UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT

COMPANIES

Investment Company Act File Number 811-58433

BMO Funds, Inc.

(Exact name of registrant as specified in charter)

111 East Kilbourn Avenue, Suite 200

                Milwaukee, WI 53202                

(Address of principal executive offices) (Zip code)

John M. Blaser

BMO Asset Management Corp.

111 East Kilbourn Avenue, Suite 200

                  Milwaukee, WI 53202                  

(Name and address of agent for service)

Copies to:

Michael P. O’Hare, Esq.

Stradley, Ronon, Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103

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

Date of fiscal year end: August 31

Date of reporting period: August 31, 2015

Item 1. Reports to Stockholders.

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

BMO Funds August 31, 2015

Annual report

Equity Funds

International & Global Funds

Fixed Income Funds

Money Market Funds

Table of Contents

Commentaries
BMO Low Volatility Equity Fund	2	BMO Ultra Short Tax-Free Fund	17
BMO Dividend Income Fund	3	BMO Short Tax-Free Fund	18
BMO Large-Cap Value Fund	4	BMO Short-Term Income Fund	19
BMO Large-Cap Growth Fund	5	BMO Intermediate Tax-Free Fund	20
BMO Mid-Cap Value Fund	6	BMO Mortgage Income Fund	21
BMO Mid-Cap Growth Fund	7	BMO TCH Intermediate Income Fund	22
BMO Small Cap Value Fund	8	BMO TCH Corporate Income Fund	23
BMO Small-Cap Core Fund	9	BMO TCH Core Plus Bond Fund	24
BMO Small Cap Growth Fund	10	BMO Monegy High Yield Bond Fund	25
BMO Global Low Volatility Equity Fund	11	BMO Multi-Asset Income Fund	26
BMO Pyrford Global Equity Fund	12	BMO Government Money Market Fund	27
BMO Pyrford International Stock Fund	13	BMO Tax-Free Money Market Fund	28
BMO LGM Emerging Markets Equity Fund	14	BMO Prime Money Market Fund	29
BMO TCH Emerging Markets Bond Fund	15	Explanation of the Indexes and Notes in the Commentary	30
BMO Alternative Strategies Fund	16
Financial Information
Expense Example			34
Schedules of Investments:
BMO Low Volatility Equity Fund	37	BMO Alternative Strategies Fund	61
BMO Dividend Income Fund	38	BMO Ultra Short Tax-Free Fund	67
BMO Large-Cap Value Fund	40	BMO Short Tax-Free Fund	71
BMO Large-Cap Growth Fund	42	BMO Short-Term Income Fund	74
BMO Mid-Cap Value Fund	43	BMO Intermediate Tax-Free Fund	78
BMO Mid-Cap Growth Fund	45	BMO Mortgage Income Fund	83
BMO Small Cap Value Fund	47	BMO TCH Intermediate Income Fund	85
BMO Small-Cap Core Fund	48	BMO TCH Corporate Income Fund	86
BMO Small Cap Growth Fund	51	BMO TCH Core Plus Bond Fund	90
BMO Global Low Volatility Equity Fund	53	BMO Monegy High Yield Bond Fund	94
BMO Pyrford Global Equity Fund	55	BMO Multi-Asset Income Fund	99
BMO Pyrford International Stock Fund	56	BMO Government Money Market Fund	99
BMO LGM Emerging Markets Equity Fund	58	BMO Tax-Free Money Market Fund	101
BMO TCH Emerging Markets Bond Fund	59	BMO Prime Money Market Fund	103
Notes to Schedules of Investments			106
Statements of Assets and Liabilities			107
Statements of Operations			114
Statements of Changes in Net Assets			120
Financial Highlights			128
Notes to Financial Statements			138
Report of Independent Registered Public Accounting Firm			168
Directors and Officers of the Funds			169
Shareholder Report Disclosure of Directors’ Approval of Advisory Contracts			171

Not FDIC Insured No Bank Guarantee May Lose Value

Annual Report — Commentary BMO Low Volatility Equity Fund

The BMO Low Volatility Equity Fund (the Fund) returned 5.56% for the fiscal year ended August 31, 2015 versus the Russell 1000^® Index and Lipper Large-Cap Core Funds Index, which returned 0.40% and -1.20%, respectively.

The fiscal year marked the return of volatility and macro risk to equity markets around the world as investors became increasingly concerned about slowing global growth, particularly in China, and the potential for rising interest rates in the U.S. This was most apparent in commodity markets as West Texas Intermediate Crude oil fell from over $90/barrel to less than $50/barrel by the end of the year. The U.S. equity market held up well compared to other markets around the world, as the S&P 500^® was essentially flat for the year.

Within the Fund’s investment universe, stocks with strong growth prospects outperformed stocks with attractive valuations. Additionally, the market rewarded quality fundamentals and defensive companies over low quality, riskier stocks. This market environment led to outperformance of Health Care and Consumer Discretionary while Energy and Materials lagged significantly.

The Fund’s focus on lower risk, high quality stocks led to its outperformance this year. This performance came equally from stock selection and sector allocation. The Fund’s overweight of Consumer Staples as well as an underweight of Energy contributed positively to the Fund’s performance, while an underweight of Technology and an overweight of Utilities detracted from performance. Stock selection was particularly strong in Consumer Staples and Materials while selection within Consumer Discretionary detracted from performance. Within Consumer Staples, Pinnacle Foods, Inc. (1.7% of the Fund, 41.1%) was the top contributor. Other top contributors included Sigma-Aldrich Corp. (0.0% of the Fund, 39.4%), Cigna Corp. (0.0% of the Fund, 48.9%) and Graham Holdings Co., Class B (0.2% of the Fund, 50.4%). Top detractors included Consumer Discretionary companies Fossil Group, Inc. (0.0% of the Fund, -39.2%), Kohl’s Corp. (1.1% of the Fund, -10.9%) and Sally Beauty Holdings, Inc. (0.9% of the Fund, -6.2%).

Heading into fiscal 2016, we believe there are several themes that will influence equity markets. Federal Reserve policy, especially the timing and pace of interest rate increases over the next year, will be among the most important drivers. Additionally, China’s economic slowdown and the effect on commodity markets and global growth will likely lead to continued volatility. We have positioned the Fund to minimize exposure to the macroeconomic factors and focus on stock selection.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		5.22			7.42
Advisor Class (A) OFFER		(0.01	)		3.15
Institutional Class (I)		5.56			13.21
Russell 1000® Index		0.40			14.13
Lipper Large-Cap Core Funds Index		(1.20	)		12.87

* Benchmarks since inception reflect the inception date of the institutional class.

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

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Jason C. Hans, CFA; since 1999

Ernesto Ramos, Ph.D.; since 1988

					Inception date		Expenses (%)
Share class	Ticker		CUSIP				Gross		Net
Advisor (A)		BLVAX		09658W105		5/27/2014		1.20		0.90
Institutional (I)		MLVEX		09658L208		9/28/2012		0.95		0.65

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		10.2
Consumer Staples		20.5
Energy		2.8
Financials		19.6
Healthcare		11.1
Industrials		0.9
Information Technology		11.3
Materials		1.9
Telecommunication Services		3.1
Utilities		8.6
Other Assets & Liabilities, Net		10.0
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

2

Annual Report — Commentary BMO Dividend Income Fund

The BMO Dividend Income Fund (the Fund) returned -3.38% for the fiscal year ended August 31, 2015 versus the Russell 1000^® Value Index, the Standard & Poor’s 500^® Index and the Lipper Equity Income Funds Index, which returned -3.48%, 0.48% and -3.35%, respectively.

The U.S. economic recovery continues to be a leader among its global peers. Improvements in housing, auto sales, and employment have been the bright spots while oil prices have declined significantly. Company earnings, outside of the energy sector, remain solid. Profit margins are historically high due to disciplined management teams’ sharp focus on cost control. Recent market volatility has been driven by the uncertain future path of U.S. interest rates along with struggling emerging market economies. The Fund underperformed the market, as investors rotated out of defensive, higher-yielding stocks.

The main source of underperformance for the Fund came from the Fund’s stock selection within the Information Technology (IT) sector. The Fund’s IT holdings include large positions in personal computer (PC) related companies due to their attractive valuations and large dividend yields. Unfortunately, PC stocks underperformed as companies lowered their sales guidance. This was driven by the slowing corporate migration from Windows XP to Windows 7, which had previously benefitted PC stocks. Two of the largest detractors that fit this theme were Seagate Technology PLC (1.0% of the Fund, -14.7%) and Intel Corp. (2.1% of the Fund, -15.8%).

The Fund benefited from strong stock selection within the Consumer Staples sector. The Fund’s tobacco holdings led due to industry consolidation. Lorillard (0.0% of the Fund, 23.0%) was acquired by Reynolds American, Inc. (0.8% of the Fund, 16.1%). The two companies, along with Altria Group, Inc. (3.0% of the Fund, 29.8%), were able to pass along price increases earlier this year. Dr. Pepper Snapple Group, Inc. (1.2% of the Fund, 25.0%), also continues to perform well in a challenging beverage environment through pricing growth and strong cost management.

We remain committed to our strategy of investing in stable, mature, dividend paying companies that historically have performed well over long-term investment cycles.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		(3.63	)		1.58
Advisor Class (A) OFFER		(8.43	)		(2.44	)
Institutional Class (I)		(3.38	)		12.28
Russell 1000® Value Index		(3.48	)		14.61
Standard & Poor’s 500® Index		0.48			15.36
Lipper Equity Income Funds Index		(3.35	)		12.25

* Benchmarks since inception reflect the inception date of the institutional class.

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

Fund Managers; Investment Experience

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

Casey J. Sambs, CFA; since 2004

					Inception date		Expenses (%)
Share class	Ticker		CUSIP				Gross		Net
Advisor (A)		BADIX		09658W204		5/27/2014		1.11		0.90
Institutional (I)		MDIVX		09658L604		12/29/2011		0.86		0.65

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		9.2
Consumer Staples		8.1
Energy		6.5
Financials		19.0
Healthcare		11.9
Industrials		8.3
Information Technology		14.9
Materials		7.3
Telecommunication Services		5.8
Utilities		6.8
Other Assets & Liabilities, Net		2.2
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

3

Annual Report — Commentary BMO Large-Cap Value Fund

The BMO Large-Cap Value Fund (the Fund) returned -0.70% for the fiscal year ended August 31, 2015 versus the Russell 1000^® Value Index and the Lipper Multi-Cap Value Funds Index, which returned -3.48% and -3.28%, respectively.

The fiscal year marked the return of volatility and macro risk to equity markets around the world as investors became increasingly concerned about slowing global growth, particularly in China, and the potential for rising interest rates in the U.S. This was most apparent in commodity markets as West Texas Intermediate Crude oil fell from over $90/barrel to less than $50/barrel by the end of the year. The U.S. equity market held up well compared to other markets around the world, as the S&P 500^® was essentially flat for the year.

Within the Fund’s investment universe, stocks with strong growth prospects outperformed stocks with attractive valuations. Additionally, the market rewarded quality fundamentals and defensive companies over low quality, riskier stocks. This market environment led to outperformance of Health Care and Consumer Staples while Energy and Materials lagged significantly.

The Fund outperformed its benchmark solely through stock selection, as sector allocation was neutral for the year. Stock selection was particularly strong in Industrials, Energy and Consumer Staples while selection within Financials and Utilities detracted from performance. Within Consumer Staples, Kroger Co. (1.3% of the Fund, 36.9%) and CVS Health Corp. (2.0% of the Fund, 30.6%) were top contributors. Within Energy, Cameron International Corp. (0.0% of the Fund, -10.2%) was the top contributor. Significant detractors from performance included energy companies Halliburton Co. (1.4% of the Fund, -40.8%) and Helmerich & Payne, Inc. (1.2% of the Fund, -41.6%) and materials company LyondellBasell Industries NV, Class A (1.7% of the Fund, -22.8%).

Heading into fiscal 2016, we believe there are several themes that will influence equity markets. Federal Reserve policy, especially the timing and pace of interest rate increases over the next year will be among the most important drivers. Additionally, China’s economic slowdown and the effect on commodity markets and global growth, will likely lead to continued volatility. We have positioned the Fund to minimize exposure to the macroeconomic factors and focus on stock selection.

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Investor Class (Y)		(0.70	)		15.15		6.13		—
Advisor Class (A) NAV		(0.70	)		—		—		3.61
Advisor Class (A) OFFER		(5.68	)		—		—		(0.49	)
Institutional Class (I)		(0.45	)		15.44		—		5.72
Russell 1000® Value Index		(3.48	)		14.68		6.18		—
Lipper Multi-Cap Value Funds Index		(3.28	)		13.93		5.53		—

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

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Jason C. Hans, CFA; since 1999

Ernesto Ramos, Ph.D.; since 1988

					Inception date		Expenses (%)
Share class	Ticker		CUSIP				Gross		Net
Investor (Y)		MREIX		09658L836		9/30/1993		1.24		1.20
Advisor (A)		BALVX		09658W303		5/27/2014		1.24		1.20
Institutional (I)		MLVIX		09658L844		1/31/2008		0.99		0.95

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		8.2
Consumer Staples		8.0
Energy		12.5
Financials		28.0
Healthcare		13.0
Industrials		5.8
Information Technology		10.2
Materials		4.4
Telecommunication Services		1.9
Utilities		6.2
Other Assets & Liabilities, Net		1.8
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

4

Annual Report — Commentary BMO Large-Cap Growth Fund

The BMO Large-Cap Growth Fund (the Fund) returned 5.58% for the fiscal year ended August 31, 2015 versus the Russell 1000^® Growth Index and the Lipper Multi-Cap Growth Funds Index, which returned 4.26% and 4.40%, respectively.

The fiscal year marked the return of volatility and macro risk to equity markets around the world as investors became increasingly concerned about slowing global growth, particularly in China, and the potential for rising interest rates in the U.S. This was most apparent in commodity markets as West Texas Intermediate Crude oil fell from over $90/barrel to less than $50/barrel by the end of the year. The U.S. equity market held up well compared to other markets around the world, as the S&P 500^® was essentially flat for the year.

Within the Fund’s investment universe, stocks with strong growth prospects outperformed stocks with attractive valuations. Additionally, the market rewarded quality fundamentals and defensive companies over low quality, riskier stocks. This market environment led to outperformance of Health Care and Consumer Discretionary while Energy and Materials lagged significantly.

The Fund outperformed its benchmark through a combination of stock selection and sector allocation. An overweight position in Health Care as well as underweights of Energy and Materials contributed positively to the Fund’s performance, while underweights of Consumer Discretionary and Staples detracted from performance. Stock selection was particularly strong in Industrials and Technology while selection within Consumer Discretionary detracted from performance. Within Technology, Skyworks Solutions, Inc. (1.2% of the Fund, 55.4%) was the top contributor. Other top contributors included Health Care companies, including Centene Corp. (1.7% of the Fund, 58.0%), Edwards Lifesciences Corp. (0.0% of the Fund, 41.9%) and United Therapeutics Corp. (0.0% of the Fund, 27.8%). Top detractors included Energy companies Helmerich & Payne, Inc. (0.0% of the Fund, -41.6%), EOG Resources, Inc. (0.0% of the Fund, -28.2%) and National Oilwell Varco, Inc. (0.0% of the Fund, -49.5%).

Heading into fiscal 2016, we believe there are several themes that will influence equity markets. Federal Reserve policy, especially the timing and pace of interest rate increases over the next year, will be among the most important drivers. Additionally, China’s economic slowdown and the effect on commodity markets and global growth will likely lead to continued volatility. We have positioned the Fund to minimize exposure to the macroeconomic factors and focus on stock selection.

Average annual total returns (%)
	1-year		5-year		10-year		Since inception
Investor Class (Y)		5.58		17.78		7.88		—
Advisor Class (A) NAV		5.58		—		—		9.91
Advisor Class (A) OFFER		0.33		—		—		5.56
Institutional Class (I)		5.85		18.07		—		8.96
Russell 1000® Growth Index		4.26		17.40		8.41		—
Lipper Multi-Cap Growth Funds Index		4.40		16.54		7.93		—

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

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Jason C. Hans, CFA; since 1999

Ernesto Ramos, Ph.D.; since 1988

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Investor (Y)	MASTX	09658L745	11/20/1992	1.25		1.20
Advisor (A)	BALGX	09658W402	5/27/2014	1.25		1.20
Institutional (I)	MLCIX	09658L752	1/31/2008	1.00		0.95

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		18.2
Consumer Staples		8.8
Energy		0.8
Financials		8.3
Healthcare		17.5
Industrials		11.3
Information Technology		31.1
Materials		1.2
Telecommunication Services		1.7
Other Assets & Liabilities, Net		1.1
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

5

Annual Report — Commentary BMO Mid-Cap Value Fund

The BMO Mid-Cap Value Fund (the Fund) returned -3.55% for the fiscal year ended August 31, 2015 versus the Russell Midcap^® Value Index and the Lipper Mid-Cap Value Funds Index, which returned -2.54% and -3.08%, respectively.

After a prolonged period of positive results, stocks in the Value index succumbed to various macro pressures and ended the fiscal year in negative territory. While no one specific factor can be attributable to the decline, the most obvious scapegoats were the concerns with a slowing Chinese economy and the realization the Federal Reserve may soon begin to raise interest rates. The returns of the index reflect negative results in the more economically sensitive areas such as Energy, Basic Materials, and Industrials, while Health Care and Consumer Staples provided positive results. Energy was hardest hit, down close to 50% due to the decline in oil.

The Fund had its share of positive and negative stocks during the year with most sectors contributing to both lists. Health Care stocks in the index advanced 23%, the best among the ten economic sectors. Health Care holdings in the Fund performed well, led by Omnicare (0.0% of the Fund) and Cigna Corp. (0.0% of the Fund), both advancing approximately 50%. Consumer Discretionary stocks in the portfolio gained 10% compared to 6.5% for the index stocks. Hasbro, Inc. (0.0% of the Fund) moved higher by 52%, while Advance Auto Parts, Inc. (1.1% of the Fund) gained 28%. Berry Plastics Group, Inc. (2.0% of the Fund) was up 23% for the year and led the Basic Material sector to a slightly positive return versus the index sector which fell about 15%.

Energy was the least attractive sector during the year, with the average holding in the Fund down close to 47%. By comparison, the return for the Energy sector was -48.5%. QEP Resource, Inc. (0.0% of the Fund), down 67%, recorded the largest percentile decline in the Fund. Several industrial holdings, with ties to the energy sector were weak performers. Fluor Corp. (1.2% of the Fund) and Jacobs Engineering Group, Inc. (1.3% of the Fund) declined 37% and 25%, respectively.

Sector allocation effect on relative performance was slightly negative, but not a significant factor. An overweight position in Energy, 6% vs 5%, detracted from relative performance. Other sector deviations compared to the index were nominal. Sector allocation is a by-product of the stock selection process and is not the driving force of investment decisions. The Fund’s focus has always been on company fundamentals, valuations, and a “bottom-up” individual stock selection process.

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Investor Class (Y)		(3.55	)		15.04		7.07		—
Advisor Class (A) NAV		(3.55	)		—		—		2.01
Advisor Class (A) OFFER		(8.37	)		—		—		(2.03	)
Institutional Class (I)		(3.29	)		15.35		—		8.24
Retirement Class (R-3)		(3.80	)		—		—		1.77
Retirement Class (R-6)		(3.19	)		—		—		2.41
Russell Midcap® Value Index		(2.54	)		15.96		7.93		—
Lipper Mid-Cap Value Funds Index		(3.08	)		15.04		7.40		—

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

Fund Managers; Investment Experience

Gregory S. Dirkse, CFA; since 1999

Matthew B. Fahey; since 1984

Brian J. Janowski, CFA, CPA; since 2002

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Investor (Y)	MRVEX	09658L695	9/30/1993	1.21		1.21
Advisor (A)	BAMCX	09658W501	5/27/2014	1.21		1.21
Institutional (I)	MRVIX	09658L711	1/31/2008	0.96		0.96
Retirement (R-3)	BMVDX	09658V446	5/27/2014	1.46		1.46
Retirement (R-6)	BMVGX	09658V438	5/27/2014	0.81		0.81

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		8.2
Consumer Staples		1.6
Energy		6.2
Financials		31.6
Healthcare		7.1
Industrials		12.2
Information Technology		15.2
Materials		8.9
Telecommunication Services		0.8
Utilities		4.6
Other Assets & Liabilities, Net		3.6
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class, Advisor Class, Retirement R-3 and Retirement R-6 Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

6

Annual Report — Commentary BMO Mid-Cap Growth Fund

The BMO Mid-Cap Growth Fund (the Fund) returned -2.89% for the fiscal year ended August 31, 2015 versus the Russell Midcap^® Growth Index and the Lipper Mid-Cap Growth Funds Index, which returned 2.46% and 2.43%, respectively.

Despite lingering geopolitical and macroeconomic risks during fiscal year 2015, the continued improvement in the U.S. economy, manageable inflation, and a still accommodative U.S. Federal Reserve resulted in positive absolute equity performance. Investor interest in the historically more defensive Consumer Staples and Healthcare sectors resulted in limited market breadth, as price momentum in those sectors drove overall benchmark returns. With the Federal Reserve contemplating the first interest rate increase in nine years as the fiscal year concludes, we are hopeful that investors will once again return to a focus on fundamentals and valuations as the now 6+ year bull market continues.

The Fund’s performance was driven by positive stock selection in the Technology sector, along with a group overweight to Health Care. Stock selection within the Energy, Health Care, and Industrials sectors, along with a group underweight to Consumer Staples, were most detrimental to relative returns. The top contributors to total return for the Fund during the year were: Palo Alto Networks, Inc. (0.9% of the Fund, 93.2%), O’Reilly Automotive, Inc. (1.2% of the Fund, 53.9%), and Acadia Healthcare Co., Inc. (1.4% of the Fund, 42.6%). The positions most detrimental to relative returns for the Fund were: Bellatrix Exploration, Ltd. (0.0% of the Fund, -69.0%), Approach Resources, Inc. (0.0% of the Fund, -68.2%), and Shutterstock, Inc. (1.4% of the Fund, -43.4%).

Our stock selection process remains disciplined and active, although with the Health Care and Consumer Staples sectors meaningfully outperforming all other sectors over the past year, the Fund is finding fewer compelling new ideas in those areas. Companies must demonstrate improving rates of what we view to be sustainable growth prior to us investing and valuations that are grounded in reality. In effect, this serves to limit risk, as we are not investing shareholders’ money on turnaround situations, nor speculating on the hopes and dreams of other investors and company management teams. We strongly believe that our strict adherence to our process should benefit Fund returns over the coming years.

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Investor Class (Y)		(2.89	)		14.40		8.15		—
Advisor Class (A) NAV		(2.89	)		—		—		1.20
Advisor Class (A) OFFER		(7.75	)		—		—		(2.81	)
Institutional Class (I)		(2.61	)		14.69				7.92
Retirement Class (R-3)		(3.11	)		—		—		0.96
Retirement Class (R-6)		(2.47	)		—		—		1.62
Russell Midcap® Growth Index		2.46			17.13		8.66		—
Lipper Mid-Cap Growth Funds Index		2.43			15.16		8.45		—

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

Fund Managers; Investment Experience

Patrick M. Gundlach, CFA; since 2002

Kenneth S. Salmon; since 1986

Share class			Inception date	Expenses (%)
	Ticker	CUSIP		Gross	Net
Investor (Y)	MRMSX	09658L729	9/30/1993	1.22		1.22
Advisor (A)	BGMAX	09658W600	5/27/2014	1.22		1.22
Institutional (I)	MRMIX	09658L737	1/31/2008	0.97		0.97
Retirement (R-3)	BMGDX	09658V420	5/27/2014	1.47		1.47
Retirement (R-6)	BMGGX	09658V412	5/27/2014	0.82		0.82

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		23.2
Consumer Staples		0.9
Energy		4.5
Financials		9.1
Healthcare		21.4
Industrials		10.0
Information Technology		26.2
Telecommunication Services		2.5
Other Assets & Liabilities, Net		2.2
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class, Advisor Class, Retirement R-3 and Retirement R-6 Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

7

Annual Report — Commentary BMO Small-Cap Value Fund

The BMO Small-Cap Value Fund (the Fund) returned -5.99% for the fiscal year ended August 31, 2015 versus the Russell 2000^® Value Index and the Lipper Small-Cap Value Funds Index, which returned -4.95% and -6.11%, respectively.

After a prolonged period of positive results, stocks in the index succumbed to various macro pressures and ended the fiscal year in negative territory. While no one specific factor can be attributable to the decline, the most obvious scapegoats were the concerns with a slowing Chinese economy and the realization the Federal Reserve may soon begin to raise interest rates. The returns of the index reflect negative results in the more economically sensitive areas such as Energy, Basic Materials, and Industrials, while Health Care and Consumer Staples provided positive results. Energy was hardest hit, down over 50% due to the decline in oil.

Stock selection in the portfolio relative to index stocks was strong during the year, with several large gainers. Sector allocation was a net negative to performance. Consumer stocks in the Fund advanced an average of 18%, which compared favorable to the index which recorded a slight loss. 1-800 Flowers.com (0.0% of the Fund) advanced 95%, while Helen of Troy Limited (0.0% of the Fund) gained 55%. Both stocks were eliminated due to price considerations. In the Financial sector, Fidelity Southern Corp. (0.0% of the Fund), a southeastern bank holding company, was up 46% and Customers Bancorp, Inc. (1.4% of the Fund) was up 32%. The overall performance in the Financial sector (ex REIT’s), was ahead approximately 16% versus the index average of only 7%.

Detractors from performance were predominantly from the cyclical sectors of Energy and Industrials. Within Energy, the Fund’s holdings declined an average of 69%, several percentage points worse than the index average of -56%. Unit Corp. (0.0% of the Fund), a mini conglomerate of drilling rigs, midstream assets and Exploration and Production assets, fell 80%, while Bellatrix Exploration (0.0% of the Fund), a natural gas producer, fell a like amount. The Fund held a very slight underweight position in Energy. Several Industrial stocks, with ties to the Energy industry fell hard on fears of reduced oil and gas drilling. MRC Global, Inc. (1.1% of the Fund) a distributor of pipes, valves, and fittings to the energy industry dropped 48% and led the Industrial sector to underperform.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		(6.18	)		(2.73	)
Advisor Class (A) OFFER		(10.88	)		(6.62	)
Institutional Class (I)		(5.99	)		10.25
Retirement Class (R-3)		(6.43	)		(2.95	)
Retirement Class (R-6)		(5.78	)		(2.30	)
Russell 2000® Value Index		(4.95	)		7.52
Lipper Small-Cap Value Funds Index		(6.11	)		7.25

* Benchmarks since inception reflect the inception date of the institutional class.

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

Fund Managers; Investment Experience

Gregory S. Dirkse, CFA; since 1999

Matthew B. Fahey; since 1984

Brian J. Janowski, CFA, CPA; since 2002

Share class			Inception date	Expenses (%)
	Ticker	CUSIP		Gross	Net
Advisor (A)	BACVX	09658W709	5/27/2014	1.41		1.25
Institutional (I)	MRSNX	09658L596	2/28/2011	1.16		1.00
Retirement (R-3)	BSVDX	09658V396	5/27/2014	1.66		1.50
Retirement (R-6)	BSVGX	09658V388	5/27/2014	1.01		0.85

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		10.4
Consumer Staples		2.2
Energy		3.5
Financials		27.0
Healthcare		6.0
Industrials		16.6
Information Technology		15.5
Materials		8.6
Telecommunication Services		1.6
Utilities		4.7
Other Assets & Liabilities, Net		3.9
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class, Retirement R-3 and Retirement R-6 Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

8

Annual Report — Commentary BMO Small-Cap Core Fund

The BMO Small-Cap Core Fund (the Fund) returned 0.48% for the fiscal year ended August 31, 2015 versus the Russell 2000^® Index and the Lipper Small-Cap Core Funds Index, which returned 0.03% and -1.11%, respectively.

The fiscal year marked the return of volatility and macro risk to equity markets around the world as investors became increasingly concerned about slowing global growth, particularly in China, and the potential for rising interest rates in the U.S. This was most apparent in commodity markets as West Texas Intermediate Crude oil fell from over $90/barrel to less than $50/barrel by the end of the year. The U.S. equity market held up well compared to other markets around the world, as the S&P 500 was essentially flat for the year.

Within the Fund’s investment universe, stocks with strong growth prospects outperformed stocks with attractive valuations. Additionally, the market rewarded quality fundamentals and defensive companies over low quality, riskier stocks. This market environment led to outperformance of Health Care and Consumer Discretionary while Energy and Materials lagged significantly.

The Fund outperformed its benchmark via a combination of strong stock selection and a positive contribution from sector allocation. Overweight holdings within Healthcare and an underweight position in Energy contributed to positive sector allocation. Stock selection was particularly strong in Financials and Industrials, while selection within Consumer Discretionary and Energy detracted from performance. Within Financials, Credit Acceptance Corp. (0.7% of the Fund, 65.4%) and Walker & Dunlop, Inc. (1.0% of the Fund, 71.5%) were top contributors. Within Industrials, Multi-Color Corp. (1.0% of the Fund, 42.5%) was the top contributor. Significant detractors from performance included energy companies Pioneer Energy Services Corp. (0.0% of the Fund, -78.5%) and Warren Resources, Inc. (0.0% of the Fund, -90.7%) and consumer discretionary company McClatchy Co. (0.0% of the Fund, -72.1%).

Heading into fiscal 2016, we believe there are several themes that will influence equity markets. Federal Reserve policy, especially the timing and pace of interest rate increases over the next year, will be among the most important drivers. Additionally, China’s economic slowdown and the effect on commodity markets and global growth will likely lead to continued volatility. We have positioned the Fund to minimize exposure to the macroeconomic factors and focus on stock selection.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		0.29			2.58
Advisor Class (A) OFFER		(4.76	)		(1.50	)
Institutional Class (I)		0.48			2.66
Russell 2000® Index		0.03			1.19
Lipper Small-Cap Core Funds Index		(1.11	)		0.87

* Benchmarks since inception reflect the inception date of the institutional class.

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

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Thomas Lettenberger, CFA; since 1994

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Advisor (A)	BCCAX	09658W808	5/27/2014	7.01		1.16
Institutional (I)	BSCNX	09658V537	12/27/2013	6.76		0.91

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		14.2
Consumer Staples		1.8
Energy		2.3
Financials		22.1
Healthcare		20.0
Industrials		15.3
Information Technology		19.7
Materials		0.7
Telecommunication Services		1.3
Utilities		1.6
Other Assets & Liabilities, Net		1.0
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

9

Annual Report — Commentary BMO Small-Cap Growth Fund

The BMO Small-Cap Growth Fund (the Fund) returned -1.56% for the fiscal year ended August 31, 2015 versus the Russell 2000^® Growth Index and the Lipper Small-Cap Growth Funds Index, which returned 5.11% and 4.00%, respectively.

Despite lingering geopolitical and macroeconomic risks during fiscal year 2015, the continued improvement in the U.S. economy, manageable inflation, and a still accommodative U.S. Federal Reserve resulted in reasonably strong equity performance. Investor speculation in some sectors, notably pre-commercial stage biotechs and Internet services, also was high, as risk-seeking and price momentum outweighed any valuation concerns for many investors during the year. With the Federal Reserve contemplating the first interest rate increase in nine years as the fiscal year concludes, we are hopeful that investors will once again return to a focus on fundamentals and valuations as the now 6+ year bull market continues.

The period was notable for the strong performance of price momentum, largely at the expense of valuation, which has been a headwind to Fund performance. The Fund’s performance was driven by strong stock selection in the Health Care and Industrials sectors, along with a group underweight to the Materials sector. Stock selection within the Consumer Discretionary, Energy, Financials, Technology and Materials sectors were most detrimental to relative returns, along with a group overweight to the Energy sector. The top contributors to total return for the Fund during the year were AMAG Pharmaceuticals, Inc. (0.0% of the Fund, 173.8%), Abiomed, Inc. (1.1% of the Fund, 268.1%), and Horizon Pharma PLC (1.5% of the Fund, 172.6%). The positions most detrimental to relative returns for the Fund were: Bellatrix Exploration, Ltd. (0.0% of the Fund, -66.4%), Approach Resources, Inc. (0.0% of the Fund, -68.2%), and Acacia Research Corp. (2.0% of the Fund, -44.2%).

Our stock selection process remains disciplined and active, although the Fund is finding fewer compelling new ideas in areas such as Health Care given the marked outperformance of that sector over the past year despite what the Fund views to be unappealing valuations. Companies must demonstrate improving rates of what we view to be sustainable growth prior to us investing, along with valuations grounded in reality. In effect, this serves to limit risk, as we are not investing shareholders’ money on turnaround situations, nor speculating on the hopes and dreams of other investors and company management teams. We strongly believe that our strict adherence to our process should benefit Fund returns over the coming years.

Average annual total returns (%)
	1-year			5-year		10-year		Since inception*
Investor Class (Y)		(1.56	)		15.34		9.65		—
Institutional Class (I)		(1.27	)		15.63		—		9.43
Russell 2000® Growth Index		5.11			17.83		8.46		—
Lipper Small-Cap Growth Funds Index		4.00			15.97		7.13		—

* Benchmarks since inception reflect the inception date of the investor class.

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

Fund Managers; Investment Experience

Patrick M. Gundlach, CFA; since 2002

Kenneth S. Salmon; since 1986

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Investor (Y)	MRSCX	09658L612	10/31/1995	1.41		1.41
Institutional (I)	MSGIX	09658L620	1/31/2008	1.16		1.16

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		16.4
Consumer Staples		0.8
Energy		6.7
Financials		8.9
Healthcare		19.8
Industrials		14.4
Information Technology		25.7
Materials		1.8
Telecommunication Services		4.1
Other Assets & Liabilities, Net		1.4
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

10

Annual Report — Commentary BMO Global Low Volatility Equity Fund

The BMO Global Low Volatility Equity Fund (the Fund) returned -0.08% for the fiscal year ended August 31, 2015 versus the Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) and the Lipper Global Multi-Cap Core Funds Index, which returned -6.29% and -5.15%, respectively.

The fiscal year marked the return of volatility and macro risk to equity markets around the world as investors became increasingly concerned about slowing global growth, particularly in China, and the potential for rising interest rates in the U.S. This was most apparent in commodity markets as West Texas Intermediate Crude oil fell from over $90/barrel to less than $50/barrel by the end of the year. The U.S. equity market held up well compared to other markets around the world, as the S&P 500^® was essentially flat for the year.

Within the Fund’s investment universe, fundamentally-strong companies outperformed as did companies with improving investor interest. Through the lens of risk, low volatility and low beta companies outperformed their higher risk peers. Finally, in this environment, investors were willing to pay up for stability, and so attractively-valued stocks underperformed. With the majority of the Fund’s investment themes outperforming, the Fund outperformed significantly for the year, helped by both stock selection and sector allocation. The Fund’s overweight of Health Care as well as an underweight of Energy and Materials contributed positively to the Fund’s performance, while an underweight of Technology and Consumer Discretionary and an overweight of Utilities detracted from performance. Greggs PLC (1.3% of the Fund, 101.5%) was the top contributor. Other top contributors included AmerisourceBergen Corp. (2.2% of the Fund, 30.8%), Dr. Pepper Snapple Group, Inc. (2.4% of the Fund, 25.0%) and Dollarama Inc. (2.4% of the Fund, 33.1%). Top detractors included Genworth MI Canada, Inc. (1.1% of the Fund, -31.6%), Public Bank Bhd (1.1% of the Fund, -27.8%) and Telekom Malaysia Bhd (1.4% of the Fund, -20.9%).

Heading into fiscal 2016, we believe there are several themes that will influence equity markets. Federal Reserve policy, especially the timing and pace of interest rate increases over the next year, will be among the most important drivers. Additionally, China’s economic slowdown and the effect on commodity markets and global growth, will likely lead to continued volatility. We have positioned the Fund to minimize exposure to the macroeconomic factors and focus on stock selection.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		(0.28	)		2.25
Advisor Class (A) OFFER		(5.24	)		(1.85	)
Institutional Class (I)		(0.08	)		7.52
Morgan Stanley Capital International All Country World Index		(6.29	)		4.00
Lipper Global Multi-Cap Core Funds Index		(5.15	)		3.93

* Benchmarks since inception reflect the inception date of the institutional class.

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

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Jay Kaufman, CFA; since 2006

Ernesto Ramos, Ph.D.; since 1988

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Advisor (A)	BAEGX	09658W873	5/27/2014	13.58		1.10
Institutional (I)	BGLBX	09658V768	9/30/2013	13.33		0.85

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		8.1
Consumer Staples		14.1
Financials		13.6
Healthcare		22.9
Industrials		8.8
Information Technology		4.8
Materials		1.8
Telecommunication Services		12.5
Utilities		10.3
Other Assets & Liabilities, Net		3.1
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

11

Annual Report — Commentary BMO Pyrford Global Equity Fund

The BMO Pyrford Global Equity Fund (the Fund) returned -8.46% for the fiscal year ended August 31 2015 versus the Morgan Stanley Capital International World Index and the Lipper Global Multi-Cap Core Funds Index, which returned -4.13% and -5.15%, respectively.

Global equity markets went through a period of volatility particularly over the summer as several factors weighed on markets. Economies and corporate earnings continued their disappointing growth over the year. Markets were concerned about the potential for U.S. interest rate increases, collapsing oil and commodity prices, and a slowdown in the Chinese economy. Several emerging economies are under stress leading to currency weakness. Central banks led by the Bank of Japan and the European Central Bank pumped a huge amount of liquidity (otherwise known as money printing) into the financial system to avoid falling into outright deflation. Ordinarily, this liquidity would have translated into robust credit growth in the real economy, but in a world where banks are reluctant to lend because of capital constraints and asset quality concerns and the private sector is unwilling to borrow because of already high existing levels of debt, this traditional transmission mechanism is broken.

We adopted a very defensive stance during the year, concentrating on characteristics of value and quality – high dividend yield, low financial leverage, and high return on equity. As a result, the Fund underperformed the MSCI World Index during the period under review. This underperformance was driven by country allocation and currency decisions while stock selection was slightly positive over the year. Within country allocation, the key positive contributors were the overweight position in Europe and underweight position in the UK and the underweight exposure to the Japanese yen. The hedge of the Australian dollar was a positive as it reacted to falling commodities prices with a major fall. The overweight position in the markets of Asia excluding Japan was a negative contributor. The Fund has very limited exposure to emerging markets that as a group dropped almost 30% over the year mainly driven by currency moves. Stock selection was positive in the U.S., Canada, and most of Europe, but was largely offset by negative stock selection in the Pacific Basin; particularly in Hong Kong, Australia, and Japan.

Our ongoing decision not to expose the portfolio to the significant risks of European banks added to relative performance as the Eurozone debt problem again made the front pages. Greece needed yet another bailout; this time some €86bn. We strongly believe that the European debt crisis has not gone away and banks remain the most exposed when the structural problems of peripheral southern Europe resurface.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		(8.68	)		(5.26	)
Advisor Class (A) OFFER		(13.28	)		(9.01	)
Institutional Class (I)		(8.46	)		(0.90	)
Morgan Stanley Capital International World Index		(4.13	)		1.66
Lipper Global Multi-Cap Core Funds Index		(5.15	)		0.30

* Benchmarks since inception reflect the inception date of the institutional class.

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

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Pyrford International Ltd.

Fund Managers; Investment Experience

Suhail Arain, CFA, since 1997

Tony Cousins, CFA, since 1985

Daniel McDonagh, CFA, since 1997

Paul Simons, CFA, since 1996

					Inception date		Expenses (%)
Share class	Ticker		CUSIP				Gross		Net
Advisor (A)		BAGEX		09658W865		5/27/2014		21.38		1.15
Institutional (I)		BGENX		09658V511		12/27/2013		21.13		0.90

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		8.0
Consumer Staples		15.5
Energy		10.1
Financials		9.1
Healthcare		8.9
Industrials		13.0
Information Technology		13.6
Materials		5.0
Telecommunication Services		8.6
Utilities		2.1
Other Assets & Liabilities, Net		6.1
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

12

Annual Report — Commentary BMO Pyrford International Stock Fund

The BMO Pyrford International Stock Fund (the Fund) returned -9.86% for the fiscal year ended August 31, 2015 versus the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East Index (EAFE) and the Lipper International Multi-Cap Core Funds Index, which returned -7.47% and -8.07%, respectively.

International equity markets went through a period of volatility particularly over the summer as several factors weighed on markets. Economies and corporate earnings continued their disappointing growth over the year. Markets were concerned about the potential for U.S. interest rate rises, collapsing oil and commodity prices, and a slowdown in the Chinese economy. Several emerging economies are under stress leading to currency weakness. Central banks led by the Bank of Japan and the European Central Bank pumped a huge amount of liquidity (otherwise known as money printing) into the financial system to avoid falling into outright deflation. Ordinarily, this liquidity would have translated into robust credit growth in the real economy, but in a world where banks are reluctant to lend because of capital constraints and asset quality concerns and the private sector is unwilling to borrow because of already high existing levels of debt, this traditional transmission mechanism is broken.

We adopted a very defensive stance during the year, concentrating on characteristics of value and quality – high dividend yield, low financial leverage, and high return on equity. As a result, the Fund underperformed the MSCI EAFE Index during the period under review. This underperformance was driven by country allocation while both currency decisions and stock selection added value over the year. Within country allocation the key positive contributors were the underweight position in the U.K. and the underweight exposure to the Japanese yen; the overweight position in the markets of Asia excluding Japan was a negative contributor. Stock selection was positive in all countries with the exception of Hong Kong, Australia, and Japan.

Our ongoing decision not to expose the portfolio to the significant risks of European banks added to relative performance as the Eurozone debt problem again made the front pages. Greece needed yet another bailout; this time some €86bn. We strongly believe that the European debt crisis has not gone away and banks remain the most exposed when the structural problems of peripheral southern Europe resurface.

Average annual total returns (%)
	1-year			Since inception*
Investor Class (Y)		(9.86	)		6.68
Advisor Class (A) NAV		(9.86	)		(8.00	)
Advisor Class (A) OFFER		(14.36	)		(11.65	)
Institutional Class (I)		(9.63	)		6.96
Retirement Class (R-3)		(10.06	)		(8.22	)
Retirement Class (R-6)		(9.56	)		(7.64	)
Morgan Stanley Capital International Europe, Australasia, Far East Index		(7.47	)		9.28
Lipper International Multi-Cap Core Funds Index		(8.07	)		8.88

* Benchmarks since inception reflect the inception date of the investor class.

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

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Pyrford International Ltd.

Fund Managers; Investment Experience

Tony Cousins, CFA, since 1985

Daniel McDonagh, CFA, since 1997

Paul Simons, CFA, since 1996

Share class			Inception date	Expenses (%)
	Ticker	CUSIP		Gross	Net
Investor (Y)	MISYX	09658L497	12/29/2011	1.27		1.24
Advisor (A)	BPIAX	09658W840	5/27/2014	1.27		1.24
Institutional (I)	MISNX	09658L513	12/29/2011	1.02		0.99
Retirement (R-3)	BISDX	09658V370	5/27/2014	1.52		1.49
Retirement (R-6)	BISGX	09658V362	5/27/2014	0.87		0.84

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		4.2
Consumer Staples		11.3
Energy		9.6
Financials		6.8
Healthcare		11.8
Industrials		19.4
Information Technology		7.2
Materials		6.4
Telecommunication Services		11.9
Utilities		6.7
Other Assets & Liabilities, Net		4.7
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class, Advisor Class, Retirement R-3 and Retirement R-6 Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

13

Annual Report — Commentary BMO LGM Emerging Markets Equity Fund

The BMO LGM Emerging Markets Equity Fund (the Fund) returned -13.88% for the fiscal year ended August 31, 2015 versus the Morgan Stanley Capital International Emerging Markets Index and the Lipper Emerging Markets Funds Index, which returned -22.95% and -22.88%, respectively.

The Fund’s significant relative outperformance to its benchmark was primarily due to positive stock selection in strong domestic franchises in a number of markets including India, South Korea, South Africa, and Vietnam. Among the holdings that contributed strongly to both absolute and relative performance were Indian Ayurvedic skin care producer Emami, Ltd. (5.6% of the Fund, return of 67.2%), Indian full-service banking group Yes Bank, Ltd. (4.1% of the Fund, 12.1%) and Philippines-based snack producer Universal Robina Corp. (5.8% of the Fund, 12.0%), which continues to execute well on the domestic market. Unilever Indonesia Tbk PT (2.3% of the Fund, 8.5%), South African-based Do-It-Yourself retailer Cashbuild, Ltd. (0.9% of the Fund, 95.5%) and Vietnam Dairy Products JSC (0.6% of the Fund, 2.0%) also were positive contributors to overall performance.

Performance detraction came primarily from the Fund’s weak stock selection in Chinese and Hong Kong-listed companies. Want Want China Holdings, Ltd. (1.6% of the Fund, -33.2%), a major rice cake and dairy products distributor and casino operators SJM Holdings, Ltd. (1.8% of the Fund, -60.5%) and Sands’ China, Ltd. (2.1% of the Fund, -43.1%) were such examples. Casino operators have been under pressure for the better part of the year as Chinese VIP tourist inflow has been negatively impacted by China’s anti-corruption campaign. Despite the weakness in their stock prices, our investment thesis for all three holdings remains intact. Weak stock selection in Taiwan, which included contact lens designer and manufacturer St. Shine Optical Co., Ltd. (0.3% of the Fund, -49.6%), was also a detractor to performance.

The Fund’s key objective is to invest actively in emerging market companies to drive the long-term capital appreciation of clients’ wealth. We believe we can add value through sound, bottom-up fundamental investment analysis with a long term approach. Our unconstrained approach focuses on identifying companies that meet our quality criteria that include strong business models, robust balance sheets, proven management teams and clear and fair alignments between majority and minority shareholders. We typically invest in companies generating high free cash flows to support a growing dividend stream.

Average annual total returns (%)
	1-year			5-year			Since inception*
Advisor Class (A) NAV		(14.18	)		—			(8.30	)
Advisor Class (A) OFFER		(18.46	)		—			(11.94	)
Institutional Class (I)		(13.88	)		(0.24	)		7.99
Morgan Stanley Capital International Emerging Markets Index		(22.95	)		(0.92	)		8.58
Lipper Emerging Markets Funds Index		(22.88	)		(0.41	)		8.72

*   Benchmarks since inception reflect the inception date of the institutional class.

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

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

LGM Investments Limited

Fund Managers; Investment Experience

Irina Hunter; since 1994

Rasmus Nemmoe, CFA; since 2005

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Advisor (A)	BAEMX	09658W824	5/27/2014	1.61		1.40
Institutional (I)	MIEMX	09658L489	12/22/2008	1.36		1.15

The net expense ratio shown reflects contractual expense limitations made by
the Adviser, currently through December 31, 2015. The Adviser has committed
to continue this arrangement through December 31, 2016. The Fund’s return
would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		12.0
Consumer Staples		38.6
Financials		29.5
Healthcare		4.5
Industrials		4.6
Materials		2.0
Telecommunication Services		2.5
Utilities		1.3
Participation Notes		2.2
Other Assets & Liabilities, Net		2.8
Total		100.0

Portfolio composition will change due to the ongoing management of the
Fund. The percentages are based on net assets as of August 31, 2015 and
may not necessarily reflect adjustments that are routinely made when
presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

14

Annual Report — Commentary BMO TCH Emerging Markets Bond Fund

The BMO TCH Emerging Markets Bond Fund (the Fund) returned -4.04% for the fiscal year ended August 31, 2015 versus the JP Morgan Emerging Markets Bond Global Diversified Index (EMBI) and the Lipper Emerging Markets Hard Currency Debt Funds Index, which returned -1.15% and -7.03%, respectively.

The Fund underperformed its benchmark in a period marked by interest rate volatility and significant global macroeconomic events. Interest rates on the 10 year U.S. Treasury fell from 2.34% on August 31, 2014 to 2.22% on August 31, 2015. Within this period, rates declined to as low as 1.64% and rose to as high as 2.62%. Against this interest rate backdrop, U.S. Treasury securities delivered a 2.30% return. During this time period, spreads on the EMBI widened approximately 100 basis points.

Regional allocations detracted from Fund performance. Above benchmark allocations to Latin America, the worst performing region, and below benchmark allocations to Asia, hurt performance for the trailing twelve months.

The Fund remains overweight corporate and quasi-sovereign exposure to capture additional spread where it believes valuations remain attractive. Corporate exposure was a positive for the Fund as that segment outperformed the benchmark, however, quasi-sovereign exposure more than offset that benefit during the period. Though corporates outperformed as a segment, security selection within corporates was detrimental during this period.

The current higher quality bias of the Fund benefited performance as higher quality securities outperformed during the trailing twelve months. Performance by country diverged greatly, with Venezuela declining 35% and Jamaica appreciating 28%. The underweight position to Venezuela helped the Fund, but overweights to Brazil and Mexico hurt performance.

The Fund’s hard currency focus was beneficial in a period marked by significant U.S. dollar appreciation. Limited local currency positions detracted from performance relative to the dollar benchmark.

Expectations of approaching monetary policy transitions in the U.S. suggest currency decisions will continue to be a factor in returns in the coming period. Deterioration in two of the larger emerging market (EM) nations—China and Brazil—has impacted EM and global markets, highlighting the continued globalization of investment and growing significance of the EM asset class. Given the range of country specific outcomes, we continue to expect security selection to play role in future portfolio performance.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		(4.11	)		(0.86	)
Advisor Class (A) OFFER		(7.43	)		(3.61	)
Institutional Class (I)		(4.04	)		4.26
JP Morgan Emerging Markets Bond Global Diversified Index		(1.15	)		5.31
Lipper Emerging Markets Hard Currency Debt Funds Index		(7.03	)		0.70

* Benchmarks since inception reflect the inception date of the institutional class.

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

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

Tere Alvarez Canida, CFA, since 1978

William J. Canida, CFA, since 1976

Alan M. Habacht, since 1969

Scott M. Kimball, CFA, since 2004

Daniela Mardarovici, CFA, since 2000

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Advisor (A)	BAMEX	09658W816	5/27/2014	3.11		1.00
Institutional (I)	MEBIX	09658L448	9/30/2013	2.86		0.85

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		67.9
International Bonds		29.0
Other Assets & Liabilities, Net		3.1
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

15

Annual Report — Commentary BMO Alternative Strategies Fund

The BMO Alternatives Strategies Fund (the Fund) returned 4.20% for the period from December 17, 2014 through August 31, 2015 versus the Bank of America Merrill Lynch 3-Month T-Bill Index and the HFRX Global Hedge Fund Index, which returned 0.02% and 1.39%, respectively.

The Fund achieved its results with an average volatility that was approximately 40% of the market as measured by the MSCI ACWI Index.

With weak performance across nearly all equity markets beginning in the second quarter of 2015, performance was left in negative territory for many equity indices. Global equity markets, as measured by the MSCI ACWI Index, were left down -3.5% on a year-to-date basis. Despite this backdrop, the strongest contributing strategies were the equity hedge portion of the portfolio. Securities that did well included those in the Healthcare and Materials sectors. In addition, the portfolios benefitted from robust M&A activity during the quarter as several companies announced acquisitions. Both technology and travel related companies suffered declines detracting from performance. Long positions added the most relative value.

Uncertainty increased across the globe in the second quarter of 2015 (Greece, China and even Puerto Rico), impacting credit markets to the negative which resulted in most credit indices declining for the year. The credit hedged sleeve of the portfolio managed to hold on to performance and add value during this time period. The leveraged loan market was somewhat insulated from the turmoil in Greece due to strong technical conditions. The manager continues to monitor geopolitical developments, has positioned the portfolio more defensively, and will continue to look for opportunities that are more insulated from these market influences.

Our macro strategy had a challenging environment as the dollar failed to deliver across most currencies, despite growing concerns in the Eurozone. Consumer Discretionary positions were extremely vulnerable as the dollar continued to weaken from recent highs. Fixed-Income positions fared a bit better in the portfolio but also had difficulty as gains in the long end of the curve were nearly offset by the losses on spreads widening. Our macro strategy was able to hold on to most of the performance and was additive to overall portfolio performance during this time period.

Results within our Relative Value segment were mixed on a year-to-date basis. In aggregate, however, this area contributed to performance. Names within the Energy sector added the most value as both longs and shorts contributed. An area of the portfolio that detracted from performance included our volatility strategy. As the macro landscape deteriorated in August causing both equity markets globally to tumble and volatility to spike, it became very difficult to trade these types of strategies.

Cumulative total returns (%)
	Since inception*
Advisor Class (A) NAV		4.00
Advisor Class (A) OFFER		(1.23	)
Institutional Class (I)		4.20
Bank of America Merrill Lynch 3-Month T-Bill Index		0.02
HRFX Global Hedge Fund Index		1.39

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

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

Investment Adviser: BMO Asset Management Corp.

Sub-advisers:

CTC myCFO, LLC

Capstone Investment Advisors, LLC

Cramer Rosenthan McGlynn, LLC

Graham Capital Management, L.P.

Iridian Asset Management LLC

Pine River Capital Management, L.P.

Sound Point Capital Management, L.P.

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Advisor (A)	BMATX	09658W683	12/16/2014	5.33		2.20
Institutional (I)	BMASX	09658W675	12/16/2014	5.08		1.95

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Common Stocks
Consumer Discretionary		8.9
Consumer Staples		2.1
Energy		5.3
Financials		3.0
Healthcare		10.0
Industrials		7.3
Information Technology		8.8
Materials		5.9
Telecommunication Services		1.8
Total Common Stocks		53.1
Bank Loans		11.4
Convertible Bond		0.1
Corporate Bonds & Notes		1.6
Exchange Traded Funds		0.7
Purchased Call Options		0.1
Purchased Put Options		0.1
Short-Term Investments		33.9
Other Assets & Liabilities		29.6
Short Securities and Written Options		(30.6	)
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

16

Annual Report — Commentary BMO Ultra Short Tax-Free Fund

The BMO Ultra Short Tax-Free Fund (the Fund) returned 0.25% for the fiscal year ended August 31, 2015 versus the blended 50% Barclays 1 Year Municipal Bond Index / 50% iMoneyNet Money Market Fund Tax-Free National Retail Index, the Barclays 1 Year Municipal Bond Index and the Lipper Short Municipal Debt Index, which returned 0.29%, 0.57% and 0.29%, respectively.

Over the fiscal year, the U.S. economy continued to see steady improvement. U.S. Gross Domestic Product grew by 2.7% and the unemployment rate fell a full percentage point to 5.1%. Home and auto sales were robust and the lackluster 1^st quarter of 2015 (originally reported at -0.7%) has since been revised to a positive 0.6%. Yet the Federal Reserve’s inflation measure has remained stubbornly below the stated target of 2% annually. Will this be enough for the Federal Reserve to end its zero interest rate policy this year? We believe so, but the exact timing is hard to guess. Assuming a minor upward adjustment to short-term rates, U.S. monetary policy will remain very accommodative.

The municipal bond yield curve has flattened already in anticipation of a Federal Reserve rate increase. The Fund has been well positioned for a flattening with our barbell allocation, but we would have performed even better if more of our fixed rate bonds had been longer. An overweight to A and BBB rated bonds has been additive in the Fund. Revenue bonds continue to be an emphasis. We prefer revenue bonds for two main reasons. They usually carry a higher yield than general obligation (GO) bonds, but also do not typically carry the weight of unfunded pension liabilities like many GO bonds.

Our defensive positioning in the Fund includes maintaining a high level of variable rate floaters whose coupons will rise when the Federal Reserve begins to raise rates. Of course, we also continue to buy fixed rate bonds when the yield and bond characteristics are right to optimize the structure of the Fund.

The coming year could be more volatile. The battle over the direction of rates will not end with a single upward move. Headlines from around the world will undoubtedly surprise investors from time to time. In the past year, bond issuance has been in line with predictions but rising rates are likely to slow refunding activity. Issuers afraid of higher rates in the future may work to get deals done in the coming months to lock in historically low yields, something we as managers of the Fund would prefer to avoid.

Average annual total returns (%)
	1-year			5-year		Since inception*
Investor Class (Y)		0.25			0.87		1.04
Advisor Class (A) NAV		0.25			—		0.30
Advisor Class (A) OFFER		(1.80	)		—		(1.32	)
Institutional Class (I)		0.50			1.12		1.29
Blended Index (50% Barclays 1 Year Municipal Bond Index and 50% iMoneyNet Money Market Fund Tax-Free National Retail Index)		0.29			0.43		0.52
Barclays 1 Year Municipal Bond Index		0.57			0.84		1.03
Lipper Short Municipal Debt Funds Index		0.29			1.06		1.24

* Benchmarks since inception reflect the inception date of the investor class.

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

Fund Managers; Investment Experience

John D. Boritzke, CFA; since 1983

Craig J. Mauermann; since 1997

Robert Wimmel; since 1992

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Investor (Y)	MUYSX	09658L521	9/30/2009	0.63		0.56
Advisor (A)	BAUSX	09658W790	5/27/2014	0.63		0.56
Institutional (I)	MUISX	09658L539	9/30/2009	0.38		0.31

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 22.0%
School District		9.5
State or Local		12.5
Revenue Bonds — 77.3%
Appropriation		12.1
Education		7.4
General Revenue		5.0
Healthcare		21.6
Housing		2.7
Industrial Revenue		4.7
Power		3.2
Special Tax		5.6
Student Loan		0.1
Tobacco		0.1
Transportation		9.2
Water & Sewer		5.6
Other Assets & Liabilities, Net		0.7
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

17

Annual Report — Commentary BMO Short Tax-Free Fund

The BMO Short Tax-Free Fund (the Fund) returned 1.21% for the fiscal year ended August 31, 2015 versus the Barclays Short (1 – 5 Year) Municipal Index and the Lipper Short Municipal Debt Funds Index, which returned 0.73% and 0.29%, respectively.

The U.S. economy steadily improved over the fiscal year. U.S. Gross Domestic Product grew by 2.7% and the unemployment rate fell a full percentage point to 5.1%. Home and auto sales were robust and the lackluster 1^st quarter of 2015 (originally reported at -0.7%) has since been revised to a positive 0.6%. Yet the Federal Reserve’s inflation measure has remained stubbornly below the stated target of 2% annually. Will this be enough for the Federal Reserve to end its zero interest rate policy this year? We believe so, but the exact timing is hard to guess. Assuming a minor upward adjustment to short-term rates, U.S. monetary policy will remain very accommodative.

The municipal bond yield curve has already flattened in anticipation of a Federal Reserve rate increase. The Fund has been well positioned for a flattening with our barbell allocation, but we would have performed even better if more of our fixed rate bonds had been longer. The performance of our variable rate bonds and our floating rate notes should be enhanced when rates rise. An overweight to A and BBB rated bonds has been additive in the Fund. Revenue bonds continue to be an emphasis. We prefer revenue bonds for two main reasons. They usually carry a higher yield than general obligation (GO) bonds, but also are generally not burdened by unfunded pension liabilities like many GO bonds.

The battle over the direction of rates will not end with a single upward move. Headlines from around the world will undoubtedly surprise investors from time to time. So, some volatility should be expected going forward. In the past year, bond issuance has been in line with predictions but rising rates are likely to slow refunding activity. Issuers afraid of higher rates in the future may work to get deals done in the coming months to lock in historically low yields. We will be seeking higher yields as the Federal Reserve closes out seven years of zero percent interest rates.

Average annual total returns (%)
	1-year			Since inception*
Investor Class (Y)		1.21			1.96
Advisor Class (A) NAV		1.21			1.47
Advisor Class (A) OFFER		(0.83	)		(0.16	)
Institutional Class (I)		1.26			2.11
Barclays Short (1-5 Year) Municipal Index		0.73			1.17
Lipper Short Municipal Debt Funds Index		0.29			0.54

* Benchmarks since inception reflect the inception date of the investor class.

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

Fund Managers; Investment Experience

John D. Boritzke, CFA; since 1983

Craig J. Mauermann; since 1997

Robert Wimmel; since 1992

			Inception date	Expenses (%)
Share class	Ticker	CUSIP		Gross	Net
Investor (Y)	MTFYX	09658L638	11/29/2012	0.88		0.55
Advisor (A)	BASFX	09658W782	5/27/2014	0.88		0.55
Institutional (I)	MTFIX	09658L646	11/29/2012	0.63		0.40

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 21.8%
School District		7.7
State or Local		14.1
Revenue Bonds — 74.9%
Appropriation		16.3
Education		10.4
General Revenue		3.3
Healthcare		17.0
Housing		5.0
Industrial Revenue		3.0
Power		5.5
Special Tax		2.5
Student Loan		0.7
Tobacco		0.8
Transportation		5.9
Water & Sewer		4.5
Other Assets & Liabilities, Net		3.3
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

18

Annual Report — Commentary BMO Short-Term Income Fund

The BMO Short-Term Income Fund (the Fund) returned 0.43% for the fiscal year ended August 31, 2015 versus the Bank of America Merrill Lynch 1-3 Year U.S. Government/Corporate Index and the Lipper Short Investment-Grade Debt Funds Index, which returned 0.80% and 0.50%, respectively.

The bond market experienced significant interest rate volatility over the fiscal year with short term rates ending moderately higher than at the beginning of the year. Interest rates have fluctuated as investors have digested mixed economic data in an attempt to predict future actions of the Federal Reserve. While employment data in the U.S. has improved, inflation remains muted and concerns over slowing global growth have contributed to uncertainty surrounding the timing of a future increase of the Federal Funds target rate, which has remained close to zero since late 2008. Despite volatility in interest rates, Treasuries saw positive returns for the year ended August 31, 2015, while corporate bonds came under pressure as credit spreads widened.

A long duration position relative to the benchmark during the latter part of the fiscal year hurt relative performance as rates between 1 and 3 years ended the year higher, after experiencing significant volatility within a wide trading range. A longer duration exposure to U.S. Government securities relative to the index also detracted from performance as yields rose significantly in maturities longer than 1.5 years. A barbell term structure also constrained performance as the yield curve experienced a bearish steepening, particularly between 3 and 5 year maturities. An overweight to the corporate sector also detracted from returns as spreads widened during the fiscal year. An allocation to Asset-Backed Securities helped relative performance as these securities outperformed.

Looking ahead, the trend toward higher rates in the front-end of the yield curve is expected to remain with yields reaching higher highs and maintaining higher lows. The market had expected the first Federal Funds rate hike in over nine years to occur before the end of 2015, although as of the most recent Federal Reserve meeting in September, the target rate has remained unchanged. The Federal Funds Futures market currently anticipates no change in the policy rate until at least early 2016. We expect Gross Domestic Product to accelerate to a 2.0 to 2.5% annual pace due to improved consumer spending and a pickup in residential housing from continued strong job growth. Inflation will likely remain subdued, driven by historically low commodity prices and a stable U.S. Dollar combined with modest wage growth and income growth. Uncertainty in the Eurozone and China will continue to cause volatility and will be monitored closely. Event risk also will continue to be a strong theme in the corporate sector amidst strong balance sheets, activist investors, the Supreme Court ruling on the Affordable Care Act, and further merger and acquisition activity.

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Investor Class (Y)		0.43			1.74		3.20		—
Advisor Class (A) NAV		0.43			—		—		0.42
Advisor Class (A) OFFER		(1.56	)		—		—		(1.15	)
Institutional Class (I)		0.69			2.02		—		3.25
Bank of America Merrill Lynch 1-3 Year U.S. Government/Corporate Index		0.80			1.09		2.80		—
Lipper Short Investment-Grade Debt Funds Index		0.50			1.63		2.70		—

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

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

			Inception date	Expenses (%)
Share class	Ticker	Cusip		Gross	Net
Investor (Y)	MSINX	09658L562	11/1/1992	0.75		0.62
Advisor (A)	BTMAX	09658W774	5/27/2014	0.75		0.62
Institutional (I)	MSIFX	09658L570	5/31/2007	0.50		0.37

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Asset-Backed Securities		17.0
Collateralized Mortgage Obligations		3.3
Commercial Mortgage Securities		3.7
Corporate Bonds & Notes		42.7
Mutual Funds		1.9
U.S. Government & U.S. Government Agency Obligations		24.2
U.S. Government Agency—Mortgage Securities		2.0
Other Assets & Liabilities, Net		5.2
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

19

Annual Report — Commentary BMO Intermediate Tax-Free Fund

The BMO Intermediate Tax-Free Fund (the Fund) returned 2.36% for the fiscal year ended August 31, 2015 versus the Barclays 1-15 Year Blend Municipal Bond Index and the Lipper Intermediate Municipal Debt Funds Index, which returned 1.88% and 1.56%, respectively.

Similar to one year ago, bond market investors are still trying to predict when the Federal Reserve will decide to raise short-term interest rates. Gross Domestic Product over the last twelve months has increased 2.7%, a healthy rate of growth, but certainly not so fast as to foster inflation problems. The unemployment rate has dropped a full percentage point over the last year, from 6.1% to 5.1%, yet wage pressure remains subdued. Should monetary policy change in this environment? No matter if the Federal Reserve decides to raise rates above zero, monetary policy is likely to remain easy for an extended period of time.

In anticipation of a Federal Reserve policy move toward higher rates, the municipal bond yield curve has flattened. Short-term interest rates in the 2-5 year range have moved up approximately 30 basis points. Meanwhile long-term interest rates have been remarkably stable, only moving higher by a few basis points. The Fund was positioned well for a flattening yield curve as a barbell allocation allowed for outperformance. However, guiding the Fund to an overall duration slightly short of the benchmark detracted from performance. Generally, our policy to not vary much from benchmark duration has served us well over time.

An overweight to both BBB and A rated bonds in the Fund was additive to performance versus higher quality holdings. Revenue bonds continue to be an emphasis. Revenue bonds do not carry the weight of unfunded pension liabilities as do many general obligation bonds. Credit rating agencies have recently punished some issuers with multi-notch downgrades if pension funding issues are not adequately addressed.

In anticipation of an eventual Federal Reserve move toward higher rates, the Fund continues to hold positions in floating rate instruments. Although overall returns for municipal bonds have been muted over the last year, the safe haven nature of tax-free bonds can still add significant diversification benefits to a balanced portfolio.

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Investor Class (Y)		2.36			3.72		4.59		—
Advisor Class (A) NAV		2.36			—		—		3.04
Advisor Class (A) OFFER		(1.24	)		—		—		(0.21	)
Institutional Class (I)		2.60			—		—		4.90
Barclays 1-15 Year Blend Municipal Bond Index		1.88			3.26		4.23		—
Lipper Intermediate Municipal Debt Funds Index		1.56			3.07		3.72		—

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

Fund Managers; Investment Experience

John D. Boritzke, CFA; since 1983

Craig J. Mauermann; since 1997

Robert Wimmel; since 1992

			Inception date	Expenses (%)
Share class	Ticker	Cusip		Gross	Net
Investor (Y)	MITFX	09658L760	2/1/1994	0.59		0.56
Advisor (A)	BITAX	09658W766	5/27/2014	0.59		0.56
Institutional (I)	MIITX	09658L778	12/27/2010	0.34		0.34

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 19.9%
School District		13.3
State or Local		6.6
Revenue Bonds — 77.3%
Appropriation		18.4
Education		7.1
General Revenue		2.2
Healthcare		16.5
Housing		6.1
Industrial Revenue		3.6
Power		3.7
Special Tax		3.1
Student Loan		0.8
Tobacco		0.6
Transportation		9.3
Water & Sewer		5.9
Other Assets & Liabilities, Net		2.8
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

20

Annual Report — Commentary BMO Mortgage Income Fund

The BMO Mortgage Income Fund (the Fund) returned 2.34% for the fiscal year ended August 31, 2015 versus the Barclays U.S. Mortgage Backed Securities Index and the Lipper U.S Mortgage Funds Index, which returned 2.66% and 2.64%, respectively.

The Fund underperformed its benchmark and peer group in a period marked by interest rate volatility and significant global macroeconomic events. Interest rates on the 10 year U.S. Treasury fell from 2.34% on August 31, 2014 to 2.22% on August 31, 2015. Within this period, rates declined to as low as 1.64% and rose to as high as 2.62%. Against this interest rate backdrop, U.S. Treasury securities delivered a 2.30% return, with long Treasuries (5.16%) outperforming intermediate Treasuries (1.90%) as the yield curve flattened. The Fund maintained a modestly short duration to the benchmark, resulting in underperformance versus the benchmark as interest rates declined during the fiscal year.

Overweight positions in 30-year mortgages versus 15-year securities detracted from performance as 15-year mortgages outperformed in the period. Positioning within the coupon stack hurt performance as the Fund was overweight higher coupon mortgage backed securities, while lower coupon securities outperformed. The overweight to commercial mortgage-backed securities performed modestly below other mortgage backed securities on a duration adjusted basis.

The Fund’s overweight to conventional mortgages (Fannie Mae and Freddie Mac) versus Ginnie Mae contributed to performance as those market segments outperformed. The Fund’s overweight to non-agency mortgage-backed securities also was additive with investors search for yield favoring these sectors.

Average annual total returns (%)
	1-year			5-year		10-year		Since inception
Investor Class (Y)		2.34			2.63		4.29		—
Advisor Class (A) NAV		2.34			—		—		2.54
Advisor Class (A) OFFER		(1.25	)		—		—		(0.32	)
Institutional Class (I)		2.70			2.91		—		4.76
Barclays U.S. Mortgage Backed Securities Index		2.66			2.83		4.59		—
Lipper U.S. Mortgage Funds Index		2.64			3.20		4.31		—

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

Fund Managers; Investment Experience

Scott M. Kimball, CFA; since 2004

Daniela Mardarovici, CFA; since 2000

			Inception date	Expenses (%)
Share class	Ticker	Cusip		Gross	Net
Investor (Y)	MRGIX	09658L810	12/13/1992	0.81		0.80
Advisor (A)	BMTAX	09658W758	5/27/2014	0.81		0.80
Institutional (I)	MGIIX	09658L828	5/31/2007	0.56		0.55

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Asset-Backed Securities		0.3
Collateralized Mortgage Obligations		14.1
Commercial Mortgage Securities		11.9
U.S. Government Agency—Mortgage Securities		72.2
Other Assets & Liabilities, Net		1.5
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

21

Annual Report — Commentary BMO TCH Intermediate Income Fund

The BMO TCH Intermediate Income Fund (the Fund) returned -0.64% for the fiscal year ended August 31, 2015 versus the Barclays U.S. Intermediate Government/Credit Bond Index and the Lipper Short-Intermediate Investment-Grade Debt Funds Index, which returned 1.47% and 0.37%, respectively.

The Fund underperformed its benchmark and peer group in a period marked by interest rate volatility, credit spread widening, and significant global macroeconomic events. Relative performance contribution from sector and quality selection and security selection was negative, while contribution from yield curve positioning and the portfolio’s yield advantage was positive.

Interest rates on the ten year U.S. Treasury fell from 2.34% on August 31, 2014 to 2.22% on August 31, 2015. Within this period, rates declined to as low as 1.64% and rose to as high as 2.62%. Against this interest rate backdrop, U.S. Treasury securities delivered a 2.30% return and the yield curve flattened.

Widening credit spreads during the period detracted from performance given the Fund’s above-benchmark exposure to credit. Record corporate issuance in a lower liquidity environment with weak demand contributed to widening spreads. Intermediate credit securities underperformed duration-matched Treasuries by 137 basis points as the option-adjusted spread of the Barclays Capital Intermediate U.S. Credit Index widened 52 basis points to 127 over the course of the fiscal year. Within credit, the Fund was overweight lower quality investment grade securities which underperformed higher quality securities with BBB bonds underperforming AAA equivalents by 248 basis points of excess return.

Individual security selection was negative during the period, detracting from performance in the past year. Undifferentiated selling, particularly during the significant oil sell-off in the fourth quarter of 2014 and the China induced risk-off period in July/August 2015 made security selection difficult.

The Fund’s barbelled position on the yield curve emphasizing longer maturity securities paired with high quality floating rate notes contributed to performance in the flattening yield curve environment. Another structural contributor was the portfolio’s yield advantage; the portfolio is constructed to generate higher interest income than the benchmark, which added to performance.

In the short run, this environment is predictably difficult for fundamental investors, but a dislocated market offers opportunities as we expect that rationality and stability will return to security valuation differentiated by fundamentals.

Average annual total returns (%)
	1-year			5-year		Since inception*
Advisor Class (A) NAV		(0.89	)		—		(0.01	)
Advisor Class (A) OFFER		(4.39	)		—		(2.76	)
Institutional Class (I)		(0.64	)		2.85		4.48
Barclays U.S. Intermediate Government/Credit Bond Index		1.47			2.38		4.24
Lipper Short-Intermediate Investment-Grade Debt Funds Index		0.37			2.21		3.63

* Benchmarks since inception reflect the inception date of the institutional class.

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

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

William J. Canida, CFA, since 1976

Scott M. Kimball, CFA, since 2004

Daniela Mardarovici, CFA, since 2000

			Inception date	Expenses (%)
Share class	Ticker	Cusip		Gross	Net
Advisor (A)	BAIIX	09658W741	5/27/2014	0.81		0.81
Institutional (I)	MIBIX	09658L661	5/31/2007	0.56		0.56

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		57.1
U.S. Government & U.S. Government Agency Obligations		16.5
U.S. Government Agency—Mortgage Securities		22.2
Other Assets & Liabilities, Net		4.2
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

22

Annual Report — Commentary BMO TCH Corporate Income Fund

The BMO TCH Corporate Income Fund (the Fund) returned -2.73% for the fiscal year ended August 31, 2015 versus the Barclays U.S. Credit Index and the Lipper Core Plus Bond Funds Index, which return -0.46% and 0.56%, respectively.

The Fund underperformed its benchmark and peer group in a period marked by interest rate volatility, credit spread widening, and significant global macroeconomic events. Relative performance contribution from sector and quality selection and security selection was negative, while contribution from yield curve positioning and the portfolio’s yield advantage was positive.

Interest rates on the ten year U.S. Treasury fell from 2.34% on August 31, 2014 to 2.22% on August 31, 2015. Within this period, rates declined to as low as 1.64% and rose to as high as 2.62%. Against this interest rate backdrop, U.S. Treasury securities delivered a 2.30% return, with long Treasuries (5.16%) outperforming intermediate Treasuries (1.90%) as the yield curve flattened.

Widening credit spreads during the period detracted from performance given the Fund’s exposure to credit relative to the peer group. Record corporate issuance in a lower liquidity environment with weak demand contributed to widening spreads. Credit securities underperformed duration-matched Treasuries by 337 basis points as the option-adjusted spread of the Barclays Capital U.S. Credit Index widened 58 basis points to 155 over the course of the fiscal year. Within credit, the Fund was overweight lower quality investment grade securities which underperformed higher quality securities with BBB bonds underperforming AAA equivalents by 500 basis points of excess return. Credit curves steepened significantly during the period, which hurt portfolio performance given longer maturity credit exposure, with long credit underperforming intermediate credit by 664 basis points.

Individual security selection was negative during the period, detracting from performance in the past year. Undifferentiated selling, particularly during the significant oil sell-off in the fourth quarter of 2014 and the China induced risk-off period in July/August 2015, made security selection difficult.

The Fund’s barbelled position on the yield curve emphasizing longer maturity securities paired with high quality floating rate notes contributed to performance in the flattening yield curve environment.

In the short run, this environment is predictably difficult for fundamental investors, but a dislocated market offers opportunities as we expect that rationality and stability will return to security valuation differentiated by fundamentals.

Average annual total returns (%)
	1-year			5-year		Since inception*
Investor Class (Y)		(2.73	)		4.91		8.44
Advisor Class (A) NAV		(2.73	)		—		(0.61	)
Advisor Class (A) OFFER		(6.11	)		—		(3.38	)
Institutional Class (I)		(2.53	)		5.08		8.63
Barclays U.S. Credit Index		(0.46	)		4.12		6.94
Lipper Core Plus Bond Funds Index		0.56			3.88		6.63

* Benchmarks since inception reflect the inception date of the investor class.

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

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

Tere Alvarez Canida, CFA, since 1978

William J. Canida, CFA, since 1976

Alan M. Habacht, since 1969

Scott M. Kimball, CFA, since 2004

Daniela Mardarovici, CFA, since 2000

			Inception date	Expenses (%)
Share class	Ticker	Cusip		Gross	Net
Investor (Y)	MCIYX	09658L851	12/22/2008	0.76		0.60
Advisor (A)	BATIX	09658W733	5/27/2014	0.76		0.60
Institutional (I)	MCIIX	09658L869	12/22/2008	0.51		0.51

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		89.7
Municipals		0.2
U.S. Government & U.S. Government Agency Obligations		5.2
Other Assets & Liabilities, Net		4.9
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

23

Annual Report — Commentary BMO TCH Core Plus Bond Fund

The BMO TCH Core Plus Bond Fund (the Fund) returned -1.28% for the fiscal year ended August 31, 2015 versus the Barclays U.S. Aggregate Bond Index and the Lipper Core Plus Bond Funds Index, which returned 1.54% and 0.56%, respectively.

The Fund underperformed its benchmark and peer group in a period marked by interest rate volatility, credit spread widening, and significant global macroeconomic events. Relative performance contribution from sector and quality selection and security selection was negative, while contribution from yield curve positioning and the portfolio’s yield advantage was positive.

Interest rates on the ten year U.S. Treasury fell from 2.34% on August 31, 2014 to 2.22% on August 31, 2015. Within this period, rates declined to as low as 1.64% and rose to as high as 2.62%. Against this interest rate backdrop, U.S. Treasury securities delivered a 2.30% return, with long Treasuries (5.16%) outperforming intermediate Treasuries (1.90%) as the yield curve flattened.

Widening credit spreads during the period detracted from performance given the Fund’s above-benchmark exposure to credit. Record corporate issuance in a lower liquidity environment with weak demand has contributed to widening spreads. Credit securities underperformed duration-matched Treasuries by 337 basis points as the option-adjusted spread of the Barclays Capital U.S. Credit Index widened 58 basis points to 155 over the course of the fiscal year. Within credit, the Fund was overweight lower quality investment grade securities which underperformed higher quality securities with BBB bonds underperforming AAA equivalents by 500 basis points of excess return. Credit curves steepened significantly during the period, which hurt portfolio performance given longer maturity credit exposure, with long credit underperforming intermediate credit by 664 basis points.

Individual security selection was negative during the period, detracting from performance in the past year. Undifferentiated selling, particularly during the significant oil sell-off in the fourth quarter of 2014 and the China induced risk-off period in July/August 2015, made security selection difficult.

The Fund’s barbelled position on the yield curve emphasizing longer maturity securities paired with high quality floating rate notes contributed to performance in the flattening yield curve environment. Another structural contributor was the portfolio’s yield advantage; the portfolio is constructed to generate higher interest income than the benchmark, which added to performance. In the short run, this environment is predictably difficult for fundamental investors, but a dislocated market offers opportunities as we expect that rationality and stability will return to security valuation differentiated by fundamentals.

Average annual total returns (%)
	1-year			5-year		Since inception*
Investor Class (Y)		(1.28	)		4.43		6.43
Advisor Class (A) NAV		(1.28	)		—		0.43
Advisor Class (A) OFFER		(4.71	)		—		(2.38	)
Institutional Class (I)		(0.96	)		4.67		6.68
Barclays U.S. Aggregate Bond Index		1.54			2.98		4.31
Lipper Core Plus Bond Funds Index		0.56			3.88		6.63

* Benchmarks since inception reflect the inception date of the investor class.

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

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

Tere Alvarez Canida, CFA, since 1978

William J. Canida, CFA, since 1976

Alan M. Habacht, since 1969

Scott M. Kimball, CFA, since 2004

Daniela Mardarovici, CFA, since 2000

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

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Asset-Backed Securities		0.1
Commercial Mortgage Securities		0.1
Corporate Bonds & Notes		52.5
U.S. Government & U.S. Government Agency Obligations		16.6
U.S. Government Agency—Mortgage Securities		28.5
Other Assets & Liabilities, Net		2.2
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class and Advisor Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

24

Annual Report — Commentary BMO Monegy High Yield Bond Fund

The BMO Monegy High Yield Fund (the Fund) returned -2.46% for the fiscal year ended August 31, 2015 versus the Bank of America Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index and the Lipper High Yield Bond Funds Index, which returned -1.56% and -2.50%, respectively.

The underperformance largely occurred in late 2014, as a result of the Fund’s positioning in Energy, which has been rebalanced over the last several months. This has helped the Fund’s relative performance more recently. Duration also played a small role as the Fund was underweight the longest maturity bucket of the market, which fared relatively well over the past year. Conversely, the Fund’s overweighting and name selection within Retail and positioning in Paper were positive contributors to its relative performance.

Over the past year, the U.S. high yield market saw a marked increase in volatility, prompted by a combination of commodity price and rate swings, technical imbalances, and geopolitical and economic concerns. The market’s decline was led by CCC-rated issuers, which dropped 11.3%, compared with BB-rated and B-rated issuers at -3.2% and -0.1%, respectively. Sectorally, selling pressure was acutely focused on Metals & Mining and Energy names, which fell -26.3% and -20.0%, respectively.

The default rate edged up a tick to 2.4% over the past year, and while Energy and Metals & Mining defaults are likely to continue, rates are forecast to remain inside 3% this year and 4% over the next 12 months. This reflects a lack of forced issuance or covenant triggers on the horizon.

At the end of August 2015, the yield-to-worst on the high yield market was 7.3%, versus 3.5% for investment grade corporates. The higher average yields on the distressed Energy and Metals & Mining names skew the average somewhat, but 5-6% in non-materials sectors appears relatively attractive with a backdrop of low risk-free rates and low defaults.

The Fund remains well positioned for further volatility. It is underweight Metals & Mining—especially the coal names, which have been vulnerable in recent months—and Energy, but we have been picking our spots in the less commodity-price sensitive refiners and pipeline names. We remain disciplined in positioning towards the higher quality end of the market and will continue to add issuers we favor where bonds become available during bouts of selling. We believe valuations are becoming more attractive, but we recognize there are pockets of risk that need to be managed carefully.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		(2.70	)		(1.70	)
Advisor Class (A) OFFER		(6.12	)		(4.42	)
Institutional Class (I)		(2.46	)		5.00
Bank of America Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index		(1.56	)		6.75
Lipper High Yield Bond Funds Index		(2.50	)		6.88

* Benchmarks since inception reflect the inception date of the institutional class.

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

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Monegy, Inc.

Fund Managers; Investment Experience

Vincent Huang, CFA, since 2003

Lori J. Marchildon, CFA, since 1995

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BMHAX		09658W717		5/27/2014		1.16		0.90
Institutional (I)		MHBNX		09658L406		12/29/2011		0.91		0.65

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		97.6
Other Assets & Liabilities, Net		2.4
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

25

Annual Report — Commentary BMO Multi-Asset Income Fund

The BMO Multi-Asset Income Fund (the Fund) returned -6.09% for the fiscal year ended August 31, 2015 versus the blended 75% Barclays U.S. Aggregate Bond Index / 25% Russell 3000^® Index, the Barclays U.S. Aggregate Bond Index and the Lipper Mixed-Asset Target Allocation Conservative Funds Index, which returned 1.36%, 1.56%, and -2.31%, respectively.

This time frame encapsulates the crude price decline that helped conspire to drive down U.S. inflation expectations. After rising during the first half of 2014, the market’s inflation forecast began sinking in August of 2014. In fact, the U.S. 10 year breakeven inflation rate fell from 2.13% on August 31, 2014 to 1.65% at month end August 2015. The Fund’s focus on income generation and purchasing power protection from potentially rising inflation explains the Fund’s underperformance during this time period.

As the possible start of a Federal Reserve rate hike cycle inched closer, intra-market volatility greatly increased. For example, the Fund’s holdings of utility stocks and real estate investment trusts (REIT) rose nearly 14% and 16% respectively during the first 5 months of the period, only to finish the period with returns of 1.57% and -1.46%. This volatility was witnessed across many asset classes. Interestingly, even with the aforementioned decline in inflation expectations, the U.S. bond market as represented by the Barclays Aggregate Bond Index rose a meager 1.54% during the period. This likely represents a precursor to future return headwinds that low absolute starting rates will provide fixed income investors.

Reflecting a narrowing global return environment that witnessed virtually only U.S. based growth stocks and investment grade bonds providing positive returns, nearly the entirety of the Fund’s holdings declined during the period. The Fund’s exposure to master limited partnerships and international dividend equities were the largest detractors from performance. Conversely, the Fund’s allocation to preferred stocks and traditional U.S. investment grade bond funds provided positive performance.

Only modest changes were made to the Fund’s asset allocation and vehicle selections during the period. It remains positioned to provide a diversified stream of income that is not reliant upon traditional fixed income investments. Additionally, purchasing power protection remains a focus given the low interest rate environment. We continue to believe that investors following a disciplined longer term focused investment process, rather than reacting to the latest bouts of extreme volatility and deflation fears, will be rewarded over a reasonable time horizon.

Average annual total returns (%)
	1-year			Since inception*
Advisor Class (A) NAV		(6.42	)		(4.35	)
Advisor Class (A) OFFER		(9.68	)		(7.00	)
Institutional Class (I)		(6.09	)		(1.49	)
75% Barclays U.S. Aggregate Bond Index / 25% Russell 3000® Index		1.36			4.43
Barclays U.S. Aggregate Bond Index		1.56			3.84
Lipper Mixed-Asset Target Allocation Conservative Funds Index		(2.31	)		2.00

* Benchmarks since inception reflect the inception date of the institutional class.

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

Fund Managers; Investment Experience

Jon Adams, CFA; since 2002

Lowell Yura, CFA; since 1991

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Advisor (A)		BAMIX		09658W691		5/27/2014		2.05		1.53
Institutional (I)		BMANX		09658V487		12/27/2013		1.80		1.28

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Exchange Traded Funds		58.0
Mutual Funds		39.5
Other Assets & Liabilities, Net		2.5
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Advisor Class shares will vary from the performance of the Institutional Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Institutional Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

26

Annual Report — Commentary BMO Government Money Market Fund

The BMO Government Money Market Fund (the Fund) returned 0.01% for the fiscal year ended August 31, 2015 versus the iMoneyNet, Inc. Government Money Market Index and the Lipper U.S. Government Money Market Funds Index, which returned 0.01% and 0.01%, respectively.

BMO Government Money Market Fund performed well within its peer group overall, with almost all money market funds receiving expense subsidies to ensure positive returns. Money market yields remain at historically low levels, as the Federal Funds rate continues to be anchored near zero and is projected to remain there until late 2015 at the earliest. Demand for high-quality, short-term securities remains strong, while supply continues to be limited.

The Fund continues to emphasize municipal variable rate demand notes (VRDNs) backed by Fannie Mae and Freddie Mac as well as fixed rate agency notes to add incremental yield. The Fund’s investment in municipal VRDNs contributed to performance as these securities had elevated yields during tax season. Higher rates on repurchase agreements at certain points during the fiscal year also helped the Fund’s return. The Federal Reserve’s reverse repurchase facility continues to place a floor on rates for repurchase agreements backed by government securities.

The bond market experienced significant interest rate volatility over the fiscal year, with short term rates ending moderately higher than at the beginning of the year. Interest rates have fluctuated as investors have digested mixed economic data in an attempt to predict future actions of the Federal Reserve. While employment data in the U.S. has improved, inflation remains muted and concerns over slowing global growth have contributed to uncertainty surrounding the timing of a future increase of the Federal Funds target rate, which has remained close to zero since late 2008. Despite volatility in interest rates, Treasuries saw positive returns for the year ended August 31, 2015, while corporate bonds came under pressure as credit spreads widened.

Looking ahead, the trend toward higher rates in the front end of the yield curve is expected to remain with yields reaching higher highs and maintaining higher lows. The market had expected the first Federal Funds rate hike in over nine years to occur before the end of 2015, although as of the most recent Federal Reserve meeting in September, the rate remained unchanged. The Federal Funds Futures market currently anticipates no change in the policy rate until at least early 2016. We expect Gross Domestic Product to accelerate to a 2.0 to 2.5% annual pace due to improved consumer spending and a pickup in residential housing from continued strong job growth. Inflation will likely remain subdued, driven by historically low commodity prices and a stable U.S. dollar combined with modest wage growth and income growth. Uncertainty in the Eurozone and China will continue to cause volatility and will be monitored closely. Event risk also will continue to be a strong theme in the corporate sector amidst strong balance sheets, activist investors, the Supreme Court ruling on the Affordable Care Act, and further merger and acquisition activity.

Average annual total returns (%)
	7-day current yield		1-year		5-year		10-year
Investor Class (Y)		0.03		0.01		0.01		1.28
Institutional Class (I)		0.03		0.01		0.02		1.39
iMoneyNet, Inc. Government Money Market Index				0.01		0.01		1.10
Lipper U.S. Government Money Market Funds Index				0.01		0.01		1.19

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

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

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MGYXX		09658L786		5/17/2004		0.54		0.45
Institutional (I)		MGNXX		09658L794		5/28/2004		0.29		0.20

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Municipals		10.1
Mutual Funds		7.0
Repurchase Agreements		30.9
U.S. Government & U.S. Government Agency Obligations		52.0
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

27

Annual Report — Commentary BMO Tax-Free Money Market Fund

The BMO Tax-Free Money Market Fund (the Fund) returned 0.02% for the fiscal year ended August 31, 2015 versus the iMoneyNet, Inc. Fund Report/Tax-Free National Retail Index and the Lipper Tax-Exempt Money Market Funds Index, which returned 0.01% and 0.02%, respectively.

This year, for the first time since 2008, we could see a change in the Federal Reserve’s overnight lending rate. We anticipate the Federal Reserve raising the rate by one quarter of one percent, possibly as early as December. The move is long overdue. The U.S. unemployment rate has fallen over the past year from 6.1% to 5.1%. Auto and home sales are both robust as is commercial and industrial construction. The Federal Reserve completed the “tapering” of its asset purchase program ten months ago, but since then the Federal Reserve governors still have not had the confidence to raise the overnight lending rate. While a Federal Reserve move will slightly increase some borrowing costs, it also will lead to added income for American savers.

The municipal bond market has seen a fair amount of volatility over the past year, but the net impact has been well within historical bounds. The yield curve has flattened in anticipation of Federal Reserve action. Short-term interest rates in the 2-5 year range have moved up approximately 30 basis points while long-term interest rates have only moved up a few basis points. As the U.S. economy has continued to grow in 2015, municipalities have mostly grown stronger with enhanced receipts from rising income taxes, sales taxes and use taxes. This reinforces the value municipal investing contributes to investment portfolios.

The Fund performed well during the past year versus peers, though the yield of the Fund continued to decline with almost all money market funds receiving expense subsidies to ensure positive returns. The Fund remains widely diversified with ample liquidity. Average maturity was positioned roughly in-line with others. We anticipate maintaining a shorter maturity in the Fund as we move closer to what would be a very welcome rise in rates by the Federal Reserve. We are still inclined toward buying some notes for the added yield potential, but we are mostly seeking maturities of less than a year as we hope to be writing here a year from now about the impact of rising rates and an improving yield for shareholders.

Average annual total returns (%)
	7-day current yield		1-year		5-year		10-year
Investor Class (Y)		0.04		0.02		0.03		1.05
Institutional Class (I)		0.04		0.02		0.15		1.24
iMoneyNet, Inc. Fund Report/Tax-Free National Retail Index				0.01		0.02		0.88
Lipper Tax-Exempt Money Market Funds Index				0.02		0.02		0.88

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

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

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

Craig J. Mauermann; since 1997

					Inception date		Expenses (%)
Share class	Ticker		Cusip				Gross		Net
Investor (Y)		MTFXX		09658L547		9/22/2004		0.53		0.45
Institutional (I)		MFIXX		09658L554		6/29/2005		0.28		0.20

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 5.8%
School District		1.3
State or Local		4.5
Revenue Bonds — 89.2%
Appropriation		13.6
Education		11.4
General Revenue		4.4
Healthcare		7.7
Housing		9.1
Industrial Revenue		8.9
Power		3.9
Special Tax		14.7
Transportation		2.9
Water & Sewer		12.6
Other Assets & Liabilities, Net		5.0
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

28

Annual Report — Commentary BMO Prime Money Market Fund

The BMO Prime Money Market Fund (the Fund) returned 0.01% for the fiscal year ended August 31, 2015 versus the iMoneyNet, Inc. Money Fund Report Averages and the Lipper Money Market Instrument Funds Index, which returned 0.02% and 0.01%, respectively.

BMO Prime Money Market Fund performed well within its peer group overall with almost all money market funds receiving expense subsidies to ensure positive returns. Money market yields remain at historically low levels, as the Federal Funds rate continues to be anchored near zero and is projected to remain there until at least late 2015. Demand for high-quality, short-term, securities remains strong, while supply continues to be limited.

The Fund continues to focus on securities issued by major banks, asset-backed commercial paper, and municipal variable-rate demand notes to add incremental yield. The Fund’s investment in municipal variable rate demand notes contributed to performance as these securities had elevated yields during tax season. Higher rates on repurchase agreements at certain points during the fiscal year also helped the Fund’s return. The Federal Reserve’s reverse repurchase facility continues to place a floor on rates for repurchase agreements backed by government securities.

The bond market experienced significant interest rate volatility over the fiscal year, with short term rates ending moderately higher than at the beginning of the year. Interest rates have fluctuated as investors have digested mixed economic data in an attempt to predict future actions of the Federal Reserve. While employment data in the U.S. has improved, inflation remains muted and concerns over slowing global growth have contributed to uncertainty surrounding the timing of a future increase of the Federal Funds target rate, which has remained close to zero since late 2008. Despite volatility in interest rates, Treasuries saw positive returns for the year ended August 31, 2015, while corporate bonds came under pressure as credit spreads widened.

Looking ahead, the trend toward higher rates in the front end of the yield curve is expected to remain with yields reaching higher highs and maintaining higher lows. The market had expected the first Federal Funds rate hike in over nine years to occur before the end of 2015, although as of the most recent Federal Reserve meeting in September, the target rate remained unchanged. The Federal Funds Futures market currently anticipates no change in the policy rate until at least early 2016. We expect Gross Domestic Product to accelerate to a 2.0 to 2.5% annual pace due to improved consumer spending and a pickup in residential housing from continued strong job growth. Inflation will likely remain subdued, driven by historically low commodity prices and a stable U.S. dollar combined with modest wage growth and income growth. Uncertainty in the Eurozone and China will continue to cause volatility and will be monitored closely. Event risk also will continue to be a strong theme in the corporate sector amidst strong balance sheets, activist investors, the Supreme Court ruling on the Affordable Care Act, and further merger and acquisition activity.

Average annual total returns (%)
	7-day current yield		1-year		5-year		10-year
Investor Class (Y)		0.03		0.01		0.01		1.40
Institutional Class (I)		0.05		0.02		0.10		1.57
iMoneyNet, Inc. Money Fund Report Averages				0.02		0.02		1.25
Lipper Money Market Instrument Funds Index				0.01		0.01		1.30

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

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

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

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

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2015. The Adviser has committed to continue this arrangement through December 31, 2016. The Fund’s return would have been lower without these contractual expense limitations.

Portfolio sector allocation
Sector	Fund (%)
Certificates of Deposit		16.2
Commercial Paper		54.6
Corporate Bonds & Notes		0.2
Municipals		7.2
Mutual Funds		6.8
Notes-Variable		3.2
Repurchase Agreements		11.8
Total		100.0

Portfolio composition will change due to the ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Growth of an assumed $10,000 investment

See Explanation of the Indexes and Notes in the Commentary for additional information. The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2005 to August 31, 2015.

29

Explanation of the Indexes and Notes in the Commentary

The views expressed in the commentary are as of August 31, 2015 and are those of the Funds’ investment adviser and/or portfolio manager(s). The views are subject to change at any time in response to changing circumstances in the market and are not intended to predict or guarantee the future performance of the Funds or any individual security, industry, market sector or the markets generally. Statements involving predictions, assessments, analyses or outlook for individual securities, industries, market sectors and/or markets involve risks and uncertainties. In addition to the general risks described for the Funds in their current Prospectuses, other factors bearing on these commentaries include the accuracy of the investment adviser’s or portfolio manager’s forecasts and predictions and the appropriateness of the investment programs designed by the investment adviser or portfolio managers to implement their strategies efficiently and effectively. Any one, or more, of these factors, as well as other risks affecting the securities markets and investment instruments generally, could cause the actual results of a Fund to differ materially as compared to benchmarks associated with that Fund. The line graphs and tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The gross and net expense ratios are based on expenses incurred by a Fund as disclosed in the Funds’ Prospectus dated December 29, 2014. Each Fund’s performance assumes the reinvestment of all dividends and distributions. Performance returns for all benchmark comparisons assume dividends and distributions were reinvested for the entire period. All indexes are unmanaged and are not available for direct investment.

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

30

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

Fund/Benchmark Comparison per Fund		Explanation
Small-Cap Growth Fund(1)	Russell 2000® Growth Index	The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.(4)
	Lipper Small-Cap Growth Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Global Low Volatility Equity Fund(3)	Morgan Stanley Capital International All Country World Index	The MSCI All Country World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.(4)
	Lipper Global Multi-Cap Core Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Pyrford Global Equity Fund(3)	Morgan Stanley Capital International World Index	MSCI World Index is a free float-adjusted market capitalization weithted index that is designed to measure the equity market performance of developed markets. The MSCI World Index consists of the following 23 developed market country indices: Australia, austria, belgium, Canada, Denmark, Finland, France, Germany, Hogn Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States.(4)
	Lipper Global Multi-Cap Core Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Pyrford International Stock Fund(3)	Morgan Stanley Capital International Europe, Australasia, Far East Index	Europe, Australasia and Far East Index is a standard unmanaged foreign securities index representing major non-U.S. stock markets, as monitored by Morgan Stanley Capital International.(4)
	Lipper International Multi-Cap Core Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
LGM Emerging Markets Equity Fund(3)	Morgan Stanley Capital International Emerging Markets Index	The MSCI Emerging Markets Index is a market capitalization weighted index comprised of over 800 companies representative of the market structure of the emerging countries in Europe, Latin America, Africa, Middle East and Asia, as monitored by Morgan Stanley Capital International.(4)
	Lipper Emerging Markets Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
TCH Emerging Markets Bond Fund(3)	JP Morgan Emerging Markets Bond Global Diversified Index	The JP Morgan Emerging Markets Bond Global Diversified Index tracks total returns for traded external debt instruments (external meaning foreign currency denominated fixed income) in the emerging markets and limits the weights of those index countries with larger debt stocks by only including a specified portion of these countries eligible current face amounts of debt outstanding.(4)
	Lipper Emerging Markets Hard Currency Debt Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Alternative Strategies Fund(3)	Bank of America Merrill Lynch 3-Month T-Bill Index	Bank of America Merrill Lynch 3-Month T-Bill Index comprises a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. While the index will often hold the Treasury Bill issued at the most recent 3-month auction, it is also possible for a seasoned 6-month Bill to be selected. (4)
	HFRX Global Hedge Fund Index	HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It comprises all eligible hedge fund strategies, including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event-driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.

31

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

Fund/Benchmark Comparison per Fund		Explanation
Ultra Short Tax-Free Fund(2)(6)	Blended Index (50% Barclays 1 Year Municipal Bond Index and 50% iMoneyNet Money Market Fund Tax-Free National Retail Index)	The blended index consists of 50% Barclays 1 Year Municipal Bond Index and 50% iMoneyNet Money Market Fund Tax-Free National Retail Index. The Barclays 1 Year Municipal Bond Index is the 1 year component of the Barclays Capital Municipal Bond Index, which is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. The iMoneyNet Money Market Fund Tax-Free National Retail Index is an average of money funds with investment objectives similar to that of the Fund.(4)
	Barclays 1 Year Municipal Bond Index	This benchmark is the 1 year component of the Barclays Municipal Bond Index, which is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. To qualify for inclusion, a bond or security must have outstanding par value of at least $7 million, issued as part of a transaction of at least $75 million, fixed rate, dated-date after December 31, 1990 and must have at least one year from final Maturity. (4)
	Lipper Short Municipal Debt Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Short Tax-Free Fund(2)(6)	Barclays Short (1-5 Year) Municipal Index	The Barclays Short (1-5 Year) Municipal Index includes invetment-grade tax-exempt bonds that are issued by state and local governments and have maturities of 1 to 5 years.(4)
	Lipper Short Municipal Debt Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Short-Term Income Fund(6)	Bank of America Merrill Lynch 1-3 Year U.S. Government/Corporate Index	This is an index tracking short-term U.S. government and corporate securities with maturities between 1 and 2.99 years. The index is produced by Merrill Lynch, Pierce, Fenner & Smith.(4)
	Lipper Short Investment-Grade Debt Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Intermediate Tax-Free Fund(2)(6)	Barclays 1-15 Year Blend Municipal Bond Index	This index is the 1-15 year Blend component of the Barclays Municipal Bond Index, which is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa and a range of maturities between 1-17 years. To qualify for inclusion, a bond or security must have outstanding par value of at least $7 million, issued as part of a transaction of at least $75 million, fixed rate, dated-date after December 31, 1990 and must have at least one year from final maturity.(4)
	Lipper Intermediate Municipal Debt Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Mortgage Income Fund(6)	Barclays U.S. Mortgage Backed Security Index	This index is an unmanaged index that includes 15 and 30 year fixed-rate securities backed by mortgage pools of the Government National Mortgage Association (GNMA), Federal Home Loan Mortgage Corp. (FHLMC) and the Federal National Mortgage Corporation (FNMC).(4)
	Lipper U.S. Mortgage Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
TCH Intermediate Income Fund(6)	Barclays U.S. Intermediate Government/Credit Bond Index	This index is comprised of government and corporate bonds rated BBB or higher with maturities between 1-10 years.(4)
	Lipper Short-Intermediate Investment-Grade Debt Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
TCH Corporate Income Fund(6)	Barclays U.S. Credit Index	Barclays U.S. Credit Index represents securities that are SEC registered, taxable and U.S. dollar denominated. The index covers U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity and quality requirements.(4)
	Lipper Core Plus Bond Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
TCH Core Plus Bond Fund(6)	Barclays U.S Aggregate Bond Index	Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage pass-through securities, asset-backed securities and commercial mortgage-based securities. To qualify for inclusion, a bond or security must have at least one year to final maturity, rated investment grade Baa3 or better, dollar denominated, non-convertible, fixed rate and be publicly issued.(4)
	Lipper Core Plus Bond Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)

32

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

Fund/Benchmark Comparison per Fund		Explanation
Monegy High Yield Bond Fund(3)(6)	Bank of America Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index	This is a benchmark index for high yield corporate bonds which excludes lower-rated securities and caps exposure to any one issuer at 2% and is administrated by Merrill Lynch.(4)
	Lipper High Yield Bond Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Multi-Asset Income Fund(6)	75% Barclays U.S. Aggregate Bond Index/25% Russell 3000® Index	This blended benchmark index consists of 75% Barclays U.S. Aggregate Bond Index, which is described below, and 25% Russell 3000® Index. The Russell 3000® Index is composed of 3000 large U.S. Companies, as determined by market capitalization. This portfolio of Securities represents approximately 98% of the investable U.S. equity market. The Russell 3000® Index is comprised of stocks within the Russell 1000® and the Russell 2000® Indices. The index was developed with a base value of 140.00 as of December 31, 1986.(4)
	Barclays U.S. Aggregate Bond Index	Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage pass-through securities, asset-backed securities and commercial mortgage-based securities. To qualify for inclusion, a bond or security must have at least one year to final maturity, rated investment grade Baa3 or better, dollar denominated, non-convertible, fixed rate and be publicly issued.(4)
	Lipper Mixed-Asset Target Allocation Conservative Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Government Money Market Fund	iMoneyNet, Inc. Government Money Market Index	This index is an average of money funds with investment objectives similar to that of the Fund.
	Lipper U.S. Government Money Market Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Tax-Free Money Market Fund	iMoneyNet, Inc. Fund Report/Tax-Free National Retail	This index is an average of money funds with investment objectives similar to that of the Fund.
	Lipper Tax-Exempt Money Market Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Prime Money Market Fund	iMoneyNet, Inc. Money Fund Report Averages	This index is an average of money funds with investment objectives similar to that of the Fund.
	Lipper Money Market Instrument Funds Index	Lipper indexes are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)

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

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

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

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

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

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

33

Expense Example (Unaudited)

For the Six Months Ended August 31, 2015

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended August 31, 2015 (3/1/15-8/31/15).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Investor									Advisor									Institutional
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
Low Volatility Equity Fund
Actual										$	1,000.00	$	964.30		0.90	%	$	4.46	$	1,000.00	$	965.70		0.65	%	$	3.22
Hypothetical (5% return before expenses)											1,000.00		1,020.50		0.90			4.58		1,000.00		1,021.70		0.65			3.31
Dividend Income Fund
Actual											1,000.00		918.00		0.90			4.36		1,000.00		920.00		0.65			3.15
Hypothetical (5% return before expenses)											1,000.00		1,020.50		0.90			4.58		1,000.00		1,021.70		0.65			3.31
Large-Cap Value Fund
Actual	$	1,000.00	$	946.10		1.21	%	$	5.91		1,000.00		946.10		1.21			5.92		1,000.00		947.40		0.96			4.69
Hypothetical (5% return before expenses)		1,000.00		1,018.90		1.21			6.16		1,000.00		1,018.90		1.21			6.16		1,000.00		1,020.20		0.96			4.89
Large-Cap Growth Fund
Actual		1,000.00		974.80		1.21			6.01		1,000.00		974.80		1.21			6.01		1,000.00		975.60		0.96			4.77
Hypothetical (5% return before expenses)		1,000.00		1,018.90		1.21			6.16		1,000.00		1,018.90		1.21			6.16		1,000.00		1,020.20		0.96			4.89

34

Expense Example (Unaudited) (continued)

	Investor									Advisor									Institutional
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
Mid-Cap Value Fund
Actual	$	1,000.00	$	918.70		1.22	%	$	5.91	$	1,000.00	$	918.70		1.22	%	$	5.91	$	1,000.00	$	919.70		0.97	%	$	4.70
Hypothetical (5% return before expenses)		1,000.00		1,018.80		1.22			6.21		1,000.00		1,018.80		1.22			6.21		1,000.00		1,020.10		0.97			4.94
Mid-Cap Growth Fund
Actual		1,000.00		941.70		1.24			6.08		1,000.00		941.70		1.24			6.08		1,000.00		943.40		0.99			4.86
Hypothetical (5% return before expenses)		1,000.00		1,018.70		1.24			6.31		1,000.00		1,018.70		1.24			6.31		1,000.00		1,020.00		0.99			5.04
Small-Cap Value Fund
Actual											1,000.00		933.20		1.24			6.04		1,000.00		934.50		0.99			4.82
Hypothetical (5% return before expenses)											1,000.00		1,018.70		1.24			6.31		1,000.00		1,020.00		0.99			5.04
Small-Cap Core Fund
Actual											1,000.00		940.40		1.15			5.63		1,000.00		941.40		0.90			4.40
Hypothetical (5% return before expenses)											1,000.00		1,019.20		1.15			5.85		1,000.00		1,020.50		0.90			4.58
Small-Cap Growth Fund
Actual		1,000.00		927.80		1.41			6.83											1,000.00		929.10		1.16			5.62
Hypothetical (5% return before expenses)		1,000.00		1,017.90		1.41			7.17											1,000.00		1,019.20		1.16			5.90
Global Low Volatility Equity Fund
Actual											1,000.00		963.40		1.10			5.44		1,000.00		964.30		0.85			4.21
Hypothetical (5% return before expenses)											1,000.00		1,019.50		1.10			5.60		1,000.00		1,020.70		0.85			4.33
Pyrford Global Equity Fund
Actual											1,000.00		911.10		1.15			5.54		1,000.00		913.00		0.90			4.34
Hypothetical (5% return before expenses)											1,000.00		1,019.20		1.15			5.85		1,000.00		1,020.50		0.90			4.58
Pyrford International Stock Fund
Actual		1,000.00		910.10		1.24			5.97		1,000.00		910.10		1.24			5.97		1,000.00		911.10		0.99			4.77
Hypothetical (5% return before expenses)		1,000.00		1,018.70		1.24			6.31		1,000.00		1,018.70		1.24			6.31		1,000.00		1,020.00		0.99			5.04
LGM Emerging Markets Equity Fund
Actual											1,000.00		868.20		1.40			6.59		1,000.00		869.80		1.15			5.42
Hypothetical (5% return before expenses)											1,000.00		1,017.90		1.40			7.12		1,000.00		1,019.20		1.15			5.85
TCH Emerging Markets Bond Fund
Actual											1,000.00		973.40		1.00			4.97		1,000.00		974.40		0.85			4.23
Hypothetical (5% return before expenses)											1,000.00		1,020.00		1.00			5.09		1,000.00		1,020.70		0.85			4.33
Alternative Strategies Fund
Actual											1,000.00		1,001.00		2.72			13.72		1,000.00		1,001.90		2.57			12.95
Hypothetical (5% return before expenses)											1,000.00		1,011.30		2.72			13.79		1,000.00		1,012.10		2.57			13.03
Ultra Short Tax-Free Fund
Actual		1,000.00		999.50		0.55			2.77		1,000.00		999.50		0.55			2.77		1,000.00		999.20		0.30			1.51
Hypothetical (5% return before expenses)		1,000.00		1,022.20		0.55			2.80		1,000.00		1,022.20		0.55			2.80		1,000.00		1,023.50		0.30			1.53
Short Tax-Free Fund
Actual		1,000.00		1,002.00		0.55			2.78		1,000.00		1,002.00		0.56			2.81		1,000.00		1,002.70		0.40			2.02
Hypothetical (5% return before expenses)		1,000.00		1,022.20		0.55			2.80		1,000.00		1,022.20		0.56			2.85		1,000.00		1,023.00		0.40			2.04
Short-Term Income Fund
Actual		1,000.00		1,002.30		0.60			3.03		1,000.00		1,002.30		0.60			3.00		1,000.00		1,003.60		0.35			1.76
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.60			3.06		1,000.00		1,022.00		0.60			3.06		1,000.00		1,023.20		0.35			1.78
Intermediate Tax-Free Fund
Actual		1,000.00		1,001.00		0.55			2.79		1,000.00		1,001.00		0.55			2.79		1,000.00		1,003.10		0.32			1.62
Hypothetical (5% return before expenses)		1,000.00		1,022.20		0.55			2.80		1,000.00		1,022.20		0.55			2.80		1,000.00		1,023.40		0.32			1.63
Mortgage Income Fund
Actual		1,000.00		1,001.40		0.80			4.04		1,000.00		1,001.40		0.81			4.07		1,000.00		1,003.80		0.55			2.78
Hypothetical (5% return before expenses)		1,000.00		1,021.00		0.80			4.08		1,000.00		1,020.90		0.81			4.13		1,000.00		1,022.20		0.55			2.80

35

Expense Example (Unaudited) (continued)

	Investor									Advisor									Institutional
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
TCH Intermediate Income Fund
Actual										$	1,000.00	$	984.80		0.80	%	$	4.01	$	1,000.00	$	986.00		0.55	%	$	2.76
Hypothetical (5% return before expenses)											1,000.00		1,021.00		0.80			4.08		1,000.00		1,022.20		0.55			2.80
TCH Corporate Income Fund
Actual	$	1,000.00	$	965.10		0.59	%	$	2.95		1,000.00		965.10		0.60			2.95		1,000.00		965.80		0.45			2.22
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.59			3.01		1,000.00		1,022.00		0.60			3.06		1,000.00		1,022.70		0.45			2.29
TCH Core Plus Bond Fund
Actual		1,000.00		976.50		0.57			2.86		1,000.00		976.50		0.58			2.87		1,000.00		977.70		0.32			1.61
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.57			2.91		1,000.00		1,022.10		0.58			2.96		1,000.00		1,023.40		0.32			1.63
Monegy High Yield Bond Fund
Actual											1,000.00		980.30		0.90			4.49		1,000.00		982.50		0.65			3.25
Hypothetical (5% return before expenses)											1,000.00		1,020.50		0.90			4.58		1,000.00		1,021.70		0.65			3.31
Multi-Asset Income Fund
Actual											1,000.00		962.50		0.80			3.96		1,000.00		964.70		0.55			2.73
Hypothetical (5% return before expenses)											1,000.00		1,021.00		0.80			4.08		1,000.00		1,022.20		0.55			2.80
Government Money Market Fund
Actual		1,000.00		1,000.10		0.09			0.48											1,000.00		1,000.10		0.10			0.48
Hypothetical (5% return before expenses)		1,000.00		1,024.50		0.09			0.46											1,000.00		1,024.50		0.10			0.51
Tax-Free Money Market Fund
Actual		1,000.00		1,000.10		0.16			0.79											1,000.00		1,000.10		0.16			0.79
Hypothetical (5% return before expenses)		1,000.00		1,024.20		0.16			0.82											1,000.00		1,024.20		0.16			0.82
Prime Money Market Fund
Actual		1,000.00		1,000.10		0.21			1.04											1,000.00		1,000.10		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,024.00		0.21			1.07											1,000.00		1,024.00		0.20			1.02
	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
Mid-Cap Value Fund
Actual	$	1,000.00	$	917.80		1.47	%	$	7.12	$	1,000.00	$	920.40		0.82	%	$	3.99
Hypothetical (5% return before expenses)		1,000.00		1,017.60		1.47			7.48		1,000.00		1,020.80		0.82			4.18
Mid-Cap Growth Fund
Actual		1,000.00		940.90		1.49			7.29		1,000.00		944.00		0.84			4.13
Hypothetical (5% return before expenses)		1,000.00		1,017.50		1.49			7.58		1,000.00		1,020.80		0.84			4.28
Small-Cap Value Fund
Actual		1,000.00		932.10		1.49			7.26		1,000.00		935.30		0.84			4.10
Hypothetical (5% return before expenses)		1,000.00		1,017.50		1.49			7.58		1,000.00		1,020.80		0.84			4.28
Pyrford International Stock Fund
Actual		1,000.00		908.70		1.49			7.17		1,000.00		911.80		0.84			4.04
Hypothetical (5% return before expenses)		1,000.00		1,017.50		1.49			7.58		1,000.00		1,020.80		0.84			4.28

(1) Expenses are equal to the Funds’ annualized expense ratios for the period March 1, 2015 through August 31, 2015, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period)

36

August 31, 2015

Schedules of Investments BMO Funds

Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 90.0%
Consumer Discretionary — 10.2%
Apparel Retail — 1.3%
DSW, Inc., Class A (1)		32,783	$	973,327
Apparel, Accessories & Luxury Goods — 1.2%
Carter’s, Inc.		9,734		956,950
Automotive Retail — 2.5%
AutoZone, Inc. (1)(2)		2,065		1,478,519
O’Reilly Automotive, Inc. (1)(2)		2,037		489,023
				1,967,542
Cable & Satellite — 0.2%
Cable One, Inc. (2)		435		180,673
Department Stores — 1.1%
Kohl’s Corp.		16,683		851,333
Education Services — 0.2%
Graham Holdings Co., Class B		264		174,652
Publishing — 1.6%
John Wiley & Sons, Inc., Class A (1)		15,648		806,811
Morningstar, Inc. (1)		5,461		435,678
				1,242,489
Restaurants — 1.2%
McDonald’s Corp.		9,376		890,908
Specialty Stores — 0.9%
Sally Beauty Holdings, Inc. (1)(2)		26,405		690,227
Total Consumer Discretionary				7,928,101
Consumer Staples — 20.5%
Agricultural Products — 1.3%
Bunge, Ltd. (1)		14,400		1,043,280
Drug Retail — 0.3%
CVS Health Corp. (1)		2,170		222,208
Food Distributors — 0.1%
Sysco Corp.		2,763		110,161
Food Retail — 1.1%
Kroger Co. (1)		25,427		877,231
Household Products — 5.6%
Church & Dwight Co., Inc. (1)		12,996		1,121,295
Clorox Co. (1)		11,002		1,223,092
Kimberly-Clark Corp.		10,781		1,148,500
Procter & Gamble Co.		2,196		155,191
Spectrum Brands Holdings, Inc.		7,043		692,186
				4,340,264
Hypermarkets & Super Centers — 3.2%
Costco Wholesale Corp. (1)		9,166		1,283,698
Wal-Mart Stores, Inc.		18,695		1,210,128
				2,493,826
Packaged Foods & Meats — 6.0%
ConAgra Foods, Inc.		27,152		1,131,695
General Mills, Inc.		20,317		1,153,193
Kellogg Co.		15,618		1,035,161
Pinnacle Foods, Inc.		29,858		1,338,833
				4,658,882
Soft Drinks — 2.9%
Dr. Pepper Snapple Group, Inc. (1)		14,500		1,112,585
PepsiCo, Inc.		12,249		1,138,300
				2,250,885
Total Consumer Staples				15,996,737

Description	Shares		Value
Common Stocks (continued)
Energy — 2.8%
Integrated Oil & Gas — 0.2%
Exxon Mobil Corp. (1)		2,230	$	167,785
Oil & Gas-Equipment & Services — 1.9%
Oceaneering International, Inc.		5,662		248,109
Schlumberger, Ltd.		15,835		1,225,154
				1,473,263
Oil & Gas-Refining & Marketing — 0.7%
World Fuel Services Corp. (1)		13,402		517,987
Total Energy				2,159,035
Financials — 19.6%
Consumer Finance — 0.4%
Synchrony Financial (1)(2)		8,982		295,957
Diversified Banks — 1.8%
Wells Fargo & Co. (1)		26,006		1,386,900
Investment Banking & Brokerage — 1.1%
TD Ameritrade Holding Corp. (1)		26,270		878,994
Life & Health Insurance — 0.9%
Aflac, Inc.		11,570		678,002
Mortgage REIT’s — 0.6%
Annaly Capital Management, Inc. (1)		46,809		470,898
Office REIT’s — 1.3%
Equity Commonwealth, REIT (1)(2)		38,090		978,532
Property & Casualty Insurance — 5.5%
Allied World Assurance Co. Holdings AG		33,312		1,330,481
Axis Capital Holdings, Ltd. (1)		23,569		1,319,864
Travelers Cos., Inc.		9,872		982,758
White Mountains Insurance Group, Ltd.		913		656,730
				4,289,833
Regional Banks — 2.5%
Bank of Hawaii Corp.		6,508		403,887
Huntington Bancshares, Inc. (1)		55,491		605,407
PNC Financial Services Group, Inc. (1)		3,093		281,834
Regions Financial Corp.		35,231		337,865
Zions Bancorporation (1)		11,665		338,285
				1,967,278
Reinsurance — 4.5%
Everest Re Group, Ltd. (1)		7,859		1,381,691
RenaissanceRe Holdings, Ltd. (1)		9,837		1,002,882
Validus Holdings, Ltd. (1)		25,890		1,146,409
				3,530,982
Specialized Finance — 1.0%
CBOE Holdings, Inc.		12,265		775,884
Total Financials				15,253,260
Healthcare — 11.1%
Biotechnology — 0.1%
Myriad Genetics, Inc. (1)(2)		2,575		96,717
Healthcare Equipment — 1.3%
Hill-Rom Holdings, Inc.		4,139		218,705
Varian Medical Systems, Inc. (1)(2)		10,032		815,100
				1,033,805
Healthcare Services — 3.6%
Express Scripts Holding Co. (1)(2)		16,183		1,352,899
Laboratory Corporation of America Holdings (1)(2)		2,591		305,246
MEDNAX, Inc. (1)(2)		13,891		1,118,920
				2,777,065

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

37

August 31, 2015

Schedules of Investments

Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Managed Healthcare — 0.8%
Anthem, Inc.		4,424	$	624,005
Pharmaceuticals — 5.3%
Eli Lilly & Co. (1)		6,518		536,757
Johnson & Johnson (1)		14,779		1,388,930
Merck & Co., Inc. (1)		15,962		859,554
Pfizer, Inc.		41,839		1,348,053
				4,133,294
Total Healthcare				8,664,886
Industrials — 0.9%
Environmental & Facilities Services — 0.9%
Waste Management, Inc. (1)		13,406		671,104
Information Technology — 11.3%
Application Software — 1.4%
Citrix Systems, Inc. (2)		16,226		1,105,153
Communications Equipment — 1.5%
Cisco Systems, Inc. (1)		45,928		1,188,617
Consulting & Other Services — 2.1%
Amdocs, Ltd. (1)		28,537		1,632,602
Data Processing & Outsourced Services — 0.9%
Genpact, Ltd. (2)		29,065		668,495
Electronic Components — 0.6%
Dolby Laboratories, Inc., Class A (1)		15,066		490,549
Internet Software & Services — 0.8%
eBay, Inc. (2)		12,073		327,299
VeriSign, Inc. (1)(2)		4,008		276,311
				603,610
Systems Software — 0.2%
Oracle Corp. (1)		5,074		188,195
Technology Hardware, Storage & Peripherals — 3.8%
Apple, Inc.		9,785		1,103,357
EMC Corp.		38,252		951,327
NetApp, Inc. (1)		28,196		901,144
				2,955,828
Total Information Technology				8,833,049
Materials — 1.9%
Metal & Glass Containers — 1.0%
Silgan Holdings, Inc.		16,070		841,425
Paper Packaging — 0.9%
Avery Dennison Corp.		11,821		686,564
Total Materials				1,527,989
Telecommunication Services — 3.1%
Integrated Telecommunication Services — 3.1%
AT&T, Inc. (1)		26,481		879,169
CenturyLink, Inc.		4,239		114,623
Verizon Communications, Inc. (1)		31,043		1,428,288
Total Telecommunication Services				2,422,080
Utilities — 8.6%
Electric Utilities — 5.7%
American Electric Power Co., Inc. (1)		7,594		412,278
Edison International (1)		20,547		1,201,589
Entergy Corp. (1)		17,707		1,156,798
Exelon Corp. (1)		16,902		519,905

Description	Shares		Value
Common Stocks (continued)
Utilities (continued)
Electric Utilities (continued)
Southern Co. (1)		17,724	$	769,399
Xcel Energy, Inc. (1)		12,193		411,270
				4,471,239
Multi-Utilities — 1.4%
Consolidated Edison, Inc. (1)		15,044		946,418
DTE Energy Co. (1)		2,006		156,589
				1,103,007
Water Utilities — 1.5%
American Water Works Co., Inc.		22,146		1,150,263
Total Utilities				6,724,509
Total Common Stocks (identified cost $65,498,910)				70,180,750
Short-Term Investments — 49.7%
Collateral Pool Investments for Securities on Loan — 41.7%
Collateral pool allocation (3)				32,471,440
Mutual Funds — 8.0%
BMO Prime Money Market Fund, Class I, 0.050% (4)		6,245,933		6,245,933
Total Short-Term Investments (identified cost $38,717,373)				38,717,373
Total Investments — 139.7% (identified cost $104,216,283)				108,898,123
Other Assets and Liabilities — (39.7)%				(30,944,601	)
Total Net Assets — 100.0%			$	77,953,522

Dividend Income Fund

Description	Shares		Value
Common Stocks — 97.8%
Consumer Discretionary — 9.2%
Advertising — 1.6%
Omnicom Group, Inc. (1)		28,522	$	1,910,404
Automobile Manufacturers — 0.8%
Ford Motor Co.		67,953		942,508
Cable & Satellite — 0.9%
Comcast Corp., Class A (1)		19,438		1,094,942
Computer & Electronics Retail — 0.5%
GameStop Corp., Class A (1)		15,480		657,590
Department Stores — 1.9%
Kohl’s Corp.		20,599		1,051,167
Macy’s, Inc.		20,854		1,222,253
				2,273,420
General Merchandise Stores — 0.8%
Target Corp.		12,105		940,680
Home Furnishings — 0.6%
Leggett & Platt, Inc. (1)		15,562		691,264
Home Improvement Retail — 1.6%
Home Depot, Inc.		16,150		1,880,829
Hotels, Resorts & Cruise Lines — 0.5%
Wyndham Worldwide Corp.		8,166		624,536
Total Consumer Discretionary				11,016,173

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

38

BMO Funds

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 8.1%
Agricultural Products — 1.5%
Archer-Daniels-Midland Co. (1)		40,324	$	1,814,177
Hypermarkets & Super Centers — 0.5%
Wal-Mart Stores, Inc.		9,035		584,835
Soft Drinks — 1.7%
Dr. Pepper Snapple Group, Inc. (1)		18,169		1,394,108
PepsiCo, Inc.		6,796		631,552
				2,025,660
Tobacco — 4.4%
Altria Group, Inc. (1)		66,013		3,536,976
Philip Morris International, Inc. (1)		10,051		802,070
Reynolds American, Inc.		10,940		916,225
				5,255,271
Total Consumer Staples				9,679,943
Energy — 6.5%
Integrated Oil & Gas — 1.3%
Chevron Corp. (1)		18,684		1,513,217
Oil & Gas-Drilling — 0.8%
Helmerich & Payne, Inc. (1)		15,811		933,007
Oil & Gas-Equipment & Services — 0.9%
Schlumberger, Ltd.		14,604		1,129,911
Oil & Gas-Exploration & Production — 0.9%
ConocoPhillips (1)		22,870		1,124,061
Oil & Gas-Refining & Marketing — 2.6%
Phillips 66 (1)		7,668		606,309
Valero Energy Corp. (1)		41,626		2,470,087
				3,076,396
Total Energy				7,776,592
Financials — 19.0%
Asset Management & Custody Banks — 3.3%
Ameriprise Financial, Inc.		24,481		2,758,274
Invesco, Ltd.		16,900		576,459
T Rowe Price Group, Inc. (1)		9,203		661,512
				3,996,245
Consumer Finance — 1.7%
Discover Financial Services		11,087		595,705
Navient Corp.		111,875		1,430,881
				2,026,586
Diversified Banks — 5.2%
JPMorgan Chase & Co. (1)		38,310		2,455,671
U.S. Bancorp (1)		15,297		647,828
Wells Fargo & Co. (1)		57,764		3,080,554
				6,184,053
Hotel & Resort REIT’s — 1.4%
Host Hotels & Resorts, Inc. (1)		96,411		1,709,367
Life & Health Insurance — 1.5%
MetLife, Inc.		11,552		578,755
Principal Financial Group, Inc.		24,268		1,221,894
				1,800,649
Property & Casualty Insurance — 1.1%
Progressive Corp. (1)		23,639		708,225
Travelers Cos., Inc.		6,146		611,834
				1,320,059

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks — 3.8%
Fifth Third Bancorp (1)		139,908	$	2,786,967
Huntington Bancshares, Inc. (1)		93,910		1,024,558
PNC Financial Services Group, Inc. (1)		7,715		702,991
				4,514,516
Retail REIT’s — 1.0%
Kimco Realty Corp. (1)		53,174		1,225,661
Total Financials				22,777,136
Healthcare — 11.9%
Biotechnology — 0.5%
Amgen, Inc. (1)		3,871		587,540
Managed Healthcare — 0.7%
UnitedHealth Group, Inc. (1)		7,542		872,610
Pharmaceuticals — 10.7%
AbbVie, Inc. (1)		19,520		1,218,243
Eli Lilly & Co. (1)		7,599		625,778
Johnson & Johnson		39,428		3,705,443
Merck & Co., Inc. (1)		51,093		2,751,358
Pfizer, Inc. (1)		137,717		4,437,242
				12,738,064
Total Healthcare				14,198,214
Industrials — 8.3%
Aerospace & Defense — 4.6%
Boeing Co. (1)		21,966		2,870,517
General Dynamics Corp. (1)		8,209		1,165,924
Honeywell International, Inc. (1)		8,028		796,940
Lockheed Martin Corp.		3,167		637,137
				5,470,518
Air Freight & Logistics — 0.5%
United Parcel Service, Inc., Class B		6,056		591,368
Construction Machinery & Heavy Trucks — 1.4%
Caterpillar, Inc. (1)		12,966		991,121
Cummins, Inc. (1)		5,834		710,289
				1,701,410
Environmental & Facilities Services — 1.3%
Waste Management, Inc. (1)		31,095		1,556,616
Security & Alarm Services — 0.5%
ADT Corp. (1)		18,929		620,493
Total Industrials				9,940,405
Information Technology — 14.9%
Communications Equipment — 2.9%
Cisco Systems, Inc. (1)		132,379		3,425,968
Electronic Components — 0.6%
Corning, Inc.		40,512		697,212
Semiconductors — 3.3%
Intel Corp. (1)		90,005		2,568,743
Microchip Technology, Inc. (1)		33,968		1,443,640
				4,012,383
Systems Software — 3.2%
Microsoft Corp. (1)		87,995		3,829,542
Technology Hardware, Storage & Peripherals — 4.9%
Apple, Inc. (1)		34,692		3,911,870
Seagate Technology PLC (1)		23,313		1,198,288
Western Digital Corp. (1)		9,600		786,816
				5,896,974
Total Information Technology				17,862,079

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

39

August 31, 2015

Schedules of Investments

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials — 7.3%
Commodity Chemicals — 2.5%
LyondellBasell Industries NV, Class A		35,599	$	3,039,442
Diversified Chemicals — 2.1%
Dow Chemical Co.		55,876		2,445,134
Paper Packaging — 1.5%
Avery Dennison Corp.		30,622		1,778,526
Paper Products — 1.2%
International Paper Co. (1)		33,995		1,466,544
Total Materials				8,729,646
Telecommunication Services — 5.8%
Integrated Telecommunication Services — 5.8%
AT&T, Inc. (1)		62,027		2,059,296
CenturyLink, Inc.		38,435		1,039,282
Verizon Communications, Inc. (1)		83,843		3,857,617
Total Telecommunication Services				6,956,195
Utilities — 6.8%
Electric Utilities — 5.2%
American Electric Power Co., Inc. (1)		51,419		2,791,538
Entergy Corp. (1)		12,763		833,807
Exelon Corp. (1)		48,940		1,505,394
Pinnacle West Capital Corp. (1)		18,033		1,073,504
				6,204,243
Multi-Utilities — 1.6%
CenterPoint Energy, Inc. (1)		42,469		790,773
PG&E Corp.		24,036		1,191,705
				1,982,478
Total Utilities				8,186,721
Total Common Stocks (identified cost $106,531,276)				117,123,104
Short-Term Investments — 50.4%
Collateral Pool Investments for Securities on Loan — 48.1%
Collateral pool allocation (3)				57,648,185
Mutual Funds — 2.3%
BMO Prime Money Market Fund, Class I, 0.050% (4)		2,800,936		2,800,936
Total Short-Term Investments (identified cost $60,449,121)				60,449,121
Total Investments — 148.2% (identified cost $166,980,397)				177,572,225
Other Assets and Liabilities — (48.2)%				(57,764,075	)
Total Net Assets — 100.0%			$	119,808,150

Large-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.2%
Consumer Discretionary — 8.2%
Apparel Retail — 1.0%
Foot Locker, Inc. (1)		37,228	$	2,635,370

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Auto Parts & Equipment — 2.1%
Delphi Automotive PLC (1)		8,729	$	659,214
Lear Corp.		45,953		4,723,509
				5,382,723
Cable & Satellite — 2.0%
Comcast Corp., Class A (1)		86,946		4,897,668
Department Stores — 1.0%
Kohl’s Corp.		18,802		959,466
Macy’s, Inc. (1)		24,685		1,446,788
				2,406,254
Home Improvement Retail — 0.5%
Home Depot, Inc.		10,139		1,180,788
Homefurnishing Retail — 1.6%
Bed Bath & Beyond, Inc. (1)(2)		65,584		4,073,422
Total Consumer Discretionary				20,576,225
Consumer Staples — 8.0%
Agricultural Products — 1.8%
Archer-Daniels-Midland Co. (1)		100,950		4,541,740
Drug Retail — 2.0%
CVS Health Corp. (1)		49,049		5,022,618
Food Retail — 1.3%
Kroger Co. (1)		97,995		3,380,827
Hypermarkets & Super Centers — 1.7%
Wal-Mart Stores, Inc. (1)		64,698		4,187,902
Soft Drinks — 1.2%
Dr. Pepper Snapple Group, Inc. (1)		38,677		2,967,686
Total Consumer Staples				20,100,773
Energy — 12.5%
Integrated Oil & Gas — 5.6%
Chevron Corp. (1)		34,682		2,808,895
Exxon Mobil Corp. (1)		151,097		11,368,539
				14,177,434
Oil & Gas-Drilling — 1.3%
Helmerich & Payne, Inc. (1)		53,142		3,135,909
Oil & Gas-Equipment & Services — 2.1%
FMC Technologies, Inc. (2)		51,422		1,788,457
Halliburton Co.		86,921		3,420,342
				5,208,799
Oil & Gas-Exploration & Production — 0.6%
EOG Resources, Inc. (1)		18,353		1,437,223
Oil & Gas-Refining & Marketing — 2.9%
Marathon Petroleum Corp. (1)		73,832		3,492,992
Valero Energy Corp. (1)		65,839		3,906,886
				7,399,878
Total Energy				31,359,243
Financials — 28.0%
Asset Management & Custody Banks — 1.8%
Ameriprise Financial, Inc. (1)		39,755		4,479,196
Consumer Finance — 3.6%
Capital One Financial Corp. (1)		65,254		5,073,499
Discover Financial Services (1)		55,800		2,998,134
Synchrony Financial (1)(2)		31,881		1,050,479
				9,122,112

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

40

BMO Funds

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Diversified Banks — 6.5%
Citigroup, Inc. (1)		132,167	$	7,068,291
Wells Fargo & Co. (1)		173,160		9,234,623
				16,302,914
Hotel & Resort REIT’s — 0.6%
Host Hotels & Resorts, Inc.		84,590		1,499,781
Life & Health Insurance — 0.9%
Lincoln National Corp. (1)		42,447		2,155,883
Multi-Line Insurance — 2.2%
American International Group, Inc. (1)		93,080		5,616,447
Office REIT’s — 1.2%
Boston Properties, Inc. (1)		25,906		2,937,222
Property & Casualty Insurance — 2.7%
Axis Capital Holdings, Ltd. (1)		26,489		1,483,384
Travelers Cos., Inc.		53,063		5,282,422
				6,765,806
Regional Banks — 5.3%
Fifth Third Bancorp (1)		245,412		4,888,607
Huntington Bancshares, Inc. (1)		277,642		3,029,074
Keycorp		162,328		2,230,387
PNC Financial Services Group, Inc. (1)		35,170		3,204,690
				13,352,758
Reinsurance — 2.5%
Everest Re Group, Ltd.		26,820		4,715,224
Reinsurance Group of America, Inc.		18,168		1,651,108
				6,366,332
Residential REIT’s — 0.7%
Equity Residential (1)		15,337		1,092,761
Essex Property Trust, Inc.		3,643		781,861
				1,874,622
Total Financials				70,473,073
Healthcare — 13.0%
Biotechnology — 2.3%
Amgen, Inc. (1)		25,119		3,812,562
Gilead Sciences, Inc.		18,009		1,892,205
				5,704,767
Healthcare Facilities — 1.3%
HCA Holdings, Inc. (1)(2)		39,099		3,386,755
Managed Healthcare — 2.5%
Aetna, Inc. (1)		29,611		3,391,052
UnitedHealth Group, Inc. (1)		25,594		2,961,226
				6,352,278
Pharmaceuticals — 6.9%
Johnson & Johnson (1)		105,980		9,960,000
Pfizer, Inc. (1)		225,430		7,263,355
				17,223,355
Total Healthcare				32,667,155
Industrials — 5.8%
Aerospace & Defense — 4.1%
Boeing Co. (1)		31,306		4,091,068
General Dynamics Corp. (1)		40,324		5,727,218
Northrop Grumman Corp.		3,221		527,406
				10,345,692

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Airlines — 1.3%
Alaska Air Group, Inc. (1)		20,094	$	1,504,237
Southwest Airlines Co.		48,068		1,764,096
				3,268,333
Construction & Engineering — 0.4%
Jacobs Engineering Group, Inc. (2)		22,908		925,712
Total Industrials				14,539,737
Information Technology — 10.2%
Communications Equipment — 3.8%
Brocade Communications Systems, Inc.		218,911		2,331,402
Cisco Systems, Inc. (1)		281,304		7,280,148
				9,611,550
Consulting & Other Services — 0.8%
Amdocs, Ltd. (1)		34,299		1,962,246
Semiconductors — 0.8%
Micron Technology, Inc. (1)(2)		123,554		2,027,521
Systems Software — 1.2%
Oracle Corp. (1)		82,840		3,072,536
Technology Hardware, Storage & Peripherals — 3.6%
Apple, Inc. (1)		37,094		4,182,719
EMC Corp.		117,291		2,917,027
Hewlett-Packard Co.		65,728		1,844,328
				8,944,074
Total Information Technology				25,617,927
Materials — 4.4%
Commodity Chemicals — 1.6%
LyondellBasell Industries NV, Class A (1)		48,666		4,155,103
Diversified Chemicals — 1.9%
Dow Chemical Co. (1)		109,838		4,806,511
Paper Packaging — 0.9%
Avery Dennison Corp.		37,502		2,178,116
Total Materials				11,139,730
Telecommunication Services — 1.9%
Integrated Telecommunication Services — 1.9%
Verizon Communications, Inc. (1)		102,198		4,702,130
Utilities — 6.2%
Electric Utilities — 3.9%
American Electric Power Co., Inc. (1)		93,046		5,051,467
Edison International		21,099		1,233,870
Entergy Corp. (1)		35,369		2,310,657
Exelon Corp.		39,548		1,216,496
				9,812,490
Gas Utilities — 0.2%
UGI Corp.		14,416		491,297
Independent Power Producers & Energy Traders — 0.7%
AES Corp. (1)		157,902		1,894,824
Multi-Utilities — 1.4%
PG&E Corp. (1)		48,989		2,428,875
Public Service Enterprise Group, Inc.		27,160		1,093,190
				3,522,065
Total Utilities				15,720,676
Total Common Stocks (identified cost $220,303,671)				246,896,669

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

41

August 31, 2015

Schedules of Investments

Large-Cap Value Fund (continued)

Description	Shares		Value
Short-Term Investments — 50.9%
Collateral Pool Investments for Securities on Loan — 48.5%
Collateral pool allocation (3)			$	121,841,818
Mutual Funds — 2.4%
BMO Prime Money Market Fund, Class I, 0.050% (4)		5,959,946		5,959,946
Total Short-Term Investments (identified cost $127,801,764)				127,801,764
Total Investments — 149.1% (identified cost $348,105,435)				374,698,433
Other Assets and Liabilities — (49.1)%				(123,390,971	)
Total Net Assets — 100.0%			$	251,307,462

Large-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.9%
Consumer Discretionary — 18.2%
Automotive Retail — 0.5%
O’Reilly Automotive, Inc. (1)(2)		4,874	$	1,170,101
Cable & Satellite — 5.4%
AMC Networks, Inc., Class A (1)(2)		36,175		2,618,346
Comcast Corp., Class A (1)		104,439		5,883,049
Sirius XM Holdings, Inc. (1)(2)		1,114,790		4,252,924
				12,754,319
Footwear — 1.9%
NIKE, Inc., Class B		39,963		4,465,865
General Merchandise Stores — 1.0%
Dollar Tree, Inc. (2)		23,437		1,787,306
Target Corp.		7,829		608,391
				2,395,697
Home Improvement Retail — 1.5%
Home Depot, Inc.		30,393		3,539,569
Homebuilding — 0.9%
Toll Brothers, Inc. (2)		58,631		2,167,588
Internet Retail — 2.5%
Expedia, Inc. (1)		41,628		4,786,804
Priceline Group, Inc. (1)(2)		906		1,131,268
				5,918,072
Leisure Products — 1.5%
Hasbro, Inc. (1)		46,902		3,498,420
Movies & Entertainment — 1.9%
Walt Disney Co. (1)		42,418		4,321,546
Restaurants — 1.1%
Starbucks Corp. (1)		44,925		2,457,847
Total Consumer Discretionary				42,689,024
Consumer Staples — 8.8%
Agricultural Products — 1.3%
Archer-Daniels-Midland Co.		67,589		3,040,829
Drug Retail — 3.2%
CVS Health Corp. (1)		44,492		4,555,981
Walgreens Boots Alliance, Inc.		33,452		2,895,270
				7,451,251

Description	Shares		Value
Common Stocks (continued)
Consumer Staples (continued)
Household Products — 0.5%
Church & Dwight Co., Inc. (1)		14,270	$	1,231,216
Hypermarkets & Super Centers — 1.7%
Costco Wholesale Corp. (1)		28,241		3,955,152
Soft Drinks — 2.1%
PepsiCo, Inc.		54,121		5,029,465
Total Consumer Staples				20,707,913
Energy — 0.8%
Oil & Gas-Refining & Marketing — 0.8%
Tesoro Corp.		20,662		1,901,111
Financials — 8.3%
Asset Management & Custody Banks — 1.6%
Affiliated Managers Group, Inc. (1)(2)		20,471		3,816,613
Life & Health Insurance — 1.6%
Prudential Financial, Inc.		45,395		3,663,376
Regional Banks — 1.8%
Signature Bank (2)		31,502		4,205,202
Reinsurance — 1.8%
Reinsurance Group of America, Inc.		47,477		4,314,710
Residential REIT’s — 1.0%
Equity Lifestyle Properties, Inc.		42,309		2,359,150
Retail REIT’s — 0.5%
Realty Income Corp.		25,672		1,147,282
Total Financials				19,506,333
Healthcare — 17.5%
Biotechnology — 8.0%
Amgen, Inc. (1)		42,412		6,437,294
Celgene Corp. (1)(2)		43,578		5,145,690
Gilead Sciences, Inc.		69,532		7,305,727
				18,888,711
Healthcare Distributors — 0.5%
AmerisourceBergen Corp.		11,816		1,182,073
Healthcare Equipment — 3.1%
Hologic, Inc. (1)(2)		87,916		3,412,020
Medtronic PLC (1)		53,443		3,863,394
				7,275,414
Life Sciences Tools & Services — 1.0%
Waters Corp. (1)(2)		19,635		2,383,296
Managed Healthcare — 2.8%
Centene Corp. (1)(2)		64,175		3,960,881
UnitedHealth Group, Inc. (1)		22,300		2,580,110
				6,540,991
Pharmaceuticals — 2.1%
Allergan PLC (1)(2)		8,239		2,502,514
Johnson & Johnson		25,564		2,402,505
				4,905,019
Total Healthcare				41,175,504
Industrials — 11.3%
Aerospace & Defense — 3.6%
General Dynamics Corp. (1)		28,022		3,979,964
TransDigm Group, Inc. (1)(2)		19,684		4,523,974
				8,503,938
Building Products — 1.5%
AO Smith Corp. (1)		53,475		3,449,672

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

42

BMO Funds

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Diversified Support Services — 1.8%
Cintas Corp. (1)		49,194	$	4,180,998
Electrical Components & Equipment — 3.8%
Acuity Brands, Inc. (1)		24,696		4,812,510
Roper Industries, Inc. (1)		25,856		4,190,999
				9,003,509
Industrial Conglomerates — 0.6%
Danaher Corp. (1)		17,213		1,497,875
Total Industrials				26,635,992
Information Technology — 31.1%
Application Software — 2.7%
Factset Research Systems, Inc.		24,492		3,867,777
Synopsys, Inc. (1)(2)		52,896		2,482,409
				6,350,186
Communications Equipment — 3.1%
Cisco Systems, Inc. (1)		143,287		3,708,268
F5 Networks, Inc. (1)(2)		17,421		2,115,084
Palo Alto Networks, Inc. (1)(2)		8,774		1,440,866
				7,264,218
Consulting & Other Services — 2.2%
Cognizant Technology Solutions Corp., Class A (2)		82,057		5,164,668
Data Processing & Outsourced Services — 4.0%
MasterCard, Inc., Class A (1)		47,058		4,346,747
Total System Services, Inc. (1)		25,496		1,168,482
Visa, Inc., Class A (1)		55,523		3,958,790
				9,474,019
Internet Software & Services — 6.3%
eBay, Inc. (2)		22,996		623,422
Google, Inc., Class A (2)		6,286		4,072,196
Google, Inc., Class C (1)(2)		8,578		5,303,348
VeriSign, Inc. (1)(2)		69,205		4,770,993
				14,769,959
Semiconductors — 1.9%
Microchip Technology, Inc. (1)		37,777		1,605,522
Skyworks Solutions, Inc. (1)		32,125		2,806,119
				4,411,641
Systems Software — 5.4%
Microsoft Corp.		140,096		6,096,978
Oracle Corp. (1)		153,643		5,698,619
Red Hat, Inc. (2)		12,368		893,093
				12,688,690
Technology Hardware, Storage & Peripherals — 5.5%
Apple, Inc.		113,769		12,828,592
Total Information Technology				72,951,973
Materials — 1.2%
Commodity Chemicals — 1.2%
LyondellBasell Industries NV, Class A		31,749		2,710,729
Telecommunication Services — 1.7%
Integrated Telecommunication Services — 1.7%
Verizon Communications, Inc. (1)		86,111		3,961,967
Total Common Stocks (identified cost $190,312,314)				232,240,546

Description	Shares		Value
Short-Term Investments — 50.6%
Collateral Pool Investments for Securities on Loan — 48.7%
Collateral pool allocation (3)			$	114,426,851
Mutual Funds — 1.9%
BMO Prime Money Market Fund, Class I, 0.050% (4)		4,499,155		4,499,155
Total Short-Term Investments (identified cost $118,926,006)				118,926,006
Total Investments — 149.5% (identified cost $309,238,320)				351,166,552
Other Assets and Liabilities — (49.5)%				(116,253,267	)
Total Net Assets — 100.0%			$	234,913,285

Mid-Cap Value Fund

Description	Shares		Value
Common Stocks — 96.4%
Consumer Discretionary — 8.2%
Advertising — 1.7%
The Interpublic Group of Cos., Inc.		251,900	$	4,755,872
Auto Parts & Equipment — 2.1%
Visteon Corp. (1)(2)		60,000		5,979,600
Automotive Retail — 1.1%
Advance Auto Parts, Inc. (1)		17,750		3,110,687
Catalog Retail — 1.5%
Liberty Interactive Corp QVC Group (1)(2)		165,247		4,468,279
Department Stores — 0.8%
Kohl’s Corp.		48,142		2,456,686
Homebuilding — 1.0%
TRI Pointe Group, Inc. (1)(2)		201,710		2,799,735
Total Consumer Discretionary				23,570,859
Consumer Staples — 1.6%
Agricultural Products — 0.8%
Darling Ingredients, Inc. (1)(2)		178,450		2,291,298
Household Products — 0.3%
Energizer Holdings, Inc.		16,700		697,392
Personal Products — 0.5%
Edgewell Personal Care Co. (1)		16,700		1,470,602
Total Consumer Staples				4,459,292
Energy — 6.2%
Oil & Gas-Equipment & Services — 1.5%
Weatherford International PLC (1)(2)		425,350		4,317,303
Oil & Gas-Exploration & Production — 4.7%
Cimarex Energy Co. (1)		26,600		2,939,566
EQT Corp.		40,270		3,133,811
Newfield Exploration Co. (1)(2)		75,500		2,514,905
Noble Energy, Inc. (1)		141,900		4,740,879
				13,329,161
Total Energy				17,646,464
Financials — 31.6%
Asset Management & Custody Banks — 3.7%
Ameriprise Financial, Inc. (1)		43,000		4,844,810
Invesco, Ltd.		164,000		5,594,040
				10,438,850

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

43

August 31, 2015

Schedules of Investments

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Consumer Finance — 4.3%
Ally Financial, Inc. (1)(2)		245,600	$	5,368,816
Discover Financial Services		128,040		6,879,589
				12,248,405
Diversified REIT’s — 1.9%
Duke Realty Corp. (1)		301,300		5,441,478
Life & Health Insurance — 1.9%
Lincoln National Corp. (1)		107,100		5,439,609
Property & Casualty Insurance — 2.0%
Axis Capital Holdings, Ltd. (1)		103,100		5,773,600
Real Estate Operating Companies — 1.9%
Forest City Enterprises, Inc., Class A (1)(2)		254,250		5,474,003
Regional Banks — 7.4%
East West Bancorp, Inc. (1)		144,800		5,851,368
Fifth Third Bancorp		258,700		5,153,304
Huntington Bancshares, Inc. (1)		481,850		5,256,983
Regions Financial Corp.		524,900		5,033,791
				21,295,446
Reinsurance — 3.6%
Reinsurance Group of America, Inc.		66,300		6,025,344
Validus Holdings, Ltd. (1)		98,910		4,379,735
				10,405,079
Residential REIT’s — 3.0%
Mid-America Apartment Communities, Inc.		44,500		3,497,255
UDR, Inc. (1)		156,500		5,054,950
				8,552,205
Retail REIT’s — 1.9%
Brixmor Property Group, Inc. (1)		243,605		5,559,066
Total Financials				90,627,741
Healthcare — 7.1%
Healthcare Distributors — 2.3%
Cardinal Health, Inc. (1)		81,000		6,663,870
Healthcare Services — 1.7%
Laboratory Corporation of America Holdings (1)(2)		41,000		4,830,210
Managed Healthcare — 1.4%
Cigna Corp.		28,750		4,047,713
Pharmaceuticals — 1.7%
Mallinckrodt PLC (1)(2)		54,550		4,704,392
Total Healthcare				20,246,185
Industrials — 12.2%
Aerospace & Defense — 2.8%
L-3 Communications Holdings, Inc. (1)		35,300		3,723,091
Spirit Aerosystems Holdings, Inc., Class A (1)(2)		85,490		4,369,394
				8,092,485
Agricultural & Farm Machinery — 1.5%
AGCO Corp. (1)		84,900		4,163,496
Construction & Engineering — 2.5%
Fluor Corp.		73,100		3,334,822
Jacobs Engineering Group, Inc. (1)(2)		95,000		3,838,950
				7,173,772

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Electrical Components & Equipment — 1.6%
Regal Beloit Corp. (1)		68,700	$	4,580,229
Industrial Machinery — 2.4%
Dover Corp.		47,200		2,924,040
Parker-Hannifin Corp.		37,300		4,015,718
				6,939,758
Trading Companies & Distributors — 1.4%
WESCO International, Inc. (1)(2)		72,700		4,069,019
Total Industrials				35,018,759
Information Technology — 15.2%
Communications Equipment — 1.9%
CommScope Holding Co., Inc. (1)(2)		167,185		5,408,435
Consulting & Other Services — 1.1%
Teradata Corp. (1)(2)		105,860		3,094,288
Data Processing & Outsourced Services — 1.1%
Western Union Co. (1)		173,700		3,203,028
Semiconductors — 2.2%
Broadcom Corp., Class A		120,900		6,246,903
Systems Software — 2.9%
Check Point Software Technologies, Ltd. (1)(2)		56,501		4,407,643
Symantec Corp.		197,350		4,043,701
				8,451,344
Technology Distributors — 1.1%
Avnet, Inc.		77,900		3,302,960
Technology Hardware, Storage & Peripherals — 4.9%
NetApp, Inc. (1)		156,000		4,985,760
Seagate Technology PLC (1)		68,950		3,544,030
Western Digital Corp. (1)		66,400		5,442,144
				13,971,934
Total Information Technology				43,678,892
Materials — 8.9%
Metal & Glass Containers — 2.0%
Berry Plastics Group, Inc. (2)		193,350		5,723,160
Paper Products — 1.2%
International Paper Co. (1)		78,500		3,386,490
Specialty Chemicals — 4.1%
Ashland, Inc. (1)		51,510		5,407,005
WR Grace & Co. (1)(2)		63,274		6,260,329
				11,667,334
Steel — 1.6%
Reliance Steel & Aluminum Co. (1)		82,100		4,771,652
Total Materials				25,548,636
Telecommunication Services — 0.8%
Integrated Telecommunication Services — 0.8%
CenturyLink, Inc.		87,246		2,359,132
Utilities — 4.6%
Electric Utilities — 3.0%
Edison International (1)		77,400		4,526,352
Great Plains Energy, Inc.		156,300		3,894,996
				8,421,348
Multi-Utilities — 1.6%
CMS Energy Corp. (1)		142,210		4,661,644
Total Utilities				13,082,992
Total Common Stocks (identified cost $217,231,976)				276,238,952

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

44

BMO Funds

Mid-Cap Value Fund (continued)

Description	Shares		Value
Short-Term Investments — 52.3%
Collateral Pool Investments for Securities on Loan — 48.4%
Collateral pool allocation (3)			$	138,875,793
Mutual Funds — 3.9%
BMO Prime Money Market Fund, Class I, 0.050% (4)		11,221,418		11,221,418
Total Short-Term Investments (identified cost $150,097,211)				150,097,211
Total Investments — 148.7% (identified cost $367,329,187)				426,336,163
Other Assets and Liabilities — (48.7)%				(139,717,914	)
Total Net Assets — 100.0%			$	286,618,249

Mid-Cap Growth Fund

Description	Shares		Value
Common Stocks — 97.8%
Consumer Discretionary — 23.2%
Apparel, Accessories & Luxury Goods — 2.0%
Gildan Activewear, Inc. (1)		43,100	$	1,352,478
VF Corp.		40,000		2,897,200
				4,249,678
Auto Parts & Equipment — 2.0%
BorgWarner, Inc.		36,300		1,584,132
Visteon Corp. (2)		25,900		2,581,194
				4,165,326
Automotive Retail — 2.6%
Advance Auto Parts, Inc. (1)		17,000		2,979,250
O’Reilly Automotive, Inc. (1)(2)		10,370		2,489,526
				5,468,776
Casinos & Gaming — 0.9%
MGM Resorts International (1)(2)		89,700		1,832,571
Department Stores — 0.8%
Macy’s, Inc. (1)		27,500		1,611,775
General Merchandise Stores — 2.5%
Burlington Stores, Inc. (2)		38,700		2,054,583
Dollar Tree, Inc. (2)		41,100		3,134,286
				5,188,869
Homebuilding — 1.6%
TRI Pointe Group, Inc. (1)(2)		231,498		3,213,192
Homefurnishing Retail — 1.1%
Restoration Hardware Holdings, Inc. (1)(2)		23,773		2,198,527
Hotels, Resorts & Cruise Lines — 4.7%
Hilton Worldwide Holdings, Inc.		79,300		1,969,019
Marriott International, Inc., Class A (1)		37,300		2,635,618
Norwegian Cruise Line Holdings, Ltd. (1)(2)		47,000		2,707,200
Wyndham Worldwide Corp.		33,000		2,523,840
				9,835,677
Household Appliances — 0.9%
Whirlpool Corp.		10,700		1,798,670
Leisure Facilities — 0.9%
Vail Resorts, Inc. (1)		18,000		1,942,380

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Leisure Products — 1.2%
Brunswick Corp.		50,700	$	2,520,297
Restaurants — 2.0%
Dunkin’ Brands Group, Inc. (1)		38,029		1,907,535
Restaurant Brands International, Inc.		60,100		2,304,234
				4,211,769
Total Consumer Discretionary				48,237,507
Consumer Staples — 0.9%
Packaged Foods & Meats — 0.9%
Hain Celestial Group, Inc. (1)(2)		29,400		1,789,284
Energy — 4.5%
Integrated Oil & Gas — 1.0%
InterOil Corp. (1)(2)		59,000		2,115,740
Oil & Gas-Storage & Transportation — 3.5%
GasLog, Ltd. (1)		246,650		3,425,968
Golar LNG, Ltd. (1)		94,700		3,687,618
				7,113,586
Total Energy				9,229,326
Financials — 9.1%
Asset Management & Custody Banks — 1.1%
Ameriprise Financial, Inc. (1)		21,000		2,366,070
Health Care REIT’s — 0.7%
New Senior Investment Group, Inc. (1)		136,732		1,557,377
Multi-Line Insurance — 1.3%
Hartford Financial Services Group, Inc.		57,300		2,632,935
Property & Casualty Insurance — 0.9%
First American Financial Corp.		48,000		1,865,280
Real Estate Services — 2.2%
CBRE Group, Inc., Class A (2)		73,500		2,353,470
Jones Lang LaSalle, Inc. (1)		14,200		2,113,954
				4,467,424
Specialized Finance — 1.2%
Intercontinental Exchange, Inc. (1)		11,300		2,581,033
Specialized REIT’s — 0.8%
Pebblebrook Hotel Trust (1)		44,200		1,682,252
Thrifts & Mortgage Finance — 0.9%
MGIC Investment Corp. (1)(2)		168,500		1,779,360
Total Financials				18,931,731
Healthcare — 21.4%
Biotechnology — 3.2%
Alkermes PLC (1)(2)		26,514		1,579,174
Quintiles Transnational Holdings, Inc. (2)		38,500		2,868,635
Vertex Pharmaceuticals, Inc. (2)		17,900		2,282,608
				6,730,417
Healthcare Distributors — 2.3%
AmerisourceBergen Corp.		23,800		2,380,952
Cardinal Health, Inc. (1)		30,400		2,501,008
				4,881,960
Healthcare Equipment — 3.7%
Hill-Rom Holdings, Inc. (1)		34,800		1,838,832
NxStage Medical, Inc. (1)(2)		174,500		3,031,065
St. Jude Medical, Inc. (1)		19,100		1,352,471
STERIS Corp. (1)		22,900		1,466,745
				7,689,113

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

45

August 31, 2015

Schedules of Investments

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Facilities — 3.1%
Acadia Healthcare Co., Inc. (1)(2)		39,272	$	2,868,034
Brookdale Senior Living, Inc. (1)(2)		55,900		1,532,778
Tenet Healthcare Corp. (1)(2)		41,300		2,033,199
				6,434,011
Healthcare Services — 3.7%
Envision Healthcare Holdings, Inc. (1)(2)		67,673		2,772,563
Laboratory Corporation of America Holdings (1)(2)		17,300		2,038,113
MEDNAX, Inc. (1)(2)		34,500		2,778,975
				7,589,651
Healthcare Technology — 1.3%
Cerner Corp. (1)(2)		43,900		2,711,264
Managed Healthcare — 1.0%
Centene Corp. (1)(2)		33,300		2,055,276
Pharmaceuticals — 3.1%
Akorn, Inc. (1)(2)		23,520		935,861
Horizon Pharma PLC (2)		98,100		2,866,482
Jazz Pharmaceuticals PLC (1)(2)		15,580		2,630,215
				6,432,558
Total Healthcare				44,524,250
Industrials — 10.0%
Building Products — 2.0%
Builders FirstSource, Inc. (1)(2)		125,741		1,862,224
Fortune Brands Home & Security, Inc.		46,200		2,210,670
				4,072,894
Construction Machinery & Heavy Trucks — 1.3%
Wabtec Corp. (1)		27,300		2,614,248
Electrical Components & Equipment — 2.3%
AMETEK, Inc. (1)		44,025		2,369,426
Roper Industries, Inc. (1)		15,500		2,512,395
				4,881,821
Human Resource & Employment Services — 1.3%
Robert Half International, Inc.		54,400		2,776,032
Research & Consulting Services — 2.3%
Acacia Research Corp. (1)		210,400		2,003,008
Verisk Analytics, Inc., Class A (1)(2)		38,426		2,808,172
				4,811,180
Trucking — 0.8%
J.B. Hunt Transport Services, Inc. (1)		23,300		1,695,774
Total Industrials				20,851,949
Information Technology — 26.2%
Application Software — 4.2%
Cadence Design Systems, Inc. (1)(2)		106,400		2,130,128
PTC, Inc. (1)(2)		65,000		2,152,800
Qlik Technologies, Inc. (2)		73,800		2,794,068
Verint Systems, Inc. (2)		31,900		1,701,227
				8,778,223
Communications Equipment — 2.1%
F5 Networks, Inc. (1)(2)		21,800		2,646,738
Palo Alto Networks, Inc. (1)(2)		10,760		1,767,007
				4,413,745

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Data Processing & Outsourced Services — 9.5%
Alliance Data Systems Corp. (1)(2)		10,100	$	2,597,619
Cardtronics, Inc. (1)(2)		108,618		3,747,321
FleetCor Technologies, Inc. (1)(2)		17,000		2,535,720
Sabre Corp. (1)		77,600		2,112,272
Total System Services, Inc.		56,600		2,593,978
Vantiv, Inc., Class A (2)		60,300		2,655,612
VeriFone Systems, Inc. (2)		73,300		2,289,892
WEX, Inc. (1)(2)		11,500		1,087,095
				19,619,509
Electronic Components — 1.2%
Amphenol Corp., Class A		48,800		2,555,168
Internet Software & Services — 3.3%
Criteo SA, ADR (1)(2)		100,867		3,954,995
Shutterstock, Inc. (1)(2)		88,800		2,975,688
				6,930,683
Semiconductors — 0.9%
NXP Semiconductors (1)(2)		21,000		1,777,650
Systems Software — 5.0%
Check Point Software Technologies, Ltd. (1)(2)		33,300		2,597,733
FleetMatics Group PLC (1)(2)		39,500		1,768,020
Fortinet, Inc. (1)(2)		45,810		1,930,434
Red Hat, Inc. (2)		43,014		3,106,041
Rovi Corp. (1)(2)		90,200		998,514
				10,400,742
Total Information Technology				54,475,720
Telecommunication Services — 2.5%
Wireless Telecommunication Services — 2.5%
Crown Castle International Corp. (1)		26,100		2,176,479
SBA Communications Corp., Class A (2)		25,400		3,002,280
Total Telecommunication Services				5,178,759
Total Common Stocks (identified cost $153,857,135)				203,218,526
Short-Term Investments — 49.9%
Collateral Pool Investments for Securities on Loan — 47.7%
Collateral pool allocation (3)				99,120,731
Mutual Funds — 2.2%
BMO Prime Money Market Fund, Class I, 0.050% (4)		4,639,539		4,639,539
Total Short-Term Investments (identified cost $103,760,270)				103,760,270
Total Investments — 147.7% (identified cost $257,617,405)				306,978,796
Other Assets and Liabilities — (47.7)%				(99,113,097	)
Total Net Assets — 100.0%			$	207,865,699

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

46

BMO Funds

Small-Cap Value Fund

Description	Shares		Value
Common Stocks — 96.1%
Consumer Discretionary — 10.4%
Apparel Retail — 1.6%
Crocs, Inc. (1)(2)		33,260	$	489,920
Finish Line, Inc., Class A		38,000		1,002,060
				1,491,980
Auto Parts & Equipment — 1.2%
American Axle & Manufacturing Holdings, Inc. (2)		56,400		1,139,280
Homebuilding — 3.0%
Century Communities, Inc. (1)(2)		85,490		1,880,780
TRI Pointe Group, Inc. (1)(2)		62,970		874,023
				2,754,803
Leisure Facilities — 1.6%
ClubCorp Holdings, Inc. (1)		66,360		1,493,764
Leisure Products — 1.0%
Brunswick Corp.		17,730		881,358
Publishing — 1.0%
Time, Inc.		42,700		886,879
Specialized Consumer Services — 1.0%
Steiner Leisure, Ltd. (2)		14,181		902,904
Total Consumer Discretionary				9,550,968
Consumer Staples — 2.2%
Agricultural Products — 1.1%
Darling Ingredients, Inc. (1)(2)		82,170		1,055,063
Food Retail — 1.1%
SUPERVALU, Inc. (2)		118,300		974,792
Total Consumer Staples				2,029,855
Energy — 3.5%
Oil & Gas-Equipment & Services — 1.1%
Oil States International, Inc. (1)(2)		36,150		1,025,575
Oil & Gas-Exploration & Production — 2.4%
Carrizo Oil & Gas, Inc. (2)		31,100		1,132,973
QEP Resources, Inc.		72,920		1,023,797
				2,156,770
Total Energy				3,182,345
Financials — 27.0%
Consumer Finance — 1.1%
Nelnet, Inc., Class A		26,600		1,001,490
Diversified Capital Markets — 2.7%
Encore Capital Group, Inc. (1)(2)		35,300		1,434,239
HFF, Inc., Class A (1)		28,150		1,022,690
				2,456,929
Life & Health Insurance — 1.3%
American Equity Investment Life Holding Co. (1)		48,990		1,188,497
Office REIT’s — 1.2%
Corporate Office Properties Trust (1)		50,500		1,062,015
Regional Banks — 13.2%
Ameris Bancorp (1)		68,170		1,858,996
BBCN Bancorp, Inc. (1)		75,400		1,097,070
Customers Bancorp, Inc. (1)(2)		51,050		1,251,236
First Merchants Corp.		62,400		1,623,648
First NBC Bank Holding Co. (1)(2)		29,200		1,022,000
FirstMerit Corp.		64,900		1,165,604
Great Western Bancorp, Inc.		64,950		1,634,791

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks (continued)
TriCo Bancshares		55,720	$	1,322,793
Western Alliance Bancorp (1)(2)		39,750		1,213,170
				12,189,308
Reinsurance — 3.5%
Enstar Group, Ltd. (1)(2)		6,600		964,326
Maiden Holdings, Ltd. (1)		90,250		1,293,283
State National Cos., Inc.		100,000		950,000
				3,207,609
Retail REIT’s — 1.2%
Cedar Realty Trust, Inc. (1)		183,200		1,146,832
Specialized Finance — 0.5%
GAIN Capital Holdings, Inc. (1)		59,959		495,261
Specialized REIT’s — 1.0%
LaSalle Hotel Properties (1)		29,400		924,924
Thrifts & Mortgage Finance — 1.3%
EverBank Financial Corp. (1)		60,580		1,198,272
Total Financials				24,871,137
Healthcare — 6.0%
Healthcare Facilities — 1.4%
HealthSouth Corp. (1)		29,700		1,268,190
Healthcare Services — 1.7%
Civitas Solutions, Inc. (1)(2)		66,070		1,602,858
Life Sciences Tools & Services — 1.2%
Bio-Rad Laboratories, Inc., Class A (1)(2)		8,000		1,114,640
Pharmaceuticals — 1.7%
Impax Laboratories, Inc. (1)(2)		15,780		646,349
Prestige Brands Holdings, Inc. (1)(2)		20,000		930,400
				1,576,749
Total Healthcare				5,562,437
Industrials — 16.6%
Aerospace & Defense — 2.2%
Moog, Inc., Class A (1)(2)		10,700		675,170
Triumph Group, Inc.		27,850		1,375,511
				2,050,681
Building Products — 1.0%
Continental Building Products, Inc. (2)		47,531		950,145
Construction & Engineering — 1.6%
EMCOR Group, Inc. (1)		31,200		1,438,008
Electrical Components & Equipment — 1.4%
Regal Beloit Corp. (1)		20,100		1,340,067
Environmental & Facilities Services — 1.3%
Tetra Tech, Inc. (1)		44,650		1,160,007
Industrial Machinery — 3.6%
Actuant Corp., Class A (1)		63,940		1,370,874
Altra Industrial Motion Corp. (1)		51,500		1,288,015
Blount International, Inc. (2)		92,500		637,325
				3,296,214
Research & Consulting Services — 1.5%
RPX Corp. (1)(2)		100,250		1,380,442
Trading Companies & Distributors — 4.0%
Applied Industrial Technologies, Inc. (1)		29,370		1,243,526
MRC Global, Inc. (1)(2)		78,900		1,024,911

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

47

August 31, 2015

Schedules of Investments

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Trading Companies & Distributors (continued)
WESCO International, Inc. (1)(2)		24,850	$	1,390,854
				3,659,291
Total Industrials				15,274,855
Information Technology — 15.5%
Communications Equipment — 4.3%
CommScope Holding Co., Inc. (1)(2)		40,280		1,303,058
Finisar Corp. (1)(2)		72,950		1,125,619
NETGEAR, Inc. (1)(2)		52,000		1,579,760
				4,008,437
Data Processing & Outsourced Services — 2.8%
Convergys Corp. (1)		60,780		1,373,628
MoneyGram International, Inc. (1)(2)		136,400		1,192,136
				2,565,764
Electronic Components — 1.4%
Vishay Intertechnology, Inc.		135,100		1,334,788
Home Entertainment Software — 1.6%
Take-Two Interactive Software, Inc. (1)(2)		50,600		1,473,978
Systems Software — 1.1%
AVG Technologies NV (2)		42,980		994,127
Technology Distributors — 1.8%
Ingram Micro, Inc.		59,800		1,618,188
Technology Hardware, Storage & Peripherals — 2.5%
Datalink Corp. (1)(2)		180,920		1,049,336
Synaptics, Inc. (1)(2)		17,900		1,254,611
				2,303,947
Total Information Technology				14,299,229
Materials — 8.6%
Metal & Glass Containers — 1.7%
Berry Plastics Group, Inc. (1)(2)		52,700		1,559,920
Paper Packaging — 1.6%
Graphic Packaging Holding Co.		105,500		1,487,550
Paper Products — 1.6%
KapStone Paper and Packaging Corp. (1)		65,870		1,435,307
Specialty Chemicals — 2.3%
A Schulman, Inc. (1)		38,630		1,326,168
Innophos Holdings, Inc. (1)		15,750		757,103
				2,083,271
Steel — 1.4%
Worthington Industries, Inc. (1)		52,400		1,340,916
Total Materials				7,906,964
Telecommunication Services — 1.6%
Alternative Carriers — 1.4%
Premiere Global Services, Inc. (2)		118,600		1,278,508
Integrated Telecommunication Services — 0.2%
IDT Corp., Class B		15,490		241,954
Total Telecommunication Services				1,520,462
Utilities — 4.7%
Electric Utilities — 4.7%
Great Plains Energy, Inc.		41,100		1,024,212

Description	Shares		Value
Common Stocks (continued)
Utilities (continued)
Electric Utilities (continued)
PNM Resources, Inc. (1)		50,900	$	1,303,549
Portland General Electric Co. (1)		32,400		1,119,096
UIL Holdings Corp. (1)		19,100		869,623
Total Utilities				4,316,480
Total Common Stocks (identified cost $84,493,466)				88,514,732
Short-Term Investments — 51.0%
Collateral Pool Investments for Securities on Loan — 45.0%
Collateral pool allocation (3)				41,462,036
Mutual Funds — 6.0%
BMO Prime Money Market Fund, Class I, 0.050% (4)		5,566,813		5,566,813
Total Short-Term Investments (identified cost $47,028,849)				47,028,849
Total Investments — 147.1% (identified cost $131,522,315)				135,543,581
Other Assets and Liabilities — (47.1)%				(43,377,906	)
Total Net Assets — 100.0%			$	92,165,675

Small-Cap Core Fund

Description	Shares		Value
Common Stocks — 99.0%
Consumer Discretionary — 14.2%
Apparel Retail — 3.2%
Cato Corp., Class A		885	$	31,090
Children’s Place, Inc. (1)		614		36,791
Express, Inc. (2)		2,456		50,103
Tilly’s, Inc. (2)		2,137		17,117
				135,101
Auto Parts & Equipment — 2.9%
American Axle & Manufacturing Holdings, Inc. (2)		1,875		37,875
Cooper-Standard Holding, Inc. (2)		202		11,599
Dana Holding Corp.		1,762		30,905
Tenneco, Inc. (2)		463		21,784
Tower International, Inc. (2)		866		21,174
				123,337
Casinos & Gaming — 0.6%
Boyd Gaming Corp. (2)		1,500		24,150
Education Services — 0.7%
K12, Inc. (1)(2)		2,461		32,534
Home Furnishings — 0.4%
Hooker Furniture Corp. (1)		824		19,661
Homefurnishing Retail — 0.8%
Select Comfort Corp. (2)		1,370		33,359
Hotels, Resorts & Cruise Lines — 1.1%
Marcus Corp.		531		10,307
Marriott Vacations Worldwide Corp.		507		36,002
				46,309
Housewares & Specialties — 0.2%
CSS Industries, Inc.		298		7,891
Leisure Facilities — 1.1%
Vail Resorts, Inc. (1)		420		45,322

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

48

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Leisure Products — 0.6%
Nautilus, Inc. (2)		1,704	$	26,037
Restaurants — 1.1%
Bravo Brio Restaurant Group, Inc. (2)		2,049		26,125
Red Robin Gourmet Burgers, Inc. (1)(2)		284		22,376
				48,501
Specialty Stores — 0.4%
Outerwall, Inc.		265		16,324
Tires & Rubber — 1.1%
Cooper Tire & Rubber Co.		1,243		47,980
Total Consumer Discretionary				606,506
Consumer Staples — 1.8%
Food Retail — 0.7%
Ingles Markets, Inc., Class A (1)		592		29,422
Packaged Foods & Meats — 0.9%
Sanderson Farms, Inc. (1)		539		37,213
Personal Products — 0.2%
Nutraceutical International Corp. (2)		465		11,272
Total Consumer Staples				77,907
Energy — 2.3%
Oil & Gas-Drilling — 0.3%
Patterson-UTI Energy, Inc.		917		14,929
Oil & Gas-Equipment & Services — 1.0%
Forum Energy Technologies, Inc. (2)		719		11,302
Hornbeck Offshore Services, Inc. (1)(2)		805		15,899
Superior Energy Services, Inc. (1)		846		13,460
				40,661
Oil & Gas-Exploration & Production — 0.5%
Abraxas Petroleum Corp. (2)		3,625		7,069
Bill Barrett Corp. (1)(2)		1,822		9,966
Bonanza Creek Energy, Inc. (2)		636		4,865
				21,900
Oil & Gas-Refining & Marketing — 0.5%
Adams Resources & Energy, Inc.		151		6,887
Delek U.S. Holdings, Inc.		419		12,889
				19,776
Total Energy				97,266
Financials — 22.1%
Consumer Finance — 2.0%
Cash America International, Inc.		963		26,579
Credit Acceptance Corp. (2)		151		30,775
Regional Management Corp. (2)		1,233		20,344
World Acceptance Corp. (1)(2)		244		9,170
				86,868
Diversified REIT’s — 1.4%
American Assets Trust, Inc.		920		35,438
Winthrop Realty Trust		1,771		25,361
				60,799
Hotel & Resort REIT’s — 0.9%
Ashford Hospitality Trust, Inc.		2,085		16,138
Hersha Hospitality Trust		823		20,114
				36,252

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Investment Banking & Brokerage — 0.5%
Investment Technology Group, Inc.		1,399	$	22,971
Life & Health Insurance — 1.6%
CNO Financial Group, Inc.		801		14,330
Symetra Financial Corp.		1,664		52,366
				66,696
Multi-Line Insurance — 0.9%
Horace Mann Educators Corp. (1)		1,099		36,509
Office REIT’s — 0.8%
DuPont Fabros Technology, Inc.		1,283		34,295
Property & Casualty Insurance — 2.7%
Argo Group International Holdings, Ltd.		451		25,247
Employers Holdings, Inc.		1,698		37,441
HCI Group, Inc. (1)		869		34,543
Navigators Group, Inc. (2)		225		17,111
				114,342
Regional Banks — 6.6%
1st Source Corp.		477		14,281
BancFirst Corp.		262		15,843
BBCN Bancorp, Inc.		2,478		36,055
Central Pacific Financial Corp.		1,082		22,441
Fidelity Southern Corp.		1,060		20,453
Financial Institutions, Inc.		826		20,460
First Financial Corp.		374		12,301
Great Southern Bancorp, Inc.		317		12,765
Hanmi Financial Corp.		829		20,095
Preferred Bank		603		18,482
PrivateBancorp, Inc. (1)		1,133		42,884
Wilshire Bancorp, Inc. (1)		2,098		22,407
Wintrust Financial Corp. (1)		418		21,318
				279,785
Reinsurance — 0.7%
Maiden Holdings, Ltd. (1)		2,143		30,709
Retail REIT’s — 0.3%
Saul Centers, Inc. (1)		295		14,555
Specialized Finance — 0.2%
Marlin Business Services Corp.		444		6,092
Specialized REIT’s — 2.3%
Chesapeake Lodging Trust		1,122		32,437
CubeSmart		669		16,919
EPR Properties		263		13,384
Sovran Self Storage, Inc.		405		36,341
				99,081
Thrifts & Mortgage Finance — 1.2%
Provident Financial Holdings, Inc.		681		11,161
Walker & Dunlop, Inc. (1)(2)		1,706		41,507
				52,668
Total Financials				941,622
Healthcare — 20.0%
Biotechnology — 4.0%
Acorda Therapeutics, Inc. (2)		763		24,393
Adamas Pharmaceuticals, Inc. (2)		1,014		20,341
AMAG Pharmaceuticals, Inc. (1)(2)		180		11,257
Anacor Pharmaceuticals, Inc. (2)		76		9,911
Emergent BioSolutions, Inc. (2)		996		33,157
Enanta Pharmaceuticals, Inc. (1)(2)		227		8,862
Ligand Pharmaceuticals, Inc., Class B (1)(2)		291		26,754
NewLink Genetics Corp. (1)(2)		226		10,150

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

49

August 31, 2015

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Biotechnology (continued)
Repligen Corp. (1)(2)		796	$	27,128
				171,953
Healthcare Distributors — 0.3%
PharMerica Corp. (2)		394		12,892
Healthcare Equipment — 3.7%
Cynosure, Inc., Class A (2)		1,162		36,766
Globus Medical, Inc., Class A (1)(2)		1,524		37,216
Masimo Corp. (1)(2)		1,076		43,718
NuVasive, Inc. (2)		775		40,858
				158,558
Healthcare Facilities — 2.3%
Amsurg Corp. (1)(2)		579		45,405
HealthSouth Corp. (1)		313		13,365
Select Medical Holdings Corp.		1,400		18,060
U.S. Physical Therapy, Inc. (1)		403		18,518
				95,348
Healthcare Services — 1.6%
AMN Healthcare Services, Inc. (2)		1,108		37,229
CorVel Corp. (2)		431		12,943
Providence Service Corp. (2)		402		18,021
				68,193
Healthcare Supplies — 0.4%
ICU Medical, Inc. (2)		150		17,028
Healthcare Technology — 0.5%
MedAssets, Inc. (2)		1,063		22,450
Life Sciences Tools & Services — 3.5%
Affymetrix, Inc. (1)(2)		3,554		33,159
Cambrex Corp. (2)		902		43,125
Luminex Corp. (2)		1,548		28,204
PAREXEL International Corp. (1)(2)		685		45,018
				149,506
Managed Healthcare — 1.7%
Magellan Health, Inc. (2)		562		31,472
Molina Healthcare, Inc. (2)		518		38,638
				70,110
Pharmaceuticals — 2.0%
Insys Therapeutics, Inc. (1)(2)		674		21,851
Prestige Brands Holdings, Inc. (1)(2)		605		28,145
Sagent Pharmaceuticals, Inc. (2)		1,025		20,479
Supernus Pharmaceuticals, Inc. (2)		858		15,573
				86,048
Total Healthcare				852,086
Industrials — 15.3%
Aerospace & Defense — 1.9%
Curtiss-Wright Corp. (1)		440		28,912
Ducommun, Inc. (2)		1,111		26,242
Moog, Inc., Class A (2)		379		23,915
				79,069
Air Freight & Logistics — 0.8%
Atlas Air Worldwide Holdings, Inc. (1)(2)		812		33,544
Airlines — 0.9%
Hawaiian Holdings, Inc. (1)(2)		1,699		38,500
Building Products — 0.5%
Gibraltar Industries, Inc. (2)		1,421		23,290

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Commercial Printing — 1.8%
Ennis, Inc.		2,193	$	35,812
Multi-Color Corp.		636		41,906
				77,718
Construction Machinery & Heavy Trucks — 1.7%
Meritor, Inc. (1)(2)		2,970		37,571
Wabash National Corp. (1)(2)		2,902		35,491
				73,062
Diversified Support Services — 0.8%
UniFirst Corp.		334		36,209
Industrial Machinery — 1.6%
Blount International, Inc. (2)		1,536		10,583
Chart Industries, Inc. (1)(2)		945		24,154
Kadant, Inc.		714		31,766
				66,503
Marine — 0.8%
Matson, Inc. (1)		953		35,909
Office Services & Supplies — 1.9%
ACCO Brands Corp. (1)(2)		5,197		39,497
Sykes Enterprises, Inc. (1)(2)		1,579		39,712
				79,209
Security & Alarm Services — 0.7%
Brink’s Co. (1)		1,035		29,663
Trading Companies & Distributors — 0.6%
CAI International, Inc. (2)		888		11,686
MRC Global, Inc. (2)		1,113		14,458
				26,144
Trucking — 1.3%
ArcBest Corp. (1)		1,173		33,876
USA Truck, Inc. (2)		1,052		20,777
				54,653
Total Industrials				653,473
Information Technology — 19.7%
Application Software — 1.6%
Manhattan Associates, Inc. (1)(2)		763		44,620
PTC, Inc. (2)		754		24,973
				69,593
Communications Equipment — 2.5%
Bel Fuse, Inc., Class B		938		16,565
InterDigital, Inc.		601		29,731
Plantronics, Inc.		563		29,929
Polycom, Inc. (1)(2)		2,798		30,107
				106,332
Data Processing & Outsourced Services — 2.9%
Convergys Corp.		552		12,475
Euronet Worldwide, Inc. (2)		343		22,114
ExlService Holdings, Inc. (2)		1,162		42,041
MAXIMUS, Inc. (1)		747		45,231
				121,861
Electronic Components — 0.7%
II-VI, Inc. (2)		867		14,644
Rogers Corp. (1)(2)		263		14,638
				29,282
Electronic Equipment & Instruments — 0.5%
Itron, Inc. (2)		732		21,960

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

50

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Electronic Manufacturing Services — 2.1%
Benchmark Electronics, Inc. (2)		1,625	$	34,726
Methode Electronics, Inc.		931		24,737
Sanmina Corp. (2)		1,631		31,380
				90,843
Internet Software & Services — 1.4%
Blucora, Inc. (2)		1,782		24,877
Cimpress NV (1)(2)		483		33,800
				58,677
Semiconductor Equipment — 2.4%
Advanced Energy Industries, Inc. (1)(2)		1,604		38,929
Amkor Technology, Inc. (2)		5,708		30,823
Cabot Microelectronics Corp. (2)		360		15,617
Xcerra Corp. (2)		2,932		18,354
				103,723
Semiconductors — 4.4%
Diodes, Inc. (2)		1,372		27,015
Integrated Device Technology, Inc. (2)		2,107		40,012
IXYS Corp.		1,853		21,847
Microsemi Corp. (1)(2)		1,321		41,955
NeoPhotonics Corp. (1)(2)		3,855		27,910
Pericom Semiconductor Corp.		2,311		28,148
				186,887
Systems Software — 0.4%
Progress Software Corp. (2)		641		17,365
Technology Distributors — 0.8%
Insight Enterprises, Inc. (2)		1,297		32,827
Total Information Technology				839,350
Materials — 0.7%
Gold — 0.2%
Gold Resource Corp. (1)		4,073		9,694
Paper Products — 0.3%
Neenah Paper, Inc.		176		10,159
Steel — 0.2%
Handy & Harman, Ltd. (2)		393		9,911
Total Materials				29,764
Telecommunication Services — 1.3%
Alternative Carriers — 0.6%
Premiere Global Services, Inc. (2)		2,267		24,438
Integrated Telecommunication Services — 0.7%
General Communication, Inc., Class A (2)		1,704		28,713
Total Telecommunication Services				53,151
Utilities — 1.6%
Electric Utilities — 1.6%
El Paso Electric Co. (1)		781		27,647
PNM Resources, Inc. (1)		1,608		41,181
Total Utilities				68,828
Total Common Stocks (identified cost $4,189,335)				4,219,953

Description	Shares		Value
Short-Term Investments — 31.3%
Collateral Pool Investments for Securities on Loan — 30.2%
Collateral pool allocation (3)			$	1,283,962
Mutual Funds — 1.1%
BMO Prime Money Market Fund, Class I, 0.050% (4)		47,479		47,479
Total Short-Term Investments (identified cost $1,331,441)				1,331,441
Total Investments — 130.3% (identified cost $5,520,776)				5,551,394
Other Assets and Liabilities — (30.3)%				(1,290,115	)
Total Net Assets — 100.0%			$	4,261,279

Small-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.6%
Consumer Discretionary — 16.4%
Advertising — 0.6%
National CineMedia, Inc.		279,699	$	3,678,042
Apparel Retail — 2.0%
Francesca’s Holdings Corp. (1)(2)		348,905		3,921,692
Men’s Wearhouse, Inc. (1)		157,700		8,902,165
				12,823,857
Apparel, Accessories & Luxury Goods — 1.4%
Columbia Sportswear Co. (1)		146,699		9,002,918
General Merchandise Stores — 1.4%
Burlington Stores, Inc. (1)(2)		175,472		9,315,808
Homebuilding — 5.8%
M/I Homes, Inc. (1)(2)		328,896		8,215,822
TRI Pointe Group, Inc. (1)(2)		906,212		12,578,222
UCP, Inc., Class A (1)(2)		300,784		2,451,390
William Lyon Homes, Class A (1)(2)		615,411		13,945,213
				37,190,647
Homefurnishing Retail — 1.0%
Restoration Hardware Holdings, Inc. (1)(2)		72,949		6,746,324
Leisure Products — 0.7%
Performance Sports Group, Ltd. (2)		359,122		4,661,404
Publishing — 1.8%
New Media Investment Group, Inc. (1)		757,557		11,302,751
Restaurants — 1.7%
Fiesta Restaurant Group, Inc. (1)(2)		69,170		3,571,939
Krispy Kreme Doughnuts, Inc. (1)(2)		432,798		7,418,157
				10,990,096
Total Consumer Discretionary				105,711,847
Consumer Staples — 0.8%
Packaged Foods & Meats — 0.8%
Hain Celestial Group, Inc. (1)(2)		90,629		5,515,681
Energy — 6.7%
Integrated Oil & Gas — 2.2%
InterOil Corp. (1)(2)		394,087		14,131,960
Oil & Gas-Storage & Transportation — 4.5%
GasLog, Ltd. (1)		902,329		12,533,349
Golar LNG, Ltd. (1)		426,969		16,626,173
				29,159,522
Total Energy				43,291,482

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

51

August 31, 2015

Schedules of Investments

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials — 8.9%
Health Care REIT’s — 2.3%
New Senior Investment Group, Inc.		1,292,251	$	14,718,739
Hotel & Resort REIT’s — 1.1%
Apple Hospitality REIT, Inc. (1)		411,185		7,282,086
Multi-Sector Holdings — 1.3%
PICO Holdings, Inc. (1)(2)		666,653		8,633,156
Specialized Finance — 2.1%
GAIN Capital Holdings, Inc.		1,619,391		13,376,170
Specialized REIT’s — 2.1%
LaSalle Hotel Properties (1)		208,592		6,562,304
Summit Hotel Properties, Inc. (1)		586,675		7,116,368
				13,678,672
Total Financials				57,688,823
Healthcare — 19.8%
Biotechnology — 1.2%
Eagle Pharmaceuticals, Inc. (2)		22,600		1,775,230
Vanda Pharmaceuticals, Inc. (1)(2)		502,307		5,922,200
				7,697,430
Healthcare Equipment — 6.8%
ABIOMED, Inc. (1)(2)		76,918		7,376,436
DexCom, Inc. (1)(2)		34,559		3,253,384
EndoChoice Holdings, Inc. (2)		212,555		3,592,180
Globus Medical, Inc., Class A (1)(2)		326,253		7,967,098
Hill-Rom Holdings, Inc. (1)		159,410		8,423,224
NxStage Medical, Inc. (1)(2)		753,966		13,096,390
				43,708,712
Healthcare Facilities — 2.6%
Acadia Healthcare Co., Inc. (1)(2)		120,513		8,801,064
HealthSouth Corp. (1)		194,343		8,298,446
				17,099,510
Healthcare Services — 1.3%
AMN Healthcare Services, Inc. (2)		250,396		8,413,306
Life Sciences Tools & Services — 3.2%
Albany Molecular Research, Inc. (1)(2)		432,600		8,626,044
ICON PLC, ADR (1)(2)		105,377		8,114,029
PRA Health Sciences, Inc. (1)(2)		96,541		3,632,838
				20,372,911
Managed Healthcare — 0.5%
Centene Corp. (1)(2)		48,945		3,020,885
Pharmaceuticals — 4.2%
Akorn, Inc. (1)(2)		76,751		3,053,922
Horizon Pharma PLC (1)(2)		335,301		9,797,495
Medicines Co. (1)(2)		107,160		4,393,560
Pacira Pharmaceuticals, Inc. (1)(2)		79,231		4,559,744
Phibro Animal Health Corp., Class A		157,878		5,573,094
				27,377,815
Total Healthcare				127,690,569
Industrials — 14.4%
Aerospace & Defense — 1.4%
Hexcel Corp. (1)		184,600		8,908,796

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Building Products — 3.7%
Builders FirstSource, Inc. (1)(2)		904,696	$	13,398,548
Continental Building Products, Inc. (2)		170,338		3,405,056
Lennox International, Inc. (1)		63,600		7,507,344
				24,310,948
Human Resource & Employment Services — 1.6%
On Assignment, Inc. (1)(2)		287,564		10,346,553
Industrial Machinery — 1.3%
Barnes Group, Inc.		212,680		8,215,829
Office Services & Supplies — 1.1%
ARC Document Solutions, Inc. (1)(2)		1,056,600		7,015,824
Research & Consulting Services — 3.6%
Acacia Research Corp. (1)		1,355,325		12,902,694
Advisory Board Co. (1)(2)		217,967		10,599,735
				23,502,429
Security & Alarm Services — 0.5%
MiX Telematics, Ltd., ADR (1)(2)		504,815		3,069,275
Trading Companies & Distributors — 1.2%
Watsco, Inc.		62,065		7,600,480
Total Industrials				92,970,134
Information Technology — 25.7%
Application Software — 1.2%
Callidus Software, Inc. (1)(2)		442,577		6,979,439
RingCentral, Inc., Class A (2)		56,100		965,481
				7,944,920
Communications Equipment — 1.1%
CalAmp Corp. (1)(2)		143,550		2,385,801
Ruckus Wireless, Inc. (1)(2)		382,071		4,325,044
				6,710,845
Consulting & Other Services — 1.2%
Virtusa Corp. (1)(2)		149,971		7,936,465
Data Processing & Outsourced Services — 4.7%
Cardtronics, Inc. (1)(2)		338,975		11,694,638
MAXIMUS, Inc. (1)		155,875		9,438,231
VeriFone Systems, Inc. (1)(2)		281,400		8,790,936
				29,923,805
Internet Software & Services — 9.2%
Actua Corp. (1)(2)		813,024		11,569,332
Criteo SA, ADR (1)(2)		392,248		15,380,044
Endurance International Group Holdings, Inc. (1)(2)		386,117		5,903,729
j2 Global, Inc.		7,039		489,774
LogMeIn, Inc. (1)(2)		154,289		9,618,376
Monster Worldwide, Inc. (1)(2)		643,444		4,677,838
Shutterstock, Inc. (1)(2)		357,883		11,992,659
				59,631,752
Semiconductors — 1.8%
Cypress Semiconductor Corp. (1)(2)		597,700		5,977,000
Microsemi Corp. (1)(2)		174,900		5,554,824
				11,531,824
Systems Software — 6.5%
FleetMatics Group PLC (1)(2)		173,100		7,747,956
Proofpoint, Inc. (1)(2)		121,098		6,822,661
Rovi Corp. (1)(2)		580,600		6,427,242
Rubicon Project, Inc. (1)(2)		1,464,842		21,093,725
				42,091,584
Total Information Technology				165,771,195

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

52

BMO Funds

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials — 1.8%
Steel — 1.8%
SunCoke Energy, Inc.		1,032,619	$	11,854,466
Telecommunication Services — 4.1%
Alternative Carriers — 4.1%
8x8, Inc. (1)(2)		689,805		5,332,193
inContact, Inc. (1)(2)		2,849,347		21,512,570
Total Telecommunication Services				26,844,763
Total Common Stocks (identified cost $591,395,449)				637,338,960
Short-Term Investments — 50.1%
Collateral Pool Investments for Securities on Loan — 46.6%
Collateral pool allocation (3)				300,690,862
Mutual Funds — 3.5%
BMO Prime Money Market Fund, Class I, 0.050% (4)		22,731,181		22,731,181
Total Short-Term Investments (identified cost $323,422,043)				323,422,043
Total Investments — 148.7% (identified cost $914,817,492)				960,761,003
Other Assets and Liabilities — (48.7)%				(314,692,945	)
Total Net Assets — 100.0%			$	646,068,058

Global Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 96.8%
Austria — 0.9%
Flughafen Wien AG		267	$	24,426
Oesterreichische Post AG		351		13,500
				37,926
Belgium — 0.9%
Ageas		248		10,115
bpost SA		1,210		29,423
				39,538
Bermuda — 2.4%
Bunge, Ltd.		241		17,461
Everest Re Group, Ltd. (1)		425		74,719
Giordano International, Ltd.		18,000		9,798
				101,978
Canada — 8.7%
Artis Real Estate Investment Trust		705		6,570
BCE, Inc.		1,193		48,242
Canadian Tire Corp., Ltd., Class A		139		13,122
Cogeco Cable, Inc.		101		5,098
Dollarama, Inc.		1,824		104,149
Emera, Inc.		550		19,047
First Capital Realty, Inc.		2,116		27,970
Fortis, Inc./Canada		1,365		37,030
Genworth MI Canada, Inc. (1)		2,022		46,846
High Liner Foods, Inc.		290		3,747
Laurentian Bank of Canada (1)		602		22,156
Medical Facilities Corp. (1)		462		5,619
Metro, Inc. (1)		255		6,734
National Bank of Canada		219		7,208
North West Co., Inc.		552		11,367

Description	Shares		Value
Common Stocks (continued)
Canada (continued)
Valener, Inc. (1)		676	$	8,612
				373,517
France — 0.2%
Boiron SA		82		8,754
Germany — 2.7%
Fresenius Medical Care AG & Co. KGaA		870		66,656
Fresenius SE & Co. KGaA		712		50,351
				117,007
Guernsey — 2.4%
Amdocs, Ltd.		1,826		104,465
Hong Kong — 2.9%
CLP Holdings, Ltd.		10,000		83,090
PCCW, Ltd.		49,000		25,546
Television Broadcasts, Ltd.		4,100		15,356
				123,992
Ireland — 0.7%
ICON PLC, ADR (1)(2)		382		29,414
Israel — 4.3%
Bank Hapoalim BM		4,810		24,385
Bank Leumi Le-Israel BM (2)		19,254		70,131
Bezeq - The Israeli Telecommunication Corp., Ltd.		31,901		57,292
Elbit Systems, Ltd.		289		22,190
Ituran Location and Control, Ltd.		410		9,918
				183,916
Italy — 0.9%
ACEA SpA		994		13,663
Engineering SpA		134		8,036
Reply SpA		142		15,251
				36,950
Japan — 6.8%
Benesse Holdings, Inc. (1)		800		21,177
Canon Electronics, Inc.		1,800		31,653
Capcom Co., Ltd. (1)		500		11,724
Duskin Co., Ltd. (1)		1,800		35,785
Lion Corp. (1)		3,000		26,222
Megmilk Snow Brand Co., Ltd. (1)		2,200		41,705
Morinaga Milk Industry Co., Ltd.		8,000		38,766
Nippon Telegraph & Telephone Corp.		1,200		45,833
Nisshin Oillio Group, Ltd. (1)		5,000		18,789
Noevir Holdings Co., Ltd.		500		11,245
Okinawa Cellular Telephone Co.		300		8,880
				291,779
Malaysia — 2.8%
Public Bank Bhd		11,300		48,345
Telekom Malaysia Bhd		39,600		61,155
Tenaga Nasional Bhd		3,300		8,764
				118,264
Netherlands — 0.1%
Sligro Food Group NV		150		5,932
New Zealand — 4.5%
Air New Zealand, Ltd.		9,349		14,676
Argosy Property, Ltd.		21,060		14,809
Chorus, Ltd. (2)		3,903		6,338
Ebos Group, Ltd.		1,256		8,715
Fisher & Paykel Healthcare Corp., Ltd.		18,777		86,220
Infratil, Ltd.		7,695		14,612
Metlifecare, Ltd.		4,044		11,150
Ryman Healthcare, Ltd.		4,502		21,840

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

53

August 31, 2015

Schedules of Investments

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
New Zealand (continued)
Summerset Group Holdings, Ltd.		6,131	$	14,967
				193,327
Philippines — 2.0%
First Philippine Holdings Corp.		6,680		9,937
Globe Telecom, Inc.		535		29,376
Manila Electric Co.		6,370		38,566
Megaworld Corp.		67,000		6,191
				84,070
Portugal — 0.2%
REN - Redes Energeticas Nacionais SGPS SA		3,007		8,986
Singapore — 8.0%
Ascott Residence Trust (1)		9,200		8,109
CDL Hospitality Trusts		8,000		7,434
Frasers Centrepoint Trust (1)		19,000		26,192
Hutchison Port Holdings Trust, Class U (1)		29,000		15,208
Mapletree Industrial Trust		8,100		8,811
Mapletree Logistics Trust		47,000		32,537
Raffles Medical Group, Ltd. (1)		6,600		20,398
Religare Health Trust		26,000		17,394
SATS, Ltd.		12,800		32,221
Sheng Siong Group, Ltd.		14,000		8,571
Singapore Airlines, Ltd.		3,000		20,982
Singapore Post, Ltd. (1)		33,000		41,443
Singapore Telecommunications, Ltd.		21,200		56,517
StarHub, Ltd. (1)		7,900		20,468
Venture Corp., Ltd.		5,000		28,386
				344,671
South Korea — 1.1%
GS Home Shopping, Inc.		83		14,011
Kia Motors Corp.		787		32,249
				46,260
Switzerland — 1.8%
Intershop Holding AG		19		7,861
Metall Zug AG		3		8,154
Novartis AG		616		60,210
				76,225
Taiwan — 3.5%
Chunghwa Telecom Co., Ltd.		28,000		84,965
Far EasTone Telecommunications Co., Ltd.		4,000		8,778
Greatek Electronics, Inc.		9,000		7,286
Pegatron Corp.		3,000		7,773
Shinkong Synthetic Fibers Corp.		46,000		11,933
Taichung Commercial Bank Co., Ltd.		52,939		15,376
Taiwan Secom Co., Ltd.		5,075		14,147
				150,258
Thailand — 0.2%
Thai Beverage PCL		20,500		10,318
United Kingdom — 5.6%
AstraZeneca PLC		465		29,057
EMIS Group PLC		1,780		25,625
Greggs PLC		3,271		56,787
Halfords Group PLC		1,314		10,457
Lookers PLC		6,732		16,596
Next PLC		500		60,805
Primary Health Properties PLC		2,231		14,070
Redde PLC		10,093		24,607
				238,004

Description	Shares		Value
Common Stocks (continued)
United States — 33.2%
AmerisourceBergen Corp.		959	$	95,938
Atrion Corp. (1)		36		13,932
Carter’s, Inc.		90		8,848
Cintas Corp.		866		73,601
Clorox Co. (1)		93		10,339
Consolidated Edison, Inc. (1)		1,081		68,006
Dr. Pepper Snapple Group, Inc. (1)		1,347		103,355
Edison International (1)		276		16,140
Entergy Corp.		194		12,674
Exelon Corp. (1)		2,367		72,809
Forrester Research, Inc. (1)		229		7,239
General Mills, Inc.		1,251		71,007
Heritage Insurance Holdings Inc (2)		484		8,504
ICU Medical, Inc. (2)		164		18,617
Johnson & Johnson		303		28,476
Kaiser Aluminum Corp. (1)		782		65,360
Kohl’s Corp. (1)		191		9,747
Laboratory Corporation of America Holdings (1)(2)		690		81,289
Magellan Health, Inc. (1)(2)		1,134		63,504
McKesson Corp. (1)		445		87,923
Merck & Co., Inc. (1)		1,410		75,929
Meridian Bancorp Inc (1)(2)		4,156		52,947
Navigators Group, Inc. (1)(2)		246		18,708
Northfield Bancorp, Inc. (1)		2,259		33,817
PepsiCo, Inc. (1)		840		78,061
Pfizer, Inc.		1,884		60,703
Portland General Electric Co. (1)		1,290		44,557
Verizon Communications, Inc. (1)		1,789		82,312
Wal-Mart Stores, Inc.		910		58,904
				1,423,246
Total Common Stocks (identified cost $4,021,505)				4,148,797
Preferred Stocks — 0.1%
Japan — 0.1%
Shinkin Central Bank		3		5,537
Total Preferred Stocks (identified cost $5,835)				5,537
Short-Term Investments — 28.9%
Collateral Investment for Securities on Loan — 25.9%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.189% (3)				1,110,528
Mutual Funds — 3.0%
State Street Institutional Liquid Reserves Fund, 0.120%		127,078		127,078
Total Short-Term Investments (identified cost $1,237,606)				1,237,606
Total Investments — 125.8% (identified cost $5,264,946)				5,391,940
Other Assets and Liabilities — (25.8)%				(1,105,858	)
Total Net Assets — 100.0%			$	4,286,082

Industry Allocation
Industry	Value		% of Total Net Assets
Aerospace/Defense	$	22,190		0.5	%
Agriculture		17,460		0.4
Airlines		35,658		0.8
Apparel		8,848		0.2

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

54

BMO Funds

Global Low Volatility Equity Fund (continued)

Industry	Value			% of Total Net Assets
Auto Manufacturers	$	32,249			0.8	%
Banks		187,601			4.4
Beverages		191,734			4.5
Commercial Services		191,765			4.5
Computers		104,465			2.4
Cosmetics/Personal Care		37,466			0.9
Electric		447,881			10.5
Electronics		46,076			1.1
Engineering & Construction		56,648			1.3
Food		254,832			6.0
Gas		8,612			0.2
Healthcare-Products		127,484			3.0
Healthcare-Services		365,188			8.5
Holding Companies-Diversified		8,154			0.2
Home Furnishings		31,653			0.7
Household Products/Wares		10,339			0.2
Insurance		158,892			3.7
Internet		23,288			0.5
Media		20,454			0.5
Mining		65,360			1.5
Pharmaceuticals		446,990			10.4
Real Estate		74,224			1.7
Real Estate Investment Trusts		103,722			2.4
Retail		306,161			7.1
Savings & Loans		86,765			2.0
Semiconductors		7,287			0.2
Software		37,349			0.9
Telecommunications		535,703			12.5
Textiles		11,933			0.3
Transportation		84,366			2.0
Total Common Stocks		4,148,797			96.8
Preferred Stocks		5,537			0.1
Collateral Investment for Securities on Loan		1,110,528			25.9
Mutual Funds		127,078			3.0
Total Investments		5,391,940			125.8
Other Assets and Liabilities		(1,105,858	)		(25.8	)
Total Net Assets	$	4,286,082			100.0	%

Pyrford Global Equity Fund

Description	Shares		Value
Common Stocks — 93.0%
Australia — 8.0%
Brambles, Ltd.		2,616	$	18,241
Computershare, Ltd. (1)		2,125		14,895
Newcrest Mining, Ltd. (2)		1,002		8,041
QBE Insurance Group, Ltd.		994		9,313
Rio Tinto, Ltd.		231		8,260
Telstra Corp., Ltd. (1)		1,155		4,725
Woodside Petroleum, Ltd.		692		16,035
Woolworths, Ltd. (1)		808		15,173
				94,683
Belgium — 1.1%
Colruyt SA		259		12,606
Canada — 3.6%
Imperial Oil, Ltd.		489		17,265
Metro, Inc. (1)		747		19,726

Description	Shares		Value
Common Stocks (continued)
Canada (continued)
Saputo, Inc.		227	$	5,228
				42,219
France — 3.8%
Air Liquide SA		128		15,258
Sanofi		175		17,209
TOTAL SA		278		12,648
				45,115
Germany — 1.0%
SAP AG		183		12,318
Hong Kong — 6.2%
ASM Pacific Technology, Ltd. (1)		1,800		13,993
China Mobile, Ltd.		1,500		18,298
CNOOC, Ltd.		11,000		13,808
Power Assets Holdings, Ltd.		1,500		12,860
VTech Holdings, Ltd. (1)		1,300		15,044
				74,003
Israel — 1.1%
Bezeq - The Israeli Telecommunication Corp., Ltd.		2,298		4,127
Teva Pharmaceutical Industries, Ltd.		129		8,326
				12,453
Japan — 3.0%
Japan Tobacco, Inc. (1)		222		7,899
KDDI Corp. (1)		300		7,445
Nihon Kohden Corp. (1)		300		5,966
Sumitomo Rubber Industries, Ltd. (1)		500		7,068
Toyota Tsusho Corp. (1)		300		6,887
				35,265
Malaysia — 4.6%
Axiata Group Bhd		14,900		21,721
Lafarge Malaysia Bhd		2,600		5,764
Magnum Bhd		8,900		5,509
Malayan Banking Bhd		10,295		21,461
				54,455
Netherlands — 1.0%
Unilever NV		293		11,717
Norway — 1.1%
Telenor ASA		661		13,174
Singapore — 4.3%
ComfortDelGro Corp., Ltd. (1)		6,000		11,888
Sembcorp Industries, Ltd. (1)		3,283		7,893
Singapore Technologies Engineering, Ltd. (1)		3,000		6,528
United Overseas Bank, Ltd.		1,000		13,635
Venture Corp., Ltd.		2,000		11,354
				51,298
Sweden — 2.2%
Assa Abloy AB, Class B		288		5,491
Atlas Copco AB, A Shares		356		8,931
Svenska Cellulosa AB SCA, B Shares		408		11,599
				26,021
Switzerland — 10.5%
Givaudan SA		3		5,159
Nestle SA		441		32,401
Novartis AG		273		26,684
Panalpina Welttransport Holding AG		66		8,306
Roche Holding AG		106		28,755
Schindler Holding AG		41		6,281
Syngenta AG		16		5,536
Zurich Insurance Group AG (2)		42		11,524
				124,646

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

55

August 31, 2015

Schedules of Investments

Pyrford Global Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Taiwan — 4.1%
Advantech Co., Ltd.		1,099	$	6,996
Chunghwa Telecom Co., Ltd.		7,000		21,241
MediaTek, Inc.		2,000		15,428
Merida Industry Co., Ltd.		1,000		5,338
				49,003
United Kingdom — 7.8%
BP PLC		1,965		10,776
British American Tobacco PLC		289		15,386
GlaxoSmithKline PLC		877		17,966
Legal & General Group PLC		3,301		12,682
Royal Dutch Shell PLC, A Shares		462		12,007
SSE PLC		558		12,493
Vodafone Group PLC		3,159		10,901
				92,211
United States — 29.6%
Altria Group, Inc. (1)		447		23,950
Automatic Data Processing, Inc.		223		17,243
C.H. Robinson Worldwide, Inc. (1)		340		22,926
Coach, Inc. (1)		829		25,077
Exxon Mobil Corp. (1)		354		26,635
General Dynamics Corp.		193		27,412
Home Depot, Inc. (1)		242		28,183
Linear Technology Corp. (1)		649		26,142
McDonald’s Corp. (1)		307		29,171
Microsoft Corp.		912		39,690
Northrop Grumman Corp. (1)		71		11,626
Philip Morris International, Inc. (1)		489		39,022
T Rowe Price Group, Inc. (1)		468		33,640
				350,717
Total Common Stocks (identified cost $1,199,207)				1,101,904
Preferred Stocks — 0.9%
Germany — 0.9%
Fuchs Petrolub SE		244		10,528
Total Preferred Stocks (identified cost $10,670)				10,528
Short-Term Investments — 28.1%
Collateral Investment for Securities on Loan — 22.4%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.189% (3)				265,634
Mutual Funds — 5.7%
State Street Institutional Liquid Reserves Fund, 0.120%		67,237		67,237
Total Short-Term Investments (identified cost $332,871)				332,871
Total Investments — 122.0% (identified cost $1,542,748)				1,445,303
Other Assets and Liabilities — (22.0)%				(261,070	)
Total Net Assets — 100.0%			$	1,184,233

Industry Allocation
Industry	Value			% of Total Net Assets
Aerospace/Defense	$	39,037			3.3	%
Agriculture		86,257			7.3
Auto Parts & Equipment		7,068			0.6
Banks		35,095			3.0
Building Materials		5,764			0.5
Chemicals		25,954			2.2
Commercial Services		35,483			3.0
Computers		21,891			1.8
Cosmetics/Personal Care		23,316			2.0
Distribution/Wholesale		6,887			0.6
Diversified Financial Services		33,640			2.8
Electric		25,354			2.1
Electronics		11,354			1.0
Engineering & Construction		6,528			0.5
Food		85,133			7.2
Hand/Machine Tools		6,281			0.5
Healthcare-Products		5,966			0.5
Holding Companies-Diversified		5,509			0.5
Insurance		33,518			2.8
Leisure Time		5,338			0.4
Machinery-Construction & Mining		8,931			0.7
Metal Fabricate/Hardware		5,490			0.5
Mining		16,301			1.4
Oil & Gas		109,174			9.2
Pharmaceuticals		98,941			8.4
Retail		82,432			7.0
Semiconductors		55,563			4.7
Shipbuilding		7,893			0.7
Software		52,009			4.4
Telecommunications		116,677			9.8
Transportation		43,120			3.6
Total Common Stocks		1,101,904			93.0
Preferred Stocks		10,528			0.9
Collateral Investment for Securities on Loan		265,634			22.4
Mutual Funds		67,237			5.7
Total Investments		1,445,303			122.0
Other Assets and Liabilities		(261,070	)		(22.0	)
Total Net Assets	$	1,184,233			100.0	%

Pyrford International Stock Fund

Description	Shares		Value
Common Stocks — 93.6%
Australia — 9.6%
Brambles, Ltd.		1,875,886	$	13,079,964
Computershare, Ltd. (1)		1,578,516		11,064,635
Newcrest Mining, Ltd. (2)		744,907		5,978,151
QBE Insurance Group, Ltd.		774,050		7,251,870
Rio Tinto, Ltd.		162,315		5,803,740
Telstra Corp., Ltd.		831,089		3,400,233
Woodside Petroleum, Ltd.		510,851		11,837,512
Woolworths, Ltd. (1)		598,265		11,234,500
				69,650,605
Belgium — 2.7%
Colruyt SA		228,833		11,137,909
Proximus		244,721		8,771,724
				19,909,633
Finland — 1.0%
Kone OYJ, Class B		179,761		7,100,346

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

56

BMO Funds

Pyrford International Stock Fund (continued)

Description	Shares		Value
Common Stocks (continued)
France — 7.0%
Air Liquide SA		95,609	$	11,397,201
Legrand SA		125,927		7,233,069
Rubis SCA		100,534		7,122,454
Sanofi		152,803		15,025,928
TOTAL SA		218,333		9,933,114
				50,711,766
Germany — 5.4%
Brenntag AG		183,603		10,215,090
Deutsche Post AG		398,696		10,986,820
GEA Group AG		197,443		7,716,522
SAP AG		147,166		9,906,269
				38,824,701
Hong Kong — 6.6%
ASM Pacific Technology, Ltd. (1)		1,087,000		8,450,159
China Mobile, Ltd.		1,091,500		13,314,784
CNOOC, Ltd.		6,838,000		8,583,340
Power Assets Holdings, Ltd.		1,003,000		8,599,484
VTech Holdings, Ltd. (1)		797,400		9,227,928
				48,175,695
Israel — 1.6%
Bezeq—The Israeli Telecommunication Corp., Ltd.		2,564,893		4,606,399
Teva Pharmaceutical Industries, Ltd.		106,100		6,848,015
				11,454,414
Japan — 8.9%
Japan Tobacco, Inc. (1)		282,068		10,035,718
KDDI Corp.		454,800		11,286,253
Makita Corp. (1)		46,100		2,609,544
Mitsubishi Electric Corp.		1,047,000		10,406,415
Nihon Kohden Corp. (1)		486,000		9,664,940
Sumitomo Rubber Industries, Ltd. (1)		712,200		10,067,806
Toyota Tsusho Corp. (1)		445,400		10,225,154
				64,295,830
Malaysia — 3.6%
Axiata Group Bhd		7,103,100		10,355,011
Lafarge Malaysia Bhd		1,254,000		2,780,104
Magnum Bhd		4,236,500		2,622,204
Malayan Banking Bhd		4,902,071		10,218,665
				25,975,984
Netherlands — 4.1%
Koninklijke Vopak NV (1)		240,551		9,866,724
RELX NV		553,869		8,516,679
Unilever NV		280,668		11,223,558
				29,606,961
Norway — 1.8%
Telenor ASA (1)		668,936		13,331,956
Singapore — 4.5%
ComfortDelGro Corp., Ltd.		4,196,000		8,313,510
Sembcorp Industries, Ltd. (1)		2,382,000		5,726,583
Singapore Technologies Engineering, Ltd.		2,256,000		4,909,120
United Overseas Bank, Ltd.		551,000		7,512,750
Venture Corp., Ltd.		1,106,000		6,278,916
				32,740,879

Description	Shares		Value
Common Stocks (continued)
Sweden — 3.6%
Assa Abloy AB, Class B		270,063	$	5,148,523
Atlas Copco AB, A Shares		380,406		9,543,708
Svenska Cellulosa AB SCA, B Shares		391,150		11,120,349
				25,812,580
Switzerland — 13.4%
Givaudan SA		2,980		5,124,972
Nestle SA		344,210		25,289,444
Novartis AG		203,421		19,883,210
Panalpina Welttransport Holding AG (1)		50,249		6,323,647
Roche Holding AG		81,510		22,111,830
Schindler Holding AG		31,895		4,885,760
Syngenta AG		12,675		4,385,902
Zurich Insurance Group AG (2)		34,730		9,528,884
				97,533,649
Taiwan — 3.6%
Advantech Co., Ltd.		888,218		5,654,396
Chunghwa Telecom Co., Ltd.		3,419,000		10,374,816
MediaTek, Inc.		1,001,000		7,721,860
Merida Industry Co., Ltd.		451,000		2,407,355
				26,158,427
United Kingdom — 16.2%
BP PLC		1,397,125		7,661,516
British American Tobacco PLC		245,388		13,063,880
GlaxoSmithKline PLC		589,434		12,075,173
Legal & General Group PLC		3,076,559		11,819,612
National Grid PLC		1,051,910		13,774,788
Royal Dutch Shell PLC, A Shares		379,703		9,868,527
Royal Dutch Shell PLC, B Shares		366,073		9,551,797
SKY PLC		608,186		9,709,427
SSE PLC		419,006		9,381,364
United Utilities Group PLC		756,290		9,854,627
Vodafone Group PLC		3,159,670		10,903,174
				117,663,885
Total Common Stocks (identified cost $720,252,588)				678,947,311
Preferred Stocks — 1.7%
Germany — 1.7%
Fuchs Petrolub SE		286,599		12,365,885
Total Preferred Stocks (identified cost $11,214,032)				12,365,885
Short-Term Investments — 9.8%
Collateral Investment for Securities on Loan — 5.6%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.150% (3)				40,598,732
Mutual Funds — 4.2%
State Street Institutional Liquid Reserves Fund, 0.120%		30,710,286		30,710,286
Total Short-Term Investments (identified cost $71,309,018)				71,309,018
Total Investments — 105.1% (identified cost $802,775,638)				762,622,214
Other Assets and Liabilities — (5.1)%				(37,290,715	)
Total Net Assets — 100.0%			$	725,331,499

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

57

August 31, 2015

Schedules of Investments

Pyrford International Stock Fund (continued)

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	23,099,598			3.2	%
Auto Parts & Equipment		10,067,806			1.4
Banks		17,731,414			2.4
Building Materials		2,780,105			0.4
Chemicals		31,123,165			4.3
Commercial Services		21,596,643			3.0
Computers		16,719,031			2.3
Cosmetics/Personal Care		22,343,906			3.1
Distribution/Wholesale		10,225,154			1.4
Electric		17,980,848			2.5
Electrical Components & Equipment		7,233,069			1.0
Electronics		6,278,917			0.9
Engineering & Construction		4,909,120			0.7
Food		47,661,854			6.6
Gas		20,897,242			2.9
Hand/Machine Tools		7,495,304			1.0
Healthcare-Products		9,664,940			1.3
Holding Companies-Diversified		2,622,204			0.4
Insurance		28,600,366			3.9
Leisure Time		2,407,355			0.3
Machinery-Construction & Mining		19,950,124			2.7
Machinery-Diversified		14,816,868			2.0
Media		9,709,427			1.3
Metal Fabricate/Hardware		5,148,523			0.7
Mining		11,781,890			1.6
Oil & Gas		57,435,806			7.9
Pharmaceuticals		75,944,156			10.5
Pipelines		9,866,724			1.4
Semiconductors		16,172,019			2.2
Shipbuilding		5,726,583			0.8
Software		9,906,269			1.4
Telecommunications		95,572,277			13.2
Transportation		25,623,977			3.5
Water		9,854,627			1.4
Total Common Stocks		678,947,311			93.6
Preferred Stocks		12,365,885			1.7
Collateral Investment for Securities on Loan		40,598,732			5.6
Mutual Funds		30,710,286			4.2
Total Investments		762,622,214			105.1
Other Assets and Liabilities		(37,290,715	)		(5.1	)
Total Net Assets	$	725,331,499			100.0	%

LGM Emerging Markets Equity Fund

Description	Shares		Value
Common Stocks — 93.6%
Bermuda — 4.9%
Credicorp, Ltd. (1)		23,700	$	2,606,526
Giordano International, Ltd.		3,400,000		1,850,778
Jardine Matheson Holdings, Ltd. (1)		57,700		2,882,754
				7,340,058
Brazil — 0.9%
CCR SA		313,900		1,287,919
Cayman Islands — 3.7%
Sands China, Ltd.		896,400		3,089,569
Want Want China Holdings, Ltd. (1)		3,029,000		2,435,521
				5,525,090

Description	Shares		Value
Common Stocks (continued)
Chile — 1.3%
Aguas Andinas SA, Class A		3,707,530	$	1,923,622
Egypt — 4.1%
Commercial International Bank Egypt SAE GDR		878,991		4,922,350
Edita Food Industries SAE, GDR (2)		70,676		1,165,905
				6,088,255
Hong Kong — 1.8%
SJM Holdings, Ltd. (1)		2,967,000		2,672,408
India — 29.4%
Bata India, Ltd.		112,290		1,798,452
Container Corp. Of India, Ltd.		121,595		2,689,849
Emami, Ltd.		467,488		8,282,849
ICICI Bank, Ltd.		358,028		1,494,278
ITC, Ltd.		2,009,403		9,829,909
Mahindra & Mahindra Financial Services, Ltd.		1,265,629		4,810,335
Nestle India, Ltd.		37,400		3,353,511
Pidilite Industries, Ltd.		347,355		2,966,198
Titan Co., Ltd.		502,097		2,563,070
Yes Bank, Ltd.		584,558		6,047,402
				43,835,853
Indonesia — 9.4%
Bank Mandiri Persero Tbk PT		8,709,104		5,628,452
Bank Rakyat Indonesia Persero Tbk PT		1,123,900		846,756
Kalbe Farma Tbk PT		34,856,800		4,156,710
Unilever Indonesia Tbk PT		1,190,900		3,363,362
				13,995,280
Kenya — 0.9%
East African Breweries Ltd.		502,800		1,331,956
Malaysia — 0.5%
Public Bank Bhd		157,800		675,120
Mexico — 8.3%
Bolsa Mexicana de Valores SAB de C.V. (1)		1,702,511		2,607,608
Grupo Financiero Banorte SAB de C.V., Class O (1)		628,600		3,009,108
Grupo Herdez SAB de C.V.		973,222		2,387,657
Wal-Mart de Mexico SAB de C.V. (1)		1,819,559		4,388,875
				12,393,248
Nigeria — 1.4%
Guaranty Trust Bank PLC		18,475,191		2,124,746
Philippines — 10.5%
Metropolitan Bank & Trust Co.		2,755,994		4,932,655
Philippine Long Distance Telephone Co.		36,790		1,976,645
Universal Robina Corp.		2,109,120		8,697,482
				15,606,782
Singapore — 3.0%
Jardine Cycle & Carriage, Ltd. (1)		222,444		4,510,165
South Africa — 5.2%
Cashbuild, Ltd.		59,452		1,402,372
Clicks Group, Ltd.		271,889		1,876,909
Discovery, Ltd.		246,830		2,488,362
Life Healthcare Group Holdings, Ltd.		714,157		2,046,647
				7,814,290

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

58

BMO Funds

LGM Emerging Markets Equity Fund (continued)

Description	Shares or Participation Units		Value
Common Stocks (continued)
South Korea — 1.1%
KT&G Corp.		17,430	$	1,628,164
Taiwan — 1.1%
President Chain Store Corp.		172,000		1,149,788
St. Shine Optical Co., Ltd.		53,000		518,193
				1,667,981
Thailand — 2.4%
Advanced Info Service PCL		273,400		1,815,294
Bangkok Bank PCL		168,126		769,594
Kasikornbank PCL		186,269		937,768
				3,522,656
Turkey — 3.1%
BIM Birlesik Magazalar AS		266,603		4,618,818
Vietnam — 0.6%
Vietnam Dairy Products JSC		213,120		948,618
Total Common Stocks (identified cost $143,346,176)				139,511,029
Preferred Stocks — 1.4%
Chile — 1.4%
Coca-Cola Embonor SA		1,225,515		2,032,296
Total Preferred Stocks (identified cost $3,065,292)				2,032,296
Participation Notes — 2.2%
United States — 2.2%
Vietnam Dairy Products JSC, Issued by Citigroup Global Markets Holding, Maturity Date 1/15/2016 (2) (5)		721,807		3,211,056
Total Participation Notes (identified cost $3,447,950)				3,211,056
Short-Term Investments — 8.9%
Collateral Investment for Securities on Loan — 7.0%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.189% (3)				10,468,643
Mutual Funds — 1.9%
State Street Institutional Liquid Reserves Fund, 0.120%		2,798,334		2,798,334
Total Short-Term Investments (identified cost $13,266,977)				13,266,977
Total Investments — 106.1% (identified cost $163,126,395)				158,021,358
Other Assets and Liabilities — (6.1)%				(9,021,460	)
Total Net Assets — 100.0%			$	148,999,898

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	11,458,073			7.7	%
Apparel		1,798,452			1.2
Auto Manufacturers		4,810,335			3.2
Banks		33,994,755			22.8
Beverages		1,331,956			0.9
Commercial Services		1,287,919			0.9
Distribution/Wholesale		4,510,165			3.0
Diversified Financial Services		2,607,608			1.8
Food		23,607,512			15.8
Healthcare-Products		518,193			0.3
Healthcare-Services		2,046,647			1.4
Holding Companies-Diversified		2,882,754			1.9
Household Products/Wares		3,363,362			2.3
Insurance		2,488,362			1.7
Lodging		5,761,977			3.9
Miscellaneous Manufacturing		2,966,198			2.0
Pharmaceuticals		12,439,559			8.3
Retail		13,231,792			8.9
Telecommunications		3,791,939			2.5
Transportation		2,689,849			1.8
Water		1,923,622			1.3
Total Common Stocks		139,511,029			93.6
Preferred Stocks		2,032,296			1.4
Participation Notes		3,211,056			2.2
Collateral Investment for Securities on Loan		10,468,643			7.0
Mutual Funds		2,798,334			1.9
Total Investments		158,021,358			106.1
Other Assets and Liabilities		(9,021,460	)		(6.1	)
Total Net Assets	$	148,999,898			100.0	%

TCH Emerging Markets Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 67.9%
Azerbaijan — 2.4%
International Bank of Azerbaijan, 5.625%, 6/11/2019	$	200,000	$	184,140
Brazil — 2.2%
Samarco Mineracao SA, 4.125%, 11/1/2022 (6)(7)		200,000		172,250
British Virgin Islands — 2.7%
China Cinda Finance 2014, Ltd., 5.625%, 5/14/2024 (6)(7)		200,000		206,640
Canada — 2.9%
Pacific Exploration and Production Corp., 5.125%, 3/28/2023 (1)(6)(7)		200,000		101,000
Teck Resources, Ltd., 4.500%, 1/15/2021 (1)		150,000		119,686
				220,686
Cayman Islands — 1.7%
Odebrecht Finance, Ltd., 7.125%, 6/26/2042 (6)(7)		200,000		130,500
Chile — 2.7%
Empresa de Transporte de Pasajeros Metro SA, 4.750%, 2/4/2024 (6)(7)		200,000		206,725

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

59

August 31, 2015

Schedules of Investments

TCH Emerging Markets Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Colombia — 7.0%
Bancolombia SA, 6.125%, 7/26/2020	$	150,000	$	155,767
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022		200,000		192,000
Ecopetrol SA, 5.375%, 6/26/2026		200,000		186,950
				534,717
Costa Rica — 2.7%
Banco de Costa Rica, 5.250%, 8/12/2018 (6)(7)		200,000		204,250
Hungary — 2.6%
Magyar Export-Import Bank Zrt, 4.000%, 1/30/2020 (6)(7)		200,000		202,750
Indonesia — 4.8%
Pelabuhan Indonesia II PT, 4.250%, 5/5/2025 (6)(7)		200,000		178,000
Perusahaan Gas Negara Persero Tbk PT, 5.125%, 5/16/2024 (6)(7)		200,000		194,260
				372,260
Kazakstan — 2.4%
Eurasian Development Bank, 4.767%, 9/20/2022 (6)(7)		200,000		185,724
Luxembourg — 2.3%
Gazprom Neft OAO Via GPN Capital SA, 6.000%, 11/27/2023 (6)(7)		200,000		180,308
Mexico — 11.9%
Alfa SAB de C.V., 6.875%, 3/25/2044 (6)(7)		200,000		198,500
America Movil SAB de C.V., 6.450%, 12/5/2022 (1)(8)		2,000,000		115,719
Cemex SAB de C.V., 7.250%, 1/15/2021 (1)(6)(7)		200,000		209,940
Empresas ICA SAB de C.V., 8.875%, 5/29/2024 (6)(7)		200,000		90,500
Grupo Idesa SA de C.V., 7.875%, 12/18/2020 (1)(6)(7)		200,000		208,500
Petroleos Mexicanos, 5.625%, 1/23/2046 (6)(7)		100,000		89,375
				912,534
Morocco — 2.7%
OCP SA, 6.875%, 4/25/2044 (6)(7)		200,000		206,984
Netherlands — 4.6%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)(7)		200,000		174,279
Marfrig Holding Europe BV, 6.875%, 6/24/2019 (6)(7)		200,000		181,250
				355,529
Peru — 2.6%
Corp Financiera de Desarrollo SA, 4.750%, 7/15/2025 (6)(7)		200,000		199,936
Turkey — 7.7%
TC Ziraat Bankasi AS, 4.250%, 7/3/2019 (6)(7)		200,000		197,952
Turkiye Halk Bankasi AS, 4.750%, 6/4/2019 (6)(7)		200,000		199,500
Turkiye Vakiflar Bankasi TAO, 6.875%, 2/3/2025 (6)(7)(9)		200,000		192,320
				589,772

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
United States — 2.0%
Southern Copper Corp., 7.500%, 7/27/2035	$	150,000	$	156,054
Total Corporate Bonds & Notes (identified cost $5,575,706)				5,221,759
International Bonds — 29.0%
Armenia — 2.0%
Republic of Armenia, 6.000%, 9/30/2020 (1)(6)(7)		162,000		155,585
Bahrain — 2.3%
Bahrain Government International Bond, 6.000%, 9/19/2044 (6)(7)		200,000		175,000
Bolivia — 2.7%
Bolivian Government International Bond, 5.950%, 8/22/2023 (1)(6)(7)		200,000		208,000
Brazil — 0.4%
Brazilian Government International Bond, 12.500%, 1/5/2016 (8)		125,000		34,153
Costa Rica — 2.5%
Costa Rica Government International Bond, 7.158%, 3/12/2045 (6)(7)		200,000		188,500
Cote d’Ivoire — 2.4%
Ivory Coast Government International Bond, 5.375%, 7/23/2024 (6)(7)		200,000		182,700
Croatia — 2.0%
Croatia Government International Bond, 5.500%, 4/4/2023 (6)(7)		150,000		155,062
Ethiopia — 2.5%
Federal Democratic Republic of Ethiopia, 6.625%, 12/11/2024 (6)(7)		200,000		188,750
Kazakstan — 2.6%
Kazakhstan Government International Bond, 5.125%, 7/21/2025 (1)(6)(7)		200,000		196,000
Paraguay — 2.6%
Republic of Paraguay, 6.100%, 8/11/2044 (6)(7)		200,000		202,000
Peru — 1.9%
Peruvian Government International Bond, 4.125%, 8/25/2027		150,000		149,625
South Africa — 2.6%
ZAR Sovereign Capital Fund Propriety, Ltd., 3.903%, 6/24/2020 (6)(7)		200,000		201,500
Sri Lanka — 2.5%
Sri Lanka Government International Bond, 6.125%, 6/3/2025 (6)(7)		200,000		195,000
Total International Bonds (identified cost $2,283,677)				2,231,875
Short-Term Investments — 17.3%
Collateral Investment for Securities on Loan — 15.6%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.150% (3)				1,199,025

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

60

BMO Funds

TCH Emerging Markets Bond Fund (continued)

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.7%
State Street Institutional Liquid Reserves Fund, 0.120%		133,465	$	133,465
Total Short-Term Investments (identified cost $1,332,490)				1,332,490
Total Investments — 114.2% (identified cost $9,191,873)				8,786,124
Other Assets and Liabilities — (14.2)%				(1,091,644	)
Total Net Assets — 100.0%			$	7,694,480

Industry Allocation
Industry	Value			% of Total Net Assets
Banks	$	1,133,929			14.7	%
Building Materials		209,940			2.7
Chemicals		415,484			5.4
Diversified Financial Services		406,576			5.3
Engineering & Construction		221,000			2.9
Food		181,250			2.4
Gas		194,260			2.5
Holding Companies-Diversified		198,500			2.6
Iron/Steel		172,250			2.2
Mining		275,740			3.6
Multi-National		185,724			2.4
Oil & Gas		557,633			7.3
Sovereign		202,750			2.6
Telecommunications		307,719			4.0
Transportation		559,004			7.3
Total Corporate Bonds & Notes		5,221,759			67.9
International Bonds		2,231,875			29.0
Collateral Investment for Securities on Loan		1,199,025			15.6
Mutual Funds		133,465			1.7
Total Investments		8,786,124			114.2
Other Assets and Liabilities		(1,091,644	)		(14.2	)
Total Net Assets	$	7,694,480			100.0	%

Alternative Strategies Fund

Description	Principal Amount		Value
Bank Loans — 11.4%
Canada — 0.1%
Hudson’s Bay Co., 4.750%, 8/10/2022 (9)(10)	$	21,000	$	21,066
France — 0.1%
Linxens France SA, 5.000%, 7/27/2022 (9)(10)		26,000		25,957
Linxens France SA, 9.500%, 7/15/2023 (9)(10)		18,000		17,932
				43,889
Germany — 0.0%
KP Germany Erste GmbH, 5.000%, 4/28/2020 (9)		5,389		5,403

Description	Principal Amount		Value
Bank Loans (continued)
Luxembourg — 0.1%
Travelport Finance Luxembourg Sarl, 5.750%, 9/2/2021 (9)	$	25,870	$	25,925
Netherlands — 0.2%
Amaya Holdings BV, 5.000%, 8/1/2021 (9)		79,799		79,226
Puerto Rico — 0.3%
Liberty Cablevision of Puerto Rico LLC, 4.500%, 1/7/2022 (9)		100,000		97,708
United Kingdom — 0.7%
Advanced Computer Software GR, 6.500%, 3/20/2022 (9)		199,000		199,497
Eden Bidco Ltd., 6.000%, 4/28/2022 (9)		33,000		32,876
Hyperion Insurance Group Ltd., 5.500%, 4/29/2022 (9)		8,920		8,965
				241,338
United States — 9.9%
21st Century Oncology Holdings, Inc, 6.500%, 4/30/2022 (9)		71,000		68,249
AF Borrower LLC, 6.250%, 1/28/2022 (9)		26,933		27,067
AF Borrower LLC, 10.000%, 1/28/2023 (9)		14,000		14,023
Alvogen Pharma US, Inc., 6.000%, 4/2/2022 (9)		7,900		7,880
AmeriLife Group LLC, 5.750%, 6/18/2022 (9)		13,000		13,016
AmeriLife Group LLC, 9.750%, 11/18/2022 (9)		19,000		18,715
Ancestry.com, Inc., 5.000%, 8/17/2022 (9)(10)		30,000		29,763
Answers Corp., 6.250%, 10/3/2021 (9)		38,000		32,617
Arch Coal, Inc., 6.000%, 5/16/2018 (9)		19,949		10,841
Aruba Investments, Inc., 4.500%, 2/2/2022 (9)		134,328		134,328
Ascend Learning LLC, 5.500%, 7/31/2019 (9)		96,510		96,631
Astoria Energy LLC, 5.000%, 12/24/2021 (9)		48,776		49,121
Astro AB Borrower, Inc., 4.500%, 4/30/2022 (9)		21,000		21,184
Asurion LLC, 8.500%, 3/3/2021 (9)		72,000		70,800
Asurion LLC, 5.000%, 8/4/2022 (9)		31,000		30,734
Auction.com LLC, 6.000%, 5/8/2022 (9)		73,815		73,630
BATS Global Markets Holdings, Inc., 5.750%, 1/31/2020 (9)		8,552		8,613
Builders FirstSource, Inc., 6.000%, 7/31/2022 (9)		41,000		40,872
Charter NEX US Holdings, Inc., 9.250%, 2/6/2023 (9)		250,000		251,875
Communications Sales & Leasing, Inc., 5.000%, 10/24/2022 (9)		12,000		11,505
Confie Seguros Holding II Co, 5.500%, 11/9/2018 (9)		11,000		11,021
CT Technologies Intermediate Holdings, Inc., 5.250%, 12/1/2021 (9)		14,000		14,023
Curo Health Services LLC, 6.500%, 2/7/2022 (9)		195,510		196,427
DTZ U.S. Borrower LLC, 5.500%, 11/4/2021 (9)(10)		9,000		8,932
Duff & Phelps Investment Management Co., 8.750%, 8/13/2021 (9)		69,000		69,000

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

61

August 31, 2015

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Principal Amount		Value
Bank Loans (continued)
United States (continued)
EagleView Technology Corp., 5.250%, 7/22/2022 (9)	$	37,000	$	36,445
Emerging Markets Communications LLC, 6.750%, 6/9/2022 (9)		31,000		30,457
Fieldwood Energy LLC, 8.125%, 9/30/2020 (9)		98,000		37,730
GK Holdings, Inc., 6.500%, 1/20/2021 (9)		248,750		249,372
Horizon Global Corp., 7.000%, 5/11/2022 (9)		39,000		38,707
IG Investment Holdings LLC, 6.000%, 10/29/2021 (9)		497,449		498,693
Infiltrator Systems Integrated LLC, 9.750%, 5/19/2023 (9)		20,000		19,900
Jackson Hewitt, Inc., 8.000%, 7/24/2020 (9)		71,000		70,290
JC Penney Corp., Inc., 6.000%, 5/22/2018 (9)		22,941		22,934
Jeld-Wen, Inc., 5.000%, 6/18/2022 (9)		15,000		15,000
KIK Custom Products, Inc., 6.000%, 8/14/2022 (9)(10)		27,000		26,460
Klockner-Pentaplast of America, Inc., 5.000%, 4/28/2020 (9)		12,611		12,644
Merrill Communications LLC, 6.250%, 6/1/2022 (9)		12,000		11,985
MH Sub I LLC, 4.750%, 7/8/2021 (9)		28,927		28,945
National Surgical Hospitals, Inc., 4.500%, 6/1/2022 (9)		13,000		13,016
NEP/NCP Holdco, Inc., 9.750%, 7/22/2020 (9)		19,000		19,032
Oasis Outsourcing Holdings, Inc., 5.750%, 12/18/2021 (9)		96,000		96,480
Physio Control lnternational, Inc., 5.500%, 6/6/2022 (9)		6,000		6,019
Physio Control lnternational, Inc., 10.000%, 6/5/2023 (9)		20,000		19,975
PLZ Aeroscience Corp., 5.250%, 7/31/2022 (9)(10)		91,000		91,000
Prolampac Intermediate, Inc., 5.000%, 8/18/2022 (9)(10)		16,000		16,040
Raley’s, 7.250%, 4/10/2022 (9)		40,000		40,100
RCS Capital Corp., 6.500%, 4/29/2019 (9)		480,769		471,154
Riverbed Technology, Inc., 6.000%, 4/24/2022 (9)		38,903		39,016
Ryan LLC, 6.750%, 7/14/2020 (9)(10)		20,000		19,875
SITEL Worldwide Corp., 6.500%, 8/3/2022 (9)(10)		68,000		67,320
STG-Fairway Acquisition, Inc., 6.250%, 6/30/2022 (9)		48,067		48,007
Tier Oper Part LP, 5.750%, 8/18/2022 (9)		18,000		17,882
TouchTunes Interactive Networks, Inc., 5.750%, 5/29/2021 (9)		41,000		41,205
TTM Technologies, Inc., 6.000%, 5/31/2021 (9)		8,000		7,640
U.S. Farathane LLC, 6.750%, 12/23/2021 (9)		33,039		33,287
USAGM HoldCo LLC, 4.750%, 7/28/2022 (9)		2,174		2,152

Description	Shares or Principal Amount		Value
Bank Loans (continued)
United States (continued)
USAGM HoldCo LLC, 4.750%, 7/28/2022 (9)	$	30,826	$	30,525
				3,490,154
Total Bank Loans (identified cost $3,977,957)				4,004,709
Common Stocks — 53.1%
Bermuda — 0.1%
Syncora Holdings Ltd. (2)		5,234		3,659
Travelport Worldwide Ltd. (11)		1,476		19,557
				23,216
Canada — 2.0%
Magna International, Inc.		1,507		74,129
Valeant Pharmaceuticals International, Inc. (2)(11)		2,730		629,538
				703,667
Cayman Islands — 0.4%
Baidu, Inc. ADR (2)		961		141,507
France — 0.0%
Marie Brizard Wine & Spirits (2)		852		17,057
India — 0.3%
Videocon d2h Ltd. ADR (2)		9,540		104,368
Ireland — 2.4%
Allergan PLC (2)(11)		1,259		382,409
Medtronic PLC (11)		2,721		196,701
Seagate Technology PLC		1,715		88,151
Tyco International PLC (11)		5,150		186,893
				854,154
Israel — 0.2%
Teva Pharmaceutical Industries, Ltd. ADR		1,092		70,336
Japan — 0.5%
Nintendo Co., Ltd. ADR		6,900		176,743
Jersey — 1.2%
Delphi Automotive PLC (11)		3,512		265,226
Kennedy Wilson Europe Real Estate PLC		8,000		144,698
				409,924
Luxembourg — 0.2%
Intelsat SA (2)(11)		7,352		71,094
Netherlands — 0.7%
Altice NV, Class A (2)		1,184		33,780
LyondellBasell Industries NV, Class A (11)		2,460		210,035
				243,815
Spain — 0.2%
Merlin Properties Socimi SA (2)		7,800		90,224
United Kingdom — 0.5%
Diageo PLC, ADR		1,515		161,151
United States — 44.4%
AbbVie, Inc.		1,213		75,703
Aetna, Inc. (11)		1,840		210,717
Air Products & Chemicals, Inc. (11)		1,380		192,551
Alere, Inc. (2)		3,660		190,210
Allscripts Healthcare Solutions, Inc. (2)		7,355		101,278
Amazon.com, Inc. (2)		185		94,885
Anadarko Petroleum Corp. (11)		4,341		310,729

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

62

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks (continued)
United States (continued)
Anthem, Inc.		155	$	21,863
Assurant, Inc.		1,300		96,655
AT&T, Inc.		8,256		286,813
Atmel Corp.		13,825		112,950
AutoZone, Inc. (2)		87		62,291
Avis Budget Group, Inc. (2)		4,485		197,923
Baker Hughes, Inc.		1,072		60,032
Bank of America Corp.		7,100		116,014
Bloomin’ Brands, Inc.		6,500		134,550
Broadcom Corp., Class A		3,980		205,647
C.R. Bard, Inc.		725		140,498
Cablevision Systems Corp., Class A (11)		1,041		26,202
CBS Corp., Class B		2,283		103,283
Cerner Corp. (2)		376		23,222
Chubb Corp.		477		57,626
Churchill Downs, Inc. (11)		900		119,583
Cigna Corp. (11)		1,170		164,724
Citizens Financial Group, Inc. (11)		4,750		117,895
Coca-Cola Co.		4,700		184,804
Cognizant Technology Solutions Corp., Class A (2)		1,961		123,425
Computer Sciences Corp. (11)		3,740		231,843
ConocoPhillips (11)		3,929		193,110
CST Brands, Inc.		4,765		165,441
CVS Health Corp.		1,178		120,627
Danaher Corp.		596		51,864
Delta Air Lines, Inc. (11)		10,861		475,495
DISH Network Corp., Class A (2)(11)		905		53,639
Dollar Tree, Inc. (2)(11)		1,275		97,232
Dow Chemical Co.		2,372		103,799
Eastman Chemical Co. (11)		3,380		244,915
Edwards Lifesciences Corp. (2)		331		46,631
EMC Corp.		3,495		86,921
EnPro Industries, Inc. (11)		510		24,194
EOG Resources, Inc.		2,063		161,554
Equinix, Inc.		565		152,420
EW Scripps Co., Class A (11)		1,704		29,854
Facebook, Inc., Class A (2)		773		69,129
Google, Inc., Class A (2)(11)		408		264,311
Google, Inc., Class C (2)(11)		492		304,179
Graphic Packaging Holding Co. (11)		13,570		191,337
Gray Television, Inc. (2)(11)		5,602		64,927
Halliburton Co. (11)		6,328		249,007
Halozyme Therapeutics, Inc. (2)(11)		11,010		192,235
Hertz Global Holdings, Inc. (2)		7,020		129,379
Hewlett-Packard Co.		5,197		145,828
Honeywell International, Inc. (11)		3,115		309,226
Hospira, Inc. (2)		1,635		147,101
Humana, Inc.		376		68,729
Intrexon Corp. (2)(11)		3,720		165,540
Intuitive Surgical, Inc. (2)		94		48,029
Lexmark International, Inc., Class A		3,155		94,587
Loral Space & Communications, Inc. (2)(11)		1,564		84,784
Lowe’s Cos., Inc.		2,720		188,142
Macquarie Infrastructure Co. LLC (11)		1,677		132,013
Masco Corp. (11)		7,290		191,217
McGraw Hill Financial, Inc.		1,125		109,114
Mueller Water Products, Inc., Class A		21,000		187,950
Myriad Genetics, Inc. (2)		3,510		131,836
Nexstar Broadcasting Group, Inc., Class A (11)		640		29,747
Phillips 66 (11)		3,500		276,745
Pioneer Natural Resources Co. (11)		2,169		266,917

Description	Shares or Principal Amount		Value
Common Stocks (continued)
United States (continued)
Pitney Bowes, Inc.		5,870	$	116,285
Precision Castparts Corp.		648		149,202
Priceline Group, Inc. (2)		112		139,848
PTC, Inc. (2)		4,400		145,728
PVH Corp. (11)		1,625		193,342
Rite Aid Corp. (2)		13,395		110,509
SanDisk Corp. (11)		3,615		197,234
Sealed Air Corp. (11)		7,905		406,712
SemGroup Corp., Class A		4,280		235,400
Service Corp International		5,070		150,325
Sigma-Aldrich Corp. (11)		1,414		197,126
Sinclair Broadcast Group, Inc., Class A		543		14,542
Sirius XM Holdings, Inc. (2)		31,635		120,688
Southwest Airlines Co. (11)		6,580		241,486
Starwood Hotels & Resorts Worldwide, Inc.		1,625		116,139
STERIS Corp.		1,400		89,670
Theravance, Inc.		11,330		157,600
Tribune Media Co., Class A (11)		2,012		80,359
United Continental Holdings, Inc. (2)		1,359		77,422
United Rentals, Inc. (2)		1,425		98,795
United Therapeutics Corp. (2)		955		143,842
Valero Energy Corp.		1,992		118,205
Valspar Corp. (11)		3,030		222,099
Verint Systems, Inc. (2)(11)		2,950		157,323
Verizon Communications, Inc. (11)		5,852		269,251
Visa, Inc., Class A		1,700		121,210
Vista Outdoor, Inc. (2)(11)		4,410		206,212
Visteon Corp. (2)(11)		1,525		151,981
VMware, Inc., Class A (2)		1,749		138,433
Walgreens Boots Alliance, Inc.		1,825		157,954
Western Digital Corp. (11)		1,669		136,791
WL Ross Holding Corp. (2)		33,100		344,240
WR Grace & Co. (2)(11)		3,120		308,693
Wyndham Worldwide Corp. (11)		2,695		206,114
Zimmer Biomet Holdings, Inc.		618		64,000
Zoetis, Inc.		1,800		80,766
				15,679,147
Total Common Stocks (identified cost $18,706,413)				18,746,403
Convertible Bond — 0.1%
United States — 0.1%
Cobalt International Energy, Inc., 3.125%, 5/15/2024	$	75,000		51,516
Total Convertible Bonds (identified cost $50,244)				51,516
Corporate Bonds & Notes — 1.6%
Bermuda — 0.0%
Syncora Holdings Ltd., 6.880%, 9/29/2049 (9)		17,000		6,715
Canada — 0.2%
Niska Gas Storage Canada ULC / Niska Gas Storage Canada Finance Corp., 6.500%, 4/1/2019		78,000		70,590
Luxembourg — 0.1%
Intelsat Jackson Holdings SA, 5.500%, 8/1/2023		49,000		43,365

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

63

August 31, 2015

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares, Contracts or Principal Amount		Value
Corporate Bonds & Notes (continued)
United States — 1.3%
WideOpenWest Finance LLC / WideOpenWest Capital Corp., 10.250%, 7/15/2019	$	20,000	$	20,775
Avaya, Inc., 7.000%, 4/1/2019 (6)(7)		36,000		32,490
Avaya, Inc., 10.500%, 3/1/2021 (6)(7)		18,000		12,015
Constellis Holdings LLC / Constellis Finance Corp., 9.750%, 5/15/2020 (6)(7)		14,000		13,212
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc., 11.750%, 3/1/2022 (6)(7)		64,268		68,847
SiTV LLC / SiTV Finance, Inc., 10.375%, 7/1/2019 (6)(7)		53,000		41,605
PriSo Acquisition Corp., 9.000%, 5/15/2023 (6)(7)		14,000		13,790
Sun Products Corp., 7.750%, 3/15/2021 (6)(7)		60,000		54,300
Builders FirstSource, Inc., 10.750%, 8/15/2023 (6)(7)		28,000		28,560
Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC, 10.000%, 6/1/2020 (6)(7)		48,200		39,644
OPE KAG Finance Sub, Inc., 7.875%, 7/31/2023 (6)(7)		34,000		34,765
Wayne Merger Sub LLC, 8.250%, 8/1/2023 (6)(7)		41,800		40,755
AMAG Pharmaceuticals, Inc., 7.875%, 9/1/2023 (6)(7)		17,000		17,489
DISH DBS Corp., 5.000%, 3/15/2023		16,000		14,170
				432,417
Total Corporate Bonds & Notes (identified cost $564,407)				553,087
Exchange Traded Funds — 0.7%
United States — 0.7%
PowerShares DB U.S. Dollar Index Bullish Fund (2)		9,500		238,070
Total Exchange Traded Funds (identified cost $227,903)				238,070
Purchased Call Options — 0.1%
United States — 0.1%
Western Digital Corp., Exercise Price: $90.00, 10/16/2015 (2)		15		1,650
United Therapeutics Corp., Exercise Price: $150.00, 1/15/2016 (2)		4		7,260
Theravance, Inc., Exercise Price: $15.00, 9/18/2015 (2)		29		1,595
Pfizer, Inc., Exercise Price: $35.00, 9/18/2015 (2)		20		120
Market Vectors Semiconductor E, Exercise Price: $55.00, 2/19/2016 (2)		3		368
Intuitive Surgical, Inc., Exercise Price: $555.00, 9/18/2015 (2)		3		660
Hewlett-Packard Co., Exercise Price: $34.00, 11/20/2015 (2)		12		180
Cigna Corp., Exercise Price: $155.00, 1/15/2016 (2)		5		1,750

Description	Shares, Contracts or Principal Amount			Value
Purchased Call Options (continued)
United States (continued)
Avago Technologies Ltd., Exercise Price: $125.00, 1/15/2016 (2)		1		$	1,465
Aetna, Inc., Exercise Price: $130.00, 1/15/2016 (2)		6			2,250
S&P 500 Index, Exercise Price: $2,060.00, 9/18/2015 (2)		13			6,630
HCA Holdings, Inc., Exercise Price: $65.00, 1/15/2016 (2)		7			16,170
Cigna Corp., Exercise Price: $140.00, 1/15/2016 (2)		2			1,900
SanDisk Corp., Exercise Price: $92.50, 1/15/2016 (2)		4			48
Total Purchased Call Options (identified cost $77,829)					42,046
Purchased Put Options — 0.1%
United States — 0.1%
iShares Russell 2000 ETF, Exercise Price: $108.00, 12/31/2015 (2)		46			18,952
Apple, Inc., Exercise Price: $120.00, 12/18/2015 (2)		8			9,760
Total Purchased Put Options (identified cost $23,316)					28,712
Short-Term Investments — 33.9%
Mutual Funds — 19.7%
State Street Institutional Liquid Reserves Fund, 0.120%		6,970,298			6,970,298
U.S. Treasury Bills — 14.2%
United States Treasury Bill, 0.005%, 9/24/2015 (11)(12)		5,000,000			5,000,030
Total Short-Term Investments (identified cost $11,970,283)					11,970,328
Total Investments — 101.0% (identified cost $35,598,352)					35,634,871
Other Assets and Liabilities — 29.6%					10,426,951
Short Securities and Written Options (see summary below) — (30.6)%					(10,789,732	)
Total Net Assets — 100.0%				$	35,272,090
Short Securities — (30.6)%
Bank Loans — (0.0)%
United States — (0.0)%
Fieldwood Energy LLC, 8.125%, 9/30/2018 (9)	$	(21,000	)		(18,546	)
Total Bank Loans (proceeds $(19,005))					(18,546	)
Common Stocks — (24.2)%
Australia — (0.4)%
BHP Billiton Ltd. ADR		(3,837	)		(141,317	)
Canada — (0.5)%
Calfrac Well Services Ltd.		(8,500	)		(29,720	)
Canadian Western Bank		(2,100	)		(39,427	)
Home Capital Group, Inc.		(3,100	)		(64,799	)
National Bank of Canada		(900	)		(29,622	)
					(163,568	)
Denmark — (0.2)%
Coloplast A/S, Class B		(1,300	)		(88,330	)

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

64

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares			Value
Common Stocks (continued)
France — (0.2)%
Pernod Ricard SA		(550	)	$	(57,627	)
Germany — (0.2)%
Deutsche Lufthansa AG (2)		(7,150	)		(87,102	)
India — (0.7)%
Infosys Ltd. ADR		(10,808	)		(185,357	)
Tata Motors Ltd. ADR (2)		(2,900	)		(73,428	)
					(258,785	)
Ireland — (0.6)%
Accenture PLC, Class A		(935	)		(88,142	)
Allergan PLC (2)		(434	)		(131,823	)
					(219,965	)
Luxembourg — (0.2)%
ArcelorMittal		(7,200	)		(56,736	)
Netherlands — (0.7)%
Schlumberger Ltd.		(3,153	)		(243,948	)
Singapore — (0.1)%
Avago Technologies Ltd.		(342	)		(43,082	)
Switzerland — (0.1)%
ACE Ltd.		(287	)		(29,320	)
Taiwan — (0.2)%
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		(2,800	)		(55,664	)
United Kingdom — (0.5)%
Aon PLC		(783	)		(73,163	)
Royal Mail PLC		(15,450	)		(109,340	)
					(182,503	)
United States — (19.6)%
3M Co.		(430	)		(61,120	)
Abbott Laboratories		(873	)		(39,538	)
Actuant Corp., Class A		(2,700	)		(57,888	)
Adobe Systems, Inc. (2)		(1,615	)		(126,891	)
AmerisourceBergen Corp.		(1,702	)		(170,268	)
Antero Resources Corp. (2)		(1,363	)		(35,220	)
Apple, Inc.		(2,355	)		(265,550	)
Applied Industrial Technologies, Inc.		(1,250	)		(52,925	)
AT&T, Inc.		(8,256	)		(286,813	)
Baxter International, Inc.		(2,638	)		(101,431	)
Campbell Soup Co.		(1,600	)		(76,784	)
Cardinal Health, Inc.		(1,381	)		(113,615	)
Chevron Corp.		(2,555	)		(206,929	)
Coach, Inc.		(366	)		(11,071	)
Cobalt International Energy, Inc. (2)		(1,898	)		(15,203	)
Corning, Inc.		(11,659	)		(200,651	)
Cummins, Inc.		(1,780	)		(216,715	)
Cyberonics, Inc. (2)		(1,000	)		(65,340	)
Danaher Corp.		(1,230	)		(107,035	)
DaVita HealthCare Partners, Inc. (2)		(2,026	)		(153,247	)
Deere & Co.		(1,100	)		(89,958	)
Devon Energy Corp.		(562	)		(23,975	)
Domtar Corp.		(2,000	)		(80,420	)
Electronic Arts, Inc. (2)		(1,646	)		(108,883	)
Exxon Mobil Corp.		(850	)		(63,954	)
Fastenal Co.		(1,425	)		(54,919	)
Gannett Co., Inc. (2)		(2,500	)		(32,775	)
Globe Specialty Metals, Inc.		(4,500	)		(61,830	)
HCA Holdings, Inc. (2)		(402	)		(34,821	)

Description	Shares or Principal Amount			Value
Common Stocks (continued)
United States (continued)
HCP, Inc.		(831	)	$	(30,797	)
Health Care REIT, Inc.		(1,591	)		(100,790	)
Hess Corp.		(2,088	)		(124,132	)
Howard Hughes Corp. (2)		(450	)		(56,516	)
International Business Machines Corp.		(1,281	)		(189,447	)
J.C. Penney Co., Inc. (2)		(9,909	)		(90,271	)
L Brands, Inc.		(1,025	)		(85,998	)
Lear Corp.		(600	)		(61,674	)
LinkedIn Corp., Class A (2)		(691	)		(124,795	)
Marathon Oil Corp.		(5,143	)		(88,922	)
Marathon Petroleum Corp.		(1,918	)		(90,741	)
Marriott International, Inc., Class A		(850	)		(60,061	)
Maxim Integrated Products, Inc.		(1,800	)		(60,606	)
Monsanto Co.		(2,026	)		(197,839	)
Motorola Solutions, Inc.		(1,031	)		(66,829	)
National Oilwell Varco, Inc.		(6,698	)		(283,526	)
Occidental Petroleum Corp.		(2,488	)		(181,649	)
Omnicom Group, Inc.		(2,135	)		(143,002	)
Outerwall, Inc.		(1,541	)		(94,926	)
Parker-Hannifin Corp.		(1,895	)		(204,016	)
Pennsylvania Real Estate Investment Trust		(3,650	)		(72,416	)
Praxair, Inc.		(975	)		(103,106	)
Primerica, Inc.		(3,448	)		(146,506	)
Progressive Corp.		(2,000	)		(59,920	)
Regions Financial Corp.		(6,400	)		(61,376	)
Skechers U.S.A., Inc., Class A (2)		(200	)		(28,148	)
Skyworks Solutions, Inc.		(1,026	)		(89,621	)
Sonic Corp.		(3,400	)		(91,800	)
Stryker Corp.		(1,161	)		(114,533	)
Union Pacific Corp.		(930	)		(79,738	)
United Parcel Service, Inc., Class B		(1,157	)		(112,981	)
UnitedHealth Group, Inc.		(1,762	)		(203,863	)
Ventas, Inc.		(1,109	)		(61,017	)
Viacom, Inc., Class B		(1,334	)		(54,387	)
W.W. Grainger, Inc.		(655	)		(146,353	)
Waddell & Reed Financial, Inc., Class A		(1,825	)		(71,303	)
Webster Financial Corp.		(1,800	)		(63,684	)
Workday, Inc., Class A (2)		(1,257	)		(88,317	)
					(6,901,375	)
Total Common Stocks (proceeds $(9,189,006))					(8,529,322	)
Corporate Bonds & Notes — (0.4)%
United States — (0.4)%
APX Group, Inc., 8.750%, 12/1/2020	$	(50,000	)		(44,250	)
SandRidge Energy, Inc., 8.750%, 6/1/2020 (6)(7)		(43,000	)		(29,670	)
SESI LLC, 7.125%, 12/15/2021		(26,000	)		(26,069	)
Sungard Availability Services Capital, Inc., 8.750%, 4/1/2022 (6)(7)		(54,000	)		(36,315	)
Total Corporate Bonds & Notes (proceeds $(133,329))					(136,304	)
Exchange Traded Funds — (4.7)%
United States — (4.7)%
Consumer Discretionary Select Sector SPDR Fund		(2,395	)		(179,577	)
Energy Select Sector SPDR Fund		(3,785	)		(251,438	)
Health Care Select Sector SPDR Fund		(1,560	)		(109,964	)
Industrial Select Sector SPDR Fund		(250	)		(12,823	)

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

65

August 31, 2015

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares or Contracts			Value
Exchange Traded Funds (continued)
United States (continued)
iShares MSCI Japan ETF		(7,400	)	$	(89,688	)
iShares Nasdaq Biotechnology ETF		(88	)		(30,095	)
iShares Russell 2000 ETF		(2,140	)		(246,528	)
iShares Russell 2000 Growth ETF		(765	)		(109,540	)
iShares Russell 2000 Value ETF		(280	)		(26,236	)
iShares Russell Mid-Cap Growth ETF		(1,255	)		(115,987	)
iShares Russell Mid-Cap Value ETF		(2,835	)		(197,770	)
SPDR S&P 500 ETF Trust		(1,426	)		(281,877	)
Total Exchange Traded Funds (proceeds $(1,760,637))					(1,651,523	)
Written Call Options — (0.1)%
Germany — 0.0%
EURO STOXX 50 Index, Exercise Price: €3,525.00, 9/18/2015 (2)		(60	)		(2,895	)
United States — (0.1)%
Valeant Pharmaceuticals International, Inc., Exercise Price: $240.00, 10/16/2015 (2)		(4	)		(3,680	)
Valeant Pharmaceuticals International, Inc., Exercise Price: $250.00, 9/18/2015 (2)		(1	)		(170	)
Valeant Pharmaceuticals International, Inc., Exercise Price: $240.00, 9/18/2015 (2)		(1	)		(462	)
SemGroup Corp., Class A, Exercise Price: $85.00, 10/16/2015 (2)		(1	)		(28	)
Sealed Air Corp., Exercise Price: $52.50, 10/16/2015 (2)		(8	)		(1,160	)
Sealed Air Corp., Exercise Price: $52.50, 9/18/2015 (2)		(8	)		(800	)
Seagate Technology PLC, Exercise Price: $52.50, 9/18/2015 (2)		(2	)		(218	)
SanDisk Corp., Exercise Price: $65.00, 9/18/2015 (2)		(2	)		(40	)
SanDisk Corp., Exercise Price: $62.50, 9/18/2015 (2)		(2	)		(96	)
SanDisk Corp., Exercise Price: $60.00, 9/18/2015 (2)		(2	)		(160	)
Masco Corp., Exercise Price: $28.00, 10/16/2015 (2)		(7	)		(280	)
Masco Corp., Exercise Price: $27.00, 10/16/2015 (2)		(3	)		(225	)
Masco Corp., Exercise Price: $26.00, 9/18/2015 (2)		(4	)		(380	)
LyondellBasell Industries NV, Class A, Exercise Price: $105.00, 9/18/2015 (2)		(4	)		(20	)
Intrexon Corp., Exercise Price: $55.00, 10/16/2015 (2)		(1	)		(215	)
Intrexon Corp., Exercise Price: $60.00, 10/16/2015 (2)		(2	)		(175	)
Intrexon Corp., Exercise Price: $50.00, 10/16/2015 (2)		(9	)		(2,115	)
Intrexon Corp., Exercise Price: $45.00, 10/16/2015 (2)		(4	)		(1,800	)
Intrexon Corp., Exercise Price: $45.00, 9/18/2015 (2)		(2	)		(520	)

Description	Contracts			Value
Written Call Options (continued)
United States (continued)
Intrexon Corp., Exercise Price: $60.00, 9/18/2015 (2)		(3	)	$	(135	)
Intrexon Corp., Exercise Price: $55.00, 9/18/2015 (2)		(5	)		(200	)
Halozyme Therapeutics, Inc., Exercise Price: $17.00, 12/18/2015 (2)		(5	)		(1,575	)
Halozyme Therapeutics, Inc., Exercise Price: $24.00, 9/18/2015 (2)		(5	)		(50	)
Halozyme Therapeutics, Inc., Exercise Price: $23.00, 9/18/2015 (2)		(5	)		(65	)
Halozyme Therapeutics, Inc., Exercise Price: $20.00, 9/18/2015 (2)		(11	)		(550	)
Halozyme Therapeutics, Inc., Exercise Price: $19.00, 9/18/2015 (2)		(11	)		(495	)
Halozyme Therapeutics, Inc., Exercise Price: $17.00, 9/18/2015 (2)		(1	)		(140	)
Delta Air Lines, Inc., Exercise Price: $47.00, 9/18/2015 (2)		(12	)		(420	)
Alere, Inc., Exercise Price: $55.00, 11/20/2015 (2)		(4	)		(892	)
S&P 500 Index, Exercise Price: $2,090.00, 9/18/2015 (2)		(33	)		(5,940	)
United Rentals, Inc., Exercise Price: $100.00, 9/18/2015 (2)		(4	)		(20	)
Valeant Pharmaceuticals International, Inc., Exercise Price: $220.00, 10/16/2015 (2)		(3	)		(6,225	)
Valeant Pharmaceuticals International, Inc., Exercise Price: $230.00, 10/16/2015 (2)		(7	)		(9,870	)
					(39,121	)
Total Written Call Options (proceeds $(132,053))					(42,016	)
Written Put Options — (1.2)%
Germany — (0.2)%
EURO STOXX 50 Index, Exercise Price: €3,300.00, 9/18/2015 (2)		(60	)		(74,129	)
United States — (1.0)%
iShares Russell 2000 ETF, Exercise Price: $90.00, 12/31/2015 (2)		(46	)		(5,612	)
S&P 500 Index, Exercise Price: $2,015.00, 9/18/2015 (2)		(33	)		(201,630	)
S&P 500 Index, Exercise Price: $2,060.00, 9/18/2015 (2)		(13	)		(130,650	)
					(337,892	)
Total Written Put Options (proceeds $(169,115))					(412,021	)
Total Short Securities and Written Options (proceeds $(11,403,145))				$	(10,789,732	)

Industry Allocation
Industry	Value		% of Total Net Assets
Airlines	$	794,403		2.3	%
Auto Parts & Equipment		491,337		1.4
Banks		233,909		0.7
Beverages		363,011		1.0

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

66

BMO Funds

Alternative Strategies Fund (continued)

Industry Allocation
Industry	Value			% of Total Net Assets
Biotechnology	$	791,053			2.2	%
Building Materials		191,217			0.5
Chemicals		1,479,217			4.2
Commercial Services		837,107			2.4
Computers		1,104,780			3.1
Diversified Financial Services		121,210			0.3
Electronics		496,119			1.4
Entertainment		119,583			0.3
Healthcare-Products		827,604			2.3
Healthcare-Services		466,033			1.3
Holding Companies-Diversified		344,240			1.0
Insurance		157,940			0.5
Internet		1,013,858			2.9
Lodging		322,252			0.9
Media		627,609			1.8
Metal Fabricate/Hardware		337,152			1.0
Miscellaneous Manufacturing		24,194			0.1
Office/Business Equipment		116,285			0.3
Oil & Gas		1,327,260			3.8
Oil & Gas Services		309,039			0.9
Packaging & Containers		598,049			1.7
Pharmaceuticals		1,385,853			3.9
Pipelines		235,400			0.7
Real Estate		234,922			0.6
Real Estate Investment Trusts		152,420			0.4
Retail		1,436,300			4.1
Semiconductors		318,597			0.9
Software		565,985			1.6
Telecommunications		745,722			2.1
Toys/Games/Hobbies		176,743			0.5
Total Common Stocks		18,746,403			53.1
Bank Loans		4,004,709			11.4
Convertible Bonds		51,516			0.1
Corporate Bonds & Notes		553,087			1.6
Exchange Traded Funds		238,070			0.7
Purchased Call Options		42,046			0.1
Purchased Put Options		28,712			0.1
Short-Term Investments		11,970,328			33.9
Total Investments		35,634,871			101.0
Other Assets and Liabilities		10,426,951			29.6
Short Securities and Written Options		(10,789,732	)		(30.6	)
Total Net Assets	$	35,272,090			100.0	%
Advertising		(143,002	)		(0.4	)
Airlines		(87,102	)		(0.2	)
Apparel		(28,148	)		(0.1	)
Auto Manufacturers		(73,428	)		(0.2	)
Auto Parts & Equipment		(61,674	)		(0.2	)
Banks		(258,908	)		(0.7	)
Beverages		(57,627	)		(0.2	)
Chemicals		(300,945	)		(0.8	)
Computers		(728,496	)		(2.1	)
Distribution/Wholesale		(201,273	)		(0.6	)
Diversified Financial Services		(71,303	)		(0.2	)
Electronics		(200,651	)		(0.6	)
Food		(76,784	)		(0.2	)
Forest Products & Paper		(80,420	)		(0.2	)
Healthcare-Products		(476,669	)		(1.3	)
Healthcare-Services		(391,931	)		(1.1	)

Industry	Value			% of Total Net Assets
Insurance	$	(308,909	)		(0.9	)%
Internet		(124,795	)		(0.3	)
Iron/Steel		(56,736	)		(0.2	)
Lodging		(60,061	)		(0.2	)
Machinery-Diversified		(359,598	)		(1.0	)
Media		(87,162	)		(0.2	)
Mining		(203,147	)		(0.6	)
Miscellaneous Manufacturing		(323,024	)		(0.9	)
Oil & Gas		(830,725	)		(2.4	)
Oil & Gas Services		(557,194	)		(1.6	)
Pharmaceuticals		(455,244	)		(1.3	)
Real Estate		(56,515	)		(0.2	)
Real Estate Investment Trusts		(265,020	)		(0.7	)
Retail		(374,066	)		(1.1	)
Semiconductors		(248,973	)		(0.7	)
Software		(324,090	)		(0.9	)
Telecommunications		(353,643	)		(1.0	)
Transportation		(302,059	)		(0.9	)
Total Common Stocks		(8,529,322	)		(24.2	)
Bank Loans		(18,546	)		(0.0	)
Corporate Bonds & Notes		(136,304	)		(0.4	)
Exchange Traded Funds		(1,651,523	)		(4.7	)
Written Call Options		(42,016	)		(0.1	)
Written Put Options		(412,021	)		(1.2	)
Total Short Securities and Written Options	$	(10,789,732	)		(30.6	)%

Ultra Short Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 98.1%
Alabama — 3.7%
Bessemer Governmental Utility Services Corp., 0.300%, 12/1/2030 (6)(7)(9)	$	5,085,000	$	5,085,000
Health Care Authority for Baptist Health, 0.500%, 11/1/2042 (9)		14,125,000		14,125,000
Rib Floater Trust Various States, 0.100%, 9/1/2026, Call 9/1/2022 (6)(7)(9)		8,000,000		8,000,000
Other securities				1,228,121
				28,438,121
Arizona — 1.6%
Arizona Health Facilities Authority:
1.870%, 2/5/2020, Call 8/9/2019 (9)		3,250,000		3,344,867
1.870%, 2/5/2020, Call 8/9/2019 (9)		750,000		771,892
Scottsdale Industrial Development Authority, 5.000%, 9/1/2016		140,000		146,299
Scottsdale Industrial Development Authority, FSA, 1.720%, 9/1/2045 (9)(13)		4,275,000		4,275,000
Other securities				3,521,492
				12,059,550

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

67

August 31, 2015

Schedules of Investments

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Arkansas — 2.3%
Arkansas Development Finance Authority:
0.730%, 9/1/2044, Call 9/1/2015 (9)	$	6,000,000	$	6,000,000
1.120%, 9/1/2019, Call 3/1/2019 (9)		3,000,000		3,007,860
Little Rock Metrocentere Improvement District No. 1, 0.020%, 12/1/2025, Call 9/1/2015 (9)		5,700,000		5,700,000
Other securities				2,691,429
				17,399,289
California — 13.2%
Austin Trust:
0.210%, 1/1/2039, Call 1/1/2019 (6)(7)(9)		10,000,000		10,000,000
0.260%, 5/15/2036, Call 5/15/2018 (9)		5,000,000		5,000,000
Austin Trust, AGM NATL-RE, 0.240%, 8/1/2032 (9)		6,920,000		6,920,000
Bay Area Toll Authority:
1.000%, 4/3/2017, Call 10/1/2016 (9)		8,000,000		8,024,000
1.120%, 4/1/2024, Call 10/1/2023 (9)		1,750,000		1,737,190
Deutsche Bank Spears/Lifers Trust:
0.230%, 8/15/2041, Call 8/15/2023 (6)(7)(9)		250,000		250,000
0.320%, 8/1/2047 (6)(7)(9)		16,159,000		16,159,000
Northern California Gas Authority No. 1:
0.790%, 7/1/2017 (9)		65,000		64,797
0.820%, 7/1/2019 (9)		7,500,000		7,463,475
Puttable Floating Option Tax-Exempt Receipts, NATL-RE, 0.300%, 8/1/2037, Call 8/1/2017 (6)(7)(9)		2,500,000		2,500,000
State of California, FSA, 0.200%, 8/1/2027 (6)(7)(9)		7,445,000		7,445,000
Tender Option Bond Trust Receipts/Certificates, 0.120%, 4/1/2021 (6)(7)(9)		5,000,000		5,000,000
Other securities				30,477,315
				101,040,777
Colorado — 1.5%
E-470 Public Highway Authority, 1.200%, 8/31/2017, Call 3/1/2017 (9)		4,600,000		4,620,378
E-470 Public Highway Authority, NATL-RE, 5.250%, 9/1/2016		100,000		104,338
Other securities				6,942,479
				11,667,195
Connecticut — 0.8%
State of Connecticut, 0.250%, 1/1/2017, Call 9/1/2015 (9)		5,000,000		5,000,000
Other securities				1,306,825
				6,306,825

Description	Principal Amount		Value
Municipals (continued)
Delaware — 0.0%
Other securities			$	202,822
District of Columbia — 1.9%
Deutsche Bank Spears/Lifers Trust, 0.270%, 6/1/2031, Call 6/1/2021 (6)(7)(9)	$	8,185,000		8,185,000
District of Columbia, AGC, 0.220%, 7/15/2017 (6)(7)(9)		5,160,000		5,160,000
Other securities				1,040,465
				14,385,465
Florida — 3.2%
City of Gulf Breeze, 1.750%, 12/1/2015 (9)		9,000,000		9,029,430
Other securities				15,562,148
				24,591,578
Georgia — 3.7%
Appling County Development Authority:
0.250%, 9/1/2029, Call 9/1/2015 (9)		9,200,000		9,200,000
0.250%, 9/1/2041, Call 9/1/2015 (9)		6,000,000		6,000,000
Puttable Floating Option Tax-Exempt Receipts, AMBAC, 0.250%, 10/1/2024, Call 10/1/2017 (6)(7)(9)		4,000,000		4,000,000
Other securities				9,470,658
				28,670,658
Guam — 0.0%
Other securities				311,952
Idaho — 1.2%
Idaho Housing & Finance Association, 0.270%, 1/1/2038, Call 9/2/2015 (9)		9,100,000		9,100,000
Other securities				131,085
				9,231,085
Illinois — 7.4%
Chicago Board of Education, 4.020%, 3/1/2017, Call 9/1/2016 (9)		4,250,000		4,178,217
Deutsche Bank Spears/Lifers Trust, FGIC, 0.250%, 1/1/2030 (6)(7)(9)		9,085,000		9,085,000
Tender Option Bond Trust Receipts/Certificates, 0.170%, 2/15/2017 (6)(7)(9)		5,000,000		5,000,000
Town of Cicero, 4.000%, 1/1/2016		2,670,000		2,701,880
Town of Cicero, AGM, 4.000%, 1/1/2017		1,900,000		1,978,318
Other securities				33,454,795
				56,398,210
Indiana — 3.1%
Indiana Finance Authority, 2.200%, 2/1/2016, Call 10/2/2015		4,450,000		4,454,984
Tender Option Bond Trust Receipts/Certificates, 0.370%, 4/15/2018 (6)(7)(9)		8,500,000		8,500,000
Other securities				10,972,835
				23,927,819

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

68

BMO Funds

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Iowa — 0.4%
Other securities			$	3,001,950
Kansas — 0.2%
Other securities				1,730,087
Kentucky — 1.3%
Deutsche Bank Spears/Lifers Trust, NATL-RE, 0.280%, 9/1/2042, Call 9/1/2017 (6)(7)(9)	$	3,000,000		3,000,000
Kentucky State Property & Building Commission, AGC, 0.220%, 2/1/2027, Call 2/1/2019 (6)(7)(9)		5,990,000		5,990,000
Other securities				683,094
				9,673,094
Louisiana — 3.1%
Deutsche Bank Spears/Lifers Trust, 0.230%, 10/1/2040, Call 10/1/2020 (6)(7)(9)		7,000,000		7,000,000
East Baton Rouge Sewerage Commission, 0.632%, 8/1/2018, Call 2/1/2018 (9)		6,355,000		6,376,670
Other securities				10,218,710
				23,595,380
Maryland — 0.1%
Other securities				616,037
Massachusetts — 0.4%
Other securities				2,722,205
Michigan — 3.3%
Other securities				24,990,779
Minnesota — 1.1%
Other securities				8,800,982
Mississippi — 1.2%
Mississippi Business Finance Corp., 0.960%, 12/1/2036, Call 9/1/2015 (9)		8,000,000		8,000,000
Other securities				1,594,532
				9,594,532
Missouri — 1.5%
Howard Bend Levee District, XLCA, 0.280%, 3/1/2027 (9)		7,130,000		7,130,000
Other securities				4,352,201
				11,482,201
Nebraska — 0.4%
Other securities				3,223,800
Nevada — 0.4%
Deutsche Bank Spears/Lifers Trust, FSA AMBAC, 0.270%, 6/15/2022, Call 6/15/2017 (6)(7)(9)		2,720,000		2,720,000
New Hampshire — 0.1%
Other securities				765,774
New Jersey — 9.1%
Deutsche Bank Spears/Lifers Trust, 0.230%, 3/1/2034 (6)(7)(9)		11,920,000		11,920,000

Description	Principal Amount		Value
Municipals (continued)
New Jersey (continued)
New Jersey Economic Development Authority:
0.320%, 11/1/2031, Call 9/1/2015 (9)	$	7,610,000	$	7,610,000
0.320%, 11/1/2040, Call 9/1/2015 (9)		4,900,000		4,900,000
0.320%, 11/1/2040, Call 9/1/2015 (9)		5,970,000		5,970,000
1.720%, 2/1/2016, Call 9/22/2015 (9)		3,300,000		3,300,198
1.820%, 2/1/2018, Call 8/1/2017 (9)		500,000		493,235
2.032%, 2/1/2018, Call 8/1/2017 (9)		1,750,000		1,758,138
5.000%, 6/15/2017		250,000		261,720
New Jersey Health Care Facilities Financing Authority:
0.320%, 7/1/2038, Call 9/1/2015 (9)		3,900,000		3,900,000
3.250%, 7/1/2016		515,000		526,814
New Jersey Health Care Facilities Financing Authority, AGC, 0.410%, 7/1/2038, Call 7/1/2019 (6)(7)(9)		7,002,902		7,002,902
New Jersey State Turnpike Authority, 0.554%, 1/1/2017, Call 7/1/2016 (9)		5,000,000		5,003,250
New Jersey Transportation Trust Fund Authority:
1.020%, 12/15/2019, Call 6/15/2019 (9)		5,000,000		4,757,550
5.000%, 12/15/2017		1,200,000		1,262,040
New Jersey Transportation Trust Fund Authority, FGIC, 0.210%, 12/15/2030 (6)(7)(9)		1,440,000		1,440,000
Other securities				9,985,548
				70,091,395
New Mexico — 0.7%
New Mexico Municipal Energy Acquisition Authority, 0.876%, 8/1/2019, Call 2/1/2019 (9)		5,500,000		5,509,240
New York — 7.2%
City of New York, AGM, 0.200%, 11/1/2026 (9)		10,000,000		10,000,000
Metropolitan Transportation Authority, 0.626%, 11/1/2015 (9)		300,000		299,979
Metropolitan Transportation Authority, AGM:
0.387%, 11/1/2022, Call 9/3/2015 (9)(13)		3,250,000		3,140,377
0.396%, 11/1/2022, Call 9/2/2015 (9)(13)		3,800,000		3,671,685
0.730%, 5/15/2018, Call 11/15/2017 (9)		4,650,000		4,611,637
New York State Energy Research & Development Authority, 0.148%, 4/1/2020, Call 9/30/2015 (9)(13)		145,000		136,627

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

69

August 31, 2015

Schedules of Investments

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
New York (continued)
New York State Energy Research & Development Authority, NATL-RE, 0.159%, 12/1/2020, Call 9/9/2015 (9)(13)	$	7,350,000	$	6,911,815
Oswego City School District, SAW, 1.000%, 4/21/2016		5,950,000		5,969,278
Puttable Floating Option Tax-Exempt Receipts, AMBAC, 0.550%, 12/1/2025, Call 9/1/2015 (6)(7)(9)		6,330,000		6,330,000
Other securities				13,802,942
				54,874,340
North Carolina — 0.3%
Other securities				1,935,823
North Dakota — 1.2%
Other securities				9,039,537
Ohio — 2.5%
County of Montgomery, 0.190%, 5/1/2034, Call 5/1/2019 (6)(7)(9)		7,000,000		7,000,000
Lancaster Port Authority, 0.846%, 8/1/2019, Call 2/1/2019 (9)		5,000,000		4,977,150
State of Ohio, 0.350%, 1/15/2045, Call 10/2/2015 (9)		5,500,000		5,500,000
Other securities				1,602,032
				19,079,182
Oklahoma — 0.1%
Other securities				643,429
Oregon — 0.5%
Other securities				4,226,981
Pennsylvania — 7.0%
Butler County Hospital Authority:
0.220%, 10/1/2032, Call 10/1/2015 (9)		10,645,000		10,645,000
0.220%, 10/1/2042, Call 10/1/2015 (9)		1,570,000		1,570,000
Pennsylvania Turnpike Commission:
0.620%, 12/1/2017, Call 6/1/2017 (9)		100,000		99,776
0.700%, 12/1/2018, Call 6/1/2018 (9)		6,000,000		5,977,380
1.170%, 12/1/2019, Call 6/1/2019 (9)		2,225,000		2,245,381
Pennsylvania Turnpike Commission, AGC, 5.000%, 6/1/2017		600,000		643,128
Puttable Floating Option Tax-Exempt Receipts, FGIC, 0.260%, 6/1/2034 (6)(7)(9)		7,020,000		7,020,000
Other securities				25,486,248
				53,686,913
Puerto Rico — 0.2%
Other securities				1,570,572

Description	Principal Amount		Value
Municipals (continued)
Rhode Island — 0.1%
Other securities			$	1,070,910
South Carolina — 0.4%
Other securities				2,728,975
South Dakota — 0.0%
Other securities				355,000
Tennessee — 0.1%
Other securities				698,545
Texas — 7.6%
Port of Port Arthur Navigation District:
0.300%, 12/1/2039, Call 9/1/2015 (9)	$	9,700,000		9,700,000
0.300%, 4/1/2040, Call 9/1/2015 (9)		1,250,000		1,250,000
0.300%, 11/1/2040, Call 9/1/2015 (9)		10,000,000		10,000,000
Texas Transportation Commission, 0.250%, 4/1/2026, Call 9/1/2015 (9)		9,000,000		9,000,000
Other securities				28,090,919
				58,040,919
Utah — 0.2%
Other securities				1,791,543
Vermont — 0.0%
Other securities				129,279
Virginia — 0.2%
Other securities				1,573,684
Washington — 1.8%
Barclays Capital Municipal Trust Receipts, 0.150%, 6/1/2034, Call 6/1/2019 (6)(7)(9)		11,320,000		11,320,000
Other securities				2,152,959
				13,472,959
West Virginia — 0.0%
Other securities				294,879
Wisconsin — 1.8%
Other securities				13,790,105
Total Municipals (identified cost $751,772,605)				752,152,377
Mutual Funds — 0.3%
New York — 0.3%
Other securities				2,000,840
Total Mutual Funds (identified cost $2,000,000)				2,000,840
Short-Term Investments — 1.3%
Mutual Funds — 0.4%
Other securities				2,807,077
Short-Term Municipals — 0.9%
Alabama — 0.1%
Other securities				400,000
Colorado — 0.0%
Other securities				215,264
Illinois — 0.1%
Other securities				482,350

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

70

BMO Funds

Ultra Short Tax-Free Fund* (continued)

Description	Value
Short-Term Municipals (continued)
New Jersey — 0.0%
Other securities	$	202,524
New York — 0.3%
Other securities		2,353,955
Ohio — 0.3%
Other securities		2,879,748
Wisconsin — 0.1%
Other securities		568,028
Total Short-Term Municipals		7,101,869
Total Short-Term Investments (identified cost $9,906,294)		9,908,946
Total Investments — 99.7% (identified cost $763,678,899)		764,062,163
Other Assets and Liabilities — 0.3%		2,619,633
Total Net Assets — 100.0%	$	766,681,796

Short Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 96.7%
Alabama — 0.4%
Other securities			$	518,540
Alaska — 0.7%
Other securities				884,341
Arizona — 1.7%
Other securities				2,210,567
Arkansas — 0.8%
Other securities				1,087,596
California — 8.2%
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020	$	675,000		777,944
Northern California Gas Authority No. 1:
0.790%, 7/1/2017 (9)		70,000		69,781
0.820%, 7/1/2019 (9)		1,040,000		1,034,935
State of California:
0.834%, 12/1/2017, Call 6/1/2017 (9)		250,000		252,840
0.964%, 12/3/2018, Call 6/1/2018 (9)		610,000		619,748
Other securities				7,955,567
				10,710,815
Colorado — 4.0%
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (6)(7)		590,000		585,953
3.000%, 10/1/2017		380,000		393,277
3.000%, 11/15/2017		200,000		208,368
Colorado Health Facilities Authority:
1.875%, 11/6/2019 (9)		400,000		398,160
4.000%, 12/1/2018		250,000		265,625
4.500%, 2/1/2019		250,000		265,993
5.125%, 11/15/2021, Call 11/15/2016 (9)		50,000		52,559

Description	Principal Amount		Value
Municipals (continued)
Colorado (continued)
E-470 Public Highway Authority, 1.200%, 8/31/2017, Call 3/1/2017 (9)	$	550,000	$	552,436
E-470 Public Highway Authority, NATL-RE:
4.500%, 9/1/2016		120,000		124,267
5.000%, 9/1/2017, Call 9/1/2016		300,000		311,814
Other securities				2,063,285
				5,221,737
Connecticut — 0.5%
Other securities				676,053
Delaware — 0.1%
Other securities				185,555
Florida — 6.2%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020		500,000		569,290
5.000%, 4/1/2021		400,000		460,296
Miami-Dade County School Board Foundation, Inc.:
5.000%, 5/1/2018		300,000		329,682
5.000%, 5/1/2019		225,000		252,862
Miami-Dade County School Board, AMBAC, 5.000%, 8/1/2023, Call 8/1/2018		100,000		110,203
Sumter County Industrial Development Authority:
4.000%, 7/1/2017		500,000		523,835
5.000%, 7/1/2020		235,000		262,575
5.000%, 7/1/2020		300,000		337,533
Other securities				5,327,243
				8,173,519
Georgia — 2.8%
Other securities				3,631,097
Idaho — 0.2%
Other securities				257,398
Illinois — 9.4%
Chicago Board of Education, 4.020%, 3/1/2017, Call 9/1/2016 (9)		1,000,000		983,110
Town of Cicero, 5.000%, 1/1/2020		500,000		557,695
Town of Cicero, AGM, 4.000%, 1/1/2017		250,000		260,305
Other securities				10,445,865
				12,246,975
Indiana — 3.4%
City of Whiting, 1.850%, 10/1/2019 (9)		1,000,000		997,650
County of Lake:
2.000%, 7/15/2017		245,000		244,998
2.000%, 1/15/2018		520,000		528,944
Other securities				2,646,878
				4,418,470
Kansas — 0.7%
Other securities				925,447
Kentucky — 0.9%
Deutsche Bank Spears/Lifers Trust, NATL-RE, 0.280%, 9/1/2042, Call 9/1/2017 (6)(7)(9)		1,000,000		1,000,000

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

71

August 31, 2015

Schedules of Investments

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Kentucky (continued)
Other securities			$	227,110
				1,227,110
Louisiana — 1.1%
Other securities				1,468,039
Maine — 0.2%
Other securities				254,901
Maryland — 0.3%
Other securities				443,841
Massachusetts — 0.6%
Other securities				825,628
Michigan — 4.7%
Michigan Finance Authority, 5.000%, 7/1/2016	$	725,000		747,004
Michigan State Hospital Finance Authority:
5.000%, 11/15/2018, Call 11/15/2016		200,000		210,356
5.000%, 11/15/2020, Call 11/15/2019		520,000		588,583
Other securities				4,594,277
				6,140,220
Minnesota — 0.6%
Other securities				833,561
Mississippi — 1.4%
Other securities				1,827,978
Missouri — 2.4%
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 0.035%, 12/1/2022, Call 9/1/2015 (9)(13)		805,000		753,135
Other securities				2,408,775
				3,161,910
Nebraska — 0.2%
Other securities				305,933
Nevada — 1.1%
Las Vegas Valley Water District, 0.250%, 6/1/2036, Call 9/1/2015 (9)		1,000,000		1,000,000
Other securities				377,914
				1,377,914
New Hampshire — 0.2%
Other securities				270,930
New Jersey — 3.7%
New Jersey Economic Development Authority:
1.720%, 2/1/2016, Call 9/22/2015 (9)		850,000		850,051
2.032%, 2/1/2018, Call 8/1/2017 (9)		250,000		251,162
New Jersey Higher Education Student Assistance Authority:
4.875%, 12/1/2024, Call 12/1/2019		435,000		466,181
5.000%, 12/1/2017		370,000		399,023
5.000%, 6/1/2018		100,000		108,767

Description	Principal Amount		Value
Municipals (continued)
New Jersey (continued)
New Jersey Transportation Trust Fund Authority:
1.020%, 12/15/2019, Call 6/15/2019 (9)	$	475,000	$	451,967
4.000%, 12/15/2019		75,000		76,957
5.000%, 6/15/2019		150,000		159,267
New Jersey Transportation Trust Fund Authority, AGM-CR, 5.250%, 12/15/2019		250,000		272,125
Other securities				1,805,149
				4,840,649
New Mexico — 1.7%
City of Farmington, 1.875%, 4/1/2020 (9)		1,000,000		998,470
Other securities				1,264,087
				2,262,557
New York — 8.7%
Long Island Power Authority, 0.782%, 11/1/2018, Call 5/1/2018 (9)		1,000,000		1,001,320
Long Island Power Authority, NATL-RE, 5.000%, 5/1/2017		150,000		160,296
Metropolitan Transportation Authority, 5.000%, 11/15/2021, Call 11/15/2016		150,000		158,177
Metropolitan Transportation Authority, AGM:
0.387%, 11/1/2022, Call 9/3/2015 (9)(13)		525,000		507,292
0.396%, 11/1/2022, Call 9/2/2015 (9)(13)		950,000		917,921
New York City Transit Auth/Metropolitan Transportation Auth/Triborough Bridge & Tunnel, AMBAC:
0.527%, 1/1/2030, Call 9/7/2015 (9)(13)		600,000		561,254
0.542%, 1/1/2030, Call 10/2/2015 (9)(13)		125,000		116,188
0.544%, 1/1/2030, Call 9/2/2015 (9)(13)		125,000		116,845
0.546%, 1/1/2030, Call 9/7/2015 (9)(13)		625,000		581,203
New York City Transitional Finance Authority, 0.140%, 11/1/2022 (9)		1,000,000		1,000,000
New York State Energy Research & Development Authority, NATL-RE, 0.159%, 12/1/2020, Call 9/9/2015 (9)(13)		1,000,000		940,383
New York State Housing Finance Agency, FNMA/FHLMC COLL, 0.900%, 11/1/2017		705,000		703,942
State of New York, AGM, 0.225%, 3/15/2021, Call 9/3/2015 (9)(13)		25,000		24,294
State of New York, NATL-RE FGIC:
0.225%, 2/15/2022, Call 9/3/2015 (9)(13)		630,000		606,314
0.225%, 2/13/2032, Call 9/3/2015 (9)(13)		70,000		63,318
Other securities				3,872,028
				11,330,775

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

72

BMO Funds

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
North Carolina — 1.7%
State of North Carolina, State Appropriation, 5.000%, 5/1/2019, Call 5/1/2018	$	700,000	$	775,292
Other securities				1,438,343
				2,213,635
North Dakota — 1.1%
Other securities				1,482,132
Ohio — 1.2%
Other securities				1,507,903
Oklahoma — 0.3%
Other securities				344,972
Oregon — 0.1%
Other securities				100,866
Pennsylvania — 6.8%
Commonwealth of Pennsylvania:
5.000%, 4/15/2020, Call 4/15/2019		600,000		676,134
5.000%, 3/15/2022		275,000		320,345
North Penn Water Authority, 0.626%, 11/1/2019, Call 5/1/2019 (9)		800,000		794,680
Pennsylvania Turnpike Commission:
0.700%, 12/1/2018, Call 6/1/2018 (9)		90,000		89,661
1.170%, 12/1/2019, Call 6/1/2019 (9)		600,000		605,496
Pennsylvania Turnpike Commission, AMBAC, 5.000%, 12/1/2024, Call 6/1/2016		250,000		258,710
Scranton School District, SAW, 1.128%, 4/2/2018, Call 10/2/2017 (9)		1,000,000		1,004,910
State Public School Building Authority, SAW, 0.926%, 9/1/2018, Call 3/1/2018 (9)		750,000		749,415
Other securities				4,384,080
				8,883,431
Puerto Rico — 0.2%
Other securities				192,890
Rhode Island — 0.5%
Tobacco Settlement Financing Corp., 2.250%, 6/1/2041, Call 6/1/2025		720,000		710,258
South Carolina — 0.9%
RBC Municipal Products, Inc. Trust, 0.170%, 7/1/2018 (6)(7)(9)		1,000,000		1,000,000
Other securities				184,972
				1,184,972
Tennessee — 0.7%
Other securities				875,088
Texas — 7.6%
City of The Colony, 6.000%, 2/15/2019		795,000		922,113
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 2/1/2016 (9)		730,000		735,139
Port of Port Arthur Navigation District, 0.300%, 12/1/2039, Call 9/1/2015 (9)		1,000,000		1,000,000

Description	Shares or Principal Amount		Value
Municipals (continued)
Texas (continued)
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	$	700,000	$	707,630
5.000%, 2/15/2022, Call 2/15/2017		90,000		95,384
Tarrant County Cultural Education Facilities Finance Corp., NATL-RE, 5.000%, 2/15/2021, Call 2/15/2017		180,000		190,742
Texas Municipal Gas Acquisition & Supply Corp., 5.625%, 12/15/2017		735,000		775,609
Texas Municipal Gas Acquisition & Supply Corp. I, 0.742%, 12/15/2017, Call 9/1/2015 (9)		25,000		24,613
Other securities				5,518,117
				9,969,347
Utah — 0.6%
Salt Lake City Corp., AMBAC, 0.114%, 5/15/2020, Call 9/1/2015 (9)(13)		800,000		771,162
Vermont — 0.3%
Other securities				383,186
Virgin Islands — 0.1%
Other securities				155,778
Virginia — 2.1%
Henrico County Economic Development Authority, AGM, 0.334%, 8/23/2027, Call 9/1/2015 (9)(13)		1,350,000		1,266,590
Peninsula Ports Authority, 0.010%, 7/1/2016 (9)		1,000,000		1,000,000
Other securities				505,291
				2,771,881
Washington — 1.1%
Other securities				1,393,419
Wisconsin — 4.5%
Arcadia School District, 3.000%, 3/15/2019, Call 3/15/2017		700,000		720,818
City of Menasha:
4.300%, 9/1/2015		200,000		200,000
4.400%, 9/1/2017		500,000		500,000
Wisconsin Health & Educational Facilities Authority:
2.750%, 5/1/2017		130,000		130,988
3.250%, 5/1/2018		200,000		202,390
4.000%, 8/15/2016		750,000		768,120
4.000%, 3/1/2017		150,000		156,203
4.000%, 8/15/2018		300,000		317,190
5.000%, 3/1/2020		200,000		222,480
Other securities				2,631,169
				5,849,358
Total Municipals (identified cost $125,798,868)				126,510,334
Mutual Funds — 0.6%
BMO Ultra Short Tax-Free Fund (4)		84,425		851,005
Total Mutual Funds (identified cost $851,848)				851,005

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

73

August 31, 2015

Schedules of Investments

Short Tax-Free Fund* (continued)

Description	Shares or Principal Amount		Value
Short-Term Investments — 2.3%
Mutual Funds — 2.3%
BMO Tax-Free Money Market Fund, Class I, 0.040% (4)		2,946,935	$	2,946,935
Total Short-Term Investments (identified cost $2,946,935)				2,946,935
Total Investments — 99.6% (identified cost $129,597,651)				130,308,274
Other Assets and Liabilities — 0.4%				567,676
Total Net Assets — 100.0%			$	130,875,950

Short-Term Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 17.0%
Automobiles — 6.7%
AmeriCredit Auto Receivables Trust:
Class C, (Series 2012-1), 2.670%, 1/8/2018	$	1,389,523	$	1,395,319
Class C, (Series 2012-4), 1.930%, 8/8/2018		2,000,000		2,010,964
Capital Auto Receivables Asset Trust, Class A2, (Series 2013-4), 0.850%, 2/21/2017		544,393		544,193
CPS Auto Receivables Trust:
Class A, (Series 2012-A), 2.780%, 6/17/2019 (6)(7)		760,278		768,394
Class A, (Series 2012-D), 1.480%, 3/16/2020 (6)(7)		264,501		265,025
Class A, (Series 2013-A), 1.310%, 6/15/2020 (6)(7)		744,551		742,797
Ford Credit Auto Lease Trust:
Class A3, (Series 2014-B), 0.890%, 9/15/2017		1,420,000		1,419,556
Class B, (Series 2014-A), 1.160%, 8/15/2017		500,000		499,761
GM Financial Leasing Trust:
Class A3, (Series 2014-1A), 1.010%, 5/22/2017 (6)(7)		2,000,000		2,001,678
Class A3, (Series 2015-2), 1.680%, 12/20/2018		2,500,000		2,513,045
Harley-Davidson Motorcycle Trust:
Class A3, (Series 2015-1), 1.410%, 6/15/2020		1,000,000		1,002,220
Class A3, (Series 2015-2), 1.300%, 3/16/2020		1,000,000		1,000,137
Mercedes Benz Auto Lease Trust, Class A4, (Series 2013-B), 0.760%, 7/15/2019		635,000		635,192
Santander Drive Auto Receivables Trust:
Class A3, (Series 2014-4), 1.080%, 9/17/2018		1,990,000		1,988,207
Class C, (Series 2012-4), 2.940%, 12/15/2017		1,580,225		1,593,073
Class C, (Series 2013-A), 3.120%, 10/15/2019 (6)(7)		940,000		956,054
Toyota Auto Receivables Owner Trust, Class A4, (Series 2012-A), 0.990%, 8/15/2017		226,136		226,253

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Automobiles (continued)
Volkswagen Auto Lease Trust, Class A3, (Series 2015-A), 1.250%, 12/20/2017	$	500,000	$	500,463
Volkswagen Auto Loan Enhanced Trust, Class A3, (Series 2014-1), 0.910%, 10/22/2018		2,165,000		2,158,133
				22,220,464
Credit Cards — 1.4%
Cabela’s Credit Card Master Trust, Class A1, (Series 2015-2), 2.250%, 7/17/2023		1,000,000		1,002,563
Capital One Multi-Asset Execution Trust, Class A3, (Series 2013-A3), 0.960%, 9/16/2019		1,600,000		1,600,758
World Financial Network Credit Card Master Trust, Class A, (Series 2015-B), 2.550%, 6/17/2024		2,000,000		1,999,600
				4,602,921
Other Financial — 8.9%
Ally Master Owner Trust, Class A2, (Series 2014-4), 1.430%, 6/17/2019		2,000,000		2,008,526
American Homes 4 Rent, Class A, (Series 2014-SFR1), 1.250%, 6/17/2031 (6)(7)(9)		979,173		969,035
Colony American Homes, Class A, (Series 2014-2A), 1.137%, 7/17/2031 (6)(7)(9)		1,978,093		1,949,826
Consumers Securitization Funding LLC, Class A1, (Series 2014-A), 1.334%, 11/1/2020		1,477,168		1,479,265
Countrywide Asset-Backed Certificates, Class A1, (Series 2007-QH2), 0.439%, 4/25/2037 (6)(7)(9)		519,769		301,467
Dell Equipment Finance Trust, Class A3, (Series 2015-1), 1.300%, 3/23/2020 (6)(7)		1,000,000		996,608
Ford Credit Floorplan Master Owner Trust, Class A1, (Series 2014-1), 1.200%, 2/15/2019		3,626,000		3,625,569
GE Equipment Transportation LLC, Class A4, (Series 2013-1), 0.900%, 3/24/2021		2,415,000		2,411,904
GMF Floorplan Owner Revolving Trust, Class A1, (Series 2015-1), 1.650%, 5/15/2020 (6)(7)		1,000,000		994,399
Hilton Grand Vacations Trust, Class A, (Series 2014-AA), 1.770%, 11/25/2026 (6)(7)		1,474,834		1,461,824
Invitation Homes Trust, Class A, (Series 2014-SFR1), 1.198%, 6/17/2031 (6)(7)(9)		2,000,000		1,976,352
Kubota Credit Owner Trust:
Class A3, (Series 2014-1A), 1.160%, 5/15/2018 (6)(7)		1,250,000		1,249,339
Class A3, (Series 2015-1A), 1.540%, 3/15/2019 (6)(7)		1,250,000		1,247,361
Nissan Master Owner Trust, Class A2, (Series 2015-A), 1.440%, 1/15/2020		2,500,000		2,491,228

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

74

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Other Financial (continued)
NYCTL Trust, Class A, (Series 2014-A), 1.030%, 11/10/2027 (6)(7)	$	444,676	$	444,521
Silver Bay Realty Trust, Class A, (Series 2014-1), 1.198%, 9/17/2031 (6)(7)(9)		1,984,627		1,956,693
SLM Student Loan Trust, Class A5, (Series 2004-5A), 0.895%, 10/25/2023 (6)(7)(9)		1,533,073		1,530,422
Westgate Resorts LLC, Class B, (Series 2014-1A), 3.250%, 12/20/2026 (6)(7)		2,350,166		2,347,228
				29,441,567
Total Asset-Backed Securities (identified cost $56,612,071)				56,264,952
Collateralized Mortgage Obligations — 3.3%
Federal Home Loan Mortgage Corporation — 1.1%
2.000%, 1/15/2023, (Series 4315)		1,468,756		1,488,732
2.757%, 5/25/2020, (Series K009)		886,063		910,958
3.000%, 12/15/2041, (Series 4293)		1,287,014		1,333,434
				3,733,124
Federal National Mortgage Association — 0.4%
1.500%, 5/25/2043, (Series 2013-60)		1,167,911		1,146,832
Government National Mortgage Association — 0.8%
1.800%, 7/16/2037, (Series 2013-179)		1,394,544		1,388,313
2.205%, 1/16/2044, (Series 2014-61)		1,240,586		1,248,510
				2,636,823
Private Sponsor — 1.0%
Banc of America Funding Trust:
Class 1A3, (Series 2007-C), 5.174%, 5/20/2036 (9)		357,098		336,621
Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		527,478		548,191
Chase Mortgage Finance Trust:
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		340,964		357,497
Class A3, (Series 2006-S4), 6.000%, 12/25/2036		289,198		262,396
GSR Mortgage Loan Trust, Class 2A4, (Series 2005-AR5), 2.741%, 10/25/2035 (9)		22,176		22,179
JP Morgan Mortgage Trust:
Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		269,303		260,973
Class 3A1, (Series 2007-A2), 2.458%, 4/25/2037 (9)		28,011		24,165
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 2.467%, 11/25/2034 (9)		708,929		725,605
Wells Fargo Mortgage Backed Securities Trust:
Class 2A4, (Series 2006-AR7), 2.732%, 5/25/2036 (9)		284,784		272,149
Class 2A4, (Series 2006-AR8), 2.674%, 4/25/2036 (9)		94,837		92,946

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor (continued)
Class A1, (Series 2006-AR19), 5.579%, 12/25/2036 (9)	$	492,269	$	477,773
				3,380,495
Total Collateralized Mortgage Obligations (identified cost $10,857,049)				10,897,274
Commercial Mortgage Securities — 3.7%
Private Sponsor — 3.7%
Banc of America Commercial Mortgage Trust, Class A3, (Series 2006-6), 5.369%, 10/10/2045		1,100,000		1,106,311
Bear Stearns Commercial Mortgage Securities Trust:
Class A3, (Series 2007-PW17), 5.736%, 6/11/2050		37,299		37,249
Class AAB, (Series 2007-T28), 5.746%, 9/11/2042		256,879		256,912
Citigroup Commercial Mortgage Trust, Class A3, (Series 2006-C4), 5.968%, 3/15/2049 (9)		1,746,831		1,770,271
GS Mortgage Securities Trust, Class A1, (Series 2014-GC22), 1.290%, 6/10/2047		959,306		953,884
JP Morgan Chase Commercial Mortgage Securities Trust, Class AM, (Series 2005-LDP5), 5.447%, 12/15/2044 (9)		1,650,000		1,653,924
JPMBB Commercial Mortgage Securities Trust, Class A2, (Series 2013-C15), 2.977%, 11/15/2045		2,000,000		2,060,116
Morgan Stanley Capital I Trust:
Class A2, (Series 2011-C1), 3.884%, 9/15/2047 (6)(7)		400,065		402,259
Class A4, (Series 2007-IQ15), 6.104%, 6/11/2049 (9)		1,279,950		1,357,666
NCUA Guaranteed Notes Trust, Class APT, (Series 2010-C1), 2.650%, 10/29/2020		1,133,673		1,138,562
Wells Fargo Commercial Mortgage Trust, Class A1, (Series 2014-LC16), 1.294%, 8/15/2050		1,483,584		1,475,263
Total Commercial Mortgage Securities (identified cost $12,741,399)				12,212,417
Corporate Bonds & Notes — 42.7%
Advertising — 0.5%
Omnicom Group, Inc., 5.900%, 4/15/2016		1,550,000		1,592,478
Auto Manufacturers — 3.0%
American Honda Finance Corp., 1.500%, 3/13/2018 (1)		2,000,000		1,995,202
Ford Motor Credit Co. LLC:
3.984%, 6/15/2016 (1)		1,000,000		1,019,691
4.207%, 4/15/2016		3,001,000		3,052,755
General Motors Financial Co., Inc.:
3.000%, 9/25/2017 (1)		500,000		502,915
4.750%, 8/15/2017		500,000		518,688
PACCAR Financial Corp., 1.450%, 3/9/2018		1,090,000		1,087,621
Toyota Motor Credit Corp., 1.450%, 1/12/2018 (1)		865,000		865,571

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

75

August 31, 2015

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Auto Manufacturers (continued)
Volkswagen Group of America Finance LLC, 1.250%, 5/23/2017 (1)(6)(7)	$	1,000,000	$	997,217
				10,039,660
Banks — 17.5%
ANZ New Zealand Int’l, Ltd./London, 1.750%, 3/29/2018 (6)(7)		1,000,000		997,006
Bank of America Corp.:
1.500%, 10/9/2015		750,000		750,576
2.000%, 1/11/2018 (1)		1,000,000		1,000,480
Bank of New York Mellon Corp.:
1.600%, 5/22/2018 (1)		550,000		547,133
2.100%, 1/15/2019		1,000,000		1,000,227
2.300%, 9/11/2019 (1)		1,250,000		1,255,801
Bank of Nova Scotia, 1.700%, 6/11/2018		1,250,000		1,244,816
BB&T Corp., 3.200%, 3/15/2016		620,000		626,511
BBVA U.S. Senior SAU, 4.664%, 10/9/2015		2,000,000		2,006,720
Branch Banking & Trust Co., 2.300%, 10/15/2018		1,000,000		1,011,472
Capital One Financial Corp., 2.450%, 4/24/2019		300,000		297,470
Capital One NA, 1.500%, 3/22/2018		1,250,000		1,233,966
Citigroup, Inc.:
1.550%, 8/14/2017		1,250,000		1,246,523
1.700%, 4/27/2018		1,300,000		1,287,724
Credit Suisse, 1.375%, 5/26/2017 (1)		1,000,000		998,552
Deutsche Bank AG/London, 1.400%, 2/13/2017 (1)		2,000,000		1,993,250
Discover Bank, 2.600%, 11/13/2018		2,000,000		2,004,308
Goldman Sachs Group, Inc.:
2.375%, 1/22/2018 (1)		1,500,000		1,514,891
3.625%, 2/7/2016 (1)		1,000,000		1,011,468
HSBC USA, Inc.:
1.700%, 3/5/2018 (1)		1,100,000		1,094,448
2.000%, 8/7/2018		1,000,000		997,786
Huntington National Bank:
1.300%, 11/20/2016		1,000,000		998,677
2.000%, 6/30/2018		2,000,000		1,992,488
Intesa Sanpaolo SpA, 3.125%, 1/15/2016 (1)		1,840,000		1,853,270
JPMorgan Chase & Co., 2.000%, 8/15/2017		1,000,000		1,006,893
KeyBank NA, 1.700%, 6/1/2018		2,000,000		1,993,056
Macquarie Bank, Ltd., 1.600%, 10/27/2017 (6)(7)		1,000,000		992,251
Morgan Stanley:
2.125%, 4/25/2018 (1)		1,000,000		1,004,015
3.800%, 4/29/2016 (1)		500,000		509,296
National Australia Bank, Ltd., 1.875%, 7/23/2018 (1)		3,000,000		3,002,178
Nordea Bank AB, 3.125%, 3/20/2017 (6)(7)		1,740,000		1,786,994
PNC Bank NA:
1.125%, 1/27/2017		1,000,000		996,448
1.600%, 6/1/2018		1,500,000		1,490,774

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Royal Bank of Canada:
1.450%, 9/9/2016	$	1,000,000	$	1,006,000
1.500%, 1/16/2018 (1)		2,000,000		1,993,180
1.800%, 7/30/2018		1,000,000		1,000,822
Royal Bank of Scotland PLC, 1.875%, 3/31/2017		2,000,000		1,989,534
SunTrust Banks, Inc., 3.600%, 4/15/2016		1,200,000		1,217,683
Svenska Handelsbanken AB, 1.625%, 3/21/2018		1,900,000		1,899,669
Toronto-Dominion Bank:
1.625%, 3/13/2018		2,000,000		1,998,684
1.750%, 7/23/2018 (1)		1,650,000		1,644,989
U.S. Bancorp, 1.650%, 5/15/2017		1,500,000		1,508,903
Westpac Banking Corp., 1.050%, 11/25/2016		2,000,000		2,003,000
				58,009,932
Beverages — 0.5%
Coca-Cola Co., 1.150%, 4/1/2018 (1)		1,500,000		1,493,159
Biotechnology — 0.4%
Amgen, Inc., 2.200%, 5/22/2019 (1)		1,450,000		1,440,345
Building Materials — 0.1%
Masco Corp., 6.125%, 10/3/2016		250,000		260,870
Chemicals — 0.2%
Rohm & Haas Co., 6.000%, 9/15/2017		588,000		638,275
Computers — 0.9%
Apple, Inc., 1.050%, 5/5/2017 (1)		1,500,000		1,502,190
Hewlett-Packard Co., 3.000%, 9/15/2016		1,430,000		1,454,733
				2,956,923
Diversified Financial Services — 2.9%
Ally Financial, Inc.:
3.250%, 9/29/2017		500,000		501,250
3.250%, 2/13/2018 (1)		1,000,000		996,250
American Express Credit Corp.:
1.125%, 6/5/2017 (1)		1,000,000		992,358
1.800%, 7/31/2018 (1)		1,425,000		1,422,800
2.375%, 5/26/2020 (1)		1,000,000		993,368
General Electric Capital Corp., 3.350%, 10/17/2016 (1)		2,475,000		2,541,515
International Lease Finance Corp.:
5.750%, 5/15/2016		457,000		466,140
8.750%, 3/15/2017		635,000		690,245
Synchrony Financial, 1.875%, 8/15/2017		1,000,000		996,230
				9,600,156
Electric — 1.8%
Dominion Resources, Inc., 2.500%, 12/1/2019		2,000,000		2,007,486
Duke Energy Corp., 2.100%, 6/15/2018		1,500,000		1,524,671
Entergy Corp., 3.625%, 9/15/2015		1,000,000		1,000,866
Exelon Corp., 1.550%, 6/9/2017		1,500,000		1,496,961
				6,029,984
Engineering & Construction — 0.3%
ABB Finance USA, Inc., 1.625%, 5/8/2017		1,000,000		1,003,314

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

76

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Healthcare-Services — 0.7%
Anthem, Inc., 1.875%, 1/15/2018	$	750,000	$	746,710
UnitedHealth Group, Inc., 1.900%, 7/16/2018		1,500,000		1,504,698
				2,251,408
Insurance — 1.1%
American International Group, Inc., 5.050%, 10/1/2015		1,030,000		1,033,494
Berkshire Hathaway, Inc., 1.900%, 1/31/2017		750,000		759,065
Prudential Covered Trust, 2.997%, 9/30/2015 (6)(7)		700,000		701,345
QBE Insurance Group, Ltd., 2.400%, 5/1/2018 (6)(7)		1,000,000		1,007,961
				3,501,865
Machinery-Construction & Mining — 0.5%
Caterpillar Financial Services Corp., 1.700%, 6/16/2018 (1)		1,685,000		1,685,497
Machinery-Diversified — 1.4%
John Deere Capital Corp.:
1.300%, 3/12/2018 (1)		1,610,000		1,600,504
1.600%, 7/13/2018 (1)		1,150,000		1,148,026
Roper Industries, Inc., 2.050%, 10/1/2018 (1)		2,000,000		1,987,788
				4,736,318
Media — 0.5%
DIRECTV Holdings LLC:
2.400%, 3/15/2017 (1)		500,000		503,467
3.125%, 2/15/2016		1,255,000		1,266,516
				1,769,983
Mining — 0.5%
Xstrata Finance Canada, Ltd., 2.050%, 10/23/2015 (6)(7)		1,635,000		1,634,985
Miscellaneous Manufacturing — 0.3%
Ingersoll-Rand Global Holding Co., Ltd., 2.875%, 1/15/2019		1,000,000		1,013,240
Oil & Gas — 0.9%
Chevron Corp.:
1.365%, 3/2/2018 (1)		2,000,000		1,993,346
1.961%, 3/3/2020		1,000,000		989,992
				2,983,338
Oil & Gas Services — 0.3%
Schlumberger Norge AS, 1.250%, 8/1/2017 (6)(7)		1,000,000		992,604
Pharmaceuticals — 3.2%
AbbVie, Inc., 1.750%, 11/6/2017 (1)		1,670,000		1,669,477
Actavis Funding SCS, 1.850%, 3/1/2017 (1)		1,000,000		1,001,320
Cardinal Health, Inc.:
1.700%, 3/15/2018		2,000,000		1,988,012
1.950%, 6/15/2018 (1)		400,000		399,651
Express Scripts Holding Co., 2.650%, 2/15/2017 (1)		1,500,000		1,520,654
GlaxoSmithKline Capital, Inc., 0.700%, 3/18/2016		1,000,000		1,001,002
Merck & Co., Inc., 1.100%, 1/31/2018 (1)		2,000,000		1,992,118

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Pharmaceuticals (continued)
Zoetis, Inc., 1.150%, 2/1/2016	$	1,000,000	$	999,683
				10,571,917
Pipelines — 0.3%
Kinder Morgan Energy Partners LP, 3.500%, 3/1/2016		1,000,000		1,010,944
Real Estate Investment Trusts — 0.6%
Health Care REIT, Inc., 2.250%, 3/15/2018		2,000,000		2,004,160
Semiconductors — 0.5%
Intel Corp., 1.350%, 12/15/2017 (1)		1,600,000		1,598,206
Software — 0.5%
Oracle Corp., 1.200%, 10/15/2017 (1)		1,725,000		1,719,057
Telecommunications — 3.3%
AT&T, Inc.:
1.700%, 6/1/2017		2,000,000		1,998,704
2.400%, 8/15/2016		1,000,000		1,012,024
British Telecommunications PLC, 1.625%, 6/28/2016		1,500,000		1,506,669
Cisco Systems, Inc.:
1.100%, 3/3/2017 (1)		1,800,000		1,803,254
1.650%, 6/15/2018		1,750,000		1,750,068
Verizon Communications, Inc.:
1.350%, 6/9/2017		1,500,000		1,495,771
2.000%, 11/1/2016 (1)		750,000		755,881
3.650%, 9/14/2018 (1)		500,000		524,419
				10,846,790
Total Corporate Bonds & Notes (identified cost $141,386,699)				141,385,408
Mutual Funds — 1.9%
Eaton Vance Institutional Senior Loan Fund, Open-end Cayman Islands Exempted Co. (14)		326,711		2,904,461
Fidelity Floating Rate High Income Fund		372,038		3,538,083
Total Mutual Funds (identified cost $6,422,183)				6,442,544
U.S. Government & U.S. Government Agency Obligations — 24.2%
Federal Home Loan Mortgage Corporation — 2.3%
0.750%, 1/12/2018 (1)	$	2,500,000		2,491,803
1.000%, 7/28/2017 (1)		2,000,000		2,005,948
1.250%, 5/12/2017		1,250,000		1,261,406
1.750%, 5/30/2019		2,000,000		2,026,252
				7,785,409
Federal National Mortgage Association — 2.3%
0.875%, 10/26/2017		2,000,000		2,002,322
0.875%, 2/8/2018		1,500,000		1,494,464
1.000%, 9/27/2017		1,000,000		1,004,270
1.125%, 4/27/2017		1,000,000		1,008,635
1.125%, 7/20/2018		2,000,000		2,000,910
				7,510,601
U.S. Treasury Bonds & Notes — 19.6%
0.625%, 5/31/2017 (1)		1,500,000		1,498,515
0.625%, 8/31/2017 (1)		2,750,000		2,743,911
0.625%, 9/30/2017		3,000,000		2,990,331
0.625%, 11/30/2017		3,000,000		2,983,614

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

77

August 31, 2015

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
0.625%, 4/30/2018	$	3,000,000	$	2,971,407
0.750%, 6/30/2017		1,500,000		1,501,260
0.750%, 10/31/2017		3,000,000		2,995,098
0.750%, 3/31/2018		3,000,000		2,983,437
0.750%, 4/15/2018		3,000,000		2,982,618
0.875%, 4/30/2017		1,000,000		1,003,496
0.875%, 7/15/2017		5,500,000		5,515,576
0.875%, 8/15/2017		5,500,000		5,512,963
0.875%, 1/31/2018		1,000,000		999,010
1.000%, 2/15/2018		3,000,000		3,005,040
1.000%, 5/15/2018		2,425,000		2,424,888
1.125%, 12/31/2019		1,500,000		1,479,297
1.125%, 3/31/2020		1,500,000		1,474,746
1.250%, 10/31/2018		3,000,000		3,009,513
1.250%, 11/30/2018		3,000,000		3,007,383
1.250%, 1/31/2019		1,000,000		1,000,983
1.375%, 6/30/2018 (1)		2,000,000		2,019,192
1.375%, 7/31/2018		2,700,000		2,724,152
1.375%, 9/30/2018		3,000,000		3,023,202
1.500%, 8/31/2018		2,500,000		2,530,045
1.625%, 6/30/2019		2,500,000		2,527,148
				64,906,825
Total U.S. Government & U.S. Government Agency Obligations (identified cost $80,080,469)				80,202,835
U.S. Government Agency-Mortgage Securities — 2.0%
Federal National Mortgage Association — 2.0%
2.559%, 6/1/2022		2,498,281		2,540,624
2.710%, 1/1/2022		1,849,343		1,894,857
3.500%, 4/1/2026		202,355		213,862
4.000%, 11/1/2031		748,426		803,466
5.500%, 11/1/2033		225,756		254,743
5.500%, 2/1/2034		167,403		188,848
5.500%, 8/1/2037		390,854		439,646
7.000%, 12/1/2015		227		228
9.500%, 12/1/2024		12,856		13,200
9.500%, 1/1/2025		9,727		9,837
9.500%, 1/1/2025		11,033		11,157
10.000%, 7/1/2020		18,881		19,388
				6,389,856
Government National Mortgage Association — 0.0%
7.500%, 8/15/2037		59,626		69,965
9.000%, 12/15/2019		11,057		12,218
				82,183
Total U.S. Government Agency-Mortgage Securities (identified cost $6,394,176)				6,472,039
Short-Term Investments — 16.8%
Collateral Pool Investments for Securities on Loan — 11.8%
Collateral pool allocation (3)				38,997,230
Commercial Paper — 3.0%
Coca-Cola Co., 0.608%, 5/16/2016 (6)(7)(12)		2,150,000		2,143,086
Duke Energy Corp., 0.390%, 9/8/2015 (12)		3,000,000		2,999,844

Description	Shares or Principal Amount		Value
Short-Term Investments (continued)
Commercial Paper (continued)
Hyundai Capital America, Inc., 0.400%, 9/10/2015 (12)	$	5,000,000	$	4,999,675
				10,142,605
Mutual Funds — 2.0%
BMO Prime Money Market Fund, Class I, 0.050% (4)		6,644,766		6,644,766
Total Short-Term Investments (identified cost $55,781,870)				55,784,601
Total Investments — 111.6% (identified cost $370,275,916)				369,662,070
Other Assets and Liabilities — (11.6)%				(38,367,391	)
Total Net Assets — 100.0%			$	331,294,679

Intermediate Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 97.2%
Alabama — 0.9%
Other securities			$	16,934,208
Alaska — 0.6%
Other securities				10,062,159
Arizona — 3.1%
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	$	1,000,000		1,137,170
5.250%, 10/1/2024, Call 10/1/2019		5,000,000		5,726,100
Other securities				48,504,896
				55,368,166
Arkansas — 1.3%
Other securities				23,234,209
California — 6.8%
Bay Area Toll Authority:
1.000%, 4/3/2017, Call 10/1/2016 (9)		2,000,000		2,006,000
1.270%, 4/1/2027, Call 10/1/2026 (9)		5,000,000		4,980,550
Deutsche Bank Spears/Lifers Trust, 0.320%, 8/1/2047 (6)(7)(9)		8,000,000		8,000,000
Other securities				108,017,406
				123,003,956
Colorado — 2.5%
Rib Floater Trust Various States, 0.170%, 8/1/2018 (6)(7)(9)		15,000,000		15,000,000
Other securities				30,530,873
				45,530,873
Connecticut — 0.2%
Other securities				3,243,960
Delaware — 0.5%
Other securities				8,754,301
District of Columbia — 0.3%
Other securities				4,937,294

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

78

BMO Funds

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Florida — 7.7%
City of Gulf Breeze:
1.750%, 12/1/2015 (9)	$	11,795,000	$	11,833,570
5.000%, 12/1/2023, Call 12/1/2020		2,000,000		2,316,700
County of Lee, AMBAC, 5.125%, 10/1/2024, Call 10/1/2016 (15)		7,975,000		8,324,943
Deutsche Bank Spears/Lifers Trust:
0.230%, 11/1/2032, Call 9/1/2015 (6)(7)(9)		16,500,000		16,500,000
0.230%, 10/1/2041, Call 10/1/2020 (6)(7)(9)		15,755,000		15,755,000
Other securities				85,645,057
				140,375,270
Georgia — 4.7%
Appling County Development Authority:
0.250%, 9/1/2029, Call 9/1/2015 (9)		7,000,000		7,000,000
0.250%, 9/1/2041, Call 9/1/2015 (9)		6,600,000		6,600,000
Chatham County Hospital Authority, County Guarantee, 5.000%, 1/1/2027, Call 1/1/2022		6,820,000		7,803,308
Main Street Natural Gas, Inc.:
5.000%, 3/15/2017		1,320,000		1,399,094
5.000%, 3/15/2021		5,400,000		6,069,762
5.250%, 9/15/2018		250,000		274,960
Monroe County Development Authority, 0.250%, 11/1/2048, Call 9/1/2015 (9)		11,000,000		11,000,000
Other securities				44,481,272
				84,628,396
Hawaii — 0.1%
Other securities				1,204,815
Idaho — 0.3%
Other securities				5,729,083
Illinois — 8.7%
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023		1,000,000		1,208,690
6.000%, 12/1/2031, Call 12/1/2023		2,035,000		2,448,207
6.000%, 12/1/2032, Call 12/1/2023		2,160,000		2,593,382
6.000%, 6/1/2033, Call 12/1/2023		2,235,000		2,676,256
Illinois Finance Authority:
5.250%, 2/15/2030, Call 2/15/2020		250,000		280,460
5.750%, 11/1/2039, Call 11/1/2019		5,000,000		5,760,050
Illinois Finance Authority, AGC:
5.250%, 8/15/2019		250,000		287,380
5.250%, 8/15/2033, Call 8/15/2018		880,000		956,771

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
Illinois Finance Authority, AMBAC, 6.000%, 2/1/2022, Call 2/1/2018	$	335,000	$	370,560
Other securities				142,033,169
				158,614,925
Indiana — 3.3%
Barclays Capital Municipal Trust Receipts, 0.200%, 4/1/2030 (6)(7)(9)		7,770,000		7,770,000
Indiana Finance Authority:
3.000%, 7/1/2019		250,000		257,578
5.000%, 8/15/2020		700,000		786,674
5.000%, 10/1/2022		300,000		338,406
5.000%, 10/1/2023		400,000		451,796
5.000%, 10/1/2024, Call 10/1/2023		275,000		307,698
5.000%, 5/1/2029, Call 5/1/2022		4,070,000		4,542,405
5.500%, 5/1/2024, Call 5/1/2019		1,000,000		1,135,830
Other securities				43,412,893
				59,003,280
Iowa — 0.4%
Other securities				7,549,207
Kansas — 0.2%
Other securities				4,164,468
Kentucky — 0.7%
Deutsche Bank Spears/Lifers Trust, NATL-RE, 0.280%, 9/1/2042, Call 9/1/2017 (6)(7)(9)		9,150,000		9,150,000
Other securities				3,435,002
				12,585,002
Louisiana — 2.7%
Deutsche Bank Spears/Lifers Trust, 0.230%, 10/1/2040, Call 10/1/2020 (6)(7)(9)		11,560,000		11,560,000
Parish of St. Bernard:
4.000%, 3/1/2020		3,470,000		3,770,016
4.000%, 3/1/2021		3,585,000		3,895,927
Parish of St. James, 0.210%, 11/1/2040, Call 9/1/2015 (9)		7,000,000		7,000,000
State of Louisiana, 0.602%, 5/1/2018, Call 11/1/2017 (9)		7,000,000		7,031,500
Other securities				15,001,412
				48,258,855
Maine — 0.5%
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021		7,500,000		7,573,950
Other securities				2,058,822
				9,632,772
Maryland — 0.3%
Other securities				5,830,085
Massachusetts — 1.2%
Commonwealth of Massachusetts, NATL-RE FGIC:
0.150%, 12/1/2030, Call 9/7/2015 (9)(13)		1,450,000		1,346,416

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

79

August 31, 2015

Schedules of Investments

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Massachusetts (continued)
0.150%, 12/1/2030, Call 9/3/2015 (9)(13)	$	7,375,000	$	6,848,159
Other securities				13,757,580
				21,952,155
Michigan — 5.0%
City of Detroit Water Supply System Revenue, AGM:
5.000%, 7/1/2018, Call 7/1/2016		250,000		257,860
5.000%, 7/1/2019, Call 7/1/2016		50,000		51,547
5.000%, 7/1/2020, Call 7/1/2016		720,000		741,550
5.000%, 7/1/2020, Call 7/1/2016		50,000		51,497
5.000%, 7/1/2023, Call 7/1/2016		200,000		205,398
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.500%, 7/1/2035, Call 7/1/2018		1,035,000		1,118,928
City of Detroit Water Supply System Revenue, NATL-RE:
5.000%, 7/1/2016 (9)		725,000		748,961
5.000%, 7/1/2021, Call 10/2/2015		1,530,000		1,534,820
5.000%, 7/1/2027, Call 7/1/2016		5,000,000		5,112,000
Michigan Finance Authority:
3.000%, 11/1/2015		150,000		150,681
5.000%, 6/1/2016		1,450,000		1,486,743
5.000%, 11/1/2020		2,000,000		2,307,640
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024		1,500,000		1,669,530
5.000%, 7/1/2030, Call 7/1/2024		1,500,000		1,659,930
Other securities				72,836,999
				89,934,084
Minnesota — 0.7%
Other securities				13,201,433
Mississippi — 0.8%
Mississippi Business Finance Corp., 0.960%, 12/1/2036, Call 9/1/2015 (9)		8,500,000		8,500,000
Other securities				6,430,055
				14,930,055
Missouri — 1.8%
Other securities				31,932,026
Nebraska — 0.6%
Other securities				11,496,547
Nevada — 1.7%
Las Vegas Valley Water District:
0.250%, 6/1/2036, Call 9/1/2015 (9)		7,200,000		7,200,000
5.000%, 6/1/2028, Call 6/1/2022		5,115,000		5,903,938
Las Vegas Valley Water District, AGM, 5.000%, 6/1/2028, Call 6/1/2016		2,815,000		2,903,841

Description	Principal Amount		Value
Municipals (continued)
Nevada (continued)
Other securities			$	15,399,807
				31,407,586
New Hampshire — 0.3%
Other securities				5,777,457
New Jersey — 3.6%
New Jersey Economic Development Authority:
1.720%, 2/1/2016, Call 9/22/2015 (9)	$	3,000,000		3,000,180
5.000%, 6/15/2019		3,000,000		3,227,430
5.000%, 6/15/2020		1,500,000		1,620,180
New Jersey Higher Education Student Assistance Authority:
3.250%, 12/1/2027, Call 12/1/2022 (15)		1,875,000		1,864,012
4.875%, 12/1/2024, Call 12/1/2019		8,395,000		8,996,754
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022		3,440,000		3,850,495
5.000%, 1/1/2035, Call 1/1/2022		1,685,000		1,848,310
New Jersey State Turnpike Authority, NATL-RE:
0.126%, 1/1/2030 (9)(13)		350,000		317,713
0.149%, 1/1/2030, Call 9/3/2015 (9)(13)		475,000		431,181
0.207%, 1/1/2030, Call 9/4/2015 (9)(13)		1,900,000		1,724,725
0.207%, 1/1/2030, Call 9/4/2015 (9)(13)		500,000		453,875
New Jersey Transportation Trust Fund Authority:
1.020%, 12/15/2019, Call 6/15/2019 (9)		5,000,000		4,757,550
5.000%, 6/15/2022		500,000		529,725
5.000%, 6/15/2032, Call 12/15/2024		5,000,000		5,107,650
5.250%, 12/15/2023, Call 12/15/2018		1,355,000		1,458,387
5.250%, 12/15/2023		240,000		257,808
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022		5,000,000		5,340,100
5.000%, 6/15/2033, Call 6/15/2022		3,000,000		3,169,200
5.250%, 6/15/2033, Call 6/15/2023		5,635,000		5,879,446
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024		440,000		304,911
New Jersey Transportation Trust Fund Authority, State Appropriation, 5.000%, 6/15/2017		250,000		263,925
Other securities				11,123,490
				65,527,047
New Mexico — 1.7%
City of Farmington:
1.875%, 4/1/2020 (9)		3,000,000		2,999,190
1.875%, 4/1/2020 (9)		3,000,000		2,995,410
1.875%, 4/1/2020 (9)		3,750,000		3,744,262

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

80

BMO Funds

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
New Mexico (continued)
New Mexico Municipal Energy Acquisition Authority, 0.876%, 8/1/2019, Call 2/1/2019 (9)	$	10,000,000	$	10,016,800
Other securities				11,967,488
				31,723,150
New York — 5.8%
Deutsche Bank Spears/Lifers Trust, AMBAC, 0.230%, 7/1/2037, Call 7/1/2017 (6)(7)(9)		5,600,000		5,600,000
New York City Transitional Finance Authority:
0.140%, 11/1/2022 (9)		8,500,000		8,500,000
5.000%, 11/1/2024, Call 11/1/2022		5,715,000		6,849,256
5.000%, 11/1/2024		2,215,000		2,702,322
5.000%, 11/1/2025, Call 5/1/2025		2,475,000		3,007,818
5.000%, 11/1/2026, Call 5/1/2025		1,000,000		1,203,840
5.000%, 11/1/2026, Call 5/1/2025		2,000,000		2,405,780
New York State Dormitory Authority:
5.000%, 12/15/2023, Call 12/15/2022		4,590,000		5,508,505
5.000%, 3/15/2027, Call 3/15/2022		16,555,000		19,175,822
New York State Thruway Authority, 5.000%, 3/15/2026, Call 9/15/2021		8,490,000		9,983,561
Other securities				40,458,346
				105,395,250
North Carolina — 0.7%
Other securities				13,508,713
North Dakota — 1.8%
North Dakota Public Finance Authority:
4.000%, 6/1/2022		2,345,000		2,603,513
4.000%, 6/1/2023		2,440,000		2,732,653
4.000%, 6/1/2024, Call 6/1/2023		2,190,000		2,439,507
4.000%, 6/1/2025, Call 6/1/2023		1,145,000		1,266,061
Williston Parks & Recreation District:
3.000%, 3/1/2017		805,000		826,727
4.000%, 3/1/2023, Call 3/1/2021		420,000		441,781
4.500%, 3/1/2020		1,455,000		1,580,086
4.500%, 3/1/2025, Call 3/1/2021		2,525,000		2,770,506
4.625%, 3/1/2026, Call 3/1/2021		2,620,000		2,877,336
Other securities				15,087,523
				32,625,693
Ohio — 3.4%
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021		2,320,000		2,623,642

Description	Principal Amount		Value
Municipals (continued)
Ohio (continued)
5.000%, 1/1/2031, Call 1/1/2022	$	1,270,000	$	1,382,497
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022		3,900,000		4,306,146
5.000%, 1/1/2031, Call 1/1/2022		1,000,000		1,099,320
Elyria City School District, School District Credit Program:
4.000%, 12/1/2026, Call 12/1/2022		480,000		519,806
4.000%, 12/1/2027, Call 12/1/2022		1,160,000		1,249,877
4.000%, 12/1/2028, Call 12/1/2022		1,130,000		1,209,123
4.000%, 12/1/2032, Call 12/1/2022		1,015,000		1,061,071
4.000%, 12/1/2033, Call 12/1/2022		1,550,000		1,615,286
4.000%, 12/1/2034, Call 12/1/2022		1,435,000		1,490,750
Other securities				45,772,309
				62,329,827
Oklahoma — 0.7%
Other securities				12,853,108
Oregon — 0.8%
Other securities				14,390,485
Pennsylvania — 2.8%
Pennsylvania Turnpike Commission:
0.000%, 12/1/2030, Call 12/1/2020 (16)		585,000		624,868
0.000%, 12/1/2034, Call 12/1/2020 (16)		395,000		432,414
0.570%, 12/1/2016, Call 6/1/2016 (9)		1,450,000		1,450,087
0.700%, 12/1/2018, Call 6/1/2018 (9)		2,850,000		2,839,256
5.000%, 6/1/2021, Call 6/1/2019		715,000		801,608
6.000%, 12/1/2036, Call 12/1/2020		975,000		1,153,289
Other securities				43,211,461
				50,512,983
Puerto Rico — 0.2%
Other securities				3,205,148
Rhode Island — 1.2%
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (15)		300,000		294,915
3.950%, 12/1/2017		250,000		265,377
4.000%, 12/1/2022, Call 12/1/2021 (15)		2,885,000		3,003,141
4.200%, 12/1/2018, Call 12/1/2017		600,000		635,820
4.250%, 12/1/2020, Call 12/1/2017		500,000		523,265
4.250%, 12/1/2025, Call 12/1/2021 (15)		2,205,000		2,250,489
4.500%, 12/1/2021, Call 12/1/2017		1,000,000		1,048,270
4.750%, 12/1/2028, Call 12/1/2021 (15)		1,000,000		1,032,700

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

81

August 31, 2015

Schedules of Investments

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Rhode Island (continued)
4.750%, 12/1/2029, Call 12/1/2021 (15)	$	680,000	$	698,469
Other securities				11,433,775
				21,186,221
South Carolina — 1.5%
RBC Municipal Products, Inc. Trust, 0.170%, 7/1/2018 (6)(7)(9)		9,300,000		9,300,000
Other securities				17,849,312
				27,149,312
South Dakota — 1.0%
South Dakota Health & Educational Facilities Authority:
4.000%, 11/1/2021		500,000		557,990
4.250%, 9/1/2023		740,000		797,676
4.500%, 9/1/2018		500,000		528,380
4.500%, 9/1/2020		900,000		967,806
4.500%, 9/1/2021, Call 9/1/2020		1,080,000		1,151,518
4.500%, 9/1/2022, Call 9/1/2020		1,005,000		1,062,014
5.000%, 9/1/2019		200,000		226,046
5.000%, 11/1/2022		715,000		845,395
5.000%, 8/1/2023		375,000		442,793
5.000%, 11/1/2023		625,000		743,237
5.000%, 8/1/2024		195,000		231,837
5.000%, 11/1/2024, Call 11/1/2019		1,000,000		1,130,720
5.000%, 11/1/2024		650,000		775,833
5.000%, 11/1/2025, Call 11/1/2024		600,000		709,182
5.000%, 11/1/2026, Call 11/1/2024		550,000		641,355
5.000%, 9/1/2027, Call 9/1/2024		720,000		789,329
South Dakota Health & Educational Facilities Authority, AMBAC, 5.000%, 8/1/2022, Call 8/1/2017		980,000		1,053,039
Other securities				5,085,691
				17,739,841
Tennessee — 1.0%
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023		5,310,000		5,973,325
5.250%, 9/1/2021		3,810,000		4,355,706
5.250%, 9/1/2022		250,000		285,760
Other securities				6,616,467
				17,231,258
Texas — 6.6%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 4/1/2017 (9)		7,875,000		7,865,314
Dallas/Fort Worth International Airport:
5.000%, 11/1/2023, Call 11/1/2020		2,400,000		2,765,328
5.000%, 11/1/2024, Call 11/1/2022		1,000,000		1,173,690
5.000%, 11/1/2032, Call 11/1/2020		5,000,000		5,606,700

Description	Principal Amount		Value
Municipals (continued)
Texas (continued)
5.000%, 11/1/2033, Call 11/1/2023	$	2,000,000	$	2,259,760
5.250%, 11/1/2033, Call 11/1/2023		1,200,000		1,389,408
Port of Port Arthur Navigation District:
0.300%, 12/1/2039, Call 9/1/2015 (9)		4,500,000		4,500,000
0.300%, 12/1/2039, Call 9/1/2015 (9)		3,420,000		3,420,000
0.300%, 4/1/2040, Call 9/1/2015 (9)		1,240,000		1,240,000
0.300%, 11/1/2040, Call 9/1/2015 (9)		14,700,000		14,700,000
Other securities				73,924,752
				118,844,952
Utah — 1.1%
Other securities				20,508,465
Vermont — 0.1%
Other securities				2,020,989
Virginia — 0.3%
Other securities				4,613,071
Washington — 1.0%
Other securities				18,579,229
West Virginia — 0.5%
Other securities				9,211,244
Wisconsin — 3.4%
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022		800,000		859,960
5.000%, 11/1/2025, Call 11/1/2022		3,500,000		4,168,920
5.000%, 5/1/2027, Call 5/1/2022		1,605,000		1,874,415
Wisconsin Health & Educational Facilities Authority:
4.500%, 10/15/2026, Call 10/15/2021		20,000		21,981
4.750%, 10/15/2029, Call 10/15/2021		605,000		663,745
5.000%, 4/15/2016		1,000,000		1,028,490
5.000%, 8/15/2018		1,000,000		1,103,670
5.000%, 6/1/2019		645,000		679,424
5.000%, 6/1/2019		2,860,000		3,210,865
5.000%, 7/1/2019		990,000		1,091,960
5.000%, 8/15/2019		250,000		281,387
5.000%, 8/15/2019		955,000		1,076,457
5.000%, 8/15/2020		1,060,000		1,217,230
5.000%, 8/15/2021		1,160,000		1,346,516
5.000%, 10/1/2022		750,000		879,952
5.000%, 6/1/2026, Call 6/1/2020		135,000		152,261
5.000%, 8/15/2027, Call 8/15/2022		500,000		562,640
5.000%, 8/15/2029, Call 8/15/2022		1,700,000		1,908,437
5.000%, 4/1/2032, Call 10/1/2022		4,560,000		5,069,945
5.000%, 6/1/2032, Call 6/1/2022		1,000,000		1,098,820
5.000%, 8/15/2032, Call 8/15/2022		5,000,000		5,520,700

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

82

BMO Funds

Intermediate Tax-Free Fund* (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
5.250%, 6/1/2034, Call 6/1/2020	$	300,000	$	337,539
5.375%, 8/15/2024, Call 2/15/2020		1,625,000		1,861,860
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021		3,655,000		4,039,214
Other securities				22,064,293
				62,120,681
Wyoming — 0.1%
Other securities				1,680,055
Total Municipals (identified cost $1,715,780,164)				1,762,233,349
Mutual Funds — 0.9%
Other securities				15,750,115
Short-Term Investments — 1.2%
Mutual Funds — 1.1%
BMO Tax-Free Money Market Fund, Class I, 0.040% (4)		19,318,314		19,318,314
Short-Term Municipals — 0.1%
Wisconsin — 0.1%
Other securities				2,201,232
Total Short-Term Investments (identified cost $21,519,358)				21,519,546
Total Investments — 99.3% (identified cost $1,752,925,832)				1,799,503,010
Other Assets and Liabilities — 0.7%				13,344,057
Total Net Assets — 100.0%			$	1,812,847,067

Mortgage Income Fund

Description	Principal Amount		Value
Asset-Backed Security — 0.3%
Federal Home Loan Mortgage Corporation — 0.3%
0.459%, 8/25/2031, (Series T-32) (9)	$	328,957	$	322,290
Total Asset-Backed Securities (identified cost $328,957)				322,290
Collateralized Mortgage Obligations — 14.1%
Federal Home Loan Mortgage Corporation — 0.0%
5.000%, 5/15/2033, (Series 2791)		29,880		30,133
Federal National Mortgage Association — 0.8%
0.599%, 4/25/2034, (Series 2004-25) (9)		356,928		360,738
4.000%, 10/25/2032, (Series 2003-28)		5,563		5,595
4.000%, 3/25/2041, (Series 2012-21)		523,746		557,753
				924,086

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Government National Mortgage Association — 0.9%
4.500%, 8/20/2028, (Series 2009-116)	$	965,000	$	1,007,766
Private Sponsor — 12.4%
Alternative Loan Trust, Class 1A1, (Series 2004-24CB), 6.000%, 11/25/2034		1,259,566		1,282,505
Banc of America Funding Trust, Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		527,478		548,191
Chase Mortgage Finance Trust:
Class 7A1, (Series 2007-A2), 4.495%, 7/25/2037 (9)		778,842		722,551
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		1,022,893		1,072,492
ChaseFlex Trust, Class 4A3, (Series 2005-2), 6.000%, 5/25/2020		229,637		223,418
Freddie Mac Structured Agency Credit Risk Debt Notes, Class M2, (Series 2014-DN1), 2.399%, 2/25/2024 (9)		2,000,000		2,014,802
GSR Mortgage Loan Trust, Class 2A4, (Series 2007-1F), 5.500%, 1/25/2037		274,921		272,215
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 2.467%, 11/25/2034 (9)		1,307,959		1,338,726
Residential Asset Securitization Trust, Class A4, (Series 2005-A8CB), 5.500%, 7/25/2035		1,090,939		996,039
RFMSI Series Trust, Class A2, (Series 2006-S4), 6.000%, 4/25/2036		1,071,096		1,017,835
Structured Adjustable Rate Mortgage Loan Trust, Class 1A2, (Series 2004-18), 2.518%, 12/25/2034 (9)		910,152		868,914
Wells Fargo Mortgage Backed Securities Trust:
Class 1A2, (Series 2006-6), 5.750%, 5/25/2036		707,061		700,418
Class A1, (Series 2006-AR19), 5.579%, 12/25/2036 (9)		1,301,559		1,263,231
Class A1, (Series 2007-15), 6.000%, 11/25/2037		1,318,530		1,308,380
Class A8, (Series 2007-11), 6.000%, 8/25/2037		975,331		968,563
				14,598,280
Total Collateralized Mortgage Obligations (identified cost $16,422,025)				16,560,265
Commercial Mortgage Securities — 11.9%
Private Sponsor — 11.9%
Banc of America Commercial Mortgage Trust, Class A3, (Series 2006-6), 5.369%, 10/10/2045		1,000,000		1,005,737
Citigroup Commercial Mortgage Trust, Class B, (Series 2014-GC23), 4.175%, 7/10/2047 (9)		1,000,000		1,015,030
FREMF Mortgage Trust, Class B, (Series 2012-K19), 4.176%, 5/25/2045 (6)(7)(9)		2,000,000		2,105,660

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

83

August 31, 2015

Schedules of Investments

Mortgage Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
FREMF Mortgage Trust:
Class B, (Series 2014-K37), 4.713%, 1/25/2047 (6)(7)(9)	$	2,000,000	$	2,133,844
Class C, (Series 2012-K21), 4.071%, 7/25/2045 (6)(7)(9)		1,500,000		1,523,875
JP Morgan Chase Commercial Mortgage Securities Trust, Class B, (Series 2014-C20), 4.399%, 7/15/2047 (9)		2,000,000		2,042,556
Morgan Stanley Bank of America Merrill Lynch Trust, Class B, (Series 2013-C13), 4.906%, 11/15/2046 (9)		2,000,000		2,135,086
UBS-Barclays Commercial Mortgage Trust, Class B, (Series 2013-C6), 3.875%, 4/10/2046 (6)(7)(9)		2,000,000		2,028,072
Total Commercial Mortgage Securities (identified cost $13,887,931)				13,989,860
U.S. Government Agency-Mortgage Securities — 72.2%
Federal Home Loan Mortgage Corporation — 16.4%
3.000%, 2/1/2029		1,697,963		1,765,195
3.500%, 4/1/2042		111,406		115,930
3.500%, 9/1/2044		4,666,376		4,837,446
4.000%, 10/1/2031		2,318,009		2,466,011
4.000%, 12/1/2040		599,151		639,618
4.000%, 2/1/2044		3,531,172		3,789,040
4.500%, 9/1/2031		704,934		770,950
4.500%, 7/1/2040		48,781		53,521
4.500%, 11/1/2040		1,242,662		1,357,800
4.500%, 2/1/2041		1,791,140		1,947,189
5.000%, 12/1/2022		244,377		263,198
5.000%, 1/1/2040		406,557		450,205
5.500%, 11/1/2018		191,647		198,771
5.500%, 10/1/2021		248,928		269,126
5.500%, 7/1/2035		67,472		75,377
6.000%, 12/1/2036		56,901		64,245
6.000%, 12/1/2037		29,136		32,896
6.500%, 9/1/2016		6,018		6,111
7.500%, 4/1/2024		55,748		65,346
7.500%, 4/1/2027		29,857		35,851
8.000%, 8/1/2030		29,620		35,081
8.500%, 9/1/2024		29,218		34,036
9.000%, 6/1/2019		10,951		11,461
9.500%, 2/1/2025		13,017		13,199
				19,297,603
Federal National Mortgage Association — 51.4%
2.500%, 9/1/2029		2,603,170		2,646,648
3.000%, 8/1/2032		293,120		302,683
3.000%, 5/1/2043		2,610,053		2,635,877
3.000%, 5/1/2043		3,871,264		3,909,535
3.000%, 8/1/2043		3,538,705		3,570,479
3.000%, 2/1/2045		1,943,708		1,957,395
3.000%, 7/1/2045		2,976,625		2,999,682
3.500%, 7/1/2032		648,160		682,926
3.500%, 10/1/2042		3,002,365		3,122,691
3.500%, 5/1/2043		3,329,631		3,485,082
3.500%, 9/1/2043		2,730,121		2,857,590
3.500%, 2/1/2045		2,941,918		3,062,195
3.500%, 4/1/2045		1,950,571		2,025,974

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
4.000%, 11/1/2031	$	1,247,376	$	1,339,109
4.000%, 2/1/2041		2,046,251		2,190,133
4.000%, 3/1/2041		406,484		434,751
4.000%, 9/1/2043		1,652,334		1,776,180
4.000%, 5/1/2044		3,328,317		3,549,344
4.500%, 12/1/2040		1,661,811		1,807,346
4.500%, 4/1/2041		5,592,289		6,082,592
4.500%, 6/1/2042		1,478,570		1,629,687
5.000%, 5/1/2018		205,042		213,549
5.000%, 5/1/2042		1,618,240		1,791,359
5.500%, 1/1/2023		237,172		265,262
5.500%, 10/1/2024		361,673		404,638
5.500%, 2/1/2036		289,836		326,038
5.500%, 7/1/2036		590,092		664,762
5.500%, 8/1/2037		1,043,094		1,173,309
6.000%, 10/1/2016		20,581		20,900
6.000%, 9/1/2021		347,732		382,121
6.000%, 5/1/2039		1,011,679		1,152,063
6.500%, 9/1/2016		13,279		13,493
6.500%, 9/1/2016		24,506		24,870
6.500%, 8/1/2030		574,204		659,685
6.500%, 12/1/2031		32,964		37,871
6.500%, 11/1/2037		144,524		161,498
7.000%, 3/1/2029		68,655		80,982
7.000%, 7/1/2029		204,748		238,006
7.000%, 2/1/2030		142,112		164,856
7.500%, 10/1/2030		34,733		39,881
8.000%, 10/1/2028		309,129		356,313
8.000%, 4/1/2030		54,699		65,793
				60,305,148
Government National Mortgage Association — 4.4%
3.000%, 2/20/2045		2,342,185		2,386,405
5.000%, 4/15/2034		408,358		453,643
5.500%, 9/15/2033		955,260		1,095,812
6.000%, 12/20/2033		1,031,422		1,182,897
7.000%, 8/15/2031		51,226		62,834
9.500%, 10/15/2024		13,727		14,154
				5,195,745
Total U.S. Government Agency-Mortgage Securities
(identified cost $82,878,800)				84,798,496
Short-Term Investments — 1.3%
Mutual Funds — 1.3%
BMO Government Money Market Fund, Class I, 0.030% (4)		1,524,417		1,524,417
Total Short-Term Investments (identified cost $1,524,417)				1,524,417
Total Investments — 99.8% (identified cost $115,042,130)				117,195,328
Other Assets and Liabilities — 0.2%				191,539
Total Net Assets — 100.0%			$	117,386,867

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

84

BMO Funds

TCH Intermediate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 57.1%
Agriculture — 1.2%
Imperial Tobacco Finance PLC, 4.250%, 7/21/2025 (6)(7)	$	500,000	$	495,221
Reynolds American, Inc., 4.450%, 6/12/2025 (1)		750,000		772,189
				1,267,410
Auto Manufacturers — 1.9%
Ford Motor Credit Co. LLC, 1.239%, 11/4/2019 (9)		2,000,000		1,987,938
Banks — 19.7%
Australia & New Zealand Banking Group, Ltd., 4.500%, 3/19/2024 (6)(7)		1,300,000		1,302,217
Banco Santander Chile, 1.186%, 4/11/2017 (6)(7)(9)		1,000,000		992,534
Bank of America Corp., 0.546%, 10/14/2016 (9)		1,000,000		995,339
Barclays Bank PLC, 0.901%, 2/17/2017 (9)		1,500,000		1,493,340
Credit Agricole SA, 4.375%, 3/17/2025 (1)(6)(7)		1,000,000		972,956
Goldman Sachs Group, Inc.:
1.497%, 4/30/2018 (9)		2,000,000		2,021,014
4.000%, 3/3/2024		1,000,000		1,023,999
HSBC Holdings PLC, 4.250%, 3/14/2024		1,000,000		1,003,886
ING Bank NV, 5.800%, 9/25/2023 (6)(7)		1,000,000		1,084,003
Intesa Sanpaolo SpA, 5.017%, 6/26/2024 (6)(7)		1,000,000		979,162
JPMorgan Chase & Co., 4.125%, 12/15/2026 (1)		1,000,000		995,768
Morgan Stanley:
1.024%, 1/5/2018 (9)		1,000,000		1,000,571
5.000%, 11/24/2025 (1)		1,250,000		1,318,620
National City Bank, 0.649%, 6/7/2017 (9)		1,580,000		1,570,221
Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024		1,000,000		1,011,117
Standard Chartered PLC, 5.200%, 1/26/2024 (1)(6)(7)		1,000,000		1,035,777
Wachovia Corp., 0.659%, 10/15/2016 (9)		500,000		498,792
Westpac Banking Corp., 0.663%, 5/19/2017 (9)		1,500,000		1,498,786
				20,798,102
Commercial Services — 1.0%
ADT Corp., 4.125%, 4/15/2019 (1)		1,000,000		1,020,000
Distribution/Wholesale — 0.7%
Ingram Micro, Inc., 4.950%, 12/15/2024		750,000		767,507
Diversified Financial Services — 2.9%
American Express Credit Corp., 0.549%, 6/5/2017 (9)		1,000,000		994,690
Jefferies Group LLC, 5.125%, 1/20/2023 (1)		1,000,000		1,034,040
Nomura Holdings, Inc., 1.736%, 9/13/2016 (9)		1,000,000		1,006,260
				3,034,990

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Holding Companies-Diversified — 1.7%
Leucadia National Corp., 5.500%, 10/18/2023 (1)	$	1,800,000	$	1,818,589
Insurance — 1.5%
Prudential Financial, Inc., 5.500%, 3/15/2016		1,500,000		1,536,488
Iron/Steel — 2.3%
Allegheny Technologies, Inc., 6.625%, 8/15/2023		1,000,000		887,500
GTL Trade Finance, Inc., 5.893%, 4/29/2024 (1)(6)(7)		1,750,000		1,534,225
				2,421,725
Media — 1.4%
CCO Safari II LLC, 4.908%, 7/23/2025 (1)(6)(7)		1,500,000		1,488,045
Mining — 3.3%
Anglo American Capital PLC, 4.875%, 5/14/2025 (6)(7)		700,000		633,184
Barrick Gold Corp., 4.100%, 5/1/2023		1,000,000		885,688
BHP Billiton Finance USA, Ltd., 0.532%, 9/30/2016 (9)		1,700,000		1,697,807
Teck Resources, Ltd., 3.750%, 2/1/2023 (1)		350,000		262,902
				3,479,581
Miscellaneous Manufacturing — 1.2%
Trinity Industries, Inc., 4.550%, 10/1/2024		1,300,000		1,223,140
Oil & Gas — 4.6%
Ensco PLC, 4.500%, 10/1/2024 (1)		1,000,000		850,563
KazMunayGas National Co. JSC, 4.875%, 5/7/2025 (1)(6)(7)		1,000,000		883,500
Petrobras Global Finance BV, 5.750%, 1/20/2020 (1)		1,000,000		912,130
Petroleos Mexicanos, 4.250%, 1/15/2025 (1)(6)(7)		750,000		711,300
Transocean, Inc., 6.875%, 12/15/2021 (1)		1,900,000		1,520,000
				4,877,493
Packaging & Containers — 1.1%
Ball Corp., 5.000%, 3/15/2022		1,100,000		1,122,000
Pharmaceuticals — 1.4%
Merck & Co., Inc., 0.686%, 2/10/2020 (1)(9)		1,500,000		1,493,235
Pipelines — 3.0%
Energy Transfer Partners LP, 4.150%, 10/1/2020		1,000,000		1,008,444
Kinder Morgan Energy Partners LP:
4.150%, 2/1/2024 (1)		1,300,000		1,206,703
4.300%, 5/1/2024 (1)		1,000,000		910,063
				3,125,210
Real Estate Investment Trusts — 2.1%
EPR Properties, 5.250%, 7/15/2023		1,250,000		1,271,008
Senior Housing Properties Trust, 4.750%, 5/1/2024		1,000,000		994,534
				2,265,542
Telecommunications — 3.7%
CenturyLink, Inc., 5.625%, 4/1/2020		1,000,000		1,001,260

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

85

August 31, 2015

Schedules of Investments

TCH Intermediate Income Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Deutsche Telekom International Finance BV, 3.125%, 4/11/2016 (6)(7)	$	1,500,000	$	1,518,970
Motorola Solutions, Inc., 4.000%, 9/1/2024 (1)		1,500,000		1,381,692
				3,901,922
Transportation — 2.4%
Asciano Finance, Ltd., 4.625%, 9/23/2020 (6)(7)		1,000,000		1,055,789
Kansas City Southern de Mexico SA de C.V., 0.994%, 10/28/2016 (9)		1,500,000		1,491,486
				2,547,275
Total Corporate Bonds & Notes (identified cost $61,684,512)				60,176,192
U.S. Government & U.S. Government Agency Obligations — 16.5%
U.S. Treasury Bonds & Notes — 16.5%
1.625%, 1/15/2018		5,125,365		5,316,833
2.000%, 1/31/2016		12,000,000		12,088,128
Total U.S. Government & U.S. Government Agency Obligations (identified cost $17,470,477)				17,404,961
U.S. Government Agency-Mortgage Securities — 22.2%
Federal Home Loan Mortgage Corporation — 9.2%
3.500%, 10/1/2043		3,197,911		3,317,461
3.500%, 2/1/2044		3,184,071		3,300,799
4.000%, 4/1/2044		2,903,905		3,085,091
				9,703,351
Federal National Mortgage Association — 13.0%
3.000%, 5/1/2043		1,688,900		1,705,610
3.000%, 9/1/2044		2,540,382		2,558,462
3.000%, 2/1/2045		4,859,270		4,893,489
3.000%, 6/1/2045		2,477,987		2,495,437
3.500%, 4/1/2045		1,974,277		2,051,294
				13,704,292
Total U.S. Government Agency-Mortgage Securities (identified cost $23,148,113)				23,407,643
Short-Term Investments — 22.7%
Collateral Pool Investments for Securities on Loan — 18.6%
Collateral pool allocation (3)				19,589,302
Mutual Funds — 4.1%
BMO Prime Money Market Fund, Class I, 0.050% (4)		4,336,323		4,336,323
Total Short-Term Investments (identified cost $23,925,625)				23,925,625
Total Investments — 118.5% (identified cost $126,228,727)				124,914,421
Other Assets and Liabilities — (18.5)%				(19,526,903	)
Total Net Assets — 100.0%			$	105,387,518

TCH Corporate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 89.7%
Advertising — 0.7%
Omnicom Group, Inc., 3.650%, 11/1/2024 (1)	$	2,000,000	$	1,950,062
Agriculture — 0.7%
Altria Group, Inc., 10.200%, 2/6/2039		97,000		156,152
Bunge, Ltd. Finance Corp., 8.500%, 6/15/2019		250,000		299,345
Imperial Tobacco Finance PLC, 4.250%, 7/21/2025 (6)(7)		1,500,000		1,485,665
Reynolds American, Inc., 7.750%, 6/1/2018		250,000		285,647
				2,226,809
Auto Manufacturers — 4.2%
Daimler Finance North America LLC, 0.980%, 8/1/2016 (6)(7)(9)		2,500,000		2,505,545
Ford Motor Credit Co. LLC:
1.223%, 1/9/2018 (9)		3,000,000		2,995,287
1.239%, 11/4/2019 (9)		1,500,000		1,490,954
1.561%, 5/9/2016 (9)		1,000,000		1,003,820
5.625%, 9/15/2015		800,000		801,262
General Motors Financial Co., Inc.:
4.000%, 1/15/2025		1,000,000		950,290
4.375%, 9/25/2021		2,000,000		2,021,838
Jaguar Land Rover Automotive PLC, 5.625%, 2/1/2023 (6)(7)		450,000		451,125
Nissan Motor Acceptance Corp., 0.981%, 9/26/2016 (6)(7)(9)		250,000		250,977
				12,471,098
Banks — 18.3%
ABN AMRO Bank NV, 1.094%, 10/28/2016 (6)(7)(9)		750,000		753,292
Banco de Costa Rica, 5.250%, 8/12/2018 (6)(7)		800,000		817,000
Banco Santander Chile, 1.186%, 4/11/2017 (6)(7)(9)		1,000,000		992,534
BanColombia SA, 6.125%, 7/26/2020		500,000		519,225
Bank of America Corp.:
1.101%, 3/22/2016 (9)		1,500,000		1,503,226
1.154%, 4/1/2019 (9)		1,000,000		1,001,848
1.329%, 1/15/2019 (1)(9)		2,000,000		2,021,232
4.000%, 1/22/2025		2,000,000		1,960,878
BBVA Banco Continental SA, 5.250%, 9/22/2029 (6)(7)(9)		1,000,000		998,750
Branch Banking & Trust Co., 0.606%, 9/13/2016 (9)		1,500,000		1,501,143
Capital One Financial Corp.:
0.941%, 11/6/2015 (9)		2,000,000		2,000,788
3.150%, 7/15/2016 (1)		2,000,000		2,034,182
Citigroup, Inc.:
0.551%, 6/9/2016 (9)		1,000,000		995,610
0.822%, 3/10/2017 (9)		750,000		748,462
0.985%, 4/27/2018 (9)		3,000,000		2,993,910
Credit Suisse, 0.586%, 3/11/2016 (9)		1,750,000		1,749,825
Deutsche Bank AG/London, 0.795%, 5/30/2017 (9)		1,000,000		994,402
Discover Bank, 7.000%, 4/15/2020		1,000,000		1,153,979
Goldman Sachs Group, Inc.:
1.421%, 11/15/2018 (9)		1,000,000		1,008,449
1.454%, 4/23/2020 (1)(9)		3,000,000		3,038,187

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

86

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
1.497%, 4/30/2018 (1)(9)	$	1,500,000	$	1,515,760
6.750%, 10/1/2037		1,000,000		1,196,725
7.500%, 2/15/2019		300,000		350,523
HSBC USA, Inc., 0.581%, 6/23/2017 (9)		1,500,000		1,493,436
ING Bank NV, 5.800%, 9/25/2023 (6)(7)		500,000		542,002
Itau Unibanco Holding SA/Cayman Island, 5.500%, 8/6/2022 (6)(7)		1,400,000		1,321,180
JPMorgan Chase & Co.:
3.150%, 7/5/2016		1,500,000		1,527,063
4.625%, 5/10/2021		300,000		325,326
5.150%, 10/1/2015		1,150,000		1,153,942
Morgan Stanley:
5.500%, 1/26/2020 (1)		1,000,000		1,113,876
5.500%, 7/28/2021		1,000,000		1,126,230
National City Bank:
0.636%, 12/15/2016 (9)		550,000		547,997
0.649%, 6/7/2017 (9)		2,000,000		1,987,622
PNC Funding Corp., 4.250%, 9/21/2015		1,365,000		1,367,521
SunTrust Banks, Inc., 3.500%, 1/20/2017		3,000,000		3,076,347
Turkiye Halk Bankasi AS, 4.750%, 6/4/2019 (6)(7)		1,000,000		997,500
Turkiye Is Bankasi, 7.850%, 12/10/2023 (1)(6)(7)		250,000		266,563
Wachovia Corp., 0.637%, 10/28/2015 (9)		750,000		750,197
Wells Fargo & Co.:
0.494%, 10/28/2015 (9)		1,500,000		1,500,504
4.300%, 7/22/2027 (1)		2,000,000		2,036,092
4.650%, 11/4/2044 (1)		2,000,000		1,964,636
				54,947,964
Beverages — 0.3%
PepsiCo, Inc., 0.542%, 2/26/2016 (9)		1,000,000		1,000,579
Biotechnology — 1.8%
Amgen, Inc., 0.709%, 5/22/2017 (9)		2,500,000		2,495,405
Celgene Corp., 5.000%, 8/15/2045 (1)		3,000,000		3,038,970
				5,534,375
Chemicals — 2.2%
Agrium, Inc., 4.125%, 3/15/2035		3,000,000		2,635,383
Braskem America Finance Co., 7.125%, 7/22/2041 (6)(7)		1,000,000		797,500
Braskem Finance, Ltd., 5.750%, 4/15/2021 (6)(7)		500,000		455,000
Dow Chemical Co., 8.550%, 5/15/2019		250,000		302,218
Mexichem SAB de C.V., 6.750%, 9/19/2042 (6)(7)		1,500,000		1,496,700
OCP SA, 6.875%, 4/25/2044 (6)(7)		800,000		827,936
				6,514,737
Commercial Services — 1.2%
ADT Corp.:
3.500%, 7/15/2022 (1)		1,000,000		900,300
4.125%, 4/15/2019 (1)		500,000		510,000
4.125%, 6/15/2023 (1)		500,000		461,250
4.875%, 7/15/2042		2,250,000		1,766,250
				3,637,800

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Computers — 1.5%
Hewlett-Packard Co., 1.226%, 1/14/2019 (9)	$	2,000,000	$	1,995,526
Seagate HDD Cayman, 5.750%, 12/1/2034 (6)(7)		2,500,000		2,452,070
				4,447,596
Distribution/Wholesale — 0.3%
Ingram Micro, Inc., 4.950%, 12/15/2024		1,000,000		1,023,343
Diversified Financial Services — 6.1%
AerCap Ireland Capital, Ltd., 4.500%, 5/15/2021		2,000,000		2,037,500
Ally Financial, Inc., 4.125%, 2/13/2022		2,500,000		2,450,000
American Express Credit Corp., 0.549%, 6/5/2017 (9)		3,000,000		2,984,070
Blackstone Holdings Finance Co. LLC, 4.450%, 7/15/2045 (6)(7)		1,000,000		940,057
E*TRADE Financial Corp., 4.625%, 9/15/2023 (1)		2,000,000		2,005,000
General Electric Capital Corp., 1.181%, 5/9/2016 (9)		700,000		704,052
HSBC Finance Corp., 5.500%, 1/19/2016		2,000,000		2,035,440
Jefferies Group, LLC, 6.500%, 1/20/2043		2,000,000		1,886,474
KKR Group Finance Co. II LLC, 5.500%, 2/1/2043 (1)(6)(7)		500,000		513,632
Navient Corp, 7.250%, 1/25/2022 (1)		1,250,000		1,181,250
Nomura Holdings, Inc., 1.736%, 9/13/2016 (9)		1,500,000		1,509,390
				18,246,865
Electric — 0.2%
Georgia Power Co., 0.606%, 3/15/2016 (9)		500,000		499,447
Food — 2.4%
ConAgra Foods, Inc.:
0.662%, 7/21/2016 (9)		2,000,000		1,995,062
6.625%, 8/15/2039		2,500,000		2,634,420
Kroger Co., 0.819%, 10/17/2016 (9)		2,500,000		2,500,015
				7,129,497
Forest Products & Paper — 0.1%
International Paper Co., 8.700%, 6/15/2038		250,000		335,656
Healthcare-Products — 0.3%
Mallinckrodt International Finance SA, 4.750%, 4/15/2023		850,000		809,625
Healthcare-Services — 0.6%
Humana, Inc., 8.150%, 6/15/2038		600,000		851,787
Quest Diagnostics, Inc., 4.700%, 3/30/2045		1,125,000		1,018,712
				1,870,499
Holding Companies-Diversified — 0.8%
Alfa SAB de C.V., 6.875%, 3/25/2044 (6)(7)		1,000,000		992,500
Leucadia National Corp.:
5.500%, 10/18/2023		1,000,000		1,010,327
6.625%, 10/23/2043		500,000		475,582
				2,478,409

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

87

August 31, 2015

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Insurance — 1.5%
American Financial Group, Inc., 9.875%, 6/15/2019	$	250,000	$	312,209
Berkshire Hathaway Finance Corp., 0.456%, 1/13/2017 (9)		2,500,000		2,501,972
Primerica, Inc., 4.750%, 7/15/2022		500,000		541,377
Voya Financial, Inc., 5.500%, 7/15/2022		1,000,000		1,129,199
				4,484,757
Internet — 3.1%
Amazon.com, Inc., 4.950%, 12/5/2044		3,500,000		3,517,451
eBay, Inc., 4.000%, 7/15/2042		3,000,000		2,299,977
Expedia, Inc., 5.950%, 8/15/2020		650,000		712,194
Netflix, Inc.:
5.375%, 2/1/2021		1,250,000		1,296,875
5.750%, 3/1/2024 (1)		1,250,000		1,310,937
				9,137,434
Iron/Steel — 2.2%
Allegheny Technologies, Inc., 6.625%, 8/15/2023		1,000,000		887,500
ArcelorMittal:
6.250%, 3/1/2021 (1)		500,000		495,000
7.750%, 10/15/2039 (1)		1,000,000		932,500
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (1)(6)(7)		3,000,000		2,465,100
Samarco Mineracao SA, 5.750%, 10/24/2023 (6)(7)		1,000,000		941,000
Vale Overseas, Ltd., 8.250%, 1/17/2034		1,000,000		1,001,800
				6,722,900
Lodging — 0.4%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,113,581
Media — 4.7%
CCO Safari II LLC, 6.484%, 10/23/2045 (6)(7)		3,000,000		3,059,826
DIRECTV Holdings LLC:
3.950%, 1/15/2025 (1)		2,000,000		1,942,984
5.150%, 3/15/2042		2,000,000		1,894,472
NBCUniversal Enterprise, Inc., 0.826%, 4/15/2016 (6)(7)(9)		1,000,000		1,001,766
Time Warner Cable, Inc., 6.750%, 6/15/2039		1,000,000		1,021,834
Viacom, Inc.:
4.375%, 3/15/2043		2,500,000		1,850,933
4.850%, 12/15/2034		1,000,000		843,621
Walt Disney Co., 0.635%, 5/30/2019 (9)		2,500,000		2,499,537
				14,114,973
Mining — 2.0%
Barrick North America Finance LLC, 5.750%, 5/1/2043 (1)		1,000,000		856,982
Corp Nacional del Cobre de Chile, 4.875%, 11/4/2044 (1)(6)(7)		1,000,000		892,857
Glencore Finance Canada, Ltd., 6.900%, 11/15/2037 (6)(7)		1,000,000		952,211
Rio Tinto Finance USA PLC, 1.123%, 6/17/2016 (9)		1,400,000		1,401,886

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Mining (continued)
Southern Copper Corp., 7.500%, 7/27/2035 (1)	$	1,250,000	$	1,300,450
Teck Resources, Ltd., 6.125%, 10/1/2035		1,000,000		692,919
				6,097,305
Miscellaneous Manufacturing — 0.6%
Trinity Industries, Inc., 4.550%, 10/1/2024		2,000,000		1,881,754
Oil & Gas — 6.2%
Chesapeake Energy Corp.:
6.125%, 2/15/2021 (1)		500,000		389,690
7.250%, 12/15/2018 (1)		1,000,000		850,000
Ecopetrol SA:
5.375%, 6/26/2026 (1)		2,000,000		1,869,500
7.375%, 9/18/2043		1,000,000		981,000
Ensco PLC:
5.200%, 3/15/2025 (1)		2,000,000		1,792,386
5.750%, 10/1/2044 (1)		2,000,000		1,515,246
KazMunayGas National Co. JSC, 5.750%, 4/30/2043 (6)(7)		2,000,000		1,568,480
Nabors Industries, Inc., 4.625%, 9/15/2021		1,000,000		958,509
Petrobras Global Finance BV, 5.375%, 1/27/2021 (1)		1,000,000		884,000
Petroleos Mexicanos:
4.250%, 1/15/2025 (6)(7)		2,000,000		1,896,800
5.500%, 6/27/2044		2,000,000		1,740,500
Pride International, Inc., 6.875%, 8/15/2020 (1)		1,000,000		1,052,020
Rowan Cos., Inc., 5.400%, 12/1/2042		1,000,000		707,929
Transocean, Inc.:
6.875%, 12/15/2021 (1)		2,000,000		1,600,000
7.500%, 4/15/2031		250,000		175,000
7.850%, 12/15/2041		1,000,000		710,000
				18,691,060
Oil & Gas Services — 0.1%
Weatherford International, Ltd., 9.625%, 3/1/2019		250,000		273,156
Packaging & Containers — 0.5%
Ball Corp.:
4.000%, 11/15/2023 (1)		500,000		473,750
5.000%, 3/15/2022		1,000,000		1,020,000
				1,493,750
Pharmaceuticals — 4.9%
AbbVie, Inc., 1.061%, 11/6/2015 (9)		3,000,000		3,001,638
Actavis Funding SCS, 1.199%, 9/1/2016 (9)		3,000,000		2,999,352
Bayer U.S. Finance LLC, 0.534%, 10/7/2016 (6)(7)(9)		2,000,000		1,998,172
Forest Laboratories LLC, 4.375%, 2/1/2019 (6)(7)		900,000		941,203
Hospira, Inc., 5.800%, 8/12/2023		1,000,000		1,160,204
Merck & Co., Inc.:
0.515%, 5/18/2016 (9)		2,000,000		2,001,088
0.686%, 2/10/2020 (1)(9)		2,500,000		2,488,725
				14,590,382
Pipelines — 3.5%
Energy Transfer Partners LP:
5.150%, 3/15/2045 (1)		2,000,000		1,691,324

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

88

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines (continued)
6.500%, 2/1/2042	$	1,500,000	$	1,487,503
9.000%, 4/15/2019		250,000		294,732
Kinder Morgan Energy Partners LP, 7.500%, 11/15/2040		250,000		275,242
Kinder Morgan, Inc., 5.300%, 12/1/2034 (1)		3,000,000		2,611,653
ONEOK Partners LP, 4.900%, 3/15/2025		3,000,000		2,825,712
Sunoco Logistics Partners Operations LP, 5.350%, 5/15/2045 (1)		1,500,000		1,285,269
				10,471,435
Real Estate Investment Trusts — 1.5%
EPR Properties:
5.250%, 7/15/2023		1,000,000		1,016,806
5.750%, 8/15/2022		1,500,000		1,568,370
Hospitality Properties Trust:
4.500%, 6/15/2023		500,000		500,693
4.500%, 3/15/2025		1,500,000		1,472,581
				4,558,450
Retail — 3.2%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044		2,500,000		2,412,167
Coach, Inc., 4.250%, 4/1/2025		3,000,000		2,814,576
L Brands, Inc.:
6.950%, 3/1/2033		600,000		630,000
7.600%, 7/15/2037		1,000,000		1,125,000
QVC, Inc., 5.125%, 7/2/2022		250,000		252,846
TJX Cos., Inc., 6.950%, 4/15/2019		250,000		291,287
Walgreens Boots Alliance, Inc., 0.775%, 5/18/2016 (9)		2,000,000		1,999,376
				9,525,252
Semiconductors — 1.2%
Micron Technology, Inc., 5.500%, 2/1/2025		2,000,000		1,865,000
QUALCOMM, Inc., 4.800%, 5/20/2045		2,000,000		1,734,218
				3,599,218
Sovereign — 1.0%
Costa Rica Government International Bond:
4.375%, 4/30/2025 (6)(7)		1,000,000		890,000
7.158%, 3/12/2045 (6)(7)		2,000,000		1,885,000
Republic of Armenia, 6.000%, 9/30/2020 (6)(7)		250,000		240,100
				3,015,100
Telecommunications — 9.6%
AT&T, Inc.:
0.699%, 2/12/2016 (9)		1,500,000		1,499,043
1.237%, 11/27/2018 (9)		1,235,000		1,234,911
4.500%, 5/15/2035 (1)		2,500,000		2,304,160
CenturyLink, Inc.:
7.600%, 9/15/2039		1,400,000		1,204,000
7.650%, 3/15/2042		2,000,000		1,720,000
Cisco Systems, Inc., 0.563%, 3/3/2017 (9)		2,500,000		2,502,052
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022		800,000		768,000

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Frontier Communications Corp.:
8.125%, 10/1/2018	$	750,000	$	812,813
8.750%, 4/15/2022		500,000		495,000
9.000%, 8/15/2031		2,500,000		2,217,187
Juniper Networks, Inc., 3.300%, 6/15/2020 (1)		3,000,000		3,014,817
Motorola Solutions, Inc., 5.500%, 9/1/2044		2,500,000		2,092,348
Telecom Italia Capital SA:
6.375%, 11/15/2033		1,500,000		1,530,000
7.200%, 7/18/2036		1,500,000		1,664,063
Telefonica Europe BV, 8.250%, 9/15/2030		1,250,000		1,677,071
Verizon Communications, Inc., 6.400%, 9/15/2033		2,000,000		2,299,780
Vodafone Group PLC, 4.375%, 2/19/2043 (1)		1,500,000		1,307,409
Windstream Services LLC, 7.500%, 6/1/2022 (1)		750,000		595,320
				28,937,974
Transportation — 1.0%
FedEx Corp.:
4.100%, 2/1/2045 (1)		2,500,000		2,237,907
8.000%, 1/15/2019		250,000		298,201
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)(7)		500,000		435,698
				2,971,806
Venture Capital — 0.8%
KKR Group Finance Co. III LLC, 5.125%, 6/1/2044 (6)(7)		2,500,000		2,413,035
Total Corporate Bonds & Notes (identified cost $274,924,734)				269,217,683
Municipals — 0.2%
California — 0.2%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		580,040
Total Municipals (identified cost $500,000)				580,040
U.S. Government & U.S. Government Agency Obligations — 5.2%
U.S. Treasury Bonds & Notes — 5.2%
2.375%, 7/31/2017		4,000,000		4,124,504
2.500%, 6/30/2017		2,000,000		2,065,066
2.625%, 1/31/2018		4,000,000		4,164,140
2.750%, 5/31/2017		3,000,000		3,107,598
2.750%, 2/15/2019		2,000,000		2,102,540
Total U.S. Government & U.S. Government Agency Obligations (identified cost $15,556,028)				15,563,848
Short-Term Investments — 16.1%
Collateral Pool Investments for Securities on Loan — 13.4%
Collateral pool allocation (3)				40,373,663
Mutual Funds — 2.0%
BMO Prime Money Market Fund, Class I, 0.050% (4)		6,085,570		6,085,570

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

89

August 31, 2015

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Shares or Principal Amount		Value
Short-Term Investments (continued)
Short-Term Corporate Bonds & Notes — 0.7%
Auto Manufacturers — 0.7%
American Honda Finance Corp., 0.284%, 10/7/2015 (9)	$	2,000,000	$	1,999,898
Total Short-Term Investments (identified cost $48,459,233)				48,459,131
Total Investments — 111.2% (identified cost $339,439,995)				333,820,702
Other Assets and Liabilities — (11.2)%				(33,701,994	)
Total Net Assets — 100.0%			$	300,118,708

TCH Core Plus Bond Fund

Description	Principal Amount		Value
Asset-Backed Security — 0.1%
Automobiles — 0.1%
Harley-Davidson Motorcycle Trust, Class A4, (Series 2011-2), 1.470%, 8/15/2017	$	1,303,979	$	1,304,764
Total Asset-Backed Securities (identified cost $1,307,995)				1,304,764
Commercial Mortgage Securities — 0.1%
Private Sponsor — 0.1%
Bear Stearns Commercial Mortgage Securities, Class A4, (Series 2007-T28), 5.742%, 9/11/2042 (9)		500,000		536,018
Total Commercial Mortgage Securities (identified cost $340,609)				536,018
Corporate Bonds & Notes — 52.5%
Agriculture — 0.2%
Altria Group, Inc., 10.200%, 2/6/2039		81,000		130,395
Bunge, Ltd. Finance Corp., 8.500%, 6/15/2019		500,000		598,690
Reynolds American, Inc., 8.125%, 5/1/2040 (6)(7)		1,000,000		1,226,758
				1,955,843
Auto Manufacturers — 3.1%
Ford Motor Credit Co. LLC:
1.069%, 1/17/2017 (9)		2,000,000		1,998,434
1.223%, 1/9/2018 (9)		7,500,000		7,488,217
1.239%, 11/4/2019 (9)		4,000,000		3,975,876
1.561%, 5/9/2016 (9)		4,000,000		4,015,280
General Motors Financial Co., Inc.:
4.000%, 1/15/2025		5,000,000		4,751,450
4.375%, 9/25/2021		3,000,000		3,032,757
Jaguar Land Rover Automotive PLC, 5.625%, 2/1/2023 (6)(7)		3,000,000		3,007,500
Nissan Motor Acceptance Corp., 0.981%, 9/26/2016 (6)(7)(9)		5,000,000		5,019,545
				33,289,059

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks — 9.3%
Banco Bradesco SA/Cayman Islands, 5.750%, 3/1/2022 (6)(7)	$	2,000,000	$	1,975,000
Banco de Costa Rica, 5.250%, 8/12/2018 (6)(7)		2,500,000		2,553,125
BanColombia SA:
5.950%, 6/3/2021		750,000		801,563
6.125%, 7/26/2020		900,000		934,605
Bank of America Corp.:
1.101%, 3/22/2016 (9)		5,000,000		5,010,755
4.250%, 10/22/2026 (1)		4,000,000		3,946,484
Branch Banking & Trust Co., 0.606%, 9/13/2016 (9)		5,000,000		5,003,810
Capital One Financial Corp., 3.150%, 7/15/2016 (1)		3,500,000		3,559,818
Citigroup, Inc.:
0.822%, 3/10/2017 (1)(9)		6,000,000		5,987,694
0.985%, 4/27/2018 (1)(9)		8,000,000		7,983,760
1.255%, 7/25/2016 (9)		5,000,000		5,013,060
Credit Suisse, 0.586%, 3/11/2016 (9)		5,000,000		4,999,500
Deutsche Bank AG/London, 0.795%, 5/30/2017 (9)		3,000,000		2,983,206
Discover Bank, 7.000%, 4/15/2020		1,000,000		1,153,979
Goldman Sachs Group, Inc.:
1.421%, 11/15/2018 (1)(9)		5,000,000		5,042,245
1.454%, 4/23/2020 (1)(9)		8,000,000		8,101,832
1.497%, 4/30/2018 (9)		5,000,000		5,052,535
HSBC USA, Inc., 0.581%, 6/23/2017 (9)		4,000,000		3,982,496
ING Bank NV, 5.800%, 9/25/2023 (6)(7)		3,000,000		3,252,009
Itau Unibanco Holding SA/Cayman Island, 5.500%, 8/6/2022 (1)(6)(7)		5,000,000		4,718,500
Morgan Stanley:
1.024%, 1/5/2018 (9)		3,000,000		3,001,713
5.000%, 11/24/2025		6,000,000		6,329,376
5.500%, 7/28/2021 (1)		1,500,000		1,689,345
Standard Chartered PLC, 5.200%, 1/26/2024 (1)(6)(7)		3,500,000		3,625,219
Turkiye Halk Bankasi AS, 4.750%, 6/4/2019 (6)(7)		3,500,000		3,491,250
Turkiye Is Bankasi, 7.850%, 12/10/2023 (1)(6)(7)		250,000		266,563
				100,459,442
Biotechnology — 1.1%
Amgen, Inc., 0.709%, 5/22/2017 (9)		5,000,000		4,990,810
Celgene Corp., 5.000%, 8/15/2045		7,000,000		7,090,930
				12,081,740
Chemicals — 1.7%
Braskem America Finance Co., 7.125%, 7/22/2041 (6)(7)		6,000,000		4,785,000
Grupo Idesa SA de C.V., 7.875%, 12/18/2020 (6)(7)		2,750,000		2,866,875
Mexichem SAB de C.V., 6.750%, 9/19/2042 (6)(7)		8,400,000		8,381,520
OCP SA, 6.875%, 4/25/2044 (6)(7)		2,500,000		2,587,300
				18,620,695

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

90

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Commercial Services — 0.9%
ADT Corp.:
3.500%, 7/15/2022 (1)	$	2,750,000	$	2,475,825
4.875%, 7/15/2042		8,000,000		6,280,000
6.250%, 10/15/2021 (1)		1,000,000		1,037,500
				9,793,325
Computers — 0.8%
Hewlett-Packard Co., 1.226%, 1/14/2019 (9)		2,250,000		2,244,967
Seagate HDD Cayman:
4.875%, 6/1/2027 (6)(7)		3,000,000		2,772,828
5.750%, 12/1/2034 (6)(7)		3,500,000		3,432,898
				8,450,693
Distribution/Wholesale — 0.2%
Ingram Micro, Inc., 4.950%, 12/15/2024		2,500,000		2,558,358
Diversified Financial Services — 3.2%
AerCap Ireland Capital, Ltd., 4.500%, 5/15/2021		4,000,000		4,075,000
Ally Financial, Inc., 4.125%, 2/13/2022 (1)		6,000,000		5,880,000
American Express Credit Corp.:
0.549%, 6/5/2017 (9)		7,500,000		7,460,175
0.907%, 7/31/2018 (9)		3,000,000		3,001,152
General Electric Capital Corp., 0.884%, 1/8/2016 (9)		4,000,000		4,006,376
Jefferies Group, LLC, 6.500%, 1/20/2043 (1)		5,000,000		4,716,185
Navient Corp, 7.250%, 1/25/2022		1,500,000		1,417,500
Nomura Holdings, Inc., 1.736%, 9/13/2016 (9)		4,000,000		4,025,040
				34,581,428
Electric — 0.9%
CMS Energy Corp., 5.050%, 3/15/2022		1,000,000		1,088,617
Entergy Corp., 3.625%, 9/15/2015		5,000,000		5,004,330
Georgia Power Co., 0.606%, 3/15/2016 (9)		4,000,000		3,995,576
				10,088,523
Food — 1.3%
ConAgra Foods, Inc.:
0.662%, 7/21/2016 (9)		4,000,000		3,990,124
6.625%, 8/15/2039		7,000,000		7,376,376
Kroger Co., 0.819%, 10/17/2016 (9)		3,000,000		3,000,018
				14,366,518
Forest Products & Paper — 0.0%
International Paper Co., 8.700%, 6/15/2038		250,000		335,656
Healthcare-Products — 0.3%
Mallinckrodt International Finance SA, 4.750%, 4/15/2023		3,000,000		2,857,500
Healthcare-Services — 0.3%
UnitedHealth Group, Inc., 0.744%, 1/17/2017 (9)		3,000,000		3,002,088
Holding Companies-Diversified — 0.6%
Leucadia National Corp.:
5.500%, 10/18/2023 (1)		4,000,000		4,041,308
6.625%, 10/23/2043		3,000,000		2,853,492
				6,894,800

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Insurance — 0.4%
American Financial Group, Inc., 9.875%, 6/15/2019	$	250,000	$	312,209
Berkshire Hathaway Finance Corp., 0.456%, 1/13/2017 (1)(9)		2,500,000		2,501,972
Voya Financial, Inc., 5.500%, 7/15/2022		1,000,000		1,129,199
				3,943,380
Internet — 1.5%
Amazon.com, Inc., 4.800%, 12/5/2034 (1)		5,000,000		5,051,415
eBay, Inc., 4.000%, 7/15/2042		7,000,000		5,366,613
Netflix, Inc.:
5.375%, 2/1/2021		250,000		259,375
5.750%, 3/1/2024		4,750,000		4,981,562
				15,658,965
Iron/Steel — 2.5%
Allegheny Technologies, Inc., 6.625%, 8/15/2023		2,000,000		1,775,000
ArcelorMittal:
6.250%, 3/1/2021 (1)		750,000		742,500
7.750%, 10/15/2039		1,000,000		932,500
Glencore Funding LLC:
1.487%, 5/27/2016 (6)(7)(9)		1,500,000		1,489,383
4.125%, 5/30/2023 (1)(6)(7)		2,000,000		1,802,172
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (6)(7)		8,000,000		6,573,600
Samarco Mineracao SA, 5.750%, 10/24/2023 (6)(7)		5,000,000		4,705,000
Vale Overseas, Ltd.:
6.875%, 11/21/2036 (1)		8,500,000		7,276,000
8.250%, 1/17/2034		1,500,000		1,502,700
				26,798,855
Media — 2.3%
CCO Safari II LLC, 6.384%, 10/23/2035 (1)(6)(7)		7,000,000		7,146,804
DIRECTV Holdings LLC, 5.150%, 3/15/2042 (1)		4,000,000		3,788,944
NBCUniversal Enterprise, Inc., 0.826%, 4/15/2016 (6)(7)(9)		4,000,000		4,007,064
Viacom, Inc.:
4.375%, 3/15/2043		2,500,000		1,850,932
4.850%, 12/15/2034 (1)		8,000,000		6,748,968
Walt Disney Co., 0.635%, 5/30/2019 (9)		1,000,000		999,815
				24,542,527
Mining — 2.1%
Barrick North America Finance LLC, 5.700%, 5/30/2041 (1)		4,000,000		3,291,632
Glencore Finance Canada, Ltd., 6.900%, 11/15/2037 (6)(7)		2,500,000		2,380,527
Newmont Mining Corp., 6.250%, 10/1/2039		2,000,000		1,780,746
Rio Tinto Finance USA PLC, 1.123%, 6/17/2016 (9)		4,000,000		4,005,388
Southern Copper Corp.:
5.250%, 11/8/2042 (1)		5,000,000		4,090,500
7.500%, 7/27/2035 (1)		3,000,000		3,121,080
Teck Resources, Ltd.:
6.125%, 10/1/2035		1,500,000		1,039,379
6.250%, 7/15/2041		4,550,000		3,067,615
				22,776,867

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

91

August 31, 2015

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Miscellaneous Manufacturing — 0.3%
Trinity Industries, Inc., 4.550%, 10/1/2024	$	3,000,000	$	2,822,631
Oil & Gas — 3.8%
Chesapeake Energy Corp.:
6.125%, 2/15/2021 (1)		1,000,000		779,380
7.250%, 12/15/2018		5,000,000		4,250,000
Ecopetrol SA:
5.375%, 6/26/2026		2,000,000		1,869,500
7.375%, 9/18/2043 (1)		6,000,000		5,886,000
7.625%, 7/23/2019 (1)		500,000		571,850
Ensco PLC, 5.750%, 10/1/2044 (1)		8,000,000		6,060,984
KazMunayGas National Co. JSC, 5.750%, 4/30/2043 (6)(7)		7,000,000		5,489,680
Petroleos Mexicanos:
5.500%, 6/27/2044		4,000,000		3,481,000
6.375%, 1/23/2045 (1)		2,500,000		2,449,500
Pride International, Inc., 7.875%, 8/15/2040		1,000,000		966,533
Rowan Cos., Inc., 5.400%, 12/1/2042		6,000,000		4,247,574
Transocean, Inc.:
6.875%, 12/15/2021 (1)		5,000,000		4,000,000
7.500%, 4/15/2031		250,000		175,000
7.850%, 12/15/2041 (1)		1,500,000		1,065,000
				41,292,001
Oil & Gas Services — 0.0%
Weatherford International, Ltd., 9.625%, 3/1/2019		250,000		273,156
Packaging & Containers — 1.1%
Ball Corp.:
4.000%, 11/15/2023 (1)		4,000,000		3,790,000
5.000%, 3/15/2022 (1)		7,500,000		7,650,000
				11,440,000
Pharmaceuticals — 3.4%
AbbVie, Inc., 1.061%, 11/6/2015 (9)		9,000,000		9,004,914
Actavis Funding SCS, 1.199%, 9/1/2016 (9)		3,500,000		3,499,244
Bayer U.S. Finance LLC, 0.534%, 10/7/2016 (6)(7)(9)		5,000,000		4,995,430
Hospira, Inc., 5.800%, 8/12/2023		4,000,000		4,640,816
Merck & Co., Inc.:
0.515%, 5/18/2016 (9)		8,000,000		8,004,352
0.686%, 2/10/2020 (1)(9)		6,000,000		5,972,940
				36,117,696
Pipelines — 0.7%
Energy Transfer Partners LP:
5.150%, 3/15/2045 (1)		4,000,000		3,382,648
6.500%, 2/1/2042		1,000,000		991,669
9.000%, 4/15/2019		250,000		294,731
ONEOK Partners LP, 4.900%, 3/15/2025		3,400,000		3,202,474
				7,871,522
Real Estate Investment Trusts — 1.1%
EPR Properties:
5.250%, 7/15/2023		5,000,000		5,084,030
5.750%, 8/15/2022		1,000,000		1,045,580
Health Care REIT, Inc., 4.500%, 1/15/2024 (1)		2,500,000		2,589,935

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Real Estate Investment Trusts (continued)
Hospitality Properties Trust:
4.500%, 6/15/2023	$	1,000,000	$	1,001,386
4.500%, 3/15/2025		2,500,000		2,454,303
				12,175,234
Retail — 1.4%
Coach, Inc., 4.250%, 4/1/2025		6,000,000		5,629,152
L Brands, Inc.:
6.950%, 3/1/2033		2,500,000		2,625,000
7.600%, 7/15/2037		6,000,000		6,750,000
QVC, Inc., 5.125%, 7/2/2022		250,000		252,846
				15,256,998
Semiconductors — 1.8%
Micron Technology, Inc., 5.500%, 2/1/2025 (1)		8,000,000		7,460,000
QUALCOMM, Inc.:
0.603%, 5/18/2018 (9)		7,000,000		6,930,896
4.800%, 5/20/2045		5,000,000		4,335,545
				18,726,441
Sovereign — 0.6%
Costa Rica Government International Bond:
5.625%, 4/30/2043 (6)(7)		5,000,000		4,100,000
7.000%, 4/4/2044 (1)(6)(7)		2,000,000		1,880,000
Republic of Armenia, 6.000%, 9/30/2020 (6)(7)		751,000		721,260
				6,701,260
Telecommunications — 4.8%
AT&T, Inc.:
0.699%, 2/12/2016 (9)		4,000,000		3,997,448
4.500%, 5/15/2035 (1)		5,500,000		5,069,152
CenturyLink, Inc.:
7.600%, 9/15/2039		6,500,000		5,590,000
7.650%, 3/15/2042		6,750,000		5,805,000
Frontier Communications Corp.:
7.125%, 1/15/2023 (1)		5,000,000		4,540,000
7.875%, 1/15/2027		2,500,000		2,225,000
8.125%, 10/1/2018		500,000		541,875
9.000%, 8/15/2031		500,000		443,438
Motorola Solutions, Inc., 5.500%, 9/1/2044		7,500,000		6,277,042
Telecom Italia Capital SA, 6.375%, 11/15/2033		6,000,000		6,120,000
Telefonica Europe BV, 8.250%, 9/15/2030		1,530,000		2,052,735
Verizon Communications, Inc.:
2.036%, 9/14/2018 (9)		2,000,000		2,054,952
5.150%, 9/15/2023 (1)		5,000,000		5,490,635
Windstream Services LLC, 7.500%, 6/1/2022 (1)		1,000,000		793,760
				51,001,037
Transportation — 0.1%
FedEx Corp., 8.000%, 1/15/2019		250,000		298,201
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)(7)		500,000		435,698
				733,899
Trucking & Leasing — 0.2%
Aviation Capital Group Corp., 4.625%, 1/31/2018 (6)(7)		2,000,000		2,057,500

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

92

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Venture Capital — 0.5%
KKR Group Finance Co. III LLC, 5.125%, 6/1/2044 (6)(7)	$	5,000,000	$	4,826,070
Total Corporate Bonds & Notes (identified cost $582,595,747)				564,351,707
Municipals — 0.0%
California — 0.0%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		300,000		348,024
Total Municipals (identified cost $300,000)				348,024
U.S. Government & U.S. Government Agency Obligations — 16.6%
U.S. Treasury Bonds & Notes — 16.6%
1.375%, 7/15/2018 (1)		5,532,650		5,763,323
1.750%, 1/15/2028		1,708,455		1,906,484
1.875%, 7/15/2019		5,587,600		5,989,790
2.000%, 7/31/2020		12,500,000		12,763,187
2.000%, 9/30/2020 (1)		10,000,000		10,193,230
2.000%, 11/30/2020		2,500,000		2,543,783
2.000%, 11/15/2021		15,000,000		15,130,755
2.000%, 2/15/2023		15,000,000		14,998,440
2.000%, 2/15/2025 (1)		5,000,000		4,913,445
2.125%, 1/15/2019		5,001,165		5,347,991
2.125%, 8/15/2021		12,500,000		12,728,837
2.250%, 11/30/2017 (1)		14,000,000		14,431,396
2.250%, 11/15/2024 (1)		15,000,000		15,078,900
2.375%, 7/31/2017		12,500,000		12,889,075
2.500%, 6/30/2017		10,000,000		10,325,330
2.500%, 5/15/2024 (1)		5,000,000		5,143,490
2.625%, 1/31/2018		15,000,000		15,615,525
2.750%, 5/31/2017		12,500,000		12,948,325
Total U.S. Government & U.S. Government Agency Obligations (identified cost $177,633,857)				178,711,306
U.S. Government Agency-Mortgage Securities — 28.5%
Federal Home Loan Mortgage Corporation — 14.7%
3.000%, 11/1/2042		1,622,398		1,631,894
3.000%, 4/1/2043		1,924,305		1,940,856
3.000%, 4/1/2043		2,704,299		2,719,459
3.000%, 4/1/2043		6,861,405		6,905,758
3.000%, 5/1/2043		3,435,803		3,454,278
3.000%, 7/1/2043		13,236,961		13,305,078
3.000%, 9/1/2043		13,318,933		13,384,449
3.000%, 4/1/2045		11,834,610		11,879,475
3.000%, 5/1/2045		6,433,197		6,457,586
3.500%, 12/1/2040		1,216,263		1,265,590
3.500%, 12/1/2041		1,301,020		1,353,835
3.500%, 3/1/2042		463,878		482,722
3.500%, 12/1/2042		1,039,467		1,081,698
3.500%, 7/1/2043		6,262,617		6,500,596
3.500%, 9/1/2043		12,886,944		13,373,142
3.500%, 11/1/2043		11,380,945		11,799,639
3.500%, 1/1/2044		11,678,565		12,106,701
3.500%, 2/1/2044		11,940,266		12,377,996
3.500%, 11/1/2044		8,841,985		9,166,132
4.000%, 4/1/2026		746,360		796,888
4.000%, 10/1/2031		1,159,004		1,233,005

Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal Home Loan Mortgage Corporation (continued)
4.000%, 12/1/2039	$	916,265	$	974,938
4.000%, 12/1/2040		395,498		422,211
4.000%, 12/1/2040		5,221,426		5,552,945
4.000%, 3/1/2041		415,830		442,724
4.000%, 4/1/2041		9,306,130		9,983,588
4.000%, 8/1/2041		258,226		274,633
4.000%, 11/1/2041		1,074,707		1,143,717
4.500%, 9/1/2031		553,877		605,746
4.500%, 3/1/2039		238,629		259,381
4.500%, 5/1/2039		915,532		1,007,917
4.500%, 2/1/2040		239,444		260,050
4.500%, 11/1/2040		745,597		814,680
4.500%, 2/1/2041		1,567,247		1,703,790
5.000%, 12/1/2035		112,865		124,110
5.000%, 1/1/2038		59,287		65,102
5.000%, 3/1/2038		201,900		221,496
5.000%, 3/1/2038		64,061		70,339
5.000%, 2/1/2039		270,002		296,156
5.000%, 1/1/2040		291,660		322,973
6.000%, 6/1/2037		221,633		250,238
6.000%, 1/1/2038		246,211		278,053
				158,291,564
Federal National Mortgage Association — 13.5%
3.000%, 3/1/2043		3,601,493		3,638,188
3.000%, 7/1/2043		8,884,524		8,968,332
3.000%, 7/1/2043		17,639,256		17,805,594
3.000%, 8/1/2043		13,434,116		13,558,758
3.000%, 9/1/2044		12,701,911		12,792,311
3.000%, 1/1/2045		13,933,466		14,031,586
3.000%, 2/1/2045		19,437,078		19,573,954
3.000%, 6/1/2045		9,951,264		10,021,341
3.500%, 7/1/2032		648,160		682,926
3.500%, 5/1/2042		1,602,619		1,666,786
3.500%, 10/1/2042		1,780,832		1,852,545
3.500%, 10/1/2042		1,141,867		1,192,979
3.500%, 10/1/2042		1,445,476		1,502,853
3.500%, 11/1/2042		781,466		812,844
3.500%, 12/1/2042		1,480,234		1,539,682
3.500%, 1/1/2043		4,213,008		4,394,939
3.500%, 5/1/2043		16,393,367		17,045,036
4.000%, 11/1/2040		503,075		538,003
4.000%, 1/1/2041		844,801		903,458
4.000%, 2/1/2041		711,127		758,813
4.000%, 2/1/2041		3,908,338		4,183,153
4.000%, 3/1/2041		280,984		300,523
4.000%, 11/1/2041		796,095		848,962
4.500%, 6/1/2039		1,301,317		1,426,337
4.500%, 8/1/2041		790,115		861,029
5.000%, 7/1/2022		555,180		600,114
5.000%, 3/1/2035		451,152		500,219
5.000%, 5/1/2042		1,078,827		1,194,240
5.500%, 2/1/2034		76,667		86,489
5.500%, 7/1/2036		425,120		478,915
5.500%, 8/1/2037		797,660		897,236
5.500%, 6/1/2038		97,116		108,683
6.000%, 12/1/2038		50,598		57,132
6.000%, 5/1/2039		323,105		367,940
6.500%, 10/1/2037		93,244		107,121
6.500%, 11/1/2037		72,262		80,749
				145,379,770
Government National Mortgage Association — 0.3%
4.000%, 10/15/2040		804,536		858,044
4.000%, 12/15/2040		1,002,083		1,067,602

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

93

August 31, 2015

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Government National Mortgage Association (continued)
4.000%, 4/15/2041	$	925,792	$	986,325
5.500%, 8/20/2038		145,609		155,950
5.500%, 2/15/2039		79,996		89,974
6.000%, 12/15/2038		95,995		108,693
6.000%, 1/15/2039		53,415		60,481
				3,327,069
Total U.S. Government Agency-Mortgage Securities (identified cost $300,906,527)				306,998,403
Short-Term Investments — 14.1%
Collateral Pool Investments for Securities on Loan — 12.3%
Collateral pool allocation (3)				131,722,400
Mutual Funds — 1.8%
BMO Prime Money Market Fund, Class I, 0.050% (4)		19,640,890		19,640,890
Total Short-Term Investments (identified cost $151,363,290)				151,363,290
Total Investments — 111.9% (identified cost $1,214,448,025)				1,203,613,512
Other Assets and Liabilities — (11.9)%				(128,137,961	)
Total Net Assets — 100.0%			$	1,075,475,551

Monegy High Yield Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 97.6%
Aerospace/Defense — 1.3%
Spirit AeroSystems, Inc., 6.750%, 12/15/2020	$	340,000	$	356,184
TransDigm, Inc., 6.500%, 7/15/2024		290,000		284,925
Triumph Group, Inc., 4.875%, 4/1/2021		320,000		312,000
				953,109
Agriculture — 0.8%
Alliance One International, Inc., 9.875%, 7/15/2021		277,000		234,757
Vector Group, Ltd., 7.750%, 2/15/2021		325,000		347,019
				581,776
Airlines — 1.2%
American Airlines Group, Inc., 4.625%, 3/1/2020 (6)(7)		453,000		446,205
United Continental Holdings, Inc.:
6.000%, 12/1/2020		150,000		156,938
6.375%, 6/1/2018		276,000		289,455
				892,598
Apparel — 0.5%
Levi Strauss & Co., 5.000%, 5/1/2025		236,000		232,165
Perry Ellis International, Inc., 7.875%, 4/1/2019		155,000		160,425
				392,590

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Auto Manufacturers — 1.1%
Fiat Chrysler Automobiles, 5.250%, 4/15/2023	$	250,000	$	248,438
General Motors Co., 5.200%, 4/1/2045		203,000		191,922
Navistar International Corp., 8.250%, 11/1/2021		381,000		331,470
				771,830
Auto Parts & Equipment — 3.4%
American Axle & Manufacturing, Inc.:
5.125%, 2/15/2019		139,000		141,259
6.250%, 3/15/2021		152,000		155,610
6.625%, 10/15/2022		201,000		206,025
Dana Holding Corp.:
5.500%, 12/15/2024		59,000		58,263
6.750%, 2/15/2021		120,000		125,250
Goodyear Tire & Rubber Co.:
7.000%, 5/15/2022		68,000		72,505
8.250%, 8/15/2020		258,000		269,932
Meritor, Inc.:
6.250%, 2/15/2024		270,000		262,912
6.750%, 6/15/2021		262,000		267,240
Pittsburgh Glass Works LLC, 8.000%, 11/15/2018 (6)(7)		421,000		439,945
Tenneco, Inc., 5.375%, 12/15/2024		241,000		250,038
Titan International, Inc., 6.875%, 10/1/2020		286,000		257,400
				2,506,379
Banks — 1.0%
CIT Group, Inc.:
5.000%, 8/15/2022		491,000		500,206
5.375%, 5/15/2020		52,000		54,470
5.500%, 2/15/2019 (6)(7)		189,000		199,159
				753,835
Beverages — 0.6%
Cott Beverages, Inc.:
5.375%, 7/1/2022		301,000		296,485
6.750%, 1/1/2020		158,000		164,320
				460,805
Building Materials — 2.4%
Builders FirstSource, Inc., 7.625%, 6/1/2021 (6)(7)		347,000		366,085
Gibraltar Industries, Inc., 6.250%, 2/1/2021		314,000		318,710
Louisiana-Pacific Corp., 7.500%, 6/1/2020		439,000		466,437
Norbord, Inc., 6.250%, 4/15/2023 (6)(7)		289,000		291,890
Vulcan Materials Co., 7.500%, 6/15/2021		259,000		297,203
				1,740,325
Chemicals — 1.3%
Huntsman International LLC, 5.125%, 11/15/2022 (6)(7)		227,000		216,218
Kraton Polymers LLC, 6.750%, 3/1/2019		300,000		302,437
PolyOne Corp., 7.375%, 9/15/2020		216,000		225,234
Tronox Finance LLC, 6.375%, 8/15/2020		287,000		236,775
				980,664

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

94

BMO Funds

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Coal — 0.6%
Murray Energy Corp., 11.250%, 4/15/2021 (6)(7)	$	350,000	$	163,625
SunCoke Energy Partners LP:
7.375%, 2/1/2020 (6)(7)		125,000		114,063
7.375%, 2/1/2020 (6)(7)		181,000		165,162
				442,850
Commercial Services — 6.7%
ADT Corp., 6.250%, 10/15/2021		274,000		284,275
Avis Budget Car Rental LLC, 5.250%, 3/15/2025 (6)(7)		185,000		175,981
Deluxe Corp., 6.000%, 11/15/2020		218,000		229,717
FTI Consulting, Inc.:
6.000%, 11/15/2022		68,000		71,655
6.750%, 10/1/2020		316,000		328,972
Great Lakes Dredge & Dock Corp., 7.375%, 2/1/2019		264,000		266,640
Hertz Corp.:
6.750%, 4/15/2019		63,000		64,575
7.500%, 10/15/2018		500,000		511,875
Live Nation Entertainment, Inc., 7.000%, 9/1/2020 (6)(7)		305,000		324,825
Monitronics International, Inc., 9.125%, 4/1/2020		412,000		387,280
Quad/Graphics, Inc., 7.000%, 5/1/2022		282,000		263,670
Rent-A-Center, Inc.:
4.750%, 5/1/2021		50,000		43,000
6.625%, 11/15/2020		340,000		334,900
RR Donnelley & Sons Co., 7.000%, 2/15/2022		272,000		267,580
Service Corp. International:
5.375%, 1/15/2022		192,000		202,320
5.375%, 5/15/2024		329,000		343,805
Sotheby’s, 5.250%, 10/1/2022 (6)(7)		343,000		327,565
United Rentals North America, Inc.:
4.625%, 7/15/2023		125,000		123,437
5.500%, 7/15/2025		132,000		127,875
6.125%, 6/15/2023		128,000		131,200
7.625%, 4/15/2022		55,000		59,538
8.250%, 2/1/2021		29,000		30,813
				4,901,498
Computers — 0.5%
DynCorp International, Inc., 10.375%, 7/1/2017		176,000		129,360
IHS, Inc., 5.000%, 11/1/2022		218,000		221,270
				350,630
Cosmetics/Personal Care — 0.8%
Albea Beauty Holdings SA, 8.375%, 11/1/2019 (6)(7)		292,000		310,980
Revlon Consumer Products Corp., 5.750%, 2/15/2021		267,000		265,665
				576,645
Distribution/Wholesale — 0.4%
Univar USA, Inc., 6.750%, 7/15/2023 (6)(7)		284,000		283,290
Diversified Financial Services — 3.8%
AerCap Ireland Capital, Ltd., 4.625%, 7/1/2022		150,000		151,500

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services (continued)
Aircastle, Ltd.:
4.625%, 12/15/2018	$	56,000	$	57,680
6.250%, 12/1/2019		74,000		80,475
7.625%, 4/15/2020		185,000		210,669
Ally Financial, Inc., 3.750%, 11/18/2019		233,000		233,000
Cogent Communications Finance, Inc., 5.625%, 4/15/2021 (6)(7)		212,000		199,280
CoreLogic, Inc., 7.250%, 6/1/2021		250,000		263,125
Credit Acceptance Corp., 6.125%, 2/15/2021		212,000		211,205
Fly Leasing, Ltd., 6.750%, 12/15/2020		400,000		413,000
Icahn Enterprises LP, 5.875%, 2/1/2022		150,000		152,100
International Lease Finance Corp.:
4.625%, 4/15/2021		225,000		229,500
5.875%, 8/15/2022		125,000		135,156
NewStar Financial, Inc., 7.250%, 5/1/2020 (6)(7)		183,000		182,314
PHH Corp., 6.375%, 8/15/2021		282,000		261,555
				2,780,559
Electric — 1.8%
AES Corp., 7.375%, 7/1/2021		42,000		45,465
Calpine Corp.:
5.375%, 1/15/2023		200,000		193,940
5.750%, 1/15/2025		10,000		9,725
5.875%, 1/15/2024 (6)(7)		164,000		173,020
GenOn Energy, Inc., 9.500%, 10/15/2018		433,000		418,386
NRG Energy, Inc., 6.625%, 3/15/2023		446,000		440,425
				1,280,961
Electrical Components & Equipment — 1.6%
Anixter, Inc., 5.500%, 3/1/2023 (6)(7)		237,000		237,592
Belden, Inc., 5.500%, 9/1/2022 (6)(7)		419,000		414,810
General Cable Corp., 5.750%, 10/1/2022		286,000		257,400
WESCO Distribution, Inc., 5.375%, 12/15/2021		290,000		283,475
				1,193,277
Engineering & Construction — 0.8%
Abengoa Finance SAU, 7.750%, 2/1/2020 (6)(7)		150,000		90,000
Dycom Investments, Inc., 7.125%, 1/15/2021		333,000		348,818
MasTec, Inc., 4.875%, 3/15/2023		190,000		156,750
				595,568
Entertainment — 3.0%
AMC Entertainment, Inc., 5.875%, 2/15/2022		271,000		276,420
Cinemark USA, Inc., 7.375%, 6/15/2021		200,000		212,250
DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020 (6)(7)		277,000		261,765
National CineMedia LLC, 7.875%, 7/15/2021		502,000		525,845
Penn National Gaming, Inc., 5.875%, 11/1/2021		381,000		388,620

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

95

August 31, 2015

Schedules of Investments

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Entertainment (continued)
Regal Entertainment Group:
5.750%, 3/15/2022	$	105,000	$	106,050
5.750%, 2/1/2025		268,000		260,965
Speedway Motorsports, Inc., 5.125%, 2/1/2023		176,000		175,120
				2,207,035
Environmental Control — 0.5%
Covanta Holding Corp., 5.875%, 3/1/2024		390,000		382,200
Food — 2.7%
Chiquita Brands International, Inc., 7.875%, 2/1/2021		182,000		197,243
Darling Ingredients, Inc., 5.375%, 1/15/2022		285,000		282,506
Dean Foods Co., 6.500%, 3/15/2023 (6)(7)		267,000		270,337
Dean Holding Co., 6.900%, 10/15/2017		300,000		313,125
H.J. Heinz Co., 4.875%, 2/15/2025 (6)(7)		215,000		232,303
JBS USA LLC:
5.875%, 7/15/2024 (6)(7)		100,000		99,875
7.250%, 6/1/2021 (6)(7)		163,000		170,946
8.250%, 2/1/2020 (6)(7)		184,000		194,810
Post Holdings, Inc., 6.750%, 12/1/2021 (6)(7)		200,000		202,000
				1,963,145
Food Service — 0.4%
ARAMARK Services, Inc., 5.750%, 3/15/2020		269,000		279,424
Forest Products & Paper — 0.9%
P.H. Glatfelter Co., 5.375%, 10/15/2020		118,000		120,065
Sappi Papier Holding GmbH:
6.625%, 4/15/2021 (6)(7)		200,000		206,000
7.750%, 7/15/2017 (6)(7)		300,000		322,500
				648,565
Gas — 0.4%
AmeriGas Partners LP, 6.500%, 5/20/2021		250,000		253,750
Healthcare-Products — 1.2%
Alere, Inc.:
6.375%, 7/1/2023 (6)(7)		62,000		63,705
6.500%, 6/15/2020		243,000		253,228
Hanger, Inc., 7.125%, 11/15/2018		262,000		259,380
Hill-Rom Holdings, Inc., 5.750%, 9/1/2023 (6)(7)(10)		160,000		163,600
Teleflex, Inc., 5.250%, 6/15/2024		161,000		162,207
				902,120
Healthcare-Services — 6.7%
Acadia Healthcare Co., Inc.:
5.125%, 7/1/2022		18,000		18,135
6.125%, 3/15/2021		253,000		262,487
Amsurg Corp., 5.625%, 7/15/2022		377,000		386,191
Centene Corp., 4.750%, 5/15/2022		274,000		278,965
CHS/Community Health Systems, Inc.:
6.875%, 2/1/2022		276,000		294,026
8.000%, 11/15/2019		221,000		231,497

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Healthcare-Services (continued)
DaVita HealthCare Partners, Inc., 5.000%, 5/1/2025	$	182,000	$	178,815
Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024 (6)(7)		178,000		179,104
HCA, Inc.:
5.000%, 3/15/2024		276,000		283,245
7.500%, 2/15/2022		225,000		258,680
HealthSouth Corp.:
5.125%, 3/15/2023		100,000		99,375
5.750%, 11/1/2024		368,000		374,035
Kindred Healthcare, Inc., 6.375%, 4/15/2022		370,000		380,637
LifePoint Hospitals, Inc., 5.500%, 12/1/2021		394,000		411,484
Select Medical Corp., 6.375%, 6/1/2021		450,000		459,000
Tenet Healthcare Corp.:
6.750%, 2/1/2020		154,000		163,048
6.750%, 6/15/2023		305,000		315,675
8.000%, 8/1/2020		320,000		334,800
				4,909,199
Holding Companies-Diversified — 0.5%
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (6)(7)		359,000		376,950
Home Builders — 2.8%
Brookfield Residential Properties, Inc.:
6.125%, 7/1/2022 (6)(7)		215,000		209,625
6.500%, 12/15/2020 (6)(7)		68,000		68,170
KB Home:
7.500%, 9/15/2022		54,000		55,890
7.625%, 5/15/2023		128,000		131,840
8.000%, 3/15/2020		151,000		163,458
Meritage Homes Corp., 7.150%, 4/15/2020		275,000		298,375
Ryland Group, Inc., 6.625%, 5/1/2020		263,000		289,300
Taylor Morrison Communities, Inc.:
5.250%, 4/15/2021 (6)(7)		196,000		197,960
5.875%, 4/15/2023 (6)(7)		185,000		186,387
TRI Pointe Holdings, Inc.:
4.375%, 6/15/2019		119,000		118,554
5.875%, 6/15/2024		90,000		89,100
William Lyon Homes, Inc., 5.750%, 4/15/2019		257,000		260,693
				2,069,352
Home Furnishings — 0.6%
Tempur Sealy International, Inc., 6.875%, 12/15/2020		409,000		439,675
Household Products/Wares — 1.1%
ACCO Brands Corp., 6.750%, 4/30/2020		366,000		386,130
Central Garden and Pet Co., 8.250%, 3/1/2018		189,000		193,253
Prestige Brands, Inc., 8.125%, 2/1/2020		200,000		213,000
Spectrum Brands, Inc., 6.375%, 11/15/2020		28,000		29,785
				822,168
Internet — 0.9%
IAC/InterActiveCorp, 4.750%, 12/15/2022		290,000		270,788

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

96

BMO Funds

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Internet (continued)
Netflix, Inc., 5.375%, 2/1/2021	$	355,000	$	368,312
				639,100
Iron/Steel — 0.6%
Steel Dynamics, Inc., 6.375%, 8/15/2022		27,000		28,013
United States Steel Corp., 6.875%, 4/1/2021		448,000		400,960
				428,973
Leisure Time — 1.1%
Brunswick Corp.:
4.625%, 5/15/2021 (6)(7)		119,000		119,892
7.375%, 9/1/2023		202,000		220,180
NCL Corp., Ltd.:
5.000%, 2/15/2018		364,000		370,370
5.250%, 11/15/2019 (6)(7)		82,000		85,255
				795,697
Lodging — 0.8%
MGM Resorts International:
6.625%, 12/15/2021		165,000		176,137
6.750%, 10/1/2020		234,000		250,380
8.625%, 2/1/2019		109,000		122,320
				548,837
Machinery-Construction & Mining — 0.4%
Terex Corp., 6.000%, 5/15/2021		264,000		267,960
Media — 6.3%
Block Communications, Inc., 7.250%, 2/1/2020 (6)(7)		422,000		426,220
Cablevision Systems Corp., 8.000%, 4/15/2020		108,000		117,180
CCO Holdings LLC:
5.125%, 2/15/2023		100,000		100,000
5.125%, 5/1/2023 (6)(7)		127,000		127,317
5.250%, 3/15/2021		75,000		75,938
5.375%, 5/1/2025 (6)(7)		118,000		114,902
7.375%, 6/1/2020		180,000		188,100
Cequel Communications Holdings I LLC:
5.125%, 12/15/2021 (6)(7)		160,000		147,200
5.125%, 12/15/2021 (6)(7)		121,000		111,320
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		486,000		504,832
CSC Holdings LLC, 6.750%, 11/15/2021		168,000		176,610
DISH DBS Corp., 5.000%, 3/15/2023		205,000		181,554
Gray Television, Inc., 7.500%, 10/1/2020		362,000		375,684
Nexstar Broadcasting, Inc., 6.875%, 11/15/2020		301,000		317,179
Nielsen Finance LLC, 5.000%, 4/15/2022 (6)(7)		362,000		358,380
Numericable-SFR SAS, 6.000%, 5/15/2022 (6)(7)		300,000		300,750
Sinclair Television Group, Inc, 6.375%, 11/1/2021		164,000		168,100
Sirius XM Radio, Inc.:
5.875%, 10/1/2020 (6)(7)		235,000		245,575
6.000%, 7/15/2024 (6)(7)		176,000		181,720
Tribune Media Co., 5.875%, 7/15/2022 (6)(7)		371,000		374,710
				4,593,271

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Mining — 0.9%
First Quantum Minerals, Ltd., 7.250%, 5/15/2022 (6)(7)	$	265,000	$	185,500
FMG Resources (August 2006) Pty, Ltd., 6.875%, 4/1/2022 (6)(7)		456,000		285,000
Hecla Mining Co., 6.875%, 5/1/2021		220,000		177,100
				647,600
Miscellaneous Manufacturing — 0.8%
Koppers, Inc., 7.875%, 12/1/2019		359,000		366,180
Trinseo Materials Operating SCA, 6.750%, 5/1/2022 (6)(7)		200,000		202,000
				568,180
Oil & Gas — 4.6%
Antero Resources Corp., 5.125%, 12/1/2022		371,000		337,688
Berry Petroleum Co., 6.750%, 11/1/2020		152,000		81,320
Bill Barrett Corp., 7.625%, 10/1/2019		125,000		99,688
Calumet Specialty Products Partners LP:
6.500%, 4/15/2021		186,000		176,700
7.625%, 1/15/2022		184,000		180,320
Carrizo Oil & Gas, Inc., 6.250%, 4/15/2023		99,000		89,595
Chesapeake Energy Corp.:
4.875%, 4/15/2022		250,000		182,500
6.125%, 2/15/2021		14,000		10,911
6.625%, 8/15/2020		343,000		275,258
CITGO Petroleum Corp., 6.250%, 8/15/2022 (6)(7)		280,000		273,000
Denbury Resources, Inc., 5.500%, 5/1/2022		269,000		193,008
Gulfport Energy Corp., 6.625%, 5/1/2023 (6)(7)		275,000		257,125
Linn Energy LLC:
6.250%, 11/1/2019		232,000		91,640
8.625%, 4/15/2020		50,000		20,375
Northern Tier Energy LLC, 7.125%, 11/15/2020		241,000		244,615
PBF Holding Co. LLC, 8.250%, 2/15/2020		323,000		341,556
Ultra Petroleum Corp., 6.125%, 10/1/2024 (6)(7)		56,000		37,240
Unit Corp., 6.625%, 5/15/2021		330,000		285,862
WPX Energy, Inc., 7.500%, 8/1/2020		206,000		198,868
				3,377,269
Oil & Gas Services — 1.1%
Calfrac Holdings LP, 7.500%, 12/1/2020 (6)(7)		313,000		211,275
CGG, 6.500%, 6/1/2021		250,000		141,875
Exterran Partners LP:
6.000%, 4/1/2021		177,000		142,485
6.000%, 10/1/2022		50,000		40,000
Petroleum Geo-Services ASA, 7.375%, 12/15/2018 (6)(7)		200,000		168,500
PHI, Inc., 5.250%, 3/15/2019		95,000		81,938
				786,073
Packaging & Containers — 1.6%
AEP Industries, Inc., 8.250%, 4/15/2019		292,000		296,380
Ardagh Packaging Finance PLC:
6.750%, 1/31/2021 (6)(7)		300,000		307,500
7.000%, 11/15/2020 (6)(7)		70,588		71,647

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

97

August 31, 2015

Schedules of Investments

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Packaging & Containers (continued)
Coveris Holdings SA, 7.875%, 11/1/2019 (6)(7)	$	250,000	$	243,750
Owens-Brockway Glass Container, Inc., 5.000%, 1/15/2022 (6)(7)		263,000		260,041
				1,179,318
Pharmaceuticals — 1.6%
Endo Finance LLC:
5.375%, 1/15/2023 (6)(7)		92,000		92,920
5.750%, 1/15/2022 (6)(7)		20,000		20,500
7.250%, 12/15/2020 (6)(7)		193,000		201,926
7.750%, 1/15/2022 (6)(7)		200,000		214,250
Omnicare, Inc., 4.750%, 12/1/2022		163,000		174,003
Valeant Pharmaceuticals International, Inc.:
5.500%, 3/1/2023 (6)(7)		329,000		334,346
7.250%, 7/15/2022 (6)(7)		100,000		105,625
				1,143,570
Pipelines — 2.7%
Genesis Energy LP, 5.750%, 2/15/2021		230,000		217,350
Holly Energy Partners LP, 6.500%, 3/1/2020		382,000		364,879
MarkWest Energy Partners LP, 5.500%, 2/15/2023		200,000		197,000
Sabine Pass Liquefaction LLC:
5.625%, 3/1/2025 (6)(7)		101,000		98,033
6.250%, 3/15/2022		337,000		340,370
SemGroup Corp., 7.500%, 6/15/2021		207,000		205,965
Targa Resources Partners LP:
6.375%, 8/1/2022		200,000		200,000
6.625%, 10/1/2020 (6)(7)		362,000		360,190
				1,983,787
Real Estate Investment Trusts — 2.8%
Equinix, Inc., 5.750%, 1/1/2025		278,000		279,390
ESH Hospitality, Inc., 5.250%, 5/1/2025 (6)(7)		188,000		183,300
GEO Group, Inc., 5.875%, 10/15/2024		173,000		178,622
iStar, Inc., 7.125%, 2/15/2018		220,000		227,425
MPT Operating Partnership LP:
6.375%, 2/15/2022		159,000		168,143
6.875%, 5/1/2021		298,000		314,390
Potlatch Corp., 7.500%, 11/1/2019		337,000		379,125
RHP Hotel Properties LP, 5.000%, 4/15/2023 (6)(7)		274,000		272,630
				2,003,025
Retail — 4.9%
1011778 BC ULC / New Red Finance, Inc., 4.625%, 1/15/2022 (6)(7)		147,000		148,103
AmeriGas Finance LLC, 7.000%, 5/20/2022		8,000		8,340
Asbury Automotive Group, Inc., 6.000%, 12/15/2024		348,000		364,530
Dillard’s, Inc., 7.130%, 8/1/2018		320,000		357,600
Ferrellgas LP:
6.750%, 1/15/2022		174,000		168,780
6.750%, 6/15/2023 (6)(7)		100,000		96,500
JC Penney Corp., Inc.:
5.650%, 6/1/2020		100,000		92,000
8.125%, 10/1/2019		90,000		91,800

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Retail (continued)
L Brands, Inc.:
5.625%, 2/15/2022	$	137,000	$	147,275
6.950%, 3/1/2033		36,000		37,800
7.000%, 5/1/2020		300,000		345,000
Men’s Wearhouse, Inc., 7.000%, 7/1/2022		267,000		283,020
Neiman Marcus Group, Ltd. LLC, 8.000%, 10/15/2021 (6)(7)		346,000		366,760
Outerwall, Inc., 6.000%, 3/15/2019		222,000		223,387
Penske Automotive Group, Inc., 5.750%, 10/1/2022		236,000		244,260
Rite Aid Corp., 6.125%, 4/1/2023 (6)(7)		313,000		322,390
Sonic Automotive, Inc.:
5.000%, 5/15/2023		103,000		101,198
7.000%, 7/15/2022		161,000		173,477
				3,572,220
Semiconductors — 1.1%
Advanced Micro Devices, Inc.:
7.000%, 7/1/2024		105,000		68,250
7.750%, 8/1/2020		250,000		165,000
Amkor Technology, Inc.:
6.375%, 10/1/2022		228,000		222,585
6.625%, 6/1/2021		105,000		104,081
Micron Technology, Inc., 5.250%, 8/1/2023 (6)(7)		217,000		202,895
				762,811
Software — 1.1%
ACI Worldwide, Inc., 6.375%, 8/15/2020 (6)(7)		336,000		353,220
Audatex North America, Inc., 6.125%, 11/1/2023 (6)(7)		150,000		149,234
MedAssets, Inc., 8.000%, 11/15/2018		102,000		105,069
MSCI, Inc.:
5.250%, 11/15/2024 (6)(7)		176,000		179,520
5.750%, 8/15/2025 (6)(7)		40,000		40,900
				827,943
Storage/Warehousing — 0.4%
Mobile Mini, Inc., 7.875%, 12/1/2020		272,000		284,920
Telecommunications — 11.2%
CenturyLink, Inc., 5.800%, 3/15/2022		383,000		364,807
Cincinnati Bell, Inc., 8.375%, 10/15/2020		436,000		456,143
CommScope, Inc., 5.500%, 6/15/2024 (6)(7)		233,000		227,175
Consolidated Communications, Inc., 6.500%, 10/1/2022 (6)(7)		279,000		259,470
CyrusOne LP, 6.375%, 11/15/2022		241,000		247,025
EarthLink, Inc., 7.375%, 6/1/2020		370,000		387,575
FairPoint Communications, Inc., 8.750%, 8/15/2019 (6)(7)		350,000		368,812
Frontier Communications Corp.:
6.875%, 1/15/2025		120,000		102,000
7.125%, 1/15/2023		75,000		68,100
9.250%, 7/1/2021		389,000		401,156
GCI, Inc.:
6.750%, 6/1/2021		109,000		112,543
6.875%, 4/15/2025		189,000		195,143

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

98

BMO Funds

Monegy High Yield Bond Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Hughes Satellite Systems Corp.:
6.500%, 6/15/2019	$	71,000	$	77,656
7.625%, 6/15/2021		325,000		356,687
Inmarsat Finance PLC, 4.875%, 5/15/2022 (6)(7)		350,000		341,040
Intelsat Jackson Holdings SA, 5.500%, 8/1/2023		286,000		253,110
Intelsat Luxembourg SA, 7.750%, 6/1/2021		267,000		201,051
Level 3 Communications, Inc., 5.750%, 12/1/2022		307,000		307,000
Level 3 Financing, Inc.:
5.125%, 5/1/2023 (6)(7)		178,000		173,773
8.625%, 7/15/2020		235,000		249,570
Sprint Capital Corp., 6.875%, 11/15/2028		150,000		129,375
Sprint Communications, Inc.:
6.000%, 11/15/2022		149,000		134,473
7.000%, 3/1/2020 (6)(7)		103,000		109,664
7.000%, 8/15/2020		400,000		396,000
T-Mobile USA, Inc.:
6.375%, 3/1/2025		267,000		273,542
6.625%, 11/15/2020		330,000		342,375
6.633%, 4/28/2021		280,000		293,300
ViaSat, Inc., 6.875%, 6/15/2020		326,000		343,930
Virgin Media Finance PLC, 6.375%, 4/15/2023 (6)(7)		220,000		229,486
West Corp., 5.375%, 7/15/2022 (6)(7)		303,000		285,956
Windstream Corp.:
6.375%, 8/1/2023		100,000		73,766
7.500%, 4/1/2023		45,000		35,438
7.750%, 10/1/2021		400,000		328,004
7.875%, 11/1/2017		25,000		26,219
				8,151,364
Transportation — 1.3%
Era Group, Inc., 7.750%, 12/15/2022		288,000		277,920
Martin Midstream Partners LP, 7.250%, 2/15/2021		351,000		328,185
XPO Logistics, Inc.:
6.500%, 6/15/2022 (6)(7)		96,000		94,800
7.875%, 9/1/2019 (6)(7)		258,000		274,447
				975,352
Total Corporate Bonds & Notes (identified cost $72,870,817)				71,230,042
Short-Term Investments — 5.0%
Mutual Funds — 5.0%
BMO Prime Money Market Fund, Class I, 0.050% (4)		3,669,881		3,669,881
Total Short-Term Investments (identified cost $3,669,881)				3,669,881
Total Investments — 102.6% (identified cost $76,540,698)				74,899,923
Other Assets and Liabilities — (2.6)%				(1,883,433	)
Total Net Assets — 100.0%			$	73,016,490

Multi-Asset Income Fund

Description	Shares		Value
Exchange Traded Funds — 58.0%
iShares Gold Trust Fund (1)(2)		125,220	$	1,374,916
iShares International Select Dividend Fund (1)		34,760		1,025,768
iShares Select Dividend Fund (1)		28,100		2,064,788
iShares U.S. Preferred Stock Fund (1)		52,180		2,037,107
iShares U.S. Real Estate Fund (1)		20,595		1,451,536
JPMorgan Alerian MLP Index Fund		90,060		3,225,049
PowerShares S&P 500 BuyWrite Portfolio Fund (1)		146,770		3,001,446
PowerShares Senior Loan Portfolio Fund (1)		202,080		4,724,630
ProShares Short 20+ Year Treasury Fund (2)		165,660		4,159,722
SPDR Barclays Convertible Securities Fund (1)		51,503		2,367,078
SPDR EURO STOXX 50 Fund (1)		38,840		1,389,307
SPDR S&P Emerging Markets Dividend Fund (1)		29,980		806,762
Utilities Select Sector SPDR Fund (1)		19,755		838,797
Total Exchange Traded Funds (identified cost $31,393,225)				28,466,906
Mutual Funds — 39.5%
Absolute Strategies Fund (2)		99,914		1,119,042
BMO Monegy High Yield Bond Fund (4)		131,488		1,237,305
BMO Short-Term Income Fund (4)		105,745		988,713
Calamos Market Neutral Income Fund		144,942		1,852,354
Dodge & Cox Income Fund		112,912		1,527,693
DoubleLine Total Return Bond Fund		201,091		2,189,877
Fidelity Advisor Floating Rate High Income Fund		489,153		4,646,952
Merger Fund		89,124		1,383,212
PIMCO Unconstrained Bond Fund		113,067		1,232,433
T Rowe Price International Bond Fund		163,896		1,378,369
TCW Emerging Markets Income Fund		115,528		885,523
Templeton Global Bond Fund		80,616		936,758
Total Mutual Funds (identified cost $20,170,441)				19,378,231
Short-Term Investments — 39.0%
Collateral Pool Investments for Securities on Loan — 38.6%
Collateral pool allocation (3)				18,949,942
Mutual Funds — 0.4%
BMO Prime Money Market Fund, Class I, 0.050% (4)		183,434		183,434
Total Short-Term Investments (identified cost $19,133,376)				19,133,376
Total Investments — 136.5% (identified cost $70,697,042)				66,978,513
Other Assets and Liabilities — (36.5)%				(17,913,705	)
Total Net Assets — 100.0%			$	49,064,808

Government Money Market Fund

Description	Principal Amount		Value
Municipals — 10.1%
California — 5.1%
Abag Finance Authority for Nonprofit Corporations, FNMA, 0.030%, 7/15/2035 (9)(15)	$	5,000,000	$	5,000,000

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

99

August 31, 2015

Schedules of Investments

Government Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
California (continued)
California Statewide Communities Development Authority, FNMA, 0.020%, 12/15/2037 (9)(15)	$	12,000,000	$	12,000,000
Santa Cruz Redevelopment Agency, FNMA, 0.030%, 8/15/2035 (9)(15)		12,000,000		12,000,000
				29,000,000
Federal Home Loan Mortgage Corporation — 2.6%
Federal Home Loan Mortgage Corp., 0.050%, 7/15/2050 (9)(15)		9,545,000		9,545,000
Federal Home Loan Mortgage Corp., 0.060%, 9/15/2038 (9)(15)		5,105,000		5,105,000
				14,650,000
Maryland — 2.4%
Prince Georges County Housing Authority, FHLMC, 0.040%, 2/1/2040 (9)(15)		13,900,000		13,900,000
Total Municipals				57,550,000
Mutual Funds — 7.0%
BlackRock Liquidity Funds T-Funds, 0.010%		20,000,000		20,000,000
Premier U.S. Government Money Portfolio, 0.040%		20,000,000		20,000,000
Total Mutual Funds				40,000,000
Repurchase Agreements — 30.9%
Agreement with Fixed Income Clearing Corp., 0.000%, dated 8/31/2015, to be repurchased at $15,519,266 on 9/1/2015, collateralized by a U.S. Government Treasury Obligation with a maturity of 1/31/2022, with a market value of $15,831,900	$	15,519,266		15,519,266
Agreement with Goldman Sachs Group, Inc., 0.110%, dated 8/31/2015, to be repurchased at $70,000,214 on 9/1/2015, collateralized by U.S. Government Agency Obligations with various maturities to 7/1/2045, with a market value of $71,207,191		70,000,000		70,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.130%, dated 8/31/2015, to be repurchased at $65,000,235 on 9/1/2015, collateralized by U.S. Government Agency Obligations with various maturities to 12/15/2051, with a market value of $66,117,345		65,000,000		65,000,000

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Toronto Dominion Bank, 0.130%, dated 8/31/2015, to be repurchased at $25,000,090 on 9/1/2015, collateralized by U.S. Government Treasury Obligations with various maturities to 11/30/2020, with a market value of $25,325,602	$	25,000,000	$	25,000,000
Total Repurchase Agreements				175,519,266
U.S. Government & U.S. Government Agency Obligations — 52.0%
Federal Farm Credit Bank — 2.8%
0.197%, 12/1/2016 (9)		5,000,000		4,998,897
0.204%, 11/14/2016 (9)		2,992,000		2,992,741
0.211%, 4/6/2016 (9)		5,000,000		5,001,998
0.211%, 10/11/2016 (9)		3,250,000		3,251,113
				16,244,749
Federal Home Loan Bank — 29.1%
0.065%, 9/11/2015 (12)		15,000,000		14,999,729
0.085%, 9/9/2015		16,000,000		15,999,698
0.130%, 9/2/2015 (12)		9,125,000		9,124,967
0.130%, 11/9/2015		7,500,000		7,499,604
0.140%, 11/4/2015		10,000,000		9,999,685
0.140%, 11/18/2015		5,000,000		4,999,754
0.153%, 11/20/2015 (9)		7,500,000		7,500,102
0.160%, 11/3/2015 (12)		10,000,000		9,997,200
0.160%, 11/27/2015 (9)		10,000,000		9,999,942
0.160%, 8/24/2016 (9)		5,000,000		5,000,000
0.190%, 1/4/2016		5,000,000		4,999,060
0.195%, 9/16/2015 (12)		5,000,000		4,999,594
0.200%, 9/17/2015		10,000,000		10,000,315
0.200%, 11/30/2015 (12)		7,500,000		7,496,250
0.212%, 8/26/2016 (9)		10,000,000		9,999,754
0.315%, 1/7/2016		15,000,000		15,003,660
0.375%, 6/24/2016		5,000,000		5,001,170
0.375%, 7/22/2016		7,500,000		7,498,260
5.375%, 5/18/2016		5,000,000		5,178,736
				165,297,480
Federal Home Loan Mortgage Corporation — 9.9%
0.050%, 9/4/2015 (12)		15,617,000		15,616,935
0.060%, 9/17/2015 (12)		20,000,000		19,999,467
0.143%, 8/17/2016 (9)		10,000,000		10,000,000
0.420%, 9/18/2015		10,500,000		10,501,640
				56,118,042
Federal National Mortgage Association — 8.8%
0.050%, 9/2/2015 (12)		15,000,000		14,999,979
0.160%, 11/3/2015 (12)		10,000,000		9,997,200
0.240%, 3/21/2016 (12)		10,000,000		9,986,533
0.250%, 4/1/2016 (12)		10,000,000		9,985,208
2.375%, 4/11/2016		5,000,000		5,063,144
				50,032,064
Overseas Private Investment Corporation — 1.4%
0.160%, 9/15/2020 (9)(14)		8,000,000		8,000,000
Total U.S. Government & U.S. Government Agency Obligations				295,692,335
Total Investments — 100.0% (at amortized cost)				568,761,601
Other Assets and Liabilities — 0.0%				125,829
Total Net Assets — 100.0%			$	568,887,430

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

100

August 31, 2015

BMO Funds

Tax-Free Money Market Fund

Description	Principal Amount		Value
Municipals — 95.0%
Alabama — 4.9%
Chatom Industrial Development Board:
0.500%, 12/1/2024 (9)	$	8,000,000	$	8,000,000
0.600%, 8/1/2037 (9)		14,200,000		14,200,000
Rib Floater Trust Various States, 0.070%, 4/1/2041 (6)(7)(9)		10,000,000		10,000,000
				32,200,000
California — 1.6%
State of California, 0.080%, 3/1/2035 (6)(7)(9)		10,750,000		10,750,000
Colorado — 6.7%
Colorado Educational & Cultural Facilities Authority, 0.220%, 3/1/2035 (6)(7)(9)		14,855,000		14,855,000
Colorado Health Facilities Authority, 0.060%, 1/1/2035 (9)		10,700,000		10,700,000
Colorado Housing & Finance Authority:
0.020%, 10/1/2041 (9)		3,160,000		3,160,000
0.030%, 11/1/2021 (9)		15,500,000		15,500,000
				44,215,000
Florida — 11.0%
City of West Palm Beach, 0.080%, 10/1/2038 (9)		27,500,000		27,500,000
County of Brevard, 0.170%, 10/1/2019 (9)		1,375,000		1,375,000
County of St. Lucie, 0.020%, 9/1/2028 (9)		13,000,000		13,000,000
Eclipse Funding Trust, 0.010%, 4/1/2037 (6) (7) (9)		2,300,000		2,300,000
Highlands County Health Facilities Authority, 0.020%, 11/15/2037 (9)		2,500,000		2,500,000
Jacksonville Pollution Control, 0.110%, 10/15/2015		18,000,000		18,000,000
Tender Option Bond Trust Receipts/Certificates, 0.120%, 11/1/2027 (6)(7)(9)		7,400,000		7,400,000
				72,075,000
Georgia — 0.2%
Columbia County Development Authority, 0.120%, 8/1/2018 (9)		1,000,000		1,000,000
Idaho — 1.6%
Idaho Housing & Finance Association, 0.020%, 9/1/2044 (9)		10,350,000		10,350,000
Illinois — 2.8%
Illinois Finance Authority:
0.010%, 8/1/2043 (9)		4,625,000		4,625,000
0.020%, 4/1/2031 (9)		3,300,000		3,300,000
Jackson-Union Counties Regional Port District, 0.020%, 4/1/2024 (9)		2,400,000		2,400,000
Phoenix Realty Special Account-U LP, 0.040%, 4/1/2020 (9)		8,075,000		8,075,000
				18,400,000

Description	Principal Amount		Value
Municipals (continued)
Indiana — 4.5%
County of Posey, 0.250%, 11/3/2015 (9)	$	18,000,000	$	18,000,000
Eclipse Funding Trust, 0.090%, 7/15/2024 (6)(7)(9)		11,435,000		11,435,000
				29,435,000
Iowa — 2.3%
Iowa Finance Authority:
0.040%, 3/1/2022 (9)		1,175,000		1,175,000
0.050%, 9/1/2036 (9)		4,000,000		4,000,000
0.070%, 12/1/2042 (9)		10,000,000		10,000,000
				15,175,000
Kansas — 1.3%
City of Burlington:
0.300%, 9/17/2015		1,095,000		1,095,000
0.300%, 9/17/2015		900,000		900,000
Kansas Development Finance Authority, FNMA, 0.070%, 3/1/2031 (6)(7)(9)		6,700,000		6,700,000
				8,695,000
Kentucky — 2.4%
Hardin County Water District No. 1, 0.020%, 9/1/2022 (9)		2,210,000		2,210,000
Kentucky Area Development Districts, 0.090%, 6/1/2033 (9)		8,610,000		8,610,000
Kentucky Economic Development Finance Authority, 0.060%, 5/1/2034 (9)		5,000,000		5,000,000
				15,820,000
Louisiana — 1.7%
Louisiana Public Facilities Authority, 0.010%, 12/1/2040 (9)		2,300,000		2,300,000
Parish of St. James, 0.150%, 11/1/2039 (9)		9,000,000		9,000,000
				11,300,000
Massachusetts — 1.2%
BB&T Municipal Trust, 0.120%, 10/1/2028 (6)(7)(9)		7,905,000		7,905,000
Michigan — 2.8%
Michigan Strategic Fund:
0.040%, 6/1/2039 (9)		765,000		765,000
0.070%, 12/1/2030 (9)		2,670,000		2,670,000
Oakland University, 0.020%, 3/1/2031 (9)		2,700,000		2,700,000
Rib Floater Trust Various States, 0.170%, 7/1/2018 (6)(7)(9)		12,000,000		12,000,000
				18,135,000
Minnesota — 1.4%
City of Minneapolis, 0.010%, 5/1/2026 (9)		6,470,000		6,470,000
City of Ramsey, 0.140%, 12/1/2023 (9)		2,485,000		2,485,000
				8,955,000
Mississippi — 3.0%
Claiborne County:
0.350%, 9/3/2015		1,900,000		1,900,000
0.350%, 9/3/2015		2,045,000		2,045,000
Mississippi Business Finance Corp., 0.400%, 5/1/2037 (9)		15,898,000		15,898,000
				19,843,000

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

101

August 31, 2015

Schedules of Investments

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Missouri — 0.9%
Greene County Industrial Development Authority, 0.060%, 5/1/2039 (9)	$	1,145,000	$	1,145,000
Missouri State Health & Educational Facilities Authority, 0.010%, 10/1/2035 (9)		4,965,000		4,965,000
				6,110,000
Nebraska — 0.1%
Nebraska Investment Finance Authority, 0.070%, 9/1/2031 (9)		600,000		600,000
New Hampshire — 3.8%
New Hampshire Business Finance Authority, 0.080%, 9/1/2030 (9)		25,000,000		25,000,000
New Mexico — 2.2%
Eclipse Funding Trust, 0.090%, 5/15/2032 (6)(7)(9)		14,485,000		14,485,000
New York — 2.6%
Metropolitan Transportation Authority, 0.010%, 11/1/2035 (9)		9,000,000		9,000,000
Owego Apalachin Central School District, State Aid Withholding, 1.000%, 2/26/2016		8,250,000		8,265,976
				17,265,976
North Carolina — 0.3%
North Carolina Housing Finance Agency, 0.350%, 10/1/2015 (9)		2,075,000		2,075,000
Ohio — 0.8%
County of Warren, 0.190%, 9/1/2015 (9)		5,190,000		5,190,000
Oklahoma — 0.4%
Tulsa Industrial Authority, 0.090%, 11/1/2026 (9)		2,325,000		2,325,000
Oregon — 0.8%
JPMorgan Chase Putters/Drivers Trust, 0.030%, 5/15/2021 (6)(7)(9)		5,000,000		5,000,000
Pennsylvania — 3.2%
Barclays Capital Municipal Trust Receipts, 0.140%, 8/1/2038 (6)(7)(9)		11,605,000		11,605,000
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.010%, 7/1/2041 (9)		9,120,000		9,120,000
				20,725,000
South Carolina — 0.8%
South Carolina Jobs-Economic Development Authority, 0.040%, 6/1/2030 (9)		5,000,000		5,000,000
South Dakota — 2.0%
South Dakota Housing Development Authority:
0.100%, 5/1/2048 (9)		6,885,000		6,885,000

Description	Principal Amount		Value
Municipals (continued)
South Dakota (continued)
0.100%, 11/1/2048 (9)	$	6,385,000	$	6,385,000
				13,270,000
Texas — 4.4%
Dallam County Industrial Development Corp., 0.050%, 5/1/2039 (9)		2,800,000		2,800,000
Eclipse Funding Trust, 0.050%, 12/15/2031 (9)		3,125,000		3,125,000
Mission Economic Development Corp., 0.060%, 4/1/2022 (9)		11,000,000		11,000,000
Rib Floater Trust Various States, 0.170%, 7/1/2018 (6)(7)(9)		12,000,000		12,000,000
				28,925,000
Vermont — 0.2%
Vermont Educational & Health Buildings Financing Agency, 0.010%, 10/1/2029 (9)		1,100,000		1,100,000
Virginia — 1.4%
Barclays Capital Municipal Trust Receipts, 0.100%, 2/1/2028 (6)(7)(9)		3,335,000		3,335,000
JPMorgan Chase Putters/Drivers Trust, 0.030%, 11/1/2019 (6)(7)(9)		5,000,000		5,000,000
Lynchburg Industrial Development Authority, 0.020%, 1/1/2028 (9)		1,195,000		1,195,000
				9,530,000
Washington — 5.3%
Barclays Capital Municipal Trust Receipts, 0.150%, 6/1/2039 (6)(7)(9)		16,870,000		16,870,000
County of King:
0.030%, 1/1/2032 (9)		1,100,000		1,100,000
5.000%, 12/1/2015		1,450,000		1,466,313
Eclipse Funding Trust, 0.010%, 1/1/2037 (6)(7)(9)		12,435,000		12,435,000
Washington State Housing Finance Commission, 0.120%, 7/1/2028 (9)		3,110,000		3,110,000
				34,981,313
West Virginia — 0.3%
Charleston Building Commission, 0.140%, 12/1/2016 (9)		2,135,000		2,135,000
Wisconsin — 12.2%
Brown Deer School District, 1.000%, 10/22/2015		1,600,000		1,600,778
City of Milwaukee, 0.200%, 2/15/2032 (9)		15,000,000		15,000,000
City of Racine, 2.000%, 8/15/2016 (10)		2,695,000		2,707,100
East Troy Community School District, 2.000%, 10/1/2015		5,750,000		5,757,488
Glendale-River Hills School District, 1.000%, 2/23/2016		2,500,000		2,506,900
Hilbert School District, 2.000%, 12/1/2015		3,000,000		3,003,778
Marshall School District, 2.000%, 12/15/2015		8,000,000		8,004,821
Merrill Area Public School District, 1.000%, 9/14/2015		5,200,000		5,200,920

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

102

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
Peshtigo School District, 1.000%, 10/29/2015	$	1,400,000	$	1,400,654
Pulaski Community School District, 1.000%, 9/15/2015		2,500,000		2,500,327
Wisconsin Health & Educational Facilities Authority:
0.130%, 8/15/2034 (6)(7)(9)		4,500,000		4,500,000
0.220%, 8/15/2034 (6)(7)(9)		25,754,260		25,754,260
Wisconsin Rapids School District, 1.000%, 9/15/2015		2,325,000		2,325,443
				80,262,469
Wyoming — 3.9%
County of Uinta, 0.010%, 8/15/2020 (9)		25,905,000		25,905,000
Total Municipals				624,137,758
Mutual Funds — 5.7%
Federated Tax-Free Obligations Fund, Class I, 0.010%		19,000,000		19,000,000
Goldman Sachs Financial Square Funds—Tax-Free Money Market Fund, 0.010%		18,842,477		18,842,477
Total Mutual Funds				37,842,477
Total Investments — 100.7% (at amortized cost)				661,980,235
Other Assets and Liabilities — (0.7)%				(4,922,826	)
Total Net Assets — 100.0%			$	657,057,409

Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 16.2%
Banks — 9.1%
Bank of Nova Scotia/Houston:
0.340%, 3/23/2016 (9)	$	15,000,000	$	15,000,000
0.380%, 7/18/2016 (9)		25,000,000		25,000,000
0.414%, 5/12/2016 (9)		17,500,000		17,500,000
0.501%, 5/9/2016 (9)		13,500,000		13,504,158
HSBC Bank USA NA:
0.352%, 3/4/2016 (9)		25,000,000		25,000,000
0.372%, 6/8/2016 (9)		25,000,000		25,000,000
Nordea Bank AB, 0.290%, 10/13/2015		20,000,000		20,000,000
State Street Bank:
0.334%, 10/1/2015 (9)		50,000,000		50,000,000
0.398%, 4/15/2016 (9)		20,000,000		20,000,000
Toronto Dominion Bank, 0.313%, 4/4/2016 (9)		35,000,000		35,000,000
Wells Fargo Bank NA:
0.324%, 4/8/2016 (9)		25,000,000		25,000,000
0.344%, 1/13/2016 (9)		15,000,000		15,000,000
0.355%, 11/18/2015 (9)		50,000,000		50,000,000
0.423%, 5/20/2016 (9)		17,000,000		17,000,000
				353,004,158
European Time Deposit — 7.1%
DNB NOR Bank ASA Cayman, 0.060%, 9/1/2015		135,000,000		135,000,000

Description	Principal Amount		Value
Certificates of Deposit (continued)
European Time Deposit (continued)
Svenska Handelsbanken, Inc., 0.050%, 9/1/2015	$	140,000,000	$	140,000,000
				275,000,000
Total Certificates of Deposit				628,004,158
Commercial Paper — 54.6%
Asset-Backed Securities — 26.1%
Chariot Funding LLC:
0.280%, 9/22/2015 (6)(7)(12)		15,000,000		14,997,550
0.290%,10/19/2015 (6)(7)(12)		15,000,000		14,994,200
0.420%, 1/4/2016 (6)(7)(12)		10,000,000		9,985,417
0.420%, 1/5/2016 (6)(7)(12)		15,000,000		14,977,950
0.450%, 2/1/2016 (6)(7)(12)		15,000,000		14,971,313
0.500%, 2/8/2016 (6)(7)(12)		12,700,000		12,671,778
Jupiter Securitization Corp.:
0.290%, 10/13/2015 (6)(7)(12)		20,000,000		19,993,233
0.290%, 10/15/2015 (6)(7)(12)		20,000,000		19,992,911
0.380%, 11/30/2015 (6)(7)(12)		14,900,000		14,885,845
0.420%, 1/19/2016 (6)(7)(12)		15,000,000		14,975,500
0.510%, 2/16/2016 (6)(7)(12)		25,000,000		24,940,500
Kells Funding LLC:
0.200%, 9/3/2015 (6)(7)(12)		15,000,000		14,999,833
0.240%, 9/4/2015 (6)(7)(12)		25,000,000		24,999,500
0.290%, 11/16/2015 (6)(7)(12)		20,000,000		19,987,756
0.300%, 11/20/2015 (6)(7)(12)		17,000,000		16,988,667
0.350%, 12/11/2015 (6)(7)(12)		25,000,000		24,975,451
Legacy Capital LLC:
0.280%, 10/16/2015 (6)(7)(12)		18,000,000		17,993,700
0.300%, 9/21/2015 (6)(7)(12)		27,500,000		27,496,542
0.310%, 9/2/2015 (6)(7)(12)		10,000,000		9,999,914
0.310%, 10/21/2015 (6)(7)(12)		15,000,000		14,993,542
0.340%, 9/8/2015 (6)(7)(12)		25,000,000		24,998,726
0.350%, 10/2/2015 (6)(7)(12)		10,000,000		9,996,986
0.520%, 11/9/2015 (6)(7)(12)		1,000,000		999,003
Liberty Street Funding LLC:
0.160%, 9/16/2015 (6)(7)(12)		5,000,000		4,999,667
0.170%, 9/17/2015 (6)(7)(12)		10,000,000		9,999,244
0.300%, 10/9/2015 (6)(7)(12)		25,000,000		24,992,400
0.300%, 10/28/2015 (6)(7)(12)		15,000,000		14,992,875
0.300%, 11/9/2015 (6)(7)(12)		10,000,000		9,994,250
Manhattan Asset Funding Co.:
0.180%, 9/4/2015 (12)		7,750,000		7,749,884
0.190%, 9/10/2015 (12)		25,000,000		24,998,813
0.200%, 9/11/2015 (12)		38,465,000		38,463,014
0.200%, 9/14/2015 (12)		5,100,000		5,099,632
0.200%, 9/17/2015 (12)		40,000,000		39,996,533
0.200%, 9/18/2015 (12)		25,000,000		24,997,639
MetLife Short Term Funding LLC:
0.160%, 9/16/2015 (6)(7)(12)		25,000,000		24,998,333
0.180%, 9/17/2015 (6)(7)(12)		14,800,000		14,798,816
Old Line Funding LLC:
0.280%, 10/2/2015 (6)(7)(12)		25,000,000		24,993,972
0.300%, 11/10/2015 (6)(7)(12)		14,525,000		14,516,527
0.380%, 11/20/2015 (6)(7)(12)		15,254,000		15,241,119

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

103

August 31, 2015

Schedules of Investments

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
0.394%, 2/9/2016 (6)(7)(9)	$	20,000,000	$	20,000,000
0.410%, 2/16/2016 (6)(7)(9)		15,000,000		15,000,000
0.460%, 1/22/2016 (6)(7)(12)		20,000,000		19,963,456
0.470%, 1/25/2016 (6)(7)(12)		15,000,000		14,971,408
0.470%, 2/3/2016 (6)(7)(12)		15,000,000		14,969,646
Regency Markets No. 1 LLC:
0.170%, 9/11/2015 (6)(7)(12)		35,000,000		34,998,347
0.170%, 9/14/2015 (6)(7)(12)		18,000,000		17,998,895
0.170%, 9/15/2015 (6)(7)(12)		30,000,000		29,998,017
0.180%, 9/16/2015 (6)(7)(12)		32,500,000		32,497,562
0.180%, 9/17/2015 (6)(7)(12)		20,000,000		19,998,400
Thunder Bay Funding LLC:
0.190%, 9/3/2015 (6)(7)(12)		465,000		464,995
0.280%, 9/21/2015 (6)(7)(12)		25,000,000		24,996,111
0.290%, 9/25/2015 (6)(7)(12)		18,958,000		18,954,335
0.290%, 10/2/2015 (6)(7)(12)		45,000,000		44,988,762
0.430%, 1/8/2016 (6)(7)(12)		15,000,000		14,976,888
				1,011,425,357
Automobiles — 2.8%
American Honda Finance Corp.:
0.120%, 9/14/2015 (12)		25,000,000		24,998,916
0.130%, 9/9/2015 (12)		25,000,000		24,999,278
Toyota Motor Credit Corp.:
0.310%, 11/20/2015 (12)		25,000,000		24,982,778
0.368%, 2/25/2016 (9)		17,000,000		17,000,000
0.433%, 5/16/2016 (9)		17,000,000		17,000,000
				108,980,972
Beverages — 2.3%
Cargill Inc., 0.110%, 9/3/2015 (6)(7)(12)		30,000,000		29,999,817
Coca-Cola Co.:
0.200%, 9/16/2015 (6)(7)(12)		20,000,000		19,998,333
0.530%, 4/18/2016 (6)(7)(12)		15,000,000		14,949,209
0.560%, 4/21/2016 (6)(7)(12)		15,000,000		14,945,633
0.610%, 5/16/2016 (6)(7)(12)		10,000,000		9,956,283
				89,849,275
Construction Machinery — 3.3%
Illinois Tool Works, Inc.:
0.110%, 9/1/2015 (6)(7)(12)		30,000,000		30,000,000
0.110%, 9/2/2015 (6)(7)(12)		27,311,000		27,310,916
0.110%, 9/9/2015 (6)(7)(12)		20,000,000		19,999,511
John Deere Capital Corp.:
0.110%, 9/2/2015 (6)(7)(12)		25,000,000		24,999,924
0.120%, 9/11/2015 (6)(7)(12)		24,500,000		24,499,183
				126,809,534
Consumer Products — 1.1%
Reckitt Benckiser Treasury Services PLC:
0.290%, 10/13/2015 (6)(7)(12)		26,650,000		26,640,983
0.320%, 10/26/2015 (6)(7)(12)		15,000,000		14,992,667
				41,633,650
Diversified Financial Services — 3.0%
National Rural Utilities:
0.110%, 9/1/2015 (12)		19,450,000		19,450,000
0.120%, 9/9/2015 (12)		20,000,000		19,999,467
0.120%, 9/14/2015 (12)		25,000,000		24,998,916
0.120%, 9/16/2015 (12)		25,000,000		24,998,750

Description	Principal Amount		Value
Commercial Paper (continued)
Diversified Financial Services (continued)
0.130%, 9/11/2015 (12)	$	25,399,000	$	25,398,083
				114,845,216
Foreign Banks — 12.8%
Aust & NZ Banking Group, 0.301%, 12/21/2015 (6)(7)(9)		35,000,000		35,000,000
DNB Bank ASA, 0.337%, 4/18/2016 (6)(7)(9)		10,000,000		10,000,000
Macquarie Bank, 0.500%, 1/6/2016 (6)(7)(12)		12,500,000		12,477,951
Natixis SA/New York, 0.070%, 9/1/2015 (12)		85,000,000		85,000,000
Nordea Bank AB:
0.300%, 10/22/2015 (6)(7)(12)		35,000,000		34,985,125
0.320%, 11/13/2015 (6)(7)(12)		5,000,000		4,996,756
0.400%, 1/8/2016 (6)(7)(12)		15,000,000		14,978,500
Skandinaviska Enskilda Banken AB, 0.310%, 10/8/2015 (6)(7)(12)		25,000,000		24,992,035
Suncorp Metway Ltd.:
0.350%, 10/6/2015 (6)(7)(12)		17,000,000		16,994,215
0.350%, 10/26/2015 (6)(7)(12)		10,000,000		9,994,653
0.350%, 11/10/2015 (6)(7)(12)		15,000,000		14,989,792
0.410%, 9/16/2015 (6)(7)(12)		20,000,000		19,996,583
0.420%, 11/24/2015 (6)(7)(12)		23,650,000		23,626,419
0.430%, 11/23/2015 (6)(7)(12)		15,000,000		14,985,129
0.450%, 1/14/2016 (6)(7)(12)		20,500,000		20,465,406
0.460%, 12/8/2015 (6)(7)(12)		22,000,000		21,973,758
Swedbank:
0.160%, 9/9/2015 (12)		18,000,000		17,999,360
0.300%, 11/13/2015 (12)		30,000,000		29,981,750
0.300%, 11/16/2015 (12)		15,000,000		14,990,500
0.320%, 11/18/2015 (12)		7,000,000		6,995,147
0.420%, 2/3/2016 (12)		20,000,000		19,963,833
Toronto Dominion Bank:
0.390%, 11/6/2015 (6)(7)(12)		20,000,000		19,985,700
0.500%, 1/27/2016 (6)(7)(12)		20,000,000		19,958,889
				495,331,501
Medical Equipment & Devices — 0.9%
Abbott Laboratories, 0.130%, 9/17/2015 (12)		35,000,000		34,997,978
Pharmaceuticals — 0.5%
Novartis Finance Corp., 0.110%, 9/10/2015 (6)(7)(12)		20,000,000		19,999,450
Winding Up Agencies — 1.8%
Erste Abwicklungsanstalt:
0.240%, 9/17/2015 (6)(7)(12)		15,000,000		14,998,400
0.280%, 11/10/2015 (6)(7)(12)		15,000,000		14,991,833
0.320%, 11/23/2015 (6)(7)(12)		19,500,000		19,485,614
0.440%, 1/25/2016 (6)(7)(12)		20,000,000		19,964,311
				69,440,158
Total Commercial Paper				2,113,313,091

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

104

BMO Funds

Prime Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes — 0.2%
Foreign Banks — 0.2%
Toronto-Dominion Bank, 2.500%, 7/14/2016	$	6,141,000	$	6,235,697
Total Corporate Bonds & Notes				6,235,697
Municipals — 7.2%
Colorado — 0.3%
Colorado Housing & Finance Authority, 0.150%, 10/1/2036 (9)		12,310,000		12,310,000
Federal Home Loan Mortgage Corporation — 0.3%
FHLMC Multifamily Variable Rate Demand Certificates, 0.060%, 9/15/2038 (9)(15)		12,335,000		12,335,000
Hawaii — 0.5%
Hawaii State Department of Budget & Finance, 0.120%, 3/1/2037 (9)(15)		19,485,000		19,485,000
Iowa — 0.2%
Iowa Finance Authority, 0.030%, 1/1/2039 (9)(15)		5,990,000		5,990,000
Massachusetts — 0.6%
Massachusetts Development Finance Agency, 0.100%, 10/1/2031 (9)		23,785,000		23,785,000
Michigan — 1.3%
University of Michigan, 0.010%, 4/1/2038 (9)		49,810,000		49,810,000
New York — 2.7%
New York City Housing Development Corp., FNMA, 0.020%, 6/15/2034 (9)(15)		49,000,000		49,000,000
New York State Housing Finance Agency, FNMA, 0.020%, 11/15/2038 (9)(15)		56,100,000		56,100,000
				105,100,000
North Dakota — 0.3%
North Dakota Housing Finance Agency, 0.030%, 1/1/2039 (9)(15)		13,155,000		13,155,000
Tennessee — 0.3%
Johnson City Health & Educational Facilities Board, 0.150%, 8/15/2043 (9)		11,075,000		11,075,000
Vermont — 0.2%
BB&T Municipal Trust, 0.350%, 5/1/2027 (9)		6,945,000		6,945,000
Wisconsin — 0.5%
Wisconsin Housing & Economic Development Authority:
0.020%, 3/1/2035 (9)(15)		9,950,000		9,950,000
0.020%, 9/1/2035 (9)(15)		10,730,000		10,730,000
				20,680,000
Total Municipals				280,670,000
Mutual Funds — 6.8%
BlackRock Liquidity Funds TempFund, 0.156%		140,000,000		140,000,000
Premier Portfolio, 0.190%		125,000,000		125,000,000
Total Mutual Funds				265,000,000

Description	Principal Amount		Value
Notes-Variable — 3.2%
Automobiles — 0.9%
American Honda Finance Corp., 0.306%, 1/11/2016 (9)	$	32,000,000	$	32,000,000
Foreign Banks — 1.8%
Royal Bank of Canada, 0.506%, 12/16/2015 (9)		70,000,000		70,042,819
Insurance — 0.5%
New York Life Global Funding, 0.294%, 10/29/2015 (6)(7)(9)		20,000,000		20,000,000
Total Notes-Variable				122,042,819
Repurchase Agreements — 11.8%
Agreement with Fixed Income Clearing Corp., 0.000%, dated 8/31/2015, to be repurchased at $17,970,915 on 9/1/2015, collateralized by a U.S. Government Treasury Obligation with a maturity of 1/31/2022, with a market value of $18,330,900		17,970,915		17,970,915
Agreement with Goldman Sachs Group, Inc., 0.110%, dated 8/31/2015, to be repurchased at $280,000,856 on 9/1/2015, collateralized by U.S. Government Agency Obligations with various maturities to 2/1/2045, with a market value of $284,863,035		280,000,000		280,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 0130%, dated 8/31/2015, to be repurchased at $85,000,307 on 9/1/2015, collateralized by U.S. Government Agency Obligations with various maturities to 6/20/2045, with a market value of $86,417,752		85,000,000		85,000,000
Agreement with Toronto Dominion Bank, 0.130%, dated 8/31/2015, to be repurchased at $75,000,271 on 9/1/2015, collateralized by U.S. Government Treasury Obligations with various maturities to 11/30/2020, with a market value of $76,067,763		75,000,000		75,000,000
Total Repurchase Agreements				457,970,915
Total Investments — 100.0% (at amortized cost)				3,873,236,680
Other Assets and Liabilities — 0.0%				(358,210	)
Total Net Assets — 100.0%			$	3,872,878,470

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

105

Notes to Schedules of Investments

The categories of investments are shown as a percentage of total net assets for each Fund as of August 31, 2015. Call dates contained within the Schedules of Investments represent the next possible date the security can be redeemed, at the option of the issuer, determined as of August 31, 2015. 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, 2015. 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 5, subsection Investments in Affiliated Issuers, in the Notes to Financial Statements.

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

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. At August 31, 2015, these securities amounted to:

Fund	Amount		% of Total Net Assets
TCH Emerging Markets Bond Fund	$	6,159,540		80.05	%
Alternative Strategies Fund
Long		397,472		1.13
Short		65,985		0.19
Ultra Short Tax-Free Fund		180,909,458		23.60
Short Tax-Free Fund		3,662,590		2.80
Short-Term Income Fund		33,814,731		10.21
Intermediate Tax-Free Fund		117,989,643		6.51

Fund	Amount		% of Total Net Assets
Mortgage Income Fund	$	7,791,451		6.64	%
TCH Intermediate Income Fund		14,686,883		13.94
TCH Corporate Income Fund		41,438,776		13.81
TCH Core Plus Bond Fund		106,572,078		9.91
Monegy High Yield Bond Fund		19,731,730		27.02
Tax-Free Money Market Fund		194,329,260		29.58
Prime Money Market Fund		1,558,252,820		40.24

(7) Denotes a restricted security which has been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds.

(8) Foreign security value denominated in U.S. Dollars. Principal amount listed represents adjusted par in local currency.

(9) Denotes a variable or floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2015.

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

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

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

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

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

(15) Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund, Government Money Market Fund and Prime Money Market Fund portfolios’ represent 2.34%, 10.12% and 4.56%, respectively, as calculated based upon total portfolio market value.

(16) 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.

The following acronyms may be referenced throughout this report:

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

106

August 31, 2015

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	$	102,652,190	(1)	$	174,771,289	(1)	$	368,738,487	(1)	$	346,667,397	(1)	$	415,114,745	(1)
Cash sweep investments in affiliated issuers, at value		6,245,933			2,800,936			5,959,946			4,499,155			11,221,418
Dividends and interest receivable		152,002			420,379			741,634			210,443			348,754
Receivable for investments sold		—			—			14,076,195			—			945,873
Receivable for capital stock sold		5,004,690			335,389			476,241			420,346			396,555
Prepaid expenses		11,437			18,823			13,933			15,473			23,556
Other receivables		234			538			687			814			809
Total assets		114,066,486			178,347,354			390,007,123			351,813,628			428,051,710
Liabilities:
Payable for return of securities lending collateral		32,471,440			57,648,185			121,841,818			114,426,851			138,875,793
Payable for investments purchased		2,441,491			—			15,257,946			—			958,161
Payable for capital stock redeemed		1,140,809			798,172			1,332,904			2,215,204			1,273,244
Payable to affiliates, net (Note 6)		28,741			50,405			204,667			191,534			250,875
Other liabilities		30,483			42,442			62,326			66,754			75,388
Total liabilities		36,112,964			58,539,204			138,699,661			116,900,343			141,433,461
Total net assets	$	77,953,522		$	119,808,150		$	251,307,462		$	234,913,285		$	286,618,249
Net assets consist of:
Paid-in capital	$	70,722,618		$	102,271,384		$	194,857,648		$	162,493,440		$	204,205,391
Net unrealized appreciation on investments		4,681,840			10,591,828			26,592,998			41,928,232			59,006,976
Accumulated net realized gain on investments		2,402,149			6,585,453			28,982,084			30,094,097			22,742,759
Undistributed net investment income		146,915			359,485			874,732			397,516			663,123
Total net assets	$	77,953,522		$	119,808,150		$	251,307,462		$	234,913,285		$	286,618,249
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	$	—		$	—		$	15.23		$	16.26		$	15.02
Advisor class of shares:
Net asset value and redemption proceeds per share		12.81			12.59			15.23			16.26			15.02
Offering price per share(2)		13.48			13.25			16.03			17.12			15.81
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		12.84			12.62			15.26			16.39			15.01
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			—			—			14.96
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			—			—			15.03
Net assets:
Investor class of shares	$	—		$	—		$	156,840,021		$	161,918,554		$	178,631,028
Advisor class of shares		1,161,817			74,253,806			28,502			36,767			25,644
Institutional class of shares		76,791,705			45,554,344			94,438,939			72,957,964			99,159,913
Retirement class R-3 of shares		—			—			—			—			25,557
Retirement class R-6 of shares		—			—			—			—			8,776,107
Total net assets	$	77,953,522		$	119,808,150		$	251,307,462		$	234,913,285		$	286,618,249
Shares outstanding:
Investor class of shares		—			—			10,300,791			9,956,702			11,889,849
Advisor class of shares		90,720			5,896,861			1,872			2,261			1,707
Institutional class of shares		5,981,258			3,610,546			6,190,121			4,450,855			6,605,343
Retirement class R-3 of shares		—			—			—			—			1,708
Retirement class R-6 of shares		—			—			—			—			583,810
Total shares outstanding		6,071,978			9,507,407			16,492,784			14,409,818			19,082,417
Investments, at cost:
Investments in unaffiliated issuers	$	97,970,350		$	164,179,461		$	342,145,489		$	304,739,165		$	356,107,769
Cash sweep investments in affiliated issuers		6,245,933			2,800,936			5,959,946			4,499,155			11,221,418
Total investments, at cost	$	104,216,283		$	166,980,397		$	348,105,435		$	309,238,320		$	367,329,187

(1) Including $31,513,976, $55,948,352, $118,249,150, $111,052,824 and $134,780,856, 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)

107

August 31, 2015

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	$	302,339,257	(1)	$	129,976,768	(1)	$	5,503,915	(1)	$	938,029,822	(1)	$	5,391,940	(1)
Cash sweep investments in affiliated issuers, at value		4,639,539			5,566,813			47,479			22,731,181			—
Cash denominated in foreign currencies		—			—			—			—			5,063	(2)
Dividends and interest receivable		110,637			63,782			1,686			323,345			9,911
Receivable for investments sold		840,039			423,892			—			919,260			—
Receivable for capital stock sold		357,931			636,523			—			773,850			—
Receivable from affiliates, net (Note 6)		—			—			3,993			—			9,979
Prepaid expenses		25,217			30,750			15,360			10,251			13,214
Other receivables		1,451			456			23			8,712			218
Total assets		308,314,071			136,698,984			5,572,456			962,796,421			5,430,325
Liabilities:
Payable for return of securities lending collateral		99,120,731			41,462,036			1,283,962			300,690,862			1,110,528
Payable for investments purchased		313,566			2,828,031			—			3,407,654			2
Payable for capital stock redeemed		770,448			131,397			—			11,840,482			—
Payable for foreign tax expense		—			—			—			—			896
Payable to affiliates, net (Note 6)		172,929			60,295			—			700,645			—
Other liabilities		70,698			51,550			27,215			88,720			32,817
Total liabilities		100,448,372			44,533,309			1,311,177			316,728,363			1,144,243
Total net assets	$	207,865,699		$	92,165,675		$	4,261,279		$	646,068,058		$	4,286,082
Net assets consist of:
Paid-in capital	$	137,890,277		$	86,333,165		$	4,176,575		$	563,239,953		$	4,104,937
Net unrealized appreciation on investments and foreign currency translation		49,361,391			4,021,266			30,618			45,943,511			126,876
Accumulated net realized gain (loss) on investments and foreign currency transactions		21,316,436			1,888,093			49,305			39,014,571			(22,170	)
Undistributed net investment income (distributions in excess of net investment income)		(702,405	)		(76,849	)		4,781			(2,129,977	)		76,439
Total net assets	$	207,865,699		$	92,165,675		$	4,261,279		$	646,068,058		$	4,286,082
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	$	20.02		$	—		$	—		$	18.11		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		20.02			12.72			10.41			—			11.31
Offering price per share(3)		21.07			13.39			10.96			—			11.91
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		20.51			12.84			10.45			18.60			11.34
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		20.37			12.76			—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		20.55			12.87			—			—			—
Net assets:
Investor class of shares	$	125,019,095		$	—		$	—		$	307,052,435		$	—
Advisor class of shares		27,731			72,821,432			628,957			—			142,235
Institutional class of shares		82,768,051			19,186,418			3,632,322			339,015,623			4,143,847
Retirement class R-3 of shares		25,305			24,275			—			—			—
Retirement class R-6 of shares		25,517			133,550			—			—			—
Total net assets	$	207,865,699		$	92,165,675		$	4,261,279		$	646,068,058		$	4,286,082
Shares outstanding:
Investor class of shares		6,243,941			—			—			16,951,915			—
Advisor class of shares		1,385			5,723,898			60,433			—			12,580
Institutional class of shares		4,036,460			1,493,830			347,490			18,229,824			365,348
Retirement class R-3 of shares		1,242			1,902			—			—			—
Retirement class R-6 of shares		1,242			10,374			—			—			—
Total shares outstanding		10,284,270			7,230,004			407,923			35,181,739			377,928
Investments, at cost:
Investments in unaffiliated issuers	$	252,977,866		$	125,955,502		$	5,473,297		$	892,086,311		$	5,264,946
Cash sweep investments in affiliated issuers		4,639,539			5,566,813			47,479			22,731,181			—
Total investments, at cost	$	257,617,405		$	131,522,315		$	5,520,776		$	914,817,492		$	5,264,946

(1) Including $96,198,024, $40,239,473, $1,246,102, $291,824,592 and $1,071,935, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies is $5,152.

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

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

108

August 31, 2015

Statements of Assets and Liabilities BMO Funds

	Pyrford Global Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			TCH Emerging Markets Bond Fund			Alternative Strategies Fund (1)
Assets:
Investments in unaffiliated issuers, at value	$	1,445,303	(2)	$	762,622,214	(2)	$	158,021,358	(2)	$	8,786,124	(2)	$	35,564,113
Purchased options, at value		—			—			—			—			70,758
Cash		—			—			—			20,000			—
Deposit held at brokers and custodian		—			—			—			—			10,075,523
Cash denominated in foreign currencies		4,624	(3)		832,113	(3)		4,941	(3)		—			71,766	(3)
Dividends and interest receivable		5,095			3,773,176			336,540			104,254			63,620
Receivable for investments sold		—			—			1,857,965			—			1,921,547
Receivable for capital stock sold		—			3,783,654			256,286			—			—
Receivable for daily variation margin		—			—			—			—			90,294
Receivable for forward foreign currency contracts		—			—			—			—			262,484
Receivable from affiliates, net (Note 6)		12,168			—			—			7,188			1,003
Prepaid expenses		15,355			26,397			17,559			10,433			5,958
Other receivables		32			7,704			1,367			344			19,733
Total assets		1,482,577			771,045,258			160,496,016			8,928,343			48,146,799
Liabilities:
Securities sold short, at value (proceeds $11,101,978)		—			—			—			—			10,335,695
Options written, at value (proceeds $301,168)		—			—			—			—			454,037
Payable for dividends and interest on securities sold short		—			—			—			—			27,842
Payable for return of securities lending collateral		265,634			40,598,732			10,468,643			1,199,025			—
Payable for investments purchased		1,770			1,912,147			—			—			1,266,875
Payable for capital stock redeemed		—			2,419,873			774,343			—			—
Payable for daily variation margin		—			—			—			—			284,062
Payable for forward foreign currency contracts		—			—			—			—			176,483
Payable for foreign tax expense		84			108,806			79,951			—			170
Payable to affiliates, net (Note 6)		—			501,244			80,679			—			—
Payable to custodian		—			—			—			—			154,977
Other liabilities		30,856			172,957			92,502			34,838			174,568
Total liabilities		298,344			45,713,759			11,496,118			1,233,863			12,874,709
Total net assets	$	1,184,233		$	725,331,499		$	148,999,898		$	7,694,480		$	35,272,090
Net assets consist of:
Paid-in capital	$	1,251,858		$	756,100,202		$	156,614,361		$	7,776,313		$	33,927,324
Net unrealized appreciation (depreciation) on investments, options, futures contracts and foreign currency translation		(97,520	)		(40,228,726	)		(5,109,825	)		(405,887	)		542,428
Accumulated net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		1,278			(3,714,076	)		(3,960,896	)		71,378			867,199
Undistributed net investment income (distributions in excess of net investment income)		28,617			13,174,099			1,456,258			252,676			(64,861	)
Total net assets	$	1,184,233		$	725,331,499		$	148,999,898		$	7,694,480		$	35,272,090
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	$	—		$	11.74		$	—		$	—		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		9.53			11.74			12.12			9.89			10.40
Offering price per share		10.03	(4)		12.36	(4)		12.76	(4)		10.25	(5)		10.95	(4)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		9.55			11.78			12.16			9.90			10.42
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			11.74			—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			11.79			—			—			—
Net assets:
Investor class of shares	$	—		$	91,700,408		$	—		$	—		$	—
Advisor class of shares		690,691			817,017			63,965,907			3,882,591			1,011,009
Institutional class of shares		493,542			626,232,162			85,033,991			3,811,889			34,261,081
Retirement class R-3 of shares		—			22,428			—			—			—
Retirement class R-6 of shares		—			6,559,484			—			—			—
Total net assets	$	1,184,233		$	725,331,499		$	148,999,898		$	7,694,480		$	35,272,090

(Continued on next page)

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

109

August 31, 2015

Statements of Assets and Liabilities BMO Funds

	Pyrford Global Equity Fund		Pyrford International Stock Fund		LGM Emerging Markets Equity Fund		TCH Emerging Markets Bond Fund		Alternative Strategies Fund (1)
Shares outstanding:
Investor class of shares	$	—	$	7,811,750	$	—	$	—	$	—
Advisor class of shares		72,456		69,600		5,278,647		392,652		97,174
Institutional class of shares		51,671		53,170,522		6,993,898		385,081		3,287,526
Retirement class R-3 of shares		—		1,911		—		—		—
Retirement class R-6 of shares		—		556,382		—		—		—
Total shares outstanding		124,127		61,610,165		12,272,545		777,733		3,384,700
Investments, at cost:
Investments in unaffiliated issuers	$	1,542,748	$	802,775,638	$	163,126,395	$	9,191,873	$	35,497,207
Purchased options		—		—		—		—		101,145
Total investments, at cost	$	1,542,748	$	802,775,638	$	163,126,395	$	9,191,873	$	35,598,352

(1) Fund inception date is December 16, 2014.

(2) Including $254,804, $38,283,349, $9,566,143 and $1,175,275, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(3) Identified cost of cash denominated in foreign currencies are $4,639, $849,630, $5,819 and $71,509, respectively.

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

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

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

110

August 31, 2015

Statements of Assets and Liabilities BMO Funds

	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Mortgage Income Fund
Assets:
Investments in unaffiliated issuers, at value	$	761,255,086		$	126,510,334		$	363,017,304	(1)	$	1,775,165,421		$	115,670,911
Cash sweep investments in affiliated issuers, at value		2,807,077			2,946,935			6,644,766			19,318,314			1,524,417
Investments in other affiliated issuers, at value		—			851,005			—			5,019,275			—
Cash		1,000			1,000			—			1,000			—
Deposit held at broker		—			10,000			—			100,000			—
Dividends and interest receivable		2,661,789			924,009			1,214,861			15,837,806			382,325
Receivable for investments sold		—			—			—			—			1,988
Receivable for capital stock sold		1,879,041			356,827			1,105,316			3,124,872			16,604
Prepaid expenses		14,145			16,453			16,937			55,222			18,666
Other receivables		—			—			303			—			—
Total assets		768,618,138			131,616,563			371,999,487			1,818,621,910			117,614,911
Liabilities:
Payable for return of securities lending collateral		—			—			38,997,230			—			—
Payable for investments purchased		514,708			502,271			1,024,207			1,900,000			—
Payable for capital stock redeemed		971,346			64,999			415,415			2,468,446			73,928
Payable to affiliates, net (Note 6)		166,975			20,016			85,183			653,397			54,859
Payable for income distribution		200,415			99,903			119,312			601,992			45,518
Other liabilities		82,898			53,424			63,461			151,008			53,739
Total liabilities		1,936,342			740,613			40,704,808			5,774,843			228,044
Total net assets	$	766,681,796		$	130,875,950		$	331,294,679		$	1,812,847,067		$	117,386,867
Net assets consist of:
Paid-in capital	$	765,744,211		$	129,847,440		$	333,576,936		$	1,765,237,395		$	120,337,819
Net unrealized appreciation (depreciation) on investments		383,264			710,623			(613,846	)		46,577,178			2,153,198
Accumulated net realized gain (loss) on investments		565,559			309,002			(1,669,770	)		958,752			(5,089,223	)
Undistributed net investment income (distributions in excess of net investment income)		(11,238	)		8,885			1,359			73,742			(14,927	)
Total net assets	$	766,681,796		$	130,875,950		$	331,294,679		$	1,812,847,067		$	117,386,867
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	$	10.08		$	10.20		$	9.33		$	11.26		$	9.31
Advisor class of shares:
Net asset value and redemption proceeds per share		10.08			10.20			9.33			11.26			9.31
Offering price per share		10.29	(2)		10.41	(2)		9.52	(2)		11.67	(3)		9.65	(3)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.08			10.20			9.35			11.26			9.31
Net assets:
Investor class of shares	$	64,333,047		$	24,689,220		$	67,376,212		$	1,250,815,283		$	94,380,402
Advisor class of shares		25,100			453,076			25,140			2,094,951			25,811
Institutional class of shares		702,323,649			105,733,654			263,893,327			559,936,833			22,980,654
Total net assets	$	766,681,796		$	130,875,950		$	331,294,679		$	1,812,847,067		$	117,386,867
Shares outstanding:
Investor class of shares		6,380,892			2,420,817			7,219,402			111,089,973			10,134,889
Advisor class of shares		2,490			44,425			2,694			186,063			2,772
Institutional class of shares		69,698,389			10,362,284			28,221,900			49,745,900			2,469,676
Total shares outstanding		76,081,771			12,827,526			35,443,996			161,021,936			12,607,337
Investments, at cost:
Investments in unaffiliated issuers	$	760,871,822		$	125,798,868		$	363,631,150		$	1,728,583,266		$	113,517,713
Cash sweep investments in affiliated issuers		2,807,077			2,946,935			6,644,766			19,318,314			1,524,417
Investments in other affiliated issuers		—			851,848			—			5,024,252			—
Total investments, at cost	$	763,678,899		$	129,597,651		$	370,275,916		$	1,752,925,832		$	115,042,130

(1) Including $37,847,345 of securities on loan. A security on loan value represents both market value and accrued interest.

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

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

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

111

August 31, 2015

Statements of Assets and Liabilities BMO Funds

	TCH Intermediate Income Fund			TCH Corporate Income Fund			TCH Core Plus Bond Fund			Monegy High Yield Bond Fund			Multi-Asset Income Fund
Assets:
Investments in unaffiliated issuers, at value	$	120,578,098	(1)	$	327,735,132	(1)	$	1,183,972,622	(1)	$	71,230,042		$	64,569,061	(1)
Cash sweep investments in affiliated issuers, at value		4,336,323			6,085,570			19,640,890			3,669,881			183,434
Investments in other affiliated issuers, at value		—			—			—			—			2,226,018
Deposit held at broker		100,000			250,000			250,000			—			—
Dividends and interest receivable		735,463			2,948,126			8,061,214			1,247,737			94,530
Receivable for investments sold		—			4,291,389			7,813,663			75,548			1,325,997
Receivable for capital stock sold		14,840			1,774,195			1,832,139			126,527			10,738
Prepaid expenses		20,525			17,904			19,940			16,037			15,361
Other receivables		548			696			1,753			—			675
Total assets		125,785,797			343,103,012			1,221,592,221			76,365,772			68,425,814
Liabilities:
Payable for return of securities lending collateral		19,589,302			40,373,663			131,722,400			—			18,949,942
Payable for investments purchased		—			1,783,861			3,567,722			2,423,810			—
Payable for capital stock redeemed		653,774			359,919			10,120,236			837,075			365,648
Payable to affiliates, net (Note 6)		37,178			106,177			388,784			10,628			16,789
Payable for income distribution		71,555			303,223			229,156			27,356			—
Other liabilities		46,470			57,461			88,372			50,413			28,627
Total liabilities		20,398,279			42,984,304			146,116,670			3,349,282			19,361,006
Total net assets	$	105,387,518		$	300,118,708		$	1,075,475,551		$	73,016,490		$	49,064,808
Net assets consist of:
Paid-in capital	$	128,741,747		$	304,832,562		$	1,086,039,011		$	76,530,758		$	53,603,875
Net unrealized depreciation on investments		(1,314,306	)		(5,619,293	)		(10,834,513	)		(1,640,775	)		(3,718,529	)
Accumulated net realized gain (loss) on investments		(22,029,896	)		908,137			284,158			(1,864,106	)		(825,473	)
Distributions in excess of net investment income		(10,027	)		(2,698	)		(13,105	)		(9,387	)		4,935
Total net assets	$	105,387,518		$	300,118,708		$	1,075,475,551		$	73,016,490		$	49,064,808
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	$	—		$	12.33		$	11.42		$	—		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		10.35			12.33			11.42			9.41			9.35
Offering price per share(2)		10.73			12.78			11.83			9.75			9.69
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.34			12.32			11.42			9.41			9.36
Net assets:
Investor class of shares	$	—		$	137,986,991		$	602,587,524		$	—		$	—
Advisor class of shares		27,578,856			24,805			311,932			42,843,272			528,616
Institutional class of shares		77,808,662			162,106,912			472,576,095			30,173,218			48,536,192
Total net assets	$	105,387,518		$	300,118,708		$	1,075,475,551		$	73,016,490		$	49,064,808
Shares outstanding:
Investor class of shares		—			11,192,158			52,745,827			—			—
Advisor class of shares		2,664,293			2,012			27,304			4,551,253			56,514
Institutional class of shares		7,524,401			13,163,005			41,376,442			3,207,340			5,187,208
Total shares outstanding		10,188,694			24,357,175			94,149,573			7,758,593			5,243,722
Investments, at cost:
Investments in unaffiliated issuers	$	121,892,404		$	333,354,425		$	1,194,807,135		$	72,870,817		$	68,164,206
Cash sweep investments in affiliated issuers		4,336,323			6,085,570			19,640,890			3,669,881			183,434
Investments in other affiliated issuers		—			—			—			—			2,349,402
Total investments, at cost	$	126,228,727		$	339,439,995		$	1,214,448,025		$	76,540,698		$	70,697,042

(1) Including $19,011,685, $39,183,192, $127,838,390 and $18,391,178, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

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

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

112

August 31, 2015

Statements of Assets and Liabilities BMO Funds

	Government Money Market Fund		Tax-Free Money Market Fund			Prime Money Market Fund
Assets:
Investments in unaffiliated issuers, at value	$	393,242,335	$	661,980,235		$	3,415,265,765
Investments in repurchase agreements		175,519,266		—			457,970,915
Cash		—		1,000			—
Dividends and interest receivable		187,535		391,239			363,818
Receivable for capital stock sold		—		—			17,956
Prepaid expenses		14,225		19,495			20,097
Total assets		568,963,361		662,391,969			3,873,638,551
Liabilities:
Payable for investments purchased		—		5,214,001			—
Payable to affiliates, net (Note 6)		25,170		42,548			546,018
Payable for income distribution		6,066		22,381			84,238
Other liabilities		44,695		55,630			129,825
Total liabilities		75,931		5,334,560			760,081
Total net assets	$	568,887,430	$	657,057,409		$	3,872,878,470
Net assets consist of:
Paid-in capital	$	568,887,430	$	657,057,356		$	3,872,902,433
Accumulated net realized gain on investments		—		3,187			—
Distributions in excess of net investment income		—		(3,134	)		(23,963	)
Total net assets	$	568,887,430	$	657,057,409		$	3,872,878,470
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
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		1.00		1.00			1.00
Net assets:
Investor class of shares	$	101,592,954	$	142,051,918		$	1,296,632,775
Institutional class of shares		467,294,476		515,005,491			2,576,245,695
Total net assets	$	568,887,430	$	657,057,409		$	3,872,878,470
Shares outstanding:
Investor class of shares		101,593,331		142,049,191			1,296,846,490
Institutional class of shares		467,294,099		515,035,833			2,576,320,561
Total shares outstanding		568,887,430		657,085,024			3,873,167,051
Investments, at cost:
Investments in unaffiliated issuers	$	568,761,601	$	661,980,235		$	3,873,236,680
Total investments, at cost	$	568,761,601	$	661,980,235		$	3,873,236,680

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

113

Year Ended August 31, 2015

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	$	1,445,212		$	3,952,458	(1)	$	5,354,829	(1)	$	3,283,077	(1)	$	4,493,819
Affiliated issuers		228			441			965			983			1,684
Net securities lending income (Note 6)		26,886			56,641			84,565			90,322			106,384
Total income		1,472,326			4,009,540			5,440,359			3,374,382			4,601,887
Expenses:
Investment advisory fees (Note 6)		338,858			627,129			2,000,429			1,997,963			2,236,738
Shareholder servicing fees (Note 6)		1,717			107,388			377,511			369,780			473,461
Administration fees (Note 6)		73,127			134,414			288,680			286,167			480,105
Portfolio accounting fees		52,573			68,686			113,472			112,982			146,965
Recordkeeping fees		33,229			35,886			76,151			94,481			105,850
Custodian fees (Note 6)		2,973			5,506			11,904			11,875			14,337
Registration fees		46,727			51,221			54,532			53,154			88,273
Professional fees		19,987			19,987			20,348			20,349			20,349
Printing and postage		1,535			46,619			44,180			44,239			48,344
Directors’ fees		12,192			12,192			12,192			12,192			12,192
Distribution services fees (Note 6):
Advisor class		943			69,172			70			73			67
Retirement class R-3		—			—			—			—			135
Miscellaneous		7,190			7,850			9,136			9,085			10,992
Total expenses		591,051			1,186,050			3,008,605			3,012,340			3,637,808
Deduct:
Expense waivers (Note 6)		(147,875	)		(194,222	)		(27,286	)		(35,679	)		—
Net expenses		443,176			991,828			2,981,319			2,976,661			3,637,808
Net investment income		1,029,150			3,017,712			2,459,040			397,721			964,079
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		3,091,790			7,674,193			31,924,904			35,989,512			30,944,561
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(1,007,578	)		(15,228,557	)		(34,447,348	)		(17,793,146	)		(41,027,357	)
Net realized and unrealized gain (loss) on investments		2,084,212			(7,554,364	)		(2,522,444	)		18,196,366			(10,082,796	)
Change in net assets resulting from operations	$	3,113,362		$	(4,536,652	)	$	(63,404	)	$	18,594,087		$	(9,118,717	)

(1) Net of foreign taxes withheld of $1,485, $1,276 and $19,234, respectively.

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

114

Year Ended August 31, 2015

Statements of Operations BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,578,764	(1)	$	840,026		$	40,526		$	4,194,564		$	127,541	(1)
Affiliated issuers		842			523			14			2,821			—
Net securities lending income (Note 6)		258,850			46,557			2,582			1,662,181			2,299
Total income		1,838,456			887,106			43,122			5,859,566			129,840
Expenses:
Investment advisory fees (Note 6)		1,733,262			584,191			25,853			7,264,222			28,063
Shareholder servicing fees (Note 6)		315,589			108,456			894			950,252			195
Administration fees (Note 6)		379,506			127,861			5,966			736,086			4,643
Portfolio accounting fees		128,943			76,710			35,844			204,855			50,273
Recordkeeping fees		95,866			66,683			25,779			72,537			28,449
Custodian fees (Note 6)		11,111			3,744			175			32,420			32,679
Registration fees		87,026			87,289			52,402			42,884			43,479
Professional fees		20,349			19,987			23,226			20,349			23,485
Printing and postage		53,582			43,733			1,617			88,666			1,694
Directors’ fees		12,192			12,192			12,192			12,192			12,192
Distribution services fees (Note 6):
Advisor class		70			70,019			652			—			176
Retirement class R-3		132			127			—			—			—
Miscellaneous		10,730			8,671			6,918			15,683			12,880
Total expenses		2,848,358			1,209,663			191,518			9,440,146			238,208
Deduct:
Expense waivers (Note 6)		(27,233	)		(186,820	)		(154,174	)		—			(201,142	)
Net expenses		2,821,125			1,022,843			37,344			9,440,146			37,066
Net investment income (loss)		(982,669	)		(135,737	)		5,778			(3,580,580	)		92,774
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		28,317,329			2,257,682			93,653			40,663,432			(21,837	)
Foreign currency transactions		—			—			—			—			(4,478	)
Total net realized gain (loss)		28,317,329			2,257,682			93,653			40,663,432			(26,315	)
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(30,951,900	)		(8,437,907	)		(131,581	)		(46,047,343	)		(70,912	)
Investments in affiliated issuers		—			—			—			940,500			—
Foreign currency translations		—			—			—			—			(118	)
Total net change in unrealized depreciation		(30,951,900	)		(8,437,907	)		(131,581	)		(45,106,843	)		(71,030	)
Net realized and unrealized loss on investments and foreign currency		(2,634,571	)		(6,180,225	)		(37,928	)		(4,443,411	)		(97,345	)
Change in net assets resulting from operations	$	(3,617,240	)	$	(6,315,962	)	$	(32,150	)	$	(8,023,991	)	$	(4,571	)

(1) Net of foreign taxes withheld of $10,207 and $10,570, respectively.

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

115

Year Ended August 31, 2015

Statements of Operations BMO Funds

	Pyrford Global Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			TCH Emerging Markets Bond Fund			Alternative Strategies Fund (1)
Investment income:
Dividend income from:
Unaffiliated issuers	$	38,436	(2)	$	16,740,952	(2)	$	3,964,637	(2)	$	163		$	175,127	(2)
Interest income		—			—			—			453,250	(2)		163,922
Net securities lending income (Note 6)		583			253,957			14,680			3,766			—
Total income		39,019			16,994,909			3,979,317			457,179			339,049
Expenses:
Investment advisory fees (Note 6)		7,225			3,585,498			1,537,858			46,275			421,348
Shareholder servicing fees (Note 6)		990			216,751			101,278			6,218			—
Administration fees (Note 6)		1,806			731,792			181,977			8,434			37,178
Portfolio accounting fees		49,042			71,472			23,672			51,011			178,615
Recordkeeping fees		25,698			205,731			39,947			27,016			18,523
Custodian fees (Note 6)		20,689			238,803			324,197			7,267			241,743
Registration fees		52,274			101,102			60,585			44,405			42,662
Professional fees		23,486			20,698			26,247			26,485			62,346
Printing and postage		1,739			57,987			67,580			1,678			19,535
Directors’ fees		12,192			12,192			12,192			12,192			8,674
Interest expense and dividends on securities sold short		—			—			—			—			129,558
Distribution services fees (Note 6):
Advisor class		694			132			60,933			3,660			1,462
Retirement class R-3		—			121			—			—			—
Miscellaneous		8,072			20,179			19,759			8,214			4,329
Total expenses		203,907			5,262,458			2,456,225			242,855			1,165,973
Deduct:
Expense waivers (Note 6)		(191,401	)		(196,754	)		(328,973	)		(170,052	)		(551,511	)
Net expenses		12,506			5,065,704			2,127,252			72,803			614,462
Net investment income (loss)		26,513			11,929,205			1,852,065			384,376			(275,413	)
Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		1,278			(2,709,190	)		1,194,398	(3)		122,213			461,572
Foreign currency transactions		(2,011	)		2,466,894			(178,892	)		(2,766	)		( 6,667	)
Forward contracts		9,644			0			—			—			177,581
Futures contracts		—			—			—			—			(494,389	)
Purchased options		—			—			—			—			54,634
Written options		—			—			—			—			879,443
Short sales		—			—			—			—			(4,355	)
Total net realized gain (loss)		8,911			(242,296	)		1,015,506			119,447			1,067,819
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(151,184	)		(85,377,247	)		(27,535,333	)		(831,156	)		66,907
Futures contracts		—			—			—			—			(193,768	)
Forward contracts		3,704			1,223,525			—			—			86,001
Purchased options		—			—			—			—			(30,387	)
Written options		—			—			—			—			(152,869	)
Short sales		—			—			—			—			766,283
Foreign currency translations		(80	)		(54,524	)		2,848			(132	)		261
Total net change in unrealized appreciation (depreciation)		(147,560	)		(84,208,246	)		(27,532,485	)		(831,288	)		542,428
Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency		(138,649	)		(84,450,542	)		(26,516,979	)		(711,841	)		1,610,247
Change in net assets resulting from operations	$	(112,136	)	$	(72,521,337	)	$	(24,664,914	)	$	(327,465	)	$	1,334,834

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

(2) Net of foreign taxes withheld of $2,342, $1,271,037, $318,190, $62 and $829, respectively.

(3) Net of foreign taxes withheld of $80,767, $44,096 of which is related to appreciated investments held at period end.

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

116

Year Ended August 31, 2015

Statements of Operations BMO Funds

	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Mortgage Income Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	—		$	—		$	263,817		$	617,164		$	—
Affiliated issuers		2,777			3,371			1,356			30,652			342
Interest income		6,872,762			2,214,116			3,664,744			45,296,099			3,926,524
Net securities lending income (Note 6)		—			—			35,444			—			2,831
Total income		6,875,539			2,217,487			3,965,361			45,943,915			3,929,697
Expenses:
Investment advisory fees (Note 6)		1,382,777			303,849			487,539			3,129,717			450,276
Shareholder servicing fees (Note 6)		172,715			67,874			185,933			2,969,909			251,311
Administration fees (Note 6)		770,197			137,979			274,144			1,227,913			132,179
Portfolio accounting fees		304,542			146,973			136,155			467,305			82,700
Recordkeeping fees		40,041			35,358			55,413			118,074			60,678
Custodian fees (Note 6)		33,844			5,639			10,883			72,343			5,463
Registration fees		67,885			64,762			55,889			119,862			52,315
Professional fees		24,469			24,469			24,469			24,857			26,529
Printing and postage		9,574			6,127			22,316			87,670			14,982
Directors’ fees		12,192			12,192			12,192			12,192			12,192
Distribution services fees (Note 6):
Advisor class		67			154			62			5,186			64
Miscellaneous		14,581			7,475			8,810			21,472			7,807
Total expenses		2,832,884			812,851			1,273,805			8,256,500			1,096,496
Deduct:
Expense waivers (Note 6)		(347,613	)		(257,996	)		(220,052	)		(213,709	)		(161,223	)
Net expenses		2,485,271			554,855			1,053,753			8,042,791			935,273
Net investment income		4,390,268			1,662,632			2,911,608			37,901,124			2,994,424
Net realized and unrealized gain (loss) on investments and futures contracts:
Net realized gain on transactions from:
Investments in unaffiliated issuers		722,593			358,636			196,403			5,905,608			840,188
Futures contracts		—			(16,021	)		—			(668,831	)		—
Net realized gain on capital gains distributions from:
Investments in affiliated issuers		—			24			—			149			—
Total net realized gain		722,593			342,639			196,403			5,236,926			840,188
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(1,720,781	)		(366,797	)		(1,491,738	)		(5,870,944	)		(670,112	)
Investments in affiliated issuers		—			(843	)		—			(4,977	)		—
Futures contracts		—			(1,679	)		—			25,722			—
Total net change in unrealized depreciation		(1,720,781	)		(369,319	)		(1,491,738	)		(5,850,199	)		(670,112	)
Net realized and unrealized gain (loss) on investments and futures contracts		(998,188	)		(26,680	)		(1,295,335	)		(613,273	)		170,076
Change in net assets resulting from operations	$	3,392,080		$	1,635,952		$	1,616,273		$	37,287,851		$	3,164,500

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

117

Year Ended August 31, 2015

Statements of Operations BMO Funds

	TCH Intermediate Income Fund			TCH Corporate Income Fund			TCH Core Plus Bond Fund			Monegy High Yield Bond Fund			Multi-Asset Income Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	347		$	453		$	5,960		$	—		$	1,686,174
Affiliated issuers		1,323			2,202			4,261			311			97,253
Interest income		3,498,779	(1)		9,480,132	(1)		33,544,407			4,551,035			18,938
Net securities lending income (Note 6)		58,292			71,672			221,397			—			86,727
Total income		3,558,741			9,554,459			33,776,025			4,551,346			1,889,092
Expenses:
Investment advisory fees (Note 6)		499,274			645,453			1,914,460			372,900			144,070
Shareholder servicing fees (Note 6)		58,447			315,471			1,401,001			63,863			836
Administration fees (Note 6)		142,803			301,322			924,674			79,883			86,442
Portfolio accounting fees		79,588			132,383			278,305			83,160			46,317
Recordkeeping fees		54,228			38,851			35,391			35,002			26,175
Custodian fees (Note 6)		5,984			12,213			45,363			3,275			2,529
Registration fees		53,458			64,614			87,063			48,102			54,775
Professional fees		25,988			26,529			25,359			25,988			23,226
Printing and postage		5,895			20,873			46,385			49,597			1,751
Directors’ fees		12,192			12,192			12,192			12,192			12,192
Distribution services fees (Note 6):
Advisor class		21,280			63			546			38,795			532
Miscellaneous		8,033			8,500			16,422			7,429			7,002
Total expenses		967,170			1,578,464			4,787,161			820,186			405,847
Deduct:
Expense waivers (Note 6)		(138,057	)		(139,415	)		—			(232,758	)		(87,524	)
Net expenses		829,113			1,439,049			4,787,161			587,428			318,323
Net investment income		2,729,628			8,115,410			28,988,864			3,963,918			1,570,769
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		522,798			1,721,663			5,137,972			(1,863,055	)		(912,903	)
Investments in affiliated issuers		—			—			—			—			(31,523	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		—			—			—			—			208,518
Investments in affiliated issuers		—			—			—			—			36,767
Total net realized gain (loss)		522,798			1,721,663			5,137,972			(1,863,055	)		(699,141	)
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(3,844,747	)		(17,755,993	)		(46,860,911	)		(4,162,348	)		(4,171,632	)
Investments in affiliated issuers		—			—			—			—			(119,964	)
Total net change in unrealized depreciation		(3,844,747	)		(17,755,993	)		(46,860,911	)		(4,162,348	)		(4,291,596	)
Net realized and unrealized loss on investments		(3,321,949	)		(16,034,330	)		(41,722,939	)		(6,025,403	)		(4,990,737	)
Change in net assets resulting from operations	$	(592,321	)	$	(7,918,920	)	$	(12,734,075	)	$	(2,061,485	)	$	(3,419,968	)

(1) Net of foreign taxes withheld of $678 and $1,455, respectively.

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

118

Year Ended August 31, 2015

Statements of Operations BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	18,473		$	101,129		$	195,284
Interest income		550,986			1,010,602			6,906,900
Total income		569,459			1,111,731			7,102,184
Expenses:
Investment advisory fees (Note 6)		1,245,872			1,286,559			5,123,339
Shareholder servicing fees (Note 6)		309,514			345,738			3,213,750
Administration fees (Note 6)		207,138			214,148			1,188,579
Portfolio accounting fees		126,912			136,460			364,239
Recordkeeping fees		22,642			28,673			100,276
Custodian fees (Note 6)		27,343			28,228			156,834
Registration fees		58,826			65,412			69,408
Professional fees		23,438			28,488			28,588
Printing and postage		14,399			14,564			94,806
Directors’ fees		12,192			12,192			12,192
Miscellaneous		15,347			16,633			48,548
Total expenses		2,063,623			2,177,095			10,400,559
Deduct:
Expense waivers (Note 6)		(1,559,656	)		(1,130,417	)		(3,773,948	)
Net expenses		503,967			1,046,678			6,626,611
Net investment income		65,492			65,053			475,573
Net realized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		1,022			57,154			11,653
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		—			3,667			—
Net realized gain on investments		1,022			60,821			11,653
Change in net assets resulting from operations	$	66,514		$	125,874		$	487,226

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

119

Statements of Changes in Net Assets

	Low Volatility Equity Fund						Dividend Income Fund						Large-Cap Value Fund
	Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	1,029,150		$	716,921		$	3,017,712		$	2,477,965		$	2,459,040		$	1,849,833
Net realized gain on investments		3,091,790			3,229,841			7,674,193			8,368,683			31,924,904			26,508,955
Net change in unrealized appreciation (depreciation) on investments		(1,007,578	)		4,593,885			(15,228,557	)		12,350,996			(34,447,348	)		24,547,915
Change in net assets resulting from operations		3,113,362			8,540,647			(4,536,652	)		23,197,644			(63,404	)		52,906,703
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(6,977	)(1)		(6,565	)		(1,186,086	)(2)		(1,195,276	)		(901,154	)		(829,422	)
Advisor class of shares		(4,349	)		(103	)		(431,612	)		(129	)		(168	)		(80	)
Institutional class of shares		(1,010,451	)		(687,874	)		(1,409,959	)		(1,192,157	)		(999,630	)		(1,018,781	)
Retirement class R-6 of shares		—			—			—			—			—			—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(39,615	)(1)		(5,461	)		(4,222,585	)(2)		(1,884,074	)		(12,652,370	)		(7,402,822	)
Advisor class of shares		(1,786	)		—			(1,714	)		—			(2,498	)		—
Institutional class of shares		(3,826,363	)		(366,168	)		(3,470,285	)		(1,741,926	)		(11,211,505	)		(6,789,521	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Change in net assets resulting from distributions to shareholders		(4,889,541	)		(1,066,171	)		(10,722,241	)		(6,013,562	)		(25,767,325	)		(16,040,626	)
Capital stock transactions:
Proceeds from sale of shares		34,066,885			15,012,578			105,157,269			19,032,803			76,243,337			43,628,685
Net asset value of shares issued to shareholders in payment of distributions declared		4,688,331			996,074			10,451,304			5,812,132			25,273,282			15,638,461
Cost of shares redeemed		(16,885,622	)		(7,252,099	)		(99,642,010	)		(30,150,146	)		(74,680,109	)		(59,434,707	)
Redemption fees		—			—			—			—			—			—
Change in net assets resulting from capital stock transactions		21,869,594			8,756,553			15,966,563			(5,305,211	)		26,836,510			(167,561	)
Change in net assets		20,093,415			16,231,029			707,670			11,878,871			1,005,781			36,698,516
Net assets:
Beginning of period		57,860,107			41,629,078			119,100,480			107,221,609			250,301,681			213,603,165
End of period	$	77,953,522		$	57,860,107		$	119,808,150		$	119,100,480		$	251,307,462		$	250,301,681
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	146,915		$	139,543		$	359,485		$	375,730		$	874,732		$	335,809

(1) Reflects operations for the period from September 1, 2014, to May 19, 2015 (termination of Investor class of shares).

(2) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

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

120

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
$	397,721		$	375,724		$	964,079		$	1,111,708		$	(982,669	)	$	(1,229,975	)	$	(135,737	)	$	(102,761	)
	35,989,512			35,599,369			30,944,561			40,860,457			28,317,329			32,315,790			2,257,682			4,659,447
	(17,793,146	)		21,291,675			(41,027,357	)		29,950,522			(30,951,900	)		15,050,417			(8,437,907	)		5,656,767
	18,594,087			57,266,768			(9,118,717	)		71,922,687			(3,617,240	)		46,136,232			(6,315,962	)		10,213,453
	(46,157	)		(186,519	)		(218,425	)		(780,220	)		—			—			—			—
	(11	)		—			(31	)		—			—			—			—			—
	(316,730	)		(590,234	)		(359,452	)		(990,163	)		—			—			—			—
	—			—			(88	)		—			—			—			—			—
	(16,187,273	)		(7,329,851	)		(21,590,475	)		(25,222,565	)		(16,700,632	)		(14,137,766	)		(3,753,213	)(2)		(4,379,689	)
	(3,860	)		—			(3,095	)		—			(3,530	)		—			(1,447	)		—
	(18,306,862	)		(10,290,180	)		(16,682,449	)		(16,708,841	)		(18,349,361	)		(17,580,845	)		(901,472	)		(1,415,121	)
	—			—			(3,100	)		—			(3,467	)		—			(1,439	)		—
	—			—			(3,100	)		—			(3,467	)		—			(1,439	)		—
	(34,860,893	)		(18,396,784	)		(38,860,215	)		(43,701,789	)		(35,060,457	)		(31,718,611	)		(4,659,010	)		(5,794,810	)
	111,470,511			24,030,180			63,552,263			53,822,119			42,265,777			32,484,772			121,626,984			28,120,471
	34,439,604			18,014,586			38,180,122			42,765,137			34,376,134			31,029,244			4,638,347			5,765,924
	(123,442,486	)		(66,928,648	)		(101,837,128	)		(104,383,055	)		(96,911,614	)		(60,830,168	)		(105,569,640	)		(11,769,508	)
	—			—			—			174			—			—			—			—
	22,467,629			(24,883,882	)		(104,743	)		(7,795,625	)		(20,269,703	)		2,683,848			20,695,691			22,116,887
	6,200,823			13,986,102			(48,083,675	)		20,425,273			(58,947,400	)		17,101,469			9,720,719			26,535,530
	228,712,462			214,726,360			334,701,924			314,276,651			266,813,099			249,711,630			82,444,956			55,909,426
$	234,913,285		$	228,712,462		$	286,618,249		$	334,701,924		$	207,865,699		$	266,813,099		$	92,165,675		$	82,444,956
$	397,516		$	362,693		$	663,123		$	277,991		$	(702,405	)	$	—		$	(76,849	)	$	—

121

Statements of Changes in Net Assets

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Year Ended August 31, 2015			Period Ended August 31, 2014 (1)			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014 (2)
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	5,778		$	(1,695	)	$	(3,580,580	)	$	(6,433,325	)	$	92,774		$	23,639
Net realized gain (loss) on investments and foreign currency transactions		93,653			(45,782	)		40,663,432			156,066,640			(26,315	)		16,673
Net change in unrealized appreciation (depreciation) on investments and foreign currency translation		(131,581	)		162,199			(45,106,843	)		(46,892,549	)		(71,030	)		197,906
Change in net assets resulting from operations		(32,150	)		114,722			(8,023,991	)		102,740,766			(4,571	)		238,218
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			(864	)(3)		—
Advisor class of shares		—			—			—			—			(168	)		—
Institutional class of shares		—			—			—			—			(33,606	)		—
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			(68,550,887	)		(54,356,984	)		(601	)(3)		—
Advisor class of shares		—			—			—			—			(117	)		—
Institutional class of shares		—			—			(60,216,571	)		(43,245,674	)		(17,829	)		—
Change in net assets resulting from distributions to shareholders		—			—			(128,767,458	)		(97,602,658	)		(53,185	)		—
Capital stock transactions:
Proceeds from sale of shares		1,415,032			3,462,916			166,986,254			236,953,610			367,175			3,842,978
Net asset value of shares issued to shareholders in payment of distributions declared		—			—			121,850,268			92,226,147			53,034			—
Cost of shares redeemed		(699,241	)		—			(301,057,602	)		(248,589,665	)		(153,917	)		(3,650	)
Redemption fees		—			—			—			5,665			—			—
Change in net assets resulting from capital stock transactions		715,791			3,462,916			(12,221,080	)		80,595,757			266,292			3,839,328
Change in net assets		683,641			3,577,638			(149,012,529	)		85,733,865			208,536			4,077,546
Net assets:
Beginning of period		3,577,638			—			795,080,587			709,346,722			4,077,546			—
End of period	$	4,261,279		$	3,577,638		$	646,068,058		$	795,080,587		$	4,286,082		$	4,077,546
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	4,781		$	(365	)	$	(2,129,977	)	$	—		$	76,439		$	22,791

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

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

(3) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

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

122

BMO Funds

Pyrford Global Equity Fund					Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						TCH Emerging Markets Bond Fund
Year Ended August 31, 2015			Period Ended August 31, 2014 (1)		Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014 (2)
$	26,513		$	22,344	$	11,929,205		$	9,416,550		$	1,852,065		$	2,796,137		$	384,376		$	301,238
	8,911			4,482		(242,296	)		1,003,407			1,015,506			(4,228,708	)		119,447			168,927
	(147,560	)		50,040		(84,208,246	)		23,565,093			(27,532,485	)		25,055,600			(831,288	)		425,401
	(112,136	)		76,866		(72,521,337	)		33,985,050			(24,664,914	)		23,623,029			(327,465	)		895,566
	(13,098	)(3)		—		(529,973	)		(3,117,094	)		(754,339	)(3)		(642,533	)		(169,763	)(3)		(39,375	)
	(533	)		—		(155	)		—			(304	)		—			(1,108	)		—
	(12,320	)		—		(2,124,604	)		(9,834,761	)		(1,668,087	)		(1,571,070	)		(175,997	)		(40,425	)
	—			—		(121	)		—			—			—			—			—
	—			—		(206	)		—			—			—			—			—
	(3,960	)(3)		—		—			(182,547	)		—			—			(113,483	)(3)		—
	(161	)		—		—			—			—			—			(740	)		—
	(3,392	)		—		—			(516,425	)		—			—			(113,843	)		—
	(33,464	)		—		(2,655,059	)		(13,650,827	)		(2,422,730	)		(2,213,603	)		(574,934	)		(79,800	)
	776,387			1,116,294		524,295,353			137,260,498			113,611,622			55,250,430			4,064,723			7,044,375
	33,465			—		2,287,805			11,973,143			2,136,875			2,016,195			574,934			79,800
	(673,179	)		—		(79,991,695	)		(26,906,144	)		(114,321,966	)		(30,067,403	)		(3,982,719	)		—
	—			—		3,177			1,105			261			741			—			—
	136,673			1,116,294		446,594,640			122,328,602			1,426,792			27,199,963			656,938			7,124,175
	(8,927	)		1,193,160		371,418,244			142,662,825			(25,660,852	)		48,609,389			(245,461	)		7,939,941
	1,193,160			—		353,913,255			211,250,430			174,660,750			126,051,361			7,939,941			—
$	1,184,233		$	1,193,160	$	725,331,499		$	353,913,255		$	148,999,898		$	174,660,750		$	7,694,480		$	7,939,941
$	28,617		$	20,422	$	13,174,099		$	1,433,059		$	1,456,258		$	2,242,485		$	252,676		$	226,416

123

Statements of Changes in Net Assets

	Alternative Strategies Fund			Ultra Short Tax-Free Fund						Short Tax-Free Fund
	Period Ended August 31, 2015 (1)			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	(275,413	)	$	4,390,268		$	5,502,872		$	1,662,632		$	1,069,192
Net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		1,067,819			722,593			49,963			342,639			99,090
Net change in unrealized appreciation (depreciation) on investments, options, futures contracts and foreign currency translation		542,428			(1,720,781	)		3,598,577			(369,319	)		1,641,330
Change in net assets resulting from operations		1,334,834			3,392,080			9,151,412			1,635,952			2,809,612
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			(237,646	)		(516,317	)		(320,815	)		(261,086	)
Advisor class of shares		—			(92	)		(33	)		(676	)		(85	)
Institutional class of shares		—			(4,152,530	)		(4,986,522	)		(1,341,165	)		(808,021	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			(2,132	)		(22,801	)		(6,928	)		—
Advisor class of shares		—			(1	)		—			(6	)		—
Institutional class of shares		—			(21,209	)		(151,283	)		(28,169	)		—
Change in net assets resulting from distributions to shareholders		—			(4,413,610	)		(5,676,956	)		(1,697,759	)		(1,069,192	)
Capital stock transactions:
Proceeds from sale of shares		36,088,693			766,804,855			715,858,142			108,741,030			97,083,301
Net asset value of shares issued to shareholders in payment of distributions declared		—			1,495,429			1,730,141			522,359			360,717
Cost of shares redeemed		(2,151,437	)		(731,777,138	)		(828,296,698	)		(81,843,010	)		(45,045,191	)
Redemption fees		—			—			—			—			—
Change in net assets resulting from capital stock transactions		33,937,256			36,523,146			(110,708,415	)		27,420,379			52,398,827
Change in net assets		35,272,090			35,501,616			(107,233,959	)		27,358,572			54,139,247
Net assets:
Beginning of period		—			731,180,180			838,414,139			103,517,378			49,378,131
End of period	$	35,272,090		$	766,681,796		$	731,180,180		$	130,875,950		$	103,517,378
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(64,861	)	$	(11,238	)	$	(11,239	)	$	8,885		$	8,909

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

(2) Reflects operations for the period from September 1, 2014, to May 19, 2015 (termination of Investor class of shares).

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

124

BMO Funds

Short-Term Income Fund						Intermediate Tax-Free Fund						Mortgage Income Fund						TCH Intermediate Income Fund
Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
$	2,911,608		$	2,997,697		$	37,901,124		$	32,776,740		$	2,994,424		$	3,429,662		$	2,729,628		$	2,728,521
	196,403			63,612			5,236,926			560,826			840,188			(892,869	)		522,798			984,810
	(1,491,738	)		894,630			(5,850,199	)		66,381,407			(670,112	)		4,722,743			(3,844,747	)		3,813,348
	1,616,273			3,955,939			37,287,851			99,718,973			3,164,500			7,259,536			(592,321	)		7,526,679
	(881,646	)		(1,256,247	)		(26,563,637	)		(22,706,623	)		(2,865,537	)		(3,299,688	)		(439,742	)(2)		(647,658	)
	(296	)		(78	)		(46,467	)		(3,741	)		(729	)		(188	)		(184,867	)		(126	)
	(2,437,768	)		(2,005,611	)		(11,291,168	)		(10,066,376	)		(737,426	)		(859,448	)		(2,295,387	)		(2,100,508	)
	—			—			(121,985	)		(60,866	)		—			—			—			—
	—			—			(219	)		—			—			—			—			—
	—			—			(43,436	)		(25,260	)		—			—			—			—
	(3,319,710	)		(3,261,936	)		(38,066,912	)		(32,862,866	)		(3,603,692	)		(4,159,324	)		(2,919,996	)		(2,748,292	)
	209,764,498			100,427,213			773,132,228			499,937,409			17,372,434			22,268,324			61,092,933			45,075,688
	1,963,139			2,066,808			29,457,695			24,055,077			3,022,491			3,470,494			2,063,283			2,078,688
	(98,286,430	)		(112,801,171	)		(390,430,836	)		(386,396,874	)		(36,955,253	)		(69,247,065	)		(99,406,202	)		(48,638,537	)
	—			—			—			3,656			—			323			—			—
	113,441,207			(10,307,150	)		412,159,087			137,599,268			(16,560,328	)		(43,507,924	)		(36,249,986	)		(1,484,161	)
	111,737,770			(9,613,147	)		411,380,026			204,455,375			(16,999,520	)		(40,407,712	)		(39,762,303	)		3,294,226
	219,556,909			229,170,056			1,401,467,041			1,197,011,666			134,386,387			174,794,099			145,149,821			141,855,595
$	331,294,679		$	219,556,909		$	1,812,847,067		$	1,401,467,041		$	117,386,867		$	134,386,387		$	105,387,518		$	145,149,821
$	1,359		$	1,360		$	73,742		$	129,217		$	(14,927	)	$	(14,927	)	$	(10,027	)	$	(10,027	)

125

Statements of Changes in Net Assets

	TCH Corporate Income Fund						TCH Core Plus Bond Fund						Monegy High Yield Bond Fund
	Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
Change in net assets resulting from:
Operations:
Net investment income	$	8,115,410		$	5,079,945		$	28,988,864		$	23,058,081		$	3,963,918		$	5,349,738
Net realized gain (loss) on investments		1,721,663			1,655,375			5,137,972			3,011,756			(1,863,055	)		1,763,550
Net change in unrealized appreciation (depreciation) on investments		(17,755,993	)		8,680,708			(46,860,911	)		44,095,696			(4,162,348	)		775,398
Change in net assets resulting from operations		(7,918,920	)		15,416,028			(12,734,075	)		70,165,533			(2,061,485	)		7,888,686
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(3,600,461	)		(1,432,467	)		(15,403,838	)		(13,234,133	)		(1,340,611	)(1)		(2,601,595	)
Advisor class of shares		(721	)		(194	)		(6,047	)		(186	)		(795,951	)		(336	)
Institutional class of shares		(4,553,378	)		(3,707,733	)		(14,177,598	)		(10,710,355	)		(1,827,356	)		(2,748,257	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(405,429	)		(514,185	)		(2,668,765	)		(727,136	)		(943,476	)(1)		(656,961	)
Advisor class of shares		(91	)		—			(127	)		—			(583	)		—
Institutional class of shares		(514,709	)		(1,686,946	)		(2,218,338	)		(515,877	)		(816,183	)		(670,967	)
Change in net assets resulting from distributions to shareholders		(9,074,789	)		(7,341,525	)		(34,474,713	)		(25,187,687	)		(5,724,160	)		(6,678,116	)
Capital stock transactions:
Proceeds from sale of shares		190,134,968			95,930,303			369,085,747			271,390,794			56,999,453			20,319,480
Net asset value of shares issued to shareholders in payment of distributions declared		6,210,848			5,697,278			31,818,510			23,068,922			5,079,659			5,726,012
Cost of shares redeemed		(79,378,889	)		(38,906,177	)		(218,938,744	)		(183,620,244	)		(58,906,170	)		(48,106,882	)
Change in net assets resulting from capital stock transactions		116,966,927			62,721,404			181,965,513			110,839,472			3,172,942			(22,061,390	)
Change in net assets		99,973,218			70,795,907			134,756,725			155,817,318			(4,612,703	)		(20,850,820	)
Net assets:
Beginning of period		200,145,490			129,349,583			940,718,826			784,901,508			77,629,193			98,480,013
End of period	$	300,118,708		$	200,145,490		$	1,075,475,551		$	940,718,826		$	73,016,490		$	77,629,193
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(2,698	)	$	(2,698	)	$	(13,105	)	$	(2,314	)	$	(9,387	)	$	(8,520	)

(1) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

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

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

126

BMO Funds

Multi-Asset Income Fund						Government Money Market Fund						Tax-Free Money Market Fund						Prime Money Market Fund
Year Ended August 31, 2015			Period Ended August 31, 2014 (2)			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
$	1,570,769		$	389,521		$	65,492		$	58,074		$	65,053		$	150,618		$	475,573		$	381,695
	(699,141	)		2,896			1,022			—			60,821			38,299			11,653			41,143
	(4,291,596	)		573,067			—			—			—			—			—			—
	(3,419,968	)		965,484			66,514			58,074			125,874			188,917			487,226			422,838
	(9,112	)(1)		(4,824	)		(12,960	)		(11,844	)		(13,614	)		(12,728	)		(130,308	)		(140,697	)
	(5,724	)		(185	)		—			—			—			—			—			—
	(1,699,009	)		(375,937	)		(52,532	)		(46,230	)		(55,106	)		(137,890	)		(345,265	)		(240,998	)
	(90	)(1)		—			(200	)		—			(12,785	)		(6,892	)		(11,392	)		(2,658	)
	(43	)		—			—			—			—			—			—			—
	(14,682	)		—			(822	)		—			(44,369	)		(31,407	)		(22,454	)		(3,975	)
	(1,728,660	)		(380,946	)		(66,514	)		(58,074	)		(125,874	)		(188,917	)		(509,419	)		(388,328	)
	31,551,837			46,900,789			2,766,898,733			1,871,493,091			2,147,500,616			2,324,549,521			11,715,102,065			11,979,493,814
	133,602			25,811			10,972			6,403			21,921			19,647			72,243			59,745
	(23,704,376	)		(1,278,765	)		(2,731,202,400	)		(1,903,251,168	)		(2,075,540,945	)		(2,557,891,305	)		(11,167,584,776	)		(12,667,595,505	)
	7,981,063			45,647,835			35,707,305			(31,751,674	)		71,981,592			(233,322,137	)		547,589,532			(688,041,946	)
	2,832,435			46,232,373			35,707,305			(31,751,674	)		71,981,592			(233,322,137	)		547,567,339			(688,007,436	)
	46,232,373			—			533,180,125			564,931,799			585,075,817			818,397,954			3,325,311,131			4,013,318,567
$	49,064,808		$	46,232,373		$	568,887,430		$	533,180,125		$	657,057,409		$	585,075,817		$	3,872,878,470		$	3,325,311,131
$	4,935		$	4,566		$	—		$	—		$	(3,134	)	$	53		$	(23,963	)	$	(23,963	)

127

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Large-Cap Value Fund
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	%		$	156,840		72	%
2014			14.54			0.11				3.57				3.68				(0.12	)			(1.06	)			(1.18	)			17.04		26.47			1.23			1.23			0.70				131,012		68
2013(3)			12.21			0.13				2.37				2.50				(0.17	)			—				(0.17	)			14.54		20.65			1.27			1.24			1.00				111,769		71
2012(3)			10.62			0.12				1.57				1.69				(0.10	)			—				(0.10	)			12.21		16.04			1.30			1.24			1.10				76,786		127
2011(3)			9.27			0.09				1.31				1.40				(0.05	)			—				(0.05	)			10.62		15.15			1.29			1.24			0.78				67,845		55
Large-Cap Growth Fund
2015			17.94			(0.01	)			0.93				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				161,918		94
2014			15.08			0.01				4.34				4.35				(0.04	)			(1.45	)			(1.49	)			17.94		30.33			1.24			1.24			0.03				97,738		67
2013(3)			14.16			0.06				1.93				1.99				(0.03	)			(1.04	)			(1.07	)			15.08		15.07			1.25			1.24			0.37				92,037		100
2012(3)			11.97			0.01				2.18				2.19				—				—				—				14.16		18.30			1.29			1.24			0.11				103,385		185
2011(3)			9.90			(0.02	)			2.10				2.08				(0.01	)			—				(0.01	)			11.97		20.99			1.29			1.24			(0.14	)			80,508		113
Mid-Cap Value Fund
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				178,631		27
2014			16.24			0.04				3.64				3.68				(0.06	)			(2.20	)			(2.26	)			17.66		24.65			1.20			1.20			0.23				189,016		30
2013(3)			13.24			0.08				3.62				3.70				(0.08	)			(0.62	)			(0.70	)			16.24		29.23			1.22			1.22			0.51				191,459		48
2012(3)			11.93			0.09				1.27				1.36				(0.05	)			—				(0.05	)			13.24		11.47			1.25			1.23			0.69				132,283		31
2011(3)			10.30			0.06				1.63				1.69				(0.06	)			—				(0.06	)			11.93		16.35			1.26			1.24			0.47				131,209		37
Mid-Cap Growth Fund
2015			23.93			(0.11	)			(0.57	)			(0.68	)			—				(3.23	)			(3.23	)			20.02		(2.89	)		1.25			1.24			(0.52	)			125,019		53
2014			22.94			(0.14	)			4.19				4.05				—				(3.06	)			(3.06	)			23.93		19.16			1.22			1.22			(0.61	)			121,928		57
2013(3)			20.11			(0.11	)			4.21				4.10				—				(1.27	)			(1.27	)			22.94		21.40			1.22			1.22			(0.49	)			107,410		58
2012(3)			17.78			(0.10	)			2.43				2.33				—				—				—				20.11		13.10			1.25			1.24			(0.52	)			95,884		69
2011(3)			14.42			(0.04	)			3.40				3.36				—				—				—				17.78		23.30			1.30			1.23			(0.21	)			92,911		79
Small-Cap Growth Fund
2015			22.31			(0.14	)			(0.27	)			(0.41	)			—				(3.79	)			(3.79	)			18.11		(1.56	)		1.40			1.40			(0.61	)			307,052		59
2014			22.21			(0.08	)			3.12				3.04				—				(2.94	)			(2.94	)			22.31		14.44			1.40			1.40			(0.36	)			431,093		82
2013(3)			18.12			(0.17	)			5.59				5.42				—				(1.33	)			(1.33	)			22.21		31.90			1.41			1.41			(0.87	)			412,282		76
2012(3)			17.49			(0.15	)			1.89				1.74				—				(1.11	)			(1.11	)			18.12		10.19			1.46			1.44			(0.83	)			331,307		85
2011(3)			14.03			(0.14	)			3.60				3.46				—				—				—				17.49		24.66			1.46			1.44			(0.90	)			335,200		101
Pyrford International Stock Fund
2015(3)			13.11			0.23				(1.52	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)		1.28			1.24			2.02				91,700		9
2014(3)			12.07			0.36				1.27				1.63				(0.56	)			(0.03	)			(0.59	)			13.11		13.69			1.27			1.24			3.12				81,352		6
2013(3)			10.76			0.24				1.35				1.59				(0.23	)			(0.05	)			(0.28	)			12.07		14.98			1.34			1.24			2.23				51,265		15
2012(3)(7)			10.00			0.23				0.53				0.76				—				—				—				10.76		7.60			1.39			1.24			3.55				39,938		13
Ultra Short Tax-Free Fund
2015			10.09			0.04				(0.01	)			0.03				(0.04	)			—				(0.04	)			10.08		0.25			0.60			0.55			0.34				64,333		57
2014			10.04			0.06				0.05				0.11				(0.06	)			(0.00	)			(0.06	)			10.09		1.10			0.59			0.55			0.57				67,617		86
2013			10.09			0.07				(0.04	)			0.03				(0.08	)			(0.00	)			(0.08	)			10.04		0.26			0.57			0.55			0.72				99,168		71
2012(3)			10.06			0.11				0.03				0.14				(0.11	)			(0.00	)			(0.11	)			10.09		1.41			0.62			0.55			1.06				107,582		128
2011(3)			10.07			0.14				(0.01	)			0.13				(0.14	)			(0.00	)			(0.14	)			10.06		1.33			0.65			0.55			1.41				55,069		148

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

128

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Short Tax-Free Fund
2015		$	10.20		$	0.12		$	(0.00	)		$	0.12			$	(0.12	)		$	—			$	(0.12	)		$	10.20		1.21	%		0.83	%		0.55	%		1.18	%		$	24,689		50	%
2014			9.95			0.13			0.25				0.38				(0.13	)			—				(0.13	)			10.20		3.86			0.87			0.55			1.30				25,442		69
2013(3)(9)			10.00			0.08			(0.05	)			0.03				(0.08	)			—				(0.08	)			9.95		0.34			1.06			0.55			1.17				15,240		74
Short-Term Income Fund
2015			9.40			0.09			(0.05	)			0.04				(0.11	)			—				(0.11	)			9.33		0.43			0.69			0.60			1.02				67,376		29
2014			9.37			0.10			0.04				0.14				(0.11	)			—				(0.11	)			9.40		1.55			0.68			0.60			1.11				77,006		43
2013(3)			9.47			0.14			(0.09	)			0.05				(0.15	)			—				(0.15	)			9.37		0.55			0.68			0.60			1.45				111,792		51
2012(3)			9.32			0.18			0.15				0.33				(0.18	)			—				(0.18	)			9.47		3.62			0.72			0.60			1.89				90,098		63
2011(3)			9.30			0.25			(0.00	)			0.25				(0.23	)			—				(0.23	)			9.32		2.59			0.78			0.60			2.65				64,882		114
Intermediate Tax-Free Fund
2015			11.25			0.26			0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.23				1,250,815		26
2014			10.66			0.28			0.59				0.87				(0.28	)			(0.00	)			(0.28	)			11.25		8.29			0.61			0.55			2.58				1,003,132		35
2013(3)			11.30			0.28			(0.57	)			(0.29	)			(0.28	)			(0.07	)			(0.35	)			10.66		(2.67	)		0.61			0.55			2.51				844,129		39
2012(3)			10.75			0.34			0.55				0.89				(0.33	)			(0.01	)			(0.34	)			11.30		8.41			0.70			0.55			3.02				730,555		53
2011(3)			10.87			0.36			(0.09	)			0.27				(0.36	)			(0.03	)			(0.39	)			10.75		2.65			0.88			0.55			3.44				385,220		59
Mortgage Income Fund
2015			9.36			0.22			0.00				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				94,380		44
2014			9.17			0.20			0.24				0.44				(0.25	)			—				(0.25	)			9.36		4.87			0.92			0.80			2.21				105,888		129
2013(3)			9.77			0.11			(0.38	)			(0.27	)			(0.22	)			(0.11	)			(0.33	)			9.17		(2.81	)		0.88			0.80			1.33				138,914		307
2012(3)			10.04			0.18			0.22				0.40				(0.27	)			(0.40	)			(0.67	)			9.77		4.23			0.93			0.80			1.91				177,442		355
2011(3)			10.09			0.21			0.25				0.46				(0.21	)			(0.30	)			(0.51	)			10.04		4.72			0.93			0.80			2.08				204,664		717
TCH Corporate Income Fund
2015			13.09			0.36			(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				137,987		26
2014			12.39			0.44			0.91				1.35				(0.44	)			(0.21	)			(0.65	)			13.09		11.20			0.74			0.59			3.32				78,347		25
2013(3)			13.05			0.41			(0.34	)			0.07				(0.43	)			(0.30	)			(0.73	)			12.39		0.40			0.75			0.65			3.20				35,860		123
2012(3)			12.36			0.47			0.83				1.30				(0.49	)			(0.12	)			(0.61	)			13.05		10.82			0.80			0.79			3.55				47,507		79
2011(3)			12.48			0.49			0.18				0.67				(0.51	)			(0.28	)			(0.79	)			12.36		5.60			0.88			0.80			3.95				17,542		48
TCH Core Plus Bond Fund
2015			11.95			0.32			(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.69				602,588		25
2014			11.32			0.31			0.66				0.97				(0.32	)			(0.02	)			(0.34	)			11.95		8.68			0.62			0.59			2.66				517,753		44
2013(3)			11.90			0.30			(0.30	)			0.00				(0.30	)			(0.28	)			(0.58	)			11.32		(0.18	)		0.68			0.61			2.26				463,851		101
2012(3)			11.41			0.40			0.61				1.01				(0.44	)			(0.08	)			(0.52	)			11.90		9.23			0.77			0.77			3.43				94,648		84
2011(3)			11.44			0.46			0.22				0.68				(0.48	)			(0.23	)			(0.71	)			11.41		6.18			0.84			0.80			4.03				62,121		48
Government Money Market Fund
2015			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.08			0.01				101,593		—
2014			1.00			0.00			—				0.00				(0.00	)			—				(0.00	)			1.00		0.01			0.54			0.07			0.01				105,267		—
2013			1.00			0.00			—				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.55			0.13			0.01				133,255		—
2012			1.00			0.00			0.00				0.00				(0.00	)			—				(0.00	)			1.00		0.01			0.56			0.16			0.01				101,548		—
2011			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.55			0.21			0.01				256,327		—

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

129

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																															Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Tax-Free Money Market Fund
2015		$	1.00		$	0.00		$	0.00		$	0.00		$	(0.00	)		$	(0.00	)		$	(0.00	)		$	1.00		0.02	%		0.53	%		0.16	%		0.01	%		$	142,052		—	%
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.20			0.01				131,175		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.30			0.01				121,613		—
2012			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.04			0.54			0.43			0.03				160,882		—
2011			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.07			0.54			0.44			0.06				243,833		—
Prime Money Market Fund
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.19			0.01				1,296,633		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.18			0.01				1,356,875		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.46			0.27			0.01				1,423,007		—
2012			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.46			0.38			0.01				1,288,067		—
2011			1.00			0.00			—			0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.46			0.38			0.01				1,401,557		—

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

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

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

(5) Annualized for periods less than one year.

(7) Reflects operations for the period from December 29, 2011 (inception date) to August 31, 2012.

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

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

(10) Represents less than 0.005%.

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

130

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Low Volatility Equity Fund
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
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
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
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
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
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
2015			14.40			(0.02	)			(0.85	)			(0.87	)			—				(0.81	)			(0.81	)			12.72		(6.18	)		1.46			1.24			(0.46	)			72,822		53
2014(6)			13.99			(0.01	)			0.42				0.41				—				—				—				14.40		2.93			1.46			1.24			(0.14	)			26		43
Small-Cap Core Fund
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
Global Low Volatility Equity Fund
2015(3)			11.47			0.14				(0.17	)			(0.03	)			(0.08	)			(0.05	)			(0.13	)			11.31		(0.28	)		5.76			1.10			2.38				142		31
2014(3)(6)			11.12			0.05				0.30				0.35				—				—				—				11.47		3.15			11.55			1.10			1.53				26		29
Pyrford Global Equity Fund
2015(3)			10.74			0.15				(1.07	)			(0.92	)			(0.22	)			(0.07	)			(0.29	)			9.53		(8.68	)		17.07			1.15			2.98				691		12
2014(3)(6)			10.50			0.06				0.18				0.24				—				—				—				10.74		2.29			15.81			1.15			2.15				26		7
Pyrford International Stock Fund
2015(3)			13.11			0.05				(1.34	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)		1.28			1.24			2.79				817		9
2014(3)(6)			13.13			0.07				(0.09	)			(0.02	)			—				—				—				13.11		(0.15	)		1.28			1.24			1.95				25		6
LGM Emerging Markets Equity Fund
2015(3)			14.30			0.08				(2.09	)			(2.01	)			(0.17	)			—				(0.17	)			12.12		(14.18	)		1.59			1.40			2.01				63,966		25
2014(3)(6)			13.69			0.08				0.53				0.61				—				—				—				14.30		4.46			1.66			1.40			2.05				26		38
TCH Emerging Markets Bond Fund
2015(3)			11.14			0.34				(0.79	)			(0.45	)			(0.48	)			(0.32	)			(0.80	)			9.89		(4.11	)		3.21			1.00			4.94				3,882		60
2014(3)(6)			10.80			0.12				0.22				0.34				—				—				—				11.14		3.15			2.42			1.00			4.26				26		72
Alternative Strategies Fund
2015(3)(8)			10.00			(0.06	)			0.46				0.40				—				—				—				10.40		4.00			4.94	(9)		2.72	(9)		(1.07	)			1,011		119
Ultra Short Tax-Free Fund
2015			10.09			0.04				(0.01	)			0.03				(0.04	)			—				(0.04	)			10.08		0.25			0.60			0.55			0.34				25		57
2014(6)			10.09			0.01				0.00				0.01				(0.01	)			—				(0.01	)			10.09		0.13			0.59			0.55			0.50				25		86
Short Tax-Free Fund
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
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

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

131

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Intermediate Tax-Free Fund
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
Mortgage Income Fund
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 Intermediate Income Fund
2015			10.65			0.20			(0.29	)			(0.09	)			(0.21	)			—				(0.21	)			10.35		(0.89	)		0.90			0.80			2.01				27,579		58
2014(6)			10.61			0.05			0.04				0.09				(0.05	)			—				(0.05	)			10.65		0.88			0.90			0.80			1.90				25		118
TCH Corporate Income Fund
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
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
Monegy High Yield Bond Fund
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
Multi-Asset Income Fund
2015			10.27			0.26			(0.91	)			(0.65	)			(0.27	)			—				(0.27	)			9.35		(6.42	)		0.95			0.80			2.48				529		31
2014(6)			10.24			0.06			0.05				0.11				(0.08	)			—				(0.08	)			10.27		1.03			0.99			0.80			2.17				25		0	(7)

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

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

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

(5) Annualized for periods less than one year.

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

(7) Represents less than 0.005%.

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

(9) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios excluding interest expense and dividends on securities sold short are 4.42% and 2.20%, respectively.

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

132

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Low Volatility Equity Fund
2015		$	13.22		$	0.20			$	0.53			$	0.73			$	(0.21	)		$	(0.90	)		$	(1.11	)		$	12.84		5.56	%		0.87	%		0.65	%		1.52	%		$	76,792		47	%
2014			11.28			0.18				2.05				2.23				(0.18	)			(0.11	)			(0.29	)			13.22		19.97			0.89			0.65			1.49				57,421		47
2013(3)(10)			10.00			0.10				1.25				1.35				(0.07	)			—				(0.07	)			11.28		13.47			1.28			0.65			1.79				41,009		101
Dividend Income Fund
2015			14.32			0.35				(0.77	)			(0.42	)			(0.36	)			(0.92	)			(1.28	)			12.62		(3.38	)		0.80			0.65			2.50				45,554		46
2014			12.27			0.32				2.51				2.83				(0.31	)			(0.47	)			(0.78	)			14.32		23.87			0.80			0.65			2.43				55,387		45
2013(3)			10.80			0.33				1.46				1.79				(0.32	)			—				(0.32	)			12.27		16.78			0.81			0.65			2.79				50,393		25
2012(3)(9)			10.00			0.19				0.76				0.95				(0.15	)			—				(0.15	)			10.80		9.50			0.90			0.65			2.76				46,959		18
Large-Cap Value Fund
2015			17.06			0.18				(0.23	)			(0.05	)			(0.13	)			(1.62	)			(1.75	)			15.26		(0.45	)		0.97			0.96			1.04				94,439		72
2014			14.56			0.16				3.56				3.72				(0.16	)			(1.06	)			(1.22	)			17.06		26.74			0.98			0.98			0.95				119,263		68
2013(3)			12.24			0.17				2.37				2.54				(0.22	)			—				(0.22	)			14.56		20.95			1.02			0.99			1.24				101,834		71
2012(3)			10.65			0.16				1.56				1.72				(0.13	)			—				(0.13	)			12.24		16.32			1.05			0.99			1.36				72,633		127
2011(3)			9.28			0.11				1.32				1.43				(0.06	)			—				(0.06	)			10.65		15.47			1.04			0.99			1.03				78,877		55
Large-Cap Growth Fund
2015			18.06			0.07				0.90				0.97				(0.04	)			(2.60	)			(2.64	)			16.39		5.85			0.98			0.96			0.29				72,958		94
2014			15.18			0.06				4.36				4.42				(0.09	)			(1.45	)			(1.54	)			18.06		30.63			0.99			0.99			0.28				130,948		67
2013(3)			14.24			0.08				1.96				2.04				(0.06	)			(1.04	)			(1.10	)			15.18		15.46			1.00			0.99			0.58				122,689		100
2012(3)			12.02			0.05				2.17				2.22				—				—				—				14.24		18.47			1.04			0.99			0.35				89,138		185
2011(3)			9.94			0.01				2.11				2.12				(0.04	)			—				(0.04	)			12.02		21.33			1.04			0.99			0.11				103,598		113
Mid-Cap Value Fund
2015			17.63			0.08				(0.60	)			(0.52	)			(0.04	)			(2.06	)			(2.10	)			15.01		(3.29	)		0.97			0.97			0.43				99,160		27
2014			16.23			0.08				3.64				3.72				(0.12	)			(2.20	)			(2.32	)			17.63		24.96			0.95			0.95			0.49				145,606		30
2013(3)			13.23			0.12				3.61				3.73				(0.11	)			(0.62	)			(0.73	)			16.23		29.58			0.97			0.97			0.77				122,818		48
2012(3)			11.93			0.12				1.27				1.39				(0.09	)			—				(0.09	)			13.23		11.71			1.00			0.98			0.94				103,596		31
2011(3)			10.29			0.09				1.63				1.72				(0.08	)			—				(0.08	)			11.93		16.72			1.01			0.99			0.71				108,425		37
Mid-Cap Growth Fund
2015			24.37			(0.08	)			(0.55	)			(0.63	)			—				(3.23	)			(3.23	)			20.51		(2.61	)		1.00			0.99			(0.26	)			82,768		53
2014			23.26			(0.09	)			4.26				4.17				—				(3.06	)			(3.06	)			24.37		19.43			0.97			0.97			(0.36	)			144,807		57
2013(3)			20.32			(0.05	)			4.26				4.21				—				(1.27	)			(1.27	)			23.26		21.74			0.97			0.97			(0.24	)			142,302		58
2012(3)			17.93			(0.06	)			2.45				2.39				—				—				—				20.32		13.33			1.00			0.99			(0.27	)			131,501		69
2011(3)			14.50			0.02				3.41				3.43				—				—				—				17.93		23.66			0.98			0.98			0.10				161,539		79
Small-Cap Value Fund
2015			14.50			(0.01	)			(0.84	)			(0.85	)			—				(0.81	)			(0.81	)			12.84		(5.99	)		1.21			0.99			(0.14	)			19,186		53
2014			13.62			0.01				2.25				2.26				—				(1.38	)			(1.38	)			14.50		17.68			1.15			0.99			0.04				16,369		43
2013(3)			10.51			0.09				3.35				3.44				(0.09	)			(0.24	)			(0.33	)			13.62		33.49			1.26			0.99			0.48				13,404		74
2012(3)			9.26			0.03				1.22				1.25				—				—				—				10.51		13.50			1.50			0.99			0.34				4,135		58
2011(3)(8)			10.00			0.00				(0.74	)			(0.74	)			—				—				—				9.26		(7.40	)		1.56			0.99			0.04				2,814		21
Small-Cap Core Fund
2015			10.40			0.02				0.03				0.05				—				—				—				10.45		0.48			4.77			0.90			0.17				3,632		64
2014(13)			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
2015			22.75			(0.07	)			(0.29	)			(0.36	)			—				(3.79	)			(3.79	)			18.60		(1.27	)		1.15			1.15			(0.35	)			339,016		59
2014			22.55			(0.02	)			3.16				3.14				—				(2.94	)			(2.94	)			22.75		14.69			1.15			1.15			(0.09	)			363,988		82
2013(3)			18.33			(0.12	)			5.67				5.55				—				(1.33	)			(1.33	)			22.55		32.26			1.16			1.16			(0.62	)			297,065		76
2012(3)			17.65			(0.09	)			1.88				1.79				—				(1.11	)			(1.11	)			18.33		10.39			1.21			1.19			(0.59	)			224,964		85
2011(3)			14.12			(0.11	)			3.64				3.53				—				—				—				17.65		25.00			1.21			1.19			(0.56	)			193,655		101

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

133

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Global Low Volatility Equity Fund
2015(3)		$	11.50		$	0.25			$	(0.26	)		$	(0.01	)		$	(0.10	)		$	(0.05	)		$	(0.15	)		$	11.34		(0.08	)%		5.51	%		0.85	%		2.16	%		$	4,144		31	%
2014(3)(12)			10.00			0.07				1.43				1.50				—				—				—				11.50		15.00			13.27			0.85			1.76				3,947		29
Pyrford Global Equity Fund
2015(3)			10.76			0.24				(1.14	)			(0.90	)			(0.24	)			(0.07	)			(0.31	)			9.55		(8.46	)		16.82			0.90			2.32				493		12
2014(3)(13)			10.00			0.23				0.53				0.76				—				—				—				10.76		7.60			21.13			0.90			3.33				539		7
Pyrford International Stock Fund
2015(3)			13.14			0.22				(1.48	)			(1.26	)			(0.10	)			—				(0.10	)			11.78		(9.63	)		1.03			0.99			2.52				626,232		9
2014(3)			12.10			0.39				1.27				1.66				(0.59	)			(0.03	)			(0.62	)			13.14		14.00			1.02			0.99			3.32				272,486		6
2013(3)			10.78			0.22				1.40				1.62				(0.25	)			(0.05	)			(0.30	)			12.10		15.29			1.09			0.99			2.63				159,985		15
2012(3)(9)			10.00			0.24				0.54				0.78				—				—				—				10.78		7.80			1.14			0.99			3.83				77,791		13
LGM Emerging Markets Equity Fund
2015(3)			14.33			0.16				(2.13	)			(1.97	)			(0.20	)			—				(0.20	)			12.16		(13.88	)		1.34			1.15			1.15				85,034		25
2014(3)			12.61			0.23				1.71				1.94				(0.22	)			—				(0.22	)			14.33		15.57			1.30			1.15			1.89				111,807		38
2013(3)			13.69			0.26				(0.34	)			(0.08	)			(0.20	)			(0.80	)			(1.00	)			12.61		(1.00	)		1.40			1.15			2.41				84,760		29
2012(3)			15.86			0.37				(1.17	)			(0.80	)			(0.45	)			(0.92	)			(1.37	)			13.69		(4.79	)		1.70			1.18			2.15				42,949		83
2011(3)			16.21			0.09				0.90				0.99				(0.49	)			(0.85	)			(1.34	)			15.86		5.32			1.61			1.25			0.85				37,164		34
TCH Emerging Markets Bond Fund
2015(3)			11.16			0.51				(0.96	)			(0.45	)			(0.49	)			(0.32	)			(0.81	)			9.90		(4.04	)		2.96			0.85			4.96				3,812		60
2014(3)(12)			10.00			0.44				0.84				1.28				(0.12	)			—				(0.12	)			11.16		12.89			2.85			0.85			4.52				3,961		72
Alternative Strategies Fund
2015(3)(14)			10.00			(0.08	)			0.50				0.42				—				—				—				10.42		4.20			4.69	(15)		2.47	(15)		(1.11	)			34,261		119
Ultra Short Tax-Free Fund
2015			10.09			0.06				(0.01	)			0.05				(0.06	)			—				(0.06	)			10.08		0.50			0.35			0.30			0.59				702,324		57
2014			10.04			0.09				0.05				0.14				(0.09	)			(0.00	)			(0.09	)			10.09		1.35			0.34			0.30			0.82				663,538		86
2013			10.09			0.10				(0.05	)			0.05				(0.10	)			(0.00	)			(0.10	)			10.04		0.51			0.32			0.30			0.97				739,246		71
2012(3)			10.06			0.14				0.03				0.17				(0.14	)			(0.00	)			(0.14	)			10.09		1.66			0.37			0.30			1.32				682,788		128
2011(3)			10.07			0.17				(0.01	)			0.16				(0.17	)			(0.00	)			(0.17	)			10.06		1.58			0.40			0.30			1.64				368,540		148
Short Tax-Free Fund
2015			10.21			0.14				(0.01	)			0.13				(0.14	)			—				(0.14	)			10.20		1.26			0.58			0.40			1.32				105,734		50
2014			9.95			0.15				0.26				0.41				(0.15	)			—				(0.15	)			10.21		4.12			0.62			0.40			1.45				78,050		69
2013(3)(11)			10.00			0.10				(0.05	)			(0.05	)			0.10				—				(0.10	)			9.95		0.45			0.81			0.40			1.33				34,138		74
Short-Term Income Fund
2015			9.42			0.12				(0.06	)			0.06				(0.13	)			—				(0.13	)			9.35		0.69			0.44			0.35			1.24				263,894		29
2014			9.39			0.13				0.04				0.17				(0.14	)			—				(0.14	)			9.42		1.80			0.43			0.35			1.35				142,526		43
2013(3)			9.48			0.16				(0.07	)			0.09				(0.18	)			—				(0.18	)			9.39		0.91			0.43			0.35			1.70				117,378		51
2012(3)			9.32			0.20				0.17				0.37				(0.21	)			—				(0.21	)			9.48		3.99			0.47			0.35			2.16				101,182		63
2011(3)			9.31			0.26				(0.01	)			0.25				(0.24	)			—				(0.24	)			9.32		2.73			0.52			0.35			2.93				86,591		114
Intermediate Tax-Free Fund
2015			11.25			0.28				0.01				0.29				(0.28	)			—				(0.28	)			11.26		2.60			0.32			0.32			2.46				559,937		26
2014			10.66			0.31				0.59				0.90				(0.31	)			(0.00	)			(0.31	)			11.25		8.50			0.36			0.36			2.77				396,291		35
2013(3)			11.29			0.30				(0.56	)			(0.26	)			(0.30	)			(0.07	)			(0.37	)			10.66		(2.40	)		0.36			0.36			2.70				352,883		39
2012(3)			10.75			0.34				0.55				0.89				(0.34	)			(0.01	)			(0.35	)			11.29		8.41			0.45			0.45			3.10				345,109		55
2011(3)(7)			10.37			0.25				0.38				0.63				(0.25	)			—				(0.25	)			10.75		6.17			0.56			0.50			3.54				166,269		59
Mortgage Income Fund
2015			9.35			0.24				0.01				0.25				(0.29	)			—				(0.29	)			9.31		2.70			0.68			0.55			2.61				22,981		44
2014			9.16			0.23				0.23				0.46				(0.27	)			—				(0.27	)			9.35		5.13			0.67			0.55			2.45				28,473		129
2013(3)			9.76			0.15				(0.39	)			(0.24	)			(0.25	)			(0.11	)			(0.36	)			9.16		(2.57	)		0.63			0.55			1.57				35,880		307
2012(3)			10.03			0.21				0.22				0.43				(0.30	)			(0.40	)			(0.70	)			9.76		4.49			0.68			0.55			2.16				41,528		355
2011(3)			10.08			0.24				0.24				0.48				(0.23	)			(0.30	)			(0.53	)			10.03		4.99			0.67			0.55			2.33				47,101		717

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

134

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
TCH Intermediate Income Fund
2015		$	10.64		$	0.21		$	(0.28	)		$	(0.07	)		$	(0.23	)		$	—			$	(0.23	)		$	10.34		(0.64	)%		0.65	%		0.55	%		2.03	%		$	77,809		58	%
2014			10.28			0.21			0.36				0.57				(0.21	)			—				(0.21	)			10.64		5.63			0.65			0.55			2.03				110,824		118
2013(3)			10.51			0.15			(0.23	)			(0.08	)			(0.15	)			—				(0.15	)			10.28		(0.74	)		0.64			0.55			1.45				95,908		248
2012(3)			10.12			0.20			0.40				0.60				(0.21	)			—				(0.21	)			10.51		5.99			0.67			0.55			1.99				113,933		190
2011(3)			9.90			0.20			0.21				0.41				(0.19	)			—				(0.19	)			10.12		4.22			0.68			0.55			2.03				102,730		445
TCH Corporate Income Fund
2015			13.07			0.38			(0.70	)			(0.32	)			(0.38	)			(0.05	)			(0.43	)			12.32		(2.53	)		0.45			0.45			2.97				162,107		26
2014			12.37			0.45			0.91				1.36				(0.45	)			(0.21	)			(0.66	)			13.07		11.32			0.49			0.49			3.50				121,773		25
2013(3)			13.03			0.44			(0.35	)			0.09				(0.45	)			(0.30	)			(0.75	)			12.37		0.54			0.50			0.50			3.36				93,490		123
2012(3)			12.35			0.49			0.83				1.32				(0.52	)			(0.12	)			(0.64	)			13.03		11.02			0.55			0.54			3.88				91,611		79
2011(3)			12.48			0.52			0.17				0.69				(0.54	)			(0.28	)			(0.82	)			12.35		5.77			0.63			0.55			4.18				76,263		48
TCH Core Plus Bond Fund
2015			11.94			0.34			(0.45	)			(0.11	)			(0.35	)			(0.06	)			(0.41	)			11.42		(0.96	)		0.33			0.33			2.94				472,576		25
2014			11.32			0.33			0.65				0.98				(0.34	)			(0.02	)			(0.36	)			11.94		8.82			0.37			0.37			2.89				422,941		44
2013(3)			11.90			0.32			(0.29	)			0.03				(0.33	)			(0.28	)			(0.61	)			11.32		0.09			0.43			0.43			2.44				321,051		101
2012(3)			11.41			0.43			0.61				1.04				(0.47	)			(0.08	)			(0.55	)			11.90		9.41			0.52			0.52			3.68				63,697		84
2011(3)			11.44			0.49			0.21				0.70				(0.50	)			(0.23	)			(0.73	)			11.41		6.45			0.59			0.55			4.28				47,398		48
Monegy High Yield Bond Fund
2015			10.44			0.54			(0.79	)			(0.25	)			(0.54	)			(0.24	)			(0.78	)			9.41		(2.46	)		0.96			0.65			5.46				30,173		46
2014			10.32			0.58			0.26				0.84				(0.58	)			(0.14	)			(0.72	)			10.44		8.32			0.85			0.65			5.53				37,307		42
2013(3)			10.32			0.59			0.00				0.59				(0.59	)			(0.00	)			(0.59	)			10.32		5.80			0.83			0.65			5.61				49,722		34
2012(3)(9)			10.00			0.37			0.32				0.69				(0.37	)			—				(0.37	)			10.32		7.00			0.85			0.65			5.54				48,574		16
Multi-Asset Income Fund
2015			10.27			0.28			(0.90	)			(0.62	)			(0.29	)			—				(0.29	)			9.36		(6.09	)		0.70			0.55			2.84				48,536		31
2014(13)			10.00			0.11			0.27				0.38				(0.11	)			—				(0.11	)			10.27		3.83			1.07			0.55			2.29				45,675		0	(6)
Government Money Market Fund
2015			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.28			0.08			0.01				467,294		—
2014			1.00			0.00			—				0.00				(0.00	)			—				(0.00	)			1.00		0.01			0.29			0.07			0.01				427,913		—
2013			1.00			0.00			—				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.30			0.13			0.01				431,677		—
2012			1.00			0.00			0.00				0.00				(0.00	)			—				(0.00	)			1.00		0.01			0.31			0.16			0.01				334,571		—
2011			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.04			0.30			0.17			0.04				244,082		—
Tax-Free Money Market Fund
2015			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.28			0.16			0.01				515,005		—
2014			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.28			0.19			0.02				453,901		—
2013			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.13			0.28			0.20			0.11				696,785		—
2012			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.27			0.29			0.20			0.25				582,585		—
2011			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.31			0.28			0.20			0.30				613,935		—
Prime Money Market Fund
2015			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.20			0.18			0.01				2,576,245		—
2014			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.20			0.18			0.01				1,968,436		—
2013			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.08			0.21			0.20			0.08				2,590,312		—
2012			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.20			0.21			0.20			0.19				1,934,167		—
2011			1.00			0.00			—				0.00				(0.00	)			—				(0.00	)			1.00		0.19			0.21			0.20			0.19				2,164,483		—

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

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

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

(5) Annualized for periods less than one year.

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

135

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

(6) Represents less than 0.5%.

(7) Reflects operations for the period from December 27, 2010 (inception date) to August 31, 2011.

(8) Reflects operations for the period from February 28, 2011 (inception date) to August 31, 2011.

(9) Reflects operations for the period from December 29, 2011 (inception date) to August 31, 2012.

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

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

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

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

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

(15) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios excluding interest expense and dividends on securities sold short are 4.17% and 1.95%, respectively.

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

136

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income			Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Mid-Cap Value Fund
2015		$	17.62		$	(0.01	)		$	(0.59	)		$	(0.60	)		—			$	(2.06	)		$	(2.06	)		$	14.96		(3.80	)%		1.47	%		1.47	%		(0.06	)%		$	25		27	%
2014(6)			16.58			0.00				1.04				1.04			—				—				—				17.62		6.27			1.45			1.45			0.07				26		30
Mid-Cap Growth Fund
2015			24.34			(0.16	)			(0.58	)			(0.74	)		—				(3.23	)			(3.23	)			20.37		(3.11	)		1.50			1.49			(0.77	)			25		53
2014(6)			23.30			(0.06	)			1.10				1.04			—				—				—				24.34		4.46			1.49			1.49			(0.89	)			26		57
Small-Cap Value Fund
2015			14.48			(0.08	)			(0.83	)			(0.91	)		—				(0.81	)			(0.81	)			12.76		(6.43	)		1.71			1.49			(0.62	)			24		53
2014(6)			14.07			(0.01	)			0.42				0.41			—				—				—				14.48		2.91			1.71			1.49			(0.39	)			26		43
Pyrford International Stock Fund
2015(3)			13.12			0.22				(1.54	)			(1.32	)		(0.06	)			—				(0.06	)			11.74		(10.06	)		1.53			1.49			1.71				22		9
2014(3)(6)			13.15			0.06				(0.09	)			(0.03	)		—				—				—				13.12		(0.23	)		1.53			1.49			1.70				25		6

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

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

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

(5) Annualized for periods less than one year.

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

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Mid-Cap Value Fund
2015		$	17.65		$	0.11			$	(0.62	)		$	(0.51	)		$	(0.05	)		$	(2.06	)		$	(2.11	)		$	15.03		(3.19	)%		0.82	%		0.82	%		0.64	%		$	8,776		27	%
2014(6)			16.58			0.03				1.04				1.07				—				—				—				17.65		6.45			0.80			0.80			0.71				27		30
Mid-Cap Growth Fund
2015			24.38			(0.03	)			(0.57	)			(0.60	)			—				(3.23	)			(3.23	)			20.55		(2.47	)		0.85			0.84			(0.12	)			26		53
2014(6)			23.30			(0.02	)			1.10				1.08				—				—				—				24.38		4.64			0.84			0.84			(0.24	)			26		57
Small-Cap Value Fund
2015			14.50			(0.00	)			(0.82	)			(0.82	)			—				(0.81	)			(0.81	)			12.87		(5.78	)		1.06			0.84			0.01				134		53
2014(6)			14.07			0.01				0.42				0.43				—				—				—				14.50		3.06			1.06			0.84			0.25				26		43
Pyrford International Stock Fund
2015(3)			13.15			0.20				(1.45	)			(1.25	)			(0.11	)			—				(0.11	)			11.79		(9.56	)		0.88			0.84			3.42				6,560		9
2014(3)(6)			13.15			0.08				(0.08	)			0.00				—				—				—				13.15		0.00			0.88			0.84			2.36				25		6

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

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

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

(5) Annualized for periods less than one year.

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

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

137

August 31, 2015

Notes to Financial Statements

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of August 31, 2015, the Corporation consisted of 43 portfolios. As of August 31, 2015, this annual report includes 28 diversified portfolios of the Corporation (individually referred to as the “Fund,” or collectively as the “Funds”) each with differing share class offerings. As of August 31, 2015, the Corporation also consisted of 10 target retirement and 5 target risk portfolios whose annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Low Volatility Equity Fund	September 28, 2012	To provide capital appreciation.
Dividend Income Fund	December 29, 2011	To provide capital appreciation and current income.
Large-Cap Value Fund	September 30, 1993	To provide capital appreciation.
Large-Cap Growth Fund	November 20, 1992	To provide capital appreciation.
Mid-Cap Value Fund	September 30, 1993	To provide capital appreciation.
Mid-Cap Growth Fund	September 30, 1993	To provide capital appreciation.
Small-Cap Value Fund	February 28, 2011	To provide capital appreciation.
Small-Cap Core Fund	December 27, 2013	To provide capital appreciation.
Small-Cap Growth Fund	October 31, 1995	To provide capital appreciation.
Global Low Volatility Equity Fund(1)	September 30, 2013	To provide capital appreciation.
Pyrford Global Equity Fund(1)	December 27, 2013	To provide capital appreciation.
Pyrford International Stock Fund(1)	December 29, 2011	To provide capital appreciation.
LGM Emerging Markets Equity Fund(1)	December 22, 2008	To provide capital appreciation.
TCH Emerging Markets Bond Fund(1)	September 30, 2013	To maximize total return consistent with current income.
Alternative Strategies Fund(1)	December 16, 2014	To provide capital appreciation with an emphasis on absolute returns.
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.
Mortgage Income Fund	December 13, 1992	To provide current income.
TCH Intermediate Income Fund	November 19, 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.
Monegy High Yield Bond Fund	December 29, 2011	To maximize total return consistent with current income.
Multi-Asset Income Fund	December 27, 2013	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.

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

On December 22, 2014, the BMO Pyrford Global Strategic Return Fund and BMO Global Natural Resources Fund ceased operations and liquidated assets. On March 30, 2015, the BMO Micro-Cap Fund ceased operations and liquidated assets.

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.

138

BMO Funds

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

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

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

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

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

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

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

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

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

Federal Income Taxes—The policies and procedures of the Funds require compliance with Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), and to distribute 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.

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

139

Notes to Financial Statements (continued)

will be available to make payment for the commitment to purchase securities. Securities purchased on a when-issued or delayed delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

Short Sales—Certain Funds may sell a security they do not own in anticipation that the price of the security will decline. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, 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 replaces the security, the Fund will experience a loss. The Fund’s loss on a short sale is limited only by the maximum attainable price of the security (which could be limitless) less the price the Fund paid for the security at the time it was borrowed.

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

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

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

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

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

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

140

BMO Funds

recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at each reporting period, resulting from changes in the exchange rate.

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

Redemption Fees—The International Funds imposed 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 collateral is discussed in “Investment Valuations” in Note 2 of the Notes to the Financial Statements. When a Fund lends its portfolio securities, it is subject to the risk that it may not be able to get the portfolio securities back from the borrower on a timely basis, in which case the Fund may lose certain investment opportunities. A Fund also is subject to the risks associated with the investments of cash collateral received from the borrower.

Cash collateral received as part of the International Funds securities lending program was invested in the following security as of August 31, 2015:

Description	Value
State Street Navigator Securities Lending Prime Portfolio Money Market Fund, 0.189%	$	53,642,562

Cash collateral received as part of the non-International Funds securities lending program was jointly pooled and invested in the following securities as of August 31, 2015(1):

Description	Value
American Honda Finance Corp., 0.306%, 1/11/2016(2)	$	12,999,493
Australia & New Zealand Banking Group Ltd., 0.301%, 12/21/2015(2)		15,000,000
Bank of Nova Scotia, 0.414%, 5/12/2016(2)		7,500,128
Bank of Nova Scotia, 0.390%, 7/18/2016(2)		15,001,965
Blackrock Liquidity TempCash Money Market Fund, 0.060%		5,546,323
Blackrock Liquidity TempFund Money Market Fund, 0.096%		22,476,911
Canadian Imperial Bank, 0.332%, 9/28/2015(2)		9,999,550
Chariot Funding LLC, 0.350%, 9/22/2015(3)		9,985,844
Chariot Funding LLC, 0.290%, 10/13/2015(3)		8,986,950
Chariot Funding LLC, 0.290%, 10/19/2015(3)		9,985,419
Chariot Funding LLC, 0.400%, 12/10/2015(3)		9,979,889
Coca-Cola Co., 0.532%, 4/18/2016(3)		7,470,298
Coca-Cola Co., 0.552%, 4/20/2016(3)		7,471,010
Coca-Cola Co., 0.562%, 4/21/2016(3)		7,471,300
Coca-Cola Co., 0.613%, 5/16/2016(3)		4,977,210
Commonwealth Bank of Australia, 0.306%, 9/18/2015(2)		26,309,258
DNB ASA, 0.320%, 9/14/2015(3)		9,984,178
DNB ASA, 0.340%, 11/13/2015(3)		5,491,845
DNB ASA, 0.337%, 4/18/2016(2)		15,000,000
Dreyfus Institutional Cash Advantage Money Market Fund, 0.107%		2,259,166
Dreyfus Institutional Cash Advantage Money Market Fund, 0.041%		133,307
Erste Abwicklungsanstalt, 0.250%, 10/19/2015(3)		14,989,479
Erste Abwicklungsanstalt, 0.320%, 11/20/2015(3)		9,991,911

Description	Value
Fidelity Institutional Money Market Fund, 0.136%	$	93,976,079
General Electric Capital Corp, 0.334%, 1/8/2016(2)		17,628,054
Goldman Sachs Financial, 0.132%		15,536,562
HSBC Bank, PLC, 0.372%, 6/8/2016(2)		10,000,360
HSBC Bank, PLC, 0.352%, 3/4/2016(2)		10,000,220
International Business, 0.324%, 2/5/2016(2)		8,601,092
JP Morgan Liquid Asset Money Market Fund, 0.140%		108,171,424
Jupiter Securitization Co., 0.511%, 2/16/2016(3)		9,974,075
Jupiter Securitization Co., 0.501%, 2/18/2016(3)		9,974,722
Kells Funding LLC, 0.250%, 10/13/2015(3)		14,987,813
Kells Funding LLC, 0.200%, 9/3/2015(3)		9,994,944
Kells Funding LLC, 0.300%, 11/20/2015(3)		7,494,688
Legacy Capital LLC, 0.210%, 9/21/2015(3)		7,498,906
Legacy Capital LLC, 0.350%, 10/2/2015(3)		14,982,354
Macquarie Bank Ltd., 0.501%, 1/6/2016(3)		7,483,125
Macquarie Bank Ltd., 0.540%, 6/9/2016(2)		15,000,000
Manhattan Asset Funding Co., 0.260%, 9/10/2015(3)		14,990,250
Manhattan Asset Funding Co., 0.190%, 9/14/2015(3)		13,997,488
Manhattan Asset Funding Co., 0.250%, 9/24/2015(3)		13,990,340
Nordea Bank, 0.401%, 1/8/2016(3)		9,980,111
Nordea Bank, 0.300%, 10/22/2015(3)		14,977,125
Nordea Bank, 0.321%, 11/13/2015(3)		9,983,822
Old Line Funding Corp., 0.461%, 1/22/2016(3)		9,978,150
Old Line Funding Corp., 0.270%, 9/4/2015(3)		9,986,350
Old Line Funding Corp., 0.200%, 10/20/2015(3)		19,983,333
Reckitt Benckiser, 0.291%, 10/13/2015(3)		4,990,494

141

Notes to Financial Statements (continued)

Description	Value
Reckitt Benckiser, 0.250%, 11/12/2015(3)	$	9,988,889
Reckitt Benckiser, 0.270%, 11/20/2015(3)		5,643,051
Regency Markets LLC, 0.170%, 9/11/2015(3)		7,498,973
Regency Markets LLC, 0.170%, 9/15/2015(3)		17,497,603
Regency Markets LLC, 0.180%, 9/16/2015(3)		9,998,550
Royal Bank of Canada, 0.306%, 12/16/2015(2)		30,014,910
Skandinaviska Enskilda Bank, 0.320%, 10/8/2015(3)		4,992,121
Skandinaviska Enskilda Bank, 0.350%, 1/4/2016(2)		8,743,985
State Street Bank & Trust Co, 0.398%, 4/15/2016(2)		10,000,280
State Street Bank & Trust Co, 0.333%, 10/1/2015(2)		24,998,550
Sumitomo Mitsui Banking Corporation, 0.483%, 3/3/2016(2)		15,000,375
Suncorp Metway, 0.471%, 1/27/2016(3)		9,977,283
Suncorp Metway, 0.220%, 9/15/2015(3)		9,993,467
Suncorp Metway, 0.280%, 10/26/2015(3)		14,982,063
Suncorp Metway, 0.350%, 11/10/2015(3)		9,988,333
Svenska Handelsbaken, 0.311%, 3/21/2016(2)		5,509,680

Description	Value
Svenska Handelsbaken, 0.300%, 10/27/2015(3)	$	9,984,167
Thunder Bay Funding, LLC, 0.280%, 9/1/2015(3)		7,489,792
Thunder Bay Funding, LLC, 0.290%, 11/13/2015(3)		9,990,817
Toronto Dominion Bank, 0.313%, 4/4/2016(2)		5,000,200
Toronto Dominion Bank, 0.456%, 7/13/2016(2)		2,832,693
Toronto Dominion Bank, 0.501%, 1/27/2016(3)		9,477,569
Toronto Dominion Bank, 0.390%, 11/6/2015(3)		9,970,967
Toyota Motor Credit Corp., 0.433%, 5/16/2016(2)		7,000,000
Toyota Motor Credit Corp., 0.368%, 2/25/2016(2)		5,000,000
Toyota Motor Credit Corp., 0.302%, 6/13/2016(2)		10,001,070
Wells Fargo Bank, 0.324%, 4/8/2016(2)		4,999,910
Wells Fargo Bank, 0.344%, 1/13/2016(2)		10,000,130
Wells Fargo Bank, 0.423%, 5/20/2016(2)		7,000,000
Western Asset Institutional Cash Reserves Money Market Fund, 0.144%		104,142,620
Western Asset Institutional Liquid Reserves Money Market Fund, 0.145%		26,267,229
Westpac Banking Corp., 0.481%, 2/4/2016(3)		9,975,867
Other		319,757
Total	$	1,157,454,215

(1) The collateral pool is managed by the fixed income group within the Adviser. Each Fund owns a pro-rata interest in the collateral pool determined by the value of securities on loan for such Fund.

(2) Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2015.

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

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

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

3. Fair Value Measurement

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

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

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

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

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

The Funds have adopted Amendments to Achieve Common Fair Value Measurement Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”) which amends Fair Value Measurement to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and IFRS. Enhanced disclosure is required to detail any transfers into and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. The Funds did not hold any Level 3 securities as of August 31, 2015.

142

BMO Funds

The following is a summary of the inputs used, as of August 31, 2015, in valuing the Funds’ assets:

	Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	70,180,750	$	—	$	—	$	70,180,750
Short-Term Investments		6,245,933		32,471,440		—		38,717,373
Total	$	76,426,683	$	32,471,440	$	—	$	108,898,123
	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	117,123,104	$	—	$	—	$	117,123,104
Short-Term Investments		2,800,936		57,648,185		—		60,449,121
Total	$	119,924,040	$	57,648,185	$	—	$	177,572,225
	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	246,896,669	$	—	$	—	$	246,896,669
Short-Term Investments		5,959,946		121,841,818		—		127,801,764
Total	$	252,856,615	$	121,841,818	$	—	$	374,698,433
	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	232,240,546	$	—	$	—	$	232,240,546
Short-Term Investments		4,499,155		114,426,851		—		118,926,006
Total	$	236,739,701	$	114,426,851	$	—	$	351,166,552
	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	276,238,952	$	—	$	—	$	276,238,952
Short-Term Investments		11,221,418		138,875,793		—		150,097,211
Total	$	287,460,370	$	138,875,793	$	—	$	426,336,163
	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	203,218,526	$	—	$	—	$	203,218,526
Short-Term Investments		4,639,539		99,120,731		—		103,760,270
Total	$	207,858,065	$	99,120,731	$	—	$	306,978,796
	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	88,514,732	$	—	$	—	$	88,514,732
Short-Term Investments		5,566,813		41,462,036		—		47,028,849
Total	$	94,081,545	$	41,462,036	$	—	$	135,543,581
	Small-Cap Core Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	4,219,953	$	—	$	—	$	4,219,953
Short-Term Investments		47,479		1,283,962		—		1,331,441
Total	$	4,267,432	$	1,283,962	$	—	$	5,551,394
	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	637,338,960	$	—	$	—	$	637,338,960
Short-Term Investments		22,731,181		300,690,862		—		323,422,043
Total	$	660,070,141	$	300,690,862	$	—	$	960,761,003

	Global Low Volatility Equity
	Level 1		Level 2		Level 3		Total
Common Stocks
Austria	$	—	$	37,926	$	—	$	37,926
Belgium		—		39,538		—		39,538
Bermuda		92,180		9,798		—		101,978
Canada		373,517		—		—		373,517
France		—		8,754		—		8,754
Germany		—		117,007		—		117,007
Guernsey		104,465		—		—		104,465
Hong Kong		—		123,992		—		123,992
Ireland		29,414		—		—		29,414
Israel		9,918		173,998		—		183,916
Italy		—		36,950		—		36,950
Japan		—		291,779		—		291,779
Malaysia		—		118,264		—		118,264
Netherlands		—		5,932		—		5,932
New Zealand		—		193,327		—		193,327
Philippines		—		84,070		—		84,070
Portugal		—		8,986		—		8,986
Singapore		—		344,671		—		344,671
South Korea		—		46,260		—		46,260
Switzerland		—		76,225		—		76,225
Taiwan		—		150,258		—		150,258
Thailand		—		10,318		—		10,318
United Kingdom		—		238,004		—		238,004
United States		1,423,246		—		—		1,423,246
Preferred Stocks(1)		—		5,537		—		5,537
Short-Term Investments		1,237,606		—		—		1,237,606
Total	$	3,270,346	$	2,121,594	$	—	$	5,391,940
	Pyrford Global Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	94,683	$	—	$	94,683
Belgium		—		12,606		—		12,606
Canada		42,219		—		—		42,219
France		—		45,115		—		45,115
Germany		—		12,318		—		12,318
Hong Kong		—		74,003		—		74,003
Israel		—		12,453		—		12,453
Japan		—		35,265		—		35,265
Malaysia		—		54,455		—		54,455
Netherlands		—		11,717		—		11,717
Norway		—		13,174		—		13,174
Singapore		—		51,298		—		51,298
Sweden		—		26,021		—		26,021
Switzerland		—		124,646		—		124,646
Taiwan		—		49,003		—		49,003
United Kingdom		—		92,211		—		92,211
United States		350,717		—		—		350,717
Preferred Stocks(1)		—		10,528		—		10,528
Short-Term Investments		332,871		—		—		332,871
Total	$	725,807	$	719,496	$	—	$	1,445,303

143

Notes to Financial Statements (continued)

	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	69,650,605	$	—	$	69,650,605
Belgium		—		19,909,633		—		19,909,633
Finland		—		7,100,346		—		7,100,346
France		—		50,711,766		—		50,711,766
Germany		—		38,824,701		—		38,824,701
Hong Kong		—		48,175,695		—		48,175,695
Israel		—		11,454,414		—		11,454,414
Japan		—		64,295,830		—		64,295,830
Malaysia		—		25,975,984		—		25,975,984
Netherlands		—		29,606,961		—		29,606,961
Norway		—		13,331,956		—		13,331,956
Singapore		—		32,740,879		—		32,740,879
Sweden		—		25,812,580		—		25,812,580
Switzerland		—		97,533,649		—		97,533,649
Taiwan		—		26,158,427		—		26,158,427
United Kingdom		—		117,663,885		—		117,663,885
Preferred Stocks(1)		—		12,365,885		—		12,365,885
Short-Term Investments		71,309,018		—		—		71,309,018
Total	$	71,309,018	$	691,313,196	$	—	$	762,622,214
	LGM Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Bermuda	$	2,606,526	$	4,733,532	$	—	$	7,340,058
Brazil		1,287,919		—		—		1,287,919
Cayman Islands		—		5,525,090		—		5,525,090
Chile		1,923,622		—		—		1,923,622
Egypt		4,922,350		1,165,905		—		6,088,255
Hong Kong		—		2,672,408		—		2,672,408
India		—		43,835,853		—		43,835,853
Indonesia		—		13,995,280		—		13,995,280
Kenya		—		1,331,956		—		1,331,956
Malaysia		—		675,120		—		675,120
Mexico		12,393,248		—		—		12,393,248
Nigeria		—		2,124,746		—		2,124,746
Philippines		—		15,606,782		—		15,606,782
Singapore		—		4,510,165		—		4,510,165
South Africa		—		7,814,290				7,814,290
South Korea		—		1,628,164		—		1,628,164
Taiwan		—		1,667,981		—		1,667,981
Thailand		1,815,294		1,707,362		—		3,522,656
Turkey		—		4,618,818		—		4,618,818
Vietnam		—		948,618		—		948,618
Preferred Stocks(1)		2,032,296		—		—		2,032,296
Participation Notes		—		3,211,056		—		3,211,056
Short-Term Investments		13,266,977		—		—		13,266,977
Total	$	40,248,232	$	117,773,126	$	—	$	158,021,358
	TCH Emerging Markets Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	5,221,759	$	—	$	5,221,759
International Bonds		—		2,231,875		—		2,231,875
Short-Term Investments		1,332,490		—		—		1,332,490
Total	$	1,332,490	$	7,453,634	$	—	$	8,786,124

	Alternative Strategies Fund(2)
	Level 1		Level 2		Level 3		Total
Assets-Long
Bank Loans	$	—	$	4,004,709	$	—	$	4,004,709
Common Stocks(1)		18,494,424		251,979		—		18,746,403
Convertible Bond		—		51,516		—		51,516
Corporate Bonds & Notes		—		553,087		—		553,087
Exchange Traded Funds		238,070		—		—		238,070
Purchased Options		70,758		—		—		70,758
Short-Term Investments		6,970,298		5,000,030		—		11,970,328
Total	$	25,773,550	$	9,861,321	$	—	$	35,634,871
Liabilities-Short
Bank Loans	$	—	$	18,546	$	—	$	18,546
Common Stocks(1)		8,186,923		342,399		—		8,529,322
Corporate Bonds & Notes		—		136,304		—		136,304
Exchange Traded Funds		1,651,523		—		—		1,651,523
Written Options		454,037		—		—		454,037
Total	$	10,292,483	$	497,249	$	—	$	10,789,732
	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	752,152,377	$	—	$	752,152,377
Mutual Funds		—		2,000,840		—		2,000,840
Short-Term Investments		2,807,077		7,101,869		—		9,908,946
Total	$	2,807,077	$	761,255,086	$	—	$	764,062,163
	Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	126,510,334	$	—	$	126,510,334
Mutual Funds		851,005		—		—		851,005
Short-Term Investments		2,946,935		—		—		2,946,935
Total	$	3,797,940	$	126,510,334	$	—	$	130,308,274
	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	56,264,952	$	—	$	56,264,952
Collateralized Mortgage Obligations		—		10,897,274		—		10,897,274
Commercial Mortgage Securities		—		12,212,417		—		12,212,417
Corporate Bonds & Notes		—		141,385,408		—		141,385,408
Mutual Funds		3,538,083		2,904,461		—		6,442,544
U.S. Government & U.S. Government Agency Obligations		—		80,202,835		—		80,202,835
U.S. Government Agency-Mortgage Securities		—		6,472,039		—		6,472,039
Short-Term Investments		6,644,766		49,139,835		—		55,784,601
Total	$	10,182,849	$	359,479,221	$	—	$	369,662,070

144

BMO Funds

	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	1,762,233,349	$	—	$	1,762,233,349
Mutual Funds		15,750,115		—		—		15,750,115
Short-Term Investments		19,318,314		2,201,232		—		21,519,546
Total	$	35,068,429	$	1,764,434,581	$	—	$	1,799,503,010
	Mortgage Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	322,290	$	—	$	322,290
Collateralized Mortgage Obligations		—		16,560,265		—		16,560,265
Commercial Mortgage Securities		—		13,989,860		—		13,989,860
U.S. Government Agency-Mortgage Securities		—		84,798,496		—		84,798,496
Short-Term Investments		1,524,417		—		—		1,524,417
Total	$	1,524,417	$	115,670,911	$	—	$	117,195,328
	TCH Intermediate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	60,176,192	$	—	$	60,176,192
U.S. Government & U.S. Government Agency Obligations		—		17,404,961		—		17,404,961
U.S. Government Agency-Mortgage Securities		—		23,407,643		—		23,407,643
Short-Term Investments		4,336,323		19,589,302		—		23,925,625
Total	$	4,336,323	$	120,578,098	$	—	$	124,914,421
	TCH Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	269,217,683	$	—	$	269,217,683
Municipals		—		580,040		—		580,040
U.S. Government & U.S. Government Agency Obligations		—		15,563,848		—		15,563,848
Short-Term Investments		6,085,570		42,373,561		—		48,459,131
Total	$	6,085,570	$	327,735,132	$	—	$	333,820,702

	TCH Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	1,304,764	$	—	$	1,304,764
Commercial Mortgage Securities		—		536,018		—		536,018
Corporate Bonds & Notes		—		564,351,707		—		564,351,707
Municipals		—		348,024		—		348,024
U.S. Government & U.S. Government Agency Obligations		—		178,711,306		—		178,711,306
U.S. Government Agency-Mortgage Securities		—		306,998,403		—		306,998,403
Short-Term Investments		19,640,890		131,722,400		—		151,363,290
Total	$	19,640,890	$	1,183,972,622	$	—	$	1,203,613,512
	Monegy High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	71,230,042	$	—	$	71,230,042
Short-Term Investments		3,669,881		—		—		3,669,881
Total	$	3,669,881	$	71,230,042	$	—	$	74,899,923
	Multi-Asset Income Fund
	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	28,466,906	$	—	$	—	$	28,466,906
Mutual Funds		18,492,708		885,523		—		19,378,231
Short-Term Investments		183,434		18,949,942		—		19,133,376
Total	$	47,143,048	$	19,835,465	$	—	$	66,978,513
	Government Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	57,550,000	$	—	$	57,550,000
Mutual Funds		40,000,000		—		—		40,000,000
Repurchase Agreements		—		175,519,266		—		175,519,266
Agency Obligations		—		295,692,335		—		295,692,335
Total	$	40,000,000	$	528,761,601	$	—	$	568,761,601
	Tax-Free Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	624,137,758	$	—	$	624,137,758
Mutual Funds		37,842,477		—		—		37,842,477
Total	$	37,842,477	$	624,137,758	$	—	$	661,980,235
	Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	628,004,158	$	—	$	628,004,158
Commercial Paper		—		2,113,313,091		—		2,113,313,091
Corporate Bonds & Notes		—		6,235,697		—		6,235,697
Municipals		—		280,670,000		—		280,670,000
Mutual Funds		265,000,000		—		—		265,000,000
Notes-Variable		—		122,042,819		—		122,042,819
Repurchase Agreements		—		457,970,915		—		457,970,915
Total	$	265,000,000	$	3,608,236,680	$	—	$	3,873,236,680

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

145

Notes to Financial Statements (continued)

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

	Unrealized Appreciation (Depreciation) On Other Financial Instruments
Fund	Level 1			Level 2			Level 3		Total
Alternative Strategies Fund
Long Forward Contracts	$	—		$	(111,857	)	$	—	$	(111,857	)
Short Forward Contracts		—			197,858			—		197,858
Total Forwards	$	—		$	86,001		$	—	$	86,001
Long Futures Contracts	$	(110,885	)	$	—		$	—	$	(110,885	)
Short Futures Contracts		(82,883	)		—			—		(82,883	)
Total Futures	$	(193,768	)	$	—		$	—	$	(193,768	)

It is the Funds’ policy to recognize transfers between category levels at the end of the period. As described in Note 2, the Funds’ have retained an independent pricing service to fair value foreign equity securities for events occurring after the close of the market in which the security is principally traded. These valuations resulted in transfers between categorization levels at August 31, 2015.

The following is a reconciliation of transfers between category levels from August 31, 2014 to August 31, 2015:

	Global Low Volatility Fund			Pyrford Global Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Multi-Asset Income Fund
Transfers into Level 1	$	—		$	—		$	—		$	1,815,294		$	—
Transfers out of Level 1		(1,356,252	)		(695,731	)		(678,870,123	)		(106,126,509	)		(885,523	)
Net Transfers in (out) of Level 1	$	(1,356,252	)	$	(695,731	)	$	(678,870,123	)	$	(104,311,215	)	$	(885,523	)
Transfers into Level 2	$	1,356,252		$	695,731		$	678,870,123		$	106,126,509		$	885,523
Transfers out of Level 2		—			—			—			(1,815,294	)		—
Net Transfers in (out) of Level 2	$	1,356,252		$	695,731		$	678,870,123		$	104,311,215		$	885,523

4. Derivative Holdings and Activity Detail

At August 31, 2015, the Alternative Strategies Fund had outstanding futures contracts as set forth below:

Expiration Date	Number of Contracts	Description	Value at Trade Date			Value at August 31, 2015			Unrealized Appreciation (Depreciation)
Long Futures
Bond Futures
September 2015	3	10 Year Mini JGB	$	364,870		$	366,008		$	1,138
September 2015	4	Eurex 10-Year Euro BUND		695,740			687,160			(8,580	)
September 2015	6	Eurex 5-Year Euro BOBL		879,753			875,479			(4,274	)
September 2015	4	SFE 10-Year Australian Bond		365,012			366,649			1,637
December 2015	7	CBOT 10-Year U.S. Treasury Note		896,032			889,438			(6,594	)
December 2015	5	CBOT 5-Year U.S. Treasury Note		600,152			597,188			(2,964	)
December 2015	1	CBOT U.S. Long Bond		157,909			154,625			(3,284	)
December 2015	2	LIFFE Long Gilt Government Bond		361,747			359,656			(2,091	)
December 2015	6	MSE 10-Year Canadian Bond		654,352			644,968			(9,384	)
Index Futures
September 2015	4	CME E-Mini NASDAQ 100 Index		364,381			341,740			(22,641	)
September 2015	3	CAC 40 10 Euro		165,304			156,607			(8,697	)
September 2015	2	OSE Nikkei 225 Index		345,126			310,801			(34,325	)
September 2015	3	TSE TOPIX Index		412,646			379,470			(33,176	)
Interest Rate Futures
December 2016	48	CME 3-Month Eurodollar		11,841,102			11,857,200			16,098
December 2016	35	LIFFE 3-Month Euro Euribor		9,814,670			9,815,872			1,202
December 2016	16	LIFFE 90-Day Sterling		3,029,884			3,034,934			5,050
Short Futures
Index Futures
September 2015	1	Eurex Euro STOXX 50 Index		(36,614	)		(36,683	)		(69	)
September 2015	2	HKG Hang Seng Index		(275,045	)		(276,953	)		(1,908	)
September 2015	2	Russell 2000 Mini Index		(236,614	)		(231,500	)		5,114
September 2015	3	CME E-Mini S&P 500® Index		(293,267	)		(295,380	)		(2,113	)
September 2015	5	LIFFE FTSE 100 Index		(505,346	)		(476,999	)		28,347
September 2015	6	CBOT E-Mini DJIA Index		(526,948	)		(495,240	)		31,708
September 2015	29	Eurex Euro STOXX 50 Index		(1,026,568	)		(1,063,810	)		(37,242	)
September 2015	67	CME E-Mini S&P 500® Index		(6,490,100	)		(6,596,820	)		(106,720	)
Total Futures Contracts			$	21,558,178		$	21,364,410		$	(193,768	)

146

BMO Funds

The following is a summary of the Alternative Strategies Fund’s written option activity for the period ended August 31, 2015:

Contracts	Number of Contracts			Premium
Outstanding @ 12/16/2014 (inception date)		—		$	—
Options written		3,646			2,516,511
Options expired		(525	)		(472,337	)
Options exercised		(10	)		(5,268	)
Options closed		(2,723	)		(1,737,738	)
Outstanding @ 8/31/2015		388		$	301,168

At August 31, 2015, the Alternative Strategies Fund had outstanding forward foreign currency exchange contracts as set forth below:

		Contract Amount						Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell		Value					Counterparty
September 19, 2015	Australian Dollar	AUD	722,000	$	539,497	$	513,393	$	(26,104	)	Bank of America
September 19, 2015	Australian Dollar	$	1,253,493	AUD	1,658,000		1,178,956		74,537		Bank of America
September 19, 2015	Canadian Dollar	CAD	1,158,000	$	921,334		880,152		(41,182	)	Bank of America
September 19, 2015	Canadian Dollar	$	1,768,178	CAD	2,225,000		1,691,138		77,040		Bank of America
September 19, 2015	Euro Currency	EUR	1,724,000	$	1,927,701		1,935,033		7,332		Bank of America
September 19, 2015	Euro Currency	$	1,416,798	EUR	1,264,000		1,418,725		(1,927	)	Bank of America
September 19, 2015	Japanese Yen	JPY	131,281,000	$	1,059,525		1,083,113		23,588		Bank of America
September 19, 2015	Japanese Yen	$	2,048,678	JPY	252,166,000		2,080,457		(31,779	)	Bank of America
September 19, 2015	Mexican Peso	MXN	1,459,000	$	88,978		87,222		(1,756	)	Bank of America
September 19, 2015	Mexican Peso	$	393,936	MXN	6,183,000		369,633		24,303		Bank of America
September 19, 2015	New Zealand Dollar	NZD	115,000	$	75,956		72,795		(3,161	)	Bank of America
September 19, 2015	New Zealand Dollar	$	377,032	NZD	547,000		346,250		30,782		Bank of America
September 19, 2015	Pound Sterling	GBP	1,502,000	$	2,348,143		2,304,602		(43,541	)	Bank of America
September 19, 2015	Pound Sterling	$	1,877,874	GBP	1,214,000		1,862,708		15,166		Bank of America
September 19, 2015	Swiss Franc	CHF	889,000	$	947,180		920,147		(27,033	)	Bank of America
September 19, 2015	Swiss Franc	$	1,477,416	CHF	1,418,000		1,467,680		9,736		Bank of America
								$	86,001

During the period ended August 31, 2015, the following Funds had average quarterly contracts or notional values outstanding:

	Average Quarterly Contracts								Average Quarterly Notional Values
Fund	Long Futures		Short Futures		Purchased Options		Written Options		Short Forwards		Long Forwards
Pyrford Global Equity Fund		—		—		—		—	$	50,444	$	15,330
Pyrford International Stock Fund		—		—		—		—		30,260,786		17,381,809
Alternative Strategies Fund		159		56		200		370		7,594,794		5,097,244
Short Tax-Free Fund		—		2		—		—		—		—
Intermediate Tax-Free Fund		—		100		—		—		—		—

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.

147

Notes to Financial Statements (continued)

The effects of these derivative instruments on the Funds’ financial positions and financial performance are reflected in the Statements of Assets and Liabilities and Statements of Operations, and are presented in the table below. The values of derivative instruments as of August 31, 2015 by risk category are as follows:

	Statements of Assets and Liabilities				Statements of Operations
Fund/Financial Instrument Type	Location of Asset/ Liability Derivatives	Value			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)
Pyrford Global Equity Fund
Forwards (Foreign exchange contracts)		$	—		$	9,644		$	3,704
Pyford International Stock Fund
Forwards (Foreign exchange contracts)		$	—		$	0		$	1,223,525
Alternative Strategies Fund
Futures Receivable (Interest rate contracts)		$	25,125
Futures Payable (Interest rate contracts)			(37,171	)
Net futures (Interest rate contracts)		$	(12,046	)	$	76,728		$	(12,046	)
Futures Receivable (Equity contracts)		$	65,169
Futures Payable (Equity contracts)			(246,891	)
Net futures (Equity contracts)		$	(181,722	)		(571,117	)		(181,722	)
Total receivable for futures	Receivable for daily variation margin	$	90,294
Total payable for futures	Payable for daily variation margin		(284,062	)
Total net payable for futures		$	(193,768	)	$	(494,389	)	$	(193,768	)
Forwards (Foreign exchange contracts)	Receivable for forward foreign currency contracts	$	262,484
Forwards (Foreign exchange contracts)	Payable for forward foreign currency contracts		(176,483	)
Total net forwards		$	86,001		$	177,581		$	86,001
Purchased options (Equity contracts)	Purchased options, at value	$	70,758			54,634			(30,388	)
Written options (Equity contracts)	Written options, at value		(454,037	)		879,443			(152,869	)
Short Tax-Free Fund
Futures (Interest rate contracts)		$	—		$	(16,021	)	$	(1,679	)
Intermediate Tax-Free Fund
Futures (Interest rate contracts)		$	—		$	(668,831	)	$	25,722

Offsetting of Assets and Liabilities—Disclosures about offsetting assets and liabilities requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented. As of August 31, 2015, there are no master netting arrangements related to the Funds. The Funds’ Statements of Assets and Liabilities (“SAL”) presents derivative instruments on a gross basis, therefore there are no net amounts and no offset amounts within the SAL to present below. Gross amounts of the derivative instruments, amounts related to financial instruments/cash collateral not offset in the SAL and net amounts are presented below:

	Derivative Assets				Derivative Liabilities									Net Derivative Assets (Liabilities)			Collateral Pledged (Received) (1)
Fund/Counterparty	Forward Currency Contracts		Futures Contracts		Forward Currency Contracts			Futures Contracts			Written Options						Financial Instruments		Cash		Net Amount
Alternative Strategies Fund
Bank of America Merrill Lynch (Over the Counter)	$	262,484	$	—	$	(176,483	)	$	—		$	—		$	86,001		$	—	$	—	$	86,001
Exchange Traded Futures Contracts		—		90,294		—			(284,062	)		—			(193,768	)		—		—		(193,768	)
Exchange Traded Options Contracts		—		—		—			—			(454,037	)		(454,037	)		—		454,037		—

(1) Collateral pledged exceeds amount of liability balance.

At period end, certain Funds covered in this report had investments in repurchase agreements. The gross value and related collateral received for these investments are presented in each applicable Fund’s Schedule of Investments and the value of these investments is also presented in the Statements of Assets and Liabilities. The value of the related collateral received exceeded the value of the repurchase agreements as of August 31, 2015.

148

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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						Large-Cap Value Fund
	Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	2,305,941	(1)	$	171,647		$	13,228,404	(2)	$	13,224,438		$	51,889,810		$	25,150,045
Advisor class of shares		284,251			25,000			8,891,830			25,000			2,533			25,000
Institutional class of shares		30,127,617			14,815,931			9,104,999			5,783,365			24,350,994			18,453,640
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		1,349,076			—			73,932,036			—			—			—
Net proceeds from sale of shares		34,066,885			15,012,578			105,157,269			19,032,803			76,243,337			43,628,685
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		46,550	(1)		11,962			5,405,306	(2)		3,069,583			13,507,031			8,186,356
Advisor class of shares		6,032			103			432,520			129			2,666			80
Institutional class of shares		4,635,749			984,009			4,613,478			2,742,420			11,763,585			7,452,025
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net proceeds from shares issued		4,688,331			996,074			10,451,304			5,812,132			25,273,282			15,638,461
Cost of shares redeemed:
Investor class of shares		(1,446,946	)		(472,679	)		(5,896,957	)(2)		(18,511,998	)		(24,583,590	)		(33,283,979	)
Advisor class of shares		(441,640	)		—			(2,527,026	)		—			—			—
Institutional class of shares		(13,647,960	)		(6,779,420	)		(17,285,991	)		(11,638,148	)		(50,096,519	)		(26,150,728	)
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		(1,349,076	)		—			(73,932,036	)		—			—			—
Net cost of shares redeemed		(16,885,622	)		(7,252,099	)		(99,642,010	)		(30,150,146	)		(74,680,109	)		(59,434,707	)
Redemption fees		—			—			—			—			—			—
Net change resulting from fund share transactions in dollars	$	21,869,594		$	8,756,553		$	15,966,563		$	(5,305,211	)	$	26,836,510		$	(167,561	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		173,729	(1)		13,778			957,585	(2)		1,003,140			3,260,833			1,586,843
Advisor class of shares		21,262			1,962			659,802			1,842			156			1,540
Institutional class of shares		2,304,058			1,194,203			667,176			436,621			1,532,889			1,163,302
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		100,178			—			5,391,964			—			—			—
Net sale of shares		2,599,227			1,209,943			7,676,527			1,441,603			4,793,878			2,751,685
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		3,604	(1)		988			401,277	(2)		239,423			869,122			547,819
Advisor class of shares		459			8			31,874			10			171			5
Institutional class of shares		358,152			80,500			341,712			213,631			756,375			497,794
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net shares issued		362,215			81,496			774,863			453,064			1,625,668			1,045,618
Shares redeemed:
Investor class of shares		(108,476	)(1)		(38,422	)		(422,256	)(2)		(1,425,736	)		(1,519,256	)		(2,129,473	)
Advisor class of shares		(33,149	)		—			(188,631	)		—			—			—
Institutional class of shares		(1,025,954	)		(563,773	)		(1,266,146	)		(889,251	)		(3,091,202	)		(1,663,791	)
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		(100,178	)		—			(5,391,964	)		—			—			—
Net shares redeemed		(1,267,757	)		(602,195	)		(7,268,997	)		(2,314,987	)		(4,610,458	)		(3,793,264	)
Net change resulting from fund share transactions in shares		1,693,685			689,244			1,182,393			(420,320	)		1,809,088			4,039

(1) Reflects operations for the period from September 1, 2014, to May 19, 2015 (termination of Investor class of shares).

(2) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

150

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
$	94,927,499		$	12,686,123		$	35,820,566		$	35,832,822		$	27,450,657		$	21,116,792		$	20,687,763	(2)	$	24,383,016
	9,184			25,000			—			25,000			6,583			25,000			7,597,339			25,000
	16,533,828			11,319,057			17,255,206			17,914,297			14,808,537			11,292,980			15,472,198			3,662,455
	—			—			—			25,000			—			25,000			200			25,000
	—			—			10,476,491			25,000			—			25,000			145,932			25,000
	—			—			—			—			—			—			77,723,552			—
	111,470,511			24,030,180			63,552,263			53,822,119			42,265,777			32,484,772			121,626,984			28,120,471
	16,094,464			7,435,000			21,716,689			25,867,242			16,670,003			14,092,847			3,740,385	(2)		4,374,319
	3,871			—			3,126			—			3,529			—			1,447			—
	18,341,269			10,579,586			16,454,019			16,897,895			17,695,668			16,936,397			893,637			1,391,605
	—			—			3,100			—			3,467			—			1,439			—
	—			—			3,188			—			3,467			—			1,439			—
	34,439,604			18,014,586			38,180,122			42,765,137			34,376,134			31,029,244			4,638,347			5,765,924
	(39,032,633	)		(30,820,149	)		(39,236,294	)		(79,938,638	)		(20,533,400	)		(26,779,668	)		(10,274,941	)(2)		(8,662,717	)
	—			—			—			—			(4,012	)		—			(6,488,094	)		—
	(84,409,853	)		(36,108,499	)		(61,375,263	)		(24,444,417	)		(76,374,202	)		(34,050,500	)		(11,052,040	)		(3,106,791	)
	—			—			(1,225,571	)		—			—			—			(31,013	)		—
	—			—			—			—			—			—			(77,723,552	)		—
	(123,442,486	)		(66,928,648	)		(101,837,128	)		(104,383,055	)		(96,911,614	)		(60,830,168	)		(105,569,640	)		(11,769,508	)
	—			—			—			174			—			—			—			—
$	22,467,629		$	(24,883,882	)	$	(104,743	)	$	(7,795,625	)	$	(20,269,703	)	$	2,683,848		$	20,695,691		$	22,116,887
	5,824,318			767,898			2,191,108			2,128,508			1,268,780			907,538			1,536,678	(2)		1,734,776
	529			1,487			—			1,505			306			1,092			559,792			1,787
	1,007,550			682,428			1,072,196			1,064,994			667,838			479,115			1,103,954			259,322
	—			—			—			1,508			—			1,073			15			1,777
	—			—			658,695			1,508			—			1,073			10,762			1,777
	—			—			—			—			—			—			5,640,424			—
	6,832,397			1,451,813			3,921,999			3,198,023			1,936,924			1,389,891			8,851,625			1,999,439
	1,019,928			476,297			1,401,981			1,669,417			829,353			655,176			286,839	(2)		334,940
	245			—			202			—			176			—			111			—
	1,155,719			674,289			1,064,985			1,092,060			861,103			774,412			68,009			105,987
	—			—			200			—			169			—			110			—
	—			—			206			—			169			—			110			—
	2,175,892			1,150,586			2,467,574			2,761,477			1,690,970			1,429,588			355,179			440,927
	(2,335,983	)		(1,898,220	)		(2,404,283	)		(4,886,569	)		(949,629	)		(1,149,370	)		(765,945	)(2)		(619,540	)
	—			—			—			—			(189	)		—			(478,216	)		—
	(4,964,126	)		(2,188,071	)		(3,789,070	)		(1,467,084	)		(3,434,480	)		(1,430,137	)		(807,228	)		(220,511	)
	—			—			(76,599	)		—			—			—			(2,275	)		—
	—			—			—			—			—			—			(5,640,424	)		—
	(7,300,109	)		(4,086,291	)		(6,269,952	)		(6,353,653	)		(4,384,298	)		(2,579,507	)		(7,694,088	)		(840,051	)
	1,708,180			(1,483,892	)		119,621			(394,153	)		(756,404	)		239,972			1,512,716			1,600,315

151

Notes to Financial Statements (continued)

	Small-Cap Core Fund					Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Year Ended August 31, 2015			Period Ended August 31, 2014(1)		Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014(2)
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	85,124	(3)	$	502,902	$	59,881,274		$	89,061,771		$	26,515	(3)	$	96,182
Advisor class of shares		2,534			25,000		—			—			2,465			25,000
Institutional class of shares		661,179			2,935,014		107,104,980			147,891,839			212,246			3,721,796
Retirement class R-3 of shares		—			—		—			—			—			—
Retirement class R-6 of shares		—			—		—			—			—			—
Advisor class transfers from termination of Investor class		666,195			—		—			—			125,949			—
Net proceeds from sale of shares		1,415,032			3,462,916		166,986,254			236,953,610			367,175			3,842,978
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—		64,686,862			51,917,050			1,464	(3)		—
Advisor class of shares		—			—		—			—			285			—
Institutional class of shares		—			—		57,163,406			40,309,097			51,285			—
Retirement class R-3 of shares		—			—		—			—			—			—
Retirement class R-6 of shares		—			—		—			—			—			—
Net proceeds from shares issued		—			—		121,850,268			92,226,147			53,034			—
Cost of shares redeemed:
Investor class of shares		(3,606	)(3)		—		(178,351,779	)		(127,066,631	)		(14,409	)(3)		(3,650	)
Advisor class of shares		(2,890	)		—		—			—			(3,549	)		—
Institutional class of shares		(26,550	)		—		(122,705,823	)		(121,523,034	)		(10,010	)		—
Retirement class R-6 of shares		—			—		—			—			—			—
Advisor class transfers from termination of Investor class		(666,195	)		—		—			—			(125,949	)		—
Net cost of shares redeemed		(699,241	)		—		(301,057,602	)		(248,589,665	)		(153,917	)		(3,650	)
Redemption fees		—			—		—			5,665			—			—
Net change resulting from fund share transactions in dollars	$	715,791		$	3,462,916	$	(12,221,080	)	$	80,595,757		$	266,292		$	3,839,328
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		8,038	(3)		50,282		3,035,093			3,854,998			2,380	(3)		9,469
Advisor class of shares		223			2,480		—			—			209			2,248
Institutional class of shares		58,516			291,360		5,259,971			6,232,666			18,591			343,089
Retirement class R-3 of shares		—			—		—			—			—			—
Retirement class R-6 of shares		—			—		—			—			—			—
Advisor class transfers from termination of Investor class		57,981			—		—			—			10,389			—
Net sale of shares		124,758			344,122		8,295,064			10,087,664			31,569			354,806
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—		3,632,053			2,464,027			130	(3)		—
Advisor class of shares		—			—		—			—			25			—
Institutional class of shares		—			—		3,132,242			1,879,212			4,542			—
Retirement class R-3 of shares		—			—		—			—			—			—
Retirement class R-6 of shares		—			—		—			—			—			—
Net shares issued		—			—		6,764,295			4,343,239			4,697			—
Shares redeemed:
Investor class of shares		(339	)(3)		—		(9,037,485	)		(5,557,903	)		(1,270	)(3)		(320	)
Advisor class of shares		(251	)		—		—			—			(291	)		—
Institutional class of shares		(2,386	)		—		(6,160,736	)		(5,289,709	)		(874	)		—
Retirement class R-6 of shares		—			—		—			—			—			—
Advisor class transfers from termination of Investor class		(57,981	)		—		—			—			(10,389	)		—
Net shares redeemed		(60,957	)		—		(15,198,221	)		(10,847,612	)		(12,824	)		(320	)
Net change resulting from fund share transactions in shares		63,801			344,122		(138,862	)		3,583,291			23,442			354,486

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

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

(3) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

152

BMO Funds

Pyrford Global Equity Fund					Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						TCH Emerging Markets Bond Fund
Year Ended August 31, 2015			Period Ended August 31, 2014(1)		Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014(2)
$	17,485	(3)	$	590,294	$	29,274,657		$	31,495,270		$	10,812,875	(3)	$	22,463,042		$	27,714	(3)	$	3,508,375
	104,500			25,000		837,890			25,000			7,937,867			25,000			45,350			25,000
	—			501,000		486,602,419			105,690,228			27,318,780			32,762,388			10,000			3,511,000
	—			—		—			25,000			—			—			—			—
	—			—		7,580,387			25,000			—			—			—			—
	654,402			—		—			—			67,542,100			—			3,981,659			—
	776,387			1,116,294		524,295,353			137,260,498			113,611,622			55,250,430			4,064,723			7,044,375
	17,059	(3)		—		523,199			3,252,180			748,847	(3)		634,773			283,246	(3)		39,375
	694			—		155			—			305			—			1,848			—
	15,712			—		1,764,124			8,720,963			1,387,723			1,381,422			289,840			40,425
	—			—		121			—			—			—			—			—
	—			—		206			—			—			—			—			—
	33,465			—		2,287,805			11,973,143			2,136,875			2,016,195			574,934			79,800
	—			—		(9,501,426	)		(9,726,188	)		(5,071,919	)(3)		(9,299,289	)		(855	)(3)		—
	(18,777	)		—		—			—			(2,512,123	)		—			(205	)		—
	—			—		(70,009,306	)		(17,179,956	)		(39,195,824	)		(20,768,114	)		—			—
	—			—		(480,963	)		—			—			—			—			—
	(654,402	)		—		—			—			(67,542,100	)		—			(3,981,659	)		—
	(673,179	)		—		(79,991,695	)		(26,906,144	)		(114,321,966	)		(30,067,403	)		(3,982,719	)		—
	—			—		3,177			1,105			261			741			—			—
$	136,673		$	1,116,294	$	446,594,640		$	122,328,602		$	1,426,792		$	27,199,963		$	656,938		$	7,124,175
	1,706	(3)		58,501		2,316,403			2,462,877			786,382	(3)		1,759,063			2,758	(3)		350,761
	9,875			2,381		67,683			1,904			598,708			1,826			4,412			2,315
	—			50,101		37,832,055			8,170,016			1,997,469			2,535,369			908			351,019
	—			—		—			1,901			—			—			—			—
	—			—		592,066			1,901			—			—			—			—
	61,911			—		—			—			4,868,984			—			385,759			—
	73,492			110,983		40,808,207			10,638,599			8,251,543			4,296,258			393,837			704,095
	1,704	(3)		—		42,467			255,802			56,136	(3)		49,708			28,438	(3)		3,950
	69			—		13			—			23			—			186			—
	1,570			—		142,960			685,270			103,871			108,008			29,100			4,054
	—			—		10			—			—			—			—			—
	—			—		17			—			—			—			—			—
	3,343			—		185,467			941,072			160,030			157,716			57,724			8,004
	—			—		(751,917	)		(759,503	)		(368,299	)(3)		(696,433	)		(148	)(3)		—
	(1,780	)		—		—			—			(190,894	)		—			(20	)		—
	—			—		(5,543,509	)		(1,332,777	)		(2,907,588	)		(1,563,387	)		—			—
	—			—		(37,602	)		—			—			—			—			—
	(61,911	)		—		—			—			(4,868,984	)		—			(385,759	)		—
	(63,691	)		—		(6,333,028	)		(2,092,280	)		(8,335,765	)		(2,259,820	)		(385,927	)		—
	13,144			110,983		34,660,646			9,487,391			75,808			2,194,154			65,634			712,099

153

Notes to Financial Statements (continued)

	Alternative Strategies Fund			Ultra Short Tax-Free Fund						Short Tax-Free Fund
	Period Ended August 31, 2015(1)			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	34,499,397		$	36,732,240		$	14,697,884		$	16,306,460
Advisor class of shares		3,211,693			25,000			25,000			428,043			25,000
Institutional class of shares		32,877,000			732,280,458			679,100,902			93,615,103			80,751,841
Advisor class transfers from termination of Investor class		—			—			—			—			—
Net proceeds from sale of shares		36,088,693			766,804,855			715,858,142			108,741,030			97,083,301
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			232,743			405,797			327,112			260,475
Advisor class of shares		—			91			33			380			85
Institutional class of shares		—			1,262,595			1,324,311			194,867			100,157
Net proceeds from shares issued		—			1,495,429			1,730,141			522,359			360,717
Cost of shares redeemed:
Investor class of shares		—			(37,929,231	)		(69,137,516	)		(15,767,281	)		(6,819,344	)
Advisor class of shares		(2,151,437	)		(24,979	)		—			(38	)		—
Institutional class of shares		—			(693,822,928	)		(759,159,182	)		(66,075,691	)		(38,225,847	)
Advisor class transfers from termination of Investor class		—			—			—			—			—
Net cost of shares redeemed		(2,151,437	)		(731,777,138	)		(828,296,698	)		(81,843,010	)		(45,045,191	)
Redemption fees		—			—			—			—			—
Net change resulting from fund share transactions in dollars	$	33,937,256		$	36,523,146		$	(110,708,415	)	$	27,420,379		$	52,398,827
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			3,417,481			3,646,847			1,437,965			1,610,486
Advisor class of shares		303,423			2,478			2,478			41,925			2,458
Institutional class of shares		3,287,526			72,577,811			67,456,820			9,152,374			7,992,310
Advisor class transfers from termination of Investor class		—			—			—			—			—
Net sale of shares		3,590,949			75,997,770			71,106,145			10,632,264			9,605,254
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			23,056			40,291			32,003			25,728
Advisor class of shares		—			9			3			37			9
Institutional class of shares		—			125,162			131,599			19,060			9,882
Net shares issued		—			148,227			171,893			51,100			35,619
Shares redeemed:
Investor class of shares		—			(3,757,848	)		(6,862,097	)		(1,542,455	)		(674,457	)
Advisor class of shares		(206,249	)		(2,478	)		—			(4	)		—
Institutional class of shares		—			(68,772,910	)		(75,460,308	)		(6,455,094	)		(3,785,765	)
Advisor class transfers from termination of Investor class		—			—			—			—			—
Net shares redeemed		(206,249	)		(72,533,236	)		(82,322,405	)		(7,997,553	)		(4,460,222	)
Net change resulting from fund share transactions in shares		3,384,700			3,612,761			(11,044,367	)		2,685,811			5,180,651

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

(2) Reflects operations for the period from September 1, 2014, to May 19, 2015 (termination of Investor class of shares).

154

BMO Funds

Short-Term Income Fund						Intermediate Tax-Free Fund						Mortgage Income Fund						TCH Intermediate Income Fund
Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
$	21,701,066		$	39,953,734		$	498,756,928		$	364,844,856		$	8,605,907		$	10,241,607		$	1,349,483	(2)	$	3,292,895
	—			25,000			3,500			2,025,000			—			25,000			152,489			25,000
	188,063,432			60,448,479			274,371,800			133,067,553			8,766,527			12,001,717			29,094,301			41,757,793
	—			—			—			—			—			—			30,496,660			—
	209,764,498			100,427,213			773,132,228			499,937,409			17,372,434			22,268,324			61,092,933			45,075,688
	848,728			1,198,099			25,330,824			21,553,872			2,813,001			3,147,040			391,920	(2)		617,791
	296			78			46,680			3,747			729			188			177,432			126
	1,114,115			868,631			4,080,191			2,497,458			208,761			323,266			1,493,931			1,460,771
	1,963,139			2,066,808			29,457,695			24,055,077			3,022,491			3,470,494			2,063,283			2,078,688
	(31,671,458	)		(76,287,660	)		(276,080,914	)		(274,604,629	)		(22,523,389	)		(48,913,541	)		(5,270,894	)(2)		(16,769,338	)
	—			—			—			—			—			—			(2,681,713	)		—
	(66,614,972	)		(36,513,511	)		(114,349,922	)		(111,792,245	)		(14,431,864	)		(20,333,524	)		(60,956,935	)		(31,869,199	)
	—			—			—			—			—			—			(30,496,660	)		—
	(98,286,430	)		(112,801,171	)		(390,430,836	)		(386,396,874	)		(36,955,253	)		(69,247,065	)		(99,406,202	)		(48,638,537	)
	—			—			—			3,656			—			323			—			—
$	113,441,207		$	(10,307,150	)	$	412,159,087		$	137,599,268		$	(16,560,328	)	$	(43,507,924	)	$	(36,249,986	)	$	(1,484,161	)
	2,316,962			4,249,193			44,153,582			33,192,008			919,498			1,108,326			127,371	(2)		314,325
	—			2,654			311			181,301			—			2,674			13,906			2,356
	20,068,196			6,417,322			24,302,385			12,102,975			941,413			1,288,535			2,755,232			3,996,817
	—			—			—			—			—			—			2,888,573			—
	22,385,158			10,669,169			68,456,278			45,476,284			1,860,911			2,399,535			5,785,082			4,313,498
	90,624			127,378			2,240,079			1,956,526			299,827			338,867			37,000	(2)		58,767
	32			8			4,128			323			78			20			16,990			12
	118,778			92,157			361,137			226,320			22,275			34,839			141,649			139,049
	209,434			219,543			2,605,344			2,183,169			322,180			373,726			195,639			197,828
	(3,382,518	)		(8,111,833	)		(24,439,180	)		(25,188,723	)		(2,401,577	)		(5,282,586	)		(497,206	)(2)		(1,618,601	)
	—			—			—			—			—			—			(257,544	)		—
	(7,101,162	)		(3,875,953	)		(10,142,271	)		(10,214,907	)		(1,539,181	)		(2,194,833	)		(5,791,240	)		(3,049,628	)
	—			—			—			—			—			—			(2,888,573	)		—
	(10,483,680	)		(11,987,786	)		(34,581,451	)		(35,403,630	)		(3,940,758	)		(7,477,419	)		(9,434,563	)		(4,668,229	)
	12,110,912			(1,099,074	)		36,480,171			12,255,823			(1,757,667	)		(4,704,158	)		(3,453,842	)		(156,903	)

155

Notes to Financial Statements (continued)

	TCH Corporate Income Fund						TCH Core Plus Bond Fund						Monegy High Yield Bond Fund
	Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	102,866,491		$	53,919,723		$	193,582,142		$	114,749,632		$	5,088,580	(2)	$	8,451,618
Advisor class of shares		—			25,000			302,957			25,000			3,962,546			25,000
Institutional class of shares		87,268,477			41,985,580			175,200,648			156,616,162			6,100,393			11,842,862
Advisor class transfers from termination of Investor class		—			—			—			—			41,847,934			—
Net proceeds from sale of shares		190,134,968			95,930,303			369,085,747			271,390,794			56,999,453			20,319,480
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		3,989,662			1,936,862			18,010,897			13,891,430			2,155,397	(2)		3,245,163
Advisor class of shares		813			194			6,174			185			795,168			335
Institutional class of shares		2,220,373			3,760,222			13,801,439			9,177,307			2,129,094			2,480,514
Net proceeds from shares issued		6,210,848			5,697,278			31,818,510			23,068,922			5,079,659			5,726,012
Cost of shares redeemed:
Investor class of shares		(39,458,578	)		(15,801,714	)		(100,988,848	)		(100,415,863	)		(3,409,628	)(2)		(20,734,050	)
Advisor class of shares		—			—			(12,103	)		—			(1,835,239	)		—
Institutional class of shares		(39,920,311	)		(23,104,463	)		(117,937,793	)		(83,204,381	)		(11,813,369	)		(27,372,832	)
Advisor class transfers from termination of Investor class		—			—			—			—			(41,847,934	)		—
Net cost of shares redeemed		(79,378,889	)		(38,906,177	)		(218,938,744	)		(183,620,244	)		(58,906,170	)		(48,106,882	)
Net change resulting from fund share transactions in dollars	$	116,966,927		$	62,721,404		$	181,965,513		$	110,839,472		$	3,172,942		$	(22,061,390	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		7,988,013			4,190,850			16,475,479			9,862,490			512,898	(2)		807,229
Advisor class of shares		—			1,933			25,699			2,115			406,925			2,377
Institutional class of shares		6,805,605			3,285,896			14,894,239			13,431,019			617,472			1,130,466
Advisor class transfers from termination of Investor class		—			—			—			—			4,249,540			—
Net sale of shares		14,793,618			7,478,679			31,395,417			23,295,624			5,786,835			1,940,072
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		312,288			152,789			1,535,138			1,192,359			219,824	(2)		310,363
Advisor class of shares		64			15			527			16			82,464			32
Institutional class of shares		173,659			299,008			1,176,276			787,425			218,115			237,312
Net shares issued		486,011			451,812			2,711,941			1,979,800			520,403			547,707
Shares redeemed:
Investor class of shares		(3,095,232	)		(1,251,448	)		(8,602,275	)		(8,675,580	)		(341,231	)(2)		(1,983,873	)
Advisor class of shares		—			—			(1,053	)		—			(190,085	)		—
Institutional class of shares		(3,132,389	)		(1,824,554	)		(10,104,876	)		(7,165,043	)		(1,202,200	)		(2,614,008	)
Advisor class transfers from termination of Investor class		—			—			—			—			(4,249,540	)		—
Net shares redeemed		(6,227,621	)		(3,076,002	)		(18,708,204	)		(15,840,623	)		(5,983,056	)		(4,597,881	)
Net change resulting from fund share transactions in shares		9,052,008			4,854,489			15,399,154			9,434,801			324,182			(2,110,102	)

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

(2) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

156

BMO Funds

Multi-Asset Income Fund						Government Money Market Fund						Tax-Free Money Market Fund						Prime Money Market Fund
Year Ended August 31, 2015			Period Ended August 31, 2014(1)			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Year Ended August 31, 2014
$	7,502	(2)	$	521,100		$	503,002,591		$	331,672,561		$	326,883,986		$	249,403,510		$	3,522,719,193		$	3,756,360,212
	—			25,000			—			—			—			—			—			—
	31,019,539			46,354,689			2,263,896,142			1,539,820,530			1,820,616,630			2,075,146,011			8,192,382,872			8,223,133,602
	524,796			—			—			—			—			—			—			—
	31,551,837			46,900,789			2,766,898,733			1,871,493,091			2,147,500,616			2,324,549,521			11,715,102,065			11,979,493,814
	9,202	(2)		4,824			5,698			3,643			18,578			12,678			36,126			34,293
	5,767			185			—			—			—			—			—			—
	118,633			20,802			5,274			2,760			3,343			6,969			36,117			25,452
	133,602			25,811			10,972			6,403			21,921			19,647			72,243			59,745
	—			(7,328	)		(506,682,034	)		(359,664,123	)		(316,026,171	)		(239,853,465	)		(3,582,990,393	)		(3,822,539,600	)
	(396	)		—			—			—			—			—			—			—
	(23,179,184	)		(1,271,437	)		(2,224,520,366	)		(1,543,587,045	)		(1,759,514,774	)		(2,318,037,840	)		(7,584,594,383	)		(8,845,055,905	)
	(524,796	)		—			—			—			—			—			—			—
	(23,704,376	)		(1,278,765	)		(2,731,202,400	)		(1,903,251,168	)		(2,075,540,945	)		(2,557,891,305	)		(11,167,584,776	)		(12,667,595,505	)
$	7,981,063		$	45,647,835		$	35,707,305		$	(31,751,674	)	$	71,981,592		$	(233,322,137	)	$	547,589,532		$	(688,041,946	)
	752	(2)		52,076			503,002,591			331,672,561			326,883,986			249,403,494			3,522,719,193			3,756,360,212
	—			2,441			—			—			—			—			—			—
	3,113,662			4,569,280			2,263,896,142			1,539,820,530			1,820,616,630			2,075,145,914			8,192,382,872			8,223,133,602
	53,496			—			—			—			—			—			—			—
	3,167,910			4,623,797			2,766,898,733			1,871,493,091			2,147,500,616			2,324,549,408			11,715,102,065			11,979,493,814
	932	(2)		471			5,698			3,643			18,578			12,678			36,126			34,293
	599			18			—			—			—			—			—			—
	12,098			2,031			5,274			2,760			3,343			6,969			36,117			25,452
	13,629			2,520			10,972			6,403			21,921			19,647			72,243			59,745
	—			(735	)		(506,682,034	)		(359,664,123	)		(316,026,171	)		(239,853,465	)		(3,582,990,393	)		(3,822,539,600	)
	(40	)		—			—			—			—			—			—			—
	(2,385,181	)		(124,682	)		(2,224,520,366	)		(1,543,587,045	)		(1,759,514,774	)		(2,318,037,840	)		(7,584,594,383	)		(8,845,055,905	)
	(53,496	)		—			—			—			—			—			—			—
	(2,438,717	)		(125,417	)		(2,731,202,400	)		(1,903,251,168	)		(2,075,540,945	)		(2,557,891,305	)		(11,167,584,776	)		(12,667,595,505	)
	742,822			4,500,900			35,707,305			(31,751,674	)		71,981,592			(233,322,250	)		547,589,532			(688,041,946	)

157

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.

	Fee rates applicable from September 1, 2014 through May 31, 2015(1)												Fee rates applicable from June 1, 2015 through August 31, 2015(1)
	Fund’s ADNA												Fund’s ADNA
Fund	on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million			on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million
Low Volatility Equity Fund		0.50	%		0.49	%		0.45	%		0.40	%		0.50	%		0.49	%		0.45	%		0.40	%
Dividend Income Fund		0.50			0.49			0.45			0.40			0.50			0.49			0.45			0.40
Large-Cap Value Fund		0.75			0.74			0.70			0.65			0.70			0.65			0.60			0.55
Large-Cap Growth Fund		0.75			0.74			0.70			0.65			0.70			0.65			0.60			0.55
Mid-Cap Value Fund		0.69			0.67			0.57			0.51			0.69			0.67			0.57			0.51
Mid-Cap Growth Fund		0.69			0.67			0.57			0.51			0.69			0.67			0.57			0.51
Small-Cap Value Fund		0.69			0.68			0.62			0.61			0.69			0.68			0.62			0.61
Small-Cap Growth Fund		1.00			1.00			1.00			1.00			0.95			0.90			0.90			0.90
Global Low Volatility Equity Fund		0.65			0.64			0.60			0.55			0.65			0.64			0.60			0.55
Pyrford International Stock Fund		0.74			0.72			0.62			0.56			0.74			0.72			0.62			0.56
LGM Emerging Markets Equity Fund		0.90			0.89			0.85			0.80			0.90			0.89			0.85			0.80
	Fee rates applicable from September 1, 2014 through May 31, 2015(1)												Fee rates applicable from June 1, 2015 through August 31, 2015(1)
	Fund’s ADNA												Fund’s ADNA
	on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million			on the first $100 million			on the next $150 million			on the next $250 million			in excess of $500 million
TCH Emerging Markets Bond Fund		0.60	%		0.59	%		0.55	%		0.55	%		0.55	%		0.55	%		0.55	%		0.55	%
Ultra Short Tax-Free Fund		0.20			0.19			0.10			0.10			0.20			0.19			0.17			0.10
Short Tax-Free Fund		0.25			0.24			0.15			0.15			0.20			0.19			0.17			0.15
Short-Term Income Fund		0.20			0.19			0.10			0.10			0.20			0.19			0.17			0.10
Intermediate Tax-Free Fund		0.30			0.29			0.20			0.15			0.25			0.16			0.12			0.10
Mortgage Income Fund		0.40			0.39			0.30			0.25			0.25			0.20			0.20			0.20
TCH Intermediate Income Fund		0.40			0.39			0.30			0.25			0.25			0.20			0.20			0.20
TCH Corporate Income Fund		0.25			0.24			0.15			0.10			0.20			0.19			0.15			0.10
TCH Core Plus Bond Fund		0.25			0.24			0.15			0.10			0.25			0.16			0.12			0.10
Monegy High Yield Bond Fund		0.50			0.50			0.50			0.50			0.50			0.50			0.50			0.50

	Fund’s ADNA										Fund’s ADNA
Fund	on the first $1 billion			on the next $1 billion			in excess of $2 billion			Fund	on the first $2 billion			on the next $2 billion			on the next $2 billion			on the next $2 billion			in excess of $8 billion
Small-Cap Core Fund		0.650	%		0.625	%		0.600	%	Government Money Market Fund		0.200	%		0.185	%		0.170	%		0.155	%		0.140	%
Pyrford Global Equity Fund		0.600			0.575			0.550		Tax-Free Money Market Fund		0.200			0.185			0.170			0.155			0.140
Alternative Strategies Fund(2)		1.700			1.675			1.650		Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090
Multi-Asset Income Fund		0.250			0.225			0.200

(1) Effective June 1, 2015, the investment adviser fees and breakpoint tiers changed for some BMO Funds. Both prior and post effective date fees charged and breakpoint tiers are presented accordingly in the accompanying tables.

(2) Fund inception date is December 16, 2014.

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

158

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, 2016, 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.

	Annualized Contractual Expense Limitation
Fund	Investor Class			Advisor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6
Low Volatility Equity Fund		0.90	%(1)		0.90	%		0.65	%
Dividend Income Fund		0.90	(2)		0.90			0.65
Large-Cap Value Fund		1.20	(3)		1.20	(3)		0.95	(4)
Large-Cap Growth Fund		1.20	(3)		1.20	(3)		0.95	(4)
Mid-Cap Value Fund		1.24			1.24			0.99			1.49	%		0.84	%
Mid-Cap Growth Fund		1.24			1.24			0.99			1.49			0.84
Small-Cap Value Fund		1.24	(2)		1.24			0.99			1.49			0.84
Small-Cap Core Fund		1.15	(2)		1.15			0.90
Small-Cap Growth Fund		1.44						1.19
Global Low Volatility Equity Fund		1.10	(2)		1.10			0.85
Pyrford Global Equity Fund		1.15	(2)		1.15			0.90
Pyrford International Stock Fund		1.24			1.24			0.99			1.49			0.84
LGM Emerging Markets Equity Fund		1.40	(2)		1.40			1.15
TCH Emerging Markets Bond Fund		1.00	(2)		1.00			0.85
Alternative Strategies Fund(5)					2.20			1.95
Ultra Short Tax-Free Fund		0.55			0.55			0.30
Short Tax-Free Fund		0.55			0.55			0.40
Short-Term Income Fund		0.60			0.60			0.35
Intermediate Tax-Free Fund		0.55			0.55			0.50
Mortgage Income Fund		0.80			0.80			0.55
TCH Intermediate Income Fund		0.80	(1)		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
Monegy High Yield Bond Fund		0.90	(2)		0.90			0.65
Multi-Asset Income Fund		0.80	(2)		0.80			0.55
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

(1) Effective through May 19, 2015 (termination of Investor class of shares).

(2) Effective through April 21, 2015 (termination of Investor class of shares).

(3) Effective June 1, 2015. Prior to June 1, 2015, the annual rate was 1.24%.

(4) Effective June 1, 2015. Prior to June 1, 2015, the annual rate was 0.99%.

(5) Fund inception date is December 16, 2014.

For the period ended August 31, 2015, the Adviser chose to voluntarily waive beyond its contractual expense limitations for the following Funds in the following amounts:

Fund	Additional Fees Waived
Government Money Market Fund	$	741,905
Tax-Free Money Market Fund		240,353
Prime Money Market Fund		565,637

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. For the year ended August 31, 2015, the Adviser contractually waived $27,149, $213,337 and $139,388 in Shareholder Services Fees for the Short Tax-Free Fund, Intermediate Tax-Free Fund and TCH Corporate Income Fund, respectively. For the period ended April 21, 2015 (termination of Investor class of shares), the Adviser contractually waived $2,487 in Shareholder Services Fees for the TCH Emerging Markets Bond Fund. The Adviser also may voluntarily choose to waive any additional portion of its fee. The Adviser can modify or terminate this voluntary waiver at any time in its sole discretion. For the year ended August 31, 2015, the Adviser voluntarily waived $309,514, $344,968 and $3,153,847 in Shareholder Services Fees for the Government Money Market Fund, Tax-Free Money Market Fund and Prime Money Market Fund, respectively.

159

Notes to Financial Statements (continued)

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. For the year ended August 31, 2015, the Adviser contractually waived $1,464, $59, $371 and $27 in Distribution Services Fees for the TCH Emerging Markets Bond Fund, Short Tax-Free Fund, Intermediate Tax-Free Fund and TCH Corporate Income Fund, respectively. The Adviser also may voluntarily choose to waive any additional portion of its fee. The Adviser can modify or terminate this voluntary waiver at any time in its sole discretion.

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

Administration Fee Schedule A(1)		Administration Fee Schedule B	Administration Fee Schedule C
Annual Rate	ADNA	Annual Rate	Annual Rate	ADNA
0.0925%	on the first $250 million	0.1500%(2)	0.0400%	on the first $2 billion
0.0850	on the next $250 million		0.0300	on the next $2 billion
0.0800	on the next $200 million		0.0250	on the next $2 billion
0.0400	on the next $100 million		0.0200	on the next $2 billion
0.0200	on the next $200 million		0.0100	in excess of $8 billion
0.0100	in excess of $1.0 billion
Fund		Fund	Fund
Low Volatility Equity Fund		Mid-Cap Value Fund(4)	Government Money Market Fund
Dividend Income Fund		Mid-Cap Growth Fund(4)	Tax-Free Money Market Fund
Large-Cap Value Fund		Small-Cap Value Fund(4)	Prime Money Market Fund
Large-Cap Growth Fund		Small-Cap Core Fund
Small-Cap Growth Fund		Pyrford Global Equity Fund
Global Low Volatility Equity Fund		Pyrford International Stock Fund(4)
LGM Emerging Markets Equity Fund		Alternative Strategies Fund(3)
TCH Emerging Markets Bond Fund		Multi-Asset Income Fund
Ultra Short Tax-Free Fund
Short Tax-Free Fund
Short-Term Income Fund
Intermediate Tax-Free Fund
Mortgage Income Fund
TCH Intermediate Income Fund
TCH Corporate Income Fund
TCH Core Plus Bond Fund
Monegy High Yield Bond Fund

(1) Effective June 1, 2015, Funds listed under Administration Fee Schedule A were changed to follow Administration Fee Schedule B.

(2) Retirement Class R-6 does not pay an Administrative Fee.

(3) Fund inception date is December 16, 2014.

(4) For the period ended August 31, 2015, the Funds with class-specific Administration Fees were as follows:

Fund	Investor Class			Advisor Class		Institutional Class		Retirement Class R-3		Retirement Class R-6
Mid-Cap Value Fund	$	284,077		$	41	$	195,947	$	40	$	—
Mid-Cap Growth Fund		189,354			42		190,071		39		—
Small-Cap Value Fund		65,074	(A)		42,011		20,738		38		—
Pyrford International Stock Fund		130,051			79		601,626		36		—

(A) Refects operations for the period from September 1, 2014 to April 21, 2015 (termination of Investor class of shares)

Custodian Fees—BMO Harris is the Funds’ custodian, except for the International Funds, for which State Street Bank & Trust Company maintains custody. BMO Harris receives fees consisting of 0.005% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO Harris, and 0.0025% on all assets in excess of $10 billion.

160

BMO Funds

Securities Lending—The Funds pay a fee to BMO Harris for its services as the securities lending agent. The securities lending income as shown in the Statements of Operations is net of these fees. The following amounts were paid for the period ended August 31, 2015:

Fund	Fees Paid
Low Volatility Equity Fund	$	6,642
Dividend Income Fund		13,936
Large-Cap Value Fund		21,146
Large-Cap Growth Fund		22,448
Mid-Cap Value Fund		27,288
Mid-Cap Growth Fund		66,754
Small-Cap Value Fund		11,511
Small-Cap Core Fund		627

Fund	Fees Paid
Small-Cap Growth Fund	$	446,747
Short-Term Income Fund		8,988
Mortgage Income Fund		723
TCH Intermediate Income Fund		14,655
TCH Corporate Income Fund		17,818
TCH Core Plus Bond Fund		57,362
Multi-Asset Income Fund		21,795

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 years may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the year with entities that are affiliates as of August 31, 2015 and may include acquisitions of new investments, prior year holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of year-end.

Security/Fund Description	Value Beginning of Period		Purchases		Sales Proceeds		Value End of Period		Dividends Credited to Income		Net Realized Gain (Loss)
Cash Sweep Investments in BMO Government Money Market Fund, Class I, 0.030%
Mortgage Income Fund	$	5,780,283	$	51,630,723	$	55,886,589	$	1,524,417	$	342	$	—
Cash Sweep Investments in BMO Tax-Free Money Market Fund, Class I, 0.040%
Ultra Short Tax-Free Fund		12,646,866		456,495,251		466,335,040		2,807,077		2,777		—
Short Tax-Free Fund		949,266		80,395,840		78,398,171		2,946,935		791		—
Intermediate Tax-Free Fund		15,311,546		458,602,302		454,595,534		19,318,314		4,294		—
Cash Sweep Investments in BMO Prime Money Market Fund, Class I, 0.050%
Low Volatility Equity Fund		848,192		26,308,741		20,911,000		6,245,933		228		—
Dividend Income Fund		2,260,802		24,141,808		23,601,674		2,800,936		441		—
Large-Cap Value Fund		4,567,614		62,304,309		60,911,977		5,959,946		965		—
Large-Cap Growth Fund		2,829,759		115,696,288		114,026,892		4,499,155		983		—
Mid-Cap Value Fund		11,427,237		94,764,268		94,970,087		11,221,418		1,684		—
Mid-Cap Growth Fund		3,959,857		81,566,154		80,886,472		4,639,539		842		—
Small-Cap Value Fund		1,787,767		51,087,826		47,308,780		5,566,813		523		—
Small-Cap Core Fund		70,868		981,668		1,005,057		47,479		14		—
Small-Cap Growth Fund		19,470,988		264,642,045		261,381,852		22,731,181		2,821		—
Short-Term Income Fund		2,146,826		241,028,635		236,530,695		6,644,766		1,356		—
TCH Intermediate Income Fund		4,217,503		122,918,336		122,799,516		4,336,323		1,323		—
TCH Corporate Income Fund		5,075,402		195,700,106		194,689,938		6,085,570		2,202		—
TCH Core Plus Bond Fund		25,586,741		457,849,464		463,795,315		19,640,890		4,261		—
Monegy High Yield Bond Fund		369,393		27,320,517		24,020,029		3,669,881		311		—
Multi-Asset Income		674,071		30,616,294		31,106,931		183,434		212		—
Investments in Other Affiliates
Fund/Security Description
Small-Cap Growth Fund
UCP, Inc., Class A(1)		5,329,500		—		1,126,048		2,451,390		—		(632,192	)
Short Tax-Free Fund
Ultra Short Tax-Free Fund		—		1,651,868		800,020		851,005		2,580		24
Intermediate Tax-Free Fund
Ultra Short Tax-Free Fund		—		5,024,252		—		5,019,275		26,358		149
Multi-Asset Income Fund
Short-Term Income Fund		913,630		343,075		259,850		988,713		16,934		(1,890	)
Monegy High Yield Bond Fund		1,147,979		556,623		323,952		1,237,305		80,107		7,134
Totals		2,061,609		899,698		583,802		2,226,018		97,041		5,244

(1) No longer affiliated as of August 31, 2015.

161

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 August 31, 2015.

Funds utilizing the Interfund lending program, borrowing solely from the BMO Prime Money Market Fund during the year ended August 31, 2015, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Ultra Short Tax-Free Fund	$	6,873		0.693	%
Short Tax-Free Fund		1,697		0.695
Intermediate Tax-Free Fund		13,948		0.694
Mortgage Income Fund		2,289		0.695
TCH Intermediate Income Fund		729		0.693

Investment Transactions—The Funds, on occasion, may purchase or sell a security with another Fund or client of the Adviser pursuant to procedures approved by the Directors.

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

Through January 15, 2015, the Corporation, on behalf of the respective Funds, participated in a $50 million unsecured, committed revolving line of credit (“LOC”) agreement with State Street Bank & Trust Company. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings were charged interest at a rate of 1.25% per annum over the greater of the Federal Funds rate or the London Interbank Offered Rate (“LIBOR”) and included a commitment fee of 0.12% per annum on the daily unused portion. Effective January 16, 2015, the LOC was renewed at $25 million, with a commitment fee of 0.15% per annum on the daily unused portion and an administrative fee of 0.025% per annum on the entire LOC. No borrowings were outstanding under the LOC at August 31, 2015. The Funds did not utilize the LOC during the year ended August 31, 2015.

162

BMO Funds

8. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the year ended August 31, 2015 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
Low Volatility Equity Fund	$	42,339,386	$	31,123,502	$	—	$	—
Dividend Income Fund		64,985,496		56,646,159		—		—
Large-Cap Value Fund		195,384,519		190,618,562		—		—
Large-Cap Growth Fund		246,949,091		258,440,462		—		—
Mid-Cap Value Fund		84,151,430		119,648,979		—		—
Mid-Cap Growth Fund		129,791,000		185,145,240		—		—
Small-Cap Value Fund		57,726,538		43,433,624		—		—
Small-Cap Core Fund		3,247,334		2,476,249		—		—
Small-Cap Growth Fund		422,652,822		551,939,881		—		—
Global Low Volatility Equity Fund		1,566,529		1,297,419		—		—
Pyrford Global Equity Fund		257,667		138,317		—		—
Pyrford International Stock Fund		486,165,042		41,041,924		—		—
LGM Emerging Markets Equity Fund		40,862,209		41,730,263		—		—
TCH Emerging Markets Bond Fund		5,120,489		4,560,543		—		—
Alternative Strategies Fund(1)		50,360,546		27,295,042		—		—
Ultra Short Tax-Free Fund		617,366,330		530,172,949		—		—
Short Tax-Free Fund		99,254,794		72,728,029		—		—
Short-Term Income Fund		110,254,583		71,781,575		88,084,230		24,310,278
Intermediate Tax-Free Fund		893,632,034		489,005,219		—		—
Mortgage Income Fund		4,348,583		3,445,244		48,859,862		57,224,155
TCH Intermediate Income Fund		43,134,425		80,921,735		41,974,543		38,864,838
TCH Corporate Income Fund		197,071,166		90,821,374		21,694,087		14,277,268
TCH Core Plus Bond Fund		330,304,356		212,948,994		212,493,343		129,840,165
Monegy High Yield Bond Fund		35,091,089		33,578,563		—		—
Multi-Asset Income Fund		24,845,147		17,241,436		—		—

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

9. Federal Tax Information

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

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

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

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended August 31, 2015. 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 currency, and the discount accretion/premium amortization of debt securities.

163

Notes to Financial Statements (continued)

	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	$	104,310,082		$	7,810,050	$	(3,222,009	)	$	4,588,041
Dividend Income Fund		167,180,154			16,376,279		(5,984,208	)		10,392,071
Large-Cap Value Fund		348,356,288			39,025,925		(12,683,780	)		26,342,145
Large-Cap Growth Fund		309,332,677			46,592,080		(4,758,205	)		41,833,875
Mid-Cap Value Fund		367,207,468			70,496,800		(11,368,105	)		59,128,695
Mid-Cap Growth Fund		257,838,674			60,414,121		(11,273,999	)		49,140,122
Small-Cap Value Fund		131,569,196			11,746,614		(7,772,229	)		3,974,385
Small-Cap Core Fund		5,520,997			403,775		(373,378	)		30,397
Small-Cap Growth Fund		916,147,704			125,952,963		(81,339,664	)		44,613,299
Global Low Volatility Fund		5,269,470			385,984		(263,514	)		122,470
Pyrford Global Equity Fund		1,543,296			58,049		(156,042	)		(97,993	)
Pyrford International Stock Fund		805,802,423			36,903,359		(80,083,568	)		(43,180,209	)
LGM Emerging Markets Equity Fund		163,235,336			18,838,026		(24,052,004	)		(5,213,978	)
TCH Emerging Markets Bond Fund		9,191,873			65,608		(471,356	)		(405,748	)
Alternative Strategies Fund		36,008,282			990,657		(1,364,068	)		(373,411	)
Ultra Short Tax-Free Fund		763,678,899			1,382,412		(999,148	)		383,264
Short Tax-Free Fund		129,616,347			1,001,535		(309,608	)		691,927
Short-Term Income Fund		370,287,592			846,849		(1,472,381	)		(625,522	)
Intermediate Tax-Free Fund		1,754,750,649			49,619,309		(4,866,948	)		44,752,361
Mortgage Income Fund		115,047,450			2,540,476		(392,598	)		2,147,878
TCH Intermediate Income Fund		126,228,727			622,838		(1,937,144	)		(1,314,306	)
TCH Corporate Income Fund		339,439,995			4,464,961		(10,084,254	)		(5,619,293	)
TCH Core Plus Bond Fund		1,214,459,388			15,936,047		(26,781,923	)		(10,845,876	)
Monegy High Yield Bond Fund		76,542,651			1,138,727		(2,781,455	)		(1,642,728	)
Multi-Asset Income Fund		70,724,067			177,492		(3,923,047	)		(3,745,555	)
Government Money Market Fund		568,761,601	*		—		—			—
Tax-Free Money Market Fund		661,980,235	*		—		—			—
Prime Money Market Fund		3,873,236,680	*		—		—			—

* at amortized cost

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2015 and 2014 was as follows:

	2015						2014
Fund	Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains
Low Volatility Equity Fund	$	3,608,561	$	—	$	1,280,980	$	1,054,029	$	—	$	12,142
Dividend Income Fund		3,621,411		—		7,100,830		3,240,966		—		2,772,596
Large-Cap Value Fund		5,149,082		—		20,618,243		4,017,673		—		12,022,953
Large-Cap Growth Fund		12,930,101		—		21,930,792		9,634,030		—		8,762,754
Mid-Cap Value Fund		7,822,943		—		31,037,272		9,101,983		—		34,599,806
Mid-Cap Growth Fund		820,032		—		34,240,425		12,732,841		—		18,985,770
Small-Cap Value Fund		599,661		—		4,059,349		3,255,130		—		2,539,680
Small-Cap Core Fund		—		—		—		—		—		—
Small-Cap Growth Fund		32,110,510		—		96,656,948		54,758,306		—		42,844,352
Global Low Volatility Equity Fund		53,185		—		—		—		—		—
Pyrford Global Equity Fund		33,464		—		—		—		—		—
Pyrford International Stock Fund		2,655,059		—		—		12,984,772		—		666,055
LGM Emerging Markets Equity Fund		2,422,730		—		—		2,213,603		—		—
TCH Emerging Markets Bond Fund		574,934		—		—		79,800		—		—
Alternative Strategies Fund		—		—		—		—		—		—
Ultra Short Tax-Free Fund		736		4,498,991		23,343		436		5,614,701		169,545
Short Tax-Free Fund		27,354		1,642,272		8,101		93		1,025,728		—
Short-Term Income Fund		3,300,401		—		—		3,273,149		—		—
Intermediate Tax-Free Fund		195,902		37,974,429		—		86,987		32,886,448		—
Mortgage Income Fund		3,603,797		—		—		4,176,352		—		—
TCH Intermediate Income Fund		2,916,603		—		—		2,721,639		—		—
TCH Corporate Income Fund		7,982,948		—		920,229		5,115,960		—		—
TCH Core Plus Bond		30,079,660		—		4,351,530		23,835,203		—		—
Monegy High Yield Bond Fund		4,170,116		—		1,566,305		5,891,477		—		830,552
Multi-Asset Income Fund		1,717,697		—		10,963		380,946		—		—
Government Money Market Fund		63,363		—		—		58,206		—		—
Tax-Free Money Market Fund		57,184		62,197		—		33,997		174,896		4,302
Prime Money Market Fund		449,144		—		—		400,645		—		—

(1) For tax purposes, short-term capital gain distributions are considered ordinary income.

164

BMO Funds

As of August 31, 2015, 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, Dividend Payable, and Other Components			Unrealized Appreciation (Depreciation) on Securities
Low Volatility Equity Fund	$	412,061	$	—	$	2,230,802	$	—		$	—		$	4,588,041
Dividend Income Fund		359,485		—		6,850,723		(65,513	)		—			10,392,071
Large-Cap Value Fund		5,937,708		—		24,169,961		—			—			26,342,145
Large-Cap Growth Fund		6,025,451		—		24,560,519		—			—			41,833,875
Mid-Cap Value Fund		663,123		—		23,092,521		(471,481	)		—			59,128,695
Mid-Cap Growth Fund		—		—		29,191,034		(8,355,734	)		—			49,140,122
Small-Cap Value Fund		—		—		1,934,974		(76,849	)		—			3,974,385
Small-Cap Core Fund		4,642		—		49,665		—			—			30,397
Small-Cap Growth Fund		—		—		40,457,251		(2,242,444	)		(1	)		44,613,299
Global Low Volatility Equity Fund		80,426		—		831		(22,464	)		(118	)		122,470
Pyrford Global Equity Fund		28,609		—		1,826		—			(67	)		(97,993	)
Pyrford International Stock Fund		13,159,615		—		—		(687,291	)		(60,818	)		(43,180,209	)
LGM Emerging Markets Equity Fund		1,456,258		—		—		(3,851,955	)		(4,788	)		(5,213,978	)
TCH Emerging Markets Bond Fund		274,092		—		49,962		—			(139	)		(405,748	)
Alternative Strategies Fund		1,031,826		—		—		—			686,351			(373,411	)
Ultra Short Tax-Free Fund		—		189,177		565,559		—			(200,415	)		383,264
Short Tax-Free Fund		185,879		108,788		141,819		—			(99,903	)		691,927
Short-Term Income Fund		131,591		—		—		(1,669,014	)		(119,312	)		(625,522	)
Intermediate Tax-Free Fund		—		650,730		2,808,572		—			(601,991	)		44,752,361
Mortgage Income Fund		30,696		—		—		(5,083,903	)		(45,624	)		2,812,035
TCH Intermediate Income Fund		61,528		—		—		(22,029,896	)		(71,555	)		(1,314,306	)
TCH Corporate Income Fund		300,525		—		989,894		(81,757	)		(303,223	)		(5,619,293	)
TCH Core Plus Bond Fund		216,051		—		311,730		(16,209	)		(229,156	)		(10,845,876	)
Monegy High Yield Bond Fund		17,969		—		—		(1,862,153	)		(27,356	)		(1,642,728	)
Multi-Asset Income Fund		—		—		—		(793.513	)		1			(3,745,555	)
Government Money Market Fund		7,138		—		—		—			(7,138	)		—
Tax-Free Money Market Fund		—		19,247		3,187		—			(22,381	)		—
Prime Money Market Fund		60,275		—		—		—			(84,238	)		—

At August 31, 2015, certain Funds had capital loss carryforwards, which may reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus will reduce the amount of distributions to shareholders that would otherwise be necessary to relieve the Funds of any liability for federal tax. Pursuant to the Code, such capital loss carryforwards will expire as follows:

							Not Subject to Expiration
Fund	2016		2018		2019		ST		LT		Total
Pyrford International Stock Fund	$	—	$	—	$	—	$	687,291	$	—	$	687,291
LGM Emerging Markets Equity Fund		—		—		—		1,200,915		1,476,955		2,677,870
Short-Term Income Fund		216,882		—		—		608,137		680,831		1,505,850
Mortgage Income Fund		—		—		—		1,568,358		3,376,459		4,944,817
TCH Intermediate Income Fund		—		20,798,157		952,005		—		—		21,750,162
Monegy High Yield Bond Fund		—		—		—		123,197		29,872		153,069

Under The Registered Investment Company Modernization Act of 2010 (the “Modernization Act”), capital losses incurred during the fiscal years beginning after the enactment date of the Modernization Act (December 22, 2010) are carried forward indefinitely and retain the character of the original loss. However, any remaining pre-enactment capital loss carryovers may expire unused, since the post-enactment capital losses are utilized before pre-enactment capital loss carryovers according to the Modernization Act.

During the fiscal year ended August 31, 2015, the Ultra Short Tax-Free, Intermediate Tax-Free and TCH Intermediate Income Funds, respectively, utilized $127,129, $2,496,222 and $611,248 of capital loss carryforwards.

The Short-Term Income and TCH Intermediate Income Funds, had losses expiring during the fiscal year ended August 31, 2015, in the amount of $983,288 and $3,502,554, respectively.

165

Notes to Financial Statements (continued)

As of August 31, 2015, the following Funds had post-October losses, which are deferred until fiscal year 2015 for tax purposes, of:

Fund	Post-October Losses
Dividend Income Fund	$	65,513
Mid-Cap Value Fund		471,481
Mid-Cap Growth Fund		7,653,329
Global Low Volatility Equity Fund		22,464
LGM Emerging Markets Equity Fund		1,174,085
Short-Term Income Fund		163,164
Mortgage Income Fund		139,806
TCH Intermediate Income Fund		279,734
TCH Core Plus Bond Fund		16,209
Monegy High Yield Bond Fund		1,709,084
Multi-Asset Income Fund		793,513

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

As of August 31, 2015, the following Funds had qualified late-year ordinary losses, which are deferred until fiscal year 2016 for tax purposes, of:

Fund	Post-October Losses
Mid-Cap Growth Fund	$	702,405
Small-Cap Value Fund		76,849
Small-Cap Growth Fund		2,242,444

Net late-year losses incurred after December 31, and within the taxable year, are deemed to arise on the first day of the Fund’s next taxable year.

10. Shareholder Tax Information (Unaudited)

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2015, the percentages that qualify for the dividend received deduction available to corporate shareholders were as follows:

Low Volatility Equity Fund	87.44	%
Dividend Income Fund	100.00
Large-Cap Value Fund	64.08
Large-Cap Growth Fund	34.03
Mid-Cap Value Fund	100.00
Mid-Cap Growth Fund	100.00
Small-Cap Value Fund	51.55

Small-Cap Core Fund	100.00	%
Small-Cap Growth Fund	2.27
Global Low Volatility Equity Fund	9.71
Pyrford Global Equity Fund	7.39
LGM Emerging Markets Equity Fund	4.98
Alternative Strategies Fund	12.75
Multi-Asset Income Fund	21.04

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2015, the percentages that are designated as qualified dividend income were as follows:

Low Volatility Equity Fund	99.49	%
Dividend Income Fund	100.00
Large-Cap Value Fund	69.36
Large-Cap Growth Fund	35.91
Mid-Cap Value Fund	100.00
Mid-Cap Growth Fund	100.00
Small-Cap Value Fund	54.09
Small-Cap Core Fund	100.00

Small-Cap Growth Fund	2.15	%
Global Low Volatility Equity Fund	55.07
Pyrford Global Equity Fund	42.60
Pyrford International Stock Fund	56.33
LGM Emerging Markets Equity Fund	100.00
Alternative Strategies Fund	15.31
Multi-Asset Income Fund	14.96

For Federal tax purposes, for the year ended August 31, 2015, the following Funds designate long-term capital gains, or the amounts determined to be necessary, of:

Low Volatility Equity Fund	$	1,280,980
Dividend Income Fund		7,100,830
Large-Cap Value Fund		20,618,243
Large-Cap Growth Fund		21,930,792
Mid-Cap Value Fund		31,037,272
Mid-Cap Growth Fund		34,240,425

Small-Cap Value Fund	$	4,059,349
Small-Cap Growth Fund		96,656,948
TCH Corporate Income Fund		920,229
TCH Core Plus Bond Fund		4,351,530
Monegy High Yield Bond Fund		1,566,305
Multi-Asset Income Fund		10,963

166

BMO Funds

For Federal tax purposes, for the year ended August 31, 2015, the following Funds designate qualified short-term capital gains, or the amounts determined to be necessary, of:

Low Volatility Equity Fund	$	2,586,784
Dividend Income Fund		593,733
Large-Cap Value Fund		3,248,130
Large-Cap Growth Fund		12,567,203
Mid-Cap Value Fund		7,243,997
Mid-Cap Growth Fund		820,032
Small-Cap Value Fund		599,661
Small-Cap Growth Fund		32,110,510

Global Low Volatility Fund	$	18,537
Pyrford Global Equity Fund		7,513
Pyrford Emerging Markets Bond Fund		228,066
TCH Core Plus Bond Fund		524,909
Monegy High Yield Bond Fund		193,070
Multi-Asset Income Fund		7,637
Government Money Market Fund		1,022
Tax-Free Money Market Fund		57,154

For Federal tax purposes, for the year ended August 31, 2015, the following Funds designate qualified tax-exempt dividends, or the amounts determined to be necessary, of:

Ultra Short Tax-Free Fund	$	4,498,991
Short Tax-Free Fund		1,642,272
Intermediate Tax-Free Fund		37,974,429
Tax-Free Money Market Fund		62,197

For the year ended August 31, 2015, Pursuant to Section 853 of the Code, the following Funds designate income derived from foreign sources and foreign taxes paid, or the amounts determined to be necessary, of:

Fund	Income Derived from Foreign Sources		Foreign Taxes Paid
Global Low Volatility Equity Fund	$	78,907	$	6,768
Pyrford Global Equity Fund		21,453		1,327
Pyrford International Stock Fund		12,952,593		695,282
LGM Emerging Markets Equity Fund		3,883,797		322,078

Of the ordinary income (including short-term capital gain) distributions made during the year ended August 31, 2015, the proportionate share of income derived from foreign sources and foreign taxes paid attributable to one share of stock are:

	Foreign Source Income		Foreign Taxes Paid
Global Low Volatility Equity Fund	$	0.2088	$	0.0179
Pyrford Global Equity Fund		0.1728		0.0107
Pyrford International Stock Fund		0.2102		0.0113
LGM Emerging Markets Equity Fund		0.3165		0.0262

11. Recently Issued Accounting Pronouncements

In June 2014, the FASB issued Accounting Standards Update (“ASU”) No. 2014-11 Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The amendments in this ASU require an entity to modify accounting for repurchase-to-maturity transactions and repurchase financing arrangements, as well as modify required disclosures for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions that are accounted for as secured borrowings. The guidance is effective for fiscal years beginning on or after December 15, 2014, and for interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Fund’s financial statement disclosures.

In May 2015, the FASB issued ASU No. 2015-07 (“ASU 2015-07”) eliminating the requirement for investments measured at net asset value to be categorized within the fair value hierarchy under GAAP and requiring the disclosure of sufficient information to reconcile the fair value of the remaining assets categorized within the fair value hierarchy to the financial statements. ASU 2015-07 is effective for interim and annual reporting periods beginning after December 15, 2015. Management has reviewed the requirements and believes the adoption of ASU 2015-07 will not have a material impact on the financial statements.

12. Subsequent Events

The BMO Disciplined International Equity Fund and BMO Global Long/Short Equity Fund commenced operations with the inception date of September 17, 2015.

167

Report of Independent Registered Public Accounting Firm

The Shareholders and Board of Directors BMO Funds, Inc.:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BMO Low Volatility Equity Fund, BMO Dividend Income Fund, BMO Large-Cap Value Fund, BMO Large-Cap Growth Fund, BMO Mid-Cap Value Fund, BMO Mid-Cap Growth Fund, BMO Small-Cap Value Fund, BMO Small-Cap Core Fund, BMO Small-Cap Growth Fund, BMO Global Low Volatility Equity Fund, BMO Pyrford Global Equity Fund, BMO Pyrford International Stock Fund, BMO LGM Emerging Markets Equity Fund, BMO TCH Emerging Markets Bond Fund, BMO Alternative Strategies Fund, BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, BMO Short-Term Income Fund, BMO Intermediate Tax-Free Fund, BMO Mortgage Income Fund, BMO TCH Intermediate Income Fund, BMO TCH Corporate Income Fund, BMO TCH Core Plus Bond Fund, BMO Monegy High Yield Bond Fund, BMO Multi-Asset Income Fund, BMO Government Money Market Fund, BMO Tax-Free Money Market Fund, and BMO Prime Money Market Fund (each a series of BMO Funds, Inc., collectively referred to as the Funds) as of August 31, 2015, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2015, by correspondence with custodians and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2015, the results of their operations, the changes in their net assets, and the financial highlights for the periods specified in the first paragraph, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Milwaukee, Wisconsin

October 26, 2015

168

Directors and Officers of the Funds

The following tables provide information about each director and officer of the Funds as of August 31, 2015. The address of each director is c/o BMO Funds, 111 East Kilbourn Avenue, Suite 200, Milwaukee, Wisconsin 53202. There are currently 44 separate portfolios or funds in the BMO Funds complex, of which 43 are registered as BMO Funds, Inc. and one is registered as BMO LGM Frontier Markets Equity Fund with the Securities and Exchange Commission. The Funds’ Statement of Additional Information includes additional information about the directors and is available, without charge and upon request, by calling 1-800-236-FUND (3863).

INDEPENDENT DIRECTORS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director
Larry D. Armel Age: 73	Independent Director	Since September 2006	Retired; formerly, Chairman, Gold Bank Funds, from 2002 to 2005.	44	None
Ridge A. Braunschweig Age: 62	Independent Director	Since October 2009	President and Chief Executive Officer, CPL Industries, Inc. (a manufacturing holding company prior to May 2009 and a family office since May 2009), since January 2012; Executive Vice President and Chief Financial Officer, CPL Industries, Inc., from 2000 to 2012.	44	None
Benjamin M. Cutler Age: 70	Independent Director	Since July 2004	Chairman, CEO and President, USHEALTH Group, Inc. (a health insurance company), since September 2004.	44	None
John A. Lubs Age: 67	Independent Director	Since July 2004	Retired; formerly, Vice Chairman, Mason Companies, Inc. (a footwear distributor), from 2004 to 2010 and Chief Operating Officer, from 2003 to 2010.	44	None
James Mitchell Age: 68	Independent Director	Since March 1999	Chairman, Ayrshire Precision Engineering (a precision machining company), since 1992; Chief Executive Officer, NOG, Inc. (a metal processing and consulting company), from 1999 to 2015.	44	None
Barbara J. Pope Age: 67	Independent Director	Since March 1999	President of Barbara J. Pope, P.C. (a financial consulting firm), since 1992; President of Sedgwick Street Fund LLC (a private investment partnership), since 1996; formerly, Tax Partner, Price Waterhouse.	44	None
* Each director serves an indefinite term until he or she retires or otherwise resigns, is removed, dies, or until his or her successor is duly elected. Retirement for a director occurs no later than August 31 following his or her 75th birthday.

169

Directors and Officers of the Funds (continued)

INTERESTED DIRECTORS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director
John M. Blaser** Age: 58	Director and President	Since May 1999	Managing Director of the Adviser, since June 2012; Vice President of the Adviser, from 1998 to 2012.	44	None
Christopher B. Begy** Age: 61	Director	Since August 2013	President, CEO and a Director of BMO Financial Corp. and U.S. Country Head, since August 2013; Chair, BMO Harris Bank N.A., since August 2013; Director of the Adviser, since August 2013; Chief Auditor of BMO Financial Group, from 2001 to 2013.	44	None

* Each director serves an indefinite term until he or she retires or otherwise resigns, is removed, dies or until his or her successor is duly elected.
Retirement for a director occurs no later than August 31 following his or her 75th birthday.

** Mr. Blaser is an “interested person” of the Corporation (as defined in the 1940 Act) due to the positions that he holds with the Corporation, and the
Adviser. Mr. Begy is an “interested person” of the Corporation due to the positions that he holds with the Adviser and BMO.

PRINCIPAL OFFICERS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
Timothy M. Bonin Age: 42	Chief Financial Officer and Treasurer	Elected by the Board annually; since February 2006	Vice President of the Adviser, since February 2006.
John D. Boritzke Age: 59	Vice President	Elected by the Board annually; since October 2001	Managing Director of the Adviser, since 2012; Vice President of BMO Harris Bank N.A., since 2008; Senior Vice President of the Adviser, 2008 to 2012.
Stephen R. Oliver Age: 64	Chief Compliance Officer and Anti-Money Laundering Compliance Officer	Elected by the Board annually; Chief Compliance Officer, since July 2008; and Anti-Money Laundering Officer, since January 2009	Vice President of BMO Harris Bank N.A., since March 2006; Vice President of BMO Investment Distributors, LLC, 2007 to 2014.
Michele L. Racadio Age: 40	Secretary	Elected by the Board annually; since November 2012	Senior Counsel and Vice President of BMO Harris Bank N.A., since 2012; Associate, Godfrey & Kahn, S.C., 2006 to 2012.

170

Shareholder Report Disclosure of Directors’
Approval of Advisory Contracts

Approval of Continuation of Advisory and Subadvisory Agreements

During the reporting period, the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), approved the continuation of the following agreements, all for an additional year ending August 31, 2016: (1) the investment advisory agreement (the “Advisory Agreement”) between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of each portfolio of the Corporation (each, a “Fund” and collectively, the “Funds”); (2) an investment subadvisory agreement with each of the following subadvisers that are affiliates of the Adviser: (i) Taplin, Canida & Habacht, LLC on behalf of BMO TCH Emerging Markets Bond Fund, BMO TCH Intermediate Income Fund, BMO TCH Corporate Income Fund and BMO TCH Core Plus Bond Fund; (ii) LGM Investments Limited on behalf of BMO LGM Emerging Markets Equity Fund; (iii) Monegy, Inc. on behalf of BMO Monegy High Yield Bond Fund; (iv) Pyrford International Ltd. on behalf of BMO Pyrford Global Equity Fund and BMO Pyrford International Stock Fund; and (v) CTC myCFO, LLC (“CTC”) on behalf of BMO Alternative Strategies Fund; and (3) an investment subadvisory agreement on behalf of BMO Alternative Strategies Fund with each of the following subadvisers that are not affiliated with the Adviser: (i) Capstone Investment Advisors, LLC; (ii) Cramer Rosenthal McGlynn, LLC; (iii) Graham Capital Management L.P.; (iv) Iridian Asset Management LLC; (v) Pine River Capital Management, L.P.; and (vi) Sound Point Capital Management, L.P. The subadvisers listed above are referred to herein each as a “Subadviser” and collectively as the “Subadvisers.” The subadvisory agreements listed above are referred to herein each as a “Subadvisory Agreement” and collectively as the “Subadvisory Agreements.”

At Board meetings held on July 8, 2015 (“July Meeting”) and August 11-12, 2015 (“August Meeting”), the Board met with management of the Adviser regarding the annual approval of the continuation of the Funds’ Advisory and Subadvisory Agreements. In connection with its consideration of the Advisory and Subadvisory Agreements, the Board considered the information furnished and discussed throughout the year at regularly scheduled Board and Committee meetings, as applicable, and the information provided specifically in relation to the annual consideration of the approval of the Advisory Agreement and Subadvisory Agreements in response to requests of the Independent Directors and their independent legal counsel. Information furnished in connection with Board or Committee meetings throughout the year included, among other things, presentations given by the portfolio managers of the Funds on each Fund’s investment strategies, risks and performance, comparative performance of each Fund against its benchmark indices; reports regarding each Fund’s asset levels including sales and redemption activities; and various reports on the monitoring of the Funds’ compliance with the securities laws, regulations, policies and procedures. In preparation for the Board’s annual consideration of the approval of the Advisory and Subadvisory Agreements, the Directors requested and received a wide variety of information and reports concerning the Adviser, its affiliates and the Subadvisers, including information on: (1) the nature, extent and quality of services provided to each Fund by the Adviser (and its affiliates) and the Subadvisers, as applicable; (2) the investment performance of each Fund and of a group of comparable funds; (3) the level of the advisory and subadvisory fees charged to each Fund and to: (a) other clients of the Adviser and the Subadvisers; and (b) a group of comparable funds; (4) the expense ratios of each Fund and of a group of comparable funds; (5) profitability information of the Adviser and its affiliates, and, to the extent made available, certain profitability information of the Subadvisers; and (6) the Adviser’s and each Subadviser’s compliance program. The Board also considered information related to potential “fall out” or ancillary benefits enjoyed by the Adviser (and its affiliates) and each Subadviser as a result of their relationships with the Funds. In addition to evaluating, among other things, the written information provided by the Adviser, the Board also considered the answers to questions posed by the Board to representatives of the Adviser at various meetings.

In evaluating the Advisory and Subadvisory Agreements, the Board members took into account their accumulated experience in working with the Adviser on matters related to the Funds. The Independent Directors also met separately in executive session with their independent legal counsel to review and consider the information provided regarding the Advisory Agreement and the Subadvisory Agreements.

Based on their review, the Independent Directors and the full Board concluded that it was in the best interests of each Fund to approve the continuation of each Advisory and Subadvisory Agreement, as applicable. Although the Advisory Agreement and Subadvisory Agreements for all of the Funds were considered at the same Board meeting, the Directors considered each Fund separately. In their deliberations, the Board did not identify any single factor or group of factors as all-important or controlling but considered all factors together. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

Nature, Extent and Quality of Services

In evaluating the nature, extent and quality of the services provided by the Adviser and each Subadviser to the Funds, the Board reviewed information describing the financial strength, experience, resources and key personnel of the Adviser and each Subadviser, including the personnel who provide investment management services to the Funds. With respect to the Adviser, the Board considered the administrative services that are provided to each Fund, as well as other services performed by the Adviser, including the selection and monitoring of the Subadvisers, as applicable; monitoring of the execution of portfolio transactions; monitoring adherence to the Funds’ investment restrictions; monitoring the Funds’ compliance with their compliance policies and procedures and with applicable securities laws and regulations; producing shareholder reports; providing support services for the Board and Board committees; communicating with shareholders; and overseeing the activities of other service providers. The Board also considered the Adviser’s experience in providing investment advisory services to funds and the differentiation of the advisory services provided by the management team versus the portfolio management services provided by the Subadvisers, as applicable. With respect to each Subadviser, the

171

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

Board noted each Subadviser’s experience in managing the strategies of its respective Fund and each Subadviser’s compliance program as it relates to the Fund. The Board considered the other services provided by the Subadvisers under the Subadvisory Agreements, including selecting broker-dealers for execution of portfolio transactions; monitoring adherence to the Fund’s investment restrictions; and assisting with portfolio compliance with securities laws, regulations, policies and procedures. With respect to CTC, the Board noted CTC’s experience in the alternative strategies space, its Subadviser selection process and its responsibility for assisting the Adviser in the selection of the Subadvisers and related asset allocation.

Based upon this review, the Board concluded that the nature, quality, and extent of the services to be provided to the Fund by the Adviser and each Subadviser are expected to be satisfactory.

Review of Fund Performance

The Board reviewed the investment performance of each of the Funds. While consideration was given to performance reports provided in connection with, and discussions held at, regular Board meetings throughout the year, particular attention was given to the performance reports provided specifically in connection with the July and August Meetings. In particular, the Directors noted the performance of each Fund relative to its Lipper Inc. (“Lipper”) peer universe. The Directors also considered updated performance information for each Fund relative to its benchmark and, if applicable, its Morningstar, Inc. (“Morningstar”) ratings.

With respect to each Fund’s performance as compared to its Lipper peer universe (“peer group”), the Board reviewed each Fund’s performance percentile rankings over the year-to-date and one-, three-, five- and ten-year trailing periods (if applicable) through June 30, 2015, as provided by the Adviser. The Board considered the performance of the Funds that have investment performance histories of less than three years and noted that each such Fund ranked in one of the top two quartiles for performance as compared to their peer groups in either the one-year or year-to-date periods, except for the BMO Pyrford Global Equity Fund and the BMO Multi Asset Income Fund. With respect to each of these Funds, the Board took into consideration that each Fund has a very limited performance history of less than two full years. With respect to the BMO Pyrford Global Equity Fund, the Board also noted the Adviser’s explanation that the Fund’s country allocation and stock selection has been somewhat defensive due to the Adviser’s gloomy outlook for Europe, which has impacted the Fund’s performance against its peers. With respect to the BMO Multi Asset Income Fund, the Board also considered that the Fund’s performance has improved by outperforming its benchmark indices for the quarter ended June 30, 2015.

With respect to the Funds with performance histories of three years or more, the Board considered that each Fund’s performance history over the year-to-date and one-, three- and five-year (if available) periods was in one of the top two quartiles for performance as compared to its Lipper peer group in at least two of the periods reviewed, except for the BMO Mid-Cap Growth Fund, the BMO Small-Cap Value Fund and the BMO Pyrford International Stock Fund.

With respect to the BMO Mid-Cap Growth Fund’s performance, the Board considered the Adviser’s explanation that the Fund has a lower average market cap than its peer group, which affected its relative performance. The Board also considered that the Fund was ranked with three stars by Morningstar and compared reasonably well to its benchmark index when taking into account the fees and expenses of the Fund.

With respect to the BMO Small-Cap Value Fund’s performance, the Board considered that the Fund’s three-year returns were in the top quartile of its peers; it is ranked four stars by Morningstar; and it outperformed its benchmark index for the three-year period ending June 30, 2015. In addition, the Board considered the Adviser’s explanation that the fundamental investment process executed for the Fund remains disciplined and true-to-style, regardless of poorer short-term relative returns.

With respect to the BMO Pyrford International Equity Fund the Board noted the Adviser’s explanation that the Fund’s country allocation and stock selection has been somewhat defensive due to the Adviser’s gloomy outlook for Europe, which has impacted the Fund’s performance against its peers. The Board also considered that the Fund was ranked with three stars by Morningstar.

The Board determined that it was generally satisfied with each Fund’s performance and would continue to monitor each Fund’s performance results.

Costs of Services Provided and Profits Realized by the Adviser and Subadvisers

The Board considered the fees payable by each Fund under the Advisory Agreement and each Subadvisory Agreement. The Board first reviewed the management fees charged to comparable accounts managed by the Adviser and the Subadvisers of each Fund, if any, taking into consideration differences in style, size and services provided to such other accounts. The Board noted that, in some cases, the fees for certain accounts or average fees for certain investment strategies were lower than the fees charged to certain Funds with similar investment strategies. The Board considered the Adviser’s explanation that registered investment companies generally require additional advisory and administrative services than other clients due to the enhanced regulatory structure and legal requirements with which investment companies must comply. With respect to the Subadvisers, the Board also considered the affiliation of each Subadviser (if any) with the Adviser.

The Board next reviewed information provided by the Adviser comparing each Fund’s contractual advisory fee to the median fee of its Morningstar peer category (“Morningstar peers”) and to the median and average of its Strategic Insight’s Simfund peer category (“Simfund peers”). In addition, the Board reviewed information provided by the Adviser comparing each Fund’s net expense ratio to the median net expense ratio of the comparable Morningstar peer group and Lipper Inc. peer group (“Lipper peers”). With respect to the Subadvisers, the Board considered the proposed fees payable under the Subadvisory Agreements, noting that the fees would be paid by the Adviser (not the Fund).

172

BMO Funds

The Board noted that all of the Funds’ contractual advisory fees were lower than or equal to the median of their Morningstar or Simfund peers except: BMO Large Cap Value Fund, BMO Large Cap Growth Fund, BMO Small Cap Growth Fund and BMO Alternative Strategies Fund. The Board considered that, with respect to the BMO Large Cap Value Fund, BMO Large Cap Growth Fund and BMO Small Cap Growth Fund, each Fund’s net expense ratio compared favorably (within five basis points) of the average of its Lipper peers. The Board considered that the Adviser has agreed to contractual expense limitations for the Funds (the “Expense Limitations”), and that the net expense ratios for the Funds take into account the effect of the Expense Limitations. The Board also viewed favorably the Adviser’s money fund fee waivers to avoid a negative yield in the low rate environment.

With respect to the BMO Alternative Strategies Fund, the Board noted that the contractual investment advisory fees and the net expense ratio were higher than the medians of its Morningstar, Lipper and Simfund peer groups. The Board considered the Adviser’s explanation that the peer categories within which the Fund is placed include funds that are single-strategy funds. The Board then considered additional data provided by the Adviser comparing the Fund’s advisory fee and net expense ratio with a group of multiple strategy funds within the Simfund peer group and noted that the Fund’s contractual advisory fee and net expense ratio were lower than the median of that smaller peer group.

The Board considered the methodology used by the Adviser and each Subadviser in determining compensation payable to its portfolio managers and the competitive environment for investment management talent. The Board also considered the financial condition of the Adviser and certain of its affiliates and each Subadviser, and particularly focused on the financial strength of the ultimate parent company of the Adviser, and the parent company’s commitment, financial and otherwise, to the global asset management business and the Funds.

The Board reviewed profitability information it received from the Adviser in connection with the services provided to each Fund and the Corporation as a whole. The materials provided in this regard showed, and the Directors acknowledged, that the Adviser experienced positive net margins with respect to certain Funds and did not experience positive net margins with respect to other Funds. The Board also reviewed and considered profitability information it received from each Subadviser, if provided, in connection with the services provided to each Fund.

Economies of Scale

The Board considered the extent to which economies of scale would be realized as the Funds grow and whether the Funds’ fee levels reflect these economies of scale for the benefit of Fund shareholders. The Board considered each Fund’s fee structure, asset size and net expense ratio giving effect to each Fund’s Expense Limitation. The Board also considered the Adviser’s commitment to continue to evaluate advisory fee breakpoints in the future.

Other Benefits to the Adviser and Subadvisers

The Board considered benefits that accrue to the Adviser and its affiliates from their relationships with the Funds, including revenue in the form of administration fees, custody fees, shareholder service fees and securities lending revenue. In addition, the Board considered information relating to any soft dollar arrangements in connection with equity security brokerage transactions for the Funds and/or other clients. The Board noted that, other than the services provided by the Adviser and Subadvisers pursuant to the Advisory and Subadvisory Agreements and the related fees to be paid by each Fund, the Adviser and Subadvisers may potentially benefit from their relationship with each other in other ways. The Board also considered that the success of any Fund could attract other business to the Adviser and that the success of the Adviser could enhance the Adviser’s ability to serve the Funds.

The Board concluded that, taking into account all of the information reviewed, each Fund’s advisory and subadvisory fee was reasonable.

Overall Conclusions

Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory and Subadvisory Agreements are fair and reasonable and that the approval of the continuation of the Advisory Agreement and each Subadvisory Agreement is in the best interests of each applicable Fund.

Approval of Amendments to the Fee Schedule of the Advisory Agreement

At a meeting held on May 5 and 6, 2015 (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 as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), considered an amendment to the investment advisory agreement (the “Advisory Agreement”) between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of the portfolios of the Corporation (each a “Fund” and collectively the “Funds”) to reflect an amended fee schedule for certain Funds. The contractual fee schedule for each affected Fund was being amended to reflect to reduced advisory fees in connection with a change to the Funds’ administration fees to a flat fee schedule. In approving the amended fee schedule, the Board took into consideration that the contractual fee to be paid to the Adviser by each Fund under the amended fee schedule would be not be less advantageous to the Fund and its shareholders. In addition, the Board considered that the Adviser represented that the nature and quality of services the Adviser provides to each Fund would not be affected by the change in fee schedule.

173

NOTES

174

NOTES

175

NOTES

176

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.

© 2015 BMO Financial Corp. (9/15)

BMO Funds August 31, 2015

Annual report

Target Retirement Funds

Target Risk Funds

Table of Contents

Commentaries
Target Retirement Funds Commentary	2
BMO Target Retirement 2010 Fund	3	BMO Target Retirement 2035 Fund	5
BMO Target Retirement 2015 Fund	3	BMO Target Retirement 2040 Fund	6
BMO Target Retirement 2020 Fund	4	BMO Target Retirement 2045 Fund	6
BMO Target Retirement 2025 Fund	4	BMO Target Retirement 2050 Fund	7
BMO Target Retirement 2030 Fund	5	BMO Target Retirement 2055 Fund	7
Target Risk Funds Commentary	8
BMO Conservative Allocation Fund	9
BMO Moderate Allocation Fund	9	BMO Growth Allocation Fund	10
BMO Balanced Allocation Fund	10	BMO Aggressive Allocation Fund	11
Financial Information
Expense Example			12
Schedules of Investments:
BMO Target Retirement 2010 Fund	15
BMO Target Retirement 2015 Fund	15	BMO Target Retirement 2050 Fund	19
BMO Target Retirement 2020 Fund	16	BMO Target Retirement 2055 Fund	20
BMO Target Retirement 2025 Fund	16	BMO Conservative Allocation Fund	20
BMO Target Retirement 2030 Fund	17	BMO Moderate Allocation Fund	21
BMO Target Retirement 2035 Fund	18	BMO Balanced Allocation Fund	22
BMO Target Retirement 2040 Fund	18	BMO Growth Allocation Fund	22
BMO Target Retirement 2045 Fund	19	BMO Aggressive Allocation Fund	23
Notes to Schedules of Investments			23
Statements of Assets and Liabilities			24
Statements of Operations			27
Statements of Changes in Net Assets			30
Financial Highlights			35
Notes to Financial Statements			39
Report of Independent Registered Public Accounting Firm			57
Directors and Officers of the Funds			58
Shareholder Report Disclosure of Directors’ Approval of Advisory Contracts			60

Not FDIC Insured No Bank Guarantee May Lose Value

Annual Report — Commentary BMO Target Retirement Funds

Fund Managers; Investment Experience

Jon Adams, CFA; since 2002

Sandy Lincoln; since 1972

Alan W. Schwartz, CFA; since 1981

Lowell Yura, CFA, ASA; since 1990

The markets proved challenging this past year on fears of slowing global growth and diverging central bank policies, with the Federal Reserve looking to normalize their easy monetary policy while most foreign central banks are embarking on more accommodative monetary policies. The S&P 500 Stock Index was virtually flat with a 0.50% total return, while the Russell Midcap^® and Russell 2000^® Indices were practically unchanged over the past 12 months. Foreign markets took the brunt of the slowing growth fears as the developed market Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE) lost 7.47%, while the Morgan Stanley Capital International Emerging Markets Index reached bear market territory with a decline of 22.95%. The bond market continued to surprise most rate forecasters as the yield on the 10-year U.S. Treasury declined from 2.30% to 2.20% during the period while corporate spreads widened, resulting in a modest return of 1.55% for the Barclays U.S. Aggregate Bond Index.

The BMO Target Retirement Funds generally performed in-line with their respective peers and benchmarks with returns ranging from -1.94% for the BMO Target Retirement 2010 Fund to -3.46% for the BMO Target Retirement 2040 Fund for the fiscal year ended August 31, 2015. On the fixed income side, our core bond funds trailed the Barclays U.S. Aggregate Bond Index due to an underweight to U.S. Treasuries and an overweight to credit. All of the non-core bond funds also trailed, with BMO Monegy High Yield Bond Fund (-2.46%) and TCW Emerging Markets Income Fund (-7.50%) the biggest detractors. In large-cap equities, 3 of 6 active managers outpaced the Vanguard Institutional Index (+0.50%), led by Harbor Capital Appreciation Fund (+7.00%) and T. Rowe Price Growth Fund (+8.50%). BMO Dividend Income Fund (-3.38%) and Vanguard Equity Income Fund (-2.40%) were the biggest detractors. Vanguard Mid-Cap Index Fund (+2.20%) led the way in the mid and small-cap arena while BMO Mid-Cap Value Fund (-3.29%) and BMO Mid-Cap Growth Fund (-2.61%) were the biggest detractors. On the international front, only MFS International Value Fund (+1.10%) and DFA International Small Company Fund (-6.40%) outpaced the MSCI EAFE Index while Dodge & Cox International Fund (-14.10%) was the biggest laggard. In emerging markets, our two funds held up considerably better than the -22.95% for the index, led by BMO LGM Emerging Markets Equity Fund (-13.88%). Alternatives didn’t provide much relief either over the past year as the Vanguard REIT Index was flat, while the modest allocation to the Credit Suisse Commodity Fund returned -28.30%, led by a collapse in oil.

This current bull market may appear long in the tooth and the recent correction and heightened volatility has many wondering if they should exit the markets and sit on the sidelines. Our decades of experience along with numerous studies show that market timing can be detrimental to your returns. The best way to combat volatility is to stay with a disciplined, broadly diversified portfolio that allows you to reap the compounding benefits of the longer term returns that the markets deliver. When we look beyond the daily “noise” and short-term fixation of the markets, we see a U.S. recovery at mid-cycle and the Euro area recovery in the early stages. Valuations also appear more attractive in the developed markets overseas, which led us to increase those equity allocations over the past year. The emerging markets slowdown has added to the volatility, but it should not derail the global expansion that is underway. On the bond side, we are complementing our core managers with a mix of high yield, emerging markets, floating rate, and unconstrained managers to weather the likely rise in interest rates that lies ahead as the economy gains momentum and the Federal Reserve unwinds their easy money policy.

2

Annual Report — Commentary BMO Target Retirement Funds

BMO Target Retirement 2010 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
									Gross		Net
Investor Class (Y)		(1.94	)		4.81	BTRYX	09658L125	8/30/2013		1.61		0.86
Institutional Class (I)		(1.73	)		5.06	BTRIX	09658L158	8/30/2013		1.36		0.61
Retirement Class (R-3)		(2.24	)		4.52	BTRRX	09658L141	8/30/2013		1.86		1.11
Retirement Class (R-6)		(1.54	)		5.24	BTRTX	09658L133	8/30/2013		1.21		0.46
Standard & Poor’s Target Date 2010 Index		(0.52	)		4.52
Lipper Mixed-Asset Target 2010 Funds Index		(1.94	)		4.31
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						18.4
						Mid-Cap Funds						4.2
						Small-Cap Funds						1.7
						International Funds						11.9
						Fixed Income Funds						60.6
						Alternative Funds						1.6
						Other Assets & Liabilities, Net						1.6
						Total						100.0
BMO Target Retirement 2015 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
									Gross		Net
Investor Class (Y)		(2.27	)		2.93	BRTAX	09658V750	12/27/2013		74.10		0.89
Institutional Class (I)		(2.10	)		3.21	BRTBX	09658V743	12/27/2013		73.85		0.64
Retirement Class (R-3)		(2.50	)		2.67	BRTCX	09658V735	12/27/2013		74.35		1.14
Retirement Class (R-6)		(1.92	)		3.38	BRTDX	09658V727	12/27/2013		73.70		0.49
Standard & Poor's Target Date 2015 Index		(1.18	)		2.51
Lipper Mixed-Asset Target 2015 Funds Index		(1.62	)		2.25
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						24.3
						Mid-Cap Funds						6.9
						Small-Cap Funds						2.8
						International Funds						16.7
						Fixed Income Funds						45.8
						Alternative Funds						1.8
						Other Assets & Liabilities, Net						1.7
						Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2015.

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

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2014, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2016 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s Target Date Indexes are designed to measure the performance of an asset allocation strategy that meets the objectives of investors with an approximate corresponding retirement date horizon.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

3

Annual Report — Commentary BMO Target Retirement Funds

BMO Target Retirement 2020 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
									Gross		Net
Investor Class (Y)		(2.58	)		6.04	BTRDX	09658V404	8/30/2013		1.22		0.92
Institutional Class (I)		(2.33	)		6.31	BTREX	09658V107	8/30/2013		0.97		0.67
Retirement Class (R-3)		(2.88	)		5.79	BTRFX	09658V206	8/30/2013		1.47		1.17
Retirement Class (R-6)		(2.28	)		6.46	BTRGX	09658V305	8/30/2013		0.82		0.52
Standard & Poor’s Target Date 2020 Index		(1.60	)		6.31
Lipper Mixed-Asset Target 2020 Funds Index		(2.14	)		5.56
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						28.6
						Mid-Cap Funds						8.5
						Small-Cap Funds						3.7
						International Funds						20.1
						Fixed Income Funds						35.8
						Alternative Funds						2.3
						Other Assets & Liabilities, Net						1.0
						Total						100.0
BMO Target Retirement 2025 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
				Since inception
	1-year								Gross		Net
Investor Class (Y)		(2.89	)		2.77	BRTEX	09658V719	12/27/2013		25.20		0.93
Institutional Class (I)		(2.59	)		3.07	BRTFX	09658V693	12/27/2013		24.95		0.68
Retirement Class (R-3)		(3.06	)		2.55	BRTGX	09658V685	12/27/2013		25.45		1.18
Retirement Class (R-6)		(2.45	)		3.21	BRTHX	09658V677	12/27/2013		24.80		0.53
Standard & Poor’s Target Date 2025 Index		(1.97	)		2.65
Lipper Mixed-Asset Target 2025 Funds Index		(2.21	)		2.43
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						31.9
						Mid-Cap Funds						9.8
						Small-Cap Funds						4.8
						International Funds						22.7
						Fixed Income Funds						26.6
						Alternative Funds						2.5
						Other Assets & Liabilities, Net						1.7
						Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2015.

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

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2014, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2016 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s Target Date Indexes are designed to measure the performance of an asset allocation strategy that meets the objectives of investors with an approximate corresponding retirement date horizon.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

4

Annual Report — Commentary BMO Target Retirement Funds

BMO Target Retirement 2030 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
									Gross		Net
Investor Class (Y)		(3.07	)		7.06	BTRHX	09658V800	8/30/2013		1.29		1.00
Institutional Class (I)		(2.85	)		7.32	BTRJX	09658V503	8/30/2013		1.04		0.75
Retirement Class (R-3)		(3.39	)		6.76	BTRKX	09658V602	8/30/2013		1.54		1.25
Retirement Class (R-6)		(2.70	)		7.47	BTRLX	09658V701	8/30/2013		0.89		0.60
Standard & Poor’s Target Date 2030 Index		(2.31	)		6.97
Lipper Mixed-Asset Target 2030 Funds Index		(3.04	)		6.55
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						35.3
						Mid-Cap Funds						10.9
						Small-Cap Funds						5.2
						International Funds						25.3
						Fixed Income Funds						19.1
						Alternative Funds						3.0
						Other Assets & Liabilities, Net						1.2
						Total						100.0
BMO Target Retirement 2035 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
				Since inception
	1-year								Gross		Net
Investor Class (Y)		(3.43	)		2.03	BRTIX	09658V669	12/27/2013		24.25		0.99
Institutional Class (I)		(3.14	)		2.27	BRTJX	09658V651	12/27/2013		24.00		0.74
Retirement Class (R-3)		(3.65	)		1.72	BRTKX	09658V644	12/27/2013		24.50		1.24
Retirement Class (R-6)		(2.99	)		2.42	BRTLX	09658V636	12/27/2013		23.85		0.59
Standard & Poor's Target Date 2035 Index		(2.63	)		2.58
Lipper Mixed-Asset Target 2035 Funds Index		(2.85	)		2.36
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						38.9
						Mid-Cap Funds						11.9
						Small-Cap Funds						5.7
						International Funds						27.6
						Fixed Income Funds						11.3
						Alternative Funds						3.2
						Other Assets & Liabilities, Net						1.4
						Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2015.

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

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2014, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2016 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s Target Date Indexes are designed to measure the performance of an asset allocation strategy that meets the objectives of investors with an approximate corresponding retirement date horizon.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

5

Annual Report — Commentary BMO Target Retirement Funds

BMO Target Retirement 2040 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
									Gross		Net
Investor Class (Y)		(3.46	)		7.55	BTRMX	09658V859	8/30/2013		1.40		1.00
Institutional Class (I)		(3.23	)		7.81	BTRNX	09658V883	8/30/2013		1.15		0.75
Retirement Class (R-3)		(3.57	)		7.31	BTRPX	09658V875	8/30/2013		1.65		1.25
Retirement Class (R-6)		(2.98	)		8.01	BTRQX	09658V867	8/30/2013		1.00		0.60
Standard & Poor’s Target Date 2040 Index		(2.91	)		7.54
Lipper Mixed-Asset Target 2040 Funds Index		(3.68	)		6.87
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						41.5
						Mid-Cap Funds						12.6
						Small-Cap Funds						6.0
						International Funds						29.8
						Fixed Income Funds						5.8
						Alternative Funds						3.3
						Other Assets & Liabilities, Net						1.0
						Total						100.0
BMO Target Retirement 2045 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
				Since inception
	1-year								Gross		Net
Investor Class (Y)		(3.27	)		2.87	BRTMX	09658V453	12/27/2013		34.00		0.99
Institutional Class (I)		(3.05	)		3.12	BRTOX	09658V628	12/27/2013		33.75		0.74
Retirement Class (R-3)		(3.53	)		2.59	BRTPX	09658V610	12/27/2013		34.25		1.24
Retirement Class (R-6)		(2.91	)		3.27	BRTQX	09658V594	12/27/2013		33.60		0.59
Standard & Poor’s Target Date 2045 Index		(3.15	)		2.46
Lipper Mixed-Asset Target 2045 Funds Index		(3.12	)		2.32
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						41.5
						Mid-Cap Funds						12.7
						Small-Cap Funds						6.0
						International Funds						29.5
						Fixed Income Funds						4.8
						Alternative Funds						3.4
						Other Assets & Liabilities, Net						2.1
						Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2015.

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

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2014, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2016 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s Target Date Indexes are designed to measure the performance of an asset allocation strategy that meets the objectives of investors with an approximate corresponding retirement date horizon.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

6

Annual Report — Commentary BMO Target Retirement Funds

BMO Target Retirement 2050 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
									Gross		Net
Investor Class (Y)		(3.37	)		7.54	BTRUX	09658V818	8/30/2013		1.72		1.00
Institutional Class (I)		(3.07	)		7.84	BTRVX	09658V842	8/30/2013		1.47		0.75
Retirement Class (R-3)		(3.57	)		7.30	BTRWX	09658V834	8/30/2013		1.97		1.25
Retirement Class (R-6)		(2.99	)		8.00	BTRZX	09658V826	8/30/2013		1.32		0.60
Russell 3000® Index		(2.61	)		11.88
Lipper Mixed-Asset Target 2050+ Funds Index		(3.66	)		6.42
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						41.4
						Mid-Cap Funds						12.6
						Small-Cap Funds						6.0
						International Funds						29.5
						Fixed Income Funds						5.4
						Alternative Funds						3.3
						Other Assets & Liabilities, Net						1.8
						Total						100.0
BMO Target Retirement 2055 Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
				Since inception
	1-year								Gross		Net
Investor Class (Y)		(3.33	)		2.88	BRTRX	09658V586	12/27/2013		50.69		1.00
Institutional Class (I)		(3.05	)		3.18	BRTSX	09658V578	12/27/2013		50.44		0.75
Retirement Class (R-3)		(3.55	)		2.69	BRTTX	09658V560	12/27/2013		50.94		1.25
Retirement Class (R-6)		(2.96	)		3.35	BRTUX	09658V552	12/27/2013		50.29		0.60
Russell 3000® Index		(2.61	)		5.86
Lipper Mixed-Asset Target 2055+ Funds Index		(3.39	)		2.23
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						41.2
						Mid-Cap Funds						12.6
						Small-Cap Funds						6.0
						International Funds						29.2
						Fixed Income Funds						4.4
						Alternative Funds						3.3
						Other Assets & Liabilities, Net						3.3
						Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2015.

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

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2014, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2016 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Russell 3000^® Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

7

Annual Report — Commentary BMO Target Risk Funds

Fund Managers; Investment Experience

Jon Adams, CFA; since 2002

Sandy Lincoln; since 1972

Alan W. Schwartz, CFA; since 1981

Lowell Yura, CFA, ASA; since 1990

The markets proved challenging this past year on fears of slowing global growth and diverging central bank policies, with the Federal Reserve looking to normalize their easy monetary policy while most foreign central banks are embarking on more accommodative monetary policies. The S&P 500 Stock Index was virtually flat with a 0.50% total return, while the Russell Midcap^® and Russell 2000^® Indices were practically unchanged over the past 12 months. Foreign markets took the brunt of the slowing growth fears as the developed market Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE) lost 7.47%, while the Morgan Stanley Capital International Emerging Markets Index reached bear market territory with a decline of 22.95%. The bond market continued to surprise most rate forecasters as the yield on the 10-year U.S. Treasury declined from 2.30% to 2.20% during the period while corporate spreads widened, resulting in a modest return of 1.55% for the Barclays U.S. Aggregate Bond Index.

The BMO Target Risk Funds generally performed in-line with their respective Lipper peers with returns ranging from -1.37% for the BMO Conservative Allocation Fund to -2.95% for the BMO Growth Allocation Fund for the fiscal year ended August 31, 2015. On the fixed income side, our core bond funds trailed the Barclays U.S. Aggregate Bond Index due to an underweight to U.S. Treasuries and an overweight to credit. All of the non-core bond funds also trailed, with BMO Monegy High Yield Bond Fund (-2.46%) and PIMCO Unconstrained Bond Fund (-1.10%) the biggest detractors. In large-cap equities, 4 of 7 active managers outpaced the Vanguard Institutional Index (+0.50%), led by T. Rowe Price Growth Fund (+8.50%) and Harbor Capital Appreciation Fund (+7.00%), while Dodge & Cox Stock Fund (-3.70%) and BMO Dividend Income Fund (-3.38%) were the biggest detractors. Vanguard Mid-Cap Index Fund (+2.20%) led the way in the mid and small-cap arena while BMO Mid-Cap Value Fund (-3.29%) and BMO Mid-Cap Growth Fund (-2.61%) were the biggest detractors. On the international front, only MFS International Value Fund (+1.10%) outpaced the MSCI EAFE Index while Dodge & Cox International Fund (-14.10%) was the biggest laggard. In emerging markets, BMO LGM Emerging Markets Equity Fund (-13.88%) held up better than the -22.95% for the index due to a significant underweight to China. Alternatives didn’t provide much relief either over the past year as the Vanguard REIT Index was flat, while the modest allocation to the Credit Suisse Commodity Fund returned -28.30%, led by a collapse in oil.

This current bull market may appear long in the tooth and the recent correction and heightened volatility has many wondering if they should exit the markets and sit on the sidelines. Our decades of experience along with numerous studies show that market timing can be detrimental to your returns. The best way to combat volatility is to stay with a disciplined, broadly diversified portfolio that allows you to reap the compounding benefits of the longer term returns that the markets deliver. When we look beyond the daily “noise” and short-term fixation of the markets, we see a U.S. recovery at mid-cycle and the Euro area recovery in the early stages. Valuations also appear more attractive in the developed markets overseas, which led us to increase those equity allocations over the past year. The emerging markets slowdown has added to the volatility, but it should not derail the global expansion that is underway. On the bond side, we are complementing our core managers with a mix of high yield, floating rate, and unconstrained managers to weather the likely rise in interest rates that lies ahead as the economy gains momentum and the Federal Reserve unwinds their easy money policy.

8

Annual Report — Commentary BMO Target Risk Funds

BMO Conservative Allocation Fund
Average annual total returns (%)							Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
										Gross		Net
Investor Class (Y)		(1.37	)		0.01		BDVYX	09658L299	5/30/2014		1.10		0.83
Institutional Class (I)		(1.22	)		0.21		BDVIX	09658L331	5/30/2014		0.85		0.58
Retirement Class (R-3)		(1.72	)		(0.28	)	BDVRX	09658L323	5/30/2014		1.35		1.08
Retirement Class (R-6)		(0.94	)		0.44		BDVSX	09658L315	5/30/2014		0.70		0.43
Barclays U.S. Aggregate Bond Index		1.54			1.97
Lipper Mixed-Asset Target Allocation Conservative Funds Index		(2.31	)		(0.70	)
Growth of an assumed $10,000 investment							Portfolio sector allocation**
							Sector					Fund (%)
							Large-Cap Funds						9.9
							Mid-Cap Funds						2.6
							Small-Cap Funds						1.8
							International Funds						6.6
							Fixed Income Funds						70.0
							Alternative Funds						7.9
							Other Assets & Liabilities, Net						1.2
							Total						100.0
BMO Moderate Allocation Fund
Average annual total returns (%)							Ticker	Cusip	Inception date	Expenses (%)*
				Since inception
	1-year									Gross		Net
Investor Class (Y)		(1.89	)		0.06		BMBYX	09658L166	5/30/2014		1.14		0.84
Institutional Class (I)		(1.75	)		0.25		BMBHX	09658L190	5/30/2014		0.89		0.59
Retirement Class (R-3)		(2.23	)		(0.22	)	BMBQX	09658L182	5/30/2014		1.39		1.09
Retirement Class (R-6)		(1.56	)		0.41		BMBTX	09658L174	5/30/2014		0.74		0.44
Barclays U.S. Aggregate Bond Index		1.54			1.97
Lipper Mixed-Asset Target Allocation Conservative Funds Index		(2.31	)		(0.70	)
Growth of an assumed $10,000 investment							Portfolio sector allocation**
							Sector					Fund (%)
							Large-Cap Funds						19.9
							Mid-Cap Funds						5.2
							Small-Cap Funds						3.5
							International Funds						13.1
							Fixed Income Funds						50.0
							Alternative Funds						7.0
							Other Assets & Liabilities, Net						1.3
							Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2015.

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

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2014, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2016 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage pass-through securities, asset-backed securities and commercial mortgage-based securities.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

9

Annual Report — Commentary BMO Target Risk Funds

BMO Balanced Allocation Fund
Average annual total returns (%)							Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
										Gross		Net
Investor Class (Y)		(2.41	)		0.10		BGRYX	09658L216	5/30/2014		1.04		0.90
Institutional Class (I)		(2.17	)		0.30		BGRHX	09658L240	5/30/2014		0.79		0.65
Retirement Class (R-3)		(2.64	)		(0.17	)	BGRRX	09658L232	5/30/2014		1.29		1.15
Retirement Class (R-6)		(2.08	)		0.45		BGRQX	09658L224	5/30/2014		0.64		0.50
Standard & Poor’s 500 Index		0.48			4.13
Lipper Mixed-Asset Target Allocation Moderate Funds Index		(2.36	)		(0.13	)
Growth of an assumed $10,000 investment							Portfolio sector allocation**
							Sector					Fund (%)
							Large-Cap Funds						29.7
							Mid-Cap Funds						7.9
							Small-Cap Funds						5.4
							International Funds						19.7
							Fixed Income Funds						28.7
							Alternative Funds						7.2
							Other Assets & Liabilities, Net						1.4
							Total						100.0
BMO Growth Allocation Fund
Average annual total returns (%)							Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
										Gross		Net
Investor Class (Y)		(2.95	)		0.05		BABYX	09658L380	5/30/2014		1.21		0.91
Institutional Class (I)		(2.72	)		0.32		BABHX	09658L422	5/30/2014		0.96		0.66
Retirement Class (R-3)		(3.10	)		(0.16	)	BABRX	09658L414	5/30/2014		1.46		1.16
Retirement Class (R-6)		(2.52	)		0.48		BABQX	09658L398	5/30/2014		0.81		0.51
Standard & Poor’s 500 Index		0.48			4.13
Lipper Mixed-Asset Target Allocation Moderate Funds Index		(2.36	)		(0.13	)
Growth of an assumed $10,000 investment							Portfolio sector allocation**
							Sector					Fund (%)
							Large-Cap Funds						39.8
							Mid-Cap Funds						10.6
							Small-Cap Funds						7.2
							International Funds						26.2
							Fixed Income Funds						8.3
							Alternative Funds						6.7
							Other Assets & Liabilities, Net						1.2
							Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2015.

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

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2014, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2016 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s 500 Index is an unmanaged index of large-cap common stocks.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

10

Annual Report — Commentary BMO Target Risk Funds

BMO Aggressive Allocation Fund
Average annual total returns (%)						Ticker	Cusip	Inception date	Expenses (%)*
	1-year			Since inception
									Gross		Net
Investor Class (Y)		(2.79	)		0.57	BDSYX	09658L257	5/30/2014		1.22		0.97
Institutional Class (I)		(2.55	)		0.84	BDSHX	09658L281	5/30/2014		0.97		0.72
Retirement Class (R-3)		(2.94	)		0.36	BDSRX	09658L273	5/30/2014		1.47		1.22
Retirement Class (R-6)		(2.37	)		1.00	BDSQX	09658L265	5/30/2014		0.82		0.57
Standard & Poor’s 500 Index		0.48			4.13
Lipper Mixed-Asset Target Allocation Growth Funds Index		(1.63	)		0.91
Growth of an assumed $10,000 investment						Portfolio sector allocation**
						Sector					Fund (%)
						Large-Cap Funds						46.9
						Mid-Cap Funds						12.5
						Small-Cap Funds						8.5
						International Funds						31.1
						Other Assets & Liabilities, Net						1.0
						Total						100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the Institutional, Retirement R-3 and Retirement R-6 will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. These graphs illustrate the hypothetical investment of $10,000 in the Investor Class shares of the Fund from each Fund’s inception date to August 31, 2015.

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

* The above expense ratios are from the Funds’ Prospectus dated December 29, 2014, and are inclusive of Acquired Fund Fees and Expenses. See Note 5, subsection Contractual Expense Limitation, in the Notes to Financial Statements for additional information. Net expense ratios reflect contractual fee waivers and/or expense reimbursements if applicable, made by BMO Asset Management Corp., the investment adviser (Adviser). The Adviser may not terminate these fee waivers and/or expense reimbursements prior to December 31, 2016 without the consent of the Board of Directors, unless the investment advisory agreement is terminated. Without these contractual waivers, the Fund’s returns would have been lower.

** Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The Standard & Poor’s 500 Index is an unmanaged index of large-cap common stocks.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.

11

Expense Example (Unaudited)

For the Six Months Ended August 31, 2015

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended August 31, 2015 (3/1/15-8/31/15).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Investor									Institutional
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
2010 Fund
Actual	$	1,000.00	$	966.20		0.33	%	$	1.64	$	1,000.00	$	967.30		0.08	%	$	0.40
Hypothetical (5% return before expenses)		1,000.00		1,023.30		0.33			1.68		1,000.00		1,024.60		0.08			0.41
2015 Fund
Actual		1,000.00		959.60		0.33			1.62		1,000.00		960.60		0.08			0.40
Hypothetical (5% return before expenses)		1,000.00		1,023.30		0.33			1.68		1,000.00		1,024.60		0.08			0.41
2020 Fund
Actual		1,000.00		953.60		0.33			1.63		1,000.00		954.60		0.08			0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.30		0.33			1.68		1,000.00		1,024.60		0.08			0.41
2025 Fund
Actual		1,000.00		949.90		0.33			1.62		1,000.00		951.00		0.08			0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.30		0.33			1.68		1,000.00		1,024.60		0.08			0.41
2030 Fund
Actual		1,000.00		945.90		0.37			1.82		1,000.00		946.90		0.12			0.59
Hypothetical (5% return before expenses)		1,000.00		1,023.10		0.37			1.89		1,000.00		1,024.40		0.12			0.61
2035 Fund
Actual		1,000.00		942.50		0.37			1.81		1,000.00		944.40		0.12			0.59
Hypothetical (5% return before expenses)		1,000.00		1,023.10		0.37			1.89		1,000.00		1,024.40		0.12			0.61
2040 Fund
Actual		1,000.00		939.80		0.36			1.76		1,000.00		940.70		0.11			0.54
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.84		1,000.00		1,024.40		0.11			0.56
2045 Fund
Actual		1,000.00		940.80		0.36			1.76		1,000.00		941.80		0.11			0.54
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.84		1,000.00		1,024.40		0.11			0.56
2050 Fund
Actual		1,000.00		940.00		0.36			1.76		1,000.00		941.70		0.11			0.54
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.84		1,000.00		1,024.40		0.11			0.56

12

Expense Example (Unaudited) (continued)

	Investor									Institutional
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
2055 Fund
Actual	$	1,000.00	$	941.20		0.36	%	$	1.76	$	1,000.00	$	942.30		0.11	%	$	0.54
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.84		1,000.00		1,024.40		0.11			0.56
Conservative Allocation Fund
Actual		1,000.00		972.10		0.33			1.64		1,000.00		972.10		0.08			0.40
Hypothetical (5% return before expenses)		1,000.00		1,023.30		0.33			1.68		1,000.00		1,024.60		0.08			0.41
Moderate Allocation Fund
Actual		1,000.00		961.70		0.30			1.48		1,000.00		962.60		0.05			0.25
Hypothetical (5% return before expenses)		1,000.00		1,023.50		0.30			1.53		1,000.00		1,024.70		0.05			0.26
Balanced Allocation Fund
Actual		1,000.00		952.30		0.33			1.63		1,000.00		953.30		0.08			0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.30		0.33			1.68		1,000.00		1,024.60		0.08			0.41
Growth Allocation Fund
Actual		1,000.00		942.40		0.30			1.47		1,000.00		943.40		0.05			0.25
Hypothetical (5% return before expenses)		1,000.00		1,023.50		0.30			1.53		1,000.00		1,024.70		0.05			0.26
Aggressive Allocation Fund
Actual		1,000.00		938.10		0.33			1.61		1,000.00		940.00		0.08			0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.30		0.33			1.68		1,000.00		1,024.60		0.08			0.41

(1) Expenses are equal to the Funds’ annualized expense ratios for the period March 1, 2015 through August 31, 2015, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
2010 Fund
Actual	$	1,000.00	$	964.40		0.58	%	$	2.88	$	1,000.00	$	968.20		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.96		1,000.00		1,025.00		0.00			0.00
2015 Fund
Actual		1,000.00		957.70		0.58			2.86		1,000.00		961.50		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.96		1,000.00		1,025.00		0.00			0.00
2020 Fund
Actual		1,000.00		952.70		0.58			2.86		1,000.00		955.50		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.96		1,000.00		1,025.00		0.00			0.00
2025 Fund
Actual		1,000.00		948.80		0.58			2.83		1,000.00		951.90		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.96		1,000.00		1,025.00		0.00			0.00
2030 Fund
Actual		1,000.00		944.20		0.62			3.05		1,000.00		947.70		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.62			3.16		1,000.00		1,025.00		0.00			0.00
2035 Fund
Actual		1,000.00		940.50		0.62			3.02		1,000.00		944.50		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.62			3.16		1,000.00		1,025.00		0.00			0.00
2040 Fund
Actual		1,000.00		938.90		0.61			2.99		1,000.00		941.60		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.61			3.11		1,000.00		1,025.00		0.00			0.00
2045 Fund
Actual		1,000.00		938.70		0.61			2.97		1,000.00		941.90		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.61			3.11		1,000.00		1,025.00		0.00			0.00
2050 Fund
Actual		1,000.00		939.10		0.61			2.99		1,000.00		941.80		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.61			3.11		1,000.00		1,025.00		0.00			0.00
2055 Fund
Actual		1,000.00		940.20		0.61			2.97		1,000.00		943.20		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.61			3.11		1,000.00		1,025.00		0.00			0.00
Conservative Allocation Fund
Actual		1,000.00		970.10		0.58			2.89		1,000.00		974.10		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.96		1,000.00		1,025.00		0.00			0.00
Moderate Allocation Fund
Actual		1,000.00		960.60		0.55			2.72		1,000.00		962.70		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.20		0.55			2.80		1,000.00		1,025.00		0.00			0.00
Balanced Allocation Fund
Actual		1,000.00		951.30		0.58			2.86		1,000.00		954.20		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.96		1,000.00		1,025.00		0.00			0.00

13

Expense Example (Unaudited) (continued)

	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
Growth Allocation Fund
Actual	$	1,000.00	$	941.50		0.55	%	$	2.69	$	1,000.00	$	944.40		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.20		0.55			2.80		1,000.00		1,025.00		0.00			0.00
Aggressive Allocation Fund
Actual		1,000.00		938.00		0.58			2.84		1,000.00		940.10		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.96		1,000.00		1,025.00		0.00			0.00

(1) Expenses are equal to the Funds’ annualized expense ratios for the period March 1, 2015 through August 31, 2015, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

14

August 31, 2015

Schedules of Investments BMO Funds

2010 Fund

Description	Shares		Value
Mutual Funds — 98.4%
Large-Cap Funds — 18.4%
BMO Dividend Income Fund (1)		42,181	$	532,321
BMO Large-Cap Value Fund (1)		44,101		672,975
BMO Low Volatility Equity Fund (1)		43,561		559,319
Harbor Capital Appreciation Fund		8,274		510,107
T Rowe Price Growth Stock Fund		9,305		512,072
Vanguard Equity Income Fund		8,303		510,981
Vanguard Institutional Index Fund		6,054		1,094,736
Total Large-Cap Funds				4,392,511
Mid-Cap Funds — 4.2%
BMO Mid-Cap Growth Fund (1)		14,804		303,635
BMO Mid-Cap Value Fund (1)		23,435		351,756
Vanguard Mid-Cap Index Fund		10,467		350,137
Total Mid-Cap Funds				1,005,528
Small-Cap Funds — 1.7%
BMO Small-Cap Growth Fund (1)		8,826		164,171
Goldman Sachs Small Cap Value Fund		4,442		235,857
Total Small-Cap Funds				400,028
International Funds — 11.9%
BMO LGM Emerging Markets Equity Fund (1)		35,138		427,272
BMO LGM Frontier Markets Equity Fund (1)		13,215		112,594
BMO Pyrford International Stock Fund (1)		59,126		696,510
DFA International Small Company Portfolio		4,033		70,946
Dodge & Cox International Stock Fund		17,087		674,579
Harbor International Fund		10,380		664,216
MFS International Value Fund		5,240		186,686
Total International Funds				2,832,803
Fixed Income Funds — 60.6%
BMO Monegy High Yield Bond Fund (1)		39,039		367,353
BMO TCH Core Plus Bond Fund (1)		495,043		5,653,389
Federated Institutional High-Yield Bond Fund		48,331		466,395
Fidelity Advisor Floating Rate High Income Fund		92,986		883,364
Metropolitan West Total Return Bond Fund		295,679		3,196,285
PIMCO Unconstrained Bond Fund		145,287		1,583,633
TCW Emerging Markets Income Fund		77,505		594,078
Vanguard Short-Term Inflation-Protected Securities Index Fund		49,207		1,194,751
Vanguard Short-Term Investment Grade Fund		46,387		492,625
Total Fixed Income Funds				14,431,873
Alternative Funds — 1.6%
Credit Suisse Commodity Return Strategy Fund (2)		37,850		197,200
Vanguard REIT Index Fund		11,398		185,103
Total Alternative Funds				382,303
Total Mutual Funds (identified cost $20,619,302)				23,445,046

Description	Shares		Value
Short-Term Investments — 1.5%
Mutual Funds — 1.5%
BMO Prime Money Market Fund, Class I, 0.050% (1)		366,785	$	366,785
Total Short-Term Investments (identified cost $366,785)				366,785
Total Investments — 99.9% (identified cost $20,986,087)				23,811,831
Other Assets and Liabilities — 0.1%				27,234
Total Net Assets — 100.0%			$	23,839,065

2015 Fund

Description	Shares		Value
Mutual Funds — 98.3%
Large-Cap Funds — 24.3%
BMO Dividend Income Fund (1)		9,421	$	118,893
BMO Large-Cap Value Fund (1)		13,199		201,412
BMO Low Volatility Equity Fund (1)		11,677		149,930
Harbor Capital Appreciation Fund		2,756		169,877
T Rowe Price Growth Stock Fund		3,048		167,721
Vanguard Equity Income Fund		1,881		115,753
Vanguard Institutional Index Fund		1,883		340,487
Total Large-Cap Funds				1,264,073
Mid-Cap Funds — 6.9%
BMO Mid-Cap Growth Fund (1)		5,268		108,046
BMO Mid-Cap Value Fund (1)		8,300		124,576
Vanguard Mid-Cap Index Fund		3,714		124,222
Total Mid-Cap Funds				356,844
Small-Cap Funds — 2.8%
BMO Small-Cap Growth Fund (1)		3,648		67,851
Goldman Sachs Small Cap Value Fund		1,430		75,939
Total Small-Cap Funds				143,790
International Funds — 16.7%
BMO LGM Emerging Markets Equity Fund (1)		10,998		133,737
BMO LGM Frontier Markets Equity Fund (1)		3,388		28,865
BMO Pyrford International Stock Fund (1)		16,683		196,526
DFA International Small Company Portfolio		1,457		25,626
Dodge & Cox International Stock Fund		5,252		207,347
Harbor International Fund		3,151		201,616
MFS International Value Fund		2,013		71,736
Total International Funds				865,453
Fixed Income Funds — 45.8%
BMO Monegy High Yield Bond Fund (1)		6,285		59,146
BMO TCH Core Plus Bond Fund (1)		85,574		977,259
Federated Institutional High-Yield Bond Fund		7,818		75,448
Fidelity Advisor Floating Rate High Income Fund		14,773		140,348
Metropolitan West Total Return Bond Fund		52,795		570,718
PIMCO Unconstrained Bond Fund		23,801		259,432
TCW Emerging Markets Income Fund		13,827		105,985
Vanguard Short-Term Inflation-Protected Securities Index Fund		7,931		192,569
Total Fixed Income Funds				2,380,905

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

15

August 31, 2015

Schedules of Investments

2015 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds — 1.8%
Credit Suisse Commodity Return Strategy Fund (2)		9,254	$	48,214
Vanguard REIT Index Fund		2,726		44,265
Total Alternative Funds				92,479
Total Mutual Funds (identified cost $5,270,559)				5,103,544
Short-Term Investments — 1.5%
Mutual Funds — 1.5%
BMO Prime Money Market Fund, Class I, 0.050% (1)		78,523		78,523
Total Short-Term Investments (identified cost $78,523)				78,523
Total Investments — 99.8% (identified cost $5,349,082)				5,182,067
Other Assets and Liabilities — 0.2%				12,684
Total Net Assets — 100.0%			$	5,194,751

2020 Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 28.6%
BMO Dividend Income Fund (1)		169,589	$	2,140,209
BMO Large-Cap Value Fund (1)		284,480		4,341,166
BMO Low Volatility Equity Fund (1)		249,536		3,204,039
Harbor Capital Appreciation Fund		60,688		3,741,431
T Rowe Price Growth Stock Fund		68,200		3,753,041
Vanguard Equity Income Fund		35,156		2,163,488
Vanguard Institutional Index Fund		43,068		7,788,328
Total Large-Cap Funds				27,131,702
Mid-Cap Funds — 8.5%
BMO Mid-Cap Growth Fund (1)		123,122		2,525,223
BMO Mid-Cap Value Fund (1)		182,216		2,735,058
Vanguard Mid-Cap Index Fund		84,528		2,827,453
Total Mid-Cap Funds				8,087,734
Small-Cap Funds — 3.7%
BMO Small-Cap Growth Fund (1)		91,457		1,701,108
Goldman Sachs Small Cap Value Fund		33,990		1,804,866
Total Small-Cap Funds				3,505,974
International Funds — 20.1%
BMO LGM Emerging Markets Equity Fund (1)		267,236		3,249,594
BMO LGM Frontier Markets Equity Fund (1)		75,804		645,853
BMO Pyrford International Stock Fund (1)		362,079		4,265,286
DFA International Small Company Portfolio		32,488		571,458
Dodge & Cox International Stock Fund		113,193		4,468,841
Harbor International Fund		69,251		4,431,342
MFS International Value Fund		39,995		1,425,006
Total International Funds				19,057,380

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds — 35.8%
BMO Monegy High Yield Bond Fund (1)		94,366	$	887,984
BMO TCH Core Plus Bond Fund (1)		1,258,563		14,372,788
Federated Institutional High-Yield Bond Fund		110,290		1,064,299
Fidelity Advisor Floating Rate High Income Fund		225,956		2,146,584
Metropolitan West Total Return Bond Fund		673,713		7,282,834
PIMCO Unconstrained Bond Fund		351,277		3,828,917
TCW Emerging Markets Income Fund		202,734		1,553,952
Vanguard Short-Term Inflation-Protected Securities Index Fund		117,756		2,859,112
Total Fixed Income Funds				33,996,470
Alternative Funds — 2.3%
Credit Suisse Commodity Return Strategy Fund (2)		214,429		1,117,175
Vanguard REIT Index Fund		62,262		1,011,134
Total Alternative Funds				2,128,309
Total Mutual Funds (identified cost $77,725,157)				93,907,569
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Prime Money Market Fund, Class I, 0.050% (1)		965,999		965,999
Total Short-Term Investments (identified cost $965,999)				965,999
Total Investments — 100.0% (identified cost $78,691,156)				94,873,568
Other Assets and Liabilities — 0.0%				(16,479	)
Total Net Assets — 100.0%			$	94,857,089

2025 Fund

Description	Shares		Value
Mutual Funds — 98.3%
Large-Cap Funds — 31.9%
BMO Dividend Income Fund (1)		39,923	$	503,822
BMO Large-Cap Value Fund (1)		97,012		1,480,397
BMO Low Volatility Equity Fund (1)		68,783		883,175
Harbor Capital Appreciation Fund		26,200		1,615,246
T Rowe Price Growth Stock Fund		29,390		1,617,327
Vanguard Equity Income Fund		8,182		503,508
Vanguard Institutional Index Fund		15,865		2,869,046
Total Large-Cap Funds				9,472,521
Mid-Cap Funds — 9.8%
BMO Mid-Cap Growth Fund (1)		44,586		914,450
BMO Mid-Cap Value Fund (1)		65,428		982,075
Vanguard Mid-Cap Index Fund		30,164		1,009,000
Total Mid-Cap Funds				2,905,525
Small-Cap Funds — 4.8%
BMO Small-Cap Growth Fund (1)		38,614		718,213
Goldman Sachs Small Cap Value Fund		13,535		718,689
Total Small-Cap Funds				1,436,902

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

16

BMO Funds

2025 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 22.7%
BMO LGM Emerging Markets Equity Fund (1)		97,731	$	1,188,403
BMO LGM Frontier Markets Equity Fund (1)		25,032		213,270
BMO Pyrford International Stock Fund (1)		125,851		1,482,521
DFA International Small Company Portfolio		13,385		235,444
Dodge & Cox International Stock Fund		40,649		1,604,818
Harbor International Fund		25,011		1,600,472
MFS International Value Fund		11,680		416,169
Total International Funds				6,741,097
Fixed Income Funds — 26.6%
BMO Monegy High Yield Bond Fund (1)		22,462		211,364
BMO TCH Core Plus Bond Fund (1)		289,662		3,307,937
Federated Institutional High-Yield Bond Fund		25,104		242,252
Fidelity Advisor Floating Rate High Income Fund		50,906		483,606
Metropolitan West Total Return Bond Fund		167,851		1,814,468
PIMCO Unconstrained Bond Fund		79,907		870,989
TCW Emerging Markets Income Fund		47,179		361,629
Vanguard Short-Term Inflation-Protected Securities Index Fund		25,817		626,837
Total Fixed Income Funds				7,919,082
Alternative Funds — 2.5%
Credit Suisse Commodity Return Strategy Fund (2)		71,242		371,170
Vanguard REIT Index Fund		23,321		378,730
Total Alternative Funds				749,900
Total Mutual Funds (identified cost $30,493,999)				29,225,027
Short-Term Investments — 1.5%
Mutual Funds — 1.5%
BMO Prime Money Market Fund, Class I, 0.050% (1)		440,254		440,254
Total Short-Term Investments (identified cost $440,254)				440,254
Total Investments — 99.8% (identified cost $30,934,253)				29,665,281
Other Assets and Liabilities — 0.2%				51,599
Total Net Assets — 100.0%			$	29,716,880

2030 Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 35.3%
BMO Dividend Income Fund (1)		146,422	$	1,847,849
BMO Large-Cap Value Fund (1)		369,330		5,635,981
BMO Low Volatility Equity Fund (1)		263,739		3,386,413
Harbor Capital Appreciation Fund		94,911		5,851,293
T Rowe Price Growth Stock Fund		107,582		5,920,222
Vanguard Equity Income Fund		30,218		1,859,612
Vanguard Institutional Index Fund		58,200		10,524,811
Total Large-Cap Funds				35,026,181

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds — 10.9%
BMO Mid-Cap Growth Fund (1)		163,214	$	3,347,520
BMO Mid-Cap Value Fund (1)		244,585		3,671,221
Vanguard Mid-Cap Index Fund		113,016		3,780,391
Total Mid-Cap Funds				10,799,132
Small-Cap Funds — 5.2%
BMO Small-Cap Growth Fund (1)		139,028		2,585,923
Goldman Sachs Small Cap Value Fund		48,331		2,566,362
Total Small-Cap Funds				5,152,285
International Funds — 25.3%
BMO LGM Emerging Markets Equity Fund (1)		357,483		4,346,997
BMO LGM Frontier Markets Equity Fund (1)		118,775		1,011,963
BMO Pyrford International Stock Fund (1)		451,335		5,316,729
DFA International Small Company Portfolio		49,916		878,028
Dodge & Cox International Stock Fund		151,448		5,979,175
Harbor International Fund		92,658		5,929,194
MFS International Value Fund		46,993		1,674,354
Total International Funds				25,136,440
Fixed Income Funds — 19.1%
BMO Monegy High Yield Bond Fund (1)		54,563		513,438
BMO TCH Core Plus Bond Fund (1)		711,602		8,126,493
Federated Institutional High-Yield Bond Fund		64,043		618,015
Fidelity Advisor Floating Rate High Income Fund		115,414		1,096,437
Metropolitan West Total Return Bond Fund		378,718		4,093,939
PIMCO Unconstrained Bond Fund		195,063		2,126,191
TCW Emerging Markets Income Fund		121,287		929,665
Vanguard Short-Term Inflation-Protected Securities Index Fund		61,631		1,496,410
Total Fixed Income Funds				19,000,588
Alternative Funds — 3.0%
Credit Suisse Commodity Return Strategy Fund (2)		292,270		1,522,727
Vanguard REIT Index Fund		91,227		1,481,526
Total Alternative Funds				3,004,253
Total Mutual Funds (identified cost $80,519,822)				98,118,879
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Prime Money Market Fund, Class I, 0.050% (1)		1,040,488		1,040,488
Total Short-Term Investments (identified cost $1,040,488)				1,040,488
Total Investments — 99.8% (identified cost $81,560,310)				99,159,367
Other Assets and Liabilities — 0.2%				153,944
Total Net Assets — 100.0%			$	99,313,311

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

17

August 31, 2015

Schedules of Investments

2035 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 38.9%
BMO Dividend Income Fund (1)		48,198	$	608,260
BMO Large-Cap Value Fund (1)		118,913		1,814,616
BMO Low Volatility Equity Fund (1)		83,178		1,068,005
Harbor Capital Appreciation Fund		31,080		1,916,097
T Rowe Price Growth Stock Fund		34,865		1,918,615
Vanguard Equity Income Fund		9,945		612,034
Vanguard Institutional Index Fund		19,019		3,439,470
Total Large-Cap Funds				11,377,097
Mid-Cap Funds — 11.9%
BMO Mid-Cap Growth Fund (1)		54,029		1,108,128
BMO Mid-Cap Value Fund (1)		77,853		1,168,573
Vanguard Mid-Cap Index Fund		36,484		1,220,406
Total Mid-Cap Funds				3,497,107
Small-Cap Funds — 5.7%
BMO Small-Cap Growth Fund (1)		44,532		828,294
Goldman Sachs Small Cap Value Fund		15,561		826,288
Total Small-Cap Funds				1,654,582
International Funds — 27.6%
BMO LGM Emerging Markets Equity Fund (1)		115,074		1,399,299
BMO LGM Frontier Markets Equity Fund (1)		31,298		266,658
BMO Pyrford International Stock Fund (1)		146,806		1,729,373
DFA International Small Company Portfolio		16,928		297,771
Dodge & Cox International Stock Fund		48,878		1,929,700
Harbor International Fund		30,220		1,933,763
MFS International Value Fund		14,909		531,199
Total International Funds				8,087,763
Fixed Income Funds — 11.3%
BMO Monegy High Yield Bond Fund (1)		9,769		91,929
BMO TCH Core Plus Bond Fund (1)		118,897		1,357,800
Federated Institutional High-Yield Bond Fund		9,555		92,210
Fidelity Advisor Floating Rate High Income Fund		19,492		185,176
Metropolitan West Total Return Bond Fund		76,273		824,516
PIMCO Unconstrained Bond Fund		33,714		367,483
TCW Emerging Markets Income Fund		20,108		154,128
Vanguard Short-Term Inflation-Protected Securities Index Fund		10,287		249,773
Total Fixed Income Funds				3,323,015
Alternative Funds — 3.2%
Credit Suisse Commodity Return Strategy Fund (2)		92,073		479,699
Vanguard REIT Index Fund		27,708		449,976
Total Alternative Funds				929,675
Total Mutual Funds (identified cost $29,992,721)				28,869,239

Description	Shares		Value
Short-Term Investments — 1.5%
Mutual Funds — 1.5%
BMO Prime Money Market Fund, Class I, 0.050% (1)		443,036	$	443,036
Total Short-Term Investments (identified cost $443,036)				443,036
Total Investments — 100.1% (identified cost $30,435,757)				29,312,275
Other Assets and Liabilities — (0.1)%				(28,759	)
Total Net Assets — 100.0%			$	29,283,516

2040 Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 41.5%
BMO Dividend Income Fund (1)		109,753	$	1,385,086
BMO Large-Cap Value Fund (1)		282,060		4,304,237
BMO Low Volatility Equity Fund (1)		197,283		2,533,109
Harbor Capital Appreciation Fund		71,069		4,381,431
T Rowe Price Growth Stock Fund		79,888		4,396,218
Vanguard Equity Income Fund		22,528		1,386,343
Vanguard Institutional Index Fund		43,582		7,881,367
Total Large-Cap Funds				26,267,791
Mid-Cap Funds — 12.6%
BMO Mid-Cap Growth Fund (1)		124,522		2,553,941
BMO Mid-Cap Value Fund (1)		180,739		2,712,893
Vanguard Mid-Cap Index Fund		81,154		2,714,605
Total Mid-Cap Funds				7,981,439
Small-Cap Funds — 6.0%
BMO Small-Cap Growth Fund (1)		102,190		1,900,739
Goldman Sachs Small Cap Value Fund		35,952		1,909,030
Total Small-Cap Funds				3,809,769
International Funds — 29.8%
BMO LGM Emerging Markets Equity Fund (1)		266,284		3,238,017
BMO LGM Frontier Markets Equity Fund (1)		93,716		798,461
BMO Pyrford International Stock Fund (1)		327,858		3,862,162
DFA International Small Company Portfolio		43,923		772,598
Dodge & Cox International Stock Fund		112,527		4,442,572
Harbor International Fund		69,050		4,418,484
MFS International Value Fund		35,818		1,276,185
Total International Funds				18,808,479
Fixed Income Funds — 5.8%
BMO Monegy High Yield Bond Fund (1)		13,755		129,433
BMO TCH Core Plus Bond Fund (1)		133,602		1,525,740
Federated Institutional High-Yield Bond Fund		13,501		130,283
Fidelity Advisor Floating Rate High Income Fund		27,396		260,260
Metropolitan West Total Return Bond Fund		68,991		745,792
PIMCO Unconstrained Bond Fund		35,714		389,283
TCW Emerging Markets Income Fund		25,653		196,626
Vanguard Short-Term Inflation-Protected Securities Index Fund		11,092		269,304
Total Fixed Income Funds				3,646,721

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

18

BMO Funds

2040 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds — 3.3%
Credit Suisse Commodity Return Strategy Fund (2)		193,052	$	1,005,800
Vanguard REIT Index Fund		65,744		1,067,685
Total Alternative Funds				2,073,485
Total Mutual Funds (identified cost $49,285,209)				62,587,684
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Prime Money Market Fund, Class I, 0.050% (1)		669,469		669,469
Total Short-Term Investments (identified cost $669,469)				669,469
Total Investments — 100.0% (identified cost $49,954,678)				63,257,153
Other Assets and Liabilities — 0.0%				(19,902	)
Total Net Assets — 100.0%			$	63,237,251

2045 Fund

Description	Shares		Value
Mutual Funds — 97.9%
Large-Cap Funds — 41.5%
BMO Dividend Income Fund (1)		26,122	$	329,663
BMO Large-Cap Value Fund (1)		67,086		1,023,726
BMO Low Volatility Equity Fund (1)		46,741		600,150
Harbor Capital Appreciation Fund		16,908		1,042,375
T Rowe Price Growth Stock Fund		18,955		1,043,118
Vanguard Equity Income Fund		5,396		332,068
Vanguard Institutional Index Fund		10,366		1,874,671
Total Large-Cap Funds				6,245,771
Mid-Cap Funds — 12.7%
BMO Mid-Cap Growth Fund (1)		29,900		613,255
BMO Mid-Cap Value Fund (1)		43,153		647,725
Vanguard Mid-Cap Index Fund		19,390		648,590
Total Mid-Cap Funds				1,909,570
Small-Cap Funds — 6.0%
BMO Small-Cap Growth Fund (1)		24,339		452,711
Goldman Sachs Small Cap Value Fund		8,522		452,508
Total Small-Cap Funds				905,219
International Funds — 29.5%
BMO LGM Emerging Markets Equity Fund (1)		63,205		768,577
BMO LGM Frontier Markets Equity Fund (1)		17,486		148,983
BMO Pyrford International Stock Fund (1)		79,118		932,013
DFA International Small Company Portfolio		10,327		181,658
Dodge & Cox International Stock Fund		26,718		1,054,839
Harbor International Fund		16,440		1,052,009
MFS International Value Fund		8,453		301,181
Total International Funds				4,439,260

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds — 4.8%
BMO Monegy High Yield Bond Fund (1)		3,311	$	31,155
BMO TCH Core Plus Bond Fund (1)		31,775		362,869
Federated Institutional High-Yield Bond Fund		3,238		31,250
Metropolitan West Total Return Bond Fund		17,735		191,718
PIMCO Unconstrained Bond Fund		5,713		62,268
TCW Emerging Markets Income Fund		6,133		47,012
Total Fixed Income Funds				726,272
Alternative Funds — 3.4%
Credit Suisse Commodity Return Strategy Fund (2)		49,152		256,084
Vanguard REIT Index Fund		15,529		252,185
Total Alternative Funds				508,269
Total Mutual Funds (identified cost $15,327,664)				14,734,361
Short-Term Investments — 2.0%
Mutual Funds — 2.0%
BMO Prime Money Market Fund, Class I, 0.050% (1)		303,712		303,712
Total Short-Term Investments (identified cost $303,712)				303,712
Total Investments — 99.9% (identified cost $15,631,376)				15,038,073
Other Assets and Liabilities — 0.1%				7,794
Total Net Assets — 100.0%			$	15,045,867

2050 Fund

Description	Shares		Value
Mutual Funds — 98.2%
Large-Cap Funds — 41.4%
BMO Dividend Income Fund (1)		69,086	$	871,870
BMO Large-Cap Value Fund (1)		177,019		2,701,317
BMO Low Volatility Equity Fund (1)		122,478		1,572,621
Harbor Capital Appreciation Fund		44,528		2,745,167
T Rowe Price Growth Stock Fund		49,924		2,747,294
Vanguard Equity Income Fund		13,986		860,692
Vanguard Institutional Index Fund		27,301		4,937,038
Total Large-Cap Funds				16,435,999
Mid-Cap Funds — 12.6%
BMO Mid-Cap Growth Fund (1)		78,726		1,614,662
BMO Mid-Cap Value Fund (1)		113,849		1,708,869
Vanguard Mid-Cap Index Fund		50,637		1,693,814
Total Mid-Cap Funds				5,017,345
Small-Cap Funds — 6.0%
BMO Small-Cap Growth Fund (1)		64,276		1,195,538
Goldman Sachs Small Cap Value Fund		22,593		1,199,664
Total Small-Cap Funds				2,395,202
International Funds — 29.5%
BMO LGM Emerging Markets Equity Fund (1)		165,568		2,013,302
BMO LGM Frontier Markets Equity Fund (1)		55,068		469,178
BMO Pyrford International Stock Fund (1)		208,507		2,456,216

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

19

August 31, 2015

Schedules of Investments

2050 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
DFA International Small Company Portfolio		26,995	$	474,842
Dodge & Cox International Stock Fund		70,448		2,781,299
Harbor International Fund		43,115		2,758,926
MFS International Value Fund		21,944		781,858
Total International Funds				11,735,621
Fixed Income Funds — 5.4%
BMO Monegy High Yield Bond Fund (1)		8,662		81,506
BMO TCH Core Plus Bond Fund (1)		80,895		923,822
Federated Institutional High-Yield Bond Fund		8,501		82,037
Fidelity Advisor Floating Rate High Income Fund		17,253		163,905
Metropolitan West Total Return Bond Fund		38,590		417,159
PIMCO Unconstrained Bond Fund		18,645		203,235
TCW Emerging Markets Income Fund		10,748		82,381
Vanguard Short-Term Inflation-Protected Securities Index Fund		6,854		166,405
Total Fixed Income Funds				2,120,450
Alternative Funds — 3.3%
Credit Suisse Commodity Return Strategy Fund (2)		126,506		659,096
Vanguard REIT Index Fund		40,692		660,833
Total Alternative Funds				1,319,929
Total Mutual Funds (identified cost $32,455,579)				39,024,546
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Prime Money Market Fund, Class I, 0.050% (1)		636,169		636,169
Total Short-Term Investments (identified cost $636,169)				636,169
Total Investments — 99.8% (identified cost $33,091,748)				39,660,715
Other Assets and Liabilities — 0.2%				80,950
Total Net Assets — 100.0%			$	39,741,665

2055 Fund

Description	Shares		Value
Mutual Funds — 96.7%
Large-Cap Funds — 41.2%
BMO Dividend Income Fund (1)		7,674	$	96,842
BMO Large-Cap Value Fund (1)		19,672		300,194
BMO Low Volatility Equity Fund (1)		13,715		176,097
Harbor Capital Appreciation Fund		4,968		306,272
T Rowe Price Growth Stock Fund		5,556		305,737
Vanguard Equity Income Fund		1,573		96,782
Vanguard Institutional Index Fund		3,042		550,122
Total Large-Cap Funds				1,832,046
Mid-Cap Funds — 12.6%
BMO Mid-Cap Growth Fund (1)		9,186		188,404
BMO Mid-Cap Value Fund (1)		12,074		181,234
Vanguard Mid-Cap Index Fund		5,666		189,537
Total Mid-Cap Funds				559,175

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds — 6.0%
BMO Small-Cap Growth Fund (1)		7,170	$	133,359
Goldman Sachs Small Cap Value Fund		2,513		133,438
Total Small-Cap Funds				266,797
International Funds — 29.2%
BMO LGM Emerging Markets Equity Fund (1)		18,536		225,398
BMO LGM Frontier Markets Equity Fund (1)		4,626		39,414
BMO Pyrford International Stock Fund (1)		23,238		273,743
DFA International Small Company Portfolio		3,020		53,126
Dodge & Cox International Stock Fund		7,876		310,954
Harbor International Fund		4,816		308,160
MFS International Value Fund		2,485		88,531
Total International Funds				1,299,326
Fixed Income Funds — 4.4%
BMO Monegy High Yield Bond Fund (1)		977		9,193
BMO TCH Core Plus Bond Fund (1)		6,849		78,215
Federated Institutional High-Yield Bond Fund		952		9,185
Fidelity Advisor Floating Rate High Income Fund		1,935		18,387
Metropolitan West Total Return Bond Fund		3,413		36,899
PIMCO Unconstrained Bond Fund		1,255		13,675
TCW Emerging Markets Income Fund		1,193		9,141
Vanguard Short-Term Inflation-Protected Securities Index Fund		763		18,515
Total Fixed Income Funds				193,210
Alternative Funds — 3.3%
Credit Suisse Commodity Return Strategy Fund (2)		14,274		74,368
Vanguard REIT Index Fund		4,540		73,735
Total Alternative Funds				148,103
Total Mutual Funds (identified cost $4,487,388)				4,298,657
Short-Term Investments — 2.7%
Mutual Funds — 2.7%
BMO Prime Money Market Fund, Class I, 0.050% (1)		117,595		117,595
Total Short-Term Investments (identified cost $117,595)				117,595
Total Investments — 99.4% (identified cost $4,604,983)				4,416,252
Other Assets and Liabilities — 0.6%				27,209
Total Net Assets — 100.0%			$	4,443,461

Conservative Allocation Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 9.9%
BMO Dividend Income Fund (1)		85,768	$	1,082,398
BMO Large-Cap Growth Fund (1)		112,638		1,846,140
BMO Large-Cap Value Fund (1)		112,273		1,713,288
BMO Low Volatility Equity Fund (1)		84,469		1,084,588
Dodge & Cox Stock Fund		7,335		1,245,643

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

20

BMO Funds

Conservative Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Harbor Capital Appreciation Fund		27,535	$	1,697,520
T Rowe Price Growth Stock Fund		27,968		1,539,059
Vanguard Institutional Index Fund		23,971		4,334,834
Total Large-Cap Funds				14,543,470
Mid-Cap Funds — 2.6%
BMO Mid-Cap Growth Fund (1)		60,245		1,235,616
BMO Mid-Cap Value Fund (1)		93,715		1,406,668
Vanguard Mid-Cap Index Fund		37,124		1,241,782
Total Mid-Cap Funds				3,884,066
Small-Cap Funds — 1.8%
BMO Small-Cap Growth Fund (1)		73,305		1,363,464
BMO Small-Cap Value Fund (1)		24,103		309,478
Goldman Sachs Small Cap Value Fund		18,306		972,063
Total Small-Cap Funds				2,645,005
International Funds — 6.6%
BMO LGM Emerging Markets Equity Fund (1)		120,594		1,466,423
BMO Pyrford International Stock Fund (1)		166,645		1,963,073
Dodge & Cox International Stock Fund		58,779		2,320,591
Harbor International Fund		36,347		2,325,824
MFS International Value Fund		43,697		1,556,910
Total International Funds				9,632,821
Fixed Income Funds — 70.0%
BMO Monegy High Yield Bond Fund (1)		422,970		3,980,152
BMO TCH Core Plus Bond Fund (1)		4,420,174		50,478,391
Fidelity Advisor Floating Rate High Income Fund		589,017		5,595,661
Metropolitan West Total Return Bond Fund		2,395,246		25,892,610
PIMCO Unconstrained Bond Fund		1,549,286		16,887,220
Total Fixed Income Funds				102,834,034
Alternative Funds — 7.9%
BMO Alternative Strategies Fund (1)(2)		690,000		7,189,800
Credit Suisse Commodity Return Strategy Fund (2)		431,645		2,248,871
Vanguard REIT Index Fund		132,757		2,155,979
Total Alternative Funds				11,594,650
Total Mutual Funds (identified cost $136,734,818)				145,134,046
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Prime Money Market Fund, Class I, 0.050% (1)		1,647,374		1,647,374
Total Short-Term Investments (identified cost $1,647,374)				1,647,374
Total Investments — 99.9% (identified cost $138,382,192)				146,781,420
Other Assets and Liabilities — 0.1%				182,058
Total Net Assets — 100.0%			$	146,963,478

Moderate Allocation Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 19.9%
BMO Dividend Income Fund (1)		178,661	$	2,254,699
BMO Large-Cap Growth Fund (1)		235,013		3,851,869
BMO Large-Cap Value Fund (1)		231,447		3,531,882
BMO Low Volatility Equity Fund (1)		175,260		2,250,337
Dodge & Cox Stock Fund		15,097		2,563,734
Harbor Capital Appreciation Fund		57,016		3,515,056
T Rowe Price Growth Stock Fund		58,616		3,225,626
Vanguard Institutional Index Fund		52,629		9,517,428
Total Large-Cap Funds				30,710,631
Mid-Cap Funds — 5.2%
BMO Mid-Cap Growth Fund (1)		125,089		2,565,572
BMO Mid-Cap Value Fund (1)		195,378		2,932,626
Vanguard Mid-Cap Index Fund		76,462		2,557,664
Total Mid-Cap Funds				8,055,862
Small-Cap Funds — 3.5%
BMO Small-Cap Growth Fund (1)		150,650		2,802,097
BMO Small-Cap Value Fund (1)		48,068		617,194
Goldman Sachs Small Cap Value Fund		38,184		2,027,576
Total Small-Cap Funds				5,446,867
International Funds — 13.1%
BMO LGM Emerging Markets Equity Fund (1)		248,847		3,025,977
BMO Pyrford International Stock Fund (1)		348,711		4,107,820
Dodge & Cox International Stock Fund		127,393		5,029,460
Harbor International Fund		74,924		4,794,378
MFS International Value Fund		89,752		3,197,865
Total International Funds				20,155,500
Fixed Income Funds — 50.0%
BMO Monegy High Yield Bond Fund (1)		315,820		2,971,865
BMO TCH Core Plus Bond Fund (1)		3,331,661		38,047,573
Fidelity Advisor Floating Rate High Income Fund		439,436		4,174,639
Metropolitan West Total Return Bond Fund		1,784,745		19,293,088
PIMCO Unconstrained Bond Fund		1,154,247		12,581,293
Total Fixed Income Funds				77,068,458
Alternative Funds — 7.0%
BMO Alternative Strategies Fund (1)(2)		530,000		5,522,600
Credit Suisse Commodity Return Strategy Fund (2)		519,833		2,708,328
Vanguard REIT Index Fund		157,355		2,555,450
Total Alternative Funds				10,786,378
Total Mutual Funds (identified cost $137,427,549)				152,223,696

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

21

August 31, 2015

Schedules of Investments

Moderate Allocation Fund (continued)

Description	Shares		Value
Short-Term Investments — 1.2%
Mutual Funds — 1.2%
BMO Prime Money Market Fund, Class I, 0.050% (1)		1,792,804	$	1,792,804
Total Short-Term Investments (identified cost $1,792,804)				1,792,804
Total Investments — 99.9% (identified cost $139,220,353)				154,016,500
Other Assets and Liabilities — 0.1%				175,307
Total Net Assets — 100.0%			$	154,191,807

Balanced Allocation Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 29.7%
BMO Dividend Income Fund (1)		924,401	$	11,665,936
BMO Large-Cap Growth Fund (1)		1,211,242		19,852,259
BMO Large-Cap Value Fund (1)		1,201,211		18,330,481
BMO Low Volatility Equity Fund (1)		909,991		11,684,285
Dodge & Cox Stock Fund		78,701		13,365,067
Harbor Capital Appreciation Fund		294,508		18,156,392
T Rowe Price Growth Stock Fund		299,807		16,498,400
Vanguard Institutional Index Fund		257,156		46,504,025
Total Large-Cap Funds				156,056,845
Mid-Cap Funds — 7.9%
BMO Mid-Cap Growth Fund (1)		646,137		13,252,263
BMO Mid-Cap Value Fund (1)		998,565		14,988,454
Vanguard Mid-Cap Index Fund		398,162		13,318,519
Total Mid-Cap Funds				41,559,236
Small-Cap Funds — 5.4%
BMO Small-Cap Growth Fund (1)		789,246		14,679,978
BMO Small-Cap Value Fund (1)		262,699		3,373,049
Goldman Sachs Small Cap Value Fund		195,412		10,376,398
Total Small-Cap Funds				28,429,425
International Funds — 19.7%
BMO LGM Emerging Markets Equity Fund (1)		1,289,418		15,679,321
BMO Pyrford International Stock Fund (1)		1,783,161		21,005,631
Dodge & Cox International Stock Fund		634,582		25,053,303
Harbor International Fund		389,875		24,948,087
MFS International Value Fund		468,769		16,702,226
Total International Funds				103,388,568
Fixed Income Funds — 28.7%
BMO Monegy High Yield Bond Fund (1)		627,527		5,905,033
BMO TCH Core Plus Bond Fund (1)		6,426,651		73,392,349
Fidelity Advisor Floating Rate High Income Fund		870,307		8,267,918
Metropolitan West Total Return Bond Fund		3,533,195		38,193,835
PIMCO Unconstrained Bond Fund		2,283,144		24,886,266
Total Fixed Income Funds				150,645,401

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds — 7.2%
BMO Alternative Strategies Fund (1)(2)		1,700,000	$	17,714,000
Credit Suisse Commodity Return Strategy Fund (2)		1,957,817		10,200,228
Vanguard REIT Index Fund		600,073		9,745,180
Total Alternative Funds				37,659,408
Total Mutual Funds (identified cost $418,770,994)				517,738,883
Short-Term Investments — 1.2%
Mutual Funds — 1.2%
BMO Prime Money Market Fund, Class I, 0.050% (1)		6,132,819		6,132,819
Total Short-Term Investments (identified cost $6,132,819)				6,132,819
Total Investments — 99.8% (identified cost $424,903,813)				523,871,702
Other Assets and Liabilities — 0.2%				983,001
Total Net Assets — 100.0%			$	524,854,703

Growth Allocation Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 39.8%
BMO Dividend Income Fund (1)		364,022	$	4,593,963
BMO Large-Cap Growth Fund (1)		485,998		7,965,505
BMO Large-Cap Value Fund (1)		474,666		7,243,404
BMO Low Volatility Equity Fund (1)		360,589		4,629,963
Dodge & Cox Stock Fund		30,548		5,187,710
Harbor Capital Appreciation Fund		116,579		7,187,123
T Rowe Price Growth Stock Fund		118,427		6,517,056
Vanguard Institutional Index Fund		101,785		18,406,854
Total Large-Cap Funds				61,731,578
Mid-Cap Funds — 10.6%
BMO Mid-Cap Growth Fund (1)		253,125		5,191,593
BMO Mid-Cap Value Fund (1)		395,232		5,932,435
Vanguard Mid-Cap Index Fund		158,346		5,296,664
Total Mid-Cap Funds				16,420,692
Small-Cap Funds — 7.2%
BMO Small-Cap Growth Fund (1)		306,834		5,707,117
BMO Small-Cap Value Fund (1)		103,135		1,324,247
Goldman Sachs Small Cap Value Fund		77,491		4,114,756
Total Small-Cap Funds				11,146,120
International Funds — 26.2%
BMO LGM Emerging Markets Equity Fund (1)		501,729		6,101,023
BMO Pyrford International Stock Fund (1)		705,081		8,305,854
Dodge & Cox International Stock Fund		249,337		9,843,837
Harbor International Fund		151,559		9,698,289
MFS International Value Fund		184,568		6,576,165
Total International Funds				40,525,168

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

22

BMO Funds

Growth Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds — 8.3%
BMO Monegy High Yield Bond Fund (1)		52,809	$	496,931
BMO TCH Core Plus Bond Fund (1)		552,127		6,305,288
Fidelity Advisor Floating Rate High Income Fund		73,190		695,309
Metropolitan West Total Return Bond Fund		295,865		3,198,304
PIMCO Unconstrained Bond Fund		196,587		2,142,800
Total Fixed Income Funds				12,838,632
Alternative Funds — 6.7%
BMO Alternative Strategies Fund (1)(2)		360,000		3,751,200
Credit Suisse Commodity Return Strategy Fund (2)		655,075		3,412,943
Vanguard REIT Index Fund		196,380		3,189,206
Total Alternative Funds				10,353,349
Total Mutual Funds (identified cost $122,235,115)				153,015,539
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Prime Money Market Fund, Class I, 0.030% (1)		1,633,049		1,633,049
Total Short-Term Investments (identified cost $1,633,049)				1,633,049
Total Investments — 99.8% (identified cost $123,868,164)				154,648,588
Other Assets and Liabilities — 0.2%				256,625
Total Net Assets — 100.0%			$	154,905,213

Aggressive Allocation Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 46.9%
BMO Dividend Income Fund (1)		697,774	$	8,805,913
BMO Large-Cap Growth Fund (1)		915,706		15,008,427
BMO Large-Cap Value Fund (1)		907,788		13,852,851
BMO Low Volatility Equity Fund (1)		686,946		8,820,381

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Dodge & Cox Stock Fund		59,344	$	10,077,794
Harbor Capital Appreciation Fund		222,688		13,728,711
T Rowe Price Growth Stock Fund		226,926		12,487,756
Vanguard Institutional Index Fund		194,381		35,151,780
Total Large-Cap Funds				117,933,613
Mid-Cap Funds — 12.5%
BMO Mid-Cap Growth Fund (1)		487,574		10,000,148
BMO Mid-Cap Value Fund (1)		755,532		11,340,533
Vanguard Mid-Cap Index Fund		300,383		10,047,826
Total Mid-Cap Funds				31,388,507
Small-Cap Funds — 8.5%
BMO Small-Cap Growth Fund (1)		596,370		11,092,490
BMO Small-Cap Value Fund (1)		196,118		2,518,151
Goldman Sachs Small Cap Value Fund		147,846		7,850,606
Total Small-Cap Funds				21,461,247
International Funds — 31.1%
BMO LGM Emerging Markets Equity Fund (1)		974,557		11,850,613
BMO Pyrford International Stock Fund (1)		1,347,623		15,874,998
Dodge & Cox International Stock Fund		479,773		18,941,427
Harbor International Fund		294,831		18,866,217
MFS International Value Fund		354,422		12,628,059
Total International Funds				78,161,314
Total Mutual Funds (identified cost $180,623,449)				248,944,681
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Prime Money Market Fund, Class I, 0.050% (1)		2,652,702		2,652,702
Total Short-Term Investments (identified cost $2,652,702)				2,652,702
Total Investments — 100.1% (identified cost $183,276,151)				251,597,383
Other Assets and Liabilities — (0.1)%				(252,124	)
Total Net Assets — 100.0%			$	251,345,259

Notes to Schedules of Investments

The categories of investments are shown as a percentage of total net assets for each Fund as of August 31, 2015.

* Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets at the close of business on August 31, 2015 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement purposes.

(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)

23

August 31, 2015

Statements of Assets and Liabilities BMO Funds

	2010 Fund		2015 Fund			2020 Fund		2025 Fund			2030 Fund
Assets:
Investments in unaffiliated issuers, at value	$	13,603,751	$	2,937,303		$	53,839,261	$	17,339,400		$	58,328,352
Cash sweep investments in affiliated issuers, at value		366,785		78,523			965,999		440,254			1,040,488
Investments in other affiliated issuers, at value		9,841,295		2,166,241			40,068,308		11,885,627			39,790,527
Dividends and interest receivable		36,804		6,091			86,824		20,130			49,368
Receivable for investments sold		80,230		—			—		13,798			159,279
Receivable for capital stock sold		15,363		4,929			103,937		26,042			166,571
Receivable from affiliates, net (Note 5)		10,020		14,932			3,395		15,827			1,733
Prepaid expenses		9,540		14,618			9,521		14,617			9,542
Total assets		23,963,788		5,222,637			95,077,245		29,755,695			99,545,860
Liabilities:
Payable for investments purchased		89,748		—			14,157		8,672			195,669
Payable for capital stock redeemed		6,047		—			172,752		1,166			3,099
Other liabilities		28,928		27,886			33,247		28,977			33,781
Total liabilities		124,723		27,886			220,156		38,815			232,549
Total net assets	$	23,839,065	$	5,194,751		$	94,857,089	$	29,716,880		$	99,313,311
Net assets consist of:
Paid-in capital	$	19,442,445	$	5,288,777		$	72,798,471	$	30,582,793		$	77,386,359
Net unrealized appreciation (depreciation) on investments		2,825,744		(167,015	)		16,182,412		(1,268,972	)		17,599,057
Accumulated net realized gain on investments		1,250,585		7,422			4,893,588		168,376			3,587,961
Undistributed net investment income		320,291		65,567			982,618		234,683			739,934
Total net assets	$	23,839,065	$	5,194,751		$	94,857,089	$	29,716,880		$	99,313,311
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	10.02	$	10.44		$	10.49	$	10.42		$	10.84
Institutional class of shares		10.05		10.48			10.51		10.47			10.87
Retirement class R-3 of shares		10.01		10.41			10.48		10.38			10.82
Retirement class R-6 of shares		10.05		10.50			10.52		10.48			10.87
Net assets:
Investor class of shares	$	4,803,825	$	631,735		$	21,331,048	$	1,676,337		$	23,331,872
Institutional class of shares		274,821		108,027			5,263,669		610,642			2,867,176
Retirement class R-3 of shares		2,149,275		220,559			15,177,580		1,388,140			12,812,477
Retirement class R-6 of shares		16,611,144		4,234,430			53,084,792		26,041,761			60,301,786
Total net assets	$	23,839,065	$	5,194,751		$	94,857,089	$	29,716,880		$	99,313,311
Shares outstanding:
Investor class of shares		479,464		60,533			2,033,780		160,800			2,152,851
Institutional class of shares		27,345		10,306			500,758		58,327			263,741
Retirement class R-3 of shares		214,620		21,184			1,448,426		133,711			1,183,642
Retirement class R-6 of shares		1,653,057		403,231			5,044,593		2,485,043			5,546,902
Total shares outstanding		2,374,486		495,254			9,027,557		2,837,881			9,147,136
Investments, at cost:
Investments in unaffiliated issuers	$	11,500,003	$	3,005,822		$	41,376,746	$	17,898,845		$	43,903,891
Cash sweep investments in affiliated issuers		366,785		78,523			965,999		440,254			1,040,488
Investments in other affiliated issuers		9,119,299		2,264,737			36,348,411		12,595,154			36,615,931
Total investments, at cost	$	20,986,087	$	5,349,082		$	78,691,156	$	30,934,253		$	81,560,310

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

24

August 31, 2015

Statements of Assets and Liabilities BMO Funds

	2035 Fund			2040 Fund		2045 Fund			2050 Fund		2055 Fund
Assets:
Investments in unaffiliated issuers, at value	$	17,428,304		$	37,643,866	$	8,823,534		$	23,415,645	$	2,596,564
Cash sweep investments in affiliated issuers, at value		443,036			669,469		303,712			636,169		117,595
Investments in other affiliated issuers, at value		11,440,935			24,943,818		5,910,827			15,608,901		1,702,093
Dividends and interest receivable		8,471			9,670		2,025			5,510		499
Receivable for investments sold		—			71,011		10,862			—		—
Receivable for capital stock sold		8,356			96,335		32,870			131,856		38,946
Receivable from affiliates, net (Note 5)		15,688			6,676		14,643			8,976		15,488
Prepaid expenses		14,616			9,540		14,618			9,540		14,619
Total assets		29,359,406			63,450,385		15,113,091			39,816,597		4,485,804
Liabilities:
Payable for investments purchased		—			107,086		17,016			36,988		6,775
Payable for capital stock redeemed		46,791			74,450		22,031			7,505		7,890
Other liabilities		29,099			31,598		28,177			30,439		27,678
Total liabilities		75,890			213,134		67,224			74,932		42,343
Total net assets	$	29,283,516		$	63,237,251	$	15,045,867		$	39,741,665	$	4,443,461
Net assets consist of:
Paid-in capital	$	30,259,014		$	46,152,396	$	15,577,296		$	31,909,420	$	4,615,834
Net unrealized appreciation (depreciation) on investments		(1,123,482	)		13,302,475		(593,303	)		6,568,967		(188,731	)
Accumulated net realized gain (loss) on investments		(28,240	)		3,416,224		(13,662	)		1,061,292		907
Undistributed net investment income		176,224			366,156		75,536			201,986		15,451
Total net assets	$	29,283,516		$	63,237,251	$	15,045,867		$	39,741,665	$	4,443,461
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	10.33		$	10.92	$	10.48		$	10.96	$	10.41
Institutional class of shares		10.37			10.94		10.52			10.99		10.45
Retirement class R-3 of shares		10.27			10.91		10.42			10.95		10.38
Retirement class R-6 of shares		10.38			10.96		10.53			11.00		10.47
Net assets:
Investor class of shares	$	869,847		$	12,852,301	$	1,141,597		$	10,274,642	$	1,049,644
Institutional class of shares		66,987			2,444,371		111,762			1,908,133		189,986
Retirement class R-3 of shares		734,203			7,747,790		746,419			5,072,064		395,103
Retirement class R-6 of shares		27,612,479			40,192,789		13,046,089			22,486,826		2,808,728
Total net assets	$	29,283,516		$	63,237,251	$	15,045,867		$	39,741,665	$	4,443,461
Shares outstanding:
Investor class of shares		84,177			1,176,855		108,974			937,399		100,853
Institutional class of shares		6,462			223,373		10,626			173,670		18,183
Retirement class R-3 of shares		71,459			710,474		71,641			463,311		38,076
Retirement class R-6 of shares		2,659,755			3,668,641		1,239,310			2,044,708		268,343
Total shares outstanding		2,821,853			5,779,343		1,430,551			3,619,088		425,455
Investments, at cost:
Investments in unaffiliated issuers	$	17,946,186		$	26,880,712	$	9,097,706		$	17,948,522	$	2,684,750
Cash sweep investments in affiliated issuers		443,036			669,469		303,712			636,169		117,595
Investments in other affiliated issuers		12,046,535			22,404,497		6,229,958			14,507,057		1,802,638
Total investments, at cost	$	30,435,757		$	49,954,678	$	15,631,376		$	33,091,748	$	4,604,983

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

25

August 31, 2015

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	$	70,014,567	$	77,741,585	$	276,215,844	$	85,467,016	$	139,780,176
Cash sweep investments in affiliated issuers, at value		1,647,374		1,792,804		6,132,819		1,633,049		2,652,702
Investments in other affiliated issuers, at value		75,119,479		74,482,111		241,523,039		67,548,523		109,164,505
Dividends and interest receivable		274,917		204,681		433,966		34,200		67
Receivable for investments sold		2,252,599		2,390,788		36,814,520		—		1,665,467
Receivable for capital stock sold		39,030		140,763		1,517,752		325,413		354,680
Receivable from affiliates, net (Note 5)		9,883		10,223		—		—		—
Prepaid expenses		26,393		26,392		27,830		26,394		26,917
Total assets		149,384,242		156,789,347		562,665,770		155,034,595		253,644,514
Liabilities:
Payable for investments purchased		—		126,793		—		86,280		70,421
Payable for capital stock redeemed		2,383,738		2,433,062		37,734,236		4,363		2,170,887
Payable to affiliates, net (Note 5)		—		—		19,719		1,245		14,085
Other liabilities		37,026		37,685		57,112		37,494		43,862
Total liabilities		2,420,764		2,597,540		37,811,067		129,382		2,299,255
Total net assets	$	146,963,478	$	154,191,807	$	524,854,703	$	154,905,213	$	251,345,259
Net assets consist of:
Paid-in capital	$	134,002,881	$	133,165,811	$	392,449,175	$	114,932,840	$	168,002,157
Net unrealized appreciation on investments		8,399,228		14,796,147		98,967,889		30,780,424		68,321,232
Accumulated net realized gain on investments		2,438,344		4,543,299		29,133,646		8,308,442		14,138,726
Undistributed net investment income		2,123,025		1,686,550		4,303,993		883,507		883,144
Total net assets	$	146,963,478	$	154,191,807	$	524,854,703	$	154,905,213	$	251,345,259
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	9.76	$	9.78	$	9.78	$	9.82	$	9.85
Institutional class of shares		9.77		9.79		9.79		9.84		9.87
Retirement class R-3 of shares		9.74		9.76		9.76		9.81		9.84
Retirement class R-6 of shares		9.79		9.80		9.80		9.85		9.88
Net assets:
Investor class of shares	$	23,597,586	$	22,594,565	$	157,207,314	$	43,023,729	$	83,063,563
Institutional class of shares		29,104,437		16,111,866		81,475,241		15,251,892		31,770,328
Retirement class R-3 of shares		7,623,971		22,279,538		38,676,582		28,902,759		22,578,219
Retirement class R-6 of shares		86,637,484		93,205,838		247,495,566		67,726,833		113,933,149
Total net assets	$	146,963,478	$	154,191,807	$	524,854,703	$	154,905,213	$	251,345,259
Shares outstanding:
Investor class of shares		2,418,001		2,311,085		16,077,295		4,379,900		8,428,888
Institutional class of shares		2,977,523		1,645,028		8,319,393		1,549,981		3,218,385
Retirement class R-3 of shares		782,520		2,282,659		3,962,867		2,947,210		2,294,943
Retirement class R-6 of shares		8,853,918		9,506,912		25,244,039		6,876,373		11,526,730
Total shares outstanding		15,031,962		15,745,684		53,603,594		15,753,464		25,468,946
Investments, at cost:
Investments in unaffiliated issuers	$	65,455,289	$	67,412,584	$	205,780,582	$	61,964,341	$	90,375,643
Cash sweep investments in affiliated issuers		1,647,374		1,792,804		6,132,819		1,633,049		2,652,702
Investments in other affiliated issuers		71,279,529		70,014,965		212,990,412		60,270,774		90,247,806
Total investments, at cost	$	138,382,192	$	139,220,353	$	424,903,813	$	123,868,164	$	183,276,151

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

26

Year Ended August 31, 2015

Statements of Operations BMO Funds

	2010 Fund			2015 Fund			2020 Fund			2025 Fund			2030 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	354,580		$	48,591		$	1,221,630		$	175,990		$	1,101,803
Affiliated issuers		277,102			37,097			836,767			115,830			614,883
Interest income		14,190			602			62,302			2,894			64,528
Excess expense reimbursement from investment adviser (Note 5)		12,682			2,681			37,872			13,271			17,037
Total income		658,554			88,971			2,158,571			307,985			1,798,251
Expenses:
Shareholder servicing fees (Note 5)		16,647			1,047			76,787			2,139			81,947
Administration fees (Note 5)		15,183			1,026			83,216			2,656			81,292
Portfolio accounting fees		50,464			43,342			74,822			48,231			75,233
Recordkeeping fees		35,637			40,571			36,896			40,437			38,517
Custodian fees (Note 5)		1,241			201			4,812			913			4,869
Registration fees		46,102			49,752			51,346			49,809			49,738
Professional fees		18,948			18,948			18,948			18,948			18,948
Printing and postage		4,877			3,513			5,907			3,665			5,816
Directors’ fees		12,192			12,192			12,192			12,192			12,192
Distribution services fees (Note 5)		15,317			787			100,758			3,034			87,949
Miscellaneous		7,332			7,188			8,143			7,237			8,027
Total expenses		223,940			178,567			473,827			189,261			464,528
Deduct:
Expense waivers (Note 5)		(183,862	)		(176,177	)		(251,881	)		(182,666	)		(229,580	)
Net expenses		40,078			2,390			221,946			6,595			234,948
Net investment income		618,476			86,581			1,936,625			301,390			1,563,303
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		945,215			(21,533	)		2,686,630			(63,200	)		854,513
Investments in affiliated issuers		296,451			(34,970	)		257,018			(67,797	)		71,208
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		160,652			24,421			940,208			116,540			1,273,965
Investments in affiliated issuers		364,484			54,586			2,184,481			251,912			2,494,378
Total net realized gain		1,766,802			22,504			6,068,337			237,455			4,694,064
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		(1,680,656	)		(74,665	)		(5,866,910	)		(589,269	)		(4,505,928	)
Investments in affiliated issuers		(1,156,678	)		(104,339	)		(4,373,649	)		(731,109	)		(4,556,995	)
Total net change in unrealized appreciation/depreciation		(2,837,334	)		(179,004	)		(10,240,559	)		(1,320,378	)		(9,062,923	)
Net realized and unrealized loss on investments		(1,070,532	)		(156,500	)		(4,172,222	)		(1,082,923	)		(4,368,859	)
Change in net assets resulting from operations	$	(452,056	)	$	(69,919	)	$	(2,235,597	)	$	(781,533	)	$	(2,805,556	)

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

27

Year Ended August 31, 2015

Statements of Operations BMO Funds

	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	119,983		$	700,081		$	50,864		$	385,173		$	16,117
Affiliated issuers		65,000			306,972			24,546			169,750			6,942
Interest income		2,923			46,010			1,458			23,086			417
Excess expense reimbursement from investment adviser (Note 5)		5,717			16,117			3,611			8,153			696
Total income		193,623			1,069,180			80,479			586,162			24,172
Expenses:
Shareholder servicing fees (Note 5)		1,666			45,613			1,659			29,838			1,451
Administration fees (Note 5)		1,675			48,511			1,677			32,363			1,387
Portfolio accounting fees		48,061			63,744			44,926			54,538			42,759
Recordkeeping fees		41,229			37,018			40,739			37,859			39,945
Custodian fees (Note 5)		888			3,189			443			1,841			117
Registration fees		49,804			47,983			49,777			46,326			49,760
Professional fees		18,948			18,948			18,948			18,948			18,948
Printing and postage		3,665			5,860			3,627			7,076			3,666
Directors’ fees		12,192			12,192			12,192			12,192			12,192
Distribution services fees (Note 5):		2,075			53,610			1,982			33,279			1,022
Miscellaneous		7,254			7,705			7,106			7,348			7,103
Total expenses		187,457			344,373			183,076			281,608			178,350
Deduct:
Expense waivers (Note 5)		(182,370	)		(209,558	)		(178,206	)		(194,751	)		(174,859	)
Net expenses		5,087			134,815			4,870			86,857			3,491
Net investment income		188,536			934,365			75,609			499,305			20,681
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(89,658	)		920,976			(37,342	)		(138,305	)		(17,900	)
Investments in affiliated issuers		(104,286	)		16,900			(37,998	)		(110,342	)		(13,708	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		59,144			1,060,246			21,174			573,463			13,644
Investments in affiliated issuers		158,445			2,056,805			63,635			1,111,032			30,335
Total net realized gain		23,645			4,054,927			9,469			1,435,848			12,371
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		(550,042	)		(3,535,972	)		(297,101	)		(1,404,507	)		(104,097	)
Investments in affiliated issuers		(627,650	)		(3,335,093	)		(334,874	)		(1,799,593	)		(112,461	)
Total net change in unrealized appreciation/depreciation		(1,177,692	)		(6,871,065	)		(631,975	)		(3,204,100	)		(216,558	)
Net realized and unrealized loss on investments		(1,154,047	)		(2,816,138	)		(622,506	)		(1,768,252	)		(204,187	)
Change in net assets resulting from operations	$	(965,511	)	$	(1,881,773	)	$	(546,897	)	$	(1,268,947	)	$	(183,506	)

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

28

Year Ended August 31, 2015

Statements of Operations BMO Funds

	Conservative Allocation Fund			Moderate Allocation Fund			Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,581,374		$	1,543,960		$	5,556,367		$	1,391,872		$	1,788,054
Affiliated issuers		1,987,437			1,554,321			4,150,291			644,842			650,139
Interest income		41,672			60,642			309,398			91,869			168,969
Excess expense reimbursement from investment adviser (Note 5)		64,047			96,233			201,979			62,344			66,971
Total income		3,674,530			3,255,156			10,218,035			2,190,927			2,674,133
Expenses:
Shareholder servicing fees (Note 5)		62,284			60,516			435,206			113,047			207,256
Administration fees (Note 5)		97,249			91,867			447,192			137,991			206,966
Portfolio accounting fees		88,664			88,960			194,818			88,012			112,090
Recordkeeping fees		37,238			37,798			39,271			37,040			43,697
Custodian fees (Note 5)		6,868			6,914			25,758			6,775			10,639
Registration fees		80,451			80,369			104,717			79,984			86,999
Professional fees		18,951			18,951			18,951			18,951			19,455
Printing and postage		5,897			7,940			11,397			6,976			9,577
Directors’ fees		12,192			12,192			12,192			12,192			12,192
Distribution services fees (Note 5)		51,021			102,505			216,011			151,359			117,725
Miscellaneous		8,629			8,500			13,201			8,967			8,510
Total expenses		469,444			516,512			1,518,714			661,294			835,106
Deduct:
Expense waivers (Note 5)		(304,219	)		(322,855	)		(628,948	)		(350,826	)		(390,099	)
Net expenses		165,225			193,657			889,766			310,468			445,007
Net investment income		3,509,305			3,061,499			9,328,269			1,880,459			2,229,126
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		2,032,947			2,336,474			16,615,396			3,380,824			7,213,694
Investments in affiliated issuers		(423,978	)		(237,050	)		(1,312,480	)		(155,955	)		278,193
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		594,275			1,032,805			5,559,899			1,828,237			2,505,607
Investments in affiliated issuers		1,608,495			2,699,599			13,622,286			4,467,388			6,010,568
Total net realized gain		3,811,739			5,831,828			34,485,101			9,520,494			16,008,062
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		(5,193,417	)		(6,586,312	)		(35,163,617	)		(9,407,049	)		(23,851,580	)
Investments in affiliated issuers		(3,861,827	)		(5,123,456	)		(21,397,703	)		(6,829,774	)		(1,055,268	)
Total net change in unrealized appreciation/depreciation		(9,055,244	)		(11,709,768	)		(56,561,320	)		(16,236,823	)		(24,906,848	)
Net realized and unrealized loss on investments		(5,243,505	)		(5,877,940	)		(22,076,219	)		(6,716,329	)		(8,898,786	)
Change in net assets resulting from operations	$	(1,734,200	)	$	(2,816,441	)	$	(12,747,950	)	$	(4,835,870	)	$	(6,669,660	)

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

29

Statements of Changes in Net Assets BMO Funds

	2010 Fund						2015 Fund						2020 Fund
	Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014 (1)			Year Ended August 31, 2015			Year Ended August 31, 2014
Change in net assets resulting from:
Operations:
Net investment income	$	618,476		$	697,520		$	86,581		$	2,517		$	1,936,625		$	1,917,934
Net realized gain on investments		1,766,802			1,133,325			22,504			207			6,068,337			3,396,411
Net change in unrealized appreciation/depreciation on investments		(2,837,334	)		1,942,978			(179,004	)		11,989			(10,240,559	)		10,111,163
Change in net assets resulting from operations		(452,056	)		3,773,823			(69,919	)		14,713			(2,235,597	)		15,425,508
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(181,665	)		(77,482	)		(1,517	)		—			(722,854	)		(421,092	)
Institutional class of shares		(11,464	)		(10,009	)		(622	)		—			(82,689	)		(42,518	)
Retirement class R-3 of shares		(90,947	)		(52,461	)		(552	)		—			(407,198	)		(259,867	)
Retirement class R-6 of shares		(521,306	)		(269,837	)		(35,295	)		—			(1,324,916	)		(762,614	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(330,937	)		(12,087	)		(43	)		—			(915,902	)		(115,871	)
Institutional class of shares		(20,064	)		(1,464	)		(16	)		—			(94,633	)		(11,068	)
Retirement class R-3 of shares		(192,905	)		(8,773	)		(21	)		—			(596,688	)		(76,159	)
Retirement class R-6 of shares		(829,463	)		(38,129	)		(775	)		—			(1,434,053	)		(192,888	)
Change in net assets resulting from distributions to shareholders		(2,178,751	)		(470,242	)		(38,841	)		—			(5,578,933	)		(1,882,077	)
Capital stock transactions:
Proceeds from sale of shares		9,317,444			38,360,846	(2)		7,103,755			874,707			28,351,818			126,533,046	(2)
Net asset value of shares issued to shareholders in payment of distributions declared		2,178,751			470,242			38,841			—			5,577,681			1,882,077
Cost of shares redeemed		(17,488,361	)		(9,672,631	)		(2,452,449	)		(276,056	)		(49,088,498	)		(24,127,936	)
Change in net assets resulting from capital stock transactions		(5,992,166	)		29,158,457			4,690,147			598,651			(15,158,999	)		104,287,187
Change in net assets		(8,622,973	)		32,462,038			4,581,387			613,364			(22,973,529	)		117,830,618
Net assets:
Beginning of period		32,462,038			—			613,364			—			117,830,618			—
End of period	$	23,839,065		$	32,462,038		$	5,194,751		$	613,364		$	94,857,089		$	117,830,618
Undistributed net investment income included in net assets at end of period	$	320,291		$	406,643		$	65,567		$	2,501		$	982,618		$	1,014,385

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

(2) Includes paid-in-capital, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of September 1, 2013. See In-Kind Transfers in Note 4 of the Notes to Financial Statements for additional information.

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

30

Statements of Changes in Net Assets BMO Funds

	2025 Fund						2030 Fund						2035 Fund
	Year Ended August 31, 2015			Period Ended August 31, 2014 (1)			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014 (1)
Change in net assets resulting from:
Operations:
Net investment income	$	301,390		$	6,517		$	1,563,303		$	1,350,301		$	188,536		$	4,795
Net realized gain on investments		237,455			1,800			4,694,064			2,888,632			23,645			2,803
Net change in unrealized appreciation/depreciation on investments		(1,320,378	)		51,406			(9,062,923	)		11,115,624			(1,177,692	)		54,210
Change in net assets resulting from operations		(781,533	)		59,723			(2,805,556	)		15,354,557			(965,511	)		61,808
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(1,907	)		—			(512,696	)		(493,309	)		(553	)		—
Institutional class of shares		(12	)		—			(50,968	)		(90,753	)		(4	)		—
Retirement class R-3 of shares		(1,597	)		—			(235,080	)		(324,143	)		(575	)		—
Retirement class R-6 of shares		(137,310	)		—			(1,141,860	)		(606,727	)		(66,017	)		—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(60	)		—			(738,765	)		(59,628	)		(92	)		—
Institutional class of shares		—			—			(67,698	)		(10,477	)		(1	)		—
Retirement class R-3 of shares		(47	)		—			(426,231	)		(40,777	)		(59	)		—
Retirement class R-6 of shares		(3,174	)		—			(1,321,738	)		(68,328	)		(4,528	)		—
Change in net assets resulting from distributions to shareholders		(144,107	)		—			(4,495,036	)		(1,694,142	)		(71,829	)		—
Capital stock transactions:
Proceeds from sale of shares		30,906,811			1,620,763			38,734,904			111,286,419	(2)		31,581,279			1,577,933
Net asset value of shares issued to shareholders in payment of distributions declared		144,107			—			4,495,036			1,694,142			71,829			—
Cost of shares redeemed		(2,065,412	)		(23,472	)		(44,118,917	)		(19,138,096	)		(2,887,872	)		(84,121	)
Change in net assets resulting from capital stock transactions		28,985,506			1,597,291			(888,977	)		93,842,465			28,765,236			1,493,812
Change in net assets		28,059,866			1,657,014			(8,189,569	)		107,502,880			27,727,896			1,555,620
Net assets:
Beginning of period		1,657,014			—			107,502,880			—			1,555,620			—
End of period	$	29,716,880		$	1,657,014		$	99,313,311		$	107,502,880		$	29,283,516		$	1,555,620
Undistributed net investment income included in net assets at end of period	$	234,683		$	6,500		$	739,934		$	473,041		$	176,224		$	4,811

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

(2) Includes paid-in-capital, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of September 1, 2013. See In-Kind Transfers in Note 4 of the Notes to Financial Statements for additional information.

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

31

Statements of Changes in Net Assets BMO Funds

	2040 Fund						2045 Fund						2050 Fund
	Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014 (1)			Year Ended August 31, 2015			Year Ended August 31, 2014
Change in net assets resulting from:
Operations:
Net investment income	$	934,365		$	873,167		$	75,609		$	3,069		$	499,305		$	427,420
Net realized gain on investments		4,054,927			2,121,490			9,469			1,491			1,435,848			1,062,206
Net change in unrealized appreciation/depreciation on investments		(6,871,065	)		8,517,785			(631,975	)		38,672			(3,204,100	)		4,359,188
Change in net assets resulting from operations		(1,881,773	)		11,512,442			(546,897	)		43,232			(1,268,947	)		5,848,814
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(322,333	)		(332,895	)		(82	)		—			(190,421	)		(170,299	)
Institutional class of shares		(62,399	)		(54,556	)		(2	)		—			(49,742	)		(44,843	)
Retirement class R-3 of shares		(164,222	)		(181,348	)		(510	)		—			(87,836	)		(91,202	)
Retirement class R-6 of shares		(887,900	)		(547,677	)		(24,270	)		—			(421,540	)		(199,894	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(377,226	)		(43,306	)		(56	)		—			(237,181	)		(21,065	)
Institutional class of shares		(64,415	)		(6,792	)		(1	)		—			(54,724	)		(5,295	)
Retirement class R-3 of shares		(228,230	)		(24,607	)		(78	)		—			(133,510	)		(11,845	)
Retirement class R-6 of shares		(848,765	)		(66,599	)		(2,771	)		—			(426,694	)		(22,977	)
Change in net assets resulting from distributions to shareholders		(2,955,490	)		(1,257,780	)		(27,770	)		—			(1,601,648	)		(567,420	)
Capital stock transactions:
Proceeds from sale of shares		19,982,337			75,680,920	(2)		16,077,852			1,094,155			17,843,952			41,973,156	(2)
Net asset value of shares issued to shareholders in payment of distributions declared		2,955,490			1,257,780			27,770			—			1,601,648			567,420
Cost of shares redeemed		(27,744,060	)		(14,312,615	)		(1,540,048	)		(82,427	)		(15,243,411	)		(9,411,899	)
Change in net assets resulting from capital stock transactions		(4,806,233	)		62,626,085			14,565,574			1,011,728			4,202,189			33,128,677
Change in net assets		(9,643,496	)		72,880,747			13,990,907			1,054,960			1,331,594			38,410,071
Net assets:
Beginning of period		72,880,747			—			1,054,960			—			38,410,071			—
End of period	$	63,237,251		$	72,880,747		$	15,045,867		$	1,054,960		$	39,741,665		$	38,410,071
Undistributed net investment income included in net assets at end of period	$	366,156		$	338,260		$	75,536		$	3,093		$	201,986		$	164,925

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

(2) Includes paid-in-capital, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of September 1, 2013. See In-Kind Transfers in Note 4 of the Notes to Financial Statements for additional information.

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

32

Statements of Changes in Net Assets BMO Funds

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Year Ended August 31, 2015			Period Ended August 31, 2014 (1)			Year Ended August 31, 2015			Period Ended August 31, 2014 (2)			Year Ended August 31, 2015			Period Ended August 31, 2014 (2)
Change in net assets resulting from:
Operations:
Net investment income	$	20,681		$	1,723		$	3,509,305		$	880,416		$	3,061,499		$	709,617
Net realized gain on investments		12,371			395			3,811,739			316,340			5,831,828			376,218
Net change in unrealized appreciation/depreciation on investments		(216,558	)		27,827			(9,055,244	)		1,125,420			(11,709,768	)		2,133,436
Change in net assets resulting from operations		(183,506	)		29,945			(1,734,200	)		2,322,176			(2,816,441	)		3,219,271
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(1,208	)		—			(402,928	)		—			(410,110	)		—
Institutional class of shares		(729	)		—			(503,254	)		—			(276,634	)		—
Retirement class R-3 of shares		(641	)		—			(154,574	)		—			(292,686	)		—
Retirement class R-6 of shares		(13,016	)		—			(1,604,876	)		—			(1,793,405	)		—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(302	)		—			(215,030	)		—			(157,772	)		—
Institutional class of shares		(162	)		—			(246,113	)		—			(98,536	)		—
Retirement class R-3 of shares		(175	)		—			(91,471	)		—			(123,276	)		—
Retirement class R-6 of shares		(2,585	)		—			(747,767	)		—			(606,593	)		—
Change in net assets resulting from distributions to shareholders		(18,818	)		—			(3,966,013	)		—			(3,759,012	)		—
Capital stock transactions:
Proceeds from sale of shares		4,793,642			1,117,065			28,756,651			164,350,746	(3)		29,590,644			163,778,537	(3)
Net asset value of shares issued to shareholders in payment of distributions declared		18,818			—			3,966,013			—			3,759,012			—
Cost of shares redeemed		(946,728	)		(366,957	)		(38,862,100	)		(7,869,795	)		(30,816,952	)		(8,763,252	)
Change in net assets resulting from capital stock transactions		3,865,732			750,108			(6,139,436	)		156,480,951			2,532,704			155,015,285
Change in net assets		3,663,408			780,053			(11,839,649	)		158,803,127			(4,042,749	)		158,234,556
Net assets:
Beginning of period		780,053			—			158,803,127			—			158,234,556			—
End of period	$	4,443,461		$	780,053		$	146,963,478		$	158,803,127		$	154,191,807		$	158,234,556
Undistributed net investment income included in net assets at end of period	$	15,451		$	1,743		$	2,123,025		$	885,448		$	1,686,550		$	715,744

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

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

(3) Includes paid-in-capital, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of June 1, 2014. See In-Kind Transfers in Note 4 of the Notes to Financial Statements for additional information.

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

33

Statements of Changes in Net Assets BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Year Ended August 31, 2015			Period Ended August 31, 2014 (1)			Year Ended August 31, 2015			Period Ended August 31, 2014 (1)			Year Ended August 31, 2015			Period Ended August 31, 2014 (1)
Change in net assets resulting from:
Operations:
Net investment income	$	9,328,269		$	1,989,859		$	1,880,459		$	320,349		$	2,229,126		$	263,995
Net realized gain on investments		34,485,101			1,879,959			9,520,494			388,341			16,008,062			569,370
Net change in unrealized appreciation/depreciation on investments		(56,561,320	)		11,351,850			(16,236,823	)		3,941,365			(24,906,848	)		5,499,242
Change in net assets resulting from operations		(12,747,950	)		15,221,668			(4,835,870	)		4,650,055			(6,669,660	)		6,332,607
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(2,909,419	)		—			(696,737	)		—			(1,043,835	)		—
Institutional class of shares		(1,372,958	)		—			(264,749	)		—			(490,234	)		—
Retirement class R-3 of shares		(677,457	)		—			(409,958	)		—			(237,316	)		—
Retirement class R-6 of shares		(5,537,512	)		—			(1,086,800	)		—			(1,452,470	)		—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(1,128,902	)		—			(136,573	)		—			(256,288	)		—
Institutional class of shares		(489,713	)		—			(47,764	)		—			(111,509	)		—
Retirement class R-3 of shares		(285,267	)		—			(88,876	)		—			(63,876	)		—
Retirement class R-6 of shares		(1,883,488	)		—			(185,451	)		—			(315,973	)		—
Change in net assets resulting from distributions to shareholders		(14,284,716	)		—			(2,916,908	)		—			(3,971,501	)		—
Capital stock transactions:
Proceeds from sale of shares		77,001,090			592,771,447	(2)		33,760,854			154,470,005	(2)		129,770,330	(3)		179,199,755	(2)
Net asset value of shares issued to shareholders in payment of distributions declared		14,284,716			—			2,916,908			—			3,971,501			—
Cost of shares redeemed		(132,510,380	)		(14,881,172	)		(26,850,099	)		(6,289,732	)		(51,445,710	)		(5,842,063	)
Change in net assets resulting from capital stock transactions		(41,224,574	)		577,890,275			9,827,663			148,180,273			82,296,121			173,357,692
Change in net assets		(68,257,240	)		593,111,943			2,074,885			152,830,328			71,654,960			179,690,299
Net assets:
Beginning of period		593,111,943			—			152,830,328			—			179,690,299			—
End of period	$	524,854,703		$	593,111,943		$	154,905,213		$	152,830,328		$	251,345,259		$	179,690,299
Undistributed net investment income included in net assets at end of period	$	4,303,993		$	2,018,720		$	883,507		$	346,689		$	883,144		$	291,880

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

(2) Includes paid-in-capital, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of June 1, 2014. See In-Kind Transfers in Note 4 of the Notes to Financial Statements for additional information.

(3) Includes paid-in-capital received from a non-taxable in-kind subscription merger of the BMO Aggressive Stock Fund effective as of the close of business on December 19, 2014. See Note 10, Reorganization Information, in the Notes to Financial Statements for additional information.

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

34

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 (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (2)
2010 Fund
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
2015			10.74			0.11				(0.35	)			(0.24	)			(0.06	)			—				(0.06	)			10.44		(2.27	)		4.21			0.33			1.54				632		83
2014(5)			10.00			0.02				0.72				0.74				—				—				—				10.74		7.40			73.54			0.33			1.23				229		29
2020 Fund
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
2015			10.78			0.06				(0.37	)			(0.31	)			(0.05	)			—				(0.05	)			10.42		(2.89	)		1.26			0.33			1.04				1,676		53
2014(5)			10.00			0.01				0.77				0.78				—				—				—				10.78		7.80			24.60			0.33			0.56				289		22
2030 Fund
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
2015			10.71			0.01				(0.38	)			(0.37	)			(0.01	)			—				(0.01	)			10.33		(3.43	)		1.29			0.37			0.26				870		96
2014(5)			10.00			0.00				0.71				0.71				—				—				—				10.71		7.10			23.63			0.37			0.16				348		29
2040 Fund
2015			11.75			0.12				(0.51	)			(0.39	)			(0.20	)			(0.24	)			(0.44	)			10.92		(3.46	)		0.67			0.36			1.14				12,852		36
2014			10.00			0.14				1.82				1.96				(0.19	)			(0.02	)			(0.21	)			11.75		19.81			0.76			0.36			1.45				18,090		22
2045 Fund
2015			10.84			(0.01	)			(0.34	)			(0.35	)			(0.01	)			—				(0.01	)			10.48		(3.27	)		2.14			0.36			0.26				1,142		95
2014(5)			10.00			0.00				0.84				0.84				—				—				—				10.84		8.40			33.37			0.36			0.04				154		35
2050 Fund
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
2015			10.85			0.06				(0.42	)			(0.36	)			(0.06	)			(0.02	)			(0.08	)			10.41		(3.33	)		6.91			0.36			0.57				1,049		61
2014(5)			10.00			0.00				0.85				0.85				—				—				—				10.85		8.50			50.05			0.36			0.07				143		123
Conservative Allocation Fund
2015			10.14			0.20				(0.34	)			(0.14	)			(0.16	)			(0.08	)			(0.24	)			9.76		(1.37	)		0.57			0.33			1.97				23,598		39
2014(6)			10.00			0.03				0.11				0.14				—				—				—				10.14		1.40			0.60			0.33			1.17				25,931		10
Moderate Allocation Fund
2015			10.20			0.17				(0.36	)			(0.19	)			(0.17	)			(0.06	)			(0.23	)			9.78		(1.89	)		0.57			0.30			1.72				22,595		30
2014(6)			10.00			0.04				0.16				0.20				—				—				—				10.20		2.00			0.60			0.30			1.60				24,928		8
Balanced Allocation Fund
2015			10.26			0.15				(0.39	)			(0.24	)			(0.17	)			(0.07	)			(0.24	)			9.78		(2.41	)		0.47			0.33			1.38				157,207		29
2014(6)			10.00			0.03				0.23				0.26				—				—				—				10.26		2.60			0.47			0.33			1.14				184,860		6
Growth Allocation Fund
2015			10.31			0.11				(0.41	)			(0.30	)			(0.16	)			(0.03	)			(0.19	)			9.82		(2.95	)		0.57			0.30			1.10				43,023		20
2014(6)			10.00			0.02				0.29				0.31				—				—				—				10.31		3.10			0.60			0.30			0.73				46,520		6
Aggressive Allocation Fund
2015			10.36			0.12				(0.41	)			(0.29	)			(0.18	)			(0.04	)			(0.22	)			9.85		(2.79	)		0.53			0.34			0.73				83,064		44
2014(6)			10.00			0.01				0.35				0.36				—				—				—				10.36		3.60			0.58			0.36			0.42				63,049		3

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

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income ratios.

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

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

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

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

35

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				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (2)
2010 Fund
2015		$	11.07		$	0.50		$	(0.68	)		$	(0.18	)		$	(0.31	)		$	(0.53	)		$	(0.84	)		$	10.05		(1.73	)%		0.78	%		0.08	%		2.25	%		$	275		53	%
2014			10.00			0.22			1.00				1.22				(0.13	)			(0.02	)			(0.15	)			11.07		12.32			0.83			0.08			2.10				931		45
2015 Fund
2015			10.77			0.20			(0.42	)			(0.22	)			(0.07	)			—				(0.07	)			10.48		(2.10	)		3.96			0.08			1.85				108		83
2014(5)			10.00			0.05			0.72				0.77				—				—				—				10.77		7.70			73.29			0.08			1.68				105		29
2020 Fund
2015			11.36			0.24			(0.49	)			(0.25	)			(0.28	)			(0.32	)			(0.60	)			10.51		(2.33	)		0.34			0.08			1.78				5,264		37
2014			10.00			0.22			1.34				1.56				(0.16	)			(0.04	)			(0.20	)			11.36		15.73			0.38			0.08			2.11				3,240		35
2025 Fund
2015			10.80			0.08			(0.36	)			(0.28	)			(0.05	)			—				(0.05	)			10.47		(2.59	)		1.01			0.08			1.35				611		53
2014(5)			10.00			0.08			0.72				0.80				—				—				—				10.80		8.00			24.35			0.08			1.11				3		22
2030 Fund
2015			11.63			0.24			(0.56	)			(0.32	)			(0.19	)			(0.25	)			(0.44	)			10.87		(2.85	)		0.34			0.12			1.43				2,867		45
2014			10.00			0.18			1.66				1.84				(0.19	)			(0.02	)			(0.21	)			11.63		18.55			0.41			0.12			1.70				5,286		29
2035 Fund
2015			10.72			0.03			(0.37	)			(0.34	)			(0.01	)			—				(0.01	)			10.37		(3.14	)		1.04			0.12			1.01				67		96
2014(5)			10.00			0.05			0.67				0.72				—				—				—				10.72		7.20			23.38			0.12			0.70				4		29
2040 Fund
2015			11.77			0.18			(0.54	)			(0.36	)			(0.23	)			(0.24	)			(0.47	)			10.94		(3.23	)		0.42			0.11			1.35				2,444		36
2014			10.00			0.17			1.82				1.99				(0.20	)			(0.02	)			(0.22	)			11.77		20.10			0.51			0.11			1.45				3,602		22
2045 Fund
2015			10.86			0.03			(0.36	)			(0.33	)			(0.01	)			—				(0.01	)			10.52		(3.05	)		1.89			0.11			0.96				112		95
2014(5)			10.00			0.04			0.82				0.86				—				—				—				10.86		8.60			33.12			0.11			0.51				3		35
2050 Fund
2015			11.78			0.17			(0.52	)			(0.35	)			(0.21	)			(0.23	)			(0.44	)			10.99		(3.07	)		0.59			0.11			1.30				1,908		39
2014			10.00			0.17			1.81				1.98				(0.18	)			(0.02	)			(0.20	)			11.78		19.98			0.83			0.11			1.48				3,007		28
2055 Fund
2015			10.87			0.09			(0.42	)			(0.33	)			(0.07	)			(0.02	)			(0.09	)			10.45		(3.05	)		6.66			0.11			0.91				190		61
2014(5)			10.00			0.03			0.84				0.87				—				—				—				10.87		8.70			49.80			0.11			0.97				106		123
Conservative Allocation Fund
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
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
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
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
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) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income ratios.

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

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

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

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

36

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				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
2010 Fund
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
2015			10.72			0.09				(0.36	)			(0.27	)			(0.04	)			—				(0.04	)			10.41		(2.50	)		4.46			0.58			1.33				221		83
2014(5)			10.00			0.03				0.69				0.72				—				—				—				10.72		7.20			73.79			0.58			1.18				105		29
2020 Fund
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
2015			10.76			0.03				(0.36	)			(0.33	)			(0.05	)			—				(0.05	)			10.38		(3.06	)		1.51			0.58			0.74				1,388		53
2014(5)			10.00			0.04				0.72				0.76				—				—				—				10.76		7.60			24.85			0.58			0.59				2		22
2030 Fund
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
2015			10.68			(0.03	)			(0.36	)			(0.39	)			(0.02	)			—				(0.02	)			10.27		(3.65	)		1.54			0.62			(0.13	)			734		96
2014(5)			10.00			0.01				0.67				0.68				—				—				—				10.68		6.80			23.88			0.62			0.19				3		29
2040 Fund
2015			11.72			0.10				(0.50	)			(0.40	)			(0.17	)			(0.24	)			(0.41	)			10.91		(3.57	)		0.92			0.61			0.92				7,748		36
2014			10.00			0.11				1.82				1.93				(0.19	)			(0.02	)			(0.21	)			11.72		19.42			1.01			0.61			0.97				11,429		22
2045 Fund
2015			10.82			(0.07	)			(0.31	)			(0.38	)			(0.02	)			—				(0.02	)			10.42		(3.53	)		2.39			0.61			(0.90	)			746		95
2014(5)			10.00			0.00				0.82				0.82				—				—				—				10.82		8.20			33.62			0.61			0.01				3		35
2050 Fund
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
2015			10.84			0.03				(0.41	)			(0.38	)			(0.06	)			(0.02	)			(0.08	)			10.38		(3.55	)		7.16			0.61			0.14				395		61
2014(5)			10.00			0.01				0.83				0.84				—				—				—				10.84		8.40			50.30			0.61			0.44				54		123
Conservative Allocation Fund
2015			10.14			0.20				(0.37	)			(0.17	)			(0.15	)			(0.08	)			(0.23	)			9.74		(1.72	)		0.82			0.58			1.74				7,624		39
2014(6)			10.00			0.02				0.12				0.14				—				—				—				10.14		1.40			0.85			0.58			0.91				11,583		10
Moderate Allocation Fund
2015			10.20			0.15				(0.37	)			(0.22	)			(0.16	)			(0.06	)			(0.22	)			9.76		(2.23	)		0.82			0.55			1.45				22,279		30
2014(6)			10.00			0.03				0.17				0.20				—				—				—				10.20		2.00			0.85			0.55			1.33				19,949		8
Balanced Allocation Fund
2015			10.25			0.12				(0.38	)			(0.26	)			(0.16	)			(0.07	)			(0.23	)			9.76		(2.64	)		0.72			0.58			1.15				38,677		29
2014(6)			10.00			0.02				0.23				0.25				—				—				—				10.25		2.50			0.72			0.58			0.89				44,647		6
Growth Allocation Fund
2015			10.30			0.09				(0.40	)			(0.31	)			(0.15	)			(0.03	)			(0.18	)			9.81		(3.10	)		0.82			0.55			0.83				28,903		20
2014(6)			10.00			0.01				0.29				0.30				—				—				—				10.30		3.00			0.85			0.55			0.46				31,065		6
Aggressive Allocation Fund
2015			10.35			0.10				(0.40	)			(0.30	)			(0.17	)			(0.04	)			(0.21	)			9.84		(2.94	)		0.78			0.59			0.48				22,578		44
2014(6)			10.00			0.00				0.35				0.35				—				—				—				10.35		3.50			0.83			0.61			0.16				16,200		3

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

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

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

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

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

37

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				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)(7)			Net investment income (2)
2010 Fund
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
2015			10.78			0.13			(0.34	)			(0.21	)			(0.07	)			—				(0.07	)			10.50		(1.92	)		3.81			0.00			1.94				4,234		83
2014(5)			10.00			0.08			0.70				0.78				—				—				—				10.78		7.80			73.14			0.00			1.75				174		29
2020 Fund
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
2015			10.81			0.09			(0.35	)			(0.26	)			(0.07	)			—				(0.07	)			10.48		(2.45	)		0.86			0.00			1.48				26,042		53
2014(5)			10.00			0.05			0.76				0.81				—				—				—				10.81		8.10			24.20			0.00			1.39				1,363		22
2030 Fund
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
2015			10.73			0.04			(0.36	)			(0.32	)			(0.03	)			—				(0.03	)			10.38		(2.99	)		0.89			0.00			0.97				27,613		96
2014(5)			10.00			0.04			0.69				0.73				—				—				—				10.73		7.30			23.23			0.00			1.06				1,201		29
2040 Fund
2015			11.78			0.16			(0.50	)			(0.34	)			(0.24	)			(0.24	)			(0.48	)			10.96		(2.98	)		0.27			0.00			1.45				40,193		36
2014			10.00			0.18			1.83				2.01				(0.21	)			(0.02	)			(0.23	)			11.78		20.26			0.36			0.00			1.39				39,760		22
2045 Fund
2015			10.87			0.03			(0.35	)			(0.32	)			(0.02	)			—				(0.02	)			10.53		(2.91	)		1.74			0.00			0.85				13,046		95
2014(5)			10.00			0.04			0.83				0.87				—				—				—				10.87		8.70			32.97			0.00			0.93				895		35
2050 Fund
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
2015			10.89			0.07			(0.39	)			(0.32	)			(0.08	)			(0.02	)			(0.10	)			10.47		(2.96	)		6.51			0.00			0.90				2,809		61
2014(5)			10.00			0.03			0.86				0.89				—				—				—				10.89		8.90			49.65			0.00			0.84				477		123
Conservative Allocation Fund
2015			10.15			0.25			(0.34	)			(0.09	)			(0.19	)			(0.08	)			(0.27	)			9.79		(0.94	)		0.17			0.00			2.38				86,637		39
2014(6)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.20			0.00			1.57				92,207		10
Moderate Allocation Fund
2015			10.21			0.21			(0.37	)			(0.16	)			(0.19	)			(0.06	)			(0.25	)			9.80		(1.56	)		0.17			0.00			2.11				93,206		30
2014(6)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.20			0.00			1.99				95,654		8
Balanced Allocation Fund
2015			10.27			0.18			(0.39	)			(0.21	)			(0.19	)			(0.07	)			(0.26	)			9.80		(2.08	)		0.07			0.00			1.78				247,496		29
2014(6)			10.00			0.04			0.23				0.27				—				—				—				10.27		2.70			0.07			0.00			1.54				284,021		6
Growth Allocation Fund
2015			10.32			0.16			(0.41	)			(0.25	)			(0.19	)			(0.03	)			(0.22	)			9.85		(2.52	)		0.17			0.00			1.47				67,727		20
2014(6)			10.00			0.03			0.29				0.32				—				—				—				10.32		3.20			0.20			0.00			1.11				56,647		6
Aggressive Allocation Fund
2015			10.37			0.17			(0.41	)			(0.24	)			(0.21	)			(0.04	)			(0.25	)			9.88		(2.37	)		0.12			0.00			1.12				113,933		44
2014(6)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.18			0.00			0.82				73,040		3

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

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income ratios.

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

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

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

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

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

38

August 31, 2015

Notes to Financial Statements BMO Funds

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of August 31, 2015, the Corporation consisted of 43 portfolios. As of August 31, 2015, this annual report includes 10 target retirement and 5 target risk diversified portfolios (individually referred to as the “Fund,” or collectively as the “Funds”), each with Investor, Institutional, Retirement R-3 and Retirement R-6 classes of shares. As of August 31, 2015, the Corporation also consisted of 28 other portfolios whose annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Target Retirement
2010 Fund	August 30, 2013	The investment objective of each Target Retirement Fund is to achieve growth, income, and conservation of capital to varying degrees depending on its proximity to its target date. As the Fund approaches its target date, the Fund will reduce its emphasis on growth and increase its emphasis on income and preservation of capital.
2015 Fund	December 27, 2013
2020 Fund	August 30, 2013
2025 Fund	December 27, 2013
2030 Fund	August 30, 2013
2035 Fund	December 27, 2013
2040 Fund	August 30, 2013
2045 Fund	December 27, 2013
2050 Fund	August 30, 2013
2055 Fund	December 27, 2013
Target Risk
Conservative Allocation Fund*	May 30, 2014	To provide total return primarily from income, secondarily from appreciation.
Moderate Allocation Fund*	May 30, 2014	To provide total investment return from income and appreciation.
Balanced Allocation Fund*	May 30, 2014	To provide total investment return from income and appreciation.
Growth Allocation Fund*	May 30, 2014	To provide total investment return from income and appreciation.
Aggressive Allocation Fund*	May 30, 2014	To provide total investment return primarily from appreciation, secondarily from income.

* Name changes effective December 19, 2014. Prior to December 19, 2014, these Funds were known as the BMO Diversified Income Fund, BMO Moderate Balanced Fund, BMO Growth Balanced Fund, BMO Aggressive Allocation Fund and BMO Diversified Stock Fund, respectively.

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%–100%		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 of BMO Funds and unaffiliated mutual funds. The Funds are designed to provide investors with investment management, asset allocation, and ongoing reallocation over time. Each Fund is considered a “fund of funds” because it invests in other mutual funds. A fund of funds bears its own direct expenses in addition to bearing a proportionate share of expenses charged to the underlying funds in which it invests.

2. Significant Accounting Policies

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

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

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

Securities or other assets for which market valuations are not readily available, or are deemed to be inaccurate, are valued at fair value as determined in good faith using methods approved by the Board of Directors (the “Directors”). The Directors have established a Pricing Committee, which is responsible for determinations of fair value, subject to the supervision of the Directors. In determining fair value, the Pricing Committee takes into account all information available and any factors it deems appropriate. Consequently, the price of securities used by a Fund to calculate its 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

39

Notes to Financial Statements (continued)

determined for a security is materially different than the value that would be realized upon the sale of that security and the differences may be material to the NAV of the respective Fund or the financial statements presented.

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

Investment Income, Expenses, and Distributions—Investment income and expenses are accrued daily. The Funds distribute net investment income, if any, and net realized gains (net of any capital loss carryovers) annually. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair market value.

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 to distribute to shareholders each year substantially all of their income. Accordingly, no provisions for federal tax are necessary. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.

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

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

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

3. Fair Value Measurement

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

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

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

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

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

The Funds have adopted Amendments to Achieve Common Fair Value Measurement Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”) which amends Fair Value Measurement to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and IFRS. Enhanced disclosure is required to detail any transfers into and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. The Funds did not hold any Level 2 or Level 3 securities as of August 31, 2015.

40

BMO Funds

The following is a summary of the inputs used, as of August 31, 2015, in valuing the Funds’ assets:

	2010 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	23,445,046	$	—	$	—	$	23,445,046
Short-Term Investments		366,785		—		—		366,785
Total	$	23,811,831	$	—	$	—	$	23,811,831
	2015 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	5,103,544	$	—	$	—	$	5,103,544
Short-Term Investments		78,523		—		—		78,523
Total	$	5,182,067	$	—	$	—	$	5,182,067
	2020 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	93,907,569	$	—	$	—	$	93,907,569
Short-Term Investments		965,999		—		—		965,999
Total	$	94,873,568	$	—	$	—	$	94,873,568
	2025 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	29,225,027	$	—	$	—	$	29,225,027
Short-Term Investments		440,254		—		—		440,254
Total	$	29,665,281	$	—	$	—	$	29,665,281
	2030 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	98,118,879	$	—	$	—	$	98,118,879
Short-Term Investments		1,040,488		—		—		1,040,488
Total	$	99,159,367	$	—	$	—	$	99,159,367
	2035 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	28,869,239	$	—	$	—	$	28,869,239
Short-Term Investments		443,036		—		—		443,036
Total	$	29,312,275	$	—	$	—	$	29,312,275
	2040 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	62,587,684	$	—	$	—	$	62,587,684
Short-Term Investments		669,469		—		—		669,469
Total	$	63,257,153	$	—	$	—	$	63,257,153
	2045 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	14,734,361	$	—	$	—	$	14,734,361
Short-Term Investments		303,712		—		—		303,712
Total	$	15,038,073	$	—	$	—	$	15,038,073

	2050 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	39,024,546	$	—	$	—	$	39,024,546
Short-Term Investments		636,169		—		—		636,169
Total	$	39,660,715	$	—	$	—	$	39,660,715
	2055 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	4,298,657	$	—	$	—	$	4,298,657
Short-Term Investments		117,595		—		—		117,595
Total	$	4,416,252	$	—	$	—	$	4,416,252
	Conservative Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	145,134,046	$	—	$	—	$	145,134,046
Short-Term Investments		1,647,374		—		—		1,647,374
Total	$	146,781,420	$	—	$	—	$	146,781,420
	Moderate Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	152,223,696	$	—	$	—	$	152,223,696
Short-Term Investments		1,792,804		—		—		1,792,804
Total	$	154,016,500	$	—	$	—	$	154,016,500
	Balanced Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	517,738,883	$	—	$	—	$	517,738,883
Short-Term Investments		6,132,819		—		—		6,132,819
Total	$	523,871,702	$	—	$	—	$	523,871,702
	Growth Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	153,015,539	$	—	$	—	$	153,015,539
Short-Term Investments		1,633,049		—		—		1,633,049
Total	$	154,648,588	$	—	$	—	$	154,648,588
	Aggressive Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	248,944,681	$	—	$	—	$	248,944,681
Short-Term Investments		2,652,702		—		—		2,652,702
Total	$	251,597,383	$	—	$	—	$	251,597,383

41

Notes to Financial Statements (continued)

4. Capital Stock

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

	2010 Fund						2015 Fund						2020 Fund
	Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014(1)			Year Ended August 31, 2015			Year Ended August 31, 2014
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	2,553,201		$	8,444,326	(2)	$	429,164		$	227,520		$	5,536,279		$	36,263,814	(2)
Institutional class of shares		252,410			923,868	(2)		5,628			102,500			3,913,111			3,583,055	(2)
Retirement class R-3 of shares		1,685,053			5,408,352	(2)		133,225			102,500			3,123,675			25,200,708	(2)
Retirement class R-6 of shares		4,826,780			23,584,300	(2)		6,535,738			442,187			15,778,753			61,485,469	(2)
Net proceeds from sale of shares		9,317,444			38,360,846			7,103,755			874,707			28,351,818			126,533,046
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		512,602			89,569			1,560			—			1,637,504			536,963
Institutional class of shares		31,528			11,473			637			—			177,322			53,586
Retirement class R-3 of shares		283,852			61,234			574			—			1,003,886			336,026
Retirement class R-6 of shares		1,350,769			307,966			36,070			—			2,758,969			955,502
Net proceeds from shares issued		2,178,751			470,242			38,841			—			5,577,681			1,882,077
Cost of shares redeemed:
Investor class of shares		(4,770,741	)		(2,064,040	)		(10,509	)		(1,167	)		(15,828,088	)		(8,518,577	)
Institutional class of shares		(897,324	)		(86,766	)		(1	)		—			(1,742,714	)		(743,132	)
Retirement class R-3 of shares		(3,746,584	)		(1,649,534	)		(11,244	)		—			(10,627,609	)		(5,173,982	)
Retirement class R-6 of shares		(8,073,712	)		(5,872,291	)		(2,430,695	)		(274,889	)		(20,890,087	)		(9,692,245	)
Net cost of shares redeemed		(17,488,361	)		(9,672,631	)		(2,452,449	)		(276,056	)		(49,088,498	)		(24,127,936	)
Net change resulting from fund share transactions in dollars	$	(5,992,166	)	$	29,158,457		$	4,690,147		$	598,651		$	(15,158,999	)	$	104,287,187
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		242,367			830,271	(2)		39,990			21,482			502,747			3,561,428	(2)
Institutional class of shares		23,535			91,093	(2)		517			9,729			355,799			348,726	(2)
Retirement class R-3 of shares		157,157			536,623	(2)		12,414			9,756			283,520			2,480,350	(2)
Retirement class R-6 of shares		463,921			2,340,155	(2)		607,578			42,890			1,445,729			6,042,340	(2)
Net sale of shares		886,980			3,798,142			660,499			83,857			2,587,795			12,432,844
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		50,403			8,596			146			—			152,326			50,609
Institutional class of shares		3,097			1,101			60			—			16,495			5,051
Retirement class R-3 of shares		27,883			5,877			54			—			93,298			31,670
Retirement class R-6 of shares		132,819			29,555			3,374			—			256,410			90,057
Net shares issued		214,202			45,129			3,634			—			518,529			177,387
Shares redeemed:
Investor class of shares		(457,492	)		(194,681	)		(976	)		(109	)		(1,447,608	)		(785,722	)
Institutional class of shares		(83,315	)		(8,166	)		—			—			(156,644	)		(68,669	)
Retirement class R-3 of shares		(358,566	)		(154,354	)		(1,040	)		—			(961,216	)		(479,196	)
Retirement class R-6 of shares		(759,711	)		(553,682	)		(223,913	)		(26,698	)		(1,887,513	)		(902,430	)
Net shares redeemed		(1,659,084	)		(910,883	)		(225,929	)		(26,807	)		(4,452,981	)		(2,236,017	)
Net change resulting from fund share transactions in shares		(557,902	)		2,932,388			438,204			57,050			(1,346,657	)		10,374,214

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

(2) Includes paid-in-capital and shares, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of September 1, 2013.

42

BMO Funds

	2025 Fund						2030 Fund						2035 Fund
	Year Ended August 31, 2015			Period Ended August 31, 2014(1)			Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014(1)
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,586,365		$	298,772		$	7,013,564		$	34,938,990	(2)	$	729,095		$	375,467
Institutional class of shares		642,649			2,500			1,964,022			5,469,509	(2)		71,433			3,500
Retirement class R-3 of shares		1,600,512			2,500			2,657,521			22,789,755	(2)		796,104			2,500
Retirement class R-6 of shares		27,077,285			1,316,991			27,099,797			48,088,165	(2)		29,984,647			1,196,466
Net proceeds from sale of shares		30,906,811			1,620,763			38,734,904			111,286,419			31,581,279			1,577,933
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,967			—			1,251,461			552,937			644			—
Institutional class of shares		13			—			118,666			101,230			5			—
Retirement class R-3 of shares		1,644			—			661,311			364,920			634			—
Retirement class R-6 of shares		140,483			—			2,463,598			675,055			70,546			—
Net proceeds from shares issued		144,107			—			4,495,036			1,694,142			71,829			—
Cost of shares redeemed:
Investor class of shares		(142,754	)		(14,966	)		(16,119,882	)		(6,916,070	)		(180,026	)		(34,900	)
Institutional class of shares		(5,055	)		—			(4,314,720	)		(1,034,034	)		(4,526	)		—
Retirement class R-3 of shares		(149,080	)		—			(9,870,793	)		(5,574,411	)		(32,471	)		—
Retirement class R-6 of shares		(1,768,523	)		(8,506	)		(13,813,522	)		(5,613,581	)		(2,670,849	)		(49,221	)
Net cost of shares redeemed		(2,065,412	)		(23,472	)		(44,118,917	)		(19,138,096	)		(2,887,872	)		(84,121	)
Net change resulting from fund share transactions in dollars	$	28,985,506		$	1,597,291		$	(888,977	)	$	93,842,465		$	28,765,236		$	1,493,812
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		146,929			28,228			615,955			3,417,671	(2)		68,499			35,809
Institutional class of shares		58,534			250			172,856			537,594	(2)		6,520			350
Retirement class R-3 of shares		147,004			250			233,694			2,228,554	(2)		74,119			250
Retirement class R-6 of shares		2,508,756			126,860			2,354,977			4,652,066	(2)		2,788,354			116,656
Net sale of shares		2,861,223			155,588			3,377,482			10,835,885			2,937,492			153,065
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		184			—			112,038			51,245			60			—
Institutional class of shares		1			—			10,614			9,382			1			—
Retirement class R-3 of shares		154			—			59,151			33,820			59			—
Retirement class R-6 of shares		13,080			—			220,555			62,563			6,587			—
Net shares issued		13,419			—			402,358			157,010			6,707			—
Shares redeemed:
Investor class of shares		(13,120	)		(1,421	)		(1,423,231	)		(620,827	)		(16,867	)		(3,324	)
Institutional class of shares		(458	)		—			(374,363	)		(92,342	)		(409	)		—
Retirement class R-3 of shares		(13,697	)		—			(863,781	)		(507,796	)		(2,969	)		—
Retirement class R-6 of shares		(162,853	)		(800	)		(1,223,538	)		(519,721	)		(247,165	)		(4,677	)
Net shares redeemed		(190,128	)		(2,221	)		(3,884,913	)		(1,740,686	)		(267,410	)		(8,001	)
Net change resulting from fund share transactions in shares		2,684,514			153,367			(105,073	)		9,252,209			2,676,789			145,064

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

(2) Includes paid-in-capital and shares, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of September 1, 2013.

43

Notes to Financial Statements (continued)

	2040 Fund						2045 Fund						2050 Fund
	Year Ended August 31, 2015			Year Ended August 31, 2014			Year Ended August 31, 2015			Period Ended August 31, 2014(1)			Year Ended August 31, 2015			Year Ended August 31, 2014
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	5,453,708		$	21,764,442	(2)	$	1,112,090		$	152,476		$	4,228,983		$	13,318,979	(2)
Institutional class of shares		1,096,925			3,510,144	(2)		116,310			2,500			1,066,096			3,088,804	(2)
Retirement class R-3 of shares		2,439,717			12,049,884	(2)		812,631			2,500			1,786,394			7,322,551	(2)
Retirement class R-6 of shares		10,991,987			38,356,450	(2)		14,036,821			936,679			10,762,479			18,242,822	(2)
Net proceeds from sale of shares		19,982,337			75,680,920			16,077,852			1,094,155			17,843,952			41,973,156
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		699,560			376,202			138			—			427,602			191,364
Institutional class of shares		126,814			61,347			2			—			104,466			50,138
Retirement class R-3 of shares		392,452			205,955			589			—			221,346			103,047
Retirement class R-6 of shares		1,736,664			614,276			27,041			—			848,234			222,871
Net proceeds from shares issued		2,955,490			1,257,780			27,770			—			1,601,648			567,420
Cost of shares redeemed:
Investor class of shares		(10,354,982	)		(7,024,739	)		(80,294	)		(1,440	)		(4,855,407	)		(4,013,466	)
Institutional class of shares		(2,201,952	)		(446,128	)		(783	)		—			(2,137,292	)		(578,907	)
Retirement class R-3 of shares		(5,937,625	)		(2,509,029	)		(35,159	)		—			(3,412,701	)		(1,590,524	)
Retirement class R-6 of shares		(9,249,501	)		(4,332,719	)		(1,423,812	)		(80,987	)		(4,838,011	)		(3,229,002	)
Net cost of shares redeemed		(27,744,060	)		(14,312,615	)		(1,540,048	)		(82,427	)		(15,243,411	)		(9,411,899	)
Net change resulting from fund share transactions in dollars	$	(4,806,233	)	$	62,626,085		$	14,565,574		$	1,011,728		$	4,202,189		$	33,128,677
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		474,203			2,130,692	(2)		102,004			14,385			366,132			1,293,640	(2)
Institutional class of shares		94,942			340,527	(2)		10,445			250			92,321			301,847	(2)
Retirement class R-3 of shares		212,967			1,179,810	(2)		74,574			250			155,015			713,221	(2)
Retirement class R-6 of shares		951,253			3,708,666	(2)		1,283,748			89,874			923,693			1,743,673	(2)
Net sale of shares		1,733,365			7,359,695			1,470,771			104,759			1,537,161			4,052,381
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		61,853			34,577			13			—			37,674			17,556
Institutional class of shares		11,213			5,638			—			—			9,204			4,600
Retirement class R-3 of shares		34,700			18,930			55			—			19,502			9,454
Retirement class R-6 of shares		153,551			56,459			2,485			—			74,734			20,447
Net shares issued		261,317			115,604			2,553			—			141,114			52,057
Shares redeemed:
Investor class of shares		(899,332	)		(625,138	)		(7,291	)		(137	)		(421,096	)		(356,507	)
Institutional class of shares		(188,879	)		(40,068	)		(69	)		—			(183,009	)		(51,293	)
Retirement class R-3 of shares		(512,014	)		(223,919	)		(3,238	)		—			(292,448	)		(141,433	)
Retirement class R-6 of shares		(811,474	)		(389,814	)		(129,275	)		(7,522	)		(424,080	)		(293,759	)
Net shares redeemed		(2,411,699	)		(1,278,939	)		(139,873	)		(7,659	)		(1,320,633	)		(842,992	)
Net change resulting from fund share transactions in shares		(417,017	)		6,196,360			1,333,451			97,100			357,642			3,261,446

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

(2) Includes paid-in-capital and shares, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of September 1, 2013.

44

BMO Funds

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Year Ended August 31, 2015			Period Ended August 31, 2014(1)			Year Ended August 31, 2015			Period Ended August 31, 2014(2)			Year Ended August 31, 2015			Period Ended August 31, 2014(2)
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,098,199		$	147,602		$	4,306,416		$	26,863,822	(3)	$	2,881,305		$	28,973,270	(3)
Institutional class of shares		98,627			102,500			3,370,800			29,561,175	(3)		2,705,694			17,641,173	(3)
Retirement class R-3 of shares		447,023			52,500			1,791,937			11,601,613	(3)		6,777,124			19,840,280	(3)
Retirement class R-6 of shares		3,149,793			814,463			19,287,498			96,324,136	(3)		17,226,521			97,323,814	(3)
Net proceeds from sale of shares		4,793,642			1,117,065			28,756,651			164,350,746			29,590,644			163,778,537
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,511			—			617,958			—			567,882			—
Institutional class of shares		891			—			749,367			—			375,169			—
Retirement class R-3 of shares		816			—			246,045			—			415,963			—
Retirement class R-6 of shares		15,600			—			2,352,643			—			2,399,998			—
Net proceeds from shares issued		18,818			—			3,966,013			—			3,759,012			—
Cost of shares redeemed:
Investor class of shares		(155,201	)		(8,169	)		(6,320,438	)		(1,300,117	)		(4,759,392	)		(4,580,688	)
Institutional class of shares		(5,156	)		—			(3,012,964	)		(907,358	)		(4,019,821	)		(293,406	)
Retirement class R-3 of shares		(82,353	)		—			(5,634,372	)		(173,905	)		(3,930,130	)		(270,336	)
Retirement class R-6 of shares		(704,018	)		(358,788	)		(23,894,326	)		(5,488,415	)		(18,107,609	)		(3,618,822	)
Net cost of shares redeemed		(946,728	)		(366,957	)		(38,862,100	)		(7,869,795	)		(30,816,952	)		(8,763,252	)
Net change resulting from fund share transactions in dollars	$	3,865,732		$	750,108		$	(6,139,436	)	$	156,480,951		$	2,532,704		$	155,015,285
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		101,616			13,900			430,479			2,686,197	(3)		284,984			2,896,349	(3)
Institutional class of shares		8,831			9,729			337,105			2,955,772	(3)		268,603			1,763,202	(3)
Retirement class R-3 of shares		40,547			4,998			179,833			1,159,950	(3)		674,343			1,983,149	(3)
Retirement class R-6 of shares		286,828			78,219			1,932,026			9,626,920	(3)		1,699,470			9,723,962	(3)
Net sale of shares		437,822			106,846			2,879,443			16,428,839			2,927,400			16,366,662
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		140			—			62,673			—			57,016			—
Institutional class of shares		83			—			76,001			—			37,668			—
Retirement class R-3 of shares		76			—			24,954			—			41,763			—
Retirement class R-6 of shares		1,446			—			238,604			—			240,964			—
Net shares issued		1,745			—			402,232			—			377,411			—
Shares redeemed:
Investor class of shares		(14,049	)		(754	)		(631,714	)		(129,634	)		(474,178	)		(453,086	)
Institutional class of shares		(460	)		—			(300,982	)		(90,373	)		(395,336	)		(29,109	)
Retirement class R-3 of shares		(7,545	)		—			(564,945	)		(17,272	)		(389,879	)		(26,717	)
Retirement class R-6 of shares		(63,795	)		(34,355	)		(2,398,228	)		(545,404	)		(1,799,149	)		(358,335	)
Net shares redeemed		(85,849	)		(35,109	)		(3,895,869	)		(782,683	)		(3,058,542	)		(867,247	)
Net change resulting from fund share transactions in shares		353,718			71,737			(614,194	)		15,646,156			246,269			15,499,415

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

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

(3) Includes paid-in-capital and shares, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of June 1, 2014.

45

Notes to Financial Statements (continued)

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Year Ended August 31, 2015			Period Ended August 31, 2014(1)			Year Ended August 31, 2015			Period Ended August 31, 2014(1)			Year Ended August 31, 2015			Period Ended August 31, 2014(1)
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	9,913,030		$	185,451,014	(2)	$	5,133,135		$	47,489,145	(2)	$	38,844,900	(3)	$	62,275,294	(2)
Institutional class of shares		22,559,749			78,542,686	(2)		2,658,620			18,535,936	(2)		10,021,134	(3)		26,737,271	(2)
Retirement class R-3 of shares		6,394,929			45,312,699	(2)		3,228,660			30,752,641	(2)		16,598,429	(3)		16,824,331	(2)
Retirement class R-6 of shares		38,133,382			283,465,048	(2)		22,740,439			57,692,283	(2)		64,305,867	(3)		73,362,859	(2)
Net proceeds from sale of shares		77,001,090			592,771,447			33,760,854			154,470,005			129,770,330			179,199,755
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		4,038,321			—			833,310			—			1,300,124			—
Institutional class of shares		1,862,671			—			312,513			—			601,742			—
Retirement class R-3 of shares		962,724			—			498,834			—			301,192			—
Retirement class R-6 of shares		7,421,000			—			1,272,251			—			1,768,443			—
Net proceeds from shares issued		14,284,716			—			2,916,908			—			3,971,501			—
Cost of shares redeemed:
Investor class of shares		(33,716,254	)		(5,264,270	)		(7,268,277	)		(2,404,890	)		(16,570,068	)		(1,417,088	)
Institutional class of shares		(18,567,065	)		(995,252	)		(5,579,041	)		(495,283	)		(4,816,804	)		(296,705	)
Retirement class R-3 of shares		(11,427,399	)		(1,751,595	)		(4,448,513	)		(605,882	)		(9,647,034	)		(1,188,319	)
Retirement class R-6 of shares		(68,799,662	)		(6,870,055	)		(9,554,268	)		(2,783,677	)		(20,411,804	)		(2,939,951	)
Net cost of shares redeemed		(132,510,380	)		(14,881,172	)		(26,850,099	)		(6,289,732	)		(51,445,710	)		(5,842,063	)
Net change resulting from fund share transactions in dollars	$	(41,224,574	)	$	577,890,275		$	9,827,663		$	148,180,273		$	82,296,121		$	173,357,692
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		973,466			18,542,806	(2)		495,656			4,747,721	(2)		3,811,043	(3)		6,224,504	(2)
Institutional class of shares		2,208,098			7,852,261	(2)		258,691			1,851,897	(2)		978,980	(3)		2,672,439	(2)
Retirement class R-3 of shares		631,978			4,529,729	(2)		313,743			3,074,328	(2)		1,622,915	(3)		1,681,553	(2)
Retirement class R-6 of shares		3,730,462			28,341,116	(2)		2,194,288			5,762,900	(2)		6,271,303	(3)		7,332,437	(2)
Net sale of shares		7,544,004			59,265,912			3,262,378			15,436,846			12,684,241			17,910,933
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		402,223			—			82,019			—			131,061			—
Institutional class of shares		185,710			—			30,729			—			60,660			—
Retirement class R-3 of shares		95,984			—			49,050			—			30,362			—
Retirement class R-6 of shares		739,880			—			125,221			—			178,271			—
Net shares issued		1,423,797			—			287,019			—			400,354			—
Shares redeemed:
Investor class of shares		(3,321,043	)		(520,157	)		(709,849	)		(235,647	)		(1,598,806	)		(138,914	)
Institutional class of shares		(1,828,408	)		(98,268	)		(542,103	)		(49,233	)		(464,405	)		(29,289	)
Retirement class R-3 of shares		(1,120,626	)		(174,198	)		(430,551	)		(59,360	)		(922,935	)		(116,952	)
Retirement class R-6 of shares		(6,888,647	)		(678,772	)		(931,824	)		(274,212	)		(1,965,741	)		(289,540	)
Net shares redeemed		(13,158,724	)		(1,471,395	)		(2,614,327	)		(618,452	)		(4,951,887	)		(574,695	)
Net change resulting from fund share transactions in shares		(4,190,923	)		57,794,517			935,070			14,818,394			8,132,708			17,336,238

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

(2) Includes paid-in-capital and shares, respectively per fund, received via non-taxable in-kind transfers of assets and liabilities of a corresponding affiliated unregistered collective investment trust previously managed by the Adviser effective as of June 1, 2014.

(3) Includes paid-in-capital and shares received from a non-taxable in-kind subscription merger of the BMO Aggressive Stock Fund effective as of the close of business on December 19, 2014. See Note 10, Reorganization Information, in the Notes to Financial Statements for additional information.

In-Kind Transfers—On September 1, 2013, the 2010 Fund, 2020 Fund, 2030 Fund, 2040 Fund and 2050 Fund received an in-kind transfer of assets and liabilities from five corresponding affiliated unregistered collective investment trusts previously managed by the Adviser. The transfer was a non-taxable exchange whereby the Funds issued ownership shares equal to the value of the net assets received as of transfer date. For financial reporting purposes, net assets received and shares issued by the Funds were recorded at value and the collective Funds’ historical cost basis was retained as a result of the non-taxable nature of the transfer.

On June 1, 2014, the Conservative Allocation Fund, Moderate Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund, and Aggressive Allocation Fund received an in-kind transfer of assets and liabilities from five corresponding affiliated unregistered collective investment trusts previously managed by the Adviser. The transfer was a non-taxable exchange whereby the Funds issued ownership shares equal to the value of the net assets received as of transfer date. For financial reporting purposes, net assets received and shares issued by the Funds were recorded at value and the collective Funds’ historical cost basis was retained as a result of the non-taxable nature of the transfer.

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

46

BMO Funds

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, 2016. This agreement may not be terminated prior to December 31, 2016 without the consent of the Funds’ Board of Directors, unless terminated due to the termination of the investment advisory agreement. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

	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, 2014
Fund	Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)			Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)
2010 Fund		0.33	%		0.08	%		0.58	%		(0.07	)%		0.86	%		0.61	%		1.11	%		0.46	%
2015 Fund		0.33			0.08			0.58			(0.07	)		0.89			0.64			1.14			0.49
2020 Fund		0.33			0.08			0.58			(0.07	)		0.92			0.67			1.17			0.52
2025 Fund		0.33			0.08			0.58			(0.07	)		0.93			0.68			1.18			0.53
2030 Fund		0.37			0.12			0.62			(0.03	)		1.00			0.75			1.25			0.60
2035 Fund		0.37			0.12			0.62			(0.03	)		0.99			0.74			1.24			0.59
2040 Fund		0.36			0.11			0.61			(0.04	)		1.00			0.75			1.25			0.60
2045 Fund		0.36			0.11			0.61			(0.04	)		0.99			0.74			1.24			0.59
2050 Fund		0.36			0.11			0.61			(0.04	)		1.00			0.75			1.25			0.60
2055 Fund		0.36			0.11			0.61			(0.04	)		1.00			0.75			1.25			0.60
Conservative Allocation Fund		0.33			0.08			0.58			(0.07	)		0.83			0.58			1.08			0.43
Moderate Allocation Fund		0.30			0.05			0.55			(0.10	)		0.84			0.59			1.09			0.44
Balanced Allocation Fund		0.33			0.08			0.58			(0.07	)		0.90			0.65			1.15			0.50
Growth Allocation Fund		0.30			0.05			0.55			(0.10	)		0.91			0.66			1.16			0.51
Aggressive Allocation Fund		0.33	(2)		0.08	(2)		0.58	(2)		(0.07	)(2)		0.97			0.72			1.22			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” on the Statements of Operations.

(2) Effective December 22, 2014. Prior to December 22, 2014, the annualized contractual expense limitation rates were 0.36%, 0.11%, 0.61% and (0.04)%, 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—The Funds are subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorizes payments by the Fund to finance activities intended to result in the sale of its Retirement Class R-3 shares. The Plan provides that the Fund may incur distribution expenses of 0.50% of the average daily net assets of the Fund’s Retirement Class R-3 shares.

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

For the year ended August 31, 2015, the Funds were charged the following Administration Fees per class:

Fund	Investor Class		Institutional Class		Retirement Class R-3
2010 Fund	$	9,988	$	600	$	4,595
2015 Fund		628		162		236
2020 Fund		46,073		6,916		30,227
2025 Fund		1,284		462		910
2030 Fund		49,168		5,739		26,385
2035 Fund		1,000		52		623
2040 Fund		27,368		5,060		16,083
2045 Fund		996		86		595
2050 Fund		17,903		4,476		9,984
2055 Fund		871		210		306
Conservative Allocation Fund		37,371		44,572		15,306
Moderate Allocation Fund		36,310		24,806		30,751
Balance Allocation Fund		261,124		121,265		64,803
Growth Allocation Fund		67,828		24,755		45,408
Aggressive Allocation Fund		124,353		47,295		35,318

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 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 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 August 31, 2015.

47

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Value, End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
2010 Fund
BMO Low Volatility Equity Fund	$	588,766	$	336,067	$	356,955	$	559,319	$	9,341	$	56,355
BMO Dividend Income Fund		974,477		327,160		687,530		532,321		20,976		155,062
BMO Large-Cap Value Fund		817,009		407,184		480,061		672,975		5,681		103,932
BMO Mid-Cap Value Fund		586,074		177,118		343,681		351,756		1,273		131,110
BMO Mid-Cap Growth Fund		420,327		139,232		202,272		303,635		—		88,861
BMO Small-Cap Growth Fund		259,165		106,339		164,698		164,171		—		74,191
BMO Micro-Cap Fund*		97,311		4,472		93,374		—		—		23,880
BMO Pyrford International Stock Fund		970,876		311,819		502,548		696,510		6,625		34,592
BMO LGM Emerging Markets Equity Fund		584,976		190,605		272,209		427,272		7,236		(1,739	)
BMO TCH Core Plus Bond Fund		7,644,654		2,468,643		4,165,171		5,653,389		199,346		(10,855	)
BMO Monegy High Yield Bond Fund		583,404		134,104		297,579		367,353		24,505		4,719
BMO LGM Frontier Markets Equity Fund		134,934		2,884		—		112,594		2,057		827
BMO Prime Money Market Fund		464,442		15,598,503		15,696,160		366,785		62		—
Totals	$	14,126,415	$	20,204,130	$	23,262,238	$	10,208,080	$	277,102	$	660,935
2015 Fund
BMO Low Volatility Equity Fund	$	12,978	$	205,221	$	63,468	$	149,930	$	1,613	$	3,648
BMO Dividend Income Fund		18,502		215,912		101,040		118,893		2,896		2,116
BMO Large-Cap Value Fund		19,761		284,798		88,654		201,412		1,201		5,446
BMO Mid-Cap Value Fund		15,381		178,998		56,030		124,576		200		5,340
BMO Mid-Cap Growth Fund		12,837		152,567		47,574		108,046		—		5,064
BMO Small-Cap Growth Fund		7,959		95,995		29,930		67,851		—		3,841
BMO Micro-Cap Fund*		2,366		23,798		23,068		—		—		2,308
BMO Pyrford International Stock Fund		23,238		272,912		87,595		196,526		946		(536	)
BMO LGM Emerging Markets Equity Fund		15,945		203,975		68,964		133,737		1,183		(2,733	)
BMO TCH Core Plus Bond Fund		115,417		1,403,153		506,092		977,259		25,952		(4,088	)
BMO Monegy High Yield Bond Fund		8,575		88,210		33,200		59,146		2,822		(900	)
BMO LGM Frontier Markets Equity Fund		3,051		29,616		—		28,865		272		110
BMO Prime Money Market Fund		18,590		3,165,008		3,105,075		78,523		12		—
Totals	$	274,600	$	6,320,163	$	4,210,690	$	2,244,764	$	37,097	$	19,616
2020 Fund
BMO Low Volatility Equity Fund	$	3,528,590	$	1,015,486	$	1,282,702	$	3,204,039	$	55,656	$	247,683
BMO Dividend Income Fund		3,544,190		587,982		1,669,542		2,140,209		80,841		356,094
BMO Large-Cap Value Fund		4,967,888		1,636,810		1,826,400		4,341,166		38,430		443,990
BMO Mid-Cap Value Fund		3,417,584		905,303		1,146,097		2,735,058		7,880		428,849
BMO Mid-Cap Growth Fund		3,160,729		947,656		1,144,744		2,525,223		—		445,318
BMO Small-Cap Growth Fund		2,110,646		699,266		782,062		1,701,108		—		414,259
BMO Micro-Cap Fund*		586,957		17,760		546,135		—		—		149,898
BMO Pyrford International Stock Fund		5,270,909		1,433,616		1,955,246		4,265,286		38,336		715
BMO LGM Emerging Markets Equity Fund		3,994,019		1,266,426		1,449,622		3,249,594		53,117		(30,178	)
BMO TCH Core Plus Bond Fund		17,756,318		4,034,844		6,687,546		14,372,788		494,219		(31,311	)
BMO Monegy High Yield Bond Fund		1,290,428		167,152		448,552		887,984		57,102		11,752
BMO LGM Frontier Markets Equity Fund		722,881		60,147		—		645,853		11,023		4,430
BMO Prime Money Market Fund		1,261,578		32,229,547		32,525,126		965,999		163		—
Totals	$	51,612,717	$	45,001,995	$	51,463,774	$	41,034,307	$	836,767	$	2,441,499
2025 Fund
BMO Low Volatility Equity Fund	$	41,520	$	889,165	$	14,977	$	883,175	$	7,853	$	17,048
BMO Dividend Income Fund		46,404		856,609		341,701		503,822		10,684		5,748
BMO Large-Cap Value Fund		76,332		1,570,856		67,193		1,480,397		6,865		42,077
BMO Mid-Cap Value Fund		54,560		1,047,833		30,016		982,075		871		38,331
BMO Mid-Cap Growth Fund		50,920		979,523		46,819		914,450		—		39,494
BMO Small-Cap Growth Fund		39,483		785,977		53,686		718,213		—		35,583
BMO Micro-Cap Fund*		9,883		149,329		137,420		—		—		13,632
BMO Pyrford International Stock Fund		82,163		1,626,704		128,373		1,482,521		4,142		(2,102	)
BMO LGM Emerging Markets Equity Fund		65,920		1,382,679		118,512		1,188,403		6,474		(4,551	)
BMO TCH Core Plus Bond Fund		183,111		3,701,158		474,685		3,307,937		69,976		(3,228	)
BMO Monegy High Yield Bond Fund		13,167		213,406		4,020		211,364		8,015		1,728
BMO LGM Frontier Markets Equity Fund		13,116		222,117		—		213,270		882		355
BMO Prime Money Market Fund		33,092		22,595,490		22,188,328		440,254		68		—
Totals	$	709,671	$	36,020,846	$	23,605,730	$	12,325,881	$	115,830	$	184,115

48

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Value, End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
2030 Fund
BMO Low Volatility Equity Fund	$	3,105,806	$	1,518,780	$	1,168,117	$	3,386,413	$	55,033	$	207,894
BMO Dividend Income Fund		3,112,225		1,040,917		2,016,126		1,847,849		75,938		299,461
BMO Large-Cap Value Fund		5,614,766		2,550,094		1,991,376		5,635,981		47,291		497,763
BMO Mid-Cap Value Fund		3,984,303		1,383,090		1,127,799		3,671,221		9,568		470,336
BMO Mid-Cap Growth Fund		3,637,172		1,269,170		1,028,213		3,347,520		—		478,279
BMO Small-Cap Growth Fund		2,785,903		1,195,483		944,636		2,585,923		—		506,546
BMO Micro-Cap Fund*		836,814		115,958		862,939		—		—		202,339
BMO Pyrford International Stock Fund		5,779,657		1,975,084		1,862,197		5,316,729		43,451		(33,034	)
BMO LGM Emerging Markets Equity Fund		4,685,900		2,016,522		1,632,802		4,346,997		64,791		(47,878	)
BMO TCH Core Plus Bond Fund		8,810,801		3,952,667		4,245,968		8,126,493		271,689		(24,594	)
BMO Monegy High Yield Bond Fund		643,178		153,699		220,529		513,438		31,914		2,434
BMO LGM Frontier Markets Equity Fund		985,573		223,454		—		1,011,963		15,028		6,040
BMO Prime Money Market Fund		948,046		42,781,925		42,689,483		1,040,488		180		—
Totals	$	44,930,144	$	60,176,843	$	59,790,185	$	40,831,015	$	614,883	$	2,565,586
2035 Fund
BMO Low Volatility Equity Fund	$	49,817	$	1,200,395	$	149,374	$	1,068,005	$	9,173	$	7,147
BMO Dividend Income Fund		49,727		1,033,814		411,434		608,260		11,093		369
BMO Large-Cap Value Fund		88,843		2,020,021		194,831		1,814,616		6,918		9,885
BMO Mid-Cap Value Fund		62,156		1,256,804		60,457		1,168,573		438		14,606
BMO Mid-Cap Growth Fund		58,843		1,201,172		93,297		1,108,128		—		11,909
BMO Small-Cap Growth Fund		43,426		921,002		100,324		828,294		—		5,400
BMO Micro-Cap Fund*		13,977		237,965		218,758		—		—		18,881
BMO Pyrford International Stock Fund		91,019		1,957,736		212,768		1,729,373		2,026		(3,509	)
BMO LGM Emerging Markets Equity Fund		74,123		1,676,263		205,232		1,399,299		3,018		(7,812	)
BMO TCH Core Plus Bond Fund		71,285		1,522,111		198,488		1,357,800		28,250		(3,062	)
BMO Monegy High Yield Bond Fund		4,655		93,677		2,960		91,929		3,292		56
BMO LGM Frontier Markets Equity Fund		15,456		276,507		—		266,658		719		289
BMO Prime Money Market Fund		30,479		30,405,587		29,993,030		443,036		73		—
Totals	$	653,806	$	43,803,054	$	31,840,953	$	11,883,971	$	65,000	$	54,159
2040 Fund
BMO Low Volatility Equity Fund	$	2,415,768	$	1,003,187	$	835,537	$	2,533,109	$	42,183	$	171,395
BMO Dividend Income Fund		2,410,670		510,727		1,307,253		1,385,086		57,606		226,967
BMO Large-Cap Value Fund		4,454,670		1,629,783		1,348,378		4,304,237		38,096		392,975
BMO Mid-Cap Value Fund		3,125,837		819,051		778,974		2,712,893		7,896		376,343
BMO Mid-Cap Growth Fund		2,968,106		872,271		836,476		2,553,941		—		385,196
BMO Small-Cap Growth Fund		2,175,278		731,577		636,706		1,900,739		—		399,242
BMO Micro-Cap Fund*		726,045		24,347		669,703		—		—		185,598
BMO Pyrford International Stock Fund		4,490,735		1,127,764		1,315,809		3,862,162		35,284		(33,020	)
BMO LGM Emerging Markets Equity Fund		3,702,140		1,065,022		964,707		3,238,017		53,425		(37,520	)
BMO TCH Core Plus Bond Fund		1,745,261		463,774		607,401		1,525,740		52,096		(847	)
BMO Monegy High Yield Bond Fund		145,084		21,817		23,040		129,433		7,838		2,377
BMO LGM Frontier Markets Equity Fund		815,715		141,366		—		798,461		12,438		4,999
BMO Prime Money Market Fund		752,478		20,282,902		20,365,911		669,469		110		—
Totals	$	29,927,787	$	28,693,588	$	29,689,895	$	25,613,287	$	306,972	$	2,073,705
2045 Fund
BMO Low Volatility Equity Fund	$	34,862	$	636,489	$	53,188	$	600,150	$	4,841	$	2,419
BMO Dividend Income Fund		34,789		519,180		192,500		329,663		5,534		473
BMO Large-Cap Value Fund		64,389		1,092,238		79,299		1,023,726		3,609		5,472
BMO Mid-Cap Value Fund		45,222		678,764		30,306		647,725		147		4,588
BMO Mid-Cap Growth Fund		42,839		625,388		26,630		613,255		—		5,398
BMO Small-Cap Growth Fund		31,394		470,799		33,471		452,711		—		1,617
BMO Micro-Cap Fund*		10,479		127,885		120,186		—		—		10,384
BMO Pyrford International Stock Fund		64,808		1,033,386		107,182		932,013		666		(2,336	)
BMO LGM Emerging Markets Equity Fund		53,244		888,292		94,938		768,577		1,012		(2,054	)
BMO TCH Core Plus Bond Fund		25,181		390,527		43,328		362,869		7,342		(490	)
BMO Monegy High Yield Bond Fund		2,094		30,139		—		31,155		1,096		65
BMO LGM Frontier Markets Equity Fund		12,092		150,247		—		148,983		253		101
BMO Prime Money Market Fund		22,624		16,500,784		16,219,696		303,712		46		—
Totals	$	444,017	$	23,144,118	$	17,000,724	$	6,214,539	$	24,546	$	25,637

49

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Value, End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
2050 Fund
BMO Low Volatility Equity Fund	$	1,269,446	$	844,389	$	508,600	$	1,572,621	$	23,868	$	84,698
BMO Dividend Income Fund		1,266,785		509,319		773,793		871,870		32,238		84,709
BMO Large-Cap Value Fund		2,344,547		1,442,201		838,714		2,701,317		21,166		207,729
BMO Mid-Cap Value Fund		1,646,624		809,398		485,474		1,708,869		4,254		185,905
BMO Mid-Cap Growth Fund		1,569,758		755,875		459,440		1,614,662		—		197,948
BMO Small-Cap Growth Fund		1,148,207		662,140		406,059		1,195,538		—		190,682
BMO Micro-Cap Fund*		381,526		61,003		394,987		—		—		96,815
BMO Pyrford International Stock Fund		2,365,758		1,093,894		743,910		2,456,216		19,034		(22,656	)
BMO LGM Emerging Markets Equity Fund		1,942,676		1,054,092		651,539		2,013,302		28,669		(29,045	)
BMO TCH Core Plus Bond Fund		878,830		420,243		333,377		923,822		28,861		(249	)
BMO Monegy High Yield Bond Fund		76,240		22,827		9,573		81,506		4,504		1,318
BMO LGM Frontier Markets Equity Fund		421,760		136,764		—		469,178		7,056		2,836
BMO Prime Money Market Fund		607,458		14,788,248		14,759,537		636,169		100		—
Totals	$	15,919,615	$	22,600,393	$	20,365,003	$	16,245,070	$	169,750	$	1,000,690
2055 Fund
BMO Low Volatility Equity Fund	$	25,676	$	180,605	$	24,831	$	176,097	$	1,320	$	1,793
BMO Dividend Income Fund		25,622		132,368		52,402		96,842		1,579		1,151
BMO Large-Cap Value Fund		47,421		311,096		40,754		300,194		987		4,211
BMO Mid-Cap Value Fund		31,756		183,734		19,559		181,234		95		3,263
BMO Mid-Cap Growth Fund		33,088		189,666		21,696		188,404		—		3,469
BMO Small-Cap Growth Fund		23,121		138,410		19,219		133,359		—		2,415
BMO Micro-Cap Fund*		7,717		22,821		26,691		—		—		2,961
BMO Pyrford International Stock Fund		47,730		281,374		34,290		273,743		452		(1,351	)
BMO LGM Emerging Markets Equity Fund		39,275		246,657		34,068		225,398		685		(1,355	)
BMO TCH Core Plus Bond Fund		13,140		74,247		6,873		78,215		1,360		(24	)
BMO Monegy High Yield Bond Fund		1,542		8,276		215		9,193		283		26
BMO LGM Frontier Markets Equity Fund		8,449		35,069		—		39,414		170		68
BMO Prime Money Market Fund		19,730		3,488,001		3,390,136		117,595		11		—
Totals	$	324,267	$	5,292,324	$	3,670,734	$	1,819,688	$	6,942	$	16,627
Conservative Allocation Fund
BMO Low Volatility Equity Fund	$	1,067,725	$	253,265	$	208,993	$	1,084,588	$	17,697	$	78,590
BMO Dividend Income Fund		1,247,502		280,474		308,222		1,082,398		30,637		83,467
BMO Large-Cap Value Fund		1,604,220		689,128		403,471		1,713,288		14,447		153,143
BMO Large-Cap Growth Fund		1,759,302		802,129		576,345		1,846,140		4,712		285,493
BMO Mid-Cap Value Fund		1,615,116		437,086		424,317		1,406,668		3,864		184,745
BMO Mid-Cap Growth Fund		1,413,145		398,678		368,330		1,235,616		—		175,355
BMO Small-Cap Growth Fund		1,554,352		510,809		423,022		1,363,464		—		205,974
BMO Small-Cap Value Fund		—		358,688		17,384		309,478		—		(1,155	)
BMO Pyrford International Stock Fund		2,202,175		458,240		480,349		1,963,073		16,338		(11,636	)
BMO LGM Emerging Markets Equity Fund		1,643,674		250,037		182,851		1,466,423		22,734		(10,270	)
BMO Short-Term Income		3,160,408		15,971		3,162,921		—		14,177		(37,516	)
BMO TCH Core Plus Bond Fund		56,148,438		7,445,616		10,667,072		50,478,391		1,632,510		4,850
BMO Monegy High Yield Bond Fund		4,266,506		634,377		488,500		3,980,152		230,009		73,477
BMO Alternative Strategies Fund		—		6,900,000		—		7,189,800		—		—
BMO Prime Money Market Fund		4,098,825		32,985,880		35,437,331		1,647,374		312		—
Totals	$	81,781,388	$	52,420,378	$	53,149,108	$	76,766,853	$	1,987,437	$	1,184,517

50

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Value, End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
Moderate Allocation Fund
BMO Low Volatility Equity Fund	$	2,030,655	$	376,126	$	86,418	$	2,250,337	$	35,238	$	147,161
BMO Dividend Income Fund		2,387,381		368,966		204,532		2,254,699		61,039		152,785
BMO Large-Cap Value Fund		3,074,940		1,022,641		174,232		3,531,882		29,161		325,969
BMO Large-Cap Growth Fund		3,479,517		1,135,199		429,208		3,851,869		9,472		520,617
BMO Mid-Cap Value Fund		3,128,734		751,825		473,876		2,932,626		8,090		369,254
BMO Mid-Cap Growth Fund		2,726,446		585,348		338,479		2,565,572		—		348,167
BMO Small-Cap Growth Fund		2,916,706		963,561		549,469		2,802,097		—		452,984
BMO Small-Cap Value Fund		—		684,094		—		617,194		—		—
BMO Pyrford International Stock Fund		4,197,241		873,928		527,707		4,107,820		32,127		(1,087	)
BMO LGM Emerging Markets Equity Fund		3,132,954		528,781		134,219		3,025,977		43,771		(894	)
BMO TCH Core Plus Bond Fund		39,104,096		6,590,345		5,883,767		38,047,573		1,169,807		87,321
BMO Monegy High Yield Bond Fund		3,890,538		335,896		941,394		2,971,865		165,261		60,272
BMO Alternative Strategies Fund		—		5,300,000		—		5,522,600		—		—
BMO Prime Money Market Fund		4,993,805		26,339,389		29,540,390		1,792,804		355		—
Totals	$	75,063,013	$	45,856,099	$	39,283,691	$	76,274,915	$	1,554,321	$	2,462,549
Balanced Allocation Fund
BMO Low Volatility Equity Fund	$	11,536,771	$	1,633,624	$	1,161,585	$	11,684,285	$	193,753	$	792,503
BMO Dividend Income Fund		13,445,494		1,178,089		1,365,695		11,665,936		338,576		846,308
BMO Large-Cap Value Fund		17,357,314		4,738,702		1,875,181		18,330,481		153,415		1,635,548
BMO Large-Cap Growth Fund		19,238,467		5,810,571		3,695,026		19,852,259		47,573		2,893,119
BMO Mid-Cap Value Fund		17,674,818		2,364,550		2,456,960		14,988,454		43,851		2,045,545
BMO Mid-Cap Growth Fund		15,031,135		2,527,895		1,964,993		13,252,263		—		1,941,351
BMO Small-Cap Growth Fund		16,839,318		4,050,901		3,269,858		14,679,978		—		2,455,886
BMO Small-Cap Value Fund		—		3,827,951		78,558		3,373,049		—		(8,566	)
BMO Pyrford International Stock Fund		23,999,553		1,516,096		2,071,124		21,005,631		180,088		(98,411	)
BMO LGM Emerging Markets Equity Fund		17,971,113		1,471,674		965,164		15,679,321		248,561		(90,287	)
BMO TCH Core Plus Bond Fund		94,090,892		12,686,271		29,482,402		73,392,349		2,577,189		(197,175	)
BMO Monegy High Yield Bond Fund		7,127,846		541,887		1,041,164		5,905,033		366,214		93,985
BMO Alternative Strategies Fund		—		17,000,000		—		17,714,000		—		—
BMO Prime Money Market Fund		8,145,234		65,200,674		67,213,089		6,132,819		1,071		—
Totals	$	262,457,955	$	124,548,885	$	116,640,799	$	247,655,858	$	4,150,291	$	12,309,806
Growth Allocation Fund
BMO Low Volatility Equity Fund	$	3,947,196	$	854,950	$	47,962	$	4,629,963	$	67,383	$	270,713
BMO Dividend Income Fund		4,607,989		860,712		306,784		4,593,963		116,766		302,203
BMO Large-Cap Value Fund		5,911,360		1,991,855		—		7,243,404		52,146		560,124
BMO Large-Cap Growth Fund		6,570,875		2,021,297		90,940		7,965,505		16,278		937,582
BMO Mid-Cap Value Fund		6,045,422		1,403,443		588,241		5,932,435		15,115		697,161
BMO Mid-Cap Growth Fund		5,239,598		1,150,565		336,391		5,191,593		—		665,327
BMO Small-Cap Growth Fund		5,771,901		1,669,548		688,702		5,707,117		—		854,956
BMO Small-Cap Value Fund		—		1,464,886		—		1,324,247		—		—
BMO Pyrford International Stock Fund		8,227,080		1,292,226		309,499		8,305,854		61,734		(4,664	)
BMO LGM Emerging Markets Equity Fund		6,126,777		1,319,607		345,113		6,101,023		85,415		(4,253	)
BMO TCH Core Plus Bond Fund		8,001,758		1,352,930		2,743,011		6,305,288		201,333		25,677
BMO Monegy High Yield Bond Fund		605,936		68,642		115,658		496,931		28,434		6,607
BMO Alternative Strategies Fund		—		3,600,000		—		3,751,200		—		—
BMO Prime Money Market Fund		1,645,381		27,453,061		27,465,393		1,633,049		238		—
Totals	$	62,701,273	$	46,503,722	$	33,037,694	$	69,181,572	$	644,842	$	4,311,433

51

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Value, End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
Aggressive Allocation Fund
BMO Low Volatility Equity Fund	$	5,417,377	$	2,725,828	$	1,395,315	$	8,820,381	$	117,953	$	372,413
BMO Dividend Income Fund		6,303,538		2,731,115		1,051,787		8,805,913		201,434		399,778
BMO Large-Cap Value Fund		8,124,197		5,118,460		1,578,127		13,852,851		89,104		780,142
BMO Large-Cap Growth Fund		9,102,184		5,489,365		2,680,389		15,008,427		22,291		1,373,562
BMO Mid-Cap Value Fund		8,283,108		1,459,273		2,562,686		11,340,533		20,283		1,016,346
BMO Mid-Cap Growth Fund		7,162,487		1,403,039		2,942,683		10,000,148		—		832,966
BMO Small-Cap Value Fund		—		2,792,716		5,380,618		2,518,151		—		832,733
BMO Small-Cap Growth Fund		7,943,454		2,656,091		8,442,297		11,092,490		—		857,287
BMO Pyrford International Stock Fund		11,266,855		2,326,370		1,773,464		15,874,998		84,544		(44,378	)
BMO LGM Emerging Markets Equity Fund		8,333,450		2,234,962		2,453,912		11,850,613		114,140		(132,088	)
BMO Prime Money Market Fund		1,860,257		48,118,015		48,232,811		2,652,702		390		—
Totals	$	73,796,907	$	77,055,234	$	78,494,089	$	111,817,207	$	650,139	$	6,288,761

* Fund is no longer active.

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of BMO Prime Money Market Fund or BMO Government Money Market Fund and (ii) more favorable to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. No interfund borrowing or lending balances existed as of August 31, 2015.

Funds utilizing the Interfund lending program, borrowing solely from the BMO Prime Money Market Fund during the period ended August 31, 2015, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
2010 Fund	$	3,913		0.688	%
2015 Fund		10,749		0.681
2025 Fund		18,827		0.675
2035 Fund		8,258		0.682
2040 Fund		2,090		0.690
2045 Fund		173		0.687
2055 Fund		178		0.695
Conservative Allocation		15,287		0.700
Growth Allocation Fund		4,407		0.690
Aggressive Allocation Fund		31,985		0.695

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

6. Line of Credit

Through January 15, 2015, the Corporation, on behalf of the respective Funds, participated in a $50 million unsecured, committed revolving line of credit (“LOC”) agreement with State Street Bank and Trust Company. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings were charged interest at a rate of 1.25% per annum over the greater of the Federal Funds rate or the London Interbank Offered Rate (“LIBOR”) and included a commitment fee of 0.12% per annum on the daily unused portion. Effective January 16, 2015, the LOC was renewed at $25 million, with a commitment fee of 0.15% per annum on the daily unused portion and an administrative fee of 0.025% per annum on the entire LOC. No borrowings were outstanding under the LOC at August 31, 2015. The Funds did not utilize the LOC during the year ended August 31, 2015.

52

BMO Funds

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 August 31, 2015 were as follows:

	Other than U.S. Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
2010 Fund	$	14,715,361	$	21,609,729	$	—	$	—
2015 Fund		8,357,426		3,613,109		—		—
2020 Fund		40,493,083		55,685,606		—		—
2025 Fund		39,591,479		10,530,019		—		—
2030 Fund		49,439,330		49,459,121		—		—
2035 Fund		47,791,794		19,069,745		—		—
2040 Fund		25,572,938		28,998,710		—		—
2045 Fund		23,776,816		9,363,747		—		—
2050 Fund		20,667,448		15,874,365		—		—
2055 Fund		5,368,051		1,573,933		—		—
Conservative Allocation Fund		60,284,299		61,984,216		—		—
Moderate Allocation Fund		57,478,012		45,626,317		—		—
Balanced Allocation Fund		164,502,612		189,996,524		—		—
Growth Allocation Fund		46,099,463		31,265,608		—		—
Aggressive Allocation Fund		82,381,465		85,148,062		—		—

8. Federal Tax Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are due in part to differing treatment of wash sales.

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

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

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds, have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended August 31, 2015. 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.

53

Notes to Financial Statements (continued)

	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
2010 Fund	$	21,128,872	$	3,256,162	$	(573,203	)	$	2,682,959
2015 Fund		5,391,109		15,939		(224,981	)		(209,042	)
2020 Fund		79,160,595		17,892,256		(2,179,283	)		15,712,973
2025 Fund		31,004,290		107,515		(1,446,524	)		(1,339,009	)
2030 Fund		82,140,852		19,376,403		(2,357,888	)		17,018,515
2035 Fund		30,565,340		154,017		(1,407,082	)		(1,253,065	)
2040 Fund		50,274,905		14,374,943		(1,392,695	)		12,982,248
2045 Fund		15,678,279		93,270		(733,476	)		(640,206	)
2050 Fund		33,408,441		7,320,225		(1,067,951	)		6,252,274
2055 Fund		4,630,664		26,985		(241,397	)		(214,412	)
Conservative Allocation Fund		138,737,751		11,422,133		(3,378,464	)		8,043,669
Moderate Allocation Fund		139,518,132		18,456,397		(3,958,029	)		14,498,368
Balanced Allocation Fund		426,685,431		109,521,395		(12,335,124	)		97,186,271
Growth Allocation Fund		124,111,858		34,830,217		(4,293,487	)		30,536,730
Aggressive Allocation Fund		183,980,138		72,020,222		(4,402,977	)		67,617,245

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2015 and 2014 was as follows:

	2015				2014
Fund	Ordinary Income (1)		Long-Term Capital Gains		Ordinary Income (1)		Long-Term Capital Gains
2010 Fund	$	920,536	$	1,258,215	$	468,073	$	2,170
2015 Fund		38,413		428		—		—
2020 Fund		2,879,598		2,699,335		1,838,615		43,462
2025 Fund		142,313		1,794		—		—
2030 Fund		2,387,859		2,107,177		1,687,505		6,637
2035 Fund		69,366		2,463		—		—
2040 Fund		1,603,878		1,351,612		1,248,014		9,765
2045 Fund		25,677		2,093		—		—
2050 Fund		881,509		720,139		566,270		1,149
2055 Fund		17,467		1,351		—		—
Conservative Allocation Fund		2,754,573		1,211,440		—		—
Moderate Allocation Fund		2,924,437		834,575		—		—
Balanced Allocation Fund		11,258,227		3,026,489		—		—
Growth Allocation Fund		2,621,083		329,073		—		—
Aggressive Allocation Fund		3,503,157		468,344		—		—

(1) For tax purposes, short-term capital gain distributions are considered ordinary income.

As of August 31, 2015, 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			Unrealized Appreciation (Depreciation)
2010 Fund	$	343,633	$	1,370,028	$	—		$	2,682,959
2015 Fund		69,961		45,055		—			(209,042	)
2020 Fund		1,322,956		5,022,689		—			15,712,973
2025 Fund		234,683		248,669		(10,256	)		(1,339,009	)
2030 Fund		917,471		3,990,966		—			17,018,515
2035 Fund		197,368		80,199		—			(1,253,065	)
2040 Fund		475,422		3,627,185		—			12,982,248
2045 Fund		75,536		41,095		(7,854	)		(640,206	)
2050 Fund		201,986		1,380,197		(2,212	)		6,252,274
2055 Fund		15,451		28,367		(1,779	)		(214,412	)
Conservative Allocation Fund		2,144,698		2,772,230		—			8,043,669
Moderate Allocation Fund		1,686,550		4,857,344		(16,266	)		14,498,368
Balanced Allocation Fund		4,478,091		30,741,166		—			97,186,271
Growth Allocation Fund		976,458		8,459,185		—			30,536,730
Aggressive Allocation Fund		1,278,329		14,447,528		—			67,617,245

As of August 31, 2015, the 2025, 2045, 2050, 2055, and Moderate Allocation Funds had $10,256, $7,854, $2,212, $1,779, and $16,266, respectively, of post-October losses, which are deferred until fiscal year 2015 for tax purposes. Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first day of the Fund’s next taxable year.

54

BMO Funds

9. Shareholder Tax Information (Unaudited)

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2015, the percentages that qualify for the dividend received deduction available to corporate shareholders were as follows:

2010 Fund	4.81	%
2015 Fund	2.99
2020 Fund	6.71
2025 Fund	3.46
2030 Fund	10.14
2035 Fund	4.13
2040 Fund	11.96
2045 Fund	7.49

2050 Fund	11.98	%
2055 Fund	5.72
Conservative Allocation Fund	3.17
Moderate Allocation Fund	6.60
Balanced Allocation Fund	10.41
Growth Allocation Fund	15.13
Aggressive Allocation Fund	15.76

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2015, the percentages that are designated as qualified dividend income were as follows:

2010 Fund	20.91	%
2015 Fund	21.69
2020 Fund	35.52
2025 Fund	29.20
2030 Fund	44.81
2035 Fund	23.14
2040 Fund	56.31
2045 Fund	49.99

2050 Fund	60.37	%
2055 Fund	52.17
Conservative Allocation Fund	11.03
Moderate Allocation Fund	23.34
Balanced Allocation Fund	37.70
Growth Allocation Fund	54.38
Aggressive Allocation Fund	59.09

For Federal tax purposes, the Funds designate long-term capital gain dividends, or the amounts determined to be necessary, for the year ended August 31 2015:

2010 Fund	$	1,258,215
2015 Fund		428
2020 Fund		2,699,335
2025 Fund		1,750
2030 Fund		2,107,177
2035 Fund		2,463
2040 Fund		1,351,612
2045 Fund		2,093

2050 Fund	$	720,139
2055 Fund		1,351
Conservative Allocation Fund		1,211,440
Moderate Allocation Fund		834,575
Balanced Allocation Fund		3,026,489
Growth Allocation Fund		329,073
Aggressive Allocation Fund		468,344

For Federal tax purposes, the Funds designate qualified short-term capital gain dividends, or the amounts determined to be necessary, for the year ended August 31 2015:

2010 Fund	$	116,381
2015 Fund		428
2020 Fund		341,941
2025 Fund		1,399
2030 Fund		447,254
2035 Fund		2,217
2040 Fund		167,024
2045 Fund		725

2050 Fund	$	131,468
2055 Fund		1,874
Conservative Allocation Fund		88,941
Moderate Allocation Fund		150,950
Balanced Allocation Fund		760,881
Growth Allocation Fund		129,591
Aggressive Allocation Fund		279,303

10. Reorganization Information

On November 5, 2014, the Directors considered and approved the reorganization of the BMO Aggressive Stock Fund into the BMO Diversified Stock Fund (the “Reorganization”). On December 19, 2014, beneficial owners of the BMO Aggressive Stock Fund approved a proposed Agreement and Plan of Reorganization that provided for the reorganization into the BMO Diversified Stock Fund as detailed below. This tax-free reorganization was accomplished after the close of business on December 19, 2014 (the “Closing Date”), by exchanging the assets and liabilities of the BMO Aggressive Stock Fund for shares of the BMO Diversified Stock Fund. Shareholders holding Investor, Institutional, Retirement R-3 and Retirement R-6 Class shares of the BMO Aggressive Stock Fund (3,632,290 shares, 605,301 shares, 1,232,124 shares and 4,323,308 shares, respectively) received corresponding Investor, Institutional, Retirement R-3 and Retirement R-6 Class shares of the BMO Diversified Stock Fund (3,378,013 shares, 562,969 shares, 1,146,051 shares and 4,020,693 shares, respectively) in the Reorganization. The BMO Aggressive Stock Fund’s net assets at that date of $92,698,653 included the following:

Assets:
Investments cost	$	67,252,317
Net unrealized appreciation on investments		25,028,087
Dividends & interest receivable		324,597
Receivable for investments sold, capital stock sold & other		89,832
Receivable from affiliates		35,892
Total assets		92,730,725
Liabilities:
Other liabilities		32,072
Total liabilities		32,072
Total Net Assets:	$	92,698,653

55

Notes to Financial Statements (continued)

The net assets of the BMO Diversified Stock Fund and BMO Aggressive Stock Fund immediately prior to the Reorganization were $177,713,014 and $92,698,653, respectively. The aggregate net assets of the BMO Diversified Stock Fund immediately after the Reorganization was $270,411,667.

The Reorganization was considered and approved for the primary reasons: to streamline the BMO Funds portfolio offerings to be more consistent with industry practice; the potential exists to achieve economies of scale due to the combined larger asset base of the Funds; and the Funds have the same investment objectives and similar policies, strategies, and restrictions. The BMO Diversified Stock Fund is the accounting survivor for financial statement and performance reporting purposes.

Assuming the Reorganization had been completed on September 1, 2014, the beginning of the annual reporting period of the BMO Diversified Stock Fund, the BMO Diversified Stock Fund’s pro forma of operations (unaudited) for the period ended August 31, 2015, are as follows:

Net investment income	$	2,931,107
Net realized gain on investments		8,234,311
Net realized gain on capital gains distributions		13,838,862
Change in net unrealized depreciation on investments		(32,218,383	)
Net decrease in net assets resulting from operations	$	(7,214,103	)

Because the combined investment portfolios have been managed as a single integrated portfolio since the Reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Aggressive Stock Fund that have been included in the BMO Diversified Stock Fund’s statement of operations since December 19, 2014.

Immediately following the Reorganization and effective December 19, 2014, the BMO Diversified Stock Fund’s name changed to the BMO Aggressive Allocation Fund.

11. Recently Issued Accounting Pronouncements

In June 2014, the FASB issued Accounting Standards Update (“ASU”) No. 2014-11 Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The amendments in this ASU require an entity to modify accounting for repurchase-to-maturity transactions and repurchase financing arrangements, as well as modify required disclosures for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions that are accounted for as secured borrowings. The guidance is effective for fiscal years beginning on or after December 15, 2014, and for interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Fund’s financial statement disclosures.

In May 2015, the FASB issued ASU No. 2015-07 (“ASU 2015-07”) eliminating the requirement for investments measured at net asset value to be categorized within the fair value hierarchy under GAAP and requiring the disclosure of sufficient information to reconcile the fair value of the remaining assets categorized within the fair value hierarchy to the financial statements. ASU 2015-07 is effective for interim and annual reporting periods beginning after December 15, 2015. Management has reviewed the requirements and believes the adoption of ASU 2015-07 will not have a material impact on the financial statements.

12. 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 here were no subsequent events requiring recognition or disclosure in the financial statements.

56

Report of Independent Registered Public Accounting Firm

The Shareholders and Board of Directors

BMO Funds, Inc.:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BMO Target Retirement 2010 Fund, BMO Target Retirement 2015 Fund, BMO Target Retirement 2020 Fund, BMO Target Retirement 2025 Fund, BMO Target Retirement 2030 Fund, BMO Target Retirement 2035 Fund, BMO Target Retirement 2040 Fund, BMO Target Retirement 2045 Fund, BMO Target Retirement 2050 Fund, BMO Target Retirement 2055 Fund, BMO Conservative Allocation Fund, BMO Moderate Allocation Fund, BMO Balanced Allocation Fund, BMO Growth Allocation Fund, and BMO Aggressive Allocation Fund (each a series of BMO Funds, Inc., collectively referred to as the Funds) as of August 31, 2015, and the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the years in the two-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2015, by correspondence with the custodian and transfer agents or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of August 31, 2015, the results of their operations, the changes in their net assets, and the financial highlights for the periods specified in the first paragraph, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Milwaukee, Wisconsin

October 26, 2015

57

Directors and Officers of the Funds (Unaudited)

The following tables provide information about each director and officer of the Funds as of August 31, 2015. The address of each director is c/o BMO Funds, 111 East Kilbourn Avenue, Suite 200, Milwaukee, Wisconsin 53202. There are currently 44 separate portfolios or funds in the BMO Funds complex, of which 43 are registered as BMO Funds, Inc. and one is registered as BMO LGM Frontier Markets Equity Fund with the Securities and Exchange Commission. The Funds’ Statement of Additional Information includes additional information about the directors and is available, without charge and upon request, by calling 1-800-236-FUND (3863).

INDEPENDENT DIRECTORS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director
Larry D. Armel Age: 73	Independent Director	Since September 2006	Retired; formerly, Chairman, Gold Bank Funds, from 2002 to 2005.	44	None
Ridge A. Braunschweig Age: 62	Independent Director	Since October 2009	President and Chief Executive Officer, CPL Industries, Inc. (a manufacturing holding company prior to May 2009 and a family office since May 2009), since January 2012; Executive Vice President and Chief Financial Officer, CPL Industries, Inc., from 2000 to 2012.	44	None
Benjamin M. Cutler Age: 70	Independent Director	Since July 2004	Chairman, CEO and President, USHEALTH Group, Inc. (a health insurance company), since September 2004.	44	None
John A. Lubs Age: 67	Independent Director	Since July 2004	Retired; formerly, Vice Chairman, Mason Companies, Inc. (a footwear distributor), from 2004 to 2010 and Chief Operating Officer, from 2003 to 2010.	44	None
James Mitchell Age: 68	Independent Director	Since March 1999	Chairman, Ayrshire Precision Engineering (a precision machining company), since 1992; Chief Executive Officer, NOG, Inc. (a metal processing and consulting company), from 1999 to 2015.	44	None
Barbara J. Pope Age: 67	Independent Director	Since March 1999	President of Barbara J. Pope, P.C. (a financial consulting firm), since 1992; President of Sedgwick Street Fund LLC (a private investment partnership), since 1996; formerly, Tax Partner, Price Waterhouse.	44	None
* Each director serves an indefinite term until he or she retires or otherwise resigns, is removed, dies, or until his or her successor is duly elected. Retirement for a director occurs no later than August 31 following his or her 75th birthday.

58

Directors and Officers of the Funds (Unaudited)  (continued)

INTERESTED DIRECTORS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director
John M. Blaser** Age: 58	Director and President	Since May 1999	Managing Director of the Adviser, since June 2012; Vice President of the Adviser, from 1998 to 2012.	44	None
Christopher B. Begy** Age: 61	Director	Since August 2013	President, CEO and a Director of BMO Financial Corp. and U.S. Country Head, since August 2013; Chair, BMO Harris Bank N.A., since August 2013; Director of the Adviser, since August 2013; Chief Auditor of BMO Financial Group, from 2001 to 2013.	44	None
* Each director serves an indefinite term until he or she retires or otherwise resigns, is removed, dies or until his or her successor is duly elected. Retirement for a director occurs no later than August 31 following his or her 75th birthday.
** Mr. Blaser is an “interested person” of the Corporation (as defined in the 1940 Act) due to the positions that he holds with the Corporation, and the Adviser. Mr. Begy is an “interested person” of the Corporation due to the positions that he holds with the Adviser and BMO.

PRINCIPAL OFFICERS
Name and Age	Position(s) Held with the Corporation	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
Timothy M. Bonin Age: 42	Chief Financial Officer and Treasurer	Elected by the Board annually; since February 2006	Vice President of the Adviser, since February 2006.
John D. Boritzke Age: 59	Vice President	Elected by the Board annually; since October 2001	Managing Director of the Adviser, since 2012; Vice President of BMO Harris Bank N.A., since 2008; Senior Vice President of the Adviser, 2008 to 2012.
Stephen R. Oliver Age: 64	Chief Compliance Officer and Anti-Money Laundering Compliance Officer	Elected by the Board annually; Chief Compliance Officer, since July 2008; and Anti-Money Laundering Officer, since January 2009	Vice President of BMO Harris Bank N.A., since March 2006; Vice President of BMO Investment Distributors, LLC, 2007 to 2014.
Michele L. Racadio Age: 40	Secretary	Elected by the Board annually; since November 2012	Senior Counsel and Vice President of BMO Harris Bank N.A., since 2012; Associate, Godfrey & Kahn, S.C., 2006 to 2012.

59

Shareholder Report Disclosure of Directors’ Approval of
Advisory Contracts

Approval of Continuation of Advisory Agreements

During the reporting period, the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), approved the continuation of the investment advisory agreement (the “Advisory Agreement”) between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of each portfolio of the Corporation (each, a “Fund” and collectively, the “Funds”) for an additional year ending August 29 or 31, 2016.

At Board meetings held on July 8, 2015 (“July Meeting”) and August 11-12, 2015 (“August Meeting”), the Board met with management of the Adviser regarding the annual approval of the continuation of the Funds’ Advisory Agreement. In connection with its consideration of the Advisory Agreement, the Board considered the information furnished and discussed throughout the year at regularly scheduled Board and Committee meetings, as applicable, and the information provided specifically in relation to the annual consideration of the approval of the Advisory Agreement in response to requests of the Independent Directors and their independent legal counsel. Information furnished in connection with Board or Committee meetings throughout the year included, among other things, presentations given by the portfolio managers of the Funds on each Fund’s investment strategies, risks and performance, comparative performance of each Fund against its benchmark indices; reports regarding each Fund’s asset levels including sales and redemption activities; and various reports on the monitoring of the Funds’ compliance with the securities laws, regulations, policies and procedures. In preparation for the Board’s annual consideration of the approval of the Advisory Agreement, the Directors requested and received a wide variety of information and reports concerning the Adviserand its affiliates including information on: (1) the nature, extent and quality of services provided to each Fund by the Adviser (and its affiliates); (2) the investment performance of each Fund and of a group of comparable funds; (3) the expense ratios of each Fund and of a group of comparable funds; (4) profitability information of the Adviser; and (5) the Adviser’s compliance program. The Board also considered information related to potential “fall out” or ancillary benefits enjoyed by the Adviser (and its affiliates) as a result of their relationships with the Funds. In addition to evaluating, among other things, the written information provided by the Adviser, the Board also considered the answers to questions posed by the Board to representatives of the Adviser at various meetings.

In evaluating the Advisory Agreement, the Board members took into account their accumulated experience in working with the Adviser on matters related to the Funds. The Independent Directors also met separately in executive session with their independent legal counsel to review and consider the information provided regarding the Advisory Agreement.

Based on their review, the Independent Directors and the full Board concluded that it was in the best interests of each Fund to approve the continuation of the Advisory Agreement. Although the Advisory Agreement for all of the Funds were considered at the same Board meeting, the Directors considered each Fund separately. In their deliberations, the Board did not identify any single factor or group of factors as all-important or controlling but considered all factors together. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

Nature, Extent and Quality of Services

In evaluating the nature, extent and quality of the services provided by the Adviser to the Funds, the Board reviewed information describing the financial strength, experience, resources and key personnel of the Adviser, including the personnel who provide investment management services to the Funds. The Board considered the administrative services that are provided to each Fund, as well as other services performed by the Adviser, including the selection and monitoring of the underlying funds; monitoring adherence to the Funds’ investment restrictions; monitoring the Funds’ compliance with their compliance policies and procedures and with applicable securities laws and regulations; producing shareholder reports; providing support services for the Board and Board committees; communicating with shareholders; and overseeing the activities of other service providers. The Board also considered the Adviser’s experience in providing investment advisory services to funds.

Based upon this review, the Board concluded that the nature, quality, and extent of the services to be provided to the Fund by the Adviser are expected to be satisfactory.

Review of Fund Performance

The Board reviewed the investment performance of each of the Funds. While consideration was given to performance reports provided in connection with, and discussions held at, regular Board meetings throughout the year, particular attention was given to the performance reports provided specifically in connection with the July and August Meetings. In particular, the Directors noted the performance of each Fund relative to its Lipper Inc. (“Lipper”) peer universe. The Directors also considered updated performance information for each Fund relative to its benchmark.

With respect to each Fund’s performance as compared to its Lipper peer universe (“peer group”), the Board reviewed each Fund’s performance percentile rankings over the year-to-date and one-, period through June 30, 2015, as provided by the Adviser. The Board considered that each Fund ranked in one of the top two quartiles for performance as compared to its peer group in either the one-year of year-to-date periods. The Board took into consideration that each Fund has a very limited performance history. The Board determined that it was generally satisfied with each Fund’s performance and would continue to monitor each Fund’s performance results.

60

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

Costs of Services Provided and Profits Realized by the Adviser

The Board considered the fees payable by each Fund under the Advisory Agreement, noting that the Funds do not pay a management fee to the Adviser. The Board reviewed information provided by the Adviser comparing each Fund’s net expense ratio to the median net expense ratio of its Lipper Inc. peer group (“Lipper peers”), noting that each Fund’s net expense ratio was lower than the average of its Lipper peers. The Board considered that the Adviser has agreed to contractual expense limitations for the Funds (the “Expense Limitations”), and that the net expense ratios for the Funds take into account the effect of the Expense Limitations.

The Board considered the methodology used by the Adviser in determining compensation payable to its portfolio managers and the competitive environment for investment management talent. The Board also considered the financial condition of the Adviser and certain of its affiliates, and particularly focused on the financial strength of the ultimate parent company of the Adviser, and the parent company’s commitment, financial and otherwise, to the global asset management business and the Funds.

The Board reviewed profitability information it received from the Adviser in connection with the services provided to each Fund and the Corporation as a whole. The materials provided in this regard showed, and the Directors acknowledged, that the Adviser has not yet had a positive net margin with respect to the Funds.

Economies of Scale

The Board did not consider the extent to which economies of scale would be realized as the Funds grow because the Funds would not be paying management fees to the Adviser.

Other Benefits to the Adviser

The Board considered benefits that accrue to the Adviser and its affiliates from their relationships with the Funds, including revenue in the form of administration fees and custody fees. The Board noted that the Adviser may potentially benefit from its relationship with each Fund in other ways. The Board also considered that the success of any Fund could attract other business to the Adviser and that the success of the Adviser could enhance the Adviser’s ability to serve the Funds.

The Board concluded that, taking into account all of the information reviewed, each Fund’s advisory fee was reasonable.

Overall Conclusions

Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreement are fair and reasonable and that the approval of the continuation of the Advisory Agreement is in the best interests of each Fund.

61

NOTES

62

NOTES

63

NOTES

64

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.

© 2015 BMO Financial Corp. (9/15)

Item 2. Code of Ethics.

The Registrant has a code of ethics (the “Code”) that applies to the Registrant’s principal executive officer and principal financial officer. During the period covered by this report, there were no amendments to the provisions of the Code, nor were there any implicit or explicit waivers to the provisions of the Code. The Code is filed herewith.

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Directors has determined that the Registrant has four audit committee financial experts serving on its audit committee, each of whom is “independent” within the meaning of Form N-CSR: Ridge A. Braunschweig, Barbara J. Pope, John A. Lubs, and Benjamin M. Cutler. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Directors in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services.

The aggregate fees for professional services by KPMG LLP during the fiscal year 2015 and 2014 were as follows:

(a) Audit Fees for Registrant.

Fiscal year ended August 31, 2015	$622,390
Fiscal year ended August 31, 2014	$613,800

(b) Audit-Related Fees for Registrant. These are fees by the Registrant’s independent auditors for assurance and related services that were reasonably related to the performance of the audit of the Registrant’s financial statements.

Fiscal year ended August 31, 2015	$75,730
Fiscal year ended August 31, 2014	$77,180

(c) Tax Fees for Registrant. These are fees for professional services rendered by the Registrant’s independent auditors for tax compliance, tax advice, and tax planning.

Fiscal year ended August 31, 2015	$157,255
Fiscal year ended August 31, 2014	$167,000

(d) All Other Fees.

Fiscal year ended August 31, 2015	None
Fiscal year ended August 31, 2014	None

(e) Audit Committee’s pre-approval policies and procedures.

(1) The Audit Committee has adopted pre-approval policies and procedures that require the Audit Committee to pre-approve all audit and non-audit services of the Registrant, including services provided to the Registrant’s investment adviser or any entity controlling, controlled by or under common control with the Registrant’s investment adviser that provides ongoing services to the Registrant with respect to any engagement that directly relates to the operations and financial reporting of the Registrant.

(2) Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: 100% of these fees were approved by the Audit Committee as required pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

(f) None.

(g) During the last two fiscal years, other non-audit services rendered by the Registrant’s independent auditors to the Registrant, its investment adviser or any entity controlling, controlled by or under the common control with the investment adviser that provides ongoing services to the Registrant included the following:

Statement on Standards for Attestation Engagements No. 16 (SSAE No. 16) examinations for BMO Harris Bank N.A.

Fiscal year ended August 31, 2015	$198,000
Fiscal year ended August 31, 2014	$173,000

(h) Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

Except as noted below, the schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form. The schedules of investments for BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, and BMO Intermediate Tax-Free Fund, are filed under this Item.

Ultra Short Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of August 31, 2015

Description	Shares or Principal Amount		Value
Municipals — 98.1%
Alabama — 3.7%
Alabama Private Colleges & Universities Facilities Authority, AGC, 5.000%, 9/1/2015		$190,000	$	190,000
Bessemer Governmental Utility Services Corp., 0.300%, 12/1/2030 (6) (7) (9)		5,085,000		5,085,000
Birmingham-Baptist Medical Centers Special Care Facilities Financing Authority, 5.000%, 11/15/2030, Call 11/15/2015		350,000		352,285
Health Care Authority for Baptist Health, 0.500%, 11/1/2042 (9)		14,125,000		14,125,000
Limestone County Water & Sewer Authority:
1.000%, 12/1/2015		535,000		535,653
1.000%, 12/1/2015		150,000		150,183
Rib Floater Trust Various States, 0.100%, 9/1/2026, Call 9/1/2022 (6) (7) (9)		8,000,000		8,000,000
				28,438,121
Arizona — 1.6%
Arizona Health Facilities Authority:
1.870%, 2/5/2020, Call 8/9/2019 (9)		3,250,000		3,344,867
1.870%, 2/5/2020, Call 8/9/2019 (9)		750,000		771,892
3.000%, 2/1/2016		1,500,000		1,513,005
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2018		300,000		328,608
County of Mohave, AGC, 4.125%, 4/1/2017		100,000		105,543
Industrial Development Authority of the County of Pima:
4.000%, 7/1/2016		305,000		308,968
5.000%, 9/1/2017		250,000		269,595
Maricopa County Industrial Development Authority, 2.000%, 1/1/2016		310,000		311,225
Maricopa County Pollution Control Corp., 1.750%, 5/30/2018 (9)		500,000		502,805
Scottsdale Industrial Development Authority, 5.000%, 9/1/2016		140,000		146,299
Scottsdale Industrial Development Authority, FSA, 1.720%, 9/1/2045 (9) (13)		4,275,000		4,275,000
Yuma County Elementary School District No. 1 Yuma, BAM, 3.000%, 7/1/2017		175,000		181,743
				12,059,550
Arkansas — 2.3%
Arkansas Development Finance Authority:
0.730%, 9/1/2044, Call 9/1/2015 (9)		6,000,000		6,000,000
1.120%, 9/1/2019, Call 3/1/2019 (9)		3,000,000		3,007,860
3.000%, 2/1/2016		350,000		352,660
3.000%, 2/1/2017		345,000		352,780
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		865,000		865,277
City of Fort Smith, 2.375%, 5/1/2027, Call 5/1/2022		245,000		245,260
City of Little Rock, 1.250%, 4/1/2033, Call 10/1/2021		40,000		39,988
City of North Little Rock, 2.625%, 5/1/2016		350,000		352,460
County of Crawford, AGM:
1.850%, 9/1/2024, Call 9/1/2021		200,000		200,792
3.000%, 9/1/2017		175,000		182,212
Little Rock Metrocentere Improvement District No. 1, 0.020%, 12/1/2025, Call 9/1/2015 (9)		5,700,000		5,700,000
University of Central Arkansas, BAM, 2.000%, 9/1/2015		100,000		100,000
				17,399,289
California — 13.2%
Anaheim Public Financing Authority, 5.000%, 5/1/2017		500,000		536,130
Austin Trust:
0.210%, 1/1/2039, Call 1/1/2019 (6) (7) (9)		10,000,000		10,000,000
0.260%, 5/15/2036, Call 5/15/2018 (9)		5,000,000		5,000,000
Austin Trust, AGM NATL-RE, 0.240%, 8/1/2032 (9)		6,920,000		6,920,000
Bay Area Toll Authority:
1.000%, 4/3/2017, Call 10/1/2016 (9)		8,000,000		8,024,000
1.120%, 4/1/2024, Call 10/1/2023 (9)		1,750,000		1,737,190
BB&T Municipal Trust, 0.720%, 11/15/2017 (6) (7) (9)		2,000,000		2,002,360

California County Tobacco Securitization Agency:
4.000%, 6/1/2016	500,000	512,035
4.000%, 6/1/2017	565,000	591,419
California Health Facilities Financing Authority, NATL-RE, 0.138%, 7/1/2022, Call 9/1/2015 (9) (13)	1,100,000	1,056,232
California Housing Finance Agency, 0.850%, 8/1/2016	50,000	49,924
California Infrastructure & Economic Development Bank, 0.300%, 4/2/2018, Call 1/2/2018 (9)	550,000	550,187
California Municipal Finance Authority, 5.000%, 7/1/2016	100,000	103,043
California Pollution Control Financing Authority, 0.450%, 11/2/2015 (6) (7) (9)	1,500,000	1,500,000
California Statewide Communities Development Authority, 3.500%, 11/1/2018	900,000	903,078
California Statewide Communities Development Authority, AGM:
2.000%, 10/1/2015	190,000	190,171
2.000%, 10/1/2016	120,000	121,141
California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 11/1/2016	1,000,000	1,012,730
Carson Redevelopment Agency Successor Agency, 4.000%, 10/1/2017	1,265,000	1,338,269
Chabot-Las Positas Community College District, AMBAC:
0.000%, 8/1/2020, Call 8/1/2016	265,000	217,920
0.000%, 8/1/2026, Call 8/1/2016	175,000	106,484
City of Sacramento:
2.000%, 9/1/2016	150,000	151,884
2.000%, 9/1/2017	200,000	202,558
City of Yucaipa, 3.000%, 9/1/2015	345,000	345,000
Compton Unified School District, AMBAC, 0.000%, 6/1/2016	385,000	381,982
County of San Joaquin, 3.000%, 4/1/2017	150,000	155,067
Deutsche Bank Spears/Lifers Trust:
0.230%, 8/15/2041, Call 8/15/2023 (6) (7) (9)	250,000	250,000
0.320%, 8/1/2047 (6) (7) (9)	16,159,000	16,159,000
Deutsche Bank Spears/Lifers Trust, AMBAC, 0.220%, 10/1/2037 (6) (7) (9)	2,615,000	2,615,000
Florin Resource Conservation District, NATL-RE, 4.000%, 9/1/2016	200,000	206,246
Hemet Unified School District, 0.670%, 10/3/2016 (9)	2,500,000	2,500,775
Imperial Community College District, AGM, 0.000%, 8/1/2016	180,000	178,346
Inglewood Unified School District School Facilities Financing Authority, AGM, 5.000%, 10/15/2016	100,000	104,430
Kaweah Delta Health Care District, 4.000%, 6/1/2016	490,000	502,872
Long Beach Bond Finance Authority, 5.000%, 11/15/2015	110,000	110,883
Los Angeles County Metropolitan Transportation Authority, AMBAC, 0.443%, 7/1/2027 (9) (13)	225,000	212,177
Los Angeles County Public Works Financing Authority, NATL-RE, 5.000%, 12/1/2015	100,000	101,177
Lynwood Unified School District, 5.000%, 8/1/2017	1,500,000	1,616,550
Marysville Joint Unified School District, NATL-RE FGIC, 3.875%, 8/1/2016, Call 10/2/2015	40,000	40,508
Mendota Unified School District, 0.000%, 8/1/2018, Call 10/2/2015	1,275,000	1,165,630
Montebello Unified School District, NATL-RE FGIC, 0.000%, 8/1/2016	300,000	297,204
Northern California Gas Authority No. 1:
0.790%, 7/1/2017 (9)	65,000	64,797
0.820%, 7/1/2019 (9)	7,500,000	7,463,475
Poway Unified School District Public Financing Authority, 2.000%, 9/15/2015	640,000	640,058
Puttable Floating Option Tax-Exempt Receipts, 0.450%, 8/1/2030, Call 10/2/2015 (6) (7) (9)	4,045,000	4,045,000
Puttable Floating Option Tax-Exempt Receipts, NATL-RE, 0.300%, 8/1/2037, Call 8/1/2017 (6) (7) (9)	2,500,000	2,500,000
Salida Area Public Facilities Financing Agency, 3.000%, 9/1/2015	715,000	715,000
State of California, 0.964%, 12/3/2018, Call 6/1/2018 (9)	950,000	965,181
State of California, FSA, 0.200%, 8/1/2027 (6) (7) (9)	7,445,000	7,445,000
Successor Agency to the Richmond County Redevelopment Agency, BAM, 4.000%, 9/1/2017	400,000	423,964
Tender Option Bond Trust Receipts/Certificates, 0.120%, 4/1/2021 (6) (7) (9)	5,000,000	5,000,000
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 11/1/2015 (9)	2,000,000	2,008,700
		101,040,777
Colorado — 1.5%
Auraria Higher Education Center:
6.000%, 5/1/2016	149,000	154,513
6.000%, 5/1/2017	159,000	172,421
City & County of Denver, 0.010%, 12/1/2029, Call 9/1/2015 (9)	650,000	650,000
City & County of Denver, AGC, 0.570%, 11/15/2025, Call 9/1/2015 (9) (13)	525,000	525,000
City of Burlington, 2.000%, 11/1/2015	80,000	80,153
Colorado Educational & Cultural Facilities Authority:
3.000%, 6/1/2016	255,000	257,116
3.000%, 8/15/2016	150,000	153,405
3.000%, 8/15/2017	175,000	182,018
3.000%, 11/15/2017	190,000	197,950

Colorado Health Facilities Authority:
4.000%, 2/1/2017	310,000	319,281
4.000%, 2/1/2018	175,000	182,481
5.000%, 9/1/2020	670,000	670,000
County of Montrose, 4.000%, 12/1/2017	385,000	406,949
Denver Health & Hospital Authority:
5.000%, 12/1/2019, Call 12/1/2016	200,000	209,228
5.000%, 12/1/2020, Call 12/1/2016	1,730,000	1,808,732
E-470 Public Highway Authority, 1.200%, 8/31/2017, Call 3/1/2017 (9)	4,600,000	4,620,378
E-470 Public Highway Authority, NATL-RE, 5.250%, 9/1/2016	100,000	104,338
El Paso County School District No. 20 Academy, SAW, 5.000%, 12/15/2016	500,000	529,340
Park Creek Metropolitan District, AGC, 5.000%, 12/1/2015	100,000	101,197
Rangely Hospital District, 5.000%, 11/1/2016	330,000	342,695
		11,667,195
Connecticut — 0.8%
City of New Britain, AGM, 4.000%, 3/1/2017	1,250,000	1,306,825
State of Connecticut, 0.250%, 1/1/2017, Call 9/1/2015 (9)	5,000,000	5,000,000
		6,306,825
Delaware — 0.0%
Delaware State Health Facilities Authority, 3.000%, 6/1/2016 (10)	200,000	202,822
District of Columbia — 1.9%
Deutsche Bank Spears/Lifers Trust, 0.270%, 6/1/2031, Call 6/1/2021 (6) (7) (9)	8,185,000	8,185,000
District of Columbia Housing Finance Agency, AGM, 5.000%, 7/1/2021, Call 10/2/2015	390,000	391,096
District of Columbia, AGC, 0.220%, 7/15/2017 (6) (7) (9)	5,160,000	5,160,000
Metropolitan Washington Airports Authority, AGC, 0.000%, 10/1/2015	650,000	649,369
		14,385,465
Florida — 3.2%
Brevard County Health Facilities Authority, 5.000%, 4/1/2016	175,000	179,485
City of Gulf Breeze, 1.750%, 12/1/2015 (9)	9,000,000	9,029,430
City of Melbourne, NATL-RE FGIC, 0.000%, 10/1/2015	120,000	119,891
City of Miami, NATL-RE, 4.125%, 1/1/2016	250,000	253,138
City of Port Orange, 2.000%, 10/1/2016	265,000	269,728
City of Port St. Lucie, 4.000%, 9/1/2016	100,000	103,569
City of Sunrise, AMBAC, 5.500%, 10/1/2015	410,000	411,800
City of Tampa, 3.000%, 9/1/2016	800,000	816,672
County of Bay, 3.500%, 9/1/2016	180,000	179,339
County of Miami-Dade, XLCA, 4.000%, 10/1/2015	150,000	150,476
Dupree Lakes Community Development District, BAM, 3.000%, 5/1/2016	100,000	101,460
Florida Governmental Utility Authority, 2.000%, 10/1/2016	245,000	247,911
Florida Higher Educational Facilities Financial Authority, 4.000%, 4/1/2016	100,000	101,835
Florida Municipal Loan Council, NATL-RE, 5.000%, 10/1/2015	250,000	250,955
Florida Municipal Power Agency, AMBAC:
0.149%, 10/1/2021, Call 9/3/2015 (9) (13)	250,000	237,667
0.207%, 10/1/2021 (9) (13)	325,000	308,967
Highlands County Health Facilities Authority, 5.125%, 11/15/2023, Call 11/15/2016 (9)	750,000	788,002
Hillsborough County Industrial Development Authority:
4.000%, 10/1/2015	750,000	752,250
5.000%, 10/1/2015	130,000	130,495
Manatee County School District, AGM, 4.000%, 7/1/2017, Call 10/2/2015	200,000	200,482
Miami Beach Health Facilities Authority, 3.000%, 11/15/2015	750,000	753,952
Miami-Dade County School Board Foundation, Inc., NATL-RE, 5.000%, 5/1/2018, Call 5/1/2017	300,000	321,678
North Sumter County Utility Dependent District, 5.000%, 10/1/2017	225,000	242,492
Orange County Health Facilities Authority, 3.000%, 8/1/2017	625,000	643,550
Palm Beach County Health Facilities Authority, 3.000%, 12/1/2016	465,000	477,285
Port St. Lucie Community Redevelopment Agency, NATL-RE, 5.000%, 1/1/2016	250,000	253,728
Southeast Overtown Park West Community Redevelopment Agency, 4.000%, 3/1/2016 (6) (7)	2,000,000	2,031,620
Sumter County Industrial Development Authority:
3.000%, 7/1/2016	1,620,000	1,647,848
4.000%, 7/1/2017	1,180,000	1,236,251
4.000%, 7/1/2019	620,000	666,171
Suncoast Community Development District, 2.000%, 5/1/2016	170,000	171,511
Tradition Community Development District No. 1, AGM, 2.000%, 5/1/2016	1,500,000	1,511,940
		24,591,578

Georgia — 3.7%
Appling County Development Authority:
0.250%, 9/1/2029, Call 9/1/2015 (9)	9,200,000	9,200,000
0.250%, 9/1/2041, Call 9/1/2015 (9)	6,000,000	6,000,000
Bartow County Development Authority, 2.375%, 8/10/2017 (9)	1,000,000	1,024,160
Burke County Development Authority:
1.550%, 6/21/2016 (9)	265,000	266,306
1.750%, 6/1/2017 (9)	500,000	507,165
City of Atlanta, 1.633%, 11/1/2018, Call 5/1/2018 (9)	2,750,000	2,813,058
Downtown Dalton Development Authority, NATL-RE, 5.500%, 8/15/2017	130,000	136,271
Fulton County Development Authority, 5.000%, 3/15/2016	1,465,000	1,499,589
Georgia Housing & Finance Authority, FHA, 0.000%, 12/1/2016	490,000	426,751
Georgia School Boards Association, Inc., NATL-RE, 3.750%, 12/1/2015	200,000	201,694
Milledgeville & Baldwin County Development Authority, AMBAC, 0.690%, 10/1/2016 (9)	450,000	449,118
Municipal Electric Authority of Georgia, NATL-RE:
6.375%, 1/1/2016	565,000	576,498
6.500%, 1/1/2017	30,000	30,566
Private Colleges & Universities Authority, 4.000%, 10/1/2015	1,535,000	1,539,482
Puttable Floating Option Tax-Exempt Receipts, AMBAC, 0.250%, 10/1/2024, Call 10/1/2017 (6) (7) (9)	4,000,000	4,000,000
		28,670,658
Guam — 0.0%
Territory of Guam, 3.000%, 11/15/2017 (10)	300,000	311,952
Idaho — 1.2%
Idaho Health Facilities Authority, 5.500%, 11/1/2015	130,000	131,085
Idaho Housing & Finance Association, 0.270%, 1/1/2038, Call 9/2/2015 (9)	9,100,000	9,100,000
		9,231,085
Illinois — 7.4%
Chicago Board of Education, 4.020%, 3/1/2017, Call 9/1/2016 (9)	4,250,000	4,178,217
Chicago Board of Education, AGM, 5.000%, 12/1/2018, Call 12/1/2016	250,000	256,330
Chicago Housing Authority, FSA, 5.000%, 7/1/2026, Call 7/1/2016	430,000	445,742
City of Burbank, 3.450%, 12/1/2016	500,000	516,435
City of Burbank, BAM:
3.000%, 12/1/2016	500,000	513,655
3.000%, 12/1/2017	1,040,000	1,080,144
City of Chicago, AGM:
4.250%, 11/1/2018	150,000	159,338
5.000%, 1/1/2019, Call 10/2/2015	250,000	250,893
5.500%, 1/1/2016	85,000	86,455
City of Chicago, AMBAC, 5.000%, 11/1/2015	275,000	276,851
City of Chicago, NATL-RE FGIC, 0.000%, 1/1/2016	150,000	148,680
City of Decatur, 3.000%, 3/1/2016	250,000	253,220
City of Rockford, BAM, 5.000%, 12/15/2017	1,600,000	1,738,400
City of Springfield:
5.000%, 3/1/2016	300,000	306,672
5.000%, 3/1/2017	350,000	370,877
City of Waukegan:
3.000%, 12/30/2015	405,000	408,054
3.000%, 12/30/2016	425,000	436,556
City of Waukegan, AGM:
2.000%, 12/30/2016	515,000	522,236
4.000%, 12/30/2015	535,000	540,767
Cook & Du Page Counties Combined School District No. 113A Lemont Bromberek, NATL-RE FGIC, 0.000%, 12/1/2015	65,000	64,789
Cook County Community Consolidated School District No. 15 Palatine, NATL-RE, 0.000%, 12/1/2017	250,000	241,808
Cook County Community Unit School District No. 401 Elmwood Park, AGM, 0.000%, 12/1/2015	625,000	623,706
Cook County School District No. 123 Oak Lawn, NATL-RE, 0.000%, 12/1/2016	210,000	206,004
DeKalb Lee & LaSalle Counties Community Unit School District 425 Indian Creek, 2.750%, 12/1/2015	405,000	406,960
Deutsche Bank Spears/Lifers Trust, FGIC, 0.250%, 1/1/2030 (6) (7) (9)	9,085,000	9,085,000
Illinois Finance Authority:
1.300%, 5/8/2017 (9)	2,480,000	2,473,006
2.700%, 5/15/2016	375,000	377,411

4.600%, 11/1/2015 (9)	145,000	145,812
4.700%, 2/1/2025, Call 2/1/2017	25,000	26,449
5.000%, 8/15/2016	280,000	290,209
5.000%, 12/15/2016, Call 12/1/2015	100,000	99,931
5.000%, 7/1/2017	140,000	147,913
Illinois Finance Authority, NATL-RE, 5.500%, 11/15/2015 (9)	75,000	75,816
Illinois Housing Development Authority, 1.000%, 8/1/2017, Call 8/1/2016	2,350,000	2,350,846
Illinois State Toll Highway Authority, AGM, 0.260%, 1/1/2016, Call 9/3/2015 (9)	2,700,000	2,700,000
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-RE, 0.000%, 2/1/2016	125,000	124,785
Kendall, Kane & Will Counties Community Unit School District No. 308, 4.000%, 10/1/2015	70,000	70,214
Lake County Forest Preserve District, 0.672%, 12/15/2020 (9)	450,000	448,240
Lee Ogle & De Kalb Counties Community Unit School District No. 271 Paw Paw, 5.250%, 12/1/2015	265,000	267,830
Lockport Township Park District, AMBAC, 0.000%, 11/1/2016	125,000	122,991
Mason Hospital District, RADIAN, 7.250%, 12/1/2015	155,000	157,598
McHenry County Community Consolidated School District No. 47 Crystal Lake, AGM, 5.000%, 2/1/2018	210,000	230,595
McHenry County Community Unit School District No. 12 Johnsburg, AGM, 4.000%, 1/1/2018	125,000	131,826
Memorial Park District, 2.500%, 12/30/2015	65,000	65,468
Northeastern Illinois University, BAM:
3.000%, 7/1/2016	235,000	239,432
3.000%, 7/1/2017	120,000	124,291
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2018	1,150,000	1,251,108
Quad Cities Regional Economic Development Authority, 3.000%, 10/1/2016	200,000	202,442
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2017	20,000	21,268
Southwestern Illinois Development Authority, AGM:
5.250%, 12/1/2020, Call 12/1/2017	275,000	297,798
5.250%, 2/1/2023, Call 2/1/2017	1,165,000	1,236,065
St. Clair County Community Consolidated School District No. 90 O’Fallon, AGM, 2.800%, 12/1/2016	145,000	148,692
State of Illinois:
3.000%, 2/1/2016	2,085,000	2,104,119
4.000%, 4/1/2016	350,000	356,423
4.000%, 7/1/2016	100,000	102,533
5.000%, 1/1/2016	300,000	304,173
5.000%, 4/1/2016	1,000,000	1,024,100
5.000%, 5/1/2017	500,000	527,575
State of Illinois, AMBAC, 5.000%, 11/1/2015	75,000	75,524
Stephenson County School District No. 145 Freeport, BAM, 2.000%, 2/1/2016	220,000	221,379
Tender Option Bond Trust Receipts/Certificates, 0.170%, 2/15/2017 (6) (7) (9)	5,000,000	5,000,000
Town of Cicero, 4.000%, 1/1/2016	2,670,000	2,701,880
Town of Cicero, AGM, 4.000%, 1/1/2017	1,900,000	1,978,318
Village of Bensenville, CIFG, 5.000%, 4/1/2016	80,000	81,370
Village of Bourbonnais, 4.500%, 11/1/2015	210,000	211,071
Village of Bridgeview, AMBAC, 3.300%, 12/1/2015, Call 10/2/2015	330,000	330,294
Village of Cary, RADIAN, 4.400%, 3/1/2016	105,000	106,951
Village of Franklin Park, BAM, 4.000%, 10/1/2017	95,000	100,522
Village of Gilberts, BAM, 1.500%, 3/1/2017	300,000	300,441
Village of Lansing, AGM, 3.000%, 3/1/2017	860,000	886,488
Village of Lyons, AGM, 5.000%, 12/1/2016	325,000	339,047
Village of Maywood, 3.000%, 1/1/2016	2,000,000	2,004,940
Village of Plainfield:
2.000%, 12/15/2015	65,000	65,343
2.000%, 12/15/2016	125,000	127,234
2.000%, 12/15/2017	130,000	132,748
Village of River Grove, 3.800%, 12/15/2015	240,000	241,913
Will County Elementary School District No. 122, AGM, 0.000%, 11/1/2016	130,000	127,999
		56,398,210
Indiana — 3.1%
Center Grove Community School Corp.:
2.000%, 7/1/2016	475,000	479,256
2.000%, 1/1/2017	495,000	500,722
2.000%, 7/1/2017	500,000	506,570
City of Goshen, NATL-RE, 3.800%, 1/1/2018, Call 10/2/2015	615,000	615,886
City of Indianapolis Department of Public Utilities, NATL-RE, 3.500%, 6/1/2017	200,000	209,192

County of Jasper, NATL-RE:
5.600%, 11/1/2016	200,000	210,496
5.600%, 11/1/2016	600,000	631,488
County of Lake:
2.000%, 1/15/2016	245,000	246,551
2.000%, 1/15/2016	555,000	557,370
2.000%, 7/15/2016	555,000	562,720
2.000%, 1/15/2017	285,000	287,613
Franklin Community Multi-School Building Corp., NATL-RE FGIC SAW, 5.000%, 1/15/2016	250,000	254,255
Gary Community School Corp., SAW:
2.000%, 1/15/2016	255,000	256,673
2.000%, 1/15/2017	520,000	530,036
Indiana Finance Authority:
2.200%, 2/1/2016, Call 10/2/2015	4,450,000	4,454,984
5.000%, 9/15/2016	500,000	520,140
5.000%, 3/1/2017	930,000	969,618
Indiana Health & Educational Facilities Financing Authority:
4.100%, 11/3/2016 (9)	100,000	104,086
5.250%, 3/1/2016	590,000	604,656
5.250%, 3/1/2016	370,000	378,928
Indiana Municipal Power Agency, NATL-RE, 5.500%, 1/1/2016	10,000	10,171
La Porte Community School Corp.:
2.000%, 6/30/2016	960,000	970,166
2.000%, 12/30/2016	865,000	878,416
Tender Option Bond Trust Receipts/Certificates, 0.370%, 4/15/2018 (6) (7) (9)	8,500,000	8,500,000
Whitley County Multi School Building Corp.:
3.000%, 7/15/2017	410,000	427,298
3.000%, 1/15/2018	250,000	260,528
		23,927,819
Iowa — 0.4%
City of Randall, 1.250%, 8/1/2016, Call 2/1/2016	3,000,000	3,001,950
Kansas — 0.2%
Bourbon County Unified School District No. 234-Fort Scott, 3.000%, 9/1/2017	745,000	775,403
Wyandotte County-Kansas City Unified Government, 4.000%, 8/1/2017	900,000	954,684
		1,730,087
Kentucky — 1.3%
City of Russell, 4.000%, 11/1/2015	400,000	402,264
Commonwealth of Kentucky, 2.000%, 6/15/2017	275,000	280,830
Deutsche Bank Spears/Lifers Trust, NATL-RE, 0.280%, 9/1/2042, Call 9/1/2017 (6) (7) (9)	3,000,000	3,000,000
Kentucky State Property & Building Commission, AGC, 0.220%, 2/1/2027, Call 2/1/2019 (6) (7) (9)	5,990,000	5,990,000
		9,673,094
Louisiana — 3.1%
City of Bossier City, 2.000%, 10/1/2016	135,000	137,188
City of New Orleans, 4.000%, 6/1/2016	300,000	307,950
City of New Orleans, AMBAC, 0.000%, 9/1/2015	20,000	20,000
Deutsche Bank Spears/Lifers Trust, 0.230%, 10/1/2040, Call 10/1/2020 (6) (7) (9)	7,000,000	7,000,000
East Baton Rouge Sewerage Commission, 0.632%, 8/1/2018, Call 2/1/2018 (9)	6,355,000	6,376,670
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	1,260,000	1,260,454
Louisiana Public Facilities Authority, 0.270%, 7/1/2021, Call 9/3/2015 (9)	1,665,000	1,665,000
Louisiana State Citizens Property Insurance Corp., AMBAC, 5.000%, 6/1/2017, Call 6/1/2016	200,000	206,968
Parish of St. James, 0.210%, 11/1/2040, Call 9/1/2015 (9)	4,000,000	4,000,000
Regional Transit Authority, NATL-RE FGIC, 0.000%, 12/1/2015	110,000	109,900
State of Louisiana, 0.602%, 5/1/2018, Call 11/1/2017 (9)	2,500,000	2,511,250
		23,595,380
Maryland — 0.1%
Maryland Community Development Administration:
4.100%, 9/1/2016	60,000	62,134
4.200%, 9/1/2015	475,000	475,000
4.300%, 9/1/2017, Call 3/1/2017	75,000	78,903
		616,037
Massachusetts — 0.4%
Commonwealth of Massachusetts, 0.661%, 11/1/2018, Call 11/1/2017 (9)	750,000	756,435
Massachusetts Bay Transportation Authority, 6.200%, 3/1/2016	35,000	36,046

Massachusetts Development Finance Agency:
0.500%, 1/29/2020, Call 8/1/2019 (9)	500,000	488,975
4.000%, 10/1/2015	200,000	200,600
Massachusetts Development Finance Agency, AGM, 4.000%, 10/1/2015	950,000	953,040
Massachusetts Municipal Wholesale Electric Co., MBIA, 0.228%, 7/1/2018 (9) (13)	300,000	287,109
		2,722,205
Michigan — 3.3%
Bay De Noc Community College District, XLCA, 4.000%, 5/1/2016	315,000	321,672
Brownfield Redevelopment Authorities, NATL-RE, 4.000%, 11/1/2017, Call 11/1/2016	100,000	103,065
Carman-Ainsworth Community School District, BAM, 5.000%, 5/1/2016	1,670,000	1,717,378
Chippewa Hills School District, Q-SBLF:
4.000%, 5/1/2016	685,000	700,152
4.000%, 5/1/2017	735,000	771,603
City of Detroit Convention Facility Revenue, NATL-RE, 0.000%, 9/30/2015	605,000	604,903
City of Detroit Sewage Disposal System Revenue, NATL-RE FGIC, 5.250%, 7/1/2016	265,000	274,302
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	100,000	110,083
City of Detroit Water Supply System Revenue, NATL-RE, 5.000%, 7/1/2021, Call 10/2/2015	1,500,000	1,504,725
City of Wayne, AMBAC, 4.000%, 10/1/2017, Call 10/2/2015	300,000	300,519
City of Wyandotte, AGC, 4.000%, 10/1/2016	215,000	221,779
Ecorse Public School District, AGM Q-SBLF, 5.000%, 5/1/2016, Call 10/2/2015	100,000	100,371
Fitzgerald Public School District, BAM:
4.000%, 5/1/2016	625,000	639,037
4.000%, 5/1/2016	1,490,000	1,523,465
4.000%, 5/1/2017	985,000	1,034,723
Grand Traverse County Hospital Finance Authority:
3.000%, 7/1/2016	310,000	316,730
3.000%, 7/1/2017	320,000	332,627
4.000%, 7/1/2016	180,000	185,395
4.000%, 7/1/2017	255,000	269,678
Harbor Beach Community School District, Q-SBLF, 2.000%, 5/1/2017	75,000	76,332
Healthsource Saginaw, Inc., 4.000%, 5/1/2017	200,000	211,256
Michigan Finance Authority:
4.000%, 6/1/2017	100,000	103,497
5.000%, 7/1/2016	1,000,000	1,030,350
5.000%, 7/1/2016	2,000,000	2,065,080
Michigan State Building Authority, 5.000%, 10/15/2017	30,000	32,606
Michigan State Building Authority, AGC FGIC, 0.000%, 10/15/2018, Call 10/15/2016	165,000	148,838
Mount Clemens Community School District, Q-SBLF, 4.000%, 5/1/2017	1,655,000	1,736,856
New Lothrop Area Public Schools, AGM Q-SBLF, 5.000%, 5/1/2035, Call 11/1/2015	1,200,000	1,209,444
Newaygo County Regional Educational Service Agency, 2.000%, 5/1/2016	75,000	75,677
Roseville Community Schools, Q-SBLF, 5.000%, 5/1/2017	250,000	266,345
Star International Academy:
3.150%, 3/1/2016	130,000	130,745
3.400%, 3/1/2017	375,000	378,817
Taylor Tax Increment Finance Authority, AGM:
2.000%, 5/1/2016	1,245,000	1,257,799
4.000%, 5/1/2020, Call 10/2/2015	785,000	786,586
4.000%, 5/1/2021, Call 10/2/2015	600,000	601,128
Village of Holly, BAM, 2.000%, 10/1/2015	160,000	160,240
Waterford School District, AGM, 5.000%, 8/1/2017	870,000	935,015
Wayne-Westland Community Schools, Q-SBLF, 5.000%, 5/1/2017	1,060,000	1,128,391
White Cloud Public Schools, Q-SBLF:
4.000%, 5/1/2016	110,000	112,500
4.000%, 5/1/2017	245,000	257,534
4.000%, 5/1/2018	215,000	230,777
4.000%, 5/1/2019	175,000	190,918
Zeeland Public Schools:
4.000%, 5/1/2016	300,000	306,516
4.000%, 5/1/2017	500,000	525,325
		24,990,779
Minnesota — 1.1%
Brooklyn Center Independent School District No. 286, NATL-RE, 4.250%, 2/1/2016	300,000	304,389
City of Crosslake, 2.000%, 12/1/2016	335,000	338,296
City of Hayward, 2.750%, 11/1/2017, Call 5/1/2017	2,000,000	1,998,700
City of Norwood Young America, 1.500%, 8/1/2016, Call 2/1/2016	2,000,000	2,000,400
City of Winona, 2.300%, 7/1/2016	500,000	502,490

Minnesota Higher Education Facilities Authority, 4.000%, 10/1/2015	255,000	255,462
St. Cloud Independent School District No. 742:
1.000%, 2/1/2016	230,000	230,690
1.250%, 2/1/2017	170,000	171,095
St. Paul Housing & Redevelopment Authority, 0.850%, 6/1/2017, Call 6/1/2016	3,000,000	2,999,460
		8,800,982
Mississippi — 1.2%
City of D’Iberville, 2.000%, 4/1/2016	265,000	265,986
Mississippi Business Finance Corp., 0.960%, 12/1/2036, Call 9/1/2015 (9)	8,000,000	8,000,000
Mississippi Development Bank, 5.000%, 4/1/2018	300,000	328,206
Mississippi Hospital Equipment & Facilities Authority, 0.750%, 1/7/2016 (9)	1,000,000	1,000,340
		9,594,532
Missouri — 1.5%
City of St. Louis, NATL-RE, 5.500%, 7/1/2016	360,000	374,634
County of Jackson, AMBAC, 0.000%, 12/1/2015	90,000	89,519
Health & Educational Facilities Authority of the State of Missouri, 3.000%, 2/1/2017	185,000	189,120
Howard Bend Levee District, XLCA, 0.280%, 3/1/2027 (9)	7,130,000	7,130,000
Joplin Industrial Development Authority, 4.000%, 2/15/2017	400,000	416,228
Missouri Development Finance Board, 3.000%, 4/1/2016	300,000	304,197
Missouri Housing Development Commission, GNMA/FNMA, 4.700%, 3/1/2035, Call 9/1/2019	320,000	336,944
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 0.035%, 12/1/2022, Call 9/1/2015 (9) (13)	1,750,000	1,637,249
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 3/1/2016	1,000,000	1,004,310
		11,482,201
Nebraska — 0.4%
Central Plains Energy Project, 5.000%, 6/1/2017	3,000,000	3,223,800
Nevada — 0.4%
Deutsche Bank Spears/Lifers Trust, FSA AMBAC, 0.270%, 6/15/2022, Call 6/15/2017 (6) (7) (9)	2,720,000	2,720,000
New Hampshire — 0.1%
New Hampshire Health & Education Facilities Authority, 3.000%, 7/1/2016	755,000	765,774
New Jersey — 9.1%
Camden County Municipal Utilities Authority, NATL-RE FGIC, 0.000%, 9/1/2015	185,000	185,000
Casino Reinvestment Development Authority, 4.000%, 11/1/2016	1,500,000	1,525,725
City of Margate City, 5.000%, 2/1/2018	200,000	218,858
Deutsche Bank Spears/Lifers Trust, 0.230%, 3/1/2034 (6) (7) (9)	11,920,000	11,920,000
New Jersey Economic Development Authority:
0.320%, 11/1/2031, Call 9/1/2015 (9)	7,610,000	7,610,000
0.320%, 11/1/2040, Call 9/1/2015 (9)	4,900,000	4,900,000
0.320%, 11/1/2040, Call 9/1/2015 (9)	5,970,000	5,970,000
0.750%, 2/1/2017, Call 8/1/2016 (9)	3,225,000	3,180,076
1.720%, 2/1/2016, Call 9/22/2015 (9)	3,300,000	3,300,198
1.820%, 2/1/2018, Call 8/1/2017 (9)	500,000	493,235
2.032%, 2/1/2018, Call 8/1/2017 (9)	1,750,000	1,758,138
5.000%, 6/15/2017	250,000	261,720
New Jersey Educational Facilities Authority:
0.150%, 7/1/2036, Call 9/1/2015 (9)	1,000,000	1,000,000
3.000%, 7/1/2017	125,000	129,701
New Jersey Health Care Facilities Financing Authority:
0.270%, 7/1/2028, Call 9/2/2015 (9)	400,000	400,000
0.320%, 7/1/2038, Call 9/1/2015 (9)	3,900,000	3,900,000
0.590%, 7/1/2018, Call 9/1/2015 (9)	100,000	100,000
3.250%, 7/1/2016	515,000	526,814
New Jersey Health Care Facilities Financing Authority, AGC, 0.410%, 7/1/2038, Call 7/1/2019 (6) (7) (9)	7,002,902	7,002,902
New Jersey Higher Education Student Assistance Authority, 5.000%, 6/1/2016	180,000	185,969
New Jersey State Turnpike Authority, 0.554%, 1/1/2017, Call 7/1/2016 (9)	5,000,000	5,003,250
New Jersey Transportation Trust Fund Authority:
1.020%, 12/15/2019, Call 6/15/2019 (9)	5,000,000	4,757,550
5.000%, 12/15/2017	1,200,000	1,262,040
New Jersey Transportation Trust Fund Authority, AGM, 5.500%, 12/15/2018	250,000	271,760
New Jersey Transportation Trust Fund Authority, FGIC, 0.210%, 12/15/2030 (6) (7) (9)	1,440,000	1,440,000
New Jersey Transportation Trust Fund Authority, FSA, 5.500%, 12/15/2017	135,000	144,053
New Jersey Transportation Trust Fund Authority, NATL-RE, 5.500%, 12/15/2016	2,405,000	2,538,477
Newark Housing Authority, 4.000%, 12/1/2017	100,000	105,929
		70,091,395

New Mexico — 0.7%
New Mexico Municipal Energy Acquisition Authority, 0.876%, 8/1/2019, Call 2/1/2019 (9)	5,500,000	5,509,240
New York — 7.2%
Albany Capital Resource Corp.:
2.000%, 12/1/2015	170,000	170,631
3.000%, 12/1/2016	175,000	180,110
3.000%, 12/1/2017	115,000	120,300
Albany Industrial Development Agency, 0.400%, 7/1/2032, Call 9/3/2015 (9)	1,340,000	1,340,000
City of New York:
0.420%, 8/1/2027, Call 10/3/2016 (9)	1,070,000	1,065,142
0.580%, 8/1/2026 (9) (13)	50,000	50,000
5.000%, 8/1/2017	250,000	270,570
City of New York, AGC, 0.570%, 10/1/2021, Call 9/7/2015 (9) (13)	100,000	100,000
City of New York, AGM, 0.200%, 11/1/2026 (9)	10,000,000	10,000,000
City of Schenectady, BAM, 3.125%, 5/15/2017	300,000	312,999
City of Yonkers, AGM:
2.000%, 10/15/2016	1,600,000	1,624,528
4.000%, 9/1/2016	95,000	98,207
County of Monroe, AGM NATL-RE, 6.000%, 3/1/2017	100,000	107,632
County of Rockland, 5.000%, 3/1/2016	350,000	357,452
County of Suffolk, AGM, 5.000%, 2/1/2017	1,000,000	1,059,250
Long Island Power Authority, 0.782%, 11/1/2018, Call 5/1/2018 (9)	1,600,000	1,602,112
Metropolitan Transportation Authority, 0.626%, 11/1/2015 (9)	300,000	299,979
Metropolitan Transportation Authority, AGM:
0.387%, 11/1/2022, Call 9/3/2015 (9) (13)	3,250,000	3,140,377
0.396%, 11/1/2022, Call 9/2/2015 (9) (13)	3,800,000	3,671,685
0.730%, 5/15/2018, Call 11/15/2017 (9)	4,650,000	4,611,637
New York City Transit Auth/Metropolitan Transportation Auth/Triborough Bridge & Tunnel, AMBAC, 0.542%, 1/1/2030, Call 10/2/2015 (9) (13)	100,000	92,951
New York City Transit Authority/Metropolitan Transportation Authority/Triborough Bridge & Tunnel, AMBAC, 0.545%, 1/1/2030, Call 9/3/2015 (9) (13)	800,000	741,744
New York Local Government Assistance Corp., AGM, 5.250%, 4/1/2016	530,000	545,508
New York State Energy Research & Development Authority, 0.148%, 4/1/2020, Call 9/30/2015 (9) (13)	145,000	136,627
New York State Energy Research & Development Authority, NATL-RE, 0.159%, 12/1/2020, Call 9/9/2015 (9) (13)	7,350,000	6,911,815
Oswego City School District, SAW, 1.000%, 4/21/2016	5,950,000	5,969,278
Puttable Floating Option Tax-Exempt Receipts, AMBAC, 0.550%, 12/1/2025, Call 9/1/2015 (6) (7) (9)	6,330,000	6,330,000
Rensselaer County Industrial Development Agency, 0.220%, 10/30/2035, Call 10/1/2015 (9)	490,000	490,000
State of New York, NATL-RE FGIC:
0.225%, 2/15/2022, Call 9/3/2015 (9) (13)	1,930,000	1,857,438
0.225%, 2/13/2032, Call 9/3/2015 (9) (13)	1,595,000	1,442,748
Upper Mohawk Valley Regional Water Finance Authority, 4.000%, 4/1/2018	65,000	69,812
Village of Freeport, AGM, 3.000%, 5/1/2017	100,000	103,808
		54,874,340
North Carolina — 0.3%
North Carolina Medical Care Commission, 0.340%, 6/1/2029, Call 6/1/2020 (6) (7) (9)	1,000,000	1,000,000
University of North Carolina at Chapel Hill, 0.876%, 12/1/2017, Call 6/1/2017 (9)	925,000	935,823
		1,935,823
North Dakota — 1.2%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2016	520,000	527,062
4.000%, 5/1/2017	545,000	560,543
4.000%, 5/1/2018	565,000	583,577
4.000%, 5/1/2019	590,000	614,874
City of Bowman, 2.500%, 2/15/2017, Call 8/15/2016	1,650,000	1,650,446
City of Williston, 5.000%, 5/1/2016	255,000	262,719
City of Williston, AGM, 2.650%, 11/1/2020, Call 10/2/2015	1,865,000	1,865,877
North Dakota Housing Finance Agency, 3.600%, 7/1/2032, Call 7/1/2022	650,000	655,863
Williston Parks & Recreation District, 3.250%, 3/1/2032, Call 9/17/2015	2,305,000	2,318,576
		9,039,537

Ohio — 2.5%
City of Cleveland, AMBAC, 5.000%, 1/1/2016	220,000	223,230
City of Trenton, AGM, 2.000%, 12/1/2015	275,000	276,155
County of Montgomery, 0.190%, 5/1/2034, Call 5/1/2019 (6) (7) (9)	7,000,000	7,000,000
County of Richland, AGM, 1.500%, 12/1/2015	130,000	130,407
Lancaster Port Authority, 0.846%, 8/1/2019, Call 2/1/2019 (9)	5,000,000	4,977,150
Montpelier Exempted Village School District, 0.000%, 12/1/2015	145,000	144,756
Painesville City Local School District, 0.000%, 12/1/2016	840,000	827,484
State of Ohio, 0.350%, 1/15/2045, Call 10/2/2015 (9)	5,500,000	5,500,000
		19,079,182
Oklahoma — 0.1%
Enid Municipal Authority, AMBAC, 0.000%, 2/1/2016	485,000	483,429
Stephens County Educational Facilities Authority, 3.000%, 9/1/2015	160,000	160,000
		643,429
Oregon — 0.5%
Oregon State Facilities Authority, 0.250%, 9/30/2016 (9)	3,675,000	3,675,661
Port of Morrow:
2.000%, 6/1/2016	200,000	201,314
2.000%, 6/1/2017	200,000	203,554
2.000%, 6/1/2017	75,000	75,967
2.000%, 6/1/2018	70,000	70,485
		4,226,981
Pennsylvania — 7.0%
Bethlehem Area School District, SAW, 0.562%, 1/1/2018, Call 7/1/2017 (9)	3,075,000	3,084,440
Bethlehem Area Vocational Technical School Authority, MAC SAW:
0.400%, 9/15/2015	125,000	125,007
0.700%, 9/15/2016	180,000	180,167
1.500%, 9/15/2017	185,000	186,708
Butler County Hospital Authority:
0.220%, 10/1/2032, Call 10/1/2015 (9)	10,645,000	10,645,000
0.220%, 10/1/2042, Call 10/1/2015 (9)	1,570,000	1,570,000
County of Cambria, BAM, 4.000%, 8/1/2016	1,035,000	1,065,864
Cumberland County Municipal Authority, RADIAN, 5.000%, 12/1/2015	150,000	151,612
Hanover Area School District, AGM SAW, 3.750%, 2/1/2016	830,000	841,163
Jim Thorpe Area School District, BAM SAW, 3.000%, 3/15/2017	180,000	185,967
Lehigh County General Purpose Authority:
0.220%, 5/15/2021, Call 9/1/2015 (9)	1,720,000	1,720,000
3.000%, 11/1/2015	410,000	411,386
3.000%, 11/1/2016	455,000	464,041
Montgomery County Industrial Development Authority:
5.000%, 11/15/2015	1,000,000	1,008,560
5.000%, 11/15/2016	1,000,000	1,048,690
North Penn Water Authority, 0.626%, 11/1/2019, Call 5/1/2019 (9)	2,000,000	1,986,700
Pennsylvania Economic Development Financing Authority, 4.000%, 3/1/2016	500,000	509,035
Pennsylvania Higher Educational Facilities Authority, RADIAN, 5.000%, 12/15/2017, Call 6/15/2016	300,000	309,504
Pennsylvania Higher Educational Facilities Authority, XLCA, 5.000%, 7/1/2017, Call 10/2/2015	545,000	546,739
Pennsylvania Turnpike Commission:
0.470%, 12/1/2017, Call 6/1/2017 (9)	560,000	556,892
0.620%, 12/1/2017, Call 6/1/2017 (9)	100,000	99,776
0.700%, 12/1/2018, Call 6/1/2018 (9)	6,000,000	5,977,380
0.900%, 12/1/2020, Call 6/1/2020 (9)	1,800,000	1,787,688
1.170%, 12/1/2019, Call 6/1/2019 (9)	2,225,000	2,245,381
Pennsylvania Turnpike Commission, AGC, 5.000%, 6/1/2017	600,000	643,128
Philadelphia Authority for Industrial Development, 4.000%, 10/1/2017	1,250,000	1,328,775
Philadelphia Gas Works Co., AMBAC, 5.000%, 10/1/2016	345,000	361,281
Pittsburgh Public Parking Authority, NATL-RE, 5.000%, 12/1/2020, Call 12/1/2015	1,815,000	1,834,511
Pittsburgh Public Parking Authority, NATL-RE FGIC, 0.000%, 12/1/2015	725,000	722,491
Pittsburgh School District, NATL-RE FGIC SAW, 3.500%, 9/1/2015	30,000	30,000
Puttable Floating Option Tax-Exempt Receipts, FGIC, 0.260%, 6/1/2034 (6) (7) (9)	7,020,000	7,020,000
Scranton School District, AGM SAW, 2.000%, 6/15/2017	250,000	255,570
Scranton School District, SAW, 1.128%, 4/2/2018, Call 10/2/2017 (9)	3,000,000	3,014,730
State Public School Building Authority, AGM, 3.000%, 10/15/2015	210,000	210,735
University Area Joint Authority, 0.420%, 11/1/2017, Call 5/1/2017 (9)	1,070,000	1,070,867

Wayne Highlands School District, BAM:
2.000%, 4/1/2016	360,000	363,071
3.000%, 4/1/2017	120,000	124,054
		53,686,913
Puerto Rico — 0.2%
Commonwealth of Puerto Rico, AGM, 5.250%, 7/1/2016	100,000	100,799
Commonwealth of Puerto Rico, NATL-RE, 0.000%, 7/1/2016	270,000	261,079
Puerto Rico Electric Power Authority, 0.000%, 7/1/2017	385,000	366,416
Puerto Rico Electric Power Authority, NATL-RE, 0.000%, 7/1/2017	40,000	38,069
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority:
5.000%, 4/1/2016	500,000	496,790
5.000%, 7/1/2018	300,000	307,419
		1,570,572
Rhode Island — 0.1%
Rhode Island Health & Educational Building Corp., NATL-RE, 5.500%, 4/1/2017	1,000,000	1,070,910
South Carolina — 0.4%
Newberry Investing in Children’s Education, 5.250%, 12/1/2015	1,560,000	1,579,126
South Carolina Jobs-Economic Development Authority, 4.000%, 11/1/2015	800,000	804,528
South Carolina State Public Service Authority, NATL-RE, 5.000%, 1/1/2022, Call 1/1/2016	340,000	345,321
		2,728,975
South Dakota — 0.0%
South Dakota Health & Educational Facilities Authority, 3.500%, 9/1/2015	355,000	355,000
Tennessee — 0.1%
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, 3.000%, 11/1/2016	510,000	519,955
Tennessee Housing Development Agency, 4.500%, 7/1/2028, Call 1/1/2020	170,000	178,590
		698,545
Texas — 7.6%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 4/1/2017 (9)	2,000,000	1,997,540
Central Texas Regional Mobility Authority, 3.000%, 1/4/2016, Call 10/2/2015 (9)	3,000,000	3,005,070
City of Houston:
0.770%, 6/1/2017, Call 12/1/2016 (9)	300,000	300,576
4.000%, 9/1/2017	200,000	211,696
City of Irving, 2.000%, 8/15/2016	140,000	141,627
City of Lewisville, AGM:
2.000%, 9/1/2016	325,000	329,277
2.000%, 9/1/2017	335,000	341,000
4.000%, 9/1/2018	340,000	365,626
City of San Marcos, BAM, 2.000%, 11/1/2015	320,000	320,579
Clifton Higher Education Finance Corp., 3.750%, 8/15/2016	485,000	493,958
County of Jones:
3.000%, 9/1/2015	85,000	85,000
4.000%, 9/1/2016	165,000	170,537
Denton Independent School District, PSF, 2.000%, 8/1/2016 (9)	250,000	253,172
Fort Bend County Municipal Utility District No. 138, BAM:
2.000%, 9/1/2016	200,000	202,054
2.000%, 9/1/2017	200,000	204,820
Fort Bend County Municipal Utility District No. 151, MAC:
2.000%, 9/1/2016	165,000	167,006
2.000%, 9/1/2017	180,000	182,936
Fort Bend County Municipal Utility District No. 50, MAC:
2.000%, 9/1/2016	180,000	181,975
2.000%, 9/1/2017	340,000	345,345
Gainesville Hospital District, AMBAC, 4.000%, 8/15/2016	100,000	103,342
Goose Creek Consolidated Independent School District, PSF, 1.350%, 8/15/2018 (9)	700,000	700,805
Grand Mission Municipal Utility District No. 1, BAM, 2.000%, 9/1/2016	340,000	343,730
Gulf Coast Industrial Development Authority, 0.650%, 11/1/2019, Call 10/1/2015 (9)	2,350,000	2,350,000
Harris County Cultural Education Facilities Finance Corp., 0.420%, 6/1/2016 (9)	1,000,000	1,001,180
Harris County Municipal Utility District No. 165, BAM, 2.000%, 3/1/2016	125,000	125,869
Harris County Municipal Utility District No. 276, BAM, 2.000%, 9/1/2015	200,000	200,000
Harris County Municipal Utility District No. 383, BAM, 2.000%, 9/1/2015	140,000	140,000
Harris County Municipal Utility District No. 391, AGM, 2.000%, 9/1/2015	125,000	125,000
Harris County Municipal Utility District No. 468, AGM, 2.000%, 9/1/2017	100,000	102,010

Harris Montgomery Counties Municipal Utility District No. 386, 5.000%, 9/1/2015	290,000	290,000
Meadowhill Regional Municipal Utility District, AGM, 2.000%, 10/1/2015	165,000	165,234
Nolan County Hospital District, 3.000%, 8/15/2016	200,000	204,328
North Texas Health Facilities Development Corp., AGM, 5.000%, 9/1/2015	180,000	180,000
North Texas Tollway Authority:
6.000%, 1/1/2020, Call 1/1/2018	220,000	246,545
6.000%, 1/1/2020, Call 1/1/2018	30,000	33,215
Northpointe Water Control & Improvement District, AGM, 2.000%, 9/1/2016	300,000	303,828
Northside Independent School District, PSF:
1.200%, 8/1/2017 (9)	90,000	90,391
2.125%, 8/1/2020, Call 2/1/2016 (9)	1,980,000	1,993,939
Panhandle-Plains Higher Education Authority, Inc., 1.084%, 10/1/2020, Call 9/1/2015 (9)	150,000	151,352
Port of Port Arthur Navigation District:
0.300%, 12/1/2039, Call 9/1/2015 (9)	9,700,000	9,700,000
0.300%, 4/1/2040, Call 9/1/2015 (9)	1,250,000	1,250,000
0.300%, 11/1/2040, Call 9/1/2015 (9)	10,000,000	10,000,000
Spring Creek Utility District of Montgomery County, BAM, 2.000%, 10/1/2017	375,000	380,981
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	2,525,000	2,552,522
4.000%, 9/1/2017	550,000	579,144
5.000%, 10/1/2017	1,025,000	1,113,078
5.250%, 8/15/2028, Call 8/15/2018	230,000	257,416
Texas Municipal Gas Acquisition & Supply Corp. I, 5.000%, 12/15/2015	150,000	151,877
Texas Municipal Gas Acquisition & Supply Corp. II:
0.490%, 9/15/2017 (9)	145,000	145,028
0.892%, 9/15/2017 (9)	2,350,000	2,351,433
Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2015	1,500,000	1,518,420
Texas Transportation Commission, 0.250%, 4/1/2026, Call 9/1/2015 (9)	9,000,000	9,000,000
Travis County Water Control & Improvement District No. 17, BAM:
0.000%, 11/1/2016	390,000	386,712
0.000%, 11/1/2017	250,000	244,880
Walnut Creek Special Utility District, MAC, 2.000%, 1/10/2017	255,000	258,866
		58,040,919
Utah — 0.2%
Utah Associated Municipal Power Systems, 5.000%, 6/1/2017	1,670,000	1,791,543
Vermont — 0.0%
City of Burlington, AGM, 5.000%, 7/1/2016	125,000	129,279
Virginia — 0.2%
City of Richmond, AGM, 5.000%, 7/15/2016, Call 10/2/2015	250,000	250,950
Virginia Small Business Financing Authority, 5.000%, 11/1/2017	1,215,000	1,322,734
		1,573,684
Washington — 1.8%
Barclays Capital Municipal Trust Receipts, 0.150%, 6/1/2034, Call 6/1/2019 (6) (7) (9)	11,320,000	11,320,000
Grant County Public Hospital District No. 1, RADIAN, 5.000%, 12/1/2016	325,000	340,616
Washington Health Care Facilities Authority, 2.500%, 12/1/2017 (6) (7)	600,000	602,736
Washington Higher Education Facilities Authority:
3.000%, 10/1/2015	170,000	170,257
5.000%, 10/1/2016	1,000,000	1,039,350
		13,472,959
West Virginia — 0.0%
Berkeley County Building Commission:
3.000%, 9/1/2015	100,000	100,000
3.000%, 9/1/2016	140,000	143,171
3.000%, 9/1/2017	50,000	51,708
		294,879
Wisconsin — 1.8%
City of Edgerton, 1.750%, 6/1/2017, Call 6/1/2016	1,925,000	1,937,243
City of Menasha:
4.300%, 9/1/2015	265,000	265,000
4.400%, 9/1/2017	100,000	100,000
City of Sheboygan, FGIC, 5.000%, 9/1/2015	375,000	375,000
City of South Milwaukee, 4.000%, 9/1/2017, Call 9/1/2016	100,000	103,457
City of Weyauwega, 1.500%, 8/1/2016, Call 2/1/2016	2,840,000	2,841,363

County of Langlade:
2.000%, 10/1/2016		350,000	355,064
2.000%, 10/1/2017		365,000	370,446
2.000%, 10/1/2018		100,000	101,226
Maple School District, 1.000%, 10/30/2015		1,400,000	1,400,644
Raymond School District No. 14, 3.000%, 4/1/2016		75,000	76,159
Town of Somers:
4.000%, 8/1/2016		400,000	410,632
4.000%, 8/1/2017		435,000	456,250
Wisconsin Center District:
3.000%, 12/15/2015		200,000	201,034
3.000%, 12/15/2016		615,000	626,913
3.000%, 12/15/2017		635,000	649,662
Wisconsin Center District, NATL-RE, 0.000%, 12/15/2015		135,000	134,745
Wisconsin Health & Educational Facilities Authority:
2.250%, 5/1/2016		100,000	100,228
2.500%, 10/15/2015		180,000	180,499
3.000%, 8/15/2016		320,000	324,874
3.000%, 8/15/2017		410,000	421,373
3.300%, 10/1/2016		50,000	51,509
5.000%, 9/1/2016		375,000	390,225
5.000%, 8/15/2021, Call 8/15/2018		150,000	165,597
Wisconsin-Dells School District, 1.000%, 10/29/2015		1,750,000	1,750,962
			13,790,105
Total Municipals (identified cost $751,772,605)			752,152,377
Mutual Funds — 0.3%
New York — 0.3%
Nuveen New York AMT-Free Municipal Income Fund, Preferred Shares, 0.640%, 10/1/2017, Call 10/2/2015 (6) (7) (9)		2,000,000	2,000,840
Total Mutual Funds (identified cost $2,000,000)			2,000,840
Short-Term Investments — 1.3%
Mutual Funds — 0.4%
BMO Tax-Free Money Market Fund, Class I, 0.040% (4)		2,807,077	2,807,077
Short-Term Municipals — 0.9%
Alabama — 0.1%
Limestone County Water & Sewer Authority, 1.000%, 9/1/2015	$	400,000	400,000
Colorado — 0.0%
Colorado Educational & Cultural Facilities Authority, 2.000%, 10/1/2015		215,000	215,264
Illinois — 0.1%
Village of Gilberts, BAM, 1.000%, 3/1/2016		180,000	180,088
Village of Lyons, AGM, 4.000%, 12/1/2015		300,000	302,262
			482,350
New Jersey — 0.0%
New Jersey Educational Facilities Authority, 2.000%, 7/1/2016		200,000	202,524
New York — 0.3%
City of Yonkers, AGM, 4.000%, 9/1/2015		95,000	95,000
Nassau Health Care Corp., 2.250%, 1/15/2016		2,250,000	2,258,955
			2,353,955
Ohio — 0.3%
City of Garfield Heights, 1.500%, 6/22/2016		300,000	301,680
City of Harrison, 1.750%, 10/21/2015		1,025,000	1,026,579
Sylvania City School District, BAM, 2.000%, 12/1/2015		1,545,000	1,551,489
			2,879,748

Wisconsin — 0.1%
City of Juneau, 2.000%, 3/1/2016	565,000		568,028
Total Short-Term Municipals			7,101,869
Total Short-Term Investments (identified cost $9,906,294)			9,908,946
Total Investments — 99.7% (identified cost $763,678,899)			764,062,163
Other Assets and Liabilities — 0.3%			2,619,633
Total Net Assets — 100.0%		$	766,681,796

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

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. At August 31, 2015, these securities amounted to:

Fund	Amount	% of Total Net Assets
Ultra Short Tax-Free Fund	$180,909,458	23.60%

(7) Denotes a restricted security which has been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds.

(9) Denotes a variable or floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2015.

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

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

Short Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of August 31, 2015

Description	Shares or Principal Amount		Value
Municipals — 96.7%
Alabama — 0.4%
Alabama Agricultural & Mechanical University, AMBAC, 3.700%, 11/1/2015		$200,000	$	200,194
Alabama State Docks Department, NATL-RE, 5.000%, 10/1/2019, Call 10/1/2016		100,000		104,498
County of Jefferson, AGM, 0.396%, 2/1/2042, Call 9/24/2015 (9) (13)		259,832		213,848
				518,540
Alaska — 0.7%
Alaska Housing Finance Corp., NATL-RE, 5.250%, 12/1/2021, Call 12/1/2017		100,000		109,925
Alaska Industrial Development & Export Authority, 4.000%, 4/1/2017		200,000		210,046
City of Valdez, 5.000%, 1/1/2021		500,000		564,370
				884,341
Arizona — 1.7%
Arizona Health Facilities Authority:
1.870%, 2/5/2020, Call 8/9/2019 (9)		250,000		257,297
1.870%, 2/5/2020, Call 8/9/2019 (9)		250,000		257,298
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2017		130,000		138,706
Greater Arizona Development Authority, 5.000%, 8/1/2024, Call 8/1/2018		25,000		27,461
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (6) (7)		185,000		183,844
McAllister Academic Village LLC, 5.750%, 7/1/2016		95,000		99,220
Phoenix Civic Improvement Corp., 5.500%, 7/1/2019 (16)		100,000		113,664
Pinal County School District No. 1 Florence, BAM, 4.000%, 7/1/2020		250,000		274,587
Prescott Valley Municipal Property Corp., AMBAC, 3.750%, 1/1/2018, Call 1/1/2016		250,000		252,125
Salt Verde Financial Corp., 5.000%, 12/1/2016		30,000		31,365
Scottsdale Industrial Development Authority, FSA, 1.720%, 9/1/2045 (9) (13)		575,000		575,000
				2,210,567
Arkansas — 0.8%
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		270,000		270,086
City of Hot Springs, 5.000%, 12/1/2020		245,000		281,547
City of Little Rock, 1.800%, 4/1/2030, Call 10/1/2021		150,000		151,474
City of Rogers, 2.125%, 11/1/2029, Call 11/1/2021 (10)		230,000		230,458
City of Springdale, 2.600%, 7/1/2027, Call 7/1/2018		50,000		50,033
DeWitt School District No. 1, SAW, 3.000%, 6/1/2017		100,000		103,998
				1,087,596
California — 8.2%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020		500,000		566,225
Bay Area Toll Authority, 1.120%, 4/1/2024, Call 10/1/2023 (9)		500,000		496,340
BB&T Municipal Trust, 0.820%, 11/15/2019 (6) (7) (9)		500,000		502,180
California Health Facilities Financing Authority, 5.000%, 11/15/2021, Call 11/15/2015		100,000		100,910
California Health Facilities Financing Authority, NATL-RE:
0.045%, 7/15/2018, Call 9/3/2015 (9) (13)		100,000		96,853
0.138%, 7/1/2022, Call 9/1/2015 (9) (13)		500,000		480,105
California Housing Finance Agency, AGM GO, 0.381%, 2/1/2037, Call 9/3/2015 (9) (13)		10,000		9,032
California Housing Finance Agency, NATL-RE GO, 0.505%, 8/1/2038, Call 9/24/2015 (9) (13) (15)		5,000		4,459
California State Public Works Board:
5.000%, 4/1/2020		320,000		371,523
5.000%, 11/1/2020, Call 11/1/2019		35,000		40,244
5.125%, 10/1/2022, Call 10/1/2019		245,000		280,523
California Statewide Communities Development Authority, 3.500%, 11/1/2018		100,000		100,342
California Statewide Communities Development Authority, AGM, 3.000%, 10/1/2017		200,000		206,488
California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 11/1/2016		500,000		506,365
California Statewide Communities Development Authority, NATL-RE, 0.520%, 4/1/2028 (9) (13)		75,000		64,533
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020		675,000		777,944

Chino Redevelopment Agency, AMBAC, 4.000%, 9/1/2019, Call 9/1/2016	250,000	258,862
City of Redding, NATL-RE, 0.207%, 7/1/2022 (9) (13)	150,000	150,000
Contra Costa Transportation Authority, 0.496%, 12/15/2015, Call 9/22/2015 (9)	150,000	150,003
County of San Joaquin, 4.000%, 4/1/2019	225,000	245,014
County of Yolo, AGM, 5.000%, 12/1/2015	180,000	182,155
Florin Resource Conservation District, NATL-RE, 4.000%, 9/1/2018	500,000	534,645
Imperial Unified School District, XLCA, 5.000%, 8/1/2023, Call 10/2/2015	50,000	50,673
Los Angeles County Metropolitan Transportation Authority, AMBAC, 0.443%, 7/1/2027 (9) (13)	150,000	141,451
Lynwood Unified School District, 5.000%, 8/1/2017	500,000	538,850
Mendota Unified School District, 0.000%, 8/1/2018, Call 10/2/2015	350,000	319,977
Northern California Gas Authority No. 1:
0.790%, 7/1/2017 (9)	70,000	69,781
0.820%, 7/1/2019 (9)	1,040,000	1,034,935
Northern California Transmission Agency, NATL-RE:
0.446%, 5/1/2024, Call 9/3/2015 (9) (13)	50,000	47,889
0.448%, 5/1/2024, Call 9/7/2015 (9) (13)	200,000	191,360
Ravenswood City School District, AMBAC, 5.000%, 8/15/2016, Call 10/2/2015	340,000	344,617
State of California:
0.834%, 12/1/2017, Call 6/1/2017 (9)	250,000	252,840
0.920%, 5/1/2018, Call 11/1/2017 (9)	180,000	181,082
0.964%, 12/3/2018, Call 6/1/2018 (9)	610,000	619,748
State of California, NATL-RE, 4.000%, 9/1/2015	35,000	35,000
Stockton Unified School District, AGM, 5.000%, 8/1/2018, Call 8/1/2017	200,000	215,778
Twin Rivers Unified School District, AGM:
3.200%, 6/1/2020, Call 11/1/2015 (9)	295,000	296,283
3.200%, 6/1/2020, Call 11/1/2015 (9)	245,000	245,806
		10,710,815
Colorado — 4.0%
Auraria Higher Education Center:
6.000%, 5/1/2018	169,000	185,183
6.000%, 5/1/2019	178,000	199,328
City of Burlington, 3.000%, 11/1/2019	100,000	102,002
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (6) (7)	590,000	585,953
3.000%, 10/1/2017	380,000	393,277
3.000%, 11/15/2017	200,000	208,368
Colorado Health Facilities Authority:
1.875%, 11/6/2019 (9)	400,000	398,160
4.000%, 12/1/2018	250,000	265,625
4.500%, 2/1/2019	250,000	265,993
5.000%, 6/1/2016	55,000	56,460
5.125%, 11/15/2021, Call 11/15/2016 (9)	50,000	52,559
County of Montrose:
4.000%, 12/1/2018	175,000	186,506
4.000%, 12/1/2019	200,000	213,418
Denver Health & Hospital Authority:
5.000%, 12/1/2017, Call 12/1/2016	275,000	288,530
5.000%, 12/1/2020, Call 12/1/2016	250,000	261,378
E-470 Public Highway Authority, 1.200%, 8/31/2017, Call 3/1/2017 (9)	550,000	552,436
E-470 Public Highway Authority, NATL-RE:
4.500%, 9/1/2016	120,000	124,267
5.000%, 9/1/2017, Call 9/1/2016	300,000	311,814
Regional Transportation District, 5.000%, 6/1/2025, Call 6/1/2020	500,000	570,480
		5,221,737
Connecticut — 0.5%
Connecticut State Health & Educational Facility Authority, NATL-RE, 5.000%, 7/1/2023, Call 7/1/2017	150,000	160,527
State of Connecticut:
0.900%, 8/15/2018 (9)	250,000	250,035
0.940%, 5/15/2018 (9)	150,000	150,161
0.940%, 9/15/2019 (9)	115,000	115,330
		676,053
Delaware — 0.1%
Delaware State Housing Authority, 4.800%, 1/1/2023, Call 7/1/2018	180,000	185,555

Florida — 6.2%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020	500,000	569,290
5.000%, 4/1/2021	400,000	460,296
Citizens Property Insurance Corp., 4.250%, 6/1/2017	50,000	52,874
Citizens Property Insurance Corp., AGM, 5.000%, 6/1/2016	50,000	51,711
City of Cape Coral, NATL-RE, 5.000%, 7/1/2016	185,000	192,010
City of Gulf Breeze, FGIC, 5.125%, 12/1/2015 (9)	30,000	30,196
City of Margate, AGM, 4.375%, 7/1/2019, Call 10/2/2015	50,000	50,139
City of Miami Gardens, 3.000%, 7/1/2017	250,000	260,237
City of Port St. Lucie, 5.000%, 7/1/2020	295,000	342,607
City of Tampa, 5.000%, 11/15/2020, Call 5/15/2020	25,000	28,735
County of Brevard, AMBAC, 4.000%, 7/1/2017, Call 7/1/2016	250,000	254,765
County of Broward, 5.000%, 10/1/2020	100,000	117,210
County of Broward, AMBAC, 5.000%, 9/1/2020, Call 9/1/2016	100,000	104,387
County of Miami-Dade, AGC, 5.000%, 6/1/2017	50,000	53,757
County of Osceola, AGC, 4.000%, 10/1/2015	65,000	65,196
County of Sarasota, NATL-RE, 5.000%, 10/1/2021, Call 10/1/2015	150,000	150,570
Florida Governmental Utility Authority, 2.000%, 10/1/2015	240,000	240,286
Florida HomeLoan Corp., GNMA/FNMA COLL, 3.100%, 1/1/2017	310,000	319,604
Florida HomeLoan Corp., GNMA/FNMA/FHLMC, 4.600%, 1/1/2029, Call 1/1/2020	90,000	93,792
Florida Municipal Power Agency, AMBAC, 0.149%, 10/1/2027, Call 9/2/2015 (9) (13)	575,000	515,206
Florida Municipal Power Agency, NATL-RE FGIC, 0.317%, 10/1/2027 (9) (13)	25,000	22,583
Highlands County Health Facilities Authority, 6.500%, 11/17/2015 (9)	25,000	25,318
Hillsborough County Industrial Development Authority, 5.000%, 10/1/2021, Call 10/1/2016	200,000	209,084
Hillsborough County School Board, AMBAC, 4.125%, 10/1/2020, Call 4/1/2016	200,000	204,506
Miami-Dade County Educational Facilities Authority, AMBAC, 5.250%, 4/1/2020	40,000	46,094
Miami-Dade County School Board Foundation, Inc.:
5.000%, 5/1/2018	300,000	329,682
5.000%, 5/1/2019	225,000	252,862
Miami-Dade County School Board, AMBAC, 5.000%, 8/1/2023, Call 8/1/2018	100,000	110,203
Orange County Health Facilities Authority, 3.000%, 8/1/2017	350,000	360,388
Orange County School Board, AGM FGIC, 5.000%, 8/1/2021, Call 8/1/2016	50,000	52,052
Orlando Community Redevelopment Agency, 4.000%, 9/1/2017	85,000	87,835
Pinellas County Educational Facilities Authority, 5.000%, 10/1/2017	300,000	321,333
Pinellas County Health Facilities Authority, NATL-RE, 0.230%, 11/15/2023, Call 9/1/2015 (9) (13)	200,000	186,407
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2019 (6) (7)	250,000	273,772
St. Lucie County School Board, NATL-RE, 5.000%, 10/1/2020, Call 10/1/2016	70,000	73,529
St. Lucie County School Board, NATL-RE FGIC, 4.300%, 10/1/2019, Call 10/1/2016	250,000	260,725
Sumter County Industrial Development Authority:
4.000%, 7/1/2017	500,000	523,835
5.000%, 7/1/2020	235,000	262,575
5.000%, 7/1/2020	300,000	337,533
Tampa Bay Water:
5.000%, 10/1/2017	15,000	16,299
5.000%, 10/1/2017	25,000	27,165
Tradition Community Development District No. 1, AGM, 2.000%, 5/1/2016	235,000	236,871
		8,173,519
Georgia — 2.8%
Atlanta Development Authority, 4.000%, 9/1/2020	500,000	562,755
Burke County Development Authority, AGM, 0.340%, 1/1/2024, Call 9/17/2015 (9) (13)	410,000	384,371
City of Atlanta:
1.633%, 11/1/2018, Call 5/1/2018 (9)	250,000	255,732
6.000%, 11/1/2029, Call 11/1/2019	290,000	346,330
County of DeKalb, 5.000%, 10/1/2020	150,000	174,775
DeKalb Private Hospital Authority, 5.000%, 11/15/2021, Call 11/15/2019	420,000	482,013
Fulton County Development Authority:
3.000%, 11/1/2015	25,000	25,118
4.000%, 3/15/2016	50,000	50,915
5.000%, 3/15/2016	150,000	153,542
Gainesville & Hall County Development Authority, 5.250%, 11/15/2015	70,000	70,634
Gainesville & Hall County Hospital Authority, 0.970%, 2/18/2020, Call 8/22/2019 (9)	350,000	350,119
Heard County Development Authority, AGM, 0.340%, 1/1/2024, Call 9/17/2015 (9) (13)	25,000	23,504

Main Street Natural Gas, Inc.:
5.000%, 3/15/2016	165,000	168,742
5.250%, 9/15/2018	100,000	109,984
Monroe County Development Authority, AGM, 0.347%, 1/1/2020, Call 10/1/2015 (9) (13)	500,000	472,563
		3,631,097
Idaho — 0.2%
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	150,000	172,815
Idaho Housing & Finance Association, 5.000%, 7/15/2022, Call 7/15/2019	75,000	84,583
		257,398
Illinois — 9.4%
Chicago Board of Education, 4.020%, 3/1/2017, Call 9/1/2016 (9)	1,000,000	983,110
Chicago Transit Authority, 5.500%, 6/1/2019, Call 12/1/2018	105,000	117,258
City of Chicago, 5.000%, 1/1/2018	50,000	51,480
City of Chicago, AGM, 5.000%, 1/1/2022, Call 10/2/2015	100,000	100,287
City of Chicago, AMBAC, 4.000%, 1/1/2017, Call 10/2/2015	50,000	50,140
City of Chicago, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018	175,000	182,245
City of Springfield, 5.000%, 3/1/2016	350,000	357,784
City of Waukegan, 5.000%, 12/30/2020	250,000	281,105
Clyde Park District, AGM, 4.250%, 2/1/2019	500,000	520,305
Cook County High School District No. 209 Proviso Township, AGM, 5.000%, 12/1/2019, Call 12/1/2016 (16)	50,000	52,710
Cook County School District No. 100 South Berwyn, BAM, 2.000%, 12/1/2017	65,000	65,959
Cook County Township High School District No. 201 J Sterling Morton, AMBAC:
0.000%, 12/1/2018	170,000	150,984
0.000%, 12/1/2019	100,000	84,632
Cook County Township High School District No. 220 Reavis, 4.000%, 12/1/2017	100,000	107,289
County of Cook, 5.000%, 11/15/2020, Call 11/15/2019	250,000	268,865
County of St. Clair, NATL-RE FGIC:
0.000%, 10/1/2016	120,000	119,472
0.000%, 10/1/2016	485,000	480,072
County of Winnebago, NATL-RE, 4.250%, 12/30/2019, Call 12/30/2016	50,000	52,310
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2018	350,000	336,864
Du Page & Will Counties Community School District No. 204 Indian Prairie, 2.000%, 12/30/2019, Call 12/30/2017	575,000	583,257
Illinois Finance Authority:
4.000%, 10/1/2018	275,000	290,911
5.000%, 8/15/2016	195,000	201,318
5.000%, 7/1/2017	250,000	264,130
5.000%, 2/15/2018	40,000	43,395
5.500%, 8/15/2018	100,000	109,255
Illinois Finance Authority, AGM:
0.000%, 1/1/2018	40,000	39,118
0.000%, 1/1/2018	55,000	53,316
Illinois Housing Development Authority, AGM, 4.400%, 9/1/2020, Call 10/2/2015	200,000	200,604
Kane County Forest Preserve District, CIFG, 0.000%, 12/15/2024, Call 12/15/2016	500,000	337,960
Kendall, Kane, & Will Counties Community Unit School District No. 308, NATL-RE FGIC, 4.250%, 10/1/2020, Call 10/1/2017	50,000	53,141
Lake County Community High School District No. 117 Antioch, NATL-RE FGIC, 0.000%, 12/1/2016	235,000	231,040
Lake County Forest Preserve District, 0.672%, 12/15/2020 (9)	300,000	298,827
McHenry & Lake Counties Community Consolidated School District No. 15, AGM, 0.000%, 1/1/2018	100,000	96,070
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	30,000	26,079
Montgomery & Bond Counties Community Unit School District No. 3 Hillsboro, AGM, 4.100%, 12/1/2016	200,000	202,670
Northern Illinois University, FGIC, 0.000%, 10/1/2015	100,000	99,964
Quad Cities Regional Economic Development Authority, 4.000%, 10/1/2019	400,000	428,576
Railsplitter Tobacco Settlement Authority:
5.000%, 6/1/2016	50,000	51,422
5.000%, 6/1/2018	40,000	43,603
6.250%, 6/1/2024, Call 6/1/2016	200,000	207,704
Rock Island County Public Building Commission, 3.700%, 12/1/2018	275,000	277,115
Southwestern Illinois Development Authority, AGM, 5.250%, 2/1/2023, Call 2/1/2017	250,000	265,250
State of Illinois:
3.875%, 9/1/2017	100,000	103,847
5.000%, 5/1/2017	250,000	263,787
5.000%, 4/1/2020	100,000	107,827

State of Illinois, AGM, 4.500%, 9/1/2020, Call 10/2/2015	100,000	100,238
State of Illinois, NATL-RE FGIC, 5.500%, 6/15/2017	30,000	32,391
Town of Cicero, 5.000%, 1/1/2020	500,000	557,695
Town of Cicero, AGM, 4.000%, 1/1/2017	250,000	260,305
United City of Yorkville, AMBAC, 4.000%, 12/30/2018, Call 12/30/2016	145,000	151,102
Village of Bensenville, CIFG, 5.000%, 4/1/2016	150,000	152,569
Village of Maywood, 4.000%, 1/1/2017	500,000	509,590
Village of Oak Lawn, NATL-RE, 3.850%, 12/1/2017, Call 10/2/2015	480,000	480,874
Wabash General Hospital District, AMBAC, 4.750%, 9/1/2016	450,000	464,562
Wayne County Public School District No. 112 Fairfield, 3.000%, 12/1/2017	205,000	210,252
Will County School District No. 88A Richland, 1.100%, 1/1/2017	60,000	60,113
Winnebago County School District No. 122 Harlem-Loves Park, AGM, 0.000%, 1/1/2017	25,000	24,227
		12,246,975
Indiana — 3.4%
Center Grove Community School Corp., 2.000%, 1/1/2018	505,000	511,797
City of Whiting, 1.850%, 10/1/2019 (9)	1,000,000	997,650
County of Jasper, NATL-RE, 5.600%, 11/1/2016	175,000	184,184
County of Lake:
2.000%, 7/15/2017	245,000	244,998
2.000%, 1/15/2018	520,000	528,944
Griffith Multi-School Building Corp., AGM SAW, 5.000%, 7/15/2019, Call 9/14/2015	100,000	100,149
Hammond Local Public Improvement Bond Bank, 5.000%, 8/1/2018, Call 2/1/2018	150,000	159,029
Indiana Finance Authority:
2.200%, 2/1/2016, Call 10/2/2015	200,000	200,224
4.000%, 10/1/2017	250,000	265,382
5.000%, 5/1/2020	100,000	114,291
5.000%, 8/15/2020	250,000	280,955
5.250%, 10/1/2022, Call 10/1/2021	150,000	177,672
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2020	100,000	115,522
Jasper Hospital Authority, 5.000%, 11/1/2020	250,000	282,015
Vigo County Building Corp., AMBAC, 4.200%, 7/15/2017, Call 10/2/2015	255,000	255,658
		4,418,470
Kansas — 0.7%
Bourbon County Unified School District No. 234 Fort Scott, 5.000%, 9/1/2020	420,000	484,138
Kansas Development Finance Authority, AMBAC, 0.000%, 7/1/2019	100,000	90,962
Kansas Development Finance Authority, BAM, 5.000%, 12/1/2019	200,000	224,948
Miami County Unified School District No. 416 Louisburg, NATL-RE, 5.000%, 9/1/2016	120,000	125,399
		925,447
Kentucky — 0.9%
Deutsche Bank Spears/Lifers Trust, NATL-RE, 0.280%, 9/1/2042, Call 9/1/2017 (6) (7) (9)	1,000,000	1,000,000
Kentucky Asset Liability Commission, NATL-RE, 0.601%, 11/1/2017 (9)	70,000	70,238
Kentucky Housing Corp., 4.000%, 7/1/2028, Call 1/1/2023	125,000	128,719
Kentucky State Property & Building Commission, 5.375%, 11/1/2023, Call 11/1/2018	25,000	28,153
		1,227,110
Louisiana — 1.1%
Evangeline Parish Road & Drain Sales Tax District No. 1, AGM, 5.000%, 12/1/2020	400,000	457,736
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	90,000	90,032
Louisiana Local Government Environmental Facilities & Community Development Authority:
0.832%, 8/1/2018, Call 2/1/2018 (9)	450,000	455,850
4.000%, 8/1/2016	180,000	185,551
Louisiana Public Facilities Authority, AMBAC, 0.205%, 9/1/2027, Call 9/22/2015 (9) (13)	50,000	44,041
St. Charles Parish Consolidated Waterworks & Wastewater District No. 1, AMBAC, 5.000%, 7/1/2025, Call 7/1/2017	100,000	107,909
State of Louisiana, 5.000%, 11/15/2020, Call 5/15/2020	110,000	126,920
		1,468,039
Maine — 0.2%
City of Portland:
4.000%, 7/1/2019	130,000	137,805
4.000%, 7/1/2020	110,000	117,096
		254,901
Maryland — 0.3%
City of Baltimore, 0.135%, 7/1/2037, Call 9/2/2015 (9) (13)	25,000	20,517
City of Baltimore, NATL-RE, 0.090%, 7/1/2020 (9) (13)	50,000	48,057

Howard County Housing Commission, 1.270%, 7/1/2018, Call 1/1/2018 (9)	150,000	150,120
Maryland Community Development Administration, 4.300%, 9/1/2017, Call 3/1/2017	150,000	157,806
Maryland Community Development Administration, GNMA/FNMA, 4.500%, 3/1/2027, Call 3/1/2021	65,000	67,341
		443,841
Massachusetts — 0.6%
Commonwealth of Massachusetts, NATL-RE FGIC, 0.150%, 12/1/2030, Call 9/3/2015 (9) (13)	100,000	92,857
Massachusetts Development Finance Agency, 4.000%, 4/15/2020	500,000	535,660
Massachusetts Health & Educational Facilities Authority, 3.250%, 7/1/2016	100,000	101,408
Massachusetts Municipal Wholesale Electric Co., MBIA, 0.228%, 7/1/2018 (9) (13)	100,000	95,703
		825,628
Michigan — 4.7%
Charter Township of Canton, AGM, 5.000%, 4/1/2020, Call 4/1/2017	200,000	212,718
City of Ann Arbor, AMBAC, 4.500%, 3/1/2020, Call 3/1/2016	400,000	408,072
City of Detroit Convention Facility Revenue, NATL-RE, 0.000%, 9/30/2015	25,000	24,996
City of Detroit Water Supply System Revenue, AGM, 5.000%, 7/1/2020, Call 7/1/2016	25,000	25,748
City of Detroit Water Supply System Revenue, BHAC, 4.000%, 7/1/2017	100,000	105,494
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	200,000	220,166
City of Grand Haven, NATL-RE, 5.500%, 7/1/2016	100,000	104,150
City of Port Huron, AMBAC, 4.250%, 10/1/2016	100,000	102,526
County of Allegan, 3.000%, 5/1/2018	150,000	157,170
Dexter Community Schools, NATL-RE Q-SBLF, 5.100%, 5/1/2018	225,000	244,114
East Branch of the Willow Creek and Branches Drainage District, AGM, 3.800%, 6/1/2017, Call 10/2/2015	40,000	40,092
Grand Rapids & Kent County Joint Building Authority, 0.000%, 12/1/2015	25,000	24,969
Grosse Ile Township School District, Q-SBLF, 5.000%, 5/1/2020	595,000	682,042
Jackson County Hospital Finance Authority, AGM, 4.000%, 6/1/2016	25,000	25,691
Kalamazoo Hospital Finance Authority, 4.000%, 5/15/2016	55,000	56,387
Lake St. Claire Clean Water Initiative, 5.000%, 10/1/2020	150,000	172,248
Lawrence Public Schools, Q-SBLF, 4.000%, 5/1/2018 (10)	255,000	272,531
Michigan Finance Authority, 5.000%, 7/1/2016	725,000	747,004
Michigan Municipal Bond Authority, 5.000%, 10/1/2015	20,000	20,082
Michigan State Building Authority, AGC FGIC, 0.000%, 10/15/2021, Call 10/15/2016	250,000	193,100
Michigan State Hospital Finance Authority:
5.000%, 11/15/2018, Call 11/15/2016	200,000	210,356
5.000%, 11/15/2020, Call 11/15/2019	520,000	588,583
Michigan State Housing Development Authority, 4.600%, 12/1/2026, Call 6/1/2021	40,000	41,972
Montrose Community Schools, NATL-RE Q-SBLF, 6.200%, 5/1/2017	385,000	407,769
Muskegon Public Schools, Q-SBLF, 4.250%, 5/1/2021, Call 5/1/2019	200,000	218,994
Romulus Community Schools, AGM:
3.000%, 11/1/2016	110,000	112,224
4.000%, 11/1/2017	100,000	105,844
State of Michigan, 5.500%, 11/1/2021, Call 5/1/2019	300,000	344,670
Taylor Tax Increment Finance Authority, AGM, 4.000%, 5/1/2021, Call 10/2/2015	270,000	270,508
		6,140,220
Minnesota — 0.6%
City of Minneapolis/ St. Paul Housing & Redevelopment Authority, AMBAC, 0.030%, 11/15/2017, Call 9/7/2015 (9) (13)	100,000	98,169
City of Norwood Young America, 1.500%, 8/1/2016, Call 2/1/2016	500,000	500,100
Minnesota Housing Finance Agency, 2.750%, 1/1/2018	175,000	181,043
St. Paul Housing & Redevelopment Authority, NATL-RE, 5.000%, 11/15/2021, Call 11/15/2017	50,000	54,249
		833,561
Mississippi — 1.4%
City of D’Iberville, 2.125%, 4/1/2017	190,000	191,518
Jackson Public School District, AGM, 5.000%, 10/1/2020, Call 10/2/2015	50,000	50,156
Lee County School District, 3.000%, 9/1/2015	40,000	40,000
Mississippi Business Finance Corp., 0.960%, 12/1/2036, Call 9/1/2015 (9)	500,000	500,000
Mississippi Development Bank, 5.000%, 8/1/2019	155,000	176,037
Mississippi Development Bank, AGC, 4.000%, 7/1/2017	480,000	499,622
Mississippi Development Bank, AMBAC, 4.375%, 8/1/2021, Call 8/1/2016	50,000	50,504
State of Mississippi, 0.550%, 9/1/2017, Call 3/1/2017 (9)	320,000	320,141
		1,827,978

Missouri — 2.4%
Chesterfield Valley Transportation Development District, 3.250%, 5/15/2028, Call 5/15/2023	250,000	244,380
Health & Educational Facilities Authority of the State of Missouri:
3.750%, 2/1/2017	45,000	46,382
4.000%, 2/1/2018	255,000	268,176
5.000%, 2/1/2024, Call 2/1/2021	250,000	273,228
Health & Educational Facilities Authority of the State of Missouri, AMBAC, 0.158%, 6/1/2020, Call 9/1/2015 (9) (13)	50,000	48,067
Missouri Housing Development Commission, GNMA/FNMA, 4.700%, 3/1/2035, Call 9/1/2019	330,000	347,473
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 0.035%, 12/1/2022, Call 9/1/2015 (9) (13)	805,000	753,135
St. Joseph Industrial Development Authority, AMBAC, 0.138%, 12/10/2026, Call 9/24/2015 (9) (13)	125,000	115,231
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 3/1/2016	600,000	602,586
St. Louis Municipal Finance Corp., AMBAC, 5.000%, 2/15/2019, Call 2/15/2017	450,000	463,252
		3,161,910
Nebraska — 0.2%
Central Plains Energy Project, 0.689%, 12/1/2017 (9)	310,000	305,933
Nevada — 1.1%
Clark County School District, NATL-RE FGIC:
5.000%, 6/15/2021, Call 6/15/2017	100,000	110,017
5.000%, 6/15/2023, Call 6/15/2017	175,000	192,463
County of Clark, AMBAC, 4.125%, 11/1/2020, Call 11/1/2015	75,000	75,434
Las Vegas Valley Water District, 0.250%, 6/1/2036, Call 9/1/2015 (9)	1,000,000	1,000,000
		1,377,914
New Hampshire — 0.2%
New Hampshire Health and Education Facilities Authority Act, 5.250%, 10/1/2023, Call 10/1/2017	250,000	270,930
New Jersey — 3.7%
New Jersey Economic Development Authority:
1.720%, 2/1/2016, Call 9/22/2015 (9)	850,000	850,051
2.032%, 2/1/2018, Call 8/1/2017 (9)	250,000	251,162
New Jersey Educational Facilities Authority, 5.000%, 7/1/2020, Call 7/1/2018	20,000	22,362
New Jersey Health Care Facilities Financing Authority:
5.000%, 7/1/2016	15,000	15,575
5.125%, 7/1/2019, Call 7/1/2018	130,000	143,645
New Jersey Higher Education Student Assistance Authority:
4.875%, 12/1/2024, Call 12/1/2019	435,000	466,181
5.000%, 12/1/2017	370,000	399,023
5.000%, 6/1/2018	100,000	108,767
New Jersey Housing & Mortgage Finance Agency, 4.350%, 10/1/2017, Call 9/17/2015	200,000	200,222
New Jersey State Turnpike Authority, NATL-RE:
0.126%, 1/1/2030 (9) (13)	25,000	22,694
0.149%, 1/1/2030, Call 9/3/2015 (9) (13)	500,000	453,875
0.158%, 1/1/2030 (9) (13)	25,000	22,694
0.158%, 1/1/2030, Call 9/3/2015 (9) (13)	100,000	90,775
0.207%, 1/1/2030, Call 9/4/2015 (9) (13)	25,000	22,694
New Jersey Transportation Trust Fund Authority:
1.020%, 12/15/2019, Call 6/15/2019 (9)	475,000	451,967
4.000%, 12/15/2019	75,000	76,957
5.000%, 6/15/2019	150,000	159,267
New Jersey Transportation Trust Fund Authority, AGM-CR, 5.250%, 12/15/2019	250,000	272,125
New Jersey Transportation Trust Fund Authority, FSA, 5.500%, 12/15/2017	300,000	320,118
New Jersey Transportation Trust Fund Authority, NATL-RE:
5.500%, 12/15/2019	135,000	147,443
5.500%, 12/15/2020	10,000	11,012
Township of Lopatcong, NATL-RE, 4.000%, 9/1/2018, Call 9/1/2017	30,000	31,957
Township of Lyndhurst, XLCA, 3.550%, 10/1/2016	90,000	92,523
West Orange School District, NATL-RE, 5.000%, 10/1/2017, Call 10/1/2016	200,000	207,560
		4,840,649
New Mexico — 1.7%
City of Farmington, 1.875%, 4/1/2020 (9)	1,000,000	998,470
County of Bernalillo, 5.750%, 10/1/2017	300,000	319,371
New Mexico Educational Assistance Foundation, 0.983%, 12/1/2020 (9)	255,000	253,057
New Mexico Mortgage Finance Authority, 5.300%, 9/1/2040, Call 9/1/2019	40,000	40,567
New Mexico Municipal Energy Acquisition Authority, 0.876%, 8/1/2019, Call 2/1/2019 (9)	650,000	651,092
		2,262,557

New York — 8.7%
City of Buffalo, AGM SAW, 2.375%, 11/15/2017	100,000	103,605
City of New York, AGM, 0.200%, 11/1/2026 (9)	595,000	595,000
City of Yonkers, NATL-RE, 5.000%, 8/1/2018, Call 10/13/2015	100,000	100,546
Erie County Industrial Development Agency, SAW, 5.250%, 5/1/2025, Call 5/1/2019	400,000	457,540
Long Island Power Authority, 0.782%, 11/1/2018, Call 5/1/2018 (9)	1,000,000	1,001,320
Long Island Power Authority, NATL-RE, 5.000%, 5/1/2017	150,000	160,296
Metropolitan Transportation Authority, 5.000%, 11/15/2021, Call 11/15/2016	150,000	158,177
Metropolitan Transportation Authority, AGM:
0.387%, 11/1/2022, Call 9/3/2015 (9) (13)	525,000	507,292
0.396%, 11/1/2022, Call 9/2/2015 (9) (13)	950,000	917,921
0.730%, 5/15/2018, Call 11/15/2017 (9)	250,000	247,937
New York City Transit Auth/Metropolitan Transportation Auth/Triborough Bridge & Tunnel, AMBAC:
0.527%, 1/1/2030, Call 9/7/2015 (9) (13)	600,000	561,254
0.542%, 1/1/2030, Call 10/2/2015 (9) (13)	125,000	116,188
0.544%, 1/1/2030, Call 9/2/2015 (9) (13)	125,000	116,845
0.546%, 1/1/2030, Call 9/7/2015 (9) (13)	625,000	581,203
New York City Transitional Finance Authority, 0.140%, 11/1/2022 (9)	1,000,000	1,000,000
New York Local Government Assistance Corp., AGM:
0.210%, 4/1/2017, Call 9/2/2015 (9) (13)	225,000	220,565
0.210%, 4/1/2017, Call 9/2/2015 (9) (13)	25,000	24,420
0.225%, 4/1/2017, Call 9/3/2015 (9) (13)	75,000	73,211
New York Mortgage Agency, 5.000%, 10/1/2019	600,000	681,228
New York State Dormitory Authority, 5.250%, 2/15/2024, Call 2/15/2019	400,000	455,460
New York State Dormitory Authority, NATL-RE, 0.180%, 7/1/2029, Call 9/7/2015 (9) (13)	625,000	565,757
New York State Energy Research & Development Authority, 2.000%, 5/1/2020 (9)	350,000	346,759
New York State Energy Research & Development Authority, NATL-RE, 0.159%, 12/1/2020, Call 9/9/2015 (9) (13)	1,000,000	940,383
New York State Housing Finance Agency, FNMA/FHLMC COLL, 0.900%, 11/1/2017	705,000	703,942
State of New York, AGM, 0.225%, 3/15/2021, Call 9/3/2015 (9) (13)	25,000	24,294
State of New York, NATL-RE FGIC:
0.225%, 2/15/2022, Call 9/3/2015 (9) (13)	630,000	606,314
0.225%, 2/13/2032, Call 9/3/2015 (9) (13)	70,000	63,318
		11,330,775
North Carolina — 1.7%
County of Halifax, NATL-RE, 4.125%, 6/1/2019, Call 6/1/2016	165,000	168,901
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	180,000	196,346
North Carolina Eastern Municipal Power Agency, AMBAC, 4.000%, 1/1/2016	15,000	15,186
North Carolina Eastern Municipal Power Agency, FGIC, 0.138%, 1/1/2025 (9) (13)	600,000	451,777
State of North Carolina, State Appropriation, 5.000%, 5/1/2019, Call 5/1/2018	700,000	775,292
University of North Carolina at Chapel Hill:
0.576%, 12/1/2015, Call 9/22/2015 (9)	75,000	74,991
0.876%, 12/1/2017, Call 6/1/2017 (9)	525,000	531,142
		2,213,635
North Dakota — 1.1%
City of Williston, 5.000%, 5/1/2020	240,000	275,343
North Dakota Housing Finance Agency:
3.600%, 7/1/2032, Call 7/1/2022	265,000	267,390
3.750%, 7/1/2034, Call 7/1/2022	190,000	193,319
3.750%, 7/1/2042, Call 7/1/2022	190,000	197,870
Williston Parks & Recreation District, 3.250%, 3/1/2032, Call 9/17/2015	545,000	548,210
		1,482,132
Ohio — 1.2%
Bucyrus City School District, School District Credit Program, 0.000%, 12/1/2017	155,000	150,457
City of Cleveland, AMBAC, 5.250%, 1/1/2018	50,000	54,321
City of Harrison:
2.000%, 10/1/2018	245,000	242,082
4.000%, 11/1/2016	50,000	52,012
City of Marysville, XLCA:
5.250%, 12/1/2021, Call 12/1/2016	105,000	111,193
5.250%, 12/1/2021, Call 12/1/2016	45,000	47,526

Lancaster Port Authority, 0.746%, 8/1/2019, Call 2/1/2019 (9)	145,000	143,222
New Lexington City School District, BAM, 1.200%, 12/1/2017	110,000	109,157
Ohio Housing Finance Agency, GNMA/FNMA COLL, 4.000%, 5/1/2022, Call 5/1/2021	125,000	132,731
Pickerington Local School District, NATL-RE, 4.300%, 12/1/2024, Call 12/1/2016	35,000	36,243
University of Toledo, 5.000%, 6/1/2020	375,000	428,959
		1,507,903
Oklahoma — 0.3%
Enid Municipal Authority, AMBAC, 0.000%, 2/1/2016	175,000	174,433
Oklahoma Municipal Power Authority, 0.820%, 8/1/2018, Call 2/1/2018 (9)	170,000	170,539
		344,972
Oregon — 0.1%
Port of Morrow, 2.000%, 6/1/2016	100,000	100,866
Pennsylvania — 6.8%
Allegheny County Hospital Development Authority:
0.921%, 2/1/2021, Call 11/1/2015 (9)	155,000	152,892
5.375%, 8/15/2029, Call 8/15/2019	225,000	253,609
Allentown City School District, 5.000%, 2/15/2020, Call 2/15/2018	50,000	54,408
Berks County Municipal Authority, 1.520%, 7/1/2022, Call 7/1/2017 (9)	350,000	358,977
City of Philadelphia, 5.250%, 8/1/2018	100,000	111,095
City of Philadelphia, AGC, 5.125%, 8/1/2025, Call 8/1/2019	100,000	113,474
City of Philadelphia, AMBAC:
5.000%, 10/1/2017	250,000	270,350
5.000%, 10/1/2023, Call 10/1/2017	100,000	108,984
Commonwealth of Pennsylvania:
5.000%, 4/15/2020, Call 4/15/2019	600,000	676,134
5.000%, 3/15/2022	275,000	320,345
Cumberland County Municipal Authority, 5.000%, 1/1/2017	70,000	71,536
Delaware County Vocational & Technical School Authority, BAM:
1.200%, 11/1/2016	140,000	141,329
3.000%, 11/1/2018	120,000	123,731
Delaware Valley Regional Financial Authority, AMBAC, 5.500%, 8/1/2018	130,000	144,127
Lancaster County Solid Waste Management Authority, 5.000%, 12/15/2020	200,000	230,802
Lancaster Industrial Development Authority, 5.000%, 5/1/2020	285,000	305,888
Monroe County Hospital Authority, 5.000%, 1/1/2017	175,000	180,684
North Penn Water Authority, 0.626%, 11/1/2019, Call 5/1/2019 (9)	800,000	794,680
Northampton County General Purpose Authority, 1.420%, 8/15/2020, Call 2/15/2020 (9)	150,000	150,964
Pennsylvania Economic Development Financing Authority, 5.000%, 3/1/2020	200,000	224,478
Pennsylvania Turnpike Commission:
0.700%, 12/1/2018, Call 6/1/2018 (9)	90,000	89,661
0.900%, 12/1/2020, Call 6/1/2020 (9)	325,000	322,777
1.000%, 12/1/2021, Call 6/1/2021 (9)	80,000	79,214
1.170%, 12/1/2019, Call 6/1/2019 (9)	600,000	605,496
Pennsylvania Turnpike Commission, AMBAC, 5.000%, 12/1/2024, Call 6/1/2016	250,000	258,710
Pittsburgh Public Parking Authority, NATL-RE:
0.000%, 12/1/2017	50,000	46,809
5.000%, 12/1/2020, Call 12/1/2015	575,000	581,181
School District of Philadelphia, 5.000%, 9/1/2018	65,000	72,041
Scranton School District, SAW, 1.128%, 4/2/2018, Call 10/2/2017 (9)	1,000,000	1,004,910
State Public School Building Authority, AGM, 5.000%, 6/1/2019, Call 12/1/2016	100,000	105,588
State Public School Building Authority, FSA, 5.375%, 10/1/2023, Call 10/1/2018	160,000	179,142
State Public School Building Authority, SAW, 0.926%, 9/1/2018, Call 3/1/2018 (9)	750,000	749,415
		8,883,431
Puerto Rico — 0.2%
Commonwealth of Puerto Rico, NATL-RE, 0.000%, 7/1/2016	120,000	116,035
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, 5.000%, 7/1/2018	75,000	76,855
		192,890
Rhode Island — 0.5%
Tobacco Settlement Financing Corp., 2.250%, 6/1/2041, Call 6/1/2025	720,000	710,258
South Carolina — 0.9%
RBC Municipal Products, Inc. Trust, 0.170%, 7/1/2018 (6) (7) (9)	1,000,000	1,000,000
South Carolina Jobs-Economic Development Authority, 4.000%, 7/1/2017	100,000	103,720
South Carolina State Public Service Authority, NATL-RE, 5.000%, 1/1/2021, Call 1/1/2016	80,000	81,252
		1,184,972

Tennessee — 0.7%
Clarksville Natural Gas Acquisition Corp.:
5.000%, 12/15/2015	80,000	80,902
5.000%, 12/15/2019	125,000	138,850
Knox County Health Educational & Housing Facility Board, NATL-RE, 0.170%, 1/1/2023, Call 9/3/2015 (9) (13)	50,000	46,050
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 5.000%, 7/1/2018	220,000	239,637
Public Building Authority of Sevier County, AMBAC, 0.149%, 6/1/2018 (9) (13)	200,000	196,550
Tennessee Energy Acquisition Corp.:
5.000%, 9/1/2016	95,000	98,847
5.250%, 9/1/2020	10,000	11,374
5.250%, 9/1/2021	55,000	62,878
		875,088
Texas — 7.6%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 4/1/2017 (9)	500,000	499,385
Cinco Southwest Municipal Utility District No. 1, BAM, 2.000%, 12/1/2017	310,000	314,436
City of Austin, 4.000%, 11/15/2016	200,000	208,462
City of Coppell, 5.750%, 2/1/2023, Call 2/1/2018	50,000	55,950
City of Mission, BAM, 3.000%, 2/15/2017	125,000	129,195
City of The Colony, 6.000%, 2/15/2019	795,000	922,113
Clifton Higher Education Finance Corp.:
1.950%, 12/1/2015	185,000	185,403
5.000%, 8/15/2017	225,000	237,622
County of Cameron, BAM, 5.000%, 2/15/2020	240,000	274,469
Harris County Cultural Education Facilities Finance Corp., 0.850%, 6/1/2021 (9)	350,000	347,347
Harris County Municipal Utility District No. 156, AGM, 4.750%, 9/1/2016	100,000	103,691
Harris County Municipal Utility District No. 167, AGM, 0.000%, 9/1/2015	70,000	70,000
Houston Higher Education Finance Corp., 0.420%, 11/16/2016, Call 5/15/2016 (9)	75,000	75,005
Midland Independent School District, PSF, 5.000%, 2/15/2032, Call 2/15/2016	200,000	203,774
Montgomery County Municipal Utility District No. 83, 2.000%, 9/1/2015	100,000	100,000
Nacogdoches County Hospital District, AGM, 2.000%, 5/15/2016	175,000	177,202
New Hope Cultural Education Facilities Corp., 4.000%, 4/1/2018	225,000	237,294
New Hope Cultural Education Facilities Corp., AGM, 4.000%, 4/1/2020	250,000	269,605
North Texas Higher Education Authority, Inc., 1.184%, 7/1/2030 (9)	175,000	176,885
North Texas Tollway Authority:
0.690%, 1/1/2020, Call 7/1/2019 (9)	350,000	351,081
0.820%, 1/1/2019, Call 7/1/2018 (9)	250,000	250,480
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 2/1/2016 (9)	730,000	735,139
Nueces River Authority, AGM:
5.000%, 7/15/2022, Call 10/20/2015	150,000	150,957
5.250%, 7/15/2018, Call 10/20/2015	45,000	45,302
Panhandle-Plains Higher Education Authority, Inc.:
1.084%, 10/1/2020, Call 9/1/2015 (9)	190,000	191,712
1.534%, 4/1/2035, Call 9/1/2015 (9)	250,000	242,482
Port of Port Arthur Navigation District, 0.300%, 12/1/2039, Call 9/1/2015 (9)	1,000,000	1,000,000
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	700,000	707,630
5.000%, 2/15/2022, Call 2/15/2017	90,000	95,384
Tarrant County Cultural Education Facilities Finance Corp., NATL-RE, 5.000%, 2/15/2021, Call 2/15/2017	180,000	190,742
Texas Municipal Gas Acquisition & Supply Corp., 5.625%, 12/15/2017	735,000	775,609
Texas Municipal Gas Acquisition & Supply Corp. I, 0.742%, 12/15/2017, Call 9/1/2015 (9)	25,000	24,613
Texas Municipal Gas Acquisition & Supply Corp. II, 0.892%, 9/15/2017 (9)	620,000	620,378
		9,969,347
Utah — 0.6%
Salt Lake City Corp., AMBAC, 0.114%, 5/15/2020, Call 9/1/2015 (9) (13)	800,000	771,162
Vermont — 0.3%
City of Burlington, AGM:
5.000%, 7/1/2018	250,000	272,460
5.000%, 7/1/2019	100,000	110,726
		383,186

Virgin Islands — 0.1%
Virgin Islands Public Finance Authority, 2.250%, 10/1/2017	155,000	155,778
Virginia — 2.1%
County of Chesterfield, 5.000%, 1/1/2017, Call 10/3/2015	400,000	401,648
Henrico County Economic Development Authority, 4.000%, 11/1/2016	100,000	103,643
Henrico County Economic Development Authority, AGM, 0.334%, 8/23/2027, Call 9/1/2015 (9) (13)	1,350,000	1,266,590
Peninsula Ports Authority, 0.010%, 7/1/2016 (9)	1,000,000	1,000,000
		2,771,881
Washington — 1.1%
City of Tacoma, 5.750%, 12/1/2017	100,000	110,373
FYI Properties, 5.000%, 6/1/2020, Call 6/1/2019	360,000	408,096
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	285,000	286,713
NJB Properties, County Guarantee, 5.000%, 12/1/2021, Call 12/1/2016	100,000	105,601
Washington Health Care Facilities Authority, 0.000%, 12/1/2017 (6) (7)	125,000	116,841
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL, 5.000%, 10/1/2020	320,000	365,795
		1,393,419
Wisconsin — 4.5%
Arcadia School District, 3.000%, 3/15/2019, Call 3/15/2017	700,000	720,818
City of Menasha:
4.300%, 9/1/2015	200,000	200,000
4.400%, 9/1/2017	500,000	500,000
City of Two Rivers, 3.500%, 4/1/2017	250,000	257,527
County of Juneau, AMBAC, 4.200%, 2/15/2020, Call 2/15/2016	275,000	279,114
State of Wisconsin:
5.000%, 9/1/2020	175,000	202,178
5.000%, 3/1/2021	300,000	348,813
Town of Somers, 4.125%, 8/1/2019, Call 8/1/2017	375,000	389,220
Wisconsin Health & Educational Facilities Authority:
2.750%, 5/1/2017	130,000	130,988
3.000%, 8/15/2019	105,000	111,600
3.250%, 5/1/2018	200,000	202,390
4.000%, 8/15/2016	750,000	768,120
4.000%, 3/1/2017	150,000	156,203
4.000%, 8/15/2018	300,000	317,190
5.000%, 3/1/2020	200,000	222,480
5.000%, 8/15/2020	260,000	301,907
5.250%, 8/15/2017, Call 8/15/2016	65,000	67,662
5.500%, 12/15/2020, Call 12/15/2019	80,000	93,117
Wisconsin Health & Educational Facilities Authority, NATL-RE, 0.125%, 6/1/2019, Call 9/1/2015 (9) (13)	350,000	337,199
Wisconsin Housing & Economic Development Authority, 3.625%, 12/1/2019, Call 6/1/2016 (9)	240,000	242,832
		5,849,358
Total Municipals (identified cost $125,798,868)		126,510,334
Mutual Funds — 0.6%
BMO Ultra Short Tax-Free Fund (4)	84,425	851,005
Total Mutual Funds (identified cost $851,848)		851,005
Short-Term Investments — 2.3%
Mutual Funds — 2.3%
BMO Tax-Free Money Market Fund, Class I, 0.040% (4)	2,946,935	2,946,935
Total Short-Term Investments (identified cost $2,946,935)		2,946,935

Total Investments — 99.6% (identified cost $129,597,651)		130,308,274
Other Assets and Liabilities — 0.4%		567,676
Total Net Assets — 100.0%	$	130,875,950

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

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. At August 31, 2015, these securities amounted to:

Fund	Amount	% of Total Net Assets
Short Tax-Free Fund	$3,662,590	2.80%

(7) Denotes a restricted security which has been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds.

(9) Denotes a variable or floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2015.

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

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

(15) Securities that are subject to alternative minimum tax represent 0.00% of the Short Tax-Free Fund’s portfolio as calculated based upon total portfolio market value.

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

Intermediate Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of August 31, 2015

Description	Shares or Principal Amount		Value
Municipals — 97.2%
Alabama — 0.9%
Alabama Board of Education:
3.000%, 6/1/2021		$305,000	$	312,448
4.000%, 7/1/2021		1,895,000		2,096,969
4.375%, 10/1/2017		200,000		212,310
5.000%, 10/1/2020, Call 10/1/2018		230,000		257,591
Alabama Housing Finance Authority, GNMA, 4.800%, 6/20/2032, Call 12/20/2016 (15)		205,000		209,467
Butler County Board of Education, AGM:
2.000%, 7/1/2017		375,000		382,665
4.000%, 7/1/2020		585,000		643,108
City of Alexander City, AGC, 5.000%, 5/1/2018		1,000,000		1,081,400
City of Birmingham, 0.000%, 3/1/2022 (16)		1,945,000		1,988,412
County of Jefferson, AGM, 0.396%, 2/1/2042, Call 9/24/2015 (9) (13)		454,517		374,078
Health Care Authority for Baptist Health, 0.500%, 11/1/2042 (9)		2,700,000		2,700,000
Health Care Authority for Baptist Health, AGC, 0.600%, 11/15/2037, Call 9/4/2015 (9) (13)		2,175,000		2,175,000
Pell City Special Care Facilities, 5.000%, 12/1/2025, Call 12/1/2021		4,000,000		4,500,760
				16,934,208
Alaska — 0.6%
Alaska Housing Finance Corp.:
5.000%, 12/1/2027, Call 6/1/2022		1,375,000		1,590,779
5.000%, 12/1/2028, Call 12/1/2024		2,500,000		2,916,325
5.000%, 6/1/2029, Call 12/1/2024		1,000,000		1,160,380
Alaska Municipal Bond Bank Authority, AMBAC, 5.100%, 4/1/2033, Call 4/1/2018		200,000		219,256
Borough of Matanuska-Susitna:
5.000%, 11/1/2021		500,000		586,215
5.000%, 11/1/2022		500,000		591,185
5.000%, 4/1/2031, Call 4/1/2021		150,000		171,423
Borough of North Slope, 5.000%, 6/30/2024, Call 6/1/2021		1,020,000		1,175,081
City of Anchorage, NATL-RE, 5.000%, 12/1/2024, Call 12/1/2015		305,000		308,315
City of Valdez, 5.000%, 1/1/2021		1,190,000		1,343,200
				10,062,159
Arizona — 3.1%
Arizona Department of Transportation State Highway, 5.250%, 7/1/2029, Call 7/1/2021		3,000,000		3,508,560
Arizona Health Facilities Authority:
1.870%, 2/5/2020, Call 8/9/2019 (9)		4,500,000		4,631,355
5.000%, 1/1/2020, Call 1/1/2017		1,400,000		1,478,834
5.000%, 2/1/2022		1,000,000		1,120,170
Arizona School Facilities Board, AMBAC, 4.000%, 7/1/2016		250,000		256,523
Arizona Sports & Tourism Authority, 4.000%, 7/1/2018		765,000		809,661
Arizona State University, 6.250%, 7/1/2028, Call 7/1/2018		1,050,000		1,192,569
Arizona Transportation Board:
5.000%, 7/1/2022, Call 7/1/2020		1,260,000		1,456,346
5.000%, 7/1/2023, Call 7/1/2020		1,405,000		1,624,644
City of Glendale, 5.000%, 7/1/2021, Call 7/1/2017		400,000		431,636
City of Goodyear, 5.125%, 7/1/2025, Call 7/1/2020		345,000		397,288
City of Peoria, 4.000%, 7/1/2019		515,000		566,546
City of Tucson, AGM, 5.000%, 7/1/2020		500,000		575,155
County of Pima, 5.000%, 7/1/2027, Call 7/1/2022		1,450,000		1,681,130
Gilbert Public Facilities Municipal Property Corp., 5.500%, 7/1/2026, Call 7/1/2019		825,000		956,645
Glendale Industrial Development Authority, 5.000%, 5/15/2023, Call 5/15/2020		500,000		568,155
Greater Arizona Development Authority, NATL-RE:
5.000%, 8/1/2019, Call 8/1/2017		250,000		268,830
5.000%, 8/1/2027, Call 8/1/2017		975,000		1,047,481
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (6) (7)		500,000		496,875
Industrial Development Authority of the County of Pima, 4.950%, 10/1/2020		3,000,000		3,391,200

Maricopa County Elementary School District No. 33 Buckeye, 5.250%, 7/1/2018	365,000	401,361
Maricopa County Industrial Development Authority:
3.000%, 1/1/2017	315,000	322,569
3.000%, 1/1/2018	325,000	335,504
4.000%, 1/1/2019	200,000	213,144
Maricopa County Unified School District No. 60 Higley, AGM:
4.000%, 7/1/2022	500,000	555,415
5.000%, 7/1/2023	1,000,000	1,183,730
5.000%, 7/1/2024	575,000	684,210
Phoenix Civic Improvement Corp.:
5.000%, 7/1/2019	615,000	695,996
5.000%, 7/1/2020, Call 7/1/2018	600,000	664,080
5.000%, 7/1/2026, Call 7/1/2020	1,050,000	1,185,471
Phoenix Civic Improvement Corp., BHAC, 5.500%, 7/1/2027 (16)	500,000	619,725
Phoenix Civic Improvement Corp., NATL-RE FGIC:
5.500%, 7/1/2021 (16)	555,000	652,319
5.500%, 7/1/2036 (16)	530,000	659,696
Pima County Industrial Development Authority:
4.500%, 7/1/2020	535,000	557,588
4.500%, 7/1/2021, Call 7/1/2020	1,320,000	1,368,536
4.500%, 7/1/2022, Call 7/1/2020	1,385,000	1,422,617
6.375%, 7/1/2028, Call 7/1/2018	270,000	286,743
Pinal County School District No. 1 Florence, BAM, 5.000%, 7/1/2023	350,000	410,218
Rio Nuevo Multipurpose Facilities District, AGC, 6.000%, 7/15/2020, Call 7/15/2018	240,000	271,634
Salt Verde Financial Corp., 5.250%, 12/1/2022	110,000	126,157
Scottsdale Industrial Development Authority, 5.000%, 9/1/2018	250,000	276,458
Scottsdale Industrial Development Authority, FSA, 1.720%, 9/1/2045 (9) (13)	2,175,000	2,175,000
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	1,000,000	1,137,170
5.250%, 10/1/2024, Call 10/1/2019	5,000,000	5,726,100
Town of Marana, 5.000%, 7/1/2023	450,000	538,709
Tucson & Pima Counties Industrial Development Authorities, GNMA/FNMA/FHLMC, 5.400%, 6/1/2040, Call 12/1/2017 (15)	200,000	211,050
University Medical Center Corp., 5.000%, 7/1/2021	425,000	501,976
University of Arizona, 5.000%, 8/1/2026, Call 8/1/2021	455,000	523,882
Yuma Municipal Property Corp., XLCA:
5.000%, 7/1/2021, Call 7/1/2017	1,900,000	2,037,997
5.000%, 7/1/2023, Call 7/1/2017	1,950,000	2,091,628
5.000%, 7/1/2025, Call 7/1/2017	1,000,000	1,071,880
		55,368,166
Arkansas — 1.3%
Arkansas Development Finance Authority:
5.000%, 2/1/2020	255,000	283,718
5.000%, 2/1/2021	315,000	353,940
5.000%, 2/1/2022	150,000	169,710
Arkansas Development Finance Authority, BAM, 1.000%, 12/1/2021	255,000	257,632
Arkansas Development Finance Authority, GNMA/FNMA:
4.000%, 1/1/2025, Call 7/1/2021	285,000	296,870
4.000%, 7/1/2025, Call 7/1/2021	595,000	619,782
4.750%, 7/1/2032, Call 1/1/2017 (15)	240,000	242,323
Arkansas State University:
4.000%, 3/1/2021	390,000	424,667
4.000%, 3/1/2022	1,140,000	1,238,359
4.000%, 3/1/2023	985,000	1,078,349
Baptist Health Medical Center-Heber Springs, AGC, 5.000%, 5/1/2026, Call 5/1/2016	1,140,000	1,175,979
City of Fayetteville, 3.300%, 11/1/2023	2,985,000	3,113,086
City of Little Rock, 1.250%, 4/1/2033, Call 10/1/2021	10,000	9,997
City of Maumelle, 2.600%, 3/1/2030, Call 3/1/2022	1,000,000	1,005,960
City of Rogers:
2.125%, 11/1/2029, Call 11/1/2021 (10)	1,900,000	1,903,781
4.125%, 11/1/2031, Call 11/1/2021	165,000	165,815
City of Springdale:
3.000%, 11/1/2021	1,000,000	1,044,080
5.000%, 11/1/2028, Call 11/1/2022	1,000,000	1,162,240
City of Stuttgart, AGM, 3.800%, 6/1/2042, Call 6/1/2020	2,030,000	2,021,129
Conway Health Facilities Board, 4.250%, 8/1/2021	605,000	645,789

County of Greene, AGM:
4.000%, 3/1/2019, Call 3/1/2017	840,000	875,498
4.000%, 3/1/2020, Call 3/1/2017	1,430,000	1,488,916
County of Jefferson, AGM, 5.000%, 6/1/2026, Call 12/1/2019	20,000	22,525
Henderson State University, BAM:
5.000%, 11/1/2022	905,000	1,060,895
5.000%, 11/1/2023, Call 11/1/2022	860,000	998,305
University of Arkansas:
5.000%, 12/1/2021	300,000	354,120
5.000%, 12/1/2022	520,000	620,064
5.000%, 12/1/2023, Call 12/1/2022	500,000	600,680
		23,234,209
California — 6.8%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	515,000	583,212
Abag Finance Authority for Nonprofit Corps., CMI, 5.000%, 4/1/2020	1,000,000	1,148,540
ABC Unified School District, MBIA, 5.000%, 2/1/2021	1,250,000	1,440,012
Alvord Unified School District, AGM, 0.000%, 8/1/2046, Call 8/1/2036 (16)	1,150,000	889,283
Anaheim Public Financing Authority, 5.000%, 10/1/2030, Call 4/1/2019	225,000	248,027
Anaheim Public Financing Authority, AMBAC, 4.500%, 10/1/2015	350,000	351,047
Baldwin Park Unified School District, AMBAC, 0.000%, 8/1/2020, Call 8/1/2016	240,000	196,642
Bay Area Toll Authority:
1.000%, 4/3/2017, Call 10/1/2016 (9)	2,000,000	2,006,000
1.270%, 4/1/2027, Call 10/1/2026 (9)	5,000,000	4,980,550
BB&T Municipal Trust, 0.820%, 11/15/2019 (6) (7) (9)	1,500,000	1,506,540
Bellevue Union School District, AGM:
0.000%, 8/1/2030	585,000	277,284
0.000%, 8/1/2031	615,000	273,847
Bonita Unified School District, 5.500%, 8/1/2035, Call 8/1/2021	940,000	1,103,635
Burbank Unified School District, 0.000%, 8/1/2031, Call 2/1/2025 (16)	1,325,000	965,554
California County Tobacco Securitization Agency, 4.000%, 6/1/2029, Call 10/2/2015	4,855,000	4,854,854
California Health Facilities Financing Authority, 5.000%, 7/1/2037, Call 7/1/2023	2,000,000	2,228,400
California Health Facilities Financing Authority, NATL-RE, 0.138%, 7/1/2022, Call 9/1/2015 (9) (13)	2,300,000	2,208,485
California Municipal Finance Authority, 2.120%, 11/1/2016, Call 11/1/2015 (9)	330,000	330,026
California State Public Works Board, 5.000%, 4/1/2037, Call 4/1/2022	1,000,000	1,109,110
California Statewide Communities Development Authority, AGM, 0.550%, 7/1/2040, Call 9/4/2015 (9) (13)	475,000	475,000
California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 11/1/2016	2,100,000	2,126,733
California Statewide Communities Development Authority, NATL-RE, 5.125%, 7/1/2024, Call 7/1/2018	1,500,000	1,665,840
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2021	850,000	985,218
Central Union High School District-Imperial County, NATL-RE, 4.000%, 8/1/2019, Call 2/1/2016	670,000	671,166
City of Fairfield, XLCA, 0.000%, 4/1/2022	1,205,000	972,857
City of Madera:
5.750%, 1/1/2026, Call 1/1/2020	1,550,000	1,791,164
6.500%, 1/1/2040, Call 1/1/2020	1,280,000	1,492,723
Contra Costa Transportation Authority, 0.496%, 12/15/2015, Call 9/22/2015 (9)	1,000,000	1,000,020
Corcoran Joint Unified School District, AGM, 2.700%, 12/1/2039, Call 12/1/2016 (9)	2,000,000	2,000,440
County of Los Angeles, 0.000%, 9/1/2018	750,000	717,818
County of Los Angeles, AMBAC, 0.000%, 9/1/2020	600,000	542,964
County of San Joaquin, 5.000%, 4/1/2022	350,000	408,538
Delhi Unified School District, AMBAC, 0.000%, 8/1/2019	510,000	444,572
Desert Community College District, AGM, 0.000%, 8/1/2026, Call 8/1/2017	400,000	243,660
Deutsche Bank Spears/Lifers Trust, 0.320%, 8/1/2047 (6) (7) (9)	8,000,000	8,000,000
Duarte Unified School District, 0.000%, 8/1/2026 (16)	585,000	656,048
El Centro Financing Authority, AGM:
4.000%, 10/1/2021	460,000	510,729
5.000%, 10/1/2022	515,000	607,546
5.000%, 10/1/2022	580,000	689,661
5.000%, 10/1/2023	800,000	949,312
Encinitas Union School District, 0.000%, 8/1/2035, Call 8/1/2032 (16)	500,000	464,440
Escondido Union High School District, 0.000%, 8/1/2032, Call 8/1/2025 (16)	1,250,000	1,105,175
Escondido Union High School District, AGC, 0.000%, 8/1/2031	480,000	255,202
Fresno Unified School District, 0.000%, 8/1/2034, Call 8/1/2021	1,045,000	361,100
Fresno Unified School District, MBIA, 6.000%, 8/1/2026	2,890,000	3,597,385

Hacienda La Puente Unified School District, AGM:
5.000%, 6/1/2022	400,000	469,284
5.000%, 6/1/2023	400,000	472,776
5.000%, 6/1/2024	775,000	921,614
5.000%, 6/1/2025	425,000	507,442
Imperial Community College District, AGC, 0.000%, 8/1/2028	330,000	194,175
Imperial County Local Transportation Authority, 5.000%, 6/1/2032, Call 6/1/2022	2,000,000	2,228,280
Jefferson School District/San Joaquin County, 0.000%, 8/1/2029, Call 8/1/2024	170,000	94,078
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020	375,000	429,758
Lakeside Union School District/San Diego County, AGC, 0.000%, 9/1/2027	295,000	184,098
Long Beach Bond Finance Authority:
5.000%, 11/1/2025, Call 11/1/2021	1,000,000	1,162,980
5.000%, 11/1/2030, Call 11/1/2021	1,750,000	1,943,392
Lynwood Unified School District, AGM:
5.000%, 8/1/2024, Call 8/1/2023	620,000	733,547
5.000%, 8/1/2025, Call 8/1/2023	760,000	889,648
McFarland Unified School District, BAM, 5.000%, 11/1/2039, Call 11/1/2024	300,000	339,519
McKinleyville Union School District, AGM, 0.000%, 8/1/2041, Call 8/1/2026 (16)	165,000	144,471
McKinleyville Union School District, BAM:
0.000%, 8/1/2036, Call 8/1/2021	1,200,000	442,464
0.000%, 8/1/2037, Call 8/1/2021	1,980,000	684,169
Mendocino-Lake Community College District, AGM, 0.000%, 8/1/2031, Call 8/1/2026 (16)	300,000	341,496
Midpeninsula Regional Open Space District, 5.000%, 9/1/2029, Call 9/1/2022	2,000,000	2,342,820
Modesto Irrigation District, 5.000%, 7/1/2021	500,000	586,320
Mount Diablo Unified School District, AGM, 0.000%, 8/1/2035, Call 8/1/2025 (16)	2,125,000	1,732,937
Murrieta Valley Unified School District Public Financing Authority, NATL-RE FGIC, 0.000%, 9/1/2020	500,000	444,715
New Haven Unified School District, NATL-RE, 0.000%, 8/1/2025, Call 10/2/2015	1,455,000	864,037
Northern California Gas Authority No. 1:
0.820%, 7/1/2019 (9)	3,000,000	2,985,390
0.910%, 7/1/2027 (9)	1,915,000	1,765,324
Northern California Power Agency:
5.000%, 7/1/2031, Call 7/1/2022	500,000	573,940
5.000%, 7/1/2032, Call 7/1/2022	700,000	799,750
Orchard School District, NATL-RE FGIC, 0.000%, 8/1/2023	590,000	463,994
Pasadena Public Financing Authority, 0.000%, 3/1/2029	2,000,000	1,164,260
Porterville Unified School District Facilities Improvement District, AGM, 0.000%, 8/1/2034, Call 8/1/2017	1,500,000	620,730
Roseville Joint Union High School District, 0.000%, 8/1/2022	305,000	250,820
San Francisco International Airport, 5.000%, 5/1/2024, Call 5/1/2021	1,040,000	1,222,010
San Jose Financing Authority, 5.000%, 6/1/2039, Call 6/1/2023	1,435,000	1,607,731
San Jose Unified School District, NATL, 0.000%, 8/1/2027	1,495,000	1,021,877
San Juan Unified School District, 5.000%, 8/1/2030, Call 8/1/2023	2,535,000	2,928,229
San Miguel Joint Union Elementary School District, AGM:
0.000%, 6/15/2020	415,000	349,887
0.000%, 6/15/2021	490,000	393,465
0.000%, 6/15/2022	505,000	385,002
Santa Ana Unified School District, 0.000%, 8/1/2021	500,000	432,970
Santa Ana Unified School District, AGM, 5.500%, 8/1/2030, Call 8/1/2018	930,000	1,040,651
Santa Barbara County College Elementary School District:
0.000%, 8/1/2027	365,000	237,239
0.000%, 8/1/2031	470,000	248,719
Santaluz Community Facilities District No. 2, 3.000%, 9/1/2015	995,000	995,000
Sierra View Local Health Care District:
3.800%, 7/1/2017	370,000	382,158
4.875%, 7/1/2018, Call 7/1/2017	900,000	961,470
5.250%, 7/1/2022, Call 7/1/2017	1,580,000	1,698,010
5.250%, 7/1/2023, Call 7/1/2017	250,000	268,673
5.300%, 7/1/2026, Call 7/1/2017	350,000	375,333
State of California:
0.834%, 12/1/2017, Call 6/1/2017 (9)	2,500,000	2,528,400
5.250%, 9/1/2025, Call 9/1/2021	2,045,000	2,448,049
6.000%, 3/1/2033, Call 3/1/2020	1,550,000	1,861,023
Tahoe Forest Hospital District:
5.500%, 8/1/2027, Call 8/1/2018	1,345,000	1,513,663
5.500%, 8/1/2035, Call 8/1/2018	1,000,000	1,121,730
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 11/1/2015 (9)	1,625,000	1,630,346

Upland Community Facilities District, 3.000%, 9/1/2017	530,000	542,826
Vallejo City Unified School District, MBIA, 5.900%, 8/1/2025	1,225,000	1,478,967
Walnut Creek Elementary School District Contra Costa County, 0.000%, 9/1/2023	1,560,000	1,173,775
Watereuse Finance Authority, BAM, 5.500%, 5/1/2036, Call 5/1/2024	2,635,000	3,112,014
West Contra Costa Unified School District, AGM-CR NATL-RE FGIC, 0.000%, 8/1/2025	310,000	224,775
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021	2,000,000	2,271,660
Westminster School District, BAM, 0.000%, 8/1/2048, Call 8/1/2023	7,045,000	953,400
Whittier Union High School District, 0.000%, 8/1/2034, Call 8/1/2019	500,000	175,825
Windsor Unified School District, AGM:
0.000%, 8/1/2020	105,000	91,865
0.000%, 8/1/2023	240,000	182,957
0.000%, 8/1/2024, Call 8/1/2023	330,000	231,046
0.000%, 8/1/2025, Call 8/1/2023	270,000	178,262
0.000%, 8/1/2026, Call 8/1/2023	330,000	204,976
0.000%, 8/1/2028, Call 8/1/2023	420,000	231,525
Yosemite Community College District, AGM, 5.000%, 8/1/2032, Call 8/1/2018	75,000	83,861
		123,003,956
Colorado — 2.5%
Adams County School District No. 14, SAW:
5.000%, 12/1/2024	500,000	610,900
5.000%, 12/1/2026, Call 12/1/2024	355,000	425,567
5.000%, 12/1/2027, Call 12/1/2024	500,000	595,310
City & County of Denver, 5.000%, 11/15/2021	500,000	588,320
City & County of Denver, XLCA, 5.000%, 11/15/2023, Call 11/15/2015	1,410,000	1,422,634
Colorado Educational & Cultural Facilities Authority:
0.370%, 6/1/2029, Call 9/3/2015 (9)	3,855,000	3,855,000
3.000%, 12/1/2016	120,000	122,869
4.000%, 12/1/2017	120,000	127,142
4.000%, 12/15/2025 (6) (7)	535,000	533,186
5.000%, 9/1/2020 (16)	1,060,000	1,201,266
5.000%, 9/1/2021 (16)	865,000	987,795
Colorado Educational & Cultural Facilities Authority, Moral Obligation, 2.000%, 12/1/2015	500,000	501,790
Colorado Health Facilities Authority:
3.000%, 12/1/2015	490,000	492,548
4.000%, 12/1/2016	505,000	523,877
4.500%, 2/1/2020	455,000	488,443
5.000%, 9/1/2018	530,000	583,138
5.000%, 9/1/2019	560,000	627,390
5.000%, 2/1/2021	475,000	520,871
5.000%, 9/1/2022	750,000	858,247
5.000%, 12/1/2023	215,000	241,845
5.000%, 2/1/2024	420,000	463,294
5.125%, 11/15/2020, Call 11/15/2016 (9)	555,000	584,082
5.250%, 1/1/2025, Call 1/1/2020	460,000	523,310
Colorado Mountain Junior College District, NATL-RE, 3.750%, 8/1/2016	400,000	411,876
Commerce City Northern Infrastructure General Improvement District, AGM:
5.000%, 12/1/2020	785,000	906,330
5.000%, 12/1/2021	725,000	844,190
5.000%, 12/1/2022	1,185,000	1,396,475
County of Boulder:
5.000%, 12/1/2023, Call 12/1/2020	500,000	579,990
5.000%, 12/1/2025, Call 12/1/2020	475,000	550,216
County of El Paso, GNMA/FNMA, 5.450%, 12/1/2039, Call 12/1/2016 (15)	181,392	188,668
Denver City & County School District No. 1, SAW, 5.000%, 12/1/2032, Call 12/1/2022	1,500,000	1,719,195
Denver Health & Hospital Authority, 5.500%, 12/1/2019	1,195,000	1,363,961
E-470 Public Highway Authority, NATL-RE, 5.000%, 9/1/2016	250,000	260,228
Public Authority for Colorado Energy, 5.750%, 11/15/2018	625,000	670,200
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021	2,000,000	2,373,460
Rib Floater Trust Various States, 0.170%, 8/1/2018 (6) (7) (9)	15,000,000	15,000,000
Weld County School District No. RE-7 Platte Valley, SAW:
4.000%, 12/1/2021, Call 12/1/2020	625,000	693,837
4.000%, 12/1/2022, Call 12/1/2020	400,000	440,472
4.000%, 12/1/2023, Call 12/1/2020	1,140,000	1,252,951
		45,530,873
Connecticut — 0.2%
City of New Haven, AGM, 5.000%, 8/1/2023	2,060,000	2,397,016
Connecticut Housing Finance Authority, 3.600%, 11/15/2030, Call 11/15/2024	845,000	846,944
		3,243,960

Delaware — 0.5%
City of Wilmington, 5.000%, 10/1/2025, Call 10/1/2023	3,715,000	4,414,349
Delaware State Housing Authority:
0.000%, 7/1/2031, Call 7/1/2021	1,585,000	755,474
5.000%, 1/1/2026, Call 7/1/2019 (15)	250,000	263,498
5.200%, 7/1/2029, Call 7/1/2018	1,475,000	1,545,534
Sustainable Energy Utility, Inc., 5.000%, 9/15/2034, Call 9/15/2021	1,580,000	1,775,446
		8,754,301
District of Columbia — 0.3%
District of Columbia:
5.000%, 10/1/2025, Call 10/1/2021	1,865,000	2,109,502
5.000%, 12/1/2036, Call 12/1/2021	500,000	561,990
Washington Convention & Sports Authority, 4.500%, 10/1/2030, Call 10/1/2020	2,125,000	2,265,802
		4,937,294
Florida — 7.7%
Citizens Property Insurance Corp.:
5.000%, 6/1/2016	1,265,000	1,308,301
5.000%, 6/1/2019	2,615,000	2,948,020
Citizens Property Insurance Corp., AGM, 5.000%, 6/1/2016	1,040,000	1,075,599
City of Boynton Beach, AGM, 5.000%, 11/1/2027, Call 11/1/2021	1,000,000	1,148,670
City of Fort Pierce, AGC, 5.875%, 9/1/2028, Call 9/1/2018	1,000,000	1,132,990
City of Gainesville, AMBAC, 5.500%, 8/1/2017	1,000,000	1,088,750
City of Gulf Breeze:
1.750%, 12/1/2015 (9)	11,795,000	11,833,570
5.000%, 12/1/2023, Call 12/1/2020	2,000,000	2,316,700
City of Lakeland, AGM, 5.250%, 10/1/2028	1,250,000	1,541,662
City of North Port, 5.000%, 7/1/2022	200,000	232,288
City of Port St. Lucie, AGC, 6.250%, 9/1/2027, Call 9/1/2018	500,000	569,450
City of Sunrise, 4.000%, 10/1/2019	540,000	576,180
City of Sunrise, NATL-RE:
0.000%, 10/1/2019	905,000	853,225
0.000%, 10/1/2020	975,000	897,400
0.000%, 10/1/2021	175,000	155,811
City of Tampa, 5.250%, 11/15/2026, Call 5/15/2020	2,000,000	2,288,200
City of Tampa, AMBAC, 0.000%, 4/1/2021	460,000	404,690
County of Bay, 3.500%, 9/1/2016	190,000	189,303
County of Brevard, AMBAC, 5.000%, 7/1/2016	910,000	939,839
County of Broward, AGM, 5.000%, 4/1/2033, Call 4/1/2023 (15)	740,000	785,458
County of Hillsborough, 5.000%, 8/1/2024, Call 8/1/2022	3,540,000	4,209,662
County of Jackson, 0.200%, 7/1/2022, Call 9/1/2015 (9)	3,930,000	3,930,000
County of Lee, 5.000%, 10/1/2029, Call 10/1/2022	2,000,000	2,325,280
County of Lee, AMBAC, 5.125%, 10/1/2024, Call 10/1/2016 (15)	7,975,000	8,324,943
County of Miami-Dade:
5.000%, 10/1/2025, Call 10/1/2024	800,000	947,952
5.250%, 10/1/2029, Call 10/1/2023	100,000	116,265
5.500%, 10/1/2026, Call 10/1/2020	1,900,000	2,231,588
County of Miami-Dade, AGC:
0.000%, 10/1/2021	610,000	506,587
5.000%, 10/1/2029, Call 10/1/2019	400,000	446,596
County of Miami-Dade, BHAC, 6.000%, 10/1/2023, Call 10/1/2018	1,000,000	1,153,470
County of Miami-Dade, NATL-RE BHAC-CR, 5.000%, 10/1/2030, Call 10/1/2017 (16)	475,000	512,948
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022	5,810,000	6,695,444
County of Polk, NATL-RE, 5.000%, 12/1/2016	625,000	659,119
County of Sarasota, NATL-RE, 5.000%, 10/1/2021, Call 10/1/2015	930,000	933,534
County of St. Johns, AGM:
5.000%, 10/1/2020	1,625,000	1,881,360
5.000%, 10/1/2021	1,110,000	1,294,138
Deutsche Bank Spears/Lifers Trust:
0.230%, 11/1/2032, Call 9/1/2015 (6) (7) (9)	16,500,000	16,500,000
0.230%, 10/1/2041, Call 10/1/2020 (6) (7) (9)	15,755,000	15,755,000
Dupree Lakes Community Development District, BAM:
3.000%, 5/1/2018	230,000	237,622
3.000%, 5/1/2019	190,000	196,399

Emerald Coast Utilities Authority, NATL-RE FGIC:
5.000%, 1/1/2020, Call 1/1/2017	1,000,000	1,052,210
5.000%, 1/1/2022, Call 1/1/2017	970,000	1,020,372
5.250%, 1/1/2026, Call 1/1/2016	1,000,000	1,014,830
Florida HomeLoan Corp., GNMA/FHLMC/FNMA, 5.000%, 7/1/2028, Call 1/1/2020	440,000	455,435
Florida HomeLoan Corp., GNMA/FNMA/FHLMC:
4.450%, 1/1/2030, Call 7/1/2021	475,000	496,926
5.000%, 7/1/2021, Call 1/1/2016 (15)	285,000	288,594
Florida Municipal Loan Council, AGM, 5.000%, 5/1/2021	1,745,000	2,023,834
Highlands County Health Facilities Authority, 5.125%, 11/15/2023, Call 11/15/2016 (9)	500,000	525,335
Hillsborough County Industrial Development Authority, 5.000%, 10/1/2021, Call 10/1/2016	295,000	308,399
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,330,140
Lee County School Board, 5.000%, 8/1/2028, Call 8/1/2024	2,500,000	2,861,025
Orange County Health Facilities Authority, 5.250%, 10/1/2035, Call 10/1/2018	440,000	477,664
Orange County Housing Finance Authority, GMNA FNMA FHLMC COLL, 4.000%, 9/1/2040, Call 9/1/2024	4,000,000	4,323,600
Orlando-Orange County Expressway Authority, AGM, 5.000%, 7/1/2025, Call 7/1/2022	4,780,000	5,577,878
Pinellas County Educational Facilities Authority, 4.000%, 10/1/2016	350,000	360,804
Polk County Housing Finance Authority, GNMA, 5.000%, 9/1/2029, Call 8/1/2020	150,000	161,223
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2018 (6) (7)	2,405,000	2,592,518
St. Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021	2,500,000	2,857,300
Sumter County Industrial Development Authority:
4.000%, 7/1/2019	1,000,000	1,074,470
5.000%, 7/1/2020	500,000	562,555
Suncoast Community Development District, 2.000%, 5/1/2017	170,000	172,820
Town of Davie:
5.000%, 4/1/2019	75,000	83,004
5.000%, 4/1/2021	615,000	692,865
5.000%, 4/1/2022	830,000	936,331
Tradition Community Development District No. 1, AGM, 2.000%, 5/1/2017	1,000,000	1,011,950
University of North Florida Financing Corp., 5.000%, 11/1/2026, Call 11/1/2017	4,285,000	4,633,199
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call 10/15/2021	730,000	833,346
Volusia County Educational Facility Authority, RADIAN, 4.625%, 10/15/2028, Call 10/15/2015	500,000	502,630
		140,375,270
Georgia — 4.7%
Appling County Development Authority:
0.250%, 9/1/2029, Call 9/1/2015 (9)	7,000,000	7,000,000
0.250%, 9/1/2041, Call 9/1/2015 (9)	6,600,000	6,600,000
Atlanta Development Authority, 4.000%, 9/1/2020	2,065,000	2,324,178
Carroll City-County Hospital Authority, County Guarantee:
5.000%, 7/1/2023, Call 7/1/2020	2,790,000	3,210,760
5.000%, 7/1/2024, Call 7/1/2020	1,640,000	1,933,134
Chatham County Hospital Authority, County Guarantee, 5.000%, 1/1/2027, Call 1/1/2022	6,820,000	7,803,308
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024	1,000,000	1,132,200
5.000%, 1/1/2032, Call 1/1/2024	2,500,000	2,820,750
5.000%, 1/1/2033, Call 1/1/2024	1,000,000	1,124,410
5.000%, 1/1/2034, Call 1/1/2024	1,000,000	1,121,310
City of Atlanta, NATL-RE FGIC, 5.500%, 11/1/2022	1,000,000	1,212,760
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021	3,000,000	3,345,120
County of DeKalb, 4.500%, 12/1/2024, Call 12/1/2015	250,000	252,458
East Point Building Authority, XLCA:
4.500%, 2/1/2025, Call 2/1/2016	500,000	501,100
5.000%, 2/1/2017	875,000	902,046
Floyd County Hospital Authority, County Guarantee:
5.000%, 7/1/2020	1,335,000	1,543,033
5.000%, 7/1/2021	1,155,000	1,352,309
5.000%, 7/1/2027, Call 7/1/2022	1,250,000	1,444,137
Fulton County Development Authority:
5.000%, 3/15/2016	1,715,000	1,755,491
5.250%, 3/15/2024, Call 3/15/2019	1,120,000	1,256,192
Jefferson City School District, SAW, 5.250%, 2/1/2029, Call 2/1/2021	1,350,000	1,583,010
Main Street Natural Gas, Inc.:
5.000%, 3/15/2017	1,320,000	1,399,094
5.000%, 3/15/2021	5,400,000	6,069,762
5.250%, 9/15/2018	250,000	274,960

Monroe County Development Authority, 0.250%, 11/1/2048, Call 9/1/2015 (9)	11,000,000	11,000,000
Private Colleges & Universities Authority, 5.000%, 10/1/2020	575,000	653,125
Richmond County Hospital Authority:
5.250%, 1/1/2029, Call 1/1/2019	1,150,000	1,266,978
5.375%, 1/1/2029, Call 1/1/2019	940,000	1,039,377
Savannah Economic Development Authority, 0.250%, 1/1/2016, Call 9/1/2015 (9)	4,085,000	4,085,000
South Fulton Municipal Regional Water & Sewer Authority, BAM:
5.000%, 1/1/2023	800,000	936,632
5.000%, 1/1/2024	1,000,000	1,180,280
5.000%, 1/1/2025, Call 1/1/2024	700,000	818,195
South Georgia Governmental Services Authority, MBIA, 5.000%, 1/1/2020, Call 10/2/2015	300,000	303,978
South Regional Joint Development Authority, 5.250%, 8/1/2023	25,000	29,280
Spalding County, 6.125%, 9/1/2028, Call 9/1/2018	700,000	807,142
Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%, 10/1/2025, Call 10/1/2021	2,940,000	3,414,957
Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call 12/1/2021	1,000,000	1,131,930
		84,628,396
Hawaii — 0.1%
City & County of Honolulu:
5.000%, 10/1/2022	500,000	599,260
5.000%, 10/1/2023	500,000	605,555
		1,204,815
Idaho — 0.3%
Boise-Kuna Irrigation District:
5.875%, 6/1/2022, Call 6/1/2018	200,000	226,734
7.375%, 6/1/2034, Call 6/1/2018	340,000	399,235
Canyon County School District No. 131 Nampa, School Bond Gty, 5.000%, 9/15/2023	1,000,000	1,183,320
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	515,000	593,331
Idaho Housing & Finance Association, AGC, 5.250%, 7/15/2026, Call 7/15/2018	2,965,000	3,326,463
		5,729,083
Illinois — 8.7%
Bureau County Township High School District No. 502, BAM, 6.625%, 10/1/2043, Call 12/1/2023	3,400,000	4,212,736
Chicago Board of Education, 4.020%, 3/1/2017, Call 9/1/2016 (9)	6,750,000	6,635,992
Chicago Board of Education, NATL:
0.000%, 12/1/2015	535,000	531,143
0.000%, 12/1/2022	365,000	251,817
5.250%, 12/1/2021	1,000,000	1,041,470
Chicago Board of Education, NATL-RE, 5.000%, 12/1/2019	70,000	74,874
Chicago O’Hare International Airport, AGC, 5.250%, 1/1/2026, Call 1/1/2020	775,000	878,214
Chicago O’Hare International Airport, NATL-RE, 5.250%, 1/1/2024, Call 1/1/2016	1,925,000	1,956,512
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022	1,060,000	1,157,043
5.000%, 1/1/2025, Call 7/1/2020	230,000	244,143
5.000%, 1/1/2026, Call 1/1/2021	730,000	774,749
5.000%, 11/15/2029, Call 11/15/2018	130,000	133,665
Chicago Transit Authority, AGC:
5.250%, 6/1/2019, Call 6/1/2018	375,000	409,586
5.250%, 6/1/2022, Call 6/1/2018	3,250,000	3,484,617
City of Calumet City, AGM:
2.500%, 3/1/2016	275,000	276,988
4.000%, 3/1/2017	435,000	451,143
City of Chicago, 5.000%, 1/1/2019	455,000	481,968
City of Chicago, AGM, 5.000%, 11/1/2027, Call 11/1/2018	200,000	209,566
City of Chicago, AGM-CR FGIC, 5.000%, 1/1/2023, Call 1/1/2017	200,000	205,504
City of Chicago, NATL-RE, 5.530%, 1/1/2020, Call 1/1/2016 (16)	1,000,000	1,018,460
City of Rochelle, AGM, 3.000%, 5/1/2017	250,000	257,210
City of Springfield:
5.000%, 12/1/2022	905,000	1,037,890
5.500%, 3/1/2032, Call 3/1/2018	1,000,000	1,102,760
City of Springfield, NATL-RE:
5.000%, 3/1/2018, Call 3/1/2017	1,000,000	1,063,510
5.000%, 3/1/2022, Call 3/1/2017	650,000	689,773
City of Waukegan, NATL-RE, 4.500%, 12/30/2015	150,000	151,860

Cook County Community Consolidated School District No. 65 Evanston:
0.000%, 12/1/2027, Call 12/1/2024	300,000	188,919
0.000%, 12/1/2029, Call 12/1/2024	400,000	225,040
0.000%, 12/1/2030, Call 12/1/2024	1,130,000	602,708
0.000%, 12/1/2031, Call 12/1/2024	1,500,000	752,715
Cook County Community High School District No. 219-Niles Township, FSA, 5.000%, 12/1/2025, Call 12/1/2017	1,405,000	1,540,611
Cook County School District No. 103 Lyons, AGM, 0.000%, 12/1/2021	850,000	717,604
Cook County School District No. 124 Evergreen Park, BAM, 4.000%, 12/1/2020	450,000	499,324
Cook County School District No. 144 Prairie Hills, AGM:
0.000%, 12/1/2028	2,830,000	1,537,511
0.000%, 12/1/2029	2,580,000	1,321,915
Cook County School District No. 159 Matteson-Richton Park, FSA, 0.000%, 12/1/2016	300,000	291,369
Cook County School District No. 83 Mannheim, 5.625%, 6/1/2033	2,980,000	3,474,233
Cook County Township High School District No. 201 J Sterling Morton, AMBAC, 0.000%, 12/1/2019	675,000	571,266
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023	1,000,000	1,208,690
6.000%, 12/1/2031, Call 12/1/2023	2,035,000	2,448,207
6.000%, 12/1/2032, Call 12/1/2023	2,160,000	2,593,382
6.000%, 6/1/2033, Call 12/1/2023	2,235,000	2,676,256
County of Cook, 5.250%, 11/15/2023, Call 11/15/2020	350,000	377,489
County of Cook, AMBAC, 5.000%, 11/15/2023, Call 5/15/2016	270,000	275,975
County of Cook, BAM, 5.000%, 11/15/2023	1,000,000	1,109,080
County of St. Clair:
5.250%, 10/1/2024, Call 10/1/2019	485,000	561,887
5.250%, 10/1/2024, Call 10/1/2019	215,000	243,853
5.250%, 10/1/2027, Call 10/1/2019	835,000	967,373
5.250%, 10/1/2027, Call 10/1/2019	315,000	355,289
5.500%, 1/1/2038, Call 1/1/2023	825,000	940,516
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2020	600,000	541,140
DeKalb County Community Unit School District No. 428 DeKalb:
0.000%, 1/1/2025, Call 7/1/2020	400,000	267,712
0.000%, 1/1/2028, Call 7/1/2020	1,000,000	544,900
DeKalb Kane & LaSalle Counties Etc Community College District No. 523 Kishwaukee, 0.000%, 2/1/2035, Call 2/1/2021	470,000	150,184
Du Page County School District No. 12 Roselle, NATL-RE, 5.000%, 1/1/2016	440,000	446,472
DuPage County School District No. 16 Queen Bee, NATL-RE FGIC, 0.000%, 11/1/2019	530,000	468,234
Frankfort Square Park District, AMBAC, 0.000%, 1/1/2022	670,000	520,831
Illinois Finance Authority:
1.300%, 5/8/2017 (9)	995,000	992,194
2.700%, 5/15/2016	375,000	377,411
4.000%, 10/1/2016	345,000	355,008
4.300%, 3/1/2016, Call 3/1/2016 (9)	250,000	253,688
5.000%, 11/15/2023, Call 11/15/2022	215,000	249,286
5.000%, 8/15/2024	250,000	280,435
5.250%, 11/15/2022, Call 11/15/2017	1,450,000	1,577,759
5.250%, 2/15/2030, Call 2/15/2020	250,000	280,460
5.750%, 11/1/2039, Call 11/1/2019	5,000,000	5,760,050
6.000%, 10/1/2024, Call 10/1/2021	1,010,000	1,137,714
6.000%, 8/15/2041, Call 8/15/2021	2,665,000	3,119,809
6.875%, 10/1/2043, Call 10/1/2021	3,000,000	3,546,300
Illinois Finance Authority, AGC:
5.250%, 8/15/2019	250,000	287,380
5.250%, 8/15/2033, Call 8/15/2018	880,000	956,771
Illinois Finance Authority, AGM:
0.000%, 1/1/2020	450,000	422,905
0.000%, 1/1/2020	500,000	458,345
0.000%, 1/1/2021	255,000	222,212
5.150%, 1/1/2019	420,000	472,487
Illinois Finance Authority, AMBAC, 6.000%, 2/1/2022, Call 2/1/2018	335,000	370,560
Illinois Housing Development Authority, 4.950%, 8/1/2021, Call 2/1/2016 (15)	1,820,000	1,838,218
Illinois Housing Development Authority, GNMA/FNMA COLL, 2.450%, 6/1/2043, Call 1/1/2023	883,196	871,609
Illinois Municipal Electric Agency, MBIA, 5.250%, 2/1/2019, Call 2/1/2017	1,000,000	1,065,680
Illinois Municipal Electric Agency, NATL-RE FGIC, 5.250%, 2/1/2024, Call 2/1/2017	1,830,000	1,950,194

Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023	1,000,000	1,132,050
5.000%, 1/1/2029, Call 1/1/2023	1,000,000	1,123,650
5.500%, 1/1/2033, Call 1/1/2018	490,000	533,483
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-RE FGIC, 0.000%, 2/1/2023	5,450,000	4,310,568
Kane Cook & DuPage Counties School District No. U-46 Elgin, AMBAC:
0.000%, 1/1/2023	350,000	297,504
0.000%, 1/1/2023	650,000	516,204
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.250%, 1/1/2033, Call 1/1/2023	900,000	1,001,592
Knox & Warren Counties Community Unit School District No. 205 Galesburg, 6.125%, 1/1/2036, Call 1/1/2021	1,435,000	1,690,559
La Salle & Grundy Counties Township High School District No. 160 Seneca, 4.000%, 2/1/2017	325,000	339,609
Lake County School District No. 33, XLCA:
0.000%, 12/1/2026	525,000	311,042
0.000%, 12/1/2028	335,000	178,505
Lake County School District No. 38 Big Hollow, AMBAC, 0.000%, 2/1/2019	200,000	182,822
Lake County School District No. 56 Gurnee, 5.000%, 1/1/2024	440,000	515,724
Madison County Community Unit School District No. 7 Edwardsville, AGM, 5.000%, 12/1/2016	225,000	236,070
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, AGM-CR FGIC, 0.000%, 1/1/2024	500,000	372,080
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL, 0.000%, 1/1/2021	1,900,000	1,601,814
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL-RE:
0.000%, 1/1/2017	20,000	19,823
0.000%, 1/1/2017	190,000	185,045
McHenry County Community High School District No. 154 Marengo, NATL-RE FGIC, 0.000%, 1/1/2018	325,000	313,817
McHenry County Community Unit School District No. 12 Johnsburg, AGM:
4.000%, 1/1/2019	265,000	282,241
5.000%, 1/1/2020	550,000	610,346
5.000%, 1/1/2021	810,000	900,145
5.000%, 1/1/2022	895,000	996,341
Metropolitan Pier & Exposition Authority, NATL-RE:
0.000%, 6/15/2023 (16)	3,530,000	3,850,983
0.000%, 12/15/2023	855,000	619,884
0.000%, 6/15/2024	1,000,000	703,770
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	440,000	382,488
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018	2,215,000	2,396,962
Peoria Public Building Commission, AGC, 0.000%, 12/1/2019, Call 12/1/2018	1,000,000	915,280
Railsplitter Tobacco Settlement Authority, 5.250%, 6/1/2021	1,120,000	1,291,584
South Suburban College Community School District No. 510, AGC, 0.000%, 12/1/2025	1,000,000	662,480
Southern Illinois University, BAM, 5.000%, 4/1/2026, Call 4/1/2025	1,175,000	1,348,254
Southern Illinois University, NATL-RE, 0.000%, 4/1/2017	500,000	484,240
Southwestern Illinois Development Authority, AGC, 5.750%, 2/1/2029, Call 2/1/2019	1,025,000	1,163,816
St. Clair County Community Unit School District No. 187 Cahokia, AGM, 5.000%, 1/1/2020	630,000	671,788
St. Louis Regional Airport Authority, 6.000%, 12/1/2024, Call 12/1/2018 (15)	745,000	852,034
State of Illinois:
5.000%, 1/1/2016	500,000	506,955
5.000%, 3/1/2020	500,000	538,915
5.000%, 4/1/2024, Call 4/1/2023	500,000	530,715
5.000%, 6/1/2024, Call 12/1/2016	360,000	372,611
5.000%, 1/1/2025, Call 1/1/2016	275,000	277,461
5.250%, 6/15/2034, Call 6/15/2019	3,715,000	4,122,610
6.500%, 6/15/2022	395,000	462,205
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023	3,205,000	3,348,680
Stephenson County School District No. 145 Freeport, AMBAC, 0.000%, 1/1/2018	425,000	410,847
Tazewell County School District No. 51 Washington Central, NATL-RE FGIC, 9.000%, 12/1/2025	165,000	246,177
Town of Cicero:
5.000%, 1/1/2020	1,000,000	1,115,390
5.000%, 1/1/2021	1,000,000	1,126,610
Village of Bolingbrook, AGM, 5.000%, 1/1/2025, Call 1/1/2020	1,425,000	1,599,463
Village of Elwood, RADIAN:
0.000%, 3/1/2024, Call 3/1/2016	250,000	160,078
0.000%, 3/1/2026, Call 3/1/2016	1,280,000	730,381

Village of Franklin Park, BAM:
4.000%, 10/1/2018	425,000	455,906
4.000%, 10/1/2019	420,000	454,104
4.000%, 10/1/2020	615,000	669,753
5.000%, 10/1/2022, Call 10/1/2021	730,000	840,296
5.000%, 10/1/2023, Call 10/1/2021	685,000	784,736
5.000%, 10/1/2024, Call 10/1/2021	425,000	486,361
5.000%, 10/1/2025, Call 10/1/2021	920,000	1,051,707
Village of Justice, AMBAC, 0.000%, 1/1/2021	635,000	520,148
Village of Maywood, 4.000%, 1/1/2017	1,635,000	1,666,359
Village of Melrose Park, NATL-RE FGIC, 0.000%, 12/15/2015	155,000	153,872
Village of South Chicago Heights, NATL-RE FGIC, 0.000%, 11/1/2016	505,000	491,653
Will County Community School District No. 161 Summit Hill, NATL-RE FGIC:
0.000%, 1/1/2017	750,000	724,335
0.000%, 1/1/2019	695,000	624,708
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE FGIC:
0.000%, 11/1/2020	2,000,000	1,773,720
0.000%, 11/1/2021	300,000	253,074
0.000%, 11/1/2022	250,000	200,713
Will County Community Unit School District No. 209-U Wilmington, NATL-RE, 5.750%, 1/1/2023, Call 1/1/2016	1,025,000	1,042,804
Will County School District No. 114 Manhattan, NATL, 0.000%, 12/1/2017	375,000	357,506
Will County School District No. 114, NATL-RE FGIC:
0.000%, 12/1/2020	1,180,000	1,006,788
0.000%, 12/1/2023	1,600,000	1,157,088
Will County Township High School District No. 204 Joliet, 6.250%, 1/1/2031, Call 1/1/2021	500,000	604,055
Will County Unit School District No. 200-U Beecher, AMBAC, 5.000%, 11/1/2018, Call 11/1/2015	545,000	549,077
Will, Grundy, Etc. Counties Community College District No. 525:
5.250%, 6/1/2036, Call 12/1/2023	3,400,000	3,817,554
5.750%, 6/1/2028, Call 6/1/2018	170,000	190,278
Williamson County Community Unit School District No. 5 Carterville, AGC:
0.000%, 1/1/2029, Call 1/1/2019	300,000	154,302
0.000%, 1/1/2033, Call 1/1/2019	1,000,000	383,500
0.000%, 1/1/2034, Call 1/1/2019	1,000,000	354,830
Winnebago & Boone Counties School District No. 205 Rockford:
0.000%, 2/1/2020	500,000	448,490
4.000%, 2/1/2027, Call 2/1/2023	4,680,000	4,853,160
		158,614,925
Indiana — 3.3%
Anderson School Building Corp., AMBAC, 5.000%, 7/15/2026, Call 1/15/2016	680,000	691,519
Barclays Capital Municipal Trust Receipts, 0.200%, 4/1/2030 (6) (7) (9)	7,770,000	7,770,000
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020	350,000	400,687
City of Greenwood:
4.000%, 10/1/2017	225,000	234,880
4.250%, 10/1/2020, Call 10/1/2018	820,000	893,062
4.625%, 10/1/2024, Call 10/1/2018	520,000	571,672
City of Rockport:
1.750%, 6/1/2018 (9)	1,500,000	1,506,405
1.750%, 6/1/2018 (9)	700,000	702,954
City of Whiting, 1.850%, 10/1/2019 (9)	1,150,000	1,147,297
Concord Community Schools Building Corp., AGM, 5.000%, 7/15/2025, Call 7/15/2018	1,000,000	1,107,350
County of Knox, 4.000%, 4/1/2018	250,000	261,728
County of Lake:
2.000%, 1/15/2017	560,000	570,114
2.000%, 7/15/2017	285,000	291,216
Crown Point Multi School Building Corp., AGM SAW, 5.000%, 1/15/2022, Call 7/15/2017	1,000,000	1,074,940
Damon Run Conservancy District:
4.500%, 1/1/2018	215,000	228,730
4.500%, 7/1/2018	220,000	236,995
East Chicago Multi School Building Corp., SAW, 6.000%, 7/15/2016	670,000	701,704
Fishers Redevelopment District:
5.125%, 7/15/2026, Call 1/15/2020	1,875,000	2,158,631
5.250%, 7/15/2023, Call 1/15/2020	1,605,000	1,864,352
Frankfort High School Elementary School Building Corp., 5.000%, 7/15/2025	115,000	137,333
Franklin Township-Marion County Multiple School Building Corp., SAW:
5.000%, 7/10/2021	580,000	675,990
5.000%, 7/15/2029, Call 1/15/2023	2,565,000	2,910,788

Gary Chicago International Airport Authority:
5.000%, 2/1/2016 (15)	240,000	243,415
5.000%, 2/1/2017 (15)	210,000	219,169
5.000%, 2/1/2018 (15)	885,000	940,720
Greencastle School Building Corp., SAW, 3.000%, 1/15/2016	625,000	630,831
Indiana Bond Bank, 0.680%, 10/15/2022 (9)	1,650,000	1,592,481
Indiana Finance Authority:
3.000%, 7/1/2019	250,000	257,578
5.000%, 8/15/2020	700,000	786,674
5.000%, 10/1/2022	300,000	338,406
5.000%, 10/1/2023	400,000	451,796
5.000%, 10/1/2024, Call 10/1/2023	275,000	307,698
5.000%, 5/1/2029, Call 5/1/2022	4,070,000	4,542,405
5.250%, 10/1/2024, Call 10/1/2021	710,000	834,321
5.250%, 10/1/2031, Call 10/1/2021	2,190,000	2,538,298
5.500%, 5/1/2024, Call 5/1/2019	1,000,000	1,135,830
Indiana Finance Authority, AMBAC, 4.550%, 12/1/2024, Call 12/1/2016	1,750,000	1,789,287
Indiana Health & Educational Facilities Financing Authority, AGM, 5.250%, 11/1/2023, Call 5/1/2018	500,000	550,100
Indiana Health Facility Financing Authority, AMBAC, 0.175%, 5/1/2031, Call 9/7/2015 (9) (13)	600,000	504,615
Indiana Housing & Community Development Authority, GNMA/FNMA, 4.000%, 12/1/2027, Call 6/1/2021	1,005,000	1,046,577
Indiana Municipal Power Agency, 5.250%, 1/1/2024, Call 1/1/2019	500,000	558,215
Indiana Municipal Power Agency, NATL-RE, 5.000%, 1/1/2037, Call 1/1/2017	1,850,000	1,927,533
Indianapolis Local Public Improvement Bond Bank:
5.000%, 1/1/2021	175,000	199,502
5.000%, 1/1/2022, Call 1/1/2021	200,000	227,140
5.750%, 1/1/2038, Call 1/1/2019	1,790,000	2,031,006
Indianapolis Local Public Improvement Bond Bank, NATL-RE, 5.250%, 7/1/2022	500,000	587,855
Lafayette Redevelopment Authority, 3.000%, 2/1/2018	95,000	99,121
Marion High School Building Corp.:
4.000%, 7/15/2019	455,000	494,530
4.000%, 7/15/2020, Call 1/15/2020	935,000	1,018,121
4.000%, 7/15/2021, Call 1/15/2020	375,000	409,159
Michigan City School Building Corp., NATL-RE SAW, 5.000%, 1/15/2025, Call 7/15/2017	2,000,000	2,148,720
North Central Campus School Building Corp., AGM, 5.250%, 7/15/2022, Call 7/15/2018	1,000,000	1,110,780
Portage Redevelopment District:
5.000%, 1/15/2023	280,000	321,944
5.000%, 1/15/2024	215,000	247,977
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021	200,000	222,882
Rush County Elementary School Building Corp., SAW, 5.250%, 7/15/2021, Call 1/15/2019	565,000	636,478
South Bend Community School Corp., NATL-RE SAW, 4.125%, 7/15/2019, Call 7/15/2017	450,000	475,852
Steuben Lakes Regional Waste District, 5.000%, 9/1/2024, Call 9/1/2023	1,225,000	1,437,917
		59,003,280
Iowa — 0.4%
City of Randall, 1.250%, 8/1/2016, Call 2/1/2016	5,500,000	5,503,575
Iowa Finance Authority, GNMA/FNMA/FHLMC, 5.000%, 1/1/2038, Call 1/1/2019	390,000	400,725
Johnston Community School District, AGM, 5.000%, 7/1/2027, Call 7/1/2022	1,455,000	1,644,907
		7,549,207
Kansas — 0.2%
City of Salina, 5.000%, 10/1/2018, Call 4/1/2016	350,000	358,950
County of Sedgwick/County of Shawnee, GNMA/FNMA/FHLMC, 5.875%, 6/1/2039, Call 6/1/2017 (15)	50,000	53,814
Kansas Development Finance Authority:
4.000%, 11/15/2015	75,000	75,589
5.000%, 11/15/2020, Call 11/15/2019	800,000	924,848
5.000%, 3/1/2031, Call 3/1/2020	1,000,000	1,103,420
Kansas Development Finance Authority, FSA, 5.250%, 11/1/2028, Call 11/1/2018	475,000	533,857
Wyandotte County-Kansas City, 5.000%, 9/1/2032, Call 9/1/2022	1,000,000	1,113,990
		4,164,468
Kentucky — 0.7%
City of Winchester, BAM, 3.000%, 7/1/2017	105,000	109,377
Deutsche Bank Spears/Lifers Trust, NATL-RE, 0.280%, 9/1/2042, Call 9/1/2017 (6) (7) (9)	9,150,000	9,150,000
Kentucky Economic Development Finance Authority, 5.000%, 6/1/2016	855,000	881,984
Kentucky State Property & Building Commission, AGC, 0.220%, 2/1/2027, Call 2/1/2019 (6) (7) (9)	2,000,000	2,000,000

Kentucky State Property & Building Commission, NATL, 5.000%, 3/1/2022, Call 3/1/2017	35,000	37,163
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019	100,000	109,581
Pulaski County Public Properties Corp., 5.500%, 12/1/2024, Call 12/1/2018	260,000	296,897
		12,585,002
Louisiana — 2.7%
City of Bossier, 5.000%, 10/1/2031, Call 10/1/2024	1,160,000	1,318,444
City of New Orleans:
5.000%, 6/1/2021	800,000	919,296
5.000%, 12/1/2021	500,000	576,520
5.000%, 6/1/2022	450,000	518,202
5.000%, 12/1/2022	725,000	836,084
5.000%, 6/1/2023	500,000	581,000
5.000%, 12/1/2024	765,000	887,691
City of Shreveport, BAM, 4.000%, 12/1/2025, Call 12/1/2024	2,210,000	2,372,413
Deutsche Bank Spears/Lifers Trust, 0.230%, 10/1/2040, Call 10/1/2020 (6) (7) (9)	11,560,000	11,560,000
Lafayette Public Trust Financing Authority, AGM:
4.000%, 10/1/2020	690,000	743,841
4.000%, 10/1/2021	675,000	724,653
Louisiana Housing Corp., GNMA/FNMA/FHLMC:
4.750%, 6/1/2027, Call 6/1/2020	995,000	1,058,511
5.200%, 6/1/2039, Call 6/1/2017 (15)	65,000	65,393
6.550%, 6/1/2040, Call 6/1/2018	20,000	20,721
Louisiana Local Government Environmental Facilities & Community Development Authority, AGM, 4.100%, 10/1/2038, Call 10/1/2024	550,000	560,434
Louisiana Stadium & Exposition District, 5.000%, 7/1/2023	800,000	950,752
Louisiana State Citizens Property Insurance Corp.:
3.000%, 6/1/2016	545,000	555,148
5.000%, 6/1/2020	650,000	742,892
Parish of St. Bernard:
4.000%, 3/1/2020	3,470,000	3,770,016
4.000%, 3/1/2021	3,585,000	3,895,927
Parish of St. James, 0.210%, 11/1/2040, Call 9/1/2015 (9)	7,000,000	7,000,000
Port New Orleans Board of Commissioners, 5.000%, 4/1/2032, Call 4/1/2023 (15)	725,000	772,458
Regional Transit Authority, NATL-RE FGIC, 0.000%, 12/1/2021	300,000	220,962
State of Louisiana, 0.602%, 5/1/2018, Call 11/1/2017 (9)	7,000,000	7,031,500
Terrebonne Parish Consolidated Government, 5.875%, 3/1/2024, Call 3/1/2019	495,000	575,997
		48,258,855
Maine — 0.5%
City of Portland, 5.000%, 7/1/2022	300,000	335,997
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021	7,500,000	7,573,950
Maine Turnpike Authority, 5.000%, 7/1/2029, Call 7/1/2022	1,500,000	1,722,825
		9,632,772
Maryland — 0.3%
Maryland Health & Higher Educational Facilities Authority:
3.000%, 7/1/2016	450,000	456,908
5.750%, 7/1/2034, Call 7/1/2021	775,000	904,371
Montgomery County Housing Opportunites Commission:
5.000%, 7/1/2031, Call 7/1/2020	655,000	702,022
5.000%, 1/1/2043, Call 7/1/2022	405,000	432,086
5.125%, 7/1/2037, Call 7/1/2020	3,110,000	3,334,698
		5,830,085
Massachusetts — 1.2%
Commonwealth of Massachusetts, NATL-RE FGIC:
0.150%, 12/1/2030, Call 9/7/2015 (9) (13)	1,450,000	1,346,416
0.150%, 12/1/2030, Call 9/3/2015 (9) (13)	7,375,000	6,848,159
Massachusetts Development Finance Agency:
5.000%, 1/1/2023, Call 1/1/2017	650,000	688,032
5.000%, 7/1/2025, Call 7/1/2021	1,425,000	1,668,433
5.000%, 7/1/2027, Call 7/1/2025	125,000	146,953
Massachusetts Educational Financing Authority:
4.000%, 1/1/2016	360,000	363,928
5.000%, 1/1/2017	330,000	343,586
5.000%, 7/1/2025, Call 7/1/2022 (15)	660,000	717,545
5.250%, 1/1/2019	520,000	560,966
5.250%, 1/1/2019 (15)	1,355,000	1,482,506

Massachusetts Health & Educational Facilities Authority:
5.000%, 7/1/2024, Call 7/1/2019	3,105,000	3,521,380
5.750%, 7/1/2036, Call 7/1/2019	805,000	907,436
Massachusetts Housing Finance Agency, 3.700%, 12/1/2027, Call 6/1/2022 (15)	2,385,000	2,404,080
Massachusetts School Building Authority, 5.000%, 8/15/2030, Call 8/15/2022	815,000	952,735
		21,952,155
Michigan — 5.0%
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2021	890,000	1,032,213
Bay City School District, Q-SBLF:
5.000%, 11/1/2027, Call 5/1/2024	645,000	738,493
5.000%, 11/1/2028, Call 5/1/2024	1,305,000	1,483,524
Berrien Springs Public Schools, NATL-RE, 4.250%, 5/1/2016, Call 10/2/2015	560,000	561,680
Caledonia Community Schools, Q-SBLF:
5.000%, 5/1/2025	600,000	721,170
5.000%, 5/1/2026	500,000	602,815
Carman-Ainsworth Community School District, BAM:
5.000%, 5/1/2018	950,000	1,037,704
5.000%, 5/1/2020	375,000	424,819
Charter Township of Northville:
2.000%, 4/1/2016	370,000	373,885
4.000%, 4/1/2021	400,000	435,180
4.000%, 4/1/2022	240,000	260,342
Chippewa Valley Schools, Q-SBLF, 5.000%, 5/1/2031, Call 5/1/2023	765,000	857,320
City of Battle Creek, BAM, 5.000%, 6/1/2033, Call 6/1/2018	1,000,000	1,097,430
City of Detroit Sewage Disposal System Revenue, AGC NATL-RE, 5.250%, 7/1/2023, Call 7/1/2017	95,000	100,477
City of Detroit Sewage Disposal System Revenue, NATL, 0.000%, 7/1/2020	110,000	89,007
City of Detroit Sewage Disposal System Revenue, NATL-RE, 0.180%, 7/1/2032, Call 9/24/2015 (9) (13)	15,000	12,540
City of Detroit Water Supply System Revenue, AGM:
5.000%, 7/1/2018, Call 7/1/2016	250,000	257,860
5.000%, 7/1/2019, Call 7/1/2016	50,000	51,547
5.000%, 7/1/2020, Call 7/1/2016	720,000	741,550
5.000%, 7/1/2020, Call 7/1/2016	50,000	51,497
5.000%, 7/1/2023, Call 7/1/2016	200,000	205,398
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.500%, 7/1/2035, Call 7/1/2018	1,035,000	1,118,928
City of Detroit Water Supply System Revenue, NATL-RE:
5.000%, 7/1/2016 (9)	725,000	748,961
5.000%, 7/1/2021, Call 10/2/2015	1,530,000	1,534,820
5.000%, 7/1/2027, Call 7/1/2016	5,000,000	5,112,000
Coloma Community School District, Q-SBLF, 3.000%, 5/1/2021	905,000	945,779
Comstock Park Public Schools, Q-SBLF, 5.000%, 5/1/2028, Call 5/1/2021	400,000	452,468
Detroit City School District, AGM Q-SBLF, 5.250%, 5/1/2026	300,000	350,442
Dundee Community Schools, Q-SBLF:
5.000%, 5/1/2022	1,200,000	1,402,236
5.000%, 5/1/2025	1,000,000	1,191,590
Fitzgerald Public School District, BAM, 4.000%, 5/1/2019	2,065,000	2,242,817
Forest Hills Public Schools:
5.000%, 5/1/2019	1,375,000	1,557,875
5.000%, 5/1/2020	1,600,000	1,845,696
5.000%, 5/1/2021	1,600,000	1,860,320
Fraser Public School District, Q-SBLF:
5.000%, 5/1/2021	1,000,000	1,156,890
5.000%, 5/1/2022	1,000,000	1,168,530
5.000%, 5/1/2025	1,700,000	2,025,703
Grosse Ile Township School District, Q-SBLF:
5.000%, 5/1/2021	535,000	618,936
5.000%, 5/1/2026, Call 5/1/2025	200,000	235,898
5.000%, 5/1/2027, Call 5/1/2025	230,000	269,376
5.000%, 5/1/2030, Call 5/1/2025	1,100,000	1,255,529
5.000%, 5/1/2032, Call 5/1/2025	1,025,000	1,162,658
Hartland Consolidated Schools, AGM Q-SBLF:
5.250%, 5/1/2026, Call 5/1/2021	1,625,000	1,860,397
5.250%, 5/1/2027, Call 5/1/2021	600,000	684,534
5.250%, 5/1/2028, Call 5/1/2021	1,575,000	1,790,680

Howell Public Schools, Q-SBLF, 4.250%, 5/1/2024, Call 5/1/2022	1,000,000	1,101,580
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020 (9)	415,000	448,619
Jenison Public Schools:
5.000%, 5/1/2021	500,000	578,445
5.000%, 5/1/2022, Call 5/1/2021	560,000	644,946
Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021	1,000,000	1,139,640
Laingsburg Community School District, Q-SBLF:
3.000%, 5/1/2017	540,000	558,014
3.000%, 5/1/2018	510,000	533,419
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021	1,000,000	1,114,660
Lansing School District, Q-SBLF:
5.000%, 5/1/2019	1,000,000	1,125,730
5.000%, 5/1/2020	1,825,000	2,095,501
Livonia Public Schools School District, BAM, 5.000%, 5/1/2021	1,600,000	1,846,400
Marshall Public Schools, Q-SBLF:
4.000%, 11/1/2027, Call 5/1/2025	260,000	279,622
4.000%, 11/1/2028, Call 5/1/2025	1,380,000	1,467,533
4.000%, 11/1/2029, Call 5/1/2025	940,000	998,017
Mattawan Consolidated School District, Q-SBLF:
4.000%, 5/1/2021	600,000	662,220
5.000%, 5/1/2019	1,215,000	1,369,621
5.000%, 5/1/2020	1,205,000	1,384,196
Michigan Finance Authority:
3.000%, 11/1/2015	150,000	150,681
5.000%, 6/1/2016	1,450,000	1,486,743
5.000%, 11/1/2020	2,000,000	2,307,640
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024	1,500,000	1,669,530
5.000%, 7/1/2030, Call 7/1/2024	1,500,000	1,659,930
Michigan State Building Authority, NATL-RE FGIC:
0.000%, 10/15/2021, Call 10/15/2016	1,500,000	1,158,600
0.000%, 10/15/2023, Call 10/15/2016	1,600,000	1,114,560
Michigan State Hospital Finance Authority, 5.000%, 12/1/2028, Call 6/1/2022	3,500,000	3,963,190
Michigan State Housing Development Authority, 5.625%, 10/1/2031, Call 10/1/2020	850,000	919,165
Mount Clemens Community School District, Q-SBLF, 4.000%, 5/1/2017	1,000,000	1,049,460
North Branch Area Schools, Q-SBLF:
4.000%, 5/1/2016	585,000	597,747
5.000%, 5/1/2024	200,000	234,970
Plymouth-Canton Community School District, Q-SBLF:
4.000%, 5/1/2019	1,000,000	1,091,710
5.000%, 5/1/2021	450,000	522,689
Redford Union School District No. 1, AMBAC Q-SBLF, 5.000%, 5/1/2022	250,000	284,255
River Rouge School District, Q-SBLF:
5.000%, 5/1/2020	1,700,000	1,932,339
5.000%, 5/1/2021	1,155,000	1,316,319
State of Michigan, FSA, 5.250%, 9/15/2021, Call 9/15/2017	2,100,000	2,280,075
Taylor Tax Increment Finance Authority, AGM:
3.000%, 5/1/2017	875,000	906,990
3.000%, 5/1/2018	855,000	880,633
3.000%, 5/1/2019	340,000	350,965
3.250%, 5/1/2020	90,000	93,716
Wayland Union School District, AGM Q-SBLF:
5.000%, 5/1/2024, Call 5/1/2018	500,000	549,745
5.250%, 5/1/2019, Call 5/1/2018	400,000	442,852
Wayne State University, AGM, 5.000%, 11/15/2025, Call 11/15/2018	515,000	578,839
Western Township Utilities Authority, 4.000%, 1/1/2021	1,200,000	1,313,064
		89,934,084
Minnesota — 0.7%
City of Howard Lake, 2.000%, 2/1/2017	105,000	106,571
City of Minneapolis, AGC, 6.500%, 11/15/2038, Call 11/15/2018	1,070,000	1,200,433
City of Minneapolis/St Paul Housing & Redevelopment Authority, 4.000%, 8/15/2019	445,000	485,539
City of Minneapolis/St Paul Housing & Redevelopment Authority, AGM, 5.000%, 8/15/2025, Call 8/15/2020 (9)	215,000	244,492
City of Minneapolis/St Paul Housing & Redevelopment Authority, NATL-RE, 0.210%, 8/1/2027, Call 9/7/2015 (9) (13)	375,000	344,185
City of Norwood Young America, 1.500%, 8/1/2016, Call 2/1/2016	1,715,000	1,715,343
City of Winona, 3.750%, 7/1/2021	170,000	177,599

Dakota County Community Development Agency, GNMA/FNMA/FHLMC COLL:
3.450%, 6/1/2020	100,000	105,693
3.650%, 6/1/2021, Call 12/1/2020	65,000	64,747
Minneapolis & St. Paul Housing & Redevelopment Authority, 5.250%, 8/15/2025, Call 8/15/2020	275,000	318,043
Minnesota Agricultural & Economic Development Board, AGC, 5.000%, 2/15/2017	1,400,000	1,483,958
Minnesota Higher Education Facilities Authority:
4.000%, 10/1/2016	250,000	255,248
4.000%, 10/1/2016	440,000	449,808
5.000%, 10/1/2019	400,000	446,596
Minnesota Housing Finance Agency:
3.900%, 7/1/2030, Call 1/1/2022	740,000	762,792
4.000%, 7/1/2040, Call 1/1/2022	975,000	1,003,645
5.000%, 7/1/2038, Call 7/1/2018	5,000	5,054
5.500%, 7/1/2048, Call 1/1/2017 (15)	190,000	195,586
Minnesota Housing Finance Agency, GNMA, 2.600%, 9/1/2042, Call 7/1/2022	1,288,086	1,277,794
Minnesota Housing Finance Agency, GNMA/FNMA COLL:
2.250%, 12/1/2042, Call 1/1/2022	793,914	782,505
5.000%, 1/1/2031, Call 7/1/2021	825,000	870,771
Northfield Hospital & Skilled Nursing, 5.500%, 11/1/2015	900,000	905,031
		13,201,433
Mississippi — 0.8%
Mississippi Business Finance Corp., 0.960%, 12/1/2036, Call 9/1/2015 (9)	8,500,000	8,500,000
Mississippi Development Bank:
3.125%, 10/1/2023	200,000	204,246
5.000%, 10/1/2023	2,750,000	3,101,395
5.000%, 1/1/2027, Call 1/1/2022	1,200,000	1,361,004
Mississippi Home Corp., GNMA/FNMA/FHLMC, 6.750%, 6/1/2039, Call 6/1/2018	330,000	338,253
Mississippi Hospital Equipment & Facilities Authority, 0.750%, 1/7/2016, Call 1/7/2016 (9)	1,000,000	1,000,340
Mississippi State University Educational Building Corp.:
5.000%, 11/1/2021	225,000	264,510
5.000%, 11/1/2022	135,000	160,307
		14,930,055
Missouri — 1.8%
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, 5.000%, 10/1/2033, Call 10/1/2022	4,000,000	4,503,920
Chesterfield Valley Transportation Development District:
3.250%, 5/15/2028, Call 5/15/2023	1,000,000	977,520
4.000%, 5/15/2019	475,000	511,528
5.000%, 5/15/2020	125,000	141,199
5.000%, 5/15/2021	490,000	556,914
City of Kansas City:
5.000%, 9/1/2021, Call 9/1/2019	500,000	566,980
5.000%, 9/1/2023, Call 9/1/2019	300,000	339,939
5.000%, 9/1/2032, Call 9/1/2019	1,000,000	1,115,840
City of St. Louis, AGM, 5.000%, 7/1/2020, Call 7/1/2017	1,885,000	2,019,778
Health & Educational Facilities Authority of the State of Missouri, 5.000%, 2/1/2024, Call 2/1/2021	1,050,000	1,147,556
Independence School District, SAW, 5.250%, 3/1/2030, Call 3/1/2021	2,000,000	2,330,960
Joplin Industrial Development Authority:
3.125%, 2/15/2016	885,000	894,257
5.000%, 2/15/2020	330,000	369,557
Missouri Housing Development Commission, 5.000%, 11/1/2027, Call 11/1/2019	520,000	545,048
Missouri Housing Development Commission, GNMA/FNMA/COLL, 5.000%, 9/1/2039, Call 3/1/2019	100,000	102,356
Missouri Housing Development Commission, GNMA/FNMA/FHLMC:
3.800%, 5/1/2025, Call 5/1/2021	875,000	913,028
4.000%, 5/1/2027, Call 5/1/2021	860,000	902,845
Missouri State Environmental Improvement & Energy Resources Authority, 5.750%, 1/1/2029, Call 1/1/2019	750,000	858,600
Missouri State Health & Educational Facilities Authority:
3.500%, 2/15/2017	1,430,000	1,472,528
3.750%, 2/15/2018	950,000	992,332
5.250%, 10/1/2031, Call 10/1/2021	1,000,000	1,119,420
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 3/1/2016	2,900,000	2,912,499
St. Louis Regional Convention & Sports Complex Authority, 5.000%, 8/15/2020	3,050,000	3,518,022

Stone County Reorganized School District No. 4 Reeds Spring, SAW:
5.000%, 3/1/2030, Call 3/1/2020	1,000,000	1,137,560
5.000%, 3/1/2031, Call 3/1/2020	750,000	849,360
5.000%, 3/1/2032, Call 3/1/2020	1,000,000	1,132,480
		31,932,026
Nebraska — 0.6%
Central Plains Energy Project, 5.000%, 12/1/2019, Call 12/1/2019 (9)	4,000,000	4,538,240
Lancaster County Hospital Authority No. 1, 5.500%, 1/1/2030, Call 1/1/2020	1,000,000	1,132,390
Nebraska Public Power District:
5.000%, 1/1/2025, Call 1/1/2018	750,000	816,848
5.000%, 1/1/2026, Call 1/1/2018	750,000	813,773
5.000%, 1/1/2032, Call 1/1/2022	1,000,000	1,116,890
Omaha-Douglas Public Building Commission:
5.000%, 5/1/2026, Call 5/1/2022	825,000	974,102
5.000%, 5/1/2027, Call 5/1/2022	585,000	689,931
5.000%, 5/1/2028, Call 5/1/2022	550,000	644,919
5.000%, 5/1/2029, Call 5/1/2022	660,000	769,454
		11,496,547
Nevada — 1.7%
City of Reno, 5.250%, 6/1/2032, Call 6/1/2017	105,000	113,287
Clark County School District, AMBAC, 5.000%, 6/15/2019, Call 6/15/2017	1,600,000	1,716,656
County of Clark, 5.000%, 7/1/2028, Call 7/1/2019	2,180,000	2,451,497
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	1,200,000	1,363,932
5.000%, 7/1/2030, Call 7/1/2024	1,000,000	1,130,040
County of Clark, AMBAC, 5.000%, 11/1/2024, Call 11/1/2016	410,000	431,972
County of Washoe:
5.000%, 2/1/2033, Call 2/1/2019	3,920,000	4,289,538
5.500%, 2/1/2028, Call 2/1/2019	1,000,000	1,131,090
Las Vegas Valley Water District:
0.250%, 6/1/2036, Call 9/1/2015 (9)	7,200,000	7,200,000
5.000%, 6/1/2028, Call 6/1/2022	5,115,000	5,903,938
Las Vegas Valley Water District, AGM, 5.000%, 6/1/2028, Call 6/1/2016	2,815,000	2,903,841
Nevada Housing Division, GNMA/FNMA/FHLMC:
4.400%, 4/1/2029, Call 10/1/2021	2,045,000	2,156,964
5.375%, 10/1/2039, Call 4/1/2019	595,000	614,831
		31,407,586
New Hampshire — 0.3%
New Hampshire Health & Education Facilities Authority, 0.220%, 10/1/2030, Call 9/1/2015 (9)	2,915,000	2,915,000
New Hampshire Housing Finance Authority:
4.500%, 1/1/2029, Call 7/1/2020	740,000	743,441
4.800%, 7/1/2028, Call 1/1/2022	1,640,000	1,775,185
6.000%, 7/1/2038, Call 1/1/2018 (15)	335,000	343,831
		5,777,457
New Jersey — 3.6%
Casino Reinvestment Development Authority, 5.000%, 11/1/2022	4,775,000	5,180,923
City of Passaic, 4.000%, 5/1/2017	280,000	294,896
New Jersey Economic Development Authority:
0.320%, 11/1/2031, Call 9/1/2015 (9)	790,000	790,000
1.720%, 2/1/2016, Call 9/22/2015 (9)	3,000,000	3,000,180
5.000%, 6/15/2019	3,000,000	3,227,430
5.000%, 6/15/2020	1,500,000	1,620,180
New Jersey Higher Education Student Assistance Authority:
3.250%, 12/1/2027, Call 12/1/2022 (15)	1,875,000	1,864,012
4.875%, 12/1/2024, Call 12/1/2019	8,395,000	8,996,754
New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021	690,000	707,671
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022	3,440,000	3,850,495
5.000%, 1/1/2035, Call 1/1/2022	1,685,000	1,848,310
New Jersey State Turnpike Authority, NATL-RE:
0.126%, 1/1/2030 (9) (13)	350,000	317,713
0.149%, 1/1/2030, Call 9/3/2015 (9) (13)	475,000	431,181
0.207%, 1/1/2030, Call 9/4/2015 (9) (13)	1,900,000	1,724,725
0.207%, 1/1/2030, Call 9/4/2015 (9) (13)	500,000	453,875

New Jersey Transportation Trust Fund Authority:
1.020%, 12/15/2019, Call 6/15/2019 (9)	5,000,000	4,757,550
5.000%, 6/15/2022	500,000	529,725
5.000%, 6/15/2032, Call 12/15/2024	5,000,000	5,107,650
5.250%, 12/15/2023, Call 12/15/2018	1,355,000	1,458,387
5.250%, 12/15/2023	240,000	257,808
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022	5,000,000	5,340,100
5.000%, 6/15/2033, Call 6/15/2022	3,000,000	3,169,200
5.250%, 6/15/2033, Call 6/15/2023	5,635,000	5,879,446
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024	440,000	304,911
New Jersey Transportation Trust Fund Authority, State Appropriation, 5.000%, 6/15/2017	250,000	263,925
Salem County Pollution Control Financing Authority, 0.140%, 11/1/2033, Call 9/1/2015 (9)	4,150,000	4,150,000
		65,527,047
New Mexico — 1.7%
City of Farmington:
1.875%, 4/1/2020 (9)	3,000,000	2,999,190
1.875%, 4/1/2020 (9)	3,000,000	2,995,410
1.875%, 4/1/2020 (9)	3,750,000	3,744,262
City of Santa Fe, 4.000%, 6/1/2025, Call 6/1/2022	655,000	698,826
New Mexico Finance Authority:
5.000%, 6/1/2026, Call 6/1/2018	2,395,000	2,646,116
5.700%, 6/1/2026, Call 6/1/2018	465,000	522,930
5.800%, 6/1/2027, Call 6/1/2018	825,000	934,807
New Mexico Finance Authority, NATL-RE, 5.250%, 6/15/2023, Call 6/15/2017	1,000,000	1,079,180
New Mexico Mortgage Finance Authority, GNMA, 2.600%, 2/1/2043, Call 1/1/2023	1,190,449	1,193,699
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC:
4.200%, 7/1/2028, Call 1/1/2017 (15)	345,000	348,029
4.500%, 9/1/2024, Call 9/1/2019	230,000	238,331
5.650%, 9/1/2039, Call 3/1/2019	510,000	534,679
6.000%, 9/1/2039, Call 3/1/2019	635,000	655,333
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC COLL:
4.625%, 3/1/2028, Call 9/1/2021	870,000	913,430
5.350%, 3/1/2030, Call 9/1/2020	2,090,000	2,202,128
New Mexico Municipal Energy Acquisition Authority, 0.876%, 8/1/2019, Call 2/1/2019 (9)	10,000,000	10,016,800
		31,723,150
New York — 5.8%
Albany Capital Resource Corp.:
5.000%, 12/1/2023	150,000	173,421
5.000%, 12/1/2024	200,000	232,954
Byron-Bergen Central School District, AGM SAW, 3.000%, 6/15/2018	1,215,000	1,273,308
City of New York, 0.580%, 8/1/2026 (9) (13)	100,000	100,000
City of New York, AGC:
0.570%, 10/1/2021, Call 9/7/2015 (9) (13)	400,000	400,000
0.570%, 10/1/2027, Call 9/4/2015 (9) (13)	850,000	850,000
City of Newburgh:
2.000%, 5/15/2016	565,000	569,362
2.000%, 5/15/2017	575,000	582,032
Deutsche Bank Spears/Lifers Trust, AMBAC, 0.230%, 7/1/2037, Call 7/1/2017 (6) (7) (9)	5,600,000	5,600,000
Long Island Power Authority, 0.782%, 11/1/2018, Call 5/1/2018 (9)	2,500,000	2,503,300
Long Island Power Authority, BHAC, 5.000%, 12/1/2021, Call 12/1/2016	600,000	633,912
Metropolitan Transportation Authority, 0.476%, 11/1/2017, Call 5/1/2017 (9)	2,800,000	2,768,948
Metropolitan Transportation Authority, AGM:
0.387%, 11/1/2022, Call 9/3/2015 (9) (13)	425,000	410,665
0.396%, 11/1/2022, Call 9/2/2015 (9) (13)	225,000	217,402
0.730%, 5/15/2018, Call 11/15/2017 (9)	4,000,000	3,967,000
New York City Industrial Development Agency, ACA, 4.400%, 11/1/2016	675,000	706,563
New York City Transit Auth/Metropolitan Transportation Auth/Triborough Bridge & Tunnel, AMBAC:
0.542%, 1/1/2030, Call 10/2/2015 (9) (13)	350,000	325,328
0.544%, 1/1/2030, Call 9/2/2015 (9) (13)	175,000	163,582
0.546%, 1/1/2030, Call 9/7/2015 (9) (13)	225,000	209,233
New York City Transit Authority/Metropolitan Transportation Authority/Triborough Bridge & Tunnel, AMBAC, 0.545%, 1/1/2030, Call 9/3/2015 (9) (13)	175,000	162,257
New York City Transitional Finance Authority:
0.140%, 11/1/2022 (9)	8,500,000	8,500,000
5.000%, 11/1/2024, Call 11/1/2022	5,715,000	6,849,256

5.000%, 11/1/2024	2,215,000	2,702,322
5.000%, 11/1/2025, Call 5/1/2025	2,475,000	3,007,818
5.000%, 11/1/2026, Call 5/1/2025	1,000,000	1,203,840
5.000%, 11/1/2026, Call 5/1/2025	2,000,000	2,405,780
New York City Transitional Finance Authority, NATL-RE FGIC, 5.000%, 7/15/2024, Call 1/15/2017	435,000	460,456
New York City Water & Sewer System:
0.130%, 6/15/2032, Call 9/15/2015 (9)	2,500,000	2,500,000
5.000%, 6/15/2028, Call 6/15/2024	500,000	586,810
5.000%, 6/15/2029, Call 6/15/2024	600,000	699,078
New York Liberty Development Corp., 5.000%, 10/1/2015	560,000	562,156
New York Mortgage Agency:
4.000%, 10/1/2026, Call 4/1/2021	1,000,000	1,040,030
5.000%, 10/1/2019	500,000	567,690
New York State Dormitory Authority:
5.000%, 12/15/2023, Call 12/15/2022	4,590,000	5,508,505
5.000%, 3/15/2027, Call 3/15/2022	16,555,000	19,175,822
5.000%, 3/15/2028, Call 3/15/2019	625,000	700,000
6.000%, 7/1/2038, Call 7/1/2020	1,000,000	1,144,490
New York State Dormitory Authority, NATL-RE, 0.180%, 7/1/2029, Call 9/7/2015 (9) (13)	3,150,000	2,851,415
New York State Energy Research & Development Authority, AMBAC, 1.000%, 10/1/2028, Call 9/4/2015 (9) (13)	500,000	500,000
New York State Energy Research & Development Authority, NATL-RE, 0.159%, 12/1/2020, Call 9/9/2015 (9) (13)	6,450,000	6,065,470
New York State Thruway Authority, 5.000%, 3/15/2026, Call 9/15/2021	8,490,000	9,983,561
New York State Urban Development Corp., 5.000%, 3/15/2028, Call 3/15/2023	1,000,000	1,167,690
Niagara Tobacco Asset Securitization Corp.:
4.000%, 5/15/2016	395,000	404,140
5.000%, 5/15/2017	300,000	320,649
State of New York, NATL-RE FGIC:
0.225%, 2/15/2022, Call 9/3/2015 (9) (13)	1,420,000	1,366,612
0.225%, 2/13/2032, Call 9/3/2015 (9) (13)	2,505,000	2,265,883
Suffolk County Judicial Facilities Agency, 5.000%, 11/1/2015	1,000,000	1,006,510
		105,395,250
North Carolina — 0.7%
Charlotte-Mecklenburg Hospital Authority, 5.000%, 1/15/2021, Call 1/15/2017	850,000	896,265
County of Catawba:
4.000%, 10/1/2025, Call 10/1/2021	585,000	635,907
5.000%, 10/1/2023, Call 10/1/2021	1,000,000	1,162,170
5.000%, 10/1/2024, Call 10/1/2021	835,000	971,439
County of Cumberland, 5.125%, 12/1/2028, Call 12/1/2019	250,000	286,350
County of Union:
5.000%, 12/1/2026, Call 6/1/2023	1,390,000	1,627,898
5.000%, 12/1/2027, Call 6/1/2023	1,645,000	1,916,491
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	350,000	381,784
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021	705,000	751,389
North Carolina Medical Care Commission:
4.000%, 10/1/2016	595,000	618,080
4.000%, 6/1/2020	470,000	515,237
5.000%, 6/1/2027, Call 6/1/2022	500,000	569,465
Orange County Public Facilities, 5.000%, 10/1/2026, Call 10/1/2022	1,130,000	1,321,784
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020	1,690,000	1,854,454
		13,508,713
North Dakota — 1.8%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2021	635,000	658,425
4.500%, 5/1/2030, Call 5/1/2021	1,515,000	1,559,935
4.500%, 5/1/2033, Call 5/1/2021	1,850,000	1,896,361
City of Bowman, 2.500%, 2/15/2017, Call 8/15/2016	3,000,000	3,000,810
City of Dickinson, 5.000%, 10/1/2025, Call 10/1/2021	2,240,000	2,564,778
City of Grand Forks:
4.000%, 12/1/2019	535,000	572,236
5.000%, 12/1/2032, Call 12/1/2021	1,000,000	1,055,850
City of West Fargo, 3.000%, 5/1/2023, Call 5/1/2017	185,000	186,071

North Dakota Housing Finance Agency:
3.600%, 7/1/2032, Call 7/1/2022	1,290,000	1,301,636
3.750%, 7/1/2034, Call 7/1/2022	420,000	427,337
4.125%, 1/1/2026, Call 1/1/2021	705,000	735,280
North Dakota Public Finance Authority:
4.000%, 6/1/2022	2,345,000	2,603,513
4.000%, 6/1/2023	2,440,000	2,732,653
4.000%, 6/1/2024, Call 6/1/2023	2,190,000	2,439,507
4.000%, 6/1/2025, Call 6/1/2023	1,145,000	1,266,061
North Dakota State Housing Finance Agency, 5.250%, 1/1/2029, Call 7/1/2019	1,115,000	1,128,804
Williston Parks & Recreation District:
3.000%, 3/1/2017	805,000	826,727
4.000%, 3/1/2023, Call 3/1/2021	420,000	441,781
4.500%, 3/1/2020	1,455,000	1,580,086
4.500%, 3/1/2025, Call 3/1/2021	2,525,000	2,770,506
4.625%, 3/1/2026, Call 3/1/2021	2,620,000	2,877,336
		32,625,693
Ohio — 3.4%
Apollo Joint Vocational School District:
5.250%, 12/1/2032, Call 12/1/2021	600,000	688,098
5.250%, 12/1/2033, Call 12/1/2021	500,000	571,870
Brookfield Local School District, AGM, 5.000%, 1/15/2030, Call 1/15/2018	400,000	432,524
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021	2,320,000	2,623,642
5.000%, 10/1/2024, Call 10/1/2022	460,000	535,790
5.000%, 10/1/2028, Call 10/1/2022	1,075,000	1,228,091
5.000%, 10/1/2029, Call 10/1/2022	1,130,000	1,283,149
5.000%, 10/1/2029, Call 10/1/2022	2,290,000	2,600,364
5.000%, 1/1/2031, Call 1/1/2022	1,270,000	1,382,497
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022	3,900,000	4,306,146
5.000%, 1/1/2031, Call 1/1/2022	1,000,000	1,099,320
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021	1,000,000	1,109,720
Cleveland Department of Public Utilities Division of Water:
4.000%, 1/1/2028, Call 1/1/2024	500,000	532,790
4.000%, 1/1/2029, Call 1/1/2024	1,000,000	1,053,550
4.000%, 1/1/2030, Call 1/1/2024	1,000,000	1,043,160
Cleveland Heights & University Heights City School District:
0.000%, 12/1/2024	400,000	311,596
0.000%, 12/1/2025	600,000	447,642
Cleveland-Cuyahoga County Port Authority, 5.000%, 10/1/2022, Call 10/1/2020	1,000,000	1,154,080
County of Franklin:
5.000%, 5/15/2028, Call 5/15/2023	2,000,000	2,302,780
5.000%, 5/15/2031, Call 5/15/2023	405,000	456,151
County of Hamilton, 5.000%, 12/1/2029, Call 12/1/2021	975,000	1,086,423
County of Hancock, 5.750%, 12/1/2026, Call 6/1/2021	1,120,000	1,323,459
County of Lorain, AMBAC:
0.392%, 10/1/2030 (9) (13)	500,000	463,688
0.416%, 10/1/2030 (9) (13)	4,350,000	4,017,973
County of Lucas, 5.000%, 11/15/2022, Call 11/15/2021	925,000	1,079,567
Delaware City School District, 5.250%, 12/1/2038, Call 6/1/2023	1,240,000	1,398,571
Elyria City School District, School District Credit Program:
4.000%, 12/1/2026, Call 12/1/2022	480,000	519,806
4.000%, 12/1/2027, Call 12/1/2022	1,160,000	1,249,877
4.000%, 12/1/2028, Call 12/1/2022	1,130,000	1,209,123
4.000%, 12/1/2032, Call 12/1/2022	1,015,000	1,061,071
4.000%, 12/1/2033, Call 12/1/2022	1,550,000	1,615,286
4.000%, 12/1/2034, Call 12/1/2022	1,435,000	1,490,750
Johnstown-Monroe Local School District, 5.000%, 12/1/2030, Call 12/1/2021	715,000	806,699
Lake County Community College District:
4.000%, 12/1/2022, Call 12/1/2019	695,000	761,671
4.000%, 12/1/2024, Call 12/1/2019	835,000	909,014
4.000%, 12/1/2025, Call 12/1/2019	855,000	926,410
Lake Local School District/Stark County, School District Credit Program:
4.000%, 12/1/2023, Call 12/1/2021	1,550,000	1,699,575
4.000%, 12/1/2025, Call 12/1/2021	1,660,000	1,792,103
Liberty Local School District, AGM:
2.500%, 12/1/2016	555,000	568,403
4.500%, 12/1/2018	885,000	962,880

New Albany Community Authority:
4.000%, 10/1/2020	590,000	643,124
5.000%, 10/1/2022	1,000,000	1,154,920
5.000%, 10/1/2023, Call 10/1/2022	1,105,000	1,290,971
North Olmsted City School District:
5.000%, 12/1/2027, Call 12/1/2023	220,000	258,410
5.000%, 12/1/2028, Call 12/1/2023	365,000	425,783
5.000%, 12/1/2029, Call 12/1/2023	500,000	580,460
Ohio Higher Educational Facility Commission:
4.000%, 12/1/2020	1,050,000	1,145,277
4.000%, 12/1/2021	795,000	866,407
4.000%, 12/1/2022	845,000	921,464
Ohio Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.200%, 9/1/2029, Call 9/1/2018	1,475,000	1,573,589
Ohio State Turnpike Commission, 5.250%, 2/15/2033, Call 2/15/2023	1,330,000	1,514,152
Ohio State Water Development Authority, 5.000%, 6/1/2022	1,100,000	1,314,104
Ohio University, 5.000%, 12/1/2028, Call 6/1/2022	225,000	257,152
University of Toledo, 5.000%, 6/1/2030, Call 6/1/2021	250,000	278,705
		62,329,827
Oklahoma — 0.7%
Blanchard Municipal Improvement Authority, BAM, 4.000%, 5/1/2039, Call 5/1/2022	315,000	319,407
Cushing Educational Facilities Authority, 5.000%, 9/1/2022	2,000,000	2,362,620
Delaware County Justice Authority:
3.750%, 9/1/2029, Call 9/1/2017	2,900,000	2,851,396
4.000%, 9/1/2018	415,000	443,755
4.000%, 9/1/2019	740,000	798,319
4.000%, 9/1/2020	700,000	759,290
4.000%, 9/1/2021	805,000	872,765
Oklahoma Housing Finance Agency, GNMA:
2.500%, 3/1/2022	655,000	660,168
3.300%, 3/1/2031, Call 3/1/2022	1,560,000	1,574,555
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC, 6.500%, 9/1/2038, Call 9/1/2018	290,000	296,896
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.250%, 9/1/2029, Call 3/1/2019	50,000	53,274
Pittsburg County Economic Development Authority, AMBAC, 4.000%, 12/1/2017, Call 12/1/2015	300,000	302,799
Tulsa Airports Improvement Trust, BAM, 5.000%, 6/1/2028, Call 6/1/2023 (15)	1,405,000	1,557,864
		12,853,108
Oregon — 0.8%
City of Portland, 5.000%, 6/15/2027, Call 6/15/2022	1,000,000	1,140,990
City of Tigard:
5.000%, 8/1/2029, Call 8/1/2022	690,000	789,429
5.000%, 8/1/2037, Call 8/1/2025	650,000	742,748
City of Woodburn:
0.000%, 3/1/2020	1,380,000	1,254,089
0.000%, 3/1/2021	1,215,000	1,060,537
Clackamas & Washington Counties School District No. 3, NATL-RE FGIC School Bond Gty, 0.000%, 6/15/2023	2,000,000	1,648,340
Klamath Falls Intercommunity Hospital Authority:
5.000%, 9/1/2021	250,000	287,748
5.000%, 9/1/2022	505,000	584,154
Multnomah County School District No. 3 Park Rose, School Bond Gty, 5.000%, 6/30/2036, Call 6/30/2021	475,000	537,334
Port of Morrow:
3.500%, 6/1/2020, Call 6/1/2019	210,000	219,139
3.750%, 6/1/2021, Call 6/1/2019	220,000	229,205
4.000%, 6/1/2022, Call 6/1/2019	235,000	244,865
Port of Portland, 5.500%, 7/1/2031, Call 7/1/2021	3,000,000	3,398,130
State of Oregon Housing & Community Services Department:
4.450%, 7/1/2023, Call 1/1/2020 (15)	1,625,000	1,721,265
4.750%, 7/1/2036, Call 7/1/2016 (15)	530,000	532,512
		14,390,485

Pennsylvania — 2.8%
Butler County Hospital Authority, 0.220%, 10/1/2032, Call 10/1/2015 (9)	500,000	500,000
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021	500,000	553,625
City of Philadelphia, AGM, 5.250%, 12/15/2023, Call 12/15/2018	755,000	839,703
City of Pittsburgh:
4.000%, 9/1/2016	415,000	429,811
4.000%, 9/1/2021	750,000	818,820
Clarion County Industrial Development Authority, 1.050%, 5/1/2016, Call 11/1/2015	3,000,000	3,001,680
Kiski Area School District, AGM SAW, 4.000%, 3/1/2021	1,450,000	1,584,386
Lancaster Industrial Development Authority:
5.000%, 5/1/2021	360,000	385,970
5.000%, 5/1/2022	430,000	458,268
Lehigh County General Purpose Authority, 4.000%, 11/1/2019	555,000	598,867
Montgomery County Industrial Development Authority:
5.000%, 11/15/2016	1,500,000	1,573,035
6.250%, 11/15/2029, Call 11/15/2019	715,000	803,017
Montgomery County Industrial Development Authority, FHA, 5.000%, 8/1/2024, Call 8/1/2020	1,350,000	1,545,791
Nazareth Area School District, SAW, 0.648%, 2/1/2018, Call 8/1/2017 (9)	500,000	502,145
Pennsylvania Economic Development Financing Authority:
1.250%, 5/1/2017 (9)	500,000	500,385
1.750%, 12/1/2015 (9)	1,400,000	1,403,990
5.000%, 1/1/2023, Call 1/1/2016	3,200,000	3,249,760
Pennsylvania Economic Development Financing Authority, AGM:
0.000%, 1/1/2020	600,000	534,708
0.000%, 1/1/2021	600,000	510,636
5.000%, 1/1/2022	305,000	344,784
Pennsylvania Housing Finance Agency, 4.200%, 10/1/2033, Call 10/1/2022 (15)	2,300,000	2,366,401
Pennsylvania Turnpike Commission:
0.000%, 12/1/2030, Call 12/1/2020 (16)	585,000	624,868
0.000%, 12/1/2034, Call 12/1/2020 (16)	395,000	432,414
0.570%, 12/1/2016, Call 6/1/2016 (9)	1,450,000	1,450,087
0.700%, 12/1/2018, Call 6/1/2018 (9)	2,850,000	2,839,256
1.000%, 12/1/2021, Call 6/1/2021 (9)	5,000,000	4,950,850
4.000%, 12/1/2023, Call 12/1/2019	200,000	216,110
5.000%, 6/1/2021, Call 6/1/2019	715,000	801,608
6.000%, 12/1/2036, Call 12/1/2020	975,000	1,153,289
Pittsburgh Public Schools, BAM SAW, 5.000%, 9/1/2024, Call 9/1/2022	1,000,000	1,163,700
Pocono Mountain School District, AGM SAW, 4.000%, 6/15/2021	4,630,000	5,127,910
Puttable Floating Option Tax-Exempt Receipts, FGIC, 0.260%, 6/1/2034 (6) (7) (9)	3,390,000	3,390,000
Sayre Health Care Facilities Authority, 0.969%, 12/1/2024, Call 12/1/2017 (9)	225,000	217,422
Scranton School District, AGM SAW:
2.000%, 6/15/2017	255,000	260,681
3.000%, 6/15/2017	350,000	363,986
Scranton School District, SAW, 1.128%, 4/2/2018, Call 10/2/2017 (9)	3,325,000	3,341,326
State Public School Building Authority, SAW, 0.926%, 9/1/2018, Call 3/1/2018 (9)	1,675,000	1,673,694
		50,512,983
Puerto Rico — 0.2%
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority:
5.000%, 4/1/2016	2,255,000	2,240,523
5.000%, 7/1/2018	150,000	153,709
5.000%, 7/1/2021	125,000	123,471
6.250%, 7/1/2026, Call 7/1/2016	225,000	225,785
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, NATL-RE, 4.250%, 10/1/2024, Call 10/19/2015	150,000	146,213
Puerto Rico Infrastructure Financing Authority, BHAC, 5.500%, 7/1/2021	275,000	315,447
		3,205,148
Rhode Island — 1.2%
Rhode Island Health & Educational Building Corp., 0.010%, 6/1/2035, Call 10/1/2015 (9)	4,100,000	4,100,000
Rhode Island Housing & Mortgage Finance Corp.:
3.625%, 10/1/2029, Call 10/1/2021	760,000	763,754
4.000%, 10/1/2040, Call 10/1/2021	1,155,000	1,185,631
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (15)	300,000	294,915
3.950%, 12/1/2017	250,000	265,377
4.000%, 12/1/2022, Call 12/1/2021 (15)	2,885,000	3,003,141
4.200%, 12/1/2018, Call 12/1/2017	600,000	635,820
4.250%, 12/1/2020, Call 12/1/2017	500,000	523,265

4.250%, 12/1/2025, Call 12/1/2021 (15)	2,205,000	2,250,489
4.500%, 12/1/2021, Call 12/1/2017	1,000,000	1,048,270
4.750%, 12/1/2028, Call 12/1/2021 (15)	1,000,000	1,032,700
4.750%, 12/1/2029, Call 12/1/2021 (15)	680,000	698,469
Tobacco Settlement Financing Corp., 2.250%, 6/1/2041, Call 6/1/2025	4,055,000	4,000,136
Town of Cumberland:
4.000%, 3/15/2024	795,000	882,251
4.000%, 3/15/2026, Call 3/15/2024	460,000	502,003
		21,186,221
South Carolina — 1.5%
City of Rock Hill, AGM:
5.250%, 1/1/2026, Call 1/1/2022	730,000	846,793
5.250%, 1/1/2028, Call 1/1/2022	475,000	544,112
County of Dorchester:
5.000%, 10/1/2022	480,000	564,538
5.000%, 10/1/2026, Call 10/1/2022	400,000	467,036
County of Florence:
5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,298,080
5.000%, 11/1/2030, Call 11/1/2020	500,000	554,785
5.000%, 11/1/2031, Call 11/1/2024	360,000	407,725
Fort Mill School Facilities Corp., 5.250%, 12/1/2024, Call 12/1/2016	250,000	264,905
Laurens County Water & Sewer Commission:
5.000%, 3/1/2029, Call 3/1/2017	415,000	437,717
5.000%, 3/1/2032, Call 3/1/2017	1,000,000	1,051,840
Piedmont Municipal Power Agency, AGM:
5.000%, 1/1/2030, Call 7/1/2021	450,000	492,732
5.750%, 1/1/2034, Call 7/1/2021	1,000,000	1,165,750
RBC Municipal Products, Inc. Trust, 0.170%, 7/1/2018 (6) (7) (9)	9,300,000	9,300,000
South Carolina Jobs-Economic Development Authority, 5.000%, 7/1/2022	1,735,000	1,978,750
South Carolina State Housing Finance & Development Authority, 5.000%, 1/1/2028, Call 7/1/2019	175,000	186,855
South Carolina State Housing Finance & Development Authority, AGM, 5.500%, 7/1/2037, Call 7/1/2016 (15)	435,000	451,621
South Carolina State Public Service Authority:
0.140%, 1/1/2038, Call 1/1/2019 (6) (7) (9)	1,840,000	1,840,000
5.000%, 12/1/2028, Call 12/1/2024	500,000	581,065
5.500%, 1/1/2038, Call 1/1/2019	920,000	1,030,713
Spartanburg Sanitation Sewer District, 5.000%, 3/1/2030, Call 3/1/2023	1,500,000	1,692,495
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call 4/1/2021	900,000	991,800
		27,149,312
South Dakota — 1.0%
City of Rapid City:
5.500%, 12/1/2022, Call 12/1/2019	225,000	249,428
6.750%, 12/1/2031, Call 12/1/2019	500,000	571,815
7.000%, 12/1/2035, Call 12/1/2019	750,000	860,295
South Dakota Health & Educational Facilities Authority:
4.000%, 11/1/2021	500,000	557,990
4.250%, 9/1/2023	740,000	797,676
4.500%, 9/1/2018	500,000	528,380
4.500%, 9/1/2020	900,000	967,806
4.500%, 9/1/2021, Call 9/1/2020	1,080,000	1,151,518
4.500%, 9/1/2022, Call 9/1/2020	1,005,000	1,062,014
5.000%, 9/1/2019	200,000	226,046
5.000%, 11/1/2022	715,000	845,395
5.000%, 8/1/2023	375,000	442,793
5.000%, 11/1/2023	625,000	743,237
5.000%, 8/1/2024	195,000	231,837
5.000%, 11/1/2024, Call 11/1/2019	1,000,000	1,130,720
5.000%, 11/1/2024	650,000	775,833
5.000%, 11/1/2025, Call 11/1/2024	600,000	709,182
5.000%, 11/1/2026, Call 11/1/2024	550,000	641,355
5.000%, 9/1/2027, Call 9/1/2024	720,000	789,329
South Dakota Health & Educational Facilities Authority, AMBAC, 5.000%, 8/1/2022, Call 8/1/2017	980,000	1,053,039

South Dakota Housing Development Authority:
3.750%, 5/1/2018	500,000	523,220
3.900%, 11/1/2030, Call 11/1/2023	515,000	525,274
South Dakota Housing Development Authority, FHLMC COLL, 3.550%, 11/1/2033, Call 11/1/2022	2,355,000	2,355,659
		17,739,841
Tennessee — 1.0%
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, 5.000%, 11/1/2027, Call 11/1/2021	500,000	553,775
Metropolitan Nashville Airport Authority, 5.000%, 7/1/2017	585,000	628,711
Public Building Authority of Sevier County, AMBAC, 0.149%, 6/1/2018 (9) (13)	550,000	540,513
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023	5,310,000	5,973,325
5.250%, 9/1/2021	3,810,000	4,355,706
5.250%, 9/1/2022	250,000	285,760
Tennessee Housing Development Agency:
4.000%, 7/1/2025, Call 1/1/2020	960,000	988,032
4.000%, 7/1/2025, Call 1/1/2021	925,000	955,451
4.000%, 7/1/2039, Call 1/1/2024	950,000	1,017,745
4.125%, 1/1/2025, Call 1/1/2021	865,000	910,378
4.500%, 7/1/2028, Call 1/1/2020	400,000	420,212
4.750%, 7/1/2027, Call 1/1/2017 (15)	185,000	187,725
5.000%, 1/1/2027, Call 7/1/2019	395,000	413,925
		17,231,258
Texas — 6.6%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 4/1/2017 (9)	7,875,000	7,865,314
Brazoria-Fort Bend County Municipal Utility District No. 1, MAC:
2.000%, 9/1/2017	1,145,000	1,165,724
3.000%, 9/1/2020	700,000	732,095
Capital Area Cultural Education Facilities Finance Corp.:
5.000%, 4/1/2019	1,000,000	1,103,070
5.250%, 4/1/2021, Call 4/1/2020	400,000	448,768
Central Texas Regional Mobility Authority, 0.000%, 1/1/2025	1,000,000	686,720
City of Galveston, 4.625%, 2/1/2024, Call 2/1/2021	1,130,000	1,203,608
City of Houston, 5.000%, 9/1/2026, Call 9/1/2024	250,000	290,443
City of Houston, AMBAC, 0.000%, 9/1/2019	400,000	373,996
City of Houston, XLCA, 0.396%, 7/1/2032 (9) (13) (15)	450,000	419,669
City of Laredo International Toll Bridge, AGM:
5.000%, 10/1/2026, Call 10/1/2024	225,000	262,665
5.000%, 10/1/2027, Call 10/1/2024	240,000	277,478
City of San Antonio, 0.420%, 11/1/2017 (9)	1,600,000	1,604,624
City of San Marcos:
4.500%, 11/1/2028, Call 11/1/2022	600,000	637,302
5.000%, 11/1/2033, Call 11/1/2022	1,215,000	1,348,176
Corpus Christi Business & Job Development Corp., 5.000%, 9/1/2022	1,000,000	1,165,090
County of Bowie, AGM:
4.000%, 8/1/2021, Call 8/1/2016	1,275,000	1,310,419
4.000%, 8/1/2024, Call 8/1/2016	1,315,000	1,347,888
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021	4,000,000	4,648,840
Cypress-Fairbanks Independent School District, PSF, 5.000%, 2/15/2034, Call 2/15/2021	675,000	756,088
Dallas Independent School District, PSF, 5.000%, 8/15/2034, Call 10/2/2015	1,000,000	1,003,750
Dallas/Fort Worth International Airport:
5.000%, 11/1/2023, Call 11/1/2020	2,400,000	2,765,328
5.000%, 11/1/2024, Call 11/1/2022	1,000,000	1,173,690
5.000%, 11/1/2032, Call 11/1/2020	5,000,000	5,606,700
5.000%, 11/1/2033, Call 11/1/2023	2,000,000	2,259,760
5.250%, 11/1/2033, Call 11/1/2023	1,200,000	1,389,408
Denver City Independent School District, PSF, 5.000%, 2/15/2032, Call 8/15/2016	1,000,000	1,038,890
Forney Independent School District, PSF, 6.000%, 8/15/2037, Call 8/15/2018	1,840,000	2,113,737
Georgetown Independent School District, PSF, 5.000%, 8/15/2025, Call 8/15/2020	645,000	746,297
Grand Parkway Transportation Corp., 0.000%, 10/1/2030, Call 10/1/2028 (16)	1,000,000	810,870
Gulf Coast Waste Disposal Authority, AGM:
5.000%, 10/1/2029, Call 10/1/2022	1,430,000	1,621,849
5.000%, 10/1/2030, Call 10/1/2022	1,505,000	1,691,545
Harris County Cultural Education Facilities Finance Corp.:
0.770%, 6/1/2020 (9)	2,000,000	1,987,040
0.850%, 6/1/2021 (9)	2,400,000	2,381,808
5.250%, 10/1/2029, Call 10/1/2019	1,550,000	1,776,424

Harris County Hospital District, NATL-RE, 5.250%, 2/15/2027, Call 2/15/2017	5,615,000	5,939,210
Harris County Municipal Utility District No. 165, BAM, 5.000%, 3/1/2025	400,000	473,288
Harris County Municipal Utility District No. 374, AGM, 5.000%, 9/1/2036, Call 9/1/2019	550,000	604,379
La Vernia Higher Education Finance Corp.:
4.750%, 8/15/2016	180,000	187,135
5.000%, 8/15/2017	150,000	161,891
5.000%, 8/15/2018	150,000	166,563
Little Elm Independent School District, PSF:
5.000%, 8/15/2020, Call 8/15/2016	95,000	99,176
5.000%, 8/15/2020, Call 8/15/2016	1,050,000	1,094,719
Lower Colorado River Authority, BHAC, 5.250%, 5/15/2028, Call 5/15/2018	675,000	746,071
Mesquite Independent School District, PSF, 0.000%, 8/15/2021	635,000	567,093
Midland Independent School District, PSF:
5.000%, 2/15/2031, Call 2/15/2016	1,405,000	1,431,765
5.000%, 2/15/2032, Call 2/15/2016	1,050,000	1,069,813
Nacogdoches County Hospital District, AGM:
3.000%, 5/15/2018	495,000	510,048
3.000%, 5/15/2019	510,000	525,331
New Hope Cultural Education Facilities Corp., 5.000%, 7/1/2030, Call 7/1/2025	750,000	799,733
New Hope Cultural Education Facilities Corp., AGM, 4.000%, 4/1/2024	440,000	465,199
Nolan County Hospital District:
5.000%, 8/15/2022	310,000	355,961
5.000%, 8/15/2023	250,000	288,375
5.000%, 8/15/2024	200,000	231,700
North Texas Tollway Authority, 0.820%, 1/1/2019, Call 7/1/2018 (9)	1,750,000	1,753,360
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019	1,725,000	1,942,298
North Texas Tollway Authority, BHAC, 5.125%, 1/1/2028, Call 1/1/2018	500,000	542,980
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 2/1/2016 (9)	2,190,000	2,205,418
Pasadena Independent School District, AGM, 0.030%, 2/1/2035, Call 9/1/2015 (9)	5,000,000	5,000,000
Pleasanton Independent School District, PSF, 5.000%, 8/15/2029, Call 8/15/2024	1,000,000	1,171,360
Port of Port Arthur Navigation District:
0.300%, 12/1/2039, Call 9/1/2015 (9)	4,500,000	4,500,000
0.300%, 12/1/2039, Call 9/1/2015 (9)	3,420,000	3,420,000
0.300%, 4/1/2040, Call 9/1/2015 (9)	1,240,000	1,240,000
0.300%, 11/1/2040, Call 9/1/2015 (9)	14,700,000	14,700,000
Sabine River Authority, MBIA, 4.950%, 3/1/2018	370,000	399,718
San Antonio Municipal Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021	500,000	556,995
Sienna Plantation Levee Improvement District, BAM, 4.000%, 9/1/2020	400,000	440,848
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	1,000,000	1,010,900
5.000%, 10/1/2028, Call 10/1/2023	2,030,000	2,327,111
Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2021	2,000,000	2,292,760
Waco Independent School District, PSF:
4.000%, 8/15/2028, Call 8/15/2024	1,000,000	1,073,910
4.000%, 8/15/2029, Call 8/15/2024	2,380,000	2,534,771
		118,844,952
Utah — 1.1%
Central Utah Water Conservancy District:
5.000%, 10/1/2026, Call 10/1/2019	850,000	970,861
5.000%, 10/1/2028, Call 10/1/2019	1,000,000	1,134,540
City of Draper, 5.000%, 5/1/2032, Call 5/1/2022	325,000	362,515
City of Riverton:
5.250%, 12/1/2034, Call 6/1/2023	1,455,000	1,634,736
5.250%, 12/1/2036, Call 6/1/2023	2,150,000	2,403,184
Jordan Valley Water Conservancy District, 5.000%, 10/1/2035, Call 4/1/2021	920,000	1,038,018
Uintah County Municipal Building Authority, 5.300%, 6/1/2028, Call 6/1/2018	1,350,000	1,482,408
Utah Housing Corp., 5.250%, 7/1/2028, Call 1/1/2017 (15)	405,000	411,286
Utah Infrastructure Agency, AGM:
5.400%, 10/15/2036, Call 10/15/2021	1,000,000	1,135,570
5.500%, 10/15/2030, Call 10/15/2021	1,300,000	1,532,011
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020	1,030,000	1,205,914
Utah State Charter School Finance Authority, 5.250%, 10/15/2028, Call 10/15/2023	480,000	552,422
Utah Transit Authority, AGM, 0.230%, 6/15/2036, Call 6/15/2018 (6) (7) (9)	6,645,000	6,645,000
		20,508,465

Vermont — 0.1%
Vermont Housing Finance Agency, 4.000%, 11/1/2043, Call 5/1/2023	1,640,000	1,738,810
Vermont Student Assistance Corp.:
5.000%, 6/15/2019 (15)	130,000	142,669
5.000%, 6/15/2020 (15)	125,000	139,510
		2,020,989
Virginia — 0.3%
City of Chesapeake, 5.000%, 7/15/2022	500,000	574,665
Henrico County Economic Development Authority, AGM, 0.334%, 8/23/2027, Call 9/1/2015 (9) (13)	50,000	46,911
Virginia College Building Authority:
5.000%, 3/1/2023, Call 3/1/2020	745,000	859,320
5.000%, 3/1/2024, Call 3/1/2020	1,755,000	2,022,655
Virginia Small Business Financing Authority, 4.250%, 11/1/2021, Call 5/1/2020	1,000,000	1,109,520
		4,613,071
Washington — 1.0%
Chelan County Public Utility District No. 1, NATL-RE, 0.000%, 6/1/2024	210,000	165,814
King County Housing Authority:
5.200%, 5/1/2028, Call 11/1/2018	660,000	718,331
5.500%, 12/1/2028, Call 12/1/2018	1,000,000	1,099,950
King County Public Hospital District No. 2, 5.250%, 12/1/2028, Call 12/1/2020	200,000	231,448
Marysville Local Improvement District:
2.050%, 6/1/2036, Call 6/1/2024	245,000	246,370
3.350%, 6/1/2036, Call 6/1/2024	350,000	352,103
Mason & Kitsap Counties School District No. 403 North Mason, School Bond Gty, 5.000%, 12/1/2035, Call 12/1/2023	2,025,000	2,276,282
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020	1,060,000	1,239,893
Spokane County School District No. 81 Spokane, School Bond Gty, 5.000%, 12/1/2030, Call 12/1/2021	650,000	752,336
State of Washington, 4.100%, 7/1/2022, Call 1/1/2019	440,000	469,154
Washington Health Care Facilities Authority:
0.000%, 12/1/2017 (6) (7)	375,000	350,524
5.000%, 8/15/2020, Call 8/15/2017	4,460,000	4,689,155
5.000%, 2/1/2023, Call 2/1/2021	1,000,000	1,134,440
5.000%, 10/1/2030, Call 10/1/2022	750,000	845,505
Washington State Housing Finance Commission, GNMA/FNMA COLL, 3.500%, 10/1/2022, Call 4/1/2021	510,000	529,380
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL:
3.050%, 6/1/2022 (15)	750,000	767,467
3.050%, 12/1/2022 (15)	200,000	204,970
3.150%, 6/1/2023, Call 12/1/2022 (15)	330,000	334,699
3.150%, 12/1/2023, Call 12/1/2022 (15)	150,000	152,136
3.300%, 6/1/2024, Call 12/1/2022 (15)	20,000	20,025
3.450%, 6/1/2025, Call 12/1/2022 (15)	845,000	865,686
Whidbey Island Public Hospital District:
5.000%, 12/1/2021	520,000	572,265
5.000%, 12/1/2022	510,000	561,296
		18,579,229
West Virginia — 0.5%
Berkeley County Public Service Sewer District, BAM:
4.500%, 10/1/2029, Call 10/1/2023	1,000,000	1,106,870
4.500%, 10/1/2032, Call 10/1/2023	1,220,000	1,331,179
City of Princeton:
4.000%, 5/1/2016	715,000	729,329
5.000%, 5/1/2017	875,000	928,611
West Virginia Hospital Finance Authority, 5.750%, 1/1/2044, Call 1/1/2019	2,500,000	2,879,675
West Virginia Hospital Finance Authority, AMBAC, 5.000%, 6/1/2019, Call 6/1/2016	1,565,000	1,616,050
West Virginia State Hospital Finance Authority, AMBAC, 5.000%, 6/1/2018, Call 6/1/2016	600,000	619,530
		9,211,244
Wisconsin — 3.4%
City of Menasha, 4.400%, 9/1/2017	900,000	900,000
City of Oak Creek, 3.000%, 6/1/2027, Call 6/1/2025	100,000	99,997
Maple School District, 5.000%, 4/1/2022	1,070,000	1,249,674
Monroe Redevelopment Authority, 5.500%, 2/15/2029, Call 2/15/2019	500,000	557,700
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022	800,000	859,960
5.000%, 3/1/2023, Call 9/1/2021	2,000,000	2,323,860

5.000%, 11/1/2025, Call 11/1/2022	3,500,000	4,168,920
5.000%, 5/1/2027, Call 5/1/2022	1,605,000	1,874,415
5.750%, 5/1/2029, Call 5/1/2019	1,155,000	1,327,869
6.000%, 5/1/2033, Call 5/1/2019	1,415,000	1,637,141
6.000%, 5/1/2036, Call 5/1/2019	1,965,000	2,262,128
Wisconsin Center District, AGM:
5.250%, 12/15/2023	520,000	600,018
5.250%, 12/15/2027	1,930,000	2,257,868
Wisconsin Health & Educational Facilities Authority:
4.500%, 10/15/2026, Call 10/15/2021	20,000	21,981
4.750%, 10/15/2029, Call 10/15/2021	605,000	663,745
5.000%, 4/15/2016	1,000,000	1,028,490
5.000%, 8/15/2018	1,000,000	1,103,670
5.000%, 6/1/2019	645,000	679,424
5.000%, 6/1/2019	2,860,000	3,210,865
5.000%, 7/1/2019	990,000	1,091,960
5.000%, 8/15/2019	250,000	281,387
5.000%, 8/15/2019	955,000	1,076,457
5.000%, 8/15/2020	1,060,000	1,217,230
5.000%, 3/1/2021	240,000	269,446
5.000%, 8/15/2021	1,160,000	1,346,516
5.000%, 3/1/2022	205,000	231,351
5.000%, 10/1/2022	750,000	879,952
5.000%, 12/15/2022	500,000	588,935
5.000%, 12/15/2023	500,000	594,630
5.000%, 12/15/2024	500,000	599,760
5.000%, 3/1/2025, Call 3/1/2024	315,000	349,949
5.000%, 6/1/2026, Call 6/1/2020	135,000	152,261
5.000%, 8/15/2027, Call 8/15/2022	500,000	562,640
5.000%, 12/15/2028, Call 12/15/2024	100,000	114,353
5.000%, 8/15/2029, Call 8/15/2022	1,700,000	1,908,437
5.000%, 4/1/2032, Call 10/1/2022	4,560,000	5,069,945
5.000%, 6/1/2032, Call 6/1/2022	1,000,000	1,098,820
5.000%, 8/15/2032, Call 8/15/2022	5,000,000	5,520,700
5.125%, 4/15/2031, Call 4/15/2023	250,000	275,540
5.250%, 8/15/2018, Call 8/15/2016	500,000	518,920
5.250%, 4/1/2023, Call 4/1/2018	365,000	406,256
5.250%, 6/1/2034, Call 6/1/2020	300,000	337,539
5.375%, 8/15/2024, Call 2/15/2020	1,625,000	1,861,860
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021	3,655,000	4,039,214
Wisconsin Housing & Economic Development Authority, 5.750%, 11/1/2025, Call 5/1/2020 (15)	1,605,000	1,733,898
Wisconsin Housing & Economic Development Authority, AGM, 0.110%, 5/1/2043, Call 9/1/2015 (9)	3,165,000	3,165,000
		62,120,681
Wyoming — 0.1%
County of Laramie, 5.000%, 5/1/2027, Call 5/1/2021	1,000,000	1,134,000
Wyoming Municipal Power Agency, Inc., 5.500%, 1/1/2028, Call 1/1/2018	500,000	546,055
		1,680,055
Total Municipals (identified cost $1,715,780,164)		1,762,233,349
Mutual Funds — 0.9%
BlackRock Long-Term Municipal Advantage Trust	121,500	1,329,210
BlackRock Muni Intermediate Duration Fund, Inc.	110,000	1,522,400
BlackRock Municipal Bond Trust	93,400	1,422,482
BlackRock Municipal Income Quality Trust	107,800	1,473,626
BlackRock Municipal Income Trust	107,000	1,461,620
BlackRock MuniHoldings Quality Fund, Inc.	93,400	1,193,652
BlackRock MuniYield Quality Fund, Inc.	105,000	1,603,350
BMO Ultra Short Tax-Free Fund (4)	497,944	5,019,275
Eaton Vance Municipal Income Term Trust	42,000	724,500
Total Mutual Funds (identified cost $15,626,310)		15,750,115

Short-Term Investments — 1.2%
Mutual Funds — 1.1%
BMO Tax-Free Money Market Fund, Class I, 0.040% (4)		19,318,314		19,318,314
Short-Term Municipals — 0.1%
Wisconsin — 0.1%
Grantsburg School District, 1.000%, 10/30/2015	$	2,200,000		2,201,232
Total Short-Term Investments (identified cost $21,519,358)				21,519,546
Total Investments — 99.3% (identified cost $1,752,925,832)				1,799,503,010
Other Assets and Liabilities — 0.7%				13,344,057
Total Net Assets — 100.0%			$	1,812,847,067

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

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. At August 31, 2015, these securities amounted to:

Fund	Amount	% of Total Net Assets
Intermediate Tax-Free Fund	$117,989,643	6.51%

(7) Denotes a restricted security which has been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds.

(9) Denotes a variable or floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2015.

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

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

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

(16) 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.

Report of Independent Registered Public Accounting Firm

The Shareholders and Board of Directors

BMO Funds, Inc.:

We have audited the accompanying statements of assets and liabilities of BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, and BMO Intermediate Tax-Free Fund (each a series of BMO Funds, Inc., collectively referred to as the Funds), including the summary schedules of investments, as of August 31, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended (collectively, the financial statements), the financial highlights for each of the years or periods in the five-year period then ended (the financial statements and financial highlights are included in Item 1 of this Form NCSR), and the schedules of investments in securities as of August 31, 2015 (included in Item 6 of this Form NCSR). These financial statements, financial highlights, and schedules of investments in securities are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements, financial highlights, and schedules of investments in securities based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements, financial highlights, and schedules of investments in securities are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and schedules of investments in securities. Our procedures included confirmation of securities owned as of August 31, 2015, by correspondence with custodians and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements, financial highlights, and schedules of investments in securities referred to above present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2015, and the results of their operations, the changes in their net assets, and the financial highlights for the periods specified in the first paragraph, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Milwaukee, Wisconsin

October 26, 2015

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end management investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service providers.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) (1)	Code of Ethics. Filed herewith.
(a) (2)	Certifications required pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
	Filed herewith.
(a) (3)	Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end management investment companies.
(b)	Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BMO Funds, Inc.

/s/ John M. Blaser            

By: John M. Blaser

President

(Principal Executive Officer)

October 26, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

/s/ John M. Blaser            

By: John M. Blaser

President

(Principal Executive Officer)

October 26, 2015

/s/ Timothy M. Bonin        

By: Timothy M. Bonin

Treasurer

(Principal Financial Officer)

October 26, 2015