UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act File Number 811-58433

BMO Funds, Inc.

(Exact name of registrant as specified in charter)

111 East Kilbourn Avenue, Suite 200

              Milwaukee, WI 53202                  

(Address of principal executive offices) (Zip code)

John M. Blaser

BMO Asset Management Corp.

111 East Kilbourn Avenue, Suite 200

              Milwaukee, WI 53202                  

(Name and address of agent for service)

Copies to:

Michael P. O’Hare, Esq.

Stradley, Ronon, Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103

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

Date of fiscal year end: August 31

Date of reporting period: February 28, 2019

Item 1. Reports to Stockholders.

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

BMO Funds February 28, 2019

Semi-Annual

report

Equity Funds

International & Global Funds

Alternative Funds

Fixed Income Funds

Money Market Funds

Notification of electronic delivery of shareholder materials

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your broker/dealer, investment professional, or financial institution. Instead, the reports will be made available online at bmofunds.com/documents, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by calling 1-800-236-FUND (3863), by sending an email request to bmofundsus.services@bmo.com, or by asking your broker/dealer, investment professional, or financial institution.

Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call the Funds toll-free at 1-800-236-FUND (3863) or send an email request to bmofundsus.services@bmo.com. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Funds.

Table of Contents

Financial Information
Expense Example			2
Schedules of Investments:
Equity Funds:		Fixed Income Funds:
BMO Low Volatility Equity Fund	5	BMO Ultra Short Tax-Free Fund	47
BMO Dividend Income Fund	6	BMO Short Tax-Free Fund	49
BMO Large-Cap Value Fund	8	BMO Short-Term Income Fund	52
BMO Large-Cap Growth Fund	10	BMO Intermediate Tax-Free Fund	57
BMO Mid-Cap Value Fund	11	BMO Strategic Income Fund	59
BMO Mid-Cap Growth Fund	13	BMO TCH Corporate Income Fund	63
BMO Small-Cap Value Fund	15	BMO TCH Core Plus Bond Fund	66
BMO Small-Cap Core Fund	17	BMO High Yield Bond Fund	69
BMO Small-Cap Growth Fund	20	Money Market Funds:
International and Global Funds:		BMO Government Money Market Fund	72
BMO Global Low Volatility Equity Fund	22	BMO Tax-Free Money Market Fund	74
BMO Disciplined International Equity Fund	25	BMO Prime Money Market Fund	77
BMO Pyrford International Stock Fund	26	BMO Institutional Prime Money Market Fund	79
BMO LGM Emerging Markets Equity Fund	28
Alternative Funds:
BMO Alternative Strategies Fund	29
BMO Global Long/Short Equity Fund	44
Notes to Schedules of Investments			82
Statements of Assets and Liabilities			83
Statements of Operations			89
Statements of Changes in Net Assets			96
Financial Highlights			104
Notes to Financial Statements			116
Shareholder Report Disclosure of Directors’ Approval of Advisory Contracts			146

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 28, 2019

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 28, 2019 (9/1/18-2/28/19).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 9/1/18		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Annualized Expense Ratio(1)
Low Volatility Equity Fund
Advisor	$	1,000.00	$	1,026.30	$	4.52	$	1,020.33	$	4.51		0.90	%
Institutional		1,000.00		1,028.20		3.27		1,021.57		3.26		0.65
Dividend Income Fund
Advisor		1,000.00		976.10		4.41		1,020.33		4.51		0.90
Institutional		1,000.00		977.00		3.19		1,021.57		3.26		0.65
Large-Cap Value Fund
Advisor		1,000.00		959.00		3.84		1,020.88		3.96		0.79
Institutional		1,000.00		960.40		2.62		1,022.12		2.71		0.54
Retirement class R-6		1,000.00		961.00		1.90		1,022.86		1.96		0.39
Large-Cap Growth Fund
Investor		1,000.00		952.30		3.82		1,020.88		3.96		0.79
Advisor		1,000.00		951.60		3.82		1,020.88		3.96		0.79
Institutional		1,000.00		953.20		2.62		1,022.12		2.71		0.54
Retirement class R-6		1,000.00		954.00		1.89		1,022.86		1.96		0.39

2

Expense Example (Unaudited) (continued)

	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 9/1/18		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Annualized Expense Ratio(1)
Mid-Cap Value Fund
Advisor	$	1,000.00	$	955.30	$	6.01	$	1,018.65	$	6.21		1.24	%
Institutional		1,000.00		956.40		4.80		1,019.89		4.96		0.99
Retirement class R-6		1,000.00		956.50		4.07		1,020.63		4.21		0.84
Mid-Cap Growth Fund
Advisor		1,000.00		977.10		6.08		1,018.65		6.21		1.24
Institutional		1,000.00		972.50		4.84		1,019.89		4.96		0.99
Retirement class R-3		1,000.00		1,000.00		0.00		1,024.79		0.00		0.00
Retirement class R-6		1,000.00		972.70		4.11		1,020.63		4.21		0.84
Small-Cap Value Fund
Advisor		1,000.00		906.50		5.86		1,018.65		6.21		1.24
Institutional		1,000.00		907.30		4.68		1,019.89		4.96		0.99
Retirement class R-6		1,000.00		908.10		3.97		1,020.63		4.21		0.84
Small-Cap Core Fund
Advisor		1,000.00		886.60		5.38		1,019.09		5.76		1.15
Institutional		1,000.00		888.20		4.21		1,020.33		4.51		0.90
Small-Cap Growth Fund
Advisor		1,000.00		883.10		5.79		1,018.65		6.21		1.24
Institutional		1,000.00		884.10		4.62		1,019.89		4.96		0.99
Global Low Volatility Equity Fund
Investor		1,000.00		1,000.00		0.00		1,024.79		0.00		0.00
Advisor		1,000.00		1,008.60		5.48		1,019.34		5.51		1.10
Institutional		1,000.00		1,010.60		4.24		1,020.58		4.26		0.85
Disciplined International Equity Fund
Advisor		1,000.00		960.60		0.00		1,024.79		0.00		0.00
Institutional		1,000.00		962.50		0.00		1,024.79		0.00		0.00
Pyrford International Stock Fund
Advisor		1,000.00		984.30		5.85		1,018.89		5.96		1.19
Institutional		1,000.00		986.10		4.63		1,020.13		4.71		0.94
Retirement class R-3		1,000.00		1,000.00		0.00		1,024.79		0.00		0.00
Retirement class R-6		1,000.00		986.40		3.89		1,020.88		3.96		0.79
Class F-3		1,000.00		1,000.00		3.82		1,020.98		3.86		0.77
LGM Emerging Markets Equity Fund
Investor		1,000.00		1,000.00		0.00		1,024.79		0.00		0.00
Advisor		1,000.00		976.00		6.86		1,017.85		7.00		1.40
Institutional		1,000.00		977.60		5.64		1,019.09		5.76		1.15
Alternative Strategies Fund
Advisor		1,000.00		952.70		9.39		1,015.17		9.69		1.94
Institutional		1,000.00		954.10		8.14		1,016.46		8.40		1.68
Global Long/Short Equity Fund
Advisor		1,000.00		947.10		10.04		1,014.48		10.39		2.08
Institutional		1,000.00		948.10		9.08		1,015.47		9.39		1.88
Ultra Short Tax-Free Fund
Advisor		1,000.00		1,007.90		2.74		1,022.07		2.76		0.55
Institutional		1,000.00		1,009.20		1.49		1,023.31		1.51		0.30
Short Tax-Free Fund
Advisor		1,000.00		1,010.20		2.74		1,022.07		2.76		0.55
Institutional		1,000.00		1,011.90		2.00		1,022.81		2.01		0.40

3

Expense Example (Unaudited) (continued)

	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 9/1/18		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Annualized Expense Ratio(1)
Short-Term Income Fund
Advisor	$	1,000.00	$	1,014.80	$	3.00	$	1,021.82	$	3.01		0.60	%
Institutional		1,000.00		1,015.00		1.75		1,023.06		1.76		0.35
Intermediate Tax-Free Fund
Investor		1,000.00		1,017.20		2.75		1,022.07		2.76		0.55
Advisor		1,000.00		1,017.20		2.75		1,022.07		2.76		0.55
Institutional		1,000.00		1,019.20		1.55		1,023.26		1.56		0.31
Strategic Income Fund
Investor		1,000.00		1,026.70		4.02		1,020.83		4.01		0.80
Advisor		1,000.00		1,026.70		4.02		1,020.83		4.01		0.80
Institutional		1,000.00		1,027.90		2.77		1,022.07		2.76		0.55
TCH Corporate Income Fund
Investor		1,000.00		1,010.30		2.94		1,021.87		2.96		0.59
Advisor		1,000.00		1,010.30		2.94		1,021.87		2.96		0.59
Institutional		1,000.00		1,011.10		2.09		1,022.71		2.11		0.42
TCH Core Plus Bond Fund
Investor		1,000.00		1,013.70		2.85		1,021.97		2.86		0.57
Advisor		1,000.00		1,013.70		2.85		1,021.97		2.86		0.57
Institutional		1,000.00		1,015.80		1.60		1,023.21		1.61		0.32
High Yield Bond Fund
Advisor		1,000.00		1,021.00		4.51		1,020.33		4.51		0.90
Institutional		1,000.00		1,022.20		3.26		1,021.57		3.26		0.65
Government Money Market Fund
Investor		1,000.00		1,009.00		2.24		1,022.56		2.26		0.45
Premier		1,000.00		1,010.20		1.00		1,023.80		1.00		0.20
Tax-Free Money Market Fund
Investor		1,000.00		1,005.90		2.24		1,022.56		2.26		0.45
Premier		1,000.00		1,007.10		1.00		1,023.80		1.00		0.20
Prime Money Market Fund
Investor		1,000.00		1,009.80		2.24		1,022.56		2.26		0.45
Premier		1,000.00		1,011.00		1.00		1,023.80		1.00		0.20
Institutional Prime Money Market Fund
Investor		1,000.00		1,009.90		2.24		1,022.56		2.26		0.45
Premier		1,000.00		1,011.20		1.00		1,023.80		1.00		0.20

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2018 through February 28, 2019, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

4

February 28, 2019 (Unaudited)

Schedules of Investments BMO Funds

Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 97.8%
Communication Services — 1.3%
Integrated Telecommunication Services — 1.3%
Verizon Communications, Inc.		34,943	$	1,988,956
Consumer Discretionary — 14.8%
Advertising — 1.2%
Omnicom Group, Inc. (1)		25,055		1,896,664
Apparel Retail — 1.7%
TJX Cos., Inc.		51,560		2,644,512
Apparel, Accessories & Luxury Goods — 0.4%
Carter’s, Inc. (1)		5,895		574,409
Automotive Retail — 2.3%
AutoZone, Inc. (2)		3,760		3,530,527
Cable & Satellite — 0.4%
Sirius XM Holdings, Inc. (1)		106,726		632,885
Computer & Electronics Retail — 0.3%
Best Buy Co., Inc. (1)		6,543		450,420
Education Services — 3.3%
Bright Horizons Family Solutions, Inc. (1)(2)		27,370		3,393,880
Graham Holdings Co., Class B (1)		963		658,413
Grand Canyon Education, Inc. (1)(2)		8,494		982,586
				5,034,879
General Merchandise Stores — 1.2%
Dollar General Corp.		10,058		1,191,471
Target Corp. (1)		7,682		558,020
				1,749,491
Movies & Entertainment — 2.1%
Madison Square Garden Co., Class A (2)		2,660		766,453
Walt Disney Co. (1)		22,123		2,496,359
				3,262,812
Publishing — 0.2%
John Wiley & Sons, Inc., Class A		6,385		331,318
Restaurants — 1.2%
Brinker International, Inc. (1)		7,799		356,960
Darden Restaurants, Inc. (1)		12,389		1,388,931
				1,745,891
Specialized Consumer Services — 0.5%
ServiceMaster Global Holdings, Inc. (1)(2)		17,634		796,351
Total Consumer Discretionary				22,650,159
Consumer Staples — 15.2%
Agricultural Products — 1.9%
Ingredion, Inc.		31,894		2,948,600
Food Distributors — 2.9%
Sysco Corp. (1)		27,860		1,881,943
U.S. Foods Holding Corp. (1)(2)		70,103		2,470,430
				4,352,373
Food Retail — 2.3%
Kroger Co.		100,463		2,946,580
Sprouts Farmers Market, Inc. (1)(2)		26,303		613,386
				3,559,966
Household Products — 0.3%
Church & Dwight Co., Inc. (1)		6,439		423,686

Description	Shares		Value
Common Stocks (continued)
Consumer Staples (continued)
Hypermarkets & Super Centers — 4.0%
Costco Wholesale Corp. (1)		13,414	$	2,934,178
Walmart, Inc. (1)		31,294		3,097,793
				6,031,971
Packaged Foods & Meats — 1.8%
Flowers Foods, Inc. (1)		59,447		1,216,880
Hershey Co.		8,454		935,689
J.M. Smucker Co. (1)		2,863		303,220
Kellogg Co. (1)		6,543		368,109
				2,823,898
Soft Drinks — 2.0%
PepsiCo, Inc.		25,757		2,978,540
Total Consumer Staples				23,119,034
Energy — 4.3%
Integrated Oil & Gas — 3.4%
Chevron Corp.		23,801		2,846,123
Exxon Mobil Corp. (1)		12,435		982,738
Occidental Petroleum Corp.		20,087		1,328,755
				5,157,616
Oil & Gas-Equipment & Services — 0.3%
Schlumberger, Ltd.		10,112		445,535
Oil & Gas-Exploration & Production — 0.2%
ConocoPhillips		5,641		382,742
Oil & Gas-Refining & Marketing — 0.4%
Valero Energy Corp.		7,682		626,544
Total Energy				6,612,437
Financials — 14.6%
Consumer Finance — 1.4%
American Express Co.		20,607		2,220,198
Financial Exchanges & Data — 1.0%
Morningstar, Inc. (1)		12,657		1,601,870
Life & Health Insurance — 2.3%
Aflac, Inc.		70,971		3,487,515
Property & Casualty Insurance — 4.3%
Allstate Corp.		31,591		2,981,559
Axis Capital Holdings, Ltd.		11,779		672,228
Progressive Corp. (1)		22,759		1,659,131
Travelers Cos., Inc. (1)		9,142		1,215,063
				6,527,981
Regional Banks — 2.7%
Citizens Financial Group, Inc.		28,908		1,067,862
PNC Financial Services Group, Inc.		14,605		1,840,522
Popular, Inc. (1)		15,909		896,949
Regions Financial Corp.		18,122		297,201
				4,102,534
Reinsurance — 2.9%
Everest Re Group, Ltd. (1)		13,615		3,078,487
RenaissanceRe Holdings, Ltd. (1)		8,734		1,284,335
				4,362,822
Total Financials				22,302,920
Healthcare — 13.6%
Healthcare Equipment — 3.2%
Baxter International, Inc.		44,033		3,290,586
Hill-Rom Holdings, Inc.		6,492		688,477
Medtronic PLC (1)		10,493		949,616
				4,928,679

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

5

February 28, 2019 (Unaudited)

Schedules of Investments

Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Facilities — 0.3%
Universal Health Services, Inc., Class B (1)		2,933	$	407,189
Healthcare Services — 0.9%
Cigna Corp.		6,789		1,184,273
MEDNAX, Inc. (1)(2)		7,835		257,850
				1,442,123
Managed Healthcare — 1.1%
Humana, Inc.		5,959		1,698,553
Pharmaceuticals — 8.1%
Bristol-Myers Squibb Co. (1)		18,950		978,957
Eli Lilly & Co. (1)		25,187		3,180,866
Johnson & Johnson		17,615		2,406,914
Merck & Co., Inc.		29,319		2,383,341
Pfizer, Inc. (1)		77,028		3,339,164
				12,289,242
Total Healthcare				20,765,786
Industrials — 6.7%
Aerospace & Defense — 3.0%
Huntington Ingalls Industries, Inc.		1,621		339,454
Lockheed Martin Corp. (1)		8,253		2,553,561
Northrop Grumman Corp. (1)		4,435		1,285,972
Raytheon Co. (1)		2,217		413,470
				4,592,457
Environmental & Facilities Services — 3.5%
Republic Services, Inc. (1)		21,908		1,718,245
Waste Management, Inc.		35,052		3,549,015
				5,267,260
Industrial Conglomerates — 0.2%
Carlisle Cos., Inc.		3,029		372,809
Total Industrials				10,232,526
Information Technology — 4.4%
Communications Equipment — 2.3%
Motorola Solutions, Inc. (1)		24,126		3,452,913
Data Processing & Outsourced Services — 1.6%
Genpact, Ltd.		74,755		2,483,361
Electronic Components — 0.2%
Dolby Laboratories, Inc., Class A		5,421		351,281
Internet Software & Services — 0.3%
eBay, Inc. (1)		10,819		401,926
Total Information Technology				6,689,481
Real Estate — 10.1%
Hotel & Resort REIT’s — 1.4%
Apple Hospitality REIT, Inc. (1)		126,364		2,082,479
Office REIT’s — 2.2%
Equity Commonwealth (1)		83,407		2,723,238
Highwoods Properties, Inc. (1)		7,521		348,297
Piedmont Office Realty Trust, Inc., Class A (1)		14,714		301,196
				3,372,731
Residential REIT’s — 4.5%
Equity LifeStyle Properties, Inc.		11,182		1,214,813
Essex Property Trust, Inc. (1)		12,442		3,481,769
UDR, Inc. (1)		50,631		2,249,029
				6,945,611

Description	Shares		Value
Common Stocks (continued)
Real Estate (continued)
Specialized REIT’s — 2.0%
Public Storage		14,279	$	3,019,866
Total Real Estate				15,420,687
Utilities — 12.8%
Electric Utilities — 9.8%
American Electric Power Co., Inc. (1)		41,705		3,384,361
Avangrid, Inc. (1)		26,585		1,285,385
Entergy Corp. (1)		34,858		3,253,297
Exelon Corp. (1)		74,755		3,632,345
Xcel Energy, Inc. (1)		61,923		3,397,096
				14,952,484
Multi-Utilities — 3.0%
Ameren Corp.		50,525		3,599,401
Public Service Enterprise Group, Inc. (1)		16,181		951,604
				4,551,005
Total Utilities				19,503,489
Total Common Stocks (identified cost $123,818,634)				149,285,475
Short-Term Investments — 46.4%
Collateral Pool Investments for Securities on Loan — 44.3%
Collateral pool allocation (3)				67,630,658
Mutual Funds — 2.1%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		3,159,667		3,159,983
Total Short-Term Investments (identified cost $70,789,959)				70,790,641
Total Investments — 144.2% (identified cost $194,608,593)				220,076,116
Other Assets and Liabilities — (44.2)%				(67,498,853	)
Total Net Assets — 100.0%			$	152,577,263

Dividend Income Fund

Description	Shares		Value
Common Stocks — 97.6%
Communication Services — 4.5%
Integrated Telecommunication Services — 4.5%
AT&T, Inc.		119,244	$	3,710,873
Verizon Communications, Inc. (1)		108,933		6,200,467
Total Communication Services				9,911,340
Consumer Discretionary — 10.0%
Auto Parts & Equipment — 0.5%
BorgWarner, Inc. (1)		25,546		1,037,423
Cable & Satellite — 2.5%
Comcast Corp., Class A		140,924		5,449,531
Computer & Electronics Retail — 1.0%
Best Buy Co., Inc.		31,911		2,196,753
Department Stores — 2.3%
Kohl’s Corp. (1)		54,245		3,663,165
Nordstrom, Inc. (1)		28,517		1,348,284
				5,011,449

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

6

BMO Funds

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Home Improvement Retail — 1.1%
Lowe’s Cos., Inc.		23,886	$	2,510,180
Hotels, Resorts & Cruise Lines — 1.1%
Carnival Corp. (1)		41,067		2,372,030
Restaurants — 1.5%
Darden Restaurants, Inc. (1)		30,377		3,405,565
Total Consumer Discretionary				21,982,931
Consumer Staples — 6.0%
Food Distributors — 2.1%
Sysco Corp. (1)		68,275		4,611,976
Food Retail — 0.9%
Kroger Co. (1)		63,233		1,854,624
Hypermarkets & Super Centers — 1.7%
Walmart, Inc. (1)		38,544		3,815,470
Soft Drinks — 1.3%
PepsiCo, Inc. (1)		24,004		2,775,823
Total Consumer Staples				13,057,893
Energy — 8.8%
Integrated Oil & Gas — 4.0%
Chevron Corp.		47,299		5,656,014
Occidental Petroleum Corp. (1)		47,319		3,130,152
				8,786,166
Oil & Gas-Exploration & Production — 0.5%
ConocoPhillips		16,044		1,088,586
Oil & Gas-Refining & Marketing — 2.7%
Marathon Petroleum Corp.		39,747		2,464,711
Valero Energy Corp.		42,310		3,450,804
				5,915,515
Oil & Gas-Storage & Transportation — 1.6%
Kinder Morgan, Inc.		179,625		3,441,615
Total Energy				19,231,882
Financials — 15.3%
Consumer Finance — 2.9%
Discover Financial Services		31,057		2,223,992
Navient Corp. (1)		97,984		1,197,364
Synchrony Financial		93,516		3,049,557
				6,470,913
Diversified Banks — 4.9%
Citigroup, Inc.		69,814		4,466,700
JPMorgan Chase & Co.		14,165		1,478,259
Wells Fargo & Co. (1)		96,182		4,798,520
				10,743,479
Investment Banking & Brokerage — 0.8%
Morgan Stanley		40,335		1,693,263
Life & Health Insurance — 1.9%
Prudential Financial, Inc. (1)		44,342		4,250,181
Property & Casualty Insurance — 1.0%
Allstate Corp.		23,624		2,229,633
Regional Banks — 3.8%
Citizens Financial Group, Inc.		111,879		4,132,810
KeyCorp (1)		59,575		1,052,095
Regions Financial Corp.		185,639		3,044,480
				8,229,385
Total Financials				33,616,854

Description	Shares		Value
Common Stocks (continued)
Healthcare — 11.7%
Biotechnology — 3.1%
AbbVie, Inc. (1)		51,872	$	4,110,338
Amgen, Inc.		14,303		2,718,714
				6,829,052
Healthcare Services — 1.1%
CVS Health Corp.		41,962		2,426,662
Pharmaceuticals — 7.5%
Bristol-Myers Squibb Co. (1)		21,679		1,119,937
Eli Lilly & Co. (1)		41,325		5,218,934
Johnson & Johnson		14,902		2,036,209
Merck & Co., Inc.		25,042		2,035,664
Pfizer, Inc. (1)		138,361		5,997,950
				16,408,694
Total Healthcare				25,664,408
Industrials — 8.4%
Aerospace & Defense — 3.2%
Boeing Co.		13,192		5,803,953
Lockheed Martin Corp. (1)		3,969		1,228,048
				7,032,001
Airlines — 1.5%
Alaska Air Group, Inc. (1)		16,883		1,041,681
Delta Air Lines, Inc. (1)		43,409		2,152,218
				3,193,899
Construction Machinery & Heavy Trucks — 1.0%
Caterpillar, Inc. (1)		15,396		2,114,487
Environmental & Facilities Services — 0.5%
Republic Services, Inc. (1)		15,231		1,194,567
Industrial Machinery — 0.6%
Ingersoll-Rand PLC (1)		11,750		1,240,330
Railroads — 0.7%
Union Pacific Corp. (1)		9,757		1,636,249
Trucking — 0.9%
Ryder System, Inc. (1)		30,814		1,915,398
Total Industrials				18,326,931
Information Technology — 16.8%
Communications Equipment — 3.4%
Cisco Systems, Inc. (1)		118,078		6,112,898
Motorola Solutions, Inc. (1)		9,218		1,319,280
				7,432,178
Data Processing & Outsourced Services — 1.0%
Automatic Data Processing, Inc. (1)		15,342		2,347,786
Semiconductor Equipment — 1.6%
KLA-Tencor Corp. (1)		30,697		3,545,197
Semiconductors — 4.9%
Broadcom, Inc.		10,490		2,888,526
Intel Corp. (1)		73,248		3,879,214
Maxim Integrated Products, Inc. (1)		19,888		1,082,504
Texas Instruments, Inc. (1)		27,146		2,871,504
				10,721,748
Systems Software — 3.2%
Microsoft Corp.		62,277		6,976,892
Technology Hardware, Storage & Peripherals — 2.7%
Apple, Inc.		7,460		1,291,699
HP, Inc. (1)		127,155		2,508,768
NetApp, Inc. (1)		32,112		2,093,703
				5,894,170
Total Information Technology				36,917,971

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

7

February 28, 2019 (Unaudited)

Schedules of Investments

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials — 2.2%
Commodity Chemicals — 0.7%
LyondellBasell Industries NV, Class A		18,711	$	1,600,165
Fertilizers & Agricultural Chemicals — 1.0%
CF Industries Holdings, Inc. (1)		51,814		2,186,551
Paper Packaging — 0.5%
WestRock Co. (1)		26,522		991,392
Total Materials				4,778,108
Real Estate — 6.8%
Hotel & Resort REIT’s — 2.3%
Host Hotels & Resorts, Inc. (1)		262,999		5,157,410
Residential REIT’s — 1.5%
Essex Property Trust, Inc. (1)		11,900		3,330,096
Retail REIT’s — 1.8%
Simon Property Group, Inc. (1)		21,600		3,913,056
Specialized REIT’s — 1.2%
CyrusOne, Inc. (1)		18,682		931,111
Lamar Advertising Co., Class A (1)		21,754		1,687,458
				2,618,569
Total Real Estate				15,019,131
Utilities — 7.1%
Electric Utilities — 2.9%
Entergy Corp. (1)		13,127		1,225,143
Exelon Corp.		103,983		5,052,534
				6,277,677
Independent Power Producers & Energy Traders — 2.3%
AES Corp.		294,315		5,071,047
Multi-Utilities — 1.9%
Ameren Corp.		15,798		1,125,449
CenterPoint Energy, Inc. (1)		100,104		3,017,135
				4,142,584
Total Utilities				15,491,308
Total Common Stocks (identified cost $180,374,196)				213,998,757
Short-Term Investments — 49.3%
Collateral Pool Investments for Securities on Loan — 46.3%
Collateral pool allocation (3)				101,536,426
Mutual Funds — 3.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		6,461,658		6,462,305
Total Short-Term Investments (identified cost $107,998,466)				107,998,731
Total Investments — 146.9% (identified cost $288,372,662)				321,997,488
Other Assets and Liabilities — (46.9)%				(102,741,731	)
Total Net Assets — 100.0%			$	219,255,757

Large-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.8%
Communication Services — 0.6%
Integrated Telecommunication Services — 0.6%
Verizon Communications, Inc. (1)		34,195	$	1,946,379
Consumer Discretionary — 9.1%
Apparel, Accessories & Luxury Goods — 0.4%
Ralph Lauren Corp. (1)		9,755		1,221,033
Auto Parts & Equipment — 0.6%
Lear Corp. (1)		12,637		1,921,709
Automotive Retail — 0.4%
AutoZone, Inc. (2)		1,272		1,194,370
Cable & Satellite — 3.3%
Comcast Corp., Class A		269,874		10,436,027
Department Stores — 1.2%
Kohl’s Corp. (1)		33,998		2,295,885
Nordstrom, Inc. (1)		33,154		1,567,521
				3,863,406
General Merchandise Stores — 0.8%
Target Corp. (1)		36,880		2,678,963
Home Improvement Retail — 1.4%
Lowe’s Cos., Inc.		42,687		4,485,977
Homefurnishing Retail — 0.4%
Williams-Sonoma, Inc. (1)		21,610		1,256,838
Internet & Direct Marketing Retail — 0.4%
Expedia Group, Inc. (1)		10,028		1,236,553
Tires & Rubber — 0.2%
Goodyear Tire & Rubber Co. (1)		39,489		781,092
Total Consumer Discretionary				29,075,968
Consumer Staples — 6.6%
Food Distributors — 0.3%
Sysco Corp. (1)		13,379		903,751
Food Retail — 1.4%
Kroger Co. (1)		155,123		4,549,758
Household Products — 1.0%
Kimberly-Clark Corp. (1)		27,958		3,266,333
Hypermarkets & Super Centers — 3.1%
Walmart, Inc. (1)		98,903		9,790,408
Soft Drinks — 0.8%
PepsiCo, Inc.		23,450		2,711,758
Total Consumer Staples				21,222,008
Energy — 8.8%
Integrated Oil & Gas — 3.4%
Chevron Corp.		92,504		11,061,628
Oil & Gas-Exploration & Production — 2.3%
ConocoPhillips		107,702		7,307,581
Oil & Gas-Refining & Marketing — 3.1%
Marathon Petroleum Corp.		50,907		3,156,743
PBF Energy, Inc., Class A (1)		48,867		1,518,298
Valero Energy Corp.		63,689		5,194,475
				9,869,516
Total Energy				28,238,725
Financials — 21.9%
Consumer Finance — 3.3%
American Express Co.		23,676		2,550,852

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

8

BMO Funds

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Consumer Finance (continued)
Capital One Financial Corp.		48,113	$	4,021,285
Synchrony Financial		127,800		4,167,558
				10,739,695
Diversified Banks — 6.0%
Bank of America Corp.		146,375		4,256,585
Citigroup, Inc.		150,044		9,599,815
Wells Fargo & Co.		107,595		5,367,915
				19,224,315
Investment Banking & Brokerage — 1.0%
Morgan Stanley		76,607		3,215,962
Life & Health Insurance — 3.1%
Prudential Financial, Inc. (1)		62,681		6,007,974
Unum Group		103,582		3,869,823
				9,877,797
Property & Casualty Insurance — 3.3%
Allstate Corp.		73,717		6,957,410
Travelers Cos., Inc. (1)		27,504		3,655,557
				10,612,967
Regional Banks — 4.2%
Citizens Financial Group, Inc.		155,624		5,748,751
KeyCorp (1)		152,028		2,684,814
Regions Financial Corp.		187,962		3,082,577
Zions Bancorp NA (1)		37,398		1,911,038
				13,427,180
Reinsurance — 1.0%
Everest Re Group, Ltd. (1)		14,884		3,365,421
Total Financials				70,463,337
Healthcare — 14.5%
Biotechnology — 1.7%
AbbVie, Inc. (1)		29,395		2,329,260
Amgen, Inc.		15,786		3,000,603
				5,329,863
Healthcare Distributors — 0.4%
Cardinal Health, Inc. (1)		26,061		1,416,155
Healthcare Equipment — 1.9%
Hill-Rom Holdings, Inc.		35,334		3,747,170
Hologic, Inc. (1)(2)		52,758		2,487,540
				6,234,710
Healthcare Technology — 0.5%
Cerner Corp. (1)(2)		29,268		1,637,544
Life Sciences Tools & Services — 0.2%
Charles River Laboratories International, Inc. (1)(2)		5,357		761,605
Pharmaceuticals — 9.8%
Bristol-Myers Squibb Co. (1)		107,598		5,558,513
Eli Lilly & Co. (1)		58,992		7,450,099
Merck & Co., Inc.		60,636		4,929,100
Mylan NV (1)(2)		43,248		1,141,315
Pfizer, Inc. (1)		282,125		12,230,119
				31,309,146
Total Healthcare				46,689,023

Description	Shares		Value
Common Stocks (continued)
Industrials — 7.3%
Aerospace & Defense — 1.4%
Huntington Ingalls Industries, Inc. (1)		21,399	$	4,481,165
Airlines — 2.6%
Southwest Airlines Co. (1)		87,732		4,916,501
United Continental Holdings, Inc. (2)		38,794		3,406,501
				8,323,002
Building Products — 0.7%
Masco Corp.		59,427		2,232,078
Construction Machinery & Heavy Trucks — 2.6%
Allison Transmission Holdings, Inc.		92,274		4,586,018
Oshkosh Corp. (1)		25,599		1,991,858
Terex Corp. (1)		54,775		1,839,892
				8,417,768
Total Industrials				23,454,013
Information Technology — 11.0%
Communications Equipment — 4.3%
Cisco Systems, Inc. (1)		156,261		8,089,632
F5 Networks, Inc. (1)(2)		33,077		5,561,567
				13,651,199
Consulting & Other Services — 1.1%
DXC Technology Co.		55,638		3,664,319
Data Processing & Outsourced Services — 0.8%
Alliance Data Systems Corp. (1)		15,145		2,620,085
Semiconductors — 2.3%
Intel Corp. (1)		138,882		7,355,191
Systems Software — 1.0%
Microsoft Corp.		29,665		3,323,370
Technology Hardware, Storage & Peripherals — 1.5%
NetApp, Inc. (1)		71,952		4,691,270
Total Information Technology				35,305,434
Materials — 3.0%
Commodity Chemicals — 0.8%
LyondellBasell Industries NV, Class A		31,714		2,712,181
Metal & Glass Containers — 1.6%
Berry Global Group, Inc. (1)(2)		96,108		5,042,787
Steel — 0.6%
Steel Dynamics, Inc.		54,609		2,038,008
Total Materials				9,792,976
Real Estate — 7.8%
Healthcare REIT’s — 0.6%
Medical Properties Trust, Inc. (1)		109,954		2,004,462
Hotel & Resort REIT’s — 1.0%
Host Hotels & Resorts, Inc. (1)		168,316		3,300,677
Office REIT’s — 1.8%
Boston Properties, Inc. (1)		42,861		5,687,226
Residential REIT’s — 3.8%
Camden Property Trust		34,699		3,403,625
Equity LifeStyle Properties, Inc. (1)		18,235		1,981,050
Essex Property Trust, Inc. (1)		23,877		6,681,740
				12,066,415
Specialized REIT’s — 0.6%
EPR Properties (1)		26,988		1,983,078
Total Real Estate				25,041,858

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

9

February 28, 2019 (Unaudited)

Schedules of Investments

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Utilities — 8.2%
Electric Utilities — 4.5%
Entergy Corp.		70,804	$	6,608,137
Exelon Corp.		157,637		7,659,582
				14,267,719
Independent Power Producers & Energy Traders — 2.0%
AES Corp.		376,969		6,495,176
Multi-Utilities — 1.7%
Ameren Corp. (1)		76,618		5,458,266
Total Utilities				26,221,161
Total Common Stocks (identified cost $273,951,169)				317,450,882
Short-Term Investments — 39.2%
Collateral Pool Investments for Securities on Loan — 38.2%
Collateral pool allocation (3)				122,679,982
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		3,185,507		3,185,825
Total Short-Term Investments (identified cost $125,865,257)				125,865,807
Total Investments — 138.0% (identified cost $399,816,426)				443,316,689
Other Assets and Liabilities — (38.0)%				(122,100,394	)
Total Net Assets — 100.0%			$	321,216,295

Large-Cap Growth Fund

Description	Shares		Value
Common Stocks — 96.9%
Consumer Discretionary — 15.3%
Apparel Retail — 1.1%
Burlington Stores, Inc. (1)(2)		23,779	$	4,036,247
Automotive Retail — 2.0%
AutoZone, Inc. (2)		1,924		1,806,578
O’Reilly Automotive, Inc. (1)(2)		14,861		5,527,698
				7,334,276
Cable & Satellite — 2.7%
Comcast Corp., Class A		180,230		6,969,494
Sirius XM Holdings, Inc. (1)		480,883		2,851,636
				9,821,130
Department Stores — 0.4%
Nordstrom, Inc. (1)		34,406		1,626,716
Footwear — 0.7%
Deckers Outdoor Corp. (1)(2)		18,104		2,678,487
Homefurnishing Retail — 0.7%
Williams-Sonoma, Inc. (1)		43,850		2,550,316
Internet & Direct Marketing Retail — 7.7%
Amazon.com, Inc. (2)		11,190		18,349,698
Expedia Group, Inc. (1)		50,539		6,231,964
TripAdvisor, Inc. (1)(2)		72,279		3,843,074
				28,424,736
Total Consumer Discretionary				56,471,908

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 4.5%
Food Distributors — 0.8%
Sysco Corp. (1)		44,314	$	2,993,411
Household Products — 0.3%
Energizer Holdings, Inc. (1)		24,902		1,142,504
Hypermarkets & Super Centers — 1.5%
Walmart, Inc. (1)		54,132		5,358,526
Packaged Foods & Meats — 1.9%
Hershey Co.		27,174		3,007,618
Post Holdings, Inc. (1)(2)		38,921		3,965,272
				6,972,890
Total Consumer Staples				16,467,331
Energy — 2.2%
Oil & Gas-Exploration & Production — 2.2%
ConocoPhillips		75,121		5,096,960
EOG Resources, Inc. (1)		29,764		2,797,816
Total Energy				7,894,776
Financials — 7.2%
Consumer Finance — 3.1%
American Express Co. (1)		75,389		8,122,411
Discover Financial Services		47,293		3,386,652
				11,509,063
Diversified Banks — 0.9%
U.S. Bancorp		64,397		3,328,681
Investment Banking & Brokerage — 0.8%
Evercore, Inc., Class A (1)		30,534		2,812,181
Property & Casualty Insurance — 2.4%
Allstate Corp.		46,558		4,394,144
Progressive Corp.		63,099		4,599,917
				8,994,061
Total Financials				26,643,986
Healthcare — 12.2%
Biotechnology — 4.6%
AbbVie, Inc. (1)		108,208		8,574,402
Amgen, Inc.		45,003		8,554,170
				17,128,572
Healthcare Equipment — 1.2%
Edwards Lifesciences Corp. (1)(2)		12,070		2,043,331
Intuitive Surgical, Inc. (1)(2)		4,233		2,318,033
				4,361,364
Healthcare Facilities — 0.6%
HCA Healthcare, Inc.		17,134		2,382,311
Healthcare Services — 1.4%
Cigna Corp. (2)		28,462		4,964,911
Pharmaceuticals — 4.4%
Eli Lilly & Co. (1)		71,933		9,084,419
Jazz Pharmaceuticals PLC (1)(2)		23,745		3,325,012
Zoetis, Inc.		39,090		3,683,451
				16,092,882
Total Healthcare				44,930,040
Industrials — 11.8%
Aerospace & Defense — 3.2%
Boeing Co.		26,661		11,729,773
Airlines — 1.8%
Southwest Airlines Co.		115,165		6,453,847

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

10

BMO Funds

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Building Products — 1.6%
Masco Corp. (1)		153,386	$	5,761,178
Construction Machinery & Heavy Trucks — 1.6%
Allison Transmission Holdings, Inc. (1)		120,289		5,978,363
Railroads — 1.6%
Genesee & Wyoming, Inc., Class A (1)(2)		74,164		6,081,448
Research & Consulting Services — 0.5%
CoStar Group, Inc. (1)(2)		4,322		1,977,445
Trading Companies & Distributors — 1.5%
WW Grainger, Inc. (1)		18,283		5,572,110
Total Industrials				43,554,164
Information Technology — 39.1%
Application Software — 4.4%
Adobe, Inc. (2)		23,158		6,078,975
salesforce.com, Inc. (2)		53,502		8,755,602
Ultimate Software Group, Inc. (2)		3,819		1,265,999
				16,100,576
Communications Equipment — 3.3%
F5 Networks, Inc. (1)(2)		30,759		5,171,818
Palo Alto Networks, Inc. (1)(2)		28,485		7,015,001
				12,186,819
Data Processing & Outsourced Services — 8.1%
Alliance Data Systems Corp. (1)		25,080		4,338,840
Mastercard, Inc., Class A		47,647		10,709,616
Sabre Corp. (1)		54,943		1,232,372
Visa, Inc., Class A (1)		92,616		13,718,282
				29,999,110
Internet Software & Services — 5.2%
Alphabet, Inc., Class A (1)(2)		3,602		4,057,833
Alphabet, Inc., Class C (2)		10,719		12,004,423
Facebook, Inc., Class A (2)		19,907		3,213,985
				19,276,241
Semiconductors — 4.8%
Intel Corp. (1)		125,739		6,659,137
Texas Instruments, Inc.		23,057		2,438,970
Xilinx, Inc. (1)		68,706		8,608,862
				17,706,969
Systems Software — 7.3%
Fortinet, Inc. (1)(2)		78,904		6,848,078
Microsoft Corp.		178,969		20,049,897
				26,897,975
Technology Hardware, Storage & Peripherals — 6.0%
Apple, Inc.		96,375		16,687,331
NetApp, Inc. (1)		82,375		5,370,850
				22,058,181
Total Information Technology				144,225,871
Materials — 2.1%
Commodity Chemicals — 0.5%
Westlake Chemical Corp. (1)		25,040		1,749,545

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Metal & Glass Containers — 1.6%
Berry Global Group, Inc. (1)(2)		116,984	$	6,138,150
Total Materials				7,887,695
Real Estate — 2.5%
Residential REIT’s — 2.5%
Equity LifeStyle Properties, Inc. (1)		20,514		2,228,641
Essex Property Trust, Inc. (1)		24,709		6,914,567
Total Real Estate				9,143,208
Total Common Stocks (identified cost $261,429,956)				357,218,979
Short-Term Investments — 42.1%
Collateral Pool Investments for Securities on Loan — 39.2%
Collateral pool allocation (3)				144,779,531
Mutual Funds — 2.9%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		10,673,443		10,674,510
Total Short-Term Investments (identified cost $155,454,014)				155,454,041
Total Investments — 139.0% (identified cost $416,883,970)				512,673,020
Other Assets and Liabilities — (39.0)%				(143,867,683	)
Total Net Assets — 100.0%			$	368,805,337

Mid-Cap Value Fund

Description	Shares		Value
Common Stocks — 97.8%
Consumer Discretionary — 13.1%
Advertising — 1.2%
Omnicom Group, Inc. (1)		28,678	$	2,170,925
Apparel, Accessories & Luxury Goods — 1.4%
Ralph Lauren Corp. (1)		19,053		2,384,864
Auto Parts & Equipment — 1.2%
Lear Corp. (1)		13,430		2,042,300
Automotive Retail — 1.6%
AutoZone, Inc. (2)		3,024		2,839,445
Broadcasting — 1.4%
AMC Networks, Inc., Class A (1)(2)		36,261		2,382,710
Department Stores — 1.4%
Kohl’s Corp. (1)		36,149		2,441,142
Homefurnishing Retail — 1.4%
Williams-Sonoma, Inc. (1)		40,634		2,363,274
Leisure Products — 1.1%
Brunswick Corp. (1)		37,941		2,001,008
Publishing — 1.2%
News Corp., Class A (1)		154,407		2,010,379
Specialized Consumer Services — 1.2%
ServiceMaster Global Holdings, Inc. (1)(2)		47,969		2,166,280
Total Consumer Discretionary				22,802,327

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

11

February 28, 2019 (Unaudited)

Schedules of Investments

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 6.0%
Agricultural Products — 0.7%
Ingredion, Inc. (1)		13,433	$	1,241,881
Brewers — 1.3%
Molson Coors Brewing Co., Class B (1)		36,729		2,264,710
Food Distributors — 1.4%
Sysco Corp. (1)		36,184		2,444,229
Food Retail — 1.2%
Kroger Co. (1)		69,246		2,030,985
Packaged Foods & Meats — 1.4%
Hershey Co.		21,411		2,369,770
Total Consumer Staples				10,351,575
Energy — 4.5%
Oil & Gas-Exploration & Production — 2.2%
Cimarex Energy Co. (1)		26,914		1,935,386
Continental Resources, Inc. (1)(2)		42,220		1,883,434
				3,818,820
Oil & Gas-Refining & Marketing — 2.3%
Marathon Petroleum Corp.		33,409		2,071,692
PBF Energy, Inc., Class A (1)		61,201		1,901,515
				3,973,207
Total Energy				7,792,027
Financials — 19.1%
Asset Management & Custody Banks — 1.4%
Ameriprise Financial, Inc. (1)		18,228		2,399,351
Consumer Finance — 1.4%
Discover Financial Services		33,290		2,383,897
Investment Banking & Brokerage — 1.2%
E*TRADE Financial Corp.		41,734		2,044,549
Life & Health Insurance — 2.6%
Athene Holding, Ltd., Class A (1)(2)		53,614		2,388,504
Unum Group		55,410		2,070,117
				4,458,621
Multi-Line Insurance — 3.9%
American Financial Group, Inc. (1)		20,313		2,024,394
American National Insurance Co.		16,477		2,425,250
Hartford Financial Services Group, Inc.		49,221		2,429,548
				6,879,192
Property & Casualty Insurance — 1.0%
Old Republic International Corp.		84,924		1,771,515
Regional Banks — 7.6%
BankUnited, Inc. (1)		52,015		1,898,027
Comerica, Inc. (1)		23,603		2,056,057
Regions Financial Corp.		135,962		2,229,777
Signature Bank (1)		15,361		2,085,409
SunTrust Banks, Inc.		36,304		2,355,041
TCF Financial Corp.		114,325		2,618,043
				13,242,354
Total Financials				33,179,479
Healthcare — 8.3%
Biotechnology — 0.8%
United Therapeutics Corp. (1)(2)		10,951		1,383,002

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Equipment — 4.5%
Hill-Rom Holdings, Inc.		23,960	$	2,540,958
Hologic, Inc. (1)(2)		53,692		2,531,578
STERIS PLC (1)		22,811		2,759,218
				7,831,754
Healthcare Technology — 1.2%
Cerner Corp. (1)(2)		37,435		2,094,488
Life Sciences Tools & Services — 1.8%
Charles River Laboratories International, Inc. (2)		21,327		3,032,060
Total Healthcare				14,341,304
Industrials — 11.1%
Airlines — 0.9%
JetBlue Airways Corp. (1)(2)		91,565		1,529,135
Construction Machinery & Heavy Trucks — 2.6%
Allison Transmission Holdings, Inc.		44,605		2,216,869
Cummins, Inc. (1)		14,867		2,290,856
				4,507,725
Electrical Components & Equipment — 1.3%
Regal Beloit Corp.		26,286		2,201,715
Environmental & Facilities Services — 1.2%
Republic Services, Inc. (1)		25,493		1,999,416
Human Resource & Employment Services — 1.1%
Robert Half International, Inc. (1)		28,574		1,948,461
Trading Companies & Distributors — 2.6%
United Rentals, Inc. (1)(2)		15,772		2,122,754
WESCO International, Inc. (2)		43,798		2,384,801
				4,507,555
Trucking — 1.4%
Ryder System, Inc. (1)		40,080		2,491,373
Total Industrials				19,185,380
Information Technology — 8.7%
Communications Equipment — 1.5%
Juniper Networks, Inc. (1)		96,594		2,615,766
Data Processing & Outsourced Services — 1.0%
Sabre Corp. (1)		81,186		1,821,002
Electronic Equipment & Instruments — 1.1%
National Instruments Corp. (1)		40,083		1,873,479
Electronic Manufacturing Services — 1.5%
Jabil, Inc. (1)		93,013		2,641,569
Internet Software & Services — 1.2%
Akamai Technologies, Inc. (1)(2)		28,693		1,998,754
Semiconductors — 1.0%
ON Semiconductor Corp. (1)(2)		83,651		1,796,823
Technology Distributors — 1.4%
CDW Corp. (1)		25,559		2,399,735
Total Information Technology				15,147,128
Materials — 4.4%
Commodity Chemicals — 1.0%
Cabot Corp.		35,918		1,683,836
Copper — 0.8%
Freeport-McMoRan, Inc. (1)		111,482		1,438,118
Metal & Glass Containers — 1.6%
Owens-Illinois, Inc. (1)		137,768		2,744,338

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

12

BMO Funds

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Paper Packaging — 1.0%
WestRock Co.		48,199	$	1,801,679
Total Materials				7,667,971
Real Estate — 12.3%
Hotel & Resort REIT’s — 1.8%
Host Hotels & Resorts, Inc. (1)		164,030		3,216,628
Office REIT’s — 2.9%
Highwoods Properties, Inc. (1)		56,364		2,610,217
Piedmont Office Realty Trust, Inc., Class A (1)		117,563		2,406,515
				5,016,732
Real Estate Services — 0.7%
Realogy Holdings Corp. (1)		90,529		1,231,194
Residential REIT’s — 3.2%
Essex Property Trust, Inc. (1)		10,494		2,936,641
UDR, Inc. (1)		57,440		2,551,485
				5,488,126
Retail REIT’s — 1.1%
Brixmor Property Group, Inc. (1)		108,700		1,897,902
Specialized REIT’s — 2.6%
Digital Realty Trust, Inc. (1)		17,003		1,923,379
Lamar Advertising Co., Class A (1)		32,414		2,514,354
				4,437,733
Total Real Estate				21,288,315
Utilities — 10.3%
Electric Utilities — 2.8%
Entergy Corp.		28,363		2,647,119
Xcel Energy, Inc. (1)		41,162		2,258,147
				4,905,266
Gas Utilities — 1.7%
UGI Corp. (1)		51,522		2,828,558
Independent Power Producers & Energy Traders — 2.0%
AES Corp.		204,173		3,517,901
Multi-Utilities — 3.8%
Ameren Corp. (1)		42,147		3,002,552
CenterPoint Energy, Inc. (1)		120,833		3,641,907
				6,644,459
Total Utilities				17,896,184
Total Common Stocks (identified cost $151,257,185)				169,651,690
Short-Term Investments — 50.0%
Collateral Pool Investments for Securities on Loan — 47.9%
Collateral pool allocation (3)				83,041,749
Mutual Funds — 2.1%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		3,724,390		3,724,762
Total Short-Term Investments (identified cost $86,766,201)				86,766,511
Total Investments — 147.8% (identified cost $238,023,386)				256,418,201
Other Assets and Liabilities — (47.8)%				(82,931,725	)
Total Net Assets — 100.0%			$	173,486,476

Mid-Cap Growth Fund

Description	Shares		Value
Common Stocks — 99.0%
Communication Services — 1.0%
Alternative Carriers — 1.0%
Zayo Group Holdings, Inc. (2)		43,566	$	1,080,437
Consumer Discretionary — 15.3%
Apparel Retail — 1.8%
Burlington Stores, Inc. (1)(2)		11,752		1,994,785
Apparel, Accessories & Luxury Goods — 2.5%
Columbia Sportswear Co.		12,539		1,290,890
VF Corp.		16,575		1,447,992
				2,738,882
Automotive Retail — 2.1%
O’Reilly Automotive, Inc. (2)		6,068		2,257,053
Internet & Direct Marketing Retail — 2.9%
Expedia Group, Inc. (1)		13,140		1,620,293
TripAdvisor, Inc. (1)(2)		30,133		1,602,172
				3,222,465
Leisure Products — 1.3%
Brunswick Corp. (1)		26,516		1,398,454
Restaurants — 1.3%
Darden Restaurants, Inc. (1)		12,880		1,443,977
Specialty Stores — 3.4%
Tractor Supply Co. (1)		20,916		1,994,341
Ulta Salon Cosmetics & Fragrance, Inc. (1)(2)		5,742		1,794,317
				3,788,658
Total Consumer Discretionary				16,844,274
Consumer Staples — 2.8%
Food Distributors — 1.4%
U.S. Foods Holding Corp. (2)		43,736		1,541,257
Food Retail — 1.4%
Sprouts Farmers Market, Inc. (1)(2)		64,572		1,505,819
Total Consumer Staples				3,047,076
Energy — 3.6%
Oil & Gas-Exploration & Production — 2.1%
Cabot Oil & Gas Corp.		48,745		1,200,102
Cimarex Energy Co. (1)		15,720		1,130,425
				2,330,527
Oil & Gas-Storage & Transportation — 1.5%
Cheniere Energy, Inc. (1)(2)		26,093		1,681,694
Total Energy				4,012,221
Financials — 8.8%
Financial Exchanges & Data — 1.2%
Cboe Global Markets, Inc. (1)		13,422		1,287,304
Investment Banking & Brokerage — 3.1%
E*TRADE Financial Corp.		27,522		1,348,303
LPL Financial Holdings, Inc.		27,733		2,091,345
				3,439,648
Property & Casualty Insurance — 1.6%
Progressive Corp.		24,400		1,778,760
Regional Banks — 1.5%
Citizens Financial Group, Inc.		44,905		1,658,791
Reinsurance — 1.4%
Everest Re Group, Ltd. (1)		6,532		1,476,950
Total Financials				9,641,453

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

13

February 28, 2019 (Unaudited)

Schedules of Investments

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare — 14.3%
Biotechnology — 4.6%
Exelixis, Inc. (1)(2)		64,372	$	1,441,289
Incyte Corp. (2)		16,166		1,393,994
Ionis Pharmaceuticals, Inc. (1)(2)		19,045		1,352,005
Neurocrine Biosciences, Inc. (1)(2)		12,116		935,961
				5,123,249
Healthcare Equipment — 4.5%
ABIOMED, Inc. (1)(2)		3,566		1,192,827
DexCom, Inc. (1)(2)		11,923		1,661,232
Masimo Corp. (2)		15,748		2,067,397
				4,921,456
Healthcare Technology — 1.6%
Veeva Systems, Inc., Class A (2)		14,953		1,763,108
Life Sciences Tools & Services — 2.6%
Bio-Rad Laboratories, Inc., Class A (1)(2)		5,475		1,483,178
Waters Corp. (1)(2)		5,587		1,353,283
				2,836,461
Pharmaceuticals — 1.0%
Jazz Pharmaceuticals PLC (2)		7,877		1,103,016
Total Healthcare				15,747,290
Industrials — 15.2%
Aerospace & Defense — 1.2%
Huntington Ingalls Industries, Inc.		6,233		1,305,252
Air Freight & Logistics — 0.8%
XPO Logistics, Inc. (1)(2)		17,219		866,977
Building Products — 1.6%
Masco Corp.		48,179		1,809,603
Construction Machinery & Heavy Trucks — 2.8%
Allison Transmission Holdings, Inc.		32,749		1,627,625
Cummins, Inc.		9,216		1,420,094
				3,047,719
Industrial Machinery — 1.6%
ITT, Inc.		30,034		1,734,764
Railroads — 1.3%
Genesee & Wyoming, Inc., Class A (1)(2)		16,960		1,390,720
Trading Companies & Distributors — 2.9%
HD Supply Holdings, Inc. (2)		39,257		1,688,443
WW Grainger, Inc. (1)		5,041		1,536,346
				3,224,789
Trucking — 3.0%
Landstar System, Inc. (1)		16,556		1,799,306
Schneider National, Inc., Class B (1)		70,995		1,554,081
				3,353,387
Total Industrials				16,733,211
Information Technology — 33.5%
Application Software — 6.0%
Guidewire Software, Inc. (1)(2)		12,935		1,186,657
PTC, Inc. (1)(2)		13,895		1,289,734
Splunk, Inc. (1)(2)		15,223		2,068,501
Workday, Inc., Class A (1)(2)		10,447		2,067,775
				6,612,667

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Communications Equipment — 3.5%
F5 Networks, Inc. (1)(2)		10,106	$	1,699,223
Palo Alto Networks, Inc. (1)(2)		8,874		2,185,400
				3,884,623
Consulting & Other Services — 2.9%
DXC Technology Co.		16,960		1,116,986
EPAM Systems, Inc. (1)(2)		12,653		2,047,002
				3,163,988
Data Processing & Outsourced Services — 4.6%
Euronet Worldwide, Inc. (1)(2)		15,400		2,068,528
Sabre Corp. (1)		58,325		1,308,230
WEX, Inc. (1)(2)		9,308		1,657,382
				5,034,140
Electronic Equipment & Instruments — 3.3%
FLIR Systems, Inc.		27,926		1,436,793
Keysight Technologies, Inc. (2)		25,949		2,190,355
				3,627,148
Internet Software & Services — 1.7%
GoDaddy, Inc., Class A (1)(2)		24,814		1,852,365
Semiconductor Equipment — 2.6%
MKS Instruments, Inc. (1)		18,341		1,519,919
Teradyne, Inc. (1)		33,633		1,373,235
				2,893,154
Semiconductors — 1.5%
ON Semiconductor Corp. (1)(2)		76,188		1,636,518
Systems Software — 6.2%
FireEye, Inc. (1)(2)		72,286		1,211,513
Fortinet, Inc. (1)(2)		23,484		2,038,176
Proofpoint, Inc. (2)		15,785		1,864,051
ServiceNow, Inc. (1)(2)		7,345		1,758,687
				6,872,427
Technology Hardware, Storage & Peripherals — 1.2%
Pure Storage, Inc., Class A (1)(2)		61,954		1,268,818
Total Information Technology				36,845,848
Materials — 1.8%
Copper — 0.9%
Freeport-McMoRan, Inc. (1)		79,748		1,028,749
Steel — 0.9%
Steel Dynamics, Inc.		24,768		924,342
Total Materials				1,953,091
Real Estate — 2.7%
Office REIT’s — 1.4%
Boston Properties, Inc. (1)		11,730		1,556,453
Residential REIT’s — 1.3%
Essex Property Trust, Inc. (1)		5,151		1,441,456
Total Real Estate				2,997,909
Total Common Stocks (identified cost $90,921,542)				108,902,810
Short-Term Investments — 49.0%
Collateral Pool Investments for Securities on Loan — 47.9%
Collateral pool allocation (3)				52,633,924

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

14

BMO Funds

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		1,237,725	$	1,237,849
Total Short-Term Investments (identified cost $53,871,773)				53,871,773
Total Investments — 148.0% (identified cost $144,793,315)				162,774,583
Other Assets and Liabilities — (48.0)%				(52,804,809	)
Total Net Assets — 100.0%			$	109,969,774

Small-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.0%
Communication Services — 3.4%
Alternative Carriers — 0.8%
Iridium Communications, Inc. (1)(2)		25,292	$	538,467
Broadcasting — 0.9%
Sinclair Broadcast Group, Inc., Class A (1)		16,006		577,817
Cable & Satellite — 0.8%
MSG Networks, Inc., Class A (1)(2)		21,034		507,761
Movies & Entertainment — 0.9%
AMC Entertainment Holdings, Inc., Class A (1)		39,615		555,798
Total Communication Services				2,179,843
Consumer Discretionary — 9.2%
Apparel Retail — 2.3%
American Eagle Outfitters, Inc. (1)		24,708		504,044
DSW, Inc., Class A (1)		22,223		658,023
Genesco, Inc. (1)(2)		5,919		285,710
				1,447,777
Apparel, Accessories & Luxury Goods — 0.3%
Vera Bradley, Inc. (1)(2)		19,984		190,847
Auto Parts & Equipment — 2.6%
American Axle & Manufacturing Holdings, Inc. (1)(2)		36,222		583,174
Cooper-Standard Holdings, Inc. (1)(2)		7,737		465,071
Dana, Inc.		6,726		132,839
Stoneridge, Inc. (2)		15,213		449,848
				1,630,932
Education Services — 0.4%
American Public Education, Inc. (1)(2)		7,839		253,278
Footwear — 0.8%
Deckers Outdoor Corp. (1)(2)		3,580		529,661
General Merchandise Stores — 0.2%
Big Lots, Inc. (1)		4,328		136,462
Homebuilding — 0.9%
KB Home (1)		23,262		530,606
Homefurnishing Retail — 0.3%
Bed Bath & Beyond, Inc. (1)		11,342		189,752
Leisure Products — 0.4%
Johnson Outdoors, Inc., Class A		3,650		239,586

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Restaurants — 0.4%
Red Robin Gourmet Burgers, Inc. (1)(2)		8,844	$	268,946
Specialty Stores — 0.6%
Hibbett Sports, Inc. (1)(2)		21,017		389,655
Total Consumer Discretionary				5,807,502
Consumer Staples — 1.9%
Agricultural Products — 0.7%
Darling Ingredients, Inc. (1)(2)		21,536		473,361
Food Distributors — 0.3%
SpartanNash Co.		9,797		185,947
Food Retail — 0.5%
Smart & Final Stores, Inc. (1)(2)		46,755		289,881
Household Products — 0.4%
Central Garden & Pet Co., Class A (2)		8,380		233,383
Total Consumer Staples				1,182,572
Energy — 4.5%
Oil & Gas-Equipment & Services — 2.1%
Exterran Corp. (2)		10,887		185,841
FTS International, Inc. (1)(2)		30,995		318,938
Matrix Service Co. (1)(2)		20,849		435,536
Newpark Resources, Inc. (1)(2)		44,869		396,642
				1,336,957
Oil & Gas-Exploration & Production — 1.8%
Gulfport Energy Corp. (1)(2)		31,514		241,397
SM Energy Co. (1)		18,107		295,869
Southwestern Energy Co. (1)(2)		69,419		293,642
W&T Offshore, Inc. (1)(2)		64,755		337,374
				1,168,282
Oil & Gas-Refining & Marketing — 0.6%
Delek US Holdings, Inc. (1)		10,587		374,568
Total Energy				2,879,807
Financials — 25.6%
Asset Management & Custody Banks — 0.8%
Waddell & Reed Financial, Inc., Class A (1)		25,428		470,672
Consumer Finance — 0.5%
Nelnet, Inc., Class A (1)		6,242		342,187
Life & Health Insurance — 1.0%
American Equity Investment Life Holding Co. (1)		19,476		616,415
Multi-Line Insurance — 0.8%
National General Holdings Corp. (1)		19,991		515,968
Property & Casualty Insurance — 3.3%
Argo Group International Holdings, Ltd. (1)		10,220		710,392
Employers Holdings, Inc. (1)		13,512		562,910
Safety Insurance Group, Inc. (1)		4,303		384,430
Selective Insurance Group, Inc. (1)		6,674		440,217
				2,097,949
Regional Banks — 15.2%
1st Source Corp. (1)		5,842		277,787
BancFirst Corp.		3,989		224,900
Banner Corp. (1)		4,087		253,925
Boston Private Financial Holdings, Inc.		25,725		305,870
Cathay General Bancorp (1)		17,598		683,506
Central Pacific Financial Corp.		16,679		486,693
Community Trust Bancorp, Inc.		4,630		198,072

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

15

February 28, 2019 (Unaudited)

Schedules of Investments

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks (continued)
Eagle Bancorp, Inc. (1)(2)		10,323	$	611,018
Enterprise Financial Services Corp. (1)		9,314		420,807
Financial Institutions, Inc.		5,786		174,390
First Bancorp/Southern Pines NC (1)		6,801		266,531
Great Southern Bancorp, Inc.		2,450		138,744
Great Western Bancorp, Inc. (1)		17,542		658,702
Hancock Whitney Corp. (1)		18,221		795,893
Hanmi Financial Corp.		18,986		438,197
Hilltop Holdings, Inc.		16,827		323,415
IBERIABANK Corp. (1)		10,142		793,409
International Bancshares Corp. (1)		17,477		713,411
Investors Bancorp, Inc.		64,453		810,174
Peapack Gladstone Financial Corp. (1)		6,255		181,895
Peoples Bancorp, Inc.		4,465		148,863
Texas Capital Bancshares, Inc. (2)		4,521		275,917
Wintrust Financial Corp.		6,261		461,248
				9,643,367
Thrifts & Mortgage Finance — 4.0%
Essent Group, Ltd. (2)		7,749		334,292
First Defiance Financial Corp.		6,177		191,116
NMI Holdings, Inc., Class A (1)(2)		22,704		548,302
TrustCo Bank Corp. (1)		34,180		289,505
Walker & Dunlop, Inc. (1)		12,033		671,441
WSFS Financial Corp. (1)		11,500		497,720
				2,532,376
Total Financials				16,218,934
Healthcare — 7.3%
Biotechnology — 1.1%
Emergent BioSolutions, Inc. (1)(2)		5,995		349,808
Myriad Genetics, Inc. (1)(2)		11,425		354,518
				704,326
Healthcare Equipment — 2.6%
CONMED Corp. (1)		5,420		416,798
Integer Holdings Corp. (1)(2)		5,839		531,115
Natus Medical, Inc. (1)(2)		8,498		234,800
Orthofix Medical, Inc. (2)		7,722		471,814
				1,654,527
Healthcare Supplies — 1.5%
Lantheus Holdings, Inc. (2)		17,480		399,418
Meridian Bioscience, Inc.		15,711		268,187
Merit Medical Systems, Inc. (1)(2)		5,068		282,439
				950,044
Healthcare Technology — 0.9%
Allscripts Healthcare Solutions, Inc. (1)(2)		17,484		187,429
HMS Holdings Corp. (1)(2)		11,450		394,567
				581,996
Life Sciences Tools & Services — 0.3%
Luminex Corp.		8,366		213,166
Pharmaceuticals — 0.9%
Assertio Therapeutics, Inc. (2)		37,035		153,325
Phibro Animal Health Corp., Class A		12,985		380,460
				533,785
Total Healthcare				4,637,844

Description	Shares		Value
Common Stocks (continued)
Industrials — 13.5%
Airlines — 0.7%
Hawaiian Holdings, Inc. (1)		14,573	$	433,547
Building Products — 1.6%
Apogee Enterprises, Inc. (1)		7,688		274,385
Masonite International Corp. (1)(2)		7,987		442,879
Quanex Building Products Corp. (1)		18,059		310,434
				1,027,698
Diversified Support Services — 1.0%
UniFirst Corp. (1)		4,221		607,064
Environmental & Facilities Services — 0.8%
Advanced Disposal Services, Inc. (1)(2)		19,371		513,719
Industrial Machinery — 1.8%
Columbus McKinnon Corp. (1)		6,900		258,405
Global Brass & Copper Holdings, Inc.		6,803		229,601
Milacron Holdings Corp. (1)(2)		20,882		292,139
SPX FLOW, Inc. (1)(2)		10,686		368,881
				1,149,026
Marine — 0.6%
Matson, Inc. (1)		10,247		370,019
Office Services & Supplies — 2.5%
ACCO Brands Corp.		37,304		346,927
Herman Miller, Inc.		11,635		426,772
Kimball International, Inc., Class B (1)		12,002		188,312
Steelcase, Inc., Class A (1)		35,381		619,521
				1,581,532
Research & Consulting Services — 0.6%
CBIZ, Inc. (1)(2)		18,749		386,792
Trading Companies & Distributors — 2.1%
Aircastle, Ltd. (1)		15,593		309,677
GATX Corp. (1)		4,089		325,075
Rush Enterprises, Inc., Class A		11,915		499,477
WESCO International, Inc. (1)(2)		3,125		170,156
				1,304,385
Trucking — 1.8%
ArcBest Corp. (1)		10,185		354,744
Covenant Transportation Group, Inc., Class A (2)		10,679		243,588
Ryder System, Inc. (1)		9,008		559,937
				1,158,269
Total Industrials				8,532,051
Information Technology — 10.9%
Communications Equipment — 1.3%
Ciena Corp. (2)		18,715		798,382
Data Processing & Outsourced Services — 0.8%
Sykes Enterprises, Inc. (2)		18,239		539,692
Electronic Components — 1.7%
Belden, Inc. (1)		7,415		458,173
Vishay Intertechnology, Inc. (1)		27,673		606,592
				1,064,765
Electronic Manufacturing Services — 1.9%
CTS Corp.		8,430		270,771
Fabrinet (1)(2)		10,608		620,568
Sanmina Corp. (1)(2)		8,867		283,212
				1,174,551
Semiconductor Equipment — 1.3%
Amkor Technology, Inc. (2)		54,473		478,273
Rudolph Technologies, Inc. (2)		15,971		360,625
				838,898

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

16

BMO Funds

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Semiconductors — 1.1%
Diodes, Inc. (1)(2)		16,709	$	673,874
Technology Distributors — 2.8%
Insight Enterprises, Inc. (1)(2)		11,637		649,577
PC Connection, Inc. (1)		7,695		309,647
ScanSource, Inc. (2)		6,268		235,364
Tech Data Corp. (1)(2)		5,906		603,711
				1,798,299
Total Information Technology				6,888,461
Materials — 5.8%
Commodity Chemicals — 0.8%
Trinseo SA (1)		10,627		533,369
Forest Products — 1.9%
Boise Cascade Co. (1)		18,431		514,041
Louisiana-Pacific Corp. (1)		27,667		699,145
				1,213,186
Metal & Glass Containers — 0.8%
Owens-Illinois, Inc. (1)		26,279		523,478
Paper Products — 0.5%
Domtar Corp.		5,596		284,892
Specialty Chemicals — 1.8%
Kraton Corp. (1)(2)		15,268		543,235
Stepan Co. (1)		6,366		599,041
				1,142,276
Total Materials				3,697,201
Real Estate — 10.0%
Diversified REIT’s — 2.0%
American Assets Trust, Inc. (1)		15,806		686,613
PS Business Parks, Inc. (1)		3,983		586,178
				1,272,791
Healthcare REIT’s — 1.1%
CareTrust REIT, Inc.		29,491		658,829
Hotel & Resort REIT’s — 1.6%
Braemar Hotels & Resorts, Inc. (1)		16,707		217,525
Hersha Hospitality Trust (1)		11,002		207,388
Xenia Hotels & Resorts, Inc.		31,051		606,426
				1,031,339
Industrial REIT’s — 1.1%
STAG Industrial, Inc.		24,661		682,616
Office REIT’s — 1.2%
Piedmont Office Realty Trust, Inc., Class A (1)		36,556		748,301
Real Estate Services — 0.5%
Realogy Holdings Corp. (1)		24,653		335,281
Residential REIT’s — 0.7%
Preferred Apartment Communities, Inc., Class A (1)		30,048		457,932
Retail REIT’s — 1.1%
Getty Realty Corp.		13,241		436,291
Saul Centers, Inc. (1)		4,242		240,394
				676,685
Specialized REIT’s — 0.7%
National Storage Affiliates Trust (1)		15,471		438,139
Total Real Estate				6,301,913

Description	Shares		Value
Common Stocks (continued)
Utilities — 5.9%
Electric Utilities — 4.6%
El Paso Electric Co.		10,876	$	585,129
IDACORP, Inc. (1)		6,775		666,727
PNM Resources, Inc. (1)		17,941		783,663
Portland General Electric Co. (1)		17,150		859,901
				2,895,420
Multi-Utilities — 1.3%
Black Hills Corp. (1)		11,752		834,157
Total Utilities				3,729,577
Total Common Stocks (identified cost $56,793,341)				62,055,705
Short-Term Investments — 49.5%
Collateral Pool Investments for Securities on Loan — 47.2%
Collateral pool allocation (3)				29,841,545
Mutual Funds — 2.3%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		1,478,708		1,478,856
Total Short-Term Investments (identified cost $31,320,401)				31,320,401
Total Investments — 147.5% (identified cost $88,113,742)				93,376,106
Other Assets and Liabilities — (47.5)%				(30,075,183	)
Total Net Assets — 100.0%			$	63,300,923

Small-Cap Core Fund

Description	Shares		Value
Common Stocks — 98.6%
Communication Services — 2.4%
Alternative Carriers — 0.9%
Cogent Communications Holdings, Inc. (1)		3,761	$	183,198
Movies & Entertainment — 1.5%
AMC Entertainment Holdings, Inc., Class A (1)		7,962		111,707
IMAX Corp. (1)(2)		9,128		209,123
				320,830
Total Communication Services				504,028
Consumer Discretionary — 12.7%
Apparel Retail — 3.2%
American Eagle Outfitters, Inc. (1)		6,860		139,944
Boot Barn Holdings, Inc. (1)(2)		5,409		154,156
DSW, Inc., Class A (1)		6,231		184,500
Genesco, Inc. (1)(2)		2,102		101,464
Zumiez, Inc. (1)(2)		3,247		80,201
				660,265
Apparel, Accessories & Luxury Goods — 0.8%
Movado Group, Inc.		3,250		113,848
Vera Bradley, Inc. (1)(2)		6,762		64,577
				178,425
Auto Parts & Equipment — 2.6%
American Axle & Manufacturing Holdings, Inc. (1)(2)		9,455		152,225
Cooper-Standard Holdings, Inc. (1)(2)		1,536		92,329

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

17

February 28, 2019 (Unaudited)

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Auto Parts & Equipment (continued)
Dana, Inc.		4,779	$	94,385
Stoneridge, Inc. (2)		6,598		195,103
				534,042
Consumer Electronics — 0.5%
ZAGG, Inc. (1)(2)		8,201		95,132
Education Services — 0.9%
K12, Inc. (2)		6,161		197,398
Footwear — 1.2%
Deckers Outdoor Corp. (1)(2)		1,721		254,622
Homebuilding — 1.0%
KB Home (1)		9,035		206,088
Homefurnishing Retail — 0.6%
RH (1)(2)		789		121,182
Leisure Products — 0.9%
Johnson Outdoors, Inc., Class A		1,189		78,046
MasterCraft Boat Holdings, Inc. (2)		4,579		112,964
				191,010
Restaurants — 0.7%
BJ’s Restaurants, Inc. (1)		2,952		141,224
Specialty Stores — 0.3%
Container Store Group, Inc. (2)		9,648		65,896
Total Consumer Discretionary				2,645,284
Consumer Staples — 2.6%
Food Distributors — 1.2%
Performance Food Group Co. (2)		6,499		250,406
Food Retail — 0.6%
Natural Grocers by Vitamin Cottage, Inc. (1)(2)		4,789		68,004
Smart & Final Stores, Inc. (2)		7,944		49,253
				117,257
Hypermarkets & Super Centers — 0.8%
BJ’s Wholesale Club Holdings, Inc. (1)(2)		6,888		174,404
Total Consumer Staples				542,067
Energy — 3.1%
Oil & Gas-Equipment & Services — 1.6%
Matrix Service Co. (1)(2)		7,022		146,690
ProPetro Holding Corp. (1)(2)		9,865		195,919
				342,609
Oil & Gas-Exploration & Production — 1.1%
Gulfport Energy Corp. (1)(2)		10,286		78,791
SM Energy Co. (1)		2,648		43,268
W&T Offshore, Inc. (1)(2)		21,137		110,124
				232,183
Oil & Gas-Storage & Transportation — 0.4%
GasLog, Ltd.		4,977		80,229
Total Energy				655,021
Financials — 14.9%
Asset Management & Custody Banks — 0.6%
Waddell & Reed Financial, Inc., Class A (1)		6,777		125,442

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Consumer Finance — 0.3%
Nelnet, Inc., Class A		1,281	$	70,224
Investment Banking & Brokerage — 0.8%
Evercore, Inc., Class A		1,866		171,858
Life & Health Insurance — 2.0%
American Equity Investment Life Holding Co.		5,127		162,270
Primerica, Inc. (1)		2,054		256,832
				419,102
Property & Casualty Insurance — 0.8%
Employers Holdings, Inc.		3,983		165,932
Regional Banks — 7.4%
1st Source Corp. (1)		1,976		93,959
Bancorp, Inc. (2)		7,918		71,816
Banner Corp. (1)		2,163		134,387
Cathay General Bancorp (1)		5,196		201,813
Central Pacific Financial Corp.		5,373		156,784
Community Trust Bancorp, Inc.		1,063		45,475
Eagle Bancorp, Inc. (1)(2)		3,084		182,542
Enterprise Financial Services Corp. (1)		2,081		94,020
First Financial Corp. (1)		1,234		54,765
Great Western Bancorp, Inc.		5,641		211,819
Hanmi Financial Corp.		5,526		127,540
Investors Bancorp, Inc.		7,352		92,415
Peapack Gladstone Financial Corp. (1)		2,311		67,204
				1,534,539
Thrifts & Mortgage Finance — 3.0%
Essent Group, Ltd. (2)		2,511		108,325
NMI Holdings, Inc., Class A (1)(2)		7,983		192,789
TrustCo Bank Corp. (1)		11,824		100,149
Walker & Dunlop, Inc. (1)		3,777		210,757
				612,020
Total Financials				3,099,117
Healthcare — 18.2%
Biotechnology — 3.8%
BioSpecifics Technologies Corp. (1)(2)		1,389		96,466
ChemoCentryx, Inc. (2)		8,571		92,138
Emergent BioSolutions, Inc. (1)(2)		2,301		134,264
Genomic Health, Inc. (2)		1,536		116,690
Myriad Genetics, Inc. (1)(2)		4,167		129,302
REGENXBIO, Inc. (1)(2)		1,021		52,816
Vanda Pharmaceuticals, Inc. (1)(2)		4,967		100,532
Veracyte, Inc. (1)(2)		3,267		66,026
				788,234
Healthcare Equipment — 4.8%
AxoGen, Inc. (1)(2)		2,515		46,427
Cardiovascular Systems, Inc. (1)(2)		3,025		106,994
CONMED Corp. (1)		1,571		120,810
Glaukos Corp. (1)(2)		1,378		102,206
Globus Medical, Inc., Class A (1)(2)		2,633		128,201
Integer Holdings Corp. (1)(2)		2,091		190,197
Novocure, Ltd. (1)(2)		4,313		231,651
NuVasive, Inc. (1)(2)		1,372		80,811
				1,007,297
Healthcare Supplies — 2.4%
BioLife Solutions, Inc. (2)		3,902		74,372
Cerus Corp. (1)(2)		14,991		97,591
Lantheus Holdings, Inc. (2)		8,379		191,460
OraSure Technologies, Inc. (2)		7,338		78,884
STAAR Surgical Co. (1)(2)		1,804		66,387
				508,694

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

18

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Technology — 2.6%
Allscripts Healthcare Solutions, Inc. (1)(2)		7,063	$	75,715
Evolent Health, Inc., Class A (1)(2)		5,414		71,411
HealthStream, Inc. (1)		4,431		123,182
HMS Holdings Corp. (1)(2)		2,732		94,145
Simulations Plus, Inc.		3,220		66,042
Vocera Communications, Inc. (1)(2)		3,021		100,116
				530,611
Life Sciences Tools & Services — 2.2%
Luminex Corp.		6,000		152,880
Medpace Holdings, Inc. (1)(2)		2,945		161,828
NeoGenomics, Inc. (1)(2)		7,199		141,100
				455,808
Pharmaceuticals — 2.4%
ANI Pharmaceuticals, Inc. (1)(2)		1,520		100,001
Pacira Pharmaceuticals, Inc. (1)(2)		3,055		125,805
Phibro Animal Health Corp., Class A (1)		3,710		108,703
Supernus Pharmaceuticals, Inc. (1)(2)		3,900		159,276
				493,785
Total Healthcare				3,784,429
Industrials — 15.1%
Air Freight & Logistics — 0.7%
Hub Group, Inc., Class A (2)		3,514		151,032
Airlines — 1.5%
Hawaiian Holdings, Inc. (1)		4,948		147,203
Spirit Airlines, Inc. (1)(2)		2,832		159,300
				306,503
Building Products — 1.3%
Armstrong Flooring, Inc. (2)		4,388		62,924
Continental Building Products, Inc. (1)(2)		3,418		98,541
Masonite International Corp. (2)		2,014		111,676
				273,141
Construction & Engineering — 0.7%
Comfort Systems USA, Inc.		2,779		149,010
Construction Machinery & Heavy Trucks — 0.6%
Greenbrier Cos., Inc. (1)		3,074		126,802
Electrical Components & Equipment — 1.0%
Atkore International Group, Inc. (2)		9,029		208,570
Environmental & Facilities Services — 0.6%
Advanced Disposal Services, Inc. (2)		4,437		117,669
Human Resource & Employment Services — 0.8%
TrueBlue, Inc. (2)		6,827		157,158
Industrial Machinery — 2.1%
Milacron Holdings Corp. (2)		10,097		141,257
SPX FLOW, Inc. (1)(2)		2,939		101,454
Watts Water Technologies, Inc., Class A		2,541		204,652
				447,363
Office Services & Supplies — 2.2%
ACCO Brands Corp.		17,067		158,723
Herman Miller, Inc. (1)		5,984		219,493
Steelcase, Inc., Class A		4,003		70,093
				448,309

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Research & Consulting Services — 0.3%
ICF International, Inc.		932	$	70,385
Trading Companies & Distributors — 2.2%
H&E Equipment Services, Inc. (1)		4,655		134,018
Rush Enterprises, Inc., Class A		4,663		195,473
WESCO International, Inc. (1)(2)		2,412		131,333
				460,824
Trucking — 1.1%
ArcBest Corp. (1)		3,712		129,289
Covenant Transportation Group, Inc., Class A (2)		4,077		92,996
				222,285
Total Industrials				3,139,051
Information Technology — 18.8%
Application Software — 1.6%
Bottomline Technologies DE, Inc. (2)		1,489		74,271
Verint Systems, Inc. (1)(2)		3,610		192,233
Zix Corp. (2)		7,716		69,675
				336,179
Communications Equipment — 1.8%
Ciena Corp. (2)		5,190		221,405
Lumentum Holdings, Inc. (2)		3,022		150,345
				371,750
Consulting & Other Services — 1.1%
Hackett Group, Inc.		4,011		65,219
Virtusa Corp. (1)(2)		3,430		173,112
				238,331
Data Processing & Outsourced Services — 1.2%
MAXIMUS, Inc.		1,489		105,243
Sykes Enterprises, Inc. (2)		5,214		154,282
				259,525
Electronic Components — 0.7%
Vishay Intertechnology, Inc. (1)		6,383		139,915
Electronic Equipment & Instruments — 1.5%
FARO Technologies, Inc. (1)(2)		2,444		111,960
Itron, Inc. (1)(2)		2,502		132,631
Vishay Precision Group, Inc. (2)		1,972		68,744
				313,335
Electronic Manufacturing Services — 1.5%
Fabrinet (1)(2)		3,130		183,105
Methode Electronics, Inc. (1)		4,265		119,676
				302,781
Internet Software & Services — 2.5%
Care.com, Inc. (2)		5,060		127,461
Cornerstone OnDemand, Inc. (1)(2)		1,428		80,682
Meet Group, Inc. (1)(2)		13,227		79,362
SPS Commerce, Inc. (1)(2)		2,128		227,228
				514,733
Semiconductor Equipment — 2.4%
Entegris, Inc. (1)		4,230		149,446
Nanometrics, Inc. (2)		3,586		102,058
Photronics, Inc. (1)(2)		10,654		104,516
Rudolph Technologies, Inc. (2)		6,025		136,044
				492,064
Semiconductors — 1.5%
Diodes, Inc. (2)		2,645		106,673
Semtech Corp. (1)(2)		3,905		214,931
				321,604

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

19

February 28, 2019 (Unaudited)

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Systems Software — 0.6%
CommVault Systems, Inc. (2)		1,913	$	128,917
Technology Distributors — 1.9%
Insight Enterprises, Inc. (1)(2)		3,514		196,151
Tech Data Corp. (1)(2)		1,900		194,218
				390,369
Technology Hardware, Storage & Peripherals — 0.5%
Stratasys, Ltd. (1)(2)		3,522		100,236
Total Information Technology				3,909,739
Materials — 2.7%
Commodity Chemicals — 0.7%
Trinseo SA		2,983		149,717
Forest Products — 1.1%
Boise Cascade Co.		3,718		103,695
Louisiana-Pacific Corp.		4,850		122,560
				226,255
Specialty Chemicals — 0.9%
Kraton Corp. (1)(2)		4,043		143,850
OMNOVA Solutions, Inc. (2)		5,577		45,452
				189,302
Total Materials				565,274
Real Estate — 5.0%
Diversified REIT’s — 1.3%
American Assets Trust, Inc.		4,602		199,911
PS Business Parks, Inc. (1)		514		75,645
				275,556
Hotel & Resort REIT’s — 2.5%
Braemar Hotels & Resorts, Inc. (1)		4,929		64,176
Chesapeake Lodging Trust (1)		3,221		97,016
Hersha Hospitality Trust		9,447		178,076
Xenia Hotels & Resorts, Inc.		9,352		182,645
				521,913
Real Estate Services — 0.5%
Realogy Holdings Corp. (1)		7,744		105,318
Retail REIT’s — 0.7%
Tanger Factory Outlet Centers, Inc. (1)		6,399		138,155
Total Real Estate				1,040,942
Utilities — 3.1%
Electric Utilities — 2.4%
El Paso Electric Co.		1,140		61,332
PNM Resources, Inc. (1)		4,775		208,572
Portland General Electric Co. (1)		4,423		221,769
				491,673
Multi-Utilities — 0.7%
Black Hills Corp. (1)		2,136		151,614
Total Utilities				643,287
Total Common Stocks (identified cost $18,209,599)				20,528,239
Short-Term Investments — 49.8%
Collateral Pool Investments for Securities on Loan — 48.5%
Collateral pool allocation (3)				10,100,431

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		268,125	$	268,152
Total Short-Term Investments (identified cost $10,368,547)				10,368,583
Total Investments — 148.4% (identified cost $28,578,146)				30,896,822
Other Assets and Liabilities — (48.4)%				(10,072,111	)
Total Net Assets — 100.0%			$	20,824,711

Small-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.4%
Communication Services — 1.9%
Alternative Carriers — 0.9%
Cogent Communications Holdings, Inc. (1)		23,313	$	1,135,576
Movies & Entertainment — 1.0%
IMAX Corp. (1)(2)		56,312		1,290,108
Total Communication Services				2,425,684
Consumer Discretionary — 12.2%
Apparel Retail — 1.2%
Boot Barn Holdings, Inc. (1)(2)		51,754		1,474,989
Apparel, Accessories & Luxury Goods — 1.8%
G-III Apparel Group, Ltd. (1)(2)		30,218		1,076,063
Oxford Industries, Inc. (1)		14,252		1,126,335
				2,202,398
Auto Parts & Equipment — 1.3%
Dana, Inc.		24,900		491,775
Gentherm, Inc. (1)(2)		28,066		1,150,706
				1,642,481
Casinos & Gaming — 1.1%
Boyd Gaming Corp. (1)		46,186		1,374,495
Homebuilding — 0.5%
Cavco Industries, Inc. (1)(2)		4,511		624,458
Homefurnishing Retail — 1.0%
Sleep Number Corp. (1)(2)		29,433		1,284,750
Internet & Direct Marketing Retail — 1.9%
Duluth Holdings, Inc., Class B (1)(2)		43,312		1,100,125
Shutterstock, Inc. (1)		26,927		1,247,528
				2,347,653
Leisure Products — 0.7%
Callaway Golf Co. (1)		54,703		941,439
Restaurants — 1.5%
Bloomin’ Brands, Inc.		56,591		1,170,302
Chuy’s Holdings, Inc. (1)(2)		33,224		743,221
				1,913,523
Specialty Stores — 1.2%
Five Below, Inc. (1)(2)		12,132		1,460,086
Total Consumer Discretionary				15,266,272
Consumer Staples — 2.9%
Food Distributors — 1.2%
Performance Food Group Co. (2)		39,598		1,525,711

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

20

BMO Funds

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples (continued)
Household Products — 0.7%
Central Garden & Pet Co., Class A (2)		29,693	$	826,950
Hypermarkets & Super Centers — 1.0%
BJ’s Wholesale Club Holdings, Inc. (1)(2)		49,008		1,240,883
Total Consumer Staples				3,593,544
Energy — 3.2%
Oil & Gas-Equipment & Services — 2.2%
Keane Group, Inc. (2)		73,247		807,182
ProPetro Holding Corp. (1)(2)		54,011		1,072,659
SEACOR Holdings, Inc. (2)		20,750		926,695
				2,806,536
Oil & Gas-Exploration & Production — 0.3%
Carrizo Oil & Gas, Inc. (2)		33,995		373,265
Oil & Gas-Storage & Transportation — 0.7%
GasLog, Ltd. (1)		51,667		832,872
Total Energy				4,012,673
Financials — 5.9%
Investment Banking & Brokerage — 0.9%
Houlihan Lokey, Inc. (1)		23,496		1,080,346
Life & Health Insurance — 0.9%
Primerica, Inc. (1)		9,164		1,145,867
Property & Casualty Insurance — 1.6%
AMERISAFE, Inc.		16,300		1,028,693
Employers Holdings, Inc.		21,210		883,609
				1,912,302
Regional Banks — 2.5%
Great Western Bancorp, Inc.		29,311		1,100,628
LegacyTexas Financial Group, Inc. (1)		28,522		1,190,223
Trustmark Corp. (1)		24,442		867,202
				3,158,053
Total Financials				7,296,568
Healthcare — 26.1%
Biotechnology — 8.6%
ACADIA Pharmaceuticals, Inc. (1)(2)		39,839		1,055,733
Amicus Therapeutics, Inc. (2)		40,972		495,761
Blueprint Medicines Corp. (1)(2)		12,368		1,016,526
CareDx, Inc. (1)(2)		30,488		948,787
ChemoCentryx, Inc. (2)		72,223		776,397
Emergent BioSolutions, Inc. (1)(2)		17,638		1,029,177
Genomic Health, Inc. (1)(2)		15,493		1,177,003
PTC Therapeutics, Inc. (1)(2)		26,980		931,889
Radius Health, Inc. (1)(2)		45,206		857,106
REGENXBIO, Inc. (1)(2)		16,273		841,802
Retrophin, Inc. (1)(2)		39,678		895,136
Vanda Pharmaceuticals, Inc. (1)(2)		36,244		733,579
				10,758,896
Healthcare Equipment — 6.4%
AtriCure, Inc. (1)(2)		34,110		1,089,473
Cardiovascular Systems, Inc. (1)(2)		32,945		1,165,265
CONMED Corp.		17,187		1,321,680
Glaukos Corp. (1)(2)		17,115		1,269,420
Inogen, Inc. (1)(2)		2,138		229,750
Integer Holdings Corp. (2)		16,599		1,509,845
Masimo Corp. (2)		10,748		1,410,997
				7,996,430

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Services — 1.1%
Amedisys, Inc. (2)		10,675	$	1,326,903
Healthcare Supplies — 2.6%
Lantheus Holdings, Inc. (2)		59,880		1,368,258
OraSure Technologies, Inc. (1)(2)		54,944		590,648
Quidel Corp. (1)(2)		20,071		1,315,855
				3,274,761
Healthcare Technology — 2.8%
Evolent Health, Inc., Class A (1)(2)		71,339		940,961
Teladoc Health, Inc. (1)(2)		20,621		1,327,168
Vocera Communications, Inc. (1)(2)		35,380		1,172,493
				3,440,622
Life Sciences Tools & Services — 1.6%
Codexis, Inc. (1)(2)		42,858		926,590
Medpace Holdings, Inc. (1)(2)		19,394		1,065,700
				1,992,290
Pharmaceuticals — 3.0%
Assertio Therapeutics, Inc. (1)(2)		116,197		481,055
Intersect ENT, Inc. (1)(2)		40,835		1,387,982
Pacira Pharmaceuticals, Inc. (1)(2)		24,315		1,001,292
Supernus Pharmaceuticals, Inc. (1)(2)		22,672		925,924
				3,796,253
Total Healthcare				32,586,155
Industrials — 16.1%
Air Freight & Logistics — 1.7%
Echo Global Logistics, Inc. (1)(2)		40,957		983,787
Hub Group, Inc., Class A (2)		25,679		1,103,684
				2,087,471
Building Products — 1.1%
Builders FirstSource, Inc. (2)		65,823		916,914
PGT Innovations, Inc. (1)(2)		27,760		418,621
				1,335,535
Commercial Printing — 0.5%
Cimpress NV (1)(2)		8,318		686,235
Construction & Engineering — 1.0%
Comfort Systems USA, Inc.		23,812		1,276,800
Electrical Components & Equipment — 1.0%
Atkore International Group, Inc. (2)		49,921		1,153,175
Generac Holdings, Inc. (2)		673		34,700
				1,187,875
Environmental & Facilities Services — 1.0%
Covanta Holding Corp. (1)		72,653		1,233,648
Human Resource & Employment Services — 2.4%
Insperity, Inc. (1)		13,292		1,678,381
Korn/Ferry International		27,409		1,337,285
				3,015,666
Industrial Machinery — 6.5%
Chart Industries, Inc. (1)(2)		14,598		1,288,711
Milacron Holdings Corp. (2)		73,083		1,022,431
Proto Labs, Inc. (1)(2)		9,845		1,112,387
Rexnord Corp. (1)(2)		39,861		1,063,093
SPX FLOW, Inc. (1)(2)		33,872		1,169,261
Tennant Co. (1)		16,718		1,056,578
Watts Water Technologies, Inc., Class A		16,730		1,347,434
				8,059,895

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

21

February 28, 2019 (Unaudited)

Schedules of Investments

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Office Services & Supplies — 0.9%
Herman Miller, Inc.		31,084	$	1,140,161
Total Industrials				20,023,286
Information Technology — 22.1%
Application Software — 3.8%
Bottomline Technologies DE, Inc. (2)		19,852		990,218
Box, Inc., Class A (2)		51,947		1,051,407
HubSpot, Inc. (1)(2)		7,244		1,219,745
Monotype Imaging Holdings, Inc.		44,431		870,848
Paylocity Holding Corp. (2)		6,360		556,945
				4,689,163
Communications Equipment — 3.7%
Ciena Corp. (2)		32,371		1,380,947
Lumentum Holdings, Inc. (2)		18,995		945,001
NetScout Systems, Inc. (1)(2)		39,883		1,091,598
Quantenna Communications, Inc. (1)(2)		66,802		1,212,456
				4,630,002
Consulting & Other Services — 1.0%
Virtusa Corp. (1)(2)		24,305		1,226,673
Electronic Equipment & Instruments — 0.0%
Control4 Corp. (1)(2)		1,804		32,490
Internet Software & Services — 5.4%
Carbonite, Inc. (1)(2)		35,416		824,130
Care.com, Inc. (2)		3,118		78,543
Cornerstone OnDemand, Inc. (1)(2)		22,248		1,257,012
j2 Global, Inc. (1)		13,929		1,184,104
SPS Commerce, Inc. (1)(2)		13,954		1,490,008
TrueCar, Inc. (1)(2)		114,093		826,034
Yelp, Inc. (1)(2)		27,062		1,008,330
				6,668,161
Semiconductor Equipment — 3.1%
FormFactor, Inc. (1)(2)		69,754		1,105,601
Nanometrics, Inc. (2)		34,366		978,056
Photronics, Inc. (1)(2)		94,759		929,586
Rudolph Technologies, Inc. (2)		37,940		856,685
				3,869,928
Semiconductors — 1.0%
MACOM Technology Solutions Holdings, Inc. (2)		6,755		128,953
Silicon Laboratories, Inc. (1)(2)		14,405		1,167,093
				1,296,046
Systems Software — 3.0%
CommVault Systems, Inc. (2)		18,833		1,269,156
Rapid7, Inc. (2)		29,484		1,357,148
Varonis Systems, Inc. (2)		20,257		1,153,839
				3,780,143
Technology Hardware, Storage & Peripherals — 1.1%
Stratasys, Ltd. (1)(2)		49,535		1,409,766
Total Information Technology				27,602,372
Materials — 4.1%
Commodity Chemicals — 0.6%
Trinseo SA		15,633		784,620
Forest Products — 1.7%
Boise Cascade Co.		32,181		897,528
Louisiana-Pacific Corp.		46,076		1,164,341
				2,061,869

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Specialty Chemicals — 1.8%
Innospec, Inc.		14,884	$	1,218,404
Kraton Corp. (1)(2)		29,804		1,060,426
				2,278,830
Total Materials				5,125,319
Real Estate — 3.9%
Diversified REIT’s — 1.1%
American Assets Trust, Inc.		31,084		1,350,289
Industrial REIT’s — 1.0%
EastGroup Properties, Inc. (1)		12,004		1,268,342
Real Estate Operating Companies — 1.0%
Kennedy-Wilson Holdings, Inc.		59,119		1,228,493
Retail REIT’s — 0.8%
Tanger Factory Outlet Centers, Inc. (1)		44,742		965,980
Total Real Estate				4,813,104
Total Common Stocks (identified cost $106,047,336)				122,744,977
Short-Term Investments — 46.8%
Collateral Pool Investments for Securities on Loan — 45.4%
Collateral pool allocation (3)				56,559,511
Mutual Funds — 1.4%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		1,731,713		1,731,886
Total Short-Term Investments (identified cost $58,291,397)				58,291,397
Total Investments — 145.2% (identified cost $164,338,733)				181,036,374
Other Assets and Liabilities — (45.2)%				(56,328,119	)
Total Net Assets — 100.0%			$	124,708,255

Global Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 98.2%
Australia — 0.5%
OceanaGold Corp.		56,475	$	181,963
Bermuda — 1.1%
Argo Group International Holdings, Ltd.		2,262		157,232
Enstar Group, Ltd. (2)		983		175,367
Giordano International, Ltd.		108,000		53,520
				386,119
Brazil — 0.9%
IRB Brasil Resseguros S/A		14,000		331,723
Canada — 10.3%
Allied Properties Real Estate Investment Trust		7,655		279,279
Atco, Ltd., Class I		9,956		335,082
BCE, Inc.		8,994		399,961
Canadian Imperial Bank of Commerce		1,327		112,567
Cogeco Communications, Inc.		3,582		223,993
Detour Gold Corp. (2)		10,490		106,180
Emera, Inc.		3,701		131,677
First Capital Realty, Inc.		4,921		80,100
George Weston, Ltd.		4,600		327,885

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

22

BMO Funds

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Canada (continued)
Granite Real Estate Investment Trust		5,693	$	266,707
Laurentian Bank of Canada (1)		5,639		173,633
Loblaw Cos., Ltd.		4,746		236,371
Maple Leaf Foods, Inc.		6,984		147,275
Quebecor, Inc., Class B		22,850		555,123
Rogers Communications, Inc., Class B		2,734		151,061
Transcontinental, Inc., Class A		8,086		116,440
				3,643,334
Cayman Islands — 0.7%
361 Degrees International, Ltd.		191,000		37,714
Fresh Del Monte Produce, Inc. (2)		1,541		42,655
WH Group, Ltd. (5)		195,000		173,146
				253,515
China — 1.1%
Agricultural Bank of China, Ltd., Class H		409,000		195,909
China Minsheng Banking Corp., Ltd., Class H (2)		163,600		126,299
China Telecom Corp., Ltd., Class H		114,000		61,722
				383,930
Czech Republic — 2.6%
CEZ AS		19,559		473,931
Komercni banka AS		5,525		231,952
Moneta Money Bank AS (5)		62,363		220,854
				926,737
Denmark — 0.6%
Pandora A/S		1,641		86,111
Scandinavian Tobacco Group A/S, Class A (5)		9,696		128,012
				214,123
France — 0.1%
Boiron SA		486		30,625
Germany — 0.2%
Talanx AG (2)		2,263		87,415
Guernsey — 0.3%
Amdocs, Ltd. (1)		1,594		88,579
Hong Kong — 9.2%
CLP Holdings, Ltd.		66,000		781,936
Dah Sing Financial Holdings, Ltd.		19,200		105,420
Dairy Farm International Holdings, Ltd.		11,100		99,234
Hang Seng Bank, Ltd.		19,800		490,602
HK Electric Investments & HK Electric Investments, Ltd.		534,500		556,987
Hysan Development Co., Ltd.		47,000		248,180
PCCW, Ltd.		537,000		322,894
SmarTone Telecommunications Holdings, Ltd.		105,500		120,018
Vitasoy International Holdings, Ltd.		46,000		198,656
VTech Holdings, Ltd.		14,200		148,788
Yuexiu Real Estate Investment Trust		273,000		184,672
				3,257,387
Hungary — 0.3%
Magyar Telekom Telecommunications PLC		67,640		113,913
Israel — 1.5%
Bank Hapoalim BM		14,685		101,090
Bank Leumi Le-Israel BM		45,416		300,359
Strauss Group, Ltd.		4,968		125,708
				527,157

Description	Shares		Value
Common Stocks (continued)
Japan — 9.4%
AOKI Holdings, Inc. (1)		8,300	$	93,078
Bridgestone Corp.		1,900		74,882
Chubu Electric Power Co., Inc.		34,800		547,140
Daiichi Sankyo Co., Ltd. (1)		3,700		138,320
Doutor Nichires Holdings Co., Ltd. (1)		5,700		110,661
Duskin Co., Ltd.		9,100		225,490
Geo Holdings Corp.		14,400		210,965
Hogy Medical Co., Ltd.		2,000		68,811
Kissei Pharmaceutical Co., Ltd.		4,700		129,027
KYORIN Holdings, Inc.		12,100		239,254
Mitsui Sugar Co., Ltd.		3,700		95,334
Morinaga Milk Industry Co., Ltd.		2,000		63,877
Nihon Kohden Corp.		3,600		108,034
Nippon Telegraph & Telephone Corp.		6,700		288,581
Paramount Bed Holdings Co., Ltd. (1)		2,500		114,610
Shimachu Co., Ltd.		6,900		185,275
Suzuken Co., Ltd.		2,300		125,869
Takeda Pharmaceutical Co., Ltd.		3,200		128,299
Towa Pharmaceutical Co., Ltd.		1,700		133,907
Valor Holdings Co., Ltd.		4,700		119,118
Vital KSK Holdings, Inc. (1)		7,900		79,592
Xebio Holdings Co., Ltd.		4,800		54,173
				3,334,297
Malaysia — 4.3%
Malayan Banking Bhd		62,000		145,299
Public Bank Bhd		124,000		762,326
Tenaga Nasional Bhd		188,900		623,396
				1,531,021
Myanmar — 0.3%
Genting Bhd		55,900		101,311
Netherlands — 0.6%
Intertrust NV (5)		5,820		109,957
Koninklijke Ahold Delhaize NV		4,427		114,180
				224,137
New Zealand — 3.1%
Air New Zealand, Ltd.		49,628		83,478
Argosy Property, Ltd.		133,734		112,019
Chorus, Ltd.		24,205		86,044
Fisher & Paykel Healthcare Corp., Ltd.		23,852		238,775
Infratil, Ltd.		51,363		139,213
Metlifecare, Ltd.		26,487		91,812
Ryman Healthcare, Ltd.		23,700		177,537
Summerset Group Holdings, Ltd.		40,729		180,287
				1,109,165
Philippines — 1.8%
Alliance Global Group, Inc.		531,800		140,867
First Philippine Holdings Corp.		39,610		57,248
Manila Electric Co.		43,020		305,765
PLDT, Inc.		6,760		134,625
				638,505
Portugal — 0.3%
REN — Redes Energeticas Nacionais SGPS SA		38,105		113,124
Singapore — 4.0%
Ascott Residence Trust		54,400		45,870
BOC Aviation, Ltd. (5)		16,300		140,994
Cache Logistics Trust		116,600		61,663
CDL Hospitality Trusts		88,000		102,840
Frasers Centrepoint Trust		128,200		217,144
Mapletree Industrial Trust		49,000		72,485
Mapletree Logistics Trust		210,300		214,655
RHT Health Trust		113,800		1,347
SATS, Ltd.		85,900		325,937

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

23

February 28, 2019 (Unaudited)

Schedules of Investments

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Singapore (continued)
Sheng Siong Group, Ltd.		114,500	$	91,465
Singapore Airlines, Ltd.		19,800		146,596
				1,420,996
Switzerland — 0.7%
Roche Holding AG		183		50,845
Sonova Holding AG		1,091		204,033
				254,878
Taiwan — 3.2%
Coretronic Corp.		93,000		140,211
Far EasTone Telecommunications Co., Ltd.		216,000		506,022
Great Wall Enterprise Co., Ltd.		86,000		96,964
Pou Chen Corp.		75,000		94,553
Taichung Commercial Bank Co., Ltd.		337,202		116,686
Taiwan Secom Co., Ltd.		27,075		76,009
Uni-President Enterprises Corp.		42,000		102,351
				1,132,796
United Kingdom — 1.9%
Halfords Group PLC		32,269		101,265
Imperial Brands PLC		16,817		559,972
				661,237
United States — 39.2%
ALLETE, Inc.		2,052		166,315
Allstate Corp.		6,999		660,566
Amedisys, Inc. (2)		859		106,774
Ameren Corp.		11,022		785,207
American Assets Trust, Inc.		12,227		531,141
American Electric Power Co., Inc.		6,504		527,800
American Express Co.		1,117		120,345
Atrion Corp.		238		187,156
Bryn Mawr Bank Corp.		2,394		97,579
Chevron Corp.		5,495		657,092
Chico’s FAS, Inc.		12,511		73,064
CONMED Corp.		1,493		114,812
Darden Restaurants, Inc.		2,893		324,334
Discover Financial Services		7,239		518,385
Eli Lilly & Co.		1,985		250,686
Essex Property Trust, Inc.		1,764		493,638
Exelon Corp.		14,859		721,999
Foot Locker, Inc.		1,167		69,460
Huntington Ingalls Industries, Inc.		737		154,335
IDACORP, Inc.		6,199		610,044
Invacare Corp. (1)		5,540		53,904
Kroger Co.		5,582		163,720
Lockheed Martin Corp.		735		227,416
Masimo Corp. (2)		1,238		162,525
MDU Resources Group, Inc.		3,816		100,819
Merck & Co., Inc.		9,489		771,361
Meridian Bancorp, Inc.		12,480		203,299
NorthWestern Corp.		7,376		505,551
PepsiCo, Inc.		4,239		490,198
Pfizer, Inc.		17,742		769,116
Pinnacle West Capital Corp.		765		71,711
PNM Resources, Inc.		6,807		297,330
Portland General Electric Co.		15,591		781,733
Progressive Corp.		1,746		127,283
Safety Insurance Group, Inc.		2,367		211,468
Surmodics, Inc. (2)		1,922		112,149
Sysco Corp.		7,904		533,915
U.S. Physical Therapy, Inc.		1,394		153,674
Unum Group		5,829		217,771
Valero Energy Corp.		1,295		105,620

Description	Shares or Units		Value
Common Stocks (continued)
United States (continued)
Walmart, Inc.		4,878	$	482,873
Xcel Energy, Inc.		3,171		173,961
				13,888,129
Total Common Stocks (identified cost $30,944,101)				34,836,116
Common Stock Units — 0.3%
Mexico — 0.3%
Megacable Holdings SAB de C.V.,		26,900		123,050
Total Common Stock Units (identified cost $115,406)				123,050
Short-Term Investments — 2.7%
Collateral Investment for Securities on Loan — 1.7%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (3)		615,475		615,475
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		336,327		336,361
Total Short-Term Investments (identified cost $951,750)				951,836
Total Investments — 101.2% (identified cost $32,011,257)				35,911,002
Other Assets and Liabilities — (1.2)%				(434,037	)
Total Net Assets — 100.0%			$	35,476,965

Industry Allocation
Industry	Value		% of Total Net Assets
Aerospace/Defense	$	227,416		0.6	%
Agriculture		784,948		2.3
Airlines		230,074		0.6
Apparel		94,553		0.3
Auto Parts & Equipment		74,882		0.2
Banks		3,180,575		8.9
Beverages		688,854		2.0
Commercial Services		527,896		1.4
Computers		88,579		0.3
Diversified Financial Services		779,724		2.2
Electric		8,807,969		24.8
Electronics		140,211		0.4
Engineering & Construction		325,937		0.9
Food		2,344,769		6.7
Healthcare-Products		1,364,809		3.8
Healthcare-Services		710,084		2.0
Holding Companies-Diversified		140,867		0.4
Insurance		1,968,825		5.5
Lodging		101,311		0.3
Media		779,116		2.2
Mining		288,143		0.8
Oil & Gas		762,712		2.2
Pharmaceuticals		2,846,901		8.2
Private Equity		112,019		0.3
Real Estate		329,627		0.9
Real Estate Investment Trusts		2,470,094		7.0
Retail		1,973,958		5.6
Savings & Loans		203,299		0.6
Shipbuilding		154,335		0.4
Telecommunications		2,333,629		6.4
Total Common Stocks		34,836,116		98.2

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

24

BMO Funds

Global Low Volatility Equity Fund (continued)

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Common Stock Units	$	123,050			0.3	%
Collateral Investment for Securities on Loan		615,475			1.7
Mutual Funds		336,361			1.0
Total Investments		35,911,002			101.2
Other Assets and Liabilities		(434,037	)		(1.2	)
Net Assets	$	35,476,965			100.0	%

Disciplined International Equity Fund

Description	Shares		Value
Common Stocks — 97.5%
Australia — 9.8%
BHP Billiton, Ltd.		24,086	$	636,090
CSL, Ltd.		1,958		269,115
Evolution Mining, Ltd.		403,124		1,032,301
Qantas Airways, Ltd.		249,122		1,012,575
Rio Tinto PLC		28,276		1,626,168
Santos, Ltd.		361,942		1,776,666
St. Barbara, Ltd.		90,278		286,253
Whitehaven Coal, Ltd.		205,653		641,872
Woodside Petroleum, Ltd.		20,909		537,653
				7,818,693
Cayman Islands — 0.6%
IGG, Inc.		211,000		299,979
WH Group, Ltd. (5)		214,500		190,460
				490,439
Denmark — 4.0%
Novo Nordisk A/S, Class B		42,743		2,097,286
Pandora A/S		20,650		1,083,603
				3,180,889
Finland — 2.1%
UPM-Kymmene OYJ		55,172		1,664,272
France — 9.2%
Arkema SA		6,113		616,334
Bouygues SA		4,743		179,381
Cie de Saint-Gobain		1,368		49,264
Credit Agricole SA		53,172		679,317
Eiffage SA		3,727		363,645
Eramet		3,036		182,161
Peugeot SA		77,927		1,981,946
Sanofi		15,995		1,337,223
Societe Generale SA		23,869		733,044
Vinci SA		12,385		1,182,207
				7,304,522
Germany — 6.9%
Allianz SE		10,891		2,423,085
Covestro AG (5)		20,191		1,151,528
Deutsche Lufthansa AG		22,683		579,227
Fresenius Medical Care AG & Co. KGaA		2,239		175,420
Fresenius SE & Co. KGaA		14,626		822,334
Siltronic AG		1,564		152,885
Talanx AG (2)		5,496		212,298
				5,516,777
Hong Kong — 4.0%
CK Asset Holdings, Ltd.		215,000		1,784,420

Description	Shares		Value
Common Stocks (continued)
Hong Kong (continued)
Hong Kong Exchanges & Clearing, Ltd.		13,200	$	455,036
Sands China, Ltd.		190,000		948,820
				3,188,276
Israel — 0.2%
Bank Leumi Le-Israel BM		23,413		154,842
Italy — 2.5%
ASTM SpA		11,814		309,742
Enel SpA		210,214		1,272,053
Societa Iniziative Autostradali e Servizi SpA		25,328		423,785
				2,005,580
Japan — 22.8%
AGC, Inc.		13,800		477,890
Aoyama Trading Co., Ltd. (2)		10,600		259,615
Bridgestone Corp.		6,000		236,469
Chubu Electric Power Co., Inc.		45,700		718,515
Daiwa Securities Group, Inc.		77,400		392,677
Foster Electric Co., Ltd.		8,500		117,588
Fujikura, Ltd.		60,000		253,533
Fujitsu, Ltd.		6,600		444,618
Hitachi, Ltd.		52,400		1,567,793
Honda Motor Co., Ltd.		58,700		1,660,441
JVC Kenwood Corp.		97,900		240,655
Kajima Corp.		21,300		314,919
Kansai Electric Power Co., Inc.		61,500		918,927
Kirin Holdings Co., Ltd.		55,300		1,234,842
Konica Minolta, Inc.		94,700		917,562
Maxell Holdings, Ltd.		12,000		175,696
Mebuki Financial Group, Inc.		31,600		85,333
Mizuho Financial Group, Inc.		342,000		537,554
MS&AD Insurance Group Holdings, Inc.		52,200		1,565,555
Nichias Corp.		4,100		80,812
Nippon Telegraph & Telephone Corp.		45,400		1,955,460
Nishimatsu Construction Co., Ltd.		25,600		595,071
Nisshinbo Holdings, Inc.		35,600		303,733
Obayashi Corp.		25,700		250,164
ORIX Corp.		102,900		1,488,134
Sumitomo Electric Industries, Ltd.		12,500		173,709
Sumitomo Mitsui Construction Co., Ltd.		31,100		204,515
Sumitomo Mitsui Financial Group, Inc.		13,300		470,359
Toppan Printing Co., Ltd.		34,100		542,100
				18,184,239
Jersey — 2.2%
Aptiv PLC		17,483		1,453,012
Wizz Air Holdings PLC (2)(5)		7,483		301,822
				1,754,834
Netherlands — 5.4%
AerCap Holdings NV (2)		10,566		476,949
ASM International NV		8,569		467,262
Fiat Chrysler Automobiles NV		55,817		824,214
Koninklijke Ahold Delhaize NV		36,122		931,647
NN Group NV		37,793		1,646,426
				4,346,498
New Zealand — 0.1%
Air New Zealand, Ltd.		43,740		73,574
Norway — 5.1%
Austevoll Seafood ASA		41,189		498,697
DNO ASA		202,254		430,313
Equinor ASA		74,666		1,678,461
Telenor ASA		74,777		1,458,111
				4,065,582

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

25

February 28, 2019 (Unaudited)

Schedules of Investments

Disciplined International Equity Fund (continued)

Description	Shares or Units		Value
Common Stocks (continued)
Singapore — 1.5%
DBS Group Holdings, Ltd.		42,500	$	780,843
SATS, Ltd.		53,600		203,379
United Overseas Bank, Ltd.		11,500		212,818
				1,197,040
Spain — 0.9%
Banco Bilbao Vizcaya Argentaria SA		42,667		265,661
Ence Energia y Celulosa SA		64,631		465,347
				731,008
Sweden — 0.5%
Boliden AB		6,977		190,931
Skandinaviska Enskilda Banken AB, Class A		17,888		182,095
				373,026
Switzerland — 6.3%
Nestle SA		2,983		270,070
Roche Holding AG		11,152		3,098,492
TE Connectivity, Ltd.		14,917		1,224,536
Zurich Insurance Group AG		1,214		401,403
				4,994,501
United Kingdom — 13.4%
Auto Trader Group PLC (5)		265,602		1,675,801
Berkeley Group Holdings PLC		12,878		674,689
BT Group PLC		72,103		205,326
Diageo PLC		2,497		96,492
GlaxoSmithKline PLC		112,546		2,235,249
Imperial Brands PLC		54,378		1,810,679
International Consolidated Airlines Group SA		28,168		223,790
Legal & General Group PLC		136,417		507,708
Moneysupermarket.com Group PLC		139,275		636,755
Persimmon PLC		12,205		393,856
QinetiQ Group PLC		105,522		429,395
Royal Mail PLC		96,505		361,982
Tate & Lyle PLC		58,413		538,459
Unilever PLC		17,332		921,371
				10,711,552
Total Common Stocks (identified cost $75,180,457)				77,756,144
Limited Partnership Units — 0.3%
Germany — 0.3%
Schaeffler AG		27,237		249,704
Total Limited Partnership Units (identified cost $365,189)				249,704
Short-Term Investments — 1.5%
Mutual Funds — 1.5%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		1,158,742		1,158,858
Total Short-Term Investments (identified cost $1,158,682)				1,158,858
Total Investments — 99.3% (identified cost $76,704,328)				79,164,706
Other Assets and Liabilities — 0.7%				586,277
Total Net Assets — 100.0%			$	79,750,983

Industry Allocation
Industry	Value		% of Total Net Assets
Agriculture	$	1,810,679		2.3	%
Airlines		2,190,988		2.8
Auto Manufacturers		4,466,601		5.6
Auto Parts & Equipment		1,863,190		2.3
Banks		4,016,533		5.0
Beverages		1,331,334		1.6
Biotechnology		269,115		0.3
Building Materials		607,966		0.8
Chemicals		1,767,862		2.3
Coal		641,872		0.8
Commercial Services		1,705,022		2.1
Computers		444,618		0.6
Cosmetics/Personal Care		921,371		1.2
Diversified Financial Services		2,421,180		3.1
Electric		2,909,495		3.7
Electrical Components & Equipment		253,533		0.3
Electronics		1,224,536		1.5
Engineering & Construction		3,293,281		4.1
Food		2,429,333		3.1
Forest Products & Paper		2,129,619		2.7
Healthcare-Services		997,754		1.2
Home Builders		1,068,545		1.3
Home Furnishings		533,939		0.6
Insurance		6,756,475		8.4
Internet		2,312,556		2.9
Lodging		948,820		1.2
Machinery-Construction & Mining		1,567,793		2.0
Mining		3,953,904		5.0
Office/Business Equipment		917,562		1.1
Oil & Gas		4,423,093		5.6
Pharmaceuticals		8,768,250		11.0
Real Estate		1,784,420		2.2
Retail		1,343,218		1.7
Semiconductors		620,147		0.8
Software		299,979		0.4
Telecommunications		3,922,630		4.9
Transportation		361,982		0.4
Trucking & Leasing		476,949		0.6
Total Common Stocks		77,756,144		97.5
Auto Parts & Equipment		249,704		0.3
Mutual Funds		1,158,858		1.5
Total Investments		79,164,706		99.3
Other Assets and Liabilities		586,277		0.7
Net Assets	$	79,750,983		100.0	%

Pyrford International Stock Fund

Description	Shares		Value
Common Stocks — 94.5%
Australia — 10.8%
Brambles, Ltd.		1,644,597	$	13,719,159
Computershare, Ltd.		825,072		10,095,821
Newcrest Mining, Ltd.		318,750		5,498,882
QBE Insurance Group, Ltd.		1,067,496		9,351,771
Rio Tinto, Ltd.		99,249		6,769,885
Woodside Petroleum, Ltd.		443,540		11,405,162
Woolworths Group, Ltd.		632,131		12,855,692
				69,696,372
Finland — 2.7%
Kone OYJ, Class B (1)		173,662		8,487,939
Sampo OYJ, A Shares		188,856		9,090,934
				17,578,873

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

26

BMO Funds

Pyrford International Stock Fund (continued)

Description	Shares		Value
Common Stocks (continued)
France — 8.6%
Air Liquide SA		87,295	$	10,887,548
Bureau Veritas SA		418,687		10,010,465
Legrand SA		110,951		7,319,667
Rubis SCA		127,853		7,569,440
Sanofi		129,126		10,795,260
TOTAL SA		155,704		8,853,500
				55,435,880
Germany — 6.5%
Brenntag AG		220,332		10,926,879
Deutsche Post AG		239,638		7,446,779
Fielmann AG		127,561		8,611,339
GEA Group AG		259,036		6,208,072
SAP SE		80,725		8,649,501
				41,842,570
Hong Kong — 5.2%
AIA Group, Ltd.		861,800		8,618,274
China Mobile, Ltd.		1,053,500		11,085,589
Power Assets Holdings, Ltd.		1,046,000		7,262,269
VTech Holdings, Ltd.		637,600		6,680,799
				33,646,931
Israel — 1.1%
Bezeq — The Israeli Telecommunication Corp., Ltd.		8,198,023		7,188,312
Japan — 10.3%
ABC-Mart, Inc. (1)		122,100		6,988,723
Japan Tobacco, Inc.		652,468		16,583,159
KDDI Corp.		507,300		12,235,913
Mitsubishi Electric Corp.		575,000		7,191,046
Nihon Kohden Corp.		316,700		9,503,983
Sumitomo Rubber Industries, Ltd.		684,600		8,788,971
Toyota Tsusho Corp.		162,800		5,163,038
				66,454,833
Malaysia — 2.9%
Axiata Group Bhd		7,386,574		7,556,412
Malayan Banking Bhd		4,753,188		11,139,280
				18,695,692
Netherlands — 3.1%
Koninklijke Vopak NV		192,563		9,416,128
Unilever NV		192,272		10,402,450
				19,818,578
Norway — 1.9%
Telenor ASA		628,559		12,256,557
Singapore — 4.9%
ComfortDelGro Corp., Ltd.		5,171,500		9,141,927
Singapore Technologies Engineering, Ltd.		1,885,500		5,215,806
Singapore Telecommunications, Ltd.		3,829,300		8,553,614
United Overseas Bank, Ltd.		482,702		8,932,843
				31,844,190
Sweden — 4.7%
Assa Abloy AB, Class B		436,356		9,026,182
Atlas Copco AB, A Shares		327,411		8,871,221
Essity AB, Class B		448,031		12,500,822
				30,398,225

Description	Shares		Value
Common Stocks (continued)
Switzerland — 14.1%
Givaudan SA		2,031	$	5,081,316
Nestle SA		250,707		22,698,146
Novartis AG		197,719		18,035,507
Panalpina Welttransport Holding AG		28,233		4,401,638
Roche Holding AG		74,465		20,689,489
Schindler Holding AG		20,466		4,626,151
SGS SA		1,834		4,676,649
Zurich Insurance Group AG		32,775		10,836,882
				91,045,778
Taiwan — 4.0%
Advantech Co., Ltd.		735,118		5,613,138
Chunghwa Telecom Co., Ltd.		2,538,000		8,823,810
Merida Industry Co., Ltd.		536,000		2,803,957
Taiwan Semiconductor Manufacturing Co., Ltd.		1,136,000		8,821,796
				26,062,701
United Kingdom — 13.7%
BP PLC		688,114		4,877,361
British American Tobacco PLC		206,021		7,537,764
GlaxoSmithKline PLC		453,315		9,003,180
IMI PLC		342,301		4,294,942
Imperial Brands PLC		180,170		5,999,302
Legal & General Group PLC		2,892,375		10,764,660
National Grid PLC		1,154,904		12,988,188
Reckitt Benckiser Group PLC		97,928		7,490,570
Royal Dutch Shell PLC, A Shares		233,748		7,292,993
Royal Dutch Shell PLC, B Shares		175,947		5,517,968
SSE PLC		395,696		6,237,619
Vodafone Group PLC		3,898,271		6,942,908
				88,947,455
Total Common Stocks (identified cost $562,693,811)				610,912,947
Preferred Stocks — 1.6%
Germany — 1.6%
Fuchs Petrolub SE		226,349		10,118,199
Total Preferred Stocks (identified cost $8,757,283)				10,118,199
Short-Term Investments — 5.1%
Collateral Investment for Securities on Loan — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (3)		11,637,972		11,637,973
Mutual Funds — 3.3%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		21,437,477		21,439,620
Total Short-Term Investments (identified cost $33,074,296)				33,077,593
Total Investments — 101.2% (identified cost $604,525,390)				654,108,739
Other Assets and Liabilities — (1.2)%				(7,996,416	)
Total Net Assets — 100.0%			$	646,112,323

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

27

February 28, 2019 (Unaudited)

Schedules of Investments

Pyrford International Stock Fund (continued)

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	30,120,225			4.7	%
Auto Parts & Equipment		8,788,971			1.3
Banks		20,072,123			3.1
Chemicals		26,895,743			4.2
Commercial Services		28,406,273			4.3
Computers		15,708,959			2.5
Cosmetics/Personal Care		22,903,272			3.5
Distribution/Wholesale		5,163,038			0.8
Electric		13,499,888			2.1
Electrical Components & Equipment		7,319,667			1.1
Electronics		9,026,182			1.4
Engineering & Construction		5,215,806			0.8
Food		35,553,838			5.5
Gas		20,557,628			3.2
Hand/Machine Tools		4,626,151			0.7
Healthcare-Products		9,503,983			1.5
Household Products/Wares		7,490,570			1.1
Insurance		48,662,521			7.5
Leisure Time		2,803,957			0.4
Machinery-Construction & Mining		16,062,267			2.5
Machinery-Diversified		14,696,011			2.3
Mining		12,268,767			1.9
Miscellaneous Manufacturing		4,294,942			0.7
Oil & Gas		37,946,984			5.8
Pharmaceuticals		58,523,436			9.1
Pipelines		9,416,128			1.5
Retail		15,600,062			2.4
Semiconductors		8,821,796			1.3
Software		8,649,501			1.3
Telecommunications		81,323,914			12.7
Transportation		20,990,344			3.3
Total Common Stocks		610,912,947			94.5
Preferred Stocks		10,118,199			1.6
Collateral Investment for Securities on Loan		11,637,973			1.8
Mutual Funds		21,439,620			3.3
Total Investments		654,108,739			101.2
Other Assets and Liabilities		(7,996,416	)		(1.2	)
Net Assets	$	646,112,323			100.0	%

LGM Emerging Markets Equity Fund

Description	Shares		Value
Common Stocks — 92.3%
Brazil — 1.5%
Raia Drogasil SA		196,400	$	3,420,131
Chile — 1.2%
Aguas Andinas SA, Class A		4,782,906		2,800,497
China — 14.3%
ANTA Sports Products, Ltd.		847,000		4,963,470
Inner Mongolia Yili Industrial Group Co., Ltd., Class A		1,914,450		7,742,324
Ping An Healthcare and Technology Co., Ltd. (1)(2)(5)		474,200		2,380,137
Tingyi Cayman Islands Holding Corp.		6,572,000		9,125,743
Yum China Holdings, Inc.		195,593		8,160,140
				32,371,814

Description	Shares		Value
Common Stocks (continued)
Egypt — 4.8%
Commercial International Bank Egypt SAE, GDR		1,699,007	$	6,770,543
Eastern Tobacco		4,257,768		3,961,110
				10,731,653
Hong Kong — 8.8%
AIA Group, Ltd.		775,000		7,750,247
Dairy Farm International Holdings, Ltd.		393,191		3,515,128
Sands China, Ltd.		1,727,200		8,625,273
				19,890,648
India — 16.7%
Colgate-Palmolive India, Ltd.		265,010		4,664,839
Emami, Ltd.		843,681		4,659,291
HDFC Bank, Ltd.		350,050		10,221,527
Housing Development Finance Corp., Ltd.		88,375		2,288,453
ICICI Bank, Ltd.		1,593,294		7,863,846
ITC, Ltd.		2,067,571		8,037,586
				37,735,542
Indonesia — 5.6%
Bank Mandiri Persero Tbk PT		18,434,308		9,336,730
Bank Rakyat Indonesia Persero Tbk PT		12,058,400		3,300,148
				12,636,878
Malaysia — 5.4%
British American Tobacco Malaysia Bhd		932,800		7,730,323
Public Bank Bhd		711,400		4,373,540
				12,103,863
Mexico — 6.1%
Bolsa Mexicana de Valores SAB de C.V.		2,026,573		4,240,990
Wal-Mart de Mexico SAB de C.V.		3,682,679		9,530,723
				13,771,713
Nigeria — 1.3%
Guaranty Trust Bank PLC		29,955,891		2,935,387
Peru — 1.7%
Credicorp, Ltd.		15,614		3,795,607
Philippines — 3.2%
Universal Robina Corp.		2,780,200		7,316,033
Russia — 3.8%
Magnit PJSC, GDR		600,033		8,616,474
South Africa — 9.8%
AVI, Ltd.		679,857		4,319,247
Clicks Group, Ltd.		276,219		3,540,699
Discovery, Ltd. (1)		268,440		2,934,722
Famous Brands, Ltd. (1)(2)		305,889		1,953,349
Mr Price Group, Ltd.		467,428		7,160,126
Multichoice Group, Ltd. (2)		10,111		75,364
Naspers, Ltd., Class N		10,111		2,184,794
				22,168,301
Taiwan — 1.0%
President Chain Store Corp.		207,000		2,142,203
Thailand — 1.9%
Kasikornbank PCL		694,469		4,352,483
United States — 2.6%
Western Union Co.		329,822		5,893,919

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

28

BMO Funds

LGM Emerging Markets Equity Fund (continued)

Description	Shares or Units		Value
Common Stocks (continued)
Vietnam — 2.6%
Vietnam Dairy Products JSC		976,671	$	5,940,012
Total Common Stocks (identified cost $189,301,181)				208,623,158
Common Stock Units — 3.0%
Mexico — 3.0%
Fomento Economico Mexicano SAB de C.V.,		748,800		6,790,362
Total Common Stock Units (identified cost $6,417,742)				6,790,362
Short-Term Investments — 5.1%
Collateral Investment for Securities on Loan — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (3)		2,610,575		2,610,575
Mutual Funds — 4.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		8,972,862		8,973,759
Total Short-Term Investments (identified cost $11,583,138)				11,584,334
Total Investments — 100.4% (identified cost $207,302,061)				226,997,854
Other Assets and Liabilities — (0.4)%				(810,397	)
Total Net Assets — 100.0%			$	226,187,457

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	19,729,019			8.7	%
Banks		52,949,811			23.5
Commercial Services		5,893,919			2.6
Cosmetics/Personal Care		4,664,839			2.1
Diversified Financial Services		6,529,443			2.9
Food		42,255,714			18.6
Holding Companies-Diversified		4,319,247			1.9
Insurance		10,684,969			4.7
Internet		2,184,794			1.0
Lodging		8,625,273			3.8
Media		75,364			0.0
Pharmaceuticals		4,659,291			2.1
Retail		40,870,841			18.1
Software		2,380,137			1.1
Water		2,800,497			1.2
Total Common Stocks		208,623,158			92.3
Common Stock Units		6,790,362			3.0
Collateral Investment for Securities on Loan		2,610,575			1.1
Mutual Funds		8,973,759			4.0
Total Investments		226,997,854			100.4
Other Assets and Liabilities		(810,397	)		(0.4	)
Net Assets	$	226,187,457			100.0	%

Alternative Strategies Fund

Description	Shares		Value
Common Stocks Purchased Long — 35.2%
Australia — 0.1%
Regis Resources, Ltd.		21,667	$	82,073
Bermuda — 0.3%
Argo Group International Holdings, Ltd.		606		42,123
Essent Group, Ltd. (2)		2,842		122,604
				164,727
Brazil — 0.0%
SLC Agricola SA		1,100		12,013
Canada — 3.4%
Air Canada (2)		7,855		197,636
Allied Properties Real Estate Investment Trust		5,568		203,138
Canadian National Railway Co.		3,945		338,797
Canfor Corp. (2)		7,169		77,031
Cascades, Inc.		1,817		12,164
Cogeco Communications, Inc.		859		53,716
Cogeco, Inc.		391		21,687
Cott Corp.		26,760		401,668
Equitable Group, Inc.		1,476		78,525
George Weston, Ltd.		1,733		123,527
Hudbay Minerals, Inc.		15,996		107,576
Husky Energy, Inc.		4,937		54,887
Interfor Corp. (2)		8,134		91,542
InterRent Real Estate Investment Trust		6,186		66,328
Methanex Corp.		1,463		82,347
Quebecor, Inc., Class B		1,288		31,291
Teck Resources, Ltd., Class B		8,522		190,975
				2,132,835
Cayman Islands — 0.1%
Tianneng Power International, Ltd.		40,000		39,186
China — 0.5%
Agricultural Bank of China, Ltd., Class H		52,000		24,908
Nestle SA		2,920		263,763
				288,671
Denmark — 0.2%
Novo Nordisk A/S, Class B		702		34,445
Scandinavian Tobacco Group A/S, Class A (5)		6,117		80,760
				115,205
France — 0.2%
Boiron SA		427		26,907
Peugeot SA		2,346		59,667
Sanofi		382		31,936
				118,510
Germany — 0.0%
Hamburger Hafen und Logistik AG		581		12,689
Hong Kong — 0.3%
HKT Trust & HKT, Ltd.		65,000		101,519
SmarTone Telecommunications Holdings, Ltd.		87,500		99,542
				201,061
Indonesia — 0.3%
Bukit Asam Tbk PT		433,700		122,703
Indo Tambangraya Megah Tbk PT		18,800		28,566
Japfa Comfeed Indonesia Tbk PT		133,300		21,226
				172,495

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

29

February 28, 2019 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
Ireland — 0.6%
Allergan PLC		2,772	$	381,732
Italy — 0.4%
ASTM SpA		959		25,143
Enel SpA		34,227		207,115
Societa Iniziative Autostradali e Servizi SpA		2,079		34,786
				267,044
Japan — 1.4%
Arcs Co., Ltd.		2,400		55,659
Artnature, Inc.		2,300		13,516
Frontier Real Estate Investment Corp.		48		198,089
Fukuda Corp.		700		27,318
Heiwado Co., Ltd.		4,500		100,242
J-Oil Mills, Inc.		800		28,493
KDDI Corp.		1,600		38,592
Keihin Corp.		3,400		59,694
Mitsui Sugar Co., Ltd.		1,200		30,919
Nippon Telegraph & Telephone Corp.		4,300		185,209
Okinawa Electric Power Co., Inc.		3,350		61,671
Press Kogyo Co., Ltd.		6,400		35,197
Shimachu Co., Ltd.		1,600		42,962
Yorozu Corp.		1,300		18,637
				896,198
Luxembourg — 0.1%
Trinseo SA		1,702		85,423
Malaysia — 0.0%
Malaysian Pacific Industries Bhd		7,700		18,651
Netherlands — 0.3%
Koninklijke Ahold Delhaize NV		7,583		195,578
New Zealand — 0.2%
Air New Zealand, Ltd.		42,705		71,833
New Zealand Refining Co., Ltd.		17,477		24,994
				96,827
Norway — 0.3%
Austevoll Seafood ASA		4,074		49,326
Leroy Seafood Group ASA		13,616		102,638
Sparebank 1 Oestlandet		1,876		19,118
				171,082
Poland — 0.1%
Asseco Poland SA		4,111		57,690
Portugal — 0.0%
Altri SGPS SA		2,686		21,936
Singapore — 0.1%
ComfortDelGro Corp., Ltd.		35,000		61,871
First Resources, Ltd.		19,200		24,284
				86,155
South Korea — 0.4%
DB HiTek Co., Ltd.		2,974		32,921
KT Corp.		4		101
Samsung Electronics Co., Ltd.		4,702		188,548
				221,570
Sweden — 0.0%
Mycronic AB		2,025		29,818
Switzerland — 0.9%
Roche Holding AG		737		204,770
TE Connectivity, Ltd.		4,670		383,360
				588,130

Description	Shares		Value
Common Stocks Purchased Long (continued)
Taiwan — 0.3%
HannStar Display Corp.		115,000	$	26,493
Uni-President Enterprises Corp.		51,000		124,283
United Integrated Services Co., Ltd.		16,000		54,327
				205,103
United Kingdom — 1.2%
BT Group PLC		67,207		191,384
DFS Furniture PLC		5,436		16,475
GlaxoSmithKline PLC		9,018		179,104
Imperial Brands PLC		2,145		71,424
International Consolidated Airlines Group SA		7,175		57,004
Legal & General Group PLC		52,243		194,435
Reach PLC		10,293		8,239
SThree PLC		4,337		18,235
Watkin Jones PLC		14,657		42,477
				778,777
United States — 23.5%
AbbVie, Inc.		619		49,050
Air Products & Chemicals, Inc.		1,551		281,010
American International Group, Inc.		4,300		185,760
Anthem, Inc.		1,778		534,698
ArcBest Corp.		4,028		140,295
Associated Banc-Corp		13,993		325,757
Best Buy Co., Inc.		1,479		101,814
Broadcom, Inc.		1,374		378,345
Carlisle Cos., Inc.		4,996		614,908
Ciena Corp. (2)		4,320		184,291
Citizens Financial Group, Inc.		900		33,246
Clean Harbors, Inc. (2)		3,695		251,260
CONMED Corp.		1,882		144,726
ConocoPhillips		1,430		97,026
Cooper-Standard Holdings, Inc. (2)		757		45,503
CSX Corp.		2,885		209,653
Danaher Corp.		3,070		389,951
Discover Financial Services		1,479		105,911
Dover Corp.		2,985		270,232
DowDuPont, Inc.		4,622		246,029
DXC Technology Co.		3,880		255,537
Edgewell Personal Care Co. (2)		7,265		322,275
Emergent BioSolutions, Inc. (2)		3,743		218,404
Employers Holdings, Inc.		1,392		57,991
Enova International, Inc. (2)		570		14,546
Equinix, Inc.		518		219,373
Equitrans Midstream Corp. (2)		12,131		213,991
Essex Property Trust, Inc.		794		222,193
Expedia Group, Inc.		2,975		366,847
Extreme Networks, Inc. (2)		19,160		157,495
F5 Networks, Inc. (2)		334		56,159
FedNat Holding Co.		874		15,951
Genomic Health, Inc. (2)		512		38,897
G-III Apparel Group, Ltd. (2)		13,345		475,215
Glaukos Corp. (2)		1,328		98,498
Globus Medical, Inc., Class A (2)		951		46,304
Haemonetics Corp. (2)		642		55,771
HealthStream, Inc.		1,441		40,060
Huntington Ingalls Industries, Inc.		617		129,206
Inogen, Inc. (2)		473		50,829
Integer Holdings Corp. (2)		1,313		119,430
Intersect ENT, Inc. (2)		261		8,871
K12, Inc. (2)		630		20,185
Lantheus Holdings, Inc. (2)		2,467		56,371
LeMaitre Vascular, Inc.		591		17,683
Luminex Corp.		769		19,594
Marlin Business Services Corp.		2,549		60,003
Masco Corp.		4,178		156,926
Merit Medical Systems, Inc. (2)		3,523		196,337
Microsoft Corp.		5,575		624,567
Middleby Corp. (2)		1,575		193,079

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

30

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares or Principal Amount		Value
Common Stocks Purchased Long (continued)
United States (continued)
Myriad Genetics, Inc. (2)		1,478	$	45,862
Natus Medical, Inc. (2)		1,200		33,156
NetApp, Inc.		1,316		85,803
NextGen Healthcare, Inc. (2)		1,639		28,683
OraSure Technologies, Inc. (2)		4,512		48,504
Orthofix Medical, Inc. (2)		1,285		78,514
Owens-Illinois, Inc.		1,196		23,824
Pacira Pharmaceuticals, Inc. (2)		923		38,009
PBF Energy, Inc., Class A		273		8,482
Philip Morris International, Inc.		3,300		286,902
PNM Resources, Inc.		3,163		138,160
Portland General Electric Co.		4,049		203,017
PTC, Inc. (2)		3,060		284,029
PVH Corp.		6,247		717,406
Regions Financial Corp.		5,261		86,280
RPM International, Inc.		2,540		146,990
Rush Enterprises, Inc., Class A		1,920		80,486
ServiceMaster Global Holdings, Inc. (2)		8,230		371,667
Southwest Airlines Co.		683		38,275
SpartanNash Co.		1,109		21,049
SunTrust Banks, Inc.		467		30,294
Supernus Pharmaceuticals, Inc. (2)		2,069		84,498
Surmodics, Inc. (2)		646		37,694
Sykes Enterprises, Inc. (2)		2,300		68,057
Synchrony Financial		957		31,208
Sysco Corp.		1,441		97,340
TriNet Group, Inc. (2)		10,645		652,432
U.S. Foods Holding Corp. (2)		4,184		147,444
United Continental Holdings, Inc. (2)		762		66,911
United Technologies Corp.		2,745		344,964
Unum Group		2,807		104,870
Vail Resorts, Inc.		1,105		230,271
Vishay Intertechnology, Inc.		4,660		102,147
Vishay Precision Group, Inc. (2)		817		28,481
Wells Fargo & Co.		10,383		518,008
WR Grace & Co.		5,490		426,408
WW Grainger, Inc.		71		21,639
				14,875,817
Total Common Stocks Purchased Long (identified cost $21,023,461)				22,316,996
Short-Term Investments — 65.6%
Mutual Funds — 51.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		32,325,073		32,328,306
U.S. Treasury Bills — 14.6%
United States Treasury Bill, 0.000% 3/21/2019 (2)(6)		$2,750,000	$	2,746,423
United States Treasury Bill, 0.000% 3/28/2019 (2)(6)		3,250,000	$	3,244,241
United States Treasury Bill, 0.000% 5/23/2019 (2)(6)		3,250,000	$	3,232,092
Total Short-Term Investments (identified cost $41,545,852)				41,551,062
Total Investments — 100.8% (identified cost $62,569,313)				63,868,058
Other Assets and Liabilities — 12.3%				7,798,485
Securities Sold Short (see below) — (13.1)%				(8,286,579	)
Total Net Assets — 100.0%			$	63,379,964

Description	Shares			Value
Securities Sold Short — (13.1)%
Common Stocks Sold Short — (13.1)%
Canada — (1.0)%
Canadian Tire Corp., Ltd., Class A		(1,900	)	$	(209,643	)
Dollarama, Inc.		(5,100	)		(138,047	)
National Bank of Canada		(6,040	)		(284,983	)
					(632,673	)
Finland — (0.2)%
Nokia OYJADR		(21,025	)		(128,042	)
Netherlands — (0.3)%
LyondellBasell Industries N.V., Class A		(1,479	)		(126,484	)
Signify N.V. (5)		(2,870	)		(76,226	)
					(202,710	)
Spain — (0.2)%
Siemens Gamesa Renewable Energy SA (2)		(7,630	)		(116,772	)
Sweden — (0.2)%
Volvo AB, Class B		(9,720	)		(143,127	)
Switzerland — (0.5)%
Garrett Motion, Inc. (2)		(6,285	)		(105,211	)
Roche Holding AG		(705	)		(195,878	)
					(301,089	)
United Kingdom — (0.5)%
Cineworld Group PLC		(37,245	)		(137,826	)
Fiat Chrysler Automobiles NV (2)		(10,630	)		(156,580	)
					(294,406	)
United States — (10.2)%
ABM Industries, Inc.		(2,195	)		(78,274	)
Acorda Therapeutics, Inc. (2)		(4,100	)		(60,434	)
Align Technology, Inc. (2)		(430	)		(111,357	)
Amgen, Inc.		(830	)		(157,766	)
Apple, Inc.		(1,125	)		(194,794	)
Bloom Energy Corp., Class A (2)		(4,350	)		(62,945	)
Capri Holdings, Ltd. (2)		(1,980	)		(90,288	)
Cardinal Health, Inc.		(2,518	)		(136,828	)
Cheesecake Factory, Inc.		(2,045	)		(96,729	)
Constellation Brands, Inc., Class A		(379	)		(64,112	)
Core-Mark Holding Co., Inc.		(3,885	)		(122,416	)
Covetrus, Inc. (2)		(4,146	)		(148,344	)
CVS Health Corp.		(3,260	)		(188,526	)
Dollar General Corp.		(951	)		(112,655	)
Estee Lauder Cos., Inc., Class A		(1,180	)		(185,189	)
F5 Networks, Inc. (2)		(835	)		(140,397	)
Fulton Financial Corp.		(12,210	)		(209,768	)
General Electric Co.		(12,659	)		(131,527	)
Genesee & Wyoming, Inc., Class A (2)		(1,470	)		(120,540	)
Hanesbrands, Inc.		(2,185	)		(40,619	)
Home Depot, Inc.		(1,056	)		(195,508	)
Hormel Foods Corp.		(2,819	)		(122,232	)
Iron Mountain, Inc.		(4,265	)		(151,066	)
KAR Auction Services, Inc.		(2,156	)		(101,655	)
Kohl’s Corp.		(1,993	)		(134,587	)
Landstar System, Inc.		(1,565	)		(170,084	)
LivaNova PLC (2)		(1,285	)		(119,762	)
Mercury Systems, Inc. (2)		(2,095	)		(133,074	)
Merit Medical Systems, Inc. (2)		(2,120	)		(118,148	)
Motorola Solutions, Inc.		(1,630	)		(233,286	)
Murphy USA, Inc. (2)		(1,610	)		(125,210	)
Nuance Communications, Inc. (2)		(12,130	)		(203,420	)
Omnicom Group, Inc.		(1,605	)		(121,498	)
PACCAR, Inc.		(4,245	)		(287,811	)
Qualys, Inc. (2)		(1,145	)		(95,756	)
Realogy Holdings Corp.		(4,895	)		(66,572	)
Robert Half International, Inc.		(2,131	)		(145,313	)
Rockwell Automation, Inc.		(880	)		(157,133	)
SiteOne Landscape Supply, Inc. (2)		(1,153	)		(61,928	)

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

31

February 28, 2019 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares			Value
Securities Sold Short (continued)
Common Stocks Sold Short (continued)
United States (continued)
Target Corp.		(1,705	)	$	(123,851	)
Texas Roadhouse, Inc.		(2,010	)		(127,253	)
UMB Financial Corp.		(3,165	)		(217,784	)
VF Corp.		(3,315	)		(289,598	)
Wabtec Corp.		(1,392	)		(101,978	)
Walgreens Boots Alliance, Inc.		(2,900	)		(206,451	)
WR Berkley Corp.		(2,430	)		(203,294	)
					(6,467,760	)
Total Securities Sold Short (proceeds $(8,216,427))				$	(8,286,579	)

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Aerospace/Defense	$	344,964		0.6	%
Agriculture		496,609		0.8
Airlines		431,659		0.7
Apparel		717,406		1.1
Auto Manufacturers		59,667		0.1
Auto Parts & Equipment		159,031		0.3
Banks		1,037,611		1.6
Beverages		401,668		0.6
Biotechnology		264,266		0.4
Building Materials		156,926		0.3
Chemicals		1,182,784		1.9
Coal		151,269		0.2
Commercial Services		1,135,137		1.8
Computers		467,087		0.7
Cosmetics/Personal Care		335,791		0.5
Distribution/Wholesale		496,854		0.8
Diversified Financial Services		290,193		0.5
Electric		609,963		1.0
Electrical Components & Equipment		39,186		0.1
Electronics		570,299		0.9
Energy-Alternate Sources		213,991		0.3
Engineering & Construction		81,645		0.1
Entertainment		230,271		0.4
Environmental Control		251,260		0.4
Food		1,340,261		2.1
Forest Products & Paper		202,673		0.3
Healthcare-Products		1,441,130		2.3
Healthcare-Services		534,698		0.8
Holding Companies-Diversified		18,651		0.0
Insurance		723,734		1.1
Internet		463,066		0.7
Machinery-Diversified		193,079		0.3
Media		114,933		0.2
Mining		380,624		0.6
Miscellaneous Manufacturing		970,563		1.5
Oil & Gas		185,389		0.3
Packaging & Containers		23,824		0.0
Pharmaceuticals		1,030,451		1.6
Real Estate		42,477		0.1
Real Estate Investment Trusts		909,121		1.4
Retail		241,737		0.4
Semiconductors		599,814		1.0
Shipbuilding		129,206		0.2
Software		937,279		1.5

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Telecommunications	$	958,133			1.5	%
Transportation		750,616			1.2
Total Common Stocks Purchased Long		22,316,996			35.2
Short-Term Investments		41,551,062			65.6
Total Investments		63,868,058			100.8
Other Assets and Liabilities		7,798,485			12.3
Securities Sold Short (see below)		(8,286,579	)		(13.1	)
Total Net Assets	$	63,379,964			100.0	%
Securities Sold Short
Advertising	$	(121,498	)		(0.2	)%
Apparel		(420,505	)		(0.7	)
Auto Manufacturers		(587,518	)		(0.9	)
Auto Parts & Equipment		(105,211	)		(0.2	)
Banks		(712,535	)		(1.1	)
Beverages		(64,112	)		(0.1	)
Biotechnology		(218,200	)		(0.3	)
Chemicals		(126,484	)		(0.2	)
Commercial Services		(223,587	)		(0.4	)
Computers		(423,624	)		(0.7	)
Cosmetics/Personal Care		(185,189	)		(0.3	)
Distribution/Wholesale		(285,999	)		(0.5	)
Electrical Components & Equipment		(76,226	)		(0.1	)
Energy-Alternate Sources		(116,772	)		(0.2	)
Entertainment		(137,826	)		(0.2	)
Food		(122,232	)		(0.2	)
Healthcare-Products		(349,267	)		(0.6	)
Healthcare-Services		(148,344	)		(0.2	)
Insurance		(203,294	)		(0.3	)
Internet		(140,397	)		(0.2	)
Machinery-Construction & Mining		(62,945	)		(0.1	)
Machinery-Diversified		(259,111	)		(0.4	)
Miscellaneous Manufacturing		(131,527	)		(0.2	)
Oil & Gas		(125,210	)		(0.2	)
Pharmaceuticals		(521,232	)		(0.8	)
Real Estate		(66,572	)		(0.1	)
Real Estate Investment Trusts		(151,066	)		(0.2	)
Retail		(1,344,724	)		(2.1	)
Software		(203,420	)		(0.3	)
Telecommunications		(361,328	)		(0.6	)
Transportation		(290,624	)		(0.5	)
Total Securities Sold Short	$	(8,286,579	)		(13.1	)%

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

32

BMO Funds

At February 28, 2018, the Alternative Strategies Fund had outstanding futures contracts as set forth below:

Expiration Date	Number of Contracts	Description	Notional Amount	Value at 2/28/19	Unrealized Appreciation (Depreciation)
Long Futures
Bond Futures
March 2019	12	SFE 10-Year Australian Bond	$1,118,391	$1,149,252	$	30,862
Index Futures
March 2019	8	CME E-Mini S&P 500® Index	1,068,609	1,113,880		45,271
March 2019	26	Eurex Euro STOXX 50 Index	955,688	975,340		19,652
March 2019	6	CME E-Mini NASDAQ 100 Index	844,957	852,300		7,343
March 2019	2	OSE Nikkei 225 Index	384,168	383,798		(371)
March 2019	9	CAC 40 10 Euro	523,159	536,319		13,160
March 2019	5	HKG Hang Seng Index	915,097	912,959		(2,138)
March 2019	7	CBOT E-Mini DJIA Index	858,605	906,955		48,350
Interest Rate Futures
March 2019	4	Eurex 10-Year Euro BUND	752,862	752,127		(735)
June 2020	132	CME 3-Month Eurodollar	32,165,073	32,168,400		3,327
June 2020	66	LIFFE 3-Month Euro Euribor	18,784,880	18,798,882		13,999
June 2020	99	LIFFE 90-Day Sterling	16,235,123	16,230,566		(4,555)
March 2019	6	Euro OAT French Bond	1,037,354	1,043,496		6,142
June 2019	6	LIFFE 10-Year Gilt Government Bond	1,012,665	1,001,049		(11,616)
International Bonds
June 2019	12	Canadian Government Bond	1,243,176	1,237,524		(5,652)
U.S. Government & U.S. Government Agency Obligations
June 2019	32	United States Treasury Bond	4,665,109	4,623,000		(42,109)
Short Futures
Bond Futures
June 2019	15	United States Treasury Note	(1,839,984)	(1,830,000)		9,984
June 2019	11	United States Treasury Note	(2,336,555)	(2,334,149)		2,406
June 2019	5	United States Treasury Note	(651,719)	(647,266)		4,453
Index Futures
March 2019	2	TSE TOPIX Index	(282,183)	(288,162)		(5,979)
March 2019	4	Russell 2000 Mini Index	(305,822)	(315,100)		(9,278)
March 2019	8	LIFFE FTSE 100 Index	(731,540)	(750,767)		(19,227)
March 2019	3	DAX Index	(955,479)	(982,756)		(27,277)
Interest Rate Futures
December 2019	180	CME 3-Month Eurodollar	(43,811,300)	(43,812,000)		(700)
March 2019	2	Euro-BUXL 30 Year German Government Bond	(414,987)	(418,672)		(3,685)
December 2023	165	LIFFE 3-Month Euro Euribor	(46,605,339)	(46,607,771)		(2,417)
Total Futures Contracts			$(15,369,992)	$(15,300,796)	$	69,210

At February 28, 2018, the Alternative Strategies Fund had outstanding forward foreign currency exchange contracts as set forth below:

		Contract Amount								Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell			Value						Counterparty
March 15, 2019	South Korean Won	KRW	264,943,600	$	(236,230	)	$	235,637		$	(593	)	BNP Paribas, N.A.
March 15, 2019	South Korean Won	$	234,521	KRW	(264,943,600	)		(235,637	)		(1,115	)	Barclays Bank PLC
March 22, 2019	Australian Dollar	AUD	2,626,000	$	(1,888,325	)		1,863,368			(24,957	)	Bank of America
March 22, 2019	Australian Dollar	$	3,331,252	AUD	(4,637,000	)		(3,290,341	)		40,913		Bank of America
March 22, 2019	Canadian Dollar	CAD	1,785,000	$	(1,346,131	)		1,357,134			11,000		Bank of America
March 22, 2019	Canadian Dollar	$	2,854,000	CAD	(3,792,000	)		(2,883,053	)		(29,049	)	Bank of America
March 22, 2019	Euro Currency	EUR	1,167,000	$	(1,337,210	)		1,329,413			(7,791	)	Bank of America
March 22, 2019	Euro Currency	$	4,167,926	EUR	(3,642,000	)		(4,148,864	)		19,064		Bank of America
March 22, 2019	Japanese Yen	JPY	403,052,000	$	(3,677,383	)		3,621,092			(56,293	)	Bank of America
March 22, 2019	Japanese Yen	$	5,000,437	JPY	(557,683,000	)		(5,010,324	)		(9,888	)	Bank of America
March 22, 2019	Mexican Peso (new)	MXN	18,837,000	$	(970,777	)		974,188			3,411		Bank of America
March 22, 2019	Mexican Peso (new)	$	425,349	MXN	(8,687,000	)		(449,264	)		(23,916	)	Bank of America
March 22, 2019	New Zealand Dollar	NZD	3,144,000	$	(2,143,188	)		2,141,887			(1,311	)	Bank of America
March 22, 2019	New Zealand Dollar	$	1,229,739	NZD	(1,802,000	)		(1,227,633	)		2,106		Bank of America
March 22, 2019	Pound Sterling	GBP	2,275,000	$	(2,967,376	)		3,020,245			52,869		Bank of America
March 22, 2019	Pound Sterling	$	3,163,664	GBP	(2,471,000	)		(3,280,450	)		(116,787	)	Bank of America

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

33

February 28, 2019 (Unaudited)

Schedules of Investments

		Contract Amount								Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell			Value						Counterparty
March 22, 2019	Swiss Franc	CHF	471,000	$	(476,287	)	$	472,726		$	(3,560	)	Bank of America
March 22, 2019	Swiss Franc	$	1,683,554	CHF	(1,658,000	)		(1,664,068	)		19,489		Bank of America
May 22, 2019	Canadian Dollar	$	510,000	CAD	(670,932	)		(510,569	)		(569	)	Barclays Bank PLC
May 22, 2019	Canadian Dollar	$	2,923,000	CAD	(3,833,251	)		(2,917,047	)		5,953		Societe Generale
May 22, 2019	Euro Currency	EUR	602,000	$	(689,049	)		689,490			441		BNP Paribas, N.A.
May 22, 2019	Euro Currency	EUR	751,000	$	(857,404	)		860,144			2,740		BNP Paribas, N.A.
May 22, 2019	Euro Currency	EUR	3,619,000	$	4,125,107			4,144,957			(19,850	)	Societe Generale
May 22, 2019	Euro Currency	$	687,204	EUR	(602,000	)		(689,490	)		(2,286	)	Barclays Bank PLC
May 22, 2019	Japanese Yen	JPY	55,149,088	$	(502,000	)		498,174			(3,826	)	Barclays Bank PLC
May 22, 2019	Polish Zloty	PLN	15,751,517	$	(4,125,107	)		4,176,479			51,371		Societe Generale
May 22, 2019	Turkish Lira	TRY	327,403	$	(59,000	)		58,605			(395	)	Societe Generale
										$	(92,829	)

At February 28, 2019, the Alternative Strategies Fund had outstanding total return swap agreements as set forth below:

Swap Counterparty	Index	Pay/Receive Total Return of Referenced Index	Floating Rate	Payment Frequency	Maturity Date		Notional Amount		Value at November 30, 2018		Upfront Payment Paid		Unrealized Appreciation (Depreciation)
JPMorgan Chase & Co.	+	Pay	1 Month USD LIBOR plus 0.23%	Monthly		03/6/2020	$	10,265,612	$	(307,710)	$	—	$	(307,710)
JPMorgan Chase & Co.	++	Receive	1 Month USD LIBOR plus 0.15%	Monthly		03/14/2020		4,014,225		127,254		—		127,254
JPMorgan Chase & Co.	+++	Receive	1 Month USD LIBOR plus 0.15%	Monthly		03/6/2020		10,272,666		(150,975)		—		(150,975)
Bank of America Merrill Lynch	MLEIFCLS	Pay	1 Month USD LIBOR plus	Monthly		09/06/2019		9,036,437		(126,345)				(126,345)
									$	(457,776)	$	—	$	(457,776)

+ BMO Alternative Strategies Global Market Neutral Long Index

++ BMO Alternative Strategies Global Short Index

+++ BMO Alternative Strategies Global Market Neutral Short Index

The following table represents the equity basket holdings underlying the total return swap with BMO Alternative Strategies Global Market Neutral Long Index as of February 28, 2019:

Security Description	Shares		Value		Index Weight
BMO Alternative Strategies Global Market Neutral Long Index
ADT, Inc.		2,944	$	23,554		0.25	%
AerCap Holdings NV		765		34,545		0.37
AES Corp.		1,592		27,437		0.29
AGC, Inc.		1,109		38,460		0.41
AGCO Corp.		771		52,120		0.56
Air Canada		512		12,878		0.14
Alliance Data Systems Corp.		359		62,040		0.66
Ally Financial, Inc.		1,309		35,457		0.38
Altium Ltd.		1,449		34,014		0.36
Altri SGPS SA		7,850		64,179		0.68

Security Description	Shares		Value		Index Weight
American Eagle Outfitters, Inc.		465	$	9,494		0.10	%
Arcs Co., Ltd.		978		22,707		0.24
Asseco Poland SA		2,081		29,240		0.31
Assertio Therapeutics, Inc.		2,070		8,568		0.09
ASTM SpA		1,300		34,115		0.36
AT&S Austria Technologie & Systemtechnik		2,839		52,364		0.56
Atkore International Group, Inc.		1,935		44,688		0.48
AU Optronics Corp.		36,794		13,569		0.14
Avis Budget Group, Inc.		966		34,596		0.37
Bando Chemical Industries Ltd.		1,273		13,485		0.14

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

34

BMO Funds

Security Description	Shares		Value		Index Weight
BMO Alternative Strategies Global Market Neutral Long Index (Continued)
BASF SE		1,154	$	88,048		0.94	%
BE Semiconductor Industries NV		2,714		67,988		0.72
Boston Properties, Inc.		701		93,040		0.99
Bukit Asam Tbk PT		54,276		15,356		0.16
Burlington Stores, Inc.		410		69,621		0.74
Cadence Design Systems, Inc.		3,830		219,258		2.34
CAE, Inc.		1,247		26,272		0.28
Canfor Corp.		5,140		55,185		0.59
Capital One Financial Corp.		760		63,492		0.68
Cementir Holding SpA		2,046		14,259		0.15
Central Pacific Financial Corp.		3,197		93,302		1.00
China Resources Cement Holdings Ltd.		11,918		12,692		0.14
CI Takiron Corp.		1,901		10,757		0.11
Ciech SA		1,174		18,492		0.20
Citigroup, Inc.		1,226		78,445		0.84
Cogeco, Inc.		249		13,814		0.15
Comfort Systems USA, Inc.		481		25,807		0.28
ComfortDelGro Corp., Ltd.		48,616		85,992		0.92
Cooper-Standard Holdings, Inc.		203		12,220		0.13
Copa Holdings SA		249		21,954		0.23
Covestro AG		918		52,419		0.56
CTT-Correios de Portugal SA		6,558		20,700		0.22
Daiichikosho Co Ltd.		264		13,035		0.14
Daiwa Securities Group, Inc.		15,771		80,117		0.85
DB HiTek Co., Ltd.		985		10,907		0.12
Detour Gold Corp.		4,198		42,462		0.45
DNO ASA		21,178		45,112		0.48
Dollar General Corp.		396		46,915		0.50
DSW, Inc.		968		28,663		0.31
Emergent BioSolutions, Inc.		757		44,147		0.47
Enerflex Ltd.		4,577		69,512		0.74
Entegris, Inc.		381		13,469		0.14
Equinor ASA		964		21,691		0.23
Equitable Group, Inc.		877		46,617		0.50
Eramet		273		16,413		0.17
Essent Group Ltd.		3,393		146,358		1.56
Essex Property Trust, Inc.		698		195,432		2.08
Eutelsat Communications SA		1,700		33,601		0.36
Evercore, Inc.		257		23,680		0.25
Evolent Health, Inc.		542		7,148		0.08
F5 Networks, Inc.		489		82,263		0.88
Fabrinet		1,020		59,694		0.64
FedNat Holding Co.		1,264		23,068		0.25
Ferrexpo PLC		20,000		69,138		0.74
Fiat Chrysler Automobiles NV		1,559		23,050		0.25
Finnair OYJ		1,364		12,709		0.14
Fortescue Metals Group Ltd.		12,051		51,957		0.55
Fortinet, Inc.		917		79,629		0.85
FTI Consulting, Inc.		649		48,137		0.51
Fujitsu Ltd.		228		15,412		0.16
Fukuda Corp.		332		12,956		0.14
Genomic Health, Inc.		734		55,777		0.59
Genting Singapore Ltd.		27,326		20,628		0.22
Glaukos Corp.		137		10,164		0.11
Globus Medical, Inc.		739		35,959		0.38
Haemonetics Corp.		248		21,515		0.23
HealthStream, Inc.		1,685		46,833		0.50
Hibbett Sports, Inc.		584		10,835		0.12
Hitachi Ltd.		2,397		71,823		0.77
HMS Holdings Corp.		316		10,884		0.12
Honda Motor Co., Ltd.		684		19,373		0.21
Host Hotels & Resorts, Inc.		4,595		90,105		0.96

Security Description	Shares		Value		Index Weight
Hudbay Minerals, Inc.		5,326	$	35,788		0.38	%
Huntington Ingalls Industries, Inc.		505		105,679		1.13
Husky Energy, Inc.		3,218		35,746		0.38
IGG, Inc.		20,683		29,405		0.31
Inogen, Inc.		143		15,364		0.16
Insight Enterprises, Inc.		2,120		118,362		1.26
Integer Holdings Corp.		131		11,918		0.13
Interfor Corp.		3,386		38,075		0.41
International Consolidated Airlines Group		7,157		57,025		0.61
Israel Corp., Ltd.		148		41,689		0.44
J-Oil Mills, Inc.		377		13,435		0.14
JTEKT Corp.		5,362		66,477		0.71
JVC Kenwood Corp.		15,862		39,043		0.42
Kaga Electronics Co., Ltd.		731		14,079		0.15
KAR Auction Services, Inc.		1,063		50,143		0.53
KDDI Corp.		3,006		72,594		0.77
Kerry Properties Ltd.		9,831		41,078		0.44
Kohl’s Corp.		773		52,181		0.56
Komori Corp.		3,101		33,681		0.36
Koninklijke Ahold Delhaize NV		2,379		61,429		0.65
Koninklijke Volkerwessels NV		1,060		22,025		0.23
Kraton Corp.		1,457		51,857		0.55
Kroger Co.		467		13,691		0.15
Kurabo Industries Ltd.		927		18,906		0.20
Lantheus Holdings, Inc.		515		11,775		0.13
Legal & General Group PLC		57,011		212,781		2.26
Leopalace21 Corp.		14,888		32,232		0.34
Leroy Seafood Group ASA		10,462		78,957		0.84
Lotte Chemical Corp.		57		16,052		0.17
Luminex Corp.		1,192		30,361		0.32
Mammoth Energy Services, Inc.		429		9,856		0.11
Marlin Business Services Corp.		1,012		23,819		0.25
Masco Corp.		4,244		159,396		1.70
Matrix Service Co.		2,123		44,353		0.47
Max Co Ltd.		889		12,476		0.13
Mebuki Financial Group, Inc.		24,666		66,696		0.71
Medical Facilities Corp.		873		10,942		0.12
Medpace Holdings, Inc.		1,797		98,752		1.05
Meet Group, Inc.		2,074		12,445		0.13
Methanex Corp.		685		38,545		0.41
Mitsuboshi Belting Ltd.		854		16,285		0.17
Mitsui Sugar Co., Ltd.		1,419		36,615		0.39
Moneysupermarket.com Group PLC		27,642		126,736		1.35
Myriad Genetics, Inc.		327		10,148		0.11
NEC Corp.		405		13,524		0.14
NetApp, Inc.		1,438		93,740		1.00
Nippon Road Co., Ltd.		346		20,682		0.22
Nobina AB		1,419		9,860		0.11
Northrim BanCorp, Inc.		418		15,687		0.17
NS United Kaiun Kaisha Ltd.		1,258		29,016		0.31
NTN Corp.		12,837		40,246		0.43
Oesterreichische Post AG		1,307		51,850		0.55
Oriflame Holding AG		850		17,394		0.19
ORIX Corp.		2,532		36,663		0.39
Orthofix Medical, Inc.		704		42,988		0.46
Oshkosh Corp.		2,012		156,516		1.67
Owens-Illinois, Inc.		9,162		182,504		1.95
Oyo Corp.		1,180		12,594		0.13
PBF Energy, Inc.		3,280		101,922		1.09
Persimmon PLC		2,282		73,851		0.79
Peugeot SA		6,637		168,983		1.80
Portland General Electric Co.		986		49,443		0.53
Quebecor, Inc.		2,826		68,612		0.73

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

35

February 28, 2019 (Unaudited)

Schedules of Investments

Security Description	Shares		Value		Index Weight
BMO Alternative Strategies Global Market Neutral Long Index (Continued)
Ramirent OYJ		6,986	$	47,652		0.51	%
Regions Financial Corp.		9,681		158,767		1.69
Rio Tinto PLC		1,277		73,654		0.78
Roche Holding AG		347		96,488		1.03
Samsung Electronics Co., Ltd.		765		30,678		0.33
Sandfire Resources NL		10,749		55,981		0.60
Scandinavian Tobacco Group A/S		3,488		46,100		0.49
Schaeffler AG		4,348		39,906		0.43
Semapa-Sociedade de Investimento e Gesta		797		13,924		0.15
ServiceMaster Global Holdings, Inc.		1,389		62,735		0.67
Shindengen Electric Manufacturing Co., Ltd.		1,099		41,747		0.45
SIAS		4,727		79,179		0.84
Signify NV		2,156		57,313		0.61
Siltronic AG		575		56,243		0.60
Silvercorp Metals, Inc.		4,227		10,977		0.12
Sinotruk Hong Kong Ltd.		14,529		26,431		0.28
SITC International Holdings Co., Ltd.		30,548		29,576		0.32
SK Hynix, Inc.		771		48,015		0.51
Sprouts Farmers Market, Inc.		713		16,628		0.18
SPS Commerce, Inc.		341		36,392		0.39
St Barbara Ltd.		11,853		37,695		0.40
Steel Dynamics, Inc.		2,285		85,278		0.91
SThree PLC		2,750		11,593		0.12
Stoneridge, Inc.		1,111		32,862		0.35
SunTrust Banks, Inc.		3,101		201,154		2.15
Supernus Pharmaceuticals, Inc.		460		18,796		0.20
Surmodics, Inc.		512		29,846		0.32

Security Description	Shares		Value		Index Weight
Synchrony Financial		1,832	$	59,731		0.64	%
Teck Resources Ltd.		2,645		59,219		0.63
Terex Corp.		1,609		54,044		0.58
Tianneng Power International Ltd.		18,466		18,090		0.19
Toyo Construction Co., Ltd.		5,978		24,541		0.26
Trinseo SA		1,242		62,335		0.66
UCB SA		142		11,873		0.13
Uni-President Enterprises Corp.		20,524		50,015		0.53
United Continental Holdings, Inc.		250		21,942		0.23
United Rentals, Inc.		265		35,699		0.38
Unum Group		1,904		71,136		0.76
US Concrete, Inc.		376		15,095		0.16
US Foods Holding Corp.		3,717		130,985		1.40
Vishay Intertechnology, Inc.		2,128		46,654		0.50
Vishay Precision Group, Inc.		487		16,985		0.18
W&T Offshore, Inc.		2,071		10,791		0.12
Waddell & Reed Financial, Inc.		1,629		30,158		0.32
Walker & Dunlop, Inc.		529		29,531		0.31
Wells Fargo & Co.		890		44,424		0.47
West China Cement Ltd.		106,604		16,025		0.17
West Fraser Timber Co., Ltd.		354		17,402		0.19
Westlake Chemical Corp.		844		58,955		0.63
Whitehaven Coal Ltd.		19,181		60,045		0.64
WW Grainger, Inc.		163		49,738		0.53
Xenia Hotels & Resorts, Inc.		1,002		19,565		0.21
Yanzhou Coal Mining Co., Ltd.		35,372		35,103		0.37
Yorozu Corp.		1,309		18,790		0.20
Yurtec Corp.		3,210		25,866		0.28
Total			$	9,379,125		100.00	%

The following table represents the equity basket holdings underlying the total return swap with BMO Alternative Strategies Global Short Index as of February 28, 2019:

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Short Index
Ain Holdings, Inc.		(763	)	$	(52,435	)		(0.57	)%
AIXTRON SE		(14,247	)		(127,481	)		(1.38	)
Albemarle Corp.		(2,241	)		(204,602	)		(2.22	)
Asahi Holdings, Inc.		(6,571	)		(131,685	)		(1.43	)
ASOS PLC		(3,545	)		(150,677	)		(1.63	)
BlackBerry Ltd.		(11,843	)		(102,875	)		(1.12	)
Brown-Forman Corp.		(863	)		(42,720	)		(0.46	)
Caverion OYJ		(5,248	)		(30,745	)		(0.33	)
Cellnex Telecom SA		(5,785	)		(141,012	)		(1.63	)
Chugoku Marine Paints Ltd.		(6,753	)		(61,331	)		(0.67	)
Daifuku Co., Ltd.		(4,409	)		(216,250	)		(2.35	)
Easterly Government Properties, Inc.		(13,438	)		(241,606	)		(2.62	)
Fugro NV		(9,667	)		(109,634	)		(1.19	)
Fuji Seal International, Inc.		(3,872	)		(145,027	)		(1.58	)
Funai Soken Holdings, Inc.		(5,621	)		(129,882	)		(1.41	)
Goldwin, Inc.		(454	)		(55,305	)		(0.60	)
GRENKE AG		(2,594	)		(264,942	)		(2.88	)
HarborOne Bancorp, Inc.		(4,785	)		(77,181	)		(0.84	)
Howard Bancorp, Inc.		(2,563	)		(34,011	)		(0.37	)
Huatai Securities Co., Ltd.		(128,350	)		(259,976	)		(2.82	)
JD.com, Inc.		(2,471	)		(68,475	)		(0.74	)
Just Eat PLC		(16,130	)		(160,137	)		(1.73	)
Kansai Paint Co., Ltd.		(12,918	)		(237,535	)		(2.58	)
Kawasaki Kisen Kaisha Ltd.		(17,831	)		(251,797	)		(2.73	)
Kose Corp.		(688	)		(111,395	)		(1.21	)
Kura Corp.		(948	)		(50,747	)		(0.55	)
Lilis Energy, Inc.		(47,808	)		(86,055	)		(0.93	)

Security Description	Shares			Value			Index Weight
M3, Inc.		(5,852	)	$	(97,051	)		(1.05	) %
Macerich Co.		(4,096	)		(178,580	)		(1.94	)
MISUMI Group, Inc.		(10,266	)		(249,076	)		(2.70	)
Money Forward, Inc.		(962	)		(32,016	)		(0.35	)
Nanosonics Ltd.		(22,476	)		(66,361	)		(0.72	)
Netflix, Inc.		(733	)		(262,447	)		(2.85	)
Nihon M&A Center, Inc.		(4,418	)		(111,522	)		(1.21	)
Nippon Paint Holdings Co., Ltd.		(6,205	)		(238,549	)		(2.59	)
Nippon Yusen KK		(15,220	)		(239,942	)		(2.61	)
Nitori Holdings Co., Ltd.		(1,470	)		(183,370	)		(1.99	)
Nordic Semiconductor ASA		(10,307	)		(43,897	)		(0.48	)
Northam Platinum Ltd.		(59,196	)		(232,784	)		(2.53	)
Northwest Pipe Co.		(2,481	)		(61,217	)		(0.66	)
Okta, Inc.		(2,915	)		(247,466	)		(2.69	)
Pacific Metals Co., Ltd.		(2,171	)		(55,395	)		(0.60	)
Pan Pacific International Holdings Corp.		(1,682	)		(100,345	)		(1.09	)
Park24 Co., Ltd.		(9,604	)		(230,703	)		(2.50	)
People’s United Financial Inc.		(5,991	)		(106,406	)		(1.16	)
Pinnacle Financial Partners, Inc.		(3,406	)		(199,891	)		(2.17	)
Prestige International, Inc.		(6,284	)		(73,323	)		(0.80	)
PROS Holdings, Inc.		(5,386	)		(229,424	)		(2.49	)
Republic First Bancorp, Inc.		(6,152	)		(181,286	)		(1.97	)
Republic First Bancorp, Inc.		(9,029	)		(57,786	)		(0.63	)
Senior Housing Properties Trust		(4,719	)		(61,107	)		(0.67	)
Serco Group PLC		(68,224	)		(117,333	)		(1.27	)
Shimano, Inc.		(228	)		(34,709	)		(0.38	)
SMS Co., Ltd.		(12,914	)		(228,759	)		(2.48	)
Sophos Group PLC		(26,127	)		(113,917	)		(1.23	)

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

36

BMO Funds

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Short Index (Continued)
Square, Inc.		(908	)	$	(73,749	)		(0.80	) %
St James’s Place PLC		(6,911	)		(89,392	)		(0.97	)
Takeaway.com NV		(1,108	)		(81,272	)		(0.88	)
TFS Financial Corp.		(2,875	)		(49,248	)		(0.53	)
TimkenSteel Corp.		(11,640	)		(145,030	)		(1.58	)
Toridoll Holdings Corp.		(5,233	)		(105,908	)		(1.15	)
Umicore SA		(4,830	)		(208,997	)		(2.27	)

Security Description	Shares			Value			Index Weight
Universal Display Corp.		(1,541	)	$	(229,918	)		(2.50	) %
Wallenstam AB		(9,242	)		(86,506	)		(0.94	)
Weir Group PLC		(12,787	)		(278,931	)		(3.02	)
Weyerhaeuser Co.		(3,071	)		(76,431	)		(0.83	)
Zalando SE		(4,678	)		(172,594	)		(1.87	)
Zur Rose Group AG		(299	)		(26,136	)		(0.28	)
Total				$	(9,204,292	)		(100.00	)%

The following table represents the equity basket holdings underlying the total return swap with BMO Alternative Strategies Global Market Neutral Short Index as of February 28, 2019:

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Market Neutral Short Index
2U, Inc.		(638	)	$	(47,032	)		(0.50	)%
a2 Milk Co., Ltd.		(2,854	)		(27,836	)		(0.29	)
AAON, Inc.		(2,383	)		(94,998	)		(1.00	)
AIA Group Ltd.		(10,465	)		(104,650	)		(1.11	)
Air Water, Inc.		(3,973	)		(63,385	)		(0.67	)
Alacer Gold Corp.		(8,329	)		(20,806	)		(0.22	)
Albemarle Corp.		(1,010	)		(92,219	)		(0.98	)
Allegheny Technologies, Inc.		(1,717	)		(49,162	)		(0.52	)
alstria office REIT-AG		(692	)		(10,483	)		(0.11	)
Alteryx, Inc.		(206	)		(15,705	)		(0.17	)
Ambu A/S		(1,154	)		(27,097	)		(0.29	)
AMG Advanced Metallurgical Group NV		(1,014	)		(39,343	)		(0.42	)
Amundi SA		(332	)		(22,201	)		(0.23	)
Analog Devices, Inc.		(1,010	)		(108,077	)		(1.14	)
Andersons, Inc.		(383	)		(14,164	)		(0.15	)
Anritsu Corp.		(916	)		(18,126	)		(0.19	)
AP Moller—Maersk A/S		(79	)		(106,135	)		(1.12	)
Apache Corp.		(1,187	)		(39,395	)		(0.42	)
Aqua America, Inc.		(2,254	)		(81,023	)		(0.86	)
Arbonia AG		(1,471	)		(17,075	)		(0.18	)
Ariake Japan Co., Ltd.		(682	)		(35,967	)		(0.38	)
Arrow Electronics, Inc.		(1,337	)		(106,551	)		(1.13	)
Asahi Holdings, Inc.		(1,801	)		(36,100	)		(0.38	)
Assa Abloy AB		(2,753	)		(56,978	)		(0.60	)
Astronics Corp.		(1,125	)		(40,462	)		(0.43	)
Athabasca Oil Corp.		(40,037	)		(28,880	)		(0.31	)
Atmos Energy Corp.		(480	)		(47,440	)		(0.50	)
Australia & New Zealand Banking Group, Ltd.		(4,006	)		(79,806	)		(0.84	)
Avnet, Inc.		(1,962	)		(85,329	)		(0.90	)
Bank of New York Mellon Corp.		(1,773	)		(93,060	)		(0.98	)
Blackline, Inc.		(209	)		(10,956	)		(0.12	)
boohoo Group PLC		(12,372	)		(28,832	)		(0.30	)
Capital & Counties Properties PLC		(20,257	)		(68,896	)		(0.73	)
Capstar Financial Holdings, Inc.		(586	)		(9,823	)		(0.10	)
Carolina Financial Corp.		(520	)		(19,058	)		(0.20	)
Chegg, Inc.		(958	)		(37,982	)		(0.40	)
Chorus Aviation, Inc.		(7,374	)		(42,331	)		(0.45	)
Chugoku Marine Paints Ltd.		(1,820	)		(16,526	)		(0.17	)
Clarus Corp.		(1,356	)		(16,520	)		(0.17	)
Clinigen Group Plc		(1,334	)		(16,972	)		(0.18	)
Coats Group PLC		(13,978	)		(16,472	)		(0.17	)
Cobham PLC		(49,461	)		(77,400	)		(0.82	)
Commonwealth Bank of Australia		(1,660	)		(87,330	)		(0.92	)
COMSYS Holdings Corp.		(2,384	)		(63,692	)		(0.67	)
Copart, Inc.		(838	)		(49,180	)		(0.52	)
Corning, Inc.		(3,322	)		(115,635	)		(1.22	)
Covetrus, Inc.		(516	)		(18,448	)		(0.20	)

Security Description	Shares			Value			Index Weight
Cray, Inc.		(4,542	)	$	(111,415	)		(1.18	) %
Credit Suisse Group AG		(2,517	)		(31,190	)		(0.33	)
Cubic Corp.		(362	)		(22,343	)		(0.24	)
DKSH Holding AG		(323	)		(18,959	)		(0.20	)
Duke Realty Corp.		(3,526	)		(104,260	)		(1.10	)
ECN Capital Corp.		(15,080	)		(46,488	)		(0.49	)
eHealth, Inc.		(670	)		(35,779	)		(0.38	)
Essentra PLC		(12,087	)		(60,577	)		(0.64	)
Euronav NV		(5,777	)		(45,851	)		(0.48	)
Europcar Mobility Group		(8,698	)		(74,577	)		(0.79	)
Everbridge, Inc.		(1,333	)		(94,257	)		(1.00	)
FANUC Corp.		(121	)		(20,093	)		(0.21	)
Farmer Brothers Co.		(397	)		(9,468	)		(0.10	)
Fastenal Co.		(902	)		(56,760	)		(0.60	)
Ferrari NV		(715	)		(92,181	)		(0.98	)
First Financial Bancorp		(3,421	)		(94,864	)		(1.00	)
First Hawaiian, Inc.		(3,246	)		(87,514	)		(0.93	)
First Horizon National Corp.		(994	)		(15,538	)		(0.16	)
First Republic Bank		(981	)		(102,943	)		(1.09	)
Fletcher Building Ltd.		(19,134	)		(63,763	)		(0.67	)
Fluidra SA		(2,382	)		(26,721	)		(0.28	)
FMC Corp.		(984	)		(76,337	)		(0.93	)
Forbo Holding AG		(58	)		(82,730	)		(0.87	)
Franco-Nevada Corp.		(414	)		(31,138	)		(0.33	)
FUCHS PETROLUB SE		(1,726	)		(77,251	)		(0.82	)
Fuji Seal International, Inc.		(2,323	)		(87,003	)		(0.92	)
Gartner, Inc.		(230	)		(32,695	)		(0.35	)
GEA Group AG		(919	)		(22,057	)		(0.23	)
Genuine Parts Co.		(719	)		(78,263	)		(0.83	)
Green Plains, Inc.		(1,293	)		(20,175	)		(0.21	)
GrubHub, Inc.		(119	)		(9,698	)		(0.10	)
Hanesbrands, Inc.		(1,832	)		(34,058	)		(0.36	)
HarborOne Bancorp, Inc.		(759	)		(12,242	)		(0.13	)
Haynes International, Inc.		(681	)		(23,965	)		(0.25	)
HCP, Inc.		(1,141	)		(35,094	)		(0.37	)
Healthcare Services Group, Inc.		(2,441	)		(93,193	)		(0.99	)
Helical PLC		(2,373	)		(10,733	)		(0.11	)
Henry Schein, Inc.		(1,289	)		(76,436	)		(0.81	)
Hilton Grand Vacations, Inc.		(622	)		(19,785	)		(0.21	)
Huber + Suhner AG		(125	)		(9,665	)		(0.10	)
Huhtamaki OYJ		(1,823	)		(66,078	)		(0.70	)
Hunting PLC		(5,813	)		(42,330	)		(0.46	)
Iliad SA		(206	)		(21,442	)		(0.23	)
IMCD NV		(944	)		(74,165	)		(0.78	)
Independence Group NL		(18,824	)		(65,355	)		(0.69	)
Instructure, Inc.		(2,409	)		(112,580	)		(1.19	)
Interactive Brokers Group, Inc.		(594	)		(32,812	)		(0.35	)
Intercontinental Exchange, Inc.		(126	)		(9,693	)		(0.10	)
International Flavors & Fragrances, Inc.		(122	)		(15,577	)		(0.16	)

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

37

February 28, 2019 (Unaudited)

Schedules of Investments

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Market Neutral Short Index (Continued)
ITE Group PLC		(15,883	)	$	(14,303	)		(0.15	) %
JCDecaux SA		(2,489	)		(76,817	)		(0.81	)
JCR Pharmaceuticals Co., Ltd.		(346	)		(19,188	)		(0.20	)
Jungheinrich AG		(1,348	)		(41,795	)		(0.44	)
Just Eat PLC		(1,164	)		(11,558	)		(0.12	)
K Wah International Holdings Ltd.		(42,797	)		(23,062	)		(0.24	)
Kobayashi Pharmaceutical Co., Ltd.		(1,415	)		(114,114	)		(1.21	)
Komatsu Ltd.		(1,926	)		(47,259	)		(0.50	)
Kratos Defense & Security Solutions, Inc.		(1,442	)		(24,790	)		(0.26	)
Labrador Iron Ore Royalty Corp.		(1,839	)		(45,826	)		(0.49	)
Lancashire Holdings Ltd.		(1,342	)		(11,826	)		(0.12	)
Leggett & Platt, Inc.		(511	)		(23,230	)		(0.25	)
Liquidity Services, Inc.		(1,636	)		(11,286	)		(0.12	)
LSB Industries, Inc.		(2,447	)		(17,252	)		(0.18	)
Lucara Diamond Corp.		(7,965	)		(9,979	)		(0.11	)
Macerich Co.		(1,578	)		(68,797	)		(0.73	)
Manulife Financial Corp.		(3,016	)		(50,923	)		(0.54	)
Martin Marietta Materials, Inc.		(101	)		(19,055	)		(0.20	)
MaxLinear, Inc.		(2,709	)		(68,102	)		(0.72	)
McDonald’s Corp.		(593	)		(109,087	)		(1.15	)
Mercury Systems, Inc.		(1,472	)		(93,508	)		(0.99	)
Mid-America Apartment Communities, Inc.		(414	)		(42,859	)		(0.45	)
Midland States Bancorp, Inc.		(1,712	)		(43,653	)		(0.46	)
Minth Group Ltd.		(17,836	)		(70,665	)		(0.75	)
Mitsubishi Motors Corp.		(5,187	)		(29,120	)		(0.31	)
Mitsui E&S Holdings Co., Ltd.		(1,559	)		(17,179	)		(0.18	)
Miura Co., Ltd.		(3,497	)		(80,110	)		(0.85	)
Mondelez International, Inc.		(857	)		(40,428	)		(0.43	)
Monro, Inc.		(409	)		(31,174	)		(0.33	)
Motorcar Parts of America, Inc.		(487	)		(10,086	)		(0.11	)
Nanosonics Ltd.		(22,198	)		(65,540	)		(0.69	)
Netflix, Inc.		(65	)		(23,362	)		(0.25	)
New York Community Bancorp, Inc.		(7,379	)		(92,316	)		(0.98	)
Nippon Paint Holdings Co., Ltd.		(980	)		(37,672	)		(0.40	)
NMC Health PLC		(666	)		(23,971	)		(0.25	)
Northwest Pipe Co.		(931	)		(22,970	)		(0.24	)
NOW, Inc.		(1,591	)		(22,956	)		(0.24	)
Nutanix, Inc.		(524	)		(26,250	)		(0.28	)
Ocado Group PLC		(3,925	)		(54,002	)		(0.57	)
Okamoto Industries, Inc.		(558	)		(29,178	)		(0.31	)
Okta, Inc.		(637	)		(54,063	)		(0.57	)
Oriental Land Co., Ltd.		(275	)		(30,167	)		(0.32	)
Origin Energy Ltd.		(3,208	)		(16,800	)		(0.18	)
Pacific Premier Bancorp, Inc.		(1,155	)		(34,483	)		(0.36	)
PDF Solutions, Inc.		(2,830	)		(33,705	)		(0.36	)
Penske Automotive Group, Inc.		(225	)		(9,999	)		(0.11	)
People’s United Financial, Inc.		(2,761	)		(49,038	)		(0.52	)
PerkinElmer, Inc.		(1,107	)		(104,251	)		(1.10	)
Persol Holdings Co., Ltd.		(4,351	)		(74,570	)		(0.79	)
Pinnacle Financial Partners, Inc.		(845	)		(49,612	)		(0.52	)
PJT Partners, Inc.		(486	)		(22,454	)		(0.24	)
PRA Group, Inc.		(1,151	)		(37,058	)		(0.39	)

Security Description	Shares			Value			Index Weight
PRA Health Sciences, Inc.		(402	)	$	(43,020	)		(0.46	) %
Prestige International, Inc.		(2,590	)		(30,224	)		(0.32	)
PROS Holdings, Inc.		(2,557	)		(108,932	)		(1.15	)
Puma SE		(51	)		(28,835	)		(0.30	)
QBE Insurance Group Ltd.		(5,778	)		(50,769	)		(0.54	)
R1 RCM, Inc.		(1,897	)		(18,764	)		(0.20	)
Radware Ltd.		(1,723	)		(43,267	)		(0.46	)
Reliance Worldwide Corp Ltd.		(11,428	)		(36,667	)		(0.39	)
Remy Cointreau SA		(560	)		(73,050	)		(0.77	)
Republic First Bancorp, Inc.		(2,381	)		(15,237	)		(0.16	)
Restaurant Brands International, Inc.		(168	)		(10,590	)		(0.11	)
Roper Technologies, Inc.		(76	)		(24,701	)		(0.26	)
RWS Holdings PLC		(1,988	)		(12,483	)		(0.13	)
Savaria Corp.		(1,634	)		(16,609	)		(0.18	)
Schoeller-Bleckmann Oilfield		(518	)		(40,167	)		(0.42	)
Serco Group PLC		(60,738	)		(104,458	)		(1.10	)
Shin-Etsu Chemical Co., Ltd.		(171	)		(14,200	)		(0.15	)
SHO-BOND Holdings Co., Ltd.		(1,297	)		(92,834	)		(0.98	)
Shopify, Inc.		(338	)		(64,028	)		(0.68	)
Singapore Telecommunications Ltd.		(38,541	)		(86,142	)		(0.91	)
SNC-Lavalin Group, Inc.		(807	)		(22,287	)		(0.24	)
SOITEC		(211	)		(16,866	)		(0.18	)
Solutions 30 SE		(726	)		(9,022	)		(0.10	)
Sony Financial Holdings, Inc.		(4,702	)		(88,913	)		(0.94	)
Sophos Group PLC		(6,247	)		(27,237	)		(0.29	)
Square, Inc.		(475	)		(38,584	)		(0.41	)
Sun Hydraulics Corp.		(775	)		(36,861	)		(0.39	)
SVB Financial Group		(387	)		(95,564	)		(1.01	)
Switch, Inc.		(4,008	)		(34,585	)		(0.37	)
Symrise AG		(509	)		(44,880	)		(0.47	)
Tadano Ltd.		(907	)		(9,463	)		(0.10	)
Takeaway.com NV		(524	)		(38,459	)		(0.41	)
Ted Baker PLC		(2,519	)		(61,184	)		(0.65	)
Tesla, Inc.		(60	)		(19,324	)		(0.20	)
TFS Financial Corp.		(2,525	)		(43,255	)		(0.46	)
TimkenSteel Corp.		(6,837	)		(85,187	)		(0.90	)
TOTO Ltd.		(1,910	)		(72,305	)		(0.76	)
UMH Properties, Inc.		(2,410	)		(32,972	)		(0.35	)
Union Bankshares Corp.		(377	)		(13,423	)		(0.14	)
United Parcel Service, Inc.		(508	)		(56,005	)		(0.59	)
Ventas, Inc.		(1,246	)		(78,196	)		(0.83	)
Vicor Corp.		(1,253	)		(39,817	)		(0.42	)
Vivendi SA		(1,262	)		(36,939	)		(0.39	)
Vulcan Materials Co.		(842	)		(93,844	)		(0.99	)
Wallenstam AB		(4,780	)		(44,745	)		(0.47	)
Weir Group PLC		(4,944	)		(107,850	)		(1.14	)
Western Forest Products, Inc.		(13,622	)		(18,825	)		(0.20	)
Weyerhaeuser Co.		(2,389	)		(59,454	)		(0.63	)
Wheaton Precious Metals Corp.		(2,240	)		(48,684	)		(0.52	)
Willis Towers Watson PLC		(456	)		(78,384	)		(0.83	)
Yara International ASA		(1,756	)		(74,005	)		(0.78	)
Zeon Corp.		(2,871	)		(29,297	)		(0.31	)
				$	(9,446,470	)		(100.00	)%

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

38

BMO Funds

Security Description	Shares		Value		Index Weight
BMO Global Equity Market Neutral Strategy Long Index
Abbott Laboratories		318	$	24,683		0.26	%
ABIOMED Inc		54		18,063		0.19
Acuity Brands Inc		144		18,737		0.20
Advance Auto Parts Inc		348		56,299		0.60
Aena SME SA		1,722		307,224		3.29
AEON Co Ltd		1,169		24,622		0.26
AerCap Holdings NV		2,835		127,972		1.37
AGC Inc		834		28,902		0.31
Agnico Eagle Mines Limited		1,841		78,198		0.84
Aisin Seiki Co Ltd		884		34,484		0.37
Akamai Technologies Inc		1,069		74,467		0.80
Alfresa Holdings Corporation		1,024		29,621		0.32
Allergan plc		2,288		315,080		3.37
Alliance Data Systems Corporation		291		50,343		0.54
AMERCO		80		30,726		0.33
Amgen Inc		1,188		225,815		2.42
ANA Holdings Inc		1,575		58,428		0.63
Anglo American plc		5,162		137,167		1.47
Annaly Capital Management Inc		7,898		80,007		0.86
Antero Resources Corporation		3,992		34,571		0.37
Anthem Inc		857		257,726		2.76
AP Moller—Maersk AS Class B		71		95,652		1.02
Arch Capital Group Ltd		1,601		52,305		0.56
Archer-Daniels-Midland Company		2,402		102,085		1.09
Arrow Electronics Inc		803		63,999		0.68
Astellas Pharma Inc		2,207		34,051		0.36
AT&T Inc		4,772		148,505		1.59
Atlantia SpA		2,449		59,538		0.64
Aurizon Holdings Ltd		17,593		56,412		0.60
Automatic Data Processing Inc		577		88,298		0.95
Ball Corporation		897		49,138		0.53
Baloise-Holding AG		245		40,015		0.43
BANDAI NAMCO Holdings Inc		588		25,023		0.27
Bank Leumi Le-Israel Ltd		34		22,487		0.24
Bayerische Motoren Werke AG		976		82,392		0.88
BB&T Corporation		2,231		113,714		1.22
BCE Inc		707		31,398		0.34
Becton Dickinson and Company		206		51,251		0.55
Berkeley Group Holdings plc		614		32,167		0.34
Biogen Inc		301		98,731		1.06
Boliden AB		6,564		179,567		1.92
Boston Scientific Corporation		635		25,476		0.27
Broadcom Inc		263		72,420		0.77
Canadian Natural Resources Limited		3,718		105,471		1.13
Canon Inc		3,530		101,447		1.09
CapitaLand Mall Trust		15,557		27,618		0.30
Capri Holdings Limited		2,253		102,737		1.10
Casino Guichard-Perrachon SA		1,213		64,124		0.69
Centene Corporation		2,891		176,033		1.88
Central Japan Railway Company		1,391		311,898		3.34
CenturyLink Inc		8,562		112,933		1.21
Chipotle Mexican Grill Inc		52		31,592		0.34
Chr Hansen Holding AS		439		44,705		0.48
Church & Dwight Co Inc		918		60,404		0.65
CK Hutchison Holdings Ltd		17,547		186,760		2.00
CK Infrastructure Holdings Limited		3,311		27,606		0.30
Clorox Company		572		90,393		0.97
CLP Holdings Limited		7,795		92,349		0.99
Coca-Cola European Partners Plc		2,223		104,792		1.12
Cognizant Technology Solutions Corporati		1,099		78,007		0.83
Comcast Corporation Class A		6,962		269,221		2.88

Security Description	Shares		Value		Index Weight
Compagnie Generale des Etablissements Mi		1,195	$	143,357		1.53	%
Consolidated Edison Inc		1,206		99,435		1.06
Corning Inc		3,777		131,477		1.41
CoStar Group Inc		61		27,909		0.30
CSX Corporation		533		38,733		0.41
Cummins Inc		284		43,762		0.47
Dai Nippon Printing Co Ltd		6,379		147,644		1.58
Daito Trust Construction Co Ltd		176		24,389		0.26
Daiwa House REIT Investment Corporation		8		17,841		0.19
Darden Restaurants Inc		611		68,499		0.73
Dassault Aviation SA		20		33,658		0.36
Dassault Systemes SA		603		88,212		0.94
Delivery Hero SE		490		18,922		0.20
Dell Technologies Inc Class C		4,003		223,447		2.39
Delta Air Lines Inc		4,691		232,580		2.49
Deutsche Lufthansa AG		9,659		247,233		2.65
Deutsche Telekom AG		18,264		301,655		3.23
DexCom Inc		156		21,735		0.23
Discovery Inc Class A		1,844		53,292		0.57
DR Horton Inc		1,536		59,735		0.64
Dufry AG		668		67,737		0.73
Duke Energy Corporation		1,426		127,855		1.37
DXC Technology Co		446		29,374		0.31
Eisai Co Ltd		945		78,012		0.83
Eli Lilly and Company		334		42,181		0.45
Elisa Oyj Class A		478		20,051		0.21
Empire Co Ltd Class A		1,144		26,540		0.28
Enagas SA		2,760		78,617		0.84
Eni SpA		1,477		25,471		0.27
EOG Resources Inc		244		22,936		0.25
Etablissementen Franz Colruyt NV		383		27,306		0.29
Eutelsat Communications SA		1,551		30,617		0.33
Everest Re Group Ltd		212		47,935		0.51
Exelon Corporation		1,010		49,076		0.53
Exxon Mobil Corporation		992		78,398		0.84
F5 Networks Inc		1,103		185,458		1.98
FamilyMart UNY Holdings Co Ltd		2,456		70,009		0.75
Fifth Third Bancorp		1,594		43,963		0.47
FLIR Systems Inc		383		19,705		0.21
Ford Motor Company		44,277		388,309		4.16
Fortescue Metals Group Ltd		12,744		54,786		0.59
Fortinet Inc		1,872		162,471		1.74
Franco-Nevada Corporation		927		69,745		0.75
Freeport-McMoRan Inc		2,167		27,954		0.30
Fuji Electric Co Ltd		4,217		132,511		1.42
FUJIFILM Holdings Corp		2,550		114,263		1.22
General Mills Inc		811		38,222		0.41
General Motors Company		3,059		120,769		1.29
George Weston Limited		308		21,925		0.23
Gilead Sciences Inc		1,425		92,654		0.99
Golden Agri-Resources Ltd		138,967		28,268		0.30
Goodyear Tire & Rubber Company		3,806		75,283		0.81
H Lundbeck AS		839		38,359		0.41
Hankyu Hanshin Holdings Inc		487		17,664		0.19
Harley-Davidson Inc		1,089		40,424		0.43
Hermes International SCA		68		43,053		0.46
Hewlett Packard Enterprise Co		6,095		99,836		1.07
Hitachi Construction Machinery Co Ltd		4,096		102,195		1.09
HitachiLtd		757		22,666		0.24
HKT Trust and HKT Ltd		18,322		28,615		0.31
HollyFrontier Corporation		310		15,872		0.17

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

39

February 28, 2019 (Unaudited)

Schedules of Investments

Security Description	Shares		Value		Index Weight
BMO Global Equity Market Neutral Strategy Long Index (Continued)
Honda Motor Co Ltd		8,320	$	235,520		2.52	%
Hormel Foods Corporation		518		22,460		0.24
Humana Inc		66		18,813		0.20
Husky Energy Inc		4,389		48,730		0.52
IACInterActiveCorp		100		21,305		0.23
IHI Corporation		1,041		27,440		0.29
Imperial Oil Limited		1,710		46,238		0.49
Intact Financial Corporation		615		51,340		0.55
Intel Corporation		4,228		223,915		2.40
Intuitive Surgical Inc		136		74,475		0.80
Invitation Homes Inc		1,659		38,157		0.41
J Sainsbury plc		63,865		193,973		2.08
Japan Airlines Co Ltd		1,851		67,553		0.72
Japan Real Estate Investment Corp		5		28,954		0.30
Jazz Pharmaceuticals Plc		758		106,143		1.14
JM Smucker Company		636		67,359		0.72
Johnson & Johnson		484		66,134		0.71
Johnson Controls International plc		654		23,067		0.25
Juniper Networks Inc		7,530		203,912		2.18
Kajima Corporation		8,325		123,175		1.32
KDDI Corporation		2,955		71,326		0.76
Keio Corporation		446		26,187		0.28
Kerry Group Plc Class A		244		25,109		0.27
KeyCorp		1,253		22,128		0.24
Keysight Technologies Inc		723		61,028		0.65
Kikkoman Corporation		1,089		54,165		0.58
Kinder Morgan Inc Class P		2,318		44,413		0.48
Kingfisher Plc		28,491		91,484		0.98
Kinross Gold Corporation		10,654		35,495		0.38
Knight-Swift Transportation Holdings Inc		1,372		46,140		0.49
Kobe Steel Ltd		12,316		97,415		1.04
Kohls Corporation		3,763		254,115		2.72
Kraft Heinz Company		2,454		81,448		0.87
Kuehne & Nagel International AG		146		19,055		0.20
Kyushu Railway Company		648		22,166		0.24
Lam Research Corporation		164		28,879		0.31
Lear Corporation		1,191		181,115		1.94
Lennar Corporation Class A		1,152		55,273		0.59
Liberty Media Corp Series A Liberty Sir		1,552		63,477		0.68
Link Real Estate Investment Trust		6,935		78,406		0.84
Loblaw Companies Limited		833		41,432		0.44
Lululemon Athletica Inc		248		37,304		0.40
Macys Inc		3,168		78,535		0.84
Magna International Inc		2,286		120,468		1.29
Marathon Petroleum Corporation		967		59,964		0.64
Marks and Spencer Group plc		32,705		118,418		1.27
Marubeni Corporation		17,295		123,397		1.32
Mazda Motor Corp		8,635		101,364		1.08
McCormick & Company Incorporated		500		67,990		0.73
McKesson Corporation		1,085		137,969		1.48
Medipal Holdings Corporation		924		21,536		0.23
Medtronic plc		1,400		126,700		1.36
Melrose Industries PLC		13,616		31,404		0.34
Merck & Co Inc		295		23,981		0.26
Micron Technology Inc		6,518		266,456		2.85
Mitsubishi Chemical Holdings Corporation		16,507		121,805		1.30
Mitsubishi Gas Chemical Company Inc		1,294		19,773		0.21
Mitsubishi Heavy Industries Ltd		3,047		123,950		1.33
Molson Coors Brewing Company Class B		4,655		287,027		3.07

Security Description	Shares		Value		Index Weight
Moncler SpA		1,148	$	44,018		0.47	%
MonotaRO Co Ltd		857		20,205		0.22
Mosaic Company		3,054		95,499		1.02
Motorola Solutions Inc		206		29,483		0.31
MTR Corporation Limited		6,997		40,200		0.43
Mylan NV		543		14,330		0.15
NEC Corp		2,296		76,579		0.82
Neste Corporation		660		63,416		0.68
Nestle SA		1,176		106,476		1.14
Newcrest Mining Limited		11,484		198,129		2.12
Newell Brands Inc		1,314		21,326		0.23
Newmont Mining Corporation		4,645		158,487		1.70
News Corporation Class A		10,010		130,330		1.39
NextEra Energy Inc		225		42,237		0.45
Nielsen Holdings Plc		1,824		47,789		0.51
NIKE Inc Class B		316		27,091		0.29
Nikon Corp		5,603		84,812		0.91
Nippon Electric Glass Co Ltd		4,693		126,823		1.36
Nippon Prologis REIT Inc		8		17,008		0.19
Nippon Steel & Sumitomo Metal Corp		1,804		32,449		0.35
Nippon Telegraph and Telephone Corporati		10,123		436,335		4.67
Nissan Motor Co Ltd		6,091		52,629		0.56
NN Group NV		1,105		48,124		0.52
Nokia Oyj		14,119		85,347		0.91
Nomura Real Estate Master Fund Inc		17		23,291		0.24
Nordstrom Inc		548		25,909		0.28
Norfolk Southern Corporation		133		23,847		0.26
Norsk Hydro ASA		6,637		27,473		0.29
Northrop Grumman Corporation		183		53,063		0.57
Novartis AG		900		82,100		0.88
NTT DATA Corporation		3,223		35,215		0.38
NTT DoCoMo Inc		14,673		341,389		3.65
NWS Holdings Limited		13,392		32,414		0.35
NXP Semiconductors NV		3,491		318,798		3.41
Occidental Petroleum Corporation		1,623		107,361		1.15
Oji Holdings Corp		7,646		45,444		0.49
ON Semiconductor Corporation		2,445		52,519		0.56
Orsted		827		59,993		0.64
Otsuka Corporation		519		18,662		0.20
Owens Corning		2,203		109,996		1.18
Palo Alto Networks Inc		255		62,799		0.67
Parsley Energy Inc Class A		8,216		149,038		1.60
Pearson PLC		1,760		19,748		0.21
PepsiCo Inc		916		105,926		1.13
Perrigo Co Plc		945		46,022		0.49
Peugeot SA		11,959		304,064		3.25
PNC Financial Services Group Inc		778		98,044		1.05
Porsche Automobil Holding SE Pref		1,983		132,090		1.41
Poste Italiane SpA		2,405		21,686		0.23
Power Assets Holdings Limited		6,549		45,468		0.49
Procter & Gamble Company		896		88,301		0.94
Progressive Corporation		384		27,994		0.30
PulteGroup Inc		7,032		189,864		2.03
PUMA SE		56		31,425		0.33
Qorvo Inc		565		39,629		0.42
Qurate Retail Inc Class A		5,462		98,371		1.05
Rakuten Inc		13,909		109,391		1.17
Ralph Lauren Corporation Class A		557		69,720		0.75
Raytheon Company		343		63,970		0.69
RenaissanceRe Holdings Ltd		174		25,587		0.27
Renault SA		1,738		119,031		1.27
Repsol SA		5,722		98,411		1.05
Republic Services Inc		2,905		227,839		2.44
Robert Half International Inc		686		46,778		0.50

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

40

BMO Funds

Security Description	Shares		Value		Index Weight
BMO Global Equity Market Neutral Strategy Long Index (Continued)
Roche Holding Ltd Genusssch		337	$	93,637		1.00	%
Rogers Communications Inc Class B		396		21,851		0.23
Royal Ahold Delhaize NV		7,519		193,868		2.07
Royal Caribbean Cruises Ltd		653		77,367		0.83
Royal Mail plc		56,339		211,315		2.26
Safran SA		269		36,675		0.39
Sanofi		841		70,288		0.75
Santos Limited		4,933		24,216		0.26
SES SA FDR Class A		904		18,159		0.19
Shangri-La Asia Limited		23,133		32,888		0.35
Shimadzu Corporation		992		24,447		0.26
Siemens Gamesa Renewable Energy SA		1,927		29,482		0.32
Singapore Telecommunications Limited		12,018		26,847		0.29
Snam SpA		10,167		50,232		0.54
Snap-on Incorporated		282		45,120		0.48
Solvay SA		277		31,000		0.33
Sonova Holding AG		207		38,714		0.41
Southern Company		2,572		127,803		1.37
Southwest Airlines Co		5,940		332,878		3.56
Spark New Zealand Limited		8,835		22,336		0.24
Square Inc Class A		443		35,989		0.38
SS&C Technologies Holdings Inc		807		49,695		0.53
Starbucks Corporation		2,223		156,188		1.67
Straumann Holding AG		45		35,125		0.38
Sumitomo Chemical Co Ltd		41,269		204,523		2.19
Sumitomo Corporation		25,026		359,606		3.85
Sumitomo Dainippon Pharma Co Ltd		3,996		98,552		1.05
Sumitomo Heavy Industries Ltd		3,929		134,396		1.44
Sumitomo Rubber Industries Ltd		5,427		69,723		0.75
Suntory Beverage & Food Ltd		606		26,714		0.29
Suzuken Co Ltd		651		35,596		0.38
Suzuki Motor Corp		1,385		70,889		0.76
Swiss Prime Site AG		378		31,910		0.34
Swisscom AG		114		52,785		0.57
Synopsys Inc		876		89,072		0.95
Sysco Corporation		1,708		115,375		1.23
T(Mobile US Inc		385		27,801		0.30
Taiheiyo Cement Corporation		735		25,109		0.27
TAISEI CORP		2,819		133,125		1.42
Taisho Pharmaceutical Holdings Co Ltd		250		25,296		0.27
Target Corporation		1,467		106,563		1.14
Techtronic Industries Co Ltd		3,774		25,216		0.27
Teck Resources Limited Class B		2,529		56,599		0.61
Telecom Italia SpA		39,682		24,177		0.26
Telefonaktiebolaget LM Ericsson Class B		14,166		129,622		1.39
Teleperformance SE		134		23,922		0.26
Telstra Corporation Limited		26,489		58,817		0.63
TELUS Corporation		4,384		159,031		1.70
Tesco PLC		16,153		48,418		0.52

Security Description	Shares		Value		Index Weight
TJX Companies Inc		3,204	$	164,333		1.76	%
Toppan Printing Co Ltd		7,445		118,443		1.27
Toyo Seikan Group Holdings Ltd		7,178		151,637		1.62
Toyota Industries Corp		1,136		58,236		0.62
Transurban Group Ltd		11,538		102,068		1.09
Travelers Companies Inc		580		77,088		0.82
Treasury Wine Estates Limited		7,310		77,682		0.83
TripAdvisor Inc		1,234		65,612		0.70
Twitter Inc		539		16,590		0.18
Tyson Foods Inc Class A		1,674		103,219		1.10
Ubisoft Entertainment SA		546		39,424		0.42
UCB SA		274		22,956		0.25
Under Armour Inc Class A		849		19,145		0.20
Uniper SE		897		26,091		0.28
United Continental Holdings Inc		1,082		95,010		1.02
United Urban Investment Corporation		13		20,145		0.22
UPM-Kymmene Oyj		6,563		197,913		2.12
Vail Resorts Inc		130		27,091		0.29
Valero Energy Corporation		1,218		99,340		1.06
Veeva Systems Inc Class A		403		47,518		0.51
Verisk Analytics Inc		251		31,734		0.34
VF Corporation		723		63,161		0.68
Vifor Pharma AG		246		30,799		0.33
VMware Inc Class A		583		100,165		1.07
Vodafone Group Plc		132,042		235,161		2.52
Volkswagen AG Pref		461		78,955		0.84
Walgreens Boots Alliance Inc		2,843		202,393		2.17
Walmart Inc		2,158		213,620		2.29
Waste Management Inc		1,438		145,598		1.56
Wells Fargo & Company		835		41,658		0.45
Wesfarmers Limited		1,276		30,034		0.32
West Fraser Timber Co Ltd		1,152		56,625		0.61
West Japan Railway Company		1,163		87,614		0.94
Westlake Chemical Corporation		651		45,485		0.49
WestRock Company		1,279		47,809		0.51
William Demant Holding AS		802		24,078		0.26
Wm Morrison Supermarkets plc		96,024		293,048		3.14
Woodside Petroleum Ltd		6,882		176,976		1.89
Workday Inc Class A		248		49,087		0.53
WSP Global Inc		339		17,929		0.19
WW Grainger Inc		176		53,640		0.57
Xcel Energy Inc		805		44,162		0.47
Xerox Corporation		2,957		91,371		0.98
Xilinx Inc		185		23,181		0.25
Yamada Denki Co Ltd		17,634		85,175		0.91
Yamato Holdings Co Ltd		702		18,271		0.20
Yangzijiang Shipbuilding Holdings Ltd		20,721		21,918		0.23
Yue Yuen Industrial Holdings Limited		10,147		34,125		0.37
			$	28,683,471		306.96	%

Security Description	Shares			Value			Index Weight
BMO Global Equity Market Neutral Strategy Short Index
3M Company		(98	)	$	(20,324	)		(0.22	)%
AbbVie Inc		(1,406	)		(111,411	)		(1.19	)
Accenture Plc Class A		(123	)		(19,850	)		(0.21	)
Accor SA		(2,952	)		(124,601	)		(1.33	)
Activision Blizzard Inc		(470	)		(19,806	)		(0.21	)
Advanced Micro Devices Inc		(967	)		(22,754	)		(0.24	)
AIA Group Limited		(5,102	)		(51,021	)		(0.55	)

Security Description	Shares			Value			Index Weight
Air Products and Chemicals Inc		(183	)	$	(33,156	)		(0.35	) %
Airbus SE		(1,502	)		(194,020	)		(2.08	)
Albemarle Corporation		(2,341	)		(213,710	)		(2.29	)
Alfa Laval AB		(1,360	)		(29,734	)		(0.32	)
Alkermes Plc		(494	)		(16,435	)		(0.18	)
Allianz SE		(238	)		(52,816	)		(0.57	)
Alnylam Pharmaceuticals Inc		(282	)		(23,970	)		(0.26	)
Alphabet Inc Class A		(53	)		(59,707	)		(0.64	)

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

41

February 28, 2019 (Unaudited)

Schedules of Investments

Security Description	Shares			Value			Index Weight
BMO Global Equity Market Neutral Strategy Short Index (Continued)
Alstom SA		(1,398	)	$	(60,757	)		(0.65	) %
Altria Group Inc		(585	)		(30,660	)		(0.33	)
Amadeus IT Group SA Class A		(397	)		(29,885	)		(0.32	)
Amazoncom Inc		(71	)		(116,428	)		(1.25	)
Amcor Ltd		(11,762	)		(125,577	)		(1.34	)
American Airlines Group Inc		(8,366	)		(298,081	)		(3.19	)
American Express Company		(194	)		(20,902	)		(0.22	)
American Tower Corporation		(97	)		(17,087	)		(0.18	)
Anheuser-Busch InBev SANV		(1,340	)		(104,451	)		(1.12	)
Apple Inc		(287	)		(49,694	)		(0.53	)
Applied Materials Inc		(1,209	)		(46,353	)		(0.50	)
Aptiv PLC		(1,327	)		(110,287	)		(1.18	)
Aramark		(6,099	)		(184,800	)		(1.98	)
Arconic Inc		(7,594	)		(140,413	)		(1.50	)
ASM Pacific Technology Limited		(2,678	)		(28,367	)		(0.30	)
ASML Holding NV		(419	)		(76,765	)		(0.82	)
AstraZeneca PLC		(3,441	)		(280,172	)		(3.00	)
Atlas Copco AB Class A		(2,063	)		(55,878	)		(0.60	)
Atos SE		(257	)		(24,670	)		(0.26	)
Australia and New Zealand Banking Group		(1,384	)		(27,491	)		(0.29	)
Auto Trader Group PLC		(3,960	)		(24,984	)		(0.27	)
Autodesk Inc		(1,353	)		(220,553	)		(2.36	)
AutoZone Inc		(147	)		(138,029	)		(1.48	)
AvalonBay Communities Inc		(92	)		(17,906	)		(0.19	)
BAE Systems plc		(33,744	)		(208,557	)		(2.23	)
Baker Hughes a GE Company Class A		(5,395	)		(142,320	)		(1.52	)
Banco Bilbao Vizcaya Argentaria SA		(3,885	)		(24,182	)		(0.26	)
Banco Santander SA		(10,312	)		(50,374	)		(0.54	)
Bank of Montreal		(332	)		(25,856	)		(0.28	)
Bank of Nova Scotia		(523	)		(29,030	)		(0.31	)
Bayer AG		(517	)		(41,299	)		(0.44	)
BeiGene Ltd Sponsored ADR		(459	)		(62,906	)		(0.67	)
BlackBerry Limited		(5,433	)		(47,168	)		(0.50	)
Boeing Company		(463	)		(203,701	)		(2.18	)
Bombardier Inc Class B		(35,555	)		(75,552	)		(0.81	)
Booking Holdings Inc		(12	)		(20,364	)		(0.22	)
Bouygues SA		(909	)		(34,368	)		(0.37	)
BP plc		(5,664	)		(40,145	)		(0.43	)
Brenntag AG		(542	)		(26,803	)		(0.29	)
Bristol-Myers Squibb Company		(586	)		(30,273	)		(0.32	)
British American Tobacco plc		(706	)		(25,830	)		(0.28	)
Brown-Forman Corporation Class B		(634	)		(31,377	)		(0.34	)
Bunge Limited		(612	)		(32,485	)		(0.35	)
Bureau Veritas SA		(4,866	)		(116,306	)		(1.24	)
Cabot Oil & Gas Corporation		(1,253	)		(30,849	)		(0.33	)
Campbell Soup Company		(684	)		(24,638	)		(0.26	)
Canadian National Railway Company		(215	)		(18,424	)		(0.20	)
Canadian Pacific Railway Limited		(91	)		(18,779	)		(0.20	)
Cardinal Health Inc		(448	)		(24,344	)		(0.26	)
Carrefour SA		(7,804	)		(159,731	)		(1.71	)
Caterpillar Inc		(203	)		(27,880	)		(0.30	)
CBS Corporation Class B		(4,742	)		(238,096	)		(2.55	)
CDK Global Inc		(3,060	)		(177,511	)		(1.90	)
CH Robinson Worldwide Inc		(239	)		(21,601	)		(0.23	)
Charles Schwab Corporation		(415	)		(19,094	)		(0.20	)
Charter Communications Inc Class A		(80	)		(27,593	)		(0.30	)
Chemours Co		(1,152	)		(43,811	)		(0.47	)
Cheniere Energy Inc		(2,912	)		(187,678	)		(2.01	)
Chevron Corporation		(389	)		(46,517	)		(0.50	)
Cimarex Energy Co		(267	)		(19,200	)		(0.21	)
Cisco Systems Inc		(986	)		(51,045	)		(0.55	)

Security Description	Shares			Value			Index Weight
Citigroup Inc		(572	)	$	(36,597	)		(0.39	) %
CME Group Inc Class A		(317	)		(57,665	)		(0.62	)
Coca-Cola Company		(6,427	)		(291,400	)		(3.12	)
Cochlear Limited		(779	)		(94,222	)		(1.01	)
Colgate-Palmolive Company		(2,701	)		(177,915	)		(1.90	)
Commonwealth Bank of Australia		(738	)		(38,716	)		(0.41	)
CommScope Holding Co Inc		(1,517	)		(35,361	)		(0.38	)
Compagnie de Saint-Gobain SA		(1,005	)		(36,181	)		(0.39	)
Compass Group PLC		(2,040	)		(45,049	)		(0.48	)
Conagra Brands Inc		(3,914	)		(91,470	)		(0.98	)
Constellation Brands Inc Class A		(215	)		(36,369	)		(0.39	)
Continental AG		(282	)		(46,127	)		(0.49	)
Costco Wholesale Corporation		(98	)		(21,437	)		(0.23	)
Coty Inc Class A		(1,911	)		(21,021	)		(0.23	)
Croda International Plc		(485	)		(30,947	)		(0.33	)
Crown Holdings Inc		(7,268	)		(394,580	)		(4.22	)
CSL Limited		(868	)		(119,310	)		(1.28	)
Daimler AG		(1,797	)		(107,747	)		(1.15	)
DaVita Inc		(1,853	)		(105,436	)		(1.13	)
Deere & Company		(1,376	)		(225,719	)		(2.42	)
DENTSPLY SIRONA Inc		(2,508	)		(104,734	)		(1.12	)
Dentsu Inc		(2,573	)		(107,417	)		(1.15	)
Deutsche Post AG		(4,406	)		(136,775	)		(1.46	)
Diageo plc		(517	)		(19,978	)		(0.21	)
Disco Corporation		(401	)		(55,227	)		(0.59	)
Dollarama Inc		(3,079	)		(83,232	)		(0.89	)
Dominos Pizza Inc		(208	)		(52,196	)		(0.56	)
DowDuPont Inc		(5,939	)		(316,133	)		(3.38	)
eBay Inc		(745	)		(27,677	)		(0.30	)
Edenred SA		(1,675	)		(74,319	)		(0.80	)
Electrolux AB Class B		(1,483	)		(38,796	)		(0.42	)
Electronic Arts Inc		(590	)		(56,510	)		(0.61	)
Enbridge Inc		(2,647	)		(97,789	)		(1.05	)
Encana Corporation		(9,042	)		(66,287	)		(0.71	)
Epiroc AB Class A		(3,371	)		(33,833	)		(0.36	)
Equinor ASA		(833	)		(18,715	)		(0.20	)
Equity Residential		(342	)		(25,202	)		(0.27	)
EssilorLuxottica SA		(1,180	)		(142,832	)		(1.53	)
Experian PLC		(867	)		(22,578	)		(0.24	)
Facebook Inc Class A		(699	)		(112,854	)		(1.21	)
Fanuc Corporation		(1,706	)		(282,436	)		(3.02	)
FAST RETAILING CO LTD		(244	)		(114,263	)		(1.22	)
Flex Ltd		(2,837	)		(29,902	)		(0.32	)
Flowserve Corporation		(1,052	)		(46,719	)		(0.50	)
Fluor Corporation		(1,717	)		(64,559	)		(0.69	)
FMC Corporation		(1,853	)		(143,719	)		(1.54	)
Fortive Corp		(1,277	)		(104,165	)		(1.12	)
Fresenius Medical Care AG & Co KGaA		(635	)		(49,678	)		(0.53	)
Fresenius SE & Co KGaA		(652	)		(36,521	)		(0.39	)
Fuchs Petrolub SE Pref		(1,103	)		(49,291	)		(0.53	)
G4S plc		(42,316	)		(117,804	)		(1.26	)
Galaxy Entertainment Group Limited		(6,053	)		(42,629	)		(0.46	)
Gartner Inc		(268	)		(38,136	)		(0.41	)
General Electric Company		(40,905	)		(425,003	)		(4.55	)
GlaxoSmithKline plc		(4,219	)		(83,789	)		(0.90	)
Global Payments Inc		(2,610	)		(340,292	)		(3.64	)
Goldman Sachs Group Inc		(134	)		(26,358	)		(0.28	)
H&R Block Inc		(1,620	)		(39,123	)		(0.42	)
Halliburton Company		(4,678	)		(143,568	)		(1.54	)
Hamamatsu Photonics KK		(2,354	)		(82,846	)		(0.89	)
Hanesbrands Inc		(1,521	)		(28,275	)		(0.30	)
Harris Corporation		(1,253	)		(206,657	)		(2.21	)
Hershey Company		(757	)		(83,785	)		(0.90	)
Hilton Worldwide Holdings Inc		(5,443	)		(452,313	)		(4.84	)

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

42

BMO Funds

Security Description	Shares			Value			Index Weight
BMO Global Equity Market Neutral Strategy Short Index (Continued)
Hitachi Metals Ltd		(2,725	)	$	(27,743	)		(0.30	) %
Home Depot Inc		(345	)		(63,873	)		(0.68	)
Honeywell International Inc		(132	)		(20,337	)		(0.22	)
Hong Kong Exchanges & Clearing Ltd		(1,094	)		(37,712	)		(0.40	)
HOYA CORPORATION		(1,968	)		(120,236	)		(1.29	)
HP Inc		(5,396	)		(106,463	)		(1.14	)
HSBC Holdings Plc		(8,218	)		(66,803	)		(0.71	)
HUGO BOSS AG		(670	)		(49,551	)		(0.53	)
Iliad SA		(258	)		(26,844	)		(0.29	)
Imperial Brands PLC		(1,642	)		(54,673	)		(0.59	)
Industria de Diseno Textil SA		(4,547	)		(137,222	)		(1.47	)
INPEX CORPORATION		(4,988	)		(48,222	)		(0.52	)
Intertek Group plc		(858	)		(57,877	)		(0.62	)
Intesa Sanpaolo SpA		(8,478	)		(20,910	)		(0.22	)
IPG Photonics Corporation		(193	)		(29,921	)		(0.32	)
IQVIA Holdings Inc		(240	)		(33,624	)		(0.36	)
ITV plc		(58,848	)		(102,324	)		(1.10	)
Jacobs Engineering Group Inc		(821	)		(60,573	)		(0.65	)
James Hardie Industries PLC Chess Units		(18,700	)		(234,008	)		(2.50	)
JGC Corp		(5,795	)		(84,233	)		(0.90	)
John Wood Group PLC		(4,717	)		(32,557	)		(0.35	)
JPMorgan Chase & Co		(683	)		(71,278	)		(0.76	)
Kakakucom Inc		(4,284	)		(82,347	)		(0.88	)
Kao Corp		(873	)		(66,026	)		(0.71	)
Keikyu Corporation		(9,484	)		(157,182	)		(1.68	)
Keyence Corporation		(529	)		(308,376	)		(3.30	)
Kimberly-Clark Corporation		(1,058	)		(123,606	)		(1.32	)
Kobayashi Pharmaceutical Co Ltd		(329	)		(26,525	)		(0.28	)
Komatsu Ltd		(5,211	)		(127,768	)		(1.37	)
Kone Oyj Class B		(1,140	)		(55,702	)		(0.60	)
L Brands Inc		(5,150	)		(134,621	)		(1.44	)
Lamb Weston Holdings Inc		(950	)		(65,845	)		(0.70	)
LANXESS AG		(512	)		(27,695	)		(0.30	)
Leidos Holdings Inc		(1,936	)		(125,046	)		(1.34	)
Leonardo SpA		(5,466	)		(55,106	)		(0.59	)
Lockheed Martin Corporation		(826	)		(255,573	)		(2.73	)
Lundin Petroleum AB		(2,970	)		(97,080	)		(1.04	)
M3 Inc		(7,542	)		(124,996	)		(1.34	)
Makita Corporation		(673	)		(23,836	)		(0.25	)
Manulife Financial Corporation		(1,160	)		(19,578	)		(0.21	)
Marriott International Inc Class A		(1,223	)		(153,205	)		(1.64	)
Martin Marietta Materials Inc		(189	)		(35,494	)		(0.38	)
Marui Group Co Ltd		(8,906	)		(156,638	)		(1.68	)
Masco Corporation		(5,063	)		(190,166	)		(2.04	)
Mattel Inc		10,765	)		(155,231	)		(1.66	)
McDonalds Corporation		(703	)		(129,240	)		(1.38	)
MercadoLibre Inc		(140	)		(64,231	)		(0.69	)
Metso Oyj		(604	)		(20,474	)		(0.22	)
Mettler-Toledo International Inc		(132	)		(89,880	)		(0.96	)
Microsoft Corporation		(1,350	)		(151,241	)		(1.62	)
Misumi Group Inc		(2,605	)		(63,170	)		(0.68	)
Mohawk Industries Inc		(264	)		(35,936	)		(0.38	)
Mondelez International Inc Class A		(377	)		(17,779	)		(0.19	)
Moodys Corporation		(261	)		(45,184	)		(0.48	)
Morgan Stanley		(411	)		(17,254	)		(0.18	)
Murata Manufacturing Co Ltd		(1,008	)		(52,263	)		(0.56	)
Netflix Inc		(50	)		(17,905	)		(0.19	)
Next plc		(2,331	)		(157,301	)		(1.68	)
Nidec Corporation		(1,794	)		(217,036	)		(2.32	)
Nintendo Co Ltd		(282	)		(77,068	)		(0.82	)
NIPPON PAINT HOLDINGS COLTD		(1,406	)		(54,027	)		(0.58	)
Nitori Holdings Co Ltd		(391	)		(48,742	)		(0.52	)

Security Description	Shares			Value			Index Weight
Nitto Denko Corp		(882	)	$	(47,052	)		(0.50	) %
NMC Health PLC		(791	)		(28,368	)		(0.30	)
Novo Nordisk AS Class B		(768	)		(37,670	)		(0.40	)
NVIDIA Corporation		(1,010	)		(155,803	)		(1.67	)
Odakyu Electric Railway Co Ltd		(4,749	)		(110,898	)		(1.19	)
Olympus Corp		(9,224	)		(101,968	)		(1.09	)
OMRON Corporation		(1,585	)		(68,376	)		(0.73	)
ONEOK Inc		(1,041	)		(66,895	)		(0.72	)
ONO Pharmaceutical Co Ltd		(3,323	)		(68,275	)		(0.73	)
Oracle Corporation		(572	)		(29,818	)		(0.32	)
Oracle Corporation Japan		(1,990	)		(148,468	)		(1.59	)
Orange SA		(8,034	)		(122,781	)		(1.31	)
Oriental Land Co Ltd		(1,369	)		(150,317	)		(1.61	)
Otsuka Holdings Co Ltd		(1,558	)		(64,931	)		(0.70	)
Panasonic Corporation		(18,655	)		(171,672	)		(1.84	)
Pandora AS		(1,030	)		(54,030	)		(0.58	)
Park24 Co Ltd		(3,296	)		(79,128	)		(0.85	)
Parker-Hannifin Corporation		(106	)		(18,673	)		(0.20	)
PayPal Holdings Inc		(226	)		(22,164	)		(0.24	)
PCCW Limited		(170,346	)		(102,426	)		(1.10	)
Pfizer Inc		(1,094	)		(47,425	)		(0.51	)
Philip Morris International Inc		(4,004	)		(348,108	)		(3.73	)
Pigeon Corporation		(528	)		(21,521	)		(0.23	)
Pirelli & C SpA		(4,133	)		(27,728	)		(0.30	)
PPG Industries Inc		(264	)		(29,560	)		(0.32	)
PPL Corporation		(1,229	)		(39,537	)		(0.42	)
ProSiebenSat1 Media SE		(1,440	)		(26,101	)		(0.28	)
Proximus SA de droit public		(748	)		(19,758	)		(0.21	)
Prysmian SpA		(3,601	)		(73,500	)		(0.79	)
PTC Inc		(1,034	)		(95,976	)		(1.03	)
Public Service Enterprise Group Inc		(485	)		(28,523	)		(0.31	)
QUALCOMM Incorporated		(980	)		(52,322	)		(0.56	)
Ramsay Health Care Limited		(864	)		(39,705	)		(0.42	)
RELX PLC		(3,815	)		(87,485	)		(0.94	)
Renesas Electronics Corporation		(10,451	)		(61,177	)		(0.65	)
Rio Tinto Limited		(323	)		(21,241	)		(0.23	)
Rio Tinto plc		(497	)		(27,373	)		(0.29	)
Rockwell Automation Inc		(660	)		(117,850	)		(1.26	)
Rohm Co Ltd		(452	)		(28,528	)		(0.31	)
Rolls-Royce Holdings plc		(2,079	)		(26,333	)		(0.28	)
Ross Stores Inc		(197	)		(18,682	)		(0.20	)
Royal Dutch Shell Plc Class B		(1,354	)		(42,462	)		(0.45	)
Royal KPN NV		(25,506	)		(78,656	)		(0.84	)
Ryohin Keikaku Co Ltd		(150	)		(35,580	)		(0.38	)
Sands China Ltd		(32,768	)		(163,633	)		(1.75	)
SAP SE		(212	)		(22,684	)		(0.24	)
Schlumberger NV		(1,847	)		(81,379	)		(0.87	)
Sealed Air Corporation		(9,675	)		(422,024	)		(4.52	)
SGS SA		(12	)		(30,601	)		(0.33	)
Sherwin-Williams Company		(180	)		(77,976	)		(0.83	)
SHIMAMURA Co Ltd		(275	)		(23,233	)		(0.25	)
Shimano Inc		(536	)		(81,374	)		(0.87	)
Shiseido CompanyLimited		(338	)		(22,298	)		(0.24	)
Siemens Healthineers AG		(758	)		(30,719	)		(0.33	)
Sika AG		(273	)		(36,929	)		(0.40	)
SJM Holdings Limited		(23,103	)		(26,046	)		(0.28	)
Skyworks Solutions Inc		(512	)		(41,810	)		(0.45	)
SNC-Lavalin Group Inc		(3,187	)		(87,917	)		(0.94	)
Sodexo SA		(250	)		(27,455	)		(0.29	)
SoftBank Group Corp		(2,804	)		(258,792	)		(2.77	)
Stryker Corporation		(482	)		(90,862	)		(0.97	)
SUBARU CORP		(1,556	)		(39,486	)		(0.42	)
SUMCO Corporation		(3,441	)		(43,652	)		(0.47	)
Sun Hung Kai Properties Limited		(2,454	)		(40,640	)		(0.43	)
Sun Life Financial Inc		(643	)		(24,311	)		(0.26	)

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

43

February 28, 2019 (Unaudited)

Schedules of Investments

Security Description	Shares			Value			Index Weight
BMO Global Equity Market Neutral Strategy Short Index (Continued)
Suncor Energy Inc		(574	)	$	(19,759	)		(0.21	) %
Swedbank AB Class A		(1,500	)		(27,551	)		(0.29	)
Swedish Match AB		(1,462	)		(68,518	)		(0.73	)
Symantec Corporation		(7,232	)		(162,648	)		(1.74	)
Symrise AG		(366	)		(32,229	)		(0.35	)
Sysmex Corporation		(2,390	)		(143,743	)		(1.54	)
Tabcorp Holdings Limited		(53,085	)		(177,748	)		(1.90	)
Take(Two Interactive Software Inc		(1,440	)		(125,654	)		(1.34	)
Takeda Pharmaceutical Co Ltd		(1,520	)		(60,986	)		(0.65	)
TechnipFMC Plc		(8,412	)		(187,503	)		(2.01	)
Teleflex Incorporated		(356	)		(103,183	)		(1.10	)
Telefonica SA		(31,286	)		(269,981	)		(2.89	)
Telenet Group Holding NV		(2,687	)		(121,238	)		(1.30	)
Tenaris SA		(9,265	)		(123,578	)		(1.32	)
Texas Instruments Incorporated		(243	)		(25,705	)		(0.27	)
Thermo Fisher Scientific Inc		(100	)		(25,957	)		(0.28	)
Tokyo Electron Ltd		(147	)		(19,994	)		(0.21	)
Toshiba Corporation		(3,174	)		(99,452	)		(1.06	)
Total SA		(623	)		(35,414	)		(0.38	)
Toyota Motor Corp		(907	)		(54,534	)		(0.58	)
TransCanada Corporation		(3,225	)		(144,033	)		(1.54	)
TransDigm Group Incorporated		(265	)		(115,034	)		(1.23	)
Trend Micro Incorporated		(630	)		(31,052	)		(0.33	)
Ulta Beauty Inc		(71	)		(22,187	)		(0.24	)
Umicore		(2,267	)		(97,957	)		(1.05	)
Unilever NV Cert of shs		(1,528	)		(82,644	)		(0.88	)
Unilever PLC		(909	)		(48,321	)		(0.52	)

Security Description	Shares			Value			Index Weight
Union Pacific Corporation		(155	)	$	(25,994	)		(0.28	) %
United Internet AG		(1,837	)		(66,885	)		(0.72	)
United Parcel Service Inc Class B		(622	)		(68,544	)		(0.73	)
United Rentals Inc		(264	)		(35,532	)		(0.38	)
United Technologies Corporation		(221	)		(27,773	)		(0.30	)
US Bancorp		(416	)		(21,503	)		(0.23	)
Ventas Inc		(256	)		(16,064	)		(0.17	)
Verizon Communications Inc		(1,043	)		(59,368	)		(0.64	)
Vivendi SA		(1,123	)		(32,818	)		(0.35	)
WABCO Holdings Inc		(580	)		(79,767	)		(0.85	)
Walt Disney Company		(283	)		(31,934	)		(0.34	)
WEC Energy Group Inc		(300	)		(22,884	)		(0.24	)
Weir Group PLC		(4,299	)		(93,509	)		(1.00	)
Welltower Inc		(223	)		(16,571	)		(0.18	)
Western Digital Corporation		(542	)		(27,263	)		(0.29	)
Western Union Company		(7,150	)		(127,771	)		(1.37	)
Westpac Banking Corporation		(1,361	)		(26,030	)		(0.28	)
Worldpay Inc Class A		(2,200	)		(210,760	)		(2.26	)
WPP Plc		(2,426	)		(26,571	)		(0.28	)
Wynn Macau Ltd		(23,332	)		(57,662	)		(0.62	)
Wynn Resorts Limited		(209	)		(26,447	)		(0.28	)
Yahoo Japan Corporation		(36,772	)		(98,381	)		(1.05	)
Yakult Honsha Co Ltd		(380	)		(25,485	)		(0.27	)
Yamaha Corporation		(1,295	)		(63,713	)		(0.68	)
Yara International ASA		(688	)		(28,937	)		(0.31	)
Yaskawa Electric Corporation		(3,726	)		(105,876	)		(1.13	)
Yum! Brands Inc		(4,023	)		(380,174	)		(4.07	)
ZOZO Inc		(7,948	)		(149,565	)		(1.60	)
				$	(26,679,782	)		(285.32	)%

Global Long/Short Equity Fund

Description	Shares		Value
Common Stocks Purchased Long — 99.4%
Australia — 0.7%
Regis Resources, Ltd.		10,884	$	41,228
Bermuda — 1.7%
Argo Group International Holdings, Ltd.		366		25,441
Essent Group, Ltd. (2)		1,732		74,718
				100,159
Brazil — 0.2%
SLC Agricola SA		900		9,829
Canada — 13.9%
Air Canada (2)		4,304		108,291
Allied Properties Real Estate Investment Trust		3,051		111,310
Canfor Corp. (2)		4,484		48,181
Cascades, Inc.		1,247		8,348
Cogeco Communications, Inc.		502		31,392
Cogeco, Inc.		275		15,253
Equitable Group, Inc.		878		46,711
George Weston, Ltd.		1,054		75,128
Hudbay Minerals, Inc.		8,765		58,946
Husky Energy, Inc.		2,825		31,407
Interfor Corp. (2)		5,076		57,127
InterRent Real Estate Investment Trust		3,547		38,032
Methanex Corp.		818		46,042
Quebecor, Inc., Class B		705		17,127
Teck Resources, Ltd., Class B		5,194		116,396
				809,691
Cayman Islands — 0.4%
Tianneng Power International, Ltd.		22,000		21,552

Description	Shares		Value
Common Stocks Purchased Long (continued)
China — 0.3%
Agricultural Bank of China, Ltd., Class H		32,000	$	15,328
Denmark — 1.2%
Novo Nordisk A/S, Class B		399		19,578
Scandinavian Tobacco Group A/S, Class A (5)		3,700		48,849
				68,427
France — 1.2%
Boiron SA		264		16,636
Peugeot SA		1,332		33,877
Sanofi		217		18,142
				68,655
Germany — 0.1%
Hamburger Hafen und Logistik AG		398		8,692
Hong Kong — 1.9%
HKT Trust & HKT, Ltd.		35,000		54,664
SmarTone Telecommunications Holdings, Ltd.		48,000		54,606
				109,270
Indonesia — 1.7%
Bukit Asam Tbk PT		237,700		67,251
Indo Tambangraya Megah Tbk PT		11,500		17,474
Japfa Comfeed Indonesia Tbk PT		88,000		14,012
				98,737
Italy — 2.6%
ASTM SpA		642		16,832
Enel SpA		18,754		113,485
Societa Iniziative Autostradali e Servizi SpA		1,181		19,760
				150,077

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

44

BMO Funds

Global Long/Short Equity Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
Japan — 8.9%
Arcs Co., Ltd.		1,300	$	30,149
Artnature, Inc.		1,600		9,402
Frontier Real Estate Investment Corp.		26		107,298
Fukuda Corp.		500		19,513
Heiwado Co., Ltd. (1)		2,300		51,235
J-Oil Mills, Inc.		500		17,808
KDDI Corp.		1,200		28,944
Keihin Corp.		2,000		35,114
Mitsui Sugar Co., Ltd.		700		18,036
Nippon Telegraph & Telephone Corp.		2,400		103,373
Okinawa Electric Power Co., Inc.		2,099		38,641
Press Kogyo Co., Ltd.		3,700		20,348
Shimachu Co., Ltd.		900		24,166
Yorozu Corp. (1)		1,000		14,336
				518,363
Luxembourg — 0.8%
Trinseo SA		950		47,681
Malaysia — 0.2%
Malaysian Pacific Industries Bhd		4,200		10,173
Netherlands — 1.8%
Koninklijke Ahold Delhaize NV		4,155		107,164
New Zealand — 1.0%
Air New Zealand, Ltd.		27,498		46,253
New Zealand Refining Co., Ltd.		10,595		15,152
				61,405
Norway — 1.8%
Austevoll Seafood ASA		2,313		28,005
Leroy Seafood Group ASA		8,660		65,279
Sparebank 1 Oestlandet		1,028		10,476
				103,760
Poland — 0.6%
Asseco Poland SA		2,336		32,781
Portugal — 0.3%
Altri SGPS SA		1,916		15,648
Singapore — 0.9%
ComfortDelGro Corp., Ltd.		21,200		37,477
First Resources, Ltd.		10,500		13,280
				50,757
South Korea — 2.1%
DB HiTek Co., Ltd.		1,730		19,150
KT Corp.		2		51
Samsung Electronics Co., Ltd.		2,577		103,337
				122,538
Sweden — 0.3%
Mycronic AB		1,332		19,614
Switzerland — 1.9%
Roche Holding AG		403		111,970
Taiwan — 1.9%
HannStar Display Corp.		70,000		16,126
Uni-President Enterprises Corp.		28,000		68,234
United Integrated Services Co., Ltd.		8,000		27,163
				111,523
United Kingdom — 7.5%
BT Group PLC		36,826		104,868
DFS Furniture PLC		3,732		11,311
GlaxoSmithKline PLC		4,942		98,152

Description	Shares		Value
Common Stocks Purchased Long (continued)
United Kingdom (continued)
Imperial Brands PLC		1,218	$	40,557
International Consolidated Airlines Group SA		4,340		34,481
Legal & General Group PLC		28,627		106,542
Reach PLC		8,354		6,687
SThree PLC		2,984		12,546
Watkin Jones PLC		8,031		23,274
				438,418
United States — 43.5%
AbbVie, Inc.		364		28,843
ArcBest Corp.		2,207		76,870
Best Buy Co., Inc.		901		62,025
Ciena Corp. (2)		2,368		101,019
Citizens Financial Group, Inc.		512		18,913
CONMED Corp.		1,031		79,284
ConocoPhillips		784		53,194
Cooper-Standard Holdings, Inc. (2)		422		25,366
Discover Financial Services		901		64,521
Emergent BioSolutions, Inc. (2)		2,051		119,676
Employers Holdings, Inc.		778		32,412
Enova International, Inc. (2)		416		10,616
Essex Property Trust, Inc.		485		135,722
F5 Networks, Inc. (2)		186		31,274
FedNat Holding Co.		586		10,695
Genomic Health, Inc. (2)		299		22,715
Glaukos Corp. (1)(2)		727		53,922
Globus Medical, Inc., Class A (2)		553		26,926
Haemonetics Corp. (2)		382		33,184
HealthStream, Inc.		839		23,324
Huntington Ingalls Industries, Inc.		376		78,738
Inogen, Inc. (1)(2)		271		29,122
Integer Holdings Corp. (2)		799		72,677
Intersect ENT, Inc. (2)		206		7,002
K12, Inc. (2)		345		11,054
Lantheus Holdings, Inc. (2)		1,471		33,612
LeMaitre Vascular, Inc.		422		12,626
Luminex Corp.		527		13,428
Marlin Business Services Corp.		1,459		34,345
Masco Corp.		2,290		86,012
Merit Medical Systems, Inc. (2)		1,931		107,615
Myriad Genetics, Inc. (2)		880		27,306
Natus Medical, Inc. (2)		681		18,816
NetApp, Inc.		803		52,356
NextGen Healthcare, Inc. (2)		1,030		18,025
OraSure Technologies, Inc. (2)		2,519		27,079
Orthofix Medical, Inc. (2)		802		49,002
Owens-Illinois, Inc.		811		16,155
Pacira Pharmaceuticals, Inc. (2)		505		20,796
PBF Energy, Inc., Class A		217		6,742
PNM Resources, Inc.		1,926		84,128
Portland General Electric Co.		2,219		111,261
Regions Financial Corp.		3,010		49,364
Rush Enterprises, Inc., Class A		1,071		44,896
Southwest Airlines Co.		406		22,752
SpartanNash Co.		607		11,521
SunTrust Banks, Inc.		294		19,072
Supernus Pharmaceuticals, Inc. (2)		1,156		47,211
Surmodics, Inc. (2)		378		22,056
Sykes Enterprises, Inc. (2)		1,285		38,023
Synchrony Financial		591		19,273
Sysco Corp.		880		59,444
U.S. Foods Holding Corp. (2)		2,293		80,805
United Continental Holdings, Inc. (2)		453		39,778
Unum Group		1,538		57,460
Vishay Intertechnology, Inc.		2,907		63,722

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

45

February 28, 2019 (Unaudited)

Schedules of Investments

Global Long/Short Equity Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
United States (continued)
Vishay Precision Group, Inc. (2)		506	$	17,639
WW Grainger, Inc.		46		14,019
				2,535,433
Total Common Stocks Purchased Long (identified cost $5,423,803)				5,788,873
Short-Term Investments — 4.2%
Collateral Investment for Securities on Loan — 2.7%
BMO Institutional Prime Money Market Fund, 2.433% (3)		156,783		156,783

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.5%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		90,228	$	90,237
Total Short-Term Investments (identified cost $247,020)				247,020
Total Investments — 103.6% (identified cost $5,670,823)				6,035,893
Other Assets and Liabilities — (3.6)%				(211,502	)
Total Net Assets — 100.0%			$	5,824,391

At February 28, 2019, the Global Long/Short Equity Fund had outstanding total return swap agreements as set forth below:

Swap Counterparty	Index	Pay/Receive Total Return of Referenced Index	Floating Rate	Payment Frequency	Maturity Date		Notional Amount		Value at February 28, 2019		Upfront Payment Paid		Unrealized Depreciation
JPMorgan Chase & Co.	BMO Alternatives Strategies Global Short Index††	Receive	1 Month USD LIBOR plus 0.15%	Monthly		03/14/2020	$	2,751,323	$	(103,477)	$	—	$	(103,477)
									$	(103,477)	$	—	$	(103,477)

†† See tables below for details of the equity basket holdings underlying the swap.

The following table represents the equity basket holdings underlying the total return swap with BMO Alternative Strategies Global Short Index as of February 28, 2019:

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Short Index
Ain Holdings, Inc.		(763	)	$	(52,435	)		(0.57	)%
AIXTRON SE		(14,247	)		(127,481	)		(1.38	)
Albemarle Corp.		(2,241	)		(204,602	)		(2.22	)
Asahi Holdings, Inc.		(6,571	)		(131,685	)		(1.43	)
ASOS PLC		(3,545	)		(150,677	)		(1.63	)
BlackBerry Ltd.		(11,843	)		(102,875	)		(1.12	)
Brown-Forman Corp.		(863	)		(42,720	)		(0.46	)
Caverion OYJ		(5,248	)		(30,745	)		(0.33	)
Cellnex Telecom SA		(5,785	)		(141,012	)		(1.63	)
Chugoku Marine Paints Ltd.		(6,753	)		(61,331	)		(0.67	)
Daifuku Co., Ltd.		(4,409	)		(216,250	)		(2.35	)
Easterly Government Properties, Inc.		(13,438	)		(241,606	)		(2.62	)
Fugro NV		(9,667	)		(109,634	)		(1.19	)
Fuji Seal International, Inc.		(3,872	)		(145,027	)		(1.58	)
Funai Soken Holdings, Inc.		(5,621	)		(129,882	)		(1.41	)
Goldwin, Inc.		(454	)		(55,305	)		(0.60	)
GRENKE AG		(2,594	)		(264,942	)		(2.88	)
HarborOne Bancorp, Inc.		(4,785	)		(77,181	)		(0.84	)
Howard Bancorp, Inc.		(2,563	)		(34,011	)		(0.37	)
Huatai Securities Co., Ltd.		(128,350	)		(259,976	)		(2.82	)
JD.com, Inc.		(2,471	)		(68,475	)		(0.74	)
Just Eat PLC		(16,130	)		(160,137	)		(1.73	)
Kansai Paint Co., Ltd.		(12,918	)		(237,535	)		(2.58	)
Kawasaki Kisen Kaisha Ltd.		(17,831	)		(251,797	)		(2.73	)
Kose Corp.		(688	)		(111,395	)		(1.21	)
Kura Corp.		(948	)		(50,747	)		(0.55	)
Lilis Energy, Inc.		(47,808	)		(86,055	)		(0.93	)

Security Description	Shares			Value			Index Weight
M3, Inc.		(5,852	)	$	(97,051	)		(1.05	) %
Macerich Co.		(4,096	)		(178,580	)		(1.94	)
MISUMI Group, Inc.		(10,266	)		(249,076	)		(2.70	)
Money Forward, Inc.		(962	)		(32,016	)		(0.35	)
Nanosonics Ltd.		(22,476	)		(66,361	)		(0.72	)
Netflix, Inc.		(733	)		(262,447	)		(2.85	)
Nihon M&A Center, Inc.		(4,418	)		(111,522	)		(1.21	)
Nippon Paint Holdings Co., Ltd.		(6,205	)		(238,549	)		(2.59	)
Nippon Yusen KK		(15,220	)		(239,942	)		(2.61	)
Nitori Holdings Co., Ltd.		(1,470	)		(183,370	)		(1.99	)
Nordic Semiconductor ASA		(10,307	)		(43,897	)		(0.48	)
Northam Platinum Ltd.		(59,196	)		(232,784	)		(2.53	)
Northwest Pipe Co.		(2,481	)		(61,217	)		(0.66	)
Okta, Inc.		(2,915	)		(247,466	)		(2.69	)
Pacific Metals Co., Ltd.		(2,171	)		(55,395	)		(0.60	)
Pan Pacific International Holdings Corp.		(1,682	)		(100,345	)		(1.09	)
Park24 Co., Ltd.		(9,604	)		(230,703	)		(2.50	)
People’s United Financial Inc.		(5,991	)		(106,406	)		(1.16	)
Pinnacle Financial Partners, Inc.		(3,406	)		(199,891	)		(2.17	)
Prestige International, Inc.		(6,284	)		(73,323	)		(0.80	)
PROS Holdings, Inc.		(5,386	)		(229,424	)		(2.49	)
Republic First Bancorp, Inc.		(6,152	)		(181,286	)		(1.97	)
Republic First Bancorp, Inc.		(9,029	)		(57,786	)		(0.63	)
Senior Housing Properties Trust		(4,719	)		(61,107	)		(0.67	)
Serco Group PLC		(68,224	)		(117,333	)		(1.27	)
Shimano, Inc.		(228	)		(34,709	)		(0.38	)
SMS Co., Ltd.		(12,914	)		(228,759	)		(2.48	)
Sophos Group PLC		(26,127	)		(113,917	)		(1.23	)

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

46

BMO Funds

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Short Index (Continued)
Square, Inc.		(908	)	$	(73,749	)		(0.80	) %
St James’s Place PLC		(6,911	)		(89,392	)		(0.97	)
Takeaway.com NV		(1,108	)		(81,272	)		(0.88	)
TFS Financial Corp.		(2,875	)		(49,248	)		(0.53	)
TimkenSteel Corp.		(11,640	)		(145,030	)		(1.58	)
Toridoll Holdings Corp.		(5,233	)		(105,908	)		(1.15	)
Umicore SA		(4,830	)		(208,997	)		(2.27	)
Universal Display Corp.		(1,541	)		(229,918	)		(2.50	)
Wallenstam AB		(9,242	)		(86,506	)		(0.94	)
Weir Group PLC		(12,787	)		(278,931	)		(3.02	)
Weyerhaeuser Co.		(3,071	)		(76,431	)		(0.83	)
Zalando SE		(4,678	)		(172,594	)		(1.87	)
Zur Rose Group AG		(299	)		(26,136	)		(0.28	)
Total				$	(9,204,292	)		(100.00	)%

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Agriculture	$	126,527		2.2	%
Airlines		251,555		4.3
Auto Manufacturers		33,877		0.6
Auto Parts & Equipment		95,164		1.6
Banks		113,153		1.9
Biotechnology		146,982		2.5
Building Materials		86,012		1.5
Chemicals		46,042		0.8
Coal		84,725		1.5
Commercial Services		68,884		1.2
Computers		123,160		2.1
Cosmetics/Personal Care		9,402		0.2
Distribution/Wholesale		14,019		0.2
Diversified Financial Services		175,466		3.0
Electric		347,515		6.0
Electrical Components & Equipment		21,552		0.4
Electronics		117,101		2.0
Engineering & Construction		46,676		0.8
Food		612,808		10.5
Forest Products & Paper		129,304		2.2
Healthcare-Products		609,066		10.5
Holding Companies-Diversified		10,173		0.2
Insurance		307,268		5.3
Internet		54,598		0.9
Media		70,459		1.2
Mining		216,570		3.7
Miscellaneous Manufacturing		47,681		0.8
Oil & Gas		106,495		1.8
Packaging & Containers		16,155		0.3
Pharmaceuticals		361,328		6.2
Real Estate		23,274		0.4
Real Estate Investment Trusts		392,362		6.7
Retail		142,398		2.4
Semiconductors		122,487		2.1
Shipbuilding		78,738		1.4
Software		18,025		0.3
Telecommunications		447,525		7.7
Transportation		114,347		2.0
Total Common Stocks Purchased Long		5,788,873		99.4

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Collateral Investment for Securities on Loan	$	156,783			2.7	%
Mutual Funds		90,237			1.5
Total Investments		6,035,893			103.6
Other Assets and Liabilities		(211,502	)		(3.6	)
Total Net Assets	$	5,824,391			100.0	%

Ultra Short Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 97.1%
Alabama — 5.5%
Black Belt Energy Gas District, 2.581, (LIBOR 1 Month), 12/01/2023, Call 9/1/2023 (7)	$	4,500,000	$	4,409,100
Chatom Industrial Development Board, 1.850, 8/01/2037, Call 8/1/2019 (7)		4,800,000		4,800,528
Health Care Authority for Baptist Health, 2.220, 11/01/2042 (7)		11,125,000		11,125,000
Southeast Alabama Gas Supply District, 2.581, (LIBOR 1 Month), 4/01/2024, Call 1/1/2024 (7)		5,000,000		4,950,750
Tender Option Bond Trust Receipts/Certificates, 1.890, 10/05/2020 (5)(7)		5,000,000		5,000,000
Other Securities		2,250,000		2,267,718
				32,553,096
Arizona — 0.7%
Other Securities		4,000,000		4,026,408
Arkansas — 1.7%
Arkansas Development Finance Authority, 2.210, 9/01/2044, Call 3/1/2019 (7)		7,000,000		7,000,000
Other Securities		3,085,000		3,085,622
				10,085,622
California — 2.9%
Other Securities		17,270,000		17,315,262
Colorado — 1.2%
Other Securities		6,975,000		6,980,987
Connecticut — 0.1%
Other Security		400,000		416,836
District of Columbia — 0.5%
Other Securities		2,860,000		2,987,725
Florida — 4.7%
Citizens Property Insurance Corp., 5.000, 6/01/2020		3,870,000		4,024,219
RBC Municipal Products, Inc. Trust, 1.940, (SIFMA Municipal Swap Index Yield), 9/03/2019 (5)(7)		5,000,000		5,000,000
School Board of Miami-Dade County, FGIC, 1.970, 3/07/2019, Call 3/1/2019 (5)(7)		8,000,000		8,000,000
Other Securities		10,985,000		11,065,707
				28,089,926

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

47

February 28, 2019 (Unaudited)

Schedules of Investments

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Georgia — 4.4%
Main Street Natural Gas, Inc.
2.310%, (SIFMA Municipal Swap Index Yield), 12/01/2023, Call 9/1/2023 (7)	$	5,000,000	$	4,975,250
2.511%, (LIBOR 1 Month), 12/01/2023, Call 9/1/2023 (7)		5,000,000		4,971,400
				9,946,650
Other Securities		15,995,000		16,071,384
				26,018,034
Hawaii — 0.5%
Other Security		2,800,000		2,799,748
Idaho — 0.5%
Other Security		3,205,000		3,205,000
Illinois — 11.2%
Chicago Board of Education, 2.190, 3/01/2034, Call 3/1/2019 (5)(7)		10,000,000		10,000,000
Cook County Community Unit School District No 401 Elmwood Park, 2.375, 12/01/2028, Call 3/12/2019 (7)		4,000,000		4,075,680
County of Peoria, 1.940, 6/15/2020 (5)(7)		7,000,000		7,000,000
Decatur Park District, 3.000, 12/15/2019		4,311,000		4,341,824
Rib Floater Trust Various States, 1.890, 8/15/2030, Call 4/1/2019 (5)(7)		5,000,000		5,000,000
State of Illinois
5.000%, 8/01/2020		4,000,000		4,135,200
5.000%, 2/01/2022		6,040,000		6,380,414
				10,515,614
Tender Option Bond Trust Receipts/Certificates
1.890%, 6/15/2031, Call 6/15/2026 (5)(7)		4,355,000		4,355,000
1.940%, 1/01/2048, Call 1/1/2029 (5)(7)		4,500,000		4,500,000
				8,855,000
Other Securities		16,480,000		16,680,295
				66,468,413
Indiana — 3.4%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.950, 7/01/2047, Call 2/28/2019 (7)		7,350,000		7,350,000
Tender Option Bond Trust Receipts/Certificates, 2.010, 10/15/2019 (5)(7)		8,500,000		8,500,000
Other Securities		4,100,000		4,152,890
				20,002,890
Iowa — 0.8%
Other Securities		5,020,000		5,018,135
Kansas — 0.1%
Other Security		400,000		400,928
Kentucky — 3.0%
Other Securities		17,675,000		17,763,910
Louisiana — 1.9%
Louisiana Public Facilities Authority, 2.390, (SIFMA Municipal Swap Index Yield), 9/01/2023, Call 3/1/2023 (7)		5,000,000		5,001,900

Description	Principal Amount		Value
Municipals (continued)
Louisiana (continued)
Parish of St. James, 1.940, 11/01/2040, Call 2/28/2019 (7)	$	5,000,000	$	5,000,000
Other Securities		1,490,000		1,462,351
				11,464,251
Maryland — 0.6%
Other Securities		3,350,000		3,353,304
Massachusetts — 0.1%
Other Securities		800,000		820,663
Michigan — 0.7%
Other Securities		4,200,000		4,207,631
Minnesota — 0.7%
Other Securities		3,950,000		3,957,252
Mississippi — 1.2%
Mississippi Development Bank, 2.500, 1/01/2020		4,600,000		4,630,728
Other Securities		2,500,000		2,500,195
				7,130,923
Missouri — 1.3%
City of St. Louis, 3.000, 5/30/2019		5,000,000		5,014,500
Other Securities		2,935,000		2,938,378
				7,952,878
Nevada — 0.4%
Other Securities		1,995,000		2,060,517
New Jersey — 6.5%
New Jersey Economic Development Authority
2.030%, 11/01/2040, Call 2/28/2019 (7)		4,485,000		4,485,000
2.030%, 11/01/2040, Call 2/28/2019 (7)		5,515,000		5,515,000
2.040%, 11/01/2031, Call 2/28/2019 (7)		4,510,000		4,510,000
				14,510,000
New Jersey Transportation Trust Fund Authority
2.740%, (SIFMA Municipal Swap Index Yield), 12/15/2019, Call 6/15/2019 (7)		5,000,000		5,006,100
5.000%, 6/15/2019		4,500,000		4,538,925
				9,545,025
Other Securities		14,250,000		14,372,781
				38,427,806
New Mexico — 1.4%
New Mexico Municipal Energy Acquisition Authority, 2.431, (LIBOR 1 Month), 8/01/2019, Call 3/21/2019 (7)		5,500,000		5,501,155
Other Security		2,875,000		2,875,000
				8,376,155
New York — 7.5%
County of Suffolk, 5.000, 7/24/2019		5,500,000		5,563,690
Nuveen New York AMT-Free Quality Municipal Income Fund, 2.040, 5/01/2047, Call 2/28/2019 (5)(7)		5,000,000		5,000,000
South Glens Falls Central School District, SAW, 3.000, 7/26/2019		4,500,000		4,521,150

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

48

BMO Funds

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
New York (continued)
Triborough Bridge & Tunnel Authority, 2.381, (LIBOR 1 Month), 2/01/2021 (7)	$	4,890,000	$	4,933,178
Other Securities		24,380,000		24,436,850
				44,454,868
North Carolina — 0.2%
Other Security		1,000,000		1,000,000
North Dakota — 0.4%
Other Securities		2,365,000		2,440,705
Ohio — 7.6%
Dublin City School District, 2.500, 4/18/2019		4,500,000		4,503,375
Lancaster Port Authority, 2.401, (LIBOR 1 Month), 8/01/2019, Call 3/21/2019 (7)		5,000,000		5,000,900
Other Securities		35,322,000		35,450,719
				44,954,994
Oklahoma — 0.3%
Other Securities		1,510,000		1,520,662
Pennsylvania — 5.1%
Montgomery County Higher Education & Health Authority, 1.970, 9/01/2050, Call 3/1/2019 (7)		8,000,000		8,000,000
Other Securities		22,270,000		22,339,414
				30,339,414
South Carolina — 3.2%
Patriots Energy Group Financing Agency, 2.541, (LIBOR 1 Month), 2/01/2024, Call 11/1/2023 (7)		6,000,000		6,002,340
Tender Option Bond Trust Receipts/Certificates, 1.990, 1/01/2020 (5)(7)		6,000,000		6,000,000
Other Securities		7,000,000		7,005,568
				19,007,908
South Dakota — 0.5%
Other Security		3,000,000		3,000,000
Tennessee — 1.7%
Tennessee Energy Acquisition Corp., 5.250, 9/01/2020		4,720,000		4,914,747
Other Securities		5,185,000		5,180,766
				10,095,513
Texas — 8.4%
Mission Economic Development Corp., 2.150, 4/01/2019 (7)		9,000,000		9,000,990
Northside Independent School District, PSF, 2.000, 8/01/2019 (7)		5,000,000		5,005,000
Rib Floater Trust Various States, 1.890, 6/01/2032, Call 4/1/2020 (5)(7)		6,000,000		6,000,000
Tender Option Bond Trust Receipts/Certificates, 1.940, 7/01/2021 (5)(7)		11,000,000		11,000,000
Other Securities		18,375,000		18,563,997
				49,569,987
Utah — 0.8%
Tender Option Bond Trust Receipts/Certificates, 1.940, 1/01/2025 (5)(7)		4,800,000		4,800,000
Other Securities

Description	Shares or Principal Amount		Value
Municipals (continued)
Virginia — 1.4%
Other Securities	$	8,395,000	$	8,432,518
Washington — 1.2%
Tender Option Bond Trust Receipts/Certificates, 1.890, 6/15/2033, Call 6/1/2019 (5)(7)		5,050,000		5,050,000
Other Securities		2,075,000		2,080,562
				7,130,562
West Virginia — 1.0%
West Virginia Hospital Finance Authority, 1.970, 6/01/2033, Call 3/1/2019 (7)		5,000,000		5,000,000
Other Securities		660,000		686,783
				5,686,783
Wisconsin — 1.8%
Other Securities		10,740,000		10,756,229
Total Municipals (identified cost $574,806,104)				575,074,443
Short-Term Investments — 3.4%
Mutual Funds — 0.0%
Other Security		248,241		248,241
Short-Term Municipals — 3.4%
Florida — 1.2%
Other Securities		7,000,000		7,000,000
Illinois — 1.4%
Tender Option Bond Trust Receipts/Certificates		5,000,000		5,000,000
Other Security		3,500,000		3,525,953
				8,525,953
Kentucky — 0.3%
Other Security		1,435,000		1,435,000
Texas — 0.5%
Other Security		3,000,000		3,000,000
				19,960,953
Total Short-Term Investments (identified cost $20,209,194)				20,209,194
Total Investments — 100.5% (identified cost $595,015,298)				595,283,637
Other Assets — (0.5)%				(2,947,936	)
Net Assets — 100.0%			$	592,335,701

Short Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 96.2%
Alabama — 3.4%
Black Belt Energy Gas District, 4.000, 6/01/2021, Call 3/1/2021 (7)	$	1,000,000	$	1,036,420
County of Jefferson, 5.000, 9/15/2021		1,000,000		1,075,750
Health Care Authority for Baptist Health, 2.220, 11/01/2042 (7)		1,560,000		1,560,000
Other Securities		2,375,000		2,367,541
				6,039,711

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

49

February 28, 2019 (Unaudited)

Schedules of Investments

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Alaska — 0.9%
Alaska Industrial Development & Export Authority, 3.500, 12/01/2020, Call 12/1/2019	$	1,000,000	$	1,007,570
Other Security		500,000		527,755
				1,535,325
Arizona — 1.8%
Other Securities		3,190,000		3,232,067
Arkansas — 0.8%
Arkansas Development Finance Authority, 2.210, 9/01/2044, Call 3/1/2019 (7)		1,029,000		1,029,000
Other Securities		325,000		337,322
				1,366,322
California — 5.5%
California Municipal Finance Authority, 5.000, 2/01/2022		1,000,000		1,085,750
Golden State Tobacco Securitization Corp., 5.000, 6/01/2022		1,000,000		1,088,420
Other Securities		7,330,000		7,669,749
				9,843,919
Colorado — 2.9%
Colorado Educational & Cultural Facilities Authority, 5.000, 10/01/2021		1,000,000		1,065,850
Other Securities		3,978,000		4,094,816
				5,160,666
Connecticut — 0.4%
Other Securities		615,000		646,656
Florida — 6.5%
Atlantic Beach Health Care Facilities Revenue, 3.250, 11/15/2024, Call 11/15/2020		1,155,000		1,160,683
School Board of Miami-Dade County, 1.510, 8/01/2027 (5)(7)		1,515,000		1,515,000
School District of Broward County, 5.000, 7/01/2019		1,000,000		1,010,820
Other Securities		7,710,000		7,949,462
				11,635,965
Georgia — 5.8%
Georgia State Road & Tollway Authority, 5.000, 6/01/2021		1,250,000		1,342,150
Main Street Natural Gas, Inc., 5.000, 5/15/2024		1,250,000		1,388,812
Other Securities		7,335,000		7,573,726
				10,304,688
Guam — 0.3%
Other Security		500,000		538,670
Idaho — 0.0%
Other Security		75,000		75,934
Illinois — 15.1%
Chicago Board of Education, 2.190, 3/01/2034, Call 3/1/2019 (5)(7)		3,000,000		3,000,000
Chicago Housing Authority, HUD SEC 8, 5.000, 1/01/2023		1,000,000		1,108,410
City of Chicago Waterworks Revenue, 5.000, 11/01/2021		1,000,000		1,074,310
Cook County Community Unit School District No 401 Elmwood Park, 2.375, 12/01/2028, Call 3/12/2019 (7)		1,000,000		1,018,920

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000, 12/01/2019	$	1,000,000	$	1,024,720
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000, 1/01/2023		1,000,000		1,110,750
Railsplitter Tobacco Settlement Authority, 5.000, 6/01/2023		1,000,000		1,117,210
Sales Tax Securitization Corp., 5.000, 1/01/2023		1,000,000		1,090,620
State of Illinois, 5.000, 11/01/2022		2,000,000		2,139,300
Will & Kankakee Counties School District No. 255, 4.000, 6/01/2019		1,110,000		1,116,149
Other Securities		12,505,000		13,122,781
				26,923,170
Indiana — 2.2%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.950, 7/01/2047, Call 2/28/2019 (7)		2,000,000		2,000,000
Other Securities		1,850,000		1,889,065
				3,889,065
Kansas — 0.4%
Other Securities		720,000		743,388
Kentucky — 2.8%
Kentucky Rural Water Finance Corp., 2.250, 3/01/2020, Call 9/1/2019		1,200,000		1,201,932
Other Securities		3,695,000		3,832,165
				5,034,097
Louisiana — 0.3%
Other Securities		565,000		590,381
Maine — 0.1%
Other Securities		240,000		243,737
Maryland — 0.7%
Other Securities		1,090,000		1,168,476
Massachusetts — 1.8%
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 5.000, 1/01/2023, Call 1/1/2023 (7)		1,000,000		1,115,840
Other Securities		2,080,000		2,156,873
				3,272,713
Michigan — 1.9%
Other Securities		3,235,000		3,392,938
Minnesota — 0.3%
Other Security		500,000		540,690
Mississippi — 0.9%
Other Securities		1,405,000		1,522,537
Missouri — 2.1%
Other Securities		3,605,000		3,664,821
Nebraska — 0.6%
Central Plains Energy Project, 5.000, 1/01/2024, Call 10/1/2023 (7)		1,000,000		1,095,850
Other Securities
Nevada — 0.9%
City of North Las Vegas NV, AGM, 5.000, 6/01/2023		1,000,000		1,119,370
Other Security		500,000		544,655
				1,664,025

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

50

BMO Funds

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
New Jersey — 2.9%
Lyndhurst Township School District, School Bond Gty, 3.000, 9/13/2019	$	1,000,000	$	1,005,810
Tobacco Settlement Financing Corp., 5.000, 6/01/2022		1,000,000		1,083,520
Other Securities		2,835,000		2,993,204
				5,082,534
New Mexico — 0.4%
Other Securities		660,000		660,426
New York — 7.9%
County of Suffolk, 5.000, 7/24/2019		1,250,000		1,264,475
Metropolitan Transportation Authority, 5.000, 11/15/2024 (7)		1,000,000		1,144,590
New York State Thruway Authority, 5.000, 5/01/2019		1,000,000		1,005,210
Nuveen New York AMT-Free Quality Municipal Income Fund, 2.040, 5/01/2047, Call 2/28/2019 (5)(7)		1,500,000		1,500,000
TSASC, Inc., 5.000, 6/01/2021		1,000,000		1,059,640
Westchester Tobacco Asset Securitization, 5.000, 6/01/2020		1,155,000		1,192,919
Other Securities		6,760,287		6,871,583
				14,038,417
North Carolina — 0.5%
Other Securities		950,000		924,503
North Dakota — 0.2%
Other Securities		320,000		330,414
Ohio — 3.5%
FHLMC Multifamily VRD Certificates, 1.990, (SIFMA Municipal Swap Index Yield), 9/15/2033 (7)		1,345,000		1,345,000
Other Securities		4,850,000		4,960,219
				6,305,219
Pennsylvania — 4.9%
Commonwealth Financing Authority, 5.000, 6/01/2022		1,000,000		1,092,440
Montgomery County Higher Education & Health Authority, 1.970, 9/01/2050, Call 3/1/2019 (7)		1,235,000		1,235,000
Northampton County General Purpose Authority, 2.796, (LIBOR 1 Month), 8/15/2024, Call 2/15/2023 (7)		1,000,000		1,004,300
Other Securities		5,290,000		5,394,502
				8,726,242
South Carolina — 2.3%
Newberry Investing in Children’s Education, 5.000, 12/01/2019		1,000,000		1,024,720
Tender Option Bond Trust Receipts/Certificates, 1.990, 1/01/2020 (5)(7)		1,500,000		1,500,000
Other Securities		1,500,000		1,500,390
				4,025,110
Tennessee — 1.8%
Tennessee Energy Acquisition Corp., 4.000, 5/01/2023, Call 2/1/2023 (7)		1,000,000		1,047,390
Other Securities		1,980,000		2,062,123
				3,109,513

Description	Shares or Principal Amount		Value
Municipals (continued)
Texas — 6.9%
Lower Colorado River Authority, 5.000, 5/15/2019	$	1,000,000	$	1,006,460
Mission Economic Development Corp., 2.150, 4/01/2019 (7)		2,000,000		2,000,220
Tarrant County Cultural Education Facilities Finance Corp., 5.000, 11/15/2022		1,000,000		1,087,130
Tender Option Bond Trust Receipts/Certificates, 1.940, 7/01/2021 (5)(7)		1,500,000		1,500,000
Other Securities		6,485,000		6,628,010
				12,221,820
Utah — 0.2%
Other Security		400,000		400,000
Vermont — 0.1%
Other Security		100,000		100,996
Virginia — 1.5%
Henrico County Economic Development Authority, AGM, 4.365, 8/23/2027, Call 2/28/2019 (7)(8)		1,100,000		1,100,000
Other Securities		1,575,000		1,641,081
				2,741,081
Washington — 1.0%
State of Washington, 5.000, 2/01/2022		1,000,000		1,095,570
Other Securities		695,000		714,926
				1,810,496
West Virginia — 1.8%
West Virginia Hospital Finance Authority, 1.970, 6/01/2033, Call 3/1/2019 (7)		2,000,000		2,000,000
Other Securities		1,075,000		1,175,452
				3,175,452
Wisconsin — 1.9%
Other Securities		3,135,000		3,305,386
Total Municipals (identified cost $170,584,619)				171,083,420
Short-Term Investments — 1.0%
Mutual Funds — 0.1%
Other Security		170,976		170,976
Short-Term Municipals — 0.9%
Florida — 0.6%
Other Security	$	1,000,000		1,000,000
Illinois — 0.3%
Other Security		600,000		604,449
				1,604,449
Total Short-Term Investments (identified cost $1,775,425)				1,775,425
Total Investments — 97.2% (identified cost $172,360,044)				172,858,845
Other Assets — 2.8%				4,946,392
Net Assets — 100.0%			$	177,805,237

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

51

February 28, 2019 (Unaudited)

Schedules of Investments

Short-Term Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 19.2%
Automobiles — 8.2%
Americredit Automobile Receivables Trust, Class D, (Series 2016-1), 3.590%, 2/8/2022	$	2,000,000	$	2,013,445
Capital Auto Receivables Asset Trust 2015-2, Class D, (Series 2015-2), 3.160%, 11/20/2020		2,000,000		2,002,458
CarMax Auto Owner Trust, Class A3, (Series 2016-2), 1.520%, 2/16/2021		151,127		150,550
Drive Auto Receivables Trust:
Class C, (Series 2015-DA), 3.380%, 11/15/2021 (5)		503,103		503,356
Class D, (Series 2015-BA), 3.840%, 7/15/2021 (5)		682,097		683,307
Drive Auto Receivables Trust 2017-A, Class C, (Series 2017-AA), 2.980%, 1/18/2022 (5)		926,652		927,116
Enterprise Fleet Financing LLC, Class A1, (Series 2018-2), 2.550%, 8/20/2019 (5)		779,874		779,494
Flagship Credit Auto Trust, Class A, (Series 2016-1), 2.770%, 12/15/2020 (5)		99,008		99,011
GM Financial Automobile Leasing Trust:
Class A3, (Series 2017-1), 2.060%, 5/20/2020		870,770		869,252
Class A3, (Series 2017-2), 2.020%, 9/21/2020		1,000,000		996,661
Class A4, (Series 2017-3), 2.120%, 9/20/2021		1,655,000		1,643,789
GM Financial Consumer Automobile, Class C, (Series 2017-1A), 2.450%, 7/17/2023 (5)		1,000,000		989,191
Hertz Vehicle Financing II LP, Class A, (Series 2016-3A), 2.270%, 7/25/2020 (5)		2,500,000		2,492,959
Nissan Auto Receivables 2018-C Owner Trust, Class A2A, (Series 2018-C), 3.070%, 10/15/2021		805,000		807,581
Santander Drive Auto Receivables Trust:
Class C, (Series 2015-2), 2.440%, 4/15/2021		94,528		94,506
Class D, (Series 2015-2), 3.020%, 4/15/2021		960,000		960,552
Santander Drive Auto Receivables Trust 2015-1, Class D, (Series 2015-1), 3.240%, 4/15/2021		1,787,059		1,789,464
Santander Retail Auto Lease Trust, Class C, (Series 2017-A), 2.960%, 11/21/2022 (5)		1,500,000		1,494,181
Tesla Auto Lease Trust, Class C, (Series 2018-A), 2.970%, 4/20/2020 (5)		500,000		499,094
Toyota Auto Receivables, Class A3, (Series 2016-C), 1.140%, 8/17/2020		281,686		280,474

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Automobiles (continued)
Wheels SPV 2 LLC, Class A2, (Series 2016-1A), 1.590%, 5/20/2025 (5)	$	154,409	$	154,211
World Omni Auto Receivables Trust:
Class A3, (Series 2015-B), 1.490%, 12/15/2020		156,521		156,401
Class A3, (Series 2017-B), 1.950%, 2/15/2023		450,000		444,973
				20,832,026
Credit Cards — 5.9%
Cabela’s Credit Card Master Note Trust:
Class A, (Series 2014-2), 2.939% (LIBOR 1 Month + 45 basis points), 7/15/2022 (7)		1,000,000		1,000,876
Class A1, (Series 2015-1A), 2.260%, 3/15/2023		1,010,000		1,004,345
Class A1, (Series 2015-2), 2.250%, 7/17/2023		2,208,000		2,191,751
Chase Issuance Trust, Class A4, (Series 2016-A4), 1.490%, 7/15/2022		2,500,000		2,459,331
GE Capital Credit Card Master Note Trust, Class B, (Series 2012-7), 2.210%, 9/15/2022		1,885,483		1,876,830
Synchrony Card Issuance Trust, Class A, (Series 2018-A1), 3.380%, 9/15/2024		2,200,000		2,226,644
World Financial Network Credit Card Master Trust:
3.510%, 12/15/2025		750,000		752,490
Class A, (Series 2015-B), 2.550%, 6/17/2024		365,000		362,924
Class A, (Series 2016-A), 2.030%, 4/15/2025		2,000,000		1,954,700
Class A, (Series 2017-C), 2.310%, 8/15/2024		1,000,000		990,597
				14,820,488
Other Financial — 5.1%
Ally Master Owner Trust, Class A, (Series 2018-2), 3.290%, 5/15/2023		1,500,000		1,513,128
Consumers Securitization Funding LLC, Class A1, (Series 2014-A), 1.334%, 11/1/2020		599,579		597,412
Daimler Trucks Retail Trust, Class A3, (Series 2018-1), 2.850%, 7/15/2021 (5)		2,000,000		2,000,314
Hilton Grand Vacations Trust, Class A, (Series 2014-AA), 1.770%, 11/25/2026 (5)		391,130		385,848
Marlin Receivables LLC, Class B, (Series 2018-1A), 3.540%, 5/22/2023 (5)		1,000,000		1,002,384
Sierra Receivables Funding Co. LLC, Class B, (Series 2017-1A), 3.200%, 3/20/2034 (5)		863,427		855,423
Trafigura Securitisation Finance PLC, Class A1, (Series 2017-1A), 3.338% (LIBOR 1 Month + 85 basis points), 12/15/2020 (5)(7)		3,000,000		3,015,861

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

52

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Other Financial (continued)
Verizon Owner Trust, Class A, (Series 2016-1A), 1.420%, 1/20/2021 (5)	$	416,540	$	415,994
Volvo Financial Equipment LLC, Class A4, (Series 2017-1A), 2.210%, 11/15/2021 (5)		780,000		772,358
Wells Fargo Dealer Floorplan Master Note Trust, Class A, (Series 2015-2), 3.135% (LIBOR 1 Month + 65 basis points), 1/20/2022 (7)		1,000,000		1,003,135
Westgate Resorts LLC, Class B, (Series 2018-1A), 3.580%, 12/20/2031 (5)		1,204,176		1,199,282
				12,761,139
Total Asset-Backed Securities (identified cost $48,492,316)				48,413,653
Collateralized Mortgage Obligations — 8.7%
Federal Home Loan Mortgage Corporation — 1.6%
2.000%, 1/15/2024, (Series 4295)		516,089		507,712
3.000%, 2/15/2031, (Series 4013)		1,068,468		1,090,280
3.000%, 9/15/2032, (Series 4236)		1,597,156		1,597,608
4.500%, 8/15/2039, (Series 3778)		676,555		705,421
				3,901,021
Federal National Mortgage Association — 1.2%
3.000%, 6/25/2033		1,678,283		1,675,344
3.000%, 8/25/2040, (Series 2015-15)		1,352,085		1,345,363
				3,020,707
Government National Mortgage Association — 0.4%
2.900%, 2/16/2047, (Series 2018-118)		992,094		978,180
Private Sponsor — 5.5%
Banc of America Funding Trust:
Class 1A3, (Series 2007-C), 4.590%, 5/20/2036 (7)		135,220		134,100
Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		227,402		237,792
Chase Mortgage Finance Trust:
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		150,350		155,051
Class A3, (Series 2006-S4), 6.000%, 12/25/2036		194,632		150,356
FREMF Mortgage Trust:
Class B, (Series 2012-K709), 3.705%, 4/25/2045 (5)(7)		1,370,000		1,367,876
Class B, (Series 2012-K710), 3.811%, 6/25/2047 (5)(7)		1,005,000		1,004,243
Class B, (Series 2013-K712), 3.358%, 5/25/2045 (5)(7)		2,085,000		2,086,478
Class B, (Series 2013-K713), 3.154%, 4/25/2046 (5)(7)		3,325,000		3,323,028
Class B, (Series 2014-K717), 3.629%, 11/25/2047 (5)(7)		1,750,000		1,768,583
Class C, (Series 2013-K35), 3.940%, 8/25/2023 (5)(7)		500,000		504,183

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor (continued)
JP Morgan Mortgage Trust:
Class 1A5, (Series 2017-3), 3.500%, 8/25/2047 (5)(7)	$	1,073,490	$	1,069,757
Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		59,389		56,581
Class 3A1, (Series 2007-A2), 4.084%, 4/25/2037 (7)		13,009		11,541
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 4.407%, 11/25/2034 (7)		236,760		240,483
OBX 2019-INV1 Trust, Class A8, (Series 2019-INV1), 4.000%, 11/25/2048 (5)(7)		1,479,377		1,502,584
Wells Fargo Mortgage Backed Securities Trust:
Class 2A4, (Series 2006-AR7), 4.339%, 5/25/2036 (7)		97,969		100,626
Class 2A4, (Series 2006-AR8), 4.618%, 4/25/2036 (7)		29,174		29,219
Class A1, (Series 2006-AR19), 4.863%, 12/25/2036 (7)		200,964		189,977
				13,932,458
Total Collateralized Mortgage Obligations (identified cost $22,064,264)				21,832,366
Commercial Mortgage Securities — 6.2%
Government National Mortgage Association — 1.5%
1.800%, 7/16/2037, (Series 2013-179)		797,362		775,330
2.100%, 4/16/2050, (Series 2016-92)		1,268,848		1,222,302
2.205%, 1/16/2044, (Series 2014-61)		770,675		759,147
2.650%, 2/16/2045, (Series 2015-33)		1,059,573		1,052,295
				3,809,074
Private Sponsor — 4.7%
BANK, Class A1, (Series 2017-BNK9), 2.322%, 11/15/2054		1,991,684		1,968,987
Citigroup Commercial Mortgage Trust, Class A1, (Series 2017-P7), 2.008%, 4/14/2050		753,841		745,947
Great Wolf Trust, Class B, (Series 2017-WOLF), 3.689% (LIBOR 1 Month + 110 basis points), 9/15/2034 (5)(7)		2,000,000		1,999,200
GS Mortgage Securities Trust, Class A4, (Series 2011-GC3), 4.753%, 3/10/2044 (5)		710,887		730,769
JPMBB Commercial Mortgage Securities Trust, Class A2, (Series 2013-C14), 3.019%, 8/15/2046		280,451		280,269
Morgan Stanley BAML Trust, Class A1, (Series 2016-C30), 1.389%, 9/15/2049		1,287,801		1,264,253
RAIT Trust, Class A, (Series 2017-FL7), 3.439% (LIBOR 1 Month + 95 basis points), 6/15/2037 (5)(7)		574,683		568,508
SLIDE, Class B, (Series 2018-FUN), 3.739% (LIBOR 1 Month + 125 basis points), 6/15/2031 (5)(7)		988,814		988,559

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

53

February 28, 2019 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
UBS Commercial Mortgage Trust, Class A1, (Series 2017-C3), 1.935%, 8/15/2050	$	1,378,276	$	1,356,885
WFRBS Commercial Mortgage Trust, Class ASB, (Series 2013-C18), 3.676%, 12/15/2046		1,944,085		1,973,961
				11,877,338
Total Commercial Mortgage Securities (identified cost $15,851,531)				15,686,412
Corporate Bonds & Notes — 47.0%
Aerospace/Defense — 0.6%
General Dynamics Corp., 3.000%, 5/11/2021 (1)		750,000		753,304
United Technologies Corp., 3.100%, 6/1/2022 (1)		750,000		749,878
				1,503,182
Auto Manufacturers — 5.2%
American Honda Finance Corp.:
2.650%, 2/12/2021		1,000,000		997,446
2.908% (LIBOR 3 Month + 21 basis points), 2/12/2021 (7)		1,000,000		998,280
3.033% (LIBOR 3 Month + 34 basis points), 2/14/2020 (7)		900,000		901,432
3.450%, 7/14/2023		1,555,000		1,578,345
Ford Motor Credit Co. LLC:
2.021%, 5/3/2019		500,000		499,250
4.083% (LIBOR 3 Month + 127 basis points), 3/28/2022 (7)		1,000,000		962,993
General Motors Financial Co., Inc.:
2.450%, 11/6/2020		1,000,000		983,683
3.450%, 1/14/2022 (1)		750,000		748,720
4.064% (LIBOR 3 Month + 127 basis points), 10/4/2019 (7)		1,500,000		1,503,775
4.347% (LIBOR 3 Month + 155 basis points), 1/14/2022 (7)		750,000		749,712
Toyota Motor Corp., 3.183%, 7/20/2021		740,000		745,307
Toyota Motor Credit Corp.:
3.027% (LIBOR 3 Month + 24 basis points), 7/15/2020 (7)		1,500,000		1,501,785
3.489% (LIBOR 3 Month + 69 basis points), 1/11/2022 (7)		1,000,000		1,006,207
				13,176,935
Banks — 23.0%
Australia & New Zealand Banking Group, Ltd., 3.300%, 5/17/2021		500,000		502,220
Bank of America Corp.:
2.328% (LIBOR 3 Month + 63 basis points), 10/1/2021 (1)(7)		750,000		742,205
3.499% (LIBOR 3 Month + 63 basis points), 5/17/2022 (1)(7)		1,000,000		1,007,384
3.779% (LIBOR 3 Month + 100 basis points), 4/24/2023 (1)(7)		2,000,000		2,015,096
Branch Banking & Trust Co., 2.100%, 1/15/2020		1,200,000		1,192,047

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Canadian Imperial Bank of Commerce:
2.700%, 2/2/2021 (1)	$	750,000	$	747,986
3.500%, 9/13/2023 (1)		650,000		658,734
Capital One Financial Corp., 3.050%, 3/9/2022		1,000,000		996,232
Capital One NA, 3.900% (LIBOR 3 Month + 115 basis points), 1/30/2023 (1)(7)		1,000,000		1,000,238
Citigroup, Inc.:
2.350%, 8/2/2021		520,000		511,252
2.700%, 10/27/2022		1,000,000		983,169
3.731% (LIBOR 3 Month + 96 basis points), 4/25/2022 (1)(7)		1,500,000		1,510,417
Customers Bancorp, Inc., 3.950%, 6/30/2022		2,000,000		1,969,550
Eagle Bancorp, Inc., 5.000% (LIBOR 3 Month + 385 basis points), 8/1/2026 (7)		1,230,000		1,227,430
Fifth Third Bancorp, 2.875%, 7/27/2020		1,200,000		1,198,870
Goldman Sachs Group, Inc.:
2.350%, 11/15/2021 (1)		1,000,000		979,636
2.550%, 10/23/2019 (1)		1,500,000		1,496,854
Hanmi Financial Corp., 5.450% (LIBOR 3 Month + 332 basis points), 3/30/2027 (7)		2,000,000		2,038,886
Home BancShares, Inc., 5.625% (LIBOR 3 Month + 358 basis points), 4/15/2027 (7)		1,000,000		1,010,806
Huntington Bancshares, Inc.:
2.300%, 1/14/2022 (1)		1,144,000		1,117,624
3.150%, 3/14/2021		1,000,000		1,000,092
Independent Bank Group, Inc., 5.875%, 8/1/2024		1,680,000		1,712,460
KeyBank NA, 3.300%, 2/1/2022 (1)		500,000		503,497
KeyCorp, 2.900%, 9/15/2020 (1)		1,000,000		1,000,856
MB Financial Bank NA, 4.000% (LIBOR 3 Month + 187 basis points), 12/1/2027 (7)		2,000,000		1,942,363
Mitsubishi UFJ Financial Group, Inc.:
3.535%, 7/26/2021 (1)		850,000		856,178
3.761%, 7/26/2023 (1)		1,000,000		1,017,065
Morgan Stanley:
2.625%, 11/17/2021 (1)		1,250,000		1,234,479
3.941% (LIBOR 3 Month + 118 basis points), 1/20/2022 (1)(7)		645,000		652,256
National Australia Bank, Ltd.:
2.500%, 1/12/2021		1,400,000		1,386,119
2.625%, 7/23/2020		1,250,000		1,246,608
Peapack Gladstone Financial Corp., 6.000% (LIBOR 3 Month + 485 basis points), 6/30/2026 (7)		500,000		507,811
PNC Bank NA:
3.011% (LIBOR 3 Month + 25 basis points), 1/22/2021 (7)		750,000		749,264
3.500%, 6/8/2023 (1)		1,000,000		1,013,690
PNC Financial Services Group, Inc., 4.375%, 8/11/2020 (1)		950,000		969,303
Regions Bank, 3.177% (LIBOR 3 Month + 38 basis points), 4/1/2021 (1)(7)		1,000,000		991,460

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

54

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Renasant Corp., 5.000% (LIBOR 3 Month + 384 basis points), 9/1/2026 (7)	$	825,000	$	812,490
Royal Bank of Canada:
2.750%, 2/1/2022 (1)		400,000		399,091
3.061% (LIBOR 3 Month + 30 basis points), 7/22/2020 (7)		1,000,000		1,001,219
State Street Corp., 1.950%, 5/19/2021		1,000,000		979,652
SunTrust Bank:
2.250%, 1/31/2020 (1)		1,000,000		994,254
3.502% (LIBOR 3 Month + 59 basis points), 8/2/2022 (1)(7)		750,000		755,449
3.689% (LIBOR 3 Month + 74 basis points), 8/2/2024 (1)(7)		700,000		708,862
Toronto-Dominion Bank:
2.125%, 4/7/2021		1,000,000		982,553
2.900% (LIBOR 3 Month + 15 basis points), 8/7/2020 (7)		2,000,000		2,000,829
Towne Bank, 4.500% (LIBOR 3 Month + 255 basis points), 7/30/2027 (7)		2,000,000		2,003,767
U.S. Bank NA:
2.050%, 10/23/2020 (1)		1,450,000		1,432,020
2.780% (FEDL 1 Month + 38 basis points), 1/30/2020 (7)		1,000,000		1,000,203
United Community Bank, 4.500% (LIBOR 3 Month + 212 basis points), 1/30/2028 (7)		1,000,000		987,646
Wells Fargo & Co.:
2.625%, 7/22/2022 (1)		1,000,000		982,421
3.889% (LIBOR 3 Month + 111 basis points), 1/24/2023 (1)(7)		1,000,000		1,009,356
Westpac Banking Corp.:
2.500%, 6/28/2022 (1)		500,000		490,623
2.800%, 1/11/2022 (1)		1,000,000		991,864
3.111% (LIBOR 3 Month + 34 basis points), 1/25/2021 (7)		750,000		749,800
				57,972,236
Biotechnology — 0.6%
Amgen, Inc., 2.200%, 5/22/2019		1,450,000		1,448,417
Chemicals — 0.2%
DowDuPont, Inc., 3.766%, 11/15/2020		425,000		430,254
Computers — 0.6%
Dell International LLC, 4.420%, 6/15/2021 (5)		1,000,000		1,018,725
IBM Credit LLC, 3.450%, 11/30/2020		550,000		555,282
				1,574,007
Cosmetics/Personal Care — 0.8%
Colgate-Palmolive Co., 2.250%, 11/15/2022		1,300,000		1,278,140
Procter & Gamble Co., 2.150%, 8/11/2022 (1)		775,000		760,398
				2,038,538
Diversified Financial Services — 2.0%
American Express Credit Corp.:
2.375%, 5/26/2020		1,000,000		993,654
2.700%, 3/3/2022 (1)		1,500,000		1,492,468
2.600%, 9/14/2020 (1)		750,000		746,507

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services (continued)
Capital One Financial Corp., 3.200%, 1/30/2023	$	500,000	$	493,031
National Rural Utilities Cooperative Finance Corp., 1.500%, 11/1/2019		1,285,000		1,274,447
				5,000,107
Electric — 0.5%
American Electric Power Co., Inc., 2.150%, 11/13/2020		750,000		740,010
NextEra Energy Capital Holdings, Inc., 2.300%, 4/1/2019		500,000		499,878
				1,239,888
Healthcare-Services — 0.2%
Anthem, Inc., 2.500%, 11/21/2020 (1)		600,000		594,768
Insurance — 0.2%
Allstate Corp., 3.233% (LIBOR 3 Month + 43 basis points), 3/29/2021 (7)		500,000		497,363
Machinery-Construction & Mining — 1.5%
Caterpillar Financial Services Corp.:
3.150%, 9/7/2021 (1)		775,000		780,375
3.293% (LIBOR 3 Month + 51 basis points), 1/10/2020 (7)		1,000,000		1,003,892
3.450%, 5/15/2023		2,110,000		2,141,008
				3,925,275
Machinery-Diversified — 0.9%
John Deere Capital Corp.:
2.800%, 3/6/2023 (1)		750,000		748,492
3.200%, 1/10/2022		1,500,000		1,516,563
				2,265,055
Media — 1.4%
Comcast Corp., 3.300%, 10/1/2020		1,000,000		1,006,947
Discovery Communications LLC, 2.200%, 9/20/2019		2,000,000		1,990,493
Walt Disney Co., 1.950%, 3/4/2020 (1)		500,000		496,614
				3,494,054
Oil & Gas — 1.7%
BP Capital Markets PLC, 2.500%, 11/6/2022 (1)		1,250,000		1,227,981
Chevron Corp., 1.961%, 3/3/2020		1,000,000		993,709
Exxon Mobil Corp., 2.397%, 3/6/2022 (1)		850,000		842,448
Phillips 66, 3.246% (LIBOR 3 Month + 60 basis points), 2/26/2021 (7)		1,200,000		1,199,355
				4,263,493
Pharmaceuticals — 1.6%
AbbVie, Inc., 3.750%, 11/14/2023 (1)		500,000		505,574
CVS Health Corp., 3.350%, 3/9/2021		1,500,000		1,505,090
Express Scripts Holding Co., 2.250%, 6/15/2019		1,000,000		998,032
Novartis Capital Corp., 1.800%, 2/14/2020 (1)		1,000,000		992,098
				4,000,794

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

55

February 28, 2019 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Retail — 1.2%
Lowe’s Cos., Inc., 3.187% (LIBOR 3 Month + 42 basis points), 9/10/2019 (7)	$	815,000	$	816,157
Walmart, Inc., 3.400%, 6/26/2023		2,275,000		2,320,632
				3,136,789
Savings & Loans — 1.2%
Flagstar Bancorp, Inc., 6.125%, 7/15/2021		1,000,000		1,037,279
New York Community Bancorp, Inc., 5.900% (LIBOR 3 Month + 278 basis points), 11/6/2028 (7)		2,000,000		2,011,922
				3,049,201
Semiconductors — 0.4%
Intel Corp., 2.450%, 7/29/2020		1,000,000		997,577
Software — 0.4%
Microsoft Corp., 1.850%, 2/6/2020		1,000,000		992,813
Telecommunications — 2.4%
AT&T, Inc.:
2.450%, 6/30/2020		500,000		496,742
3.000%, 2/15/2022 (1)		1,000,000		995,764
3.438% (LIBOR 3 Month + 65 basis points), 1/15/2020 (7)		1,500,000		1,505,536
Cisco Systems, Inc., 2.125%, 3/1/2019		1,500,000		1,500,000
Verizon Communications, Inc.:
3.125%, 3/16/2022		400,000		401,802
3.450%, 3/15/2021 (1)		500,000		505,653
3.788% (LIBOR 3 Month + 100 basis points), 3/16/2022 (1)(7)		750,000		759,066
				6,164,563
Transportation — 0.4%
Union Pacific Corp., 2.950%, 3/1/2022		1,000,000		1,000,725
Total Corporate Bonds & Notes (identified cost $118,749,053)				118,766,034
Mutual Funds — 0.4%
Eaton Vance Institutional Senior Loan Fund, Open-end Cayman Islands Exempted Co. (8)		110,732		992,162
Total Mutual Funds (identified cost $995,329)				992,162
U.S. Government & U.S. Government Agency Obligations — 8.4%
Federal Home Loan Mortgage Corporation — 0.4%
2.375%, 2/16/2021	$	1,000,000		996,838
Federal National Mortgage Association — 1.5%
1.500%, 6/22/2020		1,000,000		986,490
1.750%, 11/26/2019		1,750,000		1,740,149
2.500%, 4/13/2021		1,000,000		999,431
				3,726,070
U.S. Treasury Bonds & Notes — 6.5%
1.000%, 9/30/2019		1,500,000		1,486,787
1.375%, 10/31/2020 (1)		2,000,000		1,961,953

Description	Shares or Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
1.875%, 2/28/2022	$	1,000,000	$	982,383
2.000%, 5/31/2021		1,500,000		1,483,506
2.125%, 12/31/2022		2,000,000		1,972,187
2.250%, 3/31/2021		1,200,000		1,193,531
2.375%, 4/15/2021		2,000,000		1,994,102
2.500%, 5/15/2024		2,500,000		2,495,068
2.625%, 7/15/2021		1,000,000		1,002,813
2.750%, 8/15/2021		2,000,000		2,011,875
				16,584,205
Total U.S. Government & U.S. Government Agency Obligations (identified cost $21,299,711)				21,307,113
U.S. Government Agency-Mortgage Securities — 1.6%
Federal National Mortgage Association — 0.8%
2.490%, 11/1/2020		987,852		985,894
3.500%, 4/1/2026		83,688		85,098
4.000%, 11/1/2031		369,446		381,084
5.500%, 11/1/2033		102,787		111,672
5.500%, 2/1/2034		76,971		83,855
5.500%, 8/1/2037		175,535		191,215
9.500%, 1/1/2025		571		571
10.000%, 7/1/2020		3,241		3,260
				1,842,649
Government National Mortgage Association — 0.0%
7.500%, 8/15/2037		12,815		13,069
9.000%, 12/15/2019		366		366
				13,435
Sovereign — 0.8%
3.000%, 12/9/2022 (1)		2,000,000		2,033,574
Total U.S. Government Agency-Mortgage Securities
(identified cost $3,887,057)				3,889,658
Short-Term Investments — 20.0%
Certificates of Deposit — 3.1%
Bank of Nova Scotia:
2.870% (U.S. Federal Funds Effective Rate (continuous series) + 47 basis points), 12/12/2019 (7)		350,000		349,907
3.044% (LIBOR 3 Month + 22 basis points), 12/23/2019 (7)		750,000		749,627
Canadian Imperial Bank of Commerce, 3.115% (LIBOR 3 Month + 32 basis points), 7/5/2019 (7)		750,000		750,408
Mizuho Bank, Ltd., 3.202% (LIBOR 3 Month + 38 basis points), 6/25/2020 (7)		1,000,000		999,473
MUFG Bank, Ltd., 3.197% (LIBOR 3 Month + 46 basis points), 2/4/2021 (7)		1,500,000		1,500,000
Sumitomo Mitsui Banking Corp.:
3.118% (LIBOR 3 Month + 38 basis points), 8/2/2019 (7)		1,000,000		999,701
3.144% (LIBOR 3 Month + 46 basis points), 5/15/2019 (7)		1,300,000		1,299,776
3.199% (LIBOR 3 Month + 42 basis points), 7/24/2020 (7)		1,250,000		1,250,000
				7,898,892

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

56

BMO Funds

Short-Term Income Fund (continued)

Description	Shares or Principal Amount		Value
Short-Term Investments (continued)
Collateral Pool Investments for Securities on Loan — 11.8%
Collateral pool allocation (3)			$	29,843,111
Commercial Paper — 1.4%
Mondelez International, Inc., 3.050%, 4/8/2019		2,000,000		1,993,561
Walgreens Boots Alliance, Inc., 3.000%, 4/22/2019		1,500,000		1,493,500
				3,487,061
Mutual Funds — 3.7%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		9,366,397		9,367,334
Total Short-Term Investments (identified cost $50,595,643)				50,596,398
Total Investments — 111.5% (identified cost $281,934,904)				281,483,796
Other Assets and Liabilities — (11.5)%				(28,979,286	)
Total Net Assets — 100.0%			$	252,504,510

Intermediate Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 97.9%
Alabama — 2.2%
Health Care Authority for Baptist Health, 2.220, 11/01/2042 (7)	$	8,175,000	$	8,175,000
Southeast Alabama Gas Supply District, 2.531, (LIBOR 1 Month), 6/01/2024, Call 3/1/2024 (7)		7,000,000		6,905,640
Other Securities		22,365,000		24,040,999
				39,121,639
Alaska — 0.5%
Other Securities		8,040,000		8,901,326
Arizona — 2.5%
State of Arizona, AGM, 5.250, 10/01/2024, Call 10/1/2019		5,000,000		5,104,550
Other Securities		36,170,000		38,201,868
				43,306,418
Arkansas — 1.3%
Arkansas Development Finance Authority, 2.210, 9/01/2044, Call 3/1/2019 (7)		5,450,000		5,450,000
Other Securities		16,070,000		17,031,353
				22,481,353
California — 6.1%
Bay Area Toll Authority, 2.990, (SIFMA Municipal Swap Index Yield), 4/01/2027, Call 10/1/2026 (7)		5,000,000		5,170,400
San Francisco City & County Airport Comm-San Francisco International Airport, 5.000, 5/01/2044, Call 5/1/2029 (9)		5,500,000		6,246,130
Other Securities		100,740,000		95,676,129
				107,092,659

Description	Principal Amount		Value
Municipals (continued)
Colorado — 4.1%
Adams & Arapahoe Joint School District 28J Aurora, SAW, 5.000, 12/01/2031, Call 12/1/2026	$	5,000,000	$	5,893,150
City & County of Denver, 5.000, 8/01/2041, Call 8/1/2026		8,000,000		9,020,320
City & County of Denver Airport System Revenue
5.000%, 11/15/2029, Call 11/15/2027		4,945,000		5,831,540
5.000%, 11/15/2030, Call 11/15/2027		5,010,000		5,862,351
				11,693,891
Tender Option Bond Trust Receipts/Certificates, 2.040, 12/01/2043, Call 12/1/2028 (5)(7)		9,190,000		9,190,000
Other Securities		33,720,000		36,260,920
				72,058,281
Connecticut — 0.9%
Other Securities		14,520,000		16,325,429
Delaware — 0.4%
Other Securities		6,985,000		7,597,446
District of Columbia — 0.4%
Other Securities		6,365,000		7,004,756
Florida — 4.8%
County of Orange Sales Tax Revenue, 5.000, 1/01/2027, Call 1/1/2022		5,810,000		6,319,479
Sarasota County Public Hospital District, 5.000, 7/01/2041, Call 7/1/2028		5,000,000		5,596,450
Other Securities		67,465,000		72,623,801
				84,539,730
Georgia — 4.1%
Main Street Natural Gas, Inc., 2.431, (LIBOR 1 Month), 9/01/2023, Call 6/1/2023 (7)		7,000,000		6,940,220
Other Securities		60,960,000		65,421,923
				72,362,143
Guam — 0.1%
Other Securities		2,310,000		2,501,121
Hawaii — 0.1%
Other Securities		1,000,000		1,130,565
Idaho — 0.1%
Other Security		1,000,000		1,137,970
Illinois — 17.1%
Chicago Board of Education, 2.190, 3/01/2034, Call 3/1/2019 (5)(7)		10,000,000		10,000,000
City of Chicago, 6.000, 1/01/2038, Call 1/1/2027		10,000,000		11,253,100
Cook County Community Unit School District No 401 Elmwood Park, 2.375, 12/01/2028, Call 3/12/2019 (7)		5,000,000		5,094,600
Illinois Finance Authority
5.000%, 5/15/2043, Call 11/15/2028		5,000,000		5,541,750

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

57

February 28, 2019 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
5.000%, 1/01/2044, Call 1/1/2028	$	5,000,000	$	5,406,000
				10,947,750
Illinois State Toll Highway Authority, 5.000, 12/01/2032, Call 1/1/2026		7,790,000		8,845,545
Sales Tax Securitization Corp., 5.250, 1/01/2043, Call 1/1/2029		5,000,000		5,607,000
State of Illinois
5.000%, 11/01/2025		7,000,000		7,576,800
5.000%, 2/01/2027		5,000,000		5,426,350
5.000%, 10/01/2028		4,700,000		5,116,044
5.000%, 6/15/2034, Call 6/15/2028		5,000,000		5,432,650
				23,551,844
Other Securities		212,636,585		225,171,832
				300,471,671
Indiana — 2.0%
Other Securities		32,830,000		34,616,647
Iowa — 0.5%
Other Securities		7,705,000		8,120,191
Kansas — 0.2%
Other Securities		2,800,000		2,936,149
Kentucky — 1.2%
Other Securities		19,720,000		21,622,287
Louisiana — 1.3%
Other Securities		21,935,000		23,240,499
Maine — 0.6%
Other Securities		10,200,000		10,870,662
Maryland — 0.4%
Other Securities		7,305,000		7,640,568
Massachusetts — 1.5%
Massachusetts Bay Transportation Authority, 5.000, 7/01/2046, Call 7/1/2027		4,465,000		5,047,459
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 5.000, 1/01/2023, Call 1/1/2023 (7)		5,000,000		5,579,200
Other Securities		14,650,000		16,014,967
				26,641,626
Michigan — 3.7%
Other Securities		59,860,000		65,745,263
Minnesota — 0.3%
Other Securities		4,584,421		4,690,015
Mississippi — 0.6%
Other Securities		9,290,000		10,440,009
Missouri — 1.6%
Other Securities		26,755,000		28,303,618
Nebraska — 0.3%
Other Securities		5,620,000		5,996,691

Description	Principal Amount		Value
Municipals (continued)
Nevada — 0.9%
Las Vegas Valley Water District, 5.000, 6/01/2028, Call 6/1/2022	$	5,115,000	$	5,608,086
Other Securities		9,380,000		10,321,212
				15,929,298
New Hampshire — 0.0%
Other Security		675,000		689,087
New Jersey — 3.9%
New Jersey Higher Education Student Assistance Authority, 4.875, 12/01/2024, Call 12/1/2019		5,060,000		5,166,361
New Jersey Transportation Trust Fund Authority
New Jersey Transportation Trust Fund Authority, 5.000, 6/15/2032, Call 12/15/2024		5,000,000		5,368,400
BAM TCRs
5.000%, 6/15/2028, Call 6/15/2022		5,000,000		5,371,200
5.250%, 6/15/2033, Call 6/15/2023		5,635,000		6,143,559
				16,883,159
Other Securities		43,355,000		46,438,164
				68,487,684
New Mexico — 0.8%
New Mexico Municipal Energy Acquisition Authority, 2.431, (LIBOR 1 Month), 8/01/2019, Call 3/21/2019 (7)		10,000,000		10,002,100
Other Securities		3,241,742		3,306,151
				13,308,251
New York — 5.6%
Long Island Power Authority, 2.506, (LIBOR 1 Month), 10/01/2023, Call 10/1/2022 (7)		5,000,000		5,017,150
Metropolitan Transportation Authority, 4.000, 2/03/2020		5,000,000		5,094,550
New York City Transitional Finance Authority Future Tax Secured Revenue
5.000%, 11/01/2024, Call 11/1/2022		5,715,000		6,384,226
5.000%, 8/01/2036, Call 8/1/2028		5,555,000		6,499,350
				12,883,576
New York State Dormitory Authority, 5.000, 3/15/2027, Call 3/15/2022		7,555,000		8,236,008
Other Securities		60,265,862		66,292,852
				97,524,136
North Carolina — 0.6%
Other Securities		10,415,000		11,262,455
North Dakota — 1.5%
Other Securities		25,085,000		26,257,774
Ohio — 3.2%
Other Securities		52,620,000		56,353,847
Oklahoma — 0.7%
Other Securities		11,005,000		11,661,761

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

58

BMO Funds

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Oregon — 0.7%
Other Securities	$	12,195,000	$	12,513,646
Pennsylvania — 2.7%
Pennsylvania Turnpike Commission
2.720%, (SIFMA Municipal Swap Index Yield), 12/01/2021, Call 6/1/2021 (7)		5,000,000		5,050,250
5.000%, 6/01/2042, Call 6/1/2027		5,450,000		5,938,156
				10,988,406
Other Securities		33,430,000		35,915,364
				46,903,770
Rhode Island — 0.5%
Other Securities		7,940,000		8,279,276
South Carolina — 1.6%
Patriots Energy Group Financing Agency, 2.541, (LIBOR 1 Month), 2/01/2024, Call 11/1/2023 (7)		8,000,000		8,003,120
Other Securities		19,075,000		20,402,234
				28,405,354
South Dakota — 0.8%
Other Securities		12,530,000		13,318,947
Tennessee — 1.5%
Knox County Health Educational & Housing Facility Board, 5.000, 1/01/2042, Call 1/1/2027		5,815,000		6,371,961
Tennessee Energy Acquisition Corp., 5.000, 2/01/2023		5,310,000		5,797,086
Other Securities		14,045,000		14,614,998
				26,784,045
Texas — 6.6%
City of Houston Airport System Revenue, 5.000, 7/01/2038, Call 7/1/2028		5,000,000		5,767,200
Dallas/Fort Worth International Airport, 5.000, 11/01/2032, Call 11/1/2020		5,000,000		5,233,350
Mission Economic Development Corp., 2.150, 4/01/2019 (7)		7,800,000		7,800,858
North Texas Tollway Authority, 5.000, 1/01/2048, Call 1/1/2028		5,000,000		5,596,950
Other Securities		85,520,000		92,156,027
				116,554,385
U. S. Virgin Islands — 0.2%
Other Securities		3,320,000		3,559,022
Utah — 0.7%
Other Securities		10,510,000		11,415,402
Vermont — 0.1%
Other Securities		1,040,000		1,076,618
Virginia — 0.7%
Other Securities		11,985,000		12,892,107
Washington — 1.9%
FYI Properties, 5.000, 6/01/2031, Call 6/1/2028 (9)		5,000,000		5,989,800

Description	Principal Amount		Value
Municipals (continued)
Washington (continued)
Spokane County School District No 81 Spokane, School Bond Gty, 5.000, 12/01/2036, Call 6/1/2029	$	5,000,000	$	5,957,950
Other Securities		19,460,000		21,238,891
				33,186,641
West Virginia — 0.3%
Other Securities		5,415,000		5,933,168
Wisconsin — 3.4%
Wisconsin Health & Educational Facilities Authority, 5.000, 8/15/2032, Call 8/15/2022		5,000,000		5,544,800
Other Securities		54,550,000		53,800,290
				59,345,090
Wyoming — 0.1%
Other Security		1,000,000		1,064,890
Total Municipals (identified cost $1,673,499,114)				1,719,603,386
Short-Term Investments — 0.3%
Repurchase Agreements — 0.0%
Other Security		388,167		388,167
Short-Term Municipals — 0.3%
Florida — 0.3%
Other Security		5,000,000		5,000,000
Total Short-Term Investments (identified cost $5,388,166)				5,388,167
Total Investments — 98.2% (identified cost $1,678,887,280)				1,724,991,553
Other Assets — 1.8%				31,724,509
Net Assets — 100.0%			$	1,756,716,062

Strategic Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 2.8%
Automobiles — 2.5%
CarMax Auto Owner Trust, Class B, (Series 2018-3), 3.440%, 3/15/2024	$	1,000,000	$	1,006,742
Honda Auto Receivables Owner Trust, Class A3, (Series 2018-3), 2.950%, 8/22/2022		1,000,000		1,003,773
				2,010,515
Federal Home Loan Mortgage Corporation — 0.3%
2.620% (LIBOR 1 Month + 13 basis points), 8/25/2031, (Series T-32) (7)		197,293		196,483
Total Asset-Backed Securities (identified cost $2,197,074)				2,206,998
Collateralized Mortgage Obligations — 11.0%
Federal National Mortgage Association — 0.5%
2.890% (LIBOR 1 Month + 40 basis points), 4/25/2034, (Series 2004-25) (7)		138,282		138,641
4.000%, 3/25/2041, (Series 2012-21)		233,561		240,129
				378,770

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

59

February 28, 2019 (Unaudited)

Schedules of Investments

Strategic Income Fund (continued)

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor — 10.5%
Alternative Loan Trust, Class 1A1, (Series 2004-24CB), 6.000%, 11/25/2034	$	665,396	$	672,970
Banc of America Funding Trust, Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		227,402		237,792
Chase Mortgage Finance Trust:
Class 7A1, (Series 2007-A2), 3.615%, 7/25/2037 (7)		384,334		342,581
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		451,050		465,152
ChaseFlex Trust , Class 4A3, (Series 2005-2), 6.000%, 5/25/2020		44,470		41,905
GSR Mortgage Loan Trust, Class 2A4, (Series 2007-1F), 5.500%, 1/25/2037		115,703		123,199
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 4.407%, 11/25/2034 (7)		436,817		443,686
Residential Asset Securitization Trust, Class A4, (Series 2005-A8CB), 5.500%, 7/25/2035		658,162		567,973
RFMSI Series Trust, Class A2, (Series 2006-S4), 6.000%, 4/25/2036		437,086		427,899
Structured Adjustable Rate Mortgage Loan Trust, Class 1A2, (Series 2004-18), 4.234%, 12/25/2034 (7)		479,560		464,892
Wells Fargo Mortgage Backed Securities Trust:
Class 1A2, (Series 2006-6), 5.750%, 5/25/2036		259,960		252,869
Class 1A9, (Series 2007-8), 6.000%, 7/25/2037		2,204,777		2,178,046
Class 2A6, (Series 2007-8), 6.000%, 7/25/2037		567,204		559,894
Class A1, (Series 2006-AR19), 4.863%, 12/25/2036 (7)		531,347		502,300
Class A1, (Series 2007-15), 6.000%, 11/25/2037		456,987		455,407
Class A6, (Series 2007-7), 6.000%, 6/25/2037		283,748		285,275
Class A8, (Series 2007-11), 6.000%, 8/25/2037		326,831		326,035
				8,347,875
Total Collateralized Mortgage Obligations (identified cost $8,733,307)				8,726,645
Commercial Mortgage Securities — 5.3%
Private Sponsor — 5.3%
BANK, Class A4, (Series 2018-BN15), 4.407%, 11/15/2061		750,000		801,703
BENCHMARK Mortgage Trust, Class A4, (Series 2018-B7), 4.510%, 5/15/2053		1,250,000		1,349,913
UBS-Barclays Commercial Mortgage Trust, Class B, (Series 2013-C6), 3.875%, 4/10/2046 (5)(7)		2,000,000		2,019,448
				4,171,064
Total Commercial Mortgage Securities (identified cost $4,087,805)				4,171,064

Description	Principal Amount		Value
Corporate Bonds & Notes — 67.8%
Agriculture — 1.9%
Altria Group, Inc., 5.950%, 2/14/2049	$	500,000	$	501,190
Bunge, Ltd. Finance Corp., 4.350%, 3/15/2024		1,000,000		990,979
				1,492,169
Auto Manufacturers — 2.0%
Daimler Finance North America LLC, 2.000%, 7/6/2021 (5)		1,250,000		1,211,266
Ford Motor Credit Co. LLC, 4.134%, 8/4/2025		445,000		407,145
				1,618,411
Auto Parts & Equipment — 1.2%
Allison Transmission, Inc., 4.750%, 10/1/2027 (5)		1,000,000		962,500
Banks — 1.9%
Australia & New Zealand Banking Group, Ltd., 4.500%, 3/19/2024 (1)(5)		500,000		509,486
Banco Nacional de Costa Rica, 6.250%, 11/1/2023 (5)		1,000,000		1,003,125
				1,512,611
Chemicals — 4.5%
Braskem Netherlands Finance BV, 4.500%, 1/10/2028 (5)		500,000		493,125
CF Industries, Inc., 3.450%, 6/1/2023 (1)		450,000		437,062
Mexichem SAB de C.V., 5.500%, 1/15/2048 (5)		1,000,000		924,900
OCP SA, 4.500%, 10/22/2025 (5)		750,000		745,772
Starfruit Finco BV, 8.000%, 10/1/2026 (1)(5)		500,000		497,500
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		500,000		499,730
				3,598,089
Commercial Services — 3.1%
Hertz Corp., 5.875%, 10/15/2020 (1)		500,000		500,000
Refinitiv US Holdings, Inc., 8.250%, 11/15/2026 (1)(5)		750,000		735,703
United Rentals North America, Inc., 5.500%, 5/15/2027 (1)		750,000		751,875
Weight Watchers International, Inc., 8.625%, 12/1/2025 (1)(5)		500,000		465,625
				2,453,203
Computers — 0.9%
Seagate HDD Cayman, 4.875%, 6/1/2027 (1)		750,000		700,509
Cosmetics/Personal Care — 0.9%
Coty, Inc., 6.500%, 4/15/2026 (1)(5)		750,000		724,650
Diversified Financial Services — 1.1%
Ally Financial, Inc., 5.750%, 11/20/2025		400,000		425,500
GE Capital International Funding Co. Unlimited Co., 3.373%, 11/15/2025		500,000		481,680
				907,180
Electric — 0.6%
Abu Dhabi National Energy Co. PJSC, 4.375%, 4/23/2025 (5)		500,000		510,715
Food — 2.8%
Albertsons Cos. LLC, 5.750%, 3/15/2025 (1)		500,000		477,500

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

60

BMO Funds

Strategic Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Food (continued)
Dean Foods Co., 6.500%, 3/15/2023 (1)(5)	$	1,000,000	$	756,250
Minerva Luxembourg SA, 6.500%, 9/20/2026 (1)(5)		500,000		486,250
Post Holdings, Inc., 5.000%, 8/15/2026 (5)		500,000		483,125
				2,203,125
Forest Products & Paper — 1.0%
Suzano Austria GmbH, 7.000%, 3/16/2047 (5)		750,000		824,250
Healthcare-Products — 1.0%
Mallinckrodt International Finance SA, 4.875%, 4/15/2020 (1)(5)		750,000		750,075
Healthcare-Services — 1.8%
Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026 (1)(5)		634,000		630,830
Centene Corp., 6.125%, 2/15/2024 (1)		750,000		786,094
				1,416,924
Home Builders — 1.1%
Beazer Homes USA, Inc., 5.875%, 10/15/2027 (1)		1,000,000		877,500
Home Furnishings — 0.8%
Whirlpool Corp., 4.750%, 2/26/2029		650,000		651,673
Internet — 0.6%
Netflix, Inc., 4.875%, 4/15/2028		500,000		488,125
Iron/Steel — 0.3%
United States Steel Corp., 6.875%, 8/15/2025 (1)		250,000		247,500
Media — 4.1%
Altice Finco SA, 7.625%, 2/15/2025 (5)		800,000		719,000
CBS Corp., 3.375%, 3/1/2022		500,000		498,805
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (1)(5)		750,000		754,688
Time Warner Cable LLC, 4.500%, 9/15/2042		1,000,000		841,998
Viacom, Inc., 4.375%, 3/15/2043		500,000		429,954
				3,244,445
Mining — 3.6%
Glencore Funding LLC, 4.625%, 4/29/2024 (5)		500,000		510,101
Hudbay Minerals, Inc., 7.250%, 1/15/2023 (1)(5)		750,000		776,100
Kinross Gold Corp.:
4.500%, 7/15/2027		825,000		774,469
6.875%, 9/1/2041		750,000		757,500
				2,818,170
Miscellaneous Manufacturing — 1.6%
Trinity Industries, Inc., 4.550%, 10/1/2024 (1)		1,300,000		1,243,459
Oil & Gas — 7.2%
Aker BP ASA, 6.000%, 7/1/2022 (1)(5)		250,000		257,550
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025		750,000		712,500
Ecopetrol SA, 5.875%, 5/28/2045 (1)		500,000		506,025

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas (continued)
Ensco PLC:
4.500%, 10/1/2024 (1)	$	1,000,000	$	778,700
5.200%, 3/15/2025 (1)		250,000		193,125
PBF Holding Co. LLC, 7.250%, 6/15/2025		750,000		772,875
Petroleos Mexicanos:
5.350%, 2/12/2028 (1)		1,000,000		895,000
5.500%, 6/27/2044		500,000		395,900
W&T Offshore, Inc., 9.750%, 11/1/2023 (5)		500,000		497,500
Whiting Petroleum Corp., 6.625%, 1/15/2026 (1)		750,000		738,750
				5,747,925
Oil & Gas Services — 0.5%
Nine Energy Service, Inc., 8.750%, 11/1/2023 (5)		400,000		402,000
Pharmaceuticals — 3.2%
Mylan, Inc., 5.200%, 4/15/2048		700,000		596,795
Teva Pharmaceutical Finance Netherlands III BV:
4.100%, 10/1/2046 (1)		1,300,000		942,093
6.000%, 4/15/2024 (1)		1,000,000		1,013,550
				2,552,438
Pipelines — 1.9%
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 (1)		625,000		639,062
Sunoco Logistics Partners Operations LP, 5.400%, 10/1/2047		900,000		864,956
				1,504,018
Private Equity — 1.0%
Icahn Enterprises LP, 5.875%, 2/1/2022 (1)		750,000		761,250
Real Estate Investment Trusts — 1.8%
GEO Group, Inc., 5.125%, 4/1/2023		1,000,000		953,750
SBA Communications Corp., 4.875%, 9/1/2024 (1)		500,000		501,250
				1,455,000
Retail — 3.4%
Beacon Roofing Supply, Inc., 4.875%, 11/1/2025 (1)(5)		450,000		420,609
Hot Topic, Inc., 9.250%, 6/15/2021 (5)		294,000		295,470
L Brands, Inc.:
6.950%, 3/1/2033 (1)		1,000,000		800,000
7.600%, 7/15/2037		500,000		397,500
New Red Finance, Inc., 4.250%, 5/15/2024 (1)(5)		250,000		244,063
Party City Holdings, Inc., 6.125%, 8/15/2023 (1)(5)		500,000		508,125
				2,665,767
Semiconductors — 0.6%
Marvell Technology Group, Ltd., 4.875%, 6/22/2028		500,000		503,887
Software — 0.9%
VMware, Inc., 3.900%, 8/21/2027 (1)		750,000		700,838
Sovereign — 5.0%
Angolan Government International Bond, 8.250%, 5/9/2028 (5)		500,000		521,932
Argentine Republic Government International Bond, 5.875%, 1/11/2028		250,000		195,938

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

61

February 28, 2019 (Unaudited)

Schedules of Investments

Strategic Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Sovereign (continued)
Costa Rica Government International Bond, 5.625%, 4/30/2043 (5)	$	800,000	$	682,800
Export Credit Bank of Turkey, 5.000%, 9/23/2021 (5)		450,000		439,192
Indonesia Asahan Aluminium Persero PT, 5.710%, 11/15/2023 (5)		500,000		528,492
Ivory Coast Government International Bond, 6.125%, 6/15/2033 (5)		750,000		697,950
Oman Sovereign Sukuk SAOC, 4.397%, 6/1/2024 (5)		500,000		472,446
Zambia Government International Bond, 8.970%, 7/30/2027 (5)		500,000		406,313
				3,945,063
Telecommunications — 2.7%
CommScope, Inc., 5.500%, 6/15/2024 (1)(5)		1,000,000		963,750
Sprint Communications, Inc., 6.000%, 11/15/2022 (1)		500,000		508,500
Turk Telekomunikasyon AS, 4.875%, 6/19/2024 (5)		750,000		699,309
				2,171,559
Toys/Games/Hobbies — 0.9%
Mattel, Inc., 2.350%, 8/15/2021		750,000		704,062
Transportation — 0.3%
Asciano Finance, Ltd., 4.625%, 9/23/2020 (5)		250,000		253,124
Trucking & Leasing — 1.6%
Aviation Capital Group LLC, 3.576% (LIBOR 3 Month + 95 basis points), 6/1/2021 (5)(7)		500,000		499,635
Fly Leasing, Ltd., 6.375%, 10/15/2021		750,000		757,500
				1,257,135
Total Corporate Bonds & Notes (identified cost $55,551,146)				53,869,349
U.S. Government & U.S. Government Agency Obligations — 0.0%
U.S. Treasury Bonds & Notes — 0.0%
0.750%, 7/15/2028		3,413		3,421
Total U.S. Government & U.S. Government Agency Obligations (identified cost $3,406)				3,421
U.S. Government Agency-Mortgage Securities — 10.3%
Federal Home Loan Mortgage Corporation — 2.4%
3.500%, 4/1/2042		68,916		69,579
4.000%, 12/1/2040		317,355		326,729
4.500%, 9/1/2031		305,087		319,329
4.500%, 7/1/2040		23,813		25,084
4.500%, 11/1/2040		684,943		720,821
5.000%, 12/1/2022		56,257		58,254
5.000%, 1/1/2040		198,958		213,170
5.500%, 10/1/2021		49,740		50,720
5.500%, 7/1/2035		41,190		44,752
6.000%, 12/1/2036		18,679		20,514
6.000%, 12/1/2037		4,827		5,206
7.500%, 4/1/2024		19,621		21,036

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal Home Loan Mortgage Corporation (continued)
7.500%, 4/1/2027	$	14,138	$	15,975
8.000%, 8/1/2030		16,085		19,093
8.500%, 9/1/2024		12,223		13,147
9.000%, 6/1/2019		5		5
9.500%, 2/1/2025		2,363		2,382
				1,925,796
Federal National Mortgage Association — 7.6%
3.000%, 8/1/2032		178,631		177,583
3.500%, 7/1/2032		346,285		351,845
3.500%, 7/1/2038		716,985		724,088
4.000%, 11/1/2031		615,744		635,139
4.000%, 3/1/2041		241,648		248,833
4.000%, 11/1/2048		743,581		758,855
4.500%, 6/1/2042		757,746		797,293
5.500%, 1/1/2023		74,070		78,599
5.500%, 2/1/2036		120,554		131,271
5.500%, 7/1/2036		259,973		283,168
5.500%, 8/1/2037		468,459		510,306
6.000%, 9/1/2021		84,517		86,068
6.000%, 5/1/2039		478,518		527,446
6.500%, 8/1/2030		273,524		300,272
6.500%, 12/1/2031		15,745		17,667
6.500%, 11/1/2037		36,519		40,389
7.000%, 3/1/2029		35,770		40,427
7.000%, 7/1/2029		106,992		118,864
7.000%, 2/1/2030		71,978		78,811
7.500%, 10/1/2030		7,396		7,908
8.000%, 10/1/2028		84,925		92,147
8.000%, 4/1/2030		25,704		30,073
				6,037,052
Government National Mortgage Association — 0.3%
5.000%, 4/15/2034		202,735		215,441
7.000%, 8/15/2031		28,339		31,740
9.500%, 10/15/2024		1,530		1,534
				248,715
Total U.S. Government Agency-Mortgage Securities
(identified cost $8,119,754)				8,211,563
Short-Term Investments — 22.8%
Collateral Pool Investments for Securities on Loan — 21.1%
Collateral pool allocation (3)				16,767,598
Mutual Funds — 1.7%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		1,314,499		1,314,631
Total Short-Term Investments (identified cost $18,082,018)				18,082,229
Total Investments — 120.0% (identified cost $96,774,510)				95,271,269
Other Assets and Liabilities — (20.0)%				(15,846,654	)
Total Net Assets — 100.0%			$	79,424,615

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

62

BMO Funds

TCH Corporate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 94.1%
Aerospace/Defense — 1.3%
Boeing Co., 2.800%, 3/1/2024 (1)	$	1,250,000	$	1,240,272
Lockheed Martin Corp., 2.500%, 11/23/2020		2,500,000		2,482,577
				3,722,849
Agriculture — 2.0%
BAT Capital Corp., 4.540%, 8/15/2047 (1)		2,750,000		2,224,119
Bunge, Ltd. Finance Corp.:
3.000%, 9/25/2022		1,000,000		972,503
3.750%, 9/25/2027		1,800,000		1,596,589
Philip Morris International, Inc., 2.900%, 11/15/2021 (1)		1,000,000		1,000,183
				5,793,394
Auto Manufacturers — 3.9%
Daimler Finance North America LLC:
2.000%, 7/6/2021 (5)		2,500,000		2,422,532
3.700%, 5/4/2023 (5)		750,000		753,426
Ford Motor Co., 5.291%, 12/8/2046 (1)		2,000,000		1,617,012
Ford Motor Credit Co. LLC:
4.084% (LIBOR 3 Month + 127 basis points), 3/28/2022 (7)		750,000		722,245
4.134%, 8/4/2025		1,500,000		1,372,401
General Motors Financial Co., Inc.:
4.000%, 1/15/2025		1,000,000		962,056
4.350%, 1/17/2027 (1)		1,500,000		1,424,348
Toyota Motor Credit Corp., 3.400%, 4/14/2025 (1)		2,000,000		2,019,733
				11,293,753
Banks — 14.0%
Banco Santander SA, 4.359% (LIBOR 3 Month + 156 basis points), 4/11/2022 (7)		2,000,000		2,014,558
Bank of America Corp.:
3.472% (LIBOR 3 Month + 65 basis points), 6/25/2022 (7)		1,000,000		1,000,136
3.824% (LIBOR 3 Month + 158 basis points), 1/20/2028 (1)(7)		2,750,000		2,739,558
Canadian Imperial Bank of Commerce, 3.259% (LIBOR 3 Month + 52 basis points), 9/6/2019 (7)		2,000,000		2,004,008
Capital One Financial Corp.:
3.300%, 10/30/2024 (1)		1,250,000		1,209,648
3.717% (LIBOR 3 Month + 95 basis points), 3/9/2022 (7)		1,500,000		1,493,091
Citigroup, Inc., 4.056% (LIBOR 3 Month + 143 basis points), 9/1/2023 (7)		2,000,000		2,034,239
Deutsche Bank AG, 4.250%, 2/4/2021		2,000,000		1,992,911
Fifth Third Bank, 2.200%, 10/30/2020 (1)		2,000,000		1,976,088
Goldman Sachs Group, Inc.:
3.875% (LIBOR 3 Month + 111 basis points), 4/26/2022 (7)		1,000,000		1,006,109
4.223% (LIBOR 3 Month + 130 basis points), 5/1/2029 (1)(7)		2,750,000		2,761,170
HSBC Holdings PLC, 4.311% (LIBOR 3 Month + 166 basis points), 5/25/2021 (7)		1,500,000		1,531,381

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Lloyds Banking Group PLC, 2.907% (LIBOR 3 Month + 81 basis points), 11/7/2023 (7)	$	2,000,000	$	1,938,157
Mizuho Financial Group, Inc., 2.953%, 2/28/2022 (1)		2,500,000		2,476,494
Morgan Stanley, 3.737% (LIBOR 3 Month + 85 basis points), 4/24/2024 (1)(7)		2,750,000		2,771,279
Royal Bank of Canada, 3.455% (LIBOR 3 Month + 66 basis points), 10/5/2023 (7)		2,500,000		2,476,626
Royal Bank of Scotland Group PLC, 4.892% (LIBOR 3 Month + 175 basis points), 5/18/2029 (1)(7)		1,500,000		1,513,522
Toronto-Dominion Bank, 3.795% (LIBOR 3 Month + 100 basis points), 4/7/2021 (7)		2,000,000		2,028,261
U.S. Bank NA, 3.099% (LIBOR 3 Month + 32 basis points), 1/24/2020 (1)(7)		1,500,000		1,503,227
Wells Fargo & Co., 3.627% (LIBOR 3 Month + 93 basis points), 2/11/2022 (7)		1,640,000		1,652,273
Wells Fargo Bank NA, 3.251% (LIBOR 3 Month + 60 basis points), 5/24/2019 (7)		1,000,000		1,001,291
Westpac Banking Corp., 3.243% (LIBOR 3 Month + 56 basis points), 8/19/2019 (7)		1,000,000		1,001,937
				40,125,964
Beverages — 3.2%
Anheuser-Busch Cos. LLC, 4.900%, 2/1/2046 (5)		2,000,000		1,922,022
Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029 (1)		2,000,000		2,091,991
Fomento Economico Mexicano SAB de C.V., 2.875%, 5/10/2023		2,750,000		2,645,141
Molson Coors Brewing Co., 4.200%, 7/15/2046		3,000,000		2,551,665
				9,210,819
Biotechnology — 0.5%
Amgen, Inc., 2.200%, 5/22/2019 (1)		1,300,000		1,298,581
Chemicals — 5.7%
Braskem Netherlands Finance BV:
3.500%, 1/10/2023 (5)		1,500,000		1,473,765
4.500%, 1/10/2028 (1)(5)		1,000,000		986,250
CF Industries, Inc., 5.375%, 3/15/2044 (1)		2,000,000		1,755,000
EI du Pont de Nemours & Co., 3.266% (LIBOR 3 Month + 53 basis points), 5/1/2020 (7)		2,500,000		2,508,014
Mexichem SAB de C.V.:
5.875%, 9/17/2044 (5)		500,000		484,825
6.750%, 9/19/2042 (1)(5)		1,500,000		1,586,265
Mosaic Co., 4.050%, 11/15/2027 (1)		2,500,000		2,440,610
OCP SA, 4.500%, 10/22/2025 (5)		2,000,000		1,988,726
Starfruit Finco BV, 8.000%, 10/1/2026 (1)(5)		1,000,000		995,000
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		2,000,000		1,998,919
				16,217,374
Commercial Services — 1.2%
ADT Corp., 4.125%, 6/15/2023 (1)		500,000		491,875
Hertz Corp., 5.875%, 10/15/2020 (1)		1,500,000		1,500,000

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

63

February 28, 2019 (Unaudited)

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Commercial Services (continued)
Refinitiv US Holdings, Inc., 8.250%, 11/15/2026 (1)(5)	$	1,500,000	$	1,471,406
				3,463,281
Computers — 3.4%
Apple, Inc.:
2.850%, 5/11/2024 (1)		2,000,000		1,985,252
3.750%, 11/13/2047		2,000,000		1,894,290
Dell International LLC, 8.350%, 7/15/2046 (1)(5)		2,000,000		2,343,319
Hewlett Packard Enterprise Co.:
3.515% (LIBOR 3 Month + 72 basis points), 10/5/2021 (7)		1,700,000		1,700,376
4.900%, 10/15/2025		1,000,000		1,041,978
Seagate HDD Cayman, 5.750%, 12/1/2034		1,000,000		888,626
				9,853,841
Diversified Financial Services — 7.0%
AerCap Ireland Capital DAC, 3.500%, 1/15/2025		2,000,000		1,889,803
Ally Financial, Inc., 4.250%, 4/15/2021 (1)		2,500,000		2,537,500
American Express Co., 3.333% (LIBOR 3 Month + 60 basis points), 11/5/2021 (1)(7)		1,000,000		1,002,121
American Express Credit Corp., 3.351% (LIBOR 3 Month + 55 basis points), 3/18/2019 (7)		1,500,000		1,500,474
Discover Financial Services, 4.100%, 2/9/2027		2,000,000		1,946,092
E*TRADE Financial Corp., 3.800%, 8/24/2027		1,500,000		1,426,101
GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035		2,500,000		2,261,315
High Street Funding Trust II, 4.682%, 2/15/2048 (5)		2,500,000		2,472,500
Jefferies Financial Group, Inc., 6.625%, 10/23/2043 (1)		500,000		491,464
Jefferies Group LLC, 6.500%, 1/20/2043		500,000		493,199
Legg Mason, Inc., 4.750%, 3/15/2026		500,000		507,075
Mastercard, Inc., 2.000%, 11/21/2021 (1)		1,000,000		983,057
Synchrony Financial, 3.950%, 12/1/2027		2,750,000		2,522,495
				20,033,196
Electric — 2.0%
Abu Dhabi National Energy Co. PJSC, 4.375%, 4/23/2025 (5)		750,000		766,072
CenterPoint Energy, Inc., 3.600%, 11/1/2021 (1)		3,000,000		3,023,924
Comision Federal de Electricidad, 4.750%, 2/23/2027 (5)		2,000,000		1,967,520
				5,757,516
Engineering & Construction — 0.5%
Fluor Corp., 4.250%, 9/15/2028 (1)		1,500,000		1,459,829
Food — 4.0%
Conagra Brands, Inc., 3.800%, 10/22/2021 (1)		2,500,000		2,523,296

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Food (continued)
Dean Foods Co., 6.500%, 3/15/2023 (1)(5)	$	2,750,000	$	2,079,688
Kellogg Co., 3.250%, 5/14/2021		2,500,000		2,494,662
Kraft Heinz Foods Co.:
3.000%, 6/1/2026		500,000		462,199
4.375%, 6/1/2046 (1)		2,250,000		1,869,329
Kroger Co., 4.450%, 2/1/2047 (1)		2,250,000		1,986,988
				11,416,162
Healthcare-Products — 2.1%
Abbott Laboratories, 4.750%, 11/30/2036 (1)		1,500,000		1,615,995
Medtronic, Inc., 3.588% (LIBOR 3 Month + 80 basis points), 3/15/2020 (7)		2,000,000		2,013,564
Thermo Fisher Scientific, Inc., 3.000%, 4/15/2023 (1)		1,000,000		986,611
Zimmer Biomet Holdings, Inc., 3.550%, 4/1/2025 (1)		1,500,000		1,459,628
				6,075,798
Healthcare-Services — 0.7%
Laboratory Corp. of America Holdings, 3.250%, 9/1/2024		2,000,000		1,945,456
Home Builders — 0.7%
DR Horton, Inc., 2.550%, 12/1/2020 (1)		2,000,000		1,975,960
Insurance — 2.9%
Allstate Corp., 3.233% (LIBOR 3 Month + 43 basis points), 3/29/2021 (7)		1,445,000		1,437,379
Lincoln National Corp., 3.625%, 12/12/2026 (1)		2,000,000		1,957,364
Metropolitan Life Global Funding I, 3.450%, 10/9/2021 (5)		3,000,000		3,020,315
Unum Group, 4.000%, 3/15/2024 (1)		2,000,000		2,004,330
				8,419,388
Internet — 1.6%
Alibaba Group Holding, Ltd., 2.800%, 6/6/2023 (1)		2,000,000		1,958,459
Amazon.com, Inc., 4.050%, 8/22/2047 (1)		1,500,000		1,504,846
eBay, Inc., 4.000%, 7/15/2042		1,500,000		1,204,965
				4,668,270
Lodging — 1.1%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,039,813
Wyndham Destinations, Inc., 5.750%, 4/1/2027 (1)		2,000,000		1,992,500
				3,032,313
Machinery-Construction & Mining — 0.7%
Caterpillar, Inc., 3.803%, 8/15/2042		2,000,000		1,924,706
Machinery-Diversified — 0.5%
Wabtec Corp., 4.150%, 3/15/2024		1,500,000		1,499,741
Media — 3.0%
Charter Communications Operating LLC, 5.375%, 5/1/2047		2,000,000		1,900,291
Comcast Corp.:
3.417% (LIBOR 3 Month + 63 basis points), 4/15/2024 (7)		1,500,000		1,487,925
4.600%, 10/15/2038		1,750,000		1,809,514
Cox Communications, Inc., 4.600%, 8/15/2047 (1)(5)		1,500,000		1,364,342

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

64

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media (continued)
Discovery Communications LLC, 2.750%, 11/15/2019 (5)	$	1,000,000	$	997,189
Viacom, Inc., 4.375%, 3/15/2043 (1)		1,050,000		902,903
				8,462,164
Mining — 1.2%
Glencore Funding LLC:
4.125%, 5/30/2023 (1)(5)		2,500,000		2,510,483
4.625%, 4/29/2024 (5)		1,000,000		1,020,202
				3,530,685
Miscellaneous Manufacturing — 0.8%
3M Co., 3.250%, 2/14/2024		1,250,000		1,269,792
Siemens Financieringsmaatschappij NV, 3.128% (LIBOR 3 Month + 34 basis points), 3/16/2020 (5)(7)		1,000,000		1,000,384
				2,270,176
Oil & Gas — 3.8%
BP Capital Markets PLC, 3.658% (LIBOR 3 Month + 87 basis points), 9/16/2021 (1)(7)		2,500,000		2,534,231
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025 (1)		750,000		712,500
Ecopetrol SA, 7.375%, 9/18/2043 (1)		1,500,000		1,760,640
Ensco PLC, 4.500%, 10/1/2024 (1)		1,000,000		778,700
EQT Corp., 3.900%, 10/1/2027		1,500,000		1,362,755
Petroleos Mexicanos, 5.350%, 2/12/2028 (1)		3,000,000		2,685,000
Shell International Finance BV, 3.750%, 9/12/2046 (1)		1,000,000		955,585
				10,789,411
Pharmaceuticals — 8.3%
Allergan Funding SCS, 4.850%, 6/15/2044		1,500,000		1,388,738
AstraZeneca PLC, 3.500%, 8/17/2023 (1)		2,000,000		2,011,893
Bayer US Finance II LLC, 4.875%, 6/25/2048 (1)(5)		2,350,000		2,143,892
Bristol-Myers Squibb Co., 2.000%, 8/1/2022		2,500,000		2,421,941
Cigna Corp., 3.438% (LIBOR 3 Month + 65 basis points), 9/17/2021 (5)(7)		1,500,000		1,493,512
CVS Health Corp., 4.300%, 3/25/2028 (1)		2,500,000		2,503,768
Express Scripts Holding Co., 4.800%, 7/15/2046		1,500,000		1,476,799
Mylan, Inc., 5.200%, 4/15/2048		1,500,000		1,278,846
Novartis Capital Corp., 2.400%, 5/17/2022		1,000,000		988,924
Perrigo Finance Unlimited Co., 3.500%, 3/15/2021		2,500,000		2,441,123
Shire Acquisitions Investments Ireland DAC:
2.400%, 9/23/2021		1,000,000		978,055
2.875%, 9/23/2023 (1)		2,000,000		1,932,003
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		2,500,000		1,811,717
Zoetis, Inc., 3.250%, 2/1/2023		1,000,000		994,842
				23,866,053

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines — 2.7%
Enbridge, Inc., 3.488% (LIBOR 3 Month + 70 basis points), 6/15/2020 (7)	$	1,500,000	$	1,498,909
Kinder Morgan Energy Partners LP, 7.500%, 11/15/2040		250,000		310,189
Kinder Morgan, Inc., 5.300%, 12/1/2034		3,000,000		3,098,457
MPLX LP, 4.800%, 2/15/2029 (1)		1,250,000		1,281,500
Sunoco Logistics Partners Operations LP, 5.300%, 4/1/2044 (1)		1,500,000		1,407,200
				7,596,255
Real Estate Investment Trusts — 2.2%
EPR Properties, 5.250%, 7/15/2023		1,000,000		1,040,720
Hospitality Properties Trust:
4.500%, 6/15/2023 (1)		500,000		497,737
4.500%, 3/15/2025 (1)		1,500,000		1,448,972
Kimco Realty Corp., 3.300%, 2/1/2025 (1)		1,250,000		1,217,265
Senior Housing Properties Trust, 3.250%, 5/1/2019		2,000,000		1,997,045
				6,201,739
Retail — 3.2%
L Brands, Inc.:
6.950%, 3/1/2033 (1)		1,350,000		1,080,000
7.600%, 7/15/2037		500,000		397,500
McDonald’s Corp., 2.750%, 12/9/2020		1,500,000		1,498,429
Nucor Corp., 4.400%, 5/1/2048		2,000,000		1,966,737
Target Corp., 3.625%, 4/15/2046		2,500,000		2,252,697
Walmart, Inc., 3.700%, 6/26/2028		2,000,000		2,051,994
				9,247,357
Semiconductors — 0.4%
Marvell Technology Group, Ltd., 4.875%, 6/22/2028		1,000,000		1,007,774
Software — 2.7%
CA, Inc., 4.700%, 3/15/2027		2,500,000		2,410,406
Microsoft Corp.:
2.875%, 2/6/2024		500,000		500,306
3.700%, 8/8/2046		2,000,000		1,954,855
Oracle Corp., 4.000%, 11/15/2047 (1)		1,000,000		953,787
VMware, Inc., 3.900%, 8/21/2027 (1)		2,000,000		1,868,901
				7,688,255
Sovereign — 0.8%
Export-Import Bank of Korea, 3.000%, 11/1/2022 (1)		2,250,000		2,238,973
Telecommunications — 3.8%
AT&T, Inc.:
4.350%, 6/15/2045 (1)		1,000,000		872,553
4.500%, 5/15/2035 (1)		2,000,000		1,886,900
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022 (5)		800,000		810,000
Motorola Solutions, Inc.:
4.600%, 2/23/2028		1,000,000		983,048
5.500%, 9/1/2044		1,000,000		970,013
Telecom Italia Capital SA, 7.200%, 7/18/2036 (1)		1,500,000		1,504,650
Telefonica Emisiones SAU, 5.213%, 3/8/2047 (1)		2,000,000		1,918,608
Verizon Communications, Inc., 4.522%, 9/15/2048		2,000,000		1,958,673
				10,904,445

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

65

February 28, 2019 (Unaudited)

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Toys/Games/Hobbies — 0.9%
Mattel, Inc., 2.350%, 8/15/2021	$	2,750,000	$	2,581,563
Transportation — 0.6%
FedEx Corp., 4.050%, 2/15/2048		2,000,000		1,736,226
Trucking & Leasing — 0.7%
Penske Truck Leasing Co. LP, 3.300%, 4/1/2021 (5)		2,000,000		1,997,254
Total Corporate Bonds & Notes (identified cost $272,668,477)				269,306,521
Municipals — 0.2%
California — 0.2%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		525,545
Total Municipals (identified cost $500,000)				525,545
Short-Term Investments — 32.8%
Collateral Pool Investments for Securities on Loan — 25.7%
Collateral pool allocation (3)				73,395,557
Mutual Funds — 7.1%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		20,338,905		20,340,939
Total Short-Term Investments (identified cost $93,734,677)				93,736,496
Total Investments — 127.1% (identified cost $366,903,154)				363,568,562
Other Assets and Liabilities — (27.1)%				(77,429,652	)
Total Net Assets — 100.0%			$	286,138,910

TCH Core Plus Bond Fund

Description	Principal Amount		Value
Asset-Backed Securities — 2.4%
Automobiles — 2.4%
Hyundai Auto Lease Securitization Trust, Class A2, (Series 2018-B), 2.810%, 12/15/2020 (5)	$	9,101,236	$	9,105,505
Nissan Auto Receivables Owner Trust, Class A4, (Series 2016-B), 1.540%, 10/17/2022		6,000,000		5,914,178
Toyota Auto Receivables Owner Trust, Class A2A, (Series 2017-D), 1.740%, 8/17/2020		7,570,422		7,552,604
Total Asset-Backed Securities (identified cost $22,582,317)				22,572,287
Commercial Mortgage Securities — 4.7%
Private Sponsor — 4.7%
BANK:
Class A4, (Series 2018-BN12), 4.255%, 5/15/2061 (7)		7,500,000		7,927,754
Class A5, (Series 2017-BNK7), 3.435%, 9/15/2060		10,000,000		9,995,652

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
GS Mortgage Securities Trust, Class A4, (Series 2017-GS8), 3.469%, 11/10/2050	$	10,000,000	$	9,971,847
UBS-Barclays Commercial Mortgage Trust, Class A5, (Series 2012-C4), 2.850%, 12/10/2045		9,888,381		9,814,921
Wells Fargo Commercial Mortgage Trust, Class A4, (Series 2017-C41), 3.472%, 11/15/2050		7,000,000		6,966,816
				44,676,990
Total Commercial Mortgage Securities (identified cost $45,415,295)				44,676,990
Corporate Bonds & Notes — 47.9%
Agriculture — 1.3%
Altria Group, Inc., 5.950%, 2/14/2049		5,000,000		5,011,899
BAT Capital Corp., 4.540%, 8/15/2047		5,000,000		4,043,854
Bunge, Ltd. Finance Corp., 3.750%, 9/25/2027		4,000,000		3,547,975
				12,603,728
Auto Manufacturers — 3.0%
Daimler Finance North America LLC, 3.425% (LIBOR 3 Month + 63 basis points), 1/6/2020 (5)(7)		10,000,000		10,012,735
Ford Motor Co.:
4.750%, 1/15/2043 (1)		5,000,000		3,837,420
5.291%, 12/8/2046 (1)		1,500,000		1,212,759
General Motors Co., 5.000%, 10/1/2028		2,000,000		1,961,617
General Motors Financial Co., Inc., 4.000%, 1/15/2025		5,000,000		4,810,280
Hyundai Capital America, 3.750%, 7/8/2021 (5)		6,500,000		6,498,347
				28,333,158
Banks — 11.0%
Banco Santander SA, 4.359% (LIBOR 3 Month + 156 basis points), 4/11/2022 (7)		4,000,000		4,029,117
Bank of America Corp., 4.183%, 11/25/2027		7,500,000		7,476,310
Barclays PLC, 5.200%, 5/12/2026 (1)		5,000,000		5,040,740
BB&T Corp., 3.358% (LIBOR 3 Month + 57 basis points), 6/15/2020 (7)		3,000,000		3,008,618
Capital One Financial Corp.:
3.470% (LIBOR 3 Month + 72 basis points), 1/30/2023 (7)		5,000,000		4,927,805
3.717% (LIBOR 3 Month + 95 basis points), 3/9/2022 (7)		1,500,000		1,493,091
Citigroup, Inc.:
3.696% (LIBOR 3 Month + 93 basis points), 6/7/2019 (7)		4,500,000		4,510,285
3.837% (LIBOR 3 Month + 107 basis points), 12/8/2021 (1)(7)		1,250,000		1,264,874
4.056% (LIBOR 3 Month + 143 basis points), 9/1/2023 (1)(7)		5,000,000		5,085,598
Goldman Sachs Group, Inc.:
3.875% (LIBOR 3 Month + 111 basis points), 4/26/2022 (7)		5,000,000		5,030,544
3.932% (LIBOR 3 Month + 116 basis points), 4/23/2020 (1)(7)		8,000,000		8,066,548
4.223% (LIBOR 3 Month + 130 basis points), 5/1/2029 (1)(7)		5,000,000		5,020,309

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

66

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
HSBC Holdings PLC, 4.311% (LIBOR 3 Month + 166 basis points), 5/25/2021 (7)	$	5,000,000	$	5,104,603
ING Groep NV, 4.100%, 10/2/2023 (1)		5,000,000		5,070,262
JPMorgan Chase & Co.:
3.625%, 12/1/2027 (1)		5,000,000		4,843,757
3.866% (LIBOR 3 Month + 110 basis points), 6/7/2021 (7)		5,000,000		5,064,155
3.957% (LIBOR 3 Month + 121 basis points), 10/29/2020 (7)		4,000,000		4,052,888
Lloyds Banking Group PLC, 2.907% (LIBOR 3 Month + 81 basis points), 11/7/2023 (7)		10,000,000		9,690,786
Morgan Stanley, 3.950%, 4/23/2027 (1)		5,000,000		4,891,492
Toronto-Dominion Bank, 3.795% (LIBOR 3 Month + 100 basis points), 4/7/2021 (7)		4,500,000		4,563,588
Wells Fargo Bank NA, 3.251% (LIBOR 3 Month + 60 basis points), 5/24/2019 (1)(7)		3,000,000		3,003,872
Westpac Banking Corp., 3.243% (LIBOR 3 Month + 56 basis points), 8/19/2019 (7)		4,000,000		4,007,747
				105,246,989
Chemicals — 1.5%
Mexichem SAB de C.V., 6.750%, 9/19/2042 (1)(5)		4,400,000		4,653,044
Starfruit Finco BV, 8.000%, 10/1/2026 (1)(5)		4,500,000		4,477,500
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		5,250,000		5,247,162
				14,377,706
Commercial Services — 1.1%
Hertz Corp., 5.875%, 10/15/2020 (1)		5,500,000		5,500,000
Refinitiv US Holdings, Inc., 8.250%, 11/15/2026 (1)(5)		5,500,000		5,395,156
				10,895,156
Computers — 1.8%
Apple, Inc., 2.250%, 2/23/2021 (1)		1,500,000		1,487,964
Dell International LLC, 8.350%, 7/15/2046 (1)(5)		2,000,000		2,343,319
Hewlett Packard Enterprise Co.:
3.515% (LIBOR 3 Month + 72 basis points), 10/5/2021 (7)		6,000,000		6,001,326
4.900%, 10/15/2025 (1)		2,000,000		2,083,955
Seagate HDD Cayman:
4.875%, 6/1/2027 (1)		2,000,000		1,868,023
5.750%, 12/1/2034 (1)		3,500,000		3,110,193
				16,894,780
Diversified Financial Services — 3.0%
AerCap Ireland Capital DAC, 3.500%, 1/15/2025		5,750,000		5,433,184
Discover Financial Services, 4.100%, 2/9/2027 (1)		5,000,000		4,865,231
GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035		5,500,000		4,974,893

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services (continued)
Jefferies Financial Group, Inc., 6.625%, 10/23/2043	$	500,000	$	491,464
Jefferies Group LLC:
4.150%, 1/23/2030		5,000,000		4,373,445
6.500%, 1/20/2043		1,000,000		986,398
Legg Mason, Inc., 4.750%, 3/15/2026		1,950,000		1,977,592
Synchrony Financial, 3.950%, 12/1/2027		6,500,000		5,962,261
				29,064,468
Electric — 1.1%
Comision Federal de Electricidad, 4.750%, 2/23/2027 (1)(5)		4,000,000		3,935,040
Sempra Energy, 3.287% (LIBOR 3 Month + 50 basis points), 1/15/2021 (7)		7,000,000		6,924,510
				10,859,550
Food — 2.9%
Albertsons Cos. LLC, 5.750%, 3/15/2025 (1)		1,375,000		1,313,125
Conagra Brands, Inc., 5.400%, 11/1/2048 (1)		5,000,000		4,698,746
Dean Foods Co., 6.500%, 3/15/2023 (1)(5)		5,750,000		4,348,437
General Mills, Inc., 3.319% (LIBOR 3 Month + 54 basis points), 4/16/2021 (7)		1,725,000		1,715,771
Kraft Heinz Foods Co., 4.375%, 6/1/2046 (1)		7,200,000		5,981,851
Kroger Co., 4.450%, 2/1/2047 (1)		5,000,000		4,415,530
Pilgrim’s Pride Corp., 5.750%, 3/15/2025 (1)(5)		5,500,000		5,513,750
				27,987,210
Healthcare-Products — 0.6%
Mallinckrodt International Finance SA, 5.625%, 10/15/2023 (5)		6,500,000		5,717,985
Home Builders — 0.4%
DR Horton, Inc., 2.550%, 12/1/2020 (1)		3,500,000		3,457,931
Insurance — 0.8%
CNO Financial Group, Inc., 4.500%, 5/30/2020 (1)		1,250,000		1,262,500
Unum Group, 5.750%, 8/15/2042		5,930,000		6,192,910
				7,455,410
Internet — 1.1%
eBay, Inc.:
3.621% (LIBOR 3 Month + 87 basis points), 1/30/2023 (7)		7,500,000		7,452,740
4.000%, 7/15/2042 (1)		4,000,000		3,213,238
				10,665,978
Lodging — 0.3%
Wyndham Destinations Inc., 5.400%, 4/1/2024 (1)		3,000,000		3,030,000
Media — 1.1%
Charter Communications Operating LLC:
4.464%, 7/23/2022 (1)		1,000,000		1,026,422
5.375%, 5/1/2047		6,500,000		6,175,946
Viacom, Inc., 4.375%, 3/15/2043		4,000,000		3,439,630
				10,641,998

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

67

February 28, 2019 (Unaudited)

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Mining — 0.6%
Glencore Funding LLC:
4.000%, 3/27/2027 (1)(5)	$	5,000,000	$	4,765,551
4.625%, 4/29/2024 (5)		1,000,000		1,020,202
				5,785,753
Oil & Gas — 3.1%
Diamond Offshore Drilling, Inc., 3.450%, 11/1/2023		5,000,000		4,225,000
Ensco PLC:
5.200%, 3/15/2025 (1)		4,500,000		3,476,250
5.750%, 10/1/2044 (1)		2,168,000		1,403,780
EQT Corp., 3.900%, 10/1/2027 (1)		5,000,000		4,542,517
Gulfport Energy Corp., 6.000%, 10/15/2024 (1)		5,500,000		5,018,750
Petroleos Mexicanos:
5.350%, 2/12/2028		5,000,000		4,475,000
5.625%, 1/23/2046 (1)		1,500,000		1,181,250
W&T Offshore, Inc., 9.750%, 11/1/2023 (5)		5,000,000		4,975,000
				29,297,547
Pharmaceuticals — 3.5%
Bausch Health Cos., Inc., 5.500%, 3/1/2023 (5)		5,500,000		5,493,125
Bayer US Finance II LLC, 4.250%, 12/15/2025 (1)(5)		5,000,000		5,016,399
Bristol-Myers Squibb Co., 2.000%, 8/1/2022 (1)		2,500,000		2,421,941
Mylan, Inc., 5.200%, 4/15/2048 (1)		5,000,000		4,262,821
Takeda Pharmaceutical Co., Ltd.:
4.400%, 11/26/2023 (1)(5)		7,500,000		7,756,418
5.000%, 11/26/2028 (1)(5)		2,000,000		2,097,915
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		5,000,000		3,623,434
Zoetis, Inc., 3.250%, 2/1/2023 (1)		2,500,000		2,487,104
				33,159,157
Pipelines — 0.9%
Energy Transfer Operating LP, 5.150%, 3/15/2045		4,000,000		3,719,948
Sunoco Logistics Partners Operations LP, 5.300%, 4/1/2044		5,000,000		4,690,666
				8,410,614
Real Estate Investment Trusts — 2.7%
Crown Castle International Corp., 3.650%, 9/1/2027 (1)		5,000,000		4,807,819
EPR Properties, 5.250%, 7/15/2023		5,000,000		5,203,601
Hospitality Properties Trust:
4.500%, 6/15/2023		1,000,000		995,475
4.500%, 3/15/2025		2,500,000		2,414,953
Kimco Realty Corp., 4.450%, 9/1/2047 (1)		3,000,000		2,829,653
Senior Housing Properties Trust, 3.250%, 5/1/2019		7,000,000		6,989,657
Welltower, Inc., 4.500%, 1/15/2024 (1)		2,500,000		2,590,636
				25,831,794
Retail — 3.1%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044		4,900,000		3,627,103
Hot Topic, Inc., 9.250%, 6/15/2021 (5)		6,507,000		6,539,535

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Retail (continued)
L Brands, Inc.:
6.950%, 3/1/2033	$	2,500,000	$	2,000,000
7.600%, 7/15/2037		1,500,000		1,192,500
O’Reilly Automotive, Inc., 3.600%, 9/1/2027 (1)		5,000,000		4,857,639
Tapestry, Inc., 4.125%, 7/15/2027		5,500,000		5,122,243
Walgreens Boots Alliance, Inc., 4.800%, 11/18/2044 (1)		7,000,000		6,547,789
				29,886,809
Semiconductors — 0.5%
Marvell Technology Group, Ltd., 4.875%, 6/22/2028		5,000,000		5,038,870
Software — 0.6%
CA, Inc., 4.700%, 3/15/2027		4,000,000		3,856,650
Oracle Corp., 2.400%, 9/15/2023		2,000,000		1,946,136
				5,802,786
Telecommunications — 1.9%
AT&T, Inc.:
4.350%, 6/15/2045 (1)		2,500,000		2,181,381
5.150%, 3/15/2042 (1)		4,000,000		3,903,076
CenturyLink, Inc., 7.600%, 9/15/2039		4,000,000		3,510,000
Motorola Solutions, Inc., 5.500%, 9/1/2044		3,000,000		2,910,040
Telecom Italia SpA, 5.303%, 5/30/2024 (1)(5)		6,000,000		5,887,500
				18,391,997
Total Corporate Bonds & Notes (identified cost $467,390,609)				458,837,374
Municipals — 0.0%
California — 0.0%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		300,000		315,327
Total Municipals (identified cost $300,000)				315,327
U.S. Government & U.S. Government Agency Obligations — 20.5%
U.S. Treasury Bonds & Notes — 20.5%
0.375%, 7/15/2023	$	16,195,200		16,097,163
2.000%, 9/30/2020		5,000,000		4,958,203
2.000%, 7/31/2022		25,000,000		24,594,726
2.000%, 2/15/2025		25,000,000		24,198,242
2.000%, 8/15/2025		25,000,000		24,112,793
2.125%, 8/15/2021 (1)		12,500,000		12,388,916
2.500%, 5/15/2024		5,000,000		4,990,137
2.625%, 2/28/2023 (1)		31,000,000		31,135,625
2.750%, 6/30/2025		40,000,000		40,365,625
3.000%, 8/15/2048 (1)		10,000,000		9,828,516
3.375%, 11/15/2048 (1)		4,000,000		4,228,984
Total U.S. Government & U.S. Government Agency Obligations (identified cost $194,716,618)				196,898,930
U.S. Government Agency-Mortgage Securities — 19.3%
Federal Home Loan Mortgage Corporation — 8.3%
3.000%, 11/1/2042		1,064,857		1,047,524
3.000%, 4/1/2043		1,304,175		1,282,946

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

68

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal Home Loan Mortgage Corporation (continued)
3.000%, 4/1/2043	$	2,033,899	$	1,997,024
3.000%, 4/1/2043		4,443,276		4,370,953
3.000%, 5/1/2043		2,280,732		2,243,606
3.000%, 7/1/2043		8,961,195		8,815,325
3.000%, 9/1/2043		9,109,402		8,961,117
3.000%, 4/1/2045		8,118,284		7,969,800
3.000%, 5/1/2045		4,454,803		4,372,633
3.500%, 12/1/2040		734,994		742,066
3.500%, 12/1/2041		662,947		669,326
3.500%, 3/1/2042		246,255		248,625
3.500%, 12/1/2042		625,934		631,959
3.500%, 11/1/2043		5,962,213		6,013,145
3.500%, 1/1/2044		6,116,133		6,167,275
3.500%, 2/1/2044		6,456,258		6,509,057
3.500%, 11/1/2044		4,589,297		4,618,552
4.000%, 4/1/2026		291,874		300,448
4.000%, 12/1/2039		488,866		503,300
4.000%, 12/1/2040		209,486		215,674
4.000%, 12/1/2040		2,733,538		2,814,282
4.000%, 3/1/2041		220,176		226,681
4.000%, 4/1/2041		5,338,045		5,495,747
4.000%, 8/1/2041		137,633		141,700
4.000%, 11/1/2041		555,835		572,259
4.500%, 9/1/2031		239,711		250,902
4.500%, 3/1/2039		104,292		109,728
4.500%, 5/1/2039		399,143		419,926
4.500%, 2/1/2040		106,528		112,107
4.500%, 11/1/2040		410,966		432,493
4.500%, 2/1/2041		838,071		881,964
5.000%, 12/1/2035		53,616		57,350
5.000%, 1/1/2038		29,378		31,405
5.000%, 3/1/2038		92,096		98,559
5.000%, 3/1/2038		29,658		31,737
5.000%, 2/1/2039		155,879		163,880
5.000%, 1/1/2040		142,731		152,926
6.000%, 6/1/2037		55,866		61,360
6.000%, 1/1/2038		68,163		74,860
				79,810,221
Federal National Mortgage Association — 10.8%
3.000%, 3/1/2043		2,583,375		2,534,594
3.000%, 7/1/2043		5,929,837		5,828,849
3.000%, 7/1/2043		11,699,853		11,506,402
3.000%, 9/1/2044		7,580,527		7,451,438
3.000%, 1/1/2045		8,157,288		8,008,271
3.000%, 2/1/2045		11,536,373		11,311,325
3.000%, 6/1/2045		6,623,702		6,493,466
3.000%, 3/1/2046		13,593,856		13,303,325
3.000%, 7/1/2046		16,110,655		15,766,331
3.500%, 7/1/2032		346,285		351,845
3.500%, 5/1/2042		1,034,799		1,046,972
3.500%, 10/1/2042		720,271		726,745
3.500%, 10/1/2042		763,088		769,948
3.500%, 10/1/2042		924,283		932,592
3.500%, 11/1/2042		458,019		462,704
3.500%, 12/1/2042		922,258		930,547
4.000%, 11/1/2040		287,406		295,773
4.000%, 1/1/2041		400,663		412,328
4.000%, 2/1/2041		2,079,666		2,141,511
4.000%, 2/1/2041		386,913		398,178
4.000%, 3/1/2041		167,040		172,007
4.000%, 11/1/2041		355,849		366,211
4.000%, 9/1/2048		9,685,988		9,885,910

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
4.500%, 6/1/2039	$	600,611	$	631,557
4.500%, 8/1/2041		402,933		423,651
5.000%, 7/1/2022		118,844		121,593
5.000%, 3/1/2035		209,686		224,107
5.000%, 5/1/2042		509,544		544,831
5.500%, 2/1/2034		35,251		38,404
5.500%, 7/1/2036		187,293		204,003
5.500%, 8/1/2037		358,234		390,234
5.500%, 6/1/2038		48,664		52,901
6.000%, 12/1/2038		15,118		16,443
6.000%, 5/1/2039		152,827		168,453
6.500%, 10/1/2037		35,844		40,469
6.500%, 11/1/2037		18,260		20,194
				103,974,112
Government National Mortgage Association — 0.2%
4.000%, 10/15/2040		376,516		389,249
4.000%, 12/15/2040		431,596		446,276
4.000%, 4/15/2041		426,639		440,957
5.500%, 8/20/2038		72,951		75,290
5.500%, 2/15/2039		44,548		48,525
6.000%, 12/15/2038		48,434		52,874
6.000%, 1/15/2039		23,277		25,569
				1,478,740
Total U.S. Government Agency-Mortgage Securities
(identified cost $188,011,295)				185,263,073
Short-Term Investments — 18.2%
Collateral Pool Investments for Securities on Loan — 14.4%
Collateral pool allocation (3)				137,544,882
Mutual Funds — 3.8%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		36,818,409		36,822,091
Total Short-Term Investments (identified cost $174,361,119)				174,366,973
Total Investments — 113.0% (identified cost $1,092,777,253)				1,082,930,954
Other Assets and Liabilities — (13.0)%				(124,908,812	)
Total Net Assets — 100.0%			$	958,022,142

High Yield Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 92.0%
Aerospace/Defense — 1.1%
TransDigm, Inc., 6.500%, 7/15/2024 (1)	$	115,000	$	116,438
Auto Parts & Equipment — 3.3%
Allison Transmission, Inc., 4.750%, 10/1/2027 (5)		100,000		96,250
American Axle & Manufacturing, Inc., 6.625%, 10/15/2022 (1)		82,000		84,152
Meritor, Inc., 6.250%, 2/15/2024 (1)		75,000		76,875
Tenneco, Inc., 5.000%, 7/15/2026 (1)		100,000		86,000
				343,277
Banks — 1.0%
CIT Group, Inc., 5.000%, 8/15/2022		103,000		106,605

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

69

February 28, 2019 (Unaudited)

Schedules of Investments

High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Building Materials — 2.4%
Builders FirstSource, Inc., 5.625%, 9/1/2024 (1)(5)	$	150,000	$	147,000
U.S. Concrete, Inc., 6.375%, 6/1/2024		100,000		99,000
				246,000
Chemicals — 2.8%
Braskem Netherlands Finance BV, 3.500%, 1/10/2023 (5)		50,000		49,126
Starfruit Finco BV, 8.000%, 10/1/2026 (1)(5)		150,000		149,250
Trinseo Materials Operating SCA, 5.375%, 9/1/2025 (5)		50,000		47,250
Valvoline, Inc., 4.375%, 8/15/2025		50,000		47,500
				293,126
Commercial Services — 4.3%
Avis Budget Car Rental LLC, 5.250%, 3/15/2025 (5)		75,000		71,531
Hertz Corp., 5.875%, 10/15/2020 (1)		100,000		100,000
Nielsen Finance LLC, 5.000%, 4/15/2022 (5)		50,000		50,125
Prime Security Services Borrower LLC, 9.250%, 5/15/2023 (1)(5)		80,000		84,560
Refinitiv US Holdings, Inc., 8.250%, 11/15/2026 (5)		100,000		98,094
Weight Watchers International, Inc., 8.625%, 12/1/2025 (1)(5)		50,000		46,562
				450,872
Computers — 3.1%
Dell, Inc., 6.500%, 4/15/2038		125,000		120,625
GCI LLC, 6.750%, 6/1/2021 (1)		79,000		79,395
Seagate HDD Cayman:
4.750%, 1/1/2025		25,000		24,079
4.875%, 6/1/2027 (1)		50,000		46,700
Western Digital Corp., 4.750%, 2/15/2026		50,000		47,375
				318,174
Cosmetics/Personal Care — 1.5%
Coty, Inc., 6.500%, 4/15/2026 (1)(5)		100,000		96,620
Revlon Consumer Products Corp., 6.250%, 8/1/2024		100,000		58,250
				154,870
Electric — 2.4%
AES Corp., 4.000%, 3/15/2021 (1)		50,000		50,281
Drax Finco PLC, 6.625%, 11/1/2025 (5)		100,000		101,875
NextEra Energy Operating Partners LP, 4.250%, 9/15/2024 (1)(5)		100,000		98,625
				250,781
Entertainment — 0.7%
Scientific Games International, Inc., 5.000%, 10/15/2025 (5)		75,000		72,844
Food — 2.7%
Albertsons Cos. LLC, 5.750%, 3/15/2025 (1)		100,000		95,500
Dean Foods Co., 6.500%, 3/15/2023 (1)(5)		85,000		64,281
Minerva Luxembourg SA, 6.500%, 9/20/2026 (5)		75,000		72,937
Post Holdings, Inc., 5.000%, 8/15/2026 (5)		50,000		48,313
				281,031

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Forest Products & Paper — 1.2%
Mercer International, Inc., 6.500%, 2/1/2024	$	125,000	$	128,125
Healthcare-Products — 1.6%
Hologic, Inc., 4.625%, 2/1/2028 (5)		50,000		48,500
Mallinckrodt International Finance SA:
5.625%, 10/15/2023 (5)		75,000		65,977
5.750%, 8/1/2022 (5)		50,000		47,250
				161,727
Healthcare-Services — 6.8%
Acadia Healthcare Co., Inc., 6.500%, 3/1/2024		50,000		50,000
Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026 (1)(5)		100,000		99,500
Centene Corp., 6.125%, 2/15/2024		75,000		78,609
Encompass Health Corp., 5.750%, 11/1/2024		75,000		76,054
HCA, Inc.:
5.375%, 9/1/2026		50,000		51,375
5.875%, 5/1/2023 (1)		90,000		95,400
Select Medical Corp., 6.375%, 6/1/2021 (1)		150,000		151,125
Tenet Healthcare Corp., 8.125%, 4/1/2022 (1)		75,000		80,344
WellCare Health Plans, Inc., 5.375%, 8/15/2026 (5)		25,000		25,781
				708,188
Home Builders — 3.2%
Beazer Homes USA, Inc., 5.875%, 10/15/2027 (1)		125,000		109,688
TRI Pointe Group, Inc., 5.875%, 6/15/2024		51,000		50,123
William Lyon Homes, Inc., 5.875%, 1/31/2025 (1)		188,000		170,140
				329,951
Home Furnishings — 1.5%
Tempur Sealy International, Inc., 5.625%, 10/15/2023 (1)		150,000		151,875
Insurance — 0.7%
CNO Financial Group, Inc., 5.250%, 5/30/2025 (1)		75,000		77,109
Internet — 0.5%
Netflix, Inc., 4.875%, 4/15/2028		50,000		48,813
Iron/Steel — 0.7%
United States Steel Corp., 6.875%, 8/15/2025 (1)		75,000		74,250
Lodging — 1.4%
Boyd Gaming Corp., 6.000%, 8/15/2026		50,000		51,469
Hilton Domestic Operating Co., Inc., 5.125%, 5/1/2026 (5)		50,000		50,375
Wynn Las Vegas LLC, 5.250%, 5/15/2027 (5)		50,000		47,890
				149,734
Media — 6.6%
Altice Finco SA, 7.625%, 2/15/2025 (5)		200,000		179,750
Altice France SA, 7.375%, 5/1/2026 (5)		100,000		98,375
AMC Networks, Inc., 5.000%, 4/1/2024 (1)		100,000		99,469
CCO Holdings LLC, 5.500%, 5/1/2026 (5)		200,000		205,000
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (5)		100,000		100,625
				683,219

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

70

BMO Funds

High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Mining — 4.1%
Alcoa Nederland Holding BV, 6.125%, 5/15/2028 (5)	$	25,000	$	25,656
Freeport-McMoRan, Inc., 3.550%, 3/1/2022 (1)		150,000		148,688
Hudbay Minerals, Inc., 7.250%, 1/15/2023 (5)		75,000		77,610
Kaiser Aluminum Corp., 5.875%, 5/15/2024		100,000		102,500
Kinross Gold Corp., 4.500%, 7/15/2027		75,000		70,406
				424,860
Miscellaneous Manufacturing — 0.5%
Trinity Industries, Inc., 4.550%, 10/1/2024		50,000		47,825
Oil & Gas — 11.2%
Chesapeake Energy Corp., 8.000%, 1/15/2025		75,000		76,594
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025		75,000		71,250
Ensco PLC:
4.500%, 10/1/2024 (1)		100,000		77,870
7.750%, 2/1/2026 (1)		100,000		84,250
Gulfport Energy Corp., 6.000%, 10/15/2024 (1)		100,000		91,250
Noble Holding International, Ltd., 7.750%, 1/15/2024		75,000		67,031
Oasis Petroleum, Inc., 6.875%, 3/15/2022 (1)		71,000		71,089
PBF Holding Co. LLC, 7.250%, 6/15/2025		100,000		103,050
QEP Resources, Inc., 5.250%, 5/1/2023 (1)		150,000		145,125
Southwestern Energy Co., 7.500%, 4/1/2026		50,000		52,125
Transocean, Inc., 7.250%, 11/1/2025 (5)		75,000		72,000
W&T Offshore, Inc., 9.750%, 11/1/2023 (5)		75,000		74,625
Whiting Petroleum Corp., 5.750%, 3/15/2021 (1)		100,000		101,750
WildHorse Resource Development Corp., 6.875%, 2/1/2025		75,000		76,406
				1,164,415
Oil & Gas Services — 1.8%
Nine Energy Service, Inc., 8.750%, 11/1/2023 (5)		100,000		100,500
SESI LLC, 7.750%, 9/15/2024 (1)		100,000		85,500
				186,000
Pharmaceuticals — 2.5%
Bausch Health Cos., Inc., 5.500%, 3/1/2023 (5)		150,000		149,812
Teva Pharmaceutical Finance Netherlands III BV:
2.800%, 7/21/2023 (1)		100,000		90,602
6.000%, 4/15/2024		25,000		25,339
				265,753
Pipelines — 3.4%
Antero Midstream Partners LP, 5.375%, 9/15/2024		100,000		100,500
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 (1)		50,000		51,125
Cheniere Energy Partners LP, 5.625%, 10/1/2026 (1)(5)		50,000		51,062

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines (continued)
Genesis Energy LP, 6.750%, 8/1/2022 (1)	$	150,000	$	153,375
				356,062
Real Estate Investment Trusts — 2.2%
ESH Hospitality, Inc., 5.250%, 5/1/2025 (1)(5)		100,000		99,750
SBA Communications Corp., 4.875%, 9/1/2024		50,000		50,125
Starwood Property Trust, Inc., 3.625%, 2/1/2021		75,000		74,719
				224,594
Retail — 3.5%
Beacon Roofing Supply, Inc., 4.875%, 11/1/2025 (1)(5)		50,000		46,734
Hot Topic, Inc., 9.250%, 6/15/2021 (5)		144,000		144,720
KFC Holding Co., 5.000%, 6/1/2024 (5)		50,000		50,663
Party City Holdings, Inc., 6.125%, 8/15/2023 (1)(5)		75,000		76,219
Penske Automotive Group, Inc., 5.375%, 12/1/2024		50,000		49,860
				368,196
Semiconductors — 1.0%
Amkor Technology, Inc., 6.375%, 10/1/2022		100,000		101,000
Software — 1.3%
Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024		74,000		73,907
Rackspace Hosting, Inc., 8.625%, 11/15/2024 (1)(5)		75,000		65,813
				139,720
Telecommunications — 10.4%
CenturyLink, Inc., 5.800%, 3/15/2022 (1)		50,000		51,563
Cincinnati Bell, Inc., 7.000%, 7/15/2024 (1)(5)		150,000		136,500
CommScope, Inc., 5.500%, 6/15/2024 (5)		158,000		152,272
Consolidated Communications, Inc., 6.500%, 10/1/2022 (1)		100,000		93,750
Inmarsat Finance PLC, 4.875%, 5/15/2022 (5)		150,000		150,750
Qwest Corp., 6.875%, 9/15/2033		100,000		98,288
Sprint Communications, Inc., 6.000%, 11/15/2022 (1)		75,000		76,275
Sprint Corp.:
7.125%, 6/15/2024 (1)		110,000		113,575
7.625%, 3/1/2026		50,000		52,000
Telecom Italia Capital SA, 6.000%, 9/30/2034		25,000		22,625
Telesat Canada, 8.875%, 11/15/2024 (5)		82,000		88,355
T-Mobile USA, Inc., 4.500%, 2/1/2026 (1)		50,000		49,437
				1,085,390
Toys/Games/Hobbies — 0.4%
Mattel, Inc., 2.350%, 8/15/2021		50,000		46,938
Trucking & Leasing — 0.2%
Park Aerospace Holdings, Ltd., 4.500%, 3/15/2023 (5)		25,000		24,875
Total Corporate Bonds & Notes (identified cost $9,724,174)				9,582,637

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

71

February 28, 2019 (Unaudited)

Schedules of Investments

High Yield Bond Fund (continued)

Description	Shares		Value
Short-Term Investments — 44.9%
Collateral Pool Investments for Securities on Loan — 38.4%
Collateral pool allocation (3)			$	3,998,481
Mutual Funds — 6.5%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (4)		679,508		679,576
Total Short-Term Investments (identified cost $4,677,931)				4,678,057
Total Investments — 136.9% (identified cost $14,402,105)				14,260,694
Other Assets and Liabilities — (36.9)%				(3,844,789	)
Total Net Assets — 100.0%			$	10,415,905

Government Money Market Fund

Description	Shares or Principal Amount		Value
Mutual Funds — 5.6%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 2.290%		40,000,000	$	40,000,000
Invesco Government & Agency Portfolio — Institutional Class, 2.296%		125,000,000		125,000,000
Total Mutual Funds				165,000,000
Repurchase Agreements — 45.0%
Agreement with Fixed Income Clearing Corp., 1.400%, dated 2/28/2019, to be repurchased at $12,423,394 on 3/1/2019, collateralized by a U.S. Government Treasury Obligation with a maturity of 4/15/2019, with a fair value of $12,675,094	$	12,422,911		12,422,911
Agreement with Fixed Income Clearing Corp., 2.580%, dated 2/28/2019, to be repurchased at $555,039,775 on 3/1/2019, collateralized by U.S. Government Treasury Obligations and U.S. Government Agency Obligations with various maturities to 2/15/2046, with a fair value of $566,101,135		555,000,000		555,000,000
Agreement with Goldman Sachs Group, Inc., 2.370%, dated 2/22/2019, to be repurchased at $250,115,208 on 3/1/2019, collateralized by U.S. Government Agency Obligations with various maturities to 1/1/2049, with a fair value of $255,000,000		250,000,000		250,000,000

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Goldman Sachs Group, Inc., 2.530%, dated 2/28/2019, to be repurchased at $320,022,489 on 3/1/2019, collateralized by U.S. Government Agency Obligations with various maturities to 2/1/2049, with a fair value of $326,400,000	$	320,000,000	$	320,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 2.570%, dated 2/28/2019, to be repurchased at $90,006,425 on 3/1/2019, collateralized by U.S. Government Agency Obligations with various maturities to 1/20/2049, with a fair value of $91,800,001		90,000,000		90,000,000
Agreement with Toronto Dominion Bank, 2.560%, dated 2/28/2019, to be repurchased at $100,007,111 on 3/1/2019, collateralized by U.S. Government Agency Obligations with various maturities to 9/1/2048, with a fair value of $102,007,254		100,000,000		100,000,000
Total Repurchase Agreements				1,327,422,911
U.S. Government & U.S. Government Agency Obligations — 49.4%
Federal Farm Credit Bank — 16.0%
2.375% (U.S. Federal Funds Effective Rate (continuous series)-3 basis points) 4/25/2019 (7)		18,000,000		17,999,862
2.385% (LIBOR 1 Month-11 basis points) 9/25/2019 (7)		1,000,000		999,863
2.393% (LIBOR 1 Month-10 basis points) 8/30/2019 (7)		15,000,000		14,999,956
2.395% (FCPR DLY-311 basis points) 4/10/2019 (7)		14,000,000		13,999,922
2.400% (SOFR+3 basis points) 2/6/2020 (7)		4,000,000		4,000,000
2.400% (U.S. Federal Funds Effective Rate (continuous series)) 4/15/2019 (7)		16,000,000		15,999,799
2.408% (LIBOR 1 Month-9 basis points) 5/30/2019 (7)		12,000,000		11,998,953

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

72

BMO Funds

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Farm Credit Bank (continued)
2.410% (U.S. Federal Funds Effective Rate (continuous series)+1 basis points) 4/24/2019 (7)	$	15,000,000	$	14,999,777
2.414% (LIBOR 1 Month-10 basis points) 12/2/2019 (7)		12,800,000		12,796,363
2.420% (FCPR DLY-308 basis points) 3/12/2019 (7)		5,000,000		5,000,017
2.420% (FCPR DLY-308 basis points) 6/27/2019 (7)		25,000,000		24,999,917
2.420% (FCPR DLY-308 basis points) 9/13/2019 (7)		12,000,000		11,999,893
2.420% (FCPR DLY-308 basis points) 10/10/2019 (7)		15,000,000		14,999,208
2.425% (FCPR DLY-308 basis points) 9/25/2019 (7)		11,900,000		11,900,064
2.428% (LIBOR 1 Month-7 basis points) 12/30/2019 (7)		14,000,000		13,999,419
2.430% (FCPR DLY-307 basis points) 11/4/2019 (7)		23,000,000		22,998,936
2.430% (FCPR DLY-307 basis points) 12/18/2019 (7)		10,000,000		9,999,800
2.432% (LIBOR 1 Month-9 basis points) 7/9/2019 (7)		1,000,000		1,000,003
2.435% (FCPR DLY-307 basis points) 12/26/2019 (7)		15,000,000		14,999,383
2.440% (FCPR DLY-306 basis points) 4/25/2019 (7)		14,000,000		14,000,027
2.445% (LIBOR 1 Month-5 basis points) 2/25/2020 (7)		14,700,000		14,697,987
2.450% (FCPR DLY-305 basis points) 1/9/2020 (7)		15,000,000		14,999,357
2.450% (LIBOR 1 Month-4 basis points) 4/24/2019 (7)		23,445,000		23,447,673
2.454% (LIBOR 1 Month-6 basis points) 4/3/2019 (7)		29,149,000		29,150,281
2.465% (LIBOR 1 Month-3 basis points) 6/24/2019 (7)		2,000,000		2,000,236
2.494% (LIBOR 1 Month-0 basis points) 4/14/2020 (7)		15,000,000		15,000,000
2.520% 7/22/2019 (6)		15,500,000		15,344,845
2.529% (LIBOR 1 Month+5 basis points) 1/27/2020 (7)		15,000,000		15,014,391
2.532% (LIBOR 1 Month+5 basis points) 2/21/2020 (7)		8,500,000		8,508,727
2.540% (FCPR DLY-296 basis points) 7/9/2020 (7)		10,000,000		9,997,279
2.577% (LIBOR 3 Month-23 basis points) 4/3/2019 (7)		15,000,000		14,999,991
2.602% (LIBOR 3 Month-20 basis points) 7/12/2019 (7)		15,000,000		14,999,726
2.639% (LIBOR 1 Month+15 basis points) 3/15/2019 (7)		15,285,000		15,286,468
2.645% (LIBOR 3 Month-12 basis points) 1/27/2020 (7)		1,500,000		1,501,030
2.670% (LIBOR 1 Month+18 basis points) 10/24/2019 (7)		2,295,000		2,299,448
2.671% (LIBOR 1 Month+19 basis points) 5/16/2019 (7)		8,615,000		8,620,202
2.674% (LIBOR 1 Month+19 basis points) 9/20/2019 (7)		1,510,000		1,512,294

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Farm Credit Bank (continued)
2.697% (LIBOR 1 Month+18 basis points) 10/11/2019 (7)	$	12,315,000	$	12,335,682
				473,406,779
Federal Home Loan Bank — 27.8%
2.356% (LIBOR 1 Month-13 basis points) 7/16/2019 (7)		25,000,000		25,000,000
2.360% (SOFR-1 basis points) 5/13/2019 (7)		25,000,000		25,000,000
2.362% (LIBOR 3 Month-34 basis points) 5/10/2019 (7)		17,500,000		17,494,756
2.369% (LIBOR 1 Month-12 basis points) 4/26/2019 (7)		25,000,000		25,000,000
2.376% (LIBOR 1 Month-11 basis points) 7/19/2019 (7)		20,000,000		20,000,000
2.380% 3/5/2019 (6)		25,000,000		24,993,389
2.382% (LIBOR 1 Month-14 basis points) 5/9/2019 (7)		8,500,000		8,498,833
2.390% 3/21/2019 (6)		20,000,000		19,973,444
2.390% (SOFR+2 basis points) 7/17/2019 (7)		7,000,000		7,000,000
2.390% (SOFR+2 basis points) 8/27/2019 (7)		29,000,000		29,000,000
2.394% (LIBOR 1 Month-9 basis points) 7/26/2019 (7)		12,850,000		12,850,000
2.395% 3/15/2019 (6)		25,000,000		24,976,715
2.395% 4/5/2019 (6)		25,000,000		24,941,788
2.395% (LIBOR 1 Month-10 basis points) 10/23/2019 (7)		12,500,000		12,500,000
2.400% 3/5/2019 (6)		25,000,000		24,993,333
2.400% 3/14/2019 (6)		10,000,000		9,991,333
2.400% 3/28/2019 (6)		16,000,000		15,971,200
2.400% 4/4/2019 (6)		23,725,000		23,671,223
2.400% 10/11/2019 (6)(10)		13,000,000		13,000,000
2.400% (LIBOR 1 Month-8 basis points) 3/20/2019 (7)		16,100,000		16,099,869
2.401% (LIBOR 1 Month-8 basis points) 8/22/2019 (7)		13,000,000		13,000,000
2.408% 4/12/2019 (6)		20,000,000		19,943,813
2.409% (LIBOR 1 Month-9 basis points) 6/14/2019 (7)		1,600,000		1,600,035
2.410% 3/15/2019 (6)		10,015,000		10,005,614
2.410% 3/21/2019 (6)		20,000,000		19,973,222
2.410% 4/17/2019 (6)		10,500,000		10,466,963
2.410% (SOFR+4 basis points) 5/15/2019 (7)		15,000,000		15,000,000
2.410% (SOFR+4 basis points) 6/21/2019 (7)		22,000,000		22,000,000
2.411% (LIBOR 1 Month-7 basis points) 7/19/2019 (7)		15,000,000		15,000,031
2.414% 4/17/2019 (6)		15,000,000		14,952,726
2.414% (LIBOR 1 Month-8 basis points) 3/14/2019 (7)		14,000,000		14,000,000
2.414% (LIBOR 1 Month-9 basis points) 8/12/2019 (7)		10,150,000		10,150,000
2.415% 4/22/2019 (6)		20,000,000		19,930,233
2.418% (LIBOR 1 Month-8 basis points) 11/13/2019 (7)		10,000,000		9,997,609
2.420% (LIBOR 1 Month-6 basis points) 2/20/2020 (7)		20,000,000		20,000,000
2.420% (SOFR+5 basis points) 1/17/2020 (7)		2,000,000		2,000,000

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

73

February 28, 2019 (Unaudited)

Schedules of Investments

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
2.421% (LIBOR 1 Month-6 basis points) 9/16/2019 (7)	$	4,600,000	$	4,600,556
2.425% (LIBOR 1 Month-7 basis points) 1/23/2020 (7)		10,000,000		10,000,009
2.429% (LIBOR 1 Month-9 basis points) 6/3/2019 (7)		3,300,000		3,300,044
2.430% 6/12/2019 (6)		18,000,000		17,874,855
2.432% (LIBOR 1 Month-8 basis points) 2/7/2020 (7)		15,000,000		14,999,619
2.433% (LIBOR 1 Month-6 basis points) 8/28/2019 (7)		10,000,000		10,000,000
2.433% (LIBOR 1 Month-8 basis points) 3/6/2019 (7)		3,300,000		3,299,994
2.435% (SOFR+7 basis points) 11/15/2019 (7)		19,000,000		19,002,855
2.445% (SOFR+8 basis points) 7/24/2020 (7)		10,000,000		10,000,000
2.455% (LIBOR 1 Month-3 basis points) 4/20/2020 (7)		10,750,000		10,748,862
2.457% (LIBOR 3 Month-34 basis points) 4/9/2019 (7)		9,000,000		9,000,000
2.477% (LIBOR 3 Month-32 basis points) 4/12/2019 (7)		16,000,000		16,000,000
2.490% (LIBOR 1 Month+0 basis points) 10/23/2020 (7)		14,750,000		14,750,000
2.535% (LIBOR 3 Month-26 basis points) 10/7/2019 (7)		15,000,000		14,992,716
2.539% (LIBOR 3 Month-26 basis points) 10/11/2019 (7)		15,000,000		14,991,428
2.587% (LIBOR 3 Month-21 basis points) 4/9/2019 (7)		14,500,000		14,500,000
2.623% (LIBOR 3 Month-15 basis points) 1/17/2020 (7)		8,500,000		8,500,000
2.633% (LIBOR 3 Month-16 basis points) 7/5/2019 (7)		25,050,000		25,060,937
				820,598,004
Federal Home Loan Mortgage Corporation — 2.2%
2.360% (SOFR-1 basis points) 5/22/2019 (7)		20,000,000		20,000,000
2.380% (SOFR+1 basis points) 7/11/2019 (7)		16,500,000		16,500,000
2.630% (LIBOR 3 Month-17 basis points) 7/5/2019 (7)		28,890,000		28,904,092
				65,404,092
Federal National Mortgage Association — 1.6%
2.490% (SOFR+12 basis points) 7/30/2019 (7)		25,000,000		25,000,000
2.530% (SOFR+16 basis points) 1/30/2020 (7)		21,000,000		21,006,013
				46,006,013
Sovereign — 1.8%
2.420% 7/19/2027 (7)		15,000,000		15,000,000
2.420% 9/20/2027 (7)		14,000,000		14,000,000

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Sovereign (continued)
2.440% 1/20/2027 (7)	$	15,000,000	$	15,000,000
2.440% 10/15/2030 (7)		10,000,000		10,000,000
				54,000,000
Total U.S. Government & U.S. Government Agency Obligations				1,459,414,888
Total Investments — 100.0% (at amortized cost)				2,951,837,799
Other Assets and Liabilities — (0.0)%				(903,069	)
Total Net Assets — 100.0%			$	2,950,934,730

Tax-Free Money Market Fund

Description	Principal Amount		Value
Municipals — 96.9%
Alabama — 11.7%
Chatom Industrial Development Board, 1.850%, 8/1/2037 (7)	$	5,500,000	$	5,500,000
City of Oxford, 1.830%, 9/1/2041 (7)		12,745,000		12,745,000
Columbia Industrial Development Board, 1.770%, 12/1/2037 (7)		4,580,000		4,580,000
Industrial Development Board of the City of Mobile Alabama:
1.740% 6/1/2034 (7)		2,550,000		2,550,000
1.870% 6/1/2034 (7)		10,000,000		10,000,000
Tender Option Bond Trust Receipts/Certificates:
1.860% 5/1/2026 (5)(7)		6,000,000		6,000,000
1.890% 7/1/2026 (5)(7)		10,000,000		10,000,000
				51,375,000
California — 3.2%
Tender Option Bond Trust Receipts/Certificates:
1.840% 11/1/2023 (5)(7)		5,070,000		5,070,000
1.890% 9/1/2042 (5)(7)		8,945,000		8,945,000
				14,015,000
Connecticut — 2.9%
State of Connecticut, 1.830%, 5/15/2034 (7)		12,700,000		12,700,000
Delaware — 0.7%
Delaware State Health Facilities Authority, 1.800%, 10/1/2040 (7)		3,240,000		3,240,000
Florida — 7.6%
City of Jacksonville:
1.750% 5/1/2029 (7)		800,000		800,000
1.900% 3/11/2019		12,300,000		12,300,000
County of Manatee, 1.730%, 9/1/2024 (7)		1,700,000		1,700,000
Highlands County Health Facilities Authority:
1.730% 11/15/2035 (7)		8,200,000		8,200,000
1.730% 11/15/2037 (7)		3,400,000		3,400,000
Pinellas County Health Facilities Authority, 1.740%, 11/1/2038 (7)		3,000,000		3,000,000

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

74

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Florida (continued)
Tender Option Bond Trust Receipts/Certificates, 1.770%, 7/1/2040 (5)(7)	$	4,075,000	$	4,075,000
				33,475,000
Georgia — 1.8%
Private Colleges & Universities Authority, 1.710%, 9/1/2035 (7)		1,355,000		1,355,000
RBC Municipal Products, Inc. Trust, 1.800%, 10/1/2021 (5)(7)		5,000,000		5,000,000
Tender Option Bond Trust Receipts/Certificates, 1.790%, 10/1/2024 (5)(7)		1,600,000		1,600,000
				7,955,000
Illinois — 6.6%
Illinois Finance Authority:
1.720% 7/1/2038 (7)		1,540,000		1,540,000
1.730% 7/1/2039 (7)		450,000		450,000
1.800% 8/15/2038 (7)		800,000		800,000
Illinois Housing Development Authority, 1.730%, 1/1/2041 (7)		12,000,000		12,000,000
Illinois State Toll Highway Authority, 1.750%, 7/1/2030 (7)		725,000		725,000
Phoenix Realty Special Account-U LP, 1.770%, 4/1/2020 (7)		8,075,000		8,075,000
Tender Option Bond Trust Receipts/Certificates, 1.770%, 1/15/2026 (5)(7)		5,600,000		5,600,000
				29,190,000
Indiana — 1.8%
Tender Option Bond Trust Receipts/Certificates, 1.890%, 5/14/2026 (5)(7)		7,770,000		7,770,000
Iowa — 2.9%
Iowa Finance Authority:
1.780% 9/1/2036 (7)		3,200,000		3,200,000
1.780% 6/1/2039 (7)		9,800,000		9,800,000
				13,000,000
Louisiana — 1.5%
East Baton Rouge Parish Industrial Development Board, Inc., 1.720%, 12/1/2040 (7)		6,500,000		6,500,000
Maryland — 0.4%
RBC Municipal Products, Inc. Trust, 1.940%, (SIFMA Municipal Swap Index Yield), 1/1/2025 (5)(7)		2,000,000		2,000,000
Minnesota — 1.6%
City of Ramsey, 1.950%, 12/1/2023 (7)		1,600,000		1,600,000
Minnesota Higher Education Facilities Authority:
1.780% 3/1/2024 (7)		2,000,000		2,000,000
1.780% 3/1/2033 (7)		3,415,000		3,415,000
				7,015,000

Description	Principal Amount		Value
Municipals (continued)
Mississippi — 0.4%
Mississippi Business Finance Corp., 2.220%, 5/1/2037 (7)	$	2,000,000	$	2,000,000
Missouri — 4.8%
City of St. Louis, 3.000%, 5/30/2019		3,000,000		3,009,042
Greene County Industrial Development Authority, 1.820%, 5/1/2039 (7)		905,000		905,000
Health & Educational Facilities Authority of the State of Missouri:
1.750% 11/15/2026 (7)		7,000,000		7,000,000
1.750% 11/15/2039 (7)		400,000		400,000
Tender Option Bond Trust Receipts/Certificates, 1.840%, 5/15/2041 (5)(7)		10,000,000		10,000,000
				21,314,042
Nebraska — 2.7%
Nebraska Investment Finance Authority, 2.250%, 9/1/2031 (7)		600,000		600,000
Omaha Public Power District, 1.700%, 5/1/2019		11,150,000		11,150,000
				11,750,000
New York — 9.7%
City of New York:
1.730% 8/1/2027 (7)		4,090,000		4,090,000
1.730% 12/1/2047 (7)		4,000,000		4,000,000
County of Suffolk, 5.000%, 7/24/2019		2,000,000		2,020,850
New York City Transitional Finance Authority Future Tax Secured Revenue:
1.710% 8/1/2039 (7)		1,200,000		1,200,000
1.750% 11/1/2029 (7)		10,000,000		10,000,000
1.750% 8/1/2031 (7)		3,000,000		3,000,000
New York City Water & Sewer System:
1.730% 6/15/2044 (7)		7,000,000		7,000,000
1.750% 6/15/2039 (7)		5,500,000		5,500,000
RBC Municipal Products, Inc. Trust, 1.750%, 3/1/2022 (5)(7)		6,000,000		6,000,000
				42,810,850
North Carolina — 1.1%
Tender Option Bond Trust Receipts/Certificates, 1.790%, 7/1/2019 (5)(7)		4,785,000		4,785,000
Ohio — 5.7%
Athens City School District, 3.000%, 6/26/2019		2,500,000		2,505,947
City of Fairborn, 2.250%, 3/21/2019		4,007,000		4,007,821
County of Lake, 3.000%, 1/16/2020		2,500,000		2,519,370
County of Lorain, 3.000%, 2/7/2020		2,225,000		2,246,515
Ohio State University, 1.700%, 6/1/2035 (7)		3,100,000		3,100,000
Port of Greater Cincinnati Development Authority:
1.960% 11/1/2023 (7)		1,230,000		1,230,000
1.960% 11/1/2025 (7)		245,000		245,000

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

75

February 28, 2019 (Unaudited)

Schedules of Investments

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio (continued)
RBC Municipal Products, Inc. Trust, 1.770%, 10/1/2020 (5)(7)	$	4,110,000	$	4,110,000
State of Ohio, 1.700%, 8/1/2021 (7)		1,000,000		1,000,000
Tender Option Bond Trust Receipts/Certificates, 1.840%, 6/1/2026 (5)(7)		4,000,000		4,000,000
				24,964,653
Pennsylvania — 2.8%
Montgomery County Higher Education & Health Authority, 5.000%, 6/1/2025		1,000,000		1,008,086
RBC Municipal Products, Inc. Trust:
1.750% 4/1/2022 (5)(7)		7,000,000		7,000,000
1.940% (SIFMA Municipal Swap Index Yield), 12/1/2025 (5)(7)		4,325,000		4,325,000
				12,333,086
Rhode Island — 0.2%
Narragansett Bay Commission, 1.730%, 9/1/2034 (7)		800,000		800,000
South Dakota — 2.9%
South Dakota Housing Development Authority:
1.860% 11/1/2048 (7)		6,150,000		6,150,000
1.910% 5/1/2048 (7)		6,525,000		6,525,000
				12,675,000
Tennessee — 1.5%
City of Memphis, 1.610%, 3/5/2019		6,000,000		6,000,000
Shelby County Health Educational & Housing Facilities Board, 1.720%, AGM, 6/1/2042 (7)		565,000		565,000
				6,565,000
Texas — 13.7%
City of Austin, 1.740%, 11/15/2029 (7)		1,260,000		1,260,000
City of Houston, 1.550%, 3/6/2019		5,000,000		5,000,000
County of Harris, 1.520%, 3/7/2019		8,910,000		8,910,000
Harris County Cultural Education Facilities Finance Corp., 1.750%, 6/4/2019		5,000,000		5,000,000
Harris County Health Facilities Development Corp., 1.730%, 12/1/2041 (7)		7,000,000		7,000,000
San Antonio Texas Water System, 1.640%, 3/6/2019		3,000,000		3,000,000
State of Texas:
1.750% 12/1/2049 (7)		4,995,000		4,995,000
1.800% 6/1/2045 (7)		4,000,000		4,000,000
1.800% 6/1/2046 (7)		3,500,000		3,500,000
4.000% 8/29/2019		3,000,000		3,030,182

Description	Shares or Principal Amount		Value
Municipals (continued)
Texas (continued)
Tarrant County Cultural Education Facilities Finance Corp.:
1.730% 11/15/2033 (7)	$	330,000	$	330,000
1.730% 11/15/2047 (7)		4,250,000		4,250,000
1.790% 11/15/2033 (7)		1,870,000		1,870,000
University Of North Texas System, 1.850%, 5/9/2019		8,280,000		8,280,000
				60,425,182
Washington — 5.9%
Seattle Housing Authority, 1.900%, 6/1/2040 (7)		975,000		975,000
Tender Option Bond Trust Receipts/Certificates:
1.800% 7/1/2026 (5)(7)		5,000,000		5,000,000
1.890% 6/15/2029 (5)(7)		11,320,000		11,320,000
Washington Higher Education Facilities Authority, 1.800%, 10/1/2029 (7)		6,050,000		6,050,000
Washington State Housing Finance Commission, 1.850%, 7/1/2028 (7)		2,505,000		2,505,000
				25,850,000
Wisconsin — 2.8%
Burlington Area School District, 3.000%, 8/6/2019		2,500,000		2,505,061
Pewaukee School District, 3.000%, 8/1/2019		3,300,000		3,307,033
PMA Levy & Aid Anticipation Notes Program, 3.000%, 7/19/2019		1,000,000		1,003,785
State of Wisconsin, 5.750%, 5/1/2033		3,775,000		3,801,739
Wisconsin Health & Educational Facilities Authority, 1.800%, 5/1/2030 (7)		1,655,000		1,655,000
				12,272,618
Total Municipals				426,780,431
Mutual Funds — 2.1%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 2.290%		100,000		100,000
Federated Institutional Tax-Free Cash Trust — Institutional Class, 1.630%		9,045,785		9,045,785
Total Mutual Funds				9,145,785
Total Investments — 99.0% (at amortized cost)				435,926,216
Other Assets and Liabilities — 1.0%				4,504,769
Total Net Assets — 100.0%			$	440,430,985

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

76

BMO Funds

Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 19.4%
Banks — 19.4%
Canadian Imperial Bank of Commerce, 2.892% (LIBOR 3 Month+10 basis points), 9/20/2019 (7)	$	3,000,000	$	3,000,000
HSBC Bank USA NA:
2.667% (LIBOR 1 Month+15 basis points), 9/11/2019 (7)		2,500,000		2,500,000
2.730% (LIBOR 1 Month+24 basis points), 4/25/2019 (7)		3,000,000		3,000,000
2.737% (LIBOR 3 Month), 8/5/2019 (7)		3,000,000		3,000,000
2.740% 6/27/2019		3,000,000		3,000,000
2.764% (LIBOR 1 Month+25 basis points), 10/3/2019 (7)		2,500,000		2,500,000
Mizuho Bank, Ltd.:
2.650% (LIBOR 1 Month+16 basis points), 8/27/2019 (7)		2,500,000		2,500,000
2.673% (LIBOR 1 Month+16 basis points), 8/8/2019 (7)		3,000,000		3,000,000
2.683% (LIBOR 1 Month+19 basis points), 3/11/2019 (7)		3,000,000		3,000,000
2.707% (LIBOR 1 Month+19 basis points), 4/10/2019 (7)		3,000,000		3,000,000
2.791% (LIBOR 3 Month+2 basis points), 7/25/2019 (7)		3,000,000		3,000,000
3.044% (LIBOR 3 Month+30 basis points), 4/30/2019 (7)		2,500,000		2,500,695
MUFG Bank, Ltd.:
2.740% 5/22/2019		2,500,000		2,500,218
2.819% (LIBOR 1 Month+33 basis points), 8/15/2019 (7)		3,000,000		3,000,000
2.879% (LIBOR 3 Month+10 basis points), 10/24/2019 (7)		3,000,000		3,000,000
Natixis S.A., 2.850% (SOFR+48 basis points), 6/12/2019 (7)		2,500,000		2,500,000
Nordea Bank AB, 2.894% (LIBOR 1 Month+40 basis points), 3/14/2019 (7)		2,500,000		2,500,000
Norinchukin Bank, 2.550% 3/22/2019		2,500,000		2,500,000
Skandinaviska Enskilda Banken AB, 2.618% (LIBOR 1 Month+12 basis points), 8/13/2019 (7)		2,500,000		2,500,000
State Street Bank and Trust Co., 2.731% (LIBOR 1 Month+25 basis points), 4/22/2019 (7)		3,000,000		3,000,000
Sumitomo Mitsui Banking Corp.:
2.693% (LIBOR 1 Month+20 basis points), 3/28/2019 (7)		3,000,000		3,000,000
2.922% (LIBOR 3 Month+15 basis points), 4/23/2019 (7)		2,500,000		2,500,000
Sumitomo Mitsui Trust Bank, Ltd., 2.917% (LIBOR 3 Month+12 basis points), 7/8/2019 (7)		3,000,000		3,000,000
Toronto-Dominion Bank:
2.909% (LIBOR 3 Month+13 basis points), 7/16/2019 (7)		2,000,000		2,000,000
2.927% (LIBOR 3 Month+13 basis points), 10/15/2019 (7)		3,000,000		3,000,000
U.S. Bank NA, 2.910% 7/23/2019		2,500,000		2,500,000
Wells Fargo Bank NA:
2.790% (LIBOR 1 Month+30 basis points), 7/23/2019 (7)		3,500,000		3,500,000

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
2.947% (LIBOR 3 Month+14 basis points), 6/28/2019 (7)	$	3,000,000	$	3,000,000
3.004% (LIBOR 3 Month+20 basis points), 1/8/2020 (7)		3,000,000		3,000,000
Westpac Banking Corp., 2.700% (FEDL 1 Month+30 basis points), 2/14/2020 (7)		2,500,000		2,500,000
Total Certificates of Deposit				83,500,913
Commercial Paper — 48.6%
Asset-Backed Securities — 25.6%
Atlantic Asset Securitization LLC, 2.814% (LIBOR 1 Month+30 basis points), 5/2/2019 (5)(7)		3,000,000		3,000,000
Bedford Row Funding Corp.:
2.737% (LIBOR 1 Month+22 basis points), 9/9/2019 (5)(7)		3,000,000		3,000,000
2.779% (LIBOR 1 Month+29 basis points), 3/15/2019 (5)(7)		2,500,000		2,500,000
2.817% (LIBOR 1 Month+30 basis points), 4/11/2019 (5)(7)		2,000,000		2,000,000
2.833% (LIBOR 1 Month+32 basis points), 6/6/2019 (5)(7)		3,000,000		3,000,000
2.952% (LIBOR 3 Month+13 basis points), 6/27/2019 (5)(7)		2,500,000		2,500,000
CAFCO LLC:
2.560% 6/5/2019 (6)		3,000,000		2,979,520
2.620% 5/2/2019 (6)		2,500,000		2,488,719
Crown Point Capital Co. LLC, 2.650% 4/10/2019 (5)(6)		4,500,000		4,486,750
Kells Funding LLC, 2.550% 5/20/2019 (6)		5,000,000		4,971,667
Lexington Parker Capital Co. LLC:
2.500% 3/5/2019 (6)		2,000,000		1,999,444
2.530% 3/4/2019 (6)		2,500,000		2,499,473
2.570% 5/6/2019 (6)		2,850,000		2,836,572
Liberty Street Funding LLC:
2.500% 4/15/2019 (6)		3,500,000		3,489,063
2.640% 6/3/2019 (6)		2,500,000		2,482,767
LMA Americas LLC:
2.433% 3/14/2019 (6)		3,000,000		2,997,238
2.510% 3/11/2019 (6)		3,000,000		2,997,908
2.660% 4/1/2019		3,000,000		2,993,283
2.750% 4/24/2019 (6)		3,000,000		2,987,625
Longship Funding DAC:
2.440% 3/5/2019 (6)		4,500,000		4,498,780
2.440% 3/6/2019 (6)		5,000,000		4,998,306
2.450% 3/1/2019 (6)		5,000,000		5,000,000
Manhattan Asset Funding Co. LLC, 2.630% 3/8/2019 (6)		2,800,000		2,798,568
Old Line Funding LLC:
2.651% (LIBOR 1 Month+17 basis points), 3/8/2019 (5)(7)		3,000,000		3,000,000
2.661% (LIBOR 1 Month+18 basis points), 4/16/2019 (5)(7)		3,000,000		3,000,000
2.982% (LIBOR 1 Month+50 basis points), 3/21/2019 (5)(7)		2,500,000		2,500,000
Regency Markets No. 1 LLC, 2.500% 3/8/2019 (6)		7,500,000		7,496,354

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

77

February 28, 2019 (Unaudited)

Schedules of Investments

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
Sheffield Receivables Co. LLC:
2.460% 4/2/2019 (5)(6)	$	3,000,000	$	2,993,013
2.600% 5/6/2019 (6)		2,500,000		2,488,083
2.610% 6/6/2019 (6)		2,500,000		2,482,419
2.740% 5/23/2019 (6)		2,500,000		2,484,207
2.840% 6/24/2019 (6)		3,000,000		2,972,783
2.840% (SOFR+47 basis points), 5/30/2019 (5)(7)		2,500,000		2,500,000
Thunder Bay Funding LLC, 2.882% (LIBOR 1 Month+37 basis points), 3/7/2019 (5)(7)		2,500,000		2,500,000
Victory Receivables Corp., 2.760% 4/2/2019 (6)		2,500,000		2,493,867
				110,416,409
Automobiles — 1.4%
Toyota Motor Credit Corp.:
2.859% (LIBOR 3 Month+8 basis points), 4/12/2019 (7)		3,000,000		3,000,000
2.897% (LIBOR 3 Month+10 basis points), 10/11/2019 (7)		3,000,000		3,000,000
				6,000,000
Banks — 1.2%
Novartis Finance Corp., 2.430% 3/4/2019 (6)		5,000,000		4,998,988
Diversified Financial Services — 8.1%
Bedford Row Funding Corp., 2.703% (LIBOR 1 Month+21 basis points), 4/29/2019 (5)(7)		2,500,000		2,499,879
Collateralized Commercial Paper Co. LLC:
2.789% (LIBOR 1 Month+28 basis points), 3/1/2019 (7)		3,000,000		3,000,000
2.922% (LIBOR 3 Month+10 basis points), 3/15/2019 (7)		3,000,000		3,000,195
JP Morgan Securities LLC, 2.700% (LIBOR 1 Month+21 basis points), 9/23/2019 (5)(7)		2,000,000		1,998,092
Nationwide Building Society:
2.490% 3/26/2019 (6)		3,100,000		3,094,639
2.750% 6/18/2019 (6)		3,000,000		2,975,021
2.750% 7/1/2019 (6)		2,500,000		2,476,701
2.770% 5/10/2019 (6)		3,000,000		2,983,842
Skandinaviska Enskilda Banken AB, 2.700% 3/29/2019 (6)		2,500,000		2,494,750
Suncorp Group, Ltd., 2.540% 3/21/2019 (6)		3,000,000		2,995,767
Suncorp-Metway Ltd., 2.600% 3/19/2019 (5)(6)		2,500,000		2,496,750
Svensk Exportkredit AB, 2.460% 3/21/2019 (6)		5,000,000		4,993,167
				35,008,803
Foreign Banks — 8.0%
Bank of Nova Scotia, 3.041% (LIBOR 3 Month+28 basis points), 10/21/2019 (7)		2,500,000		2,502,785

Description	Shares or Principal Amount		Value
Commercial Paper (continued)
Foreign Banks (continued)
Credit Suisse AG:
2.687% (LIBOR 1 Month+17 basis points), 4/9/2019 (7)	$	2,000,000	$	1,999,603
2.930% 7/22/2019 (6)		2,500,000		2,500,000
Erste Abwicklungsanstalt, 2.600% 3/5/2019 (6)		3,000,000		2,999,133
Swedbank AB:
2.400% 3/1/2019 (6)		12,500,000		12,500,000
2.500% 3/22/2019 (6)		4,000,000		3,994,167
Toronto-Dominion Bank:
2.830% (LIBOR 1 Month+34 basis points), 8/23/2019 (5)(7)		2,000,000		2,000,000
2.922% (LIBOR 3 Month+15 basis points), 4/23/2019 (5)(7)		3,000,000		3,000,000
Westpac Banking Corp., 2.894% (LIBOR 3 Month+10 basis points), 10/4/2019 (5)(7)		3,000,000		2,999,782
				34,495,470
Integrated Oil — 2.3%
Equinor ASA, 2.420% 3/4/2019 (6)		10,000,000		9,997,983
Pharmaceuticals — 0.8%
Novartis Finance Corp., 2.480% 3/25/2019 (6)		3,500,000		3,494,213
Retail — 1.2%
Walmart, Inc., 2.390% 3/1/2019 (6)		5,000,000		5,000,000
Total Commercial Paper				209,411,866
Municipals — 0.4%
Colorado — 0.4%
Colorado Housing & Finance Authority, 2.430%, 3/7/2019 (7)		2,000,000		2,000,000
Mutual Funds — 3.9%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 2.290%		7,000,000		7,000,000
Invesco Government & Agency Portfolio — Institutional Class, 2.296%		10,000,000		10,000,000
Total Mutual Funds				17,000,000
Repurchase Agreements — 27.7%
Agreement with Fixed Income Clearing Corp., 1.400%, dated 2/28/2019, to be repurchased at $9,398,694 on 3/1/2019, collateralized by a U.S. Government Treasury Obligation with various maturities to 7/31/2020, with a fair value of $9,590,748	$	9,398,328		9,398,328

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

78

BMO Funds

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Fixed Income Clearing Corp., 2.580%, dated 2/28/2019, to be repurchased at $65,004,658 on 3/1/2019, collateralized by a U.S. Government Treasury Obligation with various maturities to 2/15/2047, with a fair value of $66,303,014	$	65,000,000	$	65,000,000
Agreement with Goldman Sachs Group, INC., 2.530%, dated 2/28/2019, to be repurchased at $30,002,108 on 3/1/2019, collateralized by a U.S. Government Treasury Obligation with a maturity of 12/1/2042, with a fair value of $30,600,000		30,000,000		30,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, INC., 2.570%, dated 2/28/2019, to be repurchased at $15,001,074 on 3/1/2019, collateralized by a U.S. Government Treasury Obligation with various maturities to 1/20/2049, with a fair value of $15,300,000		15,000,000		15,000,000
Total Repurchase Agreements				119,398,328
Total Investments — 100.0% (at amortized cost)				431,311,107
Other Assets and Liabilities — (0.0)%				(154,466	)
Total Net Assets — 100.0%			$	431,156,641

Institutional Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 18.2%
Banks — 18.2%
Canadian Imperial Bank of Commerce, 2.892% (LIBOR 3 Month+10 basis points), 9/20/2019 (7)	$	3,500,000	$	3,501,780
HSBC Bank USA NA:
2.667% (LIBOR 1 Month+15 basis points), 9/11/2019 (7)		3,000,000		3,000,092
2.730% (LIBOR 1 Month+24 basis points), 4/25/2019 (7)		3,000,000		3,001,098
2.737% (LIBOR 3 Month), 8/5/2019 (7)		3,500,000		3,500,205
2.740% 6/27/2019		3,500,000		3,501,558
2.764% (LIBOR 1 Month+25 basis points), 10/3/2019 (7)		3,000,000		3,001,995
Mizuho Bank, Ltd.:
2.650% (LIBOR 1 Month +16 basis points), 8/27/2019 (7)		4,000,000		3,999,925

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
2.673% (LIBOR 1 Month+16 basis points), 8/8/2019 (7)	$	3,000,000	$	3,000,000
2.683% (LIBOR 1 Month+19 basis points), 3/11/2019 (7)		3,500,000		3,500,279
2.707% (LIBOR 1 Month+19 basis points), 4/10/2019 (7)		3,000,000		3,000,630
2.791% (LIBOR 3 Month+2 basis points), 7/25/2019 (7)		3,000,000		3,000,395
3.044% (LIBOR 3 Month+30 basis points), 4/30/2019 (7)		5,500,000		5,502,673
MUFG Bank, Ltd.:
2.740% 5/22/2019		3,000,000		3,001,271
2.819% (LIBOR 1 Month+33 basis points), 8/15/2019 (7)		3,500,000		3,503,130
2.879% (LIBOR 3 Month+10 basis points), 10/24/2019 (7)		3,500,000		3,502,534
Natixis S.A., 2.850% (SOFR+48 basis points), 6/12/2019 (7)		3,500,000		3,501,909
Natixis SA, 2.902% (LIBOR 3 Month+8 basis points), 6/26/2019 (7)		3,000,000		3,000,868
Nordea Bank AB:
2.894% (LIBOR 1 Month+40 basis points), 3/14/2019 (7)		2,500,000		2,500,216
3.062% (LIBOR 3 Month+28 basis points), 4/10/2019 (7)		2,500,000		2,500,753
Norinchukin Bank, 2.550% 3/22/2019		2,500,000		2,500,160
Skandinaviska Enskilda Banken AB, 2.618% (LIBOR 1 Month+12 basis points), 8/13/2019 (7)		3,000,000		2,999,942
State Street Bank and Trust Co., 2.731% (LIBOR 1 Month+25 basis points), 4/22/2019 (7)		4,000,000		4,001,451
Sumitomo Mitsui Banking Corp.:
2.693% (LIBOR 1 Month+20 basis points), 3/28/2019 (7)		3,500,000		3,500,663
2.922% (LIBOR 3 Month+15 basis points), 4/23/2019 (7)		3,500,000		3,500,779
Sumitomo Mitsui Trust Bank, Ltd., 2.917% (LIBOR 3 Month+12 basis points), 7/8/2019 (7)		3,000,000		3,001,170
Toronto-Dominion Bank:
2.909% (LIBOR 3 Month+13 basis points), 7/16/2019 (7)		2,500,000		2,500,045
2.927% (LIBOR 3 Month+13 basis points), 10/15/2019 (7)		4,000,000		4,002,543
U.S. Bank NA, 2.910% 7/23/2019		3,000,000		3,003,751
Wells Fargo Bank NA:
2.790% (LIBOR 1 Month+30 basis points), 7/23/2019 (7)		4,500,000		4,503,540
2.947% (LIBOR 3 Month+14 basis points), 6/28/2019 (7)		3,500,000		3,502,506
3.004% (LIBOR 3 Month+20 basis points), 1/8/2020 (7)		3,500,000		3,505,388
Westpac Banking Corp., 2.700% (FEDL 1 Month+30 basis points), 2/14/2020 (7)		3,000,000		3,000,411
Total Certificates of Deposit (identified cost $106,502,752)				106,543,660
Commercial Paper — 45.5%
Asset-Backed Securities — 22.4%
Atlantic Asset Securitization LLC, 2.814% (LIBOR 1 Month+30 basis points), 5/2/2019 (5)(7)		3,000,000		3,001,497

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

79

February 28, 2019 (Unaudited)

Schedules of Investments

Institutional Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
Bedford Row Funding Corp.:
2.737% (LIBOR 1 Month+22 basis points), 9/9/2019 (5)(7)	$	3,000,000	$	3,000,000
2.779% (LIBOR 1 Month+29 basis points), 3/15/2019 (5)(7)		4,500,000		4,500,000
2.817% (LIBOR 1 Month+30 basis points), 4/11/2019 (5)(7)		2,500,000		2,500,000
2.833% (LIBOR 1 Month+32 basis points), 6/6/2019 (5)(7)		4,000,000		4,002,726
2.952% (LIBOR 3 Month+13 basis points), 6/27/2019 (5)(7)		2,500,000		2,500,000
CAFCO LLC:
2.560% 6/5/2019 (6)		4,000,000		3,972,657
2.620% 5/2/2019 (6)		3,250,000		3,235,531
Crown Point Capital Co. LLC, 2.650% 4/10/2019 (5)(6)		5,500,000		5,484,334
Kells Funding LLC, 2.550% 5/20/2019 (6)		5,000,000		4,971,526
Lexington Parker Capital Co. LLC:
2.500% 3/5/2019 (6)		3,500,000		3,498,799
2.530% 3/4/2019 (6)		2,500,000		2,499,314
2.570% 5/6/2019 (6)		4,000,000		3,981,188
Liberty Street Funding LLC:
2.500% 4/15/2019 (6)		4,000,000		3,987,161
2.640% 6/3/2019 (6)		3,000,000		2,979,836
LMA Americas LLC:
2.433% 3/14/2019 (6)		3,000,000		2,997,161
2.470% 3/8/2019 (6)		5,000,000		4,997,313
2.510% 3/11/2019 (6)		4,000,000		3,997,036
2.648% 4/1/2019 (6)		3,000,000		2,993,440
2.750% 4/24/2019 (6)		3,000,000		2,988,482
Longship Funding DAC:
2.440% 3/5/2019 (6)		8,500,000		8,497,110
2.440% 3/6/2019 (6)		4,500,000		4,498,162
2.450% 3/1/2019 (6)		5,000,000		4,999,662
Manhattan Asset Funding Co. LLC, 2.630% 3/8/2019 (6)		3,000,000		2,998,387
Old Line Funding LLC:
2.651% (LIBOR 1 Month+17 basis points), 3/8/2019 (5)(7)		3,000,000		3,000,000
2.661% (LIBOR 1 Month+18 basis points), 4/16/2019 (5)(7)		4,000,000		4,000,000
2.982% (LIBOR 1 Month+50 basis points), 3/21/2019 (5)(7)		2,500,000		2,500,802
Regency Markets No. 1 LLC, 2.500% 3/8/2019 (6)		5,000,000		4,997,291
Sheffield Receivables Co. LLC:
2.460% 4/2/2019 (5)(6)		3,500,000		3,492,108
2.600% 5/6/2019 (6)		3,000,000		2,985,534
2.610% 6/6/2019 (6)		3,500,000		3,474,485
2.740% 5/23/2019 (6)		2,500,000		2,484,524
2.840% 6/24/2019 (6)		3,000,000		2,974,055
2.840% (SOFR+47 basis points), 5/30/2019 (5)(7)		3,000,000		3,000,000
Thunder Bay Funding LLC, 2.882% (LIBOR 1 Month+37 basis points), 3/7/2019 (5)(7)		2,500,000		2,500,228
Victory Receivables Corp., 2.760% 4/2/2019 (6)		3,000,000		2,993,174
				131,483,523
Automobiles — 1.3%
Toyota Motor Credit Corp.:
2.859% (LIBOR 3 Month+8 basis points), 4/12/2019 (7)		3,500,000		3,500,000

Description	Principal Amount		Value
Commercial Paper (continued)
Automobiles (continued)
2.897% (LIBOR 3 Month+10 basis points), 10/11/2019 (7)	$	4,000,000	$	4,002,759
				7,502,759
Banks — 2.2%
Commonwealth Bank of Australia, 2.838% (LIBOR 3 Month+10 basis points), 5/3/2019 (5)(7)		5,500,000		5,501,195
Novartis Finance Corp., 2.430% 3/4/2019 (6)		7,500,000		7,498,017
				12,999,212
Diversified Financial Services — 8.1%
Bedford Row Funding Corp., 2.703% (LIBOR 1 Month+21 basis points), 4/29/2019 (5)(7)		2,500,000		2,500,838
Collateralized Commercial Paper Co. LLC:
2.789% (LIBOR 1 Month+28 basis points), 3/1/2019 (7)		3,000,000		3,000,032
2.921% (LIBOR 3 Month+10 basis points), 3/15/2019 (7)		3,500,000		3,500,130
JP Morgan Securities LLC:
2.700% (LIBOR 1 Month+21 basis points), 9/23/2019 (5)(7)		3,000,000		3,001,064
2.717% (LIBOR 1 Month+20 basis points), 4/9/2019 (5)(7)		2,675,000		2,675,624
2.965% (LIBOR 3 Month+20 basis points), 7/26/2019 (7)		3,000,000		3,002,644
Nationwide Building Society:
2.490% 3/26/2019 (6)		3,750,000		3,743,251
2.750% 6/18/2019 (6)		3,500,000		3,470,355
2.750% 7/1/2019 (6)		3,000,000		2,971,597
2.770% 5/10/2019 (6)		3,500,000		3,481,570
Skandinaviska Enskilda Banken AB, 2.700% 3/29/2019 (6)		3,300,000		3,293,665
Suncorp Group, Ltd., 2.540% 3/21/2019 (6)		3,500,000		3,494,743
Suncorp-Metway Ltd., 2.600% 3/19/2019 (5)(6)		3,000,000		2,995,924
Svensk Exportkredit AB, 2.460% 3/21/2019 (6)		6,500,000		6,490,843
				47,622,280
Foreign Banks — 7.2%
Bank of Nova Scotia, 3.041% (LIBOR 3 Month+28 basis points), 10/21/2019 (7)		2,500,000		2,504,643
Credit Suisse AG:
2.687% (LIBOR 1 Month+17 basis points), 4/9/2019 (7)		2,000,000		2,000,009
2.930% 7/22/2019		3,500,000		3,503,909
Erste Abwicklungsanstalt, 2.600% 3/5/2019 (6)		3,500,000		3,498,845
Swedbank AB:
2.400% 3/1/2019 (6)		17,500,000		17,498,833
2.500% 3/22/2019 (6)		4,000,000		3,994,177
Toronto-Dominion Bank:
2.830% (LIBOR 1 Month+34 basis points), 8/23/2019 (5)(7)		3,000,000		3,003,001
2.922% (LIBOR 3 Month+15 basis points), 4/23/2019 (5)(7)		3,000,000		3,000,652
Westpac Banking Corp., 2.894% (LIBOR 3 Month+10 basis points), 10/4/2019 (5)(7)		3,500,000		3,501,707
				42,505,776

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

80

BMO Funds

Institutional Prime Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Commercial Paper (continued)
Integrated Oil — 1.7%
Equinor ASA, 2.420% 3/4/2019 (6)	$	10,000,000	$	9,997,357
Pharmaceuticals — 0.9%
Novartis Finance Corp., 2.480% 3/25/2019 (6)		5,000,000		4,991,583
Retail — 1.7%
Walmart, Inc., 2.390% 3/1/2019 (6)		10,000,000		9,999,333
Total Commercial Paper (identified cost $267,077,359)				267,101,823
Mutual Funds — 2.2%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 2.290%		3,114,182		3,114,182
Invesco Government & Agency Portfolio — Institutional Class, 2.296%		10,000,000		10,000,000
Total Mutual Funds (identified cost $13,114,182)				13,114,182
Repurchase Agreements — 34.1%
Agreement with Fixed Income Clearing Corp., 2.580%, dated 2/28/2019, to be repurchased at $105,007,525 on 3/1/2019, collateralized by a U.S. government treasury obligation with a maturity of 9/15/2021, with a fair value of $107,104,294	$	105,000,000		105,000,000
Agreement with Goldman Sachs Group, Inc., 2.530%, dated 2/28/2019, to be repurchased at $75,005,271 on 3/1/2019, collateralized by U.S. government agency obligations with various maturities to 1/1/2048, with a fair value of $76,500,000		75,000,000		75,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 2.570%, dated 2/28/2019, to be repurchased at $20,001,428 on 3/1/2019, collateralized by U.S. government agency obligation with various maturities to 12/20/2048, with a fair value of $20,400,000		20,000,000		20,000,000
Total Repurchase Agreements (identified cost $200,000,000)				200,000,000
Total Investments — 100.0% (identified cost $586,694,293)				586,759,665
Other Assets and Liabilities — (0.0)%				(254,412	)
Total Net Assets — 100.0%			$	586,505,253

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

81

Notes to Schedules of Investments

The categories of investments are shown as a percentage of total net assets for each Fund as of February 28, 2019. Call dates contained within the Schedules of Investments represent the next possible date the security can be redeemed, at the option of the issuer, determined as of February 28, 2019. Maturity dates contained within the Schedules of Investments represent the stated legal maturity date or mandatory put date. Certain securities may be subject to demand features which allow the security to be redeemed prior to final maturity date. In accordance with Rule 2a-7, securities held in the money market funds provide for the return of principal and interest within 397 days due to a scheduled final maturity date or through specific demand features. Demand features entitle a Fund to receive the principal amount of the instrument from the issuer or a third party (1) on no more than 30 calendar days’ notice or (2) at specified intervals not exceeding 397 calendar days.

* A Summary Schedule of Investments is presented for this portfolio. A complete Schedule of Investments is available by accessing the SEC’s website, www.sec.gov. For all items listed as “Other securities” in this summary Schedule of Investments, this represents issues not identified as top-fifty unaffiliated holdings in terms of value and issues or issuers not exceeding one percent individually or in aggregate, respectively, as of August 31, 2018. In certain instances, securities for which footnotes listed below may otherwise apply are included in the “Other securities” caption.

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

(2) Non-income producing.

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

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

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 28, 2019 these securities amounted to:

Fund	Amount		% of Total Net Assets
Global Low Volatility Equity Fund	$	772,963		2.18	%
Disciplined International Equity Fund		3,319,611		4.16
Alternative Strategies Fund
Long		80,760		0.13
Short		76,226		0.12
Global Long/Short Equity Fund
Long		48,849		0.84
Short		—		—
Ultra Short Tax-Free Fund		141,955,977		23.97
Short Tax-Free Fund		12,565,614		7.07

Fund	Amount		% of Total Net Assets
Short-Term Income Fund	$	36,201,877		14.34	%
Intermediate Tax-Free Fund		59,502,465		3.39
Strategic Income Fund		26,784,474		33.72
TCH Corporate Income Fund		42,069,808		14.70
TCH Core Plus Bond Fund		110,799,625		11.57
High Yield Bond Fund		3,952,182		37.94
Tax-Free Money Market Fund		112,600,000		25.57
Prime Money Market Fund		51,974,266		0.12
Institutional Prime Money Market Fund		69,661,700		11.88

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

(7) Denotes a variable rate security. The rate shown is the current interest rate as of February 28, 2019. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

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

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

The following acronyms may be referenced throughout this report:

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

82

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund
Assets:
Investments in unaffiliated issuers, at value	$	216,916,133	(1)	$	315,535,183	(1)	$	440,130,865	(1)	$	501,998,510	(1)	$	252,693,439	(1)
Cash sweep investments in affiliated issuers, at value		3,159,983			6,462,305			3,185,825			10,674,510			3,724,762
Dividends and interest receivable		356,198			641,979			933,803			501,213			361,642
Receivable for capital stock sold		195,566			730,893			191,202			1,002,064			71,010
Prepaid expenses and other receivables		32,113			29,989			38,816			45,723			25,890
Total assets		220,659,993			323,400,349			444,480,511			514,222,020			256,876,743
Liabilities:
Payable for return of securities lending collateral		67,630,658			101,536,426			122,679,982			144,779,531			83,041,749
Payable for investments purchased		—			2,290,643			—			—			—
Payable for capital stock redeemed		379,422			221,476			467,718			495,276			207,330
Payable to affiliates, net (Note 6)		60,771			86,479			93,597			120,373			110,405
Other liabilities		11,879			9,568			22,919			21,503			30,783
Total liabilities		68,082,730			104,144,592			123,264,216			145,416,683			83,390,267
Total net assets	$	152,577,263		$	219,255,757		$	321,216,295		$	368,805,337		$	173,486,476
Net assets consist of:
Paid-in capital	$	124,663,618		$	186,189,251		$	284,296,512		$	268,811,741		$	157,735,078
Distributable earnings		27,913,645			33,066,506			36,919,783			99,993,596			15,751,398
Total net assets	$	152,577,263		$	219,255,757		$	321,216,295		$	368,805,337		$	173,486,476
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	—		$	—		$	17.21		$	—
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share		14.61			14.34			14.31			17.18			10.56
Offering price per share(2)		15.38			15.09			15.06			18.08			11.12
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		14.67			14.29			14.33			17.37			10.48
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			14.34			17.40			10.48
Net assets:
Investor class of shares	$	—		$	—		$	—		$	59,441,749		$	—
Advisor class of shares		25,572,789			12,525,289			20,736,342			840,006			47,140,766
Institutional class of shares		127,004,474			206,730,468			229,642,454			249,762,074			97,799,152
Retirement class R-6 of shares		—			—			70,837,499			58,761,508			28,546,558
Total net assets	$	152,577,263		$	219,255,757		$	321,216,295		$	368,805,337		$	173,486,476
Shares outstanding:
Investor class of shares		—			—			—			3,454,621			—
Advisor class of shares		1,750,265			873,513			1,448,746			48,882			4,464,567
Institutional class of shares		8,658,077			14,462,418			16,024,104			14,379,284			9,335,607
Retirement class R-6 of shares		—			—			4,940,283			3,377,811			2,724,003
Total shares outstanding		10,408,342			15,335,931			22,413,133			21,260,598			16,524,177
Investments, at cost:
Investments in unaffiliated issuers	$	191,449,292		$	281,910,623		$	396,631,151		$	406,209,487		$	234,298,934
Cash sweep investments in affiliated issuers		3,159,301			6,462,039			3,185,275			10,674,483			3,724,452
Total investments, at cost	$	194,608,593		$	288,372,662		$	399,816,426		$	416,883,970		$	238,023,386

(1) Including $66,922,392, $100,473,080, $121,395,208, $143,263,318 and $82,172,090, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

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

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

83

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Assets:
Investments in unaffiliated issuers, at value	$	161,536,734	(1)	$	91,897,250	(1)	$	30,628,670	(1)	$	179,304,488	(1)	$	35,574,640	(1)
Cash sweep investments in affiliated issuers, at value		1,237,849			1,478,856			268,152			1,731,886			336,361
Cash denominated in foreign currencies		—			—			—			—			98,494
Dividends and interest receivable		58,470			61,391			11,643			50,115			95,766
Receivable for investments sold		—			211,741			—			3,933,099			—
Receivable for capital stock sold		55,295			130,674			4,254			98,812			—
Prepaid expenses and other receivables		25,723			30,200			22,473			27,975			17,939
Total assets		162,914,071			93,810,112			30,935,192			185,146,375			36,123,200
Liabilities:
Payable for return of securities lending collateral		52,633,924			29,841,545			10,100,431			56,559,511			615,475
Payable for investments purchased		—			407,650			—			3,542,175			—
Payable for capital stock redeemed		221,426			199,610			5,317			226,826			—
Payable for foreign tax expense		—			—			—			—			977
Payable to affiliates, net (Note 6)		61,991			31,405			2,265			80,836			6,154
Other liabilities		26,956			28,979			2,468			28,772			23,629
Total liabilities		52,944,297			30,509,189			10,110,481			60,438,120			646,235
Total net assets	$	109,969,774		$	63,300,923		$	20,824,711		$	124,708,255		$	35,476,965
Net assets consist of:
Paid-in capital	$	86,872,996		$	58,528,854		$	19,718,068		$	108,305,218		$	31,302,273
Distributable earnings		23,096,778			4,772,069			1,106,643			16,403,037			4,174,692
Total net assets	$	109,969,774		$	63,300,923		$	20,824,711		$	124,708,255		$	35,476,965
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share	$	14.21		$	12.32		$	12.16		$	16.12		$	11.27
Offering price per share(2)		14.96			12.97			12.80			16.97			11.86
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		15.04			12.52			12.29			16.93			11.33
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		15.16			12.62			—			—			—
Net assets:
Advisor class of shares	$	14,921,955		$	3,792,697		$	2,474,457		$	43,406,185		$	294,865
Institutional class of shares		76,694,396			49,380,530			18,350,254			81,302,070			35,182,100
Retirement class R-6 of shares		18,353,423			10,127,696			—			—			—
Total net assets	$	109,969,774		$	63,300,923		$	20,824,711		$	124,708,255		$	35,476,965
Shares outstanding:
Advisor class of shares		1,050,217			307,913			203,459			2,692,331			26,153
Institutional class of shares		5,101,017			3,943,151			1,493,372			4,802,806			3,105,670
Retirement class R-6 of shares		1,210,249			802,250			—			—			—
Total shares outstanding		7,361,483			5,053,314			1,696,831			7,495,137			3,131,823
Investments, at cost:
Investments in unaffiliated issuers	$	143,555,466		$	86,634,886		$	28,310,030		$	162,606,847		$	31,674,982
Cash sweep investments in affiliated issuers		1,237,849			1,478,856			268,116			1,731,886			336,275
Total investments, at cost	$	144,793,315		$	88,113,742		$	28,578,146		$	164,338,733		$	32,011,257

(1) Including $52,082,712, $29,529,027, $9,994,654, $55,967,188 and $583,933, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

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

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

84

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund		LGM Emerging Markets Equity Fund		Alternative Strategies Fund			Global Long/Short Equity Fund
Assets:
Investments in unaffiliated issuers, at value	$	78,005,848		$	632,669,119	$	218,024,093	$	31,539,752		$	5,945,656
Cash sweep investments in affiliated issuers, at value		1,158,858			21,439,620		8,973,759		32,328,306			90,237
Cash		—			—		—		116,311			—
Deposit held at broker for:
Securities sold short		—			—		—		4,927,142			—
Futures contracts		—			—		—		885,986			—
Forward foreign currency contracts		—			—		—		131,700			—
Swaps contracts		—			—		—		1,000,000			10,000
Cash denominated in foreign currencies		142,068	(1)		148		146,328		1,321,920			957
Dividends and interest receivable		362,811			4,593,870		76,877		175,694			15,848
Receivable for investments sold		4,853,312			957,816		582,814		288,204			—
Receivable for capital stock sold		—			1,996,988		1,358,514		142,094			—
Receivable for daily variation margin on futures contracts		—			—		—		204,949			—
Receivable for forward foreign currency contracts		—			—		—		209,357			—
Receivable for swap contracts		—			—		—		127,254			—
Receivable from affiliates, net (Note 6)		—			—		—		—			7,430
Prepaid expenses and other receivables		23,436			55,257		39,891		29,403			22,927
Total assets		84,546,333			661,712,818		229,202,276		73,428,072			6,093,055
Liabilities:
Securities sold short, at value (proceeds 8,216,427)		—			—		—		8,286,579			—
Payable for dividends and interest on securities sold short		—			—		—		16,005			275
Payable for return of securities lending collateral		—			11,637,973		2,610,575		—			156,783
Payable for investments purchased		4,561,179			2,616,504		3,667		421,986			—
Payable for capital stock redeemed		173,997			690,298		102,413		176,640			—
Payable for daily variation margin on futures contracts		—			—		—		135,739			—
Payable for forward foreign currency contracts		—			—		—		302,186			—
Payable swap contracts		—			—		—		585,030			103,477
Payable for foreign tax expense		7,585			146,761		51,003		857			594
Payable to affiliates, net (Note 6)		36,791			389,104		156,246		28,118			—
Other liabilities		15,798			119,855		90,915		94,968			7,535
Total liabilities		4,795,350			15,600,495		3,014,819		10,048,108			268,664
Total net assets	$	79,750,983		$	646,112,323	$	226,187,457	$	63,379,964		$	5,824,391
Net assets consist of:
Paid-in capital	$	79,127,604		$	634,126,901	$	207,630,336	$	66,507,908		$	5,637,354
Distributable earnings (accumulated loss)		623,379			11,985,422		18,557,121		(3,127,944	)		187,037
Total net assets	$	79,750,983		$	646,112,323	$	226,187,457	$	63,379,964		$	5,824,391
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share	$	10.33		$	12.87	$	14.99	$	9.27		$	11.22
Offering price per share		10.87			13.55		15.78		9.76			11.81
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.34			12.63		14.90		9.37			11.27
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			12.63		—		—			—
Net assets:
Advisor class of shares	$	178,525		$	5,108,504	$	5,405,772	$	42,497		$	695,845
Institutional class of shares		79,572,458			471,426,581		220,781,685		63,337,467			5,128,546
Retirement class R-6 of shares		—			169,577,238		—		—			—
Total net assets	$	79,750,983		$	646,112,323	$	226,187,457	$	63,379,964		$	5,824,391
Shares outstanding:
Advisor class of shares		17,278			396,780		360,716		4,583			62,013
Institutional class of shares		7,695,811			37,339,389		14,822,382		6,763,050			455,015
Retirement class R-6 of shares		—			13,426,551		—		—			—
Total shares outstanding		7,713,089			51,162,720		15,183,098		6,767,633			517,028
Investments, at cost:
Investments in unaffiliated issuers	$	75,545,646		$	583,089,067	$	198,329,498	$	30,246,517		$	5,580,586
Cash sweep investments in affiliated issuers		1,158,682			21,436,323		8,972,563		32,322,796			90,237
Total investments, at cost	$	76,704,328		$	604,525,390	$	207,302,061	$	62,569,313		$	5,670,823

(1) Identified cost of cash denominated in foreign currencies is $2,385,841.

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

85

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Ultra Short Tax-Free Fund		Short Tax-Free Fund		Short-Term Income Fund			Intermediate Tax-Free Fund		Strategic Income Fund
Assets:
Investments in unaffiliated issuers, at value	$	595,035,396	$	172,687,869	$	272,116,462	(1)	$	1,724,603,386	$	93,956,638	(1)
Cash sweep investments in affiliated issuers, at value		248,241		170,976		9,367,334			—		1,314,631
Investments in repurchase agreements		—		—		—			388,167		—
Cash		196		—		—			—		—
Deposit held at broker		—		—		—			—		100,365
Dividends and interest receivable		3,205,848		1,461,061		1,156,311			17,456,714		987,682
Receivable for investments sold		—		4,012,013		—			25,922,577		—
Receivable for capital stock sold		694,736		457,555		270,577			2,230,065		500,941
Prepaid expenses and other receivables		36,961		20,591		19,816			91,760		22,676
Total assets		599,221,378		178,810,065		282,930,500			1,770,692,669		96,882,933
Liabilities:
Payable for return of securities lending collateral		—		—		29,843,111			—		16,767,598
Payable for investments purchased		5,375,867		—		—			9,446,348		614,939
Payable for capital stock redeemed		987,417		727,948		287,725			3,027,302		16,606
Payable for foreign tax expense		—		—		477			—		—
Payable to affiliates, net (Note 6)		100,693		47,057		46,636			462,015		25,893
Payable for income distribution		369,786		199,859		224,194			894,083		15,480
Other liabilities		51,914		29,964		23,847			146,859		17,802
Total liabilities		6,885,677		1,004,828		30,425,990			13,976,607		17,458,318
Total net assets	$	592,335,701	$	177,805,237	$	252,504,510		$	1,756,716,062	$	79,424,615
Net assets consist of:
Paid-in capital	$	592,063,251	$	177,518,833	$	255,214,778		$	1,726,696,552	$	84,545,329
Distributable earnings (accumulated loss)		272,450		286,404		(2,710,268	)		30,019,510		(5,120,714	)
Total net assets	$	592,335,701	$	177,805,237	$	252,504,510		$	1,756,716,062	$	79,424,615
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—	$	—	$	—		$	11.17	$	9.11
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share		10.08		10.16		9.30			11.17		9.11
Offering price per share		10.29		10.37		9.49			11.58		9.44
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.07		10.17		9.31			11.16		9.11
Net assets:
Investor class of shares	$	—	$	—	$	—		$	536,595,023	$	57,155,439
Advisor class of shares		19,542,269		5,304,104		24,193,002			6,579,256		12,544,464
Institutional class of shares		572,793,432		172,501,133		228,311,508			1,213,541,783		9,724,712
Total net assets	$	592,335,701	$	177,805,237	$	252,504,510		$	1,756,716,062	$	79,424,615
Shares outstanding:
Investor class of shares		—		—		—			48,038,611		6,272,399
Advisor class of shares		1,939,596		521,959		2,602,221			589,001		1,376,721
Institutional class of shares		56,896,467		16,964,004		24,511,849			108,746,814		1,067,979
Total shares outstanding		58,836,063		17,485,963		27,114,070			157,374,426		8,717,099
Investments, at cost:
Investments in unaffiliated issuers	$	594,767,057	$	172,189,068	$	272,568,325		$	1,678,887,280	$	95,460,090
Cash sweep investments in affiliated issuers		248,241		170,976		9,366,579			—		1,314,420
Total investments, at cost	$	595,015,298	$	172,360,044	$	281,934,904		$	1,678,887,280	$	96,774,510

(1) Including $29,530,577, $16,591,998 respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

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

86

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	TCH Corporate Income Fund			TCH Core Plus Bond Fund			High Yield Bond Fund
Assets:
Investments in unaffiliated issuers, at value	$	343,227,623	(1)	$	1,046,108,863	(1)	$	13,581,118	(1)
Cash sweep investments in affiliated issuers, at value		20,340,939			36,822,091			679,576
Cash		—			81,375			—
Deposit held at broker		250,912			250,912			—
Dividends and interest receivable		2,934,499			7,313,510			175,156
Receivable for investments sold		4,079,114			6,120,314			—
Receivable for capital stock sold		583,673			1,912,706			—
Receivable from affiliates, net (Note 6)		—			—			6,065
Prepaid expenses and other receivables		35,037			59,615			22,172
Total assets		371,451,797			1,098,669,386			14,464,087
Liabilities:
Payable for return of securities lending collateral		73,395,557			137,544,882			3,998,481
Payable for investments purchased		11,211,380			—			—
Payable for capital stock redeemed		316,316			2,567,252			26,747
Payable to affiliates, net (Note 6)		77,639			196,934			—
Payable for capital gains distribution		210,005			—			—
Payable for income distribution		90,785			281,745			1,983
Other liabilities		11,205			56,431			20,971
Total liabilities		85,312,887			140,647,244			4,048,182
Total net assets	$	286,138,910		$	958,022,142		$	10,415,905
Net assets consist of:
Paid-in capital	$	290,557,031		$	977,286,306		$	13,708,702
Accumulated loss		(4,418,121	)		(19,264,164	)		(3,292,797	)
Total net assets	$	286,138,910		$	958,022,142		$	10,415,905
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	12.65		$	11.38		$	—
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share		12.65			11.38			9.19
Offering price per share		13.11			11.79			9.52
Institutional/Premier class of shares:
Net asset value, offering price and redemption proceeds per share		12.64			11.38			9.18
Net assets:
Investor class of shares	$	88,766,425		$	68,947,551		$	—
Advisor class of shares		3,533,386			3,042,684			769,617
Institutional/Premier class of shares		193,839,099			886,031,907			9,646,288
Total net assets	$	286,138,910		$	958,022,142		$	10,415,905
Shares outstanding:
Investor class of shares		7,016,033			6,057,934			—
Advisor class of shares		279,285			267,358			83,759
Institutional/Premier class of shares		15,337,686			77,874,934			1,050,908
Total shares outstanding		22,633,004			84,200,226			1,134,667
Investments, at cost:
Investments in unaffiliated issuers	$	346,564,034		$	1,055,961,017		$	13,722,655
Cash sweep investments in affiliated issuers		20,339,120			36,816,236			679,450
Total investments, at cost	$	366,903,154		$	1,092,777,253		$	14,402,105

(1) Including $72,626,917, $136,104,435 and $3,956,607, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

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

87

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund		Prime Money Market Fund			Institutional Prime Money Market Fund
Assets:
Investments in unaffiliated issuers, at value	$	1,624,414,888		$	435,926,216	$	311,912,779		$	386,759,665
Investments in repurchase agreements		1,327,422,911			—		119,398,328			200,000,000
Cash		—			1,000		—			—
Dividends and interest receivable		2,784,068			1,321,275		432,715			540,802
Receivable for investments sold		—			3,671,228		—			—
Receivable for capital stock sold		160			—		—			—
Receivable for other capital stock		—			306,206		2,339,016			—
Prepaid expenses and other receivables		1,251,575			46,735		48,468			12,512
Total assets		2,955,873,602			441,272,660		434,131,306			587,312,979
Liabilities:
Payable for capital stock redeemed		54,105			—		—			—
Payable to affiliates, net (Note 6)		448,087			55,474		65,780			39,446
Payable for income distribution		4,279,162			434,546		494,308			685,632
Payable for other capital stock		—			305,706		2,345,084			—
Other liabilities		157,518			45,949		69,493			82,648
Total liabilities		4,938,872			841,675		2,974,665			807,726
Total net assets	$	2,950,934,730		$	440,430,985	$	431,156,641		$	586,505,253
Net assets consist of:
Paid-in capital	$	2,950,934,996		$	440,430,931	$	431,180,607		$	586,423,443
Distributable earnings (accumulated loss)		(266	)		54		(23,966	)		81,810
Total net assets	$	2,950,934,730		$	440,430,985	$	431,156,641		$	586,505,253
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	1.00		$	1.00	$	1.00		$	1.0001
Institutional/Premier class of shares:
Net asset value, offering price and redemption proceeds per share		1.00			1.00		1.00			1.0001
Net assets:
Investor class of shares	$	591,858,183		$	80,060,212	$	195,259,027		$	2,365,150
Institutional/Premier class of shares		2,359,076,547			360,370,773		235,897,614			584,140,103
Total net assets	$	2,950,934,730		$	440,430,985	$	431,156,641		$	586,505,253
Shares outstanding:
Investor class of shares		591,859,538			80,057,827		195,320,948			2,364,995
Institutional/Premier class of shares		2,359,075,457			360,400,773		235,859,696			584,094,524
Total shares outstanding		2,950,934,995			440,458,600		431,180,644			586,459,519
Investments, at cost:
Investments in unaffiliated issuers	$	2,951,837,799		$	435,926,216	$	431,311,107		$	586,694,293
Total investments, at cost	$	2,951,837,799		$	435,926,216	$	431,311,107		$	586,694,293

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

88

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,586,754		$	2,828,200		$	4,274,997		$	2,340,254		$	1,939,181
Affiliated issuers		32,392			50,842			63,221			75,597			32,088
Net securities lending income from (Note 6):
Unaffiliated issuers		23,028			24,429			56,466			73,778			34,075
Affiliated issuers		10,524			11,054			25,129			34,254			15,221
Total income:		1,652,698			2,914,525			4,419,813			2,523,883			2,020,565
Expenses:
Investment advisory fees (Note 6)		316,955			441,412			606,044			660,966			604,832
Shareholder servicing fees (Note 6)		—			—			—			73,349			—
Administration fees (Note 6)		95,087			132,424			203,719			235,576			110,179
Portfolio accounting fees		16,145			16,753			29,419			30,975			19,955
Recordkeeping fees		14,680			16,474			38,126			46,114			47,616
Custodian fees (Note 6)		7,801			6,801			4,821			4,968			4,412
Registration fees		18,008			16,416			26,326			30,104			23,662
Professional fees		10,161			10,161			10,354			10,354			10,354
Printing and postage		8,168			17,497			19,059			19,798			19,972
Directors’ fees		7,776			7,776			7,776			7,776			7,776
Distribution services fees (Note 6)		30,462			9,456			25,645			1,101			60,308
Miscellaneous		4,047			2,879			11,299			9,278			4,498
Total expenses:		529,290			678,049			982,588			1,130,359			913,564
Deduct:
Expense waivers (Note 6)		(86,786	)		(94,575	)		(72,625	)		(80,917	)		(1,298	)
Net expenses		442,504			583,474			909,963			1,049,442			912,266
Net investment income		1,210,194			2,331,051			3,509,850			1,474,441			1,108,299
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		2,723,853			(669,023	)		(5,380,757	)		10,317,620			(2,431,917	)
Investments in affiliated issuers		(39	)		149			(423	)		(1,131	)		(66	)
Total net realized gain (loss)		2,723,814			(668,874	)		(5,381,180	)		10,316,489			(2,431,983	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		894,854			(3,222,978	)		(20,084,735	)		(33,155,701	)		(8,616,407	)
Investments in affiliated issuers		323			(285	)		(495	)		(53	)		(274	)
Total net change in unrealized appreciation (depreciation)		895,177			(3,223,263	)		(20,085,230	)		(33,155,754	)		(8,616,681	)
Net realized and unrealized gain (loss)		3,618,991			(3,892,137	)		(25,466,410	)		(22,839,265	)		(11,048,664	)
Change in net assets resulting from operations	$	4,829,185		$	(1,561,086	)	$	(21,956,560	)	$	(21,364,824	)	$	(9,940,365	)

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

89

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	446,441		$	560,492		$	113,861		$	373,312		$	444,360
Affiliated issuers		20,083			12,488			4,394			22,152			4,873
Net securities lending income from (Note 6):
Unaffiliated issuers		18,080			15,235			5,239			27,552			1,205
Affiliated issuers		8,061			6,813			2,345			12,315			1,161
Total income:		492,665			595,028			125,839			435,331			451,599
Expenses:
Investment advisory fees (Note 6)		373,408			225,934			69,098			435,079			95,275
Administration fees (Note 6)		66,546			39,643			15,946			95,273			21,986
Portfolio accounting fees		15,660			13,865			11,197			17,332			4,772
Recordkeeping fees		39,983			22,738			10,853			37,171			9,979
Custodian fees (Note 6)		2,091			5,631			7,597			8,491			36,127
Registration fees		24,133			21,502			15,125			21,001			18,232
Professional fees		10,354			10,161			10,161			10,354			12,731
Printing and postage		18,100			18,600			2,445			20,435			2,349
Directors’ fees		7,776			7,776			7,776			7,776			7,776
Distribution services fees (Note 6)		17,903			5,005			3,105			55,326			351
Miscellaneous		3,431			3,114			1,456			3,472			463
Total expenses:		579,385			373,969			154,759			711,710			210,041
Deduct:
Expense waivers (Note 6)		(36,357	)		(52,112	)		(55,811	)		(27,386	)		(84,800	)
Net expenses		543,028			321,857			98,948			684,324			125,241
Net investment income (loss)		(50,363	)		273,171			26,891			(248,993	)		326,358
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		7,647,488			(300,293	)		(1,182,434	)		389,607			809,537
Investments in affiliated issuers		(376	)		163			32			170			525
Foreign currency translations		—			—			—			—			(5,744	)
Total net realized gain (loss)		7,647,112			(300,130	)		(1,182,402	)		389,777			804,318
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(11,586,075	)		(7,081,576	)		(1,969,486	)		(17,748,608	)		(763,473	)
Investments in affiliated issuers		(152	)		(154	)		(30	)		(317	)		72
Foreign currency translations		—			—			—			—			1,981
Total net change in unrealized appreciation (depreciation)		(11,586,227	)		(7,081,730	)		(1,969,516	)		(17,748,925	)		(761,420	)
Net realized and unrealized gain (loss)		(3,939,115	)		(7,381,860	)		(3,151,918	)		(17,359,148	)		42,898
Change in net assets resulting from operations	$	(3,989,478	)	$	(7,108,689	)	$	(3,125,027	)	$	(17,608,141	)	$	369,256

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

90

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund			Global Long/Short Equity Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	750,536		$	6,069,143		$	1,486,002		$	509,415		$	62,543
Affiliated issuers		16,278			277,187			92,804			37,280			12,991
Interest income		—			—			—			97,594			—
Net securities lending income from (Note 6):
Unaffiliated issuers		1,502			59,218			5,457			—			2,312
Affiliated issuers		760			8,513			7,938			—			762
Total income:		769,076			6,414,061			1,592,201			644,289			78,608
Expenses:
Investment advisory fees (Note 6)		234,797			2,298,771			889,912			359,659			40,523
Administration fees (Note 6)		58,699			350,887			148,319			49,409			6,078
Portfolio accounting fees		4,031			12,029			12,216			2,280			1,923
Recordkeeping fees		9,647			36,262			15,468			10,110			10,133
Custodian fees (Note 6)		31,465			118,426			119,604			164,620			19,668
Registration fees		29,890			40,424			21,799			14,144			30,567
Professional fees		11,524			14,055			16,636			29,635			12,814
Printing and postage		2,347			21,077			19,245			3,376			2,416
Directors’ fees		7,776			7,776			7,776			7,776			7,776
Interest expense and dividends on securities sold short		—			—			—			57,802			19,585
Distribution services fees (Note 6)		217			6,741			5,918			74			917
Miscellaneous		372			3,187			655			401			1,615
Total expenses:		390,765			2,909,635			1,257,548			699,286			154,015
Deduct:
Expense waivers (Note 6)		(38,340	)		(70,724	)		(114,816	)		(145,613	)		(77,243	)
Net expenses		352,425			2,838,911			1,142,732			553,673			76,772
Net investment income		416,651			3,575,150			449,469			90,616			1,836
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(1,605,208	)		3,082,880			774,623			(1,362,364	)		191,568
Investments in affiliated issuers		(191	)		(3,954	)		1,693			(553	)		(59	)
Foreign currency translations		(4,460	)		(86,011	)		(169,945	)		8,627			487
Forward contracts		—			—			—			342,223			—
Futures contracts		—			—			—			(977,603	)		—
Purchased options		—			—			—			(28,525	)		—
Written options		—			—			—			16,090			—
Swap contracts		—			—			—			106,643			(70,693	)
Total net realized gain (loss)		(1,609,859	)		2,992,915			606,371			(1,895,462	)		121,303
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,042,633	)		(16,953,356	)		(6,058,871	)		(2,128,612	)		(849,411	)
Investments in affiliated issuers		39			2,318			(286	)		319			(366	)
Short sales		—			—			—			708,809			319,139
Foreign currency translations		(7,437	)		(50,955	)		6,900			(9,274	)		(1,059	)
Forward contracts		—			—			—			(272,750	)		—
Future contracts		—			—			—			705,403			—
Purchased options		—			—			—			32,082			—
Written options		—			—			—			(12,249	)		—
Swap contracts		—			—			—			(457,775	)		(103,477	)
Total net change in unrealized appreciation (depreciation)		(2,050,031	)		(17,001,993	)		(6,052,257	)		(1,434,047	)		(635,174	)
Net realized and unrealized loss		(3,659,890	)		(14,009,078	)		(5,445,886	)		(3,329,509	)		(513,871	)
Change in net assets resulting from operations	$	(3,243,239	)	$	(10,433,928	)	$	(4,996,417	)	$	(3,238,893	)	$	(512,035	)

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

91

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Strategic Income Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	46,360		$	13,908		$	23,530		$	321,594		$	10,366
Affiliated issuers		17,147			8,684			73,198			—			21,097
Interest income		5,672,019			1,968,319			3,377,524			28,260,713			2,159,779
Net securities lending income from (Note 6):
Unaffiliated issuers		—			—			12,311			—			15,527
Affiliated issuers		—			—			5,536			—			7,052
Total income:		5,735,526			1,990,911			3,492,099			28,582,307			2,213,821
Expenses:
Investment advisory fees (Note 6)		497,180			176,802			230,648			1,010,502			101,035
Shareholder servicing fees (Note 6)		—			—			—			1,021,122			70,885
Administration fees (Note 6)		440,798			135,666			178,209			1,300,041			60,621
Portfolio accounting fees		64,363			41,261			33,681			178,038			21,614
Recordkeeping fees		18,321			16,229			34,831			23,945			36,685
Custodian fees (Note 6)		9,948			2,340			3,564			7,212			4,020
Registration fees		27,932			18,461			18,511			49,567			22,706
Professional fees		12,546			12,546			12,546			12,546			13,638
Printing and postage		5,563			4,585			6,313			26,556			6,414
Directors’ fees		7,776			7,776			7,776			7,776			7,776
Distribution services fees (Note 6)		28,483			7,284			30,293			12,533			16,051
Miscellaneous		9,271			3,228			4,079			22,742			2,520
Total expenses:		1,122,181			426,178			560,451			3,672,580			363,965
Deduct:
Expense waivers (Note 6)		(211,809	)		(60,032	)		(114,336	)		(18,207	)		(54,745	)
Net expenses		910,372			366,146			446,115			3,654,373			309,220
Net investment income		4,825,154			1,624,765			3,045,984			24,927,934			1,904,601
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		23,692			(8,408	)		(265,928	)		(4,544,588	)		(538,769	)
Investments in affiliated issuers		—			(1,681	)		(1,602	)		—			341
Total net realized gain (loss)		23,692			(10,089	)		(267,530	)		(4,544,588	)		(538,428	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		190,352			406,808			1,049,640			10,680,498			617,473
Investments in affiliated issuers		—			2,518			132			15,033			(275	)
Total net change in unrealized appreciation (depreciation)		190,352			409,326			1,049,772			10,695,531			617,198
Net realized and unrealized gain		214,044			399,237			782,242			6,150,943			78,770
Change in net assets resulting from operations	$	5,039,198		$	2,024,002		$	3,828,226		$	31,078,877		$	1,983,371

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

92

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	TCH Corporate Income Fund			TCH Core Plus Bond Fund			High Yield Bond Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	—		$	11,547		$	—
Affiliated issuers		82,732			383,425			5,630
Interest income		5,493,026			18,889,783			328,645
Net securities lending income from (Note 6):
Unaffiliated issuers		39,007			159,818			2,793
Affiliated issuers		17,786			72,151			1,261
Total income:		5,632,551			19,516,724			338,329
Expenses:
Investment advisory fees (Note 6)		253,331			650,104			26,382
Shareholder servicing fees (Note 6)		118,397			78,913			—
Administration fees (Note 6)		198,919			759,445			7,915
Portfolio accounting fees		31,455			79,468			15,832
Recordkeeping fees		17,132			20,538			10,631
Custodian fees (Note 6)		2,067			18,551			576
Registration fees		23,887			37,313			14,357
Professional fees		13,638			13,638			13,350
Printing and postage		9,040			23,024			2,925
Directors’ fees		7,776			7,776			7,776
Distribution services fees (Note 6)		2,312			3,643			998
Miscellaneous		4,510			14,798			1,082
Total expenses:		682,464			1,707,211			101,824
Deduct:
Expense waivers (Note 6)		(40,387	)		(58	)		(66,528	)
Net expenses		642,077			1,707,153			35,296
Net investment income		4,990,474			17,809,571			303,033
Realized and unrealized loss on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(1,080,226	)		(2,141,170	)		(32,376	)
Investments in affiliated issuers		(1,242	)		4,505			(13	)
Total net realized loss		(1,081,468	)		(2,136,665	)		(32,389	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,043,390	)		(512,884	)		(68,183	)
Investments in affiliated issuers		1,558			1,003			47
Total net change in unrealized appreciation (depreciation)		(1,041,832	)		(511,881	)		(68,136	)
Net realized and unrealized loss		(2,123,300	)		(2,648,546	)		(100,525	)
Change in net assets resulting from operations	$	2,867,174		$	15,161,025		$	202,508

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

93

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Investment income:
Dividend income from unaffiliated issuers	$	—		$	—		$	692		$	—
Interest income		34,710,065	(1)		3,453,669			5,427,812			6,529,384
Total income:		34,710,065			3,453,669			5,428,504			6,529,384
Expenses:
Investment advisory fees (Note 6)		2,984,636			421,887			334,682			398,259
Shareholder servicing fees (Note 6)		806,302			95,858			234,358			2,944
Administration fees (Note 6)		519,460			73,261			75,593			89,994
Portfolio accounting fees		208,342			50,558			53,202			65,105
Recordkeeping fees		15,166			14,516			38,584			107,805
Custodian fees (Note 6)		27,305			7,208			12,860			15,454
Registration fees		30,322			24,746			37,869			11,141
Professional fees		11,996			14,177			14,177			14,177
Printing and postage		13,678			6,674			17,338			3,818
Directors’ fees		7,776			7,776			7,776			7,776
Miscellaneous		44,765			5,525			6,258			6,492
Total expenses:		4,669,748			722,186			832,697			722,965
Deduct:
Expense waivers (Note 6)		(797,642	)		(204,441	)		(152,096	)		(189,009	)
Net expenses		3,872,106			517,745			680,601			533,956
Net investment income		30,837,959			2,935,924			4,747,903			5,995,428
Realized and unrealized gain on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		47			—			312			331
Total net realized gain		47			—			312			331
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		—			—			—			9,273
Total net change in unrealized appreciation		—			—			—			9,273
Net realized and unrealized gain		47			—			312			9,604
Change in net assets resulting from operations	$	30,838,006		$	2,935,924		$	4,748,215		$	6,005,032

(1) Income earned from the interfund lending program is $14,516. See Note 6 for detail.

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

94

This page is intentionally left blank.

Statements of Changes in Net Assets

	Low Volatility Equity Fund						Dividend Income Fund						Large-Cap Value Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	1,210,194		$	2,075,471		$	2,331,051		$	2,973,997		$	3,509,850		$	5,944,043
Net realized gain (loss) on investments		2,723,814			11,106,001			(668,874	)		9,203,285			(5,381,180	)		37,163,475
Net change in unrealized appreciation (depreciation) on investments		895,177			5,207,851			(3,223,263	)		14,007,649			(20,085,230	)		9,781,999
Change in net assets resulting from operations		4,829,185			18,389,323			(1,561,086	)		26,184,931			(21,956,560	)		52,889,517
Distributions to shareholders:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		(2,364,488	)		(1,173,549	)(1)		(389,252	)		(383,528	)(1)		(2,073,415	)		(2,503,182	)(1)
Institutional class of shares		(9,566,685	)		(5,176,158	)(1)		(8,959,913	)		(15,850,320	)(1)		(27,261,137	)		(31,515,433	)(1)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(7,671,039	)		(868,635	)(1)
Change in net assets resulting from distributions to shareholders		(11,931,173	)		(6,349,707	)		(9,349,165	)		(16,233,848	)		(37,005,591	)		(34,887,250	)
Capital stock transactions:
Proceeds from sale of shares		40,661,644			16,593,121			100,161,585			39,940,202			34,686,086			158,173,583	(3)
Net asset value of shares issued to shareholders in payment of distributions declared		11,215,229			6,114,577			9,033,430			15,955,191			36,334,417			34,550,946
Cost of shares redeemed		(20,582,992	)		(65,823,112	)		(34,130,273	)		(26,326,918	)		(82,914,737	)		(152,349,808	)
Change in net assets resulting from capital stock transactions		31,293,881			(43,115,414	)		75,064,742			29,568,475			(11,894,234	)		40,374,721
Change in net assets		24,191,893			(31,075,798	)		64,154,491			39,519,558			(70,856,385	)		58,376,988
Net assets:
Beginning of period		128,385,370			159,461,168			155,101,266			115,581,708			392,072,680			333,695,692
End of period	$	152,577,263		$	128,385,370	(4)	$	219,255,757		$	155,101,266	(4)	$	321,216,295		$	392,072,680	(4)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund			Mid-Cap Growth Fund			Small-Cap Value Fund
Distributions to shareholders from net investment income:
Advisor class of shares	$	(389,406	)	$	(63,632	)	$	(291,522	)	$	—		$	(253,519	)	$	—		$	—
Institutional class of shares		(1,853,987	)		(2,811,280	)		(4,276,822	)		(360,864	)		(1,253,472	)		—			—
Retirement class R-3 of shares		—			—			—			—			(112	)		—			—
Retirement class R-6 of shares		—			—			(733,087	)		(6,422	)		(165,182	)		—			—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			(4,147,456	)		—			—			—
Advisor class of shares		(784,143	)		(319,896	)		(2,211,660	)		(31,962	)		(2,517,318	)		(1,110,456	)		(380,301	)
Institutional class of shares		(3,322,161	)		(13,039,040	)		(27,238,611	)		(15,549,809	)		(5,309,557	)		(5,920,705	)		(4,628,962	)
Retirement class R-3 of shares		—			—			—			—			(1,026	)		—			(6,314	)
Retirement class R-6 of shares		—			—			(135,548	)		(181,357	)		(651,050	)		(37,756	)		(215,890	)

(2) Reflects operations for the period from September 1, 2017, to May 11, 2018 (termination of Retirement class R-3 of shares).

(3) Includes $4,159,630 of paid-in-capital received from an in-kind subscription merger of an unaffiliated equity fund effective as of the close of business on December 15, 2017. The total value received of $4,159,630 from this non-taxable event represented $2,408,685 in securities cost, $1,730,375 in net unrealized appreciation, $3,388 in accrued dividends, $17,172 in cash, and $10 in accrued interest in exchange for 258,754 Institutional Class of shares at time of merger.

(4) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

Low Volatility Equity Fund	Dividend Income Fund	Large-Cap Value Fund	Large-Cap Growth Fund	Mid-Cap Value Fund	Mid-Cap Growth Fund	Small-Cap Value Fund
$292,281	$636,145	$1,544,909	$2,017,557	$1,319,763	$—	$326,452

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

96

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	1,474,441		$	2,039,377		$	1,108,299		$	1,973,147		$	(50,363	)	$	(231,180	)	$	273,171		$	298,228
	10,316,489			47,906,176			(2,431,983	)		20,334,660			7,647,112			19,632,111			(300,130	)		5,585,474
	(33,155,754	)		42,293,484			(8,616,681	)		(57,248	)		(11,586,227	)		12,055,116			(7,081,730	)		7,032,835
	(21,364,824	)		92,239,037			(9,940,365	)		22,250,559			(3,989,478	)		31,456,047			(7,108,689	)		12,916,537
	(8,151,651	)		(4,147,456	)(1)		—			—			—			—			—			—
	(122,745	)		(31,962	)(1)		(5,989,409	)		(2,770,837	)(1)		(2,613,372	)		(1,110,456	)(1)		(313,517	)		(380,301	)(1)
	(36,189,534	)		(15,910,673	)(1)		(12,798,592	)		(6,563,029	)(1)		(12,980,336	)		(5,920,705	)(1)		(3,915,188	)		(4,628,962	)(1)
	—			—			—			(1,138	)(1)		—			—			—			(6,314	)(1)(2)
	(9,011,688	)		(187,779	)(1)		(3,943,242	)		(816,232	)(1)		(3,595,774	)		(37,756	)(1)		(1,032,489	)		(215,890	)(1)
	(53,475,618	)		(20,277,870	)		(22,731,243	)		(10,151,236	)		(19,189,482	)		(7,068,917	)		(5,261,194	)		(5,231,467	)
	72,351,277			123,469,873			11,916,263			47,626,226			9,217,526			37,954,380			7,031,337			20,343,034
	48,947,018			18,714,347			22,534,196			10,039,874			19,124,023			7,050,843			5,218,811			5,184,079
	(84,076,111	)		(164,177,220	)		(28,401,946	)		(76,159,820	)		(23,625,195	)		(53,982,490	)		(12,427,772	)		(21,649,285	)
	37,222,184			(21,993,000	)		6,048,513			(18,493,720	)		4,716,354			(8,977,267	)		(177,624	)		3,877,828
	(37,618,258	)		49,968,167			(26,623,095	)		(6,394,397	)		(18,462,606	)		15,409,863			(12,547,507	)		11,562,898
	406,423,595			356,455,428			200,109,571			206,503,968			128,432,380			113,022,517			75,848,430			64,285,532
$	368,805,337		$	406,423,595	(4)	$	173,486,476		$	200,109,571	(4)	$	109,969,774		$	128,432,380	(4)	$	63,300,923		$	75,848,430	(4)

97

Statements of Changes in Net Assets

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	26,891		$	17,884		$	(248,993	)	$	(478,741	)	$	326,358		$	910,381
Net realized gain (loss) on investments		(1,182,402	)		2,368,080			389,777			20,263,486			804,318			5,421,320
Net change in unrealized appreciation (depreciation) on investments		(1,969,516	)		1,740,394			(17,748,925	)		19,507,410			(761,420	)		(1,869,925	)
Change in net assets resulting from operations		(3,125,027	)		4,126,358			(17,608,141	)		39,292,155			369,256			4,461,776
Distributions to shareholders:
Advisor class of shares		(223,543	)		(170,343	)(1)		(6,575,825	)		(6,213,359	)(1)		(54,279	)		(40,891	)(1)
Institutional class of shares		(1,725,977	)		(1,106,052	)(1)		(11,821,591	)		(8,546,401	)(1)		(5,908,177	)		(1,821,652	)(1)
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Change in net assets resulting from distributions to shareholders		(1,949,520	)		(1,276,395	)		(18,397,416	)		(14,759,760	)		(5,962,456	)		(1,862,543	)
Capital stock transactions:
Proceeds from sale of shares		2,687,013			5,456,508			13,557,377			22,016,727			6,843,934			783,044
Net asset value of shares issued to shareholders in payment of distributions declared		1,709,986			1,176,708			18,153,178			14,542,209			5,947,142			1,464,201
Cost of shares redeemed		(2,893,254	)		(4,748,644	)		(24,079,881	)		(47,004,023	)		(2,264,746	)		(23,520,826	)
Redemption fees		—			—			—			—			—			—
Change in net assets resulting from capital stock transactions		1,503,745			1,884,572			7,630,674			(10,445,087	)		10,526,330			(21,273,581	)
Change in net assets		(3,570,802	)		4,734,535			(28,374,883	)		14,087,308			4,933,130			(18,674,348	)
Net assets:
Beginning of period		24,395,513			19,660,978			153,083,138			138,995,830			30,543,835			49,218,183
End of period	$	20,824,711		$	24,395,513	(2)	$	124,708,255		$	153,083,138	(2)	$	35,476,965		$	30,543,835	(2)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund			Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund
Distributions to shareholders from net investment income:
Advisor class of shares	$	—		$	—		$	(29,505	)	$	(3,470	)	$	—		$	—		$	—
Institutional class of shares		(11,539	)		—			(1,337,341	)		(1,530,653	)		(15,185,511	)		(1,245,393	)		—
Retirement class R-6 of shares		—			—			—			—			(1,405,577	)		—			—
Class F-3 of shares		—			—			—			—			(219,446	)		—			—
Distributions to shareholders from net realized gain on investments:
Advisor class of shares		(170,343	)		(6,213,359	)		(11,386	)		—			—			—			(6,924	)
Institutional class of shares		(1,094,513	)		(8,546,401	)		(484,311	)		—			—			—			(4,470,070	)
Distributions to shareholders from return of capital:
Advisor class of shares		—			—			—			—			—			—			(687	)
Institutional class of shares		—			—			—			—			—			—			(708,240	)

(2) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

Small-Cap Core Fund	Small-Cap Growth Fund	Global Low Volatility Equity Fund	Disciplined International Equity Fund	Pyrford International Stock Fund	LGM Emerging Markets Equity Fund	Alternative Strategies Fund
$8,280	$—	$457,212	$1,261,618	$15,265,819	$1,986,904	$(999,239)

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

98

BMO Funds

Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						Alternative Strategies Fund
Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	416,651		$	1,788,262		$	3,575,150		$	17,718,541		$	449,469		$	2,321,510		$	90,616		$	(343,138	)
	(1,609,859	)		4,596,949			2,992,915			(3,196,252	)		606,371			10,901,774			(1,895,462	)		(584,715	)
	(2,050,031	)		(6,394,997	)		(17,001,993	)		(59,981	)		(6,052,257	)		(13,442,920	)		(1,434,047	)		(1,485,702	)
	(3,243,239	)		(9,786	)		(10,433,928	)		14,462,308			(4,996,417	)		(219,636	)		(3,238,893	)		(2,413,555	)
	(2,852	)		(3,470	)(1)		(142,355	)		—			(177,481	)		—			—			(7,611	)(1)
	(1,525,583	)		(1,530,653	)(1)		(12,873,243	)		(15,185,511	)(1)		(8,498,980	)		(1,245,393	)(1)		—			(5,178,310	)(1)
	—			—			(4,754,416	)		(1,405,577	)(1)		—			—			—			—
	—			—			(1,250	)		(219,446	)(1)		—			—			—			—
	(1,528,435	)		(1,534,123	)		(17,771,264	)		(16,810,534	)		(8,676,461	)		(1,245,393	)		—			(5,185,921	)
	16,012,116			18,840,781			78,696,005			211,980,308			74,014,369			79,897,479			11,353,934			17,291,060
	1,341,526			1,511,020			15,571,565			13,489,759			8,184,014			1,128,190			—			5,109,458
	(10,356,657	)		(13,670,472	)		(74,408,090	)		(218,410,088	)		(49,156,337	)		(35,100,313	)		(18,055,153	)		(37,221,147	)
	—			210			5,740			957			440			711			—			—
	6,996,985			6,681,539			19,865,220			7,060,936			33,042,486			45,926,067			(6,701,219	)		(14,820,629	)
	2,225,311			5,137,630			(8,339,972	)		4,712,710			19,369,608			44,461,038			(9,940,112	)		(22,420,105	)
	77,525,672			72,388,042			654,452,295			649,739,585			206,817,849			162,356,811			73,320,076			95,740,181
$	79,750,983		$	77,525,672	(2)	$	646,112,323		$	654,452,295	(2)	$	226,187,457		$	206,817,849	(2)	$	63,379,964		$	73,320,076	(2)

99

Statements of Changes in Net Assets

	Global Long/Short Equity Fund						Ultra Short Tax-Free Fund						Short Tax-Free Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income	$	1,836		$	33,591		$	4,825,154		$	7,993,960		$	1,624,765		$	2,930,092
Net realized gain (loss) on investments		121,303			51,678			23,692			107,385			(10,089	)		35,751
Net change in unrealized appreciation (depreciation) on investments		(635,174	)		(47,838	)		190,352			(530,035	)		409,326			(1,518,041	)
Change in net assets resulting from operations		(512,035	)		37,431			5,039,198			7,571,310			2,024,002			1,447,802
Distributions to shareholders:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		(9,220	)		(26,598	)(1)		(157,965	)		(346,173	)(1)		(47,913	)		(94,769	)(1)
Institutional class of shares		(90,991	)		(387,851	)(1)		(4,667,115	)		(7,963,530	)(1)		(1,576,852	)		(2,832,847	)(1)
Change in net assets resulting from distributions to shareholders		(100,211	)		(414,449	)		(4,825,080	)		(8,309,703	)		(1,624,765	)		(2,927,616	)
Capital stock transactions:
Proceeds from sale of shares		711,021			6,276,658			257,597,061			445,096,133			18,941,173			51,370,080
Net asset value of shares issued to shareholders in payment of distributions declared		75,466			319,024			2,704,179			3,582,390			510,841			942,829
Cost of shares redeemed		(4,299,398	)		(5,967,606	)		(268,283,444	)		(508,223,943	)		(30,570,030	)		(44,929,515	)
Redemption fees		13			1,407			310			—			20			—
Change in net assets resulting from capital stock transactions		(3,512,898	)		629,483			(7,981,894	)		(59,545,420	)		(11,117,996	)		7,383,394
Change in net assets		(4,125,144	)		252,465			(7,767,776	)		(60,283,813	)		(10,718,759	)		5,903,580
Net assets:
Beginning of period		9,949,535			9,697,070			600,103,477			660,387,290			188,523,996			182,620,416
End of period	$	5,824,391		$	9,949,535	(2)	$	592,335,701		$	600,103,477	(2)	$	177,805,237		$	188,523,996	(2)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	Global Long/Short Equity Fund			Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Strategic Income Fund			TCH Corporate Income Fund
Distributions to shareholders from net investment income:
Investor class of shares	$	—		$	—		$	—		$	—		$	(24,188,815	)	$	(2,911,007	)	$	(3,505,065	)
Advisor class of shares		(441	)		(328,441	)		(94,769	)		(552,617	)		(326,765	)		(702,151	)		(34,065	)
Institutional class of shares		(28,606	)		(7,666,730	)		(2,832,847	)		(4,511,766	)		(21,349,941	)		(733,595	)		(4,433,400	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			—			(109,132	)		—			(142,642	)
Advisor class of shares		(26,157	)		(17,732	)		—			—			(1,409	)		—			(1,102	)
Institutional class of shares		(359,245	)		(296,800	)		—			—			(75,420	)		—			(162,178	)

(2) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

Global Long/Short Equity Fund	Ultra Short Tax-Free Fund	Short Tax-Free Fund	Short-Term Income Fund	Intermediate Tax-Free Fund	Strategic Income Fund	TCH Corporate Income Fund
$44,180	$(19,656)	$2,011	$5,029	$(293)	$(15,832)	$1,244

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

100

BMO Funds

Short-Term Income Fund						Intermediate Tax-Free Fund						Strategic Income Fund						TCH Corporate Income Fund
Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	3,045,984		$	4,986,366		$	24,927,934		$	45,840,572		$	1,904,601		$	4,092,855		$	4,990,474		$	7,976,472
	(267,530	)		(257,306	)		(4,544,588	)		1,936,751			(538,428	)		807,459			(1,081,468	)		888,736
	1,049,772			(2,814,462	)		10,695,531			(37,308,698	)		617,198			(4,311,530	)		(1,041,832	)		(8,512,340	)
	3,828,226			1,914,598			31,078,877			10,468,625			1,983,371			588,784			2,867,174			352,868
	—			—			(11,088,844	)		(24,297,947	)(1)		(1,324,901	)		(2,911,007	)(1)		(2,032,436	)		(3,647,707	)(1)
	(282,663	)		(552,617	)(1)		(136,367	)		(328,174	)(1)		(299,735	)		(702,151	)(1)		(40,088	)		(35,167	)(1)
	(2,763,697	)		(4,511,766	)(1)		(14,324,302	)		(21,425,361	)(1)		(276,545	)		(733,595	)(1)		(3,784,700	)		(4,595,578	)(1)
	(3,046,360	)		(5,064,383	)		(25,549,513	)		(46,051,482	)		(1,901,181	)		(4,346,753	)		(5,857,224	)		(8,278,452	)
	59,560,912			135,318,169			673,169,741			602,268,382			1,600,423			3,650,450			107,976,168			50,384,104
	1,811,352			2,938,785			19,989,466			36,968,906			1,806,902			4,064,138			3,848,184			5,111,900
	(49,728,945	)		(137,617,032	)		(721,331,302	)		(442,459,403	)		(10,091,844	)		31,322,162			(67,478,452	)		(59,209,589	)
	80			—			10			—			—			—			—			—
	11,643,399			639,922			(28,172,085	)		196,777,885			(6,684,519	)		(23,607,574	)		44,345,900			(3,713,585	)
	12,425,265			(2,509,863	)		(22,642,721	)		161,195,028			(6,602,329	)		(27,365,543	)		41,355,850			(11,639,169	)
	240,079,245			242,589,108			1,779,358,783			1,618,163,755			86,026,944			113,392,487			244,783,060			256,422,229
$	252,504,510		$	240,079,245	(2)	$	1,756,716,062		$	1,779,358,783	(2)	$	79,424,615		$	86,026,944	(2)	$	286,138,910		$	244,783,060	(2)

101

Statements of Changes in Net Assets

	TCH Core Plus Bond Fund						High Yield Bond Fund						Government Money Market Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income	$	17,809,571		$	30,966,093		$	303,033		$	658,231		$	30,837,959		$	40,597,171
Net realized gain (loss) on investments		(2,136,665	)		(4,328,218	)		(32,389	)		120,095			47			5,012
Net change in unrealized appreciation (depreciation) on investments		(511,881	)		(29,057,856	)		(68,136	)		(571,851	)		—			—
Change in net assets resulting from operations		15,161,025			(2,419,981	)		202,508			206,475			30,838,006			40,602,183
Distributions to shareholders:
Investor class of shares		(1,042,328	)		(1,900,839	)(1)		—			—			(5,851,297	)		(7,873,018	)(1)
Advisor class of shares		(47,959	)		(93,773	)(1)		(22,074	)		(47,907	)(1)		—			—
Institutional/Premier class of shares		(16,719,283	)		—			(280,958	)		(610,733	)(1)		—			—
Institutional/Premier class of shares		—			—			—			—			(24,986,834	)		(32,729,165	)(1)
Change in net assets resulting from distributions to shareholders		(17,809,570	)		(32,309,452	)		(303,032	)		(658,640	)		(30,838,131	)		(40,602,183	)
Capital stock transactions:
Proceeds from sale of shares		134,004,007			239,674,446			322,889			1,065,544			8,146,523,771			19,536,951,159
Net asset value of shares issued to shareholders in payment of distributions declared		15,998,482			29,161,657			283,244			583,966			4,162,365			5,880,770
Cost of shares redeemed		(235,183,154	)		(235,589,606	)		(1,415,312	)		(3,185,086	)		(8,588,801,373	)		(19,237,385,211	)
Change in net assets resulting from capital stock transactions		(85,180,665	)		33,246,497			(809,179	)		(1,535,576	)		(438,115,237	)		305,446,718
Change in net assets		(87,829,210	)		(1,482,936	)		(909,703	)		(1,987,741	)		(438,115,362	)		305,446,718
Net assets:
Beginning of period		1,045,851,352			1,047,334,288			11,325,608			13,313,349			3,389,050,092			3,083,603,374
End of period	$	958,022,142		$	1,045,851,352	(2)	$	10,415,905		$	11,325,608	(2)	$	2,950,934,730		$	3,389,050,092	(2)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	TCH Core Plus Bond Fund			High Yield Bond Fund			Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Distributions to shareholders from net investment income:
Investor class of shares	$	(1,839,668	)	$	—		$	(7,871,988	)	$	(698,806	)	$	(2,562,944	)	$	(20,183	)
Advisor class of shares		(90,550	)		(47,907	)		—			—			—			—
Institutional/Premier class of shares		(29,417,453	)		(610,733	)		(32,725,383	)		(2,975,703	)		(3,364,758	)		(6,805,848	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(61,171	)		—			(1,030	)		—			(1,052	)		(8	)
Advisor class of shares		(3,223	)		—			—			—			—			—
Institutional/Premier class of shares		(897,387	)		—			(3,782	)		—			(1,084	)		(2,285	)

(2) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

TCH Core Plus Bond Fund	High Yield Bond Fund	Government Money Market Fund	Tax-Free Money Market Fund	Prime Money Market Fund	Institutional Prime Money Market Fund
$(16,047)	$(3,660)	$(341)	$(24,201)	$(23,967)	$16,438

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

102

BMO Funds

Tax-Free Money Market Fund						Prime Money Market Fund						Institutional Prime Money Market Fund
Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	2,935,924		$	3,674,509		$	4,747,903		$	5,927,686		$	5,995,428		$	6,826,042
	—			—			312			2,160			331			2,235
	—			—			—			—			9,273			14,697
	2,935,924			3,674,509			4,748,215			5,929,846			6,005,032			6,842,974
	(456,242	)		(698,806	)(1)		(1,855,257	)		(2,563,996	)(1)		(23,569	)		(20,191	)(1)
	—			—			—			—			—			—
	—			—			—			—			—			—
	(2,479,682	)		(2,975,703	)(1)		(2,892,957	)		(3,365,842	)(1)		(5,972,190	)		(6,808,133	)(1)
	(2,935,924	)		(3,674,509	)		(4,748,214	)		(5,929,838	)		(5,995,759	)		(6,828,324	)
	474,893,619			760,794,015			447,059,007			810,980,414			1,281,529,491			1,224,837,730
	448,698			574,205			1,677,332			2,146,096			2,027,315			1,189,143
	(416,224,465	)		(694,856,500	)		(479,072,179	)		(720,222,805	)		(1,178,875,236	)		(1,145,851,073	)
	59,117,852			66,511,720			(30,335,840	)		92,903,705			104,681,570			80,175,800
	59,117,852			66,511,720			(30,335,839	)		92,903,713			104,690,843			80,190,450
	381,313,133			314,801,413			461,492,480			368,588,767			481,814,410			401,623,960
$	440,430,985		$	381,313,133	(2)	$	431,156,641		$	461,492,480	(2)	$	586,505,253		$	481,814,410	(2)

103

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (4)
Large-Cap Growth Fund
2019(5)		$	20.95		$	0.05			$	(1.18	)		$	(1.13	)		$	(0.06	)		$	(2.55	)		$	(2.61	)		$	17.21		(4.77	)%		0.83	%		0.79	%		0.55	%		$	59,442		25	%
2018			17.46			0.07				4.42				4.49				—				(1.00	)			(1.00	)			20.95		26.78			0.92			0.91			0.28				65,365		57
2017			15.34			0.06				3.03				3.09				(0.07	)			(0.90	)			(0.97	)			17.46		21.30			1.03			1.00			0.34				74,359		75
2016			16.26			0.03				1.44				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.23				163,712		70
2015			17.94			(0.01	)			0.93				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				161,918		94
2014			15.08			0.01				4.34				4.35				(0.04	)			(1.45	)			(1.49	)			17.94		30.33			1.24			1.24			0.03				97,738		67
Intermediate Tax-Free Fund
2019(5)			11.13			0.15				0.04				0.19				(0.15	)			—				(0.15	)			11.17		1.72			0.55			0.55			2.71				536,595		38
2018			11.37			0.30				(0.24	)			0.06				(0.30	)			—				(0.30	)			11.13		0.53			0.55			0.55			2.65				870,195		45
2017			11.61			0.29				(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.78			0.57			0.55			2.55				975,664		44
2016			11.26			0.25				0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.19				1,241,387		42
2015			11.25			0.26				0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.23				1,250,815		26
2014			10.66			0.28				0.59				0.87				(0.28	)			(0.00	)			(0.28	)			11.25		8.29			0.61			0.55			2.58				1,003,132		35
Strategic Income Fund
2019(5)			9.08			0.21				0.03				0.24				(0.21	)			—				(0.21	)			9.11		2.67			0.94			0.80			4.68				57,155		25
2018			9.45			0.38				(0.37	)			0.04				(0.41	)			—				(0.41	)			9.08		0.37			0.91			0.80			4.09				59,724		33
2017			9.43			0.23				0.08				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			2.46				73,488		65
2016			9.31			0.21				0.17				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.28				85,665		13
2015			9.36			0.22				—				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				94,380		44
2014			9.17			0.20				0.24				0.44				(0.25	)			—				(0.25	)			9.36		4.87			0.92			0.80			2.21				105,888		129
TCH Corporate Income Fund
2019(5)			12.79			0.23				(0.10	)			0.13				(0.23	)			(0.04	)			(0.27	)			12.65		1.03			0.67			0.59			3.64				88,766		27
2018			13.20			0.40				(0.39	)			0.01				(0.40	)			(0.02	)			(0.42	)			12.79		0.05			0.63			0.59			3.08				102,523		31
2017			13.17			0.35				0.14				0.49				(0.35	)			(0.11	)			(0.46	)			13.20		3.86			0.71			0.59			2.70				120,745		44
2016			12.33			0.45				0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.65				82,643		62
2015			13.09			0.36				(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				137,987		26
2014			12.39			0.44				0.91				1.35				(0.44	)			(0.21	)			(0.65	)			13.09		11.20			0.74			0.59			3.32				78,347		25
TCH Core Plus Bond Fund
2019(5)			11.41			0.18				(0.03	)			0.15				(0.18	)			—				(0.18	)			11.38		1.37			0.57			0.57			3.30				68,948		23
2018			11.79			0.32				(0.37	)			(0.05	)			(0.32	)			(0.01	)			(0.33	)			11.41		(0.45	)		0.58			0.58			2.70				61,251		45
2017			11.89			0.24				(0.02	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.37				68,946		34
2016			11.42			0.34				0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			3.00				508,030		39
2015			11.95			0.32				(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.69				602,588		25
2014			11.32			0.31				0.66				0.97				(0.32	)			(0.02	)			(0.34	)			11.95		8.68			0.62			0.59			2.66				517,753		44
Government Money Market Fund
2019(5)			1.00			0.01				—				0.01				(0.01	)			—				(0.01	)			1.00		0.90			0.50			0.45			1.81				591,858		—
2018			1.00			0.01				0.00				0.01				(0.01	)			(0.00	)			(0.01	)			1.00		1.05			0.50			0.45			1.03				747,981		—
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.24			0.50			0.42			0.24				814,242		—
2016			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.29			0.01				268,417		—
2015			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.08			0.01				101,593		—
2014			1.00			0.00				—				0.00				(0.00	)			—				(0.00	)			1.00		0.01			0.54			0.07			0.01				105,267		—
Tax-Free Money Market Fund
2019(5)			1.00			0.01				—				0.01				(0.01	)			—				(0.01	)			1.00		0.59			0.55			0.45			1.19				80,060		—
2018			1.00			0.01				0.00				0.01				(0.01	)			(0.00	)			(0.01	)			1.00		0.80			0.56			0.45			0.79				75,889		—
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.37			0.57			0.45			0.33				76,029		—
2016			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.06			0.53			0.26			0.03				90,098		—
2015			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.16			0.01				142,052		—
2014			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.20			0.01				131,175		—

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

104

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain			Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																															Gross Expenses			Net Expenses (4)			Net investment income (4)
Prime Money Market Fund
2019(5)		$	1.00		$	0.01		$	—		$	0.01		$	(0.01	)		$	—			$	(0.01	)		$	1.00		0.98	%		0.52	%		0.45	%		1.98	%		$	195,259		—	%
2018			1.00			0.01			—			0.01			(0.01	)			—				(0.01	)			1.00		1.25			0.52			0.45			1.24				193,006		—
2017			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.42			0.53			0.45			0.36				202,251		—
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.45			0.38			0.03				903,864		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.19			0.01				1,296,633		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.18			0.01				1,356,875		—
Institutional Prime Money Market Fund
2019(5)			1.0001			0.0099			—			0.0099			(0.0099	)			—				(0.0099	)			1.0001		0.99			0.52			0.45			2.00				2,365		—
2018			1.0001			0.0128			0.0000			0.0128			(0.0128	)			(0.0000	)			(0.0128	)			1.0001		1.29			0.55			0.45			1.31				2,401		—
2017(6)			1.00			0.0049			0.0001			0.0050			(0.0049	)			(0.0000	)			(0.0049	)			1.0001		0.50			0.55			0.45			0.50				1,421		—
2016(7)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.54			0.45			0.14				992		—

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 28, 2019 (Unaudited).

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

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

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

105

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (4)
Low Volatility Equity Fund
2019(5)		$	15.72		$	0.12			$	0.23			$	0.35			$	(0.12	)		$	(1.34	)		$	(1.46	)		$	14.61		2.63	%		1.04	%		0.90	%		1.69	%		$	25,573		19	%
2018			14.36			0.19				1.76				1.95				(0.20	)			(0.39	)			(0.59	)			15.72		13.96			1.03			0.90			1.25				25,571		43
2017			13.79			0.20				0.74				0.94				(0.20	)			(0.17	)			(0.37	)			14.36		6.94			1.03			0.90			1.47				31,624		56
2016			12.81			0.16				1.35				1.51				(0.17	)			(0.36	)			(0.53	)			13.79		12.13			1.05			0.90			1.40				15,064		40
2015			13.20			0.14				0.55				0.69				(0.18	)			(0.90	)			(1.08	)			12.81		5.22			1.12			0.90			1.12				1,162		47
2014(6)			12.74			0.04				0.47				0.51				(0.05	)			—				(0.05	)			13.20		4.03			1.02			0.90			1.17				26		47
Dividend Income Fund
2019(5)			15.46			0.14				(0.53	)			(0.39	)			(0.15	)			(0.58	)			(0.73	)			14.34		(2.39	)		1.01			0.90			2.44				12,525		23
2018			14.51			0.28				2.67				2.95				(0.30	)			(1.70	)			(2.00	)			15.46		21.90			1.04			0.90			2.07				6,092		39
2017(7)			12.94			0.28				1.61				1.89				(0.21	)			(0.11	)			(0.32	)			14.51		14.80			1.08			0.90			2.06				3,205		43
2016			12.59			0.30				1.11				1.41				(0.30	)			(0.76	)			(1.06	)			12.94		11.89			1.08			0.90			2.44				78,531		51
2015			14.29			0.31				(0.76	)			(0.45	)			(0.33	)			(0.92	)			(1.25	)			12.59		(3.63	)		1.05			0.90			2.16				74,254		46
2014(6)			13.57			0.08				0.71				0.79				(0.07	)			—				(0.07	)			14.29		5.84			1.08			0.90			2.09				26		45
Large-Cap Value Fund
2019(5)			16.59			0.12				(0.86	)			(0.74	)			(0.14	)			(1.40	)			(1.54	)			14.31		(4.10	)		0.84			0.79			1.78				20,736		30
2018			15.85			0.16				2.22				2.38				(0.19	)			(1.45	)			(1.64	)			16.59		15.57			0.91			0.89			0.82				22,602		54
2017(7)			14.14			0.08				1.93				2.01				(0.18	)			(0.12	)			(0.30	)			15.85		14.33			1.02			1.00			0.49				25,061		62
2016			15.23			0.21				0.53				0.74				(0.22	)			(1.61	)			(1.83	)			14.14		5.31			1.10			1.07			1.61				37		60
2015			17.04			0.13				(0.22	)			(0.09	)			(0.10	)			(1.62	)			(1.72	)			15.23		(0.70	)		1.22			1.21			0.80				28		72
2014(6)			16.23			0.04				0.82				0.86				(0.05	)			—				(0.05	)			17.04		5.32			1.23			1.23			0.83				27		68
Large-Cap Growth Fund
2019(5)			20.96			0.04				(1.19	)			(1.15	)			(0.08	)			(2.55	)			(2.63	)			17.18		(4.84	)		0.83			0.79			0.52				840		25
2018			17.46			0.05				4.45				4.50				—				(1.00	)			(1.00	)			20.96		26.84			0.91			0.88			0.32				860		57
2017			15.34			0.03				3.06				3.09				(0.07	)			(0.90	)			(0.97	)			17.46		21.30			1.03			1.00			0.39				808		75
2016			16.26			0.02				1.45				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.29				405		70
2015			17.94			0.00				0.92				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				37		94
2014(6)			16.81			0.01				1.12				1.13				—				—				—				17.94		6.72			1.24			1.24			0.17				26		67
Mid-Cap Value Fund
2019(5)			12.64			0.06				(0.70	)			(0.64	)			(0.11	)			(1.33	)			(1.44	)			10.56		(4.47	)		1.24			1.24			1.04				47,141		19
2018			11.91			0.11				1.17				1.28				(0.05	)			(0.50	)			(0.55	)			12.64		10.89			1.25			1.24			0.79				55,151		64
2017			14.40			0.05				1.28				1.33				(0.05	)			(3.77	)			(3.82	)			11.91		12.88			1.26			1.24			0.74				64,462		139
2016			15.02			0.11				0.86				0.97				(0.12	)			(1.47	)			(1.59	)			14.40		7.27			1.23			1.23			0.90				39		24
2015			17.66			0.03				(0.59	)			(0.56	)			(0.02	)			(2.06	)			(2.08	)			15.02		(3.55	)		1.22			1.22			0.19				26		27
2014(6)			16.61			0.01				1.04				1.05				—				—				—				17.66		6.32			1.20			1.20			0.31				27		30
Mid-Cap Growth Fund
2019(5)			17.96			(0.02	)			(0.78	)			(0.80	)			—				(2.95	)			(2.95	)			14.21		(2.29	)		1.31			1.24			(0.34	)			14,922		29
2018			14.79			(0.08	)			4.24				4.16				—				(0.99	)			(0.99	)			17.96		29.40			1.31			1.24			(0.43	)			16,399		63
2017			16.26			(0.02	)			2.11				2.09				(0.02	)			(3.54	)			(3.56	)			14.79		16.73			1.37			1.24			(0.47	)			17,945		157
2016			20.02			0.03				(0.91	)			(0.88	)			—				(2.88	)			(2.88	)			16.26		(4.23	)		1.29			1.24			0.09				31		59
2015			23.93			(0.11	)			(0.57	)			(0.68	)			—				(3.23	)			(3.23	)			20.02		(2.89	)		1.25			1.24			(0.52	)			28		53
2014(6)			22.89			(0.04	)			1.08				1.04				—				—				—				23.93		4.54			1.24			1.24			(0.63	)			26		57
Small-Cap Value Fund
2019(5)			14.78			0.05				(1.49	)			(1.44	)			(0.06	)			(0.96	)			(1.02	)			12.32		(9.35	)		1.40			1.24			0.56				3,793		36
2018			13.30			0.03				2.57				2.60				—				(1.12	)			(1.12	)			14.78		20.32			1.41			1.24			0.25				4,741		70
2017(7)			13.21			0.03				1.36				1.39				(0.04	)			(1.26	)			(1.30	)			13.30		11.58			1.49			1.24			0.22				4,931		148
2016			12.72			0.03				0.98				1.01				—				(0.52	)			(0.52	)			13.21		8.23			1.39			1.24			0.17				42,615		39
2015			14.40			(0.02	)			(0.85	)			(0.87	)			—				(0.81	)			(0.81	)			12.72		(6.18	)		1.46			1.24			(0.46	)			72,822		53
2014(6)			13.99			(0.01	)			0.42				0.41				—				—				—				14.40		2.93			1.46			1.24			(0.14	)			26		43

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

106

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Small-Cap Core Fund
2019(5)		$	15.11		$	0.01			$	(1.80	)		$	(1.79	)		$	(0.01	)		$	(1.15	)		$	(1.16	)		$	12.16		(11.34	)%		1.68	%		1.15	%		0.03	%		$	2,474		40	%
2018			13.22			(0.01	)			2.73				2.72				—				(0.83	)			(0.83	)			15.11		21.20			1.62			1.15			(0.04	)			2,988		89
2017			11.57			(0.02	)			1.88				1.86				(0.01	)			(0.20	)			(0.21	)			13.22		16.09			1.83			1.15			(0.18	)			2,612		90
2016			10.41			0.02				1.22				1.24				—				(0.08	)			(0.08	)			11.57		11.97			2.54			1.15			0.19				647		70
2015			10.38			(0.01	)			0.04				0.03				—				—				—				10.41		0.29			5.02			1.15			(0.28	)			629		64
2014(6)			10.08			(0.01	)			0.31				0.30				—				—				—				10.38		2.98			4.82			1.15			(0.30	)			26		43
Small-Cap Growth Fund
2019(5)			21.60			(0.05	)			(2.68	)			(2.73	)			—				(2.75	)			(2.75	)			16.12		(11.69	)		1.28			1.24			(0.56	)			43,406		26
2018			18.37			(0.12	)			5.43				5.31				—				(2.08	)			(2.08	)			21.60		31.55			1.28			1.24			(0.47	)			53,772		80
2017(8)			17.79			(0.06	)			0.64				0.58				—				—				—				18.37		3.26			1.24			1.24			(0.97	)			57,737		197
Global Low Volatility Equity Fund
2019(5)(9)			14.00			0.21				(0.21	)			—				(0.38	)			(2.35	)			(2.73	)			11.27		0.86			1.68			1.10			2.02				295		20
2018(9)			13.16			(0.15	)			1.46				1.31				(0.34	)			(0.13	)			(0.47	)			14.00		10.21			1.46			1.10			1.50				339		34
2017(9)			12.61			0.14				0.66				0.80				(0.17	)			(0.08	)			(0.25	)			13.16		6.59			1.52			1.10			1.96				997		74
2016(9)			11.31			0.11				1.25				1.36				(0.06	)			(0.00	)			(0.06	)			12.61		12.11			1.63			1.10			2.04				266		36
2015(9)			11.47			0.14				(0.17	)			(0.03	)			(0.08	)			(0.05	)			(0.13	)			11.31		(0.28	)		5.76			1.10			2.38				142		31
2014(6)(9)			11.12			0.05				0.30				0.35				—				—				—				11.47		3.15			11.55			1.10			1.53				26		29
Disciplined International Equity Fund
2019(5)(9)			10.94			0.04				(0.48	)			(0.44	)			(0.17	)			—				(0.17	)			10.33		(3.94	)		1.25			1.15			0.82				179		27
2018(9)			11.17			0.21				(0.22	)			(0.01	)			(0.22	)			—				(0.22	)			10.94		(0.15	)		1.27			1.15			2.11				186		52
2017(9)			9.56			0.20				1.66				1.86				(0.25	)			—				(0.25	)			11.17		19.97			1.39			1.15			1.98				149		77
2016(9)(10)			10.00			0.23				(0.67	)			(0.44	)			—				—				—				9.56		(4.40	)		1.45			1.15			2.53				125		64
Pyrford International Stock Fund
2019(5)(9)			13.43			0.05				(0.28	)			(0.23	)			(0.33	)			—				(0.33	)			12.87		(1.57	)		1.21			1.19			0.85				5,109		5
2018(9)			13.16			(0.09	)			0.36				0.27				—				—				—				13.43		2.05			1.20			1.18			2.88				6,037		20
2017(7)(9)			12.18			0.40				0.83				1.23				(0.25	)			—				(0.25	)			13.16		10.38			1.30			1.21			3.11				891		33
2016(9)			11.74			0.33				0.35				0.68				(0.24	)			—				(0.24	)			12.18		5.96			1.31			1.24			0.92				88		12
2015(9)			13.11			0.05				(1.34	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)		1.28			1.24			2.79				817		9
2014(6)(9)			13.13			0.07				(0.09	)			(0.02	)			—				—				—				13.11		(0.15	)		1.28			1.24			1.95				25		6
LGM Emerging Markets Equity Fund
2019(5)(9)			16.04			0.01				(0.42	)			(0.41	)			(0.13	)			(0.51	)			(0.64	)			14.99		(2.40	)		1.52			1.40			0.20				5,406		24
2018(9)			15.93			0.14				(0.03	)			0.11				—				—				—				16.04		0.69			1.55			1.40			0.84				4,983		22
2017(7)(9)			14.04			0.13				1.82				1.95				(0.06	)			—				(0.06	)			15.93		14.03			1.63			1.40			0.96				4,776		40
2016(9)			12.12			0.16				1.86				2.02				(0.10	)			—				(0.10	)			14.04		16.88			1.64			1.40			0.92				51,879		24
2015(9)			14.30			0.08				(2.09	)			(2.01	)			(0.17	)			—				(0.17	)			12.12		(14.18	)		1.59			1.40			2.01				63,966		25
2014(6)(9)			13.69			0.08				0.53				0.61				—				—				—				14.30		4.46			1.66			1.40			2.05				26		38
Alternative Strategies Fund
2019(5)(9)			9.73			(0.14	)			(0.32	)			(0.46	)			—				—				—				9.27		(4.73	)		2.37	(11)		1.94	(11)		(0.06	)			42		37
2018(9)			10.74			(0.14	)			(0.20	)			(0.34	)			—				(0.67	)			(0.67	)			9.73		(3.53	)		3.08	(11)		2.33	(11)		(0.74	)			70		122
2017(9)			10.30			(0.18	)			0.62				0.44				—				—				—				10.74		4.27			3.65	(11)		2.95	(11)		(0.93	)			157		251
2016(9)			10.40			(0.23	)			0.23				0.00				—				(0.10	)			(0.10	)			10.30		(0.02	)		3.88	(11)		3.07	(11)		1.11				286		279
2015(9)(12)			10.00			(0.06	)			0.46				0.40				—				—				—				10.40		4.00			4.94	(11)		2.72	(11)		(1.07	)			1,011		119
Global Long/Short Equity Fund
2019(5)(9)			12.00			(0.01	)			(0.63	)			(0.64	)			(0.11	)			(0.03	)			(0.14	)			11.22		(5.29	)		4.04	(11)		2.08	(11)		(0.19	)			696		24
2018(9)			12.22			0.00				0.21				0.21				(0.01	)			(0.42	)			(0.43	)			12.00		1.61			3.71	(11)		2.47	(11)		0.02				801		79
2017(9)			10.68			0.01				1.66				1.67				(0.04	)			(0.09	)			(0.13	)			12.22		15.77			5.05	(11)		2.42	(11)		0.03				730		42
2016(9)			10.00			0.03				0.65				0.68				—				—				—				10.68		6.80			9.46	(11)		2.36	(11)		0.46				510		45

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

107

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (4)
Ultra Short Tax-Free Fund
2019(5)		$	10.07		$	0.07		$	0.01			$	0.08			$	(0.07	)		$	—			$	(0.07	)		$	10.08		0.79	%		0.62	%		0.55	%		1.39	%		$	19,542		58	%
2018			10.08			0.10			—				0.10				(0.10	)			(0.01	)			(0.11	)			10.07		0.95			0.62			0.55			0.99				27,434		156
2017			10.08			0.07			0.01				0.08				(0.07	)			(0.01	)			(0.08	)			10.08		0.80			0.64			0.55			0.74				34,696		126
2016			10.08			0.04			0.01				0.05				(0.04	)			(0.01	)			(0.05	)			10.08		0.50			0.64			0.55			0.39				25		56
2015			10.09			0.04			(0.01	)			0.03				(0.04	)			—				(0.04	)			10.08		0.25			0.60			0.55			0.34				25		57
2014(6)			10.09			0.01			—				0.01				(0.01	)			—				(0.01	)			10.09		0.13			0.59			0.55			0.50				25		86
Short Tax-Free Fund
2019(5)			10.14			0.08			0.02				0.10				(0.08	)			—				(0.08	)			10.16		1.02			0.71			0.55			1.64				5,304		40
2018			10.22			0.14			(0.08	)			0.06				(0.14	)			—				(0.14	)			10.14		0.62			0.67			0.55			1.40				6,502		95
2017			10.24			0.13			(0.02	)			0.11				(0.13	)			(0.00	)			(0.13	)			10.22		1.08			0.76			0.55			1.27				7,166		93
2016			10.20			0.11			0.06				0.17				(0.11	)			(0.02	)			(0.13	)			10.24		1.69			0.77			0.55			1.04				1,151		39
2015			10.20			0.12			0.00				0.12				(0.12	)			—				(0.12	)			10.20		1.21			0.83			0.55			1.15				453		50
2014(6)			10.17			0.03			0.03				0.06				(0.03	)			—				(0.03	)			10.20		0.64			0.83			0.55			1.29				25		69
Short-Term Income Fund
2019(5)			9.27			0.11			0.03				0.14				(0.11	)			—				(0.11	)			9.30		1.48			0.70			0.60			2.33				24,193		25
2018			9.39			0.17			(0.12	)			0.05				(0.17	)			—				(0.17	)			9.27		0.56			0.71			0.60			1.80				26,011		48
2017			9.40			0.15			(0.01	)			0.14				(0.15	)			—				(0.15	)			9.39		1.46			0.72			0.60			1.61				33,311		53
2016			9.33			0.10			0.07				0.17				(0.10	)			—				(0.10	)			9.40		1.87			0.70			0.60			0.98				157		64
2015			9.40			0.09			(0.05	)			0.04				(0.11	)			—				(0.11	)			9.33		0.43			0.69			0.60			1.02				25		29
2014(6)			9.42			0.02			(0.01	)			0.01				(0.03	)			—				(0.03	)			9.40		0.10			0.71			0.60			1.10				25		43
Intermediate Tax-Free Fund
2019(5)			11.13			0.15			0.04				0.19				(0.15	)			—				(0.15	)			11.17		1.72			0.55			0.55			2.72				6,579		38
2018			11.37			0.30			(0.24	)			0.06				(0.30	)			—				(0.30	)			11.13		0.53			0.55			0.55			2.65				14,701		45
2017			11.61			0.29			(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.79			0.57			0.55			2.57				10,842		44
2016			11.26			0.25			0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.18				1,693		42
2015			11.25			0.26			0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.24				2,095		26
2014(6)			11.16			0.07			0.09				0.16				(0.07	)			—				(0.07	)			11.25		1.46			0.60			0.55			2.41				2,044		35
Strategic Income Fund
2019(5)			9.08			0.21			0.03				0.24				(0.21	)			—				(0.21	)			9.11		2.67			0.94			0.80			4.68				12,544		25
2018			9.45			0.37			(0.37	)			0.03				(0.40	)			—				(0.40	)			9.08		0.37			0.92			0.80			4.09				13,602		33
2017			9.43			0.28			0.03				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			3.14				18,354		65
2016			9.31			0.22			0.16				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.27				32		13
2015			9.36			0.22			0.00				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				26		44
2014(6)			9.35			0.03			0.05				0.08				(0.07	)			—				(0.07	)			9.36		0.86			0.94			0.80			2.38				25		129
TCH Corporate Income Fund
2019(5)			12.79			0.23			(0.10	)			0.13				(0.23	)			(0.04	)			(0.27	)			12.65		1.03			0.68			0.59			3.72				3,533		27
2018			13.20			0.40			(0.39	)			0.01				(0.40	)			(0.02	)			(0.42	)			12.79		0.06			0.63			0.59			3.15				1,864		31
2017			13.17			0.35			0.14				0.49				(0.35	)			(0.11	)			(0.46	)			13.20		3.86			0.71			0.59			2.63				1,384		44
2016			12.33			0.45			0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.77				66		62
2015			13.09			0.36			(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				25		26
2014(6)			12.93			0.09			0.17				0.26				(0.10	)			—				(0.10	)			13.09		2.02			0.72			0.59			2.92				25		25
TCH Core Plus Bond Fund
2019(5)			11.41			0.19			(0.04	)			0.15				(0.18	)			—				(0.18	)			11.38		1.37			0.57			0.57			3.29				3,043		23
2018			11.79			0.31			(0.37	)			(0.05	)			(0.32	)			(0.01	)			(0.33	)			11.41		(0.45	)		0.58			0.58			2.69				3,032		45
2017			11.89			0.28			(0.06	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.36				3,337		34
2016			11.42			0.34			0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			2.99				1,434		39
2015			11.95			0.32			(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.71				312		25
2014(6)			11.82			0.08			0.14				0.22				(0.09	)			—				(0.09	)			11.95		1.85			0.60			0.59			2.74				25		44

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

108

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (4)
High Yield Bond Fund
2019(5)		$	9.25		$	0.25		$	(0.06	)		$	0.19			$	(0.25	)		$	—			$	(0.25	)		$	9.19		2.10	%		2.16	%		0.90	%		5.53	%		$	770		11	%
2018			9.58			0.48			(0.33	)			0.15				(0.48	)			—				(0.48	)			9.25		1.62			2.00			0.90			5.12				864		37
2017			9.49			0.44			0.15				0.59				(0.50	)			—				(0.50	)			9.58		6.37			1.42			0.90			5.26				1,010		47
2016			9.41			0.48			0.08				0.56				(0.48	)			—				(0.48	)			9.49		6.22			1.21			0.90			5.15				72,010		51
2015			10.44			0.51			(0.79	)			(0.28	)			(0.51	)			(0.24	)			(0.75	)			9.41		(2.70	)		1.21			0.90			5.13				42,843		46
2014(6)			10.52			0.14			(0.08	)			0.06				(0.14	)			—				(0.14	)			10.44		0.58			1.17			0.90			5.09				25		42

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 28, 2019 (Unaudited).

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

(7) Calculated using the average shares method.

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

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

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

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

Alternatives Strategies Fund			Global Long/Short Equity Fund
	Gross	Net		Gross	Net
2019	2.19%	1.76%	2019	3.56%	1.60%
2018	2.75	2.00	2018	2.83	1.60
2017	2.85	2.15	2017	4.23	1.60
2016	3.05	2.20	2016	8.70	1.60
2015	4.42	2.20

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

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

109

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Low Volatility Equity Fund
2019(5)		$	15.77		$	0.14			$	0.24			$	0.38			$	(0.14	)		$	(1.34	)		$	(1.48	)		$	14.67		2.82	%		0.79	%		0.65	%		1.96	%		$	127,004		19	%
2018			14.42			0.24				1.74				1.98				(0.24	)			(0.39	)			(0.63	)			15.77		14.12			0.78			0.65			1.52				102,815		43
2017			13.84			0.24				0.74				0.98				(0.23	)			(0.17	)			(0.40	)			14.42		7.24			0.78			0.65			1.69				127,837		56
2016			12.84			0.20				1.35				1.55				(0.19	)			(0.36	)			(0.55	)			13.84		12.47			0.80			0.65			1.62				135,413		40
2015			13.22			0.20				0.53				0.73				(0.21	)			(0.90	)			(1.11	)			12.84		5.56			0.87			0.65			1.52				76,792		47
2014			11.28			0.18				2.05				2.23				(0.18	)			(0.11	)			(0.29	)			13.22		19.97			0.89			0.65			1.49				57,421		47
Dividend Income Fund
2019(5)			15.41			0.17				(0.55	)			(0.38	)			(0.16	)			(0.58	)			(0.74	)			14.29		(2.30	)		0.76			0.65			2.65				206,730		23
2018			14.47			0.34				2.64				2.98				(0.34	)			(1.70	)			(2.04	)			15.41		22.17			0.79			0.65			2.31				149,009		39
2017(6)			12.96			0.33				1.60				1.93				(0.31	)			(0.11	)			(0.42	)			14.47		15.15			0.83			0.65			2.37				112,377		43
2016			12.62			0.35				1.08				1.43				(0.33	)			(0.76	)			(1.09	)			12.96		12.07			0.83			0.65			2.68				38,719		51
2015			14.32			0.35				(0.77	)			(0.42	)			(0.36	)			(0.92	)			(1.28	)			12.62		(3.38	)		0.80			0.65			2.50				45,554		46
2014			12.27			0.32				2.51				2.83				(0.31	)			(0.47	)			(0.78	)			14.32		23.87			0.80			0.65			2.43				55,387		45
Large-Cap Value Fund
2019(5)			16.61			0.15				(0.87	)			(0.72	)			(0.16	)			(1.40	)			(1.56	)			14.33		(3.96	)		0.58			0.54			2.01				229,642		30
2018			15.88			0.28				2.14				2.42				(0.24	)			(1.45	)			(1.69	)			16.61		15.83			0.67			0.64			1.64				287,685		54
2017(6)			14.16			0.22				1.83				2.05				(0.21	)			(0.12	)			(0.33	)			15.88		14.66			0.77			0.75			1.47				307,156		62
2016			15.26			0.24				0.53				0.77				(0.26	)			(1.61	)			(1.87	)			14.16		5.57			0.85			0.82			1.83				136,813		60
2015			17.06			0.18				(0.23	)			(0.05	)			(0.13	)			(1.62	)			(1.75	)			15.26		(0.45	)		0.97			0.96			1.04				94,439		72
2014			14.56			0.16				3.56				3.72				(0.16	)			(1.06	)			(1.22	)			17.06		26.74			0.98			0.98			0.95				119,263		68
Large-Cap Growth Fund
2019(5)			21.17			0.07				(1.20	)			(1.13	)			(0.12	)			(2.55	)			(2.67	)			17.37		(4.68	)		0.58			0.54			0.79				249,762		25
2018			17.60			0.11				4.48				4.59				(0.02	)			(1.00	)			(1.02	)			21.17		27.19			0.67			0.64			0.56				279,227		57
2017			15.47			0.10				3.06				3.16				(0.13	)			(0.90	)			(1.03	)			17.60		21.63			0.78			0.75			0.65				278,436		75
2016			16.39			0.07				1.44				1.51				(0.06	)			(2.37	)			(2.43	)			15.47		9.88			0.88			0.82			0.50				95,438		70
2015			18.06			0.07				0.90				0.97				(0.04	)			(2.60	)			(2.64	)			16.39		5.85			0.98			0.96			0.29				72,958		94
2014			15.18			0.06				4.36				4.42				(0.09	)			(1.45	)			(1.54	)			18.06		30.63			0.99			0.99			0.28				130,948		67
Mid-Cap Value Fund
2019(5)			12.58			0.07				(0.70	)			(0.63	)			(0.14	)			(1.33	)			(1.47	)			10.48		(4.36	)		0.99			0.99			1.30				97,799		19
2018			11.89			0.13				1.18				1.31				(0.12	)			(0.50	)			(0.62	)			12.58		11.21			1.00			0.99			1.04				113,786		64
2017			14.38			0.08				1.27				1.35				(0.07	)			(3.77	)			(3.84	)			11.89		13.10			1.01			0.99			0.91				127,304		139
2016			15.01			0.16				0.85				1.01				(0.17	)			(1.47	)			(1.64	)			14.38		7.55			0.98			0.98			1.09				75,608		24
2015			17.63			0.08				(0.60	)			(0.52	)			(0.04	)			(2.06	)			(2.10	)			15.01		(3.29	)		0.97			0.97			0.43				99,160		27
2014			16.23			0.08				3.64				3.72				(0.12	)			(2.20	)			(2.32	)			17.63		24.96			0.95			0.95			0.49				145,606		30
Mid-Cap Growth Fund
2019(5)			18.79			(0.01	)			(0.79	)			(0.80	)			—				(2.95	)			(2.95	)			15.04		(2.75	)		1.06			0.99			(0.09	)			76,694		29
2018			15.39			(0.03	)			4.42				4.39				—				(0.99	)			(0.99	)			18.79		29.76			1.06			0.99			(0.18	)			89,028		63
2017			16.76			0.03				2.19				2.22				(0.05	)			(3.54	)			(3.59	)			15.39		17.07			1.12			0.99			(0.07	)			94,464		157
2016			20.51			0.04				(0.91	)			(0.87	)			—				(2.88	)			(2.88	)			16.76		(4.06	)		1.04			0.99			0.33				39,569		59
2015			24.37			(0.08	)			(0.55	)			(0.63	)			—				(3.23	)			(3.23	)			20.51		(2.61	)		1.00			0.99			(0.26	)			82,768		53
2014			23.26			(0.09	)			4.26				4.17				—				(3.06	)			(3.06	)			24.37		19.43			0.97			0.97			(0.36	)			144,807		57
Small-Cap Value Fund
2019(5)			15.03			0.05				(1.51	)			(1.46	)			(0.09	)			(0.96	)			(1.05	)			12.52		(9.27	)		1.15			0.99			0.82				49,381		36
2018			13.47			0.07				2.61				2.68				—				(1.12	)			(1.12	)			15.03		20.67			1.16			0.99			0.49				56,848		70
2017(6)			13.37			0.04				1.41				1.45				(0.09	)			(1.26	)			(1.35	)			13.47		11.87			1.24			0.99			0.33				56,585		148
2016			12.84			0.05				1.00				1.05				—				(0.52	)			(0.52	)			13.37		8.47			1.14			0.99			0.40				25,522		39
2015			14.50			(0.01	)			(0.84	)			(0.85	)			—				(0.81	)			(0.81	)			12.84		(5.99	)		1.21			0.99			(0.14	)			19,186		53
2014			13.62			0.01				2.25				2.26				—				(1.38	)			(1.38	)			14.50		17.68			1.15			0.99			0.04				16,369		43

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

110

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Small-Cap Core Fund
2019(5)		$	15.23		$	0.02			$	(1.80	)		$	(1.78	)		$	(0.01	)		$	(1.15	)		$	(1.16	)		$	12.29		(11.18	)%		1.43	%		0.90	%		0.28	%		$	18,350		40	%
2018			13.30			0.03				2.74				2.77				(0.01	)			(0.83	)			(0.84	)			15.23		21.46			1.37			0.90			0.21				21,407		89
2017			11.64			0.01				1.89				1.90				(0.04	)			(0.20	)			(0.24	)			13.30		16.33			1.58			0.90			0.14				17,049		90
2016			10.45			0.03				1.25				1.28				(0.01	)			(0.08	)			(0.09	)			11.64		12.37			2.29			0.90			0.44				10,780		70
2015			10.40			0.02				0.03				0.05				—				—				—				10.45		0.48			4.77			0.90			0.17				3,632		64
2014(7)			10.00			0.00				0.40				0.40				—				—				—				10.40		4.00			6.75			0.90			(0.03	)			3,030		43
Small-Cap Growth Fund
2019(5)			22.48			(0.02	)			(2.78	)			(2.80	)			—				(2.75	)			(2.75	)			16.93		(11.59	)		1.03			0.99			(0.30	)			81,302		26
2018			19.00			(0.03	)			5.59				5.56				—				(2.08	)			(2.08	)			22.48		31.83			1.02			0.99			(0.21	)			99,311		80
2017			16.62			(0.14	)			2.52				2.38				—				—				—				19.00		14.32			1.02			1.02			(0.37	)			81,259		197
2016			18.60			(0.10	)			(0.64	)			(0.74	)			—				(1.24	)			(1.24	)			16.62		(3.72	)		1.18			1.18			(0.21	)			179,726		63
2015			22.75			(0.07	)			(0.29	)			(0.36	)			—				(3.79	)			(3.79	)			18.60		(1.27	)		1.15			1.15			(0.35	)			339,016		59
2014			22.55			(0.02	)			3.16				3.14				—				(2.94	)			(2.94	)			22.75		14.69			1.15			1.15			(0.09	)			363,988		82
Global Low Volatility Equity Fund
2019(5)(8)			14.05			0.16				(0.13	)			0.03				(0.40	)			(2.35	)			(2.75	)			11.33		1.06			1.43			0.85			2.23				35,182		20
2018(8)			13.20			0.30				1.05				1.35				(0.37	)			(0.13	)			(0.50	)			14.05		10.44			1.19			0.85			1.94				30,205		34
2017(8)			12.65			0.19				0.64				0.83				(0.20	)			(0.08	)			(0.28	)			13.20		6.76			1.27			0.85			1.98				48,221		74
2016(8)			11.34			0.07				1.33				1.40				(0.09	)			(0.00	)			(0.09	)			12.65		12.44			1.38			0.85			2.26				38,909		36
2015(8)			11.50			0.25				(0.26	)			(0.01	)			(0.10	)			(0.05	)			(0.15	)			11.34		(0.08	)		5.51			0.85			2.16				4,144		31
2014(8)(9)			10.00			0.07				1.43				1.50				—				—				—				11.50		15.00			13.27			0.85			1.76				3,947		29
Disciplined International Equity Fund
2019(5)(10)			10.96			0.03				(0.46	)			(0.43	)			(0.19	)			—				(0.19	)			10.34		(3.75	)		1.00			0.90			1.07				79,572		27
2018(10)			11.19			0.26				(0.25	)			0.01				(0.24	)			—				(0.24	)			10.96		0.05			1.03			0.90			2.33				77,339		84
2017(10)			9.58			0.25				1.64				1.89				(0.28	)			—				(0.28	)			11.19		20.30			1.14			0.90			2.13				72,239		77
2016(10)(11)			10.00			0.23				(0.65	)			(0.42	)			—				—				—				9.58		(4.20	)		1.20			0.90			2.51				67,434		64
Pyrford International Stock Fund
2019(5)(8)			13.18			0.06				(0.27	)			(0.21	)			(0.34	)			—				(0.34	)			12.63		(1.39	)		0.96			0.94			1.10				471,427		5
2018(8)			13.21			0.37				(0.06	)			0.31				(0.34	)			—				(0.34	)			13.18		2.34			0.96			0.94			2.41				485,053		20
2017(6)(8)			12.22			0.32				0.94				1.26				(0.27	)			—				(0.27	)			13.21		10.68			1.05			0.96			2.59				593,746		33
2016(8)			11.78			0.35				0.36				0.71				(0.27	)			—				(0.27	)			12.22		6.21			1.06			0.99			2.44				485,787		12
2015(8)			13.14			0.22				(1.48	)			(1.26	)			(0.10	)			—				(0.10	)			11.78		(9.63	)		1.03			0.99			2.52				626,232		9
2014(8)			12.10			0.39				1.27				1.66				(0.59	)			(0.03	)			(0.62	)			13.14		14.00			1.02			0.99			3.32				272,486		6
LGM Emerging Markets Equity Fund
2019(5)(8)			15.99			0.04				(0.43	)			(0.39	)			(0.19	)			(0.51	)			(0.70	)			14.90		(2.24	)		1.27			1.15			0.46				220,782		24
2018(8)			15.97			0.19				(0.04	)			0.15				(0.13	)			—				(0.13	)			15.99		0.92			1.29			1.15			1.20				201,835		22
2017(6)(8)			14.08			0.15				1.84				1.99				(0.10	)			—				(0.10	)			15.97		14.36			1.38			1.15			1.04				157,581		40
2016(8)			12.16			0.15				1.90				2.05				(0.13	)			—				(0.13	)			14.08		17.12			1.39			1.15			1.07				78,851		24
2015(8)			14.33			0.16				(2.13	)			(1.97	)			(0.20	)			—				(0.20	)			12.16		(13.88	)		1.34			1.15			1.15				85,034		25
2014(8)			12.61			0.23				1.71				1.94				(0.22	)			—				(0.22	)			14.33		15.57			1.30			1.15			1.89				111,807		38
Alternative Strategies Fund
2019(5)			9.82			0.00				(0.45	)			(0.45	)			—				—				—				9.37		(4.59	)		2.12	(12)		1.68	(12)		0.28				63,337		37
2018			10.81			(0.05	)			(0.27	)			(0.32	)			—				(0.67	)			(0.67	)			9.82		(3.31	)		2.79	(12)		2.08	(12)		(0.42	)			73,250		122
2017(8)			10.33			(0.09	)			0.57				0.48				—				—				—				10.81		4.65			3.40	(12)		2.70	(12)		(0.67	)			95,583		251
2016(8)			10.42			(0.05	)			0.07				0.02				(0.01	)			(0.10	)			(0.11	)			10.33		0.16			3.63	(12)		2.82	(12)		(0.75	)			109,128		279
2015(8)(13)			10.00			(0.08	)			0.50				0.42				—				—				—				10.42		4.20			4.69	(12)		2.47	(12)		(1.11	)			34,261		119

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

111

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (4)
Global Long/Short Equity Fund
2019(5)(10)		$	12.04		$	(0.01	)		$	(0.62	)		$	(0.63	)		$	(0.11	)		$	(0.03	)		$	(0.14	)		$	11.27		(5.19	)%		3.78	(12)%		1.88	(12)%		0.07	%		$	5,129		24	%
2018(10)			12.25			0.04				0.20				0.24				(0.03	)			(0.42	)			(0.45	)			12.04		1.91			3.47	(12)		2.22	(12)		0.28				9,148		79
2017(10)			10.70			0.05				1.66				1.71				(0.07	)			(0.09	)			(0.16	)			12.25		16.10			4.80	(12)		2.17	(12)		0.27				8,967		42
2016(10)(11)			10.00			0.04				0.66				0.70				—				—				—				10.70		7.00			9.21	(12)		2.11	(12)		0.50				3,717		45
Ultra Short Tax-Free Fund
2019(5)			10.06			0.08				0.01				0.09				(0.08	)			—				(0.08	)			10.07		0.92			0.37			0.30			1.65				572,793		58
2018			10.08			0.13				(0.01	)			0.12				(0.13	)			(0.01	)			(0.14	)			10.06		1.10			0.37			0.30			1.25				572,669		156
2017			10.07			0.10				0.02				0.12				(0.10	)			(0.01	)			(0.11	)			10.08		1.15			0.39			0.30			0.94				625,691		126
2016			10.08			0.07				—				0.07				(0.07	)			(0.01	)			(0.08	)			10.07		0.65			0.39			0.30			0.65				548,641		56
2015			10.09			0.06				(0.01	)			0.05				(0.06	)			—				(0.06	)			10.08		0.50			0.35			0.30			0.59				702,324		57
2014			10.04			0.09				0.05				0.14				(0.09	)			—				(0.09	)			10.09		1.35			0.34			0.30			0.82				663,538		86
Short Tax-Free Fund
2019(5)			10.14			0.09				0.03				0.12				(0.09	)			—				(0.09	)			10.17		1.19			0.46			0.40			1.80				172,501		40
2018			10.22			0.16				(0.08	)			0.08				(0.16	)			—				(0.16	)			10.14		0.77			0.48			0.40			1.56				182,022		95
2017			10.25			0.14				(0.03	)			0.11				(0.14	)			(0.00	)			(0.14	)			10.22		1.14			0.51			0.40			1.39				175,454		93
2016			10.20			0.13				0.07				0.20				(0.13	)			(0.02	)			(0.15	)			10.25		1.94			0.52			0.40			1.18				168,592		39
2015			10.21			0.14				(0.01	)			0.13				(0.14	)			—				(0.14	)			10.20		1.26			0.58			0.40			1.32				105,734		50
2014			9.95			0.15				0.26				0.41				(0.15	)			—				(0.15	)			10.21		4.12			0.62			0.40			1.45				78,050		69
Short-Term Income Fund
2019(5)			9.29			0.12				0.02				0.14				(0.12	)			—				(0.12	)			9.31		1.50			0.45			0.35			2.59				228,312		25
2018			9.40			0.20				(0.11	)			0.09				(0.20	)			—				(0.20	)			9.29		0.92			0.46			0.35			2.06				214,068		48
2017			9.42			0.17				(0.02	)			0.15				(0.17	)			—				(0.17	)			9.40		1.60			0.47			0.35			1.76				209,278		53
2016			9.35			0.11				0.09				0.20				(0.13	)			—				(0.13	)			9.42		2.12			0.45			0.35			1.16				234,507		64
2015			9.42			0.12				(0.06	)			0.06				(0.13	)			—				(0.13	)			9.35		0.69			0.44			0.35			1.24				263,894		29
2014			9.39			0.13				0.04				0.17				(0.14	)			—				(0.14	)			9.42		1.80			0.43			0.35			1.35				142,526		43
Intermediate Tax-Free Fund
2019(5)			11.12			0.15				0.05				0.20				(0.16	)			—				(0.16	)			11.16		1.92			0.31			0.31			3.02				1,213,542		38
2018			11.37			0.32				(0.25	)			0.07				(0.32	)			—				(0.32	)			11.12		0.68			0.31			0.31			2.88				894,463		45
2017			11.60			0.31				(0.20	)			0.11				(0.31	)			(0.03	)			(0.34	)			11.37		1.11			0.32			0.32			2.79				631,658		44
2016			11.26			0.28				0.36				0.64				(0.28	)			(0.02	)			(0.30	)			11.60		5.71			0.32			0.32			2.43				601,873		42
2015			11.25			0.28				0.01				0.29				(0.28	)			—				(0.28	)			11.26		2.60			0.32			0.32			2.46				559,937		26
2014			10.66			0.31				0.59				0.90				(0.31	)			0.00				(0.31	)			11.25		8.50			0.36			0.36			2.77				396,291		35
Strategic Income Fund
2019(5)			9.08			0.21				0.04				0.25				(0.22	)			—				(0.22	)			9.11		2.79			0.68			0.55			4.91				9,725		25
2018			9.44			0.40				(0.36	)			0.07				(0.43	)			—				(0.43	)			9.08		0.72			0.67			0.55			4.31				12,701		33
2017			9.42			0.27				0.06				0.33				(0.31	)			—				(0.31	)			9.44		3.58			0.65			0.55			2.68				21,550		65
2016			9.31			0.23				0.17				0.40				(0.29	)			—				(0.29	)			9.42		4.32			0.61			0.55			2.53				21,663		13
2015			9.35			0.24				0.01				0.25				(0.29	)			—				(0.29	)			9.31		2.70			0.68			0.55			2.61				22,981		44
2014			9.16			0.23				0.23				0.46				(0.27	)			—				(0.27	)			9.35		5.13			0.67			0.55			2.45				28,473		129
TCH Corporate Income Fund
2019(5)			12.78			0.24				(0.10	)			0.14				(0.24	)			(0.04	)			(0.28	)			12.64		1.11			0.42			0.42			3.83				193,839		27
2018			13.19			0.42				(0.39	)			0.03				(0.42	)			(0.02	)			(0.44	)			12.78		0.19			0.45			0.45			3.24				140,395		31
2017			13.15			0.37				0.15				0.52				(0.37	)			(0.11	)			(0.48	)			13.19		4.07			0.46			0.46			2.84				134,293		44
2016			12.32			0.46				0.88				1.34				(0.46	)			(0.05	)			(0.51	)			13.15		11.28			0.47			0.47			3.77				129,429		62
2015			13.07			0.38				(0.70	)			(0.32	)			(0.38	)			(0.05	)			(0.43	)			12.32		(2.53	)		0.45			0.45			2.97				162,107		26
2014			12.37			0.45				0.91				1.36				(0.45	)			(0.21	)			(0.66	)			13.07		11.32			0.49			0.49			3.50				121,773		25

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

112

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (4)
TCH Core Plus Bond Fund
2019(5)		$	11.40		$	0.20		$	(0.02	)		$	0.18			$	(0.20	)		$	—			$	(0.20	)		$	11.38		1.58	%		0.32	%		0.32	%		3.53	%		$	886,032		23	%
2018			11.78			0.34			(0.37	)			(0.03	)			(0.34	)			(0.01	)			(0.35	)			11.40		(0.20	)		0.33			0.33			2.95				981,569		45
2017			11.89			0.31			(0.07	)			0.24				(0.31	)			(0.04	)			(0.35	)			11.78		2.08			0.34			0.34			2.62				975,051		34
2016			11.42			0.37			0.48				0.85				(0.38	)			(0.00	)			(0.38	)			11.89		7.63			0.34			0.34			3.25				459,228		39
2015			11.94			0.34			(0.45	)			(0.11	)			(0.35	)			(0.06	)			(0.41	)			11.42		(0.96	)		0.33			0.33			2.94				472,576		25
2014			11.32			0.33			0.65				0.98				(0.34	)			(0.02	)			(0.36	)			11.94		8.82			0.37			0.37			2.89				422,941		44
High Yield Bond Fund
2019(5)			9.24			0.26			(0.06	)			0.20				(0.26	)			—				(0.26	)			9.18		2.22			1.91			0.65			5.76				9,646		11
2018			9.57			0.50			(0.33	)			0.17				(0.50	)			—				(0.50	)			9.24		1.87			1.75			0.65			5.36				10,462		37
2017			9.49			0.52			0.08				0.60				(0.52	)			—				(0.52	)			9.57		6.53			1.17			0.65			5.50				12,303		47
2016			9.41			0.50			0.08				0.58				(0.50	)			—				(0.50	)			9.49		6.47			0.96			0.65			5.43				34,345		51
2015			10.44			0.54			(0.79	)			(0.25	)			(0.54	)			(0.24	)			(0.78	)			9.41		(2.46	)		0.96			0.65			5.46				30,173		46
2014			10.32			0.58			0.26				0.84				(0.58	)			(0.14	)			(0.72	)			10.44		8.32			0.85			0.65			5.53				37,307		42

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 28, 2019 (Unaudited).

(6) Calculated using the average shares method.

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

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

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

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

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

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

Alternatives Strategies Fund			Global Long/Short Equity Fund
	Gross	Net		Gross	Net
2019	1.94%	1.50%	2019	3.25%	1.35%
2018	2.46	1.75	2018	2.60	1.35
2017	2.60	1.90	2017	3.98	1.35
2016	2.76	1.95	2016	8.45	1.35
2015	4.17	1.95

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

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

113

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain			Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																Gross Expenses			Net Expenses (4)			Net investment income (4)
Government Money Market Fund
2019(5)		$	1.00		$	0.01		$	—		$	0.01			$	(0.01	)		$	—			$	(0.01	)		$	1.00		1.02	%		0.25	%		0.20	%		2.06	%		$	2,359,077		—	%
2018			1.00			0.01			0.00			(0.01	)			(0.01	)			—				(0.01	)			1.00		1.30			0.25			0.20			1.30				2,641,069		—
2017			1.00			0.00			0.00			0.00				0.00				0.00				0.00				1.00		0.45			0.25			0.20			0.45				2,269,361		—
2016			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.11			0.28			0.18			0.12				1,967,459		—
2015			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.28			0.08			0.01				467,294		—
2014			1.00			0.00			—			0.00				(0.00	)			—				(0.00	)			1.00		0.01			0.29			0.07			0.01				427,913		—
Tax-Free Money Market Fund
2019(5)			1.00			0.01			—			0.01				(0.01	)			—				(0.01	)			1.00		0.71			0.30			0.20			1.44				360,371		—
2018			1.00			0.01			0.00			0.01				(0.01	)			(0.00	)			(0.01	)			1.00		1.05			0.31			0.20			1.07				305,424		—
2017			1.00			0.01			0.00			0.01				(0.01	)			(0.00	)			(0.01	)			1.00		0.62			0.32			0.20			0.57				238,772		—
2016			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.17			0.28			0.16			0.13				313,954		—
2015			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.28			0.16			0.01				515,005		—
2014			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.28			0.19			0.02				453,901		—
Prime Money Market Fund
2019			1.00			0.01			—			0.01				(0.01	)			—				(0.01	)			1.00		1.10			0.27			0.20			2.24				235,898		—
2018			1.00			0.01			—			0.01				(0.01	)			—				(0.01	)			1.00		1.50			0.27			0.20			1.52				268,487		—
2017			1.00			0.01			0.00			0.01				(0.01	)			(0.00	)			(0.01	)			1.00		0.67			0.28			0.20			0.61				166,338		—
2016			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.22			0.20			0.20			0.21				668,609		—
2015			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.20			0.18			0.01				2,576,245		—
2014			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.20			0.18			0.01				1,968,436		—
Institutional Prime Money Market Fund
2019			1.0001			0.0111			—			0.0111				(0.0111	)			—				(0.0111	)			1.0001		1.12			0.27			0.20			2.26				584,140		—
2018			1.0001			0.0153			0.00			0.0153				(0.0153	)			(0.00	)			(0.0153	)			1.0001		1.54			0.29			0.20			1.55				479,413		—
2017(6)			1.00			0.0074			0.0001			0.0075				(0.0074	)			(0.00	)			(0.0074	)			1.0001		0.75			0.30			0.20			0.74				400,203		—
2016(7)			1.00			0.00			0.00			0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.00			0.29			0.20			0.37				415,218		—

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 28, 2019 (Unaudited).

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

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

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

114

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Large-Cap Value Fund
2019(5)		$	16.62		$	0.71			$	(0.88	)		$	(0.17	)		$	(0.71	)		$	(1.40	)		$	(2.11	)		$	14.34		(3.90	)%		0.44	%		0.39	%		2.17	%		$	70,837		30	%
2018			15.88			(0.48	)			2.94				2.46				(0.27	)			(1.45	)			(1.72	)			16.62		16.07			0.42			0.39			1.97				81,786		54
2017(6)			14.17			0.26				1.81				2.07				(0.24	)			(0.12	)			(0.36	)			15.88		14.75			0.62			0.60			1.64				1,479		62
2016(7)			13.81			0.21				0.30				0.51				(0.15	)			—				(0.15	)			14.17		3.77			0.63			0.60			2.27				52		60
Large-Cap Growth Fund
2019(5)			21.21			0.08				(1.19	)			(1.11	)			(0.15	)			(2.55	)			(2.70	)			17.40		(4.60	)		0.44			0.39			0.95				58,762		25
2018			17.62			0.11				4.52				4.63				(0.04	)			(1.00	)			(1.04	)			21.21		27.36			0.43			0.40			0.87				60,971		57
2017			15.49			0.09				3.10				3.19				(0.16	)			(0.90	)			(1.06	)			17.62		21.83			0.63			0.60			0.75				2,852		75
2016(7)			14.75			0.07				0.67				0.74				—				—				—				15.49		5.02			0.66			0.60			0.72				53		70
Mid-Cap Value Fund
2019(5)			12.60			0.08				(0.71	)			(0.63	)			(0.16	)			(1.33	)			(1.49	)			10.48		(4.35	)		0.84			0.84			1.44				28,547		19
2018			11.90			0.14				1.19				1.33				(0.13	)			(0.50	)			(0.63	)			12.60		11.41			0.83			0.83			1.24				31,173		64
2017			14.38			0.11				1.26				1.37				(0.08	)			(3.77	)			(3.85	)			11.90		13.31			0.86			0.84			1.05				14,714		139
2016			15.03			0.18				0.84				1.02				(0.20	)			(1.47	)			(1.67	)			14.38		7.65			0.83			0.83			1.28				11,332		24
2015			17.65			0.11				(0.62	)			(0.51	)			(0.05	)			(2.06	)			(2.11	)			15.03		(3.19	)		0.82			0.82			0.64				8,776		27
2014(8)			16.58			0.03				1.04				1.07				—				—				—				17.65		6.45			0.80			0.80			0.71				27		30
Mid-Cap Growth Fund
2019(5)			18.91			0.01				(0.81	)			(0.80	)			—				(2.95	)			(2.95	)			15.16		(2.73	)		0.91			0.84			0.06				18,353		29
2018			15.46			0.00				4.44				4.44				—				(0.99	)			(0.99	)			18.91		29.96			0.88			0.84			—				23,005		63
2017			16.83			0.07				2.18				2.25				(0.08	)			(3.54	)			(3.62	)			15.46		17.22			0.97			0.84			(0.13	)			592		157
2016			20.55			0.09				(0.93	)			(0.84	)			—				(2.88	)			(2.88	)			16.83		(3.89	)		0.89			0.84			0.49				25		59
2015			24.38			(0.03	)			(0.57	)			(0.60	)			—				(3.23	)			(3.23	)			20.55		(2.47	)		0.85			0.84			(0.12	)			26		53
2014(8)			23.30			(0.02	)			1.10				1.08				—				—				—				24.38		4.64			0.84			0.84			(0.24	)			26		57
Small-Cap Value Fund
2019(5)			15.13			0.06				(1.52	)			(1.46	)			(0.09	)			(0.96	)			(1.05	)			12.62		(9.19	)		1.00			0.84			0.95				10,128		36
2018			13.53			0.04				2.68				2.72				—				(1.12	)			(1.12	)			15.13		20.89			0.97			0.84			0.69				14,260		70
2017(6)			13.42			0.05				1.42				1.47				(0.10	)			(1.26	)			(1.36	)			13.53		12.05			1.09			0.84			0.37				2,653		148
2016			12.87			0.07				1.00				1.07				—				(0.52	)			(0.52	)			13.42		8.61			0.99			0.84			0.60				926		39
2015			14.50			(0.00	)			(0.82	)			(0.82	)			—				(0.81	)			(0.81	)			12.87		(5.78	)		1.06			0.84			0.01				134		53
2014(8)			14.07			0.01				0.42				0.43				—				—				—				14.50		3.06			1.06			0.84			0.25				26		43
Pyrford International Stock Fund
2019(5)(9)			13.20			0.06				(0.26	)			(0.20	)			(0.37	)			—				(0.37	)			12.63		(1.36	)		0.81			0.79			1.26				169,577		5
2018(9)			13.22			0.35				(0.01	)			0.34				(0.36	)			—				(0.36	)			13.20		2.55			0.81			0.79			3.32				155,368		20
2017(6)(9)			12.23			0.40				0.88				1.28				(0.29	)			—				(0.29	)			13.22		10.85			0.90			0.81			3.21				48,889		33
2016(9)			11.79			0.20				0.53				0.73				(0.29	)			—				(0.29	)			12.23		6.35			0.91			0.84			2.85				16,100		12
2015(9)			13.15			0.20				(1.45	)			(1.25	)			(0.11	)			—				(0.11	)			11.79		(9.56	)		0.88			0.84			3.42				6,560		9
2014(8)(9)			13.15			0.08				(0.08	)			0.00				—				—				—				13.15		0.00			0.88			0.84			2.36				25		6

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 28, 2019 (Unaudited).

(6) Calculated using the average shares method.

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

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

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

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

115

February 28, 2019 (Unaudited)

Notes to Financial Statements

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of February 28, 2019, the Corporation consisted of 42 portfolios, including 27 diversified portfolios within this semi-annual report (individually referred to as the “Fund,” or collectively as the “Funds”) each with differing share class offerings, as well as 10 target retirement and 5 target risk portfolios whose semi-annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

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

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

2. Significant Accounting Policies

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

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

Investment Valuations—Listed equity securities are valued each trading day at the last sale price or official closing price reported on a national securities exchange. Securities listed on a foreign exchange are valued each trading day at the last closing price on the principal exchange on which they are traded immediately prior to the time for determination of Net Asset Value (“NAV”) or at fair value as discussed below. Equity securities without a reported trade, U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities with maturities of 60 days or more, unlisted securities, and private placement securities are generally valued at the mean of the latest bid and asked price as

116

BMO Funds

furnished by an independent pricing service. Fixed income securities that are not exchange traded are valued by an independent pricing service, taking into consideration yield, liquidity, risk, credit quality, coupon, maturity, type of issue, and any other factors or market data the pricing service deems relevant. Fixed income securities with remaining maturities of 60 days or less at the time of purchase and of sufficient credit quality, are valued at amortized cost, which approximates fair value. Investments in other open-end registered investment companies are valued at net asset value.

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

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

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

Foreign Currency Translation—The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities, income, and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The effect of changes in foreign exchange rates on realized and unrealized gains or losses on securities is reflected as a component of such gains or losses.

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

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

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

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

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

117

Notes to Financial Statements (continued)

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

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

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

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

Total Return Basket Swaps—Certain Funds may enter into total return basket swap agreements to obtain exposure to a portfolio of long and/or short securities. Under the terms of the agreements, the swaps are designed to model a portfolio of direct investments of long and short equity positions. The value of the swap represents the accumulated value of the underlying long and short positions within the model portfolio at period end. The swap value will reflect all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, dividends, and interest. The swap value also includes finance charges and credits, primarily associated with short positions, that are based on defined market rates plus or minus a specified spread and accrued monthly. All positions within the swap are reset periodically. During a reset, the Funds have the ability to increase, reduce, add, or eliminate long and short positions within the swap. Any realized gains (losses) from positions, income, proceeds from corporate actions, and accrued financing costs affect the periodic cash settlement between the Funds and the swap counterparty and are included in the swap value in net cash and other receivables (payables). Cash settlement in and out of the swap may occur at a reset date, or any other date, at the discretion of the Funds and the counterparty over the life of the agreement. A change in the market value of a swap contract is recognized as net change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net realized gain (loss) from expiration or closing of swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments and include the list of security positions within the current model portfolio of the swap.

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

When-Issued and Delayed Delivery Transactions—The Funds may engage in when-issued or delayed delivery transactions. The Funds record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the commitment to purchase securities. Securities purchased on a when-issued or

118

BMO Funds

delayed delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

Investment Income, Expenses, and Distributions—Interest income and expenses are accrued daily. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on the ex-dividend date except in the case of certain foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Funds’ information agents become aware of such dividends. Non-cash dividends included in dividend income, if any, are recorded at fair value. Paid-in-kind interest included in interest income, if any, is accrued daily.

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

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

Money Market Funds—Rule 2a-7 under the Act effectively includes three categories of money market funds: “Government,” “Retail,” and “Institutional.” The BMO Government Money Market Fund operates as a Government money market fund. The BMO Tax-Free Money Market Fund and BMO Prime Money Market Fund operate as Retail money market funds. The BMO Institutional Prime Money Market Fund operates as an Institutional money market fund. Each money market fund is operated to comply with the various requirements of Rule 2a-7.

As a Government money market fund, the BMO Government Money Market Fund invests at least 99.5% of its total assets in U.S. government securities, cash, and/or repurchase agreements that are collateralized fully (as defined in Rule 2a-7 under the Act). As Retail money market funds, BMO Tax-Free Money Market Fund and BMO Prime Money Market Fund have adopted policies and procedures reasonably designed to limit investments in the Fund to accounts beneficially owned by natural persons. Each Government and Retail money market fund uses the amortized cost method of valuing portfolio instruments, which approximates fair value, and seeks to transact at a stable $1.00 NAV per share.

As an Institutional money market fund, BMO Institutional Prime Money Market Fund operates with a floating NAV reflecting the current market-based values of its portfolio securities, except as otherwise generally permitted for securities with remaining maturities of 60 days or less, which generally are valued at amortized cost. BMO Institutional Prime Money Market Fund also is required to round its NAV to four decimal places (e.g., $1.0000).

The Institutional and Retail money market funds have adopted policies and procedures imposing a fee upon the sale of shares (“Liquidity Fee”) or temporarily suspending the ability to sell shares if the Fund’s liquidity falls below designated thresholds (“Redemption Gate”). The Board of Directors has chosen not to subject the BMO Government Money Market Fund to a Liquidity Fee or a Redemption Gate, and may do so in the future only with advance notice to shareholders.

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

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

Cash collateral received as part of the International Funds securities lending program was invested in the following security as of February 28, 2019:

Description	Value
BMO Institutional Prime Money Market Fund, 2.433%	$	15,020,806

119

Notes to Financial Statements (continued)

Cash collateral received as part of the non-International Funds securities lending program was jointly pooled and invested in the following securities as of February 28, 2019

Description	Value
Atlantic Asset Securitization LLC, 2.814% (LIBOR 1 Month + 30 Basis point), 5/02/2019 (1)	$	6,750,000
Bank of Nova Scotia, 2.866% (LIBOR 3 Month + 28 Basis point), 10/21/2019 (1)		5,008,810
BEDFORD ROW FUNDING, 2.833% (LIBOR 1 Month + 32 Basis point), 6/06/2019 (1)		8,500,000
Bedford Row Funding Corp., 2.737% (LIBOR 1 Month + 22 Basis point), 9/09/2019 (1)		5,750,000
Bedford Row Funding Corp., 2.779% (LIBOR 1 Month + 29 Basis point), 3/15/2019 (1)		7,500,000
Bedford Row Funding Corp., 2.817% (LIBOR 1 Month + 30 Basis point), 4/11/2019 (1)		5,500,000
Bedford Row Funding Corp., 2.952% (LIBOR 3 Month + 13 Basis point), 6/27/2019 (1)		7,500,000
BlackRock Liquidity Funds FedFund Portfolio, 2.415%, 3/01/2019 (2)		9,346,940
BMO Government Money Market Fund, 2.298%, 3/01/2019 (3)		38,000,000
BMO Institutional Prime Money Market Fund, 2.433%, 3/01/2019 (3)		310,031,000
CAFCO LLC, 2.578%, 6/05/2019 (2)		7,448,800
Canadian Imperial Bank of Commerce/New York NY, 2.892% (LIBOR 3 Month + 10 Basis point), 9/20/2019 (1)		7,503,210
Collateralized Commercial Paper Co. LLC, 2.574% (LIBOR 1 Month + 28 Basis point), 3/01/2019 (1)		6,500,065
Collateralized Commercial Paper Co. LLC, 2.754%, 3/15/2019 (2)		7,500,248
Credit Suisse New York, 2.930%, 7/22/2019 (2)		5,455,973
Home Depot, Inc, 2.402%, 3/12/2019 (2)		6,994,867
HSBC Bank USA NA, 2.667% (LIBOR 1 Month + 15 Basis point), 9/11/2019 (1)		5,000,020
HSBC Bank USA NA, 2.730% (LIBOR 1 Month + 24 Basis point), 4/25/2019 (1)		7,502,685
HSBC Bank USA NA, 2.737% (LIBOR 3 Month), 8/05/2019 (1)		5,499,973
HSBC Bank USA NA, 2.740%, 6/27/2019 (2)		5,002,140
HSBC Bank USA NA, 2.764% (LIBOR 1 Month + 25 Basis point), 10/03/2019 (1)		5,002,890
Lexington Parker Capital Co. LLC, 2.501%, 3/05/2019 (2)		5,998,333
Lexington Parker Capital Co. LLC, 2.530%, 3/04/2019 (2)		4,998,946
Lexington Parker Capital Co. LLC, 2.582%, 5/06/2019 (2)		7,464,663
Liberty Street Funding LLC, 2.658%, 6/03/2019 (2)		6,951,747
LMA Americas LLC, 2.552%, 3/14/2019 (2)		6,993,554
LMA Americas LLC, 2.710%, 4/18/2019 (2)		7,473,000
LMA Americas LLC, 2.761%, 4/24/2019 (2)		7,469,063
Longship Funding LLC, 2.441%, 3/05/2019 (2)		9,997,289
Longship Funding LLC, 2.441%, 3/06/2019 (2)		7,497,458
Longship Funding LLC, 2.450%, 3/01/2019 (2)		15,000,000
Mizuho Bank Ltd., 2.650% (LIBOR 1 Month + 16 Basis point), 8/27/2019 (1)		3,999,828
Mizuho Bank Ltd., 2.683% (LIBOR 1 Month + 19 Basis point), 3/11/2019 (1)		7,000,546
Mizuho Bank Ltd., 2.707% (LIBOR 1 Month + 19 Basis point), 4/10/2019 (1)		7,501,455
Mizuho Bank Ltd., 2.791% (LIBOR 3 Month + 2 Basis point), 7/25/2019 (1)		5,000,365
Mizuho Bank Ltd., 2.877% (LIBOR 3 Month + 30 Basis point), 4/30/2019 (1)		7,503,465
Mizuho Bank, Ltd, 2.673% (LIBOR 1 Month + 16 Basis point), 8/08/2019 (1)		6,500,000
MUFG Bank, Ltd., 2.701%, 5/22/2019 (2)		6,352,616

Description	Value
MUFG Bank, Ltd., 2.819% (LIBOR 1 Month + 33 Basis point), 8/15/2019 (1)	$	7,506,532
MUFG Bank, Ltd., 2.879% (LIBOR 3 Month + 10 Basis point), 10/24/2019 (1)		7,504,717
Nationwide Building Society, 2.494%, 3/26/2019 (2)		7,487,031
Nationwide Building Society, 2.773%, 6/18/2019 (2)		6,445,879
Nationwide Building Society, 2.776%, 7/01/2019 (2)		4,953,403
Nationwide Building Society, 2.785%, 5/10/2019 (2)		7,459,604
Nationwide Building Society, 2.806%, 6/28/2019 (2)		7,431,079
Natixis S.A., 2.833%, 6/26/2019 (2)		5,001,215
Natixis S.A., 2.850%, 6/12/2019 (2)		7,503,877
Nordea Bank AB, 2.894% (LIBOR 1 Month + 16 Basis point), 3/14/2019 (1)		5,000,410
Norinchukin Bank, 2.550%, 3/22/2019 (2)		6,500,390
Novartis Finance Corp., 2.484%, 3/25/2019 (2)		7,986,773
Old Line Funding LLC, 2.651% (LIBOR 1 Month + 17 Basis point), 4/22/2019 (1)		5,000,000
Old Line Funding LLC, 2.660% (LIBOR 1 Month + 18 Basis point), 4/16/2019 (1)		7,000,000
Old Line Funding LLC, 2.982% (LIBOR 1 Month + 50 Basis point), 3/21/2019 (1)		5,000,000
Praxair, Inc., 2.455%, 3/29/2019 (2)		7,485,708
Regency Markets No. 1 LLC, 2.501%, 3/07/2019 (2)		7,496,875
Regency Markets No. 1 LLC, 2.501%, 3/08/2019 (2)		17,491,493
Sheffield Receivables Co. LLC, 2.612%, 5/06/2019 (2)		4,976,167
Sheffield Receivables Co. LLC, 2.626%, 4/02/2019 (2)		5,487,191
Sheffield Receivables Co. LLC, 2.840%, 5/30/2019 (2)		8,500,000
Sheffield Receivables Co. LLC, 2.866%, 6/24/2019 (2)		7,431,959
Sheffield Receivables Co. LLC, 2.890%, 5/15/2019 (2)		6,750,000
Skandinaviska Enskilda Banken AB, 2.618% (LIBOR 1 Month + 12 Basis point), 8/13/2019 (1)		6,499,727
Skandinaviska Enskilda Banken AB, 2.706%, 3/29/2019 (2)		4,989,500
Starbird Funding Corp., 2.420%, 3/01/2019 (2)		13,500,000
State Street Bank & Trust Co., 2.731% (LIBOR 1 Month + 25 Basis point), 4/22/2019 (1)		6,002,130
Sumitomo Mitsui Banking Corp., 2.693% (LIBOR 1 Month + 20 Basis point), 3/28/2019 (1)		7,501,395
Sumitomo Mitsui Banking Corp., 2.922% (LIBOR 3 Month + 15 Basis point), 4/23/2019 (1)		6,501,313
Sumitomo Mitsui Trust Bank, Ltd., 2.914% (LIBOR 3 Month + 12 Basis point), 7/08/2019 (1)		5,001,690
Swedbank AB, 2.400%, 3/01/2019 (2)		12,161,000
Thunder Bay Funding LLC, 2.882% (LIBOR 1 Month + 37 Basis point), 3/07/2019 (1)		5,850,000
Toronto-Dominion Bank, 2.830% (LIBOR 1 Month + 34 Basis point), 8/23/2019 (1)		7,200,000
Toronto-Dominion Bank, 2.909% (LIBOR 3 Month + 13 Basis point), 7/16/2019 (1)		7,500,000
Toronto-Dominion Bank, 2.922% (LIBOR 3 Month + 15 Basis point), 4/23/2019 (1)		5,000,000
Toronto-Dominion Bank, 2.927% (LIBOR 3 Month + 13 Basis point), 10/15/2019 (1),(2)		5,653,074
Toyota Motor Credit Corp., 2.859% (LIBOR 3 Month + 8 Basis point), 4/12/2019 (1)		7,500,000
Toyota Motor Credit Corp., 2.897% (LIBOR 3 Month + 10 Basis point), 10/11/2019 (1)		7,500,000
U.S. Bank NA, 2.910%, 7/23/2019 (2)		5,006,150
Victory Receivables Corp, 2.767%, 4/02/2019 (2)		7,481,600
Walmart, Inc., 2.390%, 3/01/2019 (2)		15,000,000
Wells Fargo Bank NA, 2.790% (LIBOR 1 Month + 30 Basis point), 7/23/2019 (1)		7,005,103

120

BMO Funds

Description	Value
Wells Fargo Bank NA, 2.948% (LIBOR 3 Month + 14 Basis point), 6/28/2019 (1)	$	7,505,010
Wells Fargo Bank NA, 3.004% (LIBOR 3 Month + 20 Basis point), 1/08/2020 (1)		7,510,605
Westpac Banking Corp., 2.700%, 2/14/2020 (2)		7,249,978

Description	Value
Westpac Banking Corp., 2.906% (LIBOR 3 Month + 10 Basis point), 10/04/2019 (1),(2)	$	5,002,005
Other		(167,146	)
Total	$	930,353,386

(1) Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 28, 2019.

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

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

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

Commitments and Contingencies—In the normal course of business, the Corporation enters into contracts that provide general indemnifications to other parties. The Corporation’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Corporation that have not yet occurred. However, the Corporation has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Other—Investment transactions are accounted for on a trade date basis. Net realized gains and losses on securities are computed on the basis of specific security lot identification.

3. Fair Value Measurement

Fair Valuation Measurement defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It establishes a fair value hierarchy that distinguishes between (1) market participant assumptions developed based on market data obtained from sources independent of the reporting issuer (observable inputs), and (2) the reporting issuer’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly and how that information must be incorporated into fair value measurement.

In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820)—Disclosures Framework—Changes to Disclosure Requirements of Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years; however, management has elected to early adopt ASU 2018-13 effective with the current reporting period as permitted by the standard. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy and disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, when applicable.

Various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels listed below:

Level 1—quoted prices in active markets for identical securities. An active market for the security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Common and preferred stocks, options and futures contracts, and U.S. registered mutual funds are generally categorized as Level 1.

Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Fixed income securities, repurchase agreements, cash collateral received as part of the securities lending program, and securities valued by an independent fair value pricing service are generally categorized as Level 2.

Level 3—significant unobservable inputs, including management’s own assumptions in determining the fair value of investments.

For the period ended February 28, 2019, the Fund had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy. The Funds did not hold any Level 3 securities as of February 28, 2019.

121

Notes to Financial Statements (continued)

The following is a summary of the inputs used, as of February 28, 2019, in valuing the Funds’ assets:

	Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	149,285,475	$	—	$	—	$	149,285,475
Short-Term Investments		3,159,983		67,630,658		—		70,790,641
Total	$	152,445,458	$	67,630,658	$	—	$	220,076,116
	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	213,998,757	$	—	$	—	$	213,998,757
Short-Term Investments		6,462,305		101,536,426		—		107,998,731
Total	$	220,461,062	$	101,536,426	$	—	$	321,997,488
	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	317,450,882	$	—	$	—	$	317,450,882
Short-Term Investments		3,185,825		122,679,982		—		125,865,807
Total	$	320,636,707	$	122,679,982	$	—	$	443,316,689
	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	357,218,979	$	—	$	—	$	357,218,979
Short-Term Investments		10,674,510		144,779,531		—		155,454,041
Total	$	367,893,489	$	144,779,531	$	—	$	512,673,020
	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	169,651,690	$	—	$	—	$	169,651,690
Short-Term Investments		3,724,762		83,041,749		—		86,766,511
Total	$	173,376,452	$	83,041,749	$	—	$	256,418,201
	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	108,902,810	$	—	$	—	$	108,902,810
Short-Term Investments		1,237,849		52,633,924		—		53,871,773
Total	$	110,140,659	$	52,633,924	$	—	$	162,774,583
	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	62,055,705	$	—	$	—	$	62,055,705
Short-Term Investments		1,478,856		29,841,545		—		31,320,401
Total	$	63,534,561	$	29,841,545	$	—	$	93,376,106
	Small-Cap Core Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	20,528,239	$	—	$	—	$	20,528,239
Short-Term Investments		268,152		10,100,431		—		10,368,583
Total	$	20,796,391	$	10,100,431	$	—	$	30,896,822
	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks	$	122,744,977	$	—	$	—	$	122,744,977
Short-Term Investments		1,731,886		56,559,511		—		58,291,397
Total	$	124,476,863	$	56,559,511	$	—	$	181,036,374

	Global Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	181,963	$	—	$	—	$	181,963
Bermuda		386,119		—		—		386,119
Brazil		331,723		—		—		331,723
Canada		3,643,334		—		—		3,643,334
Cayman Islands		253,515		—		—		253,515
China		383,930		—		—		383,930
Czech Republic		926,737		—		—		926,737
Denmark		214,123		—		—		214,123
France		30,625		—		—		30,625
Germany		87,415		—		—		87,415
Guernsey		88,579		—		—		88,579
Hong Kong		3,257,387		—		—		3,257,387
Hungary		113,913		—		—		113,913
Israel		527,157		—		—		527,157
Japan		3,334,297		—		—		3,334,297
Malaysia		1,531,021		—		—		1,531,021
Myanmar		101,311		—		—		101,311
Netherlands		224,137		—		—		224,137
New Zealand		1,109,165		—		—		1,109,165
Philippines		638,505		—		—		638,505
Portugal		113,124		—		—		113,124
Singapore		1,420,996		—		—		1,420,996
Switzerland		254,878		—		—		254,878
Taiwan		1,132,796		—		—		1,132,796
United Kingdom		661,237		—		—		661,237
United States		13,888,129		—		—		13,888,129
Common Stock Units		123,050		—		—		123,050
Short-Term Investments		951,836		—		—		951,836
Total	$	35,911,002	$	—	$	—	$	35,911,002
	Disciplined International Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	7,818,693	$	—	$	—	$	7,818,693
Cayman Islands		490,439		—		—		490,439
Denmark		3,180,889		—		—		3,180,889
Finland		1,664,272		—		—		1,664,272
France		7,304,522		—		—		7,304,522
Germany		5,516,777		—		—		5,516,777
Hong Kong		3,188,276		—		—		3,188,276
Israel		154,842		—		—		154,842
Italy		2,005,580		—		—		2,005,580
Japan		18,184,239		—		—		18,184,239
Jersey		1,754,834		—		—		1,754,834
Netherlands		4,346,498		—		—		4,346,498
New Zealand		73,574		—		—		73,574
Norway		4,065,582		—		—		4,065,582
Singapore		1,197,040		—		—		1,197,040
Spain		731,008		—		—		731,008
Sweden		373,026		—		—		373,026
Switzerland		4,994,501		—		—		4,994,501
United Kingdom		10,711,552		—		—		10,711,552
Limited Partnership Units
Germany		249,704		—		—		249,704
Short-Term Investments		1,158,858		—		—		1,158,858
Total	$	79,164,706	$	—	$	—	$	79,164,706

122

BMO Funds

	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	69,696,372	$	—	$	—	$	69,696,372
Finland		17,578,873		—		—		17,578,873
France		55,435,880		—		—		55,435,880
Germany		41,842,570		—		—		41,842,570
Hong Kong		33,646,931		—		—		33,646,931
Israel		7,188,312		—		—		7,188,312
Japan		66,454,833		—		—		66,454,833
Malaysia		18,695,692		—		—		18,695,692
Netherlands		19,818,578		—		—		19,818,578
Norway		12,256,557		—		—		12,256,557
Singapore		31,844,190		—		—		31,844,190
Sweden		30,398,225		—		—		30,398,225
Switzerland		91,045,778		—		—		91,045,778
Taiwan		26,062,701		—		—		26,062,701
United Kingdom		88,947,455		—		—		88,947,455
Preferred Stocks
Germany		10,118,199		—		—		10,118,199
Short-Term Investments		33,077,593		—		—		33,077,593
Total	$	654,108,739	$	—	$	—	$	654,108,739
	LGM Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Brazil	$	3,420,131	$	—	$	—	$	3,420,131
Chile		2,800,497		—		—		2,800,497
China		32,371,814		—		—		32,371,814
Egypt		10,731,653		—		—		10,731,653
Hong Kong		19,890,648		—		—		19,890,648
India		37,735,542		—		—		37,735,542
Indonesia		12,636,878		—		—		12,636,878
Malaysia		12,103,863		—		—		12,103,863
Mexico		13,771,713		—		—		13,771,713
Nigeria		2,935,387		—		—		2,935,387
Peru		3,795,607		—		—		3,795,607
Philippines		7,316,033		—		—		7,316,033
Russia		8,616,474		—		—		8,616,474
South Africa		22,168,301		—		—		22,168,301
Taiwan		2,142,203		—		—		2,142,203
Thailand		4,352,483		—		—		4,352,483
United States		5,893,919		—		—		5,893,919
Vietnam		5,940,012		—		—		5,940,012
Common Stock Units		6,790,362		—		—		6,790,362
Short-Term Investments		11,584,334		—		—		11,584,334
Total	$	226,997,854	$	—	$	—	$	226,997,854

	Alternative Strategies Fund
	Level 1		Level 2		Level 3		Total
Assets-Long
Common Stocks
Australia	$	82,073	$	—	$	—	$	82,073
Bermuda		164,727		—		—		164,727
Brazil		12,013		—		—		12,013
Canada		2,132,835		—		—		2,132,835
Cayman Islands		39,186		—		—		39,186
China		288,671		—		—		288,671
Denmark		115,205		—		—		115,205
France		118,510		—		—		118,510
Germany		12,689		—		—		12,689
Hong Kong		201,061		—		—		201,061
Indonesia		172,495		—		—		172,495
Ireland		381,732		—		—		381,732
Italy		267,044		—		—		267,044
Japan		896,198		—		—		896,198
Luxembourg		85,423		—		—		85,423
Malaysia		18,651		—		—		18,651
Netherlands		195,578		—		—		195,578
New Zealand		96,827		—		—		96,827
Norway		171,082		—		—		171,082
Poland		57,690		—		—		57,690
Portugal		21,936		—		—		21,936
Singapore		86,155		—		—		86,155
South Korea		221,570		—		—		221,570
Sweden		29,818		—		—		29,818
Switzerland		588,130		—		—		588,130
Taiwan		205,103		—		—		205,103
United Kingdom		778,777		—		—		778,777
United States		14,875,817		—		—		14,875,817
Short-Term Investments		41,551,062		—		—		41,551,062
Total	$	63,868,058	$	—	$	—	$	63,868,058
Liabilities-Short
Common Stocks
Canada	$	632,673	$	—	$	—	$	632,673
Finland		128,042		—		—		128,042
Netherlands		202,710		—		—		202,710
Spain		116,772		—		—		116,772
Sweden		143,127		—		—		143,127
Switzerland		301,089		—		—		301,089
United Kingdom		294,406		—		—		294,406
United States		6,467,760		—		—		6,467,760
Total	$	8,286,579	$	—	$	—	$	8,286,579
	Global Long/Short Equity Fund
	Level 1		Level 2		Level 3		Total
Assets-Long
Common Stocks
Australia	$	41,228	$	—	$	—	$	41,228
Bermuda		100,159		—		—		100,159
Brazil		9,829		—		—		9,829
Canada		809,691		—		—		809,691
Cayman Islands		21,552		—		—		21,552
China		15,328		—		—		15,328
Denmark		68,427		—		—		68,427
France		68,655		—		—		68,655
Germany		8,692		—		—		8,692
Hong Kong		109,270		—		—		109,270
Indonesia		98,737		—		—		98,737
Italy		150,077		—		—		150,077
Japan		518,363		—		—		518,363
Luxembourg		47,681		—		—		47,681
Malaysia		10,173		—		—		10,173
Netherlands		107,164		—		—		107,164
New Zealand		61,405		—		—		61,405
Norway		103,760		—		—		103,760
Poland		32,781		—		—		32,781
Portugal		15,648		—		—		15,648
Singapore		50,757		—		—		50,757
South Korea		122,538		—		—		122,538
Sweden		19,614		—		—		19,614
Switzerland		111,970		—		—		111,970
Taiwan		111,523		—		—		111,523
United Kingdom		438,418		—		—		438,418
United States		2,535,433		—		—		2,535,433
Short-Term Investments		247,020		—		—		247,020
Total	$	6,035,893	$	—	$	—	$	6,035,893

123

Notes to Financial Statements (continued)

	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	575,074,443	$	—	$	575,074,443
Short-Term Investments		248,241		19,960,953		—		20,209,194
Total	$	248,241	$	595,035,396	$	—	$	595,283,637
	Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	171,083,420	$	—	$	171,083,420
Short-Term Investments		170,976		1,604,449		—		1,775,425
Total	$	170,976	$	172,687,869	$	—	$	172,858,845
	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	48,413,653	$	—	$	48,413,653
Collateralized Mortgage Obligations		—		21,832,366		—		21,832,366
Commercial Mortgage Securities		—		15,686,412		—		15,686,412
Corporate Bonds & Notes		—		118,766,034		—		118,766,034
Mutual Funds		992,162		—		—		992,162
U.S. Government & U.S. Government Agency Obligations		—		21,307,113		—		21,307,113
U.S. Government Agency-Mortgage Securities		—		3,889,658		—		3,889,658
Short-Term Investments		9,367,334		41,229,064		—		50,596,398
Total	$	10,359,496	$	271,124,300	$	—	$	281,483,796
	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	1,719,603,386	$	—	$	1,719,603,386
Repurchase Agreements		—		388,167		—		388,167
Short-Term Investments		—		5,000,000		—		5,000,000
Total	$	—	$	1,724,991,553	$	—	$	1,724,991,553
	Strategic Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	2,206,998	$	—	$	2,206,998
Collateralized Mortgage Obligations		—		8,726,645		—		8,726,645
Commercial Mortgage Securities		—		4,171,064		—		4,171,064
Corporate Bonds & Notes		—		53,869,349		—		53,869,349
U.S. Government & U.S. Government Agency Obligations		—		3,421		—		3,421
U.S. Government Agency-Mortgage Securities		—		8,211,563		—		8,211,563
Short-Term Investments		1,314,631		16,767,598		—		18,082,229
Total	$	1,314,631	$	93,956,638	$	—	$	95,271,269

	TCH Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	269,306,521	$	—	$	269,306,521
Municipals		—		525,545		—		525,545
Short-Term Investments		20,340,939		73,395,557		—		93,736,496
Total	$	20,340,939	$	343,227,623	$	—	$	363,568,562
	TCH Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	22,572,287	$	—	$	22,572,287
Commercial Mortgage Securities		—		44,676,990		—		44,676,990
Corporate Bonds & Notes		—		458,837,374		—		458,837,374
Municipals		—		315,327		—		315,327
U.S. Government & U.S. Government Agency Obligations		—		196,898,930		—		196,898,930
U.S. Government Agency-Mortgage Securities		—		185,263,073		—		185,263,073
Short-Term Investments		36,822,091		137,544,882		—		174,366,973
Total	$	36,822,091	$	1,046,108,863	$	—	$	1,082,930,954
	High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	9,582,637	$	—	$	9,582,637
Short-Term Investments		679,576		3,998,481		—		4,678,057
Total	$	679,576	$	13,581,118	$	—	$	14,260,694
	Government Money Market Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	—	$	165,000,000	$	—	$	165,000,000
Repurchase Agreements		—		1,327,422,911		—		1,327,422,911
U.S. Government & U.S. Government Agency Obligations		—		651,816,884		—		651,816,884
U.S. Government Agency-Mortgage Securities		—		807,598,004		—		807,598,004
Total	$	—	$	2,951,837,799	$	—	$	2,951,837,799
	Tax-Free Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	426,780,432	$	—	$	426,780,432
Mutual Funds		—		9,145,784		—		9,145,784
Total	$	—	$	435,926,216	$	—	$	435,926,216
	Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	81,000,913	$	—	$	81,000,913
Commercial Paper		—		209,411,866		—		209,411,866
Municipals		—		2,000,000		—		2,000,000
Mutual Funds		—		17,000,000		—		17,000,000
Repurchase Agreements		—		119,398,328		—		119,398,328
Total		—		428,811,107		—		428,811,107
Certificates of Deposit		—		2,500,000		—		2,500,000
Total	$	—	$	2,500,000	$	—	$	2,500,000

124

BMO Funds

	Institutional Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	5,501,621	$	97,042,113	$	—	$	102,543,734
Commercial Paper		29,167,573		237,934,251		—		267,101,824
Mutual Funds		—		13,114,182		—		13,114,182
Repurchase Agreements		—		200,000,000		—		200,000,000
Total		34,669,194		548,090,546		—		582,759,740
Certificates of Deposit		—		3,999,925		—		3,999,925
Total	$	—	$	3,999,925	$	—	$	3,999,925

(1) All sub-categories within Common Stocks and Referred Stocks represent either entire Level 1 or Level 2 evaluation status

(2) The following is a summary of other financial instruments that are derivative instruments not reflected in the Schedules of Investments, such as futures contracts, forward contracts, and swap contracts. Amounts below are the unrealized appreciation (depreciation) on these investments.

	Unrealized Appreciation/(Depreciation) On Other Financial Instruments
Fund	Level 1			Level 2			Level 3		Total
Alternative Strategies Fund:
Long Futures Contracts	$	120,930		$	—		$	—	$	120,930
Short Futures Contracts		(51,720	)		—			—		(51,720	)
Total Futures Contracts	$	69,210		$	—		$	—	$	69,210
Long Forward Contracts	$	—		$	209,357		$	—	$	209,357
Short Forwards Contracts		—			(302,186	)		—		(302,186	)
Total Forward Contracts	$	—		$	(92,829	)	$	—	$	(92,829	)
Total Return Swap Contracts	$	—		$	(457,775	)	$	—	$	(457,775	)
Global Long Short Equity Fund:
Total Return Swap Contracts	$	—		$	(103,477	)	$	—	$	(103,477	)

4. Derivative Holdings and Activity Detail

Derivatives and Hedging Disclosures—Derivatives and hedging require enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial positions, performance and cash flows. For the period ended February 28, 2019, the Alternative Strategies Fund utilized all derivatives for the purposes of generating and enhancing total return.

During the period ended February 28, 2019, the Alternative Strategies Fund and Global Long/Short Equity Fund had average quarterly contracts or notional values outstanding:

	Average Quarterly Contracts				Average Quarterly Notional Values
	Long Futures		Short Futures		Long Forwards		Short Forwards		Long Total Return Swaps		Short Total Return Swaps
Alternative Strategies Fund		262		350	$	16,400,304	$	27,638,902	$	24,429,363	$	24,427,905
Global Long/Short Equity Fund		—		—		—		1,426		2,510,218		2,510,218

The effects of these derivative instruments on the Alternative Strategies Fund’s financial positions and financial performance are reflected in the Statements of Assets and Liabilities and Statements of Operations, and are presented in the table below. The values of derivative instruments as of February 28, 2019 by risk category are as follows:

	Statement of Asset and Liabilities			Statement of Operations
Fund/Financial Instrument Type	Amount			Realized Gain/(Loss)			Net Change in Appreciation/ (Depreciation)
Alternative Strategies Fund
Interest rate futures contracts:
Receivables for daily variation margin	$	71,173
Payables for daily variation margin		(71,469	)
Net		(296	)	$	(713,819	)	$	(29,665	)
Equity futures contracts:
Receivables for daily variation margin		133,776
Payables for daily variation margin		(64,270	)
Net		69,509			(263,784	)		735,058
Total receivables for interest rate and equity futures contracts		204,949
Total payables for interest rate and equity futures contracts		(135,739	)
Net	$	69,210		$	(977,603	)	$	705,403
Forward foreign exchange contracts:
Receivables for forward foreign exchange contracts	$	209,357
Payables for forward foreign exchange contracts		(302,186	)
Net	$	(92,829	)	$	342,223		$	(272,750	)
Equity option contracts:
Purchased options	$	—		$	(28,525	)	$	32,082
Written options	$	—		$	16,090		$	(12,249	)
Equity total return swap contracts:
Receivables for swap contracts	$	127,254
Payables for swap contracts		(585,030	)
Net	$	(457,776	)	$	106,643		$	(457,776	)

125

Notes to Financial Statements (continued)

	Statement of Asset and Liabilities			Statement of Operations
Fund/Financial Instrument Type	Amount			Realized Gain/(Loss)		Net Change in Appreciation/ (Depreciation)
Global Long/Short Equity Fund
Equity total return swap contracts:
Receivables for swap contracts	$	—
Payables for swap contracts		(103,477	)
Net	$	(103,477	)	$	70,693		$(103,477)

Offsetting of Assets and Liabilities—Disclosures about offsetting assets and liabilities require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented. As of February 28, 2019 no master netting arrangements exist related to the Funds. The Funds’ Statements of Assets and Liabilities (“SAL”) presents derivative instruments on a gross basis, therefore, no net amounts and no offset amounts exist within the SAL to present below. Gross amounts of the derivative instruments, amounts related to financial instruments/cash collateral not offset in the SAL and net amounts are presented below:

	Derivative Assets						Derivative Liabilities									Net Derivative Assets (Liabilities)			Collateral Pledged (Received)(1)
Fund/Counterparty	Forward Currency Contracts		Futures Contracts		Swaps		Forward Currency Contracts			Futures Contracts			Swaps						Financial Instruments		Cash		Net Amount
Alternative Strategies Fund
Bank of America Merrill Lynch (OTC)	$	148,852	$	—	$	—	$	(273,552	)	$	—		$	126,345		$	1,645		$	—	$	124,700	$	—
Barclay’s (OTC)		—		—		—		(7,796	)		—			—			(7,796	)		—		—		(7,796	)
BNP Paribas (OTC)		3,181		—		—		(593	)		—			—			2,588			—		—		2,588
Societe Generale (OTC)		57,324		—				(20,245	)		—			—			37,079			—		—		37,079
Exchange Traded Futures Contracts		—		204,949				—			(135,739	)		—			69,210			69,210		—		—
JP Morgan Chase & Co		—				127,254		—			—			(458,684	)		331,430			—		1,000,000		—
Global Long/Short Equity Fund
JP Morgan Chase & Co		—		—				—						(103,477	)		(103,477	)		—		10,000		—

(1) Collateral pledged may exceed amount of liability balance.

126

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Notes to Financial Statements (continued)

5. Capital Stock

The Articles of Incorporation permit the Directors to issue an indefinite number of full and fractional shares of common stock, par value $0.0001 per share. Transactions in capital stock were as follows:

	Low Volatility Equity Fund						Dividend Income Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—
Advisor class of shares		2,702,150			2,286,790			8,042,279			3,699,050
Institutional class of shares		37,959,494			14,306,331			92,119,306			36,241,152
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Net proceeds from sale of shares		40,661,644			16,593,121			100,161,585			39,940,202
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—
Advisor class of shares		2,268,683			1,153,738			380,622			356,437
Institutional class of shares		8,946,546			4,960,839			8,652,808			15,598,754
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Net proceeds from shares issued:		11,215,229			6,114,577			9,033,430			15,955,191
Cost of shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(3,278,978	)		(11,884,791	)		(1,515,863	)		(1,523,536	)
Institutional class of shares		(17,304,014	)		(53,938,321	)		(32,614,410	)		(24,803,382	)
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Net cost of shares redeemed		(20,582,992	)		(65,823,112	)		(34,130,273	)		(26,326,918	)
Redemption fees		—			—			—			—
Net change resulting from fund share transactions in dollars	$	31,293,881		$	(43,115,414	)	$	75,064,742		$	29,568,475
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—
Advisor class of shares		190,838			155,588			564,253			250,661
Institutional class of shares		2,704,813			963,075			6,520,434			2,481,080
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Net sale of shares		2,895,651			1,118,663			7,084,687			2,731,741
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—
Advisor class of shares		160,495			79,316			27,422			25,309
Institutional class of shares		630,163			339,986			625,109			1,111,368
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Net shares issued		790,658			419,302			652,531			1,136,677
Shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(228,201	)		(809,235	)		(112,313	)		(102,595	)
Institutional class of shares		(1,195,593	)		(3,652,276	)		(2,353,596	)		(1,686,199	)
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Net shares redeemed		(1,423,794	)		(4,461,511	)		(2,465,909	)		(1,788,794	)
Net change resulting from fund share transactions in shares		2,262,515			(2,923,546	)		5,271,309			2,079,624

(1) Includes $4,159,630 of paid-in-capital received from an in-kind subscription merger of an unaffiliated equity fund effective as of the close of business on December 15, 2017. The total value received of $4,159,630 from this non-taxable event represented $2,408,685 in securities cost, $1,730,375 in net unrealized appreciation, $3,388 in accrued dividends, $17,172 in cash, and $10 in accrued interest in exchange for 258,754 Institutional Class of shares at time of merger.

(2) Reflects operations for the period from September 1, 2017, to May 11, 2018 (termination of Retirement class R-3 of shares).

(3) Reflects operations for the period from September 1, 2017, to April 27, 2018 (termination of Investor class of shares).

128

BMO Funds

Large-Cap Value Fund						Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund
Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	—		$	—		$	3,201,732		$	8,890,108		$	—		$	—		$	—		$	—
	341,249			1,269,566			714,751			266,934			747,202			2,177,622			280,800			984,230
	22,826,382			69,446,391	(1)		42,827,029			50,667,833			5,614,231			17,358,535			4,210,582			12,719,389
	—			—			—			—			—			768	(2)		—			—
	11,518,455			87,457,626			25,607,765			63,644,998			5,554,830			28,089,301			4,726,144			24,250,761
	34,686,086			158,173,583			72,351,277			123,469,873			11,916,263			47,626,226			9,217,526			37,954,380
	—			—			7,903,690			4,067,641			—			—			—			—
	2,018,737			2,439,169			116,339			28,989			5,843,113			2,704,039			2,598,569			1,100,667
	26,644,640			31,249,109			31,915,301			14,433,447			12,747,841			6,519,523			12,929,680			5,913,858
	—			—			—			—			—			79	(2)		—			—
	7,671,040			862,668			9,011,688			184,270			3,943,242			816,233			3,595,774			36,318
	36,334,417			34,550,946			48,947,018			18,714,347			22,534,196			10,039,874			19,124,023			7,050,843
	—			—			(5,536,925	)		(35,301,963	)		—			—			—			—
	(1,175,966	)		(7,185,801	)		(653,566	)		(372,881	)		(5,913,541	)		(17,789,671	)		(1,204,332	)		(6,893,086	)
	(62,577,382	)		(135,297,594	)		(53,154,687	)		(116,167,629	)		(15,822,968	)		(44,333,122	)		(13,773,184	)		(42,795,496	)
	—			—			—			—			—			(25,338	)(2)		—			(24,268	)(3)
	(19,161,389	)		(9,866,413	)		(24,731,561	)		(12,334,747	)		(6,665,437	)		(14,011,689	)		(8,647,679	)		(4,269,640	)
	(82,914,737	)		(152,349,808	)		(84,076,739	)		(164,177,220	)		(28,401,946	)		(76,159,820	)		(23,625,195	)		(53,982,490	)
	—			—			628			—			—			—			—			—
$	(11,894,234	)	$	40,374,721		$	37,222,184		$	(21,993,000	)	$	6,048,513		$	(18,493,720	)	$	4,716,354		$	(8,977,267	)
	—			—			175,659			479,102			—			—			—			—
	22,606			78,249			37,396			14,070			69,257			172,720			18,228			61,162
	1,540,130			4,307,244	(1)		2,349,995			2,690,356			535,133			1,412,871			271,607			757,625
	—			—			—			—			—			63	(2)		—			—
	816,262			5,392,425			1,388,924			3,340,294			505,377			2,291,863			318,318			1,419,933
	2,378,998			9,777,918			3,951,974			6,523,822			1,109,767			3,877,517			608,153			2,238,720
	—			—			481,932			230,331			—			—			—			—
	146,060			153,737			7,103			1,642			581,404			220,370			200,507			73,182
	1,924,857			1,968,958			1,928,417			810,356			1,278,620			536,253			943,084			376,679
	—			—			—			—			—			7	(2)		—			—
	553,741			54,032			543,856			10,341			395,511			67,103			260,186			2,300
	2,624,658			2,176,727			2,961,308			1,052,670			2,255,535			823,733			1,403,777			452,161
	—			—			(322,814	)		(1,849,507	)		—			—			—			—
	(81,925	)		(450,944	)		(36,663	)		(20,984	)		(547,618	)		(1,443,400	)		(81,575	)		(434,884	)
	(4,758,268	)		(8,306,456	)		(3,089,592	)		(6,128,458	)		(1,523,088	)		(3,608,429	)		(851,657	)		(2,534,418	)
	—			—			—			—			—			(2,093	)(2)		—			(1,460	)(3)
	(1,350,964	)		(618,306	)		(1,429,931	)		(637,550	)		(651,599	)		(1,120,225	)		(584,653	)		(244,098	)
	(6,191,157	)		(9,375,706	)		(4,879,000	)		(8,636,499	)		(2,722,305	)		(6,174,147	)		(1,517,885	)		(3,214,860	)
	(1,187,501	)		2,578,939			2,034,282			(1,060,007	)		642,997			(1,472,897	)		494,045			(523,979	)

129

Notes to Financial Statements (continued)

	Small-Cap Value Fund						Small-Cap Core Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—
Advisor class of shares		152,504			158,365			25,019			810,118
Institutional class of shares		3,474,302			7,360,861			2,661,994			4,646,390
Retirement class R-3 of shares		—			9,605	(2)		—			—
Retirement class R-6 of shares		3,404,531			12,814,203			—			—
Class F-3 of shares		—			—			—			—
Net proceeds from sale of shares		7,031,337			20,343,034			2,687,013			5,456,508
Net asset value of shares issued to shareholders in payment of distributions declared:
Advisor class of shares		310,251			374,648			162,495			126,053
Institutional class of shares		3,876,070			4,591,637			1,547,491			1,050,655
Retirement class R-3 of shares		—			4,108	(2)		—			—
Retirement class R-6 of shares		1,032,490			213,686			—			—
Class F-3 of shares		—			—			—			—
Net proceeds from shares issued:		5,218,811			5,184,079			1,709,986			1,176,708
Cost of shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(628,387	)		(1,238,217	)		(132,712	)		(939,096	)
Institutional class of shares		(5,496,214	)		(17,739,504	)		(2,760,542	)		(3,809,548	)
Retirement class R-3 of shares		—			(136,151	)(2)		—			—
Retirement class R-6 of shares		(6,303,171	)		(2,535,413	)		—			—
Class F-3 of shares		—			—			—			—
Net cost of shares redeemed		(12,427,772	)		(21,649,285	)		(2,893,254	)		(4,748,644	)
Redemption fees		—			—			—			—
Net change resulting from fund share transactions in dollars	$	(177,624	)	$	3,877,828		$	1,503,745		$	1,884,572
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—
Advisor class of shares		11,781			10,987			1,849			58,097
Institutional class of shares		276,686			511,721			208,658			319,404
Retirement class R-3 of shares		—			685	(2)		—			—
Retirement class R-6 of shares		271,432			907,840			—			—
Class F-3 of shares		—			—			—			—
Net sale of shares		559,899			1,431,233			210,507			377,501
Shares issued to shareholders in payment of distributions declared:
Advisor class of shares		26,815			27,629			14,304			9,228
Institutional class of shares		329,598			333,452			134,917			76,411
Retirement class R-3 of shares		—			304	(2)		—			—
Retirement class R-6 of shares		87,130			15,440			—			—
Class F-3 of shares		—			—			—			—
Net shares issued		443,543			376,825			149,221			85,639
Shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(51,501	)		(88,641	)		(10,496	)		(67,035	)
Institutional class of shares		(445,424	)		(1,262,801	)		(255,766	)		(271,869	)
Retirement class R-3 of shares		—			(9,790	)(2)		—			—
Retirement class R-6 of shares		(498,647	)		(176,995	)		—			—
Class F-3 of shares		—			—			—			—
Net shares redeemed		(995,572	)		(1,538,227	)		(266,262	)		(338,904	)
Net change resulting from fund share transactions in shares		7,870			269,831			93,466			124,236

(1) Reflects operations for the period from September 1, 2017, to April 27, 2018 (termination of Investor class of shares).

(2) Reflects operations for the period from September 1, 2017, to May 11, 2018 (termination of Retirement class R-3 of shares).

(3) Reflects operations for the period from September 1, 2017, to December 3, 2017 (termination of Retirement class R-3 of shares).

130

BMO Funds

Small-Cap Growth Fund						Global Low Volatility Equity Fund						Disciplined International Equity Fund						Pyrford International Stock Fund
Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	83,571	(1)
	1,823,238			4,764,611			51,474			209,656			1,293			42,573			78,204			5,864,823
	11,734,139			17,252,116			6,792,460			573,388			16,010,823			18,798,208			49,691,307			76,904,679
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			28,765,986			120,732,668
	—			—			—			—			—			—			160,508			8,394,567
	13,557,377			22,016,727			6,843,934			783,044			16,012,116			18,840,781			78,696,005			211,980,308
	6,414,028			6,081,376			48,910			35,577			1,185			1,308			113,890			—
	11,739,150			8,460,833			5,898,232			1,428,624			1,340,341			1,509,712			10,702,009			12,082,424
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			4,754,416			1,405,577
	—			—			—			—			—			—			1,250			1,758
	18,153,178			14,542,209			5,947,142			1,464,201			1,341,526			1,511,020			15,571,565			13,489,759
	—			—			—			—			—			—			—			(6,445,368	)(1)
	(5,574,061	)		(23,380,533	)		(92,487	)		(955,585	)		—			(2,155	)		(843,866	)		(690,070	)
	(18,505,820	)		(23,623,490	)		(2,172,259	)		(22,565,241	)		(10,356,657	)		(13,668,317	)		(53,163,756	)		(197,218,546	)
	—			—			—			—			—			—			—			(26,363	)(3)
	—			—			—			—			—			—			(12,616,882	)		(13,639,793	)
	—			—			—			—			—			—			(7,783,586	)		(389,948	)
	(24,079,881	)		(47,004,023	)		(2,264,746	)		(23,520,826	)		(10,356,657	)		(13,670,472	)		(74,408,090	)		(218,410,088	)
	—			—			—			—			—			210			5,740			957
$	7,630,674		$	(10,445,087	)	$	10,526,330		$	(21,273,581	)	$	6,996,985		$	6,681,539		$	19,865,220		$	7,060,936
	—			—			—			—			—			—			—			6,173	(1)
	101,262			245,534			4,676			15,520			125			3,721			6,091			432,072
	671,305			867,331			612,896			41,566			1,531,081			1,662,757			3,990,381			5,768,243
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			2,281,340			8,998,114
	—			—			—			—			—			—			12,198			633,138
	772,567			1,112,865			617,572			57,086			1,531,206			1,666,478			6,290,010			15,837,740
	425,898			347,706			4,533			2,693			123			118			9,436			—
	742,514			465,392			544,117			107,902			139,474			136,256			904,650			915,335
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			401,894			106,483
	—			—			—			—			—			—			106			133
	1,168,412			813,098			548,650			110,595			139,597			136,374			1,316,086			1,021,951
	—			—			—			—			—			—			—			(474,563	)(1)
	(324,794	)		(1,245,843	)		(7,263	)		(69,805	)		—			(184	)		(68,106	)		(50,399	)
	(1,028,419	)		(1,191,794	)		(201,170	)		(1,653,359	)		(1,028,411	)		(1,201,084	)		(4,353,353	)		(14,834,806	)
	—			—			—			—			—			—			—			(1,946	)(3)
	—			—			—			—			—			—			(1,026,178	)		(1,031,978	)
	—			—			—			—			—			—			(617,942	)		(29,583	)
	(1,353,213	)		(2,437,637	)		(208,433	)		(1,723,164	)		(1,028,411	)		(1,201,268	)		(6,065,579	)		(16,423,275	)
	587,766			(511,674	)		957,789			(1,555,483	)		642,392			601,584			1,540,517			436,416

131

Notes to Financial Statements (continued)

	LGM Emerging Markets Equity Fund						Alternative Strategies Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Advisor class of shares	$	1,703,248		$	2,061,792		$	787		$	949
Institutional class of shares		72,311,121			77,835,687			11,353,147			17,290,111
Net proceeds from sale of shares		74,014,369			79,897,479			11,353,934			17,291,060
Net asset value of shares issued to shareholders in payment of distributions declared:
Advisor class of shares		171,004			—			—			3,248
Institutional class of shares		8,013,010			1,128,190			—			5,106,210
Net proceeds from shares issued:		8,184,014			1,128,190			—			5,109,458
Cost of shares redeemed:
Advisor class of shares		(1,159,421	)		(1,950,533	)		(25,347	)		(80,003	)
Institutional class of shares		(47,996,916	)		(33,149,780	)		(18,029,806	)		(37,141,144	)
Net cost of shares redeemed		(49,156,337	)		(35,100,313	)		(18,055,153	)		(37,221,147	)
Redemption fees		440			711			—			—
Net change resulting from fund share transactions in dollars	$	33,042,046		$	45,926,067		$	(6,701,219	)	$	(14,820,629	)
Capital stock transactions in shares:
Sale of shares:
Advisor class of shares		114,678			127,075			84			94
Institutional class of shares		4,922,234			4,692,595			1,194,468			1,681,475
Net sale of shares		5,036,912			4,819,670			1,194,552			1,681,569
Shares issued to shareholders in payment of distributions declared:
Advisor class of shares		11,917			—			—			322
Institutional class of shares		561,636			70,030			—			502,085
Net shares issued		573,553			70,030			—			502,407
Shares redeemed:
Advisor class of shares		(76,571	)		(116,190	)		(2,741	)		(7,777	)
Institutional class of shares		(3,280,867	)		(2,010,904	)		(1,893,069	)		(3,567,218	)
Net shares redeemed		(3,357,438	)		(2,127,094	)		(1,895,810	)		(3,574,995	)
Net change resulting from fund share transactions in shares		2,253,027			2,762,606			(701,258	)		(1,391,019	)

132

BMO Funds

Global Long/Short Equity Fund						Ultra Short Tax-Free Fund						Short Tax-Free Fund						Short-Term Income Fund
Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	9,099		$	195,339		$	2,613,837		$	5,741,914		$	451,336		$	2,495,879		$	2,163,208		$	4,288,667
	701,922			6,081,319			254,983,224			439,354,219			18,489,837			48,874,201			57,397,704			131,029,502
	711,021			6,276,658			257,597,061			445,096,133			18,941,173			51,370,080			59,560,912			135,318,169
	7,776			22,321			149,233			329,380			40,651			81,745			251,133			492,639
	67,690			296,703			2,554,946			3,253,010			470,190			861,084			1,560,219			2,446,146
	75,466			319,024			2,704,179			3,582,390			510,841			942,829			1,811,352			2,938,785
	(71,223	)		(129,883	)		(10,658,451	)		(13,292,423	)		(1,700,008	)		(3,186,874	)		(4,302,865	)		(11,677,805	)
	(4,228,175	)		(5,837,723	)		(257,624,993	)		(494,931,520	)		(28,870,002	)		(41,742,641	)		(45,426,080	)		(125,939,227	)
	(4,299,398	)		(5,967,606	)		(268,283,444	)		(508,223,943	)		(30,570,010	)		(44,929,515	)		(49,728,945	)		(137,617,032	)
	13			1,407			310			—			—			—			80			—
$	(3,512,898	)	$	629,483		$	(7,981,894	)	$	(59,545,420	)	$	(11,117,996	)	$	7,383,394		$	11,643,399		$	639,922
	791			16,081			259,637			570,266			44,486			245,629			233,569			460,682
	61,998			491,377			25,345,946			43,650,785			1,825,378			4,803,882			6,191,217			14,032,354
	62,789			507,458			25,605,583			44,221,051			1,869,864			5,049,511			6,424,786			14,493,036
	697			1,812			14,821			32,709			4,016			8,058			27,110			52,968
	6,044			24,064			253,927			323,236			46,392			84,831			168,143			262,630
	6,741			25,876			268,748			355,945			50,408			92,889			195,253			315,598
	(6,207	)		(10,892	)		(1,058,973	)		(1,319,835	)		(167,902	)		(313,760	)		(464,868	)		(1,256,655	)
	(372,693	)		(487,768	)		(25,608,234	)		(49,159,262	)		(2,852,075	)		(4,107,724	)		(4,901,142	)		(13,497,981	)
	(378,900	)		(498,660	)		(26,667,207	)		(50,479,097	)		(3,019,977	)		(4,421,484	)		(5,366,010	)		(14,754,636	)
	(309,370	)		34,674			(792,876	)		(5,902,101	)		(1,099,705	)		720,916			1,254,029			53,998

133

Notes to Financial Statements (continued)

	Intermediate Tax-Free Fund						Strategic Income Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	174,758,967		$	148,016,165		$	646,910		$	1,560,960
Advisor class of shares		3,561,386			7,369,713			93,541			510,237
Institutional class of shares		494,849,388			446,882,504			859,972			1,579,253
Net proceeds from sale of shares		673,169,741			602,268,382			1,600,423			3,650,450
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		10,940,706			23,973,740			1,305,995			2,868,223
Advisor class of shares		133,540			323,030			290,677			681,181
Institutional class of shares		8,915,220			12,672,136			210,230			514,734
Net proceeds from shares issued:		19,989,466			36,968,906			1,806,902			4,064,138
Cost of shares redeemed:
Investor class of shares		(521,760,575	)		(256,803,140	)		(4,655,222	)		(15,601,053	)
Advisor class of shares		(11,736,683	)		(3,558,242	)		(1,462,410	)		(5,319,901	)
Institutional class of shares		(187,834,044	)		(182,098,021	)		(3,974,212	)		(10,401,208	)
Net cost of shares redeemed		(721,331,302	)		(442,459,403	)		(10,091,844	)		(31,322,162	)
Redemption fees		10			—			—			—
Net change resulting from fund share transactions in dollars	$	(28,172,085	)	$	196,777,885		$	(6,684,519	)	$	(23,607,574	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		15,771,874			13,228,190			71,139			165,685
Advisor class of shares		322,290			656,770			10,516			54,439
Institutional class of shares		44,538,136			40,007,123			96,542			171,048
Net sale of shares		60,632,300			53,892,083			178,197			391,172
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		987,927			2,141,524			145,623			309,135
Advisor class of shares		12,081			28,873			32,411			73,367
Institutional class of shares		805,140			1,133,383			23,481			55,436
Net shares issued		1,805,148			3,303,780			201,515			437,938
Shares redeemed:
Investor class of shares		(46,932,029	)		(22,940,721	)		(519,778	)		(1,677,547	)
Advisor class of shares		(1,066,705	)		(317,526	)		(163,787	)		(572,837	)
Institutional class of shares		(17,010,282	)		(16,277,135	)		(451,444	)		(1,109,628	)
Net shares redeemed		(65,009,016	)		(39,535,382	)		(1,135,009	)		(3,360,012	)
Net change resulting from fund share transactions in shares		(2,571,568	)		17,660,481			(755,297	)		(2,530,902	)

134

BMO Funds

TCH Corporate Income Fund						TCH Core Plus Bond Fund						High Yield Bond Fund
Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	4,721,340		$	13,469,510		$	19,086,985		$	33,247,967		$	—		$	—
	1,779,299			1,883,339			184,157			692,466			90,486			75,077
	101,475,529			35,031,255			114,732,865			205,734,013			232,403			990,467
	107,976,168			50,384,104			134,004,007			239,674,446			322,889			1,065,544
	2,023,350			3,631,617			1,034,034			1,885,553			—			—
	40,066			34,627			47,946			93,214			20,787			45,200
	1,784,768			1,445,656			14,916,502			27,182,890			262,457			538,766
	3,848,184			5,111,900			15,998,482			29,161,657			283,244			583,966
	(19,180,979	)		(31,633,728	)		(12,354,736	)		(40,591,447	)		—			—
	(129,616	)		(1,412,711	)		(212,300	)		(977,655	)		(199,998	)		(233,705	)
	(48,167,857	)		(26,163,150	)		(222,616,128	)		(194,020,504	)		(1,215,314	)		(2,951,381	)
	(67,478,452	)		(59,209,589	)		(235,183,164	)		(235,589,606	)		(1,415,312	)		(3,185,086	)
	—			—			10			—			—			—
$	44,345,900		$	(3,713,585	)	$	(85,180,665	)	$	33,246,497		$	(809,179	)	$	(1,535,576	)
	375,293			1,033,637			1,693,806			2,877,804			—			—
	140,636			147,035			16,242			59,334			10,331			8,021
	8,042,116			2,718,202			10,207,177			17,783,100			25,676			105,106
	8,558,045			3,898,874			11,917,225			20,720,238			36,007			113,127
	161,619			280,072			91,729			163,324			—			—
	3,199			2,678			4,254			8,071			2,304			4,811
	142,814			111,718			1,324,307			2,355,406			29,117			57,369
	307,632			394,468			1,420,290			2,526,801			31,421			62,180
	(1,533,883	)		(2,446,009	)		(1,096,610	)		(3,521,472	)		—			—
	(10,290	)		(108,819	)		(18,894	)		(84,744	)		(22,333	)		(24,867	)
	(3,832,521	)		(2,027,663	)		(19,724,354	)		(16,816,251	)		(136,565	)		(315,664	)
	(5,376,694	)		(4,582,491	)		(20,839,858	)		(20,422,467	)		(158,898	)		(340,531	)
	3,488,983			(289,149	)		(7,502,343	)		2,824,572			(91,470	)		(165,224	)

135

Notes to Financial Statements (continued)

	Government Money Market Fund						Tax-Free Money Market Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,233,581,662		$	2,836,535,603		$	42,200,926		$	103,523,007
Institutional/Premier class of shares		6,912,942,109			16,700,415,556			432,692,693			657,271,008
Net proceeds from sale of shares		8,146,523,771			19,536,951,159			474,893,619			760,794,015
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,086,839			1,534,889			439,194			570,108
Institutional/Premier class of shares		3,075,526			4,345,881			9,504			4,097
Net proceeds from shares issued:		4,162,365			5,880,770			448,698			574,205
Cost of shares redeemed:
Investor class of shares		(1,390,791,039	)		(2,904,331,903	)		(38,469,077	)		(104,233,256	)
Institutional/Premier class of shares		(7,198,010,334	)		(16,333,053,308	)		(377,755,388	)		(590,623,244	)
Net cost of shares redeemed		(8,588,801,373	)		(19,237,385,211	)		(416,224,465	)		(694,856,500	)
Net change resulting from fund share transactions in dollars	$	(438,115,237	)	$	305,446,718		$	59,117,852		$	66,511,720
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		1,233,581,662			2,836,535,603			42,200,925			103,523,007
Institutional/Premier class of shares		6,912,942,109			16,700,415,556			432,692,694			657,271,008
Net sale of shares		8,146,523,771			19,536,951,159			474,893,619			760,794,015
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,086,839			1,534,889			439,194			570,108
Institutional/Premier class of shares		3,075,525			4,345,881			9,504			4,097
Net shares issued		4,162,364			5,880,770			448,698			574,205
Shares redeemed:
Investor class of shares		(1,390,791,039	)		(2,904,331,903	)		(38,469,077	)		(104,233,256	)
Institutional/Premier class of shares		(7,198,010,334	)		(16,333,053,308	)		(377,755,388	)		(590,623,244	)
Net shares redeemed		(8,588,801,373	)		(19,237,385,211	)		(416,224,465	)		(694,856,500	)
Net change resulting from fund share transactions in shares		(438,115,238	)		305,446,718			59,117,852			66,511,720

136

BMO Funds

Prime Money Market Fund						Institutional Prime Money Market Fund
Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
$	139,149,288		$	323,252,291		$	3,077		$	1,046,364
	307,909,719			487,728,123			1,281,526,414			1,223,791,366
	447,059,007			810,980,414			1,281,529,491			1,224,837,730
	1,595,128			1,907,375			23,569			19,861
	82,204			238,721			2,003,746			1,169,282
	1,677,332			2,146,096			2,027,315			1,189,143
	(138,491,377	)		(334,404,979	)		(62,430	)		(86,707	)
	(340,580,802	)		(385,817,826	)		(1,178,812,806	)		(1,145,764,366	)
	(479,072,179	)		(720,222,805	)		(1,178,875,236	)		(1,145,851,073	)
$	(30,335,840	)	$	92,903,705		$	104,681,570		$	80,175,800
	139,149,288			323,252,291			3,078			1,046,368
	307,909,720			487,728,123			1,281,552,822			1,223,793,306
	447,059,008			810,980,414			1,281,555,900			1,224,839,674
	1,595,128			1,907,375			23,569			19,860
	82,204			238,721			2,003,774			1,169,202
	1,677,332			2,146,096			2,027,343			1,189,062
	(138,491,392	)		(334,404,979	)		(62,437	)		(86,724	)
	(340,580,802	)		(385,817,826	)		(1,178,838,149	)		(1,145,753,981	)
	(479,072,194	)		(720,222,805	)		(1,178,900,586	)		(1,145,840,705	)
	(30,335,854	)		92,903,705			104,682,657			80,188,031

137

Notes to Financial Statements (continued)

6. Investment Adviser Fee and Other Transactions with Affiliates

Investment Advisory Fees—The Adviser receives for its services an investment adviser fee based on a percentage of each Fund’s average daily net assets (“ADNA”) as listed below.

	Fund’s ADNA
Fund	on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million
Low Volatility Equity Fund		0.500	%		0.490	%		0.450	%		0.400	%
Dividend Income Fund		0.500			0.490			0.450			0.400
Mid-Cap Value Fund		0.685			0.670			0.570			0.510
Mid-Cap Growth Fund		0.685			0.670			0.570			0.510
Small-Cap Value Fund		0.685			0.680			0.620			0.610
Small-Cap Growth Fund		0.685			0.680			0.620			0.610
Global Low Volatility Equity Fund		0.650			0.640			0.600			0.550
Pyrford International Stock Fund		0.735			0.720			0.620			0.560
LGM Emerging Markets Equity Fund		0.900			0.890			0.850			0.800
	Fund’s ADNA
Fund	on the first $100 million			on the next $150 million			on the next $250 million			in excess of $500 million
Ultra Short Tax-Free Fund		0.200	%		0.190	%		0.170	%		0.100	%
Short Tax-Free Fund		0.200			0.190			0.170			0.150
Short-Term Income Fund		0.200			0.190			0.170			0.100
Intermediate Tax-Free Fund		0.250			0.160			0.120			0.100
Strategic Income Fund		0.250			0.200			0.200			0.200
TCH Corporate Income Fund		0.200			0.190			0.150			0.100
TCH Core Plus Bond Fund		0.250			0.160			0.120			0.100
High Yield Bond Fund		0.500			0.500			0.500			0.500
	Fund’s ADNA
Fund	on the first $1 billion			on the next $1 billion			in excess of $2 billion
Large-Cap Value Fund		0.350	%		0.325	%		0.300	%
Large-Cap Growth Fund		0.350			0.325			0.300
Small-Cap Core Fund		0.650			0.625			0.600
Disciplined International Equity Fund		0.600			0.575			0.550
Alternative Strategies Fund		1.000			0.975			0.950
Global Long/Short Equity Fund		1.000			0.975			0.950
	Fund’s ADNA
Fund	on the first $2 billion			on the next $2 billion			on the first $2 billion			on the first $2 billion			in excess of $8 billion
Government Money Market Fund		0.200	%		0.185	%		0.170	%		0.155	%		0.140	%
Tax-Free Money Market Fund		0.200			0.185			0.170			0.155			0.140
Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090
Institutional Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090

The Pyrford International Stock Fund’s sub-adviser is Pyrford International Ltd., an affiliate of the Adviser. The LGM Emerging Markets Equity Fund’s sub-adviser is LGM Investments Limited, an affiliate of the Adviser. The TCH Corporate Income Fund and TCH Core Plus Bond Fund’s sub-adviser is Taplin, Canida & Habacht, LLC, an affiliate of the Adviser. One of the sub-advisers of the Alternative Strategies Fund is CTC myCFO, LLC, an affiliate of the Adviser, and another sub-adviser is BMO Asset Management Inc., also an affiliate of the Advisor. The Adviser compensates each sub-adviser based on the level of average daily net assets of each respective Fund managed by each sub-adviser.

138

BMO Funds

Contractual Expense Limitation—The Adviser has agreed to waive or reduce its investment advisory fee or reimburse expenses to the extent necessary to prevent class specific total annual operating expenses (excluding taxes, dividend and interest expense, brokerage commissions, other investment related costs, Acquired Fund Fees and Expenses and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the amounts for the periods set forth below. The Adviser may not terminate this arrangement prior to December 31, 2019, without the consent of the Directors, unless the investment advisory agreement is terminated. The Adviser may voluntarily choose to waive any portion of its fee beyond its contractual agreement. The Adviser can modify or terminate this voluntary waiver at any time at its sole discretion. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

	Annualized Contractual Expense Limitation
Fund	Investor Class			Advisor Class			Institutional Class			Premier Class			Retirement Class R-6
Low Volatility Equity Fund					0.90	%		0.65	%
Dividend Income Fund					0.90			0.65
Large-Cap Value Fund					0.79			0.54						0.39	%
Large-Cap Growth Fund		0.79	%		0.79			0.54						0.39
Mid-Cap Value Fund					1.24			0.99						0.84
Mid-Cap Growth Fund					1.24			0.99						0.84
Small-Cap Value Fund					1.24			0.99						0.84
Small-Cap Core Fund					1.15			0.90
Small-Cap Growth Fund					1.24			0.99
Global Low Volatility Equity Fund					1.10			0.85
Disciplined International Equity Fund					1.15			0.90
Pyrford International Stock Fund					1.19			0.94						0.79
LGM Emerging Markets Equity Fund					1.40			1.15
Alternative Strategies Fund					1.70			1.45
Global Long/Short Equity Fund					1.60			1.35
Ultra Short Tax-Free Fund					0.55			0.30
Short Tax-Free Fund					0.55			0.40
Short-Term Income Fund					0.60			0.35
Intermediate Tax-Free Fund		0.54	(1)		0.54	(1)		0.50	(1)
Strategic Income Fund		0.80			0.80			0.55
TCH Corporate Income Fund		0.59			0.59			0.55
TCH Core Plus Bond Fund		0.59			0.59			0.55
High Yield Bond Fund					0.90			0.65
Government Money Market Fund		0.45									0.20	%
Tax-Free Money Market Fund		0.45									0.20
Prime Money Market Fund		0.45									0.20
Institutional Prime Money Market Fund		0.45									0.20

(1) Effective February 12, 2019. Prior to February 12, 2019, the annual rates were 0.55%, 0.55%, and 0.50%, respectively.

Shareholder Servicing Fees—Under the terms of a Shareholder Services Agreement with the Adviser, each Fund pays the Adviser at the annual rate of 0.25% of average daily net assets of the Fund’s Investor Class shares for the period. The fee paid to the Adviser is used to finance certain services for shareholders and to maintain shareholder accounts.

Distribution Services Fees—Certain Funds are subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorizes payments by the Fund to finance activities intended to result in the sale of its Advisor Class and Retirement Class R-3 shares. The Plan provides that the Fund may incur distribution expenses of 0.25% and 0.50% of the average daily net assets of the Fund’s Advisor Class and Retirement Class R-3 shares, respectively.

139

Notes to Financial Statements (continued)

Administration Fees—The fee paid to the Adviser is based on each Fund’s average daily net assets with respect to Administration Fee Schedule A and the aggregate average daily net assets of all Funds representing Administration Fee Schedule B as listed below.

Administration Fee Schedule A		Administration Fee Schedule B
Annual Rate		Annual Rate	ADNA
0.1500%		0.0400%	on the first $2 billion
		0.0300	on the next $2 billion
		0.0250	on the next $2 billion
		0.0200	on the next $2 billion
		0.0100	in excess of $8 billion
Fund		Fund
Low Volatility Equity Fund	Alternative Strategies Fund	Government Money Market Fund
Dividend Income Fund	Global Long/Short Equity Fund	Tax-Free Money Market Fund
Large-Cap Value Fund(1)	Ultra Short Tax-Free Fund	Prime Money Market Fund
Large-Cap Growth Fund(1)	Short Tax-Free Fund	Institutional Prime Money Market Fund
Mid-Cap Value Fund(1)	Short-Term Income Fund
Mid-Cap Growth Fund(1)	Intermediate Tax-Free Fund
Small-Cap Value Fund(1)	Strategic Income Fund
Small-Cap Core Fund	TCH Corporate Income Fund
Small-Cap Growth Fund	TCH Core Plus Bond Fund
Global Low Volatility Equity Fund	High Yield Bond Fund
Disciplined International Equity
Pyrford International Stock Fund(1)
LGM Emerging Markets Equity Fund

(1) For the period ended February 28, 2019, the Funds with class-specific Administration Fees were as follows:

Fund	Investor Class		Advisor Class		Institutional Class
Large-Cap Value Fund	$	—	$	15,387	$	188,332
Large-Cap Growth Fund		44,010		661		190,905
Mid-Cap Value Fund		—		36,185		73,994
Mid-Cap Growth Fund		—		10,742		55,804
Small-Cap Value Fund		—		3,003		36,640
Pyrford International Stock Fund		—		4,045		346,842

Securities Lending—The Funds pay a fee to BMO Harris for its services as the securities lending agent. The securities lending income as shown in the Statements of Operations is net of these fees. The following amounts were paid for the period ended February 28, 2019:

Fund	Fees Paid
Low Volatility Equity Fund	$	4,922
Dividend Income Fund		10,736
Large-Cap Value Fund		28,734
Large-Cap Growth Fund		18,862
Mid-Cap Value Fund		13,197
Mid-Cap Growth Fund		14,546
Small-Cap Value Fund		10,295

Fund	Fees Paid
Small-Cap Core Fund	$	1,481
Small-Cap Growth Fund		7,982
Short-Term Income Fund		62,025
Strategic Income Fund		6,089
TCH Corporate Income Fund		26,354
TCH Core Plus Bond Fund		28,828
High Yield Bond Fund		1,289

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in a BMO Fund. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior periods may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of February 28, 2019 and may include acquisitions of new investments, prior period holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of period-end.

140

BMO Funds

Security/Fund Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Cash Sweep Investments in BMO Institutional Prime Money Market Fund, 2.433%
Low Volatility Equity Fund	$	1,494,204	$	32,513,948	$	30,848,454	$	324		$	(39	)	$	3,159,983	$	32,392	$	—
Dividend Income Fund		3,591,099		72,669,125		69,797,783		(284	)		149			6,462,304		50,842		—
Large-Cap Value Fund		7,482,313		26,991,963		31,287,533		(495	)		(423	)		3,185,825		63,221		—
Large-Cap Growth Fund		6,735,831		62,726,431		58,786,566		(54	)		(1,131	)		10,674,511		75,597		—
Mid-Cap Value Fund		2,420,873		17,501,053		16,196,824		(273	)		(66	)		3,724,762		32,088		—
Mid-Cap Growth Fund		1,583,732		10,386,199		10,731,553		(153	)		(376	)		1,237,849		20,083		—
Small-Cap Value Fund		1,486,191		6,447,096		6,454,441		(153	)		163			1,478,856		12,488		—
Small-Cap Core Fund		440,742		3,572,611		3,745,203		(29	)		32			268,152		4,394		—
Small-Cap Growth Fund		2,038,642		15,383,728		15,690,337		(317	)		170			1,731,886		22,152		—
Global Low Volatility Equity Fund		143,976		9,006,326		8,814,538		71			525			336,361		4,873		—
Disciplined International Equity Fund		2,615,976		16,827,069		18,284,036		40			(191	)		1,158,858		16,278		—
Pyrford International Stock Fund		16,792,467		63,833,391		59,184,602		2,318			(3,954	)		21,439,620		277,187		—
LGM Emerging Markets Equity Fund		7,268,280		73,868,173		72,164,102		(285	)		1,693			8,973,759		92,804		—
Alternative Strategies Fund		24,540,402		24,463,050		21,157,213		319			(553	)		32,328,306		37,280		—
Global Long/Short Equity Fund		3,434,203		1,625,258		4,968,799		(365	)		(59	)		90,237		12,991		—
Short-Term Income Fund		3,242,065		82,299,651		76,172,912		131			(1,602	)		9,367,334		73,198		—
Strategic Income Fund		5,787,248		14,764,811		19,237,494		(275	)		341			1,314,631		21,097		—
TCH Corporate Income Fund		4,850,884		112,708,464		97,218,725		1,558			(1,242	)		20,340,939		82,732		—
TCH Core Plus Bond Fund		40,862,111		265,205,812		269,251,340		1,004			4,505			36,822,091		383,425		—
High Yield Bond Fund		813,997		1,964,577		2,099,032		47			(13	)		679,576		5,630		—
Cash Sweep Investments in BMO Government Money Market Fund, Premier Class, 2.235%
Ultra Short Tax-Free Fund		159,901		63,539,650		63,451,310		—			—			248,241		17,147		—
Short Tax-Free Fund		121,200		10,504,464		10,454,689		—			—			170,976		2,718		—
Collateral Investment for Securities on Loan in BMO Institutional Prime Money Market Fund, 2.433%
Disciplined International Equity Fund		—		4,641,856		4,642,047		—			191			—		760
Global Low Volatility Equity Fund		—		2,768,319		2,152,844		—			—			615,475		1,161
Pyrford International Stock Fund		—		40,629,365		28,993,079		—			1,687			11,637,973		8,513
LGM Emerging Markets Equity Fund		—		12,782,605		10,172,028		—			—			2,610,575		7,938
Global Long/Short Equity Fund		—		498,289		341,506		—			—			156,783		762
Collateral Pool Investments for Securities on Loan in BMO Government Money Market Fund, 2.298%
Low Volatility Equity Fund		2,738,791		62,661,810		64,988,003		—			—			412,598		430
Dividend Income Fund		7,640,119		94,076,510		97,568,909		—			—			4,147,720		452
Large-Cap Value Fund		9,838,293		113,666,641		117,886,284		—			—			5,618,650		1,027
Large-Cap Growth Fund		7,742,453		134,142,528		139,122,297		—			—			2,762,684		1,399
Mid-Cap Value Fund		7,867,691		76,940,643		79,796,909		—			—			5,011,425		622
Mid-Cap Growth Fund		4,808,549		48,766,891		50,577,263		—			—			2,998,177		329
Small-Cap Value Fund		3,336,848		27,649,076		28,675,492		—			—			2,310,432		278
Small-Cap Core Fund		2,497,482		9,358,349		9,705,758		—			—			2,150,073		96
Small-Cap Growth Fund		7,859,576		52,404,064		54,349,458		—			—			5,914,182		503
Short-Term Income Fund		1,711,419		27,650,527		28,676,997		—			—			684,949		226
Strategic Income Fund		1,795,808		15,535,677		16,112,407		—			—			1,219,078		288
TCH Corporate Income Fund		5,916,699		68,003,160		70,527,639		—			—			3,392,220		727
TCH Core Plus Bond Fund		5,949,944		127,439,412		132,170,342		—			—			1,219,014		2,947
High Yield Bond Fund		300,866		3,704,711		3,842,241		—			—			163,336		52
Collateral Pool Investments for Securities on Loan in BMO Institutional Prime Money Market Fund, 2.433%
Low Volatility Equity Fund		3,365,934		—		—		—			—			3,365,934		3,507
Dividend Income Fund		33,836,663		—		—		—			—			33,836,663		3,684
Large-Cap Value Fund		45,836,356		—		—		—			—			45,836,356		8,374
Large-Cap Growth Fund		22,537,683		—		—		—			—			22,537,683		11,415
Mid-Cap Value Fund		40,882,679		—		—		—			—			40,882,679		5,072
Mid-Cap Growth Fund		24,458,815		—		—		—			—			24,458,815		2,686
Small-Cap Value Fund		18,848,261		—		—		—			—			18,848,261		2,270
Small-Cap Core Fund		17,540,073		—		—		—			—			17,540,073		782
Small-Cap Growth Fund		48,247,278		—		—		—			—			48,247,278		4,104
Short-Term Income Fund		5,587,744		—		—		—			—			5,587,744		1,845
Strategic Income Fund		9,945,113		—		—		—			—			9,945,113		2,350
TCH Corporate Income Fund		27,673,376		—		—		—			—			27,673,376		5,927
TCH Core Plus Bond Fund		9,944,592		—		—		—			—			9,944,592		24,044
High Yield Bond Fund		1,332,480		—		—		—			—			1,332,480		420
Investments in Other Affiliates
Fund/Security Description
Short Tax-Free Fund
Ultra Short Tax-Free Fund		875,303		5,883		882,023		2,518			(1,681	)		—		5,966		—

141

Notes to Financial Statements (continued)

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes, although the Money Market Funds cannot participate as borrowers. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of a Money Market Fund and (ii) more favorable to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. No interfund borrowing or lending balances existed as of February 28, 2019.

Funds utilizing the Interfund lending program, borrowing from the BMO Government Money Market Fund during the period ended February 28, 2019, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Dividend Income Fund	$	6,996		2.579	%
Large-Cap Value Fund		277,279		1.883
Large-Cap Growth Fund		111,460		2.579
Mid-Cap Value Fund		4,514		1.881
Mid-Cap Growth Fund		60,748		1.842
Small-Cap Value Fund		7,318		2.565
Small-Cap Core Fund		8,866		1.883
Small-Cap Growth Fund		8,878		2.357

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Global Low Volatility Equity Fund	$	15,308		1.826	%
Disciplined International Equity Fund		479		2.582
Global Long/Short Equity Fund		64,275		2.224
Ultra Short Tax-Free Fund		38,869		1.994
Intermediate Tax-Free Fund		18,598		1.937
Strategic Income Fund		341		2.581
TCH Corporate Income Fund		2,190		1.890

General—Certain of the Officers and Directors of the Corporation are also Officers and Directors/Trustees of one or more of the above companies, which are affiliates of the Corporation. None of the Fund Officers or interested Directors receives any compensation from the Funds.

7. Line of Credit

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with State Street Bank. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at February 28, 2019. The Funds did not utilize the LOC during the period ended February 28, 2019.

8. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the period ended February 28, 2019 were as follows:

	Other than U.S Government Securities				U.S Government Securities
Fund	Purchases		Sales		Purchases		Sales
Low Volatility Equity Fund	$	75,747,707	$	55,003,384	$	—	$	—
Dividend Income Fund		179,613,895		110,116,669		—		—
Large-Cap Value Fund		129,490,116		174,334,042		—		—
Large-Cap Growth Fund		158,609,884		174,014,551		—		—
Mid-Cap Value Fund		51,238,950		66,764,017		—		—
Mid-Cap Growth Fund		42,118,260		56,545,408		—		—
Small-Cap Value Fund		30,048,068		35,028,439		—		—
Small-Cap Core Fund		12,073,391		12,515,394		—		—
Small-Cap Growth Fund		49,182,491		60,999,509		—		—
Global Low Volatility Equity Fund		19,669,207		14,786,721		—		—
Disciplined International Equity Fund		44,669,659		38,914,889		—		—
Pyrford International Stock Fund		99,703,642		91,837,005		—		—
LGM Emerging Markets Equity Fund		141,270,460		118,189,422		—		—
Alternative Strategies Fund		105,161,865		126,598,219		3,226,138		3,748,891
Global Long/Short Equity Fund		6,694,197		10,040,180		—		—
Ultra Short Tax-Free Fund		535,884,526		552,442,573		3,000,000		25,000
Short Tax-Free Fund		103,422,029		121,428,167		1,000,000		—
Short-Term Income Fund		180,052,403		164,224,631		11,536,849		16,812,110
Intermediate Tax-Free Fund		831,344,438		881,939,733		2,000,000		20,000
Strategic Income Fund		35,783,870		41,204,890		1,482,279		4,687,065
TCH Corporate Income Fund		221,075,921		170,048,243		1,895,000		3,256,191
TCH Core Plus Bond Fund		426,459,088		443,768,767		85,778,834		161,016,275
High Yield Bond Fund		3,299,112		4,168,638		—		—

142

BMO Funds

9. Federal Tax Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are due in part to differing treatments for net operating loss, foreign currency transactions, paydown gain or loss, market discount accretion, premium amortization and expiring capital loss carryforwards.

To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts, on the Statements of Assets and Liabilities, based on their Federal tax basis treatment; temporary differences do not require reclassification and had no impact on the NAV of the Funds.

The Funds complied with FASB interpretation Accounting for Uncertainty in Income Taxes which provides guidance for how uncertain tax provisions should be recognized, measured, presented and disclosed in the financial statements. Accounting for Uncertainty in Income Taxes requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not,” (i.e., greater than 50 percent) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year.

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). There are no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended February 28, 2019. Management of the Funds also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, derivatives, foreign unrealized capital gains tax, foreign currency and the discount accretion/premium amortization of debt securities.

Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized Depreciation for Federal Tax Purposes			Net Unrealized Appreciation (Depreciation) for Federal Tax Purposes
Low Volatility Equity Fund	$	194,608,593	$	26,813,582	$	(1,346,059	)	$	25,467,523
Dividend Income Fund		287,372,662		36,686,494		(2,061,668	)		38,748,162
Large-Cap Value Fund		399,816,426		51,742,464		(8,251,408	)		43,491,056
Large-Cap Growth Fund		416,883,970		103,529,742		(7,740,692	)		95,789,052
Mid-Cap Value Fund		238,023,386		25,997,705		(7,602,890	)		18,349,815
Mid-Cap Growth Fund		144,793,315		20,319,693		(2,338,425	)		22,658,118
Small-Cap Value Fund		88,113,742		8,362,825		(3,100,461	)		5,262,364
Small-Cap Core Fund		28,578,146		3,267,315		(955,224	)		2,312,091
Small-Cap Growth Fund		164,338,733		22,518,530		(5,839,230	)		16,679,300
Global Low Volatility Equity Fund		32,011,257		4,832,697		(932,952	)		5,765,649
Disciplined International Equity Fund		76,704,328		7,376,097		(4,915,719	)		12,291,816
Pyrford International Stock Fund		604,525,390		84,363,786		(34,780,437	))		49,583,349
LGM Emerging Markets Equity Fund		207,302,061		31,202,680		(11,506,887	)		19,695,793
Alternative Strategies Fund		62,569,313		2,350,049		(1,051,304	)		3,401,353
Global Long/Short Equity Fund		5,670,823		698,140		(333,070	)		1,031,210
Ultra Short Tax-Free Fund		595,015,298		641,873		(373,534	)		268,339
Short Tax-Free Fund		172,360,044		937,581		(438,740	)		498,801
Short-Term Income Fund		281,934,904		788,478		(1,239,587	)		(451,108	)
Intermediate Tax-Free Fund		1,678,887,280		48,462,521		(2,358,249	)		46,104,273
Strategic Income Fund		96,774,510		1,036,657		(2,539,898	)		(1,503,241	)
TCH Corporate Income Fund		366,903,154		2,674,139		(6,008,731	)		(3,334,592	)
TCH Core Plus Bond Fund		1,092,777,253		8,861,324		(18,707,623	)		(9,846,299	)
High Yield Bond Fund		14,402,105		162,630		(304,041	)		(141,411	)
Government Money Market Fund		2,951,837,799		—		—			—
Tax-Free Money Market Fund		435,926,216		—		—			—
Prime Money Market Fund		431,311,107		—		—			—
Institutional Prime Money Market Fund		586,694,293		74,902		(9,530	)		65,372

143

Notes to Financial Statements (continued)

The tax character of distributions reported on the Statements of Changes in Net Assets for the years ended August 31, 2018 and August 31, 2017, were as follows:

	2018						2017
Fund	Ordinary Income		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income		Tax-Exempt Income		Long-Term Capital Gains
Low Volatility Equity Fund	$	3,160,478	$	—	$	3,189,229	$	2,603,123	$	—	$	1,905,554
Dividend Income Fund		5,133,814		—		11,100,034		2,500,532		—		959,489
Large-Cap Value Fund		11,266,495		—		23,620,755		4,510,036		—		2,304,010
Large-Cap Growth Fund		5,872,237		—		14,405,633		1,825,514		—		15,369,764
Mid-Cap Value Fund		5,417,735		—		4,733,501		4,684,525		—		56,396,982
Mid-Cap Growth Fund		3,084,500		—		3,984,417		5,370,941		—		21,512,271
Small-Cap Value Fund		3,505,522		—		1,725,945		3,050,561		—		3,585,078
Small-Cap Core Fund		454,372		—		822,023		168,167		—		124,126
Small-Cap Growth Fund		—		—		14,759,760		—		—		—
Global Low Volatility Equity Fund		1,366,846		—		495,697		1,170,206		—		97,713
Disciplined International Equity Fund		1,534,123		—		—		1,676,485		—		—
Pyrford International Stock Fund		16,810,534		—		—		14,300,415		—		—
LGM Emerging Markets Equity Fund		1,245,393		—		—		957,823		—		—
Alternative Strategies Fund		49,511		—		4,427,483		—		—		—
Global Long/Short Equity Fund		188,423		—		226,026		56,198		—		4,250
Ultra Short Tax-Free Fund		94,095		7,997,980		217,628		2,011		5,640,480		639,708
Short Tax-Free Fund		—		2,927,616		—		11,645		2,531,848		38,121
Short-Term Income Fund		5,064,383		—		—		4,432,458		—		—
Intermediate Tax-Free Fund		—		46,051,482		—		2,084,903		43,607,907		3,410,963
Strategic Income Fund		4,339,645		—		—		3,032,372		—		—
TCH Corporate Income Fund		8,278,452		—		—		7,493,830		—		569,448
TCH Core Plus Bond Fund		32,309,452		—		—		28,160,653		—		—
High Yield Bond Fund		652,504		—		—		2,221,025		—		—
Government Money Market Fund		40,601,282		—		900		13,191,339		—		3,237
Tax-Free Money Market Fund		—		3,674,509		—		20,120		1,920,845		86,463
Prime Money Market Fund		5,929,727		—		111		2,441,514		—		—
Institutional Prime Money Market Fund		6,828,289		—		35		3,084,589		—		—

As of August 31, 2018, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Tax-Exempt Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Foreign Currency, Futures Dividend Payable, and Other Adjustments			Unrealized Appreciation (Depreciation)
Low Volatility Equity Fund	$	1,633,663	$	—	$	9,175,654	$	—		$	—		$	24,206,318
Dividend Income Fund		698,635		—		6,855,034		—			—			36,423,087
Large-Cap Value Fund		4,270,259		—		28,831,046		—				(2)		62,780,627
Large-Cap Growth Fund		11,523,583		—		34,995,341		—				(1)		128,315,113
Mid-Cap Value Fund		2,264,935		—		19,254,357		—			—			26,903,714
Mid-Cap Growth Fund		5,879,806		—		10,955,561		—			—			29,440,371
Small-Cap Value Fund		1,801,630		—		3,047,422		—			—			12,292,900
Small-Cap Core Fund		492,291		—		1,456,896		—			—			4,232,003
Small-Cap Growth Fund		5,124,772		—		13,272,114		—			—			34,011,708
Global Low Volatility Equity Fund		1,069,473		—		4,334,916		—			—			4,363,503
Disciplined International Equity Fund		1,261,906		—		—		(13,743	)		4,452			4,151,342
Pyrford International Stock Fund		15,265,819		—		—		(28,544,907	)		—			53,469,702
LGM Emerging Markets Equity Fund		3,802,840		—		3,884,420		—			—			24,542,739
Alternative Strategies Fund		—		—		—		—			—			1,644,237
Global Long/Short Equity Fund		50,850		—		—		—			—			863,407
Ultra Short Tax-Free Fund		—		402,644		—		—			422,300			77,988
Short Tax-Free Fund		—		180,366		—		(200,006	)		178,355			85,162
Short-Term Income Fund		208,045		—		—		(1,995,755	)		180,027			(1,524,397	)
Intermediate Tax-Free Fund		—		845,431		—		(9,759,547	)		887,982			34,292,244
Strategic Income Fund		—		—		—		(3,065,182	)		15,832			(2,121,890	)
TCH Corporate Income Fund		704,100		—		439,797		—			278,988			(2,292,980	)
TCH Core Plus Bond Fund		255,697		—		—		(7,255,968	)		271,744			(9,343,604	)
High Yield Bond Fund		—		—		—		(3,114,880	)		3,660			(73,733	)
Government Money Market Fund		4,112,372		—		200		—			4,112,713			—
Tax-Free Money Market Fund		24,255		342,981		—		—			367,182			—
Prime Money Market Fund		436,537		—		—		—			460,504			—
Institutional Prime Money Market Fund		577,481		—		—		—			561,043			56,099

144

BMO Funds

At August 31, 2018, the Funds had capital loss carryforwards, which reduce the Funds’ taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Funds of any liability for federal tax. Pursuant to the Code, such capital loss carryforwards are not subject to expiration and are as follows:

	Capital Loss Carryforwards
Fund	Short-Term		Long-Term		Total
Disciplined International Equity Fund	$	13,743	$	—	$	13,743
Pyrford International Stock Fund		1,449,091		27,095,816		28,544,907
Short Tax-Free Fund		200,006		—		200,006
Short-Term Income Fund		635,906		1,359,849		1,995,755
Intermediate Tax-Free Fund		9,759,547		—		9,759,547
Strategic Income Fund		—		3,065,182		3,065,182
TCH Core Plus Bond Fund		1,323,964		5,932,004		7,255,968
High Yield Bond Fund		1,140,981		1,973,899		3,114,880

As of August 31, 2018, the following funds had post-October losses, which are deferred until fiscal year 2019 for tax purposes of:

	Post October Losses
Fund	Short-Term		Long-Term
Alternative Strategies Fund	$	334,731	$	544,222
Global Long/Short Equity Fund		643,800		(528,834	)

Net capital losses incurred after October 31, and within the taxable year, are deemed to arise on the first day of the Funds’ next taxable year.

As of August 31, 2018, the Alternative Strategies Fund had qualified late-year ordinary losses of $654,336, which are deferred until fiscal year 2019 for tax purposes. Net late-year losses incurred after December 31, and within the taxable year, are deemed to arise on the first day of the Funds’ next taxable year.

10. Subsequent Events

Management of the Funds have evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that no subsequent events exist requiring recognition or disclosure in the financial statements.

145

Shareholder Report Disclosure of Directors’ Approval of
Advisory Contracts (Unaudited)

Approval of Subadvisory Agreement for BMO Alternative Strategies Fund

At a meeting held on August 7-8, 2018 (the “Meeting”), the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation (the “Independent Directors”) as defined in the Investment Company Act of 1940, as amended (the “1940 Act”), considered the initial approval of the subadvisory agreement (the “Subadvisory Agreement”) between BMO Asset Management Corp. (the “Adviser”) and BMO Asset Management Limited (formerly, F&C Management Limited) (the “Subadviser”), on behalf of the BMO Alternative Strategies Fund (the “Fund”).

In considering the Subadvisory Agreement, the Board met with management of the Adviser and with representatives from the Subadviser. The Board and the Adviser discussed the multi-manager structure of the Fund and the proposed new global macro strategy and market neutral strategy to be employed by the Subadviser in managing its allocated portions of the Fund’s assets. The Board and the Adviser also discussed the objectives and principal investment strategies of the Fund; the capabilities of the Subadviser’s investment teams, including performance records and capacity; the proposed fee and expense structure; the competitive landscape and the schedule for implementing the new strategies for the Fund. In addition, representatives of the Subadviser described, among other things, their proposed management of the investment strategies to be employed for the Fund, including the proposed portfolio management team’s experience and its investment approach and process. The Board then discussed the product, the investment teams, the nature and quality of services to be provided by the investment teams, and the fees and expenses charged to the Fund. The Board, including the Independent Directors, was satisfied with the capabilities of the Subadviser and the investment teams to adequately manage their allocated portions of the Fund, and the relative fees and expenses.

In addition to evaluating, among other things, the written information provided by the Adviser, the Board also took into account their accumulated experience in working with the Adviser on matters related to the Fund. The Independent Directors also met separately in executive sessions with their independent legal counsel to review and consider the information provided regarding the Subadvisory Agreement.

Based on their review, the Independent Directors and the full Board concluded that it was in the best interests of the Fund to approve the Subadvisory Agreement. In reaching its decision, the Board considered materials relevant to its review of the Subadvisory Agreement, including a copy of the proposed Subadvisory Agreement; the fees proposed to be paid to the Subadviser; information regarding the Fund’s investment strategies and operations; information regarding the Subadviser’s financial condition, personnel, compliance program and operations; and other information provided in response to the requirements of Section 15(c) of the 1940 Act. In their deliberations, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

146

NOTES

147

NOTES

148

This report is authorized for distribution to prospective investors only when preceded or accompanied by the Funds’ prospectuses, which contain facts concerning each Fund’s objective and policies, management fees, expenses, and other information.

Proxy Voting

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the Funds’ Statement of Additional Information, which is available on the Funds’ website at http://www.bmofunds.com and on the SEC’s website at http://www.sec.gov.

Each Fund’s proxy voting record for the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the SEC’s website at http://www.sec.gov.

Disclosure of Portfolio Holdings

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Shares of the BMO Funds are not bank deposits or other obligations of, or issued, endorsed or guaranteed by, BMO Harris Bank, NA, or any of its affiliates. Shares of the BMO Funds, like shares of all mutual funds, are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.

PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1793

	BMO Funds U.S. Services P.O. Box 55931 Boston, MA 02205-5931
	Contact us 1-800-236-FUND (3863) 414-287-8555
	Learn more bmofunds.com

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

Investment products are: NOT FDIC INSURED — NO BANK GUARANTEE — MAY LOSE VALUE.

© 2019 BMO Financial Corp. (3/19)

BMO Funds February 28, 2019

Semi-Annual

report

Target Retirement Funds

Target Risk Funds

Notification of electronic delivery of shareholder materials

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your broker/dealer, investment professional, or financial institution. Instead, the reports will be made available online at bmofunds.com/documents, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by calling 1-800-236-FUND (3863), by sending an email request to bmofundsus.services@bmo.com, or by asking your broker/dealer, investment professional, or financial institution.

Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call the Funds toll-free at 1-800-236-FUND (3863) or send an email request to bmofundsus.services@bmo.com. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Funds.

Table of Contents

Financial Information
Expense Example			2
Schedules of Investments:
BMO In-Retirement Fund	4	BMO Target Retirement 2050 Fund	9
BMO Target Retirement 2015 Fund	4	BMO Target Retirement 2055 Fund	10
BMO Target Retirement 2020 Fund	5	BMO Conservative Allocation Fund	10
BMO Target Retirement 2025 Fund	6	BMO Moderate Allocation Fund	11
BMO Target Retirement 2030 Fund	6	BMO Balanced Allocation Fund	12
BMO Target Retirement 2035 Fund	7	BMO Growth Allocation Fund	13
BMO Target Retirement 2040 Fund	8	BMO Aggressive Allocation Fund	13
BMO Target Retirement 2045 Fund	8
Notes to Schedules of Investments			14
Statements of Assets and Liabilities			15
Statements of Operations			18
Statements of Changes in Net Assets			21
Financial Highlights			26
Notes to Financial Statements			36

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 28, 2019

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 28, 2019 (9/1/18-2/28/19).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 9/1/18		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Annualized Expense Ratio(1)
In-Retirement Fund
Investor	$	1,000.00	$	999.20	$	1.64	$	1,023.16	$	1.66		0.33	%
Retirement class R-3		1,000.00		997.00		2.87		1,021.92		2.91		0.58
Retirement class R-6		1,000.00		1,001.60		0.00		1,024.79		0.00		0.00
2015 Fund
Investor		1,000.00		993.80		1.63		1,023.16		1.66		0.33
Retirement class R-3		1,000.00		992.90		2.87		1,021.92		2.91		0.58
Retirement class R-6		1,000.00		996.40		0.00		1,024.79		0.00		0.00
2020 Fund
Investor		1,000.00		986.70		1.63		1,023.16		1.66		0.33
Retirement class R-3		1,000.00		984.40		2.85		1,021.92		2.91		0.58
Retirement class R-6		1,000.00		988.30		0.00		1,024.79		0.00		0.00
2025 Fund
Investor		1,000.00		980.50		1.62		1,023.16		1.66		0.33
Retirement class R-3		1,000.00		979.50		2.85		1,021.92		2.91		0.58
Retirement class R-6		1,000.00		982.30		0.00		1,024.79		0.00		0.00
2030 Fund
Investor		1,000.00		975.80		1.81		1,022.96		1.86		0.37
Retirement class R-3		1,000.00		975.50		3.04		1,021.72		3.11		0.62
Retirement class R-6		1,000.00		978.20		0.00		1,024.79		0.00		0.00
2035 Fund
Investor		1,000.00		972.30		1.81		1,022.96		1.86		0.37
Retirement class R-3		1,000.00		971.70		3.03		1,021.72		3.11		0.62
Retirement class R-6		1,000.00		974.10		0.00		1,024.79		0.00		0.00

2

Expense Example (Unaudited) (continued)

	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 9/1/18		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Ending account value 2/28/19		Expenses paid during period 9/1/18- 2/28/19(1)		Annualized Expense Ratio(1)
2040 Fund
Investor	$	1,000.00	$	970.70	$	1.76	$	1,023.01	$	1.81		0.36	%
Retirement class R-3		1,000.00		969.50		2.98		1,021.77		3.06		0.61
Retirement class R-6		1,000.00		972.80		0.00		1,024.79		0.00		0.00
2045 Fund
Investor		1,000.00		971.80		1.76		1,023.01		1.81		0.36
Retirement class R-3		1,000.00		969.60		2.98		1,021.77		3.06		0.61
Retirement class R-6		1,000.00		972.80		0.00		1,024.79		0.00		0.00
2050 Fund
Investor		1,000.00		970.50		1.76		1,023.01		1.81		0.36
Retirement class R-3		1,000.00		969.50		2.98		1,021.77		3.06		0.61
Retirement class R-6		1,000.00		972.50		0.00		1,024.79		0.00		0.00
2055 Fund
Investor		1,000.00		969.70		1.76		1,023.01		1.81		0.36
Retirement class R-3		1,000.00		968.60		2.98		1,021.77		3.06		0.61
Retirement class R-6		1,000.00		972.10		0.00		1,024.79		0.00		0.00
Conservative Allocation Fund
Investor		1,000.00		1,000.90		1.64		1,023.16		1.66		0.33
Institutional		1,000.00		1,002.20		0.40		1,024.40		0.40		0.08
Retirement class R-3		1,000.00		998.60		2.87		1,021.92		2.91		0.58
Retirement class R-6		1,000.00		1,002.10		0.00		1,024.79		0.00		0.00
Moderate Allocation Fund
Investor		1,000.00		990.80		1.48		1,023.31		1.51		0.30
Institutional		1,000.00		991.30		0.25		1,024.55		0.25		0.05
Retirement class R-3		1,000.00		988.90		2.71		1,022.07		2.76		0.55
Retirement class R-6		1,000.00		993.30		0.00		1,024.79		0.00		0.00
Balanced Allocation Fund
Investor		1,000.00		979.70		1.62		1,023.16		1.66		0.33
Institutional		1,000.00		981.40		0.39		1,024.40		0.40		0.08
Retirement class R-3		1,000.00		977.90		2.84		1,021.92		2.91		0.58
Retirement class R-6		1,000.00		981.50		0.00		1,024.79		0.00		0.00
Growth Allocation Fund
Investor		1,000.00		969.80		1.47		1,023.31		1.51		0.30
Institutional		1,000.00		971.00		0.24		1,024.55		0.25		0.05
Retirement class R-3		1,000.00		968.10		2.68		1,022.07		2.76		0.55
Retirement class R-6		1,000.00		972.00		0.00		1,024.79		0.00		0.00
Aggressive Allocation Fund
Investor		1,000.00		964.10		1.61		1,023.16		1.66		0.33
Institutional		1,000.00		966.00		0.39		1,024.40		0.40		0.08
Retirement class R-3		1,000.00		961.50		2.82		1,021.92		2.91		0.58
Retirement class R-6		1,000.00		965.00		0.00		1,024.79		0.00		0.00

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2018 through February 28, 2019, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

3

February 28, 2019 (Unaudited)

Schedules of Investments BMO Funds

In-Retirement Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 16.0%
BMO Dividend Income Fund — Institutional Class (1)		14,543	$	207,822
BMO Large-Cap Growth Fund — Class R6 (1)		7,557		131,497
BMO Large-Cap Value Fund — Class R6 (1)		21,420		307,160
BMO Low Volatility Equity Fund — Institutional Class (1)		20,277		297,460
Harbor Capital Appreciation Fund — Retirement Class		1,847		131,521
T Rowe Price Growth Stock Fund — Institutional Class		2,016		130,931
Vanguard Equity Income Fund — Admiral Class		3,448		252,385
Vanguard Institutional Index Fund — Institutional Class		1,165		295,615
Total Large-Cap Funds				1,754,391
Mid-Cap Funds — 3.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		3,598		54,551
BMO Mid-Cap Value Fund — Class R6 (1)		12,546		131,476
Vanguard Mid-Cap Index Fund — Institutional Class		3,524		153,434
Total Mid-Cap Funds				339,461
Small-Cap Funds — 1.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		1,937		32,793
Goldman Sachs Small Cap Value Fund — Institutional Class		1,830		98,424
Total Small-Cap Funds				131,217
International Funds — 9.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		24,775		256,172
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		4,378		65,232
BMO Pyrford International Stock Fund — Class R6 (1)		17,818		225,048
DFA International Small Company Portfolio — Institutional Class		1,864		32,836
Dodge & Cox International Stock Fund — Retail Class		4,691		191,623
MFS International Value Fund — Class R6		6,537		268,350
Total International Funds				1,039,261
Fixed Income Funds — 62.0%
BMO High Yield Bond Fund — Institutional Class (1)		21,525		197,604
BMO TCH Core Plus Bond Fund — Institutional Class (1)		198,722		2,261,461
Federated Institutional High-Yield Bond Fund — Class R6		32,855		318,360
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		34,632		329,699
Metropolitan West Total Return Bond Fund — Plan Class		262,195		2,582,623
TCW Emerging Markets Income Fund — Institutional Class		40,505		328,493
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		23,983		581,334

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Investment Grade Fund — Admiral Class		20,871	$	219,559
Total Fixed Income Funds				6,819,133
Alternative Funds — 7.0%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		81,919		766,767
Total Mutual Funds (identified cost $9,652,890)				10,850,230
Total Investments — 98.7% (identified cost $9,652,890)				10,850,230
Other Assets and Liabilities — 1.3%				144,772
Total Net Assets — 100.0%			$	10,995,002

2015 Fund

Description	Shares		Value
Mutual Funds — 96.7%
Large-Cap Funds — 18.5%
BMO Dividend Income Fund — Institutional Class (1)		2,640	$	37,732
BMO Large-Cap Growth Fund — Class R6 (1)		2,289		39,827
BMO Large-Cap Value Fund — Class R6 (1)		5,254		75,338
BMO Low Volatility Equity Fund — Institutional Class (1)		4,906		71,966
Harbor Capital Appreciation Fund — Retirement Class		559		39,825
T Rowe Price Growth Stock Fund — Institutional Class		608		39,517
Vanguard Equity Income Fund — Admiral Class		734		53,706
Vanguard Institutional Index Fund — Institutional Class		311		78,897
Total Large-Cap Funds				436,808
Mid-Cap Funds — 4.0%
BMO Mid-Cap Growth Fund — Class R6 (1)		909		13,787
BMO Mid-Cap Value Fund — Class R6 (1)		3,589		37,609
Vanguard Mid-Cap Index Fund — Institutional Class		1,005		43,754
Total Mid-Cap Funds				95,150
Small-Cap Funds — 1.6%
BMO Small-Cap Growth Fund — Institutional Class (1)		700		11,855
Goldman Sachs Small Cap Value Fund — Institutional Class		476		25,579
Total Small-Cap Funds				37,434
International Funds — 11.6%
BMO Disciplined International Equity Fund — Institutional Class (1)		6,321		65,358
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		1,627		24,250
BMO Pyrford International Stock Fund — Class R6 (1)		4,629		58,459
DFA International Small Company Portfolio — Institutional Class		524		9,236
Dodge & Cox International Stock Fund — Retail Class		1,319		53,874

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

4

2015 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
MFS International Value Fund — Class R6		1,491	$	61,217
Total International Funds				272,394
Fixed Income Funds — 53.7%
BMO High Yield Bond Fund — Institutional Class (1)		3,777		34,670
BMO TCH Core Plus Bond Fund — Institutional Class (1)		37,966		432,049
Federated Institutional High-Yield Bond Fund — Class R6		6,208		60,153
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		6,544		62,303
Metropolitan West Total Return Bond Fund — Plan Class		51,134		503,675
TCW Emerging Markets Income Fund — Institutional Class		8,019		65,037
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		4,494		108,930
Total Fixed Income Funds				1,266,817
Alternative Funds — 7.3%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		18,471		172,890
Total Mutual Funds (identified cost $2,162,706)				2,281,493
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		22,990		22,992
Total Short-Term Investments — 1.0% (identified cost $22,990)				22,992
Total Investments — 97.7% (identified cost $2,185,696)				2,304,485
Other Assets and Liabilities — 2.3%				54,131
Total Net Assets — 100.0%			$	2,358,616

2020 Fund

Description	Shares		Value
Mutual Funds — 99.7%
Large-Cap Funds — 27.2%
BMO Dividend Income Fund — Institutional Class (1)		84,269	$	1,204,206
BMO Large-Cap Growth Fund — Class R6 (1)		80,891		1,407,512
BMO Large-Cap Value Fund — Class R6 (1)		182,479		2,616,742
BMO Low Volatility Equity Fund — Institutional Class (1)		192,919		2,830,119
Harbor Capital Appreciation Fund — Retirement Class		24,483		1,742,951
T Rowe Price Growth Stock Fund — Institutional Class		26,713		1,735,289
Vanguard Equity Income Fund — Admiral Class		25,673		1,879,247
Vanguard Institutional Index Fund — Institutional Class		18,480		4,687,701
Total Large-Cap Funds				18,103,767

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds — 6.9%
BMO Mid-Cap Growth Fund — Class R6 (1)		79,231	$	1,201,148
BMO Mid-Cap Value Fund — Class R6 (1)		153,463		1,608,291
Vanguard Mid-Cap Index Fund — Institutional Class		41,568		1,809,873
Total Mid-Cap Funds				4,619,312
Small-Cap Funds — 2.6%
BMO Small-Cap Growth Fund — Institutional Class (1)		39,490		668,573
Goldman Sachs Small Cap Value Fund — Institutional Class		19,899		1,070,159
Total Small-Cap Funds				1,738,732
International Funds — 16.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		253,439		2,620,552
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		107,138		1,596,361
BMO Pyrford International Stock Fund — Class R6 (1)		224,878		2,840,212
DFA International Small Company Portfolio — Institutional Class		18,998		334,742
Dodge & Cox International Stock Fund — Retail Class		39,841		1,627,508
MFS International Value Fund — Class R6		46,184		1,895,865
Total International Funds				10,915,240
Fixed Income Funds — 40.2%
BMO High Yield Bond Fund — Institutional Class (1)		65,828		604,300
BMO TCH Core Plus Bond Fund — Institutional Class (1)		837,831		9,534,517
Federated Institutional High-Yield Bond Fund — Class R6		117,797		1,141,456
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		127,090		1,209,899
Metropolitan West Total Return Bond Fund — Plan Class		1,140,332		11,232,274
TCW Emerging Markets Income Fund — Institutional Class		123,877		1,004,640
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		83,031		2,012,657
Total Fixed Income Funds				26,739,743
Alternative Funds — 6.4%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		450,971		4,221,092
Total Mutual Funds (identified cost $53,359,646)				66,337,886
Total Investments — 99.7% (identified cost $53,359,646)				66,337,886
Other Assets and Liabilities — 0.3%				197,207
Total Net Assets — 100.0%			$	66,535,093

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

5

February 28, 2019 (Unaudited)

Schedules of Investments BMO Funds

2025 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 31.5%
BMO Dividend Income Fund — Institutional Class (1)		26,239	$	374,952
BMO Large-Cap Growth Fund — Class R6 (1)		43,174		751,226
BMO Large-Cap Value Fund — Class R6 (1)		96,816		1,388,335
BMO Low Volatility Equity Fund — Institutional Class (1)		61,373		900,337
Harbor Capital Appreciation Fund — Retirement Class		16,643		1,184,848
T Rowe Price Growth Stock Fund — Institutional Class		18,162		1,179,792
Vanguard Equity Income Fund — Admiral Class		7,114		520,775
Vanguard Institutional Index Fund — Institutional Class		11,153		2,829,239
Total Large-Cap Funds				9,129,504
Mid-Cap Funds — 9.0%
BMO Mid-Cap Growth Fund — Class R6 (1)		53,138		805,577
BMO Mid-Cap Value Fund — Class R6 (1)		79,940		837,769
Vanguard Mid-Cap Index Fund — Institutional Class		22,565		982,484
Total Mid-Cap Funds				2,625,830
Small-Cap Funds — 3.8%
BMO Small-Cap Growth Fund — Institutional Class (1)		30,644		518,806
Goldman Sachs Small Cap Value Fund — Institutional Class		10,724		576,709
Total Small-Cap Funds				1,095,515
International Funds — 22.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		104,265		1,078,096
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		65,434		974,970
BMO Pyrford International Stock Fund — Class R6 (1)		134,065		1,693,246
DFA International Small Company Portfolio — Institutional Class		11,466		202,034
Dodge & Cox International Stock Fund — Retail Class		34,280		1,400,339
MFS International Value Fund — Class R6		27,791		1,140,817
Total International Funds				6,489,502
Fixed Income Funds — 26.3%
BMO High Yield Bond Fund — Institutional Class (1)		22,070		202,606
BMO TCH Core Plus Bond Fund — Institutional Class (1)		221,278		2,518,143
Federated Institutional High-Yield Bond Fund — Class R6		38,831		376,269
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		42,609		405,640
Metropolitan West Total Return Bond Fund — Plan Class		325,179		3,203,015
TCW Emerging Markets Income Fund — Institutional Class		39,161		317,597

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		25,055	$	607,320
Total Fixed Income Funds				7,630,590
Alternative Funds — 5.6%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		172,796		1,617,372
Total Mutual Funds (identified cost $26,636,792)				28,588,313
Short-Term Investments — 0.8%
Mutual Funds — 0.8%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		216,263		216,284
Total Short-Term Investments — 0.8% (identified cost $216,262)				216,284
Total Investments — 99.4% (identified cost $26,853,054)				28,804,597
Other Assets and Liabilities — 0.6%				176,804
Total Net Assets — 100.0%			$	28,981,401

2030 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 35.3%
BMO Dividend Income Fund — Institutional Class (1)		87,337	$	1,248,046
BMO Large-Cap Growth Fund — Class R6 (1)		138,585		2,411,374
BMO Large-Cap Value Fund — Class R6 (1)		342,867		4,916,714
BMO Low Volatility Equity Fund — Institutional Class (1)		214,168		3,141,853
Harbor Capital Appreciation Fund — Retirement Class		57,718		4,108,975
T Rowe Price Growth Stock Fund — Institutional Class		62,976		4,090,913
Vanguard Equity Income Fund — Admiral Class		25,654		1,877,846
Vanguard Institutional Index Fund — Institutional Class		38,692		9,814,985
Total Large-Cap Funds				31,610,706
Mid-Cap Funds — 10.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		187,724		2,845,902
BMO Mid-Cap Value Fund — Class R6 (1)		272,630		2,857,165
Vanguard Mid-Cap Index Fund — Institutional Class		77,954		3,394,091
Total Mid-Cap Funds				9,097,158
Small-Cap Funds — 4.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		110,517		1,871,042
Goldman Sachs Small Cap Value Fund — Institutional Class		34,803		1,871,715
Total Small-Cap Funds				3,742,757

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

6

2030 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 25.1%
BMO Disciplined International Equity Fund — Institutional Class (1)		350,583	$	3,625,030
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		231,968		3,456,326
BMO Pyrford International Stock Fund — Class R6 (1)		464,565		5,867,450
DFA International Small Company Portfolio — Institutional Class		45,558		802,739
Dodge & Cox International Stock Fund — Retail Class		119,714		4,890,295
MFS International Value Fund — Class R6		93,040		3,819,300
Total International Funds				22,461,140
Fixed Income Funds — 18.7%
BMO High Yield Bond Fund — Institutional Class (1)		48,724		447,290
BMO TCH Core Plus Bond Fund — Institutional Class (1)		479,521		5,456,952
Federated Institutional High-Yield Bond Fund — Class R6		73,856		715,662
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		94,067		895,521
Metropolitan West Total Return Bond Fund — Plan Class		760,570		7,491,614
TCW Emerging Markets Income Fund — Institutional Class		77,024		624,662
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		47,937		1,161,984
Total Fixed Income Funds				16,793,685
Alternative Funds — 5.2%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		495,916		4,641,773
Total Mutual Funds (identified cost $66,924,080)				88,347,219
Short-Term Investments — 0.7%
Mutual Funds — 0.7%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		668,334		668,401
Total Short-Term Investments — 0.7% (identified cost $668,293)				668,401
Total Investments — 99.3% (identified cost $67,592,373)				89,015,620
Other Assets and Liabilities — 0.7%				599,107
Total Net Assets — 100.0%			$	89,614,727

2035 Fund

Description	Shares		Value
Mutual Funds — 98.1%
Large-Cap Funds — 38.4%
BMO Dividend Income Fund — Institutional Class (1)		17,291	$	247,088
BMO Large-Cap Growth Fund — Class R6 (1)		27,630		480,756
BMO Large-Cap Value Fund — Class R6 (1)		67,869		973,248

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
BMO Low Volatility Equity Fund — Institutional Class (1)		43,053	$	631,585
Harbor Capital Appreciation Fund — Retirement Class		11,876		845,420
T Rowe Price Growth Stock Fund — Institutional Class		12,914		838,907
Vanguard Equity Income Fund — Admiral Class		5,185		379,572
Vanguard Institutional Index Fund — Institutional Class		7,855		1,992,688
Total Large-Cap Funds				6,389,264
Mid-Cap Funds — 11.0%
BMO Mid-Cap Growth Fund — Class R6 (1)		37,988		575,899
BMO Mid-Cap Value Fund — Class R6 (1)		56,408		591,154
Vanguard Mid-Cap Index Fund — Institutional Class		15,148		659,547
Total Mid-Cap Funds				1,826,600
Small-Cap Funds — 4.5%
BMO Small-Cap Growth Fund — Institutional Class (1)		22,182		375,551
Goldman Sachs Small Cap Value Fund — Institutional Class		6,996		376,230
Total Small-Cap Funds				751,781
International Funds — 27.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		69,868		722,430
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		47,915		713,930
BMO Pyrford International Stock Fund — Class R6 (1)		93,935		1,186,404
DFA International Small Company Portfolio — Institutional Class		9,381		165,300
Dodge & Cox International Stock Fund — Retail Class		24,314		993,245
MFS International Value Fund — Class R6		18,394		755,053
Total International Funds				4,536,362
Fixed Income Funds — 12.3%
BMO High Yield Bond Fund — Institutional Class (1)		5,408		49,645
BMO TCH Core Plus Bond Fund — Institutional Class (1)		59,502		677,138
Federated Institutional High-Yield Bond Fund — Class R6		6,838		66,257
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		8,709		82,912
Metropolitan West Total Return Bond Fund — Plan Class		100,487		989,797
TCW Emerging Markets Income Fund — Institutional Class		8,173		66,283
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		4,772		115,663
Total Fixed Income Funds				2,047,695
Alternative Funds — 4.6%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		80,894		757,168
Total Mutual Funds (identified cost $14,715,948)				16,308,870

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

7

February 28, 2019 (Unaudited)

Schedules of Investments BMO Funds

2035 Fund (continued)

Description	Shares		Value
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		165,132	$	165,148
Total Short-Term Investments — 1.0% (identified cost $165,119)				165,148
Total Investments — 99.1% (identified cost $14,881,067)				16,474,018
Other Assets and Liabilities — 0.9%				148,325
Total Net Assets — 100.0%			$	16,622,343

2040 Fund

Description	Shares		Value
Mutual Funds — 98.0%
Large-Cap Funds — 40.3%
BMO Dividend Income Fund — Institutional Class (1)		51,080	$	729,928
BMO Large-Cap Growth Fund — Class R6 (1)		93,059		1,619,233
BMO Large-Cap Value Fund — Class R6 (1)		226,054		3,241,624
BMO Low Volatility Equity Fund — Institutional Class (1)		143,156		2,100,094
Harbor Capital Appreciation Fund — Retirement Class		39,628		2,821,092
T Rowe Price Growth Stock Fund — Institutional Class		43,238		2,808,731
Vanguard Equity Income Fund — Admiral Class		17,147		1,255,191
Vanguard Institutional Index Fund — Institutional Class		26,333		6,679,812
Total Large-Cap Funds				21,255,705
Mid-Cap Funds — 11.5%
BMO Mid-Cap Growth Fund — Class R6 (1)		120,081		1,820,427
BMO Mid-Cap Value Fund — Class R6 (1)		179,384		1,879,942
Vanguard Mid-Cap Index Fund — Institutional Class		53,989		2,350,699
Total Mid-Cap Funds				6,051,068
Small-Cap Funds — 4.7%
BMO Small-Cap Growth Fund — Institutional Class (1)		73,863		1,250,497
Goldman Sachs Small Cap Value Fund — Institutional Class		23,262		1,251,016
Total Small-Cap Funds				2,501,513
International Funds — 28.6%
BMO Disciplined International Equity Fund — Institutional Class (1)		230,175		2,380,009
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		163,489		2,435,983
BMO Pyrford International Stock Fund — Class R6 (1)		309,830		3,913,154
DFA International Small Company Portfolio — Institutional Class		32,569		573,855
Dodge & Cox International Stock Fund — Retail Class		80,237		3,277,696

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
MFS International Value Fund — Class R6		60,781	$	2,495,059
Total International Funds				15,075,756
Fixed Income Funds — 8.7%
BMO High Yield Bond Fund — Institutional Class (1)		11,399		104,644
BMO TCH Core Plus Bond Fund — Institutional Class (1)		124,130		1,412,599
Federated Institutional High-Yield Bond Fund — Class R6		21,598		209,288
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		22,007		209,510
Metropolitan West Total Return Bond Fund — Plan Class		231,936		2,284,571
TCW Emerging Markets Income Fund — Institutional Class		19,307		156,578
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		8,627		209,109
Total Fixed Income Funds				4,586,299
Alternative Funds — 4.2%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		234,272		2,192,785
Total Mutual Funds (identified cost $37,036,319)				51,663,126
Short-Term Investments — 0.4%
Mutual Funds — 0.4%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		187,882		187,901
Total Short-Term Investments — 0.4% (identified cost $187,851)				187,901
Total Investments — 98.4% (identified cost $37,224,170)				51,851,027
Other Assets and Liabilities — 1.6%				868,742
Total Net Assets — 100.0%			$	52,719,769

2045 Fund

Description	Shares		Value
Mutual Funds — 98.0%
Large-Cap Funds — 40.8%
BMO Dividend Income Fund — Institutional Class (1)		11,581	$	165,497
BMO Large-Cap Growth Fund — Class R6 (1)		21,196		368,801
BMO Large-Cap Value Fund — Class R6 (1)		52,007		745,785
BMO Low Volatility Equity Fund — Institutional Class (1)		32,522		477,104
Harbor Capital Appreciation Fund — Retirement Class		9,191		654,290
T Rowe Price Growth Stock Fund — Institutional Class		9,995		649,251
Vanguard Equity Income Fund — Admiral Class		3,883		284,237
Vanguard Institutional Index Fund — Institutional Class		6,010		1,524,563
Total Large-Cap Funds				4,869,528

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

8

2045 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds — 11.6%
BMO Mid-Cap Growth Fund — Class R6 (1)		28,040	$	425,088
BMO Mid-Cap Value Fund — Class R6 (1)		40,480		424,228
Vanguard Mid-Cap Index Fund — Institutional Class		12,229		532,474
Total Mid-Cap Funds				1,381,790
Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund — Institutional Class (1)		17,302		292,922
Goldman Sachs Small Cap Value Fund — Institutional Class		5,457		293,469
Total Small-Cap Funds				586,391
International Funds — 28.8%
BMO Disciplined International Equity Fund — Institutional Class (1)		52,191		539,653
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		38,291		570,538
BMO Pyrford International Stock Fund — Class R6 (1)		70,969		896,341
DFA International Small Company Portfolio — Institutional Class		8,079		142,351
Dodge & Cox International Stock Fund — Retail Class		18,555		757,947
MFS International Value Fund — Class R6		13,142		539,493
Total International Funds				3,446,323
Fixed Income Funds — 8.4%
BMO High Yield Bond Fund — Institutional Class (1)		2,587		23,751
BMO TCH Core Plus Bond Fund — Institutional Class (1)		29,161		331,858
Federated Institutional High-Yield Bond Fund — Class R6		3,680		35,661
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		3,750		35,700
Metropolitan West Total Return Bond Fund — Plan Class		51,440		506,687
TCW Emerging Markets Income Fund — Institutional Class		2,933		23,783
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		1,957		47,431
Total Fixed Income Funds				1,004,871
Alternative Funds — 3.5%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		44,171		413,437
Total Mutual Funds (identified cost $10,711,205)				11,702,340
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		131,962		131,975
Total Short-Term Investments — 1.1% (identified cost $131,956)				131,975
Total Investments — 99.1% (identified cost $10,843,161)				11,834,315
Other Assets and Liabilities — 0.9%				113,247
Total Net Assets — 100.0%			$	11,947,562

2050 Fund

Description	Shares		Value
Mutual Funds — 98.4%
Large-Cap Funds — 40.9%
BMO Dividend Income Fund — Institutional Class (1)		39,866	$	569,681
BMO Large-Cap Growth Fund — Class R6 (1)		72,631		1,263,779
BMO Large-Cap Value Fund — Class R6 (1)		179,270		2,570,734
BMO Low Volatility Equity Fund — Institutional Class (1)		111,727		1,639,038
Harbor Capital Appreciation Fund — Retirement Class		31,501		2,242,541
T Rowe Price Growth Stock Fund — Institutional Class		34,370		2,232,670
Vanguard Equity Income Fund — Admiral Class		13,383		979,617
Vanguard Institutional Index Fund — Institutional Class		20,712		5,253,999
Total Large-Cap Funds				16,752,059
Mid-Cap Funds — 11.6%
BMO Mid-Cap Growth Fund — Class R6 (1)		96,400		1,461,427
BMO Mid-Cap Value Fund — Class R6 (1)		140,001		1,467,207
Vanguard Mid-Cap Index Fund — Institutional Class		42,137		1,834,657
Total Mid-Cap Funds				4,763,291
Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		60,051		1,016,660
Goldman Sachs Small Cap Value Fund — Institutional Class		18,912		1,017,073
Total Small-Cap Funds				2,033,733
International Funds — 29.0%
BMO Disciplined International Equity Fund — Institutional Class (1)		179,640		1,857,479
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		133,025		1,982,073
BMO Pyrford International Stock Fund — Class R6 (1)		245,028		3,094,699
DFA International Small Company Portfolio — Institutional Class		27,728		488,572
Dodge & Cox International Stock Fund — Retail Class		63,619		2,598,830
MFS International Value Fund — Class R6		45,449		1,865,692
Total International Funds				11,887,345
Fixed Income Funds — 8.4%
BMO High Yield Bond Fund — Institutional Class (1)		8,897		81,670
BMO TCH Core Plus Bond Fund — Institutional Class (1)		100,462		1,143,261
Federated Institutional High-Yield Bond Fund — Class R6		12,642		122,505
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		12,882		122,635
Metropolitan West Total Return Bond Fund — Plan Class		176,879		1,742,259
TCW Emerging Markets Income Fund — Institutional Class		10,045		81,469

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

9

February 28, 2019 (Unaudited)

Schedules of Investments BMO Funds

2050 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		6,733	$	163,199
Total Fixed Income Funds				3,456,998
Alternative Funds — 3.5%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		152,367		1,426,159
Total Mutual Funds (identified cost $30,031,316)				40,319,585
Short-Term Investments — 0.6%
Mutual Funds — 0.6%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		244,123		244,147
Total Short-Term Investments — 0.6% (identified cost $244,092)				244,147
Total Investments — 99.0% (identified cost $30,275,408)				40,563,732
Other Assets and Liabilities — 1.0%				406,568
Total Net Assets — 100.0%			$	40,970,300

2055 Fund

Description	Shares		Value
Mutual Funds — 97.5%
Large-Cap Funds — 40.6%
BMO Dividend Income Fund — Institutional Class (1)		12,738	$	182,031
BMO Large-Cap Growth Fund — Class R6 (1)		23,313		405,640
BMO Large-Cap Value Fund — Class R6 (1)		57,203		820,295
BMO Low Volatility Equity Fund — Institutional Class (1)		35,771		524,766
Harbor Capital Appreciation Fund — Retirement Class		10,109		719,634
T Rowe Price Growth Stock Fund — Institutional Class		10,993		714,096
Vanguard Equity Income Fund — Admiral Class		4,271		312,635
Vanguard Institutional Index Fund — Institutional Class		6,611		1,676,869
Total Large-Cap Funds				5,355,966
Mid-Cap Funds — 11.5%
BMO Mid-Cap Growth Fund — Class R6 (1)		30,842		467,560
BMO Mid-Cap Value Fund — Class R6 (1)		44,525		466,620
Vanguard Mid-Cap Index Fund — Institutional Class		13,451		585,678
Total Mid-Cap Funds				1,519,858
Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund — Institutional Class (1)		19,033		322,219
Goldman Sachs Small Cap Value Fund — Institutional Class		6,002		322,796
Total Small-Cap Funds				645,015

Description	Shares		Value
Mutual Funds (continued)
International Funds — 28.7%
BMO Disciplined International Equity Fund — Institutional Class (1)		57,404	$	593,561
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		42,120		627,586
BMO Pyrford International Stock Fund — Class R6 (1)		78,059		985,880
DFA International Small Company Portfolio — Institutional Class		8,886		156,569
Dodge & Cox International Stock Fund — Retail Class		20,407		833,648
MFS International Value Fund — Class R6		14,455		593,388
Total International Funds				3,790,632
Fixed Income Funds — 8.4%
BMO High Yield Bond Fund — Institutional Class (1)		2,846		26,124
BMO TCH Core Plus Bond Fund — Institutional Class (1)		32,075		365,010
Federated Institutional High-Yield Bond Fund — Class R6		4,048		39,224
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		4,125		39,266
Metropolitan West Total Return Bond Fund — Plan Class		56,579		557,306
TCW Emerging Markets Income Fund — Institutional Class		3,225		26,159
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		2,152		52,169
Total Fixed Income Funds				1,105,258
Alternative Funds — 3.4%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		48,583		454,740
Total Mutual Funds (identified cost $11,931,635)				12,871,469
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		129,988		130,001
Total Short-Term Investments — 1.0% (identified cost $129,979)				130,001
Total Investments — 98.5% (identified cost $12,061,614)				13,001,470
Other Assets and Liabilities — 1.5%				202,974
Total Net Assets — 100.0%			$	13,204,444

Conservative Allocation Fund

Description	Shares		Value
Mutual Funds — 95.7%
Large-Cap Funds — 12.5%
BMO Dividend Income Fund — Institutional Class (1)		18,599	$	265,785
BMO Large-Cap Growth Fund — Class R6 (1)		44,253		770,002
BMO Large-Cap Value Fund — Class R6 (1)		56,797		814,475
BMO Low Volatility Equity Fund — Institutional Class (1)		33,600		492,918
Dodge & Cox Stock Fund — Retail Class		1,740		332,356

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

10

Conservative Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Harbor Capital Appreciation Fund — Retirement Class		4,291	$	305,457
T Rowe Price Growth Stock Fund — Institutional Class		4,133		268,456
Vanguard Institutional Index Fund — Institutional Class		6,210		1,575,218
Total Large-Cap Funds				4,824,667
Mid-Cap Funds — 1.3%
BMO Mid-Cap Growth Fund — Class R6 (1)		9,415		142,725
BMO Mid-Cap Value Fund — Class R6 (1)		13,612		142,651
Vanguard Mid-Cap Index Fund — Institutional Class		4,705		204,862
Total Mid-Cap Funds				490,238
Small-Cap Funds — 1.1%
BMO Small-Cap Growth Fund — Institutional Class (1)		12,761		216,046
BMO Small-Cap Value Fund — Class R6 (1)		9,772		123,318
Goldman Sachs Small Cap Value Fund — Institutional Class		1,720		92,518
Total Small-Cap Funds				431,882
International Funds — 6.5%
BMO Disciplined International Equity Fund — Institutional Class (1)		44,443		459,542
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		14,079		209,778
BMO Pyrford International Stock Fund — Class R6 (1)		35,892		453,313
Dodge & Cox International Stock Fund — Retail Class		12,643		516,486
MFS International Value Fund — Class R6		11,836		485,863
T Rowe Price International Discovery Fund — Institutional Class		4,376		269,225
Vanguard Emerging Markets Stock Index Fund — Admiral Class		3,846		133,432
Total International Funds				2,527,639
Fixed Income Funds — 63.8%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		739,052		8,410,415
Federated Institutional High-Yield Bond Fund — Class R6		45,491		440,808
Metropolitan West Total Return Bond Fund — Plan Class		943,422		9,292,707
TCW Emerging Markets Income Fund — Institutional Class		271,297		2,200,218
Vanguard Total Bond Market Index Fund — Institutional Class		410,473		4,309,963
Total Fixed Income Funds				24,654,111
Alternative Funds — 10.5%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		432,856		4,051,528
Total Mutual Funds (identified cost $33,062,025)				36,980,065

Description	Shares		Value
Short-Term Investments — 4.0%
Mutual Funds — 4.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		1,551,753	$	1,551,908
Total Short-Term Investments — 4.0% (identified cost $1,551,845)				1,551,908
Total Investments — 99.7% (identified cost $34,613,870)				38,531,973
Other Assets and Liabilities — 0.3%				108,764
Total Net Assets — 100.0%			$	38,640,737

Moderate Allocation Fund

Description	Shares		Value
Mutual Funds — 96.7%
Large-Cap Funds — 24.4%
BMO Dividend Income Fund — Institutional Class (1)		65,352	$	933,878
BMO Large-Cap Growth Fund — Class R6 (1)		155,663		2,708,542
BMO Large-Cap Value Fund — Class R6 (1)		200,199		2,870,850
BMO Low Volatility Equity Fund — Institutional Class (1)		118,158		1,733,382
Dodge & Cox Stock Fund — Retail Class		6,162		1,176,855
Harbor Capital Appreciation Fund — Retirement Class		15,148		1,078,394
T Rowe Price Growth Stock Fund — Institutional Class		14,636		950,734
Vanguard Institutional Index Fund — Institutional Class		21,836		5,539,210
Total Large-Cap Funds				16,991,845
Mid-Cap Funds — 2.5%
BMO Mid-Cap Growth Fund — Class R6 (1)		32,933		499,269
BMO Mid-Cap Value Fund — Class R6 (1)		47,612		498,980
Vanguard Mid-Cap Index Fund — Institutional Class		16,507		718,701
Total Mid-Cap Funds				1,716,950
Small-Cap Funds — 2.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		45,279		766,567
BMO Small-Cap Value Fund — Class R6 (1)		33,954		428,501
Goldman Sachs Small Cap Value Fund — Institutional Class		6,010		323,231
Total Small-Cap Funds				1,518,299
International Funds — 12.7%
BMO Disciplined International Equity Fund — Institutional Class (1)		156,622		1,619,474
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		48,995		730,030
BMO Pyrford International Stock Fund — Class R6 (1)		125,854		1,589,533
Dodge & Cox International Stock Fund — Retail Class		44,546		1,819,692
MFS International Value Fund — Class R6		41,618		1,708,410
T Rowe Price International Discovery Fund — Institutional Class		15,495		953,402

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

11

February 28, 2019 (Unaudited)

Schedules of Investments BMO Funds

Moderate Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
Vanguard Emerging Markets Stock Index Fund — Admiral Class		13,621	$	472,526
Total International Funds				8,893,067
Fixed Income Funds — 46.4%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		970,106		11,039,804
Federated Institutional High-Yield Bond Fund — Class R6		59,648		577,984
Metropolitan West Total Return Bond Fund — Plan Class		1,238,642		12,200,626
TCW Emerging Markets Income Fund — Institutional Class		356,830		2,893,894
Vanguard Total Bond Market Index Fund — Institutional Class		539,121		5,660,768
Total Fixed Income Funds				32,373,076
Alternative Funds — 8.5%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		631,234		5,908,349
Total Mutual Funds (identified cost $56,530,141)				67,401,586
Short-Term Investments — 4.1%
Mutual Funds — 4.1%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		2,883,232		2,883,521
Total Short-Term Investments — 4.1% (identified cost $2,883,385)				2,883,521
Total Investments — 100.8% (identified cost $59,413,526)				70,285,107
Other Assets and Liabilities — (0.8)%				(536,013	)
Total Net Assets — 100.0%			$	69,749,094

Balanced Allocation Fund

Description	Shares		Value
Mutual Funds — 96.4%
Large-Cap Funds — 35.7%
BMO Dividend Income Fund — Institutional Class (1)		437,887	$	6,257,406
BMO Large-Cap Growth Fund — Class R6 (1)		1,046,718		18,212,892
BMO Large-Cap Value Fund — Class R6 (1)		1,345,464		19,293,953
BMO Low Volatility Equity Fund — Institutional Class (1)		793,455		11,639,994
Dodge & Cox Stock Fund — Retail Class		41,321		7,892,341
Harbor Capital Appreciation Fund — Retirement Class		101,806		7,247,575
T Rowe Price Growth Stock Fund — Institutional Class		98,361		6,389,509
Vanguard Institutional Index Fund — Institutional Class		146,590		37,185,478
Total Large-Cap Funds				114,119,148
Mid-Cap Funds — 3.6%
BMO Mid-Cap Growth Fund — Class R6 (1)		222,584		3,374,375

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds (continued)
BMO Mid-Cap Value Fund — Class R6 (1)		321,790	$	3,372,361
Vanguard Mid-Cap Index Fund — Institutional Class		110,937		4,830,180
Total Mid-Cap Funds				11,576,916
Small-Cap Funds — 3.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		303,747		5,142,436
BMO Small-Cap Value Fund — Class R6 (1)		228,941		2,889,243
Goldman Sachs Small Cap Value Fund — Institutional Class		40,604		2,183,670
Total Small-Cap Funds				10,215,349
International Funds — 18.7%
BMO Disciplined International Equity Fund — Institutional Class (1)		1,052,049		10,878,188
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		330,530		4,924,891
BMO Pyrford International Stock Fund — Class R6 (1)		846,245		10,688,074
Dodge & Cox International Stock Fund — Retail Class		298,682		12,201,183
MFS International Value Fund — Class R6		279,461		11,471,862
T Rowe Price International Discovery Fund — Institutional Class		104,134		6,407,383
Vanguard Emerging Markets Stock Index Fund — Admiral Class		91,543		3,175,615
Total International Funds				59,747,196
Fixed Income Funds — 28.1%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		2,693,300		30,649,751
Federated Institutional High-Yield Bond Fund — Class R6		166,215		1,610,622
Metropolitan West Total Return Bond Fund — Plan Class		3,436,089		33,845,481
TCW Emerging Markets Income Fund — Institutional Class		989,525		8,025,043
Vanguard Total Bond Market Index Fund — Institutional Class		1,495,970		15,707,687
Total Fixed Income Funds				89,838,584
Alternative Funds — 7.1%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		2,403,979		22,501,245
Total Mutual Funds (identified cost $240,033,226)				307,998,438
Short-Term Investments — 4.0%
Mutual Funds — 4.0%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		12,708,122		12,709,393
Total Short-Term Investments — 4.0% (identified cost $12,708,788)				12,709,393
Total Investments — 100.4% (identified cost $252,742,014)				320,707,831
Other Assets and Liabilities — (0.4)%				(1,174,439	)
Total Net Assets — 100.0%			$	319,533,392

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

12

Growth Allocation Fund

Description	Shares		Value
Mutual Funds — 95.9%
Large-Cap Funds — 47.2%
BMO Dividend Income Fund — Institutional Class (1)		216,131	$	3,088,520
BMO Large-Cap Growth Fund — Class R6 (1)		514,923		8,959,654
BMO Large-Cap Value Fund — Class R6 (1)		664,650		9,531,075
BMO Low Volatility Equity Fund — Institutional Class (1)		391,283		5,740,126
Dodge & Cox Stock Fund — Retail Class		20,401		3,896,668
Harbor Capital Appreciation Fund — Retirement Class		50,184		3,572,603
T Rowe Price Growth Stock Fund — Institutional Class		48,715		3,164,503
Vanguard Institutional Index Fund — Institutional Class		72,416		18,369,729
Total Large-Cap Funds				56,322,878
Mid-Cap Funds — 4.7%
BMO Mid-Cap Growth Fund — Class R6 (1)		109,064		1,653,408
BMO Mid-Cap Value Fund — Class R6 (1)		158,418		1,660,220
Vanguard Mid-Cap Index Fund — Institutional Class		54,331		2,365,601
Total Mid-Cap Funds				5,679,229
Small-Cap Funds — 4.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		149,221		2,526,306
BMO Small-Cap Value Fund — Class R6 (1)		113,518		1,432,604
Goldman Sachs Small Cap Value Fund — Institutional Class		19,951		1,072,962
Total Small-Cap Funds				5,031,872
International Funds — 24.8%
BMO Disciplined International Equity Fund — Institutional Class (1)		520,715		5,384,189
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		163,896		2,442,052
BMO Pyrford International Stock Fund — Class R6 (1)		420,691		5,313,326
Dodge & Cox International Stock Fund — Retail Class		147,575		6,028,450
MFS International Value Fund — Class R6		139,038		5,707,527
T Rowe Price International Discovery Fund — Institutional Class		51,480		3,167,554
Vanguard Emerging Markets Stock Index Fund — Admiral Class		45,483		1,577,804
Total International Funds				29,620,902
Fixed Income Funds — 9.4%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		337,561		3,841,451
Federated Institutional High-Yield Bond Fund — Class R6		20,995		203,442
Metropolitan West Total Return Bond Fund — Plan Class		428,765		4,223,331
TCW Emerging Markets Income Fund — Institutional Class		123,642		1,002,736

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Total Bond Market Index Fund — Institutional Class		187,875	$	1,972,684
Total Fixed Income Funds				11,243,644
Alternative Funds — 5.6%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		714,429		6,687,051
Total Mutual Funds (identified cost $84,664,509)				114,585,576
Short-Term Investments — 3.5%
Mutual Funds — 3.5%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		4,122,401		4,122,813
Total Short-Term Investments — 3.5% (identified cost $4,122,608)				4,122,813
Total Investments — 99.4% (identified cost $88,787,117)				118,708,389
Other Assets and Liabilities — 0.6%				714,333
Total Net Assets — 100.0%			$	119,422,722

Aggressive Allocation Fund

Description	Shares		Value
Mutual Funds — 98.9%
Large-Cap Funds — 57.3%
BMO Dividend Income Fund — Institutional Class (1)		377,432	$	5,393,500
BMO Large-Cap Growth Fund — Class R6 (1)		899,036		15,643,230
BMO Large-Cap Value Fund — Class R6 (1)		1,160,253		16,638,029
BMO Low Volatility Equity Fund — Institutional Class (1)		684,011		10,034,444
Dodge & Cox Stock Fund — Retail Class		35,618		6,803,018
Harbor Capital Appreciation Fund — Retirement Class		87,478		6,227,545
T Rowe Price Growth Stock Fund — Institutional Class		84,938		5,517,561
Vanguard Institutional Index Fund — Institutional Class		126,475		32,082,925
Total Large-Cap Funds				98,340,252
Mid-Cap Funds — 5.8%
BMO Mid-Cap Growth Fund — Class R6 (1)		191,530		2,903,598
BMO Mid-Cap Value Fund — Class R6 (1)		278,189		2,915,416
Vanguard Mid-Cap Index Fund — Institutional Class		95,347		4,151,389
Total Mid-Cap Funds				9,970,403
Small-Cap Funds — 5.1%
BMO Small-Cap Growth Fund — Institutional Class (1)		260,753		4,414,547
BMO Small-Cap Value Fund — Class R6 (1)		196,950		2,485,513
Goldman Sachs Small Cap Value Fund — Institutional Class		35,013		1,882,999
Total Small-Cap Funds				8,783,059

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

13

February 28, 2019 (Unaudited)

Schedules of Investments BMO Funds

Aggressive Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 30.2%
BMO Disciplined International Equity Fund — Institutional Class (1)		909,451	$	9,403,728
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		285,618		4,255,714
BMO Pyrford International Stock Fund — Class R6 (1)		733,264		9,261,119
Dodge & Cox International Stock Fund — Retail Class		257,629		10,524,121
MFS International Value Fund — Class R6		242,654		9,960,964
T Rowe Price International Discovery Fund — Institutional Class		90,094		5,543,499
Vanguard Emerging Markets Stock Index Fund — Admiral Class		79,063		2,742,689
Total International Funds				51,691,834

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds — 0.5%
BMO Alternative Strategies Fund — Institutional Class (1)(2)		91,589	$	857,275
Total Mutual Funds (identified cost $116,698,742)				169,642,823
Short-Term Investments — 0.8%
Mutual Funds — 0.8%
BMO Institutional Prime Money Market Fund — Premier Class, 2.433% (1)		1,424,511		1,424,653
Total Short-Term Investments — 0.8% (identified cost $1,424,411)				1,424,653
Total Investments — 99.7% (identified cost $118,123,153)				171,067,476
Other Assets and Liabilities — 0.3%				492,668
Total Net Assets — 100.0%			$	171,560,144

Notes to Schedules of Investments

The categories of investments are shown as a percentage of total net assets for each Fund as of February 28, 2019.

(1) Denotes an investment in an affiliated entity. Please refer to Note 5, subsection Investments in Affiliated Issuers, in the Notes to Financial Statements.

(2) Non-income producing.

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

14

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	In-Retirement Fund		2015 Fund		2020 Fund		2025 Fund		2030 Fund
Assets:
Investments in unaffiliated issuers, at value	$	5,915,187	$	1,205,703	$	33,384,261	$	14,926,878	$	45,560,302
Cash sweep investments in affiliated issuers, at value		—		22,992		—		216,284		668,401
Investments in other affiliated issuers, at value		4,935,043		1,075,790		32,953,625		13,661,435		42,786,917
Cash		1,012		—		1,075		—		—
Dividends and interest receivable		19,714		3,472		74,749		20,994		47,642
Receivable for investments sold		428,807		—		1,536,208		82,725		258,733
Receivable for capital stock sold		6,051		8,922		—		38,693		304,248
Receivable from affiliates, net (Note 5)		10,684		10,837		9,855		13,153		8,484
Prepaid expenses and other receivables		21,678		36,549		22,184		37,033		22,325
Total assets		11,338,176		2,364,265		67,981,957		28,997,195		89,657,052
Liabilities:
Payable for investments purchased		—		—		4,252		9,571		32,560
Payable for capital stock redeemed		15,505		—		571,547		—		—
Payable to affiliates for interfund lending		—		—		861,586		—		—
Other liabilities		7,629		5,649		9,479		6,223		9,765
Total liabilities		343,174		5,649		1,446,864		15,794		42,325
Total net assets	$	10,995,002	$	2,358,616	$	66,535,093	$	28,981,401	$	89,614,727
Net assets consist of:
Paid-in capital	$	9,751,165	$	2,283,525	$	52,146,237	$	27,067,103	$	66,624,941
Distributable earnings		1,243,837		75,091		14,388,856		1,914,298		22,989,786
Total net assets	$	10,995,002	$	2,358,616	$	66,535,093	$	28,981,401	$	89,614,727
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	8.18	$	10.57	$	9.33	$	11.49	$	10.90
Retirement class R-3 of shares		8.20		10.49		9.37		11.62		10.96
Retirement class R-6 of shares		8.20		10.62		9.35		11.59		10.91
Net assets:
Investor class of shares	$	2,196,291	$	185,415	$	15,487,234	$	542,083	$	20,066,603
Retirement class R-3 of shares		134,886		105,997		3,457,271		64,973		1,319,404
Retirement class R-6 of shares		8,663,825		2,067,204		47,590,588		28,374,345		68,228,720
Total net assets	$	10,995,002	$	2,358,616	$	66,535,093	$	28,981,401	$	89,614,727
Shares outstanding:
Investor class of shares		268,563		17,539		1,660,710		47,182		1,840,311
Retirement class R-3 of shares		16,454		10,108		368,935		5,591		120,429
Retirement class R-6 of shares		1,057,033		194,684		5,090,397		2,447,942		6,251,608
Total shares outstanding		1,342,050		222,331		7,120,042		2,500,715		8,212,348
Investments, at cost:
Investments in unaffiliated issuers	$	5,062,006	$	1,120,735	$	23,749,147	$	13,326,457	$	28,430,616
Cash sweep investments in affiliated issuers		—		22,990		—		216,262		668,293
Investments in other affiliated issuers		4,590,884		1,041,971		29,610,499		13,310,335		38,493,464
Total investments, at cost	$	9,652,890	$	2,185,696	$	53,359,646	$	26,853,054	$	67,592,373

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

15

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	2035 Fund		2040 Fund		2045 Fund		2050 Fund		2055 Fund
Assets:
Investments in unaffiliated issuers, at value	$	8,326,874	$	26,582,207	$	6,027,337	$	20,745,717	$	6,629,437
Cash sweep investments in affiliated issuers, at value		165,148		187,901		131,975		244,147		130,001
Investments in other affiliated issuers, at value		7,981,996		25,080,919		5,675,003		19,573,868		6,242,032
Dividends and interest receivable		5,758		13,684		2,897		10,295		3,184
Receivable for investments sold		—		336,731		—		172,814		—
Receivable for capital stock sold		100,697		500,162		70,270		208,264		159,560
Receivable from affiliates, net (Note 5)		11,704		10,526		11,535		9,857		11,353
Prepaid expenses and other receivables		36,655		22,111		36,559		639,027		36,586
Total assets		16,628,832		52,734,241		11,955,576		41,603,989		13,212,153
Liabilities:
Payable for investments purchased		—		1,423		—		8,623		—
Payable for capital stock redeemed		—		3,374		—		—		—
Payable to affiliates for interfund lending (Note 5)		—		—		—		616,984		—
Other liabilities		6,489		9,675		8,014		8,082		7,709
Total liabilities		6,489		14,472		8,014		633,689		7,709
Total net assets	$	16,622,343	$	52,719,769	$	11,947,562	$	40,970,300	$	13,204,444
Net assets consist of:
Paid-in capital	$	15,068,900	$	36,998,269	$	11,023,107	$	30,561,697	$	12,252,465
Distributable earnings		1,553,443		15,721,500		924,455		10,408,603		951,979
Total net assets	$	16,622,343	$	52,719,769	$	11,947,562	$	40,970,300	$	13,204,444
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	11.20	$	10.55	$	11.65	$	11.70	$	11.99
Retirement class R-3 of shares		11.27		10.62		11.73		11.73		11.85
Retirement class R-6 of shares		11.30		10.57		11.74		11.73		12.06
Net assets:
Investor class of shares	$	320,391	$	10,343,059	$	313,339	$	9,976,821	$	140,742
Retirement class R-3 of shares		127,568		674,485		73,475		532,535		114,687
Retirement class R-6 of shares		16,174,384		41,702,225		11,560,748		30,460,944		12,949,015
Total net assets	$	16,622,343	$	52,719,769	$	11,947,562	$	40,970,300	$	13,204,444
Shares outstanding:
Investor class of shares		28,597		980,182		26,907		852,419		11,740
Retirement class R-3 of shares		11,323		63,507		6,261		45,408		9,678
Retirement class R-6 of shares		1,431,139		3,944,186		985,012		2,595,744		1,074,123
Total shares outstanding		1,471,059		4,987,875		1,018,180		3,493,571		1,095,541
Investments, at cost:
Investments in unaffiliated issuers	$	7,172,771	$	15,068,838	$	5,270,834	$	12,575,828	$	5,896,044
Cash sweep investments in affiliated issuers		165,119		187,851		131,956		244,092		129,978
Investments in other affiliated issuers		7,543,177		21,967,481		5,440,371		17,455,488		6,035,592
Total investments, at cost	$	14,881,067	$	37,224,170	$	10,843,161	$	30,275,408	$	12,061,614

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

16

February 28, 2019 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Conservative Allocation Fund		Moderate Allocation Fund		Balanced Allocation Fund		Growth Allocation Fund		Aggressive Allocation Fund
Assets:
Investments in unaffiliated issuers, at value	$	20,427,569	$	36,074,427	$	158,173,629	$	56,325,594	$	85,436,710
Cash sweep investments in affiliated issuers, at value		1,551,908		2,883,521		12,709,393		4,122,813		1,424,653
Investments in other affiliated issuers, at value		16,552,496		31,327,159		149,824,809		58,259,982		84,206,113
Dividends and interest receivable		69,801		93,295		266,173		37,781		3,006
Receivable for investments sold		—		—		—		1,564,045		393,557
Receivable for capital stock sold		22,843		101,770		195,189		322,411		455,346
Receivable from affiliates, net (Note 5)		10,504		13,450		—		15,470		8,850
Prepaid expenses and other receivables		22,751		23,192		24,392		23,393		23,664
Total assets		38,657,872		70,516,814		321,193,585		120,671,489		171,951,899
Liabilities:
Payable for investments purchased		—		—		—		—		99,979
Payable for capital stock redeemed		3,259		752,820		1,634,292		1,234,112		271,727
Payable to affiliates, net (Note 5)		—		—		1,167		—		—
Other liabilities		13,876		14,900		24,734		14,655		20,049
Total liabilities		17,135		767,720		1,660,193		1,248,767		391,755
Total net assets	$	38,640,737	$	69,749,094	$	319,533,392	$	119,422,722	$	171,560,144
Net assets consist of:
Paid-in capital	$	34,358,058	$	57,665,087	$	241,959,131	$	85,519,093	$	110,959,124
Distributable earnings		4,282,679		12,084,007		77,574,261		33,903,629		60,601,020
Total net assets	$	38,640,737	$	69,749,094	$	319,533,392	$	119,422,722	$	171,560,144
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	7.35	$	8.77	$	8.24	$	9.14	$	8.40
Institutional class of shares		7.66		8.78		8.24		9.13		8.39
Retirement class R-3 of shares		7.51		8.79		8.25		9.16		8.38
Retirement class R-6 of shares		7.37		8.78		8.24		9.14		8.39
Net assets:
Investor class of shares	$	12,121,568	$	4,810,080	$	91,827,744	$	7,113,421	$	27,029,956
Institutional class of shares		582,926		6,496,050		35,560,331		17,156,155		13,422,096
Retirement class R-3 of shares		899,021		6,862,013		15,628,001		7,868,881		15,958,768
Retirement class R-6 of shares		25,037,222		51,580,951		176,517,316		87,284,265		115,149,324
Total net assets	$	38,640,737	$	69,749,094	$	319,533,392	$	119,422,722	$	171,560,144
Shares outstanding:
Investor class of shares		1,649,733		548,493		11,146,017		778,130		3,219,075
Institutional class of shares		76,146		739,942		4,317,712		1,880,033		1,600,629
Retirement class R-3 of shares		119,667		781,077		1,893,430		858,998		1,903,292
Retirement class R-6 of shares		3,397,181		5,876,819		21,415,038		9,552,012		13,727,109
Total shares outstanding		5,242,727		7,946,331		38,772,197		13,069,173		20,450,105
Investments, at cost:
Investments in unaffiliated issuers	$	18,418,039	$	29,148,994	$	112,773,783	$	34,747,326	$	48,639,028
Cash sweep investments in affiliated issuers		1,551,844		2,883,385		12,708,788		4,122,608		1,424,411
Investments in other affiliated issuers		14,643,987		27,381,147		127,259,443		49,917,183		68,059,714
Total investments, at cost	$	34,613,870	$	59,413,526	$	252,742,014	$	88,787,117	$	118,123,153

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

17

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	In-Retirement Fund			2015 Fund			2020 Fund			2025 Fund			2030 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	110,975		$	19,626		$	480,320		$	158,442		$	541,657
Affiliated issuers		79,572			15,665			460,688			161,134			587,845
Excess expense reimbursement from investment adviser (Note 5)		3,364			761			17,553			8,873			10,414
Total income		193,911			36,052			958,561			328,449			1,139,916
Expenses:
Shareholder servicing fees (Note 5)		2,800			263			19,623			809			23,472
Administration fees (Note 5)		2,156			240			14,969			549			16,772
Portfolio accounting fees		10,673			9,002			13,132			10,569			15,237
Recordkeeping fees		13,505			14,837			13,610			14,819			13,737
Custodian fees (Note 5)		344			74			1,897			652			2,436
Registration fees		28,367			18,842			28,693			18,933			28,720
Professional fees		9,151			9,151			9,151			9,151			9,152
Printing and postage		2,447			2,261			2,772			2,303			2,672
Directors’ fees		7,776			7,776			7,776			7,776			7,776
Distribution services fees (Note 5)		1,585			272			10,653			210			8,964
Miscellaneous		1,510			1,257			2,332			1,539			2,430
Total expenses		80,314			63,975			124,608			67,310			131,368
Deduct:
Expense waivers (Note 5)		(74,727	)		(63,305	)		(86,282	)		(65,957	)		(85,514	)
Net expenses		5,587			670			38,326			1,353			45,854
Net investment income		188,324			35,382			920,235			327,096			1,094,062
Realized and unrealized gain on investments, and
Net realized gain on transactions from:
Investments in unaffiliated issuers		316,931			16,361			2,089,310			(110,580	)		1,481,342
Investments in affiliated issuers		35,051			(3,168	)		105,643			(183,399	)		(713,046	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		77,486			17,988			707,105			325,473			1,342,627
Investments in affiliated issuers		129,607			30,812			1,347,157			584,206			2,429,838
Total net realized gain		559,075			61,993			4,249,215			615,700			4,540,761
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(490,469	)		(56,145	)		(3,764,400	)		(484,567	)		(4,642,065	)
Investments in affiliated issuers		(329,622	)		(61,949	)		(2,698,848	)		(774,654	)		(3,762,680	)
Total net change in unrealized depreciation		(820,091	)		(118,094	)		(6,463,248	)		(1,259,221	)		(8,404,745	)
Net realized and unrealized loss		(261,016	)		(56,101	)		(2,214,033	)		(643,521	)		(3,863,984	)
Change in net assets resulting from operations	$	(72,692	)	$	(20,719	)	$	(1,293,798	)	$	(316,425	)	$	(2,769,922	)

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

18

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	75,900		$	289,301		$	52,382		$	228,940		$	54,968
Affiliated issuers		92,483			347,504			66,142			284,757			69,371
Excess expense reimbursement from investment adviser (Note 5)		2,143			8,349			2,044			6,348			2,169
Total income		170,526			645,154			120,568			520,045			126,508
Expenses:
Shareholder servicing fees (Note 5)		525			12,895			531			11,825			219
Administration fees (Note 5)		404			9,150			371			8,464			213
Portfolio accounting fees		11,009			13,482			11,570			12,426			10,944
Recordkeeping fees		14,406			14,367			14,457			14,277			14,376
Custodian fees (Note 5)		378			1,471			272			1,138			274
Registration fees		18,904			28,693			18,794			28,693			18,841
Professional fees		9,151			9,151			9,151			9,152			9,151
Printing and postage		2,301			2,653			2,404			2,676			2,348
Directors’ fees		7,776			7,776			7,776			7,776			7,776
Distribution services fees (Note 5)		296			4,711			174			4,564			274
Miscellaneous		1,408			1,961			1,348			1,789			1,325
Total expenses		66,558			106,310			66,848			102,780			65,741
Deduct:
Expense waivers (Note 5)		(65,390	)		(81,994	)		(65,843	)		(80,183	)		(65,083	)
Net expenses		1,168			24,316			1,005			22,597			658
Net investment income		169,358			620,838			119,563			497,448			125,850
Realized and unrealized gain on investments, and
Net realized gain on transactions from:
Investments in unaffiliated issuers		(38,953	)		849,896			(63,627	)		72,344			(64,685	)
Investments in affiliated issuers		(118,758	)		(605,746	)		(125,853	)		(747,018	)		(106,643	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		366,120			913,106			166,966			741,278			181,154
Investments in affiliated issuers		272,051			1,610,563			304,800			1,333,707			321,075
Total net realized gain		480,460			2,767,819			282,286			1,400,311			330,901
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(406,145	)		(3,095,435	)		(261,463	)		(1,955,226	)		(276,295	)
Investments in affiliated issuers		(548,160	)		(2,376,453	)		(373,621	)		(1,747,816	)		(393,620	)
Total net change in unrealized depreciation		(954,305	)		(5,471,888	)		(635,084	)		(3,703,042	)		(669,915	)
Net realized and unrealized loss		(473,845	)		(2,704,069	)		(352,798	)		(2,302,731	)		(339,014	)
Change in net assets resulting from operations	$	(304,487	)	$	(2,083,231	)	$	(233,235	)	$	(1,805,283	)	$	(213,164	)

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

19

Six Months Ended February 28, 2019 (Unaudited)

Statements of Operations BMO Funds

	Conservative Allocation Fund			Moderate Allocation Fund			Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	288,029		$	529,076		$	1,812,246		$	501,334		$	648,506
Affiliated issuers		211,571			474,998			1,823,786			694,228			1,050,388
Excess expense reimbursement from investment adviser (Note 5)		7,877			29,353			59,670			40,339			37,764
Total income		507,477			1,033,427			3,695,702			1,235,901			1,736,658
Expenses:
Shareholder servicing fees (Note 5)		15,508			6,674			112,360			10,217			34,951
Administration fees (Note 5)		10,517			14,436			108,924			25,663			42,562
Portfolio accounting fees		13,120			14,532			27,053			16,285			19,178
Recordkeeping fees		19,167			19,155			20,929			19,279			20,412
Custodian fees (Note 5)		925			2,096			8,511			2,990			4,380
Registration fees		26,836			27,096			26,983			27,040			27,041
Professional fees		9,152			9,151			9,151			9,151			9,151
Printing and postage		5,903			6,562			7,417			5,886			7,828
Directors’ fees		7,776			7,776			7,776			7,776			7,776
Distribution services fees (Note 5)		2,290			19,451			45,023			26,532			39,003
Miscellaneous		2,801			3,129			7,656			3,683			4,146
Total expenses		113,995			130,058			381,783			154,502			216,428
Deduct:
Expense waivers (Note 5)		(90,559	)		(98,912	)		(165,012	)		(108,736	)		(119,591	)
Net expenses		23,436			31,146			216,771			45,766			96,837
Net investment income		484,041			1,002,281			3,478,931			1,190,135			1,639,821
Realized and unrealized gain on investments, and
Net realized gain on transactions from:
Investments in unaffiliated issuers		149,725			744,635			5,036,946			1,522,258			3,532,484
Investments in affiliated issuers		79,610			(485,841	)		(393,624	)		(679,648	)		(1,222,007	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		124,282			506,069			2,763,870			1,393,285			2,322,944
Investments in affiliated issuers		348,241			1,553,808			8,225,472			4,092,562			6,999,858
Total net realized gain		701,858			2,318,671			15,632,664			6,328,457			11,633,279
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(283,239	)		(2,098,139	)		(11,382,530	)		(4,754,622	)		(9,326,708	)
Investments in affiliated issuers		(825,369	)		(2,790,038	)		(14,425,171	)		(6,194,114	)		(10,330,074	)
Total net change in unrealized depreciation		(1,108,608	)		(4,888,177	)		(25,807,701	)		(10,948,736	)		(19,656,782	)
Net realized and unrealized loss		(406,750	)		(2,569,506	)		(10,175,037	)		(4,620,279	)		(8,023,503	)
Change in net assets resulting from operations	$	77,291		$	(1,567,225	)	$	(6,696,106	)	$	(3,430,144	)	$	(6,383,682	)

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

20

Statements of Changes in Net Assets BMO Funds

	In-Retirement Fund						2015 Fund						2020 Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income	$	188,324		$	348,796		$	35,382		$	81,609		$	920,235		$	1,516,053
Net realized gain on investments		559,075			567,123			61,993			180,637			4,249,215			4,481,731
Net change in unrealized depreciation on investments		(820,091	)		(330,517	)		(118,094	)		(78,525	)		(6,463,248	)		(35,881	)
Change in net assets resulting from operations		(72,692	)		585,402			(20,719	)		183,721			(1,293,798	)		5,961,903
Distributions to shareholders:
Investor class of shares		(185,237	)		(261,550	)(1)		(16,218	)		(5,772	)(1)		(1,545,766	)		(1,139,073	)(1)
Retirement class R-3 of shares		(53,602	)		(57,797	)(1)		(9,511	)		(2,334	)(1)		(412,343	)		(397,134	)(1)
Retirement class R-6 of shares		(857,310	)		(923,578	)(1)		(179,864	)		(88,466	)(1)		(5,264,399	)		(4,002,936	)(1)
Change in net assets resulting from distributions to shareholders		(1,096,149	)		(1,242,925	)		(205,593	)		(96,572	)		(7,222,508	)		(5,539,143	)
Capital stock transactions:
Proceeds from sale of shares		610,102			3,053,583			118,198			400,743			4,132,293			13,439,436
Net asset value of shares issued to shareholders in payment of distributions declared		1,096,149			1,242,925			186,532			92,093			7,220,983			5,539,143
Cost of shares redeemed		(3,446,073	)		(4,715,123	)		(543,820	)		(1,670,660	)		(13,519,811	)		(22,830,789	)
Change in net assets resulting from capital stock transactions		(1,739,822	)		(418,615	)		(239,090	)		(1,177,824	)		(2,166,535	)		(3,852,210	)
Change in net assets		(2,908,663	)		(1,076,138	)		(465,402	)		(1,090,675	)		(10,682,841	)		(3,429,450	)
Net assets:
Beginning of period		13,903,665			14,979,803			2,824,018			3,914,693			77,217,934			80,647,384
End of period	$	10,995,002		$	13,903,665	(2)	$	2,358,616		$	2,824,018	(2)	$	66,535,093		$	77,217,934	(2)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	In-Retirement Fund			2015 Fund			2020 Fund
Distributions to shareholders from net investment income:
Investor class of shares	$	(68,163	)	$	(5,300	)	$	(320,460	)
Retirement class R-3 of shares		(13,242	)		(2,159	)		(94,130	)
Retirement class R-6 of shares		(273,528	)		(83,495	)		(1,295,271	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(193,387	)		(472	)		(818,613	)
Retirement class R-3 of shares		(44,555	)		(175	)		(303,004	)
Retirement class R-6 of shares		(650,050	)		(4,971	)		(2,707,665	)

(2) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

In-Retirement Fund		2015 Fund		2020 Fund
$	192,975	$	36,599	$	709,458

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

21

Statements of Changes in Net Assets BMO Funds

	2025 Fund						2030 Fund						2035 Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income	$	327,096		$	412,603		$	1,094,062		$	1,456,640		$	169,358		$	197,110
Net realized gain on investments		615,700			678,584			4,540,761			4,221,381			480,460			590,154
Net change in unrealized appreciation (depreciation) on investments		(1,259,221	)		948,807			(8,404,745	)		3,736,647			(954,305	)		661,604
Change in net assets resulting from operations		(316,425	)		2,039,994			(2,769,922	)		9,414,668			(304,487	)		1,448,868
Distributions to shareholders:
Investor class of shares		(23,121	)		(27,914	)(1)		(1,289,260	)		(860,080	)(1)		(15,125	)		(44,318	)(1)
Retirement class R-3 of shares		(2,543	)		(964	)(1)		(240,595	)		(257,434	)(1)		(5,856	)		(4,594	)(1)
Retirement class R-6 of shares		(1,083,463	)		(690,330	)(1)		(5,330,384	)		(3,979,906	)(1)		(702,926	)		(807,059	)(1)
Change in net assets resulting from distributions to shareholders		(1,109,127	)		(719,208	)		(6,860,239	)		(5,097,420	)		(723,907	)		(855,971	)
Capital stock transactions:
Proceeds from sale of shares		5,230,281			7,548,244			8,537,935			21,273,459			2,222,037			3,530,973
Net asset value of shares issued to shareholders in payment of distributions declared		1,109,127			719,208			6,860,241			5,097,420			723,908			855,971
Cost of shares redeemed		(2,491,400	)		(4,584,961	)		(16,057,989	)		(23,592,808	)		(862,962	)		(2,482,495	)
Change in net assets resulting from capital stock transactions		3,848,008			3,682,491			(659,813	)		2,778,071			2,082,983			1,904,449
Change in net assets		2,422,456			5,003,277			(10,289,974	)		7,095,319			1,054,589			2,497,346
Net assets:
Beginning of period		26,558,945			21,555,668			99,904,701			92,809,382			15,567,754			13,070,408
End of period	$	28,981,401		$	26,558,945	(2)	$	89,614,727		$	99,904,701	(2)	$	16,622,343		$	15,567,754	(2)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	2025 Fund			2030 Fund			2035 Fund
Distributions to shareholders from net investment income:
Investor class of shares	$	(17,298	)	$	(261,657	)	$	(13,075	)
Retirement class R-3 of shares		—			(63,635	)		(457	)
Retirement class R-6 of shares		(458,277	)		(1,434,361	)		(276,293	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(10,616	)		(598,423	)		(31,243	)
Retirement class R-3 of shares		(964	)		(193,799	)		(4,137	)
Retirement class R-6 of shares		(232,053	)		(2,545,545	)		(530,766	)

(2) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

2025 Fund		2030 Fund		2035 Fund
$	196,038	$	603,300	$	70,261

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

22

Statements of Changes in Net Assets BMO Funds

	2040 Fund						2045 Fund						2050 Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income	$	620,838		$	751,298		$	119,563		$	115,758		$	497,448		$	551,987
Net realized gain on investments		2,767,819			2,674,461			282,286			319,135			1,400,311			1,951,170
Net change in unrealized appreciation (depreciation) on investments		(5,471,888	)		2,845,204			(635,084	)		515,670			(3,703,042	)		2,271,442
Change in net assets resulting from operations		(2,083,231	)		6,270,963			(233,235	)		950,563			(1,805,283	)		4,774,599
Distributions to shareholders:
Investor class of shares		(704,321	)		(903,183	)(1)		(12,952	)		(48,538	)(1)		(518,045	)		(338,280	)(1)
Retirement class R-3 of shares		(119,023	)		(207,277	)(1)		(2,846	)		(2,323	)(1)		(90,812	)		(112,482	)(1)
Retirement class R-6 of shares		(3,095,328	)		(4,028,502	)(1)		(414,226	)		(449,352	)(1)		(1,904,651	)		(1,451,931	)(1)
Change in net assets resulting from distributions to shareholders		(3,918,672	)		(5,138,962	)		(430,024	)		(500,213	)		(2,513,508	)		(1,902,693	)
Capital stock transactions:
Proceeds from sale of shares		6,362,616			13,362,068			2,109,849			4,409,123			6,093,269			12,025,565
Net asset value of shares issued to shareholders in payment of distributions declared		3,918,672			5,138,962			429,742			500,213			2,513,356			12,025,565
Cost of shares redeemed		(11,791,865	)		(11,998,268	)		(1,225,957	)		(1,990,475	)		(9,877,094	)		(9,928,815	)
Redemption fees		—			—			15			—			—			—
Change in net assets resulting from capital stock transactions		(1,510,577	)		6,502,762			1,313,649			2,918,861			(1,270,469	)		3,999,443
Change in net assets		(7,512,480	)		7,634,763			650,390			3,369,211			(5,589,260	)		6,871,349
Net assets:
Beginning of period		60,232,249			52,597,486			11,297,172			7,927,961			46,559,560			39,688,211
End of period	$	52,719,769		$	60,232,249	(2)	$	11,947,562		$	11,297,172	(2)	$	40,970,300		$	46,559,560	(2)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	2040 Fund			2045 Fund			2050 Fund
Distributions to shareholders from net investment income:
Investor class of shares	$	(154,503	)	$	(13,400	)	$	(124,235	)
Retirement class R-3 of shares		(27,713	)		—			(35,520	)
Retirement class R-6 of shares		(845,531	)		(146,697	)		(614,075	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(748,680	)		(35,138	)		(214,045	)
Retirement class R-3 of shares		(179,564	)		(2,323	)		(76,962	)
Retirement class R-6 of shares		(3,182,971	)		(302,655	)		(837,856	)

(2) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

2040 Fund		2045 Fund		2050 Fund
$	217,468	$	42,764	$	138,906

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

23

Statements of Changes in Net Assets BMO Funds

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income	$	125,850		$	120,801		$	484,041		$	1,016,989		$	1,002,281		$	1,997,551
Net realized gain on investments		330,901			266,220			701,858			4,784,296			2,318,671			6,773,470
Net change in unrealized appreciation (depreciation) on investments		(669,915	)		592,457			(1,108,608	)		(4,580,014	)		(4,888,177	)		(3,766,825	)
Change in net assets resulting from operations		(213,164	)		979,478			77,291			1,221,271			(1,567,225	)		5,004,196
Distributions to shareholders:
Investor class of shares		(5,167	)		(3,581	)(1)		(1,832,308	)		(2,226,207	)(1)		(498,960	)		(507,983	)(1)
Institutional class of shares		—			—	(1)		(80,131	)		(161,066	)(1)		(652,822	)		(330,580	)(1)
Retirement class R-3 of shares		(4,580	)		(4,147	)(1)		(138,411	)		(129,410	)(1)		(807,355	)		(835,913	)(1)
Retirement class R-6 of shares		(440,195	)		(146,093	)(1)		(3,516,104	)		(4,482,536	)(1)		(6,601,234	)		(5,493,805	)(1)
Change in net assets resulting from distributions to shareholders		(449,942	)		(281,010	)		(5,566,954	)		(6,999,219	)		(8,560,371	)		(7,168,281	)
Capital stock transactions:
Proceeds from sale of shares		2,853,928			4,631,390			5,433,371			9,067,886			13,716,714			14,875,830
Net asset value of shares issued to shareholders in payment of distributions declared		447,429			279,158			5,566,954			6,999,219			8,560,371			7,168,281
Cost of shares redeemed		(699,851	)		(1,549,051	)		(4,384,913	)		(46,708,558	)		(24,364,771	)		(49,075,766	)
Change in net assets resulting from capital stock transactions		2,601,506			3,361,497			6,615,412			(30,641,453	)		(2,087,686	)		(27,031,655	)
Change in net assets		1,938,400			4,059,965			1,125,749			(36,419,401	)		(12,215,282	)		(29,195,740	)
Net assets:
Beginning of period		11,266,044			7,206,079			37,514,988			73,934,389			81,964,376			111,160,116
End of period	$	13,204,444		$	11,266,044	(2)	$	38,640,737		$	37,514,988	(2)	$	69,749,094		$	81,964,376	(2)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	2055 Fund			Conservative Allocation Fund			Moderate Allocation Fund
Distributions to shareholders from net investment income:
Investor class of shares	$	(3,581	)	$	(582,115	)	$	(148,319	)
Institutional class of shares		—			(16,401	)		(102,870	)
Retirement class R-3 of shares		(4,147	)		(19,493	)		(227,674	)
Retirement class R-6 of shares		(146,093	)		(1,264,591	)		(1,874,292	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(4,746	)		(1,644,092	)		(359,664	)
Institutional class of shares		—			(144,665	)		(227,710	)
Retirement class R-3 of shares		(4,805	)		(109,917	)		(608,239	)
Retirement class R-6 of shares		(117,638	)		(3,217,945	)		(3,619,513	)

(2) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

2055 Fund		Conservative Allocation Fund		Moderate Allocation Fund
$	39,581	$	543,197	$	1,074,455

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

24

Statements of Changes in Net Assets BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Change in net assets resulting from:
Operations:
Net investment income	$	3,478,931		$	5,881,606		$	1,190,135		$	1,856,974		$	1,639,821		$	2,334,738
Net realized gain on investments		15,632,664			25,719,914			6,328,457			10,176,852			11,633,279			16,137,603
Net change in unrealized appreciation (depreciation) on investments		(25,807,701	)		(2,844,819	)		(10,948,736	)		1,888,866			(19,656,782	)		5,693,932
Change in net assets resulting from operations		(6,696,106	)		28,756,701			(3,430,144	)		13,922,692			(6,383,682	)		24,166,273
Distributions to shareholders:
Investor class of shares		(8,967,196	)		(9,914,908	)(1)		(690,675	)		(1,164,273	)(1)		(3,116,692	)		(4,758,561	)(1)
Institutional class of shares		(3,335,219	)		(4,372,016	)(1)		(1,735,407	)		(650,895	)(1)		(1,541,576	)		(1,722,650	)(1)
Retirement class R-3 of shares		(1,767,799	)		(2,022,307	)(1)		(976,683	)		(1,259,889	)(1)		(1,805,966	)		(2,052,160	)(1)
Retirement class R-6 of shares		(17,482,928	)		(20,648,922	)(1)		(8,566,608	)		(6,735,393	)(1)		(13,423,509	)		(14,467,294	)(1)
Change in net assets resulting from distributions to shareholders		(31,553,142	)		(36,958,153	)		(11,969,373	)		(9,810,450	)		(19,887,743	)		(23,000,665	)
Capital stock transactions:
Proceeds from sale of shares		37,321,655			47,232,899			20,619,616			23,670,844			17,964,778			24,497,608
Net asset value of shares issued to shareholders in payment of distributions declared		31,544,597			36,944,164			11,969,373			9,810,450			19,878,744			23,000,665
Cost of shares redeemed		(56,796,806	)		(101,939,289	)		(20,386,082	)		(43,963,867	)		(19,741,429	)		(44,328,338	)
Change in net assets resulting from capital stock transactions		12,069,446			(17,762,226	)		12,202,907			(10,482,573	)		18,102,093			3,169,935
Change in net assets		(26,179,802	)		(25,963,678	)		(3,196,610	)		(6,370,331	)		(8,169,332	)		4,335,543
Net assets:
Beginning of period		345,713,194			371,676,872			122,619,332			128,989,663			179,729,476			175,393,933
End of period	$	319,533,392		$	345,713,194	(2)	$	119,422,722		$	122,619,332	(2)	$	171,560,144		$	179,729,476	(2)

(1) The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the February 28, 2019 financial statements, which conform to the SEC Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. Distributions to shareholders from net investment income and net realized gain on investments for the year ended August 31, 2018, were as follows:

	Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Distributions to shareholders from net investment income:
Investor class of shares	$	(1,792,384	)	$	(276,000	)	$	(671,533	)
Institutional class of shares		(860,496	)		(173,710	)		(266,766	)
Retirement class R-3 of shares		(304,632	)		(266,254	)		(248,785	)
Retirement class R-6 of shares		(4,398,480	)		(1,905,407	)		(2,439,933	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(8,122,524	)		(888,273	)		(4,087,028	)
Institutional class of shares		(3,511,520	)		(477,185	)		(1,455,884	)
Retirement class R-3 of shares		(1,717,675	)		(993,635	)		(1,803,375	)
Retirement class R-6 of shares		(16,250,442	)		(4,829,986	)		(12,027,361	)

(2) The following information was previously reported in the August 31, 2018 financial statements. Undistributed net investment income included in net assets at end of period for the year ended August 31, 2018 were as follows:

Balanced Allocation Fund		Growth Allocation Fund		Aggressive Allocation Fund
$	2,845,915	$	687,893	$	727,704

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

25

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (4)
In-Retirement Fund
2019(5)		$	8.97		$	0.13		$	(0.18	)		$	(0.05	)		$	(0.25	)		$	(0.49	)		$	(0.74	)		$	8.18		(0.08	)%		1.59	%		0.33	%		2.54	%		$	2,196		21	%
2018			9.39			0.21			0.13				0.34				(0.20	)			(0.56	)			(0.76	)			8.97		3.66			1.36			0.33			2.11				2,648		35
2017			9.54			0.18			0.39				0.57				(0.23	)			(0.49	)			(0.72	)			9.39		6.52			1.42			0.33			1.65				3,461		26
2016			10.02			0.22			0.27				0.49				(0.24	)			(0.73	)			(0.97	)			9.54		5.45			1.25			0.33			2.02				3,469		44
2015			11.05			0.24			(0.44	)			(0.20	)			(0.29	)			(0.54	)			(0.83	)			10.02		(1.94	)		1.03			0.33			1.96				4,804		53
2014			10.00			0.20			0.99				1.19				(0.12	)			(0.02	)			(0.14	)			11.05		12.03			1.08			0.33			1.92				7,120		45
2015 Fund
2019(5)			11.64			0.28			(0.41	)			(0.13	)			(0.33	)			(0.61	)			(0.94	)			10.57		(0.62	)		5.49			0.33			2.53				185		22
2018			11.32			0.25			0.28				0.53				(0.19	)			(0.02	)			(0.21	)			11.64		4.72			4.35			0.33			1.84				323		38
2017			10.66			0.34			0.53				0.87				(0.21	)			—				(0.21	)			11.32		8.33			4.29			0.33			1.47				411		72
2016			10.44			0.19			0.39				0.58				(0.25	)			(0.11	)			(0.36	)			10.66		5.76			4.07			0.33			1.80				689		49
2015			10.74			0.11			(0.35	)			(0.24	)			(0.06	)			—				(0.06	)			10.44		(2.27	)		4.21			0.33			1.54				632		83
2014(6)			10.00			0.02			0.72				0.74				—				—				—				10.74		7.40			73.54			0.33			1.23				229		29
2020 Fund
2019(5)			10.56			0.13			(0.35	)			(0.22	)			(0.25	)			(0.76	)			(1.01	)			9.33		(1.33	)		0.63			0.33			2.23				15,487		27
2018			10.52			0.17			0.58				0.75				(0.20	)			(0.51	)			(0.71	)			10.56		7.28			0.60			0.33			1.54				18,002		29
2017			10.21			0.17			0.81				0.98				(0.19	)			(0.48	)			(0.67	)			10.52		10.17			0.63			0.33			1.45				17,810		23
2016			10.49			0.17			0.41				0.58				(0.22	)			(0.64	)			(0.86	)			10.21		5.96			0.63			0.33			1.67				18,913		39
2015			11.34			0.18			(0.46	)			(0.28	)			(0.25	)			(0.32	)			(0.57	)			10.49		(2.58	)		0.59			0.33			1.64				21,331		37
2014			10.00			0.18			1.35				1.53				(0.15	)			(0.04	)			(0.19	)			11.34		15.43			0.63			0.33			1.72				32,064		35
2025 Fund
2019(5)			12.28			0.24			(0.53	)			(0.29	)			(0.25	)			(0.25	)			(0.50	)			11.49		(1.95	)		0.91			0.33			2.32				542		24
2018			11.61			0.14			0.87				1.01				(0.21	)			(0.13	)			(0.34	)			12.28		8.85			1.01			0.33			1.23				1,185		33
2017			10.74			0.12			1.10				1.22				(0.16	)			(0.19	)			(0.35	)			11.61		11.76			1.04			0.33			1.12				933		31
2016			10.42			0.15			0.44				0.59				(0.18	)			(0.09	)			(0.27	)			10.74		5.78			1.01			0.33			1.78				674		33
2015			10.78			0.06			(0.37	)			(0.31	)			(0.05	)			—				(0.05	)			10.42		(2.89	)		1.26			0.33			1.04				1,676		53
2014(6)			10.00			0.01			0.77				0.78				—				—				—				10.78		7.80			24.60			0.33			0.56				289		22
2030 Fund
2019(5)			12.08			0.11			(0.49	)			(0.38	)			(0.25	)			(0.55	)			(0.80	)			10.90		(2.42	)		0.58			0.37			1.72				20,067		29
2018			11.55			0.15			0.98				1.13				(0.18	)			(0.42	)			(0.60	)			12.08		9.95			0.57			0.37			1.14				20,713		32
2017			10.79			0.15			1.18				1.33				(0.15	)			(0.42	)			(0.57	)			11.55		12.89			0.61			0.37			1.25				19,498		25
2016			10.84			0.14			0.45				0.59				(0.18	)			(0.46	)			(0.64	)			10.79		5.75			0.61			0.37			1.37				19,681		33
2015			11.61			0.15			(0.49	)			(0.34	)			(0.18	)			(0.25	)			(0.43	)			10.84		(3.07	)		0.59			0.37			1.30				23,332		45
2014			10.00			0.15			1.66				1.81				(0.18	)			(0.02	)			(0.20	)			11.61		18.26			0.66			0.37			1.40				33,059		29
2035 Fund
2019(5)			12.16			0.25			(0.65	)			(0.40	)			(0.24	)			(0.32	)			(0.56	)			11.20		(2.77	)		1.29			0.37			2.01				320		26
2018			11.70			0.15			1.09				1.24				(0.23	)			(0.55	)			(0.78	)			12.16		10.95			1.45			0.37			1.01				921		32
2017			10.73			0.10			1.33				1.43				(0.14	)			(0.32	)			(0.46	)			11.70		13.85			1.13			0.37			0.91				734		32
2016			10.33			0.10			0.49				0.59				(0.15	)			(0.04	)			(0.19	)			10.73		5.84			1.02			0.37			1.35				659		29
2015			10.71			0.01			(0.38	)			(0.37	)			(0.01	)			—				(0.01	)			10.33		(3.43	)		1.29			0.37			0.26				870		96
2014(6)			10.00			0.00			0.71				0.71				—				—				—				10.71		7.10			23.63			0.37			0.16				348		29
2040 Fund
2019(5)			11.74			0.10			(0.53	)			(0.43	)			(0.23	)			(0.53	)			(0.76	)			10.55		(2.93	)		0.70			0.36			1.75				10,343		33
2018			11.56			0.14			1.14				1.28				(0.19	)			(0.91	)			(1.10	)			11.74		11.50			0.67			0.36			0.97				12,173		29
2017			10.68			0.16			1.32				1.48				(0.13	)			(0.47	)			(0.60	)			11.56		14.59			0.73			0.36			1.30				11,098		24
2016			10.92			0.12			0.47				0.59				(0.16	)			(0.67	)			(0.83	)			10.68		5.74			0.71			0.36			1.18				13,370		31
2015			11.75			0.12			(0.51	)			(0.39	)			(0.20	)			(0.24	)			(0.44	)			10.92		(3.46	)		0.67			0.36			1.14				12,852		36
2014			10.00			0.14			1.82				1.96				(0.19	)			(0.02	)			(0.21	)			11.75		19.81			0.76			0.36			1.45				18,090		22

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

26

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (4)
2045 Fund
2019(5)		$	12.54		$	0.27			$	(0.68	)		$	(0.41	)		$	(0.22	)		$	(0.26	)		$	(0.48	)		$	11.65		(2.82	) %		1.65	%		0.36	%		2.12	%		$	313		28	%
2018			11.93			0.15				1.22				1.37				(0.21	)			(0.55	)			(0.76	)			12.54		11.73			2.10			0.36			1.01				914		35
2017(7)			10.92			0.11				1.41				1.52				(0.13	)			(0.38	)			(0.51	)			11.93		14.58			1.72			0.36			1.03				911		31
2016			10.48			0.09				0.53				0.62				(0.15	)			(0.03	)			(0.18	)			10.92		6.02			1.53			0.36			1.33				868		32
2015			10.84			(0.01	)			(0.34	)			(0.35	)			(0.01	)			—				(0.01	)			10.48		(3.27	)		2.14			0.36			0.26				1,142		95
2014(6)			10.00			0.00				0.84				0.84				—				—				—				10.84		8.40			33.37			0.36			0.04				154		35
2050 Fund
2019(5)			12.81			0.10				(0.55	)			(0.45	)			(0.25	)			(0.41	)			(0.66	)			11.70		(2.95	)		0.76			0.36			1.54				9,977		40
2018			11.99			0.13				1.24				1.37				(0.20	)			(0.35	)			(0.55	)			12.81		11.64			0.75			0.36			0.95				10,017		27
2017			11.05			0.21				1.34				1.55				(0.13	)			(0.48	)			(0.61	)			11.99		14.67			0.85			0.36			1.55				8,400		27
2016			10.96			0.13				0.50				0.63				(0.16	)			(0.38	)			(0.54	)			11.05		5.98			0.86			0.36			1.15				10,382		29
2015			11.76			0.12				(0.50	)			(0.38	)			(0.19	)			(0.23	)			(0.42	)			10.96		(3.37	)		0.84			0.36			1.06				10,275		39
2014			10.00			0.14				1.81				1.95				(0.17	)			(0.02	)			(0.19	)			11.76		19.69			1.08			0.36			1.36				11,231		28
2055 Fund
2019(5)			12.93			0.28				(0.73	)			(0.45	)			(0.22	)			(0.27	)			(0.49	)			11.99		(3.03	)		1.61			0.36			1.96				141		24
2018			11.90			0.15				1.22				1.37				(0.15	)			(0.19	)			(0.34	)			12.93		11.65			2.07			0.36			0.67				394		26
2017			10.85			0.11				1.40				1.51				(0.12	)			(0.34	)			(0.46	)			11.90		14.39			2.56			0.36			0.91				551		56
2016			10.41			0.09				0.54				0.63				(0.13	)			(0.06	)			(0.19	)			10.85		6.15			3.32			0.36			1.46				410		38
2015			10.85			0.06				(0.42	)			(0.36	)			(0.06	)			(0.02	)			(0.08	)			10.41		(3.33	)		6.91			0.36			0.57				1,049		61
2014(6)			10.00			0.00				0.85				0.85				—				—				—				10.85		8.50			50.05			0.36			0.07				143		123
Conservative Allocation Fund
2019(5)			8.67			0.12				(0.17	)			(0.05	)			(0.22	)			(1.05	)			(1.27	)			7.35		0.09			0.87			0.33			2.43				12,122		22
2018			10.02			0.21				(0.03	)			0.18				(0.40	)			(1.13	)			(1.53	)			8.67		1.79			0.79			0.33			1.99				13,395		29
2017			9.80			0.18				0.28				0.46				(0.24	)			(0.00	)			(0.24	)			10.02		4.83			0.58			0.33			1.55				15,531		40
2016			9.76			0.25				0.21				0.46				(0.23	)			(0.19	)			(0.42	)			9.80		4.98			0.56			0.33			2.23				17,919		31
2015			10.14			0.20				(0.34	)			(0.14	)			(0.16	)			(0.08	)			(0.24	)			9.76		(1.37	)		0.57			0.33			1.97				23,598		39
2014(8)			10.00			0.03				0.11				0.14				—				—				—				10.14		1.40			0.60			0.33			1.17				25,931		10
Moderate Allocation Fund
2019(5)			9.92			0.16				(0.31	)			(0.15	)			(0.26	)			(0.74	)			(1.00	)			8.77		(0.92	)		0.63			0.30			2.04				4,810		36
2018			10.08			0.18				0.31				0.49				(0.19	)			(0.46	)			(0.65	)			9.92		4.94			0.60			0.30			1.69				7,126		31
2017			9.72			0.17				0.55				0.72				(0.22	)			(0.14	)			(0.36	)			10.08		7.59			0.58			0.30			1.43				7,777		39
2016			9.78			0.24				0.23				0.47				(0.20	)			(0.33	)			(0.53	)			9.72		5.13			0.56			0.30			1.92				13,119		38
2015			10.20			0.17				(0.36	)			(0.19	)			(0.17	)			(0.06	)			(0.23	)			9.78		(1.89	)		0.57			0.30			1.72				22,595		30
2014(8)			10.00			0.04				0.16				0.20				—				—				—				10.20		2.00			0.60			0.30			1.60				24,928		8
Balanced Allocation Fund
2019(5)			9.41			0.09				(0.36	)			(0.27	)			(0.21	)			(0.69	)			(0.90	)			8.24		(2.03	)		0.47			0.33			2.00				91,828		35
2018			9.65			0.15				0.60				0.75				(0.18	)			(0.81	)			(0.99	)			9.41		8.06			0.48			0.33			1.39				98,453		29
2017			9.42			0.13				0.79				0.92				(0.18	)			(0.51	)			(0.69	)			9.65		10.33			0.48			0.33			1.19				101,517		35
2016			9.78			0.15				0.32				0.47				(0.17	)			(0.66	)			(0.83	)			9.42		5.23			0.47			0.33			1.54				110,814		33
2015			10.26			0.15				(0.39	)			(0.24	)			(0.17	)			(0.07	)			(0.24	)			9.78		(2.41	)		0.47			0.33			1.38				157,207		29
2014(8)			10.00			0.03				0.23				0.26				—				—				—				10.26		2.60			0.47			0.33			1.14				184,860		6
Growth Allocation Fund
2019(5)			10.58			0.18				(0.61	)			(0.43	)			(0.22	)			(0.79	)			(1.01	)			9.14		(3.02	)		0.56			0.30			1.77				7,113		27
2018			10.23			0.13				0.98				1.11				(0.18	)			(0.58	)			(0.76	)			10.58		11.15			0.56			0.30			1.18				13,887		32
2017			9.57			0.10				1.11				1.21				(0.12	)			(0.43	)			(0.55	)			10.23		13.27			0.57			0.30			1.10				16,758		42
2016			9.82			0.12				0.37				0.49				(0.16	)			(0.58	)			(0.74	)			9.57		5.28			0.56			0.30			1.22				24,691		38
2015			10.31			0.11				(0.41	)			(0.30	)			(0.16	)			(0.03	)			(0.19	)			9.82		(2.95	)		0.57			0.30			1.10				43,023		20
2014(8)			10.00			0.02				0.29				0.31				—				—				—				10.31		3.10			0.60			0.30			0.73				46,520		6

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

27

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (4)
Aggressive Allocation Fund
2019(5)		$	10.01		$	0.11		$	(0.61	)		$	(0.50	)		$	(0.21	)		$	(0.90	)		$	(1.11	)		$	8.40		(3.59	) %		0.52	%		0.33	%		1.74	%		$	27,030		31	%
2018			10.01			0.12			1.20				1.32				(0.19	)			(1.13	)			(1.32	)			10.01		13.90			0.53			0.33			1.06				34,898		27
2017			9.56			0.11			1.27				1.38				(0.10	)			(0.83	)			(0.93	)			10.01		15.60			0.53			0.33			1.03				37,632		33
2016			9.85			0.10			0.38				0.48				(0.13	)			(0.64	)			(0.77	)			9.56		5.14			0.52			0.33			1.04				52,260		33
2015			10.36			0.12			(0.41	)			(0.29	)			(0.18	)			(0.04	)			(0.22	)			9.85		(2.79	)		0.53			0.34			0.73				83,064		44
2014(8)			10.00			0.01			0.35				0.36				—				—				—				10.36		3.60			0.58			0.36			0.42				63,049		3

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 28, 2019 (Unaudited).

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

(7) Calculated using the average shares method.

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

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

28

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (4)
Conservative Allocation Fund
2019(5)		$	8.97		$	4.05		$	(4.09	)		$	(0.04	)		$	(0.22	)		$	(1.05	)		$	(1.27	)		$	7.66		0.22	%		0.64	%		0.08	%		2.60	%		$	583		22	%
2018			10.02			3.41			(3.20	)			0.21				(0.13	)			(1.13	)			(1.26	)			8.97		2.11			0.52			0.08			1.10				1,416		29
2017			9.81			0.18			0.30				0.48				(0.27	)			(0.00	)			(0.27	)			10.02		5.07			0.33			0.08			1.78				26,464		40
2016			9.77			0.24			0.25				0.49				(0.26	)			(0.19	)			(0.45	)			9.81		5.29			0.31			0.08			2.46				29,479		31
2015			10.15			0.23			(0.35	)			(0.12	)			(0.17	)			(0.09	)			(0.26	)			9.77		(1.22	)		0.32			0.08			2.23				29,104		39
2014(6)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.35			0.08			1.41				29,082		10
Moderate Allocation Fund
2019(5)			9.94			0.08			(0.23	)			(0.15	)			(0.27	)			(0.74	)			(1.01	)			8.78		(0.87	)		0.38			0.05			2.29				6,496		36
2018			10.08			0.28			0.25				0.53				(0.21	)			(0.46	)			(0.67	)			9.94		5.33			0.36			0.05			1.68				5,888		31
2017			9.73			0.17			0.57				0.74				(0.25	)			(0.14	)			(0.39	)			10.08		7.82			0.33			0.05			1.66				9,375		39
2016			9.79			0.23			0.28				0.51				(0.24	)			(0.33	)			(0.57	)			9.73		5.50			0.31			0.05			2.15				11,990		38
2015			10.21			0.21			(0.38	)			(0.17	)			(0.18	)			(0.07	)			(0.25	)			9.79		(1.75	)		0.32			0.05			1.95				16,112		30
2014(6)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.35			0.05			1.82				17,704		8
Balanced Allocation Fund
2019(5)			9.42			0.14			(0.40	)			(0.26	)			(0.23	)			(0.69	)			(0.92	)			8.24		(1.86	)		0.22			0.08			2.05				35,560		35
2018			9.66			0.19			0.58				0.77				(0.20	)			(0.81	)			(1.01	)			9.42		8.27			0.23			0.08			1.61				47,597		29
2017			9.43			0.13			0.81				0.94				(0.20	)			(0.51	)			(0.71	)			9.66		10.67			0.23			0.08			1.42				52,821		35
2016			9.79			0.17			0.33				0.50				(0.20	)			(0.66	)			(0.86	)			9.43		5.54			0.22			0.08			1.73				74,515		33
2015			10.26			0.17			(0.39	)			(0.22	)			(0.19	)			(0.06	)			(0.25	)			9.79		(2.17	)		0.22			0.08			1.59				81,475		29
2014(6)			10.00			0.04			0.22				0.26				—				—				—				10.26		2.60			0.22			0.08			1.39				79,584		6
Growth Allocation Fund
2019(5)			10.59			0.09			(0.52	)			(0.43	)			(0.24	)			(0.79	)			(1.03	)			9.13		(2.90	)		0.31			0.05			2.13				17,156		27
2018			10.23			0.15			1.00				1.15				(0.21	)			(0.58	)			(0.79	)			10.59		11.59			0.31			0.05			1.42				11,441		32
2017			9.58			0.09			1.14				1.23				(0.15	)			(0.43	)			(0.58	)			10.23		13.51			0.32			0.05			1.15				8,969		42
2016			9.84			0.14			0.37				0.51				(0.19	)			(0.58	)			(0.77	)			9.58		5.50			0.31			0.05			1.48				9,696		38
2015			10.32			0.15			(0.42	)			(0.27	)			(0.18	)			(0.03	)			(0.21	)			9.84		(2.72	)		0.32			0.05			1.32				15,252		20
2014(6)			10.00			0.02			0.30				0.32				—				—				—				10.32		3.20			0.35			0.05			0.96				18,598		6
Aggressive Allocation Fund
2019(5)			10.01			0.12			(0.61	)			(0.49	)			(0.23	)			(0.90	)			(1.13	)			8.39		(3.40	)		0.27			0.08			1.93				13,422		31
2018			10.00			0.15			1.20				1.35				(0.21	)			(1.13	)			(1.34	)			10.01		14.26			0.28			0.08			1.23				15,878		27
2017			9.57			0.14			1.25				1.39				(0.13	)			(0.83	)			(0.96	)			10.00		15.79			0.28			0.08			1.29				14,685		33
2016			9.87			0.11			0.39				0.50				(0.16	)			(0.64	)			(0.80	)			9.57		5.41			0.27			0.08			1.31				24,026		33
2015			10.37			0.14			(0.40	)			(0.26	)			(0.19	)			(0.05	)			(0.24	)			9.87		(2.55	)		0.28			0.09			1.06				31,770		44
2014(6)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.33			0.11			0.66				27,401		3

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 28, 2019 (Unaudited).

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

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

29

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
In-Retirement Fund
2019(5)		$	9.01		$	0.18			$	(0.25	)		$	(0.07	)		$	(0.25	)		$	(0.49	)		$	(0.74	)		$	8.20		(0.30	)%		1.82	%		0.58	%		3.06	%		$	135		21	%
2018			9.42			0.15				0.17				0.32				(0.17	)			(0.56	)			(0.73	)			9.01		3.43			1.60			0.58			1.85				766		35
2017			9.54			0.32				0.25				0.57				(0.20	)			(0.49	)			(0.69	)			9.42		6.39			1.67			0.58			1.57				634		26
2016			10.01			0.19				0.28				0.47				(0.21	)			(0.73	)			(0.94	)			9.54		5.19			1.50			0.58			1.77				1,720		44
2015			11.03			0.19				(0.42	)			(0.23	)			(0.26	)			(0.53	)			(0.79	)			10.01		(2.24	)		1.28			0.58			1.76				2,149		53
2014			10.00			0.19				0.98				1.17				(0.12	)			(0.02	)			(0.14	)			11.03		11.74			1.33			0.58			1.64				4,283		45
2015 Fund
2019(5)			11.57			0.12				(0.26	)			(0.14	)			(0.33	)			(0.61	)			(0.94	)			10.49		(0.71	)		5.72			0.58			2.29				106		22
2018			11.30			0.19				0.31				0.50				(0.21	)			(0.02	)			(0.23	)			11.57		4.46			4.58			0.58			1.69				117		38
2017			10.65			0.14				0.70				0.84				(0.19	)			—				(0.19	)			11.30		8.07			4.54			0.58			1.31				114		72
2016			10.41			0.26				0.30				0.56				(0.21	)			(0.11	)			(0.32	)			10.65		5.57			4.32			0.58			1.75				136		49
2015			10.72			0.09				(0.36	)			(0.27	)			(0.04	)			—				(0.04	)			10.41		(2.50	)		4.46			0.58			1.33				221		83
2014(6)			10.00			0.03				0.69				0.72				—				—				—				10.72		7.20			73.79			0.58			1.18				105		29
2020 Fund
2019(5)			10.59			0.13				(0.38	)			(0.25	)			(0.21	)			(0.76	)			(0.97	)			9.37		(1.56	)		0.88			0.58			2.28				3,457		27
2018			10.53			0.21				0.52				0.73				(0.16	)			(0.51	)			(0.67	)			10.59		7.06			0.85			0.58			1.63				4,533		29
2017			10.22			0.16				0.79				0.95				(0.16	)			(0.48	)			(0.64	)			10.53		9.87			0.88			0.58			1.32				6,813		23
2016			10.48			0.17				0.39				0.56				(0.18	)			(0.64	)			(0.82	)			10.22		5.74			0.88			0.58			1.44				11,985		39
2015			11.33			0.17				(0.48	)			(0.31	)			(0.22	)			(0.32	)			(0.54	)			10.48		(2.88	)		0.84			0.58			1.39				15,177		37
2014			10.00			0.15				1.36				1.51				(0.14	)			(0.04	)			(0.18	)			11.33		15.23			0.88			0.58			1.28				23,025		35
2025 Fund
2019(5)			12.41			0.36				(0.66	)			(0.30	)			(0.24	)			(0.25	)			(0.49	)			11.62		(2.05	)		1.16			0.58			1.88				65		24
2018			11.56			0.21				0.77				0.98				—				(0.13	)			(0.13	)			12.41		8.53			1.28			0.58			1.26				109		33
2017			10.69			0.24				0.97				1.21				(0.15	)			(0.19	)			(0.34	)			11.56		11.66			1.29			0.58			1.17				150		31
2016			10.38			0.14				0.42				0.56				(0.16	)			(0.09	)			(0.25	)			10.69		5.49			1.26			0.58			1.30				1,053		33
2015			10.76			0.03				(0.36	)			(0.33	)			(0.05	)			—				(0.05	)			10.38		(3.06	)		1.51			0.58			0.74				1,388		53
2014(6)			10.00			0.04				0.72				0.76				—				—				—				10.76		7.60			24.85			0.58			0.59				2		22
2030 Fund
2019(5)			12.09			0.40				(0.78	)			(0.38	)			(0.20	)			(0.55	)			(0.75	)			10.96		(2.45	)		0.83			0.62			3.14				1,319		29
2018			11.55			0.17				0.93				1.10				(0.14	)			(0.42	)			(0.56	)			12.09		9.63			0.82			0.62			0.98				3,844		32
2017			10.78			0.14				1.17				1.31				(0.12	)			(0.42	)			(0.54	)			11.55		12.70			0.86			0.62			1.13				6,316		25
2016			10.82			0.12				0.45				0.57				(0.15	)			(0.46	)			(0.61	)			10.78		5.53			0.86			0.62			1.15				9,875		33
2015			11.59			0.13				(0.51	)			(0.38	)			(0.14	)			(0.25	)			(0.39	)			10.82		(3.39	)		0.84			0.62			1.09				12,812		45
2014			10.00			0.13				1.65				1.78				(0.17	)			(0.02	)			(0.19	)			11.59		17.98			0.91			0.62			1.21				20,329		29
2035 Fund
2019(5)			12.24			0.10				(0.51	)			(0.41	)			(0.24	)			(0.32	)			(0.56	)			11.27		(2.83	)		1.53			0.62			1.82				128		26
2018			11.63			0.10				1.12				1.22				(0.06	)			(0.55	)			(0.61	)			12.24		10.76			1.70			0.62			0.69				123		32
2017			10.67			0.11				1.29				1.40				(0.12	)			(0.32	)			(0.44	)			11.63		13.59			1.38			0.62			0.99				120		32
2016			10.27			0.12				0.44				0.56				(0.12	)			(0.04	)			(0.16	)			10.67		5.55			1.27			0.62			1.06				492		29
2015			10.68			(0.03	)			(0.36	)			(0.39	)			(0.02	)			—				(0.02	)			10.27		(3.65	)		1.54			0.62			(0.13	)			734		96
2014(6)			10.00			0.01				0.67				0.68				—				—				—				10.68		6.80			23.88			0.62			0.19				3		29
2040 Fund
2019(5)			11.78			0.30				(0.74	)			(0.44	)			(0.19	)			(0.53	)			(0.72	)			10.62		(3.05	)		0.94			0.61			3.11				674		33
2018			11.57			0.10				1.16				1.26				(0.14	)			(0.91	)			(1.05	)			11.78		11.31			0.92			0.61			0.74				2,061		29
2017			10.69			0.19				1.26				1.45				(0.10	)			(0.47	)			(0.57	)			11.57		14.17			0.98			0.61			1.22				2,555		24
2016			10.91			0.12				0.44				0.56				(0.11	)			(0.67	)			(0.78	)			10.69		5.48			0.96			0.61			1.06				4,991		31
2015			11.72			0.10				(0.50	)			(0.40	)			(0.17	)			(0.24	)			(0.41	)			10.91		(3.57	)		0.92			0.61			0.92				7,748		36
2014			10.00			0.11				1.82				1.93				(0.19	)			(0.02	)			(0.21	)			11.72		19.42			1.01			0.61			0.97				11,429		22

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

30

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
2045 Fund
2019(5)		$	12.65		$	0.10			$	(0.54	)		$	(0.44	)		$	(0.22	)		$	(0.26	)		$	(0.48	)		$	11.73		(3.04	)%		1.87	%		0.61	%		1.90	%		$	73		28	%
2018			11.87			0.06				1.27				1.33				—				(0.55	)			(0.55	)			12.65		11.37			2.32			0.61			0.78				74		35
2017(7)			10.87			0.09				1.41				1.50				(0.12	)			(0.38	)			(0.50	)			11.87		14.35			1.97			0.61			0.80				53		31
2016			10.42			0.13				0.46				0.59				(0.11	)			(0.03	)			(0.14	)			10.87		5.74			1.78			0.61			1.02				426		32
2015			10.82			(0.07	)			(0.31	)			(0.38	)			(0.02	)			—				(0.02	)			10.42		(3.53	)		2.39			0.61			(0.90	)			746		95
2014(6)			10.00			0.00				0.82				0.82				—				—				—				10.82		8.20			33.62			0.61			0.01				3		35
2050 Fund
2019(5)			12.80			0.40				(0.86	)			(0.46	)			(0.20	)			(0.41	)			(0.61	)			11.73		(3.05	)		1.01			0.61			3.27				533		40
2018			11.97			0.11				1.23				1.34				(0.16	)			(0.35	)			(0.51	)			12.80		11.38			1.00			0.61			0.74				1,978		27
2017			11.04			0.14				1.38				1.52				(0.11	)			(0.48	)			(0.59	)			11.97		14.38			1.10			0.61			1.07				3,115		27
2016			10.95			0.10				0.50				0.60				(0.13	)			(0.38	)			(0.51	)			11.04		5.66			1.11			0.61			0.98				4,515		29
2015			11.74			0.09				(0.50	)			(0.41	)			(0.15	)			(0.23	)			(0.38	)			10.95		(3.57	)		1.09			0.61			0.81				5,072		39
2014			10.00			0.11				1.82				1.93				(0.17	)			(0.02	)			(0.19	)			11.74		19.40			1.33			0.61			0.87				6,826		28
2055 Fund
2019(5)			12.80			0.13				(0.59	)			(0.46	)			(0.22	)			(0.27	)			(0.49	)			11.85		(3.14	)		1.82			0.61			2.09				115		24
2018			11.83			0.14				1.19				1.33				(0.17	)			(0.19	)			(0.36	)			12.80		11.39			2.37			0.61			2.44				117		26
2017			10.80			0.07				1.41				1.48				(0.11	)			(0.34	)			(0.45	)			11.83		14.22			2.81			0.61			1.09				94		56
2016			10.38			0.09				0.50				0.59				(0.11	)			(0.06	)			(0.17	)			10.80		5.73			3.57			0.61			0.82				477		38
2015			10.84			0.03				(0.41	)			(0.38	)			(0.06	)			(0.02	)			(0.08	)			10.38		(3.55	)		7.16			0.61			0.14				395		61
2014(6)			10.00			0.01				0.83				0.84				—				—				—				10.84		8.40			50.30			0.61			0.44				54		123
Conservative Allocation Fund
2019(5)			8.84			0.05				(0.12	)			(0.07	)			(0.21	)			(1.05	)			(1.26	)			7.51		(0.14	)		1.12			0.58			2.21				899		22
2018			10.01			0.52				(0.36	)			0.16				(0.20	)			(1.13	)			(1.33	)			8.84		1.58			1.04			0.58			1.41				956		29
2017			9.80			0.13				0.30				0.43				(0.22	)			(0.00	)			(0.22	)			10.01		4.52			0.83			0.58			1.34				3,012		40
2016			9.74			0.21				0.24				0.45				(0.20	)			(0.19	)			(0.39	)			9.80		4.82			0.81			0.58			1.97				6,802		31
2015			10.14			0.20				(0.37	)			(0.17	)			(0.15	)			(0.08	)			(0.23	)			9.74		(1.72	)		0.82			0.58			1.74				7,624		39
2014(8)			10.00			0.02				0.12				0.14				—				—				—				10.14		1.40			0.85			0.58			0.91				11,583		10
Moderate Allocation Fund
2019(5)			9.91			0.08				(0.24	)			(0.16	)			(0.22	)			(0.74	)			(0.96	)			8.79		(1.11	)		0.88			0.55			1.99				6,862		36
2018			10.08			0.20				0.26				0.46				(0.17	)			(0.46	)			(0.63	)			9.91		4.65			0.85			0.55			1.43				8,095		31
2017			9.72			0.11				0.58				0.69				(0.19	)			(0.14	)			(0.33	)			10.08		7.37			0.83			0.55			1.10				13,725		39
2016			9.76			0.26				0.19				0.45				(0.16	)			(0.33	)			(0.49	)			9.72		4.90			0.81			0.55			1.65				12,695		38
2015			10.20			0.15				(0.37	)			(0.22	)			(0.16	)			(0.06	)			(0.22	)			9.76		(2.23	)		0.82			0.55			1.45				22,279		30
2014(8)			10.00			0.03				0.17				0.20				—				—				—				10.20		2.00			0.85			0.55			1.33				19,949		8
Balanced Allocation Fund
2019(5)			9.41			0.09				(0.37	)			(0.28	)			(0.19	)			(0.69	)			(0.88	)			8.25		(2.21	)		0.72			0.58			1.97				15,628		35
2018			9.64			0.13				0.59				0.72				(0.14	)			(0.81	)			(0.95	)			9.41		7.77			0.73			0.58			1.16				19,213		29
2017			9.40			0.09				0.80				0.89				(0.14	)			(0.51	)			(0.65	)			9.64		10.11			0.73			0.58			0.92				23,649		35
2016			9.76			0.13				0.31				0.44				(0.14	)			(0.66	)			(0.80	)			9.40		4.94			0.72			0.58			1.28				29,095		33
2015			10.25			0.12				(0.38	)			(0.26	)			(0.16	)			(0.07	)			(0.23	)			9.76		(2.64	)		0.72			0.58			1.15				38,677		29
2014(8)			10.00			0.02				0.23				0.25				—				—				—				10.25		2.50			0.72			0.58			0.89				44,647		6
Growth Allocation Fund
2019(5)			10.58			0.13				(0.58	)			(0.45	)			(0.18	)			(0.79	)			(0.97	)			9.16		(3.19	)		0.81			0.55			1.95				7,869		27
2018			10.22			0.10				0.99				1.09				(0.15	)			(0.58	)			(0.73	)			10.58		11.00			0.81			0.55			0.91				15,107		32
2017			9.55			0.10				1.08				1.18				(0.08	)			(0.43	)			(0.51	)			10.22		12.96			0.82			0.55			0.85				18,846		42
2016			9.81			0.09				0.37				0.46				(0.14	)			(0.58	)			(0.72	)			9.55		4.95			0.81			0.55			0.91				25,876		38
2015			10.30			0.09				(0.40	)			(0.31	)			(0.15	)			(0.03	)			(0.18	)			9.81		(3.10	)		0.82			0.55			0.83				28,903		20
2014(8)			10.00			0.01				0.29				0.30				—				—				—				10.30		3.00			0.85			0.55			0.46				31,065		6

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

31

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (4)
Aggressive Allocation Fund
2019(5)		$	9.99		$	0.08		$	(0.60	)		$	(0.52	)		$	(0.19	)		$	(0.90	)		$	(1.09	)		$	8.38		(3.85	)%		0.77	%		0.58	%		1.49	%		$	15,959		31	%
2018			9.98			0.10			1.20				1.30				(0.16	)			(1.13	)			(1.29	)			9.99		13.70			0.78			0.58			0.79				16,950		27
2017			9.55			0.06			1.29				1.35				(0.09	)			(0.83	)			(0.92	)			9.98		15.24			0.78			0.58			0.63				17,152		33
2016			9.84			0.07			0.38				0.45				(0.10	)			(0.64	)			(0.74	)			9.55		4.87			0.77			0.58			0.77				19,395		33
2015			10.35			0.10			(0.40	)			(0.30	)			(0.17	)			(0.04	)			(0.21	)			9.84		(2.94	)		0.78			0.59			0.48				22,578		44
2014(8)			10.00			0.00			0.35				0.35				—				—				—				10.35		3.50			0.83			0.61			0.16				16,200		3

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 28, 2019 (Unaudited).

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

(7) Calculated using the average shares method.

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

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

32

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)(5)			Net investment income (4)
In-Retirement Fund
2019(6)		$	8.97		$	0.13		$	(0.16	)		$	(0.03	)		$	(0.25	)		$	(0.49	)		$	(0.74	)		$	8.20		0.16	%		1.18	%		0.00	%		3.12	%		$	8,664		21	%
2018			9.40			0.23			0.14				0.37				(0.24	)			(0.56	)			(0.80	)			8.97		3.99			0.95			0.00			2.47				10,490		35
2017			9.55			0.22			0.40				0.62				(0.28	)			(0.49	)			(0.77	)			9.40		7.04			1.02			0.00			2.11				10,885		26
2016			10.05			0.26			0.27				0.53				(0.30	)			(0.73	)			(1.03	)			9.55		5.85			0.85			0.00			2.37				16,406		44
2015			11.08			0.29			(0.45	)			(0.16	)			(0.34	)			(0.53	)			(0.87	)			10.05		(1.54	)		0.63			0.00			2.35				16,611		53
2014			10.00			0.25			0.99				1.24				(0.14	)			(0.02	)			(0.16	)			11.08		12.47			0.68			0.00			2.31				20,128		45
2015 Fund
2019(6)			11.66			0.17			(0.27	)			(0.10	)			(0.33	)			(0.61	)			(0.94	)			10.62		(0.36	)		5.07			0.00			2.90				2,067		22
2018			11.39			0.29			0.29				0.58				(0.29	)			(0.02	)			(0.31	)			11.66		5.12			3.96			0.00			2.37				2,384		38
2017			10.73			0.19			0.73				0.92				(0.26	)			—				(0.26	)			11.39		8.80			3.89			0.00			1.97				3,390		72
2016			10.50			0.25			0.38				0.63				(0.29	)			(0.11	)			(0.40	)			10.73		6.22			3.67			0.00			2.21				3,744		49
2015			10.78			0.13			(0.34	)			(0.21	)			(0.07	)			—				(0.07	)			10.50		(1.92	)		3.81			0.00			1.94				4,234		83
2014(7)			10.00			0.08			0.70				0.78				—				—				—				10.78		7.80			73.14			0.00			1.75				174		29
2020 Fund
2019(6)			10.58			0.14			(0.35	)			(0.21	)			(0.26	)			(0.76	)			(1.02	)			9.35		(1.17	)		0.23			0.00			2.78				47,591		27
2018			10.54			0.22			0.57				0.79				(0.24	)			(0.51	)			(0.75	)			10.58		7.72			0.20			0.00			2.00				54,683		29
2017			10.23			0.19			0.83				1.02				(0.23	)			(0.48	)			(0.71	)			10.54		10.66			0.23			0.00			1.76				56,024		23
2016			10.52			0.21			0.41				0.62				(0.27	)			(0.64	)			(0.91	)			10.23		6.39			0.23			0.00			2.01				62,358		39
2015			11.38			0.25			(0.50	)			(0.25	)			(0.29	)			(0.32	)			(0.61	)			10.52		(2.28	)		0.19			0.00			1.98				53,085		37
2014			10.00			0.22			1.36				1.58				(0.16	)			(0.04	)			(0.20	)			11.38		15.98			0.23			0.00			1.97				59,502		35
2025 Fund
2019(6)			12.36			0.15			(0.42	)			(0.27	)			(0.25	)			(0.25	)			(0.50	)			11.59		(1.77	)		0.50			0.00			2.51				28,374		24
2018			11.68			0.21			0.86				1.07				(0.26	)			(0.13	)			(0.39	)			12.36		9.30			0.61			0.00			1.75				25,266		33
2017			10.81			0.17			1.11				1.28				(0.22	)			(0.19	)			(0.41	)			11.68		12.20			0.64			0.00			1.75				20,473		31
2016			10.48			0.19			0.44				0.63				(0.21	)			(0.09	)			(0.30	)			10.81		6.15			0.61			0.00			1.83				28,905		33
2015			10.81			0.09			(0.35	)			(0.26	)			(0.07	)			—				(0.07	)			10.48		(2.45	)		0.86			0.00			1.48				26,042		53
2014(7)			10.00			0.05			0.76				0.81				—				—				—				10.81		8.10			24.20			0.00			1.39				1,363		22
2030 Fund
2019(6)			12.09			0.13			(0.48	)			(0.35	)			(0.28	)			(0.55	)			(0.83	)			10.91		(2.18	)		0.18			0.00			2.52				68,229		29
2018			11.57			0.19			0.98				1.17				(0.23	)			(0.42	)			(0.65	)			12.09		10.34			0.17			0.00			1.62				75,347		32
2017			10.81			0.16			1.22				1.38				(0.20	)			(0.42	)			(0.62	)			11.57		13.38			0.21			0.00			1.48				66,995		25
2016			10.87			0.19			0.45				0.64				(0.24	)			(0.46	)			(0.70	)			10.81		6.21			0.21			0.00			1.66				73,828		33
2015			11.64			0.16			(0.46	)			(0.30	)			(0.22	)			(0.25	)			(0.47	)			10.87		(2.70	)		0.19			0.00			1.57				60,302		45
2014			10.00			0.19			1.66				1.85				(0.19	)			(0.02	)			(0.21	)			11.64		18.70			0.26			0.00			1.50				48,829		29
2035 Fund
2019(6)			12.24			0.14			(0.52	)			(0.38	)			(0.24	)			(0.32	)			(0.56	)			11.30		(2.59	)		0.88			0.00			2.30				16,174		26
2018			11.77			0.20			1.11				1.31				(0.29	)			(0.55	)			(0.84	)			12.24		11.50			1.06			0.00			1.48				14,524		32
2017			10.79			0.14			1.34				1.48				(0.18	)			(0.32	)			(0.50	)			11.77		14.31			0.73			0.00			1.70				12,216		32
2016			10.38			0.17			0.47				0.64				(0.19	)			(0.04	)			(0.23	)			10.79		6.26			0.62			0.00			1.57				30,132		29
2015			10.73			0.04			(0.36	)			(0.32	)			(0.03	)			—				(0.03	)			10.38		(2.99	)		0.89			0.00			0.97				27,613		96
2014(7)			10.00			0.04			0.69				0.73				—				—				—				10.73		7.30			23.23			0.00			1.06				1,201		29
2040 Fund
2019(6)			11.75			0.12			(0.53	)			(0.41	)			(0.24	)			(0.53	)			(0.77	)			10.57		(2.72	)		0.29			0.00			2.40				41,702		33
2018			11.58			0.17			1.15				1.32				(0.24	)			(0.91	)			(1.15	)			11.75		11.90			0.27			0.00			1.43				45,999		29
2017			10.71			0.14			1.38				1.52				(0.18	)			(0.47	)			(0.65	)			11.58		14.98			0.33			0.00			1.40				38,944		24
2016			10.96			0.17			0.46				0.63				(0.21	)			(0.67	)			(0.88	)			10.71		6.17			0.31			0.00			1.51				48,219		31
2015			11.78			0.16			(0.50	)			(0.34	)			(0.24	)			(0.24	)			(0.48	)			10.96		(2.98	)		0.27			0.00			1.45				40,193		36
2014			10.00			0.18			1.83				2.01				(0.21	)			(0.02	)			(0.23	)			11.78		20.26			0.36			0.00			1.39				39,760		22

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

33

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)(5)			Net investment income (4)
2045 Fund
2019(6)		$	12.62		$	0.13		$	(0.53	)		$	(0.40	)		$	(0.22	)		$	(0.26	)		$	(0.48	)		$	11.74		(2.72	) %		1.23	%		0.00	%		2.24	%		$	11,561		28	%
2018			12.00			0.19			1.24				1.43				(0.26	)			(0.55	)			(0.81	)			12.62		12.26			1.66			0.00			1.37				10,309		35
2017(8)			10.98			0.19			1.39				1.58				(0.18	)			(0.38	)			(0.56	)			12.00		15.08			1.32			0.00			1.71				6,964		31
2016			10.53			0.16			0.50				0.66				(0.18	)			(0.03	)			(0.21	)			10.98		6.38			1.13			0.00			1.48				15,877		32
2015			10.87			0.03			(0.35	)			(0.32	)			(0.02	)			—				(0.02	)			10.53		(2.91	)		1.74			0.00			0.85				13,046		95
2014(7)			10.00			0.04			0.83				0.87				—				—				—				10.87		8.70			32.97			0.00			0.93				895		35
2050 Fund
2019(6)			12.82			0.12			(0.55	)			(0.43	)			(0.25	)			(0.41	)			(0.66	)			11.73		(2.75	)		0.36			0.00			2.49				30,461		40
2018			12.00			0.19			1.24				1.43				(0.26	)			(0.35	)			(0.61	)			12.82		12.11			0.35			0.00			1.42				34,564		27
2017			11.08			0.14			1.45				1.59				(0.19	)			(0.48	)			(0.67	)			12.00		15.09			0.45			0.00			1.28				28,173		27
2016			11.00			0.17			0.50				0.67				(0.21	)			(0.38	)			(0.59	)			11.08		6.37			0.46			0.00			1.48				30,317		29
2015			11.80			0.14			(0.48	)			(0.34	)			(0.23	)			(0.23	)			(0.46	)			11.00		(2.99	)		0.44			0.00			1.37				22,487		39
2014			10.00			0.18			1.83				2.01				(0.19	)			(0.02	)			(0.21	)			11.80		20.24			0.68			0.00			1.39				17,346		28
2055 Fund
2019(6)			12.97			0.14			(0.56	)			(0.42	)			(0.22	)			(0.27	)			(0.49	)			12.06		(2.79	)		1.17			0.00			2.27				12,949		24
2018			11.97			0.18			1.25				1.43				(0.24	)			(0.19	)			(0.43	)			12.97		12.17			1.60			0.00			1.35				10,755		26
2017			10.91			0.16			1.41				1.57				(0.17	)			(0.34	)			(0.51	)			11.97		14.93			2.16			0.00			1.53				6,561		56
2016			10.47			0.15			0.51				0.66				(0.16	)			(0.06	)			(0.22	)			10.91		6.43			2.92			0.00			1.30				6,866		38
2015			10.89			0.07			(0.39	)			(0.32	)			(0.08	)			(0.02	)			(0.10	)			10.47		(2.96	)		6.51			0.00			0.90				2,809		61
2014(7)			10.00			0.03			0.86				0.89				—				—				—				10.89		8.90			49.65			0.00			0.84				477		123
Conservative Allocation Fund
2019(6)			8.68			0.14			(0.18	)			(0.04	)			(0.22	)			(1.05	)			(1.27	)			7.37		0.21			0.47			0.00			2.79				25,037		22
2018			10.03			0.21			0.01				0.22				(0.44	)			(1.13	)			(1.57	)			8.68		2.28			0.39			0.00			2.42				21,748		29
2017			9.82			0.27			0.23				0.50				(0.29	)			(0.00	)			(0.29	)			10.03		5.22			0.18			0.00			1.96				28,927		40
2016			9.79			0.25			0.24				0.49				(0.27	)			(0.19	)			(0.46	)			9.82		5.34			0.16			0.00			2.61				88,818		31
2015			10.15			0.25			(0.34	)			(0.09	)			(0.19	)			(0.08	)			(0.27	)			9.79		(0.94	)		0.17			0.00			2.38				86,637		39
2014(9)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.20			0.00			1.57				92,207		10
Moderate Allocation Fund
2019(6)			9.92			0.11			(0.24	)			(0.13	)			(0.27	)			(0.74	)			(1.01	)			8.78		(0.67	)		0.23			0.00			2.73				51,581		36
2018			10.09			0.22			0.31				0.53				(0.24	)			(0.46	)			(0.70	)			9.92		5.33			0.20			0.00			2.12				60,855		31
2017			9.74			0.21			0.54				0.75				(0.26	)			(0.14	)			(0.40	)			10.09		8.02			0.18			0.00			1.83				80,283		39
2016			9.80			0.22			0.30				0.52				(0.25	)			(0.33	)			(0.58	)			9.74		5.67			0.16			0.00			2.27				101,327		38
2015			10.21			0.21			(0.37	)			(0.16	)			(0.19	)			(0.06	)			(0.25	)			9.80		(1.56	)		0.17			0.00			2.11				93,206		30
2014(9)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.20			0.00			1.99				95,654		8
Balanced Allocation Fund
2019(6)			9.42			0.11			(0.37	)			(0.26	)			(0.23	)			(0.69	)			(0.92	)			8.24		(1.85	)		0.07			0.00			2.37				176,517		35
2018			9.66			0.18			0.61				0.79				(0.22	)			(0.81	)			(1.03	)			9.42		8.51			0.08			0.00			1.82				180,451		29
2017			9.44			0.19			0.76				0.95				(0.22	)			(0.51	)			(0.73	)			9.66		10.73			0.08			0.00			1.67				193,690		35
2016			9.80			0.18			0.33				0.51				(0.21	)			(0.66	)			(0.87	)			9.44		5.70			0.07			0.00			1.87				252,982		33
2015			10.27			0.18			(0.39	)			(0.21	)			(0.19	)			(0.07	)			(0.26	)			9.80		(2.08	)		0.07			0.00			1.78				247,496		29
2014(9)			10.00			0.04			0.23				0.27				—				—				—				10.27		2.70			0.07			0.00			1.54				284,021		6
Growth Allocation Fund
2019(6)			10.59			0.10			(0.52	)			(0.42	)			(0.24	)			(0.79	)			(1.03	)			9.14		(2.80	)		0.16			0.00			2.11				87,284		27
2018			10.24			0.17			0.99				1.16				(0.23	)			(0.58	)			(0.81	)			10.59		11.66			0.17			0.00			1.59				82,185		32
2017			9.59			0.16			1.09				1.25				(0.17	)			(0.43	)			(0.60	)			10.24		13.69			0.17			0.00			1.49				84,417		42
2016			9.85			0.15			0.37				0.52				(0.20	)			(0.58	)			(0.78	)			9.59		5.67			0.16			0.00			1.51				79,852		38
2015			10.32			0.16			(0.41	)			(0.25	)			(0.19	)			(0.03	)			(0.22	)			9.85		(2.52	)		0.17			0.00			1.47				67,727		20
2014			10.00			0.03			0.29				0.32				—				—				—				10.32		3.20			0.20			0.00			1.11				56,647		6

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

34

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)(5)			Net investment income (4)
Aggressive Allocation Fund
2019(6)		$	10.02		$	0.10		$	(0.60	)		$	(0.50	)		$	(0.23	)		$	(0.90	)		$	(1.13	)		$	8.39		(3.50	) %		0.12	%		0.00	%		2.14	%		$	115,149		31	%
2018			10.01			0.16			1.21				1.37				(0.23	)			(1.13	)			(1.36	)			10.02		14.51			0.13			0.00			1.47				112,003		27
2017			9.58			0.15			1.26				1.41				(0.15	)			(0.83	)			(0.98	)			10.01		16.00			0.13			0.00			1.43				105,925		33
2016			9.88			0.14			0.38				0.52				(0.18	)			(0.64	)			(0.82	)			9.58		5.58			0.12			0.00			1.38				123,203		33
2015			10.37			0.17			(0.41	)			(0.24	)			(0.21	)			(0.04	)			(0.25	)			9.88		(2.37	)		0.12			0.00			1.12				113,933		44
2014(9)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.18			0.00			0.82				73,040		3

(1) Annualized for periods less than one year.

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

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

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

(5) Please refer to Note 5, subsection Investment Adviser Fee and Other Transactions with Affiliates, in the Notes to Financial Statements.

(6) For the six months ended February 28, 2019 (Unaudited).

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

(8) Calculated using the average shares method.

(9) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

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

35

February 28, 2019 (Unaudited)

Notes to Financial Statements BMO Funds

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of February 28, 2019, the Corporation consisted of 42 portfolios, including 10 target retirement and 5 target risk diversified portfolios within this semi-annual report (individually referred to as the “Fund,” or collectively as the “Funds”), each with differing share class offerings as well as 27 other portfolios whose semi-annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Target Retirement
In-Retirement Fund	August 30, 2013	The investment objective of each Target Retirement Fund is to achieve growth, income, and conservation of capital to varying degrees depending on its proximity to its target date. As the Fund passes its target date, the Fund will reduce its emphasis on growth and increase its emphasis on income and preservation of capital.
2015 Fund	December 27, 2013
2020 Fund	August 30, 2013
2025 Fund	December 27, 2013
2030 Fund	August 30, 2013
2030 Fund	December 27, 2013
2040 Fund	August 30, 2013
2045 Fund	December 27, 2013
2050 Fund	August 30, 2013
2055 Fund	December 27, 2013
Target Risk
Conservative Allocation Fund	May 30, 2014	To provide total return primarily from income, secondarily from appreciation.
Moderate Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Balanced Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Growth Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Aggressive Allocation Fund	May 30, 2014	To provide total investment return primarily from appreciation, secondarily from income.

The target investment allocation for each of the Target Risk Funds, based on each Fund’s total assets, is set forth below.

Target Risk Fund	Equity		Fixed Income		Money Market Funds
Conservative Allocation Fund		10%–30%		70%–90%		0%–10%
Moderate Allocation Fund		30%–50%		50%–70%		0%–10%
Balanced Allocation Fund		50%–70%		30%–50%		0%–10%
Growth Allocation Fund		70%–90%		10%–30%		0%–10%
Aggressive Allocation Fund		90%–100%		0%		0%–10%

Each Fund seeks to achieve its investment objectives by investing in a mix (without limitation) of BMO Funds and unaffiliated mutual funds. The Funds are designed to provide investors with investment management, asset allocation, and ongoing reallocation over time. Each Fund is considered a “fund of funds” because it invests in other mutual funds. A fund of funds bears its own direct expenses in addition to bearing a proportionate share of expenses charged to the underlying funds in which it invests.

2. Significant Accounting Policies

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

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

Investment Valuations—Investments in other open-end registered investment companies are valued at net asset value.

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

36

BMO Funds

The Pricing Committee may determine that a security needs to be fair valued. In valuing underlying fund investments, the Funds use the NAVs reported by the underlying funds. An underlying fund may need to fair value one or more of its investments, which may, in turn, require a Fund to do the same because of delays in obtaining the underlying fund’s NAV.

Investment Income, Expenses, and Distributions—Investment income and expenses are accrued daily. The Funds distribute net investment income, if any, and net realized gains (net of any capital loss carryovers) annually. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on the ex-dividend date except in the case of certain foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Fund’s information agents become aware of such dividends. Non-cash dividends included in dividend income, if any, are recorded at fair value. Paid-in-kind interest included in interest income, if any, is accrued daily.

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

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

Securities of Other Investment Companies & Underlying Fund Investment Risk—The Funds may invest in the securities of other investment companies, including exchange-traded funds, within the limits prescribed by the 1940 Act and the rules promulgated thereunder. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. The Funds also may invest in investment companies that are not organized under the laws of the United States. The Fund’s risks are directly related to the risks of the underlying funds. It is important to understand the risks associated with investing in the underlying funds.

Commitments and Contingencies—In the normal course of business, the Corporation enters into contracts that provide general indemnifications to other parties. The Corporation’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Corporation that have not yet occurred. However, the Corporation has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Other—Investment transactions are accounted for on a trade date basis. Net realized gains and losses on securities are computed on the basis of specific security lot identification.

3. Fair Value Measurement

Fair Valuation Measurement defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It establishes a fair value hierarchy that distinguishes between (1) market participant assumptions developed based on market data obtained from sources independent of the reporting issuer (observable inputs), and (2) the reporting issuer’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly and how that information must be incorporated into fair value measurement.

In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820)—Disclosures Framework—Changes to Disclosure Requirements of Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years; however, management has elected to early adopt ASU 2018-13 effective with the current reporting period as permitted by the standard. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy and disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, when applicable.

Various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels listed below:

Level 1—quoted prices in active markets for identical securities. An active market for the security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Common and preferred stocks, options and futures contracts, and U.S. registered mutual funds are generally categorized as Level 1.

37

Notes to Financial Statements (continued)

Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Fixed income securities, repurchase agreements, cash collateral received as part of the securities lending program, and securities valued by an independent fair value pricing service are generally categorized as Level 2.

Level 3—significant unobservable inputs, including management’s own assumptions in determining the fair value of investments.

For the year ended February 28, 2019, the Funds had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy. It is the Funds’ policy to recognize transfers between category levels at the end of the period. For the period ended February 28, 2019, there were no transfers in and out of Level 1, Level 2 , and Level 3. The Funds did not hold any Level 2 or Level 3 securities as of February 28, 2019.

The following is a summary of the inputs used, as of February 28, 2019, in valuing the Funds’ assets:

	In-Retirement Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	10,850,230	$	—	$	—	$	10,850,230
Total	$	10,850,230	$	—	$	—	$	10,850,230
	2015 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	2,281,493	$	—	$	—	$	2,281,493
Short-Term Investments		22,992		—		—		22,992
Total	$	2,304,485	$	—	$	—	$	2,304,485
	2020 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	66,337,886	$	—	$	—	$	66,337,886
Total	$	66,337,886	$	—	$	—	$	66,337,886
	2025 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	28,588,313	$	—	$	—	$	28,588,313
Short-Term Investments		216,284		—		—		216,284
Total	$	28,804,597	$	—	$	—	$	28,804,597
	2030 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	88,347,219	$	—	$	—	$	88,347,219
Short-Term Investments		668,401		—		—		668,401
Total	$	89,015,620	$	—	$	—	$	89,015,620
	2035 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	16,308,870	$	—	$	—	$	16,308,870
Short-Term Investments		165,148		—		—		165,148
Total	$	16,474,018	$	—	$	—	$	16,474,018
	2040 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	51,663,126	$	—	$	—	$	51,663,126
Short-Term Investments		187,901		—		—		187,901
Total	$	51,851,027	$	—	$	—	$	51,851,027
	2045 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	11,702,340	$	—	$	—	$	11,702,340
Short-Term Investments		131,975		—		—		131,975
Total	$	11,834,315	$	—	$	—	$	11,834,315

	2050 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	40,319,585	$	—	$	—	$	40,319,585
Short-Term Investments		244,147		—		—		244,147
Total	$	40,563,732	$	—	$	—	$	40,563,732
	2055 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	12,871,469	$	—	$	—	$	12,871,469
Short-Term Investments		130,001		—		—		130,001
Total	$	13,001,470	$	—	$	—	$	13,001,470
	Conservative Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	36,980,065	$	—	$	—	$	36,980,065
Short-Term Investments		1,551,908		—		—		1,551,908
Total	$	38,531,973	$	—	$	—	$	38,531,973
	Moderate Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	67,401,586	$	—	$	—	$	67,401,586
Short-Term Investments		2,883,521		—		—		2,883,521
Total	$	70,285,107	$	—	$	—	$	70,285,107
	Balanced Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	307,998,438	$	—	$	—	$	307,998,438
Short-Term Investments		12,709,393		—		—		12,709,393
Total	$	320,707,831	$	—	$	—	$	320,707,831
	Growth Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	114,585,576	$	—	$	—	$	114,585,576
Short-Term Investments		4,122,813		—		—		4,122,813
Total	$	118,708,389	$	—	$	—	$	118,708,389
	Aggressive Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	169,642,823	$	—	$	—	$	169,642,823
Short-Term Investments		1,424,653		—		—		1,424,653
Total	$	171,067,476	$	—	$	—	$	171,067,476

38

BMO Funds

4. Capital Stock

The Articles of Incorporation permit the Directors to issue an indefinite number of full and fractional shares of common stock, par value $0.0001 per share. Transactions in capital stock were as follows:

	In-Retirement Fund						2015 Fund						2020 Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	92,263		$	183,205		$	991		$	31,490		$	613,574		$	2,658,760
Retirement class R-3 of shares		22,342			157,831			—			—			139,814			238,558
Retirement class R-6 of shares		495,497			2,712,547			117,207			369,253			3,378,905			10,542,118
Net proceeds from sale of shares		610,102			3,053,583			118,198			400,743			4,132,293			13,439,436
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		185,237			261,550			6,668			3,627			1,544,242			1,139,073
Retirement class R-3 of shares		53,602			57,797			—			—			412,342			397,134
Retirement class R-6 of shares		857,310			923,578			179,864			88,466			5,264,399			4,002,936
Net proceeds from shares issued		1,096,149			1,242,925			186,532			92,093			7,220,983			5,539,143
Cost of shares redeemed:
Investor class of shares		(537,335	)		(1,112,611	)		(126,161	)		(133,922	)		(2,877,201	)		(3,719,151	)
Retirement class R-3 of shares		(651,951	)		(48,983	)		—			—			(1,143,945	)		(2,972,276	)
Retirement class R-6 of shares		(2,256,787	)		(3,553,529	)		(417,659	)		(1,536,738	)		(9,498,665	)		(16,139,362	)
Net cost of shares redeemed		(3,446,073	)		(4,715,123	)		(543,820	)		(1,670,660	)		(13,519,811	)		(22,830,789	)
Net change resulting from fund share transactions in dollars	$	(1,739,822	)	$	(418,615	)	$	(239,090	)	$	(1,177,824	)	$	(2,166,535	)	$	(3,852,210	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		10,785			20,342			88			2,737			64,405			252,294
Retirement class R-3 of shares		2,676			16,761			—			—			14,999			22,745
Retirement class R-6 of shares		57,864			301,530			10,857			32,017			347,242			1,001,321
Net sale of shares		71,325			338,633			10,945			34,754			426,646			1,276,360
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		23,870			29,454			669			316			178,732			110,697
Retirement class R-3 of shares		6,890			6,480			—			—			47,450			38,445
Retirement class R-6 of shares		110,336			104,359			17,968			7,713			607,898			389,391
Net shares issued		141,096			140,293			18,637			8,029			834,080			538,533
Shares redeemed:
Investor class of shares		(61,133	)		(123,210	)		(10,936	)		(11,585	)		(286,484	)		(351,633	)
Retirement class R-3 of shares		(78,181	)		(5,515	)		—			—			(121,647	)		(280,100	)
Retirement class R-6 of shares		(279,961	)		(395,463	)		(38,561	)		(133,001	)		(1,031,788	)		(1,538,507	)
Net shares redeemed		(419,275	)		(524,188	)		(49,497	)		(144,586	)		(1,439,919	)		(2,170,240	)
Net change resulting from fund share transactions in shares		(206,854	)		(45,262	)		(19,915	)		(101,803	)		(179,193	)		(355,347	)

39

Notes to Financial Statements (continued)

	2025 Fund						2030 Fund						2035 Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	19,598		$	522,705		$	2,799,491		$	5,708,489		$	56,346		$	279,672
Retirement class R-3 of shares		3,411			18,651			135,390			573,094			8,238			33,816
Retirement class R-6 of shares		5,207,272			7,006,888			5,603,054			14,991,876			2,157,453			3,217,485
Net proceeds from sale of shares		5,230,281			7,548,244			8,537,935			21,273,459			2,222,037			3,530,973
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		23,121			27,914			1,289,260			860,080			15,125			44,318
Retirement class R-3 of shares		2,543			964			240,596			257,434			5,856			4,594
Retirement class R-6 of shares		1,083,463			690,330			5,330,385			3,979,906			702,927			807,059
Net proceeds from shares issued		1,109,127			719,208			6,860,241			5,097,420			723,908			855,971
Cost of shares redeemed:
Investor class of shares		(648,122	)		(356,159	)		(3,037,735	)		(6,262,985	)		(644,622	)		(171,205	)
Retirement class R-3 of shares		(42,685	)		(70,552	)		(2,563,401	)		(3,611,377	)		—			(42,718	)
Retirement class R-6 of shares		(1,800,593	)		(4,158,250	)		(10,456,853	)		(13,718,446	)		(218,340	)		(2,268,572	)
Net cost of shares redeemed		(2,491,400	)		(4,584,961	)		(16,057,989	)		(23,592,808	)		(862,962	)		(2,482,495	)
Net change resulting from fund share transactions in dollars	$	3,848,008		$	3,682,491		$	(659,813	)	$	2,778,071		$	2,082,983		$	1,904,449
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		1,680			43,418			258,337			477,689			4,682			23,525
Retirement class R-3 of shares		297			1,542			12,368			48,473			732			2,834
Retirement class R-6 of shares		458,433			580,828			502,270			1,258,490			193,865			267,420
Net sale of shares		460,410			625,788			772,975			1,784,652			199,279			293,779
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		2,204			2,352			130,492			73,953			1,499			3,804
Retirement class R-3 of shares		239			80			24,229			22,078			577			391
Retirement class R-6 of shares		102,504			57,962			539,513			342,800			69,118			69,038
Net shares issued		104,947			60,394			694,234			438,831			71,194			73,233
Shares redeemed:
Investor class of shares		(53,180	)		(29,645	)		(263,210	)		(524,803	)		(53,319	)		(14,329	)
Retirement class R-3 of shares		(3,705	)		(5,845	)		(234,107	)		(299,579	)		—			(3,542	)
Retirement class R-6 of shares		(157,865	)		(346,361	)		(1,020,362	)		(1,161,905	)		(18,863	)		(187,113	)
Net shares redeemed		(214,750	)		(381,851	)		(1,517,679	)		(1,986,287	)		(72,182	)		(204,984	)
Net change resulting from fund share transactions in shares		350,607			304,331			(50,470	)		237,196			198,291			162,028

40

BMO Funds

	2040 Fund						2045 Fund						2050 Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,003,352		$	3,442,862		$	6,521		$	93,438		$	1,064,625		$	3,304,021
Retirement class R-3 of shares		451,950			658,081			1,763			40,179			203,718			517,504
Retirement class R-6 of shares		4,907,314			9,261,125			2,101,565			4,275,506			4,824,926			8,204,040
Net proceeds from sale of shares		6,362,616			13,362,068			2,109,849			4,409,123			6,093,269			12,025,565
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		704,321			903,183			12,671			48,538			517,893			338,280
Retirement class R-3 of shares		119,023			207,277			2,846			2,323			90,812			112,482
Retirement class R-6 of shares		3,095,328			4,028,502			414,225			449,352			1,904,651			1,451,931
Net proceeds from shares issued		3,918,672			5,138,962			429,742			500,213			2,513,356			1,902,693
Cost of shares redeemed:
Investor class of shares		(2,517,894	)		(3,558,646	)		(592,677	)		(187,407	)		(830,477	)		(2,625,075	)
Retirement class R-3 of shares		(1,777,567	)		(1,438,959	)		—			(25,601	)		(1,598,390	)		(1,980,408	)
Retirement class R-6 of shares		(7,496,404	)		(7,000,663	)		(633,280	)		(1,777,467	)		(7,448,227	)		(5,323,332	)
Net cost of shares redeemed		(11,791,865	)		(11,998,268	)		(1,225,957	)		(1,990,475	)		(9,877,094	)		(9,928,815	)
Redemption fees		—			—			15			—			—			—
Net change resulting from fund share transactions in dollars	$	(1,510,577	)	$	6,502,762		$	1,313,649		$	2,918,861		$	(1,270,469	)	$	3,999,443
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		94,071			295,978			537			7,642			91,362			263,047
Retirement class R-3 of shares		42,718			57,416			151			3,242			17,791			41,594
Retirement class R-6 of shares		463,063			792,605			183,165			344,015			410,232			656,738
Net sale of shares		599,852			1,145,999			183,853			354,899			519,385			961,379
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		74,453			80,426			1,216			4,052			49,417			27,637
Retirement class R-3 of shares		12,502			18,376			271			192			8,641			9,182
Retirement class R-6 of shares		326,856			359,367			39,450			37,383			181,395			118,816
Net shares issued		413,811			458,169			40,937			41,627			239,453			155,635
Shares redeemed:
Investor class of shares		(225,274	)		(299,793	)		(47,725	)		(15,209	)		(70,356	)		(209,546	)
Retirement class R-3 of shares		(166,699	)		(121,554	)		—			(2,052	)		(135,639	)		(156,502	)
Retirement class R-6 of shares		(759,763	)		(602,010	)		(54,779	)		(144,396	)		(691,912	)		(427,535	)
Net shares redeemed		(1,151,736	)		(1,023,357	)		(102,504	)		(161,657	)		(897,907	)		(793,583	)
Net change resulting from fund share transactions in shares		(138,073	)		580,811			122,286			234,869			(139,069	)		323,431

41

Notes to Financial Statements (continued)

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	25,627		$	178,043		$	222,614		$	936,151		$	249,215		$	1,088,222
Institutional class of shares		—			—			36,489			606,867			1,217,821			1,152,648
Retirement class R-3 of shares		4,324			238,729			39,974			176,946			555,138			3,326,610
Retirement class R-6 of shares		2,823,977			4,214,618			5,134,294			7,347,922			11,694,540			9,308,350
Net proceeds from sale of shares		2,853,928			4,631,390			5,433,371			9,067,886			13,716,714			14,875,830
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		5,167			8,327			1,832,308			2,226,207			498,960			507,983
Institutional class of shares		—			—			80,131			161,066			652,822			330,580
Retirement class R-3 of shares		2,067			7,100			138,411			129,410			807,355			835,913
Retirement class R-6 of shares		440,195			263,731			3,516,104			4,482,536			6,601,234			5,493,805
Net proceeds from shares issued		447,429			279,158			5,566,954			6,999,219			8,560,371			7,168,281
Cost of shares redeemed:
Investor class of shares		(274,056	)		(383,799	)		(1,477,048	)		(3,340,646	)		(2,471,516	)		(2,102,542	)
Institutional class of shares		—			—			(867,100	)		(26,007,088	)		(550,822	)		(5,030,603	)
Retirement class R-3 of shares		—			(237,866	)		(95,106	)		(2,262,492	)		(1,675,019	)		(9,541,470	)
Retirement class R-6 of shares		(425,795	)		(927,386	)		(1,945,659	)		(15,098,332	)		(19,667,414	)		(32,401,151	)
Net cost of shares redeemed		(699,851	)		(1,549,051	)		(4,384,913	)		(46,708,558	)		(24,364,771	)		(49,075,766	)
Net change resulting from fund share transactions in dollars	$	2,601,506		$	3,361,497		$	6,615,412		$	(30,641,453	)	$	(2,087,686	)	$	(27,031,655	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		2,118			14,342			28,248			104,749			27,076			109,748
Institutional class of shares		—			—			4,650			62,126			125,908			117,831
Retirement class R-3 of shares		368			19,497			4,938			18,976			59,490			336,495
Retirement class R-6 of shares		239,399			334,134			640,878			812,723			1,250,992			940,146
Net sale of shares		241,885			367,973			678,714			998,574			1,463,466			1,504,220
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		481			673			260,641			257,663			60,701			52,154
Institutional class of shares		—			—			10,947			18,077			79,419			33,940
Retirement class R-3 of shares		194			579			19,250			14,672			97,980			85,735
Retirement class R-6 of shares		40,759			21,338			498,738			520,016			803,070			565,206
Net shares issued		41,434			22,590			789,576			810,428			1,041,170			737,035
Shares redeemed:
Investor class of shares		(21,311	)		(30,838	)		(183,621	)		(368,501	)		(257,318	)		(215,417	)
Institutional class of shares		—			—			(97,325	)		(2,563,855	)		(58,072	)		(488,867	)
Retirement class R-3 of shares		—			(18,881	)		(12,707	)		(226,512	)		(193,107	)		(967,835	)
Retirement class R-6 of shares		(35,458	)		(74,027	)		(248,393	)		(1,710,993	)		(2,308,864	)		(3,332,428	)
Net shares redeemed		(56,769	)		(123,746	)		(542,046	)		(4,869,861	)		(2,817,361	)		(5,004,547	)
Net change resulting from fund share transactions in shares		226,550			266,817			926,244			(3,060,859	)		(312,725	)		(2,763,292	)

42

BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018			Six Months Ended Year Ended February 28, 2019 (Unaudited)			Year Ended August 31, 2018
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	3,451,166		$	9,428,384		$	729,055		$	965,897		$	1,294,361		$	1,903,201
Institutional class of shares		11,345,512			11,240,431			6,641,797			3,238,898			636,206			3,038,729
Retirement class R-3 of shares		560,569			1,792,133			651,980			1,655,777			776,471			1,954,612
Retirement class R-6 of shares		21,964,408			24,771,951			12,596,784			17,810,271			15,257,740			17,601,066
Net proceeds from sale of shares		37,321,655			47,232,899			20,619,616			23,670,843			17,964,778			24,497,608
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		8,958,651			9,900,919			690,675			1,164,273			3,107,692			4,758,561
Institutional class of shares		3,335,219			4,372,016			1,735,406			650,895			1,541,575			1,722,650
Retirement class R-3 of shares		1,767,799			2,022,307			976,684			1,259,889			1,805,967			2,052,160
Retirement class R-6 of shares		17,482,928			20,648,922			8,566,608			6,735,393			13,423,510			14,467,294
Net proceeds from shares issued		31,544,597			36,944,164			11,969,373			9,810,450			19,878,744			23,000,665
Cost of shares redeemed:
Investor class of shares		(8,131,087	)		(20,253,986	)		(7,242,218	)		(5,530,492	)		(8,029,217	)		(9,554,575	)
Institutional class of shares		(22,546,745	)		(20,375,381	)		(424,789	)		(1,712,928	)		(2,601,721	)		(3,837,651	)
Retirement class R-3 of shares		(3,710,839	)		(7,869,477	)		(7,498,618	)		(7,318,054	)		(1,118,977	)		(4,375,465	)
Retirement class R-6 of shares		(22,408,135	)		(53,440,445	)		(5,220,457	)		(29,402,393	)		(7,991,514	)		(26,560,647	)
Net cost of shares redeemed		(56,796,806	)		(101,939,289	)		(20,386,082	)		(43,963,867	)		(19,741,429	)		(44,328,338	)
Net change resulting from fund share transactions in dollars	$	12,069,446		$	(17,762,226	)	$	12,202,907		$	10,482,574		$	18,102,093		$	3,169,935
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		411,616			1,008,765			77,556			93,446			159,047			191,793
Institutional class of shares		1,309,764			1,208,350			632,809			306,230			75,127			309,899
Retirement class R-3 of shares		64,791			191,386			69,041			159,360			89,120			199,277
Retirement class R-6 of shares		2,454,289			2,638,289			1,299,045			1,722,411			1,686,501			1,787,826
Net sale of shares		4,240,460			5,046,790			2,078,451			2,281,447			2,009,795			2,488,795
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,185,007			1,085,627			84,024			114,933			418,826			502,497
Institutional class of shares		441,166			479,388			211,635			64,381			208,040			182,099
Retirement class R-3 of shares		233,219			221,259			118,530			124,249			243,720			216,701
Retirement class R-6 of shares		2,312,557			2,266,621			1,043,435			666,211			1,811,540			1,530,931
Net shares issued		4,171,949			4,052,895			1,457,624			969,774			2,682,126			2,432,228
Shares redeemed:
Investor class of shares		(915,062	)		(2,149,362	)		(695,397	)		(535,059	)		(843,395	)		(970,523	)
Institutional class of shares		(2,485,305	)		(2,104,543	)		(44,987	)		(166,362	)		(268,144	)		(374,598	)
Retirement class R-3 of shares		(446,497	)		(823,864	)		(756,729	)		(699,180	)		(126,222	)		(438,117	)
Retirement class R-6 of shares		(2,504,131	)		(5,793,032	)		(549,198	)		(2,873,684	)		(952,183	)		(2,717,654	)
Net shares redeemed		(6,350,995	)		(10,870,801	)		(2,046,311	)		(4,274,285	)		(2,189,944	)		(4,500,892	)
Net change resulting from fund share transactions in shares		2,061,414			(1,771,116	)		1,489,764			(1,023,064	)		2,501,977			420,131

5. Investment Adviser Fee and Other Transactions with Affiliates

Investment Advisory Fees—The Adviser does not receive an investment advisory fee for the services it performs for the Funds. However, the Adviser is entitled to receive an investment advisory fee from each of the BMO Funds that serve as underlying funds.

Contractual Expense Limitation—The Adviser has contractually agreed to waive or reduce fees and reimburse expenses to the extent necessary to prevent class total annual operating expenses (excluding acquired fund fees and expenses, interest, taxes, brokerage commissions, other investment-related costs and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the levels set out in the table below through December 31, 2019. This agreement may not be terminated prior to December 31, 2019 without the consent of the

43

Notes to Financial Statements (continued)

Funds’ Board of Directors, unless terminated due to the termination of the investment advisory agreement. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

	Annualized Contractual Expense Limitation Exclusive of Acquired Fund Fees and Expenses												Annualized Contractual Expense Limitation Inclusive of Acquired Fund Fees and Expenses per the Funds’ Prospectus Dated December 29, 2018
Fund	Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6			Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)
In-Retirement Fund		0.33	%					0.58	%		(0.07	)%		0.89	%					1.14	%		0.49	%
2015 Fund		0.33						0.58			(0.07	)		0.92						1.17			0.52
2020 Fund		0.33						0.58			(0.07	)		0.94						1.19			0.54
2025 Fund		0.33						0.58			(0.07	)		0.95						1.20			0.55
2030 Fund		0.37						0.62			(0.03	)		1.00						1.25			0.60
2035 Fund		0.37						0.62			(0.03	)		1.01						1.26			0.61
2040 Fund		0.36						0.61			(0.04	)		0.99						1.24			0.59
2045 Fund		0.36						0.61			(0.04	)		0.99						1.24			0.59
2050 Fund		0.36						0.61			(0.04	)		0.98						1.23			0.58
2055 Fund		0.36						0.61			(0.04	)		0.98						1.23			0.58
Conservative Allocation Fund		0.33			0.08	%		0.58			(0.07	)		0.88			0.63	%		1.13			0.48
Moderate Allocation Fund		0.30			0.05			0.55			(0.10	)		0.88			0.63			1.13			0.48
Balanced Allocation Fund		0.33			0.08			0.58			(0.07	)		0.94			0.69			1.19			0.54
Growth Allocation Fund		0.30			0.05			0.55			(0.10	)		0.94			0.69			1.19			0.54
Aggressive Allocation Fund		0.33			0.08			0.58			(0.07	)		0.93			0.68			1.18			0.57

(1) As a result of reimbursing expenses including acquired fund expenses, the Adviser reimbursed amounts in excess of the respective share classes operating expenses. The aggregate excess reimbursement is accounted for as “Excess expense reimbursement from investment adviser” included in investment income on the Statements of Operations.

Shareholder Servicing Fees—Under the terms of a Shareholder Services Agreement with the Adviser, each Fund pays the Adviser at the annual rate of 0.25% of average daily net assets of the Fund’s Investor Class shares for the period. The fee paid to the Adviser is used to finance certain services for shareholders and to maintain shareholder accounts.

Distribution Services Fees—The Funds are subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorizes payments by the Fund to finance activities intended to result in the sale of its Retirement Class R-3 shares. The Plan provides that the Fund may incur distribution expenses of 0.50% of the average daily net assets of the Fund’s Retirement Class R-3 shares.

Administration Fees—Each Fund pays the Adviser at the annual rate of 0.15% of average daily net assets per class (except the Retirement class R-6, which does not pay an Administration Fee).

For the period ended February 28, 2019, the Funds were charged the following Administration Fees per class:

Fund	Investor Class		Institutional Class		Retirement Class R-3
In-Retirement Fund	$	1,680	$	—	$	476
2015 Fund		158		—		82
2020 Fund		11,773		—		3,196
2025 Fund		486		—		63
2030 Fund		14,083		—		2,689
2035 Fund		315		—		89
2040 Fund		7,737		—		1,413
2045 Fund		319		—		52
2050 Fund		7,095		—		1,369
2055 Fund		131		—		82
Conservative Allocation Fund		9,305		525		687
Moderate Allocation Fund		4,005		4,596		5,835
Balanced Allocation Fund		67,416		28,001		13,507
Growth Allocation Fund		6,130		11,573		7,960
Aggressive Allocation Fund		20,971		9,890		11,701

Custodian Fees—BMO Harris Bank N.A. (“BMO Harris”) is the Funds’ custodian. BMO Harris receives fees based on 0.0050% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO Harris, and 0.0025% on all assets in excess of $10 billion.

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in the BMO Funds. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of February 28, 2019. Please refer to the Schedule of Investments for which class each Fund’s underlying affiliated issuer represents.

44

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
In-Retirement Fund
Large-Cap Funds — 8.6%
BMO Low Volatility Equity Fund	$	375,716	$	84,810	$	137,097	$	(39,973	)	$	14,004		$	297,460	$	3,239	$	29,988
BMO Dividend Income Fund		263,207		63,673		99,286		(30,014	)		10,242			207,822		2,762		9,639
BMO Large-Cap Value Fund		387,491		117,787		144,582		(57,824	)		4,288			307,160		4,015		32,477
BMO Large-Cap Growth Fund		168,032		60,684		67,589		(31,229	)		1,599			131,497		1,163		20,371
														943,939
Mid-Cap Funds — 1.7%
BMO Mid-Cap Growth Fund		69,706		28,511		30,069		(14,472	)		875			54,551		—		11,191
BMO Mid-Cap Value Fund		166,007		55,727		62,108		(29,902	)		1,752			131,476		2,139		17,742
														186,027
Small-Cap Funds — 0.3%
BMO Small-Cap Growth Fund		42,366		18,365		17,335		(10,640	)		37			32,793		—		5,575
														32,793
International Funds — 4.9%
BMO LGM Emerging Markets Equity Fund		219,070		26,748		159,096		(50,722	)		29,232			65,232		989		2,624
BMO Pyrford International Stock Fund		371,352		90,656		216,639		(43,085	)		22,764			225,048		7,794		—
BMO Disciplined International Equity Fund		273,785		114,431		113,124		(14,681	)		(4,239	)		256,172		5,868		—
														546,452
Fixed Income Funds — 22.4%
BMO High Yield Bond Fund		249,728		19,540		68,838		1,824			(4,650	)		197,604		6,442		—
BMO TCH Core Plus Bond Fund		2,583,316		461,800		777,170		14,361			(20,846	)		2,261,461		43,835		—
														2,459,065
Alternative Funds — 7.0%
BMO Alternative Strategies Fund		967,286		64,141		221,406		(23,252	)		(20,002	)		766,767		—		—
Short-Term Investments — 0.0%
BMO Institutional Prime Money Market Fund		139,450		1,551,510		1,690,943		(12	)		(5	)		—		1,326		—
Totals	$	6,276,512	$	2,758,383	$	3,805,282	$	(329,621	)	$	35,051		$	4,935,043	$	79,572	$	129,607
2015 Fund
Large-Cap Funds — 9.5%
BMO Low Volatility Equity Fund	$	87,322	$	16,411	$	26,384	$	(7,190	)	$	1,807		$	71,966	$	740	$	6,552
BMO Dividend Income Fund		46,383		8,579		14,092		(3,623	)		485			37,732		470		1,586
BMO Large-Cap Value Fund		92,266		22,906		28,230		(10,747	)		(857	)		75,338		917		7,227
BMO Large-Cap Growth Fund		49,607		17,622		19,454		(8,915	)		967			39,827		317		5,558
														224,863
Mid-Cap Funds — 2.2%
BMO Mid-Cap Growth Fund		17,401		6,718		7,325		(3,275	)		268			13,787		556		2,559
BMO Mid-Cap Value Fund		46,271		13,176		14,732		(6,048	)		(1,058	)		37,609		—		4,612
														51,396
Small-Cap Fund — 0.5%
BMO Small-Cap Growth Fund		15,204		6,128		6,049		(3,432	)		4			11,855		—		1,838
International Funds — 6.3%
BMO LGM Emerging Markets Equity Fund		58,438		7,441		36,513		(8,380	)		3,264			24,250		332		880
BMO Pyrford International Stock Fund		85,379		23,491		46,107		(4,879	)		575			58,459		1,822		—
BMO Disciplined International Equity Fund		65,412		27,540		23,707		(2,981	)		(906	)		65,358		1,340		—
														148,067
Fixed Income Funds — 19.8%
BMO High Yield Bond Fund		42,165		3,357		10,494		178			(536	)		34,670		1,064		—
BMO TCH Core Plus Bond Fund		468,537		90,101		125,433		2,454			(3,610	)		432,049		7,849		—
														466,719
Alternative Funds — 7.3%
BMO Alternative Strategies Fund		210,087		21,060		49,574		(5,108	)		(3,575	)		172,890		—		—
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		25,136		451,994		454,141		(1	)		4			22,992		258		—
Totals	$	1,309,608	$	716,524	$	862,235	$	(61,947	)	$	(3,168	)	$	1,098,782	$	15,665	$	30,812

45

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2020 Fund
Large-Cap Funds — 12.1%
BMO Low Volatility Equity Fund	$	3,245,763	$	504,450	$	705,503	$	(251,503	)	$	36,912		$	2,830,119	$	28,199	$	260,522
BMO Dividend Income Fund		1,388,399		235,966		321,714		(125,912	)		27,467			1,204,206		14,630		51,097
BMO Large-Cap Value Fund		3,393,863		798,773		1,145,424		(509,155	)		78,685			2,616,742		32,484		252,090
BMO Large-Cap Growth Fund		2,012,234		481,745		762,955		(399,256	)		75,744			1,407,512		11,480		201,133
														8,058,579
Mid-Cap Funds — 4.2%
BMO Mid-Cap Growth Fund		1,395,899		476,356		405,558		(260,173	)		(5,376	)		1,201,148		—		225,391
BMO Mid-Cap Value Fund		1,854,132		472,696		414,856		(283,280	)		(20,401	)		1,608,291		23,655		196,181
														2,809,439
Small-Cap Fund — 1.0%
BMO Small-Cap Growth Fund		776,962		294,518		211,997		(178,616	)		(12,294	)		668,573		—		103,565
International Funds — 10.6%
BMO LGM Emerging Markets Equity Fund		2,616,013		245,903		1,051,175		(260,361	)		45,981			1,596,361		21,557		57,178
BMO Pyrford International Stock Fund		3,439,450		923,168		1,343,517		(242,111	)		63,222			2,840,212		88,135		—
BMO Disciplined International Equity Fund		2,441,500		980,326		640,636		(116,197	)		(44,441	)		2,620,552		53,472		—
														7,057,125
Fixed Income Funds — 15.2%
BMO High Yield Bond Fund		694,199		50,551		133,662		8,507			(15,295	)		604,300		18,122		—
BMO TCH Core Plus Bond Fund		8,253,259		3,491,479		2,218,944		72,802			(64,079	)		9,534,517		161,093		—
														10,138,817
Alternative Funds — 6.4%
BMO Alternative Strategies Fund		4,859,396		324,873		749,172		(153,594	)		(60,411	)		4,221,092		—		—
Short-Term Investment — 0.0%
BMO Institutional Prime Money Market Fund		633,912		5,924,431		6,558,272		—			(71	)		—		7,861		—
Totals	$	37,004,981	$	15,205,235	$	16,663,385	$	(2,698,849	)	$	105,643		$	32,953,625	$	460,688	$	1,347,157
2025 Fund
Large-Cap Funds — 11.8%
BMO Low Volatility Equity Fund	$	819,600	$	267,804	$	141,191	$	(44,760	)	$	(1,116	)	$	900,337	$	7,319	$	68,700
BMO Dividend Income Fund		343,957		101,969		50,006		(19,704	)		(1,264	)		374,952		3,726		13,134
BMO Large-Cap Value Fund		1,267,274		462,494		182,545		(142,938	)		(15,950	)		1,388,335		13,610		110,932
BMO Large-Cap Growth Fund		702,684		299,573		137,840		(105,452	)		(7,739	)		751,226		4,971		87,095
														3,414,850
Mid-Cap Funds — 5.7%
BMO Mid-Cap Growth Fund		755,872		354,051		173,944		(109,389	)		(21,013	)		805,577		—		123,693
BMO Mid-Cap Value Fund		765,016		308,680		116,594		(101,877	)		(17,456	)		837,769		10,279		85,247
														1,643,346
Small-Cap Fund — 1.8%
BMO Small-Cap Growth Fund		487,780		255,234		110,269		(96,900	)		(17,039	)		518,806		—		66,008
International Funds — 12.9%
BMO LGM Emerging Markets Equity Fund		1,155,289		335,717		425,425		(46,279	)		(44,332	)		974,970		11,092		29,397
BMO Pyrford International Stock Fund		1,268,088		669,677		190,125		(42,910	)		(11,484	)		1,693,246		44,330		—
BMO Disciplined International Equity Fund		706,630		539,026		124,141		(31,075	)		(12,344	)		1,078,096		18,599		—
														3,746,312
Fixed Income Funds — 9.4%
BMO High Yield Bond Fund		184,368		54,718		35,782		1,684			(2,382	)		202,606		5,255		—
BMO TCH Core Plus Bond Fund		2,024,468		929,143		437,248		15,057			(13,277	)		2,518,143		38,679		—
														2,720,749
Alternative Funds — 5.6%
BMO Alternative Strategies Fund		1,466,028		451,155		231,710		(50,105	)		(17,996	)		1,617,372		—		—
Short-Term Investment — 0.7%
BMO Institutional Prime Money Market Fund		284,649		5,758,344		5,826,697		(5	)		(7	)		216,284		3,274		—
Totals	$	12,231,703	$	10,787,585	$	8,183,517	$	(774,653	)	$	(183,399	)	$	13,877,719	$	161,134	$	584,206

46

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2030 Fund
Large-Cap Funds — 13.1%
BMO Low Volatility Equity Fund	$	3,501,786	$	722,233	$	838,031	$	(254,602	)	$	10,467		$	3,141,853	$	30,805	$	287,496
BMO Dividend Income Fund		1,394,440		230,709		272,190		(100,714	)		(4,199	)		1,248,046		14,944		52,437
BMO Large-Cap Value Fund		5,472,625		1,147,799		939,244		(685,648	)		(78,818	)		4,916,714		58,002		471,211
BMO Large-Cap Growth Fund		2,718,171		774,037		595,018		(477,712	)		(8,104	)		2,411,374		19,143		335,387
														11,717,987
Mid-Cap Funds — 6.4%
BMO Mid-Cap Growth Fund		3,207,506		1,089,374		820,278		(550,212	)		(80,488	)		2,845,902		42,043		524,165
BMO Mid-Cap Value Fund		3,182,919		792,650		571,527		(451,016	)		(95,861	)		2,857,165		—		348,678
														5,703,067
Small-Cap Fund — 2.1%
BMO Small-Cap Growth Fund		2,132,168		831,830		548,739		(504,208	)		(40,009	)		1,871,042		—		285,537
International Funds — 14.4%
BMO LGM Emerging Markets Equity Fund		4,823,831		874,338		1,849,711		(307,277	)		(84,855	)		3,456,326		47,079		124,927
BMO Pyrford International Stock Fund		5,340,034		2,068,075		1,247,612		(200,760	)		(92,287	)		5,867,450		184,204		—
BMO Disciplined International Equity Fund		2,854,432		1,783,584		790,323		(152,348	)		(70,315	)		3,625,030		74,976		—
														12,948,806
Fixed Income Funds — 6.6%
BMO High Yield Bond Fund		498,765		87,864		134,123		5,338			(10,554	)		447,290		13,209		—
BMO TCH Core Plus Bond Fund		5,092,907		2,143,446		1,775,665		46,081			(49,817	)		5,456,952		93,354		—
														5,904,242
Alternative Funds — 5.2%
BMO Alternative Strategies Fund		5,166,435		943,819		1,230,803		(129,707	)		(107,971	)		4,641,773		—		—
Short-Term Investment — 0.7%
BMO Institutional Prime Money Market Fund		996,505		10,249,444		10,577,420		107			(235	)		668,401		10,086		—
Totals	$	46,382,524	$	23,739,202	$	22,190,684	$	(3,762,678	)	$	(713,046	)	$	43,455,318	$	587,845	$	2,429,838
2035 Fund
Large-Cap Funds — 14.0%
BMO Low Volatility Equity Fund	$	589,250	$	187,594	$	112,156	$	(31,304	)	$	(1,799	)	$	631,585	$	5,188	$	47,856
BMO Dividend Income Fund		232,312		53,138		23,795		(14,431	)		(136	)		247,088		2,480		8,627
BMO Large-Cap Value Fund		913,620		302,901		129,033		(103,328	)		(10,912	)		973,248		9,613		77,593
BMO Large-Cap Growth Fund		455,800		196,714		98,317		(69,095	)		(4,346	)		480,756		3,185		55,808
														2,332,677
Mid-Cap Funds — 7.1%
BMO Mid-Cap Growth Fund		547,994		283,483		160,036		(81,693	)		(13,849	)		575,899		—		—
BMO Mid-Cap Value Fund		556,464		220,089		98,312		(71,298	)		(15,789	)		591,154		7,277		60,349
														1,167,053
Small-Cap Fund — 2.3%
BMO Small-Cap Growth Fund		362,132		186,318		87,378		(72,517	)		(13,004	)		375,551		—		—
International Funds — 15.7%
BMO LGM Emerging Markets Equity Fund		828,988		249,399		300,566		(34,412	)		(29,479	)		713,930		8,200		21,818
BMO Pyrford International Stock Fund		912,658		466,834		154,059		(31,865	)		(7,164	)		1,186,404		31,041		—
BMO Disciplined International Equity Fund		478,252		359,246		85,071		(22,016	)		(7,981	)		722,430		12,457		—
														2,622,764
Fixed Income Funds — 4.4%
BMO High Yield Bond Fund		46,372		12,560		9,105		307			(489	)		49,645		1,276		—
BMO TCH Core Plus Bond Fund		478,344		353,751		156,551		6,032			(4,438	)		677,138		9,881		—
														726,783
Alternative Funds — 4.5%
BMO Alternative Strategies Fund		709,577		214,327		134,804		(22,540	)		(9,392	)		757,168		—		—
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		159,390		2,294,124		2,288,387		1			20			165,148		1,885		—
Totals	$	7,271,153	$	5,380,478	$	3,837,570	$	(548,159	)	$	(118,758	)	$	8,147,144	$	92,483	$	272,051

47

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2040 Fund
Large-Cap Funds — 14.6%
BMO Low Volatility Equity Fund	$	2,413,476	$	587,242	$	735,086	$	(165,042	)	$	(496	)	$	2,100,094	$	20,976	$	193,185
BMO Dividend Income Fund		840,928		121,752		168,948		(59,410	)		(4,394	)		729,928		8,880		30,827
BMO Large-Cap Value Fund		3,720,345		896,170		856,217		(425,049	)		(93,625	)		3,241,624		38,742		312,284
BMO Large-Cap Growth Fund		1,882,018		678,383		611,189		(328,873	)		(1,106	)		1,619,233		12,918		226,320
														7,690,879
Mid-Cap Funds — 7.0%
BMO Mid-Cap Growth Fund		2,115,628		891,046		771,989		(347,838	)		(66,420	)		1,820,427		—		336,991
BMO Mid-Cap Value Fund		2,159,406		626,014		533,676		(274,265	)		(97,537	)		1,879,942		27,807		230,617
														3,700,369
Small-Cap Fund — 2.4%
BMO Small-Cap Growth Fund		1,469,529		609,476		457,075		(334,740	)		(36,693	)		1,250,497		—		191,806
International Funds — 16.5%
BMO LGM Emerging Markets Equity Fund		3,383,901		593,394		1,266,621		(189,859	)		(84,832	)		2,435,983		33,259		88,533
BMO Pyrford International Stock Fund		3,637,748		1,421,226		940,630		(133,438	)		(71,752	)		3,913,154		123,501		—
BMO Disciplined International Equity Fund		1,899,386		1,229,087		592,906		(92,069	)		(63,489	)		2,380,009		49,489		—
														8,729,146
Fixed Income Funds — 2.9%
BMO High Yield Bond Fund		120,313		24,993		39,298		2,546			(3,910	)		104,644		3,104		—
BMO TCH Core Plus Bond Fund		1,023,784		893,582		508,920		14,606			(10,453	)		1,412,599		22,518		—
														1,517,243
Alternative Funds — 4.2%
BMO Alternative Strategies Fund		2,516,502		609,752		819,380		(43,072	)		(71,017	)		2,192,785		—		—
Short-Term Investment — 0.3%
BMO Institutional Prime Money Market Fund		593,100		5,350,833		5,756,060		50			(22	)		187,901		6,310		—
Totals	$	27,776,064	$	14,532,950	$	14,057,995	$	(2,376,453	)	$	(605,746	)	$	25,268,820	$	347,504	$	1,610,563
2045 Fund
Large-Cap Funds — 14.7%
BMO Low Volatility Equity Fund	$	452,452	$	154,753	$	105,002	$	(21,906	)	$	(3,193	)	$	477,104	$	3,937	$	35,965
BMO Dividend Income Fund		157,649		41,934		24,575		(9,093	)		(418	)		165,497		1,664		5,740
BMO Large-Cap Value Fund		708,703		247,108		122,397		(77,507	)		(10,122	)		745,785		7,365		59,080
BMO Large-Cap Growth Fund		352,828		147,132		74,483		(48,160	)		(8,516	)		368,801		2,406		42,151
														1,757,187
Mid-Cap Funds — 7.1%
BMO Mid-Cap Growth Fund		407,953		207,621		118,675		(51,241	)		(20,570	)		425,088		—		64,546
BMO Mid-Cap Value Fund		404,827		163,332		80,785		(50,367	)		(12,779	)		424,228		5,177		42,936
														849,316
Small-Cap Fund — 2.4%
BMO Small-Cap Growth Fund		286,966		149,835		76,362		(51,359	)		(16,158	)		292,922		—		37,202
International Funds — 16.8%
BMO LGM Emerging Markets Equity Fund		656,658		206,908		242,856		(21,334	)		(28,838	)		570,538		6,474		17,180
BMO Pyrford International Stock Fund		693,158		367,823		134,861		(21,535	)		(8,244	)		896,341		23,299		—
BMO Disciplined International Equity Fund		356,091		282,894		77,347		(14,533	)		(7,452	)		539,653		9,212		—
														2,006,532
Fixed Income Funds — 3.0%
BMO High Yield Bond Fund		22,555		7,236		5,955		264			(349	)		23,751		614		—
BMO TCH Core Plus Bond Fund		203,217		203,167		75,873		3,698			(2,351	)		331,858		4,671		—
														355,609
Alternative Funds — 3.5%
BMO Alternative Strategies Fund		393,140		136,322		98,622		(10,558	)		(6,845	)		413,437		—		—
Short-Term Investment — 1.1%
BMO Institutional Prime Money Market Fund		107,226		1,835,185		1,810,430		12			(18	)		131,975		1,323		—
Totals	$	5,203,423	$	4,151,250	$	3,048,223	$	(373,619	)	$	(125,853	)	$	5,806,978	$	66,142	$	304,800

48

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2050 Fund
Large-Cap Funds — 14.8%
BMO Low Volatility Equity Fund	$	1,862,809	$	593,588	$	677,222	$	(118,115	)	$	(22,022	)	$	1,639,038	$	16,570	$	156,411
BMO Dividend Income Fund		650,742		139,789		167,752		(44,487	)		(8,611	)		569,681		7,056		25,001
BMO Large-Cap Value Fund		2,928,340		951,298		872,857		(313,166	)		(122,880	)		2,570,735		31,444		257,248
BMO Large-Cap Growth Fund		1,445,732		615,469		521,352		(243,469	)		(32,601	)		1,263,779		10,569		185,164
														6,043,233
Mid-Cap Funds — 7.2%
BMO Mid-Cap Growth Fund		1,682,233		863,549		726,949		(265,787	)		(91,619	)		1,461,427		—		283,547
BMO Mid-Cap Value Fund		1,675,987		614,758		515,083		(189,700	)		(118,755	)		1,467,207		22,593		187,368
														2,928,634
Small-Cap Fund — 2.5%
BMO Small-Cap Growth Fund		1,170,437		635,548		469,871		(259,148	)		(60,306	)		1,016,660		—		163,526
International Funds — 16.8%
BMO LGM Emerging Markets Equity Fund		2,735,684		640,298		1,169,078		(137,921	)		(86,910	)		1,982,073		28,369		75,442
BMO Pyrford International Stock Fund		2,855,898		1,290,526		877,648		(96,520	)		(77,557	)		3,094,699		101,463		—
BMO Disciplined International Equity Fund		1,471,361		1,056,596		540,341		(67,146	)		(62,991	)		1,857,479		40,263		—
														6,934,251
Fixed Income Funds — 3.0%
BMO High Yield Bond Fund		92,963		21,012		31,080		1,691			(2,916	)		81,670		2,470		—
BMO TCH Core Plus Bond Fund		836,669		766,182		463,039		14,442			(10,993	)		1,143,261		18,716		—
														1,224,931
Alternative Funds — 3.5%
BMO Alternative Strategies Fund		1,626,856		399,820		523,146		(28,546	)		(48,825	)		1,426,159		—		—
Short-Term Investment — 0.6%
BMO Institutional Prime Money Market Fund		548,434		4,727,586		5,031,897		56			(32	)		244,147		5,244		—
Totals	$	21,584,145	$	13,316,019	$	12,587,315	$	(1,747,816	)	$	(747,018	)	$	19,818,015	$	284,757	$	1,333,707
2055 Fund
Large-Cap Funds — 14.7%
BMO Low Volatility Equity Fund	$	449,686	$	185,752	$	86,268	$	(21,817	)	$	(2,587	)	$	524,766	$	4,026	$	37,885
BMO Dividend Income Fund		156,686		51,877		16,975		(9,225	)		(332	)		182,031		1,712		6,046
BMO Large-Cap Value Fund		704,332		319,945		115,503		(77,690	)		(10,789	)		820,295		7,624		62,235
BMO Large-Cap Growth Fund		351,105		184,806		73,064		(49,305	)		(7,902	)		405,640		2,534		44,401
														1,932,732
Mid-Cap Funds — 7.0%
BMO Mid-Cap Growth Fund		405,851		237,561		104,001		(55,025	)		(16,826	)		467,560		—		67,992
BMO Mid-Cap Value Fund		402,728		204,394		76,971		(50,999	)		(12,532	)		466,620		5,454		45,229
														934,180
Small-Cap Fund — 2.4%
BMO Small-Cap Growth Fund		284,652		174,440		68,907		(54,949	)		(13,017	)		322,219		—		39,190
International Funds — 16.8%
BMO LGM Emerging Markets Equity Fund		648,940		225,630		196,972		(25,389	)		(24,623	)		627,586		6,825		18,097
BMO Pyrford International Stock Fund		688,964		401,132		75,446		(24,048	)		(4,722	)		985,880		24,542		—
BMO Disciplined International Equity Fund		353,625		311,842		49,944		(17,518	)		(4,444	)		593,561		9,704		—
														2,207,027
Fixed Income Funds — 3.0%
BMO High Yield Bond Fund		22,427		8,841		5,085		208			(267	)		26,124		638		—
BMO TCH Core Plus Bond Fund		201,673		230,469		68,862		3,871			(2,141	)		365,010		4,889		—
														391,134
Alternative Funds — 3.4%
BMO Alternative Strategies Fund		390,483		170,140		87,680		(11,744	)		(6,459	)		454,740		—		—
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		113,983		2,400,468		2,384,459		11			(2	)		130,001		1,423		—
Totals	$	5,175,135	$	5,107,297	$	3,410,137	$	(393,619	)	$	(106,643	)	$	6,372,033	$	69,371	$	321,075

49

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Conservative Allocation Fund
Large-Cap Funds — 6.1%
BMO Low Volatility Equity Fund	$	502,366	$	135,455	$	114,956	$	(37,625	)	$	7,678		$	492,918	$	4,405	$	40,635
BMO Dividend Income Fund		272,453		70,420		59,494		(19,903	)		2,309			265,785		2,889		10,040
BMO Large-Cap Value Fund		939,524		301,199		304,091		(129,080	)		6,923			814,475		9,836		79,256
BMO Large-Cap Growth Fund		759,172		544,546		379,858		(123,777	)		(30,081	)		770,002		6,423		112,527
														2,343,180
Mid-Cap Funds — 0.8%
BMO Mid-Cap Growth Fund		187,974		82,517		93,260		(40,166	)		5,660			142,725		—		30,298
BMO Mid-Cap Value Fund		186,532		66,751		80,202		(35,942	)		5,512			142,651		2,431		20,163
														285,376
Small-Cap Funds — 0.8%
BMO Small-Cap Growth Fund		273,366		153,675		147,300		(50,055	)		(13,640	)		216,046		—		35,928
BMO Small-Cap Value Fund		179,494		79,777		108,551		(16,350	)		(11,052	)		123,318		1,200		12,132
														339,364
International Funds — 2.9%
BMO LGM Emerging Markets Equity Fund		370,501		80,098		211,098		(50,333	)		20,610			209,778		2,750		7,262
BMO Pyrford International Stock Fund		463,225		92,531		84,641		(19,470	)		1,668			453,313		12,835		—
BMO Disciplined International Equity Fund		434,906		151,896		105,116		(19,494	)		(2,650	)		459,542		8,609		—
														1,122,633
Fixed Income Funds — 21.8%
BMO TCH Core Plus Bond Fund		9,213,483		990,988		1,776,826		(112,950	)		95,720			8,410,415		155,157		—
Alternative Funds — 10.5%
BMO Alternative Strategies Fund		3,899,071		540,610		208,921		(170,265	)		(8,967	)		4,051,528		—		—
Short-Term Investment — 4.0%
BMO Institutional Prime Money Market Fund		355,561		6,238,114		5,041,729		42			(80	)		1,551,908		5,036		—
Totals	$	18,037,628	$	9,528,577	$	8,716,043	$	(825,368	)	$	79,610		$	18,104,404	$	211,571	$	348,241
Moderate Allocation Fund
Large-Cap Funds — 11.8%
BMO Low Volatility Equity Fund	$	2,032,002	$	666,531	$	794,581	$	(184,952	)	$	14,382		$	1,733,382	$	196,212	$	—
BMO Dividend Income Fund		1,106,088		248,536		318,439		(108,247	)		5,940			933,878		56,949		—
BMO Large-Cap Value Fund		3,809,217		1,580,373		1,895,204		(502,186	)		(121,350	)		2,870,850		391,404		—
BMO Large-Cap Growth Fund		3,099,756		2,715,041		2,327,734		(539,248	)		(239,273	)		2,708,542		538,255		—
														8,246,652
Mid-Cap Funds — 1.4%
BMO Mid-Cap Growth Fund		781,319		425,483		520,806		(193,569	)		6,842			499,269		138,567		—
BMO Mid-Cap Value Fund		760,158		324,778		428,275		(159,400	)		1,719			498,980		100,269		—
														998,249
Small-Cap Funds — 1.7%
BMO Small-Cap Growth Fund		1,126,518		715,998		755,505		(229,959	)		(90,485	)		766,567		161,720		—
BMO Small-Cap Value Fund		737,511		320,568		485,348		(67,724	)		(76,506	)		428,501		58,806		—
														1,195,068
International Funds — 5.7%
BMO LGM Emerging Markets Equity Fund		1,529,751		321,601		986,760		(205,521	)		70,959			730,030		43,596		—
BMO Pyrford International Stock Fund		1,891,995		378,105		573,236		(121,881	)		14,550			1,589,533		55,718		—
BMO Disciplined International Equity Fund		1,773,218		620,091		640,289		(91,688	)		(41,858	)		1,619,474		37,330		—
														3,939,037
Fixed Income Funds — 15.8%
BMO TCH Core Plus Bond Fund		14,497,972		2,666,343		6,044,109		(165,694	)		85,292			11,039,804		239,901		—
Alternative Funds — 8.5%
BMO Alternative Strategies Fund		6,790,183		1,187,450		1,733,101		(219,993	)		(116,190	)		5,908,349		—		—
Short-Term Investment — 4.1%
BMO Institutional Prime Money Market Fund		775,889		12,675,339		10,567,869		25			137			2,883,521		10,080		—
Totals	$	40,711,577	$	24,846,237	$	28,071,256	$	(2,790,037	)	$	(485,841	)	$	34,210,680	$	2,028,807	$	—

50

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Balanced Allocation Fund
Large-Cap Funds — 17.3%
BMO Low Volatility Equity Fund	$	12,453,938	$	2,810,745	$	2,899,892	$	(1,061,504	)	$	336,707		$	11,639,994	$	106,755	$	959,334
BMO Dividend Income Fund		6,738,334		1,137,511		1,160,535		(583,071	)		125,167			6,257,406		69,395		236,735
BMO Large-Cap Value Fund		23,327,787		6,492,307		7,524,116		(3,020,853	)		18,828			19,293,953		235,182		1,872,055
BMO Large-Cap Growth Fund		18,934,980		13,960,783		10,952,636		(3,117,212	)		(613,023	)		18,212,892		151,508		2,654,452
														55,404,245
Mid-Cap Funds — 2.2%
BMO Mid-Cap Growth Fund		4,740,219		2,070,648		2,556,533		(1,084,464	)		204,505			3,374,375		—		716,265
BMO Mid-Cap Value Fund		4,653,183		1,387,200		1,892,719		(915,264	)		139,961			3,372,361		57,515		476,997
														6,746,736
Small-Cap Funds — 2.5%
BMO Small-Cap Growth Fund		6,798,574		3,695,036		3,760,224		(1,297,436	)		(293,514	)		5,142,436		602,459		849,909
BMO Small-Cap Value Fund		4,471,911		1,610,839		2,493,723		(405,916	)		(293,868	)		2,889,243		28,510		288,111
														8,031,679
International Funds — 8.3%
BMO LGM Emerging Markets Equity Fund		9,217,067		1,200,310		4,756,772		(844,175	)		108,461			4,924,891		64,678		171,614
BMO Pyrford International Stock Fund		11,571,062		1,416,187		1,836,720		(502,438	)		39,983			10,688,074		304,398		—
BMO Disciplined International Equity Fund		10,878,121		2,547,861		1,959,339		(511,509	)		(76,946	)		10,878,188		203,386		—
														26,491,153
Fixed Income Funds — 9.6%
BMO TCH Core Plus Bond Fund		37,665,037		7,724,434		14,619,230		(328,426	)		207,936			30,649,751		—		—
Alternative Funds — 7.0%
BMO Alternative Strategies Fund		23,958,550		4,209,620		4,617,062		(752,967	)		(296,896	)		22,501,245		—		—
Short-Term Investment — 4.0%
BMO Institutional Prime Money Market Fund		3,049,731		39,060,748		29,400,224		63			(925	)		12,709,393		—		—
Totals	$	178,458,494	$	89,324,229	$	90,429,725	$	(14,425,172	)	$	(393,624	)	$	162,534,202	$	1,823,786	$	8,225,472
Growth Allocation Fund
Large-Cap Funds — 22.9%
BMO Low Volatility Equity Fund	$	5,855,374	$	1,041,527	$	799,263	$	(385,835	)	$	28,323		$	5,740,126	$	50,908	$	473,379
BMO Dividend Income Fund		3,172,832		414,187		286,511		(234,807	)		22,819			3,088,520		33,446		117,389
BMO Large-Cap Value Fund		10,921,715		2,118,816		2,062,033		(1,427,128	)		(20,295	)		9,531,075		114,208		926,539
BMO Large-Cap Growth Fund		8,812,911		4,592,874		2,602,185		(1,455,228	)		(388,718	)		8,959,654		75,772		1,327,538
														27,319,375
Mid-Cap Funds — 2.8%
BMO Mid-Cap Growth Fund		2,202,922		674,453		807,090		(470,653	)		53,776			1,653,408		—		359,315
BMO Mid-Cap Value Fund		2,186,018		495,110		657,870		(394,574	)		31,536			1,660,220		28,561		236,869
														3,313,628
Small-Cap Funds — 3.3%
BMO Small-Cap Growth Fund		3,184,146		1,439,185		1,352,713		(585,127	)		(159,185	)		2,526,306		14,147		424,225
BMO Small-Cap Value Fund		2,108,363		694,290		1,046,543		(186,505	)		(137,001	)		1,432,604		—		142,963
														3,958,910
International Funds — 10.9%
BMO LGM Emerging Markets Equity Fund		4,339,273		669,666		2,213,663		(375,111	)		21,887			2,442,052		31,692		84,345
BMO Pyrford International Stock Fund		5,384,484		582,584		433,426		(216,268	)		(4,048	)		5,313,326		149,183		—
BMO Disciplined International Equity Fund		5,055,538		1,163,236		560,732		(250,157	)		(23,696	)		5,384,189		99,823		—
														13,139,567
Fixed Income Funds — 3.2%
BMO TCH Core Plus Bond Fund		4,857,916		1,151,420		2,159,183		16,701			(25,403	)		3,841,451		80,787		—
Alternative Funds — 5.6%
BMO Alternative Strategies Fund		6,869,639		1,124,905		998,498		(229,628	)		(79,367	)		6,687,051		—		—
Short-Term Investment — 3.5%
BMO Institutional Prime Money Market Fund		1,153,827		14,114,979		11,145,922		205			(276	)		4,122,813		15,701		—
Totals	$	66,104,958	$	30,277,232	$	27,125,632	$	(6,194,115	)	$	(679,648	)	$	62,382,795	$	694,228	$	4,092,562

51

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Aggressive Allocation Fund
Large-Cap Funds — 27.8%
BMO Low Volatility Equity Fund	$	10,152,602	$	2,217,396	$	1,710,099	$	(681,802	)	$	56,347		$	10,034,444	$	88,357	$	815,473
BMO Dividend Income Fund		5,485,222		786,085		502,806		(410,026	)		35,025			5,393,500		57,932		201,486
BMO Large-Cap Value Fund		18,863,548		4,545,127		4,238,639		(2,418,440	)		(113,567	)		16,638,029		197,486		1,592,306
BMO Large-Cap Growth Fund		15,287,855		9,651,812		6,137,412		(2,458,408	)		(700,617	)		15,643,230		129,049		2,260,969
														47,709,203
Mid-Cap Funds — 3.4%
BMO Mid-Cap Growth Fund		3,822,358		1,504,223		1,686,537		(828,100	)		91,654			2,903,598		—		608,298
BMO Mid-Cap Value Fund		3,793,047		1,046,949		1,278,213		(697,662	)		51,295			2,915,416		48,792		404,651
														5,819,014
Small-Cap Funds — 4.0%
BMO Small-Cap Growth Fund		5,525,370		2,702,273		2,485,555		(1,027,565	)		(299,976	)		4,414,547		—		724,290
BMO Small-Cap Value Fund		3,657,921		1,155,255		1,749,805		(339,692	)		(238,166	)		2,485,513		24,301		245,584
														6,900,060
International Funds — 13.4%
BMO LGM Emerging Markets Equity Fund		7,494,805		1,247,127		3,869,690		(589,236	)		(27,292	)		4,255,714		55,016		146,801
BMO Pyrford International Stock Fund		9,357,100		1,467,222		1,160,298		(426,419	)		23,514			9,261,119		258,802		—
BMO Disciplined International Equity Fund		8,880,022		2,203,880		1,167,073		(425,479	)		(87,622	)		9,403,728		172,869		—
														22,920,561
Alternative Funds — 0.5%
BMO Alternative Strategies Fund		896,397		203,892		203,149		(27,358	)		(12,507	)		857,275		—		—
Short-Term Investment — 0.8%
BMO Institutional Prime Money Market Fund		1,600,930		13,777,076		13,953,370		112			(95	)		1,424,653		17,784		—
Totals	$	94,817,177	$	42,508,317	$	40,142,646	$	(10,330,075	)	$	(1,222,007	)	$	85,630,766	$	1,050,388	$	6,999,858

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of BMO Prime Money Market Fund or BMO Government Money Market Fund and (ii) more favorable to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. The 2020 Fund and 2050 Fund had interfund lending balances as of February 28, 2019 of $861,586 and $616,984, respectively.

Funds utilizing the Interfund lending program, borrowing from the BMO Government Money Market Fund during the year ended February 28, 2019, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
In-Retirement Fund	$	2,200		2.257	%
2015 Fund		735		2.259
2020 Fund		2,361		2.570
2025 Fund		1,911		2,184
2035 Fund		1,310		1.770
2045 Fund		1,578		1.772
2055 Fund		178		1.769
Conservative Allocation Fund		1,543		1.762
Moderate Allocation Fund		2,682		1.784
Balanced Allocation Fund		70,949		1.802
Growth Allocation Fund		25,853		1.763
Aggressive Allocation Fund		10,243		1.763

General—Certain of the Officers and Directors of the Corporation are also Officers and Directors/Trustees of one or more of the above companies, which are affiliates of the Corporation. None of the Fund Officers or interested Directors receives any compensation from the Funds.

52

BMO Funds

6. Line of Credit

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with UMB Bank, n.a. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at February 28, 2019. The Funds did not utilize the LOC during the period ended February 28, 2019.

7. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the period ended February 28, 2019 were as follows:

	Other than U.S Government Securities				U.S Government Securities
Fund	Purchases		Sales		Purchases		Sales
In-Retirement Fund	$	2,533,522	$	4,935,483	$	—	$	—
2015 Fund		551,765		954,294		—		—
2020 Fund		18,781,306		24,450,241		—		—
2025 Fund		10,150,121		6,227,113		—		—
2030 Fund		26,977,672		29,579,608		—		—
2035 Fund		5,934,419		3,870,747		—		—
2040 Fund		17,965,733		20,515,301		—		—
2045 Fund		4,414,799		3,031,635		—		—
2050 Fund		16,830,026		18,084,350		—		—
2055 Fund		5,363,338		2,716,736		—		—
Conservative Allocation Fund		8,863,705		7,948,683		—		—
Moderate Allocation Fund		27,337,285		36,187,099		—		—
Balanced Allocation Fund		110,724,159		123,565,228		—		—
Growth Allocation Fund		34,601,584		31,698,601		—		—
Aggressive Allocation Fund		60,278,123		51,291,872		—		—

8. Federal Tax Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are due in part to differing treatments for net operating loss, foreign currency transactions, paydown gain or loss, market discount accretion, premium amortization and expiring capital loss carryforwards.

To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts, on the Statements of Assets and Liabilities, based on their Federal tax basis treatment; temporary differences do not require reclassification and had no impact on the NAV of the Funds.

The Funds complied with FASB interpretation Accounting for Uncertainty in Income Taxes which provides guidance for how uncertain tax provisions should be recognized, measured, presented and disclosed in the financial statements. Accounting for Uncertainty in Income Taxes requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not,” (i.e., greater than 50 percent) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year.

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Fund reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net

53

Notes to Financial Statements (continued)

assets or results of operations as of and during the period ended February 28, 2019. Management of the Fund also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized Depreciation for Federal Tax Purposes			Net Unrealized Appreciation for Federal Tax Purposes
In-Retirement Fund	$	9,652,890	$	1,282,545	$	(85,205	)	$	1,197,340
2015 Fund		2,185,696		134,225		(15,436	)		118,789
2020 Fund		53,359,646		13,406,912		(428,672	)		12,978,240
2025 Fund		26,853,054		2,111,552		(160,009	)		1,951,543
2030 Fund		67,592,373		21,774,054		(350,807	)		21,423,247
2035 Fund		14,881,067		1,637,923		(44,972	)		1,592,951
2040 Fund		37,224,170		14,765,541		(138,684	)		14,626,857
2045 Fund		10,843,161		1,022,668		(31,514	)		991,154
2050 Fund		30,275,408		10,381,699		(93,375	)		10,288,324
2055 Fund		12,061,614		985,220		(45,364	)		939,856
Conservative Allocation Fund		34,613,870		4,216,039		(297,936	)		3,918,103
Moderate Allocation Fund		59,413,526		11,281,555		(409,974	)		10,871,581
Balanced Allocation Fund		252,742,014		69,761,473		(1,795,656	)		67,965,817
Growth Allocation Fund		88,787,117		30,612,695		(691,423	)		29,921,272
Aggressive Allocation Fund		118,123,153		53,453,391		(509,068	)		52,944,323

The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales.

The tax character of distributions reported on the Statements of Changes in Net Assets for the years ended August 31, 2018 and August 31, 2017, were as follows:

	2018				2017
Fund	Ordinary Income (1)		Long-Term Capital Gains		Ordinary Income (1)		Long-Term Capital Gains
In-Retirement Fund	$	376,688	$	866,237	$	511,590	$	925,260
2015 Fund		90,954		5,618		104,541		—
2020 Fund		1,892,064		3,647,079		1,860,077		4,010,380
2025 Fund		553,263		165,945		619,664		574,669
2030 Fund		2,051,535		3,045,885		1,684,830		3,794,697
2035 Fund		414,773		441,198		534,601		940,910
2040 Fund		1,240,302		3,898,660		997,987		2,711,921
2045 Fund		244,424		255,789		271,179		595,869
2050 Fund		990,070		912,623		641,782		1,777,285
2055 Fund		208,481		72,529		122,469		264,738
Conservative Allocation Fund		2,519,961		4,479,258		3,938,319		—
Moderate Allocation Fund		2,959,918		4,208,363		3,317,223		1,671,078
Balanced Allocation Fund		10,019,454		26,938,699		8,980,113		21,697,731
Growth Allocation Fund		3,864,557		5,945,893		2,008,915		5,863,115
Aggressive Allocation Fund		5,593,851		17,406,814		2,739,308		16,714,385

(1) For tax purposes, short-term capital gain distributions are considered ordinary income.

54

BMO Funds

As of August 31, 2018, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses		Other Adjustments		Unrealized Appreciation
In-Retirement Fund	$	230,035	$	359,948	$	—	$	—	$	1,822,695
2015 Fund		36,599		118,380		—		—		146,424
2020 Fund		913,852		3,223,437		—		—		18,767,873
2025 Fund		245,668		515,698		—		—		2,578,484
2030 Fund		943,939		2,954,037		—		—		28,721,970
2035 Fund		102,242		390,860		—		—		2,088,735
2040 Fund		461,950		1,599,024		—		—		19,662,428
2045 Fund		54,094		223,191		—		—		1,310,429
2050 Fund		277,954		1,196,823		—		—		13,252,616
2055 Fund		57,937		233,456		—		—		1,323,692
Conservative Allocation Fund		664,011		4,298,103		—		—		4,810,228
Moderate Allocation Fund		1,343,466		5,726,540		—		—		15,141,597
Balanced Allocation Fund		3,731,776		19,819,254		—		—		92,272,479
Growth Allocation Fund		1,008,149		7,982,233		—		—		40,312,764
Aggressive Allocation Fund		1,493,936		13,426,591		—		—		71,951,918

9. Subsequent Events

The special meeting of the shareholders of each Target Retirement Fund was held on March 29, 2019. The matter voted on by the shareholders of record as of January 31, 2019 of each Fund and the results of the vote at the shareholder meeting held March 29, 2019 are as follows:

To approve an amendment to the Articles of Incorporation, as amended, of the Corporation to liquidate and dissolve the Fund pursuant to a plan of liquidation.

	Affirmative		Against		Abstain
In-Retirement Fund		723,128		—		—
2015 Fund		117,696		—		—
2020 Fund		3,264,427		70,104		35,965
2025 Fund		1,377,240		—		—
2030 Fund		3,888,805		147,065		2,666
2035 Fund		722,158		—		704
2040 Fund		2,396,366		67,637		4,358
2045 Fund		527,483		—		—
2050 Fund		1,198,594		86,144		3,523
2055 Fund		591,699		878		—

55

NOTES

56

This report is authorized for distribution to prospective investors only when preceded or accompanied by the Funds’ prospectuses, which contain facts concerning each Fund’s objective and policies, management fees, expenses, and other information.

Proxy Voting

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the Funds’ Statement of Additional Information, which is available on the Funds’ website at http://www.bmofunds.com and on the SEC’s website at http://www.sec.gov.

Each Fund’s proxy voting record for the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the SEC’s website at http://www.sec.gov.

Disclosure of Portfolio Holdings

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Shares of the BMO Funds are not bank deposits or other obligations of, or issued, endorsed or guaranteed by, BMO Harris Bank, NA, or any of its affiliates. Shares of the BMO Funds, like shares of all mutual funds, are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.

PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1793

	BMO Funds U.S. Services P.O. Box 55931 Boston, MA 02205-5931
	Contact us 1-800-236-FUND (3863) 414-287-8555
	Learn more bmofunds.com

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

Investment products are: NOT FDIC INSURED — NO BANK GUARANTEE — MAY LOSE VALUE.

© 2019 BMO Financial Corp. (3/19)

Item 2. Code of Ethics.

Not applicable to semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable to semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable to semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Except as noted below, the schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form. The schedules of investments for BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, and BMO Intermediate Tax-Free Fund, are filed under this Item.

Ultra Short Tax-Free Fund

Description	Shares or Principal Amount		Value
Municipals — 97.1%
Alabama — 5.5%
Albertville Municipal Utilities Board - Water System, AGM:
2.000%, 8/15/2019	$	735,000	$	735,316
2.000%, 8/15/2020		355,000		355,401
Black Belt Energy Gas District, 2.581%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (7)		4,500,000		4,409,100
Chatom Industrial Development Board, 1.850%, 8/1/2037, Call 8/1/2019 (7)		4,800,000		4,800,528
County of Jefferson, 5.000%, 9/15/2019		1,000,000		1,016,710
Health Care Authority for Baptist Health, 2.220%, 11/1/2042 (7)		11,125,000		11,125,000
Limestone County Water & Sewer Authority, BAM, 2.000%, 12/1/2019		160,000		160,291
Southeast Alabama Gas Supply District, 2.581%, (LIBOR 1 Month), 4/1/2024, Call 1/1/2024 (7)		5,000,000		4,950,750
Tender Option Bond Trust Receipts/Certificates, 1.890%, 10/5/2020 (5) (7)		5,000,000		5,000,000
				32,553,096
Arizona — 0.7%
Arizona Health Facilities Authority:
3.590%, (SIFMA Municipal Swap Index Yield), 2/5/2020, Call 8/9/2019 (7)		3,250,000		3,271,450
3.590%, (SIFMA Municipal Swap Index Yield), 2/5/2020, Call 8/9/2019 (7)		750,000		754,958
				4,026,408
Arkansas — 1.7%
Arkansas Development Finance Authority:
2.210%, 9/1/2044, Call 3/1/2019 (7)		7,000,000		7,000,000
2.840%, (SIFMA Municipal Swap Index Yield), 9/1/2019, Call 4/1/2019 (7)		3,000,000		3,000,810
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		85,000		84,812
				10,085,622
California — 2.9%
Bay Area Toll Authority, 2.840%, (SIFMA Municipal Swap Index Yield), 4/1/2024, Call 10/1/2023 (7)		1,750,000		1,789,655
California Health Facilities Financing Authority, NATL-RE, 3.360%, 7/1/2022, Call 2/28/2019 (7)(11)		500,000		500,000
California Pollution Control Financing Authority, 1.950%, 5/1/2019 (5) (7)		2,750,000		2,750,247
Northern California Gas Authority No. 1, 2.504%, (LIBOR 3 Month), 7/1/2019 (7)		3,935,000		3,935,315
Palomar Health, 4.000%, 11/1/2019		505,000		510,232
State of California, 2.030%, (SIFMA Municipal Swap Index Yield), 12/1/2020, Call 12/1/2019 (7)		750,000		749,813
Tender Option Bond Trust Receipts/Certificates:
1.890%, 8/1/2024 (5) (7)		3,350,000		3,350,000
1.940%, 8/1/2042, Call 2/1/2026 (5) (7)		3,730,000		3,730,000
				17,315,262
Colorado — 1.2%
City & County of Denver Airport System Revenue, AGC, 1.800%, 11/15/2025, Call 2/28/2019 (7)(11)		525,000		525,000
Colorado Health Facilities Authority, 5.000%, 6/1/2019		450,000		452,966
Colorado School of Mines, 2.181%, (LIBOR 1 Month), 2/1/2023, Call 8/1/2022 (7)		1,185,000		1,187,417
E-470 Public Highway Authority:
2.089%, 9/1/2021, Call 9/1/2020 (7)(9)		1,370,000		1,370,397
2.568%, (LIBOR 1 Month), 9/1/2019, Call 3/21/2019 (7)		3,445,000		3,445,207
				6,980,987
Connecticut — 0.1%
Connecticut State Health & Educational Facilities Authority, 5.000%, 7/1/2020		400,000		416,836
District of Columbia — 0.5%

District of Columbia Housing Finance Agency, AGM, 5.000%, 7/1/2021, Call 4/1/2019	360,000	360,875
Washington Convention & Sports Authority, 5.000%, 10/1/2020	2,500,000	2,626,850
		2,987,725
Florida — 4.7%
Atlantic Beach Health Care Facilities Revenue, 3.000%, 11/15/2023, Call 5/15/2020	2,000,000	2,006,180
Citizens Property Insurance Corp.:
5.000%, 6/1/2019	2,640,000	2,660,698
5.000%, 6/1/2020	3,870,000	4,024,219
City of Orlando, AGM, 3.000%, 11/1/2019	850,000	857,081
Escambia County Health Facilities Authority, AGC, 1.800%, 11/15/2029, Call 3/1/2019 (7)	2,400,000	2,400,000
North Broward Hospital District, 5.000%, 1/1/2020	875,000	895,475
Palm Beach County School District, 5.000%, 8/1/2019	1,600,000	1,621,952
RBC Municipal Products, Inc. Trust, 1.940%, (SIFMA Municipal Swap Index Yield), 9/3/2019 (5)(7)	5,000,000	5,000,000
School Board of Miami-Dade County, FGIC, 1.970%, 3/7/2019, Call 3/1/2019 (5)(7)	8,000,000	8,000,000
Sumter County Industrial Development Authority, 4.000%, 7/1/2019	620,000	624,321
		28,089,926
Georgia — 4.4%
Atkinson/Coffee Counties Joint Development Authority, 1.650%, 12/1/2019, Call 6/1/2019	3,000,000	2,994,240
Burke County Development Authority, 1.800%, 7/1/2049, Call 2/28/2019 (7)	1,200,000	1,200,000
Georgia State Road & Tollway Authority, 5.000%, 6/1/2019	1,750,000	1,764,158
Main Street Natural Gas, Inc.:
2.310%, (SIFMA Municipal Swap Index Yield), 12/1/2023, Call 9/1/2023 (7)	5,000,000	4,975,250
2.511%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (7)	5,000,000	4,971,400
5.000%, 5/15/2021	700,000	740,005
Monroe County Development Authority, 2.000%, 6/13/2019 (7)	2,905,000	2,903,896
Morgan County Hospital Authority, 2.750%, 9/1/2019, Call 4/1/2019	3,750,000	3,755,438
Municipal Electric Authority of Georgia, 5.000%, 1/1/2020	1,000,000	1,024,560
Waleska Downtown Development Authority, 2.000%, 8/1/2019, Call 4/1/2019	1,690,000	1,689,087
		26,018,034
Hawaii — 0.5%
City & County of Honolulu, 2.040%, (SIFMA Municipal Swap Index Yield), 9/1/2020, Call 3/18/2019 (7)	2,800,000	2,799,748
Idaho — 0.5%
Idaho Housing & Finance Association, 1.920%, 1/1/2038, Call 3/1/2019 (7)	3,205,000	3,205,000
Illinois — 11.2%
Chicago Board of Education:
2.190%, 3/1/2034, Call 3/1/2019 (5)(7)	10,000,000	10,000,000
2.636%, 12/13/2019 (5)(7)	3,000,000	3,000,000
Chicago Housing Authority, HUD SEC 8, 5.000%, 1/1/2021	1,400,000	1,476,930
City of Chicago Waterworks Revenue, 5.000%, 11/1/2019	250,000	254,940
Cook County Community Unit School District No 401 Elmwood Park, 2.375%, 12/1/2028, Call 3/12/2019 (7)	4,000,000	4,075,680
County of Peoria, 1.940%, 6/15/2020 (5)(7)	7,000,000	7,000,000
Decatur Park District, 3.000%, 12/15/2019	4,311,000	4,341,824
Illinois Educational Facilities Authority:
1.800%, 2/13/2020 (7)	2,000,000	1,999,240
1.875%, 2/13/2020 (7)	2,250,000	2,251,552
Illinois Finance Authority:
2.490%, (SIFMA Municipal Swap Index Yield), 7/1/2023, Call 7/1/2022 (7)	2,000,000	2,000,640
3.000%, 12/1/2019	200,000	200,344
5.000%, 11/15/2019	605,000	618,552
5.000%, 11/15/2019	250,000	255,460
Illinois State University, 5.000%, 4/1/2020	200,000	204,924
Kankakee River Metropolitan Agency, AGM, 3.000%, 5/1/2019	300,000	300,330
Lake County Forest Preserve District, 2.348%, (LIBOR 3 Month), 12/15/2020 (7)	250,000	250,355
Rib Floater Trust Various States, 1.890%, 8/15/2030, Call 4/1/2019 (5)(7)	5,000,000	5,000,000
State of Illinois:
5.000%, 8/1/2020	4,000,000	4,135,200

5.000%, 10/1/2021	1,500,000	1,584,120
5.000%, 2/1/2022	6,040,000	6,380,414
Tender Option Bond Trust Receipts/Certificates:
1.890%, 6/15/2031, Call 6/15/2026 (5)(7)	4,355,000	4,355,000
1.940%, 1/1/2048, Call 1/1/2029 (5)(7)	4,500,000	4,500,000
Town of Normal, 4.000%, 6/1/2019	230,000	231,270
Village of Bolingbrook:
4.000%, 3/1/2019	1,700,000	1,700,000
4.000%, 3/1/2020	345,000	351,638
		66,468,413
Indiana — 3.4%
Indiana Bond Bank, 4.000%, 1/3/2020	3,000,000	3,052,890
Indiana Finance Authority, 2.100%, 3/1/2019 (7)	1,100,000	1,100,000
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.950%, 7/1/2047, Call 2/28/2019 (7)	7,350,000	7,350,000
Tender Option Bond Trust Receipts/Certificates, 2.010%, 10/15/2019 (5)(7)	8,500,000	8,500,000
		20,002,890
Iowa — 0.8%
Iowa Finance Authority, 2.315%, (SIFMA Municipal Swap Index Yield), 1/4/2024, Call 3/20/2019 (5)(7)	3,520,000	3,520,070
Iowa Finance Authority, GNMA/FNMA/FHLMC, 2.040%, (SIFMA Municipal Swap Index Yield), 5/3/2021, Call 11/2/2020 (7)	1,500,000	1,498,065
		5,018,135
Kansas — 0.1%
State of Kansas Department of Transportation, 2.056%, (LIBOR 1 Month), 9/1/2021 (7)	400,000	400,928
Kentucky — 3.0%
City of Berea, 1.430%, 6/1/2032 (7)	2,700,000	2,700,000
Kentucky Berea Collage Educational Facilities Authority, 1.400%, 6/1/2029, Call 03/21/2019 (7)	1,000,000	1,000,000
Kentucky Economic Development Finance Authority, 2.100%, 3/1/2019 (7)	1,500,000	1,500,000
Kentucky Public Energy Authority, 4.000%, 7/1/2020	2,115,000	2,162,862
Kentucky State Property & Building Commission, NATL-RE, 5.000%, 8/1/2019	2,500,000	2,532,750
Laurel County Judicial Center Public Properties Corp., 4.000%, 3/1/2020	530,000	541,512
Louisville/Jefferson County Metropolitan Government:
1.250%, 6/3/2019 (7)	1,000,000	998,260
1.250%, 6/3/2019 (7)	1,000,000	998,260
Northern Kentucky Water Service District, 3.000%, 4/1/2019, Call 4/1/2019	1,665,000	1,665,266
Tender Option Bond Trust Receipts/Certificates, 1.940%, 4/1/2032, Call 4/1/2027 (5)(7)	3,665,000	3,665,000
		17,763,910
Louisiana — 1.9%
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	380,000	351,451
Louisiana Public Facilities Authority:
1.900%, 7/1/2021, Call 3/7/2019 (7)	885,000	885,000
2.390%, (SIFMA Municipal Swap Index Yield), 9/1/2023, Call 3/1/2023 (7)	5,000,000	5,001,900
4.000%, 5/15/2019	225,000	225,900
Parish of St. James, 1.940%, 11/1/2040, Call 2/28/2019 (7)	5,000,000	5,000,000
		11,464,251
Maryland — 0.6%
City of Baltimore, 4.000%, 9/1/2019	350,000	353,304
RBC Municipal Products, Inc. Trust, 1.940%, (SIFMA Municipal Swap Index Yield), 7/1/2019 (5)(7)	3,000,000	3,000,000
		3,353,304
Massachusetts — 0.1%
Massachusetts Development Finance Agency:
2.220%, (SIFMA Municipal Swap Index Yield), 1/29/2020, Call 8/1/2019 (7)	500,000	500,515
5.000%, 7/1/2021	300,000	320,148
		820,663
Michigan — 0.7%
Boyne City Public School District, 1.500%, 5/1/2019	1,265,000	1,264,633

Michigan Finance Authority:
2.210%, (LIBOR 1 Month), 12/1/2020, Call 6/1/2020 (7)	200,000	200,314
5.000%, 11/15/2019	400,000	408,620
Michigan State Hospital Finance Authority, 1.500%, 5/1/2020 (7)	775,000	771,109
Taylor Tax Increment Finance Authority, AGM:
4.000%, 5/1/2020, Call 4/1/2019	785,000	786,327
4.000%, 5/1/2021, Call 4/1/2019	600,000	601,038
White Cloud Public Schools, Q-SBLF, 4.000%, 5/1/2019	175,000	175,590
		4,207,631
Minnesota — 0.7%
Housing & Redevelopment Authority of the City of St. Paul, 3.000%, 11/15/2019	600,000	605,292
Minnesota Rural Water Finance Authority, Inc.:
1.050%, 3/1/2019	1,350,000	1,350,000
2.000%, 8/1/2020, Call 2/1/2020	2,000,000	2,001,960
		3,957,252
Mississippi — 1.2%
Mississippi Business Finance Corp., 2.220%, 5/1/2037, Call 5/1/2019 (7)	1,500,000	1,500,795
Mississippi Development Bank, 2.500%, 1/1/2020	4,600,000	4,630,728
Southwest Mississippi Regional Medical Center, 2.100%, 6/1/2019, Call 4/1/2019	1,000,000	999,400
		7,130,923
Missouri — 1.3%
Cape Girardeau County Industrial Development Authority, 5.000%, 3/1/2019	220,000	220,000
City of St. Louis, 3.000%, 5/30/2019	5,000,000	5,014,500
Missouri Housing Development Commission, GNMA/FNMA/FHLMC, 4.700%, 3/1/2035, Call 9/1/2019	200,000	202,024
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 2.503%, 12/1/2022, Call 2/28/2019 (7)(11)	1,750,000	1,750,000
Missouri State Health & Educational Facilities Authority, 2.875%, 2/1/2034, Call 4/1/2020	765,000	766,354
		7,952,878
Nevada — 0.4%
City of Carson City, 5.000%, 9/1/2019	345,000	349,747
City of North Las Vegas NV, AGM, 5.000%, 6/1/2020	1,650,000	1,710,770
		2,060,517
New Jersey — 6.5%
City of Union City, SAW, 4.000%, 11/1/2019	1,000,000	1,012,010
Lyndhurst Township School District, School Bond Gty, 3.000%, 9/13/2019	2,000,000	2,011,620
New Jersey Economic Development Authority:
2.030%, 11/1/2040, Call 2/28/2019 (7)	4,485,000	4,485,000
2.030%, 11/1/2040, Call 2/28/2019 (7)	5,515,000	5,515,000
2.040%, 11/1/2031, Call 2/28/2019 (7)	4,510,000	4,510,000
New Jersey Health Care Facilities Financing Authority:
2.030%, 7/1/2038, Call 2/28/2019 (7)	3,175,000	3,175,000
2.120%, 7/1/2028, Call 3/6/2019 (7)	300,000	300,000
New Jersey Transportation Trust Fund Authority:
2.740%, (SIFMA Municipal Swap Index Yield), 12/15/2019, Call 6/15/2019 (7)	5,000,000	5,006,100
4.000%, 6/15/2019	500,000	502,935
4.000%, 6/15/2020	200,000	204,822
5.000%, 6/15/2019	4,500,000	4,538,925
New Jersey Turnpike Authority:
2.096%, (LIBOR 1 Month), 1/1/2021 (7)	1,750,000	1,755,530
2.236%, (LIBOR 1 Month), 1/1/2022 (7)	750,000	754,072
Tender Option Bond Trust Receipts/Certificates, 1.890%, 7/1/2025 (5)(7)	2,175,000	2,175,000
Tobacco Settlement Financing Corp., 5.000%, 6/1/2020	2,400,000	2,481,792
		38,427,806
New Mexico — 1.4%
County of Bernalillo, 1.400%, 3/1/2019 (7)	2,875,000	2,875,000
New Mexico Municipal Energy Acquisition Authority, 2.431%, (LIBOR 1 Month), 8/1/2019, Call 3/21/2019 (7)	5,500,000	5,501,155
		8,376,155
New York — 7.5%
Albany Industrial Development Agency, 1.960%, 7/1/2032, Call 3/7/2019 (7)	1,175,000	1,175,000

City of New York, AGC, 1.890%, 10/1/2021, Call 3/4/2019 (7)(11)	100,000	100,000
County of Suffolk, 5.000%, 7/24/2019	5,500,000	5,563,690
Long Island Power Authority, 2.506%, (LIBOR 1 Month), 10/1/2023, Call 10/1/2022 (7)	4,000,000	4,013,720
Metropolitan Transportation Authority:
2.190%, (SIFMA Municipal Swap Index Yield), 11/15/2022 (7)	3,000,000	2,969,430
2.231%, (LIBOR 1 Month), 11/1/2022 (7)	2,985,000	2,981,239
2.320%, (SIFMA Municipal Swap Index Yield), 6/1/2019 (7)	500,000	500,295
2.381%, (LIBOR 1 Month), 2/1/2020 (7)	3,500,000	3,507,140
4.000%, 2/3/2020	3,000,000	3,056,730
5.000%, 11/15/2019, Call 11/15/2019 (7)	600,000	612,174
New York City Transitional Finance Authority Future Tax Secured Revenue, 1.750%, 11/1/2029, Call 2/28/2019 (7)	3,000,000	3,000,000
New York City Water & Sewer System, 1.750%, 6/15/2039, Call 2/28/2019 (7)	1,100,000	1,100,000
Nuveen New York AMT-Free Quality Municipal Income Fund, 2.040%, 5/1/2047, Call 2/28/2019 (5)(7)	5,000,000	5,000,000
South Glens Falls Central School District, SAW, 3.000%, 7/26/2019	4,500,000	4,521,150
Triborough Bridge & Tunnel Authority:
2.025%, (SOFR + 43 basis points), 9/26/2019 (7)	1,420,000	1,421,122
2.381%, (LIBOR 1 Month), 2/1/2021 (7)	4,890,000	4,933,178
		44,454,868
North Carolina — 0.2%
North Carolina Medical Care Commission, 2.060%, 6/1/2029, Call 6/1/2020 (5)(7)	1,000,000	1,000,000
North Dakota — 0.4%
Barnes County North Public School District Building Authority, 4.000%, 5/1/2019	590,000	591,923
Williston North Dakota County Wide Public Safety Sales Tax Revenue:
5.000%, 7/15/2020	1,025,000	1,058,979
5.000%, 7/15/2021	750,000	789,803
		2,440,705
Ohio — 7.6%
City of Avon:
3.000%, 9/5/2019	1,250,000	1,258,100
3.000%, 1/22/2020	700,000	706,020
City of Fairborn, 2.250%, 3/21/2019	2,887,000	2,887,491
City of Grove City, 2.500%, 3/7/2019	4,000,000	4,000,400
City of Lakewood, 2.500%, 3/28/2019	4,000,000	4,001,920
City of Seven Hills, 2.875%, 4/10/2019	750,000	750,600
County of Belmont:
3.000%, 8/29/2019	3,800,000	3,822,914
3.000%, 1/29/2020	1,000,000	1,008,520
County of Lorain, 3.000%, 2/7/2020	2,000,000	2,019,120
County of Lucas, 5.000%, 11/15/2019	1,165,000	1,187,577
County of Trumbull:
2.000%, 8/29/2019	2,800,000	2,800,812
3.125%, 8/29/2019	2,000,000	2,011,600
Dublin City School District, 2.500%, 4/18/2019	4,500,000	4,503,375
FHLMC Multifamily VRD Certificates, 1.990%, (SIFMA Municipal Swap Index Yield), 9/15/2033 (7)	3,470,000	3,470,000
Lancaster Port Authority, 2.401%, (LIBOR 1 Month), 8/1/2019, Call 3/21/2019 (7)	5,000,000	5,000,900
Little Miami Local School District, 3.000%, 11/21/2019	1,000,000	1,008,560
State of Ohio, 2.100%, 3/1/2019 (7)	1,000,000	1,000,000
Village of Cuyahoga Heights, 3.250%, 6/19/2019 (9)	1,000,000	1,004,110
Village of Orange, 3.000%, 8/29/2019	2,500,000	2,512,975
		44,954,994
Oklahoma — 0.3%
Oklahoma County Finance Authority, 5.000%, 10/1/2019	510,000	519,552
Tulsa County Independent School District No. 4 Bixby, 2.000%, 7/1/2019	1,000,000	1,001,110
		1,520,662
Pennsylvania — 5.1%
Bethlehem Area School District, SAW, 2.225%, (LIBOR 1 Month), 11/1/2021, Call 11/2/2020 (7)	2,995,000	2,995,359
Commonwealth Financing Authority, 5.000%, 6/1/2020	1,000,000	1,037,540
Indiana County Industrial Development Authority, 1.550%, 4/1/2019, Call 3/26/2019	1,850,000	1,849,427

Manheim Township School District, 2.176%, (LIBOR 1 Month), 11/1/2021, Call 5/1/2021 (7)	2,000,000	2,012,500
Montgomery County Higher Education & Health Authority:
1.970%, 9/1/2050, Call 3/1/2019 (7)	8,000,000	8,000,000
2.460%, (SIFMA Municipal Swap Index Yield), 9/1/2023, Call 9/1/2019 (7)	2,500,000	2,501,625
Montgomery County Industrial Development Authority, AGC, 1.800%, 11/15/2029, Call 3/1/2019 (7)	1,400,000	1,400,000
North Penn Water Authority, 2.181%, (LIBOR 1 Month), 11/1/2019, Call 5/1/2019 (7)	2,000,000	2,000,280
Northampton County General Purpose Authority, 2.796%, (LIBOR 1 Month), 8/15/2024, Call 2/15/2023 (7)	1,000,000	1,004,300
Old Forge School District, BAM SAW, 2.000%, 5/1/2019	500,000	499,985
Pennsylvania Economic Development Financing Authority, 2.125%, 5/1/2019 (7)	3,000,000	3,000,510
Pennsylvania Turnpike Commission:
2.620%, (SIFMA Municipal Swap Index Yield), 12/1/2020, Call 6/1/2020 (7)	1,800,000	1,808,928
2.890%, (SIFMA Municipal Swap Index Yield), 12/1/2019, Call 6/1/2019 (7)	2,225,000	2,228,960
		30,339,414
South Carolina — 3.2%
Lexington County Health Services District, Inc., 5.000%, 11/1/2019	250,000	254,908
Patriots Energy Group Financing Agency, 2.541%, (LIBOR 1 Month), 2/1/2024, Call 11/1/2023 (7)	6,000,000	6,002,340
South Carolina Jobs-Economic Development Authority:
1.990%, 5/1/2048, Call 2/28/2019 (7)	3,750,000	3,750,000
2.250%, 5/1/2019, Call 3/17/2019 (5)	3,000,000	3,000,660
Tender Option Bond Trust Receipts/Certificates, 1.990%, 1/1/2020 (5)(7)	6,000,000	6,000,000
		19,007,908
South Dakota — 0.5%
Tender Option Bond Trust Receipts/Certificates, 1.910%, 11/1/2040, Call 11/1/2019 (5)(7)	3,000,000	3,000,000
Tennessee — 1.7%
County of Monroe, 1.200%, 6/15/2019, Call 3/21/2019	1,250,000	1,248,075
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 1.875%, 7/1/2020 (7)	1,400,000	1,397,256
Tender Option Bond Trust Receipts/Certificates, 1.940%, 7/1/2021 (5)(7)	2,500,000	2,500,000
Tennessee Energy Acquisition Corp., 5.250%, 9/1/2020	4,720,000	4,914,747
Tennessee Housing Development Agency, 4.500%, 7/1/2028, Call 1/1/2020	35,000	35,435
		10,095,513
Texas — 8.4%
Bexar County Health Facilities Development Corp.:
5.000%, 7/15/2019	125,000	125,996
5.000%, 7/15/2020	175,000	179,956
Deer Park Independent School District, PSF, 3.000%, 10/1/2019 (7)	2,000,000	2,014,220
Georgetown Independent School District, 2.500%, 8/1/2019 (7)	1,500,000	1,504,530
Goose Creek Consolidated Independent School District, PSF, 1.180%, 8/15/2019 (7)	1,800,000	1,795,446
Harris County Municipal Utility District No. 371, BAM, 2.000%, 9/1/2019	295,000	295,145
Irving Hospital Authority, 2.840%, (SIFMA Municipal Swap Index Yield), 10/15/2023, Call 4/15/2023 (7)	1,000,000	1,002,690
Midlothian Independent School District, PSF, 2.500%, 8/1/2020 (7)	1,500,000	1,514,940
Mission Economic Development Corp., 2.150%, 4/1/2019 (7)	9,000,000	9,000,990
North Texas Tollway Authority, 2.410%, (SIFMA Municipal Swap Index Yield), 1/1/2020, Call 7/1/2019 (7)	610,000	609,726
Northside Independent School District, PSF:
2.000%, 8/1/2019 (7)	5,000,000	5,005,000
2.125%, 8/1/2020, Call 8/1/2019 (7)	1,850,000	1,852,793
Rib Floater Trust Various States, 1.890%, 6/1/2032, Call 4/1/2020 (5)(7)	6,000,000	6,000,000
Spring Branch Independent School District, PSF, 3.000%, 6/18/2019 (7)	4,000,000	4,014,240
Tender Option Bond Trust Receipts/Certificates, 1.940%, 7/1/2021 (5)(7)	11,000,000	11,000,000
Trail of the Lakes Municipal Utility District, BAM, 5.000%, 4/1/2019	120,000	120,287
Travis County Health Facilities Development Corp., 5.250%, 1/1/2047, Call 1/1/2020 (7)	3,400,000	3,534,028
		49,569,987
Utah — 0.8%

Tender Option Bond Trust Receipts/Certificates, 1.940%, 1/1/2025 (5)(7)	4,800,000	4,800,000
Virginia — 1.4%
FHLMC Multifamily VRD Certificates, 1.990%, (SIFMA Municipal Swap Index Yield), 6/15/2035, Call 10/15/2029 (7)	2,995,000	2,998,175
Henrico County Economic development Authority, 5.000%, 10/1/2020	900,000	939,528
Newport News Redevelopment & Housing Authority, FHA/GNMA, 1.200%, 4/1/2019	3,500,000	3,498,285
Peninsula Ports Authority, 1.550%, 10/1/2019 (7)	1,000,000	996,530
		8,432,518
Washington — 1.2%
City of Bellingham Water & Sewer Revenue, 1.940%, 8/1/2019 (5)(7)	1,625,000	1,625,000
Tender Option Bond Trust Receipts/Certificates, 1.890%, 6/15/2033, Call 6/1/2019 (5)(7)	5,050,000	5,050,000
Washington Health Care Facilities Authority, 2.770%, (LIBOR 1 Month), 7/1/2022, Call 1/1/2022 (7)	450,000	455,562
		7,130,562
West Virginia — 1.0%
West Virginia Hospital Finance Authority:
1.970%, 6/1/2033, Call 3/1/2019 (7)	5,000,000	5,000,000
5.000%, 1/1/2020	300,000	307,545
5.000%, 1/1/2021	360,000	379,238
		5,686,783
Wisconsin — 1.8%
Burlington Area School District, 3.000%, 8/6/2019, Call 5/6/2019	1,000,000	1,002,340
Maple School District, 3.000%, 10/29/2019	1,300,000	1,307,280
Pewaukee School District, 3.000%, 8/1/2019, Call 5/1/2019	1,000,000	1,002,080
Port Washington-Saukville School District, 2.500%, 10/1/2020, Call 10/1/2019	1,000,000	1,002,890
Public Finance Authority:
2.300%, 10/1/2019, Call 4/1/2019	1,500,000	1,495,575
5.000%, 11/15/2019	440,000	448,219
Tender Option Bond Trust Receipts/Certificates, 1.810%, 11/15/2044 (5)(7)	4,000,000	4,000,000
Wisconsin Health & Educational Facilities Authority, 2.090%, (SIFMA Municipal Swap Index Yield), 7/28/2021, Call 1/28/2021 (7)	500,000	497,845
		10,756,229
Total Municipals (identified cost $574,806,104)		575,074,443
Short-Term Investments — 3.4%
Mutual Funds — 0.0%
BMO Government Money Market Fund — Premier Class, 2.421% (4)	248,241	248,241
Short-Term Municipals — 3.4%
Florida — 1.2%
City of Jacksonville, 1.900%, 3/11/2019	3,000,000	3,000,000
JEA Electric System Revenue, 1.950%, 3/19/2019	4,000,000	4,000,000
		7,000,000
Illinois — 1.4%
State of Illinois, 5.000%, 6/15/2019	3,500,000	3,525,953
Tender Option Bond Trust Receipts/Certificates, 1.920%, 4/1/2046 (5)(7)	5,000,000	5,000,000
		8,525,953
Kentucky — 0.3%
Tender Option Bond Trust Receipts/Certificates, 1.940%, 4/1/2032 (5)(7)	1,435,000	1,435,000
Texas — 0.5%
San Antonio Texas Water System, 1.640%, 3/6/2019	3,000,000	3,000,000
Total Short-Term Investments (identified cost $20,209,194)		20,209,194
Total Investments — 100.5% (identified cost $595,015,298)		595,283,637

Other Assets and Liabilities — (0.5)%		(2,947,936)
Total Net Assets — 100.0%	$	592,335,701

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

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 28, 2019 these securities amounted to:

Fund	Amount		% of Total Net Assets
Ultra Short Tax-Free Fund		141,955,977		23.97

(7) Denotes a variable rate security. The rate shown is the current interest rate as of February 28, 2019. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

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

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

Short Tax-Free Fund

Description	Shares or Principal Amount		Value
Municipals — 96.2%
Alabama — 3.4%
Black Belt Energy Gas District:
2.581%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (7)	$	1,000,000	$	979,800
4.000%, 6/1/2021, Call 3/1/2021 (7)		1,000,000		1,036,420
County of Jefferson, 5.000%, 9/15/2021		1,000,000		1,075,750
Health Care Authority for Baptist Health, 2.220%, 11/1/2042 (7)		1,560,000		1,560,000
Southeast Alabama Gas Supply District, 2.581%, (LIBOR 1 Month), 4/1/2024, Call 1/1/2024 (7)		1,000,000		990,150
Tuscaloosa City Board of Education:
5.000%, 8/1/2020		200,000		209,228
5.000%, 8/1/2021		175,000		188,363
				6,039,711
Alaska — 0.9%
Alaska Industrial Development & Export Authority, 3.500%, 12/1/2020, Call 12/1/2019		1,000,000		1,007,570
City of Valdez, 5.000%, 1/1/2021		500,000		527,755
				1,535,325
Arizona — 1.8%
Arizona Health Facilities Authority:
3.590%, (SIFMA Municipal Swap Index Yield), 2/5/2020, Call 8/9/2019 (7)		250,000		251,650
3.590%, (SIFMA Municipal Swap Index Yield), 2/5/2020, Call 8/9/2019 (7)		250,000		251,653
City of El Mirage, 5.000%, 7/1/2022, Call 7/1/2020		465,000		484,167
City of Phoenix Civic Improvement Corp., NATL-RE, 5.500%, 7/1/2019		100,000		101,263
Coconino County Pollution Control Corp., 1.600%, 5/21/2020 (7)		750,000		745,523
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (5)		55,000		54,702
La Paz County Industrial Development Authority, 5.000%, 2/15/2021 (5)		540,000		558,036
Maricopa County Industrial Development Authority:
2.550%, 7/1/2021		330,000		328,739
2.875%, 7/1/2021 (5)		200,000		198,904
Pinal County School District No. 1 Florence, BAM, 4.000%, 7/1/2020		250,000		257,430
				3,232,067
Arkansas — 0.8%
Arkansas Development Finance Authority, 2.210%, 9/1/2044, Call 3/1/2019 (7)		1,029,000		1,029,000
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		30,000		29,934
City of Hot Springs Wastewater Revenue, 5.000%, 12/1/2020		245,000		257,382
City of Rogers, 2.125%, 11/1/2029, Call 11/1/2021		50,000		50,006
				1,366,322
California — 5.5%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020		500,000		523,270
Bay Area Toll Authority, 2.840%, (SIFMA Municipal Swap Index Yield), 4/1/2024, Call 10/1/2023 (7)		500,000		511,330
California Health Facilities Financing Authority, NATL-RE, 3.360%, 7/1/2022, Call 2/28/2019 (7)(11)		400,000		400,000
California Housing Finance Agency, AGM, 6.034%, 2/1/2037, Call 3/7/2019 (7)(11)		5,000		5,000
California Municipal Finance Authority, 5.000%, 2/1/2022		1,000,000		1,085,750
California Public Finance Authority:
5.000%, 10/15/2021		350,000		371,182
5.000%, 10/15/2022		300,000		324,840
California State Public Works Board:
5.000%, 4/1/2020		320,000		331,894
5.000%, 11/1/2020, Call 11/1/2019		35,000		35,818
5.125%, 10/1/2022, Call 10/1/2019		245,000		250,263

California Statewide Communities Development Authority, 5.000%, 12/1/2025 (5)	200,000	225,786
California Statewide Communities Development Authority, CMI, 3.500%, 11/1/2021, Call 11/1/2019	750,000	759,877
California Statewide Communities Development Authority, NATL-RE, 2.330%, 4/1/2028 (7)(11)	75,000	75,000
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020	675,000	712,172
Chino Redevelopment Agency Successor Agency, AMBAC, 4.000%, 9/1/2019, Call 4/1/2019	250,000	250,405
City of Redding Electric System Revenue, NATL-RE, 3.848%, 7/1/2022 (7)(11)	100,000	98,378
County of San Joaquin, 4.000%, 4/1/2019	225,000	225,421
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2022	875,000	961,572
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2022	1,000,000	1,088,420
Northern California Gas Authority No. 1, 2.504%, (LIBOR 3 Month), 7/1/2019 (7)	545,000	545,044
Palomar Health, 5.000%, 11/1/2022	375,000	409,691
Sacramento Redevelopment Agency Successor Agency, BAM, 5.000%, 12/1/2022	385,000	432,544
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 4/1/2019 (7)	220,000	220,262
		9,843,919
Colorado — 2.9%
Auraria Higher Education Center, 6.000%, 5/1/2019	178,000	179,252
City of Burlington Water & Sewer Revenue, AGM, 3.000%, 11/1/2019	100,000	100,531
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019	50,000	49,995
5.000%, 10/1/2021	1,000,000	1,065,850
Colorado Health Facilities Authority:
3.125%, 5/15/2027, Call 5/15/2020	1,000,000	991,750
5.000%, 6/1/2021	250,000	264,455
5.000%, 6/1/2022	250,000	270,330
County of Montrose, 4.000%, 12/1/2019	200,000	203,148
E-470 Public Highway Authority, 2.720%, (LIBOR 1 Month), 9/1/2021, Call 3/1/2021 (7)	575,000	580,704
Regional Transportation District, 5.000%, 6/1/2025, Call 6/1/2020	500,000	520,680
University of Colorado Hospital Authority, 5.000%, 3/1/2022, Call 9/1/2021 (7)	750,000	805,020
Wheatlands Metropolitan District, BAM, 4.000%, 12/1/2020	125,000	128,951
		5,160,666
Connecticut — 0.4%
State of Connecticut:
2.660%, (SIFMA Municipal Swap Index Yield), 9/15/2019 (7)	115,000	115,311
5.000%, 3/15/2021	500,000	531,345
		646,656
Florida — 6.5%
Atlantic Beach Health Care Facilities Revenue, 3.250%, 11/15/2024, Call 11/15/2020	1,155,000	1,160,683
Brevard County Health Facilities Authority:
5.000%, 4/1/2020	500,000	517,005
5.000%, 4/1/2021	400,000	424,648
City of Orlando, AGM:
4.000%, 11/1/2021	460,000	486,027
5.000%, 11/1/2022	350,000	389,270
City of Port St. Lucie, 5.000%, 7/1/2020	295,000	307,298
City of Tampa, 5.000%, 11/15/2020, Call 5/15/2020	25,000	25,958
Columbia County School Board, 5.000%, 7/1/2019	920,000	929,651
Columbia County School Board, BAM, 5.000%, 7/1/2021	400,000	427,996
County of Broward Half-Cent Sales Tax Revenue, 5.000%, 10/1/2020	100,000	105,266
County of Okeechobee, 1.550%, 7/1/2021 (7)	915,000	892,875
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2021	300,000	318,210
Escambia County Health Facilities Authority, AGC, 1.800%, 11/15/2029, Call 3/1/2019 (7)	300,000	300,000
Florida Housing Finance Corp., GNMA/FNMA/FHLMC, 4.600%, 1/1/2029, Call 1/1/2020	45,000	45,658
Halifax Hospital Medical Center:
5.000%, 6/1/2020	325,000	336,931
5.000%, 6/1/2021	300,000	318,225

Highlands County Health Facilities Authority, 1.730%, 11/15/2037, Call 2/28/2019 (7)	400,000	400,000
Miami-Dade County Educational Facilities Authority, AMBAC, 5.250%, 4/1/2020	40,000	41,462
Pinellas County Health Facilities Authority, NATL-RE, 3.621%, 11/15/2023, Call 2/28/2019 (7)(11)	125,000	125,000
Sarasota County Health Facilities Authority, 5.000%, 1/1/2022	500,000	524,795
School Board of Miami-Dade County:
1.510%, 8/1/2027 (5)(7)	1,515,000	1,515,000
5.000%, 5/1/2019	225,000	226,172
School District of Broward County, 5.000%, 7/1/2019	1,000,000	1,010,820
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2019 (5)	250,000	250,000
Sumter County Industrial Development Authority:
5.000%, 7/1/2020	235,000	244,670
5.000%, 7/1/2020	300,000	312,345
		11,635,965
Georgia — 5.8%
Atlanta Development Authority, 4.000%, 9/1/2020	500,000	517,090
Burke County Development Authority, 1.800%, 7/1/2049, Call 2/28/2019 (7)	600,000	600,000
City of Atlanta:
5.000%, 1/1/2021	250,000	265,083
5.000%, 1/1/2022	700,000	757,960
City of Atlanta Water & Wastewater Revenue, 6.000%, 11/1/2029, Call 11/1/2019	290,000	298,413
County of DeKalb Water & Sewerage Revenue, 5.000%, 10/1/2020	150,000	157,803
DeKalb Private Hospital Authority, 5.000%, 11/15/2021, Call 11/15/2019	420,000	429,912
Gainesville & Hall County Hospital Authority:
2.690%, (SIFMA Municipal Swap Index Yield), 2/18/2020, Call 8/22/2019 (7)	350,000	350,245
5.000%, 2/15/2021	700,000	740,593
Georgia State Road & Tollway Authority, 5.000%, 6/1/2021	1,250,000	1,342,150
Main Street Natural Gas, Inc.:
2.431%, (LIBOR 1 Month), 9/1/2023, Call 6/1/2023 (7)	1,000,000	991,460
2.511%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (7)	500,000	497,140
5.000%, 3/15/2019	1,000,000	1,000,890
5.000%, 5/15/2024	1,250,000	1,388,812
Municipal Electric Authority of Georgia, 5.000%, 1/1/2023	875,000	967,137
		10,304,688
Guam — 0.3%
Territory of Guam, 5.000%, 12/1/2022	500,000	538,670
Idaho — 0.0%
Idaho Housing & Finance Association, 5.000%, 7/15/2022, Call 7/15/2019	75,000	75,934
Illinois — 15.1%
Chicago Board of Education, 2.190%, 3/1/2034, Call 3/1/2019 (5)(7)	3,000,000	3,000,000
Chicago Housing Authority, HUD SEC 8, 5.000%, 1/1/2023	1,000,000	1,108,410
Chicago O’Hare International Airport:
5.000%, 1/1/2022	100,000	108,798
5.000%, 1/1/2022	200,000	217,596
Chicago Park District:
5.000%, 1/1/2022	250,000	265,950
5.000%, 1/1/2022	500,000	531,900
Chicago Transit Authority, 5.000%, 6/1/2021	750,000	795,728
City of Chicago Wastewater Transmission Revenue:
5.000%, 1/1/2021	840,000	883,369
5.000%, 1/1/2022	500,000	538,965
City of Chicago Waterworks Revenue, 5.000%, 11/1/2021	1,000,000	1,074,310
City of Waukegan, 5.000%, 12/30/2020	250,000	263,855
Cook County Community Unit School District No 401 Elmwood Park, 2.375%, 12/1/2028, Call 3/12/2019 (7)	1,000,000	1,018,920
Cook County Township High School District No. 201 J Sterling Morton, AMBAC, 0.000%, 12/1/2019	100,000	98,333
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019	1,000,000	1,024,720
County of Cook:
5.000%, 11/15/2020, Call 11/15/2019	250,000	255,143

5.000%, 11/15/2021	720,000	772,294
Illinois Finance Authority:
3.106%, (LIBOR 1 Month), 5/1/2021, Call 11/1/2020 (7)	1,000,000	1,003,430
5.000%, 1/1/2021	200,000	209,628
5.000%, 11/15/2021	400,000	432,660
5.000%, 1/1/2022	150,000	160,836
5.000%, 7/15/2022	750,000	828,502
5.000%, 11/15/2022	555,000	615,795
5.000%, 12/1/2022	290,000	310,935
Illinois Housing Development Authority, AGM, 4.400%, 9/1/2020, Call 4/1/2019	65,000	65,116
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023	1,000,000	1,110,750
Lake County Forest Preserve District, 2.348%, (LIBOR 3 Month), 12/15/2020 (7)	140,000	140,199
Marion-Clinton Etc Counties High School District No. 200-Centralia, BAM, 3.000%, 12/1/2019	185,000	184,950
Metropolitan Pier & Exposition Authority, NATL-RE, 0.000%, 6/15/2020	30,000	29,030
Quad Cities Regional Economic Development Authority, 4.000%, 10/1/2019	400,000	404,040
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2023	1,000,000	1,117,210
Sales Tax Securitization Corp., 5.000%, 1/1/2023	1,000,000	1,090,620
State of Illinois:
5.000%, 4/1/2020	100,000	102,655
5.000%, 8/1/2020	900,000	930,420
5.000%, 2/1/2021	240,000	250,104
5.000%, 11/1/2022	2,000,000	2,139,300
Town of Cicero, AGM, 5.000%, 1/1/2020	500,000	512,325
Village of Bolingbrook, AGM:
4.000%, 3/1/2022	630,000	664,669
4.000%, 3/1/2023	510,000	545,256
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019	1,110,000	1,116,149
Will County Community High School District No. 210 Lincoln-Way, 4.000%, 1/1/2022, Call 4/1/2019	1,000,000	1,000,300
		26,923,170
Indiana — 2.2%
City of Whiting, 1.850%, 10/1/2019 (7)	1,000,000	999,090
Indiana Finance Authority:
5.000%, 5/1/2020	100,000	103,603
5.000%, 8/15/2020	250,000	256,290
5.250%, 10/1/2022, Call 10/1/2021	150,000	163,323
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.950%, 7/1/2047, Call 2/28/2019 (7)	2,000,000	2,000,000
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2020	100,000	103,922
Jasper Hospital Authority, 5.000%, 11/1/2020	250,000	262,837
		3,889,065
Kansas — 0.4%
Bourbon County Unified School District No. 234-Fort Scott, 5.000%, 9/1/2020	420,000	440,139
Kansas Development Finance Authority, AMBAC, 0.000%, 7/1/2019	100,000	99,431
Kansas Development Finance Authority, BAM TCRs, 5.000%, 12/1/2019	200,000	203,818
		743,388
Kentucky — 2.8%
Kentucky Asset Liability Commission, 5.000%, 9/1/2023	500,000	564,325
Kentucky Berea Collage Educational Facilities Authority, 1.400%, 6/1/2029, Call 03/21/2019 (7)	900,000	900,000
Kentucky Interlocal School Transportation Association, 2.000%, 3/1/2019	495,000	495,000
Kentucky Public Energy Authority, 4.000%, 7/1/2023	750,000	797,040
Kentucky Rural Water Finance Corp., 2.250%, 3/1/2020, Call 9/1/2019	1,200,000	1,201,932
Louisville/Jefferson County Metropolitan Government, 5.000%, 10/1/2020	550,000	575,800
Tender Option Bond Trust Receipts/Certificates, 1.940%, 4/1/2032, Call 4/1/2027 (5)(7)	500,000	500,000
		5,034,097
Louisiana — 0.3%
Evangeline Parish Road & Drain Sales Tax District No. 1, AGM, 5.000%, 12/1/2020	400,000	421,556
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	5,000	4,624

Louisiana Public Facilities Authority, AMBAC, 3.366%, 9/1/2027, Call 3/5/2019 (7)(11)	50,000	50,000
State of Louisiana, 5.000%, 11/15/2020, Call 5/15/2020	110,000	114,201
		590,381
Maine — 0.1%
City of Portland General Airport Revenue:
4.000%, 7/1/2019	130,000	130,855
4.000%, 7/1/2020	110,000	112,882
		243,737
Maryland — 0.7%
City of Baltimore:
3.603%, 7/1/2037, Call 3/6/2019 (7)(11)	25,000	24,876
5.000%, 9/1/2022	500,000	542,940
City of Baltimore, NATL-RE, 3.705%, 7/1/2020 (7)(11)	50,000	50,000
City of Rockville, 5.000%, 11/1/2022	500,000	535,280
Maryland Community Development Administration, GNMA/FNMA/FHLMC, 4.500%, 3/1/2027, Call 3/1/2021	15,000	15,380
		1,168,476
Massachusetts — 1.8%
Commonwealth of Massachusetts, 1.700%, 8/1/2022 (7)	1,000,000	995,040
Massachusetts Development Finance Agency:
4.000%, 4/15/2020	225,000	226,836
5.000%, 7/1/2021	280,000	297,492
5.000%, 7/1/2022	315,000	342,707
5.000%, 7/1/2024	260,000	294,798
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 5.000%, 1/1/2023, Call 1/1/2023 (7)	1,000,000	1,115,840
		3,272,713
Michigan — 1.9%
City of Wyandotte Electric System Revenue, BAM, 5.000%, 10/1/2019	250,000	253,728
Great Lakes Water Authority Water Supply System Revenue, 5.000%, 7/1/2023	800,000	902,424
Grosse Ile Township School District, Q-SBLF, 5.000%, 5/1/2020	595,000	617,485
Lake St. Claire Clean Water Initiative, County Guarantee, 5.000%, 10/1/2020	150,000	157,899
Marquette Board of Light & Power, 5.000%, 7/1/2020	150,000	156,273
Michigan State Hospital Finance Authority, 5.000%, 11/15/2020, Call 11/15/2019	520,000	532,012
Muskegon Public Schools, Q-SBLF, 4.250%, 5/1/2021, Call 5/1/2019	200,000	200,778
State of Michigan, 5.500%, 11/1/2021, Call 5/1/2019	300,000	301,872
Taylor Tax Increment Finance Authority, AGM, 4.000%, 5/1/2021, Call 4/1/2019	270,000	270,467
		3,392,938
Minnesota — 0.3%
Housing & Redevelopment Authority of The City of St. Paul, 5.000%, 11/15/2021	500,000	540,690
Mississippi — 0.9%
Mississippi Development Bank, 5.000%, 8/1/2019	155,000	157,082
Southwest Mississippi Regional Medical Center, 2.100%, 6/1/2019, Call 4/1/2019	500,000	499,700
State of Mississippi, 5.000%, 10/15/2024	750,000	865,755
		1,522,537
Missouri — 2.1%
Health & Educational Facilities Authority of the State of Missouri:
2.875%, 2/1/2034, Call 4/1/2020	600,000	601,062
5.000%, 2/1/2022	250,000	265,240
5.000%, 2/1/2024, Call 2/1/2021	250,000	259,125
Missouri Housing Development Commission, GNMA/FNMA/FHLMC, 4.700%, 3/1/2035, Call 9/1/2019	200,000	202,024
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 2.503%, 12/1/2022, Call 2/28/2019 (7)(11)	805,000	805,000
Southeast Missouri State University, 5.000%, 4/1/2019	1,000,000	1,002,390
St. Louis Municipal Finance Corp., 5.000%, 2/15/2021	500,000	529,980
		3,664,821
Nebraska — 0.6%
Central Plains Energy Project, 5.000%, 1/1/2024, Call 10/1/2023 (7)	1,000,000	1,095,850
Nevada — 0.9%

City of Carson City, 5.000%, 9/1/2022	500,000	544,655
City of North Las Vegas NV, AGM, 5.000%, 6/1/2023	1,000,000	1,119,370
		1,664,025
New Jersey — 2.9%
Lyndhurst Township School District, School Bond Gty, 3.000%, 9/13/2019	1,000,000	1,005,810
New Jersey Economic Development Authority, 5.000%, 11/1/2021	400,000	428,220
New Jersey Health Care Facilities Financing Authority, 5.000%, 7/1/2022	790,000	871,781
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019	300,000	306,306
New Jersey Transportation Trust Fund Authority:
2.740%, (SIFMA Municipal Swap Index Yield), 12/15/2019, Call 6/15/2019 (7)	475,000	475,579
4.000%, 12/15/2019	75,000	76,231
5.000%, 6/15/2019	150,000	151,340
5.000%, 12/15/2023	250,000	277,765
New Jersey Transportation Trust Fund Authority, AGM, 5.250%, 12/15/2019	250,000	256,610
New Jersey Transportation Trust Fund Authority, NATL-RE:
5.500%, 12/15/2019	135,000	138,776
5.500%, 12/15/2020	10,000	10,596
Tobacco Settlement Financing Corp., 5.000%, 6/1/2022	1,000,000	1,083,520
		5,082,534
New Mexico — 0.4%
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC, 5.300%, 9/1/2040, Call 9/1/2019	10,000	10,290
New Mexico Municipal Energy Acquisition Authority, 2.431%, (LIBOR 1 Month), 8/1/2019, Call 3/21/2019 (7)	650,000	650,136
		660,426
New York — 7.9%
BB&T Municipal Trust, 2.540%, (SIFMA Municipal Swap Index Yield), 11/15/2019 (5)(7)	5,287	5,288
County of Suffolk, 5.000%, 7/24/2019	1,250,000	1,264,475
Erie County Industrial Development Agency, SAW, 5.250%, 5/1/2025, Call 5/1/2019	400,000	402,412
Long Island Power Authority, 2.506%, (LIBOR 1 Month), 10/1/2023, Call 10/1/2022 (7)	1,000,000	1,003,430
Metropolitan Transportation Authority:
4.000%, 2/3/2020	850,000	866,073
5.000%, 11/15/2024 (7)	1,000,000	1,144,590
New York State Dormitory Authority:
5.000%, 12/15/2019	495,000	508,306
5.000%, 12/1/2022 (5)	600,000	656,232
New York State Dormitory Authority, NATL-RE, 4.802%, 7/1/2029, Call 3/4/2019 (7)(11)	525,000	525,000
New York State Energy Research & Development Authority, 2.000%, 5/1/2020 (7)	350,000	349,254
New York State Thruway Authority, 5.000%, 5/1/2019	1,000,000	1,005,210
Nuveen New York AMT-Free Quality Municipal Income Fund, 2.040%, 5/1/2047, Call 2/28/2019 (5)(7)	1,500,000	1,500,000
State of New York Mortgage Agency, 5.000%, 10/1/2019	600,000	611,100
Triborough Bridge & Tunnel Authority:
2.025%, (SOFR + 43 basis points), 9/26/2019 (7)	945,000	945,746
2.381%, (LIBOR 1 Month), 2/1/2021 (7)	990,000	998,742
TSASC, Inc., 5.000%, 6/1/2021	1,000,000	1,059,640
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020	1,155,000	1,192,919
		14,038,417
North Carolina — 0.5%
North Carolina Eastern Municipal Power Agency, FGIC, 3.144%, 1/1/2025 (7)(11)	600,000	546,804
North Carolina Medical Care Commission, 5.000%, 10/1/2022	350,000	377,699
		924,503
North Dakota — 0.2%
City of Williston, 5.000%, 5/1/2020	240,000	248,451
North Dakota Housing Finance Agency, 3.750%, 7/1/2042, Call 7/1/2022	80,000	81,963
		330,414
Ohio — 3.5%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	805,000	862,807
American Municipal Power, Inc., 2.300%, 2/15/2022, Call 8/15/2021 (7)	1,000,000	1,003,020

County of Hamilton:
4.000%, 1/1/2021	445,000	451,800
5.000%, 1/1/2022	465,000	486,902
County of Lorain, 3.000%, 2/7/2020	500,000	504,780
FHLMC Multifamily VRD Certificates, 1.990%, (SIFMA Municipal Swap Index Yield), 9/15/2033 (7)	1,345,000	1,345,000
Lancaster Port Authority, 2.301%, (LIBOR 1 Month), 8/1/2019, Call 3/21/2019 (7)	195,000	195,025
Ohio Housing Finance Agency, GNMA/FNMA/FHLMC, 4.000%, 5/1/2022, Call 5/1/2021	65,000	66,039
State of Ohio, 2.100%, 3/1/2019 (7)	1,000,000	1,000,000
University of Toledo, 5.000%, 6/1/2020	375,000	389,846
		6,305,219
Pennsylvania — 4.9%
Allegheny County Hospital Development Authority:
2.553%, (LIBOR 3 Month), 2/1/2021, Call 5/1/2019 (7)	55,000	55,261
5.375%, 8/15/2029, Call 8/15/2019	225,000	228,553
Berks County Industrial Development Authority, 5.000%, 11/1/2022	250,000	275,995
Berks County Municipal Authority, 3.240%, (SIFMA Municipal Swap Index Yield), 7/1/2022, Call 3/18/2019 (7)	350,000	355,222
City of Philadelphia, AGC:
5.125%, 8/1/2025, Call 8/1/2019	10,000	10,146
5.125%, 8/1/2025, Call 8/1/2019	90,000	91,221
Commonwealth Financing Authority, 5.000%, 6/1/2022	1,000,000	1,092,440
Commonwealth of Pennsylvania, 5.000%, 4/15/2020, Call 4/15/2019	600,000	602,394
Lancaster County Solid Waste Management Authority, 5.000%, 12/15/2020	200,000	210,834
Lancaster Industrial Development Authority, 5.000%, 5/1/2020	285,000	292,903
Montgomery County Higher Education & Health Authority, 1.970%, 9/1/2050, Call 3/1/2019 (7)	1,235,000	1,235,000
Montgomery County Industrial Development Authority:
4.000%, 12/1/2022	250,000	259,342
5.000%, 12/1/2023	320,000	346,954
North Penn Water Authority, 2.181%, (LIBOR 1 Month), 11/1/2019, Call 5/1/2019 (7)	800,000	800,112
Northampton County General Purpose Authority:
2.796%, (LIBOR 1 Month), 8/15/2024, Call 2/15/2023 (7)	1,000,000	1,004,300
3.140%, (SIFMA Municipal Swap Index Yield), 8/15/2020, Call 2/15/2020 (7)	150,000	151,114
Pennsylvania Economic Development Financing Authority:
2.125%, 5/1/2019 (7)	500,000	500,085
5.000%, 3/1/2020	200,000	205,882
Pennsylvania Turnpike Commission:
2.620%, (SIFMA Municipal Swap Index Yield), 12/1/2020, Call 6/1/2020 (7)	325,000	326,612
2.720%, (SIFMA Municipal Swap Index Yield), 12/1/2021, Call 6/1/2021 (7)	80,000	80,804
2.890%, (SIFMA Municipal Swap Index Yield), 12/1/2019, Call 6/1/2019 (7)	600,000	601,068
		8,726,242
South Carolina — 2.3%
Newberry Investing in Children’s Education, 5.000%, 12/1/2019	1,000,000	1,024,720
Patriots Energy Group Financing Agency, 2.541%, (LIBOR 1 Month), 2/1/2024, Call 11/1/2023 (7)	1,000,000	1,000,390
South Carolina Jobs-Economic Development Authority, 1.990%, 5/1/2048, Call 2/28/2019 (7)	500,000	500,000
Tender Option Bond Trust Receipts/Certificates, 1.990%, 1/1/2020 (5)(7)	1,500,000	1,500,000
		4,025,110
Tennessee — 1.8%
Clarksville Natural Gas Acquisition Corp., 5.000%, 12/15/2019	125,000	128,044
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 2.000%, 1/1/2021 (7)	1,000,000	1,002,470
Tennessee Energy Acquisition Corp.:
4.000%, 5/1/2023, Call 2/1/2023 (7)	1,000,000	1,047,390
5.000%, 2/1/2023	790,000	862,467
5.250%, 9/1/2020	10,000	10,412
5.250%, 9/1/2021	55,000	58,730
		3,109,513
Texas — 6.9%

Clifton Higher Education Finance Corp., PSF, 5.000%, 8/15/2020	160,000	167,374
County of Cameron, BAM, 5.000%, 2/15/2020	240,000	247,754
Crane County Water District, 3.000%, 2/15/2021	605,000	618,358
Eclipse Funding Trust, 1.730%, 4/1/2046, Call 4/1/2026 (5)(7)	200,000	200,000
Harris County Cultural Education Facilities Finance Corp., 2.570%, (SIFMA Municipal Swap Index Yield), 6/1/2021 (7)	350,000	352,639
Irving Hospital Authority, 5.000%, 10/15/2022	215,000	236,313
Lower Colorado River Authority, 5.000%, 5/15/2019	1,000,000	1,006,460
Mission Economic Development Corp., 2.150%, 4/1/2019 (7)	2,000,000	2,000,220
New Hope Cultural Education Facilities Finance Corp.:
3.375%, 8/15/2021 (5)	405,000	401,566
4.000%, 11/15/2021	615,000	625,639
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2020	250,000	254,618
North Texas Higher Education Authority, Inc., 3.700%, (LIBOR 3 Month), 7/1/2030 (7)	95,000	95,048
North Texas Tollway Authority:
2.410%, (SIFMA Municipal Swap Index Yield), 1/1/2020, Call 7/1/2019 (7)	350,000	349,843
5.000%, 1/1/2022	250,000	272,648
Northside Independent School District, PSF:
2.000%, 8/1/2019 (7)	1,000,000	1,001,000
2.125%, 8/1/2020, Call 8/1/2019 (7)	675,000	676,019
Panhandle-Plains Higher Education Authority, Inc., 4.047%, (LIBOR 3 Month), 4/1/2035 (7)	225,000	227,833
Tarrant County Cultural Education Facilities Finance Corp.:
5.000%, 5/15/2021	500,000	516,880
5.000%, 11/15/2022	1,000,000	1,087,130
Tender Option Bond Trust Receipts/Certificates, 1.940%, 7/1/2021 (5)(7)	1,500,000	1,500,000
Texas State University System, 5.000%, 3/15/2022	350,000	384,478
		12,221,820
Utah — 0.2%
Salt Lake City Corp., AMBAC, 2.783%, 5/15/2020, Call 2/28/2019 (7)(11)	400,000	400,000
Vermont — 0.1%
City of Burlington Airport Revenue, AGM, 5.000%, 7/1/2019	100,000	100,996
Virginia — 1.5%
FHLMC Multifamily VRD Certificates, 1.990%, (SIFMA Municipal Swap Index Yield), 6/15/2035, Call 10/15/2029 (7)	1,000,000	1,001,060
Henrico County Economic Development Authority, 5.000%, 10/1/2023	575,000	640,021
Henrico County Economic Development Authority, AGM, 4.365%, 8/23/2027, Call 2/28/2019 (7)(11)	1,100,000	1,100,000
		2,741,081
Washington — 1.0%
FYI Properties, 5.000%, 6/1/2020, Call 6/1/2019	360,000	362,981
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	15,000	15,084
State of Washington, 5.000%, 2/1/2022	1,000,000	1,095,570
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC, 5.000%, 10/1/2020	320,000	336,861
		1,810,496
West Virginia — 1.8%
West Virginia Hospital Finance Authority:
1.970%, 6/1/2033, Call 3/1/2019 (7)	2,000,000	2,000,000
5.000%, 1/1/2022	520,000	562,011
5.000%, 1/1/2023	555,000	613,441
		3,175,452
Wisconsin — 1.9%
Public Finance Authority:
3.500%, 11/15/2023, Call 5/15/2019 (5)	500,000	500,100
5.000%, 11/15/2021	610,000	646,069
5.000%, 11/15/2022	500,000	538,245
State of Wisconsin:
5.000%, 9/1/2020	175,000	183,656
5.000%, 3/1/2021	300,000	319,428
Wisconsin Health & Educational Facilities Authority:

3.000%, 8/15/2019	105,000		105,618
5.000%, 3/1/2020	200,000		203,780
5.000%, 8/15/2020	260,000		272,327
5.000%, 8/15/2022	200,000		221,570
5.000%, 8/15/2023	205,000		232,267
5.500%, 12/15/2020, Call 12/15/2019	80,000		82,326
			3,305,386
Total Municipals (identified cost $170,584,619)			171,083,420
Short-Term Investments — 1.0%
Mutual Funds — 0.1%
BMO Government Money Market Fund — Premier Class, 2.421% (4)	170,976		170,976
Short-Term Municipals — 0.9%
Florida — 0.6%
Jea Florida Electric System Revenue, 2.000%, 3/19/2019	1,000,000		1,000,000
Illinois — 0.3%
State of Illinois, 5.000%, 6/15/2019	600,000		604,449
Total Short-Term Investments (identified cost $1,775,425)			1,775,425
Total Investments — 97.2% (identified cost $172,360,044)			172,858,845
Other Assets and Liabilities — 2.8%			4,946,392
Total Net Assets — 100.0%		$	177,805,237

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

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 28, 2019 these securities amounted to:

Fund	Amount		% of Total Net Assets
Short Tax-Free Fund		12,565,614		7.07

(7) Denotes a variable rate security. The rate shown is the current interest rate as of February 28, 2019. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

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

Intermediate Tax-Free Fund

Description	Shares or Principal Amount		Value
Municipals — 97.9%
Alabama — 2.2%
Alabama Board of Education:
3.000%, 6/1/2021	$	305,000	$	311,744
4.000%, 7/1/2021		1,895,000		1,985,202
5.000%, 10/1/2020, Call 4/1/2019		230,000		230,575
Black Belt Energy Gas District, 2.581%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (7)		4,000,000		3,919,200
Butler County Board of Education, AGM, 4.000%, 7/1/2020		585,000		602,386
City of Birmingham, 4.000%, 3/1/2022 (10)		1,945,000		2,020,972
Health Care Authority for Baptist Health, 2.220%, 11/1/2042 (7)		8,175,000		8,175,000
Mobile County Board of School Commissioners, 5.000%, 3/1/2027, Call 3/1/2026		4,015,000		4,585,170
Southeast Alabama Gas Supply District, 2.531%, (LIBOR 1 Month), 6/1/2024, Call 3/1/2024 (7)		7,000,000		6,905,640
Special Care Facilities Financing Authority of the City of Pell City Alabama, 5.000%, 12/1/2025, Call 12/1/2021		4,000,000		4,300,640
UAB Medicine Finance Authority:
5.000%, 9/1/2036, Call 3/1/2027		2,340,000		2,655,151
5.000%, 9/1/2037, Call 3/1/2027		2,030,000		2,293,169
5.000%, 9/1/2041, Call 3/1/2027		1,020,000		1,136,790
				39,121,639
Alaska — 0.5%
Alaska Housing Finance Corp.:
5.000%, 12/1/2027, Call 6/1/2022		1,065,000		1,174,301
5.000%, 12/1/2027, Call 6/1/2022		310,000		337,943
5.000%, 12/1/2028, Call 12/1/2024		2,500,000		2,869,500
5.000%, 6/1/2029, Call 12/1/2024		1,000,000		1,143,740
Borough of Matanuska-Susitna:
5.000%, 11/1/2022		500,000		557,605
5.000%, 4/1/2031, Call 4/1/2021		150,000		160,398
Borough of North Slope, 5.000%, 6/30/2024, Call 6/1/2021		1,020,000		1,096,041
City of Anchorage Electric Revenue, NATL-RE, 5.000%, 12/1/2024, Call 4/1/2019		305,000		305,741
City of Valdez, 5.000%, 1/1/2021		1,190,000		1,256,057
				8,901,326
Arizona — 2.5%
Arizona Department of Transportation State Highway Fund Revenue, 5.250%, 7/1/2029, Call 7/1/2021		3,000,000		3,245,280
Arizona Health Facilities Authority:
3.590%, (SIFMA Municipal Swap Index Yield), 2/5/2020, Call 8/9/2019 (7)		4,500,000		4,529,700
5.000%, 2/1/2022		1,000,000		1,082,500
Arizona Industrial Development Authority:
5.000%, 3/1/2037, Call 9/1/2027 (5)		1,250,000		1,270,225
5.000%, 3/1/2042, Call 9/1/2027 (5)		1,000,000		1,004,120
5.750%, 7/15/2038, Call 7/15/2026 (5)		1,750,000		1,856,452
Arizona Transportation Board:
5.000%, 7/1/2022, Call 7/1/2020		1,260,000		1,316,423
5.000%, 7/1/2023, Call 7/1/2020		1,405,000		1,467,916
City of Goodyear Water & Sewer Revenue, 5.125%, 7/1/2025, Call 7/1/2020		345,000		359,690
City of Peoria Water & Wastewater Revenue, 4.000%, 7/1/2019		515,000		518,945
City of Phoenix Civic Improvement Corp.:
5.000%, 7/1/2019		615,000		621,568
5.000%, 7/1/2026, Call 7/1/2020		1,050,000		1,097,019
City of Phoenix Civic Improvement Corp., BHAC FGIC, 5.500%, 7/1/2027 (10)		500,000		620,620
City of Phoenix Civic Improvement Corp., NATL-RE:

5.500%, 7/1/2021 (10)	555,000	600,260
5.500%, 7/1/2036 (10)	530,000	684,140
City of Tucson, AGM, 5.000%, 7/1/2020	500,000	521,245
County of Pima Sewer System Revenue, 5.000%, 7/1/2027, Call 7/1/2022	1,450,000	1,593,680
Gilbert Public Facilities Municipal Property Corp., 5.500%, 7/1/2026, Call 7/1/2019	825,000	835,634
Glendale Industrial Development Authority, 5.000%, 5/15/2023, Call 5/15/2020	500,000	518,595
Greater Arizona Development Authority, BHAC NATL-RE, 5.000%, 8/1/2027, Call 4/1/2019	155,000	155,391
Industrial Development Authority of the City of Phoenix:
3.000%, 7/1/2020 (5)	290,000	288,428
5.000%, 7/1/2031, Call 7/1/2026 (5)	3,000,000	3,148,440
Industrial Development Authority of the County of Pima, 4.950%, 10/1/2020	2,000,000	2,087,180
La Paz County Industrial Development Authority:
5.000%, 2/15/2046, Call 2/15/2026 (5)	1,000,000	1,044,870
5.000%, 2/15/2048, Call 2/15/2028	1,185,000	1,249,452
Maricopa County Industrial Development Authority:
5.000%, 7/1/2036, Call 7/1/2026 (5)	1,225,000	1,267,422
5.000%, 7/1/2036, Call 7/1/2026	750,000	808,530
Maricopa County Unified School District No. 60 Higley, AGM:
5.000%, 7/1/2023	1,000,000	1,132,920
5.000%, 7/1/2024	575,000	666,321
Salt Verde Financial Corp., 5.250%, 12/1/2022	110,000	121,996
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	1,000,000	1,034,540
5.250%, 10/1/2024, Call 10/1/2019	5,000,000	5,104,550
Town of Marana, 5.000%, 7/1/2023	450,000	508,415
University Medical Center Corp., 5.000%, 7/1/2021	425,000	456,327
University of Arizona, 5.000%, 8/1/2026, Call 8/1/2021	455,000	487,624
		43,306,418
Arkansas — 1.3%
Arkansas Development Finance Authority:
2.210%, 9/1/2044, Call 3/1/2019 (7)	5,450,000	5,450,000
5.000%, 2/1/2020	255,000	262,081
5.000%, 2/1/2021	315,000	332,297
5.000%, 2/1/2022	150,000	162,111
Arkansas Development Finance Authority, GNMA/FNMA/FHLMC:
4.000%, 1/1/2025, Call 7/1/2021	190,000	197,235
4.000%, 7/1/2025, Call 7/1/2021	410,000	425,420
Arkansas State University:
4.000%, 3/1/2021	390,000	407,102
4.000%, 3/1/2022	1,140,000	1,207,157
4.000%, 3/1/2023	985,000	1,059,742
City of Fayetteville, 3.300%, 11/1/2023	1,985,000	2,098,165
City of Maumelle, 2.600%, 3/1/2030, Call 3/1/2022	605,000	607,335
City of Springdale Sales & Use Tax Revenue:
3.000%, 11/1/2021	1,000,000	1,029,430
5.000%, 11/1/2028, Call 11/1/2022	1,000,000	1,105,840
City of Stuttgart, AGM, 3.800%, 6/1/2042, Call 6/1/2020	685,000	685,240
Conway Health Facilities Board, 4.250%, 8/1/2021	605,000	615,412
County of Greene, AGM:
4.000%, 3/1/2019	840,000	840,000
4.000%, 3/1/2020, Call 4/1/2019	1,430,000	1,432,531
Henderson State University, BAM:
5.000%, 11/1/2022	905,000	1,000,785
5.000%, 11/1/2023, Call 11/1/2022	860,000	950,704
University of Arkansas:
5.000%, 12/1/2021	300,000	326,736
5.000%, 12/1/2022	520,000	582,400
5.000%, 12/1/2023, Call 12/1/2022	500,000	559,230
5.000%, 11/1/2030, Call 11/1/2024	1,000,000	1,144,400
		22,481,353
California — 6.1%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	515,000	538,968
Abag Finance Authority for Nonprofit Corps., CMI, 5.000%, 4/1/2020	1,000,000	1,039,030
ABC Unified School District, NATL-RE, 5.000%, 2/1/2021	1,250,000	1,326,625

Alvord Unified School District, AGM, 7.350%, 8/1/2046, Call 8/1/2036	1,150,000	1,132,980
Anaheim Public Financing Authority, 5.000%, 10/1/2030, Call 4/1/2019	225,000	225,621
Bay Area Toll Authority, 2.990%, (SIFMA Municipal Swap Index Yield), 4/1/2027, Call 10/1/2026 (7)	5,000,000	5,170,400
Bellevue Union School District, AGM:
0.000%, 8/1/2030	585,000	418,105
0.000%, 8/1/2031	615,000	411,767
Bonita Unified School District, 5.500%, 8/1/2035, Call 8/1/2021	940,000	1,030,475
Burbank Unified School District, 5.000%, 8/1/2031, Call 2/1/2025 (10)	1,325,000	1,206,320
California County Tobacco Securitization Agency, 4.000%, 6/1/2029, Call 4/1/2019	3,660,000	3,703,883
California Health Facilities Financing Authority:
5.000%, 7/1/2037, Call 7/1/2023	2,000,000	2,204,220
5.000%, 8/15/2042, Call 8/15/2027	1,000,000	1,104,790
California Health Facilities Financing Authority, NATL-RE, 3.360%, 7/1/2022, Call 2/28/2019 (7)(11)	1,300,000	1,300,000
California Infrastructure & Economic Development Bank, 2.115%, (LIBOR 1 Month), 8/1/2021, Call 2/1/2021 (7)	2,500,000	2,502,950
California Municipal Finance Authority, 5.000%, 2/1/2042, Call 2/1/2027	1,500,000	1,642,590
California State Public Works Board, 5.000%, 4/1/2037, Call 4/1/2022	1,000,000	1,081,420
California Statewide Communities Development Authority:
5.000%, 12/1/2031, Call 6/1/2026 (5)	1,000,000	1,093,020
5.000%, 12/1/2046, Call 6/1/2026 (5)	1,000,000	1,050,260
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2021	850,000	924,435
City of Fairfield, XLCA, 0.000%, 4/1/2022	1,205,000	1,135,387
City of Madera Water Revenue:
5.750%, 1/1/2026, Call 1/1/2020	1,550,000	1,604,421
6.500%, 1/1/2040, Call 1/1/2020	1,280,000	1,332,672
County of Los Angeles, AMBAC TCRs, 0.000%, 9/1/2020	600,000	585,324
County of San Joaquin, 5.000%, 4/1/2022	350,000	384,076
Delhi Unified School District, AMBAC, 0.000%, 8/1/2019	125,000	124,179
Duarte Unified School District, 5.125%, 8/1/2026 (10)	585,000	712,758
El Centro Financing Authority, AGM:
4.000%, 10/1/2021	460,000	487,508
5.000%, 10/1/2022	580,000	647,309
5.000%, 10/1/2023	800,000	914,720
Encinitas Union School District, 6.750%, 8/1/2035, Call 8/1/2032	500,000	587,400
Escondido Union High School District, 5.450%, 8/1/2032, Call 8/1/2025 (10)	1,250,000	1,339,963
Escondido Union High School District, AGC, 0.000%, 8/1/2031	480,000	328,925
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2033, Call 4/1/2027	1,000,000	1,155,320
Fresno Unified School District, 0.000%, 8/1/2034, Call 8/1/2021	1,045,000	407,059
Fresno Unified School District, NATL-RE, 6.000%, 8/1/2026	2,890,000	3,417,656
Golden State Tobacco Securitization Corp.:
5.000%, 6/1/2028, Call 6/1/2027	1,000,000	1,146,610
5.000%, 6/1/2029, Call 6/1/2027	1,000,000	1,137,210
Hacienda La Puente Unified School District, AGM:
5.000%, 6/1/2022	400,000	443,088
5.000%, 6/1/2023	400,000	454,724
5.000%, 6/1/2024	775,000	901,116
5.000%, 6/1/2025	425,000	502,665
Imperial Community College District, AGC, 0.000%, 8/1/2028	330,000	254,136
Imperial County Local Transportation Authority, 5.000%, 6/1/2032, Call 6/1/2022	2,000,000	2,173,080
Jefferson School District/San Joaquin County, 0.000%, 8/1/2029, Call 8/1/2024	170,000	116,833
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020	375,000	392,940
Lakeside Union School District/Kern County, AGC, 0.000%, 9/1/2027	295,000	236,858
Long Beach Bond Finance Authority:
5.000%, 11/1/2025, Call 11/1/2021	1,000,000	1,082,680
5.000%, 11/1/2030, Call 11/1/2021	1,750,000	1,884,277
Lynwood Unified School District, AGM:
5.000%, 8/1/2024, Call 8/1/2023	620,000	703,520
5.000%, 8/1/2025, Call 8/1/2023	760,000	858,595
McKinleyville Union School District, AGM, 7.050%, 8/1/2041, Call 8/1/2026 (10)	165,000	177,560
McKinleyville Union School District, BAM:
0.000%, 8/1/2036, Call 8/1/2021	1,200,000	532,608
0.000%, 8/1/2037, Call 8/1/2021	1,980,000	826,195

Mendocino-Lake Community College District, AGM, 5.600%, 8/1/2031, Call 8/1/2026 (10)	300,000	364,131
Midpeninsula Regional Open Space District, 5.000%, 9/1/2029, Call 9/1/2022	2,000,000	2,245,240
Modesto Irrigation District, 5.000%, 7/1/2021	500,000	541,065
Mount Diablo Unified School District, AGM, 5.750%, 8/1/2035, Call 8/1/2025	2,125,000	2,089,512
Murrieta Valley Unified School District, NATL-RE, 0.000%, 9/1/2020	500,000	486,980
Norman Y Mineta San Jose International Airport SJC:
5.000%, 3/1/2041, Call 3/1/2027 (12)	1,000,000	1,112,650
5.000%, 3/1/2042, Call 3/1/2027	1,665,000	1,883,664
Northern California Gas Authority No. 1:
2.504%, (LIBOR 3 Month), 7/1/2019 (7)	1,575,000	1,575,126
2.594%, (LIBOR 3 Month), 7/1/2027 (7)	1,915,000	1,876,087
Northern California Power Agency:
5.000%, 7/1/2031, Call 7/1/2022	500,000	551,760
5.000%, 7/1/2032, Call 7/1/2022	700,000	771,743
Orchard School District, NATL-RE, 0.000%, 8/1/2023	590,000	540,293
Pasadena Public Financing Authority, 0.000%, 3/1/2029	2,000,000	1,531,560
Roseville Joint Union High School District, 0.000%, 8/1/2022	305,000	286,246
Sacramento Redevelopment Agency Successor Agency, BAM:
5.000%, 12/1/2027, Call 12/1/2025	235,000	276,957
5.000%, 12/1/2028, Call 12/1/2025	425,000	499,422
5.000%, 12/1/2030, Call 12/1/2025	1,000,000	1,165,560
5.000%, 12/1/2031, Call 12/1/2025	2,000,000	2,323,000
San Francisco City & County Airport Comm-San Francisco International Airport:
5.000%, 5/1/2024, Call 5/1/2021	745,000	800,793
5.000%, 5/1/2024, Call 5/1/2021	295,000	316,154
5.000%, 5/1/2044, Call 5/1/2029 (9)	5,500,000	6,246,130
San Jose Financing Authority, 5.000%, 6/1/2039, Call 6/1/2023	1,435,000	1,597,643
San Jose Unified School District, NATL-RE, 0.000%, 8/1/2027	1,495,000	1,225,765
San Miguel Joint Union School District, AGM:
0.000%, 6/15/2020	415,000	405,721
0.000%, 6/15/2021	490,000	470,630
0.000%, 6/15/2022	505,000	473,877
Santa Ana Unified School District, 0.000%, 8/1/2021	500,000	478,450
Santa Barbara County College School District:
0.000%, 8/1/2027	365,000	295,073
0.000%, 8/1/2031	470,000	320,897
State of California:
5.250%, 9/1/2025, Call 9/1/2021	2,045,000	2,224,081
6.000%, 3/1/2033, Call 3/1/2020	1,550,000	1,617,146
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 4/1/2019 (7)	1,365,000	1,366,624
Vallejo City Unified School District, NATL-RE, 5.900%, 8/1/2025	1,225,000	1,421,637
Walnut Creek Elementary School District Contra Costa County, 0.000%, 9/1/2023	1,560,000	1,429,054
Watereuse Finance Authority, BAM TCRs, 5.500%, 5/1/2036, Call 5/1/2024	2,635,000	3,049,485
West Contra Costa Unified School District, AGM NATL-RE FGIC, 0.000%, 8/1/2025	310,000	270,946
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021	2,000,000	2,140,580
Westminster School District, BAM, 0.000%, 8/1/2048, Call 8/1/2023	7,045,000	1,142,981
Whittier Union High School District, 0.000%, 8/1/2034, Call 8/1/2019	500,000	192,385
Windsor Unified School District, AGM:
0.000%, 8/1/2020	105,000	102,489
0.000%, 8/1/2023	240,000	219,874
0.000%, 8/1/2024, Call 8/1/2023	330,000	288,004
0.000%, 8/1/2025, Call 8/1/2023	270,000	223,798
0.000%, 8/1/2026, Call 8/1/2023	330,000	258,997
0.000%, 8/1/2028, Call 8/1/2023	420,000	295,218
		107,092,659
Colorado — 4.1%
Adams & Arapahoe Joint School District 28J Aurora, SAW, 5.000%, 12/1/2031, Call 12/1/2026	5,000,000	5,893,150
Adams County School District No. 14, SAW:
5.000%, 12/1/2024	500,000	583,580
5.000%, 12/1/2026, Call 12/1/2024	355,000	416,451
5.000%, 12/1/2027, Call 12/1/2024	500,000	585,360
Arkansas River Power Authority, 5.000%, 10/1/2043, Call 10/1/2028	2,250,000	2,405,295

City & County of Denver, 5.000%, 8/1/2041, Call 8/1/2026	8,000,000	9,020,320
City & County of Denver Airport System Revenue:
5.000%, 11/15/2021	500,000	543,995
5.000%, 11/15/2029, Call 11/15/2027	4,945,000	5,831,540
5.000%, 11/15/2030, Call 11/15/2027	5,010,000	5,862,351
5.000%, 12/1/2048, Call 12/1/2028	3,000,000	3,360,480
Colorado Educational & Cultural Facilities Authority:
4.000%, 12/15/2025	535,000	551,895
5.000%, 9/1/2020 (10)	1,060,000	1,109,057
5.000%, 9/1/2021 (10)	865,000	930,212
5.000%, 10/1/2030, Call 10/1/2025	1,250,000	1,377,625
Colorado Health Facilities Authority:
3.125%, 5/15/2027, Call 5/15/2020	250,000	247,938
4.500%, 2/1/2020	455,000	463,195
5.000%, 9/1/2019	560,000	568,618
5.000%, 2/1/2021	475,000	493,354
5.000%, 9/1/2022	750,000	826,523
5.000%, 12/1/2023	215,000	241,174
5.000%, 2/1/2024	420,000	454,549
5.000%, 6/1/2047, Call 6/1/2027	1,000,000	1,072,220
5.250%, 1/1/2025, Call 1/1/2020	460,000	472,848
5.250%, 5/15/2037, Call 5/15/2027	1,000,000	1,076,430
Commerce City Northern Infrastructure General Improvement District, AGM:
5.000%, 12/1/2020	785,000	830,506
5.000%, 12/1/2021	725,000	788,184
5.000%, 12/1/2022	1,185,000	1,321,725
County of Boulder, 5.000%, 12/1/2025, Call 12/1/2020	475,000	500,512
Denver City & County School District No. 1, SAW, 5.000%, 12/1/2032, Call 12/1/2022	1,500,000	1,682,145
Denver Convention Center Hotel Authority:
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,114,190
5.000%, 12/1/2034, Call 12/1/2026	1,000,000	1,110,930
Denver Health & Hospital Authority, 5.500%, 12/1/2019	615,000	629,366
JPMorgan Chase Putters/Drivers Trust, 1.750%, 6/1/2021, Call 4/1/2019 (5)(7)	5,000,000	5,000,000
Park Creek Metropolitan District, 5.000%, 12/1/2030, Call 12/1/2025	1,895,000	2,146,770
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021	2,000,000	2,170,820
Tender Option Bond Trust Receipts/Certificates, 2.040%, 12/1/2043, Call 12/1/2028 (5)(7)	9,190,000	9,190,000
Weld County School District No. RE-7 Platte Valley, SAW, 4.000%, 12/1/2023, Call 12/1/2020	1,140,000	1,184,973
		72,058,281
Connecticut — 0.9%
City of New Haven, AGM:
5.000%, 8/1/2023	295,000	335,905
5.000%, 8/1/2023	1,765,000	1,989,190
Connecticut Housing Finance Authority, 3.600%, 11/15/2030, Call 11/15/2024	305,000	305,973
Connecticut State Health & Educational Facilities Authority, 5.000%, 7/1/2029, Call 7/1/2028	1,000,000	1,196,210
State of Connecticut:
5.000%, 3/15/2027, Call 3/15/2026	2,155,000	2,469,501
5.000%, 4/15/2034, Call 4/15/2027	3,000,000	3,333,870
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026	2,000,000	2,224,820
5.000%, 1/15/2033, Call 1/15/2027	4,000,000	4,469,960
		16,325,429
Delaware — 0.4%
City of Wilmington, 5.000%, 10/1/2025, Call 10/1/2023	3,715,000	4,228,413
Delaware State Economic Development Authority:
5.000%, 6/1/2036, Call 6/1/2026	500,000	502,675
5.000%, 6/1/2046, Call 6/1/2026	1,000,000	980,960
Delaware State Housing Authority, GNMA/FNMA/FHLMC, 5.000%, 1/1/2026, Call 7/1/2019	190,000	191,796
Sustainable Energy Utility, Inc., 5.000%, 9/15/2034, Call 9/15/2021	1,580,000	1,693,602
		7,597,446

District of Columbia — 0.4%
District of Columbia:
5.000%, 10/1/2025, Call 10/1/2021	1,865,000	1,991,186
5.000%, 6/1/2036, Call 6/1/2026	2,500,000	2,698,150
5.000%, 12/1/2036, Call 12/1/2021	500,000	536,750
Washington Convention & Sports Authority, 5.000%, 10/1/2030, Call 10/1/2027	1,500,000	1,778,670
		7,004,756
Florida — 4.8%
Atlantic Beach Florida Health Care Facilities Revenue:
5.000%, 11/15/2043, Call 11/15/2025	1,085,000	1,157,901
5.000%, 11/15/2048, Call 11/15/2025	1,750,000	1,860,407
Central Florida Expressway Authority, 4.000%, 7/1/2041, Call 7/1/2027	4,000,000	4,114,160
Citizens Property Insurance Corp., 5.000%, 6/1/2019	2,615,000	2,635,502
City of Boynton Beach Utility System Revenue, AGM, 5.000%, 11/1/2027, Call 11/1/2021	1,000,000	1,081,330
City of Gulf Breeze, 5.000%, 12/1/2023, Call 12/1/2020	2,000,000	2,109,180
City of Lakeland Department of Electric Utilities, AGM, 5.250%, 10/1/2028	1,250,000	1,572,138
City of North Port, BAM, 5.000%, 7/1/2022	200,000	219,548
City of Orlando, AGM, 5.000%, 11/1/2035, Call 11/1/2027	2,270,000	2,585,258
City of Sunrise, NATL-RE:
0.000%, 10/1/2019	905,000	896,384
0.000%, 10/1/2020	975,000	948,012
0.000%, 10/1/2021	175,000	166,682
City of Sunrise Utility System Revenue, 4.000%, 10/1/2019	540,000	547,290
City of Tallahassee:
5.000%, 12/1/2026, Call 12/1/2025	450,000	516,546
5.000%, 12/1/2027, Call 12/1/2025	400,000	456,576
City of Tampa, 5.250%, 11/15/2026, Call 5/15/2020	2,000,000	2,085,680
City of Tampa, AMBAC, 0.000%, 4/1/2021	460,000	441,352
Columbia County School Board, BAM, 5.000%, 7/1/2026, Call 7/1/2025	495,000	577,759
County of Broward, AGM, 5.000%, 4/1/2033, Call 4/1/2023	740,000	801,472
County of Broward Airport System Revenue:
5.000%, 10/1/2026, Call 10/1/2025 (12)	750,000	866,370
5.000%, 10/1/2031, Call 10/1/2025 (12)	1,000,000	1,128,580
County of Lee County Water & Sewer Revenue, 5.000%, 10/1/2029, Call 10/1/2022	2,000,000	2,206,440
County of Miami-Dade, AGC, 0.000%, 10/1/2021	610,000	581,763
County of Miami-Dade Aviation Revenue:
5.000%, 10/1/2025, Call 10/1/2024	800,000	922,792
5.500%, 10/1/2026, Call 10/1/2020	450,000	477,036
5.500%, 10/1/2026, Call 10/1/2020	1,450,000	1,537,116
County of Miami-Dade Aviation Revenue, AGC, 5.000%, 10/1/2029, Call 10/1/2019	400,000	407,796
County of Miami-Dade Water & Sewer System Revenue:
5.000%, 10/1/2033, Call 10/1/2025	2,000,000	2,292,020
5.250%, 10/1/2029, Call 10/1/2023	100,000	113,500
County of Orange Sales Tax Revenue, 5.000%, 1/1/2027, Call 1/1/2022	5,810,000	6,319,479
County of St. Johns, AGM:
5.000%, 10/1/2020	1,625,000	1,706,932
5.000%, 10/1/2021	1,110,000	1,197,546
Dupree Lakes Community Development District, BAM, 3.000%, 5/1/2019	190,000	190,321
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2032, Call 1/1/2025	1,445,000	1,641,563
Florida Housing Finance Corp., GNMA/FNMA/FHLMC:
4.450%, 1/1/2030, Call 7/1/2021	275,000	280,415
5.000%, 7/1/2028, Call 1/1/2020	45,000	45,399
Halifax Hospital Medical Center:
5.000%, 6/1/2026	1,525,000	1,767,780
5.000%, 6/1/2027, Call 6/1/2026	1,295,000	1,487,605
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,108,460
Lee County School Board, 5.000%, 8/1/2028, Call 8/1/2024	2,500,000	2,852,425
Miami-Dade County Educational Facilities Authority, 5.000%, 4/1/2031, Call 4/1/2025	2,000,000	2,255,740
Miami-Dade County Industrial Development Authority, 2.125%, 11/1/2019 (7)	4,400,000	4,400,396
Monroe County School District, 5.000%, 6/1/2034, Call 6/1/2027	1,000,000	1,157,360
Palm Beach County Health Facilities Authority:
5.000%, 5/15/2036, Call 5/15/2027	1,000,000	1,063,730
5.000%, 5/15/2037, Call 5/15/2027	1,000,000	1,059,380

5.000%, 11/15/2045, Call 11/15/2025	4,000,000	4,346,320
Polk County Housing Finance Authority, GNMA COLL, 5.000%, 9/1/2029, Call 8/1/2020	150,000	156,686
Sarasota County Health Facilities Authority:
5.000%, 1/1/2030, Call 1/1/2025	750,000	804,150
5.000%, 1/1/2031, Call 1/1/2025	935,000	999,833
5.000%, 1/1/2032, Call 1/1/2025	1,100,000	1,173,227
Sarasota County Public Hospital District, 5.000%, 7/1/2041, Call 7/1/2028	5,000,000	5,596,450
St. Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021	2,500,000	2,668,500
Sumter County Industrial Development Authority:
4.000%, 7/1/2019	1,000,000	1,006,970
5.000%, 7/1/2020	500,000	520,575
Town of Davie:
5.000%, 4/1/2019	75,000	75,182
5.000%, 4/1/2021	615,000	653,542
5.000%, 4/1/2022	830,000	905,854
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call 10/15/2021	730,000	791,320
		84,539,730
Georgia — 4.1%
Carroll City-County Hospital Authority, County Guarantee:
5.000%, 7/1/2023, Call 7/1/2020	1,185,000	1,236,476
5.000%, 7/1/2023, Call 7/1/2020	1,605,000	1,673,742
5.000%, 7/1/2024, Call 7/1/2020	695,000	725,191
5.000%, 7/1/2024, Call 7/1/2020	945,000	985,096
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024	1,000,000	1,124,010
5.000%, 1/1/2032, Call 1/1/2024	2,500,000	2,803,950
5.000%, 1/1/2033, Call 1/1/2024	1,000,000	1,119,640
5.000%, 1/1/2034, Call 1/1/2024	1,000,000	1,117,700
City of Atlanta Water & Wastewater Revenue:
5.000%, 11/1/2040, Call 11/1/2027	1,000,000	1,152,370
5.000%, 11/1/2043, Call 11/1/2027	3,000,000	3,437,220
City of Atlanta Water & Wastewater Revenue, NATL-RE, 5.500%, 11/1/2022	1,000,000	1,101,160
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021	3,000,000	3,162,870
Floyd County Development Authority, 1.800%, 9/1/2026, Call 2/28/2019 (7)	1,280,000	1,280,000
Floyd County Hospital Authority, County Guarantee:
5.000%, 7/1/2020	1,335,000	1,390,469
5.000%, 7/1/2021	1,155,000	1,235,838
5.000%, 7/1/2027, Call 7/1/2022	1,250,000	1,359,950
Fulton County Development Authority, 5.250%, 3/15/2024, Call 3/15/2019	1,120,000	1,121,266
Gainesville & Hall County Development Authority:
5.000%, 3/1/2027	750,000	811,043
5.000%, 3/1/2037, Call 3/1/2027	500,000	521,740
5.000%, 3/1/2047, Call 3/1/2027	3,000,000	3,097,710
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027	1,500,000	1,680,165
5.000%, 2/15/2037, Call 2/15/2027	2,000,000	2,230,780
5.000%, 2/15/2042, Call 2/15/2027	3,000,000	3,305,730
Heard County Development Authority, 1.790%, 9/1/2029, Call 2/28/2019 (7)	1,000,000	1,000,000
Jefferson City School District, SAW, 5.250%, 2/1/2029, Call 2/1/2021	1,350,000	1,441,436
Main Street Natural Gas, Inc.:
2.310%, (SIFMA Municipal Swap Index Yield), 12/1/2023, Call 9/1/2023 (7)	5,000,000	4,975,250
2.431%, (LIBOR 1 Month), 9/1/2023, Call 6/1/2023 (7)	7,000,000	6,940,220
2.511%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (7)	5,000,000	4,971,400
5.000%, 5/15/2030, Call 5/15/2029	2,750,000	3,140,060
5.000%, 5/15/2031, Call 5/15/2029	4,000,000	4,530,880
Private Colleges & Universities Authority, 5.000%, 10/1/2020	575,000	600,254
South Fulton Municipal Regional Water & Sewer Authority, BAM:
5.000%, 1/1/2023	800,000	890,472
5.000%, 1/1/2024	1,000,000	1,136,750
5.000%, 1/1/2025, Call 1/1/2024	700,000	802,809
South Regional Joint Development Authority, 5.250%, 8/1/2023	25,000	28,393
Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%, 10/1/2025, Call 10/1/2021	2,940,000	3,154,943

Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call 12/1/2021	1,000,000	1,075,160
		72,362,143
Guam — 0.1%
Territory of Guam:
5.000%, 12/1/2032, Call 12/1/2026	1,310,000	1,419,621
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,081,500
		2,501,121
Hawaii — 0.1%
City & County of Honolulu:
5.000%, 10/1/2022	500,000	558,395
5.000%, 10/1/2023	500,000	572,170
		1,130,565
Idaho — 0.1%
Canyon County School District No. 131 Nampa, School Bond Gty, 5.000%, 9/15/2023	1,000,000	1,137,970
Illinois — 17.1%
Bureau County Township High School District No. 502, BAM, 6.625%, 10/1/2043, Call 12/1/2023	3,400,000	4,152,658
Chicago Board of Education:
2.190%, 3/1/2034, Call 3/1/2019 (5)(7)	10,000,000	10,000,000
6.000%, 4/1/2046, Call 4/1/2027	1,500,000	1,718,595
Chicago Board of Education, NATL-RE:
0.000%, 12/1/2022	365,000	322,963
5.000%, 12/1/2019	70,000	71,151
5.250%, 12/1/2021	1,000,000	1,065,530
Chicago Housing Authority, HUD SEC 8:
5.000%, 1/1/2023	710,000	786,971
5.000%, 1/1/2037, Call 1/1/2028	2,500,000	2,817,525
Chicago Illinois Board Education, 5.000%, 4/1/2042, Call 4/1/2028	1,500,000	1,608,450
Chicago Illinois Board Education , 5.000%, 4/1/2046, Call 4/1/2028	1,250,000	1,336,450
Chicago O’Hare International Airport:
5.000%, 1/1/2026, Call 1/1/2025 (12)	1,500,000	1,696,215
5.000%, 1/1/2031, Call 1/1/2025 (12)	1,000,000	1,102,340
5.000%, 1/1/2037, Call 1/1/2029 (12)	1,200,000	1,361,664
5.000%, 1/1/2038, Call 1/1/2027	2,290,000	2,559,991
5.000%, 1/1/2038, Call 1/1/2029 (12)	4,250,000	4,802,797
5.000%, 1/1/2039, Call 1/1/2029 (12)	1,250,000	1,407,337
5.250%, 1/1/2030, Call 1/1/2020	2,595,000	2,661,224
Chicago O’Hare International Airport, AGC, 5.250%, 1/1/2026, Call 1/1/2020	775,000	795,809
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022	1,060,000	1,126,144
5.000%, 1/1/2025, Call 7/1/2020	230,000	237,013
5.000%, 1/1/2026, Call 1/1/2021	730,000	758,222
5.000%, 1/1/2028, Call 1/1/2024	2,500,000	2,713,575
5.000%, 1/1/2031, Call 1/1/2026	1,790,000	1,972,222
5.000%, 1/1/2040, Call 1/1/2026	1,000,000	1,074,600
Chicago Transit Authority, 5.000%, 12/1/2046, Call 12/1/2026	3,000,000	3,225,330
City of Chicago, 6.000%, 1/1/2038, Call 1/1/2027	10,000,000	11,253,100
City of Chicago Wastewater Transmission Revenue:
5.000%, 1/1/2031, Call 1/1/2025	3,715,000	4,116,109
5.000%, 1/1/2032, Call 1/1/2027	2,000,000	2,238,880
5.000%, 1/1/2035, Call 1/1/2027	3,310,000	3,648,116
5.000%, 1/1/2039, Call 1/1/2025	500,000	538,720
City of Chicago Waterworks Revenue:
5.000%, 11/1/2025	2,000,000	2,302,680
5.000%, 11/1/2027, Call 11/1/2026	2,500,000	2,885,075
5.000%, 11/1/2027, Call 11/1/2026	1,000,000	1,151,800
5.000%, 11/1/2028, Call 11/1/2026	1,000,000	1,144,520
5.000%, 11/1/2029, Call 11/1/2026	1,000,000	1,136,580
City of Chicago Waterworks Revenue, AGM, 5.000%, 11/1/2027, Call 4/1/2019	60,000	60,156
City of Springfield, 5.000%, 12/1/2022	905,000	990,495
City of Springfield Electric Revenue:

5.000%, 3/1/2028, Call 3/1/2025	1,000,000	1,136,030
5.000%, 3/1/2029, Call 3/1/2025	1,000,000	1,131,870
Cook County Community Consolidated School District No. 65 Evanston:
0.000%, 12/1/2027, Call 12/1/2024	300,000	222,936
0.000%, 12/1/2029, Call 12/1/2024	400,000	267,928
0.000%, 12/1/2030, Call 12/1/2024	1,130,000	719,448
0.000%, 12/1/2031, Call 12/1/2024	1,500,000	905,145
Cook County Community Unit School District No 401 Elmwood Park, 2.375%, 12/1/2028, Call 3/12/2019 (7)	5,000,000	5,094,600
Cook County School District No 63 East Maine, 5.000%, 12/1/2027	2,350,000	2,812,503
Cook County School District No. 103 Lyons, AGM, 0.000%, 12/1/2021	850,000	800,062
Cook County School District No. 124 Evergreen Park, BAM, 4.000%, 12/1/2020	450,000	466,574
Cook County School District No. 144 Prairie Hills, AGM:
0.000%, 12/1/2028	2,830,000	2,037,402
0.000%, 12/1/2029	2,580,000	1,771,686
Cook County School District No. 83 Mannheim, 5.625%, 6/1/2033	2,980,000	3,482,607
Cook County Township High School District No. 201 J Sterling Morton, AMBAC, 0.000%, 12/1/2019	675,000	663,748
Cook County Township High School District No. 220 Reavis, 6.000%, 12/1/2030, Call 12/1/2023	1,000,000	1,160,090
Cook County Township High School District No. 220 Reavis, BAM:
6.000%, 12/1/2031, Call 12/1/2023	2,035,000	2,370,714
6.000%, 12/1/2032, Call 12/1/2023	2,160,000	2,502,641
6.000%, 6/1/2033, Call 12/1/2023	2,235,000	2,589,538
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026	3,270,000	3,661,517
5.000%, 11/15/2030, Call 11/15/2026	2,750,000	3,069,330
5.250%, 11/15/2023, Call 11/15/2020	350,000	367,196
County of Cook, BAM TCRs, 5.000%, 11/15/2023	1,000,000	1,126,000
County of Cook Sales Tax Revenue:
5.250%, 11/15/2035, Call 11/15/2027	1,520,000	1,759,066
5.250%, 11/15/2036, Call 11/15/2027	3,000,000	3,456,480
County of St. Clair:
5.250%, 10/1/2024, Call 10/1/2019	485,000	495,001
5.250%, 10/1/2024, Call 10/1/2019	215,000	219,334
5.250%, 10/1/2027, Call 10/1/2019	835,000	852,218
5.250%, 10/1/2027, Call 10/1/2019	315,000	321,350
County of St. Clair Highway Revenue, 5.500%, 1/1/2038, Call 1/1/2023	825,000	924,371
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2020	600,000	589,602
DeKalb County Community Unit School District No. 428 DeKalb:
0.000%, 1/1/2025, Call 7/1/2020	400,000	303,484
0.000%, 1/1/2028, Call 7/1/2020	1,000,000	627,260
DeKalb Kane & LaSalle Counties Community College District No. 523 Kishwaukee, 0.000%, 2/1/2035, Call 2/1/2021	470,000	172,194
DuPage County School District No. 16 Queen Bee, NATL-RE FGIC, 0.000%, 11/1/2019	530,000	521,944
Frankfort Square Park District, AMBAC, 0.000%, 1/1/2022	670,000	606,410
Illinois Development Finance Authority, AGM:
0.000%, 1/1/2020	450,000	443,507
0.000%, 1/1/2020	500,000	491,415
0.000%, 1/1/2021	95,000	91,894
0.000%, 1/1/2021	160,000	154,234
Illinois Finance Authority:
5.000%, 11/15/2023, Call 11/15/2022	215,000	237,738
5.000%, 8/15/2024	250,000	281,615
5.000%, 5/15/2025	1,000,000	1,068,500
5.000%, 11/15/2026, Call 11/15/2025	1,000,000	1,159,980
5.000%, 11/15/2027, Call 11/15/2025	500,000	576,025
5.000%, 11/1/2029, Call 11/1/2026	2,000,000	2,260,000
5.000%, 5/15/2030, Call 5/15/2025	1,000,000	1,031,630
5.000%, 1/1/2036, Call 1/1/2027	2,000,000	2,204,600
5.000%, 12/1/2037, Call 12/1/2027	1,000,000	1,050,140
5.000%, 8/1/2042, Call 8/1/2027	580,000	622,265
5.000%, 5/15/2043, Call 11/15/2028	5,000,000	5,541,750

5.000%, 1/1/2044, Call 1/1/2028	5,000,000	5,406,000
5.000%, 8/1/2046, Call 8/1/2027	515,000	550,957
5.000%, 8/1/2047, Call 8/1/2027	750,000	802,222
5.000%, 12/1/2047, Call 12/1/2027	1,000,000	1,032,850
5.250%, 2/15/2030, Call 2/15/2020	250,000	258,423
6.000%, 10/1/2024, Call 10/1/2021	1,010,000	1,065,510
6.000%, 8/15/2041, Call 8/15/2021	2,665,000	2,894,456
6.875%, 10/1/2043, Call 10/1/2021	3,000,000	3,180,240
Illinois Finance Authority, AGC, 5.250%, 8/15/2019 (10)	250,000	254,025
Illinois Housing Development Authority, GNMA/FNMA/FHLMC, 2.450%, 6/1/2043, Call 1/1/2023	521,585	493,154
Illinois State Toll Highway Authority:
5.000%, 1/1/2026	2,180,000	2,580,553
5.000%, 1/1/2028, Call 1/1/2023	1,000,000	1,109,580
5.000%, 1/1/2029, Call 1/1/2023	1,000,000	1,106,080
5.000%, 1/1/2030, Call 1/1/2026	1,000,000	1,151,950
5.000%, 1/1/2031, Call 1/1/2029	500,000	596,015
5.000%, 12/1/2032, Call 1/1/2026	7,790,000	8,845,545
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-RE, 0.000%, 2/1/2023	5,450,000	4,970,509
Kane Cook & DuPage Counties School District No. U-46 Elgin, AMBAC:
0.000%, 1/1/2023	350,000	324,961
0.000%, 1/1/2023	650,000	592,670
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023	1,000,000	1,110,750
5.000%, 1/1/2024	1,000,000	1,131,340
5.000%, 1/1/2026, Call 1/1/2025	4,000,000	4,595,560
5.250%, 1/1/2033, Call 1/1/2023	900,000	1,001,943
Knox & Warren Counties Community Unit School District No. 205 Galesburg, 6.125%, 1/1/2036, Call 1/1/2021	1,435,000	1,529,796
Lake County School District No. 33 Emmons, XLCA:
0.000%, 12/1/2026	525,000	410,156
0.000%, 12/1/2028	335,000	237,056
Lake County School District No. 56 Gurnee, 5.000%, 1/1/2024	440,000	497,790
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, AGM FGIC, 0.000%, 1/1/2024	500,000	441,170
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL-RE:
0.000%, 1/1/2021	1,070,000	1,035,011
0.000%, 1/1/2021	830,000	794,899
McHenry County Community Unit School District No. 12 Johnsburg, AGM:
5.000%, 1/1/2020	550,000	562,914
5.000%, 1/1/2021	810,000	847,211
5.000%, 1/1/2022	895,000	958,133
Metropolitan Pier & Exposition Authority, NATL-RE:
0.000%, 6/15/2020	440,000	425,770
0.000%, 12/15/2023	20,000	18,202
0.000%, 12/15/2023	835,000	725,623
0.000%, 6/15/2024	1,000,000	854,910
5.700%, 6/15/2023	1,710,000	1,985,806
5.700%, 6/15/2023	1,820,000	2,043,223
Metropolitan Water Reclamation District of Greater Chicago, 5.000%, 12/1/2031, Call 12/1/2026	3,500,000	4,018,770
Railsplitter Tobacco Settlement Authority:
5.000%, 6/1/2027, Call 6/1/2026	2,000,000	2,323,140
5.250%, 6/1/2021	1,120,000	1,198,198
Sales Tax Securitization Corp.:
5.000%, 1/1/2029, Call 1/1/2028	1,000,000	1,155,700
5.000%, 1/1/2030, Call 1/1/2028	1,450,000	1,663,643
5.000%, 1/1/2031, Call 1/1/2028	2,000,000	2,279,740
5.250%, 1/1/2043, Call 1/1/2029	5,000,000	5,607,000
South Suburban College Community School District No. 510, AGC, 0.000%, 12/1/2025	1,000,000	837,300
Southern Illinois University, BAM, 5.000%, 4/1/2026, Call 4/1/2025	1,175,000	1,351,309
Southwestern Illinois Development Authority:

5.000%, 10/15/2029, Call 10/15/2025	1,780,000	1,995,006
5.000%, 10/15/2032, Call 10/15/2025	1,335,000	1,486,936
St. Clair County Community Unit School District No. 187 Cahokia, AGM, 5.000%, 1/1/2020	630,000	646,002
State of Illinois:
5.000%, 3/1/2020	500,000	512,265
5.000%, 8/1/2020	2,000,000	2,067,600
5.000%, 4/1/2024, Call 4/1/2023	500,000	530,450
5.000%, 11/1/2025	7,000,000	7,576,800
5.000%, 2/1/2027	5,000,000	5,426,350
5.000%, 10/1/2028	4,700,000	5,116,044
5.000%, 2/1/2029, Call 2/1/2027	1,000,000	1,072,110
5.000%, 6/15/2034, Call 6/15/2028	5,000,000	5,432,650
5.250%, 6/15/2034, Call 6/15/2019	3,715,000	3,752,782
6.500%, 6/15/2022	250,000	261,070
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023	3,205,000	3,461,881
Tazewell County School District No. 51 Washington Central, NATL-RE, 9.000%, 12/1/2025	165,000	227,057
Town of Cicero, AGM:
5.000%, 1/1/2020	1,000,000	1,024,650
5.000%, 1/1/2021	1,000,000	1,049,050
Village of Bolingbrook, AGM, 5.000%, 1/1/2025, Call 1/1/2020	1,425,000	1,455,509
Village of Elwood, AGC:
0.000%, 3/1/2024, Call 9/1/2019	250,000	193,718
0.000%, 3/1/2026, Call 9/1/2019	1,280,000	886,464
Village of Franklin Park, BAM:
4.000%, 10/1/2019	420,000	425,477
4.000%, 10/1/2020	615,000	635,719
5.000%, 10/1/2022, Call 10/1/2021	730,000	783,757
5.000%, 10/1/2023, Call 10/1/2021	685,000	734,724
5.000%, 10/1/2024, Call 10/1/2021	425,000	455,630
5.000%, 10/1/2025, Call 10/1/2021	920,000	986,304
Village of Justice, AMBAC, 0.000%, 1/1/2021	635,000	603,783
Will & Kankakee Counties School District No. 255:
5.000%, 6/1/2026, Call 6/1/2025	500,000	561,575
5.000%, 6/1/2029, Call 6/1/2025	600,000	665,196
Will County Community High School District No. 210 Lincoln-Way:
5.000%, 1/1/2027, Call 1/1/2023	1,250,000	1,307,225
5.000%, 1/1/2028, Call 1/1/2023	3,500,000	3,650,850
5.000%, 1/1/2030, Call 1/1/2023	2,000,000	2,071,700
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE:
0.000%, 11/1/2020	245,000	237,866
0.000%, 11/1/2020	1,755,000	1,690,539
0.000%, 11/1/2021	55,000	52,303
0.000%, 11/1/2021	245,000	230,129
0.000%, 11/1/2022	60,000	55,747
0.000%, 11/1/2022	190,000	173,898
Will County Community Unit School District No. 209-U Wilmington, NATL-RE, 5.750%, 1/1/2023, Call 3/28/2019	545,000	546,531
Will County School District No 114 Manhattan, NATL-RE, 0.000%, 12/1/2020	550,000	526,433
Will County School District No. 114 Manhattan, NATL-RE:
0.000%, 12/1/2020	630,000	610,747
0.000%, 12/1/2023	1,600,000	1,399,984
Will County Township High School District No. 204 Joliet, 6.250%, 1/1/2031, Call 1/1/2021	500,000	536,835
Will Grundy Counties Community College District No. 525, 5.250%, 6/1/2036, Call 12/1/2023	3,400,000	3,788,722
Winnebago & Boone Counties School District No. 205 Rockford:
0.000%, 2/1/2020	500,000	489,855
4.000%, 2/1/2027, Call 2/1/2023	4,680,000	4,953,406
		300,471,671
Indiana — 2.0%
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020	350,000	365,439
City of Rockport, 3.050%, 6/1/2025	2,100,000	2,133,117

Fishers Redevelopment District:
5.125%, 7/15/2026, Call 1/15/2020	1,875,000	1,932,263
5.250%, 7/15/2023, Call 1/15/2020	1,605,000	1,655,734
Frankfort High School Elementary School Building Corp., 5.000%, 7/15/2025	115,000	134,843
Franklin Township-Marion County Multiple School Building Corp., SAW:
5.000%, 7/10/2021	580,000	624,776
5.000%, 7/15/2029, Call 1/15/2023	2,565,000	2,829,631
Indiana Bond Bank, 2.400%, (SIFMA Municipal Swap Index Yield), 10/15/2022 (7)	1,650,000	1,645,281
Indiana Finance Authority:
2.100%, 3/1/2019 (7)	2,000,000	2,000,000
3.000%, 7/1/2019	250,000	251,020
5.000%, 8/15/2020	700,000	717,612
5.000%, 10/1/2022	300,000	327,708
5.000%, 10/1/2023	400,000	444,500
5.000%, 10/1/2024, Call 10/1/2023	275,000	305,921
5.000%, 5/1/2029, Call 5/1/2022	130,000	142,840
5.000%, 5/1/2029, Call 5/1/2022	3,940,000	4,280,258
5.000%, 11/15/2038, Call 11/15/2025	2,000,000	2,111,520
5.250%, 10/1/2024, Call 10/1/2021	710,000	771,933
5.250%, 10/1/2031, Call 10/1/2021	2,190,000	2,372,975
5.250%, 11/15/2046, Call 11/15/2026	2,500,000	2,651,275
5.500%, 5/1/2024, Call 5/1/2019	825,000	830,016
5.500%, 5/1/2024, Call 5/1/2019	175,000	176,064
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.950%, 7/1/2047, Call 2/28/2019 (7)	1,100,000	1,100,000
Indianapolis Local Public Improvement Bond Bank:
5.000%, 1/1/2021	175,000	185,526
5.000%, 1/1/2022, Call 1/1/2021	200,000	211,318
Indianapolis Local Public Improvement Bond Bank, NATL-RE, 5.250%, 7/1/2022	500,000	555,950
Marion High School Building Corp., SAW:
4.000%, 7/15/2019	455,000	458,836
4.000%, 7/15/2020, Call 1/15/2020	935,000	951,811
4.000%, 7/15/2021, Call 1/15/2020	375,000	381,686
Portage Redevelopment District:
5.000%, 1/15/2023	280,000	308,123
5.000%, 1/15/2024	215,000	240,895
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021	135,000	140,790
Steuben Lakes Regional Waste District, 5.000%, 9/1/2024, Call 9/1/2023	1,225,000	1,376,986
		34,616,647
Iowa — 0.5%
Iowa Finance Authority:
5.000%, 5/15/2036, Call 5/15/2026	4,000,000	4,228,120
5.000%, 5/15/2043, Call 5/15/2027	1,000,000	1,043,520
5.000%, 3/1/2048, Call 3/1/2024	1,250,000	1,263,125
Johnston Community School District, AGM, 5.000%, 7/1/2027, Call 7/1/2022	1,455,000	1,585,426
		8,120,191
Kansas — 0.2%
Kansas Development Finance Authority:
5.000%, 11/15/2020, Call 11/15/2019	35,000	35,772
5.000%, 11/15/2020, Call 11/15/2019	765,000	782,947
5.000%, 3/1/2031, Call 3/1/2020	1,000,000	1,028,710
Wyandotte County-Kansas City Unified Government Utility System Revenue, 5.000%, 9/1/2032, Call 9/1/2022	1,000,000	1,088,720
		2,936,149
Kentucky — 1.2%
Kentucky Asset Liability Commission:
5.000%, 9/1/2024	1,000,000	1,151,650
5.000%, 9/1/2025	1,250,000	1,465,025
Kentucky Berea Collage Educational Facilities Authority, 1.400%, 6/1/2029, Call 03/21/2019 (7)	2,720,000	2,720,000
Kentucky Economic Development Finance Authority:
2.100%, 3/1/2019 (7)	2,500,000	2,500,000
5.000%, 8/15/2041, Call 8/15/2027	3,500,000	3,810,625
Louisville/Jefferson County Metropolitan Government:

5.000%, 10/1/2030, Call 10/1/2026	1,300,000	1,480,492
5.000%, 10/1/2031, Call 10/1/2026	3,500,000	3,958,255
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019	100,000	100,259
Paducah Electric Plant Board, AGM:
5.000%, 10/1/2027, Call 10/1/2026	2,000,000	2,310,460
5.000%, 10/1/2028, Call 10/1/2026	1,850,000	2,125,521
		21,622,287
Louisiana — 1.3%
City of Bossier City Utilities Revenue, 5.000%, 10/1/2031, Call 10/1/2024	1,160,000	1,343,350
City of New Orleans Sewerage Service Revenue:
5.000%, 6/1/2021	0	0
5.000%, 6/1/2022	450,000	491,449
5.000%, 6/1/2023	0	0
5.000%, 6/1/2026, Call 6/1/2025	150,000	172,640
5.000%, 6/1/2027, Call 6/1/2025	200,000	228,938
5.000%, 6/1/2029, Call 6/1/2025	200,000	225,974
City of New Orleans Water System Revenue:
5.000%, 12/1/2021	500,000	538,135
5.000%, 12/1/2022	725,000	798,138
5.000%, 12/1/2024	0	0
5.000%, 12/1/2026, Call 12/1/2025	240,000	277,142
5.000%, 12/1/2029, Call 12/1/2025	0	0
City of Shreveport Water & Sewer Revenue, BAM, 4.000%, 12/1/2025, Call 12/1/2024	2,210,000	2,400,856
Lafayette Public Trust Financing Authority, AGM:
4.000%, 10/1/2020	690,000	713,681
4.000%, 10/1/2021	675,000	711,511
Louisiana Housing Corp., GNMA COLL, 4.750%, 6/1/2027, Call 6/1/2020	565,000	582,148
Louisiana Public Facilities Authority:
3.375%, 9/1/2028, Call 3/1/2021	2,440,000	2,447,710
5.000%, 5/15/2042, Call 5/15/2027	2,500,000	2,728,675
Louisiana Stadium & Exposition District, 5.000%, 7/1/2023	800,000	902,424
New Orleans Aviation Board, 5.000%, 1/1/2048, Call 1/1/2027	0	0
Parish of St. Bernard:
4.000%, 3/1/2020	3,470,000	3,543,668
4.000%, 3/1/2021	3,585,000	3,721,445
Port New Orleans Board of Commissioners, 5.000%, 4/1/2032, Call 4/1/2023	725,000	780,383
Regional Transit Authority, NATL-RE, 0.000%, 12/1/2021	155,000	137,232
Terrebonne Parish Consolidated Government, 5.875%, 3/1/2024, Call 3/1/2019	495,000	495,000
		23,240,499
Maine — 0.6%
City of Portland General Airport Revenue, 5.000%, 7/1/2022	300,000	327,498
Maine Health & Higher Educational Facilities Authority, 5.000%, 7/1/2043, Call 7/1/2028	3,500,000	3,907,365
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021	4,900,000	4,990,209
Maine Turnpike Authority, 5.000%, 7/1/2029, Call 7/1/2022	1,500,000	1,645,590
		10,870,662
Maryland — 0.4%
City of Rockville:
5.000%, 11/1/2030, Call 11/1/2024	765,000	831,907
5.000%, 11/1/2037, Call 11/1/2024	1,000,000	1,053,800
5.000%, 11/1/2042, Call 11/1/2024	1,000,000	1,039,100
Maryland Health & Higher Educational Facilities Authority, 5.750%, 7/1/2034, Call 7/1/2021	775,000	845,308
Montgomery County Housing Opportunities Commission:
5.000%, 7/1/2031, Call 7/1/2020	655,000	675,115
5.125%, 7/1/2037, Call 7/1/2020	3,110,000	3,195,338
		7,640,568
Massachusetts — 1.5%
Commonwealth of Massachusetts, 5.000%, 1/1/2037, Call 1/1/2029	3,000,000	3,527,640
Massachusetts Bay Transportation Authority, 5.000%, 7/1/2046, Call 7/1/2027	4,465,000	5,047,459
Massachusetts Development Finance Agency:
5.000%, 7/1/2025, Call 7/1/2021	1,425,000	1,525,420
5.000%, 7/1/2027, Call 7/1/2025	125,000	147,019

5.000%, 7/1/2029, Call 1/1/2029	750,000	881,348
5.000%, 7/1/2031, Call 1/1/2029	2,000,000	2,311,660
5.000%, 7/1/2037, Call 7/1/2027	1,400,000	1,483,972
5.000%, 10/1/2037, Call 10/1/2022 (5)	500,000	529,645
5.000%, 10/1/2047, Call 10/1/2022 (5)	500,000	520,135
Massachusetts Educational Financing Authority, 5.000%, 7/1/2025, Call 7/1/2022 (12)	395,000	420,098
Massachusetts Health & Educational Facilities Authority, 5.000%, 7/1/2024, Call 7/1/2019	3,105,000	3,137,261
Massachusetts Housing Finance Agency, 3.700%, 12/1/2027, Call 6/1/2022 (12)	635,000	635,622
Massachusetts School Building Authority, 5.000%, 8/15/2030, Call 8/15/2022	815,000	895,147
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 5.000%, 1/1/2023, Call 1/1/2023 (7)	5,000,000	5,579,200
		26,641,626
Michigan — 3.7%
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2021	890,000	950,876
Bay City School District, Q-SBLF:
5.000%, 11/1/2027, Call 5/1/2024	645,000	733,533
5.000%, 11/1/2028, Call 5/1/2024	1,305,000	1,481,384
Caledonia Community Schools,Q-SBLF:
5.000%, 5/1/2025	600,000	705,774
5.000%, 5/1/2026	500,000	598,620
Carman-Ainsworth Community School District, BAM, 5.000%, 5/1/2020	375,000	389,171
Charter Township of Northville:
4.000%, 4/1/2021	400,000	416,968
4.000%, 4/1/2022	240,000	254,506
Chippewa Valley Schools, Q-SBLF, 5.000%, 5/1/2027, Call 11/1/2025	20,000	23,700
City of Detroit Sewage Disposal System Revenue, NATL-RE, 0.000%, 7/1/2020	110,000	106,962
City of Wyandotte Electric System Revenue, BAM:
5.000%, 10/1/2020	200,000	208,334
5.000%, 10/1/2021	290,000	309,172
5.000%, 10/1/2022	290,000	316,471
5.000%, 10/1/2023	250,000	278,730
5.000%, 10/1/2024	300,000	340,632
Coloma Community School District, Q-SBLF, 3.000%, 5/1/2021	905,000	928,548
Comstock Park Public Schools, Q-SBLF, 5.000%, 5/1/2028, Call 5/1/2021	400,000	425,608
Detroit City School District, AGM Q-SBLF, 5.250%, 5/1/2026	300,000	355,143
Dundee Community Schools, Q-SBLF:
5.000%, 5/1/2022	1,200,000	1,318,284
5.000%, 5/1/2025	1,000,000	1,169,330
Fitzgerald Public School District, BAM, 4.000%, 5/1/2019	2,065,000	2,070,658
Fraser Public School District, Q-SBLF:
5.000%, 5/1/2021	1,000,000	1,069,730
5.000%, 5/1/2022	1,000,000	1,098,570
5.000%, 5/1/2025	1,700,000	1,987,861
Great Lakes Water Authority Sewage Disposal System Revenue, 5.000%, 7/1/2029	3,600,000	4,431,096
Grosse Ile Township School District, Q-SBLF:
5.000%, 5/1/2026, Call 5/1/2025	200,000	233,614
5.000%, 5/1/2027, Call 5/1/2025	230,000	266,924
Hartland Consolidated Schools, AGM Q-SBLF:
5.250%, 5/1/2026, Call 5/1/2021	1,625,000	1,739,351
5.250%, 5/1/2027, Call 5/1/2021	600,000	641,826
5.250%, 5/1/2028, Call 5/1/2021	1,575,000	1,683,754
Howell Public Schools, Q-SBLF, 4.250%, 5/1/2024, Call 5/1/2022	1,000,000	1,074,160
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020	415,000	429,363
Jenison Public Schools:
5.000%, 5/1/2021	500,000	534,530
5.000%, 5/1/2022, Call 5/1/2021	560,000	600,225
Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021	1,000,000	1,075,080
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021	1,000,000	1,064,110
Lansing School District, Q-SBLF:
5.000%, 5/1/2019	1,000,000	1,005,440
5.000%, 5/1/2020	1,825,000	1,897,179
Livonia Public Schools School District, BAM, 5.000%, 5/1/2021	1,600,000	1,701,376
Marshall Public Schools, Q-SBLF:
4.000%, 11/1/2028, Call 5/1/2025	1,380,000	1,494,747

4.000%, 11/1/2029, Call 5/1/2025	940,000	1,010,491
Mattawan Consolidated School District, Q-SBLF, 5.000%, 5/1/2019	215,000	216,142
Michigan Finance Authority:
5.000%, 11/1/2020	2,000,000	2,103,380
5.000%, 7/1/2026, Call 7/1/2025	175,000	201,490
5.000%, 7/1/2027, Call 7/1/2025	600,000	687,270
5.000%, 7/1/2029, Call 7/1/2025	950,000	1,082,458
5.000%, 7/1/2032, Call 7/1/2025	1,500,000	1,679,940
5.000%, 7/1/2034, Call 7/1/2025	500,000	556,025
5.000%, 12/1/2035, Call 12/1/2027	1,000,000	1,151,180
5.000%, 11/15/2041, Call 11/15/2026	1,000,000	1,086,960
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024	1,500,000	1,684,650
5.000%, 7/1/2030, Call 7/1/2024	1,500,000	1,679,625
Michigan State Housing Development Authority, 5.625%, 10/1/2031, Call 10/1/2020	850,000	892,364
Michigan Strategic Fund, 5.000%, 12/31/2043, Call 12/31/2028	3,400,000	3,730,956
North Branch Area Schools, Q-SBLF, 5.000%, 5/1/2024	200,000	229,980
Plymouth-Canton Community School District, Q-SBLF, 5.000%, 5/1/2021	450,000	480,780
Redford Union School District No. 1, AMBAC Q-SBLF, 5.000%, 5/1/2022	250,000	263,932
River Rouge School District, Q-SBLF:
5.000%, 5/1/2020	1,700,000	1,766,232
5.000%, 5/1/2021	1,155,000	1,234,002
Taylor Tax Increment Finance Authority, AGM:
3.000%, 5/1/2019	340,000	340,530
3.250%, 5/1/2020	90,000	91,291
Wayne County Airport Authority:
5.000%, 12/1/2026, Call 12/1/2025 (12)	3,000,000	3,474,360
5.000%, 12/1/2030, Call 12/1/2025	1,250,000	1,445,137
Western Township Utilities Authority, 4.000%, 1/1/2021	1,200,000	1,244,748
		65,745,263
Minnesota — 0.3%
City of Minneapolis St. Paul Housing & Redevelopment Authority:
4.000%, 8/15/2019	445,000	448,996
5.250%, 8/15/2025, Call 8/15/2020	275,000	287,859
City of Minneapolis St. Paul Housing & Redevelopment Authority, AGM, 5.000%, 8/15/2025, Call 8/15/2020	215,000	224,039
Duluth Economic Development Authority, 5.000%, 2/15/2043, Call 2/15/2028	1,000,000	1,100,060
Minnesota Higher Education Facilities Authority, 5.000%, 10/1/2019	400,000	407,448
Minnesota Housing Finance Agency, GNMA COLL, 2.600%, 9/1/2042, Call 7/1/2022	720,570	691,596
Minnesota Housing Finance Agency, GNMA/FNMA/FHLMC:
2.250%, 12/1/2042, Call 1/1/2022	483,851	453,368
3.900%, 7/1/2030, Call 1/1/2022	485,000	495,296
5.000%, 1/1/2031, Call 7/1/2021	560,000	581,353
		4,690,015
Mississippi — 0.6%
Mississippi Development Bank:
3.125%, 10/1/2023	170,000	172,924
5.000%, 10/1/2023	2,390,000	2,610,406
5.000%, 1/1/2027, Call 1/1/2022	1,200,000	1,310,484
Mississippi State University Educational Building Corp., 5.000%, 11/1/2022	135,000	150,147
State of Mississippi:
5.000%, 10/15/2036, Call 10/15/2028 (9)	3,395,000	3,905,268
5.000%, 10/15/2037, Call 10/15/2028 (9)	2,000,000	2,290,780
		10,440,009
Missouri — 1.6%
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, 5.000%, 10/1/2033, Call 10/1/2022	4,000,000	4,423,080
Chesterfield Valley Transportation Development District:
4.000%, 5/15/2019	475,000	477,005
5.000%, 5/15/2020	125,000	129,653
5.000%, 5/15/2021	490,000	518,655
City of Kansas City:
5.000%, 9/1/2021, Call 9/1/2019	500,000	507,845

5.000%, 9/1/2023, Call 9/1/2019	300,000	304,707
5.000%, 10/1/2026, Call 10/1/2025	120,000	140,448
5.000%, 10/1/2028, Call 10/1/2025	115,000	133,527
5.000%, 9/1/2032, Call 9/1/2019	1,000,000	1,015,150
City of St. Louis, 3.000%, 5/30/2019	1,000,000	1,002,900
Health & Educational Facilities Authority of the State of Missouri:
5.000%, 2/1/2024, Call 2/1/2021	1,050,000	1,088,325
5.000%, 2/1/2034, Call 2/1/2024 (9)	1,250,000	1,360,762
5.000%, 11/15/2034, Call 5/15/2026	3,000,000	3,359,070
5.000%, 2/1/2042, Call 2/1/2024 (9)	2,000,000	2,124,340
5.250%, 10/1/2031, Call 10/1/2021	1,000,000	1,079,350
Independence School District, SAW, 5.250%, 3/1/2030, Call 3/1/2021	2,000,000	2,133,580
Joplin Industrial Development Authority, 5.000%, 2/15/2020	330,000	339,933
Lees Summit Industrial Development Authority:
5.000%, 8/15/2036, Call 8/15/2024	1,000,000	1,024,320
5.000%, 8/15/2046, Call 8/15/2024	2,000,000	2,011,060
Missouri Housing Development Commission, GNMA/FNMA/FHLMC:
3.800%, 5/1/2025, Call 5/1/2021	545,000	561,197
4.000%, 5/1/2027, Call 5/1/2021	530,000	544,045
5.000%, 11/1/2027, Call 11/1/2019	110,000	111,856
Missouri State Environmental Improvement & Energy Resources Authority, 5.750%, 1/1/2029, Call 4/1/2019	65,000	65,198
St. Louis County Industrial Development Authority, 5.000%, 9/1/2048, Call 9/1/2027	1,000,000	1,013,810
Stone County Reorganized School District No. 4 Reeds Spring, SAW:
5.000%, 3/1/2030, Call 3/1/2020	1,000,000	1,030,510
5.000%, 3/1/2031, Call 3/1/2020	750,000	772,882
5.000%, 3/1/2032, Call 3/1/2020	1,000,000	1,030,410
		28,303,618
Nebraska — 0.3%
Central Plains Energy Project, 5.000%, 12/1/2019, Call 12/1/2019 (7)	1,000,000	1,021,050
Hospital Authority No. 1 of Lancaster County, 5.500%, 1/1/2030, Call 1/1/2020	1,000,000	1,026,550
Nebraska Public Power District, 5.000%, 1/1/2032, Call 1/1/2022	1,000,000	1,078,500
Omaha-Douglas Public Building Commission:
5.000%, 5/1/2026, Call 5/1/2022	825,000	904,456
5.000%, 5/1/2027, Call 5/1/2022	585,000	640,774
5.000%, 5/1/2028, Call 5/1/2022	550,000	602,437
5.000%, 5/1/2029, Call 5/1/2022	660,000	722,924
		5,996,691
Nevada — 0.9%
City of North Las Vegas NV, AGM, 5.000%, 6/1/2023	1,000,000	1,119,370
County of Clark, 5.000%, 7/1/2028, Call 7/1/2019	2,180,000	2,204,590
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	1,200,000	1,361,892
5.000%, 7/1/2030, Call 7/1/2024	1,000,000	1,131,160
5.000%, 7/1/2040, Call 7/1/2027	4,000,000	4,504,200
Las Vegas Valley Water District, 5.000%, 6/1/2028, Call 6/1/2022	5,115,000	5,608,086
		15,929,298
New Hampshire — 0.0%
New Hampshire Housing Finance Authority, 4.800%, 7/1/2028, Call 1/1/2022	675,000	689,087
New Jersey — 3.9%
Lyndhurst Township School District, School Bond Gty, 3.000%, 9/13/2019	3,000,000	3,017,430
New Jersey Economic Development Authority:
5.000%, 6/15/2019	3,000,000	3,023,820
5.000%, 6/15/2020	1,500,000	1,552,035
5.000%, 11/1/2021	4,600,000	4,924,530
5.500%, 6/15/2030, Call 12/15/2026	2,500,000	2,855,375
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019	5,060,000	5,166,361
New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021	200,000	202,804
New Jersey Transportation Trust Fund Authority:
2.740%, (SIFMA Municipal Swap Index Yield), 12/15/2019, Call 6/15/2019 (7)	5,000,000	5,006,100
5.000%, 6/15/2022	500,000	540,620

5.000%, 6/15/2030, Call 6/15/2026	1,000,000	1,117,120
5.000%, 6/15/2031, Call 6/15/2026	1,000,000	1,109,810
5.000%, 6/15/2032, Call 12/15/2024	5,000,000	5,368,400
5.000%, 6/15/2035, Call 12/15/2028	3,000,000	3,265,530
5.250%, 12/15/2023	240,000	269,343
New Jersey Transportation Trust Fund Authority, BAM TCRs:
5.000%, 6/15/2028, Call 6/15/2022	5,000,000	5,371,200
5.000%, 6/15/2033, Call 6/15/2022	3,000,000	3,184,350
5.250%, 6/15/2033, Call 6/15/2023	5,635,000	6,143,559
New Jersey Transportation Trust Fund Authority, BHAC AMBAC, 0.000%, 12/15/2024	440,000	381,260
New Jersey Turnpike Authority:
5.000%, 1/1/2031, Call 1/1/2025	500,000	571,510
5.000%, 1/1/2032, Call 7/1/2022	3,440,000	3,815,992
5.000%, 1/1/2035, Call 1/1/2022	1,685,000	1,843,575
Tobacco Settlement Financing Corp.:
5.000%, 6/1/2031, Call 6/1/2028	2,750,000	3,145,725
5.000%, 6/1/2032, Call 6/1/2028	2,000,000	2,274,080
5.000%, 6/1/2033, Call 6/1/2028	1,500,000	1,696,605
5.000%, 6/1/2046, Call 6/1/2028	2,500,000	2,640,550
		68,487,684
New Mexico — 0.8%
City of Santa Fe, 4.000%, 6/1/2025, Call 6/1/2022	655,000	695,957
New Mexico Mortgage Finance Authority, GNMA COLL, 2.600%, 2/1/2043, Call 1/1/2023	741,742	712,532
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC:
4.500%, 9/1/2024, Call 9/1/2019	175,000	176,146
4.625%, 3/1/2028, Call 9/1/2021	470,000	480,251
5.350%, 3/1/2030, Call 9/1/2020	1,170,000	1,211,208
5.650%, 9/1/2039, Call 4/1/2019	30,000	30,057
New Mexico Municipal Energy Acquisition Authority, 2.431%, (LIBOR 1 Month), 8/1/2019, Call 3/21/2019 (7)	10,000,000	10,002,100
		13,308,251
New York — 5.6%
Albany Capital Resource Corp.:
5.000%, 12/1/2023	150,000	169,341
5.000%, 12/1/2024	200,000	230,026
BB&T Municipal Trust, 2.540%, (SIFMA Municipal Swap Index Yield), 11/15/2019 (5)(7)	15,862	15,864
Buffalo & Erie County Industrial Land Development Corp.:
5.000%, 6/1/2035, Call 6/1/2024	1,000,000	1,074,360
5.000%, 8/1/2037, Call 8/1/2027	1,300,000	1,363,596
5.000%, 8/1/2047, Call 8/1/2027	1,000,000	1,037,680
City of New York:
5.000%, 8/1/2032, Call 2/1/2022	3,000,000	3,246,630
5.000%, 3/1/2037, Call 3/1/2028	1,120,000	1,301,395
5.250%, 3/1/2034, Call 3/1/2028	3,000,000	3,601,680
5.250%, 3/1/2035, Call 3/1/2028	2,500,000	2,987,200
City of New York, AGC, 1.890%, 10/1/2021, Call 3/4/2019 (7)(11)	400,000	400,000
County of Suffolk, 5.000%, 7/24/2019	4,500,000	4,552,110
Long Island Power Authority, 2.506%, (LIBOR 1 Month), 10/1/2023, Call 10/1/2022 (7)	5,000,000	5,017,150
Metropolitan Transportation Authority:
2.190%, (SIFMA Municipal Swap Index Yield), 11/15/2022 (7)	1,000,000	989,810
4.000%, 2/3/2020	5,000,000	5,094,550
5.000%, 11/15/2034, Call 5/15/2028	1,815,000	2,089,192
5.000%, 11/15/2036, Call 11/15/2026	2,325,000	2,600,210
New York City Transitional Finance Authority Future Tax Secured Revenue:
5.000%, 11/1/2024, Call 11/1/2022	5,715,000	6,384,226
5.000%, 11/1/2026, Call 5/1/2025	1,000,000	1,176,290
5.000%, 11/1/2026, Call 5/1/2025	2,000,000	2,352,580
5.000%, 8/1/2034, Call 8/1/2026	4,000,000	4,618,800
5.000%, 8/1/2036, Call 8/1/2028	5,555,000	6,499,350
5.000%, 5/1/2038, Call 5/1/2027	4,000,000	4,570,320

5.250%, 8/1/2037, Call 8/1/2028	3,500,000	4,170,355
New York City Water & Sewer System:
5.000%, 6/15/2028, Call 6/15/2024	500,000	574,240
5.000%, 6/15/2029, Call 6/15/2024	600,000	688,440
New York State Dormitory Authority:
5.000%, 3/15/2027, Call 3/15/2022	7,555,000	8,236,008
5.000%, 3/15/2028, Call 3/15/2019	625,000	625,675
5.000%, 12/1/2035, Call 6/1/2027 (5)	500,000	555,580
5.000%, 12/1/2037, Call 6/1/2027 (5)	500,000	551,210
5.250%, 3/15/2037, Call 9/15/2028	1,695,000	2,026,271
6.000%, 7/1/2038, Call 7/1/2020	1,000,000	1,040,990
New York State Dormitory Authority, NATL-RE, 4.802%, 7/1/2029, Call 3/4/2019 (7)(11)	2,600,000	2,600,000
New York State Urban Development Corp., 5.000%, 3/15/2028, Call 3/15/2023	1,000,000	1,118,720
New York Transportation Development Corp., AGM, 4.000%, 7/1/2032, Call 7/1/2024 (12)	2,500,000	2,582,375
Nuveen New York AMT-Free Quality Municipal Income Fund, 2.040%, 5/1/2047, Call 2/28/2019 (5)(7)	5,000,000	5,000,000
State of New York Mortgage Agency, 5.000%, 10/1/2019	500,000	509,250
Triborough Bridge & Tunnel Authority:
2.025%, (SOFR + 43 basis points), 9/26/2019 (7)	1,420,000	1,421,122
5.000%, 11/15/2037, Call 11/15/2028	1,500,000	1,768,350
TSASC, Inc.:
5.000%, 6/1/2036, Call 6/1/2027	1,000,000	1,094,540
5.000%, 6/1/2041, Call 6/1/2027	1,000,000	1,060,910
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2021	500,000	527,740
		97,524,136
North Carolina — 0.6%
County of Catawba:
4.000%, 10/1/2025, Call 10/1/2021	585,000	613,589
5.000%, 10/1/2023, Call 10/1/2021	1,000,000	1,079,650
5.000%, 10/1/2024, Call 10/1/2021	835,000	901,074
County of Cumberland, 5.125%, 12/1/2028, Call 12/1/2019	250,000	256,577
County of Union:
5.000%, 12/1/2026, Call 6/1/2023	1,390,000	1,555,924
5.000%, 12/1/2027, Call 6/1/2023	1,645,000	1,839,225
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021	170,000	173,079
North Carolina Medical Care Commission:
4.000%, 6/1/2020	470,000	482,807
5.000%, 6/1/2027, Call 6/1/2022	500,000	548,035
North Carolina Turnpike Authority, 5.000%, 7/1/2047, Call 7/1/2026	750,000	805,050
Orange County Public Facilities Co., 5.000%, 10/1/2026, Call 10/1/2022	1,130,000	1,262,131
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020	1,690,000	1,745,314
		11,262,455
North Dakota — 1.5%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2021	635,000	661,746
4.500%, 5/1/2030, Call 5/1/2021	1,515,000	1,554,026
4.500%, 5/1/2033, Call 5/1/2021	1,850,000	1,883,448
City of Dickinson, 5.000%, 10/1/2025, Call 10/1/2021	2,240,000	2,377,514
City of Grand Forks:
4.000%, 12/1/2019	535,000	543,025
5.000%, 12/1/2032, Call 12/1/2021	1,000,000	1,055,080
City of West Fargo, 3.000%, 5/1/2023, Call 4/1/2019	185,000	185,113
County of Ward:
5.000%, 6/1/2034, Call 6/1/2028	2,500,000	2,753,500
5.000%, 6/1/2043, Call 6/1/2028	2,500,000	2,655,150
North Dakota Public Finance Authority:
4.000%, 6/1/2023	2,440,000	2,649,181
4.000%, 6/1/2024, Call 6/1/2023	2,190,000	2,365,660
4.000%, 6/1/2025, Call 6/1/2023	1,145,000	1,235,100
Williston Parks & Recreation District:
4.500%, 3/1/2020	1,205,000	1,212,893
4.500%, 3/1/2025, Call 3/1/2021	2,525,000	2,521,036

4.625%, 3/1/2026, Call 3/1/2021	2,620,000	2,605,302
		26,257,774
Ohio — 3.2%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	1,000,000	1,071,810
City of Cleveland Airport System Revenue, AGM:
5.000%, 1/1/2030, Call 1/1/2022	3,900,000	4,199,481
5.000%, 1/1/2031, Call 1/1/2022	1,000,000	1,075,370
City of Cleveland Airport System Revenue, MAC:
5.000%, 1/1/2022, Call 1/1/2021	2,320,000	2,461,195
5.000%, 1/1/2031, Call 1/1/2022	1,270,000	1,365,720
City of Cleveland Income Tax Revenue:
5.000%, 10/1/2024, Call 10/1/2022	460,000	512,771
5.000%, 10/1/2028, Call 10/1/2022	1,075,000	1,198,324
5.000%, 10/1/2029, Call 10/1/2022	1,130,000	1,259,634
5.000%, 10/1/2029, Call 10/1/2022	2,290,000	2,552,709
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021	1,000,000	1,069,500
City of Springboro, 3.000%, 1/23/2020	1,500,000	1,513,350
Cleveland Department of Public Utilities Division of Water:
4.000%, 1/1/2028, Call 1/1/2024	500,000	541,270
4.000%, 1/1/2029, Call 1/1/2024	1,000,000	1,077,630
4.000%, 1/1/2030, Call 1/1/2024	1,000,000	1,072,520
Cleveland Heights & University Heights City School District:
0.000%, 12/1/2024	400,000	350,152
0.000%, 12/1/2025	600,000	508,776
Cleveland-Cuyahoga County Port Authority, 5.000%, 10/1/2022, Call 10/1/2020	1,000,000	1,052,050
County of Franklin:
5.000%, 5/15/2028, Call 5/15/2023	2,000,000	2,237,500
5.000%, 7/1/2029, Call 7/1/2026	2,000,000	2,146,180
5.000%, 5/15/2031, Call 5/15/2023	405,000	447,221
County of Hamilton Sales Tax Revenue, 5.000%, 12/1/2029, Call 12/1/2021	975,000	1,054,511
County of Hancock, 5.750%, 12/1/2026, Call 6/1/2021	1,120,000	1,219,322
County of Lucas, 5.000%, 11/15/2022, Call 11/15/2021	925,000	986,670
County of Miami, 5.000%, 8/1/2045, Call 8/1/2028 (9)	2,220,000	2,460,604
Delaware City School District, 5.250%, 12/1/2038, Call 6/1/2023	1,240,000	1,390,350
Elyria City School District, School District Credit Program, 4.000%, 12/1/2028, Call 12/1/2022	1,130,000	1,200,060
FHLMC Multifamily VRD Certificates, 1.990%, (SIFMA Municipal Swap Index Yield), 9/15/2033 (7)	3,475,000	3,475,000
Johnstown-Monroe Local School District, 5.000%, 12/1/2030, Call 12/1/2021	715,000	778,928
Lake County Community College District:
4.000%, 12/1/2022, Call 12/1/2019	695,000	706,871
4.000%, 12/1/2024, Call 12/1/2019	835,000	848,577
4.000%, 12/1/2025, Call 12/1/2019	855,000	868,526
Lake Local School District/Stark County, School District Credit Program:
4.000%, 12/1/2023, Call 12/1/2021	1,550,000	1,649,525
4.000%, 12/1/2025, Call 12/1/2021	1,660,000	1,761,758
New Albany Community Authority:
4.000%, 10/1/2020	590,000	611,559
5.000%, 10/1/2022	1,000,000	1,107,960
5.000%, 10/1/2023, Call 10/1/2022	1,105,000	1,223,091
North Olmsted City School District:
5.000%, 12/1/2027, Call 12/1/2023	220,000	253,260
5.000%, 12/1/2028, Call 12/1/2023	365,000	420,181
5.000%, 12/1/2029, Call 12/1/2023	500,000	575,590
Ohio Higher Educational Facility Commission:
4.000%, 12/1/2020	1,050,000	1,087,758
4.000%, 12/1/2021	795,000	839,369
4.000%, 12/1/2022	845,000	908,561
Ohio Turnpike & Infrastructure Commission, 5.250%, 2/15/2033, Call 2/15/2023	1,330,000	1,481,420
Ohio University, 5.000%, 12/1/2028, Call 6/1/2022	225,000	245,578
Ohio Water Development Authority, 5.000%, 6/1/2022	1,100,000	1,217,018
University of Toledo, 5.000%, 6/1/2030, Call 6/1/2021	250,000	268,637
		56,353,847
Oklahoma — 0.7%

Cushing Educational Facilities Authority, 5.000%, 9/1/2022	2,000,000	2,208,340
Delaware County Justice Authority:
3.750%, 9/1/2029, Call 4/1/2019	1,620,000	1,620,518
4.000%, 9/1/2019	740,000	747,637
4.000%, 9/1/2020	700,000	721,623
4.000%, 9/1/2021	805,000	839,776
Oklahoma Housing Finance Agency, GNMA COLL:
2.500%, 3/1/2022	220,000	224,512
3.300%, 3/1/2031, Call 3/1/2022	515,000	515,711
Tulsa Airports Improvement Trust, BAM, 5.000%, 6/1/2028, Call 6/1/2023 (12)	1,405,000	1,533,234
Tulsa County Industrial Authority:
5.250%, 11/15/2037, Call 11/15/2025	1,500,000	1,630,275
5.250%, 11/15/2045, Call 11/15/2025	1,500,000	1,620,135
		11,661,761
Oregon — 0.7%
City of Portland, 5.000%, 6/15/2027, Call 6/15/2022	1,000,000	1,094,160
City of Tigard Water Revenue, 5.000%, 8/1/2029, Call 8/1/2022	690,000	760,242
City of Woodburn Wastewater Revenue:
0.000%, 3/1/2020	1,380,000	1,354,360
0.000%, 3/1/2021	1,215,000	1,168,623
Clackamas & Washington Counties School District No. 3, NATL-RE School Bond Gty, 0.000%, 6/15/2023	2,000,000	1,841,420
Klamath Falls Intercommunity Hospital Authority:
5.000%, 9/1/2021	250,000	268,277
5.000%, 9/1/2022	505,000	555,091
Port of Morrow:
3.500%, 6/1/2020, Call 6/1/2019	210,000	210,830
3.750%, 6/1/2021, Call 6/1/2019	220,000	220,948
4.000%, 6/1/2022, Call 6/1/2019	235,000	236,095
Port of Portland Airport Revenue, 5.500%, 7/1/2031, Call 7/1/2021	3,000,000	3,219,780
State of Oregon Business Development Commission Economic Development Revenue, 5.000%, 3/1/2049, Call 03/06/2019 (6)	1,000,000	1,086,450
State of Oregon Housing & Community Services Department, 4.450%, 7/1/2023, Call 1/1/2020 (12)	490,000	497,370
		12,513,646
Pennsylvania — 2.7%
Berks County Industrial Development Authority:
5.000%, 5/15/2032, Call 5/15/2027	1,050,000	1,143,261
5.000%, 5/15/2038, Call 5/15/2025	255,000	271,983
5.000%, 5/15/2042, Call 5/15/2024	1,655,000	1,759,414
5.000%, 5/15/2043, Call 5/15/2025	350,000	370,678
5.000%, 5/15/2047, Call 5/15/2027	1,630,000	1,707,686
Bucks County Industrial Development Authority, 5.000%, 10/1/2037, Call 10/1/2024	1,250,000	1,350,713
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021	500,000	535,775
City of Pittsburgh, 4.000%, 9/1/2021	750,000	791,940
Commonwealth Financing Authority:
5.000%, 6/1/2032, Call 6/1/2028	1,000,000	1,146,070
5.000%, 6/1/2033, Call 6/1/2028	1,250,000	1,426,100
5.000%, 6/1/2034, Call 6/1/2028	1,000,000	1,135,770
5.000%, 6/1/2035, Call 6/1/2028	1,000,000	1,129,350
Geisinger Authority, 5.000%, 2/15/2039, Call 2/15/2027	2,500,000	2,805,700
Kiski Area School District, AGM SAW, 4.000%, 3/1/2021	1,450,000	1,513,872
Lancaster Industrial Development Authority:
5.000%, 5/1/2021	360,000	376,963
5.000%, 5/1/2022	430,000	457,774
Lehigh County General Purpose Authority, 4.000%, 11/1/2019	555,000	563,020
Montgomery County Industrial Development Authority:
5.000%, 12/1/2038, Call 12/1/2025	1,000,000	1,059,300
6.250%, 11/15/2029, Call 11/15/2019	715,000	737,687
Montgomery County Industrial Development Authority, FHA, 5.000%, 8/1/2024, Call 8/1/2020	1,350,000	1,408,630
Pennsylvania Economic Development Financing Authority, 2.125%, 5/1/2019 (7)	1,500,000	1,500,255
Pennsylvania Economic Development Financing Authority, AGM:
0.000%, 1/1/2020	600,000	586,920

0.000%, 1/1/2021	600,000	571,014
5.000%, 1/1/2022	305,000	326,170
Pennsylvania Turnpike Commission:
2.720%, (SIFMA Municipal Swap Index Yield), 12/1/2021, Call 6/1/2021 (7)	5,000,000	5,050,250
4.000%, 12/1/2023, Call 12/1/2019	105,000	106,848
4.000%, 12/1/2023, Call 12/1/2019	95,000	96,347
5.000%, 6/1/2021, Call 6/1/2019	715,000	720,920
5.000%, 12/1/2030, Call 12/1/2020 (10)	215,000	227,425
5.000%, 12/1/2030, Call 12/1/2020 (10)	120,000	126,616
5.000%, 12/1/2030, Call 12/1/2020 (10)	250,000	264,448
5.000%, 12/1/2037, Call 12/1/2027	1,250,000	1,414,762
5.000%, 6/1/2042, Call 6/1/2027	5,450,000	5,938,156
5.500%, 12/1/2042, Call 12/1/2026	3,000,000	3,445,020
6.000%, 12/1/2034, Call 12/1/2020 (10)	55,000	59,119
6.000%, 12/1/2034, Call 12/1/2020 (10)	70,000	75,242
6.000%, 12/1/2034, Call 12/1/2020 (10)	270,000	290,220
6.000%, 12/1/2036, Call 12/1/2020	975,000	1,048,018
Pittsburgh School District, BAM SAW, 5.000%, 9/1/2024, Call 9/1/2022	1,000,000	1,106,310
Pittsburgh Water & Sewer Authority, AGM, 2.453%, (LIBOR 1 Month), 12/1/2020, Call 6/1/2020 (7)	2,055,000	2,056,192
Sayre Health Care Facilities Authority, 2.615%, (LIBOR 3 Month), 12/1/2024, Call 4/1/2019 (7)	200,000	201,832
		46,903,770
Rhode Island — 0.5%
Rhode Island Housing & Mortgage Finance Corp., 3.625%, 10/1/2029, Call 10/1/2021	760,000	772,586
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (12)	20,000	20,270
4.000%, 12/1/2022, Call 12/1/2021 (12)	2,885,000	2,998,352
4.250%, 12/1/2020, Call 4/1/2019	500,000	501,215
4.250%, 12/1/2025, Call 12/1/2021 (12)	2,205,000	2,292,803
4.500%, 12/1/2021, Call 4/1/2019	315,000	315,850
Town of Cumberland, SAW:
4.000%, 3/15/2024	795,000	875,788
4.000%, 3/15/2026, Call 3/15/2024	460,000	502,412
		8,279,276
South Carolina — 1.6%
City of Rock Hill Combined Utility System Revenue, AGM:
5.250%, 1/1/2026, Call 1/1/2022	730,000	794,590
5.250%, 1/1/2028, Call 1/1/2022	475,000	515,665
County of Dorchester Waterworks & Sewer System Revenue:
5.000%, 10/1/2022	480,000	532,526
5.000%, 10/1/2026, Call 10/1/2022	400,000	441,872
County of Florence:
5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,100,040
5.000%, 11/1/2030, Call 11/1/2020	500,000	523,585
5.000%, 11/1/2031, Call 11/1/2024	360,000	405,047
Patriots Energy Group Financing Agency, 2.541%, (LIBOR 1 Month), 2/1/2024, Call 11/1/2023 (7)	8,000,000	8,003,120
Piedmont Municipal Power Agency, AGC:
5.000%, 1/1/2030, Call 7/1/2021	450,000	477,900
5.750%, 1/1/2034, Call 7/1/2021	1,000,000	1,081,730
South Carolina Jobs-Economic Development Authority:
1.990%, 5/1/2048, Call 2/28/2019 (7)	3,250,000	3,250,000
5.000%, 7/1/2022	1,735,000	1,887,611
5.000%, 4/1/2038, Call 4/1/2024	2,000,000	2,041,200
South Carolina Public Service Authority, 5.000%, 12/1/2032, Call 12/1/2026	3,265,000	3,712,011
South Carolina State Housing Finance & Development Authority, GNMA COLL, 5.000%, 1/1/2028, Call 1/1/2020	30,000	30,428
Spartanburg Sanitation Sewer District, 5.000%, 3/1/2030, Call 3/1/2023 (10)	1,500,000	1,660,140
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call 4/1/2021	900,000	947,889
		28,405,354
South Dakota — 0.8%

City of Rapid City Airport Revenue:
5.500%, 12/1/2022, Call 12/1/2019	225,000	231,698
6.750%, 12/1/2031, Call 12/1/2019	500,000	517,900
7.000%, 12/1/2035, Call 12/1/2019	750,000	777,840
South Dakota Health & Educational Facilities Authority:
4.250%, 9/1/2023	740,000	792,370
4.500%, 9/1/2020	900,000	937,134
4.500%, 9/1/2021, Call 9/1/2020	1,080,000	1,122,595
4.500%, 9/1/2022, Call 9/1/2020	1,005,000	1,043,220
5.000%, 9/1/2019	200,000	203,346
5.000%, 11/1/2022	715,000	794,687
5.000%, 8/1/2023	375,000	424,838
5.000%, 11/1/2023	625,000	710,931
5.000%, 8/1/2024	195,000	225,937
5.000%, 11/1/2024	650,000	753,590
5.000%, 11/1/2024, Call 11/1/2019	1,000,000	1,020,360
5.000%, 11/1/2025, Call 11/1/2024	600,000	692,478
5.000%, 9/1/2027, Call 9/1/2024	720,000	807,041
South Dakota Housing Development Authority, 3.550%, 11/1/2033, Call 11/1/2022	2,250,000	2,262,982
		13,318,947
Tennessee — 1.5%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call 1/1/2027	5,815,000	6,371,961
Lewisburg Industrial Development Board, 2.350%, 5/1/2019 (7)(9)	3,000,000	3,000,270
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board:
2.000%, 1/1/2021 (7)	3,000,000	3,007,410
5.000%, 11/1/2027, Call 11/1/2021	1,500,000	1,606,635
5.000%, 7/1/2031, Call 7/1/2026	1,000,000	1,132,460
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023	5,310,000	5,797,086
5.250%, 9/1/2021	3,810,000	4,068,394
5.250%, 9/1/2022	250,000	273,268
Tennessee Housing Development Agency:
4.000%, 7/1/2025, Call 1/1/2021	890,000	915,783
4.125%, 1/1/2025, Call 1/1/2021	590,000	605,735
5.000%, 1/1/2027, Call 7/1/2019	5,000	5,043
		26,784,045
Texas — 6.6%
Bexar County Health Facilities Development Corp., 5.000%, 7/15/2033, Call 7/15/2023	1,000,000	1,070,800
Bexar County Hospital District:
5.000%, 2/15/2034, Call 2/15/2028	1,000,000	1,172,340
5.000%, 2/15/2038, Call 2/15/2028	1,250,000	1,440,088
Brazoria-Fort Bend County Municipal Utility District No. 1, MAC, 3.000%, 9/1/2020	700,000	711,165
Capital Area Cultural Education Facilities Finance Corp.:
5.000%, 4/1/2019	1,000,000	1,002,120
5.250%, 4/1/2021, Call 4/1/2020	400,000	413,080
Central Texas Regional Mobility Authority, 0.000%, 1/1/2025	1,000,000	858,460
City of Beaumont Waterworks & Sewer System Revenue, BAM:
5.000%, 9/1/2026, Call 9/1/2025	1,000,000	1,170,700
5.000%, 9/1/2027, Call 9/1/2025	600,000	700,440
5.000%, 9/1/2030, Call 9/1/2025	1,000,000	1,157,580
City of Galveston Wharves & Terminal Revenue, 4.625%, 2/1/2024, Call 2/1/2021	1,130,000	1,179,923
City of Houston, 5.000%, 9/1/2026, Call 9/1/2024	250,000	284,570
City of Houston, AMBAC, 0.000%, 9/1/2019	400,000	396,724
City of Houston Airport System Revenue:
5.000%, 7/1/2030, Call 7/1/2028	1,375,000	1,663,365
5.000%, 7/1/2038, Call 7/1/2028	5,000,000	5,767,200
City of Laredo International Toll Bridge System Revenue, AGM:
5.000%, 10/1/2026, Call 10/1/2024	225,000	258,514
5.000%, 10/1/2027, Call 10/1/2024	240,000	274,390
City of San Marcos Electric Utility System Revenue, BAM:

4.500%, 11/1/2028, Call 11/1/2022	600,000	645,924
5.000%, 11/1/2033, Call 11/1/2022	1,215,000	1,330,984
Clifton Higher Education Finance Corp., PSF:
5.000%, 8/15/2026, Call 8/15/2025	675,000	793,584
5.000%, 8/15/2027, Call 8/15/2025	545,000	638,593
5.000%, 8/15/2028, Call 8/15/2025	835,000	974,019
5.000%, 8/15/2029, Call 8/15/2025	335,000	389,025
5.000%, 8/15/2030, Call 8/15/2025	1,250,000	1,445,913
Corpus Christi Business & Job Development Corp., 5.000%, 9/1/2022	1,000,000	1,103,100
County of Bexar, AGM, 5.000%, 8/15/2031, Call 8/15/2024	1,280,000	1,444,659
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021	4,000,000	4,345,000
Crane County Water District:
5.000%, 2/15/2026, Call 2/15/2025	915,000	1,054,556
5.000%, 2/15/2030, Call 2/15/2025	1,000,000	1,134,050
Cypress-Fairbanks Independent School District, PSF, 5.000%, 2/15/2034, Call 2/15/2021	675,000	713,698
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022	1,000,000	1,109,950
5.000%, 11/1/2032, Call 11/1/2020	5,000,000	5,233,350
5.000%, 11/1/2033, Call 11/1/2023	2,000,000	2,205,420
5.250%, 11/1/2033, Call 11/1/2023	1,200,000	1,336,320
Georgetown Independent School District, PSF:
5.000%, 8/15/2025, Call 8/15/2020	645,000	676,057
5.000%, 8/15/2027 (9)	1,000,000	1,224,380
5.000%, 8/15/2028 (9)	1,000,000	1,237,640
Grand Parkway Transportation Corp.:
5.000%, 10/1/2043, Call 4/1/2028	0	0
5.050%, 10/1/2030, Call 10/1/2028 (10)	1,000,000	995,180
Gulf Coast Authority, AGM:
5.000%, 10/1/2029, Call 10/1/2022	1,430,000	1,577,076
5.000%, 10/1/2030, Call 10/1/2022	1,505,000	1,657,607
Harris County Cultural Education Facilities Finance Corp.:
2.490%, (SIFMA Municipal Swap Index Yield), 6/1/2020 (7)	2,000,000	2,010,020
2.570%, (SIFMA Municipal Swap Index Yield), 6/1/2021 (7)	2,400,000	2,418,096
5.250%, 10/1/2029, Call 10/1/2019	1,550,000	1,580,705
Harris County Municipal Utility District No. 165, BAM, 5.000%, 3/1/2025	400,000	464,296
Harris County Municipal Utility District No. 374, AGM, 5.000%, 9/1/2036, Call 9/1/2019	550,000	559,284
Lancaster Independent School District, BAM, 4.000%, 2/15/2029, Call 2/15/2025	3,000,000	3,242,970
Lower Colorado River Authority:
5.000%, 5/15/2026, Call 5/15/2025	695,000	812,837
5.000%, 5/15/2027, Call 5/15/2025	1,355,000	1,575,323
Mesquite Independent School District, PSF, 0.000%, 8/15/2021	635,000	609,263
Mission Economic Development Corp.:
2.150%, 4/1/2019 (7)	7,800,000	7,800,858
2.350%, 5/1/2019 (7)	2,000,000	2,000,180
Nacogdoches County Hospital District, AGM, 3.000%, 5/15/2019	510,000	510,490
New Hope Cultural Education Facilities Finance Corp.:
5.000%, 11/15/2031, Call 11/15/2024	850,000	898,858
5.000%, 8/15/2036, Call 8/15/2021 (5)	1,700,000	1,708,109
5.000%, 8/15/2037, Call 8/15/2021 (5)	1,260,000	1,264,271
5.500%, 8/15/2036, Call 8/15/2021	1,000,000	1,014,340
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2024	440,000	474,170
North Texas Tollway Authority:
5.000%, 1/1/2027, Call 1/1/2025	2,090,000	2,408,579
5.000%, 1/1/2048, Call 1/1/2028	5,000,000	5,596,950
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2019 (7)	2,030,000	2,033,065
Pleasanton Independent School District, PSF, 5.000%, 8/15/2029, Call 8/15/2024	1,000,000	1,148,980
San Antonio Municipal Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021	500,000	534,555
Sienna Plantation Levee Improvement District, BAM, 4.000%, 9/1/2020	400,000	413,072
State of Texas, 4.000%, 8/29/2019	3,500,000	3,538,990
Tarrant County Cultural Education Facilities Finance Corp.:
5.000%, 10/1/2028, Call 10/1/2023	2,030,000	2,282,309
5.000%, 5/15/2037, Call 5/15/2024	1,895,000	1,939,703
5.000%, 11/15/2037, Call 11/15/2027	2,175,000	2,364,529

5.000%, 5/15/2045, Call 5/15/2024	3,250,000	3,283,020
5.000%, 11/15/2046, Call 11/15/2026	2,000,000	2,126,280
5.000%, 11/15/2046, Call 11/15/2027	1,250,000	1,337,513
Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2021	2,000,000	2,143,960
Waco Independent School District, PSF:
4.000%, 8/15/2028, Call 8/15/2024	1,000,000	1,091,370
4.000%, 8/15/2029, Call 8/15/2024	2,380,000	2,579,896
		116,554,385
U. S. Virgin Islands — 0.2%
Virgin Islands Public Finance Authority:
5.000%, 9/1/2030, Call 9/1/2025 (5)	2,320,000	2,497,642
5.000%, 9/1/2033, Call 9/1/2025 (5)	1,000,000	1,061,380
		3,559,022
Utah — 0.7%
Central Utah Water Conservancy District:
5.000%, 10/1/2026, Call 10/1/2019	850,000	866,957
5.000%, 10/1/2028, Call 10/1/2019	1,000,000	1,019,950
City of Draper, 5.000%, 5/1/2032, Call 5/1/2022	325,000	355,358
City of Riverton:
5.250%, 12/1/2034, Call 6/1/2023	1,455,000	1,635,813
5.250%, 12/1/2036, Call 6/1/2023	2,150,000	2,416,256
Jordan Valley Water Conservancy District, 5.000%, 10/1/2035, Call 4/1/2021	920,000	981,824
Utah Charter School Finance Authority, UT, 5.250%, 10/15/2028, Call 10/15/2023	480,000	535,426
Utah Infrastructure Agency, AGM:
5.400%, 10/15/2036, Call 10/15/2021	1,000,000	1,096,880
5.500%, 10/15/2030, Call 10/15/2021	1,300,000	1,429,259
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020	1,030,000	1,077,679
		11,415,402
Vermont — 0.1%
Vermont Housing Finance Agency, GNMA/FNMA/FHLMC, 4.000%, 11/1/2043, Call 5/1/2023	785,000	816,384
Vermont Student Assistance Corp.:
5.000%, 6/15/2019 (12)	130,000	131,010
5.000%, 6/15/2020 (12)	125,000	129,224
		1,076,618
Virginia — 0.7%
Charles City County Economic Development Authority, 2.125%, 4/1/2020 (7)	1,035,000	1,032,868
City of Chesapeake Chesapeake Expressway Toll Road Revenue, 5.000%, 7/15/2022	500,000	542,430
FHLMC Multifamily VRD Certificates, 1.990%, (SIFMA Municipal Swap Index Yield), 6/15/2035, Call 10/15/2029 (7)	2,000,000	2,002,120
Henrico County Economic Development Authority, AGM, 4.365%, 8/23/2027, Call 2/28/2019 (7)(11)	50,000	50,000
Henrico County Virginia Economic Development Authority, 5.000%, 10/1/2037, Call 10/1/2024	1,000,000	1,089,570
Stafford County Economic Development Authority:
5.000%, 6/15/2028, Call 6/15/2026	1,000,000	1,150,900
5.000%, 6/15/2030, Call 6/15/2026	700,000	797,097
Virginia College Building Authority:
5.000%, 3/1/2023, Call 3/1/2020	745,000	769,294
5.000%, 3/1/2024, Call 3/1/2020	1,755,000	1,811,002
5.000%, 2/1/2031, Call 2/1/2027	2,200,000	2,616,196
Virginia Small Business Financing Authority, 4.250%, 11/1/2021, Call 5/1/2020	1,000,000	1,030,630
		12,892,107
Washington — 1.9%
Chelan County Public Utility District No. 1, NATL-RE, 0.000%, 6/1/2024	210,000	185,335
FYI Properties, 5.000%, 6/1/2031, Call 6/1/2028 (9)	5,000,000	5,989,800
King County Housing Authority, County Guarantee:
5.200%, 5/1/2028, Call 4/1/2019	660,000	661,551
5.500%, 12/1/2028, Call 4/1/2019	1,000,000	1,003,280
King County Public Hospital District No. 1, 5.000%, 12/1/2031, Call 12/1/2026	4,000,000	4,601,880
King County Public Hospital District No. 2, 5.250%, 12/1/2028, Call 12/1/2020	200,000	211,488
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	30,000	30,169

Mason & Kitsap Counties School District No. 403 North Mason, School Bond Gty, 5.000%, 12/1/2035, Call 12/1/2023	2,025,000	2,284,139
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020	1,060,000	1,120,696
Spokane County School District No 81 Spokane, School Bond Gty, 5.000%, 12/1/2036, Call 6/1/2029	5,000,000	5,957,950
Spokane County School District No. 81 Spokane, School Bond Gty, 5.000%, 12/1/2030, Call 12/1/2021	650,000	709,033
State of Washington, 4.100%, 7/1/2022, Call 3/15/2019	440,000	440,348
Washington Health Care Facilities Authority, 5.000%, 10/1/2030, Call 10/1/2022	750,000	825,232
Washington State Housing Finance Commission:
5.000%, 1/1/2029, Call 1/1/2026 (5)	840,000	927,998
5.000%, 1/1/2036, Call 1/1/2025 (5)	2,125,000	2,259,109
5.000%, 1/1/2038, Call 1/1/2026 (5)	2,000,000	2,114,000
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC, 3.050%, 6/1/2022	750,000	774,645
WBRP 3.2:
5.000%, 1/1/2026, Call 7/1/2025	750,000	886,582
5.000%, 1/1/2031, Call 7/1/2025	940,000	1,088,727
Whidbey Island Public Hospital District:
5.000%, 12/1/2021	520,000	556,499
5.000%, 12/1/2022	510,000	558,180
		33,186,641
West Virginia — 0.3%
West Virginia Hospital Finance Authority:
5.000%, 6/1/2042, Call 6/1/2027	3,665,000	4,006,908
5.000%, 1/1/2043, Call 1/1/2029	1,750,000	1,926,260
		5,933,168
Wisconsin — 3.4%
City of Oak Creek, 3.000%, 6/1/2027, Call 6/1/2025	100,000	103,736
Public Finance Authority:
3.500%, 11/15/2023, Call 5/15/2019 (5)	750,000	750,150
3.950%, 11/15/2024, Call 11/15/2019 (5)	1,000,000	1,004,610
4.750%, 12/1/2035, Call 12/1/2020	2,000,000	2,027,500
5.000%, 11/15/2029	2,500,000	2,816,550
5.000%, 11/15/2030	1,620,000	1,821,123
5.000%, 7/1/2037, Call 7/1/2024	820,000	862,952
5.000%, 9/30/2037, Call 9/30/2027	250,000	275,295
5.000%, 7/1/2047, Call 7/1/2024	1,000,000	1,040,660
5.125%, 7/15/2037, Call 7/15/2027 (5)	2,500,000	2,529,525
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022	800,000	857,096
5.000%, 3/1/2023, Call 9/1/2021	2,000,000	2,155,860
5.000%, 5/1/2027, Call 5/1/2022	25,000	27,550
5.000%, 5/1/2027, Call 5/1/2022	1,580,000	1,737,289
5.750%, 5/1/2029, Call 5/1/2019	105,000	105,706
5.750%, 5/1/2029, Call 5/1/2019	1,050,000	1,056,877
6.000%, 5/1/2033, Call 5/1/2019	135,000	135,960
6.000%, 5/1/2033, Call 5/1/2019	1,280,000	1,289,101
6.000%, 5/1/2036, Call 5/1/2019	1,965,000	1,978,971
Wisconsin Center District:
0.000%, 12/15/2033, Call 6/15/2026	2,200,000	1,289,398
0.000%, 12/15/2034, Call 6/15/2026	6,665,000	3,712,072
Wisconsin Center District, AGM:
5.250%, 12/15/2023	520,000	574,350
5.250%, 12/15/2027	1,930,000	2,258,003
Wisconsin Health & Educational Facilities Authority:
4.750%, 10/15/2029, Call 10/15/2021	605,000	640,017
5.000%, 6/1/2019	105,000	105,738
5.000%, 7/1/2019	340,000	343,723
5.000%, 7/1/2019	650,000	657,118
5.000%, 8/15/2019	250,000	253,803
5.000%, 8/15/2019	955,000	969,096
5.000%, 8/15/2020	1,060,000	1,109,470
5.000%, 3/1/2021	240,000	248,959

5.000%, 8/15/2021	1,160,000		1,249,912
5.000%, 3/1/2022	0		0
5.000%, 10/1/2022	750,000		831,247
5.000%, 12/15/2022	500,000		555,540
5.000%, 12/15/2023	500,000		568,325
5.000%, 12/15/2024	500,000		579,875
5.000%, 3/1/2025, Call 3/1/2024	315,000		339,784
5.000%, 6/1/2026, Call 6/1/2020	135,000		140,499
5.000%, 8/15/2027, Call 8/15/2022	500,000		553,595
5.000%, 12/15/2028, Call 12/15/2024	100,000		113,801
5.000%, 8/15/2029, Call 8/15/2022	1,700,000		1,885,232
5.000%, 4/1/2032, Call 10/1/2022	4,560,000		4,956,629
5.000%, 6/1/2032, Call 6/1/2022	1,000,000		1,071,290
5.000%, 8/15/2032, Call 8/15/2022	5,000,000		5,544,800
5.125%, 4/15/2031, Call 4/15/2023	250,000		283,878
5.250%, 6/1/2034, Call 6/1/2020	300,000		313,137
5.375%, 8/15/2024, Call 2/15/2020	1,625,000		1,681,647
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021	3,655,000		3,937,641
			59,345,090
Wyoming — 0.1%
County of Laramie, 5.000%, 5/1/2027, Call 5/1/2021	1,000,000		1,064,890
Total Municipals (identified cost $1,673,499,114)			1,719,603,386
Short-Term Investments — 0.3%
Repurchase Agreements — 0.0%
Agreement with Fixed Income Clearing Corp., 1.400%, dated 2/28/2019, to be repurchased at $388,182 on 3/1/2019, collateralized by U.S. Government Treasury Obligations with a maturity of 11/15/2021, with a fair value $397,107, 0.000%	388,167		388,167
Short-Term Municipals — 0.3%
Florida — 0.3%
Jea Florida Electric System Revenue, 2.000%, 3/19/2019	5,000,000		5,000,000
Total Short-Term Investments (identified cost $5,388,166)			5,388,167
Total Investments — 98.2% (identified cost $1,678,887,280)			1,724,991,553
Other Assets and Liabilities — 1.8%			31,724,509
Total Net Assets — 100.0%		$	1,756,716,062

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 28, 2019 these securities amounted to:

Fund	Amount		% of Total Net Assets
Intermediate Tax-Free Fund		59,502,465		3.39

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

(7) Denotes a variable rate security. The rate shown is the current interest rate as of February 28, 2019. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

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

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

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

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

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end management investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended, (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act. Based on their review, such officers have concluded that the disclosure controls and procedures were effective in ensuring that information required to be disclosed in this report was appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service providers.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that materially affected, or were reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to open-end management investment companies.

Item 13. Exhibits.

(a) (1) Not applicable to semi-annual reports.

(a) (2) Certifications required pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(a) (3) Not applicable.

(a)(4) Not applicable.

(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BMO Funds, Inc.
By:	/s/ John M. Blaser
	John M. Blaser
	President
Date:	May 2, 2019

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/ John M. Blaser
	John M. Blaser
	President
	(Principal Executive Officer)
Date:	May 2, 2019
By:	/s/ Timothy M. Bonin
	Timothy M. Bonin
	Treasurer
	(Principal Financial Officer)
Date:	May 2, 2019