AMG Funds II

Dated: March 10, 2017

/s/ Jeffrey T. Cerutti_

Jeffrey T. Cerutti

Principal Executive Officer

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: 811-06431

AMG Funds II

(Exact name of registrant as specified in charter)

600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830

(Address of principal executive offices) (Zip code)

AMG Funds LLC

600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830

(Name and address of agent for service)

Registrant’s telephone number, including area code: (203) 299-3500

Date of fiscal year end: DECEMBER 31

Date of reporting period: JANUARY 1, 2016 – DECEMBER 31, 2016

(Annual Shareholder Report)

Item 1. Reports to Shareholders


				ANNUAL REPORT

AMG Funds

December 31, 2016

LOGO

AMG GW&K Enhanced Core Bond Fund

Class N: MFDAX | Class S: MFDSX | Class C: MFDCX

Class I: MFDYX

AMG GW&K Municipal Bond Fund

Class N: GWMTX | Class S: GWMSX | Class I: GWMIX

AMG GW&K Municipal Enhanced Yield Fund

Class N: GWMNX | Class S: GWMRX | Class I: GWMEX

AMG GW&K Small Cap Core Fund

Class N: GWETX | Class S: GWESX | Class I: GWEIX

AMG GW&K Small Cap Growth Fund

Class I: GWGIX


www.amgfunds.com \|		AR020-1216

AMG Funds

Annual Report—December 31, 2016


TABLE OF CONTENTS	PAGE
LETTER TO SHAREHOLDERS		2

ABOUT YOUR FUND’S EXPENSES		3

PORTFOLIO MANAGER’S COMMENTS, FUND SNAPSHOTS, AND SCHEDULES OF PORTFOLIO INVESTMENTS
AMG GW&K Enhanced Core Bond Fund		5
AMG GW&K Municipal Bond Fund		11
AMG GW&K Municipal Enhanced Yield Fund		20
AMG GW&K Small Cap Core Fund		27
AMG GW&K Small Cap Growth Fund		33

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS		39

FINANCIAL STATEMENTS

Statement of Assets and Liabilities Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts		42

Statement of Operations		44
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal year

Statements of Changes in Net Assets		45
Detail of changes in assets for the past two fiscal years

Financial Highlights		47
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets

Notes to Financial Highlights		56

Notes to Financial Statements		57
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM		67

TRUSTEES AND OFFICERS		68

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


				Letter to Shareholders

DEAR SHAREHOLDER:

While the year got off to a rocky start, overall U.S. equity investors enjoyed strong positive returns for 2016. The S&P 500 Index, a widely-followed barometer of the U.S. equity market, returned 12.0% during the prior twelve months. Small cap investors were also rewarded with a return of 21.3% for the small cap Russell 2000^® Index.

After the market’s initial stumble, investors had to balance a number of noteworthy events, including the U.K.’s planned exit from the European Union (“Brexit”), a contentious U.S. presidential election and the U.S. Federal Reserve’s second rate increase of 25 basis points to 0.50%-0.75%. Following the surprise election of Donald Trump as the 45th President of the United States, investors witnessed a rally in pro-cyclical sectors as the new administration’s plans for tax reform and increased fiscal spending drove anticipation of stronger future economic growth. Along with higher equity prices, long-term interest rates rose and the U.S. Dollar strengthened. Commodity prices collapsed, but then rebounded on indications of an increase in U.S. infrastructure spending and a small uptick in China’s third-quarter Gross Domestic Product (GDP). Oil prices also experienced volatility as they continued their fall from 2015, bottoming in February and subsequently recovering more than 100%. This recovery lent some much needed support to the beleaguered energy industry, which ended the year with the highest returns of any sector in the S&P 500 Index. In total, all sectors but the health care sector were positive for 2016; however, there was significant dispersion in performance across sectors. Energy, telecommunication services and financials returned 27%, 23% and 21%, respectively, while companies within the consumer staples, real estate and health care sectors returned 5%, 4% and (3)%, respectively. Internationally, stocks lagged their U.S. counterparts, returning 4.5%, as measured by the MSCI ACWI ex USA (in U.S. Dollar terms).

The Bloomberg Barclays U.S. Aggregate Bond Index, a broad U.S. bond market benchmark, returned 2.7% for the year ended December 31, 2016. Over the course of the year, interest rates and credit spreads gyrated at times, putting pressure on bond prices. While stocks finished strong, bond prices were less fortunate, as rising interest rates caused yields to rise and bond prices to fall. The 10-year U.S. Treasury note’s yield started the year at 2.24%, bottomed at 1.37% in July, and ended the year much higher at 2.45%. High yield, on the other hand, was very strong, as investor risk appetite improved and spreads tightened 470 basis points. The Bloomberg Barclays U.S. Corporate High Yield Bond Index ended the year with a healthy 17.1% return.

We are excited to announce as of October 1, 2016, the AMG Funds family of mutual funds fully integrated the former Aston Funds. AMG Funds and Aston Funds shareholders will now have access to the differentiated solutions of AMG Funds, which represents a single point of access to one of the largest line-ups of boutique managers and products in the world.

AMG Funds appreciates the privilege of providing investment tools to you and your clients. Our foremost goal at AMG Funds is to provide investment solutions that help our shareholders successfully reach their long-term investment goals. By partnering with AMG’s affiliated investment boutiques, AMG Funds provides access to a distinctive array of actively-managed return-oriented investment strategies. Additionally, we oversee and distribute a number of complementary open-architecture mutual funds subadvised by unaffiliated investment managers. We thank you for your continued confidence and investment in AMG Funds. You can rest assured that under all market conditions our team is focused on delivering excellent investment management services for your benefit.

Respectfully,

LOGO

Jeffery Cerutti

President

AMG Funds


Average Annual Total Returns		Periods ended December 31, 2016
Stocks:		1 Year			3 Years			5 Years
Large Caps	(S&P 500 Index)		11.96	%		8.87	%		14.66	%
Small Caps	(Russell 2000^® Index)		21.31	%		6.74	%		14.46	%
International	(MSCI All Country World ex-USA Index)		4.50	%		(1.78	)%		5.00	%
Bonds:
Investment Grade	(Bloomberg Barclays U.S. Aggregate Bond Index)		2.65	%		3.03	%		2.23	%
High Yield	(Bloomberg Barclays U.S. Corporate High Yield Index)		17.13	%		4.66	%		7.36	%
Tax-exempt	(Bloomberg Barclays Municipal Bond Index)		0.25	%		4.14	%		3.28	%
Treasury Bills	(BofA Merrill Lynch 6 month U.S. Treasury Bill)		0.67	%		0.34	%		0.27	%

About Your Fund’s Expenses

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 December 31, 2016	Expense Ratio for the Period			Beginning Account Value 07/01/16		Ending Account Value 12/31/16		Expenses Paid During the Period*
AMG GW&K Enhanced Core Bond Fund
Class N
Based on Actual Fund Return		0.84	%	$	1,000	$	980	$	4.18
Hypothetical (5% return before expenses)		0.84	%	$	1,000	$	1,021	$	4.27
Class S
Based on Actual Fund Return		0.69	%	$	1,000	$	980	$	3.43
Hypothetical (5% return before expenses)		0.69	%	$	1,000	$	1,022	$	3.51
Class C
Based on Actual Fund Return		1.59	%	$	1,000	$	976	$	7.90
Hypothetical (5% return before expenses)		1.59	%	$	1,000	$	1,017	$	8.06
Class I
Based on Actual Fund Return		0.59	%	$	1,000	$	982	$	2.94
Hypothetical (5% return before expenses)		0.59	%	$	1,000	$	1,022	$	3.00
AMG GW&K Municipal Bond Fund
Class N
Based on Actual Fund Return		0.65	%	$	1,000	$	955	$	3.19
Hypothetical (5% return before expenses)		0.65	%	$	1,000	$	1,022	$	3.30
Class S
Based on Actual Fund Return		0.49	%	$	1,000	$	957	$	2.41
Hypothetical (5% return before expenses)		0.49	%	$	1,000	$	1,023	$	2.49
Class I
Based on Actual Fund Return		0.34	%	$	1,000	$	957	$	1.67
Hypothetical (5% return before expenses)		0.34	%	$	1,000	$	1,023	$	1.73
AMG GW&K Municipal Enhanced Yield Fund
Class N
Based on Actual Fund Return		1.14	%	$	1,000	$	927	$	5.52
Hypothetical (5% return before expenses)		1.14	%	$	1,000	$	1,019	$	5.79
Class S
Based on Actual Fund Return		0.74	%	$	1,000	$	929	$	3.59
Hypothetical (5% return before expenses)		0.74	%	$	1,000	$	1,021	$	3.76
Class I
Based on Actual Fund Return		0.64	%	$	1,000	$	930	$	3.11
Hypothetical (5% return before expenses)		0.64	%	$	1,000	$	1,022	$	3.25
AMG GW&K Small Cap Core Fund
Class N
Based on Actual Fund Return		1.34	%	$	1,000	$	1,105	$	7.09
Hypothetical (5% return before expenses)		1.34	%	$	1,000	$	1,018	$	6.80
Class S
Based on Actual Fund Return		1.09	%	$	1,000	$	1,107	$	5.77
Hypothetical (5% return before expenses)		1.09	%	$	1,000	$	1,020	$	5.53
Class I
Based on Actual Fund Return		0.95	%	$	1,000	$	1,108	$	5.03
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.82

About Your Fund’s Expenses

(continued)


Six Months Ended December 31, 2016	Expense Ratio for the Period			Beginning Account Value 07/01/16		Ending Account Value 12/31/16		Expenses Paid During the Period*
AMG GW&K Small Cap Growth Fund
Class I
Based on Actual Fund Return		0.95	%	$	1,000	$	1,102	$	5.02
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.82

*	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 (184), then divided by 366.

AMG GW&K Enhanced Core Bond Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

AMG GW&K Enhanced Core Bond Fund (Class N)¹ (the “Fund”) returned 3.2% for the year ended December 31, 2016, compared to the return of 2.7% for the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).

BACKGROUND

Fixed-income markets experienced a stark departure from the status quo in the fourth quarter. The unexpected outcome of the U.S. election, OPEC’s decision to cut crude production and hawkish commentary from the U.S. Federal Reserve (the Fed) prompted a major reappraisal of the narrative that dominated trading through the first three quarters of the year. All at once, long-held assumptions about growth, inflation, taxes and regulation were called into question and investors responded by sending interest rates sharply higher. Notably, this dramatic move simply brought rates back to approximately where they began the year, suggesting more of a return to normal than an outright panic.

MARKET

The taxable bond market saw its worst quarterly performance in more than 35 years, with the Index posting a return of (3.0%) in the fourth quarter of 2016. Treasuries led the way, losing (3.8%) as yields bounced sharply from near-record lows to their highest levels in more than two years. Yields at the front end of the curve rose in response to signals from the Fed that it could accelerate the pace of rate hikes in 2017, sending two-year yields up 43 basis points to a seven-year high. Meanwhile, intermediate and long rates increased in response to post-election expectations of aggressive fiscal stimulus, with the 30-year rising 75 basis points. This resulted in a significant steepening of the yield curve, as the two-year/30-year spread widened 32 basis points and reversed most of its year-to-date flattening.

Investment-grade corporates declined (2.8%), outperforming Treasuries due to 15 basis points of spread tightening. The same appetite for risk that pushed equity indices to record levels drove strong performance in credit as well. BBB-rated bonds fared the best, tightening 21 basis points, as investor focus shifted toward the more industrial and cyclical corners of the market. High-yield corporate bonds also benefited from investor

optimism, reaching their tightest level in more than two years and posting the only positive return in the taxable market (1.8%). Here too, the lower end of the quality spectrum outperformed, as CCCs returned 4.7% on the back of strong returns from the energy (5.8%) and basic materials (2.88%) sectors. Mortgage-backed securities were a relative outperformer as well (2.0%), owing, in large part, to their shorter duration and ongoing technical support from Fed reinvestments. Government-related bonds (3.1%) performed in line with the broader market.

PERFORMANCE ATTRIBUTION

The moderate yield curve steepening throughout the year was a minimal detractor to performance, as the Fund was just slightly longer in duration than the benchmark. Any detraction to performance from the yield curve, however, was mitigated by our overweight allocation to spread product. Investment-grade corporates and taxable municipals were strong contributors to the allocation effect, while our out-of-benchmark allocation to high-yield corporates earned us performance at the security-selection level.

OUTLOOK

Looking ahead, 2017 promises to resolve much of the uncertainty that has arisen in the closing months of 2016. The policy specifics of the Trump administration’s planned fiscal stimulus are likely to emerge early in the year, with significant implications for economic growth, corporate profits and inflation. Proposed changes to trade agreements, tax policy and government regulation should also have meaningful economic impact. At the same time, much of this anticipated benefit could be mitigated by an accelerated pace of Fed rate hikes. Higher costs of financing and a stronger U.S. Dollar could offset the intended advantages of lower taxes, looser regulation and increased government spending. Given these somewhat countervailing forces, we expect moves in intermediate and long maturities to be subdued. The Fund is positioned with duration slightly longer than the benchmark due to our overweight to intermediate maturities rather than a particular preference for the long end. We believe this part of the curve offers the most attractive potential returns, due to the carry and roll available for the assumed interest-rate exposure.

Positive economic data and strong corporate earnings have driven demand for corporate credit and brought spreads to their tightest level in two years. The commodity price decline that caused a selloff earlier in the year reversed sharply in recent months, driving outsized returns in many of the worst-performing sectors over the last two years. Additionally, expectations of a more relaxed regulatory environment helped drive performance in the financial sector. The default rate in the high-yield market was 5.1% in 2016, though removing energy and natural resources issuers brings that down to 2.4%.²

Despite the high degree of uncertainty heading into 2017, we believe corporate credit is likely to outperform under most scenarios. Credit fundamentals remain sound, earnings growth is steady and corporations have ready access to capital. Furthermore, the global search for yield continues to favor high-quality corporate bonds, suggesting the potential for further spread compression, as well as limited room for widening in the event of a selloff. That said, we continue to avoid lower-quality industrials and commodity-linked sectors where sentiment is prone to rapid reversals. Our view toward the high-yield market is neutral because we believe solid credit fundamentals are being fairly priced at current spread levels. We believe the outlook for the mortgage market remains favorable, given the protection it offers against higher rates at the front end. The sector should also benefit from positive technical dynamics provided by the Fed’s ongoing asset purchases.

¹	Prior to October 1, 2016, the Fund’s Class N shares were known as Investor Shares.

²	Standard & Poors

This commentary reflects the viewpoints of the portfolio manager, GW&K Investment Management, LLC as of December 31, 2016, and is not intended as a forecast or guarantee of future results, and is subject to change without notice.

AMG GW&K Enhanced Core Bond Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Enhanced Core Bond Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all distributions were reinvested. The graph compares a hypothetical $10,000 investment made in the AMG GW&K Enhanced Core Bond Fund Class N (formally Investor Class) shares on December 31, 2006, with a $10,000 investment made in the Bloomberg Barclays U.S. Aggregate Bond Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns for the Fund would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Enhanced Core Bond Fund and the Bloomberg Barclays U.S. Aggregate Bond Index for the same time periods ended December 31, 2016.


Average Annual Total Returns¹	One Year			Five Years			Ten Years			Since Inception			Inception Date
AMG GW&K Enhanced Core Bond Fund ^2,3,4,5,6
Class N⁷		3.15	%		2.94	%		4.46	%		5.50	%		01/02/97
Class S⁷		3.31	%		—			—			1.54	%		11/30/12
Class C^7,8		2.40	%		2.16	%		3.67	%		4.67	%		03/05/98
Class I⁷		3.41	%		3.19	%		4.72	%		5.89	%		01/02/97
Bloomberg Barclays U.S. Aggregate Bond Index⁹		2.65	%		2.23	%		4.34	%		5.31	%		01/02/97	^†

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 Fund and other information, please call (800) 835-3879 or visit our website at www.amgfunds.com for a free prospectus. Read it carefully before investing or sending money.

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Fund are net of expenses and based on the published NAV as of December 31, 2016. All returns are in U.S. dollars ($).

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

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.

⁴	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.

⁵

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.

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	Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class S and Class I, respectively.

⁸	Closed to new investments.

⁹

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. Effective August 24, 2016, the Barclays indices were renamed Bloomberg Barclays indices. Unlike the Fund, the Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, is not available for investment and does not incur expenses.

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

AMG GW&K Enhanced Core Bond Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


Sector	AMG GW&K Enhanced Core Bond Fund*
U.S. Government and Agency Obligations		36.0	%
Industrials		35.0	%
Financials		16.2	%
Municipal Bonds		6.7	%
Other Assets and Liabilities		6.1	%

*	As a percentage of net assets.


Rating	AMG GW&K Enhanced Core Bond Fund**
U.S. Government and Agency Obligations		38.3	%
Aaa		1.0	%
Aa		8.6	%
A		7.0	%
Baa		32.0	%
Ba		12.1	%
B		1.0	%

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

TOP TEN HOLDINGS


Security Name	% of Net Assets
FNMA, 4.000%, 10/01/43***		3.6	%
United States Treasury Bond, 6.250%, 08/15/23***		2.9
United States Treasury Notes, 2.000%, 11/30/22***		2.9
FNMA, 4.500%, 04/01/41***		2.5
FNMA, 4.500%, 05/01/39***		2.1
Citigroup, Inc., 2.050%, 12/07/18		2.0
California State General Obligation, School Improvements, 7.550%, 04/01/39***		1.9
FHLMC Gold Pool, 5.000%, 10/01/36***		1.7
FNMA, 3.500%, 02/01/46		1.7
Weyerhaeuser Co., 8.500%, 01/15/25		1.6

Top Ten as a Group		22.9	%

^***	Top Ten Holdings as of June 30, 2016.

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.

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments

December 31, 2016


	Principal Amount		Value
Corporate Bonds and Notes—51.2%
Financials—16.2%
Ally Financial, Inc.,
5.125%, 09/30/24¹	$	499,000	$	508,980
8.000%, 03/15/20		650,000		737,750
American Tower Corp., 4.400%, 02/15/26		1,097,000		1,123,021
Bank of America Corp., MTN, 3.875%, 08/01/25		1,654,000		1,684,892
Citigroup, Inc., 2.050%, 12/07/18		2,301,000		2,301,822
Crown Castle International Corp., 5.250%, 01/15/23		1,030,000		1,112,400
The Goldman Sachs Group, Inc., 6.125%, 02/15/33		946,000		1,146,448
Host Hotels & Resorts, L.P., Series C, 4.750%, 03/01/23		1,077,000		1,123,209
International Lease Finance Corp., 8.250%, 12/15/20		1,124,000		1,312,270
JPMorgan Chase & Co., Series S, 6.750%, 01/29/49^1,2,3		1,050,000		1,132,688
Morgan Stanley, GMTN, 5.500%, 07/28/21		997,000		1,105,936
National Rural Utilities Cooperative Finance Corp., MTN, 3.250%, 11/01/25		1,088,000		1,104,652
Northern Trust Corp., Series D, 4.600%, 12/29/49^2,3		1,113,000		1,061,524
Wells Fargo & Co., Series U, 5.875%, 12/29/49^2,3		1,069,000		1,123,679
Weyerhaeuser Co., 8.500%, 01/15/25		1,413,000		1,829,860
Total Financials				18,409,131
Industrials—35.0%
American Airlines Group, Inc., 6.125%, 06/01/18		616,000		644,490
Automatic Data Processing, Inc., 3.375%, 09/15/25		1,586,000		1,628,099
Ball Corp., 5.250%, 07/01/25		1,116,000		1,170,405
Burlington Northern Santa Fe LLC, 6.150%, 05/01/37		1,342,000		1,717,251
CCO Holdings LLC / CCO Holdings Capital Corp.,
5.125%, 02/15/23		1,130,000		1,163,900
5.750%, 01/15/24		25,000		26,187
CDW LLC / CDW Finance Corp., 5.500%, 12/01/24		1,126,000		1,156,965
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp., 5.375%, 06/01/24		1,084,000		1,121,940
Comcast Corp., 7.050%, 03/15/33		835,000		1,122,762
CSX Corp., 2.600%, 11/01/26		1,203,000		1,128,554
CVS Health Corp., 5.125%, 07/20/45		956,000		1,069,555
General Motors Co., 6.250%, 10/02/43		1,039,000		1,152,501
Georgia-Pacific LLC, 8.000%, 01/15/24		876,000		1,119,659
The Goodyear Tire & Rubber Co., 5.000%, 05/31/26		1,135,000		1,132,662
Hanesbrands, Inc., 4.625%, 05/15/24 (a)		925,000		901,875
HCA, Inc., 5.000%, 03/15/24		1,429,000		1,473,656
International Paper Co., 3.000%, 02/15/27		1,183,000		1,118,487
Lennar Corp., 4.750%, 11/15/22		1,157,000		1,191,710
Masco Corp., Series, 4.375%, 04/01/26		1,143,000		1,160,145

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

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—35.0% (continued)
McDonald’s Corp., MTN, 3.700%, 01/30/26	$	1,072,000	$	1,093,445
Microsoft Corp., 3.750%, 02/12/45		1,146,000		1,077,389
Molson Coors Brewing Co., 3.000%, 07/15/26		1,159,000		1,097,856
Newell Brands, Inc., 3.850%, 04/01/23		1,632,000		1,695,173
Omnicom Group, Inc., 3.600%, 04/15/26		1,111,000		1,101,675
Owens Corning, 4.200%, 12/15/22		1,100,000		1,143,831
Reynolds Group Issuer, Inc., 5.125%, 07/15/23 (a)		1,000,000		1,022,500
Sirius XM Radio, Inc., 5.375%, 07/15/26 (a)		1,000,000		980,000
Southwest Airlines Co., 3.000%, 11/15/26		1,325,000		1,251,512
Steel Dynamics, Inc., 5.000%, 12/15/26 (a)¹		1,000,000		998,750
T-Mobile USA, Inc., 6.500%, 01/15/26		1,080,000		1,170,450
Tyson Foods, Inc., 4.875%, 08/15/34		1,047,000		1,070,029
Under Armour, Inc., 3.250%, 06/15/26		1,155,000		1,092,997
Verizon Communications, Inc., 4.400%, 11/01/34		1,105,000		1,093,958
Vulcan Materials Co., 4.500%, 04/01/25		803,000		843,150
Walgreens Boots Alliance, Inc., 3.100%, 06/01/23		1,680,000		1,671,304
Total Industrials				39,604,822
Total Corporate Bonds and Notes (cost $58,455,468)				58,013,953
Municipal Bonds—6.7%
California State General Obligation, School Improvements, 7.550%, 04/01/39		1,445,000		2,139,539
JobsOhio Beverage System, Series B, 3.985%, 01/01/29		1,190,000		1,260,127
Los Angeles Unified School District, School Improvements, 5.750%, 07/01/34		1,100,000		1,359,622
Los Angeles Unified School District, School Improvements, 6.758%, 07/01/34		345,000		463,335
Metropolitan Transportation Authority Revenue, Transit Improvements, 6.668%, 11/15/39		965,000		1,280,690
New Jersey Economic Development Authority, Pension Funding, Series A, 7.425%, 02/15/29 (National Insured)⁴		923,000		1,100,484
Total Municipal Bonds (cost $7,545,046)				7,603,797
U.S. Government and Agency Obligations—36.0%
Federal Home Loan Mortgage Corporation—3.4%
FHLMC Gold Pool,
4.500%, 09/01/26 to 10/01/39		1,189,328		1,266,860
5.000%, 06/01/26 to 10/01/36		2,342,567		2,537,774
Total Federal Home Loan Mortgage Corporation				3,804,634
Federal National Mortgage Association—26.8%
FNMA,
3.500%, 11/01/42 to 03/01/46		5,456,389		5,615,437
4.000%, 09/01/25 to 10/01/44		11,265,569		11,909,323
4.500%, 05/01/39 to 09/01/42		7,136,407		7,716,337
5.000%, 08/01/35		846,347		925,085
5.500%, 05/01/25 to 04/01/40		2,089,350		2,308,696

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

AMG GW&K Enhanced Core Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal National Mortgage Association—26.8% (continued)
FNMA,
6.000%, 02/01/23 to 10/01/39	$	1,698,589	$	1,920,573
Total Federal National Mortgage Association				30,395,451
U.S. Treasury Obligations—5.8%
United States Treasury Bonds, 6.250%, 08/15/23		2,639,000		3,300,091
United States Treasury Notes, 2.000%, 11/30/22		3,316,000		3,294,174
Total U.S. Treasury Obligations				6,594,265
Total U.S. Government and Agency Obligations (cost $41,190,830)				40,794,350
Short-Term Investments—6.3%
Repurchase Agreements—1.7%⁵
Daiwa Capital Markets America, dated 12/30/16, due 01/03/17, 0.520% total to be received $1,000,058 (collateralized by various U.S. Government Agency Obligations, 0.000% - 6.500%, 03/02/17 - 02/01/49, totaling $1,020,000)		1,000,000		1,000,000
Nomura Securities International, Inc., dated 12/30/16, due 01/03/17, 0.500% total to be received $888,968 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.500%, 01/15/17 - 08/20/66, totaling $906,697)		888,919		888,919
Total Repurchase Agreements				1,888,919
	Shares
Other Investment Companies—4.6%⁶
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%		5,203,078		5,203,078
Total Short-Term Investments (cost $7,091,997)				7,091,997
Total Investments—100.2% (cost $114,283,341)				113,504,097
Other Assets, less Liabilities—(0.2)%				(238,251	)
Net Assets—100.0%			$	113,265,846

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

AMG GW&K Municipal Bond Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2016, the AMG GW&K Municipal Bond Fund (Class S)¹ (the “Fund”) returned (0.8%), underperforming its benchmark, the Bloomberg Barclays 10-Year Municipal Bond Index (the “Index”), which returned (0.1%).

MARKET

Municipal bonds suffered their worst quarter of performance since 1994, essentially wiping out all their gains from the previous nine months. Ten-year tax-exempt yields soared 80 basis points over the quarter to finish the year at 2.31%, 100 basis points above their summer lows². The results of the November election caught the markets by surprise and shifted sentiment dramatically. The Republican sweep brushed away long-held assumptions of sluggish growth amid continued Washington gridlock and the market seemed to immediately price in the successful passage of steep tax cuts, heavy infrastructure spending and more business-friendly regulation. Oil prices rose to cyclical highs and stock markets set a series of new record levels. Inflation expectations moved sharply higher and the yield on the 10-year U.S. Treasury note hit a two-year high of 2.64%². In December, after the unemployment rate declined to its lowest reading since 2007, the U.S. Federal Reserve finally raised rates and signaled a marginally faster pace of tightening for 2017, giving the economy an important vote of confidence. Treasuries rallied back in the final two weeks of December to close the year at 2.45% as the equity rally ran out of steam.

Municipals followed the path of Treasuries over the quarter but exhibited greater volatility. The post-election selloff was far more acute as retail investors reacted poorly to their first losses in years. Mutual funds, which had just seen 54 consecutive weeks of inflows, were suddenly inundated with redemption requests. During the week ended November 16, investors withdrew $3.1 billion, the most in over three years. The outflows continued into year-end at a pace of nearly $2 billion a week³. Prior to the election, dealer inventories were sagging under the weight of three successive months of record issuance. Instead of absorbing bonds, they were adding to the selling pressure in an effort to shed exposure to a falling market. As issuance slowed in mid-November, a lack of price transparency emerged, forcing prices to adjust with little guidance. Municipal bonds underperformed significantly. The 10-year municipal bond/Treasury ratio, which began November at 95%, peaked at 107%, similar to the panic selling experience back in 2013’s Taper Tantrum². Ultimately, however, municipal bonds cheapened enough to entice crossover buyers to step in with other value-seeking investors to support the market, and municipals rallied back hard to end the year on firmer footing. After peaking at 2.58%, its highest level since January 2014, the yield on the 10-year municipal bond fell 30 basis points in four trading days and eventually closed the year at 2.31%, nearly 40 basis points higher than where it began in January.

Heading into 2017, it appears like the municipal bond market has essentially stabilized. Ratios

versus Treasuries begin the year near more normal levels as the demand side recognized the value offered by November’s dislocation. But uncertainty still looms in the coming year. Few details have emerged on potential tax reform and infrastructure spending, leaving the market to speculate on possible outcomes. Long dormant fears of inflation have shown signs of resurfacing, adding to investor caution. Extreme proposals regarding the municipal bond tax-exemption will undoubtedly get voiced from one corner or another, but we do not expect a major overhaul to the primary funding vehicle of the nation’s infrastructure for the last 100+ years. We also don’t expect a supply boom anytime soon. The Trump Administration’s infrastructure plan appears to be based on harnessing private versus public investment, and the rise in interest rates has already slowed the biggest source of issuance this year: refunding deals. Average expectations for issuance are in the $380 billion range, a 15% drop-off from 2016’s record-breaking year⁴. While the market is in a much more attractive position for investors heading into 2017, with rates higher and relative value ratios still historically cheap, we could be in for a volatile stretch. Of course, volatility suits our style of active management and we look forward to seeking to take advantage of market fluctuations in 2017.

The Fund underperformed the Bloomberg Barclays 10-Year Municipal Bond Index in 2016. Our overweight to shorter maturities (5-7 years) was a negative. A lower yield relative to the Index due to our higher quality was also a performance detractor. On the positive side, a duration extension trade post-election aided performance as rates subsequently declined.

AMG GW&K Municipal Bond Fund

Portfolio Manager’s Comments (continued)

FUND PORTFOLIO

The post-election selloff sent yields to three-year highs and pushed the market to oversold conditions with municipal bond/Treasury ratios exceeding 100% across the curve. We reacted to this opportunity as we always do — by buying aggressively, extending duration and locking in higher rates. We focused our purchases on the 10-15-year part of the curve where we executed trades at average yields of 3.0%, or 5.3% on a taxable-equivalent basis. The proceeds for the trade came from five-year maturities, an area of the curve in high demand because it had performed well on a relative basis. We picked up approximately 140 basis points in yield between the buy and the sell and also positioned for better curve and credit roll down.

We never claim to know the direction of rates ahead of time, but when they move meaningfully in one direction or the other, we shift our allocation along the curve. As rates have declined over the past few years to a historic low in July, we incrementally moved our duration in and increased our allocation to maturities shorter than the benchmark. This not only provided us with greater protection from rising rates, but also equipped us with more flexibility to push out duration if the opportunity arose. As such, when rates shot up post-election, we knew exactly what our response should be: buy into the selloff. And, if rates rise again, we will extend duration further. We have seen, time and again, how this approach has maximized returns over the long run.

¹	Prior to October 1, 2016, the Fund’s Class S shares were known as Service Shares.

FactSet

³	Bloomberg and Lipper U.S. Fund Flows

⁴

Bloomberg

AMG GW&K Municipal Bond Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Municipal Bond Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in AMG GW&K Municipal Bond Fund Class S (formally Service Class) on June 30, 2009, to a $10,000 investment made in the Bloomberg Barclays 10-Year Municipal Bond Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Municipal Bond Fund and the Bloomberg Barclays 10-Year Municipal Bond Index for the same time periods ended December 31, 2016.


Average Annual Total Returns¹	One Year			Five Years			Since Inception			Inception Date
AMG GW&K Municipal Bond Fund ^2,3,4,5
Class N⁶		(1.05	)%		2.42	%		4.35	%		6/30/09
Class S⁶		(0.77	)%		2.71	%		4.63	%		6/30/09
Class I⁶		(0.70	)%		2.88	%		4.86	%		6/30/09
Bloomberg Barclays 10-Year Municipal Bond Index⁷		(0.12	)%		3.10	%		4.91	%		6/30/09	^†

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

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

⁴	Factors unique to the municipal bond market may negatively affect the value in municipal bonds.

⁵	Investment income may be subject to certain state and local taxes, and depending on your tax status, the federal alternative minimum tax. Capital gains are not exempt from federal income tax.

⁶	Effective October 1, 2016, the Investor class, Service class and Institutional Class were renamed Class N, Class S and Class I, respectively.

⁷

The Bloomberg Barclays 10-Year Municipal Bond Index is the 10 Year (8-12) component of the Municipal Bond index. It is a rulesbased,market-value-weighted index engineered for the tax-exempt bond market. The Index tracks general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds rated Baa3/BBB- or higher by at least two of the ratings agencies: Moody’s, S&P, Fitch. Effective August 24, 2016, the Barclays indices were renamed Bloomberg Barclays indices. Unlike the Fund, the Bloomberg Barclays 10-Year Municipal Bond Index is unmanaged, is not available for investment and does not incur expenses.

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

AMG GW&K Municipal Bond Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


Sector	AMG GW&K Municipal Bond Fund*
General Obligation		33.8	%
Transportation		18.9	%
Utilities		16.9	%
Public Services		9.5	%
Education		7.1	%
Healthcare		6.7	%
Certificate of Participation		1.3	%
Industrial Development		1.3	%
Tax		1.2	%
Other		0.9	%
Other Assets & Liabilities		2.4	%

*	As a percentage of net assets.


Rating	AMG GW&K Municipal Bond Fund**
Aaa		34.2	%
Aa		55.2	%
A		9.3	%
Baa		1.3	%

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

TOP TEN HOLDINGS


Security Name	% of Net Assets
Maryland State, General Obligation, University and College Improvements, Series B, 5.000%, 08/01/23***		2.5	%
Arizona Water Infrastructure Finance Authority,Water Quality Revenue, Series A, 5.000%, 10/01/26***		1.9
Commonwealth of Virginia, Series B, 5.000%, 06/01/22***		1.6
State of Michigan, 5.000%, 03/15/27		1.6
State of Washington, Water Utility Improvements Revenue, Series C, 5.000%, 08/01/25***		1.5
Illinois State Finance Authority Revenue, Clean Water Initiative Revenue, 5.000%, 07/01/27		1.4
New York City General Obligation, Series I, 5.000%, 08/01/24***		1.4
Texas Transportation Commission Fund, Series A, 5.000%, 04/01/27***		1.4
Missouri Highway & Transportation Commission, Fuel Sales Tax Revenue, Series A, 5.000%, 05/01/22***		1.3
Missouri Highway & Transportation Commission, Fuel Sales Tax Revenue, Series B, 5.000%, 05/01/23		1.3

Top Ten as a Group		15.9	%

^*^**

Top Ten Holdings as of June 30, 2016.

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments

December 31, 2016


	Principal Amount		Value
Municipal Bonds—99.2%
Arizona—4.0%
Arizona School Facilities Board COPS, Series A, 5.000%, 09/01/21	$	5,100,000	$	5,779,218
Arizona Transportation Board, Subordinated Highway Revenue, Series 2013 A, 5.000%, 07/01/22		4,355,000		5,021,184
Arizona Water Infrastructure Finance Authority, Water Quality Revenue, Series A, 5.000%, 10/01/26		15,000,000		17,949,600
City of Phoenix Civic Improvement Corp., Water Utility Improvements, Series A, 5.000%, 07/01/21		4,110,000		4,464,323
Phoenix Civic Improvement Corp., Water Utility Improvements, Series A, 5.000%, 07/01/22		3,650,000		3,964,666
Total Arizona				37,178,991
California—4.9%
California State Tax Exempt General Obligation, 5.000%, 03/01/24		5,000,000		5,911,200
California State University, Series A, 5.000%, 11/01/29		4,525,000		5,278,594
State of California, 5.000%, 09/01/22		6,040,000		6,986,770
State of California, 5.000%, 09/01/25		10,000,000		12,029,500
State of California, 5.000%, 09/01/29		5,010,000		5,964,706
State of California, Series C, 5.000%, 09/01/26		7,700,000		9,196,264
Total California				45,367,034
Colorado—1.5%
City & County of Denver CO. Airport System Revenue, Series A, 5.000%, 11/15/23		6,000,000		6,997,800
Regional Transportation District County COPS, Series A, 5.000%, 06/01/24		6,000,000		6,810,420
Total Colorado				13,808,220
Connecticut—0.7%
State of Connecticut Special Tax Revenue, Transit Infrastructure, 5.000%, 08/01/24		5,340,000		6,207,697
District of Columbia—2.6%
District of Columbia Water & Sewer Authority Public Utility Revenue, Sub Lien, Series C, 5.000%, 10/01/21		5,100,000		5,813,082
District of Columbia Water & Sewer Authority Public Utility Revenue, Sub Lien, Series C, 5.000%, 10/01/24		5,475,000		6,348,317
District of Columbia, Series A, 5.000%, 06/01/24		5,000,000		5,936,800
District of Columbia, Series A, 5.000%, 06/01/30		5,010,000		5,947,622
Total District of Columbia				24,045,821
Florida—3.8%
Florida State Board of Education, Series D, 5.000%, 06/01/24		6,565,000		7,406,239
Orange County Health Facilities Authority, Series A, 5.000%, 10/01/31		4,165,000		4,658,386
State of Florida, Capital Outlay, Series B, 5.000%, 06/01/27		9,145,000		10,783,235
State of Florida, Department of Transportation, Fuel Sales Tax Revenue, Series B, 5.000%, 07/01/26		5,780,000		6,574,172
Tampa Bay Water, 5.500%, 10/01/22 (National Insured)⁴		4,775,000		5,685,258
Total Florida				35,107,290
Georgia—3.3%
Atlanta Water & Wastewater Revenue, 5.000%, 11/01/25		5,100,000		6,107,505
Georgia State University & College Improvements, Series A, 5.000%, 02/01/26		5,520,000		6,639,235
Georgia State University & College Improvements, Series A, 5.000%, 07/01/27		5,450,000		6,314,370

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

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Georgia—3.3% (continued)
Georgia State University & College Improvements, Series A—Tranche 2, 5.000%, 07/01/24	$	5,000,000	$	5,829,800
State of Georgia, Series C, 5.000%, 09/01/23		5,000,000		5,865,400
Total Georgia				30,756,310
Idaho—0.7%
Idaho Housing & Finance Association, 5.000%, 07/15/23		5,770,000		6,671,389
Illinois—4.8%
Chicago O’Hare International Airport, Series B, 5.000%, 01/01/28		10,570,000		12,005,512
Illinois State Finance Authority Revenue, Clean Water Initiative Revenue, 5.000%, 07/01/27		11,000,000		12,930,500
Illinois State Finance Authority Revenue, University of Chicago, Series A, 5.000%, 10/01/23		5,000,000		5,817,800
Illinois State Toll Highway Authority, Series A, 5.000%, 12/01/22		3,590,000		4,113,781
Illinois State Toll Highway Authority, Series A, 5.000%, 12/01/31		8,060,000		9,104,898
Total Illinois				43,972,491
Indiana—0.6%
Indiana Finance Authority, Indiana University Health Revenue, Series A, 5.000%, 12/01/23		5,115,000		5,960,100
Iowa—0.5%
State of Iowa, Series A, 5.000%, 06/01/25		4,000,000		4,773,880
Kentucky—0.6%
Louisville/Jefferson County Metropolitan Government, Norton Healthcare Inc., Series A, 5.000%, 10/01/29		5,000,000		5,614,200
Maryland—3.8%
Maryland State, General Obligation, University and College Improvements, Series B, 5.000%, 08/01/23		20,000,000		23,125,800
University System of Maryland, University & College Improvements, Series A, 5.000%, 04/01/23		5,475,000		6,398,742
University System of Maryland, University & College Improvements, Series A, 5.000%, 04/01/24		5,075,000		6,013,469
Total Maryland				35,538,011
Massachusetts—7.2%
Commonwealth of Massachusetts, Public Improvements, Series B, 5.000%, 08/01/22		5,000,000		5,602,700
Commonwealth of Massachusetts, Series A, 5.000%, 07/01/25		7,500,000		9,040,650
Commonwealth of Massachusetts, Series B, 5.000%, 07/01/23		5,000,000		5,875,300
Massachusetts Clean Water Trust, 5.000%, 08/01/25		4,940,000		5,369,385
Massachusetts School Building Authority, 5.000%, 08/15/25		5,025,000		5,772,368
Massachusetts State Department of Taxation and Finance, Series F, 5.000%, 11/01/24		10,000,000		11,569,300
Massachusetts State Development Finance Agency, Boston College, Series S, 5.000%, 07/01/23		5,700,000		6,713,004
Massachusetts Water Resources Authority, Series C, 5.000%, 08/01/24		10,000,000		11,318,500
Massachusetts Water Resources Authority, Series C, 5.000%, 08/01/26		4,025,000		4,880,675
Total Massachusetts				66,141,882
Michigan—4.2%
Michigan Finance Authority, Henry Ford Health System, 5.000%, 11/15/29		10,000,000		11,179,500
Michigan State Building Authority Revenue, Series I, 5.000%, 04/15/27		5,700,000		6,592,848
Michigan State, Environmental Program, Series A, 5.000%, 12/01/22		5,000,000		5,822,450

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

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Michigan—4.2% (continued)
State of Michigan, 5.000%, 03/15/27	$	12,600,000	$	14,969,304
Total Michigan				38,564,102
Minnesota—2.6%
Minneapolis-St Paul Metropolitan Airports Commission, Series A, 5.000%, 01/01/25		5,000,000		5,920,000
Minnesota State General Obligation, Series D, 5.000%, 08/01/22		10,200,000		11,858,418
Minnesota State Public Facilities Authority, Series A, 5.000%, 03/01/22		5,085,000		5,852,835
Total Minnesota				23,631,253
Missouri—3.4%
Missouri Highway & Transportation Commission, Fuel Sales Tax Revenue, Series A, 5.000%, 05/01/22		10,720,000		12,400,253
Missouri Highway & Transportation Commission, Fuel Sales Tax Revenue, Series B, 5.000%, 05/01/23		10,330,000		12,148,183
University of Missouri, Series A, 5.000%, 11/01/26		5,495,000		6,573,119
Total Missouri				31,121,555
New Jersey—1.7%
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligation, 5.000%, 07/01/29		6,415,000		7,286,029
New Jersey State Turnpike Authority Revenue, Series 2012 B, 5.000%, 01/01/24		2,790,000		3,204,148
New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 01/01/24		4,925,000		5,590,663
Total New Jersey				16,080,840
New York—12.7%
Metropolitan Transportation Authority, Fuel Sales Tax Revenue, Series A, 5.000%, 11/15/24		5,000,000		5,957,700
Metropolitan Transportation Authority, Transit Revenue, Series C, 5.000%, 11/15/21		5,185,000		5,876,316
Metropolitan Transportation Authority, Transit Revenue, Series F, 5.000%, 11/15/24		4,950,000		5,646,712
New York City General Obligation, Series C, 5.000%, 08/01/24		5,000,000		5,891,350
New York City General Obligation, Series G, 5.000%, 08/01/23		5,000,000		5,828,950
New York City General Obligation, Series I, 5.000%, 08/01/24		11,485,000		13,059,249
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series B, 5.000%, 02/01/24		5,015,000		5,592,176
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series C, 5.000%, 11/01/23		5,000,000		5,899,600
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series D, 5.000%, 11/01/22		5,115,000		5,656,116
New York City Water & Sewer System Revenue, Series FF, 5.000%, 06/15/25		7,555,000		8,316,317
New York City Water & Sewer System Revenue, Series FF, 5.000%, 06/15/30		5,470,000		6,396,235
New York State Dormitory Authority, Series A, 5.000%, 12/15/25		8,425,000		9,752,948
New York State Dormitory Authority, Series A, 5.000%, 12/15/27		5,630,000		6,500,454
New York State Dormitory Authority, Series D, 5.000%, 02/15/27		11,145,000		13,074,235
New York State Dormitory Authority, Series E, 5.000%, 03/15/32		6,150,000		7,125,759
New York State Urban Development Corp., Personal Income Tax Revenue, 5.000%, 03/15/24		5,505,000		6,525,297
Total New York				117,099,414
North Carolina—3.8%
The Charlotte-Mecklenburg Hospital Authority, Carolinas Healthcare System, 5.000%, 01/15/25		10,000,000		11,776,300
North Carolina Municipal Power Agency No. 1, Electric, Power and Light Revenue, Series A, 5.000%, 01/01/27		5,025,000		5,959,600
North Carolina State Limited Obligation, Series A, 5.000%, 06/01/26		8,945,000		11,019,614

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

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
North Carolina—3.8% (continued)
North Carolina State Limited Obligation, Series C, 5.000%, 05/01/23	$	5,020,000	$	5,874,304
Total North Carolina				34,629,818
Ohio—3.8%
Ohio State General Obligation, Series A, 5.000%, 09/15/22		10,000,000		11,600,900
Ohio State General Obligation, University & College Improvements, Series C, 5.000%, 11/01/26		5,000,000		5,942,050
Ohio Water Development Authority, Water Pollution Control Loan Fund, 5.000%, 06/01/23		5,000,000		5,890,950
Ohio Water Development Authority, Water Pollution Control Loan Fund, Series 2015A, 5.000%, 06/01/25		10,025,000		12,099,874
Total Ohio				35,533,774
Oklahoma—1.0%
Grand River Dam Authority, Series A, 5.000%, 06/01/28		7,820,000		9,247,072
Pennsylvania—0.9%
Lancaster County Hospital Authority, University of Pennsylvania Health Revenue, 5.000%, 08/15/26		6,730,000		8,007,354
Tennessee—0.6%
State of Tennessee Fuel Sales Tax Revenue, Series B, 5.000%, 09/01/26		5,000,000		5,989,100
Texas—11.5%
Central Texas Turnpike System Transportation Commission, Series C, 5.000%, 08/15/31		11,075,000		12,045,059
City of Austin TX Water & Wastewater System Revenue, Series A, 5.000%, 11/15/22		7,790,000		9,020,197
City of San Antonio TX Electric & Gas Systems Revenue, 5.000%, 02/01/26		9,275,000		11,129,907
Humble Independent School District, Series B, 5.000%, 02/15/23		5,550,000		6,461,532
Metropolitan Transit Authority of Harris County, Series A, 5.000%, 11/01/24		5,000,000		5,898,500
North Texas Tollway Authority Revenue, Special Projects System, 1st Tier, Series A, 5.000%, 01/01/25		6,320,000		7,296,693
North Texas Tollway Authority Revenue, Special Projects System, Series D, 5.250%, 09/01/27		10,265,000		11,750,551
North Texas Tollway Authority, Series A, 5.000%, 01/01/26		7,695,000		8,841,786
Plano Independent School District, Series A, 5.000%, 02/15/22		6,290,000		7,215,511
State of Texas, Transportation Commission Highway Improvements Revenue, 5.000%, 04/01/25		5,000,000		5,712,950
Texas Transportation Commission Fund, Series A, 5.000%, 04/01/27		11,000,000		12,509,970
The University of Texas System Financing Revenue, Series B, 5.000%, 08/15/22		6,865,000		7,952,828
Total Texas				105,835,484
Virginia—3.6%
Commonwealth of Virginia, Series B, 5.000%, 06/01/22		12,980,000		15,073,804
Virginia College Building Authority, Series B, 5.000%, 09/01/23		5,350,000		6,258,162
Virginia Public Building Authority, Series B, 5.000%, 08/01/25		9,750,000		11,745,240
Total Virginia				33,077,206
Washington—8.3%
City of Seattle WA Municipal Light & Power Revenue, Series B, 5.000%, 02/01/23		4,495,000		4,925,801
County of King WA Sewer Revenue, Series B, 5.000%, 01/01/24		3,085,000		3,421,851
Energy Northwest Electric Revenue, Bonneville Power, 5.000%, 07/01/25		10,050,000		12,080,200
State of Washington School Improvements, Series C, 5.000%, 02/01/28		5,925,000		7,046,425
State of Washington, Series R-2015C, 5.000%, 07/01/28		10,000,000		11,689,800

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

AMG GW&K Municipal Bond Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Washington—8.3% (continued)
State of Washington, Water Utility Improvements Revenue, Series C, 5.000%, 08/01/25	$	11,925,000	$	13,680,360
University of Washington, University & College Improvements Revenue, Series A, 5.000%, 12/01/32		5,760,000		6,800,256
University of Washington, University & College Improvements Revenue, Series C, 5.000%, 07/01/27		7,270,000		8,371,114
Washington Health Care Facilities Authority Multicare Health System, Series B, 5.000%, 08/15/23		3,940,000		4,554,876
Washington Health Care Facilities Authority Providence Health & Services, Series A, 5.000%, 10/01/26		3,425,000		3,872,168
Total Washington				76,442,851
Wisconsin—2.1%
Wisconsin State Revenue, Department of Transportation, Series 1, 5.000%, 07/01/25		3,005,000		3,485,590
Wisconsin State Revenue, Department of Transportation, Series A, 5.000%, 07/01/22		5,000,000		5,776,050
Wisconsin State Revenue, Department of Transportation, Series A, 5.000%, 07/01/24		5,000,000		5,939,000
Wisconsin State, Series 2, 5.000%, 05/01/24		3,420,000		3,905,743
Total Wisconsin				19,106,383
Total Municipal Bonds (cost $936,531,047)				915,509,522

	Shares
Short-Term Investments—1.3%
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%⁶ (cost $11,698,278)		11,698,278		11,698,278
Total Investments—100.5% (cost $948,229,325)				927,207,800
Other Assets, less Liabilities—(0.5)%				(4,286,759	)
Net Assets—100.0%			$	922,921,041

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

AMG GW&K Municipal Enhanced Yield Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2016, the AMG GW&K Municipal Enhanced Yield Fund (Class I)¹ (the “Fund”) returned 0.7%, modestly outperforming the Bloomberg Barclays U.S. Municipal Bond BAA Index, which returned 0.4%.

Municipal bonds suffered their worst quarter of performance since 1994, essentially wiping out all their gains from the previous nine months. Ten-year tax-exempt yields soared 80 basis points over the quarter to finish the year at 2.31%, 100 basis points above their summer lows². The results of the November election caught the markets by surprise and shifted sentiment dramatically. The Republican sweep brushed away long-held assumptions of sluggish growth amid continued Washington gridlock and the market seemed to immediately price in the successful passage of steep tax cuts, heavy infrastructure spending and more business-friendly regulation. Oil prices rose to cyclical highs and stock markets set a series of new record levels. Inflation expectations moved sharply higher and the yield on the 10-year U.S. Treasury note hit a two-year high of 2.64%².In December, after the unemployment rate declined to its lowest reading since 2007, the U.S. Federal Reserve finally raised rates and signaled a marginally faster pace of tightening for 2017, giving the economy an important vote of confidence. Treasuries rallied back in the final two weeks of December to close the year at 2.45% as the equity rally ran out of steam.

Municipals followed the path of Treasuries over the quarter but exhibited greater volatility. The post-election selloff was far more acute, as retail investors reacted poorly to their first losses in years. Mutual funds, which had just seen 54 consecutive weeks of inflows, were suddenly inundated with redemption requests. During the week ended November 16, investors withdrew $3.1 billion, the most in over three years. The outflows continued into year-end at a pace of nearly $2 billion a week³. Prior to the election, dealer inventories were sagging under the weight of three successive months of record issuance. Instead of absorbing bonds, they were adding to the selling pressure in an effort to shed exposure to a falling market. As issuance slowed in mid-November, a lack of price transparency emerged, forcing prices to adjust with little guidance. Municipal bonds underperformed significantly. The 10-year municipal bond/Treasury ratio, which began November at 95%, peaked at 107%, similar to the panic selling experience back in 2013’s Taper Tantrum². Ultimately, however, municipal bonds cheapened enough to entice crossover buyers to step in with other value-seeking investors to support the market, and municipals rallied back hard to end the year on firmer footing. After peaking at 2.58%, its highest level since January 2014, the yield on the 10-year municipal bond fell 30 basis points in four trading days and eventually closed the year at 2.31%, nearly 40 basis points higher than where it began in January.

Heading into 2017, it appears like the municipal bond market has essentially stabilized. Ratios versus Treasuries begin the year near more normal levels as the demand side recognized the value offered by November’s dislocation. But uncertainty still looms in the coming year. Few details have emerged on potential tax reform and infrastructure spending, leaving the market to speculate on possible outcomes. Long-dormant fears of inflation have shown signs of resurfacing, adding to investor caution. Extreme proposals regarding the municipal bond tax-exemption will undoubtedly get voiced from one corner or another, but we do not expect a major overhaul to the primary funding vehicle of the nation’s infrastructure for the last 100+ years. We also don’t expect a supply boom anytime soon. The Trump Administration’s infrastructure plan appears to be based on harnessing private versus public investment, and the rise in interest rates has already slowed the biggest source of issuance this year: refunding deals. Average expectations for issuance are in the $380 billion range, a 15% drop-off from 2016’s record-breaking year. While the market is in a much more attractive position for investors heading into 2017,⁴ with rates higher and relative-value ratios still historically cheap, we could be in for a volatile stretch. Of course, volatility suits our style of active management and we look forward to seeking to take advantage of market fluctuations in 2017.

AMG GW&K Municipal Enhanced Yield Fund

Portfolio Manager’s Comments (continued)

INVESTMENT STRATEGY

We remain active on the long end of the yield curve in the Fund, with over 80% invested in maturities greater than 20 years. The volume was primarily focused on relative value trading as opposed to curve trades that you would see more in an intermediate strategy, as the yield curve is relatively flat in the 25-30 years. We continue to avoid local general obligation bonds and focus on the hospital and transportation sectors.

PERFORMANCE

The Fund slightly outperformed the Bloomberg Barclays U.S. Municipal Bond BAA Index in the fourth quarter and outperformed for the year. An overweight to longer maturities detracted from performance as rates increased during the quarter. This is in contrast to the first half of 2016, where our duration overweight benefited our performance. Potential fiscal policy changes,

increased inflation expectations and technical selling pressure steepened the municipal yield curve with the two-to-thirty-year maturity spread widening +24 basis points. The Fund benefited from higher overall credit quality as credit spreads widened in the quarter. The Fund has approximately 40% of its holdings in A-rated credits, several of which performed better than BBB-rated bonds in the Index during the quarter.

¹	Prior to October 1, 2016, the Fund’s Class I shares were known as Institutional Shares.

FactSet

³	Bloomberg and Lipper U.S. Fund Flows

⁴

Bloomberg

This commentary reflects the viewpoints of the portfolio manager, GW&K Investment Management, LLC as of December 31, 2016 and is not intended as a forecast or guarantee of future results, and is subject to change without notice.

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Municipal Enhanced Yield Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in AMG GW&K Municipal Enhanced Yield Fund Class I (formally Institutional Class) on December 31, 2006, to a $10,000 investment made in the Bloomberg Barclays U.S. Municipal Bond BAA Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares.

AMG GW&K Municipal Enhanced Yield Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE (continued)

The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Municipal Enhanced Yield Fund and the Bloomberg Barclays U.S. Municipal Bond BAA Index for the same time periods ended December 31, 2016.


	One			Five			Ten			Since			Inception
Average Annual Total Returns¹	Year			Years			Years			Inception			Date
AMG GW&K Municipal Enhanced Yield Fund ^{2,3,4,5,6,7,8,9}
Class N¹⁰		0.10	%		4.84	%		—			6.83	%		7/27/09
Class S¹⁰		0.55	%		5.19	%		—			7.15	%		7/27/09
Class I¹⁰		0.70	%		5.33	%		4.25	%		4.53	%		12/30/05
Bloomberg Barclays U.S. Municipal Bond BAA Index¹¹		0.35	%		4.07	%		3.17	%		3.57	%		12/30/05	^†

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

²	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

⁶	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.

⁷	Factors unique to the municipal bond market may negatively affect the value in municipal bonds.

⁸	Investment income may be subject to certain state and local taxes, and depending on your tax status, the federal alternative minimum tax. Capital gains are not exempt from federal income tax.

⁹	The performance shown includes that of the predecessor Fund, the BNY Hamilton Municipal Enhanced Yield Fund, a series of BNY Hamilton Funds, Inc., which was reorganized into the GW&K Municipal Enhanced Yield Fund, a series of AMG Funds, as of the close of business on November 7, 2008.

¹⁰	Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class S and Class I, respectively.

¹¹

The Bloomberg Barclays U.S. Municipal Bond BAA Index is a subset of the Bloomberg Barclays U.S. Municipal Bond Index with an index rating of Baa1, Baa2, or Baa3. The Bloomberg Barclays U.S. Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term, tax-exempt bond market. Effective August 24, 2016, the Barclays indices were renamed Bloomberg Barclays indices. Unlike the Fund, the Bloomberg Barclays U.S. Municipal Bond BAA Index is unmanaged, is not available for investment and does not incur expenses.

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

AMG GW&K Municipal Enhanced Yield Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


Sector	AMG GW&K Municipal Enhanced Yield Fund*
Healthcare		29.8	%
Transportation		28.0	%
Utilities		8.5	%
Education		7.5	%
Other		5.7	%
State and Non-State Appropriated Tobacco		4.9	%
Tax		4.9	%
General Obligation		3.3	%
Industrial Development		3.1	%
Recreation		3.0	%
Lease/Rent		0.8	%
Other Assets & Liabilities		0.5	%

*	As a percentage of net assets.


Rating	AMG GW&K Municipal Enhanced Yield Fund**
Aa		4.2	%
A		40.5	%
BBB		55.3	%

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

TOP TEN HOLDINGS


Security Name	%of Net Assets
Central Texas Turnpike System, Series C, 5.000%, 08/15/42***		4.3	%
New York Transportation Development Corp., Laguardia Airport Terminal B, 5.000%, 07/01/46***		3.8
Louisville/Jefferson County Metropolitan Government, Norton Healthcare Inc., 5.000%, 10/01/33		3.5
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, 5.000%, 12/01/44***		3.2
Brooklyn Arena Local Development Corp., Barclays Center Project, Series A, 5.000%, 07/15/42		3.0
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligation, 5.000%, 07/01/43		2.8
Michigan Finance Authority, Henry Ford Health System, 5.000%, 11/15/41		2.7
Miami Beach Health Facilities Authority, Mt. Sinai Medical Center, 5.000%, 11/15/39***		2.7
New Jersey Economic Development Authority, Series XX, 5.000%, 06/15/22		2.7
West Virginia Hospital Finance Authority,West Virginia United Health Systems Obligation Group, Series A, 5.500%, 06/01/44		2.6

Top Ten as a Group		31.3	%

***	Top Ten Holdings as of June 30, 2016.

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments

December 31, 2016


	Principal Amount		Value
Municipal Bonds—99.6%
California—2.2%
M-S-R Energy Authority, Natural Gas Revenue, Series C, 6.500%, 11/01/39	$	3,635,000	$	4,777,444
Colorado—1.7%
Public Authority for Colorado Energy Natural Gas Purchase Revenue, Series 2008, 6.500%, 11/15/38		2,805,000		3,673,737
Florida—12.3%
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, 5.000%, 12/01/44		6,520,000		6,967,076
County of Miami-Dade FL Aviation Revenue, 5.000%, 10/01/41		4,095,000		4,583,656
Martin County Health Facilities Authority, Martin Memorial Medical Center, 5.500%, 11/15/42		4,430,000		4,771,376
Miami Beach Health Facilities Authority, Mt. Sinai Medical Center, 5.000%, 11/15/39		5,605,000		5,856,496
Orange County Health Facilities Authority, Orlando Health Inc., Series A, 5.000%, 10/01/39		4,065,000		4,427,639
Total Florida				26,606,243
Georgia—0.5%
City of Atlanta GA Water & Wastewater Revenue, 5.000%, 11/01/40		1,000,000		1,126,660
Illinois—13.8%
Chicago O’Hare International Airport, Refunding General Senior Lien, Series B, 5.000%, 01/01/41		3,800,000		4,180,912
Chicago O’Hare International Airport, Senior Lien, Series D, 5.250%, 01/01/42⁷		2,500,000		2,820,750
Illinois State General Obligation, 5.000%, 02/01/39		3,930,000		3,757,787
Illinois State General Obligation, 5.500%, 07/01/38		3,245,000		3,296,239
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series 2012 A, 5.000%, 06/15/42		4,990,000		5,058,662
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series B, 5.000%, 06/15/52		5,405,000		5,453,537
Railsplitter Tobacco Settlement Authority Revenue, 6.000%, 06/01/28		4,550,000		5,177,718
Total Illinois				29,745,605
Kentucky—3.6%
Louisville/Jefferson County Metropolitan Government, Norton Healthcare Inc., 5.000%, 10/01/33		7,000,000		7,660,100
Louisiana—2.8%
Louisiana Public Facilities Authority, Lease Provident Group-Flagship Property, 5.000%, 07/01/46		1,700,000		1,828,962
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project, 5.000%, 05/15/47		4,035,000		4,313,254
Total Louisiana				6,142,216
Massachusetts—4.7%
Massachusetts Development Finance Agency, UMass Boston Student Housing, 5.000%, 10/01/41		2,250,000		2,335,972
Massachusetts Development Finance Agency, UMass Boston Student Housing, 5.000%, 10/01/48		5,000,000		5,163,150
Massachusetts Health and Educational Facilities Authority Revenue, Suffolk University, Series 2009 A, 5.750%, 07/01/39		2,535,000		2,688,469
Total Massachusetts				10,187,591
Michigan—3.8%
Michigan Finance Authority, Henry Ford Health System, 5.000%, 11/15/41		5,500,000		5,874,880
Michigan Finance Authority, Trinity Health Corp., Series 2016, 5.000%, 12/01/45		2,205,000		2,403,428
Total Michigan				8,278,308
Nebraska—2.5%
Central Plains Energy Project, Natural Gas Revenue, 5.000%, 09/01/42		5,000,000		5,284,300

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

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
New Jersey—12.2%
New Jersey Economic Development Authority, School Facilities Construction, 5.000%, 03/01/25	$	4,350,000	$	4,539,181
New Jersey Economic Development Authority, Series XX, 5.000%, 06/15/22		5,425,000		5,728,691
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/28		1,075,000		1,131,943
New Jersey Economic Development Authority, Tobacco and Liquor Tax Revenue, 5.000%, 06/15/29		1,000,000		1,047,970
New Jersey Economic Development Authority, UMM Energy Partners, Series 2012 A, 5.125%, 06/15/43		4,450,000		4,602,412
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligation, 5.000%, 07/01/43		5,605,000		6,085,461
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Notes, 5.000%, 06/15/27		2,000,000		2,167,440
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Notes, 5.000%, 06/15/28		1,000,000		1,077,990
Total New Jersey				26,381,088
New York—9.2%
Brooklyn Arena Local Development Corp., Barclays Center Project, Series A, 5.000%, 07/15/42		6,000,000		6,419,880
New York State Dormitory Authority, The New School Project, Series A, 5.000%, 07/01/46		3,000,000		3,291,660
New York Transportation Development Corp., Laguardia Airport Terminal B, 5.000%, 07/01/46		8,000,000		8,306,000
Port Authority of New York and New Jersey Special Project, JFK International Air Terminal LLC Project, Series 2010, 6.000%,
12/01/42		1,580,000		1,790,804
Total New York				19,808,344
Oregon—2.5%
Oregon State Facilities Authority, Legacy Health Project, Series A, 5.000%, 06/01/46		4,950,000		5,399,559
Rhode Island—2.5%
Tobacco Settlement Financing Corp., Series A, 5.000%, 06/01/35		2,000,000		2,084,900
Tobacco Settlement Financing Corp., Series A, 5.000%, 06/01/40		3,250,000		3,362,548
Total Rhode Island				5,447,448
Texas—16.4%
Central Texas Regional Mobility Authority, 5.000%, 01/01/40		4,600,000		4,937,272
Central Texas Regional Mobility Authority, 5.000%, 01/01/46		3,700,000		3,948,233
Central Texas Turnpike System, Series C, 5.000%, 08/15/42		8,770,000		9,251,912
Grand Parkway Transportation Corp., 1st Tier Toll Revenue, Series A, 5.500%, 04/01/53		3,925,000		4,171,804
New Hope Cultural Education Facilities Corp., College Station Project, Series A, 5.000%, 07/01/47		4,650,000		4,766,343
Texas Municipal Gas Acquisition & Supply Corp., Gas Supply Revenue, Senior Lien Series 2008 D, 6.250%, 12/15/26		2,950,000		3,463,624
Texas Private Activity Bond Surface Transportation Corp., Senior Lien-Blueridge Transport, 5.000%, 12/31/40		1,500,000		1,583,310
Texas Private Activity Bond Surface Transportation Corp., Senior Lien-Blueridge Transport, 5.000%, 12/31/45		3,000,000		3,155,190
Total Texas				35,277,688
Virginia—3.9%
Chesapeake Bay Bridge & Tunnel District, First Tier General Resolution Revenue, 5.000%, 07/01/46		5,000,000		5,387,450
Chesapeake City Expressway Toll Road Revenue, Series 2012 A, 5.000%, 07/15/47		3,010,000		3,129,166
Total Virginia				8,516,616
West Virginia—2.6%
West Virginia Hospital Finance Authority, West Virginia United Health Systems Obligation Group, Series A, 5.500%, 06/01/44		5,000,000		5,611,900

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

AMG GW&K Municipal Enhanced Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Wisconsin—2.4%
Wisconsin Health & Educational Facilities Authority, ProHealth Care Obligation Group, 5.000%, 08/15/39	$	4,635,000	$	5,092,614
Total Municipal Bonds (cost $219,523,735)				215,017,461

	Shares
Short-Term Investments—0.8%
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%⁶ (cost $1,739,600)		1,739,600		1,739,600
Total Investments—100.4%⁸(cost $221,263,335)				216,757,061
Other Assets, less Liabilities—(0.4)%				(963,985	)
Net Assets—100.0%			$	215,793,076

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

AMG GW&K Small Cap Core Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2016, the AMG GW&K Small Cap Core Fund (Class N)1 (the “Fund”) returned 17.4%, underperforming the Russell 2000^® Index, which returned 21.3%.

A wise man once said about the stock market: “Don’t you know this is all about psychology?” In this case, we are quoting our Chief Investment Officer during one of our recent Investment Policy meetings. But sometimes, when you spend all day immersed in company-level financials, industry data and macroeconomic statistics, it is easy to forget the large role that psychology or, said differently, sentiment, plays in determining equity returns. In the fourth quarter of 2016, we experienced one of those periods where sentiment changed dramatically. The surprising nature of the catalyst for this change, the election victory by Donald Trump and the Republican sweep of Congress, added to the intensity of the sentiment shift. Investors moved from positioning for a Washington and macroeconomic status quo (or perhaps even a tilt in the Senate towards Democrats) to a political landscape dominated by the Republican ticket. Making the situation even more interesting is the lack of a clear ideology for President-elect Trump. This blank slate permitted investors to imagine the most positive outcomes this newly-elected leader might be able to accomplish. And dream they have, driving equity prices up on hope of lower taxes, lower regulation and beneficial infrastructure spending which would drive overall higher growth rates for both the economy and corporate profits. This sounds like Nirvana, not the Washington or economic landscape we have come to know well over the last eight years.

With their higher domestic exposure and risk profile, it is no wonder that the Russell 2000^® Index popped by 8.8% during the fourth quarter. This narrative for a market rally was set up by the preceding two and a half years, when corporate profits stalled and small cap stocks had mostly stagnated. This was compounded by a macro overlay where investors were obsessed with safety and embraced the idea that low rates and low growth were here to stay. Markets became unbalanced by the midpoint of 2016, as too many

investors pushed this safety and low-growth trade, while avoiding cyclical growth at all costs. Thus, while the election was the spark that started the fire, the dry kindling and crumpled newspaper were already in the fireplace. The rally raged strongest in value stocks, with the Russell 2000^® Value Index gaining 14.1% compared to the meager 3.6% for the Russell 2000^® Growth Index for the fourth quarter. Even more impressive was the full-year outperformance by the Value Index, which exceeded the Growth Index by over 20%. In the fourth quarter, Investors focused on low valuation, cyclical exposure and potential beneficiaries of inflation. Companies that have lacked pricing power have been laggards through most of this cycle, but Trump’s expected policies could be inflationary and a rising tide should lift all boats. The Fund’s focus on companies with pricing power, as well as the growth tilt in the Fund, hurt our relative performance, as we finished the quarter up 4.8%. For the year, the Fund finished up 17.4%. While this sounds great in absolute terms, performance trailed the Russell 2000^® Index. We were disappointed to lag the Index over both periods, particularly given the strong relative start to the year.

Looking a little more closely at the performance within the small cap market, we saw very strong fourth-quarter returns from financials, energy, industrials and materials. To be sure, the OPEC agreement in November to curtail oil production boosted the energy and related industries, while the other leaders during the quarter were driven by expectations of changes to tax, regulatory and infrastructure spending policy from the Trump/ Republican agenda. Over the full year, sector leadership came from the same characters with only a change in order: materials 47.2%, financials 35.6%, industrials 32.2% and energy 28.3%. The lagging sectors for the quarter included the only negative return group, health care, as well as real estate, information technology and utilities. While health care suffered due to uncertainty over the status of the Affordable Care Act and potential pressure on drug pricing from the new administration, all of the sectors mentioned above lack the cyclical exposure or higher incumbent tax rates that would benefit from the perceived new environment. For all of 2016, health care was

easily the worst performer, offering a negative return (7.5%), while consumer discretionary 12.7% also lagged the benchmark.

In the small cap universe, Value was the leading factor group. Stocks in the two lowest-valuation price/earnings (P/E) quintile groups significantly outperformed their higher P/E counterparts during the quarter. Additionally, the smallest market cap quintile also outperformed, likely due to lower valuation parameters and the exchange-traded funds (ETF) impact from investors looking to quickly gain small cap exposure. Other factor designations were mixed and showed a slightly-higher quality bias. We believe the very weak performance by biotech (10.4%) is skewing this performance in favor of high-quality factors, as most biotech stocks fall into lower-quality categories. For the full year, smaller cap, lower-valuation and higher-leverage stocks outperformed, but the quality factors were again skewed by biotech (20.3%). Generally speaking, high-quality stocks did better in the first and fourth quarters and fared worse in both the second and third quarters.

For the full year, a significant part of the underperformance came from our cash allocation. In retrospect, we were too slow to redeploy the proceeds from profit taking and merger and acquisition (M&A) take-outs during the year, which was a drag during the second-half rally. Two sectors were responsible for most of the remaining damage. In materials, our underexposure to highly cyclical and commodity-driven stocks in industries such as metals and mining 80.4% and chemicals 48.7% weighed heavily on relative performance. From a stock selection standpoint, Flotek Industries (FTK) finished the year down (18%) on both fundamental and energy-related challenges. Silgan Holdings (SLGN), a low beta2 container producer, was also down slightly for the full year. In information technology, difficulty in the semiconductors and software industries dulled strong performance from other industries. The semi group had large gains in the Index 43.7% and none of our three holdings kept up. In software, all of our holdings performed in line or below the Index components, although none suffered a major earnings disappointment. In both

AMG GW&K Small Cap Core Fund

Portfolio Manager’s Comments (continued)

of these groups, an untimely sell during the year added to the discomfort. Health care and consumer discretionary were our two best stock selection performers during the year.

It is difficult to conclude any investment report at this time without coming back to the election. As we noted at the opening, there are two drivers of the stock market: fundamentals and psychology or sentiment. The most shocking thing about the market psychology over the past three months is how investors have wholeheartedly embraced the potentially positive takeaways from this past election without really acknowledging any potential risks or challenges. This goes not only for stock investors, but participants in fixed-income and currency markets as well. We saw very dramatic moves up in both long-term Treasury rates and the U.S. Dollar during the fourth quarter. It seems, as we alluded to in the small cap factor discussion, that the set-up going into the fourth quarter was every bit as important as the actual catalyst event in setting these market moves in motion. Investors had become too complacent about rates staying low and stable growth and income stocks

outperforming, which caused an imbalance and opening for change. The narrative around the Trump and Republican victories pushed the markets over the edge. The question is…now what? It seems to us that while the economy is strengthening, a strong U.S. Dollar will likely offset this impact on corporate earnings overall in 2017. Will psychology and sentiment continue to exude optimism about earnings potential for 2018 and beyond in the face of pressure on 2017 estimates? Our best guess is that the small cap market will provide investors with opportunities in the coming year, as it usually does, after compounding at nearly 14.5% annually over the past five years. We are pleased that the Fund has kept up during these years of positive performance, as our approach is built to capture as much upside as possible but also protect against the downside. Our hope is that the upside will continue in 2017, but we will continue to build

a Fund portfolio that we believe will provide protection from potential downside should it emerge.

¹	Prior to October 1, 2016, the Fund’s Class N shares were known as Investor Shares.

²	A stock with lower volatility than the overall market.

AMG GW&K Small Cap Core Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Small Cap Core Fund’s cumulative total return is based on the daily change in net asset value (NAV) and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in AMG GW&K Small Cap Core Fund Class N (formally Investor Class) on December 31, 2006, to a $10,000 investment made in the Russell 2000^® Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Small Cap Core Fund and the Russell 2000^® Index for the same time periods ended December 31, 2016.


Average Annual Total Returns¹	One Year			Five Years			Ten Years			Since Inception			Inception date
AMG GW&K Small Cap Core Fund ^2,3,4
Class N⁵		17.44	%		13.49	%		7.65	%		8.05	%		12/10/96
Class S⁵		17.75	%		13.79	%		—			15.20	%		7/27/09
Class I⁵		17.90	%		13.97	%		—			15.40	%		7/27/09
Russell 2000^® Index⁶		21.31	%		14.46	%		7.07	%		8.24	%		12/10/96	^†

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

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	The Fund inception dates and returns for all periods beginning prior to November 7, 2008 reflects performance of the predecessor Fund, The BNY Hamilton Multi-Cap Equity Fund, a series of BNY Hamilton Funds, Inc.

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	Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class S and Class I, respectively.

⁶

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.

AMG GW&K Small Cap Core Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


Sector	AMG GW&K Small Cap Core Fund*			Russell 2000^® Index
Financials		17.4	%		19.9	%
Industrials		17.2	%		14.6	%
Information Technology		16.3	%		16.9	%
Health Care		14.7	%		12.2	%
Consumer Discretionary		13.7	%		12.6	%
Real Estate		7.3	%		7.9	%
Materials		4.2	%		4.9	%
Energy		3.5	%		3.8	%
Utilities		2.9	%		3.5	%
Consumer Staples		1.1	%		3.0	%
Telecommunication Services		0.0	%		0.7	%
Other Assets and Liabilities		1.7	%		0.0	%

*	As a percentage of net assets.

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
West Pharmaceutical Services, Inc.**		2.6	%
LogMeln, Inc.**		2.5
Grand Canyon Education, Inc.**		2.4
MarketAxess Holdings, Inc.**		2.3
ICU Medical, Inc.**		2.2
Texas Roadhouse, Inc.**		2.1
Lithia Motors, Inc., Class A		2.0
Matador Resources Co.		1.9
Cathay General Bancorp		1.8
Texas Capital Bancshares, Inc.		1.8

Top Ten as a Group		21.6	%

**	Top Ten Holdings as of June 30, 2016.

AMG GW&K Small Cap Core Fund

Schedule of Portfolio Investments

December 31, 2016


	Shares		Value
Common Stocks—98.3%
Consumer Discretionary—13.7%
CalAtlantic Group, Inc.¹		142,708	$	4,853,499
Five Below, Inc.^*,1		131,706		5,262,972
Grand Canyon Education, Inc.^*		171,126		10,002,315
Helen of Troy, Ltd.^*		37,408		3,159,106
Hibbett Sports, Inc.^*,1		97,271		3,628,208
Lithia Motors, Inc., Class A		87,465		8,469,236
Monro Muffler Brake, Inc.		44,820		2,563,704
Oxford Industries, Inc.		64,254		3,863,593
Texas Roadhouse, Inc.		184,975		8,923,194
Tupperware Brands Corp.¹		66,349		3,491,284
Wolverine World Wide, Inc.		157,135		3,449,113
Total Consumer Discretionary				57,666,224
Consumer Staples—1.1%
Amplify Snack Brands, Inc.^*,1		152,027		1,339,358
WD-40 Co.		26,862		3,140,168
Total Consumer Staples				4,479,526
Energy—3.5%
Dril-Quip, Inc.^*		52,980		3,181,449
Forum Energy Technologies, Inc.^*		183,680		4,040,960
Matador Resources Co.^*,1		300,600		7,743,456
Total Energy				14,965,865
Financials—17.4%
Ameris Bancorp		122,177		5,326,917
AMERISAFE, Inc.		87,276		5,441,659
Cathay General Bancorp		199,289		7,578,961
Cohen & Steers, Inc.		124,916		4,197,178
Glacier Bancorp, Inc.		109,227		3,957,294
IBERIABANK Corp.		62,884		5,266,535
MarketAxess Holdings, Inc.		66,014		9,698,777
PRA Group, Inc.^*		71,109		2,780,362
ProAssurance Corp.		96,290		5,411,498
Stifel Financial Corp.^*		121,911		6,089,454
Texas Capital Bancshares, Inc.^*		96,337		7,552,821
United Bankshares Inc.¹		69,214		3,201,148
Webster Financial Corp.		127,267		6,908,053
Total Financials				73,410,657
Health Care—14.7%
Analogic Corp.		25,888		2,147,410


	Shares		Value
Cantel Medical Corp.		71,371	$	5,620,466
Catalent, Inc.^*		181,889		4,903,727
Cotiviti Holdings, Inc.^*,1		88,527		3,045,329
Diplomat Pharmacy, Inc.^*,1		141,319		1,780,619
Globus Medical, Inc., Class A^*		231,841		5,751,975
ICU Medical, Inc.^*		64,183		9,457,365
Impax Laboratories, Inc.^*		124,372		1,647,929
INC Research Holdings, Inc., Class A^*		137,715		7,243,809
Medidata Solutions, Inc.^*		103,872		5,159,322
West Pharmaceutical Services, Inc.		127,174		10,788,170
Wright Medical Group N.V.^*,1		200,141		4,599,240
Total Health Care				62,145,361
Industrials—17.2%
Alamo Group, Inc.		34,820		2,649,802
CEB, Inc.		86,445		5,238,567
CLARCOR, Inc.		90,830		7,490,750
Healthcare Services Group, Inc.		150,958		5,913,025
Heartland Express, Inc.¹		263,856		5,372,108
HEICO Corp.		76,190		5,878,058
HEICO Corp., Class A		57,330		3,892,707
Mobile Mini, Inc.		107,616		3,255,384
Primoris Services Corp.		206,142		4,695,915
RBC Bearings, Inc.^*		56,077		5,204,506
Ritchie Bros. Auctioneers, Inc.		196,104		6,667,536
The Toro Co.		100,408		5,617,828
Universal Forest Products, Inc.		67,271		6,873,751
US Ecology, Inc.		73,187		3,597,141
Total Industrials				72,347,078
Information Technology—16.3%
Blackbaud, Inc.		85,403		5,465,792
Callidus Software, Inc.^*		194,291		3,264,089
Cardtronics PLC, Class A^*		95,894		5,232,936
Cognex Corp.		110,617		7,037,454
EPAM Systems, Inc.^*,1		68,709		4,418,676
ExlService Holdings, Inc.^*		81,775		4,124,731
HubSpot, Inc.^*		104,484		4,910,748
LogMeln, Inc.¹		110,233		10,642,996
MACOM Technology Solutions Holdings, Inc.^*,1		115,862		5,362,093
Power Integrations, Inc.		84,245		5,716,023
Proofpoint, Inc.^*,1		42,776		3,022,124

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

AMG GW&K Small Cap Core Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Information Technology—16.3% (continued)
Rogers Corp.^*		24,919	$	1,914,028
Tyler Technologies, Inc.^*		52,338		7,472,296
Total Information Technology				68,583,986
Materials—4.2%
Balchem Corp.		63,834		5,356,949
Compass Minerals International, Inc.¹		42,085		3,297,360
Flotek Industries, Inc.^*		197,087		1,850,647
KapStone Paper and Packaging Corp.		166,308		3,667,091
Silgan Holdings, Inc.		71,611		3,665,051
Total Materials				17,837,098
Real Estate—7.3%
American Campus Communities, Inc.		103,667		5,159,507
Education Realty Trust, Inc.		148,001		6,260,442
National Health Investors, Inc.		71,340		5,291,288
Pebblebrook Hotel Trust¹		113,633		3,380,582
STAG Industrial, Inc.		216,921		5,177,904
Sun Communities, Inc.		73,032		5,594,982
Total Real Estate				30,864,705
Utilities—2.9%
IDACORP, Inc.		66,012		5,317,267
NorthWestern Corp.		121,184		6,891,734
Total Utilities				12,209,001
Total Common Stocks (cost $332,594,722)				414,509,501

	Principal Amount
Short-Term Investments—8.0%
Repurchase Agreements—6.3%⁵
Citigroup Global Markets, Inc., dated 12/30/16,due 01/03/17, 0.530% total to be received $6,314,092 (collateralized by various U.S. Government Agency Obligations, 2.000%—8.500%, 12/01/17—01/01/47, totaling $6,439,994)	$	6,313,720		6,313,720


	Principal Amount		Value
Daiwa Capital Markets America, dated 12/30/16, due 01/03/17, 0.520% total to be received $6,314,085 (collateralized by various U.S. Government Agency Obligations, 0.000%—6.500%, 03/02/17—02/01/49, totaling $6,439,994)	$	6,313,720	$	6,313,720
Merrill Lynch Pierce Fenner & Smith, Inc., dated 12/30/16, due 01/03/17, 0.500% total to be received $1,328,827 (collateralized by various U.S. Government Agency Obligations, 0.685%—2.000%, 10/31/18—11/30/22, totaling $1,355,328)		1,328,753		1,328,753
Nomura Securities International, Inc., dated 12/30/16, due 01/03/17, 0.500% total to be received $6,314,071 (collateralized by various U.S. Government Agency Obligations, 0.000%—9.500%, 01/15/17—08/20/66, totaling $6,439,995)		6,313,720		6,313,720
State of Wisconsin Investment Board, dated 12/30/16, due 01/03/17, 0.650% total to be received $6,314,176 (collateralized by various U.S. Government Agency Obligations, 0.125%—3.875%, 04/15/18—02/15/46, totaling $6,474,145)		6,313,720		6,313,720
Total Repurchase Agreements				26,583,633

	Shares
Other Investment Companies—1.7%⁶
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%		7,085,094		7,085,094
Total Short-Term Investments (cost $33,668,727)				33,668,727
Total Investments—106.3% (cost $366,263,449)				448,178,228
Other Assets, less Liabilities—(6.3)%				(26,756,921	)
Net Assets—100.0%			$	421,421,307

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

AMG GW&K Small Cap Growth Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2016, the AMG GW&K Small Cap Growth Fund (Class I)¹ (the Fund) returned 9.7%, underperforming the Russell 2000^® Growth Index, which returned 11.3%.

A wise man once said about the stock market: “Don’t you know this is all about psychology?” In this case, we are quoting our Chief Investment Officer during one of our recent Investment Policy meetings. But sometimes, when you spend all day immersed in company level financials, industry data and macroeconomic statistics, it is easy to forget the large role that psychology or, said differently, sentiment, plays in determining equity returns. In the fourth quarter of 2016, we experienced one of those periods where sentiment changed dramatically. The surprising nature of the catalyst for this change, the election victory by Donald Trump and the Republican sweep of Congress, added to the intensity of the sentiment shift. Investors moved from positioning for a Washington and macroeconomic status quo (or perhaps even a tilt in the Senate towards Democrats) to a political landscape dominated by the Republican ticket. Making the situation even more interesting is the lack of a clear ideology for President-elect Trump. This blank slate permitted investors to imagine the most positive outcomes this newly-elected leader might be able to accomplish. And dream they have, driving equity prices up on hope of lower taxes, lower regulation and beneficial infrastructure spending, which would drive overall higher growth rates for both the economy and corporate profits. This sounds like Nirvana, not the Washington or economic landscape we have come to know well over the last eight years.

Given its high domestic exposure and risk profile, it is no wonder that the Russell 2000^® Growth Index popped 10.2% from the election through the end of the year. While the election served as a catalyst, the narrative for a market rally had been set up by the preceding two and a half years, as corporate profits stalled and small cap growth stocks had mostly vacillated. This was compounded by a macro overlay where investors were obsessed with safety and embraced the idea that low rates and

low growth were here to stay. The result was too much emphasis on safety and low-growth trades, while avoiding cyclical growth at all costs. Furthermore, stocks had pulled back considerably heading into the election, as the Russell 2000^® Growth Index sat 7.3% off its recent high. Thus, while the election was the spark that started the fire, the dry kindling and crumpled newspaper were already in the fireplace. This fire left U.S. small cap growth stocks with returns of 3.6% and 11.3% for the fourth quarter and the year, respectively. These results compare favorably with the large cap brethren as seen by the quarterly and annual returns for the Russell 1000^® Growth Index of 1.0% and 7.1%, respectively. However, they pale in comparison to the move in the Russell 2000^® Value Index, which posted a gain of 14.1% in the fourth quarter and 31.7% for the year. It is worth noting that this disconnect between growth and value stocks in the U.S. small cap market was quite the outlier compared to recent years. The Russell 2000^® Growth Index has not lagged its value counterpart by this much in over a decade. The aftermath of the dot.com bubble, namely 2001, was the last time growth stocks were trampled this badly. In fact, that was the last year that either benchmark has gotten the best of the other by more than 2,000 basis points.

Despite the yawning gap in performance, the U.S. small cap benchmarks for growth and value had some notable commonalities. The best performing sector for both benchmarks during the fourth quarter was financials, and they also shared the same worst performing sector, health care. The financials sector averaged 5.5% of the Growth Index and returned 19.7%. The financials sector within the Value Index was bigger on both counts, averaging 29.3% of the benchmark and returning 25.5%. At the other end of the spectrum, health care constituted 21.8% of the Russell 2000^® Growth Index and declined (7.2%). In contrast, the health care sector was 4.5% of the Russell 2000^® Value Index and posted a loss of (1.7%). Both indices also shared some style preferences during the fourth quarter. Specifically, stocks with low price/earnings (P/E) and profitable companies were in vogue. In sum, the two benchmarks had much in common as to what did work and what

did not work, but the Growth Index had relatively less of the former and relatively more of the latter, which contributed significantly to the divergence in outcomes for the two benchmarks.

To return our focus exclusively to growth stocks, the financials sector was the clear leader of the Russell 2000^® Growth Index in the fourth quarter, but other areas also posted strong gains. Industrials took the runner-up prize to financials. The next best performing meaningful sectors were consumer discretionary, materials and energy, which were tightly grouped, with returns between 7% and 8%. A common thread across these top performers is that they generally have cyclical exposure and would be potential beneficiaries of inflation. Even within consumer discretionary, over half of the return in this sector came from the hotels, restaurants and leisure industry, which would welcome a boost in food costs. In total, the strength in the quarter was broad based, as all sectors save health care finished comfortably in the green. Health care was the only sector to deliver negative returns, declining (7.2%). Within this sector, the biotechnology and pharmaceuticals industries led the way lower with declines of (12.2%) and (11.7%), respectively. The underperformance of the biopharma complex was likely due to mean reversion combined with fears of an unfriendly administration. However, these industries were far from the only culprits for health care’s poor showing. In total, all six industries in the health care sector lagged the benchmark and five of the six finished in the red. Perhaps not surprisingly, the potential for changes on the legislative front left many investors feeling unsettled about the broader health care landscape.

The story for the full year was similar, in many respects, to that of the fourth quarter. The materials sector took the top prize in 2016, with a return of 28.9%. The energy and industrials sectors were a nose behind, posting gains of 28.7% and 28.6%, respectively. Financials was the only other sector to clear the 20% threshold, posting a return of 21.0%. These sectors could be notable winners if some of the president-elect’s foremost initiatives come to pass; most notably, a

AMG GW&K Small Cap Growth Fund

Portfolio Manager’s Comments (continued)

reduction in the corporate tax rate, an easing of the regulatory environment and a sizable infrastructure bill. As for the laggards in 2016, the health care sector brought up the rear, just as it did in the fourth quarter, as the only sector to net a loss for the year. The health care sector actually outperformed in the second and third quarters, but that was not enough to overcome losses at the start and end of the year. The result was an overall decline for the sector of (9.7%) for the year.

To drill down on the Fund’s performance versus the benchmark, our relative results for both the quarter and the year were led by the consumer discretionary sector. This group had a number of winners, with a total of four stocks returning at least 20% in the quarter and nine for the year as a whole. Grand Canyon Education Inc. (LOPE) topped the list in the fourth quarter on the back of strong earnings and anticipation of a more amenable regulatory environment. Grand Canyon was a strong performer for the full year, but it ceded the top spot in consumer discretionary in 2016 to Burlington Stores Inc. (BURL) which came close to doubling. Burlington’s stock performance was driven by generally good quarterly reports and investors’ increasing appreciation for the company’s ability to withstand encroachment by e-commerce threats. Beyond consumer discretionary, the financials sector was a notable contributor for both the quarter and the year due to our overweight position in the sector along with some strong stock picks. As to the latter, the biggest contributor in the sector for both the quarter and the year was Texas Capital Bancshares Inc. (TCBI), which benefits from a steeper yield curve and higher oil prices.

On the other side of the ledger, the industrials and consumer staples sectors were the biggest detractors to relative performance during the fourth quarter. The industrials weakness was a combination of allocation and selection effects. On the allocation front, industrials was one of the strongest sectors in the benchmark on the heels of the election, and we suffered from an underweight position. As for stock selection, the primary detractors were Proto Labs Inc. (PRLB) and Ritchie Bros. Auctioneers Inc. (RBA). Proto Labs was hit by a meaningful guidance reduction on its last earnings call, which led us to question our thesis and subsequently exit our position. Ritchie Bros.

Auctioneers pulled back in late December in reaction to disappointing auction proceeds after a period of significant outperformance for the stock. In consumer staples, the weakness can be blamed on Amplify Snack Brands Inc. (BETR), which was hurt by poor quarterly results not long after announcing a sizable strategic acquisition. For the year, the most significant detractors were the information technology and consumer staples sectors. The weakness in information technology can be attributed to our software and semiconductor holdings, within which two stocks stood out, Tyler Technologies, Inc. (TYL) and Cavium Inc. (CAVM). Similar to Amplify Snack Brands, Tyler Technologies’s execution was disappointing on the heels of a large acquisition. Tyler has been a significant holding for a number of years and we continue to have confidence in the company’s long-term prospects. We cannot say we retained the same confidence in Cavium after they announced an acquisition that significantly changed our view of the company and led us to sell our position. In consumer staples, Smart & Final Stores Inc. (SFS) combined with Amplify Snack Brands to weigh on results in this sector. Food deflation and competitive concerns appeared to be the main reasons for the stock’s underperformance. The changing competitive dynamics were especially troubling for us and led to a sale of Smart & Final Stores.

It is difficult to conclude any investment report at this time without coming back to the election. As we noted at the opening, there are two drivers of the stock market: fundamentals and psychology or sentiment. The most shocking thing about the market psychology over the past three months is how investors have wholeheartedly embraced the potentially positive takeaways from this past election without really acknowledging any potential risks or challenges. This goes not only for stock investors, but participants in fixed-income and currency markets, as well. We saw very dramatic moves up in both long-term Treasury rates and the U.S. Dollar during the quarter. The question is…now what? It seems to us that while the economy is strengthening, a strong U.S. Dollar may partially offset this impact on corporate earnings overall in 2017. Will psychology and sentiment continue to exude optimism about earnings potential for 2018 and beyond, if 2017 estimates do not move

sharply higher? Our best guess is that the small cap growth market will provide investors with opportunities in the coming year, as it usually does, after compounding at nearly 13.7% annually over the past five years. Our hope is that the upside will continue in 2017, but we will continue to build a Fund portfolio that we believe will provide protection from potential downside should it emerge.

¹	Prior to October 1, 2016, the Fund’s Class I shares were known as Institutional Shares.

AMG GW&K Small Cap Growth Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG GW&K Small Cap Growth Fund’s cumulative total return is based on the daily change in net asset value (NAV) and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in AMG GW&K Small Cap Growth Fund Class I (formerly Institutional Class) on June 30, 2015, to a $10,000 investment made in the Russell 2000^® Growth Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG GW&K Small Cap Growth Fund and the Russell 2000^® Growth Index for the same time periods ended December 31, 2016.

One

Since

Inception

Average Annual Total Returns¹

Year

Inception

Date

AMG GW&K Small Cap Growth Fund ^2,3,4

Class I⁵

9.68

(1.30

6/30/15

Russell 2000^® Growth Index⁶

11.32

0.64

6/30/15

^†

Funds are distributed by AMG Distributors, Inc., member FINRA/SIPC.

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

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	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	The Fund invests in growth stocks, which may be more sensitive to market movements because their prices tend to reflect future investor expectations rather than just current profits. Growth stocks may underperform value stocks during any given period.

⁵	Effective October 1, 2016, the Institutional Class was renamed Class I.

⁶	The Russell 2000^® Growth Index measures the performance of the Russell 2,000 companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 2000^® Growth Index is unmanaged, is not available for investment and does not incur expenses.

The Russell Indices are trademarks of the London Stock Exchange Group companies.

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

AMG GW&K Small Cap Growth Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


Sector	AMG GW&K Small Cap Growth Fund*			Russell 2000^® Growth Index
Information Technology		26.4	%		24.2	%
Health Care		20.0	%		20.9	%
Consumer Discretionary		18.1	%		15.4	%
Industrials		14.8	%		16.8	%
Financials		10.0	%		5.7	%
Materials		3.8	%		5.2	%
Real Estate		2.9	%		5.5	%
Consumer Staples		1.8	%		3.1	%
Energy		1.3	%		1.6	%
Telecommunication Services		0.0	%		0.8	%
Utilities		0.0	%		0.8	%
Other Assets and Liabilities		0.9	%		0.0	%

*	As a percentage of net assets.

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
Grand Canyon Education, Inc.**		3.4	%
WageWorks, Inc.**		2.5
Burlington Stores, Inc.**		2.5
LogMeln, Inc.		2.4
Power Integrations, Inc.**		2.4
MarketAxess Holdings, Inc.**		2.3
Balchem Corp.		2.2
Ritchie Bros. Auctioneers, Inc.**		2.1
Pool Corp.**		2.1
Dave & Buster’s Entertainment, Inc.		2.0

Top Ten as a Group		23.9	%

**	Top Ten Holdings as of June 30, 2016.

AMG GW&K Small Cap Growth Fund

Schedule of Portfolio Investments

December 31, 2016


	Shares		Value
Common Stocks—99.1%
Consumer Discretionary—18.1%
Build-A-Bear Workshop, Inc.^*		1,605	$	22,069
Burlington Stores, Inc.^*		645		54,664
Chuy’s Holdings, Inc.^*		1,144		37,123
Dave & Buster’s Entertainment, Inc.^*		802		45,153
Five Below, Inc.^*		1,015		40,559
Fox Factory Holding Corp.^*		1,150		31,913
Grand Canyon Education, Inc.^*		1,285		75,108
Hibbett Sports, Inc.^*,1		505		18,836
Oxford Industries, Inc.		425		25,555
Pool Corp.		455		47,475
Vitamin Shoppe, Inc.^*		280		6,650
Total Consumer Discretionary				405,105
Consumer Staples—1.8%
Amplify Snack Brands, Inc.^*,1		1,345		11,849
PriceSmart, Inc.		330		27,555
Total Consumer Staples				39,404
Energy—1.3%
Matador Resources Co.^*,1		1,145		29,495
Financials—10.0%
Encore Capital Group, Inc.^*		785		22,490
Greenhill & Co., Inc.		385		10,664
Heritage Insurance Holdings, Inc.		970		15,200
MarketAxess Holdings, Inc.		345		50,687
Pinnacle Financial Partners, Inc.		399		27,651
PrivateBancorp, Inc.		785		42,539
Stifel Financial Corp.^*		440		21,978
Texas Capital Bancshares, Inc.^*		395		30,968
Total Financials				222,177
Health Care—20.0%
ABIOMED, Inc.^*		205		23,099
Acadia Healthcare Co., Inc.^*,1		550		18,205
Amicus Therapeutics, Inc.^*,1		3,310		16,451
Bruker Corp.		715		15,144
Catalent, Inc.^*		1,140		30,734
Cotiviti Holdings, Inc.^*,1		872		29,997
DBV Technologies, S.A., Sponsored ADR^*		855		30,036
Endologix, Inc.^*		1,350		7,722
Globus Medical, Inc., Class A^*		1,205		29,896
ICU Medical, Inc.^*		230		33,890


	Shares		Value
Impax Laboratories, Inc.^*		730	$	9,672
INC Research Holdings, Inc., Class A^*		730		38,398
Inotek Pharmaceuticals Corp.^*,1		2,520		15,372
Medidata Solutions, Inc.^*		735		36,507
Neurocrine Biosciences, Inc.^*		715		27,670
Retrophin, Inc.^*		1,115		21,107
West Pharmaceutical Services, Inc.		370		31,387
Wright Medical Group N.V.^*		1,370		31,483
Total Health Care				446,770
Industrials—14.8%
CEB, Inc.		430		26,058
Exponent, Inc.		445		26,834
Graco, Inc.		365		30,328
HEICO Corp.		545		42,047
Knight Transportation, Inc.		670		22,144
Ritchie Bros. Auctioneers, Inc.		1,405		47,770
SiteOne Landscape Supply, Inc.^*		935		32,473
Thermon Group Holdings, Inc.^*		630		12,027
WageWorks, Inc.^*		755		54,738
Woodward, Inc.		525		36,251
Total Industrials				330,670
Information Technology—26.4%
Blackbaud, Inc.		475		30,400
Bottomline Technologies, Inc.^*		725		18,140
Cabot Microelectronics Corp.		370		23,373
Callidus Software, Inc.^*		1,340		22,512
Cardtronics PLC, Class A^*		550		30,014
Cognex Corp.		504		32,064
CyberArk Software, Ltd.^*		420		19,110
EPAM Systems, Inc.^*,1		570		36,657
ExlService Holdings, Inc.^*		431		21,740
Forrester Research, Inc.		865		37,152
HubSpot, Inc.^*		645		30,315
Intralinks Holdings, Inc.^*,1		1,195		16,156
LogMeln, Inc.		560		54,068
MACOM Technology Solutions Holdings, Inc.^*,1		635		29,388
MAXIMUS, Inc.		370		20,642
Mimecast, Ltd.^*		755		13,514
Power Integrations, Inc.		775		52,584
Tyler Technologies, Inc.^*		285		40,689
VeriFone Systems, Inc.^*		950		16,844

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

AMG GW&K Small Cap Growth Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Information Technology—26.4% (continued)
Xactly Corp.^*		1,634	$	17,975
Zebra Technologies Corp., Class A^*		300		25,728
Total Information Technology				589,065
Materials—3.8%
Balchem Corp.		595		49,932
Flotek Industries, Inc.^*		1,160		10,892
KapStone Paper and Packaging Corp.		1,045		23,042
Total Materials				83,866
Real Estate—2.9%
STAG Industrial, Inc.		1,270		30,315
Sun Communities, Inc.		455		34,858
Total Real Estate				65,173
Total Common Stocks (cost $1,980,195)				2,211,725


	Principal Amount		Value
Short-Term Investments—9.2%
Repurchase Agreements—6.8%⁵
Citigroup Global Markets, Inc., dated 12/30/16, due 01/03/17, 0.510% total to be received $151,684 (collateralized by various U.S. Government Agency Obligations, 0.125%—1.750%, 04/15/20—01/15/28, totaling $154,709)	$	151,675	$	151,675

	Shares
Other Investment Companies—2.4%⁶
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%		53,964		53,964
Total Short-Term Investments (cost $205,639)				205,639
Total Investments—108.3% (cost $2,185,834)				2,417,364
Other Assets, less Liabilities—(8.3)%				(186,272	)
Net Assets—100.0%			$	2,231,092

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

Notes to Schedules of Portfolio Investments

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

At December 31, 2016, the approximate cost of investments and the aggregate gross unrealized appreciation and depreciation based on federal income tax were as follows:


Fund	Cost		Appreciation		Depreciation			Net
AMG GW&K Enhanced Core Bond Fund	$	114,283,906	$	739,296	$	(1,519,105	)	$	(779,809	)
AMG GW&K Municipal Bond Fund		948,229,332		2,475,577		(23,497,109	)		(21,021,532	)
AMG GW&K Municipal Enhanced Yield Fund		221,425,423		2,610,932		(7,279,294	)		(4,668,362	)
AMG GW&K Small Cap Core Fund		366,356,038		102,981,910		(21,159,720	)		81,822,190
AMG GW&K Small Cap Growth Fund		2,243,064		341,488		(167,189	)		174,299

*	Non-income producing security.

(a)	Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At December 31, 2016, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	3,903,125		3.4	%

¹	Some or all of these securities were out on loan to various brokers as of December 31, 2016, amounting to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	1,822,235		1.6	%
AMG GW&K Small Cap Core Fund		25,772,801		6.1	%
AMG GW&K Small Cap Growth Fund		146,315		6.6	%

²	Variable Rate Security. The rate listed is as of December 31, 2016, and is periodically reset subject to terms and conditions set forth in the debenture.

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

⁴	Securities in the portfolio backed by insurance of financial institutions and financial guaranty assurance agencies. At December 31, 2016, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Enhanced Core Bond Fund	$	1,100,484		1.0	%
AMG GW&K Municipal Bond Fund		5,685,258		0.6	%

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

⁶	Yield shown represents the December 31, 2016, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

⁷	All or part of the security is delayed delivery transaction. The market value for delayed delivery security at December 31, 2016, amounted to the following:


Fund	Market Value		% of Net Assets
AMG GW&K Municipal Enhanced Yield Fund	$	2,820,750		1.3	%

⁸	Securities are available for collateral in connection with purchases on a delayed delivery basis.

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

Notes to Schedules of Portfolio Investments (continued)

The following tables summarize the inputs used to value the Funds’ investments by the fair value hierarchy levels as of December 31, 2016: (See Note 1(a) in the Notes to the Financial Statements.)


	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Enhanced Core Bond Fund
Investments in Securities
Corporate Bonds and Notes^†		—	$	58,013,953		—	$	58,013,953
Municipal Bonds^††		—		7,603,797		—		7,603,797
U.S. Government and Agency Obligations^†		—		40,794,350		—		40,794,350
Short-Term Investments
Repurchase Agreements		—		1,888,919		—		1,888,919
Other Investment Companies	$	5,203,078		—		—		5,203,078

Total Investments in Securities	$	5,203,078	$	108,301,019		—	$	113,504,097


	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Municipal Bond Fund
Investments in Securities
Municipal Bonds^††		—	$	915,509,522		—	$	915,509,522
Short-Term Investments	$	11,698,278		—		—	$	11,698,278

Total Investments in Securities	$	11,698,278	$	915,509,522		—	$	927,207,800


	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Municipal Enhanced Yield Fund
Investments in Securities
Municipal Bonds^††		—	$	215,017,461		—	$	215,017,461
Short-Term Investments	$	1,739,600		—		—	$	1,739,600

Total Investments in Securities	$	1,739,600	$	215,017,461		—	$	216,757,061

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

Notes to Schedules of Portfolio Investments (continued)


	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Small Cap Core Fund
Investments in Securities
Common Stocks^†††	$	414,509,501		—		—	$	414,509,501
Short-Term Investments
Repurchase Agreements		—	$	26,583,633		—	$	26,583,633
Other Investment Companies	$	7,085,094		—		—		7,085,094

Total Investments in Securities	$	421,594,595	$	26,583,633		—	$	448,178,228


	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG GW&K Small Cap Growth Fund
Investments in Securities
Common Stocks^†††	$	2,211,725		—		—	$	2,211,725
Short-Term Investments
Repurchase Agreements		—	$	151,675		—	$	151,675
Other Investment Companies	$	53,964		—		—		53,964

Total Investments in Securities	$	2,265,689	$	151,675		—	$	2,417,364

^†

All corporate bonds and notes and U.S. government and agency obligations held in the Funds are level 2 securities. For a detailed breakout of the corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the respective Schedule of Portfolio Investments.

^††	All municipal bonds held in the Funds are Level 2 securities. For a detailed breakout of the bonds by major classification, please refer to the respective Schedule of Portfolio Investments.

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

As of December 31, 2016, the Funds had no transfers between levels from the beginning of the reporting period.

INVESTMENTS DEFINITIONS AND ABBREVIATIONS:

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


COPS:		Certificates of Participation
FHLMC:		Federal Home Loan Mortgage Corporation
FNMA:		Federal National Mortgage Association
GMTN:		Global Medium-Term Notes
MTN:		Medium-Term Notes
PLC:		Public Limited Company
National Insured:		National Public Finance Guarantee Corp.

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

Statement of Assets and Liabilities

December 31, 2016


	AMG GW&K Enhanced Core Bond Fund^#		AMG GW&K Municipal Bond Fund^#		AMG GW&K Municipal Enhanced Yield Fund^#		AMG GW&K Small Cap Core Fund^#		AMG GW&K Small Cap Growth Fund^#
Assets:
Investments at value* (including securities on loan valued at $1,822,235, $0, $0, $25,772,801 and $146,315, respectively)	$	113,504,097	$	927,207,800	$	216,757,061	$	448,178,228	$	2,417,364
Receivable for Fund shares sold		830,491		19,016,829		1,290,827		642,378		—
Dividends, interest and other receivables		1,066,645		11,529,112		2,309,830		844,532		987
Receivable from affiliate		62,565		99,188		35,646		14,853		13,345
Prepaid expenses		36,013		36,301		31,544		28,222		9,655
Total assets		115,499,811		957,889,230		220,424,908		449,708,213		2,441,351
Liabilities:
Payable upon return of securities loaned		1,888,919		—		—		26,583,633		151,675
Payable for investments purchased		—		—		—		874,136		7,588
Payable for delayed delivery investments purchased		—		—		2,729,125		—		—
Payable for Fund shares repurchased		182,712		34,508,256		1,708,017		411,954		—
Payable to Affiliate		—		—		—		—		12,623
Accrued expenses:
Investment advisory and management fees		45,629		170,067		94,784		270,830		1,392
Administrative fees		15,209		121,991		28,435		54,166		278
Shareholder service fees—Class N		—		2,904		908		2,837		—
Shareholder service fees—Class S		3,149		26,811		4,240		5,704		—
Distribution fees—Class N		3,463		6,865		908		7,792		—
Distribution fees—Class C		6,695		—		—		—		—
Professional fees		43,459		40,142		34,696		27,787		24,652
Trustees fees and expenses		78		529		141		196		1
Other		44,652		90,624		30,578		47,871		12,050
Total liabilities		2,233,965		34,968,189		4,631,832		28,286,906		210,259
Net Assets	$	113,265,846	$	922,921,041	$	215,793,076	$	421,421,307	$	2,231,092
* Investments at cost	$	114,283,341	$	948,229,325	$	221,263,335	$	366,263,449	$	2,185,834

#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

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

Statement of Assets and Liabilities (continued)


	AMG GW&K Enhanced Core Bond Fund^#			AMG GW&K Municipal Bond Fund^#			AMG GW&K Municipal Enhanced Yield Fund^#			AMG GW&K Small Cap Core Fund^#			AMG GW&K Small Cap Growth Fund^#
Net Assets Represent:
Paid-in capital	$	118,625,906		$	945,309,410		$	222,727,043		$	340,271,262		$	2,058,357
Undistributed net investment income		9,070			—			—			—			—
Accumulated net realized loss from investments		(4,589,886	)		(1,366,844	)		(2,427,693	)		(764,734	)		(58,795	)
Net unrealized appreciation (depreciation) of investments		(779,244	)		(21,021,525	)		(4,506,274	)		81,914,779			231,530
Net Assets	$	113,265,846		$	922,921,041		$	215,793,076		$	421,421,307		$	2,231,092
Class N:
Net Assets	$	16,115,222		$	31,406,458		$	4,184,299		$	35,760,404			n/a
Shares outstanding		1,666,966			2,790,665			444,922			1,455,377			n/a
Net asset value, offering and redemption price per share	$	9.67		$	11.25		$	9.40		$	24.57			n/a
Class S:
Net Assets	$	37,951,844		$	163,149,394		$	16,415,435		$	17,689,174			n/a
Shares outstanding		3,910,973			14,469,779			1,744,409			713,877			n/a
Net asset value, offering and redemption price per share	$	9.70		$	11.28		$	9.41		$	24.78			n/a
Class C:
Net Assets	$	7,841,902			n/a			n/a			n/a			n/a
Shares outstanding		811,792			n/a			n/a			n/a			n/a
Net asset value, offering and redemption price per share	$	9.66			n/a			n/a			n/a			n/a
Class I:
Net Assets	$	51,356,878		$	728,365,189		$	195,193,342		$	367,971,729		$	2,231,092
Shares outstanding		5,295,792			64,391,388			20,775,707			14,814,672			227,735
Net asset value, offering and redemption price per share	$	9.70		$	11.31		$	9.40		$	24.84		$	9.80

#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

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

Statement of Operations

For the year ended December 31, 2016


	AMG GW&K Enhanced Core Bond Fund^#			AMG GW&K Municipal Bond Fund^#			AMG GW&K Municipal Enhanced Yield Fund^#			AMG GW&K Small Cap Core Fund^#			AMG GW&K Small Cap Growth Fund^#
Investment Income:
Interest income	$	3,655,621		$	17,077,382		$	8,790,688		$	521			—
Dividend income		1,529			13,071			3,227			5,184,990	¹	$	9,472
Securities lending income		6,224			—			—			89,815			346
Miscellaneous income		1,706			—			—			—			—
Foreign withholding tax		—			—			—			(16,374	)		(117	)
Total investment income		3,665,080			17,090,453			8,793,915			5,258,952			9,701
Expenses:
Investment advisory and management fees		532,161			2,983,587			1,246,410			2,904,313			12,743
Administrative fees		220,615			2,133,320			561,668			865,041			3,730
Distribution fees—Class N		45,948			81,371			14,842			87,786			—
Distribution fees—Class C		96,699			—			—			—			—
Shareholder servicing fees—Class N		—			38,386			14,842			49,869			—
Shareholder servicing fees—Class S		32,243			248,404			13,565			38,479			—
Professional fees		55,254			106,576			53,883			56,414			28,332
Registration fees		49,628			52,839			44,897			38,613			16,221
Transfer agent fees		34,810			46,129			14,882			22,395			332
Custodian fees		23,341			78,344			25,127			26,072			5,874
Reports to shareholders		17,700			36,730			13,800			38,599			8,758
Trustees fees and expenses		8,275			69,934			18,855			29,608			111
Miscellaneous		6,067			29,942			8,682			12,245			2,126
Total expenses before offsets		1,122,741			5,905,562			2,031,453			4,169,434			78,227
Fee waivers		—			—			(170,667	)		—			—
Expense reimbursements		(249,870	)		(2,293,974	)		(222,096	)		(314,503	)		(62,087	)
Expense reductions		—			—			—			(18,738	)		—
Net expenses		872,871			3,611,588			1,638,690			3,836,193			16,140
Net investment income (loss)		2,792,209			13,478,865			7,155,225			1,422,759			(6,439	)
Net Realized and Unrealized Gain (loss):
Net realized gain (loss) on investments		837,864			11,765,887			6,721,972			14,201,155			(28,503	)
Net change in unrealized appreciation (depreciation) of investments		(777,068	)		(37,153,635	)		(13,050,976	)		49,509,033			252,237
Net realized and unrealized gain (loss)		60,796			(25,387,748	)		(6,329,004	)		63,710,188			223,734
Net increase (decrease) in net assets resulting from operations	$	2,853,005		$	(11,908,883	)	$	826,221		$	65,132,947		$	217,295

^#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

¹	Includes non-recurring dividend of $976,975.

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

Statements of Changes in Net Assets

For the years ended December 31,


	AMG GW&K Enhanced Core Bond Fund						AMG GW&K Municipal Bond Fund
	2016^#			2015			2016^#			2015
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	2,792,209		$	2,589,414		$	13,478,865		$	11,879,981
Net realized gain (loss) on investments		837,864			(5,132,363	)		11,765,887			12,154,764
Net change in unrealized appreciation (depreciation) of investments		(777,068	)		(631,280	)		(37,153,635	)		3,671,047
Net increase (decrease) in net assets resulting from operations		2,853,005			(3,174,229	)		(11,908,883	)		27,705,792
Distributions to Shareholders:
From net investment income:
Class N		(414,745	)		(757,792	)		(337,669	)		(307,554	)
Class S		(777,513	)		(121,235	)		(2,154,034	)		(1,760,792	)
Class C		(137,712	)		(284,731	)		—			—
Class I		(1,453,169	)		(1,459,487	)		(11,028,510	)		(9,837,254	)
From net realized gain on investments:
Class N		—			—			(579,320	)		(345,596	)
Class S		—			—			(3,103,417	)		(1,606,917	)
Class C		—			—			—			—
Class I		—			—			(13,370,506	)		(8,166,806	)
Total distributions to shareholders		(2,783,139	)		(2,623,245	)		(30,573,456	)		(22,024,919	)
Capital Share Transactions:¹
Net increase from capital share transactions		27,097,678			4,076,345			153,597,847			290,819,321
Total increase (decrease) in net assets		27,167,544			(1,721,129	)		111,115,508			296,500,194
Net Assets:
Beginning of year		86,098,302			87,819,431			811,805,533			515,305,339
End of year	$	113,265,846		$	86,098,302		$	922,921,041		$	811,805,533
End of year undistributed net investment income	$	9,070			—			—			—

^#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

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

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

Statements of Changes in Net Assets (continued)

For the year ended December 31,


	AMG GW&K Municipal Enhanced Yield Fund						AMG GW&K Small Cap Core Fund						AMG GW&K Small Cap Growth Fund^*
	2016^#			2015			2016^#			2015			2016^#			2015
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income (loss)	$	7,155,225		$	7,963,038		$	1,422,759		$	433,600		$	(6,439	)	$	(1,792	)
Net realized gain (loss) on investments		6,721,972			4,973,058			14,201,155			13,481,106			(28,503	)		(23,431	)
Net change in unrealized appreciation (depreciation) of investments		(13,050,976	)		(3,739,962	)		49,509,033			(24,005,209	)		252,237			(20,707	)
Net increase (decrease) in net assets resulting from operations		826,221			9,196,134			65,132,947			(10,090,503	)		217,295			(45,930	)
Distributions to Shareholders:
From net investment income:
Class N		(141,532	)		(139,414	)		—			—			—			—
Class S		(483,507	)		(562,790	)		(32,695	)		(33,789	)		—			—
Class I		(6,534,101	)		(7,264,910	)		(1,399,673	)		(710,270	)		(1,135	)		—
From net realized gain on investments:
Class N		(189,462	)		(71,420	)		(1,490,651	)		(1,421,265	)		—			—
Class S		(751,847	)		(208,173	)		(721,953	)		(1,479,651	)		—			—
Class I		(9,105,322	)		(2,744,562	)		(15,063,218	)		(12,008,340	)		—			—
Total distributions to shareholders		(17,205,771	)		(10,991,269	)		(18,708,190	)		(15,653,315	)		(1,135	)		—
Capital Share Transactions:¹
Net increase (decrease) from capital share transactions		(1,420,098	)		(15,159,353	)		185,281			26,453,362			841,781			1,219,081
Total increase (decrease) in net assets		(17,799,648	)		(16,954,488	)		46,610,038			709,544			1,057,941			1,173,151
Net Assets:
Beginning of year		233,592,724			250,547,212			374,811,269			374,101,725			1,173,151			—
End of year	$	215,793,076		$	233,592,724		$	421,421,307		$	374,811,269		$	2,231,092		$	1,173,151
End of year undistributed net investment income		—		$	253			—			—			—			—

^*	Commencement of operations was on June 30, 2015.

^#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

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

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

AMG GW&K Enhanced Core Bond Fund

Financial Highlights

For a share outstanding throughout each period


	For the years ended December 31,
Class N	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	9.58		$	10.22		$	9.96		$	11.24		$	10.81
Income from Investment Operations:
Net investment income^1,2		0.22			0.29			0.29			0.24			0.44
Net realized and unrealized gain (loss) on investments		0.09			(0.64	)		0.26			(0.21	)		0.58
Total income (loss) from investment operations		0.31			(0.35	)		0.55			0.03			1.02
Less Distributions to Shareholders from:
Net investment income		(0.22	)		(0.29	)		(0.29	)		(0.26	)		(0.48	)
Net realized gain on investments		—			—			—			(1.05	)		(0.11	)
Total distributions to shareholders		(0.22	)		(0.29	)		(0.29	)		(1.31	)		(0.59	)
Net Asset Value, End of Year	$	9.67		$	9.58		$	10.22		$	9.96		$	11.24
Total Return²		3.26	%⁴		(3.51	)%⁴		5.58	%		0.29	%		9.53	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.84	%		0.84	%		0.84	%		0.86	%⁵		0.84	%⁶
Ratio of expenses to average net assets (with offsets)		0.84	%		0.84	%		0.84	%		0.86	%⁵		0.84	%⁶
Ratio of total expenses to average net assets (without offsets/reductions)³		1.05	%		1.07	%		1.09	%		1.08	%⁵		1.04	%⁶
Ratio of net investment income to average net assets²		2.27	%		2.87	%		2.82	%		2.14	%⁵		3.92	%⁶
Portfolio turnover		88	%		57	%		22	%		43	%		110	%
Net assets at end of year (000’s omitted)	$	16,115		$	20,203		$	27,444		$	32,009		$	41,772


	For the years ended December 31,												For the period from December 1, 2012 through
Class S	2016^#			2015			2014			2013			December 31, 2012*
Net Asset Value, Beginning of Period	$	9.62		$	10.26		$	9.99		$	11.28		$	11.41
Income from Investment Operations:
Net investment income^1,2		0.24			0.30			0.31			0.26			0.02
Net realized and unrealized gain (loss) on investments		0.08			(0.63	)		0.27			(0.22	)		0.01
Total income (loss) from investment operations		0.32			(0.33	)		0.58			0.04			0.03
Less Distributions to Shareholders from:
Net investment income		(0.24	)		(0.31	)		(0.31	)		(0.28	)		(0.05	)
Net realized gain on investments		—			—			—			(1.05	)		(0.11	)
Total distributions to shareholders		(0.24	)		(0.31	)		(0.31	)		(1.33	)		(0.16	)
Net Asset Value, End of Period	$	9.70		$	9.62		$	10.26		$	9.99		$	11.28
Total Return²		3.31	%		(3.30	)%		5.84	%		0.41	%		0.26	%¹⁸
Ratio of net expenses to average net assets (with offsets/reductions)		0.69	%		0.67	%		0.65	%		0.69	%⁵		0.64	%^6,19
Ratio of expenses to average net assets (with offsets)		0.69	%		0.67	%		0.65	%		0.69	%⁵		0.64	%^6,19
Ratio of total expenses to average net assets (without offsets/reductions)³		0.90	%		0.90	%		0.90	%		0.91	%⁵		0.90	%^6,19
Ratio of net investment income to average net assets²		2.39	%		2.96	%		3.00	%		2.31	%⁵		2.07	%^6,19
Portfolio turnover		88	%		57	%		22	%		43	%		110	%
Net assets at end of period (000’s omitted)	$	37,952		$	7,463		$	2,480		$	1,563		$	10

AMG GW&K Enhanced Core Bond Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class C	2016			2015			2014			2013			2012^††
Net Asset Value, Beginning of Year	$	9.57		$	10.20		$	9.94		$	11.22		$	10.79
Income from Investment Operations:
Net investment income^1,2		0.15			0.21			0.21			0.15			0.36
Net realized and unrealized gain (loss) on investments		0.08			(0.63	)		0.26			(0.20	)		0.57
Total income (loss) from investment operations		0.23			(0.42	)		0.47			(0.05	)		0.93
Less Distributions to Shareholders from:
Net investment income		(0.14	)		(0.21	)		(0.21	)		(0.18	)		(0.39	)
Net realized gain on investments		—			—			—			(1.05	)		(0.11	)
Total distributions to shareholders		(0.14	)		(0.21	)		(0.21	)		(1.23	)		(0.50	)
Net Asset Value, End of Year	$	9.66		$	9.57		$	10.20		$	9.94		$	11.22
Total Return²		2.40	%		(4.15	)%⁴		4.79	%		(0.50	)%⁴		8.72	%⁴
Ratio of net expenses to average net assets (with offsets/reductions)		1.59	%		1.59	%		1.59	%		1.61	%⁵		1.59	%⁶
Ratio of expenses to average net assets (with offsets)		1.59	%		1.59	%		1.59	%		1.61	%⁵		1.59	%⁶
Ratio of total expenses to average net assets (without offsets/reductions)³		1.80	%		1.82	%		1.84	%		1.83	%⁵		1.79	%⁶
Ratio of net investment income to average net assets²		1.53	%		2.12	%		2.07	%		1.38	%⁵		3.18	%⁶
Portfolio turnover		88	%		57	%		22	%		43	%		110	%
Net assets at end of year (000’s omitted)	$	7,842		$	11,031		$	15,927		$	20,793		$	33,026


	For the years ended December 31,
Class I	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	9.61		$	10.25		$	9.99		$	11.28		$	10.84
Income from Investment Operations:
Net investment income^1,2		0.25			0.31			0.31			0.27			0.47
Net realized and unrealized gain (loss) on investments		0.09			(0.63	)		0.27			(0.22	)		0.58
Total income (loss) from investment operations		0.34			(0.32	)		0.58			0.05			1.05
Less Distributions to Shareholders from:
Net investment income		(0.25	)		(0.32	)		(0.32	)		(0.29	)		(0.50	)
Net realized gain on investments		—			—			—			(1.05	)		(0.11	)
Total distributions to shareholders		(0.25	)		(0.32	)		(0.32	)		(1.34	)		(0.61	)
Net Asset Value, End of Year	$	9.70		$	9.61		$	10.25		$	9.99		$	11.28
Total Return²		3.52	%⁴		(3.15	)%		5.85	%		0.46	%		9.89	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.59	%		0.59	%		0.59	%		0.61	%⁵		0.59	%⁶
Ratio of expenses to average net assets (with offsets)		0.59	%		0.59	%		0.59	%		0.61	%⁵		0.59	%⁶
Ratio of total expenses to average net assets (without offsets/reductions)³		0.80	%		0.82	%		0.84	%		0.83	%⁵		0.79	%⁶
Ratio of net investment income to average net assets²		2.51	%		3.10	%		3.05	%		2.39	%⁵		4.21	%⁶
Portfolio turnover		88	%		57	%		22	%		43	%		110	%
Net assets at end of year (000’s omitted)	$	51,357		$	47,402		$	41,968		$	59,182		$	65,573

AMG GW&K Municipal Bond Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class N	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	11.70		$	11.61		$	11.02		$	11.52		$	11.21
Income from Investment Operations:
Net investment income^1,2		0.13			0.15			0.18			0.18			0.20
Net realized and unrealized gain (loss) on investments		(0.25	)		0.24			0.63			(0.47	)		0.38
Total income (loss) from investment operations		(0.12	)		0.39			0.81			(0.29	)		0.58
Less Distributions to Shareholders from:
Net investment income		(0.12	)		(0.15	)		(0.18	)		(0.17	)		(0.19	)
Net realized gain on investments		(0.21	)		(0.15	)		(0.04	)		(0.04	)		(0.08	)
Total distributions to shareholders		(0.33	)		(0.30	)		(0.22	)		(0.21	)		(0.27	)
Net Asset Value, End of Year	$	11.25		$	11.70		$	11.61		$	11.02		$	11.52
Total Return²		(1.05	)%		3.36	%		7.39	%		(2.51	)%⁴		5.27	%⁴
Ratio of net expenses to average net assets (with offsets/reductions)		0.71	%		0.82	%		0.80	%		0.81	%⁷		0.80	%⁸
Ratio of expenses to average net assets (with offsets)		0.71	%		0.82	%		0.80	%		0.81	%⁷		0.80	%⁸
Ratio of total expenses to average net assets (without offsets/reductions)³		0.95	%		1.13	%		1.12	%		1.17	%⁷		1.18	%⁸
Ratio of net investment income to average net assets²		1.08	%		1.28	%		1.55	%		1.56	%⁷		1.71	%⁸
Portfolio turnover		66	%		78	%		31	%		28	%		39	%
Net assets at end of year (000’s omitted)	$	31,406		$	27,362		$	23,572		$	28,655		$	22,726


	For the years ended December 31,
Class S	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	11.73		$	11.63		$	11.04		$	11.54		$	11.23
Income from Investment Operations:
Net investment income^1,2		0.15			0.19			0.21			0.21			0.23
Net realized and unrealized gain (loss) on investments		(0.23	)		0.24			0.63			(0.47	)		0.38
Total income (loss) from investment operations		(0.08	)		0.43			0.84			(0.26	)		0.61
Less Distributions to Shareholders from:
Net investment income		(0.16	)		(0.18	)		(0.21	)		(0.20	)		(0.22	)
Net realized gain on investments		(0.21	)		(0.15	)		(0.04	)		(0.04	)		(0.08	)
Total distributions to shareholders		(0.37	)		(0.33	)		(0.25	)		(0.24	)		(0.30	)
Net Asset Value, End of Year	$	11.28		$	11.73		$	11.63		$	11.04		$	11.54
Total Return²		(0.77	)%		3.77	%		7.62	%		(2.24	)%		5.53	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.49	%		0.51	%		0.52	%		0.53	%⁷		0.55	%⁸
Ratio of expenses to average net assets (with offsets)		0.49	%		0.51	%		0.52	%		0.53	%⁷		0.55	%⁸
Ratio of total expenses to average net assets (without offsets/reductions)³		0.73	%		0.82	%		0.84	%		0.89	%⁷		0.93	%⁸
Ratio of net investment income to average net assets²		1.31	%		1.59	%		1.82	%		1.84	%⁷		1.97	%⁸
Portfolio turnover		66	%		78	%		31	%		28	%		39	%
Net assets at end of year (000’s omitted)	$	163,149		$	128,684		$	98,152		$	53,024		$	35,444

AMG GW&K Municipal Bond Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class I	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	11.77		$	11.67		$	11.08		$	11.58		$	11.26
Income from Investment Operations:
Net investment income^1,2		0.17			0.21			0.23			0.23			0.25
Net realized and unrealized gain (loss) on investments		(0.25	)		0.24			0.63			(0.47	)		0.40
Total income (loss) from investment operations		(0.08	)		0.45			0.86			(0.24	)		0.65
Less Distributions to Shareholders from:
Net investment income		(0.17	)		(0.20	)		(0.23	)		(0.22	)		(0.25	)
Net realized gain on investments		(0.21	)		(0.15	)		(0.04	)		(0.04	)		(0.08	)
Total distributions to shareholders		(0.38	)		(0.35	)		(0.27	)		(0.26	)		(0.33	)
Net Asset Value, End of Year	$	11.31		$	11.77		$	11.67		$	11.08		$	11.58
Total Return²		(0.70	)%		3.94	%		7.80	%		(2.02	)%		5.80	%⁴
Ratio of net expenses to average net assets (with offsets/reductions)		0.34	%		0.34	%		0.34	%		0.36	%⁷		0.35	%⁸
Ratio of expenses to average net assets (with offsets)		0.34	%		0.34	%		0.34	%		0.36	%⁷		0.35	%⁸
Ratio of total expenses to average net assets (without offsets/reductions)³		0.58	%		0.65	%		0.66	%		0.72	%⁷		0.73	%⁸
Ratio of net investment income to average net assets²		1.45	%		1.76	%		2.00	%		2.01	%⁷		2.15	%⁸
Portfolio turnover		66	%		78	%		31	%		28	%		39	%
Net assets at end of year (000’s omitted)	$	728,365		$	655,760		$	393,581		$	204,711		$	121,609

AMG GW&K Municipal Enhanced Yield Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class N	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	10.08		$	10.16		$	8.98		$	10.24		$	9.55
Income from Investment Operations:
Net investment income^1,2		0.25			0.30			0.34			0.35			0.36
Net realized and unrealized gain (loss) on investments		(0.23	)		0.05			1.18			(1.18	)		0.93
Total income (loss) from investment operations		0.02			0.35			1.52			(0.83	)		1.29
Less Distributions to Shareholders from:
Net investment income		(0.25	)		(0.30	)		(0.34	)		(0.36	)		(0.36	)
Net realized gain on investments		(0.45	)		(0.13	)		—			(0.07	)		(0.24	)
Total distributions to shareholders		(0.70	)		(0.43	)		(0.34	)		(0.43	)		(0.60	)
Net Asset Value, End of Year	$	9.40		$	10.08		$	10.16		$	8.98		$	10.24
Total Return²		0.10	%		3.57	%		17.14	%		(8.27	)%⁴		13.69	%⁴
Ratio of net expenses to average net assets (with offsets/reductions)		1.14	%		1.07	%		1.00	%		1.12	%⁹		1.07	%¹⁰
Ratio of expenses to average net assets (with offsets)		1.14	%		1.07	%		1.00	%		1.12	%⁹		1.07	%¹⁰
Ratio of total expenses to average net assets (without offsets/reductions)³		1.30	%		1.25	%		1.19	%		1.30	%⁹		1.27	%¹⁰
Ratio of net investment income to average net assets²		2.38	%		2.98	%		3.46	%		3.58	%⁹		3.53	%¹⁰
Portfolio turnover		172	%		120	%		83	%		52	%		70	%
Net assets at end of year (000’s omitted)	$	4,184		$	5,500		$	8,507		$	8,030		$	21,413


	For the years ended December 31,
Class S	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	10.09		$	10.16		$	8.98		$	10.23		$	9.54
Income from Investment Operations:
Net investment income^1,2		0.29			0.34			0.36			0.38			0.38
Net realized and unrealized gain (loss) on investments		(0.22	)		0.06			1.18			(1.18	)		0.93
Total income (loss) from investment operations		0.07			0.40			1.54			(0.80	)		1.31
Less Distributions to Shareholders from:
Net investment income		(0.30	)		(0.34	)		(0.36	)		(0.38	)		(0.38	)
Net realized gain on investments		(0.45	)		(0.13	)		—			(0.07	)		(0.24	)
Total distributions to shareholders		(0.75	)		(0.47	)		(0.36	)		(0.45	)		(0.62	)
Net Asset Value, End of Year	$	9.41		$	10.09		$	10.16		$	8.98		$	10.23
Total Return²		0.55	%		4.07	%		17.39	%		(7.95	)%		13.90	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.72	%		0.71	%		0.72	%		0.78	%⁹		0.86	%¹⁰
Ratio of expenses to average net assets (with offsets)		0.72	%		0.71	%		0.72	%		0.78	%⁹		0.86	%¹⁰
Ratio of total expenses to average net assets (without offsets/reductions)³		0.88	%		0.89	%		0.91	%		0.96	%⁹		1.06	%¹⁰
Ratio of net investment income to average net assets²		2.81	%		3.35	%		3.68	%		3.99	%⁹		3.74	%¹⁰
Portfolio turnover		172	%		120	%		83	%		52	%		70	%
Net assets at end of year (000’s omitted)	$	16,415		$	16,036		$	15,757		$	5,222		$	6,401

AMG GW&K Municipal Enhanced Yield Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class I	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	10.07		$	10.14		$	8.97		$	10.22		$	9.53
Income from Investment Operations:
Net investment income^1,2		0.30			0.34			0.37			0.39			0.40
Net realized and unrealized gain (loss) on investments		(0.22	)		0.07			1.17			(1.17	)		0.93
Total income (loss) from investment operations		0.08			0.41			1.54			(0.78	)		1.33
Less Distributions to Shareholders from:
Net investment income		(0.30	)		(0.35	)		(0.37	)		(0.40	)		(0.40	)
Net realized gain on investments		(0.45	)		(0.13	)		—			(0.07	)		(0.24	)
Total distributions to shareholders		(0.75	)		(0.48	)		(0.37	)		(0.47	)		(0.64	)
Net Asset Value, End of Year	$	9.40		$	10.07		$	10.14		$	8.97		$	10.22
Total Return²		0.70	%		4.15	%		17.45	%		(7.80	)%		14.13	%⁴
Ratio of net expenses to average net assets (with offsets/reductions)		0.64	%		0.64	%		0.64	%		0.66	%⁹		0.65	%¹⁰
Ratio of expenses to average net assets (with offsets)		0.64	%		0.64	%		0.64	%		0.66	%⁹		0.65	%¹⁰
Ratio of total expenses to average net assets (without offsets/reductions)³		0.80	%		0.82	%		0.83	%		0.84	%⁹		0.85	%¹⁰
Ratio of net investment income to average net assets²		2.89	%		3.42	%		3.83	%		4.08	%⁹		3.96	%¹⁰
Portfolio turnover		172	%		120	%		83	%		52	%		70	%
Net assets at end of year (000’s omitted)	$	195,193		$	212,057		$	226,284		$	201,161		$	294,983

AMG GW&K Small Cap Core Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class N	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	21.80		$	23.39		$	24.34		$	17.72		$	15.87
Income from Investment Operations:
Net investment income (loss)^1,2		0.00	^##,11		(0.06	)¹²		(0.07	)¹³		(0.07	)¹⁴		0.14	¹⁵
Net realized and unrealized gain (loss) on investments		3.81			(0.64	)		0.46			7.56			2.15
Total income (loss) from investment operations		3.81			(0.70	)		0.39			7.49			2.29
Less Distributions to Shareholders from:
Net investment income		—			—			—			—			(0.08	)
Net realized gain on investments		(1.04	)		(0.89	)		(1.34	)		(0.87	)		(0.36	)
Total distributions to shareholders		(1.04	)		(0.89	)		(1.34	)		(0.87	)		(0.44	)
Net Asset Value, End of Year	$	24.57		$	21.80		$	23.39		$	24.34		$	17.72
Total Return²		17.44	%		(3.02	)%		1.53	%		42.26	%		14.45	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.33	%		1.35	%		1.42	%		1.37	%¹⁶		1.41	%¹⁷
Ratio of expenses to average net assets (with offsets)		1.33	%		1.35	%		1.42	%		1.37	%¹⁶		1.41	%¹⁷
Ratio of total expenses to average net assets (without offsets/reductions)³		1.42	%		1.46	%		1.53	%		1.50	%¹⁶		1.62	%¹⁷
Ratio of net investment income (loss) to average net assets²		0.01	%		(0.24	)%		(0.28	)%		(0.32	)%¹⁶		0.78	%¹⁷
Portfolio turnover		19	%		16	%		26	%		19	%		14	%
Net assets at end of year (000’s omitted)	$	35,760		$	35,691		$	37,995		$	69,992		$	14,707


	For the years ended December 31,
Class S	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	21.97		$	23.53		$	24.42		$	17.73		$	15.85
Income from Investment Operations:
Net investment income (loss)^1,2		0.04	¹¹		0.01	¹²		0.04	¹³		(0.02	)¹⁴		0.06	¹⁵
Net realized and unrealized gain (loss) on investments		3.87			(0.65	)		0.43			7.58			2.26
Total income (loss) from investment operations		3.91			(0.64	)		0.47			7.56			2.32
Less Distributions to Shareholders from:
Net investment income		(0.05	)		(0.02	)		(0.01	)		—			(0.08	)
Net realized gain on investments		(1.05	)		(0.90	)		(1.35	)		(0.87	)		(0.36	)
Total distributions to shareholders		(1.10	)		(0.92	)		(1.36	)		(0.87	)		(0.44	)
Net Asset Value, End of Year	$	24.78		$	21.97		$	23.53		$	24.42		$	17.73
Total Return²		17.75	%		(2.75	)%		1.86	%		42.64	%⁴		14.67	%⁴
Ratio of net expenses to average net assets (with offsets/reductions)		1.06	%		1.07	%		1.10	%		1.13	%¹⁶		1.20	%¹⁷
Ratio of expenses to average net assets (with offsets)		1.06	%		1.07	%		1.10	%		1.13	%¹⁶		1.20	%¹⁷
Ratio of total expenses to average net assets (without offsets/reductions)³		1.16	%		1.18	%		1.22	%		1.26	%¹⁶		1.41	%¹⁷
Ratio of net investment income (loss) to average net assets²		0.16	%		0.03	%		0.16	%		(0.09	)%¹⁶		0.44	%¹⁷
Portfolio turnover		19	%		16	%		26	%		19	%		14	%
Net assets at end of year (000’s omitted)	$	17,689		$	36,739		$	44,806		$	35,836		$	13,052

AMG GW&K Small Cap Core Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class I	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	22.04		$	23.61		$	24.49		$	17.76		$	15.87
Income from Investment Operations:
Net investment income^1,2		0.10	¹¹		0.04	¹²		0.07	¹³		0.02	¹⁴		0.14	¹⁵
Net realized and unrealized gain (loss) on investments		3.86			(0.65	)		0.44			7.58			2.23
Total income (loss) from investment operations		3.96			(0.61	)		0.51			7.60			2.37
Less Distributions to Shareholders from:
Net investment income		(0.10	)		(0.05	)		(0.04	)		—			(0.12	)
Net realized gain on investments		(1.06	)		(0.91	)		(1.35	)		(0.87	)		(0.36	)
Total distributions to shareholders		(1.16	)		(0.96	)		(1.39	)		(0.87	)		(0.48	)
Net Asset Value, End of Year	$	24.84		$	22.04		$	23.61		$	24.49		$	17.76
Total Return²		17.90	%		(2.63	)%		2.04	%		42.81	%⁴		14.97	%⁴
Ratio of net expenses to average net assets (with offsets/reductions)		0.94	%		0.95	%		0.95	%		0.97	%¹⁶		0.96	%¹⁷
Ratio of expenses to average net assets (with offsets)		0.94	%		0.95	%		0.95	%		0.97	%¹⁶		0.96	%¹⁷
Ratio of total expenses to average net assets (without offsets/reductions)³		1.03	%		1.06	%		1.07	%		1.10	%¹⁶		1.17	%¹⁷
Ratio of net investment income to average net assets²		0.43	%		0.17	%		0.30	%		0.07	%¹⁶		0.84	%¹⁷
Portfolio turnover		19	%		16	%		26	%		19	%		14	%
Net assets at end of year (000’s omitted)	$	367,972		$	302,381		$	291,301		$	168,854		$	76,673

AMG GW&K Small Cap Growth Fund

Financial Highlights

For a share outstanding throughout each period


	For the year ended December 31,			For the period from June 30, 2015 through December 31, 2015**
Class I	2016^#
Net Asset Value, Beginning of Period	$	8.95		$	10.00
Income from Investment Operations:
Net investment loss^1,2		(0.03	)		(0.02	)
Net realized and unrealized gain (loss) on investments		0.89			(1.03	)
Total income (loss) from investment operations		0.86			(1.05	)
Less Distributions to Shareholders from:
Net investment income		(0.01	)		—
Net Asset Value, End of Period	$	9.80		$	8.95
Total Return²		9.55	%⁴		(10.50	)%¹⁸
Ratio of net expenses to average net assets (with offsets/reductions)		0.95	%		0.95	%¹⁹
Ratio of expenses to average net assets (with offsets)		0.95	%		0.95	%¹⁹
Ratio of total expenses to average net assets (without offsets/reductions)³		4.60	%		11.39	%¹⁹
Ratio of net investment loss to average net assets²		(0.38	)%		(0.39	)%¹⁹
Portfolio turnover		48	%		41	%¹⁸
Net assets at end of period (000’s omitted)	$	2,231		$	1,173

Notes to Financial Highlights

The following footnotes should be read in conjunction with the Financial Highlights of the Funds previously presented in this report.

Effective October 1, 2016, the Investor Class, Service Class and Institutional Class of AMG GW&K Enhanced Core Bond Fund, AMG GW&K Municipal Bond Fund, AMG GW&K Municipal Enhanced Yield Fund and AMG GW&K Small Cap Core Fund were renamed Class N, Class S and Class I, respectively, and the Institutional Class of AMG GW&K Small Cap Growth Fund was renamed Class I.

^##	Rounds to less than $0.01 per share.

^*	Commencement of operations was December 1, 2012.

^**	Commencement of operations was June 30, 2015.

^††	Effective December 1, 2012, Class C shares were closed to all new investors.

¹	Per share numbers have been calculated using average shares.

²	Total returns and net investment income would have been lower had certain expenses not been offset.

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

⁴	The Total Return is based on the Financial Statement Net Asset Values as shown in the Financial Highlights.

⁵	Includes non-routine extraordinary expenses amounting to 0.021%, 0.016%, 0.021% and 0.020% of average net assets for the Class N, Class S, Class C and Class l, respectively.

⁶	Includes non-routine extraordinary expenses amounting to 0.004%, 0.005%, 0.004% and 0.004% of average net assets for the Class N, Class S, Class C and Class l, respectively.

⁷	Includes non-routine extraordinary expenses amounting to 0.021%, 0.020% and 0.020% of average net assets for the Class N, Class S and Class l, respectively.

⁸	Includes non-routine extraordinary expenses amounting to 0.005%, 0.005% and 0.005% of average net assets for the Class N, Class S and Class l, respectively.

⁹	Includes non-routine extraordinary expenses amounting to 0.024%, 0.022% and 0.023% of average net assets for the Class N, Class S and Class l, respectively.

¹⁰	Includes non-routine extraordinary expenses amounting to 0.006%, 0.005% and 0.005% of average net assets for the Class N, Class S and Class l, respectively.

¹¹	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.06), $(0.02) and $0.04 for the Class N, Class S and Class l, respectively.

¹²	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.05), $0.01 and $0.05 for the Class N, Class S and Class l, respectively.

¹³	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.11), $(0.00), and $0.03 for AMG GW&K Small Cap Core Fund’s Class N, Class S and Class l shares, respectively.

¹⁴	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.09), $(0.04) and $0.00 for the Class N, Class S and Class l respectively.

¹⁵	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.03, $(0.05) and $0.03 for the Class N, Class S and Class l, respectively.

¹⁶	Includes non-routine extraordinary expenses amounting to 0.015%, 0.017% and 0.018% of average net assets for the Class N, Class S and Class l, respectively.

¹⁷	Includes non-routine extraordinary expenses amounting to 0.008%, 0.004% and 0.005% of average net assets for the Class N, Class S and Class l, respectively.

¹⁸	Not annualized.

¹⁹	Annualized.

Notes to Financial Statements

December 31, 2016

1.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

AMG Funds and AMG Funds II (the “Trusts”) are open-end management investment companies, organized as Massachusetts business trusts and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trusts consist of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Funds: AMG GW&K Municipal Bond Fund (“Municipal Bond”), AMG GW&K Municipal Enhanced Yield Fund (“Municipal Enhanced”), AMG GW&K Small Cap Core Fund (“Small Cap Core”) and AMG GW&K Small Cap Growth Fund (“Small Cap Growth”) and AMG Funds II: AMG GW&K Enhanced Core Bond Fund (“Enhanced Core Bond”), each a “Fund” and collectively, the “Funds.”

Each Fund offers different classes of shares, which, effective October 1, 2016 were renamed. Enhanced Core Bond, Municipal Bond, Municipal Enhanced and Small Cap Core previously offered Investor Class shares, Service Class shares, and Institutional Class shares which were renamed to Class N, Class S and Class I, respectively; Small Cap Growth previously offered Institutional Class shares which were renamed Class I. Additionally, Enhanced Core Bond offers Class C shares. Small Cap Growth commenced operations on June 30, 2015.

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 pay different distribution amounts to the extent the net asset value per share and/or the expenses of such share classes differ. Each share class has its own expense structure. Please refer to a current prospectus for additional information on each share class.

Effective December 1, 2012, Class C shares of Enhanced Core Bond were closed to all new investors and will no longer be available for purchase by existing shareholders. Shareholders who redeem Class C shares of the Fund will continue to be subject to the deferred sales charges described in the prospectus. Effective November 1, 2013, Small Cap Core was closed to new investors. Please refer to Enhanced Core Bond’s and Small Cap Core’s current prospectus for additional information.

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), 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 “exchange mean price”). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the exchange mean price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.

Fixed income securities purchased with a remaining maturity exceeding 60 days are valued at the evaluated bid price or the mean price provided by an authorized pricing service or, if an evaluated price is not available, by reference to other securities which are considered comparable in credit rating, interest rate, due date and other features (generally referred to as “matrix pricing”) or other similar pricing methodologies. Investments in certain mortgage-backed and stripped mortgage-backed securities, preferred stocks, convertible securities, derivatives and other debt securities not traded on an organized securities market are valued on the basis of valuations provided by dealers or by a pricing service which uses information with respect to transactions in such securities and various relationships between such securities and yield to maturity in determining value.

Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end regulated investment companies are valued at their end of day net asset value per share.

The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third-party pricing services approved by the Board of Trustees of the Trusts (the “Board”). Under certain circumstances, the value of certain Fund portfolio investments (including derivatives) may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager for the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trust’s securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.

Notes to Financial Statements (continued)

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 Fund, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.

With respect to foreign equity securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in a Fund that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.

U.S. GAAP defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds. Unobservable inputs reflect the Funds’ own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.

The three-tier hierarchy of inputs is summarized below:

Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies)

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

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

between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period.

b. SECURITY TRANSACTIONS

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

c. INVESTMENT INCOME AND EXPENSES

Dividend income is recorded on the ex-dividend date. Dividends from foreign securities are recorded as soon as the Trust becomes 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. Distributions received in excess of income from return of capital including real estate investment trusts (REITs) are recorded as a reduction of the cost of the related investment and/or as a realized gain. If the Fund no longer owns the applicable securities, any distributions received in excess of income are recorded as an adjustment to realized gain. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the funds in the Trusts and other trusts within AMG Funds family of mutual funds (collectively the “AMG Funds family”) based upon their relative average net assets or number of shareholders. Investment income, realized and unrealized 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.

Small Cap Core and Small Cap Growth 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 year ended December 31, 2016, the impact on the expense ratios, if any, was $18,738 and $1, respectively, both 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, as described in the Funds’ prospectus. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Permanent differences are due to redesignation of dividends paid by the fund. Temporary differences are due to differences between book and tax treatment of losses for excise tax purposes and wash sales.

Notes to Financial Statements (continued)

The tax character of distributions paid during the years ended December 31, 2016 and December 31, 2015 were as follows:


	Enhanced Core Bond				Municipal Bond*				Municipal Enhanced**				Small Cap Core				Small Cap Growth
Distributions paid from:	2016		2015		2016		2015		2016		2015		2016		2015		2016
Ordinary income	$	2,783,139	$	2,623,245	$	13,518,971	$	11,879,981	$	7,158,615	$	7,967,114	$	1,432,368	$	648,345	$	764
Short-term capital gains		—		—		10,894,944		2,721,008		5,596,273		267,207		—		986,775		371
Long-term capital gains		—		—		6,159,541		7,423,930		4,450,883		2,756,948		17,275,822		14,018,195		—

	$	2,783,139	$	2,623,245	$	30,573,456	$	22,024,919	$	17,205,771	$	10,991,269	$	18,708,190	$	15,653,315	$	1,135

^*	The ordinary income distributions paid by Municipal Bond which were tax-exempt for the periods 2016 and 2015 were $13,518,971 and $11,879,981, respectively.

^**	The ordinary income distributions paid by Municipal Enhanced which were tax-exempt for the periods 2016 and 2015 were $7,153,068 and $7,948,240, respectively.

As of December 31, 2016, the components of distributable earnings (excluding unrealized appreciation/depreciation) on a tax basis consisted of:


	Enhanced Core Bond		Municipal Bond		Municipal Enhanced		Small Cap Core		Small Cap Growth
Capital loss carryforward	$	4,225,768		—		—		—		—
Undistributed ordinary income		9,070		—		—		—		—
Undistributed short-term capital gains		—		—		—		—		—
Undistributed long-term capital gains		—		—		—		—		—
Late year loss deferral		363,553	$	1,366,837	$	2,265,605	$	672,144	$	1,565

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, to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.

Additionally, based on Small Cap Core’s and Small Cap Growth’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, Small Cap Core and Small Cap Growth will provide for foreign taxes, and where appropriate, deferred foreign taxes.

Management has analyzed the Funds’ tax positions taken on federal income tax returns as of December 31, 2016, and for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Additionally, Management is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

Net capital losses incurred may be carried forward for an unlimited time period, and retain their tax character as either short-term or long-term capital losses.

f. CAPITAL LOSS CARRYOVERS AND DEFERRALS

As of December 31, 2016, the following Funds had accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains for an unlimited time period.


	Capital Loss Carryover Amounts
Fund	Short-Term		Long-Term
Enhanced Core Bond	$	807,428	$	3,418,340

As of December 31, 2016, Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth had no accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes. Should Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth incur net capital losses for the year ended December 31, 2017, such amounts may be used to offset future realized capital gains, for an unlimited time period.

g. CAPITAL STOCK

The Trusts’ Declarations of Trust authorize for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date. The cost of securities contributed to the Funds in connection with the issuance of shares is based on the valuation of those securities in accordance with the Funds’ policy on investment valuation.

Notes to Financial Statements (continued)

For the years ended December 31, 2016 and 2015, the capital stock transactions by class for the Funds were as follows:


	Enhanced Core Bond												Municipal Bond
	2016						2015						2016						2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Class N:
Proceeds from sale of shares		385,257		$	3,795,029			745,685		$	7,581,134			1,647,974		$	19,577,982			1,539,109		$	17,987,833
Reinvestment of distributions		27,286			268,301			53,402			536,159			75,000			856,921			54,114			632,448
Cost of shares repurchased		(853,785	)		(8,384,944	)		(1,376,533	)		(13,764,481	)		(1,270,324	)		(14,901,658	)		(1,285,745	)		(14,916,621	)

Net increase (decrease)		(441,242	)	$	(4,321,614	)		(577,446	)	$	(5,647,188	)		452,650		$	5,533,245			307,478		$	3,703,660

Class S:
Proceeds from sale of shares		3,892,108		$	38,388,245			590,618		$	5,851,078			10,232,475		$	121,026,163			5,825,773		$	68,099,858
Reinvestment of distributions		77,281			766,271			10,485			104,238			291,662			3,354,153			192,521			2,255,691
Cost of shares repurchased		(834,296	)		(8,310,804	)		(67,052	)		(669,781	)		(7,024,704	)		(81,937,500	)		(3,484,494	)		(40,798,939	)

Net increase		3,135,093		$	30,843,712			534,051		$	5,285,535			3,499,433		$	42,442,816			2,533,800		$	29,556,610

Class C:
Proceeds from sale of shares		2,517		$	24,694			5,337		$	53,505			—			—			—			—
Reinvestment of distributions		9,536			93,552			19,802			198,380			—			—			—			—
Cost of shares repurchased		(353,217	)		(3,475,625	)		(433,309	)		(4,362,382	)		—			—			—			—

Net decrease		(341,164	)	$	(3,357,379	)		(408,170	)	$	(4,110,497	)		—			—			—			—

Class I:
Proceeds from sale of shares		2,391,953		$	23,618,757			1,630,862		$	16,511,994			32,007,506		$	379,279,837			33,123,648		$	388,149,326
Reinvestment of distributions		145,492			1,436,923			143,327			1,438,083			2,035,999			23,482,851			1,438,936			16,900,334
Cost of shares repurchased		(2,172,562	)		(21,122,721	)		(937,260	)		(9,401,582	)		(25,376,090	)		(297,140,902	)		(12,559,632	)		(147,490,609	)

Net increase		364,883		$	3,932,959			836,929		$	8,548,495			8,667,415		$	105,621,786			22,002,952		$	257,559,051

Notes to Financial Statements (continued)


	Municipal Enhanced												Small Cap Core
	2016						2015						2016						2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Class N:
Proceeds from sale of shares		569,848		$	5,963,684			765,332		$	7,817,267			171,093		$	3,879,355			344,200		$	8,072,293
Reinvestment of distributions		33,790			329,552			20,792			210,164			55,106			1,367,178			60,630			1,336,887
Cost of shares repurchased		(704,478	)		(7,269,369	)		(1,078,015	)		(11,024,996	)		(407,888	)		(9,392,744	)		(392,023	)		(9,181,256	)

Net increase (decrease)		(100,840	)	$	(976,133	)		(291,891	)	$	(2,997,565	)		(181,689	)	$	(4,146,211	)		12,807		$	227,924

Class S:
Proceeds from sale of shares		1,219,602		$	12,565,944			1,115,492		$	11,383,413			86,671		$	2,032,563			162,317		$	3,848,812
Reinvestment of distributions		127,122			1,234,918			76,444			770,964			29,980			750,402			35,688			792,991
Cost of shares repurchased		(1,192,382	)		(12,156,404	)		(1,152,453	)		(11,693,012	)		(1,074,660	)		(25,613,152	)		(430,228	)		(10,436,822	)

Net increase (decrease)		154,342		$	1,644,458			39,483		$	461,365			(958,009	)	$	(22,830,187	)		(232,223	)	$	(5,795,019	)

Class I:
Proceeds from sale of shares		6,118,953		$	63,716,957			5,680,203		$	57,465,629			2,961,740		$	68,702,616			2,374,100		$	56,191,800
Reinvestment of distributions		835,430			8,132,689			587,901			5,926,350			613,419			15,384,553			538,090			11,994,017
Cost of shares repurchased		(7,243,382	)		(73,938,069	)		(7,508,463	)		(76,015,132	)		(2,480,898	)		(56,925,490	)		(1,531,195	)		(36,165,360	)

Net increase (decrease)		(288,999	)	$	(2,088,423	)		(1,240,359	)	$	(12,623,153	)		1,094,261		$	27,161,679			1,380,995		$	32,020,457


	Small Cap Growth
	2016						2015
	Shares			Amount			Shares			Amount
Class I:
Proceeds from sale of shares		148,293		$	1,303,687			159,184		$	1,476,468
Reinvestment of distributions		114			1,126			—			—
Cost of shares repurchased		(51,818	)		(463,032	)		(28,038	)		(257,387	)

Net increase		96,589		$	841,781			131,146		$	1,219,081

At December 31, 2016, certain unaffiliated shareholders of record, including omnibus accounts, individually or collectively held greater than 10% of the net assets of the Funds as follows: Enhanced Core Bond—two collectively own 38%; Municipal Bond—two collectively own 68%; Municipal Enhanced—two collectively own 80%; Small Cap Core—three collectively own 65% and Small Cap Growth—two collectively own 89%. Transactions by these shareholders may have a material impact on their respective Fund.

h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS

The Funds may enter into repurchase agreements for temporary cash management purposes provided that the value of the underlying collateral, including accrued interest, will equal or exceed the value of the repurchase agreement during the term of the agreement. The underlying collateral for all repurchase agreements is held in safekeeping by the Fund’s custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.

Additionally, the Funds may enter into joint repurchase agreements for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Program”), provided that the value of the underlying collateral, including accrued interest, will equal or exceed the value of the joint repurchase agreement during the term of the agreement. The Funds participate on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for joint repurchase agreements is held in safekeeping by the 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.

Notes to Financial Statements (continued)

At December 31, 2016, the market value of repurchase agreements or joint repurchase agreements outstanding for Enhanced Core Bond, Small Cap Core and Small Cap Growth were $1,888,919, $26,583,633 and $151,675, respectively.

i. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES

The Funds may enter into securities transactions on a delayed delivery or when issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Funds’ Schedules of Portfolio Investments. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.

2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES

For each of the Funds, the Trusts have entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisors for the Funds (subject to Board approval) and monitors each subadvisor’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by GW&K Investment Management, LLC, (“GW&K”) who serves pursuant to a subadvisory agreement with the Investment Manager. AMG indirectly owns a majority interest in GW&K.

Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the year ended December 31, 2016, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:


Enhanced Core Bond	0.45	%
Municipal Bond^*
on first $25 million	0.35	%
on next $25 million	0.30	%
on next $50 million	0.25	%
on balance over $100 million	0.20	%
Municipal Enhanced	0.50	%
Small Cap Core	0.75	%
Small Cap Growth	0.75	%

^*	Effective October 1, 2016, Municipal Bond changed to a tiered management fee structure. Prior to October 1, 2016, the annual rate for Municipal Bond’s investment management fee was 0.35% of the Fund’s average daily net assets.

The Investment Manager has contractually agreed, through at least May 1, 2017, 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), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) of Enhanced Core Bond, Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth to 0.59%, 0.34%, 0.64%, 0.95% and 0.95%, respectively, of each Fund’s average daily net assets subject to later reimbursement by the Funds in certain circumstances. The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.

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

For the year ended December 31, 2016, each Fund’s expiration of reimbursement is as follows:


Expiration Period	Enhanced Core Bond		Municipal Bond
Less than 1 year	$	229,007	$	1,312,291
Within 2 years		208,328		2,123,295
Within 3 years		249,870		2,293,974

Total Amount Subject to Reimbursement	$	687,205	$	5,729,560


Expiration Period	Municipal Enhanced		Small Cap Core
Less than 1 year	$	232,205	$	378,845
Within 2 years		205,861		405,914
Within 3 years		222,096		314,503

Total Amount Subject to Reimbursement	$	660,162	$	1,099,262


Expiration Period	Small Cap Growth
Less than 1 year		—
Within 2 years	$	48,523
Within 3 years		57,742

Total Amount Subject to Reimbursement	$	106,265

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

Notes to Financial Statements (continued)

management aspects of managing the Funds’ operations, including administration and shareholder services to each Fund as further described in each Fund’s prospectus. Effective October 1, 2016, 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. Prior to October 1, 2016, Enhanced Core Bond, Municipal Bond, Municipal Enhanced, Small Cap Core and Small Cap Growth paid an administration fee under a similar contract at an annual rate of 0.20%, 0.25%, 0.25%, 0.25% and 0.25%, respectively, of each Fund’s average daily net assets.

The Administrator for Municipal Enhanced is voluntarily waiving a portion of its administration fee on 90% of the Fund’s net assets. The waiver, which may be modified or terminated at any time, amounts to 0.10% on the first $250 million of the Fund’s net assets and 0.15% on the remaining net assets. For the year ended December 31, 2016, the amount waived was $170,667 or 0.08%. Effective October 1, 2016, the administration fee waiver was discontinued.

The Funds are distributed by AMG Distributors, Inc. (the “Distributor”), a wholly owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of each Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Subject to the compensation arrangement discussed below, generally the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.

The Trusts have adopted a distribution and service plan (the “Plan”) with respect to the Class N shares of each Fund and Class C shares of Enhanced Core Bond, in accordance with the requirements of Rule 12b-1 under the 1940 Act and the requirements of the applicable rules of FINRA regarding asset based sales charges. Pursuant to the Plan, each Fund may make payments to the Distributor for its expenditures in financing any activity primarily intended to result in the sale of each such class of the Fund’s shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorizes payments to the Distributors up to 0.25% and 1.00% annually of each Fund’s average daily net assets attributable to Class N and Class C shares, respectively. The Plan further provides for periodic payments by the Trust or the Distributor to brokers, dealers and other financial intermediaries for providing shareholder services and for promotional and other sales related costs. The portion of payments made under the plan by Class C shares or Class N shares for shareholder servicing may not exceed an annual rate of 0.25% of the average daily net asset value of each Fund’s shares of that class owned by clients of such broker, dealer or financial intermediary.

For Enhanced Core Bond’s Class S shares and for each of the Class N and Class S shares of Municipal Bond, Municipal Enhanced and Small Cap Core, the Board has approved reimbursement payments to the Investment Manager for shareholder servicing expenses (“shareholder servicing fees”) incurred. Shareholder servicing fees include payments to 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 S 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 year ended December 31, 2016, were as follows:


Fund	Maximum Amount Approved			Actual Amount Incurred
Enhanced Core Bond
Class S		0.10	%		0.10	%
Municipal Bond
Class N		0.25	%		0.12	%
Class S*		0.25	%		0.15	%
Municipal Enhanced
Class N		0.25	%		0.25	%
Class S*		0.25	%		0.08	%
Small Cap Core
Class N		0.25	%		0.14	%
Class S*		0.25	%		0.12	%

^*	Effective October 1, 2016, the maximum annual rate was decreased to 0.15% from 0.25%.

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

The Securities and Exchange Commission granted an exemptive order that permits 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 administers the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. For the year ended December 31, 2016, the following Funds either borrowed from or lent to other Funds in the AMG Funds family: Enhanced Core Bond lent a maximum of $1,581,285 for 3 days earning interest in the amount of $109, and Small Cap Core lent a maximum of $2,796,955 for 11 days earning interest in the amount of $521. The interest amount is included in the Statement of Operations as interest income. Enhanced Core Bond borrowed $8,027,111 for one day paying interest of $234, and Municipal Bond borrowed a maximum of $6,022,988 for 8 days paying interest of $736. The interest expense amount is included in the Statement of Operations as miscellaneous expense. For the year ended

Notes to Financial Statements (continued)

December 31, 2016, Municipal Enhanced Yield and Small Cap Growth neither borrowed from nor lent to other Funds in the AMG Funds family. At December 31, 2016, the Funds had no interfund loans outstanding.

The Investment Manager paid the initial state registration fees in the amount of $12,623 on behalf of Small Cap Growth. This balance is reflected as a Payable to Affiliate on the Statement of Assets and Liabilities.

3. PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities (excluding short-term securities) for the year ended December 31, 2016, were as follows:


	Long-Term Securities (excluding U.S. Government Obligations)
Fund	Purchases		Sales
Enhanced Core Bond	$	90,766,795	$	70,171,548
Municipal Bond		771,202,823		599,672,749
Municipal Enhanced		415,322,292		422,090,105
Small Cap Core		73,420,435		86,831,451
Small Cap Growth		1,634,387		806,769

	U.S. Government Obligations
Fund	Purchases		Sales
Enhanced Core Bond	$	33,802,795	$	28,284,236

4. PORTFOLIO SECURITIES LOANED

The Funds participate in the Program providing for the lending of securities to qualified brokers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash and is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Funds’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in a separate omnibus account managed by BNYM, who is authorized to exclusively enter into joint overnight government repurchase agreements. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested.

At December 31, 2016, the value of the securities loaned and cash collateral received, were as follows:


Fund	Securities Loaned		Cash Collateral Received
Enhanced Core Bond	$	1,822,235	$	1,888,919
Small Cap Core		25,772,801		26,583,633
Small Cap Growth		146,315		151,675

5. COMMITMENTS AND CONTINGENCIES

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

6. MASTER NETTING AGREEMENTS

The Funds may enter into master netting agreements with their counterparties for the securities lending program and repurchase agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For security lending transactions, see Note 4.

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 December 31, 2016:


	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Gross Amount Not Offset in the Statement of Assets and Liabilities
			Financial Instruments Collateral		Cash Collateral Received		Net Amount
Enhanced Core Bond
Daiwa Capital Markets America	$	1,000,000	$	1,000,000		—		—
Nomura Securities International, Inc.		888,919		888,919		—		—

Totals	$	1,888,919	$	1,888,919		—		—

Small Cap Core
Citigroup Global Markets, Inc.	$	6,313,720	$	6,313,720		—		—
Daiwa Capital Markets America		6,313,720		6,313,720		—		—
Merrill Lynch Pierce Fenner & Smith, Inc.		1,328,753		1,328,753		—		—
Nomura Securities International, Inc.		6,313,720		6,313,720		—		—
State of Wisconsin Investment Board		6,313,720		6,313,720		—		—

Totals	$	26,583,633	$	26,583,633		—		—

Small Cap Growth
Citigroup Global Markets, Inc.	$	151,675	$	151,675		—		—

7. REGULATORY UPDATES

On October 13, 2016, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. At this time, management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.

8. 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 for the following: Effective February 27, 2017, the name of Small Cap Growth will be changed to AMG GW&K Small/Mid Cap Fund and related changes to the Fund’s principal investment strategies will take effect. Effective February 27, 2017, the management fee for Small Cap Growth will be reduced from 0.75% to 0.65%, the contractual expense limitation amount will be reduced from 0.95% to 0.85%, the contractual expense limitation term will be extended to May 1, 2018, and Class N Shares and I Shares will be authorized to pay up to 0.15% and 0.10%, respectively, in shareholder servicing fees. Effective February 27, 2017, the Enhanced Core Bond will rename existing Class I Shares to Class Z Shares and then rename Class S Shares to Class I Shares; Municipal Enhanced Yield and Small Cap Core will issue new Class Z Shares and Small Cap Growth will issue new Class N and Class Z Shares. Effective

February 27, 2017, the management fee for Enhanced Core Bond will be reduced from 0.45% to 0.30%, the contractual expense limitation amount will be reduced from 0.59% to 0.48%, and the contractual expense limitation term will be extended to May 1, 2018. Effective February 27, 2017, shareholder servicing fees paid by Class N Shares of the Municipal Bond will decrease from up to 0.25% to up to 0.15% and Class I Shares of the Fund will be authorized to pay up to 0.05% in shareholder servicing fees. Effective February 27, 2017, the management fee for Muni Enhanced Yield will be reduced from 0.50% to 0.45%, the contractual expense limitation amount will be reduced from 0.64% to 0.59%, the contractual expense limitation term will be extended to May 1, 2018, the maximum shareholder servicing fees paid by Class N Shares of Muni Enhanced Yield will decrease from up to 0.25% to up to 0.15% and Class I Shares of the Fund will be authorized to pay up to 0.05% in shareholder servicing fees. Effective February 27, 2017 the management fee for the Small Cap Core will be reduced from 0.75% to 0.70%, the contractual expense limitation amount will be reduced from 0.95% to 0.90%, the contractual expense limitation term will be extended to May 1, 2018, the maximum shareholder servicing fees paid by Class N Shares of the Fund will decrease from up to 0.25% to up to 0.15% and Class I Shares of the Fund will be authorized to pay up to 0.05% in shareholder servicing fees. Effective June 23, 2017, Municipal Bond, Municipal Enhanced Yield and Small Cap Core Class S Shares will be converted to Class I Shares.

Notes to Financial Statements (continued)

TAX INFORMATION (unaudited)

The AMG GW&K Enhanced Core Bond Fund, AMG GW&K Municipal Bond Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Small Cap Core Fund and AMG GW&K Small Cap Growth Fund each hereby designates the maximum amount allowable of its net taxable income as qualified dividends as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003. The 2016 Form 1099-DIV you receive for each Fund will show the tax status of all distributions paid to you during the year.

Pursuant to section 852 of the Internal Revenue Code, AMG GW&K Enhanced Core Bond Fund, AMG GW&K Municipal Bond Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Small Cap Core Fund and AMG GW&K Small Cap Growth Fund each hereby designates $0, $6,159,541, $4,450,883, $17,275,822 and $0, respectively, as a capital gain distribution with respect to the taxable year ended December 31, 2016, or if subsequently determined to be different, the net capital gains of such fiscal year.

Report of Independent Registered Public Accounting Firm

TO THE BOARD OF TRUSTEES OF AMG FUNDS AND AMG FUNDS II AND THE SHAREHOLDERS OF AMG GW&K ENHANCED CORE BOND FUND, AMG GW&K MUNICIPAL BOND FUND, AMG GW&K MUNICIPAL ENHANCED YIELD FUND, AMG GW&K SMALL CAP CORE FUND AND AMG GW&K SMALL CAP GROWTH FUND:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of AMG GW&K Enhanced Core Bond Fund, AMG GW&K Municipal Bond Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Small Cap Core Fund, and AMG GW&K Small Cap Growth Fund (the “Funds”) as of December 31 2016, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of December 31, 2016 by correspondence with the custodian and brokers, and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 28, 2017

AMG Funds

Trustees and Officers

The Trustees and Officers of the Trust, their business addresses, principal occupations for the past five years and ages are listed below. The Trustees provide broad supervision over the affairs of the Trust and the Funds. The Trustees are experienced executives who meet periodically throughout the year to oversee the Funds’ activities, review contractual arrangements with

companies that provide services to the Funds, and review the Funds’ performance. Unless otherwise noted, the address of each Trustee or Officer is the address of the Trust: 600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830.

There is no stated term of office for Trustees. Trustees serve until their

resignation, retirement or removal in accordance with the Trust’s

organizational documents and policies adopted by the Board from time to time. The Chairman of the Trustees, President, Treasurer and Secretary of the Trust are elected by the Trustees annually. Other officers hold office at the pleasure of the Trustees.

Independent Trustees

The following Trustees are not “interested persons” of the Trust within the meaning of the 1940 Act:


Number of Funds Overseen in Fund Complex		Name, Age, Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee
• Trustee since 2012		Bruce B. Bingham, 68
• Oversees 67 Funds in Fund Complex		Partner, Hamilton Partners (real estate development firm) (1987-Present); Director of The Yacktman Funds (2000-2012).

• Trustee since 1999—AMG Funds		Edward J. Kaier, 71
• Trustee since 2000—AMG Funds II • Oversees 67 Funds in Fund Complex		Attorney at Law and Partner, Teeters Harvey Marrone & Kaier LLP (2007-Present); Attorney at Law and Partner, Hepburn Willcox Hamilton & Putnam, LLP (1977-2007); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio).

• Trustee since 2013		Kurt A. Keilhacker, 53
• Oversees 69 Funds in Fund Complex		Managing Member, TechFund Capital (1997-Present); Managing Member, TechFund Europe (2000-Present); Board Member, 6wind SA, (2002-Present); Managing Member, Elementum Ventures (2013-Present); Trustee, Gordon College (2001-2016).

• Trustee since 2004—AMG Funds		Steven J. Paggioli, 66
• Trustee since 2000—AMG Funds II • Oversees 67 Funds in Fund Complex		Independent Consultant (2002-Present); Formerly Executive Vice President and Director, The Wadsworth Group (1986-2001); Executive Vice President, Secretary and Director, Investment Company Administration, LLC (1990-2001); Vice President, Secretary and Director, First Fund Distributors, Inc. (1991-2001); Trustee, Professionally Managed Portfolios (32 portfolios); Advisory Board Member, Sustainable Growth Advisors, LP; Independent Director, Chase Investment Counsel (2008–Present).

• Trustee since 2013		Richard F. Powers III, 71
• Oversees 67 Funds in Fund Complex		Adjunct Professor, Boston College (2010-2013); President and CEO of Van Kampen Investments Inc. (1998-2003).

• Independent Chairman		Eric Rakowski, 58
• Trustee since 1999—AMG Funds • Trustee since 2000—AMG Funds II • Oversees 69 Funds in Fund Complex		Professor, University of California at Berkeley School of Law (1990-Present); Director of Harding, Loevner Funds, Inc. (9 portfolios); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio).

• Trustee since 2013		Victoria L. Sassine, 51
• Oversees 69 Funds in Fund Complex		Lecturer, Babson College (2007 – Present).

• Trustee since 2004—AMG Funds		Thomas R. Schneeweis, 69
• Trustee since 2000—AMG Funds II • Oversees 67 Funds in Fund Complex		Professor Emeritus, University of Massachusetts (2013-Present); Partner, S Capital Wealth Advisors (2015-Present); President, TRS Associates (1982-Present); Board Member, Chartered Alternative Investment Association (“CAIA”) (2002-Present); Director, CAIA Foundation (Education) (2010-Present); Director, Institute for Global Asset and Risk Management (Education) (2010-Present); Partner, S Capital Management, LLC (2007-2015); Director, CISDM at the University of Massachusetts, (1996-2013); President, Alternative Investment Analytics, LLC, (formerly Schneeweis Partners, LLC) (2001-2013); Professor of Finance, University of Massachusetts (1977-2013).

Interested Trustees

Each Trustee in the following table is an “interested person” of the Trust within the meaning of the 1940 Act. Ms. Carsman is an interested person of the Trust within the meaning of the 1940 Act by virtue of her position with, and interest in securities of AMG.


Number of Funds Overseen in Fund Complex		Name, Age, Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee
• Trustee since 2011		Christine C. Carsman, 64
• Oversees 69 Funds in Fund Complex		Executive Vice President, Deputy General Counsel and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2017-Present); Senior Vice President and Deputy General Counsel, Affiliated Managers Group, Inc. (2011-2016); Senior Vice President and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2007-2011); Vice President and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2004-2007); Secretary and Chief Legal Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2004-2011); Senior Counsel, Vice President and Director of Operational Risk Management and Compliance, Wellington Management Company, LLP (1995-2004).

AMG Funds

Trustees and Officers (continued)



Officers
Position(s) Held with Fund and Length of Time Served		Name, Age, Principal Occupation(s) During Past 5 Years
• President since 2014		Jeffrey T. Cerutti, 49
• Principal Executive Officer since 2014 Chief Executive Officer since 2016		Chief Executive Officer, AMG Funds LLC (2014-Present); Director, President and Principal, AMG Distributors, Inc. (2014-Present); President and Principal Executive Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2014-Present); Chief Executive Officer, President and Principal Executive Officer, AMG Funds IV, (2015-Present); Chief Executive Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2016-Present); Chief Executive Officer, Aston Asset Management, LLC (2016); President, VP Distributors, (2011-2014); Executive Vice President, Head of Distribution, Virtus Investment Partners, Inc. (2010-2014); Managing Director, Head of Sales, UBS Global Asset Management (2001-2010).

• Chief Operating Officer since 2007		Keitha L. Kinne, 58 Chief Operating Officer, AMG Funds LLC (2007-Present); Chief Investment Officer, AMG Funds LLC (2008-Present); Chief Operating Officer, AMG Distributors, Inc. (2007-Present); Chief Operating Officer, AMG Funds, AMG Funds I, AMG Funds II, and AMG Funds III (2007-Present); Chief Operating Officer, AMG Funds IV, (2016-Present); Chief Operating Officer and Chief Investment Officer, Aston Asset Management, LLC (2016); President and Principal Executive Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2012-2014); Managing Partner, AMG Funds LLC (2007-2014); President, AMG Funds (2012-2014); President, AMG Distributors, Inc. (2012-2014); Managing Director, Legg Mason & Co., LLC (2006-2007); Managing Director, Citigroup Asset Management (2004-2006).

• Secretary since 2015		Mark J. Duggan, 52
• Chief Legal Officer since 2015		Senior Vice President and Senior Counsel, AMG Funds LLC (2015-Present); Secretary and Chief Legal Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2015-Present); Secretary and Chief Legal Officer, AMG Funds IV, (2015-Present); Attorney, K&L Gates, LLP (2009-2015).

• Chief Financial Officer since 2007 • AMG Funds Treasurer since 1999 • AMG Funds II Treasurer since 2000 • Principal Financial Officer since 2008		Donald S. Rumery, 58 Senior Vice President, Director of Mutual Funds Services, AMG Funds LLC (2005-Present); Principal Financial Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2008-Present); Treasurer, Chief Financial Officer, Principal Financial Officer and Principal Accounting Officer, AMG Funds IV, (2016-Present); Treasurer, AMG Funds, (1999-Present); Treasurer, AMG Funds III (1995-Present); Treasurer, (AMG Funds I and AMG Funds II (2000-Present); Chief Financial Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2007-Present); Treasurer and Chief Financial Officer, AMG Distributors, Inc. (2000-2012); Vice President, AMG Funds LLC, (1994-2004).

• Chief Compliance Officer since 2016		Gerald F. Dillenburg, 50 Chief Compliance Officer and Sarbanes Oxley Code of Ethics Compliance Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2016-Present); Chief Compliance Officer, AMG Funds IV (1996-Present); Sarbanes-Oxley Code of Ethics Compliance Officer, AMG Funds IV (2016-Present); Chief Compliance Officer, Aston Asset Management, LLC (2006-2016); Chief Operating Officer, Aston Funds (2003-2016); Secretary, Aston Funds (1996-2015); Chief Financial Officer, Aston Funds (1997-2010); Chief Financial Officer, Aston Asset Management, LLC (2006-2010); Treasurer, Aston Funds (1996-2010).

• Anti-Money Laundering Compliance Officer since 2014		Patrick J. Spellman, 42 Senior Vice President, Chief Compliance Officer, AMG Funds LLC (2011-Present); Chief Compliance Officer, AMG Distributors, Inc., (2010-Present); Anti-Money Laundering Compliance Officer, AMG Funds, AMG Funds I, AMG Funds II, and AMG Funds III (2014-Present); Anti-Money Laundering Officer, AMG Funds IV, (2016-Present); Compliance Manager, Legal and Compliance, Affiliated Managers Group, Inc. (2005-2011).

• Assistant Secretary since 2016		Maureen A. Meredith, 31 Vice President, Counsel, AMG Funds LLC (2015-Present); Assistant Secretary, AMG Funds, AMG Funds I, AMG Funds II, AMG Funds III and AMG Funds IV (2016-Present); Associate, Ropes & Gray LLP (2011-2015); Law Fellow, Massachusetts Appleseed Center for Law and Justice (2010-2011).

• Assistant Secretary since 2016		Diana M. Podgorny, 37 Vice President, Counsel, AMG Funds LLC (2016-Present); Assistant Secretary, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2016-Present); Assistant Secretary, AMG Funds IV (2010-Present); Vice President, Counsel, Aston Asset Management, LLC (2010-2016).

• Assistant Secretary since 2016		Marc Peirce, 54 Vice President, Compliance Officer, AMG Funds LLC (2016-Present); Assistant Secretary, AMG Funds IV (2001-Present); Assistant Secretary, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2016-Present); Vice President, Aston Asset Management, LLC (1998-2016); Assistant Chief Compliance Officer, Aston Asset Management, LLC (2006-2016).

THIS PAGE INTENTIONALLY LEFT BLANK

LOGO

INVESTMENT MANAGER AND ADMINISTRATOR

AMG Funds LLC

600 Steamboat Road Suite 300

Greenwich, CT 06830

(800) 835-3879

DISTRIBUTOR

AMG Distributors, Inc.

600 Steamboat Road, Suite 300

Greenwich, CT 06830

(800) 835-3879

SUBADVISOR

GW&K Investment Management, LLC

222 Berkeley St.

Boston, MA 02116

CUSTODIAN

The Bank of New York Mellon

2 Hanson Place

Brooklyn, NY 11217

LEGAL COUNSEL

Ropes & Gray LLP

Prudential Tower, 800 Boylston Street

Boston, MA 02199-3600

TRANSFER AGENT

BNY Mellon Investment Servicing (US) Inc.

Attn: AMG Funds

P.O. Box 9769 Providence, RI 02940

(800) 548-4539

FOR MANAGERSCHOICE^TMONLY

AMG Funds

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

P.O. Box 9847

Providence, RI 02940-8047

(800) 358-7668

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

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

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

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


www.amgfunds.com \|

LOGO

AFFILIATE SUBADVISED FUNDS

BALANCED FUNDS

AMG Chicago Equity Partners Balanced

Chicago Equity Partners, LLC

AMG FQ Global Risk-Balanced

First Quadrant, L.P.

EQUITY FUNDS

AMG Chicago Equity Partners Small Cap Value

Chicago Equity Partners, LLC

AMG FQ Tax-Managed U.S. Equity

AMG FQ U.S. Equity

First Quadrant, L.P.

AMG Frontier Small Cap Growth

Frontier Capital Management Company, LLC

AMG GW&K Small Cap Core

AMG GW&K Small Cap Growth

AMG GW&K U.S. Small Cap Growth

GW&K Investment Management, LLC

AMG Renaissance International Equity

AMG Renaissance Large Cap Growth

The Renaissance Group LLC

AMG River Road Dividend All Cap Value

AMG River Road Dividend All Cap Value II

AMG River Road Focused Absolute Value

AMG River Road Long-Short

AMG River Road Select Value

AMG River Road Small Cap Value

River Road Asset Management, LLC

AMG SouthernSun Small Cap

AMG SouthernSun Global Opportunities

AMG SouthernSun U.S. Equity

SouthernSun Asset Management, LLC

AMG Systematic Large Cap Value

AMG Systematic Mid Cap Value

Systematic Financial Management, L.P.

AMG TimesSquare All Cap Growth

AMG TimesSquare Emerging Markets Small Cap

AMG TimesSquare International Small Cap

AMG TimesSquare Mid Cap Growth

AMG TimesSquare Small Cap Growth

TimesSquare Capital Management, LLC

AMG Trilogy Emerging Markets Equity

AMG Trilogy Emerging Wealth Equity

AMG Trilogy Global Equity

AMG Trilogy International Small Cap

Trilogy Global Advisors, L.P.

AMG Yacktman

AMG Yacktman Focused

AMG Yacktman Focused Fund—Security Selection Only

AMG Yacktman Special Opportunities

Yacktman Asset Management LP

FIXED INCOME FUNDS

AMG GW&K Core Bond

AMG GW&K Enhanced Core Bond

AMG GW&K Municipal Bond

AMG GW&K Municipal Enhanced Yield

GW&K Investment Management, LLC

OPEN-ARCHITECTURE FUNDS

ALTERNATIVE FUNDS

AMG Managers Lake Partners LASSO Alternative

Lake Partners, Inc.

BALANCED FUNDS

AMG Managers Montag & Caldwell Balanced

Montag & Caldwell, LLC

EQUITY FUNDS

AMG Managers Brandywine

AMG Managers Brandywine Advisors Mid Cap Growth

AMG Managers Brandywine Blue

Friess Associates, LLC

AMG Managers Cadence Capital Appreciation

AMG Managers Cadence Emerging Companies

AMG Managers Cadence Mid Cap

Cadence Capital Management, LLC

AMG Managers CenterSquare Real Estate

CenterSquare Investment Management, Inc.

AMG Managers Emerging Opportunities

Lord, Abbett & Co. LLC

WEDGE Capital Management L.L.P.

Next Century Growth Investors LLC

RBC Global Asset Management (U.S.) Inc.

AMG Managers Essex Small/Micro Cap Growth

Essex Investment Management Co., LLC

AMG Managers Fairpointe Focused Equity

AMG Managers Fairpointe Mid Cap

Fairpointe Capital LLC

AMG Managers Guardian Capital Global Dividend

Guardian Capital LP

AMG Managers LMCG Small Cap Growth

LMCG Investments, LLC

AMG Managers Montag & Caldwell Growth

AMG Managers Montag & Caldwell Mid Cap Growth

Montag & Caldwell, LLC

AMG Managers Pictet International

Pictet Asset Management Limited

AMG Managers Silvercrest Small Cap

Silvercrest Asset Management Group LLC

AMG Managers Skyline Special Equities

Skyline Asset Management, L.P.

AMG Managers Special Equity

Ranger Investment Management, L.P.

Lord, Abbett & Co. LLC

Smith Asset Management Group, L.P.

Federated MDTA LLC

AMG Managers Value Partners Asia Dividend

Value Partners Hong Kong Limited

FIXED INCOME FUNDS

AMG Managers Amundi Intermediate Government

AMG Managers Amundi Short Duration Government

Amundi Smith Breeden LLC

AMG Managers Doubleline Core Plus Bond

DoubleLine Capital LP

AMG Managers Global Income Opportunity

AMG Managers Loomis Sayles Bond

Loomis, Sayles & Co., L.P.

AMG Managers High Yield

J.P. Morgan Investment Management Inc.


AR020-1216		\| www.amgfunds.com


				ANNUAL REPORT

AMG Funds

December 31, 2016

AMG Chicago Equity Partners Balanced Fund

Class N: MBEAX | Class I: MBESX | Class Z: MBEYX

AMG Chicago Equity Partners Small Cap Value Fund

Class N: CESVX | Class I: CESSX | Class Z: CESIX

AMG Managers High Yield Fund

Class N: MHHAX | Class I: MHHYX |

AMG Managers Amundi Intermediate Government Fund

(formerly AMG Managers Intermediate Duration Government Fund)

Class S: MGIDX |

AMG Managers Amundi Short Duration Government Fund

(formerly AMG Managers Short Duration Government Fund)

Class S: MGSDX |


www.amgfunds.com \|		AR002-1216

AMG Funds

Annual Report—December 31, 2016


TABLE OF CONTENTS	PAGE
LETTER TO SHAREHOLDERS		2

ABOUT YOUR FUND’S EXPENSES		3

PORTFOLIO MANAGER’S COMMENTS, FUND SNAPSHOTS, AND SCHEDULES OF PORTFOLIO INVESTMENTS

AMG Chicago Equity Partners Balanced Fund		4
AMG Chicago Equity Partners Small Cap Value Fund		17
AMG Managers High Yield Fund		24
AMG Managers Amundi Intermediate Government Fund		40
AMG Managers Amundi Short Duration Government Fund		49

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS		59

FINANCIAL STATEMENTS

Statement of Assets and Liabilities		66
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts

Statement of Operations		69
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the year

Statements of Changes in Net Assets		70
Detail of changes in assets for the past two years

Financial Highlights		72
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets

Notes to Financial Statements		79
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM		89

TRUSTEES AND OFFICERS		90


				Letter to Shareholders

DEAR SHAREHOLDER:

Respectfully,

LOGO

Jeffery Cerutti

President

AMG Funds


Average Annual Total Returns		Periods ended December 31, 2016
Stocks:		1 Year			3 Years			5 Years
Large Caps	(S&P 500 Index)		11.96	%		8.87	%		14.66	%
Small Caps	(Russell 2000^® Index)		21.31	%		6.74	%		14.46	%
	(MSCI All Country World
International	ex-USA Index)		4.50	%		(1.78	)%		5.00	%
Bonds:
	(Bloomberg Barclays U.S.
Investment Grade	Aggregate Bond Index)		2.65	%		3.03	%		2.23	%
	(Bloomberg Barclays U.S.
High Yield	Corporate High Yield Index)		17.13	%		4.66	%		7.36	%
	(Bloomberg Barclays
Tax-exempt	Municipal Bond Index)		0.25	%		4.14	%		3.28	%
	(BofA Merrill Lynch 6 month
Treasury Bills	U.S. Treasury Bill)		0.67	%		0.34	%		0.27	%

About Your Fund’s Expenses

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES


				Beginning		Ending
	Expense			Account		Account		Expenses
	Ratio for			Value		Value		Paid During
Six Months Ended December 31, 2016	the Period			7/01/16		12/31/16		the Period*
AMG Chicago Equity Partners Balanced Fund
Class N
Based on Actual Fund Return		1.09	%	$	1,000	$	1,026	$	5.55
Hypothetical (5% return before expenses)		1.09	%	$	1,000	$	1,020	$	5.53
Class I
Based on Actual Fund Return		0.94	%	$	1,000	$	1,027	$	4.79
Hypothetical (5% return before expenses)		0.94	%	$	1,000	$	1,020	$	4.77
Class Z
Based on Actual Fund Return		0.84	%	$	1,000	$	1,028	$	4.28
Hypothetical (5% return before expenses)		0.84	%	$	1,000	$	1,021	$	4.27
AMG Chicago Equity Partners Small Cap Value Fund
Class N
Based on Actual Fund Return		1.35	%	$	1,000	$	1,237	$	7.59
Hypothetical (5% return before expenses)		1.35	%	$	1,000	$	1,018	$	6.85
Class I
Based on Actual Fund Return		1.05	%	$	1,000	$	1,240	$	5.91
Hypothetical (5% return before expenses)		1.05	%	$	1,000	$	1,020	$	5.33
Class Z
Based on Actual Fund Return		0.95	%	$	1,000	$	1,241	$	5.35
Hypothetical (5% return before expenses)		0.95	%	$	1,000	$	1,020	$	4.82
AMG Managers High Yield Fund
Class N
Based on Actual Fund Return		1.15	%	$	1,000	$	1,070	$	5.98
Hypothetical (5% return before expenses)		1.15	%	$	1,000	$	1,019	$	5.84
Class I
Based on Actual Fund Return		0.90	%	$	1,000	$	1,072	$	4.69
Hypothetical (5% return before expenses)		0.90	%	$	1,000	$	1,021	$	4.57
AMG Managers Amundi Intermediate Government Fund
Class S
Based on Actual Fund Return		0.88	%	$	1,000	$	987	$	4.40
Hypothetical (5% return before expenses)		0.88	%	$	1,000	$	1,021	$	4.47
AMG Managers Amundi Short Duration Government Fund
Class S
Based on Actual Fund Return		0.80	%	$	1,000	$	1,006	$	4.03
Hypothetical (5% return before expenses)		0.80	%	$	1,000	$	1,021	$	4.06

*	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), then divided by 366.

AMG Chicago Equity Partners Balanced Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2016, the AMG Chicago Equity Partners Balanced Fund (Class N)1 (the “Fund”) returned 4.6%, compared to the 8.5% return for its benchmark, which consists of 60% of the return of the Russell 1000^® Index and 40% of the return of the Bloomberg Barclays U.S. Aggregate Bond Index.

The portfolio is managed to emphasize stock selection while also using our proprietary models to adjust size, style and allocation exposures. The Fund experienced underperformance in both equities and fixed income. For the equity portion, the preference for growth over value hurt performance on average, while the modest small-cap exposure helped. However, the stock selection model was mixed over the year — weaker early on with improvement toward the end of the year. The fixed-income portion of the Fund underperformed as a result of an underweight to corporate bonds, as well as an emphasis on higher-quality issuers. More detailed attribution follows.

EQUITY

2016 was a year of reversals, with preferences shifting every couple of months. Recession concerns earlier in the year eased as economic data improved and oil prices stabilized. Continued accommodative U.S. Federal Reserve (the “Fed”) policy prolonged the low-rate environment until late in fourth quarter, resulting in some investors reaching for yield for the first six months of the year and supporting the risk-on trade. In the third quarter, the bond proxy stocks pulled back, and the cheap, high beta stocks performed well in the cyclical and technology sectors. In the fourth quarter, all eyes were on the election and the Fed. The surprise Trump victory resulted in strong equity markets, with sector performance driven by the perceived winners and losers of Trump policy. The Fed behaved as expected in the quarter, finally raising rates 0.25%, and corporate earnings turned the corner as third-quarter numbers came in positive after five consecutive quarters of negative earnings growth.

U.S. stocks outperformed other asset classes in 2016. Small cap stocks strongly outpaced their large and mid-cap counterparts for the year. Value had a strong year despite a weaker third quarter, outperforming growth by 20% in small cap stocks (as measured by the Russell 2000^® Growth and Russell 2000^® Value Indexes) and 10% in large cap (as measured by the Russell 1000^® Growth and Russell 1000^® Value Indexes). Financials and energy sectors performed well and health care performed the worst. Despite volatility (CBOE Volatility Index — VIX) spiking around the election, it finished the year down (23)%. Over the last 12 months, the value and quality factor groups performed the best, while the growth factor group was mixed and the momentum factor group was generally weak across sectors. The stock selection model had challenges during parts of the year, and top-ranked stocks underperformed in non cyclicals, cyclicals and energy. The stock selection model improved in the fourth quarter, as investors preferred not only cheap stocks, but those with good quality and strong growth expectations. The portfolio’s tilt toward growth negatively impacted performance, while the small cap exposure helped performance for most of the year. Overall, the equity portion of the Fund underperformed its benchmark for the year. While it has been a challenging year for the stock selection model and active management in general, we saw improvement in the fourth quarter. It has been our experience that the market rewards a broad set of fundamental factors more often than not. This is why we stick to our disciplined process at all times, even during market environments such as these. Historically, we have been rewarded for doing so, as we have seen outperformance in periods following weakness.

Our research has shown that constructing a well-diversified portfolio of companies with attractive valuation ratios, quality balance sheets and positive growth and momentum expectations, built through a disciplined, risk-controlled process, delivers consistent excess returns. Overall, our philosophy will not change based on short-term trends or conditions in the market. We will

continue to use our disciplined approach to provide added value at controlled levels of risk.

FIXED INCOME

For the calendar year, interest rates rose modestly and corporate spreads declined. However, within 2016, both rates and spreads experienced significant volatility. Some of the most significant influences on rates and spreads included Fed policy, economic fundamentals, “Brexit” and the U.S. presidential election. The tone of the market for risk assets started the year quite negative but finished the year with cautious optimism. The federal funds rate increase in December 2015 and declines in earnings and revenue growth had resulted in a meaningful “risk-off” trade for most of 2015 and early 2016. The market volatility resulted in an abrupt change in tone from Fed officials, indicating a much slower pace for future rate increases. This policy shift occurred in early February 2016 and from that point on, risk sectors of the market performed very well. However, as mentioned above, the Fed raised rates in December 2016, signaling a policy shift from easing to tightening.

Throughout 2016, the fixed-income portfolio favored government securities and higher-quality corporate bonds. A combination of weak fundamentals, rich valuations, an increase in lending standards and a significant shift in Fed policy reinforced our conviction that portfolio risk should be at the lower end of our range. Our outlook continues to be for wider spreads for corporate bonds, which we believe should provide near-term outperformance and longer-term opportunities. An environment that includes improving fundamentals and better compensation for taking risk would result in an increase in our exposure to corporate bonds. In our view, current circumstances support our strategy of maintaining a high-quality bias to fixed-income portfolios. We will continue to monitor inputs to our investment process for indications of improving conditions and opportunity. We continue to believe our positioning is prudent and in-line with our stated objectives.

AMG Chicago Equity Partners Balanced Fund

Portfolio Manager’s Comments (continued)

¹	Prior to October 1, 2016, the Fund’s Class N shares were known as Investor Shares.

This commentary reflects the viewpoints of the portfolio manager, Chicago Equity Partners, LLC, as of December 31, 2016 and is not intended as a forecast or guarantee of future results and are subject to change without notice.

CUMULATIVE TOTAL RETURN PERFORMANCE

The AMG Chicago Equity Partners Balanced Fund’s cumulative total return is based on the daily change in net asset value (NAV), and

assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in the AMG Chicago Equity Partners Balanced Fund’s Class N (formerly Investor Class) shares on December 31, 2006 to a $10,000 investment made in the benchmarks for the same time period. The graph and table do not

reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the indices exclude expenses. Total returns for the Fund would have been lower had certain expenses not been reduced.

AMG Chicago Equity Partners Balanced Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE (continued)

LOGO

The table below shows the average annual total returns for the AMG Chicago Equity Partners Balanced Fund, the Russell 1000^® Index and the Bloomberg Barclays U.S. Aggregate Bond Index for the same time periods ended December 31, 2016.


	One			Five			Ten			Since			Inception
Average Annual Total Returns¹	Year			Years			Years			Inception			Date
AMG Chicago Equity Partners Balanced Fund ^2,3,4,5,6,7
Class N⁸		4.59	%		8.57	%		6.19	%		7.69	%		01/02/97
Class I⁸		4.79	%		—			—			8.18	%		11/30/12
Class Z⁸		4.82	%		8.83	%		6.46	%		8.07	%		01/02/97
60% Russell 1000^® Index⁹/40% Bloomberg Barclays U.S. Aggregate Bond Index¹⁰		8.47	%		9.80	%		6.63	%		7.41	%		01/02/97	^†
Bloomberg Barclays U.S. Aggregate Bond Index¹⁰		2.65	%		2.23	%		4.34	%		5.31	%		01/02/97	^†
Russell 1000^® Index⁹		12.05	%		14.69	%		7.08	%		7.90	%		01/02/97	^†

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

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

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	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.

⁵	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.

⁶	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.

⁷	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.

⁸	Effective October 1, 2016, the Investor Class, Service Class and Institutional Class of AMG Chicago Equity Partners Balanced Fund were renamed Class N, Class I and Class Z, respectively.

⁹

The Russell 1000^® Index measures the performance of approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® represents approximately 92% of the U.S. market. The Russell 1000^® Index is unmanaged, is not available for investment, and does not incur expenses.

¹⁰

The Bloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, is not available for investment, and does not incur expenses.

The Russell 1000^® Index is a trademark of the London Stock Exchange Group companies.

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

AMG Chicago Equity Partners Balanced Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


	AMG Chicago Equity Partners
Sector	Balanced Fund*
U.S. Government and Agency Obligations		32.7	%
Information Technology		14.9	%
Industrials		10.1	%
Consumer Discretionary		9.3	%
Health Care		8.6	%
Financials		8.6	%
Consumer Staples		4.7	%
Energy		2.8	%
Real Estate		2.2	%
Materials		1.9	%
Utilities		1.9	%
Telecommunication Services		1.7	%
Other Assets and Liabilities		0.6	%

*	As a percentage of net assets.

TOP TEN HOLDINGS


	%of
Security Name	Net Assets
U.S. Treasury Bonds, 2.750%, 08/15/42**		2.5	%
U.S. Treasury Notes, 2.25%, 11/15/24**		2.0	%
U.S. Treasury Notes, 2.500%, 05/15/24**		2.0	%
Apple, Inc.		1.6	%
U.S. Treasury Notes, 1.875%, 11/30/21**		1.6	%
Alphabet, Inc., Class A		1.6	%
U.S. Treasury Notes, 1.375%, 05/31/20		1.5	%
Facebook, Inc., Class A		1.5	%
FHLMC Gold Pool, 3.500%, 01/01/46**		1.4	%
Microsoft Corp.		1.2	%

Top Ten as a Group		16.9	%

**	Top Ten Holdings as of June 30, 2016.

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments

December 31, 2016


	Shares		Value
Common Stocks—61.8%
Consumer Discretionary—9.3%
Amazon.com, Inc.^*		2,120	$	1,589,724
AMC Entertainment Holdings, Inc., Class A¹		160		5,384
American Axle & Manufacturing Holdings, Inc.^*		1,180		22,774
American Eagle Outfitters, Inc.		1,805		27,382
America’s Car-Mart, Inc.^*		190		8,313
Asbury Automotive Group, Inc.^*		540		33,318
Beazer Homes USA, Inc.^*		2,100		27,930
Big 5 Sporting Goods Corp.		1,570		27,240
Big Lots, Inc.¹		2,380		119,500
Bloomin’ Brands, Inc.		790		14,244
Boyd Gaming Corp.^*		1,040		20,977
Burlington Stores, Inc.^*		7,770		658,508
Cable One, Inc.		750		466,298
CBS Corp., Class B		18,040		1,147,705
Charter Communications, Inc., Class A^*		2,450		705,404
The Cheesecake Factory, Inc.		350		20,958
Chico’s FAS, Inc.		1,620		23,312
The Children’s Place, Inc.		250		25,238
Choice Hotels International, Inc.		3,220		180,481
Comcast Corp., Class A		9,550		659,428
Cooper-Standard Holding, Inc.^*		190		19,642
Darden Restaurants, Inc.		2,780		202,162
Dave & Buster’s Entertainment, Inc.^*		250		14,075
Dollar Tree, Inc.^*		1,390		107,280
Domino’s Pizza, Inc.		3,610		574,856
The Finish Line, Inc., Class A¹		950		17,870
Francesca’s Holdings Corp.^*		720		12,982
Genuine Parts Co.		670		64,012
Hasbro, Inc.		2,370		184,362
The Home Depot, Inc.		9,260		1,241,581
ILG, Inc.		795		14,445
International Game Technology PLC		1,600		40,832
The Interpublic Group of Cos., Inc.		10,690		250,253
Intrawest Resorts Holdings, Inc.^*		1,020		18,207
Johnson Outdoors, Inc., Class A		170		6,747
Las Vegas Sands Corp.		4,870		260,107
La-Z-Boy, Inc.		290		9,004
LifeLock, Inc.^*		190		4,545
Lowe’s Cos., Inc.		3,210		228,295
Lululemon Athletica, Inc.^*		3,600		233,964
Malibu Boats, Inc., Class A^*		630		12,020
Marriott Vacations Worldwide Corp.		260		22,061
Mattel, Inc.		1,850		50,968
MCBC Holdings, Inc.		1,780		25,952


	Shares		Value
McDonald’s Corp.		2,790	$	339,599
MGM Resorts International^*		15,230		439,081
Michael Kors Holdings, Ltd.^*		2,240		96,275
Murphy USA, Inc.^*		1,930		118,637
NACCO Industries, Inc., Class A		280		25,354
Nordstrom, Inc.		2,440		116,949
Omnicom Group, Inc.		2,300		195,753
O’Reilly Automotive, Inc.^*		1,120		311,819
Papa John’s International, Inc.		240		20,539
Perry Ellis International, Inc.^*		640		15,942
Pool Corp.		6,400		667,776
Ralph Lauren Corp.		450		40,644
Regal Entertainment Group, Class A¹		26,530		546,518
Ross Stores, Inc.		3,930		257,808
Scripps Networks Interactive, Inc., Class A		1,660		118,474
Sirius XM Holdings, Inc.¹		56,800		252,760
Strayer Education, Inc.^*		130		10,482
Target Corp.		5,155		372,346
Tenneco, Inc.^*		1,150		71,840
Tile Shop Holdings, Inc.^*		645		12,610
Tower International, Inc.		430		12,190
Tribune Media Co., Class A		1,330		46,523
Tupperware Brands Corp.		15,050		791,931
Ulta Salon Cosmetics & Fragrance, Inc.^*		1,640		418,102
Urban Outfitters, Inc.^*		5,440		154,931
Vail Resorts, Inc.		3,280		529,097
VF Corp.		2,590		138,176
Visteon Corp.		4,790		384,829
The Walt Disney Co.		1,075		112,036
Whirlpool Corp.		470		85,432
Wolverine World Wide, Inc.		1,170		25,682
World Wrestling Entertainment, Inc., Class A		1,290		23,736
Total Consumer Discretionary				16,154,211
Consumer Staples—4.7%
Altria Group, Inc.		14,845		1,003,819
Archer-Daniels-Midland Co.		2,180		99,517
Avon Products, Inc.^*		720		3,629
Blue Buffalo Pet Products, Inc.^*		7,340		176,454
Brown-Forman Corp., Class B		3,100		139,252
Central Garden and Pet Co., Class A^*		400		12,360
The Coca-Cola Co.		2,050		84,993
Colgate-Palmolive Co.		1,220		79,837
ConAgra Brands, Inc.		5,140		203,287
Constellation Brands, Inc., Class A		1,160		177,840
CVS Health Corp.		1,480		116,787
Darling Ingredients, Inc.^*		950		12,264

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Consumer Staples—4.7% (continued)
Dean Foods Co.		685	$	14,919
Dr. Pepper Snapple Group, Inc.		5,820		527,699
Energizer Holdings, Inc.		1,830		81,636
Fresh Del Monte Produce, Inc.		790		47,898
Hormel Foods Corp.		6,030		209,904
Ingredion, Inc.		4,530		566,069
The JM Smucker Co.		1,850		236,911
Lamb Weston Holdings, Inc.^*		3,230		122,256
Lancaster Colony Corp.		215		30,399
Medifast, Inc.		550		22,896
Mondelez International, Inc., Class A		3,820		169,341
National Beverage Corp.		425		21,709
Natural Health Trends Corp.		860		21,371
Nu Skin Enterprises, Inc., Class A		1,010		48,258
PepsiCo, Inc.		13,420		1,404,135
Philip Morris International, Inc.		6,570		601,089
Post Holdings, Inc.^*,1		1,200		96,468
The Procter & Gamble Co.		7,210		606,217
Reynolds American, Inc.		1,140		63,886
Sanderson Farms, Inc.		50		4,712
SpartanNash Co.		1,055		41,715
Sysco Corp.		5,870		325,022
Tyson Foods, Inc., Class A		4,980		307,166
Universal Corp.		450		28,688
Walgreens Boots Alliance, Inc.		2,490		206,072
Wal-Mart Stores, Inc.		3,850		266,112
Total Consumer Staples				8,182,587
Energy—2.8%
Anadarko Petroleum Corp.		2,020		140,855
Apache Corp.		5,210		330,679
Baker Hughes, Inc.		2,810		182,566
Cabot Oil & Gas Corp.		4,870		113,763
Carrizo Oil & Gas, Inc.^*		500		18,675
Chevron Corp.		6,455		759,754
Cimarex Energy Co.		1,560		212,004
ConocoPhillips		3,840		192,538
CONSOL Energy, Inc.		3,810		69,456
Denbury Resources, Inc.^*		810		2,981
Devon Energy Corp.		6,790		310,099
Diamond Offshore Drilling, Inc.^*,1		3,940		69,738
EOG Resources, Inc.		540		54,594
EQT Corp.		780		51,012
Evolution Petroleum Corp.		610		6,100
Exxon Mobil Corp.		11,095		1,001,435
Fairmount Santrol Holdings, Inc.^*		3,270		38,553


	Shares		Value
Green Plains, Inc.		550	$	15,318
Jones Energy, Inc., Class A^*		1,350		6,750
Matrix Service Co.^*		740		16,798
McDermott International, Inc.^*		8,880		65,623
Nabors Industries, Ltd.		16,440		269,616
National Oilwell Varco, Inc.		3,300		123,552
Navios Maritime Acquisition Corp.		3,960		6,732
Noble Corp. PLC		11,020		65,238
Noble Energy, Inc.		1,720		65,463
Oasis Petroleum, Inc.^*		1,810		27,403
Occidental Petroleum Corp.		2,520		179,500
Oceaneering International, Inc.		2,310		65,165
Pacific Ethanol, Inc.^*		1,690		16,055
Parsley Energy, Inc., Class A^*		5,710		201,220
RPC, Inc.¹		2,830		56,062
RSP Permian, Inc.^*		530		23,649
Sanchez Energy Corp.^*,1		2,200		19,866
Valero Energy Corp.		1,510		103,163
Total Energy				4,881,975
Financials—7.0%
Access National Corp.¹		420		11,659
Aflac, Inc.		5,040		350,784
AG Mortgage Investment Trust, Inc.		1,880		32,167
AGNC Investment Corp.		4,710		85,392
The Allstate Corp.		5,160		382,459
Ambac Financial Group, Inc.^*		440		9,900
American International Group, Inc.		1,520		99,271
Ameriprise Financial, Inc.		970		107,612
Argo Group International Holdings, Ltd.		90		5,931
ARMOUR Residential REIT, Inc.¹		3,210		69,625
Arrow Financial Corp.		123		4,982
Aspen Insurance Holdings, Ltd.		4,210		231,550
Associated Banc-Corp.		7,100		175,370
Assurant, Inc.		490		45,501
Assured Guaranty, Ltd.		6,240		235,685
Axis Capital Holdings, Ltd.		3,510		229,098
BancFirst Corp.		40		3,722
Bank of America Corp.		32,260		712,962
Berkshire Hathaway, Inc., Class B^*		2,520		410,710
Brown & Brown, Inc.		9,110		408,675
Camden National Corp.		550		24,448
Capital Bank Financial Corp., Class A		139		5,456
Carolina Financial Corp.		540		16,627
CenterState Banks, Inc.		1,480		37,252
Central Valley Community Bancorp		230		4,591
The Charles Schwab Corp.		5,090		200,902

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Financials—7.0% (continued)
Chemical Financial Corp.		220	$	11,917
Citizens Financial Group, Inc.		2,950		105,108
CME Group, Inc.		675		77,861
Columbia Banking System, Inc.		230		10,276
Comerica, Inc.		4,550		309,900
Commerce Bancshares, Inc.		3,851		222,626
Community Bank System, Inc.		350		21,626
Cullen/Frost Bankers, Inc.¹		800		70,584
CYS Investments, Inc.¹		1,260		9,740
Discover Financial Services		2,980		214,828
Eaton Vance Corp.		6,620		277,246
Enova International, Inc.^*		2,225		27,924
Erie Indemnity Co., Class A		3,310		372,210
Essent Group, Ltd.^*		1,805		58,428
Evercore Partners, Inc., Class A		560		38,472
Everest Re Group, Ltd.		355		76,822
Farmers National Banc Corp.		320		4,544
Federal Agricultural Mortgage Corp., Class C		300		17,181
Fifth Third Bancorp		5,560		149,953
First American Financial Corp.		845		30,952
First Community Bancshares, Inc.		130		3,918
First Financial Bancorp		450		12,802
First Financial Corp		695		36,696
First Interstate BancSystem, Inc., Class A¹		800		34,040
First Republic Bank/CA		1,740		160,324
Flagstar Bancorp, Inc.^*		120		3,233
Franklin Resources, Inc.		4,030		159,507
Fulton Financial Corp.		1,140		21,432
The Goldman Sachs Group, Inc.		610		146,064
Hancock Holding Co.		815		35,126
Hilltop Holdings, Inc.		2,700		80,460
Huntington Bancshares, Inc.		1		13
Impac Mortgage Holdings, Inc.^*		560		7,851
Independent Bank Corp./MA		970		68,336
Independent Bank Corp./MI		700		15,190
INTL. FCStone, Inc.^*		820		32,472
Invesco, Ltd.		3,150		95,571
JPMorgan Chase & Co.		11,208		967,138
KeyCorp		6,803		124,291
Lazard, Ltd., Class A		1,590		65,333
Lincoln National Corp.		6,690		443,346
MarketAxess Holdings, Inc.		2,000		293,840
Marlin Business Services Corp.		130		2,717
Meta Financial Group, Inc.		860		88,494
MFA Financial, Inc.		7,470		56,996


	Shares		Value
MGIC Investment Corp.^*		1,780	$	18,138
Morningstar, Inc.		550		40,458
MSCI, Inc.		1,140		89,809
MTGE Investment Corp.		540		8,478
Nasdaq, Inc.		1,160		77,859
Navient Corp.		2,730		44,854
New Residential Investment Corp.		1,220		19,178
Northern Trust Corp.		6,760		601,978
Old Second Bancorp, Inc.		370		4,088
PennyMac Financial Services, Inc., Class A^*		2,090		34,798
PennyMac Mortgage Investment Trust		560		9,167
Piper Jaffray Cos.^*		550		39,875
Preferred Bank		440		23,065
Primerica, Inc.		1,310		90,586
PrivateBancorp, Inc.		220		11,922
Prudential Financial, Inc.		1,770		184,186
QCR Holdings, Inc.		150		6,495
Radian Group, Inc.		1,570		28,229
Regional Management Corp.^*		430		11,300
Regions Financial Corp.		10,530		151,211
Sandy Spring Bancorp, Inc.		620		24,794
ServisFirst Bancshares, Inc.¹		1,960		73,382
Southern National Bancorp of Virginia, Inc.		140		2,288
State Bank Financial Corp.		570		15,310
State Street Corp.		1,380		107,254
Stock Yards Bancorp, Inc.		160		7,512
SunTrust Banks, Inc.		5,715		313,468
T. Rowe Price Group, Inc.		570		42,898
TD Ameritrade Holding Corp.		3,270		142,572
Torchmark Corp.		1,480		109,165
The Travelers Cos., Inc.		665		81,409
UMB Financial Corp.		1,310		101,027
Universal Insurance Holdings, Inc.		3,795		107,778
US Bancorp		6,565		337,244
Walker & Dunlop, Inc.^*		860		26,832
Wells Fargo & Co.		4,120		227,053
Wintrust Financial Corp.		440		31,931
Total Financials				12,213,310
Health Care—8.6%
AbbVie, Inc.		4,900		306,838
Aetna, Inc.		415		51,464
Agenus, Inc.^*,1		1,550		6,386
Align Technology, Inc.^*		2,290		220,138
Allergan PLC^*		1,520		319,215
Amgen, Inc.		10,590		1,548,364
Amphastar Pharmaceuticals, Inc.^*,1		2,890		53,234

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Health Care—8.6% (continued)
ANI Pharmaceuticals, Inc.^*		510	$	30,916
ARIAD Pharmaceuticals, Inc.^*,1		3,450		42,918
Array BioPharma, Inc.^*		5,715		50,235
Baxter International, Inc.		26,248		1,163,836
BioSpecifics Technologies Corp.^*		60		3,342
Bristol-Myers Squibb Co.		20,570		1,202,111
Bruker Corp.		4,100		86,838
Cardiovascular Systems, Inc.^*		810		19,610
Catalent, Inc.^*		1,265		34,104
Clovis Oncology, Inc.^*,1		400		17,768
Coherus Biosciences, Inc.^*		1,250		35,188
Corcept Therapeutics, Inc.^*,1		2,575		18,694
CR Bard, Inc.		3,210		721,159
Danaher Corp.		4,020		312,917
Exelixis, Inc.^*		1,510		22,514
Express Scripts Holding Co.^*		8,020		551,696
Halozyme Therapeutics, Inc.^*,1		6,145		60,713
Halyard Health, Inc.^*		820		30,324
HMS Holdings Corp.^*		715		12,984
Humana, Inc.		1,190		242,796
ICU Medical, Inc.^*		530		78,096
IDEXX Laboratories, Inc.^*		2,360		276,757
Immunomedics, Inc.^*		5,020		18,423
INC Research Holdings, Inc., Class A^*		1,240		65,224
Incyte Corp.^*		7,460		748,014
Innoviva, Inc.^*,1		3,730		39,911
Intuitive Surgical, Inc.^*		900		570,753
Ironwood Pharmaceuticals, Inc.^*		3,375		51,604
Johnson & Johnson		10,225		1,178,022
Magellan Health, Inc.^*		900		67,725
Masimo Corp.^*		925		62,345
McKesson Corp.		230		32,304
Merck & Co., Inc.		11,805		694,960
Molina Healthcare, Inc.^*		220		11,937
Mylan N.V.^*		3,720		141,918
NxStage Medical, Inc.^*		990		25,948
OraSure Technologies, Inc.^*		1,740		15,277
Pfizer, Inc.		3,367		109,360
PRA Health Sciences, Inc.^*		430		23,702
Quest Diagnostics, Inc.		890		81,791
Quintiles IMS Holdings, Inc.^*		9,700		737,685
United Therapeutics Corp.^*,1		4,700		674,121
UnitedHealth Group, Inc.		6,680		1,069,067
Vertex Pharmaceuticals, Inc.^*		600		44,202
WellCare Health Plans, Inc.^*		4,225		579,163


	Shares		Value
Zoetis, Inc.		9,210	$	493,011
Total Health Care				15,057,622
Industrials—7.4%
A. O. Smith Corp.		7,240		342,814
AAR Corp.		540		17,847
ABM Industries, Inc.		575		23,483
Acacia Research Corp.^*		980		6,370
ACCO Brands Corp.^*		2,370		30,929
American Outdoor Brands Corp.^*,1		1,090		22,977
Applied Industrial Technologies, Inc.		370		21,978
Argan, Inc.		300		21,165
Astec Industries, Inc.		320		21,587
Avis Budget Group, Inc.^*		6,210		227,783
BLUE BIRD Corp.^*		1,150		17,768
Brady Corp., Class A		400		15,020
The Brink’s Co.		540		22,275
Carlisle Cos., Inc.		2,470		272,416
Chart Industries, Inc.^*		370		13,327
Chicago Bridge & Iron Co., N.V.		6,370		202,248
Cintas Corp.		6,060		700,294
Copa Holdings, S.A., Class A¹		950		86,288
Copart, Inc.^*		3,680		203,909
Costamare, Inc.		4,160		23,296
Cummins, Inc.		1,530		209,105
Deere & Co.		2,780		286,451
Deluxe Corp.		375		26,854
DigitalGlobe, Inc.^*		1,390		39,824
Ducommun, Inc.^*		370		9,457
EMCOR Group, Inc.		310		21,936
Energy Recovery, Inc.^*,1		1,825		18,889
Equifax, Inc.		1,980		234,095
FedEx Corp.		3,730		694,526
GATX Corp.¹		3,650		224,767
Generac Holdings, Inc.^*		670		27,296
General Dynamics Corp.		2,900		500,714
General Electric Co.		16,110		509,076
Gibraltar Industries, Inc.^*		520		21,658
Hawaiian Holdings, Inc.^*		1,240		70,680
HEICO Corp.		4,990		384,978
HNI Corp.		910		50,887
Illinois Tool Works, Inc.		5,660		693,124
Insperity, Inc.		880		62,436
Kennametal, Inc.		2,800		87,528
Knoll, Inc.		1,160		32,399
L-3 Communications Holdings, Inc.		2,480		377,233
Landstar System, Inc.		4,200		358,260

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Industrials—7.4% (continued)
Lydall, Inc.^*		255	$	15,772
MasTec, Inc.^*		1,495		57,184
MRC Global, Inc.^*		1,085		21,982
Mueller Water Products, Inc., Class A		1,415		18,834
Nordson Corp.		2,120		237,546
Northrop Grumman Corp.		2,110		490,744
Old Dominion Freight Line, Inc.^*		5,200		446,108
PACCAR, Inc.		990		63,261
Parker Hannifin Corp.		2,300		322,000
Quad/Graphics, Inc.		1,695		45,562
Quanta Services, Inc.^*		9,550		332,818
Rockwell Automation, Inc.		6,415		862,176
SkyWest, Inc.		840		30,618
Spirit AeroSystems Holdings, Inc., Class A		1,920		112,032
Stanley Black & Decker, Inc.		670		76,842
Supreme Industries, Inc., Class A		745		11,696
Swift Transportation Co.^*,1		1,180		28,745
Tetra Tech, Inc.		250		10,788
TransDigm Group, Inc.		1,320		328,627
TransUnion^*		4,790		148,155
Trex Co., Inc.^*		875		56,350
Tutor Perini Corp.^*		1,590		44,520
United Rentals, Inc.^*		2,140		225,941
United Technologies Corp.		2,580		282,820
Valmont Industries, Inc.		690		97,221
Vectrus, Inc.^*		780		18,603
Wabash National Corp.		3,600		56,952
Waste Management, Inc.		16,030		1,136,687
West Corp.		950		23,522
YRC Worldwide, Inc.^*,1		1,970		26,162
Total Industrials				12,866,215
Information Technology—14.9%
3D Systems Corp.^*,1		3,880		51,565
Accenture PLC, Class A		6,040		707,465
Activision Blizzard, Inc.		11,630		419,959
Advanced Energy Industries, Inc.^*		840		45,990
Advanced Micro Devices, Inc.^*		9,580		108,637
Alarm.com Holdings, Inc.^*		2,070		57,608
Alpha & Omega Semiconductor, Ltd.^*		220		4,679
Alphabet, Inc., Class A^*		3,445		2,729,990
Alphabet, Inc., Class C^*		250		192,955
Amdocs, Ltd.		1,880		109,510
Amphenol Corp., Class A		9,530		640,416
Apple, Inc.		24,640		2,853,805
Autodesk, Inc.^*		4,790		354,508


	Shares		Value
Automatic Data Processing, Inc.		1,040	$	106,891
Barracuda Networks, Inc.^*		340		7,286
Black Box Corp.		710		10,828
Black Knight Financial Services, Inc., Class A^*,1		2,920		110,376
Cardtronics PLC, Class A^*		495		27,012
Care.com, Inc.^*		1,545		13,241
CDK Global, Inc.		9,530		568,846
ChannelAdvisor Corp.^*		1,250		17,938
Cirrus Logic, Inc.^*		290		16,397
Cisco Systems, Inc.		8,290		250,524
Citrix Systems, Inc.^*		8,880		793,073
CommScope Holding Co., Inc.^*		11,510		428,172
CommVault Systems, Inc.^*		555		28,527
Convergys Corp.		370		9,087
CoreLogic, Inc.^*		11,750		432,752
Corning, Inc.		6,310		153,144
CSG Systems International, Inc.		690		33,396
DST Systems, Inc.		950		101,792
Ebix, Inc.¹		715		40,791
Electronic Arts, Inc.^*		6,535		514,697
ePlus, Inc.^*		440		50,688
Exar Corp.^*		410		4,420
Fabrinet^*		330		13,299
Facebook, Inc., Class A^*		22,210		2,555,260
Finisar Corp.^*		1,020		30,875
Gigamon, Inc.^*		270		12,298
The Hackett Group, Inc.		1,090		19,249
HP, Inc.		3,350		49,714
Insight Enterprises, Inc.^*		390		15,772
InterDigital, Inc.		755		68,969
InvenSense, Inc.^*,1		570		7,290
Itron, Inc.^*		820		51,537
KLA-Tencor Corp.		4,190		329,669
Knowles Corp.^*,1		610		10,193
Leidos Holdings, Inc.		7,240		370,254
Liquidity Services, Inc.^*		1,820		17,745
Manhattan Associates, Inc.^*		910		48,257
ManTech International Corp., Class A		310		13,098
MasterCard, Inc., Class A		7,580		782,635
Maxim Integrated Products, Inc.		10,600		408,842
Mentor Graphics Corp.		430		15,863
Microsemi Corp.^*		390		21,048
Microsoft Corp.		33,240		2,065,534
NCR Corp.^*		36,310		1,472,734
NETGEAR, Inc.^*		990		53,806
NIC, Inc.		480		11,472

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Information Technology—14.9% (continued)
NVIDIA Corp.		4,600	$	491,004
Paycom Software, Inc.^*,1		890		40,486
Plexus Corp.^*		580		31,343
Power Integrations, Inc.		95		6,446
Proofpoint, Inc.^*		320		22,608
Red Hat, Inc.^*		880		61,336
RetailMeNot, Inc.^*		420		3,906
Sanmina Corp.^*		700		25,655
Science Applications International Corp.		320		27,136
Semtech Corp.^*		830		26,186
Shutterstock, Inc.^*,1		60		2,851
Square, Inc., Class A^*		27,720		377,824
Super Micro Computer, Inc.^*		230		6,452
Symantec Corp.		38,750		925,738
SYNNEX Corp.		80		9,682
Take-Two Interactive Software, Inc.^*		1,110		54,712
TE Connectivity, Ltd.		6,890		477,339
Tech Data Corp.^*		85		7,198
Texas Instruments, Inc.		12,960		945,691
TrueCar, Inc.^*,1		1,040		13,000
TTM Technologies, Inc.^*		5,380		73,329
Vantiv, Inc., Class A^*		1,740		103,739
Varonis Systems, Inc.^*		590		15,812
Viavi Solutions, Inc.^*		30,150		246,627
Visa, Inc., Class A		3,990		311,300
Vishay Intertechnology, Inc.		1,130		18,306
VMware, Inc., Class A^*,1		1,170		92,114
WEX, Inc.^*		1,900		212,040
Xactly Corp.^*		2,320		25,520
Xilinx, Inc.		5,040		304,265
Yelp, Inc.^*		14,820		565,087
Total Information Technology				25,967,110
Materials—1.9%
Air Products & Chemicals, Inc.		1,810		260,314
AK Steel Holding Corp.^*		4,455		45,486
Berry Plastics Group, Inc.^*		12,610		614,485
Cabot Corp.		8,500		429,590
The Chemours Co.		2,550		56,330
Cliffs Natural Resources, Inc.^*		1,060		8,915
The Dow Chemical Co.		5,840		334,165
E.I. du Pont de Nemours & Co.		10,130		743,542
FMC Corp.		7,250		410,060
Greif, Inc., Class A		730		37,456
Kronos Worldwide, Inc.		1,160		13,850


	Shares		Value
Louisiana-Pacific Corp.^*		465	$	8,802
Nucor Corp.		2,850		169,632
Rayonier Advanced Materials, Inc.¹		1,340		20,716
Ryerson Holding Corp.^*		1,620		21,627
Steel Dynamics, Inc.		1,420		50,524
SunCoke Energy, Inc.^*		1,890		21,433
Trinseo, S.A.		1,335		79,166
Worthington Industries, Inc.		540		25,618
Total Materials				3,351,711
Real Estate—2.2%
American Tower Corp.		4,470		472,390
Ashford Hospitality Trust, Inc.		2,940		22,814
Boston Properties, Inc.		1,280		160,998
Camden Property Trust		1,020		85,751
CBL & Associates Properties, Inc.		5,110		58,765
Columbia Property Trust, Inc.		6,030		130,248
Corporate Office Properties Trust		4,180		130,500
DCT Industrial Trust, Inc.		460		22,025
Digital Realty Trust, Inc.¹		4,370		429,396
EastGroup Properties, Inc.		650		47,996
Equity Lifestyle Properties, Inc.		6,560		472,987
Equity Residential		6,640		427,350
Extra Space Storage, Inc.		4,410		340,628
Four Corners Property Trust, Inc.		2,785		57,148
Highwoods Properties, Inc.		755		38,513
Hudson Pacific Properties, Inc.		1,005		34,954
Lexington Realty Trust		4,430		47,844
The Macerich Co.		1,740		123,262
National Storage Affiliates Trust		1,820		40,167
Piedmont Office Realty Trust, Inc., Class A		13,300		278,103
PS Business Parks, Inc.		360		41,947
Realty Income Corp.		740		42,535
Ryman Hospitality Properties, Inc.		325		20,478
Senior Housing Properties Trust		3,500		66,255
Simon Property Group, Inc.		200		35,534
Summit Hotel Properties, Inc.		3,710		59,471
Tanger Factory Outlet Centers, Inc.		2,120		75,854
Washington Real Estate Investment Trust		690		22,556
Total Real Estate				3,786,469
Telecommunication Services—1.5%
AT&T, Inc.		12,480		530,774
CenturyLink, Inc.		10,920		259,678
IDT Corp., Class B		2,945		54,600
Sprint Corp.^*,1		8,280		69,718
T-Mobile US, Inc.^*		1,960		112,720

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Telecommunication Services—1.5% (continued)
Verizon Communications, Inc.		20,830	$	1,111,905
Zayo Group Holdings, Inc.^*		13,770		452,482
Total Telecommunication Services				2,591,877
Utilities—1.5%
American Water Works Co., Inc.		3,905		282,565
Atmos Energy Corp.		4,560		338,124
Avista Corp.		300		11,996
CenterPoint Energy, Inc.		8,355		205,866
Chesapeake Utilities Corp.		200		13,390
Connecticut Water Service, Inc.		280		15,638
Consolidated Edison, Inc.		2,240		165,043
Duke Energy Corp.		2,130		165,331
Edison International		2,790		200,852
Eversource Energy		1,770		97,757
IDACORP, Inc.		230		18,526
Middlesex Water Co.		225		9,662
Northwest Natural Gas Co.		330		19,734
OGE Energy Corp.		3,240		108,378
ONE Gas, Inc.		40		2,558
Ormat Technologies, Inc.		955		51,207
Otter Tail Corp.		710		28,968
Pinnacle West Capital Corp.		2,340		182,590
PPL Corp.		7,870		267,974
SJW Group		1,050		58,779
Vectren Corp.		4,495		234,414
WGL Holdings, Inc.		430		32,800
Xcel Energy, Inc.		1,150		46,805
Total Utilities				2,558,957
Total Common Stocks (cost $98,872,357)				107,612,044
Rights—0.0%^#
DYAX Corp. (Healthcare)^*,15 (cost $0)		670		7

	Principal Amount
Corporate Bonds and Notes—4.9%
Financials—1.6%
Bank of America Corp., Series MTN, 2.503%, 10/21/22	$	270,000		261,473
Bank of Montreal, Series MTN, 2.100%, 12/12/19		185,000		185,078
The Goldman Sachs Group, Inc., 2.350%, 11/15/21		320,000		311,253
JPMorgan Chase & Co., Series MTN, 2.295%, 08/15/21		330,000		324,097


	Principal Amount		Value
Morgan Stanley, Series MTN, 2.625%, 11/17/21	$	295,000	$	291,779
The Toronto-Dominion Bank, Series MTN, 2.250%, 11/05/19		70,000		70,445
US Bancorp, MTN, 2.200%, 04/25/19		175,000		176,551
Visa, Inc., 2.200%, 12/14/20		220,000		220,806
Wells Fargo & Co.,
2.500%, 03/04/21		545,000		541,280
MTN, 1.400%, 09/08/17¹		305,000		304,672
Total Financials				2,687,434
Industrials—2.7%
3M Co., Series MTN, 2.000%, 06/26/22		130,000		127,530
Altria Group, Inc., 2.625%, 01/14/20		200,000		202,422
The Boeing Co., 2.350%, 10/30/21		254,000		255,662
Burlington Northern Santa Fe LLC, 4.700%, 10/01/19		65,000		69,930
Cisco Systems, Inc., 1.400%, 02/28/18		200,000		200,377
Colgate-Palmolive Co., MTN, 1.750%, 03/15/19		105,000		105,430
Dr. Pepper Snapple Group, Inc., 3.130%, 12/15/23		120,000		120,214
Exxon Mobil Corp., 1.708%, 03/01/19		95,000		95,235
Ford Motor Co., 4.346%, 12/08/26		120,000		121,498
General Electric Co.,
2.900%, 01/09/17		115,000		115,041
5.250%, 12/06/17		340,000		352,266
MTN, Series A, 6.750%, 03/15/32		45,000		59,994
The Home Depot, Inc., 2.250%, 09/10/18		210,000		212,889
Johnson & Johnson, 5.150%, 07/15/18		90,000		95,171
Lockheed Martin Corp., 1.850%, 11/23/18		70,000		70,311
McDonald’s Corp.,
MTN, 5.350%, 03/01/18		195,000		203,272
MTN, 6.300%, 10/15/37		135,000		170,146
Medtronic, Inc., 0.875%, 02/27/17		45,000		44,975
PepsiCo, Inc., Series 1, 1.000%, 10/13/17		135,000		134,926
Pfizer, Inc., 1.700%, 12/15/19		230,000		229,882
Philip Morris International, Inc., 1.625%, 03/20/17¹		330,000		330,019
Tyson Foods, Inc., 2.650%, 08/15/19		200,000		202,029
Union Pacific Corp., 3.646%, 02/15/24		155,000		161,963
United Parcel Service, Inc., 6.200%, 01/15/38		210,000		276,800
Verizon Communications, Inc., 2.625%, 02/21/20		388,000		392,015

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—2.7% (continued)
Wal-Mart Stores, Inc., 6.500%, 08/15/37	$	245,000	$	332,658
Total Industrials				4,682,655
Telecommunication Services—0.2%
AT&T, Inc., 5.200%, 03/15/20		345,000		371,169
Utilities—0.4%
BP Capital Markets PLC, 1.676%, 05/03/19		225,000		223,485
Consolidated Edison Co. of New York, Inc., Series 08-B, 6.750%, 04/01/38		105,000		142,384
Dominion Resources, Inc., 4.450%, 03/15/21		75,000		80,214
Georgia Power Co., 5.400%, 06/01/40		65,000		74,435
Shell International Finance BV, 1.875%, 05/10/21		130,000		127,182
TransCanada PipeLines, Ltd., 3.800%, 10/01/20		100,000		104,433
Total Utilities				752,133
Total Corporate Bonds and Notes (cost $8,476,833)				8,493,391
U.S. Government and Agency Obligations—32.7%
Federal Home Loan Mortgage Corporation—11.7%
FHLMC, 1.375%, 05/01/20 ¹		165,000		163,800
FHLMC Gold Pool,
2.500%, 07/01/28 to 09/01/46		1,482,784		1,452,199
3.000%, 01/01/29 to 09/01/46		4,736,181		4,762,617
3.500%, 03/01/42 to 03/01/46		6,196,559		6,353,027
4.000%, 08/01/43 to 11/01/45		5,073,003		5,333,002
4.500%, 02/01/39 to 04/01/44		1,147,520		1,233,573
5.000%, 07/01/35 to 07/01/41		915,052		998,640
5.500%, 04/01/38 to 01/01/39		54,744		61,256
Total Federal Home Loan Mortgage Corporation				20,358,114
Federal National Mortgage Association—3.7%
FNMA,
0.875%, 03/28/18		200,000		199,623
1.000%, 10/24/19		350,000		345,304
1.375%, 10/07/21		170,000		165,501


	Principal Amount		Value
1.875%, 02/19/19 ¹	$	440,000	$	445,499
2.000%, 01/01/30		63,802		62,208
2.500%, 04/01/28 to 05/01/43		1,218,076		1,173,165
2.625%, 09/06/24		305,000		308,272
3.000%, 03/01/42 to 08/01/43		647,050		646,984
3.500%, 11/01/25 to 07/01/43		606,726		628,217
4.000%, 12/01/21 to 11/01/44		702,909		740,526
4.500%, 06/01/39 to 09/01/43		953,583		1,027,387
5.000%, 09/01/33 to 10/01/41		392,867		429,812
5.500%, 02/01/35 to 05/01/39		194,891		217,537
Total Federal National Mortgage Association				6,390,035
U.S. Treasury Obligations—17.3%
U.S. Treasury Bonds,
2.750%, 08/15/42		4,600,000		4,347,092
3.000%, 11/15/45		1,105,000		1,090,151
3.125%, 11/15/41		670,000		680,168
U.S. Treasury Notes,
0.875%, 07/15/18 to 07/31/19		2,635,000		2,615,303
1.000%, 09/30/19 to 11/30/19		1,445,000		1,429,023
1.125%, 07/31/21		1,200,000		1,160,132
1.375%, 05/31/20 to 08/31/20		3,705,000		3,678,085
1.500%, 02/28/19 to 01/31/22		2,755,000		2,722,817
1.625%, 07/31/20 to 05/15/26		1,215,000		1,201,354
1.875%, 11/30/21		2,860,000		2,852,570
2.250%, 11/15/24 to 11/15/25		5,070,000		5,029,508
2.500%, 05/15/24		3,350,000		3,400,709
Total U.S. Treasury Obligations				30,206,912
Total U.S. Government and Agency Obligations (cost $58,189,133)				56,955,061

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

AMG Chicago Equity Partners Balanced Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Short-Term Investments—2.3%
Repurchase Agreements—1.8%²
Citigroup Global Markets, Inc., dated 12/30/16,due 01/03/17, 0.530% total to be received $1,000,059 (collateralized by various U.S. Government Agency Obligations, 2.000% - 8.500%, 12/01/17 - 01/01/47, totaling $1,020,000)	$	1,000,000	$	1,000,000
Daiwa Capital Markets America, dated 12/30/16, due 01/03/17, 0.520% total to be received $1,000,058 (collateralized by various U.S. Government Agency Obligations, 0.000% - 6.500%, 03/02/17 - 02/01/49,totaling $1,020,000)		1,000,000		1,000,000
Merrill Lynch Pierce Fenner & Smith, Inc., dated 12/30/16, due 01/03/17, 0.500% total to be received $216,376 (collateralized by various U.S. Government Agency Obligations, 0.685% - 2.000%, 10/31/18 - 11/30/22, totaling $220,691)		216,364		216,364
Nomura Securities International, Inc., dated 12/30/16, due 01/03/17, 0.500% total to be received $1,000,056 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.500%, 01/15/17 - 08/20/66,totaling $1,020,000)		1,000,000		1,000,000
Total Repurchase Agreements				3,216,364


	Shares		Value
Other Investment Companies—0.5%³
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%		900,145	$	900,145
Total Short-Term Investments (cost $4,116,509)				4,116,509
Total Investments—101.7% (cost $169,654,832)				177,177,012
Other Assets, less Liabilities—(1.7)%				(2,989,582	)
Net Assets—100.0%			$	174,187,430

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

AMG Chicago Equity Partners Small Cap Value Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

For the year ended December 31, 2016, the AMG Chicago Equity Partners Small Cap Value (Class I)1 (the “Fund”) returned 29.3%, compared to the 31.7% return for its benchmark, the Russell 2000^® Value Index.

The portfolio is managed to emphasize stock selection while neutralizing size, style and sector exposure. The Fund consists of a well-diversified portfolio of companies with attractive valuation ratios, quality balance sheets and positive growth and momentum expectations built through a disciplined, risk-controlled process, with the goal of delivering consistent excess returns.

MARKET ENVIRONMENT

Unpredictable 2016 (Increased Interest Rates, New President Elect and Positive Corporate Earnings)

equity markets, with sector performance driven by the perceived winners and losers of Trump policy. The Fed behaved as expected in the quarter, finally raising rates 0.25%, and corporate earnings turned the corner as third quarter numbers came in positive after five consecutive quarters of negative earnings growth.

PERFORMANCE DISCUSSION

U.S. Stocks Were Up in the Year — Led by Small Cap and Value Stocks, While Stock Selection was Weak Most of 2016

U.S. stocks outperformed other asset classes in 2016. Small cap stocks strongly outpaced their large and mid-cap counterparts for the year. Value had a strong year despite a weaker third quarter, outperforming growth by 20% in small cap stocks (as measured by the Russell 2000^® Growth and Russell 2000^® Value Indexes) and 10% in large cap (as measured by the Russell 1000^® Growth and Russell 1000^® Value Indexes). Financials and energy sectors performed well and health care performed the worst. Despite volatility (CBOE Volatility Index — VIX) spiking around the election, it finished the year down (23)%. Over the last 12 months, the value factor group performed best, while the quality and growth factor groups were mixed and the momentum factor group was generally weak across all sectors. The top-ranked stocks underperformed in cyclicals and financials, but performed well in the other sectors. While it has been a challenging year for the stock selection model and active management in general, we saw improvement in the fourth quarter. It has been our experience that the market rewards a broad set of fundamental factors more often than not. This is why we stick to our disciplined process at all times, even during market environments such as these. Historically, we have been rewarded for doing so, as we have seen outperformance in periods following weakness.

OUTLOOK

¹	Prior to October 1, 2016, the Fund’s Class I shares were known as Service Shares.

AMG Chicago Equity Partners Small Cap Value Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE

The AMG Chicago Equity Partners Small Cap Value Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in the AMG Chicago Equity Partners Small Cap Value Fund’s Class I (formerly Service Class ) shares on December 31, 2014 to a $10,000 investment made in the benchmark for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the indices exclude expenses. Total returns for the Fund would have been lower had certain expenses not been reduced.

LOGO

The table below shows the average annual total returns for the AMG Chicago Equity Partners Small Cap Value Fund and the Russell 2000^® Value Index for the same time periods ended December 31, 2016.


	One			Since			Inception
Average Annual Total Returns¹	Year			Inception			Date
AMG Chicago Equity Partners Small Cap Value Fund ^2,3,4,5,6,7
Class N⁸		29.00	%		10.06	%		12/31/14
Class I⁸		29.34	%		10.40	%		12/31/14
Class Z⁸		29.49	%		10.51	%		12/31/14
Russell 2000^® Value Index⁹		31.74	%		10.42	%		12/31/14	^†

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

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

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	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	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.

⁵

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.

⁶	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.

⁷	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.

⁸	Effective October 1, 2016, the Investor Class, Service Class and Institutional Class of AMG Chicago Equity Partners Small Cap Value Fund were renamed Class N, Class I and Class Z, respectively.

⁹

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.

The Russell 2000^® Value Index is a trademark of the London Stock Exchange Group companies.

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

AMG Chicago Equity Partners Small Cap Value Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


Sector	AMG Chicago Equity Partners Small Cap Value Fund*			Russell 2000^® Value Index
Financials		36.1	%		32.6	%
Industrials		16.0	%		12.6	%
Information Technology		10.9	%		10.4	%
Real Estate		9.3	%		10.1	%
Consumer Discretionary		7.9	%		10.0	%
Utilities		6.8	%		6.0	%
Energy		6.0	%		5.9	%
Materials		5.3	%		4.6	%
Health Care		4.9	%		4.3	%
Consumer Staples		3.1	%		2.8	%
Telecommunication Services		0.6	%		0.7	%
Other Assets and Liabilities		(6.9	)%		0.0	%

*	As a percentage of net assets.

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
UMB Financial Corp.**		1.9	%
Lexington Realty Trust		1.7	%
Hudson Pacific Properties, Inc.		1.6	%
Universal Insurance Holdings, Inc.		1.5	%
McDermott International, Inc.**		1.4	%
Hilltop Holdings, Inc.		1.4	%
CenterState Banks, Inc.		1.3	%
Hancock Holding Co.		1.2	%
Meta Financial Group, Inc.		1.2	%
Piper Jaffray Cos.		1.2	%

Top Ten as a Group		14.4	%

**	Top Ten Holdings as of June 30, 2016.

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments

December 31, 2016


	Shares		Value
Common Stocks—106.9%
Consumer Discretionary—7.9%
AMC Entertainment Holdings, Inc., Class A		910	$	30,621
America’s Car-Mart, Inc.^*		800		35,000
Big 5 Sporting Goods Corp.		6,060		105,141
Capella Education Co.		320		28,096
Chico’s FAS, Inc.		5,340		76,843
The Children’s Place, Inc.		420		42,399
Cooper-Standard Holding, Inc.^*		820		84,772
Cracker Barrel Old Country Store, Inc.¹		320		53,434
Dana, Inc.		2,500		47,450
The Finish Line, Inc., Class A¹		1,890		35,551
ILG, Inc.		1,050		19,078
Intrawest Resorts Holdings, Inc.^*		1,470		26,240
Johnson Outdoors, Inc., Class A		750		29,768
Marriott Vacations Worldwide Corp.		630		53,456
NACCO Industries, Inc., Class A		480		43,464
Office Depot, Inc.		7,890		35,663
Perry Ellis International, Inc.^*		2,950		73,484
Sonic Automotive, Inc., Class A		4,240		97,096
Tower International, Inc.		1,080		30,618
Weyco Group, Inc.		410		12,833
Wolverine World Wide, Inc.		2,520		55,314
Total Consumer Discretionary				1,016,321
Consumer Staples—3.1%
Avon Products, Inc.^*		3,730		18,799
Central Garden and Pet Co., Class A^*		1,730		53,457
Dean Foods Co.		1,560		33,977
Fresh Del Monte Produce, Inc.		1,035		62,752
Ingles Markets, Inc., Class A		10		481
Nature’s Sunshine Products, Inc.		490		7,350
Sanderson Farms, Inc.		590		55,602
SpartanNash Co.		2,880		113,875
Universal Corp.		810		51,638
Total Consumer Staples				397,931
Energy—6.0%
Denbury Resources, Inc.^*		8,590		31,611
Fairmount Santrol Holdings, Inc.^*		6,010		70,858
Green Plains, Inc.		540		15,039
Jones Energy, Inc., Class A^*		6,770		33,850
Matrix Service Co.^*		1,250		28,375
McDermott International, Inc.^*		25,050		185,120
Navios Maritime Acquisition Corp.		19,790		33,643
Oasis Petroleum, Inc.^*		8,190		123,997


	Shares		Value
Pacific Ethanol, Inc.^*		8,260	$	78,470
RSP Permian, Inc.^*		1,710		76,300
Sanchez Energy Corp.^*,1		7,030		63,481
Unit Corp.^*		1,030		27,676
Total Energy				768,420
Financials—36.1%
Access National Corp.¹		880		24,429
AG Mortgage Investment Trust, Inc.		4,780		81,786
Ambac Financial Group, Inc.^*		700		15,750
Apollo Commercial Real Estate Finance, Inc.		4		65
Argo Group International Holdings, Ltd.		450		29,655
ARMOUR Residential REIT, Inc.¹		5,870		127,320
Arrow Financial Corp.		463		18,751
Ashford Hospitality Trust, Inc.		13,590		105,458
BancFirst Corp.		190		17,679
Camden National Corp.		1,520		67,564
Capital Bank Financial Corp., Class A		212		8,321
Carolina Financial Corp.		880		27,095
CenterState Banks, Inc.		6,750		169,897
Central Valley Community Bancorp		1,210		24,152
Columbia Banking System, Inc.		3,280		146,550
Community Bank System, Inc.		1,700		105,043
CYS Investments, Inc.		3,000		23,190
Enova International, Inc.^*		5,860		73,543
Farmers Capital Bank Corp.		470		19,763
Farmers National Banc Corp.		1,710		24,282
Federal Agricultural Mortgage Corp., Class C		1,450		83,041
Fifth Street Asset Management, Inc.¹		1,250		8,375
First American Financial Corp.		3,950		144,688
First Community Bancshares, Inc.		700		21,098
First Financial Bancorp		2,050		58,322
First Financial Corp.		850		44,880
First Interstate BancSystem, Inc., Class A		1,840		78,292
Fulton Financial Corp.		5,560		104,528
Genworth Financial, Inc., Class A^*		17,252		65,730
Hancock Holding Co.		3,680		158,608
Hilltop Holdings, Inc.		6,060		180,588
Impac Mortgage Holdings, Inc.^*		850		11,917
Independent Bank Corp./MA		1,430		100,744
Independent Bank Corp./MI		2,620		56,854
INTL. FCStone, Inc.^*		2,690		106,524
Lakeland Financial Corp.		1,160		54,938
Macatawa Bank Corp.		1,950		20,300
Marlin Business Services Corp.		640		13,376

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

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Financials—36.1% (continued)
MBT Financial Corp.		960	$	10,896
Meta Financial Group, Inc.		1,510		155,379
MGIC Investment Corp.^*		8,370		85,290
MTGE Investment Corp.		3,310		51,967
New Residential Investment Corp.		3,085		48,496
Old Second Bancorp, Inc.		1,640		18,122
Owens Realty Mortgage, Inc.		670		12,408
PennyMac Financial Services, Inc., Class A^*		4,020		66,933
PennyMac Mortgage Investment Trust		2,860		46,818
Piper Jaffray Cos.^*		2,120		153,700
Preferred Bank		2,040		106,937
Primerica, Inc.		1,660		114,789
PrivateBancorp, Inc.		1,080		58,525
Radian Group, Inc.		5,710		102,666
Regional Management Corp.^*		2,090		54,925
S&T Bancorp, Inc.		1,420		55,437
Safety Insurance Group, Inc.		180		13,266
Sandy Spring Bancorp, Inc.		1,550		61,984
State Bank Financial Corp.		2,620		70,373
Stock Yards Bancorp, Inc.		800		37,560
Texas Capital Bancshares, Inc.^*		1,180		92,512
Third Point Reinsurance, Ltd.^*		1,610		18,596
UMB Financial Corp.		3,190		246,013
Union Bankshares Corp.		1,890		67,549
Universal Insurance Holdings, Inc.		6,990		198,516
Walker & Dunlop, Inc.^*		4,040		126,048
Wintrust Financial Corp.		2,050		148,768
Total Financials				4,647,569
Health Care—4.9%
Agenus, Inc.^*,1		7,260		29,911
Aratana Therapeutics, Inc.^*,1		950		6,821
ARIAD Pharmaceuticals, Inc.^*,1		4,110		51,128
Array BioPharma, Inc.^*,1		13,240		116,380
Exelixis, Inc.^*,1		3,070		45,774
Halyard Health, Inc.^*		3,820		141,264
ICU Medical, Inc.^*		230		33,890
Immunomedics, Inc.^*		3,290		12,074
Innoviva, Inc.^*,1		2,020		21,614
Magellan Health, Inc.^*		2,040		153,510
Owens & Minor, Inc.		340		11,999
Triple-S Management Corp., Class B^*		230		4,761
Total Health Care				629,126


	Shares		Value
Industrials—16.0%
AAR Corp.		1,380	$	45,609
ABM Industries, Inc.		2,615		106,797
Acacia Research Corp.^*		4,970		32,305
ACCO Brands Corp.^*		9,820		128,151
Applied Industrial Technologies, Inc.		810		48,114
ArcBest Corp.		10		276
Astec Industries, Inc.		1,460		98,492
Bel Fuse, Inc., Class B		1,170		36,153
BLUE BIRD Corp.^*		3,000		46,350
Chart Industries, Inc.^*		1,780		64,116
Costamare, Inc.		8,960		50,176
Deluxe Corp.		750		53,707
DigitalGlobe, Inc.^*		3,800		108,870
Ducommun, Inc.^*		1,410		36,040
EMCOR Group, Inc.		2,010		142,228
EnerSys		500		39,050
GATX Corp.¹		1,640		100,991
Gibraltar Industries, Inc.^*		1,990		82,884
The Greenbrier Cos., Inc.¹		500		20,775
Kelly Services, Inc., Class A		500		11,460
Kennametal, Inc.		1,910		59,707
MasTec, Inc.^*		1,000		38,250
MRC Global, Inc.^*		2,420		49,029
Navigant Consulting, Inc.^*		630		16,493
Quad/Graphics, Inc.		3,050		81,984
SkyWest, Inc.		3,950		143,978
Tetra Tech, Inc.		1,030		44,444
Tutor Perini Corp.^*		1,310		36,680
Universal Forest Products, Inc.		295		30,143
Vectrus, Inc.^*		810		19,318
Wabash National Corp.		8,580		135,736
West Corp.		1,470		36,397
YRC Worldwide, Inc.^*		8,180		108,630
Total Industrials				2,053,333
Information Technology—10.9%
Advanced Energy Industries, Inc.^*		910		49,822
Advanced Micro Devices, Inc.^*		10,360		117,482
Alpha & Omega Semiconductor, Ltd.^*		440		9,359
Amkor Technology, Inc.^*		2,150		22,682
Black Box Corp.		1,480		22,570
Care.com, Inc.^*		1,660		14,226
ChannelAdvisor Corp.^*		2,800		40,180

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

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)


	Shares		Value
Information Technology—10.9% (continued)
Comtech Telecommunications Corp.		10	$	118
Convergys Corp.		1,110		27,262
ePlus, Inc.^*		790		91,008
Finisar Corp.^*		4,160		125,923
Insight Enterprises, Inc.^*		2,290		92,608
Intersil Corp., Class A		1,870		41,701
InvenSense, Inc.^*		1,280		16,371
Liquidity Services, Inc.^*		3,220		31,395
ManTech International Corp., Class A		630		26,618
Mentor Graphics Corp.		1,380		50,908
MicroStrategy, Inc., Class A^*		370		73,038
MKS Instruments, Inc.		620		36,828
NETGEAR, Inc.^*		560		30,436
Plexus Corp.^*		1,400		75,656
Progress Software Corp.		370		11,814
RetailMeNot, Inc.^*		2,180		20,274
Sanmina Corp.^*		1,470		53,876
Super Micro Computer, Inc.^*		1,330		37,306
SYNNEX Corp.		390		47,198
Tech Data Corp.^*		430		36,412
TTM Technologies, Inc.^*		10,640		145,023
Vishay Intertechnology, Inc.		2,980		48,276
Zedge, Inc., Class B^*		1		3
Total Information Technology				1,396,373
Materials—5.3%
AK Steel Holding Corp.^*,1		13,140		134,159
The Chemours Co.		4,930		108,904
Cliffs Natural Resources, Inc.^*,1		1,570		13,204
Commercial Metals Co.		660		14,375
Greif, Inc., Class A		2,170		111,343
Koppers Holdings, Inc.^*		200		8,060
Kronos Worldwide, Inc.		2,800		33,432
Olympic Steel, Inc.		1,430		34,649
Rayonier Advanced Materials, Inc.		1,200		18,552
Ryerson Holding Corp.^*,1		3,650		48,728
Schnitzer Steel Industries, Inc., Class A		600		15,420


	Shares		Value
Schweitzer-Mauduit International, Inc.		220	$	10,017
Stepan Co.		585		47,666
SunCoke Energy, Inc.^*		7,610		86,297
Total Materials				684,806
Real Estate—9.3%
CBL & Associates Properties, Inc.		5,380		61,870
DCT Industrial Trust, Inc.		2,070		99,112
Four Corners Property Trust, Inc.		4,650		95,418
Highwoods Properties, Inc.		2,560		130,586
Hudson Pacific Properties, Inc.		5,750		199,985
Lexington Realty Trust		20,660		223,137
Mack-Cali Realty Corp.		1,820		52,816
National Storage Affiliates Trust		3,900		86,073
PS Business Parks, Inc.		265		30,878
RE/MAX Holdings, Inc., Class A		1,130		63,280
Summit Hotel Properties, Inc.		5,690		91,211
Tier REIT, Inc.		1,480		25,737
Washington Real Estate Investment Trust		1,200		39,228
Total Real Estate				1,199,331
Telecommunication Services—0.6%
IDT Corp., Class B		4,440		82,318
Utilities—6.8%
ALLETE, Inc.		220		14,122
Avista Corp.		760		30,392
Chesapeake Utilities Corp.		940		62,933
Connecticut Water Service, Inc.		1,030		57,525
IDACORP, Inc.		1,130		91,022
Middlesex Water Co.		710		30,487
Northwest Natural Gas Co.		1,480		88,504
ONE Gas, Inc.		200		12,792
Ormat Technologies, Inc.		2,380		127,616
Otter Tail Corp.		1,910		77,928
SJW Group		2,440		136,591
WGL Holdings, Inc.		1,950		148,746
Total Utilities				878,658
Total Common Stocks (cost $11,659,344)				13,754,186

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

AMG Chicago Equity Partners Small Cap Value Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Short-Term Investments—5.1%
Repurchase Agreements—4.3%²
HSBC Securities USA, Inc., dated 12/30/16, due 01/03/17, 0.450% total to be received $557,608 (collateralized by various U.S. Government Agency Obligations, 0.875% - 3.000%, 05/15/17 - 05/15/46, totaling $568,732)	$	557,580	$	557,580


	Shares		Value
Other Investment Companies—0.8%³
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%		104,513	$	104,513
Total Short-Term Investments (cost $662,093)				662,093
Total Investments—112.0% (cost $12,321,437)				14,416,279
Other Assets, less Liabilities—(12.0)%				(1,548,214	)
Net Assets—100.0%			$	12,868,065

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

AMG Managers High Yield Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

The AMG Managers High Yield Fund (Class N)1 (the “Fund”) returned 15.3% for the year ended December 31, 2016, compared with 17.1% for the Bloomberg Barclays U.S. Corporate High Yield Bond Index (the “Index”).

MARKET ENVIRONMENT

2016 was the strongest year for high yield since 2009. Total returns were down 5.1% (as measured by the BofA Merrill Lynch US High Yield Master II Constrained Index) through February 11. However, as oil bounced and global growth concerns faded, high yield rallied for the remainder of the year and finished emphatically with a 17.5% return. Commodity market volatility continued to impact the broader high-yield market throughout the year, as did the build-up and results of both the Brexit referendum and U.S. general election. The surprising election results in November and resulting pro-growth policy expectations contributed to the most significant rate sell-off since the 2013 “Taper Tantrum.” The post-election, pro-growth narrative continued to drive markets into year-end as credit dramatically outperformed duration. The Federal Open Market Committee raised the federal funds rate target by 25 basis points (bps) and signaled multiple rate hikes in 2017, which also contributed to the continued rate sell-off.

Relative to the five-year U.S. Treasury note, high yield generated nearly 1700 bps of excess return and dramatically outperformed all of the major asset classes for the year: Emerging Markets (BoA Merrill Lynch Emerging Markets Corporate Index), 9.6%; high-grade credit (BoA Merrill Lynch U.S. Corporate Index), 6.0%; U.S. Aggregate (BofA Merrill Lynch US Corporate Government & Mortgage Index), 2.6%; and five-year Treasuries (BofA Merrill Lynch Current US Treasury Index), 0.6%. High yield also outperformed the S&P 500 Index, up 11.96%, after lagging for the past four years. High-yield spreads tightened dramatically, (274) bps for the 12-month period, closing at 421 bps. For the same period, yields dropped from 8.76% at December 31, 2015, to 6.13% at December 31, 2016.

Beta significantly outperformed on the year, with CCCs returning 37.7%; Bs, 16.7%; and BBs, 13.4%. All sectors posted positive returns in 2016 with steel 48.3%, metals and mining 43.8% and energy 38.4% as the best-performing sectors and health care 4.1%, banks 4.3% and hotels 5.6% as the worst-performing sectors. Periods of volatility resulted in performance dispersion among sectors on the year. Big and liquid names (as measured by the Bloomberg Barclays Very Liquid Index) underperformed slightly for the year, returning 16.7%, and trailed the broader high-yield market by 84 bps.

High-yield bond new issuance totaled $286 billion for 2016, down a modest 2% from last year’s tally². Issuers tended to be higher quality overall and refinancing purposes were the dominant use of proceeds, accounting for 58% of the activity in the year ². Despite periods of volatility, secondary market technicals were generally supportive, with $6.9 billion of inflows reported for U.S. high-yield mutual funds in the year².

As expected, the trailing 12-month default rate moved higher in 2016 due, in large part, to activity within commodities, which accounted for over 80% of default activity in 2016³ .As the commodity backdrop steadily improved, however, overall default volume declined. As of December 31, the trailing 12-month default rate was 3.32%, up from 1.80% one year ago. Excluding energy and metals and mining, the default rate dropped to 0.68%.

PERFORMANCE REVIEW

The Fund underperformed its benchmark during the year. Underweight positioning in both metals and mining and oil field services, coupled with security selection within the transportation services sectors, detracted from performance for the year. Specifically, relative weightings in Softbank Group Corporation (Sprint), Caesars Entertainment, Whiting Petroleum and Denbury Resources hindered annual results. Alternatively, relative contributions from security selection in the telecommunications, independent energy and gaming sectors enhanced performance for the

year. The largest contributors came from relative weightings in Valeant Pharmaceuticals, Jack Cooper Enterprises, Aspect Software and Intelsat SA.

Compared to the benchmark at year-end, the Fund was overweight in technology, gaming and health care due to our view of the relative value opportunities within those sectors. The Fund was underweight in metals and mining, banking/ financials and oil field services because we have not found these sectors compelling due to challenging fundamental outlooks or rich valuations. Relative to the benchmark at December 31, the Fund’s yield and spread are greater than those of the benchmark, while duration of the Fund is lower.

MARKET OUTLOOK

U.S. growth is likely to improve from trend-like levels due to expectation of tax reform, less regulation and fiscal spending. We expect the majority of high-yield issuers to maintain reasonable fundamentals as earnings growth has turned positive. We believe broader market high-yield spreads are fair-to-slightly-attractive relative to current and expected defaults, and we expect defaults to move lower in 2017 to 2-3%. However, commodity market volatility will likely continue to impact the broader high-yield market performance. We expect episodes of volatility will persist as central bank policies develop, potential challenges to the Euro continue and post-election policy direction evolves. While retail fund flows have been volatile, heightened rate concerns post-election have made high yield a more attractive asset class and a net beneficiary of demand. We would expect credit to be a relative outperformer versus duration if the inflation and growth narrative continues to take hold of the financial markets. New issue supply has been better quality, while refinancing activity continues to be the largest use of proceeds. The quality of the calendar could deteriorate if risk asset demand increases and investor discipline deteriorates due to overly optimistic post-election growth expectations. High-yield spreads have the ability to partially absorb a gradual, modest rise in rates and therefore we see

AMG Managers High Yield Fund

Portfolio Manager’s Comments (continued)

potential for modest spread tightening in either a rising or stable rate environment. We believe our current Fund portfolio positioning and our fundamental research, bottom-up oriented style should allow us to take advantage of market opportunities.

¹	Prior to October 1, 2016, the Fund’s Class N shares were known as Investor Shares.

²	JPMorgan Chase & Co; AMG Data Services

³	JPMorgan Chase & Co and Moody’s Investor Services

This commentary reflects the viewpoints of the Fund’s portfolio manager, JP Morgan Asset Management as of December 31, 2016 and is not intended as a forecast or guarantee of future results and are subject to change without notice.

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG Managers High Yield Fund’s cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares a hypothetical $10,000 investment made in the

AMG Managers High Yield Fund’s Class N (formerly Investor Class) shares on December 31, 2006 to a $10,000 investment made in the Bloomberg Barclays U.S. Corporate High Yield Bond Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns for the Fund would have been lower had certain expenses not been reduced.

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

AMG Managers High Yield Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE (continued)

LOGO

The table below shows the average annual total returns for the AMG Managers High Yield Fund and the Bloomberg Barclays U.S. Corporate High Yield Bond Index for the same time periods ended December 31, 2016.


	One			Five			Ten
Average Annual Total Returns¹	Year			Years			Years
AMG Managers High Yield Fund ^{2,3,4,5,6,7,8,9}
Class N¹⁰		15.25	%		6.48	%		6.06	%
Class I¹⁰		15.60	%		6.74	%		6.35	%
Bloomberg Barclays U.S. Corporate High Yield Bond Index¹¹		17.13	%		7.36	%		7.45	%

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

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

⁴

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

⁵

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	To the extent that the Fund invests in asset-backed or mortgage-backed securities, its exposure to prepayment and extension risks may be greater than investments in other fixed income securities.

⁸	The 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.

⁹	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.

¹⁰	Effective October 1, 2016, the Investor Class and Institutional Class of AMG Managers High Yield Fund were renamed Class N and Class I, respectively.

¹¹

The Bloomberg Barclays U.S. Corporate High Yield Bond Index is a total return performance benchmark for USD-denominated, high yield, fixed-rate corporate bonds having a maximum quality rating of Ba1 (as determined by the middle of the Moody’s, Fitch, and S&P ratings). Unlike the fund, the Bloomberg Barclays U.S. Corporate High Yield Bond Index is unmanaged is not available for investment, and does not incur expenses.

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

AMG Managers High Yield Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


	AMG Managers
Sector	High Yield Fund*
Industrials		87.0	%
Financials		5.1	%
Floating Rate Senior Loan Interests		3.3	%
Utilities		1.2	%
Other Assets and Liabilities		3.4	%

*	As a percentage of net assets.


	AMG Managers
Rating	High Yield Fund^***
Baa		4.4	%
Ba		36.7	%
B		43.7	%
Caa & lower		13.8	%
N/R		1.4	%

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

TOP TEN HOLDINGS


	% of
Security Name	Net Assets
Sprint Capital Corp., 8.750%, 03/15/32**		1.6	%
Sprint Corp., 7.875%, 09/15/23**		1.6
First Data Corp., 5.750%, 01/15/24**		1.5
Caesars Entertainment Operating Co., Inc., 9.000%, 02/15/20**		1.3
DISH DBS Corp., 5.875%, 11/15/24		1.2
CCO Holdings LLC / CCO Holdings Capital Corp., 5.750%, 02/15/26**		1.1
Tenet Healthcare Corp. 8.125%, 04/01/22		1.1
Intelsat Jackson Holdings S.A. 7.250%, 10/15/20		1.1
Neptune Finco Corp., 10.875%, 10/15/25**		1.0
Valeant Pharmaceuticals International, Inc., 7.500%, 07/15/21**		1.0

Top Ten as a Group		12.5	%

**	Top Ten Holdings as of June 30, 2016.

AMG Managers High Yield Fund

Schedule of Portfolio Investments

December 31, 2016


	Principal Amount		Value
Corporate Bonds and Notes—92.6%
Financials - 5.1%
Aircastle, Ltd., 5.000%, 04/01/23	$	70,000	$	71,575
Ally Financial, Inc.,
4.250%, 04/15/21		65,000		65,772
4.625%, 05/19/22		80,000		81,100
4.625%, 03/30/25		95,000		93,931
5.750%, 11/20/25		40,000		40,050
Bank of America Corp., Series K, 8.000%, 07/29/49^4,5		165,000		169,744
Care Capital Properties LP, 5.125%, 08/15/26 (a)		30,000		29,278
Chinos Intermediate Holdings A, Inc., (7.750% Cash or 8.500% PIK), 7.750%, 05/01/19 (a)⁶		65,208		27,061
Citigroup, Inc.,
Series N, 5.800%, 11/29/49^4,5		5,000		5,050
Series O, 5.875%, 12/29/49^1,4,5		5,000		5,056
Cogent Communications Finance, Inc., 5.625%, 04/15/21 (a)		90,000		91,125
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.250%, 10/15/23		100,000		106,500
Corrections Corp. of America, 4.625%, 05/01/23		110,000		108,900
Dana Financing Luxembourg Sarl, 6.500%, 06/01/26 (a)		20,000		20,950
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.,
5.450%, 06/15/23 (a)		45,000		47,797
6.020%, 06/15/26 (a)		40,000		43,409
Equinix, Inc.,
5.375%, 01/01/22		15,000		15,825
5.750%, 01/01/25		5,000		5,250
5.875%, 01/15/26		50,000		52,750
ESH Hospitality, Inc., 5.250%, 05/01/25 (a)		20,000		19,950
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 4.500%, 09/01/26 (a)		25,000		24,125
Newfield Exploration Co., 5.750%, 01/30/22		65,000		68,819
Total Financials				1,194,017
Industrials—86.3%
1011778 BC ULC / New Red Finance, Inc., 6.000%, 04/01/22 (a)		60,000		62,850
21st Century Oncology, Inc., 11.000%, 05/01/23 (a)^4,7		65,406		44,803
ACCO Brands Corp.,
5.250%, 12/15/24 (a)		20,000		20,188
6.750%, 04/30/20		60,000		63,150
Adient Global Holdings, Ltd., 4.875%, 08/15/26 (a)		35,000		34,388
The ADT Corp., 3.500%, 07/15/22		80,000		76,600
AdvancePierre Foods Holdings, Inc., 5.500%, 12/15/24 (a)		10,000		10,119
AECOM,
5.750%, 10/15/22		20,000		21,240

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—86.3% (continued)
5.875%, 10/15/24	$	25,000	$	26,815
Air Medical Merger Sub Corp., 6.375%, 05/15/23 (a)		70,000		67,550
Alberta Energy Co., Ltd.,
7.375%, 11/01/31		5,000		5,768
8.125%, 09/15/30		10,000		12,067
Alere, Inc.,
6.375%, 07/01/23 (a)		30,000		29,962
6.500%, 06/15/20		20,000		19,800
Allegion PLC, 5.875%, 09/15/23		15,000		15,975
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.875%, 12/15/24 (a)		20,000		20,800
Altice Luxembourg, S.A., 7.750%, 05/15/22 (a)		200,000		214,000
AMC Entertainment Holdings, Inc.,
5.750%, 06/15/25		75,000		77,063
5.875%, 11/15/26 (a)		10,000		10,250
AMC Networks, Inc., 5.000%, 04/01/24		40,000		40,350
American Axle & Manufacturing, Inc.,
6.250%, 03/15/21		25,000		25,875
6.625%, 10/15/22		55,000		56,991
Amkor Technology, Inc.,
6.375%, 10/01/22		85,000		88,931
6.625%, 06/01/21		60,000		61,875
Anixter, Inc., 5.500%, 03/01/23		80,000		83,300
Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.375%, 09/15/24 (a)		25,000		25,375
Antero Resources Corp.,
5.125%, 12/01/22		35,000		35,525
5.375%, 11/01/21		25,000		25,656
6.000%, 12/01/20		15,000		15,451
Apex Tool Group LLC, 7.000%, 02/01/21 (a)		30,000		27,000
Arconic, Inc., 5.900%, 02/01/27		10,000		10,475
Argos Merger Sub, Inc., 7.125%, 03/15/23 (a)		145,000		148,262
Ashland, Inc.,
4.750%, 08/15/22 (b)		60,000		62,475
6.875%, 05/15/43		50,000		51,875
Avaya, Inc., 7.000%, 04/01/19 (a)		45,000		39,600
Avis Budget Car Rental LLC / Avis Budget Finance, Inc.,
5.125%, 06/01/22 (a)¹		30,000		29,512
5.500%, 04/01/23		60,000		59,175
6.375%, 04/01/24 (a)		40,000		40,150
Belden, Inc., 5.500%, 09/01/22 (a)		85,000		87,975
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (a)		80,000		80,400

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—86.3% (continued)
Boardwalk Pipelines L.P., 5.950%, 06/01/26	$	15,000	$	16,323
Boise Cascade Co., 5.625%, 09/01/24 (a)		10,000		9,975
Bombardier, Inc., 7.500%, 03/15/25 (a)		105,000		104,267
Boyd Gaming Corp., 6.375%, 04/01/26 (a)		20,000		21,640
Caesars Entertainment Operating Co., Inc.,
8.500%, 02/15/20⁸		122,949		129,096
9.000%, 02/15/20⁸		290,149		301,755
11.250%, 06/01/17⁸		113,152		115,698
Carrizo Oil & Gas, Inc., 6.250%, 04/15/23		20,000		20,600
CBS Radio, Inc., 7.250%, 11/01/24 (a)		15,000		15,788
CCO Holdings LLC / CCO Holdings Capital Corp.,
5.375%, 05/01/25 (a)		30,000		30,975
5.500%, 05/01/26 (a)		25,000		25,562
5.750%, 02/15/26 (a)		255,000		264,562
5.875%, 04/01/24 (a)		90,000		96,300
Central Garden & Pet Co., 6.125%, 11/15/23		45,000		47,700
CenturyLink, Inc., Series W, 6.750%, 12/01/23		105,000		107,756
The Chemours Co.,
6.625%, 05/15/23		50,000		49,750
7.000%, 05/15/25		20,000		19,800
Cheniere Corpus Christi Holdings LLC, 5.875%, 03/31/25 (a)		30,000		30,722
Chesapeake Energy Corp.,
6.875%, 11/15/20		15,000		15,075
8.000%, 12/15/22 (a)		102,000		110,415
8.000%, 01/15/25 (a)		40,000		40,950
Cinemark USA, Inc., 4.875%, 06/01/23		45,000		45,788
Claire’s Stores, Inc., 9.000%, 03/15/19 (a)		145,000		73,950
Clean Harbors, Inc., 5.125%, 06/01/21		25,000		25,630
Clear Channel Worldwide Holdings, Inc.,
Series A, 6.500%, 11/15/22		85,000		85,425
Series B, 6.500%, 11/15/22		225,000		231,188
Series A, 7.625%, 03/15/20		55,000		53,075
Series B, 7.625%, 03/15/20		115,000		115,359
CNH Industrial Capital LLC, 4.875%, 04/01/21		55,000		57,338
Cogent Communications Group, Inc., 5.375%, 03/01/22 (a)		70,000		72,625
CommScope Technologies Finance LLC, 6.000%, 06/15/25 (a)		85,000		90,525
CommScope, Inc., 5.500%, 06/15/24 (a)		35,000		36,356
Communications Sales & Leasing, Inc. / CSL Capital LLC, 7.125%, 12/15/24 (a)		15,000		15,188
Continental Resources, Inc., 4.500%, 04/15/23		75,000		73,875
Cooper-Standard Automotive, Inc., 5.625%, 11/15/26 (a)		25,000		24,781

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials - 86.3% (continued)
Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp.,
6.125%, 03/01/22	$	10,000	$	10,300
6.250%, 04/01/23 (b)		35,000		35,875
CSI Compressco L.P. / Compressco Finance, Inc., 7.250%, 08/15/22		20,000		19,000
Dana Holding Corp.,
5.500%, 12/15/24		35,000		35,875
6.000%, 09/15/23		95,000		99,631
DaVita HealthCare Partners, Inc., 5.000%, 05/01/25		70,000		69,038
Denbury Resources, Inc.,
4.625%, 07/15/23		50,000		40,375
5.500%, 05/01/22		40,000		35,100
DISH DBS Corp.,
5.000%, 03/15/23		150,000		149,625
5.875%, 07/15/22		125,000		131,875
5.875%, 11/15/24		265,000		273,679
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp., 8.125%, 06/15/21 (a)		155,000		135,238
Encana Corp.,
6.625%, 08/15/37		25,000		27,019
7.200%, 11/01/31		15,000		16,873
Energizer Holdings, Inc., 5.500%, 06/15/25 (a)		65,000		65,325
EnLink Midstream Partners L.P., 4.400%, 04/01/24		45,000		44,780
Entegris, Inc., 6.000%, 04/01/22 (a)		90,000		93,938
EP Energy LLC / Everest Acquisition Finance, Inc.,
7.750%, 09/01/22		40,000		32,600
8.000%, 11/29/24 (a)		15,000		16,196
9.375%, 05/01/20		105,000		97,321
FGI Operating Co. LLC / FGI Finance, Inc., 7.875%, 05/01/20		70,000		59,850
First Data Corp.,
5.375%, 08/15/23 (a)		57,000		59,280
5.750%, 01/15/24 (a)		335,000		346,936
7.000%, 12/01/23 (a)		23,000		24,552
Freeport-McMoRan, Inc.,
3.875%, 03/15/23		10,000		9,225
4.550%, 11/14/24		15,000		14,138
Frontier Communications Corp.,
6.875%, 01/15/25		40,000		34,050
10.500%, 09/15/22		5,000		5,275
11.000%, 09/15/25		140,000		145,075
Gardner Denver, Inc., 6.875%, 08/15/21 (a)		40,000		40,000
Gates Global LLC / Gates Global Co., 6.000%, 07/15/22 (a)		40,000		39,320

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials - 86.3% (continued)
GCI, Inc., 6.750%, 06/01/21	$	50,000	$	51,500
GCP Applied Technologies, Inc., 9.500%, 02/01/23 (a)		35,000		40,250
General Cable Corp., 5.750%, 10/01/22 (b)		85,000		82,875
The Geo Group, Inc.,
5.875%, 01/15/22		95,000		96,662
6.000%, 04/15/26		25,000		24,688
The Goodyear Tire & Rubber Co.,
5.000%, 05/31/26		10,000		9,979
5.125%, 11/15/23		25,000		25,875
Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19		80,000		79,600
Gulfport Energy Corp., 6.000%, 10/15/24 (a)		10,000		10,225
H&E Equipment Services, Inc., 7.000%, 09/01/22		90,000		95,175
Halcon Resources Corp., 8.625%, 02/01/20 (a)		20,000		20,900
Hanesbrands, Inc., 4.625%, 05/15/24 (a)		25,000		24,375
HCA, Inc.,
5.250%, 06/15/26		45,000		46,631
5.375%, 02/01/25		230,000		230,862
5.875%, 02/15/26		210,000		216,825
7.500%, 02/15/22		205,000		233,188
HD Supply, Inc., 5.750%, 04/15/24 (a)		55,000		58,201
HealthSouth Corp.,
5.750%, 11/01/24		30,000		30,525
5.750%, 09/15/25		55,000		55,000
Herc Rentals, Inc., 7.750%, 06/01/24 (a)		95,000		100,344
The Hertz Corp.,
5.500%, 10/15/24 (a)		35,000		30,756
6.250%, 10/15/22		100,000		94,250
7.375%, 01/15/21		80,000		80,600
Hexion, Inc.,
6.625%, 04/15/20		145,000		129,050
8.875%, 02/01/18		55,000		55,000
The Hillman Group, Inc., 6.375%, 07/15/22 (a)		80,000		75,600
Hill-Rom Holdings, Inc., 5.750%, 09/01/23 (a)		55,000		57,062
Hilton Domestic Operating Co., Inc., 4.250%, 09/01/24 (a)		10,000		9,750
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., 6.125%, 12/01/24 (a)		10,000		10,438
HRG Group, Inc., 7.750%, 01/15/22		40,000		41,900
Hughes Satellite Systems Corp., 6.625%, 08/01/26 (a)		10,000		10,075
Huntsman International LLC, 5.125%, 11/15/22		95,000		97,375
iHeartCommunications, Inc., 9.000%, 03/01/21		105,000		78,094
Inception Merger Sub, Inc. / Rackspace Hosting, Inc., 8.625%, 11/15/24 (a)		40,000		42,438

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials - 86.3% (continued)
INEOS Group Holdings, S.A., 5.625%, 08/01/24 (a)	$	200,000	$	199,000
Infinity Acquisition LLC / Infinity Acquisition Finance Corp., 7.250%, 08/01/22 (a)		60,000		50,850
Infor Software Parent LLC / Infor Software Parent, Inc., (7.125% Cash or 7.875% PIK), 7.125%, 05/01/21 (a)⁶		85,000		87,975
Infor US, Inc., 6.500%, 05/15/22		145,000		151,888
Informatica LLC, 7.125%, 07/15/23 (a)		90,000		86,400
Intelsat Jackson Holdings S.A.,
5.500%, 08/01/23		110,000		74,668
7.250%, 04/01/19		40,000		33,800
7.250%, 10/15/20		315,000		245,700
7.500%, 04/01/21		35,000		26,862
International Game Technology PLC, 6.500%, 02/15/25 (a)		200,000		215,500
Interval Acquisition Corp., 5.625%, 04/15/23		65,000		66,625
inVentiv Group Holdings Inc/inVentiv Health Inc/inVentiv Health Clinical, Inc., 7.500%, 10/01/24 (a)		40,000		42,096
inVentiv Health, Inc., 9.000%, 01/15/18 (a)		105,000		105,215
J.C. Penney Corp., Inc., 6.375%, 10/15/36		40,000		33,850
Jack Cooper Holdings Corp., 9.250%, 06/01/20 (b)⁷		120,000		52,500
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp., 6.750%, 11/15/21 (a)		45,000		45,675
James Hardie International Finance, Ltd., 5.875%, 02/15/23 (a)		20,000		20,800
Kindred Healthcare, Inc., 8.750%, 01/15/23		95,000		89,181
Kinetic Concepts, Inc. / KCI USA, Inc.,
7.875%, 02/15/21 (a)		30,000		32,625
9.625%, 10/01/21 (a)		125,000		132,812
KLX, Inc., 5.875%, 12/01/22 (a)		90,000		93,038
Kratos Defense & Security Solutions, Inc., 7.000%, 05/15/19		49,000		47,652
L Brands, Inc., 6.750%, 07/01/36		45,000		45,788
Level 3 Communications, Inc., 5.750%, 12/01/22		60,000		61,800
Level 3 Financing, Inc., 5.375%, 05/01/25		95,000		97,138
Live Nation Entertainment, Inc., 4.875%, 11/01/24 (a)		10,000		10,050
LSB Industries, Inc., 8.500%, 08/01/19 (b)		96,000		88,800
LTF Merger Sub, Inc., 8.500%, 06/15/23 (a)		70,000		72,800
Magnachip Semiconductor Corp., 6.625%, 07/15/21 (b)		95,000		82,650
Mallinckrodt International Finance, S.A. / Mallinckrodt CB LLC,
5.500%, 04/15/25 (a)		35,000		31,500
5.625%, 10/15/23 (a)		30,000		28,125
5.750%, 08/01/22 (a)		25,000		24,188
MEG Energy Corp.,
6.375%, 01/30/23 (a)		25,000		22,375
7.000%, 03/31/24 (a)		135,000		122,850
MGM Growth Properties Operating Partnership L.P. / MGP Escrow Co-Issuer, Inc., 5.625%, 05/01/24 (a)		10,000		10,500

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials - 86.3% (continued)
MGM Resorts International,
6.000%, 03/15/23	$	95,000	$	102,838
7.750%, 03/15/22		180,000		207,450
Micron Technology, Inc.,
5.250%, 01/15/24 (a)		100,000		100,000
7.500%, 09/15/23 (a)		30,000		33,300
Microsemi Corp., 9.125%, 04/15/23 (a)		75,000		87,750
Midcontinent Communications & Midcontinent Finance Corp., 6.875%, 08/15/23 (a)		70,000		74,900
MPLX L.P.,
4.875%, 06/01/25		95,000		97,838
5.500%, 02/15/23		35,000		36,418
Nabors Industries, Inc., 5.500%, 01/15/23 (a)		10,000		10,438
Neiman Marcus Group, Ltd. LLC, 8.000%, 10/15/21 (a)		25,000		18,688
Neiman Marcus Group, Ltd. LLC (8.750% Cash or 9.500% PIK), 8.750%, 10/15/21 (a)^1,6		80,000		57,000
Neptune Finco Corp., 10.875%, 10/15/25 (a)		200,000		238,500
Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 (a)		65,000		66,462
Noranda Aluminum Acquisition Corp., 11.000%, 06/01/19⁸		35,000		2
Novelis Corp.,
5.875%, 09/30/26 (a)		20,000		20,250
6.250%, 08/15/24 (a)		20,000		21,250
Oasis Petroleum, Inc.,
6.500%, 11/01/21		60,000		61,425
6.875%, 03/15/22		40,000		41,200
6.875%, 01/15/23		25,000		25,750
Omega US Sub LLC, 8.750%, 07/15/23 (a)		75,000		78,750
Oshkosh Corp., 5.375%, 03/01/25		20,000		20,500
Parsley Energy LLC / Parsley Finance Corp., 6.250%, 06/01/24 (a)		5,000		5,286
Post Holdings, Inc., 7.750%, 03/15/24 (a)		100,000		111,500
Quebecor Media, Inc., 5.750%, 01/15/23		170,000		177,012
Quebecor World, Escrow, 6.500%, 08/01/27^*,7		165,000		16
Qwest Capital Funding, Inc., 7.750%, 02/15/31		65,000		59,475
Radio Systems Corp., 8.375%, 11/01/19 (a)		105,000		109,528
Regal Entertainment Group,
5.750%, 03/15/22		20,000		21,000
5.750%, 06/15/23		40,000		41,038
Regency Energy Partners, L.P. / Regency Energy Finance Corp., 5.500%, 04/15/23		45,000		46,688
Reichhold Holdings International B.V. PIK,
12.000%, 03/31/18⁷		87,678		87,678
15.000%, 03/31/18⁷		56,456		56,456
Reichhold LLC, 12.000%, 03/31/18⁷		35,000		35,000

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials - 86.3% (continued)
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu,
5.750%, 10/15/20	$	95,000	$	98,088
7.000%, 07/15/24 (a)		20,000		21,300
Rite Aid Corp., 6.125%, 04/01/23 (a)		80,000		86,300
Riverbed Technology, Inc., 8.875%, 03/01/23 (a)		75,000		79,500
RSI Home Products, Inc., 6.500%, 03/15/23 (a)		105,000		110,250
RSP Permian, Inc.,
5.250%, 01/15/25 (a)		15,000		15,112
6.625%, 10/01/22		15,000		15,938
Sabine Pass Liquefaction LLC,
5.625%, 04/15/23 (b)		100,000		106,750
5.750%, 05/15/24		100,000		107,750
Sabre GLBL, Inc.,
5.250%, 11/15/23 (a)		35,000		36,115
5.375%, 04/15/23 (a)		45,000		46,125
Sanchez Energy Corp., 6.125%, 01/15/23		35,000		33,425
SBA Communications Corp., 4.875%, 09/01/24 (a)		50,000		49,500
The Scotts Miracle-Gro Co.,
5.250%, 12/15/26 (a)		15,000		15,038
6.000%, 10/15/23 (a)		50,000		53,125
Sensata Technologies BV, 4.875%, 10/15/23 (a)		115,000		118,019
Service Corp. International, 7.500%, 04/01/27		115,000		133,975
Sinclair Television Group, Inc.,
5.125%, 02/15/27 (a)		15,000		14,325
6.125%, 10/01/22		105,000		109,988
Sirius XM Radio, Inc.,
5.375%, 04/15/25 (a)		130,000		129,675
6.000%, 07/15/24 (a)		80,000		83,800
Six Flags Entertainment Corp., 4.875%, 07/31/24 (a)		20,000		19,800
SM Energy Co.,
5.625%, 06/01/25		30,000		29,100
6.125%, 11/15/22		10,000		10,175
6.500%, 01/01/23		10,000		10,212
Southwestern Energy Co.,
4.100%, 03/15/22		5,000		4,749
6.700%, 01/23/25 (b)		30,000		30,825
Sprint Capital Corp.,
6.875%, 11/15/28		15,000		14,850
8.750%, 03/15/32		340,000		374,850

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials - 86.3% (continued)
Sprint Corp.,
7.625%, 02/15/25	$	100,000	$	105,375
7.875%, 09/15/23		340,000		363,800
SPX FLOW, Inc.,
5.625%, 08/15/24 (a)		15,000		15,150
5.875%, 08/15/26 (a)		20,000		20,050
Targa Resources Partners LP / Targa Resources Partners Finance Corp.,
5.125%, 02/01/25 (a)		15,000		14,944
6.750%, 03/15/24		55,000		59,262
TEGNA, Inc.,
4.875%, 09/15/21 (a)		15,000		15,300
5.500%, 09/15/24 (a)		45,000		45,619
Tempur Sealy International, Inc., 5.625%, 10/15/23		90,000		93,375
Tenet Healthcare Corp.,
6.750%, 06/15/23		180,000		159,300
7.500%, 01/01/22 (a)		10,000		10,450
8.125%, 04/01/22		270,000		256,095
Tenneco, Inc., 5.000%, 07/15/26		5,000		4,919
Terex Corp., 6.000%, 05/15/21		135,000		138,544
Tesoro Logistics L.P. / Tesoro Logistics Finance Corp.,
5.250%, 01/15/25		20,000		20,500
5.875%, 10/01/20		58,000		59,885
6.125%, 10/15/21		25,000		26,312
6.250%, 10/15/22		20,000		21,300
6.375%, 05/01/24		20,000		21,500
Time, Inc., 5.750%, 04/15/22 (a)		80,000		83,200
T-Mobile USA, Inc.,
6.500%, 01/15/26		65,000		70,444
6.731%, 04/28/22		175,000		183,312
TransDigm, Inc., 6.500%, 05/15/25		80,000		84,100
Triumph Group, Inc., 4.875%, 04/01/21		80,000		75,440
UCI International LLC, 8.625%, 02/15/19^7,8		115,000		24,150
United Rentals North America, Inc.,
5.500%, 05/15/27		30,000		29,812
5.750%, 11/15/24		65,000		68,575
5.875%, 09/15/26		75,000		77,531
United States Cellular Corp., 6.700%, 12/15/33		65,000		64,675
Valeant Pharmaceuticals International, Inc.,
5.875%, 05/15/23 (a)		210,000		159,600

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Industrials—86.3% (continued)
6.125%, 04/15/25 (a)	$	60,000	$	45,300
7.250%, 07/15/22 (a)		130,000		106,925
7.500%, 07/15/21 (a)		280,000		238,350
Valvoline, Inc., 5.500%, 07/15/24 (a)		5,000		5,188
Versum Materials, Inc., 5.500%, 09/30/24 (a)		20,000		20,500
Vista Outdoor, Inc., 5.875%, 10/01/23		85,000		89,410
Western Digital Corp.,
7.375%, 04/01/23 (a)		65,000		71,662
10.500%, 04/01/24 (a)		120,000		142,200
Whiting Petroleum Corp.,
5.750%, 03/15/21		40,000		40,034
6.250%, 04/01/23		90,000		90,450
Williams Partners, L.P. / ACMP Finance Corp., 6.125%, 07/15/22		60,000		61,887
Windstream Services LLC,
6.375%, 08/01/23		30,000		26,925
7.500%, 06/01/22		90,000		88,650
7.500%, 04/01/23		15,000		14,512
7.750%, 10/01/21		140,000		144,620
WMG Acquisition Corp.,
4.875%, 11/01/24 (a)		10,000		10,000
5.625%, 04/15/22 (a)		18,000		18,698
WPX Energy, Inc.,
5.250%, 09/15/24		10,000		9,750
6.000%, 01/15/22		15,000		15,450
8.250%, 08/01/23		50,000		56,125
WR Grace & Co., 5.625%, 10/01/24 (a)		10,000		10,538
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.500%, 03/01/25 (a)		150,000		149,175
XPO Logistics, Inc.,
6.125%, 09/01/23 (a)		15,000		15,731
6.500%, 06/15/22 (a)		80,000		84,300
Zayo Group LLC / Zayo Capital, Inc.,
6.000%, 04/01/23		50,000		52,250
6.375%, 05/15/25		60,000		62,925
Zebra Technologies Corp., 7.250%, 10/15/22		120,000		131,100
Total Industrials				19,977,355
Utilities—1.2%
AES Corp, 6.000%, 05/15/26		15,000		15,300
AmeriGas Partners LP / AmeriGas Finance Corp., 5.500%, 05/20/25		30,000		30,412
Dynegy, Inc.,
7.375%, 11/01/22		90,000		86,400

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Utilities—1.2% (continued)
7.625%, 11/01/24¹	$	45,000	$	41,738
8.000%, 01/15/25 (a)		25,000		23,562
NRG Energy, Inc.,
6.250%, 07/15/22		40,000		40,300
6.625%, 01/15/27 (a)		35,000		33,250
7.875%, 05/15/21		4,000		4,190
Total Utilities				275,152
Total Corporate Bonds and Notes (cost $21,575,580)				21,446,524
Floating Rate Senior Loan Interests—3.3%⁹
21st Century Oncology Holdings, Inc., 1st Lien Senior Secured Term Loan B, 7.125%, 04/30/22 (03/31/17)⁷		98,500		91,112
Clear Channel Communications, Inc., Term Loan D, 7.520%, 01/30/19 (01/30/17)		34,927		28,495
Evergreen Skills LUX S.A R.L., Initial Term Loan (First Lien), 5.837%, 04/28/21 (01/31/17)		97,750		89,624
Evergreen Skills LUX S.A R.L., Initial Term Loan (Second Lien), 9.337%, 04/28/22 (01/31/17)		50,000		37,697
Gardner Denver, Inc., Initial Dollar Term Loan,
4.250%, 07/30/20 (01/31/17)		1,978		1,960
4.568%, 07/30/20 (03/31/17)		58,022		57,515
The Hillman Group, Inc., Initial Term Loan, 4.500%, 06/30/21 (03/31/17)		97,500		98,089
Neiman Marcus Group, Inc., Other Term Loan, 4.250%, 10/25/20 (01/06/17)		101,016		88,389
Ortho-Clinical Diagnostics Holdings Luxembourg S.A.R.L., Initial Term Loan, 4.750%, 06/30/21 (03/31/17)		97,500		97,027
Steinway Musical Instruments, Inc., 1st Lien Term Loan, 4.750%, 09/19/19 (01/31/17)		96,632		93,250
Wilton Brands LLC (FKA Wilton Brands, Inc.), 8.500%, 08/30/18 (02/28/17)		95,102		90,506
Total Floating Rate Senior Loan Interests (cost $823,652)				773,664

	Shares
Common Stocks—0.7%
Industrials—0.7%
Halcon Resources Corp.^*		5,513		51,494
Quad/Graphics, Inc.		1		26
Reichhold Cayman Equity^*,7		148		97,532
Total Industrials				149,052
Total Common Stocks (cost $116,262)				149,052
Warrants—0.0%
Industrials—0.0%
Jack Cooper Enterprises, 03/26/27^*,7
(cost $1,203)		176		—

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

AMG Managers High Yield Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Short-Term Investments—2.8%
Repurchase Agreements—0.4%²
Daiwa Capital Markets America, dated 12/30/16, due 01/03/17, 0.520% total to be received $77,194 (collateralized by various U.S. Government Agency Obligations, 0.000%—6.500%, 03/02/17—02/01/49, totaling $78,734)	$	77,190	$	77,190

	Shares
Other Investment Companies—2.4%³
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%		558,938		558,938
Total Short-Term Investments (cost $636,128)				636,128
Total Investments—99.4% (cost $23,152,825)				23,005,368
Other Assets, less Liabilities—0.6%				146,823
Net Assets—100.0%			$	23,152,191

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

AMG Managers Amundi Intermediate Government Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

During the year ended December 31, 2016, the AMG Managers Amundi Intermediate Government Fund1 Class S2 (the “Fund”) returned 1.4%, while the Citigroup Mortgage Index returned 1.6%.

2016 included a number of notable events. Expectations for a U.S. Federal Reserve (the “Fed”) rate hike early in the year proved to be premature, as market pricing of inflation decreased by the end of the first quarter. The surprising vote for “Brexit” highlighted the transition of uncertainty towards the political realm. This theme of political uncertainty persisted into November, as the Republican party won the U.S. presidential election, along with the majority of the House and Senate, leading market participants to shift their focus from the Fed and monetary policy to the fiscal policy of the new administration. By the end of the year, markets generally reacted positively, with increases in growth expectations.

Agency mortgage-backed securities (“MBS”) experienced a difficult environment to begin the first quarter, as intermediate-term Treasuries rallied. The FNMA par coupon had a difficult time keeping up with the move in Treasury rates, but was still 45 basis points lower during the quarter. Interest-rate volatility increased as pressure in credit sectors created fluctuations in the pricing of Treasury securities. Agency MBS spreads widened to the swap curve in the first part of the quarter, but tightened during March, to end the quarter slightly wider than where they started.

Agency MBS did well for much of the second quarter, but had some trouble keeping pace with Treasury securities in late June. Agency MBS weathered the immediate aftermath of Brexit relatively well. Initially, we saw spreads widen in light of the yield drop, but the market remained orderly and trading volumes were heavy. The drop in rates elevated prepayment risks, which led us to focus on securities with attractive collateral characteristics that would exhibit lower prepayment rates.

September was a solid month for Agency MBS, as interest rates stabilized well above the lows observed earlier in the third quarter. Higher coupon MBS led the way, but the support of the Fed repurchase activity drove solid performance in

production coupons as well. The ease in interest rates during the quarter comforted investors that prepayment rates would remain relatively constrained, which ushered certain buyers back into the market. While prepayment rates increased after the bond rally in the summer, prepayment levels remained well below the levels seen at the peaks in 2012/2013, despite similar mortgage rates, due to the fact that most borrowers who were inclined to refinance had already done so.

Agency MBS continued to struggle through the early part of December, but a bond rally near the end of the year helped to calm duration extension fears. The post-election move in rates was significant, but largely just offset the Brexit rally that occurred earlier in the year. Overall, the asset class performed reasonably well, given the large rate moves during the year.

The Fund slightly underperformed the benchmark for the year. The Fund’s position in Agency FRMs (Fixed-Rate MBS) contributed modestly to performance. Specifically, the Fund remained underweight in lower coupon MBS and generally overweight in middle to higher coupon MBS relative to the benchmark. The Fund also maintained a slight underweight to GNMA MBS versus the benchmark over the same time period. Despite this, the Fund still modestly underperformed its benchmark for the year on a net of fees basis.

During 2016, 30-year Agency FRMs continued to account for the majority of the Fund’s exposure, at 95% of capital. We almost doubled exposure to 15-year Agency FRMs to 7% by year-end, and significantly reduced CMBS exposure from over 5% to less than 2%. Additionally, we increased Consumer ABS exposure modestly to 7%, while maintaining ~1.5% of the Fund’s exposure within Agency CMOs.

LOOKING FORWARD

administration makes appointments. At this time, two empty Board of Governor’s seats need to be filled. This composition shift, in conjunction with recent market expectations of a higher-growth and higher-inflationary environment, may result in the Fed removing monetary accommodations at a rate faster than previously expected.

We believe the higher level of short-term rates likely in such a scenario is not necessarily a negative for agency MBS. The more immediate impact would come from an adjustment in the size of the Fed’s balance sheet. The Fed owns $2.4 trillion Treasury bonds and $1.74 trillion Agency MBS, which it has maintained at a stable level since October 2014 by reinvesting pay-downs in both markets. The Fed has stated it will continue the current reinvestment policy until sometime after short-rates have “normalized.” An earlier normalization of rates would likely also result in an earlier adjustment to the reinvestment policy. However, a number of factors might mitigate this risk of additional supply, including:

•

A gradual decrease in investment activity beginning in 2018 or later

•

The market’s recent ability to absorb substantial supply in an orderly manner

•

The potential for a simultaneous tapering of Treasuries and MBS, which would mitigate the impact on MBS spreads

We believe fundamentals for MBS are more positive. With rates well off the lows from earlier in the year, prepayment rates should drop sharply in the coming months, fully reversing the move from earlier in 2016. Additionally, the premia for pools with more attractive collateral characteristics have decreased, and specified pools may offer protection against wider generic mortgage spreads. We view this as an opportunity to buy cheap convexity, which should benefit from any uptick in volatility.

AMG Managers Amundi Intermediate Government Fund

Portfolio Manager’s Comments (continued)

Treasuries. Additional volatility should provide a good environment for active management to capitalize on market mispricing.

¹	Prior to October 1, 2016, the Fund was known as AMG Managers Intermediate Duration Government Fund.

²	Effective October 1, 2016, the shares of the Fund were reclassified and redesignated as Class S shares.

This commentary reflects the viewpoints of the portfolio manager, Amundi Smith Breeden LLC as

of December 31, 2016, and is not intended as a forecast or guarantee of future results and are subject to change without notice.

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG Managers Amundi Intermediate Government Fund’s (formerly AMG Managers Intermediate Duration Government Fund) cumulative total return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. The graph compares

a hypothetical $10,000 investment made in the AMG Managers Amundi Intermediate Government Fund’s Class S on December 31, 2006 to a $10,000 investment made in the benchmarks for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

AMG Managers Amundi Intermediate Government Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE (continued)

LOGO

The table below shows the average annual total returns for the AMG Managers Amundi Intermediate Government Fund, Bloomberg Barclays U.S. Aggregate Bond Index and the Citigroup Mortgage Index for the same time periods ended December 31, 2016.


	One			Five			Ten
Average Annual Total Returns¹	Year			Years			Years
AMG Managers Amundi Intermediate Government Fund ^2,3,4,5,6,7
Class S⁸		1.42	%		2.18	%		4.31	%
Bloomberg Barclays U.S. Aggregate Bond Index⁹		2.65	%		2.23	%		4.34	%
Citigroup Mortgage Index¹⁰		1.59	%		2.04	%		4.30	%

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

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

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

⁴	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.

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

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.

⁷

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.

⁸	Effective October 1, 2016, the shares of the AMG Managers Amundi Intermediate Government Fund were reclassified and redesignated as Class S shares.

⁹

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.

¹⁰

The Citigroup Mortgage Index includes all outstanding government sponsored fixed-rate mortgage-backed securities, weighted in proportion to their current market capitalization. The Index reflects no deductions for fees, expenses, or taxes. Unlike the Fund, the Citigroup Mortgage Index is unmanaged, is not available for investment, and does not incur expenses.

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

AMG Managers Amundi Intermediate Government Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


Category	AMG Managers Amundi Intermediate Government Fund*
U.S. Government and Agency Obligations		118.8	%
Asset-Backed Securities		6.7	%
Mortgage-Backed Securities		2.4	%
TBA Forward Sale Commitments		(10.8	)%
Other Assets and Liabilities		(17.1	)%

*	As a percentage of net assets.


Rating	AMG Managers Amundi Intermediate Government Fund^***
U.S. Government and Agency Obligations		92.9	%
Aaa		6.8	%
Aa		0.0	%^#
Baa		0.1	%
Ba & lower		0.2	%

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

#	Less than 0.05%.

TOP TEN HOLDINGS


Security Name	% of Net Assets
FNMA, 3.500%, TBA 30 Years		9.7	%
FHLMC Gold Pool, 4.000%, TBA 30 Years		9.6
FNMA, 3.000%, TBA 30 Years		6.4
FHLMC Gold Pool, 3.500%, TBA 30 Years		6.0
FNMA, 4.000%, TBA 30 Years		4.7
FNMA, 4.500%, TBA 30 Years		4.6
FNMA, 3.000%, TBA 30 Years		4.5
FNMA, 2.500%, TBA 30 Years		3.3
FNMA, 4.000%, 09/01/55		1.8
Progress Residential Trust, Series 2015-SFR2, Class A, 2.740%,
06/12/32**		1.8

Top Ten as a Group		52.4	%

**	Top Ten Holdings as of June 30, 2016.

AMG Managers Amundi Intermediate Government Fund

Schedule of Portfolio Investments

December 31, 2016


	Principal Amount		Value
Asset-Backed Securities—6.7%
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.736%, 06/17/31 (01/17/17) (a)^9,10	$	1,135,483	$	1,131,456
Colony American Homes,
Series 2014-1A, Class A, 2.136%, 05/17/31 (01/17/17) (a)⁹		1,527,051		1,525,701
Series 2014-2A, Class A, 1.705%, 07/17/31 (01/17/17) (a)⁹		1,775,804		1,761,214
Invitation Homes Trust,
Series 2013-SFR1, Class A, 1.886%, 12/17/30 (01/17/17) (a)^9,10		1,953,270		1,953,296
Series 2014-SFR1, Class A, 1.736%, 06/17/31 (01/17/17) (a)⁹		97,092		96,740
Progress Residential Trust, Series 2015-SFR2, Class A, 2.740%, 06/12/32 (a)¹⁰		2,970,740		2,943,564
SWAY Residential Trust, Series 2014-1, Class A, 2.036%, 01/17/32 (01/17/17) (a)⁹		1,653,284		1,654,356
Total Asset-Backed Securities (cost $11,055,003)				11,066,327
Mortgage-Backed Securities—2.4%
American Home Mortgage Assets Trust, Series 2005-1, Class 1A1, 3.416%, 11/25/35 (02/25/17)⁹		59,786		51,001
American Home Mortgage Investment Trust,
Series 2004-1, Class 4A, 3.293%, 04/25/44 (02/25/17)⁹		99,993		92,954
Series 2005-1, Class 5A1, 3.278%, 06/25/45 (02/25/17)⁹		18,331		18,200
Banc of America Funding Trust, Series 2004-B, Class 1A2, 2.981%, 12/20/34⁴		65,282		60,308
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW16, Class A4, 5.711%, 06/11/40^4,10		1,426,332		1,427,790
GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF, 1.106%, 03/25/35 (01/25/17) (a)^7,9		152,727		135,040
GSR Mortgage Loan Trust, Series 2004-5, Class 1A3, 2.530%, 05/25/34 (02/25/17)⁹		29,422		28,243
Harborview Mortgage Loan Trust, Series 2004-7, Class 2A2, 2.880%, 11/19/34⁴		56,817		52,302
Morgan Stanley Capital I Trust, Series 2007-T27, Class A4, 5.643%, 06/11/42⁴		1,738,798		1,758,483
Reperforming Loan REMIC Trust, Series 2004-R2, Class 1AF1, 1.176%, 11/25/34 (01/25/17) (a)^7,9		87,363		75,735
Structured Asset Securities Corp., Series 2005-RF1, Class A, 1.106%, 03/25/35 (01/25/17) (a)^7,9		179,130		150,200
Wells Fargo Mortgage Backed Securities Trust, Series 2007-16, Class 1A1, 6.000%, 12/28/37		134,768		139,358
Total Mortgage-Backed Securities (cost $4,179,187)				3,989,614
U.S. Government and Agency Obligations—118.8%
Federal Home Loan Mortgage Corporation—29.2%
FHLMC, 2.802%, 11/01/33 (3/15/17)^9,10		592,162		628,781
FHLMC Gold Pool,
3.000%, 06/01/45		1,628,054		1,621,698
3.500%, 04/01/32 to 05/01/43¹⁰		6,495,423		6,702,262
3.500%, TBA 30 years^11,12		9,700,000		9,932,246
4.000%, 09/01/31 to 07/01/44¹⁰		4,909,794		5,179,555
4.000%, TBA 30 years^11,12		15,200,000		15,946,046
4.500%, 02/01/20 to 09/01/41¹⁰		2,002,390		2,148,281
5.000%, 05/01/18 to 06/01/41¹⁰		2,649,260		2,888,319
5.500%, 11/01/17 to 01/01/39¹⁰		2,163,346		2,403,150
6.000%, 09/01/17 to 01/01/24		246,685		263,451
7.000%, 07/01/19		59,187		61,336

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

AMG Managers Amundi Intermediate Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal Home Loan Mortgage Corporation—29.2% (continued)
FHLMC Gold Pool,
7.500%, 07/01/34¹⁰	$	688,246	$	817,613
Total Federal Home Loan Mortgage Corporation				48,592,738
Federal National Mortgage Association—63.1%
FNMA,
2.500%, 02/01/43		722,349		690,942
2.500%, TBA 30 years^11,12		5,400,000		5,408,543
2.694%, 06/01/34 (2/25/17)^9,10		512,445		530,451
2.842%, 08/01/34 (2/25/17)⁹		231,663		245,556
3.000%, 04/01/45		179,500		179,171
3.000%, TBA 30 years^11,12		10,700,000		10,613,436
3.000%, TBA 30 years^11,12		7,500,000		7,450,604
3.500%, 05/01/42 to 11/01/46¹⁰		14,322,655		14,731,653
3.500%, TBA 30 years^11,12		15,810,000		16,204,015
3.500%, TBA 30 years^11,12		1,400,000		1,432,730
4.000%, 01/01/26 to 09/01/55¹⁰		13,607,995		14,364,530
4.000%, TBA 30 years^11,12		2,600,000		2,733,402
4.000%, TBA 30 years^11,12		7,500,000		7,874,268
4.500%, 11/01/26 to 06/01/46¹⁰		5,899,814		6,362,987
4.500%, TBA 30 years^11,12		7,200,000		7,735,359
4.750%, 07/01/34 to 09/01/34		235,948		257,044
5.000%, 06/01/18 to 08/01/40		2,446,417		2,704,640
5.500%, 03/01/17 to 08/01/41¹⁰		2,742,954		3,063,844
6.000%, 08/01/17 to 06/01/39¹⁰		1,093,443		1,204,911
6.500%, 07/01/32		61,686		63,041
7.000%, 11/01/22¹⁰		302,872		324,860
FNMA REMICS,
Series 1994-55, Class H, 7.000%, 03/25/24¹⁰		428,108		465,864
Series 2005-13, Class AF, 1.156%, 03/25/35 (1/25/17)^9,10		253,762		253,290
FNMA REMICS Whole Loan, Series 2003-W4, Class 4A, 6.790%, 10/25/42⁴		59,344		68,262
Total Federal National Mortgage Association				104,963,403
Government National Mortgage Association—25.4%
GNMA,
3.000%, 11/15/42 to 06/20/45		3,744,210		3,797,393
3.000%, TBA 30 years^11,12		2,000,000		2,025,039
3.500%, 08/15/43 to 11/20/45¹⁰		9,125,546		9,539,876
4.000%, 06/20/43 to 12/20/46¹⁰		11,836,642		12,716,893
4.000%, TBA 30 years^11,12		1,300,000		1,380,234
4.000%, TBA 30 years^11,12		700,000		743,381

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

AMG Managers Amundi Intermediate Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Government National Mortgage Association—25.4% (continued)
GNMA,
4.500%, 05/15/39 to 02/15/46¹⁰	$	5,368,496	$	5,847,085
5.000%, 12/15/35 to 12/15/45¹⁰		4,565,691		5,050,466
5.500%, 10/15/39 to 11/15/39¹⁰		1,050,449		1,185,725
7.500%, 09/15/28 to 11/15/31		20,580		21,374
Total Government National Mortgage Association				42,307,466
Interest Only Strips—1.1%
FHLMC, Series 212, Class IO, 6.000%, 05/01/31⁷		1,082		235
FHLMC REMICS,
Series 2380, Class SI, 7.196%, 06/15/31 (1/15/17)^7,9		9,494		2,111
Series 2922, Class SE, 6.046%, 02/15/35 (1/15/17)⁹		94,260		18,630
Series 2934, Class HI, 5.000%, 02/15/20		28,173		1,490
Series 2934, Class KI, 5.000%, 02/15/20		19,403		949
Series 2965, Class SA, 5.346%, 05/15/32 (1/15/17)⁹		181,250		26,277
Series 2967, Class JI, 5.000%, 04/15/20		53,826		2,951
Series 2980, Class SL, 5.996%, 11/15/34 (1/15/17)⁹		128,317		31,258
Series 3065, Class DI, 5.916%, 04/15/35 (1/15/17)⁹		243,652		46,045
Series 3308, Class S, 6.496%, 03/15/32 (1/15/17)⁹		176,998		35,321
Series 3424, Class XI, 5.866%, 05/15/36 (1/15/17)⁹		209,021		37,304
Series 3489, Class SD, 7.096%, 06/15/32 (1/15/17)⁹		102,338		21,391
Series 3685, Class EI, 5.000%, 03/15/19		84,513		1,827
Series 3731, Class IO, 5.000%, 07/15/19		43,021		1,003
Series 3882, Class AI, 5.000%, 06/15/26		97,690		4,252
Series 4395, Class TI, 4.000%, 05/15/26		651,305		68,321
FNMA,
Series 222, Class 2, 7.000%, 06/25/23⁷		5,511		919
Series 343, Class 21, 4.000%, 09/25/18⁷		28,901		980
Series 343, Class 22, 4.000%, 11/25/18⁷		15,795		538
Series 351, Class 3, 5.000%, 04/25/34		57,417		10,121
Series 351, Class 4, 5.000%, 04/25/34		33,374		6,050
Series 351, Class 5, 5.000%, 04/25/34		27,932		5,063
FNMA REMICS,
Series 2004-49, Class SQ, 6.294%, 07/25/34 (1/25/17)⁹		81,142		14,765
Series 2004-51, Class SX, 6.364%, 07/25/34 (1/25/17)⁹		103,567		20,538
Series 2004-64, Class SW, 6.294%, 08/25/34 (1/25/17)⁹		323,142		61,921
Series 2005-12, Class SC, 5.994%, 03/25/35 (1/25/17)⁹		142,772		25,260
Series 2005-45, Class SR, 5.964%, 06/25/35 (1/25/17)⁹		258,255		48,130
Series 2005-65, Class KI, 6.244%, 08/25/35 (1/25/17)^9,10		591,893		113,136
Series 2005-89, Class S, 5.944%, 10/25/35 (1/25/17)⁹		593,072		106,824
Series 2006-3, Class SA, 5.394%, 03/25/36 (1/25/17)⁹		122,721		20,255

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

AMG Managers Amundi Intermediate Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Interest Only Strips—1.1% (continued)
FNMA REMICS,
Series 2007-75, Class JI, 5.789%, 08/25/37 (1/25/17)⁹	$	118,254	$	21,571
Series 2008-86, Class IO, 4.500%, 03/25/23		94,485		2,872
Series 2009-31, Class PI, 5.000%, 11/25/38		741,573		118,942
Series 2010-121, Class IO, 5.000%, 10/25/25		61,219		2,181
Series 2010-37, Class GI, 5.000%, 04/25/25⁷		59,708		1,390
Series 2010-65, Class IO, 5.000%, 09/25/20		190,942		9,127
Series 2011-124, Class IC, 3.500%, 09/25/21		204,451		8,871
Series 2011-69, Class AI, 5.000%, 05/25/18		92,731		1,630
Series 2011-88, Class WI, 3.500%, 09/25/26		270,085		28,595
Series 2012-126, Class SJ, 4.244%, 11/25/42 (1/25/17)⁹		618,828		100,502
GNMA,
Series 2011-157, Class SG, 5.861%, 12/20/41 (1/20/17)⁹		805,568		182,271
Series 2011-167, Class IO, 5.000%, 12/16/20		115,876		3,802
Series 2011-32, Class KS, 10.685%, 06/16/34 (1/16/17)⁹		189,609		25,691
Series 2011-94, Class IS, 5.993%, 06/16/36 (1/16/17)⁹		195,933		26,930
Series 2012-103, Class IB, 3.500%, 04/20/40		207,328		23,800
Series 2012-140, Class IC, 3.500%, 11/20/42		560,784		113,887
Series 2012-34, Class KS, 5.343%, 03/16/42 (1/16/17)⁹		377,540		94,842
Series 2012-69, Class QI, 4.000%, 03/16/41		249,335		39,222
Series 2014-173, Class AI, 4.000%, 11/20/38		290,294		26,491
Series 2016-108, Class QI, 4.000%, 08/20/46		287,824		74,066
Series 2016-145, Class UI, 3.500%, 10/20/46		488,971		101,593
Series 2016-46, Class JI, 4.500%, 04/20/46		279,739		62,294
Series 2016-81, Class IO, 4.000%, 06/20/46		497,895		96,587
Total Interest Only Strips				1,901,022
Total U.S. Government and Agency Obligations (cost $196,668,661)				197,764,629

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

AMG Managers Amundi Intermediate Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Short-Term Investments—27.7%
U.S. Treasury Bills—0.1%
U. S. Treasury Bills, 0.11%, 03/02/17^13,14	$	110,000	$	109,914

	Shares
Other Investment Companies—27.6%³
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%¹⁰		16,891,550		16,891,550
JPMorgan U.S. Government Money Market Fund, Capital Shares, 0.44%¹⁰		29,134,433		29,134,433
Total Other Investment Companies				46,025,983
Total Short-Term Investments (cost $46,135,902)				46,135,897
Total Investments—155.6% (cost $258,038,753)				258,956,467
Other Assets, less Liabilities—(55.6)%				(92,545,640	)
Net Assets—100.0%			$	166,410,827

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

AMG Managers Amundi Short Duration Government Fund

Portfolio Manager’s Comments (unaudited)

THE YEAR IN REVIEW

During the year ended December 31, 2016, the AMG Managers Amundi Short Duration Government Fund1 Class S2 (the “Fund”) returned 1.1%, while the BofA Merrill Lynch 6-Month U.S. Treasury Bill Index returned 0.7%.

September was a solid month for Agency MBS as interest rates stabilized well above the lows observed earlier in the third quarter. Higher coupon

MBS led the way, but the support of the Fed repurchase activity drove solid performance in production coupons as well. The ease in interest rates during the quarter comforted investors that prepayment rates would remain relatively constrained, which ushered certain buyers back into the market. While prepayment rates increased after the bond rally in the summer, prepayment levels remained well below the levels seen at the peaks in 2012/2013, despite similar mortgage rates, due to the fact that most borrowers who were inclined to refinance had already done so.

Agency MBS continued to struggle through the early part of December, but a bond rally near the end of the year helped to calm duration-extension fears. The post-election move in rates was significant, but largely just offset the Brexit rally that occurred earlier in the year. Overall, the asset class performed reasonably well, given the large rate moves during the year.

Most of the Fund’s outperformance for 2016 was attributable to positioning in Agency fixed-rate MBS (“FRM’s”). Specifically, the Fund was positioned relatively conservatively, with asset purchases focused primarily in sectors in which the Fed was not involved. For most of the year, we added positions in collateralized mortgage obligations (“CMO’s”) and seasoned 15-year and 30-year fixed-rate mortgages at attractive spread levels. Agency CMOs were the second-largest contributor to outperformance for the year, contributing positively to excess returns for three of the four quarters. The Fund’s positioning in Agency Interest-Only (“IO’s”), Agency Adjustable-rate mortgages (“ARM’s”), commercial mortgage-backed securities (“CMBS”), Consumer asset-backed securities (“ABS”) and Treasury inflation-protected securities (“TIPS”) all moderately contributed to the positive performance for the year.

At the end of the year, 30-year Agency FRMs were the largest component of the Fund, increasing from 19% to 33% during the year. We decreased our exposure to 15-year Agency FRMs by 10%, to end the year with 14% weighting in the sector. We moderately increased our holdings in Agency ARMs to 19%. Additionally, we completely removed the modest remaining CMBS holdings by

the end the year. We continue to view Agency MBS as an attractive alternative to Treasuries due to the additional spread offered.

LOOKING FORWARD

We enter 2017 with a neutral view on MBS. Spreads seem reasonable relative to historical levels, but the outlook is more opaque than it was a year ago. Our primary concern is a potential shift in Fed policy, which could be a result of the Federal Open Market Committee (“FOMC”) reacting to more aggressive fiscal policy or from a likely more hawkish composition as the new administration makes appointments. At this time, two empty Board of Governor’s seats need to be filled. This composition shift, in conjunction with recent market expectations of a higher-growth and higher-inflationary environment, may result in the Fed removing monetary accommodations at a rate faster than previously expected.

We believe the higher level of short-term rates likely in such a scenario is not necessarily a negative for agency MBS. The more immediate impact would come from an adjustment in the size of the Fed’s balance sheet. The Fed owns $2.4 trillion Treasury bonds and $1.74 trillion Agency MBS, which it has maintained at a stable level since October 2014, by reinvesting pay-downs in both markets. The Fed has stated it will continue the current reinvestment policy until sometime after short-rates have “normalized.” An earlier normalization of rates would likely also result in an earlier adjustment to the reinvestment policy. However, a number of factors might mitigate this risk of additional supply, including:

•

A gradual decrease in investment activity beginning in 2018 or later

•

The market’s recent ability to absorb substantial supply in an orderly manner

•

And the potential for a simultaneous tapering of Treasuries and MBS, which would mitigate the impact on MBS spreads

We believe fundamentals for MBS are more positive. With rates well off the lows from earlier in the year, prepayment rates should drop sharply in the coming months, fully reversing the move from

AMG Managers Amundi Short Duration Government Fund

Portfolio Manager’s Comments (continued)

earlier in 2016. Additionally, the premia for pools with more attractive collateral characteristics have decreased, and specified pools may offer protection against wider generic mortgage spreads. We view this as an opportunity to buy cheap convexity, which should benefit from any uptick in volatility.

All this considered, we expect to see MBS spreads widen marginally over the course of 2017. However, the additional carry offered by MBS should more than offset the effect of wider spreads. With that, we would expect to see modest outperformance of MBS relative to similar-duration Treasuries. Additional volatility should provide a good environment for active management to capitalize on market mispricing.

¹	Prior to October 1, 2016, the Fund was known as AMG Managers Short Duration Government Fund.

²	Effective October 1, 2016, the shares of the Fund were reclassified and redesignated as Class S shares.

This commentary reflects the viewpoints of the portfolio manager, Amundi Smith Breeden LLC, as of December 31, 2016 and is not intended as a forecast or guarantee of future results and are subject to change without notice.

CUMULATIVE TOTAL RETURN PERFORMANCE

AMG Managers Amundi Short Duration Government Fund’s (formerly AMG Managers Short Duration Government Fund) cumulative total

return is based on the daily change in net asset value (NAV), and assumes that all dividends and distributions were reinvested. This graph compares a hypothetical $10,000 investment made in the AMG Managers Amundi Short Duration Government Fund’s Class S on December 31, 2006 to a $10,000 investment made in the BofA Merrill Lynch 6-Month U.S. Treasury Bill Index for the same time period. The graph and table do not reflect the deduction of taxes that a shareholder would pay on a Fund distribution or redemption of shares. The listed returns for the Fund are net of expenses and the returns for the index exclude expenses. Total returns would have been lower had certain expenses not been reduced.

AMG Managers Amundi Short Duration Government Fund

Portfolio Manager’s Comments (continued)

CUMULATIVE TOTAL RETURN PERFORMANCE (continued)

LOGO

The table below shows the average annual total returns for the AMG Managers Amundi Short Duration Government Fund and the BofA Merrill Lynch 6-Month U.S. T- Bill Index for the same time periods ended December 31, 2016.


	One			Five			Ten
Average Annual Total Returns¹	Year			Years			Years
AMG Managers Amundi Short Duration Government Fund ^2,3,4,5,6,7
Class S ⁸		1.10	%		0.68	%		1.59	%
BofA Merrill Lynch 6-Month U.S. T-Bill Index⁹		0.67	%		0.27	%		1.16	%

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

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

The Fund is subject to the risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtors’ 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.

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

⁶	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.

⁷

⁸	Effective October 1, 2016, the shares of the AMG Managers Amundi Short Duration Government Fund were reclassified and redesignated as Class S shares.

⁹	The BofA Merrill Lynch 6-Month U.S. T-Bill Index is an unmanaged index that measures returns of six-month Treasury Bills. Unlike the Fund, the BofA Merrill Lynch 6-Month T-Bill Index is unmanaged, is not available for investment, and does not incur expenses.

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

AMG Managers Amundi Short Duration Government Fund

Fund Snapshots (unaudited)

December 31, 2016

PORTFOLIO BREAKDOWN


Category	AMG Managers Amundi Short Duration Government Fund*
U.S. Government and Agency Obligations		80.9	%
Asset-Backed Securities		10.5	%
TBA Forward Sale Commitments		(2.6	)%
Other Assets and Liabilities		11.2	%

*	As a percentage of net assets.


Rating	AMG Managers Amundi Short Duration Government Fund^***
U.S. Government and Agency Obligations		88.5	%
Aaa		11.5	%

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

TOP TEN HOLDINGS


Security Name	% of Net Assets
FHLB, 0.02%, 01/06/17		6.6	%
FNMA, 3.500%, 11/01/30**		4.0
GNMA, 6.000%, 01/15/36**		3.1
FNMA, 3.000%, TBA 15 years		2.5
FNMA, 5.500%, 05/01/34**		2.2
FNMA, 4.000%, 02/01/41**		2.2
FNMA, 2.811%, 04/01/37**		2.1
FNMA, 4.500%, 04/01/35**		2.1
FHLMC Gold Pool, 4.000%,12/01/44		1.9
FNMA, 5.500%, 08/01/41**		1.8

Top Ten as a Group		28.5	%

**	Top Ten Holdings as of June 30, 2016.

AMG Managers Amundi Short Duration Government Fund

Schedule of Portfolio Investments

December 31, 2016


	Principal Amount		Value
Asset-Backed Securities—10.5%
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.736%, 06/17/31 (01/17/17) (a)⁹	$	1,653,263	$	1,647,400
AMSR Trust, Series 2016-SFR1, Class A, 2.136%, 11/17/33 (01/17/17) (a)⁹		3,200,000		3,200,145
Capital Auto Receivables Asset Trust, Series 2013-4, Class D, 3.220%, 05/20/19		1,080,000		1,094,193
Colony American Homes,
Series 2014-1A, Class A, 2.136%, 05/17/31 (01/17/17) (a)⁹		3,430,064		3,427,031
Series 2014-2A, Class A, 1.705%, 07/17/31 (01/17/17) (a)⁹		1,694,292		1,680,371
Drive Auto Receivables Trust,
Series 2015-AA, Class C, 3.060%, 05/17/21 (a)		1,335,000		1,348,119
Series 2015-BA, Class C, 2.760%, 07/15/21 (a)		365,000		367,326
Series 2015-DA, Class B, 2.590%, 12/16/19 (a)		474,922		476,525
Invitation Homes Trust,
Series 2013-SFR1, Class A, 1.886%, 12/17/30 (01/17/17) (a)⁹		987,450		987,463
Series 2014-SFR1, Class A, 1.736%, 06/17/31 (01/17/17) (a)⁹		970,924		967,397
Santander Drive Auto Receivables Trust,
Series 2012-4, Class D, 3.500%, 06/15/18		2,625,903		2,630,681
Series 2012-6, Class D, 2.520%, 09/17/18		3,032,725		3,036,755
Series 2013-4, Class D, 3.920%, 01/15/20		1,290,000		1,317,395
Series 2014-1, Class C, 2.360%, 04/15/20		258,195		259,286
SWAY Residential Trust, Series 2014-1, Class A, 2.036%, 01/17/32 (01/17/17) (a)⁹		2,142,421		2,143,811
Total Asset-Backed Securities (cost $24,554,532)				24,583,898
U.S. Government and Agency Obligations—80.9%
Federal Home Loan Mortgage Corporation—20.7%
FHLMC,
2.550%, 11/01/33 (03/15/17)⁹		716,518		748,682
2.725%, 11/01/33 (03/15/17)⁹		743,568		791,705
2.725%, 10/01/33 (03/15/17)⁹		742,791		779,500
2.728%, 05/01/34 (03/15/17)⁹		1,537,943		1,625,049
2.737%, 10/01/33 (03/15/17)⁹		1,270,925		1,339,537
2.740%, 10/01/28 (03/15/17)⁹		24,637		26,002
2.786%, 04/01/34 (03/15/17)⁹		496,185		523,208
2.802%, 12/01/33 (03/15/17)⁹		1,204,425		1,267,344
2.881%, 03/01/34 (03/15/17)⁹		2,023,385		2,132,650
2.999%, 02/01/23 (03/15/17)⁹		107,188		112,440
3.001%, 09/01/33 (03/15/17)⁹		1,583,304		1,673,193
3.091%, 06/01/35 (03/15/17)⁹		537,069		569,410
3.272%, 05/01/35 (03/15/17)⁹		861,547		916,953
FHLMC Gold Pool,
3.000%, 04/01/31		2,783,924		2,861,681
4.000%, 12/01/44		4,178,909		4,393,747

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

AMG Managers Amundi Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal Home Loan Mortgage Corporation—20.7% (continued)
FHLMC Gold Pool,
4.500%, 05/01/19 to 03/01/42	$	11,826,840	$	12,681,141
5.000%, 10/01/18 to 02/01/38		3,023,191		3,244,915
5.500%, 12/01/32 to 08/01/40		6,610,799		7,418,046
6.000%, 02/01/22 to 01/01/24		2,951,546		3,161,627
6.500%, 03/01/18 to 10/01/23		170,138		180,651
7.000%, 06/01/17 to 07/01/19		54,507		56,334
7.500%, 04/01/29 to 03/01/33		210,813		244,723
FHLMC REMICS,
Series 2427, Class LW, 6.000%, 03/15/17		6,689		6,752
Series 2627, Class BM, 4.500%, 06/15/18		42,215		42,933
Series 2631, Class PD, 4.500%, 06/15/18		14,270		14,533
Series 2668, Class AZ, 4.000%, 09/15/18		256,177		259,506
Series 2683, Class JB, 4.000%, 09/15/18		161,237		163,114
Series 2786, Class BC, 4.000%, 04/15/19		67,133		68,597
Series 2809, Class UC, 4.000%, 06/15/19		70,196		71,517
Series 2877, Class PA, 5.500%, 07/15/33		57,538		58,594
Series 2935, Class LM, 4.500%, 02/15/35		157,019		158,697
Series 3033, Class CI, 5.500%, 01/15/35		97,980		99,751
Series 3535, Class CA, 4.000%, 05/15/24		49,709		50,475
Series 3609, Class LA, 4.000%, 12/15/24		212,047		216,582
Series 3632, Class AG, 4.000%, 06/15/38		170,102		175,132
Series 3653, Class JK, 5.000%, 11/15/38		162,998		170,857
Series 3756, Class DA, 1.200%, 11/15/18		197,312		197,029
Series 3798, Class BD, 2.500%, 06/15/24		30,808		30,796
Series 3818, Class UA, 1.350%, 02/15/17		486		486
Series 3827, Class CA, 1.500%, 04/15/17		2,830		2,830
Series 3846, Class CK, 1.500%, 09/15/20		26,090		26,085
Total Federal Home Loan Mortgage Corporation				48,562,804
Federal National Mortgage Association—52.7%
FNMA,
2.414%, 01/01/34 (2/25/17)⁹		690,104		725,182
2.433%, 02/01/33 (2/25/17)⁹		854,517		889,380
2.527%, 08/01/33 (2/25/17)⁹		373,681		389,784
2.585%, 09/01/33 (2/25/17)⁹		257,603		270,613
2.636%, 03/01/34 (2/25/17)⁹		199,283		209,731
2.647%, 05/01/33 (2/25/17)⁹		1,279,174		1,343,728
2.675%, 09/01/33 (2/25/17)⁹		837,621		887,708
2.694%, 06/01/34 (2/25/17)⁹		642,910		665,500
2.721%, 12/01/34 (2/25/17)⁹		2,004,113		2,122,972

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

AMG Managers Amundi Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal National Mortgage Association—52.7% (continued)
FNMA,
2.757%, 01/01/36 (2/25/17)⁹	$	38,428	$	40,719
2.783%, 01/01/33 (2/25/17)⁹		916,449		965,588
2.791%, 01/01/34 (2/25/17)⁹		1,431,388		1,510,389
2.802%, 06/01/33 (2/25/17)⁹		289,679		304,463
2.814%, 04/01/37 (2/25/17)^9,10		4,758,338		5,019,351
2.823%, 05/01/34 (2/25/17)⁹		1,621,715		1,712,199
2.842%, 08/01/34 (2/25/17)⁹		289,579		306,944
2.869%, 04/01/34 (2/25/17)⁹		440,858		466,932
2.869%, 12/01/34 (2/25/17)⁹		1,883,340		1,989,358
2.872%, 10/01/35 (2/25/17)⁹		1,191,367		1,250,394
2.872%, 11/01/34 (2/25/17)⁹		2,673,237		2,834,003
2.911%, 04/01/34 (2/25/17)⁹		501,286		530,456
2.911%, 01/01/36 (2/25/17)⁹		2,991,420		3,173,029
2.962%, 07/01/34 (2/25/17)⁹		1,104,114		1,168,105
2.980%, 06/01/35 (2/25/17)⁹		105,384		112,156
3.000%, TBA 15 years^11,12		5,700,000		5,849,180
3.047%, 06/01/34 (2/25/17)⁹		1,798,176		1,895,975
3.070%, 08/01/35 (2/25/17)⁹		1,171,254		1,238,436
3.077%, 12/01/33 (2/25/17)⁹		424,612		443,467
3.500%, 11/01/30¹⁰		8,846,409		9,316,317
4.000%, 10/01/21 to 06/01/42		6,775,470		7,158,472
4.500%, 10/01/19 to 02/01/41		16,259,043		17,590,441
4.500%, TBA 30 years^11,12		2,300,000		2,471,017
5.000%, 10/01/19 to 01/01/41		14,829,061		16,087,755
5.500%, 05/01/34 to 08/01/41		11,456,865		13,019,724
6.000%, 09/01/21 to 08/01/37		6,406,922		7,117,299
6.500%, 04/01/17 to 08/01/32		3,093,043		3,545,481
7.000%, 11/01/22		1,128,874		1,210,830
7.500%, 08/01/33 to 09/01/33		58,185		70,470
FNMA Grantor Trust,
Series 2002-T5, Class A1, 0.996%, 05/25/32 (01/25/17)⁹		208,471		204,508
Series 2003-T4, Class 1A, 0.976%, 09/26/33 (01/26/17)⁹		13,709		13,624
FNMA REMICS,
Series 1994-31, Class ZC, 6.500%, 02/25/24		368,435		401,984
Series 1994-76, Class J, 5.000%, 04/25/24		73,964		75,414
Series 2001-63, Class FA, 1.286%, 12/18/31 (01/18/17)⁹		390,334		396,493
Series 2002-47, Class FD, 1.156%, 08/25/32 (01/25/17)⁹		422,410		422,737
Series 2002-56, Class UC, 5.500%, 09/25/17		20,593		20,801
Series 2003-2, Class FA, 1.256%, 02/25/33 (01/25/17)⁹		336,897		338,486

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

AMG Managers Amundi Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Federal National Mortgage Association—52.7% (continued)
FNMA REMICS,
Series 2003-3, Class HJ, 5.000%, 02/25/18	$	32,784	$	33,244
Series 2003-64, Class YA, 3.000%, 05/25/23		17,369		17,402
Series 2004-1, Class AC, 4.000%, 02/25/19		24,517		24,813
Series 2004-21, Class AE, 4.000%, 04/25/19		145,966		148,002
Series 2004-27, Class HB, 4.000%, 05/25/19		82,955		84,679
Series 2004-53, Class NC, 5.500%, 07/25/24		286,351		308,383
Series 2005-13, Class AF, 1.156%, 03/25/35 (01/25/17)⁹		473,039		472,159
Series 2005-19, Class PA, 5.500%, 07/25/34		152,308		160,723
Series 2005-58, Class EP, 5.500%, 07/25/35		220,957		239,500
Series 2005-68, Class PB, 5.750%, 07/25/35		32,740		34,356
Series 2005-68, Class PC, 5.500%, 07/25/35		205,809		216,053
Series 2007-56, Class FN, 1.126%, 06/25/37 (01/25/17)⁹		183,536		182,552
Series 2008-59, Class KB, 4.500%, 07/25/23		71,802		73,733
Series 2010-12, Class AC, 2.500%, 12/25/18		82,710		83,198
Series 2011-60, Class UC, 2.500%, 09/25/39		249,232		251,411
FNMA REMICS Whole Loan,
Series 2003-W1, Class 2A, 6.211%, 12/25/42⁴		16,735		18,739
Series 2003-W13, Class AV2, 1.036%, 10/25/33 (01/25/17)^7,9		13,194		13,148
Series 2003-W4, Class 4A, 6.790%, 10/25/42⁴		356,066		409,573
Series 2004-W14, Class 1AF, 1.156%, 07/25/44 (01/25/17)⁹		1,671,154		1,609,691
Series 2004-W5, Class F1, 1.206%, 02/25/47 (01/25/17)⁹		397,009		392,264
Series 2005-W2, Class A1, 0.956%, 05/25/35 (01/25/17)⁹		977,974		968,818
Total Federal National Mortgage Association				123,520,036
Government National Mortgage Association—3.8%
GNMA,
4.000%, 09/15/18		87,651		89,823
5.000%, 01/15/46		1,365,035		1,501,709
6.000%, 01/15/36¹⁰		6,259,966		7,300,943
9.500%, 12/15/17		152		153
Total Government National Mortgage Association				8,892,628
Interest Only Strips—2.1%
FHLMC REMICS,
Series 2922, Class SE, 6.046%, 02/15/35 (01/15/17)⁹		212,467		41,992
Series 2934, Class HI, 5.000%, 02/15/20		40,246		2,128
Series 2934, Class KI, 5.000%, 02/15/20		22,636		1,107
Series 2965, Class SA, 5.346%, 05/15/32 (01/15/17)⁹		448,795		65,064
Series 2967, Class JI, 5.000%, 04/15/20		126,665		6,944
Series 2980, Class SL, 5.996%, 11/15/34 (01/15/17)⁹		283,175		68,981

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

AMG Managers Amundi Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Interest Only Strips—2.1% (continued)
FHLMC REMICS,
Series 2981, Class SU, 7.096%, 05/15/30 (01/15/17)⁹	$	219,859	$	39,554
Series 3065, Class DI, 5.916%, 04/15/35 (01/15/17)⁹		744,825		140,757
Series 3308, Class S, 6.496%, 03/15/32 (01/15/17)⁹		401,506		80,124
Series 3424, Class XI, 5.866%, 05/15/36 (01/15/17)⁹		544,460		97,170
Series 3489, Class SD, 7.096%, 06/15/32 (01/15/17)⁹		229,036		47,873
Series 3685, Class EI, 5.000%, 03/15/19		188,717		4,079
Series 3731, Class IO, 5.000%, 07/15/19		97,587		2,274
Series 3882, Class AI, 5.000%, 06/15/26		78,136		3,401
Series 4395, Class TI, 4.000%, 05/15/26		757,073		79,416
FNMA, Series 306, Class IO, 8.000%, 05/25/30⁷		65,957		18,603
FNMA REMICS,
Series 2003-48, Class SJ, 5.244%, 06/25/18 (01/25/17)^7,9		7,506		63
Series 2004-49, Class SQ, 6.294%, 07/25/34 (01/25/17)⁹		180,949		32,926
Series 2004-51, Class SX, 6.364%, 07/25/34 (01/25/17)⁹		259,924		51,544
Series 2004-64, Class SW, 6.294%, 08/25/34 (01/25/17)⁹		743,602		142,491
Series 2004-66, Class SE, 5.744%, 09/25/34 (01/25/17)⁹		119,883		21,292
Series 2005-12, Class SC, 5.984%, 03/25/35 (01/25/17)⁹		272,790		48,264
Series 2005-45, Class SR, 5.964%, 06/25/35 (01/25/17)⁹		636,337		118,593
Series 2005-5, Class SD, 5.944%, 01/25/35 (01/25/17)⁹		199,540		34,862
Series 2005-65, Class KI, 6.244%, 08/25/35 (01/25/17)⁹		1,476,240		282,174
Series 2005-66, Class GS, 6.094%, 07/25/20 (01/25/17)⁹		69,390		4,328
Series 2006-3, Class SA, 5.394%, 03/25/36 (01/25/17)⁹		284,026		46,878
Series 2007-75, Class JI, 5.789%, 08/25/37 (01/25/17)⁹		141,876		25,880
Series 2007-85, Class SI, 5.704%, 09/25/37 (01/25/17)⁹		300,026		54,465
Series 2008-86, Class IO, 4.500%, 03/25/23		236,514		7,190
Series 2008-87, Class AS, 6.894%, 07/25/33 (01/25/17)⁹		846,592		174,923
Series 2009-31, Class PI, 5.000%, 11/25/38		862,711		138,372
Series 2010-105, Class IO, 5.000%, 08/25/20		271,125		13,811
Series 2010-121, Class IO, 5.000%, 10/25/25		164,291		5,853
Series 2010-37, Class GI, 5.000%, 04/25/25⁷		153,377		3,571
Series 2010-65, Class IO, 5.000%, 09/25/20		493,571		23,593
Series 2010-68, Class SJ, 5.794%, 07/25/40 (01/25/17)⁹		326,807		64,378
Series 2011-124, Class IC, 3.500%, 09/25/21		969,397		42,062
Series 2011-69, Class AI, 5.000%, 05/25/18		247,728		4,351
Series 2011-88, Class WI, 3.500%, 09/25/26		792,475		83,902
Series 2012-126, Class SJ, 4.244%, 11/25/42 (01/25/17)⁹		4,069,929		660,985
GNMA,
Series 2011-157, Class SG, 5.861%, 12/20/41 (01/20/17)⁹		1,066,782		241,374
Series 2011-167, Class IO, 5.000%, 12/16/20		682,447		22,394

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

AMG Managers Amundi Short Duration Government Fund

Schedule of Portfolio Investments (continued)


	Principal Amount		Value
Interest Only Strips—2.1% (continued)
GNMA,
Series 2011-32, Class KS, 10.685%, 06/16/34 (01/16/17)⁹	$	460,645	$	62,416
Series 2011-94, Class IS, 5.993%, 06/16/36 (01/16/17)⁹		440,206		60,505
Series 2012-101, Class AI, 3.500%, 08/20/27		477,291		54,547
Series 2012-103, Class IB, 3.500%, 04/20/40		902,555		103,608
Series 2012-140, Class IC, 3.500%, 11/20/42		704,650		143,104
Series 2012-34, Class KS, 5.343%, 03/16/42 (01/16/17)⁹		2,899,266		728,326
Series 2012-69, Class QI, 4.000%, 03/16/41		1,318,991		207,487
Series 2012-96, Class IC, 3.000%, 08/20/27		782,138		79,872
Series 2013-5, Class BI, 3.500%, 01/20/43		293,095		57,870
Series 2014-173, Class AI, 4.000%, 11/20/38		275,707		25,160
Series 2016-108, Class QI, 4.000%, 08/20/46		328,275		84,475
Series 2016-145, Class UI, 3.500%, 10/20/46		584,299		121,399
Series 2016-46, Class JI, 4.500%, 04/20/46		316,556		70,493
Series 2016-81, Class IO, 4.000%, 06/20/46		566,237		109,845
Total Interest Only Strips				4,959,093
U.S. Government Obligations—1.6%
U.S. Treasury Inflation Indexed Bonds, 2.375%, 01/15/27		3,272,369		3,833,420
Total U.S. Government and Agency Obligations (cost $188,305,517)				189,767,981
Short-Term Investments—10.5%
U.S. Government and Agency Discount Notes—8.3%
FHLB, 0.02%, 01/06/17¹³		15,500,000		15,499,504
FHLB, 0.11%, 01/18/17¹³		4,000,000		3,999,368
Total U.S. Government and Agency Discount Notes				19,498,872
U.S. Treasury Bills—0.3%
U. S. Treasury Bills, 0.11%, 03/02/17^13,14		780,000		779,392

	Shares
Other Investment Companies—1.9%³
Dreyfus Government Cash Management Fund, Institutional Class Shares, 0.45%		4,466,683		4,466,683
Total Short-Term Investments (cost $24,744,480)				24,744,947
Total Investments—101.9% (cost $237,604,529)				239,096,826
Other Assets, less Liabilities—(1.9)%				(4,527,938	)
Net Assets—100.0%			$	234,568,888

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

Notes to Schedules of Portfolio Investments

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

At December 31, 2016, the approximate cost of investments and the aggregate gross unrealized appreciation and depreciation for federal income tax were as follows:


Fund	Cost		Appreciation		Depreciation			Net
AMG Chicago Equity Partners Balanced Fund	$	169,865,789	$	10,238,113	$	(2,926,890	)	$	7,311,223
AMG Chicago Equity Partners Small Cap Value Fund		12,325,764		2,311,393		(220,878	)		2,090,515
AMG Managers High Yield Fund		23,241,550		857,557		(1,093,739	)		(236,182	)
AMG Managers Amundi Intermediate Government Fund		258,434,276		2,665,065		(2,142,874	)		522,191
AMG Managers Amundi Short Duration Government Fund		237,612,127		4,870,862		(3,386,163	)		1,484,699

^*	Non-income producing security.

^#	Less than 0.05%.

(a)	Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At December 31, 2016, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers High Yield Fund	$	8,358,311		36.1	%
AMG Managers Amundi Intermediate Government Fund		11,427,302		6.9	%
AMG Managers Amundi Short Duration Government Fund		16,245,588		6.9	%

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

¹	Some or all of these securities were out on loan to various brokers as of December 31, 2016, amounting to the following:


Fund	Market Value		% of Net Assets
AMG Chicago Equity Partners Balanced Fund	$	3,119,717		1.8	%
AMG Chicago Equity Partners Small Cap Value Fund		536,303		4.2	%
AMG Managers High Yield Fund		73,484		0.3	%

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

³	Yield shown represents the December 31, 2016, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

⁴	Variable Rate Security: The rate listed is as of December 31, 2016, and is periodically reset subject to terms and conditions set forth in the debenture.

⁵	Perpetuity Bond. The date shown is the final call date.

⁶	Payment-in-Kind Security: The security may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

⁷

Illiquid Security: A security not readily convertible into cash such as a stock, bond or commodity that is not actively traded and would be difficult to sell in a timely sale. The Funds may not invest more than 15% of their net assets in illiquid securities. The market value of illiquid securities at December 31, 2016, amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers High Yield Fund	$	489,247		2.1	%
AMG Managers Amundi Intermediate Government Fund		367,148		0.2	%
AMG Managers Amundi Short Duration Government Fund		35,385		0.0	%^#

⁸	Security is in default. Issuer has failed to make a timely payment of either principal or interest or has failed to comply with some provision of the bond indenture.

⁹	Floating Rate Security: The rate listed is as of December 31, 2016. Date in parentheses represents the security’s next coupon rate reset.

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

Notes to Schedules of Portfolio Investments (continued)

¹⁰	Some or all of these securities are segregated as collateral for delayed delivery agreements. At December 31, 2016, the value of these securities amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers Amundi Intermediate Government Fund	$	92,518,509		55.6	%
AMG Managers Amundi Short Duration Government Fund		21,636,611		9.2	%

¹¹	All or part of the security is delayed delivery transaction. The market value for delayed delivery securities at December 31, 2016, amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers Amundi Intermediate Government Fund	$	92,518,509		55.6	%
AMG Managers Amundi Short Duration Government Fund		8,320,197		3.5	%

¹²	TBA Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned.

¹³	Represents yield to maturity at December 31, 2016.

¹⁴	Some or all of this security is held as collateral for futures contracts. The market value of collateral at December 31, 2016, amounted to the following:


Fund	Market Value		% of Net Assets
AMG Managers Amundi Intermediate Government Fund	$	109,914		0.1	%
AMG Managers Amundi Short Duration Government Fund		779,392		0.3	%

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

The following tables summarize the inputs used to value the Funds’ investments by the fair value hierarchy levels as of December 31, 2016: (See Note 1(a) in the Notes to the Financial Statements.)


	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Chicago Equity Partners Balanced Fund
Investments in Securities
Common Stocks^†	$	107,612,044		—		—	$	107,612,044
Rights		—		—	$	7		7
Corporate Bonds and Notes^††		—	$	8,493,391		—		8,493,391
U.S. Government and Agency Obligations^††		—		56,955,061		—		56,955,061
Short-Term Investments
Repurchase Agreements		—		3,216,364		—		3,216,364
Other Investment Companies		900,145		—		—		900,145

Total Investments in Securities	$	108,512,189	$	68,664,816	$	7	$	177,177,012

At December 31, 2016, the Level 3 securities are Rights received as a result of a corporate action.

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

Notes to Schedules of Portfolio Investments (continued)


	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Chicago Equity Partners Small Cap Value Fund
Investments in Securities
Common Stocks^†	$	13,754,186		—		—	$	13,754,186
Short-Term Investments
Repurchase Agreements		—	$	557,580		—		557,580
Other Investment Companies		104,513		—		—		104,513

Total Investments in Securities	$	13,858,699	$	557,580		—	$	14,416,279


	Quoted Prices in Active Markets for Identical Investments Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
AMG Managers High Yield Fund
Investments in Securities
Corporate Bonds and Notes
Industrials		—	$	19,798,205	$	179,150	$	19,977,355
Financials		—		1,194,017		—		1,194,017
Utilities		—		275,152		—		275,152
Floating Rate Senior Loan Interests		—		400,707		372,957		773,664
Common Stocks
Industrials	$	51,520		—		97,532		149,052
Warrants		—		—		—		—
Short-Term Investments
Repurchase Agreements		—		77,190		—		77,190
Other Investment Companies		558,938		—		—		558,938

Total Investments in Securities	$	610,458	$	21,745,271	$	649,639	$	23,005,368

The following table below is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at December 31, 2016:


AMG Managers High Yield Fund	Common Stock		Corporate Bond			Floating Rate Senior Loan Interests*			Total
Balance as of December 31, 2015	$	81,252	$	170,713		$	700,083		$	952,048
Accrued discounts (premiums)		—		1,137			1,343			2,480
Realized gain (loss)		—		—			1,595			1,595
Change in unrealized appreciation (depreciation)		16,280		(1,554	)		5,799			20,525
Purchases		—		8,854			2,063			10,917
Sales		—		—			(36,399	)		(36,399	)
Transfers in to Level 3		—		—			—			—
Transfers out of Level 3		—		—			(301,527	)		(301,527	)
Balance as of December 31, 2016	$	97,532	$	179,150		$	372,957		$	649,639
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2016	$	16,280	$	(1,554	)	$	5,799		$	20,525

^*	The Fund transferred certain investments out of Level 3 due to increased liquidity and increased visibility into pricing inputs of the third party pricing vendor.

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

Notes to Schedules of Portfolio Investments (continued)

The following table summarizes the quantitative inputs and assumptions used for items categorized in Level 3 of the fair value hierarchy as of December 31, 2016. The table below is not intended to be all-inclusive, but rather provides information on the significant Level 3 inputs as they relate to the Fund’s fair value measurements:

Quantitative Information about Level 3 Fair Value Measurements

Fair Value as of
December 31, 2016

Valuation Technique(s)

Unobservable Inputs

Range

Average

AMG Managers High Yield Fund

Common Stocks

97,532

Enterprise Value

EV Multiple, Discount

7.9-9.3

8.7

Corporate Bonds

179,134

Enterprise Value

EV Multiple, Discount

7.9-9.3

8.7

Corporate Bonds

Broker Quote

Price

n/a

Floating Rate Senior Loan Interests

372,957

Unadjusted Price from Pricing Service

Price

n/a

Total

649,639


	Quoted Prices in Active Markets for Identical Investments Level 1			Significant Other Observable Inputs Level 2			Significant Unobservable Inputs Level 3		Total
AMG Managers Amundi Intermediate Government Fund
Investments in Securities
Asset-Backed Securities		—		$	11,066,327			—	$	11,066,327
Mortgage-Backed Securities		—			3,989,614			—		3,989,614
U.S. Government and Agency Obligations^††		—			197,764,629			—		197,764,629
Short-Term Investments
U.S. Treasury Bills		—			109,914			—		109,914
Other Investment Companies	$	46,025,983			—			—		46,025,983

Total Investments in Securities	$	46,025,983		$	212,930,484			—	$	258,956,467

TBA Sale Commitments				$	(17,988,984	)		—	$	(17,988,984	)

Financial Derivative Instruments-Assets^†††
Futures contracts	$	33,161			—			—	$	33,161

Financial Derivative Instruments-Liabilities^†††
Futures contracts		(6,770	)		—			—		(6,770	)

Total Financial Derivative Instruments	$	26,391			—			—	$	26,391

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

Notes to Schedules of Portfolio Investments (continued)


	Quoted Prices in Active Markets for Identical Investments Level 1			Significant Other Observable Inputs Level 2			Significant Unobservable Inputs Level 3		Total
AMG Managers Amundi Short Duration Government Fund
Investments in Securities
Asset-Backed Securities		—		$	24,583,898			—	$	24,583,898
U.S. Government and Agency Obligations^††		—			189,767,981			—		189,767,981
Short-Term Investments
U.S. Government and Agency Discount Notes		—			19,498,872			—		19,498,872
U.S. Treasury Bills		—			779,392			—		779,392
Other Investment Companies	$	4,466,683			—			—		4,466,683

Total Investments in Securities	$	4,466,683		$	234,630,143			—	$	239,096,826

TBA Sale Commitments		—		$	(6,022,785	)		—	$	(6,022,785	)

Financial Derivative Instruments-Assets^†††
Futures	$	300,274			—			—	$	300,274

Financial Derivative Instruments-Liabilities^†††
Futures		(34,182	)		—			—		(34,182	)

Total Financial Derivative Instruments	$	266,092			—			—	$	266,092

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

^††

All corporate bonds and notes and U.S. government and agency obligations held in the Funds are Level 2 securities. For a detailed breakout of the corporate bonds and notes and U.S. government and agency obligations; by major industry or agency classification, please refer to the respective Schedule of Portfolio Investments.

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

As of December 31, 2016, the Funds had no significant transfers between Levels 1 and 2 from the beginning of the reporting period.

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

Notes to Schedules of Portfolio Investments (continued)

The following schedule shows the value of derivative instruments at December 31, 2016:

Asset Derivatives

Liability Derivatives

Fund

Derivatives not accounted
for as hedging instruments

Statement of Assets and Liabilities
Location

Fair Value

Statement of Assets and
Liabilities Location

Fair Value

AMG Managers Amundi Intermediate Government Fund

Interest rate contracts

Receivable for variation margin

2,969

Payable for variation margin

21,273

Asset Derivatives

Liability Derivatives

Fund

Derivatives not accounted
for as hedging instruments

Statement of Assets and Liabilities
Location

Fair Value

Statement of Assets and
Liabilities Location

Fair Value

AMG Managers Amundi Short Duration Government Fund

Interest rate contracts

Receivable for variation margin

16,844

Payable for variation margin

124,102

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 for AMG Managers Amundi Intermediate Government Fund and AMG Managers Amundi Short Duration Government Fund of $26,391 and $266,092, respectively, as reported in the Notes to Schedules of Portfolio Investments.

For the year ended December 31, 2016, the effect of derivative instruments on the Statement of Operations for the Funds and the amount of realized gain/(loss) and change in unrealized gain (loss) on derivatives recognized in income was as follows:

Realized Gain (Loss)

Change in Unrealized Gain (Loss)

Fund

Derivatives not
accounted for as
hedging instruments

Statement of
Operations
Location

Realized Gain/
(Loss)

Statement of
Operations
Location

Change in
Unrealized Gain/
(Loss)

AMG Managers Amundi Intermediate Government Fund

Interest rate contracts

Net realized loss on
futures contracts

$(41,571)

Net change in unrealized appreciation
(depreciation) of futures contracts

$40,411

Realized Gain (Loss)

Change in Unrealized Gain (Loss)

Fund

Derivatives not

accounted for as

hedging instruments

Statement of

Operations

Location

Realized Gain/

(Loss)

Statement of

Operations

Location

Change in

Unrealized Gain/

(Loss)

AMG Managers Amundi Short Duration Government Fund

Interest rate contracts

Net realized loss on futures contracts

$(1,174,913)

Net change in unrealized appreciation
(depreciation) of futures contracts

$246,395

At December 31, 2016, the following Funds had TBA forward sale commitments:

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


AMG Managers Amundi Intermediate Government Fund
Security	Principal Amount		Settlement Date			Current Liability		Proceeds
FNMA, 3.000%, TBA 30 years	$	500,000		01/18/17		$	496,707	$	(490,859	)
FNMA, 3.500%, TBA 30 years		14,400,000		01/18/17			14,758,875		(14,776,063	)
FNMA, 4.000%, TBA 30 years		2,600,000		01/18/17			2,733,402		(2,727,156	)

					Totals	$	17,988,984	$	(17,994,078	)

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

Notes to Schedules of Portfolio Investments (continued)


AMG Managers Amundi Short Duration Government Fund
Security	Principal Amount		Settlement Date			Current Liability		Proceeds
FHLMC Gold Pool, 3.000%, TBA 15 years	$	2,800,000		01/23/17		$	2,873,078	$	(2,872,625	)
FNMA, 4.000%, TBA 30 years		3,000,000		02/13/17			3,149,707		(3,126,094	)

					Totals	$	6,022,785	$	(5,998,719	)

At December 31, 2016, the following Funds had open futures contracts:

(See Note 8 in the Notes to Financial Statements.)


AMG Managers Amundi Intermediate Government Fund
Type	Number of Contracts		Position		Expiration Date		Unrealized Gain/(Loss)
10-Year Interest Rate Swap		36		Short		03/15/17	$	20,199
10-Year U.S. Treasury Note		3		Long		03/22/17		(2,093	)
2-Year U.S. Treasury Note		3		Short		03/31/17		414
5-Year Interest Rate Swap		23		Short		03/15/17		10,724
5-Year U.S. Treasury Note		5		Short		03/31/17		1,824
U.S. Ultra Bond CBT Mar 17		2		Long		03/31/17		(4,677	)

						Total	$	26,391

AMG Managers Amundi Short Duration Government Fund

Type

Number of Contracts

Position

Expiration Date

Unrealized Gain/(Loss)

10-Year Interest Rate Swap

Short

03/15/17

19,647

10-Year U.S. Treasury Note

Long

03/22/17

(34,182

)

2-Year U.S. Treasury Note

192

Short

03/31/17

26,521

5-Year Interest Rate Swap

418

Short

03/15/17

195,736

5-Year U.S. Treasury Note

Short

03/31/17

2,553

U.S. Ultra Bond CBT Mar 17

Short

03/31/17

55,817

Total

266,092

INVESTMENTS DEFINITIONS AND ABBREVIATIONS:


FHLB:		Federal Home Loan Bank
FHLMC:		Federal Home Loan Mortgage Corporation
FNMA:		Federal National Mortgage Association
GNMA:		Government National Mortgage Association
GSMPS:		Goldman Sachs Mortgage Participation Securities
GSR:		Goldman Sachs REMIC


MTN:		Medium-Term Notes
PIK:		Payment-in-Kind
PLC:		Public Limited Company
REIT:		Real Estate Investment Trust
REMICS:		Real Estate Mortgage Investment Conduits
TBA:		To Be Announced

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

Statement of Assets and Liabilities

December 31, 2016


	AMG Chicago Equity Partners Balanced Fund^#			AMG Chicago Equity Partners Small Cap Value Fund^#			AMG Managers High Yield Fund^#
Assets:
Investments at value* (including securities on loan valued at $3,119,717, $536,303 and $73,484, respectively)	$	177,177,012		$	14,416,279		$	23,005,368
Receivable for investments sold		379,415			21,811			—
Receivable for Fund shares sold		364,893			130,303			34,104
Dividends, interest and other receivables		425,862			24,003			396,980
Receivable from affiliate		26,562			25,102			13,034
Prepaid expenses		39,546			28,953			21,110
Total assets		178,413,290			14,646,451			23,470,596
Liabilities:
Payable for investments purchased		518,225			62,044			—
Payable upon return of securities loaned		3,216,364			557,580			77,190
Payable for Fund shares repurchased		268,028			1,058,198			132,724
Payable to affiliate		—			47,346			—
Accrued expenses:
Investment advisory and management fees		88,361			7,215			10,795
Administrative fees		22,090			1,746			2,944
Distribution fees—Class N		19,814			4			4,344
Shareholder servicing fees—Class N		—			3			—
Shareholder servicing fees—Class I		6,312			—			—
Professional fees		32,519			23,698			49,107
Trustees fees and expenses		70			4			13
Other		54,077			20,548			41,288
Total liabilities		4,225,860			1,778,386			318,405
Net Assets	$	174,187,430		$	12,868,065		$	23,152,191
Net Assets Represent:
Paid-in capital	$	165,839,526		$	11,039,966		$	26,841,946
Undistributed (Distributions in excess of) net investment income		(570	)		—			6,083
Accumulated net realized gain (loss) from investments		826,294			(266,743	)		(3,548,381	)
Net unrealized appreciation (depreciation) of investments		7,522,180			2,094,842			(147,457	)
Net Assets	$	174,187,430		$	12,868,065		$	23,152,191
* Investments at cost	$	169,654,832		$	12,321,437		$	23,152,825

#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

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

Statement of Assets and Liabilities (continued)


	AMG Chicago Equity Partners Balanced Fund^#		AMG Chicago Equity Partners Small Cap Value Fund^#		AMG Managers High Yield Fund^#
Class N Shares:
Net Assets	$	92,501,773	$	30,210	$	20,414,883
Shares outstanding		5,987,244		2,514		2,651,947
Net asset value, offering and redemption price per share	$	15.45	$	12.02	$	7.70
Class I Shares:
Net Assets	$	75,889,740	$	10,887,940	$	2,737,308
Shares outstanding		4,868,671		908,409		351,992
Net asset value, offering and redemption price per share	$	15.59	$	11.99	$	7.78
Class Z Shares:
Net Assets	$	5,795,917	$	1,949,915		n/a
Shares outstanding		371,921		162,644		n/a
Net asset value, offering and redemption price per share	$	15.58	$	11.99		n/a

#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

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

Statement of Assets and Liabilities (continued)


	AMG Managers Amundi Intermediate Government Fund^#			AMG Managers Amundi Short Duration Government Fund^#
Assets:
Investments at value*	$	258,956,467		$	239,096,826
Receivable for delayed delivery investments sold		76,385,335			11,626,945
Receivable for Fund shares sold		698,541			3,651,995
Dividends, interest and other receivables		546,465			732,654
Cash collateral		277,594			—
Receivable for paydowns		39,405			310,197
Receivable from affiliate		39,373			—
Receivable for variation margin		2,969			16,844
Prepaid expenses		17,172			16,563
Total assets		336,963,321			255,452,024
Liabilities:
Payable for delayed delivery investments purchased		151,627,823			13,959,618
TBA sale commitments at value (proceeds receivable of $17,994,078 and $5,998,719, respectively)		17,988,984			6,022,785
Payable for Fund shares repurchased		621,771			490,032
Payable for investments purchased		9,555			—
Payable for variation margin		21,273			124,102
Accrued expenses:
Investment advisory and management fees		70,419			81,480
Administrative fees		22,006			30,555
Shareholder servicing fees- Class S		37,230			30,555
Professional fees		44,865			44,389
Trustees fees and expenses		64			87
Other		108,504			99,533
Total liabilities		170,552,494			20,883,136
Net Assets	$	166,410,827		$	234,568,888
Net Assets Represent:
Paid-in capital	$	169,341,307		$	238,140,883
Undistributed net investment income		380,109			2,457,695
Accumulated net realized loss from investments and futures contracts		(4,259,788	)		(7,764,013	)
Net unrealized appreciation of investments and futures contracts		949,199			1,734,323
Net Assets	$	166,410,827		$	234,568,888
Shares outstanding—Class S		15,628,238			24,363,794
Net asset value, offering and redemption price per share—Class S	$	10.65		$	9.63
* Investments at cost	$	258,038,753		$	237,604,529

#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

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

Statement of Operations

For the year ended December 31, 2016


	AMG Chicago Equity Partners Balanced Fund^#			AMG Chicago Equity Partners Small Cap Value Fund^#			AMG Managers High Yield Fund^#			AMG Managers Amundi Intermediate Government Fund^#			AMG Managers Amundi Short Duration Government Fund^#
Investment Income:
Dividend income	$	2,110,352	¹	$	236,004		$	319		$	30,388		$	4,315
Interest income		1,355,108			—			1,717,235			4,205,951			6,871,092
Securities lending income		27,560			6,330			17,555			—			13
Foreign withholding tax		(134	)		—			—			—			—
Total investment income		3,492,886			242,334			1,735,109			4,236,339			6,875,420
Expenses:
Investment advisory and management fees		1,168,740			74,796			171,512			1,249,771			1,750,403
Administrative fees		324,515			26,988			48,563			67,679			90,969
Distribution fees—Class N		244,334			36			58,131			—			—
Shareholder servicing fees—Class N		—			22			—			—			—
Shareholder servicing fees—Class I		70,559			11,944			—			—			—
Shareholder servicing fees—Class S		—			—			—			215,279			93,709
Custodian fees		65,633			16,501			47,807			75,200			73,872
Registration fees		57,750			43,334			31,483			26,074			25,050
Professional fees		47,188			25,206			60,530			64,811			70,988
Transfer agent fees		24,942			9,228			14,427			31,110			10,592
Reports to shareholders		23,889			10,132			12,976			37,802			63,926
Trustees fees and expenses		12,876			947			2,101			14,975			24,064
Miscellaneous		6,484			1,977			2,107			6,710			11,207
Repayment for prior reimbursements		—			—			—			7,240			—
Total expenses before offsets/reductions		2,046,910			221,111			449,637			1,796,651			2,214,780
Expense reimbursements		(276,286	)		(94,463	)		(159,030	)		(81,422	)		—
Expense reductions		(22,618	)		(1,751	)		—			—			—
Fee waivers		—			—			—			(17,543	)		—
Net expenses		1,748,006			124,897			290,607			1,697,686			2,214,780
Net investment income		1,744,880			117,437			1,444,502			2,538,653			4,660,640
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		1,942,643			735,967			(1,386,126	)		1,085,806			2,597,106
Net realized loss on futures contracts		—			—			—			(41,571	)		(1,174,913	)
Net change in unrealized appreciation (depreciation) of investments		5,002,573			2,288,175			3,516,250			(618,085	)		(3,503,247	)
Net change in unrealized appreciation of futures contracts		—			—			—			40,411			246,395
Net realized and unrealized gain (loss)		6,945,216			3,024,142			2,130,124			466,561			(1,834,659	)
Net increase in net assets resulting from operations	$	8,690,096		$	3,141,579		$	3,574,626		$	3,005,214		$	2,825,981

#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

¹	Includes non-recurring dividends of $202,768.

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

Statements of Changes in Net Assets

For the years ended December 31,


	AMG Chicago Equity Partners Balanced Fund						AMG Chicago Equity Small Cap Value Fund*						AMG Managers High Yield Fund
	2016^#			2015			2016^#			2015			2016^#			2015
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	1,744,880		$	681,498		$	117,437		$	97,792		$	1,444,502		$	1,890,731
Net realized gain (loss) on investments		1,942,643			2,473,703			735,967			(999,755	)		(1,386,126	)		(45,820	)
Net change in unrealized appreciation (depreciation) of investments		5,002,573			(1,434,299	)		2,288,175			(193,333	)		3,516,250			(3,262,411	)
Net increase (decrease) in net assets resulting from operations		8,690,096			1,720,902			3,141,579			(1,095,296	)		3,574,626			(1,417,500	)
Distributions to Shareholders:
From net investment income:
Class N		(899,880	)		(520,943	)		(217	)		—			(1,310,115	)		(1,716,173	)
Class I		(784,679	)		(326,230	)		(102,530	)		(87,485	)		(151,435	)		(169,087	)
Class Z		(62,513	)		(45,707	)		(19,183	)		(14,054	)		—			—
From net realized gain on investments:
Class N		(70,151	)		(2,381,784	)		—			—			—			—
Class I		(57,353	)		(1,556,354	)		—			—			—			—
Class Z		(4,375	)		(43,342	)		—			—			—			—
Total distributions to shareholders		(1,878,951	)		(4,874,360	)		(121,930	)		(101,539	)		(1,461,550	)		(1,885,260	)
Capital Share Transactions:¹
Net increase (decrease) from capital share transactions		10,393,262			91,503,363			(2,861,768	)		13,907,019			(8,405,321	)		(5,092,769	)
Total increase (decrease) in net assets		17,204,407			88,349,905			157,881			12,710,184			(6,292,245	)		(8,395,529	)
Net Assets:
Beginning of year		156,983,023			68,633,118			12,710,184			—			29,444,436			37,839,965
End of year	$	174,187,430		$	156,983,023		$	12,868,065		$	12,710,184		$	23,152,191		$	29,444,436
End of year undistributed (distributions in excess of) net investment income	$	(570	)	$	(11,114	)		—			—		$	6,083		$	24,681

*	Commencement of operations was on January 2, 2015.

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

^#	Effective October 1, 2016, the Funds’ share classes were renamed as described in Note 1 of the Notes to the Financial Statements.

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

Statements of Changes in Net Assets (continued)

For the year ended December 31,


	AMG Managers Amundi Intermediate Government Fund						AMG Managers Amundi Short Duration Government Fund
	2016^#			2015			2016^#			2015
Increase (Decrease) in Net Assets Resulting From Operations:
Net investment income	$	2,538,653		$	1,878,230		$	4,660,640		$	941,736
Net realized gain (loss) on investments and futures contracts		1,044,235			1,637,304			1,422,193			(862,542	)
Net change in unrealized appreciation (depreciation) of investments and futures contracts		(577,674	)		(1,603,350	)		(3,256,852	)		(616,502	)
Net increase (decrease) in net assets resulting from operations		3,005,214			1,912,184			2,825,981			(537,308	)
Distributions to Shareholders:
From net investment income		(2,324,161	)		(1,715,923	)		(2,527,449	)		(613,266	)
From net realized gain on investments		(2,763,558	)		(2,980,423	)		—			—
Total distributions to shareholders		(5,087,719	)		(4,696,346	)		(2,527,449	)		(613,266	)
Capital Share Transactions—Class S:
Proceeds from sale of shares		66,129,198			80,828,756			103,879,750			247,057,885
Reinvestment of dividends and distributions		4,630,731			4,309,750			2,135,935			544,398
Cost of shares repurchased		(94,306,073	)		(64,452,490	)		(267,051,584	)		(236,391,813	)
Net increase (decrease) from capital share transactions		(23,546,144	)		20,686,016			(161,035,899	)		11,210,470
Total increase (decrease) in net assets		(25,628,649	)		17,901,854			(160,737,367	)		10,059,896
Net Assets:
Beginning of year		192,039,476			174,137,622			395,306,255			385,246,359
End of year	$	166,410,827		$	192,039,476		$	234,568,888		$	395,306,255
End of year undistributed net investment income	$	380,109		$	165,617		$	2,457,695		$	324,504
Share Transactions—Class S:
Sale of shares		6,031,612			7,332,604			10,777,736			25,577,569
Reinvested shares from dividends and distributions		431,895			396,581			221,824			56,336
Shares repurchased		(8,607,228	)		(5,851,649	)		(27,722,955	)		(24,480,608	)
Net increase (decrease) in shares		(2,143,721	)		1,877,536			(16,723,395	)		1,153,297

#	Effective October 1, 2016, the Funds’ share classes were renamed or redesignated as described in Note 1 of the Notes to the Financial Statements.

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

AMG Chicago Equity Partners Balanced Fund

Financial Highlights

For a share outstanding throughout each period


	For the years ended December 31,
Class N	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	14.92		$	15.09		$	15.13		$	14.19		$	13.70
Income from Investment Operations:
Net investment income^1,2		0.14	¹⁸		0.10	³		0.11			0.10	⁴		0.18
Net realized and unrealized gain on investments		0.54			0.23			1.37			2.33			1.16
Total income from investment operations		0.68			0.33			1.48			2.43			1.34
Less Distributions to Shareholders from:
Net investment income		(0.14	)		(0.11	)		(0.11	)		(0.09	)		(0.17	)
Net realized gain on investments		(0.01	)		(0.39	)		(1.41	)		(1.40	)		(0.68	)
Total distributions to shareholders		(0.15	)		(0.50	)		(1.52	)		(1.49	)		(0.85	)
Net Asset Value, End of Year	$	15.45		$	14.92		$	15.09		$	15.13		$	14.19
Total Return¹		4.59	%		2.19	%		9.69	%		17.14	%		9.86	%
Ratio of net expenses to average net assets (with offsets/reductions)		1.08	%		1.08	%		1.07	%		1.10	%⁵		1.17	%^6,7
Ratio of expenses to average net assets (with offsets)		1.09	%		1.09	%		1.09	%		1.11	%⁵		1.18	%⁶
Ratio of total expenses to average net assets (without offsets/reductions)⁸		1.25	%		1.36	%		1.40	%		1.55	%⁵		1.52	%⁶
Ratio of net investment income to average net assets¹		0.94	%		0.64	%		0.70	%		0.62	%⁵		1.21	%⁶
Portfolio turnover		119	%		105	%		92	%		90	%		110	%
Net assets at end of Year (000’s omitted)	$	92,502		$	94,476		$	41,751		$	33,151		$	26,047


	For the years ended December 31,												For the period ended December 31, 2012*
Class I	2016^#			2015			2014			2013			For the period ended December 31, 2012*
Net Asset Value, Beginning of Period	$	15.05		$	15.23		$	15.26		$	14.30		$	15.11
Income from Investment Operations:
Net investment income^1,2		0.17	¹⁸		0.12	³		0.15			0.13	⁴		0.02
Net realized and unrealized gain (loss) on investments		0.54			0.23			1.37			2.36			(0.08	)
Total income (loss) from investment operations		0.71			0.35			1.52			2.49			(0.06	)
Less Distributions to Shareholders from:
Net investment income		(0.16	)		(0.14	)		(0.13	)		(0.12	)		(0.06	)
Net realized gain on investments		(0.01	)		(0.39	)		(1.42	)		(1.41	)		(0.69	)
Total distributions to shareholders		(0.17	)		(0.53	)		(1.55	)		(1.53	)		(0.75	)
Net Asset Value, End of Period	$	15.59		$	15.05		$	15.23		$	15.26		$	14.30
Total Return¹		4.79	%		2.29	%		9.93	%		17.45	%⁹		(0.36	)%^9,10
Ratio of net expenses to average net assets (with offsets/reductions)		0.93	%		0.93	%		0.86	%		0.92	%⁵		0.82	%^6,11
Ratio of expenses to average net assets (with offsets)		0.94	%		0.94	%		0.88	%		0.93	%⁵		0.83	%^6,11
Ratio of total expenses to average net assets (without offsets/reductions)⁸		1.10	%		1.21	%		1.20	%		1.39	%⁵		1.62	%^6,11
Ratio of net investment income to average net assets¹		1.09	%		0.80	%		0.91	%		0.83	%⁵		1.90	%^6,11
Portfolio turnover		119	%		105	%		92	%		90	%		110	%¹⁰
Net assets at end of period (000’s omitted)	$	75,890		$	60,798		$	14,481		$	1,581		$	9

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

AMG Chicago Equity Partners Balanced Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class Z	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	15.05		$	15.22		$	15.26		$	14.31		$	13.82
Income from Investment Operations:
Net investment income^1,2		0.18	¹⁸		0.14	³		0.15			0.14	⁴		0.21
Net realized and unrealized gain on investments		0.54			0.23			1.38			2.35			1.18
Total income from investment operations		0.72			0.37			1.53			2.49			1.39
Less Distributions to Shareholders from:
Net investment income		(0.18	)		(0.15	)		(0.15	)		(0.13	)		(0.21	)
Net realized gain on investments		(0.01	)		(0.39	)		(1.42	)		(1.41	)		(0.69	)
Total distributions to shareholders		(0.19	)		(0.54	)		(1.57	)		(1.54	)		(0.90	)
Net Asset Value, End of Year	$	15.58		$	15.05		$	15.22		$	15.26		$	14.31
Total Return¹		4.82	%		2.44	%		9.97	%		17.45	%		10.09	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.83	%		0.83	%		0.82	%		0.85	%⁵		0.92	%^6,7
Ratio of expenses to average net assets (with offsets)		0.84	%		0.84	%		0.84	%		0.86	%⁵		0.93	%⁶
Ratio of total expenses to average net assets (without offsets/reductions)⁸		1.00	%		1.09	%		1.15	%		1.30	%⁵		1.27	%⁶
Ratio of net investment income to average net assets¹		1.20	%		0.89	%		0.95	%		0.88	%⁵		1.46	%⁶
Portfolio turnover		119	%		105	%		92	%		90	%		110	%
Net assets at end of year (000’s omitted)	$	5,796		$	1,709		$	12,401		$	11,122		$	9,601

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

AMG Chicago Equity Partners Small Cap Value Fund

Financial Highlights

For a share outstanding throughout each period


	For the year ended December 31,
Class N	2016^#			For the period ended December 31, 2015**
Net Asset Value, Beginning of Period	$	9.39		$	10.00
Income from Investment Operations:
Net investment Income (loss)^1,2		0.08			(0.08	)³
Net realized and unrealized gain (loss) on investments		2.64			(0.53	)
Total income (loss) from investment operations		2.72			(0.61	)
Less Distributions to Shareholders from:
Net investment income		(0.09	)		—
Net Asset Value, End of Period	$	12.02		$	9.39
Total Return¹		29.00	%		(6.10	)%¹⁰
Ratio of net expenses to average net assets (with offsets/reductions)		1.33	%		1.32	%¹¹
Ratio of expenses to average net assets (with offsets)		1.34	%		1.35	%¹¹
Ratio of total expenses to average net assets (without offsets/reductions)⁸		2.26	%		2.34	%¹¹
Ratio of net investment income (loss) to average net assets¹		0.77	%		(0.77	)%¹¹
Portfolio turnover		146	%		138	%¹⁰
Net assets at end of period (000’s omitted)	$	30		$	16


	For the year ended December 31,
Class I	2016^#			For the period ended December 31, 2015**
Net Asset Value, Beginning of Period	$	9.35		$	10.00
Income from Investment Operations:
Net investment income^1,2		0.09			0.10	³
Net realized and unrealized gain (loss) on investments		2.65			(0.68	)
Total income (loss) from investment operations		2.74			(0.58	)
Less Distributions to Shareholders from:
Net investment income		(0.10	)		(0.07	)
Net Asset Value, End of Period	$	11.99		$	9.35
Total Return¹		29.34	%		(5.77	)%¹⁰
Ratio of net expenses to average net assets (with offsets/reductions)		1.06	%		1.03	%¹¹
Ratio of expenses to average net assets (with offsets)		1.07	%		1.06	%¹¹
Ratio of total expenses to average net assets (without offsets/reductions)⁸		1.85	%		1.85	%¹¹
Ratio of net investment income to average net assets¹		0.96	%		0.98	%¹¹
Portfolio turnover		146	%		138	%¹⁰
Net assets at end of period (000’s omitted)	$	10,888		$	11,085

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

AMG Chicago Equity Partners Small Cap Value Fund

Financial Highlights

For a share outstanding throughout each period


	For the year ended December 31,
Class Z	2016^#			For the period ended December 31, 2015**
Net Asset Value, Beginning of Period	$	9.35		$	10.00
Income from Investment Operations:
Net investment income^1,2		0.11			0.11	³
Net realized and unrealized gain (loss) on investments		2.65			(0.68	)
Total income (loss) from investment operations		2.76			(0.57	)
Less Distributions to Shareholders from:
Net investment income		(0.12	)		(0.08	)
Net Asset Value, End of Period	$	11.99		$	9.35
Total Return¹		29.49	%		(5.69	)%¹⁰
Ratio of net expenses to average net assets (with offsets/reductions)		0.92	%		0.92	%¹¹
Ratio of expenses to average net assets (with offsets)		0.93	%		0.95	%¹¹
Ratio of total expenses to average net assets (without offsets/reductions)⁸		1.71	%		3.06	%¹¹
Ratio of net investment income to average net assets¹		1.04	%		1.07	%¹¹
Portfolio turnover		146	%		138	%¹⁰
Net assets at end of period (000’s omitted)	$	1,950		$	1,609

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

AMG Managers High Yield Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class N	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	7.07		$	7.84		$	8.09		$	8.07		$	7.51
Income from Investment Operations:
Net investment income^1,2		0.41			0.42			0.42			0.47			0.54
Net realized and unrealized gain (loss) on investments		0.64			(0.77	)		(0.26	)		0.02			0.56
Total income (loss) from investment operations		1.05			(0.35	)		0.16			0.49			1.10
Less Distributions to Shareholders from:
Net investment income		(0.42	)		(0.42	)		(0.41	)		(0.47	)		(0.54	)
Net Asset Value, End of Year	$	7.70		$	7.07		$	7.84		$	8.09		$	8.07
Total Return¹		15.25	%		(4.77	)%		1.99	%		6.21	%⁹		15.12	%⁹
Ratio of net expenses to average net assets (with offsets/reductions)		1.15	%		1.15	%		1.15	%		1.17	%¹²		1.15	%¹³
Ratio of expenses to average net assets (with offsets)		1.15	%		1.15	%		1.15	%		1.17	%¹²		1.15	%¹³
Ratio of total expenses to average net assets (without offsets/reductions)⁸		1.77	%		1.68	%		1.67	%		1.70	%¹²		1.73	%¹³
Ratio of net investment income to average net assets¹		5.57	%		5.41	%		5.12	%		5.76	%¹²		6.87	%¹³
Portfolio turnover		31	%		42	%		40	%		39	%		48	%
Net assets at end of year (000’s omitted)	$	20,415		$	27,020		$	34,709		$	31,751		$	30,817


	For the years ended December 31,
Class I	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	7.14		$	7.92		$	8.18		$	8.16		$	7.59
Income from Investment Operations:
Net investment income^1,2		0.43			0.44			0.44			0.49			0.56
Net realized and unrealized gain (loss) on investments		0.65			(0.78	)		(0.26	)		0.02			0.58
Total income (loss) from investment operations		1.08			(0.34	)		0.18			0.51			1.14
Less Distributions to Shareholders from:
Net investment income		(0.44	)		(0.44	)		(0.44	)		(0.49	)		(0.57	)
Net Asset Value, End of Year	$	7.78		$	7.14		$	7.92		$	8.18		$	8.16
Total Return¹		15.60	%		(4.56	)%		2.16	%		6.47	%		15.46	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.90	%		0.90	%		0.90	%		0.92	%¹²		0.90	%¹³
Ratio of expenses to average net assets (with offsets)		0.90	%		0.90	%		0.90	%		0.92	%¹²		0.90	%¹³
Ratio of total expenses to average net assets (without offsets/reductions)⁸		1.52	%		1.43	%		1.42	%		1.45	%¹²		1.48	%¹³
Ratio of net investment income to average net assets¹		5.80	%		5.65	%		5.37	%		6.01	%¹²		7.12	%¹³
Portfolio turnover		31	%		42	%		40	%		39	%		48	%
Net assets at end of year (000’s omitted)	$	2,737		$	2,424		$	3,131		$	2,765		$	2,538

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

AMG Managers Amundi Intermediate Government Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class S	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	10.81		$	10.96		$	10.64		$	10.98		$	11.10
Income from Investment Operations:
Net investment income^1,2		0.14			0.11			0.17			0.18			0.20
Net realized and unrealized gain (loss) on investments		0.01			0.01			0.54			(0.32	)		0.14
Total income (loss) from investment operations		0.15			0.12			0.71			(0.14	)		0.34
Less Distributions to Shareholders from:
Net investment income		(0.13	)		(0.10	)		(0.17	)		(0.18	)		(0.20	)
Net realized gain on investments		(0.18	)		(0.17	)		(0.22	)		(0.02	)		(0.26	)
Total distributions to shareholders		(0.31	)		(0.27	)		(0.39	)		(0.20	)		(0.46	)
Net Asset Value, End of Year	$	10.65		$	10.81		$	10.96		$	10.64		$	10.98
Total Return¹		1.42	%		1.09	%⁹		6.73	%⁹		(1.25	)%⁹		3.15	%⁹
Ratio of net expenses to average net assets (with offsets/reductions)		0.88	%		0.88	%		0.89	%		0.91	%¹⁴		0.89	%¹⁵
Ratio of expenses to average net assets (with offsets)		0.88	%		0.88	%		0.89	%		0.91	%¹⁴		0.89	%¹⁵
Ratio of total expenses to average net assets (without offsets/reductions)⁸		0.93	%		0.92	%		0.96	%		0.94	%¹⁴		0.92	%¹⁵
Ratio of net investment income to average net assets¹		1.32	%		0.99	%		1.54	%		1.64	%¹⁴		1.81	%¹⁵
Portfolio turnover		17	%		21	%		11	%		29	%		21	%
Net assets at end of year (000’s omitted)	$	166,411		$	192,039		$	174,138		$	136,915		$	185,898

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

AMG Managers Amundi Short Duration Government Fund

Financial Highlights

For a share outstanding throughout each year


	For the years ended December 31,
Class S	2016^#			2015			2014			2013			2012
Net Asset Value, Beginning of Year	$	9.62		$	9.65		$	9.64		$	9.65		$	9.57
Income from Investment Operations:
Net investment income^1,2		0.16			0.02			0.05			0.03			0.08
Net realized and unrealized gain (loss) on investments		(0.05	)		(0.03	)		0.01			(0.01	)		0.08
Total income (loss) from investment operations		0.11			(0.01	)		0.06			0.02			0.16
Less Distributions to Shareholders from:
Net investment income		(0.10	)		(0.02	)		(0.05	)		(0.03	)		(0.08	)
Net Asset Value, End of Year	$	9.63		$	9.62		$	9.65		$	9.64		$	9.65
Total Return¹		1.10	%		(0.15	)%		0.60	%		0.20	%		1.64	%
Ratio of net expenses to average net assets (with offsets/reductions)		0.80	%		0.79	%		0.80	%		0.79	%¹⁶		0.81	%¹⁷
Ratio of expenses to average net assets (with offsets)		0.80	%		0.79	%		0.80	%		0.79	%¹⁶		0.81	%¹⁷
Ratio of total expenses to average net assets (without offsets/reductions)⁸		0.80	%		0.79	%		0.80	%		0.79	%¹⁶		0.81	%¹⁷
Ratio of net investment income to average net assets¹		1.69	%		0.25	%		0.47	%		0.27	%¹⁶		0.80	%¹⁷
Portfolio turnover		37	%		51	%		41	%		48	%		49	%
Net assets at end of year (000’s omitted)	$	234,569		$	395,306		$	385,246		$	422,488		$	466,415

Notes to Financial Highlights

Effective October 1, 2016, the Investor Class, Service Class and Institutional Class of AMG Chicago Equity Partners Balanced Fund and AMG Chicago Equity Partners Small Cap Value Fund were renamed Class N, Class I and Class Z, respectively; the Investor Class and Institutional Class of AMG Managers High Yield Fund were renamed Class N and Class I, respectively, and the shares of AMG Managers Amundi Intermediate Government Fund and AMG Amundi Short Duration Government Fund were reclassified and redesignated as Class S shares.

^*	Commencement of operations was December 1, 2012.

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

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

²	Per share numbers have been calculated using average shares.

Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.09, $0.11, and $0.13 for AMG Chicago Equity Partners Balanced Fund’s Class N, Class I and Class Z shares, respectively, and net investment income (loss) per share would have been $(0.09), $0.09, and $0.10 for AMG Chicago Equity Partners Small Cap Value Fund’s Class N, Class I and Class Z shares, respectively.

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

⁵	Includes non-routine extraordinary expenses amounting to 0.019%, 0.014% and 0.019% of average net assets for the Class N, Class I and Class Z, respectively.

⁶	Includes non-routine extraordinary expenses amounting to 0.005%, 0.005% and 0.004% of average net assets for the Class N, Class I and Class Z, respectively.

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

⁸	Excludes the impact of expense reimbursements or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes and extraordinary expenses. (See Notes 1(c) and 2 in the Notes to Financial Statements.)

⁹	The total return is based on the Financial Statement Net Asset Values as shown in the Financial Highlights.

¹⁰	Not annualized.

¹¹	Annualized.

¹²	Includes non-routine extraordinary expenses amounting to 0.020% and 0.021% of average net assets for the Class N and Class I, respectively.

¹³	Includes non-routine extraordinary expenses amounting to 0.005% and 0.004% of average net assets for the Class N and Class I, respectively.

¹⁴	Includes non-routine extraordinary expenses amounting to 0.020% of average net assets.

¹⁵	Includes non-routine extraordinary expenses amounting to 0.004% of average net assets.

¹⁶	Includes non-routine extraordinary expenses amounting to 0.019% of average net assets.

¹⁷	Includes non-routine extraordinary expenses amounting to 0.005% of average net assets.

¹⁸	Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.12, $0.15, and $0.16 for AMG Chicago Equity Partners Balanced Fund’s Class N, Class I, and Class Z shares, respectively.

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

Notes to Financial Statements

December 31, 2016

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

AMG Funds and AMG Funds II (the “Trusts”) are open-end management investment companies, organized as a Massachusetts business trusts and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trusts consist of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Funds: AMG Chicago Equity Partners Small Cap Value Fund (“Small Cap Value”) and AMG Funds II: AMG Chicago Equity Partners Balanced Fund (“Balanced”), AMG Managers High Yield Fund (“High Yield”), AMG Managers Amundi Intermediate Government Fund (“Intermediate Government”) (formerly AMG Managers Intermediate Duration Government Fund) and AMG Managers Amundi Short Duration Government Fund (“Short Duration”) (formerly AMG Managers Short Duration Government Fund), each a “Fund” and collectively the “Funds.” High Yield will deduct a 2.00% redemption fee from the proceeds of any redemption (including a redemption by exchange) of shares if the redemption occurs within 90 days of the purchase of those shares. For the year ended December 31, 2016, High Yield had redemption fees amounting to $3,038. These amounts are netted against the cost of shares repurchased in the Statements of Changes in Net Assets.

The Small Cap Value Fund had an inception date of December 31, 2014. The Fund’s commencement of operations was on January 2, 2015.

Each Fund offers different classes of shares, which, effective October 1, 2016, were renamed or redesignated. Both Balanced and Small Cap Value previously offered Investor Class shares, Service Class shares, and Institutional Class shares which were renamed to Class N, Class I and Class Z, respectively; High Yield previously offered Investor Class shares and Institutional Class shares which were renamed to Class N and Class I, respectively; and Intermediate Government and Short Duration shares were reclassified and redesignated Class S. Although all share classes generally have identical voting rights, each share class votes separately when required by law. Different share classes may pay different distribution amounts to the extent the net asset value per share and/or the expenses of such share classes differ. Each share class has its own expense structure. Please refer to a current prospectus for additional information on each share class.

a. VALUATION OF INVESTMENTS

Futures contracts for which market quotations are readily available are valued at the settlement price as of the close of the futures exchange.

The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third-party pricing services approved by the Board of Trustees of the Trusts (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 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

Notes to Financial Statements (continued)

investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.

The three-tier hierarchy of inputs is summarized below:

Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts)

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

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

b. SECURITY TRANSACTIONS

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

c. INVESTMENT INCOME AND EXPENSES

Dividend income is recorded on the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. 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 within the AMG Funds family of mutual 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, which paid a portion of such Fund’s expenses. For the year ended December 31, 2016, the amount by which the fund’s expenses were reduced and the impact on the expense ratios, if any, were as follows: Balanced—$22,618 or 0.01%, Small Cap Value—$1,751 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, as described in the Funds’ prospectus. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Temporary differences are due to differences between book and tax treatment of losses for excise tax purposes, wash sales, futures and tax straddles.

Notes to Financial Statements (continued)

The tax character of distributions paid during the years ended December 31, 2016 and December 31, 2015 were as follows:


	Balanced				Small Cap Value				High Yield				Intermediate Government				Short Duration
Distributions paid from:	2016		2015		2016		2015		2016		2015		2016		2015		2016		2015
Ordinary income	$	1,747,072	$	891,722	$	121,930	$	101,539	$	1,461,550	$	1,885,260	$	5,087,719	$	1,715,923	$	2,527,449	$	613,266
Short-term capital gains		—		428,523		—		—		—		—		—		2,802,915		—		—
Long-term capital gains		131,879		3,554,115		—		—		—		—		—		177,508		—		—

Total	$	1,878,951	$	4,874,360	$	121,930	$	101,539	$	1,461,550	$	1,885,260	$	5,087,719	$	4,696,346	$	2,527,449	$	613,266

As of December 31, 2016, the components of distributable earnings (excluding unrealized appreciation/depreciation) on a tax basis consisted of:


	Balanced		Small Cap Value		High Yield		Intermediate Government		Short Duration
Capital loss carryforward		—	$	262,416	$	3,396,497		—	$	4,760,539
Undistributed ordinary income	$	16,665		—		6,083	$	380,109		2,457,695
Undistributed short-term capital gains		—		—		—		—		—
Undistributed long-term capital gains		1,037,251		—		—		—		—
Late-year loss deferral		—		—		63,159		1,800,126		—

e. FEDERAL TAXES

Additionally, based on each Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, each Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.

Management has analyzed the Funds’ tax positions taken on federal income tax returns as of December 31, 2016, and all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Additionally, Management is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

Net capital losses incurred in taxable years beginning after the enactment of the Regulated Investment Company Modernization Act of 2010, may be carried forward for an unlimited time period. Such losses will be required to be utilized prior to any loss carryovers incurred in pre-enactment taxable years, which generally expire eight years following the close of the taxable year in which they were incurred. As a result of this ordering rule, pre-enactment capital loss carryovers may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward retain their tax character as either short-term or long-term capital losses, unlike pre-enactment losses which are considered all short-term.

f. CAPITAL LOSS CARRYOVERS AND DEFERRALS


	Capital Loss Carryover Amounts
Fund	Short-Term		Long-Term		Expires December 31,
Small Cap Value
(Post-Enactment)	$	262,416		—		Unlimited
High Yield
(Pre-Enactment)	$	1,914,719		—		2017
(Post-Enactment)		—	$	1,481,778		Unlimited
Short Duration
(Pre-Enactment)	$	585,044		—		2017
(Post-Enactment)		—	$	4,175,495		Unlimited

Balanced and Intermediate Government had no accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes. Should Balanced and Intermediate Government incur net capital losses for the year ended December 31, 2017, such amounts may be used to offset future realized capital gains, for an unlimited time period.

For the year ended December 31, 2016, the following Funds utilized capital loss carryovers in the amount of:

Notes to Financial Statements (continued)


	Capital Loss Carryover Utilized
Fund	Short-Term		Long-Term
Balanced		—		—
Small Cap Value	$	155,698		—
High Yield		—		—
Intermediate Government		—		—
Short Duration		2,329		—

g. CAPITAL STOCK

The Trusts’ Declaration of Trust authorizes for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date. The cost of securities contributed to the Funds in connection with the issuance of shares is based on the valuation of those securities in accordance with the Funds’ policy on investment valuation.

For the years ended December 31, 2016 and 2015, the capital stock transactions by class for Balanced, Small Cap Value and High Yield were as follows:


	Balanced												Small Cap^*
	2016						2015						2016						2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Class N:
Proceeds from sale of shares		3,377,841		$	49,948,934			4,917,700		$	75,876,816			1,549		$	18,593			1,181,275		$	12,083,124
Reinvestment of distributions		53,953			817,953			169,057			2,540,619			17			207			—			—
Cost of shares repurchased		(3,777,688	)		(56,409,174	)		(1,519,741	)		(23,301,123	)		(783	)		(7,962	)		(1,179,544	)		(12,193,236	)

Net increase (decrease)		(345,894	)	$	(5,642,287	)		3,567,016		$	55,116,312			783		$	10,838			1,731		$	(110,112	)

Class I:
Proceeds from sale of shares		2,263,148		$	34,028,928			3,649,007		$	56,053,664			181,690		$	1,853,567			1,308,993		$	13,485,730
Reinvestment of distributions		19,571			299,586			32,172			487,073			8,418			102,527			9,228			87,485
Cost of shares repurchased		(1,453,335	)		(22,061,566	)		(592,922	)		(9,069,021	)		(467,369	)		(4,771,305	)		(132,551	)		(1,308,615	)

Net increase (decrease)		829,384		$	12,266,948			3,088,257		$	47,471,716			(277,261	)	$	(2,815,211	)		1,185,670		$	12,264,600

Class Z:
Proceeds from sale of shares		323,484		$	4,749,655			113,841		$	1,780,500			43,104		$	418,513			185,788		$	1,891,574
Reinvestment of distributions		4,203			64,334			5,616			86,077			1,575			19,183			1,481			14,055
Cost of shares repurchased		(69,342	)		(1,045,388	)		(820,603	)		(12,951,242	)		(54,112	)		(495,091	)		(15,192	)		(153,098	)

Net increase (decrease)		258,345		$	3,768,601			(701,146	)	$	(11,084,665	)		(9,433	)	$	(57,395	)		172,077		$	1,752,531


	High Yield
	2016						2015
	Shares			Amount			Shares			Amount
Class N:
Proceeds from sale of shares		830,859		$	6,112,155			458,232		$	3,548,190
Reinvestment of distributions		149,970			1,099,393			201,329			1,540,515
Cost of shares repurchased		(2,153,177	)		(15,707,254	)		(1,264,058	)		(9,754,397	)

Net decrease		(1,172,348	)	$	(8,495,706	)		(604,497	)	$	(4,665,692	)

Class I:
Proceeds from sale of shares		53,750		$	395,644			64,450		$	499,391
Reinvestment of distributions		19,182			142,757			20,559			159,183
Cost of shares repurchased		(60,457	)		(448,016	)		(140,790	)		(1,085,651	)

Net increase (decrease)		12,475		$	90,385			(55,781	)	$	(427,077	)

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

Notes to Financial Statements (continued)

At December 31, 2016, certain unaffiliated shareholders of record, including omnibus accounts, individually or collectively held greater than 10% of the net assets of the Funds as follows: Balanced—two own 41%; High Yield—one owns 15%; Intermediate Government—two own 45%; Short Duration—two own 57%. Transactions by these shareholders may have a material impact on their respective Fund.

h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS

The Funds may enter into repurchase agreements for temporary cash management purposes provided that the value of the underlying collateral, including accrued interest, will equal or exceed the value of the repurchase agreement during the term of the agreement. The underlying collateral for all repurchase agreements is held in safekeeping by the 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.

At December 31, 2016, the market value of repurchase agreements or joint repurchase agreements outstanding for Balanced, Small Cap Value and High Yield were $3,216,364, $557,580, and $77,190, respectively.

i. SECURITIES TRANSACTED ON A WHEN ISSUED BASIS

All Funds except Small Cap Value 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 contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase

commitment, the Funds realize a gain or loss. If the Funds deliver securities under the commitment, the Funds realize a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

j. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES

All Funds except Small Cap Value may enter into securities transactions on a delayed delivery or when issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Funds’ Schedules of Portfolio Investments. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of the commitment. 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 Funds’ Statement of Assets and Liabilities. For financial reporting purposes, the Funds do not 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. Each Fund’s investment portfolio is managed by one or more portfolio managers who serve pursuant to a subadvisory agreement with the Investment Manager. The investment portfolio of Balanced and Small Cap Value are managed by Chicago Equity Partners, LLC (“CEP”). AMG indirectly owns a majority interest in CEP.

Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. Effective October 1, 2016, the Funds’ investment management fees are paid at the following annual rate of each Fund’s respective average daily net assets:


Balanced	0.60	%
Small Cap Value	0.62	%
High Yield	0.55	%
Intermediate Government	0.48	%
Short Duration	0.40	%

Notes to Financial Statements (continued)

Prior to October 1, 2016, the annual rate for the investment management fees was 0.70%, 0.62%, 0.70%, 0.70% and 0.70% of each Fund’s average daily net assets of Balanced, Small Cap Value, High Yield, Intermediate Government and Short Duration, respectively.

The Investment Manager has contractually agreed, through at least May 1, 2017, 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), brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) to 0.89% of Intermediate Government’s average daily net assets subject to later reimbursement by the Fund in certain circumstances.

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

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

At December 31, 2016, the Funds’ expiration of reimbursement are as follows:


Expiration Period	Balanced		Small Cap Value
Less than 1 year	$	178,167		—
Within 2 years		256,154	$	100,095
Within 3 years		276,286		94,463

Total Amount Subject to Reimbursement	$	710,607	$	194,558


Expiration Period	High Yield		Intermediate Government
Less than 1 year	$	197,131	$	89,573
Within 2 years		185,686		58,801
Within 3 years		159,030		81,422

Total Amount Subject to Reimbursement	$	541,847	$	229,796

The Investment Manager has agreed to waive a portion of its management fee in consideration of shareholder servicing fees that it has received from JPMorgan Distribution Services, Inc., with respect to short-term cash investments each Fund may have made in the JPMorgan Money Market Funds. For the year ended December 31, 2016, the investment management fee for Intermediate Government was reduced by $17,543.

The Trusts, 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 as further described in each Fund’s prospectus. Effective October 1, 2016, 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. Prior to October 1, 2016, Balanced, Small Cap Value and High Yield paid an administration fee under a similar contract at an annual rate of 0.20%, 0.25%, 0.20%, respectively, of each Fund’s average daily net assets while Intermediate Government and Short Duration did not pay an administration fee.

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.

The Trusts have 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, Balanced, Small Cap Value and High Yield may make payments to the Distributor for their expenditures in financing any activity primarily intended to result in the sale of each such class of the Fund’s shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorizes payments to the Distributor of 0.25% annually of each Fund’s average daily net assets attributable to the Class N shares.

For Class N of Small Cap Value, Class I of Balanced and Small Cap Value, and Class S of Intermediate Government and Short Duration, the Board has approved reimbursement payments to the Investment Manager for shareholder

Notes to Financial Statements (continued)

servicing expenses (“shareholder servicing fees”) for the actual amount incurred up to a maximum annual rate of each Class’s average daily net assets.

Shareholder servicing fees include payments to financial intermediaries such as broker-dealers (including fund supermarket platforms), banks, and trust companies who provide shareholder recordkeeping, account servicing and other services.

The impact on the annualized expense ratios for the year ended December 31, 2016, was as follows:


Fund	Maximum Amount Approved			Actual Amount Incurred
Balanced-Class I		0.100	%		0.100	%
Small Cap Value-Class I		0.150	%		0.115	%
Small Cap Value-Class N		0.150	%		0.150	%
Intermediate Government- Class S*		0.150	%		0.112	%
Short Duration-Class S*		0.150	%		0.034	%

^*	Effective October 1, 2016, the maximum annual rate was increased to 0.15% from 0.10%.

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 an Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.

The Securities and Exchange Commission (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. For the year ended December 31, 2016, Intermediate Government lent varying amounts not exceeding $8,207,111 for four days earning interest of $348. The interest amount is included in the Statement of Operations as interest income. For the year ended December 31, 2016, Balanced, Small Cap Value, High Yield and Short Duration neither borrowed from nor lent to other funds in the AMG Funds family. At December 31, 2016, the Funds had no interfund loans outstanding.

3. PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the year ended December 31, 2016, were as follows:


	Long-Term Securities
Fund	Purchases		Sales
Balanced	$	155,622,291	$	150,269,439
Small Cap Value		17,723,238		19,640,896
High Yield		7,584,627		15,926,457
Intermediate Government		11,920,063		21,453,760
Short Duration		18,080,204		38,414,444

	U.S. Government Obligations
Fund	Purchases		Sales
Balanced	$	60,338,339	$	54,234,322
Intermediate Government		26,099,707		42,994,163
Short Duration		77,057,682		186,238,794

4. PORTFOLIO SECURITIES LOANED

At December 31, 2016, the value of the securities loaned and cash collateral received, were as follows:


Fund	Securities Loaned		Cash Collateral Received
Balanced	$	3,119,717	$	3,216,364
Small Cap Value		536,303		557,580
High Yield		73,484		77,190

5. COMMITMENTS AND CONTINGENCIES

Under the Trusts’ organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trusts. In addition, in the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The

Notes to Financial Statements (continued)

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. 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.

7. DERIVATIVE INSTRUMENTS

The following disclosures contain information on how and why certain Funds use derivative instruments, the credit risk and how derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities, and the realized gains and losses and changes in unrealized gains and losses on the Statement of Operations, each categorized by type of derivative contract, are included in a table in the Notes to the Schedules of Portfolio Investments. For the year ended December 31, 2016, the average quarterly balances of derivative financial instruments outstanding were as follows:


	Intermediate Government		Short Duration
Financial futures contracts:
Average number of contracts purchased		5		32
Average number of contracts sold		65		654
Average notional value of contracts purchased	$	781,862	$	4,096,934
Average notional value of contracts sold	$	7,057,717	$	87,400,960

8. FUTURES CONTRACTS

A Fund may enter into futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital shares transactions. There are certain risks associated with futures contracts. Prices may not move as expected or the Fund may not be able to close out the contract when it desires to do so, resulting in losses.

On entering into a futures contract, either cash or securities in an amount equal to a certain percentage of the contract value (initial margin) must be deposited with the futures broker. Variation margin payments are made or received each day. The variation margin payments equal the daily changes in the contract value and are recorded as unrealized gains or losses. For over-the-counter (“OTC”) futures, daily variation margin payments are not required. The Funds recognize a realized gain or loss when the contract is closed or expires equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and

in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.

9. RISKS ASSOCIATED WITH COLLATERALIZED MORTGAGE

OBLIGATIONS (“CMOs”)

The net asset values of a fund may be sensitive to interest rate fluctuations because a fund may hold several instruments, including CMOs and other derivatives, whose values can be significantly impacted by interest rate movements. CMOs are obligations collateralized by a portfolio of mortgages or mortgage-related securities. Payments of principal and interest on the mortgages are passed through to the holder of the CMOs on the same schedule as they are received, although certain classes of CMOs have priority over others with respect to the receipt of prepayments on the mortgages. Therefore, the investment in CMOs may be subject to a greater or lesser risk of prepayment than other types of mortgage-related securities. CMOs are subject to principal paydowns as a result of prepayments or refinancing of the underlying mortgage instruments. As a result, the average life may be substantially less than the original maturity. CMOs may have a fixed or variable rate of interest.

10. DOLLAR ROLL AGREEMENTS

All Funds except Small Cap Value may enter into dollar rolls in which they sell debt securities for delivery currently and simultaneously contract to repurchase similar, but not identical, securities at the same price or a lower price on an agreed date. The Funds receive compensation as consideration for entering into the commitment to repurchase. The compensation is the difference between the current sale price and the repurchase price (often referred to as the “drop”) as well as the interest earned on the cash proceeds of the initial sale. The Funds may also be compensated by the receipt of a commitment fee. As the holder, the counterparty receives all principal and interest payments, including prepayments, made with respect to the similar security sold. Dollar rolls may be renewed with a new sale and repurchase price with a cash settlement made at renewal without physical delivery of the securities subject to the contract.

Certain risks may arise upon entering into dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of such securities may change adversely before the Funds are able to repurchase them. There can be no assurance that the Funds’ use of the cash that they receive from a dollar roll will provide a return that exceeds their cost.

11. STRIPPED SECURITIES

High Yield, Intermediate Government and Short Duration may invest in stripped securities (“STRIPS”) for hedging purposes to protect the Fund’s portfolio against interest rate fluctuations. Interest-only STRIPS will most likely move differently than typical fixed-income securities in relation to changes in interest rates. STRIPS are usually structured with two classes that receive different proportions of the interest and principal distributions from a pool of underlying assets. A common type of STRIP will have one class receiving all of the interest from the underlying assets (“interest-only” or “IO” class), while the other class will receive the entire principal (“principal only” or “PO” class). However, in some instances, one class will receive some of the interest and most of the principal while the other class will receive most of the interest and the remainder of the principal. STRIPS are unusually volatile in response to changes in interest rates. The yield to maturity on an IO class of STRIPS is extremely sensitive not only to

Notes to Financial Statements (continued)

changes in prevailing interest rates but also to the rate of principal payments (including prepayments) on the underlying assets. A rapid rate of principal prepayments may have a measurably adverse effect on a Funds’ yield to maturity to the extent it invests in IOs. Conversely, POs tend to increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. Thus, if the underlying assets experience greater than anticipated repayments of principal, a Fund may fail to fully recover its initial investment in these securities, even if the STRIPS were rated of the highest credit quality by Standard & Poor’s Corporation or Moody’s Investors Service, Inc. These risks are managed by investing in a variety of such securities and by using certain hedging techniques. In addition the secondary market for STRIPS may be less liquid than that of other mortgage-backed or asset-backed

securities, potentially limiting a Fund’s ability to buy or sell those securities at any particular time.

12. MASTER NETTING AGREEMENTS

The following table is a summary of the Funds’ open repurchase agreements that are subject to a master netting agreement as of December 31, 2016:


			Gross Amount Not Offset in the Statement of Assets and Liabilities
Fund	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments Collateral		Cash Collateral Received		Net Amount
Balanced
Citigroup Global Markets, Inc.	$	1,000,000	$	1,000,000		—		—
Daiwa Capital Markets America		1,000,000		1,000,000		—		—
Merrill Lynch Pierce Fenner & Smith, Inc.		216,364		216,364		—		—
Nomura Securities International, Inc.		1,000,000		1,000,000		—		—

Totals	$	3,216,364	$	3,216,364		—		—

Small Cap Value
HSBC Securities USA, Inc.	$	557,580	$	557,580		—		—

High Yield
Daiwa Capital Markets America	$	77,190	$	77,190		—		—

13. REGULATORY UPDATES

On October 13, 2016, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X, which sets forth the form and content of financial statements. At this time, management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.

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 for the following: Effective February 27, 2017, Intermediate Government and Short Duration will rename existing Class S shares to Class N shares, and will issue new Class I and Class Z shares. Additionally, the new Class I shares may reimburse the Investment Manager for the actual amount of Shareholder Servicing fees incurred up to a maximum annual rate of 0.05% of Class I’s average daily net assets. The Investment Manager will also contractually agree, through at least May 1, 2018, to waive management fees and/or reimburse Fund expenses in order limit total annual Fund operating expenses (exclusive of certain items) for Intermediate Government to 0.74% of the average daily net assets of such Fund. Also effective February 27, 2017, the Investment Manager will contractually agree, through May 1, 2018, to waive 0.05% and 0.11% of the investment management fee, which may not be recouped, for Intermediate Government and Short Duration, respectively. Please refer to the Funds’ prospectus for further details.

Notes to Financial Statements (continued)

TAX INFORMATION (unaudited)

The AMG Chicago Equity Partners Balanced Fund, AMG Chicago Equity Partners Small Cap Value Fund, AMG Managers High Yield Fund, AMG Managers Amundi Intermediate Government Fund and AMG Managers Amundi Short Duration Government Fund each hereby designates the maximum amount allowable of its net taxable income as qualified dividends as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003. The 2016 Form 1099-DIV you receive for each Fund will show the tax status of all distributions paid to you during the year.

Pursuant to section 852 of the Internal Revenue Code, AMG Chicago Equity Partners Balanced Fund, AMG Chicago Equity Partners Small Cap Value Fund, AMG Managers High Yield Fund, AMG Managers Amundi Intermediate Government Fund and AMG Managers Amundi Short Duration Government Fund each hereby designates $131,879, $0, $0, $0 and $0, respectively, as a capital gain distribution with respect to the taxable year ended December 31, 2016, or if subsequently determined to be different, the net capital gains of such fiscal year.

Report of Independent Registered Public Accounting Firm

TO THE BOARDS OF TRUSTEES OF AMG FUNDS AND AMG FUNDS II AND THE SHAREHOLDERS OF AMG CHICAGO EQUITY PARTNERS BALANCED FUND, AMG CHICAGO EQUITY PARTNERS SMALL CAP VALUE FUND, AMG MANAGERS HIGH YIELD FUND, AMG MANAGERS AMUNDI INTERMEDIATE GOVERNMENT FUND (FORMERLY AMG MANAGERS INTERMEDIATE DURATION GOVERNMENT FUND) AND AMG MANAGERS AMUNDI SHORT DURATION GOVERNMENT FUND (FORMERLY AMG MANAGERS SHORT DURATION GOVERNMENT FUND):

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of AMG Chicago Equity Partners Balanced Fund, AMG Chicago Equity Partners Small Cap Value Fund, AMG Managers High Yield Fund, AMG Managers Amundi Intermediate Government Fund (formerly AMG Managers Intermediate Duration Government Fund), and AMG Managers Amundi Short Duration Government Fund (formerly AMG Managers Short Duration Government Fund) (the “Funds”) as of December 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of December 31, 2016 by correspondence with the custodian, brokers, and transfer agent, and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 28, 2017

AMG Funds

Trustees and Officers

There is no stated term of office for Trustees. Trustees serve until their resignation, retirement or removal in accordance with the Trust’s

Independent Trustees

The following Trustees are not “interested persons” of the Trust within the meaning of the 1940 Act:


Number of Funds Overseen in Fund Complex		Name, Age, Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee
• Trustee since 2012 • Oversees 67 Funds in Fund Complex		Bruce B. Bingham, 68 Partner, Hamilton Partners (real estate development firm) (1987-Present); Director of The Yacktman Funds (2000-2012).

• Trustee since 1999—AMG • Funds Trustee since 2000—AMG Funds II • Oversees 67 Funds in Fund Complex		Edward J. Kaier, 71 Attorney at Law and Partner, Teeters Harvey Marrone & Kaier LLP (2007-Present); Attorney at Law and Partner, Hepburn Willcox Hamilton & Putnam, LLP (1977-2007); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio).

• Trustee since 2013 • Oversees 69 Funds in Fund Complex		Kurt A. Keilhacker, 53 Managing Member, TechFund Capital (1997-Present); Managing Member, TechFund Europe (2000-Present); Board Member, 6wind SA, (2002-Present); Managing Member, Elementum Ventures (2013-Present); Trustee, Gordon College (2001-2016).

• Trustee since 2004—AMG Funds • Trustee since 2000—AMG Funds II • Oversees 67 Funds in Fund Complex		Steven J. Paggioli, 66 Independent Consultant (2002-Present); Formerly Executive Vice President and Director, The Wadsworth Group (1986-2001); Executive Vice President, Secretary and Director, Investment Company Administration, LLC (1990-2001); Vice President, Secretary and Director, First Fund Distributors, Inc. (1991-2001); Trustee, Professionally Managed Portfolios (32 portfolios); Advisory Board Member, Sustainable Growth Advisors, LP; Independent Director, Chase Investment Counsel (2008–Present).

• Trustee since 2013 • Oversees 67 Funds in Fund Complex		Richard F. Powers III, 71 Adjunct Professor, Boston College (2010-2013); President and CEO of Van Kampen Investments Inc. (1998-2003).

• Independent Chairman • Trustee since 1999—AMG Funds • Trustee since 2000—AMG Funds II • Oversees 69 Funds in Fund Complex		Eric Rakowski, 58 Professor, University of California at Berkeley School of Law (1990-Present); Director of Harding, Loevner Funds, Inc. (9 portfolios); Trustee of Third Avenue Trust (5 portfolios); Trustee of Third Avenue Variable Trust (1 portfolio).

• Trustee since 2013 • Oversees 69 Funds in Fund Complex		Victoria L. Sassine, 51 Lecturer, Babson College (2007 – Present).

• Trustee since 2004—AMG Funds • Trustee since 2000—AMG Funds II • Oversees 67 Funds in Fund Complex		Thomas R. Schneeweis, 69 Professor Emeritus, University of Massachusetts (2013-Present); Partner, S Capital Wealth Advisors (2015-Present); President, TRS Associates (1982-Present); Board Member, Chartered Alternative Investment Association (“CAIA”) (2002-Present); Director, CAIA Foundation (Education) (2010-Present); Director, Institute for Global Asset and Risk Management (Education) (2010-Present); Partner, S Capital Management, LLC (2007-2015); Director, CISDM at the University of Massachusetts, (1996-2013); President, Alternative Investment Analytics, LLC, (formerly Schneeweis Partners, LLC) (2001-2013); Professor of Finance, University of Massachusetts (1977-2013).

Interested Trustees

Each Trustee in the following table is an “interested person” of the Trust with in the meaning of the 1940 Act. Ms. Carsman is an interested person of the Trust withinthe meaning of the 1940 Act by virtue of her position with, and interest in securities of, AMG.

Number of Funds Overseen in Fund Complex		Name, Age, Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee
• Trustee since 2011 • Oversees 69 Funds in Fund Complex		Christine C. Carsman, 64 Executive Vice President, Deputy General Counsel and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2017-Present); Senior Vice President and Deputy General Counsel, Affiliated Managers Group, Inc. (2011-2016); Senior Vice President and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2007-2011); Vice President and Chief Regulatory Counsel, Affiliated Managers Group, Inc. (2004-2007); Secretary and Chief Legal Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2004-2011); Senior Counsel, Vice President and Director of Operational Risk Management and Compliance, Wellington Management Company, LLP (1995-2004).

AMG Funds

Trustees and Officers (continued)


*Officers*

Position(s) Held with Fund and Length of Time Served		Name, Age, Principal Occupation(s) During Past 5 Years
• President since 2014 • Principal Executive Officer since 2014 • Chief Executive Officer since 2016		Jeffrey T. Cerutti, 49 Chief Executive Officer, AMG Funds LLC (2014-Present); Director, President and Principal, AMG Distributors, Inc. (2014-Present); President and Principal Executive Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2014-Present); Chief Executive Officer, President and Principal Executive Officer, AMG Funds IV, (2015-Present); Chief Executive Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2016-Present); Chief Executive Officer, Aston Asset Management, LLC (2016); President, VP Distributors, (2011-2014); Executive Vice President, Head of Distribution, Virtus Investment Partners, Inc. (2010-2014); Managing Director, Head of Sales, UBS Global Asset Management (2001-2010).

• Chief Operating Officer since 2007		Keitha L. Kinne, 58 Chief Operating Officer, AMG Funds LLC (2007-Present); Chief Investment Officer, AMG Funds LLC (2008-Present); Chief Operating Officer, AMG Distributors, Inc. (2007-Present); Chief Operating Officer, AMG Funds, AMG Funds I, AMG Funds II, and AMG Funds III (2007-Present); Chief Operating Officer, AMG Funds IV, (2016-Present); Chief Operating Officer and Chief Investment Officer, Aston Asset Management, LLC (2016); President and Principal Executive Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2012-2014); Managing Partner, AMG Funds LLC (2007-2014); President, AMG Funds (2012-2014); President, AMG Distributors, Inc. (2012-2014); Managing Director, Legg Mason & Co., LLC (2006-2007); Managing Director, Citigroup Asset Management (2004-2006).

• Secretary since 2015 • Chief Legal Officer since 2015		Mark J. Duggan, 52 Senior Vice President and Senior Counsel, AMG Funds LLC (2015-Present); Secretary and Chief Legal Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2015-Present); Secretary and Chief Legal Officer, AMG Funds IV, (2015-Present); Attorney, K&L Gates, LLP (2009-2015).

• Chief Financial Officer since 2007 • AMG Funds Treasurer since 1999 • AMG Funds II Treasurer since 2000 • Principal Financial Officer since 2008		Donald S. Rumery, 58 Senior Vice President, Director of Mutual Funds Services, AMG Funds LLC (2005-Present); Principal Financial Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2008-Present); Treasurer, Chief Financial Officer, Principal Financial Officer and Principal Accounting Officer, AMG Funds IV, (2016-Present); Treasurer, AMG Funds, (1999-Present); Treasurer, AMG Funds III (1995-Present); Treasurer, (AMG Funds I and AMG Funds II (2000-Present); Chief Financial Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2007-Present); Treasurer and Chief Financial Officer, AMG Distributors, Inc. (2000-2012); Vice President, AMG Funds LLC, (1994-2004).

• Chief Compliance Officer since 2016		Gerald F. Dillenburg, 50 Chief Compliance Officer and Sarbanes Oxley Code of Ethics Compliance Officer, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2016-Present); Chief Compliance Officer, AMG Funds IV (1996-Present); Sarbanes-Oxley Code of Ethics Compliance Officer, AMG Funds IV (2016-Present); Chief Compliance Officer, Aston Asset Management, LLC (2006-2016); Chief Operating Officer, Aston Funds (2003-2016); Secretary, Aston Funds (1996-2015); Chief Financial Officer, Aston Funds (1997-2010); Chief Financial Officer, Aston Asset Management, LLC (2006-2010); Treasurer, Aston Funds (1996-2010).

• Anti-Money Laundering Compliance Officer since 2014		Patrick J. Spellman, 42 Senior Vice President, Chief Compliance Officer, AMG Funds LLC (2011-Present); Chief Compliance Officer, AMG Distributors, Inc., (2010-Present); Anti-Money Laundering Compliance Officer, AMG Funds, AMG Funds I, AMG Funds II, and AMG Funds III (2014-Present); Anti-Money Laundering Officer, AMG Funds IV, (2016-Present); Compliance Manager, Legal and Compliance, Affiliated Managers Group, Inc. (2005-2011).

• Assistant Secretary since 2016		Maureen A. Meredith, 31 Vice President, Counsel, AMG Funds LLC (2015-Present); Assistant Secretary, AMG Funds, AMG Funds I, AMG Funds II, AMG Funds III and AMG Funds IV (2016-Present); Associate, Ropes & Gray LLP (2011-2015); Law Fellow, Massachusetts Appleseed Center for Law and Justice (2010-2011).

• Assistant Secretary since 2016		Diana M. Podgorny, 37 Vice President, Counsel, AMG Funds LLC (2016-Present); Assistant Secretary, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2016-Present); Assistant Secretary, AMG Funds IV (2010-Present); Vice President, Counsel, Aston Asset Management, LLC (2010-2016).

• Assistant Secretary since 2016		Marc Peirce, 54 Vice President, Compliance Officer, AMG Funds LLC (2016-Present); Assistant Secretary, AMG Funds IV (2001-Present); Assistant Secretary, AMG Funds, AMG Funds I, AMG Funds II and AMG Funds III (2016-Present); Vice President, Aston Asset Management, LLC (1998-2016); Assistant Chief Compliance Officer, Aston Asset Management, LLC (2006-2016).

THIS PAGE INTENTIONALLY LEFT BLANK

LOGO

INVESTMENT MANAGER AND

ADMINISTRATOR

AMG Funds LLC

600 Steamboat Road, Suite 300

Greenwich, CT 06830

(800) 835-3879

DISTRIBUTOR

AMG Distributors, Inc.

600 Steamboat Road, Suite 300

Greenwich, CT 06830

(800) 835-3879

CUSTODIAN

The Bank of New York Mellon

2 Hanson Place

Brooklyn, NY 11217

LEGAL COUNSEL

Ropes & Gray LLP

Prudential Tower, 800 Boylston Street

Boston, MA 02199-3600

TRANSFER AGENT

BNY Mellon Investment Servicing (US) Inc.

Attn: AMG Funds

P.O. Box 9769

Providence, RI 02940

(800) 548-4539

FOR MANAGERSCHOICE^TMONLY

AMG Funds

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

P.O. Box 9847

Providence, Rhode Island 02940-8047

(800) 358-7668

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

www.amgfunds.com |

LOGO

AFFILIATE SUBADVISED FUNDS

BALANCED FUNDS

AMG Chicago Equity Partners Balanced

Chicago Equity Partners, LLC

AMG FQ Global Risk-Balanced

First Quadrant, L.P.

EQUITY FUNDS

AMG Chicago Equity Partners Small Cap Value

Chicago Equity Partners, LLC

AMG FQ Tax-Managed U.S. Equity

AMG FQ U.S. Equity

First Quadrant, L.P.

AMG Frontier Small Cap Growth

Frontier Capital Management Company, LLC

AMG GW&K Small Cap Core

AMG GW&K Small Cap Growth

AMG GW&K U.S. Small Cap Growth

GW&K Investment Management, LLC

AMG Renaissance International Equity

AMG Renaissance Large Cap Growth

The Renaissance Group LLC

AMG River Road Dividend All Cap Value

AMG River Road Dividend All Cap Value II

AMG River Road Focused Absolute Value

AMG River Road Long-Short

AMG River Road Select Value

AMG River Road Small Cap Value

River Road Asset Management, LLC

AMG SouthernSun Small Cap

AMG SouthernSun Global Opportunities

AMG SouthernSun U.S. Equity

SouthernSun Asset Management, LLC

AMG Systematic Large Cap Value

AMG Systematic Mid Cap Value

Systematic Financial Management, L.P.

AMG TimesSquare All Cap Growth

AMG TimesSquare Emerging Markets

Small Cap

AMG TimesSquare International Small Cap

AMG TimesSquare Mid Cap Growth

AMG TimesSquare Small Cap Growth

TimesSquare Capital Management, LLC

AMG Trilogy Emerging Markets Equity

AMG Trilogy Emerging Wealth Equity

AMG Trilogy Global Equity

AMG Trilogy International Small Cap

Trilogy Global Advisors, L.P.

AMG Yacktman

AMG Yacktman Focused

AMG Yacktman Focused Fund - Security Selection Only

AMG Yacktman Special Opportunities

Yacktman Asset Management LP

FIXED INCOME FUNDS

AMG GW&K Core Bond

AMG GW&K Enhanced Core Bond

AMG GW&K Municipal Bond

AMG GW&K Municipal Enhanced Yield

GW&K Investment Management, LLC

OPEN-ARCHITECTURE FUNDS

ALTERNATIVE FUNDS

AMG Managers Lake Partners LASSO

Alternative

Lake Partners, Inc.

BALANCED FUNDS

AMG Managers Montag & Caldwell

Balanced

Montag & Caldwell, LLC

EQUITY FUNDS

AMG Managers Brandywine

AMG Managers Brandywine Advisors Mid Cap Growth

AMG Managers Brandywine Blue

Friess Associates, LLC

AMG Managers Cadence Capital

Appreciation

AMG Managers Cadence Emerging

Companies

AMG Managers Cadence Mid Cap

Cadence Capital Management, LLC

AMG Managers CenterSquare Real Estate

CenterSquare Investment Management,

Inc.

AMG Managers Emerging Opportunities

Lord, Abbett & Co. LLC

WEDGE Capital Management L.L.P.

Next Century Growth Investors LLC

RBC Global Asset Management (U.S.) Inc.

AMG Managers Essex Small/Micro Cap

Growth

Essex Investment Management Co., LLC

AMG Managers Fairpointe Focused

Equity

AMG Managers Fairpointe Mid Cap

Fairpointe Capital LLC

AMG Managers Guardian Capital

Global Dividend

Guardian Capital LP

AMG Managers LMCG Small Cap Growth

LMCG Investments, LLC

AMG Managers Montag & Caldwell

Growth

AMG Managers Montag & Caldwell Mid Cap Growth

Montag & Caldwell, LLC

AMG Managers Pictet International

Pictet Asset Management Limited

AMG Managers Silvercrest Small Cap

Silvercrest Asset Management Group

LLC

AMG Managers Skyline Special Equities

Skyline Asset Management, L.P.

AMG Managers Special Equity

Ranger Investment Management, L.P.

Lord, Abbett & Co. LLC

Smith Asset Management Group, L.P.

Federated MDTA LLC

AMG Managers Value Partners Asia Dividend

Value Partners Hong Kong Limited

FIXED INCOME FUNDS

AMG Managers Amundi Intermediate

Government

AMG Managers Amundi Short Duration

Government

Amundi Smith Breeden LLC

AMG Managers Doubleline Core Plus Bond

DoubleLine Capital LP

AMG Managers Global Income Opportunity

AMG Managers Loomis Sayles Bond

Loomis, Sayles & Co., L.P.

AMG Managers High Yield

J.P. Morgan Investment Management

Inc.

LOGO

Item 2. CODE OF ETHICS

Registrant has adopted a Code of Ethics. See attached Exhibit (a)(1).

Item 3. AUDIT COMMITTEE FINANCIAL EXPERT

Registrant’s Board of Trustees has determined that independent Trustee Mr. Steven J. Paggioli qualifies as an Audit Committee Financial Expert. Mr. Paggioli is “independent” as such term is defined in Form N-CSR.

Item 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

(a)	Audit Fees

The aggregate fees billed by the Funds’ independent registered public accounting firm, PricewaterhouseCoopers LLP (“PwC”), to the Funds for the Funds’ two most recent fiscal years for professional services rendered for audits of annual financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements (“Audit Fees”) were as follows:


Fund - AMG FUNDS II	Fiscal 2016		Fiscal 2015
AMG GW&K Enhanced Core Bond Fund	$	37,846	$	41,633
AMG Chicago Equity Partners Balanced Fund	$	27,540	$	32,237
AMG Managers High Yield Fund	$	46,084	$	46,662
AMG Managers Amundi Short Duration Government Fund	$	41,233	$	45,939
AMG Managers Amundi Intermediate Government Fund	$	41,219	$	42,072

(b) Audit-Related Fees

There were no fees billed by PwC to the Funds in its two recent fiscal years for services rendered for assurance and related services that are reasonably related to the performance of the audit or review of the Fund’s financial statements, but are not reported as Audit Fees (“Audit-Related Fees”).

For the Funds’ two most recent fiscal years, there were no Audit-Related Fees billed by PwC for engagements related directly to the operations and financial reporting of one or more Funds by a Fund Service Provider. A Fund Service Provider is (a) any investment adviser to the Fund (not including any Subadvisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) or (b) any entity that provides ongoing services to the Fund and is controlling, controlled by or under common control with a Fund investment adviser described in (a).

The aggregate fees billed by PwC to the Funds for the two most recent fiscal years for professional services rendered for tax compliance, tax advice, and tax planning (“Tax Fees”) were as follows:


Fund - AMG FUNDS II	Fiscal 2016		Fiscal 2015
AMG GW&K Enhanced Core Bond Fund	$	9,425	$	9,240
AMG Chicago Equity Partners Balanced Fund	$	7,369	$	7,225
AMG Managers High Yield Fund	$	9,425	$	9,240
AMG Managers Amundi Short Duration Government Fund	$	10,159	$	9,960
AMG Managers Amundi Intermediate Government Fund	$	10,159	$	9,960

For the Funds’ two most recent fiscal years, Tax Fees billed by PwC for engagements by Fund Service Providers that related directly to the operations and financial reporting of the Funds were $0 for fiscal 2016 and $0 for fiscal 2015, respectively.

The services for which Tax Fees were charged comprise all services performed by professional staff in PwC’s tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.

(d) All Other Fees

There were no other fees billed by PwC to the Funds for all other non-audit services (“Other Fees”) during the Funds’ two most recent fiscal years. During the same period, there were no Other Fees billed by PwC for engagements by Fund Service Providers that related directly to the operations and financial reporting of the Funds.

(e) (1) According to policies adopted by the Audit Committee, services provided by PwC to the Funds must be pre-approved by the Audit Committee. On an annual basis, the Audit Committee reviews and pre-approves various types of services that PwC may perform for the Funds without specific approval of each engagement, subject to specified budget limitations. As contemplated by the Sarbanes-Oxley Act of 2002 and related SEC rules, the Audit Committee also pre-approves non-audit services provided by PwC to any Fund Service Provider for any engagement that relates directly to the operations and financial reporting of the Funds. Any engagement that is not already pre-approved or that will exceed a pre-approved budget must be submitted to the Audit Committee for pre-approval. The Chairman of the Audit Committee is authorized on behalf of the Board of Trustees and the Audit Committee to approve the engagement of PwC to perform non-audit services subject to certain conditions, including notification to the Audit Committee of such pre-approval not later than the next meeting of the Audit Committee following the date of such pre-approval.

(e)(2) None.

(f) Not applicable.

(g) The aggregate fees billed by PwC in 2016 and 2015 for non-audit services rendered to the Funds and Fund Service Providers were $78,937 and $111,625, respectively. For the fiscal years ended December 31, 2016, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $32,400 in fees billed to the Fund Service Providers for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended December 31, 2015, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $66,000 in fees billed to the Fund Service Providers for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The Trust’s Audit Committee has considered whether the provision of non-audit services by registrant’s independent registered public accounting firm to the registrant’s investment advisor, and any entity controlling, controlled, or under common control with the investment advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

Item 5. AUDIT COMMITTEE OF LISTED REGISTRANTS

Not applicable.

Item 6. SCHEDULE OF INVESTMENTS

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

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

Item 11. CONTROLS AND PROCEDURES

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

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

Item 12. EXHIBITS



(a)(1)		Any Code of Ethics or amendments hereto. Filed herewith.

(a)(2)		Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940—Filed herewith.

(a)(3)		Not applicable.

(b)		Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940—Filed herewith.

SIGNATURES

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

AMG FUNDS II


By:		/s/ Jeffrey T. Cerutti
		Jeffrey T. Cerutti, Principal Executive Officer

Date: March 10, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ Jeffrey T. Cerutti
		Jeffrey T. Cerutti, Principal Executive Officer

Date: March 10, 2017


By:		/s/ Donald S. Rumery
		Donald S. Rumery, Principal Financial Officer

Date: March 10, 2017



Jeffrey T. Cerutti		President and Principal Executive Officer

Donald S. Rumery		Chief Financial Officer and Principal Financial Officer, Treasurer and Principal Accounting Officer


Name of Issuer:		AMG FUNDS II – AMG CHICAGO EQUITY PARTNERS BALANCED FUND, AMG MANAGERS HIGH YIELD FUND, AMG MANAGERS AMUNDI INTERMEDIATE GOVERNMENT FUND, AMG MANAGERS AMUNDI SHORT DURATION GOVERNMENT FUND AND AMG GW&K ENHANCED CORE BOND FUND