NPORT-EX 2 BMOTargetBook.htm HTML

Conservative Allocation Fund

SCHEDULE OF INVESTMENTS

As of November 30, 2019

(Unaudited)

 

Description

                Shares                              Value            

Mutual Funds — 98.9%

      

Large-Cap Funds — 13.2%

      

BMO Dividend Income Fund — Institutional Class (1)

      19,711      $              299,016  

BMO Large-Cap Growth Fund — Class R6 (1)

      43,668        844,968  

BMO Large-Cap Value Fund — Class R6 (1)

      66,172        976,703  

BMO Low Volatility Equity Fund — Institutional Class (1)

      30,791        493,277  

Dodge & Cox Stock Fund — Retail Class

      2,506        497,962  

Harbor Capital Appreciation Fund — Retirement Class

      3,889        313,158  

T. Rowe Price Growth Stock Fund — Institutional Class

      3,800        277,884  

Vanguard Institutional Index Fund — Institutional Class

      4,597        1,311,060  
     

 

 

 

Total Large-Cap Funds

         5,014,028  

Mid-Cap Funds — 1.3%

      

BMO Mid-Cap Growth Fund — Class R6 (1)

      8,832        143,960  

BMO Mid-Cap Value Fund — Class R6 (1)

      13,266        142,870  

Vanguard Mid-Cap Index Fund — Institutional Class

      4,259        203,852  
     

 

 

 

Total Mid-Cap Funds

         490,682  

Small-Cap Funds — 1.2%

      

BMO Small-Cap Growth Fund — Institutional Class (1)

      12,546        221,683  

BMO Small-Cap Value Fund — Class R6 (1)

      9,655        123,972  

Goldman Sachs Small Cap Value Fund — Institutional Class

      1,696        94,311  
     

 

 

 

Total Small-Cap Funds

         439,966  

International Funds — 6.7%

      

BMO Disciplined International Equity Fund — Institutional Class (1)

      31,214        338,357  

BMO LGM Emerging Markets Equity Fund — Institutional Class (1)

      15,483        238,125  

BMO Pyrford International Stock Fund — Class R6 (1)

      22,236        305,293  

Dodge & Cox International Stock Fund — Retail Class

      10,380        448,014  

MFS International Value Fund — Class R6

      9,174        423,581  

T. Rowe Price International Discovery Fund — Institutional Class

      4,158        275,037  

Vanguard Developed Markets Index Fund — Admiral Class

      29,742        410,438  

Vanguard Emerging Markets Stock Index Fund — Admiral Class

      3,087        107,990  
     

 

 

 

Total International Funds

         2,546,835  

Fixed Income Funds — 65.9%

      

BMO TCH Core Plus Bond Fund — Institutional Class (1)

      601,677        7,153,935  

Metropolitan West Total Return Bond Fund — Plan Class

      835,724        8,689,112  

TCW Emerging Markets Income Fund — Institutional Class

      339,652        2,795,331  

Vanguard Long-Term Treasury Index Fund — Admiral Class

      57,755        1,669,128  

Vanguard Total Bond Market Index Fund — Institutional Class

      419,286        4,649,886  
     

 

 

 

Total Fixed Income Funds

         24,957,392   

Alternative Funds — 10.6%

      

BMO Alternative Strategies Fund — Institutional Class (1) (2)

      430,957        3,994,969  
     

 

 

 

Total Mutual Funds
(identified cost $32,345,869)

         37,443,872  

Short-Term Investments — 0.9%

      

Mutual Funds — 0.9%

      

BMO Institutional Prime Money Market Fund — Premier Class, 1.880% (1)

      355,465        355,465  
     

 

 

 

Total Short-Term Investments — 0.9%
(identified cost $355,485)

         355,465  
     

 

 

 

Total Investments — 99.8%
(identified cost $32,701,354)

         37,799,337  

Other Assets and Liabilities — 0.2%

         73,703  
     

 

 

 

Total Net Assets — 100.0%

       $           37,873,040   
     

 

 

 

Moderate Allocation Fund

SCHEDULE OF INVESTMENTS

As of November 30, 2019

(Unaudited)

 

Description

               Shares                             Value            

Mutual Funds — 99.0%

    

Large-Cap Funds — 25.1%

    

BMO Dividend Income Fund — Institutional Class (1)

     73,091     $ 1,108,783  

BMO Large-Cap Growth Fund — Class R6 (1)

     162,328       3,141,052  

BMO Large-Cap Value Fund — Class R6 (1)

     245,389       3,621,942  

BMO Low Volatility Equity Fund — Institutional Class (1)

     114,056       1,827,178  

Dodge & Cox Stock Fund — Retail Class

     9,288       1,845,885  

Harbor Capital Appreciation Fund — Retirement Class

     14,348       1,155,323  

T. Rowe Price Growth Stock Fund — Institutional Class

     14,011       1,024,619  

Vanguard Institutional Index Fund — Institutional Class

     17,052       4,862,695  
   

 

 

 

Total Large-Cap Funds

       18,587,477  

Mid-Cap Funds — 2.5%

    

BMO Mid-Cap Growth Fund — Class R6 (1)

     32,875       535,867  

BMO Mid-Cap Value Fund — Class R6 (1)

     49,380       531,818  

Vanguard Mid-Cap Index Fund — Institutional Class

     15,961       763,873  
   

 

 

 

Total Mid-Cap Funds

       1,831,558  

Small-Cap Funds — 2.2%

    

BMO Small-Cap Growth Fund — Institutional Class (1)

     46,740       825,903  

BMO Small-Cap Value Fund — Class R6 (1)

     35,639       457,602  

Goldman Sachs Small Cap Value Fund — Institutional Class

     6,265       348,327  
   

 

 

 

Total Small-Cap Funds

       1,631,832  

International Funds — 12.7%

    

BMO Disciplined International Equity Fund — Institutional Class (1)

     115,207       1,248,847  

BMO LGM Emerging Markets Equity Fund — Institutional Class (1)

     57,008       876,782  

BMO Pyrford International Stock Fund — Class R6 (1)

     82,040       1,126,402  

Dodge & Cox International Stock Fund — Retail Class

     38,402       1,657,451  

MFS International Value Fund — Class R6

     33,980       1,568,860  

T. Rowe Price International Discovery Fund — Institutional Class

     15,332       1,014,054  

Vanguard Developed Markets Index Fund — Admiral Class

     106,237       1,466,069  

Vanguard Emerging Markets Stock Index Fund — Admiral Class

     11,503       402,365  
   

 

 

 

Total International Funds

       9,360,830  

Fixed Income Funds — 48.1%

    

BMO TCH Core Plus Bond Fund — Institutional Class (1)

     929,103       11,047,036  

Metropolitan West Total Return Bond Fund — Plan Class

     1,253,316       13,030,855  

TCW Emerging Markets Income Fund — Institutional Class

     475,607       3,914,249  

Vanguard Long-Term Treasury Index Fund — Admiral Class

     128,611       3,716,847  

Vanguard Total Bond Market Index Fund — Institutional Class

     343,333       3,807,562  
   

 

 

 

Total Fixed Income Funds

       35,516,549   

Alternative Funds — 8.4%

    

BMO Alternative Strategies Fund — Institutional Class (1) (2)

     672,695       6,235,881  
   

 

 

 

Total Mutual Funds
(identified cost $59,376,389)

       73,164,127  

Short-Term Investments — 0.8%

    

Mutual Funds — 0.8%

    

BMO Institutional Prime Money Market Fund — Premier Class, 1.880% (1)

     598,601       598,602  
   

 

 

 

Total Short-Term Investments — 0.8%
(identified cost $598,645)

       598,602  
   

 

 

 

Total Investments — 99.8%
(identified cost $59,975,034)

       73,762,729  

Other Assets and Liabilities — 0.2%

       133,054  
   

 

 

 

Total Net Assets — 100.0%

     $ 73,895,783   
   

 

 

 

Balanced Allocation Fund

SCHEDULE OF INVESTMENTS

As of November 30, 2019

(Unaudited)

 

Description

               Shares                             Value            

Mutual Funds — 99.1%

    

Large-Cap Funds — 36.7%

    

BMO Dividend Income Fund — Institutional Class (1)

     395,444     $ 5,998,886  

BMO Large-Cap Growth Fund — Class R6 (1)

     878,791       17,004,612  

BMO Large-Cap Value Fund — Class R6 (1)

     1,328,787       19,612,901  

BMO Low Volatility Equity Fund — Institutional Class (1)

     617,460       9,891,715  

Dodge & Cox Stock Fund — Retail Class

     50,281       9,992,298  

Harbor Capital Appreciation Fund — Retirement Class

     77,878       6,270,702  

T. Rowe Price Growth Stock Fund — Institutional Class

     75,983       5,556,654  

Vanguard Institutional Index Fund — Institutional Class

     92,448       26,363,224  
   

 

 

 

Total Large-Cap Funds

       100,690,992  

Mid-Cap Funds — 3.6%

    

BMO Mid-Cap Growth Fund — Class R6 (1)

     178,087       2,902,822  

BMO Mid-Cap Value Fund — Class R6 (1)

     267,450       2,880,432  

Vanguard Mid-Cap Index Fund — Institutional Class

     86,338       4,132,152  
   

 

 

 

Total Mid-Cap Funds

       9,915,406   

Small-Cap Funds — 3.2%

    

BMO Small-Cap Growth Fund — Institutional Class (1)

     252,552       4,462,589  

BMO Small-Cap Value Fund — Class R6 (1)

     192,145       2,467,138  

Goldman Sachs Small Cap Value Fund — Institutional Class

     33,667       1,871,924  
   

 

 

 

Total Small-Cap Funds

       8,801,651  

International Funds — 18.6%

    

BMO Disciplined International Equity Fund — Institutional Class (1)

     625,704       6,782,630  

BMO LGM Emerging Markets Equity Fund — Institutional Class (1)

     308,861       4,750,288  

BMO Pyrford International Stock Fund — Class R6 (1)

     445,201       6,112,606  

Dodge & Cox International Stock Fund — Retail Class

     208,296       8,990,054  

MFS International Value Fund — Class R6

     183,660       8,479,563  

T. Rowe Price International Discovery Fund — Institutional Class

     83,135       5,498,535  

Vanguard Developed Markets Index Fund — Admiral Class

     591,885       8,168,018  

Vanguard Emerging Markets Stock Index Fund — Admiral Class

     62,161       2,174,404  
   

 

 

 

Total International Funds

       50,956,098  

Fixed Income Funds — 30.0%

    

BMO TCH Core Plus Bond Fund — Institutional Class (1)

     2,025,881       24,087,731  

Metropolitan West Total Return Bond Fund — Plan Class

     2,826,858       29,391,137  

TCW Emerging Markets Income Fund — Institutional Class

     1,304,273       10,734,166  

Vanguard Long-Term Treasury Index Fund — Admiral Class

     431,925       12,482,631  

Vanguard Total Bond Market Index Fund — Institutional Class

     504,952       5,599,917  
   

 

 

 

Total Fixed Income Funds

       82,295,582  

Alternative Funds — 7.0%

    

BMO Alternative Strategies Fund — Institutional Class (1) (2)

     2,082,130       19,301,343  
   

 

 

 

Total Mutual Funds
(identified cost $200,504,934)

       271,961,072  

Short-Term Investments — 0.9%

    

Mutual Funds — 0.9%

    

BMO Institutional Prime Money Market Fund — Premier Class, 1.880% (1)

     2,534,281       2,534,281  
   

 

 

 

Total Short-Term Investments — 0.9%
(identified cost $2,534,335)

       2,534,281  
   

 

 

 

Total Investments — 100.0%
(identified cost $203,039,269)

       274,495,353  

Other Assets and Liabilities — 0.0%

       115,862  
   

 

 

 

Total Net Assets — 100.0%

     $                 274,611,215   
   

 

 

 

Growth Allocation Fund

SCHEDULE OF INVESTMENTS

As of November 30, 2019

(Unaudited)

 

Description

                Shares                              Value              

 

Mutual Funds — 99.3%

      

Large-Cap Funds — 48.6%

      

BMO Dividend Income Fund — Institutional Class (1)

      229,480      $           3,481,212   

BMO Large-Cap Growth Fund — Class R6 (1)

      509,675        9,862,218   

BMO Large-Cap Value Fund — Class R6 (1)

      770,996        11,379,906   

BMO Low Volatility Equity Fund — Institutional Class (1)

      358,188        5,738,169   

Dodge & Cox Stock Fund — Retail Class

      29,169        5,796,813   

Harbor Capital Appreciation Fund — Retirement Class

      45,252        3,643,673   

T. Rowe Price Growth Stock Fund — Institutional Class

      44,170        3,230,125   

Vanguard Institutional Index Fund — Institutional Class

      53,627        15,292,853   
     

 

 

  

Total Large-Cap Funds

         58,424,969   

Mid-Cap Funds — 4.8%

      

BMO Mid-Cap Growth Fund — Class R6 (1)

      103,430        1,685,903   

BMO Mid-Cap Value Fund — Class R6 (1)

      155,331        1,672,922   

Vanguard Mid-Cap Index Fund — Institutional Class

      50,000        2,392,991   
     

 

 

  

Total Mid-Cap Funds

         5,751,816   

Small-Cap Funds — 4.3%

      

BMO Small-Cap Growth Fund — Institutional Class (1)

      146,809        2,594,108   

BMO Small-Cap Value Fund — Class R6 (1)

      111,460        1,431,152   

Goldman Sachs Small Cap Value Fund — Institutional Class

      19,550        1,086,952   
     

 

 

  

Total Small-Cap Funds

         5,112,212   

International Funds — 24.6%

      

BMO Disciplined International Equity Fund — Institutional Class (1)

      363,452        3,939,815   

BMO LGM Emerging Markets Equity Fund — Institutional Class (1)

      178,867        2,750,976   

BMO Pyrford International Stock Fund — Class R6 (1)

      258,690        3,551,810   

Dodge & Cox International Stock Fund — Retail Class

      120,737        5,211,033   

MFS International Value Fund — Class R6

      106,568        4,920,228   

T. Rowe Price International Discovery Fund — Institutional Class

      48,327        3,196,337   

Vanguard Developed Markets Index Fund — Admiral Class

      346,231        4,777,988   

Vanguard Emerging Markets Stock Index Fund — Admiral Class

      36,134        1,263,970   
     

 

 

  

Total International Funds

         29,612,157   

Fixed Income Funds — 11.4%

      

BMO TCH Core Plus Bond Fund — Institutional Class (1)

      287,846        3,422,494   

Metropolitan West Total Return Bond Fund — Plan Class

      416,094        4,326,173   

TCW Emerging Markets Income Fund — Institutional Class

      302,770        2,491,795   

Vanguard Long-Term Treasury Index Fund — Admiral Class

      119,637        3,457,511   

Vanguard Total Bond Market Index Fund — Institutional Class

      1,130        12,527   
     

 

 

  

Total Fixed Income Funds

         13,710,500   

Alternative Funds — 5.6%

      

BMO Alternative Strategies Fund — Institutional Class (1) (2)

      730,781        6,774,342   
     

 

 

  

Total Mutual Funds
(identified cost $84,474,564)

         119,385,996   

Short-Term Investments — 0.6%

      

Mutual Funds — 0.6%

      

BMO Institutional Prime Money Market Fund — Premier Class, 1.880% (1)

      714,495        714,495   
     

 

 

  

Total Short-Term Investments — 0.6%
(identified cost $714,520)

         714,495   
     

 

 

  

Total Investments — 99.9%
(identified cost $85,189,084)

         120,100,491   

Other Assets and Liabilities — 0.1%

         139,425   
     

 

 

  

Total Net Assets — 100.0%

       $           120,239,916   
     

 

 

  

Aggressive Allocation Fund

SCHEDULE OF INVESTMENTS

As of November 30, 2019

(Unaudited)

 

Description

                Shares                              Value              

 

Mutual Funds — 99.2%

      

Large-Cap Funds — 58.3%

      

BMO Dividend Income Fund — Institutional Class (1)

      382,252      $               5,798,770   

BMO Large-Cap Growth Fund — Class R6 (1)

      853,181        16,509,055   

BMO Large-Cap Value Fund — Class R6 (1)

      1,290,391        19,046,163   

BMO Low Volatility Equity Fund — Institutional Class (1)

      600,187        9,614,989   

Dodge & Cox Stock Fund — Retail Class

      48,561        9,650,499   

Harbor Capital Appreciation Fund — Retirement Class

      75,476        6,077,354   

T. Rowe Price Growth Stock Fund — Institutional Class

      73,407        5,368,284   

Vanguard Institutional Index Fund — Institutional Class

      89,264        25,455,331   
     

 

 

  

Total Large-Cap Funds

         97,520,445   

Mid-Cap Funds — 5.8%

      

BMO Mid-Cap Growth Fund — Class R6 (1)

      174,368        2,842,194   

BMO Mid-Cap Value Fund — Class R6 (1)

      260,975        2,810,704   

Vanguard Mid-Cap Index Fund — Institutional Class

      83,238        3,983,751   
     

 

 

  

Total Mid-Cap Funds

         9,636,649   

Small-Cap Funds — 5.1%

      

BMO Small-Cap Growth Fund — Institutional Class (1)

      244,883        4,327,087   

BMO Small-Cap Value Fund — Class R6 (1)

      188,287        2,417,609   

Goldman Sachs Small Cap Value Fund — Institutional Class

      32,490        1,806,434   
     

 

 

  

Total Small-Cap Funds

         8,551,130   

International Funds — 29.5%

      

BMO Disciplined International Equity Fund — Institutional Class (1)

      603,711        6,544,231   

BMO LGM Emerging Markets Equity Fund — Institutional Class (1)

      298,169        4,585,835   

BMO Pyrford International Stock Fund — Class R6 (1)

      430,199        5,906,625   

Dodge & Cox International Stock Fund — Retail Class

      200,961        8,673,477   

MFS International Value Fund — Class R6

      177,468        8,193,713   

T. Rowe Price International Discovery Fund — Institutional Class

      80,315        5,312,033   

Vanguard Developed Markets Index Fund — Admiral Class

      575,405        7,940,586   

Vanguard Emerging Markets Stock Index Fund — Admiral Class

      59,960        2,097,408   
     

 

 

  

Total International Funds

         49,253,908   

Alternative Funds — 0.5%

      

BMO Alternative Strategies Fund — Institutional Class (1) (2)

      90,762        841,366   
     

 

 

  

Total Mutual Funds
(identified cost $105,707,228)

         165,803,498   

Short-Term Investments — 0.6%

      

Mutual Funds — 0.6%

      

BMO Institutional Prime Money Market Fund — Premier Class, 1.880% (1)

      1,001,936        1,001,936   
     

 

 

  

Total Short-Term Investments — 0.6%
(identified cost $1,001,961)

         1,001,936   
     

 

 

  

Total Investments — 99.8%
(identified cost $106,709,189)

         166,805,434   

Other Assets and Liabilities — 0.2%

         280,603   
     

 

 

  

Total Net Assets — 100.0%

       $ 167,086,037   
     

 

 

  

 

Notes to Schedules of Investments (Unaudited)

 

The categories of investments are shown as a percentage of total net assets for each Fund as of November 30, 2019.

(1)  Denotes an investment in an affiliated entity. Please refer to Note 3, Investments in Affiliated Issuers, in the Additional Information Associated with the Schedule of Investments.

(2)  Non-income producing.

Additional Information Associated with the Schedules of Investments (Unaudited)

1.    Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of November 30, 2019, the Corporation consisted of 32 portfolios, including 5 target risk diversified portfolios within this quarterly 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 quarterly 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.

 

Fund   Inception Date               Investment Objective

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.

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

2.    Fair Value Measurements Discussion and Disclosure

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

Securities or other assets for which market valuations are not readily available, or are deemed to be inaccurate, are valued at fair value as determined in good faith using methods approved by the Board of Directors (the “Directors”). The Directors have established a Pricing Committee, which is responsible for determinations of fair value, subject to the supervision of the Directors. In determining fair value, the Pricing Committee takes into account all information available and any factors it deems appropriate. Consequently, the price of securities used by the Fund to calculate its Net Asset Value (“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. 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.

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

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

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

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

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

 

Notes to Schedules of Investments (Unaudited)

 

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

For the year ended November 30, 2019, the Funds had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy. It is the Funds’ policy to recognize transfers between category levels at the end of the period. For the year ended November 30, 2019, there were no transfers in and out of Level 1, Level 2 , and Level 3. The Funds did not hold any Level 2 or Level 3 securities as of November 30, 2019.

The following is a summary of the inputs used, as of November 30, 2019, in valuing the Funds’ assets:

 

     Conservative Allocation Fund  
     Level 1      Level 2      Level 3      Total  

Mutual Funds

    $     37,443,872      $                 —      $                 —      $ 37,443,872  

Short-Term Investments

      355,465        —        —        355,465  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 37,799,337      $                 —      $                 —      $     37,799,337  
  

 

 

     

 

 

     

 

 

     

 

 

  
     Moderate Allocation Fund  
     Level 1      Level 2      Level 3      Total  

Mutual Funds

    $ 73,164,127      $                 —      $ —      $ 73,164,127  

Short-Term Investments

      598,602        —        —        598,602  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 73,762,729      $ —      $ —      $ 73,762,729  
  

 

 

     

 

 

     

 

 

     

 

 

  
     Balanced Allocation Fund  
     Level 1      Level 2      Level 3      Total  

Mutual Funds

    $ 271,961,072      $                 —      $ —      $ 271,961,072  

Short-Term Investments

      2,534,281        —        —        2,534,281  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 274,495,353      $ —      $ —      $ 274,495,353  
  

 

 

     

 

 

     

 

 

     

 

 

  
     Growth Allocation Fund  
     Level 1      Level 2      Level 3      Total  

Mutual Funds

    $ 119,385,996      $ —      $ —      $ 119,385,996  

Short-Term Investments

      714,495        —        —        714,495  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 120,100,491      $ —      $ —      $ 120,100,491  
  

 

 

     

 

 

     

 

 

     

 

 

  
     Aggressive Allocation Fund  
     Level 1      Level 2      Level 3      Total  

Mutual Funds

    $ 165,803,498      $ —      $ —      $ 165,803,498  

Short-Term Investments

      1,001,936        —        —        1,001,936  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 166,805,434      $ —      $ —      $ 166,805,434  
  

 

 

     

 

 

     

 

 

     

 

 

  

3.     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 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 November 30, 2019. All securities listed on the table present the Institutional Class, except for BMO Institutional Prime Money Market, which has a Premier Class.

 

Notes to Schedules of Investments (Unaudited)

 

 

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 – 6.9%

                   

BMO Low Volatility Equity Fund

    $ 475,209      $ 52,460      $ 38,936      $ (401 )    $ 4,945       $ 493,277      $ 1,845       $ —   

BMO Dividend Income Fund

      292,539       32,343       50,477       22,687       1,924       299,016        1,514         —   

BMO Large-Cap Value Fund

      872,627       159,058       121,080       63,687       2,411       976,703        4,604         —   

BMO Large-Cap Growth Fund

      743,735       142,229       90,821       48,785       1,040       844,968        —         —   
               2,613,964        

Mid-Cap Funds – 0.8%

                   

BMO Mid-Cap Growth Fund

      137,532       15,446       18,992       9,507       467       143,960        —         —   

BMO Mid-Cap Value Fund

      138,801       15,851       23,508       9,701       2,025       142,870        —         —   
               286,830        

Small-Cap Funds – 0.9%

                   

BMO Small-Cap Growth Fund

      209,043       32,375       40,284       19,038       1,511       221,683        —         —   

BMO Small-Cap Value Fund

      119,570       19,886       27,290       11,271       535       123,972        —         —   
               345,655              

International Funds – 2.3%

                   

BMO LGM Emerging Markets Equity Fund

      234,221       26,575       31,682       9,017       (6 )      238,125        —         —   

BMO Pyrford International Stock Fund

      364,133       37,526       119,369       1,182       21,821       305,293        —         —   

BMO Disciplined International Equity Fund

      397,559       129,175       218,761       9,783       20,601       338,357        —         —   
               881,775        

Fixed Income Funds – 18.9%

                   

BMO TCH Core Plus Bond Fund

      7,645,843       1,112,658       1,529,274       (161,818 )      86,526       7,153,935        59,490         —   

Alternative Funds – 10.6%

                         

BMO Alternative Strategies Fund

      3,922,099       378,660       286,024       1,883       (21,649 )      3,994,969        —         —   

Short-Term Investment – 0.9%

                   

BMO Institutional Prime Money Market Fund

      290,913       3,677,071       3,612,495       (78 )      54       355,465        1,544         —   
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

     

 

 

     

 

 

  

Totals

    $     15,843,824      $     5,831,313      $     6,208,993      $     44,244      $     122,206      $     15,632,593      $     68,997       $          —   
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

     

 

 

     

 

 

  

Moderate Allocation Fund

                   

Large-Cap Funds – 13.2%

                   

BMO Low Volatility Equity Fund

    $ 1,762,692      $ 100,685      $ 52,020      $ 13,105      $ 2,716      $ 1,827,178       $ 6,810       $ —   

BMO Dividend Income Fund

      1,085,928        58,572        124,980        85,759        3,504        1,108,783         5,789         —   

BMO Large-Cap Value Fund

      3,248,906        385,019        249,470        238,010        (523)        3,621,942         17,581         —   

BMO Large-Cap Growth Fund

      2,775,255        316,030        129,471        178,811        427        3,141,052         —         —   
            

 

 

        
               9,698,955         

Mid-Cap Funds – 1.4%

                   

BMO Mid-Cap Growth Fund

      513,703        23,284        37,296        35,020        1,156        535,867         —         —   

BMO Mid-Cap Value Fund

      516,503        30,981        57,961        40,248        2,047        531,818         —         —   
            

 

 

        
               1,067,685         

Small-Cap Funds – 1.7%

                   

BMO Small-Cap Growth Fund

      791,550        56,525        96,305        71,494        2,639        825,903         —         —   

BMO Small-Cap Value Fund

      442,812        36,792        63,968        43,717        (1,751)        457,602         —         —   
            

 

 

        
               1,283,505         

International Funds – 4.4%

                   

BMO LGM Emerging Markets Equity Fund

      861,314        44,935        61,123        33,920        (2,264)        876,782         —         —   

BMO Pyrford International Stock Fund

      1,348,953        285,168        595,197        9,195        78,283        1,126,402         —         —   

BMO Disciplined International Equity Fund

      1,470,274        301,935        638,731        89,033        26,336        1,248,847         —         —   
            

 

 

        
               3,252,031         

Fixed Income Funds – 15.0%

                   

BMO TCH Core Plus Bond Fund

      10,686,927        802,520        344,870        (96,278)        (1,263)        11,047,036         86,568         —   

Alternative Funds – 8.4%

                   

BMO Alternative Strategies Fund

      6,006,630        397,096        137,468        (19,750)        (10,627)        6,235,881         —         —   

Short-Term Investment – 0.8%

                   

BMO Institutional Prime Money Market Fund

      696,506        4,087,795        4,185,711        (147)        159        598,602         3,171         —   
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

     

 

 

     

 

 

  

Totals

    $     32,207,953      $ 6,927,337      $ 6,774,571      $ 722,137      $ 100,839      $ 33,183,695       $ 119,919       $ —   
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

     

 

 

     

 

 

  

 

Notes to Schedules of Investments (Unaudited)

 

 

Balanced Allocation Fund

                 

Large-Cap Funds – 19.1%

                 

BMO Low Volatility Equity Fund

    $ 9,840,258      $ 423,285      $ 460,438      $ (31,014)      $ 119,624      $ 9,891,715      $ 38,223      $ —   

BMO Dividend Income Fund

      6,050,960       102,567       649,691       398,755       96,295       5,998,886       32,146       —  

BMO Large-Cap Value Fund

      18,143,713       1,530,174       1,380,685       1,289,950       29,749       19,612,901       97,750       —  

BMO Large-Cap Growth Fund

      15,513,513       1,582,735       1,095,902       892,336       111,930       17,004,612       —       —  
            

 

 

      
               52,508,114      

Mid-Cap Funds – 2.2%

                 

BMO Mid-Cap Growth Fund

      2,886,233       24,967       210,703       164,901       37,424       2,902,822       —       —  

BMO Mid-Cap Value Fund

      2,901,971       49,814       308,316       194,768       42,195       2,880,432       —       —  
            

 

 

      
               5,783,254      

Small-Cap Funds – 2.5%

                 

BMO Small-Cap Growth Fund

      4,414,268       61,953       422,967       389,522       19,813       4,462,589       —       —  

BMO Small-Cap Value Fund

      2,482,108       73,722       321,042       255,567       (23,217)       2,467,138       —       —  
            

 

 

      
               6,929,727      

International Funds – 6.4%

                 

BMO LGM Emerging Markets Equity Fund

      4,812,244       111,274       350,213       157,154       19,829       4,750,288       —       —  

BMO Pyrford International Stock Fund

      7,536,704       1,641,534       3,521,706       (402,151)       858,225       6,112,606       —       —  

BMO Disciplined International Equity Fund

      8,214,534       1,768,171       3,812,791       373,503       239,213       6,782,630       —       —  
            

 

 

      
               17,645,524      

Fixed Income Funds – 8.8%

                 

BMO TCH Core Plus Bond Fund

      23,835,921       1,802,700       1,331,063       (249,212)       29,385       24,087,731       190,761       —  

Alternative Funds – 7.0%

                 

BMO Alternative Strategies Fund

      19,017,134       1,249,914       869,759       (31,610)       (64,336)       19,301,343       —       —  

Short-Term Investment – 0.9%

                 

BMO Institutional Prime Money Market Fund

      2,721,496       10,628,999       10,816,069       (576)       431       2,534,281       11,107       —  
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

    

 

 

    

 

 

  

Totals

    $     128,371,057     $     21,051,809     $     25,551,345     $         3,401,893     $         1,516,560     $     128,789,974     $         369,987     $             —  
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

    

 

 

    

 

 

  

Growth Allocation Fund

                 

Large-Cap Funds – 25.4%

                 

BMO Low Volatility Equity Fund

    $ 5,418,771      $ 541,818      $ 274,605      $ 52,367      $ (182)      $ 5,738,169      $ 21,499      $ —  

BMO Dividend Income Fund

      3,330,821       50,546       181,499       276,101       5,243       3,481,212       17,552       —  

BMO Large-Cap Value Fund

      9,987,271       1,873,926       1,234,813       749,536       3,986       11,379,906       53,610       —  

BMO Large-Cap Growth Fund

      8,540,272       1,803,263       1,061,385       574,653       5,415       9,862,218       —       —  
            

 

 

      
               30,461,505      

Mid-Cap Funds – 2.8%

                 

BMO Mid-Cap Growth Fund

      1,584,650       24,476       39,506       114,718       1,565       1,685,903       —       —  

BMO Mid-Cap Value Fund

      1,593,287       33,818       88,239       130,319       3,737       1,672,922       —       —  
            

 

 

      
               3,358,825      

Small-Cap Funds – 3.4%

                 

BMO Small-Cap Growth Fund

      2,425,688       85,284       153,967       229,968       7,135       2,594,108       —       —  

BMO Small-Cap Value Fund

      1,372,534       47,808       121,878       141,805       (9,117)       1,431,152       —       —  
            

 

 

      
               4,025,260      

International Funds – 8.5%

                 

BMO LGM Emerging Markets Equity Fund

      2,668,786       92,009       110,257       105,359       (4,921)       2,750,976       —       —  

BMO Pyrford International Stock Fund

      4,148,947       916,997       1,773,209       (175,352)       434,427       3,551,810       —       —  

BMO Disciplined International Equity Fund

      4,519,910       883,043       1,810,285       231,006       116,141       3,939,815       —       —  
            

 

 

      
               10,242,601      

Fixed Income Funds – 2.8%

                 

BMO TCH Core Plus Bond Fund

      3,201,664       341,963       92,697       (28,618)       182       3,422,494       26,539       —  

Alternative Funds – 5.6%

                 

BMO Alternative Strategies Fund

      6,309,807       625,488       128,275       (20,446)       (12,232)       6,774,342       —       —  

Short-Term Investment – 0.6%

                 

BMO Institutional Prime Money Market Fund

      1,152,517       4,526,356       4,964,133       (229)       (16)       714,495       4,833       —  
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

    

 

 

    

 

 

  

Totals

    $     56,254,925     $     11,846,795     $     12,034,748     $     2,381,187     $     551,363     $     58,999,522     $     124,033     $             —  
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

    

 

 

    

 

 

  

 

Notes to Schedules of Investments (Unaudited)

 

 

Aggressive Allocation Fund

                      
Large-Cap Funds – 30.6%                      

BMO Low Volatility Equity Fund

    $ 9,429,318      $ 610,533      $ 512,773      $ 55,693     $ 32,218     $ 9,614,989      $ 36,913      $             —   

BMO Dividend Income Fund

      5,764,728        177,025        621,917        463,279       15,655       5,798,770        30,222        —   

BMO Large-Cap Value Fund

      17,286,092        3,329,393        2,852,649        1,276,581       6,746       19,046,163        92,280        —   

BMO Large-Cap Growth Fund

      14,758,236        1,946,559        1,179,209        934,044       49,425       16,509,055        —         —   
                  50,968,977        
Mid-Cap Funds – 3.4%                      

BMO Mid-Cap Growth Fund

      2,736,158        69,647        161,669        164,638       33,420       2,842,194        —         —   

BMO Mid-Cap Value Fund

      2,761,184        75,756        255,974        199,083       30,655       2,810,704        —         —   
                  5,652,898        
Small-Cap Funds – 4.0%                      

BMO Small-Cap Growth Fund

      4,170,031        134,765        377,942        380,510       19,723       4,327,087        —         —   

BMO Small-Cap Value Fund

      2,345,901        131,172        284,590        245,668       (20,542)       2,417,609        —         —   
                  6,744,696        
International Funds – 10.1%                      

BMO LGM Emerging Markets Equity Fund

      4,612,374        115,267        313,267        181,353       (9,892)       4,585,835        —         —   

BMO Pyrford International Stock Fund

      7,216,629        1,544,736        3,296,883        (338,010)       780,153       5,906,625        —         —   

BMO Disciplined International Equity Fund

      7,859,748        1,610,195        3,518,406        372,021       220,673       6,544,231        —         —   
                  17,036,691        
Alternative Funds – 0.5%                      

BMO Alternative Strategies Fund

      808,700        70,636        34,119        (1,076 )      (2,775 )      841,366        —         —   
Short-Term Investment – 0.6%                      

BMO Institutional Prime Money Market Fund

      1,351,802        8,450,164        8,800,107        (31)       108       1,001,936        7,069        —   
  

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

  

 

 

 

  

 

 

     

 

 

     

 

 

  

Totals

    $     81,100,901      $     18,265,848      $     22,209,505      $      3,933,753     $     1,155,566     $     82,246,564      $       166,484      $ —