Certified Annual Shareholder Report for Management Investment Companies (n-csr)

The BMO Small-Cap Value Fund (the Fund) returned 33.16% for the fiscal year ended August 31, 2013 versus the Russell 2000 ^® Value Index and the Lipper Small-Cap Core Funds Index, which returned 24.38% and 25.35%, respectively.

Equity market performance during the fiscal year benefitted from a supportive Federal Reserve, continued positive company fundamentals (albeit “measured”), and less focus on European and China growth issues. Despite a weak August, in which small-cap stocks fell close to 5%, equity returns remained solid. In the end, double-digit gains were achieved. All ten economic sectors in the Russell Index recorded positive results ranging from greater than 40% in Consumer Discretionary to approximately 9% in Utilities.

Individual stock selection was a positive contributor to overall Fund performance, while sector allocation also contributed nicely to performance. Performance was enhanced primarily in the Financials sector with Ocwen Financial Corp. (1.3% of the Fund, 96.0%) and HFF, Inc., Class A (1.3% of the Fund, 91.5%). The Fund’s Basic Material sector outperformed with a 63% return as a result from one buyout, Metals USA Holdings Corp. (0.0% of the Fund, 50.7%) and significant gain from KapStone Paper and Packaging Corp. (1.3% of the Fund, 130.9%).

Stock selection in the Consumer Discretionary sector detracted from relative performance, as the Fund’s investments in this sector advanced 23%, while its respective sector in the index advanced 42%. The primary cause was due to several retail holdings. Disappointing consumer spending at such stores as Aeropostale, Inc. (0.8% of the Fund, -38.6%), Stage Stores, Inc. (1.2% of the Fund, -29.8%), and Body Central Corp. (0.9% of the Fund, -50.2%), all contributed to the weak results.

Sector allocation was a net positive to overall performance, as an overweight position in Consumer Discretionary and underweight positions in Financials and Utilities aided performance. Sector allocation is merely a by-product of the stock selection process and is not the driving force of investment decisions. Our investment strategy has always focused on company fundamentals, valuations, and a “bottom-up” individual stock selection process.

Growth of an Assumed $10,000 Investment

See Explanation of the Indexes and Notes in the Commentary for additional information.

The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2003 to August 31, 2013.

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2013. The Adviser has committed to continue this arrangement through December 31, 2014. The Fund’s return would have been lower without these contractual expense limitations.

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.bmofundsus.com.

Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2013 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The BMO Small-Cap Growth Fund (the Fund) returned 31.90% for the fiscal year ended August 31, 2013 versus the Russell 2000 ^® Growth Index and the Lipper Small-Cap Growth Funds Index, which returned 28.14% and 26.36%, respectively.

Fiscal year 2013 marked a welcome return to a focus on company fundamentals rather than geopolitical and macroeconomic risks. This renewed focus by investors, along with continued expansion of U.S. corporate earnings and an accommodative U.S. Federal Reserve, resulted in strong equity performance. Of course, the markets could not fully escape the grip of macroeconomic and geopolitical risk, as Federal Reserve Chairman Bernanke’s mere suggestion in late May that the Federal Reserve may begin “tapering” its quantitative easing program sent ripples through both the equity and fixed income markets over much of the summer. Escalating tensions in the Middle East late in the fiscal year also served as a distraction. As the fiscal year concludes, we are hopeful that investors will once again renew their focus on fundamentals rather than the latest macroeconomic headlines.

Our stock selection process remains disciplined and active. Companies must demonstrate improving rates of what we view to be sustainable growth prior to us investing. In effect, this serves to limit risk, as we are not betting shareholders’ money on turnaround situations, nor speculating on the hopes and dreams of other investors and company management teams. We strongly believe that our strict adherence to our process continues to uncover new investment ideas that should benefit Fund returns over the coming months and years.

The Fund’s outperformance was driven by strong stock selection in the Consumer Discretionary, Energy, and Healthcare sectors, along with group underweights to Consumer Discretionary, Healthcare, and Materials. Stock selection within the Financials, Industrials, and Technology sectors were most detrimental to relative returns, along with a group overweight to the Energy and Financials sectors. The top contributors to total return for the Fund during the year were: PDC Energy, Inc. (0.0% of the Fund, 60.5%), AVG Technologies NV (3.0% of the Fund, 110.6%), and Angie’s List, Inc. (0.0% of the Fund, 103.3%). The positions most detrimental to return for the Fund were: Ebix, Inc. (0.7% of the Fund, -52.2%), Biolase, Inc. (0.4% of the Fund, -65.7%), and Acacia Research Corp. (3.1% of the Fund, -15.7%).

Growth of an Assumed $10,000 Investment

See Explanation of the Indexes and Notes in the Commentary for additional information.

The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2003 to August 31, 2013.

The BMO Pyrford International Stock Fund (the Fund) returned 14.98% for the fiscal year ended August 31, 2013 versus the Morgan Stanley Capital International Europe, Australasia, Far East Index (EAFE) and the Lipper International Multi-Cap Core Funds Index which returned 18.66% and 17.41%, respectively.

International equity markets produced strongly positive returns for the fiscal year despite economies and corporate earnings exhibiting very disappointing growth. Equity prices were chased higher by the huge amount of liquidity that has been injected into the financial system by the various quantitative easing (otherwise known as money printing) programs pursued by leading central banks. Ordinarily this liquidity would have translated into robust credit growth in the real economy, but in a world where banks are reluctant to lend because of capital constraints and asset quality concerns and the private sector is unwilling to borrow because of already high existing levels of debt, this traditional transmission mechanism is broken. Instead, the ample liquidity is left “sloshing” around the financial system and chases capital markets asset prices higher. The unsteadiness of these foundations was witnessed in June when the very suggestion that the Federal Reserve might consider reducing or “tapering” its open-ended asset purchase program sent a chill through market sentiment.

The Fund adopted a very defensive stance during the year, concentrating on characteristics of value and quality – high dividend yield, low financial leverage and high return on equity.

The Fund underperformed the EAFE Index during the fiscal year, driven by both country allocation and stock selection. Within country allocation, the key positive contributors were the underweight position in the U.K. and the underweight exposure to the Japanese yen; the overweight position in the markets of Asia excluding Japan was a negative contributor. Stock selection was positive in Japan, Malaysia, Singapore, and Taiwan while in Eurozone and the U.K. it detracted from performance. Our on-going decision not to expose the portfolio to the significant risks of European banks also detracted from relative performance. We strongly believe that the European debt crisis has not gone away and banks remain the most exposed when the structural problems of peripheral southern Europe resurface.

Growth of an Assumed $10,000 Investment

See Explanation of the Indexes and Notes in the Commentary for additional information.

The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2003 to August 31, 2013.

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2013. The Adviser has committed to continue this arrangement through December 31, 2014. The Fund’s return would have been lower without these contractual expense limitations.

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.bmofundsus.com.

Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2013 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The BMO Lloyd George Emerging Markets Equity Fund (the Fund) returned -1.23% for the fiscal year ended August 31, 2013 versus the Morgan Stanley Capital International Emerging Markets Index (EMI) and the Lipper Emerging Markets Funds Index, which returned 0.54% and 1.19%, respectively.

For the fiscal year, the larger Asian markets of China, Korea, and Taiwan rose by 14.1%, 4.9% and 10.8%, respectively, mainly as result of a recently announced Chinese mini stimulus that was aimed at defending Gross Domestic Product growth targets through further credit extension and infrastructure spending. Further, both Korean and Taiwanese markets benefitted from their countries’ solid sovereign positions supported by current account surpluses and large reserves which in turn supported their currencies. The substantial economies of India and Brazil, however, underperformed, declining by 8.1% and 15.9%, respectively. Both India and Brazil continue to struggle with generating economic growth comparable to their historical levels mainly due to continuous policy paralysis that stalled the investment cycle and resulted in high inflation and tighter monetary policy.

Strong stock selection in the Philippines, Mexico, and Taiwan, where we focus largely on high quality domestic franchises in Banking, Consumer, and Telecom, contributed positively to the Fund’s returns. The Fund also benefitted from being underweight in Brazil and India. Since the Fund did not participate in the liquidity-driven, stimulus-supported rally in Chinese banks and avoided other cyclical companies that do not meet our quality investment criteria, the relatively large underweight to China, Taiwan, and Korea was a source of underperformance. On a stock basis, Philippines-based food distributor Universal Robina Corp. (3.9% of the Fund, 88.8%) and St. Shine Optical Co., Ltd. (2.2% of the Fund, 133.7%), a Taiwan-headquartered manufacturer of contact lenses, were among the Fund’s largest contributors to performance, while detractors included Jardine Cycle & Carriage, Ltd. (2.1% of the Fund, -27.1%) and South African-based specialty retailer Foschini Group, Ltd. (1.0% of the Fund, -38.8%).

We continue to focus on quality companies that are committed to growing their cash flows through the cycle and returning them to shareholders in the form of sustainable dividend payouts. We also emphasize the importance of valuation discipline as a source of creating long-term value for our investors.

Growth of an Assumed $10,000 Investment

See Explanation of the Indexes and Notes in the Commentary for additional information.

The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2003 to August 31, 2013.

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2013. The Adviser has committed to continue this arrangement through December 31, 2014. The Fund’s return would have been lower without these contractual expense limitations.

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.bmofundsus.com.

Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2013 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The BMO Pyrford Global Strategic Return Fund (the Fund) returned 1.37% for the fiscal year ended August 31, 2013 versus the Consumer Price Index + 4% benchmark, which returned 5.65%.

Global equity markets posted strong gains during the fiscal year. High quality sovereign bond yields remained unchanged for the first half of the year before moving sharply higher from May onwards, leading to significant capital destruction at the longer end of the yield curve. Bond yields had been driven to historically low levels by the actions of central banks (Federal Reserve, Bank of England, European Central Bank, and Bank of Japan) through an assortment of unorthodox monetary tools (quantitative easing, operation twist etc). Real yields became negative which historical analysis indicates is not a situation that persists indefinitely. We anticipated this rising yield environment by holding very short duration bonds (approximately 2.4 years) which protected the Fund against the significant drawdowns suffered by bond investors in general.

Dividend yields on the world’s equity markets (especially the three largest, U.S., Japan, and U.K.) were driven to levels that cannot be justified on the basis of reasonable prospects for growth in earnings and dividends per share. Equity prices were chased higher by the huge amount of liquidity that has been injected into the financial system by the various quantitative easing (otherwise known as money printing) programs pursued by leading central banks. The unsteadiness of these foundations was witnessed in June when the very suggestion that the Federal Reserve might consider reducing or “tapering” its open-ended asset purchase program sent a chill through market sentiment.

As a result of this environment of fundamental overvaluation, we adopted a very defensive investment stance during the period. The equity weighting was maintained at a low level with small allocations to the largest markets relative to their index weightings. More significant overweight positions were held in the markets of the Asia ex-Japan region which continue to offer sound value and superior prospects for economic and corporate profit growth.

The focus of this investment stance is capital preservation within an environment of significant downside risk. Key global economic risks include the European sovereign debt crisis, U.S. fiscal consolidation and the ongoing slowdown in China and these are not discounted in prevailing market valuations. The Fund underperformed its U.S. Consumer Price Index + 4% benchmark predominantly because of this defensive positioning. Risks remain elevated and caution is warranted with a clear focus on value and quality.

Growth of an Assumed $10,000 Investment

See Explanation of the Indexes and Notes in the Commentary for additional information.

The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2003 to August 31, 2013.

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2013. The Adviser has committed to continue this arrangement through December 31, 2014. The Fund’s return would have been lower without these contractual expense limitations.

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.bmofundsus.com.

Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2013 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The BMO Ultra Short Tax-Free Fund (the Fund) returned 0.26% for the fiscal year ended August 31, 2013 versus the Barclays 1 Year Municipal Bond Index and the Blended Index benchmark (50% Barclays 1 Year Municipal Bond Index and 50% iMoneyNet Money Market Fund Tax-Free National Retail Index), which returned 0.67% and 0.34%, respectively.

Investor sentiment in the municipal market shifted significantly over the last year. At the start of the period, demand for tax-exempt bonds and bond funds was strong; money flowed into the market holding rates down and compressing yield spreads between lower and higher quality issues. In recent months, however, investors became heavy sellers reversing prior trends, yields rose sharply, and credit spreads widened. Although economic data improved marginally, the primary catalyst for the yield rise was the expectation that the Federal Reserve would soon begin to taper their quantitative easing program. The effect on the long end of the yield curve was the most dramatic, but even short-term rates were affected. To illustrate, from May through August, five-year tax-exempt yields rose eighty basis points while two-year rates were just three basis points higher.

While the Fund performed well relative to its peers over the fiscal year, the changing market trends negatively affected some of the Fund’s strategic weightings. One drag on performance came from having modest exposure to short-intermediate maturities in the Fund as the curve steepened. In addition, the widening of credit spreads clawed back some of the outperformance of prior periods from the Fund’s overweight allocation to A and BBB rated issues. Helping performance, however, was a consistent allocation of 50% or higher throughout the period to floating-rate notes, as they held their value as yields rose. The Fund’s emphasis on certain sectors, such as housing bonds, over general obligation debt also enhanced returns.

Although the recent adjustments in the market created near-term volatility, the changes ultimately enhance the dividend yield to shareholders as money is reinvested at higher rates. Relative to a year ago, the steeper tax-exempt curve, the higher level of rates, and the wider credit spreads are all positive developments for shareholders. The Fund is in an advantageous position to capitalize on market developments with a high level of liquidity. We will continue to look to capture market efficiencies as they arise.

Growth of an Assumed $10,000 Investment

See Explanation of the Indexes and Notes in the Commentary for additional information.

The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2003 to August 31, 2013.

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2013. The Adviser has committed to continue this arrangement through December 31, 2014. The Fund’s return would have been lower without these contractual expense limitations.

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.bmofundsus.com.

Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2013 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The BMO Short Tax-Free Fund (the Fund) returned 0.34% for the period from inception (November 29, 2012) through the fiscal year ended August 31, 2013 versus Barclays Short (1-5 Year) Municipal Index and the Lipper Short Municipal Debt Funds Index, which returned 0.16% and -0.25%, respectively.

Investor sentiment in the municipal market shifted significantly over the last year. At the start of the period, demand for tax-exempt bonds and bond funds was strong; money flowed into the market holding rates down and compressing yield spreads between lower and higher quality issues. In recent months, however, investors became heavy sellers reversing prior trends; yields rose sharply and credit spreads widened. Although economic data improved marginally, the primary catalyst for the yield rise was the expectation that the Federal Reserve would soon begin to taper their quantitative easing program. The effect on the long end of the yield curve was the most dramatic, but even short-term rates were affected. To illustrate, from May through August five-year tax-exempt yields rose eighty basis points while two-year rates were just three basis points higher.

While the Fund performed well relative to its peers over the fiscal year, the changing market trends negatively affected some of the Fund’s strategic weightings. One drag on performance came from having modest exposure to short-intermediate maturities in the Fund as the curve steepened. In addition, the widening of credit spreads clawed back some of the outperformance of prior periods from the Fund’s overweight allocation to A and BBB rated issues. Helping performance, however, was a consistent allocation of 25% or higher throughout the period to floating-rate notes, as they held their value as yields rose. The Fund’s emphasis on certain sectors, such as housing bonds, over general obligation debt also enhanced returns.

Although the recent adjustments in the market created near-term volatility, the changes ultimately enhance the dividend yield to shareholders as money is reinvested at higher rates. Relative to a year ago, the steeper tax-exempt curve, the higher level of rates, and the wider credit spreads are all positive developments for shareholders. The Fund is in an advantageous position to capitalize on market developments with a high level of liquidity. We will continue to look to capture market efficiencies as they arise.

Growth of an Assumed $10,000 Investment

See Explanation of the Indexes and Notes in the Commentary for additional information.

The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2003 to August 31, 2013.

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2013. The Adviser has committed to continue this arrangement through December 31, 2014. The Fund’s return would have been lower without these contractual expense limitations.

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.bmofundsus.com.

Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2013 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

The BMO Short-Term Income Fund (the Fund) returned 0.55% for the fiscal year ended August 31, 2013 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 0.56% and 0.66%, respectively.

The bond market remains very sensitive to upcoming fundamental data as the Federal Reserve considers when to take its foot off the accelerator as economic and labor market conditions improve. However, the Federal Reserve is not expected to actually begin raising rates before 2015. Markets are preparing for rising rates while dealing with asset reallocation away from bonds, concerns over foreign growth outlooks, and other financial market concerns. Investors are caught between the weak technical condition of the bond market and expected improvement in the U.S. economic environment.

Sector selection was the primary driver of the Fund’s performance during the fiscal year. Our above-market exposure to investment grade credit benefitted the Fund during the past year as 1-3 year credit securities outperformed duration-matched Treasuries by 129 basis points over the course of the fiscal year. The Fund’s yield curve position and an allocation to longer dated securities detracted from relative performance as the yield curve steepened.

We expect to maintain a long duration position relative to the benchmark amidst a volatile trading range and will readjust term structure to take advantage of the recent steepening in the short and intermediate portion of the yield curve. The yield curve is now attractive based on historical averages for yield spread pick-up out to two to three year maturities. We will look to add incremental returns with a barbell portfolio strategy while maintaining neutral duration relative to the benchmark. In our view, upcoming fundamental data and Fed commentary may create additional yield curve inefficiencies.

Growth of an Assumed $10,000 Investment

See Explanation of the Indexes and Notes in the Commentary for additional information.

The above graph relates to the Investor Class shares of the Fund. Performance for the Institutional Class shares will vary from the performance of the Investor Class shares shown above due to differences in charges and expenses. This graph illustrates the hypothetical investment of $10,000 in the Investor Class shares of the Fund from the lesser of the Fund’s inception date or August 31, 2003 to August 31, 2013.

The net expense ratio shown reflects contractual expense limitations made by the Adviser, currently through December 31, 2013. The Adviser has committed to continue this arrangement through December 31, 2014. The Fund’s return would have been lower without these contractual expense limitations.

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.bmofundsus.com.

Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets as of August 31, 2013 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.