BMO Funds, Inc.

N-CSR/A 1 d712789dncsra.htm BMO FUNDS, INC. BMO Funds, Inc.

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, 2018

Item 1. Reports to Stockholders.

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

BMO Funds

August 31, 2018

Annual report

Equity Funds

International & Global Funds

Alternative Funds

Fixed Income Funds

Money Market Funds

LOGO

Table of Contents


Commentaries (Unaudited)

Equity Funds:		Fixed Income Funds:
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 Strategic Income Fund	21
BMO Mid-Cap Growth Fund	7	BMO TCH Corporate Income Fund	22
BMO Small-Cap Value Fund	8	BMO TCH Core Plus Bond Fund	23
BMO Small-Cap Core Fund	9	BMO High Yield Bond Fund	24
BMO Small-Cap Growth Fund	10	Money Market Funds:
International and Global Funds:		BMO Government Money Market Fund	25
BMO Global Low Volatility Equity Fund	11	BMO Tax-Free Money Market Fund	26
BMO Disciplined International Equity Fund	12	BMO Prime Money Market Fund	27
BMO Pyrford International Stock Fund	13	BMO Institutional Prime Money Market Fund	28
BMO LGM Emerging Markets Equity Fund	14	Explanation of the Indices and Notes in the Commentary	29
Alternative Funds:		Explanation of the Indices and Notes in the Commentary	29
BMO Alternative Strategies Fund	15
BMO Global Long/Short Equity Fund	16

Financial Information

Expense Example (Unaudited)			33

Schedules of Investments:

Equity Funds:		Fixed Income Funds:
BMO Low Volatility Equity Fund	36	BMO Ultra Short Tax-Free Fund	70
BMO Dividend Income Fund	38	BMO Short Tax-Free Fund	72
BMO Large-Cap Value Fund	39	BMO Short-Term Income Fund	75
BMO Large-Cap Growth Fund	41	BMO Intermediate Tax-Free Fund	80
BMO Mid-Cap Value Fund	43	BMO Strategic Income Fund	83
BMO Mid-Cap Growth Fund	44	BMO TCH Corporate Income Fund	86
BMO Small-Cap Value Fund	46	BMO TCH Core Plus Bond Fund	90
BMO Small-Cap Core Fund	49	BMO High Yield Bond Fund	93
BMO Small Cap Growth Fund	51	Money Market Funds:
International and Global Funds:		BMO Government Money Market Fund	96
BMO Global Low Volatility Equity Fund	53	BMO Tax-Free Money Market Fund	98
BMO Disciplined International Equity Fund	56	BMO Prime Money Market Fund	100
BMO Pyrford International Stock Fund	58	BMO Institutional Prime Money Market Fund	103
BMO LGM Emerging Markets Equity Fund	59
Alternative Funds:
BMO Alternative Strategies Fund	60
BMO Global Long/Short Equity Fund	67

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			139

Results of the Special Meetings of Shareholders *(Unaudited)*			169

Report of Independent Registered Public Accounting Firm			170

Directors and Officers of the Funds *(Unaudited)*			171

Shareholder Report Disclosure of Directors’ Approval of Continuation of Contracts *(Unaudited)*			173


Not FDIC Insured		No Bank Guarantee		May Lose Value



Annual Report		BMO Low Volatility Equity Fund


Average annual total returns (%)
	1-year		5-years		Since inception
Advisor Class (A) NAV		13.96		—		9.91
Advisor Class (A) OFFER		8.23		—		8.59
Institutional Class (I)		14.12		11.76		12.21
Russell 1000^® Index		19.82		14.37		14.97
Lipper U.S. Multi-Cap Core Funds Index		18.81		12.65		13.76

*	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.

Commentary

The BMO Low Volatility Equity Fund (the Fund) returned 14.12% for the fiscal year ended August 31, 2018 versus the Russell 1000 Index and the Lipper U.S. Multi-Cap Core Funds Index, which returned 19.82% and 18.81%, respectively.

Global equities posted double digit gains over the 12 month period, led by strong returns in the U.S., while Emerging Market equities lagged. Stock returns have been largely supported by strong corporate earnings and a resilient global economy, despite the emergence of several geopolitical and policy-related risks. During the period, companies with higher sales and earnings growth continued to outperform, while more attractively valued securities in the global market have been some of the worst performers. In fact, the recent underperformance of value investing is comparable only to the 1990s tech bubble. After a remarkable stretch of underperformance in the year prior, smaller companies in the market outpaced their larger counterparts, driven mostly by a strong domestic economy and ongoing trade war rhetoric between the U.S. and China. With more revenue being sourced from the U.S. economy, investors favored domestically-oriented small cap companies over larger multinationals. Finally, as interest rates increased during the period, defensive “bond proxy” stocks in sectors such as Utilities, Telecommunications, and Consumer Staples underperformed. In conjunction with a recovery in crude oil prices, higher risk stocks in the market outpaced lower risk stocks.

Consistent with our long term objective, the Fund provided upside participation during another positive year for equities, while offering downside risk mitigation during periods of heighted volatility. Our emphasis on stocks with attractive valuations detracted from returns, as investors favored more expensive companies particularly in more growth-oriented areas of the market such as Information Technology. Our focus on risk reduction was a detractor as higher risk stocks were some of the best performers in the U.S. large cap market over the period. This factor was evident at the sector level where overweights in more defensive sectors like Consumer Staples and Utilities detracted from returns. On the other hand, an underweight to Materials and Industrials contributed positively to performance over the period. By security, Costco Wholesale Corporation (2.1% of the Fund, +50.37%) and Morningstar Inc. (1.2% of the Fund, +73.78%) contributed positively to performance, while Edison International (0.0% of the Fund, -19.82%) and Everest Re Group Ltd. (2.0% of the Fund, -9.74%) were top detractors.

As we look ahead, the fundamental landscape supporting global equities remains strong despite the increased market volatility. While corporate earnings could continue to benefit from accelerating global economic growth and accommodative tax policy, the threat of trade wars, geopolitical tensions, and inflationary pressures from rising commodity prices could cause markets to react negatively. In addition, elevated volatility and multiyear-low stock correlations create opportunities for active stock selection. Accordingly, we have positioned the Fund to participate in up markets, while managing downside risks through a combination of disciplined stock selection and thoughtful risk management.

Fund Managers; Investment Experience

David A. Corris, CFA; since 1999

Jason C. Hans, 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)

BLVAX

09658W105

5/27/2014

1.03

0.90

Institutional (I)

MLVEX

09658L208

9/28/2012

0.78

0.65

The above expense ratios are from the Funds’ Prospectus dated December 29, 2017, and are inclusive of Acquired Fund Fees and Expenses. See Note 6 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, 2019 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 sector allocation
Sector	Fund (%)
Consumer Discretionary		14.2
Consumer Staples		14.5
Energy		4.9
Financials		14.2
Healthcare		17.3
Industrials		7.0
Information Technology		7.4
Materials		0.6
Real Estate		7.8
Telecommunication Services		0.4
Utilities		10.3
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, 2018 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 Indices 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, 2008 to August 31, 2018.



Annual Report		BMO Dividend Income Fund


Average annual total returns (%)
	1-year		5-years		Since inception
Advisor Class (A) NAV		21.90		—		11.61
Advisor Class (A) OFFER		15.83		—		10.28
Institutional Class (I)		22.17		13.54		14.11
Russell 1000^® Value Index		12.47		11.22		13.58
Standard & Poor’s 500^® Index		19.66		14.52		15.67
Lipper Equity Income Funds Index		13.47		10.87		12.39

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Dividend Income Fund (the Fund) returned 22.17% for the fiscal year ended August 31, 2018 versus the Russell 1000^® Value Index, the Standard & Poor’s 500^® Index and the Lipper Equity Income Funds Index, which returned 12.47%, 19.66% and 13.47%, respectively.

Taxes, trade, and interest rates were some of the primary influences of the market environment during the 2018 fiscal year. The 2017 tax reform package significantly boosted corporate earnings during the year. Forced repatriation also facilitated corporate stock buybacks. On trade, news on NAFTA and tariffs with the EU and China caused investor concern that negatively affected Industrial stocks. Finally, the steady increase in interest rates hurt bond-proxy sectors (e.g. Real Estate and Utilities) and helped Financials.

The Fund’s performance was hampered by our sector allocation as we were underweight cyclical sectors like Information Technology and Consumer Discretionary, while we were overweight defensive sectors like Real Estate, Telecom, and Utilities. Our sector allocation is partially a result of the Fund’s yield mandate. Defensive sectors typically have many stocks with above average yields, while higher growth sectors like Information Technology and Consumer Discretionary have been dominated by stocks with low or no dividend yield.

The Fund benefited from strong stock selection within the Industrial and Consumer Staples sectors. Boeing (2.0% of the Fund, +46.0% return) benefited from global growth and has seen demand for its airplanes grow. Investors have been attracted to the company’s cash flow generation and healthy capital return growth. Sysco (2.3% of the Fund, +45.4% return) benefited from strong industry dynamics, resulting in a string of positive revenue and earnings surprises.

Heading into fiscal year 2019, we believe several themes exist that will influence equity markets. From a policy standpoint, we believe investor sentiment will be influenced by the outcome of the November elections and any developments around trade. We expect corporate earnings will continue to benefit from tax reform and repatriation. Finally, the actions of the Federal Reserve will likely play an important role in the markets over the coming year. Accordingly, we have positioned the Fund to participate in appreciating markets while managing downside risks.

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

1.08

0.90

Institutional (I)

MDIVX

09658L604

12/29/2011

0.83

0.65


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		9.1
Consumer Staples		6.3
Energy		9.1
Financials		14.4
Healthcare		11.4
Industrials		6.0
Information Technology		21.4
Materials		2.7
Real Estate		5.8
Telecommunication Services		4.3
Utilities		7.0
Other Assets & Liabilities, Net		2.5
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Large-Cap Value Fund


Average annual total returns (%)
	1-year		5-years		10-years		Since inception
Advisor Class (A) NAV		15.57		—		—		9.20
Advisor Class (A) OFFER		9.82						7.90
Institutional Class (I)		15.83		12.09		—		7.44
Retirement Class (R-6)		16.07		—		—		12.85
Russell 1000^® Value Index		12.47		11.22		8.93		—
Lipper U.S. Multi-Cap Value Funds Index		11.28		10.09		8.37		—

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Large-Cap Value Fund (the Fund) returned 15.83% for the fiscal year ended August 31, 2018 versus the Russell 1000^® Value Index and the Lipper U.S. Multi-Cap Value Funds Index, which returned 12.47% and 11.28%, respectively.

Over the 12-month period, the Fund outperformed its benchmark, primarily driven by strong performance of attractively valued companies with improving fundamentals. Additionally, both sector allocation and stock selection contributed positively to performance. The Fund’s underweight position to Consumer Staples and Telecommunications added to performance, while the Fund’s overweight to Industrials and underweight allocation to Information Technology detracted. Stock selection was strongest in Energy and Industrials and weakest in Financials and Materials. By security, top contributors to the Fund’s performance included Valero Energy Corp. (2.2% of the Fund, +78.61%) and F5 Networks Inc. (1.9% of the Fund, +58.42%). Top detractors included Owens Corning (1.0% of the Fund, -22.80%) and Unum Group (1.1% of the Fund, -21.92%).

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)

BALVX

09658W303

5/27/2014

0.88

0.80

Institutional (I)

MLVIX

09658L844

1/31/2008

0.63

0.55

Retirement (R-6)

BLCRX

09658W568

12/28/2015

0.48

0.40


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		9.4
Consumer Staples		4.6
Energy		10.5
Financials		20.9
Healthcare		15.3
Industrials		7.8
Information Technology		9.9
Materials		3.6
Real Estate		7.3
Utilities		8.5
Other Assets & Liabilities, Net		2.2
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices 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 and Retirement R-6 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, 2008 to August 31, 2018.



Annual Report		BMO Large-Cap Growth Fund


Average annual total returns (%)
	1-year		5-years		10-years		Since inception
Investor Class (Y)		26.78		18.34		12.38		8.47
Advisor Class (A) NAV		26.84		—		—		16.27
Advisor Class (A) OFFER		20.49		—		—		14.89
Institutional Class (I)		27.19		18.64		—		11.81
Retirement Class (R-6)		27.36		—		—		20.01
Russell 1000^® Growth Index		27.23		17.47		12.85		—
Lipper U.S. Multi-Cap Growth Funds Index		24.61		15.22		11.43		—

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Large-Cap Growth Fund (the Fund) returned 27.19% for the fiscal year ended August 31, 2018 versus the Russell 1000^® Growth Index and the Lipper U.S. Multi-Cap Growth Funds Index, which returned 27.23% and 24.61%, respectively.

Global equities posted double digit gains over the 12 month period, led by strong returns in the U.S., while Emerging Market equities lagged. Stock returns have been largely supported by strong corporate earnings and a resilient global economy, despite the emergence of several geopolitical and policy-related risks. During the period, companies with higher sales and earnings growth continued to outperform, while more attractively valued securities in the global market have been some of the worst performers. In fact, the recent underperformance of value investing is comparable only to the 1990s tech bubble. After a remarkable stretch of underperformance in the year prior, smaller companies in the market outpaced their larger counterparts, driven mostly by a strong domestic economy and ongoing trade war rhetoric between the and China. With more revenue being sourced from the U.S. economy, investors favored domestically-oriented small cap companies over larger multinationals. Finally, as interest rates increased during the period, defensive “bond proxy” stocks in sectors such as Utilities, Telecommunications, and Consumer Staples underperformed. In conjunction with a recovery in crude oil prices, higher risk stocks in the market outpaced lower risk stocks.

Over the 12-month period, fundamentally strong companies with positive investor interest contributed favorably to the Fund’s performance, while poor performance of attractively valued stocks detracted from returns. Additionally, the Fund’s performance was enhanced by strong stock selection, as sector allocation was a modest detractor to returns. The Fund’s underweight allocation to Telecommunications and Consumer Staples added to performance, while an overweight position in Real Estate and Health Care detracted. Stock selection was particularly strong in Information Technology and Consumer Staples while selection in Materials and Real Estate detracted from performance. By security, top contributors included Align Technology Inc. (0.0% of the Fund, +118.68%) and Fortinet Inc. (2.0% of the Fund, +94.71%) while Celgene Corporation (2.2% of the Fund, -32.02%) and Owens Corning (0.0% of the Fund, -26.89%) were top detractors during the period.

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

0.88

0.79

Advisor (A)

BALGX

09658W402

5/27/2014

0.88

0.79

Institutional (I)

MLCIX

09658L752

1/31/2008

0.63

0.54

Retirement (R-6)

BLGRX

09658W576

12/28/2015

0.48

0.39


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		16.1
Consumer Staples		3.7
Energy		2.0
Financials		6.4
Healthcare		13.4
Industrials		10.7
Information Technology		40.7
Materials		1.9
Real Estate		3.4
Other Assets & Liabilities, Net		1.7
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices 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 and Retirement R-6 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, 2008 to August 31, 2018.



Annual Report		BMO Mid-Cap Value Fund


Average annual total returns (%)
	1-year		5-years		10-years		Since inception
Advisor Class (A) NAV		10.89		—		—		7.79
Advisor Class (A) OFFER		5.32		—		—		6.51
Institutional Class (I)		11.21		10.33		—		8.91
Retirement Class (R-6)		11.41		—		—		8.22
Russell Midcap^® Value Index		12.67		11.81		10.33		—
Lipper U.S. Mid-Cap Value Funds Index		12.86		10.22		9.36		—

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Mid-Cap Value Fund (the Fund) returned 11.21% for the fiscal year ended August 31, 2018 versus the Russell Mid-Cap^® Value Index and the Lipper U.S. Mid-Cap Value Funds Index, which returned 12.67% and 12.86%, respectively.

Over the 12-month period, fundamentally strong companies with positive investor interest contributed to the Fund’s performance. Conversely, our focus on stocks with attractive valuations was less effective as more expensive companies were in favor. Strong stock selection enhanced the Fund’s performance while sector allocation detracted from returns. The Fund’s underweight allocation to Real Estate contributed to performance, but was offset by our underweight to Financials. Stock selection was particularly strong in Healthcare and Consumer Discretionary, while selection in Information Technology and Materials detracted. By security, top contributors included Kohl’s Corporation (1.9% of the Fund, +107.44%) and Valero Energy Corp. (0.0% of the Fund, +78.61%) while Owens Corning (0.0% of the Fund, -22.80%) and Unum Group (1.1% of the Fund, -21.92%) were top detractors during the period.

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)

BAMCX

09658W501

5/27/2014

1.27

1.25

Institutional (I)

MRVIX

09658L711

1/31/2008

1.02

1.00

Retirement (R-6)

BMVGX

09658V438

5/27/2014

0.87

0.85


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		12.3
Consumer Staples		3.4
Energy		6.6
Financials		18.1
Healthcare		7.7
Industrials		10.8
Information Technology		10.4
Materials		5.7
Real Estate		13.9
Utilities		9.8
Other Assets & Liabilities, Net		1.3
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices 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 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, 2008 to August 31, 2018.



Annual Report		BMO Mid-Cap Growth Fund


Average annual total returns (%)
	1-year		5-years		10-years		Since inception
Advisor Class (A) NAV		29.40		—		—		9.43
Advisor Class (A) OFFER		22.92		—		—		8.13
Institutional Class (I)		29.76		11.14		—		9.44
Retirement Class (R-6)		29.96		—		—		9.88
Russell Midcap^® Growth Index		25.06		14.19		11.64		—
Lipper U.S. Mid-Cap Growth Funds Index		25.84		13.63		10.72		—

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Mid-Cap Growth Fund (the Fund) returned 29.76% for the fiscal year ended August 31, 2018 versus the Russell Mid-Cap^® Growth Index and the Lipper U.S. Mid-Cap Growth Funds Index, which returned 25.06% and 25.84%, respectively.

Over the 12-month period, our preference for companies with positive or improving investor interest contributed favorably to the Fund’s performance. Additionally, our focus on fundamentals was rewarded as high-quality companies outperformed lower quality counterparts. The Fund’s performance also was enhanced by strong stock selection, while sector allocation was a modest detractor to returns. The Fund’s slight underweight position in Materials and Consumer Staples added to performance, while an overweight position in Real Estate detracted. Stock selection was particularly strong in Healthcare and Information Technology while selection in Consumer Discretionary and Real Estate detracted from performance. By security, Fortinet Inc. (1.9% of the Fund, +119.27%) and Bioverativ Inc. (0.0% of the Fund, +106.04%) and were top contributors, while Skechers U.S.A. Inc. (1.4% of the Fund, -27.96%) and Owens-Illinois Inc. (0.0% of the Fund, -26.04%) were top detractors.

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)

BGMAX

09658W600

5/27/2014

1.38

1.25

Institutional (I)

MRMIX

09658L737

1/31/2008

1.13

1.00

Retirement (R-6)

BMGGX

09658V412

5/27/2014

0.98

0.85


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		15.9
Consumer Staples		2.9
Energy		2.9
Financials		7.0
Healthcare		17.0
Industrials		15.5
Information Technology		31.1
Materials		3.0
Real Estate		3.5
Other Assets & Liabilities, Net		1.2
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices 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 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, 2008 to August 31, 2018.



Annual Report		BMO Small-Cap Value Fund


Average annual total returns (%)
	1-year		5-years		Since inception
Advisor Class (A) NAV		20.32		—		8.27
Advisor Class (A) OFFER		14.31		—		6.97
Institutional Class (I)		20.67		10.13		11.56
Retirement Class (R-6)		20.89		—		8.73
Russell 2000^® Value Index		20.05		11.72		10.72
Lipper U.S. Small-Cap Core Funds Index		23.40		12.36		11.38

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Small-Cap Value Fund (the Fund) returned 20.67% for the fiscal year ended August 31, 2018 versus the Russell 2000^® Value Index and the Lipper U.S. Small-Cap Core Funds Index, which returned 20.05% and 23.40%, respectively.

Over the 12-month period, strong performance from fundamentals contributed positively to performance, while our preference for companies with attractive valuations and positive investor interest was less effective. At the sector level, our overweight position in Healthcare and Industrials added to performance, while an overweight to Materials modestly detracted. Stock selection was strongest in Consumer Discretionary and Information Technology and weakest in Energy and Financials. By security, top contributors included Integer Holdings Corporation (1.1% of the Fund, +73.88%) and Enanta Pharmaceuticals Inc. (0.0% of the Fund, +112.16%) while Benchmark Electronics Inc. (0.5% of the Fund, -19.64%) and Hilltop Holdings Inc. (0.9% of the Fund, -11.29%) were top detractors for the period.

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)

BACVX

09658W709

5/27/2014

1.49

1.24

Institutional (I)

MRSNX

09658L596

2/28/2011

1.24

0.99

Retirement (R-6)

BSVGX

09658V388

5/27/2014

1.09

0.84


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		8.7
Consumer Staples		0.9
Energy		7.1
Financials		25.7
Healthcare		8.5
Industrials		12.3
Information Technology		12.4
Materials		6.1
Real Estate		8.8
Telecommunication Services		1.1
Utilities		6.5
Other Assets & Liabilities, Net		1.9
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices 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 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, 2008 to August 31, 2018.



Annual Report		BMO Small-Cap Core Fund


Average annual total returns (%)
	1-year		Since inception
Advisor Class (A) NAV		21.20		12.09
Advisor Class (A) OFFER		15.11		10.76
Institutional Class (I)		21.46		11.43
Russell 2000^® Index		25.45		10.52
Lipper U.S. Small-Cap Core Funds Index		23.40		9.95

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Small-Cap Core Fund (the Fund) returned 21.46% for the fiscal year ended August 31, 2018 versus the Russell 2000^® Index and the Lipper U.S. Small-Cap Core Funds Index, which returned 25.45% and 23.40%, respectively.

Over the 12-month period, fundamentally strong companies with positive investor interest contributed favorably to the Fund’s performance, while poor performance of attractively valued stocks detracted from returns. The Fund’s underperformance was primarily driven by poor stock selection as sector allocation contributed modestly to returns. At the sector level, our overweight allocation to Healthcare and underweight to Real Estate added to performance, while a slight underweight to Consumer Discretionary detracted. Stock selection was particularly strong in Consumer Discretionary and weakest in Healthcare and Information Technology. By security, top performing contributors included Inogen Inc. (0.8% of the Fund, +176.52%) and BJ Restaurants Inc. (0.0% of the Fund, +153.97%) while OraSure Technologies Inc. (0.5% of the Fund, -21.56%) and Big Lots Inc. (0.0% of the Fund, -7.37%) detracted from returns.

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

1.83

1.15

Institutional (I)

BSCNX

09658V537

12/27/2013

1.58

0.90


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		12.8
Consumer Staples		0.9
Energy		4.7
Financials		15.6
Healthcare		19.3
Industrials		13.6
Information Technology		18.1
Materials		4.0
Real Estate		5.3
Telecommunication Services		1.2
Utilities		2.7
Other Assets & Liabilities, Net		1.8
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Small-Cap Growth Fund


Average annual total returns (%)
	1-year		5-years		10-years		Since inception
Advisor Class (A) NAV		31.55		—		—		27.71
Advisor Class (A) OFFER		24.95		—		—		22.57
Institutional Class (I)		31.83		10.44		—		10.49
Russell 2000^® Growth Index		30.72		14.20		11.57		—
Lipper U.S. Small-Cap Growth Funds Index		36.02		13.94		11.45		—

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Small-Cap Growth Fund (the Fund) returned 31.83% for the fiscal year ended August 31, 2018 versus the Russell 2000^® Growth Index and the Lipper U.S. Small-Cap Growth Funds Index, which returned 30.72% and 36.02%, respectively.

Over the 12-month period, fundamentally strong companies with positive investor interest contributed favorably to the Fund’s performance, while poor performance of attractively valued stocks detracted from returns. At the sector level, our overweight allocation to Information Technology and modest underweight to Real Estate added to performance, while an overweight position in Materials and Utilities detracted from returns. Stock selection was particularly strong in Industrials and and weakest in Healthcare. By security, top performing contributors included Insperity Inc. (1.3% of the Fund, +207.14%) and Inogen Inc. (1.0% of the Fund, +176.52%) while Versartis Inc. (0.0% of the Fund, -86.32%) and Extreme Networks Inc. (0.0% of the Fund, -45.14%) were top detractors for the period.

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)

BSLAX

09658V339

5/31/2017

1.25

Institutional (I)

MSGIX

09658L620

1/31/2008

1.00


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		12.1
Consumer Staples		2.5
Energy		2.4
Financials		5.1
Healthcare		27.3
Industrials		18.9
Information Technology		21.6
Materials		5.5
Real Estate		2.7
Telecommunication Services		0.9
Other Assets & Liabilities, Net		1.0
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Global Low Volatility Equity Fund


Average annual total returns (%)
	1-year		Since inception
Advisor Class (A) NAV		10.21		7.38
Advisor Class (A) OFFER		4.72		6.08
Institutional Class (I)		10.44		8.94
Morgan Stanley Capital International All Country World Index (Gross Div)		11.41		8.72
Lipper Global Multi-Cap Value Funds Index		7.34		6.53

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

Commentary

The BMO Global Low Volatility Equity Fund (the Fund) returned 10.44% for the fiscal year ended August 31, 2018 versus the Morgan Stanley Capital International All Country World Index (Gross Div) and the Lipper Global Multi-Cap Value Funds Index, which returned 11.41% and 7.34%, respectively.

Consistent with our long term objective, the Fund provided upside participation during another positive year for equities, while offering downside risk mitigation during periods of heightened volatility. Our emphasis on stocks with attractive valuations detracted from returns, as investors favored more expensive growth companies. This factor was evident at the sector level with an underweight in Information Technology being the leading detractor during the period. Our sector positioning reflects our emphasis on risk reduction with significant weights in defensive sectors like Consumer Staples and Utilities, which detracted from returns, as investors favored higher risk stocks during the period. By security, Chemed Corporation (1.2% of the Fund, +64.66%) and Keurig Dr Pepper Inc. (0.0% of the Fund, +34.06%) contributed positively to performance, while Thai Beverage Public Co. Ltd. (0.7% of the Fund, -31.91%) and Owens & Minor Inc. (0.0% of the Fund, -22.89%) were top detractors.

Fund Managers; Investment Experience

Jay Kaufman, CFA; since 2006

Ernesto Ramos, Ph.D.; since 1988

David Rosenblatt, CFA; since 2007

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BAEGX

09658W873

5/27/2014

1.52

1.10

Institutional (I)

BGLBX

09658V768

9/30/2013

1.27

0.85


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		7.8
Consumer Staples		11.8
Energy		2.9
Financials		18.0
Healthcare		16.8
Industrials		6.7
Information Technology		3.5
Materials		0.6
Real Estate		6.4
Telecommunication Services		6.1
Utilities		18.4
Other Assets & Liabilities, Net		1.0
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Disciplined International Equity Fund


Average annual total returns (%)
	1-year			Since inception
Advisor Class (A) NAV		(0.15	)		4.69
Advisor Class (A) OFFER		(5.16	)		2.88
Institutional Class (I)		0.05			4.93
Morgan Stanley Capital International Europe, Australasia, Far East (Gross Div)		4.39			7.60
Lipper International Multi-Cap Core Funds Index		3.74			14.02

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Disciplined International Equity Fund (the Fund) returned 0.05% for the fiscal year ended August 31, 2018 versus the Morgan Stanley Capital International Europe, Australasia, Far East Index (Gross Div) and the Lipper International Multi-Cap Core Funds Index, which returned 4.39% and 3.74%, respectively.

Our focus on stocks with attractive valuations detracted from returns as more expensive stocks were in favor during the period. However, weak performance from valuation factors was partially offset by our emphasis on companies with strong fundamental characteristics as investors preferred higher-quality companies given elevated volatility. Sector allocation and stock selection were negative during the period. The Fund’s underweight position in Energy detracted from returns, while overweight positions in Information Technology and Healthcare modestly contributed. In terms of country weights, an underweight position in Spain added to performance while an underweight position in Japan detracted. Stock selection was strongest in Materials and weakest in Industrials. By security, UPM-Kymmene Oyj (2.8% of the Fund, +54.57%) and Seagate Technology PLC (0.0% of the Fund, +79.50%) added to the Fund’s performance, while Fortescue Metals Group Ltd. (1.5% of the Fund, -36.01%) and Nordea Bank AB (0.0% of the Fund, -15.05%) detracted from returns.

Fund Managers; Investment Experience

Jay Kaufman, CFA; since 2006

Ernesto Ramos, Ph.D.; since 1988

David Rosenblatt, CFA; since 2007

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BDAQX

09658W667

9/17/2015

1.39

1.15

Institutional (I)

BDIQX

09658W659

9/17/2015

1.14

0.90


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		13.1
Consumer Staples		7.2
Energy		4.2
Financials		19.2
Healthcare		12.7
Industrials		12.3
Information Technology		7.3
Materials		11.9
Real Estate		1.8
Telecommunication Services		2.4
Utilities		2.3
Other Assets & Liabilities, Net		5.6
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Pyrford International Stock Fund


Average annual total returns (%)
	1-year			5-years		Since inception
Advisor Class (A) NAV		2.05			—		1.69
Advisor Class (A) OFFER		(3.03	)		—		0.48
Institutional Class (I)		2.34			4.39		6.69
Class F-3		2.55			—		2.10
Retirement Class (R-6)		2.55			—		2.12
Morgan Stanley Capital International Europe, Australasia, Far East Index		4.39			5.73		8.27
Lipper International Multi-Cap Core Funds Index		3.74			5.79		8.22

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Pyrford International Stock Fund (the Fund) returned 2.34% for the fiscal year ended August 31, 2018 versus the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East Index (EAFE) and the Lipper International Multi-Cap Core Funds Index, which returned 4.39% and 3.74%, respectively.

Given the market backdrop and our focus on not overpaying for earnings meant we lagged a steadily rising market over the first half of the period. Moreover, international equities have recently been driven more by momentum than fundamentals of value and quality meaning some of the names in the higher yielding, defensive sectors we own have lagged. We maintained 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.

Relative underperformance was predominantly driven by Asia Pacific as our underweight to Japan and the Japanese Yen detracted. Our underweight is based on the burdensome debt level in Japan combined with the soft economic growth. However, ETF buying measures by the Bank of Japan have provided support for the equity market. On the positive side, Australia stock selection performed well led by a rebound in companies with an exposure to the U.S. market and higher rates. Following the selloff in the Malaysian Ringgit after the unexpected election result in May, the market and the currency have recovered to add further to relative returns.

Avoiding peripheral EU banks provided a tailwind for performance in Europe as they underperformed. Peripheral EU banks continue to focus on recapitalising balance sheets to improve asset quality with little signs of a meaningful dividend being paid in the near term. Our UK utility holdings struggled due to heightened political risk and as the market penalised more defensive, higher yielding names. One concern is that the regulator will not offer as favorable a debt allowance; we reduced our UK utility exposure over Q1 2018 to reflect such concerns.

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

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BPIAX

09658W840

5/27/2014

1.30

1.19

Institutional (I)

MISNX

09658L513

12/29/2011

1.05

0.94

Retirement (R-6)

BISGX

09658V362

5/27/2014

0.90

0.79

Class F-3

BISBX

09658V321

5/31/2017

0.90

0.79


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		3.7
Consumer Staples		15.8
Energy		7.6
Financials		9.4
Healthcare		10.5
Industrials		21.1
Information Technology		6.0
Materials		5.9
Telecommunication Services		11.8
Utilities		4.7
Other Assets & Liabilities, Net		3.5
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices 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-6 and Class F-3 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, 2008 to August 31, 2018.



Annual Report		BMO LGM Emerging Markets Equity Fund


Average annual total returns (%)
	1-year			5-years		Since inception
Advisor Class (A) NAV		0.69			—		4.43
Advisor Class (A) OFFER		(4.35	)		—		3.18
Institutional Class (I)		0.92			6.11		8.78
Morgan Stanley Capital International Emerging Markets Index		(0.68	)		5.04		9.45
Lipper Emerging Markets Funds Index		(2.36	)		4.90		9.43

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

Commentary

The BMO LGM Emerging Markets Equity Fund (the Fund) returned 0.92% for the fiscal year ended August 31, 2018 versus the Morgan Stanley Capital International Emerging Markets Index and the Lipper Emerging Markets Funds Index, which returned -0.68% and -2.36%, respectively.

Emerging market equities lost ground over the twelve-month period as earlier gains, on the back of continuing economic growth, were overtaken by escalating trade disputes between the U.S. and its trading partners. An eruption of currency crises also occurred where government mismanagement left countries vulnerable to the rise of U.S. interest rates and the dollar. This effect occurred in Turkey (-56.4%) and Argentina (-43.8%), despite the latter’s more recent attempts at reform. However, certain markets outperformed, including Russia helped by a rally in the price of oil, and Malaysia which saw a change of government promising better economic management. Overall, the asset class underperformed developed market equites.

Relative performance was supported by exposures in South Africa, Hong Kong/China, and Mexico while alpha was lost mainly in the Fund’s exposures in Russia (costing 2% alpha alone), Turkey and Malaysia. The Fund’s South African exposures returned on average 14.7% in the period. Returns were supported by improving fundamentals of the underlying holdings while the positive political change at the end of 2017 also saw the currency materially appreciate. This currency gain has reversed in 2018 as sentiment soured somewhat. Mr. Price (+13%, 3.1% of the Fund), which is an apparel retailer was the standout performer.

In China, Foshan Haitian (+64%, 0.5% of the Fund) was the strongest contributor in the period. Foshan is China’s largest condiments producer. They delivered impressively throughout the period and we have been impressed with the management team and their focus on value creation.

Magnit (-44%, 4% of the Fund), a major retailer in Russia, was the primary underperformer. Magnit was added during the period as the stock was correcting after a period of sustained poor reported financials. The company also went through a change in ownership in early 2018, where the owner/CEO was bought out by VTB Bank. This change was not well communicated and further weakness in the stock followed. While sentiment remains negative, their market position has, in our view, not been eroded to a level justifying the current valuation. They have installed strong management and a professional board in the past six months and they have announced an ambitious plan to regain their best in class position.

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

LGM Investments Limited

Fund Managers; Investment Experience

Damian Bird, CFA; since 2008

Irina Hunter; since 1994

Rishikesh Patel; since 2003

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BAEMX

09658W824

5/27/2014

1.63

1.40

Institutional (I)

MIEMX

09658L489

12/22/2008

1.38

1.15


Portfolio sector allocation
Sector	Fund (%)
Consumer Discretionary		14.9
Consumer Staples		48.1
Financials		29.6
Healthcare		1.0
Information Technology		1.9
Utilities		1.2
Other Assets & Liabilities, Net		3.3
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Alternative Strategies Fund


Average annual total returns (%)
	1-year			Since inception
Advisor Class (A) NAV		(3.53	)		1.22
Advisor Class (A) OFFER		(8.39	)		(0.18	)
Institutional Class (I)		(3.31	)		1.48
Bank of America Merrill Lynch 3-Month T-Bill Index		1.52			0.61
HFRX Global Hedge Fund Index		1.54			1.58
Lipper Alternative Multi-Strategy Funds Index		0.78			1.42

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Alternative Strategies Fund (the Fund) returned -3.31% for the fiscal year ended August 31, 2018 versus the HFRX Global Hedge Fund Index and the Bank of America Merrill Lynch 3-Month T-Bill Index which returned 1.54% and 1.52%, respectively.

Losses primarily came from our global macro strategy, relative value strategy and portfolio hedge, while equity long short strategies were positive. The systematic macro strategy struggled to find trends in a relatively choppy market. For example, the 10 year Treasury yield traded within a very tight 0.2% band for the entire month of June, July, and August. The options relative value strategy struggled particularly in February when markets significantly sold off and volatility spiked. Equity long short strategies were positive due to strong equity markets but returns were largely underwhelming and below our expectations. Two of the equity long short strategies struggled due to a strong tilt towards value companies, which significantly underperformed high-flying growth stocks over the year.

Looking forward, all eyes are turned towards the Fed as the market attempts to glean its path forward. The U.S. economy has proven resilient to the recent rate hikes but the Fed is approaching the rate level they estimate could provide a drag on growth. More importantly, economies abroad have suffered due to secondary effects from higher U.S. rates such as the strong dollar and increased borrowing costs. International central banks such as the European Central Bank and Bank of Japan have the unenviable task of gradually shifting away from highly stimulative policy without upending markets. The success of these central banks in this endeavor along with the Fed’s policy path will help dictate the trajectory for the market over the coming year.

Investment Adviser:

BMO Asset Management Corp.

Sub-advisers:

CTC myCFO, LLC

Cramer Rosenthan McGlynn, LLC

Graham Capital Management, L.P.

Iridian Asset Management LLC

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BMATX

09658W683

12/16/2014

3.54

2.84

Institutional (I)

BMASX

09658W675

12/16/2014

3.29

2.59


Portfolio sector allocation
Sector	Fund (%)
	Short			Long
Common Stocks Sold Short or Purchased Long
Consumer Discretionary		(5.4	)		7.7
Consumer Staples		(3.3	)		4.8
Energy		(0.3	)		2.3
Financials		(2.3	)		7.2
Healthcare		(0.6	)		11.3
Industrials		(5.6	)		10.9
Information Technology		(2.5	)		9.7
Materials		(2.2	)		9.1
Real Estate		(1.2	)		3.7
Telecommunication Services		(0.2	)		1.0
Utilities		—			0.9

Total Common Stocks		(23.6	)		68.6
Total Common Stocks Sold Short					(23.6	)

Total Net Sold Short and Purchased Long Common Stocks					45.0
Other Investments Purchased Long*					0.2
Other Investments Sold Short*					(2.3	)
Short-Term Investments					33.5
Other Assets & Liabilities					23.6
Total					100.0

*	See Schedules of Investments for additional detail on investment type.

Growth of an assumed $10,000 investment



Annual Report		BMO Global Long/Short Equity Fund


Average annual total returns (%)
	1-year			Since inception
Advisor Class (A) NAV		1.61			8.02
Advisor Class (A) OFFER		(3.45	)		6.15
Institutional Class (I)		1.91			8.30
Morgan Stanley Capital International All Country World (Net)		11.41			12.26
Lipper Alternative Long/Short Equity Funds Index		5.67			4.26

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Global Long/Short Equity Fund (the Fund) returned 1.91% for the fiscal year ended August 31, 2018 versus the Morgan Stanley Capital International All Country World Index (Net) and the Lipper Alternative Long/Short Equity Funds Index, which returned 11.41% and 5.67%, respectively.

Our focus on fundamentally strong companies with attractive valuations detracted from returns in the long portfolio as more expensive stocks were in favor in what has been a predominately a growth-oriented market. Conversely, underperformance of valuation factors contributed positively to performance in the short portfolio. The Fund’s country allocation was negative for the period, though underperformance was primarily driven by stock selection within the long portfolio. A strong domestic economy and concerns over international tariffs was evident at the country level as our underweight allocation to the U.S. negatively impacted performance while an underweight position in China contributed positively. Additionally, underweights to the more expensive sectors like Information Technology and Energy detracted from performance, while an underweight to defensive sectors like Consumer Staples and Telecommunications added to performance. By security, top contributors included Inogen Inc. (1.2% of the Fund, +176.52%) in the long portfolio and Verso Corp. (0.0% of the Fund, +224.06%) in the short portfolio. Top detractors included PG&E Corporation (0.0% of the Fund, -40.53%) in the long portfolio and Macquarie Infrastructure Corp. (0.0% of the Fund, -44.40%) in the short portfolio.

Fund Managers; Investment Experience

Jay Kaufman, CFA; since 2006

Ernesto Ramos, Ph.D.; since 1988

David Rosenblatt, CFA; since 2006

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BGAQX

09658W626

9/17/2015

5.09

2.46

Institutional (I)

BGIQX

09658W618

9/17/2015

4.84

2.21


Portfolio sector allocation
Sector	Fund (%)
	Short			Long
Common Stocks Sold Short or Purchased Long
Consumer Discretionary		(5.7	)		8.2
Consumer Staples		(1.8	)		9.7
Energy		(0.5	)		3.4
Financials		(4.3	)		12.6
Healthcare		(1.2	)		17.6
Industrials		(7.9	)		12.6
Information Technology		(4.7	)		9.4
Materials		(5.8	)		10.1
Real Estate		(4.1	)		8.9
Telecommunication Services		(0.6	)		2.0
Utilities		—			3.7

Total Common Stocks		(36.6	)		98.2
Total Common Stocks Sold Short					(36.6	)

Total Net Sold Short and Purchased Long Common Stocks					61.6
Short-Term Investments					37.5
Other Assets & Liabilities					0.9
Total					100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Ultra Short Tax-Free Fund


Average annual total returns (%)
	1-year			5-years		Since inception
Advisor Class (A) NAV		0.95			—		0.62
Advisor Class (A) OFFER		(1.11	)		—		0.13
Institutional Class (I)		1.10			0.95		1.18
Blended Index (50% Bloomberg Barclays 1 Year Municipal Bond Index and 50% iMoneyNet, Inc. Money Market Fund Tax-Free National Retail Index)		0.68			0.50		0.55
Lipper Short Municipal Debt Funds Index		0.50			0.86		1.12

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Ultra Short Tax-Free Fund returned 1.10% for the fiscal year ended August, 31, 2018 versus the blended (50% Bloomberg Barclays 1 Year Muni Bond Index and 50% iMoneyNet Money Fund Tax Free National Retail) Index and the Lipper Short Municipal Debt Funds Index, which returned 0.68% and 0.50%, respectively.

During the fiscal year, market participants were confronted with the combined effects of the 5 T’s: taxes, trade, tariffs, tightening and Trump. While most of these could be described as headwinds or concerns for municipal bond investors, the largest changes in the tax code since 1986 along with efforts at regulatory reform were tailwinds, resulting in U.S. GDP growth for Q2 2018 clocking in at 4.2% and corporate profits, at least as measured by the S&P 500, growing over 20% Y/Y through Q2 2018. The Federal Reserve (the Fed) continued on its path of interest rate normalization during the year, raising rates to a current Fed Funds target of 1.75-2%. Seven rate increases have occurred since the current tightening cycle began in December 2015 and given the resilience of the U.S. economy, with unemployment at multi-decade lows and some signs of inflation emerging, it is likely the Fed will continue to raise short term rates in the months ahead. Yields were higher and both the U.S. Treasury and municipal bond curves flattened for the year in response to Fed action.

While overall returns for municipal securities remained muted with the Fed in the midst of a tightening cycle, the asset class, as measured by the Bloomberg Barclays Municipal Bond Index, managed to outperform both U.S. Treasuries and taxable bonds. The Fund benefited from its use of floating rate securities, which can reset higher as short-term interest rates rise, along with security selection within the Hospital and Transportation sectors. An underweight to the 1 year maturity bucket detracted slightly from performance.

While the U.S. economy remains on solid ground at present, with consumer and small business confidence measures at cycle highs, concern remains around U.S. protectionism. For now, markets seem to think this tough talk on trade is nothing more than a negotiating tactic rather than a long-term strategy from the President. Should these tariffs persist, however, continued economic growth in the U.S. could be threatened.

Fund Managers; Investment Experience

Thomas Byron; since 1981

Brian Sipich, CFA; since 1998

Robert Wimmel; since 1992

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BAUSX

09658W790

5/27/2014

0.64

0.55

Institutional (I)

MUISX

09658L539

9/30/2009

0.39

0.30


Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 21.1
School District		8.6
State or Local		12.5
Revenue Bonds — 79.9
Appropriation		21.4
Education		6.0
General Revenue		0.4
Health Care		23.6
Housing		5.0
Industrial Revenue		3.9
Power		1.6
Special Tax		2.2
Tobacco		0.6
Transportation		9.5
Water & Sewer		5.7
Other Assets & Liabilities, Net		(1.0	)
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Short Tax-Free Fund


Average annual total returns (%)
	1-year			5-years		Since inception
Advisor Class (A) NAV		0.62			—		1.23
Advisor Class (A) OFFER		(1.40	)		—		0.75
Institutional Class (I)		0.77			1.84		1.68
Bloomberg Barclays Short (1-5 Year) Municipal Index		0.06			1.24		1.10
Lipper Short Municipal Debt Funds Index		0.50			0.86		0.70

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Short Tax-Free Fund returned 0.77% for the fiscal year ended August, 31, 2018 versus the Bloomberg Barclays Muni Short 1-5 Year Index and the Lipper Short Municipal Debt Funds Index, which returned 0.06% and 0.50%, respectively.

While overall returns for municipal securities remained muted with the Fed in the midst of a tightening cycle, the asset class, as measured by the Bloomberg Barclays Municipal Bond Index, managed to outperform both U.S. Treasuries and taxable bonds. The Fund benefited from its shorter duration relative to the benchmark, along with its use of floating rate securities, which can reset higher as interest rates rise, on the front end of the yield curve. Security selection within the AA and A credits tiers also contributed positively to results. An underweight position in the 1-2 year portion of the yield curve did detract from results.

Fund Managers; Investment Experience

Thomas Byron; since 1981

Brian Sipich, CFA; since 1998

Robert Wimmel; since 1992

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BASFX

09658W782

5/27/2014

0.76

0.55

Institutional (I)

MTFIX

09658L646

11/29/2012

0.51

0.40


Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 16.5
School District		6.5
State or Local		10.0
Revenue Bonds — 84.1
Appropriation		17.0
Education		9.5
General Revenue		0.4
Health Care		30.0
Housing		4.1
Industrial Revenue		2.9
Power		1.2
Special Tax		3.7
Student Loan		0.2
Tobacco		3.5
Transportation		7.4
Water & Sewer		4.2
Other Assets & Liabilities, Net		(0.6	)
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Short-Term Income Fund


Average annual total returns (%)
	1-year			5-years		10-years		Since inception
Advisor Class (A) NAV		0.56			—		—		1.04
Advisor Class (A) OFFER		(1.44	)		—		—		0.56
Institutional Class (I)		0.92			1.43		2.65		2.80
Bank of America Merrill Lynch 1-3 Year U.S. Government/Corporate Index		0.22			0.92		1.63		—
Lipper Short Investment-Grade Debt Funds Index		0.72			1.37		2.21		—

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Short-Term Income Fund (the Fund) returned 0.92% for the fiscal year ended August 31, 2018 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 0.22% and 0.72%, respectively.

The most significant episodes affecting the marketplace over the past twelve months were the three interest rate increases by the Federal Reserve (the Fed), tax reform, and the emergence of tariff/trade issues. The overall strength of the economy, further bolstered by a big reduction in corporate tax rates, combined with 75 basis points of interest rate increases, driving yields higher across the entire curve. Interest rates in the front-end of the curve rose at a faster pace than longer dated maturities, which is known as a “bear flattener”. As would be expected in an active Fed environment, the largest increases, on a percentage basis, were seen in maturities of 2 years and shorter.

An overweight in percentage and duration exposure to the Corporate (particularly Finance) and Asset-Backed sectors, as compared to the benchmark index, benefited performance as they were top performers. Conversely, exposure to longer-dated U.S. Government securities detracted from performance, as interest rates rose dramatically all across the yield curve. A barbell term structure, aided by the liberal use of floating rate instruments, was beneficial as the yield curve flattened in maturities greater than 2 years.

Similar to last year, the Fed increased interest rates in December, March, and June. Helping spur things along, the Fed’s preferred measure of inflation (core PCE price index) reached its 2% target level in May. However, at his press conference in June, Fed Chair Jay Powell stressed that being at, or slightly above, their inflation target was not an urgent signal for more policy tightening. According to the Fed Funds Futures market, as of August 31, 2018, nearly 95% of market participants felt that the Fed would increase the overnight lending rate by 0.25% at the September meeting, with approximately 65% expecting the fourth and final rate hike of 2018 to occur in December. The most recent Fed statement showed that committee members anticipate between 3 and 4 rate increases for 2019, which is more aggressive than the market is projecting.

The trends of rising rates out to five years and a flatter yield curve beyond one year are likely to remain in place. Looking forward, tenuous geopolitics, increasing anxiety over the upcoming U.S. midterm-elections, and trade policy/tariff impacts are apt to trigger near-term rate volatility across the yield curve.

Fund Managers; Investment Experience

Peter J. Arts; since 1992

Boyd R. Eager; since 1997

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BTMAX

09658W774

5/27/2014

0.74

0.62

Institutional (I)

MSIFX

09658L570

5/31/2007

0.49

0.37


Portfolio sector allocation
Sector	Fund (%)
Asset-Backed Securities		23.5
Certificates of Deposit		1.4
Collateralized Mortgage Obligations		7.2
Commercial Mortgage Securities		6.1
Corporate Bonds & Notes		43.9
Mutual Funds		0.4
U.S. Government & U.S. Government Agency Obligations		11.7
U.S. Government Agency-Mortgage Securities		1.0
Other Assets & Liabilities, Net		4.8
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Intermediate Tax-Free Fund


Average annual total returns (%)
	1-year			5-years		10-years		Since inception
Investor Class (Y)		0.53			3.46		4.12		4.29
Advisor Class (A) NAV		0.53			—		—		2.50
Advisor Class (A) OFFER		(2.97	)		—		—		1.65
Institutional Class (I)		0.68			3.68		—		3.94
Bloomberg Barclays 1-15 Year Blend Municipal Bond Index		0.11			3.17		3.73		—
Lipper Intermediate Municipal Debt Funds Index		0.30			3.10		3.48		—

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Intermediate Tax-Free Fund returned 0.68% for the fiscal year ended August 31, 2018 versus the Bloomberg Barclays 1-15 Year Muni Blend Index and the Lipper Intermediate Municipal Debt Funds Index, which returned 0.11% and 0.30%, respectively.

While overall returns for municipal securities remained muted with the Fed in the midst of a tightening cycle, the asset class, as measured by the Bloomberg Barclays Municipal Bond Index, managed to outperform both U.S. Treasuries and taxable bonds. The Fund’s returns were driven by a slightly shorter duration relative to the benchmark and peer group, along with the use of floating rate securities on the front end of the yield curve, which can reset higher as interest rates rise. The Fund’s security selection within the AA and A credit tiers also was additive to relative performance. Underweight exposure within the 2 year and 15 year portions of the yield curve detracted slightly from overall results.

Fund Managers; Investment Experience

Thomas Byron; since 1981

Brian Sipich, CFA; since 1998

Robert Wimmel; since 1992

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Investor (Y)

MITFX

09658L760

2/1/1994

0.58

0.56

Advisor (A)

BITAX

09658W766

5/27/2014

0.58

0.56

Institutional (I)

MIITX

09658L778

12/27/2010

0.33


Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 18.7
School District		10.6
State or Local		8.1
Revenue Bonds — 80.1
Appropriation		21.0
Education		8.6
General Revenue		0.5
Health Care		21.1
Housing		3.2
Industrial Revenue		0.3
Power		2.4
Special Tax		2.4
Student Loan		0.5
Tobacco		1.8
Transportation		10.8
Water & Sewer		7.5
Other Assets & Liabilities, Net		1.2
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices 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, 2008 to August 31, 2018.



Annual Report		BMO Strategic Income Fund


Average annual total returns (%)
	1-year			5-years		10-years		Since inception
Investor Class (Y)		0.37			3.00		3.94
Advisor Class (A) NAV		0.37			—		—		2.58
Advisor Class (A) OFFER		(3.12	)		—		—		1.73
Institutional Class (I)		0.72			3.28		4.21
Bloomberg Barclays U.S. Aggregate Bond Index*		(1.05	)		2.49		3.70
Bloomberg Barclays U.S. Mortgage Backed Securities Index		(0.53	)		2.43		3.48
Lipper Multi-Sector Income Funds Index		0.68			3.56		5.59

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO Strategic Income Fund (the Fund) returned 0.72% for the fiscal year ended August 31, 2018 versus the Bloomberg Barclays U.S. Aggregate Bond Index and the Lipper Multi-Sector Income Funds Index, which returned -1.05% and 0.68%, respectively.

The Fund outperformed its benchmark and peer group during the trailing year. Sector allocations to credit, both investment grade (+90 basis points of excess return) and high yield (+436 basis points of excess return) were beneficial during the period as credit benefitted from strong economic data and fiscal policy support. In particular, lower quality high yield outperformed, in part due to its lower duration profile as rates rose. By contrast, allocations to emerging market debt (-109 basis points of excess return) detracted from portfolio returns as higher U.S. rates put pressure on emerging market currencies and lead to volatility in their debt. Allocations to securitized products were additive with positive contributions from commercial mortgage backed securities and non-agency residential mortgage backed securities, which continued to enhance portfolio income with their significant yield advantage relative to agency equivalents.

Security selection was beneficial for the Fund during the period. In particular, selection within the Energy, Technology, and Home Builders sectors was additive to performance, while selection within the Food & Beverage, Media, and Telecommunications sectors reduced relative performance. The portfolio’s below benchmark duration contributed positively to relative returns, while the rise in rates detracted from absolute returns.

Looking forward, our view remains constructive for U.S. fixed income, particularly non-governmental sectors, based on robust economic data and supportive fiscal policy, particularly the effects of tax reform. Economic data and geopolitical events outside of the U.S. suggest a less sanguine market environment abroad, one which at times has weighed on the U.S. market furthering volatility. We expect U.S. monetary policy to continue to tighten gradually and to a greater degree than global policy. In this environment, heightened volatility is likely to persist, while U.S. fundamentals remain supportive. U.S. monetary policy tightening is likely to lead to further yield curve flattening, which along with the increase in volatility is worth monitoring. At the same time, economic fundamentals remain strong and the combination of higher Treasury rates and wider spreads has led to the most attractive yields on broad bond benchmarks since 2010.

Fund Managers; Investment Experience

Scott M. Kimball, CFA; since 2004

Daniela Mardarovici, CFA; since 2000

Frank J. Reda, CMT; since 2001

Janelle Woodward, CFA; since 2003

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Investor (Y)

MRGIX

09658L810

12/13/1992

0.90

0.80

Advisor (A)

BMTAX

09658W758

5/27/2014

0.90

0.80

Institutional (I)

MGIIX

09658L828

5/31/2007

0.65

0.55


Portfolio sector allocation
Sector	Fund (%)
Asset-Backed Securities		4.0
Collateralized Mortgage Obligations		10.6
Commercial Mortgage Securities		7.0
Corporate Bonds & Notes		59.6
U.S. Government & U.S. Government Agency Obligations		2.3
U.S. Government Agency-Mortgage Securities		11.0
Other Assets & Liabilities, Net		5.5
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Investor Class and 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, 2008 to August 31, 2018.



Annual Report		BMO TCH Corporate Income Fund


Average annual total returns (%)
	1-year			5-years		Since inception
Investor Class (Y)		0.05			4.57		7.34
Advisor Class (A) NAV		0.06			—		3.27
Advisor Class (A) OFFER		(3.45	)		—		2.41
Institutional Class (I)		0.19			4.71		7.52
Bloomberg Barclays U.S. Credit Index		(0.99	)		3.63		5.42
Lipper Corporate Debt Funds BBB-Rated Index		(1.08	)		3.70		6.54

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO TCH Corporate Income Fund (the Fund) returned 0.19% for the fiscal year ended August 31, 2018 versus the Bloomberg Barclays U.S. Credit Index and the Lipper Corporate Debt Funds BBB-Rated Index, which returned -0.99% and -1.08%, respectively.

The Fund outperformed its benchmark and peer group, delivering positive absolute returns despite negative benchmark and peer group returns. Negative returns for the market were driven by rising interest rates.

Interest rates on the 10 year U.S. Treasury rose from 2.12% on August 31, 2017 to 2.86% at the end of August, 2018, resulting in a -1.54% return for Treasuries. The Fund maintained portfolio duration below the benchmark throughout the period and that positioning contributed to positive relative performance against the benchmark as yields rose. The portfolio benefitted from its barbelled term structure, which positioned it well to capture the effect of the continued flattening of the yield curve. Investment grade corporate floating rate notes, part of the yield curve positioning, benefitted the portfolio as the Fed hiked rates three times (December, March, June) during the period.

Sector and quality selection was positive. The portfolio was overweight corporate credit, which outperformed duration-matched Treasuries by 94 basis points due to positive carry as spreads widened modestly. Within credit, the Fund was overweight lower quality investment grade securities, which outperformed higher quality securities with BBB rated bonds outperforming overall credit by 40 basis points of excess return. Allocations to high yield securities further added to outperformance. Within corporate credit, the overweight to Industrials (+116 basis points of excess returns) added to outperformance.

Individual security selection within corporate credit was modestly positive during the period. In particular, names within the Energy, Basic Industries, and Healthcare sectors contributed to returns while selection within other sectors such as Auto Manufacturers, Consumer Products, and Telecommunications reduced relative returns.

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

Scott M. Kimball, CFA; since 2004

Daniela Mardarovici, CFA; since 2000

Frank J. Reda, CMT; since 2001

Janelle Woodward, CFA; since 2003

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Investor (Y)

MCIYX

09658L851

12/22/2008

0.72

0.60

Advisor (A)

BATIX

09658W733

5/27/2014

0.72

0.60

Institutional (I)

MCIIX

09658L869

12/22/2008

0.47


Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		96.3
Municipals		0.2
U.S. Government & U.S. Government Agency Obligations		0.6
Other Assets & Liabilities, Net		2.9
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Investor Class and 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, 2008 to August 31, 2018.



Annual Report		BMO TCH Core Plus Bond Fund


Average annual total returns (%)
	1-year			5-years		Since inception
Investor Class (Y)		(0.45	)		3.16		5.32
Advisor Class (A) NAV		(0.45	)		—		2.15
Advisor Class (A) OFFER		(3.95	)		—		1.30
Institutional Class (I)		(0.20	)		3.40		5.56
Bloomberg Barclays U.S. Aggregate Bond Index		(1.05	)		2.49		3.51
Lipper Core Plus Bond Funds Index		(0.76	)		2.98		5.31

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO TCH Core Plus Bond Fund (the Fund) returned -0.20% for the fiscal year ended August 31, 2018 versus the Bloomberg Barclays U.S. Aggregate Bond Index and the Lipper Core Plus Bond Funds Index, which returned -1.05% and -0.76%, respectively.

The Fund outperformed its benchmark and peer group. Negative absolute returns for the Fund and the market were driven by rising interest rates.

Sector and quality selection was positive. The portfolio was overweight credit, which outperformed duration-matched Treasuries by 90 basis points due to its yield advantage as spreads widened modestly. Within credit, the Fund was overweight lower quality investment grade securities, which outperformed higher quality securities with BBB rated bonds outperforming overall credit by 40 basis points of excess return. Allocations to high yield securities further added to outperformance. Overweights to corporate versus non-corporate credit and, in particular, the overweight to Industrials added to outperformance.

Individual security selection within corporate credit contributed to performance, in particular, selection was positive within the Energy and Basic Industries sectors, while selection within the Retail sector mildly detracted from returns.

Investment Adviser:

BMO Asset Management Corp.

Sub-adviser:

Taplin, Canida & Habacht, LLC

Fund Managers; Investment Experience

Scott M. Kimball, CFA; since 2004

Daniela Mardarovici, CFA; since 2000

Frank J. Reda, CMT; since 2001

Janelle Woodward, CFA; since 2003

Inception

date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Investor (Y)

MCYBX

09658L877

12/22/2008

0.60

Advisor (A)

BATCX

09658W725

5/27/2014

0.60

Institutional (I)

MCBIX

09658L885

12/22/2008

0.35


Portfolio sector allocation
Sector	Fund (%)
Asset-Backed Securities		2.7
Commercial Mortgage Securities		4.2
Corporate Bonds & Notes		45.2
U.S. Government & U.S. Government Agency Obligations		24.4
U.S. Government Agency-Mortgage Securities		19.0
Other Assets & Liabilities, Net		4.5
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Institutional Class shares of the Fund. Performance for the Investor Class and 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, 2008 to August 31, 2018



Annual Report		BMO High Yield Bond Fund


Average annual total returns (%)
	1-year			5-years		Since inception
Advisor Class (A) NAV		1.62			—		2.77
Advisor Class (A) OFFER		(1.96	)		—		1.92
Institutional Class (I)		1.87			4.07		4.96
Bank of America Merrill Lynch U.S. High Yield, Master II Constrained Index		3.27			5.64		6.91
Bank of America Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index		2.63			5.50		6.54
Lipper High Yield Bond Funds Index		3.04			4.93		6.41

*	Benchmarks since inception reflect the inception date of the Institutional Class.

Commentary

The BMO High Yield Bond Fund (the Fund) returned 1.87% for the fiscal year ended August 31, 2018 versus the BofA Merrill Lynch U.S. High Yield Master II Constrained Index and the Lipper High Yield Bond Funds Index, which returned 3.27% and 3.04%, respectively.

The Fund underperformed the benchmark and peer group during the period. Quality selection was the biggest factor in underperformance. Given our views on the valuations on lower quality high yield, the portfolio was underweight that segment. However, CCC rated bonds delivered 816 basis points of excess returns, partially driven by continued strong economic data and investor demand for assets with limited interest rate sensitivity. Allocations to BB (+260 basis points excess return) and B (+429 basis points excess returns) performed well, but did not keep up with the lower quality rating bucket. The portfolio’s allocations to lower quality investment grade (BBB rated bonds +130 basis points of excess returns) underperformed high yield.

Security selection was positive, offsetting some of the negative effect of the quality allocation. Selection within the Energy, Technology, and Pharmaceuticals sectors added to performance, while selection within the Consumer Products, Telecommunications, and Food & Beverage sectors detracted from returns.

Default rates for high yield bonds and loans remained low, ending the second quarter just above 2%. With expectations of receptive capital markets, an improving economic backdrop, and manageable maturity schedules, defaults are expected to remain below long-term trends near-term.

High yield continues to be an attractive asset class for investors due to its diversification benefits and short duration, which will benefit reinvestment activity as rates increase over the coming years. As markets respond to U.S. fiscal policy and global monetary policy shifts, we see opportunities and risks across the spectrum of high yield sectors and expect sub-sector and security selection opportunities to be important drivers of returns for the upcoming period. We expect returns for full year 2018 to be in the low single digits, driven primarily by interest income and offset by mild spread widening and rising rates.

Fund Managers; Investment Experience

Ronald J. Salinas, CFA; since 2000

Eduardo J. Simpson, CFA; since 1999

Janelle Woodward, CFA; since 2003

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Advisor (A)

BMHAX

09658W717

5/27/2014

1.43

0.91

Institutional (I)

MHBNX

09658L406

12/29/2011

1.18

0.66


Portfolio sector allocation
Sector	Fund (%)
Corporate Bonds & Notes		91.9
Other Assets & Liabilities, Net		8.1
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Government Money Market Fund


Average annual total returns (%)
	1-year		5-years		10-years
Investor Class (Y)		1.05		0.26		0.19
Premier Class		1.30		0.38		0.28
iMoneyNet, Inc. Government Money Market Index		1.05		0.27		0.17
Lipper U.S. Government Money Market Funds Index		0.99		0.24		0.17

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.

Commentary

The BMO Government Money Market Fund (the Fund) returned 1.30% for the fiscal year-ended August 31, 2018 versus the iMoneyNet, Inc. Government Money Market Index and the Lipper U.S. Government Money Market Funds Index, which returned 1.05% and 0.99%, respectively.

The most significant episodes affecting the marketplace over the past twelve months were the three interest rate increases by the Federal Reserve (the Fed), tax reform, and the emergence of tariff/trade issues. The overall strength of the economy, further bolstered by a big reduction in corporate tax rates, combined with 75 basis points of interest rate increases, drove yields higher across the entire curve. As would be expected in an active Fed environment, the largest increases, on a percentage basis, were seen in maturities of 2 years and shorter.

The Fund’s low Weighted Average Maturity and increased allocation to floating rate securities were strong contributors to performance during the fiscal year. An increased Treasury issuance following the tax reform passed in December also drove short term rates higher. Strong demand for short dated government securities persists, as expected with an active Fed; however, pricing pressure has abated somewhat. Floating rate instruments remain attractive as the Fed projects a further reduction in policy accommodation for the remainder of 2018 and into 2019.

Similar to last year, the Fed increased interest rates in December, March and June. Helping spur things along, the Fed’s preferred measure of inflation (core PCE price index) reached its 2% target level in May. However, at his press conference in June, Fed Chair Jay Powell stressed that being at, or slightly above their inflation target was not an urgent signal for more policy tightening. According to the Fed Funds futures market, as of August 31, 2018, nearly 95% of market participants felt that the Fed would increase the overnight lending rate by 0.25% at the September meeting, with approximately 65% expecting the fourth and final rate hike of 2018 to occur in December. The most recent Fed statement showed that committee members anticipate between 3 and 4 rate increases for 2019, which is more aggressive than the market is projecting.

The trends of rising short term rates out and a flatter yield curve beyond one year are likely to remain in place. Looking forward, tenuous geopolitics, increasing anxiety over the upcoming U.S. midterm-elections and trade policy/tariff impacts are apt to trigger near-term rate volatility across the yield curve.

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

0.51

0.46

Premier

MGNXX

09658L794

5/28/2004

0.26

0.21


Portfolio sector allocation
Sector	Fund (%)
Mutual Funds		6.5
Repurchase Agreements		38.5
U.S. Government & U.S. Government Agency Obligations		55.1
Other Assets & Liabilities, Net		(0.1	)
Total		100.0

Growth of an assumed $10,000 investment

See Explanation of the Indices and Notes in the Commentary for additional information. The above graph relates to the Premier Class shares of the Fund. Performance for the Investor Class shares will vary from the performance of the Premier Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Premier Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2008 to August 31, 2018.



Annual Report		BMO Tax-Free Money Market Fund


Average annual total returns (%)
	1-year		5-years		10-years
Investor Class (Y)		0.80		0.25		0.31
Premier Class		1.05		0.38		0.48
iMoneyNet, Inc. Fund Report/Tax-Free National Retail Index		0.74		0.23		0.20
Lipper Tax-Exempt Money Market Funds Index		0.85		0.26		0.22

Commentary

The BMO Tax-Free Money Market Fund returned 1.05% for the fiscal year ended August 31, 2018 versus the iMoneyNet,Inc. Fund Report/Tax-Free National Retail Index and the Lipper Tax-Exempt Money Market Funds Index, which returned 0.74% and 0.85%, respectively.

During the fiscal year, market participants were confronted with the combined effects of the 5 T’s: taxes, trade, tariffs, tightening and Trump. While most of these could be described as headwinds or concerns for municipal bond investors, the largest changes in the tax code since 1986 along with efforts at regulatory reform were tailwinds, resulting in U.S. GDP growth for Q2 2018 clocking in at 4.2% and corporate profits, at least as measured by the S&P 500, growing over 20% Y/Y through Q2 2018. The Federal Reserve (the Fed) continued on its path of interest rate normalization during the year, raising rates to a current Fed Funds target of 1.75-2%. There have now been seven rate increases since the current tightening cycle began in December 2015 and given the resilience of the U.S. economy, with unemployment at multi-decade lows and some signs of inflation emerging, it is likely the Fed will continue to raise short term rates in the months ahead. Yields were higher and both the U.S. Treasury and municipal bond curves flattened for the year in response to Fed action.

Fund Managers; Investment Experience

Thomas Byron; since 1981

Brian Sipich, CFA; since 1998

Robert Wimmel; since 1992

Inception
date

Expenses (%)

Share class

Ticker

Cusip

Gross

Net

Investor (Y)

MTFXX

09658L547

9/22/2004

0.58

0.46

Premier

MFIXX

09658L554

6/29/2005

0.33

0.21


Municipal Issuance/Industry Type
Issuance/Industry	Fund (%)
General Obligation — 24.5
State or Local		24.5
Revenue Bonds — 72.9
Appropriation		15.1
Education		5.0
General Revenue		2.0
Health Care		15.6
Housing		8.9
Industrial Revenue		3.3
Power		1.9
Special Tax		9.0
Transportation		2.0
Water & Sewer		10.1
Other Assets & Liabilities, Net		2.6
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Prime Money Market Fund


Average annual total returns (%)
	1-year		5-years		10-years
Investor Class (Y)		1.25		0.34		0.29
Premier Class		1.50		0.48		0.45
iMoneyNet, Inc. Money Fund Report Averages		1.12		0.32		0.23
Lipper Money Market Instrument Funds Index		1.25		0.35		0.27

Commentary

The BMO Prime Money Market Fund (the Fund) returned 1.50% for the fiscal year-ended August 31, 2018 versus the iMoneyNet, Inc. Money Fund Report Averages and the Lipper Money Market Instrument Funds Index, which returned 1.12% and 1.25%, respectively.

The most significant episodes affecting the marketplace over the past twelve months were the three interest rate increases by the Federal Reserve (the Fed), tax reform, and the emergence of tariff/trade issues. The overall strength of the economy, further bolstered by a big reduction in corporate tax rates, combined with 75 basis points of interest rate increases, drove yields higher across the entire curve. As would be expected in an active Fed environment, the largest increases, on a percentage basis, were seen in maturities of 2 years and shorter.

The Fund’s low Weighted Average Maturity and increased allocation to floating rate securities were strong contributors to performance during the fiscal year. An increased Treasury issuance following the tax reform passed in December also drove short term rates higher. The Fund’s allocation to commercial paper, particularly in financial and asset-backed names, also helped performance. Strong demand for short dated government securities persists, as expected with an active Fed; however, pricing pressure has abated somewhat. Floating rate instruments remain attractive as the Fed projects a further reduction in policy accommodation for the remainder of 2018 and into 2019.

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

0.54

0.46

Premier

MAIXX

09658L687

4/3/2000

0.29

0.21


Portfolio sector allocation
Sector	Fund (%)
Certificates of Deposit		15.1
Commercial Paper		57.8
Municipals		0.4
Mutual Funds		3.9
Repurchase Agreements		22.9
Other Assets & Liabilities, Net		(0.1	)
Total		100.0

Growth of an assumed $10,000 investment



Annual Report		BMO Institutional Prime Money Market Fund


Average annual total returns (%)
	1-year		Since inception
Investor Class (Y)		1.29		0.81
Premier Class		1.54		1.06
iMoneyNet, Inc. Money Fund Report Averages		1.12		0.67
Lipper Institutional Money Market Funds Index		1.65		1.16

Commentary

The BMO Institutional Prime Money Market Fund (the Fund) returned 1.54% for the fiscal year-ended August 31, 2018 versus the iMoneyNet, Inc. Money Fund Report Averages and the Lipper Institutional Money Market Funds Index, which returned 1.12% and 1.65%, respectively.

The most significant episodes affecting the marketplace over the past twelve months were the three interest rate increases by the Federal Reserve (the Fed), tax reform, and the emergence of tariff/trade issues. The overall strength of the economy, further bolstered by a big reduction in corporate tax rates, combined with 75 basis points of interest rate increases, drove yields higher across the entire curve. As would be expected in an active Fed environment, the largest increases, on a percentage basis, were seen in maturities of 2 years and shorter.

The Fund’s low Weighted Average Maturity and increased allocation to floating rate securities were strong contributors to performance during the fiscal year. An increased Treasury issuance following the tax reform passed in December also drove short term rates higher. The Fund’s allocation to commercial paper, particularly in financial and asset-backed names, also helped performance. Strong demand for short dated government securities persists, as expected with an active Fed; however, pricing pressure has abated somewhat. Floating rate instruments remain attractive as the Fed projects a further reduction in policy accommodation for the remainder of 2018 and into 2019.

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)

BYFXX

09658V354

6/3/2016

0.56

0.46

Premier

BPFXX

09658V347

6/3/2016

0.31

0.21


Portfolio sector allocation
Sector	Fund (%)
Certificates of Deposit		17.0
Commercial Paper		61.1
Mutual Funds		3.3
Repurchase Agreements		18.7
Other Assets & Liabilities, Net		(0.1	)
Total		100.0

Growth of an assumed $10,000 investment



Explanation of the Indices and Notes in the Commentary

The views expressed in the commentary are as of August 31, 2018 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, 2017. 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 indices 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)
Low Volatility Equity Fund	Lipper U.S. Multi-Cap Core Funds Index	Lipper indices 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 indices 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)
Large-Cap Value Fund	Lipper U.S. Multi-Cap Value Funds Index	Lipper indices 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)
Large-Cap Growth Fund	Lipper U.S. Multi-Cap Growth Funds Index	Lipper indices 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	Russell Midcap^® Value index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000^® Value Index.(4)
Mid-Cap Value Fund	Lipper U.S. Mid-Cap Value Funds Index	Lipper indices 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	Russell Midcap^® Growth 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)
Mid-Cap Growth Fund	Lipper U.S. Mid-Cap Growth Funds Index	Lipper indices 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)
Small-Cap Value Fund(1)	Lipper U.S. Small-Cap Core Funds Index	Lipper indices 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^® Index 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)
Small-Cap Core Fund(1)	Lipper U.S. Small-Cap Core Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)



Explanation of the Indices 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)
Small-Cap Growth Fund(1)	Lipper U.S. Small-Cap Growth Funds Index	Lipper indices 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(1)	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)
Global Low Volatility Equity Fund(1)	Lipper Global Multi-Cap Value Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Disciplined International Equity Fund(3)	Morgan Stanley Capital International Europe, Australasia, Far East Index	The MSCI 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)
Disciplined International Equity Fund(3)	Lipper International Multi-Cap Core Funds Index	Lipper indices 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	The MSCI 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)
Pyrford International Stock Fund(3)	Lipper International Multi-Cap Core Funds Index	Lipper indices 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)
LGM Emerging Markets Equity Fund(3)	Lipper Emerging Markets Funds Index	Lipper indices 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.
	Lipper Alternative Multi-Strategy Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Global Long/Short 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)
Global Long/Short Equity Fund(3)	Lipper Alternative Long/Short Equity Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Ultra Short Tax-Free Fund(2)(6)	Blended Index (50% Bloomberg Barclays 1 Year Municipal Bond Index And 50% iMoneyNet Money Market Fund Tax-Free National Retail Index)	The blended index consists of 50% Bloomberg Barclays 1 Year Municipal Bond Index and 50% iMoneyNet Money Market Fund Tax-Free National Retail Index. The Bloomberg Barclays 1 Year Municipal Bond Index is the 1 year component of the Bloomberg Barclays Capital Municipal Bond Index, which is an unmanaged index composed of longterm 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)
Ultra Short Tax-Free Fund(2)(6)	Lipper Short Municipal Debt Funds Index	Lipper indices 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)	Bloomberg Barclays Short (1-5 Year) Municipal Index	The Bloomberg 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)
Short Tax-Free Fund(2)(6)	Lipper Short Municipal Debt Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)



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


Fund/Benchmark Comparison per Fund		Explanation
Short-Term Income Fund(6)	Bank of America Merrill Lynch 1-3 Year U.S. Government/ Corporate Index	Bank of America Merrill Lynch 1-3 Year U.S. Government/ Corporate Index 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)
Short-Term Income Fund(6)	Lipper Short Investment-Grade Debt Funds Index	Lipper indices 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)	Bloomberg Barclays 1-15 Year Blend Municipal Bond Index	Bloomberg Barclays 1-15 Year Blend Municipal Bond Index is the 1-15 year Blend component of the Bloomberg 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)
Intermediate Tax-Free Fund(2)(6)	Lipper Intermediate Municipal Debt Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Strategic Income Fund(6)	Bloomberg Barclays U.S. Aggregate Bond Index	Bloomberg 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.(4)
	Bloomberg Barclays U.S. Mortgage Backed Securities Index	Bloomberg Barclays U.S. Mortgage Backed Securities 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 Multi-Sector Funds Index	Lipper indices 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)	Bloomberg Barclays U.S. Credit Index	Bloomberg 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)
TCH Corporate Income Fund(6)	Lipper Corporate Debt Funds BBB-Rated Index	Lipper indices 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)	Bloomberg Barclays U.S. Aggregate Bond Index	Bloomberg 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)
TCH Core Plus Bond Fund(6)	Lipper Core Plus Bond Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
High Yield Bond Fund(3)(6)	Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index	Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index is an Index that tracks the performance of U.S. dollar denominated below investment grade rated corporate debt publically issued in the U.S. domestic market.(4)
	Bank of America Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index	Bank of America Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index 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 indices 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	iMoneyNet, Inc. Government Money Market Index is an average of money funds with investment objectives similar to that of the Fund.
Government Money Market Fund	Lipper U.S. Government Money Market Funds Index	Lipper indices 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 Index	iMoneyNet, Inc. Fund Report/ Tax-Free National Retail Index is an average of money funds with investment objectives similar to that of the Fund.
Tax-Free Money Market Fund	Lipper Tax-Exempt Money Market Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)



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


Fund/Benchmark Comparison per Fund		Explanation
Prime Money Market Fund	iMoneyNet, Inc. Money Fund Report Averages	iMoneyNet, Inc. Money Fund Report Averages index is an average of money funds with investment objectives similar to that of the Fund.
Prime Money Market Fund	Lipper Institutional Money Market Funds Index	Lipper indices are comprised of a certain number of eligible mutual funds designated by Lipper, Inc. as falling into the respective categories indicated.(5)
Institutional Prime Money Market Fund	iMoneyNet, Inc. Money Fund Report Averages	iMoneyNet, Inc. Money Fund Report Averages index is an average of money funds with investment objectives similar to that of the Fund.
Institutional Prime Money Market Fund	Lipper Institutional Money Market Funds Index	Lipper indices 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.



Expense Example (Unaudited)

For the Six Months Ended August 31, 2018

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, 2018 (3/1/18-8/31/18).

Actual Expenses

The information in the table under the heading “Acutal Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, 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 column 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 information in the table under the heading “Hypothetical Expenses” 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 information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.


	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 3/1/18		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Annualized Expense Ratio(1)
Low Volatility Equity Fund
Advisor	$	1,000.00	$	1,085.30	$	4.73	$	1,020.67	$	4.58		0.90	%
Institutional		1,000.00		1,086.50		3.42		1,021.93		3.31		0.65
Dividend Income Fund
Advisor		1,000.00		1,078.70		4.72		1,020.67		4.58		0.90
Institutional		1,000.00		1,079.60		3.41		1,021.93		3.31		0.65
Large-Cap Value Fund
Advisor		1,000.00		1,046.60		4.08		1,021.22		4.02		0.79
Institutional		1,000.00		1,048.60		2.79		1,022.48		2.75		0.54
Retirement class R-6		1,000.00		1,049.40		1.96		1,023.29		1.94		0.38



Expense Example (Unaudited) (continued)


	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 3/1/18		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Annualized Expense Ratio(1)
Large-Cap Growth Fund
Investor	$	1,000.00	$	1,124.50	$	4.50	$	1,020.97	$	4.28		0.84	%
Advisor		1,000.00		1,125.00		4.23		1,021.22		4.02		0.79
Institutional		1,000.00		1,126.00		2.89		1,022.48		2.75		0.54
Retirement class R-6		1,000.00		1,126.90		2.09		1,023.24		1.99		0.39
Mid-Cap Value Fund
Advisor		1,000.00		1,041.20		6.38		1,018.95		6.31		1.24
Institutional		1,000.00		1,043.10		5.10		1,020.21		5.04		0.99
Retirement class R-6		1,000.00		1,043.90		4.28		1,021.02		4.23		0.83
Mid-Cap Growth Fund
Advisor		1,000.00		1,119.00		6.62		1,018.95		6.31		1.24
Institutional		1,000.00		1,120.50		5.29		1,020.21		5.04		0.99
Retirement class R-6		1,000.00		1,121.60		4.49		1,020.97		4.28		0.84
Small-Cap Value Fund
Advisor		1,000.00		1,129.10		6.65		1,018.95		6.31		1.24
Institutional		1,000.00		1,130.10		5.32		1,020.21		5.04		0.99
Retirement class R-6		1,000.00		1,130.80		4.46		1,021.02		4.23		0.83
Small-Cap Core Fund
Advisor		1,000.00		1,125.10		6.16		1,019.41		5.85		1.15
Institutional		1,000.00		1,126.50		4.82		1,020.67		4.58		0.90
Small-Cap Growth Fund
Advisor		1,000.00		1,202.00		6.88		1,018.95		6.31		1.24
Institutional		1,000.00		1,203.40		5.50		1,020.21		5.04		0.99
Global Low Volatility Equity Fund
Advisor		1,000.00		1,035.50		5.69		1,019.61		5.65		1.11
Institutional		1,000.00		1,036.10		4.41		1,020.87		4.38		0.86
Disciplined International Equity Fund
Advisor		1,000.00		956.30		5.67		1,019.41		5.85		1.15
Institutional		1,000.00		957.20		4.44		1,020.67		4.58		0.90
Pyrford International Stock Fund
Advisor		1,000.00		995.60		5.94		1,019.26		6.01		1.18
Institutional		1,000.00		997.00		4.73		1,020.47		4.79		0.94
Retirement class R-6		1,000.00		997.70		3.98		1,021.22		4.02		0.79
Class F-3		1,000.00		997.70		3.98		1,021.22		4.02		0.79
LGM Emerging Markets Equity Fund
Advisor		1,000.00		946.90		6.87		1,018.15		7.12		1.40
Institutional		1,000.00		947.80		5.65		1,019.41		5.85		1.15
Alternative Strategies Fund
Advisor		1,000.00		1,000.00		11.95		1,013.26		12.03		2.37
Institutional		1,000.00		1,000.00		10.59		1,014.62		10.66		2.10
Global Long/Short Equity Fund
Advisor		1,000.00		998.30		12.84		1,012.35		12.93		2.55
Institutional		1,000.00		1,000.00		11.54		1,013.66		11.62		2.29
Ultra Short Tax-Free Fund
Advisor		1,000.00		1,005.60		2.78		1,022.43		2.80		0.55
Institutional		1,000.00		1,006.90		1.52		1,023.69		1.53		0.30



Expense Example (Unaudited) (continued)


	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 3/1/18		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Annualized Expense Ratio(1)
Short Tax-Free Fund
Advisor	$	1,000.00	$	1,008.30	$	2.78	$	1,022.43	$	2.80		0.55	%
Institutional		1,000.00		1,008.10		2.02		1,023.19		2.04		0.40
Short-Term Income Fund
Advisor		1,000.00		1,007.90		3.04		1,022.18		3.06		0.60
Institutional		1,000.00		1,010.30		1.77		1,023.44		1.79		0.35
Intermediate Tax-Free Fund
Investor		1,000.00		1,012.30		2.79		1,022.43		2.80		0.55
Advisor		1,000.00		1,012.30		2.79		1,022.43		2.80		0.55
Institutional		1,000.00		1,012.60		1.52		1,023.69		1.53		0.30
Strategic Income Fund
Investor		1,000.00		998.90		4.03		1,021.17		4.08		0.80
Advisor		1,000.00		998.90		4.03		1,021.17		4.08		0.80
Institutional		1,000.00		1,001.20		2.77		1,022.43		2.80		0.55
TCH Corporate Income Fund
Investor		1,000.00		1,004.90		2.98		1,022.23		3.01		0.59
Advisor		1,000.00		1,005.00		2.93		1,022.28		2.96		0.58
Institutional		1,000.00		1,006.50		2.23		1,022.99		2.24		0.44
TCH Core Plus Bond Fund
Investor		1,000.00		1,006.70		2.88		1,022.33		2.91		0.57
Advisor		1,000.00		1,006.70		2.88		1,022.33		2.91		0.57
Institutional		1,000.00		1,007.10		1.62		1,023.59		1.63		0.32
High Yield Bond Fund
Advisor		1,000.00		1,009.60		4.56		1,020.67		4.58		0.90
Institutional		1,000.00		1,010.80		3.29		1,021.93		3.31		0.65
Government Money Market Fund
Investor		1,000.00		1,006.80		2.28		1,022.94		2.29		0.45
Premier		1,000.00		1,008.10		1.01		1,024.20		1.02		0.20
Tax-Free Money Market Fund
Investor		1,000.00		1,004.80		2.27		1,022.94		2.29		0.45
Premier		1,000.00		1,006.10		1.01		1,024.20		1.02		0.20
Prime Money Market Fund
Investor		1,000.00		1,007.80		2.28		1,022.94		2.29		0.45
Premier		1,000.00		1,009.10		1.01		1,024.20		1.02		0.20
Institutional Prime Money Market Fund
Investor		1,000.00		1,008.10		2.28		1,022.94		2.29		0.45
Premier		1,000.00		1,009.40		1.01		1,024.20		1.02		0.20

(1)

Expenses are equal to the Funds’ annualized expense ratios for the period March 1, 2018 through August 31, 2018, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

August 31, 2018



Schedules of Investments

Low Volatility Equity Fund


Description	Shares		Value
Common Stocks — 98.6%

Consumer Discretionary — 14.2%

Advertising — 1.2%
Omnicom Group, Inc. (1)		21,619	$	1,498,629

Apparel Retail — 1.5%
TJX Cos., Inc. (1)		17,063		1,876,418

Apparel, Accessories & Luxury Goods — 0.8%
Carter’s, Inc. (1)		5,087		538,866
Michael Kors Holdings, Ltd. (2)		6,627		481,253

				1,020,119

Cable & Satellite — 1.4%
Comcast Corp., Class A (1)		30,635		1,133,189
Sirius XM Holdings, Inc. (1)		92,088		653,825

				1,787,014

Computer & Electronics Retail — 0.3%
Best Buy Co., Inc. (1)		5,646		449,196

Education Services — 3.1%
Bright Horizons Family Solutions, Inc. (1)(2)		23,617		2,820,578
Graham Holdings Co., Class B (1)		500		281,325
Grand Canyon Education, Inc. (1)(2)		7,329		873,177

				3,975,080

General Merchandise Stores — 1.2%
Dollar General Corp. (1)		8,678		934,881
Target Corp. (1)		6,627		579,862

				1,514,743

Movies & Entertainment — 2.2%
Madison Square Garden Co., Class A (1)(2)		2,295		692,952
Walt Disney Co. (1)		19,089		2,138,350

				2,831,302

Publishing — 0.3%
John Wiley & Sons, Inc., Class A (1)		5,509		355,606

Restaurants — 1.5%
Brinker International, Inc. (1)		17,083		756,435
Darden Restaurants, Inc.		10,689		1,240,352

				1,996,787

Specialized Consumer Services — 0.7%
ServiceMaster Global Holdings, Inc. (2)		15,215		917,008

Total Consumer Discretionary				18,221,902

Consumer Staples — 14.5%

Agricultural Products — 0.2%
Ingredion, Inc. (1)		2,521		254,797

Food Distributors — 2.9%
Sysco Corp. (1)		24,038		1,798,523
U.S. Foods Holding Corp. (2)		60,487		1,971,271

				3,769,794

Food Retail — 1.1%
Kroger Co. (1)		45,179		1,423,139

Household Products — 0.3%
Church & Dwight Co., Inc. (1)		7,655		433,120

Hypermarkets & Super Centers — 4.1%
Costco Wholesale Corp. (1)		11,575		2,698,480
Walmart, Inc.		27,001		2,588,316

				5,286,796


Description	Shares		Value
Common Stocks (continued)

Consumer Staples (continued)

Packaged Foods & Meats — 2.2%
ConAgra Brands, Inc. (1)		30,570	$	1,123,448
Flowers Foods, Inc. (1)		51,293		1,033,554
J.M. Smucker Co. (1)		2,472		255,555
Kellogg Co. (1)		5,646		405,326

				2,817,883

Personal Products — 1.7%
Estee Lauder Cos., Inc., Class A (1)		15,215		2,131,926

Soft Drinks — 2.0%
PepsiCo, Inc. (1)		22,225		2,489,422

Total Consumer Staples				18,606,877

Energy — 4.9%

Integrated Oil & Gas — 3.6%
Chevron Corp.		20,536		2,432,694
Exxon Mobil Corp.		10,729		860,144
Occidental Petroleum Corp.		17,330		1,384,147

				4,676,985

Oil & Gas-Equipment & Services — 0.4%
Schlumberger, Ltd. (1)		8,725		551,071

Oil & Gas-Exploration & Production — 0.3%
ConocoPhillips		4,869		357,531

Oil & Gas-Refining & Marketing — 0.6%
Valero Energy Corp. (1)		6,627		781,191

Total Energy				6,366,778

Financials — 14.2%

Consumer Finance — 1.5%
American Express Co.		17,779		1,884,218

Financial Exchanges & Data — 1.2%
Morningstar, Inc. (1)		10,921		1,554,277

Life & Health Insurance — 2.2%
Aflac, Inc. (1)		61,236		2,831,553

Multi-Line Insurance — 0.3%
Hartford Financial Services Group, Inc.		7,763		391,022

Property & Casualty Insurance — 4.3%
Allstate Corp.		27,257		2,741,237
Aspen Insurance Holdings, Ltd. (1)		7,420		305,333
Progressive Corp.		21,097		1,424,680
Travelers Cos., Inc. (1)		7,890		1,038,324

				5,509,574

Regional Banks — 1.9%
BB&T Corp. (1)		5,459		282,012
PNC Financial Services Group, Inc.		12,601		1,808,748
Regions Financial Corp.		15,635		304,257

				2,395,017

Reinsurance — 2.8%
Everest Re Group, Ltd. (1)		11,747		2,619,816
RenaissanceRe Holdings, Ltd. (1)		7,536		1,001,986

				3,621,802

Total Financials				18,187,463

Healthcare — 17.3%

Healthcare Equipment — 3.3%
Baxter International, Inc. (1)		37,992		2,825,465
Hill-Rom Holdings, Inc.		5,601		544,809
Medtronic PLC		9,054		872,896

				4,243,170

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



		BMO Funds

Low Volatility Equity Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Healthcare (continued)

Healthcare Facilities — 0.3%
Universal Health Services, Inc., Class B (1)		2,531	$	329,435

Healthcare Services — 1.5%
CVS Health Corp. (1)		16,841		1,267,117
DaVita, Inc. (1)(2)		5,601		388,093
MEDNAX, Inc. (2)		6,761		320,134

				1,975,344

Healthcare Supplies — 1.1%
Cooper Cos., Inc. (1)		5,415		1,385,049

Life Sciences Tools & Services — 0.3%
Bio-Rad Laboratories, Inc., Class A (1)(2)		1,067		347,095

Managed Healthcare — 2.6%
Anthem, Inc. (1)		1,680		444,746
Cigna Corp.		6,580		1,239,277
Humana, Inc.		5,141		1,713,290

				3,397,313

Pharmaceuticals — 8.2%
Bristol-Myers Squibb Co.		16,351		990,053
Eli Lilly & Co. (1)		21,732		2,295,986
Johnson & Johnson		20,069		2,703,093
Merck & Co., Inc.		25,297		1,735,121
Pfizer, Inc.		66,461		2,759,461

				10,483,714

Total Healthcare				22,161,120

Industrials — 7.0%

Aerospace & Defense — 3.5%
Huntington Ingalls Industries, Inc. (1)		2,333		570,348
Lockheed Martin Corp. (1)		7,563		2,423,261
Northrop Grumman Corp. (1)		3,826		1,142,023
Raytheon Co. (1)		1,914		381,728

				4,517,360

Environmental & Facilities Services — 3.2%
Republic Services, Inc. (1)		18,902		1,386,651
Waste Management, Inc.		30,244		2,749,179

				4,135,830

Industrial Conglomerates — 0.3%
Carlisle Cos., Inc. (1)		2,614		331,482

Total Industrials				8,984,672

Information Technology — 7.4%

Communications Equipment — 2.1%
Motorola Solutions, Inc. (1)		20,816		2,671,942

Consulting & Other Services — 1.4%
Amdocs, Ltd.		28,238		1,843,377

Data Processing & Outsourced Services — 1.5%
Genpact, Ltd. (1)		64,502		1,976,341

Electronic Components — 0.4%
Dolby Laboratories, Inc., Class A (1)		7,599		533,374

Internet Software & Services — 0.5%
eBay, Inc. (2)		9,335		323,084
VeriSign, Inc. (2)		2,065		327,530

				650,614


Description	Shares		Value
Common Stocks (continued)

Information Technology (continued)

Technology Hardware, Storage & Peripherals — 1.5%
Apple, Inc.		8,199	$	1,866,338

Total Information Technology				9,541,986

Materials — 0.6%

Metal & Glass Containers — 0.6%
Berry Global Group, Inc. (1)(2)		15,449		737,381

Real Estate — 7.8%

Hotel & Resort REIT’s — 1.3%
Apple Hospitality REIT, Inc. (1)		93,749		1,654,670

Office REIT’s — 2.2%
Equity Commonwealth (1)(2)		71,966		2,307,230
Highwoods Properties, Inc.		6,488		322,713
Piedmont Office Realty Trust, Inc., Class A (1)		12,695		251,869

				2,881,812

Residential REIT’s — 3.5%
Essex Property Trust, Inc.		10,735		2,643,816
UDR, Inc. (1)		47,000		1,878,590

				4,522,406

Specialized REIT’s — 0.8%
Equinix, Inc.		2,333		1,017,491

Total Real Estate				10,076,379

Telecommunication Services — 0.4%

Integrated Telecommunication Services — 0.4%
AT&T, Inc. (1)		14,561		465,078

Utilities — 10.3%

Electric Utilities — 8.2%
American Electric Power Co., Inc.		35,985		2,581,204
Entergy Corp. (1)		30,076		2,514,053
Exelon Corp.		64,502		2,819,383
Xcel Energy, Inc. (1)		53,428		2,567,215

				10,481,855

Multi-Utilities — 2.1%
Ameren Corp.		43,594		2,756,448

Total Utilities				13,238,303

Total Common Stocks (identified cost $102,015,952)				126,587,939

Short-Term Investments — 46.2%

Collateral Pool Investments for Securities on Loan — 45.0%

Collateral pool allocation (3)				57,761,573

Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		1,494,054		1,494,204

Total Short-Term Investments (identified cost $59,255,418)				59,255,777

Total Investments — 144.8% (identified cost $161,271,370)				185,843,716
Other Assets and Liabilities — (44.8)%				(57,458,346	)

Total Net Assets — 100.0%			$	128,385,370

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

August 31, 2018



Schedules of Investments

Dividend Income Fund


Description	Shares		Value
Common Stocks — 97.5%

Consumer Discretionary — 9.1%

Automobile Manufacturers — 0.5%
Ford Motor Co.		76,361	$	723,902

Cable & Satellite — 1.9%
Comcast Corp., Class A (1)		81,699		3,022,046

Computer & Electronics Retail — 1.1%
Best Buy Co., Inc. (1)		21,788		1,733,453

Department Stores — 2.7%
Kohl’s Corp. (1)		37,218		2,944,316
Nordstrom, Inc. (1)		19,310		1,213,634

				4,157,950

Hotels, Resorts & Cruise Lines — 1.1%
Carnival Corp. (1)		28,110		1,728,484

Restaurants — 1.8%
Darden Restaurants, Inc. (1)		23,990		2,783,800

Total Consumer Discretionary				14,149,635

Consumer Staples — 6.3%

Food Distributors — 2.2%
Sysco Corp. (1)		46,802		3,501,726

Food Retail — 0.6%
Kroger Co. (1)		28,905		910,507

Hypermarkets & Super Centers — 2.3%
Walmart, Inc.		36,728		3,520,746

Soft Drinks — 1.2%
PepsiCo, Inc. (1)		16,486		1,846,597

Total Consumer Staples				9,779,576

Energy — 9.1%

Integrated Oil & Gas — 3.7%
Chevron Corp.		32,341		3,831,115
Occidental Petroleum Corp.		24,312		1,941,799

				5,772,914

Oil & Gas-Refining & Marketing — 3.7%
Marathon Petroleum Corp. (1)		27,286		2,245,365
Valero Energy Corp. (1)		29,053		3,424,768

				5,670,133

Oil & Gas-Storage & Transportation — 1.7%
Kinder Morgan, Inc.		40,700		720,390
Williams Cos., Inc.		62,834		1,859,258

				2,579,648

Total Energy				14,022,695

Financials — 14.4%

Consumer Finance — 1.6%
Discover Financial Services (1)		21,289		1,663,097
Navient Corp.		66,992		913,771

				2,576,868

Diversified Banks — 4.8%
Citigroup, Inc.		14,587		1,039,178
JPMorgan Chase & Co.		16,320		1,869,945
Wells Fargo & Co. (1)		77,202		4,514,773

				7,423,896

Life & Health Insurance — 2.7%
Aflac, Inc. (1)		25,769		1,191,559
Prudential Financial, Inc.		30,273		2,974,322

				4,165,881


Description	Shares		Value
Common Stocks (continued)

Financials (continued)

Regional Banks — 5.3%
BB&T Corp. (1)		13,484	$	696,583
Citizens Financial Group, Inc.		40,753		1,677,394
Regions Financial Corp.		125,877		2,449,566
SunTrust Banks, Inc. (1)		46,142		3,394,206

				8,217,749

Total Financials				22,384,394

Healthcare — 11.4%

Biotechnology — 3.2%
AbbVie, Inc. (1)		35,514		3,408,634
Amgen, Inc. (1)		7,920		1,582,495

				4,991,129

Healthcare Services — 1.4%
CVS Health Corp. (1)		28,779		2,165,332

Pharmaceuticals — 6.8%
Bristol-Myers Squibb Co.		24,683		1,494,556
Eli Lilly & Co. (1)		34,348		3,628,866
Merck & Co., Inc.		17,050		1,169,459
Pfizer, Inc.		102,687		4,263,564

				10,556,445

Total Healthcare				17,712,906

Industrials — 6.0%

Aerospace & Defense — 2.6%
Boeing Co.		9,012		3,089,223
Lockheed Martin Corp. (1)		2,689		861,583

				3,950,806

Airlines — 0.6%
Delta Air Lines, Inc. (1)		16,798		982,347

Construction Machinery & Heavy Trucks — 0.5%
Caterpillar, Inc.		5,578		774,505

Environmental & Facilities Services — 1.0%
Republic Services, Inc. (1)		10,417		764,191
Waste Management, Inc.		8,772		797,375

				1,561,566

Industrial Machinery — 0.5%
Ingersoll-Rand PLC (1)		7,973		807,585

Trucking — 0.8%
Ryder System, Inc. (1)		15,281		1,174,192

Total Industrials				9,251,001

Information Technology — 21.4%

Communications Equipment — 3.2%
Cisco Systems, Inc.		87,972		4,202,423
Motorola Solutions, Inc. (1)		6,367		817,268

				5,019,691

Data Processing & Outsourced Services — 1.3%
Automatic Data Processing, Inc. (1)		14,076		2,065,653

Electronic Equipment & Instruments — 0.7%
FLIR Systems, Inc.		16,975		1,065,011

Semiconductor Equipment — 2.8%
KLA-Tencor Corp. (1)		27,429		3,187,524
Lam Research Corp. (1)		6,476		1,120,931

				4,308,455

Semiconductors — 5.2%
Broadcom, Inc.		5,561		1,218,026
Intel Corp.		65,784		3,185,919
Maxim Integrated Products, Inc. (1)		26,307		1,590,784
Texas Instruments, Inc. (1)		18,409		2,069,172

				8,063,901

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



		BMO Funds

Dividend Income Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Information Technology (continued)

Systems Software — 3.7%
Microsoft Corp.		51,570	$	5,792,858

Technology Hardware, Storage & Peripherals — 4.5%
Apple, Inc.		5,184		1,180,034
HP, Inc. (1)		87,638		2,160,277
NetApp, Inc. (1)		21,964		1,906,695
Seagate Technology PLC (1)		16,985		909,377
Western Digital Corp.		11,744		742,690

				6,899,073

Total Information Technology				33,214,642

Materials — 2.7%

Commodity Chemicals — 0.9%
LyondellBasell Industries NV, Class A (1)		12,764		1,439,524

Fertilizers & Agricultural Chemicals — 1.2%
CF Industries Holdings, Inc. (1)		35,339		1,835,861

Paper Packaging — 0.6%
WestRock Co. (1)		15,273		841,237

Total Materials				4,116,622

Real Estate — 5.8%

Hotel & Resort REIT’s — 2.2%
Host Hotels & Resorts, Inc. (1)		160,799		3,462,002

Office REIT’s — 0.8%
Alexandria Real Estate Equities, Inc. (1)		9,993		1,282,602

Residential REIT’s — 1.8%
Essex Property Trust, Inc.		8,049		1,982,308
UDR, Inc.		19,411		775,857

				2,758,165

Retail REIT’s — 0.5%
Simon Property Group, Inc. (1)		4,157		760,856

Specialized REIT’s — 0.5%
Crown Castle International Corp. (1)		6,954		792,965

Total Real Estate				9,056,590

Telecommunication Services — 4.3%

Integrated Telecommunication Services — 4.3%
AT&T, Inc. (1)		81,639		2,607,550
Verizon Communications, Inc. (1)		74,685		4,060,623

Total Telecommunication Services				6,668,173

Utilities — 7.0%

Electric Utilities — 3.6%
American Electric Power Co., Inc.		18,468		1,324,710
Entergy Corp. (1)		8,926		746,124
Exelon Corp.		79,659		3,481,895

				5,552,729

Independent Power Producers & Energy Traders — 2.2%
AES Corp. (1)		251,089		3,379,658

Multi-Utilities — 1.2%
Ameren Corp.		31,255		1,976,253

Total Utilities				10,908,640

Total Common Stocks (identified cost $114,417,336)				151,264,874


Description	Shares		Value
Short-Term Investments — 47.9%

Collateral Pool Investments for Securities on Loan — 45.6%

Collateral pool allocation (3)			$	70,677,075

Mutual Funds — 2.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		3,590,739		3,591,099

Total Short-Term Investments (identified cost $74,267,624)				74,268,174

Total Investments — 145.4% (identified cost $188,684,960)				225,533,048
Other Assets and Liabilities — (45.4)%				(70,431,782	)

Total Net Assets — 100.0%			$	155,101,266

Large-Cap Value Fund


Description	Shares		Value
Common Stocks — 97.8%

Consumer Discretionary — 9.4%

Apparel Retail — 0.6%
Gap, Inc. (1)		76,414	$	2,319,165

Apparel, Accessories & Luxury Goods — 0.8%
Michael Kors Holdings, Ltd. (1)(2)		43,435		3,154,250

Auto Parts & Equipment — 1.2%
Lear Corp.		29,693		4,816,204

Automotive Retail — 0.3%
AutoZone, Inc. (1)(2)		1,477		1,132,682

Broadcasting — 0.5%
AMC Networks, Inc., Class A (1)(2)		31,057		1,950,690

Cable & Satellite — 3.0%
Comcast Corp., Class A (1)		313,229		11,586,341

Department Stores — 1.4%
Kohl’s Corp. (1)		39,460		3,121,681
Nordstrom, Inc. (1)		38,479		2,418,405

				5,540,086

Home Improvement Retail — 1.6%
Lowe’s Cos., Inc.		58,566		6,369,052

Total Consumer Discretionary				36,868,470

Consumer Staples — 4.6%

Food Distributors — 0.3%
Sysco Corp. (1)		15,528		1,161,805

Household Products — 0.4%
Kimberly-Clark Corp. (1)		14,355		1,658,577

Hypermarkets & Super Centers — 2.8%
Walmart, Inc. (1)		114,791		11,003,865

Packaged Foods & Meats — 1.1%
Campbell Soup Co. (1)		35,769		1,411,087
J.M. Smucker Co. (1)		27,025		2,793,845

				4,204,932

Total Consumer Staples				18,029,179

Energy — 10.5%

Integrated Oil & Gas — 3.3%
Chevron Corp.		107,364		12,718,339

Oil & Gas-Equipment & Services — 0.7%
Schlumberger, Ltd. (1)		45,416		2,868,475

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

August 31, 2018



Schedules of Investments

Large-Cap Value Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Energy (continued)

Oil & Gas-Exploration & Production — 2.3%
ConocoPhillips		125,004	$	9,179,044

Oil & Gas-Refining & Marketing — 4.2%
Marathon Petroleum Corp. (1)		95,592		7,866,266
Valero Energy Corp. (1)		73,921		8,713,807

				16,580,073

Total Energy				41,345,931

Financials — 20.9%

Asset Management & Custody Banks — 0.3%
Northern Trust Corp.		12,450		1,337,877

Consumer Finance — 3.6%
American Express Co. (1)		27,479		2,912,224
Capital One Financial Corp. (1)		55,842		5,533,384
Synchrony Financial (1)		174,852		5,537,563

				13,983,171

Diversified Banks — 6.1%
Bank of America Corp. (1)		133,664		4,134,228
Citigroup, Inc.		174,148		12,406,303
Wells Fargo & Co. (1)		124,880		7,302,982

				23,843,513

Investment Banking & Brokerage — 0.3%
Lazard, Ltd., Class A		26,252		1,263,771

Life & Health Insurance — 2.9%
Prudential Financial, Inc.		72,750		7,147,688
Unum Group		120,223		4,433,824

				11,581,512

Multi-Line Insurance — 0.5%
American International Group, Inc. (1)		33,674		1,790,447

Property & Casualty Insurance — 1.4%
Allstate Corp. (1)		13,182		1,325,714
Travelers Cos., Inc. (1)		31,922		4,200,935

				5,526,649

Regional Banks — 5.8%
Citizens Financial Group, Inc.		180,624		7,434,484
Regions Financial Corp. (1)		363,897		7,081,435
SunTrust Banks, Inc. (1)		109,387		8,046,508

				22,562,427

Total Financials				81,889,367

Healthcare — 15.3%

Biotechnology — 3.0%
AbbVie, Inc. (1)		34,117		3,274,550
Amgen, Inc. (1)		18,323		3,661,119
Celgene Corp. (1)(2)		50,281		4,749,040

				11,684,709

Healthcare Equipment — 1.0%
Hill-Rom Holdings, Inc.		41,011		3,989,140

Healthcare Services — 1.6%
CVS Health Corp. (1)		81,496		6,131,759

Life Sciences Tools & Services — 0.7%
Charles River Laboratories International, Inc. (1)(2)		23,585		2,912,983

Managed Healthcare — 0.4%
Cigna Corp. (1)		8,538		1,608,047


Description	Shares		Value
Common Stocks (continued)

Healthcare (continued)

Pharmaceuticals — 8.6%
Bristol-Myers Squibb Co. (1)		139,373	$	8,439,035
Eli Lilly & Co. (1)		82,278		8,692,671
Merck & Co., Inc. (1)		33,174		2,275,405
Pfizer, Inc.		344,546		14,305,550

				33,712,661

Total Healthcare				60,039,299

Industrials — 7.8%

Aerospace & Defense — 2.6%
Boeing Co. (1)		8,493		2,911,315
Huntington Ingalls Industries, Inc. (1)		30,523		7,461,958

				10,373,273

Airlines — 2.3%
Southwest Airlines Co. (1)		101,826		6,241,934
United Continental Holdings, Inc. (1)(2)		31,360		2,741,491

				8,983,425

Building Products — 1.7%
Masco Corp. (1)		68,974		2,618,943
Owens Corning		70,197		3,974,554

				6,593,497

Construction Machinery & Heavy Trucks — 1.2%
Oshkosh Corp. (1)		29,712		2,087,565
Terex Corp. (1)		63,574		2,463,493

				4,551,058

Total Industrials				30,501,253

Information Technology — 9.9%

Communications Equipment — 4.1%
Cisco Systems, Inc. (1)		181,364		8,663,758
F5 Networks, Inc. (1)(2)		38,391		7,260,506

				15,924,264

Consulting & Other Services — 0.6%
DXC Technology Co. (1)		25,713		2,342,197

Data Processing & Outsourced Services — 1.1%
Alliance Data Systems Corp. (1)		17,578		4,193,759

Semiconductor Equipment — 0.6%
Applied Materials, Inc.		58,448		2,514,433

Semiconductors — 2.1%
Intel Corp. (1)		79,530		3,851,638
ON Semiconductor Corp. (1)(2)		214,695		4,581,591

				8,433,229

Technology Hardware, Storage & Peripherals — 1.4%
NetApp, Inc. (1)		28,145		2,443,268
Western Digital Corp. (1)		48,904		3,092,689

				5,535,957

Total Information Technology				38,943,839

Materials — 3.6%

Commodity Chemicals — 1.4%
LyondellBasell Industries NV, Class A (1)		48,794		5,502,987

Diversified Chemicals — 0.4%
Huntsman Corp. (1)		51,249		1,562,582

Metal & Glass Containers — 1.1%
Berry Global Group, Inc. (1)(2)		85,540		4,082,824

Steel — 0.7%
Steel Dynamics, Inc. (1)		63,382		2,898,459

Total Materials				14,046,852

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



		BMO Funds

Large-Cap Value Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Real Estate — 7.3%

Hotel & Resort REIT’s — 0.7%
Host Hotels & Resorts, Inc. (1)		132,165	$	2,845,512

Office REIT’s — 3.4%
Boston Properties, Inc. (1)		49,746		6,489,366
Highwoods Properties, Inc.		69,861		3,474,886
Kilroy Realty Corp. (1)		42,770		3,128,198

				13,092,450

Residential REIT’s — 1.9%
Essex Property Trust, Inc. (1)		30,818		7,589,857

Specialized REIT’s — 1.3%
Equinix, Inc. (1)		11,428		4,984,094

Total Real Estate				28,511,913

Utilities — 8.5%

Electric Utilities — 5.2%
American Electric Power Co., Inc.		100,610		7,216,755
Entergy Corp. (1)		57,581		4,813,196
Exelon Corp. (1)		192,288		8,404,909

				20,434,860

Independent Power Producers & Energy Traders — 1.5%
AES Corp. (1)		434,727		5,851,425

Multi-Utilities — 1.8%
Ameren Corp. (1)		110,744		7,002,343

Total Utilities				33,288,628

Total Common Stocks (identified cost $319,880,283)				383,464,731

Short-Term Investments — 42.5%

Collateral Pool Investments for Securities on Loan — 40.6%

Collateral pool allocation (3)				159,109,849

Mutual Funds — 1.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		7,481,565		7,482,313

Total Short-Term Investments (identified cost $166,591,117)				166,592,162

Total Investments — 140.3% (identified cost $486,471,400)				550,056,893
Other Assets and Liabilities — (40.3)%				(157,984,213	)

Total Net Assets — 100.0%			$	392,072,680

Large-Cap Growth Fund


Description	Shares		Value
Common Stocks — 98.3%

Consumer Discretionary — 16.1%

Apparel Retail — 1.0%
Burlington Stores, Inc. (1)(2)		25,448	$	4,279,845

Apparel, Accessories & Luxury Goods — 2.7%
Lululemon Athletica, Inc. (1)(2)		36,615		5,672,762
Michael Kors Holdings, Ltd. (2)		72,084		5,234,740

				10,907,502

Automotive Retail — 1.3%
O’Reilly Automotive, Inc. (2)		15,923		5,340,893


Description	Shares		Value
Common Stocks (continued)

Consumer Discretionary (continued)

Cable & Satellite — 2.6%
Comcast Corp., Class A (1)		193,061	$	7,141,326
Sirius XM Holdings, Inc. (1)		515,112		3,657,295

				10,798,621

Department Stores — 0.6%
Nordstrom, Inc. (1)		36,862		2,316,777

Footwear — 0.6%
Deckers Outdoor Corp. (1)(2)		19,439		2,368,448

Internet & Direct Marketing Retail — 7.3%
Amazon.com, Inc. (2)		13,114		26,394,679
Expedia Group, Inc. (1)		24,303		3,171,541

				29,566,220

Total Consumer Discretionary				65,578,306

Consumer Staples — 3.7%

Food Distributors — 0.9%
Sysco Corp. (1)		47,515		3,555,072

Food Retail — 0.4%
Sprouts Farmers Market, Inc. (1)(2)		69,812		1,847,924

Hypermarkets & Super Centers — 1.4%
Walmart, Inc.		58,023		5,562,085

Personal Products — 1.0%
Estee Lauder Cos., Inc., Class A (1)		28,852		4,042,742

Total Consumer Staples				15,007,823

Energy — 2.0%

Integrated Oil & Gas — 0.7%
Occidental Petroleum Corp.		33,830		2,702,002

Oil & Gas-Equipment & Services — 0.8%
Schlumberger, Ltd. (1)		55,214		3,487,316

Oil & Gas-Exploration & Production — 0.5%
Pioneer Natural Resources Co. (1)		11,400		1,991,580

Total Energy				8,180,898

Financials — 6.4%

Consumer Finance — 2.1%
American Express Co.		80,737		8,556,507

Diversified Banks — 1.2%
U.S. Bancorp (1)		86,732		4,693,069

Financial Exchanges & Data — 0.7%
S&P Global, Inc.		13,345		2,763,082

Investment Banking & Brokerage — 0.8%
Evercore, Inc., Class A (1)		32,681		3,469,088

Property & Casualty Insurance — 1.6%
Allstate Corp.		32,874		3,306,138
Progressive Corp.		45,962		3,103,814

				6,409,952

Total Financials				25,891,698

Healthcare — 13.4%

Biotechnology — 6.3%
AbbVie, Inc. (1)		101,276		9,720,471
Amgen, Inc. (1)		34,157		6,824,910
Celgene Corp. (1)(2)		95,207		8,992,301

				25,537,682

Healthcare Equipment — 1.1%
Edwards Lifesciences Corp. (1)(2)		12,957		1,868,918
Intuitive Surgical, Inc. (1)(2)		4,565		2,556,400

				4,425,318

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

August 31, 2018



Schedules of Investments

Large-Cap Growth Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Healthcare (continued)

Healthcare Technology — 0.6%
Veeva Systems, Inc., Class A (1)(2)		25,096	$	2,619,019

Managed Healthcare — 1.4%
Cigna Corp.		30,447		5,734,388

Pharmaceuticals — 4.0%
Eli Lilly & Co. (1)		91,995		9,719,271
Jazz Pharmaceuticals PLC (1)(2)		16,553		2,829,239
Zoetis, Inc.		41,830		3,789,798

				16,338,308

Total Healthcare				54,654,715

Industrials — 10.7%

Aerospace & Defense — 3.4%
Boeing Co. (1)		28,534		9,781,170
Huntington Ingalls Industries, Inc.		16,383		4,005,152

				13,786,322

Airlines — 0.9%
Southwest Airlines Co. (1)		59,978		3,676,651

Building Products — 1.2%
Masco Corp.		131,336		4,986,828

Construction Machinery & Heavy Trucks — 0.5%
Allison Transmission Holdings, Inc. (1)		39,922		1,982,527

Diversified Support Services — 0.5%
KAR Auction Services, Inc. (1)		32,550		2,040,559

Railroads — 1.5%
Genesee & Wyoming, Inc., Class A (1)(2)		70,112		6,162,144

Research & Consulting Services — 1.0%
CoStar Group, Inc. (1)(2)		4,670		2,064,887
Dun & Bradstreet Corp.		12,172		1,739,622

				3,804,509

Trading Companies & Distributors — 1.7%
WW Grainger, Inc. (1)		19,554		6,923,485

Total Industrials				43,363,025

Information Technology — 40.7%

Application Software — 4.9%
Adobe Systems, Inc. (2)		41,519		10,940,672
salesforce.com, Inc. (2)		57,350		8,756,198

				19,696,870

Communications Equipment — 3.3%
F5 Networks, Inc. (1)(2)		27,593		5,218,388
Palo Alto Networks, Inc. (1)(2)		35,126		8,119,375

				13,337,763

Data Processing & Outsourced Services — 7.5%
Alliance Data Systems Corp. (1)		23,769		5,670,808
Black Knight, Inc. (1)(2)		42,508		2,269,928
Mastercard, Inc., Class A (1)		51,052		11,004,769
Sabre Corp. (1)		58,863		1,536,913
Visa, Inc., Class A (1)		66,908		9,828,116

				30,310,534

Internet Software & Services — 6.7%
Akamai Technologies, Inc. (1)(2)		24,837		1,866,252
Alphabet, Inc., Class A (2)		3,905		4,810,179
Alphabet, Inc., Class C (1)(2)		11,509		14,020,149


Description	Shares		Value
Common Stocks (continued)

Information Technology (continued)

Internet Software & Services (continued)
Facebook, Inc., Class A (2)		21,298	$	3,742,697
VeriSign, Inc. (1)(2)		17,685		2,805,018

				27,244,295

Semiconductor Equipment — 0.6%
Applied Materials, Inc.		59,565		2,562,486

Semiconductors — 2.3%
Intel Corp. (1)		134,673		6,522,213
Texas Instruments, Inc. (1)		24,681		2,774,145

				9,296,358

Systems Software — 8.0%
Fortinet, Inc. (1)(2)		96,336		8,069,103
Microsoft Corp.		191,683		21,531,751
Red Hat, Inc. (1)(2)		20,461		3,022,704

				32,623,558

Technology Hardware, Storage & Peripherals — 7.4%
Apple, Inc.		103,202		23,491,871
NetApp, Inc. (1)		77,490		6,726,907

				30,218,778

Total Information Technology				165,290,642

Materials — 1.9%

Commodity Chemicals — 0.6%
Westlake Chemical Corp. (1)		26,794		2,533,908

Metal & Glass Containers — 1.3%
Berry Global Group, Inc. (2)		106,975		5,105,917

Total Materials				7,639,825

Real Estate — 3.4%

Office REIT’s — 2.3%
Alexandria Real Estate Equities, Inc. (1)		44,732		5,741,352
Douglas Emmett, Inc. (1)		93,054		3,634,690

				9,376,042

Residential REIT’s — 0.9%
Essex Property Trust, Inc. (1)		13,980		3,442,994

Specialized REIT’s — 0.2%
Equinix, Inc.		2,237		975,623

Total Real Estate				13,794,659

Total Common Stocks (identified cost $270,456,868)				399,401,591

Short-Term Investments — 38.7%

Collateral Pool Investments for Securities on Loan — 37.1%

Collateral pool allocation (3)				150,732,234

Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		6,735,157		6,735,831

Total Short-Term Investments (identified cost $157,467,984)				157,468,065

Total Investments — 137.0% (identified cost $427,924,852)				556,869,656
Other Assets and Liabilities — (37.0)%				(150,446,061	)

Total Net Assets — 100.0%			$	406,423,595

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



		BMO Funds

Mid-Cap Value Fund


Description	Shares		Value
Common Stocks — 98.7%

Consumer Discretionary — 12.3%

Auto Parts & Equipment — 1.2%
Lear Corp.		14,805	$	2,401,371

Automotive Retail — 1.4%
AutoZone, Inc. (1)(2)		3,681		2,822,885

Broadcasting — 1.3%
AMC Networks, Inc., Class A (1)(2)		39,972		2,510,641

Department Stores — 1.9%
Kohl’s Corp. (1)		48,968		3,873,858

Homefurnishing Retail — 2.5%
Bed Bath & Beyond, Inc. (1)		109,372		1,962,134
Williams-Sonoma, Inc. (1)		44,793		3,145,812

				5,107,946

Leisure Products — 1.4%
Brunswick Corp. (1)		41,825		2,778,017

Publishing — 1.0%
News Corp., Class A (1)		150,896		1,972,211

Specialized Consumer Services — 1.6%
ServiceMaster Global Holdings, Inc. (2)		52,880		3,187,078

Total Consumer Discretionary				24,654,007

Consumer Staples — 3.4%

Agricultural Products — 0.7%
Ingredion, Inc. (1)		14,808		1,496,644

Food Distributors — 1.5%
Sysco Corp. (1)		39,889		2,984,495

Food Retail — 1.2%
Kroger Co. (1)		76,334		2,404,521

Total Consumer Staples				6,885,660

Energy — 6.6%

Oil & Gas-Exploration & Production — 3.7%
Cimarex Energy Co. (1)		29,669		2,506,437
Devon Energy Corp. (1)		59,770		2,565,926
Newfield Exploration Co. (1)(2)		86,439		2,358,056

				7,430,419

Oil & Gas-Refining & Marketing — 2.9%
Marathon Petroleum Corp. (1)		36,829		3,030,658
PBF Energy, Inc. (1)		52,378		2,719,466

				5,750,124

Total Energy				13,180,543

Financials — 18.1%

Asset Management & Custody Banks — 2.8%
Ameriprise Financial, Inc. (1)		20,095		2,852,686
Northern Trust Corp.		25,273		2,715,837

				5,568,523

Consumer Finance — 2.3%
Discover Financial Services (1)		36,699		2,866,926
Synchrony Financial		56,147		1,778,175

				4,645,101

Investment Banking & Brokerage — 1.4%
E*TRADE Financial Corp. (2)		46,006		2,707,913

Life & Health Insurance — 1.1%
Unum Group		61,082		2,252,704


Description	Shares		Value
Common Stocks (continued)

Financials (continued)

Multi-Line Insurance — 3.8%
American Financial Group, Inc.		22,392	$	2,493,573
American National Insurance Co. (1)		18,164		2,331,168
Hartford Financial Services Group, Inc. (1)		54,260		2,733,076

				7,557,817

Regional Banks — 6.7%
BankUnited, Inc.		57,340		2,224,219
Comerica, Inc. (1)		22,508		2,194,080
Regions Financial Corp. (1)		149,883		2,916,723
SunTrust Banks, Inc. (1)		40,021		2,943,945
TCF Financial Corp. (1)		126,029		3,194,835

				13,473,802

Total Financials				36,205,860

Healthcare — 7.7%

Biotechnology — 0.7%
United Therapeutics Corp. (2)		12,072		1,484,735

Healthcare Equipment — 4.4%
Hill-Rom Holdings, Inc.		35,925		3,494,425
Hologic, Inc. (1)(2)		59,189		2,353,355
STERIS PLC (1)		25,146		2,877,205

				8,724,985

Healthcare Services — 1.1%
MEDNAX, Inc. (1)(2)		46,839		2,217,827

Life Sciences Tools & Services — 1.5%
Charles River Laboratories International, Inc. (1)(2)		23,510		2,903,720

Total Healthcare				15,331,267

Industrials — 10.8%

Airlines — 1.0%
JetBlue Airways Corp. (1)(2)		100,939		1,925,916

Construction Machinery & Heavy Trucks — 1.2%
Allison Transmission Holdings, Inc. (1)		49,172		2,441,882

Electrical Components & Equipment — 1.2%
Regal Beloit Corp. (1)		28,977		2,425,375

Environmental & Facilities Services — 1.3%
Republic Services, Inc. (1)		36,450		2,673,972

Human Resource & Employment Services — 1.2%
Robert Half International, Inc. (1)		31,500		2,462,670

Industrial Machinery — 1.0%
Crane Co.		22,331		2,038,374

Trading Companies & Distributors — 2.3%
United Rentals, Inc. (1)(2)		13,561		2,113,753
WESCO International, Inc. (1)(2)		41,875		2,560,656

				4,674,409

Trucking — 1.6%
Ryder System, Inc. (1)		40,228		3,091,119

Total Industrials				21,733,717

Information Technology — 10.4%

Communications Equipment — 2.7%
ARRIS International PLC (1)(2)		92,114		2,386,674
Juniper Networks, Inc.		106,483		3,027,312

				5,413,986

Data Processing & Outsourced Services — 2.0%
Alliance Data Systems Corp. (1)		7,059		1,684,136
Sabre Corp.		89,498		2,336,793

				4,020,929

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

August 31, 2018



Schedules of Investments

Mid-Cap Value Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Information Technology (continued)

Electronic Manufacturing Services — 1.5%
Jabil, Inc. (1)		102,536	$	3,030,964

Internet Software & Services — 1.2%
Akamai Technologies, Inc. (1)(2)		31,631		2,376,753

Semiconductors — 1.0%
ON Semiconductor Corp. (1)(2)		92,214		1,967,847

Technology Distributors — 1.2%
CDW Corp. (1)		28,177		2,467,178

Technology Hardware, Storage & Peripherals — 0.8%
Western Digital Corp. (1)		24,484		1,548,368

Total Information Technology				20,826,025

Materials — 5.7%

Commodity Chemicals — 1.3%
Cabot Corp. (1)		39,595		2,570,508

Copper — 0.9%
Freeport-McMoRan, Inc. (1)		122,897		1,726,703

Gold — 1.1%
Newmont Mining Corp. (1)		68,778		2,134,181

Metal & Glass Containers — 1.3%
Owens-Illinois, Inc. (1)(2)		151,873		2,683,596

Paper Packaging — 1.1%
Avery Dennison Corp.		21,562		2,267,891

Total Materials				11,382,879

Real Estate — 13.9%

Hotel & Resort REIT’s — 1.6%
Host Hotels & Resorts, Inc. (1)		151,395		3,259,534

Office REIT’s — 4.7%
Boston Properties, Inc. (1)		24,231		3,160,934
Highwoods Properties, Inc.		72,789		3,620,525
Piedmont Office Realty Trust, Inc., Class A (1)		129,599		2,571,244

				9,352,703

Real Estate Services — 1.3%
Realogy Holdings Corp. (1)		125,087		2,675,611

Residential REIT’s — 3.5%
Essex Property Trust, Inc. (1)		14,685		3,616,622
UDR, Inc. (1)		84,519		3,378,224

				6,994,846

Retail REIT’s — 1.1%
Brixmor Property Group, Inc. (1)		119,828		2,183,266

Specialized REIT’s — 1.7%
Digital Realty Trust, Inc. (1)		26,752		3,324,739

Total Real Estate				27,790,699

Utilities — 9.8%

Electric Utilities — 3.2%
Entergy Corp. (1)		38,782		3,241,787
Xcel Energy, Inc.		64,870		3,117,004

				6,358,791

Gas Utilities — 1.5%
UGI Corp. (1)		56,797		3,069,878

Independent Power Producers & Energy Traders — 1.5%
AES Corp. (1)		225,076		3,029,523


Description	Shares		Value
Common Stocks (continued)

Utilities (continued)

Multi-Utilities — 3.6%
Ameren Corp.		53,435	$	3,378,695
CenterPoint Energy, Inc. (1)		133,205		3,701,767

				7,080,462

Total Utilities				19,538,654

Total Common Stocks (identified cost $170,518,399)				197,529,311

Short-Term Investments — 47.9%

Collateral Pool Investments for Securities on Loan — 46.7%

Collateral pool allocation (3)				93,348,421

Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		2,420,630		2,420,873

Total Short-Term Investments (identified cost $95,768,710)				95,769,294

Total Investments — 146.6% (identified cost $266,287,109)				293,298,605
Other Assets and Liabilities — (46.6)%				(93,189,034	)

Total Net Assets — 100.0%			$	200,109,571

Mid-Cap Growth Fund


Description	Shares		Value
Common Stocks — 98.8%

Consumer Discretionary — 15.9%

Apparel Retail — 2.1%
Burlington Stores, Inc. (1)(2)		16,006	$	2,691,889

Apparel, Accessories & Luxury Goods — 1.5%
Columbia Sportswear Co. (1)		21,010		1,905,607

Automotive Retail — 1.7%
O’Reilly Automotive, Inc. (2)		6,633		2,224,841

Footwear — 1.4%
Skechers U.S.A., Inc., Class A (1)(2)		61,128		1,802,054

Homebuilding — 1.0%
D.R. Horton, Inc.		27,988		1,245,746

Hotels, Resorts & Cruise Lines — 0.8%
Wyndham Hotels & Resorts, Inc.		17,087		969,687

Internet & Direct Marketing Retail — 2.6%
Expedia Group, Inc. (1)		14,362		1,874,241
TripAdvisor, Inc. (1)(2)		27,313		1,483,369

				3,357,610

Leisure Products — 1.5%
Brunswick Corp. (1)		28,981		1,924,918

Specialty Stores — 3.3%
Tractor Supply Co. (1)		26,308		2,322,470
Ulta Salon Cosmetics & Fragrance, Inc. (1)(2)		7,488		1,946,880

				4,269,350

Total Consumer Discretionary				20,391,702

Consumer Staples — 2.9%

Food Distributors — 1.2%
U.S. Foods Holding Corp. (2)		47,803		1,557,900

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



		BMO Funds

Mid-Cap Growth Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Consumer Staples (continued)

Food Retail — 1.7%
Sprouts Farmers Market, Inc. (1)(2)		80,575	$	2,132,820

Total Consumer Staples				3,690,720

Energy — 2.9%

Oil & Gas-Exploration & Production — 1.4%
Newfield Exploration Co. (1)(2)		64,392		1,756,614

Oil & Gas-Storage & Transportation — 1.5%
Cheniere Energy, Inc. (1)(2)		28,520		1,908,843

Total Energy				3,665,457

Financials — 7.0%

Asset Management & Custody Banks — 1.0%
Legg Mason, Inc. (1)		42,357		1,321,538

Financial Exchanges & Data — 1.3%
MSCI, Inc. (1)		8,989		1,620,357

Investment Banking & Brokerage — 1.7%
LPL Financial Holdings, Inc. (1)		33,767		2,236,726

Property & Casualty Insurance — 1.4%
Progressive Corp.		26,669		1,800,958

Regional Banks — 1.6%
Citizens Financial Group, Inc.		49,081		2,020,174

Total Financials				8,999,753

Healthcare — 17.0%

Biotechnology — 3.3%
Exelixis, Inc. (1)(2)		69,144		1,299,216
Incyte Corp. (1)(2)		17,670		1,305,989
Neurocrine Biosciences, Inc. (1)(2)		13,243		1,628,227

				4,233,432

Healthcare Equipment — 6.5%
DexCom, Inc. (1)(2)		16,284		2,351,084
Hill-Rom Holdings, Inc.		20,575		2,001,330
Insulet Corp. (1)(2)		18,451		1,923,886
Masimo Corp. (2)		17,213		2,029,241

				8,305,541

Healthcare Supplies — 1.4%
Align Technology, Inc. (1)(2)		4,734		1,829,644

Healthcare Technology — 1.3%
Veeva Systems, Inc., Class A (2)		16,343		1,705,556

Life Sciences Tools & Services — 1.5%
Bio-Rad Laboratories, Inc., Class A (1)(2)		5,984		1,946,595

Managed Healthcare — 1.9%
WellCare Health Plans, Inc. (2)		7,899		2,390,000

Pharmaceuticals — 1.1%
Jazz Pharmaceuticals PLC (2)		8,609		1,471,450

Total Healthcare				21,882,218

Industrials — 15.5%

Aerospace & Defense — 1.3%
Huntington Ingalls Industries, Inc.		6,813		1,665,574

Air Freight & Logistics — 1.6%
XPO Logistics, Inc. (1)(2)		19,761		2,104,546

Building Products — 1.4%
Masco Corp.		45,412		1,724,294


Description	Shares		Value
Common Stocks (continued)

Industrials (continued)

Diversified Support Services — 1.5%
KAR Auction Services, Inc.		31,436	$	1,970,723

Industrial Machinery — 1.5%
ITT, Inc.		32,826		1,940,345

Research & Consulting Services — 1.9%
Dun & Bradstreet Corp.		17,005		2,430,355

Trading Companies & Distributors — 3.5%
HD Supply Holdings, Inc. (2)		46,614		2,125,132
WW Grainger, Inc. (1)		6,771		2,397,408

				4,522,540

Trucking — 2.8%
Landstar System, Inc. (1)		18,096		2,095,517
Schneider National, Inc., Class B (1)		56,168		1,519,344

				3,614,861

Total Industrials				19,973,238

Information Technology — 31.1%

Application Software — 4.7%
Splunk, Inc. (1)(2)		16,638		2,132,160
Ultimate Software Group, Inc. (1)(2)		6,865		2,125,885
Workday, Inc., Class A (1)(2)		11,419		1,764,692

				6,022,737

Communications Equipment — 3.6%
F5 Networks, Inc. (1)(2)		12,708		2,403,337
Palo Alto Networks, Inc. (2)		9,699		2,241,924

				4,645,261

Consulting & Other Services — 4.4%
Acxiom Corp. (1)(2)		43,864		2,004,146
DXC Technology Co.		18,537		1,688,535
EPAM Systems, Inc. (1)(2)		13,829		1,976,579

				5,669,260

Data Processing & Outsourced Services — 4.1%
Euronet Worldwide, Inc. (1)(2)		18,368		1,796,390
FleetCor Technologies, Inc. (1)(2)		8,202		1,753,096
Sabre Corp.		63,749		1,664,486

				5,213,972

Electronic Equipment & Instruments — 1.7%
FLIR Systems, Inc.		34,965		2,193,704

Internet Software & Services — 2.8%
GoDaddy, Inc., Class A (1)(2)		27,121		2,209,277
VeriSign, Inc. (1)(2)		9,079		1,440,020

				3,649,297

Semiconductor Equipment — 2.3%
Lam Research Corp.		8,441		1,461,053
Teradyne, Inc. (1)		36,761		1,514,185

				2,975,238

Semiconductors — 2.6%
Maxim Integrated Products, Inc. (1)		29,672		1,794,266
ON Semiconductor Corp. (1)(2)		69,746		1,488,380

				3,282,646

Systems Software — 4.9%
Fortinet, Inc. (1)(2)		29,408		2,463,214
Proofpoint, Inc. (1)(2)		12,952		1,536,755
Red Hat, Inc. (1)(2)		15,171		2,241,212

				6,241,181

Total Information Technology				39,893,296

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

August 31, 2018



Schedules of Investments

Mid-Cap Growth Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Materials — 3.0%

Copper — 0.9%
Freeport-McMoRan, Inc.		87,164	$	1,224,654

Diversified Chemicals — 1.1%
Huntsman Corp.		47,724		1,455,105

Steel — 1.0%
Steel Dynamics, Inc.		27,071		1,237,957

Total Materials				3,917,716

Real Estate — 3.5%

Office REIT’s — 2.4%
Boston Properties, Inc.		14,132		1,843,520
Highwoods Properties, Inc.		25,714		1,279,014

				3,122,534

Residential REIT’s — 1.1%
Essex Property Trust, Inc.		5,630		1,386,556

Total Real Estate				4,509,090

Total Common Stocks (identified cost $97,355,847)				126,923,190

Short-Term Investments — 46.7%

Collateral Pool Investments for Securities on Loan — 45.5%

Collateral pool allocation (3)				58,405,407

Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		1,583,573		1,583,732

Total Short-Term Investments (identified cost $59,988,987)				59,989,139

Total Investments — 145.5% (identified cost $157,344,834)				186,912,329
Other Assets and Liabilities — (45.5)%				(58,479,949	)

Total Net Assets — 100.0%			$	128,432,380

Small-Cap Value Fund


Description	Shares		Value
Common Stocks — 98.1%

Consumer Discretionary — 8.7%

Apparel Retail — 2.0%
DSW, Inc., Class A (1)		24,371	$	810,579
Genesco, Inc. (1)(2)		6,492		330,118
Tailored Brands, Inc. (1)		16,538		389,305

				1,530,002

Auto Parts & Equipment — 3.7%
American Axle & Manufacturing Holdings, Inc. (1)(2)		39,724		703,512
Cooper-Standard Holdings, Inc. (1)(2)		5,738		794,311
Stoneridge, Inc. (2)		20,730		620,449
Tenneco, Inc. (1)		7,127		304,964
Tower International, Inc. (1)		10,092		341,110

				2,764,346

Broadcasting — 0.4%
Sinclair Broadcast Group, Inc., Class A (1)		11,214		324,645


Description	Shares		Value
Common Stocks (continued)

Consumer Discretionary (continued)

Footwear — 0.6%
Deckers Outdoor Corp. (1)(2)		3,926	$	478,344

Homebuilding — 0.9%
KB Home (1)		25,511		633,949

Leisure Products — 0.5%
Johnson Outdoors, Inc., Class A (1)		4,003		405,424

Specialty Stores — 0.6%
Hibbett Sports, Inc. (1)(2)		23,049		473,657

Total Consumer Discretionary				6,610,367

Consumer Staples — 0.9%

Food Retail — 0.5%
Smart & Final Stores, Inc. (1)(2)		51,275		358,925

Household Products — 0.4%
Central Garden & Pet Co., Class A (1)(2)		9,190		333,873

Total Consumer Staples				692,798

Energy — 7.1%

Oil & Gas-Equipment & Services — 2.9%
Exterran Corp. (1)(2)		15,207		416,520
Matrix Service Co. (1)(2)		19,824		414,321
Newpark Resources, Inc. (1)(2)		49,206		516,663
TETRA Technologies, Inc. (1)(2)		91,176		418,498
U.S. Silica Holdings, Inc. (1)		18,155		384,704

				2,150,706

Oil & Gas-Exploration & Production — 3.4%
Callon Petroleum Co. (1)(2)		26,323		297,450
Gulfport Energy Corp. (1)(2)		34,560		406,426
PDC Energy, Inc. (1)(2)		7,759		408,822
Southwestern Energy Co. (1)(2)		103,500		581,670
SRC Energy, Inc. (1)(2)		43,832		408,076
W&T Offshore, Inc. (1)(2)		71,015		480,771

				2,583,215

Oil & Gas-Refining & Marketing — 0.8%
Delek US Holdings, Inc. (1)		11,160		608,220

Total Energy				5,342,141

Financials — 25.7%

Asset Management & Custody Banks — 0.6%
Waddell & Reed Financial, Inc., Class A (1)		21,217		424,764

Consumer Finance — 0.5%
Nelnet, Inc., Class A (1)		6,845		394,614

Investment Banking & Brokerage — 0.9%
Stifel Financial Corp. (1)		12,173		680,105

Life & Health Insurance — 1.7%
American Equity Investment Life Holding Co.		24,184		896,985
CNO Financial Group, Inc. (1)		18,748		405,144

				1,302,129

Multi-Line Insurance — 1.8%
Horace Mann Educators Corp.		15,973		739,550
National General Holdings Corp. (1)		21,923		598,717

				1,338,267

Property & Casualty Insurance — 2.5%
Argo Group International Holdings, Ltd. (1)		12,063		768,413
Employers Holdings, Inc. (1)		14,819		679,451
Safety Insurance Group, Inc.		4,719		456,328

				1,904,192

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



		BMO Funds

Small-Cap Value Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Financials (continued)

Regional Banks — 15.0%
1st Source Corp. (1)		6,408	$	358,784
BancFirst Corp. (1)		5,831		372,018
Banner Corp.		12,117		779,487
Cathay General Bancorp (1)		19,300		816,390
Central Pacific Financial Corp.		18,292		518,212
Community Trust Bancorp, Inc.		5,078		250,853
Customers Bancorp, Inc. (1)(2)		20,302		501,459
Eagle Bancorp, Inc. (2)		8,825		475,226
Enterprise Financial Services Corp.		8,670		488,121
Financial Institutions, Inc.		6,346		204,976
Franklin Financial Network, Inc. (1)(2)		6,317		244,152
Great Southern Bancorp, Inc.		2,686		159,280
Great Western Bancorp, Inc. (1)		19,238		837,623
Hancock Whitney Corp. (1)		13,352		688,296
Hanmi Financial Corp. (1)		20,822		543,454
Hilltop Holdings, Inc. (1)		31,895		661,821
Independent Bank Corp.		12,118		302,344
International Bancshares Corp. (1)		16,422		769,371
Investors Bancorp, Inc. (1)		59,971		767,629
Peapack Gladstone Financial Corp. (1)		6,859		229,159
Peoples Bancorp, Inc.		4,897		175,606
S&T Bancorp, Inc. (1)		5,178		241,606
TriCo Bancshares (1)		10,206		396,809
Wintrust Financial Corp.		6,866		607,984

				11,390,660

Thrifts & Mortgage Finance — 2.7%
First Defiance Financial Corp.		6,774		216,700
NMI Holdings, Inc., Class A (1)(2)		24,899		537,819
TrustCo Bank Corp. (1)		37,484		346,727
Walker & Dunlop, Inc. (1)		13,197		719,237
Washington Federal, Inc. (1)		7,434		253,499

				2,073,982

Total Financials				19,508,713

Healthcare — 8.5%

Biotechnology — 1.6%
Emergent BioSolutions, Inc. (1)(2)		8,042		498,604
Myriad Genetics, Inc. (1)(2)		13,908		692,479

				1,191,083

Healthcare Equipment — 2.9%
AngioDynamics, Inc. (1)(2)		12,228		274,152
CONMED Corp. (1)		4,936		397,002
Integer Holdings Corp. (2)		10,002		799,160
Natus Medical, Inc. (2)		9,319		347,599
Orthofix Medical, Inc. (2)		7,424		397,629

				2,215,542

Healthcare Supplies — 1.5%
Lantheus Holdings, Inc. (1)(2)		19,170		308,637
Meridian Bioscience, Inc. (1)		11,769		184,773
Merit Medical Systems, Inc. (1)(2)		10,819		636,698

				1,130,108

Healthcare Technology — 0.7%
Computer Programs & Systems, Inc. (1)		8,727		238,247
HMS Holdings Corp. (1)(2)		10,158		325,564

				563,811

Life Sciences Tools & Services — 0.6%
Cambrex Corp. (1)(2)		6,267		422,396


Description	Shares		Value
Common Stocks (continued)

Healthcare (continued)

Pharmaceuticals — 1.2%
Assertio Therapeutics, Inc. (1)(2)		40,615	$	259,124
Phibro Animal Health Corp., Class A (1)		14,240		672,128

				931,252

Total Healthcare				6,454,192

Industrials — 12.3%

Aerospace & Defense — 0.5%
Esterline Technologies Corp. (1)(2)		4,231		363,654

Airlines — 0.9%
Hawaiian Holdings, Inc. (1)		15,981		663,212

Building Products — 0.8%
Apogee Enterprises, Inc.		6,638		326,722
Quanex Building Products Corp. (1)		19,805		324,802

				651,524

Construction & Engineering — 0.8%
EMCOR Group, Inc. (1)		7,557		605,316

Construction Machinery & Heavy Trucks — 0.4%
Meritor, Inc. (2)		13,306		288,208

Diversified Support Services — 0.7%
UniFirst Corp.		2,873		532,080

Human Resource & Employment Services — 1.3%
Korn/Ferry International (1)		5,266		353,506
TrueBlue, Inc. (1)(2)		21,066		617,234

				970,740

Industrial Machinery — 1.4%
Columbus McKinnon Corp. (1)		7,566		321,782
Global Brass & Copper Holdings, Inc. (1)		7,461		287,622
Rexnord Corp. (1)(2)		14,914		432,953

				1,042,357

Office Services & Supplies — 2.5%
ACCO Brands Corp.		40,910		507,284
Herman Miller, Inc.		15,425		590,778
Kimball International, Inc., Class B (1)		13,162		229,940
Steelcase, Inc., Class A		38,802		566,509

				1,894,511

Research & Consulting Services — 1.1%
ICF International, Inc. (1)		10,232		835,443

Trading Companies & Distributors — 0.7%
Rush Enterprises, Inc., Class A		13,066		561,315

Trucking — 1.2%
ArcBest Corp. (1)		11,170		537,277
Covenant Transportation Group, Inc., Class A (2)		11,711		349,808

				887,085

Total Industrials				9,295,445

Information Technology — 12.4%

Communications Equipment — 1.7%
Ciena Corp. (1)(2)		23,031		727,319
Comtech Telecommunications Corp. (1)		15,776		565,570

				1,292,889

Consulting & Other Services — 1.4%
CACI International, Inc., Class A (1)(2)		1,347		262,665
Perficient, Inc. (1)(2)		8,946		257,019
Virtusa Corp. (1)(2)		9,212		536,691

				1,056,375

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

August 31, 2018



Schedules of Investments

Small-Cap Value Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Information Technology (continued)

Data Processing & Outsourced Services — 1.9%
CSG Systems International, Inc.		9,243	$	345,226
Sykes Enterprises, Inc. (1)(2)		14,048		424,811
Travelport Worldwide, Ltd.		38,026		706,143

				1,476,180

Electronic Components — 1.0%
Vishay Intertechnology, Inc. (1)		30,348		722,283

Electronic Manufacturing Services — 1.3%
Benchmark Electronics, Inc. (1)		14,226		367,742
TTM Technologies, Inc. (1)(2)		34,990		654,313

				1,022,055

Internet Software & Services — 0.4%
XO Group, Inc. (1)(2)		10,287		309,227

Semiconductor Equipment — 2.4%
Amkor Technology, Inc. (1)(2)		59,738		521,513
Cohu, Inc. (1)		12,425		327,772
Entegris, Inc. (1)		13,495		457,480
Rudolph Technologies, Inc. (1)(2)		17,515		486,917

				1,793,682

Semiconductors — 0.9%
Diodes, Inc. (1)(2)		18,324		694,846

Technology Distributors — 1.4%
Insight Enterprises, Inc. (2)		10,366		571,581
Tech Data Corp. (1)(2)		6,476		471,129

				1,042,710

Total Information Technology				9,410,247

Materials — 6.1%

Aluminum — 0.3%
Kaiser Aluminum Corp. (1)		1,891		207,235

Commodity Chemicals — 1.5%
Koppers Holdings, Inc. (2)		12,396		439,438
Trinseo SA		8,939		689,644

				1,129,082

Forest Products — 1.9%
Boise Cascade Co. (1)		12,559		548,828
Louisiana-Pacific Corp.		30,342		884,773

				1,433,601

Metal & Glass Containers — 0.3%
Owens-Illinois, Inc. (1)(2)		15,245		269,379

Paper Products — 0.4%
Domtar Corp.		6,137		312,373

Specialty Chemicals — 1.7%
Kraton Corp. (1)(2)		14,438		679,019
Stepan Co. (1)		6,981		622,775

				1,301,794

Total Materials				4,653,464

Real Estate — 8.8%

Diversified REIT’s — 1.0%
American Assets Trust, Inc. (1)		19,008		750,816

Hotel & Resort REIT’s — 3.4%
Ashford Hospitality Trust, Inc. (1)		23,749		154,131
Chesapeake Lodging Trust (1)		23,685		779,473
Hersha Hospitality Trust (1)		33,901		800,064


Description	Shares		Value
Common Stocks (continued)

Real Estate (continued)

Hotel & Resort REIT’s (continued)
Xenia Hotels & Resorts, Inc.		34,052	$	826,101

				2,559,769

Industrial REIT’s — 1.1%
First Industrial Realty Trust, Inc.		13,460		436,912
STAG Industrial, Inc. (1)		13,415		387,291

				824,203

Office REIT’s — 1.6%
Brandywine Realty Trust		23,844		399,625
Piedmont Office Realty Trust, Inc., Class A (1)		40,089		795,366

				1,194,991

Real Estate Services — 0.7%
Realogy Holdings Corp. (1)		27,036		578,300

Residential REIT’s — 0.8%
Preferred Apartment Communities, Inc., Class A (1)		32,952		587,205

Retail REIT’s — 0.2%
Saul Centers, Inc. (1)		3,402		204,120

Total Real Estate				6,699,404

Telecommunication Services — 1.1%

Alternative Carriers — 1.1%
Iridium Communications, Inc. (1)(2)		40,456		819,234

Utilities — 6.5%

Electric Utilities — 4.4%
El Paso Electric Co. (1)		9,825		602,272
IDACORP, Inc. (1)		9,908		969,498
PNM Resources, Inc. (1)		21,123		822,741
Portland General Electric Co. (1)		20,199		937,234

				3,331,745

Multi-Utilities — 2.1%
Black Hills Corp. (1)		13,923		819,368
NorthWestern Corp. (1)		12,900		773,484

				1,592,852

Total Utilities				4,924,597

Total Common Stocks (identified cost $62,066,662)				74,410,602

Short-Term Investments — 50.3%

Collateral Pool Investments for Securities on Loan — 48.4%

Collateral pool allocation (3)				36,689,352

Mutual Funds — 1.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		1,486,043		1,486,191

Total Short-Term Investments (identified cost $38,175,389)				38,175,543

Total Investments — 148.4% (identified cost $100,242,051)				112,586,145
Other Assets and Liabilities — (48.4)%				(36,737,715	)

Total Net Assets — 100.0%			$	75,848,430

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



		BMO Funds

Small-Cap Core Fund


Description	Shares		Value
Common Stocks — 98.2%

Consumer Discretionary — 12.8%

Apparel Retail — 1.7%
Chico’s FAS, Inc. (1)		19,228	$	175,359
DSW, Inc., Class A (1)		4,961		165,003
Tailored Brands, Inc. (1)		3,001		70,644

				411,006

Apparel, Accessories & Luxury Goods — 0.6%
Movado Group, Inc. (1)		3,373		143,690

Auto Parts & Equipment — 3.6%
American Axle & Manufacturing Holdings, Inc. (1)(2)		9,813		173,788
Cooper-Standard Holdings, Inc. (2)		1,594		220,657
Dana, Inc.		4,960		97,067
Stoneridge, Inc. (2)		6,849		204,991
Tenneco, Inc. (1)		4,344		185,880

				882,383

Casinos & Gaming — 0.8%
Penn National Gaming, Inc. (1)(2)		5,518		190,150

Consumer Electronics — 0.6%
ZAGG, Inc. (1)(2)		8,511		137,878

Footwear — 1.0%
Deckers Outdoor Corp. (1)(2)		2,029		247,213

Homebuilding — 0.7%
KB Home (1)		7,189		178,647

Homefurnishing Retail — 0.8%
RH (1)(2)		1,240		197,160

Leisure Products — 1.5%
Johnson Outdoors, Inc., Class A		1,233		124,878
MCBC Holdings, Inc. (1)(2)		4,752		131,013
Nautilus, Inc. (1)(2)		8,335		122,108

				377,999

Restaurants — 1.0%
BJ’s Restaurants, Inc. (1)		3,062		231,793

Specialty Stores — 0.5%
Container Store Group, Inc. (2)		10,013		113,147

Total Consumer Discretionary				3,111,066

Consumer Staples — 0.9%

Food Distributors — 0.9%
Performance Food Group Co. (2)		6,746		223,293

Energy — 4.7%

Oil & Gas-Equipment & Services — 1.6%
Mammoth Energy Services, Inc.		5,468		150,261
SEACOR Holdings, Inc. (2)		2,804		144,266
U.S. Silica Holdings, Inc. (1)		4,213		89,273

				383,800

Oil & Gas-Exploration & Production — 2.8%
PDC Energy, Inc. (1)(2)		1,759		92,682
SM Energy Co.		2,749		82,717
Southwestern Energy Co. (1)(2)		39,201		220,310
SRC Energy, Inc. (1)(2)		9,372		87,253
W&T Offshore, Inc. (1)(2)		29,694		201,028

				683,990

Oil & Gas-Refining & Marketing — 0.3%
Delek US Holdings, Inc. (1)		1,507		82,132

Total Energy				1,149,922


Description	Shares		Value
Common Stocks (continued)

Financials — 15.6%

Asset Management & Custody Banks — 0.3%
Waddell & Reed Financial, Inc., Class A		4,514	$	90,370

Consumer Finance — 0.3%
Nelnet, Inc., Class A (1)		1,329		76,617

Investment Banking & Brokerage — 1.4%
Evercore, Inc., Class A (1)		1,937		205,613
Stifel Financial Corp.		2,358		131,741

				337,354

Life & Health Insurance — 2.4%
American Equity Investment Life Holding Co.		5,320		197,319
CNO Financial Group, Inc. (1)		4,573		98,823
Primerica, Inc. (1)		2,313		282,764

				578,906

Multi-Line Insurance — 1.1%
Horace Mann Educators Corp.		1,865		86,350
National General Holdings Corp. (1)		6,501		177,542

				263,892

Property & Casualty Insurance — 0.2%
Employers Holdings, Inc. (1)		1,059		48,555

Regional Banks — 7.8%
1st Source Corp. (1)		2,051		114,836
BancFirst Corp.		1,807		115,287
Bancorp, Inc. (1)(2)		8,217		82,417
Cathay General Bancorp (1)		5,391		228,039
Central Pacific Financial Corp.		5,575		157,940
Community Trust Bancorp, Inc.		1,105		54,587
Customers Bancorp, Inc. (1)(2)		6,333		156,425
Enterprise Financial Services Corp.		1,238		69,699
First Financial Corp. (1)		1,280		65,856
Great Western Bancorp, Inc. (1)		5,856		254,970
Hanmi Financial Corp.		5,734		149,657
Hilltop Holdings, Inc. (1)		7,952		165,004
Independent Bank Corp.		4,413		110,104
Peapack Gladstone Financial Corp.		2,399		80,151
TriCo Bancshares (1)		2,823		109,758

				1,914,730

Thrifts & Mortgage Finance — 2.1%
NMI Holdings, Inc., Class A (1)(2)		8,283		178,913
TrustCo Bank Corp.		12,271		113,507
Walker & Dunlop, Inc. (1)		3,921		213,694

				506,114

Total Financials				3,816,538

Healthcare — 19.3%

Biotechnology — 5.0%
BioSpecifics Technologies Corp. (1)(2)		1,442		77,349
ChemoCentryx, Inc. (1)(2)		8,896		117,249
Emergent BioSolutions, Inc. (1)(2)		3,043		188,666
Genomic Health, Inc. (2)		2,627		160,693
Ligand Pharmaceuticals, Inc. (1)(2)		504		130,884
Myriad Genetics, Inc. (1)(2)		4,324		215,292
REGENXBIO, Inc. (2)		1,060		74,677
Retrophin, Inc. (1)(2)		4,146		131,387
Vanda Pharmaceuticals, Inc. (1)(2)		6,840		132,183

				1,228,380

Healthcare Equipment — 5.2%
AxoGen, Inc. (1)(2)		2,610		114,448
Cardiovascular Systems, Inc. (2)		3,138		120,907
CONMED Corp.		1,630		131,101
Globus Medical, Inc., Class A (2)		2,733		145,587
Inogen, Inc. (1)(2)		705		186,761

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

August 31, 2018



Schedules of Investments

Small-Cap Core Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Healthcare (continued)

Healthcare Equipment (continued)
Integer Holdings Corp. (2)		3,082	$	246,252
Novocure, Ltd. (1)(2)		4,476		201,644
Varex Imaging Corp. (1)(2)		4,075		127,955

				1,274,655

Healthcare Supplies — 2.0%
BioLife Solutions, Inc. (2)		4,049		97,014
Cerus Corp. (1)(2)		15,557		121,033
Lantheus Holdings, Inc. (1)(2)		8,695		139,990
OraSure Technologies, Inc. (1)(2)		7,615		121,916

				479,953

Healthcare Technology — 2.1%
Allscripts Healthcare Solutions, Inc. (1)(2)		7,330		107,091
Computer Programs & Systems, Inc. (1)		2,737		74,720
HealthStream, Inc. (1)		4,599		145,926
Simulations Plus, Inc.		3,343		69,702
Vocera Communications, Inc. (1)(2)		3,134		103,924

				501,363

Life Sciences Tools & Services — 1.4%
Cambrex Corp. (1)(2)		3,057		206,042
Luminex Corp.		4,714		132,982

				339,024

Pharmaceuticals — 3.6%
ANI Pharmaceuticals, Inc. (1)(2)		1,577		91,781
Assertio Therapeutics, Inc. (2)		18,518		118,145
Intersect ENT, Inc. (1)(2)		5,321		155,905
Pacira Pharmaceuticals, Inc. (1)(2)		3,170		149,466
Phibro Animal Health Corp., Class A (1)		3,849		181,673
Supernus Pharmaceuticals, Inc. (1)(2)		4,047		179,282

				876,252

Total Healthcare				4,699,627

Industrials — 13.6%

Airlines — 0.9%
Hawaiian Holdings, Inc. (1)		5,134		213,061

Building Products — 0.7%
Builders FirstSource, Inc. (1)(2)		6,562		102,499
Masonite International Corp. (1)(2)		894		59,853

				162,352

Construction & Engineering — 1.1%
Comfort Systems USA, Inc.		2,510		144,074
EMCOR Group, Inc. (1)		1,508		120,791

				264,865

Construction Machinery & Heavy Trucks — 0.7%
Greenbrier Cos., Inc. (1)		3,191		185,078

Electrical Components & Equipment — 0.6%
Atkore International Group, Inc. (2)		5,480		150,042

Environmental & Facilities Services — 0.5%
Advanced Disposal Services, Inc. (2)		4,603		122,808

Human Resource & Employment Services — 0.8%
TrueBlue, Inc. (1)(2)		7,086		207,620

Industrial Machinery — 2.7%
Lydall, Inc. (2)		1,772		75,841
Milacron Holdings Corp. (2)		10,480		222,176
SPX FLOW, Inc. (1)(2)		3,048		146,121
Watts Water Technologies, Inc., Class A		2,637		217,421

				661,559


Description	Shares		Value
Common Stocks (continued)

Industrials (continued)

Office Services & Supplies — 1.4%
ACCO Brands Corp.		7,653	$	94,897
Herman Miller, Inc.		6,210		237,843

				332,740

Research & Consulting Services — 0.9%
ICF International, Inc.		2,626		214,413

Trading Companies & Distributors — 2.2%
H&E Equipment Services, Inc. (1)		4,830		168,132
Rush Enterprises, Inc., Class A		4,839		207,883
WESCO International, Inc. (2)		2,504		153,120

				529,135

Trucking — 1.1%
ArcBest Corp. (1)		3,851		185,233
Covenant Transportation Group, Inc., Class A (2)		3,295		98,422

				283,655

Total Industrials				3,327,328

Information Technology — 18.1%

Application Software — 0.7%
Verint Systems, Inc. (1)(2)		3,747		181,917

Communications Equipment — 2.1%
Ciena Corp. (1)(2)		8,718		275,314
Comtech Telecommunications Corp. (1)		6,541		234,495

				509,809

Consulting & Other Services — 1.3%
Hackett Group, Inc. (1)		4,162		85,196
Virtusa Corp. (1)(2)		3,982		231,992

				317,188

Data Processing & Outsourced Services — 1.8%
MAXIMUS, Inc. (1)		2,178		144,837
Sykes Enterprises, Inc. (1)(2)		5,410		163,598
Travelport Worldwide, Ltd.		6,989		129,786

				438,221

Electronic Components — 0.7%
Vishay Intertechnology, Inc. (1)		7,269		173,002

Electronic Equipment & Instruments — 1.1%
Itron, Inc. (1)(2)		2,597		172,441
Vishay Precision Group, Inc. (1)(2)		2,045		88,548

				260,989

Electronic Manufacturing Services — 2.2%
Fabrinet (1)(2)		2,769		132,552
Methode Electronics, Inc. (1)		4,425		175,451
TTM Technologies, Inc. (1)(2)		12,194		228,028

				536,031

Internet Software & Services — 2.7%
Care.com, Inc. (2)		5,250		102,007
Etsy, Inc. (2)		5,295		257,814
Meet Group, Inc. (2)		13,727		70,008
SPS Commerce, Inc. (1)(2)		2,209		217,078

				646,907

Semiconductor Equipment — 3.2%
Axcelis Technologies, Inc. (2)		6,032		121,846
Cabot Microelectronics Corp. (1)		1,345		151,622
Entegris, Inc.		6,829		231,503
Nanometrics, Inc. (1)(2)		2,609		114,300
Rudolph Technologies, Inc. (2)		6,253		173,834

				793,105

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



		BMO Funds

Small-Cap Core Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Information Technology (continued)

Semiconductors — 0.7%
Diodes, Inc. (1)(2)		4,332	$	164,269

Systems Software — 1.1%
CommVault Systems, Inc. (1)(2)		1,986		138,325
Imperva, Inc. (1)(2)		2,827		133,293

				271,618

Technology Distributors — 0.5%
Insight Enterprises, Inc. (2)		2,169		119,599

Total Information Technology				4,412,655

Materials — 4.0%

Commodity Chemicals — 1.0%
Trinseo SA		3,097		238,934

Forest Products — 1.7%
Boise Cascade Co. (1)		3,858		168,595
Louisiana-Pacific Corp.		8,005		233,426

				402,021

Specialty Chemicals — 1.0%
Kraton Corp. (1)(2)		4,196		197,338
OMNOVA Solutions, Inc. (1)(2)		5,787		52,372

				249,710

Steel — 0.3%
Ryerson Holding Corp. (1)(2)		8,081		84,042

Total Materials				974,707

Real Estate — 5.3%

Diversified REIT’s — 0.9%
American Assets Trust, Inc.		5,518		217,961

Hotel & Resort REIT’s — 2.8%
Chesapeake Lodging Trust (1)		7,422		244,258
Hersha Hospitality Trust (1)		9,804		231,374
Xenia Hotels & Resorts, Inc.		8,429		204,488

				680,120

Office REIT’s — 0.5%
Brandywine Realty Trust		7,149		119,817

Real Estate Services — 0.7%
Realogy Holdings Corp. (1)		8,037		171,911

Retail REIT’s — 0.4%
Kite Realty Group Trust (1)		6,149		107,485

Total Real Estate				1,297,294

Telecommunication Services — 1.2%

Alternative Carriers — 1.2%
Cogent Communications Holdings, Inc. (1)		3,902		213,439
Vonage Holdings Corp. (1)(2)		5,332		75,608

Total Telecommunication Services				289,047

Utilities — 2.7%

Electric Utilities — 2.0%
PNM Resources, Inc.		6,240		243,048
Portland General Electric Co. (1)		5,284		245,178

				488,226

Multi-Utilities — 0.7%
Black Hills Corp. (1)		1,014		59,674


Description	Shares		Value
Common Stocks (continued)

Utilities (continued)

Multi-Utilities (continued)
NorthWestern Corp.		1,671	$	100,193

				159,867

Total Utilities				648,093

Total Common Stocks (identified cost $19,661,444)				23,949,570

Short-Term Investments — 47.8%

Collateral Pool Investments for Securities on Loan — 46.0%

Collateral pool allocation (3)				11,219,203

Mutual Funds — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		440,698		440,742

Total Short-Term Investments (identified cost $11,659,879)				11,659,945

Total Investments — 146.0% (identified cost $31,321,323)				35,609,515
Other Assets and Liabilities — (46.0)%				(11,214,002	)

Total Net Assets — 100.0%			$	24,395,513

Small-Cap Growth Fund


Description	Shares		Value
Common Stocks — 99.0%

Consumer Discretionary — 12.1%

Apparel Retail — 2.1%
Boot Barn Holdings, Inc. (1)(2)		60,302	$	1,804,839
Chico’s FAS, Inc. (1)		154,425		1,408,356

				3,213,195

Apparel, Accessories & Luxury Goods — 1.9%
G-III Apparel Group, Ltd. (1)(2)		33,524		1,524,671
Oxford Industries, Inc. (1)		15,462		1,439,358

				2,964,029

Auto Parts & Equipment — 1.6%
Gentherm, Inc. (1)(2)		30,448		1,498,042
Tenneco, Inc. (1)		21,919		937,914

				2,435,956

Casinos & Gaming — 1.0%
Boyd Gaming Corp. (1)		40,060		1,458,985

Homefurnishing Retail — 0.8%
Sleep Number Corp. (1)(2)		37,689		1,270,119

Leisure Products — 1.0%
Callaway Golf Co. (1)		69,130		1,576,855

Restaurants — 1.5%
Bloomin’ Brands, Inc. (1)		61,394		1,184,904
Chuy’s Holdings, Inc. (2)		36,044		1,043,474

				2,228,378

Specialized Consumer Services — 0.8%
Sotheby’s (1)(2)		25,092		1,204,918

Specialty Stores — 1.4%
Five Below, Inc. (1)(2)		18,547		2,160,169

Total Consumer Discretionary				18,512,604

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

August 31, 2018



Schedules of Investments

Small-Cap Growth Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Consumer Staples — 2.5%

Food Distributors — 0.9%
Performance Food Group Co. (1)(2)		42,960	$	1,421,976

Household Products — 0.8%
Central Garden & Pet Co., Class A (1)(2)		32,213		1,170,298

Soft Drinks — 0.8%
Primo Water Corp. (2)		63,205		1,264,100

Total Consumer Staples				3,856,374

Energy — 2.4%

Oil & Gas-Equipment & Services — 0.8%
SEACOR Holdings, Inc. (2)		23,803		1,224,664

Oil & Gas-Exploration & Production — 1.6%
HighPoint Resources Corp. (1)(2)		194,593		1,072,208
Matador Resources Co. (1)(2)		44,631		1,461,219

				2,533,427

Total Energy				3,758,091

Financials — 5.1%

Diversified Banks — 0.9%
Bank of NT Butterfield & Son, Ltd.		26,184		1,383,563

Investment Banking & Brokerage — 0.8%
Houlihan Lokey, Inc.		25,490		1,198,795

Property & Casualty Insurance — 0.7%
Employers Holdings, Inc. (1)		23,010		1,055,008

Regional Banks — 2.7%
Great Western Bancorp, Inc. (1)		30,349		1,321,395
LegacyTexas Financial Group, Inc. (1)		30,944		1,431,779
Trustmark Corp. (1)		38,122		1,352,569

				4,105,743

Total Financials				7,743,109

Healthcare — 27.3%

Biotechnology — 9.2%
ChemoCentryx, Inc. (1)(2)		78,353		1,032,693
Emergent BioSolutions, Inc. (1)(2)		24,894		1,543,428
Genomic Health, Inc. (2)		26,086		1,595,681
Lexicon Pharmaceuticals, Inc. (1)(2)		94,281		1,090,831
Ligand Pharmaceuticals, Inc. (1)(2)		6,070		1,576,318
Loxo Oncology, Inc. (2)		7,921		1,338,491
Momenta Pharmaceuticals, Inc. (1)(2)		41,954		1,111,781
REGENXBIO, Inc. (1)(2)		17,654		1,243,724
Repligen Corp. (1)(2)		21,082		1,156,980
Retrophin, Inc. (1)(2)		43,045		1,364,096
Vanda Pharmaceuticals, Inc. (1)(2)		54,748		1,058,005

				14,112,028

Healthcare Equipment — 7.9%
AtriCure, Inc. (1)(2)		37,490		1,295,279
Cardiovascular Systems, Inc. (1)(2)		42,206		1,626,197
CONMED Corp.		18,646		1,499,698
Cutera, Inc. (1)(2)		29,457		1,001,538
Glaukos Corp. (1)(2)		30,270		2,069,560
Inogen, Inc. (1)(2)		5,991		1,587,076
Integer Holdings Corp. (2)		20,630		1,648,337
Masimo Corp. (2)		11,661		1,374,715

				12,102,400


Description	Shares		Value
Common Stocks (continued)

Healthcare (continued)

Healthcare Services — 1.2%
Amedisys, Inc. (1)(2)		14,130	$	1,766,391

Healthcare Supplies — 1.3%
Lantheus Holdings, Inc. (1)(2)		64,964		1,045,921
OraSure Technologies, Inc. (1)(2)		59,608		954,324

				2,000,245

Healthcare Technology — 2.9%
Evolent Health, Inc., Class A (1)(2)		59,314		1,512,507
Medidata Solutions, Inc. (1)(2)		18,944		1,609,861
Vocera Communications, Inc. (1)(2)		38,383		1,272,780

				4,395,148

Life Sciences Tools & Services — 1.9%
Cambrex Corp. (1)(2)		22,216		1,497,358
Medpace Holdings, Inc. (2)		23,782		1,421,926

				2,919,284

Pharmaceuticals — 2.9%
Assertio Therapeutics, Inc. (1)(2)		126,059		804,257
Intersect ENT, Inc. (2)		44,301		1,298,019
Pacira Pharmaceuticals, Inc. (1)(2)		26,379		1,243,770
Supernus Pharmaceuticals, Inc. (1)(2)		24,597		1,089,647

				4,435,693

Total Healthcare				41,731,189

Industrials — 18.9%

Air Freight & Logistics — 1.9%
Echo Global Logistics, Inc. (1)(2)		44,433		1,475,176
Hub Group, Inc., Class A (2)		26,779		1,415,270

				2,890,446

Building Products — 1.6%
Builders FirstSource, Inc. (1)(2)		71,411		1,115,440
PGT Innovations, Inc. (1)(2)		55,244		1,342,429

				2,457,869

Commercial Printing — 0.8%
Cimpress NV (2)		9,025		1,263,500

Construction & Engineering — 1.2%
Comfort Systems USA, Inc.		32,333		1,855,914

Construction Machinery & Heavy Trucks — 0.6%
Spartan Motors, Inc.		67,145		970,245

Electrical Components & Equipment — 1.0%
Atkore International Group, Inc. (2)		54,158		1,482,846

Human Resource & Employment Services — 2.7%
Insperity, Inc. (1)		17,059		2,044,521
Korn/Ferry International (1)		30,250		2,030,683

				4,075,204

Industrial Machinery — 6.6%
Hillenbrand, Inc. (1)		27,077		1,384,989
Milacron Holdings Corp. (1)(2)		66,352		1,406,662
Proto Labs, Inc. (1)(2)		10,680		1,660,206
Rexnord Corp. (1)(2)		43,243		1,255,344
SPX FLOW, Inc. (1)(2)		31,242		1,497,741
Tennant Co.		18,138		1,388,464
Watts Water Technologies, Inc., Class A		18,151		1,496,550

				10,089,956

Office Services & Supplies — 0.8%
Herman Miller, Inc.		33,722		1,291,553

Research & Consulting Services — 1.0%
ICF International, Inc.		18,245		1,489,704

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



		BMO Funds

Small-Cap Growth Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Industrials (continued)

Trading Companies & Distributors — 0.7%
Herc Holdings, Inc. (1)(2)		21,522	$	1,131,627

Total Industrials				28,998,864

Information Technology — 21.6%

Application Software — 1.5%
HubSpot, Inc. (1)(2)		8,926		1,282,667
Monotype Imaging Holdings, Inc.		48,202		992,961

				2,275,628

Communications Equipment — 3.5%
CalAmp Corp. (1)(2)		43,144		1,013,884
Ciena Corp. (1)(2)		49,492		1,562,957
Lumentum Holdings, Inc. (1)(2)		20,608		1,399,283
Quantenna Communications, Inc. (1)(2)		72,473		1,324,082

				5,300,206

Electronic Equipment & Instruments — 0.8%
Control4 Corp. (1)(2)		38,147		1,236,344

Internet Software & Services — 6.1%
Carbonite, Inc. (1)(2)		38,422		1,596,434
Cornerstone OnDemand, Inc. (1)(2)		28,876		1,633,227
j2 Global, Inc.		17,648		1,457,195
SPS Commerce, Inc. (1)(2)		17,555		1,725,130
TrueCar, Inc. (1)(2)		123,778		1,591,785
Yelp, Inc. (1)(2)		29,358		1,383,349

				9,387,120

Semiconductor Equipment — 4.4%
Entegris, Inc.		47,806		1,620,623
FormFactor, Inc. (1)(2)		75,675		1,169,179
Nanometrics, Inc. (1)(2)		37,986		1,664,167
Photronics, Inc. (1)(2)		102,802		1,099,981
Rudolph Technologies, Inc. (1)(2)		41,160		1,144,248

				6,698,198

Semiconductors — 1.6%
Rambus, Inc. (1)(2)		96,205		1,175,625
Silicon Laboratories, Inc. (1)(2)		13,885		1,360,730

				2,536,355

Systems Software — 3.7%
CommVault Systems, Inc. (1)(2)		20,431		1,423,019
Imperva, Inc. (2)		27,374		1,290,684
Rapid7, Inc. (1)(2)		40,430		1,542,405
Varonis Systems, Inc. (2)		19,244		1,422,132

				5,678,240

Total Information Technology				33,112,091

Materials — 5.5%

Commodity Chemicals — 0.9%
Trinseo SA		16,960		1,308,464

Forest Products — 1.9%
Boise Cascade Co. (1)		34,912		1,525,654
Louisiana-Pacific Corp.		49,987		1,457,621

				2,983,275

Specialty Chemicals — 1.8%
Innospec, Inc.		16,146		1,252,930
Kraton Corp. (1)(2)		32,333		1,520,621

				2,773,551


Description	Shares		Value
Common Stocks (continued)

Materials (continued)

Steel — 0.9%
Commercial Metals Co. (1)		61,790	$	1,334,664

Total Materials				8,399,954

Real Estate — 2.7%

Diversified REIT’s — 0.9%
American Assets Trust, Inc.		33,722		1,332,019

Hotel & Resort REIT’s — 0.7%
Hersha Hospitality Trust (1)		48,698		1,149,273

Industrial REIT’s — 1.1%
EastGroup Properties, Inc. (1)		16,833		1,637,346

Total Real Estate				4,118,638

Telecommunication Services — 0.9%

Alternative Carriers — 0.9%
Cogent Communications Holdings, Inc. (1)		25,292		1,383,472

Total Common Stocks (identified cost $117,168,137)				151,614,386

Short-Term Investments — 46.3%

Collateral Pool Investments for Securities on Loan — 45.0%

Collateral pool allocation (3)				68,845,157

Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		2,038,438		2,038,642

Total Short-Term Investments (identified cost $70,883,482)				70,883,799

Total Investments — 145.3% (identified cost $188,051,619)				222,498,185
Other Assets and Liabilities — (45.3)%				(69,415,047	)

Total Net Assets — 100.0%			$	153,083,138

Global Low Volatility Equity Fund


Description	Shares		Value
Common Stocks — 98.6%

Belgium — 0.2%
bpost SA		3,458	$	52,381

Bermuda — 1.2%
Argo Group International Holdings, Ltd.		1,954		124,470
Enstar Group, Ltd. (2)		849		181,261
Giordano International, Ltd.		94,000		52,816

				358,547

Brazil — 0.6%
IRB Brasil Resseguros S/A		12,000		175,120

Canada — 9.5%
Allied Properties Real Estate Investment Trust		6,612		220,856
Atco, Ltd., Class I		6,957		207,964
BCE, Inc.		7,769		316,892
Canadian Imperial Bank of Commerce		1,146		107,399
Cogeco Communications, Inc.		3,094		153,562
Detour Gold Corp. (2)		9,060		74,007
Emera, Inc. (1)		3,197		101,153
First Capital Realty, Inc.		4,251		66,583

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

August 31, 2018



Schedules of Investments

Global Low Volatility Equity Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Canada (continued)
George Weston, Ltd. (1)		3,420	$	266,367
Granite Real Estate Investment Trust		3,928		165,096
Laurentian Bank of Canada (1)		4,870		173,603
Loblaw Cos., Ltd.		4,099		212,017
Maple Leaf Foods, Inc.		6,033		146,087
Quebecor, Inc., Class B		19,929		401,329
Rogers Communications, Inc., Class B		2,361		122,338
Transcontinental, Inc., Class A		6,984		170,131

				2,905,384

Cayman Islands — 1.5%
361 Degrees International, Ltd.		165,000		47,300
Dali Foods Group Co., Ltd. (5)		201,000		145,972
Fresh Del Monte Produce, Inc.		1,331		49,833
Melco Resorts & Entertainment, Ltd., ADR		3,678		87,831
WH Group, Ltd. (5)		168,500		127,093

				458,029

China — 1.0%
Agricultural Bank of China, Ltd., Class H		353,000		170,906
China Minsheng Banking Corp., Ltd., Class H		141,600		101,391
China Telecom Corp., Ltd., Class H		98,000		46,074

				318,371

Czech Republic — 2.7%
CEZ AS		17,063		432,483
Komercni banka AS		4,772		198,615
Moneta Money Bank AS (5)		53,865		188,423

				819,521

Denmark — 0.6%
Dfds AS		2,089		110,204
Pandora AS (1)		1,417		84,660

				194,864

France — 0.1%
Boiron SA		420		32,712

Germany — 0.7%
RHOEN-KLINIKUM AG		5,678		149,082
Talanx AG (2)		1,955		73,797

				222,879

Guernsey — 1.9%
Amdocs, Ltd.		8,825		576,096

Hong Kong — 8.8%
CLP Holdings, Ltd.		57,500		675,824
Dah Sing Financial Holdings, Ltd.		16,800		104,455
Dairy Farm International Holdings, Ltd.		9,700		89,919
Hang Seng Bank, Ltd.		17,200		466,337
HK Electric Investments & HK Electric Investments, Ltd. (1)(5)		461,500		466,865
Hysan Development Co., Ltd.		40,000		205,128
PCCW, Ltd.		464,000		246,521
Vitasoy International Holdings, Ltd.		40,000		128,428
VTech Holdings, Ltd.		12,400		137,212
Yuexiu Real Estate Investment Trust		236,000		160,265

				2,680,954

Hungary — 0.4%
Magyar Telekom Telecommunications PLC		58,422		85,636
Richter Gedeon Nyrt		2,437		47,889

				133,525


Description	Shares		Value
Common Stocks (continued)

Israel — 1.9%
Bank Hapoalim BM		12,684	$	95,069
Bank Leumi Le-Israel BM		39,227		263,653
Bezeq — The Israeli Telecommunication Corp., Ltd.		116,783		139,621
Strauss Group, Ltd.		4,291		94,616

				592,959

Japan — 8.1%
AOKI Holdings, Inc. (1)		7,100		95,723
Bridgestone Corp.		1,500		55,256
Daiichi Sankyo Co., Ltd.		3,200		124,936
Doutor Nichires Holdings Co., Ltd.		4,900		86,216
Duskin Co., Ltd.		7,900		190,123
Geo Holdings Corp.		12,600		183,256
Hogy Medical Co., Ltd. (1)		1,600		55,297
Kissei Pharmaceutical Co., Ltd.		4,000		118,261
KYORIN Holdings, Inc.		10,600		220,185
Mitsui Sugar Co., Ltd.		3,200		87,265
Morinaga Milk Industry Co., Ltd.		1,600		43,416
Nihon Kohden Corp.		3,100		90,676
Nippon Telegraph & Telephone Corp.		5,800		258,393
Paramount Bed Holdings Co., Ltd.		2,100		96,580
Shimachu Co., Ltd. (1)		6,000		196,022
Suzuken Co., Ltd		4,500		204,527
Takeda Pharmaceutical Co., Ltd. (1)		2,800		117,257
Towa Pharmaceutical Co., Ltd.		1,400		97,525
Vital KSK Holdings, Inc.		6,800		77,235
Xebio Holdings Co., Ltd.		4,200		61,048

				2,459,197

Malaysia — 4.7%
Malayan Banking Bhd		53,500		129,665
Public Bank Bhd		108,200		661,390
Tenaga Nasional Bhd		165,000		629,566

				1,420,621

Netherlands — 0.7%
Intertrust NV (5)		5,027		91,903
Koninklijke Ahold Delhaize NV		3,824		93,035
Sligro Food Group NV		767		32,896

				217,834

New Zealand — 3.2%
Argosy Property, Ltd.		115,510		82,917
Chorus, Ltd. (1)		20,907		63,904
Fisher & Paykel Healthcare Corp., Ltd.		20,602		223,400
Infratil, Ltd.		44,363		99,939
Metlifecare, Ltd.		22,877		96,110
Ryman Healthcare, Ltd.		26,268		244,869
Summerset Group Holdings, Ltd.		35,178		178,743

				989,882

Philippines — 1.9%
Alliance Global Group, Inc. (2)		459,300		118,545
First Philippine Holdings Corp.		34,210		41,525
Manila Electric Co.		37,150		259,441
PLDT, Inc.		5,840		152,149

				571,660

Singapore — 4.0%
Ascott Residence Trust (1)		47,000		37,325
Cache Logistics Trust		100,700		54,292
CDL Hospitality Trusts (1)		76,000		86,379
Frasers Centrepoint Trust		110,700		185,502
Mapletree Industrial Trust		42,300		61,329
Mapletree Logistics Trust		274,000		255,524
RHT Health Trust		121,400		67,663

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



		BMO Funds

Global Low Volatility Equity Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Singapore (continued)
SATS, Ltd.		74,200	$	274,084
Sheng Siong Group, Ltd.		98,900		84,305
Singapore Airlines, Ltd.		17,200		122,808

				1,229,211

Switzerland — 1.3%
Cembra Money Bank AG		1,986		185,845
Roche Holding AG		158		39,253
Sonova Holding AG		943		178,920

				404,018

Taiwan — 2.6%
Far EasTone Telecommunications Co., Ltd.		187,000		445,659
LCY Chemical Corp.		58,000		97,815
Pou Chen Corp.		65,000		71,634
Taichung Commercial Bank Co., Ltd.		291,202		99,074
Taiwan Secom Co., Ltd.		23,075		65,886

				780,068

Thailand — 0.7%
Thai Beverage PCL (1)		461,300		208,376

United Kingdom — 0.4%
Halfords Group PLC		27,871		118,951

United States — 39.9%
ALLETE, Inc.		1,772		133,042
Allstate Corp.		6,111		614,583
Ameren Corp.		9,625		608,589
American Electric Power Co., Inc.		5,680		407,426
American Express Co.		965		102,271
Atrion Corp.		206		134,940
Bryn Mawr Bank Corp.		2,068		100,918
Carter’s, Inc.		471		49,893
Chemed Corp.		1,162		375,953
Chevron Corp.		4,799		568,490
Chico’s FAS, Inc.		10,806		98,551
Children’s Place, Inc. (1)		625		87,969
Darden Restaurants, Inc.		2,499		289,984
Discover Financial Services		6,321		493,796
Eli Lilly & Co.		1,715		181,190
Essex Property Trust, Inc.		1,136		279,774
Exelon Corp.		2,826		123,524
Fiserv, Inc. (2)		2,310		184,962
Foot Locker, Inc.		1,008		49,694
Forrester Research, Inc.		1,198		58,942
Getty Realty Corp.		3,522		102,525
Harris Corp.		2,023		328,758
Huntington Ingalls Industries, Inc.		637		155,727
ICU Medical, Inc. (2)		772		236,232
IDACORP, Inc.		2,429		237,678
Invacare Corp.		4,785		72,732
Jack Henry & Associates, Inc.		1,082		171,432
Kroger Co.		4,821		151,861
Lockheed Martin Corp.		634		203,140
Masimo Corp. (2)		1,070		126,142
Merck & Co., Inc.		8,286		568,337
Meridian Bancorp, Inc.		10,779		192,944
NorthWestern Corp.		6,441		386,202
PepsiCo, Inc.		3,701		414,549
Pfizer, Inc.		15,493		643,269
Pinnacle West Capital Corp.		661		51,922
Portland General Electric Co.		13,614		631,690
Progressive Corp.		1,508		101,835


Description	Shares or Units		Value
Common Stocks (continued)

United States (continued)
Safety Insurance Group, Inc.		2,044	$	197,655
Spirit AeroSystems Holdings, Inc., Class A		1,165		99,607
Sysco Corp.		6,902		516,408
U.S. Physical Therapy, Inc.		1,204		150,801
Unum Group		5,034		185,654
USANA Health Sciences, Inc. (2)		2,229		294,117
Valero Energy Corp.		1,684		198,510
Walmart, Inc.		4,259		408,268
WellCare Health Plans, Inc. (2)		545		164,901
Williams Cos., Inc.		4,139		122,473
Xcel Energy, Inc.		2,738		131,561

				12,191,421

Total Common Stocks (identified cost $25,461,117)				30,112,581

Common Stock Units — 0.4%

Mexico — 0.4%
Megacable Holdings SAB de C.V.,		23,300		109,822

Total Common Stock Units (identified cost $98,155)				109,822

Short-Term Investments — 7.1%

Collateral Investment for Securities on Loan — 6.6%

State Street Navigator Securities Lending Government Money Market Portfolio, 1.920% (3)		2,034,554		2,034,554

Mutual Funds — 0.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		143,962		143,976

Total Short-Term Investments (identified cost $2,178,516)				2,178,530

Total Investments — 106.1% (identified cost $27,737,788)				32,400,933
Other Assets and Liabilities — (6.1)%				(1,857,098	)

Total Net Assets — 100.0%			$	30,543,835



Industry Allocation
Industry	Value		% of Total Net Assets
Advertising	$	58,942		0.2	%
Aerospace/Defense		631,505		2.1
Airlines		122,808		0.4
Apparel		121,527		0.5
Auto Parts & Equipment		55,256		0.2
Banks		2,860,898		9.5
Beverages		751,353		2.5
Chemicals		97,815		0.3
Commercial Services		518,043		1.7
Computers		576,096		1.9
Diversified Financial Services		781,912		2.5
Electric		5,626,394		18.4
Engineering & Construction		274,084		0.9
Food		2,056,785		6.8
Healthcare-Products		1,214,919		3.9
Healthcare-Services		1,360,459		4.4
Holding Companies-Diversified		118,545		0.4
Insurance		1,654,375		5.3
Lodging		87,831		0.3
Media		554,891		1.8

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

August 31, 2018



Schedules of Investments

Global Low Volatility Equity Fund (continued)



Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Mining	$	74,007			0.2	%
Oil & Gas		767,000			2.6
Pharmaceuticals		2,766,693			9.1
Pipelines		122,473			0.4
Private Equity		82,917			0.3
Real Estate		339,374			1.1
Real Estate Investment Trusts		1,608,867			5.1
Retail		1,944,763			6.4
Savings & Loans		192,944			0.6
Shipbuilding		155,727			0.5
Software		356,394			1.2
Telecommunications		2,014,399			6.6
Transportation		162,585			0.5

Total Common Stocks		30,112,581			98.6
Common Stock Units		109,822			0.4
Collateral Investment for Securities on Loan		2,034,554			6.6
Mutual Funds		143,976			0.5

Total Investments		32,400,933			106.1
Other Assets and Liabilities		(1,857,098	)		(6.1	)

Net Assets	$	30,543,835			100.0	%

Disciplined International Equity Fund


Description	Shares		Value
Common Stocks — 94.0%

Australia — 7.1%
CSL, Ltd.		1,770	$	289,241
Evolution Mining, Ltd.		364,443		694,295
Fortescue Metals Group, Ltd.		417,831		1,153,454
Qantas Airways, Ltd.		225,218		1,041,076
Rio Tinto PLC		16,563		785,701
St. Barbara, Ltd.		142,653		404,060
Whitehaven Coal, Ltd.		185,921		672,303
Woodside Petroleum, Ltd.		18,902		501,014

				5,541,144

Belgium — 0.2%
bpost SA		10,292		155,901

Cayman Islands — 0.5%
IGG, Inc.		191,000		230,697
WH Group, Ltd. (5)		194,000		146,326

				377,023

Denmark — 3.1%
Danske Bank A/S		16,573		487,601
Novo Nordisk A/S, Class B		38,642		1,893,832

				2,381,433

Finland — 2.8%
UPM-Kymmene OYJ		55,615		2,143,230

France — 11.3%
Arkema SA		7,987		1,000,331
Bouygues SA		4,289		189,331
Capgemini SE		2,002		257,363
CNP Assurances		20,229		466,564
Credit Agricole SA		48,070		657,961
Eiffage SA		2,754		309,953


Description	Shares		Value
Common Stocks (continued)

France (continued)
Eramet		2,743	$	234,656
Peugeot SA		71,532		1,967,829
Sanofi		19,936		1,705,239
Societe Generale SA		21,578		882,644
Vinci SA		11,196		1,072,930

				8,744,801

Germany — 7.1%
Allianz SE		9,845		2,098,561
Covestro AG (5)		17,387		1,480,952
Deutsche Lufthansa AG		20,507		535,341
Fresenius Medical Care AG & Co. KGaA		2,025		205,106
Fresenius SE & Co. KGaA		13,223		1,009,631
Talanx AG (2)		4,969		187,568

				5,517,159

Hong Kong — 7.0%
BOC Hong Kong Holdings, Ltd.		161,500		788,081
CK Asset Holdings, Ltd.		194,500		1,386,498
Galaxy Entertainment Group, Ltd.		126,000		932,709
Hang Seng Bank, Ltd.		41,400		1,122,462
Hong Kong Exchanges & Clearing, Ltd.		12,900		367,174
Sands China, Ltd.		171,600		837,366

				5,434,290

Italy — 1.2%
ASTM SpA		12,052		245,933
Enel SpA		70,934		350,754
Societa Iniziative Autostradali e Servizi SpA		25,047		348,880

				945,567

Japan — 20.7%
AGC, Inc.		12,600		504,635
Aoyama Trading Co., Ltd. (1)		9,500		288,565
Bridgestone Corp.		5,300		195,238
Chubu Electric Power Co., Inc.		41,200		599,034
Daiwa Securities Group, Inc. (1)		265,700		1,593,578
Foster Electric Co., Ltd.		11,100		155,646
Fujikura, Ltd.		54,300		335,252
Fujitsu, Ltd.		59,000		431,761
Hitachi, Ltd.		237,000		1,547,507
Honda Motor Co., Ltd.		48,600		1,439,935
JVC Kenwood Corp.		88,500		251,697
Kansai Electric Power Co., Inc.		55,700		798,328
Kirin Holdings Co., Ltd.		50,100		1,238,860
Konica Minolta, Inc.		85,700		872,349
Maxell Holdings, Ltd.		10,700		172,571
Mitsubishi UFJ Financial Group, Inc.		21,900		132,216
NEC Corp.		6,600		182,360
Nippon Telegraph & Telephone Corp.		41,000		1,826,568
Nishimatsu Construction Co., Ltd.		26,500		634,655
Nisshinbo Holdings, Inc.		44,000		493,817
ORIX Corp.		93,000		1,495,734
Sumitomo Electric Industries, Ltd.		11,300		178,790
Toho Holdings Co., Ltd. (1)		6,500		171,231
Toppan Printing Co., Ltd.		62,000		483,791

				16,024,118

Jersey — 3.2%
Aptiv PLC		15,804		1,390,910
Wizz Air Holdings PLC (2)(5)		26,699		1,097,607

				2,488,517

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



		BMO Funds

Disciplined International Equity Fund (continued)


Description	Shares		Value
Common Stocks (continued)

Luxembourg — 0.4%
Ternium SA, ADR		11,388	$	321,142

Netherlands — 4.5%
ABN AMRO Group NV (5)		53,000		1,435,256
AerCap Holdings NV (2)		9,553		544,234
ASM International NV		7,748		417,478
Fiat Chrysler Automobiles NV (2)		50,461		852,817
Koninklijke Ahold Delhaize NV		8,832		214,876

				3,464,661

New Zealand — 0.2%
Air New Zealand, Ltd.		77,496		169,195

Norway — 4.8%
Austevoll Seafood ASA		41,886		551,411
DNO ASA (2)		182,847		354,633
Equinor ASA		67,502		1,731,388
Salmar ASA		23,194		1,117,916

				3,755,348

Portugal — 0.2%
Mota-Engil SGPS SA (2)		42,835		133,003

Singapore — 1.1%
DBS Group Holdings, Ltd.		25,300		459,899
SATS, Ltd.		48,400		178,783
United Overseas Bank, Ltd.		10,300		203,066

				841,748

Spain — 1.4%
Banco Bilbao Vizcaya Argentaria SA		38,573		240,434
Ence Energia y Celulosa SA		87,879		824,715

				1,065,149

Sweden — 0.4%
Boliden AB		6,307		165,104
Skandinaviska Enskilda Banken AB, Class A		16,171		172,582

				337,686

Switzerland — 5.5%
Roche Holding AG		10,863		2,698,798
TE Connectivity, Ltd.		13,485		1,236,305
Zurich Insurance Group AG		1,097		334,108

				4,269,211

United Kingdom — 11.3%
Berkeley Group Holdings PLC		15,567		735,225
GlaxoSmithKline PLC		94,092		1,903,463
Imperial Brands PLC		42,145		1,499,291
International Consolidated Airlines Group SA		25,465		228,062
Jupiter Fund Management PLC		29,900		162,498
Legal & General Group PLC		476,490		1,570,927
Moneysupermarket.com Group PLC		83,930		309,023
Persimmon PLC		20,705		653,090
QinetiQ Group PLC		103,230		362,686
Royal Mail PLC		87,245		506,727
Unilever PLC		13,910		792,037

				8,723,029

Total Common Stocks (identified cost $68,371,138)				72,833,355


Description	Shares or Units		Value
Exchange Traded Funds — 1.6%

United States — 1.6%
iShares Core MSCI EAFE		20,000	$	1,274,200

Total Exchange Traded Funds (identified cost $1,233,798)				1,274,200

Limited Partnership Units — 0.4%

Germany — 0.4%
Schaeffler AG		24,623		334,400

Total Limited Partnership Units (identified cost $334,184)				334,400

Short-Term Investments — 4.5%

Collateral Investment for Securities on Loan — 1.1%

State Street Navigator Securities Lending Government Money Market Portfolio, 1.920% (3)		819,722		819,722

Mutual Funds — 3.4%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		2,615,714		2,615,976

Total Short-Term Investments (identified cost $3,435,561)				3,435,698

Total Investments — 100.5% (identified cost $73,374,681)				77,877,653
Other Assets and Liabilities — (0.5)%				(351,981	)

Total Net Assets — 100.0%			$	77,525,672



Industry Allocation
Industry	Value		% of Total Net Assets
Agriculture	$	1,499,291		1.9	%
Airlines		3,071,281		3.9
Auto Manufacturers		4,260,581		5.5
Auto Parts & Equipment		1,764,938		2.3
Banks		6,582,202		8.5
Beverages		1,238,860		1.6
Biotechnology		289,241		0.4
Building Materials		504,635		0.7
Chemicals		2,481,283		3.2
Coal		672,303		0.9
Commercial Services		1,441,290		1.8
Computers		871,484		1.1
Cosmetics/Personal Care		792,037		1.0
Diversified Financial Services		3,618,984		4.7
Electric		1,748,116		2.3
Electrical Components & Equipment		335,252		0.4
Electronics		1,236,305		1.6
Engineering & Construction		2,518,655		3.3
Food		2,030,529		2.6
Forest Products & Paper		2,967,945		3.9
Healthcare-Services		1,214,737		1.6
Home Builders		1,388,315		1.8
Home Furnishings		579,914		0.7
Insurance		4,657,728		5.9
Internet		309,023		0.4
Iron/Steel		1,474,596		1.9
Lodging		1,770,075		2.3
Machinery-Construction & Mining		1,547,507		2.0
Mining		2,283,816		2.9
Office/Business Equipment		872,349		1.1
Oil & Gas		2,587,035		3.3

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

August 31, 2018



Schedules of Investments

Disciplined International Equity Fund (continued)



Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Pharmaceuticals	$	8,372,563			10.9	%
Real Estate		1,386,498			1.8
Retail		288,565			0.4
Semiconductors		417,478			0.5
Software		230,697			0.3
Telecommunications		2,320,385			3.0
Transportation		662,628			0.9
Trucking & Leasing		544,234			0.7

Total Common Stocks		72,833,355			94.0
Exchange Traded Funds		1,274,200			1.6
Limited Partnership Units		334,400			0.4
Collateral Investment for Securities on Loan		819,722			1.1
Mutual Funds		2,615,976			3.4

Total Investments		77,877,653			100.5
Other Assets and Liabilities		(351,981	)		(0.5	)

Net Assets	$	77,525,672			100.0	%

Pyrford International Stock Fund


Description	Shares		Value
Common Stocks — 94.7%

Australia — 10.8%
Brambles, Ltd.		1,880,358	$	14,829,130
Computershare, Ltd.		825,072		11,400,233
Newcrest Mining, Ltd.		349,929		4,877,825
QBE Insurance Group, Ltd.		1,119,023		8,857,167
Rio Tinto, Ltd.		113,387		5,929,322
Woodside Petroleum, Ltd.		443,540		11,756,402
Woolworths Group, Ltd.		632,131		12,860,624

				70,510,703

Finland — 2.4%
Kone OYJ, Class B		149,369		8,063,907
Sampo OYJ, A Shares		152,489		7,800,460

				15,864,367

France — 8.3%
Air Liquide SA		87,295		10,994,052
Bureau Veritas SA		332,331		8,540,575
Legrand SA		110,951		8,358,235
Rubis SCA		92,245		5,460,742
Sanofi		129,126		11,044,878
TOTAL SA		155,704		9,736,109

				54,134,591

Germany — 6.2%
Brenntag AG		189,638		11,433,152
Deutsche Post AG		239,638		8,736,999
Fielmann AG		96,419		6,508,052
GEA Group AG		149,643		5,685,139
SAP SE		69,690		8,382,098

				40,745,440

Hong Kong — 3.8%
AIA Group, Ltd.		642,400		5,541,071
China Mobile, Ltd.		1,000,000		9,402,771
Power Assets Holdings, Ltd.		754,500		5,291,954
VTech Holdings, Ltd.		429,100		4,748,187

				24,983,983


Description	Shares		Value
Common Stocks (continued)

Israel — 1.5%
Bezeq — The Israeli Telecommunication Corp., Ltd.		8,198,023	$	9,801,242

Japan — 10.2%
ABC-Mart, Inc. (1)		122,100		6,659,400
Japan Tobacco, Inc.		652,468		17,158,775
KDDI Corp.		449,000		11,884,700
Mitsubishi Electric Corp.		575,000		7,762,578
Nihon Kohden Corp.		316,700		9,263,568
Sumitomo Rubber Industries, Ltd.		592,400		8,786,565
Toyota Tsusho Corp.		162,800		5,553,163

				67,068,749

Malaysia — 3.0%
Axiata Group Bhd		7,068,174		8,255,806
Malayan Banking Bhd		4,699,782		11,390,639

				19,646,445

Netherlands — 4.7%
Koninklijke Vopak NV (1)		192,563		9,924,176
RELX NV		435,534		9,645,819
Unilever NV		192,272		11,057,439

				30,627,434

Norway — 1.8%
Telenor ASA		628,559		11,849,917

Singapore — 4.8%
ComfortDelGro Corp., Ltd.		5,249,100		8,757,742
Singapore Technologies Engineering, Ltd.		1,885,500		4,588,226
Singapore Telecommunications, Ltd.		3,829,300		9,011,431
United Overseas Bank, Ltd.		443,702		8,747,642

				31,105,041

Sweden — 5.4%
Assa Abloy AB, Class B		548,121		11,172,015
Atlas Copco AB, A Shares		256,023		7,298,425
Epiroc AB, Class A (2)		256,023		2,659,572
Essity AB, Class B		549,610		14,243,350

				35,373,362

Switzerland — 14.1%
Givaudan SA		2,031		4,941,035
Nestle SA		276,100		23,181,860
Novartis AG		222,473		18,449,708
Panalpina Welttransport Holding AG (1)		37,357		5,596,323
Roche Holding AG		82,854		20,584,208
Schindler Holding AG		20,466		4,881,856
SGS SA		1,834		4,830,748
Zurich Insurance Group AG		32,775		9,982,131

				92,447,869

Taiwan — 4.0%
Advantech Co., Ltd.		735,118		5,002,105
Chunghwa Telecom Co., Ltd.		2,538,000		8,965,424
Merida Industry Co., Ltd.		536,000		2,573,987
Taiwan Semiconductor Manufacturing Co., Ltd.		1,136,000		9,468,208

				26,009,724

United Kingdom — 13.7%
BP PLC		688,114		4,882,494
British American Tobacco PLC		206,021		9,939,976
GlaxoSmithKline PLC		453,315		9,170,476
Imperial Brands PLC		180,170		6,409,474
Legal & General Group PLC		2,892,375		9,535,793
National Grid PLC		1,154,904		12,127,932

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



		BMO Funds

Pyrford International Stock Fund (continued)


Description	Shares		Value
Common Stocks (continued)

United Kingdom (continued)
Reckitt Benckiser Group PLC		97,928	$	8,327,226
Royal Dutch Shell PLC, A Shares		233,748		7,594,330
Royal Dutch Shell PLC, B Shares		175,947		5,795,046
SSE PLC		482,557		7,838,907
Vodafone Group PLC		3,898,271		8,313,689

				89,935,343

Total Common Stocks (identified cost $557,739,581)				620,104,210

Preferred Stocks — 1.8%

Germany — 1.8%
Fuchs Petrolub SE		197,739		11,579,563

Total Preferred Stocks (identified cost $7,410,785)				11,579,563

Short-Term Investments — 4.7%

Collateral Investment for Securities on Loan — 2.1%

State Street Navigator Securities Lending Government Money Market Portfolio, 1.920% (3)		13,620,020		13,620,020

Mutual Funds — 2.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		16,790,788		16,792,467

Total Short-Term Investments (identified cost $30,411,508)				30,412,487

Total Investments — 101.2% (identified cost $595,561,874)				662,096,260
Other Assets and Liabilities — (1.2)%				(7,643,965	)

Total Net Assets — 100.0%			$	654,452,295



Industry Allocation
Industry	Value		% of Total Net Assets
Agriculture	$	33,508,225		5.1	%
Auto Parts & Equipment		8,786,565		1.3
Banks		20,138,281		3.0
Chemicals		27,368,239		4.2
Commercial Services		37,846,272		5.8
Computers		16,402,338		2.5
Cosmetics/Personal Care		25,300,789		3.9
Distribution/Wholesale		5,553,163		0.9
Electric		13,130,861		2.0
Electrical Components & Equipment		8,358,235		1.3
Electronics		11,172,015		1.7
Engineering & Construction		4,588,226		0.7
Food		36,042,484		5.5
Gas		17,588,674		2.6
Hand/Machine Tools		4,881,856		0.8
Healthcare-Products		9,263,568		1.4
Household Products/Wares		8,327,226		1.3
Insurance		41,716,622		6.4
Leisure Time		2,573,987		0.4
Machinery-Construction & Mining		17,720,575		2.7
Machinery-Diversified		13,749,046		2.1



Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Mining	$	10,807,147			1.6	%
Oil & Gas		39,764,381			6.1
Pharmaceuticals		59,249,270			9.0
Pipelines		9,924,176			1.5
Retail		13,167,452			2.0
Semiconductors		9,468,208			1.4
Software		8,382,098			1.3
Telecommunications		82,233,167			12.6
Transportation		23,091,064			3.6

Total Common Stocks		620,104,210			94.7
Preferred Stocks		11,579,563			1.8
Collateral Investment for Securities on Loan		13,620,020			2.1
Mutual Funds		16,792,467			2.6

Total Investments		662,096,260			101.2
Other Assets and Liabilities		(7,643,965	)		(1.2	)

Net Assets	$	654,452,295			100.0	%

LGM Emerging Markets Equity Fund


Description	Shares		Value
Common Stocks — 94.1%

Brazil — 1.4%
Raia Drogasil SA		154,800	$	2,926,420

Chile — 1.3%
Aguas Andinas SA, Class A		4,782,906		2,575,138

China — 8.6%
Foshan Haitian Flavouring & Food Co., Ltd., Class A		105,100		1,054,139
Tingyi Cayman Islands Holding Corp.		3,002,000		5,362,388
Yum China Holdings, Inc.		294,293		11,383,253

				17,799,780

Egypt — 4.1%
Commercial International Bank Egypt SAE, GDR		997,824		4,719,708
Eastern Tobacco		628,557		3,656,770

				8,376,478

Hong Kong — 10.8%
AIA Group, Ltd.		709,800		6,122,435
Dairy Farm International Holdings, Ltd.		570,105		5,284,873
Sands China, Ltd.		2,249,600		10,977,503

				22,384,811

India — 21.6%
Colgate-Palmolive India, Ltd.		186,204		3,066,372
Emami, Ltd.		764,896		6,120,138
HDFC Bank, Ltd.		277,503		8,059,672
Housing Development Finance Corp., Ltd.		109,279		2,990,348
ICICI Bank, Ltd.		1,281,438		6,171,752
ITC, Ltd.		1,984,151		8,940,761
Nestle India, Ltd.		24,339		3,970,353
Yes Bank, Ltd.		1,113,951		5,387,077

				44,706,473

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

August 31, 2018



Schedules of Investments

LGM Emerging Markets Equity Fund (continued)


Description	Shares or Units		Value
Common Stocks (continued)

Indonesia — 8.5%
Bank Mandiri Persero Tbk PT		24,043,508	$	11,262,743
Bank Rakyat Indonesia Persero Tbk PT		20,225,200		4,366,337
Kalbe Farma Tbk PT		21,708,900		1,982,245

				17,611,325

Malaysia — 3.9%
British American Tobacco Malaysia Bhd		748,600		6,168,049
Public Bank Bhd		316,600		1,935,270

				8,103,319

Mexico — 7.1%
Bolsa Mexicana de Valores SAB de C.V.		1,855,577		3,737,329
Grupo Herdez SAB de C.V., Series *(1)		635,817		1,367,463
Wal-Mart de Mexico SAB de C.V.		3,435,110		9,511,381

				14,616,173

Nigeria — 0.7%
Guaranty Trust Bank PLC		15,198,387		1,511,651

Peru — 1.4%
Credicorp, Ltd.		13,299		2,899,448

Philippines — 4.2%
Universal Robina Corp.		3,362,430		8,772,705

Russia — 4.1%
Magnit PJSC, GDR		573,408		8,469,236

South Africa — 8.0%
AVI, Ltd.		557,083		4,397,904
Clicks Group, Ltd.		276,219		3,815,750
Famous Brands, Ltd. (1)(2)		305,889		2,118,638
Mr Price Group, Ltd.		410,536		6,295,351

				16,627,643

Taiwan — 3.3%
President Chain Store Corp.		619,000		6,751,262

Thailand — 1.0%
Kasikornbank PCL		333,469		2,149,770

Turkey — 0.3%
BIM Birlesik Magazalar AS		48,355		537,589

United States — 1.9%
Western Union Co.		211,481		4,001,220

Vietnam — 1.9%
Vietnam Dairy Products JSC		577,243		3,881,479

Total Common Stocks (identified cost $169,478,159)				194,701,920

Common Stock Units — 2.6%

Mexico — 2.6%
Fomento Economico Mexicano SAB de C.V.,		557,300		5,338,108

Total Common Stock Units (identified cost $4,808,402)				5,338,108

Short-Term Investments — 4.5%

Collateral Investment for Securities on Loan — 1.0%

State Street Navigator Securities Lending Government Money Market Portfolio, 1.920% (3)		1,923,465		1,923,465


Description	Shares		Value
Short-Term Investments (continued)

Mutual Funds — 3.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		7,267,553	$	7,268,280

Total Short-Term Investments (identified cost $9,190,263)				9,191,745

Total Investments — 101.2% (identified cost $183,476,824)				209,231,773
Other Assets and Liabilities — (1.2)%				(2,413,924	)

Total Net Assets — 100.0%			$	206,817,849



Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	18,765,580			9.1	%
Banks		48,463,428			23.3
Commercial Services		4,001,220			1.9
Cosmetics/Personal Care		3,066,372			1.5
Diversified Financial Services		6,727,677			3.2
Food		38,700,225			18.7
Holding Companies-Diversified		4,397,904			2.1
Insurance		6,122,435			3.0
Lodging		10,977,503			5.3
Pharmaceuticals		8,102,383			4.0
Retail		42,802,055			20.7
Water		2,575,138			1.3

Total Common Stocks		194,701,920			94.1
Common Stock Units		5,338,108			2.6
Collateral Investment for Securities on Loan		1,923,465			1.0
Mutual Funds		7,268,280			3.5

Total Investments		209,231,773			101.2
Other Assets and Liabilities		(2,413,924	)		(1.2	)

Net Assets	$	206,817,849			100.0	%

Alternative Strategies Fund


Description	Shares		Value
Common Stocks Purchased Long — 68.6%

Australia — 0.2%
Regis Resources, Ltd.		43,985	$	132,491

Bermuda — 1.2%
Argo Group International Holdings, Ltd.		3,374		214,924
Essent Group, Ltd. (2)		5,090		220,702
IHS Markit, Ltd. (2)		7,516		413,380
Travelport Worldwide, Ltd.		2,822		52,405

				901,411

Canada — 4.0%
Air Canada (2)		1,659		34,095
Allied Properties Real Estate Investment Trust (6)		9,974		333,155
BlackBerry, Ltd. (2)(6)		30,511		325,552
Canfor Corp. (2)(6)		12,843		296,127
Cascades, Inc.		2,983		30,333
Cogeco Communications, Inc.		1,411		70,031
Cogeco, Inc.		643		30,583
Cott Corp.		26,205		408,798
Equitable Group, Inc.		2,233		111,171
George Weston, Ltd.		3,103		241,677

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



		BMO Funds

Alternative Strategies Fund (continued)


Description	Shares		Value
Common Stocks Purchased Long (continued)

Canada (continued)
Husky Energy, Inc.		8,108	$	134,077
Interfor Corp. (2)		14,572		250,795
InterRent Real Estate Investment Trust		10,160		88,988
Methanex Corp.		2,403		175,336
Premier Gold Mines, Ltd. (2)		8,605		12,397
Teck Resources, Ltd., Class B (6)		15,268		344,086
Transcontinental, Inc., Class A		3,025		73,689

				2,960,890

China — 0.3%
Agricultural Bank of China, Ltd., Class H		85,000		41,153
Yum China Holdings, Inc.		3,600		139,248

				180,401

Denmark — 0.2%
Novo Nordisk A/S, Class B		1,154		56,557
Scandinavian Tobacco Group A/S (5)		7,329		120,397

				176,954

France — 0.3%
Boiron SA		702		54,676
Peugeot SA		3,852		105,968
Sanofi		628		53,716

				214,360

Germany — 0.0%
Hamburger Hafen und Logistik AG		953		22,987

Indonesia — 0.4%
Bukit Asam Tbk PT		776,700		213,553
Indo Tambangraya Megah Tbk PT		30,800		59,174
Japfa Comfeed Indonesia Tbk PT		218,900		32,694

				305,421

Ireland — 2.5%
Allergan PLC (6)		7,802		1,495,721
Perrigo Co. PLC		3,927		300,455

				1,796,176

Italy — 0.1%
ASTM SpA		1,575		32,139
Societa Iniziative Autostradali e Servizi SpA		3,415		47,568

				79,707

Japan — 2.0%
Arcs Co., Ltd.		3,900		95,684
Fujibo Holdings, Inc.		1,400		39,312
Fukuda Corp.		1,000		50,130
Heiwado Co., Ltd.		7,400		193,675
Keihin Corp.		5,600		117,786
Mitsui Sugar Co., Ltd.		1,900		51,814
Nippon Road Co., Ltd.		1,100		60,787
Nippon Telegraph & Telephone Corp. (6)		7,700		343,038
Nissan Motor Co., Ltd.		12,300		115,129
Okinawa Electric Power Co., Inc.		5,550		111,639
Press Kogyo Co., Ltd.		10,500		55,000
Shimachu Co., Ltd.		4,000		130,681
Warabeya Nichiyo Holdings Co., Ltd.		4,000		78,769
Yorozu Corp.		2,300		34,342

				1,477,786

Jersey — 0.1%
Wizz Air Holdings PLC (2)(5)		1,514		62,241


Description	Shares		Value
Common Stocks Purchased Long (continued)

Luxembourg — 0.3%
Trinseo SA		2,797	$	215,789

Netherlands — 0.2%
BE Semiconductor Industries NV		8,165		177,230

New Zealand — 0.3%
Air New Zealand, Ltd.		76,510		167,043
New Zealand Refining Co., Ltd.		28,706		48,999

				216,042

Norway — 0.4%
Austevoll Seafood ASA		6,692		88,097
Leroy Seafood Group ASA		24,396		185,832

				273,929

Panama — 0.1%
Copa Holdings SA, Class A		892		71,306

Poland — 0.1%
Asseco Poland SA		6,752		83,610

South Korea — 0.6%
DB HiTek Co., Ltd.		4,885		80,528
Samsung Electronics Co., Ltd.		8,422		366,569

				447,097

Sweden — 0.1%
Mycronic AB		6,505		67,716

Switzerland — 0.2%
Roche Holding AG		570		141,611

Taiwan — 0.4%
HannStar Display Corp.		190,000		50,786
Uni-President Enterprises Corp.		91,000		229,907

				280,693

United Kingdom — 1.0%
Aon PLC		1,604		233,478
DFS Furniture PLC		8,929		25,467
Imperial Brands PLC		3,523		125,330
Legal & General Group PLC		93,595		308,571
Reach PLC		16,907		15,124
SThree PLC		7,125		32,561

				740,531

United States — 53.6%
AbbVie, Inc.		1,017		97,612
Aerojet Rocketdyne Holdings, Inc. (2)		9,288		326,102
Air Products & Chemicals, Inc.		3,711		617,102
Albemarle Corp.		2,185		208,711
Alexion Pharmaceuticals, Inc. (2)		4,199		513,286
Allegheny Technologies, Inc. (2)		3,709		100,254
American International Group, Inc.		7,285		387,343
Amkor Technology, Inc. (2)		7,797		68,068
Anthem, Inc.		1,980		524,165
ArcBest Corp. (6)		7,215		347,042
Armstrong World Industries, Inc. (2)(6)		2,248		156,910
Associated Banc-Corp (6)		15,358		418,505
AutoZone, Inc. (2)		619		474,699
Best Buy Co., Inc.		2,650		210,834
Boston Private Financial Holdings, Inc.		9,245		133,590
Boston Properties, Inc. (6)		2,696		351,693
Broadcom, Inc.		2,439		534,214
Camden Property Trust		3,275		311,322
Chemours Co. (6)		11,624		506,806
Citizens Financial Group, Inc.		1,479		60,876
Clean Harbors, Inc. (2)(6)		11,025		756,205
CommVault Systems, Inc. (2)		5,690		396,309
CONMED Corp.		2,906		233,730
ConocoPhillips		1,766		129,677

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

August 31, 2018



Schedules of Investments

Alternative Strategies Fund (continued)


Description	Shares		Value
Common Stocks Purchased Long (continued)

United States (continued)
Cooper-Standard Holdings, Inc. (2)		1,244	$	172,207
Corepoint Lodging, Inc. (6)		11,212		233,770
CSX Corp. (6)		8,665		642,596
Danaher Corp. (6)		9,080		940,143
Discover Financial Services		2,650		207,018
Dover Corp. (6)		7,645		656,476
DowDuPont, Inc. (6)		11,685		819,469
DXC Technology Co. (6)		14,740		1,342,667
Eagle Pharmaceuticals, Inc. (2)		2,488		171,995
Edgewell Personal Care Co. (2)		7,840		442,725
EMCOR Group, Inc.		2,306		184,711
Emergent BioSolutions, Inc. (2)(6)		6,705		415,710
Employers Holdings, Inc.		2,286		104,813
Enova International, Inc. (2)		936		31,075
EQT Corp.		10,850		553,567
Equinix, Inc. (6)		672		293,079
Essex Property Trust, Inc. (6)		1,424		350,703
Expedia Group, Inc.		3,860		503,730
Extreme Networks, Inc. (2)		27,535		172,644
F5 Networks, Inc. (2)		548		103,638
FedEx Corp.		2,190		534,250
FedNat Holding Co.		1,437		37,793
FLIR Systems, Inc.		7,394		463,900
Freeport-McMoRan, Inc.		17,172		241,267
Genomic Health, Inc. (2)		841		51,444
G-III Apparel Group, Ltd. (2)		6,845		311,311
Globus Medical, Inc., Class A (2)		1,563		83,261
Haemonetics Corp. (2)		895		99,918
Halozyme Therapeutics, Inc. (2)(6)		25,044		461,060
Hancock Whitney Corp.		8,710		449,000
HD Supply Holdings, Inc. (2)		6,561		299,116
HealthStream, Inc.		2,366		75,073
Highwoods Properties, Inc.		2,306		114,700
HP, Inc.		13,510		333,022
Humana, Inc. (6)		620		206,621
Huntington Ingalls Industries, Inc. (6)		1,103		269,650
Huntsman Corp. (6)		11,224		342,220
Inogen, Inc. (2)		776		205,570
Integer Holdings Corp. (2)		2,351		187,845
Intercontinental Exchange, Inc.		4,016		306,140
Intersect ENT, Inc. (2)		428		12,540
KKR & Co., Inc., Class A		7,607		198,391
Kraton Corp. (2)		2,607		122,607
Lantheus Holdings, Inc. (2)		4,051		65,221
Lear Corp. (6)		2,049		332,348
LeMaitre Vascular, Inc.		2,698		101,202
Luminex Corp.		1,262		35,601
Marathon Petroleum Corp. (6)		7,095		583,848
Marlin Business Services Corp.		4,186		119,720
Martin Marietta Materials, Inc. (6)		2,509		498,588
Masco Corp. (6)		13,610		516,772
Medicines Co. (2)		6,314		250,098
Merit Medical Systems, Inc. (2)(6)		6,310		371,344
Microsoft Corp. (6)		7,940		891,900
Myriad Genetics, Inc. (2)		2,061		102,617
Natus Medical, Inc. (2)		1,970		73,481
NetApp, Inc.		2,358		204,698
Olin Corp.		6,708		206,137
OraSure Technologies, Inc. (2)		7,412		118,666
Orthofix Medical, Inc. (2)		2,302		123,295
Owens Corning		723		40,936
Owens-Illinois, Inc. (2)		6,594		116,516
PennyMac Financial Services, Inc., Class A		4,651		98,369


Description	Shares, Contracts or Principal Amount		Value
Common Stocks Purchased Long (continued)

United States (continued)
Philip Morris International, Inc.		6,260	$	487,591
PNM Resources, Inc.		5,665		220,652
Portland General Electric Co. (6)		6,301		292,366
PVH Corp.		3,200		458,112
Regions Financial Corp.		8,642		168,173
Rush Enterprises, Inc., Class A		3,152		135,410
S&P Global, Inc.		1,379		285,522
SBA Communications Corp. (2)(6)		3,868		600,430
Sherwin-Williams Co.		474		215,945
Southwest Airlines Co.		1,122		68,779
Steel Dynamics, Inc.		1,168		53,413
Supernus Pharmaceuticals, Inc. (2)		3,398		150,531
Surmodics, Inc. (2)		1,061		83,554
Sykes Enterprises, Inc. (2)		3,777		114,216
Synchrony Financial		1,572		49,785
Sysco Corp.		2,588		193,634
Tiffany & Co. (6)		3,898		478,090
TriCo Bancshares		5,613		218,233
TriNet Group, Inc. (2)(6)		12,405		732,763
Tyson Foods, Inc., Class A (6)		8,357		524,903
United Continental Holdings, Inc. (2)		830		72,559
United Rentals, Inc. (2)		523		81,520
United Technologies Corp. (6)		4,685		617,014
Univar, Inc. (2)(6)		17,125		476,417
Unum Group		5,028		185,433
Vail Resorts, Inc.		1,290		384,485
Versum Materials, Inc.		6,878		273,676
Vishay Intertechnology, Inc.		8,345		198,611
Vishay Precision Group, Inc. (2)		1,342		58,109
Visteon Corp. (2)(6)		3,408		376,209
Warrior Met Coal, Inc.		9,236		222,126
Wells Fargo & Co. (6)		11,918		696,965
Western Digital Corp. (6)		10,721		677,996
WR Grace & Co.		13,199		932,641
WW Grainger, Inc.		116		41,072
Wyndham Destinations, Inc. (6)		13,081		578,180
Wyndham Hotels & Resorts, Inc. (6)		9,111		517,049
Zayo Group Holdings, Inc. (2)(6)		11,700		405,522
Zimmer Biomet Holdings, Inc.		3,560		440,123
Zynga, Inc., Class A (2)		18,327		76,240

				39,309,896

Total Common Stocks Purchased Long (identified cost $46,914,429)				50,336,275

Purchased Call Options — 0.2%

United States — 0.2%
Intercontinental Exchange, Inc., Exercise Price: $55.00, Notional: $55,000, 1/18/2019		10		21,200
iShares Silver Trust, Exercise Price: $13.00, Notional: $208,000, 1/18/2019		160		16,800
MBIA, Inc., Exercise Price: $5.00, Notional: $76,500, 1/18/2019		153		79,942

				117,942

Total Purchased Call Options (identified cost $150,024)				117,942

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



		BMO Funds

Alternative Strategies Fund (continued)


Description	Shares			Value
Short-Term Investments — 33.5%

Mutual Funds — 33.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		24,537,948		$	24,540,402

Total Short-Term Investments (identified cost $24,535,211)					24,540,402

Total Investments — 102.3% (identified cost $71,599,664)					74,994,619
Other Assets and Liabilities — 23.6%					17,304,968
Securities Sold Short and Written Options (see below) — (25.9)%					(18,979,511	)

Total Net Assets — 100.0%				$	73,320,076


Securities Sold Short & Written Options — (25.8)%

Common Stocks Sold Short — (23.6)%

Australia — (0.1)%
Nanosonics, Ltd. (2)		(18,943	)	$	(47,936	)

Canada — (0.9)%
Alimentation Couche-Tard, Inc., Class B		(4,500	)		(215,448	)
National Bank of Canada		(8,440	)		(422,388	)

					(637,836	)

Cayman Islands — (0.0)%
LexinFintech Holdings, Ltd.ADR (2)		(911	)		(10,805	)

Denmark — (0.3)%
Vestas Wind Systems AS		(3,470	)		(241,790	)

Finland — (0.0)%
Caverion OYJ (2)		(3,694	)		(29,886	)

France — (0.3)%
Publicis Groupe SA		(2,914	)		(187,048	)

Germany — (0.5)%
GRENKE AG		(1,475	)		(177,888	)
Zalando SE (2)(5)		(3,363	)		(176,911	)

					(354,799	)

Japan — (3.5)%
ABC-Mart, Inc.		(800	)		(43,632	)
Acom Co., Ltd.		(9,200	)		(37,592	)
Ain Holdings, Inc.		(500	)		(38,250	)
Asahi Holdings, Inc.		(4,800	)		(91,110	)
Daifuku Co., Ltd.		(2,400	)		(124,633	)
Don Quijote Holdings Co., Ltd.		(1,600	)		(77,761	)
Fuji Seal International, Inc.		(2,900	)		(102,313	)
Funai Soken Holdings, Inc.		(4,200	)		(90,418	)
Goldwin, Inc.		(300	)		(20,790	)
Hoshizaki Corp.		(1,800	)		(170,750	)
Kansai Paint Co., Ltd.		(8,900	)		(175,981	)
Kose Corp.		(500	)		(92,251	)
Kura Corp.		(900	)		(53,299	)
LIFULL Co., Ltd.		(7,700	)		(47,332	)
M3, Inc.		(2,300	)		(101,328	)
MISUMI Group, Inc.		(5,600	)		(144,347	)
Money Forward, Inc. (2)		(700	)		(29,484	)
Nihon M&A Center, Inc.		(3,100	)		(81,162	)
Nippon Paint Holdings Co., Ltd.		(4,500	)		(177,797	)
Nitori Holdings Co., Ltd.		(1,100	)		(167,015	)
Park24 Co., Ltd.		(6,600	)		(193,646	)
Prestige International, Inc.		(6,000	)		(69,013	)
Shima Seiki Manufacturing, Ltd.		(800	)		(37,368	)


Description	Shares			Value
Securities Sold Short & Written Options (continued)

Common Stocks Sold Short (continued)

Japan (continued)
Shimano, Inc.		(1,100	)	$	(169,688	)
SMS Co., Ltd.		(9,000	)		(170,750	)
Toridoll Holdings Corp.		(4,000	)		(90,577	)

					(2,598,287	)

Netherlands — (0.9)%
Fugro NV (2)		(6,958	)		(89,286	)
LyondellBasell Industries N.V., Class A		(2,690	)		(303,378	)
Signify N.V. (5)		(7,465	)		(210,040	)
Takeaway.com NV (2)(5)		(731	)		(57,783	)

					(660,487	)

Norway — (0.1)%
Nordic Semiconductor ASA (2)		(7,039	)		(43,059	)

Spain — (0.6)%
Cellnex Telecom SA (5)		(4,336	)		(111,330	)
Siemens Gamesa Renewable Energy SA		(21,460	)		(320,214	)

					(431,544	)

Sweden — (0.6)%
AAK AB		(4,939	)		(81,021	)
Volvo AB, Class B		(18,245	)		(314,220	)
Wallenstam AB, Class B		(6,521	)		(64,888	)

					(460,129	)

Switzerland — (0.3)%
Roche Holding AG		(835	)		(207,447	)
Zur Rose Group AG (2)		(211	)		(30,129	)

					(237,576	)

United Kingdom — (0.8)%
Cineworld Group PLC		(38,845	)		(156,219	)
Cobham PLC (2)		(88,462	)		(142,670	)
Just Eat PLC (2)		(9,931	)		(98,700	)
Serco Group PLC (2)		(50,011	)		(63,313	)
Sophos Group PLC (5)		(17,758	)		(120,752	)
Victoria PLC (2)		(3,325	)		(36,296	)

					(617,950	)

United States — (14.7)%
Advanced Micro Devices, Inc. (2)		(2,234	)		(56,230	)
Albemarle Corp.		(1,583	)		(151,208	)
Altria Group, Inc.		(5,099	)		(298,394	)
Arista Networks, Inc. (2)		(780	)		(233,204	)
Bank OZK		(2,098	)		(84,885	)
BioScrip, Inc. (2)		(24,228	)		(70,261	)
Brown-Forman Corp., Class B		(592	)		(30,914	)
Brunswick Corp.		(1,565	)		(103,947	)
Carter’s, Inc.		(1,395	)		(147,772	)
Cloudera, Inc. (2)		(14,415	)		(216,369	)
Dollar General Corp.		(2,231	)		(240,346	)
Estee Lauder Cos., Inc., Class A		(2,195	)		(307,564	)
Flowers Foods, Inc.		(15,215	)		(306,582	)
Fossil Group, Inc. (2)		(6,275	)		(142,254	)
Fulton Financial Corp.		(17,085	)		(310,947	)
General Dynamics Corp.		(1,045	)		(202,103	)
General Electric Co.		(14,425	)		(186,660	)
Hershey Co.		(2,020	)		(203,050	)
Home Depot, Inc.		(1,550	)		(311,194	)
Hormel Foods Corp.		(5,639	)		(220,767	)
Hubbell, Inc.		(895	)		(113,092	)
Instructure, Inc. (2)		(2,989	)		(122,400	)
Intel Corp.		(7,565	)		(366,373	)
Interactive Brokers Group, Inc., Class A		(2,757	)		(171,375	)

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

August 31, 2018



Schedules of Investments

Alternative Strategies Fund (continued)


Description	Shares			Value
Securities Sold Short & Written Options (continued)

Common Stocks Sold Short (continued)

United States (continued)
International Flavors & Fragrances, Inc.		(1,160	)	$	(151,136	)
Intrepid Potash, Inc. (2)		(29,537	)		(100,426	)
JM Smucker Co.		(2,122	)		(219,372	)
Kopin Corp. (2)		(28,640	)		(66,445	)
Landstar System, Inc.		(1,325	)		(153,435	)
Leggett & Platt, Inc.		(3,435	)		(156,086	)
Lennox International, Inc.		(947	)		(211,001	)
LSB Industries, Inc. (2)		(11,275	)		(98,318	)
Macerich Co.		(2,976	)		(174,810	)
Mercury Systems, Inc. (2)		(3,940	)		(214,769	)
Netflix, Inc. (2)		(519	)		(190,826	)
Northwest Pipe Co. (2)		(1,774	)		(32,039	)
NOW, Inc. (2)		(2,154	)		(37,027	)
Okta, Inc. (2)		(1,273	)		(78,710	)
Old Line Bancshares, Inc.		(415	)		(14,193	)
Omnicom Group, Inc.		(3,815	)		(264,456	)
PACCAR, Inc.		(3,795	)		(259,654	)
Pinnacle Financial Partners, Inc.		(2,473	)		(159,632	)
PROS Holdings, Inc. (2)		(3,949	)		(145,639	)
Qorvo, Inc. (2)		(2,430	)		(194,619	)
Ralph Lauren Corp.		(1,560	)		(207,184	)
Range Resources Corp.		(10,120	)		(166,170	)
Rayonier, Inc.		(4,430	)		(154,297	)
Realogy Holdings Corp.		(6,925	)		(148,126	)
Republic First Bancorp, Inc. (2)		(6,628	)		(51,698	)
Robert Half International, Inc.		(1,335	)		(104,370	)
Rockwell Automation, Inc.		(1,195	)		(216,247	)
Scotts Miracle-Gro Co.		(1,978	)		(147,796	)
Senior Housing Properties Trust		(3,386	)		(64,707	)
Sleep Number Corp. (2)		(3,260	)		(109,862	)
Starbucks Corp.		(5,960	)		(318,562	)
Stitch Fix, Inc., Class A (2)		(3,440	)		(139,595	)
TFS Financial Corp.		(2,049	)		(31,637	)
TimkenSteel Corp. (2)		(7,824	)		(109,614	)
Tractor Supply Co.		(1,180	)		(104,170	)
VF Corp.		(2,070	)		(190,709	)
Walgreens Boots Alliance, Inc.		(5,975	)		(409,646	)
Weyerhaeuser Co.		(2,238	)		(77,681	)
Whitestone REIT		(12,850	)		(175,274	)
Winnebago Industries, Inc.		(2,545	)		(94,038	)
WR Berkley Corp.		(2,695	)		(210,911	)

					(10,752,778	)

Total Common Stocks Sold Short (proceeds $(16,687,111))					(17,311,910	)

Exchange Traded Funds Sold Short — (2.2)%

United States — (2.2)%
Invesco QQQ Trust Series 1		(740	)		(138,121	)
iShares Russell 1000 ETF		(658	)		(106,484	)
iShares Russell 1000 Growth ETF		(2,018	)		(313,819	)
iShares Russell 2000 Growth ETF		(1,020	)		(224,737	)
iShares Russell Mid-Cap Growth ETF		(3,126	)		(427,043	)
Materials Select Sector SPDR Fund		(1,664	)		(98,625	)
SPDR S&P 500 ETF Trust		(587	)		(170,412	)
SPDR S&P MidCap 400 ETF Trust		(226	)		(84,183	)

					(1,563,424	)

Total Exchange Traded Funds Sold Short (proceeds $(1,409,262))					(1,563,424	)


Description	Contracts			Value
Securities Sold Short & Written Options (continued)

Written Call Options — (0.1)%

United States — (0.1)%
Alexion Pharmaceuticals, Inc.:
Exercise Price: $120.00, Notional: $(24,000), 11/16/2018 (2)		(2	)	$	(1,740	)
Exercise Price: $130.00, Notional: $(52,000), 1/18/2019 (2)		(4	)		(2,800	)
Allegheny Technologies, Inc., Exercise Price: $27.50, Notional: $(8,250), 10/19/2018 (2)		(3	)		(327	)
Anthem, Inc., Exercise Price: $262.50, Notional: $(52,500), 9/21/2018 (2)		(2	)		(890	)
Armstrong World Industries, Inc.:
Exercise Price: $70.00, Notional: $(7,000), 9/21/2018 (2)		(1	)		(155	)
Exercise Price: $65.00, Notional: $(6,500), 9/21/2018 (2)		(1	)		(560	)
BlackBerry, Ltd., Exercise Price: $10.00, Notional: $(15,000), 9/21/2018 (2)		(15	)		(1,170	)
Eagle Pharmaceuticals, Inc., Exercise Price: $70.00, Notional: $(21,000), 10/19/2018 (2)		(3	)		(1,350	)
Halozyme Therapeutics, Inc., Exercise Price: $17.00, Notional: $(23,800), 9/21/2018 (2)		(14	)		(2,226	)
HD Supply Holdings, Inc., Exercise Price: $45.00, Notional: $(67,500), 9/21/2018 (2)		(15	)		(2,597	)
HP, Inc.:
Exercise Price: $25.00, Notional: $(50,000), 9/21/2018 (2)		(20	)		(420	)
Exercise Price: $24.00, Notional: $(33,600), 9/21/2018 (2)		(14	)		(1,078	)
Exercise Price: $23.00, Notional: $(16,100), 9/21/2018 (2)		(7	)		(1,169	)
iShares Russell 1000 ETF, Exercise Price: $146.00, Notional: $(116,800), 9/21/2018 (2)		(8	)		(12,640	)
iShares Russell 1000 Growth ETF, Exercise Price: $136.00, Notional: $(272,000), 9/21/2018 (2)		(20	)		(39,200	)
Marathon Petroleum Corp., Exercise Price: $80.00, Notional: $(48,000), 9/21/2018 (2)		(6	)		(1,980	)
MBIA, Inc., Exercise Price: $10.00, Notional: $(7,000), 1/18/2019 (2)		(7	)		(788	)
Olin Corp.:
Exercise Price: $30.50, Notional: $(15,250), 9/21/2018 (2)		(5	)		(460	)
Exercise Price: $31.00, Notional: $(15,500), 9/21/2018 (2)		(5	)		(325	)
Perrigo Co. PLC:
Exercise Price: $70.00, Notional: $(35,000), 9/21/2018 (2)		(5	)		(3,150	)
Exercise Price: $76.00, Notional: $(38,000), 9/21/2018 (2)		(5	)		(1,055	)
Exercise Price: $80.00, Notional: $(40,000), 11/16/2018 (2)		(5	)		(1,587	)
S&P Global, Inc., Exercise Price: $200.00, Notional: $(80,000), 9/21/2018 (2)		(4	)		(3,040	)
SBA Communications Corp.:
Exercise Price: $160.00, Notional: $(128,000), 9/21/2018 (2)		(8	)		(680	)
Exercise Price: $155.00, Notional: $(248,000), 9/21/2018 (2)		(16	)		(3,920	)

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



		BMO Funds

Alternative Strategies Fund (continued)


Description	Contracts			Value
Securities Sold Short & Written Options (continued)

Written Call Options (continued)

United States (continued)
Exercise Price: $150.00, Notional: $(225,000), 12/21/2018 (2)		(15	)	$	(15,375	)
Sherwin-Williams Co.:
Exercise Price: $450.00, Notional: $(45,000), 9/21/2018 (2)		(1	)		(1,020	)
Exercise Price: $440.00, Notional: $(44,000), 9/21/2018 (2)		(1	)		(1,750	)
Warrior Met Coal, Inc., Exercise Price: $30.00, Notional: $(51,000), 10/19/2018 (2)		(17	)		(340	)
WR Grace & Co., Exercise Price: $75.00, Notional: $(82,500), 9/21/2018 (2)		(11	)		(385	)

Total Written Call Options (proceeds $(116,426))					(104,177	)

Total Securities Sold Short & Written Options (proceeds $(18,212,799))				$	(18,979,511	)



Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Aerospace/Defense	$	943,116		1.3	%
Agriculture		766,012		1.0
Airlines		476,023		0.6
Apparel		458,112		0.6
Auto Manufacturers		221,097		0.3
Auto Parts & Equipment		1,087,892		1.5
Banks		2,186,495		3.0
Beverages		408,798		0.6
Biotechnology		1,742,771		2.4
Building Materials		1,213,206		1.6
Chemicals		4,897,067		6.7
Coal		494,853		0.7
Commercial Services		1,774,534		2.4
Computers		3,081,761		4.2
Cosmetics/Personal Care		442,725		0.6
Distribution/Wholesale		651,499		0.9
Diversified Financial Services		923,278		1.3
Electric		624,657		0.8
Electronics		839,122		1.1
Engineering & Construction		295,628		0.4
Entertainment		384,485		0.5
Environmental Control		756,205		1.0
Food		1,883,992		2.6
Forest Products & Paper		577,255		0.8
Healthcare-Products		3,226,938		4.4
Healthcare-Services		730,786		1.0
Insurance		1,693,057		2.3
Internet		682,441		0.9
Iron/Steel		153,667		0.2
Lodging		1,095,229		1.5
Media		115,738		0.2
Mining		730,241		1.0
Miscellaneous Manufacturing		872,265		1.2
Oil & Gas		1,450,168		2.0
Packaging & Containers		116,516		0.2
Pharmaceuticals		2,522,874		3.4
Private Equity		198,391		0.3
Real Estate Investment Trusts		2,677,840		3.6
Retail		1,594,429		2.2
Semiconductors		1,226,609		1.7



Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Shipbuilding	$	269,650			0.4	%
Software		1,364,449			1.9
Telecommunications		921,204			1.2
Textiles		39,312			0.0
Transportation		1,523,888			2.1

Total Common Stocks Purchased Long		50,336,275			68.6
Purchased Call Options		117,942			0.2
Short-Term Investments		24,540,402			33.5

Total Investments		74,994,619			102.3
Other Assets and Liabilities		17,304,968			23.6
Securities Sold Short & Written Options (see below)		(18,979,511	)		(25.9	)

Total Net Assets	$	73,320,076			100.0	%

Common Stocks Sold Short
Advertising	$	(451,504	)		(0.6	)%
Aerospace/Defense		(344,773	)		(0.5	)
Agriculture		(298,394	)		(0.4	)
Apparel		(545,665	)		(0.7	)
Auto Manufacturers		(573,874	)		(0.8	)
Banks		(1,043,743	)		(1.4	)
Beverages		(30,914	)		(0.0	)
Building Materials		(247,297	)		(0.3	)
Chemicals		(1,059,926	)		(1.5	)
Commercial Services		(568,495	)		(0.8	)
Computers		(398,834	)		(0.5	)
Cosmetics/Personal Care		(399,815	)		(0.6	)
Distribution/Wholesale		(142,254	)		(0.2	)
Diversified Financial Services		(397,660	)		(0.5	)
Electrical Components & Equipment		(323,132	)		(0.4	)
Energy-Alternate Sources		(562,004	)		(0.8	)
Entertainment		(156,219	)		(0.2	)
Environmental Control		(91,110	)		(0.1	)
Food		(1,088,575	)		(1.5	)
Healthcare-Products		(47,936	)		(0.1	)
Healthcare-Services		(38,250	)		(0.1	)
Home Builders		(94,038	)		(0.1	)
Home Furnishings		(436,698	)		(0.6	)
Housewares		(147,796	)		(0.2	)
Insurance		(210,911	)		(0.3	)
Internet		(827,241	)		(1.1	)
Leisure Time		(273,635	)		(0.4	)
Machinery-Diversified		(378,248	)		(0.5	)
Metal Fabricate/Hardware		(286,000	)		(0.4	)
Miscellaneous Manufacturing		(284,978	)		(0.4	)
Oil & Gas		(166,170	)		(0.2	)
Oil & Gas Services		(126,313	)		(0.2	)
Packaging & Containers		(102,313	)		(0.1	)
Pharmaceuticals		(277,708	)		(0.4	)
Real Estate		(213,014	)		(0.3	)
Real Estate Investment Trusts		(646,769	)		(0.9	)
Retail		(2,259,480	)		(3.1	)
Savings & Loans		(31,637	)		(0.0	)
Semiconductors		(726,726	)		(1.0	)
Software		(513,892	)		(0.7	)
Telecommunications		(344,534	)		(0.5	)
Transportation		(153,435	)		(0.2	)

Total Common Stocks Sold Short		(17,311,910	)		(23.6	)
Exchange Traded Funds Sold Short		(1,563,424	)		(2.2	)
Written Call Options		(104,177	)		(0.1	)

Total Securities Sold Short & Written Options	$	(18,979,511	)		(25.9	)%

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

August 31, 2018



Schedules of Investments

At August 31, 2018, the Alternative Strategies Fund had outstanding futures contracts as set forth below:


Expiration Date	Number of Contracts	Description	Notional Amount	Value at August 31, 2018	Unrealized Appreciation (Depreciation)
Long Futures

Bond Futures
September 2018	21	SFE 10-Year Australian Bond	$1,942,255	$1,971,540	$	29,285
Index Futures
September 2018	11	CME E-Mini S&P 500^® Index	1,565,981	1,596,155		30,174
September 2018	13	CME E-Mini NASDAQ 100 Index	1,925,087	1,991,925		66,838
September 2018	1	TSE TOPIX Index	156,022	156,017		(5)
September 2018	36	Eurex Euro STOXX 50 Index	1,447,373	1,416,161		(31,212)
September 2018	25	Russell 2000 Mini Index	2,101,101	2,175,750		74,649
September 2018	22	LIFFE FTSE 100 Index	2,172,345	2,117,466		(54,879)
September 2018	10	CAC 40 10 Euro	619,512	627,443		7,931
September 2018	12	CBOT E-Mini DJIA Index	1,537,244	1,559,280		22,036
September 2018	9	OSE Nikkei 225 Index	1,817,892	1,851,679		33,787
September 2018	2	DAX Index	725,038	716,734		(8,304)
Interest Rate Futures
December 2019	116	LIFFE 3-Month Euro Euribor	33,683,620	33,703,825		20,205
December 2018	19	LIFFE 10-Year Gilt Government Bond	3,012,206	3,013,300		1,094
December 2018	16	Eurex 10-Year Euro BUND	2,985,385	2,986,007		622
Short Futures

Bond Futures
December 2018	26	Canadian Government Bond	(2,678,790)	(2,685,472)		(6,682)
December 2018	41	United States Treasury Note	(4,929,159)	(4,930,891)		(1,732)
Index Futures
September 2018	110	CME E-Mini S&P 500^® Index	(15,304,025)	(15,961,550)		(657,525)
September 2018	45	Russell 2000 Mini Index	(3,771,675)	(3,916,350)		(144,675)
September 2018	3	HKG Hang Seng Index	(526,259)	(530,626)		(4,367)
Interest Rate Futures
December 2019	231	CME 3-Month Eurodollar	(56,030,356)	(56,043,487)		(13,131)
December 2019	6	LIFFE 90-Day Sterling	(960,659)	(960,961)		(302)

Total Futures Contracts			$(28,509,862)	$(29,146,055)	$	(636,193)

At August 31, 2018, the Alternative Strategies Fund had outstanding forward foreign currency exchange contracts as set forth below:


Settlement Date	Currency	Contract Amount				Value		Unrealized Appreciation (Depreciation)			Counterparty
Settlement Date	Currency	Buy		Sell		Value		Unrealized Appreciation (Depreciation)			Counterparty
September 21, 2018	Australian Dollar	AUD	1,092,000	$	804,076	$	785,022	$	(19,054	)	Bank of America
September 21, 2018	Australian Dollar	$	3,695,363	AUD	4,928,000		3,542,651		152,712		Bank of America
September 21, 2018	Canadian Dollar	CAD	1,078,000	$	819,235		826,316		7,081		Bank of America
September 21, 2018	Canadian Dollar	$	3,696,953	CAD	4,811,000		3,687,749		9,204		Bank of America
September 21, 2018	Euro Currency	EUR	2,622,000	$	3,054,936		3,047,049		(7,887	)	Bank of America
September 21, 2018	Euro Currency	$	6,817,467	EUR	5,828,000		6,772,775		44,692		Bank of America
September 21, 2018	Japanese Yen	JPY	462,069,000	$	4,198,419		4,163,190		(35,229	)	Bank of America
September 21, 2018	Japanese Yen	$	8,509,323	JPY	938,322,000		8,454,174		55,149		Bank of America
September 21, 2018	Mexican Peso	MXN	35,547,000	$	1,845,163		1,855,770		10,607		Bank of America
September 21, 2018	Mexican Peso	$	926,914	MXN	19,103,000		997,294		(70,380	)	Bank of America
September 21, 2018	New Zealand Dollar	NZD	1,026,000	$	703,690		678,797		(24,893	)	Bank of America
September 21, 2018	New Zealand Dollar	$	1,774,984	NZD	2,577,000		1,704,932		70,052		Bank of America
September 21, 2018	Pound Sterling	GBP	3,183,000	$	4,221,211		4,129,205		(92,006	)	Bank of America
September 21, 2018	Pound Sterling	$	7,612,040	GBP	5,775,000		7,491,731		120,309		Bank of America
September 21, 2018	Swiss Franc	CHF	981,000	$	996,225		1,013,494		17,269		Bank of America
September 21, 2018	Swiss Franc	$	3,040,628	CHF	2,999,000		3,098,333		(57,705	)	Bank of America

								$	179,921

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



		BMO Funds

Global Long/Short Equity Fund


Description	Shares		Value
Common Stocks Purchased Long — 98.2%

Australia — 0.8%
Regis Resources, Ltd.		24,978	$	75,239

Bermuda — 2.8%
Argo Group International Holdings, Ltd.		1,915		121,986
Essent Group, Ltd. (2)		2,893		125,440
Travelport Worldwide, Ltd.		1,682		31,235

				278,661

Canada — 13.0%
Air Canada (2)		989		20,326
Allied Properties Real Estate Investment Trust (6)		5,948		198,677
Canfor Corp. (2)(6)		7,490		172,700
Cascades, Inc.		1,636		16,636
Cogeco Communications, Inc.		823		40,847
Cogeco, Inc.		383		18,217
Equitable Group, Inc.		1,299		64,671
George Weston, Ltd. (6)		1,760		137,078
Husky Energy, Inc.		4,717		78,002
Interfor Corp. (2)(6)		8,478		145,912
InterRent Real Estate Investment Trust		5,925		51,895
Methanex Corp.		1,365		99,598
Premier Gold Mines, Ltd. (2)		5,018		7,229
Teck Resources, Ltd., Class B (6)		8,674		195,481
Transcontinental, Inc., Class A		1,716		41,802

				1,289,071

China — 0.2%
Agricultural Bank of China, Ltd., Class H		47,000		22,755

Denmark — 1.0%
Novo Nordisk A/S, Class B		654		32,052
Scandinavian Tobacco Group A/S (5)		4,263		70,030

				102,082

France — 1.2%
Boiron SA		398		30,999
Peugeot SA		2,186		60,136
Sanofi		354		30,280

				121,415

Germany — 0.1%
Hamburger Hafen und Logistik AG		522		12,591

Indonesia — 1.8%
Bukit Asam Tbk PT		451,800		124,222
Indo Tambangraya Megah Tbk PT		17,900		34,390
Japfa Comfeed Indonesia Tbk PT		127,300		19,013

				177,625

Italy — 0.5%
ASTM SpA		894		18,243
Societa Iniziative Autostradali e Servizi SpA		1,938		26,994

				45,237

Japan — 8.3%
Arcs Co., Ltd.		2,300		56,429
Fujibo Holdings, Inc.		600		16,848
Fukuda Corp.		500		25,065
Heiwado Co., Ltd. (6)		4,300		112,541
Keihin Corp.		3,000		63,100
Mitsui Sugar Co., Ltd.		1,000		27,270
Nippon Road Co., Ltd.		600		33,156


Description	Shares		Value
Common Stocks Purchased Long (continued)

Japan (continued)
Nippon Telegraph & Telephone Corp. (6)		4,400	$	196,022
Nissan Motor Co., Ltd. (1)		6,900		64,585
Okinawa Electric Power Co., Inc.		3,299		66,360
Press Kogyo Co., Ltd.		5,800		30,381
Shimachu Co., Ltd. (1)		2,100		68,608
Warabeya Nichiyo Holdings Co., Ltd.		2,400		47,261
Yorozu Corp.		1,200		17,917

				825,543

Jersey — 0.4%
Wizz Air Holdings PLC (2)(5)		858		35,273

Luxembourg — 1.2%
Trinseo SA		1,587		122,437

Netherlands — 1.1%
BE Semiconductor Industries NV		4,894		106,229

New Zealand — 1.2%
Air New Zealand, Ltd.		43,448		94,859
New Zealand Refining Co., Ltd.		16,741		28,576

				123,435

Norway — 1.6%
Austevoll Seafood ASA		3,800		50,025
Leroy Seafood Group ASA (6)		14,227		108,372

				158,397

Panama — 0.4%
Copa Holdings SA, Class A		506		40,450

Poland — 0.5%
Asseco Poland SA		3,838		47,526

South Korea — 2.6%
DB HiTek Co., Ltd.		2,842		46,849
Samsung Electronics Co., Ltd.		4,785		208,268

				255,117

Sweden — 0.6%
AAK AB		1,152		18,898
Mycronic AB (1)		3,693		38,443

				57,341

Switzerland — 0.8%
Roche Holding AG		332		82,482

Taiwan — 1.6%
HannStar Display Corp.		107,000		28,601
Uni-President Enterprises Corp.		53,000		133,902

				162,503

United Kingdom — 2.9%
DFS Furniture PLC		4,895		13,961
Imperial Brands PLC		2,000		71,149
Legal & General Group PLC		54,584		179,957
Reach PLC		9,860		8,820
SThree PLC		4,156		18,993

				292,880

United States — 53.6%
AbbVie, Inc. (6)		606		58,164
Amkor Technology, Inc. (2)		4,426		38,639
ArcBest Corp. (6)		4,197		201,876
Best Buy Co., Inc. (6)		1,503		119,579
Boston Properties, Inc. (6)		1,532		199,849
Citizens Financial Group, Inc.		840		34,574
CONMED Corp. (6)		1,690		135,927
ConocoPhillips		1,003		73,650
Cooper-Standard Holdings, Inc. (2)(6)		706		97,732
Discover Financial Services (6)		1,503		117,414

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

August 31, 2018



Schedules of Investments

Global Long/Short Equity Fund (continued)


Description	Shares		Value
Common Stocks Purchased Long (continued)

United States (continued)
EMCOR Group, Inc. (6)		1,375	$	110,138
Emergent BioSolutions, Inc. (2)(6)		4,019		249,178
Employers Holdings, Inc. (6)		1,297		59,468
Enova International, Inc. (2)		546		18,127
Equinix, Inc. (6)		402		175,324
Essex Property Trust, Inc. (6)		809		199,241
F5 Networks, Inc. (2)(6)		309		58,438
FedNat Holding Co.		816		21,461
Genomic Health, Inc. (2)		489		29,912
Globus Medical, Inc., Class A (2)		908		48,369
Haemonetics Corp. (2)		521		58,164
HealthStream, Inc.		1,376		43,661
Highwoods Properties, Inc. (6)		1,308		65,060
Huntington Ingalls Industries, Inc. (6)		626		153,038
Inogen, Inc. (2)(6)		451		119,474
Integer Holdings Corp. (2)(6)		1,335		106,667
Intersect ENT, Inc. (2)		243		7,120
Kraton Corp. (2)(6)		1,554		73,085
Lantheus Holdings, Inc. (2)		2,415		38,882
Lear Corp. (6)		1,227		199,019
LeMaitre Vascular, Inc. (1)		1,530		57,390
Luminex Corp.		734		20,706
Marlin Business Services Corp.		2,435		69,641
Masco Corp. (6)		4,462		169,422
Merit Medical Systems, Inc. (2)(6)		3,786		222,806
Myriad Genetics, Inc. (2)		1,228		61,142
Natus Medical, Inc. (2)		1,117		41,664
NetApp, Inc. (6)		1,340		116,325
OraSure Technologies, Inc. (2)(6)		4,207		67,354
Orthofix Medical, Inc. (2)		1,339		71,717
Owens Corning		411		23,271
Owens-Illinois, Inc. (2)(6)		3,748		66,227
PennyMac Financial Services, Inc., Class A		2,773		58,649
PNM Resources, Inc. (6)		3,217		125,302
Portland General Electric Co. (6)		3,777		175,253
Regions Financial Corp. (6)		5,027		97,825
Rush Enterprises, Inc., Class A (6)		1,789		76,855
Southwest Airlines Co.		668		40,948
Steel Dynamics, Inc.		662		30,273
Supernus Pharmaceuticals, Inc. (1)(2)		1,929		85,455
Surmodics, Inc. (2)		618		48,668
Sykes Enterprises, Inc. (2)		2,144		64,835
Synchrony Financial		893		28,281
Sysco Corp. (6)		1,468		109,836
TriCo Bancshares (6)		3,190		124,027
United Continental Holdings, Inc. (2)		471		41,175
United Rentals, Inc. (2)		297		46,293
Unum Group (6)		3,014		111,156
Vishay Intertechnology, Inc. (6)		4,855		115,549
Vishay Precision Group, Inc. (2)		799		34,597
WW Grainger, Inc.		68		24,077

				5,337,949

Total Common Stocks Purchased Long (identified cost $8,557,757)				9,772,238

Short-Term Investments — 37.5%

Collateral Investment for Securities on Loan — 3.0%

State Street Navigator Securities Lending Government Money Market Portfolio, 1.920% (3)		293,674		293,674


Description	Shares			Value
Short-Term Investments (continued)

Mutual Funds — 34.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		3,433,859		$	3,434,203

Total Short-Term Investments (identified cost $3,727,511)					3,727,877

Total Investments — 135.7% (identified cost $12,285,268)					13,500,115
Other Assets and Liabilities — 0.9%					91,636
Securities Sold Short (see below) — (36.6)%					(3,642,216	)

Total Net Assets — 100.0%				$	9,949,535


Securities Sold Short — (36.6)%

Common Stocks Sold Short — (36.6)%

Australia — (0.2)%
Nanosonics, Ltd. (2)		(9,724	)	$	(24,607	)

Cayman Islands — (0.1)%
LexinFintech Holdings, Ltd.ADR (2)		(517	)		(6,132	)

Finland — (0.2)%
Caverion OYJ (2)		(2,025	)		(16,383	)

Germany — (2.0)%
GRENKE AG		(838	)		(101,064	)
Zalando SE (2)(5)		(1,787	)		(94,006	)

					(195,070	)

Japan — (14.5)%
ABC-Mart, Inc.		(300	)		(16,362	)
Acom Co., Ltd.		(5,000	)		(20,430	)
Ain Holdings, Inc.		(300	)		(22,950	)
Asahi Holdings, Inc.		(2,700	)		(51,249	)
Daifuku Co., Ltd.		(1,400	)		(72,703	)
Don Quijote Holdings Co., Ltd.		(700	)		(34,020	)
Fuji Seal International, Inc.		(1,600	)		(56,449	)
Funai Soken Holdings, Inc.		(2,400	)		(51,668	)
Goldwin, Inc.		(200	)		(13,860	)
Hoshizaki Corp.		(900	)		(85,375	)
Kansai Paint Co., Ltd.		(5,100	)		(100,843	)
Kose Corp.		(300	)		(55,351	)
Kura Corp.		(400	)		(23,688	)
LIFULL Co., Ltd.		(4,400	)		(27,047	)
M3, Inc.		(1,200	)		(52,867	)
MISUMI Group, Inc.		(3,000	)		(77,329	)
Money Forward, Inc. (2)		(400	)		(16,848	)
Nihon M&A Center, Inc.		(1,800	)		(47,126	)
Nippon Paint Holdings Co., Ltd.		(2,600	)		(102,727	)
Nitori Holdings Co., Ltd.		(600	)		(91,099	)
Park24 Co., Ltd.		(3,900	)		(114,427	)
Prestige International, Inc.		(3,500	)		(40,258	)
Shima Seiki Manufacturing, Ltd.		(500	)		(23,355	)
Shimano, Inc.		(600	)		(92,557	)
SMS Co., Ltd.		(5,200	)		(98,655	)
Toridoll Holdings Corp.		(2,300	)		(52,082	)

					(1,441,325	)

Netherlands — (0.8)%
Fugro NV (2)		(3,953	)		(50,725	)
Takeaway.com NV (2)(5)		(425	)		(33,595	)

					(84,320	)

Norway — (0.2)%
Nordic Semiconductor ASA (2)		(4,105	)		(25,111	)

Spain — (0.6)%
Cellnex Telecom SA (5)		(2,460	)		(63,162	)

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



		BMO Funds

Global Long/Short Equity Fund (continued)


Description	Shares			Value

Securities Sold Short (continued)

Common Stocks Sold Short (continued)

Sweden — (1.0)%
AAK AB		(3,954	)	$	(64,863	)
Wallenstam AB, Class B		(3,703	)		(36,847	)

					(101,710	)

Switzerland — (0.2)%
Zur Rose Group AG (2)		(120	)		(17,135	)

United Kingdom — (2.7)%
Cobham PLC (2)		(50,236	)		(81,020	)
Just Eat PLC (2)		(5,922	)		(58,856	)
Serco Group PLC (2)		(28,401	)		(35,955	)
Sophos Group PLC (5)		(10,083	)		(68,563	)
Victoria PLC (2)		(1,889	)		(20,621	)

					(265,015	)

United States — (14.1)%
Advanced Micro Devices, Inc. (2)		(1,269	)		(31,941	)
Albemarle Corp.		(899	)		(85,872	)
Bank OZK		(1,191	)		(48,188	)
BioScrip, Inc. (2)		(13,766	)		(39,921	)
Brown-Forman Corp., Class B		(346	)		(18,068	)
Instructure, Inc. (2)		(1,695	)		(69,410	)
Interactive Brokers Group, Inc., Class A		(1,644	)		(102,191	)
Intrepid Potash, Inc. (2)		(17,226	)		(58,568	)
Kopin Corp. (2)		(16,272	)		(37,751	)
LSB Industries, Inc. (2)		(6,418	)		(55,965	)
Macerich Co.		(1,691	)		(99,329	)
Netflix, Inc. (2)		(294	)		(108,098	)
Northwest Pipe Co. (2)		(1,035	)		(18,692	)
NOW, Inc. (2)		(1,224	)		(21,041	)
Okta, Inc. (2)		(723	)		(44,703	)
Old Line Bancshares, Inc.		(235	)		(8,037	)
Pinnacle Financial Partners, Inc.		(1,405	)		(90,693	)
PROS Holdings, Inc. (2)		(2,241	)		(82,648	)
Rayonier, Inc.		(2,514	)		(87,563	)
Republic First Bancorp, Inc. (2)		(3,767	)		(29,383	)
Senior Housing Properties Trust		(1,922	)		(36,729	)
TFS Financial Corp.		(1,195	)		(18,451	)
TimkenSteel Corp. (2)		(4,666	)		(65,371	)
Weyerhaeuser Co.		(1,269	)		(44,047	)
Whitestone REIT		(7,301	)		(99,586	)

					(1,402,246	)

Total Securities Sold Short (proceeds $(3,323,077))				$	(3,642,216	)



Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Agriculture	$	160,192		1.6	%
Airlines		273,031		2.7
Auto Manufacturers		124,721		1.3
Auto Parts & Equipment		408,149		4.1
Banks		279,181		2.8
Biotechnology		310,320		3.1
Building Materials		192,693		1.9
Chemicals		172,683		1.7
Coal		158,612		1.6
Commercial Services		196,151		2.0
Computers		228,686		2.3



Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Distribution/Wholesale	$	24,077			0.2	%
Diversified Financial Services		356,783			3.6
Electric		366,915			3.7
Electronics		217,190			2.2
Engineering & Construction		168,359			1.7
Food		801,612			8.1
Forest Products & Paper		335,248			3.4
Healthcare-Products		1,074,820			10.8
Insurance		619,468			6.2
Internet		102,099			1.0
Iron/Steel		30,273			0.3
Media		67,884			0.7
Mining		277,949			2.8
Miscellaneous Manufacturing		122,437			1.2
Oil & Gas		180,228			1.8
Packaging & Containers		66,227			0.7
Pharmaceuticals		319,432			3.2
Real Estate Investment Trusts		890,046			9.0
Retail		279,003			2.8
Semiconductors		399,985			4.0
Shipbuilding		153,038			1.5
Telecommunications		196,022			2.0
Textiles		16,848			0.2
Transportation		201,876			2.0

Total Common Stocks Purchased Long		9,772,238			98.2
Collateral Investment for Securities on Loan		293,674			3.0
Mutual Funds		3,434,203			34.5

Total Investments		13,500,115			135.7
Other Assets and Liabilities		91,636			0.9
Securities Sold Short (see below)		(3,642,216	)		(36.6	)

Total Net Assets	$	9,949,535			100.0	%

Securities Sold Short
Aerospace/Defense	$	(81,020	)		(0.8	)%
Banks		(176,301	)		(1.8	)
Beverages		(18,068	)		(0.2	)
Building Materials		(20,621	)		(0.2	)
Chemicals		(348,010	)		(3.5	)
Commercial Services		(269,862	)		(2.7	)
Computers		(104,518	)		(1.0	)
Cosmetics/Personal Care		(55,351	)		(0.6	)
Diversified Financial Services		(229,817	)		(2.3	)
Environmental Control		(51,249	)		(0.5	)
Food		(98,458	)		(1.0	)
Healthcare-Products		(24,607	)		(0.2	)
Healthcare-Services		(22,950	)		(0.2	)
Home Furnishings		(85,375	)		(0.9	)
Internet		(390,226	)		(3.9	)
Leisure Time		(92,557	)		(0.9	)
Machinery-Diversified		(96,058	)		(1.0	)
Metal Fabricate/Hardware		(161,392	)		(1.6	)
Miscellaneous Manufacturing		(55,965	)		(0.6	)
Oil & Gas Services		(71,766	)		(0.7	)
Packaging & Containers		(56,449	)		(0.6	)
Pharmaceuticals		(39,921	)		(0.4	)
Real Estate		(36,847	)		(0.4	)
Real Estate Investment Trusts		(367,254	)		(3.7	)
Retail		(342,252	)		(3.4	)
Savings & Loans		(18,451	)		(0.2	)
Semiconductors		(94,803	)		(1.0	)
Software		(168,906	)		(1.7	)
Telecommunications		(63,162	)		(0.6	)

Total Securities Sold Short	$	(3,642,216	)		(36.6	)%

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

August 31, 2018



Schedules of Investments

Ultra Short Tax-Free Fund*


Description	Principal Amount		Value
Municipals — 97.3%

Alabama — 7.1%
Black Belt Energy Gas District, 2.295%, 12/1/2048, Call 9/1/2023 (7)	$	4,500,000	$	4,500,000
Chatom Industrial Development Board, 1.650%, 8/1/2037, Call 2/1/2019 (7)		4,800,000		4,797,456
Health Care Authority for Baptist Health, 2.130%, 11/1/2042 (7)		11,125,000		11,125,000
Southeast Alabama Gas Supply District, 2.282%, 4/1/2049, Call 1/1/2024 (7)		5,000,000		4,995,900
Tender Option Bond Trust Receipts/Certificates:
1.660%, 5/1/2026 (5)(7)		3,000,000		3,000,000
1.660%, 7/1/2026 (5)(7)		4,500,000		4,500,000
1.710%, 10/5/2020 (5)(7)		5,000,000		5,000,000
Other securities				4,470,384

				42,388,740

Arizona — 0.7%
Other securities				4,048,520

Arkansas — 2.2%
Arkansas Development Finance Authority:
2.110%, 9/1/2044, Call 9/4/2018 (7)		7,000,000		7,000,000
2.660%, 9/1/2044, Call 3/1/2019 (7)		3,000,000		3,006,360
Other securities				3,210,916

				13,217,276

California — 3.1%
Rib Floater Trust Various States, 1.710%, 8/15/2051 (5)(7)		3,000,000		3,000,000
Tender Option Bond Trust Receipts/Certificates, 1.710%, 8/1/2024 (5)(7)		4,760,000		4,760,000
Other securities				10,594,667

				18,354,667

Colorado — 1.6%
Colorado Health Facilities Authority, 2.200%, 7/1/2034, Call 7/1/2019 (5)(7)		4,300,000		4,300,000
Other securities				5,637,723

				9,937,723

Connecticut — 0.1%
Other securities				422,464

District of Columbia — 0.5%
Other securities				3,019,146

Florida — 6.0%
Citizens Property Insurance Corp.:
5.000%, 6/1/2019		2,640,000		2,701,274
5.000%, 6/1/2020		3,870,000		4,079,599
RBC Municipal Products, Inc. Trust, 1.760%, 3/1/2026 (5)(7)		5,000,000		5,000,000
School Board of Miami-Dade County, FGIC, 1.790%, 5/1/2037, Call 9/1/2018 (5)(7)		8,000,000		8,000,000
Other securities				16,411,258

				36,192,131


Description	Principal Amount		Value
Municipals (continued)

Georgia — 4.0%
Main Street Natural Gas, Inc.:
2.130%, 8/1/2048, Call 9/1/2023 (7)	$	5,000,000	$	4,992,400
2.225%, 8/1/2048, Call 9/1/2023 (7)		5,000,000		4,982,500
Other securities				13,980,198

				23,955,098

Guam — 0.0%
Other securities				251,743

Hawaii — 0.5%
Other securities				2,797,060

Idaho — 0.7%
Other securities				4,015,000

Illinois — 6.9%
Rib Floater Trust Various States, 1.740%, 8/15/2030, Call 10/1/2018 (5)(7)		5,000,000		5,000,000
State of Illinois:
5.000%, 10/1/2021 (9)		1,500,000		1,577,925
5.000%, 2/1/2022		6,040,000		6,346,107
Tender Option Bond Trust Receipts/Certificates:
1.710%, 6/15/2020 (5)(7)		2,000,000		2,000,000
1.710%, 6/15/2031, Call 6/15/2026 (5)(7)		4,355,000		4,355,000
1.710%, 1/1/2035, Call 1/1/2026 (5)(7)		2,605,000		2,605,000
Other securities				19,414,165

				41,298,197

Indiana — 2.4%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.780%, 7/1/2047, Call 9/19/2018 (7)		6,000,000		6,000,000
Tender Option Bond Trust Receipts/Certificates, 1.830%, 10/15/2019 (5)(7)		8,500,000		8,500,000

				14,500,000

Iowa — 1.5%
Other securities				9,332,337

Kansas — 0.1%
Other securities				400,348

Kentucky — 1.8%
Other securities				10,613,138

Louisiana — 1.9%
Louisiana Public Facilities Authority, 2.210%, 9/1/2057, Call 3/1/2023 (7)		5,000,000		5,002,100
Parish of St. James, 1.730%, 11/1/2040, Call 9/19/2018 (7)		5,000,000		5,000,000
Other securities				1,503,536

				11,505,636

Maine — 0.0%
Other securities				308,132

Maryland — 1.4%
Maryland Industrial Development Financing Authority, 1.720%, 3/1/2030, Call 9/19/2018 (7)		5,000,000		5,000,000

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



		BMO Funds

Ultra Short Tax-Free Fund* (continued)


Description	Principal Amount		Value
Municipals (continued)

Maryland (continued)
RBC Municipal Products, Inc. Trust, 1.760%, 1/1/2025 (5)(7)	$	3,000,000	$	3,000,000
Other securities				606,853

				8,606,853

Massachusetts — 0.2%
Other securities				1,250,700

Michigan — 1.1%
Tender Option Bond Trust Receipts/Certificates, Q-SBLF, 1.660%, 5/1/2026 (5)(7)		2,000,000		2,000,000
Other securities				4,888,170

				6,888,170

Minnesota — 0.5%
Other securities				2,757,586

Mississippi — 1.2%
Mississippi Development Bank, 2.500%, 1/1/2020		4,600,000		4,635,788
Other securities				2,623,013

				7,258,801

Missouri — 1.4%
City of St. Louis, 3.000%, 5/30/2019		5,000,000		5,036,400
Other securities				3,176,584

				8,212,984

Nevada — 0.1%
Other securities				354,877

New Jersey — 7.2%
Lyndhurst Township School District, School Bond Gty, 2.750%, 9/14/2018		5,500,000		5,501,485
New Jersey Economic Development Authority:
1.850%, 11/1/2040, Call 9/19/2018 (7)		4,600,000		4,600,000
1.850%, 11/1/2040, Call 9/19/2018 (7)		5,665,000		5,665,000
1.910%, 11/1/2031, Call 9/19/2018 (7)		4,995,000		4,995,000
New Jersey Transportation Trust Fund Authority:
2.560%, 6/15/2034, Call 6/15/2019 (7)		5,000,000		5,004,100
4.000%, 6/15/2019		500,000		508,095
4.000%, 6/15/2020		200,000		206,840
5.000%, 6/15/2019		4,500,000		4,607,415
Tender Option Bond Trust Receipts/Certificates, 1.710%, 7/1/2025 (5)(7)		2,175,000		2,175,000
Other securities				9,774,221

				43,037,156

New Mexico — 1.4%
New Mexico Municipal Energy Acquisition Authority, 2.145%, 11/1/2039, Call 2/1/2019 (7)		5,500,000		5,505,830
Other securities				2,869,422

				8,375,252


Description	Principal Amount		Value
Municipals (continued)

New York — 10.4%
City of New York, 1.560%, 8/1/2035, Call 9/19/2018 (7)	$	6,300,000	$	6,300,000
City of New York, AGC, 1.590%, 10/1/2021, Call 9/4/2018 (7)(8)		100,000		100,000
New York City Transitional Finance Authority Future Tax Secured Revenue:
1.520%, 8/1/2022, Call 9/19/2018 (7)		4,320,000		4,320,000
1.520%, 8/1/2023, Call 9/19/2018 (7)		6,550,000		6,550,000
1.560%, 11/1/2029, Call 9/19/2018 (7)		3,700,000		3,700,000
1.560%, 5/1/2034, Call 9/19/2018 (7)		3,800,000		3,800,000
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.860%, 5/1/2047, Call 9/19/2018 (5)(7)		5,000,000		5,000,000
RBC Municipal Products, Inc. Trust, 1.530%, 3/1/2022, Call 9/19/2018 (5)(7)		6,000,000		6,000,000
South Glens Falls Central School District, SAW, 3.000%, 7/26/2019		4,500,000		4,540,455
Triborough Bridge & Tunnel Authority, 2.095%, 1/1/2032 (7)		4,935,000		4,982,376
Other securities				16,984,185

				62,277,016

North Carolina — 0.2%
Other securities				1,000,000

North Dakota — 0.2%
Other securities				1,253,441

Ohio — 9.1%
Dublin City School District, 2.500%, 4/18/2019		4,500,000		4,514,625
Lancaster Port Authority, 2.115%, 5/1/2038, Call 2/1/2019 (7)		5,000,000		5,004,700
Rib Floater Trust Various States, 1.810%, 11/15/2048, Call 10/1/2018 (5)(7)		4,000,000		4,000,000
Tender Option Bond Trust Receipts/Certificates, 1.710%, 8/1/2024 (5)(7)		5,580,000		5,580,000
Other securities				35,267,153

				54,366,478

Oklahoma — 0.2%
Other securities				1,529,865

Oregon — 0.7%
Other securities				4,209,620

Pennsylvania — 4.5%
Other securities				26,968,121

South Carolina — 1.5%
Patriots Energy Group Financing Agency, 2.243%, 10/1/2048, Call 11/1/2023 (7)		6,000,000		6,000,000
Other securities				3,247,380

				9,247,380

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

August 31, 2018



Schedules of Investments

Ultra Short Tax-Free Fund* (continued)


Description	Principal Amount		Value
Municipals (continued)

Tennessee — 1.0%
Tender Option Bond Trust Receipts/Certificates, 1.760%, 7/1/2046, Call 9/6/2018 (5)(7)	$	3,100,000	$	3,100,000
Other securities				2,703,600

				5,803,600

Texas — 7.9%
Rib Floater Trust Various States:
1.740%, 6/1/2032, Call 4/1/2020 (5)(7)		6,000,000		6,000,000
1.740%, 11/1/2042, Call 11/1/2020 (5)(7)		5,000,000		5,000,000
Tender Option Bond Trust Receipts/Certificates, 1.760%, 7/1/2021 (5)(7)		11,000,000		11,000,000
Other securities				25,311,600

				47,311,600

Utah — 0.4%
Tender Option Bond Trust Receipts/Certificates, 1.740%, 1/1/2025 (5)(7)		2,500,000		2,500,000

Virginia — 1.6%
Tender Option Bond Trust Receipts/Certificates, 1.710%, 1/1/2025 (5)(7)		5,400,000		5,400,000
Other securities				4,485,285

				9,885,285

Washington — 2.0%
Tender Option Bond Trust Receipts/Certificates:
1.710%, 6/15/2033, Call 6/1/2019 (5)(7)		5,050,000		5,050,000
1.730%, 1/1/2035 (5)(7)		5,000,000		5,000,000
Other securities				1,946,652

				11,996,652

West Virginia — 0.9%
West Virginia Hospital Finance Authority, 1.840%, 6/1/2033, Call 9/4/2018 (7)		5,000,000		5,000,000
Other securities				694,837

				5,694,837

Wisconsin — 1.1%
Other securities				6,389,067

Total Municipals (identified cost $583,645,965)				583,732,697

Short-Term Investments — 3.7%

Mutual Funds — 0.0%
Other securities (4)				159,901
Short-Term Municipals — 3.7%

Florida — 0.4%
Other securities				2,500,000

Illinois — 0.1%
Other securities				360,349

Indiana — 0.5%
Other securities				2,904,495


Description	Principal Amount		Value
Short-Term Municipals (continued)

Kentucky — 0.3%
Other securities			$	2,000,000

Massachusetts — 0.4%
Other securities				2,270,957

Nevada — 0.1%
Other securities				460,000

New York — 0.1%
Other securities				500,280

Ohio — 0.4%
Other securities				2,350,024

Oregon — 0.3%
Other securities				2,004,440

South Carolina — 0.1%
Other securities				502,560

Texas — 0.8%
City of Dallas, 1.300%, 9/26/2018	$	5,000,000		5,000,000

Wisconsin — 0.2%
Other securities				1,469,824

Total Short-Term Municipals				22,322,929

Total Short-Term Investments (identified cost $22,491,574)				22,482,830

Total Investments — 101.0% (identified cost $606,137,539)				606,215,527
Other Assets and Liabilities — (1.0)%				(6,112,050	)

Total Net Assets — 100.0%			$	600,103,477

Short Tax-Free Fund*


Description	Principal Amount		Value
Municipals — 100.6%

Alabama — 3.8%
Black Belt Energy Gas District:
2.295%, 12/1/2048, Call 9/1/2023 (7)	$	1,000,000	$	1,000,000
4.000%, 7/1/2046, Call 3/1/2021 (7)		1,000,000		1,045,390
County of Jefferson, 5.000%, 9/15/2021		1,000,000		1,083,410
Other securities				3,996,142

				7,124,942

Alaska — 0.8%
Alaska Industrial Development & Export Authority, 3.500%, 12/1/2020, Call 12/1/2019		1,000,000		1,013,200
Other securities				533,035

				1,546,235

Arizona — 1.8%
Other securities				3,458,753

Arkansas — 0.7%
Other securities				1,267,858

California — 9.0%
California Municipal Finance Authority, 5.000%, 2/01/2022		1,000,000		1,091,370
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2022		1,000,000		1,110,200
Rib Floater Trust Various States, 1.710%, 3/1/2042, Call 10/1/2018 (5)(7)		2,000,000		2,000,000

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



		BMO Funds

Short Tax-Free Fund* (continued)


Description	Principal Amount		Value
Municipals (continued)

California (continued)
Tender Option Bond Trust Receipts/Certificates:
1.660%, 11/1/2023 (5)(7)	$	1,500,000	$	1,500,000
1.710%, 8/1/2022 (5)(7)		2,000,000		2,000,000
Other securities				9,310,823

				17,012,393

Colorado — 4.5%
Colorado Educational & Cultural Facilities Authority, 5.000%, 10/01/2021		1,000,000		1,077,160
Tender Option Bond Trust Receipts/Certificates, 1.670%, 12/1/2032, Call 12/1/2022 (5)(7)		500,000		500,000
Other securities				6,964,840

				8,542,000

Connecticut — 0.3%
Other securities				648,901

Florida — 6.7%
Escambia County Health Facilities Authority, AGC, 1.650%, 11/15/2029, Call 9/4/2018 (7)		1,700,000		1,700,000
School Board of Miami-Dade County, 1.790%, 8/1/2027, Call 2/1/2019 (5)(7)		1,515,000		1,515,000
School District of Broward County, 5.000%, 7/1/2019		1,000,000		1,026,720
Other securities				8,451,597

				12,693,317

Georgia — 5.0%
Georgia State Road & Tollway Authority, 5.000%, 6/1/2021		1,250,000		1,355,000
Main Street Natural Gas, Inc.:
2.145%, 4/1/2048, Call 6/1/2023 (7)		1,000,000		995,490
2.225%, 8/1/2048, Call 9/1/2023 (7)		500,000		498,250
5.000%, 3/15/2019		1,000,000		1,016,040
5.250%, 9/15/2018		100,000		100,092
Tender Option Bond Trust Receipts/Certificates, 1.710%, 4/1/2025 (5)(7)		1,250,000		1,250,000
Tender Option Bond Trust Receipts/Certificates, County Guarantee, 1.690%, 8/15/2049, Call 2/1/2025 (5)(7)		500,000		500,000
Other securities				3,800,955

				9,515,827

Guam — 0.3%
Other securities				549,540

Idaho — 0.1%
Other securities				228,292

Illinois — 13.6%
City of Chicago Waterworks Revenue, 5.000%, 11/1/2021		1,000,000		1,080,110
Cook County School District No. 130 Blue Island, 2.350%, 12/1/2028, Call 9/10/2018 (5)(7)(9)		1,000,000		1,000,000


Description	Principal Amount		Value
Municipals (continued)

Illinois (continued)
Illinois Finance Authority:
2.807%, 5/1/2036, Call 11/1/2020 (7)	$	1,000,000	$	1,005,820
4.000%, 10/1/2018		275,000		275,382
5.000%, 1/1/2021		200,000		211,392
5.000%, 11/15/2021		400,000		434,224
5.000%, 1/1/2022		150,000		161,333
5.000%, 7/15/2022		750,000		830,243
5.000%, 11/15/2022		555,000		613,636
5.000%, 12/1/2022		290,000		310,523
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023		1,000,000		1,110,020
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2023		1,000,000		1,112,450
Rib Floater Trust Various States, 1.740%, 8/15/2030, Call 10/1/2018 (5)(7)		2,000,000		2,000,000
State of Illinois:
5.000%, 4/1/2020		100,000		103,594
5.000%, 2/1/2021		240,000		250,315
5.000%, 11/1/2022		2,000,000		2,116,580
Tender Option Bond Trust Receipts/Certificates, 1.710%, 6/15/2020 (5)(7)		955,000		955,000
Other securities				12,135,949

				25,706,571

Indiana — 2.6%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.780%, 7/1/2047, Call 9/19/2018 (7)		2,000,000		2,000,000
Other securities				2,897,242

				4,897,242

Iowa — 1.1%
Other securities				1,997,940

Kansas — 0.4%
Other securities				749,581

Kentucky — 1.7%
Kentucky Rural Water Finance Corp., 2.250%, 3/1/2020, Call 9/1/2019 (9)		1,200,000		1,203,144
Other securities				1,930,053

				3,133,197

Louisiana — 0.3%
Other securities				596,332

Maine — 0.1%
Other securities				246,057

Maryland — 1.2%
Other securities				2,184,589

Massachusetts — 1.0%
Other securities				1,856,154

Michigan — 3.3%
Tender Option Bond Trust Receipts/Certificates, Q-SBLF:
1.660%, 5/1/2026 (5)(7)		1,000,000		1,000,000
1.660%, 5/1/2026 (5)(7)		2,000,000		2,000,000
Other securities				3,223,343

				6,223,343

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

August 31, 2018



Schedules of Investments

Short Tax-Free Fund* (continued)


Description	Principal Amount		Value
Municipals (continued)

Minnesota — 0.3%
Other securities			$	545,530

Mississippi — 1.1%
Mississippi Business Finance Corp., 1.560%, 11/1/2035, Call 9/4/2018 (7)	$	1,450,000		1,450,000
Other securities				658,788

				2,108,788

Missouri — 2.5%
Southeast Missouri State University, 5.000%, 4/1/2019		1,000,000		1,018,470
Other securities				3,672,982

				4,691,452

Nevada — 0.3%
Other securities				549,170

New Jersey — 3.9%
Lyndhurst Township School District, School Bond Gty, 2.750%, 9/14/2018		1,500,000		1,500,405
Tender Option Bond Trust Receipts/Certificates, 1.690%, 7/1/2025 (5)(7)		1,000,000		1,000,000
Tobacco Settlement Financing Corp., 5.000%, 6/1/2022		1,000,000		1,096,170
Other securities				3,731,950

				7,328,525

New Mexico — 0.4%
Other securities				666,260

New York — 7.3%
New York State Thruway Authority, 5.000%, 5/1/2019		1,000,000		1,021,530
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.860%, 5/1/2047, Call 9/19/2018 (5)(7)		1,500,000		1,500,000
RBC Municipal Products, Inc. Trust, 1.530%, 3/1/2022, Call 9/19/2018 (5)(7)		1,700,000		1,700,000
Triborough Bridge & Tunnel Authority, 2.095%, 1/1/2032 (7)		1,000,000		1,009,600
TSASC, Inc., 5.000%, 6/1/2021		1,000,000		1,072,060
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020		1,155,000		1,212,265
Other securities				6,176,295

				13,691,750

North Carolina — 0.5%
Other securities				980,296

North Dakota — 0.2%
Other securities				344,280

Ohio — 3.6%
City of Akron, 3.000%, 12/12/2018		1,000,000		1,003,210
FHLMC Multifamily VRD Certificates, 1.860%, 9/15/2033 (7)		1,345,000		1,345,000
Rib Floater Trust Various States, 1.810%, 11/15/2048, Call 10/1/2018 (5)(7)		1,000,000		1,000,000
Other securities				3,455,834

				6,804,044


Description	Principal Amount		Value
Municipals (continued)

Oregon — 0.5%
Other securities			$	1,000,000

Pennsylvania — 4.4%
Commonwealth Financing Authority, 5.000%, 6/1/2022	$	1,000,000		1,091,660
Other securities				7,192,952

				8,284,612

Rhode Island — 0.1%
Other securities				275,267

South Carolina — 1.1%
Newberry Investing in Children’s Education, 5.000%, 12/01/2019		1,000,000		1,040,760
Other securities				1,000,000

				2,040,760

Tennessee — 1.7%
Tender Option Bond Trust Receipts/Certificates, 1.760%, 7/1/2046, Call 9/6/2018 (5)(7)		900,000		900,000
Tennessee Energy Acquisition Corp., 4.000%, 5/1/2048, Call 2/1/2023 (7)		1,000,000		1,059,640
Other securities				1,199,853

				3,159,493

Texas — 7.6%
Lower Colorado River Authority, 5.000%, 5/15/2019		1,000,000		1,023,150
Rib Floater Trust Various States:
1.740%, 6/1/2032, Call 4/1/2020 (5)(7)		2,000,000		2,000,000
1.740%, 11/1/2042, Call 11/1/2020 (5)(7)		2,000,000		2,000,000
Tarrant County Cultural Education Facilities Finance Corp., 5.000%, 11/15/2022		1,000,000		1,093,090
Tender Option Bond Trust Receipts/Certificates, 1.760%, 7/1/2021 (5)(7)		1,500,000		1,500,000
Other securities				6,693,416

				14,309,656

Utah — 0.2%
Other securities				400,000

Vermont — 0.1%
Other securities				102,515

Virginia — 0.6%
Henrico County Economic Development Authority, AGM, 3.616%, 8/23/2027, Call 9/19/2018 (7)(8)		1,100,000		1,100,000

Washington — 1.2%
State of Washington, 5.000%, 2/1/2022		1,000,000		1,100,700
Other securities				1,224,494

				2,325,194

West Virginia — 2.4%
West Virginia Commissioner of Highways, 5.000%, 9/1/2018		1,250,000		1,250,000
West Virginia Hospital Finance Authority:
1.840%, 6/1/2033, Call 9/4/2018 (7)		2,000,000		2,000,000

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



		BMO Funds

Short Tax-Free Fund* (continued)


Description	Principal Amount		Value
Municipals (continued)

West Virginia (continued)
5.000%, 1/1/2022 (9)	$	520,000	$	564,392
5.000%, 1/1/2023 (9)		555,000		612,443

				4,426,835

Wisconsin — 2.3%
Other securities				4,353,919

Total Municipals (identified cost $189,575,417)				189,667,410

Mutual Funds — 0.5%
Other securities (4)				875,303

Total Mutual Funds (identified cost $877,821)				875,303

Short-Term Investments — 0.0%

Mutual Funds — 0.0%
Other securities (4)				121,200

Total Short-Term Investments (identified cost $121,200)				121,200

Total Investments — 101.1% (identified cost $190,574,438)				190,663,913
Other Assets and Liabilities — (1.1)%				(2,139,917	)

Total Net Assets — 100.0%			$	188,523,996

Short-Term Income Fund


Description	Principal Amount		Value
Asset-Backed Securities — 23.5%

Automobiles — 11.0%
American Credit Acceptance Receivables Trust, Class D, (Series 2015-1), 5.450%, 5/12/2022 (5)	$	2,500,000	$	2,501,877
Americredit Automobile Receivables Trust, Class A3, (Series 2018-2), 3.150%, 3/20/2023		1,500,000		1,502,129
CarMax Auto Owner Trust, Class A3, (Series 2016-2), 1.520%, 2/16/2021		271,131		269,350
Drive Auto Receivables Trust, Class C, (Series 2015-DA), 3.380%, 11/15/2021 (5)		2,676,984		2,682,021
Enterprise Fleet Financing LLC, Class A1, (Series 2018-2), 2.550%, 8/20/2019 (5)		2,092,415		2,092,670
Flagship Credit Auto Trust, Class A, (Series 2016-1), 2.770%, 12/15/2020 (5)		290,563		290,650
GM Financial Automobile Leasing Trust:
Class A3, (Series 2017-1), 2.060%, 5/20/2020		1,264,000		1,258,808
Class A3, (Series 2017-2), 2.020%, 9/21/2020		1,000,000		992,452
Class A4, (Series 2017-3), 2.120%, 9/20/2021		1,655,000		1,635,508
GM Financial Consumer Automobile, Class C, (Series 2017-1A), 2.450%, 7/17/2023 (5)		1,000,000		980,957


Description	Principal Amount		Value
Asset-Backed Securities (continued)

Automobiles (continued)
Hertz Vehicle Financing II LP, Class A, (Series 2016-3A), 2.270%, 7/25/2020 (5)	$	2,500,000	$	2,483,794
Mercedes-Benz Auto Lease Trust, Class A3, (Series 2017-A), 1.790%, 4/15/2020		2,400,000		2,390,097
Nissan Auto Receivables Owner Trust, Class A3, (Series 2017-B), 1.750%, 10/15/2021		2,000,000		1,972,937
Santander Drive Auto Receivables Trust:
Class C, (Series 2015-2), 2.440%, 4/15/2021		652,761		652,422
Class D, (Series 2015-2), 3.020%, 4/15/2021		960,000		961,099
Santander Retail Auto Lease Trust, Class C, (Series 2017-A), 2.960%, 11/21/2022 (5)		1,500,000		1,480,617
Tesla Auto Lease Trust, Class C, (Series 2018-A), 2.970%, 4/20/2020 (5)		500,000		498,142
Toyota Auto Receivables, Class A3, (Series 2016-C), 1.140%, 8/17/2020		559,409		555,689
World Omni Auto Receivables Trust:
Class A3, (Series 2015-B), 1.490%, 12/15/2020		629,614		627,799
Class A3, (Series 2017-B), 1.950%, 2/15/2023		450,000		441,472

				26,270,490

Credit Cards — 4.9%
Cabela’s Credit Card Master Note Trust:
Class A, (Series 2014-2), 2.513% (LIBOR 1 Month + 45 basis points), 7/15/2022 (10)		1,000,000		1,002,192
Class A1, (Series 2015-1A), 2.260%, 3/15/2023		1,010,000		999,267
Class A1, (Series 2015-2), 2.250%, 7/17/2023		2,208,000		2,183,554
Chase Issuance Trust, Class A4, (Series 2016-A4), 1.490%, 7/15/2022		2,500,000		2,436,905
GE Capital Credit Card Master Note Trust, Class B, (Series 2012-7), 2.210%, 9/15/2022		1,885,483		1,870,291
World Financial Network Credit Card Master Trust:
Class A, (Series 2015-B), 2.550%, 6/17/2024		365,000		360,909
Class A, (Series 2016-A), 2.030%, 4/15/2025		2,000,000		1,939,004
Class A, (Series 2017-C), 2.310%, 8/15/2024		1,000,000		983,918

				11,776,040

Other Financial — 7.6%
Ally Master Owner Trust, Class A, (Series 2018-2), 3.290%, 5/15/2023		1,500,000		1,507,312
Consumers Securitization Funding LLC, Class A1, (Series 2014-A), 1.334%, 11/1/2020		923,641		917,379

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

August 31, 2018



Schedules of Investments

Short-Term Income Fund (continued)


Description	Principal Amount		Value
Asset-Backed Securities (continued)

Other Financial (continued)
Daimler Trucks Retail Trust, Class A3, (Series 2018-1), 2.850%, 7/15/2021 (5)	$	2,000,000	$	1,999,146
Dell Equipment Finance Trust, Class A3, (Series 2017-1), 2.140%, 4/22/2022 (5)		1,300,000		1,295,482
Ford Credit Floorplan Master Owner Trust A, Class A1, (Series 2016-3), 1.550%, 7/15/2021		2,000,000		1,980,485
Hilton Grand Vacations Trust, Class A, (Series 2014-AA), 1.770%, 11/25/2026 (5)		483,397		475,687
Marlin Receivables LLC, Class B, (Series 2018-1A), 3.540%, 5/22/2023 (5)		1,000,000		1,001,111
Sierra Receivables Funding Co. LLC, Class B, (Series 2017-1A), 3.200%, 3/20/2034 (5)		1,106,856		1,086,102
Trafigura Securitisation Finance PLC, Class A1, (Series 2017-1A), 2.913% (LIBOR 1 Month + 85 basis points), 12/15/2020 (5)(10)		3,000,000		3,001,785
Verizon Owner Trust, Class A, (Series 2016-1A), 1.420%, 1/20/2021 (5)		1,113,647		1,109,360
Volvo Financial Equipment LLC, Class A4, (Series 2017-1A), 2.210%, 11/15/2021 (5)		780,000		767,812
Wells Fargo Dealer Floorplan Master Note Trust, Class A, (Series 2015-2), 2.727% (LIBOR 1 Month + 65 basis points), 1/20/2022 (10)		1,000,000		1,006,418
Westgate Resorts LLC:
Class B, (Series 2014-1A), 3.250%, 12/20/2026 (5)		716,276		715,365
Class B, (Series 2018-1A), 3.580%, 12/20/2031 (5)		1,398,632		1,390,907

				18,254,351

Total Asset-Backed Securities (identified cost $56,660,562)				56,300,881

Certificates of Deposit — 1.4%

U.S. Domestic — 1.4%
Bank of Nova Scotia:
2.390% (U.S. Federal Funds Effective Rate (continuous series) + 47 basis points), 12/12/2019 (10)		350,000		349,848
2.552% (LIBOR 3 Month + 22 basis points), 12/23/2019 (10)		750,000		749,399
Mizuho Bank, Ltd., 2.715% (LIBOR 3 Month + 38 basis points), 6/25/2020 (10)		1,000,000		999,275
Sumitomo Mitsui Banking Corp., 2.759% (LIBOR 3 Month + 42 basis points), 7/24/2020 (10)		1,250,000		1,250,000

Total Certificates of Deposit (identified cost $3,348,522)				3,348,522

Collateralized Mortgage Obligations — 7.2%

Federal Home Loan Mortgage Corporation — 1.8%
2.000%, 1/15/2024, (Series 4295)		594,152		582,392


Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)

Federal Home Loan Mortgage Corporation (continued)
3.000%, 2/15/2031, (Series 4013)	$	1,177,809	$	1,198,581
3.000%, 9/15/2032, (Series 4236)		1,759,718		1,752,785
4.500%, 8/15/2039, (Series 3778)		675,567		701,930

				4,235,688

Federal National Mortgage Association — 1.3%
3.000%, 6/25/2033, (Series 2014-20)		1,810,378		1,789,679
3.000%, 8/25/2040, (Series 2015-15)		1,421,216		1,401,584

				3,191,263

Private Sponsor — 4.1%
Banc of America Funding Trust:
Class 1A3, (Series 2007-C), 3.789%, 5/20/2036 (7)		154,038		149,253
Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		228,572		241,977
Chase Mortgage Finance Trust:
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		162,039		167,985
Class A3, (Series 2006-S4), 6.000%, 12/25/2036		208,441		171,073
FREMF Mortgage Trust:
Class B, (Series 2012-K705), 4.316%, 9/25/2044 (5)(7)		217,211		216,782
Class B, (Series 2012-K709), 3.872%, 4/25/2045 (5)(7)		1,000,000		1,003,076
Class B, (Series 2012-K710), 3.941%, 6/25/2047 (5)(7)		475,000		477,269
Class B, (Series 2013-K712), 3.474%, 5/25/2045 (5)(7)		2,085,000		2,088,449
Class B, (Series 2013-K713), 3.263%, 4/25/2046 (5)(7)		3,025,000		3,022,770
Class C, (Series 2013-K35), 4.075%, 8/25/2023 (5)(7)		500,000		499,648
JP Morgan Mortgage Trust:
Class 1A5, (Series 2017-3), 3.500%, 8/25/2047 (5)(7)		1,167,164		1,158,011
Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		87,299		83,888
Class 3A1, (Series 2007-A2), 3.585%, 4/25/2037 (7)		14,817		13,569
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.969%, 11/25/2034 (7)		261,535		266,113
Wells Fargo Mortgage Backed Securities Trust:
Class 2A4, (Series 2006-AR7), 4.323%, 5/25/2036 (7)		114,679		117,656
Class 2A4, (Series 2006-AR8), 4.198%, 4/25/2036 (7)		34,473		35,149
Class A1, (Series 2006-AR19), 3.827%, 12/25/2036 (7)		235,232		221,357

				9,934,025

Total Collateralized Mortgage Obligations (identified cost $17,692,601)				17,360,976

Commercial Mortgage Securities — 6.1%

Government National Mortgage Association — 1.7%
1.800%, 7/16/2037, (Series 2013-179)		888,974		864,885

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



		BMO Funds

Short-Term Income Fund (continued)


Description	Principal Amount		Value
Commercial Mortgage Securities (continued)

Government National Mortgage Association (continued)
2.100%, 4/16/2050, (Series 2016-92)	$	1,400,058	$	1,343,731
2.205%, 1/16/2044, (Series 2014-61)		792,479		788,087
2.650%, 2/16/2045, (Series 2015-33)		1,083,558		1,077,159

				4,073,862

Private Sponsor — 4.4%
Assurant Commercial Mortgage Trust, Class A1, (Series 2016-1A), 1.362%, 5/15/2049 (5)		485,019		483,179
BANK, Class A1, (Series 2017-BNK9), 2.322%, 11/15/2054		2,167,359		2,128,570
Citigroup Commercial Mortgage Trust, Class A1, (Series 2017-P7), 2.008%, 4/14/2050		822,179		809,588
Great Wolf Trust, Class B, (Series 2017-WOLF), 3.263% (LIBOR 1 Month + 110 basis points), 9/15/2034 (5)(10)		2,000,000		2,003,156
GS Mortgage Securities Trust, Class A4, (Series 2011-GC3), 4.753%, 3/10/2044 (5)		721,945		744,655
JPMBB Commercial Mortgage Securities Trust, Class A2, (Series 2013-C14), 3.019%, 8/15/2046		354,767		355,067
Morgan Stanley BAML Trust, Class A1, (Series 2016-C30), 1.389%, 9/15/2049		1,477,394		1,441,841
RAIT Trust, Class A, (Series 2017-FL7), 3.013% (LIBOR 1 Month + 95 basis points), 6/15/2037 (5)(10)		1,102,263		1,102,968
UBS Commercial Mortgage Trust, Class A1, (Series 2017-C3), 1.935%, 8/15/2050		1,536,939		1,503,484

				10,572,508

Total Commercial Mortgage Securities (identified cost $14,866,601)				14,646,370

Corporate Bonds & Notes — 43.9%

Aerospace/Defense — 0.3%
General Dynamics Corp., 3.000%, 5/11/2021		750,000		748,917

Auto Manufacturers — 6.0%
American Honda Finance Corp.:
2.548% (LIBOR 3 Month + 21 basis points), 2/12/2021 (10)		1,000,000		1,000,496
2.650%, 2/12/2021 (1)		1,000,000		991,576
2.659% (LIBOR 3 Month + 34 basis points), 2/14/2020 (10)		900,000		902,902
3.450%, 7/14/2023		1,555,000		1,567,709
Ford Motor Credit Co. LLC:
2.021%, 5/3/2019		500,000		496,506
2.551%, 10/5/2018		500,000		499,886
2.943%, 1/8/2019		1,500,000		1,499,722
3.606% (LIBOR 3 Month + 127 basis points), 3/28/2022 (1)(10)		1,000,000		999,650
General Motors Financial Co., Inc.:
2.450%, 11/6/2020		1,000,000		977,879
3.450%, 1/14/2022 (1)		750,000		741,881


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Auto Manufacturers (continued)
3.613% (LIBOR 3 Month + 127 basis points), 10/4/2019 (10)	$	1,500,000	$	1,513,482
3.889% (LIBOR 3 Month + 155 basis points), 1/14/2022 (10)		750,000		767,924
Toyota Motor Credit Corp.:
2.582% (LIBOR 3 Month + 24 basis points), 7/15/2020 (10)		1,500,000		1,500,945
3.023% (LIBOR 3 Month + 69 basis points), 1/11/2022 (10)		1,000,000		1,012,343

				14,472,901

Banks — 23.2%
Australia & New Zealand Banking Group, Ltd., 3.300%, 5/17/2021		500,000		499,798
Bank of America Corp.:
2.328%, 10/1/2021 (7)		750,000		734,722
3.342% (LIBOR 3 Month + 100 basis points), 4/24/2023 (1)(10)		2,000,000		2,024,926
3.499%, 5/17/2022 (1)(7)		1,000,000		1,002,200
Bank of the Ozarks, Inc., 5.500%, 7/1/2026 (1)(7)		1,200,000		1,236,247
Branch Banking & Trust Co., 2.100%, 1/15/2020 (1)		1,200,000		1,186,584
Canadian Imperial Bank of Commerce, 2.700%, 2/2/2021 (1)		750,000		740,600
Capital One Financial Corp.:
2.500%, 5/12/2020		900,000		891,145
3.050%, 3/9/2022 (1)		1,000,000		982,101
Capital One NA, 3.489% (LIBOR 3 Month + 115 basis points), 1/30/2023 (10)		1,000,000		1,010,443
Citigroup, Inc.:
2.350%, 8/2/2021 (1)		520,000		506,354
3.295% (LIBOR 3 Month + 96 basis points), 4/25/2022 (10)		1,500,000		1,522,863
Customers Bancorp, Inc., 3.950%, 6/30/2022		2,000,000		1,941,278
Eagle Bancorp, Inc., 5.000%, 8/1/2026 (7)		1,230,000		1,233,480
Goldman Sachs Group, Inc., 2.550%, 10/23/2019		1,500,000		1,494,935
Hanmi Financial Corp., 5.450%, 3/30/2027 (7)		2,000,000		2,021,623
Home BancShares, Inc., 5.625%, 4/15/2027 (7)		1,000,000		1,024,801
Huntington Bancshares, Inc.:
2.300%, 1/14/2022		700,000		674,460
3.150%, 3/14/2021		1,000,000		996,236
Independent Bank Group, Inc., 5.875%, 8/1/2024		1,680,000		1,718,760
KeyCorp, 2.900%, 9/15/2020		1,000,000		994,545
MB Financial Bank NA, 4.000%, 12/1/2027 (7)		2,000,000		1,971,718
Mitsubishi UFJ Financial Group, Inc.:
3.535%, 7/26/2021		850,000		853,827
3.761%, 7/26/2023		1,000,000		1,007,917
Morgan Stanley:
2.625%, 11/17/2021		750,000		732,476
3.192% (LIBOR 3 Month + 85 basis points), 1/24/2019 (10)		500,000		501,596
3.528% (LIBOR 3 Month + 118 basis points), 1/20/2022 (10)		645,000		655,118
National Australia Bank, Ltd.:
2.500%, 1/12/2021		1,400,000		1,375,430
2.625%, 7/23/2020		1,250,000		1,236,089

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

August 31, 2018



Schedules of Investments

Short-Term Income Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Banks (continued)
Peapack Gladstone Financial Corp., 6.000%, 6/30/2026 (7)	$	1,525,000	$	1,540,930
PNC Bank NA, 2.597% (LIBOR 3 Month + 25 basis points), 1/22/2021 (10)		750,000		750,791
PNC Financial Services Group, Inc., 4.375%, 8/11/2020		950,000		973,862
Regions Bank, 2.717% (LIBOR 3 Month + 38 basis points), 4/1/2021 (10)		1,000,000		999,609
Renasant Corp., 5.000%, 9/1/2026 (7)		825,000		829,442
Royal Bank of Canada:
2.125%, 3/2/2020		1,400,000		1,385,105
2.635% (LIBOR 3 Month + 30 basis points), 7/22/2020 (10)		1,000,000		1,003,055
SunTrust Bank:
2.250%, 1/31/2020 (1)		1,000,000		990,153
3.502%, 8/2/2022 (7)		750,000		750,827
3.689%, 8/2/2024 (7)		700,000		700,720
Toronto-Dominion Bank:
2.125%, 4/7/2021 (1)		1,000,000		973,451
2.900%, 8/7/2020 (7)		2,000,000		1,991,039
Towne Bank, 4.500%, 7/30/2027 (7)		2,000,000		2,019,159
U.S. Bank NA:
2.050%, 10/23/2020		1,450,000		1,420,216
2.300% (U.S. Federal Funds Effective Rate (continuous series) + 38 basis points), 1/30/2020 (10)		1,000,000		1,000,324
2.462% (LIBOR 3 Month + 15 basis points), 5/24/2019 (10)		750,000		750,547
United Community Bank, 4.500%, 1/30/2028 (7)		1,000,000		992,202
Wells Fargo & Co., 3.452% (LIBOR 3 Month + 111 basis points), 1/24/2023 (10)		1,000,000		1,017,000
Wells Fargo Bank NA, 1.750%, 5/24/2019		700,000		695,991
Westpac Banking Corp.:
2.500%, 6/28/2022		500,000		483,131
2.675% (LIBOR 3 Month + 34 basis points), 1/25/2021 (10)		750,000		751,659
2.800%, 1/11/2022		1,000,000		980,782

				55,772,267

Biotechnology — 1.0%
Amgen, Inc., 2.200%, 5/22/2019		1,450,000		1,445,873
Gilead Sciences, Inc., 2.495% (LIBOR 3 Month + 17 basis points), 9/20/2018 (1)(10)		1,000,000		1,000,197

				2,446,070

Computers — 0.4%
Dell International LLC, 4.420%, 6/15/2021 (1)(5)		1,000,000		1,017,828

Cosmetics/Personal Care — 0.9%
Colgate-Palmolive Co., 2.250%, 11/15/2022 (1)		1,300,000		1,261,688
Procter & Gamble Co., 2.150%, 8/11/2022		775,000		751,572

				2,013,260


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Diversified Financial Services — 1.6%
American Express Credit Corp.:
2.375%, 5/26/2020	$	1,000,000	$	988,678
2.700%, 3/3/2022 (1)		1,500,000		1,466,206
National Rural Utilities Cooperative Finance Corp., 1.500%, 11/1/2019		1,285,000		1,264,492

				3,719,376

Electric — 0.5%
American Electric Power Co., Inc., 2.150%, 11/13/2020		750,000		734,898
NextEra Energy Capital Holdings, Inc., 2.300%, 4/1/2019		500,000		498,939

				1,233,837

Healthcare-Services — 0.3%
Anthem, Inc., 2.500%, 11/21/2020		600,000		591,374

Insurance — 0.2%
Allstate Corp., 2.764% (LIBOR 3 Month + 43 basis points), 3/29/2021 (10)		500,000		500,798

Machinery-Construction & Mining — 1.3%
Caterpillar Financial Services Corp.:
2.841% (LIBOR 3 Month + 51 basis points), 1/10/2020 (10)		1,000,000		1,005,729
3.450%, 5/15/2023 (1)		2,110,000		2,128,253

				3,133,982

Machinery-Diversified — 0.3%
John Deere Capital Corp., 1.250%, 10/9/2019		775,000		762,118

Media — 1.0%
Discovery Communications LLC, 2.200%, 9/20/2019		2,000,000		1,984,300
Walt Disney Co., 1.950%, 3/4/2020 (1)		500,000		493,701

				2,478,001

Oil & Gas — 1.5%
BP Capital Markets PLC, 2.500%, 11/6/2022		500,000		484,860
Chevron Corp., 1.961%, 3/3/2020		1,000,000		988,320
Exxon Mobil Corp., 2.397%, 3/6/2022		850,000		834,948
Phillips 66, 2.911% (LIBOR 3 Month + 60 basis points), 2/26/2021 (10)		1,200,000		1,201,614

				3,509,742

Pharmaceuticals — 0.8%
Express Scripts Holding Co., 2.250%, 6/15/2019		1,000,000		996,252
Novartis Capital Corp., 1.800%, 2/14/2020 (1)		1,000,000		985,795

				1,982,047

Retail — 1.0%
Walmart, Inc.:
3.125%, 6/23/2021		950,000		955,266
3.400%, 6/26/2023		1,275,000		1,291,768

				2,247,034

Savings & Loans — 0.4%
Flagstar Bancorp, Inc., 6.125%, 7/15/2021		1,000,000		1,045,170

Semiconductors — 0.4%
Intel Corp., 2.450%, 7/29/2020		1,000,000		993,925

Software — 0.4%
Microsoft Corp., 1.850%, 2/6/2020		1,000,000		989,351

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



		BMO Funds

Short-Term Income Fund (continued)


Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)

Telecommunications — 2.4%
AT&T, Inc.:
2.450%, 6/30/2020 (1)	$	500,000	$	493,758
2.989% (LIBOR 3 Month + 65 basis points), 1/15/2020 (1)(10)		1,500,000		1,508,832
Cisco Systems, Inc.:
1.400%, 9/20/2019		500,000		493,446
2.125%, 3/1/2019 (1)		1,500,000		1,498,207
Verizon Communications, Inc.:
2.625%, 2/21/2020		500,000		498,724
3.450%, 3/15/2021		500,000		504,368
3.335% (LIBOR 3 Month + 100 basis points), 3/16/2022 (1)(10)		750,000		762,715

				5,760,050

Total Corporate Bonds & Notes (identified cost $105,745,404)				105,418,048

Mutual Funds — 0.4%
Eaton Vance Institutional Senior Loan Fund, Open-end Cayman Islands Exempted Co. (11)		110,732		1,007,665

Total Mutual Funds (identified cost $995,329)				1,007,665

U.S. Government & U.S. Government Agency Obligations — 11.7%

Federal Home Loan Mortgage Corporation — 1.2%
1.750%, 5/30/2019 (1)	$	2,000,000		1,990,424
2.375%, 2/16/2021 (1)		1,000,000		992,599

				2,983,023

Federal National Mortgage Association — 1.6%
1.500%, 6/22/2020 (1)		1,000,000		980,629
1.750%, 11/26/2019 (1)		1,750,000		1,733,590
2.500%, 4/13/2021 (1)		1,000,000		994,816

				3,709,035

U.S. Treasury Bonds & Notes — 8.9%
1.000%, 9/30/2019 (1)		1,500,000		1,476,445
1.250%, 1/31/2020 (1)		1,000,000		982,129
1.250%, 3/31/2021 (1)		1,500,000		1,447,412
1.375%, 10/31/2020 (1)		2,000,000		1,947,031
1.500%, 4/15/2020 (1)		2,000,000		1,965,664
1.750%, 9/30/2019 (1)		1,500,000		1,488,252
1.750%, 12/31/2020 (1)		1,000,000		979,707
2.000%, 5/31/2021 (1)		1,500,000		1,473,135
2.000%, 8/31/2021 (1)		1,000,000		980,137
2.125%, 12/31/2021 (1)		2,000,000		1,963,086
2.125%, 12/31/2022 (1)		2,000,000		1,950,352
2.250%, 3/31/2021 (1)		1,200,000		1,187,484
2.625%, 11/15/2020 (1)		1,000,000		999,238
2.625%, 5/15/2021 (1)		2,500,000		2,496,192

				21,336,264

Total U.S. Government & U.S. Government Agency Obligations (identified cost $28,295,610)				28,028,322

U.S. Government Agency-Mortgage Securities — 1.0%

Federal National Mortgage Association — 1.0%
2.567%, 11/1/2020		1,522,795		1,520,102
3.500%, 4/1/2026		93,876		94,976
4.000%, 11/1/2031		399,997		413,491


Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)

Federal National Mortgage Association (continued)
5.500%, 11/1/2033	$	111,806	$	121,934
5.500%, 2/1/2034		84,086		91,745
5.500%, 8/1/2037		188,531		205,190
9.500%, 1/1/2025		2,082		2,091
10.000%, 7/1/2020		5,630		5,700

				2,455,229

Government National Mortgage Association — 0.0%
7.500%, 8/15/2037		12,963		13,224
9.000%, 12/15/2019		1,192		1,201

				14,425

Total U.S. Government Agency-Mortgage Securities
(identified cost $2,477,313)				2,469,654

Short-Term Investments — 20.7%

Certificates of Deposit — 2.3%
Canadian Imperial Bank of Commerce:
2.520% (LIBOR 3 Month + 18 basis points), 11/5/2018 (10)		1,250,000		1,249,652
2.657% (LIBOR 3 Month + 32 basis points), 7/5/2019 (10)		750,000		750,994
Mizuho Bank, Ltd., 2.835% (LIBOR 3 Month + 50 basis points), 9/24/2018 (10)		1,125,000		1,125,108
Sumitomo Mitsui Banking Corp.:
2.729% (LIBOR 3 Month + 38 basis points), 8/2/2019 (10)		1,000,000		999,349
2.774% (LIBOR 3 Month + 46 basis points), 5/15/2019 (10)		1,300,000		1,299,237

				5,424,340

Collateral Pool Investments for Securities on Loan — 15.8%

Collateral pool allocation (3)				38,006,514

Commercial Paper — 1.2%
Dominion Resources, 2.285%, 9/24/2018 (12)		1,500,000		1,497,844
NextEra Energy Capital Holdings, Inc., 2.212%, 9/14/2018 (12)		1,500,000		1,498,819

				2,996,663

Mutual Funds — 1.4%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		3,241,741		3,242,065

Total Short-Term Investments (identified cost $49,668,958)				49,669,582

Total Investments — 115.9% (identified cost $279,750,900)				278,250,020
Other Assets and Liabilities — (15.9)%				(38,170,775	)

Total Net Assets — 100.0%			$	240,079,245

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

August 31, 2018



Schedules of Investments

Intermediate Tax-Free Fund*


Description	Principal Amount		Value
Municipals — 98.8%

Alabama — 2.6%
Southeast Alabama Gas Supply District, 2.245%, 6/1/2049, Call 3/1/2024 (7)	$	7,000,000	$	6,968,220
Tender Option Bond Trust Receipts/Certificates:
1.660%, 7/1/2026 (5)(7)		4,590,000		4,590,000
1.710%, 10/5/2020 (5)(7)		3,000,000		3,000,000
Other securities				30,978,064

				45,536,284

Alaska — 0.5%
Other securities				8,877,516

Arizona — 2.4%
State of Arizona, AGM, 5.250%, 10/01/2024, Call 10/1/2019		5,000,000		5,177,950
Other securities				37,046,074

				42,224,024

Arkansas — 1.2%
Other securities				21,590,524

California — 6.9%
Bay Area Toll Authority, 2.810%, 4/1/2036, Call 10/1/2026 (7)		5,000,000		5,199,400
Tender Option Bond Trust Receipts/Certificates:
1.660%, 2/1/2023 (5)(7)		2,410,000		2,410,000
1.660%, 11/1/2023 (5)(7)		6,000,000		6,000,000
1.660%, 8/15/2042, Call 8/15/2020 (5)(7)		5,000,000		5,000,000
1.660%, 10/1/2054 (5)(7)		800,000		800,000
Tender Option Bond Trust Receipts/Certificates, AGM, 1.640%, 11/15/2049, Call 11/15/2024 (5)(7)		5,760,000		5,760,000
Other securities				98,019,187

				123,188,587

Colorado — 2.7%
Adams & Arapahoe Joint School District 28J Aurora, SAW, 5.000%, 12/1/2031, Call 12/1/2026		5,000,000		5,832,150
Tender Option Bond Trust Receipts/Certificates, 1.670%, 12/1/2032, Call 12/1/2022 (5)(7)		1,685,000		1,685,000
Other securities				40,593,731

				48,110,881

Connecticut — 0.9%
Other securities				16,519,683

Delaware — 0.4%
Other securities				7,635,451

District of Columbia — 0.4%
Other securities				7,022,499

Florida — 6.0%
County of Orange Sales Tax Revenue, 5.000%, 1/1/2027, Call 1/1/2022		5,810,000		6,338,013


Description	Principal Amount		Value
Municipals (continued)

Florida (continued)
School Board of Miami-Dade County, 1.790%, 8/1/2027, Call 2/1/2019 (5)(7)	$	6,305,000	$	6,305,000
School Board of Miami-Dade County, FGIC, 1.790%, 5/1/2037, Call 9/1/2018 (5)(7)		6,500,000		6,500,000
Tender Option Bond Trust Receipts/Certificates, 1.660%, 10/1/2042, Call 4/1/2022 (5)(7)		7,500,000		7,500,000
Other securities				80,478,257

				107,121,270

Georgia — 4.4%
Main Street Natural Gas, Inc., 2.145%, 4/1/2048, Call 6/1/2023 (7)		7,000,000		6,968,430
Tender Option Bond Trust Receipts/Certificates, 1.710%, 4/1/2025 (5)(7)		4,000,000		4,000,000
Tender Option Bond Trust Receipts/Certificates, County Guarantee, 1.690%, 8/15/2049, Call 2/1/2025 (5)(7)		2,520,000		2,520,000
Other securities				63,914,106

				77,402,536

Guam — 0.1%
Other securities				2,564,468

Hawaii — 0.1%
Other securities				1,129,190

Idaho — 0.1%
Other securities				1,652,550

Illinois — 14.5%
City of Chicago, 6.000%, 1/1/2038, Call 1/1/2027		10,000,000		11,335,100
Cook County School District No. 130 Blue Island, 2.350%, 12/1/2028, Call 9/10/2018 (5)(7)(9)		5,000,000		5,000,000
Illinois State Toll Highway Authority, 5.000%, 12/1/2032, Call 1/1/2026		7,790,000		8,790,703
Rib Floater Trust Various States, 1.740%, 8/15/2030, Call 10/1/2018 (5)(7)		5,000,000		5,000,000
State of Illinois, 5.000%, 11/1/2025		7,000,000		7,462,910
Tender Option Bond Trust Receipts/Certificates:
1.660%, 11/15/2037, Call 11/15/2027 (5)(7)		4,075,000		4,075,000
1.660%, 11/1/2039, Call 5/1/2019 (5)(7)		1,000,000		1,000,000
1.710%, 6/15/2020 (5)(7)		3,705,000		3,705,000
1.740%, 4/1/2046, Call 4/1/2027 (5)(7)		2,500,000		2,500,000
Other securities				209,929,441

				258,798,154

Indiana — 2.1%
Other securities				36,886,384

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



		BMO Funds

Intermediate Tax-Free Fund* (continued)


Description	Principal Amount		Value
Municipals (continued)

Iowa — 0.4%
Other securities			$	6,943,076

Kansas — 0.2%
Other securities				3,449,112

Kentucky — 1.0%
Other securities				17,646,661

Louisiana — 2.0%
Parish of St. James, 1.730%, 11/1/2040, Call 9/19/2018 (7)	$	6,000,000		6,000,000
Other securities				29,816,331

				35,816,331

Maine — 0.7%
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021		7,025,000		7,140,983
Other securities				5,898,599

				13,039,582

Maryland — 1.0%
Maryland Health & Higher Educational Facilities Authority, 5.000%, 5/15/2042, Call 5/15/2027		4,750,000		5,302,520
Maryland Industrial Development Financing Authority, 1.720%, 3/1/2030, Call 9/19/2018 (7)		5,000,000		5,000,000
Other securities				7,762,139

				18,064,659

Massachusetts — 1.5%
Commonwealth of Massachusetts, 5.250%, 9/1/2043, Call 9/1/2028 (9)		5,000,000		5,903,250
Massachusetts Water Resources Authority, 5.000%, 8/1/2043, Call 8/1/2028		8,600,000		9,984,256
Other securities				11,124,392

				27,011,898

Michigan — 3.4%
Tender Option Bond Trust Receipts/Certificates, Q-SBLF, 1.660%, 5/1/2026 (5)(7)		3,000,000		3,000,000
Other securities				58,165,896

				61,165,896

Minnesota — 0.3%
Other securities				4,860,151

Mississippi — 0.8%
Mississippi Business Finance Corp., 1.560%, 11/1/2035, Call 9/4/2018 (7)		6,600,000		6,600,000
Other securities				7,597,383

				14,197,383

Missouri — 1.7%
Other securities				29,951,831

Nebraska — 0.6%
Tender Option Bond Trust Receipts/Certificates, 1.630%, 11/1/2048, Call 11/1/2025 (5)(7)		1,200,000		1,200,000


Description	Principal Amount		Value
Municipals (continued)

Nebraska (continued)
Other securities			$	8,946,470

				10,146,470

Nevada — 1.1%
Las Vegas Valley Water District, 5.000%, 6/01/2028, Call 6/1/2022	$	5,115,000		5,624,250
Other securities				14,219,135

				19,843,385

New Hampshire — 0.0%
Other securities				738,132

New Jersey — 3.9%
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019		5,520,000		5,685,600
New Jersey Transportation Trust Fund Authority:
2.560%, 6/15/2034, Call 6/15/2019 (7)		5,000,000		5,004,100
5.000%, 6/15/2022		500,000		541,205
5.000%, 6/15/2030, Call 6/15/2026		1,000,000		1,112,110
5.000%, 6/15/2031, Call 6/15/2026		1,000,000		1,107,770
5.000%, 6/15/2032, Call 12/15/2024		5,000,000		5,389,950
5.250%, 12/15/2023		240,000		267,655
New Jersey Transportation Trust Fund Authority, BAM TCRs:
5.000%, 6/15/2028, Call 6/15/2022		5,000,000		5,352,550
5.000%, 6/15/2033, Call 6/15/2022		3,000,000		3,182,880
5.250%, 6/15/2033, Call 6/15/2023		5,635,000		6,132,345
New Jersey Transportation Trust Fund Authority, BHAC AMBAC, 0.000%, 12/15/2024		440,000		367,928
Tender Option Bond Trust Receipts/Certificates, 1.690%, 7/1/2025 (5)(7)		4,035,000		4,035,000
Other securities				30,767,548

				68,946,641

New Mexico — 0.8%
New Mexico Municipal Energy Acquisition Authority, 2.145%, 11/1/2039, Call 2/1/2019 (7)		10,000,000		10,010,600
Other securities				3,587,031

				13,597,631

New York — 5.8%
New York City Transitional Finance Authority Future Tax Secured Revenue:
1.520%, 8/1/2023, Call 9/19/2018 (7)		4,600,000		4,600,000
1.560%, 11/1/2029, Call 9/19/2018 (7)		5,000,000		5,000,000
1.560%, 5/1/2034, Call 9/19/2018 (7)		6,700,000		6,700,000
5.000%, 11/1/2024, Call 11/1/2022		5,715,000		6,380,740

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

August 31, 2018



Schedules of Investments

Intermediate Tax-Free Fund* (continued)


Description	Principal Amount		Value
Municipals (continued)

New York (continued)
5.000%, 11/1/2026, Call 5/1/2025	$	1,000,000	$	1,161,690
5.000%, 11/1/2026, Call 5/1/2025		2,000,000		2,323,380
5.000%, 2/1/2038, Call 2/1/2027		4,000,000		4,552,120
5.000%, 2/1/2039, Call 2/1/2027		4,000,000		4,545,800
New York State Dormitory Authority, 5.000%, 3/15/2027, Call 3/15/2022		7,555,000		8,279,978
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.860%, 5/1/2047, Call 9/19/2018 (5)(7)		5,000,000		5,000,000
RBC Municipal Products, Inc. Trust, 1.530%, 3/1/2022, Call 9/19/2018 (5)(7)		6,000,000		6,000,000
Tender Option Bond Trust Receipts/Certificates, 1.660%, 11/15/2044, Call 11/15/2021 (5)(7)		6,000,000		6,000,000
Other securities				42,875,615

				103,419,323

North Carolina — 0.7%
Other securities				12,056,948

North Dakota — 1.5%
Other securities				26,427,926

Ohio — 3.9%
Rib Floater Trust Various States, 1.810%, 11/15/2048, Call 10/1/2018 (5)(7)		5,000,000		5,000,000
Tender Option Bond Trust Receipts/Certificates, 1.660%, 4/1/2026 (5)(7)		2,000,000		2,000,000
Other securities				62,021,265

				69,021,265

Oklahoma — 0.7%
Other securities				12,549,782

Oregon — 0.6%
Other securities				11,522,289

Pennsylvania — 2.8%
Montgomery County Higher Education & Health Authority, 1.820%, 9/1/2050, Call 9/4/2018 (7)		8,000,000		8,000,000
Pennsylvania Turnpike Commission, 2.540%, 12/1/2021, Call 6/1/2021 (7)		5,000,000		5,074,500
Other securities				37,509,190

				50,583,690

Rhode Island — 0.6%
Other securities				9,853,580

South Carolina — 1.6%
Patriots Energy Group Financing Agency, 2.243%, 10/1/2048, Call 11/1/2023 (7)		8,000,000		8,000,000


Description	Principal Amount		Value
Municipals (continued)

South Carolina (continued)
Tender Option Bond Trust Receipts/Certificates, 1.710%, 1/1/2020 (5)(7)	$	2,390,000	$	2,390,000
Other securities				17,664,705

				28,054,705

South Dakota — 0.8%
Other securities				13,864,329

Tennessee — 1.3%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/01/2042, Call 1/1/2027		5,815,000		6,312,880
Tennessee Energy Acquisition Corp., 5.000%, 2/01/2023		5,310,000		5,853,426
Other securities				10,671,899

				22,838,205

Texas — 6.7%
City of Houston Airport System Revenue, 5.000%, 7/1/2038, Call 7/1/2028		5,000,000		5,716,950
Dallas/Fort Worth International Airport, 5.000%, 11/1/2032, Call 11/1/2020		5,000,000		5,302,800
Grand Parkway Transportation Corp., 5.000%, 10/1/2043, Call 4/1/2028		5,000,000		5,719,150
Rib Floater Trust Various States:
1.740%, 6/1/2032, Call 4/1/2020 (5)(7)		7,000,000		7,000,000
1.740%, 11/1/2042, Call 11/1/2020 (5)(7)		3,165,000		3,165,000
Tender Option Bond Trust Receipts/Certificates, 1.630%, 8/15/2027, Call 8/15/2022 (5)(7)		300,000		300,000
Other securities				91,156,035

				118,359,935

U.S. Virgin Islands — 0.2%
Other securities				3,507,811

Utah — 0.6%
Other securities				11,484,017

Vermont — 0.1%
Other securities				1,188,645

Virginia — 0.3%
Other securities				6,170,837

Washington — 1.5%
Tender Option Bond Trust Receipts/Certificates:
1.710%, 6/15/2033, Call 6/1/2019 (5)(7)		2,900,000		2,900,000
1.710%, 8/15/2042, Call 8/15/2022 (5)(7)		3,375,000		3,375,000
Other securities				21,279,240

				27,554,240

West Virginia — 0.7%
West Virginia Hospital Finance Authority, 1.840%, 6/1/2033, Call 9/4/2018 (7)		8,000,000		8,000,000
Other securities				4,474,797

				12,474,797

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



		BMO Funds

Intermediate Tax-Free Fund* (continued)


Description	Shares or Principal Amount		Value
Municipals (continued)

Wisconsin — 3.6%
Tender Option Bond Trust Receipts/Certificates, 1.630%, 11/15/2044 (5)(7)	$	4,320,000	$	4,320,000
Wisconsin Health & Educational Facilities Authority:
4.000%, 2/15/2042, Call 2/15/2027		1,000,000		1,001,400
4.750%, 10/15/2029, Call 10/15/2021		605,000		641,385
5.000%, 6/1/2019		105,000		107,381
5.000%, 7/1/2019		340,000		349,115
5.000%, 7/1/2019		650,000		667,427
5.000%, 8/15/2019		250,000		257,765
5.000%, 8/15/2019		955,000		983,755
5.000%, 8/15/2020		1,060,000		1,123,049
5.000%, 3/1/2021		240,000		249,847
5.000%, 8/15/2021		1,160,000		1,259,714
5.000%, 3/1/2022		205,000		215,705
5.000%, 10/1/2022		750,000		832,282
5.000%, 12/15/2022		500,000		553,610
5.000%, 12/15/2023		500,000		562,480
5.000%, 12/15/2024		500,000		569,075
5.000%, 3/1/2025, Call 3/1/2024		315,000		335,173
5.000%, 6/1/2026, Call 6/1/2020		135,000		142,407
5.000%, 8/15/2027, Call 8/15/2022		500,000		554,610
5.000%, 12/15/2028, Call 12/15/2024		100,000		111,605
5.000%, 8/15/2029, Call 8/15/2022		1,700,000		1,882,274
5.000%, 4/1/2032, Call 10/1/2022		4,560,000		4,948,968
5.000%, 6/1/2032, Call 6/1/2022		1,000,000		1,069,830
5.000%, 8/15/2032, Call 8/15/2022		5,000,000		5,536,100
5.125%, 4/15/2031, Call 4/15/2023		250,000		283,655
5.250%, 6/1/2034, Call 6/1/2020		300,000		316,941
5.375%, 8/15/2024, Call 2/15/2020		1,625,000		1,711,027
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021		3,655,000		3,973,241
Other securities				29,763,285

				64,323,106

Wyoming — 0.1%
Other securities				1,074,500

Total Municipals (identified cost $1,722,346,529)				1,758,008,770


Mutual Funds — 0.9%
BMO Ultra Short Tax-Free Fund — Institutional Class (4)		513,162		5,162,410
Other securities				10,363,592

Total Mutual Funds (identified cost $15,779,501)				15,526,002


Description	Value
Short-Term Investments — 0.0%

Mutual Funds — 0.0%
Other securities	$	85,922

Total Short-Term Investments (identified cost $85,922)		85,922

Total Investments — 99.7% (identified cost $1,738,211,952)		1,773,620,694
Other Assets and Liabilities — 0.3%		5,738,089

Total Net Assets — 100.0%	$	1,779,358,783

Strategic Income Fund


Description	Principal Amount		Value
Asset-Backed Securities — 4.0%

Automobiles — 3.8%
CarMax Auto Owner Trust, Class B, (Series 2018-3), 3.440%, 3/15/2024	$	1,000,000	$	1,001,929
Honda Auto Receivables Owner Trust, Class A3, (Series 2018-3), 2.950%, 8/22/2022		1,000,000		999,868
Nissan Auto Receivables Owner Trust, Class A4, (Series 2017-A), 2.110%, 5/15/2023		1,250,000		1,227,078

				3,228,875

Federal Home Loan Mortgage Corporation — 0.2%
2.195% (LIBOR 1 Month + 13 basis points), 8/25/2031, (Series T-32) (10)		216,562		215,607

Total Asset-Backed Securities (identified cost $3,441,454)				3,444,482

Collateralized Mortgage Obligations — 10.6%

Federal National Mortgage Association — 0.5%
2.465% (LIBOR 1 Month + 40 basis points), 4/25/2034, (Series 2004-25) (10)		158,762		159,736
4.000%, 3/25/2041, (Series 2012-21)		259,448		265,302

				425,038

Private Sponsor — 10.1%
Alternative Loan Trust, Class 1A1, (Series 2004-24CB), 6.000%, 11/25/2034		712,216		719,836
Banc of America Funding Trust, Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		228,572		241,977
Chase Mortgage Finance Trust:
Class 7A1, (Series 2007-A2), 3.558%, 7/25/2037 (7)		417,098		374,371
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		486,117		503,956
ChaseFlex Trust , Class 4A3, (Series 2005-2), 6.000%, 5/25/2020		66,332		55,666
GSR Mortgage Loan Trust, Class 2A4, (Series 2007-1F), 5.500%, 1/25/2037		125,820		134,335
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.969%, 11/25/2034 (7)		482,526		490,973

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

August 31, 2018



Schedules of Investments

Strategic Income Fund (continued)


Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)

Private Sponsor (continued)
Residential Asset Securitization Trust, Class A4, (Series 2005-A8CB), 5.500%, 7/25/2035	$	685,990	$	612,956
RFMSI Series Trust, Class A2, (Series 2006-S4), 6.000%, 4/25/2036		488,544		474,927
Structured Adjustable Rate Mortgage Loan Trust, Class 1A2, (Series 2004-18), 3.935%, 12/25/2034 (7)		540,704		523,708
Wells Fargo Mortgage Backed Securities Trust:
Class 1A2, (Series 2006-6), 5.750%, 5/25/2036		298,156		294,924
Class 1A9, (Series 2007-8), 6.000%, 7/25/2037		2,478,199		2,475,363
Class A1, (Series 2006-AR19), 3.827%, 12/25/2036 (7)		621,954		585,266
Class A1, (Series 2007-15), 6.000%, 11/25/2037		514,276		511,506
Class A6, (Series 2007-7), 6.000%, 6/25/2037		316,321		315,763
Class A8, (Series 2007-11), 6.000%, 8/25/2037		375,200		373,617

				8,689,144

Total Collateralized Mortgage Obligations (identified cost $9,087,872)				9,114,182

Commercial Mortgage Securities — 7.0%

Private Sponsor — 7.0%
Citigroup Commercial Mortgage Trust, Class B, (Series 2014-GC23), 4.175%, 7/10/2047 (7)		1,000,000		1,014,649
JP Morgan Chase Commercial Mortgage Securities Trust, Class B, (Series 2014-C20), 4.399%, 7/15/2047 (7)		2,000,000		2,037,499
Morgan Stanley BAML Trust, Class C, (Series 2016-C32), 4.438%, 12/15/2049 (7)		1,000,000		991,053
UBS-Barclays Commercial Mortgage Trust, Class B, (Series 2013-C6), 3.875%, 4/10/2046 (5)(7)		2,000,000		1,998,962

Total Commercial Mortgage Securities (identified cost $6,089,138)				6,042,163

Corporate Bonds & Notes — 59.6%

Auto Manufacturers — 1.4%
Daimler Finance North America LLC, 2.000%, 7/6/2021 (5)		1,250,000		1,202,933

Auto Parts & Equipment — 1.1%
Allison Transmission, Inc., 4.750%, 10/1/2027 (1)(5)		1,000,000		942,500

Banks — 1.8%
Australia & New Zealand Banking Group, Ltd., 4.500%, 3/19/2024 (1)(5)		500,000		502,825
Banco Nacional de Costa Rica, 6.250%, 11/1/2023 (5)		1,000,000		1,017,500

				1,520,325


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Chemicals — 2.2%
Braskem Netherlands Finance BV, 4.500%, 1/10/2028 (5)	$	500,000	$	459,375
Mexichem SAB de C.V., 5.500%, 1/15/2048 (5)		1,000,000		922,500
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		500,000		499,223

				1,881,098

Commercial Services — 3.5%
Avis Budget Car Rental LLC, 5.125%, 6/1/2022 (1)(5)		750,000		748,125
Hertz Corp., 5.875%, 10/15/2020 (1)		1,000,000		999,690
United Rentals North America, Inc., 5.500%, 5/15/2027 (1)		750,000		750,000
Weight Watchers International, Inc., 8.625%, 12/1/2025 (5)		500,000		542,500

				3,040,315

Computers — 0.8%
Seagate HDD Cayman, 4.875%, 6/1/2027		750,000		705,592

Cosmetics/Personal Care — 0.8%
Coty, Inc., 6.500%, 4/15/2026 (5)		750,000		707,344

Diversified Financial Services — 1.4%
Ally Financial, Inc., 5.750%, 11/20/2025		400,000		416,000
Jefferies Finance LLC, 7.500%, 4/15/2021 (1)(5)		750,000		776,250

				1,192,250

Electric — 1.5%
Abu Dhabi National Energy Co. PJSC, 4.375%, 4/23/2025 (5)		500,000		500,240
Vistra Energy Corp., 7.375%, 11/1/2022		750,000		782,813

				1,283,053

Food — 2.2%
Dean Foods Co., 6.500%, 3/15/2023 (1)(5)		750,000		716,250
Minerva Luxembourg SA, 6.500%, 9/20/2026 (1)(5)		750,000		671,257
Post Holdings, Inc., 5.000%, 8/15/2026 (5)		500,000		481,250

				1,868,757

Forest Products & Paper — 0.9%
Suzano Austria GmbH, 7.000%, 3/16/2047 (1)(5)		750,000		770,625

Healthcare-Services — 1.5%
Centene Corp., 6.125%, 2/15/2024 (1)		750,000		790,312
HCA, Inc., 5.000%, 3/15/2024 (1)		500,000		512,500

				1,302,812

Home Builders — 1.8%
Beazer Homes USA, Inc., 5.875%, 10/15/2027 (1)		1,000,000		857,500
Lennar Corp., 5.000%, 6/15/2027		750,000		728,437

				1,585,937

Internet — 1.1%
Netflix, Inc., 4.875%, 4/15/2028 (1)(5)		1,000,000		948,750

Media — 3.2%
Altice Finco SA, 7.625%, 2/15/2025 (1)(5)		800,000		707,000

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



		BMO Funds

Strategic Income Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Media (continued)
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (1)(5)	$	750,000	$	750,000
Time Warner Cable LLC, 4.500%, 9/15/2042 (1)		1,000,000		847,368
Viacom, Inc., 4.375%, 3/15/2043		500,000		432,994

				2,737,362

Mining — 3.2%
Glencore Funding LLC, 4.625%, 4/29/2024 (5)		500,000		504,140
Hudbay Minerals, Inc., 7.250%, 1/15/2023 (1)(5)		750,000		766,875
Kinross Gold Corp.:
4.500%, 7/15/2027		825,000		750,750
6.875%, 9/1/2041		750,000		774,375

				2,796,140

Miscellaneous Manufacturing — 1.5%
Trinity Industries, Inc., 4.550%, 10/1/2024		1,300,000		1,262,359

Oil & Gas — 7.3%
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025		750,000		766,875
Ecopetrol SA, 5.875%, 5/28/2045 (1)		500,000		497,575
Ensco PLC:
4.500%, 10/1/2024 (1)		1,000,000		833,750
5.200%, 3/15/2025 (1)		750,000		630,000
PBF Holding Co. LLC, 7.250%, 6/15/2025 (1)		750,000		793,125
Petrobras Global Finance BV, 5.999%, 1/27/2028 (5)		575,000		517,356
Petroleos Mexicanos:
5.350%, 2/12/2028 (1)(5)		1,000,000		935,500
5.500%, 6/27/2044 (1)		500,000		414,600
Rowan Cos., Inc., 4.750%, 1/15/2024 (1)		1,000,000		865,000

				6,253,781

Pharmaceuticals — 2.3%
Teva Pharmaceutical Finance Netherlands III BV:
4.100%, 10/1/2046 (1)		1,300,000		960,883
6.000%, 4/15/2024		1,000,000		1,017,170

				1,978,053

Pipelines — 2.2%
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 (1)		625,000		638,281
Sunoco Logistics Partners Operations LP, 5.400%, 10/1/2047		1,250,000		1,229,475

				1,867,756

Private Equity — 0.9%
Icahn Enterprises LP, 5.875%, 2/1/2022 (1)		750,000		765,593

Real Estate Investment Trusts — 1.7%
GEO Group, Inc., 5.125%, 4/1/2023		1,000,000		970,000
SBA Communications Corp., 4.875%, 9/1/2024 (1)		500,000		494,600

				1,464,600

Retail — 3.2%
Beacon Roofing Supply, Inc., 4.875%, 11/1/2025 (1)(5)		750,000		695,625


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Retail (continued)
L Brands, Inc.:
6.950%, 3/1/2033 (1)	$	1,000,000	$	845,000
7.600%, 7/15/2037 (1)		500,000		423,935
New Red Finance, Inc., 4.250%, 5/15/2024 (1)(5)		250,000		239,375
Party City Holdings, Inc., 6.125%, 8/15/2023 (1)(5)		500,000		510,000

				2,713,935

Software — 0.8%
VMware, Inc., 3.900%, 8/21/2027 (1)		750,000		711,886

Sovereign — 5.7%
Angolan Government International Bond, 8.250%, 5/9/2028 (5)		500,000		498,623
Argentine Republic Government International Bond, 5.875%, 1/11/2028		500,000		365,125
Costa Rica Government International Bond, 5.625%, 4/30/2043 (5)		800,000		657,796
Ecuador Government International Bond, 7.875%, 1/23/2028 (5)		750,000		645,937
Export Credit Bank of Turkey, 5.000%, 9/23/2021 (5)		750,000		616,920
Ivory Coast Government International Bond, 6.125%, 6/15/2033 (5)		750,000		650,624
Oman Sovereign Sukuk SAOC, 4.397%, 6/1/2024 (1)(5)		500,000		479,035
Sri Lanka Government International Bond, 6.000%, 1/14/2019 (5)		1,000,000		1,004,540

				4,918,600

Telecommunications — 3.6%
Batelco International Finance No. 1, Ltd., 4.250%, 5/1/2020		800,000		791,680
CommScope, Inc., 5.500%, 6/15/2024 (1)(5)		1,000,000		1,016,250
Sprint Communications, Inc., 6.000%, 11/15/2022 (1)		500,000		507,345
Turk Telekomunikasyon AS, 4.875%, 6/19/2024 (5)		750,000		603,277
Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 (5)		200,000		161,937

				3,080,489

Toys/Games/Hobbies — 0.8%
Mattel, Inc., 2.350%, 8/15/2021		750,000		678,750

Transportation — 0.3%
Asciano Finance, Ltd., 4.625%, 9/23/2020 (5)		250,000		253,432

Trucking & Leasing — 0.9%
Fly Leasing, Ltd., 6.375%, 10/15/2021		750,000		777,188

Total Corporate Bonds & Notes (identified cost $53,344,666)				51,212,215

U.S. Government & U.S. Government Agency Obligations — 2.3%

U.S. Treasury Bonds & Notes — 2.3%
0.500%, 1/15/2028 (1)		1,021,530		994,701
0.750%, 7/15/2028		1,003,820		1,003,010

Total U.S. Government & U.S. Government Agency Obligations (identified cost $1,989,740)				1,997,711

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

August 31, 2018



Schedules of Investments

Strategic Income Fund (continued)


Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities — 11.0%

Federal Home Loan Mortgage Corporation — 2.5%
3.500%, 4/1/2042	$	73,223	$	73,413
4.000%, 12/1/2040		347,753		357,414
4.500%, 9/1/2031		328,655		343,492
4.500%, 7/1/2040		25,147		26,414
4.500%, 11/1/2040		740,316		777,601
5.000%, 12/1/2022		69,687		70,675
5.000%, 1/1/2040		209,951		224,575
5.500%, 11/1/2018		743		742
5.500%, 10/1/2021		71,079		72,722
5.500%, 7/1/2035		45,168		49,154
6.000%, 12/1/2036		21,172		23,308
6.000%, 12/1/2037		10,079		10,940
7.500%, 4/1/2024		23,120		25,006
7.500%, 4/1/2027		15,070		16,926
8.000%, 8/1/2030		17,463		20,246
8.500%, 9/1/2024		14,336		15,479
9.000%, 6/1/2019		110		111
9.500%, 2/1/2025		3,402		3,428

				2,111,646

Federal National Mortgage Association — 8.2%
3.000%, 8/1/2032		190,952		189,808
3.500%, 7/1/2032		371,826		377,172
4.000%, 11/1/2031		666,662		689,152
4.000%, 3/1/2041		250,843		257,404
4.500%, 4/1/2041		1,948,193		2,039,459
4.500%, 6/1/2042		821,721		861,247
5.500%, 1/1/2023		91,803		98,513
5.500%, 2/1/2036		134,131		146,193
5.500%, 7/1/2036		283,965		309,881
5.500%, 8/1/2037		503,144		547,604
6.000%, 9/1/2021		103,884		106,042
6.000%, 5/1/2039		505,131		558,595
6.500%, 8/1/2030		304,964		334,440
6.500%, 12/1/2031		16,797		18,772
6.500%, 11/1/2037		42,917		48,177
7.000%, 3/1/2029		38,095		42,844
7.000%, 7/1/2029		121,519		134,419
7.000%, 2/1/2030		78,353		85,413
7.500%, 10/1/2030		11,885		12,802
8.000%, 10/1/2028		117,454		127,392
8.000%, 4/1/2030		31,273		36,571

				7,021,900

Government National Mortgage Association — 0.3%
5.000%, 4/15/2034		239,707		256,240
7.000%, 8/15/2031		32,263		35,919
9.500%, 10/15/2024		2,410		2,416

				294,575

Total U.S. Government Agency-Mortgage Securities
(identified cost $9,406,929)				9,428,121

Short-Term Investments — 31.6%

Collateral Pool Investments for Securities on Loan — 24.9%

Collateral pool allocation (3)				21,425,129


Description	Shares		Value
Short-Term Investments (continued)

Mutual Funds — 6.7%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		5,786,669	$	5,787,248

Total Short-Term Investments (identified cost $27,211,891)				27,212,377

Total Investments — 126.1% (identified cost $110,571,690)				108,451,251
Other Assets and Liabilities — (26.1)%				(22,424,307	)

Total Net Assets — 100.0%			$	86,026,944

TCH Corporate Income Fund


Description	Principal Amount		Value
Corporate Bonds & Notes — 96.3%

Aerospace/Defense — 1.0%
Lockheed Martin Corp., 2.500%, 11/23/2020	$	2,500,000	$	2,472,221

Agriculture — 2.0%
Bunge, Ltd. Finance Corp., 3.000%, 9/25/2022		2,000,000		1,935,197
Philip Morris International, Inc.:
2.000%, 2/21/2020		2,000,000		1,974,258
2.900%, 11/15/2021 (1)		1,000,000		992,549

				4,902,004

Apparel — 0.8%
Ralph Lauren Corp., 2.125%, 9/26/2018		2,000,000		1,999,610

Auto Manufacturers — 3.7%
Daimler Finance North America LLC, 2.000%, 7/6/2021 (1)(5)		2,500,000		2,405,865
Ford Motor Co., 5.291%, 12/8/2046 (1)		2,000,000		1,785,270
Ford Motor Credit Co. LLC, 3.270% (LIBOR 3 Month + 93 basis points), 11/4/2019 (10)		1,500,000		1,508,075
General Motors Financial Co., Inc.:
4.000%, 1/15/2025		1,000,000		970,674
4.350%, 1/17/2027 (1)		500,000		488,818
Toyota Motor Credit Corp., 3.400%, 4/14/2025 (1)		2,000,000		1,997,792

				9,156,494

Banks — 12.2%
Banco Santander SA, 3.893% (LIBOR 3 Month + 156 basis points), 4/11/2022 (10)		2,000,000		2,055,108
Bank of America Corp.:
2.985% (LIBOR 3 Month + 65 basis points), 6/25/2022 (1)(10)		1,000,000		1,003,293
3.824%, 1/20/2028 (7)		2,000,000		1,957,884
Canadian Imperial Bank of Commerce, 2.834% (LIBOR 3 Month + 52 basis points), 9/6/2019 (10)		2,000,000		2,007,258
Capital One Financial Corp., 3.300%, 10/30/2024		1,250,000		1,203,243
Citigroup, Inc., 3.751% (LIBOR 3 Month + 143 basis points), 9/1/2023 (1)(10)		2,000,000		2,046,062
Fifth Third Bank, 2.200%, 10/30/2020		2,000,000		1,959,592

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



		BMO Funds

TCH Corporate Income Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Banks (continued)
Goldman Sachs Group, Inc.:
3.414% (LIBOR 3 Month + 110 basis points), 11/15/2018 (10)	$	1,000,000	$	1,002,122
3.445% (LIBOR 3 Month + 111 basis points), 4/26/2022 (10)		1,000,000		1,012,682
4.223%, 5/1/2029 (7)		2,000,000		1,984,255
HSBC Holdings PLC, 3.971% (LIBOR 3 Month + 166 basis points), 5/25/2021 (10)		1,500,000		1,548,807
JPMorgan Chase & Co., 3.172% (LIBOR 3 Month + 84 basis points), 3/22/2019 (10)		2,000,000		2,007,807
Mizuho Financial Group, Inc., 2.953%, 2/28/2022		1,500,000		1,472,166
Morgan Stanley, 3.087% (LIBOR 3 Month + 74 basis points), 7/23/2019 (10)		1,500,000		1,507,769
Royal Bank of Scotland Group PLC, 4.892%, 5/18/2029 (1)(7)		1,500,000		1,504,093
Toronto-Dominion Bank, 3.338% (LIBOR 3 Month + 100 basis points), 4/7/2021 (1)(10)		2,000,000		2,036,173
U.S. Bank NA, 2.662% (LIBOR 3 Month + 32 basis points), 1/24/2020 (10)		1,500,000		1,503,697
Wells Fargo Bank NA, 2.912% (LIBOR 3 Month + 60 basis points), 5/24/2019 (10)		1,000,000		1,004,193
Westpac Banking Corp., 2.882% (LIBOR 3 Month + 56 basis points), 8/19/2019 (10)		1,000,000		1,004,812

				29,821,016

Beverages — 3.1%
Anheuser-Busch InBev Finance, Inc.:
2.650%, 2/1/2021 (1)		1,500,000		1,483,697
3.603% (LIBOR 3 Month + 126 basis points), 2/1/2021 (10)		1,250,000		1,284,433
Fomento Economico Mexicano SAB de C.V., 2.875%, 5/10/2023 (1)		2,000,000		1,924,818
Molson Coors Brewing Co.:
2.250%, 3/15/2020		1,500,000		1,480,869
4.200%, 7/15/2046 (1)		1,500,000		1,341,978

				7,515,795

Biotechnology — 0.5%
Amgen, Inc., 2.200%, 5/22/2019		1,300,000		1,296,300

Chemicals — 4.8%
Braskem Netherlands Finance BV:
3.500%, 1/10/2023 (5)		1,000,000		933,760
4.500%, 1/10/2028 (1)(5)		1,000,000		918,750
CF Industries, Inc., 5.375%, 3/15/2044 (1)		2,000,000		1,832,500
EI du Pont de Nemours & Co., 2.873% (LIBOR 3 Month + 53 basis points), 5/1/2020 (10)		1,500,000		1,509,952
Mexichem SAB de C.V.:
5.875%, 9/17/2044 (5)		500,000		480,975
6.750%, 9/19/2042 (5)		1,500,000		1,593,750
Mosaic Co., 4.050%, 11/15/2027 (1)		2,500,000		2,434,907
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		2,000,000		1,996,890

				11,701,484


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Commercial Services — 0.6%
ADT Corp., 4.125%, 6/15/2023 (1)	$	500,000	$	476,875
Hertz Corp., 5.875%, 10/15/2020 (1)		1,000,000		999,690

				1,476,565

Computers — 2.6%
Apple, Inc., 2.250%, 2/23/2021		2,000,000		1,972,956
Dell International LLC, 8.350%, 7/15/2046 (1)(5)		2,000,000		2,461,166
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		1,000,000		1,032,810
Seagate HDD Cayman, 5.750%, 12/1/2034 (1)		1,000,000		905,533

				6,372,465

Diversified Financial Services — 7.3%
AerCap Ireland Capital DAC, 3.500%, 1/15/2025		2,000,000		1,912,599
Ally Financial, Inc., 4.250%, 4/15/2021		1,500,000		1,507,770
American Express Credit Corp., 2.885% (LIBOR 3 Month + 55 basis points), 3/18/2019 (10)		1,500,000		1,504,198
Capital One Bank USA NA, 2.250%, 2/13/2019		1,200,000		1,198,104
Discover Financial Services, 4.100%, 2/9/2027		2,000,000		1,942,757
E*TRADE Financial Corp., 3.800%, 8/24/2027		1,000,000		963,845
GE Capital International Funding Co. Unlimited Co.:
3.373%, 11/15/2025 (1)		1,500,000		1,453,768
4.418%, 11/15/2035 (1)		1,500,000		1,448,524
High Street Funding Trust II, 4.682%, 2/15/2048 (5)		1,700,000		1,744,285
Jefferies Financial Group, Inc., 6.625%, 10/23/2043 (1)		500,000		505,705
Jefferies Group LLC, 6.500%, 1/20/2043		500,000		523,745
Legg Mason, Inc., 4.750%, 3/15/2026		500,000		517,277
Mastercard, Inc., 2.000%, 11/21/2021		1,000,000		971,226
Synchrony Financial, 3.950%, 12/1/2027		1,750,000		1,598,964

				17,792,767

Electric — 1.1%
Abu Dhabi National Energy Co. PJSC, 4.375%, 4/23/2025 (5)		750,000		750,360
Comision Federal de Electricidad, 4.750%, 2/23/2027 (5)		2,000,000		1,982,500

				2,732,860

Engineering & Construction — 0.6%
Fluor Corp., 4.250%, 9/15/2028 (1)		1,500,000		1,490,673

Food — 4.2%
Dean Foods Co., 6.500%, 3/15/2023 (1)(5)		2,500,000		2,387,500
Kellogg Co., 3.250%, 5/14/2021		2,000,000		2,001,588
Kraft Heinz Foods Co.:
3.000%, 6/1/2026 (1)		500,000		457,064
4.375%, 6/1/2046		1,500,000		1,318,924
Kroger Co., 4.450%, 2/1/2047 (1)		2,250,000		2,106,039

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

August 31, 2018



Schedules of Investments

TCH Corporate Income Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Food (continued)
Mondelez International, Inc., 2.863% (LIBOR 3 Month + 52 basis points), 2/1/2019 (10)	$	2,000,000	$	2,003,678

				10,274,793

Forest Products & Paper — 0.8%
International Paper Co., 3.000%, 2/15/2027 (1)		2,000,000		1,855,714

Healthcare-Products — 3.9%
Abbott Laboratories, 4.750%, 11/30/2036 (1)		1,500,000		1,603,747
Becton Dickinson and Co.:
2.675%, 12/15/2019 (1)		1,500,000		1,492,879
4.685%, 12/15/2044		2,000,000		1,988,694
Medtronic, Inc., 3.141% (LIBOR 3 Month + 80 basis points), 3/15/2020 (10)		2,000,000		2,019,486
Thermo Fisher Scientific, Inc., 3.000%, 4/15/2023		1,000,000		974,295
Zimmer Biomet Holdings, Inc., 3.550%, 4/1/2025		1,500,000		1,449,110

				9,528,211

Healthcare-Services — 1.2%
HCA, Inc., 5.000%, 3/15/2024 (1)		1,000,000		1,025,000
Laboratory Corp. of America Holdings, 3.250%, 9/1/2024 (1)		2,000,000		1,935,381

				2,960,381

Home Builders — 0.6%
DR Horton, Inc., 2.550%, 12/1/2020		1,500,000		1,472,353

Insurance — 2.0%
Berkshire Hathaway Finance Corp., 2.583% (LIBOR 3 Month + 25 basis points), 1/11/2019 (10)		1,000,000		1,001,154
Lincoln National Corp., 3.625%, 12/12/2026		2,000,000		1,943,598
Unum Group, 4.000%, 3/15/2024		2,000,000		1,996,195

				4,940,947

Internet — 4.6%
Alibaba Group Holding, Ltd., 2.800%, 6/6/2023		2,000,000		1,941,796
Amazon.com, Inc.:
2.500%, 11/29/2022 (1)		2,500,000		2,443,598
2.800%, 8/22/2024		1,500,000		1,457,863
4.050%, 8/22/2047		1,500,000		1,490,004
eBay, Inc.:
3.209% (LIBOR 3 Month + 87 basis points), 1/30/2023 (10)		2,500,000		2,530,841
4.000%, 7/15/2042		1,500,000		1,256,880

				11,120,982

Iron/Steel — 0.9%
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (5)		1,000,000		1,008,750
Vale Overseas, Ltd., 8.250%, 1/17/2034		1,000,000		1,272,600

				2,281,350

Lodging — 1.2%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,050,868
Wyndham Destinations, Inc., 4.500%, 4/1/2027 (1)		2,000,000		1,920,600

				2,971,468


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Media — 1.4%
Cox Communications, Inc., 4.600%, 8/15/2047 (1)(5)	$	1,500,000	$	1,408,748
Scripps Networks Interactive, Inc., 2.750%, 11/15/2019		1,000,000		990,546
Viacom, Inc., 4.375%, 3/15/2043 (1)		1,050,000		909,288

				3,308,582

Mining — 0.4%
Glencore Funding LLC, 4.625%, 4/29/2024 (5)		1,000,000		1,008,280

Miscellaneous Manufacturing — 0.4%
Siemens Financieringsmaatschappij NV, 2.675% (LIBOR 3 Month + 34 basis points), 3/16/2020 (5)(10)		1,000,000		1,003,391

Oil & Gas — 3.7%
BP Capital Markets PLC, 3.205% (LIBOR 3 Month + 87 basis points), 9/16/2021 (10)		2,000,000		2,039,114
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025		750,000		766,875
Ecopetrol SA, 7.375%, 9/18/2043 (1)		1,500,000		1,693,125
Ensco PLC:
4.500%, 10/1/2024 (1)		1,000,000		833,750
5.200%, 3/15/2025 (1)		1,000,000		840,000
Petroleos Mexicanos, 5.350%, 2/12/2028 (1)(5)		2,000,000		1,871,000
Shell International Finance BV, 3.750%, 9/12/2046		1,000,000		940,310

				8,984,174

Pharmaceuticals — 11.1%
Allergan Funding SCS:
4.550%, 3/15/2035		500,000		492,548
4.850%, 6/15/2044		1,500,000		1,492,992
AstraZeneca PLC, 3.500%, 8/17/2023 (1)		2,000,000		2,000,954
Bayer US Finance II LLC, 4.875%, 6/25/2048 (5)		1,850,000		1,819,921
Bristol-Myers Squibb Co., 2.000%, 8/1/2022		2,500,000		2,394,426
CVS Health Corp.:
2.125%, 6/1/2021		2,000,000		1,937,120
3.125%, 3/9/2020		1,000,000		1,000,874
4.300%, 3/25/2028 (1)		2,000,000		1,988,408
Express Scripts Holding Co., 4.800%, 7/15/2046 (1)		1,500,000		1,452,456
Johnson & Johnson, 2.591% (LIBOR 3 Month + 27 basis points), 3/1/2019 (10)		2,000,000		2,003,405
Merck & Co., Inc., 2.350%, 2/10/2022		2,500,000		2,449,041
Novartis Capital Corp., 2.400%, 5/17/2022		1,000,000		974,637
Perrigo Finance Unlimited Co., 3.500%, 3/15/2021		1,500,000		1,491,054
Shire Acquisitions Investments Ireland DAC:
2.400%, 9/23/2021		1,000,000		967,244
2.875%, 9/23/2023 (1)		2,000,000		1,912,091
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		2,500,000		1,847,851
Zoetis, Inc., 3.250%, 2/1/2023 (1)		1,000,000		988,383

				27,213,405

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



		BMO Funds

TCH Corporate Income Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Pipelines — 2.8%
Energy Transfer Partners LP, 6.500%, 2/1/2042	$	1,500,000	$	1,651,720
Enterprise Products Operating LLC, 4.250%, 2/15/2048 (1)		2,000,000		1,893,531
Kinder Morgan Energy Partners LP, 7.500%, 11/15/2040		250,000		309,071
Kinder Morgan, Inc., 5.300%, 12/1/2034 (1)		3,000,000		3,068,402

				6,922,724

Real Estate Investment Trusts — 2.5%
EPR Properties, 5.250%, 7/15/2023		1,000,000		1,035,410
Hospitality Properties Trust:
4.500%, 6/15/2023		500,000		505,425
4.500%, 3/15/2025		1,500,000		1,475,209
Kimco Realty Corp., 3.300%, 2/1/2025		1,250,000		1,194,405
Senior Housing Properties Trust, 3.250%, 5/1/2019		2,000,000		2,000,630

				6,211,079

Retail — 4.1%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044 (1)		1,000,000		760,659
L Brands, Inc.:
6.950%, 3/1/2033 (1)		600,000		507,000
7.600%, 7/15/2037		500,000		423,935
McDonald’s Corp.:
2.100%, 12/7/2018		750,000		749,407
2.750%, 12/9/2020		1,500,000		1,492,674
Nucor Corp., 4.400%, 5/1/2048		2,000,000		1,992,993
O’Reilly Automotive, Inc., 3.600%, 9/1/2027 (1)		2,000,000		1,915,600
Target Corp., 3.625%, 4/15/2046 (1)		2,500,000		2,297,694

				10,139,962

Software — 3.4%
CA, Inc., 4.700%, 3/15/2027		2,500,000		2,488,227
Microsoft Corp.:
2.000%, 8/8/2023		1,450,000		1,378,503
2.875%, 2/6/2024		500,000		492,458
Oracle Corp.:
2.400%, 9/15/2023 (1)		1,000,000		959,584
4.000%, 11/15/2047 (1)		1,000,000		966,265
VMware, Inc., 3.900%, 8/21/2027 (1)		2,000,000		1,898,363

				8,183,400

Sovereign — 0.6%
Export-Import Bank of Korea, 3.000%, 11/1/2022		1,500,000		1,467,318

Telecommunications — 3.5%
AT&T, Inc., 4.350%, 6/15/2045		1,000,000		860,710
CenturyLink, Inc., 7.600%, 9/15/2039		550,000		495,000
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022		800,000		802,000
Motorola Solutions, Inc., 5.500%, 9/1/2044		1,000,000		951,608
Telecom Italia Capital SA, 7.200%, 7/18/2036 (1)		1,500,000		1,608,750


Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)

Telecommunications (continued)
Telefonica Emisiones SAU, 5.213%, 3/8/2047 (1)	$	2,000,000	$	1,993,940
Verizon Communications, Inc., 2.625%, 8/15/2026 (1)		2,000,000		1,815,941

				8,527,949

Toys/Games/Hobbies — 0.9%
Mattel, Inc., 2.350%, 8/15/2021		2,500,000		2,262,500

Transportation — 1.0%
FedEx Corp., 4.050%, 2/15/2048 (1)		2,000,000		1,835,220
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (5)		500,000		549,375

				2,384,595

Trucking & Leasing — 0.8%
Penske Truck Leasing Co. LP, 3.300%, 4/1/2021 (5)		2,000,000		1,988,303

Total Corporate Bonds & Notes (identified cost $237,954,113)				235,742,115

Municipals — 0.2%

California — 0.2%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		534,320

Total Municipals (identified cost $500,000)				534,320

U.S. Government & U.S. Government Agency Obligations — 0.6%

U.S. Treasury Bonds & Notes — 0.6%
2.000%, 8/15/2025 (1)		1,500,000		1,423,535

Total U.S. Government & U.S. Government Agency Obligations (identified cost $1,538,878)				1,423,535

Short-Term Investments — 22.7%

Collateral Pool Investments for Securities on Loan — 20.7%

Collateral pool allocation (3)				50,798,784

Mutual Funds — 2.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		4,850,399		4,850,884

Total Short-Term Investments (identified cost $55,649,407)				55,649,668

Total Investments — 119.8% (identified cost $295,642,398)				293,349,638
Other Assets and Liabilities — (19.8)%				(48,566,578	)

Total Net Assets — 100.0%			$	244,783,060

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

August 31, 2018



Schedules of Investments

TCH Core Plus Bond Fund


Description	Principal Amount		Value
Asset-Backed Securities — 2.7%

Automobiles — 2.7%
Honda Auto Receivables Owner Trust, Class A4, (Series 2015-2), 1.470%, 8/23/2021	$	3,045,088	$	3,043,217
Hyundai Auto Lease Securitization Trust, Class A2, (Series 2018-B), 2.810%, 12/15/2020 (5)		10,000,000		9,999,172
Toyota Auto Receivables Owner Trust, Class A2A, (Series 2017-D), 1.740%, 8/17/2020		14,966,333		14,906,331

Total Asset-Backed Securities (identified cost $28,007,428)				27,948,720

Commercial Mortgage Securities — 4.2%

Private Sponsor — 4.2%
BANK:
Class A4, (Series 2018-BN12), 4.255%, 5/15/2061 (7)		7,500,000		7,868,618
Class A5, (Series 2017-BNK7), 3.435%, 9/15/2060		10,000,000		9,873,889
GS Mortgage Securities Trust, Class A4, (Series 2017-GS8), 3.469%, 11/10/2050		10,000,000		9,857,770
UBS-Barclays Commercial Mortgage Trust, Class A5, (Series 2012-C4), 2.850%, 12/10/2045		9,888,381		9,723,022
Wells Fargo Commercial Mortgage Trust, Class A4, (Series 2017-C41), 3.472%, 11/15/2050		7,000,000		6,902,898

Total Commercial Mortgage Securities (identified cost $45,422,426)				44,226,197

Corporate Bonds & Notes — 45.2%

Agriculture — 0.4%
Bunge, Ltd. Finance Corp., 3.750%, 9/25/2027 (1)		4,000,000		3,743,161

Apparel — 0.4%
Ralph Lauren Corp., 2.125%, 9/26/2018		4,000,000		3,999,220

Auto Manufacturers — 3.0%
Daimler Finance North America LLC, 2.967% (LIBOR 3 Month + 63 basis points), 1/6/2020 (5)(10)		10,000,000		10,040,295
Ford Motor Co.:
4.750%, 1/15/2043 (1)		5,000,000		4,159,289
5.291%, 12/8/2046 (1)		1,500,000		1,338,952
Ford Motor Credit Co. LLC, 3.271% (LIBOR 3 Month + 93 basis points), 11/4/2019 (10)		4,000,000		4,021,533
General Motors Financial Co., Inc., 4.000%, 1/15/2025		5,000,000		4,853,369
Hyundai Capital America, 3.750%, 7/8/2021 (5)		6,500,000		6,493,950

				30,907,388

Banks — 10.8%
Banco Santander SA, 3.893% (LIBOR 3 Month + 156 basis points), 4/11/2022 (10)		4,000,000		4,110,215
Bank of America Corp., 4.183%, 11/25/2027 (1)		5,000,000		4,897,536


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Banks (continued)
BB&T Corp.:
2.625%, 6/29/2020 (1)	$	2,500,000	$	2,484,657
2.911% (LIBOR 3 Month + 57 basis points), 6/15/2020 (10)		3,000,000		3,021,709
Canadian Imperial Bank of Commerce, 2.834% (LIBOR 3 Month + 52 basis points), 9/6/2019 (10)		5,000,000		5,018,144
Capital One Financial Corp., 3.277% (LIBOR 3 Month + 95 basis points), 3/9/2022 (10)		1,500,000		1,511,389
CIT Group, Inc., 5.375%, 5/15/2020		5,000,000		5,162,500
Citigroup, Inc.:
3.249% (LIBOR 3 Month + 93 basis points), 6/7/2019 (10)		4,500,000		4,527,069
3.391% (LIBOR 3 Month + 107 basis points), 12/8/2021 (10)		1,250,000		1,271,734
3.751% (LIBOR 3 Month + 143 basis points), 9/1/2023 (1)(10)		5,000,000		5,115,156
Goldman Sachs Group, Inc.:
3.414% (LIBOR 3 Month + 110 basis points), 11/15/2018 (10)		5,000,000		5,010,612
3.445% (LIBOR 3 Month + 111 basis points), 4/26/2022 (10)		5,000,000		5,063,411
3.507% (LIBOR 3 Month + 116 basis points), 4/23/2020 (10)		8,000,000		8,106,174
4.223%, 5/1/2029 (7)		5,000,000		4,960,637
HSBC Holdings PLC, 3.971% (LIBOR 3 Month + 166 basis points), 5/25/2021 (10)		5,000,000		5,162,691
JPMorgan Chase & Co.:
3.172% (LIBOR 3 Month + 84 basis points), 3/22/2019 (10)		3,500,000		3,513,663
3.419% (LIBOR 3 Month + 110 basis points), 6/7/2021 (10)		5,000,000		5,100,897
3.544% (LIBOR 3 Month + 121 basis points), 10/29/2020 (10)		4,000,000		4,082,534
3.625%, 12/1/2027 (1)		5,000,000		4,771,272
Lloyds Banking Group PLC, 2.907%, 11/7/2023 (1)(7)		10,000,000		9,568,648
Morgan Stanley, 3.950%, 4/23/2027		5,000,000		4,829,148
Toronto-Dominion Bank, 3.338% (LIBOR 3 Month + 100 basis points), 4/7/2021 (10)		4,500,000		4,581,389
U.S. Bank NA, 2.662% (LIBOR 3 Month + 32 basis points), 1/24/2020 (10)		4,000,000		4,009,858
Wells Fargo Bank NA, 2.912% (LIBOR 3 Month + 60 basis points), 5/24/2019 (10)		3,000,000		3,012,580
Westpac Banking Corp., 2.882% (LIBOR 3 Month + 56 basis points), 8/19/2019 (10)		4,000,000		4,019,247

				112,912,870

Beverages — 0.3%
Anheuser-Busch InBev Finance, Inc., 3.603% (LIBOR 3 Month + 126 basis points), 2/1/2021 (1)(10)		3,000,000		3,082,639

Biotechnology — 0.5%
Celgene Corp., 4.550%, 2/20/2048 (1)		5,000,000		4,749,533

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



		BMO Funds

TCH Core Plus Bond Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Chemicals — 0.9%
Mexichem SAB de C.V., 6.750%, 9/19/2042 (5)	$	4,400,000	$	4,675,000
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		5,250,000		5,241,837

				9,916,837

Commercial Services — 0.5%
Hertz Corp., 5.875%, 10/15/2020 (1)		5,500,000		5,498,295

Computers — 2.2%
Apple, Inc., 2.250%, 2/23/2021		1,500,000		1,479,717
Dell International LLC:
4.420%, 6/15/2021 (1)(5)		7,000,000		7,124,795
8.350%, 7/15/2046 (1)(5)		5,500,000		6,768,207
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		2,000,000		2,065,620
Seagate HDD Cayman:
4.875%, 6/1/2027		2,000,000		1,881,578
5.750%, 12/1/2034 (1)		3,500,000		3,169,366

				22,489,283

Diversified Financial Services — 3.9%
AerCap Ireland Capital DAC:
3.500%, 1/15/2025 (1)		5,750,000		5,498,724
4.450%, 10/1/2025		1,250,000		1,252,972
Ally Financial, Inc., 4.250%, 4/15/2021		5,000,000		5,025,900
American Express Credit Corp., 3.120% (LIBOR 3 Month + 78 basis points), 11/5/2018 (10)		5,000,000		5,003,323
Discover Financial Services, 4.100%, 2/9/2027		5,000,000		4,856,894
GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 (1)		5,500,000		5,311,257
Jefferies Financial Group, Inc., 6.625%, 10/23/2043		500,000		505,705
Jefferies Group LLC:
4.150%, 1/23/2030		5,000,000		4,569,744
6.500%, 1/20/2043		1,000,000		1,047,489
Legg Mason, Inc., 4.750%, 3/15/2026		1,950,000		2,017,379
Synchrony Financial, 3.950%, 12/1/2027 (1)		6,500,000		5,939,009

				41,028,396

Electric — 1.0%
Comision Federal de Electricidad, 4.750%, 2/23/2027 (5)		4,000,000		3,965,000
Sempra Energy, 2.839% (LIBOR 3 Month + 50 basis points), 1/15/2021 (1)(10)		7,000,000		7,005,963

				10,970,963

Food — 2.0%
Albertsons Cos. LLC, 5.750%, 3/15/2025		5,000,000		4,550,000
Dean Foods Co., 6.500%, 3/15/2023 (1)(5)		5,750,000		5,491,250
Kraft Heinz Foods Co., 4.375%, 6/1/2046		7,200,000		6,330,834
Kroger Co., 4.450%, 2/1/2047 (1)		5,000,000		4,680,087

				21,052,171


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Forest Products & Paper — 0.6%
International Paper Co., 4.400%, 8/15/2047	$	7,000,000	$	6,482,262

Healthcare-Products — 1.7%
Mallinckrodt International Finance SA, 5.625%, 10/15/2023 (1)(5)		6,500,000		5,825,625
Medtronic, Inc., 3.141% (LIBOR 3 Month + 80 basis points), 3/15/2020 (10)		7,000,000		7,068,202
Zimmer Biomet Holdings, Inc., 3.550%, 4/1/2025		5,000,000		4,830,367

				17,724,194

Healthcare-Services — 1.4%
Anthem, Inc., 2.500%, 11/21/2020		10,000,000		9,856,225
HCA, Inc., 5.000%, 3/15/2024 (1)		4,750,000		4,868,750

				14,724,975

Home Builders — 0.3%
DR Horton, Inc., 2.550%, 12/1/2020		3,500,000		3,435,489

Insurance — 0.4%
Lincoln National Corp., 3.625%, 12/12/2026 (1)		4,500,000		4,373,094

Internet — 1.0%
eBay, Inc.:
3.209% (LIBOR 3 Month + 87 basis points), 1/30/2023 (10)		7,500,000		7,592,522
4.000%, 7/15/2042 (1)		4,000,000		3,351,679

				10,944,201

Iron/Steel — 0.2%
Vale Overseas, Ltd., 8.250%, 1/17/2034 (1)		1,500,000		1,908,900

Lodging — 0.3%
Wyndham Destinations Inc., 4.150%, 4/1/2024 (1)		3,000,000		2,979,000

Media — 0.9%
Charter Communications Operating LLC:
4.464%, 7/23/2022 (1)		1,000,000		1,021,251
5.375%, 5/1/2047		5,000,000		4,726,881
Viacom, Inc., 4.375%, 3/15/2043 (1)		4,000,000		3,463,953

				9,212,085

Mining — 0.5%
Glencore Funding LLC:
4.000%, 3/27/2027 (1)(5)		5,000,000		4,705,806
4.625%, 4/29/2024 (5)		1,000,000		1,008,280

				5,714,086

Oil & Gas — 2.0%
BP Capital Markets PLC, 3.205% (LIBOR 3 Month + 87 basis points), 9/16/2021 (10)		7,000,000		7,136,899
Ensco PLC:
5.200%, 3/15/2025 (1)		4,500,000		3,780,000
5.750%, 10/1/2044 (1)		2,168,000		1,585,350
Petroleos Mexicanos:
5.350%, 2/12/2028 (1)(5)		5,000,000		4,677,500
5.625%, 1/23/2046 (1)		1,500,000		1,239,600
Phillips 66, 2.989% (LIBOR 3 Month + 65 basis points), 4/15/2019 (5)(10)		2,000,000		2,000,985

				20,420,334

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

August 31, 2018



Schedules of Investments

TCH Core Plus Bond Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Pharmaceuticals — 2.2%
Bausch Health Cos., Inc., 5.500%, 3/1/2023 (1)(5)	$	1,500,000	$	1,421,445
Bayer US Finance II LLC, 4.250%, 12/15/2025 (5)		5,000,000		5,018,842
Bristol-Myers Squibb Co., 2.000%, 8/1/2022		2,500,000		2,394,426
CVS Health Corp., 2.250%, 12/5/2018		1,500,000		1,498,925
Shire Acquisitions Investments Ireland DAC, 2.875%, 9/23/2023 (1)		7,000,000		6,692,317
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		5,000,000		3,695,703
Zoetis, Inc., 3.250%, 2/1/2023 (1)		2,500,000		2,470,958

				23,192,616

Pipelines — 0.9%
Energy Transfer Partners LP:
5.150%, 3/15/2045 (1)		4,000,000		3,809,524
6.500%, 2/1/2042 (1)		1,000,000		1,101,146
Kinder Morgan Energy Partners LP, 5.000%, 3/1/2043		5,000,000		4,885,580

				9,796,250

Real Estate Investment Trusts — 1.9%
Crown Castle International Corp., 3.650%, 9/1/2027		5,000,000		4,742,536
EPR Properties:
4.500%, 6/1/2027 (1)		1,000,000		966,621
5.250%, 7/15/2023		5,000,000		5,177,049
Hospitality Properties Trust:
4.500%, 6/15/2023		1,000,000		1,010,850
4.500%, 3/15/2025		2,500,000		2,458,681
Kimco Realty Corp., 4.450%, 9/1/2047 (1)		3,000,000		2,838,356
Welltower, Inc., 4.500%, 1/15/2024		2,500,000		2,563,831

				19,757,924

Retail — 2.5%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044		4,900,000		3,727,231
L Brands, Inc.:
6.950%, 3/1/2033 (1)		2,500,000		2,112,500
7.600%, 7/15/2037		1,500,000		1,271,805
McDonald’s Corp., 2.100%, 12/7/2018		2,000,000		1,998,418
O’Reilly Automotive, Inc., 3.600%, 9/1/2027 (1)		5,000,000		4,789,001
Tapestry, Inc., 4.125%, 7/15/2027		5,500,000		5,280,800
Walgreens Boots Alliance, Inc., 4.800%, 11/18/2044		7,000,000		6,779,656

				25,959,411

Software — 0.7%
CA, Inc., 4.700%, 3/15/2027		4,000,000		3,981,162
Oracle Corp., 2.400%, 9/15/2023 (1)		4,000,000		3,838,337

				7,819,499

Telecommunications — 1.8%
AT&T, Inc.:
4.350%, 6/15/2045		2,500,000		2,151,775
5.150%, 3/15/2042 (1)		4,000,000		3,890,555
CenturyLink, Inc., 7.600%, 9/15/2039		4,000,000		3,600,000


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Telecommunications (continued)
Motorola Solutions, Inc., 5.500%, 9/1/2044	$	3,000,000	$	2,854,825
Telecom Italia SpA, 5.303%, 5/30/2024 (1)(5)		6,000,000		6,007,500

				18,504,655

Total Corporate Bonds & Notes (identified cost $474,843,993)				473,299,731

Municipals — 0.0%

California — 0.0%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		300,000		320,592

Total Municipals (identified cost $300,000)				320,592

U.S. Government & U.S. Government Agency Obligations — 24.4%

U.S. Treasury Bonds & Notes — 24.4%
0.375%, 7/15/2023 (1)		16,241,250		16,038,105
1.875%, 7/31/2022 (1)		17,500,000		16,949,023
2.000%, 7/31/2020 (1)		15,000,000		14,828,613
2.000%, 9/30/2020 (1)		5,000,000		4,936,523
2.000%, 11/30/2020 (1)		20,000,000		19,717,188
2.000%, 11/15/2021 (1)		10,000,000		9,785,938
2.000%, 7/31/2022 (1)		50,000,000		48,662,109
2.000%, 2/15/2023 (1)		15,000,000		14,543,262
2.000%, 2/15/2025 (1)		5,000,000		4,765,137
2.000%, 8/15/2025 (1)		5,000,000		4,745,117
2.125%, 8/15/2021 (1)		12,500,000		12,300,049
2.250%, 2/29/2020 (1)		12,000,000		11,943,984
2.500%, 5/15/2024 (1)		5,000,000		4,929,004
2.625%, 2/28/2023 (1)		31,000,000		30,866,191
2.750%, 6/30/2025 (1)		20,000,000		19,934,766
3.000%, 2/15/2048 (1)		20,000,000		19,966,016

Total U.S. Government & U.S. Government Agency Obligations (identified cost $256,680,814)				254,911,025

U.S. Government Agency-Mortgage Securities — 19.0%

Federal Home Loan Mortgage Corporation — 9.4%
3.000%, 11/1/2042		1,153,343		1,126,209
3.000%, 4/1/2043		1,377,722		1,345,492
3.000%, 4/1/2043		2,127,793		2,077,976
3.000%, 4/1/2043		4,688,403		4,578,878
3.000%, 5/1/2043		2,393,488		2,336,453
3.000%, 7/1/2043		9,399,445		9,176,004
3.000%, 9/1/2043		9,536,270		9,310,272
3.000%, 4/1/2045		8,490,167		8,257,635
3.000%, 5/1/2045		4,677,398		4,547,998
3.000%, 9/1/2045		14,836,462		14,410,091
3.500%, 12/1/2040		750,162		752,098
3.500%, 12/1/2041		769,008		771,001
3.500%, 3/1/2042		259,658		260,331
3.500%, 12/1/2042		640,474		642,133
3.500%, 11/1/2043		6,298,165		6,314,452
3.500%, 1/1/2044		6,471,935		6,488,684
3.500%, 2/1/2044		6,801,530		6,819,081
3.500%, 11/1/2044		4,862,239		4,858,770
4.000%, 4/1/2026		333,864		342,970
4.000%, 12/1/2039		514,420		528,673
4.000%, 12/1/2040		229,551		235,929
4.000%, 12/1/2040		2,875,327		2,955,171
4.000%, 3/1/2041		230,838		237,247
4.000%, 4/1/2041		5,642,567		5,799,267

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



		BMO Funds

TCH Core Plus Bond Fund (continued)


Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)

Federal Home Loan Mortgage Corporation (continued)
4.000%, 8/1/2041	$	148,900	$	153,060
4.000%, 11/1/2041		594,220		610,818
4.500%, 9/1/2031		258,229		269,886
4.500%, 3/1/2039		112,489		117,651
4.500%, 5/1/2039		426,079		445,435
4.500%, 2/1/2040		114,629		120,411
4.500%, 11/1/2040		444,189		466,561
4.500%, 2/1/2041		897,861		943,159
5.000%, 12/1/2035		56,413		60,077
5.000%, 1/1/2038		31,350		33,445
5.000%, 3/1/2038		97,353		103,970
5.000%, 3/1/2038		31,597		33,747
5.000%, 2/1/2039		161,073		170,310
5.000%, 1/1/2040		150,617		161,108
6.000%, 6/1/2037		60,260		65,921
6.000%, 1/1/2038		69,097		75,648

				98,004,022

Federal National Mortgage Association — 9.4%
3.000%, 3/1/2043		2,726,860		2,662,210
3.000%, 7/1/2043		6,237,093		6,089,205
3.000%, 7/1/2043		12,363,039		12,075,504
3.000%, 9/1/2044		8,089,040		7,891,583
3.000%, 1/1/2045		8,655,445		8,433,881
3.000%, 2/1/2045		12,310,345		11,973,425
3.000%, 6/1/2045		6,979,384		6,784,403
3.000%, 3/1/2046		14,252,282		13,816,206
3.000%, 7/1/2046		16,794,330		16,275,248
3.500%, 7/1/2032		371,826		377,172
3.500%, 5/1/2042		1,091,711		1,097,668
3.500%, 10/1/2042		765,822		767,865
3.500%, 10/1/2042		817,047		819,238
3.500%, 10/1/2042		1,026,491		1,029,402
3.500%, 11/1/2042		489,901		491,821
3.500%, 12/1/2042		949,211		951,755
4.000%, 11/1/2040		304,454		312,381
4.000%, 1/1/2041		421,032		431,961
4.000%, 2/1/2041		2,211,629		2,270,673
4.000%, 2/1/2041		408,700		419,382
4.000%, 3/1/2041		173,397		177,932
4.000%, 11/1/2041		370,520		380,440
4.500%, 6/1/2039		640,246		671,215
4.500%, 8/1/2041		418,805		438,831
5.000%, 7/1/2022		148,678		152,858
5.000%, 3/1/2035		227,770		243,650
5.000%, 5/1/2042		589,225		631,716
5.500%, 2/1/2034		38,510		42,018
5.500%, 7/1/2036		204,577		223,247
5.500%, 8/1/2037		384,757		418,756
5.500%, 6/1/2038		52,522		56,933
6.000%, 12/1/2038		15,582		16,914
6.000%, 5/1/2039		161,326		178,401
6.500%, 10/1/2037		40,301		45,394
6.500%, 11/1/2037		21,458		24,089

				98,673,377

Government National Mortgage Association — 0.2%
4.000%, 10/15/2040		410,151		422,347
4.000%, 12/15/2040		470,044		483,972
4.000%, 4/15/2041		481,535		495,842
5.500%, 8/20/2038		74,141		77,219
5.500%, 2/15/2039		45,209		48,811
6.000%, 12/15/2038		56,421		61,187


Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)

Government National Mortgage Association (continued)
6.000%, 1/15/2039	$	26,215	$	28,420

				1,617,798

Total U.S. Government Agency-Mortgage Securities
(identified cost $203,086,071)				198,295,197

Short-Term Investments — 38.7%

Collateral Pool Investments for Securities on Loan — 34.8%

Collateral pool allocation (3)				363,577,000

Mutual Funds — 3.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		40,858,025		40,862,111

Total Short-Term Investments (identified cost $404,434,259)				404,439,111

Total Investments — 134.2% (identified cost $1,412,774,991)				1,403,440,573
Other Assets and Liabilities — (34.2)%				(357,589,221	)

Total Net Assets — 100.0%			$	1,045,851,352

High Yield Bond Fund


Description	Principal Amount		Value
Corporate Bonds & Notes — 91.9%

Aerospace/Defense — 1.0%
TransDigm, Inc., 6.500%, 7/15/2024 (1)	$	115,000	$	117,156

Agriculture — 0.3%
Vector Group, Ltd., 6.125%, 2/1/2025 (5)		38,000		36,575

Auto Parts & Equipment — 4.5%
Allison Transmission, Inc., 4.750%, 10/1/2027 (1)(5)		100,000		94,250
American Axle & Manufacturing, Inc., 6.625%, 10/15/2022 (1)		82,000		84,152
Goodyear Tire & Rubber Co., 5.000%, 5/31/2026 (1)		150,000		141,375
Meritor, Inc., 6.250%, 2/15/2024		75,000		76,586
Tenneco, Inc., 5.000%, 7/15/2026		125,000		111,250

				507,613

Banks — 0.9%
CIT Group, Inc., 5.000%, 8/15/2022		103,000		105,318

Building Materials — 2.2%
Builders FirstSource, Inc., 5.625%, 9/1/2024 (5)		150,000		146,250
U.S. Concrete, Inc., 6.375%, 6/1/2024 (1)		100,000		101,375

				247,625

Chemicals — 1.9%
Braskem Netherlands Finance BV, 3.500%, 1/10/2023 (5)		50,000		46,688
CF Industries, Inc., 5.150%, 3/15/2034		75,000		70,969
Trinseo Materials Operating SCA, 5.375%, 9/1/2025 (5)		50,000		49,187
Valvoline, Inc., 4.375%, 8/15/2025		50,000		47,813

				214,657

Commercial Services — 2.7%
Avis Budget Car Rental LLC, 5.250%, 3/15/2025 (5)		75,000		70,594

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

August 31, 2018



Schedules of Investments

High Yield Bond Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Commercial Services (continued)
Hertz Corp., 5.875%, 10/15/2020	$	100,000	$	99,969
Prime Security Services Borrower LLC, 9.250%, 5/15/2023 (5)		80,000		85,904
Weight Watchers International, Inc., 8.625%, 12/1/2025 (5)		50,000		54,250

				310,717

Computers — 2.8%
Dell, Inc., 6.500%, 4/15/2038		125,000		121,875
GCI LLC, 6.750%, 6/1/2021		79,000		80,063
Seagate HDD Cayman:
4.750%, 1/1/2025		25,000		23,995
4.875%, 6/1/2027 (1)		50,000		47,040
Western Digital Corp., 4.750%, 2/15/2026		50,000		49,115

				322,088

Cosmetics/Personal Care — 1.4%
Coty, Inc., 6.500%, 4/15/2026 (1)(5)		100,000		94,312
Revlon Consumer Products Corp., 6.250%, 8/1/2024		100,000		58,500

				152,812

Electric — 3.6%
AES Corp., 4.000%, 3/15/2021		50,000		50,260
Drax Finco PLC, 6.625%, 11/1/2025 (5)		100,000		102,000
NextEra Energy Operating Partners LP, 4.250%, 9/15/2024 (1)(5)		100,000		97,750
NRG Energy, Inc., 5.750%, 1/15/2028 (1)(5)		100,000		101,250
Vistra Energy Corp., 7.375%, 11/1/2022		50,000		52,187

				403,447

Entertainment — 1.2%
Cinemark USA, Inc., 4.875%, 6/1/2023		60,000		59,550
Scientific Games International, Inc., 5.000%, 10/15/2025 (5)		75,000		71,438

				130,988

Food — 2.8%
Albertsons Cos. LLC, 5.750%, 3/15/2025		75,000		68,250
Dean Foods Co., 6.500%, 3/15/2023 (1)(5)		85,000		81,175
Minerva Luxembourg SA, 6.500%, 9/20/2026 (5)		75,000		67,126
Post Holdings, Inc., 5.000%, 8/15/2026 (5)		100,000		96,250

				312,801

Forest Products & Paper — 1.1%
Mercer International, Inc., 6.500%, 2/1/2024		125,000		128,438

Healthcare-Products — 1.4%
Hologic, Inc., 4.625%, 2/1/2028 (5)		100,000		94,250
Mallinckrodt International Finance SA, 5.625%, 10/15/2023 (5)		75,000		67,219

				161,469

Healthcare-Services — 9.1%
Acadia Healthcare Co., Inc., 6.500%, 3/1/2024		50,000		52,063
Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026 (5)		100,000		95,875
Centene Corp., 6.125%, 2/15/2024		75,000		79,031


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Healthcare-Services (continued)
Encompass Health Corp., 5.750%, 11/1/2024	$	75,000	$	76,219
Envision Healthcare Corp., 5.625%, 7/15/2022 (1)		150,000		154,500
HCA, Inc.:
5.375%, 9/1/2026		50,000		50,375
5.875%, 5/1/2023 (1)		90,000		94,725
LifePoint Health, Inc., 5.375%, 5/1/2024 (1)		159,000		165,757
Select Medical Corp., 6.375%, 6/1/2021 (1)		150,000		152,062
Tenet Healthcare Corp., 8.125%, 4/1/2022 (1)		75,000		79,500
WellCare Health Plans, Inc., 5.375%, 8/15/2026 (5)		25,000		25,813

				1,025,920

Home Builders — 3.0%
Beazer Homes USA, Inc., 5.875%, 10/15/2027		125,000		107,188
TRI Pointe Group, Inc., 5.875%, 6/15/2024		51,000		51,061
William Lyon Homes, Inc., 5.875%, 1/31/2025 (1)		188,000		178,835

				337,084

Home Furnishings — 1.3%
Tempur Sealy International, Inc., 5.625%, 10/15/2023		150,000		150,750

Insurance — 0.7%
CNO Financial Group, Inc., 5.250%, 5/30/2025 (1)		75,000		76,500

Internet — 1.3%
Netflix, Inc., 4.875%, 4/15/2028 (1)(5)		150,000		142,312

Iron/Steel — 0.5%
United States Steel Corp., 6.875%, 8/15/2025		50,000		51,000

Lodging — 2.8%
Boyd Gaming Corp., 6.000%, 8/15/2026		50,000		50,625
Hilton Domestic Operating Co., Inc., 5.125%, 5/1/2026 (1)(5)		50,000		50,312
MGM Resorts International, 4.625%, 9/1/2026		175,000		165,812
Wynn Las Vegas LLC, 5.250%, 5/15/2027 (5)		50,000		46,813

				313,562

Media — 5.9%
Altice Finco SA, 7.625%, 2/15/2025 (5)		200,000		176,750
Altice France SA, 7.375%, 5/1/2026 (5)		100,000		98,625
AMC Networks, Inc., 5.000%, 4/1/2024 (1)		100,000		98,625
CCO Holdings LLC, 5.500%, 5/1/2026 (1)(5)		200,000		198,000
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (1)(5)		100,000		100,000

				672,000

Mining — 4.2%
Alcoa Nederland Holding BV, 6.125%, 5/15/2028 (5)		25,000		25,875
Freeport-McMoRan, Inc., 3.550%, 3/1/2022 (1)		150,000		145,125
Hudbay Minerals, Inc., 7.250%, 1/15/2023 (5)		75,000		76,687

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



		BMO Funds

High Yield Bond Fund (continued)


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Mining (continued)
Kaiser Aluminum Corp., 5.875%, 5/15/2024	$	100,000	$	102,750
Kinross Gold Corp.:
4.500%, 7/15/2027		75,000		68,250
6.875%, 9/1/2041		50,000		51,625

				470,312

Miscellaneous Manufacturing — 0.4%
Trinity Industries, Inc., 4.550%, 10/1/2024		50,000		48,552

Oil & Gas — 9.1%
Chesapeake Energy Corp., 8.000%, 1/15/2025		75,000		76,781
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025		75,000		76,687
Ensco PLC:
4.500%, 10/1/2024		100,000		83,375
7.750%, 2/1/2026 (1)		100,000		95,875
Gulfport Energy Corp., 6.000%, 10/15/2024		100,000		99,250
Noble Holding International, Ltd., 7.750%, 1/15/2024		75,000		73,688
Oasis Petroleum, Inc., 6.875%, 3/15/2022 (1)		71,000		72,420
PBF Holding Co. LLC, 7.250%, 6/15/2025 (1)		100,000		105,750
QEP Resources, Inc., 5.250%, 5/1/2023 (1)		150,000		147,000
Rowan Cos., Inc., 7.375%, 6/15/2025		50,000		48,250
Southwestern Energy Co., 7.500%, 4/1/2026		50,000		52,625
Whiting Petroleum Corp., 5.750%, 3/15/2021 (1)		100,000		102,750

				1,034,451

Oil & Gas Services — 0.9%
SESI LLC, 7.750%, 9/15/2024		100,000		103,750

Pharmaceuticals — 3.2%
Bausch Health Cos., Inc., 5.500%, 3/1/2023 (5)		125,000		118,454
HLF Financing Sarl LLC, 7.250%, 8/15/2026 (5)		125,000		126,919
Teva Pharmaceutical Finance Netherlands III BV:
2.800%, 7/21/2023 (1)		100,000		88,632
6.000%, 4/15/2024		25,000		25,429

				359,434

Pipelines — 3.1%
Antero Midstream Partners LP, 5.375%, 9/15/2024 (1)		100,000		101,250
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 (1)		50,000		51,062
Genesis Energy LP, 6.750%, 8/1/2022 (1)		150,000		153,750
Targa Resources Partners LP, 5.000%, 1/15/2028 (5)		50,000		48,688

				354,750

Real Estate Investment Trusts — 1.9%
ESH Hospitality, Inc., 5.250%, 5/1/2025 (1)(5)		100,000		97,125


Description	Principal Amount		Value
Corporate Bonds & Notes (continued)

Real Estate Investment Trusts (continued)
SBA Communications Corp., 4.875%, 9/1/2024 (1)	$	50,000	$	49,460
Starwood Property Trust, Inc., 3.625%, 2/1/2021 (5)		75,000		73,312

				219,897

Retail — 3.3%
Asbury Automotive Group, Inc., 6.000%, 12/15/2024 (1)		100,000		100,750
Beacon Roofing Supply, Inc., 4.875%, 11/1/2025 (1)(5)		100,000		92,750
Hot Topic, Inc., 9.250%, 6/15/2021 (5)		50,000		48,750
KFC Holding Co., 5.000%, 6/1/2024 (5)		50,000		50,000
Party City Holdings, Inc., 6.125%, 8/15/2023 (5)		75,000		76,500

				368,750

Semiconductors — 0.9%
Amkor Technology, Inc., 6.375%, 10/1/2022 (1)		100,000		102,000

Software — 1.7%
Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024 (1)		74,000		77,700
Rackspace Hosting, Inc., 8.625%, 11/15/2024 (5)		122,000		120,399

				198,099

Telecommunications — 8.8%
CenturyLink, Inc., 5.800%, 3/15/2022 (1)		50,000		51,360
Cincinnati Bell, Inc., 7.000%, 7/15/2024 (1)(5)		150,000		132,750
CommScope, Inc., 5.500%, 6/15/2024 (1)(5)		158,000		160,567
Inmarsat Finance PLC, 4.875%, 5/15/2022 (1)(5)		150,000		151,125
Qwest Corp., 6.875%, 9/15/2033		100,000		98,563
Sprint Communications, Inc., 6.000%, 11/15/2022		75,000		76,102
Sprint Corp.:
7.125%, 6/15/2024 (1)		110,000		114,400
7.625%, 3/1/2026		50,000		52,633
Telecom Italia Capital SA, 6.000%, 9/30/2034		25,000		24,745
Telesat Canada, 8.875%, 11/15/2024 (5)		82,000		88,048
T-Mobile USA, Inc., 4.500%, 2/1/2026 (1)		50,000		47,750

				998,043

Toys/Games/Hobbies — 0.4%
Mattel, Inc., 2.350%, 8/15/2021		50,000		45,250

Transportation — 1.6%
XPO Logistics, Inc., 6.500%, 6/15/2022 (1)(5)		175,000		181,426

Total Corporate Bonds & Notes (identified cost $10,478,900)				10,405,546

Short-Term Investments — 50.7%

Collateral Pool Investments for Securities on Loan — 43.5%

Collateral pool allocation (3)				4,935,287

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

August 31, 2018



Schedules of Investments

High Yield Bond Fund (continued)


Description	Shares		Value
Short-Term Investments (continued)

Mutual Funds — 7.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (4)		813,916	$	813,997

Total Short-Term Investments (identified cost $5,749,205)				5,749,284

Total Investments — 142.6% (identified cost $16,228,105)				16,154,830
Other Assets and Liabilities — (42.6)%				(4,829,222	)

Total Net Assets — 100.0%			$	11,325,608

Government Money Market Fund


Description	Shares or Principal Amount		Value
Mutual Funds — 6.5%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 1.840%		70,000,000	$	70,000,000
Invesco Government & Agency Portfolio — Institutional Class, 1.855%		150,000,000		150,000,000

Total Mutual Funds				220,000,000

Repurchase Agreements — 38.5%
Agreement with Fixed Income Clearing Corp., 1.000%, dated 8/31/2018, to be repurchased at $13,480,966 on 9/4/2018, collateralized by U.S. Government Treasury Obligations with various maturities to 4/15/2019, with a fair value of $13,752,237	$	13,479,468		13,479,468
Agreement with Fixed Income Clearing Corp., 1.960%, dated 8/31/2018, to be repurchased at $540,117,600 on 9/4/2018, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/15/2043, with a fair value of $550,801,296		540,000,000		540,000,000
Agreement with Goldman Sachs Group, Inc., 1.930%, dated 8/30/2018, to be repurchased at $250,093,819 on 9/6/2018, collateralized by U.S. Government Agency Obligations with various maturities to 6/1/2056, with a fair value of $255,000,000		250,000,000		250,000,000
Agreement with Goldman Sachs Group, Inc., 1.960%, dated 8/31/2018, to be repurchased at $325,070,778 on 9/4/2018, collateralized by U.S. Government Agency Obligations with various maturities to 8/1/2048, with a fair value of $331,500,000		325,000,000		325,000,000


Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.970%, dated 8/31/2018, to be repurchased at $25,005,472 on 9/4/2018, collateralized by U.S. Government Agency Obligations with various maturities to 2/1/2048, with a fair value of $25,500,001	$	25,000,000	$	25,000,000
Agreement with Toronto Dominion Bank, 1.960%, dated 8/31/2018, to be repurchased at $150,032,667 on 9/4/2018, collateralized by U.S. Government Agency Obligations with various maturities to 8/1/2048, with a fair value of $153,033,320		150,000,000		150,000,000

Total Repurchase Agreements				1,303,479,468

U.S. Government & U.S. Government Agency Obligations — 55.1%

Federal Farm Credit Bank — 16.4%
1.895% (FCPR DLY - 311 basis points) 4/10/2019 (10)		14,000,000		13,999,567
1.895% (U.S. Federal Funds Effective Rate (continuous series) - 3 basis points) 4/25/2019 (10)		18,000,000		17,999,407
1.920% (FCPR DLY - 308 basis points) 6/27/2019 (10)		25,000,000		24,999,789
1.920% (FCPR DLY - 308 basis points) 9/13/2019 (10)		12,000,000		11,999,793
1.920% (FCPR DLY - 308 basis points) 10/10/2019 (10)		15,000,000		14,998,566
1.920% (U.S. Federal Funds Effective Rate (continuous series) + 0 basis points) 4/15/2019 (10)		16,000,000		15,998,990
1.925% (FCPR DLY - 308 basis points) 9/25/2019 (10)		11,900,000		11,900,119
1.930% (FCPR DLY - 307 basis points) 11/4/2019 (10)		23,000,000		22,998,160
1.930% (FCPR DLY - 307 basis points) 12/18/2019 (10)		10,000,000		9,999,676
1.930% (U.S. Federal Funds Effective Rate (continuous series) + 1 basis points) 4/24/2019 (10)		15,000,000		14,999,031
1.935% (FCPR DLY - 307 basis points) 12/26/2019 (10)		15,000,000		14,999,010
1.940% (FCPR DLY - 306 basis points) 4/25/2019 (10)		14,000,000		14,000,116
1.950% (FCPR DLY - 305 basis points) 1/9/2020 (10)		15,000,000		14,998,987
1.975% (LIBOR 1 Month - 10 basis points) 8/30/2019 (10)		15,000,000		14,999,912
1.990% (LIBOR 1 Month - 9 basis points) 5/30/2019 (10)		12,000,000		11,996,848
1.991% (LIBOR 1 Month - 8 basis points) 11/9/2018 (10)		10,000,000		9,999,907
2.004% (LIBOR 1 Month - 10 basis points) 12/2/2019 (10)		12,800,000		12,793,978

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



		BMO Funds

Government Money Market Fund (continued)


Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)

Federal Farm Credit Bank (continued)
2.009% (LIBOR 1 Month - 10 basis points) 12/3/2018 (10)	$	15,000,000	$	15,000,000
2.010% (LIBOR 1 Month - 7 basis points) 12/30/2019 (10)		14,000,000		13,999,073
2.016% (LIBOR 1 Month - 5 basis points) 1/23/2019 (10)		21,300,000		21,304,780
2.022% (LIBOR 1 Month - 6 basis points) 12/20/2018 (10)		15,500,000		15,499,875
2.026% (LIBOR 1 Month - 4 basis points) 4/24/2019 (10)		23,445,000		23,456,633
2.044% (LIBOR 1 Month - 6 basis points) 4/3/2019 (10)		25,814,000		25,822,067
2.076% (LIBOR 3 Month - 26 basis points) 9/28/2018 (10)		18,000,000		18,000,121
2.106% (LIBOR 3 Month - 23 basis points) 4/3/2019 (10)		15,000,000		14,999,940
2.115% (LIBOR 1 Month + 5 basis points) 1/27/2020 (10)		15,000,000		15,022,237
2.119% (LIBOR 1 Month + 5 basis points) 2/21/2020 (10)		8,500,000		8,513,151
2.132% (LIBOR 1 Month + 7 basis points) 10/22/2018 (10)		5,000,000		5,001,239
2.141% (Treasury Money Market Yield 3 Month + 5 basis points) 12/5/2018 (10)		11,000,000		10,999,853
2.142% (LIBOR 3 Month - 20 basis points) 7/12/2019 (10)		15,000,000		14,999,354
2.187% (LIBOR 1 Month + 12 basis points) 11/13/2018 (10)		4,220,000		4,222,185
2.199% (LIBOR 1 Month + 10 basis points) 10/3/2018 (10)		15,050,000		15,050,386
2.213% (LIBOR 1 Month + 15 basis points) 3/15/2019 (10)		6,715,000		6,724,678
2.237% (LIBOR 1 Month + 17 basis points) 1/22/2019 (10)		23,835,000		23,861,598
2.240% (LIBOR 1 Month + 18 basis points) 2/25/2019 (10)		10,000,000		10,012,444
2.246% (LIBOR 1 Month + 18 basis points) 10/24/2019 (10)		2,295,000		2,302,846
2.247% (LIBOR 1 Month + 18 basis points) 10/11/2019 (10)		12,315,000		12,352,394
2.253% (LIBOR 1 Month + 19 basis points) 5/16/2019 (10)		8,615,000		8,632,589
2.335% (LIBOR 1 Month + 27 basis points) 2/25/2019 (10)		16,200,000		16,226,852

				555,686,151

Federal Home Loan Bank — 35.8%
1.924% (LIBOR 1 Month - 14 basis points) 10/16/2018 (10)		10,000,000		10,000,000
1.928% 9/5/2018 (12)		19,000,000		18,995,989
1.929% 9/5/2018 (12)		15,922,000		15,918,639
1.929% (LIBOR 1 Month - 14 basis points) 10/16/2018 (10)		13,500,000		13,500,000
1.933% (LIBOR 1 Month - 13 basis points) 10/10/2018 (10)		5,300,000		5,300,137
1.933% (LIBOR 1 Month - 13 basis points) 10/10/2018 (10)		9,000,000		9,000,000
1.935% (LIBOR 1 Month - 13 basis points) 9/17/2018 (10)		10,000,000		10,000,000
1.937% 9/5/2018 (12)		21,000,000		20,995,543
1.938% 9/12/2018 (12)		25,000,000		24,985,410


Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)

Federal Home Loan Bank (continued)
1.939% (LIBOR 1 Month - 13 basis points) 7/16/2019 (10)	$	25,000,000	$	25,000,000
1.940% (LIBOR 1 Month - 14 basis points) 10/5/2018 (10)		17,000,000		17,000,000
1.941% (LIBOR 1 Month - 13 basis points) 11/23/2018 (10)		40,000,000		40,001,797
1.943% 9/25/2018 (12)		20,000,000		19,974,533
1.943% 9/27/2018 (12)		2,000,000		1,997,241
1.945% (LIBOR 1 Month - 12 basis points) 9/26/2018 (10)		18,000,000		18,000,000
1.948% 9/18/2018 (12)		20,000,000		19,981,914
1.948% 9/24/2018 (12)		25,000,000		24,969,413
1.950% 9/17/2018 (12)		25,000,000		24,978,667
1.950% (LIBOR 1 Month - 12 basis points) 1/25/2019 (10)		18,000,000		17,999,478
1.950% (LIBOR 1 Month - 12 basis points) 4/26/2019 (10)		25,000,000		25,000,000
1.950% (LIBOR 1 Month - 13 basis points) 2/6/2019 (10)		13,400,000		13,400,000
1.951% (LIBOR 1 Month - 12 basis points) 12/24/2018 (10)		20,000,000		20,000,993
1.951% (LIBOR 1 Month - 12 basis points) 2/25/2019 (10)		20,000,000		20,000,000
1.952% 9/28/2018 (12)		25,000,000		24,964,000
1.952% (LIBOR 1 Month - 12 basis points) 9/11/2018 (10)		15,000,000		15,000,000
1.952% (LIBOR 1 Month - 13 basis points) 11/20/2018 (10)		25,000,000		25,000,402
1.953% 9/14/2018 (12)		20,000,000		19,986,133
1.953% (LIBOR 1 Month - 11 basis points) 12/14/2018 (10)		25,000,000		25,000,249
1.956% 9/27/2018 (12)		30,000,000		29,958,292
1.957% 9/28/2018 (12)		28,000,000		27,959,575
1.957% (LIBOR 1 Month - 12 basis points) 1/18/2019 (10)		15,000,000		15,000,000
1.960% 9/21/2018 (12)		25,000,000		24,973,194
1.961% 9/25/2018 (12)		27,000,000		26,965,260
1.961% (LIBOR 1 Month - 11 basis points) 1/24/2019 (10)		15,000,000		15,000,000
1.964% 9/18/2018 (12)		6,000,000		5,994,532
1.964% 9/19/2018 (12)		20,000,000		19,980,700
1.965% 9/27/2018 (12)		20,000,000		19,972,050
1.966% 9/21/2018 (12)		23,400,000		23,374,910
1.966% 9/26/2018 (12)		25,000,000		24,966,406
1.966% 9/27/2018 (12)		25,000,000		24,965,062
1.967% 9/18/2018 (12)		16,600,000		16,584,871
1.968% 9/25/2018 (12)		1,200,000		1,198,456
1.969% 9/6/2018 (12)		9,000,000		8,997,581
1.969% (LIBOR 1 Month - 10 basis points) 12/21/2018 (10)		17,500,000		17,500,000
1.970% 9/28/2018 (12)		20,000,000		19,970,900
1.971% (LIBOR 1 Month - 10 basis points) 10/23/2019 (10)		12,500,000		12,500,000
1.972% (LIBOR 1 Month - 11 basis points) 7/19/2019 (10)		20,000,000		20,000,000
1.975% (LIBOR 1 Month - 9 basis points) 7/26/2019 (10)		12,850,000		12,850,000
1.977% 9/7/2018 (12)		10,350,000		10,346,653
1.977% (LIBOR 1 Month - 9 basis points) 1/11/2019 (10)		13,500,000		13,500,000
1.977% (LIBOR 1 Month - 9 basis points) 1/22/2019 (10)		15,000,000		15,000,000
1.977% (LIBOR 1 Month - 9 basis points) 8/12/2019 (10)		10,150,000		10,150,000

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

August 31, 2018



Schedules of Investments

Government Money Market Fund (continued)


Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)

Federal Home Loan Bank (continued)
1.986% (LIBOR 1 Month - 8 basis points) 11/23/2018 (10)	$	14,500,000	$	14,500,000
1.987% (LIBOR 1 Month - 8 basis points) 3/14/2019 (10)		14,000,000		14,000,000
1.987% (LIBOR 1 Month - 8 basis points) 8/22/2019 (10)		13,000,000		13,000,000
1.993% (LIBOR 1 Month - 9 basis points) 11/8/2018 (10)		15,000,000		15,000,000
1.994% (LIBOR 1 Month - 11 basis points) 1/4/2019 (10)		2,500,000		2,500,109
1.994% (LIBOR 1 Month - 11 basis points) 1/4/2019 (10)		1,100,000		1,100,048
1.997% (LIBOR 1 Month - 8 basis points) 3/20/2019 (10)		16,100,000		16,098,625
1.999% (LIBOR 1 Month - 8 basis points) 2/7/2020 (10)		15,000,000		14,999,418
1.999% (LIBOR 3 Month - 34 basis points) 4/9/2019 (10)		9,000,000		9,000,000
2.001% (LIBOR 1 Month - 7 basis points) 1/23/2020 (10)		10,000,000		10,000,013
2.005% (LIBOR 1 Month - 6 basis points) 8/28/2019 (10)		10,000,000		10,000,000
2.007% (LIBOR 1 Month - 7 basis points) 7/19/2019 (10)		15,000,000		15,000,070
2.017% (LIBOR 1 Month - 6 basis points) 2/20/2020 (10)		20,000,000		20,000,000
2.017% (LIBOR 3 Month - 32 basis points) 4/12/2019 (10)		16,000,000		16,000,000
2.023% (LIBOR 3 Month - 31 basis points) 1/3/2019 (10)		20,000,000		20,000,000
2.024% (LIBOR 1 Month - 8 basis points) 2/4/2019 (10)		10,000,000		10,000,000
2.059% (LIBOR 1 Month - 5 basis points) 2/1/2019 (10)		10,000,000		10,000,015
2.125% (LIBOR 3 Month - 21 basis points) 10/26/2018 (10)		6,120,000		6,120,479
2.129% (LIBOR 3 Month - 21 basis points) 4/9/2019 (10)		14,500,000		14,500,000
2.133% (LIBOR 3 Month - 20 basis points) 1/18/2019 (10)		2,950,000		2,949,740
2.150% (FCPR DLY - 285 basis points) 11/7/2018 (10)		2,000,000		2,000,998
2.180% (LIBOR 3 Month - 16 basis points) 7/5/2019 (10)		23,300,000		23,324,871
2.186% (LIBOR 3 Month - 15 basis points) 1/17/2020 (10)		8,500,000		8,500,000

				1,213,253,366

Federal Home Loan Mortgage Corporation — 1.1%
1.940% (LIBOR 1 Month - 13 basis points) 11/27/2018 (10)		10,000,000		10,000,000
2.081% (LIBOR 3 Month - 25 basis points) 10/10/2018 (10)		20,000,000		20,000,000
2.172% (LIBOR 3 Month - 17 basis points) 7/5/2019 (10)		8,890,000		8,897,248

				38,897,248

Federal National Mortgage Association — 1.8%
2.010% (LIBOR 3 Month + 8 basis points) 1/30/2019 (10)		20,000,000		20,000,000
2.050% (LIBOR 3 Month + 12 basis points) 7/30/2019 (10)		25,000,000		25,000,000


Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)

Federal National Mortgage Association (continued)
2.090% (LIBOR 3 Month + 16 basis points) 1/30/2020 (10)	$	15,000,000	$	15,000,000

				60,000,000

Total U.S. Government & U.S. Government Agency Obligations				1,867,836,765

Total Investments — 100.1% (at amortized cost)				3,391,316,233
Other Assets and Liabilities — (0.1)%				(2,266,141	)

Total Net Assets — 100.0%			$	3,389,050,092

Tax-Free Money Market Fund


Description	Principal Amount		Value
Municipals — 97.4%

Alabama — 11.8%
Chatom Industrial Development Board, 1.650%, 8/1/2037 (7)	$	5,500,000	$	5,500,000
City of Oxford, 1.630%, 9/1/2041 (7)		12,745,000		12,745,000
Columbia Industrial Development Board, 1.600%, 12/1/2037 (7)		3,000,000		3,000,000
Industrial Development Board of the City of Mobile Alabama:
1.550% 6/1/2034 (7)		2,550,000		2,550,000
1.680% 6/1/2034 (7)		10,000,000		10,000,000
Tender Option Bond Trust Receipts/Certificates:
1.660% 5/1/2026 (5)(7)		6,650,000		6,650,000
1.660% 7/1/2026 (5)(7)		4,500,000		4,500,000

				44,945,000

California — 3.7%
Tender Option Bond Trust Receipts/Certificates:
1.660% 11/1/2023 (5)(7)		5,070,000		5,070,000
1.710% 9/1/2042 (5)(7)		8,945,000		8,945,000

				14,015,000

Colorado — 2.5%
Colorado Health Facilities Authority, 1.600%, 1/1/2035 (7)		9,500,000		9,500,000

Connecticut — 3.3%
State of Connecticut, 1.670%, 5/15/2034 (7)		12,700,000		12,700,000

Delaware — 0.9%
Delaware State Health Facilities Authority, 1.550%, 10/1/2040 (7)		3,360,000		3,360,000

Florida — 11.9%
Alachua County Housing Finance Authority, 1.560%, 4/15/2041 (7)		4,020,000		4,020,000
City of Gainesville Utilities System Revenue, 1.530%, 10/1/2036 (7)		11,200,000		11,200,000
City of Jacksonville, 1.600%, 10/9/2018		12,300,000		12,300,000
County of Brevard, 1.720%, 10/1/2019 (7)		500,000		500,000

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



		BMO Funds

Tax-Free Money Market Fund (continued)


Description	Principal Amount		Value
Municipals (continued)

Florida (continued)
County of St. Lucie, 1.530%, 9/1/2028 (7)	$	2,100,000	$	2,100,000
Highlands County Health Facilities Authority, 1.560%, 11/15/2035 (7)		8,000,000		8,000,000
Miami-Dade County Industrial Development Authority, 1.510%, 6/1/2021 (7)		200,000		200,000
Pinellas County Health Facilities Authority, 1.560%, 11/1/2038 (7)		3,000,000		3,000,000
Tender Option Bond Trust Receipts/Certificates, 1.590%, 7/1/2040 (5)(7)		4,075,000		4,075,000

				45,395,000

Georgia — 1.3%
RBC Municipal Products, Inc. Trust, 1.620%, 10/1/2021 (5)(7)		5,000,000		5,000,000

Illinois — 6.1%
Illinois Finance Authority, 1.550%, 8/15/2038 (7)		800,000		800,000
Illinois Housing Development Authority, 1.560%, 1/1/2041 (7)		5,000,000		5,000,000
Illinois State Toll Highway Authority, 1.570%, AGM, 1/1/2031 (7)		1,485,000		1,485,000
Jackson-Union Counties Regional Port District, 1.600%, 4/1/2024 (7)		2,400,000		2,400,000
Phoenix Realty Special Account-U LP, 1.590%, 4/1/2020 (7)		8,075,000		8,075,000
Tender Option Bond Trust Receipts/Certificates, 1.590%, 1/15/2026 (5)(7)		5,600,000		5,600,000

				23,360,000

Indiana — 4.2%
Hamilton Southeastern Consolidated School Building Corp., 3.000%, 12/15/2018		2,350,000		2,357,696
Indiana Finance Authority, 1.530%, 7/1/2036 (7)		6,000,000		6,000,000
Tender Option Bond Trust Receipts/Certificates, 1.710%, 5/14/2026 (5)(7)		7,770,000		7,770,000

				16,127,696

Iowa — 3.4%
Iowa Finance Authority:
1.600% 6/1/2039 (7)		9,800,000		9,800,000
1.610% 9/1/2036 (7)		3,200,000		3,200,000

				13,000,000

Kentucky — 0.3%
Louisville/Jefferson County Metropolitan Government, 1.550%, 9/7/2018		1,300,000		1,300,000

Maryland — 0.5%
RBC Municipal Products, Inc. Trust, 1.760%, 1/1/2025 (5)(7)		2,000,000		2,000,000

Michigan — 1.0%
Michigan Finance Authority, 1.400%, 12/1/2034 (7)		4,000,000		4,000,000

Minnesota — 1.9%
City of Ramsey, 1.760%, 12/1/2023 (7)		1,860,000		1,860,000


Description	Principal Amount		Value
Municipals (continued)

Minnesota (continued)
Minnesota Higher Education Facilities Authority:
1.630% 3/1/2024 (7)	$	2,000,000	$	2,000,000
1.630% 3/1/2033 (7)		3,215,000		3,215,000

				7,075,000

Mississippi — 3.6%
Mississippi Business Finance Corp.:
1.560% 12/1/2030 (7)		2,815,000		2,815,000
1.560% 12/1/2030 (7)		2,030,000		2,030,000
1.560% 11/1/2035 (7)		8,250,000		8,250,000
1.950% 5/1/2037 (7)		595,000		595,236

				13,690,236

Missouri — 3.7%
City of St. Louis, 3.000%, 5/30/2019		3,000,000		3,027,225
Greene County Industrial Development Authority, 1.640%, 5/1/2039 (7)		965,000		965,000
Tender Option Bond Trust Receipts/Certificates, 1.660%, 5/15/2041 (5)(7)		10,000,000		10,000,000

				13,992,225

Nebraska — 0.2%
Nebraska Investment Finance Authority, 1.570%, 9/1/2031 (7)		600,000		600,000

New York — 8.9%
City of New York, 1.560%, 8/1/2035 (7)		1,250,000		1,250,000
County of Nassau, 3.000%, 9/18/2018		1,800,000		1,801,175
New York City Transitional Finance Authority Future Tax Secured Revenue, 1.560%, 11/1/2029 (7)		8,000,000		8,000,000
New York City Water & Sewer System:
1.470% 6/15/2050 (7)		3,470,000		3,470,000
1.530% 6/15/2049 (7)		4,000,000		4,000,000
1.580% 6/15/2039 (7)		7,500,000		7,500,000
RBC Municipal Products, Inc. Trust, 1.530%, 3/1/2022 (5)(7)		6,000,000		6,000,000
Tender Option Bond Trust Receipts/Certificates, 1.600%, 1/1/2024 (5)(7)		2,000,000		2,000,000

				34,021,175

North Carolina — 0.5%
Tender Option Bond Trust Receipts/Certificates, 1.600%, 7/1/2019 (5)(7)		1,835,000		1,835,000

Ohio — 3.6%
City of Fairborn, 2.250%, 3/21/2019		2,000,000		2,006,494
Ohio Higher Educational Facility Commission, 1.550%, 1/1/2039 (7)		1,705,000		1,705,000
Port of Greater Cincinnati Development Authority:
1.800% 11/1/2023 (7)		1,455,000		1,455,000
1.800% 11/1/2025 (7)		280,000		280,000
RBC Municipal Products, Inc. Trust, 1.590%, 10/1/2020 (5)(7)		4,110,000		4,110,000

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

August 31, 2018



Schedules of Investments

Tax-Free Money Market Fund (continued)


Description	Principal Amount		Value
Municipals (continued)

Ohio (continued)
Tender Option Bond Trust Receipts/Certificates, 1.660%, 6/1/2026 (5)(7)	$	4,000,000	$	4,000,000

				13,556,494

Pennsylvania — 3.0%
RBC Municipal Products, Inc. Trust:
1.530% 4/1/2022 (5)(7)		7,000,000		7,000,000
1.760% 12/1/2025 (5)(7)		4,325,000		4,325,000

				11,325,000

South Dakota — 3.3%
South Dakota Housing Development Authority:
1.680% 11/1/2048 (7)		6,185,000		6,185,000
1.740% 5/1/2048 (7)		6,580,000		6,580,000

				12,765,000

Tennessee — 0.7%
Shelby County Health Educational & Housing Facilities Board, 1.550%, 6/15/2036 (7)		2,600,000		2,600,000

Texas — 10.2%
City of Austin, 1.600%, 11/15/2029 (7)		1,360,000		1,360,000
City of Dallas, 1.300%, 9/26/2018		4,500,000		4,500,000
City of San Antonio, 1.250%, 9/24/2018		4,000,000		4,000,000
County of Harris:
1.350% 9/6/2018		9,225,000		9,225,000
1.350% 9/6/2018		590,000		590,000
1.520% 10/1/2018		5,000,000		5,000,000
Harris County Cultural Education Facilities Finance Corp., 1.460%, 12/1/2024 (7)		2,355,000		2,355,000
State of Texas:
1.550% 6/1/2046 (7)		7,000,000		7,000,000
1.550% 12/1/2049 (7)		5,000,000		5,000,000

				39,030,000

Washington — 5.5%
Seattle Housing Authority, 1.720%, 6/1/2040 (7)		1,000,000		1,000,000
Tender Option Bond Trust Receipts/Certificates:
1.620% 7/1/2026 (5)(7)		5,000,000		5,000,000
1.710% 6/15/2029 (5)(7)		11,320,000		11,320,000
Washington Higher Education Facilities Authority, 1.550%, 10/1/2029 (7)		1,100,000		1,100,000
Washington State Housing Finance Commission, 1.670%, 7/1/2028 (7)		2,505,000		2,505,000

				20,925,000

Wisconsin — 1.4%
Chippewa Falls Area Unified School District, 3.000%, 1/10/2019		1,225,000		1,228,035
Tender Option Bond Trust Receipts/Certificates, 1.600%, 7/1/2047 (5)(7)		2,385,000		2,385,000


Description	Shares or Principal Amount		Value
Municipals (continued)

Wisconsin (continued)
Wisconsin Health & Educational Facilities Authority, 1.640%, 5/1/2030 (7)	$	1,655,000	$	1,655,000

				5,268,035

Total Municipals				371,385,861

Mutual Funds — 2.5%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 1.840%		100,000		100,000
Federated Institutional Tax-Free Cash Trust — Institutional Class, 1.430%		9,455,886		9,455,886

Total Mutual Funds				9,555,886

Total Investments — 99.9% (at amortized cost)				380,941,747
Other Assets and Liabilities — 0.1%				371,386

Total Net Assets — 100.0%			$	381,313,133

Prime Money Market Fund


Description	Principal Amount		Value
Certificates of Deposit — 15.1%

Banks — 15.1%
Canadian Imperial Bank of Commerce, 2.410% (LIBOR 3 Month + 10 basis points), 9/20/2019 (10)	$	3,000,000	$	3,000,000
HSBC Bank USA NA:
2.287% (LIBOR 1 Month + 21 basis points), 11/20/2018 (10)		2,500,000		2,500,000
2.305% (LIBOR 1 Month + 24 basis points), 4/25/2019 (10)		3,000,000		3,000,000
2.324% (LIBOR 1 Month + 26 basis points), 11/16/2018 (10)		3,000,000		3,000,374
2.354% (LIBOR 1 Month + 24 basis points), 12/4/2018 (10)		2,500,000		2,500,000
Mitsubishi UFJ Trust & Banking Corp., 2.297% (LIBOR 1 Month + 23 basis points), 1/22/2019 (10)		2,500,000		2,500,000
Mizuho Bank, Ltd.:
2.255% (LIBOR 1 Month + 19 basis points), 3/11/2019 (10)		3,000,000		3,000,000
2.327% (LIBOR 1 Month + 25 basis points), 12/18/2018 (10)		3,000,000		3,000,000
2.383% (LIBOR 1 Month + 32 basis points), 9/10/2018 (10)		3,000,000		2,999,934
2.504% (LIBOR 1 Month + 44 basis points), 10/10/2018 (10)		2,500,000		2,500,000
2.643% (LIBOR 3 Month + 30 basis points), 4/30/2019 (10)		2,500,000		2,502,791
2.835% (LIBOR 3 Month + 50 basis points), 9/24/2018 (10)		1,000,000		1,000,189
MUFG Bank, Ltd., 2.440% (LIBOR 1 Month + 38 basis points), 10/17/2018 (10)		2,500,000		2,500,000
Nordea Bank AB, 2.467% (LIBOR 1 Month + 40 basis points), 3/14/2019 (10)		2,500,000		2,500,000

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

100



		BMO Funds

Prime Money Market Fund (continued)


Description	Principal Amount		Value
Certificates of Deposit (continued)

Banks (continued)
Norinchukin Bank, 2.381% (LIBOR 1 Month + 30 basis points), 9/4/2018 (10)	$	1,750,000	$	1,750,013
Sumitomo Mitsui Banking Corp.:
2.230% (LIBOR 1 Month + 17 basis points), 2/19/2019 (10)		3,000,000		3,000,000
2.273% (LIBOR 1 Month + 20 basis points), 3/28/2019 (10)		3,000,000		3,000,000
2.316% (LIBOR 1 Month + 25 basis points), 10/24/2018 (10)		2,500,000		2,500,000
Toronto-Dominion Bank:
2.400% (LIBOR 1 Month + 32 basis points), 9/5/2018 (10)		2,750,000		2,750,000
2.443% (LIBOR 3 Month + 11 basis points), 10/18/2018 (10)		2,000,000		2,000,514
2.469% (LIBOR 3 Month + 13 basis points), 7/16/2019 (10)		2,000,000		2,000,000
Wells Fargo Bank NA:
2.299% (LIBOR 1 Month + 22 basis points), 10/5/2018 (10)		2,000,000		2,000,000
2.307% (LIBOR 1 Month + 24 basis points), 11/9/2018 (10)		2,500,000		2,500,000
2.476% (LIBOR 3 Month + 14 basis points), 6/28/2019 (10)		3,000,000		3,000,000
2.491% (LIBOR 1 Month + 42 basis points), 10/9/2018 (10)		3,000,000		3,000,379
Westpac Banking Corp.:
2.370% (U.S. Federal Funds Effective Rate (continuous series) + 45 basis points), 2/15/2019 (10)		2,500,000		2,500,000
2.469% (LIBOR 3 Month + 13 basis points), 1/9/2019 (10)		3,000,000		3,000,000

Total Certificates of Deposit				69,504,194

Commercial Paper — 57.8%

Asset-Backed Securities — 37.4%
Atlantic Asset Securitization LLC:
2.239% (LIBOR 1 Month + 17 basis points), 2/21/2019 (5)(10)		3,000,000		3,000,000
2.306% 11/9/2018 (12)		3,000,000		2,987,005
2.307% (LIBOR 1 Month + 24 basis points), 12/14/2018 (5)(10)		2,500,000		2,500,000
2.364% (LIBOR 1 Month + 30 basis points), 11/16/2018 (5)(10)		3,000,000		3,000,000
2.380% (LIBOR 1 Month + 30 basis points), 11/6/2018 (5)(10)		3,000,000		3,000,000
Bedford Row Funding Corp.:
2.353% (LIBOR 1 Month + 29 basis points), 3/15/2019 (5)(10)		2,500,000		2,500,000
2.367% (LIBOR 1 Month + 30 basis points), 4/11/2019 (5)(10)		2,000,000		2,000,000
2.381% (LIBOR 1 Month + 30 basis points), 9/12/2018 (5)(10)		3,000,000		3,000,000
2.400% (LIBOR 1 Month + 32 basis points), 6/6/2019 (5)(10)		3,000,000		3,000,000
2.413% (LIBOR 1 Month + 35 basis points), 2/15/2019 (5)(10)		3,000,000		3,000,000
2.467% (LIBOR 3 Month + 13 basis points), 6/27/2019 (5)(10)		2,500,000		2,500,000


Description	Principal Amount		Value
Commercial Paper (continued)

Asset-Backed Securities (continued)
Chesham Finance, Ltd., 1.967% 9/4/2018 (12)	$	18,000,000	$	17,997,090
Lexington Parker Capital Co. LLC:
2.029% 9/7/2018 (12)		6,500,000		6,497,833
2.050% 9/4/2018 (12)		3,000,000		2,999,488
2.080% 9/5/2018 (12)		4,500,000		4,498,975
2.187% 9/7/2018 (12)		3,000,000		2,998,925
Liberty Street Funding LLC, 2.381% (LIBOR 1 Month + 30 basis points), 11/2/2018 (5)(10)		3,500,000		3,500,000
LMA Americas LLC:
1.998% 9/6/2018 (12)		6,000,000		5,998,358
2.345% 10/15/2018 (12)		3,000,000		2,991,567
2.401% 11/16/2018 (12)		3,000,000		2,985,117
2.499% 1/9/2019 (12)		2,000,000		1,982,378
2.556% 2/4/2019 (12)		3,000,000		2,967,630
Longship Funding LLC:
2.019% 9/5/2018 (12)		3,500,000		3,499,226
2.019% 9/6/2018 (12)		5,000,000		4,998,618
2.029% 9/11/2018 (12)		3,000,000		2,998,333
2.083% 9/17/2018 (12)		3,500,000		3,496,811
Manhattan Asset Funding Co. LLC:
2.187% 9/12/2018 (12)		3,000,000		2,998,029
2.390% (LIBOR 1 Month + 31 basis points), 11/5/2018 (5)(10)		2,500,000		2,500,000
Old Line Funding LLC:
2.405% (LIBOR 1 Month + 34 basis points), 10/25/2018 (5)(10)		3,000,000		3,000,000
2.570% (LIBOR 1 Month + 50 basis points), 3/21/2019 (5)(10)		2,500,000		2,500,000
Regency Markets No. 1 LLC:
2.029% 9/7/2018 (12)		7,500,000		7,497,500
2.072% 9/6/2018 (12)		3,500,000		3,499,008
2.082% 9/17/2018 (12)		5,000,000		4,995,444
Ridgefield Funding Co. LLC, 2.535% 11/13/2018 (12)		2,500,000		2,487,479
Sheffield Receivables Co. LLC:
2.305% 11/1/2018 (12)		3,500,000		3,486,597
2.323% 11/15/2018 (12)		3,000,000		2,985,750
2.324% 11/14/2018 (12)		3,500,000		3,483,597
2.371% 12/7/2018 (12)		3,500,000		3,478,121
Starbird Funding Corp.,, 1.978% 9/4/2018 (12)		17,500,000		17,497,156
Thunder Bay Funding LLC:
2.252% (LIBOR 1 Month + 17 basis points), 2/1/2019 (5)(10)		3,000,000		3,000,000
2.317% (LIBOR 1 Month + 25 basis points), 1/14/2019 (5)(10)		3,000,000		3,000,000
2.417% (LIBOR 1 Month + 34 basis points), 2/19/2019 (5)(10)		3,000,000		3,000,000
2.449% (LIBOR 1 Month + 37 basis points), 3/7/2019 (5)(10)		2,500,000		2,500,000

				172,806,035

Automobiles — 2.6%
Toyota Motor Credit Corp.:
2.330% (LIBOR 1 Month + 25 basis points), 9/4/2018 (10)		3,500,000		3,500,000

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

101

August 31, 2018



Schedules of Investments

Prime Money Market Fund (continued)


Description	Principal Amount		Value
Commercial Paper (continued)

Automobiles (continued)
2.358% (LIBOR 3 Month + 2 basis points), 1/3/2019 (10)	$	3,000,000	$	3,000,000
2.419% (LIBOR 3 Month + 8 basis points), 4/12/2019 (10)		3,000,000		3,000,000
2.450% (LIBOR 1 Month + 37 basis points), 10/3/2018 (10)		2,500,000		2,500,000

				12,000,000

Diversified Financial Services — 4.4%
Cargill Global Funding PLC, 1.978% 9/6/2018 (12)		5,000,000		4,998,646
Collateralized Commercial Paper Co. LLC:
2.514% 2/12/2019 (12)		3,000,000		2,966,517
2.536% 1/14/2019 (12)		3,000,000		2,972,212
2.545% (LIBOR 3 Month + 22 basis points), 12/20/2018 (10)		2,500,000		2,500,000
JP Morgan Securities LLC, 2.546% 2/25/2019 (12)		3,000,000		2,963,420
National Rural Utilities Cooperative Finance Corp., 2.030% 9/21/2018 (12)		4,000,000		3,995,556

				20,396,351

Foreign Banks — 8.4%
Bank of Nova Scotia/Houston, 2.290% (LIBOR 1 Month + 23 basis points), 9/17/2018 (10)		2,500,000		2,500,011
Commonwealth Bank of Australia:
2.267% (LIBOR 1 Month + 20 basis points), 10/11/2018 (5)(10)		2,500,000		2,500,000
2.285% (LIBOR 1 Month + 21 basis points), 11/30/2018 (5)(10)		2,500,000		2,499,942
Credit Suisse AG:
2.303% (LIBOR 1 Month + 24 basis points), 9/10/2018 (10)		3,000,000		3,000,000
2.327% (LIBOR 1 Month + 26 basis points), 10/22/2018 (10)		2,500,000		2,500,000
Mitsubishi UFJ Trust & Banking Corp., 2.345% (LIBOR 1 Month + 28 basis points), 1/25/2019 (10)		2,500,000		2,500,000
National Australia Bank, Ltd., 2.273% (LIBOR 1 Month + 20 basis points), 10/29/2018 (5)(10)		2,500,000		2,500,000
Natixis, NY Branch, 2.466% 12/14/2018 (12)		2,500,000		2,482,594
Swedbank, 1.989% 9/11/2018 (12)		5,000,000		4,997,278
Toronto-Dominion Bank:
2.272% 10/3/2018 (12)		2,000,000		2,000,000
2.316% 12/21/2018 (12)		2,500,000		2,500,000
2.353% 2/8/2019 (12)		3,500,000		3,499,226
2.497% (LIBOR 3 Month + 15 basis points), 4/23/2019 (5)(10)		3,000,000		3,000,000
Westpac Banking Corp., 2.253% (LIBOR 1 Month + 19 basis points), 9/10/2018 (5)(10)		2,500,000		2,500,000

				38,979,051


Description	Shares or Principal Amount		Value
Commercial Paper (continued)

Miscellaneous Manufacturing — 3.3%
General Electric Co.:
1.968% 9/4/2018 (12)	$	10,000,000	$	9,998,383
1.968% 9/6/2018 (12)		5,000,000		4,998,653

				14,997,036

Retail — 0.8%
Walmart, Inc., 2.011% 9/10/2018 (12)		3,500,000		3,498,268

Utilities — 0.9%
Praxair, Inc.,, 1.989% 9/4/2018 (12)		4,000,000		3,999,347

Total Commercial Paper				266,676,088

Municipals — 0.4%

Colorado — 0.4%
Colorado Housing & Finance Authority, 1.950%, 10/1/2036 (7)		2,080,000		2,080,000

Total Municipals				2,080,000

Mutual Funds — 3.9%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 1.840%		3,000,000		3,000,000
Invesco Government & Agency Portfolio — Institutional Class, 1.855%		15,000,000		15,000,000

Total Mutual Funds				18,000,000

Repurchase Agreements — 22.9%
Agreement with Fixed Income Clearing Corp., 1.000%, dated 8/31/2018, to be repurchased at $10,529,947 on 9/4/2018, collateralized by a U.S. Government Treasury Obligation with a maturity of 3/31/2019, with a fair value of $10,741,412	$	10,528,778		10,528,777
Agreement with Fixed Income Clearing Corp., 1.960%, dated 8/31/2018, to be repurchased at $45,009,800 on 9/4/2018, collateralized by U.S. Government Treasury Obligations with various maturities to 11/15/2043, with a fair value of $45,901,335		45,000,000		45,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.970%, dated 8/31/2018, to be repurchased at $50,010,944 on 9/4/2018, collateralized by a U.S. Government Agency Obligation with a maturity of 6/1/2048, with a fair value of $51,000,000		50,000,000		50,000,000

Total Repurchase Agreements				105,528,777

Total Investments — 100.1% (at amortized cost)				461,789,059
Other Assets and Liabilities — (0.1)%				(296,579	)

Total Net Assets — 100.0%			$	461,492,480

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

102



		BMO Funds

Institutional Prime Money Market Fund


Description	Principal Amount		Value
Certificates of Deposit — 17.0%

Banks — 17.0%
Canadian Imperial Bank of Commerce, 2.410% (LIBOR 3 Month + 10 basis points), 9/20/2019 (10)	$	3,500,000	$	3,500,185
HSBC Bank USA NA:
2.287% (LIBOR 1 Month + 21 basis points), 11/20/2018 (10)		2,500,000		2,501,095
2.305% (LIBOR 1 Month + 24 basis points), 4/25/2019 (10)		3,000,000		3,001,360
2.324% (LIBOR 1 Month + 26 basis points), 11/16/2018 (10)		3,000,000		3,001,621
2.354% (LIBOR 1 Month + 24 basis points), 12/4/2018 (10)		5,000,000		5,002,658
Mitsubishi UFJ Trust & Banking Corp., 2.297% (LIBOR 1 Month + 23 basis points), 1/22/2019 (10)		2,500,000		2,501,068
Mizuho Bank, Ltd.:
2.255% (LIBOR 1 Month + 19 basis points), 3/11/2019 (10)		3,500,000		3,499,898
2.327% (LIBOR 1 Month + 25 basis points), 12/18/2018 (10)		4,000,000		4,001,078
2.383% (LIBOR 1 Month + 32 basis points), 9/10/2018 (10)		3,250,000		3,250,378
2.503% (LIBOR 1 Month + 44 basis points), 10/10/2018 (10)		2,500,000		2,501,088
2.643% (LIBOR 3 Month + 30 basis points), 4/30/2019 (10)		5,500,000		5,505,855
MUFG Bank, Ltd., 2.440% (LIBOR 1 Month + 38 basis points), 10/17/2018 (10)		3,000,000		3,001,644
Nordea Bank AB, 2.467% (LIBOR 1 Month + 40 basis points), 3/14/2019 (10)		2,500,000		2,502,149
Norinchukin Bank, 2.381% (LIBOR 1 Month + 30 basis points), 9/4/2018 (10)		3,000,000		3,000,143
Sumitomo Mitsui Banking Corp.:
2.230% (LIBOR 1 Month + 17 basis points), 2/19/2019 (10)		3,500,000		3,500,000
2.273% (LIBOR 1 Month + 20 basis points), 3/28/2019 (10)		3,500,000		3,499,941
2.316% (LIBOR 1 Month + 25 basis points), 10/24/2018 (10)		2,500,000		2,500,685
Toronto-Dominion Bank:
2.400% (LIBOR 1 Month + 32 basis points), 9/5/2018 (10)		2,750,000		2,750,170
2.443% (LIBOR 3 Month + 11 basis points), 10/18/2018 (10)		3,000,000		3,001,558
2.469% (LIBOR 3 Month + 13 basis points), 7/16/2019 (10)		2,500,000		2,500,094
Wells Fargo Bank NA:
2.299% (LIBOR 1 Month + 22 basis points), 10/5/2018 (10)		3,000,000		3,000,892
2.307% (LIBOR 1 Month + 24 basis points), 11/9/2018 (10)		2,500,000		2,501,215
2.476% (LIBOR 3 Month + 14 basis points), 6/28/2019 (10)		3,500,000		3,500,411
2.491% (LIBOR 1 Month + 42 basis points), 10/9/2018 (10)		3,000,000		3,001,593
Westpac Banking Corp.:
2.370% (U.S. Federal Funds Effective Rate (continuous series) + 45 basis points), 2/15/2019 (10)		2,500,000		2,500,047


Description	Principal Amount		Value
Certificates of Deposit (continued)

Banks (continued)
2.469% (LIBOR 3 Month + 13 basis points), 1/9/2019 (10)	$	3,000,000	$	3,001,064

Total Certificates of Deposit (identified cost $82,007,846)				82,027,890

Commercial Paper — 61.1%

Asset-Backed Securities — 39.3%
Atlantic Asset Securitization LLC:
2.239% (LIBOR 1 Month + 17 basis points), 2/21/2019 (5)(10)		3,000,000		3,000,067
2.306% 11/9/2018 (12)		3,000,000		2,987,178
2.307% (LIBOR 1 Month + 24 basis points), 12/14/2018 (5)(10)		4,000,000		4,000,000
2.364% (LIBOR 1 Month + 30 basis points), 11/16/2018 (5)(10)		3,000,000		3,000,000
2.380% (LIBOR 1 Month + 30 basis points), 11/6/2018 (5)(10)		3,000,000		3,000,000
Bedford Row Funding Corp.:
2.353% (LIBOR 1 Month + 29 basis points), 3/15/2019 (5)(10)		4,500,000		4,500,000
2.367% (LIBOR 1 Month + 30 basis points), 4/11/2019 (5)(10)		2,500,000		2,500,000
2.381% (LIBOR 1 Month + 30 basis points), 9/12/2018 (5)(10)		3,000,000		3,000,431
2.400% (LIBOR 1 Month + 32 basis points), 6/6/2019 (5)(10)		4,000,000		4,004,726
2.413% (LIBOR 1 Month + 35 basis points), 2/15/2019 (5)(10)		3,000,000		3,003,423
2.467% (LIBOR 3 Month + 13 basis points), 6/27/2019 (5)(10)		2,500,000		2,500,000
Chesham Finance, Ltd., 1.967% 9/4/2018 (12)		19,000,000		18,995,828
Lexington Parker Capital Co. LLC:
2.029% 9/7/2018 (12)		6,500,000		6,497,466
2.080% 9/5/2018 (12)		5,500,000		5,498,477
2.081% 9/4/2018 (12)		4,000,000		3,999,116
2.187% 9/7/2018 (12)		3,000,000		2,998,830
Liberty Street Funding LLC, 2.381% (LIBOR 1 Month + 30 basis points), 11/2/2018 (5)(10)		3,500,000		3,502,007
LMA Americas LLC:
1.998% 9/6/2018 (12)		5,000,000		4,998,382
2.345% 10/15/2018 (12)		3,000,000		2,992,256
2.381% 12/14/2018 (12)		3,000,000		2,979,822
2.401% 11/16/2018 (12)		3,000,000		2,985,774
2.499% 1/9/2019 (12)		2,650,000		2,627,204
2.556% 2/4/2019 (12)		3,000,000		2,968,522
Longship Funding LLC:
2.019% 9/5/2018 (12)		5,000,000		4,998,616
2.019% 9/6/2018 (12)		5,000,000		4,998,338
2.029% 9/11/2018 (12)		3,000,000		2,998,167
2.083% 9/17/2018 (12)		3,500,000		3,496,675
Manhattan Asset Funding Co. LLC, 2.390% (LIBOR 1 Month + 31 basis points), 11/5/2018 (5)(10)		3,000,000		3,001,382

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

103

August 31, 2018



Schedules of Investments

Institutional Prime Money Market Fund (continued)


Description	Principal Amount		Value
Commercial Paper (continued)

Asset-Backed Securities (continued)
Old Line Funding LLC:
2.405% (LIBOR 1 Month + 34 basis points), 10/25/2018 (5)(10)	$	3,000,000	$	3,000,000
2.570% (LIBOR 1 Month + 50 basis points), 3/21/2019 (5)(10)		2,500,000		2,504,890
Regency Markets No. 1 LLC:
2.029% 9/7/2018 (12)		7,500,000		7,497,105
2.072% 9/6/2018 (12)		5,000,000		4,998,348
2.082% 9/17/2018 (12)		5,000,000		4,995,242
Ridgefield Funding Co. LLC, 2.535% 11/13/2018 (12)		3,500,000		3,483,956
Sheffield Receivables Co. LLC:
2.305% 11/1/2018 (12)		4,000,000		3,985,354
2.323% 11/15/2018 (12)		3,000,000		2,986,067
2.324% 11/14/2018 (12)		3,500,000		3,483,995
2.371% 12/7/2018 (12)		3,500,000		3,478,191
Starbird Funding Corp.,, 1.978% 9/4/2018 (12)		17,500,000		17,496,158
Thunder Bay Funding LLC:
2.252% (LIBOR 1 Month + 17 basis points), 2/1/2019 (5)(10)		3,000,000		3,000,000
2.317% (LIBOR 1 Month + 25 basis points), 1/14/2019 (5)(10)		3,500,000		3,500,000
2.417% (LIBOR 1 Month + 34 basis points), 2/19/2019 (5)(10)		3,000,000		3,000,000
2.449% (LIBOR 1 Month + 37 basis points), 3/7/2019 (5)(10)		2,500,000		2,502,821
Victory Receivables Corp., 2.347% 9/17/2018 (12)		3,500,000		3,496,675

				189,441,489

Automobiles — 2.7%
Toyota Motor Credit Corp.:
2.330% (LIBOR 1 Month + 25 basis points), 9/4/2018 (10)		3,500,000		3,500,147
2.358% (LIBOR 3 Month + 2 basis points), 1/3/2019 (10)		3,500,000		3,500,000
2.419% (LIBOR 3 Month + 8 basis points), 4/12/2019 (10)		3,500,000		3,500,000
2.450% (LIBOR 1 Month + 37 basis points), 10/3/2018 (10)		2,500,000		2,500,000

				13,000,147

Diversified Financial Services — 4.5%
Cargill Global Funding PLC, 1.978% 9/6/2018 (12)		5,000,000		4,998,399
Collateralized Commercial Paper Co. LLC:
2.514% 2/12/2019 (12)		3,000,000		2,966,478
2.536% 1/14/2019 (12)		3,500,000		3,468,769
2.545% (LIBOR 3 Month + 22 basis points), 12/20/2018 (10)		2,500,000		2,501,261
JP Morgan Securities LLC, 2.546% 2/25/2019 (12)		3,500,000		3,457,567
National Rural Utilities Cooperative Finance Corp., 2.030% 9/21/2018 (12)		4,200,000		4,195,161

				21,587,635


Description	Shares or Principal Amount		Value
Commercial Paper (continued)

Foreign Banks — 9.9%
Bank of Nova Scotia/Houston, 2.290% (LIBOR 1 Month + 23 basis points), 9/17/2018 (10)	$	2,500,000	$	2,500,367
Commonwealth Bank of Australia:
2.267% (LIBOR 1 Month + 20 basis points), 10/11/2018 (5)(10)		3,000,000		3,000,915
2.285% (LIBOR 1 Month + 21 basis points), 11/30/2018 (5)(10)		2,500,000		2,501,068
2.448% (LIBOR 3 Month + 10 basis points), 5/3/2019 (5)(10)		5,500,000		5,500,529
Credit Suisse AG:
2.304% (LIBOR 1 Month + 24 basis points), 9/10/2018 (10)		3,000,000		3,000,285
2.327% (LIBOR 1 Month + 26 basis points), 10/22/2018 (10)		2,500,000		2,501,079
Mitsubishi UFJ Trust & Banking Corp., 2.345% (LIBOR 1 Month + 28 basis points), 1/25/2019 (10)		3,500,000		3,502,221
National Australia Bank, Ltd., 2.273% (LIBOR 1 Month + 20 basis points), 10/29/2018 (5)(10)		3,000,000		3,001,096
Natixis, NY Branch, 2.466% 12/14/2018 (12)		2,500,000		2,483,338
Swedbank, 1.989% 9/11/2018 (12)		5,000,000		4,997,065
Toronto-Dominion Bank:
2.272% 10/3/2018 (12)		2,500,000		2,499,708
2.316% 12/21/2018 (7)		2,500,000		2,501,302
2.353% 2/8/2019 (7)		3,500,000		3,502,584
2.497% (LIBOR 3 Month + 15 basis points), 4/23/2019 (5)(10)		3,000,000		3,002,148
Westpac Banking Corp., 2.253% (LIBOR 1 Month + 19 basis points), 9/10/2018 (5)(10)		3,000,000		3,000,241

				47,493,946

Miscellaneous Manufacturing — 3.1%
General Electric Co.:
1.968% 9/4/2018 (12)		10,000,000		9,997,848
1.968% 9/6/2018 (12)		5,000,000		4,998,383

				14,996,231

Retail — 0.7%
Walmart, Inc., 2.011% 9/10/2018 (12)		3,500,000		3,498,118

Utilities — 0.9%
Praxair, Inc.,, 1.989% 9/4/2018 (12)		4,350,000		4,349,072

Total Commercial Paper (identified cost $294,330,583)				294,366,638

Mutual Funds — 3.3%
Invesco Government & Agency Portfolio — Institutional Class, 1.855%		15,743,894		15,743,894

Total Mutual Funds (identified cost $15,743,894)				15,743,894

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

104



		BMO Funds

Institutional Prime Money Market Fund (continued)


Description	Principal Amount		Value
Repurchase Agreements — 18.7%
Agreement with Fixed Income Clearing Corp., 1.960%, dated 8/31/2018, to be repurchased at $40,008,711 on 9/4/2018, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/15/2042, with a fair value of $40,802,441	$	40,000,000	$	40,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.970%, dated 8/31/2018, to be repurchased at $50,010,944 on 9/4/2018, collateralized by U.S. Government Agency Obligations with various maturities to 6/1/2048, with a fair value of $51,000,000		50,000,000		50,000,000

Total Repurchase Agreements (identified cost $90,000,000)				90,000,000

Total Investments — 100.1% (identified cost $482,082,323)				482,138,422
Other Assets and Liabilities — (0.1)%				(324,012	)

Total Net Assets — 100.0%			$	481,814,410

(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, 2018. 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, 2018. Maturity dates contained within the Schedules of Investments represent the stated legal maturity date or mandatory put date. Certain securities may be subject to demand features which allow the security to be redeemed prior to final maturity date. In accordance with Rule 2a-7, securities held in the money market funds provide for the return of principal and interest within 397 days due to a scheduled final maturity date or through specific demand features. Demand features entitle a Fund to receive the principal amount of the instrument from the issuer or a third party (1) on no more than 30 calendar days’ notice or (2) at specified intervals not exceeding 397 calendar days.

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

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

(2)	Non-income producing.

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

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

(5)	Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At August 31, 2018 these securities amounted to:


Fund	Amount		% of Total Net Assets
Global Low Volatility Equity Fund	$	1,020,256		3.34	%

Disciplined International Equity Fund		4,160,141		5.37

Alternative Strategies Fund

Long		182,638		0.25

Short		676,811		0.92

Global Long/Short Equity Fund

Long		105,303		1.06

Short		259,326		2.61

Ultra Short Tax-Free Fund		147,017,607		24.50

Short Tax-Free Fund		32,475,671		17.23


Fund	Amount		% of Total Net Assets
Short-Term Income Fund	$	39,671,275		16.52	%

Intermediate Tax-Free Fund		169,630,650		9.53

Strategic Income Fund		26,622,651		30.95

TCH Corporate Income Fund		28,313,569		11.57

TCH Core Plus Bond Fund		90,465,489		8.65

High Yield Bond Fund		4,060,343		35.85

Tax-Free Money Market Fund		107,585,000		28.21

Prime Money Market Fund		63,499,942		13.76

Institutional Prime Money Market Fund		76,525,742		15.88

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

(7)

Denotes a variable rate security. The rate shown is the current interest rate as of August 31, 2018. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

(8)

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.

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

(10)	Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2018.

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

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

The following acronyms may be referenced throughout this report:

ACA — American Capital Access Corporation

ADED — Arkansas Department of Economic Development

ADR — American Depository Receipt

AGC — Assured Guaranty Corporation

AGM — Assured Guaranty Municipal

AMBAC — American Municipal Bond Assurance Corporation

AMT — Alternative Minimum Tax

BAM — Build America Mutual Assurance Company

BHAC — Berkshire Hathaway Assurance Corporation

BMA — Bond Market Association

CFC — Cooperative Finance Corporation

CIFG — CDC IXIS Financial Guaranty

CMI — California Mortgage Insurance

COLL — Collateralized

ETF — Exchange Traded Fund

FDIC — Federal Depository Insurance Corporation

FGIC — Financial Guaranty Insurance Corporation

FHA — Federal Housing Administration

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FRN — Floating Rate Note

FSA — Financial Security Assurance Corporation

GDR — Global Depository Receipt

GNMA — Government National Mortgage Association

GO — Government Obligation

HFDC — Health Facility Development Corporation

HUD — Department of Housing and Urban Development

IDC — Industrial Development Corporation

IMI — Investors Mortgage Insurance Company

INS — Insured

LIBOR — London Interbank Offered Rate

LIQ — Liquidity Agreement

LLC — Limited Liability Corporation

LOC — Letter of Credit

LP — Limited Partnership

LT — Limited Tax

MAC — Municipal Assurance Corporation

MBIA — Municipal Bond Insurance Association

MHF — Maryland Housing Fund

MTN — Medium Term Note

NATL — National Public Finance Guarantee

PCA — Pollution Control Authority

PLC — Public Limited Company

PSF — Permanent School Fund Guaranteed

PUFG — Permanent University Fund Guarantee

Q-SBLF — Qualified School Bond Loan Fund

RADIAN — Radian Asset Assurance

REITs — Real Estate Investment Trusts

REMIC — Real Estate Mortgage Investment Conduit

SAW — State Aid Withholding

SIFMA — Securities Industry and Financial Markets Association

TCRs — Transferable Custody Receipts

TLGP — Temporary Liquidity Guarantee Program

TRANs — Tax and Revenue Anticipation Notes

UT — Unlimited Tax

VRNs — Variable Rate Notes

XLCA — XL Capital Assurance

106

August 31, 2018



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	$	184,349,512	(1)	$	221,941,949	(1)	$	542,574,580	(1)	$	550,133,825	(1)	$	290,877,732	(1)
Cash sweep investments in affiliated issuers, at value		1,494,204			3,591,099			7,482,313			6,735,831			2,420,873
Dividends and interest receivable		301,845			428,394			1,101,990			495,018			339,150
Receivable for capital stock sold		84,782			489,996			334,508			265,966			64,720
Prepaid expenses and other receivables		25,496			16,167			25,636			34,621			26,522

Total assets		186,255,839			226,467,605			551,519,027			557,665,261			293,728,997

Liabilities:
Payable for return of securities lending collateral		57,761,573			70,677,075			159,109,849			150,732,234			93,348,421
Payable for investments purchased		—			521,155			—			—			—
Payable for capital stock redeemed		18,732			66,040			138,886			295,993			58,659
Payable to affiliates, net (Note 6)		61,759			67,139			147,493			157,151			164,027
Other liabilities		28,405			34,930			50,119			56,288			48,319

Total liabilities		57,870,469			71,366,339			159,446,347			151,241,666			93,619,426

Total net assets	$	128,385,370		$	155,101,266		$	392,072,680		$	406,423,595		$	200,109,571

Net assets consist of:
Paid-in capital	$	93,369,737		$	111,124,509		$	296,190,746		$	231,589,557		$	151,686,565
Net unrealized appreciation on investments		24,572,346			36,848,088			63,585,494			128,944,804			27,011,496
Accumulated net realized gain on investments		10,151,006			6,492,524			30,751,531			43,871,677			20,091,747
Undistributed net investment income		292,281			636,145			1,544,909			2,017,557			1,319,763

Total net assets	$	128,385,370		$	155,101,266		$	392,072,680		$	406,423,595		$	200,109,571

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	$	—		$	—		$	—		$	20.95		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		15.72			15.46			16.59			20.96			12.64
Offering price per share(2)		16.55			16.27			17.46			22.06			13.31
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		15.77			15.41			16.61			21.17			12.58
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			16.62			21.21			12.60

Net assets:
Investor class of shares	$	—		$	—		$	—		$	65,364,865		$	—
Advisor class of shares		25,570,611			6,091,946			22,601,811			860,181			55,150,530
Institutional class of shares		102,814,759			149,009,320			287,685,063			279,227,390			113,786,329
Retirement class R-6 of shares		—			—			81,785,806			60,971,159			31,172,712

Total net assets	$	128,385,370		$	155,101,266		$	392,072,680		$	406,423,595		$	200,109,571

Shares outstanding:
Investor class of shares		—			—			—			3,119,844			—
Advisor class of shares		1,627,133			394,151			1,362,005			41,046			4,361,524
Institutional class of shares		6,518,694			9,670,471			17,317,385			13,190,464			9,044,942
Retirement class R-6 of shares		—			—			4,921,244			2,874,962			2,474,714

Total shares outstanding		8,145,827			10,064,622			23,600,634			19,226,316			15,881,180

Investments, at cost:
Investments in unaffiliated issuers	$	159,777,525		$	185,094,411		$	478,990,132		$	421,189,102		$	263,866,820
Cash sweep investments in affiliated issuers		1,493,845			3,590,549			7,481,268			6,735,750			2,420,289

Total investments, at cost	$	161,271,370		$	188,684,960		$	486,471,400		$	427,924,852		$	266,287,109

(1)	Including $56,485,120, $69,115,207, $155,593,737, $147,401,256 and $91,285,547, respectively, of securities on loan. A security on loan value represents both fair 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, 2018



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	$	185,328,597	(1)	$	111,099,954	(1)	$	35,168,773	(1)	$	220,459,543	(1)	$	32,256,957	(1)
Cash sweep investments in affiliated issuers, at value		1,583,732			1,486,191			440,742			2,038,642			143,976
Cash denominated in foreign currencies		—			—			—			—			153,319	(2)
Dividends and interest receivable		75,646			68,121			15,893			75,015			88,482
Receivable for investments sold		—			—			—			1,018,111			—
Receivable for capital stock sold		42,815			19,552			5,000			26,225			—
Prepaid expenses and other receivables		27,523			23,585			16,186			25,657			25,460

Total assets		187,058,313			112,697,403			35,646,594			223,643,193			32,668,194

Liabilities:
Payable for return of securities lending collateral		58,405,407			36,689,352			11,219,203			68,845,157			2,034,554
Payable for investments purchased		—			—			—			1,474,777			—
Payable for capital stock redeemed		82,544			64,428			—			59,930			—
Payable for foreign tax expense		—			—			—			—			4,785
Payable to affiliates, net (Note 6)		96,740			57,227			12,772			133,178			52,257
Other liabilities		41,242			37,966			19,106			47,013			32,763

Total liabilities		58,625,933			36,848,973			11,251,081			70,560,055			2,124,359

Total net assets	$	128,432,380		$	75,848,430		$	24,395,513		$	153,083,138		$	30,543,835

Net assets consist of:
Paid-in capital	$	82,156,642		$	58,706,478		$	18,214,323		$	100,674,544		$	20,775,943
Net unrealized appreciation on investments and foreign currency translation		29,567,495			12,344,094			4,288,192			34,446,566			4,661,215
Accumulated net realized gain on investments and foreign currency transactions		16,708,243			4,471,406			1,884,718			17,962,028			4,649,465
Undistributed net investment income		—			326,452			8,280			—			457,212

Total net assets	$	128,432,380		$	75,848,430		$	24,395,513		$	153,083,138		$	30,543,835

Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Advisor class of shares:
Net asset value and redemption proceeds per share	$	17.96		$	14.78		$	15.11		$	21.60		$	14.00
Offering price per share(3)		18.91			15.56			15.91			22.74			14.74
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		18.79			15.03			15.23			22.48			14.05
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		18.91			15.13			—			—			—

Net assets:
Advisor class of shares	$	16,399,393		$	4,741,031		$	2,988,199		$	53,772,320		$	338,843
Institutional class of shares		89,028,384			56,847,789			21,407,314			99,310,818			30,204,992
Retirement class R-6 of shares		23,004,603			14,259,610			—			—			—

Total net assets	$	128,432,380		$	75,848,430		$	24,395,513		$	153,083,138		$	30,543,835

Shares outstanding:
Advisor class of shares		913,057			320,818			197,802			2,489,965			24,207
Institutional class of shares		4,737,983			3,782,291			1,405,563			4,417,406			2,149,827
Retirement class R-6 of shares		1,216,398			942,335			—			—			—

Total shares outstanding		6,867,438			5,045,444			1,603,365			6,907,371			2,174,034

Investments, at cost:
Investments in unaffiliated issuers	$	155,761,254		$	98,756,014		$	30,880,647		$	186,013,294		$	27,593,826
Cash sweep investments in affiliated issuers		1,583,580			1,486,037			440,676			2,038,325			143,962

Total investments, at cost	$	157,344,834		$	100,242,051		$	31,321,323		$	188,051,619		$	27,737,788

(1)	Including $57,114,727, $35,878,567, $10,971,274, $67,323,772 and $1,900,206, respectively, of securities on loan. A security on loan value represents both fair value and accrued interest.

(2)	Identified cost of cash denominated in foreign currencies is $155,490.

(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, 2018



Statements of Assets and Liabilities		BMO Funds



	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund			Global Long/Short Equity Fund
Assets:
Investments in unaffiliated issuers, at value	$	75,261,677	(1)	$	645,303,793	(1)	$	201,963,493	(1)	$	50,336,275		$	10,065,912	(1)
Cash sweep investments in affiliated issuers, at value		2,615,976			16,792,467			7,268,280			24,540,402			3,434,203
Purchased options, at value		—			—			—			117,942			—
Cash		—			322			—			—			—
Deposit held at broker for:
Securities sold short		—			—			—			11,745,800			—
Options		—			—			—			98,554			—
Futures contracts		—			—			—			3,145,541			—
Forward foreign currency contracts		—			—			—			26,700			—
Cash denominated in foreign currencies		142,737	(2)		339,015	(2)		231,518	(2)		2,096,743	(2)		—
Dividends and interest receivable		417,135			5,142,543			640,014			182,156			39,894
Receivable for investments sold		—			91,366			441,203			1,484,860			462,821
Receivable for capital stock sold		2,349			1,496,421			705,538			53,632			—
Receivable for daily variation margin on futures contracts		—			—			—			286,621			—
Receivable for forward foreign currency contracts		—			—			—			487,075			—
Prepaid expenses and other receivables		38,322			49,769			17,275			22,551			39,577

Total assets		78,478,196			669,215,696			211,267,321			94,624,852			14,042,407

Liabilities:
Securities sold short, at value (proceeds $18,096,373 and $3,323,077, respectively)		—			—			—			18,875,334			3,642,216
Options written, at value (proceeds $116,426)		—			—			—			104,177			—
Payable for dividends and interest on securities sold short		—			—			—			27,226			3,658
Payable for return of securities lending collateral		819,722			13,620,020			1,923,465			—			293,674
Payable for investments purchased		33			446			996,376			714,912			52,209
Payable for capital stock redeemed		2			386,551			335,148			—			—
Payable for daily variation margin on futures contracts		—			—			—			922,814			—
Payable for forward foreign currency contracts		—			—			—			307,154			—
Payable for foreign tax expense		8,513			145,166			897,511			5,104			3,428
Payable to affiliates, net (Note 6)		94,179			503,854			205,063			206,353			14,702
Payable to custodian		—			—			—			11,041			56,676
Other liabilities		30,075			107,364			91,909			130,661			26,309

Total liabilities		952,524			14,763,401			4,449,472			21,304,776			4,092,872

Total net assets	$	77,525,672		$	654,452,295		$	206,817,849		$	73,320,076		$	9,949,535

Net assets consist of:
Paid-in capital	$	72,130,619		$	614,261,681		$	174,587,850		$	73,209,127		$	9,150,252
Net unrealized appreciation on investments, options, futures contracts and foreign currency translation		4,507,424			66,531,543			25,747,810			2,167,026			896,776
Accumulated net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		(373,989	)		(41,606,748	)		4,495,285			(1,056,838	)		(141,673	)
Undistributed net investment income (distributions in excess of net investment income)		1,261,618			15,265,819			1,986,904			(999,239	)		44,180

Total net assets	$	77,525,672		$	654,452,295		$	206,817,849		$	73,320,076		$	9,949,535

Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Advisor class of shares:
Net asset value and redemption proceeds per share	$	10.94		$	13.43		$	16.04		$	9.73		$	12.00
Offering price per share(3)		11.52			14.14			16.88			10.24			12.63
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.96			13.18			15.99			9.82			12.04
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			13.20			—			—			—
Class F-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			13.20			—			—			—

Net assets:
Advisor class of shares	$	186,295		$	6,036,608		$	4,982,868		$	70,441		$	801,051
Institutional class of shares		77,339,377			485,053,050			201,834,981			73,249,635			9,148,484
Retirement class R-6 of shares		—			155,367,646			—			—			—
Class F-3 of shares		—			7,994,991			—			—			—

Total net assets	$	77,525,672		$	654,452,295		$	206,817,849		$	73,320,076		$	9,949,535

Shares outstanding:
Advisor class of shares		17,030			449,359			310,692			7,240			66,732
Institutional class of shares		7,053,667			36,797,711			12,619,379			7,461,651			759,666
Retirement class R-6 of shares		—			11,769,495			—			—			—
Class F-3 of shares		—			605,638			—			—			—

Total shares outstanding		7,070,697			49,622,203			12,930,071			7,468,891			826,398

(Continued on next page)

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

109

August 31, 2018



Statements of Assets and Liabilities		BMO Funds



	Disciplined International Equity Fund		Pyrford International Stock Fund		LGM Emerging Markets Equity Fund		Alternative Strategies Fund		Global Long/Short Equity Fund
Investments, at cost:
Investments in unaffiliated issuers	$	70,758,842	$	578,770,386	$	176,210,026	$	46,914,429	$	8,851,431
Cash sweep investments in affiliated issuers		2,615,839		16,791,488		7,266,798		24,535,211		3,433,837
Purchased options		—		—		—		150,024		—

Total investments, at cost	$	73,374,681	$	595,561,874	$	183,476,824	$	71,599,664	$	12,285,268

(1)	Including $776,193, $12,915,448, $1,791,291 and $286,005, respectively, of securities on loan. A security on loan value represents both fair value and accrued interest.

(2)	Identified cost of cash denominated in foreign currencies are $140,746, $338,290, $235,344 and $2,103,555, respectively.

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

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

110

August 31, 2018



Statements of Assets and Liabilities		BMO Funds



	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Strategic Income Fund
Assets:
Investments in unaffiliated issuers, at value	$	606,055,626		$	189,667,410		$	275,007,955	(1)	$	1,768,372,362		$	102,664,003	(1)
Cash sweep investments in affiliated issuers, at value		159,901			121,200			3,242,065			85,922			5,787,248
Investments in other affiliated issuers, at value		—			875,303			—			5,162,410			—
Deposit held at broker		—			—			—			—			100,365
Dividends and interest receivable		2,687,673			1,520,076			1,012,336			16,858,981			972,585
Receivable for investments sold		—			—			—			6,000,526			1,284,260
Receivable for capital stock sold		554,151			31,365			233,541			2,046,462			6,690
Prepaid expenses and other receivables		31,865			25,449			22,337			56,204			29,630

Total assets		609,489,216			192,240,803			279,518,234			1,798,582,867			110,844,781

Liabilities:
Payable for return of securities lending collateral		—			—			38,006,514			—			21,425,129
Payable for investments purchased		7,278,418			3,379,017			497,609			14,951,758			1,934,528
Payable for capital stock redeemed		1,482,809			49,737			652,172			2,705,968			65,873
Payable for foreign tax expense		—			—			477			—			—
Payable to affiliates, net (Note 6)		145,229			68,657			57,436			541,178			50,538
Payable for income distribution		422,300			178,355			180,027			887,982			15,832
Payable to custodian		74			—			—			—			1,284,260
Other liabilities		56,909			41,041			44,754			137,198			41,677

Total liabilities		9,385,739			3,716,807			39,438,989			19,224,084			24,817,837

Total net assets	$	600,103,477		$	188,523,996		$	240,079,245		$	1,779,358,783		$	86,026,944

Net assets consist of:
Paid-in capital	$	600,045,145		$	188,636,829		$	243,571,379		$	1,754,868,637		$	91,229,848
Net unrealized appreciation (depreciation) on investments		77,988			89,475			(1,500,880	)		35,408,742			(2,120,439	)
Accumulated net realized loss on investments		—			(204,319	)		(1,996,283	)		(10,918,303	)		(3,066,633	)
Undistributed net investment income (distributions in excess of net investment income)		(19,656	)		2,011			5,029			(293	)		(15,832	)

Total net assets	$	600,103,477		$	188,523,996		$	240,079,245		$	1,779,358,783		$	86,026,944

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	$	—		$	—		$	—		$	11.13		$	9.08
Advisor class of shares:
Net asset value and redemption proceeds per share		10.07			10.14			9.27			11.13			9.08
Offering price per share		10.28	(2)		10.35	(2)		9.46	(2)		11.53	(3)		9.41	(3)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.06			10.14			9.29			11.12			9.08

Net assets:
Investor class of shares	$	—		$	—		$	—		$	870,194,683		$	59,723,775
Advisor class of shares		27,434,256			6,501,787			26,010,998			14,701,169			13,601,933
Institutional class of shares		572,669,221			182,022,209			214,068,247			894,462,931			12,701,236

Total net assets	$	600,103,477		$	188,523,996		$	240,079,245		$	1,779,358,783		$	86,026,944

Shares outstanding:
Investor class of shares		—			—			—			78,210,839			6,575,415
Advisor class of shares		2,724,111			641,359			2,806,410			1,321,335			1,497,581
Institutional class of shares		56,904,828			17,944,309			23,053,631			80,413,820			1,399,400

Total shares outstanding		59,628,939			18,585,668			25,860,041			159,945,994			9,472,396

Investments, at cost:
Investments in unaffiliated issuers	$	605,977,638		$	189,575,417		$	276,509,458		$	1,732,948,587		$	104,784,928
Cash sweep investments in affiliated issuers		159,901			121,200			3,241,442			85,922			5,786,762
Investments in other affiliated issuers		—			877,821			—			5,177,443			—

Total investments, at cost	$	606,137,539		$	190,574,438		$	279,750,900		$	1,738,211,952		$	110,571,690

(1)	Including $37,166,621 and $20,951,662, respectively, of securities on loan. A security on loan value represents both fair 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, 2018



Statements of Assets and Liabilities		BMO Funds



	TCH Corporate Income Fund			TCH Core Plus Bond Fund			High Yield Bond Fund
Assets:
Investments in unaffiliated issuers, at value	$	288,498,754	(1)	$	1,362,578,462	(1)	$	15,340,833	(1)
Cash sweep investments in affiliated issuers, at value		4,850,884			40,862,111			813,997
Deposit held at broker		250,913			250,912			—
Dividends and interest receivable		2,279,770			6,614,926			173,708
Receivable for investments sold		—			—			49,698
Receivable for capital stock sold		217,853			765,940			2,285
Prepaid expenses and other receivables		20,430			31,375			14,841

Total assets		296,118,604			1,411,103,726			16,395,362

Liabilities:
Payable for return of securities lending collateral		50,798,784			363,577,000			4,935,287
Payable for investments purchased		—			—			44,847
Payable for capital stock redeemed		138,461			1,080,016			1,657
Payable to affiliates, net (Note 6)		78,206			232,593			23,288
Payable for income distribution		278,988			271,744			3,660
Payable to custodian		—			—			23,620
Other liabilities		41,105			91,021			37,395

Total liabilities		51,335,544			365,252,374			5,069,754

Total net assets	$	244,783,060		$	1,045,851,352		$	11,325,608

Net assets consist of:
Paid-in capital	$	246,211,131		$	1,062,466,971		$	14,517,881
Net unrealized depreciation on investments		(2,292,760	)		(9,334,418	)		(73,275	)
Accumulated net realized gain (loss) on investments		863,445			(7,265,154	)		(3,115,338	)
Undistributed net investment income (distributions in excess of net investment income)		1,244			(16,047	)		(3,660	)

Total net assets	$	244,783,060		$	1,045,851,352		$	11,325,608

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	$	12.79		$	11.41		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		12.79			11.41			9.25
Offering price per share(2)		13.25			11.41			9.59
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		12.78			11.40			9.24

Net assets:
Investor class of shares	$	102,523,494		$	61,251,011		$	—
Advisor class of shares		1,864,464			3,031,610			864,038
Institutional class of shares		140,395,102			981,568,731			10,461,570

Total net assets	$	244,783,060		$	1,045,851,352		$	11,325,608

Shares outstanding:
Investor class of shares		8,013,004			5,369,009			—
Advisor class of shares		145,740			265,756			93,457
Institutional class of shares		10,985,277			86,067,804			1,132,680

Total shares outstanding		19,144,021			91,702,569			1,226,137

Investments, at cost:
Investments in unaffiliated issuers	$	290,791,775		$	1,371,917,732		$	15,414,187
Cash sweep investments in affiliated issuers		4,850,623			40,857,259			813,918

Total investments, at cost	$	295,642,398		$	1,412,774,991		$	16,228,105

(1)	Including $49,676,200, $355,542,440 and $4,826,224, respectively, of securities on loan. A security on loan value represents both fair 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, 2018



Statements of Assets and Liabilities		BMO Funds



	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Assets:
Investments in unaffiliated issuers, at value	$	2,087,836,765		$	380,941,747		$	356,260,282		$	392,138,422
Investments in repurchase agreements		1,303,479,468			—			105,528,777			90,000,000
Cash		—			1,000			—			—
Dividends and interest receivable		2,394,145			809,594			303,507			327,009
Receivable for capital stock sold		98,561			—			—			—
Prepaid expenses and other receivables		20,859			21,178			40,645			10,915

Total assets		3,393,829,798			381,773,519			462,133,211			482,476,346

Liabilities:
Payable for capital stock redeemed		2,917			—			1,879			—
Payable to affiliates, net (Note 6)		519,975			39,217			99,773			6,665
Payable for income distribution		4,112,713			367,182			460,504			561,043
Other liabilities		144,101			53,987			78,575			94,228

Total liabilities		4,779,706			460,386			640,731			661,936

Total net assets	$	3,389,050,092		$	381,313,133		$	461,492,480		$	481,814,410

Net assets consist of:
Paid-in capital	$	3,389,050,233		$	381,313,079		$	461,516,447		$	481,741,873
Net unrealized appreciation on investments		—			—			—			56,099
Accumulated net realized gain on investments		200			24,255			—			—
Undistributed net investment income (distributions in excess of net investment income)		(341	)		(24,201	)		(23,967	)		16,438

Total net assets	$	3,389,050,092		$	381,313,133		$	461,492,480		$	481,814,410

Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	1.00		$	1.00		$	1.00		$	1.0001
Premier class of shares:
Net asset value, offering price and redemption proceeds per share		1.00			1.00			1.00			1.0001

Net assets:
Investor class of shares	$	747,980,742		$	75,889,170		$	193,005,925		$	2,400,949
Premier class of shares		2,641,069,350			305,423,963			268,486,555			479,413,461

Total net assets	$	3,389,050,092		$	381,313,133		$	461,492,480		$	481,814,410

Shares outstanding:
Investor class of shares		747,982,076			75,886,785			193,067,924			2,400,785
Premier class of shares		2,641,068,157			305,453,963			268,448,574			479,376,077

Total shares outstanding		3,389,050,233			381,340,748			461,516,498			481,776,862

Investments, at cost:
Investments in unaffiliated issuers	$	3,391,316,233		$	380,941,747		$	461,789,059		$	482,082,323

Total investments, at cost	$	3,391,316,233		$	380,941,747		$	461,789,059		$	482,082,323

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

113

Year Ended August 31, 2018



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	$	2,988,441	(1)	$	3,735,207		$	8,003,134		$	4,304,149		$	3,988,877
Affiliated issuers		30,037			37,587			86,527			79,081			40,465
Net securities lending income (Note 6)		64,238			61,331			149,457			235,653			89,244

Total income:		3,082,716			3,834,125			8,239,118			4,618,883			4,118,586

Expenses:
Investment advisory fees (Note 6)		719,277			655,187			1,510,324			1,590,581			1,403,156
Shareholder servicing fees (Note 6)		—			—			—			188,242			—
Administration fees (Note 6)		215,783			196,556			483,853			528,627			273,945
Portfolio accounting fees		52,915			47,415			100,302			109,839			75,507
Recordkeeping fees		32,278			28,119			85,450			95,889			111,539
Custodian fees (Note 6)		7,368			8,360			11,170			17,905			7,195
Registration fees		38,808			35,649			57,893			65,619			61,816
Professional fees		16,334			16,334			16,723			16,724			16,724
Printing and postage		16,750			33,241			36,833			39,248			33,067
Directors’ fees		15,349			15,348			15,348			15,348			15,348
Distribution services fees (Note 6):
Advisor		70,240			8,409			61,230			1,692			150,458
Retirement class R-3		—			—			—			—			88
Miscellaneous		10,108			4,894			10,677			11,520			9,952

Total expenses:		1,195,210			1,049,512			2,389,803			2,681,234			2,158,795

Deduct:
Expense waivers (Note 6)		(187,965	)		(189,384	)		(94,728	)		(101,728	)		(13,356	)

Net expenses		1,007,245			860,128			2,295,075			2,579,506			2,145,439

Net investment income		2,075,471			2,973,997			5,944,043			2,039,377			1,973,147

Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		11,106,218			9,203,594			37,164,314			47,905,994			20,334,659
Investments in affiliated issuers		(217	)		(309	)		(839	)		182			1

Total net realized gain		11,106,001			9,203,285			37,163,475			47,906,176			20,334,660
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		5,207,492			14,007,131			9,780,980			42,293,453			(57,832	)
Investments in affiliated issuers		359			518			1,019			31			584

Total net change in unrealized appreciation (depreciation)		5,207,851			14,007,649			9,781,999			42,293,484			(57,248	)

Net realized and unrealized gain on investments		16,313,852			23,210,934			46,945,474			90,199,660			20,277,412

Change in net assets resulting from operations	$	18,389,323		$	26,184,931		$	52,889,517		$	92,239,037		$	22,250,559

(1)	Net of foreign taxes withheld of $2,249.

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

114

Year Ended August 31, 2018



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	$	921,135		$	931,415	(1)	$	199,492		$	925,626		$	1,305,394	(1)
Affiliated issuers		25,170			14,956			5,889			28,964			4,696
Net securities lending income (Note 6)		50,977			40,651			11,940			107,712			5,382

Total income:		997,282			987,022			217,321			1,062,302			1,315,472

Expenses:
Investment advisory fees (Note 6)		832,345			475,449			138,660			970,668			307,096
Administration fees (Note 6)		164,446			93,419			31,998			212,555			70,868
Portfolio accounting fees		53,560			48,389			26,385			51,159			57,646
Recordkeeping fees		86,818			47,309			21,871			95,153			19,907
Custodian fees (Note 6)		4,342			8,266			2,252			10,264			29,500
Registration fees		61,138			56,481			33,283			41,301			33,688
Professional fees		16,724			16,334			16,334			16,724			19,554
Printing and postage		30,376			28,262			3,994			29,780			3,737
Directors’ fees		15,349			15,349			15,349			15,349			15,348
Distribution services fees (Note 6):
Advisor		43,308			12,035			7,122			137,915			2,087
Retirement class R-3		—			289			—			—			—
Miscellaneous		5,390			5,022			2,958			6,703			1,899

Total expenses:		1,313,796			806,604			300,206			1,587,571			561,330

Deduct:
Expense waivers (Note 6)		(85,334	)		(117,810	)		(100,769	)		(46,528	)		(156,239	)

Net expenses		1,228,462			688,794			199,437			1,541,043			405,091

Net investment income (loss)		(231,180	)		298,228			17,884			(478,741	)		910,381

Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		19,631,818			5,585,654			2,368,100			20,262,798			5,421,939
Investments in affiliated issuers		293			(180	)		(20	)		688			26
Foreign currency transactions		—			—			—			—			(645	)

Total net realized gain		19,632,111			5,585,474			2,368,080			20,263,486			5,421,320
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		12,054,964			7,032,681			1,740,328			19,507,093			(1,858,119	)
Investments in affiliated issuers		152			154			66			317			14
Foreign currency translations		—			—			—			—			(11,820	)

Total net change in unrealized appreciation (depreciation)		12,055,116			7,032,835			1,740,394			19,507,410			(1,869,925	)

Net realized and unrealized gain on investments and foreign currency		31,687,227			12,618,309			4,108,474			39,770,896			3,551,395

Change in net assets resulting from operations	$	31,456,047		$	12,916,537		$	4,126,358		$	39,292,155		$	4,461,776

(1)	Net of foreign taxes withheld of $1,122 and $82,800, respectively.

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

115

Year Ended August 31, 2018



Statements of Operations		BMO Funds



	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund			Global Long/Short Equity Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	2,443,198	(1)	$	23,710,730	(1)	$	4,489,274	(1)	$	1,210,007	(1)	$	271,331	(1)
Affiliated issuers		11,964			143,287			62,307			15,008			42,148
Interest income		—			—			—			134,278			—
Net securities lending income (Note 6)		24,029			210,119			14,289			—			2,414

Total income:		2,479,191			24,064,136			4,565,870			1,359,293			315,893

Expenses:
Investment advisory fees (Note 6)		460,337			5,047,112			1,746,359			1,230,628			126,067
Shareholder servicing fees (Note 6)		—			9,826			—			—			—
Administration fees (Note 6)		115,084			860,622			291,060			123,063			18,910
Portfolio accounting fees		56,864			138,866			78,240			236,638			50,600
Recordkeeping fees		19,242			21			31,124			20,037			19,749
Custodian fees (Note 6)		45,043			236,892			250,070			314,470			17,645
Registration fees		52,583			95,263			37,315			32,619			53,126
Professional fees		19,084			20,034			27,174			36,058			21,684
Printing and postage		3,701			40,592			37,212			5,758			3,854
Directors’ fees		15,349			15,349			15,349			15,349			15,349
Interest expense and dividends on securities sold short		—			—			—			261,407			110,128
Distribution services fees (Note 6):
Advisor		447			6,463			13,057			273			1,990
Retirement class R-3		—			34			—			—			—
Miscellaneous		570			10,486			1,434			6,043			136

Total expenses:		788,304			6,481,560			2,528,394			2,282,343			439,238

Deduct:
Expense waivers (Note 6)		(97,375	)		(135,965	)		(284,034	)		(579,912	)		(156,936	)

Net expenses		690,929			6,345,595			2,244,360			1,702,431			282,302

Net investment income (loss)		1,788,262			17,718,541			2,321,510			(343,138	)		33,591

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		4,590,940			(2,803,385	)		11,055,075	(2)		4,969,474			622,795
Investments in affiliated issuers		369			4,409			1,303			462			1,296
Foreign currency transactions		5,640			(397,276	)		(154,604	)		(21,995	)		(3,261	)
Forward contracts		—			—			—			(1,114,134	)		—
Futures contracts		—			—			—			(2,049,683	)		—
Purchased options		—			—			—			(1,068,981	)		—
Written options		—			—			—			1,288,709			—
Short sales		—			—			—			(2,588,567	)		(569,152	)

Total net realized gain (loss)		4,596,949			(3,196,252	)		10,901,774			(584,715	)		51,678
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(6,393,089	)		(22,876	)		(13,458,070	)		60,859			(13,216	)
Investments in affiliated issuers		137			979			1,482			5,191			366
Foreign currency translations		(2,045	)		(38,084	)		13,668			(5,445	)		1,106
Forward contracts		—			—			—			(20,476	)		—
Future contracts		—			—			—			(865,047	)		—
Purchased options		—			—			—			554,826			—
Written options		—			—			—			(672,299	)		—
Short sales		—			—			—			(543,311	)		(36,094	)

Total net change in unrealized depreciation		(6,394,997	)		(59,981	)		(13,442,920	)		(1,485,702	)		(47,838	)

Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency		(1,798,048	)		(3,256,233	)		(2,541,146	)		(2,070,417	)		3,840

Change in net assets resulting from operations	$	(9,786	)	$	14,462,308		$	(219,636	)	$	(2,413,555	)	$	37,431

(1)	Net of foreign taxes withheld of $216,334, $2,212,558, $428,619, $26,297 and $19,246, respectively.

(2)	Net of foreign taxes withheld of $970,098, $790,415 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, 2018



Statements of Operations		BMO Funds



	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Strategic Income Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	38,461		$	12,703		$	160,167		$	595,743		$	6,270
Affiliated issuers		13,324			12,994			96,893			67,876			34,703
Interest income		9,970,898			3,670,558			5,619,206			52,557,420			4,723,548
Net securities lending income (Note 6)		—			—			48,157			—			82,547

Total income:		10,022,683			3,696,255			5,924,423			53,221,039			4,847,068

Expenses:
Investment advisory fees (Note 6)		1,058,435			369,033			477,303			1,953,177			246,258
Shareholder servicing fees (Note 6)		—			—			—			2,182,749			167,493
Administration fees (Note 6)		972,653			283,447			369,595			2,494,766			148,969
Portfolio accounting fees		193,881			115,497			98,411			410,032			65,165
Recordkeeping fees		38,238			34,656			77,632			44,640			86,715
Custodian fees (Note 6)		24,935			6,534			10,937			53,468			5,291
Registration fees		54,258			38,721			43,969			89,429			52,262
Professional fees		21,144			21,144			21,144			21,144			23,042
Printing and postage		9,508			7,690			9,768			48,525			11,794
Directors’ fees		15,349			15,349			15,349			15,349			15,349
Distribution services fees (Note 6):
Advisor		83,060			12,924			75,617			29,550			40,472
Miscellaneous		18,545			6,727			8,138			43,387			4,894

Total expenses:		2,490,006			911,722			1,207,863			7,386,216			867,704

Deduct:
Expense waivers (Note 6)		(461,283	)		(145,559	)		(269,806	)		(5,749	)		(113,491	)

Net expenses		2,028,723			766,163			938,057			7,380,467			754,213

Net investment income		7,993,960			2,930,092			4,986,366			45,840,572			4,092,855

Net realized and unrealized gain (loss) on investments
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		107,385			35,303			(258,278	)		1,934,107			807,966
Investments in affiliated issuers		—			—			972			—			(507	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		—			448			—			2,644			—

Total net realized gain (loss)		107,385			35,751			(257,306	)		1,936,751			807,459
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(530,035	)		(1,516,347	)		(2,814,997	)		(37,298,526	)		(4,312,016	)
Investments in affiliated issuers		—			(1,694	)		535			(10,172	)		486

Total net change in unrealized depreciation		(530,035	)		(1,518,041	)		(2,814,462	)		(37,308,698	)		(4,311,530	)

Net realized and unrealized loss on investments		(422,650	)		(1,482,290	)		(3,071,768	)		(35,371,947	)		(3,504,071	)

Change in net assets resulting from operations	$	7,571,310		$	1,447,802		$	1,914,598		$	10,468,625		$	588,784

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

117

Year Ended August 31, 2018



Statements of Operations		BMO Funds



	TCH Corporate Income Fund			TCH Core Plus Bond Fund			High Yield Bond Fund
Investment income:
Dividend income from:
Affiliated issuers	$	60,075		$	459,304		$	5,811
Interest income		9,087,321			33,782,210			733,448
Net securities lending income (Note 6)		119,230			344,691			1,387

Total income:		9,266,626			34,586,205			740,646

Expenses:
Investment advisory fees (Note 6)		487,180			1,345,520			61,593
Shareholder servicing fees (Note 6)		203,658			168,342			—
Administration fees (Note 6)		377,990			1,583,280			18,478
Portfolio accounting fees		95,140			227,209			29,390
Recordkeeping fees		33,911			39,535			21,708
Custodian fees (Note 6)		8,895			52,844			910
Registration fees		57,413			81,125			36,627
Professional fees		23,344			23,344			22,764
Printing and postage		17,850			48,376			5,964
Directors’ fees		15,349			15,349			15,349
Distribution services fees (Note 6):
Advisor		2,035			8,298			2,341
Miscellaneous		8,385			26,890			2,388

Total expenses:		1,331,150			3,620,112			217,512

Deduct:
Expense waivers (Note 6)		(40,996	)		—			(135,097	)

Net expenses		1,290,154			3,620,112			82,415

Net investment income		7,976,472			30,966,093			658,231

Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		889,119			(4,322,493	)		120,127
Investments in affiliated issuers		(383	)		(5,725	)		(32	)

Total net realized gain (loss)		888,736			(4,328,218	)		120,095
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(8,512,601	)		(29,061,816	)		(571,930	)
Investments in affiliated issuers		261			3,960			79

Total net change in unrealized depreciation		(8,512,340	)		(29,057,856	)		(571,851	)

Net realized and unrealized loss on investments		(7,623,604	)		(33,386,074	)		(451,756	)

Change in net assets resulting from operations	$	352,868		$	(2,419,981	)	$	206,475

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

118

Year Ended August 31, 2018



Statements of Operations		BMO Funds



	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,516,953		$	105,736		$	124,265		$	101,556
Interest income		47,564,146			4,523,500			7,172,068			7,605,817

Total income:		49,081,099			4,629,236			7,296,333			7,707,373

Expenses:
Investment advisory fees (Note 6)		6,379,345			733,875			639,739			658,060
Shareholder servicing fees (Note 6)		1,909,847			221,090			515,536			3,842
Administration fees (Note 6)		1,112,451			124,679			144,375			148,516
Portfolio accounting fees		386,119			100,195			104,204			138,010
Recordkeeping fees		27,946			28,297			79,136			218,944
Custodian fees (Note 6)		113,571			22,297			22,962			24,897
Registration fees		64,092			66,568			70,579			32,641
Professional fees		20,034			24,434			24,434			24,434
Printing and postage		32,117			18,265			40,044			12,647
Directors’ fees		15,349			15,349			15,349			15,349
Distribution services fees (Note 6):
Miscellaneous		88,875			10,932			12,363			12,458

Total expenses:		10,149,746			1,365,981			1,668,721			1,289,798

Deduct:
Expense waivers (Note 6)		(1,665,818	)		(411,254	)		(300,074	)		(408,467	)

Net expenses		8,483,928			954,727			1,368,647			881,331

Net investment income		40,597,171			3,674,509			5,927,686			6,826,042

Net realized and unrealized gain on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		4,812			—			2,136			2,233
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		200			—			24			2

Total net realized gain		5,012			—			2,160			2,235
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		—			—			—			14,697

Total net change in unrealized appreciation		—			—			—			14,697

Net realized and unrealized gain on investments		5,012			—			2,160			16,932

Change in net assets resulting from operations	$	40,602,183		$	3,674,509		$	5,929,846		$	6,842,974

(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, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income (loss)	$	2,075,471		$	2,642,377		$	2,973,997		$	2,567,548		$	5,944,043		$	4,132,223
Net realized gain on investments		11,106,001			3,958,004			9,203,285			11,550,017			37,163,475			26,066,853
Net change in unrealized appreciation (depreciation) on investments		5,207,851			4,847,208			14,007,649			2,280,372			9,781,999			14,277,386

Change in net assets resulting from operations		18,389,323			11,447,589			26,184,931			16,397,937			52,889,517			44,476,462

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			—			(1,604,050	)(1)
Advisor class of shares		(389,406	)		(369,362	)		(63,632	)		(1,243,935	)		(291,522	)		(525,994	)
Institutional class of shares		(1,853,997	)		(2,199,344	)		(2,811,280	)		(1,256,597	)		(4,276,822	)		(2,082,733	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(733,087	)		(6,226	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			—			—			(1,409,302	)(1)
Advisor class of shares		(784,143	)		(242,749	)		(319,896	)		(664,793	)		(2,211,660	)		(310	)
Institutional class of shares		(3,322,161	)		(1,697,222	)		(13,039,040	)		(294,696	)		(27,238,611	)		(1,185,002	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(135,548	)		(429	)

Change in net assets resulting from distributions to shareholders		(6,349,707	)		(4,508,677	)		(16,233,848	)		(3,460,021	)		(34,887,250	)		(6,814,046	)

Capital stock transactions:
Proceeds from sale of shares		16,593,121			54,505,942			39,940,202			94,718,963			158,173,583	(4)		425,435,120
Net asset value of shares issued to shareholders in payment of distributions declared		6,114,577			4,155,724			15,955,191			3,335,815			34,550,946			6,683,858
Cost of shares redeemed		(65,823,112	)		(56,616,611	)		(26,326,918	)		(112,660,977	)		(152,349,808	)		(443,263,199	)

Change in net assets resulting from capital stock transactions		(43,115,414	)		2,045,055			29,568,475			(14,606,199	)		40,374,721			(11,144,221	)

Change in net assets		(31,075,798	)		8,983,967			39,519,558			(1,668,283	)		58,376,988			26,518,195

Net assets:
Beginning of period		159,461,168			150,477,201			115,581,708			117,249,991			333,695,692			307,177,497

End of period	$	128,385,370		$	159,461,168		$	155,101,266		$	115,581,708		$	392,072,680		$	333,695,692

Undistributed net investment income included in net assets at end of period	$	292,281		$	460,213		$	636,145		$	523,336		$	1,544,909		$	902,298

(1)	Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

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

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

(4)

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

(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, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017



$	2,039,377		$	1,470,450		$	1,973,147		$	1,681,428		$	(231,180	)	$	(243,501	)	$	298,228		$	181,976
	47,906,176			18,480,996			20,334,660			46,314,670			19,632,111			30,467,892			5,585,474			9,972,670

	42,293,484			39,702,491			(57,248	)		(20,600,805	)		12,055,116			(11,980,712	)		7,032,835			(2,759,597	)


	92,239,037			59,653,937			22,250,559			27,395,293			31,456,047			18,243,679			12,916,537			7,395,049




	—			(850,301	)		—			(620,800	)(1)		—			(154,340	)(1)		—			—
	—			(3,292	)		(253,519	)		(141	)		—			(48	)		—			(127,825	)
	(360,864	)		(962,258	)		(1,253,472	)		(406,171	)		—			(120,879	)		—			(140,161	)
	—			—			(112	)(2)		(40	)		—			—			—			(288	)
	(6,422	)		(9,663	)		(165,182	)		(86,426	)		—			(115	)		—			(7,836	)


	(4,147,456	)		(9,731,477	)		—			(37,656,722	)(1)		—			(18,668,185	)(1)		—			—
	(31,962	)		(23,105	)		(2,517,318	)		(10,206	)		(1,110,456	)		(6,793	)		(380,301	)		(4,014,102	)
	(15,549,809	)		(5,612,118	)		(5,309,557	)		(19,251,433	)		(5,920,705	)		(7,922,531	)		(4,628,962	)		(2,247,077	)
	—			—			(1,026	)(2)		(7,265	)		—			(5,167	)		(6,314	)(3)		(8,082	)
	(181,357	)		(3,064	)		(651,050	)		(3,042,303	)		(37,756	)		(5,155	)		(215,890	)		(90,268	)


	(20,277,870	)		(17,195,278	)		(10,151,236	)		(61,081,507	)		(7,068,917	)		(26,883,213	)		(5,231,467	)		(6,635,639	)


	123,469,873			260,299,527			47,626,226			235,382,599			37,954,380			172,115,168			20,343,034			51,649,898

	18,714,347			16,862,068			10,039,874			60,113,519			7,050,843			26,605,786			5,184,079			6,551,653
	(164,177,220	)		(222,772,588	)		(76,159,820	)		(286,548,985	)		(53,982,490	)		(203,548,530	)		(21,649,285	)		(63,822,053	)


	(21,993,000	)		54,389,007			(18,493,720	)		8,947,133			(8,977,267	)		(4,827,576	)		3,877,828			(5,620,502	)

	49,968,167			96,847,666			(6,394,397	)		(24,739,081	)		15,409,863			(13,467,110	)		11,562,898			(4,861,092	)


	356,455,428			259,607,762			206,503,968			231,243,049			113,022,517			126,489,627			64,285,532			69,146,624

$	406,423,595		$	356,455,428		$	200,109,571		$	206,503,968		$	128,432,380		$	113,022,517		$	75,848,430		$	64,285,532


$	2,017,557		$	345,466		$	1,319,763		$	1,018,784		$	—		$	—		$	326,452		$	28,224

121



Statements of Changes in Net Assets



	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income (loss)	$	17,884		$	19,874		$	(478,741	)	$	(1,032,393	)	$	910,381		$	998,054
Net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		2,368,080			952,376			20,263,486			81,425,451			5,421,320			283,500
Net change in unrealized appreciation (depreciation) on investments, options, futures contracts and foreign currency translation		1,740,394			1,428,444			19,507,410			(53,783,096	)		(1,869,925	)		2,428,227

Change in net assets resulting from operations		4,126,358			2,400,694			39,292,155			26,609,962			4,461,776			3,709,781

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		—			(558	)		—			—			(29,505	)		(3,979	)
Institutional class of shares		(11,539	)		(45,376	)		—			—			(1,337,341	)		(903,509	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Distributions to shareholders from net realized gain on investments:
Advisor class of shares		(170,343	)		(10,911	)		(6,213,359	)		—			(11,386	)		(1,779	)
Institutional class of shares		(1,094,513	)		(235,448	)		(8,546,401	)		—			(484,311	)		(358,652	)
Distributions to shareholders from return of capital:
Advisor class of shares		—			—			—			—			—			—
Institutional class of shares		—			—			—			—			—			—

Change in net assets resulting from distributions to shareholders		(1,276,395	)		(292,293	)		(14,759,760	)		—			(1,862,543	)		(1,267,919	)

Capital stock transactions:
Proceeds from sale of shares		5,456,508			9,920,241			22,016,727			164,623,919			783,044			25,974,881
Net asset value of shares issued to shareholders in payment of distributions declared		1,176,708			233,520			14,542,209			—			1,464,201			1,088,741
Cost of shares redeemed		(4,748,644	)		(4,028,666	)		(47,004,023	)		(388,067,585	)		(23,520,826	)		(19,462,032	)
Redemption fees		—			—			—			—			—			50

Change in net assets resulting from capital stock transactions		1,884,572			6,125,095			(10,445,087	)		(223,443,666	)		(21,273,581	)		7,601,640

Change in net assets		4,734,535			8,233,496			14,087,308			(196,833,704	)		(18,674,348	)		10,043,502

Net assets:
Beginning of period		19,660,978			11,427,482			138,995,830			335,829,534			49,218,183			39,174,681

End of period	$	24,395,513		$	19,660,978		$	153,083,138		$	138,995,830		$	30,543,835		$	49,218,183

Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	8,280		$	598		$	—		$	(487,076	)	$	457,212		$	676,369

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

122



		BMO Funds



Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						Alternative Strategies Fund
Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017



$	1,788,262		$	1,379,999		$	17,718,541		$	16,304,285		$	2,321,510		$	1,469,715		$	(343,138	)	$	(706,130	)

	4,596,949			(949,832	)		(3,196,252	)		(10,023,582	)		10,901,774			1,695,929			(584,715	)		5,519,292

	(6,394,997	)		10,642,466			(59,981	)		59,354,740			(13,442,920	)		17,569,337			(1,485,702	)		(95,123	)


	(9,786	)		11,072,633			14,462,308			65,635,443			(219,636	)		20,734,981			(2,413,555	)		4,718,039




	—			—			—			(2,021,310	)		—			—			—			—
	(3,470	)		(3,317	)		—			(2,390	)		—			(239,982	)		—			—
	(1,530,653	)		(1,673,168	)		(15,185,511	)		(11,624,253	)		(1,245,393	)		(717,841	)		—			—
	—			—			—			(421	)		—			—			—			—
	—			—			(1,405,577	)		(652,041	)		—			—			—			—
	—			—			(219,446	)		—			—			—			—			—


	—			—			—			—			—			—			(6,924	)		—
	—			—			—			—			—			—			(4,470,070	)		—

	—			—			—			—			—			—			(687	)		—
	—			—			—			—			—			—			(708,240	)		—


	(1,534,123	)		(1,676,485	)		(16,810,534	)		(14,300,415	)		(1,245,393	)		(957,823	)		(5,185,921	)		—


	18,840,781			22,343,033			211,980,308			396,261,133			79,897,479			109,773,573			17,291,060			21,309,308

	1,511,020			1,670,654			13,489,759			9,352,958			1,128,190			866,512			5,109,458			—
	(13,670,472	)		(28,580,607	)		(218,410,088	)		(409,127,462	)		(35,100,313	)		(98,790,975	)		(37,221,147	)		(39,701,160	)
	210			—			957			3,133			711			680			—			—


	6,681,539			(4,566,920	)		7,060,936			(3,510,238	)		45,926,067			11,849,790			(14,820,629	)		(18,391,852	)

	5,137,630			4,829,228			4,712,710			47,824,790			44,461,038			31,626,948			(22,420,105	)		(13,673,813	)


	72,388,042			67,558,814			649,739,585			601,914,795			162,356,811			130,729,863			95,740,181			109,413,994

$	77,525,672		$	72,388,042		$	654,452,295		$	649,739,585		$	206,817,849		$	162,356,811		$	73,320,076		$	95,740,181


$	1,261,618		$	968,844		$	15,265,819		$	14,755,088		$	1,986,904		$	1,245,074		$	(999,239	)	$	(203,177	)

123



Statements of Changes in Net Assets



	Global Long/Short Equity Fund						Ultra Short Tax-Free Fund						Short Tax-Free Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income	$	33,591		$	18,214		$	7,993,960		$	5,642,492		$	2,930,092		$	2,522,885
Net realized gain (loss) on investments and foreign currency transactions		51,678			248,976			107,385			727,984			35,751			(225,946	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translation		(47,838	)		712,754			(530,035	)		208,911			(1,518,041	)		(180,383	)

Change in net assets resulting from operations		37,431			979,944			7,571,310			6,579,387			1,447,802			2,116,556

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			(241,956	)(1)		—			(167,597	)(1)
Advisor class of shares		(441	)		(1,759	)		(328,441	)		(69,829	)		(94,769	)		(52,821	)
Institutional class of shares		(28,606	)		(23,821	)		(7,666,730	)		(5,330,707	)		(2,832,847	)		(2,303,362	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			(49,470	)(1)		—			(5,100	)(1)
Advisor class of shares		(26,157	)		(3,694	)		(17,732	)		(91	)		—			(377	)
Institutional class of shares		(359,245	)		(31,174	)		(296,800	)		(590,147	)		—			(51,518	)

Change in net assets resulting from distributions to shareholders		(414,449	)		(60,448	)		(8,309,703	)		(6,282,200	)		(2,927,616	)		(2,580,775	)

Capital stock transactions:
Proceeds from sale of shares		6,276,658			4,825,632			445,096,133			524,112,502			51,370,080			122,858,814
Net asset value of shares issued to shareholders in payment of distributions declared		319,024			27,773			3,582,390			2,303,408			942,829			852,087
Cost of shares redeemed		(5,967,606	)		(303,296	)		(508,223,943	)		(468,304,972	)		(44,929,515	)		(125,930,060	)
Redemption fees		1,407			—			—			—			—			—

Change in net assets resulting from capital stock transactions		629,483			4,550,109			(59,545,420	)		58,110,938			7,383,394			(2,219,159	)

Change in net assets		252,465			5,469,605			(60,283,813	)		58,408,125			5,903,580			(2,683,378	)

Net assets:
Beginning of period		9,697,070			4,227,465			660,387,290			601,979,165			182,620,416			185,303,794

End of period	$	9,949,535		$	9,697,070		$	600,103,477		$	660,387,290		$	188,523,996		$	182,620,416

Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	44,180		$	7,322		$	(19,656	)	$	(15,636	)	$	2,011		$	(465	)

(1)	Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(2)	Includes paid-in-capital received from a non-taxable in-kind subscription merger of the BMO TCH Intermediate Income Fund effective as of the close of business on June 29, 2017. The BMO TCH Intermediate Income Fund’s net assets at that date of $32,584,449 included the following:


Assets:
Investments cost	$	31,747,731
Net unrealized appreciation on investments		580,466
Deposit held at broker		100,000
Dividends & interest receivable		267,709

Total assets		32,695,906

Liabilities:
Payable to affiliates		16,595
Payable for income distribution		67,250
Other liabilities		27,612

Total liabilities		111,457

Total Net Assets:	$	32,584,449

Assuming the Reorganization had been completed on March 1, 2016, the beginning of a twelve month period of the BMO Strategic Income Fund, the BMO TCH Intermediate Income Fund’s pro forma of operations (unaudited) for the period ended February 28, 2017, are as follows:


Net investment income	$	4,057,835
Net realized gain on investments		54,565
Change in net unrealized appreciation on investments		2,733,039

Net increase in net assets resulting from operations		6,845,439

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

124



		BMO Funds



Short-Term Income Fund						Intermediate Tax-Free Fund						Strategic Income Fund						TCH Corporate Income Fund
Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017



$	4,986,366		$	4,317,011		$	45,840,572		$	43,778,125		$	4,092,855		$	2,457,886		$	7,976,472		$	6,357,759

	(257,306	)		237,100			1,936,751			(11,054,527	)		807,459			2,392,636			888,736			1,720,876

	(2,814,462	)		(716,399	)		(37,308,698	)		(26,171,948	)		(4,311,530	)		(1,889,424	)		(8,512,340	)		1,352,901


	1,914,598			3,837,712			10,468,625			6,551,650			588,784			2,961,098			352,868			9,431,536




	—			(632,772	)(1)		(24,188,815	)		(27,728,210	)		(2,911,007	)		(2,360,082	)		(3,505,065	)		(2,785,140	)
	(552,617	)		(155,425	)		(326,765	)		(83,767	)		(702,151	)		(121,105	)		(34,065	)		(14,625	)
	(4,511,766	)		(3,644,261	)		(21,349,941	)		(15,971,429	)		(733,595	)		(551,185	)		(4,433,400	)		(3,557,995	)


	—			—			(109,132	)		(3,552,901	)		—			—			(142,642	)		(669,458	)
	—			—			(1,409	)		(5,750	)		—			—			(1,102	)		(392	)
	—			—			(75,420	)		(1,761,746	)		—			—			(162,178	)		(1,035,668	)


	(5,064,383	)		(4,432,458	)		(46,051,482	)		(49,103,803	)		(4,346,753	)		(3,032,372	)		(8,278,452	)		(8,063,278	)


	135,318,169			204,775,746			602,268,382			512,577,117			3,650,450			39,469,441	(2)		50,384,104			117,056,559

	2,938,785			2,472,081			36,968,906			40,385,928			4,064,138			2,752,071			5,111,900			5,060,623
	(137,617,032	)		(257,682,881	)		(442,459,403	)		(737,200,006	)		(31,322,162	)		(36,107,475	)		(59,209,589	)		(79,201,504	)
	—			—			—			—			—			—			—			—


	639,922			(50,435,054	)		196,777,885			(184,236,961	)		(23,607,574	)		6,114,037			(3,713,585	)		42,915,678

	(2,509,863	)		(51,029,800	)		161,195,028			(226,789,114	)		(27,365,543	)		6,042,763			(11,639,169	)		44,283,936


	242,589,108			293,618,908			1,618,163,755			1,844,952,869			113,392,487			107,349,724			256,422,229			212,138,293

$	240,079,245		$	242,589,108		$	1,779,358,783		$	1,618,163,755		$	86,026,944		$	113,392,487		$	244,783,060		$	256,422,229


$	5,029		$	1,360		$	(293	)	$	217,765		$	(15,832	)	$	(14,926	)	$	1,244		$	(2,698	)

125



Statements of Changes in Net Assets



	TCH Core Plus Bond Fund						High Yield Bond Fund						Government Money Market Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income	$	30,966,093		$	24,622,439		$	658,231		$	2,221,025		$	40,597,171		$	13,190,436
Net realized gain (loss) on investments		(4,328,218	)		3,199,087			120,095			2,637,071			5,012			4,140
Net change in unrealized appreciation (depreciation) on investments		(29,057,856	)		(7,556,515	)		(571,851	)		(2,865,438	)		—			—

Change in net assets resulting from operations		(2,419,981	)		20,265,011			206,475			1,992,658			40,602,183			13,194,576

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(1,839,668	)		(10,958,410	)		—			—			(7,871,988	)		(2,102,345	)
Advisor class of shares		(90,550	)		(52,010	)		(47,907	)		(1,179,592	)		—			—
Institutional/Premier class of shares		(29,417,453	)		(14,084,186	)		(610,733	)		(1,041,433	)		(32,725,383	)		(11,088,991	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(61,171	)		(1,604,981	)		—			—			(1,030	)		(873	)
Advisor class of shares		(3,223	)		(5,068	)		—			—			—			—
Institutional/Premier class of shares		(897,387	)		(1,455,998	)		—			—			(3,782	)		(2,367	)

Change in net assets resulting from distributions to shareholders		(32,309,452	)		(28,160,653	)		(658,640	)		(2,221,025	)		(40,602,183	)		(13,194,576	)

Capital stock transactions:
Proceeds from sale of shares		239,674,446			781,831,952			1,065,544			4,246,536			19,536,951,159			14,334,494,569
Net asset value of shares issued to shareholders in payment of distributions declared		29,161,657			25,943,203			583,966			2,021,657			5,880,770			1,300,125
Cost of shares redeemed		(235,589,606	)		(721,237,192	)		(3,185,086	)		(99,081,869	)		(19,237,385,211	)		(13,488,067,651	)

Change in net assets resulting from capital stock transactions		33,246,497			86,537,963			(1,535,576	)		(92,813,676	)		305,446,718			847,727,043

Change in net assets		(1,482,936	)		78,642,321			(1,987,741	)		(93,042,043	)		305,446,718			847,727,043

Net assets:
Beginning of period		1,047,334,288			968,691,967			13,313,349			106,355,392			3,083,603,374			2,235,876,331

End of period	$	1,045,851,352		$	1,047,334,288		$	11,325,608		$	13,313,349		$	3,389,050,092		$	3,083,603,374

Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(16,047	)	$	(13,105	)	$	(3,660	)	$	(9,387	)	$	(341	)	$	(1,041	)

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

126



		BMO Funds



Tax-Free Money Market Fund						Prime Money Market Fund						Institutional Prime Money Market Fund
Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017



$	3,674,509		$	1,896,315		$	5,927,686		$	2,440,138		$	6,826,042		$	3,082,655

	—			68,798			2,160			265,930			2,235			1,934
	—			—			—			—			14,697			41,402


	3,674,509			1,965,113			5,929,846			2,706,068			6,842,974			3,125,991




	(698,806	)		(273,064	)		(2,562,944	)		(908,840	)		(20,183	)		(6,848	)
	—			—			—			—			—			—
	(2,975,703	)		(1,656,960	)		(3,364,758	)		(1,531,386	)		(6,805,848	)		(3,075,841	)


	—			(20,917	)		(1,052	)		(603	)		(8	)		(6	)
	—			—			—			—			—			—
	—			(76,487	)		(1,084	)		(685	)		(2,285	)		(1,894	)


	(3,674,509	)		(2,027,428	)		(5,929,838	)		(2,441,514	)		(6,828,324	)		(3,084,589	)


	760,794,015			705,359,534			810,980,414			783,415,206			1,224,837,730			914,326,979

	574,205			275,718			2,146,096			780,900			1,189,143			8,930
	(694,856,500	)		(794,823,978	)		(720,222,805	)		(1,988,344,911	)		(1,145,851,073	)		(928,963,735	)


	66,511,720			(89,188,726	)		92,903,705			(1,204,148,805	)		80,175,800			(14,627,826	)

	66,511,720			(89,251,041	)		92,903,713			(1,203,884,251	)		80,190,450			(14,586,424	)


	314,801,413			404,052,454			368,588,767			1,572,473,018			401,623,960			416,210,384

$	381,313,133		$	314,801,413		$	461,492,480		$	368,588,767		$	481,814,410		$	401,623,960


$	(24,201	)	$	(24,201	)	$	(23,967	)	$	(24,062	)	$	16,438		$	16,452

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				Ratios to Average Net Assets (1)															Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Large-Cap Growth Fund
2018		$	17.46		$	0.07			$	4.42			$	4.49			$	—			$	(1.00	)		$	(1.00	)		$	20.95		26.78	%		0.92	%		0.91	%		0.28	%		$	65,365		57	%
2017			15.34			0.06				3.03				3.09				(0.07	)			(0.90	)			(0.97	)			17.46		21.30			1.03			1.00			0.34				74,359		75
2016			16.26			0.03				1.44				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.23				163,712		70
2015			17.94			(0.01	)			0.93				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				161,918		94
2014			15.08			0.01				4.34				4.35				(0.04	)			(1.45	)			(1.49	)			17.94		30.33			1.24			1.24			0.03				97,738		67
Intermediate Tax-Free Fund
2018			11.37			0.30				(0.24	)			0.06				(0.30	)			(0.00	)			(0.30	)			11.13		0.53			0.55			0.55			2.65				870,195		45
2017			11.61			0.29				(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.78			0.57			0.55			2.55				975,664		44
2016			11.26			0.25				0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.19				1,241,387		42
2015			11.25			0.26				0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.23				1,250,815		26
2014			10.66			0.28				0.59				0.87				(0.28	)			(0.00	)			(0.28	)			11.25		8.29			0.61			0.55			2.58				1,003,132		35
Strategic Income Fund
2018			9.45			0.38				(0.37	)			0.04				(0.41	)			—				(0.41	)			9.08		0.37			0.91			0.80			4.09				59,724		33
2017			9.43			0.23				0.08				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			2.46				73,488		65
2016			9.31			0.21				0.17				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.28				85,665		13
2015			9.36			0.22				—				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				94,380		44
2014			9.17			0.20				0.24				0.44				(0.25	)			—				(0.25	)			9.36		4.87			0.92			0.80			2.21				105,888		129
TCH Corporate Income Fund
2018			13.20			0.40				(0.39	)			0.01				(0.40	)			(0.02	)			(0.42	)			12.79		0.05			0.63			0.59			3.08				102,523		31
2017			13.17			0.35				0.14				0.49				(0.35	)			(0.11	)			(0.46	)			13.20		3.86			0.71			0.59			2.70				120,745		44
2016			12.33			0.45				0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.65				82,643		62
2015			13.09			0.36				(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				137,987		26
2014			12.39			0.44				0.91				1.35				(0.44	)			(0.21	)			(0.65	)			13.09		11.20			0.74			0.59			3.32				78,347		25
TCH Core Plus Bond Fund
2018			11.79			0.32				(0.37	)			(0.05	)			(0.32	)			(0.01	)			(0.33	)			11.41		(0.45	)		0.58			0.58			2.70				61,251		45
2017			11.89			0.24				(0.02	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.37				68,946		34
2016			11.42			0.34				0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			3.00				508,030		39
2015			11.95			0.32				(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.69				602,588		25
2014			11.32			0.31				0.66				0.97				(0.32	)			(0.02	)			(0.34	)			11.95		8.68			0.62			0.59			2.66				517,753		44
Government Money Market Fund
2018			1.00			0.01				0.00				0.01				(0.01	)			(0.00	)			(0.01	)			1.00		1.05			0.50			0.45			1.03				747,981		—
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.24			0.50			0.42			0.24				814,242		—
2016			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.29			0.01				268,417		—
2015			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.08			0.01				101,593		—
2014			1.00			0.00				—				0.00				(0.00	)			—				(0.00	)			1.00		0.01			0.54			0.07			0.01				105,267		—
Tax-Free Money Market Fund
2018			1.00			0.01				0.00				0.01				(0.01	)			(0.00	)			(0.01	)			1.00		0.80			0.56			0.45			0.79				75,889		—
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.37			0.57			0.45			0.33				76,029		—
2016			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.06			0.53			0.26			0.03				90,098		—
2015			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.16			0.01				142,052		—
2014			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.20			0.01				131,175		—
Prime Money Market Fund
2018			1.00			0.01				0.00				0.01				(0.01	)			(0.00	)			(0.01	)			1.00		1.25			0.52			0.45			1.24				193,006		—
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.42			0.53			0.45			0.36				202,251		—
2016			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.45			0.38			0.03				903,864		—
2015			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.19			0.01				1,296,633		—
2014			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.18			0.01				1,356,875		—

(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				Ratios to Average Net Assets (1)															Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Institutional Prime Money Market Fund
2018		$	1.0001		$	0.0128		$	0.0000		$	0.0128		$	(0.0128	)		$	(0.0000	)		$	(0.0128	)		$	1.0001		1.29	%		0.55	%		0.45	%		1.31	%		$	2,401		—	%
2017(5)			1.00			0.0049			0.0001			0.0050			(0.0049	)			(0.0000	)			(0.0049	)			1.0001		0.50			0.55			0.45			0.50				1,421		—
2016(6)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.54			0.45			0.14				992		—

(1)	Annualized for periods less than one year.

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

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

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

(5)

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

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

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

129



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			Ratios to Average Net Assets (1)												Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Low Volatility Equity Fund
2018		$	14.36		$	0.19			$	1.76			$	1.95			$	(0.20	)		$	(0.39	)		$	(0.59	)		$	15.72		13.96	%		1.03	%		0.90	%		1.25	%		$	25,571		43	%
2017			13.79			0.20				0.74				0.94				(0.20	)			(0.17	)			(0.37	)			14.36		6.94			1.03			0.90			1.47				31,624		56
2016			12.81			0.16				1.35				1.51				(0.17	)			(0.36	)			(0.53	)			13.79		12.13			1.05			0.90			1.40				15,064		40
2015			13.20			0.14				0.55				0.69				(0.18	)			(0.90	)			(1.08	)			12.81		5.22			1.12			0.90			1.12				1,162		47
2014(5)			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
2018			14.51			0.28				2.67				2.95				(0.30	)			(1.70	)			(2.00	)			15.46		21.90			1.04			0.90			2.07				6,092		39
2017(6)			12.94			0.28				1.61				1.89				(0.21	)			(0.11	)			(0.32	)			14.51		14.80			1.08			0.90			2.06				3,205		43
2016			12.59			0.30				1.11				1.41				(0.30	)			(0.76	)			(1.06	)			12.94		11.89			1.08			0.90			2.44				78,531		51
2015			14.29			0.31				(0.76	)			(0.45	)			(0.33	)			(0.92	)			(1.25	)			12.59		(3.63	)		1.05			0.90			2.16				74,254		46
2014(5)			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
2018			15.85			0.16				2.22				2.38				(0.19	)			(1.45	)			(1.64	)			16.59		15.57			0.91			0.89			0.82				22,602		54
2017(6)			14.14			0.08				1.93				2.01				(0.18	)			(0.12	)			(0.30	)			15.85		14.33			1.02			1.00			0.49				25,061		62
2016			15.23			0.21				0.53				0.74				(0.22	)			(1.61	)			(1.83	)			14.14		5.31			1.10			1.07			1.61				37		60
2015			17.04			0.13				(0.22	)			(0.09	)			(0.10	)			(1.62	)			(1.72	)			15.23		(0.70	)		1.22			1.21			0.80				28		72
2014(5)			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
2018			17.46			0.05				4.45				4.50				—				(1.00	)			(1.00	)			20.96		26.84			0.91			0.88			0.32				860		57
2017			15.34			0.03				3.06				3.09				(0.07	)			(0.90	)			(0.97	)			17.46		21.30			1.03			1.00			0.39				808		75
2016			16.26			0.02				1.45				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.29				405		70
2015			17.94			0.00				0.92				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				37		94
2014(5)			16.81			0.01				1.12				1.13				—				—				—				17.94		6.72			1.24			1.24			0.17				26		67
Mid-Cap Value Fund
2018			11.91			0.11				1.17				1.28				(0.05	)			(0.50	)			(0.55	)			12.64		10.89			1.25			1.24			0.79				55,151		64
2017			14.40			0.05				1.28				1.33				(0.05	)			(3.77	)			(3.82	)			11.91		12.88			1.26			1.24			0.74				64,462		139
2016			15.02			0.11				0.86				0.97				(0.12	)			(1.47	)			(1.59	)			14.40		7.27			1.23			1.23			0.90				39		24
2015			17.66			0.03				(0.59	)			(0.56	)			(0.02	)			(2.06	)			(2.08	)			15.02		(3.55	)		1.22			1.22			0.19				26		27
2014(5)			16.61			0.01				1.04				1.05				—				—				—				17.66		6.32			1.20			1.20			0.31				27		30
Mid-Cap Growth Fund
2018			14.79			(0.08	)			4.24				4.16				—				(0.99	)			(0.99	)			17.96		29.40			1.31			1.24			(0.43	)			16,399		63
2017			16.26			(0.02	)			2.11				2.09				(0.02	)			(3.54	)			(3.56	)			14.79		16.73			1.37			1.24			(0.47	)			17,945		157
2016			20.02			0.03				(0.91	)			(0.88	)			—				(2.88	)			(2.88	)			16.26		(4.23	)		1.29			1.24			0.09				31		59
2015			23.93			(0.11	)			(0.57	)			(0.68	)			—				(3.23	)			(3.23	)			20.02		(2.89	)		1.25			1.24			(0.52	)			28		53
2014(5)			22.89			(0.04	)			1.08				1.04				—				—				—				23.93		4.54			1.24			1.24			(0.63	)			26		57
Small-Cap Value Fund
2018			13.30			0.03				2.57				2.60				—				(1.12	)			(1.12	)			14.78		20.32			1.41			1.24			0.25				4,741		70
2017(6)			13.21			0.03				1.36				1.39				(0.04	)			(1.26	)			(1.30	)			13.30		11.58			1.49			1.24			0.22				4,931		148
2016			12.72			0.03				0.98				1.01				—				(0.52	)			(0.52	)			13.21		8.23			1.39			1.24			0.17				42,615		39
2015			14.40			(0.02	)			(0.85	)			(0.87	)			—				(0.81	)			(0.81	)			12.72		(6.18	)		1.46			1.24			(0.46	)			72,822		53
2014(5)			13.99			(0.01	)			0.42				0.41				—				—				—				14.40		2.93			1.46			1.24			(0.14	)			26		43
Small-Cap Core Fund
2018			13.22			(0.01	)			2.73				2.72				—				(0.83	)			(0.83	)			15.11		21.20			1.62			1.15			(0.04	)			2,988		89
2017			11.57			(0.02	)			1.88				1.86				(0.01	)			(0.20	)			(0.21	)			13.22		16.09			1.83			1.15			(0.18	)			2,612		90
2016			10.41			0.02				1.22				1.24				—				(0.08	)			(0.08	)			11.57		11.97			2.54			1.15			0.19				647		70
2015			10.38			(0.01	)			0.04				0.03				—				—				—				10.41		0.29			5.02			1.15			(0.28	)			629		64
2014(5)			10.08			(0.01	)			0.31				0.30				—				—				—				10.38		2.98			4.82			1.15			(0.30	)			26		43

(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			Ratios to Average Net Assets (1)												Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Small-Cap Growth Fund
2018		$	18.37		$	(0.12	)		$	5.43			$	5.31			$	—			$	(2.08	)		$	(2.08	)		$	21.60		31.55	%		1.28	%		1.24	%		(0.47	)%		$	53,772		80	%
2017(7)			17.79			(0.06	)			0.64				0.58				—				—				—				18.37		3.26			1.24			1.24			(0.97	)			57,737		197
Global Low Volatility Equity Fund
2018			13.16			(0.15	)			1.46				1.31				(0.34	)			(0.13	)			(0.47	)			14.00		10.21			1.46			1.10			1.50				339		34
2017(8)			12.61			0.14				0.66				0.80				(0.17	)			(0.08	)			(0.25	)			13.16		6.59			1.52			1.10			1.96				997		74
2016(8)			11.31			0.11				1.25				1.36				(0.06	)			(0.00	)			(0.06	)			12.61		12.11			1.63			1.10			2.04				266		36
2015(8)			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(5)(8)			11.12			0.05				0.30				0.35				—				—				—				11.47		3.15			11.55			1.10			1.53				26		29
Disciplined International Equity Fund
2018(8)			11.17			0.21				(0.22	)			(0.01	)			(0.22	)			—				(0.22	)			10.94		(0.15	)		1.27			1.15			2.11				186		52
2017(8)			9.56			0.20				1.66				1.86				(0.25	)			—				(0.25	)			11.17		19.97			1.39			1.15			1.98				149		77
2016(8)(9)			10.00			0.23				(0.67	)			(0.44	)			—				—				—				9.56		(4.40	)		1.45			1.15			2.53				125		64
Pyrford International Stock Fund
2018(8)			13.16			(0.09	)			0.36				0.27				—				—				—				13.43		2.05			1.20			1.18			2.88				6,037		20
2017(6)(8)			12.18			0.40				0.83				1.23				(0.25	)			—				(0.25	)			13.16		10.38			1.30			1.21			3.11				891		33
2016(8)			11.74			0.33				0.35				0.68				(0.24	)			—				(0.24	)			12.18		5.96			1.31			1.24			0.92				88		12
2015(8)			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(5)(8)			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
2018(8)			15.93			0.14				(0.03	)			0.11				—				—				—				16.04		0.69			1.55			1.40			0.84				4,983		22
2017(6)(8)			14.04			0.13				1.82				1.95				(0.06	)			—				(0.06	)			15.93		14.03			1.63			1.40			0.96				4,776		40
2016(8)			12.12			0.16				1.86				2.02				(0.10	)			—				(0.10	)			14.04		16.88			1.64			1.40			0.92				51,879		24
2015(8)			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(5)(8)			13.69			0.08				0.53				0.61				—				—				—				14.30		4.46			1.66			1.40			2.05				26		38
Alternative Strategies Fund
2018			10.74			(0.14	)			(0.20	)			(0.34	)			—				(0.67	)(12)			(0.67	)			9.73		(3.53	)		3.08	(10)		2.33	(10)		(0.74	)			70		122
2017(8)			10.30			(0.18	)			0.62				0.44				—				—				—				10.74		4.27			3.65	(10)		2.95	(10)		(0.93	)			157		251
2016(8)			10.40			(0.23	)			0.23				0.00				—				(0.10	)			(0.10	)			10.30		(0.02	)		3.88	(10)		3.07	(10)		1.11				286		279
2015(8)(11)			10.00			(0.06	)			0.46				0.40				—				—				—				10.40		4.00			4.94	(10)		2.72	(10)		(1.07	)			1,011		119
Global Long/Short Equity Fund
2018(8)			12.22			0.00				0.21				0.21				(0.01	)			(0.42	)			(0.43	)			12.00		1.61			3.71	(10)		2.47	(10)		0.02				801		79
2017(8)			10.68			0.01				1.66				1.67				(0.04	)			(0.09	)			(0.13	)			12.22		15.77			5.05	(10)		2.42	(10)		0.03				730		42
2016(8)			10.00			0.03				0.65				0.68				—				—				—				10.68		6.80			9.46	(10)		2.36	(10)		0.46				510		45
Ultra Short Tax-Free Fund
2018			10.08			0.10				0.00				0.10				(0.10	)			(0.01	)			(0.11	)			10.07		0.95			0.62			0.55			0.99				27,434		156
2017			10.08			0.07				0.01				0.08				(0.07	)			(0.01	)			(0.08	)			10.08		0.80			0.64			0.55			0.74				34,696		126
2016			10.08			0.04				0.01				0.05				(0.04	)			(0.01	)			(0.05	)			10.08		0.50			0.64			0.55			0.39				25		56
2015			10.09			0.04				(0.01	)			0.03				(0.04	)			—				(0.04	)			10.08		0.25			0.60			0.55			0.34				25		57
2014(5)			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
2018			10.22			0.14				(0.08	)			0.06				(0.14	)			—				(0.14	)			10.14		0.62			0.67			0.55			1.40				6,502		95
2017			10.24			0.13				(0.02	)			0.11				(0.13	)			(0.00	)			(0.13	)			10.22		1.08			0.76			0.55			1.27				7,166		93
2016			10.20			0.11				0.06				0.17				(0.11	)			(0.02	)			(0.13	)			10.24		1.69			0.77			0.55			1.04				1,151		39
2015			10.20			0.12				0.00				0.12				(0.12	)			—				(0.12	)			10.20		1.21			0.83			0.55			1.15				453		50
2014(5)			10.17			0.03				0.03				0.06				(0.03	)			—				(0.03	)			10.20		0.64			0.83			0.55			1.29				25		69

(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			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			Ratios to Average Net Assets (1)												Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Short-Term Income Fund
2018		$	9.39		$	0.17		$	(0.12	)		$	0.05			$	(0.17	)		$	—			$	(0.17	)		$	9.27		0.56	%		0.71	%		0.60	%		1.80	%		$	26,011		48	%
2017			9.40			0.15			(0.01	)			0.14				(0.15	)			—				(0.15	)			9.39		1.46			0.72			0.60			1.61				33,311		53
2016			9.33			0.10			0.07				0.17				(0.10	)			—				(0.10	)			9.40		1.87			0.70			0.60			0.98				157		64
2015			9.40			0.09			(0.05	)			0.04				(0.11	)			—				(0.11	)			9.33		0.43			0.69			0.60			1.02				25		29
2014(5)			9.42			0.02			(0.01	)			0.01				(0.03	)			—				(0.03	)			9.40		0.10			0.71			0.60			1.10				25		43
Intermediate Tax-Free Fund
2018			11.37			0.30			(0.24	)			0.06				(0.30	)			—				(0.30	)			11.13		0.53			0.55			0.55			2.65				14,701		45
2017			11.61			0.29			(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.79			0.57			0.55			2.57				10,842		44
2016			11.26			0.25			0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.18				1,693		42
2015			11.25			0.26			0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.24				2,095		26
2014(5)			11.16			0.07			0.09				0.16				(0.07	)			—				(0.07	)			11.25		1.46			0.60			0.55			2.41				2,044		35
Strategic Income Fund
2018			9.45			0.37			(0.37	)			0.03				(0.40	)			—				(0.40	)			9.08		0.37			0.92			0.80			4.09				13,602		33
2017			9.43			0.28			0.03				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			3.14				18,354		65
2016			9.31			0.22			0.16				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.27				32		13
2015			9.36			0.22			0.00				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				26		44
2014(5)			9.35			0.03			0.05				0.08				(0.07	)			—				(0.07	)			9.36		0.86			0.94			0.80			2.38				25		129
TCH Corporate Income Fund
2018			13.20			0.40			(0.39	)			0.01				(0.40	)			(0.02	)			(0.42	)			12.79		0.06			0.63			0.59			3.15				1,864		31
2017			13.17			0.35			0.14				0.49				(0.35	)			(0.11	)			(0.46	)			13.20		3.86			0.71			0.59			2.63				1,384		44
2016			12.33			0.45			0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.77				66		62
2015			13.09			0.36			(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				25		26
2014(5)			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
2018			11.79			0.31			(0.37	)			(0.05	)			(0.32	)			(0.01	)			(0.33	)			11.41		(0.45	)		0.58			0.58			2.69				3,032		45
2017			11.89			0.28			(0.06	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.36				3,337		34
2016			11.42			0.34			0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			2.99				1,434		39
2015			11.95			0.32			(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.71				312		25
2014(5)			11.82			0.08			0.14				0.22				(0.09	)			—				(0.09	)			11.95		1.85			0.60			0.59			2.74				25		44
High Yield Bond Fund
2018			9.58			0.48			(0.33	)			0.15				(0.48	)			—				(0.48	)			9.25		1.62			2.00			0.90			5.12				864		37
2017			9.49			0.44			0.15				0.59				(0.50	)			—				(0.50	)			9.58		6.37			1.42			0.90			5.26				1,010		47
2016			9.41			0.48			0.08				0.56				(0.48	)			—				(0.48	)			9.49		6.22			1.21			0.90			5.15				72,010		51
2015			10.44			0.51			(0.79	)			(0.28	)			(0.51	)			(0.24	)			(0.75	)			9.41		(2.70	)		1.21			0.90			5.13				42,843		46
2014(5)			10.52			0.14			(0.08	)			0.06				(0.14	)			—				(0.14	)			10.44		0.58			1.17			0.90			5.09				25		42

(1)	Annualized for periods less than one year.

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

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

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

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

(6)	Calculated using the average shares method.

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

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

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

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


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

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

(12)	Includes distribution to shareholders for return of capital in the amount of $0.09 per share.

(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			Ratios to Average Net Assets (1)												Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Low Volatility Equity Fund
2018		$	14.42		$	0.24			$	1.74			$	1.98			$	(0.24	)		$	(0.39	)		$	(0.63	)		$	15.77		14.12	%		0.78	%		0.65	%		1.52	%		$	102,815		43	%
2017			13.84			0.24				0.74				0.98				(0.23	)			(0.17	)			(0.40	)			14.42		7.24			0.78			0.65			1.69				127,837		56
2016			12.84			0.20				1.35				1.55				(0.19	)			(0.36	)			(0.55	)			13.84		12.47			0.80			0.65			1.62				135,413		40
2015			13.22			0.20				0.53				0.73				(0.21	)			(0.90	)			(1.11	)			12.84		5.56			0.87			0.65			1.52				76,792		47
2014			11.28			0.18				2.05				2.23				(0.18	)			(0.11	)			(0.29	)			13.22		19.97			0.89			0.65			1.49				57,421		47
Dividend Income Fund
2018			14.47			0.34				2.64				2.98				(0.34	)			(1.70	)			(2.04	)			15.41		22.17			0.79			0.65			2.31				149,009		39
2017(5)			12.96			0.33				1.60				1.93				(0.31	)			(0.11	)			(0.42	)			14.47		15.15			0.83			0.65			2.37				112,377		43
2016			12.62			0.35				1.08				1.43				(0.33	)			(0.76	)			(1.09	)			12.96		12.07			0.83			0.65			2.68				38,719		51
2015			14.32			0.35				(0.77	)			(0.42	)			(0.36	)			(0.92	)			(1.28	)			12.62		(3.38	)		0.80			0.65			2.50				45,554		46
2014			12.27			0.32				2.51				2.83				(0.31	)			(0.47	)			(0.78	)			14.32		23.87			0.80			0.65			2.43				55,387		45
Large-Cap Value Fund
2018			15.88			0.28				2.14				2.42				(0.24	)			(1.45	)			(1.69	)			16.61		15.83			0.67			0.64			1.64				287,685		54
2017(5)			14.16			0.22				1.83				2.05				(0.21	)			(0.12	)			(0.33	)			15.88		14.66			0.77			0.75			1.47				307,156		62
2016			15.26			0.24				0.53				0.77				(0.26	)			(1.61	)			(1.87	)			14.16		5.57			0.85			0.82			1.83				136,813		60
2015			17.06			0.18				(0.23	)			(0.05	)			(0.13	)			(1.62	)			(1.75	)			15.26		(0.45	)		0.97			0.96			1.04				94,439		72
2014			14.56			0.16				3.56				3.72				(0.16	)			(1.06	)			(1.22	)			17.06		26.74			0.98			0.98			0.95				119,263		68
Large-Cap Growth Fund
2018			17.60			0.11				4.48				4.59				(0.02	)			(1.00	)			(1.02	)			21.17		27.19			0.67			0.64			0.56				279,227		57
2017			15.47			0.10				3.06				3.16				(0.13	)			(0.90	)			(1.03	)			17.60		21.63			0.78			0.75			0.65				278,436		75
2016			16.39			0.07				1.44				1.51				(0.06	)			(2.37	)			(2.43	)			15.47		9.88			0.88			0.82			0.50				95,438		70
2015			18.06			0.07				0.90				0.97				(0.04	)			(2.60	)			(2.64	)			16.39		5.85			0.98			0.96			0.29				72,958		94
2014			15.18			0.06				4.36				4.42				(0.09	)			(1.45	)			(1.54	)			18.06		30.63			0.99			0.99			0.28				130,948		67
Mid-Cap Value Fund
2018			11.89			0.13				1.18				1.31				(0.12	)			(0.50	)			(0.62	)			12.58		11.21			1.00			0.99			1.04				113,786		64
2017			14.38			0.08				1.27				1.35				(0.07	)			(3.77	)			(3.84	)			11.89		13.10			1.01			0.99			0.91				127,304		139
2016			15.01			0.16				0.85				1.01				(0.17	)			(1.47	)			(1.64	)			14.38		7.55			0.98			0.98			1.09				75,608		24
2015			17.63			0.08				(0.60	)			(0.52	)			(0.04	)			(2.06	)			(2.10	)			15.01		(3.29	)		0.97			0.97			0.43				99,160		27
2014			16.23			0.08				3.64				3.72				(0.12	)			(2.20	)			(2.32	)			17.63		24.96			0.95			0.95			0.49				145,606		30
Mid-Cap Growth Fund
2018			15.39			(0.03	)			4.42				4.39				—				(0.99	)			(0.99	)			18.79		29.76			1.06			0.99			(0.18	)			89,028		63
2017			16.76			0.03				2.19				2.22				(0.05	)			(3.54	)			(3.59	)			15.39		17.07			1.12			0.99			(0.07	)			94,464		157
2016			20.51			0.04				(0.91	)			(0.87	)			—				(2.88	)			(2.88	)			16.76		(4.06	)		1.04			0.99			0.33				39,569		59
2015			24.37			(0.08	)			(0.55	)			(0.63	)			—				(3.23	)			(3.23	)			20.51		(2.61	)		1.00			0.99			(0.26	)			82,768		53
2014			23.26			(0.09	)			4.26				4.17				—				(3.06	)			(3.06	)			24.37		19.43			0.97			0.97			(0.36	)			144,807		57
Small-Cap Value Fund
2018			13.47			0.07				2.61				2.68				—				(1.12	)			(1.12	)			15.03		20.67			1.16			0.99			0.49				56,848		70
2017(5)			13.37			0.04				1.41				1.45				(0.09	)			(1.26	)			(1.35	)			13.47		11.87			1.24			0.99			0.33				56,585		148
2016			12.84			0.05				1.00				1.05				—				(0.52	)			(0.52	)			13.37		8.47			1.14			0.99			0.40				25,522		39
2015			14.50			(0.01	)			(0.84	)			(0.85	)			—				(0.81	)			(0.81	)			12.84		(5.99	)		1.21			0.99			(0.14	)			19,186		53
2014			13.62			0.01				2.25				2.26				—				(1.38	)			(1.38	)			14.50		17.68			1.15			0.99			0.04				16,369		43
Small-Cap Core Fund
2018			13.30			0.03				2.74				2.77				(0.01	)			(0.83	)			(0.84	)			15.23		21.46			1.37			0.90			0.21				21,407		89
2017			11.64			0.01				1.89				1.90				(0.04	)			(0.20	)			(0.24	)			13.30		16.33			1.58			0.90			0.14				17,049		90
2016			10.45			0.03				1.25				1.28				(0.01	)			(0.08	)			(0.09	)			11.64		12.37			2.29			0.90			0.44				10,780		70
2015			10.40			0.02				0.03				0.05				—				—				—				10.45		0.48			4.77			0.90			0.17				3,632		64
2014(6)			10.00			0.00				0.40				0.40				—				—				—				10.40		4.00			6.75			0.90			(0.03	)			3,030		43

(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			Ratios to Average Net Assets (1)												Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Small-Cap Growth Fund
2018		$	19.00		$	(0.03	)		$	5.59			$	5.56			$	—			$	(2.08	)		$	(2.08	)		$	22.48		31.83	%		1.02	%		0.99	%		(0.21	)%		$	99,311		80	%
2017			16.62			(0.14	)			2.52				2.38				—				—				—				19.00		14.32			1.02			1.02			(0.37	)			81,259		197
2016			18.60			(0.10	)			(0.64	)			(0.74	)			—				(1.24	)			(1.24	)			16.62		(3.72	)		1.18			1.18			(0.21	)			179,726		63
2015			22.75			(0.07	)			(0.29	)			(0.36	)			—				(3.79	)			(3.79	)			18.60		(1.27	)		1.15			1.15			(0.35	)			339,016		59
2014			22.55			(0.02	)			3.16				3.14				—				(2.94	)			(2.94	)			22.75		14.69			1.15			1.15			(0.09	)			363,988		82
Global Low Volatility Equity Fund
2018			13.20			0.30				1.05				1.35				(0.37	)			(0.13	)			(0.50	)			14.05		10.44			1.19			0.85			1.94				30,205		34
2017(7)			12.65			0.19				0.64				0.83				(0.20	)			(0.08	)			(0.28	)			13.20		6.76			1.27			0.85			1.98				48,221		74
2016(7)			11.34			0.07				1.33				1.40				(0.09	)			(0.00	)			(0.09	)			12.65		12.44			1.38			0.85			2.26				38,909		36
2015(7)			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(7)(8)			10.00			0.07				1.43				1.50				—				—				—				11.50		15.00			13.27			0.85			1.76				3,947		29
Disciplined International Equity Fund
2018(7)			11.19			0.26				(0.25	)			0.01				(0.24	)			—				(0.24	)			10.96		0.05			1.03			0.90			2.33				77,339		52
2017(7)			9.58			0.25				1.64				1.89				(0.28	)			—				(0.28	)			11.19		20.30			1.14			0.90			2.13				72,239		77
2016(7)(9)			10.00			0.23				(0.65	)			(0.42	)			—				—				—				9.58		(4.20	)		1.20			0.90			2.51				67,434		64
Pyrford International Stock Fund
2018(7)			13.21			0.37				(0.06	)			0.31				(0.34	)			—				(0.34	)			13.18		2.34			0.96			0.94			2.41				485,053		20
2017(5)(7)			12.22			0.32				0.94				1.26				(0.27	)			—				(0.27	)			13.21		10.68			1.05			0.96			2.59				593,746		33
2016(7)			11.78			0.35				0.36				0.71				(0.27	)			—				(0.27	)			12.22		6.21			1.06			0.99			2.44				485,787		12
2015(7)			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(7)			12.10			0.39				1.27				1.66				(0.59	)			(0.03	)			(0.62	)			13.14		14.00			1.02			0.99			3.32				272,486		6
LGM Emerging Markets Equity Fund
2018(7)			15.97			0.19				(0.04	)			0.15				(0.13	)			—				(0.13	)			15.99		0.92			1.29			1.15			1.20				201,835		22
2017(5)(7)			14.08			0.15				1.84				1.99				(0.10	)			—				(0.10	)			15.97		14.36			1.38			1.15			1.04				157,581		40
2016(7)			12.16			0.15				1.90				2.05				(0.13	)			—				(0.13	)			14.08		17.12			1.39			1.15			1.07				78,851		24
2015(7)			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(7)			12.61			0.23				1.71				1.94				(0.22	)			—				(0.22	)			14.33		15.57			1.30			1.15			1.89				111,807		38
Alternative Strategies Fund
2018			10.81			(0.05	)			(0.27	)			(0.32	)			—				(0.67	)(12)			(0.67	)			9.82		(3.31	)		2.79	(10)		2.08	(10)		(0.42	)			73,250		122
2017(7)			10.33			(0.09	)			0.57				0.48				—				—				—				10.81		4.65			3.40	(10)		2.70	(10)		(0.67	)			95,583		251
2016(7)			10.42			(0.05	)			0.07				0.02				(0.01	)			(0.10	)			(0.11	)			10.33		0.16			3.63	(10)		2.82	(10)		(0.75	)			109,128		279
2015(7)(11)			10.00			(0.08	)			0.50				0.42				—				—				—				10.42		4.20			4.69	(10)		2.47	(10)		(1.11	)			34,261		119
Global Long/Short Equity Fund
2018(7)			12.25			0.04				0.20				0.24				(0.03	)			(0.42	)			(0.45	)			12.04		1.91			3.47	(10)		2.22	(10)		0.28				9,148		79
2017(7)			10.70			0.05				1.66				1.71				(0.07	)			(0.09	)			(0.16	)			12.25		16.10			4.80	(10)		2.17	(10)		0.27				8,967		42
2016(7)(9)			10.00			0.04				0.66				0.70				—				—				—				10.70		7.00			9.21	(10)		2.11	(10)		0.50				3,717		45
Ultra Short Tax-Free Fund
2018			10.08			0.13				(0.01	)			0.12				(0.13	)			(0.01	)			(0.14	)			10.06		1.10			0.37			0.30			1.25				572,669		156
2017			10.07			0.10				0.02				0.12				(0.10	)			(0.01	)			(0.11	)			10.08		1.15			0.39			0.30			0.94				625,691		126
2016			10.08			0.07				0.00				0.07				(0.07	)			(0.01	)			(0.08	)			10.07		0.65			0.39			0.30			0.65				548,641		56
2015			10.09			0.06				(0.01	)			0.05				(0.06	)			—				(0.06	)			10.08		0.50			0.35			0.30			0.59				702,324		57
2014			10.04			0.09				0.05				0.14				(0.09	)			(0.00	)			(0.09	)			10.09		1.35			0.34			0.30			0.82				663,538		86
Short Tax-Free Fund
2018			10.22			0.16				(0.08	)			0.08				(0.16	)			—				(0.16	)			10.14		0.77			0.48			0.40			1.56				182,022		95
2017			10.25			0.14				(0.03	)			0.11				(0.14	)			(0.00	)			(0.14	)			10.22		1.14			0.51			0.40			1.39				175,454		93
2016			10.20			0.13				0.07				0.20				(0.13	)			(0.02	)			(0.15	)			10.25		1.94			0.52			0.40			1.18				168,592		39
2015			10.21			0.14				(0.01	)			0.13				(0.14	)			—				(0.14	)			10.20		1.26			0.58			0.40			1.32				105,734		50
2014			9.95			0.15				0.26				0.41				(0.15	)			—				(0.15	)			10.21		4.12			0.62			0.40			1.45				78,050		69

(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			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			Ratios to Average Net Assets (1)												Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Short-Term Income Fund
2018		$	9.40		$	0.20		$	(0.11	)		$	0.09			$	(0.20	)		$	—			$	(0.20	)		$	9.29		0.92	%		0.46	%		0.35	%		2.06	%		$	214,068		48	%
2017			9.42			0.17			(0.02	)			0.15				(0.17	)			—				(0.17	)			9.40		1.60			0.47			0.35			1.76				209,278		53
2016			9.35			0.11			0.09				0.20				(0.13	)			—				(0.13	)			9.42		2.12			0.45			0.35			1.16				234,507		64
2015			9.42			0.12			(0.06	)			0.06				(0.13	)			—				(0.13	)			9.35		0.69			0.44			0.35			1.24				263,894		29
2014			9.39			0.13			0.04				0.17				(0.14	)			—				(0.14	)			9.42		1.80			0.43			0.35			1.35				142,526		43
Intermediate Tax-Free Fund
2018			11.37			0.32			(0.25	)			0.07				(0.32	)			—				(0.32	)			11.12		0.68			0.31			0.31			2.88				894,463		45
2017			11.60			0.31			(0.20	)			0.11				(0.31	)			(0.03	)			(0.34	)			11.37		1.11			0.32			0.32			2.79				631,658		44
2016			11.26			0.28			0.36				0.64				(0.28	)			(0.02	)			(0.30	)			11.60		5.71			0.32			0.32			2.43				601,873		42
2015			11.25			0.28			0.01				0.29				(0.28	)			—				(0.28	)			11.26		2.60			0.32			0.32			2.46				559,937		26
2014			10.66			0.31			0.59				0.90				(0.31	)			(0.00	)			(0.31	)			11.25		8.50			0.36			0.36			2.77				396,291		35
Strategic Income Fund
2018			9.44			0.40			(0.36	)			0.07				(0.43	)			—				(0.43	)			9.08		0.72			0.67			0.55			4.31				12,701		33
2017			9.42			0.27			0.06				0.33				(0.31	)			—				(0.31	)			9.44		3.58			0.65			0.55			2.68				21,550		65
2016			9.31			0.23			0.17				0.40				(0.29	)			—				(0.29	)			9.42		4.32			0.61			0.55			2.53				21,663		13
2015			9.35			0.24			0.01				0.25				(0.29	)			—				(0.29	)			9.31		2.70			0.68			0.55			2.61				22,981		44
2014			9.16			0.23			0.23				0.46				(0.27	)			—				(0.27	)			9.35		5.13			0.67			0.55			2.45				28,473		129
TCH Corporate Income Fund
2018			13.19			0.42			(0.39	)			0.03				(0.42	)			(0.02	)			(0.44	)			12.78		0.19			0.45			0.45			3.24				140,395		31
2017			13.15			0.37			0.15				0.52				(0.37	)			(0.11	)			(0.48	)			13.19		4.07			0.46			0.46			2.84				134,293		44
2016			12.32			0.46			0.88				1.34				(0.46	)			(0.05	)			(0.51	)			13.15		11.28			0.47			0.47			3.77				129,429		62
2015			13.07			0.38			(0.70	)			(0.32	)			(0.38	)			(0.05	)			(0.43	)			12.32		(2.53	)		0.45			0.45			2.97				162,107		26
2014			12.37			0.45			0.91				1.36				(0.45	)			(0.21	)			(0.66	)			13.07		11.32			0.49			0.49			3.50				121,773		25
TCH Core Plus Bond Fund
2018			11.78			0.34			(0.37	)			(0.03	)			(0.34	)			(0.01	)			(0.35	)			11.40		(0.20	)		0.33			0.33			2.95				981,569		45
2017			11.89			0.31			(0.07	)			0.24				(0.31	)			(0.04	)			(0.35	)			11.78		2.08			0.34			0.34			2.62				975,051		34
2016			11.42			0.37			0.48				0.85				(0.38	)			(0.00	)			(0.38	)			11.89		7.63			0.34			0.34			3.25				459,228		39
2015			11.94			0.34			(0.45	)			(0.11	)			(0.35	)			(0.06	)			(0.41	)			11.42		(0.96	)		0.33			0.33			2.94				472,576		25
2014			11.32			0.33			0.65				0.98				(0.34	)			(0.02	)			(0.36	)			11.94		8.82			0.37			0.37			2.89				422,941		44
High Yield Bond Fund
2018			9.57			0.50			(0.33	)			0.17				(0.50	)			—				(0.50	)			9.24		1.87			1.75			0.65			5.36				10,462		37
2017			9.49			0.52			0.08				0.60				(0.52	)			—				(0.52	)			9.57		6.53			1.17			0.65			5.50				12,303		47
2016			9.41			0.50			0.08				0.58				(0.50	)			—				(0.50	)			9.49		6.47			0.96			0.65			5.43				34,345		51
2015			10.44			0.54			(0.79	)			(0.25	)			(0.54	)			(0.24	)			(0.78	)			9.41		(2.46	)		0.96			0.65			5.46				30,173		46
2014			10.32			0.58			0.26				0.84				(0.58	)			(0.14	)			(0.72	)			10.44		8.32			0.85			0.65			5.53				37,307		42

(1)	Annualized for periods less than one year.

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

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

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

(5)	Calculated using the average shares method.

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

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

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

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

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


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

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

(12)	Includes distribution to shareholders for return of capital in the amount of $0.09 per share.

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

135



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


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

(1)	Annualized for periods less than one year.

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

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

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

(5)

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

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

136



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

(1)	Annualized for periods less than one year.

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

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

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

(5)	Calculated using the average shares method.

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

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

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

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

137



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


Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain			Total distributions				Net asset value, end of period			Ratios to Average Net Assets (1)												Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain			Total distributions				Net asset value, end of period			Total return (2)(3)			Gross Expenses			Net Expenses (4)			Net investment income (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Pyrford International Stock Fund
2018(7)		$	13.22		$	0.04		$	0.30			$	0.34		$	(0.36	)		$	—		$	(0.36	)		$	13.20		2.55	%		0.81	%		0.79	%		2.75	%		$	7,995		20	%
2017(5)(6)(7)			13.21			0.12			(0.11	)			0.01			—				—			—				13.22		0.08			0.88			0.79			3.52				26		33

(1)	Annualized for periods less than one year.

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

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

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

(5)	Calculated using the average shares method.

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

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

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

138

August 31, 2018



Notes to Financial Statements

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, 2018, the Corporation consisted of 42 portfolios, including 27 diversified portfolios within this annual report (individually referred to as the “Fund,” or collectively as the “Funds”) each with differing share class offerings, as well as 10 target retirement and 5 target risk portfolios whose 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.
Disciplined International Equity Fund(1)	September 17, 2015	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.
Alternative Strategies Fund(1)	December 16, 2014	To provide capital appreciation with an emphasis on absolute returns.
Global Long/Short Equity Fund(1)	September 17, 2015	To provide capital appreciation.
Ultra Short Tax-Free Fund	September 30, 2009	To provide current income exempt from federal income tax consistent with preservation of capital.
Short Tax-Free Fund	November 29, 2012	To provide current income exempt from federal income tax consistent with preservation of capital.
Short-Term Income Fund	November 1, 1992	To maximize total return consistent with current income.
Intermediate Tax-Free Fund	February 1, 1994	To provide a high level of current income exempt from federal income tax consistent with preservation of capital.
Strategic Income Fund	December 13, 1992	To maximize total return consistent with current income.
TCH Corporate Income Fund	December 22, 2008	To maximize total return consistent with current income.
TCH Core Plus Bond Fund	December 22, 2008	To maximize total return consistent with current income.
High Yield Bond Fund	December 29, 2011	To maximize total return consistent with current income.
Government Money Market Fund	May 17, 2004	To provide current income consistent with stability of principal.
Tax-Free Money Market Fund	September 22, 2004	To provide current income that is exempt from federal income tax and is consistent with stability of principal.
Prime Money Market Fund	November 23, 1992	To provide current income consistent with stability of principal.
Institutional Prime Money Market Fund	June 3, 2016	To provide current income consistent with preservation of capital.

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

Significant Accounting Policies

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

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

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

139



Notes to Financial Statements (continued)

credit quality, coupon, maturity, type of issue, and any other factors or market data the pricing service deems relevant. Fixed income securities with remaining maturities of 60 days or less at the time of purchase and of sufficient credit quality, are valued at amortized cost, which approximates fair value. Investments in other open-end registered investment companies are valued at net asset value.

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

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

The Pricing Committee may determine that a security needs to be fair valued if, among other things, it believes the value of the security might have been materially affected by events occurring after the close of the market in which the security was principally traded, but before the time for determination of the NAV (“a subsequent event”). A subsequent event might include a company-specific development (for example, announcement of a merger that is made after the close of the foreign market), a development that might affect an entire market or region (for example, weather related events) or a potentially global development (such as a terrorist attack that may be expected to have an effect on investor expectations worldwide). The Funds have retained an independent fair value pricing service to assist in fair valuing foreign securities in these circumstances. 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 except in the case of certain foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Funds’ information agents become aware of such dividends. Non-cash dividends included in dividend income, if any, are recorded at fair value. Paid-in-kind interest included in interest income, if any, is accrued daily.

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

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

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 distribution to shareholders each year of substantially all of their income. Accordingly, no provisions for federal tax are necessary. Withholding taxes on foreign dividends and unrealized appreciation on investments have been recognized 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 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 closes the short sale

140



		BMO Funds

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

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 effect of changes in foreign exchange rates on realized and unrealized gains or losses on securities is reflected as a component of such gains or losses.

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

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.

141



Notes to Financial Statements (continued)

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

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

Cash collateral received as part of the International Funds securities lending program was invested in the following security as of August 31, 2018:


Description	Value
State Street Navigator Securities Lending Government Money Market Portfolio, 1.920%	$	18,691,435

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, 2018 (1):


Description	Value
Atlantic Asset Securitization LLC, 2.239% (LIBOR 1 Month + 17 basis points), 2/21/2019(2)	$	7,499,655
Atlantic Asset Securitization LLC, 2.303%, 9/20/2018(3)		5,992,717
Atlantic Asset Securitization LLC, 2.307% (LIBOR 1 Month + 24 basis points), 12/14/2018(2)		6,500,000
Atlantic Asset Securitization LLC, 2.363% (LIBOR 1 Month + 30 basis points), 11/16/2018(2)		6,650,000
Atlantic Asset Securitization LLC, 2.380% (LIBOR 1 Month + 30 basis points), 11/06/2018(2)		7,000,000
Bank of Nova Scotia, 2.280% (LIBOR 1 Month + 23 basis points), 9/17/2018(2)		5,000,720
Bedford Row Funding Corp., 2.353% (LIBOR 1 Month + 29 basis points), 3/15/2019(2)		7,500,000
Bedford Row Funding Corp., 2.367% (LIBOR 1 Month + 30 basis points), 4/11/2019(2)		5,500,000
Bedford Row Funding Corp., 2.381% (LIBOR 1 Month + 30 basis points), 9/12/2018(2)		7,250,000
Bedford Row Funding Corp., 2.400% (LIBOR 1 Month + 32 basis points), 6/06/2019(2)		8,500,000
Bedford Row Funding Corp., 2.413% (LIBOR 1 Month + 35 basis points), 2/15/2019(2)		7,500,000
Bedford Row Funding Corp., 2.467% (LIBOR 3 Month + 13 basis points), 6/27/2019(2)		7,500,000
BlackRock Liquidity Funds FedFund Portfolio, 1.933%, 9/04/2018		8,116,490
BMO Government Money Market Fund, 1.783%, 9/04/2018(4)		70,000,000
BMO Institutional Prime Money Market Fund, 1.977%, 9/04/2018(4)		310,031,000
Canadian Imperial Bank of Commerce/New York NY, 2.410% (LIBOR 3 Month + 10 basis points), 9/20/2019(2)		7,499,243
Cargill, Inc., 1.941%, 9/06/2018(3)		14,995,958
Coca-Cola Co., 2.441%, 1/09/2019(3)		4,956,305
Collateralized Commercial Paper Co. LLC, 2.478%, 2/12/2019(3)		6,378,011
Collateralized Commercial Paper Co. LLC, 2.493%, 1/14/2019(3)		9,412,006
Collateralized Commercial Paper Co. LLC, 2.545% (LIBOR 3 Month + 22 basis points), 12/20/2018(2)		5,000,000


Description	Value
Commonwealth Bank of Australia, 2.267% (LIBOR 1 Month + 20 basis points), 10/11/2018(2)	$	5,500,000
Commonwealth Bank of Australia, 2.294% (LIBOR 1 Month + 21 basis points), 11/30/2018(2)		7,503,113
Credit Suisse New York, 2.304% (LIBOR 1 Month + 24 basis points), 9/10/2018(2)		7,850,738
Credit Suisse New York, 2.327% (LIBOR 1 Month + 26 basis points), 10/22/2018(2)		5,002,120
Equinor ASA, 1.950%, 9/04/2018(3)		9,998,375
General Electric Co., 1.940%, 9/04/2018(3)		19,996,767
General Electric Co., 1.940%, 9/05/2018(3)		19,995,689
General Electric Co., 1.941%, 9/06/2018(3)		7,497,979
HSBC Bank USA NA, 2.264% (LIBOR 1 Month + 26 basis points), 11/16/2018(2)		6,003,180
HSBC Bank USA NA, 2.287% (LIBOR 1 Month + 21 basis points), 11/20/2018(2)		7,503,202
HSBC Bank USA NA, 2.305% (LIBOR 1 Month + 24 basis points), 4/25/2019(2)		7,503,158
HSBC Bank USA NA, 2.320% (LIBOR 1 Month + 24 basis points), 12/04/2018(2)		12,756,604
John Deere Capital Corp., 2.051%, 9/13/2018(3)		8,175,410
JP Morgan Securities LLC, 2.511%, 2/25/2019(3)		7,408,550
Lexington Parker Capital Co. LLC, 2.029%, 9/04/2018(3)		17,497,042
Lexington Parker Capital Co. LLC, 2.051%, 9/05/2018(3)		7,498,292
Lexington Parker Capital Co. LLC, 2.065%, 9/07/2018(3)		17,493,979
Lexington Parker Capital Co. LLC, 2.101%, 9/12/2018(3)		7,495,188
Liberty Street Funding LLC, 2.271%, 11/16/2018(3)		12,440,361
Liberty Street Funding LLC, 2.381% (LIBOR 1 Month + 30 basis points), 11/02/2018(2)		6,500,000
LMA Americas LLC, 1.951%, 9/05/2018(3)		3,999,133
LMA Americas LLC, 1.971%, 9/13/2018(3)		10,742,941
LMA Americas LLC, 2.042%, 9/20/2018(3)		9,070,224
LMA Americas LLC, 2.307%, 10/15/2018(3)		7,478,917
LMA Americas LLC, 2.362%, 11/16/2018(3)		7,462,792
LMA Americas LLC, 2.517%, 2/04/2019(3)		5,440,655
Longship Funding DAC, 1.990%, 9/05/2018(3)		7,748,286
Longship Funding DAC, 1.991%, 9/06/2018(3)		9,997,236
Longship Funding DAC, 2.001%, 9/11/2018(3)		7,495,833

142



		BMO Funds


Description	Value
Longship Funding DAC, 2.052%, 9/17/2018(3)	$	8,991,800
Manhattan Asset Funding Co. LLC, 2.284%, 9/27/2018(3)		4,991,767
Manhattan Asset Funding Co. LLC, 2.390% (LIBOR 1 Month + 31 basis points), 11/05/2018(2)		7,500,000
Metlife Short Term Funding LLC, 2.207%, 10/22/2018(3)		9,968,833
Mitsubishi UFJ Trust & Banking Corp., 2.297% (LIBOR 1 Month + 23 basis points), 1/22/2019(2)		5,002,035
Mitsubishi UFJ Trust & Banking Corp., 2.345% (LIBOR 1 Month + 28 basis points), 1/25/2019(2)		9,005,526
Mizuho Bank Ltd., 2.255% (LIBOR 1 Month + 19 basis points), 3/11/2019(2)		6,999,608
Mizuho Bank Ltd., 2.327% (LIBOR 1 Month + 25 basis points), 12/18/2018(2)		7,501,905
Mizuho Bank Ltd., 2.473% (LIBOR 3 Month + 30 basis points), 4/30/2019(2)		7,507,252
Mizuho Bank Ltd., 2.503% (LIBOR 1 Month + 44 basis points), 10/10/2018(2)		5,002,150
MUFG Bank Ltd., 2.440% (LIBOR 1 Month + 38 basis points), 10/17/2018(2)		5,252,840
National Australia Bank Ltd., 2.273% (LIBOR 1 Month + 20 basis points), 10/29/2018(2)		10,000,000
Nordea Bank AB, 2.467% (LIBOR 1 Month + 40 basis points), 3/14/2019(2)		5,003,905
Old Line Funding LLC, 2.405% (LIBOR 1 Month + 34 basis points), 10/25/2018(2)		7,100,000
Old Line Funding LLC, 2.581% (LIBOR 1 Month + 50 basis points), 3/21/2019(2)		5,000,000
Regency Markets No. 1 LLC, 2.001%, 9/07/2018(3)		6,997,667
Regency Markets No. 1 LLC, 2.041%, 9/06/2018(3)		3,998,867
Regency Markets No. 1 LLC, 2.052%, 9/17/2018(3)		9,990,889
Sheffield Receivables Co. LLC, 2.104%, 10/01/2018(3)		9,982,500
Sheffield Receivables Co. LLC, 2.269%, 11/01/2018(3)		4,980,853
Sheffield Receivables Co. LLC, 2.291%, 11/14/2018(3)		4,976,567
Sheffield Receivables Co. LLC, 2.291%, 11/15/2018(3)		7,464,375
Sheffield Receivables Co. LLC, 2.335%, 12/07/2018(3)		4,968,744
Starbird Funding Corp., 1.950%, 9/04/2018(3)		9,998,375
Starbird Funding Corp., 2.281%, 11/14/2018(3)		7,962,671
Starbird Funding Corp., 2.356%, 12/18/2018(3)		7,447,350
Sumitomo Mitsui Banking Corp., 2.230% (LIBOR 1 Month + 17 basis points), 2/19/2019(2)		8,750,000
Sumitomo Mitsui Banking Corp., 2.273% (LIBOR 1 Month + 20 basis points), 3/28/2019(2)		7,499,655
Sumitomo Mitsui Banking Corp., 2.316% (LIBOR 1 Month + 25 basis points), 10/24/2018(2)		7,501,995


Description	Value
Swedbank, 1.961%, 9/11/2018(3)	$	7,495,917
Swedbank, 2.001%, 9/12/2018(3)		13,791,567
Thunder Bay Funding LLC, 2.252% (LIBOR 1 Month + 17 basis points), 1/01/1900(2)		8,500,000
Thunder Bay Funding LLC, 2.317% (LIBOR 1 Month + 25 basis points), 1/14/2019(2)		10,000,000
Thunder Bay Funding LLC, 2.417% (LIBOR 1 Month + 34 basis points), 2/19/2019(2)		7,500,000
Thunder Bay Funding LLC, 2.449% (LIBOR 1 Month + 37 basis points), 3/07/2019(2)		5,850,000
Toronto-Dominion Bank, 2.245% (LIBOR 3 Month + 11 basis points), 10/18/2018(2)		12,506,412
Toronto-Dominion Bank, 2.272% (LIBOR 1 Month + 19 basis points), 10/03/2018(2)		5,000,000
Toronto-Dominion Bank, 2.353% (LIBOR 1 Month + 27 basis points), 2/08/2019(2)		7,500,000
Toronto-Dominion Bank, 2.400% (LIBOR 1 Month + 32 basis points), 9/05/2018(2)		6,450,393
Toronto-Dominion Bank, 2.469% (LIBOR 3 Month + 13 basis points), 7/16/2019(2)		7,499,325
Toronto-Dominion Bank, 2.497% (LIBOR 3 Month + 15 basis points), 4/23/2019(2)		5,000,000
Toyota Motor Credit Corp., 2.330% (LIBOR 1 Month + 25 basis points), 9/04/2018(2)		7,500,000
Toyota Motor Credit Corp., 2.357% (LIBOR 3 Month + 2 basis points), 1/03/2019(2)		7,500,000
Toyota Motor Credit Corp., 2.419% (LIBOR 3 Month + 8 basis points), 4/12/2019(2)		7,500,000
Toyota Motor Credit Corp., 2.450% (LIBOR 1 Month + 37 basis points), 10/03/2018(2)		5,000,000
Wal-Mart Stores, Inc., 1.971%, 9/10/2018(3)		7,496,306
Wal-Mart Stores, Inc., 1.972%, 9/19/2018(3)		7,992,120
Wells Fargo Bank NA, 2.299% (LIBOR 1 Month + 22 basis points), 10/05/2018(2)		6,501,898
Wells Fargo Bank NA, 2.307% (LIBOR 1 Month + 24 basis points), 11/09/2018(2)		7,253,451
Wells Fargo Bank NA, 2.371% (LIBOR 1 Month + 42 basis points), 10/09/2018(2)		7,754,076
Wells Fargo Bank NA, 2.476% (LIBOR 3 Month + 14 basis points), 6/28/2019(2)		7,499,970
Westpac Banking Corp., 2.254% (LIBOR 1 Month + 19 basis points), 9/10/2018(2)		7,500,000
Westpac Banking Corp., 2.370% (U.S. Federal Funds Effective Rate (continuous series) + 45 basis points), 2/15/2019(2)		6,699,678
Westpac Banking Corp., 2.469% (LIBOR 3 Month + 13 basis points), 1/09/2019(2)		5,501,667
Other		(447,793	)

Total	$	1,185,530,985

(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)

Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of August 31, 2018.

(3)

Each issue shows the rate of the discount at the time of purchase.

(4)

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

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.

143



Notes to Financial Statements (continued)

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.

For the year ended August 31, 2018, the Funds had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy. The Funds did not hold any Level 3 securities as of August 31, 2018.

The following is a summary of the inputs used, as of August 31, 2018, in valuing the Funds’ assets:


	Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	126,587,939	$	—	$	—	$	126,587,939
Short-Term Investments		1,494,204		57,761,573		—		59,255,777

Total	$	128,082,143	$	57,761,573	$	—	$	185,843,716


	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	151,264,874	$	—	$	—	$	151,264,874
Short-Term Investments		3,591,099		70,677,075		—		74,268,174

Total	$	154,855,973	$	70,677,075	$	—	$	225,533,048


	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	383,464,731	$	—	$	—	$	383,464,731
Short-Term Investments		7,482,313		159,109,849		—		166,592,162

Total	$	390,947,044	$	159,109,849	$	—	$	550,056,893


	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	399,401,591	$	—	$	—	$	399,401,591
Short-Term Investments		6,735,831		150,732,234		—		157,468,065

Total	$	406,137,422	$	150,732,234	$	—	$	556,869,656


	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	197,529,311	$	—	$	—	$	197,529,311
Short-Term Investments		2,420,873		93,348,421		—		95,769,294

Total	$	199,950,184	$	93,348,421	$	—	$	293,298,605



	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	126,923,190	$	—	$	—	$	126,923,190
Short-Term Investments		1,583,732		58,405,407		—		59,989,139

Total	$	128,506,922	$	58,405,407	$	—	$	186,912,329


	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	74,410,602	$	—	$	—	$	74,410,602
Short-Term Investments		1,486,191		36,689,352		—		38,175,543

Total	$	75,896,793	$	36,689,352	$	—	$	112,586,145


	Small-Cap Core Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	23,949,570	$	—	$	—	$	23,949,570
Short-Term Investments		440,742		11,219,203		—		11,659,945

Total	$	24,390,312	$	11,219,203	$	—	$	35,609,515


	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	151,614,386	$	—	$	—	$	151,614,386
Short-Term Investments		2,038,642		68,845,157		—		70,883,799

Total	$	153,653,028	$	68,845,157	$	—	$	222,498,185

144



		BMO Funds


	Global Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Belgium	$	52,381	$	—	$	—	$	52,381
Bermuda		358,547		—		—		358,547
Brazil		175,120		—		—		175,120
Canada		2,905,384		—		—		2,905,384
Cayman Islands		458,029		—		—		458,029
China		318,371		—		—		318,371
Czech Republic		819,521		—		—		819,521
Denmark		194,864		—		—		194,864
France		32,712		—		—		32,712
Germany		222,879		—		—		222,879
Guernsey		576,096		—		—		576,096
Hong Kong		2,680,954		—		—		2,680,954
Hungary		133,525		—		—		133,525
Israel		592,959		—		—		592,959
Japan		2,459,197		—		—		2,459,197
Malaysia		1,420,621		—		—		1,420,621
Netherlands		217,834		—		—		217,834
New Zealand		989,882		—		—		989,882
Philippines		571,660		—		—		571,660
Singapore		1,229,211		—		—		1,229,211
Switzerland		404,018		—		—		404,018
Taiwan		780,068		—		—		780,068
Thailand		208,376		—		—		208,376
United Kingdom		118,951		—		—		118,951
United States		12,191,421		—		—		12,191,421
Common Stock Units		109,822		—		—		109,822
Short-Term Investments		2,178,530		—		—		2,178,530

Total	$	32,400,933	$	—	$	—	$	32,400,933


	Disciplined International Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	5,541,144	$	—	$	—	$	5,541,144
Belgium		155,901		—		—		155,901
Cayman Islands		377,023		—		—		377,023
Denmark		2,381,433		—		—		2,381,433
Finland		2,143,230		—		—		2,143,230
France		8,744,801		—		—		8,744,801
Germany		5,517,159		—		—		5,517,159
Hong Kong		5,434,290		—		—		5,434,290
Italy		945,567		—		—		945,567
Japan		16,024,118		—		—		16,024,118
Jersey		2,488,517		—		—		2,488,517
Luxembourg		321,142		—		—		321,142
Netherlands		3,464,661		—		—		3,464,661
New Zealand		169,195		—		—		169,195
Norway		3,755,348		—		—		3,755,348
Portugal		133,003		—		—		133,003
Singapore		841,748		—		—		841,748
Spain		1,065,149		—		—		1,065,149
Sweden		337,686		—		—		337,686
Switzerland		4,269,211		—		—		4,269,211
United Kingdom		8,723,029		—		—		8,723,029
Exchange Traded Funds		1,274,200		—		—		1,274,200
Limited Partnership Units		334,400		—		—		334,400
Short-Term Investments		3,435,698		—		—		3,435,698

Total	$	77,877,653	$	—	$	—	$	77,877,653


	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	620,104,210	$	—	$	—	$	620,104,210
Preferred Stocks(1)		11,579,563		—		—		11,579,563
Short-Term Investments		30,412,487		—		—		30,412,487

Total	$	662,096,260	$	—	$	—	$	662,096,260


	LGM Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Brazil	$	2,926,420	$	—	$	—	$	2,926,420
Chile		2,575,138		—		—		2,575,138
China		17,799,780		—		—		17,799,780
Egypt		8,376,478		—		—		8,376,478
Hong Kong		22,384,811		—		—		22,384,811
India		44,706,473		—		—		44,706,473
Indonesia		17,611,325		—		—		17,611,325
Malaysia		8,103,319		—		—		8,103,319
Mexico		14,616,173		—		—		14,616,173
Nigeria		1,511,651		—		—		1,511,651
Peru		2,899,448		—		—		2,899,448
Philippines		8,772,705		—		—		8,772,705
Russia		8,469,236		—		—		8,469,236
South Africa		16,627,643		—		—		16,627,643
Taiwan		6,751,262		—		—		6,751,262
Thailand		2,149,770		—		—		2,149,770
Turkey		537,589		—		—		537,589
United States		4,001,220		—		—		4,001,220
Vietnam		3,881,479		—		—		3,881,479
Common Stock Units		5,338,108		—		—		5,338,108
Short-Term Investments		9,191,745		—		—		9,191,745

Total	$	209,231,773	$	—	$	—	$	209,231,773


	Alternative Strategies Fund(2)
	Level 1		Level 2		Level 3		Total
Assets-Long

Common Stocks
Australia	$	132,491	$	—	$	—	$	132,491
Bermuda		901,411		—		—		901,411
Canada		2,960,890		—		—		2,960,890
China		180,401		—		—		180,401
Denmark		176,954		—		—		176,954
France		214,360		—		—		214,360
Germany		22,987		—		—		22,987
Indonesia		305,421		—		—		305,421
Ireland		1,796,176		—		—		1,796,176
Italy		79,707		—		—		79,707
Japan		1,477,786		—		—		1,477,786
Jersey		62,241		—		—		62,241
Luxembourg		215,789		—		—		215,789
Netherlands		177,230		—		—		177,230
New Zealand		216,042		—		—		216,042
Norway		273,929		—		—		273,929
Panama		71,306		—		—		71,306
Poland		83,610		—		—		83,610
South Korea		447,097		—		—		447,097
Sweden		67,716		—		—		67,716
Switzerland		141,611		—		—		141,611
Taiwan		280,693		—		—		280,693
United Kingdom		740,531		—		—		740,531
United States		39,309,896		—		—		39,309,896
Corporate Bonds & Notes		—		—		—		—
Purchased Options		117,942		—		—		117,942
Short-Term Investments		24,540,402		—		—		24,540,402

Total	$	74,994,619	$	—	$	—	$	74,994,619

Liabilities-Short

Common Stocks
Australia	$	47,936	$	—	$	—	$	47,936
Canada		637,836		—		—		637,836
Cayman Islands		10,805		—		—		10,805
Denmark		241,790		—		—		241,790
Finland		29,886		—		—		29,886
France		187,048		—		—		187,048
Germany		354,799		—		—		354,799
Japan		2,598,287		—		—		2,598,287
Netherlands		660,487		—		—		660,487
Norway		43,059		—		—		43,059
Spain		431,544		—		—		431,544
Sweden		460,129		—		—		460,129
Switzerland		237,576		—		—		237,576
United Kingdom		617,950		—		—		617,950
United States		10,752,778		—		—		10,752,778
Exchange Traded Funds		1,563,424		—		—		1,563,424
Written Options		104,177		—		—		104,177

Total	$	18,979,511	$	—	$	—	$	18,979,511

145



Notes to Financial Statements (continued)


	Global Long/Short Equity Fund
	Level 1		Level 2		Level 3		Total
Assets-Long

Common Stocks
Australia	$	75,239	$	—	$	—	$	75,239
Bermuda		278,661		—		—		278,661
Canada		1,289,071		—		—		1,289,071
China		22,755		—		—		22,755
Denmark		102,082		—		—		102,082
France		121,415		—		—		121,415
Germany		12,591		—		—		12,591
Indonesia		177,625		—		—		177,625
Italy		45,237		—		—		45,237
Japan		825,543		—		—		825,543
Jersey		35,273		—		—		35,273
Luxembourg		122,437		—		—		122,437
Netherlands		106,229		—		—		106,229
New Zealand		123,435		—		—		123,435
Norway		158,397		—		—		158,397
Panama		40,450		—		—		40,450
Poland		47,526		—		—		47,526
South Korea		255,117		—		—		255,117
Sweden		57,341		—		—		57,341
Switzerland		82,482		—		—		82,482
Taiwan		162,503		—		—		162,503
United Kingdom		292,880		—		—		292,880
United States		5,337,949		—		—		5,337,949
Short-Term Investments		3,727,877		—		—		3,727,877

Total	$	13,500,115	$	—	$	—	$	13,500,115

Liabilities-Short

Common Stocks
Australia	$	24,607	$	—	$	—	$	24,607
Cayman Islands		6,132		—		—		6,132
Finland		16,383		—		—		16,383
Germany		195,070		—		—		195,070
Japan		1,441,325		—		—		1,441,325
Netherlands		84,320		—		—		84,320
Norway		25,111		—		—		25,111
Spain		63,162		—		—		63,162
Sweden		101,710		—		—		101,710
Switzerland		17,135		—		—		17,135
United Kingdom		265,015		—		—		265,015
United States		1,402,246		—		—		1,402,246

Total	$	3,642,216	$	—	$	—	$	3,642,216


	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	583,732,697	$	—	$	583,732,697
Short-Term Investments		159,901		22,322,929		—		22,482,830

Total	$	159,901	$	606,055,626	$	—	$	606,215,527


	Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	189,667,410	$	—	$	189,667,410
Mutual Funds		875,303		—		—		875,303
Short-Term Investments		121,200		—		—		121,200

Total	$	996,503	$	189,667,410	$	—	$	190,663,913



	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	56,300,881	$	—	$	56,300,881
Certificates of Deposit		—		3,348,522		—		3,348,522
Collateralized Mortgage Obligations		—		17,360,976		—		17,360,976
Commercial Mortgage Securities		—		14,646,370		—		14,646,370
Corporate Bonds & Notes		—		105,418,048		—		105,418,048
Mutual Funds		1,007,665		—		—		1,007,665
U.S. Government & U.S. Government Agency Obligations		—		28,028,322		—		28,028,322
U.S. Government Agency-Mortgage Securities		—		2,469,654		—		2,469,654
Short-Term Investments		3,242,065		46,427,517		—		49,669,582

Total	$	4,249,730	$	274,000,290	$	—	$	278,250,020


	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	1,758,008,770	$	—	$	1,758,008,770
Mutual Funds		15,526,002		—		—		15,526,002
Short-Term Investments		85,922		—		—		85,922

Total	$	15,611,924	$	1,758,008,770	$	—	$	1,773,620,694


	Strategic Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	3,444,482	$	—	$	3,444,482
Collateralized Mortgage Obligations		—		9,114,182		—		9,114,182
Commercial Mortgage Securities		—		6,042,163		—		6,042,163
Corporate Bonds & Notes		—		51,212,215		—		51,212,215
U.S. Government & U.S. Government Agency Obligations		—		1,997,711		—		1,997,711
U.S. Government Agency-Mortgage Securities		—		9,428,121		—		9,428,121
Short-Term Investments		5,787,248		21,425,129		—		27,212,377

Total	$	5,787,248	$	102,664,003	$	—	$	108,451,251


	TCH Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	235,742,115	$	—	$	235,742,115
Municipals		—		534,320		—		534,320
U.S. Government & U.S. Government Agency Obligations		—		1,423,535		—		1,423,535
Short-Term Investments		4,850,884		50,798,784		—		55,649,668

Total	$	4,850,884	$	288,498,754	$	—	$	293,349,638

146



		BMO Funds


	TCH Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	27,948,720	$	—	$	27,948,720
Commercial Mortgage Securities		—		44,226,197		—		44,226,197
Corporate Bonds & Notes		—		473,299,731		—		473,299,731
Municipals		—		320,592		—		320,592
U.S. Government & U.S. Government Agency Obligations		—		254,911,025		—		254,911,025
U.S. Government Agency-Mortgage Securities		—		198,295,197		—		198,295,197
Short-Term Investments		40,862,111		363,577,000		—		404,439,111

Total	$	40,862,111	$	1,362,578,462	$	—	$	1,403,440,573


	High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	10,405,546	$	—	$	10,405,546
Short-Term Investments		813,997		4,935,287		—		5,749,284

Total	$	813,997	$	15,340,833	$	—	$	16,154,830


	Government Money Market Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	220,000,000	$	—	$	—	$	220,000,000
Repurchase Agreements		—		1,303,479,468		—		1,303,479,468
U.S. Government & U.S. Government Agency Obligations		—		1,867,836,765		—		1,867,836,765

Total	$	220,000,000	$	3,171,316,233	$	—	$	3,391,316,233


	Tax-Free Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	371,385,861	$	—	$	371,385,861
Mutual Funds		9,555,886		—		—		9,555,886

Total	$	9,555,886	$	371,385,861	$	—	$	380,941,747


	Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	69,504,194	$	—	$	69,504,194
Commercial Paper		—		266,676,088		—		266,676,088
Municipals		—		2,080,000		—		2,080,000
Mutual Funds		18,000,000		—		—		18,000,000
Repurchase Agreements		—		105,528,777		—		105,528,777

Total	$	18,000,000	$	443,789,059	$	—	$	461,789,059


	Institutional Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	82,027,890	$	—	$	82,027,890
Commercial Paper		—		294,366,638		—		294,366,638
Mutual Funds		15,743,894		—		—		15,743,894
Repurchase Agreements		—		90,000,000		—		90,000,000

Total	$	15,743,894	$	466,394,528	$	—	$	482,138,422

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

(2)	The following is a summary of other financial instruments that are derivative instruments not reflected in the Schedules of Investments, such as futures 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 Futures Contracts	$	192,221		$	—		$	—	$	192,221
Short Futures Contracts		(828,414	)		—			—		(828,414	)

Total Futures Contracts	$	(636,193	)	$	—		$	—	$	(636,193	)

Long Forward Contracts	$	—		$	(144,112	)	$	—	$	(144,112	)
Short Forward Contracts		—			324,033			—		324,033

Total Forward Contracts	$	—		$	179,921		$	—	$	179,921

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 did not occur on August 31, 2018, but did on August 31, 2017, resulting in transfers between Level 2 and Level 1 categories.

The following is a reconciliation of transfers between category levels from August 31, 2017 to August 31, 2018:


	Global Low Volatility Equity Fund			Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund - Long Transfers			Alternative Strategies Fund - Short Transfers			Global Long/Short Equity Fund - Long Transfers			Global Long/Short Equity Fund - Short Transfers
Transfers into Level 1	$	11,494,455		$	37,163,468		$	605,177,492		$	124,204,528		$	2,592,351		$	2,320,799		$	1,747,672		$	1,207,773
Transfers out of Level 1		—			—			—			—			—			—			—			—

Net transfers into Level 1	$	11,494,455		$	37,163,468		$	605,177,492		$	124,204,528		$	2,592,351		$	2,320,799		$	1,747,672		$	1,207,773

Transfers into Level 2	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
Transfers out of Level 2		(11,494,455	)		(37,163,468	)		(605,177,492	)		(124,204,528	)		(2,592,351	)		(2,320,799	)		(1,747,672	)		(1,207,773	)

Net transfers out of Level 2	$	(11,494,455	)	$	(37,163,468	)	$	(605,177,492	)	$	(124,204,528	)	$	(2,592,351	)	$	(2,320,799	)	$	(1,747,672	)	$	(1,207,773	)

147



Notes to Financial Statements (continued)

Derivative Holdings and Activity Detail

Derivatives and Hedging Disclosures—Derivatives and hedging require enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial positions, performance and cash flows. For the year ended August 31, 2018, the Alternative Strategies Fund utilized all derivatives for the purposes of generating and enhancing total return.

During the year ended August 31, 2018, the Alternative Strategies Fund had average quarterly contracts or notional values outstanding:


Average Quarterly Contracts				Average Quarterly Notional Values
Long Futures	Short Futures	Purchased Options	Written Options	Long Forwards	Short Forwards
555	816	757	1,260	$20,754,527	$21,120,567

The effects of these derivative instruments on the Alternative Strategies Fund’s financial positions and financial performance are reflected in the Statements of Assets and Liabilities and Statements of Operations, and are presented in the table below. The values of derivative instruments as of August 31, 2018 by risk category are as follows:


	Statement of Asset and Liabilities			Statement of Operations
Fund/Financial Instrument Type	Amount			Realized Gain (Loss)			Net Change in Appreciation (Depreciation)
Alternative Strategies Fund
Interest rate futures contracts:
Receivables for daily variation margin	$	51,206
Payables for daily variation margin		(21,847	)

Net		29,359		$	(605,150	)	$	(37,901	)

Equity futures contracts:
Receivables for daily variation margin		235,415
Payables for daily variation margin		(900,967	)

Net		(665,552	)		(1,444,533	)		(827,146	)

Total receivables for interest rate and equity futures contracts		286,621
Total payables for interest rate and equity futures contracts		(922,814	)

Net	$	(636,193	)	$	(2,049,683	)	$	(865,047	)

Forward foreign exchange contracts:
Receivables for forward foreign exchange contracts	$	487,075
Payables for forward foreign exchange contracts		(307,154	)

Net	$	179,921		$	(1,114,134	)	$	(20,476	)

Equity option contracts:
Purchased options	$	117,942		$	(1,068,981	)	$	554,826

Written options	$	(104,177	)	$	1,288,709		$	(672,299	)

Offsetting of Assets and Liabilities—Disclosures about offsetting assets and liabilities require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented. As of August 31, 2018 no master netting arrangements exist related to the Funds. The Funds’ Statements of Assets and Liabilities (“SAL”) presents derivative instruments on a gross basis, therefore, no net amounts and no offset amounts exist within the SAL to present below. Gross amounts of the derivative instruments, amounts related to financial instruments/cash collateral not offset in the SAL and net amounts are presented below:


	Derivative Assets				Derivative Liabilities									Net Derivative Assets (Liabilities)			Collateral Pledged (Received) (1)
Fund/Counterparty	Forward Currency Contracts		Futures Contracts		Forward Currency Contracts			Futures Contracts			Written Options			Net Derivative Assets (Liabilities)			Financial Instruments		Cash			Net Amount
Alternative Strategies Fund
Bank of America Merrill Lynch (Over the Counter)	$	487,075	$	—	$	(307,154	)	$	—		$	—		$	179,921		$	—	$	(86,700	)	$	93,221
Exchange Traded Futures Contracts		—		286,621		—			(922,814	)		—			(636,193	)		344,437		—			(291,756	)
Exchange Traded Options Contracts		—		—		—			—			(104,177	)		(104,177	)		—		104,177			—

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

148

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Notes to Financial Statements (continued)

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
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—
Advisor class of shares		2,286,790			30,709,923			3,699,050			9,963,731
Institutional class of shares		14,306,331			23,796,019			36,241,152			84,755,232
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			—

Net proceeds from sale of shares		16,593,121			54,505,942			39,940,202			94,718,963
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—
Advisor class of shares		1,153,738			600,108			356,437			1,904,772
Institutional class of shares		4,960,839			3,555,616			15,598,754			1,431,043
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—

Net proceeds from shares issued:		6,114,577			4,155,724			15,955,191			3,335,815
Cost of shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(11,884,791	)		(16,253,010	)		(1,523,536	)		(95,290,255	)
Institutional class of shares		(53,938,321	)		(40,363,601	)		(24,803,382	)		(17,370,722	)
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			—

Net cost of shares redeemed		(65,823,112	)		(56,616,611	)		(26,326,918	)		(112,660,977	)

Net change resulting from fund share transactions in dollars	$	(43,115,414	)	$	2,045,055		$	29,568,475		$	(14,606,199	)


Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—
Advisor class of shares		155,588			2,223,381			250,661			734,704
Institutional class of shares		963,075			1,717,254			2,481,080			5,932,931
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			—

Net sale of shares		1,118,663			3,940,635			2,731,741			6,667,635
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—
Advisor class of shares		79,316			43,466			25,309			142,063
Institutional class of shares		339,986			258,635			1,111,368			104,269
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—

Net shares issued		419,302			302,101			1,136,677			246,332
Shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(809,235	)		(1,157,535	)		(102,595	)		(6,726,795	)
Institutional class of shares		(3,652,276	)		(2,894,759	)		(1,686,199	)		(1,260,014	)
Retirement class R-3 of shares		—			—			—			—
Retirement class R-6 of shares		—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			—

Net shares redeemed		(4,461,511	)		(4,052,294	)		(1,788,794	)		(7,986,809	)

Net change resulting from fund share transactions in shares		(2,923,546	)		190,442			2,079,624			(1,072,842	)

(1)	Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(2)

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

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

150



		BMO Funds



Large-Cap Value Fund						Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund
Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017


$	—		$	25,782,143	(1)	$	8,890,108		$	47,552,629		$	—		$	12,630,560	(1)	$	—		$	8,328,558	(1)
	1,269,566			2,132,939			266,934			989,079			2,177,622			3,288,541			984,230			3,531,002
	69,446,391	(2)		209,105,302			50,667,833			208,981,585			17,358,535			80,906,095			12,719,389			73,932,023
	—			—			—			—			768	(3)		1,057			—			—
	87,457,626			1,523,544			63,644,998			2,776,234			28,089,301			3,976,868			24,250,761			563,173
	—			186,891,192			—			—			—			134,579,478			—			85,760,412

	158,173,583			425,435,120			123,469,873			260,299,527			47,626,226			235,382,599			37,954,380			172,115,168


	—			3,003,799	(1)		4,067,641			10,511,010			—			37,960,691	(1)		—			18,801,115	(1)
	2,439,169			523,217			28,989			23,490			2,704,039			3,053			1,100,667			1,518
	31,249,109			3,151,481			14,433,447			6,318,459			6,519,523			19,028,243			5,913,858			7,803,153
	—			—			—			—			79	(3)		76			—			—
	862,668			5,361			184,270			9,109			816,233			3,121,456			36,318			—

	34,550,946			6,683,858			18,714,347			16,862,068			10,039,874			60,113,519			7,050,843			26,605,786

	—			(29,944,864	)(1)		(35,301,963	)		(167,909,613	)		—			(37,912,274	)(1)		—			(21,939,370	)(1)
	(7,185,801	)		(163,849,415	)		(372,881	)		(684,033	)		(17,789,671	)		(74,055,945	)		(6,893,086	)		(71,617,531	)
	(135,297,594	)		(62,434,365	)		(116,167,629	)		(54,111,950	)		(44,333,122	)		(37,859,484	)		(42,795,496	)		(24,230,419	)
	—			—			—			—			(25,338	)(3)		(9	)		(24,268	)(4)		—
	(9,866,413	)		(143,363	)		(12,334,747	)		(66,992	)		(14,011,689	)		(2,141,795	)		(4,269,640	)		(798	)
	—			(186,891,192	)		—			—			—			(134,579,478	)		—			(85,760,412	)

	(152,349,808	)		(443,263,199	)		(164,177,220	)		(222,772,588	)		(76,159,820	)		(286,548,985	)		(53,982,490	)		(203,548,530	)

$	40,374,721		$	(11,144,221	)	$	(21,993,000	)	$	54,389,007		$	(18,493,720	)	$	8,947,133		$	(8,977,267	)	$	(4,827,576	)




	—			1,721,277	(1)		479,102			2,983,477			—			1,079,783	(1)		—			603,003	(1)
	78,249			136,008			14,070			60,502			172,720			277,019			61,162			245,836
	4,307,244	(2)		13,571,425			2,690,356			12,557,523			1,412,871			6,898,100			757,625			4,865,381
	—			—			—			—			63	(3)		92			—			—	(1)
	5,392,425			98,226			3,340,294			161,842			2,291,863			337,095			1,419,933			36,858
	—			11,959,735			—			—			—			11,426,538			—			5,852,195

	9,777,918			27,486,671			6,523,822			15,763,344			3,877,517			20,018,627			2,238,720			11,603,272

	—			202,894	(1)		230,331			704,400			—			3,609,940	(1)		—			1,480,172	(1)
	153,737			33,497			1,642			1,564			220,370			290			73,182			120
	1,968,958			210,885			810,356			419,303			536,253			1,812,569			376,679			591,039
	—			—			—			—			7	(3)		7			—			—
	54,032			343			10,341			531			67,103			296,837			2,300			—

	2,176,727			447,619			1,052,670			1,125,798			823,733			5,719,643			452,161			2,071,331

	—			(2,003,359	)(1)		(1,849,507	)		(10,102,414	)		—			(3,280,928	)(1)		—			(1,572,244	)(1)
	(450,944	)		(10,550,915	)		(20,984	)		(42,166	)		(1,443,400	)		(6,294,719	)		(434,884	)		(4,886,470	)
	(8,306,456	)		(4,093,910	)		(6,128,458	)		(3,325,891	)		(3,608,429	)		(3,265,545	)		(2,534,418	)		(1,678,679	)
	—			—			—			—			(2,093	)(3)		(1	)		(1,460	)(4)		—
	(618,306	)		(9,119	)		(637,550	)		(3,886	)		(1,120,225	)		(185,873	)		(244,098	)		(52	)
	—			(11,959,735	)		—			—			—			(11,426,538	)		—			(5,852,195	)

	(9,375,706	)		(28,617,038	)		(8,636,499	)		(13,474,357	)		(6,174,147	)		(24,453,604	)		(3,214,860	)		(13,989,640	)

	2,578,939			(682,748	)		(1,060,007	)		3,414,785			(1,472,897	)		1,284,666			(523,979	)		(315,037	)

151



Notes to Financial Statements (continued)



	Small-Cap Value Fund						Small-Cap Core Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—
Advisor class of shares		158,365			4,344,594			810,118			2,075,979
Institutional class of shares		7,360,861			45,025,931			4,646,390			7,844,262
Retirement class R-3 of shares		9,605	(1)		30,591			—			—
Retirement class R-6 of shares		12,814,203			2,248,782			—			—
Class F-3 of shares		—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			—

Net proceeds from sale of shares		20,343,034			51,649,898			5,456,508			9,920,241
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—
Advisor class of shares		374,648			4,111,818			126,053			627
Institutional class of shares		4,591,637			2,338,598			1,050,655			232,893
Retirement class R-3 of shares		4,108	(1)		5,814			—			—
Retirement class R-6 of shares		213,686			95,423			—			—
Class F-3 of shares		—			—			—			—

Net proceeds from shares issued:		5,184,079			6,551,653			1,176,708			233,520
Cost of shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(1,238,217	)		(47,396,459	)		(939,096	)		(211,102	)
Institutional class of shares		(17,739,504	)		(15,809,625	)		(3,809,548	)		(3,817,564	)
Retirement class R-3 of shares		(136,151	)(1)		(4,887	)		—			—
Retirement class R-6 of shares		(2,535,413	)		(611,082	)		—			—
Class F-3 of shares		—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			—

Net cost of shares redeemed		(21,649,285	)		(63,822,053	)		(4,748,644	)		(4,028,666	)
Redemption fees		—			—			—			—

Net change resulting from fund share transactions in dollars	$	3,877,828		$	(5,620,502	)	$	1,884,572		$	6,125,095


Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—
Advisor class of shares		10,987			327,444			58,097			157,501
Institutional class of shares		511,721			3,311,166			319,404			629,056
Retirement class R-3 of shares		685	(1)		2,331			—			—
Retirement class R-6 of shares		907,840			165,453			—			—
Class F-3 of shares		—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			—

Net sale of shares		1,431,233			3,806,394			377,501			786,557
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—
Advisor class of shares		27,629			340,483			9,228			49
Institutional class of shares		333,452			190,485			76,411			18,110
Retirement class R-3 of shares		304	(1)		481			—			—
Retirement class R-6 of shares		15,440			7,719			—			—
Class F-3 of shares		—			—			—			—

Net shares issued		376,825			539,168			85,639			18,159
Shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(88,641	)		(3,524,240	)		(67,035	)		(15,970	)
Institutional class of shares		(1,262,801	)		(1,210,294	)		(271,869	)		(291,933	)
Retirement class R-3 of shares		(9,790	)(1)		(367	)		—			—
Retirement class R-6 of shares		(176,995	)		(46,103	)		—			—
Class F-3 of shares		—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			—

Net shares redeemed		(1,538,227	)		(4,781,004	)		(338,904	)		(307,903	)

Net change resulting from fund share transactions in shares		269,831			(435,442	)		124,236			496,813

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

(2)	Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

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

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

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

152



		BMO Funds



Small-Cap Growth Fund						Global Low Volatility Equity Fund						Disciplined International Equity Fund						Pyrford International Stock Fund
Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017


$	—		$	8,270,106	(2)	$	—		$	—		$	—		$	—		$	83,571	(4)	$	13,163,350
	4,764,611			8,904,983	(3)		209,656			795,975			42,573			2,000			5,864,823			822,444
	17,252,116			54,817,595			573,388			25,178,906			18,798,208			22,341,033			76,904,679			350,747,663
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			120,732,668			31,501,915
	—			—			—			—			—			—			8,394,567			25,761	(3)
	—			92,631,103			—			—			—			—			—			—

	22,016,727			164,623,787			783,044			25,974,881			18,840,781			22,343,033			211,980,308			396,261,133


	—			—			—			—			—			—			—			1,999,666
	6,081,376			—			35,577			2,983			1,308			787			—			1,905
	8,460,833			—			1,428,624			1,085,758			1,509,712			1,669,867			12,082,424			6,699,345
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			1,405,577			652,042
	—			—			—			—			—			—			1,758			—

	14,542,209			—			1,464,201			1,088,741			1,511,020			1,670,654			13,489,759			9,352,958

	—			(85,059,894	)(2)		—			—			—			—			(6,445,368	)(4)		(115,429,633	)
	(23,380,533	)		(45,090,880	)(3)		(955,585	)		(115,806	)		(2,155	)		—			(690,070	)		(43,970	)
	(23,623,490	)		(165,285,708	)		(22,565,241	)		(19,346,226	)		(13,668,317	)		(28,580,607	)		(197,218,546	)		(290,612,247	)
	—			—			—			—			—			—			(26,363	)(5)		—
	—			—			—			—			—			—			(13,639,793	)		(3,041,612	)
	—			—			—			—			—			—			(389,948	)		—
	—			(92,631,103	)		—			—			—			—			—			—

	(47,004,023	)		(388,067,585	)		(23,520,826	)		(19,462,032	)		(13,670,472	)		(28,580,607	)		(218,410,088	)		(409,127,462	)
	—			132			—			50			210			—			957			3,133

$	(10,445,087	)	$	(223,443,666	)	$	(21,273,581	)	$	7,601,640		$	6,681,539		$	(4,566,920	)	$	7,060,936		$	(3,510,238	)




	—			494,669	(2)		—			—			—			—			6,173	(4)		1,073,748
	245,534			498,846	(3)		15,520			63,712			3,721			180			432,072			63,670
	867,331			2,932,428			41,566			2,042,381			1,662,757			2,090,763			5,768,243			27,977,151
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			8,998,114			2,563,451
	—			—			—			—			—			—			633,138			1,950	(3)
	—			5,076,122			—			—			—			—			—			—

	1,112,865			9,002,065			57,086			2,106,093			1,666,478			2,090,943			15,837,740			31,679,970

	—			—			—			—			—			—			—			174,491
	347,706			—			2,693			251			118			84			—			166
	465,392			—			107,902			91,317			136,256			176,893			915,335			583,567
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			106,483			56,798
	—			—			—			—			—			—			133			—

	813,098			—			110,595			91,568			136,374			176,977			1,021,951			815,022

	—			(5,106,058	)(2)		—			—			—			—			(474,563	)(4)		(8,986,498	)
	(1,245,843	)		(2,432,400	)(3)		(69,805	)		(9,239	)		(184	)		—			(50,399	)		(3,359	)
	(1,191,794	)		(9,469,711	)		(1,653,359	)		(1,556,987	)		(1,201,084	)		(2,848,966	)		(14,834,806	)		(23,381,161	)
	—			—			—			—			—			—			(1,946	)(5)		—
	—			—			—			—			—			—			(1,031,978	)		(239,843	)
	—			—			—			—			—			—			(29,583	)		—
	—			(5,076,122	)		—			—			—			—			—			—

	(2,437,637	)		(22,084,291	)		(1,723,164	)		(1,566,226	)		(1,201,268	)		(2,848,966	)		(16,423,275	)		(32,610,861	)

	(511,674	)		(13,082,226	)		(1,555,483	)		631,435			601,584			(581,046	)		436,416			(115,869	)

153



Notes to Financial Statements (continued)



	LGM Emerging Markets Equity Fund						Alternative Strategies Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—
Advisor class of shares		2,061,792			8,777,557			949			27,169
Institutional class of shares		77,835,687			100,996,016			17,290,111			21,282,139
Advisor class transfers from termination of Investor class		—			—			—			—

Net proceeds from sale of shares		79,897,479			109,773,573			17,291,060			21,309,308
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—
Advisor class of shares		—			235,064			3,248			—
Institutional class of shares		1,128,190			631,448			5,106,210			—

Net proceeds from shares issued:		1,128,190			866,512			5,109,458			—
Cost of shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(1,950,533	)		(61,462,014	)		(80,003	)		(165,974	)
Institutional class of shares		(33,149,780	)		(37,328,961	)		(37,141,144	)		(39,535,186	)
Advisor class transfers from termination of Investor class		—			—			—			—

Net cost of shares redeemed		(35,100,313	)		(98,790,975	)		(37,221,147	)		(39,701,160	)
Redemption fees		711			680			—			—

Net change resulting from fund share transactions in dollars	$	45,926,067		$	11,849,790		$	(14,820,629	)	$	(18,391,852	)


Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—
Advisor class of shares		127,075			629,812			94			2,572
Institutional class of shares		4,692,595			6,844,430			1,681,475			2,009,145
Advisor class transfers from termination of Investor class		—			—			—			—

Net sale of shares		4,819,670			7,474,242			1,681,569			2,011,717
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—
Advisor class of shares		—			18,509			322			—
Institutional class of shares		70,030			49,681			502,085			—

Net shares issued		70,030			68,190			502,407			—
Shares redeemed:
Investor class of shares		—			—			—			—
Advisor class of shares		(116,190	)		(4,044,334	)		(7,777	)		(15,772	)
Institutional class of shares		(2,010,904	)		(2,627,477	)		(3,567,218	)		(3,732,936	)
Advisor class transfers from termination of Investor class		—			—			—			—

Net shares redeemed		(2,127,094	)		(6,671,811	)		(3,574,995	)		(3,748,708	)

Net change resulting from fund share transactions in shares		2,762,606			870,621			(1,391,019	)		(1,736,991	)

(1)	Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

154



		BMO Funds



Global Long/Short Equity Fund						Ultra Short Tax-Free Fund						Short Tax-Free Fund						Short-Term Income Fund
Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017


$	—		$	—		$	—		$	6,104,616	(1)	$	—		$	10,895,505	(1)	$	—		$	11,653,364	(1)
	195,339			269,383			5,741,914			6,200,069			2,495,879			1,819,564			4,288,667			10,184,761
	6,081,319			4,556,249			439,354,219			466,456,337			48,874,201			88,094,396			131,029,502			132,998,094
	—			—			—			45,351,480			—			22,049,349			—			49,939,527

	6,276,658			4,825,632			445,096,133			524,112,502			51,370,080			122,858,814			135,318,169			204,775,746

	—			—			—			286,536	(1)		—			169,287	(1)		—			618,739	(1)
	22,321			4,145			329,380			71,269			81,745			46,057			492,639			143,243
	296,703			23,628			3,253,010			1,945,603			861,084			636,743			2,446,146			1,710,099

	319,024			27,773			3,582,390			2,303,408			942,829			852,087			2,938,785			2,472,081

	—			—			—			(14,358,125	)(1)		—			(4,549,287	)(1)		—			(21,089,307	)(1)
	(129,883	)		(128,015	)		(13,292,423	)		(16,963,463	)		(3,186,874	)		(17,897,661	)		(11,677,805	)		(27,139,404	)
	(5,837,723	)		(175,281	)		(494,931,520	)		(391,631,904	)		(41,742,641	)		(81,433,763	)		(125,939,227	)		(159,514,643	)
	—			—			—			(45,351,480	)		—			(22,049,349	)		—			(49,939,527	)

	(5,967,606	)		(303,296	)		(508,223,943	)		(468,304,972	)		(44,929,515	)		(125,930,060	)		(137,617,032	)		(257,682,881	)
	1,407			—			—			—			—			—			—			—

$	629,483		$	4,550,109		$	(59,545,420	)	$	58,110,938		$	7,383,394		$	(2,219,159	)	$	639,922		$	(50,435,054	)




	—			—			—			606,227	(1)		—			1,076,290	(1)		—			1,243,973	(1)
	16,081			22,951			570,266			615,178			245,629			179,645			460,682			1,087,006
	491,377			397,699			43,650,785			46,336,954			4,803,882			8,670,982			14,032,354			14,175,534
	—			—			—			4,499,110			—			2,162,888			—			5,326,826

	507,458			420,650			44,221,051			52,057,469			5,049,511			12,089,805			14,493,036			21,833,339

	—			—			—			28,463	(1)		—			16,686	(1)		—			66,052	(1)
	1,812			374			32,709			7,071			8,058			4,523			52,968			15,277
	24,064			2,129			323,236			193,296			84,831			62,642			262,630			182,198

	25,876			2,503			355,945			228,830			92,889			83,851			315,598			263,527

	—			—			—			(1,426,090	)(1)		—			(449,187	)(1)		—			(2,253,283	)(1)
	(10,892	)		(11,422	)		(1,319,835	)		(1,682,885	)		(313,760	)		(1,757,934	)		(1,256,655	)		(2,896,344	)
	(487,768	)		(15,094	)		(49,159,262	)		(38,912,011	)		(4,107,724	)		(8,016,682	)		(13,497,981	)		(16,993,915	)
	—			—			—			(4,499,110	)		—			(2,162,888	)		—			(5,326,826	)

	(498,660	)		(26,516	)		(50,479,097	)		(46,520,096	)		(4,421,484	)		(12,386,691	)		(14,754,636	)		(27,470,368	)

	34,674			396,637			(5,902,101	)		5,766,203			720,916			(213,035	)		53,998			(5,373,502	)

155



Notes to Financial Statements (continued)



	Intermediate Tax-Free Fund						Strategic Income Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	148,016,165		$	213,547,673		$	1,560,960		$	2,074,321
Advisor class of shares		7,369,713			9,967,233			510,237			18,617,076	(1)
Institutional class of shares		446,882,504			289,062,211			1,579,253			18,778,044	(1)

Net proceeds from sale of shares		602,268,382			512,577,117			3,650,450			39,469,441
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		23,973,740			30,885,014			2,868,223			2,325,868
Advisor class of shares		323,030			83,901			681,181			148,215
Institutional class of shares		12,672,136			9,417,013			514,734			277,988

Net proceeds from shares issued:		36,968,906			40,385,928			4,064,138			2,752,071
Cost of shares redeemed:
Investor class of shares		(256,803,140	)		(480,822,580	)		(15,601,053	)		(16,498,767	)
Advisor class of shares		(3,558,242	)		(930,368	)		(5,319,901	)		(531,749	)
Institutional class of shares		(182,098,021	)		(255,447,058	)		(10,401,208	)		(19,076,959	)

Net cost of shares redeemed		(442,459,403	)		(737,200,006	)		(31,322,162	)		(36,107,475	)

Net change resulting from fund share transactions in dollars	$	196,777,885		$	(184,236,961	)	$	(23,607,574	)	$	6,114,037


Capital stock transactions in shares:
Sale of shares:
Investor class of shares		13,228,190			19,005,661			165,685			221,723
Advisor class of shares		656,770			883,384			54,439			1,979,944	(1)
Institutional class of shares		40,007,123			25,701,510			171,048			2,000,814	(1)

Net sale of shares		53,892,083			45,590,555			391,172			4,202,481
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		2,141,524			2,750,131			309,135			249,197
Advisor class of shares		28,873			7,446			73,367			15,702
Institutional class of shares		1,133,383			838,538			55,436			29,730

Net shares issued		3,303,780			3,596,115			437,938			294,629
Shares redeemed:
Investor class of shares		(22,940,721	)		(42,913,006	)		(1,677,547	)		(1,775,161	)
Advisor class of shares		(317,526	)		(83,471	)		(572,837	)		(56,447	)
Institutional class of shares		(16,277,135	)		(22,853,490	)		(1,109,628	)		(2,046,850	)

Net shares redeemed		(39,535,382	)		(65,849,967	)		(3,360,012	)		(3,878,458	)

Net change resulting from fund share transactions in shares		17,660,481			(16,663,297	)		(2,530,902	)		618,652

(1)	Includes paid-in-capital and shares received from a non-taxable in-kind subscription merger of the BMO TCH Intermediate Income Fund effective as of the close of business on June 29, 2017.

156



		BMO Funds



TCH Corporate Income Fund						TCH Core Plus Bond Fund						High Yield Bond Fund
Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017


$	13,469,510		$	85,092,119		$	33,247,967		$	114,719,160		$	—		$	—
	1,883,339			1,376,817			692,466			1,956,570			75,077			2,426,855
	35,031,255			30,587,623			205,734,013			665,156,222			990,467			1,819,681

	50,384,104			117,056,559			239,674,446			781,831,952			1,065,544			4,246,536

	3,631,617			3,445,037			1,885,553			12,537,390			—			—
	34,627			13,619			93,214			55,571			45,200			1,174,457
	1,445,656			1,601,967			27,182,890			13,350,242			538,766			847,200

	5,111,900			5,060,623			29,161,657			25,943,203			583,966			2,021,657

	(31,633,728	)		(51,507,090	)		(40,591,447	)		(559,991,083	)		—			—
	(1,412,711	)		(94,009	)		(977,655	)		(118,015	)		(233,705	)		(74,352,589	)
	(26,163,150	)		(27,600,405	)		(194,020,504	)		(161,128,094	)		(2,951,381	)		(24,729,280	)

	(59,209,589	)		(79,201,504	)		(235,589,606	)		(721,237,192	)		(3,185,086	)		(99,081,869	)

$	(3,713,585	)	$	42,915,678		$	33,246,497		$	86,537,963		$	(1,535,576	)	$	(92,813,676	)




	1,033,637			6,571,426			2,877,804			9,850,492			—			—
	147,035			105,997			59,334			167,833			8,021			256,453
	2,718,202			2,352,481			17,783,100			56,847,089			105,106			191,620

	3,898,874			9,029,904			20,720,238			66,865,414			113,127			448,073

	280,072			265,827			163,324			1,076,725			—			—
	2,678			1,039			8,071			4,763			4,811			123,996
	111,718			124,238			2,355,406			1,144,537			57,369			89,193

	394,468			391,104			2,526,801			2,226,025			62,180			213,189

	(2,446,009	)		(3,968,342	)		(3,521,472	)		(47,799,589	)		—			—
	(108,819	)		(7,234	)		(84,744	)		(10,119	)		(24,867	)		(7,860,812	)
	(2,027,663	)		(2,134,030	)		(16,816,251	)		(13,875,014	)		(315,664	)		(2,615,394	)

	(4,582,491	)		(6,109,606	)		(20,422,467	)		(61,684,722	)		(340,531	)		(10,476,206	)

	(289,149	)		3,311,402			2,824,572			7,406,717			(165,224	)		(9,814,944	)

157



Notes to Financial Statements (continued)



	Government Money Market Fund						Tax-Free Money Market Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	2,836,535,603		$	4,367,701,056		$	103,523,007		$	89,068,383
Premier class of shares		16,700,415,556			9,966,793,513			657,271,008			616,291,151

Net proceeds from sale of shares		19,536,951,159			14,334,494,569			760,794,015			705,359,534
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,534,889			329,721			570,108			274,041
Premier class of shares		4,345,881			970,404			4,097			1,677

Net proceeds from shares issued:		5,880,770			1,300,125			574,205			275,718
Cost of shares redeemed:
Investor class of shares		(2,904,331,903	)		(3,822,205,017	)		(104,233,256	)		(103,397,551	)
Premier class of shares		(16,333,053,308	)		(9,665,862,634	)		(590,623,244	)		(691,426,427	)

Net cost of shares redeemed		(19,237,385,211	)		(13,488,067,651	)		(694,856,500	)		(794,823,978	)

Net change resulting from fund share transactions in dollars	$	305,446,718		$	847,727,043		$	66,511,720		$	(89,188,726	)


Capital stock transactions in shares:
Sale of shares:
Investor class of shares		2,836,535,603			4,367,701,056			103,523,007			89,068,383
Premier class of shares		16,700,415,556			9,966,793,513			657,271,008			616,291,151

Net sale of shares		19,536,951,159			14,334,494,569			760,794,015			705,359,534
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,534,889			329,721			570,108			274,041
Premier class of shares		4,345,881			970,404			4,097			1,677

Net shares issued		5,880,770			1,300,125			574,205			275,718
Shares redeemed:
Investor class of shares		(2,904,331,903	)		(3,822,205,017	)		(104,233,256	)		(103,397,551	)
Premier class of shares		(16,333,053,308	)		(9,665,862,634	)		(590,623,244	)		(691,426,427	)

Net shares redeemed		(19,237,385,211	)		(13,488,067,651	)		(694,856,500	)		(794,823,978	)

Net change resulting from fund share transactions in shares		305,446,718			847,727,043			66,511,720			(89,188,726	)

158



		BMO Funds



Prime Money Market Fund						Institutional Prime Money Market Fund
Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017


$	323,252,291		$	382,077,941		$	1,046,364		$	440,297
	487,728,123			401,337,265			1,223,791,366			913,886,682

	810,980,414			783,415,206			1,224,837,730			914,326,979

	1,907,375			644,425			19,861			6,606
	238,721			136,475			1,169,282			2,324

	2,146,096			780,900			1,189,143			8,930

	(334,404,979	)		(1,084,487,321	)		(86,707	)		(17,918	)
	(385,817,826	)		(903,857,590	)		(1,145,764,366	)		(928,945,817	)

	(720,222,805	)		(1,988,344,911	)		(1,145,851,073	)		(928,963,735	)

$	92,903,705		$	(1,204,148,805	)	$	80,175,800		$	(14,627,826	)




	323,252,291			382,077,940			1,046,368			440,281
	487,728,123			401,337,265			1,223,793,306			913,743,656

	810,980,414			783,415,205			1,224,839,674			914,183,937

	1,907,375			644,425			19,860			6,605
	238,721			136,475			1,169,202			2,324

	2,146,096			780,900			1,189,062			8,929

	(334,404,979	)		(1,084,487,321	)		(86,724	)		(17,916	)
	(385,817,826	)		(903,857,590	)		(1,145,753,981	)		(928,796,503	)

	(720,222,805	)		(1,988,344,911	)		(1,145,840,705	)		(928,814,419	)

	92,903,705			(1,204,148,806	)		80,188,031			(14,621,553	)

159



Notes to Financial Statements (continued)

Investment Adviser Fee and Other Transactions with Affiliates

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


	Fund’s ADNA
Fund	on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million
Low Volatility Equity Fund		0.500	%		0.490	%		0.450	%		0.400	%
Dividend Income Fund		0.500			0.490			0.450			0.400
Mid-Cap Value Fund		0.685			0.670			0.570			0.510
Mid-Cap Growth Fund		0.685			0.670			0.570			0.510
Small-Cap Value Fund		0.685			0.680			0.620			0.610
Small-Cap Growth Fund		0.685			0.680			0.620			0.610
Global Low Volatility Equity Fund		0.650			0.640			0.600			0.550
Pyrford International Stock Fund		0.735			0.720			0.620			0.560
LGM Emerging Markets Equity Fund		0.900			0.890			0.850			0.800

	Fund’s ADNA
Fund	on the first $100 million			on the next $150 million			on the next $250 million			in excess of $500 million
Ultra Short Tax-Free Fund		0.200	%		0.190	%		0.170	%		0.100	%
Short Tax-Free Fund		0.200			0.190			0.170			0.150
Short-Term Income Fund		0.200			0.190			0.170			0.100
Intermediate Tax-Free Fund		0.250			0.160			0.120			0.100
Strategic Income Fund		0.250			0.200			0.200			0.200
TCH Corporate Income Fund		0.200			0.190			0.150			0.100
TCH Core Plus Bond Fund		0.250			0.160			0.120			0.100
High Yield Bond Fund		0.500			0.500			0.500			0.500

	Fund’s ADNA
Fund	on the first $1 billion			on the next $1 billion			in excess of $2 billion
Large-Cap Value Fund(1)		0.350	%		0.325	%		0.300	%
Large-Cap Growth Fund(1)		0.350			0.325			0.300
Small-Cap Core Fund		0.650			0.625			0.600
Disciplined International Equity Fund		0.600			0.575			0.550
Alternative Strategies Fund		1.500			1.475			1.450
Global Long/Short Equity Fund		1.000			0.975			0.950

	Fund’s ADNA
Fund	on the first $2 billion			on the next $2 billion			on the next $2 billion			on the next $2 billion			in excess of $8 billion
Government Money Market Fund		0.200	%		0.185	%		0.170	%		0.155	%		0.140	%
Tax-Free Money Market Fund		0.200			0.185			0.170			0.155			0.140
Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090
Institutional Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090

(1)

Effective February 8, 2018 the investment adviser fees and breakpoint tiers were reduced for this BMO Fund. Prior to February 8, 2018, the fees charged based on the Funds’ ADNA were as follows: 0.500% on the first $1 billion, 0.475% on the next $1 billion, and 0.450% in excess of $2 billion.

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

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

160



		BMO Funds

expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the amounts for the periods set forth below. The Adviser may not terminate this arrangement prior to December 31, 2019, without the consent of the Directors, unless the investment advisory agreement is terminated. The Adviser may voluntarily choose to waive any portion of its fee beyond its contractual agreement. The Adviser can modify or terminate this voluntary waiver at any time at its sole discretion. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.


	Annualized Contractual Expense Limitation
Fund	Investor Class			Advisor Class			Institutional Class			Premier Class			Retirement Class R-3			Retirement Class R-6			Class F-3
Low Volatility Equity Fund					0.90	%		0.65	%
Dividend Income Fund					0.90			0.65
Large-Cap Value Fund					0.79	(1)		0.54	(1)								0.39	%(1)
Large-Cap Growth Fund		0.79	%(2)		0.79	(2)		0.54	(2)								0.39	(2)
Mid-Cap Value Fund					1.24			0.99						1.49	%(3)		0.84
Mid-Cap Growth Fund					1.24			0.99						1.49	(4)		0.84
Small-Cap Value Fund					1.24			0.99						1.49	(3)		0.84
Small-Cap Core Fund					1.15			0.90
Small-Cap Growth Fund					1.24			0.99
Global Low Volatility Equity Fund					1.10			0.85
Disciplined International Equity Fund					1.15			0.90
Pyrford International Stock Fund		1.19	(5)		1.19			0.94						1.44	(4)		0.79			0.79	%
LGM Emerging Markets Equity Fund					1.40			1.15
Alternative Strategies Fund					2.00			1.75
Global Long/Short Equity Fund					1.60			1.35
Ultra Short Tax-Free Fund					0.55			0.30
Short Tax-Free Fund					0.55			0.40
Short-Term Income Fund					0.60			0.35
Intermediate Tax-Free Fund		0.55			0.55			0.50
Strategic Income Fund		0.80			0.80			0.55
TCH Corporate Income Fund		0.59			0.59			0.55
TCH Core Plus Bond Fund		0.59			0.59			0.55
High Yield Bond Fund					0.90			0.65
Government Money Market Fund		0.45									0.20	%
Tax-Free Money Market Fund		0.45									0.20
Prime Money Market Fund		0.45									0.20
Institutional Prime Money Market Fund		0.45									0.20

(1)

Effective February 8, 2018. Prior to February 8, 2018, the annual rates were 1.00%, 0.75%, and 0.60%, respectively.

(2)

Effective February 8, 2018. Prior to February 8, 2018, the annual rates were 1.00%, 1.00%, 0.75%, and 0.60%, respectively.

(3)

Effective through May 11, 2018 (termination of R-3 class of shares).

(4)

Effective through December 3, 2017 (termination of R-3 class of shares).

(5)

Effective through April 27, 2018 (termination of Investor class of shares).

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

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

161



Notes to Financial Statements (continued)

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


Administration Fee Schedule A		Administration Fee Schedule B
Annual Rate		Annual Rate	ADNA
0.1500%		0.0400%	on the first $2 billion
		0.0300	on the next $2 billion
		0.0250	on the next $2 billion
		0.0200	on the next $2 billion
		0.0100	in excess of $8 billion


Fund		Fund
Low Volatility Equity Fund	Alternative Strategies Fund	Government Money Market Fund
Dividend Income Fund	Global Long/Short Equity Fund	Tax-Free Money Market Fund
Large-Cap Value Fund(1)	Ultra Short Tax-Free Fund	Prime Money Market Fund
Large-Cap Growth Fund(1)	Short Tax-Free Fund	Institutional Prime Money Market Fund
Mid-Cap Value Fund(1)	Short-Term Income Fund
Mid-Cap Growth Fund(1)	Intermediate Tax-Free Fund
Small-Cap Value Fund(1)	Strategic Income Fund
Small-Cap Core Fund	TCH Corporate Income Fund
Small-Cap Growth Fund	TCH Core Plus Bond Fund
Global Low Volatility Equity Fund	High Yield Bond Fund
Disciplined International Equity
Pyrford International Stock Fund(1)
LGM Emerging Markets Equity Fund

(1)

For the year ended August 31, 2018, 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(a)		Retirement Class F-3(a)
Large-Cap Value Fund	$	—		$	36,738	$	447,115	$	—		$	—	$	—
Large-Cap Growth Fund		112,945			1,015		414,667		—			—		—
Mid-Cap Value Fund		—			90,275		183,644		26	(b)		—		—
Mid-Cap Growth Fund		—			25,967		138,479		9	(c)		—		—
Small-Cap Value Fund		—			7,221		86,111		87	(b)		—		—
Pyrford International Stock Fund		5,895	(d)		3,878		850,839		10	(c)		—		—

(a)

Retirement Class R-6 and F-3 do not pay an Administrative Fee.

(b)

Reflects operations for the period from September 1, 2017 to May 11, 2018 (termination of Class R-3 Shares).

(c)

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

(d)

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

Custodian Fees—Effective April 2, 2018, State Street Bank & Trust Company is the Funds’ custodian. Prior to April 2, 2018 BMO Harris was the Funds’ custodian, except for the International Funds, for which State Street Bank & Trust Company maintained custody. Prior to April 2, 2018, BMO Harris received 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.

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 year ended August 31, 2018:


Fund	Fees Paid
Low Volatility Equity Fund	$	18,038
Dividend Income Fund		17,204
Large-Cap Value Fund		41,964
Large-Cap Growth Fund		65,871
Mid-Cap Value Fund		25,067
Mid-Cap Growth Fund		14,331
Small-Cap Value Fund		11,440
Small-Cap Core Fund		3,366


Fund	Fees Paid
Small-Cap Growth Fund	$	30,251
Short-Term Income Fund		13,459
Strategic Income Fund		23,042
TCH Corporate Income Fund		33,492
TCH Core Plus Bond Fund		96,728
High Yield Bond Fund		396

162



		BMO Funds

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in a BMO Fund. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior periods may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of August 31, 2018 and may include acquisitions of new investments, prior period holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of period-end.


Security/Fund Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions

Cash Sweep Investments in BMO Institutional Prime Money Market Fund, Premier Class, 1.987%
Low Volatility Equity Fund	$	2,833,143	$	34,175,404	$	35,514,485	$	359		$	(217	)	$	1,494,204	$	30,037	$	—
Dividend Income Fund		2,075,405		30,100,477		28,584,992		518			(309	)		3,591,099		37,587		—
Large-Cap Value Fund		4,411,207		55,872,931		52,802,005		1,019			(839	)		7,482,313		86,527		—
Large-Cap Growth Fund		4,542,780		67,488,598		65,295,760		31			182			6,735,831		79,081		—
Mid-Cap Value Fund		1,880,791		33,662,325		33,122,828		584			1			2,420,873		40,465		—
Mid-Cap Growth Fund		1,947,313		19,278,412		19,642,438		152			293			1,583,732		25,170		—
Small-Cap Value Fund		588,562		14,914,425		14,016,770		154			(180	)		1,486,191		14,956		—
Small-Cap Core Fund		369,001		6,503,912		6,432,217		66			(20	)		440,742		5,889		—
Small-Cap Growth Fund		1,560,493		41,723,716		41,246,572		317			688			2,038,642		28,964		—
Global Low Volatility Equity Fund		—		4,051,244		3,907,308		14			26			143,976		4,696		—
Disciplined International Equity Fund		—		16,374,357		13,758,887		137			369			2,615,976		11,964		—
Pyrford International Stock Fund		—		93,540,213		76,753,134		979			4,409			16,792,467		143,287		—
LGM Emerging Markets Equity Fund		—		37,777,495		30,512,000		1,482			1,303			7,268,280		62,307		—
Alternative Strategies Fund		—		66,189,857		41,655,108		5,191			462			24,540,402		15,008		—
Global Long/Short Equity Fund		—		9,459,859		6,027,318		366			1,296			3,434,203		42,148		—
Short-Term Income Fund		4,464,102		199,465,835		200,689,379		535			972			3,242,065		96,893		—
Strategic Income Fund		938,029		41,408,840		36,559,600		486			(507	)		5,787,248		34,703		—
TCH Corporate Income Fund		4,410,836		84,524,902		84,084,732		261			(383	)		4,850,884		60,075		—
TCH Core Plus Bond Fund		46,560,055		410,079,134		415,775,313		3,960			(5,725	)		40,862,111		459,304		—
High Yield Bond Fund		360,045		5,156,137		4,702,232		79			(32	)		813,997		5,811		—

Cash Sweep Investments in BMO Government Money Market Fund, Premier Class, 1.773%
Ultra Short Tax-Free Fund		80,322		149,949,581		149,870,002		—			—			159,901		13,324		—
Short Tax-Free Fund		115,488		26,908,124		26,902,412		—			—			121,200		3,129		—
Intermediate Tax-Free Fund		79,783		107,646,377		107,640,238		—			—			85,922		9,691		—

Investments in Other Affiliates
Fund/Security Description
Short Tax-Free Fund
Ultra Short Tax-Free Fund		866,132		10,865		—		(1,694	)		—			875,303		9,865		—

Intermediate Tax-Free Fund
Ultra Short Tax-Free Fund		5,108,497		64,085		—		(10,172	)		—			5,162,410		58,185		—

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, 2018.

Funds utilizing the Interfund lending program, borrowing from the BMO Government Money Market Fund during the year August 31, 2018, were as follows:


Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Low Volatility Equity Fund	$	124,151		1.554	%
Large-Cap Growth Fund		43,989		1.662
Mid-Cap Value Fund		36,006		3.707
Mid-Cap Growth Fund		9,302		3.445
Small-Cap Value Fund		456		4.146
Small-Cap Core Fund		11,321		2.687
Small-Cap Growth Fund		9,606		3.053


Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Global Low Volatility Equity Fund	$	84,161		1.672	%
Disciplined International Equity Fund		245		1.669
Pyrford International Stock Fund		63,401		1.664
Ultra Short Tax-Free Fund		28,299		1.286
Short Tax-Free Fund		3,659		4.984
Intermediate Tax-Free Fund		38,791		1.642
Strategic Income Fund		2,692		1.531

163



Notes to Financial Statements (continued)

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.

Line of Credit

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with UMB Bank, n.a. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at August 31, 2018. The Funds did not utilize the LOC during the year ended August 31, 2018.

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, 2018 were as follows:


	Other than U.S Government Securities				U.S Government Securities
Fund	Purchases		Sales		Purchases		Sales
Low Volatility Equity Fund	$	61,591,401	$	107,648,818	$	—	$	—
Dividend Income Fund		65,109,929		50,434,519		—		—
Large-Cap Value Fund		200,335,402		196,472,697		—		—
Large-Cap Growth Fund		217,230,063		259,782,166		—		—
Mid-Cap Value Fund		130,415,005		157,620,875		—		—
Mid-Cap Growth Fund		75,599,018		91,481,271		—		—
Small-Cap Value Fund		48,695,963		50,634,520		—		—
Small-Cap Core Fund		19,588,574		19,025,999		—		—
Small-Cap Growth Fund		112,730,853		137,962,350		—		—
Global Low Volatility Equity Fund		15,291,417		36,882,281		—		—
Disciplined International Equity Fund		43,759,401		38,980,204		—		—
Pyrford International Stock Fund		168,248,005		129,516,496		—		—
LGM Emerging Markets Equity Fund		92,793,810		41,211,372		—		—
Alternative Strategies Fund		58,898,914		58,684,644		—		—
Global Long/Short Equity Fund		9,419,989		9,842,074		—		—
Ultra Short Tax-Free Fund		954,983,949		1,039,900,665		3,500,000		10,000
Short Tax-Free Fund		191,432,710		174,071,260		1,345,000		—
Short-Term Income Fund		128,920,200		113,602,909		33,352,012		38,644,452
Intermediate Tax-Free Fund		955,850,271		746,446,121		3,500,000		5,000
Strategic Income Fund		31,871,189		58,339,845		1,983,920		8,212,871
TCH Corporate Income Fund		77,327,574		81,218,627		—		6,865,230
TCH Core Plus Bond Fund		512,940,377		473,193,013		199,650,061		206,764,309
High Yield Bond Fund		4,477,999		6,415,334		—		—

Federal Tax Information

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

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

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

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). There are no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets

164



		BMO Funds

or results of operations as of and during the period ended August 31, 2018. Management of the Funds also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

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


Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation (Depreciation) for Federal Tax Purposes
Low Volatility Equity Fund	$	161,637,398	$	25,102,689	$	(896,371	)	$	24,206,318
Dividend Income Fund		189,109,960		37,475,393		(1,052,306	)		36,423,087
Large-Cap Value Fund		487,276,265		68,252,586		(5,471,959	)		62,780,627
Large-Cap Growth Fund		428,554,543		131,069,429		(2,754,316	)		128,315,113
Mid-Cap Value Fund		266,394,891		32,947,700		(6,043,986	)		26,903,714
Mid-Cap Growth Fund		157,471,958		31,372,436		(1,932,065	)		29,440,371
Small-Cap Value Fund		100,293,245		13,373,555		(1,080,655	)		12,292,900
Small-Cap Core Fund		31,377,512		4,679,582		(447,579	)		4,232,003
Small-Cap Growth Fund		188,486,477		36,443,813		(2,432,105	)		34,011,708
Global Low Volatility Equity Fund		28,035,500		5,074,270		(710,767	)		4,363,503
Disciplined International Equity Fund		73,735,215		8,024,291		(3,872,949	)		4,151,342
Pyrford International Stock Fund		608,623,715		77,830,232		(24,360,530	)		53,469,702
LGM Emerging Markets Equity Fund		184,681,895		35,550,621		(11,015,022	)		24,535,599
Alternative Strategies Fund		72,639,332		5,656,143		(4,011,906	)		1,644,237
Global Long/Short Equity Fund		12,318,637		1,551,903		(689,564	)		862,339
Ultra Short Tax-Free Fund		609,887,539		502,817		(424,829	)		77,988
Short Tax-Free Fund		190,578,751		652,669		(567,507	)		85,162
Short-Term Income Fund		279,774,417		511,307		(2,035,704	)		(1,524,397	)
Intermediate Tax-Free Fund		1,739,328,450		39,030,139		(4,737,895	)		34,292,244
Strategic Income Fund		110,573,141		710,378		(2,832,269	)		(2,121,891	)
TCH Corporate Income Fund		295,642,618		2,946,237		(5,239,217	)		(2,292,980	)
TCH Core Plus Bond Fund		1,412,784,177		7,726,972		(17,070,577	)		(9,343,605	)
High Yield Bond Fund		16,228,563		208,964		(282,697	)		(73,733	)
Government Money Market Fund		3,391,316,233		—		—			—
Tax-Free Money Market Fund		380,941,747		—		—			—
Prime Money Market Fund		461,789,059		—		—			—
Institutional Prime Money Market Fund		482,082,323		64,353		(8,254	)		56,099

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


	2018						2017
Fund	Ordinary Income		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income		Tax-Exempt Income		Long-Term Capital Gains
Low Volatility Equity Fund	$	3,160,478	$	—	$	3,189,229	$	2,603,123	$	—	$	1,905,554
Dividend Income Fund		5,133,814		—		11,100,034		2,500,532		—		959,489
Large-Cap Value Fund		11,266,495		—		23,620,755		4,510,036		—		2,304,010
Large-Cap Growth Fund		5,872,237		—		14,405,633		1,825,514		—		15,369,764
Mid-Cap Value Fund		5,417,735		—		4,733,501		4,684,525		—		56,396,982
Mid-Cap Growth Fund		3,084,500		—		3,984,417		5,370,941		—		21,512,271
Small-Cap Value Fund		3,505,522		—		1,725,945		3,050,561		—		3,585,078
Small-Cap Core Fund		454,372		—		822,023		168,167		—		124,126
Small-Cap Growth Fund		—		—		14,759,760		—		—		—
Global Low Volatility Equity Fund		1,366,846		—		495,697		1,170,206		—		97,713
Disciplined International Equity Fund		1,534,123		—		—		1,676,485		—		—
Pyrford International Stock Fund		16,810,534		—		—		14,300,415		—		—
LGM Emerging Markets Equity Fund		1,245,393		—		—		957,823		—		—
Alternative Strategies Fund		49,511		—		4,427,483		—		—		—
Global Long/Short Equity Fund		188,423		—		226,026		56,198		—		4,250
Ultra Short Tax-Free Fund		94,095		7,997,980		217,628		2,011		5,640,480		639,708
Short Tax-Free Fund		—		2,927,616		—		10,806		2,531,848		38,121
Short-Term Income Fund		5,064,383		—		—		4,432,458		—		—
Intermediate Tax-Free Fund		—		46,051,482		—		2,084,903		43,607,907		3,410,963

165



Notes to Financial Statements (continued)


	2018						2017
Fund	Ordinary Income		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income		Tax-Exempt Income		Long-Term Capital Gains
Strategic Income Fund	$	4,339,645	$	—	$	—	$	3,032,372	$	—	$	—
TCH Corporate Income Fund		8,278,452		—		—		7,493,830		—		569,448
TCH Core Plus Bond Fund		32,309,452		—		—		28,160,653		—		—
High Yield Bond Fund		652,504		—		—		2,221,025		—		—
Government Money Market Fund		40,601,282		—		900		13,191,339		—		3,237
Tax-Free Money Market Fund		—		3,674,509		—		20,120		1,920,845		86,463
Prime Money Market Fund		5,929,727		—		111		2,441,514		—		—
Institutional Prime Money Market Fund		6,828,289		—		35		3,084,589		—		—

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


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

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


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

166



		BMO Funds

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


	Post-October Losses
Fund	Short-Term		Long-Term
Alternative Strategies Fund	$	334,731	$	544,222
Global Long/Short Equity Fund		643,808		(528,834	)

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

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

10.

Shareholder Tax Information (Unaudited)

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2018, the percentages that qualify for the dividend received deduction available to corporate shareholders were as follows:


Low Volatility Equity Fund	69.63	%
Dividend Income Fund	71.16
Large-Cap Value Fund	69.85
Large-Cap Growth Fund	53.77
Mid-Cap Value Fund	33.93
Mid-Cap Growth Fund	9.15


Small-Cap Value Fund	18.15	%
Small-Cap Core Fund	20.01
Global Low Volatility Equity Fund	26.50
LGM Emerging Markets Equity Fund	15.07
Global Long/Short Equity Fund	42.96

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2018, the percentages that are designated as qualified dividend income were as follows:


Low Volatility Equity Fund	73.80	%
Dividend Income Fund	72.19
Large-Cap Growth Fund	54.93
Large-Cap Value Fund	69.97
Mid-Cap Value Fund	36.93
Mid-Cap Growth Fund	9.66
Small-Cap Value Fund	18.67


Small-Cap Core Fund	23.02	%
Global Low Volatility Equity Fund	46.96
Disciplined International Equity Fund	89.29
Pyrford International Stock Fund	73.61
LGM Emerging Markets Equity Fund	91.40
Global Long/Short Equity Fund	100.00

For Federal tax purposes, for the year ended August 31, 2018, the following Funds designate long-term capital gains, of:


Low Volatility Equity Fund	$	3,189,229
Dividend Income Fund		11,100,034
Large-Cap Value Fund		23,620,755
Large-Cap Growth Fund		14,405,633
Mid-Cap Value Fund		4,733,501
Mid-Cap Growth Fund		3,984,417
Small-Cap Value Fund		1,725,945
Small-Cap Core Fund		822,023


Small-Cap Growth Fund	$	14,759,760
Global Low Volatility Equity Fund		495,697
Alternative Strategies Fund		4,427,483
Global Long/Short Equity Fund		226,026
Ultra Short Tax-Free Fund		217,628
Prime Money Market Fund		111
Institutional Prime Money Market Fund		35

For Federal tax purposes, for the year ended August 31, 2018, the following Funds designate qualified short-term capital gains, of:


Low Volatility Equity Fund	$	917,075
Dividend Income Fund		2,258,902
Large-Cap Value Fund		5,965,064
Large-Cap Growth Fund		5,504,951
Mid-Cap Value Fund		3,745,450
Mid-Cap Growth Fund		3,084,500
Small-Cap Value Fund		3,505,522
Small-Cap Core Fund		442,833


Alternative Strategies Fund	$	49,511
Global Long/Short Equity Fund		159,126
Ultra Short Tax-Free Fund		193,558
Intermediate Tax-Free Fund		185,961
TCH Corporate Income Fund		305,922
TCH Core Plus Bond Fund		961,781
Prime Money Market Fund		2,136
Institutional Prime Money Market Fund		2,260

For Federal tax purposes, for the year ended August 31, 2018, the following Funds designate qualified tax-exempt dividends, of:


Ultra Short Tax-Free Fund	$	10,022,684
Short Tax-Free Fund		3,696,255
Intermediate Tax-Free Fund		53,215,891
Tax-Free Money Market Fund		4,629,237

167



Notes to Financial Statements (continued)

For the year ended August 31, 2018, Pursuant to Section 853 of the Code, the following Funds designated income and distributed ordinary income (including short-term capital gains) derived from foreign sources and foreign taxes paid of:


Fund	Income Derived from Foreign Sources		Foreign Source Income Distributed per Share		Foreign Taxes Paid		Foreign Taxes Paid per Share
Global Low Volatility Equity Fund	$	959,861	$	0.4415	$	61,561	$	0.0283
Disciplined International Equity Fund		2,626,942		0.3715		140,949		0.0199
Pyrford International Stock Fund		25,695,469		0.5178		1,428,048		0.0288
LGM Emerging Markets Equity Fund		4,549,583		0.3519		389,168		0.0301

For the year ended August 31, 2018, Pursuant to Section 871 of the Code, the Government Money Market Fund designated short-term capital gain dividends and interest related dividends for non-resident alien shareholders of $4,811 and $40,596,471, respectively.

11.

Recently Issued Accounting Pronouncements

In March 2017, FASB issued an Accounting Standard Update, ASU 2017-08, Receivables Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be accreted to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.

In August 2018, FASB issued Accounting Standards Update 2018-13 Fair Value Measurement (Topic 820) Disclosure Framework—Changes to the Disclosure Requirements, which sets forth a methodology for disclosing the fair value hierarchy. Compliance is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2019.

In August 2018, the Securities and Exchange Commission released its Final Rules that eliminates or amends disclosure requirements that are redundant or outdated in light of changes in SEC requirements, US GAAP, IFRS or changes in technology or the business environment. The Rules are effective 30 days from publication in the Federal Register.

12.

Subsequent Events

Effective October 1, 2018, BMO Alternative Strategies Fund lowered its investment advisory fee as noted in the table below, and lowered its net expense ratios for the Advisor Class and Institutional Class from 2.00% and 1.75%, respectively, to 1.70% and 1.45%, respectively.


	Fund’s ADNA
	on the first $1 billion			on the next $1 billion			in excess of $2 billion
Alternative Strategies Fund		1.000	%		0.975	%		0.950	%

Effective October 18, 2018, the Corporation, on behalf of the respective Funds, terminated the LOC agreement with UMB Bank, n.a. and committed to a $25 million LOC with State Street Bank & Trust Company.

168



		Results of the Special Meeting of Shareholders (Unaudited)

The special meeting of the shareholders of BMO Pyrford International Stock Fund was held on April 23, 2018. The matter voted on by the shareholders of record as of March 20, 2018 and the results of the vote at the shareholder meeting held April 23, 2018 are as follows:

To approve an amendment to the Articles of Incorporation, as amended, of BMO Funds, Inc. to redesignate and convert the Class Y shares of the Fund into Class A shares of the Fund and to terminate the Class Y shares of the Fund, as described in a plan of redesignation and conversion.


	Affirmative		Against		Abstain
BMO Pyrford International Stock Fund		286,921		1,293		98

The special meeting of the shareholders of BMO Mid-Cap Value Fund and BMO Small-Cap Value Fund was held on April 23, 2018, and adjourned with respect to BMO Small-Cap Value Fund and reconvened on May 7, 2018. The matter voted on by the shareholders of record of each Fund as of March 20, 2018 and the results of the vote at the shareholder meeting held April 23, 2018 with respect to BMO Mid-Cap Value Fund, and May 7, 2018 with respect BMO Small-Cap Value Fund, are as follows:

To approve an amendment to the Articles of Incorporation, as amended, of BMO Funds, Inc. to liquidate the Class R3 shares of the Fund and to terminate Class R3 as a share class of the Fund.


	Affirmative		Against		Abstain
BMO Mid-Cap Value Fund		1,906		0		0
BMO Small-Cap Value Fund		2,924		0		138

169

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of BMO Funds, Inc.:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities 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 Disciplined International Equity Fund, BMO Pyrford International Stock Fund, BMO LGM Emerging Markets Equity Fund, BMO Alternative Strategies Fund, BMO Global Long/Short Equity Fund, BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, BMO Short-Term Income Fund, BMO Intermediate Tax-Free Fund, BMO Strategic Income Fund, BMO TCH Corporate Income Fund, BMO TCH Core Plus Bond Fund, BMO High Yield Bond Fund, BMO Government Money Market Fund, BMO Tax-Free Money Market Fund, BMO Prime Money Market Fund, and BMO Institutional Prime Money Market Fund (each a series of BMO Funds, Inc., collectively referred to as the Funds), including the schedules of investments as of August 31, 2018, 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, and the related notes to financial statements (collectively, the financial statements), and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of August 31, 2018, the results of their operations for the year then ended, the changes in their net assets for each of the years 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, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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 are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of August 31, 2018 by correspondence with custodians and brokers or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the auditor of one or more BMO Funds, Inc. investment companies since 2011.

Columbus, Ohio

October 26, 2018

170



Directors and Officers of the Funds (Unaudited)

The following tables provide information about each Director and Officer of the Funds as of August 31, 2018. The address of each Director is c/o BMO Funds, 111 East Kilbourn Avenue, Suite 200, Milwaukee, Wisconsin 53202. There are currently 43 separate portfolios or funds in the BMO Funds complex, of which 42 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

Ridge A. Braunschweig Age: 65	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.	43	None

Benjamin M. Cutler Age: 73	Independent Director	Since July 2004	Chairman, USHEALTH Group, Inc. (a health insurance company), since 2004; CEO and President, USHEALTH Group, Inc., from 2004 to 2016; Director, Freedom from Hunger (a non-profit organization), since 2016.	43	None

John A. Lubs Age: 70	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.	43	None

Vincent P. Lyles Age: 57	Independent Director	Since September 2017	President and Chief Executive Officer, Boys & Girls Clubs of Greater Milwaukee, since 2012.	43	None

James Mitchell Age: 71	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.	43	None

Barbara J. Pope Age: 70	Independent Director	Since March 1999	Retired; formerly, President of Barbara J. Pope, P.C. (a financial consulting firm), 1992-2015; President of Sedgwick Street Fund LLC (a private investment partnership), 1996-2015; Tax Partner, Price Waterhouse	43	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.

171

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: 61	Director and President	Since May 1999	Managing Director of the Adviser, since June 2012.	43	None

Daniela O’Leary - Gill** Age: 53	Director	Since August 2018	Chief Operating Officer of BMO Financial Group, since February 1, 2018; Director of the Adviser since June 1, 2018; Head, Communications, Government & Investor Relations 2016-2018; Head, AML Program Oversight 2014-2016; SVP, Personal Banking & Chief CRA Officer 2011-2014.	43	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. Ms. O’Leary - Gill is an “interested person” of the Corporation due to the positions that she 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

Brett Black Age: 46	Chief Compliance Officer and Anti-Money Laundering Compliance Officer	Elected by the Board annually; since November 2017	Vice President and Chief Compliance Officer of BMO Harris Bank, since 2017; Assistant Vice President, Deputy Chief Compliance Officer, from 2014 to 2017; Senior Compliance Officer of BMO Harris Bank, from 2012 to 2014.

Timothy M. Bonin Age: 45	Vice President, Chief Financial Officer and Treasurer	Elected by the Board annually; since February 2006	Vice President of the Adviser, since February 2006.

Michael J. Murphy Age: 39	Secretary	Elected by the Board annually; since May 2016	Senior Counsel and Vice President of BMO Harris Bank N.A., since 2014; Associate, Vedder Price P.C., 2010 to 2014.

172



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

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”), met to discuss the advisory and subadvisory agreements, as applicable, of each portfolio of the Corporation included in this shareholder report (each, a “Fund” and collectively, the “Funds”). The Board approved the continuation of the following agreements, all for an additional year ending August 31, 2019 (except as noted): (1) the investment advisory agreement (the “Advisory Agreement”) between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of each Fund(for an additional year ending August 26, 2019 for BMO Disciplined Equity Fund and BMO Global Long/Short Equity Fund); (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 Corporate Income Fund and BMO TCH Core Plus Bond Fund; (ii) LGM Investments Limited on behalf of BMO LGM Emerging Markets Equity Fund; (iii) Pyrford International Ltd. on behalf of BMO Pyrford International Stock Fund; and (iv) 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) Cramer Rosenthal McGlynn, LLC; (ii) Graham Capital Management, L.P.; and (iii) Iridian Asset Management LLC. 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 11, 2018 (“July Meeting”) and August 7-8, 2018 (“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 Board requested and received a wide variety of information and reports concerning the Adviser (and 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 as compared to a group of comparable funds; (3) the level of the advisory and subadvisory fees charged to each Fund as compared to: (a) other clients of the Adviser and the Subadvisers and (b) a group of comparable funds; (4) the expense ratios of each Fund as compared to a group of comparable funds; (5) the profitability of the Adviser and, to the extent made available, profitability 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 and 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 sessions 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 Board 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

173



Shareholder Report Disclosure of Directors’ Approval of Advisory and Sub-Advisory Contracts (Unaudited) (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 certain 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 each Fund by the Adviser and each Subadviser, as applicable, 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 Board 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 (as applicable) through May 31, 2018, 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 at least half of the periods reviewed, except for the following Funds: BMO Low Volatility Equity Fund, BMO Mid-Cap Growth Fund, BMO Small-Cap Growth Fund, BMO Pyrford International Stock Fund, BMO Global Long/Short Equity Fund, BMO Alternative Strategies Fund, BMO Strategic Income Fund, and BMO High Yield Bond Fund.

With respect to the BMO Low Volatility Equity Fund, the Board considered that Class A and Class I shares of the Funds were rated three and four stars, respectively, by Morningstar and that the Fund’s one-year performance was in the fourth quartile of its peer group, while its year-to-date , three-year, and five-year performance were in the fourth quartile. The Board noted the Adviser’s explanation for the recent underperformance of the Fund and also considered the Adviser’s statement that the Fund’s longer-term performance continues to demonstrate the value of the strategy over a full market cycle.

With respect to the BMO Mid-Cap Growth Fund, the Board considered that its year-to-date and one-year performance was in the second quartile of its peer group, while its three-year and five-year performance were in the fourth quartile and its ten-year performance was in the third quartile. The Board noted the Adviser’s explanation that, since members of the disciplined equity team took over management of the Fund in late 2016, the Fund had seen an improvement in its relative performance and ranked in the 29th percentile for its one-year performance.

With respect to the BMO Small-Cap Growth Fund, the Board considered that its year-to-date, one-year, and ten-year performance was in the third quartile of its peer group, and its three-year and five-year performance were in the fourth quartile. The Board noted the Adviser’s explanation that, since members of the disciplined equity team took over management of the Fund in late 2016, the Fund had seen an improvement in its relative performance and ranked closer to the category median for its one-year performance.

With respect to the BMO Pyrford International Stock Fund, the Board considered that its year-to-date, one-year, three-year, and five-year performance were in the fourth quartile of its peer group. The Board considered the information provided by the Adviser about the specific contributors to the Fund’s underperformance, and noted the explanation provided that the Fund has underperformed primarily due to its defensive positioning given the recent market environment.

With respect to the BMO Global Long/Short Equity Fund, the Board considered its limited performance history and noted that its year-to-date performance was in the fourth quartile of its peer group and its one-year performance was in the third quartile. The Board noted the Adviser’s explanation for the recent underperformance of the Fund.

With respect to the BMO Alternative Strategies Fund, the Board considered its limited performance history and noted that its year-to-date and one year performance was in the fourth quartile of its peer group and its three-year performance was in the third quartile. The Board noted the Adviser’s explanation for the recent underperformance of the Fund and also considered the Fund management changes that occurred during the previous year and changes discussed and approved at the Meeting.

With respect to the BMO Strategic Income Fund, the Board considered that the Fund was ranked three stars by Morningstar, and that its year-to-date, one-year, three-year, five-year, and ten-year performance were in the third quartile of its peer group. The Board noted that the Fund’s name, investment objective, and principal investment strategy were changed in May 2017 and considered that the Fund ranked near the category median for its one-year, three-year, and five-year performance.

With respect to the BMO High Yield Bond Fund, the Board considered that Class I shares of the Fund were ranked three stars by Morningstar and that its year-to-date performance was in the fourth quartile of its peer group and its one-year, three-year, and five-year performance was in the third quartile. The Board noted the Adviser’s explanation for the recent underperformance of the Fund and also considered the Fund management changes that have occurred since a new investment team took over management of the Fund in March 2017.

174



		BMO Funds

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 (gross) advisory fee to the median fee of its Morningstar peer category (“Morningstar peers”) or 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 peer group (“Lipper peers”). With respect to the Subadvisers, the Board considered the fees payable under the Subadvisory Agreements, noting that the fees would be paid by the Adviser (not the Fund).

The Board considered that substantially all of the equity and fixed income Funds’ contractual advisory fees were lower than or within a few basis points of their Morningstar peers and all of the money market Funds’ contractual advisory fees were lower than or within a few basis points of their Simfund peers.

With respect to the BMO Alternative Strategies Fund, the Board considered that its contractual investment advisory fees and net expense ratio were in the fourth quartile of its Morningstar peers, and its net expense ratio was below its Lipper peers by eight basis points for Class I shares and above the median by 17 basis points for Class A shares. The Board took into consideration the Adviser’s efforts to lower the Fund’s expenses.

The Board also 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 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 was satisfied with the fee structures and 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.

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.

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		BMO Funds U.S. Services P.O. Box 55931 Boston, MA 02205-5931

		Contact us 1-800-236-FUND (3863) 414-287-8555

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BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

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

BMO Funds

August 31, 2018

Annual report

Target Retirement Funds

Target Risk Funds

LOGO

Table of Contents



Commentaries *(Unaudited)*
Target Retirement Funds Commentary	2
BMO In-Retirement 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 Balanced Allocation Fund	10
BMO Conservative Allocation Fund	9	BMO Growth Allocation Fund	10
BMO Moderate Allocation Fund	9	BMO Aggressive Allocation Fund	11

Financial Information

Expense Example (Unaudited)			12

Schedules of Investments:
BMO In-Retirement Fund	14
BMO Target Retirement 2015 Fund	14	BMO Target Retirement 2050 Fund	19
BMO Target Retirement 2020 Fund	15	BMO Target Retirement 2055 Fund	20
BMO Target Retirement 2025 Fund	16	BMO Conservative Allocation Fund	21
BMO Target Retirement 2030 Fund	16	BMO Moderate Allocation Fund	21
BMO Target Retirement 2035 Fund	17	BMO Balanced Allocation Fund	22
BMO Target Retirement 2040 Fund	18	BMO Growth Allocation Fund	23
BMO Target Retirement 2045 Fund	19	BMO Aggressive Allocation Fund	24

Notes to Schedules of Investments			24
Statements of Assets and Liabilities			25
Statements of Operations			28
Statements of Changes in Net Assets			31
Financial Highlights			36
Notes to Financial Statements			43

Report of Independent Registered Public Accounting Firm			63

Directors and Officers of the Funds *(Unaudited)*			64

Shareholder Report Disclosure of Directors’ Approval of Continuation of Contracts *(Unaudited)*			66


Not FDIC Insured		No Bank Guarantee		May Lose Value



Annual Report — Commentary		BMO Target Retirement Funds

BMO Target Date Funds

Performance for the One-Year Period Ending August 31, 2018 (%)


			Target Date Index
	Retirement Class (R-6)		S&P Target Date		Lipper Mixed Asset		Russell 3000
BMO In-Retirement		3.99		5.35		4.45
BMO Target Retirement 2015		5.12		6.31		5.31
BMO Target Retirement 2020		7.72		7.14		5.94
BMO Target Retirement 2025		9.30		8.48		7.06
BMO Target Retirement 2030		10.34
BMO Target Retirement 2035		11.50		11.11		9.96
BMO Target Retirement 2040		11.90		11.97		9.70
BMO Target Retirement 2045		12.26		12.37		11.32
BMO Target Retirement 2050		12.11				14.25		20.25
BMO Target Retirement 2055		12.17				11.73		20.25

The BMO Target Date Funds mostly outperformed their Lipper peer group medians for the one-year period. The return range was 3.99% for the BMO In-Retirement Fund (Retirement Class (R-6)) to 12.26% for the BMO Target Retirement 2045 Fund (Retirement Class (R-6)). The disparity in relative performance was reflective of the divergence between the mix of stocks and bonds during the year, with stocks outperforming core bonds.

Fiscal year 2018 witnessed a significant divergence between U.S. economic growth and the rest of the world. The U.S. economy showed signs of acceleration, driven by tax cuts passed in December 2017 along with a stimulative 2018 budget. This strong backdrop pushed the Federal Reserve (the Fed) to hike rates in three of the four quarters and signal further rate hikes on the horizon. Abroad, growth decelerated with particularly weakness in Europe and certain emerging markets such as Turkey and Argentina. Given the U.S. economic outperformance and tax reform, it comes as no surprise that U.S. equities led the way with the S&P 500 returning 19.6% and the Small-Cap Russell 2000 returning 25.5%. International equity returns were more muted with the international developed index MSCI EAFE up 4.4% and MSCI Emerging Markets down -0.68%. The risk-on theme translated into the fixed income market where the Barclays High Yield Index’s return of 3.4% easily outpaced the Barclays Aggregate Bond Index’s return of -1.1%.

Fixed income managers performed flat in aggregate for the year. BMO TCH Core Plus Bond and Metropolitan West Total Return Bond slightly outperformed their core bond benchmark due to the managers’ positive tilt towards credit. TCW Emerging Market Income slightly underperformed its benchmark. Corporate high yield funds BMO High Yield, Federated High Yield and Fidelity Floating Rate all underperformed their benchmarks mainly due to their bias towards higher quality bonds. The alternatives allocation detracted value during the year as the BMO Alternative Strategies fund underperformed the Barclays U.S. Aggregate return.

Domestic equity strategies largely added to performance. Small cap managers were flat for the year, as Goldman Sachs Small Cap Value underperformed and BMO Small-Cap Growth outperformed their respective benchmarks. Large and mid cap managers outperformed benchmarks with T. Rowe Price Growth Stock, BMO Large-Cap Value and BMO Mid-Cap Growth performing exceptionally well. BMO Low Volatility Equity was unable to keep pace with the benchmark due to the lower risk of its holdings.

International equity fund performance was mixed, with managers detracting from performance in aggregate. MFS International Value added the most value, while BMO Pyrford International and DFA International Small Cap slightly underperformed their benchmark. BMO Disciplined International, Harbor International and Dodge and Cox International were the main laggards. On the emerging markets side, BMO LGM Emerging Markets Equity outperformed the benchmark.

All eyes are turned towards the Fed as the market attempts to glean its path forward. The U.S. economy has proven resilient to the recent rate hikes but the Fed is approaching the rate level they estimate could provide a drag on growth. More importantly, economies abroad have suffered due to secondary effects from higher U.S. rates such as the strong dollar and increased borrowing costs. International central banks such as the European Central Bank and Bank of Japan have the unenviable task of gradually shifting away from highly stimulative policy without upending markets. The success of these central banks in this endeavour along with the Fed’s policy path will help dictate the trajectory for the market over the coming year.

We favor U.S. large cap equities and U.S. small cap equities with a commensurate underweight to core bonds, high yield bonds and emerging market bonds. We believe U.S. equities should benefit from a strong economy, strong earnings momentum and positive investor sentiment. We believe that Fed rate hikes along with rising inflation should put modest pressure on bond yields, making fixed income less attractive.



Annual Report		BMO Target Retirement Funds

BMO In-Retirement Fund

Average annual total returns (%)

Ticker

Cusip

Inception
date

Expenses (%)*

1-year

5-year

Since
inception

Gross

Net

Investor Class (Y )

3.66

5.05

5.04

BTRYX

09658L125

8/30/2013

2.07

0.98

Retirement Class (R-3)

3.43

4.80

BTRRX

09658L141

8/30/2013

2.32

1.23

Retirement Class (R-6)

3.99

5.47

5.46

BTRTX

09658L133

8/30/2013

1.67

0.58

Standard & Poor’s Target Date 2010 Index

5.35

5.65

5.64

Lipper Mixed-Asset Target 2010 Funds Index

4.45

5.31

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

18.0

Mid-Cap Funds

3.1

Small-Cap Funds

1.2

International Funds

11.4

Fixed Income Funds

58.1

Alternative Funds

6.9

Other Assets & Liabilities, Net

1.3

Total

100.0

BMO Target Retirement 2015 Fund

Average annual total returns (%)

Ticker

Cusip

Inception
date

Expenses (%)*

Since
inception

1-year

Gross

Net

Investor Class (Y )

4.72

5.05

BRTAX

09658V750

12/27/2013

4.96

1.00

Retirement Class (R-3)

4.46

4.80

BRTCX

09658V735

12/27/2013

5.21

1.25

Retirement Class (R-6)

5.12

5.50

BRTDX

09658V727

12/27/2013

4.56

0.60

Standard & Poor’s Target Date 2015 Index

6.31

5.46

Lipper Mixed-Asset Target 2015 Funds Index

5.31

4.96

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

21.1

Mid-Cap Funds

4.2

Small-Cap Funds

1.7

International Funds

13.8

Fixed Income Funds

50.5

Alternative Funds

7.4

Other Assets & Liabilities, Net

1.3

Total

100.0

The above graphs relate to the Investor Class shares of the Fund. Performance for the 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, 2018.

The above expense ratios are from the Funds’ Prospectus dated December 29, 2017, 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, 2019 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, 2018 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 Indices 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.



Annual Report		BMO Target Retirement Funds

BMO Target Retirement 2020 Fund

Average annual total returns (%)

Ticker

Cusip

Inception
date

Expenses (%)*

1-year

5-year

Since
inception

Gross

Net

Investor Class (Y )

7.28

7.09

7.08

BTRDX

09658V404

8/30/2013

1.33

1.03

Retirement Class (R-3)

7.06

6.84

6.83

BTRFX

09658V206

8/30/2013

1.58

1.28

Retirement Class (R-6)

7.72

7.53

7.52

BTRGX

09658V305

8/30/2013

0.93

0.63

Standard & Poor’s Target Date 2020 Index

7.14

7.20

Lipper Mixed-Asset Target 2020 Funds Index

5.94

6.43

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

30.0

Mid-Cap Funds

6.9

Small-Cap Funds

2.6

International Funds

20.1

Fixed Income Funds

32.9

Alternative Funds

6.3

Other Assets & Liabilities, Net

1.2

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 )

8.85

6.58

BRTEX

09658V719

12/27/2013

1.75

1.04

Retirement Class (R-3)

8.53

6.35

BRTGX

09658V685

12/27/2013

2.00

1.29

Retirement Class (R-6)

9.30

7.01

BRTHX

09658V677

12/27/2013

1.35

0.64

Standard & Poor’s Target Date 2025 Index

8.48

6.54

Lipper Mixed-Asset Target 2025 Funds Index

7.06

6.04

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

32.8

Mid-Cap Funds

9.1

Small-Cap Funds

3.8

International Funds

23.3

Fixed Income Funds

24.2

Alternative Funds

5.5

Other Assets & Liabilities, Net

1.3

Total

100.0

**	Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2018 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.



Annual Report		BMO Target Retirement Funds

BMO Target Retirement 2030 Fund

Average annual total returns (%)

Ticker

Cusip

Inception
date

Expenses (%)*

1-year

5-year

Since
inception

Gross

Net

Investor Class (Y )

9.95

8.51

BTRHX

09658V800

8/30/2013

1.33

1.09

Retirement Class (R-3)

9.63

8.25

BTRKX

09658V602

8/30/2013

1.58

1.34

Retirement Class (R-6)

10.34

8.94

BTRLX

09658V701

8/30/2013

0.93

0.69

Standard & Poor’s Target Date 2030 Index

9.87

8.61

8.60

Lipper Mixed-Asset Target 2030 Funds Index

8.61

8.20

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

36.4

Mid-Cap Funds

10.2

Small-Cap Funds

4.2

International Funds

25.9

Fixed Income Funds

16.8

Alternative Funds

5.2

Other Assets & Liabilities, Net

1.3

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 )

10.95

7.18

BRTIX

09658V669

12/27/2013

1.85

1.09

Retirement Class (R-3)

10.76

6.90

BRTKX

09658V644

12/27/2013

2.10

1.34

Retirement Class (R-6)

11.50

7.62

BRTLX

09658V636

12/27/2013

1.45

0.69

Standard & Poor’s Target Date 2035 Index

11.11

7.63

Lipper Mixed-Asset Target 2035 Funds Index

9.96

7.43

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

39.8

Mid-Cap Funds

11.1

Small-Cap Funds

4.6

International Funds

28.3

Fixed Income Funds

10.3

Alternative Funds

4.6

Other Assets & Liabilities, Net

1.3

Total

100.0

**	Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2018 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.



Annual Report		BMO Target Retirement Funds

BMO Target Retirement 2040 Fund

Average annual total returns (%)

Ticker

Cusip

Inception
date

Expenses (%)*

1-year

5-year

Since
inception

Gross

Net

Investor Class (Y )

11.50

9.34

9.33

BTRMX

09658V859

8/30/2013

1.45

1.08

Retirement Class (R-3)

11.31

9.07

BTRPX

09658V875

8/30/2013

1.70

1.33

Retirement Class (R-6)

11.90

9.77

BTRQX

09658V867

8/30/2013

1.05

0.68

Standard & Poor’s Target Date 2040 Index

11.97

9.70

9.69

Lipper Mixed-Asset Target 2040 Funds Index

10.89

9.26

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

41.7

Mid-Cap Funds

11.6

Small-Cap Funds

4.9

International Funds

29.5

Fixed Income Funds

6.8

Alternative Funds

4.2

Other Assets & Liabilities, Net

1.3

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 )

11.73

7.84

BRTMX

09658V453

12/27/2013

2.42

1.06

Retirement Class (R-3)

11.37

7.55

BRTPX

09658V610

12/27/2013

2.67

1.31

Retirement Class (R-6)

12.26

8.28

BRTQX

09658V594

12/27/2013

2.02

0.66

Standard & Poor’s Target Date 2045 Index

12.37

8.20

Lipper Mixed-Asset Target 2045 Funds Index

11.32

7.96

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

42.1

Mid-Cap Funds

11.7

Small-Cap Funds

5.0

International Funds

29.8

Fixed Income Funds

6.5

Alternative Funds

3.5

Other Assets & Liabilities, Net

1.4

Total

100.0

**	Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2018 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.



Annual Report		BMO Target Retirement Funds

BMO Target Retirement 2050 Fund

Average annual total returns (%)

Ticker

Cusip

Inception
date

Expenses (%)*

1-year

5-year

Since
inception

Gross

Net

Investor Class (Y )

11.64

9.43

9.42

BTRUX

09658V818

8/30/2013

1.55

1.06

Retirement Class (R-3)

11.38

9.16

9.15

BTRWX

09658V834

8/30/2013

1.80

1.31

Retirement Class (R-6)

12.11

9.87

9.86

BTRZX

09658V826

8/30/2013

1.15

0.66

Russell 3000^® Index

20.25

14.25

14.24

Lipper Mixed-Asset Target 2050+ Funds Index

11.58

9.36

9.35

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

42.0

Mid-Cap Funds

11.7

Small-Cap Funds

5.0

International Funds

30.0

Fixed Income Funds

6.5

Alternative Funds

3.5

Other Assets & Liabilities, Net

1.3

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 )

11.65

7.82

BRTRX

09658V586

12/27/2013

3.26

1.06

Retirement Class (R-3)

11.39

7.57

BRTTX

09658V560

12/27/2013

3.51

1.31

Retirement Class (R-6)

12.17

8.27

BRTUX

09658V552

12/27/2013

2.86

0.66

Russell 3000^® Index

20.25

12.17

Lipper Mixed-Asset Target 2055+ Funds Index

11.73

8.16

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

42.0

Mid-Cap Funds

11.6

Small-Cap Funds

5.0

International Funds

29.6

Fixed Income Funds

6.5

Alternative Funds

3.5

Other Assets & Liabilities, Net

1.8

Total

100.0

**	Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2018 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

Lipper indices measure the performance of the 30 largest mutual funds in each respective fund category.



Annual Report — Commentary		BMO Target Risk Funds

Performance for the One-Year Period Ending August 31, 2018 (%)


	Retirement Class (R-6)		Bloomberg Barclays U.S. Aggregate Bond Index		S&P 500 Index		Lipper Mixed Asset
BMO Conservative Allocation		2.28		-1.05				3.93
BMO Moderate Allocation		5.33		-1.05				7.14
BMO Balanced Allocation		8.51				19.66		9.49
BMO Growth Allocation		11.66				19.66		12.54
BMO Aggressive Allocation		14.51				19.66		18.81

The BMO Target Risk Funds underperformed Lipper peer group medians for the one-year period. The return range was 2.28% for the Conservative Allocation Fund (Retirement Class (R-6)) to 14.51% for the Aggressive Allocation Fund (Retirement Class (R-6)). The disparity in relative performance was reflective of the divergence between the mix of stocks and bonds during the year, with stocks outperforming core bonds.

Fixed income managers had mixed results for the year. BMO TCH Core Plus Bond and Metropolitan West Total Return Bond outperformed their core bond benchmark due to the managers’ positive tilt towards credit. BMO TCH Emerging Markets Bond slightly underperformed its benchmark. The alternatives allocation detracted value during the year as BMO Alternative Strategies underperformed bonds and equities.

Domestic equity strategies largely added to performance. Small cap managers were flat for the year, as Goldman Sachs Small Cap Value underperformed and BMO Small-Cap Growth outperformed their respective benchmarks. Large and mid-cap managers outperformed benchmarks with T. Rowe Price Growth Stock, BMO Large-Cap Value and BMO Mid-Cap Growth performing exceptionally well. BMO Low Volatility Equity was unable to keep pace with the benchmark due to the lower risk of its holdings.

International equity fund performance was mixed, with managers adding to performance in aggregate. MFS International Value and T Rowe International Discovery added the most value, while BMO Pyrford International slightly underperformed its benchmark. BMO Disciplined International, Harbor International and Dodge and Cox International were the main laggards. On the emerging markets side, BMO LGM Emerging Markets Equity outperformed the benchmark.

Our portfolios are positioned slightly positive risk with an overweight in U.S. large cap equities and U.S. small cap equities and a commensurate underweight to core bonds, high yield bonds and emerging market bonds. We believe U.S. equities should benefit from a strong economy, strong earnings momentum and positive investor sentiment. We believe that Fed rate hikes along with rising inflation should put modest pressure on bond yields, making fixed income less attractive.



Annual Report		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 )

1.79

2.71

BDVYX

09658L299

5/30/2014

1.27

1.02

Institutional Class (I)

2.11

2.97

BDVIX

09658L331

5/30/2014

1.02

0.77

Retirement Class (R-3)

1.58

2.46

BDVRX

09658L323

5/30/2014

1.52

1.27

Retirement Class (R-6)

2.28

3.13

BDVSX

09658L315

5/30/2014

0.87

0.62

Bloomberg Barclays U.S. Aggregate Bond Index

(1.05

)

1.82

Lipper Mixed-Asset Target Allocation Conservative Funds Index

3.93

3.50

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

12.9

Mid-Cap Funds

1.9

Small-Cap Funds

1.5

International Funds

7.1

Fixed Income Funds

64.7

Alternative Funds

10.4

Other Assets & Liabilities, Net

1.5

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 )

4.94

4.13

BMBYX

09658L166

5/30/2014

1.26

0.98

Institutional Class (I)

5.33

4.42

BMBHX

09658L190

5/30/2014

1.01

0.73

Retirement Class (R-3)

4.65

3.87

BMBQX

09658L182

5/30/2014

1.51

1.23

Retirement Class (R-6)

5.33

4.55

BMBTX

09658L174

5/30/2014

0.86

0.58

Bloomberg Barclays U.S. Aggregate Bond Index

(1.05

)

1.82

Lipper Mixed-Asset Target Allocation Moderate Funds Index

7.14

5.44

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

24.1

Mid-Cap Funds

3.5

Small-Cap Funds

2.8

International Funds

13.4

Fixed Income Funds

46.6

Alternative Funds

8.3

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, 2018.

**	Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2018 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.



Annual Report		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 )

8.06

5.50

BGRYX

09658L216

5/30/2014

1.17

1.02

Institutional Class (I)

8.27

5.77

BGRHX

09658L240

5/30/2014

0.92

0.77

Retirement Class (R-3)

7.77

5.24

BGRRX

09658L232

5/30/2014

1.42

1.27

Retirement Class (R-6)

8.51

5.92

BGRQX

09658L224

5/30/2014

0.77

0.62

Standard & Poor’s 500 Index

19.66

12.43

Lipper Mixed-Asset Target Allocation Growth Funds Index

9.49

6.99

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

34.9

Mid-Cap Funds

5.1

Small-Cap Funds

3.9

International Funds

19.4

Fixed Income Funds

28.7

Alternative Funds

6.9

Other Assets & Liabilities, Net

1.1

Total

100.0

BMO Growth Allocation Fund

Average annual total returns (%)

Ticker

Cusip

Inception
date

Expenses (%)*

Since
inception

1-year

Gross

Net

Investor Class (Y )

11.15

6.86

BABYX

09658L380

5/30/2014

1.27

1.00

Institutional Class (I)

11.59

7.15

BABHX

09658L422

5/30/2014

1.02

0.75

Retirement Class (R-3)

11.00

6.62

BABRX

09658L414

5/30/2014

1.52

1.25

Retirement Class (R-6)

11.66

7.30

BABQX

09658L398

5/30/2014

0.87

0.60

Standard & Poor’s 500 Index

19.66

12.43

Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index

12.54

7.67

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

45.9

Mid-Cap Funds

6.7

Small-Cap Funds

5.2

International Funds

25.4

Fixed Income Funds

10.5

Alternative Funds

5.6

Other Assets & Liabilities, Net

0.7

Total

100.0

**	Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2018 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.



Annual Report		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 )

13.90

8.13

BDSYX

09658L257

5/30/2014

1.17

0.97

Institutional Class (I)

14.26

8.40

BDSHX

09658L281

5/30/2014

0.92

0.72

Retirement Class (R-3)

13.70

7.87

BDSRX

09658L273

5/30/2014

1.42

1.22

Retirement Class (R-6)

14.51

8.59

BDSQX

09658L265

5/30/2014

0.77

0.57

Standard & Poor’s 500 Index

19.66

12.43

Lipper Multi-Cap Core Funds Index

18.81

10.62

Growth of an assumed $10,000 investment

Portfolio sector allocation**

Sector

Fund (%)

Large-Cap Funds

54.3

Mid-Cap Funds

7.9

Small-Cap Funds

6.2

International Funds

30.1

Alternative Funds

0.5

Other Assets & Liabilities, Net

1.0

Total

100.0

**	Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2018 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.



Expense Example (Unaudited)

For the Six Months ended August 31, 2018

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, 2018 (3/1/18-8/31/18).

Actual Expenses

The information in the table under the heading “Actual Expenses” provides information about actual account values and actual expenses. You may use the information in these columns, 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 column 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

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 information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.


	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 3/1/18		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Annualized Expense Ratio(1)
In-Retirement Fund
Investor	$	1,000.00	$	1,015.90	$	1.68	$	1,023.54	$	1.68		0.33	%
Retirement class R-3		1,000.00		1,015.80		2.95		1,022.28		2.96		0.58
Retirement class R-6		1,000.00		1,018.20		0.00		1,025.21		0.00		0.00
2015 Fund
Investor		1,000.00		1,018.40		1.68		1,023.54		1.68		0.33
Retirement class R-3		1,000.00		1,017.60		2.95		1,022.28		2.96		0.58
Retirement class R-6		1,000.00		1,020.10		0.00		1,025.21		0.00		0.00
2020 Fund
Investor		1,000.00		1,026.20		1.69		1,023.54		1.68		0.33
Retirement class R-3		1,000.00		1,026.10		2.96		1,022.28		2.96		0.58
Retirement class R-6		1,000.00		1,029.10		0.00		1,025.21		0.00		0.00
2025 Fund
Investor		1,000.00		1,031.10		1.69		1,023.54		1.68		0.33
Retirement class R-3		1,000.00		1,029.90		2.97		1,022.28		2.96		0.58
Retirement class R-6		1,000.00		1,033.40		0.00		1,025.21		0.00		0.00
2030 Fund
Investor		1,000.00		1,033.40		1.90		1,023.34		1.89		0.37
Retirement class R-3		1,000.00		1,032.50		3.18		1,022.08		3.16		0.62
Retirement class R-6		1,000.00		1,035.10		0.00		1,025.21		0.00		0.00
2035 Fund
Investor		1,000.00		1,036.70		1.90		1,023.34		1.89		0.37
Retirement class R-3		1,000.00		1,035.50		3.18		1,022.08		3.16		0.62
Retirement class R-6		1,000.00		1,039.00		0.00		1,025.21		0.00		0.00
2040 Fund
Investor		1,000.00		1,038.00		1.85		1,023.39		1.84		0.36
Retirement class R-3		1,000.00		1,037.00		3.13		1,022.13		3.11		0.61
Retirement class R-6		1,000.00		1,039.80		0.00		1,025.21		0.00		0.00



		Expense Example (Unaudited) (continued)


	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 3/1/18		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Ending account value 8/31/18		Expenses paid during period 3/1/18- 8/31/18(1)		Annualized Expense Ratio(1)
2045 Fund
Investor	$	1,000.00	$	1,039.80	$	1.85	$	1,023.39	$	1.84		0.36	%
Retirement class R-3		1,000.00		1,037.70		3.13		1,022.13		3.11		0.61
Retirement class R-6		1,000.00		1,042.10		0.00		1,025.21		0.00		0.00
2050 Fund
Investor		1,000.00		1,038.90		1.85		1,023.39		1.84		0.36
Retirement class R-3		1,000.00		1,037.20		3.13		1,022.13		3.11		0.61
Retirement class R-6		1,000.00		1,040.50		0.00		1,025.21		0.00		0.00
2055 Fund
Investor		1,000.00		1,038.60		1.85		1,023.39		1.84		0.36
Retirement class R-3		1,000.00		1,038.10		3.13		1,022.13		3.11		0.61
Retirement class R-6		1,000.00		1,040.90		0.00		1,025.21		0.00		0.00
Conservative Allocation Fund
Investor		1,000.00		1,012.90		1.67		1,023.54		1.68		0.33
Institutional		1,000.00		1,014.70		0.41		1,024.80		0.41		0.08
Retirement class R-3		1,000.00		1,012.60		2.94		1,022.28		2.96		0.58
Retirement class R-6		1,000.00		1,015.20		0.00		1,025.21		0.00		0.00
Moderate Allocation Fund
Investor		1,000.00		1,022.70		1.53		1,023.69		1.53		0.30
Institutional		1,000.00		1,024.70		0.26		1,024.95		0.26		0.05
Retirement class R-3		1,000.00		1,021.60		2.80		1,022.43		2.80		0.55
Retirement class R-6		1,000.00		1,024.80		0.00		1,025.21		0.00		0.00
Balanced Allocation Fund
Investor		1,000.00		1,030.70		1.69		1,023.54		1.68		0.33
Institutional		1,000.00		1,031.80		0.41		1,024.80		0.41		0.08
Retirement class R-3		1,000.00		1,029.50		2.97		1,022.28		2.96		0.58
Retirement class R-6		1,000.00		1,032.90		0.00		1,025.21		0.00		0.00
Growth Allocation Fund
Investor		1,000.00		1,039.30		1.54		1,023.69		1.53		0.30
Institutional		1,000.00		1,041.30		0.26		1,024.95		0.26		0.05
Retirement class R-3		1,000.00		1,039.30		2.83		1,022.43		2.80		0.55
Retirement class R-6		1,000.00		1,041.30		0.00		1,025.21		0.00		0.00
Aggressive Allocation Fund
Investor		1,000.00		1,047.00		1.70		1,023.54		1.68		0.33
Institutional		1,000.00		1,048.20		0.41		1,024.80		0.41		0.08
Retirement class R-3		1,000.00		1,046.10		2.99		1,022.28		2.96		0.58
Retirement class R-6		1,000.00		1,050.30		0.00		1,025.21		0.00		0.00

(1)

August 31, 2018



Schedules of Investments

In-Retirement Fund


Description	Shares		Value
Mutual Funds — 98.7%

Large-Cap Funds — 18.0%
BMO Dividend Income Fund — Institutional Class (1)		17,080	$	263,207
BMO Large-Cap Growth Fund — Class R6 (1)		7,922		168,032
BMO Large-Cap Value Fund — Class R6 (1)		23,315		387,491
BMO Low Volatility Equity Fund — Institutional Class (1)		23,825		375,716
Harbor Capital Appreciation Fund — Retirement Class		2,048		167,209
T Rowe Price Growth Stock Fund — Institutional Class		2,305		167,011
Vanguard Equity Income Fund — Admiral Class		3,969		317,898
Vanguard Institutional Index Fund — Institutional Class		2,465		653,949

Total Large-Cap Funds				2,500,513

Mid-Cap Funds — 3.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		3,686		69,706
BMO Mid-Cap Value Fund — Class R6 (1)		13,175		166,007
Vanguard Mid-Cap Index Fund — Institutional Class		4,283		194,194

Total Mid-Cap Funds				429,907

Small-Cap Funds — 1.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		1,885		42,366
Goldman Sachs Small Cap Value Fund — Institutional Class		1,932		125,384

Total Small-Cap Funds				167,750

International Funds — 11.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		24,980		273,785
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		13,701		219,070
BMO Pyrford International Stock Fund — Class R6 (1)		28,133		371,352
DFA International Small Company Portfolio — Institutional Class		2,013		41,467
Dodge & Cox International Stock Fund — Retail Class		4,427		191,347
Harbor International Fund — Retirement Class		2,961		191,690
MFS International Value Fund — Class R6		6,553		290,968

Total International Funds				1,579,679

Fixed Income Funds — 58.1%
BMO High Yield Bond Fund — Institutional Class (1)		27,027		249,728
BMO TCH Core Plus Bond Fund — Institutional Class (1)		226,607		2,583,316
Federated Institutional High-Yield Bond Fund — Class R6		41,183		402,362
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		43,357		416,664
Metropolitan West Total Return Bond Fund — Plan Class		306,121		2,996,926
TCW Emerging Markets Income Fund — Institutional Class		52,609		411,404


Description	Shares		Value
Mutual Funds (continued)

Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		29,960	$	736,706
Vanguard Short-Term Investment Grade Fund — Admiral Class		26,531		278,041

Total Fixed Income Funds				8,075,147

Alternative Funds — 6.9%
BMO Alternative Strategies Fund — Institutional Class (1)		98,602		967,286

Total Mutual Funds (identified cost $11,702,863)				13,720,282

Short-Term Investments — 1.0%

Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		139,436		139,450

Total Short-Term Investments — 1.0% (identified cost $139,438)				139,450

Total Investments — 99.7% (identified cost $11,842,301)				13,859,732
Other Assets and Liabilities — 0.3%				43,933

Total Net Assets — 100.0%			$	13,903,665

2015 Fund
Description	Shares		Value
Mutual Funds — 98.7%

Large-Cap Funds — 21.1%
BMO Dividend Income Fund — Institutional Class (1)		3,010	$	46,383
BMO Large-Cap Growth Fund — Class R6 (1)		2,339		49,607
BMO Large-Cap Value Fund — Class R6 (1)		5,552		92,266
BMO Low Volatility Equity Fund — Institutional Class (1)		5,537		87,322
Harbor Capital Appreciation Fund — Retirement Class		613		50,015
T Rowe Price Growth Stock Fund — Institutional Class		682		49,449
Vanguard Equity Income Fund — Admiral Class		817		65,451
Vanguard Institutional Index Fund — Institutional Class		584		154,938

Total Large-Cap Funds				595,431

Mid-Cap Funds — 4.2%
BMO Mid-Cap Growth Fund — Class R6 (1)		920		17,401
BMO Mid-Cap Value Fund — Class R6 (1)		3,672		46,271
Vanguard Mid-Cap Index Fund — Institutional Class		1,193		54,068

Total Mid-Cap Funds				117,740

Small-Cap Funds — 1.7%
BMO Small-Cap Growth Fund — Institutional Class (1)		676		15,204
Goldman Sachs Small Cap Value Fund — Institutional Class		490		31,798

Total Small-Cap Funds				47,002

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



		BMO Funds

2015 Fund (continued)


Description	Shares		Value
Mutual Funds (continued)

International Funds — 13.8%
BMO Disciplined International Equity Fund — Institutional Class (1)		5,968	$	65,412
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		3,655		58,438
BMO Pyrford International Stock Fund — Class R6 (1)		6,468		85,379
DFA International Small Company Portfolio — Institutional Class		556		11,463
Dodge & Cox International Stock Fund — Retail Class		1,180		51,007
Harbor International Fund — Retirement Class		895		57,945
MFS International Value Fund — Class R6		1,393		61,829

Total International Funds				391,473

Fixed Income Funds — 50.5%
BMO High Yield Bond Fund — Institutional Class (1)		4,563		42,165
BMO TCH Core Plus Bond Fund — Institutional Class (1)		41,100		468,537
Federated Institutional High-Yield Bond Fund — Class R6		7,480		73,082
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		7,868		75,613
Metropolitan West Total Return Bond Fund — Plan Class		56,874		556,800
TCW Emerging Markets Income Fund — Institutional Class		10,013		78,301
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		5,397		132,697

Total Fixed Income Funds				1,427,195

Alternative Funds — 7.4%
BMO Alternative Strategies Fund — Institutional Class (1)		21,416		210,087

Total Mutual Funds (identified cost $2,552,047)				2,788,928

Short-Term Investments — 0.9%

Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		25,133		25,136

Total Short-Term Investments — 0.9% (identified cost $25,134)				25,136

Total Investments — 99.6% (identified cost $2,577,181)				2,814,064
Other Assets and Liabilities — 0.4%				9,954

Total Net Assets — 100.0%			$	2,824,018

2020 Fund
Description	Shares		Value
Mutual Funds — 98.8%

Large-Cap Funds — 30.0%
BMO Dividend Income Fund — Institutional Class (1)		90,097	$	1,388,399
BMO Large-Cap Growth Fund — Class R6 (1)		94,872		2,012,234


Description	Shares		Value
Mutual Funds (continued)

Large-Cap Funds (continued)
BMO Large-Cap Value Fund — Class R6 (1)		204,204	$	3,393,863
BMO Low Volatility Equity Fund — Institutional Class (1)		205,819		3,245,763
Harbor Capital Appreciation Fund — Retirement Class		24,546		2,003,951
T Rowe Price Growth Stock Fund — Institutional Class		27,657		2,004,055
Vanguard Equity Income Fund — Admiral Class		26,919		2,155,975
Vanguard Institutional Index Fund — Institutional Class		26,170		6,943,581

Total Large-Cap Funds				23,147,821

Mid-Cap Funds — 6.9%
BMO Mid-Cap Growth Fund — Class R6 (1)		73,818		1,395,899
BMO Mid-Cap Value Fund — Class R6 (1)		147,154		1,854,132
Vanguard Mid-Cap Index Fund — Institutional Class		46,004		2,085,832

Total Mid-Cap Funds				5,335,863

Small-Cap Funds — 2.6%
BMO Small-Cap Growth Fund — Institutional Class (1)		34,562		776,962
Goldman Sachs Small Cap Value Fund — Institutional Class		19,066		1,237,358

Total Small-Cap Funds				2,014,320

International Funds — 20.1%
BMO Disciplined International Equity Fund — Institutional Class (1)		222,765		2,441,500
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		163,603		2,616,013
BMO Pyrford International Stock Fund — Class R6 (1)		260,564		3,439,450
DFA International Small Company Portfolio — Institutional Class		18,630		383,777
Dodge & Cox International Stock Fund — Retail Class		47,777		2,064,919
Harbor International Fund — Retirement Class		34,320		2,221,858
MFS International Value Fund — Class R6		53,596		2,379,654

Total International Funds				15,547,171

Fixed Income Funds — 32.9%
BMO High Yield Bond Fund — Institutional Class (1)		75,130		694,199
BMO TCH Core Plus Bond Fund — Institutional Class (1)		723,970		8,253,259
Federated Institutional High-Yield Bond Fund — Class R6		134,214		1,311,266
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		144,474		1,388,399
Metropolitan West Total Return Bond Fund — Plan Class		1,047,878		10,258,724
TCW Emerging Markets Income Fund — Institutional Class		147,019		1,149,691
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		94,141		2,314,937

Total Fixed Income Funds				25,370,475

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

August 31, 2018



Schedules of Investments

2020 Fund (continued)


Description	Shares		Value
Mutual Funds (continued)

Alternative Funds — 6.3%
BMO Alternative Strategies Fund — Institutional Class (1)		495,351	$	4,859,396

Total Mutual Funds (identified cost $56,833,558)				76,275,046

Short-Term Investments — 0.8%

Mutual Funds — 0.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		633,849		633,912

Total Short-Term Investments — 0.8% (identified cost $633,912)				633,912

Total Investments — 99.6% (identified cost $57,467,470)				76,908,958
Other Assets and Liabilities — 0.4%				308,976

Total Net Assets — 100.0%			$	77,217,934

2025 Fund
Description	Shares		Value
Mutual Funds — 98.7%

Large-Cap Funds — 32.8%
BMO Dividend Income Fund — Institutional Class (1)		22,320	$	343,957
BMO Large-Cap Growth Fund — Class R6 (1)		33,130		702,684
BMO Large-Cap Value Fund — Class R6 (1)		76,250		1,267,274
BMO Low Volatility Equity Fund — Institutional Class (1)		51,972		819,600
Harbor Capital Appreciation Fund — Retirement Class		13,631		1,112,842
T Rowe Price Growth Stock Fund — Institutional Class		15,234		1,103,863
Vanguard Equity Income Fund — Admiral Class		5,910		473,313
Vanguard Institutional Index Fund — Institutional Class		10,871		2,884,428

Total Large-Cap Funds				8,707,961

Mid-Cap Funds — 9.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		39,972		755,872
BMO Mid-Cap Value Fund — Class R6 (1)		60,716		765,016
Vanguard Mid-Cap Index Fund — Institutional Class		19,931		903,665

Total Mid-Cap Funds				2,424,553

Small-Cap Funds — 3.8%
BMO Small-Cap Growth Fund — Institutional Class (1)		21,699		487,780
Goldman Sachs Small Cap Value Fund — Institutional Class		8,125		527,337

Total Small-Cap Funds				1,015,117

International Funds — 23.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		64,474		706,630
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		72,251		1,155,289


Description	Shares		Value
Mutual Funds (continued)

International Funds (continued)
BMO Pyrford International Stock Fund — Class R6 (1)		96,067	$	1,268,088
DFA International Small Company Portfolio — Institutional Class		9,064		186,729
Dodge & Cox International Stock Fund — Retail Class		23,041		995,835
Harbor International Fund — Retirement Class		16,923		1,095,575
MFS International Value Fund — Class R6		17,515		777,665

Total International Funds				6,185,811

Fixed Income Funds — 24.2%
BMO High Yield Bond Fund — Institutional Class (1)		19,953		184,368
BMO TCH Core Plus Bond Fund — Institutional Class (1)		177,585		2,024,468
Federated Institutional High-Yield Bond Fund — Class R6		35,081		342,744
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		38,410		369,120
Metropolitan West Total Return Bond Fund — Plan Class		271,441		2,657,410
TCW Emerging Markets Income Fund — Institutional Class		36,719		287,140
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		22,520		553,772

Total Fixed Income Funds				6,419,022

Alternative Funds — 5.5%
BMO Alternative Strategies Fund — Institutional Class (1)		149,442		1,466,028

Total Mutual Funds (identified cost $23,007,755)				26,218,492

Short-Term Investments — 1.1%

Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		284,620		284,649

Total Short-Term Investments — 1.1% (identified cost $284,622)				284,649

Total Investments — 99.8% (identified cost $23,292,377)				26,503,141
Other Assets and Liabilities — 0.2%				55,804

Total Net Assets — 100.0%			$	26,558,945

2030 Fund
Description	Shares		Value
Mutual Funds — 98.7%

Large-Cap Funds — 36.4%
BMO Dividend Income Fund — Institutional Class (1)		90,489	$	1,394,440
BMO Large-Cap Growth Fund — Class R6 (1)		128,155		2,718,171
BMO Large-Cap Value Fund — Class R6 (1)		329,280		5,472,625
BMO Low Volatility Equity Fund — Institutional Class (1)		222,054		3,501,786
Harbor Capital Appreciation Fund — Retirement Class		56,444		4,608,128

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



		BMO Funds

2030 Fund (continued)


Description	Shares		Value
Mutual Funds (continued)

Large-Cap Funds (continued)
T Rowe Price Growth Stock Fund — Institutional Class		63,522	$	4,602,830
Vanguard Equity Income Fund — Admiral Class		26,057		2,086,928
Vanguard Institutional Index Fund — Institutional Class		45,244		12,004,530

Total Large-Cap Funds				36,389,438

Mid-Cap Funds — 10.2%
BMO Mid-Cap Growth Fund — Class R6 (1)		169,620		3,207,506
BMO Mid-Cap Value Fund — Class R6 (1)		252,613		3,182,919
Vanguard Mid-Cap Index Fund — Institutional Class		83,585		3,789,763

Total Mid-Cap Funds				10,180,188

Small-Cap Funds — 4.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		94,847		2,132,168
Goldman Sachs Small Cap Value Fund — Institutional Class		32,412		2,103,534

Total Small-Cap Funds				4,235,702

International Funds — 25.9%
BMO Disciplined International Equity Fund — Institutional Class (1)		260,441		2,854,432
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		301,678		4,823,831
BMO Pyrford International Stock Fund — Class R6 (1)		404,548		5,340,034
DFA International Small Company Portfolio — Institutional Class		43,419		894,435
Dodge & Cox International Stock Fund — Retail Class		97,772		4,225,709
Harbor International Fund — Retirement Class		71,471		4,627,057
MFS International Value Fund — Class R6		69,554		3,088,197

Total International Funds				25,853,695

Fixed Income Funds — 16.8%
BMO High Yield Bond Fund — Institutional Class (1)		53,979		498,765
BMO TCH Core Plus Bond Fund — Institutional Class (1)		446,746		5,092,907
Federated Institutional High-Yield Bond Fund — Class R6		81,686		798,070
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		103,914		998,609
Metropolitan West Total Return Bond Fund — Plan Class		754,057		7,382,215
TCW Emerging Markets Income Fund — Institutional Class		88,261		690,202
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		52,836		1,299,251

Total Fixed Income Funds				16,760,019

Alternative Funds — 5.2%
BMO Alternative Strategies Fund — Institutional Class (1)		526,650		5,166,435

Total Mutual Funds (identified cost $68,757,485)				98,585,477


Description	Shares		Value
Short-Term Investments — 1.0%

Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		996,406	$	996,505

Total Short-Term Investments — 1.0% (identified cost $996,505)				996,505

Total Investments — 99.7% (identified cost $69,753,990)				99,581,982
Other Assets and Liabilities — 0.3%				322,719

Total Net Assets — 100.0%			$	99,904,701

2035 Fund
Description	Shares		Value
Mutual Funds — 98.7%

Large-Cap Funds — 39.8%
BMO Dividend Income Fund — Institutional Class (1)		15,076	$	232,312
BMO Large-Cap Growth Fund — Class R6 (1)		21,490		455,800
BMO Large-Cap Value Fund — Class R6 (1)		54,971		913,620
BMO Low Volatility Equity Fund — Institutional Class (1)		37,365		589,250
Harbor Capital Appreciation Fund — Retirement Class		9,801		800,176
T Rowe Price Growth Stock Fund — Institutional Class		11,012		797,949
Vanguard Equity Income Fund — Admiral Class		4,437		355,332
Vanguard Institutional Index Fund — Institutional Class		7,707		2,044,798

Total Large-Cap Funds				6,189,237

Mid-Cap Funds — 11.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		28,979		547,994
BMO Mid-Cap Value Fund — Class R6 (1)		44,164		556,464
Vanguard Mid-Cap Index Fund — Institutional Class		13,706		621,447

Total Mid-Cap Funds				1,725,905

Small-Cap Funds — 4.6%
BMO Small-Cap Growth Fund — Institutional Class (1)		16,109		362,132
Goldman Sachs Small Cap Value Fund — Institutional Class		5,483		355,853

Total Small-Cap Funds				717,985

International Funds — 28.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		43,636		478,252
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		51,844		828,988
BMO Pyrford International Stock Fund — Class R6 (1)		69,141		912,658
DFA International Small Company Portfolio — Institutional Class		7,544		155,409
Dodge & Cox International Stock Fund — Retail Class		16,693		721,466
Harbor International Fund — Retirement Class		12,336		798,660

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

August 31, 2018



Schedules of Investments

2035 Fund (continued)


Description	Shares		Value
Mutual Funds (continued)

International Funds (continued)
MFS International Value Fund — Class R6		11,591	$	514,637

Total International Funds				4,410,070

Fixed Income Funds — 10.3%
BMO High Yield Bond Fund — Institutional Class (1)		5,019		46,372
BMO TCH Core Plus Bond Fund — Institutional Class (1)		41,960		478,344
Federated Institutional High-Yield Bond Fund — Class R6		6,329		61,830
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		8,042		77,287
Metropolitan West Total Return Bond Fund — Plan Class		78,784		771,299
TCW Emerging Markets Income Fund — Institutional Class		7,817		61,126
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		4,400		108,202

Total Fixed Income Funds				1,604,460

Alternative Funds — 4.6%
BMO Alternative Strategies Fund — Institutional Class (1)		72,332		709,577

Total Mutual Funds (identified cost $12,810,006)				15,357,234

Short-Term Investments — 1.0%

Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		159,374		159,390

Total Short-Term Investments — 1.0% (identified cost $159,362)				159,390

Total Investments — 99.7% (identified cost $12,969,368)				15,516,624
Other Assets and Liabilities — 0.3%				51,130

Total Net Assets — 100.0%			$	15,567,754

2040 Fund
Description	Shares		Value
Mutual Funds — 98.7%

Large-Cap Funds — 41.7%
BMO Dividend Income Fund — Institutional Class (1)		54,570	$	840,928
BMO Large-Cap Growth Fund — Class R6 (1)		88,733		1,882,018
BMO Large-Cap Value Fund — Class R6 (1)		223,848		3,720,345
BMO Low Volatility Equity Fund — Institutional Class (1)		153,042		2,413,476
Harbor Capital Appreciation Fund — Retirement Class		39,957		3,262,083
T Rowe Price Growth Stock Fund — Institutional Class		44,967		3,258,344
Vanguard Equity Income Fund — Admiral Class		17,959		1,438,331
Vanguard Institutional Index Fund — Institutional Class		31,377		8,325,169

Total Large-Cap Funds				25,140,694


Description	Shares		Value
Mutual Funds (continued)

Mid-Cap Funds — 11.6%
BMO Mid-Cap Growth Fund — Class R6 (1)		111,879	$	2,115,628
BMO Mid-Cap Value Fund — Class R6 (1)		171,381		2,159,406
Vanguard Mid-Cap Index Fund — Institutional Class		59,692		2,706,432

Total Mid-Cap Funds				6,981,466

Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund — Institutional Class (1)		65,371		1,469,529
Goldman Sachs Small Cap Value Fund — Institutional Class		22,339		1,449,808

Total Small-Cap Funds				2,919,337

International Funds — 29.5%
BMO Disciplined International Equity Fund — Institutional Class (1)		173,302		1,899,386
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		211,626		3,383,901
BMO Pyrford International Stock Fund — Class R6 (1)		275,587		3,637,748
DFA International Small Company Portfolio — Institutional Class		32,002		659,242
Dodge & Cox International Stock Fund — Retail Class		67,186		2,903,785
Harbor International Fund — Retirement Class		50,437		3,265,278
MFS International Value Fund — Class R6		46,003		2,042,529

Total International Funds				17,791,869

Fixed Income Funds — 6.8%
BMO High Yield Bond Fund — Institutional Class (1)		13,021		120,313
BMO TCH Core Plus Bond Fund — Institutional Class (1)		89,806		1,023,784
Federated Institutional High-Yield Bond Fund — Class R6		24,631		240,642
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		25,066		240,888
Metropolitan West Total Return Bond Fund — Plan Class		208,937		2,045,495
TCW Emerging Markets Income Fund — Institutional Class		22,811		178,385
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		9,804		241,085

Total Fixed Income Funds				4,090,592

Alternative Funds — 4.2%
BMO Alternative Strategies Fund — Institutional Class (1)		256,524		2,516,502

Total Mutual Funds (identified cost $39,341,715)				59,440,460

Short-Term Investments — 1.0%

Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		593,040		593,100

Total Short-Term Investments — 1.0% (identified cost $593,100)				593,100

Total Investments — 99.7% (identified cost $39,934,815)				60,033,560
Other Assets and Liabilities — 0.3%				198,689

Total Net Assets — 100.0%			$	60,232,249

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



		BMO Funds

2045 Fund


Description	Shares		Value
Mutual Funds — 98.6%

Large-Cap Funds — 42.1%
BMO Dividend Income Fund — Institutional Class (1)		10,230	$	157,649
BMO Large-Cap Growth Fund — Class R6 (1)		16,635		352,828
BMO Large-Cap Value Fund — Class R6 (1)		42,642		708,703
BMO Low Volatility Equity Fund — Institutional Class (1)		28,691		452,452
Harbor Capital Appreciation Fund — Retirement Class		7,630		622,898
T Rowe Price Growth Stock Fund — Institutional Class		8,586		622,182
Vanguard Equity Income Fund — Admiral Class		3,367		269,643
Vanguard Institutional Index Fund — Institutional Class		5,925		1,572,055

Total Large-Cap Funds				4,758,410

Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund — Class R6 (1)		21,573		407,953
BMO Mid-Cap Value Fund — Class R6 (1)		32,129		404,827
Vanguard Mid-Cap Index Fund — Institutional Class		11,191		507,377

Total Mid-Cap Funds				1,320,157

Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		12,766		286,966
Goldman Sachs Small Cap Value Fund — Institutional Class		4,362		283,113

Total Small-Cap Funds				570,079

International Funds — 29.8%
BMO Disciplined International Equity Fund — Institutional Class (1)		32,490		356,091
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		41,067		656,658
BMO Pyrford International Stock Fund — Class R6 (1)		52,512		693,158
DFA International Small Company Portfolio — Institutional Class		6,545		134,827
Dodge & Cox International Stock Fund — Retail Class		12,853		555,509
Harbor International Fund — Retirement Class		9,455		612,153
MFS International Value Fund — Class R6		8,117		360,398

Total International Funds				3,368,794

Fixed Income Funds — 6.5%
BMO High Yield Bond Fund — Institutional Class (1)		2,441		22,555
BMO TCH Core Plus Bond Fund — Institutional Class (1)		17,826		203,217
Federated Institutional High-Yield Bond Fund — Class R6		3,463		33,835
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		3,525		33,869
Metropolitan West Total Return Bond Fund — Plan Class		38,017		372,187
TCW Emerging Markets Income Fund — Institutional Class		2,851		22,295


Description	Shares		Value
Mutual Funds (continued)

Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		1,838	$	45,196

Total Fixed Income Funds				733,154

Alternative Funds — 3.5%
BMO Alternative Strategies Fund — Institutional Class (1)		40,075		393,140

Total Mutual Funds (identified cost $9,517,503)				11,143,734

Short-Term Investments — 1.0%

Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		107,215		107,226

Total Short-Term Investments — 1.0% (identified cost $107,219)				107,226

Total Investments — 99.6% (identified cost $9,624,722)				11,250,960
Other Assets and Liabilities — 0.4%				46,212

Total Net Assets — 100.0%			$	11,297,172

2050 Fund
Description	Shares		Value
Mutual Funds — 98.7%

Large-Cap Funds — 42.0%
BMO Dividend Income Fund — Institutional Class (1)		42,228	$	650,742
BMO Large-Cap Growth Fund — Class R6 (1)		68,163		1,445,732
BMO Large-Cap Value Fund — Class R6 (1)		176,194		2,928,340
BMO Low Volatility Equity Fund — Institutional Class (1)		118,124		1,862,809
Harbor Capital Appreciation Fund — Retirement Class		31,291		2,554,600
T Rowe Price Growth Stock Fund — Institutional Class		35,257		2,554,720
Vanguard Equity Income Fund — Admiral Class		13,904		1,113,621
Vanguard Institutional Index Fund — Institutional Class		24,356		6,462,406

Total Large-Cap Funds				19,572,970

Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund — Class R6 (1)		88,960		1,682,233
BMO Mid-Cap Value Fund — Class R6 (1)		133,015		1,675,987
Vanguard Mid-Cap Index Fund — Institutional Class		46,204		2,094,899

Total Mid-Cap Funds				5,453,119

Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		52,066		1,170,437
Goldman Sachs Small Cap Value Fund — Institutional Class		17,952		1,165,092

Total Small-Cap Funds				2,335,529

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

August 31, 2018



Schedules of Investments

2050 Fund (continued)


Description	Shares		Value
Mutual Funds (continued)

International Funds — 30.0%
BMO Disciplined International Equity Fund — Institutional Class (1)		134,248	$	1,471,361
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		171,087		2,735,684
BMO Pyrford International Stock Fund — Class R6 (1)		216,356		2,855,898
DFA International Small Company Portfolio — Institutional Class		26,946		555,087
Dodge & Cox International Stock Fund — Retail Class		53,322		2,304,564
Harbor International Fund — Retirement Class		39,225		2,539,404
MFS International Value Fund — Class R6		33,342		1,480,383

Total International Funds				13,942,381

Fixed Income Funds — 6.5%
BMO High Yield Bond Fund — Institutional Class (1)		10,061		92,963
BMO TCH Core Plus Bond Fund — Institutional Class (1)		73,392		836,669
Federated Institutional High-Yield Bond Fund — Class R6		14,273		139,445
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		14,510		139,445
Metropolitan West Total Return Bond Fund — Plan Class		156,680		1,533,892
TCW Emerging Markets Income Fund — Institutional Class		11,813		92,376
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		7,564		186,002

Total Fixed Income Funds				3,020,792

Alternative Funds — 3.5%
BMO Alternative Strategies Fund — Institutional Class (1)		165,836		1,626,856

Total Mutual Funds (identified cost $31,960,281)				45,951,647

Short-Term Investments — 1.2%

Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		548,379		548,434

Total Short-Term Investments — 1.2% (identified cost $548,434)				548,434

Total Investments — 99.9% (identified cost $32,508,715)				46,500,081
Other Assets and Liabilities — 0.1%				59,479

Total Net Assets — 100.0%			$	46,559,560

2055 Fund
Description	Shares		Value
Mutual Funds — 98.2%

Large-Cap Funds — 42.0%
BMO Dividend Income Fund — Institutional Class (1)		10,168	$	156,686


Description	Shares		Value
Mutual Funds (continued)

Large-Cap Funds (continued)
BMO Large-Cap Growth Fund — Class R6 (1)		16,554	$	351,105
BMO Large-Cap Value Fund — Class R6 (1)		42,379		704,332
BMO Low Volatility Equity Fund — Institutional Class (1)		28,515		449,686
Harbor Capital Appreciation Fund — Retirement Class		7,588		619,519
T Rowe Price Growth Stock Fund — Institutional Class		8,531		618,127
Vanguard Equity Income Fund — Admiral Class		3,339		267,422
Vanguard Institutional Index Fund — Institutional Class		5,886		1,561,819

Total Large-Cap Funds				4,728,696

Mid-Cap Funds — 11.6%
BMO Mid-Cap Growth Fund — Class R6 (1)		21,462		405,851
BMO Mid-Cap Value Fund — Class R6 (1)		31,962		402,728
Vanguard Mid-Cap Index Fund — Institutional Class		11,125		504,394

Total Mid-Cap Funds				1,312,973

Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		12,662		284,652
Goldman Sachs Small Cap Value Fund — Institutional Class		4,332		281,126

Total Small-Cap Funds				565,778

International Funds — 29.6%
BMO Disciplined International Equity Fund — Institutional Class (1)		32,265		353,625
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		40,584		648,940
BMO Pyrford International Stock Fund — Class R6 (1)		52,194		688,964
DFA International Small Company Portfolio — Institutional Class		6,494		133,780
Dodge & Cox International Stock Fund — Retail Class		12,724		549,930
Harbor International Fund — Retirement Class		9,367		606,384
MFS International Value Fund — Class R6		8,075		358,516

Total International Funds				3,340,139

Fixed Income Funds — 6.5%
BMO High Yield Bond Fund — Institutional Class (1)		2,427		22,427
BMO TCH Core Plus Bond Fund — Institutional Class (1)		17,690		201,673
Federated Institutional High-Yield Bond Fund — Class R6		3,440		33,607
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		3,501		33,641
Metropolitan West Total Return Bond Fund — Plan Class		37,761		369,684
TCW Emerging Markets Income Fund — Institutional Class		2,832		22,144
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		1,825		44,873

Total Fixed Income Funds				728,049

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



		BMO Funds

2055 Fund (continued)


Description	Shares		Value
Mutual Funds (continued)

Alternative Funds — 3.5%
BMO Alternative Strategies Fund — Institutional Class (1)		39,805	$	390,483

Total Mutual Funds (identified cost $9,456,359)				11,066,118

Short-Term Investments — 1.0%

Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		113,971		113,983

Total Short-Term Investments — 1.0% (identified cost $113,971)				113,983

Total Investments — 99.2% (identified cost $9,570,330)				11,180,101
Other Assets and Liabilities — 0.8%				85,943

Total Net Assets — 100.0%			$	11,266,044

Conservative Allocation Fund
Description	Shares		Value
Mutual Funds — 98.5%

Large-Cap Funds — 12.9%
BMO Dividend Income Fund — Institutional Class (1)		17,680	$	272,453
BMO Large-Cap Growth Fund — Class R6 (1)		35,793		759,172
BMO Large-Cap Value Fund — Class R6 (1)		56,530		939,524
BMO Low Volatility Equity Fund — Institutional Class (1)		31,856		502,366
Dodge & Cox Stock Fund — Retail Class		1,614		346,395
Harbor Capital Appreciation Fund — Retirement Class		4,279		349,316
T Rowe Price Growth Stock Fund — Institutional Class		3,879		281,080
Vanguard Institutional Index Fund — Institutional Class		5,253		1,393,865

Total Large-Cap Funds				4,844,171

Mid-Cap Funds — 1.9%
BMO Mid-Cap Growth Fund — Class R6 (1)		9,940		187,974
BMO Mid-Cap Value Fund — Class R6 (1)		14,804		186,532
Vanguard Mid-Cap Index Fund — Institutional Class		7,255		328,931

Total Mid-Cap Funds				703,437

Small-Cap Funds — 1.5%
BMO Small-Cap Growth Fund — Institutional Class (1)		12,160		273,366
BMO Small-Cap Value Fund — Class R6 (1)		11,863		179,494
Goldman Sachs Small Cap Value Fund — Institutional Class		1,445		93,746

Total Small-Cap Funds				546,606

International Funds — 7.1%
BMO Disciplined International Equity Fund — Institutional Class (1)		39,681		434,906
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		23,171		370,501


Description	Shares		Value
Mutual Funds (continued)

International Funds (continued)
BMO Pyrford International Stock Fund — Class R6 (1)		35,093	$	463,225
Dodge & Cox International Stock Fund — Retail Class		8,233		355,809
Harbor International Fund — Retirement Class		5,509		356,665
MFS International Value Fund — Class R6		9,425		418,456
T Rowe Price International Discovery Fund — Institutional Class		3,875		278,793

Total International Funds				2,678,355

Fixed Income Funds — 64.7%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		808,200		9,213,483
Metropolitan West Total Return Bond Fund — Plan Class (2)		1,026,460		10,049,043
TCW Emerging Markets Income Fund — Institutional Class		116,622		911,982
Vanguard Total Bond Market Index Fund — Institutional Class		392,541		4,098,129

Total Fixed Income Funds				24,272,637

Alternative Funds — 10.4%
BMO Alternative Strategies Fund — Institutional Class (1)		397,459		3,899,071

Total Mutual Funds (identified cost $31,917,588)				36,944,277

Short-Term Investments — 0.9%

Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		355,526		355,561

Total Short-Term Investments — 0.9% (identified cost $355,539)				355,561

Total Investments — 99.4% (identified cost $32,273,127)				37,299,838
Other Assets and Liabilities — 0.6%				215,150

Total Net Assets — 100.0%			$	37,514,988

Moderate Allocation Fund
Description	Shares		Value
Mutual Funds — 98.7%

Large-Cap Funds — 24.1%
BMO Dividend Income Fund — Institutional Class (1)		71,777	$	1,106,088
BMO Large-Cap Growth Fund — Class R6 (1)		146,146		3,099,756
BMO Large-Cap Value Fund — Class R6 (1)		229,195		3,809,217
BMO Low Volatility Equity Fund — Institutional Class (1)		128,852		2,032,002
Dodge & Cox Stock Fund — Retail Class		6,546		1,404,894
Harbor Capital Appreciation Fund — Retirement Class		17,851		1,457,347
T Rowe Price Growth Stock Fund — Institutional Class		15,862		1,149,336

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

August 31, 2018



Schedules of Investments

Moderate Allocation Fund (continued)


Description	Shares		Value
Mutual Funds (continued)

Large-Cap Funds (continued)
Vanguard Institutional Index Fund — Institutional Class		21,434	$	5,687,027

Total Large-Cap Funds				19,745,667

Mid-Cap Funds — 3.5%
BMO Mid-Cap Growth Fund — Class R6 (1)		41,318		781,319
BMO Mid-Cap Value Fund — Class R6 (1)		60,330		760,158
Vanguard Mid-Cap Index Fund — Institutional Class		29,455		1,335,503

Total Mid-Cap Funds				2,876,980

Small-Cap Funds — 2.8%
BMO Small-Cap Growth Fund — Institutional Class (1)		50,112		1,126,518
BMO Small-Cap Value Fund — Class R6 (1)		48,745		737,511
Goldman Sachs Small Cap Value Fund — Institutional Class		5,956		386,562

Total Small-Cap Funds				2,250,591

International Funds — 13.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		161,790		1,773,218
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		95,669		1,529,751
BMO Pyrford International Stock Fund — Class R6 (1)		143,333		1,891,995
Dodge & Cox International Stock Fund — Retail Class		34,010		1,469,911
Harbor International Fund — Retirement Class		22,550		1,459,893
MFS International Value Fund — Class R6		38,843		1,724,630
T Rowe Price International Discovery Fund — Institutional Class		15,947		1,147,217

Total International Funds				10,996,615

Fixed Income Funds — 46.6%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		1,271,752		14,497,972
Metropolitan West Total Return Bond Fund — Plan Class		1,616,093		15,821,547
TCW Emerging Markets Income Fund — Institutional Class		184,781		1,444,987
Vanguard Total Bond Market Index Fund — Institutional Class		618,429		6,456,402

Total Fixed Income Funds				38,220,908

Alternative Funds — 8.3%
BMO Alternative Strategies Fund — Institutional Class (1)		692,170		6,790,183

Total Mutual Funds (identified cost $65,121,297)				80,880,944


Description	Shares		Value
Short-Term Investments — 0.9%

Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		775,811	$	775,889

Total Short-Term Investments — 0.9% (identified cost $775,778)				775,889

Total Investments — 99.6% (identified cost $65,897,075)				81,656,833
Other Assets and Liabilities — 0.4%				307,543

Total Net Assets — 100.0%			$	81,964,376

Balanced Allocation Fund
Description	Shares		Value
Mutual Funds — 98.9%

Large-Cap Funds — 34.9%
BMO Dividend Income Fund — Institutional Class (1)		437,270	$	6,738,334
BMO Large-Cap Growth Fund — Class R6 (1)		892,738		18,934,980
BMO Large-Cap Value Fund — Class R6 (1)		1,403,597		23,327,787
BMO Low Volatility Equity Fund — Institutional Class (1)		789,723		12,453,938
Dodge & Cox Stock Fund — Retail Class		40,102		8,606,274
Harbor Capital Appreciation Fund — Retirement Class		108,198		8,833,245
T Rowe Price Growth Stock Fund — Institutional Class		96,725		7,008,677
Vanguard Institutional Index Fund — Institutional Class		130,947		34,744,009

Total Large-Cap Funds				120,647,244

Mid-Cap Funds — 5.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		250,673		4,740,219
BMO Mid-Cap Value Fund — Class R6 (1)		369,300		4,653,183
Vanguard Mid-Cap Index Fund — Institutional Class		180,205		8,170,502

Total Mid-Cap Funds				17,563,904

Small-Cap Funds — 3.9%
BMO Small-Cap Growth Fund — Institutional Class (1)		302,428		6,798,574
BMO Small-Cap Value Fund — Class R6 (1)		295,566		4,471,911
Goldman Sachs Small Cap Value Fund — Institutional Class		36,121		2,344,271

Total Small-Cap Funds				13,614,756

International Funds — 19.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		992,529		10,878,121
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		576,427		9,217,067
BMO Pyrford International Stock Fund — Class R6 (1)		876,596		11,571,062
Dodge & Cox International Stock Fund — Retail Class		206,524		8,925,976
Harbor International Fund — Retirement Class		137,555		8,905,313

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



		BMO Funds

Balanced Allocation Fund (continued)


Description	Shares		Value
Mutual Funds (continued)

International Funds (continued)
MFS International Value Fund — Class R6		235,853	$	10,471,868
T Rowe Price International Discovery Fund — Institutional Class		96,791		6,963,187

Total International Funds				66,932,594

Fixed Income Funds — 28.7%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		3,303,951		37,665,037
Metropolitan West Total Return Bond Fund — Plan Class		4,199,531		41,113,407
TCW Emerging Markets Income Fund — Institutional Class		477,424		3,733,460
Vanguard Total Bond Market Index Fund — Institutional Class		1,606,712		16,774,070

Total Fixed Income Funds				99,285,974

Alternative Funds — 6.9%
BMO Alternative Strategies Fund — Institutional Class (1)		2,442,258		23,958,550

Total Mutual Funds (identified cost $248,230,046)				342,003,022

Short-Term Investments — 0.9%

Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		3,049,426		3,049,731

Total Short-Term Investments — 0.9% (identified cost $3,049,189)				3,049,731

Total Investments — 99.8% (identified cost $251,279,235)				345,052,753
Other Assets and Liabilities — 0.2%				660,441

Total Net Assets — 100.0%			$	345,713,194

Growth Allocation Fund
Description	Shares		Value
Mutual Funds — 99.3%

Large-Cap Funds — 45.9%
BMO Dividend Income Fund — Institutional Class (1)		205,894	$	3,172,832
BMO Large-Cap Growth Fund — Class R6 (1)		415,507		8,812,911
BMO Large-Cap Value Fund — Class R6 (1)		657,143		10,921,715
BMO Low Volatility Equity Fund — Institutional Class (1)		371,298		5,855,374
Dodge & Cox Stock Fund — Retail Class		18,723		4,018,044
Harbor Capital Appreciation Fund — Retirement Class		49,848		4,069,548
T Rowe Price Growth Stock Fund — Institutional Class		44,842		3,249,258
Vanguard Institutional Index Fund — Institutional Class		61,075		16,205,124

Total Large-Cap Funds				56,304,806


Description	Shares		Value
Mutual Funds (continued)

Mid-Cap Funds — 6.7%
BMO Mid-Cap Growth Fund — Class R6 (1)		116,495	$	2,202,922
BMO Mid-Cap Value Fund — Class R6 (1)		173,494		2,186,018
Vanguard Mid-Cap Index Fund — Institutional Class		84,191		3,817,230

Total Mid-Cap Funds				8,206,170

Small-Cap Funds — 5.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		141,643		3,184,146
BMO Small-Cap Value Fund — Class R6 (1)		139,350		2,108,363
Goldman Sachs Small Cap Value Fund — Institutional Class		17,151		1,113,077

Total Small-Cap Funds				6,405,586

International Funds — 25.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		461,272		5,055,538
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		271,374		4,339,273
BMO Pyrford International Stock Fund — Class R6 (1)		407,915		5,384,484
Dodge & Cox International Stock Fund — Retail Class		96,294		4,161,809
Harbor International Fund — Retirement Class		64,399		4,169,228
MFS International Value Fund — Class R6		109,425		4,858,464
T Rowe Price International Discovery Fund — Institutional Class		44,791		3,222,236

Total International Funds				31,191,032

Fixed Income Funds — 10.5%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		426,133		4,857,916
Metropolitan West Total Return Bond Fund — Plan Class		541,010		5,296,493
TCW Emerging Markets Income Fund — Institutional Class		62,273		486,973
Vanguard Total Bond Market Index Fund — Institutional Class		207,858		2,170,033

Total Fixed Income Funds				12,811,415

Alternative Funds — 5.6%
BMO Alternative Strategies Fund — Institutional Class (1)		700,269		6,869,639

Total Mutual Funds (identified cost $80,918,640)				121,788,648

Short-Term Investments — 1.0%

Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		1,153,712		1,153,827

Total Short-Term Investments — 1.0% (identified cost $1,153,827)				1,153,827

Total Investments — 100.3% (identified cost $82,072,467)				122,942,475
Other Assets and Liabilities — (0.3)%				(323,143	)

Total Net Assets — 100.0%			$	122,619,332

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

August 31, 2018



Schedules of Investments

Aggressive Allocation Fund


Description	Shares		Value
Mutual Funds — 99.0%

Large-Cap Funds — 54.3%
BMO Dividend Income Fund — Institutional Class (1)		355,952	$	5,485,222
BMO Large-Cap Growth Fund — Class R6 (1)		720,785		15,287,855
BMO Large-Cap Value Fund — Class R6 (1)		1,134,991		18,863,548
BMO Low Volatility Equity Fund — Institutional Class (1)		643,792		10,152,602
Dodge & Cox Stock Fund — Retail Class		32,449		6,963,899
Harbor Capital Appreciation Fund — Retirement Class		86,685		7,076,905
T Rowe Price Growth Stock Fund — Institutional Class		78,009		5,652,544
Vanguard Institutional Index Fund — Institutional Class		105,952		28,112,282

Total Large-Cap Funds				97,594,857

Mid-Cap Funds — 7.9%
BMO Mid-Cap Growth Fund — Class R6 (1)		202,134		3,822,358
BMO Mid-Cap Value Fund — Class R6 (1)		301,036		3,793,047
Vanguard Mid-Cap Index Fund — Institutional Class		145,792		6,610,206

Total Mid-Cap Funds				14,225,611

Small-Cap Funds — 6.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		245,790		5,525,370
BMO Small-Cap Value Fund — Class R6 (1)		241,766		3,657,921
Goldman Sachs Small Cap Value Fund — Institutional Class		29,513		1,915,364

Total Small-Cap Funds				11,098,655


Description	Shares		Value
Mutual Funds (continued)

International Funds — 30.1%
BMO Disciplined International Equity Fund — Institutional Class (1)		810,221	$	8,880,022
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		468,718		7,494,805
BMO Pyrford International Stock Fund — Class R6 (1)		708,871		9,357,100
Dodge & Cox International Stock Fund — Retail Class		166,450		7,193,973
Harbor International Fund — Retirement Class		111,389		7,211,334
MFS International Value Fund — Class R6		190,171		8,443,583
T Rowe Price International Discovery Fund — Institutional Class		77,934		5,606,558

Total International Funds				54,187,375

Alternative Funds — 0.5%
BMO Alternative Strategies Fund — Institutional Class (1)		91,376		896,397

Total Mutual Funds (identified cost $105,401,920)				178,002,895

Short-Term Investments — 0.9%

Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.987% (1)		1,600,770		1,600,930

Total Short-Term Investments — 0.9% (identified cost $1,600,800)				1,600,930

Total Investments — 99.9% (identified cost $107,002,720)				179,603,825
Other Assets and Liabilities — 0.1%				125,651

Total Net Assets — 100.0%			$	179,729,476



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, 2018.

(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)	Holding is greater than 25% of portfolio value. Additional information regarding the underlying Fund’s holdings and financial statements may be found at https://www.sec.gov.

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

August 31, 2018



Statements of Assets and Liabilities		BMO Funds



	In-Retirement Fund		2015 Fund		2020 Fund		2025 Fund			2030 Fund
Assets:
Investments in unaffiliated issuers, at value	$	7,583,220	$	1,504,456	$	39,903,977	$	14,271,438		$	53,199,458
Cash sweep investments in affiliated issuers, at value		139,450		25,136		633,912		284,649			996,505
Investments in other affiliated issuers, at value		6,137,062		1,284,472		36,371,069		11,947,054			45,386,019
Dividends and interest receivable		20,977		3,713		66,012		16,985			44,568
Receivable for investments sold		—		—		340,160		—			—
Receivable for capital stock sold		2,577		2,178		85,414		32,638			261,234
Receivable from affiliates, net (Note 5)		7,305		6,462		7,329		8,204			4,028
Prepaid expenses and other receivables		34,952		17,745		35,476		17,849			35,521

Total assets		13,925,543		2,844,162		77,443,349		26,578,817			99,927,333

Liabilities:
Payable for investments purchased		—		—		202,742		—			—
Payable for capital stock redeemed		1,416		916		—		—			—
Other liabilities		20,462		19,228		22,673		19,872			22,632

Total liabilities		21,878		20,144		225,415		19,872			22,632

Total net assets	$	13,903,665	$	2,824,018	$	77,217,934	$	26,558,945		$	99,904,701


Net assets consist of:
Paid-in capital	$	11,490,987	$	2,522,615	$	54,312,772	$	23,219,095		$	67,284,754
Net unrealized appreciation on investments		2,017,431		236,883		19,441,488		3,210,764			29,827,992
Accumulated net realized gain (loss) on investments		202,272		27,921		2,754,216		(66,952	)		2,188,655
Undistributed net investment income		192,975		36,599		709,458		196,038			603,300

Total net assets	$	13,903,665	$	2,824,018	$	77,217,934	$	26,558,945		$	99,904,701


Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	8.97	$	11.64	$	10.56	$	12.28		$	12.08
Retirement class R-3 of shares		9.01		11.57		10.59		12.41			12.09
Retirement class R-6 of shares		8.97		11.66		10.58		12.36			12.09

Net assets:
Investor class of shares	$	2,647,906	$	322,673	$	18,001,932	$	1,184,571		$	20,713,217
Retirement class R-3 of shares		766,091		116,935		4,532,943		108,708			3,844,396
Retirement class R-6 of shares		10,489,668		2,384,410		54,683,059		25,265,666			75,347,088

Total net assets	$	13,903,665	$	2,824,018	$	77,217,934	$	26,558,945		$	99,904,701


Shares outstanding:
Investor class of shares		295,041		27,718		1,704,057		96,478			1,714,692
Retirement class R-3 of shares		85,069		10,108		428,133		8,760			317,939
Retirement class R-6 of shares		1,168,794		204,420		5,167,045		2,044,870			6,230,187

Total shares outstanding		1,548,904		242,246		7,299,235		2,150,108			8,262,818


Investments, at cost:
Investments in unaffiliated issuers	$	6,239,570	$	1,363,343	$	26,504,463	$	12,186,450		$	31,427,707
Cash sweep investments in affiliated issuers		139,438		25,134		633,912		284,622			996,505
Investments in other affiliated issuers		5,463,293		1,188,704		30,329,095		10,821,305			37,329,778

Total investments, at cost	$	11,842,301	$	2,577,181	$	57,467,470	$	23,292,377		$	69,753,990

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

August 31, 2018



Statements of Assets and Liabilities		BMO Funds



	2035 Fund			2040 Fund		2045 Fund			2050 Fund		2055 Fund
Assets:
Investments in unaffiliated issuers, at value	$	8,245,471		$	32,257,496	$	6,047,537		$	24,915,936	$	6,004,966
Cash sweep investments in affiliated issuers, at value		159,390			593,100		107,226			548,434		113,983
Investments in other affiliated issuers, at value		7,111,763			27,182,964		5,096,197			21,035,711		5,061,152
Dividends and interest receivable		4,363			11,775		2,088			8,519		2,047
Receivable for investments sold		—			—		—			56,979		—
Receivable for capital stock sold		41,671			168,025		38,373			115,282		77,321
Receivable from affiliates, net (Note 5)		7,125			5,284		9,089			5,425		10,101
Prepaid expenses and other receivables		17,850			35,476		17,663			35,475		17,745

Total assets		15,587,633			60,254,120		11,318,173			46,721,761		11,287,315

Liabilities:
Payable for investments purchased		—			—		—			140,624		—
Payable for capital stock redeemed		—			113		—			—		—
Other liabilities		19,879			21,758		21,001			21,577		21,271

Total liabilities		19,879			21,871		21,001			162,201		21,271

Total net assets	$	15,567,754		$	60,232,249	$	11,297,172		$	46,559,560	$	11,266,044


Net assets consist of:
Paid-in capital	$	12,985,917		$	38,508,846	$	9,709,458		$	31,832,166	$	9,650,959
Net unrealized appreciation on investments		2,547,256			20,098,745		1,626,238			13,991,366		1,609,771
Accumulated net realized gain (loss) on investments		(35,680	)		1,407,190		(81,288	)		597,122		(34,267	)
Undistributed net investment income		70,261			217,468		42,764			138,906		39,581

Total net assets	$	15,567,754		$	60,232,249	$	11,297,172		$	46,559,560	$	11,266,044


Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	12.16		$	11.74	$	12.54		$	12.81	$	12.93
Retirement class R-3 of shares		12.24			11.78		12.65			12.80		12.80
Retirement class R-6 of shares		12.24			11.75		12.62			12.82		12.97

Net assets:
Investor class of shares	$	921,090		$	12,172,544	$	913,958		$	10,017,022	$	393,887
Retirement class R-3 of shares		122,549			2,060,793		73,889			1,978,439		116,662
Retirement class R-6 of shares		14,524,115			45,998,912		10,309,325			34,564,099		10,755,495

Total net assets	$	15,567,754		$	60,232,249	$	11,297,172		$	46,559,560	$	11,266,044


Shares outstanding:
Investor class of shares		75,735			1,036,932		72,879			781,996		30,452
Retirement class R-3 of shares		10,014			174,986		5,839			154,615		9,116
Retirement class R-6 of shares		1,187,019			3,914,030		817,176			2,696,029		829,423

Total shares outstanding		1,272,768			5,125,948		895,894			3,632,640		868,991


Investments, at cost:
Investments in unaffiliated issuers	$	6,685,223		$	17,648,692	$	5,029,571		$	14,790,821	$	4,995,278
Cash sweep investments in affiliated issuers		159,362			593,100		107,219			548,434		113,971
Investments in other affiliated issuers		6,124,783			21,693,023		4,487,932			17,169,460		4,461,081

Total investments, at cost	$	12,969,368		$	39,934,815	$	9,624,722		$	32,508,715	$	9,570,330

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

August 31, 2018



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	$	19,262,210	$	40,945,256	$	166,594,259	$	56,837,517	$	84,786,648
Cash sweep investments in affiliated issuers, at value		355,561		775,889		3,049,731		1,153,827		1,600,930
Investments in other affiliated issuers, at value		17,682,067		39,935,688		175,408,763		64,951,131		93,216,247
Dividends and interest receivable		61,619		98,318		256,783		33,829		2,694
Receivable for capital stock sold		129,228		188,571		600,057		262,976		137,647
Receivable from affiliates, net (Note 5)		16,911		21,539		3,647		17,907		15,090
Prepaid expenses and other receivables		31,361		31,793		31,610		31,713		31,712

Total assets		37,538,957		81,997,054		345,944,850		123,288,900		179,790,968

Liabilities:
Payable for capital stock redeemed		1,085		8,144		198,698		644,460		33,587
Other liabilities		22,884		24,534		32,958		25,108		27,905

Total liabilities		23,969		32,678		231,656		669,568		61,492

Total net assets	$	37,514,988	$	81,964,376	$	345,713,194	$	122,619,332	$	179,729,476


Net assets consist of:
Paid-in capital	$	27,742,646	$	59,752,773	$	229,889,685	$	73,316,186	$	92,857,031
Net unrealized appreciation on investments		5,026,711		15,759,758		93,773,518		40,870,008		72,601,105
Accumulated net realized gain on investments		4,202,434		5,377,390		19,204,076		7,745,245		13,543,636
Undistributed net investment income		543,197		1,074,455		2,845,915		687,893		727,704

Total net assets	$	37,514,988	$	81,964,376	$	345,713,194	$	122,619,332	$	179,729,476


Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	8.67	$	9.92	$	9.41	$	10.58	$	10.01
Institutional class of shares		8.97		9.94		9.42		10.59		10.01
Retirement class R-3 of shares		8.84		9.91		9.41		10.58		9.99
Retirement class R-6 of shares		8.68		9.92		9.42		10.59		10.02

Net assets:
Investor class of shares	$	13,395,367	$	7,125,849	$	98,452,944	$	13,886,922	$	34,897,780
Institutional class of shares		1,415,657		5,888,467		47,596,580		11,440,675		15,878,433
Retirement class R-3 of shares		956,269		8,095,342		19,212,853		15,106,808		16,950,417
Retirement class R-6 of shares		21,747,695		60,854,718		180,450,817		82,184,927		112,002,846

Total net assets	$	37,514,988	$	81,964,376	$	345,713,194	$	122,619,332	$	179,729,476


Shares outstanding:
Investor class of shares		1,544,465		718,034		10,464,456		1,311,947		3,484,597
Institutional class of shares		157,874		592,687		5,052,087		1,080,576		1,585,606
Retirement class R-3 of shares		108,186		816,714		2,041,917		1,428,156		1,696,674
Retirement class R-6 of shares		2,505,958		6,131,621		19,152,323		7,758,730		11,181,251

Total shares outstanding		4,316,483		8,259,056		36,710,783		11,579,409		17,948,128


Investments, at cost:
Investments in unaffiliated issuers	$	16,969,441	$	31,921,684	$	109,811,883	$	30,504,627	$	38,662,258
Cash sweep investments in affiliated issuers		355,539		775,778		3,049,189		1,153,827		1,600,800
Investments in other affiliated issuers		14,948,147		33,199,613		138,418,163		50,414,013		66,739,662

Total investments, at cost	$	32,273,127	$	65,897,075	$	251,279,235	$	82,072,467	$	107,002,720

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

August 31, 2018



Statements of Operations		BMO Funds



	In-Retirement Fund			2015 Fund			2020 Fund			2025 Fund			2030 Fund
Investment Income:
Dividend income from:
Unaffiliated issuers	$	196,092		$	44,186		$	893,992		$	238,037		$	908,151
Affiliated issuers		159,718			37,079			672,990			162,853			632,097
Excess expense reimbursement from investment adviser (Note 5)		7,574			2,136			40,320			15,851			21,811

Total income:		363,384			83,401			1,607,302			416,741			1,562,059

Expenses:
Shareholder servicing fees (Note 5)		7,794			846			43,538			2,628			46,564
Administration fees (Note 5)		5,783			682			34,853			1,750			36,759
Portfolio accounting fees		29,592			25,445			44,253			29,833			46,965
Recordkeeping fees		32,775			35,659			33,728			35,325			33,248
Custodian fees (Note 5)		709			169			3,899			1,138			4,688
Registration fees		41,186			42,892			40,823			43,238			41,261
Professional fees		14,514			14,514			14,514			14,514			14,514
Printing and postage		3,783			3,482			4,712			3,575			4,420
Directors’ fees		15,349			15,349			15,349			15,349			15,349
Distribution services fees (Note 5)		3,687			579			29,101			576			29,402
Miscellaneous		3,184			2,722			4,798			3,150			5,109

Total expenses:		158,356			142,339			269,568			151,076			278,279

Deduct:
Expense waivers (Note 5)		(143,768	)		(140,547	)		(178,319	)		(146,938	)		(172,860	)

Net expenses		14,588			1,792			91,249			4,138			105,419

Net investment income		348,796			81,609			1,516,053			412,603			1,456,640

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		246,899			72,038			1,933,257			54,905			983,837
Investments in affiliated issuers		78,230			35,933			546,890			(19,106	)		157,487
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		72,590			24,609			772,509			297,543			1,450,545
Investments in affiliated issuers		169,404			48,057			1,229,075			345,242			1,629,512

Total net realized gain		567,123			180,637			4,481,731			678,584			4,221,381
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(176,044	)		(35,412	)		(157,102	)		621,049			2,285,568
Investments in affiliated issuers		(154,473	)		(43,113	)		121,221			327,758			1,451,079

Total net change in unrealized appreciation (depreciation)		(330,517	)		(78,525	)		(35,881	)		948,807			3,736,647

Net realized and unrealized gain on investments		236,606			102,112			4,445,850			1,627,391			7,958,028

Change in net assets resulting from operations	$	585,402		$	183,721		$	5,961,903		$	2,039,994		$	9,414,668

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

August 31, 2018



Statements of Operations		BMO Funds



	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Investment Income:
Dividend income from:
Unaffiliated issuers	$	113,819		$	468,984		$	67,986		$	346,988		$	70,747
Affiliated issuers		83,109			320,252			48,173			240,794			49,148
Excess expense reimbursement from investment adviser (Note 5)		3,730			17,360			3,065			12,600			3,359

Total income:		200,658			806,596			119,224			600,382			123,254

Expenses:
Shareholder servicing fees (Note 5)		1,937			27,212			2,160			21,041			1,021
Administration fees (Note 5)		1,326			20,285			1,382			17,071			854
Portfolio accounting fees		28,151			37,430			28,990			34,913			29,572
Recordkeeping fees		35,301			35,927			35,736			35,844			35,734
Custodian fees (Note 5)		645			2,741			408			2,063			425
Registration fees		43,238			40,805			42,974			40,805			42,892
Professional fees		14,514			14,514			14,514			14,514			14,513
Printing and postage		3,587			4,331			3,830			4,417			3,715
Directors’ fees		15,349			15,349			15,349			15,349			15,349
Distribution services fees (Note 5)		544			13,191			288			14,820			806
Miscellaneous		3,020			4,102			2,823			3,745			2,791

Total expenses:		147,612			215,887			148,454			204,582			147,672

Deduct:
Expense waivers (Note 5)		(144,064	)		(160,589	)		(144,988	)		(156,187	)		(145,219	)

Net expenses		3,548			55,298			3,466			48,395			2,453

Net investment income		197,110			751,298			115,758			551,987			120,801

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		102,491			582,499			34,786			394,385			(8,101	)
Investments in affiliated issuers		36,835			185,627			9,819			142,810			(10,008	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		219,855			959,233			138,702			723,398			145,631
Investments in affiliated issuers		230,973			947,102			135,828			690,577			138,698

Total net realized gain		590,154			2,674,461			319,135			1,951,170			266,220
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		413,964			1,753,264			319,071			1,388,835			370,477
Investments in affiliated issuers		247,640			1,091,940			196,599			882,607			221,980

Total net change in unrealized appreciation		661,604			2,845,204			515,670			2,271,442			592,457

Net realized and unrealized gain on investments		1,251,758			5,519,665			834,805			4,222,612			858,677

Change in net assets resulting from operations	$	1,448,868		$	6,270,963		$	950,563		$	4,774,599		$	979,478

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

August 31, 2018



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	$	578,554		$	1,093,026		$	3,357,915		$	1,027,401		$	1,325,177
Affiliated issuers		482,144			932,894			2,876,029			896,866			1,168,809
Excess expense reimbursement from investment adviser (Note 5)		18,019			73,293			133,580			85,908			77,058

Total income:		1,078,717			2,099,213			6,367,524			2,010,175			2,571,044

Expenses:
Shareholder servicing fees (Note 5)		35,900			19,534			249,949			40,181			94,738
Administration fees (Note 5)		35,350			41,917			251,481			64,684			104,333
Portfolio accounting fees		43,533			54,850			107,699			60,438			70,307
Recordkeeping fees		38,538			39,239			41,591			39,467			41,364
Custodian fees (Note 5)		2,374			4,892			17,337			6,184			8,586
Registration fees		59,525			59,679			60,493			59,674			59,677
Professional fees		14,514			14,514			14,514			14,514			14,513
Printing and postage		11,207			12,307			13,463			10,960			15,225
Directors’ fees		15,348			15,348			15,349			15,348			15,348
Distribution services fees (Note 5)		6,841			67,920			101,511			91,265			85,894
Miscellaneous		6,814			7,069			14,024			7,241			8,302

Total expenses:		269,944			337,269			887,411			409,956			518,287

Deduct:
Expense waivers (Note 5)		(208,216	)		(235,607	)		(401,493	)		(256,755	)		(281,981	)

Net expenses		61,728			101,662			485,918			153,201			236,306

Net investment income		1,016,989			1,997,551			5,881,606			1,856,974			2,334,738

Realized and unrealized gain on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		2,125,439			3,281,368			11,967,546			4,447,091			7,238,029
Investments in affiliated issuers		1,990,261			1,261,677			3,720,197			1,199,946			2,100,078
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		126,869			586,454			2,950,570			1,442,641			2,338,910
Investments in affiliated issuers		541,727			1,643,971			7,081,601			3,087,174			4,460,586

Total net realized gain		4,784,296			6,773,470			25,719,914			10,176,852			16,137,603
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,294,639	)		(2,564,529	)		(4,130,632	)		(47,470	)		907,459
Investments in affiliated issuers		(2,285,375	)		(1,202,296	)		1,285,813			1,936,336			4,786,473

Total net change in unrealized appreciation (depreciation)		(4,580,014	)		(3,766,825	)		(2,844,819	)		1,888,866			5,693,932

Net realized and unrealized gain on investments		204,282			3,006,645			22,875,095			12,065,718			21,831,535

Change in net assets resulting from operations	$	1,221,271		$	5,004,196		$	28,756,701		$	13,922,692		$	24,166,273

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



Statements of Changes in Net Assets		BMO Funds



	In-Retirement Fund						2015 Fund						2020 Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income	$	348,796		$	342,529		$	81,609		$	78,725		$	1,516,053		$	1,420,235
Net realized gain on investments		567,123			1,042,764			180,637			45,513			4,481,731			4,372,487
Net change in unrealized appreciation (depreciation) on investments		(330,517	)		(309,281	)		(78,525	)		219,677			(35,881	)		2,671,547

Change in net assets resulting from operations		585,402			1,076,012			183,721			343,915			5,961,903			8,464,269

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(68,163	)		(72,794	)		(5,300	)		(9,699	)		(320,460	)		(297,735	)
Retirement class R-3 of shares		(13,242	)		(21,844	)		(2,159	)		(2,517	)		(94,130	)		(163,083	)
Retirement class R-6 of shares		(273,528	)		(403,463	)		(83,495	)		(92,325	)		(1,295,271	)		(1,330,828	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(193,387	)		(156,448	)		(472	)		—			(818,613	)		(782,933	)
Retirement class R-3 of shares		(44,555	)		(56,331	)		(175	)		—			(303,004	)		(498,648	)
Retirement class R-6 of shares		(650,050	)		(725,970	)		(4,971	)		—			(2,707,665	)		(2,797,230	)

Change in net assets resulting from distributions to shareholders		(1,242,925	)		(1,436,850	)		(96,572	)		(104,541	)		(5,539,143	)		(5,870,457	)

Capital stock transactions:
Proceeds from sale of shares		3,053,583			3,042,445			400,743			2,210,195			13,439,436			12,088,658
Net asset value of shares issued to shareholders in payment of distributions declared		1,242,925			1,436,850			92,093			100,435			5,539,143			5,870,457
Cost of shares redeemed		(4,715,123	)		(10,733,974	)		(1,670,660	)		(3,204,289	)		(22,830,789	)		(33,161,526	)

Change in net assets resulting from capital stock transactions		(418,615	)		(6,254,679	)		(1,177,824	)		(893,659	)		(3,852,210	)		(15,202,411	)

Change in net assets		(1,076,138	)		(6,615,517	)		(1,090,675	)		(654,285	)		(3,429,450	)		(12,608,599	)

Net assets:
Beginning of period		14,979,803			21,595,320			3,914,693			4,568,978			80,647,384			93,255,983

End of period	$	13,903,665		$	14,979,803		$	2,824,018		$	3,914,693		$	77,217,934		$	80,647,384

Undistributed net investment income included in net assets at end of period	$	192,975		$	168,906		$	36,599		$	37,094		$	709,458		$	637,700

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



Statements of Changes in Net Assets		BMO Funds



	2025 Fund						2030 Fund						2035 Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income	$	412,603		$	464,642		$	1,456,640		$	1,367,853		$	197,110		$	391,676
Net realized gain on investments		678,584			490,321			4,221,381			4,690,998			590,154			990,389
Net change in unrealized appreciation on investments		948,807			2,185,232			3,736,647			6,065,890			661,604			1,832,288

Change in net assets resulting from operations		2,039,994			3,140,195			9,414,668			12,124,741			1,448,868			3,214,353

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(17,298	)		(10,858	)		(261,657	)		(243,224	)		(13,075	)		(9,873	)
Retirement class R-3 of shares		—			(15,122	)		(63,635	)		(101,706	)		(457	)		(5,872	)
Retirement class R-6 of shares		(458,277	)		(591,903	)		(1,434,361	)		(1,339,900	)		(276,293	)		(518,267	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(10,616	)		(12,985	)		(598,423	)		(668,223	)		(31,243	)		(22,302	)
Retirement class R-3 of shares		(964	)		(19,978	)		(193,799	)		(340,715	)		(4,137	)		(15,697	)
Retirement class R-6 of shares		(232,053	)		(543,487	)		(2,545,545	)		(2,785,759	)		(530,766	)		(903,500	)

Change in net assets resulting from distributions to shareholders		(719,208	)		(1,194,333	)		(5,097,420	)		(5,479,527	)		(855,971	)		(1,475,511	)

Capital stock transactions:
Proceeds from sale of shares		7,548,244			5,604,471			21,273,459			16,918,635			3,530,973			3,951,792
Net asset value of shares issued to shareholders in payment of distributions declared		719,208			1,194,333			5,097,420			5,479,527			855,971			1,475,511
Cost of shares redeemed		(4,584,961	)		(17,820,626	)		(23,592,808	)		(39,617,757	)		(2,482,495	)		(25,378,614	)

Change in net assets resulting from capital stock transactions		3,682,491			(11,021,822	)		2,778,071			(17,219,595	)		1,904,449			(19,951,311	)

Change in net assets		5,003,277			(9,075,960	)		7,095,319			(10,574,381	)		2,497,346			(18,212,469	)

Net assets:
Beginning of period		21,555,668			30,631,628			92,809,382			103,383,763			13,070,408			31,282,877

End of period	$	26,558,945		$	21,555,668		$	99,904,701		$	92,809,382		$	15,567,754		$	13,070,408

Undistributed net investment income included in net assets at end of period	$	196,038		$	178,800		$	603,300		$	520,129		$	70,261		$	105,912

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



Statements of Changes in Net Assets		BMO Funds



	2040 Fund						2045 Fund						2050 Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income	$	751,298		$	818,310		$	115,758		$	208,991		$	551,987		$	550,199
Net realized gain on investments		2,674,461			4,903,883			319,135			571,381			1,951,170			1,562,211
Net change in unrealized appreciation on investments		2,845,204			2,576,931			515,670			1,033,847			2,271,442			3,639,189

Change in net assets resulting from operations		6,270,963			8,299,124			950,563			1,814,219			4,774,599			5,751,599

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(154,503	)		(138,602	)		(13,400	)		(10,889	)		(124,235	)		(80,320	)
Retirement class R-3 of shares		(27,713	)		(36,355	)		—			(4,652	)		(35,520	)		(37,443	)
Retirement class R-6 of shares		(845,531	)		(798,006	)		(146,697	)		(255,018	)		(614,075	)		(520,286	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(748,680	)		(490,108	)		(35,138	)		(31,552	)		(214,045	)		(299,678	)
Retirement class R-3 of shares		(179,564	)		(177,916	)		(2,323	)		(15,798	)		(76,962	)		(165,597	)
Retirement class R-6 of shares		(3,182,971	)		(2,068,921	)		(302,655	)		(549,139	)		(837,856	)		(1,315,743	)

Change in net assets resulting from distributions to shareholders		(5,138,962	)		(3,709,908	)		(500,213	)		(867,048	)		(1,902,693	)		(2,419,067	)

Capital stock transactions:
Proceeds from sale of shares		13,362,068			10,171,530			4,409,123			2,830,751			12,025,565			10,184,433
Net asset value of shares issued to shareholders in payment of distributions declared		5,138,962			3,709,908			500,213			867,048			1,902,693			2,419,067
Cost of shares redeemed		(11,998,268	)		(32,453,631	)		(1,990,475	)		(13,887,877	)		(9,928,815	)		(21,461,622	)

Change in net assets resulting from capital stock transactions		6,502,762			(18,572,193	)		2,918,861			(10,190,078	)		3,999,443			(8,858,122	)

Change in net assets		7,634,763			(13,982,977	)		3,369,211			(9,242,907	)		6,871,349			(5,525,590	)

Net assets:
Beginning of period		52,597,486			66,580,463			7,927,961			17,170,868			39,688,211			45,213,801

End of period	$	60,232,249		$	52,597,486		$	11,297,172		$	7,927,961		$	46,559,560		$	39,688,211

Undistributed net investment income included in net assets at end of period	$	217,468		$	256,257		$	42,764		$	52,210		$	138,906		$	183,185

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



Statements of Changes in Net Assets		BMO Funds



	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income	$	120,801		$	112,386		$	1,016,989		$	2,399,251		$	1,997,551		$	2,148,214
Net realized gain on investments		266,220			186,917			4,784,296			5,967,792			6,773,470			5,316,154
Net change in unrealized appreciation (depreciation) on investments		592,457			797,022			(4,580,014	)		(2,480,117	)		(3,766,825	)		1,771,140

Change in net assets resulting from operations		979,478			1,096,325			1,221,271			5,886,926			5,004,196			9,235,508

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(3,581	)		(5,113	)		(582,115	)		(392,079	)		(148,319	)		(261,497	)
Institutional class of shares		—			—			(16,401	)		(813,572	)		(102,870	)		(289,008	)
Retirement class R-3 of shares		(4,147	)		(5,867	)		(19,493	)		(152,724	)		(227,674	)		(256,521	)
Retirement class R-6 of shares		(146,093	)		(110,946	)		(1,264,591	)		(2,551,270	)		(1,874,292	)		(2,444,589	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(4,746	)		(15,407	)		(1,644,092	)		(3,300	)		(359,664	)		(162,234	)
Institutional class of shares		—			—			(144,665	)		(6,026	)		(227,710	)		(157,323	)
Retirement class R-3 of shares		(4,805	)		(18,291	)		(109,917	)		(1,394	)		(608,239	)		(175,521	)
Retirement class R-6 of shares		(117,638	)		(231,583	)		(3,217,945	)		(17,954	)		(3,619,513	)		(1,241,608	)

Change in net assets resulting from distributions to shareholders		(281,010	)		(387,207	)		(6,999,219	)		(3,938,319	)		(7,168,281	)		(4,988,301	)

Capital stock transactions:
Proceeds from sale of shares		4,631,390			3,302,459			9,067,886			16,844,101			14,875,830			21,818,957
Net asset value of shares issued to shareholders in payment of distributions declared		279,158			384,898			6,999,219			3,938,319			7,168,281			4,988,301
Cost of shares redeemed		(1,549,051	)		(4,943,591	)		(46,708,558	)		(91,814,964	)		(49,075,766	)		(59,025,227	)

Change in net assets resulting from capital stock transactions		3,361,497			(1,256,234	)		(30,641,453	)		(71,032,544	)		(27,031,655	)		(32,217,969	)

Change in net assets		4,059,965			(547,116	)		(36,419,401	)		(69,083,937	)		(29,195,740	)		(27,970,762	)

Net assets:
Beginning of period		7,206,079			7,753,195			73,934,389			143,018,326			111,160,116			139,130,878

End of period	$	11,266,044		$	7,206,079		$	37,514,988		$	73,934,389		$	81,964,376		$	111,160,116

Undistributed net investment income included in net assets at end of period	$	39,581		$	36,833		$	543,197		$	1,337,631		$	1,074,455		$	1,135,807

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



Statements of Changes in Net Assets		BMO Funds



	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Change in net assets resulting from:

Operations:
Net investment income	$	5,881,606		$	6,172,823		$	1,856,974		$	1,771,157		$	2,334,738		$	2,527,808
Net realized gain on investments		25,719,914			32,055,528			10,176,852			8,216,993			16,137,603			22,285,028
Net change in unrealized appreciation (depreciation) on investments		(2,844,819	)		3,277,801			1,888,866			7,336,431			5,693,932			4,477,343

Change in net assets resulting from operations		28,756,701			41,506,152			13,922,692			17,324,581			24,166,273			29,290,179

Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(1,792,384	)		(1,887,442	)		(276,000	)		(293,423	)		(671,533	)		(444,228	)
Institutional class of shares		(860,496	)		(1,543,662	)		(173,710	)		(170,199	)		(266,766	)		(306,784	)
Retirement class R-3 of shares		(304,632	)		(417,940	)		(266,254	)		(160,972	)		(248,785	)		(181,480	)
Retirement class R-6 of shares		(4,398,480	)		(4,927,720	)		(1,905,407	)		(1,340,617	)		(2,439,933	)		(1,802,775	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(8,122,524	)		(5,403,978	)		(888,273	)		(1,064,644	)		(4,087,028	)		(3,575,428	)
Institutional class of shares		(3,511,520	)		(3,791,371	)		(477,185	)		(491,722	)		(1,455,884	)		(1,848,747	)
Retirement class R-3 of shares		(1,717,675	)		(1,439,192	)		(993,635	)		(844,909	)		(1,803,375	)		(1,664,710	)
Retirement class R-6 of shares		(16,250,442	)		(11,266,539	)		(4,829,986	)		(3,505,544	)		(12,027,361	)		(9,629,541	)

Change in net assets resulting from distributions to shareholders		(36,958,153	)		(30,677,844	)		(9,810,450	)		(7,872,030	)		(23,000,665	)		(19,453,693	)

Capital stock transactions:
Proceeds from sale of shares		47,232,899			65,025,586			23,670,844			30,658,746			24,497,608			35,561,036
Net asset value of shares issued to shareholders in payment of distributions declared		36,944,164			30,301,890			9,810,450			7,872,030			23,000,665			19,453,693
Cost of shares redeemed		(101,939,289	)		(201,885,039	)		(43,963,867	)		(59,108,452	)		(44,328,338	)		(108,341,684	)

Change in net assets resulting from capital stock transactions		(17,762,226	)		(106,557,563	)		(10,482,573	)		(20,577,676	)		3,169,935			(53,326,955	)

Change in net assets		(25,963,678	)		(95,729,255	)		(6,370,331	)		(11,125,125	)		4,335,543			(43,490,469	)

Net assets:
Beginning of period		371,676,872			467,406,127			128,989,663			140,114,788			175,393,933			218,884,402

End of period	$	345,713,194		$	371,676,872		$	122,619,332		$	128,989,663		$	179,729,476		$	175,393,933

Undistributed net investment income included in net assets at end of period	$	2,845,915		$	2,882,312		$	687,893		$	775,028		$	727,704		$	921,601

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



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)(2)			Ratios to Average Net Assets (3)									Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
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)(2)			Gross Expenses			Net Expenses (4)			Net investment income (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
In-Retirement Fund
2018		$	9.39		$	0.21			$	0.13			$	0.34			$	(0.20	)		$	(0.56	)		$	(0.76	)		$	8.97		3.66	%		1.36	%		0.33	%		2.11	%		$	2,648		35	%
2017			9.54			0.18				0.39				0.57				(0.23	)			(0.49	)			(0.72	)			9.39		6.52			1.42			0.33			1.65				3,461		26
2016			10.02			0.22				0.27				0.49				(0.24	)			(0.73	)			(0.97	)			9.54		5.45			1.25			0.33			2.02				3,469		44
2015			11.05			0.24				(0.44	)			(0.20	)			(0.29	)			(0.54	)			(0.83	)			10.02		(1.94	)		1.03			0.33			1.96				4,804		53
2014			10.00			0.20				0.99				1.19				(0.12	)			(0.02	)			(0.14	)			11.05		12.03			1.08			0.33			1.92				7,120		45
2015 Fund
2018			11.32			0.25				0.28				0.53				(0.19	)			(0.02	)			(0.21	)			11.64		4.72			4.35			0.33			1.84				323		38
2017			10.66			0.34				0.53				0.87				(0.21	)			—				(0.21	)			11.32		8.33			4.29			0.33			1.47				411		72
2016			10.44			0.19				0.39				0.58				(0.25	)			(0.11	)			(0.36	)			10.66		5.76			4.07			0.33			1.80				689		49
2015			10.74			0.11				(0.35	)			(0.24	)			(0.06	)			—				(0.06	)			10.44		(2.27	)		4.21			0.33			1.54				632		83
2014(5)			10.00			0.02				0.72				0.74				—				—				—				10.74		7.40			73.54			0.33			1.23				229		29
2020 Fund
2018			10.52			0.17				0.58				0.75				(0.20	)			(0.51	)			(0.71	)			10.56		7.28			0.60			0.33			1.54				18,002		29
2017			10.21			0.17				0.81				0.98				(0.19	)			(0.48	)			(0.67	)			10.52		10.17			0.63			0.33			1.45				17,810		23
2016			10.49			0.17				0.41				0.58				(0.22	)			(0.64	)			(0.86	)			10.21		5.96			0.63			0.33			1.67				18,913		39
2015			11.34			0.18				(0.46	)			(0.28	)			(0.25	)			(0.32	)			(0.57	)			10.49		(2.58	)		0.59			0.33			1.64				21,331		37
2014			10.00			0.18				1.35				1.53				(0.15	)			(0.04	)			(0.19	)			11.34		15.43			0.63			0.33			1.72				32,064		35
2025 Fund
2018			11.61			0.14				0.87				1.01				(0.21	)			(0.13	)			(0.34	)			12.28		8.85			1.01			0.33			1.23				1,185		33
2017			10.74			0.12				1.10				1.22				(0.16	)			(0.19	)			(0.35	)			11.61		11.76			1.04			0.33			1.12				933		31
2016			10.42			0.15				0.44				0.59				(0.18	)			(0.09	)			(0.27	)			10.74		5.78			1.01			0.33			1.78				674		33
2015			10.78			0.06				(0.37	)			(0.31	)			(0.05	)			—				(0.05	)			10.42		(2.89	)		1.26			0.33			1.04				1,676		53
2014(5)			10.00			0.01				0.77				0.78				—				—				—				10.78		7.80			24.60			0.33			0.56				289		22
2030 Fund
2018			11.55			0.15				0.98				1.13				(0.18	)			(0.42	)			(0.60	)			12.08		9.95			0.57			0.37			1.14				20,713		32
2017			10.79			0.15				1.18				1.33				(0.15	)			(0.42	)			(0.57	)			11.55		12.89			0.61			0.37			1.25				19,498		25
2016			10.84			0.14				0.45				0.59				(0.18	)			(0.46	)			(0.64	)			10.79		5.75			0.61			0.37			1.37				19,681		33
2015			11.61			0.15				(0.49	)			(0.34	)			(0.18	)			(0.25	)			(0.43	)			10.84		(3.07	)		0.59			0.37			1.30				23,332		45
2014			10.00			0.15				1.66				1.81				(0.18	)			(0.02	)			(0.20	)			11.61		18.26			0.66			0.37			1.40				33,059		29
2035 Fund
2018			11.70			0.15				1.09				1.24				(0.23	)			(0.55	)			(0.78	)			12.16		10.95			1.45			0.37			1.01				921		32
2017			10.73			0.10				1.33				1.43				(0.14	)			(0.32	)			(0.46	)			11.70		13.85			1.13			0.37			0.91				734		32
2016			10.33			0.10				0.49				0.59				(0.15	)			(0.04	)			(0.19	)			10.73		5.84			1.02			0.37			1.35				659		29
2015			10.71			0.01				(0.38	)			(0.37	)			(0.01	)			—				(0.01	)			10.33		(3.43	)		1.29			0.37			0.26				870		96
2014(5)			10.00			0.00				0.71				0.71				—				—				—				10.71		7.10			23.63			0.37			0.16				348		29
2040 Fund
2018			11.56			0.14				1.14				1.28				(0.19	)			(0.91	)			(1.10	)			11.74		11.50			0.67			0.36			0.97				12,173		29
2017			10.68			0.16				1.32				1.48				(0.13	)			(0.47	)			(0.60	)			11.56		14.59			0.73			0.36			1.30				11,098		24
2016			10.92			0.12				0.47				0.59				(0.16	)			(0.67	)			(0.83	)			10.68		5.74			0.71			0.36			1.18				13,370		31
2015			11.75			0.12				(0.51	)			(0.39	)			(0.20	)			(0.24	)			(0.44	)			10.92		(3.46	)		0.67			0.36			1.14				12,852		36
2014			10.00			0.14				1.82				1.96				(0.19	)			(0.02	)			(0.21	)			11.75		19.81			0.76			0.36			1.45				18,090		22
2045 Fund
2018			11.93			0.15				1.22				1.37				(0.21	)			(0.55	)			(0.76	)			12.54		11.73			2.10			0.36			1.01				914		35
2017(6)			10.92			0.11				1.41				1.52				(0.13	)			(0.38	)			(0.51	)			11.93		14.58			1.72			0.36			1.03				911		31
2016			10.48			0.09				0.53				0.62				(0.15	)			(0.03	)			(0.18	)			10.92		6.02			1.53			0.36			1.33				868		32
2015			10.84			(0.01	)			(0.34	)			(0.35	)			(0.01	)			—				(0.01	)			10.48		(3.27	)		2.14			0.36			0.26				1,142		95
2014(5)			10.00			0.00				0.84				0.84				—				—				—				10.84		8.40			33.37			0.36			0.04				154		35

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



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


Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Ratios to Average Net Assets (3)									Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Gross Expenses			Net Expenses (4)			Net investment income (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
2050 Fund
2018		$	11.99		$	0.13		$	1.24			$	1.37			$	(0.20	)		$	(0.35	)		$	(0.55	)		$	12.81		11.64	%		0.75	%		0.36	%		0.95	%		$	10,017		27	%
2017			11.05			0.21			1.34				1.55				(0.13	)			(0.48	)			(0.61	)			11.99		14.67			0.85			0.36			1.55				8,400		27
2016			10.96			0.13			0.50				0.63				(0.16	)			(0.38	)			(0.54	)			11.05		5.98			0.86			0.36			1.15				10,382		29
2015			11.76			0.12			(0.50	)			(0.38	)			(0.19	)			(0.23	)			(0.42	)			10.96		(3.37	)		0.84			0.36			1.06				10,275		39
2014			10.00			0.14			1.81				1.95				(0.17	)			(0.02	)			(0.19	)			11.76		19.69			1.08			0.36			1.36				11,231		28
2055 Fund
2018			11.90			0.15			1.22				1.37				(0.15	)			(0.19	)			(0.34	)			12.93		11.65			2.07			0.36			0.67				394		26
2017			10.85			0.11			1.40				1.51				(0.12	)			(0.34	)			(0.46	)			11.90		14.39			2.56			0.36			0.91				551		56
2016			10.41			0.09			0.54				0.63				(0.13	)			(0.06	)			(0.19	)			10.85		6.15			3.32			0.36			1.46				410		38
2015			10.85			0.06			(0.42	)			(0.36	)			(0.06	)			(0.02	)			(0.08	)			10.41		(3.33	)		6.91			0.36			0.57				1,049		61
2014(5)			10.00			0.00			0.85				0.85				—				—				—				10.85		8.50			50.05			0.36			0.07				143		123
Conservative Allocation Fund
2018			10.02			0.21			(0.03	)			0.18				(0.40	)			(1.13	)			(1.53	)			8.67		1.79			0.79			0.33			1.99				13,395		29
2017			9.80			0.18			0.28				0.46				(0.24	)			(0.00	)			(0.24	)			10.02		4.83			0.58			0.33			1.55				15,531		40
2016			9.76			0.25			0.21				0.46				(0.23	)			(0.19	)			(0.42	)			9.80		4.98			0.56			0.33			2.23				17,919		31
2015			10.14			0.20			(0.34	)			(0.14	)			(0.16	)			(0.08	)			(0.24	)			9.76		(1.37	)		0.57			0.33			1.97				23,598		39
2014(7)			10.00			0.03			0.11				0.14				—				—				—				10.14		1.40			0.60			0.33			1.17				25,931		10
Moderate Allocation Fund
2018			10.08			0.18			0.31				0.49				(0.19	)			(0.46	)			(0.65	)			9.92		4.94			0.60			0.30			1.69				7,126		31
2017			9.72			0.17			0.55				0.72				(0.22	)			(0.14	)			(0.36	)			10.08		7.59			0.58			0.30			1.43				7,777		39
2016			9.78			0.24			0.23				0.47				(0.20	)			(0.33	)			(0.53	)			9.72		5.13			0.56			0.30			1.92				13,119		38
2015			10.20			0.17			(0.36	)			(0.19	)			(0.17	)			(0.06	)			(0.23	)			9.78		(1.89	)		0.57			0.30			1.72				22,595		30
2014(7)			10.00			0.04			0.16				0.20				—				—				—				10.20		2.00			0.60			0.30			1.60				24,928		8
Balanced Allocation Fund
2018			9.65			0.15			0.60				0.75				(0.18	)			(0.81	)			(0.99	)			9.41		8.06			0.48			0.33			1.39				98,453		29
2017			9.42			0.13			0.79				0.92				(0.18	)			(0.51	)			(0.69	)			9.65		10.33			0.48			0.33			1.19				101,517		35
2016			9.78			0.15			0.32				0.47				(0.17	)			(0.66	)			(0.83	)			9.42		5.23			0.47			0.33			1.54				110,814		33
2015			10.26			0.15			(0.39	)			(0.24	)			(0.17	)			(0.07	)			(0.24	)			9.78		(2.41	)		0.47			0.33			1.38				157,207		29
2014(7)			10.00			0.03			0.23				0.26				—				—				—				10.26		2.60			0.47			0.33			1.14				184,860		6
Growth Allocation Fund
2018			10.23			0.13			0.98				1.11				(0.18	)			(0.58	)			(0.76	)			10.58		11.15			0.56			0.30			1.18				13,887		32
2017			9.57			0.10			1.11				1.21				(0.12	)			(0.43	)			(0.55	)			10.23		13.27			0.57			0.30			1.10				16,758		42
2016			9.82			0.12			0.37				0.49				(0.16	)			(0.58	)			(0.74	)			9.57		5.28			0.56			0.30			1.22				24,691		38
2015			10.31			0.11			(0.41	)			(0.30	)			(0.16	)			(0.03	)			(0.19	)			9.82		(2.95	)		0.57			0.30			1.10				43,023		20
2014(7)			10.00			0.02			0.29				0.31				—				—				—				10.31		3.10			0.60			0.30			0.73				46,520		6
Aggressive Allocation Fund
2018			10.01			0.12			1.20				1.32				(0.19	)			(1.13	)			(1.32	)			10.01		13.90			0.53			0.33			1.06				34,898		27
2017			9.56			0.11			1.27				1.38				(0.10	)			(0.83	)			(0.93	)			10.01		15.60			0.53			0.33			1.03				37,632		33
2016			9.85			0.10			0.38				0.48				(0.13	)			(0.64	)			(0.77	)			9.56		5.14			0.52			0.33			1.04				52,260		33
2015			10.36			0.12			(0.41	)			(0.29	)			(0.18	)			(0.04	)			(0.22	)			9.85		(2.79	)		0.53			0.34			0.73				83,064		44
2014(7)			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)	Not annualized for periods less than one year.

(3)	Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(4)	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.

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

(6)	Calculated using the average shares method.

(7)	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)



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



Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Ratios to Average Net Assets (3)									Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Gross Expenses			Net Expenses (4)			Net investment income (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
Conservative Allocation Fund
2018		$	10.02		$	3.41		$	(3.20	)		$	0.21			$	(0.13	)		$	(1.13	)		$	(1.26	)		$	8.97		2.11	%		0.52	%		0.08	%		1.10	%		$	1,416		29	%
2017			9.81			0.18			0.30				0.48				(0.27	)			(0.00	)			(0.27	)			10.02		5.07			0.33			0.08			1.78				26,464		40
2016			9.77			0.24			0.25				0.49				(0.26	)			(0.19	)			(0.45	)			9.81		5.29			0.31			0.08			2.46				29,479		31
2015			10.15			0.23			(0.35	)			(0.12	)			(0.17	)			(0.09	)			(0.26	)			9.77		(1.22	)		0.32			0.08			2.23				29,104		39
2014(5)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.35			0.08			1.41				29,082		10
Moderate Allocation Fund
2018			10.08			0.28			0.25				0.53				(0.21	)			(0.46	)			(0.67	)			9.94		5.33			0.36			0.05			1.68				5,888		31
2017			9.73			0.17			0.57				0.74				(0.25	)			(0.14	)			(0.39	)			10.08		7.82			0.33			0.05			1.66				9,375		39
2016			9.79			0.23			0.28				0.51				(0.24	)			(0.33	)			(0.57	)			9.73		5.50			0.31			0.05			2.15				11,990		38
2015			10.21			0.21			(0.38	)			(0.17	)			(0.18	)			(0.07	)			(0.25	)			9.79		(1.75	)		0.32			0.05			1.95				16,112		30
2014(5)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.35			0.05			1.82				17,704		8
Balanced Allocation Fund
2018			9.66			0.19			0.58				0.77				(0.20	)			(0.81	)			(1.01	)			9.42		8.27			0.23			0.08			1.61				47,597		29
2017			9.43			0.13			0.81				0.94				(0.20	)			(0.51	)			(0.71	)			9.66		10.67			0.23			0.08			1.42				52,821		35
2016			9.79			0.17			0.33				0.50				(0.20	)			(0.66	)			(0.86	)			9.43		5.54			0.22			0.08			1.73				74,515		33
2015			10.26			0.17			(0.39	)			(0.22	)			(0.19	)			(0.06	)			(0.25	)			9.79		(2.17	)		0.22			0.08			1.59				81,475		29
2014(5)			10.00			0.04			0.22				0.26				—				—				—				10.26		2.60			0.22			0.08			1.39				79,584		6
Growth Allocation Fund
2018			10.23			0.15			1.00				1.15				(0.21	)			(0.58	)			(0.79	)			10.59		11.59			0.31			0.05			1.42				11,441		32
2017			9.58			0.09			1.14				1.23				(0.15	)			(0.43	)			(0.58	)			10.23		13.51			0.32			0.05			1.15				8,969		42
2016			9.84			0.14			0.37				0.51				(0.19	)			(0.58	)			(0.77	)			9.58		5.50			0.31			0.05			1.48				9,696		38
2015			10.32			0.15			(0.42	)			(0.27	)			(0.18	)			(0.03	)			(0.21	)			9.84		(2.72	)		0.32			0.05			1.32				15,252		20
2014(5)			10.00			0.02			0.30				0.32				—				—				—				10.32		3.20			0.35			0.05			0.96				18,598		6
Aggressive Allocation Fund
2018			10.00			0.15			1.20				1.35				(0.21	)			(1.13	)			(1.34	)			10.01		14.26			0.28			0.08			1.23				15,878		27
2017			9.57			0.14			1.25				1.39				(0.13	)			(0.83	)			(0.96	)			10.00		15.79			0.28			0.08			1.29				14,685		33
2016			9.87			0.11			0.39				0.50				(0.16	)			(0.64	)			(0.80	)			9.57		5.41			0.27			0.08			1.31				24,026		33
2015			10.37			0.14			(0.40	)			(0.26	)			(0.19	)			(0.05	)			(0.24	)			9.87		(2.55	)		0.28			0.09			1.06				31,770		44
2014(5)			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)	Not annualized for periods less than one year.

(3)	Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(4)	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.

(5)	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)



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)(2)			Ratios to Average Net Assets (3)									Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
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)(2)			Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
In-Retirement Fund
2018		$	9.42		$	0.15			$	0.17			$	0.32			$	(0.17	)		$	(0.56	)		$	(0.73	)		$	9.01		3.43	%		1.60	%		0.58	%		1.85	%		$	766		35	%
2017			9.54			0.32				0.25				0.57				(0.20	)			(0.49	)			(0.69	)			9.42		6.39			1.67			0.58			1.57				634		26
2016			10.01			0.19				0.28				0.47				(0.21	)			(0.73	)			(0.94	)			9.54		5.19			1.50			0.58			1.77				1,720		44
2015			11.03			0.19				(0.42	)			(0.23	)			(0.26	)			(0.53	)			(0.79	)			10.01		(2.24	)		1.28			0.58			1.76				2,149		53
2014			10.00			0.19				0.98				1.17				(0.12	)			(0.02	)			(0.14	)			11.03		11.74			1.33			0.58			1.64				4,283		45
2015 Fund
2018			11.30			0.19				0.31				0.50				(0.21	)			(0.02	)			(0.23	)			11.57		4.46			4.58			0.58			1.69				117		38
2017			10.65			0.14				0.70				0.84				(0.19	)			—				(0.19	)			11.30		8.07			4.54			0.58			1.31				114		72
2016			10.41			0.26				0.30				0.56				(0.21	)			(0.11	)			(0.32	)			10.65		5.57			4.32			0.58			1.75				136		49
2015			10.72			0.09				(0.36	)			(0.27	)			(0.04	)			—				(0.04	)			10.41		(2.50	)		4.46			0.58			1.33				221		83
2014(5)			10.00			0.03				0.69				0.72				—				—				—				10.72		7.20			73.79			0.58			1.18				105		29
2020 Fund
2018			10.53			0.21				0.52				0.73				(0.16	)			(0.51	)			(0.67	)			10.59		7.06			0.85			0.58			1.63				4,533		29
2017			10.22			0.16				0.79				0.95				(0.16	)			(0.48	)			(0.64	)			10.53		9.87			0.88			0.58			1.32				6,813		23
2016			10.48			0.17				0.39				0.56				(0.18	)			(0.64	)			(0.82	)			10.22		5.74			0.88			0.58			1.44				11,985		39
2015			11.33			0.17				(0.48	)			(0.31	)			(0.22	)			(0.32	)			(0.54	)			10.48		(2.88	)		0.84			0.58			1.39				15,177		37
2014			10.00			0.15				1.36				1.51				(0.14	)			(0.04	)			(0.18	)			11.33		15.23			0.88			0.58			1.28				23,025		35
2025 Fund
2018			11.56			0.21				0.77				0.98				—				(0.13	)			(0.13	)			12.41		8.53			1.28			0.58			1.26				109		33
2017			10.69			0.24				0.97				1.21				(0.15	)			(0.19	)			(0.34	)			11.56		11.66			1.29			0.58			1.17				150		31
2016			10.38			0.14				0.42				0.56				(0.16	)			(0.09	)			(0.25	)			10.69		5.49			1.26			0.58			1.30				1,053		33
2015			10.76			0.03				(0.36	)			(0.33	)			(0.05	)			—				(0.05	)			10.38		(3.06	)		1.51			0.58			0.74				1,388		53
2014(5)			10.00			0.04				0.72				0.76				—				—				—				10.76		7.60			24.85			0.58			0.59				2		22
2030 Fund
2018			11.55			0.17				0.93				1.10				(0.14	)			(0.42	)			(0.56	)			12.09		9.63			0.82			0.62			0.98				3,844		32
2017			10.78			0.14				1.17				1.31				(0.12	)			(0.42	)			(0.54	)			11.55		12.70			0.86			0.62			1.13				6,316		25
2016			10.82			0.12				0.45				0.57				(0.15	)			(0.46	)			(0.61	)			10.78		5.53			0.86			0.62			1.15				9,875		33
2015			11.59			0.13				(0.51	)			(0.38	)			(0.14	)			(0.25	)			(0.39	)			10.82		(3.39	)		0.84			0.62			1.09				12,812		45
2014			10.00			0.13				1.65				1.78				(0.17	)			(0.02	)			(0.19	)			11.59		17.98			0.91			0.62			1.21				20,329		29
2035 Fund
2018			11.63			0.10				1.12				1.22				(0.06	)			(0.55	)			(0.61	)			12.24		10.76			1.70			0.62			0.69				123		32
2017			10.67			0.11				1.29				1.40				(0.12	)			(0.32	)			(0.44	)			11.63		13.59			1.38			0.62			0.99				120		32
2016			10.27			0.12				0.44				0.56				(0.12	)			(0.04	)			(0.16	)			10.67		5.55			1.27			0.62			1.06				492		29
2015			10.68			(0.03	)			(0.36	)			(0.39	)			(0.02	)			—				(0.02	)			10.27		(3.65	)		1.54			0.62			(0.13	)			734		96
2014(5)			10.00			0.01				0.67				0.68				—				—				—				10.68		6.80			23.88			0.62			0.19				3		29
2040 Fund
2018			11.57			0.10				1.16				1.26				(0.14	)			(0.91	)			(1.05	)			11.78		11.31			0.92			0.61			0.74				2,061		29
2017			10.69			0.19				1.26				1.45				(0.10	)			(0.47	)			(0.57	)			11.57		14.17			0.98			0.61			1.22				2,555		24
2016			10.91			0.12				0.44				0.56				(0.11	)			(0.67	)			(0.78	)			10.69		5.48			0.96			0.61			1.06				4,991		31
2015			11.72			0.10				(0.50	)			(0.40	)			(0.17	)			(0.24	)			(0.41	)			10.91		(3.57	)		0.92			0.61			0.92				7,748		36
2014			10.00			0.11				1.82				1.93				(0.19	)			(0.02	)			(0.21	)			11.72		19.42			1.01			0.61			0.97				11,429		22
2045 Fund
2018			11.87			0.06				1.27				1.33				—				(0.55	)			(0.55	)			12.65		11.37			2.32			0.61			0.78				74		35
2017(6)			10.87			0.09				1.41				1.50				(0.12	)			(0.38	)			(0.50	)			11.87		14.35			1.97			0.61			0.80				53		31
2016			10.42			0.13				0.46				0.59				(0.11	)			(0.03	)			(0.14	)			10.87		5.74			1.78			0.61			1.02				426		32
2015			10.82			(0.07	)			(0.31	)			(0.38	)			(0.02	)			—				(0.02	)			10.42		(3.53	)		2.39			0.61			(0.90	)			746		95
2014(5)			10.00			0.00				0.82				0.82				—				—				—				10.82		8.20			33.62			0.61			0.01				3		35

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



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


Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Ratios to Average Net Assets (3)									Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
2050 Fund
2018		$	11.97		$	0.11		$	1.23			$	1.34			$	(0.16	)		$	(0.35	)		$	(0.51	)		$	12.80		11.38	%		1.00	%		0.61	%		0.74	%		$	1,978		27	%
2017			11.04			0.14			1.38				1.52				(0.11	)			(0.48	)			(0.59	)			11.97		14.38			1.10			0.61			1.07				3,115		27
2016			10.95			0.10			0.50				0.60				(0.13	)			(0.38	)			(0.51	)			11.04		5.66			1.11			0.61			0.98				4,515		29
2015			11.74			0.09			(0.50	)			(0.41	)			(0.15	)			(0.23	)			(0.38	)			10.95		(3.57	)		1.09			0.61			0.81				5,072		39
2014			10.00			0.11			1.82				1.93				(0.17	)			(0.02	)			(0.19	)			11.74		19.40			1.33			0.61			0.87				6,826		28
2055 Fund
2018			11.83			0.14			1.19				1.33				(0.17	)			(0.19	)			(0.36	)			12.80		11.39			2.37			0.61			2.44				117		26
2017			10.80			0.07			1.41				1.48				(0.11	)			(0.34	)			(0.45	)			11.83		14.22			2.81			0.61			1.09				94		56
2016			10.38			0.09			0.50				0.59				(0.11	)			(0.06	)			(0.17	)			10.80		5.73			3.57			0.61			0.82				477		38
2015			10.84			0.03			(0.41	)			(0.38	)			(0.06	)			(0.02	)			(0.08	)			10.38		(3.55	)		7.16			0.61			0.14				395		61
2014(5)			10.00			0.01			0.83				0.84				—				—				—				10.84		8.40			50.30			0.61			0.44				54		123
Conservative Allocation Fund
2018			10.01			0.52			(0.36	)			0.16				(0.20	)			(1.13	)			(1.33	)			8.84		1.58			1.04			0.58			1.41				956		29
2017			9.80			0.13			0.30				0.43				(0.22	)			(0.00	)			(0.22	)			10.01		4.52			0.83			0.58			1.34				3,012		40
2016			9.74			0.21			0.24				0.45				(0.20	)			(0.19	)			(0.39	)			9.80		4.82			0.81			0.58			1.97				6,802		31
2015			10.14			0.20			(0.37	)			(0.17	)			(0.15	)			(0.08	)			(0.23	)			9.74		(1.72	)		0.82			0.58			1.74				7,624		39
2014(7)			10.00			0.02			0.12				0.14				—				—				—				10.14		1.40			0.85			0.58			0.91				11,583		10
Moderate Allocation Fund
2018			10.08			0.20			0.26				0.46				(0.17	)			(0.46	)			(0.63	)			9.91		4.65			0.85			0.55			1.43				8,095		31
2017			9.72			0.11			0.58				0.69				(0.19	)			(0.14	)			(0.33	)			10.08		7.37			0.83			0.55			1.10				13,725		39
2016			9.76			0.26			0.19				0.45				(0.16	)			(0.33	)			(0.49	)			9.72		4.90			0.81			0.55			1.65				12,695		38
2015			10.20			0.15			(0.37	)			(0.22	)			(0.16	)			(0.06	)			(0.22	)			9.76		(2.23	)		0.82			0.55			1.45				22,279		30
2014(7)			10.00			0.03			0.17				0.20				—				—				—				10.20		2.00			0.85			0.55			1.33				19,949		8
Balanced Allocation Fund
2018			9.64			0.13			0.59				0.72				(0.14	)			(0.81	)			(0.95	)			9.41		7.77			0.73			0.58			1.16				19,213		29
2017			9.40			0.09			0.80				0.89				(0.14	)			(0.51	)			(0.65	)			9.64		10.11			0.73			0.58			0.92				23,649		35
2016			9.76			0.13			0.31				0.44				(0.14	)			(0.66	)			(0.80	)			9.40		4.94			0.72			0.58			1.28				29,095		33
2015			10.25			0.12			(0.38	)			(0.26	)			(0.16	)			(0.07	)			(0.23	)			9.76		(2.64	)		0.72			0.58			1.15				38,677		29
2014(7)			10.00			0.02			0.23				0.25				—				—				—				10.25		2.50			0.72			0.58			0.89				44,647		6
Growth Allocation Fund
2018			10.22			0.10			0.99				1.09				(0.15	)			(0.58	)			(0.73	)			10.58		11.00			0.81			0.55			0.91				15,107		32
2017			9.55			0.10			1.08				1.18				(0.08	)			(0.43	)			(0.51	)			10.22		12.96			0.82			0.55			0.85				18,846		42
2016			9.81			0.09			0.37				0.46				(0.14	)			(0.58	)			(0.72	)			9.55		4.95			0.81			0.55			0.91				25,876		38
2015			10.30			0.09			(0.40	)			(0.31	)			(0.15	)			(0.03	)			(0.18	)			9.81		(3.10	)		0.82			0.55			0.83				28,903		20
2014(7)			10.00			0.01			0.29				0.30				—				—				—				10.30		3.00			0.85			0.55			0.46				31,065		6
Aggressive Allocation Fund
2018			9.98			0.10			1.20				1.30				(0.16	)			(1.13	)			(1.29	)			9.99		13.70			0.78			0.58			0.79				16,950		27
2017			9.55			0.06			1.29				1.35				(0.09	)			(0.83	)			(0.92	)			9.98		15.24			0.78			0.58			0.63				17,152		33
2016			9.84			0.07			0.38				0.45				(0.10	)			(0.64	)			(0.74	)			9.55		4.87			0.77			0.58			0.77				19,395		33
2015			10.35			0.10			(0.40	)			(0.30	)			(0.17	)			(0.04	)			(0.21	)			9.84		(2.94	)		0.78			0.59			0.48				22,578		44
2014(7)			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)	Not annualized for periods less than one year.

(3)	Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(4)	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.

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

(6)	Calculated using the average shares method.

(7)	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)



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


Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Ratios to Average Net Assets (3)									Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Gross Expenses			Net Expenses (4)(5)			Net investment income (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
In-Retirement Fund
2018		$	9.40		$	0.23		$	0.14			$	0.37			$	(0.24	)		$	(0.56	)		$	(0.80	)		$	8.97		3.99	%		0.95	%		0.00	%		2.47	%		$	10,490		35	%
2017			9.55			0.22			0.40				0.62				(0.28	)			(0.49	)			(0.77	)			9.40		7.04			1.02			0.00			2.11				10,885		26
2016			10.05			0.26			0.27				0.53				(0.30	)			(0.73	)			(1.03	)			9.55		5.85			0.85			0.00			2.37				16,406		44
2015			11.08			0.29			(0.45	)			(0.16	)			(0.34	)			(0.53	)			(0.87	)			10.05		(1.54	)		0.63			0.00			2.35				16,611		53
2014			10.00			0.25			0.99				1.24				(0.14	)			(0.02	)			(0.16	)			11.08		12.47			0.68			0.00			2.31				20,128		45
2015 Fund
2018			11.39			0.29			0.29				0.58				(0.29	)			(0.02	)			(0.31	)			11.66		5.12			3.96			0.00			2.37				2,384		38
2017			10.73			0.19			0.73				0.92				(0.26	)			—				(0.26	)			11.39		8.80			3.89			0.00			1.97				3,390		72
2016			10.50			0.25			0.38				0.63				(0.29	)			(0.11	)			(0.40	)			10.73		6.22			3.67			0.00			2.21				3,744		49
2015			10.78			0.13			(0.34	)			(0.21	)			(0.07	)			—				(0.07	)			10.50		(1.92	)		3.81			0.00			1.94				4,234		83
2014(6)			10.00			0.08			0.70				0.78				—				—				—				10.78		7.80			73.14			0.00			1.75				174		29
2020 Fund
2018			10.54			0.22			0.57				0.79				(0.24	)			(0.51	)			(0.75	)			10.58		7.72			0.20			0.00			2.00				54,683		29
2017			10.23			0.19			0.83				1.02				(0.23	)			(0.48	)			(0.71	)			10.54		10.66			0.23			0.00			1.76				56,024		23
2016			10.52			0.21			0.41				0.62				(0.27	)			(0.64	)			(0.91	)			10.23		6.39			0.23			0.00			2.01				62,358		39
2015			11.38			0.25			(0.50	)			(0.25	)			(0.29	)			(0.32	)			(0.61	)			10.52		(2.28	)		0.19			0.00			1.98				53,085		37
2014			10.00			0.22			1.36				1.58				(0.16	)			(0.04	)			(0.20	)			11.38		15.98			0.23			0.00			1.97				59,502		35
2025 Fund
2018			11.68			0.21			0.86				1.07				(0.26	)			(0.13	)			(0.39	)			12.36		9.30			0.61			0.00			1.75				25,266		33
2017			10.81			0.17			1.11				1.28				(0.22	)			(0.19	)			(0.41	)			11.68		12.20			0.64			0.00			1.75				20,473		31
2016			10.48			0.19			0.44				0.63				(0.21	)			(0.09	)			(0.30	)			10.81		6.15			0.61			0.00			1.83				28,905		33
2015			10.81			0.09			(0.35	)			(0.26	)			(0.07	)			—				(0.07	)			10.48		(2.45	)		0.86			0.00			1.48				26,042		53
2014(6)			10.00			0.05			0.76				0.81				—				—				—				10.81		8.10			24.20			0.00			1.39				1,363		22
2030 Fund
2018			11.57			0.19			0.98				1.17				(0.23	)			(0.42	)			(0.65	)			12.09		10.34			0.17			0.00			1.62				75,347		32
2017			10.81			0.16			1.22				1.38				(0.20	)			(0.42	)			(0.62	)			11.57		13.38			0.21			0.00			1.48				66,995		25
2016			10.87			0.19			0.45				0.64				(0.24	)			(0.46	)			(0.70	)			10.81		6.21			0.21			0.00			1.66				73,828		33
2015			11.64			0.16			(0.46	)			(0.30	)			(0.22	)			(0.25	)			(0.47	)			10.87		(2.70	)		0.19			0.00			1.57				60,302		45
2014			10.00			0.19			1.66				1.85				(0.19	)			(0.02	)			(0.21	)			11.64		18.70			0.26			0.00			1.50				48,829		29
2035 Fund
2018			11.77			0.20			1.11				1.31				(0.29	)			(0.55	)			(0.84	)			12.24		11.50			1.06			0.00			1.48				14,524		32
2017			10.79			0.14			1.34				1.48				(0.18	)			(0.32	)			(0.50	)			11.77		14.31			0.73			0.00			1.70				12,216		32
2016			10.38			0.17			0.47				0.64				(0.19	)			(0.04	)			(0.23	)			10.79		6.26			0.62			0.00			1.57				30,132		29
2015			10.73			0.04			(0.36	)			(0.32	)			(0.03	)			—				(0.03	)			10.38		(2.99	)		0.89			0.00			0.97				27,613		96
2014(6)			10.00			0.04			0.69				0.73				—				—				—				10.73		7.30			23.23			0.00			1.06				1,201		29
2040 Fund
2018			11.58			0.17			1.15				1.32				(0.24	)			(0.91	)			(1.15	)			11.75		11.90			0.27			0.00			1.43				45,999		29
2017			10.71			0.14			1.38				1.52				(0.18	)			(0.47	)			(0.65	)			11.58		14.98			0.33			0.00			1.40				38,944		24
2016			10.96			0.17			0.46				0.63				(0.21	)			(0.67	)			(0.88	)			10.71		6.17			0.31			0.00			1.51				48,219		31
2015			11.78			0.16			(0.50	)			(0.34	)			(0.24	)			(0.24	)			(0.48	)			10.96		(2.98	)		0.27			0.00			1.45				40,193		36
2014			10.00			0.18			1.83				2.01				(0.21	)			(0.02	)			(0.23	)			11.78		20.26			0.36			0.00			1.39				39,760		22
2045 Fund
2018			12.00			0.19			1.24				1.43				(0.26	)			(0.55	)			(0.81	)			12.62		12.26			1.66			0.00			1.37				10,309		35
2017(7)			10.98			0.19			1.39				1.58				(0.18	)			(0.38	)			(0.56	)			12.00		15.08			1.32			0.00			1.71				6,964		31
2016			10.53			0.16			0.50				0.66				(0.18	)			(0.03	)			(0.21	)			10.98		6.38			1.13			0.00			1.48				15,877		32
2015			10.87			0.03			(0.35	)			(0.32	)			(0.02	)			—				(0.02	)			10.53		(2.91	)		1.74			0.00			0.85				13,046		95
2014(6)			10.00			0.04			0.83				0.87				—				—				—				10.87		8.70			32.97			0.00			0.93				895		35

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



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


Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Ratios to Average Net Assets (3)									Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(2)			Gross Expenses			Net Expenses (4)(5)			Net investment income (4)			Net assets, end of period (000 omitted)			Portfolio turnover rate (2)
2050 Fund
2018		$	12.00		$	0.19		$	1.24			$	1.43			$	(0.26	)		$	(0.35	)		$	(0.61	)		$	12.82		12.11	%		0.35	%		0.00	%		1.42	%		$	34,564		27	%
2017			11.08			0.14			1.45				1.59				(0.19	)			(0.48	)			(0.67	)			12.00		15.09			0.45			0.00			1.28				28,173		27
2016			11.00			0.17			0.50				0.67				(0.21	)			(0.38	)			(0.59	)			11.08		6.37			0.46			0.00			1.48				30,317		29
2015			11.80			0.14			(0.48	)			(0.34	)			(0.23	)			(0.23	)			(0.46	)			11.00		(2.99	)		0.44			0.00			1.37				22,487		39
2014			10.00			0.18			1.83				2.01				(0.19	)			(0.02	)			(0.21	)			11.80		20.24			0.68			0.00			1.39				17,346		28
2055 Fund
2018			11.97			0.18			1.25				1.43				(0.24	)			(0.19	)			(0.43	)			12.97		12.17			1.60			0.00			1.35				10,755		26
2017			10.91			0.16			1.41				1.57				(0.17	)			(0.34	)			(0.51	)			11.97		14.93			2.16			0.00			1.53				6,561		56
2016			10.47			0.15			0.51				0.66				(0.16	)			(0.06	)			(0.22	)			10.91		6.43			2.92			0.00			1.30				6,866		38
2015			10.89			0.07			(0.39	)			(0.32	)			(0.08	)			(0.02	)			(0.10	)			10.47		(2.96	)		6.51			0.00			0.90				2,809		61
2014(6)			10.00			0.03			0.86				0.89				—				—				—				10.89		8.90			49.65			0.00			0.84				477		123
Conservative Allocation Fund
2018			10.03			0.21			0.01				0.22				(0.44	)			(1.13	)			(1.57	)			8.68		2.28			0.39			0.00			2.42				21,748		29
2017			9.82			0.27			0.23				0.50				(0.29	)			(0.00	)			(0.29	)			10.03		5.22			0.18			0.00			1.96				28,927		40
2016			9.79			0.25			0.24				0.49				(0.27	)			(0.19	)			(0.46	)			9.82		5.34			0.16			0.00			2.61				88,818		31
2015			10.15			0.25			(0.34	)			(0.09	)			(0.19	)			(0.08	)			(0.27	)			9.79		(0.94	)		0.17			0.00			2.38				86,637		39
2014(8)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.20			0.00			1.57				92,207		10
Moderate Allocation Fund
2018			10.09			0.22			0.31				0.53				(0.24	)			(0.46	)			(0.70	)			9.92		5.33			0.20			0.00			2.12				60,855		31
2017			9.74			0.21			0.54				0.75				(0.26	)			(0.14	)			(0.40	)			10.09		8.02			0.18			0.00			1.83				80,283		39
2016			9.80			0.22			0.30				0.52				(0.25	)			(0.33	)			(0.58	)			9.74		5.67			0.16			0.00			2.27				101,327		38
2015			10.21			0.21			(0.37	)			(0.16	)			(0.19	)			(0.06	)			(0.25	)			9.80		(1.56	)		0.17			0.00			2.11				93,206		30
2014(8)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.20			0.00			1.99				95,654		8
Balanced Allocation Fund
2018			9.66			0.18			0.61				0.79				(0.22	)			(0.81	)			(1.03	)			9.42		8.51			0.08			0.00			1.82				180,451		29
2017			9.44			0.19			0.76				0.95				(0.22	)			(0.51	)			(0.73	)			9.66		10.73			0.08			0.00			1.67				193,690		35
2016			9.80			0.18			0.33				0.51				(0.21	)			(0.66	)			(0.87	)			9.44		5.70			0.07			0.00			1.87				252,982		33
2015			10.27			0.18			(0.39	)			(0.21	)			(0.19	)			(0.07	)			(0.26	)			9.80		(2.08	)		0.07			0.00			1.78				247,496		29
2014(8)			10.00			0.04			0.23				0.27				—				—				—				10.27		2.70			0.07			0.00			1.54				284,021		6
Growth Allocation Fund
2018			10.24			0.17			0.99				1.16				(0.23	)			(0.58	)			(0.81	)			10.59		11.66			0.17			0.00			1.59				82,185		32
2017			9.59			0.16			1.09				1.25				(0.17	)			(0.43	)			(0.60	)			10.24		13.69			0.17			0.00			1.49				84,417		42
2016			9.85			0.15			0.37				0.52				(0.20	)			(0.58	)			(0.78	)			9.59		5.67			0.16			0.00			1.51				79,852		38
2015			10.32			0.16			(0.41	)			(0.25	)			(0.19	)			(0.03	)			(0.22	)			9.85		(2.52	)		0.17			0.00			1.47				67,727		20
2014(8)			10.00			0.03			0.29				0.32				—				—				—				10.32		3.20			0.20			0.00			1.11				56,647		6
Aggressive Allocation Fund
2018			10.01			0.16			1.21				1.37				(0.23	)			(1.13	)			(1.36	)			10.02		14.51			0.13			0.00			1.47				112,003		27
2017			9.58			0.15			1.26				1.41				(0.15	)			(0.83	)			(0.98	)			10.01		16.00			0.13			0.00			1.43				105,925		33
2016			9.88			0.14			0.38				0.52				(0.18	)			(0.64	)			(0.82	)			9.58		5.58			0.12			0.00			1.38				123,203		33
2015			10.37			0.17			(0.41	)			(0.24	)			(0.21	)			(0.04	)			(0.25	)			9.88		(2.37	)		0.12			0.00			1.12				113,933		44
2014(8)			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)	Not annualized for periods less than one year.

(3)	Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(4)	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.

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

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

(7)	Calculated using the average shares method.

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

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

August 31, 2018



Notes to Financial Statements		BMO Funds

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, 2018, the Corporation consisted of 42 portfolios, including 10 target retirement and 5 target risk diversified portfolios within this annual report (individually referred to as the “Fund,” or collectively as the “Funds”), each with differing share class offerings as well as 27 other portfolios whose annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.


BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Target Retirement
In-Retirement Fund	August 30, 2013	The investment objective of each Target Retirement Fund is to achieve growth, income, and conservation of capital to varying degrees depending on its proximity to its target date. As the Fund passes its target date, the Fund will reduce its emphasis on growth and increase its emphasis on income and preservation of capital.
2015 Fund	December 27, 2013
2020 Fund	August 30, 2013
2025 Fund	December 27, 2013
2030 Fund	August 30, 2013
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.

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

Target Risk Fund

Equity

Fixed Income

Money Market Funds

Conservative Allocation Fund

10%–30%

70%–90%

0%–10%

Moderate Allocation Fund

30%–50%

50%–70%

0%–10%

Balanced Allocation Fund

50%–70%

30%–50%

0%–10%

Growth Allocation Fund

70%–90%

10%–30%

0%–10%

Aggressive Allocation Fund

90%–100%

0%–10%

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

Significant Accounting Policies

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



Notes to Financial Statements (continued)

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

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

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

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

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.

Fair Value Measurement

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

For the year ended August 31, 2018, the Funds had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy. It is the Funds’ policy to recognize transfers between category levels at the end of the period. For the year ended August 31, 2018, there were no transfers in and out of Level 1, Level 2 , and Level 3. The Funds did not hold any Level 2 or Level 3 securities as of August 31, 2018.



		BMO Funds

The following is a summary of the inputs used, as of August 31, 2018, in valuing the Funds’ assets:


	In-Retirement Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	13,720,282	$	—	$	—	$	13,720,282
Short-Term Investments		139,450		—		—		139,450

Total	$	13,859,732	$	—	$	—	$	13,859,732


	2015 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	2,788,928	$	—	$	—	$	2,788,928
Short-Term Investments		25,136		—		—		25,136

Total	$	2,814,064	$	—	$	—	$	2,814,064


	2020 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	76,275,046	$	—	$	—	$	76,275,046
Short-Term Investments		633,912		—		—		633,912

Total	$	76,908,958	$	—	$	—	$	76,908,958


	2025 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	26,218,492	$	—	$	—	$	26,218,492
Short-Term Investments		284,649		—		—		284,649

Total	$	26,503,141	$	—	$	—	$	26,503,141


	2030 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	98,585,477	$	—	$	—	$	98,585,477
Short-Term Investments		996,505		—		—		996,505

Total	$	99,581,982	$	—	$	—	$	99,581,982


	2035 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	15,357,234	$	—	$	—	$	15,357,234
Short-Term Investments		159,390		—		—		159,390

Total	$	15,516,624	$	—	$	—	$	15,516,624


	2040 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	59,440,460	$	—	$	—	$	59,440,460
Short-Term Investments		593,100		—		—		593,100

Total	$	60,033,560	$	—	$	—	$	60,033,560


	2045 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	11,143,734	$	—	$	—	$	11,143,734
Short-Term Investments		107,226		—		—		107,226

Total	$	11,250,960	$	—	$	—	$	11,250,960


	2050 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	45,951,647	$	—	$	—	$	45,951,647
Short-Term Investments		548,434		—		—		548,434

Total	$	46,500,081	$	—	$	—	$	46,500,081


	2055 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	11,066,118	$	—	$	—	$	11,066,118
Short-Term Investments		113,983		—		—		113,983

Total	$	11,180,101	$	—	$	—	$	11,180,101


	Conservative Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	36,944,277	$	—	$	—	$	36,944,277
Short-Term Investments		355,561		—		—		355,561

Total	$	37,299,838	$	—	$	—	$	37,299,838


	Moderate Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	80,880,944	$	—	$	—	$	80,880,944
Short-Term Investments		775,889		—		—		775,889

Total	$	81,656,833	$	—	$	—	$	81,656,833


	Balanced Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	342,003,022	$	—	$	—	$	342,003,022
Short-Term Investments		3,049,731		—		—		3,049,731

Total	$	345,052,753	$	—	$	—	$	345,052,753


	Growth Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	121,788,648	$	—	$	—	$	121,788,648
Short-Term Investments		1,153,827		—		—		1,153,827

Total	$	122,942,475	$	—	$	—	$	122,942,475


	Aggressive Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	178,002,895	$	—	$	—	$	178,002,895
Short-Term Investments		1,600,930		—		—		1,600,930

Total	$	179,603,825	$	—	$	—	$	179,603,825



Notes to Financial Statements (continued)

Capital Stock



	In-Retirement Fund						2015 Fund						2020 Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	183,205		$	1,008,269		$	31,490		$	656,625		$	2,658,760		$	2,713,803
Retirement class R-3 of shares		157,831			534,506			—			3,871			238,558			1,696,274
Retirement class R-6 of shares		2,712,547			1,499,670			369,253			1,549,699			10,542,118			7,678,581

Net proceeds from sale of shares		3,053,583			3,042,445			400,743			2,210,195			13,439,436			12,088,658
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		261,550			229,242			3,627			7,555			1,139,073			1,080,668
Retirement class R-3 of shares		57,797			78,175			—			555			397,134			661,731
Retirement class R-6 of shares		923,578			1,129,433			88,466			92,325			4,002,936			4,128,058

Net proceeds from shares issued:		1,242,925			1,436,850			92,093			100,435			5,539,143			5,870,457
Cost of shares redeemed:
Investor class of shares		(1,112,611	)		(1,213,231	)		(133,922	)		(993,165	)		(3,719,151	)		(5,493,344	)
Retirement class R-3 of shares		(48,983	)		(1,675,212	)		—			(33,078	)		(2,972,276	)		(7,677,610	)
Retirement class R-6 of shares		(3,553,529	)		(7,845,531	)		(1,536,738	)		(2,178,046	)		(16,139,362	)		(19,990,572	)

Net cost of shares redeemed		(4,715,123	)		(10,733,974	)		(1,670,660	)		(3,204,289	)		(22,830,789	)		(33,161,526	)

Net change resulting from fund share transactions in dollars	$	(418,615	)	$	(6,254,679	)	$	(1,177,824	)	$	(893,659	)	$	(3,852,210	)	$	(15,202,411	)

Capital stock transactions in shares:
Sale of shares:
Investor class of shares		20,342			108,395			2,737			61,847			252,294			268,374
Retirement class R-3 of shares		16,761			58,358			—			365			22,745			167,507
Retirement class R-6 of shares		301,530			160,992			32,017			140,426			1,001,321			754,743

Net sale of shares		338,633			327,745			34,754			202,638			1,276,360			1,190,624
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		29,454			26,020			316			719			110,697			112,219
Retirement class R-3 of shares		6,480			8,833			—			53			38,445			68,502
Retirement class R-6 of shares		104,359			128,491			7,713			8,768			389,391			429,112

Net shares issued		140,293			163,344			8,029			9,540			538,533			609,833
Shares redeemed:
Investor class of shares		(123,210	)		(129,631	)		(11,585	)		(90,952	)		(351,633	)		(540,360	)
Retirement class R-3 of shares		(5,515	)		(180,106	)		—			(3,051	)		(280,100	)		(762,158	)
Retirement class R-6 of shares		(395,463	)		(849,082	)		(133,001	)		(200,328	)		(1,538,507	)		(1,962,803	)

Net shares redeemed		(524,188	)		(1,158,819	)		(144,586	)		(294,331	)		(2,170,240	)		(3,265,321	)

Net change resulting from fund share transactions in shares		(45,262	)		(667,730	)		(101,803	)		(82,153	)		(355,347	)		(1,464,864	)



		BMO Funds



	2025 Fund						2030 Fund						2035 Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	522,705		$	298,184		$	5,708,489		$	3,090,018		$	279,672		$	510,807
Retirement class R-3 of shares		18,651			141,111			573,094			1,391,128			33,816			102,195
Retirement class R-6 of shares		7,006,888			5,165,176			14,991,876			12,437,489			3,217,485			3,338,790

Net proceeds from sale of shares		7,548,244			5,604,471			21,273,459			16,918,635			3,530,973			3,951,792
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		27,914			23,843			860,080			911,447			44,318			32,175
Retirement class R-3 of shares		964			35,100			257,434			442,421			4,594			21,569
Retirement class R-6 of shares		690,330			1,135,390			3,979,906			4,125,659			807,059			1,421,767

Net proceeds from shares issued:		719,208			1,194,333			5,097,420			5,479,527			855,971			1,475,511
Cost of shares redeemed:
Investor class of shares		(356,159	)		(137,454	)		(6,262,985	)		(5,492,840	)		(171,205	)		(549,772	)
Retirement class R-3 of shares		(70,552	)		(1,135,416	)		(3,611,377	)		(5,859,197	)		(42,718	)		(525,837	)
Retirement class R-6 of shares		(4,158,250	)		(16,547,756	)		(13,718,446	)		(28,265,720	)		(2,268,572	)		(24,303,005	)

Net cost of shares redeemed		(4,584,961	)		(17,820,626	)		(23,592,808	)		(39,617,757	)		(2,482,495	)		(25,378,614	)

Net change resulting from fund share transactions in dollars	$	3,682,491		$	(11,021,822	)	$	2,778,071		$	(17,219,595	)	$	1,904,449		$	(19,951,311	)


Capital stock transactions in shares:
Sale of shares:
Investor class of shares		43,418			27,606			477,689			282,733			23,525			47,612
Retirement class R-3 of shares		1,542			13,162			48,473			127,664			2,834			9,520
Retirement class R-6 of shares		580,828			467,516			1,258,490			1,136,600			267,420			302,467

Net sale of shares		625,788			508,284			1,784,652			1,546,997			293,779			359,599
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		2,352			2,266			73,953			87,808			3,804			3,079
Retirement class R-3 of shares		80			3,353			22,078			42,540			391			2,072
Retirement class R-6 of shares		57,962			107,620			342,800			397,846			69,038			135,535

Net shares issued		60,394			113,239			438,831			528,194			73,233			140,686
Shares redeemed:
Investor class of shares		(29,645	)		(12,259	)		(524,803	)		(506,947	)		(14,329	)		(49,406	)
Retirement class R-3 of shares		(5,845	)		(102,055	)		(299,579	)		(539,077	)		(3,542	)		(47,373	)
Retirement class R-6 of shares		(346,361	)		(1,496,179	)		(1,161,905	)		(2,573,184	)		(187,113	)		(2,193,982	)

Net shares redeemed		(381,851	)		(1,610,493	)		(1,986,287	)		(3,619,208	)		(204,984	)		(2,290,761	)

Net change resulting from fund share transactions in shares		304,331			(988,970	)		237,196			(1,544,017	)		162,028			(1,790,476	)



Notes to Financial Statements (continued)



	2040 Fund						2045 Fund						2050 Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	3,442,862		$	1,883,014		$	93,438		$	170,177		$	3,304,021		$	2,360,706
Retirement class R-3 of shares		658,081			585,454			40,179			143,679			517,504			803,818
Retirement class R-6 of shares		9,261,125			7,703,062			4,275,506			2,516,895			8,204,040			7,019,909

Net proceeds from sale of shares		13,362,068			10,171,530			4,409,123			2,830,751			12,025,565			10,184,433
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		903,183			628,710			48,538			42,441			338,280			379,998
Retirement class R-3 of shares		207,277			214,271			2,323			20,450			112,482			203,040
Retirement class R-6 of shares		4,028,502			2,866,927			449,352			804,157			1,451,931			1,836,029

Net proceeds from shares issued:		5,138,962			3,709,908			500,213			867,048			1,902,693			2,419,067
Cost of shares redeemed:
Investor class of shares		(3,558,646	)		(5,649,232	)		(187,407	)		(253,382	)		(2,625,075	)		(5,369,123	)
Retirement class R-3 of shares		(1,438,959	)		(3,487,878	)		(25,601	)		(563,598	)		(1,980,408	)		(2,653,255	)
Retirement class R-6 of shares		(7,000,663	)		(23,316,521	)		(1,777,467	)		(13,070,897	)		(5,323,332	)		(13,439,244	)

Net cost of shares redeemed		(11,998,268	)		(32,453,631	)		(1,990,475	)		(13,887,877	)		(9,928,815	)		(21,461,622	)

Net change resulting from fund share transactions in dollars	$	6,502,762		$	(18,572,193	)	$	2,918,861		$	(10,190,078	)	$	3,999,443		$	(8,858,122	)

Capital stock transactions in shares:
Sale of shares:
Investor class of shares		295,978			173,576			7,642			15,219			263,047			209,620
Retirement class R-3 of shares		57,416			53,880			3,242			13,190			41,594			71,209
Retirement class R-6 of shares		792,605			713,031			344,015			223,749			656,738			622,506

Net sale of shares		1,145,999			940,487			354,899			252,158			961,379			903,335
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		80,426			61,158			4,052			4,004			27,637			35,681
Retirement class R-3 of shares		18,376			20,763			192			1,935			9,182			19,065
Retirement class R-6 of shares		359,367			279,155			37,383			75,579			118,816			172,721

Net shares issued		458,169			361,076			41,627			81,518			155,635			227,467
Shares redeemed:
Investor class of shares		(299,793	)		(525,932	)		(15,209	)		(22,375	)		(209,546	)		(484,194	)
Retirement class R-3 of shares		(121,554	)		(320,875	)		(2,052	)		(49,820	)		(156,502	)		(238,882	)
Retirement class R-6 of shares		(602,010	)		(2,131,353	)		(144,396	)		(1,164,696	)		(427,535	)		(1,183,799	)

Net shares redeemed		(1,023,357	)		(2,978,160	)		(161,657	)		(1,236,891	)		(793,583	)		(1,906,875	)

Net change resulting from fund share transactions in shares		580,811			(1,676,597	)		234,869			(903,215	)		323,431			(776,073	)



		BMO Funds



	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	178,043		$	379,222		$	936,151		$	3,333,251		$	1,088,222		$	1,787,884
Institutional class of shares		—			—			606,867			3,199,776			1,152,648			2,247,337
Retirement Class R-3 of shares		238,729			235,131			176,946			594,944			3,326,610			3,698,491
Retirement class R-6 of shares		4,214,618			2,688,106			7,347,922			9,716,130			9,308,350			14,085,245

Net proceeds from sale of shares		4,631,390			3,302,459			9,067,886			16,844,101			14,875,830			21,818,957
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		8,327			20,520			2,226,207			395,379			507,983			423,731
Institutional class of shares		—			—			161,066			819,598			330,580			446,331
Retirement Class R-3 of shares		7,100			21,849			129,410			154,118			835,913			432,042
Retirement class R-6 of shares		263,731			342,529			4,482,536			2,569,224			5,493,805			3,686,197

Net proceeds from shares issued:		279,158			384,898			6,999,219			3,938,319			7,168,281			4,988,301
Cost of shares redeemed:
Investor class of shares		(383,799	)		(320,201	)		(3,340,646	)		(6,464,521	)		(2,102,542	)		(7,901,290	)
Institutional class of shares		—			—			(26,007,088	)		(7,637,483	)		(5,030,603	)		(5,677,100	)
Retirement Class R-3 of shares		(237,866	)		(672,795	)		(2,262,492	)		(4,559,252	)		(9,541,470	)		(3,601,940	)
Retirement class R-6 of shares		(927,386	)		(3,950,595	)		(15,098,332	)		(73,153,708	)		(32,401,151	)		(41,844,897	)

Net cost of shares redeemed		(1,549,051	)		(4,943,591	)		(46,708,558	)		(91,814,964	)		(49,075,766	)		(59,025,227	)

Net change resulting from fund share transactions in dollars	$	3,361,497		$	(1,256,234	)	$	(30,641,453	)	$	(71,032,544	)	$	(27,031,655	)	$	(32,217,969	)

Capital stock transactions in shares:
Sale of shares:
Investor class of shares		14,342			34,155			104,749			341,654			109,748			184,063
Institutional class of shares		—			—			62,126			327,989			117,831			231,324
Retirement Class R-3 of shares		19,497			21,703			18,976			61,258			336,495			379,868
Retirement class R-6 of shares		334,134			241,119			812,723			990,085			940,146			1,440,015

Net sale of shares		367,973			296,977			998,574			1,720,986			1,504,220			2,235,270
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		673			1,938			257,663			41,663			52,154			45,078
Institutional class of shares		—			—			18,077			86,455			33,940			47,533
Retirement Class R-3 of shares		579			2,071			14,672			16,240			85,735			45,913
Retirement class R-6 of shares		21,338			32,223			520,016			271,015			565,206			392,985

Net shares issued		22,590			36,232			810,428			415,373			737,035			531,509
Shares redeemed:
Investor class of shares		(30,838	)		(27,594	)		(368,501	)		(660,920	)		(215,417	)		(806,639	)
Institutional class of shares		—			—			(2,563,855	)		(777,055	)		(488,867	)		(580,703	)
Retirement Class R-3 of shares		(18,881	)		(59,996	)		(226,512	)		(470,782	)		(967,835	)		(369,030	)
Retirement class R-6 of shares		(74,027	)		(354,505	)		(1,710,933	)		(7,418,823	)		(3,332,428	)		(4,274,881	)

Net shares redeemed		(123,746	)		(442,095	)		(4,869,801	)		(9,327,580	)		(5,004,547	)		(6,031,253	)

Net change resulting from fund share transactions in shares		266,817			(108,886	)		(3,060,799	)		(7,191,221	)		(2,763,292	)		(3,264,474	)



Notes to Financial Statements (continued)



	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2018			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	9,428,384		$	9,596,115		$	965,898		$	1,521,150		$	1,903,201		$	2,549,571
Institutional class of shares		11,240,431			18,188,630			3,238,898			3,782,554			3,038,729			3,231,792
Retirement class R-3 of shares		1,792,133			3,462,896			1,655,777			1,995,735			1,954,612			1,545,438
Retirement class R-6 of shares		24,771,951			33,777,945			17,810,271			23,359,307			17,601,066			28,234,235

Net proceeds from sale of shares		47,232,899			65,025,586			23,670,844			30,658,746			24,497,608			35,561,036
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		9,900,919			7,291,420			1,164,273			1,358,067			4,758,561			4,019,656
Institutional class of shares		4,372,016			4,959,081			650,895			661,921			1,722,650			2,155,531
Retirement class R-3 of shares		2,022,307			1,857,132			1,259,889			1,005,881			2,052,160			1,846,190
Retirement class R-6 of shares		20,648,922			16,194,257			6,735,393			4,846,161			14,467,294			11,432,316

Net proceeds from shares issued:		36,944,164			30,301,890			9,810,450			7,872,030			23,000,665			19,453,693
Cost of shares redeemed:
Investor class of shares		(20,253,986	)		(28,809,458	)		(5,530,492	)		(12,160,876	)		(9,554,575	)		(23,138,517	)
Institutional class of shares		(20,375,381	)		(46,186,859	)		(1,712,928	)		(5,854,651	)		(3,837,651	)		(15,771,306	)
Retirement class R-3 of shares		(7,869,477	)		(11,399,285	)		(7,318,054	)		(11,372,090	)		(4,375,465	)		(6,476,231	)
Retirement class R-6 of shares		(53,440,445	)		(115,489,437	)		(29,402,393	)		(29,720,835	)		(26,560,647	)		(62,955,630	)

Net cost of shares redeemed		(101,939,289	)		(201,885,039	)		(43,963,867	)		(59,108,452	)		(44,328,338	)		(108,341,684	)

Net change resulting from fund share transactions in dollars	$	(17,762,226	)	$	(106,557,563	)	$	(10,482,573	)	$	(20,577,676	)	$	3,169,935		$	(53,326,955	)


Capital stock transactions in shares:
Sale of shares:
Investor class of shares		1,008,765			1,025,790			93,446			157,085			191,793			269,537
Institutional class of shares		1,208,350			1,949,386			306,230			397,357			309,899			339,793
Retirement class R-3 of shares		191,386			373,495			159,360			206,661			199,277			162,532
Retirement class R-6 of shares		2,638,289			3,612,043			1,722,411			2,396,103			1,787,826			2,925,969

Net sale of shares		5,046,790			6,960,714			2,281,447			3,157,206			2,488,795			3,697,831
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,085,627			822,031			114,933			146,659			502,497			449,626
Institutional class of shares		479,388			559,716			64,381			71,559			182,099			241,651
Retirement class R-3 of shares		221,259			209,372			124,249			108,509			216,701			206,740
Retirement class R-6 of shares		2,266,621			1,827,794			666,211			524,476			1,530,931			1,281,650

Net shares issued		4,052,895			3,418,913			969,774			851,203			2,432,228			2,179,667
Shares redeemed:
Investor class of shares		(2,149,362	)		(3,093,692	)		(535,059	)		(1,245,696	)		(970,523	)		(2,424,144	)
Institutional class of shares		(2,104,543	)		(4,942,672	)		(166,362	)		(604,772	)		(374,598	)		(1,624,360	)
Retirement class R-3 of shares		(823,864	)		(1,223,751	)		(699,180	)		(1,181,512	)		(438,117	)		(681,868	)
Retirement class R-6 of shares		(5,793,032	)		(12,198,320	)		(2,873,684	)		(3,005,372	)		(2,717,654	)		(6,486,787	)

Net shares redeemed		(10,870,801	)		(21,458,435	)		(4,274,285	)		(6,037,352	)		(4,500,892	)		(11,217,159	)

Net change resulting from fund share transactions in shares		(1,771,116	)		(11,078,808	)		(1,023,064	)		(2,028,943	)		420,131			(5,339,661	)

Investment Adviser Fee and Other Transactions with Affiliates

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

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



		BMO Funds


	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, 2017
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)
In-Retirement Fund		0.33	%					0.58	%		(0.07	)%		0.98	%					1.23	%		0.58	%
2015 Fund		0.33						0.58			(0.07	)		1.00						1.25			0.60
2020 Fund		0.33						0.58			(0.07	)		1.03						1.28			0.63
2025 Fund		0.33						0.58			(0.07	)		1.04						1.29			0.64
2030 Fund		0.37						0.62			(0.03	)		1.09						1.34			0.69
2035 Fund		0.37						0.62			(0.03	)		1.09						1.34			0.69
2040 Fund		0.36						0.61			(0.04	)		1.08						1.33			0.68
2045 Fund		0.36						0.61			(0.04	)		1.06						1.31			0.66
2050 Fund		0.36						0.61			(0.04	)		1.06						1.31			0.66
2055 Fund		0.36						0.61			(0.04	)		1.06						1.31			0.66
Conservative Allocation Fund		0.33			0.08	%		0.58			(0.07	)		1.02			0.77	%		1.27			0.62
Moderate Allocation Fund		0.30			0.05			0.55			(0.10	)		0.98			0.73			1.23			0.58
Balanced Allocation Fund		0.33			0.08			0.58			(0.07	)		1.02			0.77			1.27			0.62
Growth Allocation Fund		0.30			0.05			0.55			(0.10	)		1.00			0.72			1.25			0.60
Aggressive Allocation Fund		0.33			0.08			0.58			(0.07	)		0.97			0.75			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” included in investment income on the Statements of Operations.

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, 2018, the Funds were charged the following Administration Fees per class:


Fund	Investor Class		Institutional Class		Retirement Class R-3
In-Retirement Fund	$	4,677			$	1,106
2015 Fund		509				173
2020 Fund		26,123				8,730
2025 Fund		1,577				173
2030 Fund		27,938				8,821
2035 Fund		1,162				164
2040 Fund		16,327				3,958
2045 Fund		1,296				86
2050 Fund		12,625				4,446
2055 Fund		613				241
Conservative Allocation Fund		21,540	$	11,758		2,052
Moderate Allocation Fund		11,720		9,821		20,376
Balanced Allocation Fund		149,970		71,058		30,453
Growth Allocation Fund		24,109		13,196		27,379
Aggressive Allocation Fund		56,843		21,722		25,768

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

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in the BMO Funds. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of August 31, 2018. Please refer to the Schedule of Investments for which class each Fund’s underlying affiliated issuer represents.



Notes to Financial Statements (continued)


Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
In-Retirement Fund
Large-Cap Funds — 8.6 %
BMO Low Volatility Equity Fund	$	402,614	$	107,915	$	171,076	$	17,739		$	18,524		$	375,716	$	6,424	$	10,491
BMO Dividend Income Fund		284,696		107,046		149,261		4,546			16,180			263,207		6,314		30,798
BMO Large-Cap Value Fund(1)		420,871		144,071		199,320		4,794			17,075			387,491		6,413		34,970
BMO Large-Cap Growth Fund(1)		182,061		54,751		102,768		21,346			12,642			168,032		223		9,628

														1,194,446
Mid-Cap Funds — 1.7%
BMO Mid-Cap Growth Fund(1)		75,778		23,902		45,426		5,188			10,264			69,706		—		4,446
BMO Mid-Cap Value Fund(1)		179,801		56,095		81,048		517			10,642			166,007		1,754		7,045

														235,713
Small-Cap Fund — 0.3%
BMO Small-Cap Growth Fund		45,640		18,833		30,145		1,224			6,814			42,366		—		4,613

International Funds — 6.2%
BMO LGM Emerging Markets Equity Fund		237,323		75,909		96,794		(4,613	)		7,245			219,070		1,883		—
BMO Pyrford International Stock Fund(1)		401,797		119,526		151,219		( 7,820	)		9,068			371,352		10,164		—
BMO Disciplined International Equity Fund		298,473		100,740		122,567		(10,432	)		7,571			273,785		6,312		—

														864,207
Fixed Income Funds — 20.4%
BMO High Yield Bond Fund		268,504		64,666		74,048		(6,088	)		(3,306	)		249,728		14,297		—
BMO TCH Core Plus Bond Fund		2,770,542		756,150		850,952		(81,250	)		(11,174	)		2,583,316		81,738		2,541
BMO TCH Emerging Markets Bond Fund*		448,273		67,618		490,508		(7,616	)		(17,767	)		—		22,012		—

														2,833,044
Alternative Funds — 6.9%
BMO Alternative Strategies Fund		1,046,726		309,306		291,164		(92,020	)		(5,562	)		967,286		—		64,872

Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		144,477		4,935,449		4,940,502		12			14			139,450		2,184		—

Totals	$	7,207,576	$	6,941,977	$	7,796,798	$	(154,473	)	$	78,230		$	6,276,512	$	159,718	$	169,404


2015 Fund
Large-Cap Funds — 9.8%
BMO Low Volatility Equity Fund	$	140,307	$	31,347	$	93,774	$	3,863		$	5,579		$	87,322	$	1,861	$	3,095
BMO Dividend Income Fund		74,412		18,056		50,567		1,060			3,422			46,383		1,372		6,832
BMO Large-Cap Value Fund(1)		149,289		34,874		98,774		1,470			5,407			92,266		1,851		10,518
BMO Large-Cap Growth Fund(1)		79,310		15,640		57,280		3,131			8,806			49,607		81		3,500

														275,578
Mid-Cap Funds — 2.2%
BMO Mid-Cap Growth Fund(1)		27,729		5,905		20,898		2,534			2,131			17,401		—		1,351
BMO Mid-Cap Value Fund(1)		74,407		14,486		46,851		1,961			2,268			46,271		695		2,472

														63,672
Small-Cap Fund — 0.5%
BMO Small-Cap Growth Fund		23,860		6,124		18,221		1,600			1,841			15,204		—		2,020

International Funds — 7.4%
BMO LGM Emerging Markets Equity Fund		93,045		27,694		63,354		(6,836	)		7,889			58,438		620		—
BMO Pyrford International Stock Fund(1)		136,135		28,794		79,827		(3,733	)		4,010			85,379		2,896		—
BMO Disciplined International Equity Fund		105,317		24,312		64,250		(7,606	)		7,639			65,412		1,870		—

														209,229
Fixed Income Funds — 18.1%
BMO High Yield Bond Fund		50,685		18,996		25,562		(1,324	)		(630	)		42,165		2,796		—
BMO TCH Core Plus Bond Fund		580,093		197,858		289,212		(15,833	)		(4,369	)		468,537		17,290		584
BMO TCH Emerging Markets Bond Fund*		97,638		28,676		120,371		(3,628	)		(2,315	)		—		5,221		—

														510,702
Alternative Funds — 7.4%
BMO Alternative Strategies Fund		261,859		110,016		136,269		(19,775	)		(5,744	)		210,087		—		17,685

Short-Term Investment — 0.9%
BMO Institutional Prime Money Market Fund		39,798		920,831		935,495		3			(1	)		25,136		526		—

Totals	$	1,933,884	$	1,483,609	$	2,100,705	$	(43,113	)	$	35,933		$	1,309,608	$	37,079	$	48,057



		BMO Funds


Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2020 Fund
Large-Cap Funds — 13.0%
BMO Low Volatility Equity Fund	$	3,364,618	$	673,835	$	1,096,799	$	237,286		$	66,823		$	3,245,763	$	55,029	$	88,504
BMO Dividend Income Fund		1,453,988		375,133		543,851		38,879			64,250			1,388,399		32,789		158,235
BMO Large-Cap Value Fund(1)		3,551,516		1,205,388		1,540,930		82,690			95,199			3,393,863		55,471		298,019
BMO Large-Cap Growth Fund(1)		2,116,554		415,851		918,732		273,460			125,101			2,012,234		2,626		113,136

														10,040,259
Mid-Cap Funds — 4.2%
BMO Mid-Cap Growth Fund(1)		1,474,968		309,066		687,958		211,815			88,008			1,395,899		—		86,797
BMO Mid-Cap Value Fund(1)		1,945,785		388,224		595,467		84,567			31,023			1,854,132		18,836		76,419

														3,250,031
Small-Cap Fund — 1.0%
BMO Small-Cap Growth Fund		807,054		221,435		395,186		65,646			78,013			776,962		—		83,410

International Funds — 11.0%
BMO LGM Emerging Markets Equity Fund		2,725,130		814,854		947,636		(3,157	)		26,822			2,616,013		21,706		—
BMO Pyrford International Stock Fund(1)		3,618,021		840,220		1,023,779		(47,302	)		52,290			3,439,450		91,869		—
BMO Disciplined International Equity Fund		2,595,810		701,804		820,881		(69,412	)		34,179			2,441,500		54,771		—

														8,496,963
Fixed Income Funds — 11.6%
BMO High Yield Bond Fund		729,037		188,206		196,861		(13,069	)		(13,114	)		694,199		38,487		—
BMO TCH Core Plus Bond Fund		8,545,697		2,468,236		2,472,924		(258,155	)		(29,595	)		8,253,259		231,441		7,927
BMO TCH Emerging Markets Bond Fund*		1,203,232		211,402		1,345,498		(22,689	)		(46,447	)		—		59,585		—

														8,947,458
Alternative Funds — 6.3%
BMO Alternative Strategies Fund		5,080,327		1,336,401		1,072,157		(459,338	)		(25,837	)		4,859,396		—		316,628

Short-Term Investment — 0.8%
BMO Institutional Prime Money Market Fund		720,855		21,838,883		21,926,001		—			175			633,912		10,380		—

Totals	$	39,932,592	$	31,988,938	$	35,584,660	$	121,221		$	546,890		$	37,004,981	$	672,990	$	1,229,075


2025 Fund
Large-Cap Funds — 11.8%
BMO Low Volatility Equity Fund	$	662,025	$	289,131	$	200,175	$	68,134		$	485		$	819,600	$	11,817	$	17,584
BMO Dividend Income Fund		277,430		134,888		91,901		21,438			2,102			343,957		6,880		30,764
BMO Large-Cap Value Fund(1)		1,025,354		493,504		309,910		55,784			2,542			1,267,274		17,728		87,515
BMO Large-Cap Growth Fund(1)		557,727		251,068		226,795		111,319			9,365			702,684		707		30,455

														3,133,515
Mid-Cap Funds — 5.7%
BMO Mid-Cap Growth Fund(1)		601,374		250,174		234,931		141,728			(2,473	)		755,872		—		36,347
BMO Mid-Cap Value Fund(1)		619,875		278,709		174,589		60,277			(19,256	)		765,016		6,165		24,857

														1,520,888
Small-Cap Fund — 1.8%
BMO Small-Cap Growth Fund		385,873		201,112		180,978		74,191			7,582			487,780		—		40,418

International Funds — 11.9%
BMO LGM Emerging Markets Equity Fund		936,330		524,225		300,186		(5,895	)		815			1,155,289		7,562		—
BMO Pyrford International Stock Fund(1)		1,030,062		513,054		272,883		(2,153	)		8			1,268,088		26,380		—
BMO Disciplined International Equity Fund		580,360		297,618		155,865		(18,996	)		3,513			706,630		12,441		—

														3,130,007
Fixed Income Funds — 8.3%
BMO High Yield Bond Fund		149,180		87,848		46,817		(4,732	)		(1,111	)		184,368		8,785		—
BMO TCH Core Plus Bond Fund		1,638,946		1,048,712		605,153		(51,054	)		(6,983	)		2,024,468		48,824		1,536
BMO TCH Emerging Markets Bond Fund*		234,389		74,493		295,062		(5,886	)		(7,934	)		—		11,783		—

														2,208,836
Alternative Funds — 5.5%
BMO Alternative Strategies Fund		1,195,363		678,884		283,898		(116,424	)		(7,897	)		1,466,028		—		75,766

Short-Term Investment — 1.1%
BMO Institutional Prime Money Market Fund		246,901		7,372,532		7,334,947		27			136			284,649		3,781		—

Totals	$	10,141,189	$	12,495,952	$	10,714,090	$	327,758		$	(19,106	)	$	12,231,703	$	162,853	$	345,242



Notes to Financial Statements (continued)


Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2030 Fund
Large-Cap Funds — 13.1%
BMO Low Volatility Equity Fund	$	3,205,702	$	799,502	$	812,069	$	296,964		$	11,687		$	3,501,786	$	54,757	$	87,389
BMO Dividend Income Fund		1,300,301		406,900		409,147		76,384			20,002			1,394,440		30,483		145,418
BMO Large-Cap Value Fund(1)		5,097,536		1,431,054		1,311,902		227,507			28,430			5,472,625		83,172		441,870
BMO Large-Cap Growth Fund(1)		2,516,757		675,412		978,256		431,147			73,111			2,718,171		3,186		137,235

														13,087,022
Mid-Cap Funds — 6.4%
BMO Mid-Cap Growth Fund(1)		3,010,833		776,582		1,225,328		611,178			34,241			3,207,506		—		180,032
BMO Mid-Cap Value Fund(1)		2,971,588		786,522		753,658		179,333			(866	)		3,182,919		28,980		120,640

														6,390,425
Small-Cap Fund — 2.1%
BMO Small-Cap Growth Fund		1,963,556		683,223		884,399		306,666			63,122			2,132,168		—		204,552

International Funds — 13.0%
BMO LGM Emerging Markets Equity Fund		4,489,577		1,678,632		1,361,442		3,208			13,856			4,823,831		37,072		—
BMO Pyrford International Stock Fund(1)		4,969,772		1,554,858		1,180,659		(353	)		(3,584	)		5,340,034		130,199		—
BMO Disciplined International Equity Fund		2,689,172		886,222		667,298		(63,876	)		10,212			2,854,432		58,535		—

														13,018,297
Fixed Income Funds — 5.6%
BMO High Yield Bond Fund		459,077		181,064		123,610		(10,344	)		(7,422	)		498,765		25,772		—
BMO TCH Core Plus Bond Fund		4,656,159		1,994,673		1,391,164		(146,825	)		(19,936	)		5,092,907		133,184		4,463
BMO TCH Emerging Markets Bond Fund*		644,966		168,398		774,689		(13,151	)		(25,524	)		—		32,892		—

														5,591,672
Alternative Funds — 5.2%
BMO Alternative Strategies Fund		4,793,501		1,875,286		1,015,643		(446,757	)		(39,952	)		5,166,435		—		307,913

Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		1,008,652		21,688,552		21,700,807		(2	)		110			996,505		13,865		—

Totals	$	43,777,149	$	35,586,880	$	34,590,071	$	1,451,079		$	157,487		$	46,382,524	$	632,097	$	1,629,512


2035 Fund
Large-Cap Funds — 14.1%
BMO Low Volatility Equity Fund	$	495,147	$	169,822	$	124,229	$	47,700		$	810		$	589,250	$	8,287	$	12,787
BMO Dividend Income Fund		195,316		76,452		55,166		13,740			1,970			232,312		4,549		21,056
BMO Large-Cap Value Fund(1)		768,994		311,573		210,217		36,889			6,381			913,620		12,441		63,808
BMO Large-Cap Growth Fund(1)		379,575		129,272		130,460		69,153			8,260			455,800		468		20,149

														2,190,982
Mid-Cap Funds — 7.1%
BMO Mid-Cap Growth Fund(1)		458,679		161,461		172,835		94,294			6,395			547,994		—		26,950
BMO Mid-Cap Value Fund(1)		469,515		182,588		125,630		28,066			1,925			556,464		4,533		18,305

														1,104,458
Small-Cap Fund — 2.3%
BMO Small-Cap Growth Fund		300,849		134,203		132,070		53,299			5,851			362,132		—		30,635

International Funds — 14.3%
BMO LGM Emerging Markets Equity Fund		701,128		356,388		226,552		(4,927	)		2,951			828,988		5,505		—
BMO Pyrford International Stock Fund(1)		772,549		319,193		178,024		(2,551	)		1,491			912,658		19,234		—
BMO Disciplined International Equity Fund		406,586		179,777		97,666		(16,959	)		6,514			478,252		8,473		—

														2,219,898
Fixed Income Funds — 3.4%
BMO High Yield Bond Fund		39,009		23,959		15,189		(1,220	)		(187	)		46,372		2,179		—
BMO TCH Core Plus Bond Fund		402,590		245,423		156,270		(12,455	)		(944	)		478,344		12,511		367
BMO TCH Emerging Markets Bond Fund*		52,004		14,454		63,506		(1,831	)		(1,121	)		—		2,538		—

														524,716
Alternative Funds — 4.6%
BMO Alternative Strategies Fund		599,109		329,691		160,086		(55,587	)		(3,550	)		709,577		—		36,916

Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		58,671		3,784,098		3,683,497		29			89			159,390		2,391		—

Totals	$	6,099,721	$	6,418,354	$	5,531,397	$	247,640		$	36,835		$	7,271,153	$	83,109	$	230,973



		BMO Funds


Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2040 Fund
Large-Cap Funds — 14.7%
BMO Low Volatility Equity Fund	$	2,071,223	$	686,340	$	556,436	$	193,526		$	18,823		$	2,413,476	$	36,225	$	54,743
BMO Dividend Income Fund		735,126		259,619		214,555		39,874			20,864			840,928		17,654		79,942
BMO Large-Cap Value Fund(1)		3,252,794		1,135,097		849,461		129,022			52,893			3,720,345		54,546		272,766
BMO Large-Cap Growth Fund(1)		1,637,988		499,321		601,004		305,122			40,591			1,882,018		2,034		87,623

														8,856,767
Mid-Cap Funds — 7.1%
BMO Mid-Cap Growth Fund(1)		1,861,764		494,497		659,025		390,613			27,779			2,115,628		—		109,626
BMO Mid-Cap Value Fund(1)		1,897,246		597,400		455,769		112,733			7,796			2,159,406		18,274		74,451

														4,275,034
Small-Cap Fund — 2.4%
BMO Small-Cap Growth Fund		1,268,690		435,249		493,655		216,380			42,865			1,469,529		—		130,008

International Funds — 14.8%
BMO LGM Emerging Markets Equity Fund		2,959,059		1,393,954		964,371		(3,067	)		(1,674	)		3,383,901		23,638		—
BMO Pyrford International Stock Fund(1)		3,183,635		1,208,773		747,677		(4,485	)		(2,498	)		3,637,748		80,894		—
BMO Disciplined International Equity Fund		1,685,537		613,983		359,835		(44,448	)		4,149			1,899,386		35,579		—

														8,921,035
Fixed Income Funds — 1.9%
BMO High Yield Bond Fund		103,817		51,641		31,042		(1,999	)		(2,104	)		120,313		5,595		—
BMO TCH Core Plus Bond Fund		880,066		467,927		292,367		(28,321	)		(3,521	)		1,023,784		28,872		818
BMO TCH Emerging Markets Bond Fund*		156,274		49,498		196,510		(3,203	)		(6,059	)		—		7,798		—

														1,144,097
Alternative Funds — 4.2%
BMO Alternative Strategies Fund		2,193,574		1,025,426		478,228		(209,807	)		(14,463	)		2,516,502		—		137,125

Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		533,274		11,667,969		11,608,329		—			186			593,100		9,143		—

Totals	$	24,420,067	$	20,586,694	$	18,508,264	$	1,091,940		$	185,627		$	27,776,064	$	320,252	$	947,102


2045 Fund
Large-Cap Funds — 14.8%
BMO Low Volatility Equity Fund	$	314,892	$	206,935	$	102,744	$	33,650		$	(281	)	$	452,452	$	5,443	$	7,934
BMO Dividend Income Fund		110,360		76,208		38,891		9,602			370			157,649		2,657		11,585
BMO Large-Cap Value Fund(1)		498,822		345,847		166,486		28,537			1,983			708,703		8,343		40,165
BMO Large-Cap Growth Fund(1)		246,732		151,685		99,839		51,486			2,764			352,828		295		12,698

														1,671,632
Mid-Cap Funds — 7.2%
BMO Mid-Cap Growth Fund(1)		287,401		179,895		126,790		65,049			2,398			407,953		—		16,341
BMO Mid-Cap Value Fund(1)		284,690		191,623		90,054		18,949			(381	)		404,827		2,754		10,790

														812,780
Small-Cap Fund — 2.5%
BMO Small-Cap Growth Fund		198,946		151,899		107,404		40,710			2,815			286,966		—		19,630

International Funds — 15.1%
BMO LGM Emerging Markets Equity Fund		463,592		387,202		187,868		(5,728	)		(540	)		656,658		3,546		—
BMO Pyrford International Stock Fund(1)		489,469		371,878		166,741		(2,305	)		857			693,158		11,915		—
BMO Disciplined International Equity Fund		253,000		191,929		79,651		(12,735	)		3,548			356,091		5,156		—

														1,705,907
Fixed Income Funds — 2.0%
BMO High Yield Bond Fund		15,707		15,599		8,165		(445	)		(141	)		22,555		922		—
BMO TCH Core Plus Bond Fund		141,038		136,789		69,861		(4,112	)		(637	)		203,217		4,625		126
BMO TCH Emerging Markets Bond Fund*		15,718		5,356		20,176		(452	)		(446	)		—		754		—

														225,772
Alternative Funds — 3.5%
BMO Alternative Strategies Fund		275,277		242,795		96,639		(25,614	)		(2,679	)		393,140		—		16,559

Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		78,288		4,431,268		4,402,526		7			189			107,226		1,763		—

Totals	$	3,673,932	$	7,086,908	$	5,763,835	$	196,599		$	9,819		$	5,203,423	$	48,173	$	135,828



Notes to Financial Statements (continued)


Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2050 Fund
Large-Cap Funds — 14.8%
BMO Low Volatility Equity Fund	$	1,573,932	$	541,019	$	412,634	$	149,461		$	11,031		$	1,862,809	$	27,288	$	40,329
BMO Dividend Income Fund		551,643		195,935		144,209		28,574			18,799			650,742		13,279		58,901
BMO Large-Cap Value Fund(1)		2,493,529		870,480		580,676		102,805			42,202			2,928,340		41,682		204,202
BMO Large-Cap Growth Fund(1)		1,233,372		361,409		410,025		231,014			29,962			1,445,732		1,499		64,566

														6,887,623
Mid-Cap Funds — 7.2%
BMO Mid-Cap Growth Fund(1)		1,436,717		380,792		460,440		311,478			13,686			1,682,233		—		83,089
BMO Mid-Cap Value Fund(1)		1,423,085		474,043		314,088		88,429			4,518			1,675,987		13,779		54,852

														3,358,220
Small-Cap Fund — 2.5%
BMO Small-Cap Growth Fund		994,497		380,473		409,916		175,903			29,480			1,170,437		—		99,798

International Funds — 15.2%
BMO LGM Emerging Markets Equity Fund		2,317,358		1,133,877		709,074		(4,310	)		(2,167	)		2,735,684		18,031		—
BMO Pyrford International Stock Fund(1)		2,446,437		947,324		534,474		(6,161	)		2,772			2,855,898		60,587		—
BMO Disciplined International Equity Fund		1,264,588		516,905		279,669		(34,972	)		4,509			1,471,361		26,217		—

														7,062,943
Fixed Income Funds — 2.0%
BMO High Yield Bond Fund		78,506		35,470		17,949		(1,922	)		(1,142	)		92,963		4,602		—
BMO TCH Core Plus Bond Fund		704,940		354,088		197,016		(22,551	)		(2,792	)		836,669		23,036		638
BMO TCH Emerging Markets Bond Fund*		78,564		23,673		97,663		(1,729	)		(2,845	)		—		3,838		—

														929,632
Alternative Funds — 3.5%
BMO Alternative Strategies Fund		1,375,925		649,376		259,665		(133,412	)		(5,368	)		1,626,856		—		84,202

Short-Term Investment — 1.2%
BMO Institutional Prime Money Market Fund		391,301		10,110,628		9,953,660		—			165			548,434		6,956		—

Totals	$	18,364,394	$	16,975,492	$	14,781,158	$	882,607		$	142,810		$	21,584,145	$	240,794	$	690,577


2055 Fund
Large-Cap Funds — 14.8%
BMO Low Volatility Equity Fund	$	284,902	$	212,475	$	83,089	$	35,482		$	(84	)	$	449,686	$	5,597	$	8,101
BMO Dividend Income Fund		99,854		73,516		26,795		10,175			(64	)		156,686		2,726		11,830
BMO Large-Cap Value Fund(1)		451,359		341,214		118,250		30,572			(563	)		704,332		8,629		41,013
BMO Large-Cap Growth Fund(1)		223,263		147,324		75,479		55,625			372			351,105		301		12,967

														1,661,809
Mid-Cap Funds — 7.2%
BMO Mid-Cap Growth Fund(1)		260,068		167,303		90,363		68,351			492			405,851		—		16,687
BMO Mid-Cap Value Fund(1)		257,593		194,434		68,125		20,897			(2,071	)		402,728		2,597		11,018

														808,579
Small-Cap Fund — 2.5%
BMO Small-Cap Growth Fund		180,023		142,827		82,880		43,392			1,290			284,652		—		20,044

International Funds — 15.0%
BMO LGM Emerging Markets Equity Fund		419,475		381,696		147,186		(3,203	)		(1,842	)		648,940		3,621		—
BMO Pyrford International Stock Fund(1)		442,839		362,206		114,355		87			(1,813	)		688,964		12,167		—
BMO Disciplined International Equity Fund		228,907		188,036		54,091		(8,256	)		(971	)		353,625		5,265		—

														1,691,529
Fixed Income Funds — 2.0%
BMO High Yield Bond Fund		14,211		13,831		4,980		(529	)		(106	)		22,427		960		—
BMO TCH Core Plus Bond Fund		127,602		140,234		61,043		(4,217	)		(903	)		201,673		4,824		128
BMO TCH Emerging Markets Bond Fund*		14,221		7,116		20,400		(808	)		(129	)		—		774		—

														224,100
Alternative Funds — 3.5%
BMO Alternative Strategies Fund		249,058		239,424		68,677		(25,599	)		(3,723	)		390,483		—		16,910

Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		70,830		4,194,759		4,151,724		11			107			113,983		1,687		—

Totals	$	3,324,205	$	6,806,395	$	5,167,437	$	221,980		$	(10,008	)	$	5,175,135	$	49,148	$	138,698



		BMO Funds


Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Conservative Allocation Fund
Large-Cap Funds — 6.6%
BMO Low Volatility Equity Fund	$	885,177	$	213,212	$	659,683	$	(60,297	)	$	123,957		$	502,366	$	10,145	$	14,472
BMO Dividend Income Fund		479,141		153,979		397,154		(50,922	)		87,409			272,453		7,615		32,704
BMO Large-Cap Value Fund(1)		1,601,147		552,255		1,321,644		(80,684	)		188,450			939,524		17,115		84,117
BMO Large-Cap Growth Fund(1)		1,267,061		410,472		1,103,929		4,324			181,244			759,172		989		42,586

														2,473,515
Mid-Cap Funds — 1.0%
BMO Mid-Cap Growth Fund(1)		333,847		93,013		292,549		(20,289	)		73,952			187,974		—		12,420
BMO Mid-Cap Value Fund(1)		332,243		90,398		257,648		(46,341	)		67,880			186,532		2,829		8,201

														374,506
Small-Cap Funds — 1.2%
BMO Small-Cap Growth Fund		385,069		174,123		341,092		(67,036	)		122,302			273,366		—		24,826
BMO Small-Cap Value Fund(1)		214,629		116,737		178,033		12,985			13,176			179,494		—		10,074

														452,860
International Funds — 3.4%
BMO LGM Emerging Markets Equity Fund		514,528		271,013		420,001		(52,913	)		57,874			370,501		2,558		—
BMO Pyrford International Stock Fund(1)		830,213		187,712		566,919		(87,436	)		99,655			463,225		13,087		—
BMO Disciplined International Equity Fund		846,439		256,508		671,090		(52,291	)		55,340			434,906		11,168		—

														1,268,632
Fixed Income Funds — 24.6%
BMO TCH Core Plus Bond Fund		17,850,814		2,289,867		10,530,833		(1,078,539	)		682,174			9,213,483		355,353		10,296
BMO TCH Emerging Markets Bond Fund*		1,788,501		189,002		1,920,710		(57,431	)		638			—		54,737		—

														9,213,483
Alternative Funds — 10.4%
BMO Alternative Strategies Fund		7,741,816		1,196,055		4,626,477		(648,527	)		236,204			3,899,071		—		302,031

Short-Term Investment — 0.9%
BMO Institutional Prime Money Market Fund		615,540		15,779,049		16,039,056		22			6			355,561		6,548		—

Totals	$	35,686,165	$	21,973,395	$	39,326,818	$	(2,285,375	)	$	1,990,261		$	18,037,628	$	482,144	$	541,727


Moderate Allocation Fund
Large-Cap Funds — 12.3%
BMO Low Volatility Equity Fund	$	2,664,948	$	465,651	$	1,302,106	$	85,488		$	118,021		$	2,032,002	$	41,126	$	67,799
BMO Dividend Income Fund		1,446,493		406,051		831,578		(51,160	)		136,282			1,106,088		31,041		153,252
BMO Large-Cap Value Fund(1)		4,839,198		1,472,898		2,713,848		47,495			163,474			3,809,217		70,884		394,082
BMO Large-Cap Growth Fund(1)		3,848,515		1,136,379		2,531,137		330,295			315,704			3,099,756		4,570		196,917

														10,047,063
Mid-Cap Funds — 1.9%
BMO Mid-Cap Growth Fund(1)		1,013,569		280,907		697,450		33,091			151,202			781,319		—		57,326
BMO Mid-Cap Value Fund(1)		1,003,944		217,791		513,005		(35,505	)		86,933			760,158		9,704		38,385

														1,541,477
Small-Cap Funds — 2.3%
BMO Small-Cap Growth Fund		1,158,671		661,388		878,071		21,431			163,099			1,126,518		—		113,195
BMO Small-Cap Value Fund(1)		649,128		477,416		463,097		65,177			8,887			737,511		—		46,563

														1,864,029
International Funds — 6.4%
BMO LGM Emerging Markets Equity Fund		1,542,955		909,393		939,629		(11,525	)		28,557			1,529,751		11,857		—
BMO Pyrford International Stock Fund(1)		2,464,340		500,542		1,079,659		(139,324	)		146,096			1,891,995		60,490		—
BMO Disciplined International Equity Fund		2,535,429		789,119		1,537,058		(86,306	)		72,034			1,773,218		51,993		—

														5,194,964
Fixed Income Funds — 17.7%
BMO TCH Core Plus Bond Fund		19,722,005		3,908,011		8,484,245		(663,409	)		15,610			14,497,972		542,405		17,593
BMO TCH Emerging Markets Bond Fund*		1,973,164		247,226		2,113,207		(50,495	)		(56,688	)		—		93,651		—

														14,497,972
Alternative Funds — 8.3%
BMO Alternative Strategies Fund		9,318,675		1,705,977		3,399,244		(747,659	)		(87,566	)		6,790,183		—		558,859

Short-Term Investment — 0.9%
BMO Institutional Prime Money Market Fund		1,030,079		14,566,142		14,820,474		110			32			775,889		15,173		—

Totals	$	55,211,113	$	27,744,891	$	42,303,808	$	(1,202,296	)	$	1,261,677		$	40,711,577	$	932,894	$	1,643,971



Notes to Financial Statements (continued)


Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Balanced Allocation Fund
Large-Cap Funds — 17.8%
BMO Low Volatility Equity Fund	$	13,326,064	$	1,853,768	$	3,885,888	$	967,945		$	192,049		$	12,453,938	$	210,608	$	345,993
BMO Dividend Income Fund		7,213,194		1,640,635		2,606,678		143,592			347,591			6,738,334		158,454		779,680
BMO Large-Cap Value Fund(1)		24,067,367		6,331,210		8,311,058		766,953			473,315			23,327,787		364,859		2,010,095
BMO Large-Cap Growth Fund(1)		19,073,398		4,451,466		8,131,156		2,618,221			923,051			18,934,980		23,291		1,003,616

														61,455,039
Mid-Cap Funds — 2.7%
BMO Mid-Cap Growth Fund(1)		5,025,977		884,435		2,167,594		489,361			508,040			4,740,219		—		292,344
BMO Mid-Cap Value Fund(1)		5,001,760		4,907,955		5,548,860		65,219			227,109			4,653,183		48,350		195,916

														9,393,402
Small-Cap Funds — 3.3%
BMO Small-Cap Growth Fund		5,759,143		3,235,980		3,245,760		231,186			818,025			6,798,574		—		581,143
BMO Small-Cap Value Fund(1)		3,231,150		2,388,643		1,548,203		381,721			18,600			4,471,911		—		240,193

														11,270,485
International Funds — 9.1%
BMO LGM Emerging Markets Equity Fund		7,746,000		4,584,053		3,121,893		(46,453	)		55,360			9,217,067		61,167		—
BMO Pyrford International Stock Fund(1)		12,462,254		2,272,876		3,182,475		(309,470	)		327,877			11,571,062		310,932		—
BMO Disciplined International Equity Fund		12,780,966		3,928,220		5,636,663		(285,873	)		91,471			10,878,121		266,502		—

														31,666,250
Fixed Income Funds — 10.9%
BMO TCH Core Plus Bond Fund		40,584,040		10,312,135		11,896,483		(1,330,718	)		(3,937	)		37,665,037		1,180,231		37,053
BMO TCH Emerging Markets Bond Fund*		4,062,873		545,624		4,381,098		(109,223	)		(118,176	)		—		197,546		—

														37,665,037
Alternative Funds — 6.9%
BMO Alternative Strategies Fund		25,900,196		6,070,301		5,575,319		(2,297,190	)		(139,438	)		23,958,550		—		1,595,568

Short-Term Investment — 0.9%
BMO Institutional Prime Money Market Fund		3,074,917		55,202,099		55,227,087		542			(740	)		3,049,731		54,089		—

Totals	$	189,309,299	$	108,609,400	$	124,466,215	$	1,285,813		$	3,720,197		$	178,458,494	$	2,876,029	$	7,081,601


Growth Allocation Fund
Large-Cap Funds — 23.5%
BMO Low Volatility Equity Fund	$	6,167,311	$	1,257,757	$	2,095,215	$	472,724		$	52,797		$	5,855,374	$	100,175	$	165,542
BMO Dividend Income Fund		3,345,242		857,862		1,247,590		79,734			137,584			3,172,832		75,597		374,086
BMO Large-Cap Value Fund(1)		11,205,176		3,020,047		3,825,508		404,023			117,977			10,921,715		173,859		961,084
BMO Large-Cap Growth Fund(1)		8,886,380		2,150,642		3,870,919		1,247,660			399,148			8,812,911		11,304		487,097

														28,762,832
Mid-Cap Funds — 3.6%
BMO Mid-Cap Growth Fund(1)		2,345,710		440,871		1,046,975		253,532			209,784			2,202,922		—		142,054
BMO Mid-Cap Value Fund(1)		2,323,392		427,937		691,827		57,998			68,518			2,186,018		22,730		93,806

														4,388,940
Small-Cap Funds — 4.3%
BMO Small-Cap Growth Fund		2,688,854		1,540,684		1,525,182		241,434			238,356			3,184,146		—		282,588
BMO Small-Cap Value Fund(1)		1,501,140		1,187,015		761,930		178,654			3,484			2,108,363		—		115,222

														5,292,509
International Funds — 12.0%
BMO LGM Emerging Markets Equity Fund		3,590,962		2,350,881		1,608,749		(5,344	)		11,523			4,339,273		29,258		—
BMO Pyrford International Stock Fund(1)		5,759,429		1,259,776		1,631,413		(56,699	)		53,391			5,384,484		149,359		—
BMO Disciplined International Equity Fund		5,896,903		1,725,937		2,472,673		(128,990	)		34,361			5,055,538		128,022		—

														14,779,295
Fixed Income Funds — 4.0%
BMO TCH Core Plus Bond Fund		5,332,581		2,139,774		2,426,358		(158,793	)		(29,288	)		4,857,916		160,150		5,056
BMO TCH Emerging Markets Bond Fund*		538,729		137,510		644,549		(17,204	)		(14,486	)		—		27,274		—

														4,857,916
Alternative Funds — 5.6%
BMO Alternative Strategies Fund		7,188,515		2,637,224		2,240,285		(632,393	)		(83,422	)		6,869,639		—		460,639

Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		1,222,859		25,443,096		25,512,347		—			219			1,153,827		19,138		—

Totals	$	67,993,183	$	46,577,013	$	51,601,520	$	1,936,336		$	1,199,946		$	66,104,958	$	896,866	$	3,087,174



		BMO Funds


Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)		Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Aggressive Allocation Fund
Large-Cap Funds — 27.7%
BMO Low Volatility Equity Fund	$	10,098,441	$	2,201,088	$	3,074,968	$	835,703		$	92,338	$	10,152,602	$	168,012	$	271,895
BMO Dividend Income Fund		5,526,761		1,271,604		1,699,759		218,401			168,215		5,485,222		126,564		613,928
BMO Large-Cap Value Fund(1)		18,461,681		4,691,144		5,242,581		706,880			246,424		18,863,548		288,066		1,578,146
BMO Large-Cap Growth Fund(1)		14,572,342		3,171,681		5,266,874		2,273,155			537,551		15,287,855		18,560		799,749

													49,789,227
Mid-Cap Funds — 4.2%
BMO Mid-Cap Growth Fund(1)		3,858,204		585,449		1,412,097		453,956			336,846		3,822,358		—		233,066
BMO Mid-Cap Value Fund(1)		3,838,366		704,271		976,128		140,339			86,199		3,793,047		37,226		153,895

													7,615,405
Small-Cap Funds — 5.1%
BMO Small-Cap Growth Fund		4,435,179		2,500,471		2,249,637		330,738			508,619		5,525,370		—		464,181
BMO Small-Cap Value Fund(1)		2,499,768		2,019,931		1,179,885		305,416			12,691		3,657,921		—		189,729

													9,183,291
International Funds — 14.3%
BMO LGM Emerging Markets Equity Fund		5,908,535		3,967,008		2,361,292		(25,499	)		6,053		7,494,805		48,127		—
BMO Pyrford International Stock Fund(1)		9,480,721		2,446,010		2,563,876		(57,022	)		51,267		9,357,100		245,325		—
BMO Disciplined International Equity Fund		9,752,897		2,232,571		2,938,299		(212,920	)		45,773		8,880,022		210,608		—

													25,731,927
Alternative Funds — 0.5%
BMO Alternative Strategies Fund		2,485,944		498,423		1,912,961		(182,804	)		7,795		896,397		—		155,997

Short-Term Investment — 0.9%
BMO Institutional Prime Money Market Fund		444,956		27,595,785		26,440,248		130			307		1,600,930		26,321		—

Totals	$	91,363,795	$	53,885,436	$	57,318,605	$	4,786,473		$	2,100,078	$	94,817,177	$	1,168,809	$	4,460,586

*	Reflects operations for the period from September 1, 2017, to February 22, 2018 (termination date).

(1)	Effective February 26, 2018, certain underlying affiliated issuers’ Institutional Class of shares were exchanged for Retirement Class R-6 shares.

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, 2018.

Funds utilizing the Interfund lending program, borrowing from the BMO Government Money Market Fund during the year ended August 31, 2018, were as follows:


Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
In-Retirement Fund	$	4,257		1.864	%
2015 Fund		3,353		2.591
2020 Fund		4,391		1.777
2025 Fund		1,647		1.492
2030 Fund		6,549		1.473
2035 Fund		3,603		2.379
2040 Fund		3,287		1.402
2045 Fund		2,590		1.546
2050 Fund		3,851		1.476
2055 Fund		1,357		1.321
Conservative Allocation Fund		12,398		2.318
Moderate Allocation Fund		46,695		1.585
Balanced Allocation Fund		45,141		1.585
Growth Allocation Fund		34,480		1.596
Aggressive Allocation Fund		6,195		1.585



Notes to Financial Statements (continued)

Line of Credit

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, 2018 were as follows:


	Other than U.S Government Securities				U.S Government Securities
Fund	Purchases		Sales		Purchases		Sales
In-Retirement Fund	$	5,091,114	$	6,249,753	$	—	$	—
2015 Fund		1,346,519		2,445,939		—		—
2020 Fund		23,664,551		30,040,765		—		—
2025 Fund		11,885,433		7,825,403		—		—
2030 Fund		33,025,469		31,321,713		—		—
2035 Fund		5,932,878		4,336,560		—		—
2040 Fund		20,008,676		16,401,941		—		—
2045 Fund		5,815,585		3,076,249		—		—
2050 Fund		15,043,950		11,471,062		—		—
2055 Fund		5,695,607		2,343,659		—		—
Conservative Allocation Fund		14,203,887		49,637,232		—		—
Moderate Allocation Fund		31,349,476		60,111,487		—		—
Balanced Allocation Fund		103,469,544		141,851,903		—		—
Growth Allocation Fund		41,147,991		54,603,542		—		—
Aggressive Allocation Fund		48,906,602		59,703,046		—		—

Federal Tax Information

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, 2018. 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.


Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation for Federal Tax Purposes
In-Retirement Fund	$	12,037,037	$	1,964,250	$	(141,555	)	$	1,822,695
2015 Fund		2,667,640		171,401		(24,977	)		146,424
2020 Fund		58,141,085		19,343,508		(575,635	)		18,767,873
2025 Fund		23,924,657		2,706,267		(127,783	)		2,578,484



		BMO Funds


Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation for Federal Tax Purposes
2030 Fund	$	70,860,011	$	29,142,377	$	(420,407	)	$	28,721,970
2035 Fund		13,427,889		2,125,058		(36,323	)		2,088,735
2040 Fund		40,371,131		19,805,207		(142,779	)		19,662,428
2045 Fund		9,940,531		1,328,710		(18,281	)		1,310,429
2050 Fund		33,247,464		13,353,426		(100,810	)		13,252,616
2055 Fund		9,856,409		1,343,561		(19,869	)		1,323,692
Conservative Allocation Fund		32,489,610		5,124,021		(313,793	)		4,810,228
Moderate Allocation Fund		66,515,236		15,689,859		(548,262	)		15,141,597
Balanced Allocation Fund		252,780,274		94,009,445		(1,736,966	)		92,272,479
Growth Allocation Fund		82,629,711		40,599,872		(287,108	)		40,312,764
Aggressive Allocation Fund		107,651,907		71,977,328		(25,410	)		71,951,918

The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales.

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


	2018				2017
Fund	Ordinary Income (1)		Long-Term Capital Gains		Ordinary Income (1)		Long-Term Capital Gains
In-Retirement Fund	$	376,688	$	866,237	$	511,590	$	925,260
2015 Fund		90,954		5,618		104,541		—
2020 Fund		1,892,064		3,647,079		1,860,077		4,010,380
2025 Fund		553,263		165,945		619,664		574,669
2030 Fund		2,051,535		3,045,885		1,684,830		3,794,697
2035 Fund		414,773		441,198		534,601		940,910
2040 Fund		1,240,302		3,898,660		997,987		2,711,921
2045 Fund		244,424		255,789		271,179		595,869
2050 Fund		990,070		912,623		641,782		1,777,285
2055 Fund		208,481		72,529		122,469		264,738
Conservative Allocation Fund		2,519,961		4,479,258		3,938,319		—
Moderate Allocation Fund		2,959,918		4,208,363		3,317,223		1,671,078
Balanced Allocation Fund		10,019,454		26,938,699		8,980,113		21,697,731
Growth Allocation Fund		3,864,557		5,945,893		2,008,915		5,863,115
Aggressive Allocation Fund		5,593,851		17,406,814		2,739,308		16,714,385

(1)

For tax purposes, short-term capital gain distributions are considered ordinary income.

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


Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses		Other Adjustments		Unrealized Appreciation
In-Retirement Fund	$	230,035	$	359,948	$	—	$	—	$	1,822,695
2015 Fund		36,599		118,380		—		—		146,424
2020 Fund		913,852		3,223,437		—		—		18,767,873
2025 Fund		245,668		515,698		—		—		2,578,484
2030 Fund		943,939		2,954,037		—		—		28,721,970
2035 Fund		102,242		390,860		—		—		2,088,735
2040 Fund		461,950		1,599,024		—		—		19,662,428
2045 Fund		54,094		223,191		—		—		1,310,429
2050 Fund		277,954		1,196,823		—		—		13,252,616
2055 Fund		57,937		233,456		—		—		1,323,692
Conservative Allocation Fund		664,011		4,298,103		—		—		4,810,228
Moderate Allocation Fund		1,343,466		5,726,540		—		—		15,141,597
Balanced Allocation Fund		3,731,776		19,819,254		—		—		92,272,479
Growth Allocation Fund		1,008,149		7,982,233		—		—		40,312,764
Aggressive Allocation Fund		1,493,936		13,426,591		—		—		71,951,918



Notes to Financial Statements (continued)

9. Shareholder

Tax Information (unaudited)


In-Retirement Fund	7.46	%
2015 Fund	14.56
2020 Fund	20.97
2025 Fund	22.17
2030 Fund	26.85
2035 Fund	26.72
2040 Fund	30.68
2045 Fund	28.09


2050 Fund	31.62	%
2055 Fund	29.49
Conservative Allocation Fund	5.10
Moderate Allocation Fund	11.52
Balanced Allocation Fund	17.31
Growth Allocation Fund	24.61
Aggressive Allocation Fund	29.87


In-Retirement Fund	18.56	%
2015 Fund	29.33
2020 Fund	38.85
2025 Fund	41.47
2030 Fund	48.96
2035 Fund	51.51
2040 Fund	55.24
2045 Fund	52.74


2050 Fund	55.89	%
2055 Fund	52.65
Conservative Allocation Fund	9.63
Moderate Allocation Fund	21.22
Balanced Allocation Fund	33.13
Growth Allocation Fund	45.60
Aggressive Allocation Fund	54.64

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 2018:


In-Retirement Fund	$	866,237
2015 Fund		5,618
2020 Fund		3,647,079
2025 Fund		165,945
2030 Fund		3,045,885
2035 Fund		441,198
2040 Fund		3,898,660
2045 Fund		255,789


2050 Fund	$	912,623
2055 Fund		72,529
Conservative Allocation Fund		4,479,258
Moderate Allocation Fund		4,208,363
Balanced Allocation Fund		26,938,699
Growth Allocation Fund		5,945,893
Aggressive Allocation Fund		17,406,814

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 2018:


In-Retirement Fund	$	21,755
2015 Fund		—
2020 Fund		182,203
2025 Fund		77,688
2030 Fund		291,882
2035 Fund		124,948
2040 Fund		212,555
2045 Fund		84,327


2050 Fund	$	216,240
2055 Fund		54,660
Conservative Allocation Fund		637,361
Moderate Allocation Fund		606,763
Balanced Allocation Fund		2,663,462
Growth Allocation Fund		1,243,186
Aggressive Allocation Fund		1,966,834

10.

Recently Issued Accounting Pronouncements

11.

Subsequent Events



Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of BMO Funds, Inc.:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of BMO In-Retirement 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, BMO Aggressive Allocation Fund (each a series of BMO Funds, Inc., collectively referred to as the Funds), including the schedules of investments as of August 31, 2018, 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, and the related notes to financial statements (collectively, the financial statements), and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of August 31, 2018, the results of their operations for the year then ended, the changes in their net assets for each of the years 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, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of August 31, 2018 by correspondence with custodian and transfer agents or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the auditor of one or more BMO Funds, Inc. investment companies since 2011.

Columbus, Ohio

October 26, 2018



Directors and Officers of the Funds (Unaudited)


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

Ridge A. Braunschweig Age: 65	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.	43	None

Benjamin M. Cutler Age: 73	Independent Director	Since July 2004	Chairman, USHEALTH Group, Inc. (a health insurance company), since 2004; CEO and President, USHEALTH Group, Inc., from 2004 to 2016; Director, Freedom from Hunger (a non-profit organization), since 2016.	43	None

John A. Lubs Age: 70	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.	43	None

Vincent P. Lyles Age: 57	Independent Director	Since September 2017	President and Chief Executive Officer, Boys & Girls Clubs of Greater Milwaukee, since 2012.	43	None

James Mitchell Age: 71	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.	43	None

Barbara J. Pope Age: 70	Independent Director	Since March 1999	Retired; formerly, President of Barbara J. Pope, P.C. (a financial consulting firm), 1992-2015; President of Sedgwick Street Fund LLC (a private investment partnership), 1996-2015; Tax Partner, Price Waterhouse	43	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 75^th birthday.



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: 61	Director and President	Since May 1999	Managing Director of the Adviser, since June 2012.	43	None

Daniela O’Leary-Gill** Age: 53	Director	Since August 2018	Chief Operating Officer of BMO Financial Group, since February 1, 2018; Director of the Adviser since June 1, 2018; Head, Communications, Government & Investor Relations 2016-2018; Head, AML Program Oversight 2014-2016; SVP, Personal Banking & Chief CRA Officer 2011-2014.	43	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 75^th 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. Ms. O’Leary-Gill is an “interested person” of the Corporation due to the positions that she 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

Brett Black Age: 46	Chief Compliance Officer and Anti-Money Laundering Compliance Officer	Elected by the Board annually; since November 2017	Vice President and Chief Compliance Officer of BMO Harris Bank, since 2017; Assistant Vice President, Deputy Chief Compliance Officer, from 2014 to 2017; Senior Compliance Officer of BMO Harris Bank, from 2012 to 2014.

Timothy M. Bonin Age: 45	Vice President, Chief Financial Officer and Treasurer	Elected by the Board annually; since February 2006	Vice President of the Adviser, since February 2006.

Michael J. Murphy Age: 39	Secretary	Elected by the Board annually; since May 2016	Senior Counsel and Vice President of BMO Harris Bank N.A., since 2014; Associate, Vedder Price P.C., 2010 to 2014.



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

Approval of Continuation of Advisory Agreements

At Board meetings held on July 11, 2018 (“July Meeting”) and August 7-8, 2018 (“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 Board requested and received a wide variety of information and reports concerning the Adviser (and 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 as compared to a group of comparable funds; (3) the expense ratios of each Fund as compared to a group of comparable funds; (4) profitability information for 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.

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 was considered at the same Board meeting, the Board 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 each Fund by the Adviser are expected to be satisfactory.

Review of Fund Performance



		BMO Funds

compared to its peer group in two out of the three periods reviewed, except for the following Funds: BMO In-Retirement Fund, BMO Target Retirement 2015 Fund, BMO Target Retirement 2045 Fund, BMO Target Retirement 2055 Fund, and each of the BMO Target Risk Funds. The Board took into consideration that each Fund has a limited performance history.

With respect to the BMO In-Retirement Fund, BMO Target Retirement 2015 Fund, BMO Target Retirement 2045 Fund and BMO Target Retirement 2055 Fund, the Board noted that the BMO In-Retirement Fund ranked in the third or fourth quartile for performance as compared to its peer group for the year-to-date, one-year and three-year periods, and each of the other Funds ranked in the second or third quartile for each period presented. The Board noted the Adviser’s explanation for the underperformance of the Funds over applicable periods.

With respect to the BMO Target Risk Funds, the Board considered that each of the Funds ranked in the third or fourth quartile for performance as compared to its peer group for the year-to-date, one-year and three-year periods. The Board took into consideration that certain classes of each Fund are rated three stars by Morningstar and also noted portfolio management changes to the Funds in 2017. The Board also considered the Adviser’s explanation for the recent underperformance of the Funds.

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

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 the comparable Lipper peer group (“Lipper peers”). The Board considered that each Target Date Fund’s net expense ratio was equal to or higher than the median of its Lipper peers and that, with the exception of certain Class Y shares, each Target Risk Fund’s net expense ratio was lower than or within a basis point of the median of its Lipper peers. The Board considered that the net expense ratios included the fees and expenses of the underlying funds in which the Funds invest. The Board also gave consideration to the fact that the Funds were still relatively new and, with the exception of the BMO Balanced Fund, relatively small in size and, therefore, economies of scale with respect to other expenses may not have been realized.

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.

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 do not pay 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.



NOTES

Proxy Voting

Disclosure of Portfolio Holdings

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.

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 2018 and 2017 were as follows:

(a)	Audit Fees for Registrant.


Fiscal year ended August 31, 2018	$	631,150
Fiscal year ended August 31, 2017	$	650,555

(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 that are not reported under “Audit Fees”. These fees include amounts related to Form N-17f-2 filings.


Fiscal year ended August 31, 2018	$	16,500
Fiscal year ended August 31, 2017	$	76,755

(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. These fees include federal, excise and state tax reviews; performed by KPMG LLP.


Fiscal year ended August 31, 2018	$	169,840
Fiscal year ended August 31, 2017	$	170,210

(d)	All Other Fees.


Fiscal year ended August 31, 2018			None
Fiscal year ended August 31, 2017			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)

None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) 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, 2018	$	220,000
Fiscal year ended August 31, 2017	$	220,000

(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


*Description*	Shares or Principal Amount		*Value*

Municipals — 97.3%

Alabama — 7.1%
Albertville Municipal Utilities Board - Water System, AGM:
2.000%, 8/15/2019	$	735,000	$	735,610
2.000%, 8/15/2020		355,000		355,000
Black Belt Energy Gas District, 2.295%, 12/1/2048, Call 9/1/2023 (7)		4,500,000		4,500,000
Chatom Industrial Development Board, 1.650%, 8/1/2037, Call 2/1/2019 (7)		4,800,000		4,797,456
City of Brundidge Utility Revenue, AGM, 2.000%, 12/1/2018		385,000		385,185
County of Jefferson, 5.000%, 9/15/2019		1,000,000		1,034,200
Eutaw Industrial Development Board, 1.600%, 6/1/2028, Call 9/19/2018 (7)		300,000		300,000
Health Care Authority for Baptist Health, 2.130%, 11/1/2042 (7)		11,125,000		11,125,000
Industrial Development Board of the City of Mobile, 1.550%, 6/1/2034, Call 9/19/2018 (7)		1,500,000		1,500,000
Limestone County Water & Sewer Authority, BAM, 2.000%, 12/1/2019		160,000		160,389
Southeast Alabama Gas Supply District, 2.282%, 4/1/2049, Call 1/1/2024 (7)		5,000,000		4,995,900
Tender Option Bond Trust Receipts/Certificates:
1.660%, 5/1/2026 (5) (7)		3,000,000		3,000,000
1.660%, 7/1/2026 (5) (7)		4,500,000		4,500,000
1.710%, 10/5/2020 (5) (7)		5,000,000		5,000,000

				42,388,740

Arizona — 0.7%
Arizona Health Facilities Authority:
3.410%, 2/1/2048, Call 8/9/2019 (7)		3,250,000		3,289,422
3.410%, 2/1/2048, Call 8/9/2019 (7)		750,000		759,098

				4,048,520

Arkansas — 2.2%
Arkansas Development Finance Authority:
2.110%, 9/1/2044, Call 9/4/2018 (7)		7,000,000		7,000,000
2.660%, 9/1/2044, Call 3/1/2019 (7)		3,000,000		3,006,360
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		195,000		194,536
Little Rock School District, SAW, 3.000%, 2/1/2019		3,000,000		3,016,380

				13,217,276

California — 3.1%
Bay Area Toll Authority:
1.875%, 4/1/2047, Call 10/1/2018 (7)		525,000		525,179
2.660%, 4/1/2045, Call 10/1/2023 (7)		1,750,000		1,807,155
California Health Facilities Financing Authority, NATL-RE, 2.756%, 7/1/2022, Call 9/19/2018 (7) (8)		500,000		486,025
California Municipal Finance Authority, 1.650%, 9/1/2021 (7)		1,500,000		1,499,895
Northern California Gas Authority No. 1, 2.196%, 7/1/2019 (7)		3,935,000		3,936,023
Palomar Health:
4.000%, 11/1/2018		125,000		125,321
4.000%, 11/1/2019		505,000		513,969
Rib Floater Trust Various States, 1.710%, 8/15/2051 (5) (7)		3,000,000		3,000,000
State of California:
1.850%, 12/1/2028, Call 12/1/2019 (7)		750,000		750,720
2.287%, 12/1/2029, Call 10/1/2018 (7)		950,000		950,380
Tender Option Bond Trust Receipts/Certificates, 1.710%, 8/1/2024 (5) (7)		4,760,000		4,760,000

				18,354,667

Colorado — 1.6%
City & County of Denver Airport System Revenue, AGC, 1.900%, 11/15/2025, Call 9/19/2018 (7) (8)		525,000		525,000
Colorado Health Facilities Authority:


2.200%, 7/1/2034, Call 7/1/2019 (5) (7)	4,300,000	4,300,000
5.000%, 6/1/2019	450,000	459,135
Colorado School of Mines, 1.895%, 2/1/2023, Call 8/1/2022 (7)	1,200,000	1,199,700
E-470 Public Highway Authority, 2.291%, 9/1/2039, Call 3/1/2019 (7)	3,445,000	3,453,888

		9,937,723
Connecticut — 0.1%
Connecticut State Health & Educational Facilities Authority, 5.000%, 7/1/2020	400,000	422,464

District of Columbia — 0.5%
District of Columbia Housing Finance Agency, AGM, 5.000%, 7/1/2021, Call 10/1/2018	360,000	360,846
Washington Convention & Sports Authority, 5.000%, 10/1/2020	2,500,000	2,658,300

		3,019,146
Florida — 6.0%
Citizens Property Insurance Corp.:
5.000%, 6/1/2019	2,640,000	2,701,274
5.000%, 6/1/2020	3,870,000	4,079,599
City of Cape Coral Water & Sewer Revenue, AGM, 1.400%, 9/1/2018	645,000	645,000
City of Jacksonville, 1.590%, 5/1/2029, Call 9/19/2018 (7)	2,100,000	2,100,000
City of Orlando, AGM:
3.000%, 11/1/2019	850,000	861,994
4.000%, 11/1/2018	650,000	652,360
County of Escambia, 1.550%, 4/1/2039, Call 9/19/2018 (7)	1,000,000	1,000,000
County of Martin, 1.540%, 7/15/2022, Call 9/19/2018 (7)	1,900,000	1,900,000
Escambia County Health Facilities Authority, AGC, 1.650%, 11/15/2029, Call 9/4/2018 (7)	3,080,000	3,080,000
Florida Municipal Power Agency, AMBAC:
2.730%, 10/1/2021 (7) (8)	325,000	325,000
2.765%, 10/1/2021, Call 9/6/2018 (7) (8)	250,000	250,000
JEA Electric System Revenue, 5.000%, 10/1/2018	600,000	601,446
Manatee County School District, AGM, 4.000%, 10/1/2018	670,000	671,139
North Broward Hospital District:
5.000%, 1/1/2019	630,000	635,790
5.000%, 1/1/2020	875,000	907,077
Palm Beach County School District, 5.000%, 8/1/2019	1,600,000	1,647,664
RBC Municipal Products, Inc. Trust, 1.760%, 3/1/2026 (5) (7)	5,000,000	5,000,000
Sarasota County Health Facilities Authority, 4.000%, 1/1/2019	500,000	502,870

School Board of Miami-Dade County, FGIC, 1.790%, 5/1/2037, Call 9/1/2018 (5) (7)	8,000,000	8,000,000
Sumter County Industrial Development Authority, 4.000%, 7/1/2019	620,000	630,918

		36,192,131
Georgia — 4.0%
Atkinson/Coffee Counties Joint Development Authority, 1.650%, 12/1/2019, Call 6/1/2019	3,000,000	2,987,760
City of Atlanta Water & Wastewater Revenue, 2.891%, 11/1/2038, Call 10/1/2018 (7)	2,750,000	2,751,815
Georgia State Road & Tollway Authority, 5.000%, 6/1/2019	1,750,000	1,792,962
Main Street Natural Gas, Inc.:
2.130%, 8/1/2048, Call 9/1/2023 (7)	5,000,000	4,992,400
2.225%, 8/1/2048, Call 9/1/2023 (7)	5,000,000	4,982,500
Morgan County Hospital Authority, 2.750%, 9/1/2019, Call 3/1/2019	3,750,000	3,760,200
Peach County Development Authority, 1.200%, 10/1/2018, Call 9/21/2018	1,000,000	999,590
Waleska Downtown Development Authority, 2.000%, 8/1/2019, Call 2/1/2019	1,690,000	1,687,871

		23,955,098
Guam — 0.0%
Territory of Guam, 5.000%, 12/1/2018	250,000	251,743

Hawaii — 0.5%
City & County of Honolulu, 1.860%, 9/1/2023, Call 9/17/2018 (7)	2,800,000	2,797,060

Idaho — 0.7%
Idaho Housing & Finance Association, 1.740%, 1/1/2038, Call 9/4/2018 (7)	4,015,000	4,015,000

Illinois — 6.9%
City of Chicago Waterworks Revenue:
5.000%, 11/1/2018	1,000,000	1,005,070


5.000%, 11/1/2018	1,155,000	1,160,856
5.000%, 11/1/2019	250,000	258,518
City of Chicago Waterworks Revenue, AGM, 4.250%, 11/1/2018	150,000	150,539
Cook County School District No. 130 Blue Island, 2.350%, 12/1/2028, Call 9/10/2018 (5) (7) (9)	3,750,000	3,750,000
County of Cook, 5.000%, 11/15/2018	1,300,000	1,308,255
County of Peoria, 1.760%, 12/15/2018 (5) (7)	3,250,000	3,250,000
Illinois Educational Facilities Authority, 1.800%, 7/1/2036 (7)	2,000,000	1,998,580
Illinois Finance Authority:
3.000%, 12/1/2018	125,000	125,200
3.000%, 12/1/2019	200,000	201,110
4.000%, 11/15/2018	200,000	200,848
5.000%, 11/15/2018	350,000	352,117
5.000%, 11/15/2019	605,000	626,520
5.000%, 11/15/2019	250,000	259,072
Illinois State University, 5.000%, 4/1/2020	200,000	206,968
Kankakee River Metropolitan Agency, AGM, 3.000%, 5/1/2019	300,000	301,392
Lake County Forest Preserve District, 2.048%, 12/15/2020 (7)	370,000	370,240
Northern Illinois Municipal Power Agency, 5.000%, 12/1/2018	500,000	503,620
Ogle Lee & De Kalb Counties Township High School District No. 212 Rochelle, 4.000%, 12/1/2018	925,000	930,134
Rib Floater Trust Various States, 1.740%, 8/15/2030, Call 10/1/2018 (5) (7)	5,000,000	5,000,000
State of Illinois:
5.000%, 10/1/2021 (9)	1,500,000	1,577,925
5.000%, 2/1/2022	6,040,000	6,346,107
Tender Option Bond Trust Receipts/Certificates:
1.710%, 6/15/2020 (5) (7)	2,000,000	2,000,000
1.710%, 6/15/2031, Call 6/15/2026 (5) (7)	4,355,000	4,355,000
1.710%, 1/1/2035, Call 1/1/2026 (5) (7)	2,605,000	2,605,000
Town of Normal, 4.000%, 6/1/2019	230,000	233,896
Village of Bolingbrook:
4.000%, 3/1/2019	1,700,000	1,716,626
4.000%, 3/1/2020	345,000	354,608
Village of Rantoul, AGM, 2.000%, 1/1/2019	150,000	149,996

		41,298,197
Indiana — 2.4%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.780%, 7/1/2047, Call 9/19/2018 (7)	6,000,000	6,000,000
Tender Option Bond Trust Receipts/Certificates, 1.830%, 10/15/2019 (5) (7)	8,500,000	8,500,000

		14,500,000
Iowa — 1.5%
Iowa Finance Authority, 2.135%, 2/15/2035 (5) (7)	3,700,000	3,700,037
Iowa Finance Authority, GNMA/FNMA/FHLMC, 1.860%, 7/1/2047, Call 11/2/2020 (7)	1,500,000	1,502,940
Iowa Higher Education Loan Authority, 2.000%, 12/1/2018, Call 10/1/2018	3,500,000	3,500,105

People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 10/1/2018	405,000	404,154
Xenia Rural Water District, 2.000%, 12/1/2018	225,000	225,101

		9,332,337
Kansas — 0.1%
State of Kansas Department of Transportation, 1.757%, 9/1/2021 (7)	400,000	400,348

Kentucky — 1.8%
Kentucky Rural Water Finance Corp., 3.000%, 11/1/2018	3,000,000	3,006,210
Kentucky State Property & Building Commission, NATL-RE, 5.000%, 8/1/2019	2,500,000	2,569,450
Laurel County Judicial Center Public Properties Corp., 4.000%, 3/1/2020	530,000	545,948
Louisville/Jefferson County Metropolitan Government:
1.250%, 6/1/2033 (7)	1,000,000	994,990
1.250%, 6/1/2033 (7)	1,000,000	994,990
Northern Kentucky Water Service District, 3.000%, 4/1/2019, Call 10/1/2018	2,500,000	2,501,550

		10,613,138
Louisiana — 1.9%
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	410,000	390,312
Louisiana Public Facilities Authority:


1.780%, 7/1/2021, Call 9/6/2018 (7)	885,000	885,000
2.210%, 9/1/2057, Call 3/1/2023 (7)	5,000,000	5,002,100
4.000%, 5/15/2019	225,000	228,224
Parish of St. James, 1.730%, 11/1/2040, Call 9/19/2018 (7)	5,000,000	5,000,000

		11,505,636
Maine — 0.0%
City of Portland General Airport Revenue, 5.000%, 1/1/2019	305,000	308,132

Maryland — 1.4%
City of Baltimore:
3.000%, 9/1/2018	250,000	250,000
4.000%, 9/1/2019	350,000	356,853
Maryland Industrial Development Financing Authority, 1.720%, 3/1/2030, Call 9/19/2018 (7)	5,000,000	5,000,000
RBC Municipal Products, Inc. Trust, 1.760%, 1/1/2025 (5) (7)	3,000,000	3,000,000

		8,606,853
Massachusetts — 0.2%
Commonwealth of Massachusetts, 2.030%, 11/1/2018, Call 10/1/2018 (7)	750,000	750,030
Massachusetts Development Finance Agency, 2.040%, 7/1/2050, Call 8/1/2019 (7)	500,000	500,670

		1,250,700
Michigan — 1.1%
Boyne City Public School District, 1.500%, 5/1/2019	1,265,000	1,262,356
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 10/1/2018	100,000	100,305
Michigan Finance Authority:
1.930%, 12/1/2039, Call 6/1/2020 (7)	200,000	200,840
5.000%, 11/15/2018	500,000	503,085
5.000%, 11/15/2019	400,000	414,516
Michigan State Hospital Finance Authority, 1.500%, 11/1/2027 (7)	850,000	842,418
Taylor Tax Increment Finance Authority, AGM:
4.000%, 5/1/2020, Call 10/1/2018	785,000	786,248
4.000%, 5/1/2021, Call 10/1/2018	600,000	600,918
Tender Option Bond Trust Receipts/Certificates, Q-SBLF, 1.660%, 5/1/2026 (5) (7)	2,000,000	2,000,000
White Cloud Public Schools, Q-SBLF, 4.000%, 5/1/2019	175,000	177,484

		6,888,170
Minnesota — 0.5%
Housing & Redevelopment Authority of the City of St. Paul:
2.000%, 11/15/2018	805,000	805,547
3.000%, 11/15/2019	600,000	608,748
Minnesota Rural Water Finance Authority, Inc., 1.050%, 3/1/2019	1,350,000	1,343,291

		2,757,586
Mississippi — 1.2%
Mississippi Business Finance Corp., 1.560%, 12/1/2030, Call 9/4/2018 (7)	700,000	700,000
Mississippi Development Bank, 2.500%, 1/1/2020	4,600,000	4,635,788
Mississippi Hospital Equipment & Facilities Authority, 2.125%, 9/1/2022 (7)	925,000	924,473
Southwest Mississippi Regional Medical Center, 2.100%, 6/1/2019, Call 12/1/2018	1,000,000	998,540

		7,258,801
Missouri — 1.4%
Cape Girardeau County Industrial Development Authority, 5.000%, 3/1/2019	220,000	222,924
City of St. Louis, 3.000%, 5/30/2019	5,000,000	5,036,400
Missouri Housing Development Commission, GNMA/FNMA/FHLMC, 4.700%, 3/1/2035, Call 9/1/2019	200,000	203,660
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 2.538%, 12/1/2022, Call 9/19/2018 (7) (8)	1,750,000	1,750,000
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018	1,000,000	1,000,000

		8,212,984
Nevada — 0.1%
City of Carson City, 5.000%, 9/1/2019	345,000	354,877

New Jersey — 7.2%
City of Union City, SAW, 4.000%, 11/1/2019	1,000,000	1,020,520
Lyndhurst Township School District, School Bond Gty, 2.750%, 9/14/2018	5,500,000	5,501,485
New Jersey Economic Development Authority:


1.850%, 11/1/2040, Call 9/19/2018 (7)	4,600,000	4,600,000
1.850%, 11/1/2040, Call 9/19/2018 (7)	5,665,000	5,665,000
1.910%, 11/1/2031, Call 9/19/2018 (7)	4,995,000	4,995,000
New Jersey Health Care Facilities Financing Authority:
1.840%, 7/1/2028, Call 9/5/2018 (7)	300,000	300,000
1.850%, 7/1/2038, Call 9/19/2018 (7)	3,175,000	3,175,000
New Jersey Transportation Trust Fund Authority:
2.560%, 6/15/2034, Call 6/15/2019 (7)	5,000,000	5,004,100
4.000%, 6/15/2019	500,000	508,095
4.000%, 6/15/2020	200,000	206,840
5.000%, 6/15/2019	4,500,000	4,607,415
New Jersey Transportation Trust Fund Authority, AGM, 5.500%, 12/15/2018	250,000	252,570
New Jersey Turnpike Authority:
1.797%, 1/1/2021 (7)	1,750,000	1,752,380
1.937%, 1/1/2022 (7)	750,000	752,647
Tender Option Bond Trust Receipts/Certificates, 1.710%, 7/1/2025 (5) (7)	2,175,000	2,175,000
Tobacco Settlement Financing Corp., 5.000%, 6/1/2020	2,400,000	2,521,104

		43,037,156
New Mexico — 1.4%
County of Bernalillo, 1.400%, 3/1/2020 (7)	2,875,000	2,869,422
New Mexico Municipal Energy Acquisition Authority, 2.145%, 11/1/2039, Call 2/1/2019 (7)	5,500,000	5,505,830

		8,375,252
New York — 10.4%
Albany Industrial Development Agency, 1.780%, 7/1/2032, Call 9/6/2018 (7)	1,175,000	1,175,000
Chautauqua County Capital Resource Corp., 1.300%, 11/1/2031 (7)	775,000	774,736
City of New York, 1.560%, 8/1/2035, Call 9/19/2018 (7)	6,300,000	6,300,000
City of New York, AGC, 1.590%, 10/1/2021, Call 9/4/2018 (7) (8)	100,000	100,000
Long Island Power Authority, 2.107%, 5/1/2033, Call 10/1/2018 (7)	1,600,000	1,600,272
Metropolitan Transportation Authority:
1.945%, 11/1/2030 (7)	3,000,000	3,001,530
2.010%, 11/15/2044 (7)	3,000,000	2,995,350
2.095%, 11/1/2031 (7)	3,500,000	3,510,395
2.140%, 11/15/2041 (7)	500,000	500,660
5.000%, 11/15/2030, Call 11/15/2019 (7)	600,000	622,212
New York City Transitional Finance Authority Future Tax Secured Revenue:
1.520%, 8/1/2022, Call 9/19/2018 (7)	4,320,000	4,320,000
1.520%, 8/1/2023, Call 9/19/2018 (7)	6,550,000	6,550,000
1.560%, 11/1/2029, Call 9/19/2018 (7)	3,700,000	3,700,000
1.560%, 5/1/2034, Call 9/19/2018 (7)	3,800,000	3,800,000
New York City Water & Sewer System:
1.570%, 6/15/2039, Call 9/19/2018 (7)	250,000	250,000
1.580%, 6/15/2039, Call 9/19/2018 (7)	1,550,000	1,550,000
New York State Dormitory Authority, 4.000%, 12/1/2018 (5)	1,000,000	1,004,030
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.860%, 5/1/2047, Call 9/19/2018 (5) (7)	5,000,000	5,000,000
RBC Municipal Products, Inc. Trust, 1.530%, 3/1/2022, Call 9/19/2018 (5) (7)	6,000,000	6,000,000
South Glens Falls Central School District, SAW, 3.000%, 7/26/2019	4,500,000	4,540,455
Triborough Bridge & Tunnel Authority, 2.095%, 1/1/2032 (7)	4,935,000	4,982,376

		62,277,016
North Carolina — 0.2%
North Carolina Medical Care Commission, 1.880%, 6/1/2029, Call 6/1/2020 (5) (7)	1,000,000	1,000,000

North Dakota — 0.2%
Barnes County North Public School District Building Authority, 4.000%, 5/1/2019	590,000	597,983
City of Williston, AGM, 2.650%, 11/1/2020, Call 10/1/2018	655,000	655,458

		1,253,441
Ohio — 9.1%
City of Akron, 3.000%, 12/12/2018	4,000,000	4,012,840
City of Avon, 3.000%, 9/5/2019 (9)	1,250,000	1,263,313
City of Fairborn, 2.250%, 3/21/2019	2,887,000	2,893,553
City of Grove City, 2.500%, 3/7/2019	4,000,000	4,011,680
City of Lakewood, 2.500%, 3/28/2019	4,000,000	4,013,880
City of Seven Hills, 2.875%, 4/10/2019	750,000	753,128


County of Belmont, 3.000%, 8/29/2019	3,800,000	3,831,350
County of Richland, 3.250%, 2/1/2019	695,000	698,419
County of Trumbull:
2.000%, 8/29/2019	2,800,000	2,795,100
3.125%, 8/29/2019	2,000,000	2,018,720
Dublin City School District, 2.500%, 4/18/2019	4,500,000	4,514,625
FHLMC Multifamily VRD Certificates, 1.860%, 9/15/2033 (7)	3,490,000	3,490,000
Lancaster Port Authority, 2.115%, 5/1/2038, Call 2/1/2019 (7)	5,000,000	5,004,700
Ohio Higher Educational Facility Commission:
2.250%, 9/1/2033, Call 9/1/2018 (7)	460,000	460,000
5.000%, 12/1/2018	500,000	504,070
Rib Floater Trust Various States, 1.810%, 11/15/2048, Call 10/1/2018 (5) (7)	4,000,000	4,000,000
State of Ohio, 1.450%, 11/1/2035 (7)	2,000,000	2,000,000
Tender Option Bond Trust Receipts/Certificates, 1.710%, 8/1/2024 (5) (7)	5,580,000	5,580,000
Village of Orange, 3.000%, 8/29/2019	2,500,000	2,521,100

		54,366,478
Oklahoma — 0.2%
Oklahoma County Finance Authority, 5.000%, 10/1/2019	510,000	527,355
Tulsa County Independent School District No. 4 Bixby, 2.000%, 7/1/2019	1,000,000	1,002,510

		1,529,865
Oregon — 0.7%
County of Gilliam, 1.500%, 10/1/2018	1,000,000	999,620
Port of Morrow, 1.600%, 2/1/2027, Call 9/19/2018 (7)	3,210,000	3,210,000

		4,209,620
Pennsylvania — 4.5%
Allentown City School District, SAW, 2.200%, 1/2/2019, Call 10/2/2018	1,500,000	1,499,220
Bethlehem Area School District, SAW, 1.932%, 7/1/2031, Call 11/2/2020 (7)	2,995,000	2,996,138
Commonwealth Financing Authority, 5.000%, 6/1/2020	1,000,000	1,048,530
Indiana County Industrial Development Authority, 1.550%, 4/1/2019, Call 10/1/2018	1,850,000	1,846,947
Manheim Township School District, 1.885%, 5/1/2025, Call 5/1/2021 (7)	2,000,000	2,015,240
Montgomery County Higher Education & Health Authority:
1.820%, 9/1/2050, Call 9/4/2018 (7)	3,000,000	3,000,000
2.280%, 9/1/2051, Call 9/1/2019 (7)	2,500,000	2,500,025
Montgomery County Industrial Development Authority, AGC, 1.650%, 11/15/2029, Call 9/1/2018 (7)	1,500,000	1,500,000
North Penn Water Authority, 1.895%, 11/1/2024, Call 5/1/2019 (7)	2,000,000	2,000,240
Northampton County General Purpose Authority, 2.497%, 8/15/2048, Call 2/15/2023 (7)	1,000,000	1,002,750
Old Forge School District, BAM SAW, 2.000%, 5/1/2019	500,000	500,090
Pennsylvania Economic Development Financing Authority, 2.125%, 11/1/2021 (7)	3,000,000	2,998,320
Pennsylvania Turnpike Commission:
2.440%, 12/1/2020, Call 6/1/2020 (7)	1,800,000	1,816,686
2.710%, 12/1/2019, Call 6/1/2019 (7)	2,225,000	2,243,935

		26,968,121
South Carolina — 1.5%
Lexington County Health Services District, Inc., 5.000%, 11/1/2019	250,000	258,840
Patriots Energy Group Financing Agency, 2.243%, 10/1/2048, Call 11/1/2023 (7)	6,000,000	6,000,000
South Carolina Jobs-Economic Development Authority, 2.250%, 5/1/2019, Call 11/1/2018 (5)	3,000,000	2,988,540

		9,247,380
Tennessee — 1.0%
County of Monroe, 1.200%, 6/15/2019, Call 12/15/2018	1,250,000	1,245,262
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 1.875%, 7/1/2021 (7)	1,400,000	1,398,110
Tender Option Bond Trust Receipts/Certificates, 1.760%, 7/1/2046, Call 9/6/2018 (5) (7)	3,100,000	3,100,000
Tennessee Housing Development Agency, 4.500%, 7/1/2028, Call 1/1/2020	60,000	60,228

		5,803,600
Texas — 7.9%
Austin Convention Enterprises, Inc., 5.000%, 1/1/2019	400,000	403,752
Bexar County Health Facilities Development Corp.:
5.000%, 7/15/2019	125,000	127,880
5.000%, 7/15/2020	175,000	182,870


City of Lewisville, AGM, 4.000%, 9/1/2018	340,000	340,000
Crane County Water District, 4.000%, 2/15/2019	1,000,000	1,009,820
Deer Park Independent School District, PSF, 3.000%, 10/1/2042 (7)	2,000,000	2,024,920
Denton County Fresh Water Supply District No. 7, AGM, 2.000%, 2/15/2019	240,000	240,295
Georgetown Independent School District, 2.500%, 8/1/2034 (7)	1,500,000	1,509,240
Goose Creek Consolidated Independent School District, PSF, 1.180%, 2/15/2035 (7)	1,800,000	1,789,416
Harris County Municipal Utility District No. 371,BAM:
2.000%, 9/1/2018	290,000	290,000
2.000%, 9/1/2019	295,000	295,230
Irving Hospital Authority, 2.660%, 10/15/2044, Call 4/15/2023 (7)	1,000,000	1,002,500
Midlothian Independent School District, PSF, 2.500%, 8/1/2052 (7)	1,500,000	1,514,505
Northside Independent School District, PSF:
2.000%, 8/1/2044 (7)	4,000,000	4,006,400
2.125%, 8/1/2040, Call 2/1/2019 (7)	1,850,000	1,851,868
Rib Floater Trust Various States:
1.740%, 6/1/2032, Call 4/1/2020 (5) (7)	6,000,000	6,000,000
1.740%, 11/1/2042, Call 11/1/2020 (5) (7)	5,000,000	5,000,000
Spring Branch Independent School District, PSF, 3.000%, 6/15/2041 (7)	4,000,000	4,036,920
Tarrant County Cultural Education Facilities Finance Corp., 2.500%, 12/1/2018, Call 9/21/2018	975,000	975,205
Tender Option Bond Trust Receipts/Certificates, 1.760%, 7/1/2021 (5) (7)	11,000,000	11,000,000
Trail of the Lakes Municipal Utility District, BAM, 5.000%, 4/1/2019	120,000	122,147
Travis County Health Facilities Development Corp., 5.250%, 1/1/2047, Call 1/1/2020 (7)	3,400,000	3,588,632

		47,311,600
Utah — 0.4%
Tender Option Bond Trust Receipts/Certificates, 1.740%, 1/1/2025 (5) (7)	2,500,000	2,500,000

Virginia — 1.6%
Newport News Redevelopment & Housing Authority, FHA/GNMA, 1.200%, 4/1/2019	3,500,000	3,487,295
Peninsula Ports Authority, 1.550%, 10/1/2033 (7)	1,000,000	997,990
Tender Option Bond Trust Receipts/Certificates, 1.710%, 1/1/2025 (5) (7)	5,400,000	5,400,000

		9,885,285
Washington — 2.0%
City of Bellingham Water & Sewer Revenue, 1.760%, 8/1/2019 (5) (7)	500,000	500,000
County of Skagit, 2.000%, 12/1/2018	485,000	485,543
Tender Option Bond Trust Receipts/Certificates:
1.710%, 6/15/2033, Call 6/1/2019 (5) (7)	5,050,000	5,050,000
1.730%, 1/1/2035 (5) (7)	5,000,000	5,000,000
Washington Health Care Facilities Authority, 2.490%, 1/1/2042, Call 1/1/2022 (7)	450,000	455,549
WBRP 3.2, 5.000%, 1/1/2019	500,000	505,560

		11,996,652
West Virginia — 0.9%
West Virginia Hospital Finance Authority:
1.840%, 6/1/2033, Call 9/4/2018 (7)	5,000,000	5,000,000
5.000%, 1/1/2020 (9)	300,000	311,667
5.000%, 1/1/2021 (9)	360,000	383,170

		5,694,837
Wisconsin — 1.1%
Chippewa Falls Area Unified School District, 3.000%, 1/10/2019, Call 10/10/2018	1,225,000	1,226,752
County of Langlade, 2.000%, 10/1/2018	100,000	100,040
Hilbert School District, 2.100%, 4/1/2019, Call 10/1/2018	1,580,000	1,580,190
Public Finance Authority:
2.300%, 10/1/2019, Call 4/1/2019	1,500,000	1,494,255
5.000%, 11/15/2018	565,000	568,898
5.000%, 11/15/2019	440,000	457,301
Wisconsin Health & Educational Facilities Authority:
1.910%, 8/15/2054, Call 1/28/2021 (7)	500,000	500,120


5.000%, 2/15/2019	455,000		461,511

			6,389,067

Total Municipals (identified cost $583,645,965)			583,732,697


Short-Term Investments — 3.7%

Mutual Funds — 0.0%
BMO Government Money Market Fund — Premier Class, 1.773% (4)	159,901		159,901

Short-Term Municipals — 3.7%

Florida — 0.4%
City of Jacksonville, 0.010%, 10/9/2018	2,500,000		2,500,000

Illinois — 0.1%
Kendall Kane & Will Counties Community Unit School District No. 308, 3.000%, 10/1/2018	360,000		360,349

Indiana — 0.5%
Union Township School Corp., 2.500%, 12/31/2018	2,900,000		2,904,495

Kentucky — 0.3%
Louisville/Jefferson County Metropolitan Government, 1.550%, 9/7/2018	2,000,000		2,000,000

Massachusetts — 0.4%
City of Pittsfield, 2.500%, 2/1/2019	2,264,752		2,270,957

Nevada — 0.1%
City of Carson City, 5.000%, 9/1/2018	460,000		460,000

New York — 0.1%
County of Nassau, 3.000%, 9/18/2018	500,000		500,280

Ohio — 0.4%
Township of Union, 2.000%, 9/6/2018	2,350,000		2,350,024

Oregon — 0.3%
State of Oregon, 5.000%, 9/28/2018	2,000,000		2,004,440

South Carolina — 0.1%
Lexington County Health Services District, Inc., 5.000%, 11/1/2018	500,000		502,560

Texas — 0.8%
City of Dallas, 1.300%, 9/26/2018	5,000,000		5,000,000

Wisconsin — 0.2%
Two Rivers Public School District, 1.500%, 9/28/2018	1,470,000		1,469,824


Total Short-Term Municipals			22,322,929

Total Short-Term Investments (identified cost $22,491,574)			22,482,830


Total Investments — 101.0% (identified cost $606,137,539)			606,215,527

Other Assets and Liabilities — (1.0)%			(6,112,050	)


Total Net Assets — 100.0%		$	600,103,477

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

(5)	Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At August 31, 2018 these securities amounted to:


Fund	Amount		% of Total Net Assets
Ultra Short Tax-Free Fund		$ 147,017,607		24.50	%

(7)

(8)

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

Short Tax-Free Fund


*Description*	Shares or Principal Amount		*Value*

Municipals — 100.6%

Alabama — 3.8%
Alabama Federal Aid Highway Finance Authority, 5.000%, 9/1/2018	$	1,000,000	$	1,000,000
Black Belt Energy Gas District:
2.295%, 12/1/2048, Call 9/1/2023 (7)		1,000,000		1,000,000
4.000%, 7/1/2046, Call 3/1/2021 (7)		1,000,000		1,045,390
County of Jefferson, 5.000%, 9/15/2021		1,000,000		1,083,410
Health Care Authority for Baptist Health, 2.130%, 11/1/2042 (7)		595,000		595,000
Industrial Development Board of the City of Mobile, 1.680%, 6/1/2034, Call 9/19/2018 (7)		1,000,000		1,000,000
Southeast Alabama Gas Supply District, 2.282%, 4/1/2049, Call 1/1/2024 (7)		1,000,000		999,180
Tuscaloosa City Board of Education:
5.000%, 8/1/2020		200,000		212,010
5.000%, 8/1/2021		175,000		189,952

				7,124,942
Alaska — 0.8%
Alaska Industrial Development & Export Authority, 3.500%, 12/1/2020, Call 12/1/2019		1,000,000		1,013,200
City of Valdez, 5.000%, 1/1/2021		500,000		533,035

				1,546,235
Arizona — 1.8%
Arizona Health Facilities Authority:
3.410%, 2/1/2048, Call 8/9/2019 (7)		250,000		253,033
3.410%, 2/1/2048, Call 8/9/2019 (7)		250,000		253,033
City of El Mirage, 5.000%, 7/1/2022, Call 7/1/2020		465,000		490,598
City of Phoenix Civic Improvement Corp., NATL-RE, 5.500%, 7/1/2019		100,000		103,162
Coconino County Pollution Control Corp., 1.600%, 3/1/2039 (7)		750,000		743,595
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (5)		55,000		54,546
La Paz County Industrial Development Authority, 5.000%, 2/15/2021 (5)		750,000		774,757
Maricopa County Industrial Development Authority:
2.550%, 7/1/2021		330,000		326,796
2.875%, 7/1/2021 (5)		200,000		199,056
Pinal County School District No. 1 Florence, BAM, 4.000%, 7/1/2020		250,000		260,177

				3,458,753
Arkansas — 0.7%
Arkansas Development Finance Authority, 2.110%, 9/1/2044, Call 9/4/2018 (7)		863,000		863,000
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		70,000		69,834
City of Hot Springs Wastewater Revenue, 5.000%, 12/1/2020		245,000		260,175
City of Rogers, 2.125%, 11/1/2029, Call 11/1/2021		75,000		74,849

				1,267,858
California — 9.0%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020		500,000		531,425
Bay Area Toll Authority, 2.660%, 4/1/2045, Call 10/1/2023 (7)		500,000		516,330
California Health Facilities Financing Authority, NATL-RE, 2.756%, 7/1/2022, Call 9/19/2018 (7) (8)		400,000		388,820
California Housing Finance Agency, AGM, 4.893%, 2/1/2037, Call 9/6/2018 (7) (8)		5,000		5,000
California Municipal Finance Authority:
1.650%, 9/1/2021 (7)		500,000		499,965
5.000%, 2/1/2022		1,000,000		1,091,370
California Public Finance Authority:
5.000%, 10/15/2021		350,000		375,263
5.000%, 10/15/2022		300,000		327,036
California State Public Works Board:


5.000%, 4/1/2020	320,000	336,822
5.000%, 11/1/2020, Call 11/1/2019	35,000	36,356
5.125%, 10/1/2022, Call 10/1/2019	245,000	254,702
California Statewide Communities Development Authority, 5.000%, 12/1/2025 (5)	200,000	222,542
California Statewide Communities Development Authority, CMI, 3.500%, 11/1/2021, Call 11/1/2019	750,000	763,462
California Statewide Communities Development Authority, NATL-RE, 5.374%, 4/1/2028 (7) (8)	75,000	75,000
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020	675,000	719,158
Chino Redevelopment Agency Successor Agency, AMBAC, 4.000%, 9/1/2019, Call 10/1/2018	250,000	250,388
City of Redding Electric System Revenue, NATL-RE, 3.150%, 7/1/2022 (7) (8)	100,000	98,138
County of San Joaquin, 4.000%, 4/1/2019	225,000	228,177
Florin Resource Conservation District, NATL-RE, 4.000%, 9/1/2018	500,000	500,000
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2022	875,000	965,370
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2022	1,000,000	1,110,200
Northern California Gas Authority No. 1, 2.196%, 7/1/2019 (7)	545,000	545,142
Palomar Health, 5.000%, 11/1/2022	375,000	408,060
Rib Floater Trust Various States, 1.710%, 3/1/2042, Call 10/1/2018 (5) (7)	2,000,000	2,000,000
Sacramento Redevelopment Agency Successor Agency, BAM, 5.000%, 12/1/2022	385,000	432,875
State of California, 2.287%, 12/1/2029, Call 10/1/2018 (7)	610,000	610,244
Tender Option Bond Trust Receipts/Certificates:
1.660%, 11/1/2023 (5) (7)	1,500,000	1,500,000
1.710%, 8/1/2022 (5) (7)	2,000,000	2,000,000
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2041, Call 10/1/2018 (7)	220,000	220,548

		17,012,393
Colorado — 4.5%
Auraria Higher Education Center, 6.000%, 5/1/2019	178,000	183,071
City of Burlington Water & Sewer Revenue, AGM, 3.000%, 11/1/2019	100,000	100,655
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019	590,000	590,655
5.000%, 10/1/2021	1,000,000	1,077,160
Colorado Health Facilities Authority:
2.200%, 7/1/2034, Call 7/1/2019 (5) (7)	1,000,000	1,000,000
3.125%, 5/15/2027, Call 5/15/2020	1,000,000	1,000,710
4.000%, 12/1/2018	250,000	251,280
4.500%, 2/1/2019	250,000	252,383
5.000%, 5/15/2021	325,000	345,072
5.000%, 6/1/2021	250,000	268,155
5.000%, 5/15/2022	250,000	269,440
5.000%, 6/1/2022	250,000	273,010
County of Montrose:
4.000%, 12/1/2018	175,000	175,831
4.000%, 12/1/2019	200,000	205,288
E-470 Public Highway Authority, 2.440%, 9/1/2039, Call 3/1/2021 (7)	575,000	580,819
Regional Transportation District, 5.000%, 6/1/2025, Call 6/1/2020	500,000	527,875
Tender Option Bond Trust Receipts/Certificates, 1.670%, 12/1/2032, Call 12/1/2022 (5) (7)	500,000	500,000
University of Colorado Hospital Authority, 5.000%, 11/15/2038, Call 9/1/2021 (7)	750,000	810,877
Wheatlands Metropolitan District, BAM, 4.000%, 12/1/2020	125,000	129,719

		8,542,000
Connecticut — 0.3%
State of Connecticut:
2.480%, 9/15/2019 (7)	115,000	115,936
5.000%, 3/15/2021	500,000	532,965

		648,901
Florida — 6.7%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020	500,000	524,290
5.000%, 4/1/2021	400,000	428,684
City of Jacksonville, 1.590%, 5/1/2029, Call 9/19/2018 (7)	200,000	200,000
City of Orlando, AGM:
4.000%, 11/1/2021	460,000	487,264
5.000%, 11/1/2022	350,000	389,294


City of Port St. Lucie, 5.000%, 7/1/2020	295,000	311,405
City of Tampa, 5.000%, 11/15/2020, Call 5/15/2020	25,000	26,303
Columbia County School Board, 5.000%, 7/1/2019	920,000	944,205
Columbia County School Board, BAM, 5.000%, 7/1/2021	400,000	431,612
County of Broward Half-Cent Sales Tax Revenue, 5.000%, 10/1/2020	100,000	106,121
County of Okeechobee, 1.550%, 7/1/2039 (7)	915,000	891,686
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2021	300,000	320,457
Escambia County Health Facilities Authority, AGC, 1.650%, 11/15/2029, Call 9/4/2018 (7)	1,700,000	1,700,000
Florida Housing Finance Corp., GNMA/FNMA/FHLMC, 4.600%, 1/1/2029, Call 1/1/2020	50,000	51,041
Halifax Hospital Medical Center:
5.000%, 6/1/2020	325,000	341,227
5.000%, 6/1/2021	300,000	323,112
Miami-Dade County Educational Facilities Authority, AMBAC, 5.250%, 4/1/2020	40,000	42,136
Pinellas County Health Facilities Authority, 1.530%, 11/1/2038, Call 9/19/2018 (7)	900,000	900,000
Pinellas County Health Facilities Authority, NATL-RE, 2.936%, 11/15/2023, Call 9/19/2018 (7) (8)	150,000	150,000
Sarasota County Health Facilities Authority, 5.000%, 1/1/2022	500,000	534,645
School Board of Miami-Dade County:
1.790%, 8/1/2027, Call 2/1/2019 (5) (7)	1,515,000	1,515,000
5.000%, 5/1/2019	225,000	229,860
School District of Broward County, 5.000%, 7/1/2019	1,000,000	1,026,720
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2019 (5)	250,000	253,900
Sumter County Industrial Development Authority:
5.000%, 7/1/2020	235,000	247,894
5.000%, 7/1/2020	300,000	316,461

		12,693,317
Georgia — 5.0%
Atlanta Development Authority, 4.000%, 9/1/2020	500,000	520,695
City of Atlanta:
5.000%, 1/1/2021	250,000	266,283
5.000%, 1/1/2022	700,000	761,502
City of Atlanta Water & Wastewater Revenue:
2.891%, 11/1/2038, Call 10/1/2018 (7)	250,000	250,165
6.000%, 11/1/2029, Call 11/1/2019	290,000	304,407
County of DeKalb Water & Sewerage Revenue, 5.000%, 10/1/2020	150,000	159,909
DeKalb Private Hospital Authority, 5.000%, 11/15/2021, Call 11/15/2019	420,000	436,716
Gainesville & Hall County Hospital Authority:
2.510%, 8/15/2035, Call 8/22/2019 (7)	350,000	351,431
5.000%, 2/15/2021	700,000	749,847
Georgia State Road & Tollway Authority, 5.000%, 6/1/2021	1,250,000	1,355,000
Main Street Natural Gas, Inc.:
2.145%, 4/1/2048, Call 6/1/2023 (7)	1,000,000	995,490
2.225%, 8/1/2048, Call 9/1/2023 (7)	500,000	498,250
5.000%, 3/15/2019	1,000,000	1,016,040
5.250%, 9/15/2018	100,000	100,092
Tender Option Bond Trust Receipts/Certificates, 1.710%, 4/1/2025 (5) (7)	1,250,000	1,250,000
Tender Option Bond Trust Receipts/Certificates, County Guarantee, 1.690%, 8/15/2049, Call 2/1/2025 (5) (7)	500,000	500,000

		9,515,827

Guam — 0.3%
Territory of Guam, 5.000%, 12/1/2022	500,000	549,540

Idaho — 0.1%
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	150,000	151,154
Idaho Housing & Finance Association, 5.000%, 7/15/2022, Call 7/15/2019	75,000	77,138

		228,292
Illinois — 13.6%
Bureau & Putnam Counties High School District No. 500 Princeton Township, BAM, 2.000%, 12/1/2018	400,000	400,296
Chicago O’Hare International Airport:
5.000%, 1/1/2019	200,000	202,178


5.000%, 1/1/2022	100,000	109,695
5.000%, 1/1/2022	200,000	219,390
Chicago Park District:
5.000%, 1/1/2022	250,000	269,880
5.000%, 1/1/2022	500,000	539,760
Chicago Transit Authority:
5.000%, 6/1/2021	750,000	804,045
5.500%, 6/1/2019, Call 12/1/2018	105,000	105,996
City of Chicago Wastewater Transmission Revenue:
5.000%, 1/1/2021	840,000	891,954
5.000%, 1/1/2022	500,000	541,590
City of Chicago Waterworks Revenue, 5.000%, 11/1/2021	1,000,000	1,080,110
City of Peoria, 3.000%, 1/1/2019	300,000	301,134
City of Waukegan, 5.000%, 12/30/2020	250,000	266,380
Clyde Park District, AGM, 4.250%, 2/1/2019	170,000	171,139
Cook County School District No. 130 Blue Island, 2.350%, 12/1/2028, Call 9/10/2018 (5) (7) (9)	1,000,000	1,000,000
Cook County Township High School District No. 201 J Sterling Morton, AMBAC:
0.000%, 12/1/2018	170,000	169,075
0.000%, 12/1/2019	100,000	97,111
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019	1,000,000	1,039,880
County of Cook:
5.000%, 11/15/2020, Call 11/15/2019	250,000	258,893
5.000%, 11/15/2021	720,000	784,397
Illinois Finance Authority:
2.807%, 5/1/2036, Call 11/1/2020 (7)	1,000,000	1,005,820
4.000%, 10/1/2018	275,000	275,382
5.000%, 1/1/2021	200,000	211,392
5.000%, 11/15/2021	400,000	434,224
5.000%, 1/1/2022	150,000	161,333
5.000%, 7/15/2022	750,000	830,243
5.000%, 11/15/2022	555,000	613,636
5.000%, 12/1/2022	290,000	310,523
Illinois Housing Development Authority, AGM, 4.400%, 9/1/2020, Call 10/1/2018	100,000	100,165
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023	1,000,000	1,110,020
Lake County Forest Preserve District, 2.048%, 12/15/2020 (7)	205,000	205,133
Marion-Clinton Etc Counties High School District No. 200-Centralia, BAM, 3.000%, 12/1/2019	185,000	184,839
Metropolitan Pier & Exposition Authority, NATL-RE, 0.000%, 6/15/2020	30,000	28,483
Quad Cities Regional Economic Development Authority, 4.000%, 10/1/2019	400,000	407,884
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2023	1,000,000	1,112,450
Rib Floater Trust Various States, 1.740%, 8/15/2030, Call 10/1/2018 (5) (7)	2,000,000	2,000,000
Rock Island County Public Building Commission, 3.700%, 12/1/2018	75,000	75,206
State of Illinois:
5.000%, 4/1/2020	100,000	103,594
5.000%, 2/1/2021	240,000	250,315
5.000%, 11/1/2022	2,000,000	2,116,580
Tender Option Bond Trust Receipts/Certificates, 1.710%, 6/15/2020 (5) (7)	955,000	955,000
Town of Cicero, AGM, 5.000%, 1/1/2020	500,000	517,135
Village of Bolingbrook, AGM:
4.000%, 3/1/2022	630,000	663,755
4.000%, 3/1/2023	510,000	541,625
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019	1,110,000	1,128,482
Will County Community High School District No. 210 Lincoln-Way, 4.000%, 1/1/2022, Call 1/1/2019	1,000,000	1,000,360
Will County School District No. 159 Mokena, 2.000%, 12/1/2018	110,000	110,089

		25,706,571
Indiana — 2.6%
City of Whiting, 1.850%, 6/1/2044 (7)	1,000,000	997,880
Indiana Finance Authority:
1.450%, 5/1/2028 (7)	1,000,000	1,000,000
5.000%, 5/1/2020	100,000	105,261


5.000%, 8/15/2020	250,000	259,222
5.250%, 10/1/2022, Call 10/1/2021	150,000	165,209
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.780%, 7/1/2047, Call 9/19/2018 (7)	2,000,000	2,000,000
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2020	100,000	105,345
Jasper Hospital Authority, 5.000%, 11/1/2020	250,000	264,325

		4,897,242
Iowa — 1.1%
Iowa Higher Education Loan Authority, 2.000%, 12/1/2018, Call 10/1/2018	1,000,000	1,000,030
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 10/1/2018	1,000,000	997,910

		1,997,940
Kansas — 0.4%
Bourbon County Unified School District No. 234-Fort Scott, 5.000%, 9/1/2020	420,000	444,108
Kansas Development Finance Authority, AMBAC, 0.000%, 7/1/2019	100,000	98,553
Kansas Development Finance Authority, BAM TCRs, 5.000%, 12/1/2019	200,000	206,920

		749,581
Kentucky — 1.7%
Kentucky Asset Liability Commission, 5.000%, 9/1/2023	500,000	561,530
Kentucky Interlocal School Transportation Association, 2.000%, 3/1/2019	495,000	495,406
Kentucky Rural Water Finance Corp., 2.250%, 3/1/2020, Call 9/1/2019 (9)	1,200,000	1,203,144
Kentucky State Property & Building Commission:
5.375%, 11/1/2023, Call 11/1/2018	20,000	20,121
5.375%, 11/1/2023, Call 11/1/2018	5,000	5,030
Lexington Center Corp., AGC, 4.100%, 10/1/2020, Call 9/3/2018	265,000	265,450
Louisville/Jefferson County Metropolitan Government, 5.000%, 10/1/2020	550,000	582,516

		3,133,197
Louisiana — 0.3%
Evangeline Parish Road & Drain Sales Tax District No. 1, AGM, 5.000%, 12/1/2020	400,000	426,224
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	5,000	4,760
Louisiana Public Facilities Authority, AMBAC, 2.756%, 9/1/2027, Call 9/11/2018 (7) (8)	50,000	49,256
State of Louisiana, 5.000%, 11/15/2020, Call 5/15/2020	110,000	116,092

		596,332
Maine — 0.1%
City of Portland General Airport Revenue:
4.000%, 7/1/2019	130,000	132,182
4.000%, 7/1/2020	110,000	113,875

		246,057
Maryland — 1.2%
City of Baltimore:
2.852%, 7/1/2037, Call 9/5/2018 (7) (8)	25,000	23,136
5.000%, 9/1/2022	500,000	547,175
City of Baltimore, NATL-RE, 3.062%, 7/1/2020 (7) (8)	50,000	50,000
City of Rockville, 5.000%, 11/1/2022	500,000	543,670
Maryland Community Development Administration, GNMA/FNMA/FHLMC, 4.500%, 3/1/2027, Call 3/1/2021	20,000	20,608
Maryland Industrial Development Financing Authority, 1.720%, 3/1/2030, Call 9/19/2018 (7)	1,000,000	1,000,000

		2,184,589
Massachusetts — 1.0%
Commonwealth of Massachusetts, 1.700%, 8/1/2043 (7)	1,000,000	982,480
Massachusetts Development Finance Agency:
4.000%, 4/15/2020	225,000	229,613
5.000%, 7/1/2021	280,000	300,535
5.000%, 7/1/2022	315,000	343,526

		1,856,154
Michigan — 3.3%
Avondale School District, Q-SBLF, 5.000%, 11/1/2018	300,000	301,617
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 10/1/2018	200,000	200,610
City of Wyandotte Electric System Revenue, BAM:


5.000%, 10/1/2018	200,000	200,430
5.000%, 10/1/2019	250,000	256,835
Grosse Ile Township School District, Q-SBLF, 5.000%, 5/1/2020	595,000	625,208
Lake St. Claire Clean Water Initiative, County Guarantee, 5.000%, 10/1/2020	150,000	159,339
Marquette Board of Light & Power, 5.000%, 7/1/2020	150,000	158,175
Michigan State Hospital Finance Authority, 5.000%, 11/15/2020, Call 11/15/2019	520,000	539,942
Muskegon Public Schools, Q-SBLF, 4.250%, 5/1/2021, Call 5/1/2019	200,000	203,202
State of Michigan, 5.500%, 11/1/2021, Call 5/1/2019	300,000	307,572
Taylor Tax Increment Finance Authority, AGM, 4.000%, 5/1/2021, Call 10/1/2018	270,000	270,413
Tender Option Bond Trust Receipts/Certificates,Q-SBLF:
1.660%, 5/1/2026 (5) (7)	1,000,000	1,000,000
1.660%, 5/1/2026 (5) (7)	2,000,000	2,000,000

		6,223,343
Minnesota — 0.3%
Housing & Redevelopment Authority of The City of St. Paul, 5.000%, 11/15/2021	500,000	545,530

Mississippi — 1.1%
Mississippi Business Finance Corp., 1.560%, 11/1/2035, Call 9/4/2018 (7)	1,450,000	1,450,000
Mississippi Development Bank, 5.000%, 8/1/2019	155,000	159,518
Southwest Mississippi Regional Medical Center, 2.100%, 6/1/2019, Call 12/1/2018	500,000	499,270

		2,108,788
Missouri — 2.5%
Health & Educational Facilities Authority of the State of Missouri:
5.000%, 2/1/2022	250,000	269,342
5.000%, 2/1/2024, Call 2/1/2021	250,000	262,880
Kansas City Planned Industrial Expansion Authority, 1.500%, 12/1/2018, Call 9/21/2018	1,000,000	999,460
Missouri Housing Development Commission, GNMA/FNMA/FHLMC, 4.700%, 3/1/2035, Call 9/1/2019	200,000	203,660
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 2.538%, 12/1/2022, Call 9/19/2018 (7) (8)	805,000	805,000
Southeast Missouri State University, 5.000%, 4/1/2019	1,000,000	1,018,470
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018	600,000	600,000
St. Louis Municipal Finance Corp., 5.000%, 2/15/2021	500,000	532,640

		4,691,452
Nevada — 0.3%
City of Carson City, 5.000%, 9/1/2022	500,000	549,170

New Jersey — 3.9%
City of Jersey City, AGM, 4.000%, 2/15/2019	620,000	626,305
Lyndhurst Township School District, School Bond Gty, 2.750%, 9/14/2018	1,500,000	1,500,405
New Jersey Economic Development Authority, 5.000%, 11/1/2021	400,000	430,024
New Jersey Health Care Facilities Financing Authority, 5.000%, 7/1/2022	790,000	874,925
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019	330,000	339,900
New Jersey Transportation Trust Fund Authority:
2.560%, 6/15/2034, Call 6/15/2019 (7)	475,000	475,389
4.000%, 12/15/2019	75,000	76,862
5.000%, 6/15/2019	150,000	153,498
New Jersey Transportation Trust Fund Authority, AGM, 5.250%, 12/15/2019	250,000	260,613
New Jersey Transportation Trust Fund Authority, NATL-RE:
5.500%, 12/15/2019	135,000	140,893
5.500%, 12/15/2020	10,000	10,736
South Jersey Port Corp., 5.000%, 1/1/2019	340,000	342,805
Tender Option Bond Trust Receipts/Certificates, 1.690%, 7/1/2025 (5) (7)	1,000,000	1,000,000
Tobacco Settlement Financing Corp., 5.000%, 6/1/2022	1,000,000	1,096,170

		7,328,525
New Mexico — 0.4%
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC, 5.300%, 9/1/2040, Call 9/1/2019	15,000	15,571
New Mexico Municipal Energy Acquisition Authority, 2.145%, 11/1/2039, Call 2/1/2019 (7)	650,000	650,689

		666,260
New York — 7.3%


BB&T Municipal Trust, 2.360%, 11/15/2019 (5) (7)	88,474	88,484
County of Nassau, 5.000%, 10/1/2018	1,000,000	1,002,540
Erie County Industrial Development Agency, SAW, 5.250%, 5/1/2025, Call 5/1/2019	400,000	409,820
Long Island Power Authority, 2.107%, 5/1/2033, Call 10/1/2018 (7)	1,000,000	1,000,170
New York City Transitional Finance Authority Future Tax Secured Revenue, 1.520%, 8/1/2022, Call 9/19/2018 (7)	600,000	600,000
New York State Dormitory Authority:
5.000%, 12/15/2019	495,000	515,998
5.000%, 12/1/2022 (5)	600,000	657,168
5.250%, 2/15/2024, Call 2/15/2019	380,000	386,320
5.250%, 2/15/2024, Call 2/15/2019	20,000	20,320
New York State Dormitory Authority, NATL-RE, 3.700%, 7/1/2029, Call 9/4/2018 (7) (8)	525,000	525,000
New York State Energy Research & Development Authority, 2.000%, 6/1/2029 (7)	350,000	349,601
New York State Thruway Authority, 5.000%, 5/1/2019	1,000,000	1,021,530
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.860%, 5/1/2047, Call 9/19/2018 (5) (7)	1,500,000	1,500,000
RBC Municipal Products, Inc. Trust, 1.530%, 3/1/2022, Call 9/19/2018 (5) (7)	1,700,000	1,700,000
State of New York Mortgage Agency, 5.000%, 10/1/2019	600,000	620,874
Triborough Bridge & Tunnel Authority, 2.095%, 1/1/2032 (7)	1,000,000	1,009,600
TSASC, Inc., 5.000%, 6/1/2021	1,000,000	1,072,060
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020	1,155,000	1,212,265

		13,691,750
North Carolina — 0.5%
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	50,000	50,721
North Carolina Eastern Municipal Power Agency, FGIC, 3.144%, 1/1/2025 (7) (8)	600,000	542,472
North Carolina Medical Care Commission, 5.000%, 10/1/2022	350,000	387,103

		980,296
North Dakota — 0.2%
City of Williston, 5.000%, 5/1/2020	240,000	251,782
North Dakota Housing Finance Agency, 3.750%, 7/1/2042, Call 7/1/2022	90,000	92,498

		344,280
Ohio — 3.6%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	805,000	867,677
City of Akron, 3.000%, 12/12/2018	1,000,000	1,003,210
City of Cleveland Airport System Revenue, AGM, 5.000%, 1/1/2019	600,000	605,922
City of Harrison, 2.000%, 10/1/2018	60,000	60,014
County of Hamilton:
1.560%, 9/1/2033, Call 9/19/2018 (7)	300,000	300,000
4.000%, 1/1/2021	445,000	460,264
5.000%, 1/1/2022	465,000	499,977
FHLMC Multifamily VRD Certificates, 1.860%, 9/15/2033 (7)	1,345,000	1,345,000
Lancaster Port Authority, 2.015%, 8/1/2019, Call 2/1/2019 (7)	195,000	195,033
Ohio Housing Finance Agency, GNMA/FNMA/FHLMC, 4.000%, 5/1/2022, Call 5/1/2021	70,000	71,704
Rib Floater Trust Various States, 1.810%, 11/15/2048, Call 10/1/2018 (5) (7)	1,000,000	1,000,000
University of Toledo, 5.000%, 6/1/2020	375,000	395,243

		6,804,044
Oregon — 0.5%
Port of Morrow, 1.600%, 2/1/2027, Call 9/19/2018 (7)	1,000,000	1,000,000

Pennsylvania — 4.4%
Allegheny County Hospital Development Authority:
2.290%, 2/1/2021, Call 11/1/2018 (7)	80,000	80,397
5.375%, 8/15/2029, Call 8/15/2019	225,000	231,831
Berks County Industrial Development Authority, 5.000%, 11/1/2022	250,000	275,762
Berks County Municipal Authority, 3.060%, 11/1/2039, Call 9/17/2018 (7)	350,000	355,330
City of Philadelphia, AGC:
5.125%, 8/1/2025, Call 8/1/2019	10,000	10,314
5.125%, 8/1/2025, Call 8/1/2019	90,000	92,699
Commonwealth Financing Authority, 5.000%, 6/1/2022	1,000,000	1,091,660
Commonwealth of Pennsylvania, 5.000%, 4/15/2020, Call 4/15/2019	600,000	612,570

Delaware County Vocational & Technical School Authority, BAM, 3.000%, 11/1/2018	120,000	120,262


Lancaster County Solid Waste Management Authority, 5.000%, 12/15/2020	200,000	213,242
Lancaster Industrial Development Authority, 5.000%, 5/1/2020	285,000	297,326
Montgomery County Higher Education & Health Authority, 1.820%, 9/1/2050, Call 9/4/2018 (7)	1,000,000	1,000,000
North Penn Water Authority, 1.895%, 11/1/2024, Call 5/1/2019 (7)	800,000	800,096
Northampton County General Purpose Authority:
2.497%, 8/15/2048, Call 2/15/2023 (7)	1,000,000	1,002,750
2.960%, 8/15/2043, Call 2/15/2020 (7)	150,000	151,660
Pennsylvania Economic Development Financing Authority:
2.125%, 11/1/2021 (7)	500,000	499,720
5.000%, 3/1/2020	200,000	209,240
Pennsylvania Turnpike Commission:
2.440%, 12/1/2020, Call 6/1/2020 (7)	325,000	328,013
2.540%, 12/1/2021, Call 6/1/2021 (7)	80,000	81,192
2.710%, 12/1/2019, Call 6/1/2019 (7)	600,000	605,106
School District of Philadelphia, BHAC SAW, 5.000%, 9/1/2018	65,000	65,000
State Public School Building Authority, AGM, 5.375%, 10/1/2023, Call 10/1/2018	160,000	160,442

		8,284,612
Rhode Island — 0.1%
Rhode Island Turnpike & Bridge Authority, 3.000%, 10/1/2018	275,000	275,267

South Carolina — 1.1%
Newberry Investing in Children’s Education, 5.000%, 12/1/2019	1,000,000	1,040,760
Patriots Energy Group Financing Agency, 2.243%, 10/1/2048, Call 11/1/2023 (7)	1,000,000	1,000,000

		2,040,760
Tennessee — 1.7%
Clarksville Natural Gas Acquisition Corp., 5.000%, 12/15/2019	125,000	129,543
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 2.000%, 1/1/2022 (7)	1,000,000	999,990
Tender Option Bond Trust Receipts/Certificates, 1.760%, 7/1/2046, Call 9/6/2018 (5) (7)	900,000	900,000
Tennessee Energy Acquisition Corp.:
4.000%, 5/1/2048, Call 2/1/2023 (7)	1,000,000	1,059,640
5.250%, 9/1/2020	10,000	10,610
5.250%, 9/1/2021	55,000	59,710

		3,159,493
Texas — 7.6%
City of The Colony, 6.000%, 2/15/2019	795,000	810,630
Clifton Higher Education Finance Corp., PSF, 5.000%, 8/15/2020	160,000	169,360
County of Cameron, BAM, 5.000%, 2/15/2020	240,000	251,426
Crane County Water District, 3.000%, 2/15/2021	605,000	619,357
Harris County Cultural Education Facilities Finance Corp., 2.390%, 6/1/2021 (7)	350,000	354,588
Irving Hospital Authority, 5.000%, 10/15/2022	215,000	236,223
Lower Colorado River Authority, 5.000%, 5/15/2019	1,000,000	1,023,150
New Hope Cultural Education Facilities Finance Corp.:
3.375%, 8/15/2021 (5)	405,000	402,772
4.000%, 11/15/2021	615,000	631,150
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2020	250,000	256,483
North Texas Higher Education Authority, Inc., 3.237%, 7/1/2030 (7)	105,000	105,125
North Texas Tollway Authority:
2.230%, 1/1/2038, Call 7/1/2019 (7)	350,000	350,343
2.360%, 1/1/2050, Call 10/1/2018 (7)	250,000	250,025
5.000%, 1/1/2022	250,000	274,068
Northside Independent School District, PSF, 2.125%, 8/1/2040, Call 2/1/2019 (7)	675,000	675,682
Panhandle-Plains Higher Education Authority, Inc., 3.587%, 4/1/2035 (7)	250,000	254,115
Rib Floater Trust Various States:
1.740%, 6/1/2032, Call 4/1/2020 (5) (7)	2,000,000	2,000,000
1.740%, 11/1/2042, Call 11/1/2020 (5) (7)	2,000,000	2,000,000
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 9/21/2018	140,000	140,029
5.000%, 5/15/2021	500,000	525,945
5.000%, 11/15/2022	1,000,000	1,093,090
Tender Option Bond Trust Receipts/Certificates, 1.760%, 7/1/2021 (5) (7)	1,500,000	1,500,000


Texas State University System, 5.000%, 3/15/2022	350,000	386,095

		14,309,656

Utah — 0.2%
Salt Lake City Corp., AMBAC, 2.321%, 5/15/2020, Call 9/19/2018 (7) (8)	400,000	400,000

Vermont — 0.1%
City of Burlington Airport Revenue, AGM, 5.000%, 7/1/2019	100,000	102,515

Virginia — 0.6%
Henrico County Economic Development Authority, AGM, 3.616%, 8/23/2027, Call 9/19/2018 (7) (8)	1,100,000	1,100,000

Washington — 1.2%
Eclipse Funding Trust, 1.560%, 7/1/2042, Call 7/1/2027 (5) (7)	500,000	500,000
FYI Properties, 5.000%, 6/1/2020, Call 6/1/2019	360,000	368,139
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	15,000	15,014
State of Washington, 5.000%, 2/1/2022	1,000,000	1,100,700

Washington State Housing Finance Commission, GNMA/FNMA/FHLMC, 5.000%, 10/1/2020	320,000	341,341

		2,325,194
West Virginia — 2.4%
West Virginia Commissioner of Highways, 5.000%, 9/1/2018	1,250,000	1,250,000
West Virginia Hospital Finance Authority:
1.840%, 6/1/2033, Call 9/4/2018 (7)	2,000,000	2,000,000
5.000%, 1/1/2022 (9)	520,000	564,392
5.000%, 1/1/2023 (9)	555,000	612,443

		4,426,835
Wisconsin — 2.3%
Hilbert School District, 2.100%, 4/1/2019, Call 10/1/2018	1,000,000	1,000,120
Public Finance Authority:
3.500%, 11/15/2023, Call 5/15/2019 (5)	500,000	502,445
5.000%, 11/15/2021	610,000	663,967
5.000%, 11/15/2022	500,000	552,825
State of Wisconsin:
5.000%, 9/1/2020	175,000	186,459
5.000%, 3/1/2021	300,000	323,874
Wisconsin Health & Educational Facilities Authority:
3.000%, 8/15/2019	105,000	106,203
5.000%, 3/1/2020	200,000	205,282
5.000%, 8/15/2020	260,000	275,722
5.000%, 8/15/2022	200,000	222,004
5.000%, 8/15/2023	205,000	231,443
5.500%, 12/15/2020, Call 12/15/2019	80,000	83,575

		4,353,919

Total Municipals (identified cost $189,575,417)		189,667,410

Mutual Funds — 0.5%
BMO Ultra Short Tax-Free Fund - Institutional Class (4)	87,008	875,303

Total Mutual Funds (identified cost $877,821)		875,303


Short-Term Investments — 0.0%

Mutual Funds — 0.0%
BMO Government Money Market Fund — Premier Class, 1.773% (4)	121,200	121,200

Total Short-Term Investments (identified cost $121,200)		121,200


Total Investments — 101.1% (identified cost $190,574,438)		190,663,913


Other Assets and Liabilities — (1.1)%		(2,139,917	)


Total Net Assets — 100.0%	$	188,523,996

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

(5)	Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At August 31, 2018 these securities amounted to:

Fund

Amount

% of Total

Net Assets

Short Tax-Free Fund

$ 32,475,671

17.23

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

(7)

(8)

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

Intermediate Tax-Free Fund


*Description*	Shares or Principal Amount		*Value*

Municipals — 98.8%

Alabama — 2.6%
Alabama Board of Education:
3.000%, 6/1/2021	$	305,000	$	311,609
4.000%, 7/1/2021		1,895,000		1,993,654
5.000%, 10/1/2020, Call 10/1/2018		230,000		230,538
Birmingham-Jefferson Civic Center Authority, 5.000%, 7/1/2048, Call 7/1/2028		3,000,000		3,368,520
Black Belt Energy Gas District, 2.295%, 12/1/2048, Call 9/1/2023 (7)		4,000,000		4,000,000
Butler County Board of Education, AGM, 4.000%, 7/1/2020		585,000		607,745
City of Birmingham, 4.000%, 3/1/2022 (13)		1,945,000		2,029,938
Health Care Authority for Baptist Health, 2.130%, 11/1/2042 (7)		3,485,000		3,485,000
Mobile County Board of School Commissioners, 5.000%, 3/1/2027, Call 3/1/2026		4,015,000		4,532,775
Southeast Alabama Gas Supply District, 2.245%, 6/1/2049, Call 3/1/2024 (7)		7,000,000		6,968,220
Special Care Facilities Financing Authority of the City of Pell City Alabama, 5.000%, 12/1/2025, Call 12/1/2021		4,000,000		4,323,360
Tender Option Bond Trust Receipts/Certificates:
1.660%, 7/1/2026 (5) (7)		4,590,000		4,590,000
1.710%, 10/5/2020 (5) (7)		3,000,000		3,000,000
UAB Medicine Finance Authority:
5.000%, 9/1/2036, Call 3/1/2027		2,340,000		2,650,939
5.000%, 9/1/2037, Call 3/1/2027		2,030,000		2,294,915
5.000%, 9/1/2041, Call 3/1/2027		1,020,000		1,149,071

				45,536,284
Alaska — 0.5%
Alaska Housing Finance Corp.:
5.000%, 12/1/2027, Call 6/1/2022		1,065,000		1,181,138
5.000%, 12/1/2027, Call 6/1/2022		310,000		337,835
5.000%, 12/1/2028, Call 12/1/2024		2,500,000		2,828,025
5.000%, 6/1/2029, Call 12/1/2024		1,000,000		1,129,370
Borough of Matanuska-Susitna:
5.000%, 11/1/2022		500,000		557,820
5.000%, 4/1/2031, Call 4/1/2021		150,000		162,129
Borough of North Slope, 5.000%, 6/30/2024, Call 6/1/2021		1,020,000		1,106,823
City of Anchorage Electric Revenue, NATL-RE, 5.000%, 12/1/2024, Call 10/1/2018		305,000		305,753
City of Valdez, 5.000%, 1/1/2021		1,190,000		1,268,623

				8,877,516
Arizona — 2.4%
Arizona Department of Transportation State Highway Fund Revenue, 5.250%, 7/1/2029, Call 7/1/2021		3,000,000		3,278,280
Arizona Health Facilities Authority:
3.410%, 2/1/2048, Call 8/9/2019 (7)		4,500,000		4,554,585
5.000%, 2/1/2022		1,000,000		1,086,220
Arizona Industrial Development Authority:
5.000%, 3/1/2037, Call 9/1/2027 (5)		1,250,000		1,263,525
5.000%, 3/1/2042, Call 9/1/2027 (5)		1,000,000		1,004,310
Arizona Transportation Board:
5.000%, 7/1/2022, Call 7/1/2020		1,260,000		1,334,264
5.000%, 7/1/2023, Call 7/1/2020		1,405,000		1,487,811
City of Goodyear Water & Sewer Revenue, 5.125%, 7/1/2025, Call 7/1/2020		345,000		364,506
City of Peoria Water & Wastewater Revenue, 4.000%, 7/1/2019		515,000		524,790
City of Phoenix Civic Improvement Corp.:
5.000%, 7/1/2019		615,000		631,949
5.000%, 7/1/2026, Call 7/1/2020		1,050,000		1,111,887
City of Phoenix Civic Improvement Corp., BHAC FGIC, 5.500%, 7/1/2027 (13)		500,000		605,735


City of Phoenix Civic Improvement Corp., NATL-RE:
5.500%, 7/1/2021 (13)	555,000	604,994
5.500%, 7/1/2036 (13)	530,000	688,650
City of Tucson, AGM, 5.000%, 7/1/2020	500,000	527,895
County of Pima Sewer System Revenue, 5.000%, 7/1/2027, Call 7/1/2022	1,450,000	1,598,016
Gilbert Public Facilities Municipal Property Corp., 5.500%, 7/1/2026, Call 7/1/2019	825,000	851,161
Glendale Industrial Development Authority, 5.000%, 5/15/2023, Call 5/15/2020	500,000	525,540
Greater Arizona Development Authority, BHAC NATL-RE, 5.000%, 8/1/2027, Call 10/1/2018	155,000	155,389
Industrial Development Authority of the City of Phoenix:
3.000%, 7/1/2020 (5)	290,000	287,605
5.000%, 7/1/2031, Call 7/1/2026 (5)	3,000,000	3,181,620
Industrial Development Authority of the County of Pima, 4.950%, 10/1/2020	2,000,000	2,118,320
La Paz County Industrial Development Authority:
5.000%, 2/15/2046, Call 2/15/2026 (5)	1,000,000	1,053,940
5.000%, 2/15/2048, Call 2/15/2028	1,185,000	1,261,101
Maricopa County Industrial Development Authority:
4.000%, 1/1/2019	200,000	201,778
5.000%, 7/1/2036, Call 7/1/2026 (5)	1,225,000	1,281,374
5.000%, 7/1/2036, Call 7/1/2026	750,000	790,628
Maricopa County Unified School District No. 60 Higley, AGM:
5.000%, 7/1/2023	1,000,000	1,130,350
5.000%, 7/1/2024	575,000	660,819
Salt Verde Financial Corp., 5.250%, 12/1/2022	110,000	122,185
Scottsdale Industrial Development Authority, 5.000%, 9/1/2018	250,000	250,000
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	1,000,000	1,047,140
5.250%, 10/1/2024, Call 10/1/2019	5,000,000	5,177,950
Town of Marana, 5.000%, 7/1/2023	450,000	507,555
University Medical Center Corp., 5.000%, 7/1/2021	425,000	460,292
University of Arizona, 5.000%, 8/1/2026, Call 8/1/2021	455,000	491,860

		42,224,024
Arkansas — 1.2%
Arkansas Development Finance Authority:
2.110%, 9/1/2044, Call 9/4/2018 (7)	3,650,000	3,650,000
5.000%, 2/1/2020	255,000	265,654
5.000%, 2/1/2021	315,000	336,392
5.000%, 2/1/2022	150,000	163,190
Arkansas Development Finance Authority, GNMA/FNMA/FHLMC:
4.000%, 1/1/2025, Call 7/1/2021	200,000	207,898
4.000%, 7/1/2025, Call 7/1/2021	430,000	446,147
Arkansas State University:
4.000%, 3/1/2021	390,000	407,975
4.000%, 3/1/2022	1,140,000	1,205,789
4.000%, 3/1/2023	985,000	1,053,418
City of Fayetteville, 3.300%, 11/1/2023	2,510,000	2,631,308
City of Maumelle, 2.600%, 3/1/2030, Call 3/1/2022	735,000	731,928
City of Springdale Sales & Use Tax Revenue:
3.000%, 11/1/2021	1,000,000	1,027,630
5.000%, 11/1/2028, Call 11/1/2022	1,000,000	1,103,880
City of Stuttgart, AGM, 3.800%, 6/1/2042, Call 6/1/2020	905,000	902,149
Conway Health Facilities Board, 4.250%, 8/1/2021	605,000	616,707
County of Greene, AGM:
4.000%, 3/1/2019, Call 10/1/2018	840,000	841,310
4.000%, 3/1/2020, Call 10/1/2018	1,430,000	1,432,388
Henderson State University, BAM:
5.000%, 11/1/2022	905,000	1,000,152
5.000%, 11/1/2023, Call 11/1/2022	860,000	949,698
University of Arkansas:
5.000%, 12/1/2021	300,000	328,872
5.000%, 12/1/2022	520,000	581,734
5.000%, 12/1/2023, Call 12/1/2022	500,000	560,225
5.000%, 11/1/2030, Call 11/1/2024	1,000,000	1,146,080

		21,590,524
California — 6.9%


Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	515,000	547,368
Abag Finance Authority for Nonprofit Corps., CMI, 5.000%, 4/1/2020	1,000,000	1,055,460
ABC Unified School District, NATL-RE, 5.000%, 2/1/2021	1,250,000	1,342,200
Alvord Unified School District, AGM, 0.000%, 8/1/2046, Call 8/1/2036	1,150,000	1,124,654
Anaheim Public Financing Authority, 5.000%, 10/1/2030, Call 4/1/2019	225,000	229,730
Bay Area Toll Authority, 2.810%, 4/1/2036, Call 10/1/2026 (7)	5,000,000	5,199,400
Bellevue Union School District, AGM:
0.000%, 8/1/2030	585,000	390,681
0.000%, 8/1/2031	615,000	391,023
Bonita Unified School District, 5.500%, 8/1/2035, Call 8/1/2021	940,000	1,042,526
Burbank Unified School District, 0.000%, 8/1/2031, Call 2/1/2025 (13)	1,325,000	1,176,785
California County Tobacco Securitization Agency, 4.000%, 6/1/2029, Call 10/1/2018	3,660,000	3,660,988
California Health Facilities Financing Authority:
5.000%, 7/1/2037, Call 7/1/2023	2,000,000	2,223,820
5.000%, 8/15/2042, Call 8/15/2027	1,000,000	1,120,030
California Health Facilities Financing Authority, NATL-RE, 2.756%, 7/1/2022, Call 9/19/2018 (7) (8)	1,300,000	1,263,665
California Infrastructure & Economic Development Bank, 1.832%, 8/1/2047, Call 2/1/2021 (7)	2,500,000	2,497,550
California Municipal Finance Authority:
1.650%, 9/1/2021 (7)	1,300,000	1,299,909
5.000%, 2/1/2042, Call 2/1/2027	1,500,000	1,661,415
California State Public Works Board, 5.000%, 4/1/2037, Call 4/1/2022	1,000,000	1,092,790
California Statewide Communities Development Authority:
5.000%, 12/1/2031, Call 6/1/2026 (5)	1,000,000	1,105,150
5.000%, 12/1/2046, Call 6/1/2026 (5)	1,000,000	1,077,660
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2021	850,000	927,996
City of Fairfield, XLCA, 0.000%, 4/1/2022	1,205,000	1,113,613
City of Madera Water Revenue:
5.750%, 1/1/2026, Call 1/1/2020	1,550,000	1,635,684
6.500%, 1/1/2040, Call 1/1/2020	1,280,000	1,363,264
County of Los Angeles, 0.000%, 9/1/2018	750,000	750,000
County of Los Angeles, AMBAC TCRs, 0.000%, 9/1/2020	600,000	579,906
County of San Joaquin, 5.000%, 4/1/2022	350,000	385,511
Delhi Unified School District, AMBAC, 0.000%, 8/1/2019	125,000	123,165
Duarte Unified School District, 5.125%, 8/1/2026 (13)	585,000	700,087
El Centro Financing Authority, AGM:
4.000%, 10/1/2021	460,000	489,684
5.000%, 10/1/2022	580,000	648,440
5.000%, 10/1/2023	800,000	911,472
Encinitas Union School District, 0.000%, 8/1/2035, Call 8/1/2032	500,000	559,335
Escondido Union High School District, 0.000%, 8/1/2032, Call 8/1/2025 (13)	1,250,000	1,299,687
Escondido Union High School District, AGC, 0.000%, 8/1/2031	480,000	313,032
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2033, Call 4/1/2027	1,000,000	1,142,850
Fresno Unified School District, 0.000%, 8/1/2034, Call 8/1/2021	1,045,000	401,970
Fresno Unified School District, NATL-RE, 6.000%, 8/1/2026	2,890,000	3,398,669
Golden State Tobacco Securitization Corp.:
5.000%, 6/1/2028, Call 6/1/2027	1,000,000	1,153,530
5.000%, 6/1/2029, Call 6/1/2027	1,000,000	1,148,550
Hacienda La Puente Unified School District, AGM:
5.000%, 6/1/2022	400,000	444,540
5.000%, 6/1/2023	400,000	454,180
5.000%, 6/1/2024	775,000	894,079
5.000%, 6/1/2025	425,000	495,665
Imperial Community College District, AGC, 0.000%, 8/1/2028	330,000	240,488
Imperial County Local Transportation Authority, 5.000%, 6/1/2032, Call 6/1/2022	2,000,000	2,175,840
Jefferson School District/San Joaquin County, 0.000%, 8/1/2029, Call 8/1/2024	170,000	112,533
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020	375,000	398,036
Lakeside Union School District/Kern County, AGC, 0.000%, 9/1/2027	295,000	225,525
Long Beach Bond Finance Authority:
5.000%, 11/1/2025, Call 11/1/2021	1,000,000	1,093,520
5.000%, 11/1/2030, Call 11/1/2021	1,750,000	1,906,922
Lynwood Unified School District, AGM:
5.000%, 8/1/2024, Call 8/1/2023	620,000	700,606
5.000%, 8/1/2025, Call 8/1/2023	760,000	861,072


McKinleyville Union School District, AGM, 0.000%, 8/1/2041, Call 8/1/2026 (13)	165,000	174,268
McKinleyville Union School District, BAM:
0.000%, 8/1/2036, Call 8/1/2021	1,200,000	524,736
0.000%, 8/1/2037, Call 8/1/2021	1,980,000	814,671
Mendocino-Lake Community College District, AGM, 5.600%, 8/1/2031, Call 8/1/2026 (13)	300,000	361,080
Midpeninsula Regional Open Space District, 5.000%, 9/1/2029, Call 9/1/2022	2,000,000	2,253,500
Modesto Irrigation District, 5.000%, 7/1/2021	500,000	546,135
Mount Diablo Unified School District, AGM, 0.000%, 8/1/2035, Call 8/1/2025	2,125,000	2,061,590
Murrieta Valley Unified School District, NATL-RE, 0.000%, 9/1/2020	500,000	481,925
Norman Y Mineta San Jose International Airport SJC:
5.000%, 3/1/2041, Call 3/1/2027 (14)	1,000,000	1,124,960
5.000%, 3/1/2042, Call 3/1/2027	1,665,000	1,894,204
Northern California Gas Authority No. 1:
2.196%, 7/1/2019 (7)	1,575,000	1,575,409
2.286%, 7/1/2027 (7)	1,915,000	1,874,421
Northern California Power Agency:
5.000%, 7/1/2031, Call 7/1/2022	500,000	553,170
5.000%, 7/1/2032, Call 7/1/2022	700,000	773,619
Orchard School District, NATL-RE, 0.000%, 8/1/2023	590,000	526,369
Pasadena Public Financing Authority, 0.000%, 3/1/2029	2,000,000	1,452,940
Porterville Unified School District Facilities Improvement District, AGM, 0.000%, 8/1/2034, Call 10/1/2018	1,500,000	702,990
Roseville Joint Union High School District, 0.000%, 8/1/2022	305,000	281,430
Sacramento Redevelopment Agency Successor Agency, BAM:
5.000%, 12/1/2027, Call 12/1/2025	235,000	271,820
5.000%, 12/1/2028, Call 12/1/2025	425,000	490,378
5.000%, 12/1/2030, Call 12/1/2025	1,000,000	1,148,150
5.000%, 12/1/2031, Call 12/1/2025	2,000,000	2,289,240
San Francisco City & County Airport Comm-San Francisco International Airport:
5.000%, 5/1/2024, Call 5/1/2021	745,000	809,904
5.000%, 5/1/2024, Call 5/1/2021	295,000	320,087
San Jose Financing Authority, 5.000%, 6/1/2039, Call 6/1/2023	1,435,000	1,595,002
San Jose Unified School District, NATL-RE, 0.000%, 8/1/2027	1,495,000	1,179,450
San Miguel Joint Union School District, AGM:
0.000%, 6/15/2020	415,000	402,554
0.000%, 6/15/2021	490,000	464,672
0.000%, 6/15/2022	505,000	464,418
Santa Ana Unified School District, 0.000%, 8/1/2021	500,000	473,130
Santa Barbara County College School District:
0.000%, 8/1/2027	365,000	282,944
0.000%, 8/1/2031	470,000	300,349
State of California:
5.250%, 9/1/2025, Call 9/1/2021	2,045,000	2,260,093
6.000%, 3/1/2033, Call 3/1/2020	1,550,000	1,650,889
Tender Option Bond Trust Receipts/Certificates:
1.660%, 2/1/2023 (5) (7)	2,410,000	2,410,000
1.660%, 11/1/2023 (5) (7)	6,000,000	6,000,000
1.660%, 8/15/2042, Call 8/15/2020 (5) (7)	5,000,000	5,000,000
1.660%, 10/1/2054 (5) (7)	800,000	800,000
Tender Option Bond Trust Receipts/Certificates, AGM, 1.640%, 11/15/2049, Call 11/15/2024 (5) (7)	5,760,000	5,760,000
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2041, Call 10/1/2018 (7)	1,365,000	1,368,399
Vallejo City Unified School District, NATL-RE, 5.900%, 8/1/2025	1,225,000	1,416,345
Walnut Creek Elementary School District Contra Costa County, 0.000%, 9/1/2023	1,560,000	1,391,114
Watereuse Finance Authority, BAM TCRs, 5.500%, 5/1/2036, Call 5/1/2024	2,635,000	3,035,889

West Contra Costa Unified School District, AGM NATL-RE FGIC, 0.000%, 8/1/2025	310,000	259,176
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021	2,000,000	2,160,200
Westminster School District, BAM, 0.000%, 8/1/2048, Call 8/1/2023	7,045,000	1,111,278
Whittier Union High School District, 0.000%, 8/1/2034, Call 8/1/2019	500,000	190,345
Windsor Unified School District, AGM:
0.000%, 8/1/2020	105,000	101,744
0.000%, 8/1/2023	240,000	214,428
0.000%, 8/1/2024, Call 8/1/2023	330,000	280,229


0.000%, 8/1/2025, Call 8/1/2023	270,000	217,704
0.000%, 8/1/2026, Call 8/1/2023	330,000	251,906
0.000%, 8/1/2028, Call 8/1/2023	420,000	287,078

		123,188,587
Colorado — 2.7%
Adams & Arapahoe Joint School District 28J Aurora, SAW, 5.000%, 12/1/2031, Call 12/1/2026	5,000,000	5,832,150
Adams County School District No. 14, SAW:
5.000%, 12/1/2024	500,000	576,455
5.000%, 12/1/2026, Call 12/1/2024	355,000	411,292
5.000%, 12/1/2027, Call 12/1/2024	500,000	578,025
Arkansas River Power Authority, 5.000%, 10/1/2043, Call 10/1/2028	2,250,000	2,472,165
City & County of Denver, 5.000%, 8/1/2048, Call 8/1/2026	4,000,000	4,481,480
City & County of Denver Airport System Revenue:
5.000%, 11/15/2021	500,000	549,115
5.000%, 12/1/2048, Call 12/1/2028	3,000,000	3,354,150
Colorado Educational & Cultural Facilities Authority:
4.000%, 12/15/2025	535,000	554,035
5.000%, 9/1/2020 (13)	1,060,000	1,122,985
5.000%, 9/1/2021 (13)	865,000	937,037
5.000%, 10/1/2030, Call 10/1/2025	1,250,000	1,376,400
Colorado Health Facilities Authority:
2.200%, 7/1/2034, Call 7/1/2019 (5) (7)	3,325,000	3,325,000
3.125%, 5/15/2027, Call 5/15/2020	250,000	250,178
4.500%, 2/1/2020	455,000	468,568
5.000%, 9/1/2018	530,000	530,000
5.000%, 9/1/2019	560,000	577,147
5.000%, 2/1/2021	475,000	501,975
5.000%, 9/1/2022	750,000	827,362
5.000%, 12/1/2023	215,000	237,670
5.000%, 2/1/2024	420,000	462,277
5.000%, 6/1/2047, Call 6/1/2027	1,000,000	1,090,800
5.250%, 1/1/2025, Call 1/1/2020	460,000	480,139
5.250%, 5/15/2037, Call 5/15/2027	1,000,000	1,092,510
Commerce City Northern Infrastructure General Improvement District, AGM:
5.000%, 12/1/2020	785,000	838,788
5.000%, 12/1/2021	725,000	792,381
5.000%, 12/1/2022	1,185,000	1,317,021
County of Boulder, 5.000%, 12/1/2025, Call 12/1/2020	475,000	506,141

Denver City & County School District No. 1, SAW, 5.000%, 12/1/2032, Call 12/1/2022	1,500,000	1,684,575
Denver Convention Center Hotel Authority:
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,121,990
5.000%, 12/1/2034, Call 12/1/2026	1,000,000	1,116,360
Denver Health & Hospital Authority, 5.500%, 12/1/2019	1,195,000	1,223,071
Park Creek Metropolitan District, 5.000%, 12/1/2030, Call 12/1/2025	1,895,000	2,159,713
Public Authority for Colorado Energy, 5.750%, 11/15/2018	195,000	196,453
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021	2,000,000	2,186,220
Tender Option Bond Trust Receipts/Certificates, 1.670%, 12/1/2032, Call 12/1/2022 (5) (7)	1,685,000	1,685,000
Weld County School District No. RE-7 Platte Valley, SAW, 4.000%, 12/1/2023, Call 12/1/2020	1,140,000	1,194,253

		48,110,881
Connecticut — 0.9%
City of New Haven, AGM, 5.000%, 8/1/2023	2,060,000	2,318,613
Connecticut Housing Finance Authority, 3.600%, 11/15/2030, Call 11/15/2024	305,000	306,650
Connecticut State Health & Educational Facilities Authority:
3.250%, 9/1/2021, Call 10/1/2018 (5)	350,000	350,105
5.000%, 7/1/2029, Call 7/1/2028	1,000,000	1,167,160
State of Connecticut:
5.000%, 3/15/2027, Call 3/15/2026	2,155,000	2,426,465
5.000%, 4/15/2034, Call 4/15/2027	3,000,000	3,315,510
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026	2,000,000	2,206,740


5.000%, 1/15/2033, Call 1/15/2027	4,000,000	4,428,440

		16,519,683
Delaware — 0.4%
City of Wilmington, 5.000%, 10/1/2025, Call 10/1/2023	3,715,000	4,209,689
Delaware State Economic Development Authority, 5.000%, 6/1/2036, Call 6/1/2026	1,500,000	1,520,055
Delaware State Housing Authority, GNMA/FNMA/FHLMC, 5.000%, 1/1/2026, Call 7/1/2019	195,000	198,264
Sustainable Energy Utility, Inc., 5.000%, 9/15/2034, Call 9/15/2021	1,580,000	1,707,443

		7,635,451
District of Columbia — 0.4%
District of Columbia:
5.000%, 10/1/2025, Call 10/1/2021	1,865,000	1,992,324
5.000%, 6/1/2036, Call 6/1/2026	2,500,000	2,729,150
5.000%, 12/1/2036, Call 12/1/2021	500,000	542,215
Washington Convention & Sports Authority, 5.000%, 10/1/2030, Call 10/1/2027	1,500,000	1,758,810

		7,022,499
Florida — 6.0%
Central Florida Expressway Authority:
4.000%, 7/1/2041, Call 7/1/2027	4,000,000	4,098,560
5.000%, 7/1/2039, Call 7/1/2027	1,000,000	1,134,070
Citizens Property Insurance Corp., 5.000%, 6/1/2019	2,615,000	2,675,694
City of Boynton Beach Utility System Revenue, AGM, 5.000%, 11/1/2027, Call 11/1/2021	1,000,000	1,088,390
City of Fort Pierce, AGC, 5.875%, 9/1/2028, Call 9/1/2018	1,000,000	1,000,000
City of Gulf Breeze, 5.000%, 12/1/2023, Call 12/1/2020	2,000,000	2,132,480
City of Lakeland Department of Electric Utilities, AGM, 5.250%, 10/1/2028	1,250,000	1,545,600
City of North Port, BAM, 5.000%, 7/1/2022	200,000	220,030
City of Orlando, AGM:
5.000%, 11/1/2034, Call 11/1/2027	1,000,000	1,133,350
5.000%, 11/1/2035, Call 11/1/2027	1,000,000	1,129,970
5.000%, 11/1/2036, Call 11/1/2027	1,000,000	1,126,610
City of Port St. Lucie, AGC, 6.250%, 9/1/2027, Call 9/1/2018	500,000	500,000
City of Sunrise, NATL-RE:
0.000%, 10/1/2019	905,000	888,158
0.000%, 10/1/2020	975,000	936,761
0.000%, 10/1/2021	175,000	163,923
City of Sunrise Utility System Revenue, 4.000%, 10/1/2019	540,000	553,370
City of Tallahassee:
5.000%, 12/1/2026, Call 12/1/2025	450,000	506,592
5.000%, 12/1/2027, Call 12/1/2025	400,000	448,372
City of Tampa, 5.250%, 11/15/2026, Call 5/15/2020	2,000,000	2,119,080
City of Tampa, AMBAC, 0.000%, 4/1/2021	460,000	434,051
Columbia County School Board, BAM, 5.000%, 7/1/2026, Call 7/1/2025	495,000	568,809
County of Broward, AGM, 5.000%, 4/1/2033, Call 4/1/2023	740,000	797,202
County of Broward Airport System Revenue:
5.000%, 10/1/2026, Call 10/1/2025 (14)	750,000	857,250
5.000%, 10/1/2031, Call 10/1/2025 (14)	1,000,000	1,121,160
County of Lee County Water & Sewer Revenue, 5.000%, 10/1/2029, Call 10/1/2022	2,000,000	2,208,740
County of Miami-Dade, AGC, 0.000%, 10/1/2021	610,000	567,062
County of Miami-Dade Aviation Revenue:
5.000%, 10/1/2025, Call 10/1/2024	800,000	917,840
5.000%, 10/1/2040, Call 10/1/2027 (14)	1,500,000	1,683,480
5.500%, 10/1/2026, Call 10/1/2020	450,000	483,998
5.500%, 10/1/2026, Call 10/1/2020	1,450,000	1,559,547
County of Miami-Dade Aviation Revenue, AGC, 5.000%, 10/1/2029, Call 10/1/2019	400,000	414,048
County of Miami-Dade Water & Sewer System Revenue:
4.000%, 10/1/2035, Call 10/1/2027	2,500,000	2,628,175
5.000%, 10/1/2033, Call 10/1/2025	2,000,000	2,275,000
5.250%, 10/1/2029, Call 10/1/2023	100,000	113,022
County of Miami-Dade Water & Sewer System Revenue, BHAC, 6.000%, 10/1/2023, Call 10/1/2018	1,000,000	1,003,290
County of Orange Sales Tax Revenue, 5.000%, 1/1/2027, Call 1/1/2022	5,810,000	6,338,013
County of St. Johns, AGM:
5.000%, 10/1/2020	1,625,000	1,725,490


5.000%, 10/1/2021	1,110,000	1,206,648
Dupree Lakes Community Development District, BAM, 3.000%, 5/1/2019	190,000	191,378
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2032, Call 1/1/2025	1,445,000	1,619,079
Escambia County Health Facilities Authority, AGC, 1.650%, 11/15/2029, Call 9/4/2018 (7)	4,000,000	4,000,000
Florida Housing Finance Corp., GNMA/FNMA/FHLMC:
4.450%, 1/1/2030, Call 7/1/2021	300,000	306,870
5.000%, 7/1/2028, Call 1/1/2020	95,000	96,493
Halifax Hospital Medical Center:
5.000%, 6/1/2026	1,525,000	1,755,778
5.000%, 6/1/2027, Call 6/1/2026	1,295,000	1,472,635
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,133,800
Lee County School Board, 5.000%, 8/1/2028, Call 8/1/2024	2,500,000	2,836,700

Miami-Dade County Educational Facilities Authority, 5.000%, 4/1/2031, Call 4/1/2025	2,000,000	2,257,300
Monroe County School District, 5.000%, 6/1/2034, Call 6/1/2027	1,000,000	1,141,140
Orange County Health Facilities Authority, 5.250%, 10/1/2035, Call 10/1/2018	440,000	441,192
Palm Beach County Health Facilities Authority:
5.000%, 5/15/2036, Call 5/15/2027	1,000,000	1,079,630
5.000%, 5/15/2037, Call 5/15/2027	1,000,000	1,077,340
5.000%, 11/15/2045, Call 11/15/2025	2,500,000	2,762,800
Polk County Housing Finance Authority, GNMA COLL, 5.000%, 9/1/2029, Call 8/1/2020	150,000	157,917
Putnam County Development Authority, 1.480%, 9/1/2024, Call 9/19/2018 (7)	3,600,000	3,600,000
Sarasota County Health Facilities Authority:
5.000%, 1/1/2030, Call 1/1/2025	750,000	817,710
5.000%, 1/1/2031, Call 1/1/2025	935,000	1,017,196
5.000%, 1/1/2037, Call 1/1/2024	1,000,000	1,075,770
School Board of Miami-Dade County, 1.790%, 8/1/2027, Call 2/1/2019 (5) (7)	6,305,000	6,305,000

School Board of Miami-Dade County, FGIC, 1.790%, 5/1/2037, Call 9/1/2018 (5) (7)	6,500,000	6,500,000
St. Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021	2,500,000	2,678,375
Sumter County Industrial Development Authority:
4.000%, 7/1/2019	1,000,000	1,017,610
5.000%, 7/1/2020	500,000	527,435
Tender Option Bond Trust Receipts/Certificates, 1.660%, 10/1/2042, Call 4/1/2022 (5) (7)	7,500,000	7,500,000
Town of Davie:
5.000%, 4/1/2019	75,000	76,407
5.000%, 4/1/2021	615,000	661,506
5.000%, 4/1/2022	830,000	912,104
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call 10/15/2021	730,000	798,270

		107,121,270
Georgia — 4.4%
Carroll City-County Hospital Authority, County Guarantee:
5.000%, 7/1/2023, Call 7/1/2020	1,185,000	1,252,652
5.000%, 7/1/2023, Call 7/1/2020	1,605,000	1,696,918
5.000%, 7/1/2024, Call 7/1/2020	695,000	734,678
5.000%, 7/1/2024, Call 7/1/2020	945,000	998,600
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024	1,000,000	1,127,010
5.000%, 1/1/2032, Call 1/1/2024	2,500,000	2,808,250
5.000%, 1/1/2033, Call 1/1/2024	1,000,000	1,121,710
5.000%, 1/1/2034, Call 1/1/2024	1,000,000	1,121,180
City of Atlanta Water & Wastewater Revenue:
5.000%, 11/1/2040, Call 11/1/2027	1,000,000	1,152,990
5.000%, 11/1/2047, Call 11/1/2027	3,000,000	3,438,330
City of Atlanta Water & Wastewater Revenue, NATL-RE, 5.500%, 11/1/2022	1,000,000	1,107,010
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021	3,000,000	3,187,200
Floyd County Hospital Authority, County Guarantee:
5.000%, 7/1/2020	1,335,000	1,408,986
5.000%, 7/1/2021	1,155,000	1,246,280
5.000%, 7/1/2027, Call 7/1/2022	1,250,000	1,360,813


Fulton County Development Authority, 5.250%, 3/15/2024, Call 3/15/2019	1,120,000	1,140,138
Gainesville & Hall County Development Authority:
5.000%, 3/1/2027	750,000	823,335
5.000%, 3/1/2037, Call 3/1/2027	500,000	528,680
5.000%, 3/1/2047, Call 3/1/2027	3,000,000	3,141,510
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027	1,500,000	1,667,880
5.000%, 2/15/2037, Call 2/15/2027	2,000,000	2,219,200
5.000%, 2/15/2042, Call 2/15/2027	3,000,000	3,310,320
Glynn-Brunswick Memorial Hospital Authority, 5.000%, 8/1/2043, Call 8/1/2027	1,000,000	1,094,660
Jefferson City School District, SAW, 5.250%, 2/1/2029, Call 2/1/2021	1,350,000	1,459,471
Main Street Natural Gas, Inc.:
2.130%, 8/1/2048, Call 9/1/2023 (7)	5,000,000	4,992,400
2.145%, 4/1/2048, Call 6/1/2023 (7)	7,000,000	6,968,430
2.225%, 8/1/2048, Call 9/1/2023 (7)	5,000,000	4,982,500
5.250%, 9/15/2018	250,000	250,230
Private Colleges & Universities Authority, 5.000%, 10/1/2020	575,000	605,515
RBC Municipal Products, Inc. Trust, 1.620%, 10/1/2021, Call 9/19/2018 (5) (7)	4,000,000	4,000,000
Richmond County Hospital Authority:
5.250%, 1/1/2029, Call 1/1/2019	1,150,000	1,163,547
5.375%, 1/1/2029, Call 1/1/2019	940,000	951,449
South Fulton Municipal Regional Water & Sewer Authority, BAM:
5.000%, 1/1/2023	800,000	889,408
5.000%, 1/1/2024	1,000,000	1,129,680
5.000%, 1/1/2025, Call 1/1/2024	700,000	795,648
South Regional Joint Development Authority, 5.250%, 8/1/2023	25,000	28,315

Spalding County Water & Sewer Facilities Authority, 6.125%, 9/1/2028, Call 9/1/2018	700,000	700,000
Tender Option Bond Trust Receipts/Certificates, 1.710%, 4/1/2025 (5) (7)	4,000,000	4,000,000
Tender Option Bond Trust Receipts/Certificates, County Guarantee, 1.690%, 8/15/2049, Call 2/1/2025 (5) (7)	2,520,000	2,520,000
Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%, 10/1/2025, Call 10/1/2021	2,940,000	3,194,163
Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call 12/1/2021	1,000,000	1,083,450

		77,402,536
Guam — 0.1%
Territory of Guam:
5.000%, 12/1/2032, Call 12/1/2026	1,310,000	1,456,458
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,108,010

		2,564,468
Hawaii — 0.1%
City & County of Honolulu:
5.000%, 10/1/2022	500,000	559,000
5.000%, 10/1/2023	500,000	570,190

		1,129,190
Idaho — 0.1%

Canyon County School District No. 131 Nampa, School Bond Gty, 5.000%, 9/15/2023	1,000,000	1,133,590
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	515,000	518,960

		1,652,550
Illinois — 14.5%
Bureau County Township High School District No. 502, BAM, 6.625%, 10/1/2043, Call 12/1/2023	3,400,000	4,155,548
Chicago Board of Education, 6.000%, 4/1/2046, Call 4/1/2027	1,500,000	1,754,415
Chicago Board of Education, NATL-RE:
0.000%, 12/1/2022	365,000	318,112
5.000%, 12/1/2019	70,000	71,705
5.250%, 12/1/2021	1,000,000	1,069,540
Chicago O’Hare International Airport:
5.000%, 1/1/2026, Call 1/1/2025 (14)	1,500,000	1,673,370
5.000%, 1/1/2031, Call 1/1/2025 (14)	1,000,000	1,097,440
5.000%, 1/1/2039, Call 1/1/2027	2,000,000	2,233,240


Chicago O’Hare International Airport, AGC, 5.250%, 1/1/2026, Call 1/1/2020	775,000	807,271
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022	1,060,000	1,140,783
5.000%, 1/1/2025, Call 7/1/2020	230,000	239,628
5.000%, 1/1/2026, Call 1/1/2021	730,000	766,004
5.000%, 1/1/2028, Call 1/1/2024	2,500,000	2,742,875
5.000%, 11/15/2029, Call 11/15/2018	130,000	130,887
5.000%, 1/1/2031, Call 1/1/2026	1,790,000	1,974,173
5.000%, 1/1/2040, Call 1/1/2026	1,000,000	1,076,690
Chicago Transit Authority, 5.000%, 12/1/2046, Call 12/1/2026	3,000,000	3,221,700
City of Chicago, 6.000%, 1/1/2038, Call 1/1/2027	10,000,000	11,335,100
City of Chicago Wastewater Transmission Revenue:
5.000%, 1/1/2031, Call 1/1/2025	3,715,000	4,043,815
5.000%, 1/1/2032, Call 1/1/2027	2,000,000	2,196,700
5.000%, 1/1/2033, Call 1/1/2027	3,000,000	3,283,770
5.000%, 1/1/2039, Call 1/1/2025	500,000	536,320
City of Chicago Waterworks Revenue:
5.000%, 11/1/2025	2,000,000	2,262,660
5.000%, 11/1/2027, Call 11/1/2026	2,500,000	2,837,950
5.000%, 11/1/2027, Call 11/1/2026	1,000,000	1,135,180
5.000%, 11/1/2028, Call 11/1/2026	1,000,000	1,129,030
5.000%, 11/1/2029, Call 11/1/2026	1,000,000	1,122,930
City of Chicago Waterworks Revenue, AGM:
5.000%, 11/1/2027, Call 11/1/2018	140,000	140,753
5.000%, 11/1/2027, Call 11/1/2018	60,000	60,311
City of Springfield, 5.000%, 12/1/2022	905,000	988,568
City of Springfield Electric Revenue:
5.000%, 3/1/2028, Call 3/1/2025	1,000,000	1,118,380
5.000%, 3/1/2029, Call 3/1/2025	1,000,000	1,114,010
Cook County Community Consolidated School District No. 65 Evanston:
0.000%, 12/1/2027, Call 12/1/2024	300,000	213,948
0.000%, 12/1/2029, Call 12/1/2024	400,000	257,316
0.000%, 12/1/2030, Call 12/1/2024	1,130,000	691,210
0.000%, 12/1/2031, Call 12/1/2024	1,500,000	868,965
Cook County School District No. 103 Lyons, AGM, 0.000%, 12/1/2021	850,000	788,808
Cook County School District No. 124 Evergreen Park, BAM, 4.000%, 12/1/2020	450,000	465,489
Cook County School District No. 130 Blue Island, 2.350%, 12/1/2028, Call 9/10/2018 (5) (7) (9)	5,000,000	5,000,000
Cook County School District No. 144 Prairie Hills, AGM:
0.000%, 12/1/2028	2,830,000	1,901,788
0.000%, 12/1/2029	2,580,000	1,651,303
Cook County School District No. 83 Mannheim, 5.625%, 6/1/2033	2,980,000	3,425,570
Cook County Township High School District No. 201 J Sterling Morton, AMBAC, 0.000%, 12/1/2019	675,000	655,499
Cook County Township High School District No. 220 Reavis, 6.000%, 12/1/2030, Call 12/1/2023	1,000,000	1,169,750
Cook County Township High School District No. 220 Reavis, BAM:
6.000%, 12/1/2031, Call 12/1/2023	2,035,000	2,379,342
6.000%, 12/1/2032, Call 12/1/2023	2,160,000	2,540,570
6.000%, 6/1/2033, Call 12/1/2023	2,235,000	2,621,566
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026	3,270,000	3,696,212
5.000%, 11/15/2030, Call 11/15/2026	2,750,000	3,095,757
5.250%, 11/15/2023, Call 11/15/2020	350,000	372,425
County of Cook, BAM TCRs, 5.000%, 11/15/2023	1,000,000	1,120,520
County of Cook Sales Tax Revenue:
5.250%, 11/15/2035, Call 11/15/2027	1,520,000	1,774,342
5.250%, 11/15/2036, Call 11/15/2027	3,000,000	3,491,580
County of St. Clair:
5.250%, 10/1/2024, Call 10/1/2019	485,000	503,052
5.250%, 10/1/2024, Call 10/1/2019	215,000	222,979
5.250%, 10/1/2027, Call 10/1/2019	835,000	866,079
5.250%, 10/1/2027, Call 10/1/2019	315,000	326,690
County of St. Clair Highway Revenue, 5.500%, 1/1/2038, Call 1/1/2023	825,000	924,693


DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2020	600,000	582,510
DeKalb County Community Unit School District No. 428 DeKalb:
0.000%, 1/1/2025, Call 7/1/2020	400,000	299,652
0.000%, 1/1/2028, Call 7/1/2020	1,000,000	619,170
DeKalb Kane & LaSalle Counties Community College District No. 523 Kishwaukee, 0.000%, 2/1/2035, Call 2/1/2021	470,000	167,931
DuPage County School District No. 16 Queen Bee, NATL-RE FGIC, 0.000%, 11/1/2019	530,000	515,176
Frankfort Square Park District, AMBAC, 0.000%, 1/1/2022	670,000	587,972
Illinois Development Finance Authority, AGM:
0.000%, 1/1/2020	450,000	439,061
0.000%, 1/1/2020	500,000	485,550
0.000%, 1/1/2021	95,000	90,731
0.000%, 1/1/2021	160,000	152,283
5.150%, 1/1/2019	420,000	424,347
Illinois Finance Authority:
5.000%, 11/15/2023, Call 11/15/2022	215,000	237,534
5.000%, 8/15/2024	250,000	278,330
5.000%, 5/15/2025	1,000,000	1,085,670
5.000%, 11/15/2026, Call 11/15/2025	1,000,000	1,129,200
5.000%, 11/15/2027, Call 11/15/2025	500,000	561,850
5.000%, 11/1/2029, Call 11/1/2026	2,000,000	2,218,640
5.000%, 5/15/2030, Call 5/15/2025	1,000,000	1,046,200
5.000%, 11/1/2030, Call 11/1/2026	1,200,000	1,324,008
5.000%, 1/1/2036, Call 1/1/2027	2,000,000	2,162,340
5.000%, 12/1/2037, Call 12/1/2027	1,000,000	1,051,280
5.000%, 8/1/2042, Call 8/1/2027	580,000	628,952
5.000%, 8/1/2046, Call 8/1/2027	515,000	556,854
5.000%, 8/1/2047, Call 8/1/2027	750,000	809,782
5.000%, 12/1/2047, Call 12/1/2027	1,000,000	1,041,230
5.250%, 2/15/2030, Call 2/15/2020	250,000	262,425
6.000%, 10/1/2024, Call 10/1/2021	1,010,000	1,073,226
6.000%, 8/15/2041, Call 8/15/2021	2,665,000	2,923,372
6.875%, 10/1/2043, Call 10/1/2021	3,000,000	3,237,900
Illinois Finance Authority, AGC, 5.250%, 8/15/2019 (13)	250,000	258,230
Illinois Housing Development Authority, GNMA/FNMA/FHLMC, 2.450%, 6/1/2043, Call 1/1/2023	566,509	537,968
Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023	1,000,000	1,110,450
5.000%, 1/1/2029, Call 1/1/2023	1,000,000	1,108,280
5.000%, 1/1/2030, Call 1/1/2026	1,000,000	1,143,990
5.000%, 12/1/2032, Call 1/1/2026	7,790,000	8,790,703
5.000%, 1/1/2042, Call 1/1/2028	2,000,000	2,260,560
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-RE, 0.000%, 2/1/2023	5,450,000	4,861,618
Kane Cook & DuPage Counties School District No. U-46 Elgin, AMBAC:
0.000%, 1/1/2023	350,000	317,331
0.000%, 1/1/2023	650,000	577,870
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023	1,000,000	1,110,020
5.000%, 1/1/2024	1,000,000	1,124,360
5.000%, 1/1/2026, Call 1/1/2025	4,000,000	4,548,720
5.250%, 1/1/2033, Call 1/1/2023	900,000	1,001,547
Knox & Warren Counties Community Unit School District No. 205 Galesburg, 6.125%, 1/1/2036, Call 1/1/2021	1,435,000	1,542,496
Lake County School District No. 33 Emmons, XLCA:
0.000%, 12/1/2026	525,000	380,368
0.000%, 12/1/2028	335,000	218,886
Lake County School District No. 38 Big Hollow, AMBAC, 0.000%, 2/1/2019	200,000	197,810
Lake County School District No. 56 Gurnee, 5.000%, 1/1/2024	440,000	494,718
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, AGM FGIC, 0.000%, 1/1/2024	500,000	425,600
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL-RE:


0.000%, 1/1/2021	1,070,000	1,021,914
0.000%, 1/1/2021	830,000	783,105
McHenry County Community Unit School District No. 12 Johnsburg, AGM:
4.000%, 1/1/2019	265,000	266,685
5.000%, 1/1/2020	550,000	570,163
5.000%, 1/1/2021	810,000	854,631
5.000%, 1/1/2022	895,000	960,845
Metropolitan Pier & Exposition Authority, NATL-RE:
0.000%, 6/15/2020	440,000	417,754
0.000%, 12/15/2023	20,000	17,661
0.000%, 12/15/2023	835,000	693,476
0.000%, 6/15/2024	1,000,000	810,030
5.700%, 6/15/2023	1,710,000	1,986,712
5.700%, 6/15/2023	1,820,000	2,046,608
Metropolitan Water Reclamation District of Greater Chicago, 5.000%, 12/1/2031, Call 12/1/2026	3,500,000	3,963,750
Peoria Public Building Commission, AGC, 0.000%, 12/1/2019, Call 12/1/2018	1,000,000	947,780
Railsplitter Tobacco Settlement Authority:
5.000%, 6/1/2027, Call 6/1/2026	2,000,000	2,277,300
5.250%, 6/1/2021	1,120,000	1,209,040
Rib Floater Trust Various States, 1.740%, 8/15/2030, Call 10/1/2018 (5) (7)	5,000,000	5,000,000
Sales Tax Securitization Corp.:
5.000%, 1/1/2029, Call 1/1/2028	1,000,000	1,149,270
5.000%, 1/1/2030, Call 1/1/2028	2,450,000	2,792,338
South Suburban College Community School District No. 510, AGC, 0.000%, 12/1/2025	1,000,000	802,650
Southern Illinois University, BAM, 5.000%, 4/1/2026, Call 4/1/2025	1,175,000	1,318,679
Southwestern Illinois Development Authority:
5.000%, 10/15/2029, Call 10/15/2025	1,780,000	1,953,781
5.000%, 10/15/2032, Call 10/15/2025	1,335,000	1,453,908

Southwestern Illinois Development Authority, AGC, 5.750%, 2/1/2029, Call 2/1/2019	1,025,000	1,042,230
St. Clair County Community Unit School District No. 187 Cahokia, AGM, 5.000%, 1/1/2020	630,000	654,778
St. Louis Regional Airport Authority, 6.000%, 12/1/2024, Call 12/1/2018	745,000	751,683
State of Illinois:
5.000%, 3/1/2020	500,000	517,115
5.000%, 4/1/2024, Call 4/1/2023	500,000	526,670
5.000%, 11/1/2025	7,000,000	7,462,910
5.000%, 2/1/2027	1,000,000	1,067,070
5.000%, 10/1/2028 (9)	2,000,000	2,140,420
5.000%, 2/1/2029, Call 2/1/2027	1,000,000	1,058,310
5.250%, 6/15/2034, Call 6/15/2019	3,715,000	3,818,723
6.500%, 6/15/2022	250,000	264,510
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023	3,205,000	3,448,484
Tazewell County School District No. 51 Washington Central, NATL-RE, 9.000%, 12/1/2025	165,000	225,108
Tender Option Bond Trust Receipts/Certificates:
1.660%, 11/15/2037, Call 11/15/2027 (5) (7)	4,075,000	4,075,000
1.660%, 11/1/2039, Call 5/1/2019 (5) (7)	1,000,000	1,000,000
1.710%, 6/15/2020 (5) (7)	3,705,000	3,705,000
1.740%, 4/1/2046, Call 4/1/2027 (5) (7)	2,500,000	2,500,000
Town of Cicero, AGM:
5.000%, 1/1/2020	1,000,000	1,034,270
5.000%, 1/1/2021	1,000,000	1,059,050
Village of Bolingbrook, AGM, 5.000%, 1/1/2025, Call 1/1/2020	1,425,000	1,472,695
Village of Elwood, AGC:
0.000%, 3/1/2024, Call 3/1/2019	250,000	188,535
0.000%, 3/1/2026, Call 3/1/2019	1,280,000	862,502
Village of Franklin Park, BAM:
4.000%, 10/1/2018	425,000	425,706
4.000%, 10/1/2019	420,000	429,811
4.000%, 10/1/2020	615,000	634,766
5.000%, 10/1/2022, Call 10/1/2021	730,000	789,035
5.000%, 10/1/2023, Call 10/1/2021	685,000	739,547


5.000%, 10/1/2024, Call 10/1/2021	425,000	458,579
5.000%, 10/1/2025, Call 10/1/2021	920,000	992,689
Village of Justice, AMBAC, 0.000%, 1/1/2021	635,000	580,130
Will & Kankakee Counties School District No. 255:
5.000%, 6/1/2026, Call 6/1/2025	500,000	551,910
5.000%, 6/1/2029, Call 6/1/2025	600,000	653,208
Will County Community High School District No. 210 Lincoln-Way:
5.000%, 1/1/2027, Call 1/1/2023	1,250,000	1,252,800
5.000%, 1/1/2028, Call 1/1/2023	3,500,000	3,501,085
5.000%, 1/1/2030, Call 1/1/2023	2,000,000	1,977,740
Will County Community School District No. 161 Summit Hill, NATL-RE, 0.000%, 1/1/2019	695,000	689,537
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE:
0.000%, 11/1/2020	245,000	235,014
0.000%, 11/1/2020	1,755,000	1,668,092
0.000%, 11/1/2021	55,000	51,427
0.000%, 11/1/2021	245,000	225,892
0.000%, 11/1/2022	60,000	54,493
0.000%, 11/1/2022	190,000	169,267
Will County Community Unit School District No. 209-U Wilmington, NATL-RE, 5.750%, 1/1/2023, Call 10/16/2018	545,000	546,673
Will County School District No. 114 Manhattan, NATL-RE:
0.000%, 12/1/2020	630,000	603,080
0.000%, 12/1/2020	550,000	517,605
Will County School District No. 114 Manhattan, NATL-RE, 0.000%, 12/1/2023	1,600,000	1,348,576
Will County Township High School District No. 204 Joliet, 6.250%, 1/1/2031, Call 1/1/2021	500,000	547,730
Will Grundy Counties Community College District No. 525, 5.250%, 6/1/2036, Call 12/1/2023	3,400,000	3,813,712
Williamson County Community Unit School District No. 5 Carterville, AGC:
0.000%, 1/1/2029, Call 1/1/2019	300,000	167,628
0.000%, 1/1/2033, Call 1/1/2019	1,000,000	420,190
0.000%, 1/1/2034, Call 1/1/2019	1,000,000	389,410
Winnebago & Boone Counties School District No. 205 Rockford:
0.000%, 2/1/2020	500,000	483,375
4.000%, 2/1/2027, Call 2/1/2023	4,680,000	4,897,292

		258,798,154
Indiana — 2.1%
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020	350,000	370,304
City of Greenwood Sewage Works Revenue:
4.250%, 10/1/2020, Call 10/1/2018	820,000	829,824
4.625%, 10/1/2024, Call 10/1/2018	520,000	526,370
City of Rockport, 3.050%, 6/1/2025	2,100,000	2,111,403
Fishers Redevelopment District:
5.125%, 7/15/2026, Call 1/15/2020	1,875,000	1,962,300
5.250%, 7/15/2023, Call 1/15/2020	1,605,000	1,682,425
Frankfort High School Elementary School Building Corp., 5.000%, 7/15/2025	115,000	132,785
Franklin Township-Marion County Multiple School Building Corp., SAW:
5.000%, 7/10/2021	580,000	630,767
5.000%, 7/15/2029, Call 1/15/2023	2,565,000	2,841,738
Indiana Bond Bank, 2.220%, 10/15/2022 (7)	1,650,000	1,636,354
Indiana Finance Authority:
1.450%, 5/1/2028 (7)	1,500,000	1,500,000
3.000%, 7/1/2019	250,000	252,578
5.000%, 8/15/2020	700,000	725,823
5.000%, 10/1/2022	300,000	327,525
5.000%, 10/1/2023	400,000	441,732
5.000%, 10/1/2024, Call 10/1/2023	275,000	303,281
5.000%, 5/1/2029, Call 5/1/2022	85,000	93,912
5.000%, 5/1/2029, Call 5/1/2022	3,985,000	4,338,111
5.250%, 10/1/2024, Call 10/1/2021	710,000	780,645
5.250%, 10/1/2031, Call 10/1/2021	2,190,000	2,387,341
5.250%, 11/15/2046, Call 11/15/2026	2,500,000	2,740,150
5.500%, 5/1/2024, Call 5/1/2019	820,000	840,697
5.500%, 5/1/2024, Call 5/1/2019	180,000	184,448


Indiana Health Facility Financing Authority, AMBAC, 1.029%, 5/1/2031, Call 9/4/2018 (7) (8)	425,000	416,542
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.780%, 7/1/2047, Call 9/19/2018 (7)	2,550,000	2,550,000
Indiana Municipal Power Agency, 5.250%, 1/1/2024, Call 1/1/2019	500,000	505,975
Indianapolis Local Public Improvement Bond Bank:
5.000%, 1/1/2021	175,000	187,511
5.000%, 1/1/2022, Call 1/1/2021	200,000	213,120
5.750%, 1/1/2038, Call 1/1/2019	345,000	349,675
Indianapolis Local Public Improvement Bond Bank, NATL-RE, 5.250%, 7/1/2022	500,000	557,930
Marion High School Building Corp., SAW:
4.000%, 7/15/2019	455,000	463,863
4.000%, 7/15/2020, Call 1/15/2020	935,000	960,348
4.000%, 7/15/2021, Call 1/15/2020	375,000	384,503
Portage Redevelopment District:
5.000%, 1/15/2023	280,000	307,406
5.000%, 1/15/2024	215,000	239,181
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021	160,000	167,629
Rush County Elementary School Building Corp., SAW, 5.250%, 7/15/2021, Call 1/15/2019	565,000	572,565
Steuben Lakes Regional Waste District, 5.000%, 9/1/2024, Call 9/1/2023	1,225,000	1,369,623

		36,886,384
Iowa — 0.4%
Iowa Finance Authority:
5.000%, 5/15/2036, Call 5/15/2026	4,000,000	4,287,080
5.000%, 5/15/2043, Call 5/15/2027	1,000,000	1,072,010
Johnston Community School District, AGM, 5.000%, 7/1/2027, Call 7/1/2022	1,455,000	1,583,986

		6,943,076
Kansas — 0.2%
Kansas Development Finance Authority:
5.000%, 11/15/2020, Call 11/15/2019	35,000	36,279
5.000%, 11/15/2020, Call 11/15/2019	765,000	793,779
5.000%, 3/1/2031, Call 3/1/2020	1,000,000	1,044,540
Kansas Development Finance Authority, AGM, 5.250%, 11/1/2028, Call 11/1/2018	475,000	477,774

Wyandotte County-Kansas City Unified Government Utility System Revenue, 5.000%, 9/1/2032, Call 9/1/2022	1,000,000	1,096,740

		3,449,112
Kentucky — 1.0%
Kentucky Asset Liability Commission:
5.000%, 9/1/2024	1,000,000	1,139,440
5.000%, 9/1/2025	1,250,000	1,442,313
Kentucky Economic Development Finance Authority:
5.000%, 8/15/2041, Call 8/15/2027	1,500,000	1,615,335
5.000%, 8/15/2046, Call 8/15/2027	1,500,000	1,611,825
Louisville/Jefferson County Metropolitan Government:
5.000%, 10/1/2030, Call 10/1/2026	1,300,000	1,478,152
5.000%, 10/1/2031, Call 10/1/2026	3,500,000	3,963,610
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019	100,000	101,905
Paducah Electric Plant Board, AGM:
5.000%, 10/1/2027, Call 10/1/2026	2,000,000	2,267,960
5.000%, 10/1/2028, Call 10/1/2026	1,850,000	2,086,596
5.000%, 10/1/2030, Call 10/1/2026	1,500,000	1,677,120
Pulaski County Public Properties Corp., 5.500%, 12/1/2024, Call 12/1/2018	260,000	262,405

		17,646,661
Louisiana — 2.0%
City of Bossier City Utilities Revenue, 5.000%, 10/1/2031, Call 10/1/2024	1,160,000	1,328,049
City of New Orleans Sewerage Service Revenue:
5.000%, 6/1/2021	800,000	860,744
5.000%, 6/1/2022	450,000	493,614
5.000%, 6/1/2023	500,000	558,835
5.000%, 6/1/2026, Call 6/1/2025	150,000	171,120
5.000%, 6/1/2027, Call 6/1/2025	200,000	227,896
5.000%, 6/1/2029, Call 6/1/2025	200,000	226,712
City of New Orleans Water System Revenue:


5.000%, 12/1/2021	500,000	542,540
5.000%, 12/1/2022	725,000	800,211
5.000%, 12/1/2024	765,000	875,290
5.000%, 12/1/2026, Call 12/1/2025	240,000	274,032
5.000%, 12/1/2029, Call 12/1/2025	350,000	396,935

City of Shreveport Water & Sewer Revenue, BAM, 4.000%, 12/1/2025, Call 12/1/2024	2,210,000	2,375,197
Lafayette Public Trust Financing Authority, AGM:
4.000%, 10/1/2020	690,000	719,442
4.000%, 10/1/2021	675,000	713,988
Louisiana Housing Corp., GNMA COLL, 4.750%, 6/1/2027, Call 6/1/2020	610,000	628,825
Louisiana Public Facilities Authority:
3.375%, 9/1/2028, Call 3/1/2021	2,440,000	2,455,958
5.000%, 5/15/2042, Call 5/15/2027	2,500,000	2,753,275
Louisiana Stadium & Exposition District, 5.000%, 7/1/2023	800,000	902,320
New Orleans Aviation Board:
5.000%, 1/1/2043, Call 1/1/2027	1,500,000	1,678,395
5.000%, 1/1/2048, Call 1/1/2027	1,855,000	2,067,064
Parish of St. Bernard:
4.000%, 3/1/2020	3,470,000	3,576,980
4.000%, 3/1/2021	3,585,000	3,727,181
Parish of St. James, 1.730%, 11/1/2040, Call 9/19/2018 (7)	6,000,000	6,000,000
Port New Orleans Board of Commissioners, 5.000%, 4/1/2032, Call 4/1/2023	725,000	777,845
Regional Transit Authority, NATL-RE, 0.000%, 12/1/2021	210,000	178,448
Terrebonne Parish Consolidated Government, 5.875%, 3/1/2024, Call 3/1/2019	495,000	505,435

		35,816,331
Maine — 0.7%
City of Portland General Airport Revenue, 5.000%, 7/1/2022	300,000	328,314
Maine Health & Higher Educational Facilities Authority:
5.000%, 7/1/2043, Call 7/1/2028	1,500,000	1,680,285
5.000%, 7/1/2048, Call 7/1/2028	2,000,000	2,238,620
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021	7,025,000	7,140,983
Maine Turnpike Authority, 5.000%, 7/1/2029, Call 7/1/2022	1,500,000	1,651,380

		13,039,582
Maryland — 1.0%
City of Rockville:
5.000%, 11/1/2030, Call 11/1/2024	765,000	841,600
5.000%, 11/1/2037, Call 11/1/2024	1,000,000	1,085,590
5.000%, 11/1/2042, Call 11/1/2024	1,000,000	1,082,710
Maryland Health & Higher Educational Facilities Authority:
5.000%, 5/15/2042, Call 5/15/2027	4,750,000	5,302,520
5.750%, 7/1/2034, Call 7/1/2021	775,000	854,112
Maryland Industrial Development Financing Authority, 1.720%, 3/1/2030, Call 9/19/2018 (7)	5,000,000	5,000,000
Montgomery County Housing Opportunities Commission:
5.000%, 7/1/2031, Call 7/1/2020	655,000	679,215
5.125%, 7/1/2037, Call 7/1/2020	3,110,000	3,218,912

		18,064,659
Massachusetts — 1.5%
Commonwealth of Massachusetts, 5.250%, 9/1/2043, Call 9/1/2028 (9)	5,000,000	5,903,250
Massachusetts Development Finance Agency:
5.000%, 7/1/2025, Call 7/1/2021	1,425,000	1,540,482
5.000%, 7/1/2027, Call 7/1/2025	125,000	144,654
5.000%, 7/1/2037, Call 7/1/2027	1,400,000	1,505,294
5.000%, 10/1/2037, Call 10/1/2022 (5)	500,000	538,900
5.000%, 10/1/2047, Call 10/1/2022 (5)	500,000	534,965
Massachusetts Educational Financing Authority:
5.000%, 7/1/2025, Call 7/1/2022 (14)	500,000	531,560
5.250%, 1/1/2019	445,000	449,882
5.250%, 1/1/2019 (14)	1,150,000	1,161,293
Massachusetts Health & Educational Facilities Authority, 5.000%, 7/1/2024, Call 7/1/2019	3,105,000	3,185,140
Massachusetts Housing Finance Agency, 3.700%, 12/1/2027, Call 6/1/2022 (14)	635,000	635,355
Massachusetts School Building Authority, 5.000%, 8/15/2030, Call 8/15/2022	815,000	896,867


Massachusetts Water Resources Authority, 5.000%, 8/1/2043, Call 8/1/2028	8,600,000	9,984,256

		27,011,898
Michigan — 3.4%
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2021	890,000	960,132
Bay City School District, Q-SBLF:
5.000%, 11/1/2027, Call 5/1/2024	645,000	729,527
5.000%, 11/1/2028, Call 5/1/2024	1,305,000	1,473,084
Caledonia Community Schools, Q-SBLF:
5.000%, 5/1/2025	600,000	691,824
5.000%, 5/1/2026	500,000	579,790
Carman-Ainsworth Community School District, BAM, 5.000%, 5/1/2020	375,000	394,039
Charter Township of Northville:
4.000%, 4/1/2021	400,000	419,032
4.000%, 4/1/2022	240,000	254,251
Chippewa Valley Schools, Q-SBLF, 5.000%, 5/1/2027, Call 11/1/2025	20,000	23,172
City of Detroit Sewage Disposal System Revenue, AGC NATL-RE, 5.250%, 7/1/2023, Call 10/1/2018	95,000	95,256
City of Detroit Sewage Disposal System Revenue, NATL-RE, 0.000%, 7/1/2020	110,000	105,321
City of Wyandotte Electric System Revenue, BAM:
5.000%, 10/1/2020	200,000	210,448
5.000%, 10/1/2021	290,000	310,863
5.000%, 10/1/2022	290,000	316,373
5.000%, 10/1/2023	250,000	277,080
5.000%, 10/1/2024	300,000	336,258
Coloma Community School District, Q-SBLF, 3.000%, 5/1/2021	905,000	929,462
Comstock Park Public Schools, Q-SBLF, 5.000%, 5/1/2028, Call 5/1/2021	400,000	429,368
Detroit City School District, AGM Q-SBLF, 5.250%, 5/1/2026	300,000	348,525
Dundee Community Schools, Q-SBLF:
5.000%, 5/1/2022	1,200,000	1,323,144
5.000%, 5/1/2025	1,000,000	1,153,040
Fitzgerald Public School District, BAM, 4.000%, 5/1/2019	2,065,000	2,089,016
Fraser Public School District, Q-SBLF:
5.000%, 5/1/2021	1,000,000	1,080,430
5.000%, 5/1/2022	1,000,000	1,102,620
5.000%, 5/1/2025	1,700,000	1,960,168
Grosse Ile Township School District, Q-SBLF:
5.000%, 5/1/2026, Call 5/1/2025	200,000	230,342
5.000%, 5/1/2027, Call 5/1/2025	230,000	263,074
Hartland Consolidated Schools, AGM Q-SBLF:
5.250%, 5/1/2026, Call 5/1/2021	1,625,000	1,756,934
5.250%, 5/1/2027, Call 5/1/2021	600,000	648,228
5.250%, 5/1/2028, Call 5/1/2021	1,575,000	1,700,323
Howell Public Schools, Q-SBLF, 4.250%, 5/1/2024, Call 5/1/2022	1,000,000	1,066,880
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020	415,000	434,596
Jenison Public Schools:
5.000%, 5/1/2021	500,000	538,325
5.000%, 5/1/2022, Call 5/1/2021	560,000	606,553
Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021	1,000,000	1,081,380
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021	1,000,000	1,067,680
Lansing School District, Q-SBLF:
5.000%, 5/1/2019	1,000,000	1,021,860
5.000%, 5/1/2020	1,825,000	1,922,254
Livonia Public Schools School District, BAM, 5.000%, 5/1/2021	1,600,000	1,716,192
Marshall Public Schools, Q-SBLF:
4.000%, 11/1/2028, Call 5/1/2025	1,380,000	1,467,796
4.000%, 11/1/2029, Call 5/1/2025	940,000	993,392
Mattawan Consolidated School District, Q-SBLF, 5.000%, 5/1/2019	215,000	219,586
Michigan Finance Authority:
5.000%, 11/1/2020	2,000,000	2,130,280
5.000%, 7/1/2026, Call 7/1/2025	175,000	197,130
5.000%, 7/1/2027, Call 7/1/2025	600,000	673,116
5.000%, 7/1/2029, Call 7/1/2025	950,000	1,062,660
5.000%, 7/1/2032, Call 7/1/2025	1,500,000	1,662,300
5.000%, 7/1/2034, Call 7/1/2025	500,000	547,685
5.000%, 12/1/2037, Call 12/1/2027	1,000,000	1,137,800


5.000%, 11/15/2041, Call 11/15/2026	1,000,000	1,103,760
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024	1,500,000	1,677,810
5.000%, 7/1/2030, Call 7/1/2024	1,500,000	1,674,390
Michigan State Housing Development Authority, 5.625%, 10/1/2031, Call 10/1/2020	850,000	900,464
North Branch Area Schools, Q-SBLF, 5.000%, 5/1/2024	200,000	228,136
Plymouth-Canton Community School District, Q-SBLF, 5.000%, 5/1/2021	450,000	485,460
Redford Union School District No. 1, AMBAC Q-SBLF, 5.000%, 5/1/2022	250,000	266,145
River Rouge School District, Q-SBLF:
5.000%, 5/1/2020	1,700,000	1,789,165
5.000%, 5/1/2021	1,155,000	1,246,014
Taylor Tax Increment Finance Authority, AGM:
3.000%, 5/1/2019	340,000	342,288
3.250%, 5/1/2020	90,000	91,748
Tender Option Bond Trust Receipts/Certificates, Q-SBLF, 1.660%, 5/1/2026 (5) (7)	3,000,000	3,000,000
Wayne County Airport Authority:
5.000%, 12/1/2026, Call 12/1/2025 (14)	3,000,000	3,427,500
5.000%, 12/1/2030, Call 12/1/2025	1,250,000	1,422,862
Wayne State University, AGM:
5.000%, 11/15/2025, Call 11/15/2018	230,000	231,569
5.000%, 11/15/2025, Call 11/15/2018	285,000	286,944
Western Township Utilities Authority, 4.000%, 1/1/2021	1,200,000	1,253,052

		61,165,896
Minnesota — 0.3%
City of Minneapolis, AGC:
6.500%, 11/15/2038, Call 11/15/2018	165,000	166,604
6.500%, 11/15/2038, Call 11/15/2018	905,000	913,724
City of Minneapolis St. Paul Housing & Redevelopment Authority:
4.000%, 8/15/2019	445,000	453,366
5.250%, 8/15/2025, Call 8/15/2020	275,000	291,742
City of Minneapolis St. Paul Housing & Redevelopment Authority, AGM, 5.000%, 8/15/2025, Call 8/15/2020	215,000	226,733
Minnesota Higher Education Facilities Authority, 5.000%, 10/1/2019	400,000	413,396

Minnesota Housing Finance Agency, GNMA COLL, 2.600%, 9/1/2042, Call 7/1/2022	783,540	755,787
Minnesota Housing Finance Agency, GNMA/FNMA/FHLMC:
2.250%, 12/1/2042, Call 1/1/2022	512,993	485,579
3.900%, 7/1/2030, Call 1/1/2022	530,000	541,252
5.000%, 1/1/2031, Call 7/1/2021	585,000	611,968

		4,860,151
Mississippi — 0.8%
Mississippi Business Finance Corp.:
1.560%, 12/1/2030, Call 9/4/2018 (7)	1,000,000	1,000,000
1.560%, 11/1/2035, Call 9/4/2018 (7)	6,600,000	6,600,000
Mississippi Development Bank:
3.125%, 10/1/2023	180,000	181,024
5.000%, 10/1/2023	2,505,000	2,706,402
5.000%, 1/1/2027, Call 1/1/2022	1,200,000	1,317,960
Mississippi State University Educational Building Corp., 5.000%, 11/1/2022	135,000	150,157
West Rankin Utility Authority, AGM, 5.000%, 1/1/2048, Call 1/1/2028	2,000,000	2,241,840

		14,197,383
Missouri — 1.7%
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, 5.000%, 10/1/2033, Call 10/1/2022	4,000,000	4,414,200
Chesterfield Valley Transportation Development District:
4.000%, 5/15/2019	475,000	482,134
5.000%, 5/15/2020	125,000	131,427
5.000%, 5/15/2021	490,000	522,502
City of Kansas City:
5.000%, 9/1/2021, Call 9/1/2019	500,000	515,160
5.000%, 9/1/2023, Call 9/1/2019	300,000	309,096
5.000%, 10/1/2026, Call 10/1/2025	120,000	138,326
5.000%, 10/1/2028, Call 10/1/2025	115,000	131,843
5.000%, 9/1/2032, Call 9/1/2019	1,000,000	1,029,730


City of St. Louis, 3.000%, 5/30/2019	1,000,000	1,007,280
Health & Educational Facilities Authority of the State of Missouri:
5.000%, 2/1/2024, Call 2/1/2021	1,050,000	1,104,096
5.000%, 2/1/2032, Call 2/1/2026	1,000,000	1,090,270
5.000%, 11/15/2034, Call 5/15/2026	3,000,000	3,359,070
5.250%, 10/1/2031, Call 10/1/2021	1,000,000	1,085,760
Independence School District, SAW, 5.250%, 3/1/2030, Call 3/1/2021	2,000,000	2,157,040
Joplin Industrial Development Authority, 5.000%, 2/15/2020	330,000	344,794
Lees Summit Industrial Development Authority:
5.000%, 8/15/2036, Call 8/15/2024	1,000,000	1,052,850
5.000%, 8/15/2046, Call 8/15/2024	2,000,000	2,085,120
Missouri Housing Development Commission, GNMA/FNMA/FHLMC:
3.800%, 5/1/2025, Call 5/1/2021	595,000	610,262
4.000%, 5/1/2027, Call 5/1/2021	580,000	592,743
5.000%, 11/1/2027, Call 11/1/2019	170,000	174,094
Missouri State Environmental Improvement & Energy Resources Authority:
5.750%, 1/1/2029, Call 1/1/2019	685,000	694,056
5.750%, 1/1/2029, Call 1/1/2019	65,000	65,851
St. Louis County Industrial Development Authority:
2.850%, 9/1/2018	2,900,000	2,900,000
5.000%, 9/1/2048, Call 9/1/2027	1,000,000	1,079,580
Stone County Reorganized School District No. 4 Reeds Spring, SAW:
5.000%, 3/1/2030, Call 3/1/2020	1,000,000	1,045,290
5.000%, 3/1/2031, Call 3/1/2020	750,000	783,967
5.000%, 3/1/2032, Call 3/1/2020	1,000,000	1,045,290

		29,951,831
Nebraska — 0.6%
Central Plains Energy Project:
5.000%, 9/1/2034	1,000,000	1,173,070
5.000%, 8/1/2039, Call 12/1/2019 (7)	1,000,000	1,036,250
Hospital Authority No. 1 of Lancaster County, 5.500%, 1/1/2030, Call 1/1/2020	1,000,000	1,041,540
Nebraska Public Power District, 5.000%, 1/1/2032, Call 1/1/2022	1,000,000	1,082,850
Omaha Public Power District:
5.000%, 2/1/2036, Call 12/1/2027	1,000,000	1,158,540
5.000%, 2/1/2037, Call 12/1/2027	500,000	577,965
Omaha-Douglas Public Building Commission:
5.000%, 5/1/2026, Call 5/1/2022	825,000	906,906
5.000%, 5/1/2027, Call 5/1/2022	585,000	642,429
5.000%, 5/1/2028, Call 5/1/2022	550,000	603,586
5.000%, 5/1/2029, Call 5/1/2022	660,000	723,334
Tender Option Bond Trust Receipts/Certificates, 1.630%, 11/1/2048, Call 11/1/2025 (5) (7)	1,200,000	1,200,000

		10,146,470
Nevada — 1.1%
County of Clark, 5.000%, 7/1/2028, Call 7/1/2019	2,180,000	2,240,255
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	1,200,000	1,344,300
5.000%, 7/1/2030, Call 7/1/2024	1,000,000	1,116,830
5.000%, 7/1/2040, Call 7/1/2027	4,000,000	4,536,280
County of Washoe:
5.000%, 2/1/2033, Call 2/1/2019	3,920,000	3,966,530
5.500%, 2/1/2028, Call 2/1/2019	1,000,000	1,014,940
Las Vegas Valley Water District, 5.000%, 6/1/2028, Call 6/1/2022	5,115,000	5,624,250

		19,843,385
New Hampshire — 0.0%
New Hampshire Housing Finance Authority, 4.800%, 7/1/2028, Call 1/1/2022	730,000	738,132

New Jersey — 3.9%
Lyndhurst Township School District, School Bond Gty, 2.750%, 9/14/2018	2,000,000	2,000,540
New Jersey Economic Development Authority:
5.000%, 6/15/2019	3,000,000	3,066,660
5.000%, 6/15/2020	1,500,000	1,570,365
5.000%, 11/1/2021	4,600,000	4,945,276
5.500%, 6/15/2030, Call 12/15/2026	2,500,000	2,856,500


New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019	5,520,000	5,685,600

New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021	260,000	264,953
New Jersey Transportation Trust Fund Authority:
2.560%, 6/15/2034, Call 6/15/2019 (7)	5,000,000	5,004,100
5.000%, 6/15/2022	500,000	541,205
5.000%, 6/15/2030, Call 6/15/2026	1,000,000	1,112,110
5.000%, 6/15/2031, Call 6/15/2026	1,000,000	1,107,770
5.000%, 6/15/2032, Call 12/15/2024	5,000,000	5,389,950
5.250%, 12/15/2023	240,000	267,655
New Jersey Transportation Trust Fund Authority, BAM TCRs:
5.000%, 6/15/2028, Call 6/15/2022	5,000,000	5,352,550
5.000%, 6/15/2033, Call 6/15/2022	3,000,000	3,182,880
5.250%, 6/15/2033, Call 6/15/2023	5,635,000	6,132,345
New Jersey Transportation Trust Fund Authority, BHAC AMBAC, 0.000%, 12/15/2024	440,000	367,928
New Jersey Turnpike Authority:
5.000%, 1/1/2031, Call 1/1/2025	500,000	563,930
5.000%, 1/1/2032, Call 7/1/2022	3,440,000	3,827,241
5.000%, 1/1/2035, Call 1/1/2022	1,685,000	1,853,500
Tender Option Bond Trust Receipts/Certificates, 1.690%, 7/1/2025 (5) (7)	4,035,000	4,035,000
Tobacco Settlement Financing Corp.:
5.000%, 6/1/2031, Call 6/1/2028	2,750,000	3,126,723
5.000%, 6/1/2032, Call 6/1/2028	2,000,000	2,266,860
5.000%, 6/1/2033, Call 6/1/2028	1,500,000	1,693,500
5.000%, 6/1/2046, Call 6/1/2028	2,500,000	2,731,500

		68,946,641
New Mexico — 0.8%
City of Santa Fe, 4.000%, 6/1/2025, Call 6/1/2022	655,000	694,176
New Mexico Mortgage Finance Authority, GNMA COLL, 2.600%, 2/1/2043, Call 1/1/2023	800,594	768,570
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC:
4.500%, 9/1/2024, Call 9/1/2019	175,000	176,948
4.625%, 3/1/2028, Call 9/1/2021	510,000	524,907
5.350%, 3/1/2030, Call 9/1/2020	1,270,000	1,331,265
5.650%, 9/1/2039, Call 3/1/2019	90,000	91,165

New Mexico Municipal Energy Acquisition Authority, 2.145%, 11/1/2039, Call 2/1/2019 (7)	10,000,000	10,010,600

		13,597,631
New York — 5.8%
Albany Capital Resource Corp.:
5.000%, 12/1/2023	150,000	168,615
5.000%, 12/1/2024	200,000	227,596
BB&T Municipal Trust, 2.360%, 11/15/2019 (5) (7)	265,421	265,453
Buffalo & Erie County Industrial Land Development Corp.:
5.000%, 6/1/2035, Call 6/1/2024	1,000,000	1,087,100
5.000%, 8/1/2037, Call 8/1/2027	1,300,000	1,382,511
5.000%, 8/1/2047, Call 8/1/2027	1,000,000	1,053,030
City of New York:
1.560%, 8/1/2024, Call 9/19/2018 (7)	1,015,000	1,015,000
1.560%, 8/1/2035, Call 9/19/2018 (7)	2,550,000	2,550,000
5.000%, 8/1/2032, Call 2/1/2028	1,000,000	1,169,970
5.250%, 3/1/2034, Call 3/1/2028	3,000,000	3,572,910
5.250%, 3/1/2035, Call 3/1/2028	2,500,000	2,968,325
City of New York, AGC, 1.590%, 10/1/2021, Call 9/4/2018 (7) (8)	400,000	400,000
Long Island Power Authority:
2.107%, 5/1/2033, Call 10/1/2018 (7)	2,500,000	2,500,425
5.000%, 9/1/2042, Call 9/1/2027	1,000,000	1,132,960
Metropolitan Transportation Authority:
2.010%, 11/15/2044 (7)	1,000,000	998,450
5.000%, 11/15/2033, Call 5/15/2028	1,620,000	1,868,621
5.000%, 11/15/2036, Call 11/15/2026	2,325,000	2,622,670
New York City Transitional Finance Authority Future Tax Secured Revenue:


1.520%, 8/1/2023, Call 9/19/2018 (7)	4,600,000	4,600,000
1.560%, 11/1/2029, Call 9/19/2018 (7)	5,000,000	5,000,000
1.560%, 5/1/2034, Call 9/19/2018 (7)	6,700,000	6,700,000
5.000%, 11/1/2024, Call 11/1/2022	5,715,000	6,380,740
5.000%, 11/1/2026, Call 5/1/2025	1,000,000	1,161,690
5.000%, 11/1/2026, Call 5/1/2025	2,000,000	2,323,380
5.000%, 2/1/2038, Call 2/1/2027	4,000,000	4,552,120
5.000%, 2/1/2039, Call 2/1/2027	4,000,000	4,545,800
New York City Water & Sewer System:
5.000%, 6/15/2028, Call 6/15/2024	500,000	571,180
5.000%, 6/15/2029, Call 6/15/2024	600,000	683,676
New York Convention Center Development Corp., 0.000%, 11/15/2032	1,250,000	750,137
New York State Dormitory Authority:
5.000%, 3/15/2027, Call 3/15/2022	7,555,000	8,279,978
5.000%, 3/15/2028, Call 3/15/2019	625,000	636,488
5.000%, 12/1/2035, Call 6/1/2027 (5)	500,000	550,875
5.000%, 12/1/2037, Call 6/1/2027 (5)	500,000	548,130
6.000%, 7/1/2038, Call 7/1/2020	1,000,000	1,054,590
New York State Dormitory Authority, NATL-RE, 3.700%, 7/1/2029, Call 9/4/2018 (7) (8)	2,600,000	2,600,000
New York State Urban Development Corp., 5.000%, 3/15/2028, Call 3/15/2023	1,000,000	1,120,950
New York Transportation Development Corp., AGM, 4.000%, 7/1/2032, Call 7/1/2024 (14)	2,500,000	2,569,200
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.860%, 5/1/2047, Call 9/19/2018 (5) (7)	5,000,000	5,000,000
RBC Municipal Products, Inc. Trust, 1.530%, 3/1/2022, Call 9/19/2018 (5) (7)	6,000,000	6,000,000
State of New York Mortgage Agency, 5.000%, 10/1/2019	500,000	517,395
Tender Option Bond Trust Receipts/Certificates, 1.660%, 11/15/2044, Call 11/15/2021 (5) (7)	6,000,000	6,000,000
Triborough Bridge & Tunnel Authority:
5.000%, 11/15/2037, Call 11/15/2028	1,500,000	1,751,700
5.000%, 11/15/2038, Call 11/15/2028	1,565,000	1,824,618
TSASC, Inc.:
5.000%, 6/1/2036, Call 6/1/2027	1,000,000	1,097,040
5.000%, 6/1/2041, Call 6/1/2027	1,000,000	1,079,970
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2021	500,000	536,030

		103,419,323
North Carolina — 0.7%
County of Catawba:
4.000%, 10/1/2025, Call 10/1/2021	585,000	610,254
5.000%, 10/1/2023, Call 10/1/2021	1,000,000	1,088,010
5.000%, 10/1/2024, Call 10/1/2021	835,000	907,971
County of Cumberland, 5.125%, 12/1/2028, Call 12/1/2019	250,000	260,668
County of Union:
5.000%, 12/1/2026, Call 6/1/2023	1,390,000	1,550,920
5.000%, 12/1/2027, Call 6/1/2023	1,645,000	1,833,106
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	95,000	96,369
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021	220,000	224,974
North Carolina Medical Care Commission:
1.580%, 11/1/2034, Call 9/19/2018 (7)	600,000	600,000
4.000%, 6/1/2020	470,000	487,122
5.000%, 6/1/2027, Call 6/1/2022	500,000	548,650
North Carolina Turnpike Authority, 5.000%, 7/1/2047, Call 7/1/2026	750,000	814,598
Orange County Public Facilities Co., 5.000%, 10/1/2026, Call 10/1/2022	1,130,000	1,264,741
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020	1,690,000	1,769,565

		12,056,948
North Dakota — 1.5%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2021	635,000	664,813
4.500%, 5/1/2030, Call 5/1/2021	1,515,000	1,548,785
4.500%, 5/1/2033, Call 5/1/2021	1,850,000	1,879,989
City of Dickinson, 5.000%, 10/1/2025, Call 10/1/2021	2,240,000	2,371,174
City of Grand Forks:
4.000%, 12/1/2019	535,000	548,081


5.000%, 12/1/2032, Call 12/1/2021	1,000,000	1,054,600
City of West Fargo, 3.000%, 5/1/2023, Call 10/1/2018	185,000	185,078
County of Ward:
5.000%, 6/1/2034, Call 6/1/2028	2,500,000	2,770,075
5.000%, 6/1/2038, Call 6/1/2028	2,500,000	2,742,150
North Dakota Housing Finance Agency, 5.250%, 1/1/2029, Call 7/1/2019	110,000	112,115
North Dakota Public Finance Authority:
4.000%, 6/1/2023	2,440,000	2,617,217
4.000%, 6/1/2024, Call 6/1/2023	2,190,000	2,343,979
4.000%, 6/1/2025, Call 6/1/2023	1,145,000	1,219,688
Williston Parks & Recreation District:
4.500%, 3/1/2020	1,205,000	1,219,014
4.500%, 3/1/2025, Call 3/1/2021	2,525,000	2,530,277
4.625%, 3/1/2026, Call 3/1/2021	2,620,000	2,620,891

		26,427,926
Ohio — 3.9%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	1,000,000	1,077,860
City of Chillicothe, 5.000%, 12/1/2037, Call 12/1/2027	2,000,000	2,205,080
City of Cleveland Airport System Revenue, AGM:
5.000%, 1/1/2030, Call 1/1/2022	3,900,000	4,208,841
5.000%, 1/1/2031, Call 1/1/2022	1,000,000	1,078,530
City of Cleveland Airport System Revenue, MAC:
5.000%, 1/1/2022, Call 1/1/2021	2,320,000	2,475,997
5.000%, 1/1/2031, Call 1/1/2022	1,270,000	1,369,733
City of Cleveland Income Tax Revenue:
5.000%, 10/1/2024, Call 10/1/2022	460,000	513,705
5.000%, 10/1/2028, Call 10/1/2022	1,075,000	1,200,506
5.000%, 10/1/2029, Call 10/1/2022	1,130,000	1,261,927
5.000%, 10/1/2029, Call 10/1/2022	2,290,000	2,557,357
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021	1,000,000	1,083,050
Cleveland Department of Public Utilities Division of Water:
4.000%, 1/1/2028, Call 1/1/2024	500,000	532,010
4.000%, 1/1/2029, Call 1/1/2024	1,000,000	1,059,940
4.000%, 1/1/2030, Call 1/1/2024	1,000,000	1,055,880
Cleveland Heights & University Heights City School District:
0.000%, 12/1/2024	400,000	350,040
0.000%, 12/1/2025	600,000	503,394
Cleveland-Cuyahoga County Port Authority, 5.000%, 10/1/2022, Call 10/1/2020	1,000,000	1,064,580
County of Franklin:
5.000%, 5/15/2028, Call 5/15/2023	2,000,000	2,228,560
5.000%, 7/1/2029, Call 7/1/2026	2,000,000	2,179,340
5.000%, 5/15/2031, Call 5/15/2023	405,000	447,869
County of Franklin Sales Tax Revenue, 5.000%, 6/1/2048, Call 6/1/2028	3,000,000	3,475,860
County of Hamilton, 5.000%, 1/1/2031, Call 1/1/2026	1,350,000	1,475,185
County of Hamilton Sales Tax Revenue, 5.000%, 12/1/2029, Call 12/1/2021	975,000	1,056,364
County of Hancock, 5.750%, 12/1/2026, Call 6/1/2021	1,120,000	1,234,509
County of Lucas, 5.000%, 11/15/2022, Call 11/15/2021	925,000	994,653
Delaware City School District, 5.250%, 12/1/2038, Call 6/1/2023	1,240,000	1,386,742
Elyria City School District, School District Credit Program, 4.000%, 12/1/2028, Call 12/1/2022	1,130,000	1,189,822
FHLMC Multifamily VRD Certificates, 1.860%, 9/15/2033 (7)	3,495,000	3,495,000
Johnstown-Monroe Local School District, 5.000%, 12/1/2030, Call 12/1/2021	715,000	784,519
Lake County Community College District:
4.000%, 12/1/2022, Call 12/1/2019	695,000	713,202
4.000%, 12/1/2024, Call 12/1/2019	835,000	856,451
4.000%, 12/1/2025, Call 12/1/2019	855,000	876,965
Lake Local School District/Stark County, School District Credit Program:
4.000%, 12/1/2023, Call 12/1/2021	1,550,000	1,649,231
4.000%, 12/1/2025, Call 12/1/2021	1,660,000	1,754,471
Liberty Local School District, AGM, 4.500%, 12/1/2018	885,000	890,921
New Albany Community Authority:
4.000%, 10/1/2020	590,000	614,928
5.000%, 10/1/2022	1,000,000	1,108,890
5.000%, 10/1/2023, Call 10/1/2022	1,105,000	1,219,423
North Olmsted City School District:


5.000%, 12/1/2027, Call 12/1/2023	220,000	251,957
5.000%, 12/1/2028, Call 12/1/2023	365,000	418,020
5.000%, 12/1/2029, Call 12/1/2023	500,000	572,630
Ohio Higher Educational Facility Commission:
4.000%, 12/1/2020	1,050,000	1,091,506
4.000%, 12/1/2021	795,000	836,674
4.000%, 12/1/2022	845,000	897,407
Ohio Housing Finance Agency, GNMA/FNMA/FHLMC, 5.200%, 9/1/2029, Call 10/1/2018	1,000,000	1,002,040
Ohio Turnpike & Infrastructure Commission, 5.250%, 2/15/2033, Call 2/15/2023	1,330,000	1,479,971
Ohio University, 5.000%, 12/1/2028, Call 6/1/2022	225,000	246,807
Ohio Water Development Authority, 5.000%, 6/1/2022	1,100,000	1,221,638
Rib Floater Trust Various States, 1.810%, 11/15/2048, Call 10/1/2018 (5) (7)	5,000,000	5,000,000
State of Ohio, 1.450%, 11/1/2035 (7)	500,000	500,000
Tender Option Bond Trust Receipts/Certificates, 1.660%, 4/1/2026 (5) (7)	2,000,000	2,000,000
University of Toledo, 5.000%, 6/1/2030, Call 6/1/2021	250,000	271,280

		69,021,265
Oklahoma — 0.7%
Cushing Educational Facilities Authority, 5.000%, 9/1/2022	2,000,000	2,210,320
Delaware County Justice Authority:
3.750%, 9/1/2029, Call 10/1/2018	1,830,000	1,830,037
4.000%, 9/1/2018	415,000	415,000
4.000%, 9/1/2019	740,000	755,888
4.000%, 9/1/2020	700,000	723,415
4.000%, 9/1/2021	805,000	841,458
Oklahoma Housing Finance Agency, GNMA COLL:
2.500%, 3/1/2022	270,000	273,796
3.300%, 3/1/2031, Call 3/1/2022	650,000	654,407
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC, 6.500%, 9/1/2038, Call 9/1/2018	10,000	10,000
Tulsa Airports Improvement Trust, BAM, 5.000%, 6/1/2028, Call 6/1/2023 (14)	1,405,000	1,526,266
Tulsa County Industrial Authority:
5.250%, 11/15/2037, Call 11/15/2025	1,500,000	1,658,595
5.250%, 11/15/2045, Call 11/15/2025	1,500,000	1,650,600

		12,549,782
Oregon — 0.6%
City of Portland, 5.000%, 6/15/2027, Call 6/15/2022	1,000,000	1,095,610
City of Tigard Water Revenue, 5.000%, 8/1/2029, Call 8/1/2022	690,000	761,367
City of Woodburn Wastewater Revenue:
0.000%, 3/1/2020	1,380,000	1,339,911
0.000%, 3/1/2021	1,215,000	1,152,306
Clackamas & Washington Counties School District No. 3, NATL-RE School Bond Gty, 0.000%, 6/15/2023	2,000,000	1,798,080
Klamath Falls Intercommunity Hospital Authority:
5.000%, 9/1/2021	250,000	270,972
5.000%, 9/1/2022	505,000	557,904
Port of Morrow:
3.500%, 6/1/2020, Call 6/1/2019	210,000	212,434
3.750%, 6/1/2021, Call 6/1/2019	220,000	222,869
4.000%, 6/1/2022, Call 6/1/2019	235,000	238,321
Port of Portland Airport Revenue, 5.500%, 7/1/2031, Call 7/1/2021	3,000,000	3,275,400

State of Oregon Housing & Community Services Department, 4.450%, 7/1/2023, Call 1/1/2020 (14)	585,000	597,115

		11,522,289
Pennsylvania — 2.8%
Berks County Industrial Development Authority:
5.000%, 5/15/2032, Call 5/15/2027	750,000	824,812
5.000%, 11/1/2037, Call 11/1/2027	1,000,000	1,109,150
5.000%, 5/15/2038, Call 5/15/2025	255,000	277,522
5.000%, 5/15/2042, Call 5/15/2024	1,655,000	1,803,867
5.000%, 5/15/2043, Call 5/15/2025	350,000	379,607
5.000%, 5/15/2047, Call 5/15/2027	1,630,000	1,759,797
Bucks County Industrial Development Authority, 5.000%, 10/1/2037, Call 10/1/2024	1,250,000	1,375,575
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021	500,000	545,740


City of Pittsburgh, 4.000%, 9/1/2021	750,000	790,177
Commonwealth Financing Authority:
5.000%, 6/1/2032, Call 6/1/2028	1,000,000	1,135,210
5.000%, 6/1/2033, Call 6/1/2028	1,250,000	1,414,575
5.000%, 6/1/2034, Call 6/1/2028	1,000,000	1,127,240
5.000%, 6/1/2035, Call 6/1/2028	1,000,000	1,123,710
Geisinger Authority, 5.000%, 2/15/2039, Call 2/15/2027	2,500,000	2,820,775
Kiski Area School District, AGM SAW, 4.000%, 3/1/2021	1,450,000	1,518,266
Lancaster Industrial Development Authority:
5.000%, 5/1/2021	360,000	382,781
5.000%, 5/1/2022	430,000	464,658
Lehigh County General Purpose Authority, 4.000%, 11/1/2019	555,000	568,764
Montgomery County Higher Education & Health Authority, 1.820%, 9/1/2050, Call 9/4/2018 (7)	8,000,000	8,000,000
Montgomery County Industrial Development Authority, 6.250%, 11/15/2029, Call 11/15/2019	715,000	753,810
Montgomery County Industrial Development Authority, FHA, 5.000%, 8/1/2024, Call 8/1/2020	1,350,000	1,426,626
Pennsylvania Economic Development Financing Authority, 2.125%, 11/1/2021 (7)	1,500,000	1,499,160
Pennsylvania Economic Development Financing Authority, AGM:
0.000%, 1/1/2020	600,000	576,762
0.000%, 1/1/2021	600,000	558,252
5.000%, 1/1/2022	305,000	327,137
Pennsylvania Housing Finance Agency, 4.200%, 10/1/2033, Call 10/1/2018 (14)	1,370,000	1,372,534
Pennsylvania Turnpike Commission:
2.540%, 12/1/2021, Call 6/1/2021 (7)	5,000,000	5,074,500
4.000%, 12/1/2023, Call 12/1/2019	105,000	108,011
4.000%, 12/1/2023, Call 12/1/2019	95,000	97,053
5.000%, 6/1/2021, Call 6/1/2019	715,000	732,932
5.000%, 12/1/2030, Call 12/1/2020 (13)	215,000	230,074
5.000%, 12/1/2030, Call 12/1/2020 (13)	120,000	128,004
5.000%, 12/1/2030, Call 12/1/2020 (13)	250,000	267,528
5.500%, 12/1/2042, Call 12/1/2026	3,000,000	3,439,920
6.000%, 12/1/2034, Call 12/1/2020 (13)	55,000	60,058
6.000%, 12/1/2034, Call 12/1/2020 (13)	70,000	76,437
6.000%, 12/1/2034, Call 12/1/2020 (13)	270,000	294,206
6.000%, 12/1/2036, Call 12/1/2020	975,000	1,065,782
Pittsburgh School District, BAM SAW, 5.000%, 9/1/2024, Call 9/1/2022	1,000,000	1,107,170
Pittsburgh Water & Sewer Authority, AGM, 2.097%, 9/1/2040, Call 6/1/2020 (7)	2,055,000	2,059,131
Sayre Health Care Facilities Authority, 2.321%, 12/1/2024, Call 10/1/2018 (7)	225,000	226,377
Scranton School District, BAM SAW, 5.000%, 12/1/2034, Call 12/1/2027	1,500,000	1,680,000

		50,583,690
Rhode Island — 0.6%

Rhode Island Housing & Mortgage Finance Corp., 3.625%, 10/1/2029, Call 10/1/2021	760,000	769,143
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (14)	185,000	187,449
4.000%, 12/1/2022, Call 12/1/2021 (14)	2,885,000	3,001,381
4.200%, 12/1/2018, Call 10/1/2018	600,000	601,428
4.250%, 12/1/2020, Call 10/1/2018	500,000	501,125
4.250%, 12/1/2025, Call 12/1/2021 (14)	2,205,000	2,279,044
4.500%, 12/1/2021, Call 10/1/2018	585,000	586,421
4.750%, 12/1/2028, Call 12/1/2021 (14)	545,000	566,849
Town of Cumberland, SAW:
4.000%, 3/15/2024	795,000	866,065
4.000%, 3/15/2026, Call 3/15/2024	460,000	494,675

		9,853,580
South Carolina — 1.6%
City of Rock Hill Combined Utility System Revenue, AGM:
5.250%, 1/1/2026, Call 1/1/2022	730,000	799,211
5.250%, 1/1/2028, Call 1/1/2022	475,000	517,964
County of Dorchester Waterworks & Sewer System Revenue:
5.000%, 10/1/2022	480,000	532,070
5.000%, 10/1/2026, Call 10/1/2022	400,000	441,584


County of Florence:
5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,124,600
5.000%, 11/1/2030, Call 11/1/2020	500,000	529,300
5.000%, 11/1/2031, Call 11/1/2024	360,000	402,541
Patriots Energy Group Financing Agency, 2.243%, 10/1/2048, Call 11/1/2023 (7)	8,000,000	8,000,000
Piedmont Municipal Power Agency, AGC:
5.000%, 1/1/2030, Call 7/1/2021	450,000	481,216
5.750%, 1/1/2034, Call 7/1/2021	1,000,000	1,093,140
South Carolina Jobs-Economic Development Authority:
5.000%, 7/1/2022	1,735,000	1,888,808
5.000%, 11/15/2047, Call 11/15/2025	1,500,000	1,658,685
South Carolina Public Service Authority:
5.000%, 12/1/2032, Call 12/1/2026	3,265,000	3,610,274
5.500%, 1/1/2038, Call 1/1/2019	920,000	931,730
South Carolina State Housing Finance & Development Authority, GNMA COLL, 5.000%, 1/1/2028, Call 1/1/2020	45,000	45,961
Spartanburg Sanitation Sewer District, 5.000%, 3/1/2030, Call 3/1/2023 (13)	1,500,000	1,655,610
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call 4/1/2021	900,000	952,011
Tender Option Bond Trust Receipts/Certificates, 1.710%, 1/1/2020 (5) (7)	2,390,000	2,390,000

		28,054,705
South Dakota — 0.8%
City of Rapid City Airport Revenue:
5.500%, 12/1/2022, Call 12/1/2019	225,000	235,319
6.750%, 12/1/2031, Call 12/1/2019	500,000	528,200
7.000%, 12/1/2035, Call 12/1/2019	750,000	794,677
South Dakota Health & Educational Facilities Authority:
4.250%, 9/1/2023	740,000	788,566
4.500%, 9/1/2018	500,000	500,000
4.500%, 9/1/2020	900,000	949,437
4.500%, 9/1/2021, Call 9/1/2020	1,080,000	1,134,335
4.500%, 9/1/2022, Call 9/1/2020	1,005,000	1,051,542
5.000%, 9/1/2019	200,000	206,504
5.000%, 11/1/2022	715,000	795,273
5.000%, 8/1/2023	375,000	422,636
5.000%, 11/1/2023	625,000	707,231
5.000%, 8/1/2024	195,000	222,641
5.000%, 11/1/2024	650,000	745,355
5.000%, 11/1/2024, Call 11/1/2019	1,000,000	1,035,120
5.000%, 11/1/2025, Call 11/1/2024	600,000	685,434
5.000%, 9/1/2027, Call 9/1/2024	720,000	800,899
South Dakota Housing Development Authority, 3.550%, 11/1/2033, Call 11/1/2022	2,250,000	2,261,160

		13,864,329
Tennessee — 1.3%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call 1/1/2027	5,815,000	6,312,880
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board:
2.000%, 1/1/2022 (7)	3,000,000	2,999,970
5.000%, 11/1/2027, Call 11/1/2021	500,000	540,055
5.000%, 7/1/2031, Call 7/1/2026	1,000,000	1,129,550
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023	5,310,000	5,853,426
5.250%, 9/1/2021	3,810,000	4,136,288
5.250%, 9/1/2022	250,000	276,345
Tennessee Housing Development Agency:
4.000%, 7/1/2025, Call 1/1/2021	890,000	914,021
4.125%, 1/1/2025, Call 1/1/2021	615,000	630,111
5.000%, 1/1/2027, Call 7/1/2019	45,000	45,559

		22,838,205
Texas — 6.7%
Bexar County Health Facilities Development Corp., 5.000%, 7/15/2033, Call 7/15/2023	1,000,000	1,092,510


Brazoria-Fort Bend County Municipal Utility District No. 1, MAC, 3.000%, 9/1/2020	700,000	710,017
Capital Area Cultural Education Facilities Finance Corp.:
5.000%, 4/1/2019	1,000,000	1,016,340
5.250%, 4/1/2021, Call 4/1/2020	400,000	418,364
Central Texas Regional Mobility Authority, 0.000%, 1/1/2025	1,000,000	817,130
City of Beaumont Waterworks & Sewer System Revenue, BAM:
5.000%, 9/1/2026, Call 9/1/2025	1,000,000	1,150,400
5.000%, 9/1/2027, Call 9/1/2025	600,000	688,182
5.000%, 9/1/2030, Call 9/1/2025	1,000,000	1,136,730
City of Galveston Wharves & Terminal Revenue, 4.625%, 2/1/2024, Call 2/1/2021	1,130,000	1,182,726
City of Houston, 5.000%, 9/1/2026, Call 9/1/2024	250,000	282,043
City of Houston, AMBAC, 0.000%, 9/1/2019	400,000	392,396
City of Houston Airport System Revenue:
5.000%, 7/1/2030, Call 7/1/2028	1,375,000	1,621,496
5.000%, 7/1/2038, Call 7/1/2028	5,000,000	5,716,950
City of Houston Airport System Revenue, XLCA, 4.152%, 7/1/2032, Call 9/6/2018 (7) (8)	425,000	425,000
City of Laredo International Toll Bridge System Revenue, AGM:
5.000%, 10/1/2026, Call 10/1/2024	225,000	255,418
5.000%, 10/1/2027, Call 10/1/2024	240,000	271,006
City of San Marcos Electric Utility System Revenue, BAM:
4.500%, 11/1/2028, Call 11/1/2022	600,000	641,190
5.000%, 11/1/2033, Call 11/1/2022	1,215,000	1,326,112
Clifton Higher Education Finance Corp., PSF:
5.000%, 8/15/2026, Call 8/15/2025	675,000	777,776
5.000%, 8/15/2027, Call 8/15/2025	545,000	625,371
5.000%, 8/15/2028, Call 8/15/2025	835,000	954,155
5.000%, 8/15/2029, Call 8/15/2025	335,000	381,213
5.000%, 8/15/2030, Call 8/15/2025	1,250,000	1,417,375
Corpus Christi Business & Job Development Corp., 5.000%, 9/1/2022	1,000,000	1,104,350
County of Bexar, AGM, 5.000%, 8/15/2031, Call 8/15/2024	1,280,000	1,427,264
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021	4,000,000	4,426,080
Crane County Water District:
5.000%, 2/15/2026, Call 2/15/2025	915,000	1,039,861
5.000%, 2/15/2030, Call 2/15/2025	1,000,000	1,117,010
Cypress-Fairbanks Independent School District, PSF, 5.000%, 2/15/2034, Call 2/15/2021	675,000	721,062
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022	1,000,000	1,111,430
5.000%, 11/1/2032, Call 11/1/2020	5,000,000	5,302,800
5.000%, 11/1/2033, Call 11/1/2023	2,000,000	2,218,920
5.250%, 11/1/2033, Call 11/1/2023	1,200,000	1,351,848
Georgetown Independent School District, PSF, 5.000%, 8/15/2025, Call 8/15/2020	645,000	684,642
Grand Parkway Transportation Corp.:
0.000%, 10/1/2030, Call 10/1/2028 (13)	1,000,000	950,920
5.000%, 10/1/2043, Call 4/1/2028	5,000,000	5,719,150
Gulf Coast Authority, AGM:
5.000%, 10/1/2029, Call 10/1/2022	1,430,000	1,576,904
5.000%, 10/1/2030, Call 10/1/2022	1,505,000	1,658,375
Harris County Cultural Education Facilities Finance Corp.:
2.310%, 6/1/2020 (7)	2,000,000	2,016,860
2.390%, 6/1/2021 (7)	2,400,000	2,431,464
5.250%, 10/1/2029, Call 10/1/2019	1,550,000	1,598,964
Harris County Flood Control District, 5.000%, 10/1/2030, Call 10/1/2027	1,900,000	2,241,145
Harris County Municipal Utility District No. 165, BAM, 5.000%, 3/1/2025	400,000	458,008
Harris County Municipal Utility District No. 374, AGM, 5.000%, 9/1/2036, Call 9/1/2019	550,000	567,886
Irving Hospital Authority, 5.000%, 10/15/2044, Call 6/30/2026	1,500,000	1,621,755
Katy Independent School District, PSF, 5.000%, 2/15/2043, Call 2/15/2028	1,500,000	1,722,510
Lancaster Independent School District, BAM, 4.000%, 2/15/2029, Call 2/15/2025	3,000,000	3,187,230
Lower Colorado River Authority:
5.000%, 5/15/2026, Call 5/15/2025	695,000	795,476
5.000%, 5/15/2027, Call 5/15/2025	1,355,000	1,544,646
Mesquite Independent School District, PSF, 0.000%, 8/15/2021	635,000	597,814


Nacogdoches County Hospital District, AGM, 3.000%, 5/15/2019	510,000	511,872
New Hope Cultural Education Facilities Finance Corp.:
5.000%, 11/15/2031, Call 11/15/2024	850,000	900,915
5.000%, 8/15/2036, Call 8/15/2021 (5)	1,700,000	1,711,968
5.000%, 8/15/2037, Call 8/15/2021 (5)	1,260,000	1,267,837
5.500%, 8/15/2036, Call 8/15/2021	1,000,000	1,020,900
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2024	440,000	464,961
North Texas Tollway Authority:
2.360%, 1/1/2050, Call 10/1/2018 (7)	1,750,000	1,750,175
5.000%, 1/1/2027, Call 1/1/2025	2,090,000	2,392,423
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019	1,725,000	1,747,804
Northside Independent School District, PSF, 2.125%, 8/1/2040, Call 2/1/2019 (7)	2,030,000	2,032,050
Pleasanton Independent School District, PSF, 5.000%, 8/15/2029, Call 8/15/2024	1,000,000	1,136,690
Rib Floater Trust Various States:
1.740%, 6/1/2032, Call 4/1/2020 (5) (7)	7,000,000	7,000,000
1.740%, 11/1/2042, Call 11/1/2020 (5) (7)	3,165,000	3,165,000
San Antonio Municipal Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021	500,000	538,215
Sienna Plantation Levee Improvement District, BAM, 4.000%, 9/1/2020	400,000	416,160
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 9/21/2018	235,000	235,049
5.000%, 10/1/2028, Call 10/1/2023	2,030,000	2,251,920
5.000%, 5/15/2037, Call 5/15/2024	1,895,000	1,983,534
5.000%, 11/15/2037, Call 11/15/2027	2,175,000	2,363,507
5.000%, 11/15/2040, Call 11/15/2026	3,250,000	3,496,155
5.000%, 5/15/2045, Call 5/15/2024	3,250,000	3,386,695
Tender Option Bond Trust Receipts/Certificates, 1.630%, 8/15/2027, Call 8/15/2022 (5) (7)	300,000	300,000
Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2021	2,000,000	2,172,120
Waco Independent School District, PSF:
4.000%, 8/15/2028, Call 8/15/2024	1,000,000	1,074,920
4.000%, 8/15/2029, Call 8/15/2024	2,380,000	2,544,791

		118,359,935
U. S. Virgin Islands — 0.2%
Virgin Islands Public Finance Authority:
5.000%, 9/1/2030, Call 9/1/2025 (5)	2,320,000	2,457,321
5.000%, 9/1/2033, Call 9/1/2025 (5)	1,000,000	1,050,490

		3,507,811
Utah — 0.6%
Central Utah Water Conservancy District:
5.000%, 10/1/2026, Call 10/1/2019	850,000	880,311
5.000%, 10/1/2028, Call 10/1/2019	1,000,000	1,035,660
City of Draper, 5.000%, 5/1/2032, Call 5/1/2022	325,000	356,428
City of Riverton:
5.250%, 12/1/2034, Call 6/1/2023	1,455,000	1,632,015
5.250%, 12/1/2036, Call 6/1/2023	2,150,000	2,410,559
Jordan Valley Water Conservancy District, 5.000%, 10/1/2035, Call 4/1/2021	920,000	994,391
Utah Charter School Finance Authority, UT, 5.250%, 10/15/2028, Call 10/15/2023	480,000	532,248
Utah Infrastructure Agency, AGM:
5.400%, 10/15/2036, Call 10/15/2021	1,000,000	1,107,150
5.500%, 10/15/2030, Call 10/15/2021	1,300,000	1,443,208
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020	1,030,000	1,092,047

		11,484,017
Vermont — 0.1%
Vermont Housing Finance Agency, GNMA/FNMA/FHLMC, 4.000%, 11/1/2043, Call 5/1/2023	890,000	925,128
Vermont Student Assistance Corp.:
5.000%, 6/15/2019 (14)	130,000	132,787
5.000%, 6/15/2020 (14)	125,000	130,730

		1,188,645
Virginia — 0.3%
City of Chesapeake Chesapeake Expressway Toll Road Revenue, 5.000%, 7/15/2022	500,000	547,070
Henrico County Economic Development Authority, AGM, 3.616%, 8/23/2027, Call 9/19/2018 (7) (8)	50,000	50,000
Stafford County Economic Development Authority:


5.000%, 6/15/2028, Call 6/15/2026	1,000,000	1,130,370
5.000%, 6/15/2030, Call 6/15/2026	700,000	785,092
Virginia College Building Authority:
5.000%, 3/1/2023, Call 3/1/2020	745,000	779,978
5.000%, 3/1/2024, Call 3/1/2020	1,755,000	1,837,397
Virginia Small Business Financing Authority, 4.250%, 11/1/2021, Call 5/1/2020	1,000,000	1,040,930

		6,170,837
Washington — 1.5%
Chelan County Public Utility District No. 1, NATL-RE, 0.000%, 6/1/2024	210,000	180,348
King County Housing Authority, County Guarantee:
5.200%, 5/1/2028, Call 11/1/2018	660,000	662,798
5.500%, 12/1/2028, Call 12/1/2018	1,000,000	1,009,490
King County Public Hospital District No. 1, 5.000%, 12/1/2031, Call 12/1/2026	4,000,000	4,539,320
King County Public Hospital District No. 2, 5.250%, 12/1/2028, Call 12/1/2020	200,000	213,928
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	30,000	30,028
Mason & Kitsap Counties School District No. 403 North Mason, School Bond Gty, 5.000%, 12/1/2035, Call 12/1/2023	2,025,000	2,276,302
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020	1,060,000	1,134,062
Spokane County School District No. 81 Spokane, School Bond Gty, 5.000%, 12/1/2030, Call 12/1/2021	650,000	714,279
State of Washington, 4.100%, 7/1/2022, Call 1/1/2019	440,000	443,208
Tender Option Bond Trust Receipts/Certificates:
1.710%, 6/15/2033, Call 6/1/2019 (5) (7)	2,900,000	2,900,000
1.710%, 8/15/2042, Call 8/15/2022 (5) (7)	3,375,000	3,375,000
Washington Health Care Facilities Authority, 5.000%, 10/1/2030, Call 10/1/2022	750,000	824,288
Washington State Housing Finance Commission:
5.000%, 1/1/2029, Call 1/1/2026 (5)	840,000	940,724
5.000%, 1/1/2036, Call 1/1/2025 (5)	2,125,000	2,277,150
5.000%, 1/1/2038, Call 1/1/2026 (5)	2,000,000	2,195,920
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC, 3.050%, 6/1/2022	750,000	770,025
WBRP 3.2:
5.000%, 1/1/2026, Call 7/1/2025	750,000	870,480
5.000%, 1/1/2031, Call 7/1/2025	940,000	1,071,337
Whidbey Island Public Hospital District:
5.000%, 12/1/2021	520,000	563,732
5.000%, 12/1/2022	510,000	561,821

		27,554,240
West Virginia — 0.7%
West Virginia Hospital Finance Authority:
1.840%, 6/1/2033, Call 9/4/2018 (7)	8,000,000	8,000,000
5.000%, 1/1/2043, Call 1/1/2029 (9)	1,750,000	1,941,747
5.750%, 1/1/2044, Call 1/1/2019	2,500,000	2,533,050

		12,474,797
Wisconsin — 3.6%
City of Oak Creek, 3.000%, 6/1/2027, Call 6/1/2025	100,000	101,341
Monroe Redevelopment Authority, 5.500%, 2/15/2029, Call 2/15/2019	500,000	508,660
Public Finance Authority:
3.500%, 11/15/2023, Call 5/15/2019 (5)	750,000	753,668
3.950%, 11/15/2024, Call 11/15/2019 (5)	1,000,000	1,012,210
4.750%, 12/1/2035, Call 12/1/2020	2,000,000	2,066,660
5.000%, 11/15/2029	1,900,000	2,182,891
5.000%, 11/15/2030	1,230,000	1,418,411
5.000%, 7/1/2037, Call 7/1/2024	820,000	853,997
5.000%, 9/30/2037, Call 9/30/2027	250,000	275,853
5.000%, 7/1/2047, Call 7/1/2024	1,000,000	1,035,140
5.125%, 7/15/2037, Call 7/15/2027 (5)	2,500,000	2,559,750
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022	800,000	857,288
5.000%, 3/1/2023, Call 9/1/2021	2,000,000	2,183,580
5.000%, 5/1/2027, Call 5/1/2022	25,000	27,668
5.000%, 5/1/2027, Call 5/1/2022	1,580,000	1,739,785
5.750%, 5/1/2029, Call 5/1/2019	105,000	107,856
5.750%, 5/1/2029, Call 5/1/2019	1,050,000	1,077,373


6.000%, 5/1/2033, Call 5/1/2019	135,000	138,891
6.000%, 5/1/2033, Call 5/1/2019	1,280,000	1,316,890
6.000%, 5/1/2036, Call 5/1/2019	1,965,000	2,021,631
Tender Option Bond Trust Receipts/Certificates, 1.630%, 11/15/2044 (5) (7)	4,320,000	4,320,000
Wisconsin Center District:
0.000%, 12/15/2033, Call 6/15/2026	2,200,000	1,217,568
0.000%, 12/15/2034, Call 6/15/2026	6,665,000	3,514,788
Wisconsin Center District, AGM:
5.250%, 12/15/2023	520,000	574,569
5.250%, 12/15/2027	1,930,000	2,216,817
Wisconsin Health & Educational Facilities Authority:
4.000%, 2/15/2042, Call 2/15/2027	1,000,000	1,001,400
4.750%, 10/15/2029, Call 10/15/2021	605,000	641,385
5.000%, 6/1/2019	105,000	107,381
5.000%, 7/1/2019	340,000	349,115
5.000%, 7/1/2019	650,000	667,427
5.000%, 8/15/2019	250,000	257,765
5.000%, 8/15/2019	955,000	983,755
5.000%, 8/15/2020	1,060,000	1,123,049
5.000%, 3/1/2021	240,000	249,847
5.000%, 8/15/2021	1,160,000	1,259,714
5.000%, 3/1/2022	205,000	215,705
5.000%, 10/1/2022	750,000	832,282
5.000%, 12/15/2022	500,000	553,610
5.000%, 12/15/2023	500,000	562,480
5.000%, 12/15/2024	500,000	569,075
5.000%, 3/1/2025, Call 3/1/2024	315,000	335,173
5.000%, 6/1/2026, Call 6/1/2020	135,000	142,407
5.000%, 8/15/2027, Call 8/15/2022	500,000	554,610
5.000%, 12/15/2028, Call 12/15/2024	100,000	111,605
5.000%, 8/15/2029, Call 8/15/2022	1,700,000	1,882,274
5.000%, 4/1/2032, Call 10/1/2022	4,560,000	4,948,968
5.000%, 6/1/2032, Call 6/1/2022	1,000,000	1,069,830
5.000%, 8/15/2032, Call 8/15/2022	5,000,000	5,536,100
5.125%, 4/15/2031, Call 4/15/2023	250,000	283,655
5.250%, 6/1/2034, Call 6/1/2020	300,000	316,941
5.375%, 8/15/2024, Call 2/15/2020	1,625,000	1,711,027
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021	3,655,000	3,973,241

		64,323,106
Wyoming — 0.1%
County of Laramie, 5.000%, 5/1/2027, Call 5/1/2021	1,000,000	1,074,500

Total Municipals (identified cost $1,722,346,529)		1,758,008,770

Mutual Funds — 0.9%
BlackRock Long-Term Municipal Advantage Trust	121,500	1,402,110
BlackRock Muni Intermediate Duration Fund, Inc.	110,000	1,450,900
BlackRock Municipal Bond Trust	93,400	1,340,290
BlackRock Municipal Income Quality Trust	107,800	1,411,102
BlackRock Municipal Income Trust	107,000	1,392,070
BlackRock MuniHoldings Quality Fund, Inc.	93,400	1,116,130
BlackRock MuniYield Quality Fund, Inc.	105,000	1,439,550
BMO Ultra Short Tax-Free Fund - Institutional Class (4)	513,162	5,162,410
Eaton Vance Municipal Income 2028 Term Trust	42,000	811,440

Total Mutual Funds (identified cost $15,779,501)		15,526,002


Short-Term Investments — 0.0%

Mutual Funds — 0.0%
BMO Government Money Market Fund — Premier Class, 1.773% (4)	85,922	85,922

Total Short-Term Investments (identified cost $85,922)		85,922


Total Investments — 99.7% (identified cost $1,738,211,952)		1,773,620,694

Other Assets and Liabilities — 0.3%		5,738,089


Total Net Assets — 100.0%	$	1,779,358,783

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

(5)	Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At August 31, 2018 these securities amounted to:

Fund

Amount

% of Total

Net Assets

Intermediate Tax-Free Fund

$ 169,630,650

9.53%

(7)

(8)

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

(13)	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.

(14)	Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund portfolio represents 1.45%, as calculated based upon total portfolio market value.

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of BMO Funds, Inc.:

Opinion on the Financial Statements

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, 2018, 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, and the related notes to financial statements (collectively, the financial statements), and 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 N-CSR), and the schedules of investments as of August 31, 2018 (included in Item 6 of this Form N-CSR). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of August 31, 2018, the results of their operations for the year then ended, the changes in their net assets for each of the years 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, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of August 31, 2018 by correspondence with custodians and brokers or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/KPMG LLP

We have served as the auditor of one or more BMO Funds, Inc. investment companies since 2011.

Columbus, Ohio

October 26, 2018

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end management investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a)

The Registrant’s principal executive officer and principal financial officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended, (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act. Based on their review, such officers have concluded that the disclosure controls and procedures were effective in ensuring that information required to be disclosed in this report was appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service providers.

(b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that materially affected, or were reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to open-end management investment companies.

Item 13. Exhibits.

(a) (1) Code of Ethics. Filed herewith.

(a) (2) Certifications required pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(a) (3) Not applicable.

(a)(4) Not applicable.

(b)	Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BMO Funds, Inc.

By: /s/ John M. Blaser

John M. Blaser

President

March 27, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ John M. Blaser

John M. Blaser

President

(Principal Executive Officer)

March 27, 2019

By: /s/ Timothy M. Bonin

Timothy M. Bonin

Treasurer

(Principal Financial Officer)

March 27, 2019