The auxiliary function of a classical channel appears in two fundamental quantities that upper and lower bound the error probability, respectively. A crucial property of the auxiliary function is its concavity, which leads to several important results in finite block length analysis. In this paper, we prove that the auxiliary function of a classical-quantum channel also enjoys the same concave property, extending an earlier partial result to its full generality. The key component in our proof is a beautiful result of geometric means of operators.