UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-00134
ALLIANCEBERNSTEIN GLOBAL RISK
ALLOCATION FUND, INC.
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas, New York, New York 10105
(Address of principal executive offices) (Zip code)
Joseph J ..Mantineo
AllianceBernstein L.P.
1345 Avenue of the Americas
New York, New York 10105
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 221-5672
Date of fiscal year end: November 30, 2013
Date of reporting period: May 31, 2013
ITEM 1. REPORTS TO STOCKHOLDERS.
SEMI-ANNUAL REPORT
AllianceBernstein Global Risk Allocation Fund
(formerly Balanced Shares)
May 31, 2013
Semi-Annual Report
Investment Products Offered
•Are Not FDIC Insured •May Lose Value •Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.alliancebernstein.com or contact your AllianceBernstein Investments representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AllianceBernstein’s website at www.alliancebernstein.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AllianceBernstein at (800) 227-4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. AllianceBernstein publishes full portfolio holdings for the Fund monthly at www.alliancebernstein.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AllianceBernstein family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the manager of the funds.
AllianceBernstein® and the AB Logo are registered trademarks and service marks used by permission of the owner, AllianceBernstein L.P.
July 16, 2013
Semi-Annual Report
This report provides management’s discussion of fund performance for AllianceBernstein Global Risk Allocation Fund (the “Fund”) for the semi-annual reporting period ended May 31, 2013.
Investment Objectives and Policies
Effective October 8, 2012, the Fund changed its name from AllianceBernstein Balanced Shares to AllianceBernstein Global Risk Allocation Fund, eliminated its non-fundamental policies that the Fund’s investments will normally consist of about 60% in stocks and about 40% in fixed-income securities and that fixed-income securities will not normally exceed 60% of the Fund’s investments, and made certain material changes to its investment strategy, including implementation of the tail risk parity strategy described herein. In addition, the Fund’s portfolio management team was changed. The performance information shown is primarily for periods prior to implementation of these changes and may not be representative of performance the Fund will achieve under its current policies.
Under the new investment policies and strategy, the Fund invests dynamically in a number of global asset classes, including equity/credit, fixed-income, and inflation-linked instruments. In making decisions on the allocation of assets among asset classes, AllianceBernstein L.P. (the “Adviser”) will use a tail risk parity strategy. This strategy attempts to provide investors with favorable long-term total return while minimizing exposure to material downside (“tail”) events. To execute this strategy, an average tail loss for
each asset class is calculated based on historical market behavior and on a forward-looking basis through options prices. Fund assets are then allocated among asset classes so that each asset class will contribute equally to the expected tail loss of the Fund. This will generally result in the Fund having greater exposures to lower risk asset classes (such as fixed-income) than to higher risk asset classes. The Adviser will make frequent adjustments to the Fund’s asset class exposures based on these tail risk parity determinations.
The asset classes in which the Fund may invest include:
• | equity/credit—equity securities of all types and corporate fixed-income securities (regardless of credit quality, but subject to the limitations on high-yield securities set forth below); |
• | fixed-income—fixed-income securities of the U.S. and foreign governments and their agencies and instrumentalities; and |
• | inflation-linked—global inflation-linked securities (including Treasury Inflation Protected Securities). |
The Fund’s investments within each asset class are generally index-based—typically, portfolios of individual securities intended to track the performance of the particular asset class and, primarily for certain types of assets such as credit assets, derivatives intended to track such performance. Equity securities will comprise no more than 75% of the Fund’s investments. The Fund may invest in fixed-income securities with a range of
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 1 |
maturities from short- to long-term. The Fund may invest up to 20% of its assets in high-yield securities (securities rated below BBB- by Standard & Poor’s Rating Services (“S&P”), Moody’s Investors Service, Inc. (“Moody’s”), or Fitch Ratings (“Fitch”), which are commonly known as “junk bonds”).
The Fund’s investments in each asset class will generally be global in nature, and will generally include investments in both developed and emerging markets. The Fund typically invests at least 40% of its assets in securities of non-U.S. companies and/or foreign countries and their agencies and instrumentalities unless conditions are not deemed favorable by the Adviser, in which case the Fund will invest at least 30% of its assets in such foreign securities.
Derivatives, particularly futures and swaps, often provide more efficient and economical exposure to market segments than direct investments, and the Fund’s exposure to certain types of assets may at times be achieved partially or substantially through investment in derivatives. Derivatives transactions may also be a quicker and more efficient way to alter the Fund’s exposure than buying and selling direct investments. In determining when and to what extent to enter into derivative transactions, the Adviser will consider factors such as the risk and returns of these investments relative to direct investments and the cost of such transactions. Because derivative transactions frequently require cash outlays that are only a small portion of the amount of exposure obtained through the derivative, a portion of the
Fund’s assets may be held in cash or invested in cash equivalents to cover the Fund’s derivatives obligations, such as short-term U.S. Government and agency securities, repurchase agreements and money market funds.
At times, a combination of direct securities investments and derivatives will be used to gain asset class exposure so that the Fund’s aggregate exposure will substantially exceed its net assets (i.e., so that the Fund is effectively leveraged). Overall Fund exposure and the allocation to equity/credit will typically increase during bull markets, while overall exposure and allocations to equity/credit and inflation-linked securities will typically decrease during bear markets.
Currency exchange rate fluctuations can have a dramatic impact on returns. The Adviser may seek to hedge all or a portion of the currency exposure resulting from Fund investments or decide not to hedge this exposure. To hedge all or a portion of its currency risk, the Fund may invest in currency-related derivatives, including forward currency exchange contracts.
Investment Results
The table on page 7 shows the Fund’s performance compared with its primary benchmark, the Morgan Stanley Capital International (“MSCI”) World Index, its current composite benchmark (the “Current Composite”), a 60%/40% blend of the MSCI World Index/Barclays Global Aggregate Bond Index, respectively, and its prior composite benchmark (the “Prior Composite”) a 60%/40% blend of the
2 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Russell 1000 Value Index and the Barclays U.S. Aggregate Bond Index, respectively, for the six- and 12-month periods ended May 31, 2013. Also included in the table are the individual performance of each of the indices, and returns for the Fund’s peer group, as represented by the Lipper Mixed-Asset Target Allocation Growth Funds Average (the “Lipper Average”). Funds in the Lipper Average have generally similar investment objectives to the Fund, although some may have different investment policies and sales and management fees.
All class shares of the Fund underperformed the primary and composite benchmarks for the six- and 12-month periods, while outperforming the bond benchmark.
On October 8, 2012 the Fund transitioned its investment strategy to a risk-balanced approach that invests globally in “growth”, “safety” and “inflation-linked” asset classes. For the six-month period, the Fund’s growth allocation, which includes equities and credit, was the main source of performance. Equities in particular benefited from the risk seeking environment that characterized the first quarter of 2013. Credit also added to performance as investors took comfort in historically low defaults rates and added yield to the Fund. The Fund’s allocation to global inflation-linked bonds detracted from performance. U.S. and Canada linkers were among the worst performers as inflation prints came in below forecast and inflation expectations subsided. The Fund’s global sovereign fixed income allocation (“safety”) detracted from performance as interest rates rose during the period.
At the end of the reporting period, the Fund held 32% Inflation-Linked Bonds, 65% Fixed Income and 33% Equities.
Derivatives used included futures and credit default swaps, for investment purposes, which contributed to returns for both periods; forwards, for hedging and investment purposes, which contributed to returns for both periods; interest rate swaps, for investment purposes, which detracted from returns for both periods; and purchased and written options for investment purposes, which had an immaterial impact on returns.
Market Review and Investment Strategy
For the semi-annual period, the proprietary implied expected tail loss (minimizing exposure to material downside “tail” events) measures indicated that growth-sensitive asset classes such as equities and credit exhibited decreased downside risk; therefore, the Fund’s allocation to growth assets was increased. Moreover, the Fund’s credit allocation benefited from exposure to preferred real estate investment trusts, which along with high yield and investment grade credit, posted gains as the liquidity driven rally was supported by central bank action and better U.S. growth prospects.
Within the safety securities allocation, a globally diversified portfolio of interest rate securities performed well as interest rates across most countries fell in response to weak economic performance and central bank action to stimulate future growth. The U.S. fixed
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 3 |
income market was the lone detractor, as stronger-than-expected economic performance prompted investors to sell Treasuries and purchase equities and other risk assets. However, optimism faded in May as growing expectations that the U.S. Federal Reserve could begin to unwind its quantitative easing program (“QE”) at the end of 2013, led to a sharp increase in interest rates, which in turn, resulted in losses within this portion of the Fund.
The Fund’s inflation-linked exposure posted losses over the period. Weak economic performance in most countries and declining inflation expectations around the world resulted in lower breakeven inflation rates. In addition, real yields increased materially, as did nominal interest rates, when the U.S. Federal Reserve hinted at a possible tapering of QE programs. This combination is a perfect storm for inflation-linked bonds, resulting in massive underperformance for this sector of the bond market.
4 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
DISCLOSURES AND RISKS
Benchmark Disclosure
The unmanaged MSCI World Index, the Russell 1000® Value Index, the Barclays Global Aggregate Bond Index and the Barclays U.S. Aggregate Bond Index do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI World Index (free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets. Net returns reflect the reinvestment of dividends after deduction of non-U.S. withholding tax. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. The Russell 1000 Value Index represents the performance of 1,000 large-cap value companies within the U.S. The Barclays Global Aggregate Bond Index represents the performance of the global investment-grade developed fixed income markets. The Barclays U.S. Aggregate Bond Index represents the performance of securities within the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities, and commercial mortgage-backed securities. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s investments will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events that affect large portions of the market.
Allocation Risk: The allocation of investments among asset classes may have a significant effect on the Fund’s net asset value (“NAV”) when the asset classes in which the Fund has invested more heavily perform worse than the asset classes invested in less heavily.
Interest Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of investments in fixed-income securities tend to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
High Yield Debt Security Risk: Investments in fixed-income securities with ratings below investment grade, commonly known as “junk bonds”, tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions of the junk bond market generally and less secondary market liquidity.
Foreign (Non-U.S.) Risk: Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.
(Disclosures, Risks and Note about Historical Performance continued on next page)
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 5 |
Disclosures and Risks
DISCLOSURES AND RISKS
(continued from previous page)
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Emerging Market Risk: Investments in emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Derivatives Risk: Investments in derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and may be subject to counterparty risk to a greater degree than more traditional investments.
Leverage Risk: Because the Fund uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there is no guarantee that its techniques will produce the intended results.
These risks are fully discussed in the Fund’s prospectus.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown on the following pages represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.alliancebernstein.com.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares; the applicable contingent deferred sales charge for Class B shares (4% year 1, 3% year 2, 2% year 3, 1% year 4); a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
6 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Disclosures and Risks
HISTORICAL PERFORMANCE
THE FUND VS. ITS BENCHMARKS PERIODS ENDED MAY 31, 2013 | NAV Returns | |||||||||
6 Months | 12 Months | |||||||||
AllianceBernstein Global Risk Allocation Fund* | ||||||||||
Class A | 0.57% | 11.66% | ||||||||
| ||||||||||
Class B** | 0.23% | 10.88% | ||||||||
| ||||||||||
Class C | 0.26% | 10.91% | ||||||||
| ||||||||||
Advisor Class† | 0.73% | 12.04% | ||||||||
| ||||||||||
Class R† | 0.49% | 11.39% | ||||||||
| ||||||||||
Class K† | 0.65% | 11.77% | ||||||||
| ||||||||||
Class I† | 0.84% | 12.21% | ||||||||
| ||||||||||
Primary Benchmark: MSCI World Index | 13.26% | 27.77% | ||||||||
| ||||||||||
Current Composite: 60% MSCI World Index/40% Barclays Global Aggregate Bond Index | 6.08% | 15.71% | ||||||||
| ||||||||||
Barclays Global Aggregate Bond Index | -4.00% | -0.54% | ||||||||
| ||||||||||
Russell 1000 Value Index | 19.35% | 32.71% | ||||||||
| ||||||||||
Prior Composite: 60% Russell 1000 Value Index/40% Barclays U.S. Aggregate Bond Index | 10.84% | 19.12% | ||||||||
| ||||||||||
Barclays U.S. Aggregate Bond Index | -1.05% | 0.91% | ||||||||
| ||||||||||
Lipper Mixed-Asset Target Allocation Growth Funds Average | 10.08% | 19.06% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Fund resulting from class action settlements, which enhanced the performance of all share classes of the Fund for the 12-month period ended May 31, 2013, by 0.08%.
** Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information.
† Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund.
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. | ||||||||||
See Disclosures, Risks and Note about Historical Performance on page 5-6.
(Historical Performance continued on next page)
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 7 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
AVERAGE ANNUAL RETURNS AS OF MAY 31, 2013 | ||||||||
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
Class A Shares | ||||||||
1 Year | 11.66 | % | 6.94 | % | ||||
5 Years | 4.27 | % | 3.37 | % | ||||
10 Years | 5.60 | % | 5.14 | % | ||||
Class B Shares | ||||||||
1 Year | 10.88 | % | 6.88 | % | ||||
5 Years | 3.48 | % | 3.48 | % | ||||
10 Years(a) | 4.97 | % | 4.97 | % | ||||
Class C Shares | ||||||||
1 Year | 10.91 | % | 9.91 | % | ||||
5 Years | 3.53 | % | 3.53 | % | ||||
10 Years | 4.84 | % | 4.84 | % | ||||
Advisor Class Shares† | ||||||||
1 Year | 12.04 | % | 12.04 | % | ||||
5 Years | 4.57 | % | 4.57 | % | ||||
10 Years | 5.91 | % | 5.91 | % | ||||
Class R Shares† | ||||||||
1 Year | 11.39 | % | 11.39 | % | ||||
5 Years | 4.00 | % | 4.00 | % | ||||
Since Inception* | 5.04 | % | 5.04 | % | ||||
Class K Shares† | ||||||||
1 Year | 11.77 | % | 11.77 | % | ||||
5 years | 4.32 | % | 4.32 | % | ||||
Since Inception* | 4.18 | % | 4.18 | % | ||||
Class I Shares† | ||||||||
1 Year | 12.21 | % | 12.21 | % | ||||
5 Years | 4.76 | % | 4.76 | % | ||||
Since Inception* | 4.59 | % | 4.59 | % |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.09%, 1.85%, 1.82%, 0.79%, 1.38%, 1.07% and 0.64% for Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
(a) | Assumes conversion of Class B shares into Class A shares after eight years. |
† | These share classes are offered at NAV to eligible investors and their SEC returns are the same as the NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. The inception dates for Class R, Class K and Class I shares are listed below. |
* | Inception dates: 11/3/03 for Class R shares; 3/1/05 for Class K and Class I shares. |
See Disclosures, Risks and Note about Historical Performance on page 5-6.
(Historical Performance continued on next page)
8 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END (JUNE 30, 2013) | ||||
SEC Returns (reflects applicable | ||||
Class A Shares | ||||
1 Year | 0.15 | % | ||
5 Years | 4.04 | % | ||
10 Years | 4.70 | % | ||
Class B Shares | ||||
1 Year | 0.00 | % | ||
5 Years | 4.17 | % | ||
10 Years(a) | 4.54 | % | ||
Class C Shares | ||||
1 Year | 2.87 | % | ||
5 Years | 4.20 | % | ||
10 Years | 4.39 | % | ||
Advisor Class Shares† | ||||
1 Year | 4.89 | % | ||
5 Years | 5.26 | % | ||
10 Years | 5.47 | % | ||
Class R Shares† | ||||
1 Year | 4.23 | % | ||
5 Years | 4.67 | % | ||
Since Inception* | 4.59 | % | ||
Class K Shares† | ||||
1 Year | 4.61 | % | ||
5 years | 4.99 | % | ||
Since Inception* | 3.68 | % | ||
Class I Shares† | ||||
1 Year | 5.05 | % | ||
5 Years | 5.43 | % | ||
Since Inception* | 4.08 | % |
(a) | Assumes conversion of Class B shares into Class A shares after eight years. |
† | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. The inception dates for Class R, Class K and Class I shares are listed below. |
* | Inception dates: 11/3/03 for Class R shares; 3/1/05 for Class K and Class I shares. |
See Disclosures, Risks and Note about Historical Performance on page 5-6.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 9 |
Historical Performance
EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value December 1, 2012 | Ending Account Value May 31, 2013 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,005.70 | $ | 5.75 | 1.15 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.20 | $ | 5.79 | 1.15 | % | ||||||||
Class B | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,002.30 | $ | 9.39 | 1.88 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,015.56 | $ | 9.45 | 1.88 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,002.60 | $ | 9.29 | 1.86 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,015.66 | $ | 9.35 | 1.86 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,007.30 | $ | 4.30 | 0.86 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.64 | $ | 4.33 | 0.86 | % | ||||||||
Class R | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,004.90 | $ | 7.10 | 1.42 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.85 | $ | 7.14 | 1.42 | % | ||||||||
Class K | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,006.50 | $ | 5.55 | 1.11 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.40 | $ | 5.59 | 1.11 | % | ||||||||
Class I | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,008.40 | $ | 3.20 | 0.64 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.74 | $ | 3.23 | 0.64 | % |
* | Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
10 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Expense Example
PORTFOLIO SUMMARY
May 31, 2013 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $501.0
* | All data are as of May 31, 2013. The Fund’s security type and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.3% or less in the following countries: Austria, Belgium, Brazil, China, Denmark, Finland, Greece, Hong Kong, Ireland, Israel, Kazakhstan, Macau, Malaysia, Netherlands, Portugal, Singapore, South Africa and Spain. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 11 |
Portfolio Summary
TEN LARGEST HOLDINGS*
May 31, 2013 (unaudited)
Company | U.S. $ Value | Percent of Net Assets | ||||||
Sweden Government Bond | $ | 42,906,074 | 8.6 | % | ||||
Deutsche Bundesrepublik Inflation Linked Bond | 40,265,995 | 8.0 | ||||||
U.S. Treasury Inflation Index | 38,814,679 | 7.7 | ||||||
France Government Bond OAT | 29,526,791 | 5.9 | ||||||
Norway Government Bond | 24,194,570 | 4.8 | ||||||
Australia Government Bond | 22,602,802 | 4.5 | ||||||
New Zealand Government Bond | 22,394,297 | 4.5 | ||||||
Canadian Government Bond | 21,128,044 | 4.2 | ||||||
Italy Buoni Poliennali Del Tesoro | 18,058,874 | 3.6 | ||||||
Japanese Government CPI Linked Bond | 12,780,585 | 2.6 | ||||||
$ | 272,672,711 | 54.4 | % |
* | Long-term investments. |
12 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Ten Largest Holdings
PORTFOLIO OF INVESTMENTS
May 31, 2013 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||
|
|
| ||||||||
INFLATION-LINKED SECURITIES – 38.3% | ||||||||||
Canada – 4.2% | ||||||||||
Canadian Government Bond | CAD | 6,438 | $ | 9,444,028 | ||||||
4.00%, 12/01/31 | 7,484 | 11,684,016 | ||||||||
|
| |||||||||
21,128,044 | ||||||||||
|
| |||||||||
France – 5.9% | ||||||||||
France Government Bond OAT | EUR | 19,151 | 29,526,791 | |||||||
|
| |||||||||
Germany – 8.0% | ||||||||||
Deutsche Bundesrepublik Inflation Linked Bond | 4,880 | 6,746,625 | ||||||||
1.75%, 4/15/20 | 22,207 | 33,519,370 | ||||||||
|
| |||||||||
40,265,995 | ||||||||||
|
| |||||||||
Italy – 3.6% | ||||||||||
Italy Buoni Poliennali Del Tesoro | 14,274 | 18,058,874 | ||||||||
|
| |||||||||
Japan – 2.6% | ||||||||||
Japanese Government CPI Linked Bond | JPY | 600,600 | 6,205,991 | |||||||
Series 7 | 621,250 | 6,574,594 | ||||||||
|
| |||||||||
12,780,585 | ||||||||||
|
| |||||||||
Sweden – 4.0% | ||||||||||
Sweden Government Bond | SEK | 100,000 | 20,168,797 | |||||||
|
| |||||||||
Turkey – 2.3% | ||||||||||
Turkey Government Bond | TRY | 9,274 | 5,633,683 | |||||||
4.50%, 2/11/15 | 10,139 | 5,750,573 | ||||||||
|
| |||||||||
11,384,256 | ||||||||||
|
| |||||||||
United States – 7.7% | ||||||||||
U.S. Treasury Inflation Index | U.S.$ | 10,400 | 10,712,965 | |||||||
0.625%, 7/15/21(TIPS)(a) | 10,983 | 11,899,720 | ||||||||
1.125%, 1/15/21 (TIPS) | 8,970 | 10,040,123 | ||||||||
1.25%, 7/15/20 (TIPS) | 5,438 | 6,161,871 | ||||||||
|
| |||||||||
38,814,679 | ||||||||||
|
| |||||||||
Total Inflation-Linked Securities | 192,128,021 | |||||||||
|
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 13 |
Portfolio of Investments
Amount (000) | U.S. $ Value | |||||||||||
|
|
| ||||||||||
GOVERNMENTS – TREASURIES – 18.4% | ||||||||||||
Australia – 4.5% | ||||||||||||
Australia Government Bond | AUD | 20,085 | $ | 22,602,802 | ||||||||
|
| |||||||||||
New Zealand – 4.5% | ||||||||||||
New Zealand Government Bond | NZD | 23,880 | 22,394,297 | |||||||||
|
| |||||||||||
Norway – 4.8% | ||||||||||||
Norway Government Bond | NOK | 125,510 | 24,194,570 | |||||||||
|
| |||||||||||
Sweden – 4.6% | ||||||||||||
Sweden Government Bond | SEK | 132,275 | 22,737,277 | |||||||||
|
| |||||||||||
Total Governments – Treasuries | 91,928,946 | |||||||||||
|
| |||||||||||
Company | Shares | |||||||||||
COMMON STOCKS – 11.1% | ||||||||||||
Financials – 2.3% | ||||||||||||
Capital Markets – 0.2% | ||||||||||||
Bank of New York Mellon Corp. (The) | 3,600 | 108,216 | ||||||||||
BlackRock, Inc. – Class A | 500 | 139,600 | ||||||||||
Charles Schwab Corp. (The) | 4,900 | 97,314 | ||||||||||
Daiwa Securities Group, Inc. | 5,000 | 40,899 | ||||||||||
Deutsche Bank AG (REG) | 1,890 | 87,813 | ||||||||||
Franklin Resources, Inc. | 700 | 108,367 | ||||||||||
Goldman Sachs Group, Inc. (The) | 900 | 145,872 | ||||||||||
Macquarie Group Ltd. | 1,080 | 44,039 | ||||||||||
Morgan Stanley | 4,800 | 124,320 | ||||||||||
Nomura Holdings, Inc. | 7,200 | 54,593 | ||||||||||
State Street Corp. | 2,100 | 138,978 | ||||||||||
UBS AG(b) | 12,140 | 213,008 | ||||||||||
|
| |||||||||||
1,303,019 | ||||||||||||
|
| |||||||||||
Commercial Banks – 0.9% | ||||||||||||
Australia & New Zealand Banking Group Ltd. | 5,280 | 137,730 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA | 10,600 | 99,351 | ||||||||||
Banco Espirito Santo SA(b) | 3,960 | 3,918 | ||||||||||
Banco Santander SA | 19,400 | 138,753 | ||||||||||
Bank Leumi Le-Israel BM(b) | 5,800 | 20,247 | ||||||||||
Bank of Montreal | 1,300 | 76,953 | ||||||||||
Bank of Nova Scotia | 2,200 | 125,284 | ||||||||||
Bank of Yokohama Ltd. (The) | 5,000 | 24,506 |
14 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Barclays PLC | 30,630 | $ | 146,722 | |||||||
BB&T Corp. | 2,800 | 92,176 | ||||||||
BNP Paribas SA | 1,900 | 111,187 | ||||||||
BOC Hong Kong Holdings Ltd. | 7,500 | 25,027 | ||||||||
CaixaBank | 8,480 | 30,526 | ||||||||
Canadian Imperial Bank of Commerce | 800 | 60,458 | ||||||||
Chiba Bank Ltd. (The) | 4,000 | 24,890 | ||||||||
Commonwealth Bank of Australia | 3,140 | 199,490 | ||||||||
Credit Agricole SA(b) | 7,190 | 67,413 | ||||||||
Danske Bank A/S(b) | 1,460 | 28,643 | ||||||||
DBS Group Holdings Ltd. | 4,000 | 54,158 | ||||||||
DnB ASA | 2,350 | 38,002 | ||||||||
Erste Group Bank AG | 430 | 13,811 | ||||||||
Hang Seng Bank Ltd. | 1,500 | 24,076 | ||||||||
HSBC Holdings PLC | 35,770 | 392,434 | ||||||||
Intesa Sanpaolo SpA | 20,450 | 38,151 | ||||||||
KBC Groep NV | 510 | 20,217 | ||||||||
Lloyds Banking Group PLC(b) | 177,660 | 165,124 | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 25,100 | 145,668 | ||||||||
Mizuho Financial Group, Inc. | 45,000 | 85,676 | ||||||||
National Australia Bank Ltd. | 4,410 | 121,323 | ||||||||
Natixis | 9,720 | 45,826 | ||||||||
Nordea Bank AB | 5,190 | 63,764 | ||||||||
Oversea-Chinese Banking Corp., Ltd. | 5,000 | 40,731 | ||||||||
PNC Financial Services Group, Inc. | 1,500 | 107,460 | ||||||||
Raiffeisen Bank International AG | 230 | 7,799 | ||||||||
Resona Holdings, Inc. | 5,000 | 22,428 | ||||||||
Royal Bank of Canada | 2,800 | 166,177 | ||||||||
Royal Bank of Scotland Group PLC(b) | 22,530 | 113,768 | ||||||||
Shizuoka Bank Ltd. (The) | 2,000 | 20,763 | ||||||||
Skandinaviska Enskilda Banken AB | 3,110 | 32,374 | ||||||||
Societe Generale SA | 1,710 | 68,198 | ||||||||
Standard Chartered PLC | 5,030 | 116,467 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 2,600 | 102,647 | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 8,000 | 32,776 | ||||||||
Svenska Handelsbanken AB | 970 | 41,694 | ||||||||
Swedbank AB | 1,620 | 38,579 | ||||||||
Toronto-Dominion Bank (The) | 1,800 | 145,823 | ||||||||
UniCredit SpA | 7,980 | 44,785 | ||||||||
United Overseas Bank Ltd. | 3,000 | 50,670 | ||||||||
US Bancorp/MN | 3,700 | 129,722 | ||||||||
Wells Fargo & Co. | 10,100 | 409,555 | ||||||||
Westpac Banking Corp. | 6,020 | 162,245 | ||||||||
|
| |||||||||
4,476,165 | ||||||||||
|
| |||||||||
Consumer Finance – 0.1% | ||||||||||
American Express Co. | 2,000 | 151,420 | ||||||||
Capital One Financial Corp. | 1,500 | 91,395 | ||||||||
Discover Financial Services | 2,200 | 104,302 | ||||||||
|
| |||||||||
347,117 | ||||||||||
|
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 15 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Diversified Financial Services – 0.3% | ||||||||||
Bank of America Corp. | 21,200 | $ | 289,592 | |||||||
Citigroup, Inc. | 5,800 | 301,542 | ||||||||
CME Group, Inc./IL – Class A | 1,500 | 101,895 | ||||||||
Exor SpA | 1,050 | 33,276 | ||||||||
Groupe Bruxelles Lambert SA | 250 | 19,756 | ||||||||
Hong Kong Exchanges and Clearing Ltd. | 2,000 | 33,481 | ||||||||
ING Groep NV(b) | 7,540 | 70,308 | ||||||||
Investment AB Kinnevik | 650 | 17,233 | ||||||||
Investor AB | 1,180 | 33,874 | ||||||||
JPMorgan Chase & Co. | 7,600 | 414,884 | ||||||||
McGraw Hill Financial Inc | 800 | 43,640 | ||||||||
ORIX Corp. | 2,100 | 27,850 | ||||||||
|
| |||||||||
1,387,331 | ||||||||||
|
| |||||||||
Insurance – 0.5% | ||||||||||
ACE Ltd. | 1,100 | 98,648 | ||||||||
Aegon NV | 5,200 | 35,479 | ||||||||
Aflac, Inc. | 1,800 | 100,242 | ||||||||
Ageas | 300 | 10,999 | ||||||||
AIA Group Ltd. | 20,000 | 88,420 | ||||||||
Allianz SE | 900 | 139,020 | ||||||||
Allstate Corp. (The) | 2,100 | 101,304 | ||||||||
American International Group, Inc.(b) | 2,400 | 106,704 | ||||||||
AMP Ltd. | 13,880 | 68,066 | ||||||||
AON PLC | 1,700 | 108,239 | ||||||||
Assicurazioni Generali SpA | 2,300 | 42,794 | ||||||||
Berkshire Hathaway, Inc.(b) | 1,800 | 205,326 | ||||||||
Chubb Corp. (The) | 1,100 | 95,810 | ||||||||
CNP Assurances | 397 | 5,994 | ||||||||
Great-West Lifeco, Inc. | 2,300 | 64,291 | ||||||||
Manulife Financial Corp. | 4,200 | 66,519 | ||||||||
Mapfre SA | 11,150 | 40,064 | ||||||||
Marsh & McLennan Cos., Inc. | 2,600 | 104,052 | ||||||||
MetLife, Inc. | 2,600 | 114,946 | ||||||||
MS&AD Insurance Group Holdings | 1,200 | 29,433 | ||||||||
Muenchener Rueckversicherungs AG | 520 | 96,993 | ||||||||
NKSJ Holdings, Inc. | 1,000 | 22,339 | ||||||||
Power Financial Corp. | 2,100 | 63,157 | ||||||||
Prudential Financial, Inc. | 1,500 | 103,455 | ||||||||
Prudential PLC | 8,680 | 146,007 | ||||||||
QBE Insurance Group Ltd. | 4,590 | 69,552 | ||||||||
Sampo Oyj | 830 | 33,640 | ||||||||
Sony Financial Holdings, Inc. | 1,272 | 18,647 | ||||||||
Sun Life Financial, Inc. | 1,700 | 49,782 | ||||||||
Suncorp Group Ltd. | 6,670 | 78,975 | ||||||||
T&D Holdings, Inc. | 2,050 | 24,783 | ||||||||
Tokio Marine Holdings, Inc. | 1,400 | 40,309 | ||||||||
Travelers Cos., Inc. (The) | 1,300 | 108,836 |
16 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 110 | $ | 5,367 | |||||||
Zurich Insurance Group AG(b) | 500 | 132,233 | ||||||||
|
| |||||||||
2,620,425 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts | ||||||||||
American Tower Corp. | 1,200 | 93,408 | ||||||||
Equity Residential | 800 | 45,240 | ||||||||
General Growth Properties, Inc. | 4,500 | 92,385 | ||||||||
HCP, Inc. | 2,000 | 94,760 | ||||||||
Japan Real Estate Investment Corp. | 2 | 19,692 | ||||||||
Link REIT (The) | 4,500 | 23,151 | ||||||||
Nippon Building Fund, Inc. | 2 | 20,568 | ||||||||
Public Storage | 700 | 106,260 | ||||||||
Simon Property Group, Inc. | 600 | 99,864 | ||||||||
Unibail-Rodamco SE | 260 | 63,877 | ||||||||
Ventas, Inc. | 1,400 | 99,918 | ||||||||
Westfield Group | 6,080 | 66,735 | ||||||||
|
| |||||||||
825,858 | ||||||||||
|
| |||||||||
Real Estate Management & | ||||||||||
Brookfield Asset Management, Inc. | 1,500 | 52,896 | ||||||||
CapitaLand Ltd. | 7,000 | 19,045 | ||||||||
CapitaMalls Asia Ltd. | 6,000 | 9,071 | ||||||||
Cheung Kong Holdings Ltd. | 3,000 | 42,249 | ||||||||
City Developments Ltd. | 2,000 | 16,967 | ||||||||
Daito Trust Construction Co., Ltd. | 200 | 18,614 | ||||||||
Daiwa House Industry Co., Ltd. | 2,000 | 37,796 | ||||||||
Global Logistic Properties Ltd. | 9,000 | 19,905 | ||||||||
Hang Lung Properties Ltd. | 7,000 | 24,469 | ||||||||
Henderson Land Development Co., Ltd. | 3,000 | 21,027 | ||||||||
Mitsubishi Estate Co., Ltd. | 2,000 | 49,274 | ||||||||
Mitsui Fudosan Co., Ltd. | 2,000 | 55,177 | ||||||||
New World Development Co., Ltd. | 14,000 | 22,189 | ||||||||
Sino Land Co., Ltd. | 12,000 | 17,845 | ||||||||
Sumitomo Realty & Development Co., Ltd. | 1,000 | 38,244 | ||||||||
Sun Hung Kai Properties Ltd. | 3,000 | 39,814 | ||||||||
Swire Pacific Ltd. | 2,000 | 25,323 | ||||||||
Swire Properties Ltd. | 4,000 | 12,434 | ||||||||
Wharf Holdings Ltd. | 3,000 | 26,642 | ||||||||
|
| |||||||||
548,981 | ||||||||||
|
| |||||||||
11,508,896 | ||||||||||
|
| |||||||||
Information Technology – 1.3% | ||||||||||
Communications Equipment – 0.1% | ||||||||||
Cisco Systems, Inc. | 10,700 | 257,656 | ||||||||
Motorola Solutions, Inc. | 1,700 | 98,532 | ||||||||
Nokia Oyj | 7,380 | 24,688 | ||||||||
QUALCOMM, Inc. | 3,400 | 215,832 | ||||||||
Telefonaktiebolaget LM Ericsson – Class B | 5,930 | 69,659 | ||||||||
|
| |||||||||
666,367 | ||||||||||
|
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 17 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Computers & Peripherals – 0.3% | ||||||||||
Apple, Inc. | 1,900 | $ | 854,392 | |||||||
Dell, Inc. | 9,100 | 121,485 | ||||||||
EMC Corp./MA(b) | 4,100 | 101,516 | ||||||||
Fujitsu Ltd. | 6,000 | 24,838 | ||||||||
Hewlett-Packard Co. | 6,100 | 148,962 | ||||||||
Toshiba Corp. | 8,000 | 37,638 | ||||||||
|
| |||||||||
1,288,831 | ||||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components – 0.1% | ||||||||||
Corning, Inc. | 6,500 | 99,905 | ||||||||
Fujifilm Holdings Corp. | 1,300 | 26,828 | ||||||||
Hexagon AB | 590 | 17,115 | ||||||||
Hitachi Ltd. | 9,000 | 60,578 | ||||||||
Hoya Corp. | 1,100 | 22,091 | ||||||||
Keyence Corp. | 100 | 30,515 | ||||||||
Kyocera Corp. | 300 | 29,251 | ||||||||
Murata Manufacturing Co., Ltd. | 400 | 30,230 | ||||||||
TDK Corp. | 500 | 18,932 | ||||||||
TE Connectivity Ltd. | 2,400 | 106,536 | ||||||||
|
| |||||||||
441,981 | ||||||||||
|
| |||||||||
Internet Software & Services – 0.2% | ||||||||||
Dena Co., Ltd. | 318 | 6,705 | ||||||||
eBay, Inc.(b) | 2,300 | 124,430 | ||||||||
Facebook, Inc.(b) | 3,750 | 91,313 | ||||||||
Google, Inc. – Class A(b) | 500 | 435,205 | ||||||||
LinkedIn Corp.(b) | 500 | 83,765 | ||||||||
Yahoo! Japan Corp. | 58 | 26,277 | ||||||||
Yahoo!, Inc.(b) | 5,600 | 147,280 | ||||||||
|
| |||||||||
914,975 | ||||||||||
|
| |||||||||
IT Services – 0.2% | ||||||||||
Accenture PLC | 1,300 | 106,743 | ||||||||
Amadeus IT Holding SA | 1,260 | 38,456 | ||||||||
Automatic Data Processing, Inc. | 1,500 | 103,080 | ||||||||
CGI Group, Inc.(b) | 1,000 | 30,615 | ||||||||
Cognizant Technology Solutions Corp. – | 1,300 | 84,045 | ||||||||
International Business Machines Corp. | 2,200 | 457,644 | ||||||||
Mastercard, Inc. – Class A | 200 | 114,050 | ||||||||
NTT Data Corp. | 7 | 23,513 | ||||||||
Visa, Inc. – Class A | 1,000 | 178,140 | ||||||||
|
| |||||||||
1,136,286 | ||||||||||
|
| |||||||||
Office Electronics – 0.0% | ||||||||||
Canon, Inc. | 2,200 | 75,170 | ||||||||
Ricoh Co., Ltd. | 2,000 | 23,220 | ||||||||
|
| |||||||||
98,390 | ||||||||||
|
|
18 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Semiconductors & Semiconductor | ||||||||||
ARM Holdings PLC | 4,860 | $ | 71,180 | |||||||
ASM Pacific Technology Ltd. | 1,000 | 12,004 | ||||||||
ASML Holding NV | 639 | 52,885 | ||||||||
Broadcom Corp. – Class A | 2,600 | 93,366 | ||||||||
Infineon Technologies AG | 6,350 | 54,031 | ||||||||
Intel Corp. | 9,900 | 240,372 | ||||||||
Mellanox Technologies Ltd.(b) | 110 | 6,076 | ||||||||
Texas Instruments, Inc. | 3,100 | 111,259 | ||||||||
Tokyo Electron Ltd. | 500 | 24,594 | ||||||||
|
| |||||||||
665,767 | ||||||||||
|
| |||||||||
Software – 0.3% | ||||||||||
Adobe Systems, Inc.(b) | 2,800 | 120,148 | ||||||||
Dassault Systemes SA | 540 | 67,685 | ||||||||
Intuit, Inc. | 1,500 | 87,660 | ||||||||
Microsoft Corp. | 15,100 | 526,688 | ||||||||
Nexon Co., Ltd. | 1,700 | 18,010 | ||||||||
Nintendo Co., Ltd. | 200 | 19,751 | ||||||||
Oracle Corp. | 8,000 | 270,080 | ||||||||
Oracle Corp. Japan | 500 | 19,655 | ||||||||
Salesforce.com, Inc.(b) | 2,400 | 101,592 | ||||||||
SAP AG | 1,810 | 135,457 | ||||||||
VMware, Inc. – Class A(b) | 1,000 | 71,120 | ||||||||
|
| |||||||||
1,437,846 | ||||||||||
|
| |||||||||
6,650,443 | ||||||||||
|
| |||||||||
Consumer Discretionary – 1.3% | ||||||||||
Auto Components – 0.1% | ||||||||||
Aisin Seiki Co., Ltd. | 800 | 28,921 | ||||||||
Bridgestone Corp. | 1,300 | 42,198 | ||||||||
Cie Generale des Etablissements Michelin – Class B | 660 | 57,598 | ||||||||
Denso Corp. | 1,000 | 41,316 | ||||||||
Johnson Controls, Inc. | 3,400 | 127,024 | ||||||||
Magna International, Inc. (Toronto) – Class A | 900 | 60,020 | ||||||||
Nokian Renkaat OYJ | 310 | 12,923 | ||||||||
Toyota Industries Corp. | 800 | 31,220 | ||||||||
|
| |||||||||
401,220 | ||||||||||
|
| |||||||||
Automobiles – 0.3% | ||||||||||
Bayerische Motoren Werke AG | 1,080 | 102,490 | ||||||||
Daihatsu Motor Co., Ltd. | 1,000 | 21,212 | ||||||||
Daimler AG | 1,790 | 113,690 | ||||||||
Ford Motor Co. | 8,600 | 134,848 | ||||||||
Fuji Heavy Industries Ltd. | 3,000 | 67,571 | ||||||||
General Motors Co.(b) | 3,600 | 122,004 | ||||||||
Honda Motor Co., Ltd. | 3,200 | 118,799 | ||||||||
Isuzu Motors Ltd. | 4,000 | 29,696 | ||||||||
Mazda Motor Corp.(b) | 4,000 | 15,388 |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 19 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Nissan Motor Co., Ltd. | 4,900 | $ | 52,915 | |||||||
Suzuki Motor Corp. | 1,000 | 24,329 | ||||||||
Toyota Motor Corp. | 5,400 | 315,140 | ||||||||
Volkswagen AG | 490 | 103,805 | ||||||||
Volkswagen AG (Preference Shares) | 250 | 54,295 | ||||||||
|
| |||||||||
1,276,182 | ||||||||||
|
| |||||||||
Distributors – 0.0% | ||||||||||
Li & Fung Ltd. | 8,000 | 11,123 | ||||||||
|
| |||||||||
Hotels, Restaurants & Leisure – 0.2% | ||||||||||
Carnival Corp. | 2,300 | 76,130 | ||||||||
Compass Group PLC | 10,950 | 143,598 | ||||||||
Crown Ltd. | 3,390 | 41,368 | ||||||||
Galaxy Entertainment Group Ltd.(b) | 7,000 | 36,337 | ||||||||
Genting Singapore PLC | 19,000 | 21,732 | ||||||||
Las Vegas Sands Corp. | 1,900 | 110,010 | ||||||||
McDonald’s Corp. | 2,000 | 193,140 | ||||||||
OPAP SA | 430 | 3,556 | ||||||||
Oriental Land Co., Ltd./Japan | 200 | 27,270 | ||||||||
Sands China Ltd. | 6,000 | 31,695 | ||||||||
SKYCITY Entertainment Group Ltd. | 1,230 | 4,081 | ||||||||
Starbucks Corp. | 1,800 | 113,526 | ||||||||
Wynn Macau Ltd. | 8,000 | 23,525 | ||||||||
Yum! Brands, Inc. | 1,300 | 88,075 | ||||||||
|
| |||||||||
914,043 | ||||||||||
|
| |||||||||
Household Durables – 0.0% | ||||||||||
Electrolux AB | 780 | 21,006 | ||||||||
Panasonic Corp.(b) | 4,300 | 32,771 | ||||||||
Sekisui House Ltd. | 2,000 | 25,928 | ||||||||
Sony Corp. | 2,000 | 39,545 | ||||||||
|
| |||||||||
119,250 | ||||||||||
|
| |||||||||
Internet & Catalog Retail – 0.1% | ||||||||||
Amazon.com, Inc.(b) | 700 | 188,321 | ||||||||
priceline.com, Inc.(b) | 100 | 80,393 | ||||||||
Rakuten, Inc. | 2,299 | 25,614 | ||||||||
|
| |||||||||
294,328 | ||||||||||
|
| |||||||||
Leisure Equipment & Products – 0.0% | ||||||||||
Nikon Corp. | 900 | 23,619 | ||||||||
Shimano, Inc. | 300 | 23,104 | ||||||||
|
| |||||||||
46,723 | ||||||||||
|
| |||||||||
Media – 0.3% | ||||||||||
British Sky Broadcasting Group PLC | 8,000 | 94,588 | ||||||||
CBS Corp. – Class B | 2,600 | 128,700 | ||||||||
Comcast Corp. | 2,500 | 97,000 | ||||||||
Comcast Corp. – Class A | 4,200 | 168,630 | ||||||||
Dentsu, Inc. | 900 | 27,219 | ||||||||
DIRECTV(b) | 1,700 | 103,921 |
20 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
DISH Network Corp. – Class A | 1,200 | $ | 46,248 | |||||||
Liberty Global, Inc.(b)(c) | 1,400 | 103,180 | ||||||||
News Corp. – Class A | 3,500 | 112,385 | ||||||||
News Corp. – Class B | 3,500 | 112,840 | ||||||||
Reed Elsevier NV | 2,210 | 36,215 | ||||||||
Singapore Press Holdings Ltd. | 3,000 | 10,121 | ||||||||
Sirius XM Radio, Inc. | 20,100 | 69,948 | ||||||||
Thomson Reuters Corp. | 1,800 | 59,899 | ||||||||
Time Warner Cable, Inc. – Class A | 900 | 85,959 | ||||||||
Time Warner, Inc. | 2,000 | 116,740 | ||||||||
Viacom, Inc. – Class B | 1,600 | 105,424 | ||||||||
Walt Disney Co. (The) | 3,300 | 208,164 | ||||||||
WPP PLC | 4,410 | 75,076 | ||||||||
|
| |||||||||
1,762,257 | ||||||||||
|
| |||||||||
Multiline Retail – 0.1% | ||||||||||
Dollar General Corp.(b) | 1,900 | 100,320 | ||||||||
Kering | 330 | 71,711 | ||||||||
Macy’s, Inc. | 2,200 | 106,348 | ||||||||
Target Corp. | 1,400 | 97,300 | ||||||||
|
| |||||||||
375,679 | ||||||||||
|
| |||||||||
Specialty Retail – 0.1% | ||||||||||
Fast Retailing Co., Ltd. | 100 | 33,636 | ||||||||
Gap, Inc. (The) | 2,400 | 97,320 | ||||||||
Hennes & Mauritz AB – Class B | 1,870 | 63,976 | ||||||||
Home Depot, Inc. (The) | 3,000 | 235,980 | ||||||||
Inditex SA | 430 | 53,230 | ||||||||
Lowe’s Cos., Inc. | 2,700 | 113,697 | ||||||||
TJX Cos., Inc. | 2,100 | 106,281 | ||||||||
|
| |||||||||
704,120 | ||||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods – 0.1% | ||||||||||
Christian Dior SA | 400 | 73,179 | ||||||||
Cie Financiere Richemont SA (SWX Europe) | 1,920 | 169,768 | ||||||||
Coach, Inc. | 1,600 | 93,216 | ||||||||
Luxottica Group SpA | 770 | 39,859 | ||||||||
LVMH Moet Hennessy Louis Vuitton SA | 500 | 88,322 | ||||||||
NIKE, Inc. – Class B | 1,800 | 110,988 | ||||||||
VF Corp. | 500 | 91,930 | ||||||||
|
| |||||||||
667,262 | ||||||||||
|
| |||||||||
6,572,187 | ||||||||||
|
| |||||||||
Health Care – 1.3% | ||||||||||
Biotechnology – 0.2% | ||||||||||
Alexion Pharmaceuticals, Inc.(b) | 800 | 78,032 | ||||||||
Amgen, Inc. | 1,600 | 160,848 | ||||||||
Biogen Idec, Inc.(b) | 600 | 142,494 | ||||||||
Celgene Corp.(b) | 1,100 | 136,015 | ||||||||
CSL Ltd. | 1,350 | 76,816 | ||||||||
Elan Corp. PLC(b) | 990 | 12,419 |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 21 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Gilead Sciences, Inc.(b) | 3,000 | $ | 163,440 | |||||||
Regeneron Pharmaceuticals, Inc.(b) | 500 | 120,935 | ||||||||
|
| |||||||||
890,999 | ||||||||||
|
| |||||||||
Health Care Equipment & | ||||||||||
Abbott Laboratories | 3,200 | 117,344 | ||||||||
Baxter International, Inc. | 1,400 | 98,462 | ||||||||
Becton Dickinson and Co. | 1,200 | 118,344 | ||||||||
Coloplast A/S | 350 | 20,015 | ||||||||
Covidien PLC | 1,500 | 95,400 | ||||||||
Essilor International SA | 390 | 42,910 | ||||||||
Fresenius SE & Co. KGaA | 224 | 26,534 | ||||||||
Getinge AB | 730 | 21,816 | ||||||||
Intuitive Surgical, Inc.(b) | 200 | 99,506 | ||||||||
Medtronic, Inc. | 2,100 | 107,121 | ||||||||
Stryker Corp. | 1,700 | 112,863 | ||||||||
Terumo Corp. | 500 | 24,613 | ||||||||
|
| |||||||||
884,928 | ||||||||||
|
| |||||||||
Health Care Providers & Services – 0.1% | ||||||||||
CIGNA Corp. | 800 | 54,320 | ||||||||
Express Scripts Holding Co.(b) | 1,600 | 99,392 | ||||||||
Fresenius Medical Care AG & Co. KGaA | 1,140 | 77,397 | ||||||||
McKesson Corp. | 1,000 | 113,860 | ||||||||
UnitedHealth Group, Inc. | 2,100 | 131,523 | ||||||||
WellPoint, Inc. | 1,400 | 107,758 | ||||||||
|
| |||||||||
584,250 | ||||||||||
|
| |||||||||
Life Sciences Tools & Services – 0.0% | ||||||||||
Thermo Fisher Scientific, Inc. | 1,500 | 132,450 | ||||||||
|
| |||||||||
Pharmaceuticals – 0.8% | ||||||||||
AbbVie, Inc. | 3,200 | 136,608 | ||||||||
Allergan, Inc./United States | 900 | 89,541 | ||||||||
Astellas Pharma, Inc. | 900 | 45,960 | ||||||||
AstraZeneca PLC | 2,560 | 130,980 | ||||||||
Bayer AG | 1,630 | 174,194 | ||||||||
Bristol-Myers Squibb Co. | 3,400 | 156,434 | ||||||||
Chugai Pharmaceutical Co., Ltd. | 1,100 | 22,038 | ||||||||
Daiichi Sankyo Co., Ltd. | 1,400 | 22,985 | ||||||||
Eisai Co., Ltd. | 500 | 19,190 | ||||||||
Eli Lilly & Co. | 2,100 | 111,636 | ||||||||
GlaxoSmithKline PLC | 9,880 | 255,627 | ||||||||
Johnson & Johnson | 5,400 | 454,572 | ||||||||
Merck & Co., Inc. | 6,100 | 284,870 | ||||||||
Mitsubishi Tanabe Pharma Corp. | 2,000 | 25,473 | ||||||||
Novartis AG | 4,530 | 324,493 | ||||||||
Novo Nordisk A/S – Class B | 800 | 129,662 | ||||||||
Ono Pharmaceutical Co., Ltd. | 200 | 13,908 | ||||||||
Orion Oyj | 500 | 12,306 | ||||||||
Otsuka Holdings Co., Ltd. | 700 | 22,455 |
22 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Pfizer, Inc. | 15,000 | $ | 408,450 | |||||||
Roche Holding AG | 1,380 | 342,152 | ||||||||
Sanofi | 2,340 | 249,510 | ||||||||
Shionogi & Co., Ltd. | 700 | 13,087 | ||||||||
Shire PLC | 2,000 | 65,828 | ||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 300 | 20,091 | ||||||||
Takeda Pharmaceutical Co., Ltd. | 1,600 | 70,916 | ||||||||
Teva Pharmaceutical Industries Ltd. | 1,860 | 71,249 | ||||||||
UCB SA | 210 | 11,425 | ||||||||
Valeant Pharmaceuticals International, Inc.(b) | 900 | 82,808 | ||||||||
|
| |||||||||
3,768,448 | ||||||||||
|
| |||||||||
6,261,075 | ||||||||||
|
| |||||||||
Industrials – 1.2% | ||||||||||
Aerospace & Defense – 0.3% | ||||||||||
BAE Systems PLC | 13,330 | 81,487 | ||||||||
Boeing Co. (The) | 1,400 | 138,628 | ||||||||
European Aeronautic Defence and Space Co. NV | 1,650 | 95,008 | ||||||||
General Dynamics Corp. | 1,300 | 100,230 | ||||||||
Honeywell International, Inc. | 1,500 | 117,690 | ||||||||
Lockheed Martin Corp. | 1,000 | 105,830 | ||||||||
Northrop Grumman Corp. | 1,300 | 107,107 | ||||||||
Precision Castparts Corp. | 500 | 106,960 | ||||||||
Raytheon Co. | 1,600 | 106,624 | ||||||||
Rolls-Royce Holdings PLC(b) | 8,550 | 155,089 | ||||||||
Rolls-Royce Holdings-prf C | 1,017,450 | 1,546 | ||||||||
Safran SA | 1,300 | 69,101 | ||||||||
Singapore Technologies Engineering Ltd. | 7,000 | 22,604 | ||||||||
United Technologies Corp. | 1,700 | 161,330 | ||||||||
|
| |||||||||
1,369,234 | ||||||||||
|
| |||||||||
Air Freight & Logistics – 0.1% | ||||||||||
Deutsche Post AG | 3,970 | 100,043 | ||||||||
FedEx Corp. | 1,000 | 96,340 | ||||||||
United Parcel Service, Inc. – Class B | 1,400 | 120,260 | ||||||||
Yamato Holdings Co., Ltd. | 1,400 | 25,706 | ||||||||
|
| |||||||||
342,349 | ||||||||||
|
| |||||||||
Airlines – 0.0% | ||||||||||
ANA Holdings Inc | 11,000 | 23,087 | ||||||||
Japan Airlines Co., Ltd. | 500 | 25,629 | ||||||||
Singapore Airlines Ltd. | 2,000 | 16,879 | ||||||||
|
| |||||||||
65,595 | ||||||||||
|
| |||||||||
Building Products – 0.0% | ||||||||||
Asahi Glass Co., Ltd. | 3,000 | 21,352 | ||||||||
Assa Abloy AB | 800 | 32,063 | ||||||||
Cie de St-Gobain | 1,630 | 70,793 | ||||||||
Daikin Industries Ltd. | 900 | 39,023 | ||||||||
LIXIL Group Corp. | 1,000 | 23,838 | ||||||||
|
| |||||||||
187,069 | ||||||||||
|
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 23 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Commercial Services & Supplies – 0.0% | ||||||||||
Brambles Ltd. | 9,010 | $ | 78,486 | |||||||
Secom Co., Ltd. | 400 | 20,171 | ||||||||
Waste Management, Inc. | 2,700 | 113,211 | ||||||||
|
| |||||||||
211,868 | ||||||||||
|
| |||||||||
Construction & Engineering – 0.0% | ||||||||||
JGC Corp. | 1,000 | 33,178 | ||||||||
Vinci SA | 1,260 | 64,619 | ||||||||
|
| |||||||||
97,797 | ||||||||||
|
| |||||||||
Electrical Equipment – 0.1% | ||||||||||
ABB Ltd. (REG)(b) | 8,240 | 180,290 | ||||||||
Eaton Corp. PLC | 1,900 | 125,514 | ||||||||
Emerson Electric Co. | 1,800 | 103,428 | ||||||||
Mitsubishi Electric Corp. | 4,000 | 37,623 | ||||||||
Nidec Corp. | 300 | 20,326 | ||||||||
Schneider Electric SA | 1,030 | 81,505 | ||||||||
Sumitomo Electric Industries Ltd. | 2,100 | 25,121 | ||||||||
|
| |||||||||
573,807 | ||||||||||
|
| |||||||||
Industrial Conglomerates – 0.2% | ||||||||||
3M Co. | 1,300 | 143,351 | ||||||||
Danaher Corp. | 1,600 | 98,912 | ||||||||
General Electric Co. | 21,200 | 494,384 | ||||||||
Hutchison Whampoa Ltd. | 4,000 | 42,345 | ||||||||
Keppel Corp., Ltd. | 3,000 | 24,832 | ||||||||
Koninklijke Philips NV | 2,050 | 58,048 | ||||||||
Siemens AG | 1,620 | 170,768 | ||||||||
|
| |||||||||
1,032,640 | ||||||||||
|
| |||||||||
Machinery – 0.2% | ||||||||||
Alfa Laval AB | 920 | 19,997 | ||||||||
Andritz AG | 140 | 7,623 | ||||||||
Atlas Copco AB | 1,220 | 28,748 | ||||||||
Atlas Copco AB – Class A | 1,320 | 34,837 | ||||||||
Caterpillar, Inc. | 1,300 | 111,540 | ||||||||
Cummins, Inc. | 1,000 | 119,630 | ||||||||
Deere & Co. | 1,000 | 87,110 | ||||||||
FANUC Corp. | 400 | 58,906 | ||||||||
Fiat Industrial SpA | 3,460 | 39,795 | ||||||||
Illinois Tool Works, Inc. | 1,500 | 105,195 | ||||||||
Komatsu Ltd. | 1,800 | 45,075 | ||||||||
Kone Oyj | 310 | 27,233 | ||||||||
Kubota Corp. | 2,000 | 28,968 | ||||||||
Makita Corp. | 500 | 26,697 | ||||||||
Mitsubishi Heavy Industries Ltd. | 6,000 | 36,727 | ||||||||
PACCAR, Inc. | 1,000 | 53,600 | ||||||||
Sandvik AB | 1,980 | 27,736 | ||||||||
SembCorp Marine Ltd. | 3,000 | 10,244 | ||||||||
SKF AB | 1,160 | 28,126 |
24 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
SMC Corp./Japan | 100 | $ | 18,964 | |||||||
Volvo AB – Class B | 2,740 | 39,985 | ||||||||
Wartsila Oyj Abp | 570 | 26,549 | ||||||||
|
| |||||||||
983,285 | ||||||||||
|
| |||||||||
Marine – 0.0% | ||||||||||
AP Moeller – Maersk A/S | 10 | 71,461 | ||||||||
|
| |||||||||
Professional Services – 0.0% | ||||||||||
Experian PLC | 6,990 | 128,556 | ||||||||
|
| |||||||||
Road & Rail – 0.2% | ||||||||||
Canadian National Railway Co. | 900 | 91,333 | ||||||||
Canadian Pacific Railway Ltd. | 600 | 79,772 | ||||||||
Central Japan Railway Co. | 284 | 31,268 | ||||||||
CSX Corp. | 4,200 | 105,882 | ||||||||
East Japan Railway Co. | 700 | 51,835 | ||||||||
Hankyu Hanshin Holdings, Inc. | 4,000 | 21,250 | ||||||||
Kintetsu Corp. | 6,000 | 24,829 | ||||||||
MTR Corp., Ltd. | 6,000 | 23,668 | ||||||||
Norfolk Southern Corp. | 1,300 | 99,567 | ||||||||
Odakyu Electric Railway Co., Ltd. | 2,000 | 19,445 | ||||||||
Tobu Railway Co., Ltd. | 4,000 | 20,727 | ||||||||
Tokyu Corp. | 4,000 | 24,900 | ||||||||
Union Pacific Corp. | 900 | 139,158 | ||||||||
West Japan Railway Co. | 518 | 21,543 | ||||||||
|
| |||||||||
755,177 | ||||||||||
|
| |||||||||
Trading Companies & | ||||||||||
ITOCHU Corp. | 3,000 | 37,178 | ||||||||
Marubeni Corp. | 3,000 | 20,714 | ||||||||
Mitsubishi Corp. | 2,800 | 48,391 | ||||||||
Mitsui & Co., Ltd. | 3,400 | 42,581 | ||||||||
Sumitomo Corp. | 2,200 | 27,506 | ||||||||
Toyota Tsusho Corp. | 1,000 | 26,461 | ||||||||
WW Grainger, Inc. | 300 | 77,232 | ||||||||
|
| |||||||||
280,063 | ||||||||||
|
| |||||||||
Transportation Infrastructure – 0.0% | ||||||||||
Abertis Infraestructuras SA | 2,380 | 42,647 | ||||||||
Auckland International Airport Ltd. | 1,830 | 4,366 | ||||||||
Koninklijke Vopak NV | 420 | 25,342 | ||||||||
Transurban Group | 5,210 | 34,366 | ||||||||
|
| |||||||||
106,721 | ||||||||||
|
| |||||||||
6,205,622 | ||||||||||
|
| |||||||||
Consumer Staples – 1.2% | ||||||||||
Beverages – 0.2% | ||||||||||
Anheuser-Busch InBev NV | 1,580 | 145,495 | ||||||||
Asahi Group Holdings Ltd. | 900 | 21,579 | ||||||||
Carlsberg A/S | 210 | 19,943 |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 25 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Coca-Cola Amatil Ltd. | 2,360 | $ | 29,009 | |||||||
Coca-Cola Co. (The) | 8,000 | 319,920 | ||||||||
Coca-Cola HBC AG(b) | 400 | 11,231 | ||||||||
Diageo PLC | 4,930 | 145,632 | ||||||||
Heineken Holding NV | 750 | 44,257 | ||||||||
Heineken NV | 610 | 42,437 | ||||||||
Kirin Holdings Co., Ltd. | 2,000 | 32,578 | ||||||||
PepsiCo, Inc. | 3,100 | 250,387 | ||||||||
Pernod-Ricard SA | 510 | 61,252 | ||||||||
SABMiller PLC | 2,820 | 141,872 | ||||||||
|
| |||||||||
1,265,592 | ||||||||||
|
| |||||||||
Food & Staples Retailing – 0.2% | ||||||||||
Aeon Co., Ltd. | 2,000 | 23,343 | ||||||||
Carrefour SA | 1,310 | 38,354 | ||||||||
Colruyt SA | 330 | 16,846 | ||||||||
Costco Wholesale Corp. | 900 | 98,703 | ||||||||
CVS Caremark Corp. | 2,600 | 149,708 | ||||||||
Jeronimo Martins SGPS SA | 430 | 9,174 | ||||||||
Lawson, Inc. | 300 | 21,824 | ||||||||
Loblaw Cos. Ltd. | 1,500 | 71,907 | ||||||||
Seven & I Holdings Co., Ltd. | 1,500 | 50,951 | ||||||||
Sysco Corp. | 2,800 | 94,640 | ||||||||
Tesco PLC | 20,310 | 112,464 | ||||||||
Wal-Mart Stores, Inc. | 3,700 | 276,908 | ||||||||
Walgreen Co. | 2,500 | 119,400 | ||||||||
Wesfarmers Ltd. | 1,980 | 73,979 | ||||||||
Whole Foods Market, Inc. | 1,200 | 62,232 | ||||||||
Woolworths Ltd. | 2,420 | 76,090 | ||||||||
|
| |||||||||
1,296,523 | ||||||||||
|
| |||||||||
Food Products – 0.3% | ||||||||||
Ajinomoto Co., Inc. | 1,000 | 13,768 | ||||||||
Archer-Daniels-Midland Co. | 3,100 | 99,913 | ||||||||
Danone SA | 1,140 | 84,172 | ||||||||
General Mills, Inc. | 2,200 | 103,576 | ||||||||
HJ Heinz Co. | 700 | 50,652 | ||||||||
Kellogg Co. | 1,700 | 105,485 | ||||||||
Kerry Group PLC | 300 | 17,040 | ||||||||
Kraft Foods Group, Inc. | 1,900 | 104,747 | ||||||||
Mondelez International, Inc. | 3,300 | 97,218 | ||||||||
Nestle SA | 6,500 | 430,590 | ||||||||
Orkla ASA | 1,830 | 15,408 | ||||||||
Saputo, Inc. | 600 | 29,330 | ||||||||
Unilever NV | 3,210 | 131,141 | ||||||||
Unilever PLC | 3,190 | 133,997 | ||||||||
Wilmar International Ltd. | 7,000 | 17,955 | ||||||||
Yakult Honsha Co., Ltd. | 500 | 21,314 | ||||||||
|
| |||||||||
1,456,306 | ||||||||||
|
|
26 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Household Products – 0.2% | ||||||||||
Colgate-Palmolive Co. | 1,800 | $ | 104,112 | |||||||
Kimberly-Clark Corp. | 1,000 | 96,830 | ||||||||
Procter & Gamble Co. (The) | 5,400 | 414,504 | ||||||||
Reckitt Benckiser Group PLC | 2,040 | 145,877 | ||||||||
Svenska Cellulosa AB – Class B | 1,450 | 36,032 | ||||||||
Unicharm Corp. | 400 | 22,369 | ||||||||
|
| |||||||||
819,724 | ||||||||||
|
| |||||||||
Personal Products – 0.1% | ||||||||||
Beiersdorf AG | 960 | 86,579 | ||||||||
Estee Lauder Cos., Inc. (The) – Class A | 1,400 | 94,892 | ||||||||
Kao Corp. | 1,000 | 31,338 | ||||||||
L’Oreal SA | 480 | 80,914 | ||||||||
Shiseido Co., Ltd. | 800 | 11,368 | ||||||||
|
| |||||||||
305,091 | ||||||||||
|
| |||||||||
Tobacco – 0.2% | ||||||||||
Altria Group, Inc. | 4,000 | 144,400 | ||||||||
British American Tobacco PLC | 3,850 | 211,552 | ||||||||
Japan Tobacco, Inc. | 1,773 | 60,341 | ||||||||
Philip Morris International, Inc. | 3,400 | 309,094 | ||||||||
Reynolds American, Inc. | 2,100 | 101,031 | ||||||||
Swedish Match AB | 320 | 11,087 | ||||||||
|
| |||||||||
837,505 | ||||||||||
|
| |||||||||
5,980,741 | ||||||||||
|
| |||||||||
Energy – 1.1% | ||||||||||
Energy Equipment & Services – 0.1% | ||||||||||
Baker Hughes, Inc. | 1,900 | 86,412 | ||||||||
Fugro NV | 280 | 16,645 | ||||||||
Halliburton Co. | 2,500 | 104,625 | ||||||||
National Oilwell Varco, Inc. | 1,100 | 77,330 | ||||||||
Schlumberger Ltd. | 2,600 | 189,878 | ||||||||
Seadrill Ltd. | 750 | 30,333 | ||||||||
Subsea 7 SA | 740 | 16,300 | ||||||||
Technip SA | 280 | 31,126 | ||||||||
Tenaris SA | 1,780 | 37,407 | ||||||||
Transocean Ltd. | 2,830 | 142,116 | ||||||||
|
| |||||||||
732,172 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels – 1.0% | ||||||||||
Anadarko Petroleum Corp. | 1,200 | 104,964 | ||||||||
Apache Corp. | 1,000 | 82,130 | ||||||||
BG Group PLC | 6,690 | 122,093 | ||||||||
BP PLC | 37,480 | 267,877 | ||||||||
Canadian Natural Resources Ltd. | 2,200 | 65,570 | ||||||||
Cenovus Energy, Inc. | 1,500 | 44,910 | ||||||||
Chevron Corp. | 4,000 | 491,000 | ||||||||
ConocoPhillips | 2,400 | 147,216 | ||||||||
Crescent Point Energy Corp. | 1,200 | 43,451 |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 27 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Devon Energy Corp. | 1,500 | $ | 85,275 | |||||||
Enbridge, Inc. | 1,500 | 65,064 | ||||||||
EnCana Corp. | 2,300 | 43,859 | ||||||||
ENI SpA | 5,010 | 113,935 | ||||||||
EOG Resources, Inc. | 800 | 103,280 | ||||||||
Exxon Mobil Corp. | 9,400 | 850,418 | ||||||||
Galp Energia SGPS SA | 460 | 7,528 | ||||||||
Hess Corp. | 1,500 | 101,115 | ||||||||
Husky Energy, Inc. | 1,800 | 50,853 | ||||||||
Imperial Oil Ltd. | 1,100 | 42,960 | ||||||||
Inpex Corp. | 4 | 17,028 | ||||||||
JX Holdings, Inc. | 4,000 | 19,433 | ||||||||
Kinder Morgan, Inc./DE | 2,500 | 94,950 | ||||||||
Lundin Petroleum AB(b) | 550 | 11,397 | ||||||||
Marathon Oil Corp. | 2,900 | 99,731 | ||||||||
Marathon Petroleum Corp. | 1,600 | 132,000 | ||||||||
Occidental Petroleum Corp. | 1,600 | 147,312 | ||||||||
OMV AG | 290 | 13,377 | ||||||||
Origin Energy Ltd. | 3,970 | 50,577 | ||||||||
Phillips 66 | 1,900 | 126,483 | ||||||||
Repsol SA | 1,610 | 36,634 | ||||||||
Royal Dutch Shell PLC – Class A | 7,280 | 242,285 | ||||||||
Royal Dutch Shell PLC – Class B | 5,210 | 179,604 | ||||||||
Spectra Energy Corp. | 3,000 | 91,710 | ||||||||
Statoil ASA | 2,200 | 49,675 | ||||||||
Suncor Energy, Inc. (Toronto) | 3,100 | 94,039 | ||||||||
Talisman Energy, Inc. | 4,000 | 46,800 | ||||||||
TonenGeneral Sekiyu KK | 2,000 | 19,649 | ||||||||
Total SA | 4,190 | 209,430 | ||||||||
TransCanada Corp. | 1,400 | 64,224 | ||||||||
Tullow Oil PLC | 2,830 | 44,536 | ||||||||
Valero Energy Corp. | 1,400 | 56,882 | ||||||||
Williams Cos., Inc. (The) | 2,500 | 87,950 | ||||||||
Woodside Petroleum Ltd. | 1,870 | 63,737 | ||||||||
|
| |||||||||
4,832,941 | ||||||||||
|
| |||||||||
5,565,113 | ||||||||||
|
| |||||||||
Materials – 0.6% | ||||||||||
Chemicals – 0.4% | ||||||||||
Agrium, Inc. (Toronto) | 500 | 46,231 | ||||||||
Air Liquide SA | 620 | 79,728 | ||||||||
Air Products & Chemicals, Inc. | 600 | 56,646 | ||||||||
Akzo Nobel NV | 580 | 37,102 | ||||||||
Asahi Kasei Corp. | 4,000 | 26,902 | ||||||||
BASF SE | 1,810 | 175,417 | ||||||||
Dow Chemical Co. (The) | 3,000 | 103,380 | ||||||||
Ecolab, Inc. | 1,300 | 109,811 | ||||||||
EI du Pont de Nemours & Co. | 1,800 | 100,422 | ||||||||
Israel Chemicals Ltd. | 1,120 | 12,457 |
28 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Kuraray Co., Ltd. | 2,000 | $ | 28,439 | |||||||
Linde AG | 490 | 93,856 | ||||||||
LyondellBasell Industries NV | 1,600 | 106,640 | ||||||||
Mitsubishi Chemical Holdings Corp. | 5,500 | 26,028 | ||||||||
Monsanto Co. | 1,100 | 110,704 | ||||||||
Mosaic Co. (The) | 1,600 | 97,312 | ||||||||
Nitto Denko Corp. | 500 | 29,684 | ||||||||
Novozymes A/S | 520 | 18,009 | ||||||||
Potash Corp. of Saskatchewan, Inc. | 1,700 | 71,903 | ||||||||
PPG Industries, Inc. | 800 | 122,888 | ||||||||
Praxair, Inc. | 800 | 91,464 | ||||||||
Shin-Etsu Chemical Co., Ltd. | 800 | 50,121 | ||||||||
Solvay SA | 150 | 21,651 | ||||||||
Sumitomo Chemical Co., Ltd. | 8,000 | 25,119 | ||||||||
Syngenta AG | 350 | 136,534 | ||||||||
Toray Industries, Inc. | 4,000 | 27,362 | ||||||||
Umicore SA | 180 | 8,600 | ||||||||
Yara International ASA | 540 | 24,113 | ||||||||
|
| |||||||||
1,838,523 | ||||||||||
|
| |||||||||
Construction Materials – 0.0% | ||||||||||
CRH PLC | 1,420 | 29,986 | ||||||||
Fletcher Building Ltd. | 1,350 | 8,932 | ||||||||
Lafarge SA | 630 | 44,926 | ||||||||
|
| |||||||||
83,844 | ||||||||||
|
| |||||||||
Metals & Mining – 0.2% | ||||||||||
Anglo American PLC | 3,930 | 90,045 | ||||||||
ArcelorMittal (Euronext Amsterdam) | 2,410 | 30,456 | ||||||||
Barrick Gold Corp. | 2,000 | 42,016 | ||||||||
BHP Billiton Ltd. | 6,350 | 207,306 | ||||||||
BHP Billiton PLC | 4,160 | 119,621 | ||||||||
Boliden AB | 90 | 1,283 | ||||||||
Fortescue Metals Group Ltd. | 13,680 | 42,687 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. | 2,100 | 65,205 | ||||||||
Glencore Xstrata PLC | 23,036 | 112,032 | ||||||||
Goldcorp, Inc. | 1,600 | 47,487 | ||||||||
JFE Holdings, Inc. | 1,600 | 32,882 | ||||||||
Kinross Gold Corp. | 5,100 | 33,451 | ||||||||
Newcrest Mining Ltd. | 2,330 | 31,832 | ||||||||
Newmont Mining Corp. | 1,600 | 54,848 | ||||||||
Nippon Steel & Sumitomo Metal Corp. | 15,000 | 37,604 | ||||||||
Rio Tinto Ltd. | 1,150 | 59,574 | ||||||||
Rio Tinto PLC | 2,640 | 112,756 | ||||||||
Silver Wheaton Corp. | 1,300 | 30,834 | ||||||||
Sumitomo Metal Mining Co., Ltd. | 2,000 | 25,132 | ||||||||
Teck Resources Ltd. | 1,700 | 45,404 | ||||||||
ThyssenKrupp AG(b) | 1,900 | 37,680 | ||||||||
Voestalpine AG | 210 | 6,959 |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 29 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Yamana Gold, Inc. | 2,700 | $ | 31,824 | |||||||
|
| |||||||||
1,298,918 | ||||||||||
|
| |||||||||
Paper & Forest Products – 0.0% | ||||||||||
UPM-Kymmene Oyj | 1,620 | 17,248 | ||||||||
|
| |||||||||
3,238,533 | ||||||||||
|
| |||||||||
Telecommunication Services – 0.4% | ||||||||||
Diversified Telecommunication | ||||||||||
AT&T, Inc. | 11,700 | 409,383 | ||||||||
BCE, Inc. | 1,200 | 53,926 | ||||||||
Belgacom SA | 530 | 11,875 | ||||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 8,820 | 11,410 | ||||||||
BT Group PLC | 17,670 | 80,408 | ||||||||
CenturyLink, Inc. | 2,300 | 78,545 | ||||||||
Deutsche Telekom AG | 5,530 | 62,978 | ||||||||
Elisa Oyj | 510 | 9,662 | ||||||||
France Telecom SA | 4,620 | 46,854 | ||||||||
Koninklijke KPN NV | 2,500 | 4,806 | ||||||||
Nippon Telegraph & Telephone Corp. | 900 | 44,388 | ||||||||
Portugal Telecom SGPS SA | 1,230 | 5,219 | ||||||||
Singapore Telecommunications Ltd. | 16,000 | 47,243 | ||||||||
Telecom Corp. of New Zealand Ltd. | 3,730 | 6,825 | ||||||||
Telecom Italia SpA (ordinary shares) | 28,930 | 22,395 | ||||||||
Telefonica SA(b) | 7,940 | 109,246 | ||||||||
Telekom Austria AG | 620 | 4,237 | ||||||||
Telenor ASA | 1,420 | 29,869 | ||||||||
TeliaSonera AB | 4,260 | 28,469 | ||||||||
Telstra Corp., Ltd. | 8,580 | 38,796 | ||||||||
Verizon Communications, Inc. | 5,700 | 276,336 | ||||||||
Vivendi SA | 2,290 | 44,821 | ||||||||
|
| |||||||||
1,427,691 | ||||||||||
|
| |||||||||
Wireless Telecommunication | ||||||||||
Crown Castle International Corp.(b) | 1,100 | 78,375 | ||||||||
KDDI Corp. | 1,060 | 47,821 | ||||||||
Millicom International Cellular SA | 240 | 19,132 | ||||||||
NTT DoCoMo, Inc. | 30 | 43,831 | ||||||||
Rogers Communications, Inc. | 600 | 27,201 | ||||||||
Softbank Corp. | 2,000 | 99,970 | ||||||||
Vodafone Group PLC | 97,210 | 281,725 | ||||||||
|
| |||||||||
598,055 | ||||||||||
|
| |||||||||
2,025,746 | ||||||||||
|
| |||||||||
Utilities – 0.4% | ||||||||||
Electric Utilities – 0.2% | ||||||||||
American Electric Power Co., Inc. | 2,000 | 91,640 | ||||||||
Cheung Kong Infrastructure Holdings Ltd. | 2,000 | 13,864 | ||||||||
Chubu Electric Power Co., Inc. | 1,800 | 23,259 | ||||||||
Chugoku Electric Power Co., Inc. (The) | 1,700 | 23,128 | ||||||||
CLP Holdings Ltd. | 3,500 | 29,449 |
30 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
Contact Energy Ltd. | 910 | $ | 3,722 | |||||||
Duke Energy Corp. | 1,400 | 93,702 | ||||||||
EDP – Energias de Portugal SA | 3,760 | 12,125 | ||||||||
Electricite de France SA | 1,300 | 29,500 | ||||||||
Enel SpA | 12,970 | 48,818 | ||||||||
Exelon Corp. | 2,400 | 75,216 | ||||||||
FirstEnergy Corp. | 2,000 | 78,020 | ||||||||
Fortis, Inc. | 800 | 25,472 | ||||||||
Fortum Oyj | 880 | 16,506 | ||||||||
Iberdrola SA | 11,780 | 63,719 | ||||||||
Kansai Electric Power Co., Inc. (The)(b) | 2,800 | 32,962 | ||||||||
NextEra Energy, Inc. | 1,200 | 90,744 | ||||||||
Power Assets Holdings Ltd. | 2,500 | 21,882 | ||||||||
PPL Corp. | 3,000 | 89,100 | ||||||||
Southern Co. (The) | 1,900 | 83,410 | ||||||||
Verbund AG | 210 | 4,376 | ||||||||
|
| |||||||||
950,614 | ||||||||||
|
| |||||||||
Gas Utilities – 0.0% | ||||||||||
Hong Kong & China Gas Co., Ltd. | 10,000 | 28,257 | ||||||||
Osaka Gas Co., Ltd. | 5,000 | 20,190 | ||||||||
Snam SpA | 6,800 | 32,248 | ||||||||
Tokyo Gas Co., Ltd. | 5,000 | 26,884 | ||||||||
|
| |||||||||
107,579 | ||||||||||
|
| |||||||||
Independent Power Producers & Energy Traders – 0.0% | ||||||||||
Electric Power Development Co., Ltd. | 103 | 3,240 | ||||||||
|
| |||||||||
Multi-Utilities – 0.2% | ||||||||||
AGL Energy Ltd. | 2,170 | 29,721 | ||||||||
Centrica PLC | 15,970 | 91,839 | ||||||||
Consolidated Edison, Inc. | 1,500 | 85,605 | ||||||||
Dominion Resources, Inc./VA | 1,700 | 96,135 | ||||||||
E.ON SE | 3,580 | 60,327 | ||||||||
GDF Suez | 2,520 | 51,393 | ||||||||
National Grid PLC | 10,690 | 127,109 | ||||||||
PG&E Corp. | 2,100 | 94,311 | ||||||||
Public Service Enterprise Group, Inc. | 1,400 | 46,256 | ||||||||
RWE AG | 1,020 | 34,803 | ||||||||
|
| |||||||||
717,499 | ||||||||||
|
| |||||||||
1,778,932 | ||||||||||
|
| |||||||||
Total Common Stocks | 55,787,288 | |||||||||
|
| |||||||||
Principal Amount (000) | ||||||||||
CORPORATES – INVESTMENT | ||||||||||
Industrial – 2.8% | ||||||||||
Basic – 0.3% | ||||||||||
AngloGold Ashanti Holdings PLC | U.S.$ | 191 | 196,558 |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 31 |
Portfolio of Investments
Principal (000) | U.S. $ Value | |||||||||
|
|
| ||||||||
Dow Chemical Co. (The) | U.S.$ | 55 | $ | 58,480 | ||||||
8.55%, 5/15/19 | 177 | 235,507 | ||||||||
LyondellBasell Industries NV | 400 | 465,375 | ||||||||
Vale SA | 415 | 386,927 | ||||||||
|
| |||||||||
1,342,847 | ||||||||||
|
| |||||||||
Capital Goods – 0.2% | ||||||||||
Embraer SA | 111 | 117,937 | ||||||||
Owens Corning | 353 | 397,289 | ||||||||
Republic Services, Inc. | 218 | 248,414 | ||||||||
5.50%, 9/15/19 | 153 | 177,426 | ||||||||
|
| |||||||||
941,066 | ||||||||||
|
| |||||||||
Communications - Media – 0.5% | ||||||||||
CBS Corp. | 111 | 111,121 | ||||||||
5.75%, 4/15/20 | 96 | 111,533 | ||||||||
8.875%, 5/15/19 | 174 | 229,652 | ||||||||
Comcast Corp. | 95 | 111,809 | ||||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc. | 220 | 223,111 | ||||||||
4.60%, 2/15/21 | 175 | 188,736 | ||||||||
4.75%, 10/01/14 | 80 | 84,017 | ||||||||
Globo Comunicaca o e Participacoes SA | 365 | 386,900 | ||||||||
News America, Inc. | 276 | 319,632 | ||||||||
Omnicom Group, Inc. | 125 | 125,612 | ||||||||
Reed Elsevier Capital, Inc. | 290 | 369,587 | ||||||||
WPP Finance UK | 323 | 350,846 | ||||||||
|
| |||||||||
2,612,556 | ||||||||||
|
| |||||||||
Communications - | ||||||||||
AT&T, Inc. | 115 | 114,648 | ||||||||
4.45%, 5/15/21 | 225 | 251,106 | ||||||||
British Telecommunications PLC | 330 | 337,889 | ||||||||
5.95%, 1/15/18 | 115 | 134,989 | ||||||||
Deutsche Telekom International Finance BV | 370 | 375,204 |
32 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
|
|
| ||||||||
Telefonica Emisiones SAU | U.S.$ | 140 | $ | 150,936 | ||||||
Vodafone Group PLC | 285 | 339,392 | ||||||||
|
| |||||||||
1,704,164 | ||||||||||
|
| |||||||||
Consumer Cyclical - | ||||||||||
Harley-Davidson Funding Corp. | 323 | 346,050 | ||||||||
|
| |||||||||
Consumer Cyclical - | ||||||||||
Viacom, Inc. | 80 | 94,204 | ||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||
Host Hotels & Resorts LP | 145 | 158,973 | ||||||||
Marriott International, Inc./DE | 327 | 338,124 | ||||||||
|
| |||||||||
497,097 | ||||||||||
|
| |||||||||
Consumer Cyclical - | ||||||||||
Dollar General Corp. | 69 | 74,883 | ||||||||
|
| |||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||
Actavis, Inc. | 150 | 147,386 | ||||||||
Ahold Finance USA LLC | 325 | 408,840 | ||||||||
Kroger Co. (The) | 297 | 301,440 | ||||||||
Tyson Foods, Inc. | 187 | 199,430 | ||||||||
|
| |||||||||
1,057,096 | ||||||||||
|
| |||||||||
Energy – 0.6% | ||||||||||
Encana Corp. | 435 | 456,384 | ||||||||
Marathon Petroleum Corp. | 63 | 66,809 | ||||||||
5.125%, 3/01/21 | 239 | 274,188 | ||||||||
Nabors Industries, Inc. | 302 | 381,725 | ||||||||
Noble Energy, Inc. | 355 | 459,380 | ||||||||
Noble Holding International Ltd. | 41 | 44,821 | ||||||||
Phillips 66 | 370 | 398,988 |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 33 |
Portfolio of Investments
Principal (000) | U.S. $ Value | |||||||||
|
|
| ||||||||
Transocean, Inc. | U.S.$ | 184 | $ | 185,699 | ||||||
Valero Energy Corp. | 207 | 248,242 | ||||||||
Weatherford International Ltd./Bermuda | ||||||||||
5.125%, 9/15/20 | 55 | 59,338 | ||||||||
9.625%, 3/01/19 | 280 | 363,931 | ||||||||
|
| |||||||||
2,939,505 | ||||||||||
|
| |||||||||
Technology – 0.2% | ||||||||||
Agilent Technologies, Inc. | 81 | 89,770 | ||||||||
Hewlett-Packard Co. | 167 | 171,969 | ||||||||
Intel Corp. | 105 | 107,895 | ||||||||
Motorola Solutions, Inc. | 90 | 113,207 | ||||||||
Telefonaktiebolaget LM Ericsson | 405 | 414,902 | ||||||||
|
| |||||||||
897,743 | ||||||||||
|
| |||||||||
Transportation - Airlines – 0.1% | ||||||||||
Southwest Airlines Co. | 357 | 375,759 | ||||||||
|
| |||||||||
Transportation - Railroads – 0.1% | ||||||||||
CSX Corp. | 350 | 354,715 | ||||||||
|
| |||||||||
Transportation - Services – 0.1% | ||||||||||
Asciano Finance Ltd. | 440 | 453,070 | ||||||||
Ryder System, Inc. | 164 | 184,932 | ||||||||
7.20%, 9/01/15 | 147 | 165,968 | ||||||||
|
| |||||||||
803,970 | ||||||||||
|
| |||||||||
14,041,655 | ||||||||||
|
| |||||||||
Financial Institutions – 2.4% | ||||||||||
Banking – 1.4% | ||||||||||
Bank of America Corp. | 170 | 196,368 | ||||||||
5.70%, 1/24/22 | 425 | 488,001 | ||||||||
5.875%, 2/07/42 | 365 | 427,386 | ||||||||
Barclays Bank PLC | 260 | 296,821 | ||||||||
Citigroup, Inc. | 192 | 220,974 | ||||||||
Countrywide Financial Corp. | 143 | 158,830 | ||||||||
DNB Bank ASA | 365 | 384,285 |
34 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Principal (000) | U.S. $ Value | |||||||||
|
|
| ||||||||
Fifth Third Bancorp | U.S.$ | 141 | $ | 144,725 | ||||||
Goldman Sachs Group, Inc. (The) | 145 | 165,988 | ||||||||
6.00%, 6/15/20 | 365 | 427,359 | ||||||||
Series G | ||||||||||
7.50%, 2/15/19 | 400 | 495,777 | ||||||||
HSBC Holdings PLC | 385 | 408,187 | ||||||||
5.10%, 4/05/21 | 223 | 254,131 | ||||||||
ING Bank NV | 415 | 421,597 | ||||||||
JPMorgan Chase & Co. | 200 | 216,805 | ||||||||
Macquarie Bank Ltd. | 73 | 80,150 | ||||||||
Macquarie Group Ltd. | 147 | 160,103 | ||||||||
Morgan Stanley | 208 | 234,585 | ||||||||
6.625%, 4/01/18 | 390 | 459,030 | ||||||||
Series G | ||||||||||
5.50%, 7/24/20 | 160 | 180,584 | ||||||||
Nationwide Building Society | 425 | 496,659 | ||||||||
PNC Funding Corp. | 190 | 219,092 | ||||||||
Societe Generale SA | 140 | 141,190 | ||||||||
UBS AG/Stamford CT | 330 | 376,222 | ||||||||
Unicredit Luxembourg Finance SA | 235 | 244,870 | ||||||||
Vesey Street Investment Trust I | 101 | 109,048 | ||||||||
|
| |||||||||
7,408,767 | ||||||||||
|
| |||||||||
Finance – 0.0% | ||||||||||
General Electric Capital Corp. | 146 | 161,314 | ||||||||
|
| |||||||||
Insurance – 0.8% | ||||||||||
Allied World Assurance Co., Ltd. | 165 | 194,517 | ||||||||
American International Group, Inc. | ||||||||||
4.875%, 6/01/22 | 75 | 82,773 | ||||||||
6.40%, 12/15/20 | 340 | 411,005 | ||||||||
Coventry Health Care, Inc. | ||||||||||
5.95%, 3/15/17 | 130 | 148,968 | ||||||||
6.30%, 8/15/14 | 260 | 276,509 |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 35 |
Portfolio of Investments
Principal (000) | U.S. $ Value | |||||||||
|
|
| ||||||||
Guardian Life Insurance Co. of America | U.S.$ | 247 | $ | 330,355 | ||||||
Hartford Financial Services Group, Inc. | ||||||||||
4.00%, 3/30/15 | 120 | 126,228 | ||||||||
5.50%, 3/30/20 | 207 | 240,631 | ||||||||
Humana, Inc. | 355 | 427,483 | ||||||||
Lincoln National Corp. | 172 | 229,049 | ||||||||
Massachusetts Mutual Life Insurance Co. | 130 | 199,100 | ||||||||
MetLife Capital Trust IV | 260 | 328,250 | ||||||||
MetLife, Inc. | 158 | 204,839 | ||||||||
Nationwide Mutual Insurance Co. | 493 | 504,093 | ||||||||
WellPoint, Inc. | 148 | 146,905 | ||||||||
XL Group PLC | 68 | 71,597 | ||||||||
|
| |||||||||
3,922,302 | ||||||||||
|
| |||||||||
Other Finance – 0.1% | ||||||||||
ORIX Corp. | 272 | 286,933 | ||||||||
|
| |||||||||
REITS – 0.1% | ||||||||||
Healthcare Realty Trust, Inc. | 230 | 260,855 | ||||||||
|
| |||||||||
12,040,171 | ||||||||||
|
| |||||||||
Utility – 0.9% | ||||||||||
Electric – 0.3% | ||||||||||
CMS Energy Corp. | 119 | 134,365 | ||||||||
Constellation Energy Group, Inc. | 69 | 78,093 | ||||||||
MidAmerican Energy Holdings Co. | 300 | 361,138 | ||||||||
Pacific Gas & Electric Co. | 140 | 142,398 | ||||||||
SPI Electricity & Gas Australia Holdings Pty Ltd. | 385 | 392,995 | ||||||||
TECO Finance, Inc. | ||||||||||
4.00%, 3/15/16 | 135 | 144,692 | ||||||||
5.15%, 3/15/20 | 160 | 182,000 | ||||||||
|
| |||||||||
1,435,681 | ||||||||||
|
|
36 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
|
|
| ||||||||||
Natural Gas – 0.6% | ||||||||||||
DCP Midstream LLC | U.S.$ | 181 | $ | 196,938 | ||||||||
Energy Transfer Partners LP | 370 | 443,863 | ||||||||||
Enterprise Products Operating LLC | 63 | 72,798 | ||||||||||
Kinder Morgan Energy Partners LP | ||||||||||||
3.95%, 9/01/22 | 362 | 374,184 | ||||||||||
4.15%, 3/01/22 | 116 | 121,362 | ||||||||||
Nisource Finance Corp. | 355 | 428,534 | ||||||||||
ONEOK, Inc. | 360 | 374,265 | ||||||||||
Talent Yield Investments Ltd. | 370 | 389,084 | ||||||||||
TransCanada PipeLines Ltd. | 405 | 433,454 | ||||||||||
Williams Partners LP | 293 | 329,704 | ||||||||||
|
| |||||||||||
3,164,186 | ||||||||||||
|
| |||||||||||
4,599,867 | ||||||||||||
|
| |||||||||||
Total Corporates – Investment Grades | 30,681,693 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENT COMPANIES – 2.5% | ||||||||||||
Funds and Investment Trusts – 2.5% | ||||||||||||
iShares FTSE A50 China Index ETF | 5,429,000 | 7,371,455 | ||||||||||
Market Vectors Gold Miners ETF | 88,596 | 2,614,468 | ||||||||||
WisdomTree Japan Hedged Equity Fund(c) | 49,120 | 2,273,274 | ||||||||||
|
| |||||||||||
Total Investment Companies | 12,259,197 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
AGENCIES – 1.7% | ||||||||||||
Agency Debentures – 1.7% | ||||||||||||
Federal Farm Credit Bank | U.S.$ | 2,700 | 2,700,368 | |||||||||
Federal National Mortgage Association 6.25%, 5/15/29 | 2,651 | 3,649,605 | ||||||||||
Residual Funding Corp. Principal Strip Zero Coupon, 7/15/20 | 2,367 | 2,071,042 | ||||||||||
|
| |||||||||||
Total Agencies | 8,421,015 | |||||||||||
|
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 37 |
Portfolio of Investments
Principal (000) | U.S. $ Value | |||||||||||
|
|
| ||||||||||
MORTGAGE PASS-THROUGHS – 1.4% |
| |||||||||||
Agency Fixed Rate 30-Year – 1.4% | ||||||||||||
Federal National Mortgage Association | ||||||||||||
3.00%, 6/01/40, TBA | U.S.$ | 3,710 | $ | 3,726,231 | ||||||||
3.50%, 6/01/43, TBA | 3,100 | 3,210,074 | ||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 6,936,305 | |||||||||||
|
| |||||||||||
Company | Shares | |||||||||||
PREFERRED STOCKS – 0.9% | ||||||||||||
Financials – 0.9% | ||||||||||||
Real Estate Investment Trusts | ||||||||||||
Hersha Hospitality Trust | 60,000 | 1,560,000 | ||||||||||
Pebblebrook Hotel Trust | 65,950 | 1,630,205 | ||||||||||
Sabra Health Care REIT, Inc. | 53,175 | 1,365,534 | ||||||||||
|
| |||||||||||
Total Preferred Stocks | 4,555,739 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
CORPORATES – NON-INVESTMENT GRADES – 0.2% | ||||||||||||
Industrial – 0.1% | ||||||||||||
Capital Goods – 0.1% | ||||||||||||
B/E Aerospace, Inc. | U.S.$ | 220 | 229,900 | |||||||||
Ball Corp. | 220 | 227,700 | ||||||||||
|
| |||||||||||
457,600 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas | 220 | 231,550 | ||||||||||
|
| |||||||||||
Energy – 0.0% | ||||||||||||
Cimarex Energy Co. | 108 | 115,290 | ||||||||||
|
| |||||||||||
804,440 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.1% | ||||||||||||
Finance – 0.0% | ||||||||||||
SLM Corp. | 160 | 168,400 | ||||||||||
|
|
38 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
|
|
| ||||||||||
Other Finance – 0.1% | ||||||||||||
Aviation Capital Group Corp. | U.S.$ | 192 | $ | 220,520 | ||||||||
|
| |||||||||||
388,920 | ||||||||||||
|
| |||||||||||
Total Corporates – Non-Investment Grades | 1,193,360 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.2% | ||||||||||||
Quasi-Sovereign Bonds – 0.2% | ||||||||||||
Kazakhstan – 0.1% | ||||||||||||
KazMunayGas National Co. JSC | 301 | 351,041 | ||||||||||
|
| |||||||||||
Malaysia – 0.1% | ||||||||||||
Petronas Capital Ltd. | 435 | 499,498 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 850,539 | |||||||||||
|
| |||||||||||
Contracts | ||||||||||||
OPTIONS PURCHASED – | ||||||||||||
Options on Funds and Investment Trusts – 0.0% |
| |||||||||||
Market Vectors Gold Miners ETF | 874 | 16,169 | ||||||||||
|
| |||||||||||
Company | Shares | |||||||||||
RIGHTS – 0.0% | ||||||||||||
Financials – 0.0% | ||||||||||||
Diversified Financial | ||||||||||||
Exor SpA (preferred), expiring 6/05/13(b) | 1,050 | – 0 | – | |||||||||
Exor SpA (savings), expiring 6/05/13(b) | 1,050 | – 0 | – | |||||||||
|
| |||||||||||
Total Rights | – 0 | – | ||||||||||
|
| |||||||||||
SHORT-TERM | ||||||||||||
Investment Companies – 18.3% | ||||||||||||
AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio, 0.09%(f) | 91,821,385 | 91,821,385 | ||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.1% | 496,579,657 | |||||||||||
|
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 39 |
Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
|
|
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.6% | ||||||||||
Investment Companies – 0.6% | ||||||||||
AllianceBernstein Exchange Reserves – | 2,759,971 | $ | 2,759,971 | |||||||
|
| |||||||||
Total Investments – 99.7% | 499,339,628 | |||||||||
Other assets less liabilities – 0.3% | 1,704,908 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 501,044,536 | ||||||||
|
|
FUTURES (see Note D)
Type | Number of Contracts | Expiration Month | Original Value | Value at May 31, 2013 | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Purchased Contracts |
| |||||||||||||||||
10 Yr Canada Govt Bond Futures | 195 | September 2013 | $ | 25,706,434 | $ | 25,446,395 | $ | (260,039 | ) | |||||||||
10 Yr JGB Mini SGX Futures | 275 | June 2013 | 39,709,051 | 39,018,217 | (690,834 | ) | ||||||||||||
Australian T-Bond 10 Yr Futures | 125 | June 2013 | 14,425,128 | 14,626,785 | 201,657 | |||||||||||||
Euro Oat Futures | 67 | June 2013 | 12,133,152 | 11,946,076 | (187,076 | ) | ||||||||||||
Euro STOXX 50 Index Futures | 478 | June 2013 | 16,622,556 | 17,234,315 | 611,759 | |||||||||||||
German Euro Bund Futures | 150 | June 2013 | 28,051,688 | 28,018,051 | (33,637 | ) | ||||||||||||
Long Gilt Futures | 211 | September 2013 | 37,528,936 | 37,127,895 | (401,041 | ) | ||||||||||||
MSCI EAFE Mini Index Futures | 395 | June 2013 | 32,897,014 | 33,361,700 | 464,686 | |||||||||||||
MSCI Emerging Market Mini Futures | 415 | June 2013 | 21,448,965 | 20,519,675 | (929,290 | ) | ||||||||||||
S&P 500 E Mini Index Futures | 241 | June 2013 | 18,726,774 | 19,629,450 | 902,676 | |||||||||||||
S&P TSE 60 Index Futures | 28 | June 2013 | 3,852,670 | 3,918,245 | 65,575 | |||||||||||||
Topix Index Futures | 190 | June 2013 | 19,196,000 | 21,420,039 | 2,224,039 | |||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 153 | September 2013 | 19,947,617 | 19,770,469 | (177,148 | ) | ||||||||||||
Sold Contracts |
| |||||||||||||||||
10 Yr Canada Govt Bond Futures | 135 | September 2013 | 17,797,403 | 17,616,735 | 180,668 | |||||||||||||
10 Yr JGB Mini SGX Futures | 14 | June 2013 | 1,981,133 | 1,986,382 | (5,249 | ) | ||||||||||||
Euro Oat Futures | 78 | June 2013 | 13,858,016 | 13,907,372 | (49,356 | ) | ||||||||||||
German Euro Bobl Futures | 11 | June 2013 | 1,804,984 | 1,801,882 | 3,102 | |||||||||||||
German Euro Bund Futures | 58 | June 2013 | 10,926,722 | 10,833,646 | 93,076 | |||||||||||||
Italian Govt Euro BTP Bond Futures | 49 | June 2013 | 7,064,972 | 7,294,792 | (229,820 | ) | ||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 155 | September 2013 | 20,208,071 | 20,028,906 | 179,165 | |||||||||||||
|
| |||||||||||||||||
$ | 1,962,913 | |||||||||||||||||
|
|
40 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Barclays Bank PLC Wholesale | USD | 208 | NZD | 253 | 6/14/13 | $ | (7,104 | ) | ||||||||||||||||
Barclays Bank PLC Wholesale | USD | 639 | CAD | 666 | 9/17/13 | 1,497 | ||||||||||||||||||
Barclays Bank PLC Wholesale | USD | 642 | GBP | 427 | 9/17/13 | 5,906 | ||||||||||||||||||
BNP Paribas SA | USD | 598 | AUD | 612 | 6/14/13 | (11,308 | ) | |||||||||||||||||
BNP Paribas SA | USD | 205 | NZD | 254 | 6/14/13 | (3,549 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. | USD | 168 | AUD | 171 | 6/14/13 | (3,894 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. | USD | 197 | NZD | 242 | 6/14/13 | (4,803 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. | EUR | 88,538 | USD | 115,039 | 6/27/13 | (51,824 | ) | |||||||||||||||||
Credit Suisse International | AUD | 176 | USD | 180 | 6/14/13 | 11,612 | ||||||||||||||||||
Credit Suisse International | NZD | 191 | USD | 161 | 6/14/13 | 9,148 | ||||||||||||||||||
Credit Suisse International | USD | 22,241 | EUR | 17,306 | 6/27/13 | 254,576 | ||||||||||||||||||
Deutsche Bank AG London | CAD | 268 | USD | 261 | 6/13/13 | 2,071 | ||||||||||||||||||
Deutsche Bank AG London | USD | 587 | NZD | 716 | 6/14/13 | (17,625 | ) | |||||||||||||||||
Deutsche Bank AG London | AUD | 2,664 | USD | 2,574 | 9/17/13 | 43,287 | ||||||||||||||||||
Deutsche Bank AG London | CAD | 2,674 | USD | 2,587 | 9/17/13 | 14,640 | ||||||||||||||||||
Deutsche Bank AG London | CHF | 2,507 | USD | 2,590 | 9/17/13 | (34,503 | ) | |||||||||||||||||
Deutsche Bank AG London | EUR | 2,004 | USD | 2,594 | 9/17/13 | (12,415 | ) | |||||||||||||||||
Deutsche Bank AG London | GBP | 1,716 | USD | 2,591 | 9/17/13 | (14,975 | ) | |||||||||||||||||
Deutsche Bank AG London | JPY | 262,234 | USD | 2,576 | 9/17/13 | (36,390 | ) | |||||||||||||||||
Goldman Sachs Capital | TRY | 26,053 | USD | 14,446 | 6/07/13 | 539,984 | ||||||||||||||||||
Goldman Sachs Capital | USD | 880 | CAD | 904 | 6/13/13 | (7,797 | ) | |||||||||||||||||
Goldman Sachs Capital | NZD | 29,432 | USD | 24,656 | 6/14/13 | 1,277,604 | ||||||||||||||||||
Goldman Sachs Capital | JPY | 1,294,461 | USD | 12,822 | 7/19/13 | (66,783 | ) | |||||||||||||||||
Goldman Sachs Capital | USD | 641 | CHF | 624 | 9/17/13 | 12,070 | ||||||||||||||||||
Goldman Sachs Capital | USD | �� | 640 | EUR | 497 | 9/17/13 | 6,506 | |||||||||||||||||
HSBC BankUSA | USD | 5,343 | CAD | 5,509 | 6/07/13 | (29,769 | ) | |||||||||||||||||
HSBC BankUSA | SEK | 292,233 | USD | 43,898 | 7/11/13 | (185,273 | ) | |||||||||||||||||
JPMorgan Chase Bank NA | AUD | 24,360 | USD | 24,901 | 6/14/13 | 1,604,764 | ||||||||||||||||||
Royal Bank of Canada | USD | 954 | CAD | 984 | 6/07/13 | (4,431 | ) | |||||||||||||||||
Royal Bank of Canada | USD | 3,171 | CAD | 3,253 | 6/13/13 | (34,411 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | CAD | 29,022 | USD | 28,231 | 6/07/13 | 240,894 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 207 | CAD | 210 | 6/13/13 | (4,270 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | AUD | 164 | USD | 161 | 6/14/13 | 3,851 | ||||||||||||||||||
Royal Bank of Scotland PLC | NZD | 260 | USD | 212 | 6/14/13 | 5,538 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 568 | AUD | 577 | 6/14/13 | (15,564 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 703 | EUR | 542 | 6/27/13 | 1,564 | ||||||||||||||||||
Royal Bank of Scotland PLC | NOK | 143,404 | USD | 24,444 | 7/11/13 | 41,745 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 643 | AUD | 672 | 9/17/13 | (4,277 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 640 | JPY | 65,316 | 9/17/13 | 10,528 | ||||||||||||||||||
State Street Bank & Trust Co. | TRY | 683 | USD | 378 | 6/07/13 | 13,408 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 2,583 | TRY | 4,776 | 6/07/13 | (33,540 | ) | |||||||||||||||||
State Street Bank & Trust Co. | AUD | 167 | USD | 172 | 6/14/13 | 12,093 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 5,424 | EUR | 4,213 | 6/27/13 | 53,323 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 48 | GBP | 32 | 6/27/13 | (51 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 166 | NOK | 981 | 7/11/13 | 716 | ||||||||||||||||||
UBS AG | USD | 480 | CAD | 495 | 6/07/13 | (2,612 | ) | |||||||||||||||||
Westpac Banking Corp. | USD | 165 | NZD | 204 | 6/14/13 | (2,785 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 3,577,372 | |||||||||||||||||||||||
|
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 41 |
Portfolio of Investments
CALL OPTIONS WRITTEN (see Note D)
Description | Contracts | Exercise Price | Expiration Month | Premiums Received | U.S. $ Value | |||||||||||||
Market Vectors Gold Miners ETF(e) | 874 | $ | 31.00 | June 2013 | $ | 76,003 | $ | (50,692 | ) |
INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Bank of America, NA | NZD | 4,590 | 12/12/22 | 3 Month BKBM | 3.720 | % | $ | (43,764 | ) | |||||||||
Barclays Bank PLC | NOK | 9,070 | 11/23/22 | 6 Month NIBOR | 3.198 | % | 25,568 | |||||||||||
Barclays Bank PLC | NZD | 3,060 | 11/30/22 | 3 Month BKBM | 3.673 | % | (37,177 | ) | ||||||||||
Barclays Bank PLC | SEK | 16,660 | 11/30/22 | 3 Month STIBOR | 2.043 | % | (43,256 | ) | ||||||||||
Barclays Bank PLC | NOK | 6,820 | 1/2/23 | 6 Month NIBOR | 3.128 | % | 9,976 | |||||||||||
Barclays Bank PLC | SEK | 11,750 | 3/22/23 | 3 Month STIBOR | 2.385 | % | 9,123 | |||||||||||
Barclays Bank PLC | NOK | 14,580 | 4/22/23 | 6 Month NIBOR | 3.030 | % | (13,375 | ) | ||||||||||
Citibank, NA | NZD | 1,800 | 3/22/23 | 3 Month BKBM | 4.073 | % | 7,478 | |||||||||||
Citibank, NA | SEK | 11,950 | 11/19/22 | 3 Month STIBOR | 2.023 | % | (28,304 | ) | ||||||||||
Citibank, NA | 13,600 | 11/23/22 | 3 Month STIBOR | 2.085 | % | (26,662 | ) | |||||||||||
Citibank, NA | NOK | 11,720 | 11/30/22 | 6 Month NIBOR | 3.120 | % | 18,567 | |||||||||||
Citibank, NA | SEK | 27,760 | 12/12/22 | 3 Month STIBOR | 1.993 | % | (94,334 | ) | ||||||||||
Citibank, NA | NZD | 2,800 | 1/3/23 | 3 Month BKBM | 3.750 | % | (23,795 | ) | ||||||||||
Credit Suisse International | NOK | 11,490 | 3/22/23 | 6 Month NIBOR | 3.195 | % | 19,705 | |||||||||||
Credit Suisse International | SEK | 12,580 | 4/22/23 | 3 Month STIBOR | 2.093 | % | (43,157 | ) | ||||||||||
Goldman Sachs Bank USA | NOK | 22,820 | 12/12/22 | 6 Month NIBOR | 3.050 | % | 10,232 | |||||||||||
Morgan Stanley Capital Services LLC | NZD | 5,100 | 4/22/23 | 3 Month BKBM | 3.860 | % | (58,525 | ) | ||||||||||
Morgan Stanley Capital Services LLC | NOK | 2,440 | 4/26/23 | 6 Month NIBOR | 2.973 | % | (4,345 | ) | ||||||||||
Morgan Stanley Capital Services LLC | NZD | 340 | 5/21/23 | 3 Month BKBM | 3.890 | % | (3,621 | ) | ||||||||||
|
| |||||||||||||||||
$ | (319,666 | ) | ||||||||||||||||
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at May 31, 2013 | Notional | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||
Barclays Bank PLC: | 1.00 | % | 0.94 | % | EUR | 1,220 | $ | 7,409 | $ | (11,461 | ) | $ | 18,870 | |||||||||||||
Barclays Bank PLC: | 5.00 | 3.66 | 240 | 19,879 | (1,936 | ) | 21,815 | |||||||||||||||||||
Goldman Sachs Bank USA: | 5.00 | 3.66 | 1,880 | 155,716 | 65,499 | 90,217 |
42 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Portfolio of Investments
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at May 31, 2013 | Notional | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
JPMorgan Chase Bank, NA: | ||||||||||||||||||||||||||
iTraxx- XOVER Series 18 5 Year Index, 12/20/17* | 5.00 | % | 3.66 | % | EUR | 520 | $ | 43,070 | $ | 2,003 | $ | 41,067 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 226,074 | $ | 54,105 | $ | 171,969 | |||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
(a) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. The aggregate market value of these securities amounted to $559,433. |
(b) | Non-income producing security. |
(c) | Represents entire or partial securities out on loan. See Note E for securities lending information. |
(d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2013, the aggregate market value of these securities amounted to $6,901,952 or 1.4% of net assets. |
(e) | One contract relates to 100 shares. |
(f) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Currency Abbreviation:
AUD – Australian Dollar CAD – Canadian Dollar CHF – Swiss Franc EUR – Euro GBP – Great British Pound | JPY – Japanese Yen NOK – Norwegian Krone NZD – New Zealand Dollar SEK – Swedish Krona TRY – Turkish Lira USD – United States Dollar |
Glossary:
BKBM – Bank Bill Benchmark (New Zealand) BTP – Buoni del Tesoro Poliennali CBT – Chicago Board of Trade CPI – Consumer Price Index FTSE – Financial Times Stock Exchange LIBOR – London Interbank Offered Rates NIBOR – Norwegian Interbank Offered Rate | OAT – Obligations Assimilables du Trésor REG – Registered Shares REIT – Real Estate Investment Trust STIBOR – Stockholm Interbank Offered Rate TBA – To Be Announced TIPS – Treasury Inflation Protected Security TOPIX – Tokyo Price Index TSE – Tokyo Stock Exchange |
See notes to financial statements.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 43 |
Portfolio of Investments
STATEMENT OF ASSETS & LIABILITIES
May 31, 2013 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $401,402,153) | $ | 404,758,272 | (a) | |
Affiliated issuers (cost $94,581,356—including investment of cash collateral for securities loaned of $2,759,971) | 94,581,356 | (b) | ||
Cash | 8,525,575 | (c) | ||
Foreign currencies, at value (cost $313,514) | 311,447 | |||
Receivable for investment securities sold | 4,948,115 | |||
Unrealized appreciation of forward currency | 4,167,327 | |||
Interest and dividends receivable | 2,891,429 | |||
Receivable for capital stock sold | 239,320 | |||
Unrealized appreciation on credit default swaps | 171,969 | |||
Unrealized appreciation on interest rate swaps | 100,649 | |||
Receivable for terminated interest rate swaps | 72,343 | |||
Premium paid on credit default swaps | 67,502 | |||
Premium paid on interest rate swaps | 500 | |||
|
| |||
Total assets | 520,835,804 | |||
|
| |||
Liabilities | ||||
Options written, at value (premiums received $76,003) | 50,692 | |||
Payable for investment securities purchased | 10,268,141 | |||
Collateral received from broker | 2,840,000 | |||
Payable for collateral received on securities loaned | 2,759,971 | |||
Payable for variation margin on futures | 1,633,050 | |||
Unrealized depreciation of forward currency | 589,955 | |||
Payable for capital stock redeemed | 527,677 | |||
Unrealized depreciation on interest rate swaps | 420,315 | |||
Advisory fee payable | 241,220 | |||
Distribution fee payable | 188,458 | |||
Transfer Agent fee payable | 80,868 | |||
Administrative fee payable | 34,853 | |||
Premium received on credit default swaps | 13,397 | |||
Accrued expenses | 142,671 | |||
|
| |||
Total liabilities | 19,791,268 | |||
|
| |||
Net Assets | $ | 501,044,536 | ||
|
| |||
Composition of Net Assets | ||||
Capital stock, at par | $ | 306,787 | ||
Additional paid-in capital | 489,153,849 | |||
Undistributed net investment income | 1,262,546 | |||
Accumulated net realized gain on investment | 1,586,028 | |||
Net unrealized appreciation on investments | 8,735,326 | |||
|
| |||
$ | 501,044,536 | |||
|
|
(a) | Includes securities on loan with a value of $2,641,762 (see Note E). |
(b) | Includes investment of cash collateral of $2,840,000 received from broker for OTC derivatives outstanding at May 31, 2013. |
(c) | An amount of $8,525,575 has been segregated to collateralize margin requirements for open futures outstanding at May 31, 2013. |
44 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Statement of Assets & Liabilities
Net Asset Value Per Share—21 billion shares of capital stock authorized, $.01 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 372,423,129 | 22,510,731 | $ | 16.54 | * | ||||||
| ||||||||||||
B | $ | 25,382,395 | 1,651,007 | $ | 15.37 | |||||||
| ||||||||||||
C | $ | 66,271,828 | 4,287,291 | $ | 15.46 | |||||||
| ||||||||||||
Advisor | $ | 29,989,554 | 1,806,429 | $ | 16.60 | |||||||
| ||||||||||||
R | $ | 4,837,136 | 293,574 | $ | 16.48 | |||||||
| ||||||||||||
K | $ | 2,061,347 | 124,873 | $ | 16.51 | |||||||
| ||||||||||||
I | $ | 79,147 | 4,777 | $ | 16.57 | |||||||
|
* | The maximum offering price per share for Class A shares was $17.27 which reflects a sales charge of 4.25%. |
See notes to financial statements.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 45 |
Statement of Assets & Liabilities
STATEMENT OF OPERATIONS
Six Months Ended May 31, 2013 (unaudited)
Investment Income | ||||||||
Interest | $ | 3,991,960 | ||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $46,051) | 845,955 | |||||||
Affiliated issuers | 17,122 | |||||||
Securities lending income | 1,246 | $ | 4,856,283 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 1,371,658 | |||||||
Distribution fee—Class A | 563,561 | |||||||
Distribution fee—Class B | 156,086 | |||||||
Distribution fee—Class C | 348,565 | |||||||
Distribution fee—Class R | 13,581 | |||||||
Distribution fee—Class K | 3,186 | |||||||
Transfer agency—Class A | 382,479 | |||||||
Transfer agency—Class B | 33,887 | |||||||
Transfer agency—Class C | 70,677 | |||||||
Transfer agency—Advisor Class | 36,386 | |||||||
Transfer agency—Class R | 7,062 | |||||||
Transfer agency—Class K | 2,549 | |||||||
Transfer agency—Class I | 9 | |||||||
Custodian | 146,480 | |||||||
Printing | 60,893 | |||||||
Administrative | 47,481 | |||||||
Legal | 39,127 | |||||||
Registration fees | 32,094 | |||||||
Directors’ fees | 28,943 | |||||||
Audit | 25,832 | |||||||
Miscellaneous | 15,056 | |||||||
|
| |||||||
Total expenses | 3,385,592 | |||||||
|
| |||||||
Net investment income | 1,470,691 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 822,100 | |||||||
Futures | 3,025,211 | |||||||
Options written | 184,189 | |||||||
Swaps | 449,391 | |||||||
Foreign currency transactions | (1,446,810 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | (6,274,326 | ) | ||||||
Futures | 444,220 | |||||||
Options written | 25,311 | |||||||
Swaps | (708,169 | ) | ||||||
Foreign currency denominated assets and liabilities | 4,665,463 | |||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 1,186,580 | |||||||
|
| |||||||
Contributions from Adviser (see Note B) | 404,860 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 3,062,131 | ||||||
|
|
See notes to financial statements.
46 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Statement of Operations
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended May 31, 2013 (unaudited) | Year Ended November 30, 2012 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,470,691 | $ | 6,480,202 | ||||
Net realized gain on investment and foreign currency transactions | 3,034,081 | 108,652,457 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (1,847,501 | ) | (27,687,945 | ) | ||||
Contributions from Adviser (see Note B) | 404,860 | – 0 | – | |||||
|
|
|
| |||||
Net increase in net assets from operations | 3,062,131 | 87,444,714 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | ||||||||
Class A | (2,098,730 | ) | (5,695,790 | ) | ||||
Class B | (119,739 | ) | (359,155 | ) | ||||
Class C | (258,276 | ) | (605,513 | ) | ||||
Advisor Class | (263,185 | ) | (615,005 | ) | ||||
Class R | (26,937 | ) | (67,478 | ) | ||||
Class K | (14,835 | ) | (40,422 | ) | ||||
Class I | (435 | ) | (16,248 | ) | ||||
Net realized gain on investment transactions | ||||||||
Class A | (26,247,859 | ) | – 0 | – | ||||
Class B | (2,514,533 | ) | – 0 | – | ||||
Class C | (5,062,203 | ) | – 0 | – | ||||
Advisor Class | (2,813,689 | ) | – 0 | – | ||||
Class R | (395,969 | ) | – 0 | – | ||||
Class K | (179,858 | ) | – 0 | – | ||||
Class I | (4,691 | ) | – 0 | – | ||||
Capital Stock Transactions | ||||||||
Net decrease | (22,409,713 | ) | (54,313,489 | ) | ||||
|
|
|
| |||||
Total increase (decrease) | (59,348,521 | ) | 25,731,614 | |||||
Net Assets | ||||||||
Beginning of period | 560,393,057 | 534,661,443 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $1,262,546 and $2,573,992, respectively) | $ | 501,044,536 | $ | 560,393,057 | ||||
|
|
|
|
See notes to financial statements.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 47 |
Statement of Changes in Net Assets
NOTES TO FINANCIAL STATEMENTS
May 31, 2013 (unaudited)
NOTE A
Significant Accounting Policies
AllianceBernstein Global Risk Allocation Fund, Inc. (formerly, known as AllianceBernstein Balanced Shares, Inc.) (the “Fund”) is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund offers Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class B shares are currently sold with a contingent deferred sales charge which declines from 4% to zero depending on the period of time the shares are held. Effective January 31, 2009, sales of Class B shares of the Fund to new investors were suspended. Class B shares will only be issued (i) upon the exchange of Class B shares from another AllianceBernstein Mutual Fund, (ii) for purposes of dividend reinvestment, (iii) through the Fund’s Automatic Investment Program (the “Program”) for accounts that established the Program prior to January 31, 2009, and (iv) for purchases of additional shares by Class B shareholders as of January 31, 2009. The ability to establish a new Program for accounts containing Class B shares was suspended as of January 31, 2009. Class B shares will automatically convert to Class A shares eight years after the end of the calendar month of purchase. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase. Class R and Class K shares are sold without an initial or contingent deferred sales charge. Advisor Class and Class I shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All seven classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market value of securities which are readily available and deemed reliable are determined as follows: Securities listed on a national securities
48 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g. last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. government securities and other debt instruments having 60 days or less remaining until maturity are valued at amortized cost if their original maturity was 60 days or less; or by amortizing their fair value as of the 61st day prior to maturity if their original term to maturity exceeded 60 days; fixed-income securities, including mortgage backed and asset backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker/dealers. In cases where broker/dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Investments in money market funds are valued at their net asset value each day.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern 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 and may materially affect the value of those securities. To account for this, the Fund may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 49 |
Notes to Financial Statements
a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note 1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
50 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
Options and warrants are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option or a warrant depends upon the contractual terms of, and specific risks inherent in, the option or warrant as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options will be classified as Level 2. For options or warrants that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options and warrants are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.
Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 51 |
Notes to Financial Statements
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of May 31, 2013:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Inflation-Linked Securities | $ | – 0 | – | $ | 192,128,021 | $ | –0 | – | $ | 192,128,021 | ||||||
Governments – Treasuries | – 0 | – | 91,928,946 | – 0 | – | 91,928,946 | ||||||||||
Common Stocks: | ||||||||||||||||
Financials | 5,850,987 | 5,657,909 | – 0 | – | 11,508,896 | |||||||||||
Information Technology | 5,583,411 | 1,067,032 | – 0 | – | 6,650,443 | |||||||||||
Consumer Discretionary | 3,965,909 | 2,606,278 | – 0 | – | 6,572,187 | |||||||||||
Health Care | 3,935,041 | 2,326,034 | – 0 | – | 6,261,075 | |||||||||||
Industrials | 3,309,818 | 2,894,258 | 1,546 | 6,205,622 | ||||||||||||
Consumer Staples | 3,337,034 | 2,643,707 | – 0 | – | 5,980,741 | |||||||||||
Energy | 3,822,391 | 1,742,722 | – 0 | – | 5,565,113 | |||||||||||
Materials | 1,368,470 | 1,870,063 | – 0 | – | 3,238,533 | |||||||||||
Telecommunication Services | 923,766 | 1,101,980 | – 0 | – | 2,025,746 | |||||||||||
Utilities | 949,611 | 829,321 | – 0 | – | 1,778,932 | |||||||||||
Corporates – Investment Grades | – 0 | – | 30,681,693 | – 0 | – | 30,681,693 | ||||||||||
Investment Companies | 12,259,197 | – 0 | – | – 0 | – | 12,259,197 | ||||||||||
Agencies | – 0 | – | 8,421,015 | – 0 | – | 8,421,015 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 6,936,305 | – 0 | – | 6,936,305 | ||||||||||
Preferred Stocks | 4,555,739 | – 0 | – | – 0 | – | 4,555,739 | ||||||||||
Corporates – Non-Investment Grades | – 0 | – | 1,193,360 | – 0 | – | 1,193,360 | ||||||||||
Quasi-Sovereigns | – 0 | – | 850,539 | – 0 | – | 850,539 | ||||||||||
Options Purchased – Puts | – 0 | – | 16,169 | – 0 | – | 16,169 | ||||||||||
Rights | – 0 | – | – 0 | – | – 0 | – ^ | – 0 | – | ||||||||
Short-Term Investments | 91,821,385 | – 0 | – | – 0 | – | 91,821,385 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 2,759,971 | – 0 | – | – 0 | – | 2,759,971 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 144,442,730 | 354,895,352 | + | 1,546 | 499,339,628 | |||||||||||
Other Financial Instruments* : | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 2,090,605 | 2,835,798 | – 0 | – | 4,926,403 | |||||||||||
Forward Currency Exchange Contracts | – 0 | – | 4,167,327 | – 0 | – | 4,167,327 | ||||||||||
Interest Rate Swaps | – 0 | – | 100,649 | – 0 | – | 100,649 | ||||||||||
Credit Default Swaps | – 0 | – | 171,969 | – 0 | – | 171,969 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (2,963,490 | ) | – 0 | – | – 0 | – | (2,963,490 | ) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (589,955 | ) | – 0 | – | (589,955 | ) | ||||||||
Call Options Written | – 0 | – | (50,692 | ) | – 0 | – | (50,692 | ) | ||||||||
Interest Rate Swaps | – 0 | – | (420,315 | ) | – 0 | – | (420,315 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total** | $ | 143,569,845 | $ | 361,110,133 | $ | 1,546 | $ | 504,681,524 | ||||||||
|
|
|
|
|
|
|
|
52 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
^ | The Fund held securities with zero market value at period end. |
* | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument. Other Financial instruments may also include options written which are valued at market value. |
+ | A significant portion of the Fund’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available, see Note A.1. |
** | There were de minimus transfers under 1% of net assets between Level 1 and Level 2 during the reporting period. |
The Fund recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Asset-Backed Securities | Industrials | Preferred Stocks | ||||||||||
Balance as of 11/30/12 | $ | 1,196 | $ | – 0 | – | $ | 1,041 | |||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | (493,089 | ) | – 0 | – | 5 | |||||||
Change in unrealized appreciation/depreciation | 493,178 | (5 | ) | (5 | ) | |||||||
Purchases | – 0 | – | 1,551 | – 0 | – | |||||||
Sales | (1,285 | ) | – 0 | – | (1,041 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 5/31/13 | $ | – 0 | – | $ | 1,546 | $ | – 0 | – | ||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 5/31/13* | $ | – 0 | – | $ | (5 | ) | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
Rights^ | Total | |||||||||||
Balance as of 11/30/12 | $ | – 0 | – | $ | 2,237 | |||||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | ||||||||
Realized gain (loss) | – 0 | – | (493,084 | ) | ||||||||
Change in unrealized appreciation/depreciation | – 0 | – | 493,168 | |||||||||
Purchases | – 0 | – | 1,551 | |||||||||
Sales | – 0 | – | (2,326 | ) | ||||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | ||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | ||||||||
|
|
|
| |||||||||
Balance as of 5/31/13 | $ | – 0 | – | $ | 1,546 | |||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from Investments held as of 5/31/13* | $ | – 0 | – | $ | (5 | ) | ||||||
|
|
|
|
^ | The Fund held securities with zero market value at period end. |
* | The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation of investments in the accompanying statement of operations. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 53 |
Notes to Financial Statements
The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Fund. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.
In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, foreign currency exchange contracts, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and
54 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 55 |
Notes to Financial Statements
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .60% of the first $200 million, .50% of the next $200 million and .40% in excess of $400 million of the Fund’s average daily net assets. The fee is accrued daily and paid monthly.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended May 31, 2013, the reimbursement for such services amounted to $47,481.
During the six months ended May 31, 2013, the Adviser reimbursed the Fund $404,860 for trading losses incurred due to a trade entry error.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $178,660 for the six months ended May 31, 2013.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $4,704 from the sale of Class A shares and received $2,606, $5,131 and $2,975 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A, Class B and Class C shares, respectively, for the six months ended May 31, 2013.
The Fund may invest in the AllianceBernstein Fixed-Income Shares, Inc.— Government STIF Portfolio (“Government STIF Portfolio”), an open-end management investment company managed by the Adviser. The Government STIF Portfolio is offered as a cash management option to mutual funds and other institutional accounts of the Adviser, and is not available for direct purchase by members of the public. The Government STIF Portfolio pays no investment management fees but does bear its own expenses. A summary of the Fund’s transactions in shares of the Government STIF Portfolio for the six months ended May 31, 2013 is as follows:
Market Value November 30, 2012 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value May 31, 2013 (000) | Dividend Income (000) | ||||||||||||
$ 85,027 | $ | 255,351 | $ | 248,557 | $ | 91,821 | $ | 17 |
Brokerage commissions paid on investment transactions for the six months ended May 31, 2013 amounted to $104,021, of which $0 and $0, respectively, was paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein Limited, affiliates of the Adviser.
56 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to both Class B and Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares and .25% of the Fund’s average daily net assets attributable to Class K shares. There are no distribution and servicing fees on the Advisor Class and Class I shares. The fees are accrued daily and paid monthly. Payments under the Class A plan are currently limited to .29% of the Fund’s average daily net assets attributable to Class A shares. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $985,122, $3,198,695, $385,869 and $237,730 for Class B, Class C, Class R and Class K shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2013 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding | $ | 165,675,949 | $ | 111,118,396 | ||||
U.S. government securities | 96,918,456 | 202,971,870 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation (excluding futures, foreign currency and swap transactions) are as follows:
Gross unrealized appreciation | $ | 13,174,628 | ||
Gross unrealized depreciation | (9,818,509 | ) | ||
|
| |||
Net unrealized appreciation | $ | 3,356,119 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 57 |
Notes to Financial Statements
inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
• | Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Fund enters into a futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, provides a guarantee of performance. This guarantee is supported by a daily payment system (i.e., margin requirements). When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended May 31, 2013, the Fund held futures for non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its
58 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended May 31, 2013, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 59 |
Notes to Financial Statements
transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.
During the six months ended May 31, 2013, the Fund held purchased options for non-hedging purposes. During the six months ended May 31, 2013, the Fund held written options for non-hedging purposes.
For the six months ended May 31, 2013, the Fund had the following transactions in written options:
Number of Contracts | Premiums Received | |||||||
Options written outstanding as of 11/30/12 | – 0 | – | $ | – 0 | – | |||
Options written | 32,779,874 | 259,974 | ||||||
Options expired | (32,779,000 | ) | (183,971 | ) | ||||
Options bought back | – 0 | – | – 0 | – | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 5/31/13 | 874 | $ | 76,003 | |||||
|
|
|
|
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, including by making direct investments in foreign currencies, as described below under “Currency Transactions”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and
60 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended May 31, 2013, the Fund held interest rate swaps for non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 61 |
Notes to Financial Statements
otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
During the six months ended May 31, 2013, the Fund held credit default swaps for non-hedging purposes.
Implied credit spreads utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
At May 31, 2013, the Fund had Sale Contracts outstanding with a Maximum Payout Amount of $5,017,033, with net unrealized appreciation of $171,969, and a term of less than 5 years, as reflected in the portfolio of investments.
In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront
62 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same reference obligation with the same counterparty. As of May 31, 2013, the Fund did not have Buy Contracts outstanding with respect to the same referenced obligation and same counterparty for its Sale Contracts outstanding.
Documentation governing the Fund’s OTC derivatives may contain provisions for early termination of such transaction in the event the net assets of the Fund decline below specific levels set forth in the documentation (“net asset contingent features”). If these levels are triggered, the Fund’s counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. As of May 31, 2013, the Fund had OTC derivatives with contingent features in net liability positions in the amount of $602,937. If a trigger event had occurred at May 31, 2013, for those derivatives in a net liability position, an amount of $602,937 would be required to be posted by the Fund.
At May 31, 2013, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on futures | $ | 657,668 | * |
Receivable/Payable for variation margin on futures | $ | 2,034,200 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | 4,268,735 | * | Receivable/Payable for variation margin on futures | 929,290 | * | ||||||
Foreign exchange contracts |
Unrealized appreciation of forward currency exchange contracts |
| 4,167,327 |
|
Unrealized depreciation of forward currency exchange contracts |
|
589,955 |
| ||||
Equity contracts | Investments in securities, at value | 16,169 | ||||||||||
Equity contracts | Options written, at value | 50,692 | ||||||||||
Interest rate contracts |
Unrealized appreciation on interest rate swaps |
| 100,649 |
|
Unrealized depreciation on interest rate swaps |
| 420,315 |
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 63 |
Notes to Financial Statements
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Credit contracts |
Unrealized appreciation on credit default swaps | $ | 171,969 |
| ||||||||
|
|
|
| |||||||||
Total | $ | 9,382,517 | $ | 4,024,452 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the portfolio of investments. |
The effect of derivative instruments on the statement of operations for the six months ended May 31, 2013:
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures |
| $ (3,561,561) |
|
| $ (2,145,446) |
| |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 6,586,772 | 2,589,666 | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities |
| 461,591 |
|
| 4,719,346 |
|
64 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments |
| $ (270,067) |
|
| $ – 0 | – | |||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | – 0 | – | (84,811) | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written |
| 184,189 |
|
| 25,311 |
| |||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps |
| (345,885) |
|
| (669,349) |
| |||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 795,276 | (38,820) | |||||||
|
|
|
| |||||||
Total | $ 3,850,315 | $ 4,395,897 | ||||||||
|
|
|
|
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 65 |
Notes to Financial Statements
The following table represents the volume of the Fund’s derivative transactions
during the six months ended May 31, 2013:
Futures: | ||||
Average original value of buy contracts | $ | 288,687,185 | ||
Average original value of sale contracts | $ | 148,408,874 | (a) | |
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 19,248,652 | ||
Average principal amount of sale contracts | $ | 263,668,905 | ||
Purchased Options: | ||||
Average monthly cost | $ | 203,040 | (a) | |
Interest Rate Swaps: | ||||
Average notional amount | $ | 79,645,272 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 10,517,334 |
(a) | Positions were open for five months during the period. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. Dollar Rolls
The Fund may enter into dollar rolls. Dollar rolls involve sales by the Fund of securities for delivery in the current month and the Fund’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques and may be considered to be borrowings by the Fund. For the six months ended
66 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
May 31, 2013, the Fund earned drop income of $1,599 which is included in interest income in the accompanying statement of operations.
NOTE E
Securities Lending
The Fund may enter into securities lending transactions. Under the Fund’s securities lending program, all loans of securities will be collateralized continually by cash. The Fund will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Fund in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. It is the policy of the Fund to receive collateral consisting of cash in an amount exceeding the value of the securities loaned. The Fund will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Fund amounts equal to any income or other distributions from the securities. The Fund will not have the right to vote any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent will invest the cash collateral received in AllianceBernstein Exchange Reserves, an eligible money market vehicle, in accordance with the investment restrictions of the Fund, and as approved by the Fund’s Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. At May 31, 2013, the Fund had securities on loan with a value of $2,641,762 and had received cash collateral which has been invested into AllianceBernstein Exchange Reserves of $2,759,971. The cash collateral will be adjusted on the next business day to maintain the required collateral amount. The Fund earned securities lending income of $1,246 and $154 from the borrowers and AllianceBernstein Exchange Reserves, respectively, for the six months ended May 31, 2013; these amounts are reflected in the statement of operations. A principal risk of lending portfolio securities is that the borrower will fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. A summary of the Fund’s transactions in shares of AllianceBernstein Exchange Reserves for the six months ended May 31, 2013 is as follows:
Market Value November 30, 2012 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value May 31, 2013 (000) | Dividend Income (000) | ||||||||||||
$ 101 | $ | 13,065 | $ | 10,406 | $ | 2,760 | $ | 0 | * |
* | Amount is less than $500. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 67 |
Notes to Financial Statements
NOTE F
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||
Six Months Ended May 31, 2013 (unaudited) | Year Ended November 30, 2012 | Six Months Ended May 31, 2013 (unaudited) | Year Ended November 30, 2012 | |||||||||||||||||
|
| |||||||||||||||||||
Class A | ||||||||||||||||||||
Shares sold | 1,439,984 | 3,290,533 | $ | 23,922,591 | $ | 54,569,788 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 1,601,538 | 319,921 | 26,265,233 | 5,195,429 | ||||||||||||||||
| ||||||||||||||||||||
Shares converted from Class B | 441,850 | 988,777 | 7,333,874 | 16,466,809 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (3,588,422 | ) | (6,815,248 | ) | (59,823,422 | ) | (112,743,569 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (105,050 | ) | (2,216,017 | ) | $ | (2,301,724 | ) | $ | (36,511,543 | ) | ||||||||||
| ||||||||||||||||||||
Class B | ||||||||||||||||||||
Shares sold | 44,958 | 113,519 | $ | 703,390 | $ | 1,753,746 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 162,483 | 22,369 | 2,484,364 | 335,841 | ||||||||||||||||
| ||||||||||||||||||||
Shares converted to Class A | (474,547 | ) | (1,056,068 | ) | (7,333,874 | ) | (16,466,809 | ) | ||||||||||||
| ||||||||||||||||||||
Shares redeemed | (241,194 | ) | (464,023 | ) | (3,756,545 | ) | (7,174,680 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (508,300 | ) | (1,384,203 | ) | $ | (7,902,665 | ) | $ | (21,551,902 | ) | ||||||||||
| ||||||||||||||||||||
Class C | ||||||||||||||||||||
Shares sold | 125,605 | 372,190 | $ | 1,968,939 | $ | 5,773,562 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 305,253 | 33,798 | 4,691,745 | 513,822 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (483,161 | ) | (788,554 | ) | (7,551,327 | ) | (12,288,998 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (52,303 | ) | (382,566 | ) | $ | (890,643 | ) | $ | (6,001,614 | ) | ||||||||||
| ||||||||||||||||||||
Advisor Class | ||||||||||||||||||||
Shares sold | 394,299 | 2,610,749 | $ | 6,624,806 | $ | 43,626,010 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 131,292 | 29,746 | 2,157,126 | 489,819 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (1,098,794 | ) | (1,977,262 | ) | (18,297,801 | ) | (33,293,584 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (573,203 | ) | 663,233 | $ | (9,515,869 | ) | $ | 10,822,245 | ||||||||||||
|
68 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
Shares | Amount | |||||||||||||||||||
Six Months Ended May 31, 2013 (unaudited) | Year Ended November 30, 2012 | Six Months Ended May 31, 2013 (unaudited) | Year Ended November 30, 2012 | |||||||||||||||||
|
| |||||||||||||||||||
Class R | ||||||||||||||||||||
Shares sold | 44,796 | 187,636 | $ | 755,769 | $ | 3,068,833 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 25,866 | 4,164 | 422,904 | 67,452 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (100,087 | ) | (216,518 | ) | (1,646,629 | ) | (3,567,775 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (29,425 | ) | (24,718 | ) | $ | (467,956 | ) | $ | (431,490 | ) | ||||||||||
| ||||||||||||||||||||
Class K | ||||||||||||||||||||
Shares sold | 22,169 | 38,119 | $ | 368,221 | $ | 630,480 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 11,900 | 2,500 | 194,688 | 40,421 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (61,432 | ) | (79,697 | ) | (1,024,615 | ) | (1,296,785 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (27,363 | ) | (39,078 | ) | $ | (461,706 | ) | $ | (625,884 | ) | ||||||||||
| ||||||||||||||||||||
Class I | ||||||||||||||||||||
Shares sold | 1,583 | 4,880 | $ | 26,506 | $ | 81,319 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 313 | 997 | 5,122 | 16,247 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (50,959 | ) | (6,830 | ) | (900,778 | ) | (110,867 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (49,063 | ) | (953 | ) | $ | (869,150 | ) | $ | (13,301 | ) | ||||||||||
|
NOTE G
Risks Involved in Investing in the Fund
Allocation Risk—The allocation of investments among asset classes may have a significant effect on the Fund’s NAV when the asset classes in which the Fund has invested more heavily perform worse than the asset classes invested in less heavily.
Interest Rate Risk and Credit Risk—Interest rate risk is the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income debt securities such as bonds or notes. Increases in interest rates may cause the value of the Fund’s investments to decline. Credit risk is the risk that the issuer or guarantor of a debt security, or the counterparty to a derivative contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The degree of risk for a particular security may be reflected in its credit risk rating. Credit risk is greater for medium quality and lower-rated securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative risks.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 69 |
Notes to Financial Statements
Foreign Securities Risk—Investing in securities of foreign companies or foreign governments involves special risks which include changes in foreign currency exchange rates and the possibility of future political and economic developments which could adversely affect the value of such securities. Moreover, securities of many foreign companies or foreign governments and their markets may be less liquid and their prices more volatile than those of comparable U.S. companies or of the U.S. government.
Currency Risk—This is the risk that changes in foreign currency exchange rates may negatively affect the value of the Fund’s investments or reduce the returns of the Fund. For example, the value of the Fund’s investments in foreign currency-denominated securities or currencies may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar). Currency markets are generally not as regulated as securities markets. Independent of the Fund’s investments denominated in foreign currencies, the Fund’s positions in various foreign currencies may cause the Fund to experience investment losses due to the changes in exchange rates and interest rates.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected in the statement of assets and liabilities.
Leverage Risk—Because the Fund uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s shares.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
NOTE H
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $140 million revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended May 31, 2013.
70 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending November 30, 2013 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended November 30, 2012 and November 30, 2011 were as follows:
2012 | 2011 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 7,399,611 | $ | 9,328,205 | ||||
|
|
|
| |||||
Total taxable distributions paid | $ | 7,399,611 | $ | 9,328,205 | ||||
|
|
|
|
As of November 30, 2012, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 2,478,467 | ||
Undistributed capital gain | 36,106,828 | (a) | ||
Unrealized appreciation/(depreciation) | 10,342,273 | (b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 48,927,568 | ||
|
|
(a) | During the fiscal year ended November 30, 2012, the Fund utilized $67,834,289 of capital loss carryforwards to offset current year net realized gains. As of November 30, 2012, the cumulative deferred loss on straddles was $789,185. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps and passive foreign investment companies (PFICs), and the realization for tax purposes of gains/losses on certain derivative instruments. |
For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period. These post-enactment capital losses must be utilized prior to the pre-enactment capital losses, which are subject to expiration. Post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous regulation. As of November 30, 2012, the Fund did not have any capital loss carryforwards.
NOTE J
Recent Accounting Pronouncements
In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) related to disclosures about offsetting assets and liabilities in financial statements. The amendments in this update require an entity to disclose both gross and net information for derivatives and other financial instruments that are either offset in the statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. In January 2013, the FASB issued an ASU to clarify the scope of
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 71 |
Notes to Financial Statements
disclosures about offsetting assets and liabilities. The ASU limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements and securities lending transactions. The ASU is effective during interim or annual reporting periods beginning on or after January 1, 2013. At this time, management is evaluating the implication of this ASU and its impact on the financial statements has not been determined.
NOTE K
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
72 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notes to Financial Statements
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months May 31, (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 17.72 | $ 15.32 | $ 14.36 | $ 13.43 | $ 11.06 | $ 18.28 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .06 | .22 | .25 | .25 | .27 | .34 | ||||||||||||||||||
Net realized and unrealized | .02 | 2.42 | .97 | .95 | 2.39 | (5.85 | ) | |||||||||||||||||
Contributions from Adviser | .01 | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | |||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .09 | 2.64 | 1.22 | 1.20 | 2.66 | (5.51 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.24 | ) | (.26 | ) | (.27 | ) | (.29 | ) | (.36 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.18 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (1.35 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.27 | ) | (.24 | ) | (.26 | ) | (.27 | ) | (.29 | ) | (1.71 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.54 | $ 17.72 | $ 15.32 | $ 14.36 | $ 13.43 | $ 11.06 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .57 | %** | 17.37 | %* | 8.57 | %* | 9.04 | %* | 24.43 | %* | (33.06 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $372,423 | $400,685 | $380,338 | $399,687 | $481,427 | $452,619 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.15 | %(c) | 1.09 | % | 1.08 | % | 1.14 | %(d) | 1.08 | % | .97 | % | ||||||||||||
Net investment income | .68 | %(c) | 1.30 | % | 1.67 | % | 1.83 | %(d) | 2.30 | % | 2.30 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 163 | % | 87 | % | 69 | % | 111 | % | 118 | % |
See footnote summary on page 80.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 73 |
Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class B | ||||||||||||||||||||||||
Six Months Ended May 31, 2013 (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.57 | $ 14.34 | $ 13.46 | $ 12.59 | $ 10.39 | $ 17.27 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a) | (.01 | ) | .08 | .13 | .14 | .17 | .22 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .03 | 2.27 | .90 | .90 | 2.23 | (5.51 | ) | |||||||||||||||||
Contributions from Adviser | .01 | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | |||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .03 | 2.35 | 1.03 | 1.04 | 2.40 | (5.29 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.05 | ) | (.12 | ) | (.15 | ) | (.17 | ) | (.20 | ) | (.24 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.18 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 – | (1.35 | ) | |||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.23 | ) | (.12 | ) | (.15 | ) | (.17 | ) | (.20 | ) | (1.59 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.37 | $ 16.57 | $ 14.34 | $ 13.46 | $ 12.59 | $ 10.39 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .23 | %** | 16.44 | %* | 7.68 | %* | 8.34 | %* | 23.41 | %* | (33.56 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $25,383 | $35,786 | $50,797 | $78,888 | $121,871 | $155,339 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.88 | %(c) | 1.85 | % | 1.85 | % | 1.90 | %(d) | 1.85 | % | 1.72 | % | ||||||||||||
Net investment income (loss) | (.16 | ) %(c) | .50 | % | .91 | % | 1.07 | %(d) | 1.53 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 163 | % | 87 | % | 69 | % | 111 | % | 118 | % |
See footnote summary on page 80.
74 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.66 | $ 14.42 | $ 13.54 | $ 12.67 | $ 10.44 | $ 17.35 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a) | (.00 | )(e) | .09 | .14 | .14 | .18 | .22 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .03 | 2.28 | .90 | .90 | 2.25 | (5.54 | ) | |||||||||||||||||
Contributions from Adviser | .01 | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | |||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .04 | 2.37 | 1.04 | 1.04 | 2.43 | (5.32 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.06 | ) | (.13 | ) | (.16 | ) | (.17 | ) | (.20 | ) | (.24 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.18 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (1.35 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.24 | ) | (.13 | ) | (.16 | ) | (.17 | ) | (.20 | ) | (1.59 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.46 | $ 16.66 | $ 14.42 | $ 13.54 | $ 12.67 | $ 10.44 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .26 | %** | 16.54 | %* | 7.71 | %* | 8.29 | %* | 23.59 | %* | (33.58 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $66,272 | $72,294 | $68,095 | $75,021 | $84,098 | $81,907 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.86 | %(c) | 1.82 | % | 1.80 | % | 1.86 | %(d) | 1.81 | % | 1.70 | % | ||||||||||||
Net investment income (loss) | (.04 | )%(c) | .58 | % | .94 | % | 1.10 | %(d) | 1.57 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 163 | % | 87 | % | 69 | % | 111 | % | 118 | % |
See footnote summary on page 80.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 75 |
Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 17.77 | $ 15.36 | $ 14.40 | $ 13.46 | $ 11.08 | $ 18.32 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .08 | .27 | .30 | .29 | .31 | .39 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .03 | 2.43 | .97 | .96 | 2.39 | (5.87 | ) | |||||||||||||||||
Contributions from Adviser | .01 | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | |||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .12 | 2.70 | 1.27 | 1.25 | 2.70 | (5.48 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.29 | ) | (.31 | ) | (.31 | ) | (.32 | ) | (.41 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.18 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (1.35 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.29 | ) | (.29 | ) | (.31 | ) | (.31 | ) | (.32 | ) | (1.76 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.60 | $ 17.77 | $ 15.36 | $ 14.40 | $ 13.46 | $ 11.08 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .73 | %** | 17.72 | %* | 8.85 | %* | 9.41 | %* | 24.84 | %* | (32.89 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $29,990 | $42,278 | $26,360 | $32,205 | $56,024 | $51,761 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .86 | %(c) | .79 | % | .79 | % | .84 | %(d) | .79 | % | .68 | % | ||||||||||||
Net investment income | .91 | %(c) | 1.64 | % | 1.96 | % | 2.12 | %(d) | 2.59 | % | 2.61 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 163 | % | 87 | % | 69 | % | 111 | % | 118 | % |
See footnote summary on page 80.
76 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 17.66 | $ 15.26 | $ 14.31 | $ 13.38 | $ 11.02 | $ 18.23 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .03 | .17 | .21 | .21 | .24 | .31 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .04 | 2.42 | .96 | .96 | 2.38 | (5.85 | ) | |||||||||||||||||
Contributions from Adviser | .01 | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | |||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .08 | 2.59 | 1.17 | 1.17 | 2.62 | (5.54 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.08 | ) | (.19 | ) | (.22 | ) | (.24 | ) | (.26 | ) | (.32 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.18 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (1.35 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.26 | ) | (.19 | ) | (.22 | ) | (.24 | ) | (.26 | ) | (1.67 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.48 | $ 17.66 | $ 15.26 | $ 14.31 | $ 13.38 | $ 11.02 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .49 | %** | 17.08 | %* | 8.19 | %* | 8.81 | %* | 24.15 | %* | (33.27 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $4,837 | $5,704 | $5,308 | $6,391 | $6,645 | $5,753 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.42 | %(c) | 1.38 | % | 1.38 | % | 1.39 | %(d) | 1.32 | % | 1.25 | % | ||||||||||||
Net investment income | .31 | %(c) | 1.01 | % | 1.38 | % | 1.57 | %(d) | 2.06 | % | 2.06 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 163 | % | 87 | % | 69 | % | 111 | % | 118 | % |
See footnote summary on page 80.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 77 |
Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months 2013 (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, beginning of period | $ 17.68 | $ 15.28 | $ 14.34 | $ 13.40 | $ 11.03 | $ 18.24 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .06 | .21 | .25 | .26 | .28 | .35 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .03 | 2.43 | .96 | .95 | 2.38 | (5.85 | ) | |||||||||||||||||
Contributions from Adviser | .01 | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | |||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .10 | 2.64 | 1.21 | 1.21 | 2.66 | (5.50 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.24 | ) | (.27 | ) | (.27 | ) | (.29 | ) | (.36 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.18 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (1.35 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.27 | ) | (.24 | ) | (.27 | ) | (.27 | ) | (.29 | ) | (1.71 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.51 | $ 17.68 | $ 15.28 | $ 14.34 | $ 13.40 | $ 11.03 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .65 | %** | 17.40 | %* | 8.48 | %* | 9.18 | %* | 24.57 | %* | (33.07 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,061 | $2,692 | $2,924 | $2,820 | $3,378 | $5,437 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.11 | %(c) | 1.07 | % | 1.07 | % | 1.09 | %(d) | 1.02 | % | .97 | % | ||||||||||||
Net investment income | .67 | %(c) | 1.31 | % | 1.68 | % | 1.88 | %(d) | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 163 | % | 87 | % | 69 | % | 111 | % | 118 | % |
See footnote summary on page 80.
78 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 17.72 | $ 15.31 | $ 14.36 | $ 13.42 | $ 11.04 | $ 18.26 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .04 | .29 | .33 | .32 | .33 | .42 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .10 | 2.43 | .95 | .95 | 2.39 | (5.87 | ) | |||||||||||||||||
Contributions from Adviser | .00 | (e) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .14 | 2.72 | 1.28 | 1.27 | 2.72 | (5.45 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.31 | ) | (.33 | ) | (.33 | ) | (.34 | ) | (.42 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.18 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (1.35 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.29 | ) | (.31 | ) | (.33 | ) | (.33 | ) | (.34 | ) | (1.77 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.57 | $ 17.72 | $ 15.31 | $ 14.36 | $ 13.42 | $ 11.04 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .84 | %** | 17.95 | %* | 8.97 | %* | 9.64 | %* | 25.09 | %* | (32.84 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $79 | $954 | $839 | $1,389 | $2,146 | $18,409 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .64 | %(c) | .64 | % | .64 | % | .66 | %(d) | .69 | % | .62 | % | ||||||||||||
Net investment income | 1.06 | %(c) | 1.76 | % | 2.13 | % | 2.30 | %(d) | 2.69 | % | 2.72 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 163 | % | 87 | % | 69 | % | 111 | % | 118 | % |
See footnote summary on page 80.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 79 |
Financial Highlights
(a) | Based on average shares outstanding. |
(b) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(c) | Annualized. |
(d) | The ratio includes expenses attributable to costs of proxy solicitation. |
(e) | Amount is less than $.005. |
* | Includes the impact of proceeds received and credited to the Fund resulting from class action settlements, which enhanced the Fund’s performance for the years ended November 30, 2012, November 30, 2011, November 30, 2010, November 30, 2009 and November 30, 2008 by 0.07%, 0.03%, 0.20%, 0.27% and 0.05%, respectively. |
** | Includes the impact of reimbursements from the Adviser which enhanced the Fund’s performance for the six months ended May 31, 2013 by 0.08% |
See notes to financial statements.
80 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Financial Highlights
BOARD OF DIRECTORS
William H. Foulk, Jr.(1) , Chairman John H. Dobkin(1) Michael J. Downey(1) D. James Guzy(1) Nancy P. Jacklin(1) | Robert M. Keith, President and Chief Executive Officer Garry L. Moody(1) Marshall C. Turner, Jr.(1) Earl D. Weiner(1) |
OFFICERS
Philip L. Kirstein, Senior Vice President and Independent Compliance Officer Ashwin G. Alankar(2), Vice President Michael DePalma(2), Vice President Leon Zhu(2), Vice President | Emilie D. Wrapp, Secretary Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller |
Custodian and Accounting Agent State Street Bank and Trust Company One Lincoln Street Boston, MA 02111
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 | Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672
Independent Registered Public Accounting Firm Ernst & Young LLP 5 Times Square New York, NY 10036 |
(1) | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. Mr. Foulk is the sole member of the Fair Value Pricing Committee. |
(2) | The management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Quantitative Investment Team. Messrs. Alankar, DePalma and Zhu are the investment professionals with the most significant responsibilities for the day-to-day management of the Fund’s portfolio. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 81 |
Board of Directors
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AllianceBernstein Global Risk Allocation Fund, Inc. (formerly AllianceBernstein Balanced Shares, Inc.) (the “Fund”) unanimously approved the continuance of the Advisory Agreement with the Adviser at a meeting held on April 30-May 2, 2013 (the “May 2013 meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed an independent evaluation prepared by the Fund’s Senior Officer (who is also the Fund’s Independent Compliance Officer) of the reasonableness of the advisory fee, in which the Senior Officer concluded that the contractual fee for the Fund was reasonable. The directors also discussed the proposed continuance in private sessions with counsel and the Fund’s Senior Officer.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AllianceBernstein Funds. The directors noted that they have four regular meetings each year, at each of which they receive presentations from the Adviser on the investment results of the Fund and review extensive materials and information presented by the Adviser.
The directors also considered all other factors they believed relevant, including the specific matters discussed below. In their deliberations, the directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
82 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors and, to the extent requested and paid, will result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Fund’s Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant retained by the Fund’s Senior Officer. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also were considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues, expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2011 and 2012 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Fund’s Senior Officer. The directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and noted that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors were satisfied that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including but not limited to benefits relating to soft dollar arrangements (whereby the Adviser receives brokerage and research
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 83 |
services from brokers that execute transactions for certain clients, including the Fund); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser; and brokerage commissions paid by the Fund to brokers affiliated with the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year. At the May 2013 meeting, the directors reviewed information prepared by Lipper showing the performance of the Class A Shares of the Fund as compared with that of a group of similar funds selected by Lipper (the “Performance Group”) and as compared with that of a broader array of funds selected by Lipper (the “Performance Universe”), and information prepared by the Adviser showing performance of the Class A Shares as compared with the Morgan Stanley Capital International (MSCI) World Index and the Barclays Capital (BC) Global Aggregate Bond Index; with the Fund’s former benchmarks—the Russell 1000 Value Index and the BC U.S. Aggregate Bond Index; and with the Fund’s prior composite benchmark (the “Prior Composite”), a 60%/40% blend of the Russell 1000 Value Index and the BC U.S. Aggregate Bond Index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2013. The directors noted that the Fund was in the 5th quintile of the Performance Group and 4th quintile of the Performance Universe for the 1-year period, in the 3rd quintile of the Performance Group and 1st quintile of the Performance Universe for the 3-year period, in the 3rd quintile of the Performance Group and 2nd quintile of the Performance Universe for the 5-year period, and in the 4th quintile of the Performance Group and the Performance Universe for the 10-year period. The Fund lagged the MSCI World Index in the 1- and 10-year periods, and outperformed it in the 3- and 5-year periods, and outperformed the BC Global Aggregate Bond Index in all periods. It lagged the Russell 1000 Value Index in all periods except the 5-year period, outperformed the BC U.S. Aggregate Bond Index in all periods except the 5-year period, and lagged the Prior Composite in the 1- and 10-year periods, outperformed it in the 3-year period and essentially matched it in the 5-year period. The directors also reviewed performance information for periods ended March 31, 2013 (for which the data was not limited to Class A Shares), and noted that in the 3-month period the Fund had lagged the Lipper Mixed-Asset Target Allocation Growth Funds Average and the indices except that it outperformed the BC Global Aggregate Bond Index. The directors noted that at their July/August 2012 meetings they had approved changes to the Fund’s investment policies and strategy, including new benchmarks, the MSCI World
84 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Index and the BC Global Aggregate Bond Index, and a blended index consisting of 60% MSCI World Index and 40% BC Global Aggregate Bond Index, and a name change to AllianceBernstein Global Risk Allocation Fund from AllianceBernstein Balanced Shares, effective October 2012. As a result, the directors gave less weight to the Fund’s investment performance prior to October 2012. Based on their review, the directors concluded that the Fund’s performance was acceptable. The directors determined to continue to monitor the Fund’s performance closely.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate paid by the Fund to the Adviser and information prepared by Lipper concerning fee advisory rates paid by other funds in the same Lipper category as the Fund at a common asset level. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
The directors also considered the advisory fees the Adviser charges non-fund clients pursuing a substantially similar investment style. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and the evaluation from the Fund’s Senior Officer. The directors noted that although the institutional fee schedule started at a rate different from the Fund’s starting fee rate, it had more breakpoints at lower asset levels than the fee schedule applicable to the Fund. The application of the institutional fee schedule to the level of assets of the Fund would result in a fee rate lower than the rate being paid by the Fund. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also reviewed information provided by the Adviser that indicated that the Fund’s fee rate is higher than the sub-advisory fee rate earned by the Adviser for sub-advising another registered investment company with a similar investment style.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients and sub-advised funds. The Adviser also noted that because mutual funds are constantly issuing and redeeming shares, they are more difficult to manage than an institutional account, where the assets tend to be relatively stable. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to funds such as the Fund, the directors considered these comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund may invest in shares of exchange-traded funds (“ETFs”). The directors noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed,
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 85 |
information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it opportunistically uses ETFs when they represent the least expensive way to obtain desired exposures for a fund or to temporarily “equitize” cash inflows pending purchases of underlying securities, that the advisory fee for the Fund would be paid for services that would be in addition to, rather than duplicative of, the services to be provided under the advisory contracts of the ETFs.
The directors also considered the total expense ratio of the Class A shares of the Fund in comparison to the fees and expenses of funds within two comparison groups created by Lipper: an Expense Group and an Expense Universe. Lipper described an Expense Group as a representative sample of funds similar to the Fund and an Expense Universe as a broader group, consisting of all funds in the investment classification/objective with a similar load type as the Fund. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s Lipper category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view the expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others.
The information reviewed by the directors showed that, at the Fund’s current size, its contractual effective advisory fee rate of 50.9 basis points, plus the 1 basis point impact of the administrative expense reimbursement in the latest fiscal year, was lower than the Expense Group medians. The directors noted that the Fund’s total expense ratio was lower than the Expense Group and the Expense Universe medians. The directors concluded that the Fund’s expense ratio was satisfactory.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints and that the Fund’s net assets were higher than the breakpoint levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AllianceBernstein Funds, and by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale at the May 2013 meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole,
86 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s breakpoint arrangements were acceptable and were resulting in a sharing of economies of scale.
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 87 |
THE FOLLOWING IS NOT PART OF THE SHAREHOLDER REPORT OR THE FINANCIAL STATEMENTS
SUMMARY OF SENIOR OFFICER’S EVALUATION OF INVESTMENT ADVISORY AGREEMENT1
The following is a summary of the evaluation of the Investment Advisory Agreement between AllianceBernstein L.P. (the “Adviser”) and the AllianceBernstein Global Risk Allocation Fund, Inc. (the “Fund”),2,3 prepared by Philip L. Kirstein, the Senior Officer of the Fund for the Directors of the Fund, as required by the August 2004 agreement between the Adviser and the New York State Attorney General (the “NYAG”). The Senior Officer’s evaluation of the Investment Advisory Agreement is not meant to diminish the responsibility or authority of the Board of Directors to perform its duties pursuant to Section 15 of the Investment Company Act of 1940 (the “40 Act”) and applicable state law. The purpose of the summary is to provide shareholders with a synopsis of the independent evaluation of the reasonableness of the advisory fees proposed to be paid by the Fund which was provided to the Directors in connection with their review of the proposed approval of the continuance of the Investment Advisory Agreement.
The Senior Officer’s evaluation considered the following factors:
1. | Advisory fees charged to institutional and other clients of the Adviser for like services; |
2. | Advisory fees charged by other mutual fund companies for like services; |
3. | Costs to the Adviser and its affiliates of supplying services pursuant to the advisory agreement, excluding any intra-corporate profit; |
4. | Profit margins of the Adviser and its affiliates from supplying such services; |
5. | Possible economies of scale as the Fund grows larger; and |
6. | Nature and quality of the Adviser’s services including the performance of the Fund. |
1 | The information in the fee evaluation was completed on April 22, 2013 and discussed with the Board of Directors on April 30-May 2, 2013. |
2 | Future references to the Fund do not include “AllianceBernstein.” References in the fee summary pertaining to performance and expense ratio rankings refer to the Class A shares of the Fund. |
3 | On October 8, 2012, the Fund changed its name from AllianceBernstein Balanced Shares, Inc. to AllianceBernstein Global Risk Allocation Fund, Inc. The Fund’s eliminated its non-fundamental policies that the Fund’s investments normally consist of about 60% in stocks and 40% in fixed-income securities and that fixed-income securities not normally exceed 60% of the Fund’s investments. The Fund made certain material changes to its investment strategy, including the implementation of the tail risk parity strategy and the adoption of a global rather than a U.S. focus. In addition, the Fund’s portfolio management team was changed. |
88 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
These factors, with the exception of the first factor, are generally referred to as the “Gartenberg factors,” which were articulated by the United States Court of Appeals for the Second Circuit in 1982. Gartenberg v. Merrill Lynch Asset Management, Inc., 694 F. 2d 923 (2d Cir. 1982). On March 30, 2010, the Supreme Court held the Gartenberg decision was correct in its basic formulation of what §36(b) requires: to face liability under §36(b), “an investment adviser must charge a fee that is so disproportionately large that it bears no reasonable relationship to the services rendered and could not have been the product of arm’s length bargaining.” Jones v. Harris Associates L.P., 130 S. Ct. 1418 (2010). In Jones, the Court stated the Gartenberg approach fully incorporates the correct understanding of fiduciary duty within the context of section 36(b) and noted with approval that “Gartenberg insists that all relevant circumstances be taken into account” and “uses the range of fees that might result from arm’s length bargaining as the benchmark for reviewing challenged fees.”4
FUND ADVISORY FEES, NET ASSETS & EXPENSE RATIOS
The Adviser proposed that the Fund pays the advisory fee set forth in the table below for receiving the services to be provided pursuant to the Investment Advisory Agreement.
Fund | Net Assets 3/31/13 ($MIL) | Advisory Fee Schedule5 | ||
Global Risk Allocation Fund, Inc. | $ 520.0 | 0.60% on 1st $200 million 0.50% on next $200 million 0.40% on the balance |
The Adviser is reimbursed as specified in the Investment Advisory Agreement for certain clerical, legal, accounting, administrative and other services provided to the Fund. During the Fund’s most recently completed fiscal year, the Adviser received $80,701 (0.014% of the Fund’s average daily net assets) for such services.
4 | Jones v. Harris at 1427. |
5 | The advisory fee of the Fund is based on the percentage of the Fund’s average daily net assets and is paid on a monthly basis. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 89 |
Set forth below are the Fund’s total expense ratios for the most recently completed fiscal year:
Fund | Total Expense Ratio | Fiscal Year | ||||||
Global Risk Allocation Fund, Inc.6 | Advisor Class A Class B Class C Class R Class K Class I |
| 0.79 1.09 1.85 1.82 1.38 1.07 0.64 | % % % % % % % | November 30 |
I. | ADVISORY FEES CHARGED TO INSTITUTIONAL AND OTHER CLIENTS |
The advisory fees charged to investment companies which the Adviser manages and sponsors are normally higher than those charged to similar sized institutional accounts, including pension plans and sub-advised investment companies. The fee differential reflects, among other things, different services provided to such clients, and different liabilities assumed. Services to be provided by the Adviser to the Fund that are not provided to non-investment company clients include providing office space and personnel to serve as Fund Officers, who among other responsibilities make the certifications required under the Sarbanes–Oxley Act of 2002, and coordinating with and monitoring the Fund’s third party service providers such as Fund counsel, auditors, custodians, transfer agents and pricing services. The accounting, administrative, legal and compliance requirements for the Fund are more costly than those for institutional client assets due to the greater complexities and time required for investment companies, although as previously noted, the Adviser is reimbursed for providing such services. The Adviser also believes that it incurs substantial entrepreneurial risk when offering a new mutual fund, since establishing a new mutual fund requires a large upfront investment and it may take a long time for the fund to achieve profitability since the fund must be priced to scale from inception in order to be competitive and assets are acquired one account at a time. In addition, managing the cash flow of an investment company may be more difficult than managing that of a stable pool of assets, such as an institutional account with little cash movement in either direction, particularly, if a fund is in net redemption and the Adviser is frequently forced to sell securities to raise cash for redemptions. However, managing a fund with positive cash flow may be easier at times than managing a stable pool of assets. Finally, in recent years, investment advisers have been sued by institutional clients and have suffered reputational damage both by the attendant publicity and outcomes other than complete victories. Accordingly, the legal and reputational risks associated with institutional accounts are greater than previously thought, although still not equal to those related to the mutual fund industry.
6 | During the Fund’s most recently completed fiscal year, the Fund purchased and held a position in an ETF, which accounted for 2.49% of the Fund’s average net assets. The Fund’s underlying expense ratio related to the ETF holding was 0.03%. |
90 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Notwithstanding the Adviser’s view that managing an investment company is not comparable to managing other institutional accounts because the services provided are different, the Supreme Court has indicated consideration should be given to the advisory fees charged to institutional accounts with a similar investment style as the Fund.7 In addition to the AllianceBernstein Institutional fee schedule, set forth below is what would have been the effective advisory fee of the Fund had the AllianceBernstein Institutional fee schedule been applicable to the Fund based on March 31, 2013 net assets.8
Fund | Net Assets 3/31/13 ($MM) | AllianceBernstein Fee Schedule | Effective AB Inst. Adv. Fee | Fund Advisory Fee | ||||||||
Global Risk Allocation Fund, Inc. | $ 520.0 | Tail Risk Parity 0.50% on 1st $100 million 0.40% on next $400 million 0.30% on next the balance Minimum Account Size: $100 m | 0.415% | 0.515% |
The Adviser provides sub-advisory services to certain other investment companies managed by other fund families. The Adviser charges the fee set forth below for the sub-advisory relationship that has a somewhat similar investment style as the Fund. Also shown is the Fund’s advisory fee and what would have been the effective advisory fee of the Fund had the fee schedule of the sub-advisory relationship been applicable to the Fund based on March 31, 2013 net assets:
Fund | Fee Schedule | Effective Sub-Adv. Fee | Fund Advisory | |||||||||
Global Risk Allocation Fund, Inc. | Client #1 | 0.30% of average daily net assets | 0.300% | 0.515% |
It is fair to note that the services the Adviser provides pursuant to sub-advisory agreements are generally confined to the services related to the investment process; in other words, they are not as comprehensive as the services provided to the Fund by the Adviser.
While it appears that the sub-advisory relationship is paying a lower fee than the Fund, it is difficult to evaluate the relevance of such lower fee due to differences
7 | The Supreme Court stated that “courts may give such comparisons the weight that they merit in light of the similarities and differences between the services that the clients in question require, but the courts must be wary of inapt comparisons.” Among the significant differences the Supreme Court noted that may exist between services provided to mutual funds and institutional accounts are “higher marketing costs.” Jones v. Harris at 1428. |
8 | The Adviser has indicated that with respect to institutional accounts with assets greater than $300 million, it will negotiate a fee schedule. Discounts that are negotiated vary based upon each client relationship. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 91 |
in terms of the services provided, risks involved and other competitive factors between the Fund and sub-advisory relationship. There could be various business reasons why an investment adviser would be willing to provide a sub-advisory relationship investment related services at a different fee level than an investment company it is sponsoring where the investment adviser is providing all the services, not just investment management, generally required by a registered investment company
II. | MANAGEMENT FEES CHARGED BY OTHER MUTUAL FUND COMPANIES FOR LIKE SERVICES. |
Lipper, Inc. (“Lipper”), an analytical service that is not affiliated with the Adviser, compared the fees charged to the Fund with fees charged to other investment companies for similar services offered by other investment advisers.9 Lipper’s analysis included the comparison of the Fund’s contractual management fee, estimated at the approximate current asset level of the Fund, to the median of the Fund’s Lipper Expense Group (“EG”)10 and the Fund’s contractual management fee ranking.11
Lipper describes an EG as a representative sample of comparable funds. Lipper’s standard methodology for screening funds to be included in an EG entails the consideration of several fund criteria, including fund type, investment classification/objective, load type and similar 12b-1/non-12b-1 service fees, asset (size) comparability, expense components and attributes. An EG will typically consist of seven to twenty funds.
9 | The Supreme Court cautioned against accepting mutual fund fee comparisons without careful scrutiny since “these comparisons are problematic because these fees, like those challenged, may not be the product of negotiations conducted at arm’s length.” Jones v. Harris at 1429. |
10 | Lipper does not consider average account size when constructing EGs. Funds with relatively small average account sizes tend to have higher transfer agent expense ratio than comparable sized funds that have relatively large average account sizes. Note that there are limitations on Lipper expense category data because different funds categorize expenses differently. |
11 | The contractual management fee is calculated by Lipper using the Fund’s contractual management fee rate at a hypothetical asset level. The hypothetical asset level is based on the combined net assets of all classes of the Fund, rounded up to the next $25 million. Lipper’s total expense ratio information is based on the most recent annual report except as otherwise noted. A ranking of “1” would mean that the Fund had the lowest effective fee rate in the Lipper peer group. |
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Fund | Contractual Management Fee (%)12 | Lipper EG Median (%) | Lipper EG Rank | |||||||||
Global Risk Allocation Fund, Inc. | 0.509 | 0.650 | 1/11 |
Lipper also compared the Fund’s total expense ratio to the medians of the Fund’s EG and Lipper Expense Universe (“EU”).13 The EU is a broader group compared to the EG, consisting of all funds that have the same investment classifications/objective and load type as the subject Fund. Set forth below is Lipper’s comparison of the Fund’s total expense ratio and the medians of the Fund’s EG and EU. The Fund’s total expense ratio rankings are also shown.
Fund | Total Expense Ratio (%)14 | Lipper EG | Lipper EG Rank | Lipper EU Median (%) | Lipper Rank | |||||||||||||||
Global Risk Allocation Fund, Inc. | 1.094 | 1.177 | 5/11 | 1.200 | 13/48 |
Based on this analysis, the Fund has a more favorable ranking on a contractual management fee basis than on a total expense ratio basis.
III. | COSTS TO THE ADVISER AND ITS AFFILIATES OF SUPPLYING SERVICES PURSUANT TO THE MANAGEMENT FEE ARRANGEMENT, EXCLUDING ANY INTRA-CORPORATE PROFIT. |
The Adviser utilizes two profitability reporting systems, which operate independently but are aligned with each other, to estimate the Adviser’s profitability in connection with investment advisory services provided to the Fund. The Senior Officer has retained a consultant to provide independent advice regarding the alignment of the two profitability systems as well as the methodologies and allocations utilized by both profitability systems. See Section IV for additional discussion.
IV. | PROFIT MARGINS OF THE ADVISER AND ITS AFFILIATES FOR SUPPLYING SUCH SERVICES. |
The Fund’s profitability information, prepared by the Adviser for the Board of Directors, was reviewed by the Senior Officer and the consultant. The Adviser’s profitability from providing investment advisory services to the Fund increased during calendar year 2012, relative to 2011.
12 | The contractual management fee rate does not reflect any expense reimbursement payments made by the Fund to the Adviser for certain clerical, legal, accounting, administrative, and other services. |
13 | Except for asset (size) comparability, Lipper uses the same criteria for selecting an EG when selecting an EU. Unlike the EG, the EU allows for the same adviser to be represented by more than just one fund. |
14 | Most recently completed fiscal year end Class A total expense ratio. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 93 |
In addition to the Adviser’s direct profits from managing the Fund, certain of the Adviser’s affiliates have business relationships with the Fund and may earn a profit from providing other services to the Fund. The courts have referred to this type of business opportunity as “fall-out benefits” to the Adviser and indicated that such benefits should be factored into the evaluation of the total relationship between the Fund and the Adviser. Neither case law nor common business practice precludes the Adviser’s affiliates from earning a reasonable profit on this type of relationship provided the affiliates’ charges and services are competitive and the relationship otherwise complies with the 40 Act restrictions. These affiliates provide transfer agent, distribution and brokerage related services to the Fund and receive transfer agent fees, Rule 12b-1 payments, front-end sales loads, contingent deferred sales charges (“CDSC”) and brokerage commissions. In addition, the Adviser benefits from soft dollar arrangements which offset expenses the Adviser would otherwise incur.
AllianceBernstein Investments, Inc. (“ABI”), an affiliate of the Adviser, is the Fund’s principal underwriter. ABI and the Adviser have disclosed in the Fund’s prospectus that they may make revenue sharing payments from their own resources, in addition to resources derived from sales loads and Rule 12b-1 fees, to firms that sell shares of the Fund. In 2012, ABI paid approximately 0.05% of the average monthly assets of the AllianceBernstein Mutual Funds or approximately $19 million for distribution services and educational support (revenue sharing payments).
During the Fund’s most recently completed fiscal year, ABI received from the Fund $9,143, $2,318,816 and $27,397 in front-end sales charges, Rule 12b-1 and CDSC fees, respectively.
Fees and reimbursements for out of pocket expenses charged by AllianceBernstein Investor Services, Inc. (“ABIS”), the affiliated transfer agent for the Fund, are charged on a per account basis, based on the level of service provided and the class of share held by the account. ABIS also receives a fee per shareholder sub-account for each account maintained by an intermediary on an omnibus basis. During the Fund’s most recently completed fiscal year, ABIS received $432,711 in fees from the Fund.
The Fund effected brokerage transactions through the Adviser’s affiliate, Sanford C. Bernstein & Co., LLC (“SCB & Co.”) and/or its U.K. affiliate, Sanford C. Bernstein Limited (“SCB Ltd.”), collectively “SCB,” and paid commissions during the Fund’s most recently completed fiscal year. The Adviser represented that SCB’s profitability from business conducted with the Fund is comparable to the profitability of SCB’s dealings with other similar third party clients. In the ordinary course of business, SCB receives and pays liquidity rebates from electronic communications networks (“ECNs”) derived from trading for its clients. These credits and charges are not being passed onto any SCB client. The Adviser
94 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
also receives certain soft dollar benefits from brokers that execute agency trades for the Fund and other clients. These soft dollar benefits reduce the Adviser’s cost of doing business and increase its profitability.
V. | POSSIBLE ECONOMIES OF SCALE |
The Adviser has indicated that economies of scale are being shared with shareholders through pricing to scale, breakpoints, fee reductions/waivers and enhancement to services.
In May 2012, an independent consultant, retained by the Senior Officer, provided the Board of Directors information on the Adviser’s firm-wide average costs from 2005 through 2011 and the potential economies of scale. The independent consultant noted that from 2005 through 2007 the Adviser experienced significant growth in assets under management (“AUM”). During this period, operating expenses increased, in part to keep up with growth, and in part reflecting market returns. However, from 2008 through the first quarter of 2009, AUM rapidly and significantly decreased due to declines in market value and client withdrawals. When AUM rapidly decreased, some operating expenses categories, including base compensation and office space, adjusted more slowly during this period, resulting in an increase in average costs. Since 2009, AUM has experienced less significant changes. The independent consultant noted that changes in operating expenses reflect changes in business composition and business practices in response to changes in financial markets. Finally, the independent consultant concluded that the increase in average cost and the decline in net operating margin across the Adviser since late 2008 are inconsistent with the view that there are currently reductions in average costs due to economies of scale that can be shared with the AllianceBernstein Mutual Funds managed by the Adviser through lower fees.
Previously, in February 2008, the independent consultant provided the Board of Directors an update of the Deli15 study on advisory fees and various fund characteristics.16 The independent consultant first reiterated the results of his previous two dimensional comparison analysis (fund size and family size) with the Board of Directors.17 The independent consultant then discussed the results of the
15 | The Deli study, originally published in 2002 based on 1997 data and updated for the February 2008 Presentation, may be of diminished value due to the age of the data used in the presentation and the changes experienced in the industry over the last four years. |
16 | As mentioned previously, the Supreme Court cautioned against accepting mutual fund fee comparisons without careful scrutiny since the fees may not be the product of negotiations conducted at arm’s length. See Jones V. Harris at 1429. |
17 | The two dimensional analysis showed patterns of lower advisory fees for funds with larger asset sizes and funds from larger family sizes compared to funds with smaller asset sizes and funds from smaller family sizes, which according to the independent consultant is indicative of a sharing of economies of scale and scope. However, in less liquid and active markets, such is not the case, as the empirical analysis showed potential for diseconomies of scale in those markets. The empirical analysis also showed diminishing economies of scale and scope as funds surpassed a certain high level of assets. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 95 |
regression model that was utilized to study the effects of various factors on advisory fees. The regression model output indicated that the bulk of the variation in fees predicted were explained by various factors, but substantially by fund AUM, family AUM, index fund indicator and investment style. The independent consultant also compared the advisory fees of the AllianceBernstein Mutual Funds to similar funds managed by 19 other large asset managers, regardless of the fund size and each Adviser’s proportion of mutual fund assets to non-mutual fund assets.
VI. | NATURE AND QUALITY OF THE ADVISER’S SERVICES, INCLUDING THE PERFORMANCE OF THE FUND |
With assets under management of approximately $433 billion as of March 31, 2013, the Adviser has the investment experience to manage and provide non-investment services (described in Section I) to the Fund.
The information prepared by Lipper shows the 1, 3, 5 and 10 year performance returns and rankings18 of the Fund relative to its Lipper Performance Group (“PG”) and Lipper Performance Universe (“PU”)19 for the periods ended February 28, 2013.20
Fund Return (%) | PG Median (%) | PU Median (%) | PG Rank | PU Rank | ||||||||||||
1 year | 7.39 | 9.55 | 8.87 | 9/11 | 86/109 | |||||||||||
3 year | 10.71 | 10.33 | 9.43 | 5/11 | 19/102 | |||||||||||
5 year | 4.43 | 4.43 | 3.95 | 6/11 | 34/93 | |||||||||||
10 year | 6.78 | 6.98 | 7.63 | 6/9 | 38/54 |
Set forth below are the 1, 3, 5 and 10 year and since inception performance returns of the Fund (in bold)21 versus its benchmarks.22
18 | The performance returns and rankings of the Fund are for the Fund’s Class A shares. The Fund’s performance returns were provided by Lipper. |
19 | The Fund’s PG is identical to the Fund’s EG. The Fund’s PU is not identical to the Fund’s EU as the criteria for including/excluding a fund from a PU is somewhat different from that of an EU. |
20 | The current Lipper investment classification/objective dictates the PG and PU throughout the life of the Fund even if a Fund had a different investment classification/objective at a different point in time. |
21 | The performance returns and risk measures shown in the table are for the Class A shares of the Fund. |
22 | The Adviser provided Fund and benchmark performance return information for periods through February 28, 2013. |
96 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
Periods Ending February 28, 2013 Annualized Performance | ||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | 10 Year (%) | Since Inception (%) | ||||||||||||||||
Global Risk Allocation Fund, Inc.23 | 7.39 | 10.71 | 4.43 | 6.78 | 8.95 | |||||||||||||||
MSCI World Index (Net) | 10.69 | 9.81 | 1.56 | 8.59 | N/A | |||||||||||||||
Barclays Capital Global Aggregate Index | 0.77 | 4.35 | 4.13 | 5.52 | N/A | |||||||||||||||
Russell 1000 Value Index | 17.63 | 13.66 | 3.88 | 8.77 | N/A | |||||||||||||||
Inception Date: June 8, 1932 |
Based on the factors discussed above the Senior Officer’s conclusion is that the proposed fee for the Fund is reasonable and within the range of what would have been negotiated at arm’s-length in light of all the surrounding circumstances. This conclusion in respect of the Fund is based on an evaluation of all of these factors and no single factor was dispositive.
Date: May 29, 2013
23 | Volatility, Sharpe Ratio, alpha, beta and R2 are shown as “N/R” due to the change to the Fund’s investment strategy and benchmark on October 8, 2012. |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 97 |
THIS PAGE IS NOT PART OF THE SHAREHOLDER REPORT OR THE FINANCIAL STATEMENTS
ALLIANCEBERNSTEIN FAMILY OF FUNDS
Wealth Strategies
Balanced Wealth Strategy
Conservative Wealth Strategy
Wealth Appreciation Strategy
Tax-Managed Balanced Wealth Strategy
Tax-Managed Conservative Wealth Strategy
Tax-Managed Wealth Appreciation Strategy
Asset Allocation/Multi-Asset Funds
Emerging Markets Multi-Asset Portfolio
International Portfolio
Tax-Managed International Portfolio
Growth Funds
Domestic
Discovery Growth Fund**
Growth Fund
Large Cap Growth Fund
Select US Equity Portfolio
Small Cap Growth Portfolio
Global & International
Global Thematic Growth Fund
International Discovery Equity Portfolio
International Growth Fund
Value Funds
Domestic
Core Opportunities Fund
Discovery Value Fund**
Equity Income Fund
Growth & Income Fund
Value Fund
Global & International
Emerging Markets Equity Portfolio
Global Value Fund
International Value Fund
Taxable Bond Funds
Bond Inflation Strategy
Global Bond Fund
High Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
Municipal Bond Funds
Arizona Portfolio California Portfolio High Income Portfolio Massachusetts Portfolio Michigan Portfolio Minnesota Portfolio Municipal Bond Inflation Strategy | National Portfolio New Jersey Portfolio New York Portfolio Ohio Portfolio Pennsylvania Portfolio Virginia Portfolio |
Intermediate Municipal Bond Funds
Intermediate California Portfolio
Intermediate Diversified Portfolio
Intermediate New York Portfolio
Closed-End Funds
Alliance California Municipal Income Fund
Alliance New York Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein Income Fund
AllianceBernstein National Municipal Income Fund
Alternatives
Dynamic All Market Fund
Global Real Estate Investment Fund
Global Risk Allocation Fund**
Market Neutral Strategy-Global
Market Neutral Strategy-U.S.
Real Asset Strategy
Select US Long/Short Portfolio
Unconstrained Bond Fund
Retirement Strategies
2000 Retirement Strategy | 2020 Retirement Strategy | 2040 Retirement Strategy | ||
2005 Retirement Strategy | 2025 Retirement Strategy | 2045 Retirement Strategy | ||
2010 Retirement Strategy | 2030 Retirement Strategy | 2050 Retirement Strategy | ||
2015 Retirement Strategy | 2035 Retirement Strategy | 2055 Retirement Strategy |
We also offer Exchange Reserves,* which serves as the money market fund exchange vehicle for the AllianceBernstein mutual funds.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.alliancebernstein.com or contact your AllianceBernstein investments representative. Please read the prospectus and/or summary prospectus carefully before investing.
* | An investment in Exchange Reserves is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. |
** | Prior to October 8, 2012, Global Risk Allocation Fund was named Balanced Shares. Prior to November 1, 2012, Discovery Growth Fund was named Small/Mid Cap Growth Fund and Discovery Value Fund was named Small/Mid Cap Value Fund. |
98 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
AllianceBernstein Family of Funds
NOTES
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND • | 99 |
NOTES
100 | • ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND |
ALLIANCEBERNSTEIN GLOBAL RISK ALLOCATION FUND
(formerly Balanced Shares)
1345 Avenue of the Americas
New York, NY 10105
800.221.5672
GRA-0152-0513 |
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
The following exhibits are attached to this Form N-CSR:
EXHIBIT NO. | DESCRIPTION OF EXHIBIT | |
12 (b) (1) | Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
12 (b) (2) | Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
12 (c) | Certification of Principal Executive Officer and Principal Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): AllianceBernstein Global Risk Allocation Fund, Inc.
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President | ||
Date: | July 22, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President | ||
Date: | July 22, 2013 | |
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer | ||
Date: | July 22, 2013 |