AMG Funds. AMG Chicago Equity Partners Small Cap Value Fund. June 2015

AMG Funds

AMG Chicago Equity Partners Small Cap Value Fund

AMG Funds Overview

X

X

AMG Funds is a wholly owned subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (AMG)

—

AMG is a global asset management company with investments in leading boutique investment management firms

X

AMG Funds provides access to many of AMG’s boutique investment Affiliates through our family of mutual funds,

separately managed accounts, alternative funds and asset-allocation products

—

In addition, we oversee and distribute a number of complementary mutual funds subadvised by

unaffiliated investment managers

Assets Under Service $6.7 Billion Assets Under Management $8.0 Billion Assets Under Management $8.0 Billion Assets Under Service $6.7 Billion Assets Under Management $8.0 Billion Assets Under Management

$48.0 Billion

Assets Under Service $8.4 Billion

Subadvised Assets $10.1 Billion

About AMG Funds1

X

fSubsidiary of Affiliated Managers Group, Inc. (AMG)

X

f$48.0 billion under management

X

— Includes $12.3 billion of Aston Asset Management’s mutual funds and separately managed accounts

X

f$8.4 billion under service

X

— Includes $1.4 billion of Aston Asset Mangement’s separately managed accounts

X

f$10.1 billion subadvised assets

X

f153 employees

X

— Includes 38 Aston Asset Management Employees

1 _{As of June 30, 2015} 2 _{The Fund’s Investment}

Manager has contractually agreed, through at least May 1, 2016, to limit Fund operating expenses. The net expense ratio reflects this limitation, while the gross expense ratio does not. Please refer to the Fund’s Prospectus for additional information on the Fund’s expenses.

AMG Chicago Equity Partners Small Cap Value Fund Overview

X

X

Fund Subadvisor: Chicago Equity Partners, LLC (CEP)

X

Fund AUM: $13.5 million

X

The Fund seeks long-term capital appreciation by investing in equity securities of small-cap value companies

X

The Fund invests at least 80% of its total assets in stocks of small-capitalization U.S. companies.

—

CEP considers a company to be a small-capitalization company if, at the time of purchase, its market capitalization is

within the market capitalization range of the companies represented in the Russell 2000

_Index.

Share Class Ticker Inception Expense Ratio_Gross/Net2

Minimum

Investment Sales LoadMaximum 12b–1 Fees

Investor Class CESVX 12/31/14 1.62%/1.35% _{($1,000 IRA)}$2,000 — 0.25%

Service Class CESSX 12/31/14 1.37%/1.10% _{($25,000 IRA)}$100,000 — —

Why Invest In Actively Managed Small-Cap Value Stocks?

CEP believes small-cap value can be viewed as an inefficient segment of the U.S. stock market

X

Vast universe of stocks

X

Tend to be underfollowed by the financial analyst community

X

May have unrecognized growth potential

X

Smaller company size may allow for faster growth potential

X

Targets for acquisition

X

X

Chicago Equity Partners (CEP) has a 25-year history of institutionally focused investment management across

equities and fixed income

—

AMG Affiliate since 2006

—

Total of 40 employees with an average professional-level tenure of 15 years

—

$9.6 billion in assets under management for more than 100 institutional clients around the world

X

X

CEP employs a disciplined investment approach

—

Focus on clearly defined and process-oriented strategies that are repeatable and scalable

—

Deliberate approach to taking investment risks for which CEP believes the portfolio will be appropriately

compensated

—

Long-standing commitment to continued innovation in its investment approach

Chicago Equity Partners, LLC Overview

Trading

CEP’s Team Approach to Portfolio Management

CEP’s equity team, led by founding partner, David Coughenour, CFA, employs an accomplished 13-member team of

industry-leading investment professionals who have spent an average of 18 years working together.

Equity Portfolio

Management Team

Management Team

Equity Portfolio

Quantitative

Research

X X

Industry-specific analysis

Stock-specific analysis

Portfolio construction

Risk control

X

Alpha model research and

development

X

X

Risk model research and

development

X

X

Portfolio attribution analysis

X

New product development

X

Study academic and industry

trends

X

X

Execute trades

X

Monitor trade effectiveness

X

Access new trading platforms

Equity

Portfolio

Management

Investment Philosophy

Chicago Equity Partners’ investment philosophy is based on well-established financial and behavioral theory. CEP seeks to

generate alpha by exploiting market inefficiencies through a systematic, risk-controlled process.

CEP’s Core Beliefs

X

X

Equity markets are mostly efficient

—

Due to fundamental and behavioral biases, however, market inefficiencies persist that

may be exploited through a systematic, research-intensive process

X

X

Changes in fundamentals drive stock prices

—

Analyzing a combination of earnings, valuation, growth, balance sheet and other relevant

metrics creates what we believe is the best opportunity to identify and exploit market

inefficiencies

X

X

Structured analysis plus disciplined decision making equals success

—

We believe the best means of generating alpha combines systematic analysis of

fundamental variables with rigorous implementation by a team of seasoned industry

experts, creating a process that is transparent, explainable, and scalable

Results

X

X

An intensive research focus that seeks to add value through stock selection

X

A diversified

portfolio of companies with attractive valuation ratios, quality balance sheets

and positive growth and momentum expectations

X

X

A disciplined approach to taking only those risks for which CEP believes it will be

appropriately compensated

1 _{Diversification cannot assure}

Chicago Equity Partners’ Investment Process Overview

The investment process has three components.

Combine sophisticated quantitative

methods with a qualitative

implementation plan to distinguish

potential winners from losers

Seek to optimize the portfolio as a team,

neutralizing size, industry and sector

exposures while emphasizing security

selection

Utilize a proprietary risk model to take a

disciplined approach to taking only those

risks for which CEP believes the portfolio

Stable and

Repeatable

Alpha

Generation

Portfolio

Construction

Risk Management

1

2

3

There is no guarantee that these investment strategies will work under all market conditions, and each investor should evaluate his

Alpha Generation: Stock Selection Model

CEP’s stock selection process combines sophisticated quantitative methods with a qualitative implementation plan.

Data Collection

Alpha

Calculation

Qualitative

Input

Start with a broad universe of companies where CEP:

X

Collects fundamental company data

X

Verifies and substantiates data inputs

For each company:

X

X

Calculate the score for each factor

X

Vary factor emphasis across five “super sectors:” technology/media/telecom,

non-cyclicals, cyclicals, energy, financials

X

X

Calculate a forecast return (alpha) score

X

Rank within industry, relative to peers

On a fundamental basis, the portfolio management team:

X

Verifies data before and after stock-level calculations

X

Addresses information not captured by the quantitative model including legal,

regulatory, accounting or other idiosyncratic issues

X

X

Apply overlay to complex factors available only because of fundamental team

input

Stable and Repeatable Alpha

Generation Portfolio Construction

Alpha Generation: Factor Groupings

The stock selection model pursues an intersection approach that combines a broad set of fundamental and behavioral factors to

select the stocks CEP believes are most likely to outperform and underperform. The factors are classifies into four broad categories:

Value, Quality, Momentum and Growth.

X X

Earnings Quality

Shareholder Yield

M&A Activity

Capital Discipline

X

Balance Sheet Quality

X X

Price-to-Earnings

Price-to-Book

Cash-to-Market Value

Relative Strength

Upward Earnings

Revisions

Earnings Momentum

Downward Earnings

Revisions

Cash Flow

Expected Growth

Return on Equity

Generation Portfolio Construction

X

X

Factor timing model aims to identify the right time to emphasize or de-emphasize certain factors

X

Built to catch large shifts in investor preference, not short-lived “head fakes”

X

Phases are identified using proprietary measures of momentum, market technical analysis and macro factors

X

Applied by varying factor constraints during portfolio construction, not by changing the alphas or model weights

X

Addresses traditional complaints about difficulty of quant models at inflection points

Portfolio Construction: Market Phase Identification Model

MPI Implementation

Market Phase Portfolio Exposure Adjustments

Expansion Momentum Factors Beta/Vol

Downturn Quality Factors Beta/Vol

Rebound Value Factors Beta/Vol

Stable and Repeatable Alpha

Generation Portfolio Construction

Portfolio Construction

X

X

Portfolio optimized on as-needed basis, weighed against costs of trading

X

Periodic formal rebalancing of entire portfolio to reflect significant data updates

X

Market phase identification determines factor constraints

X

Seeks to optimize the portfolio within constraints

X

Neutralize size, style and sector exposure vs. Russell 2000

Value Index

X

Emphasize stock selection

Stable and Repeatable Alpha

Generation Portfolio Construction

Risk Management and Structure

X

X

CEP employs its own proprietary risk-management framework, which is flexible, transparent

and integrated with the firm’s alpha engine

X

X

Target tracking error of 400-600 basis points

X

Build a portfolio with a risk-profile similar to that of the Russell 2000

Value Index with a

focus on stock selection

Stable and Repeatable Alpha

Generation Portfolio Construction

Risk Management

There can be no guarantee that the target tracking error shown above will be met or that losses will be avoided.

Portfolio Manager Biographies

David C. Coughenour, CFA, Founder, Managing Director and Chief Investment Officer

–

Equities

Mr. Coughenour, a Portfolio Manager with more than 25 years of industry experience, oversees all of Chicago Equity Partners’ equity products. He was instrumental in developing CEP’s proprietary quantitative model and is involved in its ongoing developmental efforts. He has held several positions in the firm, including Energy Analyst. Mr. Coughenour earned a bachelor’s degree from Duke University. He holds the Chartered Financial Analyst (CFA) designation and is a member of the CFA Institute, the Chicago Quantitative Alliance and the CFA Society of Chicago.

Robert H. Kramer, CFA,

Founder, Managing Director and Portfolio Manager

Mr. Kramer, a Portfolio Manager with more than 27 years of industry experience, oversees the quantitative research, trading and technology groups at Chicago Equity Partners. In addition, he is the Portfolio Manager for the healthcare sector. Prior to co-founding CEP, he worked at the Feldman Group and GE Credit Corporation. He earned a bachelor’s degree in industrial engineering and an M.B.A. from the University of Illinois. He holds the Chartered Financial Analyst (CFA) designation and holds a CPA certificate. Additionally, he is a member of the CFA Institute, the Chicago Quantitative Alliance and the CFA Society of Chicago.

Patricia A. Halper, CFA, Partner and Managing Director

Ms. Halper, a Portfolio Manager with 17 years of industry experience, is a member of Chicago Equity Partners’ quantitative analysis group, which is responsible for the firm’s proprietary quantitative model and its ongoing developmental efforts. Prior to joining our firm, she worked at the institutional futures sales desk at Paine Webber. Ms. Halper holds a bachelor’s degree in mathematics from Loyola University Chicago and a master’s degree in financial mathematics from the University of Chicago. She holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute and the Chicago Quantitative Alliance. Additionally, she is on the Corporate Advisory Board of La Rabida Children’s Hospital, and is a board member of the CFA Society of Chicago.

William C. Murray,

Director and Portfolio Manager

Mr. Murray, a member of Chicago Equity Partners’ portfolio management team with more than 24 years of industry experience, is responsible for the technology and commercial services sectors. Mr. Murray holds a bachelor’s degree in business administration from the University of North Carolina and a master’s degree from the Kellogg Graduate School of Management at Northwestern University. He holds the Chartered Financial Analyst (CFA) and Chartered Alternative Investment Analyst (CAIA) designations, and is a member of the CFA Institute, the CFA Society of Chicago, and the CAIA Association.

Equity Investment Team Biographies

Keith E. Gustafson, CFA

Partner and Managing Director

Mr. Gustafson is a member of Chicago Equity Partners’ quantitative analysis group, which is responsible for the firm’s proprietary quantitative model and its ongoing developmental efforts. Prior to joining our firm, he held positions at Ibbotson Associates and SEI Corporation. Mr. Gustafson earned bachelor’s degrees in history and economics from University of Pennsylvania, an MBA from Loyola University Chicago, and a master’s degree in financial economics from the University of London. He holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute, the CFA Society of Chicago, the Chicago Quantitative Alliance, the American Finance Association, and the American Economics Association.

George Gao, CFA

Director

Mr. Gao is a member of Chicago Equity Partners’ quantitative analysis group, which is responsible for CEP’s proprietary quantitative model and its developmental efforts. Prior to joining Chicago Equity Partners, he developed and designed software at Cap Gemini and taught programming at Shanghai Jiaotong University in China. Mr. Gao earned bachelor’s and master’s degrees in computer science from Shanghai Jiaotong University and a master’s degree in financial mathematics from the University of Chicago. He holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute and the CFA Society of Chicago.

Abhay Munot, CFA

Director

Mr. Munot is a member of Chicago Equity Partners’ quantitative analysis group, focusing on financial mathematics and programming that support our proprietary quantitative model. Mr. Munot earned a bachelor’s of engineering from VJTI and a master’s degree in computer science from Cleveland State University. He holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute and the CFA Society of Chicago.

Michael J. Lawrence, CFA Director

Mr. Lawrence, a portfolio manager and a member of Chicago Equity Partners’ fundamental analysis team, is responsible for the energy, industrials, materials, and utilities sectors. Previously, he was a quantitative analyst in our firm. Prior to joining Chicago Equity Partners, Mr. Lawrence worked in the consulting group of SEI Corporation. He earned a bachelor’s degree and an MBA from DePaul University. He holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute and the CFA Society of Chicago.

Equity Investment Team Biographies

Martin D. Morris, CFA

Director

Mr. Morris, a portfolio manager and a member of Chicago Equity Partners’ fundamental analysis team, is responsible for the aerospace, capital goods, machinery, discretionary, and telecom sectors. Mr. Morris earned a bachelor’s degree in economics and business from Cornell College. Mr. Morris holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute and the CFA Society of Chicago.

James T. Palermo, CFA Director

Mr. Palermo, a portfolio manager and a member of Chicago Equity Partners’ fundamental industry analysis team, is responsible for the financial sector. Prior to joining our firm, Mr. Palermo held positions at Manufacturers Hanover Trust and the Bank of Boston. Mr. Palermo earned a bachelor’s degree in economics from the Wharton School of the University of Pennsylvania and an MBA from the University of Rochester. He holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute and the CFA Society of Chicago.

Patrick J. Morris, CFA Partner and Managing Director

Mr. Morris is Chicago Equity Partners’ senior trader, and oversees all of the firm’s trading and trading systems. Mr. Morris earned a bachelor’s degree in finance from Northern Illinois University and an MBA from DePaul University. He holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute and the CFA Society of Chicago.

Tereck Fares, CFA

Director

Mr. Fares is a member of Chicago Equity Partners’ trading team. Prior to joining our firm, he worked with the corporate finance group of Bank of America. Mr. Fares earned a bachelor’s degree in business administration from University of California at Berkeley. He holds the Chartered Financial Analyst (CFA) designation, and is a member of the CFA Institute, the CFA Society of Chicago, and the Security Traders Association of Chicago.

Patrick Sullivan Associate

Mr. Sullivan is a member of Chicago Equity Partners’ trading team, where he focuses on U.S. equities. Prior to joining our firm, he worked for the institutional trading desk of Ryan Beck and Company. Mr. Sullivan earned a bachelor’s degree in finance from DePaul University.

Disclosures

Investors should carefully consider the Fund’s investment objectives, risks, charges and expenses before investing. For this

and other information, please call 800.835.3879 or visit www.amgfunds.com for a free prospectus. Read it carefully before

investing or sending money.

The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings patterns, competitive conditions, limited earnings history and a reliance on one or a limited number of products. The stocks of small capitalization companies may experience greater price volatility than those of larger, more established companies.

Investments in international securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets.

The Fund is subject to special risk considerations similar to those associated with the direct ownership of real estate. Real estate valuations may be subject to factors such as changing general and local economic, financial, competitive, and environmental conditions.

The Fund invests in value stocks, which may perform differently from the market as a whole and may be undervalued by the market for a long period of time.

The Russell 2000® _{Value Index is an unmanaged, market-value weighted, value-oriented index comprised of small stocks that have relatively low price-to-book ratios and lower} forecasted growth values. Unlike the Fund, the Russell 2000® _{Value Index is unmanaged, is not available for investment and does not incur expenses.}

The Russell 2000® _{Value Index is a trademark of Russell Investments. Russell is a trademark of Russell Investments.}

The Fund invests in value stocks, which may perform differently from the market as a whole and may be undervalued by the market for a long period of time. Value stocks may underperform growth stocks during given periods.

Funds are distributed by AMG Distributors, Inc., a member of FINRA/SIPC. For more information, call 800.368.4410.