,765 | ||||||||||||||||||||||||
60
Table of Contents
AMG River Road Small Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 | For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.05 | $13.30 | $13.51 | $14.68 | $12.44 | $12.31 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | (0.01 | )3 | 0.01 | (0.01 | ) | (0.01 | ) | (0.01 | ) | (0.01 | ) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.89 | (1.46 | ) | 1.20 | 0.79 | 2.92 | 0.86 | |||||||||||||||||||||||
Total income (loss) from investment operations | 4.88 | (1.45 | ) | 1.19 | 0.78 | 2.91 | 0.85 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.00 | )10 | (0.01 | ) | (0.01 | ) | (0.01 | ) | – | – | ||||||||||||||||||||
Net realized gain on investments | – | (0.79 | ) | (1.39 | ) | (1.94 | ) | (0.67 | ) | (0.72 | ) | |||||||||||||||||||
Total distributions to shareholders | (0.00 | )10 | (0.80 | ) | (1.40 | ) | (1.95 | ) | (0.67 | ) | (0.72 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $15.93 | $11.05 | $13.30 | $13.51 | $14.68 | $12.44 | ||||||||||||||||||||||||
Total Return2,4 | 44.17 | %5 | (11.91 | )% | 11.23 | % | 5.60 | % | 23.80 | % | 7.50 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.08 | %6,7 | 1.07 | %7 | 1.09 | %7 | 1.10 | %7 | 1.10 | %7 | 1.09 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.09 | %6 | 1.09 | % | 1.10 | % | 1.11 | % | 1.11 | % | 1.09 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | (0.13 | )%6 | 0.07 | % | (0.06 | )% | (0.09 | )% | (0.11 | )% | (0.06 | )% | ||||||||||||||||||
Portfolio turnover | 25 | %5 | 42 | % | 47 | %9 | 41 | % | 42 | % | 57 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $809,868 | $487,637 | $374,344 | $330,245 | $279,574 | $246,753 | ||||||||||||||||||||||||
61
Table of Contents
AMG River Road Small Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 | For the fiscal years ended October 31, | For the fiscal period ended October 31, | |||||||||||||||||||||||
Class Z |
2020 | 2019 | 2018 | 201711 | |||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.05 | $13.30 | $13.51 | $14.68 | $14.68 | ||||||||||||||||||||
Income (loss) from Investment Operations: | |||||||||||||||||||||||||
Net investment income (loss)1,2 | (0.00 | )3,10 | 0.02 | 0.00 | 12 | 0.00 | 12 | (0.01 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.89 | (1.46 | ) | 1.20 | 0.79 | 0.01 | |||||||||||||||||||
Total income (loss) from investment operations | 4.89 | (1.44 | ) | 1.20 | 0.79 | – | |||||||||||||||||||
Less Distributions to Shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.02 | ) | (0.02 | ) | (0.02 | ) | – | ||||||||||||||||
Net realized gain on investments | – | (0.79 | ) | (1.39 | ) | (1.94 | ) | – | |||||||||||||||||
Total distributions to shareholders | (0.01 | ) | (0.81 | ) | (1.41 | ) | (1.96 | ) | – | ||||||||||||||||
Net Asset Value, End of Period | $15.93 | $11.05 | $13.30 | $13.51 | $14.68 | ||||||||||||||||||||
Total Return2,4 | 44.26 | %5 | (11.78 | )% | 11.29 | % | 5.71 | % | 0.00 | %5 | |||||||||||||||
Ratio of net expenses to average net assets | 0.99 | %6,7 | | 0.99 | %7 | 1.01 | %7 | 1.00 | %7 | 1.03 | %6,7 | ||||||||||||||
Ratio of gross expenses to average net assets8 | 1.00 | %6 | 1.01 | % | 1.02 | % | 1.01 | % | 1.03 | %6 | |||||||||||||||
Ratio of net investment income (loss) to average net assets2 | (0.04 | )%6 | 0.16 | % | 0.02 | % | 0.01 | % | (0.58 | )%6 | |||||||||||||||
Portfolio turnover | 25 | %5 | 42 | % | 47 | %9 | 41 | % | 42 | %5 | |||||||||||||||
Net assets end of period (000’s) omitted | $1,493 | $1,025 | $186 | $163 | $154 | ||||||||||||||||||||
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 | 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. |
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 0.01% for the six months ended April 30, 2021, and 0.02%, 0.01%, 0.01% and 0.01% for the fiscal years ended 2020, 2019, 2018, and 2017, respectively. |
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 | Portfolio turnover rate excludes securities delivered from processing a redemption in-kind. |
10 | Less than $(0.005) per share. |
11 | The commencement of operations was October 2, 2017. |
12 | Less than $0.005 per share. |
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Table of Contents
AMG River Road Dividend All Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.02 | $12.34 | $12.29 | $12.87 | $12.18 | $12.67 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.07 | 0.25 | 0.27 | 0.22 | 0.22 | 0.24 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.01 | (1.49 | ) | 0.80 | 0.06 | 1.54 | 0.65 | |||||||||||||||||||||||
Total income (loss) from investment operations | 3.08 | (1.24 | ) | 1.07 | 0.28 | 1.76 | 0.89 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.34 | ) | (0.30 | ) | (0.28 | ) | (0.21 | ) | (0.22 | ) | ||||||||||||||||||
Net realized gain on investments | – | (0.74 | ) | (0.72 | ) | (0.58 | ) | (0.86 | ) | (1.16 | ) | |||||||||||||||||||
Total distributions to shareholders | (0.12 | ) | (1.08 | ) | (1.02 | ) | (0.86 | ) | (1.07 | ) | (1.38 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $12.98 | $10.02 | $12.34 | $12.29 | $12.87 | $12.18 | ||||||||||||||||||||||||
Total Return2,3 | 30.80 | %4 | (10.96 | )% | 10.11 | % | 2.06 | % | 14.79 | % | 7.88 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.09 | %5,6 | 1.13 | %6 | 1.11 | %6 | 1.10 | %6 | 1.11 | %6 | 1.10 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 1.11 | %5 | 1.13 | % | 1.12 | % | 1.11 | % | 1.12 | % | 1.10 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 1.26 | %5 | 2.38 | % | 2.32 | % | 1.78 | % | 1.75 | % | 2.00 | % | ||||||||||||||||||
Portfolio turnover | 9 | %4 | 35 | % | 29 | % | 27 | % | 28 | % | 47 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $45,569 | $41,358 | $79,811 | $100,420 | $136,534 | $295,797 | ||||||||||||||||||||||||
63
Table of Contents
AMG River Road Dividend All Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.01 | $12.33 | $12.29 | $12.86 | $12.17 | $12.66 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.09 | 0.28 | 0.31 | 0.26 | 0.24 | 0.28 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.00 | (1.49 | ) | 0.78 | 0.06 | 1.55 | 0.64 | |||||||||||||||||||||||
Total income (loss) from investment operations | 3.09 | (1.21 | ) | 1.09 | 0.32 | 1.79 | 0.92 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.37 | ) | (0.33 | ) | (0.31 | ) | (0.24 | ) | (0.25 | ) | ||||||||||||||||||
Net realized gain on investments | — | (0.74 | ) | (0.72 | ) | (0.58 | ) | (0.86 | ) | (1.16 | ) | |||||||||||||||||||
Total distributions to shareholders | (0.13 | ) | (1.11 | ) | (1.05 | ) | (0.89 | ) | (1.10 | ) | (1.41 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $12.97 | $10.01 | $12.33 | $12.29 | $12.86 | $12.17 | ||||||||||||||||||||||||
Total Return2,3 | 30.98 | %4 | (10.69 | )% | 10.32 | % | 2.38 | % | 15.07 | % | 8.15 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.83 | %5,6 | 0.86 | %6 | 0.84 | %6 | 0.84 | %6 | 0.86 | %6 | 0.85 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 0.85 | %5 | 0.86 | % | 0.85 | % | 0.85 | % | 0.87 | % | 0.85 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 1.52 | %5 | 2.65 | % | 2.59 | % | 2.04 | % | 1.93 | % | 2.30 | % | ||||||||||||||||||
Portfolio turnover | 9 | %4 | 35 | % | 29 | % | 27 | % | 28 | % | 47 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $493,180 | $408,844 | $533,106 | $743,984 | $788,023 | $555,064 | ||||||||||||||||||||||||
64
Table of Contents
AMG River Road Dividend All Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 (unaudited)
| For the fiscal year ended October 31, | For the fiscal period ended October 31, | |||||||||||||||||||||||
Class Z |
2020 |
2019 |
2018 |
20178 | |||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.01 | $12.33 | $12.29 | $12.86 | $12.80 | ||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income1,2 | 0.09 | 0.27 | 0.32 | 0.26 | 0.01 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.00 | (1.47 | ) | 0.77 | 0.06 | 0.07 | |||||||||||||||||||
Total income (loss) from investment operations | 3.09 | (1.20 | ) | 1.09 | 0.32 | 0.08 | |||||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | (0.13 | ) | (0.38 | ) | (0.33 | ) | (0.31 | ) | (0.02 | ) | |||||||||||||||
Net realized gain on investments | — | (0.74 | ) | (0.72 | ) | (0.58 | ) | – | |||||||||||||||||
Total distributions to shareholders | (0.13 | ) | (1.12 | ) | (1.05 | ) | (0.89 | ) | (0.02 | ) | |||||||||||||||
Net Asset Value, End of Period | $12.97 | $10.01 | $12.33 | $12.29 | $12.86 | ||||||||||||||||||||
Total Return2,3 | 31.01 | %4 | (10.65 | )% | 10.37 | % | 2.42 | % | 0.59 | %4 | |||||||||||||||
Ratio of net expenses to average net assets6 | 0.79 | %5 | 0.81 | % | 0.79 | % | 0.78 | % | 0.78 | %5 | |||||||||||||||
Ratio of gross expenses to average net assets7 | 0.81 | %5 | 0.81 | % | 0.80 | % | 0.79 | % | 0.79 | %5 | |||||||||||||||
Ratio of net investment income to average net assets2 | 1.56 | %5 | 2.69 | % | 2.64 | % | 2.10 | % | 0.79 | %5 | |||||||||||||||
Portfolio turnover | 9 | %4 | 35 | % | 29 | % | 27 | % | 28 | %4 | |||||||||||||||
Net assets end of period (000’s) omitted | $2,537 | $1,901 | $63 | $619 | $257 | ||||||||||||||||||||
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 | The total return is calculated using the published Net Asset Value as of period end. |
4 | Not annualized. |
5 | Annualized. |
6 | Includes reduction from broker recapture amounting to less than $0.01 for the six months ended April 30, 2021, less than 0.01%, 0.01%, less than 0.01%, and less than 0.01% for the fiscal years ended 2020, 2019, 2018, and 2017, respectively. |
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.) |
8 | The commencement of operations was on October 2, 2017. |
65
Table of Contents
AMG River Road Small-Mid Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $6.80 | $7.84 | $7.62 | $8.23 | $7.04 | $7.63 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment loss1,2 | (0.01 | ) | (0.01 | )3 | (0.02 | ) | (0.03 | ) | (0.03 | ) | (0.04 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.07 | (0.88 | ) | 0.78 | 0.57 | 1.81 | 0.56 | |||||||||||||||||||||||
Total income (loss) from investment operations | 3.06 | (0.89 | ) | 0.76 | 0.54 | 1.78 | 0.52 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | – | (0.01 | ) | – | (0.02 | ) | (0.01 | ) | – | |||||||||||||||||||||
Net realized gain on investments | – | (0.14 | ) | (0.54 | ) | (1.13 | ) | (0.58 | ) | (1.11 | ) | |||||||||||||||||||
Total distributions to shareholders | – | (0.15 | ) | (0.54 | ) | (1.15 | ) | (0.59 | ) | (1.11 | ) | |||||||||||||||||||
Net Asset Value, End of Period | $9.86 | $6.80 | $7.84 | $7.62 | $8.23 | $7.04 | ||||||||||||||||||||||||
Total Return2,4 | 45.00 | %5 | (11.65 | )% | 11.82 | % | 7.09 | % | 26.18 | % | 8.55 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.28 | %6,7 | 1.31 | %7 | 1.31 | %7 | 1.32 | %7 | 1.35 | %7 | 1.50 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.29 | %6 | 1.33 | % | 1.37 | % | 1.36 | % | 1.46 | % | 1.62 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets2 | (0.21 | )%6 | (0.16 | )% | (0.27 | )% | (0.35 | )% | (0.33 | )% | (0.52 | )% | ||||||||||||||||||
Portfolio turnover | 31 | %5 | 47 | % | 38 | % | 46 | % | 57 | % | 65 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $25,342 | $21,618 | $24,669 | $17,840 | $7,810 | $4,942 | ||||||||||||||||||||||||
66
Table of Contents
AMG River Road Small-Mid Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $6.98 | $8.04 | $7.78 | $8.38 | $7.16 | $7.76 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | 0.00 | 9 | 0.01 | 3 | (0.00 | )10 | (0.01 | ) | 0.00 | 9 | (0.02 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.16 | (0.91 | ) | 0.80 | 0.57 | 1.84 | 0.55 | |||||||||||||||||||||||
Total income (loss) from investment operations | 3.16 | (0.90 | ) | 0.80 | 0.56 | 1.84 | 0.53 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.00 | )10 | (0.02 | ) | – | (0.03 | ) | (0.03 | ) | (0.02 | ) | |||||||||||||||||||
Net realized gain on investments | – | (0.14 | ) | (0.54 | ) | (1.13 | ) | (0.59 | ) | (1.11 | ) | |||||||||||||||||||
Total distributions to shareholders | (0.00 | )10 | (0.16 | ) | (0.54 | ) | (1.16 | ) | (0.62 | ) | (1.13 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.14 | $6.98 | $8.04 | $7.78 | $8.38 | $7.16 | ||||||||||||||||||||||||
Total Return2,4 | 45.28 | %5 | (11.47 | )% | 12.12 | % | 7.32 | % | 26.63 | % | 8.64 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.03 | %6,7 | 1.05 | %7 | 1.06 | %7 | 1.08 | %7 | 1.10 | %7 | 1.25 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.04 | %6 | 1.07 | % | 1.12 | % | 1.12 | % | 1.21 | % | 1.38 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | 0.02 | %6 | 0.09 | % | (0.02 | )% | (0.11 | )% | (0.06 | )% | (0.24 | )% | ||||||||||||||||||
Portfolio turnover | 31 | %5 | 47 | % | 38 | % | 46 | % | 57 | % | 65 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $236,107 | $156,350 | $145,620 | $51,400 | $36,547 | $34,913 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||
|
67
Table of Contents
AMG River Road Small-Mid Cap Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 | For the fiscal year ended October 31, | For the fiscal period ended October 31, | |||||||||||||||||||||||
Class Z |
2020 | 2019 | 2018 | 201711 | |||||||||||||||||||||
Net Asset Value, Beginning of Period | $6.98 | $8.04 | $7.77 | $8.37 | $8.48 | ||||||||||||||||||||
Income (loss) from Investment Operations: | |||||||||||||||||||||||||
Net investment income (loss)1,2 | 0.00 | 9 | 0.01 | 3 | 0.00 | 9 | (0.01 | ) | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.15 | (0.91 | ) | 0.81 | 0.58 | (0.10 | ) | ||||||||||||||||||
Total income (loss) from investment operations | 3.15 | (0.90 | ) | 0.81 | 0.57 | (0.11 | ) | ||||||||||||||||||
Less Distributions to Shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.00 | )10 | (0.02 | ) | — | (0.04 | ) | — | |||||||||||||||||
Net realized gain on investments | — | (0.14 | ) | (0.54 | ) | (1.13 | ) | — | |||||||||||||||||
Total distributions to shareholders | (0.00 | )10 | (0.16 | ) | (0.54 | ) | (1.17 | ) | — | ||||||||||||||||
Net Asset Value, End of Period | $10.13 | $6.98 | $8.04 | $7.77 | $8.37 | ||||||||||||||||||||
Total Return2,4 | 45.20 | %5 | (11.43 | )% | 12.26 | % | 7.37 | % | (1.30 | )%5 | |||||||||||||||
Ratio of net expenses to average net assets | 0.97 | %6,7 | | 1.00 | %7 | 1.01 | %7 | 1.03 | %7 | 1.04 | %6,7 | ||||||||||||||
Ratio of gross expenses to average net assets8 | 0.98 | %6 | 1.02 | % | 1.07 | % | 1.07 | % | 1.48 | %6 | |||||||||||||||
Ratio of net investment income (loss) to average net assets2 | 0.08 | %6 | 0.14 | % | 0.03 | % | (0.06 | )% | (0.71 | )%6 | |||||||||||||||
Portfolio turnover | 31 | %5 | 47 | % | 38 | % | 46 | % | | 57 | %5 | ||||||||||||||
Net assets end of period (000’s) omitted | $783 | $553 | $183 | $136 | $49 | ||||||||||||||||||||
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 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.02), $(0.00), and $0.00 for Class N, Class I, and Class Z shares, respectively. |
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 0.01% for the six months ended April 30, 2021, 0.02%, 0.03%, 0.01% and 0.01% for the fiscal years ended 2020, 2019, 2018 and the fiscal period ended 2017, respectively. |
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 per share. |
10 | Less than $(0.005) per share. |
11 | The commencement of operations was October 2, 2017. |
68
Table of Contents
AMG River Road Long-Short Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021 (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.40 | $13.06 | $12.19 | $12.33 | $11.04 | $11.48 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment loss1,2 | (0.08 | ) | (0.16 | ) | (0.05 | ) | (0.03 | )3 | (0.25 | ) | (0.19 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.42 | (0.42 | ) | 1.63 | (0.11 | ) | 1.54 | 0.13 | ||||||||||||||||||||||
Total income (loss) from investment operations | 2.34 | (0.58 | ) | 1.58 | (0.14 | ) | 1.29 | (0.06 | ) | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net realized gain on investments | – | (1.08 | ) | (0.71 | ) | – | – | (0.38 | ) | |||||||||||||||||||||
Net Asset Value, End of Period | $13.74 | $11.40 | $13.06 | $12.19 | $12.33 | $11.04 | ||||||||||||||||||||||||
Total Return2,4 | 20.53 | %5 | (5.17 | )% | 13.98 | % | (1.14 | )% | 11.69 | % | (0.52 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets6 | 2.38 | %7,8 | 2.71 | %8 | 2.41 | %8 | 3.12 | %8 | 3.60 | %8 | 3.46 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets9 | 2.80 | %7 | 3.23 | % | 2.83 | % | 3.41 | % | 3.75 | % | 3.62 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets2 | (1.22 | )%7 | (1.35 | )% | (0.43 | )% | (0.25 | )% | (2.23 | )% | (1.75 | )% | ||||||||||||||||||
Portfolio turnover | 97 | %5 | 257 | % | 264 | % | 189 | % | 186 | % | 298 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $1,686 | $1,584 | $2,654 | $3,749 | $5,508 | $8,713 | ||||||||||||||||||||||||
69
Table of Contents
AMG River Road Long-Short Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.65 | $13.30 | $12.37 | $12.48 | $11.15 | $11.56 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment loss1,2 | (0.06 | ) | (0.14 | ) | (0.02 | ) | 0.00 | 3,10 | (0.24 | ) | (0.18 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.48 | (0.43 | ) | 1.66 | (0.11 | ) | 1.57 | 0.15 | ||||||||||||||||||||||
Total income (loss) from investment operations | 2.42 | (0.57 | ) | 1.64 | (0.11 | ) | 1.33 | (0.03 | ) | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net realized gain on investments | – | (1.08 | ) | (0.71 | ) | – | – | (0.38 | ) | |||||||||||||||||||||
Net Asset Value, End of Period | $14.07 | $11.65 | $13.30 | $12.37 | $12.48 | $11.15 | ||||||||||||||||||||||||
Total Return2,4 | 20.77 | %5 | (4.98 | )% | 14.28 | % | (0.88 | )% | 11.93 | % | (0.24 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets6 | 2.13 | %7,8 | 2.46 | %8 | 2.16 | %8 | 2.87 | %8 | 3.35 | %8 | 3.24 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets9 | 2.55 | %7 | 2.98 | % | 2.58 | % | 3.16 | % | 3.50 | % | 3.39 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets2 | (0.97 | )%7 | (1.10 | )% | (0.18 | )% | 0.00 | %11 | (1.98 | )% | (1.67 | )% | ||||||||||||||||||
Portfolio turnover | 97 | %5 | 257 | % | 264 | % | 189 | % | 186 | % | 298 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $16,012 | $14,041 | $22,856 | $24,925 | $29,030 | $37,549 | ||||||||||||||||||||||||
70
Table of Contents
AMG River Road Long-Short Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six
| For the fiscal year ended October 31, | For the fiscal period ended October 31, | |||||||||||||||||||||||
Class Z |
2020 |
2019 |
2018 |
201712 | |||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.69 | $13.32 | $12.38 | $12.49 | $12.53 | ||||||||||||||||||||
Income (loss) from Investment Operations: | |||||||||||||||||||||||||
Net investment income (loss)1,2 | (0.06 | ) | (0.12 | ) | (0.01 | ) | 0.01 | 3 | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.49 | (0.43 | ) | 1.66 | (0.12 | ) | (0.02 | ) | |||||||||||||||||
Total income (loss) from investment operations | 2.43 | (0.55 | ) | 1.65 | (0.11 | ) | (0.04 | ) | |||||||||||||||||
Less Distributions to Shareholders from: | |||||||||||||||||||||||||
Net realized gain on investments | – | (1.08 | ) | (0.71 | ) | – | – | ||||||||||||||||||
Net Asset Value, End of Period | $14.12 | $11.69 | $13.32 | $12.38 | $12.49 | ||||||||||||||||||||
Total Return2,4 | 20.79 | %5 | (4.82 | )% | 14.35 | % | (0.88 | )% | (0.32 | )%5 | |||||||||||||||
Ratio of net expenses to average net assets6 | 2.05 | %7,8 | 2.38 | %8 | 2.08 | %8 | 2.79 | %8 | 3.38 | %7,8 | |||||||||||||||
Ratio of gross expenses to average net assets9 | 2.47 | %7 | 2.90 | % | 2.50 | % | 3.08 | % | 3.38 | %7 | |||||||||||||||
Ratio of net investment income (loss) to average net assets2 | (0.89 | )%7 | (1.02 | )% | (0.10 | )% | 0.09 | % | (2.74 | )%7 | |||||||||||||||
Portfolio turnover | 97 | %5 | 257 | % | 264 | % | 189 | % | 186 | %5 | |||||||||||||||
Net assets end of period (000’s) omitted | $732 | $660 | $84 | $73 | $25 | ||||||||||||||||||||
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 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.17), $(0.14), and $(0.13) for Class N, Class I and Class Z shares, respectively. |
4 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Expense ratio includes dividend and interest expense related to securities sold short. Excluding such dividend and interest expense, the ratio of expenses to average net assets would be 1.43%, 1.18%, and 1.10% for Class N, Class I and Class Z, respectively, for the six months ended April 30, 2021, 1.34%, 1.09% and 1.01% for Class N, Class I and Class Z, respectively, for the fiscal year ended October 31, 2020, 1.44%, 1.19% and 1.11% for Class N, Class I and Class Z, respectively, for the fiscal year ended October 31, 2019, 1.45%, 1.20% and 1.12% for Class N, Class I and Class Z, respectively, for the fiscal year ended October 31, 2018, 1.48% and 1.23% for Class N and Class I, respectively, for the fiscal year ended October 31, 2017, 1.12% for Class Z for the fiscal period ended 2017, and 1.70% and 1.45% for Class N and Class I, respectively, for the fiscal year ended 2016. |
7 | Annualized. |
8 | Includes reduction from brokerage recapture amounting to 0.02% for the six months ended April 30, 2021, 0.11%, 0.01% and 0.02% for the fiscal years ended 2020, 2019, 2018, respectively, and 0.02%, 0.02%, and less than 0.01% for Class N, Class I, and Class Z, respectively, for the fiscal period ended 2017. |
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. |
11 | Less than 0.005%. |
12 | Commencement of operations was on October 2, 2017. |
71
Table of Contents
AMG River Road Focused Absolute Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six
| For the fiscal years ended October 31, | For the fiscal period ended October 31, | ||||||||||||||||||||||||||||
Class N |
2020 |
2019 |
2018 |
2017 |
20161 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.05 | $12.65 | $11.91 | $11.87 | $10.85 | $10.00 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income (loss)2,3 | 0.02 | 4 | 0.04 | 5 | 0.04 | 0.05 | (0.01 | ) | 0.04 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.68 | (1.39 | ) | 1.45 | 0.93 | 1.85 | 0.81 | |||||||||||||||||||||||
Total income (loss) from investment operations | 3.70 | (1.35 | ) | 1.49 | 0.98 | 1.84 | 0.85 | |||||||||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income | — | (0.02 | ) | (0.05 | ) | (0.07 | ) | (0.09 | ) | — | ||||||||||||||||||||
Net realized gain on investments | — | (0.23 | ) | (0.70 | ) | (0.87 | ) | (0.73 | ) | — | ||||||||||||||||||||
Total distributions to shareholders | — | (0.25 | ) | (0.75 | ) | (0.94 | ) | (0.82 | ) | — | ||||||||||||||||||||
Net Asset Value, End of Period | $14.75 | $11.05 | $12.65 | $11.91 | $11.87 | $10.85 | ||||||||||||||||||||||||
Total Return3,6 | 33.49 | %7 | (11.03 | )% | 14.29 | % | 8.69 | % | 17.42 | % | 8.50 | %7 | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.06 | %8,9 | 1.03 | %9 | 0.98 | %9 | 0.99 | %9 | 0.97 | %9 | 1.12 | %8 | ||||||||||||||||||
Ratio of gross expenses to average net assets10 | 1.12 | %8 | 1.15 | % | 1.21 | % | 1.32 | % | 1.50 | % | 3.15 | %8 | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | 0.24 | %8 | 0.34 | % | 0.34 | % | 0.43 | % | (0.09 | )% | 0.39 | %8 | ||||||||||||||||||
Portfolio turnover | 50 | %7 | 103 | % | 59 | % | 88 | % | 112 | % | 146 | %7,11 | ||||||||||||||||||
Net assets end of period (000’s) omitted | $4,593 | $12,466 | $15,284 | $9,184 | $7,448 | $489 | ||||||||||||||||||||||||
72
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AMG River Road Focused Absolute Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six April 30, 2021
| For the fiscal years ended October 31, | For the fiscal period ended October 31, | ||||||||||||||||||||||||||||
Class I |
2020 |
2019 |
2018 |
2017 |
20161 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.12 | $12.72 | $11.98 | $11.92 | $10.88 | $10.00 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income2,3 | 0.03 | 4 | 0.07 | 5 | 0.07 | 0.08 | 0.06 | 0.08 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.70 | (1.40 | ) | 1.46 | 0.93 | 1.81 | 0.80 | |||||||||||||||||||||||
Total income (loss) from investment operations | 3.73 | (1.33 | ) | 1.53 | 1.01 | 1.87 | 0.88 | |||||||||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income | (0.08 | ) | (0.04 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | — | |||||||||||||||||||
Net realized gain on investments | — | (0.23 | ) | (0.70 | ) | (0.87 | ) | (0.73 | ) | — | ||||||||||||||||||||
Total distributions to shareholders | (0.08 | ) | (0.27 | ) | (0.79 | ) | (0.95 | ) | (0.83 | ) | — | |||||||||||||||||||
Net Asset Value, End of Period | $14.77 | $11.12 | $12.72 | $11.98 | $11.92 | $10.88 | ||||||||||||||||||||||||
Total Return3,6 | 33.61 | %7 | (10.81 | )% | 14.55 | % | 8.91 | % | 17.72 | % | 8.80 | %7 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.82 | %8,9 | 0.78 | %9 | 0.73 | %9 | 0.74 | %9 | 0.73 | %9 | 0.75 | %8 | ||||||||||||||||||
Ratio of gross expenses to average net assets10 | 0.88 | %8 | 0.90 | % | 0.96 | % | 1.07 | % | 1.20 | % | 2.90 | %8 | ||||||||||||||||||
Ratio of net investment income to average net assets3 | 0.48 | %8 | 0.59 | % | 0.59 | % | 0.68 | % | 0.50 | % | 0.81 | %8 | ||||||||||||||||||
Portfolio turnover | 50 | %7 | 103 | % | 59 | % | 88 | % | 112 | % | 146 | %7,11 | ||||||||||||||||||
Net assets end of period (000’s) omitted | $198,102 | $130,758 | $130,928 | $20,928 | $17,106 | $11,312 | ||||||||||||||||||||||||
73
Table of Contents
AMG River Road Focused Absolute Value Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal year ended October 31, | For the fiscal period ended October 31, | |||||||||||||||||||||||
Class Z |
2020 |
2019 |
2018 | 201712 | |||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.12 | $12.73 | $11.98 | $11.92 | $12.18 | ||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income (loss)2,3 | 0.03 | 4 | 0.07 | 5 | 0.07 | 0.08 | (0.01 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.71 | (1.41 | ) | 1.47 | 0.93 | (0.25 | ) | ||||||||||||||||||
Total income (loss) from investment operations | 3.74 | (1.34 | ) | 1.54 | 1.01 | (0.26 | ) | ||||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | (0.08 | ) | (0.04 | ) | (0.09 | ) | (0.08 | ) | — | ||||||||||||||||
Net realized gain on investments | — | (0.23 | ) | (0.70 | ) | (0.87 | ) | — | |||||||||||||||||
Total distributions to shareholders | (0.08 | ) | (0.27 | ) | (0.79 | ) | (0.95 | ) | — | ||||||||||||||||
Net Asset Value, End of Period | $14.78 | $11.12 | $12.73 | $11.98 | $11.92 | ||||||||||||||||||||
Total Return3,6 | 33.74 | %7 | (10.86 | )% | 14.69 | % | 8.96 | % | (2.13 | )%7 | |||||||||||||||
Ratio of net expenses to average net assets | 0.78 | %8,9 | 0.74 | %9 | 0.69 | %9 | 0.70 | %9 | 0.70 | %8,9 | |||||||||||||||
Ratio of gross expenses to average net assets10 | 0.84 | %8 | 0.86 | % | 0.92 | % | 1.03 | % | 1.32 | %8 | |||||||||||||||
Ratio of net investment income (loss) to average net assets3 | 0.52 | %8 | 0.63 | % | 0.63 | % | 0.72 | % | (0.59 | )%8 | |||||||||||||||
Portfolio turnover | 50 | %7 | 103 | % | 59 | % | 88 | % | 112 | %7 | |||||||||||||||
Net assets end of period (000’s) omitted | $3,452 | $2,462 | $157 | $66 | $61 | ||||||||||||||||||||
1 | The commencement of operations for Class N and Class I shares was November 3, 2015. |
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 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.00), $0.02, and $0.02 for Class N, Class I, and Class Z shares, respectively. |
5 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.02, $0.05, and $0.05 for Class N, Class I, and Class Z shares, respectively. |
6 | The total return is calculated using the published Net Asset Value as of period end. |
7 | Not annualized. |
8 | Annualized. |
9 | Includes reduction from broker recapture amounting to less than 0.01% for the six months ended April 30, 2021, 0.01% for the fiscal year ended October 31, 2020, 0.02% for the fiscal year ended October 31, 2019, 0.01% for the fiscal year ended October 31, 2018, and 0.03%, 0.02%, and less than 0.01% for Class N, Class I and Class Z, respectively, for the fiscal period ended October 31, 2017. |
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.) |
11 | Portfolio turnover rate excludes securities received from processing a subscription in-kind. |
12 | The commencement of operations for Class Z shares was October 2, 2017. |
74
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund
Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N |
2020 |
2019 |
2018 |
�� 2017 |
2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.76 | $10.74 | $10.23 | $10.68 | $10.77 | $10.60 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.12 | 0.27 | 0.34 | 0.29 | 0.27 | 0.31 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.01 | ) | 0.05 | 0.53 | (0.43 | ) | 0.01 | 0.17 | ||||||||||||||||||||||
Total income (loss) from investment operations | 0.11 | 0.32 | 0.87 | (0.14 | ) | 0.28 | 0.48 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.30 | ) | (0.36 | ) | (0.31 | ) | (0.30 | ) | (0.31 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | — | — | (0.02 | ) | — | |||||||||||||||||||||||
Paid in capital | — | — | — | — | (0.05 | ) | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.16 | ) | (0.30 | ) | (0.36 | ) | (0.31 | ) | (0.37 | ) | (0.31 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.71 | $10.76 | $10.74 | $10.23 | $10.68 | $10.77 | ||||||||||||||||||||||||
Total Return2,3 | 0.99 | %4 | 3.01 | % | 8.67 | % | (1.33 | )% | 2.68 | % | 4.62 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.94 | %5 | 0.94 | % | 0.94 | % | 0.94 | % | 0.94 | % | 0.94 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets6 | 1.00 | %5 | 1.01 | % | 1.02 | % | 1.01 | % | 1.02 | % | 1.02 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 2.26 | %5 | 2.54 | % | 3.24 | % | 2.80 | % | 2.58 | % | 2.84 | % | ||||||||||||||||||
Portfolio turnover | 106 | %4 | 96 | % | 47 | % | 69 | % | 106 | % | 78 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $45,863 | $56,175 | $82,856 | $102,138 | $169,646 | $308,703 | ||||||||||||||||||||||||
75
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I |
2020 |
2019 |
2018 |
2017 |
2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.75 | $10.74 | $10.23 | $10.67 | $10.76 | $10.60 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.13 | 0.30 | 0.37 | 0.32 | 0.30 | 0.33 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.01 | ) | 0.03 | 0.53 | (0.42 | ) | 0.01 | 0.17 | ||||||||||||||||||||||
Total income (loss) from investment operations | 0.12 | 0.33 | 0.90 | (0.10 | ) | 0.31 | 0.50 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.32 | ) | (0.39 | ) | (0.34 | ) | (0.33 | ) | (0.34 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | — | — | (0.02 | ) | — | |||||||||||||||||||||||
Paid in capital | — | — | — | — | (0.05 | ) | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.17 | ) | (0.32 | ) | (0.39 | ) | (0.34 | ) | (0.40 | ) | (0.34 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.70 | $10.75 | $10.74 | $10.23 | $10.67 | $10.76 | ||||||||||||||||||||||||
Total Return2,3 | 1.11 | %4 | 3.17 | % | 8.94 | % | (0.98 | )% | 2.95 | % | 4.79 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.69 | %5 | 0.69 | % | 0.69 | % | 0.69 | % | 0.68 | % | 0.69 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets6 | 0.75 | %5 | 0.76 | % | 0.77 | % | 0.76 | % | 0.76 | % | 0.77 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 2.51 | %5 | 2.79 | % | 3.49 | % | 3.05 | % | 2.83 | % | 3.11 | % | ||||||||||||||||||
Portfolio turnover | 106 | %4 | 96 | % | 47 | % | 69 | % | 106 | % | 78 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $317,970 | $433,881 | $585,358 | $467,024 | $507,600 | $398,514 | ||||||||||||||||||||||||
76
Table of Contents
AMG Beutel Goodman Core Plus Bond Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited) | For the fiscal years ended October 31, | For the fiscal period ended October 31, | |||||||||||||||||||||||
Class Z |
2020 |
2019 |
2018 | 20177 | |||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.76 | $10.74 | $10.24 | $10.68 | $10.69 | ||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income1,2 | 0.14 | 0.31 | 0.38 | 0.33 | 0.03 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.02 | ) | 0.04 | 0.52 | (0.43 | ) | (0.01 | ) | |||||||||||||||||
Total income (loss) from investment operations | 0.12 | 0.35 | 0.90 | (0.10 | ) | 0.02 | |||||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | (0.17 | ) | (0.33 | ) | (0.40 | ) | (0.34 | ) | (0.03 | ) | |||||||||||||||
Paid in capital | — | — | — | — | (0.00 | )8 | |||||||||||||||||||
Total distributions to shareholders | (0.17 | ) | (0.33 | ) | (0.40 | ) | (0.34 | ) | (0.03 | ) | |||||||||||||||
Net Asset Value, End of Period | $10.71 | $10.76 | $10.74 | $10.24 | $10.68 | ||||||||||||||||||||
Total Return2,3 | 1.15 | %4 | 3.35 | % | 8.91 | % | (0.91 | )% | 0.17 | %4 | |||||||||||||||
Ratio of net expenses to average net assets | 0.61 | %5 | 0.61 | % | 0.61 | % | 0.61 | % | 0.60 | %5 | |||||||||||||||
Ratio of gross expenses to average net assets6 | 0.67 | %5 | 0.68 | % | 0.69 | % | 0.68 | % | 0.63 | %5 | |||||||||||||||
Ratio of net investment income to average net assets2 | 2.59 | %5 | 2.87 | % | 3.57 | % | 3.13 | % | 2.74 | %5 | |||||||||||||||
Portfolio turnover | 106 | %4 | 96 | % | 47 | % | 69 | % | 106 | %4 | |||||||||||||||
Net assets end of period (000’s) omitted | $11,152 | $10,684 | $2,473 | $1,955 | $1,597 | ||||||||||||||||||||
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment income would have been lower had certain expenses not been offset. |
3 | The total return is calculated using the published Net Asset Value as of period end. |
4 | Not annualized. |
5 | Annualized. |
6 | 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.) |
7 | The commencement of operations was October 2, 2017. |
8 | Less than $(0.005) per share. |
77
Table of Contents
AMG Beutel Goodman International Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N |
2020 |
2019 |
2018 |
2017 |
2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $8.23 | $9.56 | $9.90 | $11.60 | $9.61 | $9.56 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income1,2 | 0.04 | 0.07 | 3 | 0.07 | 0.12 | 0.04 | 0.13 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.98 | (1.17 | ) | 0.56 | (1.31 | ) | 2.22 | 0.00 | 4 | |||||||||||||||||||||
Total income (loss) from investment operations | 3.02 | (1.10 | ) | 0.63 | (1.19 | ) | 2.26 | 0.13 | ||||||||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income | — | (0.23 | ) | (0.20 | ) | (0.18 | ) | (0.07 | ) | (0.02 | ) | |||||||||||||||||||
Net realized gain on investments | — | — | (0.77 | ) | (0.33 | ) | (0.20 | ) | (0.06 | ) | ||||||||||||||||||||
Total distributions to shareholders | — | (0.23 | ) | (0.97 | ) | (0.51 | ) | (0.27 | ) | (0.08 | ) | |||||||||||||||||||
Net Asset Value, End of Period | $11.25 | $8.23 | $9.56 | $9.90 | $11.60 | $9.61 | ||||||||||||||||||||||||
Total Return2,5 | 36.70 | %6 | (11.83 | )% | 8.34 | % | (10.80 | )% | 24.30 | % | 1.42 | %7 | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.29 | %8 | 1.31 | % | 1.32 | % | 1.27 | % | 1.30 | % | 1.40 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets9 | 1.35 | %8 | 1.35 | % | 1.32 | % | 1.28 | % | 1.31 | % | 1.41 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 0.70 | %8 | 0.77 | % | 0.78 | % | 1.10 | % | 0.38 | % | 1.88 | % | ||||||||||||||||||
Portfolio turnover | 105 | %6 | 43 | % | 28 | % | 51 | % | 34 | % | 38 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $7,250 | $6,792 | $87,998 | $82,839 | $4,006 | $131 | ||||||||||||||||||||||||
78
Table of Contents
AMG Beutel Goodman International Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I |
2020 |
2019 |
2018 |
2017 |
2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $8.28 | $9.62 | $9.93 | $11.59 | $9.65 | $9.60 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income1,2 | 0.05 | 0.09 | 3 | 0.09 | 0.16 | 0.13 | 0.15 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.00 | (1.16 | ) | 0.57 | (1.32 | ) | 2.16 | 0.00 | 4 | |||||||||||||||||||||
Total income (loss) from investment operations | 3.05 | (1.07 | ) | 0.66 | (1.16 | ) | 2.29 | 0.15 | ||||||||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income | (0.05 | ) | (0.27 | ) | (0.20 | ) | (0.17 | ) | (0.14 | ) | (0.04 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | (0.77 | ) | (0.33 | ) | (0.21 | ) | (0.06 | ) | ||||||||||||||||||||
Total distributions to shareholders | (0.05 | ) | (0.27 | ) | (0.97 | ) | (0.50 | ) | (0.35 | ) | (0.10 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $11.28 | $8.28 | $9.62 | $9.93 | $11.59 | $9.65 | ||||||||||||||||||||||||
Total Return2,5 | 37.04 | %6 | (11.63 | )% | 8.65 | % | (10.57 | )% | 24.55 | % | 1.67 | %10 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.99 | %8 | 1.02 | % | 1.07 | % | 1.00 | % | 1.06 | % | 1.15 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets9 | 1.05 | %8 | 1.06 | % | 1.07 | % | 1.01 | % | 1.07 | % | 1.15 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 1.00 | %8 | 1.06 | % | 1.03 | % | 1.38 | % | 1.28 | % | 2.13 | % | ||||||||||||||||||
Portfolio turnover | 105 | %6 | 43 | % | 28 | % | 51 | % | 34 | % | 38 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $79,909 | $166,994 | $158,317 | $208,184 | $2,019,217 | $1,336,050 | ||||||||||||||||||||||||
79
Table of Contents
AMG Beutel Goodman International Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal year ended October 31, | For the fiscal period ended October 31, | |||||||||||||||||||||||
Class Z |
2020 |
2019 |
2018 | 201711 | |||||||||||||||||||||
Net Asset Value, Beginning of Period | $8.26 | $9.60 | $9.91 | $11.59 | $11.40 | ||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income1,2 | 0.06 | 0.10 | 3 | 0.10 | 0.16 | 0.00 | 4 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.99 | (1.16 | ) | 0.57 | (1.31 | ) | 0.19 | ||||||||||||||||||
Total income (loss) from investment operations | 3.05 | (1.06 | ) | 0.67 | (1.15 | ) | 0.19 | ||||||||||||||||||
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | (0.06 | ) | (0.28 | ) | (0.21 | ) | (0.20 | ) | — | ||||||||||||||||
Net realized gain on investments | — | — | (0.77 | ) | (0.33 | ) | — | ||||||||||||||||||
Total distributions to shareholders | (0.06 | ) | (0.28 | ) | (0.98 | ) | (0.53 | ) | — | ||||||||||||||||
Net Asset Value, End of Period | $11.25 | $8.26 | $9.60 | $9.91 | $11.59 | ||||||||||||||||||||
Total Return2,5 | 37.13 | %6 | (11.56 | )% | 8.84 | % | (10.52 | )% | 1.67 | %6 | |||||||||||||||
Ratio of net expenses to average net assets | 0.89 | %8 | 0.92 | % | 0.96 | % | 0.91 | % | 0.94 | %8 | |||||||||||||||
Ratio of gross expenses to average net assets9 | 0.95 | %8 | 0.96 | % | 0.96 | % | 0.92 | % | 0.95 | %8 | |||||||||||||||
Ratio of net investment income (loss) to average net assets2 | 1.10 | %8 | 1.16 | % | 1.14 | % | 1.46 | % | (0.36 | )%8 | |||||||||||||||
Portfolio turnover | 105 | %6 | 43 | % | 28 | % | 51 | % | 34 | % | |||||||||||||||
Net assets end of period (000’s) omitted | $6,422 | $11,692 | $49,054 | $1,289,369 | $254 | ||||||||||||||||||||
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment income would have been lower had certain expenses not been offset. |
3 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.04, $0.06, and $0.07 for Class N, Class I, and Class Z 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 | The total return would have been 1.32% had the capital contribution not been included. |
8 | Annualized. |
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 | The total return would have been 1.57% had the capital contribution not been included. |
11 | The commencement of operations for Class Z Shares was October 2, 2017. |
80
Table of Contents
AMG Montrusco Bolton Large Cap Growth Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class N |
2020 |
2019 |
2018 |
2017 |
2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $21.50 | $19.34 | $20.52 | $20.76 | $19.56 | $26.67 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net investment income (loss)1,2 | (0.04 | ) | (0.06 | ) | (0.02 | ) | (0.01 | ) | (0.02 | ) | 0.05 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.52 | 3.92 | 2.74 | 1.71 | 3.20 | (0.33 | ) | |||||||||||||||||||||||
Total income (loss) from investment operations | 4.48 | 3.86 | 2.72 | 1.70 | 3.18 | (0.28 | ) | |||||||||||||||||||||||
Less Distributions to Shareholders from: |
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Net investment income | — | — | — | — | (0.04 | ) | (0.08 | ) | ||||||||||||||||||||||
Net realized gain on investments | (10.55 | ) | (1.70 | ) | (3.90 | ) | (1.94 | ) | (1.94 | ) | (6.75 | ) | ||||||||||||||||||
Total distributions to shareholders | (10.55 | ) | (1.70 | ) | (3.90 | ) | (1.94 | ) | (1.98 | ) | (6.83 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $15.43 | $21.50 | $19.34 | $20.52 | $20.76 | $19.56 | ||||||||||||||||||||||||
Total Return2,3 | 26.25 | %4 | 21.36 | % | 18.29 | % | 8.58 | % | 17.99 | % | (1.77 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.14 | %5,6 | 1.16 | %6 | 1.16 | %6 | 1.15 | %6 | 1.15 | %6 | 1.12 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 1.14 | %5 | 1.16 | % | 1.17 | % | 1.16 | % | 1.17 | % | 1.12 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | (0.44 | )%5 | (0.30 | )% | (0.10 | )% | (0.03 | )% | (0.11 | )% | 0.25 | % | ||||||||||||||||||
Portfolio turnover | 81 | %4 | 30 | % | 20 | % | 33 | % | 42 | % | 64 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $181,267 | $166,051 | $166,353 | $179,434 | $259,324 | $519,008 | ||||||||||||||||||||||||
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AMG Montrusco Bolton Large Cap Growth Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six (unaudited)
| For the fiscal years ended October 31, | |||||||||||||||||||||||||||||
Class I |
2020 |
2019 |
2018 |
2017 |
2016 | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $21.69 | $19.46 | $20.62 | $20.84 | $19.70 | $26.82 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
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Net investment income (loss)1,2 | (0.03 | ) | (0.03 | ) | 0.01 | 0.03 | 0.02 | 0.10 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.58 | 3.96 | 2.76 | 1.71 | 3.20 | (0.31 | ) | |||||||||||||||||||||||
Total income (loss) from investment operations | 4.55 | 3.93 | 2.77 | 1.74 | 3.22 | (0.21 | ) | |||||||||||||||||||||||
Less Distributions to Shareholders from: |
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Net investment income | — | — | (0.03 | ) | (0.02 | ) | (0.13 | ) | (0.16 | ) | ||||||||||||||||||||
Net realized gain on investments | (10.55 | ) | (1.70 | ) | (3.90 | ) | (1.94 | ) | (1.95 | ) | (6.75 | ) | ||||||||||||||||||
Total distributions to shareholders | (10.55 | ) | (1.70 | ) | (3.93 | ) | (1.96 | ) | (2.08 | ) | (6.91 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $15.69 | $21.69 | $19.46 | $20.62 | $20.84 | $19.70 | ||||||||||||||||||||||||
Total Return2,3 | 26.33 | %4 | 21.60 | % | 18.49 | % | 8.75 | % | 18.21 | % | (1.51 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.98 | %5,6 | 0.99 | %6 | 0.98 | %6 | 0.96 | %6 | 0.92 | %6 | 0.87 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 0.98 | %5 | 0.99 | % | 0.99 | % | 0.97 | % | 0.94 | % | 0.87 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | (0.28 | )%5 | (0.13 | )% | 0.08 | % | 0.16 | % | 0.12 | % | 0.50 | % | ||||||||||||||||||
Portfolio turnover | 81 | %4 | 30 | % | 20 | % | 33 | % | 42 | % | 64 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $237,027 | $309,638 | $329,225 | $416,208 | $642,461 | $820,318 | ||||||||||||||||||||||||
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 | The total return is calculated using the published Net Asset Value as of period end. |
4 | Not annualized. |
5 | Annualized. |
6 | 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% and 0.01% for the fiscal years ended 2020, 2019, 2018 and 2017, respectively. |
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.) |
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Notes to Financial Statements (unaudited) April 30, 2021 |
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds I and AMG Funds IV (the “Trusts”) are open-end management investment companies. AMG Funds I is organized as a Massachusetts business trust, 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 a “Fund” and collectively, the “Funds”), each having distinct investment management objectives, strategies, risks, and policies. Included in this report are:
Funds
AMG River Road Mid Cap Value Fund (“River Road Mid Cap Value”) (formerly AMG Managers Fairpointe Mid Cap Fund) |
AMG River Road Large Cap Value Select Fund (“River Road Large Cap Value Select”) (formerly AMG FQ Long-Short Fund) |
AMG River Road Small Cap Value Fund (“River Road Small Cap Value”) |
AMG River Road Dividend All Cap Value Fund (“River Road Dividend All Cap Value”) |
AMG River Road Small-Mid Cap Value Fund (“River Road Small-Mid Cap Value”) |
AMG River Road Long-Short Fund (“River Road Long-Short”) |
AMG River Road Focused Absolute Value Fund (“River Road Focused Absolute Value”) |
AMG Beutel Goodman Core Plus Bond Fund (“Beutel Goodman Core Plus Bond”) (formerly AMG Managers DoubleLine Core Plus Bond Fund) |
AMG Beutel Goodman International Equity Fund (“Beutel Goodman International Equity”) (formerly AMG Managers Pictet International Fund) |
AMG Montrusco Bolton Large Cap Growth Fund (“Montrusco Bolton Large Cap Growth”) (formerly AMG Managers Montag & Caldwell Growth Fund) |
Each Fund is authorized to issue two classes of shares (Class N shares and Class I shares). River Road Mid Cap Value, River Road Small Cap Value, River Road Dividend All Cap Value, River Road Small-Mid Cap Value, River Road Long-Short, River Road Focused Absolute Value, Beutel Goodman Core Plus Bond and Beutel Goodman International Equity are authorized to issue 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 the Trusts (the “Board”) approved the following: River Road Asset Management, LLC (“River Road”), as the subadviser to River Road Mid Cap Value and River Road Large Cap Value Select, to replace Fairpointe Capital LLC and First Quadrant, L.P., respectively; Beutel, Goodman & Company Ltd.(“Beutel Goodman”) as the subadviser to Beutel Goodman Core Plus Bond and Beutel Goodman International Equity to replace DoubleLine Capital LP and Pictet Asset Management Limited, respectively; and Montrusco Bolton Investments, Inc. (“Montrusco Bolton”) as the subadviser to Montrusco Bolton Large Cap Growth to replace Montag & Caldwell, LLC. The replacement of the subadvisers were effective March 19, 2021, and were on an interim basis. The Board also approved the longer-term appointment of River Road, Beutel Goodman and Montrusco Bolton, new subadvisory agreements between River Road, Beutel
Goodman and Montrusco Bolton and the Investment Manager, and the submission of the new subadvisory agreements to shareholders of the respective Funds for approval. In connection with the hiring of River Road, Beutel Goodman, and Montrusco Bolton, effective March 19, 2021, River Road Mid Cap Value, River Road Large Cap Value Select, Beutel Goodman Core Plus Bond, Beutel Goodman International Equity and Montrusco Bolton Large Cap Growth made changes to their investment objectives, principal investment strategies and principal risks.
In conjunction with the respective changes in investment strategy for each Fund, each Fund sold substantially all open positions, including derivative positions, around the date of the subadviser change that increased each Fund’s portfolio turnover. Also, during the transitions of Beutel Goodman Core Plus Bond and Beutel Goodman International Equity, the Funds invested in futures contacts to manage exposure to security markets. River Road Mid Cap Value and Montrusco Bolton Large Cap growth also declared a special capital gain distribution on March 24, 2021 and River Road Large Cap Value Select declared a special income distribution on March 25, 2021.
In addition, on March 17-18, 2021, the Board approved the following fee changes to be implemented upon effectiveness of the new subadvisory agreements:
Old Rate | New Rate | |||||||
River Road Mid Cap Value: | ||||||||
Management Fee | 0.65%1 | 0.56 | % | |||||
Expense Cap | 0.82% | 0.76 | % | |||||
Shareholder Service Fee - Class N | 0.15% | 0.10 | % | |||||
Shareholder Service Fee - Class I | 0.15% | 0.05 | % | |||||
River Road Large Cap Value Select: |
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Expense Cap | 0.69% | 0.60 | % | |||||
Shareholder Service Fee - Class I | 0.10% | 0.05 | % | |||||
Betuel Goodman Core Plus Bond: |
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Management Fee | 0.45% | 0.23 | % | |||||
Expense Cap | 0.61% | 0.43 | % | |||||
Shareholder Service Fee - Class N | 0.15% | 0.00 | % | |||||
Shareholder Service Fee - Class I | 0.15% | 0.05 | % | |||||
Betuel Goodman International Equity: |
| |||||||
Management Fee | 0.67% | 0.54 | % | |||||
Expense Cap | 0.89% | 0.76 | % | |||||
Montrusco Bolton Large Cap Growth: |
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Management Fee | 0.70%2 | 0.48 | % | |||||
Expense Cap | 0.92% | 0.68 | % | |||||
Shareholder Service Fee - Class I | 0.15% | 0.05 | % |
1 0.70% on the first $100 million, 0.65% on next $300 million, 0.60% in excess of $400 million.
2 0.70% on the first $800 million, 0.50% on the next $5.2 billion, 0.45% on the next $6 billion, 0.40% in excess of $12 billion.
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.
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Notes to Financial Statements (continued) |
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, including securities sold short, 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 and securities sold short 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. Investments in certain mortgage-backed and stripped mortgage-backed securities, preferred stocks, convertible securities, derivatives and other debt securities not traded on an organized securities market are valued on the basis of valuations provided by dealers or by a pricing service which uses information with respect to transactions in such securities and various relationships between such securities and yield to maturity in determining value.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end registered investment companies are valued at their end of day net asset value per share.
Futures contracts for which market quotations are readily available are valued at the settlement price as of the close of the futures exchange.
Total Return Equity Basket Swaps (“Equity Basket Swap”) may be valued using a price obtained from the counterparty of the Equity Basket Swap as long as the value obtained from the counterparty is reasonable to the total value of the underlying securities constituting the Equity Basket Swap if such underlying securities were priced in accordance with the Funds’ equity security valuation policies as discussed above.
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 based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trust’s securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that 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
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�� Notes to Financial Statements (continued) |
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. Dividends declared on short positions are recorded on ex-date as dividend expense. 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 Trust 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:
Amount | Percentage Reduction | |||||||||
River Road Small Cap Value | $ | 71,817 | 0.01 | % | ||||||
River Road Dividend All Cap Value | 8,251 | 0.00 | %1 | |||||||
River Road Small-Mid Cap Value | 20,586 | 0.01 | % | |||||||
River Road Long-Short | 4,476 | 0.02 | % | |||||||
River Road Focused Absolute Value | 6,127 | 0.00 | %1 | |||||||
Montrusco Bolton Large Cap Growth
|
| 3,027
|
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| 0.00
| %1
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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 reclassification to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Permanent differences are due to write off of net operating loss, tax equalization utilized, distributions received from investments in certain partnerships, distributions in excess of earnings, and adjustments related to the merger. Temporary differences are due to the deferral of qualified late year losses, wash sale loss deferrals, mark-to-market of passive foreign investment companies, non-deductible organizational expense, amortization of premium outstanding, distributions received from investments in certain partnerships, defaulted bonds, non-deductible interest expense, mark-to-market of open swaps, and capital loss carryforwards.
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Notes to Financial Statements (continued) |
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 | ||||||||||||
River Road Mid Cap Value | $420,479,214 | $28,699,979 | $(1,905,235) | $26,794,744 | ||||||||||||
River Road Large Cap Value Select | 39,720,151 | 2,551,235 | (5,182) | 2,546,053 | ||||||||||||
River Road Small Cap Value | 630,028,330 | 224,247,834 | (4,660,568) | 219,587,266 | ||||||||||||
River Road Dividend All Cap Value | 370,217,588 | 174,803,512 | (4,168,155) | 170,635,357 | ||||||||||||
River Road Small-Mid Cap Value | 205,901,474 | 60,231,596 | (3,843,843) | 56,387,753 | ||||||||||||
River Road Long-Short | 11,929,230 | 3,264,668 | (343,261) | 2,921,407 | ||||||||||||
River Road Focused Absolute Value | 164,365,309 | 43,334,836 | (1,469,373) | 41,865,463 | ||||||||||||
Beutel Goodman Core Plus Bond | 373,776,842 | 7,233,696 | (3,586,753) | 3,646,943 | ||||||||||||
Beutel Goodman International Equity | 86,426,180 | 6,105,400 | (582,892) | 5,522,508 | ||||||||||||
Montrusco Bolton Large Cap Growth | 353,355,582 | 115,234,183 | (687,414) | 114,546,769 |
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 | |||||||||
River Road Large Cap Value Select | $8,194,720 | $122,704 | $8,317,424 | |||||||||
River Road Small Cap Value | 9,222,296 | 304,969 | 9,527,265 | |||||||||
River Road Dividend All Cap Value | 4,628,045 | — | 4,628,045 | |||||||||
River Road Small-Mid Cap Value | 9,229,185 | 238,952 | 9,468,137 | |||||||||
River Road Long-Short | 805,842 | — | 805,842 | |||||||||
River Road Focused Absolute Value | 14,911,337 | 3,959,505 | 18,870,842 | |||||||||
Beutel Goodman Core Plus Bond | 1,640,976 | 5,782,919 | 7,423,895 | |||||||||
Beutel Goodman International Equity | 30,325,107 | 75,137,874 | 105,462,981 |
As of October 31, 2020, River Road Mid Cap Value and Montrusco Bolton Large 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.
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Notes to Financial Statements (continued) |
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.
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:
River Road Mid Cap Value | River Road Large Cap Value Select | |||||||||||||||||||||||||||||||
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 | 622,697 | $14,093,945 | 1,043,587 | $30,389,017 | 41,645 | $615,192 | 211,610 | $3,163,296 | ||||||||||||||||||||||||
Reinvestment of distributions | 9,762,503 | 173,639,301 | 957,529 | 32,737,912 | 46,486 | 636,854 | 36,393 | 578,284 | ||||||||||||||||||||||||
Cost of shares repurchased | (2,579,503) | (67,587,402) | (8,108,221) | (259,648,250) | (105,667) | (1,559,990) | (786,253) | (11,087,771) | ||||||||||||||||||||||||
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Net increase (decrease) | 7,805,697 | $120,145,844 | (6,107,105) | $(196,521,321) | (17,536) | $(307,944) | (538,250) | $(7,346,191) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class I:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 367,378 | $11,039,209 | 2,707,562 | $88,140,400 | 109,931 | $1,659,183 | 888,503 | $13,511,204 | ||||||||||||||||||||||||
Reinvestment of distributions | 4,458,634 | 86,006,601 | 1,012,059 | 35,604,248 | 419,365 | 5,783,038 | 227,253 | 3,620,144 | ||||||||||||||||||||||||
Cost of shares repurchased | (4,001,124) | (120,308,456) | (28,612,112) | (989,605,334) | (819,286) | (12,246,746) | (3,416,477) | (47,894,255) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | 824,888 | $(23,262,646) | (24,892,491) | $(865,860,686) | (289,990) | $(4,804,525) | (2,300,721) | $(30,762,907) | ||||||||||||||||||||||||
|
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|
|
| |||||||||||||||||
Class Z:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 429,767 | $8,355,889 | 91,111 | $3,232,335 | — | — | — | — | ||||||||||||||||||||||||
Reinvestment of distributions | 327,778 | 6,230,542 | 98,338 | 3,451,659 | — | — | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | (145,726) | (3,810,914) | (1,202,505) | (42,122,758) | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | 611,819 | $10,775,517 | (1,013,056) | $(35,438,764) | — | — | — | — | ||||||||||||||||||||||||
|
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|
|
| |||||||||||||||||
River Road Small Cap Value | River Road Dividend All Cap Value | |||||||||||||||||||||||||||||||
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 | 256,566 | $3,626,843 | 2,345,923 | $27,389,252 | 63,016 | $718,453 | 167,234 | $1,454,138 | ||||||||||||||||||||||||
Reinvestment of distributions | — | — | 163,198 | 2,103,624 | 36,242 | 429,077 | 515,286 | 5,884,839 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | — | — | — | — | 170,747 | 1,522,394 | ||||||||||||||||||||||||
Cost of shares repurchased | (383,882) | (5,241,399) | (2,405,007) | (24,167,828) | (717,389) | (8,417,231) | (3,193,510) | (34,235,056) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (127,316) | $(1,614,556) | 104,114 | $5,325,048 | (618,131) | $(7,269,701) | (2,340,243) | $(25,373,685) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class I:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 12,596,430 | $177,970,187 | 27,142,324 | $284,598,207 | 2,271,274 | $26,572,528 | 9,321,078 | $97,770,769 | ||||||||||||||||||||||||
Reinvestment of distributions | 1,899 | 25,529 | 1,701,697 | 22,479,421 | 420,017 | 4,979,293 | 4,140,352 | 46,751,171 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | — | — | — | — | 3,839,907 | 34,205,889 | ||||||||||||||||||||||||
Cost of shares repurchased | (5,895,002) | (83,002,602) | (12,851,781) | (137,875,911) | (5,517,949) | (64,806,341) | (19,682,512) | (200,460,605) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | 6,703,327 | $94,993,114 | 15,992,240 | $169,201,717 | (2,826,658) | $(33,254,520) | (2,381,175) | $(21,732,776) | ||||||||||||||||||||||||
|
|
|
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|
|
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|
|
87
Table of Contents
Notes to Financial Statements (continued) |
River Road Small Cap Value | River Road Dividend All Cap Value | |||||||||||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class Z:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 13,532 | $193,200 | 92,949 | $1,010,670 | 7,535 | $89,549 | 164,880 | $1,673,944 | ||||||||||||||||||||||||
Reinvestment of distributions | 61 | 824 | 868 | 11,458 | 2,123 | 25,204 | 2,015 | 20,857 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | — | — | — | — | 20,040 | 178,535 | ||||||||||||||||||||||||
Cost of shares repurchased | (12,629) | (185,598) | (15,034) | (152,618) | (3,985) | (47,658) | (2,133) | (22,437) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase | 964 | $8,426 | 78,783 | $869,510 | 5,673 | $67,095 | 184,802 | $1,850,899 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
River Road Small-Mid Cap Value | River Road Long-Short | |||||||||||||||||||||||||||||||
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 | 271,717 | $2,435,118 | 2,175,588 | $15,236,384 | 2,105 | $27,400 | 46,000 | $591,651 | ||||||||||||||||||||||||
Reinvestment of distributions | — | — | 62,404 | 505,470 | — | — | 19,409 | 242,803 | ||||||||||||||||||||||||
Cost of shares repurchased | (880,146) | (7,476,006) | (2,205,618) | (14,105,367) | (18,377) | (233,601) | (129,701) | (1,542,866) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (608,429) | $(5,040,888) | 32,374 | $1,636,487 | (16,272) | $(206,201) | (64,292) | $(708,412) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class I:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 3,586,483 | $32,942,771 | 12,348,904 | $87,077,448 | 73,804 | $948,281 | 288,767 | $3,451,566 | ||||||||||||||||||||||||
Reinvestment of distributions | 455 | 3,854 | 335,635 | 2,785,767 | — | — | 140,762 | 1,796,123 | ||||||||||||||||||||||||
Cost of shares repurchased | (2,682,571) | (23,506,558) | (8,407,421) | (56,413,434) | (140,260) | (1,849,713) | (943,700) | (11,249,964) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | 904,367 | $9,440,067 | 4,277,118 | $33,449,781 | (66,456) | $(901,432) | (514,171) | $(6,002,275) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class Z:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 11,779 | $108,070 | 62,039 | $414,123 | 823 | $10,964 | 50,123 | $591,769 | ||||||||||||||||||||||||
Reinvestment of distributions | 37 | 318 | 460 | 3,815 | — | — | 532 | 6,804 | ||||||||||||||||||||||||
Cost of shares repurchased | (13,772) | (118,068) | (6,100) | (32,854) | (5,401) | (69,515) | (484) | (5,741) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (1,956) | $(9,680) | 56,399 | $385,084 | (4,578) | $(58,551) | 50,171 | $592,832 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
River Road Focused Absolute Value | Beutel Goodman Core Plus Bond | |||||||||||||||||||||||||||||||
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 | 28,867 | $366,651 | 605,991 | $7,457,266 | 115,196 | $1,249,370 | 874,920 | $9,390,552 | ||||||||||||||||||||||||
Reinvestment of distributions | — | — | 28,703 | 376,872 | 69,774 | 755,573 | 179,196 | 1,900,548 | ||||||||||||||||||||||||
Cost of shares repurchased | (845,606) | (10,965,855) | (714,432) | (7,662,321) | (1,123,760) | (12,116,666) | (3,545,101) | (36,981,677) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (816,739) | $(10,599,204) | (79,738) | $171,817 | (938,790) | $(10,111,723) | (2,490,985) | $(25,690,577) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
88
Table of Contents
Notes to Financial Statements (continued) |
River Road Focused Absolute Value | Beutel Goodman Core Plus Bond | |||||||||||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class I:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 2,835,643 | $36,880,978 | 6,335,337 | $71,527,063 | 5,165,264 | $55,897,035 | 11,133,618 | $119,167,655 | ||||||||||||||||||||||||
Reinvestment of distributions | 69,096 | 901,014 | 223,054 | 2,939,854 | 491,146 | 5,315,191 | 1,169,221 | 12,410,100 | ||||||||||||||||||||||||
Cost of shares repurchased | (1,256,410) | (16,625,908) | (5,088,985) | (53,279,690) | (16,301,631) | (174,952,169) | (26,467,545) | (278,022,756) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | 1,648,329 | $21,156,084 | 1,469,406 | $21,187,227 | (10,645,221) | $(113,739,943) | (14,164,706) | $(146,445,001) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class Z:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 17,706 | $239,492 | 222,551 | $2,353,952 | 141,826 | $1,541,433 | 805,370 | $8,736,685 | ||||||||||||||||||||||||
Reinvestment of distributions | 1,382 | 18,026 | 252 | 3,319 | 16,344 | 176,940 | 9,088 | 96,814 | ||||||||||||||||||||||||
Cost of shares repurchased | (6,814) | (90,877) | (13,810) | (140,300) | (109,846) | (1,194,572) | (51,777) | (553,026) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase | 12,274 | $166,641 | 208,993 | $2,216,971 | 48,324 | $523,801 | 762,681 | $8,280,473 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Beutel Goodman International Equity | Montrusco Bolton Large 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 | 35,292 | $363,601 | 1,474,294 | $10,168,943 | 494,666 | $8,891,473 | 318,691 | $5,988,818 | ||||||||||||||||||||||||
Reinvestment of distributions | — | — | 166,414 | 1,609,222 | 5,203,398 | 80,947,251 | 720,864 | 13,336,003 | ||||||||||||||||||||||||
Cost of shares repurchased | (216,076) | (2,321,884) | (10,019,105) | (83,896,101) | (1,674,999) | (29,679,076) | (1,919,020) | (37,035,160) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (180,784) | $(1,958,283) | (8,378,397) | $(72,117,936) | 4,023,065 | $60,159,648 | (879,465) | $(17,710,339) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class I:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 678,590 | $7,102,847 | 13,990,321 | $117,385,742 | 2,389,988 | $37,855,504 | 1,174,246 | $22,074,182 | ||||||||||||||||||||||||
Reinvestment of distributions | 92,397 | 946,149 | 473,923 | 4,592,306 | 9,380,870 | 148,835,803 | 1,481,220 | 27,609,936 | ||||||||||||||||||||||||
Cost of shares repurchased | (13,859,778) | (150,538,992) | (10,750,975) | (87,139,404) | (10,941,400) | (182,263,536) | (5,294,655) | (103,336,840) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (13,088,791) | $(142,489,996) | 3,713,269 | $34,838,644 | 829,458 | $4,427,771 | (2,639,189) | $(53,652,722) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class Z:
| ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | — | — | 22,769 | $178,439 | — | — | — | — | ||||||||||||||||||||||||
Reinvestment of distributions | 6,961 | $71,075 | 136,197 | 1,315,665 | — | — | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | (851,709) | (9,000,066) | (3,855,515) | (31,482,157) | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net decrease | (844,748) | $(8,928,991) | (3,696,549) | $(29,988,053) | — | — | — | — | ||||||||||||||||||||||||
|
|
|
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|
|
|
|
|
1 | See Note 17 of the Notes to Financial Statements. |
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
89
Table of Contents
Notes to Financial Statements (continued) |
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 is as follows:
Market Value | ||||
River Road Small Cap Value | $690,321 | |||
Beutel Goodman Core Plus Bond | 3,789,695 |
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.
j. SECURITIES TRANSACTED ON A WHEN ISSUED BASIS
Betuel Goodman Core Plus Bond may enter into To-Be-Announced (“TBA”) sale commitments to hedge their portfolio positions or to sell mortgage-backed securities they own under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, with the same counterparty, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities according to the procedures described under “Valuation of Investments,” in Footnote 1a above.
Each TBA contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment with the same broker, the Fund realizes a gain or loss. If the Fund delivers securities under the commitment, the Fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
k. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES
Beutel Goodman Core Plus Bond may enter into securities transactions on a delayed delivery or when issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed
at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in each Fund’s Schedule of Portfolio Investments. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as an investment in securities and a forward sale commitment in the Fund’s Statement of Assets and Liabilities. For financial reporting purposes, the Fund does offset the receivable and payable for delayed delivery investments purchased and sold on TBA commitments. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
For each of the Funds, the Trusts’ have entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisors for the Funds (subject to Board approval) and monitors each subadvisor’s investment performance, security holdings and investment strategies. The investment portfolios of River Road Mid Cap Value, River Road Large Cap Value Select, River Road Small Cap Value, River Road Dividend All Cap Value, River Road Small-Mid Cap Value, River Road Long-Short and River Road Focused Absolute Value are managed by River Road Asset Management, LLC. The investment portfolios of Beutel Goodman Core Plus Bond and Beutel Goodman International Equity are managed by Beutel, Goodman & Company Ltd. The investment portfolio of Montrusco Bolton Large Cap Growth is managed by Montrusco Bolton Investments, Inc. AMG indirectly owns a majority interest in River Road Asset Management, LLC. and Montrusco Bolton Investments, Inc. and indirectly owns a minority interest in Beutel, Goodman & Company Ltd. Prior to March 19, 2021, the investment portfolios of River Road Mid Cap Value was managed by Fairpointe Capital LLC, River Road Large Cap Value Select was managed by First Quadrant, L.P., Betuel Goodman Core Plus Bond was managed by DoubleLine Capital LP, Betuel Goodman International Equity was managed by Pictet Asset Management Limited, and Montrusco Bolton Large Cap Growth was managed by Montag & Caldwell, LLC.
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:
River Road Mid Cap Value | ||||
on first $100 million | 0.70 | % | ||
next $300 million | 0.65 | % | ||
over $400 million | 0.60 | % | ||
River Road Large Cap Value Select | 0.35 | % | ||
River Road Small Cap Value | 0.80 | % | ||
River Road Dividend All Cap Value | 0.60 | % |
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River Road Small-Mid Cap Value | 0.75 | % | ||
River Road Long-Short | 0.85 | % | ||
River Road Focused Absolute Value | 0.60 | % | ||
Beutel Goodman Core Plus Bond | 0.45 | % | ||
Beutel Goodman International Equity | 0.67 | % | ||
Montrusco Bolton Large Cap Growth | ||||
on first $800 million | 0.70 | % | ||
over $800 million up to $6 billion | 0.50 | % | ||
over $6 billion up to $12 billion | 0.45 | % | ||
over $12 billion | 0.40 | % |
The Investment Manager has contractually agreed, through at least March 1, 2022 for River Road Mid Cap Value, River Road Large Cap Value Select, River Road Dividend All Cap Value, River Road Small-Mid Cap Value, River Road Long-Short, River Road Focused Absolute Value, Beutel Goodman Core Plus Bond, Beutel Goodman International Equity, and Montrusco Bolton Large Cap Growth to waive management fees and/or reimburse fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts 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). The percentages of the Funds’ average daily net assets subject to later reimbursement by the Funds in certain circumstances are as follows:
River Road Mid Cap Value | 0.82% | |||
River Road Large Cap Value Select | 0.69% | |||
River Road Small Cap Value | N/A | |||
River Road Dividend All Cap Value | 0.78%1 | |||
River Road Small-Mid Cap Value | 1.04% | |||
River Road Long-Short | 1.12% | |||
River Road Focused Absolute Value | 0.78% | |||
Beutel Goodman Core Plus Bond | 0.61% | |||
Beutel Goodman International Equity | 0.89% | |||
Montrusco Bolton Large Cap Growth | 0.92% |
1 Prior to January 1, 2021, the limitation was 0.99%.
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 the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.
At April 30, 2021, each Fund’s expiration of recoupment are as follows:
Expiration Period | River Road Mid Cap Value | River Road Large Cap Value Select Fund | River Road Dividend All Cap Value | |||||||||
Less than 1 year | — | $31,455 | — | |||||||||
1-2 years | — | 28,654 | — | |||||||||
2-3 years | $329,833 | 52,069 | $42,560 | |||||||||
|
|
|
|
|
| |||||||
Total | $329,833 | $112,178 | $42,560 | |||||||||
|
|
|
|
|
| |||||||
Expiration Period | River Road Long-Short | River Road Focused Absolute Value | Beutel Goodman Core Plus Bond | |||||||||
Less than 1 year | $112,996 | $114,505 | $361,290 | |||||||||
1-2 years | 98,984 | 219,450 | 315,238 | |||||||||
2-3 years | 78,344 | 113,700 | 195,416 | |||||||||
|
|
|
|
|
| |||||||
Total | $290,324 | $447,655 | $871,944 | |||||||||
|
|
|
|
|
| |||||||
Expiration Period | Beutel Goodman International Equity | |||||||||||
1-2 years | $25,984 | |||||||||||
2-3 years | 131,209 | |||||||||||
|
| |||||||||||
Total | $157,193 | |||||||||||
|
|
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
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regarding asset based sales charges. Pursuant to the Plan, each Fund may make payments to the Distributor for its expenditures in financing any activity primarily intended to result in the sale of each Fund’s Class N shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorizes payments to the Distributor of up to 0.25% annually of each Fund’s average daily net assets attributable to the Class N shares. For all Funds, except River Road Large Cap Value Select, 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 annualized expense ratios for the six months ended April 30, 2021, were as follows:
Fund | Actual Amount Incurred | |||
River Road Mid Cap Value |
| |||
Class N | 0.25% | |||
River Road Large Cap Value Select |
| |||
Class N | 0.25% | |||
River Road Small Cap Value |
| |||
Class N | 0.25% | |||
River Road Dividend All Cap Value |
| |||
Class N | 0.25% | |||
River Road Small-Mid Cap Value |
| |||
Class N | 0.25% | |||
River Road Long-Short |
| |||
Class N | 0.25% | |||
River Road Focused Absolute Value |
| |||
Class N | 0.24% | |||
Beutel Goodman Core Plus Bond |
| |||
Class N | 0.25% | |||
Beutel Goodman International Equity |
| |||
Class N | 0.25% | |||
Montrusco Bolton Large Cap Growth |
| |||
Class N | 0.16% |
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 each Fund, except for River Road Large Cap Value Select and Beutel Goodman International Equity, as necessary, to ensure the total net expense ratio for each share class of each Fund does not increase due to the changes in the methodology of shareholder servicing reimbursements described above. Effective
January 1, 2021, the shareholder servicing fees waiver of River Road Dividend All Cap Value was eliminated.
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 Incurred | ||||||
River Road Mid Cap Value |
| |||||||
Class N | 0.15 | % | 0.08% | |||||
Class I | 0.15 | % | 0.08% | |||||
River Road Large Cap Value Select |
| |||||||
Class N | 0.10 | % | 0.10% | |||||
Class I | 0.10 | % | 0.04% | |||||
River Road Small Cap Value |
| |||||||
Class N | 0.15 | % | 0.10% | |||||
Class I | 0.15 | % | 0.09% | |||||
River Road Dividend All Cap Value |
| |||||||
Class N1 | 0.04 | % | 0.05% | |||||
Class I1 | 0.04 | % | 0.04% | |||||
River Road Small-Mid Cap Value |
| |||||||
Class N | 0.15 | % | 0.06% | |||||
Class I | 0.15 | % | 0.05% | |||||
River Road Long-Short |
| |||||||
Class N | 0.15 | % | 0.08% | |||||
Class I | 0.15 | % | 0.08% | |||||
River Road Focused Absolute Value |
| |||||||
Class N | 0.15 | % | 0.04% | |||||
Class I | 0.15 | % | 0.04% | |||||
Beutel Goodman Core Plus Bond |
| |||||||
Class N | 0.15 | % | 0.08% | |||||
Class I | 0.15 | % | 0.08% | |||||
Beutel Goodman International Equity |
| |||||||
Class N | 0.15 | % | 0.15% | |||||
Class I | 0.10 | % | 0.10% | |||||
Montrusco Bolton Large Cap Growth |
| |||||||
Class N | 0.15 | % | 0.07% | |||||
Class I | 0.15 | % | 0.07% |
1 | Prior to January 1, 2021, the maximum annual amount approved was 0.15%. |
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
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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 River Road Large Cap Value Select to lend and borrow, River Road Long-Short, River Road Focused Absolute Value and Beutel Goodman International Equity to lend, money for certain temporary purposes directly to other eligible funds in the AMG Funds Family. Participation in this interfund lending program is voluntary for the 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 is included on the Statement of Operations as interest income. River Road Long-Short and Beutel Goodman International Equity did not loan to other funds in the AMG Funds Family. At April 30, 2021, the Funds had no interfund loans outstanding.
The following Funds utilized the interfund loan program during the six months ended April 30, 2021 as follows:
Fund | Average Lent | Number of Days | Interest Earned | Average Interest Rate | ||||||||||||
River Road Large Cap Value Select | $1,455,560 | 1 | $38 | 0.958 | % | |||||||||||
River Road Focused Absolute Value | 470,275 | 4 | 202 | 0.980 | % |
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 | ||||||
River Road Mid Cap Value | $ | 539,803,883 | $ | 668,578,866 | ||||
River Road Large Cap Value Select | 89,567,157 | 54,070,727 | ||||||
River Road Small Cap Value | 208,659,784 | 159,522,600 | ||||||
River Road Dividend All Cap Value | 46,011,435 | 88,295,204 | ||||||
River Road Small-Mid Cap Value | 66,715,689 | 71,774,700 | ||||||
River Road Long-Short | 23,757,436 | 27,085,456 | ||||||
River Road Focused Absolute Value | 98,111,399 | 88,644,581 | ||||||
Beutel Goodman Core Plus Bond | 299,596,783 | 388,577,703 | ||||||
Beutel Goodman International Equity | 189,777,353 | 341,374,316 | ||||||
Montrusco Bolton Large Cap Growth | 384,345,353 | 551,102,992 |
Purchases and sales of U.S. Government Obligations for the six months ended April 30, 2021 were as follows:
U.S. Government Obligations | ||||||||
Fund | Purchases | Sales | ||||||
Beutel Goodman Core Plus Bond | $ | 179,639,830 | $ | 244,359,482 |
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. 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:
Cash | Securities | Total | ||||||||||||||
Securities | Collateral | Collateral | Collateral | |||||||||||||
Fund | Loaned | Received | Received | Received | ||||||||||||
River Road Small Cap Value | $21,120,996 | $690,321 | $21,451,412 | $22,141,733 | ||||||||||||
River Road Dividend All Cap Value | 3,618,503 | — | 3,716,946 | 3,716,946 | ||||||||||||
River Road Small-Mid Cap Value | 1,385,876 | — | 1,446,687 | 1,446,687 | ||||||||||||
River Road Focused Absolute Value | 886,672 | — | 925,636 | 925,636 | ||||||||||||
Beutel Goodman Core Plus Bond | 4,779,456 | 3,789,695 | 1,134,811 | 4,924,506 | ||||||||||||
Montrusco Bolton Large Cap Growth | 15,793,561 | — | 16,345,296 | 16,345,296 |
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The following table summarizes the securities received as collateral for securities lending at April 30, 2021:
Collateral | Coupon | Maturity | ||||
Fund | Type | Range | Date Range | |||
River Road Small Cap Value | U.S. Treasury Obligations | 0.000%-6.875% | 05/18/21-08/15/50 | |||
River Road Dividend All Cap Value | U.S. Treasury Obligations | 0.125%-4.375% | 07/15/21-02/15/49 | |||
River Road Small-Mid Cap Value | U.S. Treasury Obligations | 0.000%-6.875% | 05/18/21-08/15/50 | |||
River Road Focused Absolute Value | U.S. Treasury Obligations | 0.000%-4.500% | 02/15/26-11/15/49 | |||
Beutel Goodman Core Plus Bond | U.S. Treasury Obligations | 0.010%-3.875% | 05/15/21-02/15/49 | |||
Montrusco Bolton Large Cap Growth | U.S. Treasury Obligations | 0.000%-6.250% | 05/20/21-02/15/50 |
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 would pay such foreign taxes at the appropriate rate for each jurisdiction.
6. COMMITMENTS AND CONTINGENCIES
Under the Trust’s organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. 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. RISKS ASSOCIATED WITH HIGH YIELD SECURITIES
Investing in high yield securities involves greater risks and considerations not typically associated with U.S. Government and other high quality/investment grade securities. High yield securities are generally below investment grade securities and do not have an established retail secondary market. Economic downturns may disrupt the high yield market and impair the issuer’s ability to repay principal and interest. Also, an increase in interest rates would likely have an adverse impact on the value of such obligations and could cause the securities to become less liquid.
8. DERIVATIVE INSTRUMENTS
The following disclosures contain information on how and why certain Funds use derivative instruments, the credit risk and how derivative instruments affect the Funds’ financial position, and results of operations. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities, and the realized gains and losses and changes in unrealized appreciation and depreciation on the Statement of Operations, each categorized by type of derivative contract, are included in a table at the end of the applicable Fund’s Schedule of Portfolio Investments. From March 23, 2021 to March 29, 2021, for River Road Mid Cap Value, March 26, 2021 to April 4, 2021, for Beutel Goodman Core Plus Bond and from March 24, 2021 to April 8, 2021 for Beutel Goodman International Equity the transition managers used futures contract to realign the Fund’s portfolios. The average of financial instruments outstanding was as follows:
River Road Mid Cap Value | River Road Large Cap Value Select | |||||||
Financial Futures Contracts |
| |||||||
Average daily number of contracts purchased | 3 | — | ||||||
Average daily notional value of contracts purchased | $780,158 | — | ||||||
Swap Agreements |
| |||||||
Long Position: | ||||||||
Average quarterly notional value | — | $44,076,770 | ||||||
Short Position: | ||||||||
Average quarterly notional value | — | $28,986,817 | ||||||
Beutel Goodman Core Plus Bond | Beutel Goodman International Equity | |||||||
Financial Futures Contracts |
| |||||||
Average daily number of contracts purchased | 17 | 43 | ||||||
Average daily notional value of contracts purchased | $2,525,134 | $3,572,939 |
9. FUTURES CONTRACTS
During the transition of the portfolios for River Road Mid Cap Value, Beutel Goodman Core Plus Bond and Beutel Goodman International Equity, the transition managers purchased futures contracts to achieve desired levels of investment. There are certain risks associated with futures contracts. Prices may not move as expected or the Fund may not be able to close out the contract when it desires to do so, resulting in losses.
On entering into a futures contract, either cash or securities in an amount equal to a certain percentage of the contract value (initial margin) must be deposited with the futures broker. Subsequent payments (variation margin) are made or received each day.
Variation margin on future contracts is recorded as unrealized appreciation or depreciation until the futures contract is closed or expired. The Funds recognize a realized gain or loss when the contract is closed or expires equal to the difference
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between the value of the contract at the time it was opened and the value at the time it was closed. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as Receivable for variation margin or Payable for variation margin, and in the Statement of Operations as Net change in unrealized appreciation (depreciation) on futures contracts until the contracts are closed, when they are recorded as Net realized gain or loss on futures contracts.
At April 30, 2021, there were no open futures contracts.
10. SWAPS
The prior subadviser of River Road Large Cap Value Select entered into Equity Basket Swaps to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the equity return basket swap is designed to function as a fund of direct investments in long and short equity positions. The Fund will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation or depreciation, corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. This financing is based on defined market rates or a specified benchmark rate, plus or minus a specified spread. Underlying positions constituting the Equity Basket Swap are reset periodically. On reset date, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date, close-out date or at maturity.
A change in the market value of an Equity Basket Swap, unpaid dividend income and/or expense and financing are recognized as net change in unrealized appreciation or depreciation on swaps in the Statements of Operations. Payments received or paid, on resets, close-outs or maturities, are recorded in the statement of operations as realized gains or losses of swaps.
Swaps and Equity Basket Swaps are two-party contracts that may be subject to contractual restrictions on transferability and termination, and because they may have terms of greater than seven days, swap agreements may be considered to be illiquid. If a swap is not liquid, it may not be possible to initiate a transaction or liquidate a position at an advantageous time or price, which may result in significant losses. Moreover, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The Fund will enter into swap agreements only with counterparties that meet certain standards of creditworthiness. When a counterparty’s obligations are not fully secured by collateral, then the Fund is essentially an unsecured creditor of the counterparty. If the counterparty defaults, the Fund will have contractual remedies, but there is no assurance that a counterparty will be able to meet its obligations pursuant to such contracts or that, in the event of default, the Fund will succeed in enforcing contractual remedies. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in collateral may not be perfected or additional collateral may not be promptly posted as required. Counterparty risk also may be more pronounced if a counterparty’s obligations exceed the amount of collateral held by the Fund, if any, the Fund is unable to exercise its interest in collateral upon default by the counterparty, or the termination value of the instrument varies significantly from the marked-to-market value of the instrument. Investments in short Equity Basket Swaps subject the Fund to an unlimited risk of loss.
At April 30, 2021, there were no open swap positions.
11. MORTGAGE-BACKED SECURITIES
Beutel Goodman Core Plus Bond may invest in mortgage-backed securities (“MBS”). These securities represent interests in pools of mortgage loans and they provide holders with payments consisting of both principal and interest as the mortgages in the underlying mortgage pools are paid. The timely payment of principal and interest on MBS issued or guaranteed by Ginnie Mae is backed by Ginnie Mae and the full faith and credit of the U.S. government. MBS issued by U.S. government agencies or instrumentalities other than Ginnie Mae are not full faith and credit obligations of the U.S. government. Certain obligations, such as those issued by the Federal Home Loan Banks, Fannie Mae and Freddie Mac are supported only by the credit of the issuer. MBS issued by private issuers are not government securities and are not guaranteed by any government agency. They are secured by the underlying collateral of the private issuer. Yields on privately issued MBS tend to be higher than those of government-backed issues. However, risk of loss due to default and sensitivity to interest rate fluctuations are also higher. DoubleLine Core Plus Bond may also invest in collateralized mortgage obligations (“CMOs”), collateralized loan obligations (“CLOs”) and real estate mortgage investment conduits (“REMICs”). A CMO and/or REMIC is a bond that is collateralized by a pool of MBS. A CLO is a bond that is collateralized by a financial institution’s receivables from loans. These MBS pools are divided into classes with each class having its own characteristics. The different classes are retired in sequence as the underlying mortgages or loans are repaid.
12. FLOATING RATE SENIOR LOAN INTERESTS
The prior subadviser of Beutel Goodman Core Plus Bond invested in Floating Rate Senior Loan Interests. These are senior, secured loans made to companies whose debt is below investment grade as well as investments with similar economic characteristics. Senior Loans typically hold a first lien priority and, unless otherwise indicated, are required to pay interest at floating rates that are periodically reset by reference to a base lending rate plus a spread. Senior Loans are generally not registered under the Securities Act of 1933 and often incorporate certain restrictions on resale and cannot be sold publicly. Senior Loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted. As a result, the actual maturity may be substantially less than the stated maturity. The interest rate on this Senior Loan is subject to a base lending rate plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily the prime rate offered by one or more major U.S. banks (“Prime”). The interest rate is subject to a minimum floor, which may be less than or greater than the prevailing period end LIBOR/Prime rate.
13. STRIPPED SECURITIES
Beutel Goodman Core Plus Bond may invest in stripped securities (“STRIPS”) for hedging purposes to protect the Fund’s portfolio against interest rate fluctuations. STRIPS will most likely move differently than typical fixed-income securities in relation to changes in interest rates. STRIPS are usually structured with two classes that receive different proportions of the interest and principal distributions from a pool of underlying assets. A common type of STRIP will have one class receiving all of the interest from the underlying assets (“interest-only” or “IO” class), while the other class will receive the entire principal (“principal only” or “PO” class). However, in some instances, one class will receive some of the interest
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and most of the principal while the other class will receive most of the interest and the remainder of the principal. STRIPS are unusually volatile in response to changes in interest rates. The yield to maturity on an IO class of STRIPS is extremely sensitive not only to changes in prevailing interest rates but also to the rate of principal payments (including prepayments) on the underlying assets. A rapid rate of principal prepayments may have a measurably adverse effect on a Funds’ yield to maturity to the extent it invests in IOs. Conversely, POs tend to increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. Thus, if the underlying assets experience greater than anticipated repayments of principal, a Fund may fail to fully recover its initial investment in these securities, even if the STRIPS were rated of the highest credit quality by Standard & Poor’s or Moody’s Investors Service, Inc. These risks are managed by investing in a variety of such securities and by using certain hedging techniques. In addition the secondary market for STRIPS may be less liquid than that of other mortgage-backed or asset-backed securities, potentially limiting the Fund’s ability to buy or sell those securities at any particular time.
14. SECURITIES SOLD SHORT
River Road Long-Short utilizes short sales as part of its overall portfolio management strategy. A short sale involves the sale of a security that is borrowed from a broker or other financial institution. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon closing a short sale. Short sales expose the Fund to the risk that it will be required to acquire, convert or exchange securities to replace the borrowed securities at a time when the securities sold short have appreciated in value, thus resulting in a loss to the Fund. The Fund must segregate liquid assets, or otherwise cover its position in a permissible manner. The Investment Manager determines the liquidity of assets, in accordance with procedures established by the Board. The Fund has entered into a Master Securities Loan Agreement (“MSLA”) with BNYM pursuant to which the Fund borrows securities from BNYM to facilitate short sale transactions. The Fund is required to pledge collateral, in cash and/or securities, to collateralize the Fund’s obligations to BNYM in respect of borrowed securities. The MSLA provides 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. The Fund is subject to credit risk should BNYM be unable to meet its obligations to the Fund, including the obligation to return cash collateral to the Fund. For financial reporting purposes, the Fund does not offset financial assets and financial liabilities that are subject to the MSLA in the Statement of Assets and Liabilities, and security positions segregated as collateral for short sales are included in investments at value in the Statement of Assets and Liabilities. As of April 30, 2021, the value of securities sold short was
$3,410,879, and the Fund had $3,431,460 of cash deposited with BNYM and securities segregated as collateral worth $1,022,592. In accordance with the terms of its MSLA, the Fund may receive rebate income or be charged a fee on the market value on the collateral of loaned securities. The income received or fee paid is calculated based upon a variable rate minus a spread. The Fund will recognize interest income if the variable rate is greater than the spread or interest expense if the variable rate is less than the spread. For the six months ended April 30, 2021, the Fund had interest expense and dividend expense in the amount of $12,342 and $75,398, respectively.
15. 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, Beutel Goodman International Equity and Montrusco Bolton Large Cap Growth had loans outstanding of $2,604,671 and $186,641, respectively.
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 | ||||||||||||
River Road Mid Cap Value | $ | 3,373,926 | 2 | $ 254 | 1.356 | % | ||||||||||
River Road Focused Absolute Value | 9,013,610 | 2 | 700 | 1.398 | % | |||||||||||
Beutel Goodman International Equity | 5,134,535 | 5 | 1,174 | 1.370 | % | |||||||||||
Montrusco Bolton Large Cap Growth | 26,206,749 | 5 | 4,968 | 1.361 | % |
16. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their counterparties for the securities lending, short-sale programs, Repurchase Agreements and derivatives, 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 and short sale transactions, see Note 4 and Note 13, respectively.
The following table is a summary of the Funds’ open Repurchase Agreements that are subject to a master netting agreement as of April 30, 2021:
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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 | |||||||||||||
| ||||||||||||||||||
River Road Small Cap Value | ||||||||||||||||||
RBC Dominion Securities, Inc. | $690,321 | — | $690,321 | $690,321 | — | |||||||||||||
Beutel Goodman Core Plus Bond | ||||||||||||||||||
Bank of America Securities, Inc. | $1,000,000 | — | $1,000,000 | $1,000,000 | — | |||||||||||||
Citigroup Global Markets, Inc. | 789,695 | — | 789,695 | 789,695 | — | |||||||||||||
Daiwa Capital Markets America | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||
RBC Dominion Securities, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||
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Total | $3,789,695 | — | $3,789,695 | $3,789,695 | — | |||||||||||||
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17. FUND MERGER
On April 27, 2020, River Road Dividend All Cap Value acquired all the net assets of AMG River Road Dividend All Cap Value Fund II (“River Road Dividend All Cap Value II”) based on the respective valuations as of the close of business on April 24, 2020, pursuant to a Plan of Reorganization approved by the Board of River Road Dividend All Cap Value II on March 19, 2020.
The acquisition was accomplished by a tax-free exchange of 156,555 Class N shares of River Road Dividend All Cap Value II at a net asset value of $8.92 per share for 170,747 Class N shares of River Road Dividend All Cap Value; 3,508,101 Class I shares of River Road Dividend All Cap Value II at a net asset value of $8.91 per share for 3,839,907 Class I shares of River Road Dividend All Cap Value; and 18,306 Class Z shares of River Road Dividend All Cap Value II at a net asset value of $8.91 per share for 20,040 Class Z shares of River Road Dividend All Cap Value.
The net assets of River Road Dividend All Cap Value and River Road Dividend All Cap Value II immediately before the acquisition were $425,135,278 and $35,906,818 respectively, including unrealized appreciation of $675,273 for River Road Dividend All Cap Value II. Immediately after the acquisition, the combined net assets of River Road Dividend All Cap Value amounted to $461,042,096. For financial reporting purposes, assets received and shares issued by River Road Dividend All Cap Value were recorded at fair value; however, the cost basis of the investments received from River Road Dividend All Cap Value II was carried forward to align
ongoing reporting of River Road Dividend All Cap Value’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming this reorganization had been completed on November 1, 2019, the Fund’s results of operations for the fiscal year ended October 31, 2020 would have been as follows:
Net Investment Income | $14,033,969 | |||
Realized and Unrealized Loss on Investments | (89,245,365) | |||
Net Decrease to Net Assets from Operations | $(75,211,396) |
Because the combined investment portfolios have been managed as a single portfolio since the reorganization was completed, it is not practical to separate the amounts of revenue and earnings to the Fund that have been included in its statements of operations for the fiscal Year ended October 31, 2020.
18. 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 on June 3, 2021, June 11, 2021, June 14, 2021, and June 18, 2021, all proposals, as discussed in Note 1, related to Beutel Goodman Core Plus Bond, River Road Large Cap Value Select, River Road Mid Cap Value, and Montrusco Bolton Large Cap Growth, respectively, were approved by shareholders.
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AMG Managers Fairpointe Mid 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 Funds LLC (the “Investment Manager”) and Fairpointe Capital LLC (“Fairpointe”) with respect to AMG Managers Fairpointe Mid Cap Fund (the “Fund”), and approve the interim subadvisory agreement between the Investment Manager and River Road Asset Management, LLC (“River Road”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and River Road 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 River Road 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 five other funds that River Road 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 River Road, the Trustees reviewed information relating to River Road’s financial condition, operations and personnel and the investment philosophy, strategies and | techniques (the “Investment Strategy”) that are intended to be used by River Road in managing the Fund. The Trustees noted that initially the Fund would invest, under normal conditions, at least 80% of its assets in stocks of mid-cap companies with an improving revenue and earnings growth outlook. 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 mid-capitalization companies. The Trustees also noted that in connection with hiring River Road, shareholders would be asked to approve an investment objective of seeking to provide long-term capital appreciation. Among other things, at this meeting and/or prior meetings, the Trustees reviewed information on portfolio management and other professional staff, information regarding River Road’s organizational and management structure, River Road’s compliance policies and procedures, and River Road’s brokerage policies and practices. The Trustees noted that River Road was founded in 2005 and has 49 employees. The Trustees considered specific information provided regarding the experience of the individuals at River Road that are expected to have portfolio management responsibility for the Fund. The Trustees noted that one proposed portfolio manager joined River Road in 2005 and the other proposed portfolio managers joined River Road in 2006 and 2007. The Trustees further noted that the proposed portfolio managers serve as portfolio managers on other funds subadvised by River Road 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 River Road to the Fund; (b) the qualifications and experience of River Road’s personnel; and (c) River Road’s compliance program. The Trustees additionally considered River Road’s risk management processes. The Trustees reviewed River Road’s compliance policies and procedures, code of ethics, and specific information related to how River Road monitors, among other things, portfolio compliance and liquidity monitoring and deemed all of them to be adequate. The Trustees also took into account the financial condition of River Road with respect to its ability to provide the services required under the Agreements and noted that, as of December 31, 2020, River Road managed approximately $7.36 billion in assets. The Trustees concluded that, given River Road’s financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements. | PERFORMANCE
Because River Road was proposing to manage the Fund with a new mid 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 of the other funds in the AMG Funds Complex sub-advised by River Road.
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 River Road. In considering the anticipated profitability of River Road with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding River Road’s organization, management and financial stability. The Trustees noted that, because River Road is an affiliate (“Affiliate”) of the Investment Manager, a portion of River Road’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 River Road under the Interim Subadvisory Agreement was the same as the rate paid to Fairpointe under the Former Subadvisory Agreement. The Trustees further noted that, although the subadvisory fee rate to be paid to River Road under the New Subadvisory Agreement may be higher than the rate paid to Fairpointe under the Former Subadvisory Agreement at certain asset levels, the fee is paid by the Investment Manager and the approval of the New Subadvisory Agreement will not increase the management fee rate borne by Fund shareholders. 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 increase if the New Subadvisory Agreement was approved. The Trustees also noted payments made or to be made from River Road to the Investment Manager, and other payments made or to be made from the Investment Manager to River Road, 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 |
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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 would both be lower 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 River Road is expected to provide in performing its functions under the Agreements. The Trustees were provided with the estimated profitability of River Road 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 River Road 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 River Road is expected to be reasonable and that River Road 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 River Road, including, among others, the potential broadening of River Road’s mid cap value investment capabilities, as well as the indirect benefits that River Road may receive from River Road’s relationship with the Fund, including any so-called “fallout benefits” to River Road, such as reputational value derived from River Road serving as subadviser to the Fund, which bears River Road’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 River Road, and the other considerations noted above with respect to River Road, 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 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 River Road 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) River Road has demonstrated that it possesses the capability and resources to perform the duties required of it under each Agreement; (b) River Road’s Investment Strategy is appropriate for pursuing the Fund’s investment objectives; (c) River Road is reasonably likely to execute its investment strategy consistently over time; and (d) River Road 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 FQ Long-Short Equity 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 I (the “Trust”) (the “Independent Trustees”), unanimously voted to terminate the former subadvisory agreement between AMG Funds LLC (the “Investment Manager”) and First Quadrant, L.P. (“First Quadrant”) with respect to AMG FQ Long-Short Equity Fund (the “Fund”), and approve the interim subadvisory agreement between the Investment Manager and River Road Asset Management, LLC (“River Road”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and River Road 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 River Road 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 five other funds that River Road 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 River Road, the Trustees reviewed information relating to River Road’s financial condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by River Road in managing the Fund. The Trustees noted that 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 large-capitalization companies. The Trustees further noted that in connection with hiring River Road, | ||
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shareholders would be asked to approve a change in the Fund’s status from operating as a diversified fund to operating as a non-diversified fund. Among other things, at this meeting and/or prior meetings, the Trustees reviewed information on portfolio management and other professional staff, information regarding River Road’s organizational and management structure, River Road’s compliance policies and procedures, and River Road’s brokerage policies and practices. The Trustees noted that River Road was founded in 2005 and has 49 employees. The Trustees considered specific information provided regarding the experience of the individuals at River Road that are expected to have portfolio management responsibility for the Fund. The Trustees noted that one proposed portfolio manager joined River Road in 2006 and the other proposed portfolio manager joined River Road in 2007. The Trustees further noted that the proposed portfolio managers serve as portfolio managers on other funds subadvised by River Road 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 River Road to the Fund; (b) the qualifications and experience of River Road’s personnel; and (c) River Road’s compliance program. The Trustees additionally considered River Road’s risk management processes. The Trustees reviewed River Road’s compliance policies and procedures, code of ethics, and specific information related to how River Road monitors, among other things, portfolio compliance and liquidity monitoring and deemed all of them to be adequate. The Trustees also took into account the financial condition of River Road with respect to its ability to provide the services required under the Agreements and noted that, as of December 31, 2020, River Road managed approximately $7.36 billion in assets. The Trustees concluded that, given River Road’s financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements.
PERFORMANCE
Because River Road was proposing to manage the Fund with its large cap value select 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 River Road with respect to its Large Cap Value Select Composite, which is managed in a substantially similar manner to the Fund. In this regard, the Trustees noted that the performance of the Large Cap Value Select Composite had not been adjusted for the fees and expenses of the Fund. The Trustees noted that the | Large Cap Value Select Composite outperformed the Fund’s benchmark for the 1-year, 3-year and 5-year periods ended December 31, 2020 and for the period since the inception of the Large Cap Value Select Composite on November 1, 2014 through December 31, 2020. The Trustees further considered the performance of the other funds in the AMG Funds Complex sub-advised by River Road.
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 River Road. In considering the anticipated profitability of River Road with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding River Road’s organization, management and financial stability. The Trustees noted that, because River Road is an affiliate of the Investment Manager, a portion of River Road’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 River Road under each Agreement was lower than the rate paid to First Quadrant 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 increase if the New Subadvisory Agreement was approved. The Trustees also noted payments made or to be made from River Road to the Investment Manager, and other payments made or to be made from the Investment Manager to River Road, 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 would both be lower 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 River Road is expected to | provide in performing its functions under the Agreements. The Trustees were provided with the estimated profitability of River Road 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 River Road 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 River Road is expected to be reasonable and that River Road 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 River Road, including, among others, the potential broadening of River Road’s large cap value investment capabilities, as well as the indirect benefits that River Road may receive from River Road’s relationship with the Fund, including any so-called “fallout benefits” to River Road, such as reputational value derived from River Road serving as subadviser to the Fund, which bears River Road’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 River Road, and the other considerations noted above with respect to River Road, the Fund’s subadvisory fees are reasonable.
* * * *
After consideration of the foregoing, the Trustees reached the following conclusions (in addition to the conclusions discussed above) regarding each Agreement: (a) River Road has demonstrated that it possesses the capability and resources to perform the duties required of it under each Agreement; (b) River Road’s Investment Strategy is appropriate for pursuing the Fund’s investment objectives; (c) River Road is reasonably likely to execute its investment strategy consistently over time; and (d) River Road 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 | ||
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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 DoubleLine Core Plus Bond 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 former subadvisory agreement between AMG Funds LLC (the “Investment Manager”) and DoubleLine Capital LP (“DoubleLine”) with respect to AMG Managers DoubleLine Core Plus Bond Fund (the “Fund”) (the “Former Subadvisory Agreement”), and approve the interim subadvisory agreement between the Investment Manager and Beutel, Goodman & Company Ltd. (“Beutel”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and Beutel 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 Beutel provided to them in connection with the meeting on March 17-18, 2021. 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 Beutel, the Trustees reviewed information relating to Beutel’s financial | condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by Beutel in managing the Fund. The Trustees noted that the Fund would invest, under normal circumstances, at least 80% of its net assets in fixed income securities. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding Beutel’s organizational and management structure, and Beutel’s compliance policies and procedures. The Trustees noted that Beutel was founded in 1967 and has 98 employees. The Trustees considered specific information provided regarding the experience of the individuals at Beutel that are expected to have portfolio management responsibility for the Fund. The Trustees noted that one proposed portfolio manager joined Beutel in 1992, one joined Beutel in 2006, one joined Beutel in 2016 and one joined Beutel in 2019. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by Beutel to the Fund; (b) the qualifications and experience of Beutel’s personnel; and (c) Beutel’s compliance program. The Trustees additionally considered Beutel’s risk management processes. The Trustees reviewed Beutel’s compliance policies and procedures, code of ethics, and specific information related to how Beutel 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 Beutel with respect to its ability to provide the services required under the Agreements and noted that, as of December 31, 2020, Beutel managed approximately $32.5 billion in assets. The Trustees concluded that, given Beutel’s financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements.
PERFORMANCE
Because Beutel was proposing to manage the Fund with a new U.S. focused core plus bond 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 Beutel with respect to Beutel’s Core Plus Bond Composite, a Canadian bond strategy, which had not been adjusted for the fees and expenses of the Fund. The Trustees noted that the Core Plus Bond Composite outperformed its index for the 1-year, 3-year, 5-year and 10-year periods ended December 31, 2020. | 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 Beutel. In considering the anticipated profitability of Beutel with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding Beutel’s organization, management and financial stability. The Trustees noted that, because Beutel is an affiliate (“Affiliate”) of the Investment Manager, a portion of Beutel’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 Beutel under the Interim Subadvisory Agreement was the same as the rate paid to DoubleLine under the Former Subadvisory Agreement. The Trustees also noted that the subadvisory fee rate to be paid to Beutel under the New Subadvisory Agreement was lower than the rate paid to DoubleLine 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 Beutel to the Investment Manager, and other payments made or to be made from the Investment Manager to Beutel, 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 would be lower than and the same as, respectively, 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 Beutel is expected to provide in performing its functions under the Agreements. The Trustees also were provided with | ||
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the estimated profitability of Beutel with respect to its proposed subadvisory services to the Fund. Based on the foregoing, the Trustees concluded that the profitability to Beutel is expected to be reasonable and that Beutel 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 Beutel, including, among others, the potential broadening of Beutel’s fixed income investment capabilities, as well as the indirect benefits that Beutel may receive from Beutel’s relationship with the Fund, including any so-called “fallout benefits” to Beutel, such as reputational value derived from Beutel serving as subadviser to the Fund, which bears Beutel’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 Beutel, and the other considerations noted above with respect to Beutel, 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 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 Beutel 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) Beutel has demonstrated that it possesses the capability and resources to perform the duties required of it under each Agreement; (b) Beutel’s Investment Strategy is appropriate for pursuing the Fund’s investment objectives; (c) Beutel is reasonably likely to execute its investment strategy consistently over time; and (d) Beutel 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 Pictet International 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 Pictet Asset Management Limited (“Pictet”) with respect to AMG Managers Pictet International Fund (the “Fund”) (the “Former Subadvisory Agreement”), and approve the interim subadvisory agreement between the Investment Manager and Beutel, Goodman & Company Ltd. (“Beutel”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and Beutel 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 Beutel provided to them in connection with the meeting on March 17-18, 2021. 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 Beutel, the Trustees reviewed information relating to Beutel’s financial condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by Beutel in managing the Fund. The Trustees noted that the Fund would invest, under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities. The Trustees further noted that in connection with hiring Beutel, shareholders would be asked to approve a change in the Fund’s status from operating as a diversified fund to operating as a non-diversified fund. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding Beutel’s organizational and management structure, and Beutel’s compliance policies and procedures. The Trustees noted that Beutel was founded in 1967 and has 98 employees. The Trustees considered specific information provided regarding the experience of the individuals at Beutel that are expected to have portfolio management responsibility for the Fund. The Trustees noted that one proposed portfolio manager joined Beutel in 2006, and one proposed portfolio manager joined Beutel in 2016. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by Beutel to the Fund; (b) the qualifications and experience of Beutel’s personnel; and (c) Beutel’s compliance program. The Trustees additionally considered Beutel’s risk management processes. The Trustees reviewed Beutel’s compliance policies and procedures, code of ethics, and specific information related to how Beutel monitors, among other things, portfolio compliance and proxy voting and deemed |
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all of them to be adequate. The Trustees also took into account the financial condition of Beutel with respect to its ability to provide the services required under the Agreements and noted that, as of December 31, 2020, Beutel managed approximately $32.5 billion in assets. The Trustees concluded that, given Beutel’s financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements.
PERFORMANCE
Because Beutel was proposing to manage the Fund with its international equity 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 Beutel with respect to Beutel’s International Equity Composite, which is managed in a substantially similar manner to the Fund. In this regard, the Trustees noted that the performance of the International Equity Composite had not been adjusted for the fees and expenses of the Fund. The Trustees noted that the International Equity Composite outperformed its benchmark over the 3-year and 5-year periods ended December 31, 2020.
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 Beutel. In considering the anticipated profitability of Beutel with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding Beutel’s organization, management and financial stability. The Trustees noted that, because Beutel is an affiliate (“Affiliate”) of the Investment Manager, a portion of Beutel’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 Beutel under the Interim Subadvisory Agreement was the same as the rate paid to Pictet under the Former Subadvisory Agreement. The Trustees also noted that the subadvisory fee rate to be paid to Beutel under the New Subadvisory Agreement was lower than the rate paid to Pictet 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 Beutel to the Investment Manager, and other payments made or to be made from the Investment Manager to Beutel, 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 would be lower and higher, respectively, 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 Beutel is expected to provide in performing its functions under the Agreements. The Trustees also were provided with the estimated profitability of Beutel with respect to its proposed subadvisory services to the Fund. Based on the foregoing, the Trustees concluded that the profitability to Beutel is expected to be reasonable and that Beutel 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 Beutel, including, among others, the potential broadening of Beutel’s international equity investment capabilities, as well as the indirect benefits that Beutel may receive from Beutel’s relationship with the Fund, including any so-called “fallout benefits” to Beutel, such as reputational value derived from Beutel serving as subadviser to the Fund, which bears Beutel’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 Beutel, and the other considerations noted above with respect to Beutel, 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 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 Beutel 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) Beutel has demonstrated that it possesses the capability and resources to perform the duties required of it under each Agreement; (b) Beutel’s Investment Strategy is appropriate for pursuing the Fund’s investment objectives; (c) Beutel is reasonably likely to execute its investment strategy consistently over time; and (d) Beutel 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 |
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March 17-18, 2021, the Trustees, and separately a majority of the Independent Trustees, unanimously voted to approve each Agreement.
AMG Managers Montag & Caldwell 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 former subadvisory agreement between AMG Funds LLC (the “Investment Manager”) and Montag & Caldwell, LLC (“Montag & Caldwell”) with respect to AMG Managers Montag & Caldwell Growth Fund (the “Fund”) (the “Former Subadvisory Agreement”), and approve the interim subadvisory agreement between the Investment Manager and Montrusco Bolton Investments, Inc. (“Montrusco Bolton”) with respect to the Fund (the “Interim Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and Montrusco Bolton 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 Montrusco Bolton provided to them in connection with the meeting on March 17-18, 2021. 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 Montrusco Bolton, the Trustees reviewed information relating to Montrusco Bolton’s financial condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by Montrusco Bolton in | managing the Fund. The Trustees noted that 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 large-capitalization companies. The Trustees further noted that in connection with hiring Montrusco Bolton, shareholders would be asked to approve (i) a change in the Fund’s status from operating as a diversified fund to operating as a non-diversified fund and (ii) an investment objective of seeking long-term capital appreciation. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding Montrusco Bolton’s organizational and management structure, and Montrusco Bolton’s compliance policies and procedures. The Trustees noted that Montrusco Bolton was founded in 1946 and has 50 employees. The Trustees considered specific information provided regarding the experience of the individual at Montrusco Bolton that is expected to have portfolio management responsibility for the Fund. The Trustees noted that the proposed portfolio manager joined Montrusco Bolton in 2005. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by Montrusco Bolton to the Fund; (b) the qualifications and experience of Montrusco Bolton’s personnel; and (c) Montrusco Bolton’s compliance program. The Trustees additionally considered Montrusco Bolton’s risk management processes. The Trustees reviewed Montrusco Bolton’s compliance policies and procedures, code of ethics, and specific information related to how Montrusco Bolton 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 Montrusco Bolton with respect to its ability to provide the services required under the Agreements and noted that, as of December 31, 2020, Montrusco Bolton managed approximately $5.1 billion in assets. The Trustees concluded that, given Montrusco Bolton’s financial condition, it would be able to meet any reasonably foreseeable obligations under the Agreements.
PERFORMANCE
Because Montrusco Bolton was proposing to manage the Fund with its U.S. large cap growth 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 Montrusco Bolton with respect to Montrusco Bolton’s U.S. Equity Composite, which is managed in a substantially similar manner to the Fund. In this regard, the Trustees noted that | the performance of the U.S. Equity Composite had not been adjusted for the fees and expenses of the Fund. The Trustees noted that the U.S. Equity Composite outperformed the Fund’s benchmark over the 3-year and 5-year periods ended December 31, 2020.
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 Montrusco Bolton. In considering the anticipated profitability of Montrusco Bolton with respect to the provision of subadvisory services to the Fund, the Trustees considered information regarding Montrusco Bolton’s organization, management and financial stability. The Trustees noted that, because Montrusco Bolton is an affiliate (“Affiliate”) of the Investment Manager, a portion of Montrusco Bolton’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 Montrusco Bolton under each Agreement was lower than the rate paid to Montag & Caldwell 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 Montrusco Bolton to the Investment Manager, and other payments made or to be made from the Investment Manager to Montrusco Bolton, 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 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. | ||
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The Board took into account management’s discussion of the proposed subadvisory fee structure, and the services Montrusco Bolton is expected to provide in performing its functions under the Agreements. The Trustees also were provided with the estimated profitability of Montrusco Bolton with respect to its proposed subadvisory services to the Fund. Based on the foregoing, the Trustees concluded that the profitability to Montrusco Bolton is expected to be reasonable and that Montrusco Bolton 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 Montrusco Bolton, including, among others, the potential broadening of Montrusco Bolton’s large cap growth investment capabilities, as well as the indirect benefits that Montrusco Bolton may receive from Montrusco Bolton’s relationship with the Fund, including any so-called “fallout benefits” to Montrusco Bolton, such as reputational value derived from Montrusco Bolton serving as subadviser to the Fund, which bears Montrusco Bolton’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 Montrusco Bolton, and the other considerations noted above with respect to Montrusco Bolton, 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 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 Montrusco Bolton 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) Montrusco Bolton has demonstrated that it possesses the capability and resources to perform the duties required of it under each Agreement; (b) Montrusco Bolton’s Investment Strategy is appropriate for pursuing the Fund’s investment objectives; (c) Montrusco Bolton is reasonably likely to execute its investment strategy consistently over time; and (d) Montrusco Bolton 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
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. |
amgfunds.com |
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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 | 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 |
amgfunds.com | 043021 | SAR082 |
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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.
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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. |
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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 I | ||
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 |