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
AB 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, 2016
Date of reporting period: May 31, 2016
ITEM 1. | REPORTS TO STOCKHOLDERS. |
MAY 05.31.16
SEMI-ANNUAL REPORT
AB GLOBAL RISK ALLOCATION FUND
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.abfunds.com or contact your AB 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 AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB 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. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
July 13, 2016
Semi-Annual Report
This report provides management’s discussion of fund performance for AB Global Risk Allocation Fund (the “Fund”) for the semi-annual reporting period ended May 31, 2016.
Investment Objectives and Policies
The Fund’s investment objective is total return consistent with reasonable risks through a combination of income and long-term growth of capital. The Fund invests dynamically in a number of global asset classes, including equity/credit, fixed-income, and inflation-indexed 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 US and foreign governments and their agencies and instrumentalities |
• | inflation-linked—global inflation-indexed 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. With respect to the inflation-indexed asset class, the Fund may also seek exposure, at times significantly, to commodities and commodities-related instruments and derivatives since these instruments are typically affected directly or indirectly by the level and change in inflation. 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 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, Moody’s Investors Service, Inc., or Fitch Ratings, which are commonly known as “junk bonds”). As an operating policy, the Fund will invest no more than 5% of its assets in securities rated CCC- or below.
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-US
AB GLOBAL RISK ALLOCATION FUND • | 1 |
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 contracts 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 derivatives 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 derivatives 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 US 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 allocation to equity/credit and inflation-indexed securities will
typically decrease during bear markets. In addition, the Fund may at times invest in shares of exchange-traded funds (“ETFs”) in lieu of making direct investments in securities.
While the Fund may seek to gain exposure to physical commodities traded in the commodities markets through investments in a variety of derivative instruments, the Adviser expects that the Fund will seek to gain exposure to commodities and commodities-related instruments and derivatives primarily through investments in AllianceBernstein Global Risk Allocation (Cayman) Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Subsidiary is advised by the Adviser and has the same investment objective and substantially similar investment policies and restrictions as the Fund except that the Subsidiary, unlike the Fund, may invest, without limitation, in commodities and commodities-related instruments. The Fund will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests, to the extent of its investment in the Subsidiary. The Fund limits its investment in the Subsidiary to no more than 25% of its total assets. Investment in the Subsidiary is expected to provide the Fund with commodity exposure within the limitations of federal tax requirements that apply to the Fund.
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
2 | • AB GLOBAL RISK ALLOCATION FUND |
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, and its blended benchmark, a 60%/40% blend of MSCI World Index/Barclays Global Aggregate Bond Index, respectively, for the six- and 12-month periods ended May 31, 2016. Also included in the table are the individual performance of the Barclays Global Aggregate Bond Index, and the Fund’s peer group, as represented by the Lipper Flexible Portfolio Funds Average (the “Lipper Average”). Funds in the Lipper Average have generally similar investment objectives to the Fund, although some of the Funds may have different investment policies and sales and management fees and fund expenses.
During both periods, all share classes of the Fund underperformed the primary and blended benchmarks, before sales charges. Global growth risk was the biggest factor driving the Fund’s performance in both periods. The Fund maintained an overweight to European and Japanese growth assets relative to the benchmark, which detracted from returns for the six-month period. Both European and Japanese equity markets experienced significant sell-offs during the risk off period in January and early February, triggered by the Chinese currency devaluation, the collapse of crude oil prices, concerns associated with European banks and growth and the
adverse response to the Bank of Japan negative interest rate policy. The Fund’s European equity exposure was also a significant detractor for the 12-month period, as the Greek debt crisis occurred during the first six months and severely impacted European growth assets.
Interest rate exposure contributed for both periods, with the strongest returns occurring in the last six months, as interest rates in several major countries fell significantly. Both Japanese and European central banks furthered monetary easing and the US Federal Reserve lowered the pace of interest rate hikes further than what was expected at the end of 2015, responding to financial market volatilities and concerns with global economic growth. The Fund’s exposure to inflation-protected bonds and commodity futures provided positive return contributions in both periods. The Fund’s timing of real assets contributed during a challenging 12-month period, driven by the Chinese currency devaluation, the collapse of energy prices and a volatile US dollar.
Derivatives used for hedging and investment purposes included stock index futures, Treasury futures and purchased options, which detracted during both periods, in absolute terms; written options added during both periods; currency forwards and total return swaps detracted during the six-month period and added during the 12-month period; interest rate swaps and credit default swaps added during the six-month period and detracted during the 12-month period; and written swaptions added during the 12-month period.
AB GLOBAL RISK ALLOCATION FUND • | 3 |
Market Review and Investment Strategy
The Fund’s Senior Investment Management Team uses proprietary signals along with fundamental insights when allocating risk. Over the 12-month period, the Fund meaningfully reduced its long exposure to commodity futures, given their heightened downside risk in an environment of a strengthening US dollar and a slowdown in China. In February, commodity futures exposures were added back as the Fund’s signals suggested improvement amidst stabilizing and rebounding energy prices and a weakening US dollar. These active allocation decisions around commodities helped performance during the period.
Over the six-month period, the Fund maintained exposures to both global equity and interest rates. Within the
Fund’s equity exposures, the non-US equity positions were the biggest detractors of performance at the beginning of 2016. During the same period, the fixed-income exposures contributed as interest rates fell. The Fund increased its allocation to US inflation-protected bonds in the middle of February, taking advantage of the low inflation break-even rates.
On June 23, 2016, the UK voted to leave the European Union (“EU”) in a popular referendum. At this moment in time, the UK remains a member of the EU and the rules and regulations remain unchanged, as do all the protections in place. Exactly how the UK’s role in the EU will change will become clear over time. The Adviser continues to monitor the heightened market volatility.
4 | • AB GLOBAL RISK ALLOCATION FUND |
DISCLOSURES AND RISKS
Benchmark Disclosure
The MSCI World Index and the Barclays Global Aggregate Bond Index are unmanaged and 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-US 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 Barclays Global Aggregate Index represents the performance of the global investment-grade developed fixed-income markets. The blended benchmark performance consists of a 60%/40% blend of the MSCI World Index and the Barclays Global Aggregate Bond Index, respectively. 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 tends to fall and this decrease in value may not be offset by higher income from new investments. The Fund may be subject to a heightened risk of rising rates as the current period of historically low interest rates ends. 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.
Commodity Risk: Investing in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Below Investment Grade Securities 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.
(Disclosures, Risks and Note about Historical Performance continued on next page)
AB GLOBAL RISK ALLOCATION FUND • | 5 |
Disclosures and Risks
DISCLOSURES AND RISKS
(continued from previous page)
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.
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.
Subsidiary Risk: By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and, unless otherwise noted in the Fund’s prospectus, is not subject to all of the investor protections of the 1940 Act. However, the Fund wholly owns and controls the Subsidiary, and the Fund and the Subsidiary are managed by the Adviser, making it unlikely the Subsidiary will take actions contrary to the interests of the Fund or its shareholders. In addition, changes in federal tax laws applicable to the Fund or interpretations hereof could limit the Fund’s ability to gain exposure to commodities investments through investments in the Subsidiary.
Derivatives Risk: 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. As with all investments, you may lose money by investing in the Fund.
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.abfunds.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 | • AB GLOBAL RISK ALLOCATION FUND |
Disclosures and Risks
HISTORICAL PERFORMANCE
THE FUND VS. ITS BENCHMARKS | NAV Returns | |||||||||
6 Months | 12 Months | |||||||||
AB Global Risk Allocation Fund* | ||||||||||
Class A | -1.51% | -7.16% | ||||||||
| ||||||||||
Class B† | -1.93% | -7.94% | ||||||||
| ||||||||||
Class C | -1.93% | -7.91% | ||||||||
| ||||||||||
Advisor Class‡ | -1.39% | -6.95% | ||||||||
| ||||||||||
Class R‡ | -1.65% | -7.45% | ||||||||
| ||||||||||
Class K‡ | -1.51% | -7.18% | ||||||||
| ||||||||||
Class I‡ | -1.27% | -6.78% | ||||||||
| ||||||||||
Primary Benchmark: MSCI World Index | 0.01% | -3.96% | ||||||||
| ||||||||||
Blended Benchmark: 60% MSCI World Index/ 40% Barclays Global Aggregate Bond Index | 2.63% | -0.10% | ||||||||
| ||||||||||
Barclays Global Aggregate Bond Index | 6.43% | 5.32% | ||||||||
| ||||||||||
Lipper Flexible Portfolio Funds Average | 0.65% | -4.96% | ||||||||
| ||||||||||
* 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 six- and 12-month periods ended May 31, 2016, by 0.01% and 0.01%, respectively.
† 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. | ||||||||||
See Disclosures, Risks and Note about Historical Performance on pages 5-6.
(Historical Performance continued on next page)
AB GLOBAL RISK ALLOCATION FUND • | 7 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
AVERAGE ANNUAL RETURNS AS OF MAY 31, 2016 (unaudited) | ||||||||
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
Class A Shares | ||||||||
1 Year | -7.16 | % | -11.10 | % | ||||
5 Years | 3.39 | % | 2.50 | % | ||||
10 Years | 3.41 | % | 2.96 | % | ||||
Class B Shares | ||||||||
1 Year | -7.94 | % | -11.62 | % | ||||
5 Years | 2.60 | % | 2.60 | % | ||||
10 Years(a) | 2.78 | % | 2.78 | % | ||||
Class C Shares | ||||||||
1 Year | -7.91 | % | -8.83 | % | ||||
5 Years | 2.63 | % | 2.63 | % | ||||
10 Years | 2.65 | % | 2.65 | % | ||||
Advisor Class Shares* | ||||||||
1 Year | -6.95 | % | -6.95 | % | ||||
5 Years | 3.68 | % | 3.68 | % | ||||
10 Years | 3.71 | % | 3.71 | % | ||||
Class R Shares* | ||||||||
1 Year | -7.45 | % | -7.45 | % | ||||
5 Years | 3.08 | % | 3.08 | % | ||||
10 Years | 3.10 | % | 3.10 | % | ||||
Class K Shares* | ||||||||
1 Year | -7.18 | % | -7.18 | % | ||||
5 Years | 3.40 | % | 3.40 | % | ||||
10 Years | 3.42 | % | 3.42 | % | ||||
Class I Shares* | ||||||||
1 Year | -6.78 | % | -6.78 | % | ||||
5 Years | 3.84 | % | 3.84 | % | ||||
10 Years | 3.84 | % | 3.84 | % |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.27%, 2.05%, 2.02%, 1.02%, 1.61%, 1.30% and 0.91% 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 their 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. |
See Disclosures, Risks and Note about Historical Performance on pages 5-6.
(Historical Performance continued on next page)
8 | • AB GLOBAL RISK ALLOCATION FUND |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
SEC AVERAGE ANNUAL RETURNS JUNE 30, 2016 (unaudited) | ||||
SEC Returns (reflects applicable sales charges) | ||||
Class A Shares | ||||
1 Year | -4.74 | % | ||
5 Years | 3.34 | % | ||
10 Years | 3.27 | % | ||
Class B Shares | ||||
1 Year | -5.35 | % | ||
5 Years | 3.45 | % | ||
10 Years(a) | 3.11 | % | ||
Class C Shares | ||||
1 Year | -2.25 | % | ||
5 Years | 3.49 | % | ||
10 Years | 2.97 | % | ||
Advisor Class Shares* | ||||
1 Year | -0.34 | % | ||
5 Years | 4.53 | % | ||
10 Years | 4.01 | % | ||
Class R Shares* | ||||
1 Year | -0.84 | % | ||
5 Years | 3.93 | % | ||
10 Years | 3.42 | % | ||
Class K Shares* | ||||
1 Year | -0.52 | % | ||
5 Years | 4.25 | % | ||
10 Years | 3.73 | % | ||
Class I Shares* | ||||
1 Year | -0.09 | % | ||
5 Years | 4.70 | % | ||
10 Years | 4.16 | % |
(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. |
See Disclosures, Risks and Note about Historical Performance on pages 5-6.
AB 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, 2015 | Ending Account Value May 31, 2016 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 984.90 | $ | 6.60 | 1.33 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.35 | $ | 6.71 | 1.33 | % | ||||||||
Class B | ||||||||||||||||
Actual | $ | 1,000 | $ | 980.70 | $ | 10.84 | 2.19 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,014.05 | $ | 11.03 | 2.19 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 980.70 | $ | 10.35 | 2.09 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,014.55 | $ | 10.53 | 2.09 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 986.10 | $ | 5.36 | 1.08 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.60 | $ | 5.45 | 1.08 | % | ||||||||
Class R | ||||||||||||||||
Actual | $ | 1,000 | $ | 983.50 | $ | 8.23 | 1.66 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,016.70 | $ | 8.37 | 1.66 | % | ||||||||
Class K | ||||||||||||||||
Actual | $ | 1,000 | $ | 984.90 | $ | 6.70 | 1.35 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.25 | $ | 6.81 | 1.35 | % | ||||||||
Class I | ||||||||||||||||
Actual | $ | 1,000 | $ | 987.30 | $ | 4.57 | 0.92 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.40 | $ | 4.65 | 0.92 | % |
* | Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
10 | • AB GLOBAL RISK ALLOCATION FUND |
Expense Example
PORTFOLIO SUMMARY
May 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $304.9
* | All data are as of May 31, 2016. 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 0.4% or less in the following countries: Austria, Belgium, Bermuda, Brazil, Chile, Colombia, Denmark, Finland, Hong Kong, Ireland, Italy, Jersey (Channel Islands), Macau, New Zealand, Norway, Portugal, Singapore, South Africa, Sweden and United Arab Emirates. |
AB GLOBAL RISK ALLOCATION FUND • | 11 |
Portfolio Summary
TEN LARGEST HOLDINGS*
May 31, 2016 (unaudited)
Company | U.S. $ Value | Percent of Net Assets | ||||||
U.S. Treasury Inflation Index | $ | 62,031,252 | 20.3 | % | ||||
U.S. Treasury Bonds | 16,279,771 | 5.3 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | 15,916,398 | 5.2 | ||||||
iShares Core MSCI Emerging Markets ETF | 5,938,972 | 2.0 | ||||||
Royal Bank of Scotland Group PLC | 2,621,521 | 0.9 | ||||||
iShares MSCI Switzerland Capped ETF | 2,559,741 | 0.8 | ||||||
Pebblebrook Hotel Trust | 1,701,510 | 0.6 | ||||||
Hersha Hospitality Trust | 1,569,600 | 0.5 | ||||||
Sabra Health Care REIT, Inc. | 1,390,526 | 0.5 | ||||||
Mexico Government International Bond | 1,223,895 | 0.4 | ||||||
$ | 111,233,186 | 36.5 | % |
* | Long-term investments. |
12 | • AB GLOBAL RISK ALLOCATION FUND |
Ten Largest Holdings
CONSOLIDATED PORTFOLIO OF INVESTMENTS
May 31, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
COMMON STOCKS – 29.4% |
| |||||||||
Financials – 4.8% |
| |||||||||
Banks – 1.5% |
| |||||||||
Agricultural Bank of China Ltd. – Class H | 838,000 | $ | 304,076 | |||||||
Aozora Bank Ltd. | 6,000 | 20,302 | ||||||||
Australia & New Zealand Banking Group Ltd. | 1,078 | 19,793 | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 2,771 | 18,348 | ||||||||
Banco Comercial Portugues SA(a) | 445,086 | 15,175 | ||||||||
Banco de Sabadell SA | 11,370 | 19,426 | ||||||||
Banco Espirito Santo SA (REG)(a)(b)(c) | 17,161 | – 0 | –^ | |||||||
Banco Popolare SC | 1,281 | 6,345 | ||||||||
Banco Popular Espanol SA | 4,798 | 7,900 | ||||||||
Banco Santander SA | 3,391 | 16,181 | ||||||||
Bank of America Corp. | 2,247 | 33,233 | ||||||||
Bank of China Ltd. – Class H | 709,000 | 289,493 | ||||||||
Bank of Communications Co., Ltd. – Class H | 451,000 | 279,003 | ||||||||
Bank of East Asia Ltd. (The) | 6,000 | 22,353 | ||||||||
Bank of Ireland(a) | 55,742 | 17,005 | ||||||||
Bank of Kyoto Ltd. (The) | 3,000 | 19,657 | ||||||||
Bank of Montreal | 1,056 | 66,274 | ||||||||
Bank of Nova Scotia (The) | 1,165 | 56,982 | ||||||||
Bank of Queensland Ltd. | 2,343 | 19,649 | ||||||||
Bankia SA | 11,512 | 9,998 | ||||||||
Bankinter SA | 4,382 | 33,306 | ||||||||
Barclays PLC | 8,382 | 22,059 | ||||||||
BB&T Corp. | 1,211 | 44,044 | ||||||||
Bendigo & Adelaide Bank Ltd. | 3,013 | 22,236 | ||||||||
BNP Paribas SA | 319 | 17,678 | ||||||||
BOC Hong Kong Holdings Ltd. | 8,000 | 24,631 | ||||||||
CaixaBank SA | 6,539 | 17,864 | ||||||||
Canadian Imperial Bank of Commerce/Canada | 818 | 63,470 | ||||||||
Chiba Bank Ltd. (The) | 4,000 | 20,839 | ||||||||
China CITIC Bank Corp. Ltd. – Class H | 530,000 | 312,037 | ||||||||
China Construction Bank Corp. – Class H | 465,000 | 299,925 | ||||||||
China Everbright Bank Co., Ltd. – Class H | 690,000 | 295,275 | ||||||||
China Minsheng Banking Corp. Ltd. – Class H | 354,500 | 333,875 | ||||||||
Chugoku Bank Ltd. (The) | 2,000 | 22,566 | ||||||||
CIT Group, Inc. | 751 | 25,729 | ||||||||
Citigroup, Inc. | 740 | 34,462 | ||||||||
Citizens Financial Group, Inc. | 1,676 | 39,470 | ||||||||
Comerica, Inc. | 803 | 37,821 | ||||||||
Commerzbank AG | 1,605 | 13,764 | ||||||||
Commonwealth Bank of Australia | 463 | 25,847 | ||||||||
Concordia Financial Group Ltd.(a) | 4,000 | 18,650 | ||||||||
Credit Agricole SA | 1,284 | 12,900 | ||||||||
CYBG PLC(a) | 273 | 1,145 | ||||||||
Danske Bank A/S | 743 | 21,450 | ||||||||
DBS Group Holdings Ltd. | 1,900 | 21,380 | ||||||||
DNB ASA | 1,440 | 18,421 | ||||||||
Erste Group Bank AG(a) | 715 | 19,127 | ||||||||
Fifth Third Bancorp | 1,944 | 36,683 |
AB GLOBAL RISK ALLOCATION FUND • | 13 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
First Republic Bank/CA | 519 | $ | 37,581 | |||||||
Fukuoka Financial Group, Inc. | 6,000 | 21,722 | ||||||||
Gunma Bank Ltd. (The) | 5,000 | 19,896 | ||||||||
Hachijuni Bank Ltd. (The) | 5,000 | 21,966 | ||||||||
Hang Seng Bank Ltd. | 1,800 | 31,910 | ||||||||
Hiroshima Bank Ltd. (The) | 5,000 | 18,720 | ||||||||
Hokuhoku Financial Group, Inc. | 14,000 | 17,056 | ||||||||
HSBC Holdings PLC | 4,922 | 31,813 | ||||||||
Huntington Bancshares, Inc./OH | 3,843 | 40,159 | ||||||||
ING Groep NV | 1,377 | 17,040 | ||||||||
Intesa Sanpaolo SpA | 5,079 | 13,034 | ||||||||
Intesa Sanpaolo SpA – RSP | 6,000 | 14,558 | ||||||||
Iyo Bank Ltd. (The) | 3,100 | 20,484 | ||||||||
Japan Post Bank Co., Ltd. | 1,700 | 20,228 | ||||||||
Joyo Bank Ltd. (The) | 6,000 | 22,043 | ||||||||
JPMorgan Chase & Co. | 691 | 45,102 | ||||||||
KBC Groep NV(a) | 344 | 20,347 | ||||||||
KeyCorp | 3,004 | 38,511 | ||||||||
Kyushu Financial Group, Inc. | 3,500 | 18,746 | ||||||||
Lloyds Banking Group PLC | 24,951 | 25,973 | ||||||||
M&T Bank Corp. | 381 | 45,529 | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 3,100 | 15,316 | ||||||||
Mizuho Financial Group, Inc. | 12,400 | 19,389 | ||||||||
National Australia Bank Ltd. | 1,095 | 21,423 | ||||||||
National Bank of Canada | 1,517 | 50,345 | ||||||||
Natixis SA | 3,006 | 14,509 | ||||||||
Nordea Bank AB | 2,169 | 21,051 | ||||||||
Oversea-Chinese Banking Corp., Ltd. | 3,279 | 20,532 | ||||||||
People’s United Financial, Inc. | 3,034 | 48,180 | ||||||||
PNC Financial Services Group, Inc. (The) | 507 | 45,498 | ||||||||
Raiffeisen Bank International AG(a) | 1,034 | 13,826 | ||||||||
Regions Financial Corp. | 3,722 | 36,587 | ||||||||
Resona Holdings, Inc. | 5,800 | 21,891 | ||||||||
Royal Bank of Canada | 986 | 59,272 | ||||||||
Royal Bank of Scotland Group PLC(a) | 6,395 | 22,771 | ||||||||
Seven Bank Ltd. | 5,300 | 19,398 | ||||||||
Shinsei Bank Ltd. | 16,000 | 25,498 | ||||||||
Shizuoka Bank Ltd. (The) | 3,000 | 22,266 | ||||||||
Signature Bank/New York NY(a) | 224 | 30,240 | ||||||||
Skandinaviska Enskilda Banken AB – Class A | 2,230 | 21,380 | ||||||||
Societe Generale SA | 353 | 14,566 | ||||||||
Standard Chartered PLC | 2,771 | 21,168 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 500 | 16,155 | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 5,000 | 17,249 | ||||||||
SunTrust Banks, Inc. | 997 | 43,689 | ||||||||
Suruga Bank Ltd. | 1,200 | 26,662 | ||||||||
Svenska Handelsbanken AB – Class A | 1,707 | 21,863 | ||||||||
Swedbank AB – Class A | 1,007 | 22,168 | ||||||||
Toronto-Dominion Bank (The) | 1,439 | 62,669 | ||||||||
UniCredit SpA | 2,927 | 9,376 | ||||||||
Unione di Banche Italiane SpA | 2,692 | 10,009 |
14 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
United Overseas Bank Ltd. | 1,600 | $ | 21,187 | |||||||
US Bancorp | 1,121 | 48,001 | ||||||||
Wells Fargo & Co. | 921 | 46,713 | ||||||||
Westpac Banking Corp. | 925 | 20,454 | ||||||||
Yamaguchi Financial Group, Inc. | 2,000 | 19,422 | ||||||||
|
| |||||||||
4,590,988 | ||||||||||
|
| |||||||||
Capital Markets – 0.6% | ||||||||||
3i Group PLC | 4,572 | 37,139 | ||||||||
Aberdeen Asset Management PLC | 5,793 | 23,363 | ||||||||
Affiliated Managers Group, Inc.(a) | 168 | 29,151 | ||||||||
Ameriprise Financial, Inc. | 357 | 36,296 | ||||||||
Bank of New York Mellon Corp. (The) | 1,004 | 42,228 | ||||||||
BlackRock, Inc. – Class A | 103 | 37,476 | ||||||||
Charles Schwab Corp. (The) | 1,031 | 31,528 | ||||||||
CI Financial Corp. | 1,976 | 43,246 | ||||||||
CITIC Securities Co., Ltd. – Class H | 161,000 | 348,674 | ||||||||
Credit Suisse Group AG (REG)(a) | 1,031 | 14,196 | ||||||||
Daiwa Securities Group, Inc. | 2,000 | 11,575 | ||||||||
Deutsche Bank AG (REG)(a) | 641 | 11,460 | ||||||||
E*TRADE Financial Corp.(a) | 1,107 | 30,874 | ||||||||
Eaton Vance Corp. | 1,010 | 36,724 | ||||||||
Franklin Resources, Inc. | 966 | 36,080 | ||||||||
Goldman Sachs Group, Inc. (The) | 241 | 38,435 | ||||||||
Haitong Securities Co., Ltd. – Class H | 198,800 | 324,845 | ||||||||
Hargreaves Lansdown PLC | 1,429 | 27,876 | ||||||||
ICAP PLC | 3,894 | 24,310 | ||||||||
IGM Financial, Inc. | 1,652 | 48,375 | ||||||||
Invesco Ltd. | 1,157 | 36,330 | ||||||||
Investec PLC | 3,763 | 25,504 | ||||||||
Julius Baer Group Ltd.(a) | 506 | 22,564 | ||||||||
Legg Mason, Inc. | 892 | 30,774 | ||||||||
Macquarie Group Ltd. | 385 | 20,780 | ||||||||
Morgan Stanley | 1,145 | 31,339 | ||||||||
Nomura Holdings, Inc. | 4,600 | 19,741 | ||||||||
Northern Trust Corp. | 569 | 42,163 | ||||||||
Partners Group Holding AG | 65 | 27,408 | ||||||||
Platinum Asset Management Ltd. | 4,355 | 20,675 | ||||||||
Raymond James Financial, Inc. | 745 | 41,772 | ||||||||
SBI Holdings, Inc./Japan | 1,500 | 15,520 | ||||||||
Schroders PLC | 649 | 25,440 | ||||||||
SEI Investments Co. | 789 | 40,586 | ||||||||
State Street Corp. | 594 | 37,458 | ||||||||
T Rowe Price Group, Inc. | 603 | 46,467 | ||||||||
TD Ameritrade Holding Corp. | 1,071 | 34,990 | ||||||||
UBS Group AG | 1,220 | 18,848 | ||||||||
|
| |||||||||
1,772,210 | ||||||||||
|
| |||||||||
Consumer Finance – 0.1% | ||||||||||
Acom Co., Ltd.(a) | 4,600 | 25,187 | ||||||||
AEON Financial Service Co., Ltd. | 900 | 19,740 | ||||||||
Ally Financial, Inc.(a) | 1,506 | 27,018 |
AB GLOBAL RISK ALLOCATION FUND • | 15 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
American Express Co. | 710 | $ | 46,690 | |||||||
Capital One Financial Corp. | 504 | 36,913 | ||||||||
Credit Saison Co., Ltd. | 1,000 | 18,927 | ||||||||
Discover Financial Services | 837 | 47,550 | ||||||||
Navient Corp. | 3,510 | 48,122 | ||||||||
Provident Financial PLC | 510 | 21,494 | ||||||||
Synchrony Financial(a) | 1,208 | 37,690 | ||||||||
|
| |||||||||
329,331 | ||||||||||
|
| |||||||||
Diversified Financial Services – 0.3% | ||||||||||
ASX Ltd. | 962 | 30,916 | ||||||||
Berkshire Hathaway, Inc. – Class B(a) | 288 | 40,476 | ||||||||
Challenger Ltd./Australia | 3,694 | 25,484 | ||||||||
CME Group, Inc./IL – Class A | 476 | 46,596 | ||||||||
Deutsche Boerse AG | 248 | 21,748 | ||||||||
Element Financial Corp. | 2,160 | 25,333 | ||||||||
Eurazeo SA | 381 | 24,809 | ||||||||
EXOR SpA | 491 | 18,637 | ||||||||
First Pacific Co., Ltd./Hong Kong | 30,000 | 19,669 | ||||||||
Groupe Bruxelles Lambert SA | 367 | 31,190 | ||||||||
Hong Kong Exchanges and Clearing Ltd. | 900 | 21,517 | ||||||||
Industrivarden AB – Class C | 1,494 | 25,269 | ||||||||
Intercontinental Exchange, Inc. | 158 | 42,837 | ||||||||
Investment AB Kinnevik | 859 | 20,915 | ||||||||
Investment AB Kinnevik(a) | 859 | 1,843 | ||||||||
Investor AB – Class B | 702 | 24,431 | ||||||||
Japan Exchange Group, Inc. | 1,500 | 20,242 | ||||||||
Leucadia National Corp. | 1,851 | 33,503 | ||||||||
London Stock Exchange Group PLC | 599 | 23,705 | ||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 4,700 | 20,078 | ||||||||
Moody’s Corp. | 399 | 39,357 | ||||||||
MSCI, Inc. – Class A | 514 | 41,012 | ||||||||
Nasdaq, Inc. | 612 | 40,398 | ||||||||
Onex Corp. | 703 | 42,683 | ||||||||
ORIX Corp. | 1,100 | 15,167 | ||||||||
Pargesa Holding SA | 500 | 33,034 | ||||||||
S&P Global, Inc. | 384 | 42,935 | ||||||||
Singapore Exchange Ltd. | 3,800 | 21,407 | ||||||||
Voya Financial, Inc. | 1,167 | 38,348 | ||||||||
Wendel SA | 222 | 25,623 | ||||||||
|
| |||||||||
859,162 | ||||||||||
|
| |||||||||
Insurance – 1.1% | ||||||||||
Admiral Group PLC | 807 | 22,956 | ||||||||
Aegon NV | 3,401 | 17,468 | ||||||||
Aflac, Inc. | 841 | 58,416 | ||||||||
Ageas | 605 | 24,441 | ||||||||
AIA Group Ltd. | 4,200 | 24,636 | ||||||||
Alleghany Corp.(a) | 120 | 65,380 | ||||||||
Allianz SE (REG) | 163 | 26,622 | ||||||||
Allstate Corp. (The) | 838 | 56,573 | ||||||||
American International Group, Inc. | 798 | 46,188 |
16 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
AMP Ltd. | 5,895 | $ | 23,976 | |||||||
Aon PLC | 550 | 60,099 | ||||||||
Arch Capital Group Ltd.(a) | 759 | 55,149 | ||||||||
Arthur J Gallagher & Co. | 1,161 | 56,111 | ||||||||
Assicurazioni Generali SpA | 1,377 | 19,959 | ||||||||
Assurant, Inc. | 479 | 41,860 | ||||||||
Aviva PLC | 3,542 | 23,047 | ||||||||
Axis Capital Holdings Ltd. | 1,017 | 56,088 | ||||||||
Baloise Holding AG (REG) | 270 | 33,358 | ||||||||
China Life Insurance Co., Ltd. – Class H | 88,000 | 196,818 | ||||||||
Chubb Ltd. | 437 | 55,329 | ||||||||
Cincinnati Financial Corp. | 782 | 54,036 | ||||||||
CNP Assurances | 1,485 | 25,202 | ||||||||
Dai-ichi Life Insurance Co., Ltd. (The) | 1,300 | 16,929 | ||||||||
Direct Line Insurance Group PLC | 7,209 | 39,083 | ||||||||
Everest Re Group Ltd. | 298 | 53,375 | ||||||||
Fairfax Financial Holdings Ltd. | 74 | 38,027 | ||||||||
FNF Group | 1,282 | 44,806 | ||||||||
Gjensidige Forsikring ASA | 1,793 | 30,890 | ||||||||
Great-West Lifeco, Inc. | 1,884 | 50,773 | ||||||||
Hannover Rueck SE (REG) | 221 | 24,910 | ||||||||
Hartford Financial Services Group, Inc. (The) | 862 | 38,937 | ||||||||
Industrial Alliance Insurance & Financial Services, Inc. | 1,434 | 46,573 | ||||||||
Insurance Australia Group Ltd. | 6,153 | 26,080 | ||||||||
Intact Financial Corp. | 926 | 64,753 | ||||||||
Japan Post Holdings Co., Ltd. | 1,600 | 20,585 | ||||||||
Legal & General Group PLC | 10,096 | 34,942 | ||||||||
Lincoln National Corp. | 730 | 33,471 | ||||||||
Loews Corp. | 1,588 | 64,282 | ||||||||
Manulife Financial Corp. | 2,680 | 39,893 | ||||||||
Mapfre SA | 12,278 | 31,069 | ||||||||
Markel Corp.(a) | 56 | 53,368 | ||||||||
Marsh & McLennan Cos., Inc. | 1,007 | 66,533 | ||||||||
Medibank Pvt Ltd. | 13,277 | 30,660 | ||||||||
MetLife, Inc. | 806 | 36,713 | ||||||||
MS&AD Insurance Group Holdings, Inc. | 500 | 14,133 | ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | 139 | 26,132 | ||||||||
New China Life Insurance Co., Ltd. – Class H | 74,000 | 254,394 | ||||||||
NN Group NV | 865 | 28,873 | ||||||||
Old Mutual PLC | 7,706 | 19,807 | ||||||||
Power Corp. of Canada | 2,074 | 46,783 | ||||||||
Power Financial Corp. | 2,069 | 50,078 | ||||||||
Principal Financial Group, Inc. | 877 | 39,079 | ||||||||
Progressive Corp. (The) | 1,657 | 55,178 | ||||||||
Prudential Financial, Inc. | 457 | 36,217 | ||||||||
Prudential PLC | 1,453 | 28,969 | ||||||||
QBE Insurance Group Ltd. | 2,590 | 23,231 | ||||||||
RenaissanceRe Holdings Ltd. | 509 | 58,795 | ||||||||
RSA Insurance Group PLC | 4,542 | 32,153 |
AB GLOBAL RISK ALLOCATION FUND • | 17 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Sampo Oyj – Class A | 581 | $ | 25,866 | |||||||
SCOR SE | 655 | 21,915 | ||||||||
Sompo Japan Nipponkoa Holdings, Inc. | 600 | 16,784 | ||||||||
Sony Financial Holdings, Inc. | 1,472 | 17,813 | ||||||||
St James’s Place PLC | 1,688 | 22,616 | ||||||||
Standard Life PLC | 5,165 | 25,301 | ||||||||
Sun Life Financial, Inc. | 1,583 | 54,829 | ||||||||
Suncorp Group Ltd. | 2,885 | 27,013 | ||||||||
Swiss Life Holding AG(a) | 107 | 27,727 | ||||||||
Swiss Re AG | 284 | 25,520 | ||||||||
T&D Holdings, Inc. | 2,150 | 21,250 | ||||||||
Tokio Marine Holdings, Inc. | 500 | 17,162 | ||||||||
Torchmark Corp. | 880 | 54,234 | ||||||||
Travelers Cos., Inc. (The) | 534 | 60,951 | ||||||||
Tryg A/S | 1,275 | 25,107 | ||||||||
UnipolSai SpA | 9,011 | 18,004 | ||||||||
Unum Group | 1,158 | 42,753 | ||||||||
Willis Towers Watson PLC | 414 | 53,000 | ||||||||
WR Berkley Corp. | 999 | 56,973 | ||||||||
XL Group PLC | 1,514 | 52,006 | ||||||||
Zurich Insurance Group AG(a) | 110 | 26,622 | ||||||||
|
| |||||||||
3,337,632 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) – 0.9% | ||||||||||
American Capital Agency Corp. | 3,117 | 58,880 | ||||||||
American Tower Corp. | 481 | 50,880 | ||||||||
Annaly Capital Management, Inc.(d) | 4,937 | 52,233 | ||||||||
Ascendas Real Estate Investment Trust | 12,200 | 20,282 | ||||||||
AvalonBay Communities, Inc. | 273 | 49,107 | ||||||||
Boston Properties, Inc. | 376 | 47,237 | ||||||||
British Land Co. PLC (The) | 2,425 | 25,966 | ||||||||
Brixmor Property Group, Inc. | 1,224 | 30,906 | ||||||||
Camden Property Trust | 593 | 50,529 | ||||||||
CapitaLand Commercial Trust | 20,400 | 20,585 | ||||||||
CapitaLand Mall Trust | 13,900 | 20,498 | ||||||||
Crown Castle International Corp. | 654 | 59,390 | ||||||||
Dexus Property Group | 3,626 | 22,651 | ||||||||
Digital Realty Trust, Inc.(d) | 560 | 53,452 | ||||||||
Duke Realty Corp. | 1,955 | 46,275 | ||||||||
Equinix, Inc. | 109 | 39,458 | ||||||||
Equity Residential | 675 | 46,717 | ||||||||
Essex Property Trust, Inc. | 221 | 50,218 | ||||||||
Extra Space Storage, Inc. | 464 | 43,138 | ||||||||
Federal Realty Investment Trust | 325 | 49,787 | ||||||||
Fonciere Des Regions | 283 | 25,296 | ||||||||
Gecina SA | 271 | 38,222 | ||||||||
General Growth Properties, Inc. | 1,172 | 31,492 | ||||||||
Goodman Group | 5,173 | 26,546 | ||||||||
GPT Group (The) | 7,783 | 30,221 | ||||||||
H&R Real Estate Investment Trust | 4,113 | 66,556 |
18 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Hammerson PLC | 3,784 | $ | 31,721 | |||||||
HCP, Inc. | 1,170 | 38,458 | ||||||||
Host Hotels & Resorts, Inc. | 1,859 | 28,629 | ||||||||
ICADE | 413 | 29,818 | ||||||||
Intu Properties PLC | 4,900 | 21,214 | ||||||||
Iron Mountain, Inc. | 1,265 | 46,476 | ||||||||
Japan Prime Realty Investment Corp. | 6 | 25,634 | ||||||||
Japan Real Estate Investment Corp. | 4 | 23,378 | ||||||||
Japan Retail Fund Investment Corp. | 13 | 30,167 | ||||||||
Kimco Realty Corp. | 1,564 | 44,073 | ||||||||
Klepierre | 644 | 29,434 | ||||||||
Land Securities Group PLC | 1,853 | 31,230 | ||||||||
Liberty Property Trust | 1,413 | 52,733 | ||||||||
Link REIT | 3,500 | 21,433 | ||||||||
Macerich Co. (The) | 527 | 40,221 | ||||||||
Mid-America Apartment Communities, Inc. | 520 | 53,555 | ||||||||
Mirvac Group | 15,164 | 21,282 | ||||||||
Nippon Building Fund, Inc. | 4 | 23,734 | ||||||||
Nippon Prologis REIT, Inc. | 9 | 19,507 | ||||||||
Nomura Real Estate Master Fund, Inc. | 18 | 28,369 | ||||||||
Prologis, Inc. | 1,044 | 49,621 | ||||||||
Public Storage | 176 | 44,653 | ||||||||
Realty Income Corp.(d) | 817 | 49,093 | ||||||||
Regency Centers Corp. | 746 | 57,144 | ||||||||
RioCan Real Estate Investment Trust (Toronto) | 2,947 | 61,643 | ||||||||
Scentre Group | 9,353 | 31,460 | ||||||||
Segro PLC | 3,696 | 23,390 | ||||||||
Simon Property Group, Inc. | 254 | 50,201 | ||||||||
SL Green Realty Corp. | 414 | 41,963 | ||||||||
Smart Real Estate Investment Trust | 2,352 | 61,878 | ||||||||
Stockland | 9,678 | 31,648 | ||||||||
Suntec Real Estate Investment Trust | 17,600 | 21,284 | ||||||||
UDR, Inc. | 1,178 | 42,443 | ||||||||
Unibail-Rodamco SE | 99 | 26,626 | ||||||||
United Urban Investment Corp. | 13 | 20,486 | ||||||||
Ventas, Inc. | 718 | 47,625 | ||||||||
VEREIT, Inc. | 4,684 | 44,920 | ||||||||
Vicinity Centres | 9,292 | 21,861 | ||||||||
Vornado Realty Trust | 512 | 48,906 | ||||||||
Welltower, Inc. | 599 | 41,277 | ||||||||
Westfield Corp. | 3,936 | 30,451 | ||||||||
Weyerhaeuser Co. | 1,364 | 42,966 | ||||||||
|
| |||||||||
2,589,127 | ||||||||||
|
| |||||||||
Real Estate Management & Development – 0.3% | ||||||||||
Aeon Mall Co., Ltd. | 1,400 | 18,351 | ||||||||
Brookfield Asset Management, Inc. – Class A | 1,436 | 50,394 | ||||||||
CapitaLand Ltd. | 9,900 | 21,497 | ||||||||
CBRE Group, Inc. – Class A(a) | 1,072 | 31,999 | ||||||||
Cheung Kong Property Holdings Ltd. | 2,684 | 16,752 |
AB GLOBAL RISK ALLOCATION FUND • | 19 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
City Developments Ltd. | 3,900 | $ | 23,198 | |||||||
Daito Trust Construction Co., Ltd. | 200 | 28,978 | ||||||||
Daiwa House Industry Co., Ltd. | 700 | 20,186 | ||||||||
Deutsche Wohnen AG | 906 | 29,116 | ||||||||
First Capital Realty, Inc. | 4,411 | 70,705 | ||||||||
Global Logistic Properties Ltd. | 15,800 | 20,770 | ||||||||
Hang Lung Properties Ltd. | 11,000 | 20,959 | ||||||||
Henderson Land Development Co., Ltd. | 3,773 | 22,865 | ||||||||
Hongkong Land Holdings Ltd. | 3,400 | 20,535 | ||||||||
Hulic Co., Ltd. | 2,300 | 22,649 | ||||||||
Hysan Development Co., Ltd. | 5,000 | 21,543 | ||||||||
Jones Lang LaSalle, Inc. | 245 | 28,876 | ||||||||
Kerry Properties Ltd. | 8,000 | 19,965 | ||||||||
LendLease Group | 2,384 | 23,094 | ||||||||
Mitsubishi Estate Co., Ltd. | 1,000 | 19,154 | ||||||||
Mitsui Fudosan Co., Ltd. | 1,000 | 24,355 | ||||||||
New World Development Co., Ltd. | 23,287 | 21,936 | ||||||||
Nomura Real Estate Holdings, Inc. | 1,100 | 19,629 | ||||||||
NTT Urban Development Corp. | 2,200 | 21,876 | ||||||||
Realogy Holdings Corp.(a) | 864 | 28,339 | ||||||||
Sino Land Co., Ltd. | 14,000 | 21,377 | ||||||||
Sumitomo Realty & Development Co., Ltd. | 1,000 | 27,740 | ||||||||
Sun Hung Kai Properties Ltd. | 2,000 | 23,469 | ||||||||
Swire Pacific Ltd. – Class A | 3,000 | 32,324 | ||||||||
Swire Properties Ltd. | 7,800 | 22,272 | ||||||||
Swiss Prime Site AG (REG)(a) | 495 | 42,429 | ||||||||
Tokyo Tatemono Co., Ltd. | 1,700 | 21,546 | ||||||||
Tokyu Fudosan Holdings Corp. | 3,100 | 20,321 | ||||||||
UOL Group Ltd. | 5,228 | 21,556 | ||||||||
Vonovia SE | 898 | 30,791 | ||||||||
Wharf Holdings Ltd. (The) | 4,000 | 21,594 | ||||||||
Wheelock & Co., Ltd. | 5,000 | 22,514 | ||||||||
|
| |||||||||
955,654 | ||||||||||
|
| |||||||||
Thrifts & Mortgage Finance – 0.0% | ||||||||||
New York Community Bancorp, Inc. | 3,242 | 51,029 | ||||||||
|
| |||||||||
14,485,133 | ||||||||||
|
| |||||||||
Consumer Staples – 3.8% | ||||||||||
Beverages – 0.7% | ||||||||||
Anheuser-Busch InBev SA/NV | 514 | 64,967 | ||||||||
Asahi Group Holdings Ltd. | 1,600 | 54,225 | ||||||||
Brown-Forman Corp. – Class B | 1,553 | 152,303 | ||||||||
Carlsberg A/S – Class B | 521 | 50,256 | ||||||||
Coca-Cola Amatil Ltd. | 8,871 | 57,039 | ||||||||
Coca-Cola Co. (The) | 5,228 | 233,169 | ||||||||
Coca-cola European Partners | 3,355 | 130,207 | ||||||||
Coca-Cola HBC AG(a) | 2,570 | 49,971 | ||||||||
Constellation Brands, Inc. – Class A | 920 | 140,898 | ||||||||
Diageo PLC | 2,904 | 78,801 | ||||||||
Dr Pepper Snapple Group, Inc. | 1,776 | 162,326 | ||||||||
Heineken Holding NV | 852 | 69,920 |
20 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Heineken NV | 813 | $ | 75,533 | |||||||
Kirin Holdings Co., Ltd. | 3,600 | 60,259 | ||||||||
Molson Coors Brewing Co. – Class B | 1,534 | 152,142 | ||||||||
Monster Beverage Corp.(a) | 780 | 117,000 | ||||||||
PepsiCo, Inc. | 2,224 | 225,002 | ||||||||
Pernod Ricard SA | 575 | 62,665 | ||||||||
Remy Cointreau SA | 848 | 70,453 | ||||||||
SABMiller PLC (London) | 2,521 | 156,853 | ||||||||
Suntory Beverage & Food Ltd. | 1,000 | 46,780 | ||||||||
Treasury Wine Estates Ltd. | 935 | 6,978 | ||||||||
|
| |||||||||
2,217,747 | ||||||||||
|
| |||||||||
Food & Staples Retailing – 1.0% | ||||||||||
Aeon Co., Ltd. | 3,400 | 51,392 | ||||||||
Alimentation Couche-Tard, Inc. – Class B | 2,957 | 130,109 | ||||||||
Carrefour SA | 1,577 | 42,742 | ||||||||
Casino Guichard Perrachon SA | 548 | 32,608 | ||||||||
Colruyt SA | 1,456 | 86,470 | ||||||||
Costco Wholesale Corp. | 1,192 | 177,334 | ||||||||
CVS Health Corp. | 1,712 | 165,122 | ||||||||
Delhaize Group | 629 | 65,921 | ||||||||
Distribuidora Internacional de Alimentacion SA | 9,869 | 59,012 | ||||||||
Empire Co., Ltd. – Class A | 8,829 | 151,285 | ||||||||
FamilyMart Co., Ltd. | 900 | 47,074 | ||||||||
George Weston Ltd. | 2,104 | 181,897 | ||||||||
ICA Gruppen AB | 2,165 | 76,236 | ||||||||
J Sainsbury PLC | 15,402 | 59,880 | ||||||||
Jean Coutu Group PJC, Inc. (The) – Class A | 8,252 | 130,449 | ||||||||
Jeronimo Martins SGPS SA | 4,243 | 68,781 | ||||||||
Koninklijke Ahold NV | 2,960 | 65,623 | ||||||||
Kroger Co. (The) | 3,559 | 127,270 | ||||||||
Lawson, Inc. | 500 | 39,381 | ||||||||
Loblaw Cos., Ltd. | 3,359 | 182,044 | ||||||||
METRO AG | 1,740 | 57,232 | ||||||||
Metro, Inc. | 4,804 | 162,765 | ||||||||
Rite Aid Corp.(a) | 2,587 | 19,920 | ||||||||
Seven & i Holdings Co., Ltd. | 1,000 | 42,545 | ||||||||
Sysco Corp. | 3,968 | 190,900 | ||||||||
Tesco PLC(a) | 20,272 | 48,265 | ||||||||
Wal-Mart Stores, Inc. | 2,659 | 188,204 | ||||||||
Walgreens Boots Alliance, Inc. | 1,614 | 124,924 | ||||||||
Wesfarmers Ltd. | 1,984 | 58,176 | ||||||||
Whole Foods Market, Inc. | 2,925 | 94,624 | ||||||||
Wm Morrison Supermarkets PLC | 21,660 | 62,101 | ||||||||
Woolworths Ltd. | 2,877 | 45,918 | ||||||||
|
| |||||||||
3,036,204 | ||||||||||
|
| |||||||||
Food Products – 1.2% | ||||||||||
Ajinomoto Co., Inc. | 2,000 | 47,951 | ||||||||
Archer-Daniels-Midland Co. | 3,137 | 134,169 | ||||||||
Aryzta AG(a) | 1,540 | 61,325 | ||||||||
Associated British Foods PLC | 1,766 | 75,247 |
AB GLOBAL RISK ALLOCATION FUND • | 21 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Barry Callebaut AG (REG)(a) | 64 | $ | 75,692 | |||||||
Bunge Ltd. | 2,083 | 139,707 | ||||||||
Calbee, Inc. | 1,100 | 40,283 | ||||||||
Campbell Soup Co. | 2,136 | 129,378 | ||||||||
Chocoladefabriken Lindt & Spruengli AG | 11 | 67,801 | ||||||||
Chocoladefabriken Lindt & Spruengli AG (REG) | 1 | 73,936 | ||||||||
ConAgra Foods, Inc. | 3,090 | 141,213 | ||||||||
Danone SA | 977 | 68,636 | ||||||||
General Mills, Inc. | 3,198 | 200,770 | ||||||||
Golden Agri-Resources Ltd. | 152,500 | 43,154 | ||||||||
Hershey Co. (The) | 1,831 | 170,008 | ||||||||
Hormel Foods Corp. | 2,949 | 101,475 | ||||||||
JM Smucker Co. (The) | 1,450 | 187,268 | ||||||||
Kellogg Co. | 2,317 | 172,315 | ||||||||
Kerry Group PLC – Class A | 830 | 74,927 | ||||||||
Kikkoman Corp. | 1,000 | 35,677 | ||||||||
Kraft Heinz Co. (The) | 2,092 | 174,033 | ||||||||
McCormick & Co., Inc./MD | 1,807 | 175,406 | ||||||||
Mead Johnson Nutrition Co. – Class A | 985 | 81,046 | ||||||||
MEIJI Holdings Co., Ltd. | 600 | 53,727 | ||||||||
Mondelez International, Inc. – Class A | 2,812 | 125,106 | ||||||||
Nestle SA (REG) | 1,120 | 82,768 | ||||||||
NH Foods Ltd. | 2,000 | 46,463 | ||||||||
Nisshin Seifun Group, Inc. | 2,700 | 45,690 | ||||||||
Nissin Foods Holdings Co., Ltd. | 900 | 44,957 | ||||||||
Orkla ASA | 7,567 | 68,471 | ||||||||
Saputo, Inc. | 4,726 | 143,977 | ||||||||
Tate & Lyle PLC | 8,642 | 78,712 | ||||||||
Toyo Suisan Kaisha Ltd. | 1,200 | 46,231 | ||||||||
Tyson Foods, Inc. – Class A | 1,842 | 117,483 | ||||||||
WH Group Ltd.(e) | 70,000 | 53,868 | ||||||||
WhiteWave Foods Co. (The)(a) | 2,505 | 111,848 | ||||||||
Wilmar International Ltd. | 19,400 | 46,842 | ||||||||
Yakult Honsha Co., Ltd. | 1,000 | 48,728 | ||||||||
Yamazaki Baking Co., Ltd. | 2,000 | 48,870 | ||||||||
|
| |||||||||
3,635,158 | ||||||||||
|
| |||||||||
Household Products – 0.4% | ||||||||||
Church & Dwight Co., Inc. | 2,014 | 198,339 | ||||||||
Clorox Co. (The) | 1,551 | 199,365 | ||||||||
Colgate-Palmolive Co. | 2,806 | 197,570 | ||||||||
Edgewell Personal Care Co.(a) | 1,376 | 109,296 | ||||||||
Henkel AG & Co. KGaA | 684 | 71,798 | ||||||||
Henkel AG & Co. KGaA (Preference Shares) | 600 | 69,992 | ||||||||
Kimberly-Clark Corp. | 1,472 | 187,003 | ||||||||
Procter & Gamble Co. (The) | 2,585 | 209,488 | ||||||||
Reckitt Benckiser Group PLC | 833 | 82,933 | ||||||||
Svenska Cellulosa AB SCA – Class B | 2,026 | 64,923 | ||||||||
Unicharm Corp. | 1,500 | 29,141 | ||||||||
|
| |||||||||
1,419,848 | ||||||||||
|
|
22 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Personal Products – 0.2% | ||||||||||
Beiersdorf AG | 747 | $ | 67,947 | |||||||
Estee Lauder Cos., Inc. (The) – Class A | 1,695 | 155,567 | ||||||||
Kao Corp. | 900 | 49,219 | ||||||||
Kose Corp. | 500 | 44,525 | ||||||||
L’Oreal SA | 372 | 69,998 | ||||||||
Shiseido Co., Ltd. | 1,800 | 47,012 | ||||||||
Unilever NV | 1,434 | 64,386 | ||||||||
Unilever PLC | 1,796 | 81,807 | ||||||||
|
| |||||||||
580,461 | ||||||||||
|
| |||||||||
Tobacco – 0.3% | ||||||||||
Altria Group, Inc. | 2,980 | 189,647 | ||||||||
British American Tobacco PLC | 1,422 | 86,504 | ||||||||
Imperial Brands PLC | 1,391 | 75,649 | ||||||||
Japan Tobacco, Inc. | 1,099 | 43,340 | ||||||||
Philip Morris International, Inc. | 2,096 | 206,833 | ||||||||
Reynolds American, Inc. | 3,215 | 159,786 | ||||||||
Swedish Match AB | 2,076 | 70,877 | ||||||||
|
| |||||||||
832,636 | ||||||||||
|
| |||||||||
11,722,054 | ||||||||||
|
| |||||||||
Industrials – 3.5% | ||||||||||
Aerospace & Defense – 0.5% | ||||||||||
Airbus Group SE | 328 | 20,410 | ||||||||
B/E Aerospace, Inc. | 1,371 | 65,315 | ||||||||
BAE Systems PLC | 4,996 | 34,943 | ||||||||
Boeing Co. (The) | 561 | 70,770 | ||||||||
Bombardier, Inc. – Class B(a) | 79,396 | 119,274 | ||||||||
CAE, Inc. | 7,156 | 89,440 | ||||||||
Cobham PLC | 8,409 | 19,852 | ||||||||
General Dynamics Corp. | 654 | 92,783 | ||||||||
Honeywell International, Inc. | 807 | 91,861 | ||||||||
L-3 Communications Holdings, Inc. | 737 | 101,124 | ||||||||
Leonardo-Finmeccanica SpA(a) | 1,704 | 20,196 | ||||||||
Lockheed Martin Corp. | 444 | 104,886 | ||||||||
Meggitt PLC | 4,235 | 23,752 | ||||||||
Northrop Grumman Corp. | 487 | 103,570 | ||||||||
Raytheon Co. | 759 | 98,420 | ||||||||
Rockwell Collins, Inc. | 965 | 85,306 | ||||||||
Rolls-Royce Holdings PLC(a) | 2,399 | 21,512 | ||||||||
Rolls-Royce Holdings-entitl(a) | 170,329 | 247 | ||||||||
Safran SA | 344 | 24,139 | ||||||||
Singapore Technologies Engineering Ltd. | 5,000 | 11,737 | ||||||||
Textron, Inc. | 1,807 | 68,775 | ||||||||
Thales SA | 362 | 31,395 | ||||||||
TransDigm Group, Inc.(a) | 271 | 71,419 | ||||||||
United Technologies Corp. | 952 | 95,752 | ||||||||
Zodiac Aerospace | 708 | 16,562 | ||||||||
|
| |||||||||
1,483,440 | ||||||||||
|
|
AB GLOBAL RISK ALLOCATION FUND • | 23 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Air Freight & Logistics – 0.2% | ||||||||||
Bollore SA | 6,227 | $ | 22,520 | |||||||
Bollore SA(a) | 14 | 50 | ||||||||
CH Robinson Worldwide, Inc. | 1,105 | 82,853 | ||||||||
Deutsche Post AG (REG) | 936 | 27,320 | ||||||||
Expeditors International of Washington, Inc. | 1,778 | 86,322 | ||||||||
FedEx Corp. | 511 | 84,300 | ||||||||
Kuehne & Nagel International AG (REG) | 250 | 35,171 | ||||||||
Royal Mail PLC | 4,942 | 38,687 | ||||||||
TNT Express NV(a) | 2,975 | 26,437 | ||||||||
United Parcel Service, Inc. – Class B | 998 | 102,884 | ||||||||
Yamato Holdings Co., Ltd. | 600 | 12,120 | ||||||||
|
| |||||||||
518,664 | ||||||||||
|
| |||||||||
Airlines – 0.1% | ||||||||||
American Airlines Group, Inc. | 1,247 | 39,792 | ||||||||
ANA Holdings, Inc. | 4,000 | 11,640 | ||||||||
Cathay Pacific Airways Ltd. | 8,000 | 12,475 | ||||||||
Delta Air Lines, Inc. | 1,142 | 49,631 | ||||||||
Deutsche Lufthansa AG (REG) | 1,439 | 20,181 | ||||||||
easyJet PLC | 1,456 | 32,298 | ||||||||
International Consolidated Airlines Group SA | 3,218 | 25,161 | ||||||||
Japan Airlines Co., Ltd. | 300 | 10,240 | ||||||||
Qantas Airways Ltd.(a) | 3,669 | 8,159 | ||||||||
Singapore Airlines Ltd. | 1,500 | 11,632 | ||||||||
Southwest Airlines Co. | 1,358 | 57,688 | ||||||||
United Continental Holdings, Inc.(a) | 884 | 39,859 | ||||||||
|
| |||||||||
318,756 | ||||||||||
|
| |||||||||
Building Products – 0.1% | ||||||||||
Asahi Glass Co., Ltd. | 2,000 | 12,043 | ||||||||
Assa Abloy AB – Class B | 1,252 | 25,991 | ||||||||
Cie de Saint-Gobain | 588 | 26,272 | ||||||||
Daikin Industries Ltd. | 200 | 16,993 | ||||||||
Fortune Brands Home & Security, Inc. | 1,189 | 69,759 | ||||||||
Geberit AG (REG) | 94 | 35,951 | ||||||||
LIXIL Group Corp. | 500 | 8,955 | ||||||||
Masco Corp. | 2,287 | 74,648 | ||||||||
TOTO Ltd. | 400 | 15,070 | ||||||||
|
| |||||||||
285,682 | ||||||||||
|
| |||||||||
Commercial Services & Supplies – 0.3% | ||||||||||
Aggreko PLC | 1,454 | 23,648 | ||||||||
Babcock International Group PLC | 2,910 | 43,660 | ||||||||
Brambles Ltd. | 1,629 | 15,097 | ||||||||
Cintas Corp. | 1,017 | 96,412 | ||||||||
Dai Nippon Printing Co., Ltd. | 1,000 | 10,174 | ||||||||
Edenred | 1,019 | 18,878 | ||||||||
G4S PLC | 11,387 | 30,742 | ||||||||
ISS A/S | 619 | 24,959 | ||||||||
Park24 Co., Ltd. | 500 | 14,227 | ||||||||
Progressive Waste Solutions Ltd. | 2,659 | 83,946 | ||||||||
Republic Services, Inc. – Class A | 2,329 | 112,444 |
24 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Secom Co., Ltd. | 200 | $ | 15,579 | |||||||
Securitas AB – Class B | 1,698 | 26,775 | ||||||||
Societe BIC SA | 185 | 24,709 | ||||||||
Sohgo Security Services Co., Ltd. | 200 | 9,792 | ||||||||
Stericycle, Inc.(a) | 628 | 61,538 | ||||||||
Toppan Printing Co., Ltd. | 1,000 | 8,984 | ||||||||
Tyco International PLC | 2,206 | 94,020 | ||||||||
Waste Connections, Inc. | 1,252 | 81,968 | ||||||||
Waste Management, Inc. | 2,073 | 126,349 | ||||||||
|
| |||||||||
923,901 | ||||||||||
|
| |||||||||
Construction & Engineering – 0.5% | ||||||||||
ACS Actividades de Construccion y Servicios SA | 828 | 27,306 | ||||||||
Boskalis Westminster | 584 | 21,167 | ||||||||
Bouygues SA | 516 | 16,789 | ||||||||
Chicago Bridge & Iron Co. NV | 1,264 | 48,335 | ||||||||
China Communications Construction Co., Ltd. – Class H | 248,000 | 280,072 | ||||||||
China Railway Construction Corp. Ltd. – Class H | 224,500 | 280,649 | ||||||||
China Railway Group Ltd. – Class H | 360,000 | 276,088 | ||||||||
CIMIC Group Ltd. | 462 | 12,463 | ||||||||
Ferrovial SA | 1,682 | 35,602 | ||||||||
Fluor Corp. | 1,175 | 62,017 | ||||||||
Jacobs Engineering Group, Inc.(a) | 1,673 | 84,804 | ||||||||
JGC Corp. | 1,000 | 15,371 | ||||||||
Kajima Corp. | 2,000 | 13,551 | ||||||||
Obayashi Corp. | 1,100 | 11,521 | ||||||||
Orascom Construction Ltd.(a) | 173 | 865 | ||||||||
Quanta Services, Inc.(a) | 2,432 | 58,441 | ||||||||
Shimizu Corp. | 1,000 | 8,903 | ||||||||
Skanska AB – Class B | 1,298 | 28,507 | ||||||||
SNC-Lavalin Group, Inc. | 2,339 | 94,195 | ||||||||
Taisei Corp. | 2,000 | 14,764 | ||||||||
Vinci SA | 420 | 31,630 | ||||||||
|
| |||||||||
1,423,040 | ||||||||||
|
| |||||||||
Electrical Equipment – 0.2% | ||||||||||
ABB Ltd. (REG)(a) | 1,756 | 36,564 | ||||||||
Acuity Brands, Inc. | 231 | 59,838 | ||||||||
AMETEK, Inc. | 1,516 | 72,495 | ||||||||
Eaton Corp. PLC | 1,158 | 71,368 | ||||||||
Emerson Electric Co. | 1,574 | 81,880 | ||||||||
Fuji Electric Co., Ltd. | 3,000 | 12,054 | ||||||||
Legrand SA | 508 | 27,935 | ||||||||
Mabuchi Motor Co., Ltd. | 200 | 9,359 | ||||||||
Mitsubishi Electric Corp. | 1,000 | 11,970 | ||||||||
Nidec Corp. | 100 | 7,660 | ||||||||
OSRAM Licht AG | 447 | 23,817 | ||||||||
Prysmian SpA | 1,077 | 26,359 | ||||||||
Rockwell Automation, Inc. | 616 | 71,487 |
AB GLOBAL RISK ALLOCATION FUND • | 25 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Schneider Electric SE (Paris) | 400 | $ | 25,859 | |||||||
Sensata Technologies Holding NV(a) | 1,439 | 53,214 | ||||||||
Vestas Wind Systems A/S | 287 | 20,551 | ||||||||
|
| |||||||||
612,410 | ||||||||||
|
| |||||||||
Industrial Conglomerates – 0.2% | ||||||||||
3M Co. | 617 | 103,853 | ||||||||
CK Hutchison Holdings Ltd. | 1,184 | 13,712 | ||||||||
Danaher Corp. | 1,119 | 110,065 | ||||||||
General Electric Co. | 3,256 | 98,429 | ||||||||
Jardine Matheson Holdings Ltd. | 200 | 11,400 | ||||||||
Keihan Holdings Co., Ltd. | 2,000 | 13,443 | ||||||||
Keppel Corp., Ltd. | 2,700 | 10,541 | ||||||||
Koninklijke Philips NV | 884 | 23,817 | ||||||||
NWS Holdings Ltd. | 7,257 | 11,378 | ||||||||
Roper Technologies, Inc. | 458 | 78,355 | ||||||||
Seibu Holdings, Inc. | 600 | 11,238 | ||||||||
Sembcorp Industries Ltd. | 5,600 | 11,335 | ||||||||
Siemens AG (REG) | 282 | 30,379 | ||||||||
Smiths Group PLC | 2,526 | 41,021 | ||||||||
Toshiba Corp.(a) | 4,000 | 9,803 | ||||||||
|
| |||||||||
578,769 | ||||||||||
|
| |||||||||
Machinery – 0.6% | ||||||||||
AGCO Corp. | 1,106 | 57,435 | ||||||||
Alfa Laval AB | 1,450 | 21,925 | ||||||||
Alstom SA(a) | 938 | 23,546 | ||||||||
Amada Holdings Co., Ltd. | 1,200 | 13,127 | ||||||||
ANDRITZ AG | 585 | 29,791 | ||||||||
Atlas Copco AB – Class A | 939 | 24,266 | ||||||||
Atlas Copco AB – Class B | 1,104 | 26,337 | ||||||||
Caterpillar, Inc. | 834 | 60,473 | ||||||||
CNH Industrial NV | 2,685 | 18,953 | ||||||||
Cummins, Inc. | 606 | 69,369 | ||||||||
Deere & Co.(d) | 847 | 69,700 | ||||||||
Dover Corp. | 962 | 64,213 | ||||||||
FANUC Corp. | 100 | 15,230 | ||||||||
Flowserve Corp. | 1,390 | 66,901 | ||||||||
GEA Group AG | 578 | 26,819 | ||||||||
Hino Motors Ltd. | 1,000 | 10,168 | ||||||||
Hitachi Construction Machinery Co., Ltd. | 600 | 9,213 | ||||||||
Hoshizaki Electric Co., Ltd. | 100 | 9,517 | ||||||||
IHI Corp. | 4,000 | 10,215 | ||||||||
Illinois Tool Works, Inc. | 885 | 93,837 | ||||||||
IMI PLC | 2,522 | 36,685 | ||||||||
Ingersoll-Rand PLC | 1,147 | 76,631 | ||||||||
JTEKT Corp. | 900 | 12,354 | ||||||||
Kawasaki Heavy Industries Ltd. | 3,000 | 9,262 | ||||||||
Komatsu Ltd. | 700 | 12,017 | ||||||||
Kone Oyj – Class B | 551 | 26,051 | ||||||||
Kubota Corp. | 700 | 10,189 | ||||||||
Kurita Water Industries Ltd. | 500 | 11,656 |
26 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Makita Corp. | 200 | $ | 12,893 | |||||||
MAN SE(a) | 408 | 43,246 | ||||||||
Metso Oyj | 1,062 | 24,951 | ||||||||
Minebea Co., Ltd. | 1,000 | 7,941 | ||||||||
Mitsubishi Heavy Industries Ltd. | 3,000 | 12,078 | ||||||||
Nabtesco Corp. | 600 | 15,206 | ||||||||
NGK Insulators Ltd. | 1,000 | 21,823 | ||||||||
NSK Ltd. | 1,300 | 11,442 | ||||||||
PACCAR, Inc. | 1,222 | 68,126 | ||||||||
Parker-Hannifin Corp. | 631 | 72,464 | ||||||||
Pentair PLC | 1,111 | 66,927 | ||||||||
Sandvik AB | 2,219 | 21,695 | ||||||||
Schindler Holding AG | 197 | 36,502 | ||||||||
Schindler Holding AG (REG) | 145 | 26,733 | ||||||||
Sembcorp Marine Ltd. | 9,400 | 10,571 | ||||||||
SKF AB – Class B | 1,277 | 22,478 | ||||||||
Snap-on, Inc. | 434 | 70,230 | ||||||||
Stanley Black & Decker, Inc. | 805 | 91,110 | ||||||||
Sulzer AG (REG) | 274 | 24,187 | ||||||||
Sumitomo Heavy Industries Ltd. | 3,000 | 14,458 | ||||||||
THK Co., Ltd. | 600 | 11,267 | ||||||||
Volvo AB – Class B | 2,303 | 25,650 | ||||||||
WABCO Holdings, Inc.(a) | 574 | 61,935 | ||||||||
Wabtec Corp./DE | 801 | 61,981 | ||||||||
Wartsila Oyj Abp | 579 | 23,999 | ||||||||
Weir Group PLC (The) | 1,061 | 18,402 | ||||||||
Xylem, Inc./NY | 2,093 | 93,473 | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 15,700 | 10,435 | ||||||||
Zardoya Otis SA | 2,390 | 24,771 | ||||||||
|
| |||||||||
1,922,854 | ||||||||||
|
| |||||||||
Marine – 0.0% | ||||||||||
AP Moeller – Maersk A/S – Class A | 20 | 24,941 | ||||||||
AP Moeller – Maersk A/S – Class B | 20 | 25,718 | ||||||||
Mitsui OSK Lines Ltd. | 5,000 | 11,291 | ||||||||
Nippon Yusen KK | 5,000 | 9,409 | ||||||||
|
| |||||||||
71,359 | ||||||||||
|
| |||||||||
Professional Services – 0.2% | ||||||||||
Adecco Group AG (REG) | 412 | 24,980 | ||||||||
Bureau Veritas SA | 1,713 | 36,821 | ||||||||
Capita PLC | 1,935 | 29,749 | ||||||||
Dun & Bradstreet Corp. (The) | 627 | 79,566 | ||||||||
Equifax, Inc. | 729 | 91,657 | ||||||||
Experian PLC | 1,938 | 36,641 | ||||||||
IHS, Inc. – Class A(a) | 671 | 82,486 | ||||||||
Intertek Group PLC | 680 | 30,860 | ||||||||
ManpowerGroup, Inc. | 734 | 58,537 | ||||||||
Nielsen Holdings PLC | 1,462 | 78,056 | ||||||||
Randstad Holding NV | 394 | 21,286 | ||||||||
Recruit Holdings Co., Ltd. | 400 | 13,541 |
AB GLOBAL RISK ALLOCATION FUND • | 27 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Robert Half International, Inc. | 1,647 | $ | 68,499 | |||||||
SEEK Ltd. | 1,178 | 13,859 | ||||||||
SGS SA (REG) | 19 | 40,568 | ||||||||
Verisk Analytics, Inc. – Class A(a) | 1,019 | 80,899 | ||||||||
|
| |||||||||
788,005 | ||||||||||
|
| |||||||||
Road & Rail – 0.3% | ||||||||||
AMERCO | 189 | 71,189 | ||||||||
Asciano Ltd. | 2,832 | 18,199 | ||||||||
Aurizon Holdings Ltd. | 4,275 | 13,926 | ||||||||
Canadian National Railway Co. | 1,407 | 83,421 | ||||||||
Canadian Pacific Railway Ltd. | 465 | 60,182 | ||||||||
Central Japan Railway Co. | 84 | 14,780 | ||||||||
ComfortDelGro Corp., Ltd. | 5,600 | 11,147 | ||||||||
CSX Corp. | 2,443 | 64,569 | ||||||||
DSV A/S | 518 | 23,629 | ||||||||
East Japan Railway Co. | 200 | 18,145 | ||||||||
Hankyu Hanshin Holdings, Inc. | 2,000 | 13,670 | ||||||||
Hertz Global Holdings, Inc.(a) | 2,480 | 24,031 | ||||||||
JB Hunt Transport Services, Inc. | 959 | 79,328 | ||||||||
Kansas City Southern | 625 | 58,188 | ||||||||
Keikyu Corp. | 1,000 | 9,429 | ||||||||
Keio Corp. | 1,000 | 8,526 | ||||||||
Keisei Electric Railway Co., Ltd. | 1,000 | 13,348 | ||||||||
Kintetsu Group Holdings Co., Ltd. | 3,000 | 12,018 | ||||||||
MTR Corp., Ltd. | 4,000 | 18,937 | ||||||||
Nagoya Railroad Co., Ltd. | 2,000 | 10,027 | ||||||||
Nippon Express Co., Ltd. | 3,000 | 12,846 | ||||||||
Norfolk Southern Corp. | 810 | 68,089 | ||||||||
Odakyu Electric Railway Co., Ltd. | 1,000 | 10,810 | ||||||||
Tobu Railway Co., Ltd. | 2,000 | 10,113 | ||||||||
Tokyu Corp. | 1,000 | 8,532 | ||||||||
Union Pacific Corp. | 881 | 74,171 | ||||||||
West Japan Railway Co. | 218 | 13,549 | ||||||||
|
| |||||||||
824,799 | ||||||||||
|
| |||||||||
Trading Companies & Distributors – 0.2% | ||||||||||
AerCap Holdings NV(a) | 413 | 16,144 | ||||||||
Ashtead Group PLC | 1,362 | 19,246 | ||||||||
Brenntag AG | 507 | 27,136 | ||||||||
Bunzl PLC | 1,077 | 31,842 | ||||||||
Fastenal Co.(d) | 1,218 | 56,065 | ||||||||
Finning International, Inc. | 3,244 | 54,646 | ||||||||
ITOCHU Corp. | 800 | 9,964 | ||||||||
Marubeni Corp. | 2,400 | 11,461 | ||||||||
Mitsubishi Corp. | 600 | 10,570 | ||||||||
Mitsui & Co., Ltd. | 1,000 | 11,978 | ||||||||
Noble Group Ltd.(a) | 41,700 | 8,935 | ||||||||
Rexel SA | 1,905 | 29,139 | ||||||||
Sumitomo Corp. | 1,200 | 12,232 | ||||||||
Toyota Tsusho Corp. | 500 | 11,726 | ||||||||
Travis Perkins PLC | 1,235 | 34,356 |
28 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
United Rentals, Inc.(a) | 592 | $ | 41,245 | |||||||
Wolseley PLC | 529 | 30,975 | ||||||||
WW Grainger, Inc.(d) | 333 | 76,041 | ||||||||
|
| |||||||||
493,701 | ||||||||||
|
| |||||||||
Transportation Infrastructure – 0.1% | ||||||||||
Abertis Infraestructuras SA | 2,034 | 31,126 | ||||||||
Aena SA(a)(e) | 237 | 31,987 | ||||||||
Aeroports de Paris | 302 | 35,969 | ||||||||
Atlantia SpA | 1,072 | 28,920 | ||||||||
Auckland International Airport Ltd. | 2,692 | 11,358 | ||||||||
Fraport AG Frankfurt Airport Services Worldwide | 536 | 30,697 | ||||||||
Groupe Eurotunnel SE (REG) | 2,995 | 38,635 | ||||||||
Japan Airport Terminal Co., Ltd. | 300 | 10,271 | ||||||||
Kamigumi Co., Ltd. | 1,000 | 9,087 | ||||||||
Mitsubishi Logistics Corp. | 1,000 | 13,980 | ||||||||
Sydney Airport | 3,824 | 19,538 | ||||||||
Transurban Group | 2,763 | 24,021 | ||||||||
|
| |||||||||
285,589 | ||||||||||
|
| |||||||||
10,530,969 | ||||||||||
|
| |||||||||
Health Care – 3.3% | ||||||||||
Biotechnology – 0.4% | ||||||||||
AbbVie, Inc. | 1,302 | 81,935 | ||||||||
Actelion Ltd. (REG)(a) | 709 | 116,408 | ||||||||
Alexion Pharmaceuticals, Inc.(a) | 370 | 55,833 | ||||||||
Alkermes PLC(a) | 1,369 | 63,535 | ||||||||
Alnylam Pharmaceuticals, Inc.(a) | 531 | 38,083 | ||||||||
Amgen, Inc. | 541 | 85,451 | ||||||||
Baxalta, Inc. | 1,722 | 77,886 | ||||||||
Biogen, Inc.(a) | 211 | 61,133 | ||||||||
BioMarin Pharmaceutical, Inc.(a) | 480 | 43,032 | ||||||||
Celgene Corp.(a) | 655 | 69,116 | ||||||||
CSL Ltd. | 770 | 64,369 | ||||||||
Genmab A/S(a) | 776 | 140,254 | ||||||||
Gilead Sciences, Inc. | 878 | 76,439 | ||||||||
Grifols SA | 4,596 | 104,124 | ||||||||
Incyte Corp.(a) | 496 | 41,867 | ||||||||
Ionis Pharmaceuticals, Inc.(a)(d) | 848 | 19,241 | ||||||||
Medivation, Inc.(a) | 1,014 | 61,306 | ||||||||
Regeneron Pharmaceuticals, Inc.(a) | 127 | 50,664 | ||||||||
United Therapeutics Corp.(a) | 410 | 48,819 | ||||||||
Vertex Pharmaceuticals, Inc.(a) | 480 | 44,712 | ||||||||
|
| |||||||||
1,344,207 | ||||||||||
|
| |||||||||
Health Care Equipment & Supplies – 0.8% | ||||||||||
Abbott Laboratories | 2,435 | 96,499 | ||||||||
Baxter International, Inc. | 2,460 | 106,174 | ||||||||
Becton Dickinson and Co. | 774 | 128,832 | ||||||||
Boston Scientific Corp.(a) | 4,751 | 107,895 | ||||||||
Cochlear Ltd. | 598 | 52,053 |
AB GLOBAL RISK ALLOCATION FUND • | 29 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Coloplast A/S – Class B | 1,254 | $ | 94,851 | |||||||
Cooper Cos., Inc. (The) | 600 | 97,686 | ||||||||
CR Bard, Inc. | 572 | 125,291 | ||||||||
DENTSPLY SIRONA, Inc. | 1,618 | 100,575 | ||||||||
Edwards Lifesciences Corp.(a) | 681 | 67,079 | ||||||||
Essilor International SA | 792 | 103,472 | ||||||||
Getinge AB – Class B | 3,923 | 83,759 | ||||||||
Hologic, Inc.(a) | 2,204 | 75,840 | ||||||||
Hoya Corp. | 1,200 | 42,004 | ||||||||
Intuitive Surgical, Inc.(a) | 144 | 91,398 | ||||||||
Medtronic PLC | 1,514 | 121,847 | ||||||||
Olympus Corp. | 900 | 37,835 | ||||||||
ResMed, Inc. | 1,732 | 102,292 | ||||||||
Smith & Nephew PLC | 7,220 | 122,507 | ||||||||
Sonova Holding AG (REG) | 884 | 118,056 | ||||||||
St Jude Medical, Inc. | 1,581 | 123,887 | ||||||||
Stryker Corp. | 1,020 | 113,383 | ||||||||
Sysmex Corp. | 700 | 50,734 | ||||||||
Terumo Corp. | 1,300 | 54,298 | ||||||||
Varian Medical Systems, Inc.(a) | 1,256 | 103,984 | ||||||||
William Demant Holding A/S(a) | 5,015 | 105,799 | ||||||||
Zimmer Biomet Holdings, Inc. | 960 | 117,226 | ||||||||
|
| |||||||||
2,545,256 | ||||||||||
|
| |||||||||
Health Care Providers & Services – 0.8% | ||||||||||
Aetna, Inc. | 690 | 78,129 | ||||||||
Alfresa Holdings Corp. | 2,300 | 48,147 | ||||||||
AmerisourceBergen Corp. – Class A | 1,098 | 82,328 | ||||||||
Anthem, Inc. | 562 | 74,274 | ||||||||
Cardinal Health, Inc. | 1,152 | 90,950 | ||||||||
Centene Corp.(a) | 988 | 61,602 | ||||||||
Cigna Corp. | 635 | 81,350 | ||||||||
DaVita HealthCare Partners, Inc.(a) | 1,611 | 124,563 | ||||||||
Envision Healthcare Holdings, Inc.(a) | 1,221 | 30,293 | ||||||||
Express Scripts Holding Co.(a) | 1,169 | 88,318 | ||||||||
Fresenius Medical Care AG & Co. KGaA | 983 | 85,371 | ||||||||
Fresenius SE & Co. KGaA | 1,295 | 97,811 | ||||||||
HCA Holdings, Inc.(a) | 1,016 | 79,268 | ||||||||
Healthscope Ltd. | 23,565 | 51,015 | ||||||||
Henry Schein, Inc.(a) | 695 | 120,742 | ||||||||
Humana, Inc. | 364 | 62,794 | ||||||||
Laboratory Corp. of America Holdings(a) | 778 | 99,545 | ||||||||
McKesson Corp. | 536 | 98,163 | ||||||||
Mediclinic International PLC | 7,884 | 98,612 | ||||||||
Medipal Holdings Corp. | 2,900 | 50,024 | ||||||||
MEDNAX, Inc.(a) | 1,240 | 84,878 | ||||||||
Miraca Holdings, Inc. | 1,000 | 42,003 | ||||||||
Patterson Cos., Inc. | 2,386 | 116,461 | ||||||||
Quest Diagnostics, Inc. | 1,379 | 106,417 | ||||||||
Ramsay Health Care Ltd. | 976 | 51,239 | ||||||||
Ryman Healthcare Ltd. | 8,029 | 52,144 |
30 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Sonic Healthcare Ltd. | 3,366 | $ | 52,068 | |||||||
Suzuken Co., Ltd./Aichi Japan | 1,300 | 41,698 | ||||||||
UnitedHealth Group, Inc. | 787 | 105,198 | ||||||||
Universal Health Services, Inc. – Class B | 672 | 90,626 | ||||||||
|
| |||||||||
2,346,031 | ||||||||||
|
| |||||||||
Health Care Technology – 0.1% | ||||||||||
Cerner Corp.(a) | 1,461 | 81,246 | ||||||||
IMS Health Holdings, Inc.(a) | 3,579 | 93,448 | ||||||||
M3, Inc. | 1,800 | 51,401 | ||||||||
|
| |||||||||
226,095 | ||||||||||
|
| |||||||||
Life Sciences Tools & Services – 0.2% | ||||||||||
Agilent Technologies, Inc. | 2,132 | 97,838 | ||||||||
Illumina, Inc.(a) | 305 | 44,173 | ||||||||
Lonza Group AG (REG)(a) | 626 | 108,131 | ||||||||
Mettler-Toledo International, Inc.(a) | 275 | 103,213 | ||||||||
QIAGEN NV(a) | 3,711 | 79,638 | ||||||||
Quintiles Transnational Holdings, Inc.(a) | 1,380 | 93,688 | ||||||||
Thermo Fisher Scientific, Inc. | 685 | 103,962 | ||||||||
Waters Corp.(a) | 722 | 99,311 | ||||||||
|
| |||||||||
729,954 | ||||||||||
|
| |||||||||
Pharmaceuticals – 1.0% | ||||||||||
Allergan PLC(a) | 607 | 143,100 | ||||||||
Astellas Pharma, Inc. | 3,100 | 42,123 | ||||||||
AstraZeneca PLC | 2,042 | 119,175 | ||||||||
Bayer AG | 810 | 77,142 | ||||||||
Bristol-Myers Squibb Co. | 1,329 | 95,289 | ||||||||
Chugai Pharmaceutical Co., Ltd. | 1,500 | 52,346 | ||||||||
Daiichi Sankyo Co., Ltd. | 2,000 | 46,213 | ||||||||
Eisai Co., Ltd. | 700 | 43,175 | ||||||||
Eli Lilly & Co. | 1,214 | 91,086 | ||||||||
Endo International PLC(a) | 2,016 | 31,873 | ||||||||
Galenica AG | 51 | 67,402 | ||||||||
GlaxoSmithKline PLC | 6,271 | 131,057 | ||||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,000 | 53,177 | ||||||||
Jazz Pharmaceuticals PLC(a) | 387 | 58,654 | ||||||||
Johnson & Johnson | 1,270 | 143,116 | ||||||||
Kyowa Hakko Kirin Co., Ltd. | 2,900 | 52,485 | ||||||||
Mallinckrodt PLC(a) | 442 | 28,005 | ||||||||
Merck & Co., Inc. | 2,052 | 115,445 | ||||||||
Merck KGaA | 1,128 | 112,978 | ||||||||
Mitsubishi Tanabe Pharma Corp. | 2,600 | 43,468 | ||||||||
Mylan NV(a) | 1,275 | 55,258 | ||||||||
Novartis AG (REG) | 1,846 | 146,706 | ||||||||
Novo Nordisk A/S – Class B | 1,500 | 83,945 | ||||||||
Ono Pharmaceutical Co., Ltd. | 1,000 | 44,173 | ||||||||
Orion Oyj – Class B | 2,864 | 102,786 | ||||||||
Otsuka Holdings Co., Ltd. | 1,300 | 52,832 | ||||||||
Perrigo Co. PLC | 557 | 53,383 | ||||||||
Pfizer, Inc. | 3,865 | 134,115 | ||||||||
Roche Holding AG | 505 | 132,641 |
AB GLOBAL RISK ALLOCATION FUND • | 31 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Sanofi | 1,181 | $ | 97,069 | |||||||
Santen Pharmaceutical Co., Ltd. | 3,000 | 43,858 | ||||||||
Shionogi & Co., Ltd. | 1,000 | 55,907 | ||||||||
Shire PLC | 1,680 | 103,798 | ||||||||
Sumitomo Dainippon Pharma Co., Ltd. | 3,900 | 56,761 | ||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 600 | 55,690 | ||||||||
Takeda Pharmaceutical Co., Ltd. | 1,100 | 47,340 | ||||||||
UCB SA | 889 | 64,220 | ||||||||
Valeant Pharmaceuticals International, Inc.(a) | 639 | 18,234 | ||||||||
Zoetis, Inc. | 1,906 | 90,383 | ||||||||
|
| |||||||||
2,986,408 | ||||||||||
|
| |||||||||
10,177,951 | ||||||||||
|
| |||||||||
Information Technology – 3.3% | ||||||||||
Communications Equipment – 0.2% | ||||||||||
Cisco Systems, Inc. | 3,710 | 107,776 | ||||||||
F5 Networks, Inc.(a) | 826 | 91,025 | ||||||||
Harris Corp. | 1,251 | 98,541 | ||||||||
Juniper Networks, Inc. | 2,859 | 66,929 | ||||||||
Motorola Solutions, Inc. | 1,485 | 102,866 | ||||||||
Nokia Oyj | 7,917 | 45,254 | ||||||||
Palo Alto Networks, Inc.(a) | 359 | 46,835 | ||||||||
Telefonaktiebolaget LM Ericsson – Class B | 6,545 | 50,523 | ||||||||
|
| |||||||||
609,749 | ||||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||||
Alps Electric Co., Ltd. | 1,100 | 21,972 | ||||||||
Amphenol Corp. – Class A | 1,992 | 116,970 | ||||||||
Arrow Electronics, Inc.(a) | 1,365 | 88,206 | ||||||||
Avnet, Inc. | 2,219 | 91,046 | ||||||||
CDW Corp./DE | 2,113 | 89,929 | ||||||||
Citizen Holdings Co., Ltd. | 3,800 | 21,169 | ||||||||
Corning, Inc. | 4,746 | 99,144 | ||||||||
Flextronics International Ltd.(a) | 7,933 | 98,766 | ||||||||
FLIR Systems, Inc. | 2,984 | 92,952 | ||||||||
Hamamatsu Photonics KK | 800 | 21,627 | ||||||||
Hexagon AB – Class B | 1,729 | 67,159 | ||||||||
Hirose Electric Co., Ltd. | 200 | 24,633 | ||||||||
Hitachi High-Technologies Corp. | 800 | 23,117 | ||||||||
Hitachi Ltd. | 5,000 | 22,895 | ||||||||
Ingenico Group SA | 534 | 65,077 | ||||||||
Kyocera Corp. | 500 | 24,835 | ||||||||
Murata Manufacturing Co., Ltd. | 100 | 11,547 | ||||||||
Nippon Electric Glass Co., Ltd. | 4,000 | 19,143 | ||||||||
Omron Corp. | 700 | 22,378 | ||||||||
Shimadzu Corp. | 1,000 | 15,109 | ||||||||
TDK Corp. | 300 | 17,381 | ||||||||
TE Connectivity Ltd. | 1,736 | 104,160 | ||||||||
Trimble Navigation Ltd.(a) | 2,531 | 64,743 | ||||||||
Yaskawa Electric Corp. | 1,900 | 23,865 | ||||||||
Yokogawa Electric Corp. | 2,200 | 25,220 | ||||||||
|
| |||||||||
1,273,043 | ||||||||||
|
|
32 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Internet Software & Services – 0.3% | ||||||||||
Akamai Technologies, Inc.(a) | 1,156 | $ | 63,094 | |||||||
Alphabet, Inc. – Class A(a) | 130 | 97,351 | ||||||||
Alphabet, Inc. – Class C(a) | 134 | 98,587 | ||||||||
eBay, Inc.(a) | 3,501 | 85,634 | ||||||||
Facebook, Inc. – Class A(a) | 702 | 83,405 | ||||||||
Kakaku.com, Inc. | 1,100 | 20,721 | ||||||||
LinkedIn Corp. – Class A(a) | 388 | 52,962 | ||||||||
Mixi, Inc. | 600 | 23,015 | ||||||||
Twitter, Inc.(a) | 2,184 | 33,240 | ||||||||
United Internet AG | 1,096 | 51,698 | ||||||||
VeriSign, Inc.(a)(d) | 943 | 80,589 | ||||||||
Yahoo Japan Corp. | 5,100 | 22,768 | ||||||||
Yahoo!, Inc.(a) | 1,854 | 70,341 | ||||||||
Zillow Group, Inc. – Class C(a)(d) | 3,415 | 97,942 | ||||||||
|
| |||||||||
881,347 | ||||||||||
|
| |||||||||
IT Services – 0.8% | ||||||||||
Accenture PLC – Class A | 987 | 117,423 | ||||||||
Alliance Data Systems Corp.(a) | 338 | 75,100 | ||||||||
Amadeus IT Holding SA – Class A | 1,529 | 70,791 | ||||||||
Atos SE | 809 | 74,803 | ||||||||
Automatic Data Processing, Inc. | 1,411 | 123,942 | ||||||||
Capgemini SA | 580 | 55,317 | ||||||||
CGI Group, Inc. – Class A(a) | 2,199 | 102,844 | ||||||||
Cognizant Technology Solutions Corp. – Class A(a) | 1,456 | 89,457 | ||||||||
Computershare Ltd. | 3,618 | 28,045 | ||||||||
Fidelity National Information Services, Inc. | 1,638 | 121,654 | ||||||||
Fiserv, Inc.(a) | 1,106 | 116,495 | ||||||||
FleetCor Technologies, Inc.(a) | 521 | 77,572 | ||||||||
Fujitsu Ltd. | 4,000 | 16,042 | ||||||||
Gartner, Inc.(a) | 1,237 | 125,704 | ||||||||
Global Payments, Inc. | 1,293 | 100,453 | ||||||||
International Business Machines Corp. | 757 | 116,381 | ||||||||
Itochu Techno-Solutions Corp. | 1,100 | 24,269 | ||||||||
MasterCard, Inc. – Class A | 1,146 | 109,901 | ||||||||
Nomura Research Institute Ltd. | 600 | 22,531 | ||||||||
NTT Data Corp. | 400 | 20,552 | ||||||||
Obic Co., Ltd. | 400 | 21,621 | ||||||||
Otsuka Corp. | 400 | 18,861 | ||||||||
Paychex, Inc. | 2,227 | 120,748 | ||||||||
PayPal Holdings, Inc.(a) | 1,857 | 70,176 | ||||||||
Sabre Corp. | 2,927 | 82,454 | ||||||||
Teradata Corp.(a) | 2,614 | 74,081 | ||||||||
Total System Services, Inc. | 1,858 | 99,775 | ||||||||
Vantiv, Inc. – Class A(a) | 1,717 | 92,323 | ||||||||
Visa, Inc. – Class A | 1,427 | 112,647 | ||||||||
Western Union Co. (The) – Class W | 4,599 | 89,451 | ||||||||
Worldpay Group PLC(a)(e) | 13,344 | 53,443 | ||||||||
Xerox Corp. | 8,435 | 84,097 | ||||||||
|
| |||||||||
2,508,953 | ||||||||||
|
|
AB GLOBAL RISK ALLOCATION FUND • | 33 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Semiconductors & Semiconductor Equipment – 0.6% | ||||||||||
Analog Devices, Inc. | 1,474 | $ | 86,229 | |||||||
Applied Materials, Inc. | 4,448 | 108,620 | ||||||||
ARM Holdings PLC | 4,550 | 65,173 | ||||||||
ASM Pacific Technology Ltd. | 2,600 | 19,043 | ||||||||
ASML Holding NV | 611 | 60,947 | ||||||||
Broadcom Ltd. | 452 | 69,771 | ||||||||
Infineon Technologies AG | 3,831 | 57,366 | ||||||||
Intel Corp. | 2,902 | 91,674 | ||||||||
KLA-Tencor Corp. | 1,631 | 118,949 | ||||||||
Lam Research Corp. | 1,012 | 83,804 | ||||||||
Linear Technology Corp. | 2,104 | 99,561 | ||||||||
Marvell Technology Group Ltd. | 5,271 | 53,922 | ||||||||
Maxim Integrated Products, Inc. | 2,268 | 86,093 | ||||||||
Microchip Technology, Inc.(d) | 1,831 | 94,626 | ||||||||
Micron Technology, Inc.(a) | 3,650 | 46,428 | ||||||||
NVIDIA Corp. | 1,964 | 91,758 | ||||||||
NXP Semiconductors NV(a) | 507 | 47,906 | ||||||||
Qorvo, Inc.(a) | 807 | 41,133 | ||||||||
QUALCOMM, Inc. | 1,605 | 88,147 | ||||||||
Rohm Co., Ltd. | 400 | 16,935 | ||||||||
Skyworks Solutions, Inc. | 726 | 48,468 | ||||||||
STMicroelectronics NV | 6,863 | 41,258 | ||||||||
Texas Instruments, Inc. | 1,770 | 107,262 | ||||||||
Tokyo Electron Ltd. | 300 | 22,086 | ||||||||
Xilinx, Inc. | 1,812 | 85,871 | ||||||||
|
| |||||||||
1,733,030 | ||||||||||
|
| |||||||||
Software – 0.8% | ||||||||||
Activision Blizzard, Inc. | 2,032 | 79,776 | ||||||||
Adobe Systems, Inc.(a) | 905 | 90,020 | ||||||||
ANSYS, Inc.(a) | 1,226 | 109,237 | ||||||||
Autodesk, Inc.(a) | 1,130 | 65,845 | ||||||||
CA, Inc. | 3,264 | 105,492 | ||||||||
CDK Global, Inc. | 1,755 | 97,051 | ||||||||
Citrix Systems, Inc.(a) | 927 | 78,721 | ||||||||
Constellation Software, Inc./Canada | 196 | 79,664 | ||||||||
Dassault Systemes | 753 | 59,985 | ||||||||
Electronic Arts, Inc.(a) | 1,110 | 85,192 | ||||||||
Fortinet, Inc.(a) | 2,036 | 69,652 | ||||||||
Gemalto NV | 814 | 49,737 | ||||||||
GungHo Online Entertainment, Inc. | 8,100 | 23,419 | ||||||||
Intuit, Inc. | 1,004 | 107,087 | ||||||||
Konami Holdings Corp. | 700 | 26,413 | ||||||||
Microsoft Corp. | 1,769 | 93,757 | ||||||||
Mobileye NV(a)(d) | 744 | 28,250 | ||||||||
NetSuite, Inc.(a)(d) | 917 | 72,727 | ||||||||
Nexon Co., Ltd. | 1,300 | 21,250 | ||||||||
Nintendo Co., Ltd. | 100 | 14,688 | ||||||||
Nuance Communications, Inc.(a) | 4,030 | 67,382 | ||||||||
Open Text Corp. | 1,962 | 114,936 | ||||||||
Oracle Corp. | 2,446 | 98,329 |
34 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Oracle Corp. Japan | 500 | $ | 26,444 | |||||||
Red Hat, Inc.(a) | 897 | 69,482 | ||||||||
Sage Group PLC (The) | 8,315 | 73,735 | ||||||||
salesforce.com, Inc.(a) | 932 | 78,018 | ||||||||
SAP SE | 921 | 74,591 | ||||||||
ServiceNow, Inc.(a) | 684 | 48,995 | ||||||||
Splunk, Inc.(a) | 1,020 | 58,599 | ||||||||
Symantec Corp. | 5,244 | 91,036 | ||||||||
Synopsys, Inc.(a) | 1,604 | 82,879 | ||||||||
Tableau Software, Inc. – Class A(a) | 812 | 41,769 | ||||||||
Trend Micro, Inc./Japan | 500 | 18,032 | ||||||||
VMware, Inc. – Class A(a)(d) | 1,176 | 71,219 | ||||||||
Workday, Inc. – Class A(a) | 703 | 53,315 | ||||||||
|
| |||||||||
2,426,724 | ||||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals – 0.2% | ||||||||||
Apple, Inc. | 932 | 93,069 | ||||||||
BlackBerry Ltd.(a) | 6,600 | 48,015 | ||||||||
Brother Industries Ltd. | 1,900 | 22,600 | ||||||||
Canon, Inc. | 1,100 | 31,751 | ||||||||
EMC Corp./MA | 3,566 | 99,670 | ||||||||
FUJIFILM Holdings Corp. | 600 | 24,184 | ||||||||
Hewlett Packard Enterprise Co. | 4,029 | 74,416 | ||||||||
HP, Inc. | 6,059 | 81,069 | ||||||||
Konica Minolta, Inc. | 2,000 | 17,129 | ||||||||
NEC Corp. | 7,000 | 16,375 | ||||||||
NetApp, Inc. | 2,826 | 72,148 | ||||||||
Ricoh Co., Ltd. | 2,600 | 22,524 | ||||||||
Seagate Technology PLC(d) | 1,442 | 32,531 | ||||||||
Seiko Epson Corp. | 1,200 | 21,391 | ||||||||
Western Digital Corp. | 1,168 | 54,359 | ||||||||
|
| |||||||||
711,231 | ||||||||||
|
| |||||||||
10,144,077 | ||||||||||
|
| |||||||||
Consumer Discretionary – 3.0% | ||||||||||
Auto Components – 0.2% | ||||||||||
Aisin Seiki Co., Ltd. | 400 | 16,382 | ||||||||
Autoliv, Inc. | 411 | 50,393 | ||||||||
BorgWarner, Inc. | 1,190 | 40,496 | ||||||||
Bridgestone Corp. | 500 | 17,113 | ||||||||
Cie Generale des Etablissements Michelin – Class B | 357 | 36,304 | ||||||||
Continental AG | 141 | 30,275 | ||||||||
Delphi Automotive PLC | 602 | 40,912 | ||||||||
Denso Corp. | 400 | 15,637 | ||||||||
GKN PLC | 11,855 | 47,153 | ||||||||
Goodyear Tire & Rubber Co. (The) | 1,361 | 38,067 | ||||||||
Johnson Controls, Inc. | 1,400 | 61,810 | ||||||||
Koito Manufacturing Co., Ltd. | 300 | 14,047 | ||||||||
Lear Corp. | 440 | 52,254 | ||||||||
Linamar Corp. | 914 | 38,223 | ||||||||
Magna International, Inc. (Toronto) – Class A | 1,226 | 49,784 |
AB GLOBAL RISK ALLOCATION FUND • | 35 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
NGK Spark Plug Co., Ltd. | 800 | $ | 15,354 | |||||||
NHK Spring Co., Ltd. | 1,500 | 12,803 | ||||||||
NOK Corp. | 800 | 14,214 | ||||||||
Nokian Renkaat Oyj | 932 | 32,912 | ||||||||
Stanley Electric Co., Ltd. | 600 | 12,606 | ||||||||
Sumitomo Electric Industries Ltd. | 1,200 | 16,840 | ||||||||
Sumitomo Rubber Industries Ltd. | 1,100 | 16,054 | ||||||||
Toyoda Gosei Co., Ltd. | 700 | 13,634 | ||||||||
Toyota Industries Corp. | 300 | 12,893 | ||||||||
Valeo SA | 172 | 25,978 | ||||||||
Yokohama Rubber Co., Ltd. (The) | 900 | 13,710 | ||||||||
|
| |||||||||
735,848 | ||||||||||
|
| |||||||||
Automobiles – 0.2% | ||||||||||
Bayerische Motoren Werke AG | 293 | 24,759 | ||||||||
Bayerische Motoren Werke AG | 404 | 29,731 | ||||||||
Daihatsu Motor Co., Ltd. | 1,100 | 14,930 | ||||||||
Daimler AG (REG) | 379 | 25,909 | ||||||||
Ferrari NV(a) | 491 | 20,835 | ||||||||
Fiat Chrysler Automobiles NV | 2,458 | 17,557 | ||||||||
Ford Motor Co. | 3,788 | 51,100 | ||||||||
Fuji Heavy Industries Ltd. | 400 | 14,815 | ||||||||
General Motors Co. | 1,628 | 50,924 | ||||||||
Harley-Davidson, Inc. | 930 | 43,143 | ||||||||
Honda Motor Co., Ltd. | 600 | 16,837 | ||||||||
Isuzu Motors Ltd. | 1,200 | 14,347 | ||||||||
Mazda Motor Corp. | 900 | 15,277 | ||||||||
Mitsubishi Motors Corp. | 1,900 | 9,862 | ||||||||
Nissan Motor Co., Ltd. | 1,400 | 14,061 | ||||||||
Peugeot SA(a) | 1,364 | 21,486 | ||||||||
Porsche Automobil Holding SE | 370 | 20,393 | ||||||||
Renault SA | 242 | 22,715 | ||||||||
Suzuki Motor Corp. | 500 | 12,740 | ||||||||
Tesla Motors, Inc.(a)(d) | 113 | 25,225 | ||||||||
Toyota Motor Corp. | 300 | 15,513 | ||||||||
Volkswagen AG | 122 | 18,881 | ||||||||
Volkswagen AG (Preference Shares) | 131 | 19,598 | ||||||||
Yamaha Motor Co., Ltd. | 900 | 15,771 | ||||||||
|
| |||||||||
536,409 | ||||||||||
|
| |||||||||
Distributors – 0.0% | ||||||||||
Genuine Parts Co. | 742 | 71,915 | ||||||||
Jardine Cycle & Carriage Ltd. | 500 | 12,271 | ||||||||
LKQ Corp.(a) | 1,647 | 54,466 | ||||||||
|
| |||||||||
138,652 | ||||||||||
|
| |||||||||
Diversified Consumer Services – 0.0% | ||||||||||
Benesse Holdings, Inc. | 500 | 11,012 | ||||||||
H&R Block, Inc. | 1,924 | 41,096 | ||||||||
|
| |||||||||
52,108 | ||||||||||
|
|
36 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Hotels, Restaurants & Leisure – 0.5% | ||||||||||
Accor SA | 560 | $ | 24,362 | |||||||
Aramark | 1,869 | 62,219 | ||||||||
Aristocrat Leisure Ltd. | 1,881 | 17,447 | ||||||||
Carnival Corp. | 986 | 47,072 | ||||||||
Carnival PLC | 640 | 31,499 | ||||||||
Chipotle Mexican Grill, Inc. – Class A(a) | 75 | 33,147 | ||||||||
Compass Group PLC | 2,613 | 48,651 | ||||||||
Crown Resorts Ltd. | 1,933 | 16,785 | ||||||||
Darden Restaurants, Inc. | 848 | 57,520 | ||||||||
Flight Centre Travel Group Ltd. | 600 | 13,689 | ||||||||
Galaxy Entertainment Group Ltd. | 3,000 | 10,047 | ||||||||
Genting Singapore PLC | 24,200 | 13,010 | ||||||||
Hilton Worldwide Holdings, Inc. | 2,184 | 45,384 | ||||||||
InterContinental Hotels Group PLC | 765 | 29,449 | ||||||||
Interval Leisure Group, Inc. | 437 | 6,275 | ||||||||
Las Vegas Sands Corp. | 750 | 34,680 | ||||||||
Marriott International, Inc./MD – Class A(d) | 737 | 48,672 | ||||||||
McDonald’s Corp. | 647 | 78,973 | ||||||||
McDonald’s Holdings Co. Japan Ltd. | 600 | 15,760 | ||||||||
Melco Crown Entertainment Ltd. (ADR) | 560 | 8,103 | ||||||||
Merlin Entertainments PLC(e) | 8,913 | 54,536 | ||||||||
MGM China Holdings Ltd. | 12,000 | 17,448 | ||||||||
MGM Resorts International(a) | 1,633 | 37,314 | ||||||||
Norwegian Cruise Line Holdings Ltd.(a) | 695 | 32,255 | ||||||||
Oriental Land Co., Ltd./Japan | 200 | 13,109 | ||||||||
Paddy Power Betfair PLC | 238 | 32,141 | ||||||||
Restaurant Brands International, Inc. | 1,234 | 51,521 | ||||||||
Royal Caribbean Cruises Ltd. | 506 | 39,159 | ||||||||
Sands China Ltd. | 2,800 | 10,680 | ||||||||
Shangri-La Asia Ltd. | 14,000 | 15,954 | ||||||||
SJM Holdings Ltd. | 22,000 | 14,092 | ||||||||
Sodexo SA | 391 | 41,146 | ||||||||
Starbucks Corp. | 1,025 | 56,262 | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,015 | 74,531 | ||||||||
Tabcorp Holdings Ltd. | 6,458 | 20,602 | ||||||||
Tatts Group Ltd. | 6,411 | 18,224 | ||||||||
TUI AG | 2,069 | 31,656 | ||||||||
Whitbread PLC | 674 | 41,074 | ||||||||
William Hill PLC | 8,575 | 38,649 | ||||||||
Wyndham Worldwide Corp. | 744 | 50,138 | ||||||||
Wynn Macau Ltd. | 12,400 | 19,390 | ||||||||
Wynn Resorts Ltd.(d) | 329 | 31,643 | ||||||||
Yum! Brands, Inc. | 551 | 45,232 | ||||||||
|
| |||||||||
1,429,500 | ||||||||||
|
| |||||||||
Household Durables – 0.3% | ||||||||||
Auto Trader Group PLC(e) | 5,704 | 32,444 | ||||||||
Barratt Developments PLC | 3,958 | 33,851 | ||||||||
Berkeley Group Holdings PLC | 705 | 33,386 | ||||||||
Casio Computer Co., Ltd. | 600 | 9,278 | ||||||||
DR Horton, Inc. | 1,444 | 44,129 | ||||||||
Electrolux AB – Class B | 1,131 | 30,381 |
AB GLOBAL RISK ALLOCATION FUND • | 37 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Garmin Ltd. | 1,283 | $ | 54,553 | |||||||
Harman International Industries, Inc. | 456 | 35,677 | ||||||||
Husqvarna AB – Class B | 4,957 | 39,350 | ||||||||
Iida Group Holdings Co., Ltd. | 700 | 14,545 | ||||||||
Leggett & Platt, Inc. | 1,365 | 68,605 | ||||||||
Lennar Corp. – Class A | 1,025 | 46,709 | ||||||||
Mohawk Industries, Inc.(a) | 276 | 54,286 | ||||||||
Newell Brands, Inc. | 2,829 | 134,915 | ||||||||
Nikon Corp. | 1,100 | 15,379 | ||||||||
Panasonic Corp. | 1,600 | 14,800 | ||||||||
Persimmon PLC | 1,067 | 32,460 | ||||||||
PulteGroup, Inc. | 2,394 | 44,911 | ||||||||
Rinnai Corp. | 200 | 17,329 | ||||||||
Sekisui Chemical Co., Ltd. | 1,200 | 15,550 | ||||||||
Sekisui House Ltd. | 900 | 16,003 | ||||||||
Sony Corp. | 500 | 13,903 | ||||||||
Taylor Wimpey PLC | 11,927 | 35,418 | ||||||||
Techtronic Industries Co., Ltd. | 3,500 | 14,033 | ||||||||
Toll Brothers, Inc.(a) | 1,585 | 46,203 | ||||||||
Whirlpool Corp. | 280 | 48,894 | ||||||||
|
| |||||||||
946,992 | ||||||||||
|
| |||||||||
Internet & Catalog Retail – 0.1% | ||||||||||
Amazon.com, Inc.(a) | 73 | 52,764 | ||||||||
Expedia, Inc. | 302 | 33,594 | ||||||||
Liberty Interactive Corp. QVC Group – Class A(a) | 2,051 | 55,336 | ||||||||
Netflix, Inc.(a) | 267 | 27,386 | ||||||||
Priceline Group, Inc. (The)(a) | 37 | 46,780 | ||||||||
Rakuten, Inc. | 1,499 | 15,943 | ||||||||
TripAdvisor, Inc.(a) | 459 | 31,093 | ||||||||
Zalando SE(a)(e) | 1,013 | 29,713 | ||||||||
|
| |||||||||
292,609 | ||||||||||
|
| |||||||||
Leisure Products – 0.1% | ||||||||||
Bandai Namco Holdings, Inc. | 600 | 14,800 | ||||||||
Hasbro, Inc. | 662 | 57,786 | ||||||||
Mattel, Inc. | 1,357 | 43,261 | ||||||||
Polaris Industries, Inc.(d) | 396 | 33,668 | ||||||||
Sankyo Co., Ltd. | 400 | 14,848 | ||||||||
Sega Sammy Holdings, Inc. | 1,200 | 14,557 | ||||||||
Shimano, Inc. | 100 | 15,469 | ||||||||
Yamaha Corp. | 500 | 15,028 | ||||||||
|
| |||||||||
209,417 | ||||||||||
|
| |||||||||
Media – 0.7% | ||||||||||
Altice NV – Class A(a) | 828 | 14,265 | ||||||||
Altice NV – Class B(a) | 1,746 | 30,179 | ||||||||
Axel Springer SE | 749 | 42,625 | ||||||||
Cablevision Systems Corp. – Class A | 489 | 16,958 | ||||||||
CBS Corp. – Class B | 895 | 49,404 | ||||||||
Charter Communications, Inc. – Class A(a) | 467 | 102,249 | ||||||||
Comcast Corp. – Class A | 1,057 | 66,908 | ||||||||
Dentsu, Inc. | 300 | 15,068 |
38 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Discovery Communications, Inc. – Class A(a) | 1,539 | $ | 42,861 | |||||||
Discovery Communications, Inc. – Class C(a) | 1,494 | 39,994 | ||||||||
DISH Network Corp. – Class A(a) | 848 | 42,315 | ||||||||
Eutelsat Communications SA | 1,331 | 26,551 | ||||||||
Hakuhodo DY Holdings, Inc. | 1,400 | 17,446 | ||||||||
Interpublic Group of Cos., Inc. (The) | 2,807 | 67,087 | ||||||||
ITV PLC | 9,203 | 28,556 | ||||||||
JCDecaux SA | 995 | 41,156 | ||||||||
Kabel Deutschland Holding AG | 239 | 27,471 | ||||||||
Lagardere SCA | 1,196 | 28,320 | ||||||||
Liberty Braves Group – Class A(a) | 137 | 2,132 | ||||||||
Liberty Braves Group – Class C(a)(d) | 125 | 1,875 | ||||||||
Liberty Global PLC – Class A(a) | 1,154 | 43,102 | ||||||||
Liberty Global PLC – Series C(a) | 1,743 | 62,975 | ||||||||
Liberty Media Group – Class A(a) | 343 | 6,682 | ||||||||
Liberty Media Group – Class C(a) | 314 | 5,950 | ||||||||
Liberty SiriusXM Group – Class A(a) | 1,375 | 43,849 | ||||||||
Liberty SiriusXM Group – Class C(a) | 1,257 | 39,533 | ||||||||
News Corp. – Class A | 3,877 | 46,369 | ||||||||
Omnicom Group, Inc. | 828 | 68,997 | ||||||||
Pearson PLC | 2,487 | 30,153 | ||||||||
ProSiebenSat.1 Media SE | 586 | 29,482 | ||||||||
Publicis Groupe SA | 533 | 38,612 | ||||||||
REA Group Ltd. | 362 | 14,621 | ||||||||
RELX NV | 2,230 | 38,605 | ||||||||
RELX PLC | 2,553 | 46,156 | ||||||||
Rizzoli Corriere Della Sera Mediagroup SpA(a) | 166 | 141 | ||||||||
RTL Group SA (London)(a) | 358 | 32,135 | ||||||||
Schibsted ASA | 1,137 | 35,270 | ||||||||
Schibsted ASA – Class B | 1,169 | 34,663 | ||||||||
Scripps Networks Interactive, Inc. – Class A(d) | 736 | 47,354 | ||||||||
SES SA | 1,074 | 24,074 | ||||||||
Shaw Communications, Inc. – Class B | 3,816 | 72,982 | ||||||||
Singapore Press Holdings Ltd. | 4,800 | 13,450 | ||||||||
Sirius XM Holdings, Inc.(a) | 15,536 | 62,455 | ||||||||
Sky PLC | 2,830 | 39,499 | ||||||||
TEGNA, Inc. | 1,896 | 43,532 | ||||||||
Telenet Group Holding NV(a) | 664 | 31,610 | ||||||||
Thomson Reuters Corp. | 1,775 | 74,541 | ||||||||
Time Warner, Inc. | 651 | 49,255 | ||||||||
Toho Co., Ltd./Tokyo | 500 | 13,577 | ||||||||
Twenty-First Century Fox, Inc. – Class A | 2,041 | 58,944 | ||||||||
Twenty-First Century Fox, Inc. – Class B | 2,064 | 60,351 | ||||||||
Viacom, Inc. – Class B | 851 | 37,759 | ||||||||
Vivendi SA | 1,523 | 30,169 | ||||||||
Walt Disney Co. (The) | 664 | 65,882 | ||||||||
Wolters Kluwer NV | 1,050 | 41,870 | ||||||||
WPP PLC | 1,603 | 36,968 | ||||||||
|
| |||||||||
2,124,987 | ||||||||||
|
| |||||||||
Multiline Retail – 0.2% | ||||||||||
Canadian Tire Corp., Ltd. – Class A | 608 | 66,394 | ||||||||
Dollar General Corp. | 776 | 69,762 |
AB GLOBAL RISK ALLOCATION FUND • | 39 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Dollar Tree, Inc.(a) | 671 | $ | 60,752 | |||||||
Dollarama, Inc. | 909 | 62,594 | ||||||||
Don Quijote Holdings Co., Ltd. | 400 | 12,749 | ||||||||
Harvey Norman Holdings Ltd. | 5,262 | 17,304 | ||||||||
Isetan Mitsukoshi Holdings Ltd. | 1,100 | 10,667 | ||||||||
J Front Retailing Co., Ltd. | 1,100 | 13,078 | ||||||||
Kohl’s Corp. | 1,003 | 36,148 | ||||||||
Macy’s, Inc. | 1,080 | 35,867 | ||||||||
Marks & Spencer Group PLC | 7,359 | 40,466 | ||||||||
Marui Group Co., Ltd. | 1,000 | 14,586 | ||||||||
Next PLC | 436 | 34,305 | ||||||||
Nordstrom, Inc.(d) | 848 | 32,207 | ||||||||
Ryohin Keikaku Co., Ltd. | 100 | 22,893 | ||||||||
Takashimaya Co., Ltd. | 2,000 | 14,065 | ||||||||
Target Corp. | 852 | 58,601 | ||||||||
|
| |||||||||
602,438 | ||||||||||
|
| |||||||||
Specialty Retail – 0.4% | ||||||||||
ABC-Mart, Inc. | 200 | 12,889 | ||||||||
Advance Auto Parts, Inc. | 297 | 45,691 | ||||||||
AutoNation, Inc.(a) | 896 | 45,194 | ||||||||
AutoZone, Inc.(a) | 82 | 62,500 | ||||||||
Bed Bath & Beyond, Inc.(a) | 943 | 42,199 | ||||||||
Best Buy Co., Inc. | 1,332 | 42,850 | ||||||||
CarMax, Inc.(a)(d) | 694 | 37,240 | ||||||||
Dick’s Sporting Goods, Inc. | 971 | 41,656 | ||||||||
Dixons Carphone PLC | 5,866 | 37,333 | ||||||||
Dufry AG (REG)(a) | 258 | 34,667 | ||||||||
Foot Locker, Inc. | 770 | 43,058 | ||||||||
GameStop Corp. – Class A(d) | 1,057 | 30,759 | ||||||||
Gap, Inc. (The) | 1,379 | 24,808 | ||||||||
Hennes & Mauritz AB – Class B | 1,075 | 32,997 | ||||||||
Hikari Tsushin, Inc. | 200 | 16,223 | ||||||||
Home Depot, Inc. (The) | 521 | 68,835 | ||||||||
Industria de Diseno Textil SA | 862 | 29,122 | ||||||||
Kingfisher PLC | 8,539 | 45,324 | ||||||||
L Brands, Inc. | 649 | 44,489 | ||||||||
Lowe’s Cos., Inc. | 874 | 70,034 | ||||||||
Nitori Holdings Co., Ltd. | 200 | 20,199 | ||||||||
O’Reilly Automotive, Inc.(a) | 195 | 51,564 | ||||||||
Ross Stores, Inc. | 916 | 48,914 | ||||||||
Sanrio Co., Ltd. | 700 | 12,870 | ||||||||
Shimamura Co., Ltd. | 100 | 12,924 | ||||||||
Signet Jewelers Ltd. | 280 | 27,712 | ||||||||
Sports Direct International PLC(a) | 5,523 | 29,968 | ||||||||
Staples, Inc. | 3,077 | 27,078 | ||||||||
Tiffany & Co. | 681 | 42,195 | ||||||||
TJX Cos., Inc. (The) | 890 | 67,747 | ||||||||
Tractor Supply Co. | 602 | 57,852 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 231 | 53,825 | ||||||||
USS Co., Ltd. | 1,000 | 15,726 | ||||||||
Yamada Denki Co., Ltd. | 2,600 | 12,200 | ||||||||
|
| |||||||||
1,288,642 | ||||||||||
|
|
40 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Textiles, Apparel & Luxury Goods – 0.3% | ||||||||||
adidas AG | 298 | $ | 38,150 | |||||||
Asics Corp. | 800 | 18,056 | ||||||||
Burberry Group PLC | 1,363 | 21,165 | ||||||||
Christian Dior SE | 177 | 28,885 | ||||||||
Cie Financiere Richemont SA | 485 | 28,587 | ||||||||
Coach, Inc. | 1,135 | 44,742 | ||||||||
Gildan Activewear, Inc. | 2,034 | 60,600 | ||||||||
Hanesbrands, Inc. | 1,446 | 39,143 | ||||||||
Hermes International | 103 | 37,255 | ||||||||
HUGO BOSS AG | 487 | 29,974 | ||||||||
Kering | 165 | 26,658 | ||||||||
Li & Fung Ltd. | 24,000 | 12,196 | ||||||||
lululemon athletica, Inc.(a)(d) | 529 | 34,401 | ||||||||
Luxottica Group SpA | 531 | 28,788 | ||||||||
LVMH Moet Hennessy Louis Vuitton SE | 171 | 27,376 | ||||||||
Michael Kors Holdings Ltd.(a) | 679 | 29,007 | ||||||||
NIKE, Inc. – Class B | 835 | 46,109 | ||||||||
Pandora A/S | 241 | 35,819 | ||||||||
PVH Corp. | 452 | 42,398 | ||||||||
Ralph Lauren Corp. | 480 | 45,278 | ||||||||
Swatch Group AG (The) | 85 | 25,005 | ||||||||
Swatch Group AG (The) (REG) | 480 | 27,855 | ||||||||
Under Armour, Inc. – Class A(a)(d) | 465 | 17,545 | ||||||||
Under Armour, Inc. – Class C(a) | 465 | 16,261 | ||||||||
VF Corp. | 823 | 51,289 | ||||||||
Yue Yuen Industrial Holdings Ltd. | 4,000 | 15,014 | ||||||||
|
| |||||||||
827,556 | ||||||||||
|
| |||||||||
9,185,158 | ||||||||||
|
| |||||||||
Materials – 2.4% | ||||||||||
Chemicals – 1.3% | ||||||||||
Agrium, Inc. (Toronto) | 1,268 | 114,438 | ||||||||
Air Liquide SA | 571 | 61,436 | ||||||||
Air Products & Chemicals, Inc. | 773 | 110,261 | ||||||||
Air Water, Inc. | 2,000 | 31,094 | ||||||||
Akzo Nobel NV | 922 | 62,518 | ||||||||
Albemarle Corp. | 1,331 | 104,483 | ||||||||
Arkema SA | 599 | 49,143 | ||||||||
Asahi Kasei Corp. | 4,000 | 26,634 | ||||||||
Ashland, Inc. | 1,157 | 131,158 | ||||||||
Axalta Coating Systems Ltd.(a) | 3,237 | 91,122 | ||||||||
BASF SE | 712 | 55,050 | ||||||||
Celanese Corp. – Series A | 1,451 | 102,266 | ||||||||
CF Industries Holdings, Inc. | 1,547 | 42,790 | ||||||||
Chr Hansen Holding A/S | 653 | 41,398 | ||||||||
Croda International PLC | 990 | 42,085 | ||||||||
Daicel Corp. | 1,900 | 23,563 | ||||||||
Dow Chemical Co. (The) | 2,161 | 110,989 | ||||||||
Eastman Chemical Co. | 1,444 | 105,932 | ||||||||
Ecolab, Inc. | 1,093 | 128,143 |
AB GLOBAL RISK ALLOCATION FUND • | 41 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
EI du Pont de Nemours & Co. | 1,707 | $ | 111,655 | |||||||
EMS-Chemie Holding AG (REG) | 85 | 42,130 | ||||||||
Evonik Industries AG | 1,862 | 54,907 | ||||||||
FMC Corp. | 1,887 | 89,614 | ||||||||
FUCHS PETROLUB SE (Preference Shares) | 1,531 | 62,325 | ||||||||
Givaudan SA (REG) | 43 | 82,431 | ||||||||
Hitachi Chemical Co., Ltd. | 1,300 | 24,138 | ||||||||
Incitec Pivot Ltd. | 10,944 | 27,214 | ||||||||
Ingevity Corp.(a)(d) | 274 | 7,984 | ||||||||
International Flavors & Fragrances, Inc. | 951 | 122,679 | ||||||||
Johnson Matthey PLC | 1,157 | 48,285 | ||||||||
JSR Corp. | 1,500 | 21,896 | ||||||||
K&S AG (REG) | 1,762 | 43,485 | ||||||||
Kaneka Corp. | 3,000 | 23,685 | ||||||||
Kansai Paint Co., Ltd. | 1,500 | 30,160 | ||||||||
Koninklijke DSM NV | 1,193 | 71,015 | ||||||||
Kuraray Co., Ltd. | 2,900 | 38,265 | ||||||||
LANXESS AG | 946 | 45,188 | ||||||||
Linde AG | 413 | 61,864 | ||||||||
LyondellBasell Industries NV – Class A | 992 | 80,709 | ||||||||
Methanex Corp. | 1,523 | 50,103 | ||||||||
Mitsubishi Chemical Holdings Corp. | 4,400 | 22,237 | ||||||||
Mitsubishi Gas Chemical Co., Inc. | 4,000 | 22,544 | ||||||||
Mitsui Chemicals, Inc. | 7,000 | 26,113 | ||||||||
Monsanto Co. | 1,122 | 126,191 | ||||||||
Mosaic Co. (The) | 2,052 | 51,772 | ||||||||
Nippon Paint Holdings Co., Ltd. | 1,000 | 28,247 | ||||||||
Nitto Denko Corp. | 400 | 26,209 | ||||||||
Novozymes A/S – Class B | 1,305 | 62,094 | ||||||||
OCI NV(a) | 1,847 | 26,578 | ||||||||
Orica Ltd. | 2,005 | 19,659 | ||||||||
Potash Corp. of Saskatchewan, Inc. | 4,586 | 74,839 | ||||||||
PPG Industries, Inc. | 1,158 | 124,693 | ||||||||
Praxair, Inc. | 1,237 | 135,897 | ||||||||
Sherwin-Williams Co. (The) | 371 | 107,994 | ||||||||
Shin-Etsu Chemical Co., Ltd. | 600 | 34,794 | ||||||||
Sika AG | 10 | 43,271 | ||||||||
Solvay SA | 514 | 52,083 | ||||||||
Sumitomo Chemical Co., Ltd. | 5,000 | 22,730 | ||||||||
Symrise AG | 963 | 60,428 | ||||||||
Syngenta AG (REG) | 132 | 51,905 | ||||||||
Taiyo Nippon Sanso Corp. | 2,400 | 21,430 | ||||||||
Teijin Ltd. | 7,000 | 24,465 | ||||||||
Toray Industries, Inc. | 3,000 | 25,797 | ||||||||
Umicore SA | 1,154 | 58,072 | ||||||||
Westlake Chemical Corp. | 1,581 | 69,770 | ||||||||
WR Grace & Co. | 1,362 | 105,746 | ||||||||
Yara International ASA | 1,234 | 44,377 | ||||||||
|
| |||||||||
4,044,170 | ||||||||||
|
|
42 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Construction Materials – 0.2% | ||||||||||
Boral Ltd. | 7,586 | $ | 37,199 | |||||||
CRH PLC | 1,893 | 57,569 | ||||||||
Fletcher Building Ltd. | 7,063 | 42,722 | ||||||||
HeidelbergCement AG | 600 | 51,369 | ||||||||
Imerys SA | 1,006 | 70,931 | ||||||||
James Hardie Industries PLC | 2,190 | 33,275 | ||||||||
LafargeHolcim Ltd. (REG)(a) | 922 | 41,503 | ||||||||
Martin Marietta Materials, Inc. | 589 | 111,345 | ||||||||
Taiheiyo Cement Corp. | 9,000 | 23,573 | ||||||||
Vulcan Materials Co. | 871 | 101,689 | ||||||||
|
| |||||||||
571,175 | ||||||||||
|
| |||||||||
Containers & Packaging – 0.3% | ||||||||||
Amcor Ltd./Australia | 3,699 | 43,458 | ||||||||
Avery Dennison Corp. | 1,835 | 136,487 | ||||||||
Ball Corp. | 1,507 | 108,956 | ||||||||
CCL Industries, Inc. – Class H | 395 | 70,310 | ||||||||
Crown Holdings, Inc.(a) | 2,430 | 126,773 | ||||||||
International Paper Co. | 2,642 | 111,387 | ||||||||
Packaging Corp. of America | 1,572 | 107,257 | ||||||||
Rexam PLC | 15,427 | 140,342 | ||||||||
Sealed Air Corp. | 2,171 | 100,821 | ||||||||
Toyo Seikan Group Holdings Ltd. | 1,200 | 25,157 | ||||||||
WestRock Co. | 1,646 | 65,198 | ||||||||
|
| |||||||||
1,036,146 | ||||||||||
|
| |||||||||
Metals & Mining – 0.5% | ||||||||||
Agnico Eagle Mines Ltd. | 1,821 | 81,736 | ||||||||
Alcoa, Inc. | 5,939 | 55,054 | ||||||||
Alumina Ltd. | 21,356 | 21,812 | ||||||||
Anglo American PLC | 2,714 | 23,417 | ||||||||
Antofagasta PLC | 4,227 | 26,205 | ||||||||
ArcelorMittal (Euronext Amsterdam)(a) | 3,617 | 17,728 | ||||||||
Barrick Gold Corp. (Toronto) | 3,734 | 62,416 | ||||||||
BHP Billiton Ltd. | 1,503 | 20,268 | ||||||||
BHP Billiton PLC | 4,115 | 48,499 | ||||||||
Boliden AB | 1,902 | 33,682 | ||||||||
Eldorado Gold Corp. | 10,719 | 45,611 | ||||||||
First Quantum Minerals Ltd. | 4,769 | 31,276 | ||||||||
Fortescue Metals Group Ltd. | 6,236 | 13,411 | ||||||||
Franco-Nevada Corp. | 1,212 | 76,656 | ||||||||
Freeport-McMoRan, Inc. | 3,049 | 33,783 | ||||||||
Fresnillo PLC | 3,046 | 44,460 | ||||||||
Glencore PLC(a) | 9,712 | 18,362 | ||||||||
Goldcorp, Inc. | 3,666 | 61,643 | ||||||||
Hitachi Metals Ltd. | 2,100 | 22,382 | ||||||||
Iluka Resources Ltd. | 4,094 | 19,075 | ||||||||
JFE Holdings, Inc. | 1,400 | 18,660 | ||||||||
Kinross Gold Corp.(a) | 12,070 | 51,728 | ||||||||
Kobe Steel Ltd. | 20,000 | 17,886 | ||||||||
Maruichi Steel Tube Ltd. | 800 | 26,550 |
AB GLOBAL RISK ALLOCATION FUND • | 43 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Mitsubishi Materials Corp. | 7,000 | $ | 20,058 | |||||||
Newcrest Mining Ltd.(a) | 1,329 | 18,454 | ||||||||
Newmont Mining Corp. | 2,302 | 74,608 | ||||||||
Nippon Steel & Sumitomo Metal Corp. | 1,200 | 24,612 | ||||||||
Norsk Hydro ASA | 8,464 | 33,653 | ||||||||
Nucor Corp. | 2,148 | 104,199 | ||||||||
Randgold Resources Ltd. | 455 | 38,228 | ||||||||
Rio Tinto Ltd. | 708 | 22,902 | ||||||||
Rio Tinto PLC | 1,085 | 30,236 | ||||||||
Silver Wheaton Corp. | 3,641 | 67,886 | ||||||||
South32 Ltd.(a) | 15,373 | 17,286 | ||||||||
Sumitomo Metal Mining Co., Ltd. | 2,000 | 20,490 | ||||||||
Teck Resources Ltd. – Class B | 4,678 | 44,984 | ||||||||
thyssenkrupp AG | 1,844 | 40,630 | ||||||||
Turquoise Hill Resources Ltd.(a) | 9,031 | 25,550 | ||||||||
voestalpine AG | 1,292 | 44,230 | ||||||||
Yamana Gold, Inc. | 11,781 | 49,681 | ||||||||
|
| |||||||||
1,549,987 | ||||||||||
|
| |||||||||
Paper & Forest Products – 0.1% | ||||||||||
Mondi PLC | 3,588 | 69,759 | ||||||||
Oji Holdings Corp. | 6,000 | 24,539 | ||||||||
Stora Enso Oyj – Class R | 5,274 | 45,233 | ||||||||
UPM-Kymmene Oyj | 2,612 | 50,257 | ||||||||
West Fraser Timber Co., Ltd. | 1,964 | 67,097 | ||||||||
|
| |||||||||
256,885 | ||||||||||
|
| |||||||||
7,458,363 | ||||||||||
|
| |||||||||
Energy – 2.2% | ||||||||||
Energy Equipment & Services – 0.3% | ||||||||||
Baker Hughes, Inc. | 1,325 | 61,454 | ||||||||
Core Laboratories NV(d) | 444 | 53,835 | ||||||||
FMC Technologies, Inc.(a) | 2,095 | 57,047 | ||||||||
Halliburton Co. | 1,858 | 78,370 | ||||||||
Helmerich & Payne, Inc.(d) | 686 | 41,949 | ||||||||
National Oilwell Varco, Inc. | 1,671 | 55,059 | ||||||||
Oceaneering International, Inc. | 1,592 | 52,632 | ||||||||
Petrofac Ltd. | 5,681 | 63,829 | ||||||||
Saipem SpA(a) | 14,592 | 5,971 | ||||||||
Schlumberger Ltd. | 2,402 | 183,273 | ||||||||
Technip SA | 1,445 | 79,191 | ||||||||
Tenaris SA | 8,068 | 106,780 | ||||||||
Transocean Ltd. (Zurich)(a) | 8,746 | 87,237 | ||||||||
Weatherford International PLC(a) | 3,897 | 21,862 | ||||||||
|
| |||||||||
948,489 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels – 1.9% | ||||||||||
AltaGas Ltd. | 3,971 | 91,784 | ||||||||
Anadarko Petroleum Corp. | 817 | 42,370 | ||||||||
Antero Resources Corp.(a) | 1,497 | 43,458 | ||||||||
Apache Corp. | 929 | 53,083 | ||||||||
ARC Resources Ltd. | 4,247 | 69,858 |
44 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
BP PLC | 24,215 | $ | 124,887 | |||||||
Cabot Oil & Gas Corp. | 1,942 | 46,550 | ||||||||
California Resources Corp. | 93 | 141 | ||||||||
Caltex Australia Ltd. | 2,166 | 51,104 | ||||||||
Cameco Corp. | 5,482 | 63,877 | ||||||||
Canadian Natural Resources Ltd. | 2,023 | 60,118 | ||||||||
Cenovus Energy, Inc. | 4,140 | 62,415 | ||||||||
Cheniere Energy, Inc.(a) | 1,053 | 33,833 | ||||||||
Chevron Corp. | 892 | 90,092 | ||||||||
China Petroleum & Chemical Corp. – Class H | 470,000 | 318,339 | ||||||||
China Shenhua Energy Co., Ltd. – Class H | 199,000 | 315,705 | ||||||||
Cimarex Energy Co. | 485 | 56,396 | ||||||||
Columbia Pipeline Group, Inc. | 2,565 | 65,510 | ||||||||
Concho Resources, Inc.(a) | 436 | 52,904 | ||||||||
ConocoPhillips | 1,344 | 58,854 | ||||||||
Continental Resources, Inc./OK(a) | 964 | 40,546 | ||||||||
Crescent Point Energy Corp. | 3,665 | 62,045 | ||||||||
Devon Energy Corp. | 1,359 | 49,046 | ||||||||
Enbridge, Inc. | 2,164 | 86,273 | ||||||||
Encana Corp. | 5,726 | 45,455 | ||||||||
Eni SpA | 7,149 | 109,029 | ||||||||
EOG Resources, Inc. | 742 | 60,369 | ||||||||
EQT Corp. | 818 | 59,919 | ||||||||
Exxon Mobil Corp. | 1,290 | 114,836 | ||||||||
Galp Energia SGPS SA | 7,790 | 101,917 | ||||||||
Hess Corp. | 957 | 57,353 | ||||||||
HollyFrontier Corp. | 1,449 | 38,775 | ||||||||
Husky Energy, Inc. | 4,488 | 51,816 | ||||||||
Idemitsu Kosan Co., Ltd. | 2,400 | 47,706 | ||||||||
Imperial Oil Ltd. | 2,273 | 72,436 | ||||||||
Inpex Corp. | 5,100 | 41,567 | ||||||||
Inter Pipeline Ltd. | 4,976 | 101,125 | ||||||||
JX Holdings, Inc. | 12,700 | 49,329 | ||||||||
Keyera Corp. | 2,932 | 87,467 | ||||||||
Kinder Morgan, Inc./DE | 2,514 | 45,453 | ||||||||
Koninklijke Vopak NV | 2,687 | 140,020 | ||||||||
Lundin Petroleum AB(a) | 6,234 | 111,649 | ||||||||
Marathon Oil Corp. | 2,617 | 34,204 | ||||||||
Marathon Petroleum Corp. | 1,445 | 50,329 | ||||||||
Murphy Oil Corp.(d) | 1,307 | 40,399 | ||||||||
Neste Oyj | 3,037 | 102,268 | ||||||||
Noble Energy, Inc. | 1,453 | 51,945 | ||||||||
Occidental Petroleum Corp. | 1,114 | 84,040 | ||||||||
Oil Search Ltd. | 7,992 | 39,044 | ||||||||
OMV AG | 4,133 | 114,776 | ||||||||
ONEOK, Inc. | 1,568 | 67,816 | ||||||||
Origin Energy Ltd. | 8,433 | 34,618 | ||||||||
Pembina Pipeline Corp. | 3,867 | 113,443 | ||||||||
Peyto Exploration & Development Corp. | 2,920 | 76,554 | ||||||||
Phillips 66 | 927 | 74,494 |
AB GLOBAL RISK ALLOCATION FUND • | 45 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Pioneer Natural Resources Co. | 380 | $ | 60,922 | |||||||
PrairieSky Royalty Ltd. | 3,554 | 68,785 | ||||||||
Range Resources Corp.(d) | 1,009 | 42,973 | ||||||||
Repsol SA | 7,014 | 90,073 | ||||||||
Royal Dutch Shell PLC – Class A | 5,089 | 122,178 | ||||||||
Royal Dutch Shell PLC – Class B | 5,510 | 132,275 | ||||||||
Santos Ltd. | 10,658 | 34,643 | ||||||||
Seven Generations Energy Ltd.(a) | 3,194 | 64,301 | ||||||||
Showa Shell Sekiyu KK | 4,600 | 46,369 | ||||||||
Southwestern Energy Co.(a)(d) | 2,569 | 35,118 | ||||||||
Spectra Energy Corp. | 2,395 | 76,305 | ||||||||
Statoil ASA | 5,958 | 94,186 | ||||||||
Suncor Energy, Inc. (Toronto) | 3,159 | 87,253 | ||||||||
Tesoro Corp. | 603 | 47,082 | ||||||||
TonenGeneral Sekiyu KK | 5,000 | 47,267 | ||||||||
TOTAL SA | 2,532 | 122,800 | ||||||||
Tourmaline Oil Corp.(a) | 2,584 | 61,834 | ||||||||
TransCanada Corp. | 2,792 | 115,696 | ||||||||
Valero Energy Corp. | 972 | 53,168 | ||||||||
Veresen, Inc. | 9,713 | 75,995 | ||||||||
Vermilion Energy, Inc. | 2,058 | 68,095 | ||||||||
Williams Cos., Inc. (The) | 1,241 | 27,501 | ||||||||
Woodside Petroleum Ltd. | 2,153 | 42,479 | ||||||||
|
| |||||||||
5,776,637 | ||||||||||
|
| |||||||||
6,725,126 | ||||||||||
|
| |||||||||
Utilities – 2.2% | ||||||||||
Electric Utilities – 1.1% | ||||||||||
Alliant Energy Corp. | 3,440 | 127,452 | ||||||||
American Electric Power Co., Inc. | 1,844 | 119,362 | ||||||||
AusNet Services | 37,003 | 42,079 | ||||||||
Cheung Kong Infrastructure Holdings Ltd. | 4,000 | 37,381 | ||||||||
Chubu Electric Power Co., Inc. | 3,000 | 40,827 | ||||||||
Chugoku Electric Power Co., Inc. (The) | 2,900 | 36,172 | ||||||||
CLP Holdings Ltd. | 7,000 | 65,895 | ||||||||
Contact Energy Ltd. | 12,774 | 46,593 | ||||||||
Duke Energy Corp. | 1,663 | 130,097 | ||||||||
Edison International | 1,633 | 116,972 | ||||||||
EDP – Energias de Portugal SA | 22,765 | 75,890 | ||||||||
Electricite de France SA | 3,902 | 51,993 | ||||||||
Endesa SA | 5,027 | 103,360 | ||||||||
Enel SpA | 36,108 | 163,726 | ||||||||
Entergy Corp. | 1,297 | 98,468 | ||||||||
Eversource Energy | 1,947 | 107,552 | ||||||||
Exelon Corp. | 2,513 | 86,121 | ||||||||
FirstEnergy Corp. | 2,458 | 80,647 | ||||||||
Fortis, Inc./Canada | 3,337 | 104,384 | ||||||||
Fortum Oyj | 4,528 | 67,899 | ||||||||
HK Electric Investments & HK Electric Investments Ltd.(e) | 45,297 | 39,727 | ||||||||
Hokuriku Electric Power Co. | 2,800 | 34,835 |
46 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Iberdrola SA | 14,643 | $ | 99,320 | |||||||
Kansai Electric Power Co., Inc. (The)(a) | 4,500 | 43,403 | ||||||||
Kyushu Electric Power Co., Inc. | 4,100 | 41,374 | ||||||||
Mighty River Power Ltd. | 21,804 | 43,826 | ||||||||
NextEra Energy, Inc. | 1,004 | 120,601 | ||||||||
OGE Energy Corp. | 2,859 | 86,313 | ||||||||
PG&E Corp. | 1,767 | 106,161 | ||||||||
Pinnacle West Capital Corp. | 1,694 | 124,661 | ||||||||
Power Assets Holdings Ltd. | 4,500 | 43,600 | ||||||||
PPL Corp. | 3,358 | 129,417 | ||||||||
Red Electrica Corp. SA | 1,069 | 95,179 | ||||||||
Shikoku Electric Power Co., Inc. | 3,000 | 35,544 | ||||||||
Southern Co. (The) | 2,707 | 133,834 | ||||||||
SSE PLC | 5,122 | 113,506 | ||||||||
Terna Rete Elettrica Nazionale SpA | 19,625 | 108,879 | ||||||||
Tohoku Electric Power Co., Inc. | 1,900 | 24,400 | ||||||||
Tokyo Electric Power Co Holdings, Inc.(a) | 7,500 | 35,072 | ||||||||
Xcel Energy, Inc. | 2,329 | 96,351 | ||||||||
|
| |||||||||
3,258,873 | ||||||||||
|
| |||||||||
Gas Utilities – 0.2% | ||||||||||
AGL Resources, Inc. | 2,897 | 190,623 | ||||||||
APA Group | 6,499 | 41,115 | ||||||||
Atmos Energy Corp. | 1,494 | 108,913 | ||||||||
Enagas SA | 3,223 | 96,604 | ||||||||
Gas Natural SDG SA | 4,181 | 82,768 | ||||||||
Hong Kong & China Gas Co., Ltd. | 25,080 | 48,085 | ||||||||
Osaka Gas Co., Ltd. | 10,000 | 37,340 | ||||||||
Snam SpA | 16,116 | 92,308 | ||||||||
Toho Gas Co., Ltd. | 6,000 | 44,279 | ||||||||
Tokyo Gas Co., Ltd. | 9,000 | 36,184 | ||||||||
|
| |||||||||
778,219 | ||||||||||
|
| |||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||||
AES Corp./VA | 5,959 | 66,085 | ||||||||
Calpine Corp.(a) | 3,131 | 46,339 | ||||||||
Electric Power Development Co., Ltd. | 1,303 | 33,574 | ||||||||
Meridian Energy Ltd. | 22,747 | 41,221 | ||||||||
NRG Energy, Inc. | 2,478 | 40,590 | ||||||||
|
| |||||||||
227,809 | ||||||||||
|
| |||||||||
Multi-Utilities – 0.7% | ||||||||||
AGL Energy Ltd. | 2,891 | 38,782 | ||||||||
Ameren Corp. | 2,235 | 110,744 | ||||||||
Atco Ltd./Canada – Class I | 2,904 | 95,578 | ||||||||
Canadian Utilities Ltd. – Class A | 3,634 | 100,456 | ||||||||
CenterPoint Energy, Inc. | 4,392 | 98,952 | ||||||||
Centrica PLC | 27,572 | 81,291 | ||||||||
CMS Energy Corp. | 2,636 | 110,238 | ||||||||
Consolidated Edison, Inc. | 1,633 | 119,634 | ||||||||
Dominion Resources, Inc./VA | 1,863 | 134,602 |
AB GLOBAL RISK ALLOCATION FUND • | 47 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
DTE Energy Co. | 1,391 | $ | 126,136 | |||||||
DUET Group | 23,472 | 39,854 | ||||||||
E.ON SE(a) | 4,560 | 44,848 | ||||||||
Engie SA | 4,084 | 62,959 | ||||||||
National Grid PLC | 8,413 | 122,655 | ||||||||
Public Service Enterprise Group, Inc. | 2,227 | 99,658 | ||||||||
RWE AG(a) | 3,361 | 44,046 | ||||||||
SCANA Corp. | 1,656 | 115,771 | ||||||||
Sempra Energy | 1,070 | 114,618 | ||||||||
Suez | 4,200 | 70,625 | ||||||||
TECO Energy, Inc. | 3,711 | 102,201 | ||||||||
United Utilities Group PLC | 8,868 | 124,509 | ||||||||
Veolia Environnement SA | 3,315 | 74,462 | ||||||||
WEC Energy Group, Inc. | 1,855 | 111,560 | ||||||||
|
| |||||||||
2,144,179 | ||||||||||
|
| |||||||||
Water Utilities – 0.1% | ||||||||||
American Water Works Co., Inc. | 1,565 | 115,967 | ||||||||
Severn Trent PLC | 3,576 | 118,608 | ||||||||
|
| |||||||||
234,575 | ||||||||||
|
| |||||||||
6,643,655 | ||||||||||
|
| |||||||||
Telecommunication Services – 0.9% | ||||||||||
Diversified Telecommunication Services – 0.7% | ||||||||||
AT&T, Inc. | 4,189 | 163,999 | ||||||||
BCE, Inc. | 4,445 | 204,904 | ||||||||
BT Group PLC | 11,579 | 74,057 | ||||||||
CenturyLink, Inc. | 2,362 | 64,057 | ||||||||
Deutsche Telekom AG (REG) | 3,490 | 62,037 | ||||||||
Elisa Oyj | 1,855 | 70,683 | ||||||||
Frontier Communications Corp.(d) | 9,112 | 47,109 | ||||||||
HKT Trust & HKT Ltd. – Class SS | 15,000 | 21,735 | ||||||||
Iliad SA | 211 | 46,272 | ||||||||
Inmarsat PLC | 4,209 | 43,778 | ||||||||
Koninklijke KPN NV | 14,717 | 58,630 | ||||||||
Level 3 Communications, Inc.(a) | 1,401 | 75,584 | ||||||||
Nippon Telegraph & Telephone Corp. | 600 | 26,259 | ||||||||
Numericable-SFR SA | 725 | 22,546 | ||||||||
Orange SA | 3,090 | 53,767 | ||||||||
PCCW Ltd. | 36,000 | 23,430 | ||||||||
Proximus SADP | 1,900 | 61,716 | ||||||||
SBA Communications Corp. – Class A(a) | 817 | 81,210 | ||||||||
Singapore Telecommunications Ltd. | 7,900 | 22,216 | ||||||||
Spark New Zealand Ltd. | 9,223 | 23,066 | ||||||||
Swisscom AG (REG) | 160 | 76,275 | ||||||||
TDC A/S | 10,759 | 53,878 | ||||||||
Telecom Italia SpA/Milano (ordinary shares)(a) | 29,664 | 28,095 | ||||||||
Telecom Italia SpA/Milano (savings shares) | 37,509 | 28,955 | ||||||||
Telefonica Deutschland Holding AG | 15,064 | 67,405 | ||||||||
Telefonica SA | 4,326 | 45,186 | ||||||||
Telenor ASA | 3,729 | 61,974 |
48 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Telia Co. AB | 15,067 | $ | 70,640 | |||||||||
Telstra Corp., Ltd. | 10,088 | 40,710 | ||||||||||
TELUS Corp. | 4,559 | 144,521 | ||||||||||
TPG Telecom Ltd. | 2,937 | 26,123 | ||||||||||
Verizon Communications, Inc. | 2,935 | 149,392 | ||||||||||
Vocus Communications Ltd. | 3,779 | 25,659 | ||||||||||
|
| |||||||||||
2,065,868 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Services – 0.2% | ||||||||||||
KDDI Corp. | 900 | 26,110 | ||||||||||
Millicom International Cellular SA | 1,021 | 59,494 | ||||||||||
NTT DOCOMO, Inc. | 1,200 | 29,980 | ||||||||||
Rogers Communications, Inc. – Class B | 4,213 | 160,636 | ||||||||||
SoftBank Group Corp. | 400 | 22,286 | ||||||||||
Sprint Corp.(a)(d) | 8,845 | 33,611 | ||||||||||
StarHub Ltd. | 8,800 | 22,549 | ||||||||||
T-Mobile US, Inc.(a) | 1,930 | 82,527 | ||||||||||
Tele2 AB – Class B | 6,602 | 57,954 | ||||||||||
Vodafone Group PLC | 24,065 | 80,370 | ||||||||||
|
| |||||||||||
575,517 | ||||||||||||
|
| |||||||||||
2,641,385 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 89,713,871 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
INFLATION-LINKED SECURITIES – 20.4% | ||||||||||||
United States – 20.4% | ||||||||||||
U.S. Treasury Inflation Index | U.S.$ | 61,304 | 62,031,252 | |||||||||
|
| |||||||||||
GOVERNMENTS – TREASURIES – 5.3% | ||||||||||||
United States – 5.3% | ||||||||||||
U.S. Treasury Bonds | 15,122 | 16,279,771 | ||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.2% | ||||||||||||
Risk Share Floating Rate – 5.2% | ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 1,430 | 1,460,992 | ||||||||||
Series 2015-C03, Class 2M2 | 8,745 | 8,874,633 |
AB GLOBAL RISK ALLOCATION FUND • | 49 |
Consolidated Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2015-C04, Class 1M2 | U.S.$ | 2,141 | $ | 2,234,286 | ||||||
Series 2015-C04, Class 2M2 | 3,246 | 3,346,487 | ||||||||
|
| |||||||||
Total Collateralized Mortgage Obligations | 15,916,398 | |||||||||
|
| |||||||||
Shares | ||||||||||
INVESTMENT COMPANIES – 2.8% | ||||||||||
Funds and Investment Trusts – 2.8% | ||||||||||
iShares Core MSCI Emerging Markets ETF(d) | 146,750 | 5,938,972 | ||||||||
iShares MSCI Switzerland Capped ETF(d) | 83,816 | 2,559,741 | ||||||||
|
| |||||||||
Total Investment Companies | 8,498,713 | |||||||||
|
| |||||||||
PREFERRED STOCKS – 1.9% | ||||||||||
Financials – 1.9% | ||||||||||
Real Estate Investment Trusts (REITs) – 1.9% | ||||||||||
Apartment Investment & Management Co. | 42,000 | 1,165,500 | ||||||||
Hersha Hospitality Trust | 60,000 | 1,569,600 | ||||||||
Pebblebrook Hotel Trust | 65,950 | 1,701,510 | ||||||||
Sabra Health Care REIT, Inc. | 53,175 | 1,390,526 | ||||||||
|
| |||||||||
Total Preferred Stocks | 5,827,136 | |||||||||
|
| |||||||||
Principal Amount (000) | ||||||||||
CORPORATES – NON-INVESTMENT GRADE – 0.9% | ||||||||||
Financial Institutions – 0.9% | ||||||||||
Banking – 0.9% | ||||||||||
Royal Bank of Scotland Group PLC | U.S.$ | 2,700 | 2,598,750 | |||||||
|
| |||||||||
GOVERNMENTS – SOVEREIGN BONDS – 0.4% | ||||||||||
Mexico – 0.4% | ||||||||||
Mexico Government International Bond | 1,174 | 1,223,895 | ||||||||
|
|
50 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
GOVERNMENTS – SOVEREIGN AGENCIES – 0.2% | ||||||||||
Brazil – 0.2% | ||||||||||
Petrobras Global Finance BV | U.S.$ | 768 | $ | 510,720 | ||||||
|
| |||||||||
CORPORATES – INVESTMENT GRADE – 0.1% | ||||||||||
Financial Institutions – 0.1% | ||||||||||
Banking – 0.1% | ||||||||||
Standard Chartered PLC | 300 | 273,000 | ||||||||
|
| |||||||||
Contracts | ||||||||||
OPTIONS PURCHASED – CALLS – 0.0% | ||||||||||
Options on Funds and Investment Trusts – 0.0% | ||||||||||
SPDR S&P 500 ETF Trust | 359 | 90,647 | ||||||||
|
| |||||||||
OPTIONS PURCHASED – PUTS – 0.0% | ||||||||||
Options on Forward Contracts – 0.0% | ||||||||||
GBP/USD | 3,335,310 | 5,116 | ||||||||
|
| |||||||||
Shares | ||||||||||
RIGHTS – 0.0% | ||||||||||
Consumer Discretionary – 0.0% | ||||||||||
Media – 0.0% | ||||||||||
Liberty Braves Group, expiring 6/16/16(a)(d) | 123 | 270 | ||||||||
|
| |||||||||
Consumer Staples – 0.0% | ||||||||||
Food & Staples Retailing – 0.0% | ||||||||||
Safeway, Inc., expiring 2/02/17(a) | 620 | 629 | ||||||||
Safeway, Inc., expiring 2/02/19(a) | 620 | 30 | ||||||||
|
| |||||||||
659 | ||||||||||
|
| |||||||||
Financials – 0.0% | ||||||||||
Banks – 0.0% | ||||||||||
Banco Popular Espanol, expiring 6/10/16(a) | 4,798 | 1,196 | ||||||||
|
| |||||||||
Industrials – 0.0% | ||||||||||
Construction & Engineering – 0.0% | ||||||||||
Ferrovial SA, expiring 5/27/16(a) | 1,682 | 601 | ||||||||
|
|
AB GLOBAL RISK ALLOCATION FUND • | 51 |
Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||
| ||||||||||
Transportation Infrastructure – 0.0% | ||||||||||
Abertis Infraestructura, expiring 6/13/16(a) | 2,034 | $ | 1,559 | |||||||
|
| |||||||||
2,160 | ||||||||||
|
| |||||||||
Total Rights | 4,285 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS – 31.9% | ||||||||||
Investment Companies – 26.0% | ||||||||||
AB Fixed Income Shares, Inc. – Government STIF Portfolio, 0.41%(j)(k) | 79,364,598 | 79,364,598 | ||||||||
|
| |||||||||
Principal Amount (000) | ||||||||||
U.S. Treasury Bills – 5.9% | ||||||||||
U.S. Treasury Bill | U.S.$ | 18,000 | 17,989,626 | |||||||
|
| |||||||||
Total Short-Term Investments | 97,354,224 | |||||||||
|
| |||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 98.5% | 300,327,778 | |||||||||
|
| |||||||||
Shares | ||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 3.1% | ||||||||||
Investment Companies – 3.1% | ||||||||||
AB Exchange Reserves – Class I, 0.38%(j)(k) | 9,387,834 | 9,387,834 | ||||||||
|
| |||||||||
Total Investments – 101.6% | 309,715,612 | |||||||||
Other assets less liabilities – (1.6)% | (4,837,173 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 304,878,439 | ||||||||
|
|
FUTURES (see Note D)
Type | Number of Contracts | Expiration Month | Original Value | Value at May 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
10 Yr Australian Bond Futures | 243 | June 2016 | $ | 22,697,873 | $ | 23,338,439 | $ | 640,566 | ||||||||||||
Amsterdam Index Futures | 14 | June 2016 | 1,331,563 | 1,394,307 | 62,744 | |||||||||||||||
Brent Crude Futures | 29 | June 2016 | 1,383,405 | 1,446,810 | 63,405 |
52 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Type | Number of Contracts | Expiration Month | Original Value | Value at May 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
CAC 40 10 Euro Futures | 71 | June 2016 | $ | 3,348,044 | $ | 3,539,118 | $ | 191,074 | ||||||||||||
Canadian 10-Year Bond Futures | 307 | September 2016 | 33,782,628 | 33,929,546 | 146,918 | |||||||||||||||
Cattle Feeder Futures | 31 | August 2016 | 2,288,995 | 2,280,050 | (8,945 | ) | ||||||||||||||
Cocoa Futures | 19 | July 2016 | 544,600 | 581,210 | 36,610 | |||||||||||||||
Coffee ‘C’ Futures | 10 | July 2016 | 462,219 | 455,812 | (6,407 | ) | ||||||||||||||
Coffee Robusta Futures | 34 | July 2016 | 536,250 | 560,320 | 24,070 | |||||||||||||||
Copper Futures | 81 | July 2016 | 4,210,874 | 4,243,387 | 32,513 | |||||||||||||||
Corn Futures | 114 | July 2016 | 2,124,712 | 2,307,075 | 182,363 | |||||||||||||||
Cotton No. 2 Futures | 21 | July 2016 | 647,811 | 671,370 | 23,559 | |||||||||||||||
DAX Index Futures | 12 | June 2016 | 3,325,291 | 3,425,906 | 100,615 | |||||||||||||||
FTSE/MIB Index Futures | 14 | June 2016 | 1,423,393 | 1,404,977 | (18,416 | ) | ||||||||||||||
Gasoline RBOB Futures | 22 | July 2016 | 1,277,392 | 1,489,858 | 212,466 | |||||||||||||||
Gold 100 OZ Futures | 18 | August 2016 | 2,254,004 | 2,191,500 | (62,504 | ) | ||||||||||||||
IBEX 35 Index Futures | 12 | June 2016 | 1,150,894 | 1,204,092 | 53,198 | |||||||||||||||
KC HRW Wheat Futures | 46 | July 2016 | 1,052,961 | 1,028,675 | (24,286 | ) | ||||||||||||||
Lean Hogs Futures | 45 | October 2016 | 1,250,036 | 1,228,050 | (21,986 | ) | ||||||||||||||
Live Cattle Futures | 25 | August 2016 | 1,197,063 | 1,180,500 | (16,563 | ) | ||||||||||||||
LME Copper Futures | 12 | June 2016 | 1,471,037 | 1,404,075 | (66,962 | ) | ||||||||||||||
LME Lead Futures | 29 | July 2016 | 1,223,164 | 1,230,688 | 7,524 | |||||||||||||||
LME Lead Futures | 29 | June 2016 | 1,269,707 | 1,229,238 | (40,469 | ) | ||||||||||||||
LME Nickel Futures | 40 | July 2016 | 2,033,042 | 2,019,360 | (13,682 | ) | ||||||||||||||
LME Nickel Futures | 46 | June 2016 | 2,394,016 | 2,317,986 | (76,030 | ) | ||||||||||||||
LME Primary Aluminum Futures | 26 | July 2016 | 1,009,855 | 1,007,013 | (2,842 | ) | ||||||||||||||
LME Primary Aluminum Futures | 66 | June 2016 | 2,520,715 | 2,550,488 | 29,773 | |||||||||||||||
LME Zinc Futures | 43 | July 2016 | 2,055,263 | 2,065,344 | 10,081 | |||||||||||||||
LME Zinc Futures | 46 | June 2016 | 2,137,512 | 2,207,713 | 70,201 | |||||||||||||||
Long Gilt Futures | 102 | September 2016 | 18,094,312 | 18,134,062 | 39,750 | |||||||||||||||
Low Sulfur Gasoil Futures | 35 | July 2016 | 1,578,564 | 1,588,125 | 9,561 | |||||||||||||||
Mini MSCI EAFE Futures | 42 | June 2016 | 3,403,444 | 3,487,050 | 83,606 | |||||||||||||||
Natural Gas Futures | 61 | June 2016 | 1,362,890 | 1,395,680 | 32,790 | |||||||||||||||
NY Harbor ULSD Futures | 25 | June 2016 | 1,365,691 | 1,571,955 | 206,264 | |||||||||||||||
Omxs30 Index Future | 62 | June 2016 | 981,200 | 1,015,513 | 34,313 | |||||||||||||||
Palladium Futures | 50 | September 2016 | 2,761,120 | 2,736,750 | (24,370 | ) | ||||||||||||||
Platinum Futures | 31 | July 2016 | 1,548,996 | 1,519,620 | (29,376 | ) | ||||||||||||||
S&P/TSX 60 Index Futures | 7 | June 2016 | 827,181 | 875,220 | 48,039 | |||||||||||||||
Silver Futures | 15 | July 2016 | 1,220,962 | 1,199,550 | (21,412 | ) | ||||||||||||||
Soybean Futures | 49 | July 2016 | 2,334,395 | 2,642,325 | 307,930 | |||||||||||||||
Soybean Meal Futures | 58 | July 2016 | 1,693,202 | 2,300,280 | 607,078 | |||||||||||||||
Soybean Oil Futures | 95 | July 2016 | 1,929,491 | 1,813,740 | (115,751 | ) | ||||||||||||||
Sugar 11 (World) Futures | 23 | June 2016 | 387,872 | 450,542 | 62,670 |
AB GLOBAL RISK ALLOCATION FUND • | 53 |
Consolidated Portfolio of Investments
Type | Number of Contracts | Expiration Month | Original Value | Value at May 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
TOPIX Index Futures | 58 | June 2016 | $ | 7,034,060 | $ | 7,212,354 | $ | 178,294 | ||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 100 | September 2016 | 12,965,006 | 12,968,750 | 3,744 | |||||||||||||||
U.S. Ultra Bond (CBT) Futures | 140 | September 2016 | 24,510,303 | 24,517,500 | 7,197 | |||||||||||||||
Wheat (CBT) Futures | 45 | July 2016 | 1,031,758 | 1,045,125 | 13,367 | |||||||||||||||
WTI Crude Futures | 30 | June 2016 | 1,378,002 | 1,473,000 | 94,998 | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
Cocoa Futures | 7 | July 2016 | 204,572 | 214,130 | (9,558 | ) | ||||||||||||||
Euro STOXX 50 Futures | 309 | June 2016 | 10,053,862 | 10,496,487 | (442,625 | ) | ||||||||||||||
Lean Hogs Futures | 24 | July 2016 | 767,319 | 781,920 | (14,601 | ) | ||||||||||||||
LME Copper Futures | 12 | June 2016 | 1,404,287 | 1,404,075 | 212 | |||||||||||||||
LME Lead Futures | 29 | June 2016 | 1,221,356 | 1,229,238 | (7,882 | ) | ||||||||||||||
LME Nickel Futures | 46 | June 2016 | 2,338,707 | 2,317,986 | 20,721 | |||||||||||||||
LME Primary Aluminum Futures | 34 | July 2016 | 1,320,371 | 1,316,863 | 3,508 | |||||||||||||||
LME Primary Aluminum Futures | 66 | June 2016 | 2,596,101 | 2,550,488 | 45,613 | |||||||||||||||
LME Zinc Futures | 46 | June 2016 | 2,193,560 | 2,207,713 | (14,153 | ) | ||||||||||||||
Nikkei 225 (CME) Futures | 27 | June 2016 | 2,155,859 | 2,306,475 | (150,616 | ) | ||||||||||||||
Sugar 11 (World) Futures | 36 | September 2016 | 684,772 | 712,051 | (27,279 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 2,470,620 | |||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | AUD | 2,533 | USD | 1,877 | 6/17/16 | $ | 47,421 | |||||||||||||||||
Bank of America, NA | USD | 6,085 | SEK | 51,386 | 6/17/16 | 78,836 | ||||||||||||||||||
Bank of America, NA | USD | 2,136 | GBP | 1,513 | 6/24/16 | 56,551 | ||||||||||||||||||
Barclays Bank PLC | AUD | 537 | USD | 410 | 6/17/16 | 22,176 | ||||||||||||||||||
Barclays Bank PLC | INR | 39,044 | USD | 571 | 6/17/16 | (7,847 | ) | |||||||||||||||||
Barclays Bank PLC | JPY | 139,489 | USD | 1,232 | 6/17/16 | (28,430 | ) | |||||||||||||||||
Barclays Bank PLC | KRW | 1,657,761 | USD | 1,368 | 6/17/16 | (24,167 | ) | |||||||||||||||||
Barclays Bank PLC | MXN | 6,007 | USD | 335 | 6/17/16 | 9,724 | ||||||||||||||||||
Barclays Bank PLC | NZD | 9,171 | USD | 6,165 | 6/17/16 | (34,862 | ) | |||||||||||||||||
Barclays Bank PLC | RUB | 30,447 | USD | 416 | 6/17/16 | (38,706 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 4,724 | AUD | 6,368 | 6/17/16 | (123,822 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 356 | IDR | 4,756,912 | 6/17/16 | (7,519 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 1,361 | INR | 91,258 | 6/17/16 | (7,953 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 1,214 | JPY | 137,234 | 6/17/16 | 25,434 | ||||||||||||||||||
Barclays Bank PLC | USD | 123 | KRW | 141,774 | 6/17/16 | (4,121 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 242 | KRW | 292,731 | 6/17/16 | 4,048 | ||||||||||||||||||
Barclays Bank PLC | AUD | 2,535 | USD | 1,904 | 7/15/16 | 75,015 | ||||||||||||||||||
Barclays Bank PLC | KRW | 9,295,113 | USD | 7,922 | 7/15/16 | 120,868 | ||||||||||||||||||
Barclays Bank PLC | MYR | 7,364 | USD | 1,882 | 7/15/16 | 95,583 | ||||||||||||||||||
Barclays Bank PLC | USD | 3,031 | GBP | 2,104 | 7/15/16 | 17,053 |
54 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Barclays Bank PLC | USD | 4,315 | INR | 291,035 | 7/15/16 | $ | (19,021 | ) | ||||||||||||||||
Barclays Bank PLC | USD | 3,832 | JPY | 413,128 | 7/15/16 | (95,613 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 6,097 | KRW | 7,184,544 | 7/15/16 | (67,068 | ) | |||||||||||||||||
Barclays Bank PLC | �� | USD | 1,865 | MYR | 7,364 | 7/15/16 | (78,903 | ) | ||||||||||||||||
Barclays Bank PLC | USD | 1,255 | NOK | 10,310 | 7/15/16 | (22,680 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 1,248 | RUB | 86,679 | 7/15/16 | 36,942 | ||||||||||||||||||
Barclays Bank PLC | ZAR | 9,107 | USD | 604 | 7/15/16 | 29,483 | ||||||||||||||||||
Barclays Bank PLC | CNY | 123,816 | USD | 18,422 | 9/19/16 | (264,485 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 5,391 | CNY | 36,603 | 9/19/16 | 133,531 | ||||||||||||||||||
Barclays Bank PLC | JPY | 334,938 | USD | 3,063 | 9/20/16 | 27,442 | ||||||||||||||||||
BNP Paribas SA | KRW | 610,972 | USD | 504 | 6/17/16 | (9,073 | ) | |||||||||||||||||
BNP Paribas SA | SGD | 746 | USD | 538 | 6/17/16 | (3,496 | ) | |||||||||||||||||
BNP Paribas SA | TWD | 15,510 | USD | 472 | 6/17/16 | (3,373 | ) | |||||||||||||||||
BNP Paribas SA | USD | 180 | PLN | 704 | 6/17/16 | (1,168 | ) | |||||||||||||||||
BNP Paribas SA | TWD | 313,034 | USD | 9,381 | 7/06/16 | (211,166 | ) | |||||||||||||||||
BNP Paribas SA | AUD | 1,695 | USD | 1,235 | 7/15/16 | 12,212 | ||||||||||||||||||
BNP Paribas SA | JPY | 334,602 | USD | 3,060 | 7/15/16 | 33,594 | ||||||||||||||||||
BNP Paribas SA | SEK | 25,401 | EUR | 2,764 | 7/15/16 | 29,915 | ||||||||||||||||||
BNP Paribas SA | TWD | 215,955 | USD | 6,694 | 7/15/16 | 77,023 | ||||||||||||||||||
BNP Paribas SA | USD | 1,261 | AUD | 1,622 | 7/15/16 | (90,050 | ) | |||||||||||||||||
BNP Paribas SA | USD | 1,891 | NOK | 15,679 | 7/15/16 | (16,627 | ) | |||||||||||||||||
BNP Paribas SA | USD | 54 | ARS | 931 | 1/26/17 | 3,557 | ||||||||||||||||||
BNP Paribas SA | USD | 54 | ARS | 936 | 1/31/17 | 3,698 | ||||||||||||||||||
BNP Paribas SA | USD | 54 | ARS | 942 | 2/03/17 | 3,913 | ||||||||||||||||||
BNP Paribas SA | USD | 107 | ARS | 1,886 | 2/13/17 | 7,245 | ||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 1,816 | AUD | 2,472 | 7/15/16 | (32,031 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. | USD | 616 | ZAR | 9,060 | 7/15/16 | (44,799 | ) | |||||||||||||||||
Citibank, NA | BRL | 1,258 | USD | 352 | 6/02/16 | 3,562 | ||||||||||||||||||
Citibank, NA | USD | 350 | BRL | 1,258 | 6/02/16 | (1,791 | ) | |||||||||||||||||
Citibank, NA | EUR | 12,339 | USD | 13,677 | 6/17/16 | (59,205 | ) | |||||||||||||||||
Citibank, NA | HUF | 2,830,059 | USD | 10,179 | 6/17/16 | 140,100 | ||||||||||||||||||
Citibank, NA | USD | 2,354 | JPY | 264,785 | 6/17/16 | 38,327 | ||||||||||||||||||
Citibank, NA | USD | 456 | RUB | 30,447 | 6/17/16 | (1,618 | ) | |||||||||||||||||
Citibank, NA | GBP | 2,226 | USD | 3,153 | 6/22/16 | (71,374 | ) | |||||||||||||||||
Citibank, NA | BRL | 976 | USD | 270 | 7/05/16 | 2,806 | ||||||||||||||||||
Citibank, NA | CAD | 1,649 | USD | 1,260 | 7/15/16 | 2,751 | ||||||||||||||||||
Citibank, NA | CHF | 1,794 | USD | 1,832 | 7/15/16 | 23,153 | ||||||||||||||||||
Citibank, NA | EUR | 1,642 | NOK | 15,233 | 7/15/16 | (9,497 | ) | |||||||||||||||||
Citibank, NA | EUR | 2,779 | SEK | 25,510 | 7/15/16 | (33,337 | ) | |||||||||||||||||
Citibank, NA | EUR | 5,386 | USD | 6,043 | 7/15/16 | 41,080 | ||||||||||||||||||
Citibank, NA | JPY | 715,076 | USD | 6,562 | 7/15/16 | 94,520 | ||||||||||||||||||
Citibank, NA | PLN | 7,171 | USD | 1,879 | 7/15/16 | 62,370 | ||||||||||||||||||
Citibank, NA | RUB | 72,397 | USD | 1,078 | 7/15/16 | 4,679 | ||||||||||||||||||
Citibank, NA | RUB | 42,477 | USD | 627 | 7/15/16 | (3,038 | ) | |||||||||||||||||
Citibank, NA | SGD | 3,355 | USD | 2,429 | 7/15/16 | (5,736 | ) | |||||||||||||||||
Citibank, NA | SGD | 1,691 | USD | 1,247 | 7/15/16 | 19,459 | ||||||||||||||||||
Citibank, NA | USD | 1,303 | CAD | 1,649 | 7/15/16 | (45,547 | ) | |||||||||||||||||
Citibank, NA | USD | 1,886 | GBP | 1,316 | 7/15/16 | 20,666 | ||||||||||||||||||
Citibank, NA | USD | 5,492 | HUF | 1,515,155 | 7/15/16 | (118,359 | ) | |||||||||||||||||
Citibank, NA | USD | 4,293 | NOK | 35,209 | 7/15/16 | (84,935 | ) |
AB GLOBAL RISK ALLOCATION FUND • | 55 |
Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Citibank, NA | USD | 4,961 | PLN | 19,088 | 7/15/16 | $ | (125,815 | ) | ||||||||||||||||
Citibank, NA | USD | 1,230 | RUB | 84,487 | 7/15/16 | 22,210 | ||||||||||||||||||
Citibank, NA | USD | 2,459 | RUB | 164,059 | 7/15/16 | (26,781 | ) | |||||||||||||||||
Citibank, NA | USD | 3,692 | SEK | 30,400 | 7/15/16 | (41,118 | ) | |||||||||||||||||
Citibank, NA | USD | 2,495 | SGD | 3,376 | 7/15/16 | (45,502 | ) | |||||||||||||||||
Citibank, NA | USD | 7,951 | TRY | 23,034 | 7/15/16 | (237,858 | ) | |||||||||||||||||
Citibank, NA | USD | 1,192 | ZAR | 18,850 | 7/15/16 | (3,367 | ) | |||||||||||||||||
Citibank, NA | ZAR | 9,778 | USD | 611 | 7/15/16 | (5,773 | ) | |||||||||||||||||
Citibank, NA | USD | 601 | BRL | 2,189 | 8/02/16 | (5,948 | ) | |||||||||||||||||
Citibank, NA | CHF | 2,521 | USD | 2,559 | 9/20/16 | 8,988 | ||||||||||||||||||
Citibank, NA | USD | 588 | RUB | 40,403 | 9/20/16 | 799 | ||||||||||||||||||
Citibank, NA | USD | 1,223 | SEK | 10,086 | 9/20/16 | (7,872 | ) | |||||||||||||||||
Citibank, NA | USD | 597 | ZAR | 9,655 | 9/20/16 | 4,006 | ||||||||||||||||||
Credit Suisse International | EUR | 1,694 | USD | 1,888 | 6/17/16 | 2,434 | ||||||||||||||||||
Deutsche Bank AG | HUF | 706,213 | USD | 2,550 | 6/17/16 | 44,373 | ||||||||||||||||||
Deutsche Bank AG | USD | 6,666 | TRY | 19,900 | 6/17/16 | 46,315 | ||||||||||||||||||
Deutsche Bank AG | BRL | 59 | USD | 16 | 7/05/16 | 232 | ||||||||||||||||||
Deutsche Bank AG | USD | 2,052 | BRL | 7,378 | 7/05/16 | (29,052 | ) | |||||||||||||||||
Deutsche Bank AG | TRY | 23,034 | USD | 7,659 | 7/15/16 | (53,893 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 1,860 | GBP | 1,274 | 7/15/16 | (14,669 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 6,751 | JPY | 731,599 | 7/15/16 | (134,552 | ) | |||||||||||||||||
Deutsche Bank AG | CNY | 44,248 | USD | 6,438 | 9/19/16 | (239,649 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 5,677 | USD | 1,579 | 6/02/16 | 8,084 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 1,584 | BRL | 5,677 | 6/02/16 | (13,196 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 144,338 | USD | 41,263 | 6/17/16 | 1,494,742 | ||||||||||||||||||
Goldman Sachs Bank USA | BRL | 3,778 | USD | 987 | 6/17/16 | (54,044 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 37,202 | BRL | 144,338 | 6/17/16 | 2,565,831 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 3,718 | CNY | 24,311 | 6/17/16 | (26,065 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 374 | EUR | 337 | 6/17/16 | 939 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 2,594 | KRW | 3,040,606 | 6/17/16 | (41,503 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 4,442 | USD | 1,243 | 7/05/16 | 25,060 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 1,219 | BRL | 4,494 | 7/05/16 | 13,215 | ||||||||||||||||||
Goldman Sachs Bank USA | KRW | 7,458,922 | USD | 6,418 | 7/15/16 | 158,324 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 6,355 | JPY | 692,018 | 7/15/16 | (96,632 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 3,160 | KRW | 3,640,769 | 7/15/16 | (104,516 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 3,349 | PLN | 13,037 | 7/15/16 | (46,011 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 9,518 | CNY | 63,030 | 9/19/16 | (4,846 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 149,450 | USD | 32,803 | 1/04/17 | (6,182,144 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 40,381 | BRL | 149,450 | 1/04/17 | (1,395,937 | ) | |||||||||||||||||
HSBC Bank USA | AUD | 2,950 | USD | 2,216 | 6/17/16 | 85,391 | ||||||||||||||||||
HSBC Bank USA | CAD | 413 | USD | 316 | 6/17/16 | 964 | ||||||||||||||||||
HSBC Bank USA | MXN | 7,148 | USD | 410 | 6/17/16 | 23,714 | ||||||||||||||||||
HSBC Bank USA | USD | 5,689 | CHF | 5,515 | 6/17/16 | (136,954 | ) | |||||||||||||||||
HSBC Bank USA | USD | 23,966 | HUF | 6,730,794 | 6/17/16 | (89,143 | ) | |||||||||||||||||
HSBC Bank USA | USD | 729 | MXN | 13,155 | 6/17/16 | (16,920 | ) | |||||||||||||||||
HSBC Bank USA | USD | 371 | MYR | 1,501 | 6/17/16 | (6,995 | ) | |||||||||||||||||
HSBC Bank USA | USD | 1,294 | TWD | 42,143 | 6/17/16 | (2,015 | ) | |||||||||||||||||
HSBC Bank USA | USD | 1,095 | ZAR | 16,671 | 6/17/16 | (37,260 | ) | |||||||||||||||||
HSBC Bank USA | USD | 800 | TWD | 26,076 | 7/06/16 | (1,112 | ) | |||||||||||||||||
HSBC Bank USA | CAD | 7,979 | USD | 6,154 | 7/15/16 | 69,701 | ||||||||||||||||||
HSBC Bank USA | CHF | 1,197 | USD | 1,251 | 7/15/16 | 44,019 | ||||||||||||||||||
HSBC Bank USA | EUR | 2,225 | USD | 2,511 | 7/15/16 | 31,904 |
56 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
HSBC Bank USA | GBP | 4,323 | USD | 6,196 | 7/15/16 | $ | (66,668 | ) | ||||||||||||||||
HSBC Bank USA | JPY | 196,601 | USD | 1,849 | 7/15/16 | 70,567 | ||||||||||||||||||
HSBC Bank USA | MXN | 45,660 | USD | 2,509 | 7/15/16 | 46,700 | ||||||||||||||||||
HSBC Bank USA | NZD | 3,835 | USD | 2,617 | 7/15/16 | 27,423 | ||||||||||||||||||
HSBC Bank USA | SGD | 1,686 | USD | 1,255 | 7/15/16 | 31,265 | ||||||||||||||||||
HSBC Bank USA | USD | 1,257 | AUD | 1,613 | 7/15/16 | (93,200 | ) | |||||||||||||||||
HSBC Bank USA | USD | 2,119 | CAD | 2,780 | 7/15/16 | 1,348 | ||||||||||||||||||
HSBC Bank USA | USD | 9,417 | INR | 635,833 | 7/15/16 | (30,386 | ) | |||||||||||||||||
HSBC Bank USA | USD | 9,253 | MXN | 166,761 | 7/15/16 | (259,369 | ) | |||||||||||||||||
HSBC Bank USA | USD | 3,182 | CNY | 20,750 | 9/19/16 | (50,609 | ) | |||||||||||||||||
HSBC Bank USA | USD | 1,544 | NZD | 2,302 | 9/20/16 | 5,445 | ||||||||||||||||||
HSBC Bank USA | USD | 595 | ZAR | 9,492 | 9/20/16 | (4,610 | ) | |||||||||||||||||
JPMorgan Chase Bank | AUD | 460 | USD | 344 | 6/17/16 | 11,551 | ||||||||||||||||||
JPMorgan Chase Bank | AUD | 2,461 | USD | 1,868 | 7/15/16 | 91,755 | ||||||||||||||||||
JPMorgan Chase Bank | CAD | 6,345 | USD | 4,900 | 7/15/16 | 61,210 | ||||||||||||||||||
JPMorgan Chase Bank | JPY | 142,822 | USD | 1,312 | 7/15/16 | 20,253 | ||||||||||||||||||
JPMorgan Chase Bank | SEK | 50,866 | EUR | 5,481 | 7/15/16 | (1,611 | ) | |||||||||||||||||
JPMorgan Chase Bank | USD | 3,050 | CAD | 3,992 | 7/15/16 | (6,065 | ) | |||||||||||||||||
JPMorgan Chase Bank | USD | 3,610 | CAD | 4,746 | 7/15/16 | 8,759 | ||||||||||||||||||
JPMorgan Chase Bank | USD | 1,890 | GBP | 1,314 | 7/15/16 | 13,452 | ||||||||||||||||||
JPMorgan Chase Bank | USD | 1,255 | JPY | 133,778 | 7/15/16 | (45,483 | ) | |||||||||||||||||
JPMorgan Chase Bank | USD | 2,537 | GBP | 1,722 | 9/20/16 | (41,032 | ) | |||||||||||||||||
Morgan Stanley & Co. | BRL | 13,639 | USD | 3,797 | 6/02/16 | 22,850 | ||||||||||||||||||
Morgan Stanley & Co. | USD | 1,245 | BRL | 4,610 | 6/02/16 | 30,968 | ||||||||||||||||||
Morgan Stanley & Co. | USD | 2,511 | BRL | 9,029 | 6/02/16 | (12,858 | ) | |||||||||||||||||
Morgan Stanley & Co. | BRL | 1,613 | USD | 434 | 6/17/16 | (10,698 | ) | |||||||||||||||||
Morgan Stanley & Co. | EUR | 419 | USD | 469 | 6/17/16 | 2,078 | ||||||||||||||||||
Morgan Stanley & Co. | GBP | 187 | USD | 269 | 6/17/16 | (1,473 | ) | |||||||||||||||||
Morgan Stanley & Co. | USD | 1,165 | BRL | 4,087 | 6/17/16 | (38,828 | ) | |||||||||||||||||
Morgan Stanley & Co. | USD | 4,407 | CHF | 4,281 | 6/17/16 | (97,333 | ) | |||||||||||||||||
Morgan Stanley & Co. | ZAR | 10,155 | USD | 660 | 6/17/16 | 15,834 | ||||||||||||||||||
Morgan Stanley & Co. | BRL | 8,900 | USD | 2,463 | 7/05/16 | 23,369 | ||||||||||||||||||
Morgan Stanley & Co. | USD | 2,473 | BRL | 8,875 | 7/05/16 | (40,133 | ) | |||||||||||||||||
Morgan Stanley & Co. | AUD | 4,194 | USD | 3,064 | 7/15/16 | 37,040 | ||||||||||||||||||
Morgan Stanley & Co. | EUR | 1,657 | NOK | 15,310 | 7/15/16 | (16,724 | ) | |||||||||||||||||
Morgan Stanley & Co. | EUR | 4,943 | USD | 5,632 | 7/15/16 | 123,653 | ||||||||||||||||||
Morgan Stanley & Co. | JPY | 837,007 | USD | 7,544 | 7/15/16 | (26,221 | ) | |||||||||||||||||
Morgan Stanley & Co. | JPY | 276,319 | USD | 2,520 | 7/15/16 | 21,390 | ||||||||||||||||||
Morgan Stanley & Co. | NOK | 25,038 | USD | 2,985 | 7/15/16 | (7,911 | ) | |||||||||||||||||
Morgan Stanley & Co. | NZD | 2,741 | USD | 1,883 | 7/15/16 | 32,713 | ||||||||||||||||||
Morgan Stanley & Co. | USD | 2,623 | AUD | 3,415 | 7/15/16 | (159,047 | ) | |||||||||||||||||
Morgan Stanley & Co. | USD | 1,820 | BRL | 6,490 | 7/15/16 | (45,773 | ) | |||||||||||||||||
Morgan Stanley & Co. | USD | 3,093 | EUR | 2,699 | 7/15/16 | (84,988 | ) | |||||||||||||||||
Morgan Stanley & Co. | USD | 3,174 | HUF | 871,740 | 7/15/16 | (82,871 | ) | |||||||||||||||||
Morgan Stanley & Co. | USD | 3,123 | JPY | 345,614 | 7/15/16 | 3,025 | ||||||||||||||||||
Morgan Stanley & Co. | USD | 1,264 | KRW | 1,435,919 | 7/15/16 | (59,219 | ) | |||||||||||||||||
Morgan Stanley & Co. | USD | 1,824 | MXN | 33,276 | 7/15/16 | (29,083 | ) | |||||||||||||||||
Morgan Stanley & Co. | USD | 4,270 | ZAR | 63,938 | 7/15/16 | (236,748 | ) | |||||||||||||||||
Nomura Global Financial Products, Inc. | MYR | 1,501 | USD | 365 | 6/17/16 | 317 | ||||||||||||||||||
Nomura Global Financial Products, Inc. | KRW | 3,604,615 | USD | 3,031 | 7/15/16 | 5,869 |
AB GLOBAL RISK ALLOCATION FUND • | 57 |
Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Nomura Global Financial Products, Inc. | KRW | 1,451,298 | USD | 1,216 | 7/15/16 | $ | (2,034 | ) | ||||||||||||||||
Nomura Global Financial Products, Inc. | USD | 3,152 | KRW | 3,635,257 | 7/15/16 | (100,528 | ) | |||||||||||||||||
Nomura Global Financial Products, Inc. | TWD | 100,251 | USD | 3,048 | 11/15/16 | (23,339 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | AUD | 8,013 | USD | 5,940 | 6/17/16 | 151,711 | ||||||||||||||||||
Royal Bank of Scotland PLC | GBP | 223 | USD | 320 | 6/17/16 | (3,468 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | INR | 52,214 | USD | 775 | 6/17/16 | 619 | ||||||||||||||||||
Royal Bank of Scotland PLC | JPY | 88,511 | USD | 780 | 6/17/16 | (19,986 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | KRW | 1,206,378 | USD | 1,039 | 6/17/16 | 25,951 | ||||||||||||||||||
Royal Bank of Scotland PLC | TWD | 26,633 | USD | 822 | 6/17/16 | 5,461 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 16,209 | TWD | 545,324 | 7/06/16 | 500,641 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 6,744 | TWD | 219,653 | 7/06/16 | (13,506 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | EUR | 33,408 | USD | 37,776 | 7/15/16 | 549,066 | ||||||||||||||||||
Royal Bank of Scotland PLC | JPY | 413,684 | USD | 3,842 | 7/15/16 | 101,088 | ||||||||||||||||||
Royal Bank of Scotland PLC | KRW | 2,869,364 | USD | 2,496 | 7/15/16 | 88,004 | ||||||||||||||||||
Royal Bank of Scotland PLC | MXN | 67,697 | USD | 3,651 | 7/15/16 | 196 | ||||||||||||||||||
Royal Bank of Scotland PLC | SGD | 1,695 | USD | 1,256 | 7/15/16 | 25,576 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 2,730 | AUD | 3,799 | 7/15/16 | 11,675 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 5,025 | KRW | 5,893,403 | 7/15/16 | (79,095 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 3,192 | NZD | 4,731 | 7/15/16 | 2,580 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 6,260 | TWD | 201,933 | 7/15/16 | (73,554 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 1,806 | CLP | 1,252,026 | 9/20/16 | (17,462 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 1,789 | COP | 5,572,275 | 9/20/16 | (24,077 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 1,224 | NOK | 10,121 | 9/20/16 | (14,626 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | CNY | 36,603 | USD | 5,365 | 10/11/16 | (150,046 | ) | |||||||||||||||||
Standard Chartered Bank | CNY | 24,311 | USD | 3,698 | 6/17/16 | 5,984 | ||||||||||||||||||
Standard Chartered Bank | GBP | 6,034 | USD | 8,574 | 6/17/16 | (166,179 | ) | |||||||||||||||||
Standard Chartered Bank | IDR | 4,756,912 | USD | 355 | 6/17/16 | 7,121 | ||||||||||||||||||
Standard Chartered Bank | JPY | 24,545 | USD | 216 | 6/17/16 | (5,518 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 1,034 | GBP | 728 | 6/17/16 | 20,049 | ||||||||||||||||||
Standard Chartered Bank | TWD | 507,794 | USD | 15,231 | 7/06/16 | (328,854 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 887 | TWD | 29,775 | 7/06/16 | 25,666 | ||||||||||||||||||
Standard Chartered Bank | AUD | 6,648 | USD | 5,032 | 7/15/16 | 234,260 | ||||||||||||||||||
Standard Chartered Bank | GBP | 2,694 | USD | 3,864 | 7/15/16 | (38,411 | ) | |||||||||||||||||
Standard Chartered Bank | HUF | 2,386,895 | USD | 8,557 | 7/15/16 | 92,087 | ||||||||||||||||||
Standard Chartered Bank | INR | 535,066 | USD | 7,840 | 7/15/16 | (59,281 | ) | |||||||||||||||||
Standard Chartered Bank | JPY | 355,996 | USD | 3,148 | 7/15/16 | (71,265 | ) | |||||||||||||||||
Standard Chartered Bank | JPY | 334,749 | USD | 3,072 | 7/15/16 | 44,184 | ||||||||||||||||||
Standard Chartered Bank | USD | 6,940 | JPY | 756,215 | 7/15/16 | (100,610 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 2,443 | KRW | 2,889,420 | 7/15/16 | (18,471 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 1,266 | NZD | 1,831 | 7/15/16 | (29,941 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 6,381 | CNY | 43,301 | 9/19/16 | 154,207 | ||||||||||||||||||
Standard Chartered Bank | EUR | 2,723 | USD | 3,059 | 9/20/16 | 17,213 | ||||||||||||||||||
State Street Bank & Trust Co. | AUD | 1,120 | USD | 834 | 6/17/16 | 24,639 | ||||||||||||||||||
State Street Bank & Trust Co. | AUD | 655 | USD | 462 | 6/17/16 | (10,808 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CAD | 13,652 | USD | 10,195 | 6/17/16 | (214,937 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CHF | 7,608 | USD | 7,882 | 6/17/16 | 222,890 | ||||||||||||||||||
State Street Bank & Trust Co. | CZK | 857 | USD | 35 | 6/17/16 | (228 | ) | |||||||||||||||||
State Street Bank & Trust Co. | DKK | 4,035 | USD | 599 | 6/17/16 | (4,854 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,547 | USD | 1,712 | 6/17/16 | (10,272 | ) |
58 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 531 | USD | 598 | 6/17/16 | $ | 6,463 | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 165 | USD | 237 | 6/17/16 | (1,920 | ) | |||||||||||||||||
State Street Bank & Trust Co. | HKD | 1,348 | USD | 174 | 6/17/16 | 392 | ||||||||||||||||||
State Street Bank & Trust Co. | HUF | 3,194,522 | USD | 11,441 | 6/17/16 | 108,368 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 1,267,122 | USD | 11,276 | 6/17/16 | (171,850 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 29,118 | USD | 266 | 6/17/16 | 2,963 | ||||||||||||||||||
State Street Bank & Trust Co. | NOK | 89,933 | USD | 10,497 | 6/17/16 | (252,701 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 18,764 | USD | 2,222 | 6/17/16 | (29,169 | ) | |||||||||||||||||
State Street Bank & Trust Co. | THB | 13,416 | USD | 382 | 6/17/16 | 6,408 | ||||||||||||||||||
State Street Bank & Trust Co. | TRY | 19,900 | USD | 6,633 | 6/17/16 | (79,288 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 5,568 | CHF | 5,404 | 6/17/16 | (127,507 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 6,229 | CNY | 40,852 | 6/17/16 | (24,744 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 4,619 | EUR | 4,056 | 6/17/16 | (104,320 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 17,183 | EUR | 15,513 | 6/17/16 | 86,579 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 301 | GBP | 207 | 6/17/16 | (767 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 738 | JPY | 82,849 | 6/17/16 | 10,352 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 742 | JPY | 80,023 | 6/17/16 | (18,985 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 381 | THB | 13,416 | 6/17/16 | (5,241 | ) | |||||||||||||||||
State Street Bank & Trust Co. | ZAR | 6,516 | USD | 414 | 6/17/16 | 1,064 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 3,047 | EUR | 2,777 | 7/15/16 | 23,282 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 3,655 | CHF | 4,030 | 7/15/16 | (10,339 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,101 | NOK | 10,266 | 7/15/16 | 230 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 3,223 | USD | 3,686 | 7/15/16 | 94,789 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 137,258 | USD | 1,236 | 7/15/16 | (5,662 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 2,268 | AUD | 2,090 | 7/15/16 | (22,741 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SGD | 1,677 | USD | 1,254 | 7/15/16 | 37,212 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,828 | AUD | 2,522 | 7/15/16 | (8,153 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 10,005 | CHF | 9,745 | 7/15/16 | (182,054 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 22 | JPY | 2,411 | 7/15/16 | (134 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 10,550 | NOK | 86,776 | 7/15/16 | (178,102 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 16,057 | SEK | 132,181 | 7/15/16 | (183,295 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 2,462 | SGD | 3,373 | 7/15/16 | (14,366 | ) | |||||||||||||||||
State Street Bank & Trust Co. | BRL | 473 | USD | 129 | 8/02/16 | 594 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 265 | BRL | 950 | 8/02/16 | (7,062 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CNY | 20,111 | USD | 3,068 | 8/09/16 | 23,939 | ||||||||||||||||||
State Street Bank & Trust Co. | CNY | 44,040 | USD | 6,392 | 10/12/16 | (242,313 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CNY | 20,156 | USD | 3,027 | 11/15/16 | (1,307 | ) | |||||||||||||||||
UBS AG | CHF | 21,591 | USD | 21,848 | 6/17/16 | 112,273 | ||||||||||||||||||
UBS AG | HKD | 6,699 | USD | 863 | 6/17/16 | 599 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (6,109,679 | ) | ||||||||||||||||||||||
|
|
PUT OPTIONS WRITTEN (see Note D)
Description | Contracts | Exercise Price | Expiration Month | Premiums Received | U.S. $ Value | |||||||||||||||
SPDR S&P 500 ETF Trust(i) | 359 | $ | 199.00 | June 2016 | $ | 55,988 | $ | (10,052 | ) |
CURRENCY OPTIONS WRITTEN (see Note D)
Description | Exercise Price | Expiration Date | Contracts (000) | Premiums Received | Market Value | |||||||||||||||||||
Call – GBP vs.USD | GBP | 1.47 | 6/22/16 | 3,065 | $ | 35,100 | $ | (28,215 | ) |
AB GLOBAL RISK ALLOCATION FUND • | 59 |
Consolidated Portfolio of Investments
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||
Clearing Broker/ (Exchange) | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Credit Suisse Securities (USA) LLC/(CME Group) | $ | 71,767 | 8/08/18 | 1.647% | 3 Month LIBOR | $ | (794,794 | ) | ||||||||
Credit Suisse Securities (USA) LLC/(CME Group) | 71,767 | 8/08/18 | 3 Month LIBOR | 1.647% | 464,561 | |||||||||||
Credit Suisse Securities (USA) LLC/(CME Group) | AUD | 15,000 | 7/09/25 | 6 Month BBSW | 3.168% | 730,428 | ||||||||||
|
| |||||||||||||||
$ | 400,195 | |||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Clearing Broker/(Exchange) & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at May 31, 2016 | Notional Amount (000) | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Sale Contracts | ||||||||||||||||||||
Credit Suisse Securities (USA) LLC/(INTRCONX) | ||||||||||||||||||||
CDX-NAHY Series 26, 5 Year Index, 6/20/21* | 5.00 | % | 4.36 | % | $ | 12,500 | $ | 465,281 | $ | 101,589 | ||||||||||
CDX-NAIG Series 26, 5 Year Index, 6/20/21* | 1.00 | 0.77 | 18,750 | 243,062 | 37,746 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 708,343 | $ | 139,335 | |||||||||||||||||
|
|
|
|
* | Termination date |
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at May 31, 2016 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||
iTRAXX-Australia Series 24, 5 Year Index, 12/20/20* | (1.00 | )% | 1.09 | % | $ | 1,110 | $ | 2,205 | $ | 11,045 | $ | (8,840 | ) | |||||||||||
iTRAXX-Australia Series 24, 5 Year Index, 12/20/20* | (1.00 | ) | 1.09 | 1,490 | 2,960 | 14,830 | (11,870 | ) | ||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||
iTRAXX-Australia Series 24, 5 Year Index, 12/20/20* | 1.00 | 1.09 | 2,600 | (5,165 | ) | (28,368 | ) | 23,203 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | – 0 | – | $ | (2,493 | ) | $ | 2,493 | |||||||||||||||||
|
|
|
|
|
|
* | Termination date |
60 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
^ | Less than $0.50. |
(a) | Non-income producing security. |
(b) | Fair valued by the Adviser. |
(c) | Illiquid security. |
(d) | Represents entire or partial securities out on loan. See Note E for securities lending information. |
(e) | 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, 2016, the aggregate market value of these securities amounted to $568,718 or 0.2% of net assets. |
(f) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(g) | Floating Rate Security. Stated interest rate was in effect at May 31, 2016. |
(h) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(i) | One contract relates to 100 shares. |
(j) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(k) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
Currency Abbreviation:
ARS – Argentine Peso
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNY – Chinese Yuan Renminbi
COP – Colombian Peso
CZK – Czech Koruna
DKK – Danish Krone
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
HUF – Hungarian Forint
IDR – Indonesian Rupiah
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
THB – Thailand Baht
TRY – Turkish Lira
TWD – New Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
AB GLOBAL RISK ALLOCATION FUND • | 61 |
Consolidated Portfolio of Investments
Glossary:
ADR – American Depositary Receipt
BBSW – Bank Bill Swap Reference Rate (Australia)
CAC – Cotation Assistée en Continu (Continuous Assisted Quotation)
CBT – Chicago Board of Trade
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CME – Chicago Mercantile Exchange
DAX – Deutscher Aktien Index (German Stock Index)
EAFE – Europe, Australia, and Far East
ETF – Exchange Traded Fund
FTSE – Financial Times Stock Exchange
IBEX – International Business Exchange
INTRCONX – Inter-Continental Exchange
KC HRW – Kansas City Hard Red Winter
LIBOR – London Interbank Offered Rates
LME – London Metal Exchange
MIB – Milano Italia Borsa
MSCI – Morgan Stanley Capital International
RBOB – Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas)
REG – Registered Shares
REIT – Real Estate Investment Trust
RSP – Risparmio (Convertible Savings Shares)
SPDR – Standard & Poor’s Depository Receipt
TIPS – Treasury Inflation Protected Security
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
ULSD – Untra-Low Sulfur Diesel
WTI – West Texas Intermediate
See notes to consolidated financial statements.
62 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Portfolio of Investments
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES
May 31, 2016 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $216,168,952) | $ | 220,963,180 | (a) | |
Affiliated issuers (cost $88,752,432—including investment of cash collateral for securities loaned of $9,387,834) | 88,752,432 | |||
Cash | 48,174 | |||
Cash collateral due from broker | 8,839,009 | |||
Foreign currencies, at value (cost $2,629,912) | 2,168,391 | |||
Unrealized appreciation on forward currency exchange contracts | 9,591,191 | |||
Dividends and interest receivable | 480,604 | |||
Receivable for variation margin on exchange-traded derivatives | 50,512 | |||
Receivable for capital stock sold | 50,403 | |||
Upfront premium paid on credit default swaps | 25,875 | |||
Unrealized appreciation on credit default swaps | 23,203 | |||
Receivable for investment securities sold | 9 | |||
Other asset | 652 | |||
|
| |||
Total assets | 330,993,635 | |||
|
| |||
Liabilities | ||||
Options written, at value (premiums received $91,088) | 38,267 | |||
Unrealized depreciation on forward currency exchange contracts | 15,700,870 | |||
Payable for collateral received on securities loaned | 9,387,834 | |||
Payable for capital stock redeemed | 354,069 | |||
Advisory fee payable | 142,003 | |||
Distribution fee payable | 90,390 | |||
Transfer Agent fee payable | 30,750 | |||
Upfront premium received on credit default swaps | 28,368 | |||
Unrealized depreciation on credit default swaps | 20,710 | |||
Administrative fee payable | 15,076 | |||
Payable for variation margin on exchange-traded derivatives | 5,830 | |||
Payable for investment securities purchased | 582 | |||
Accrued expenses | 300,447 | |||
|
| |||
Total liabilities | 26,115,196 | |||
|
| |||
Net Assets | $ | 304,878,439 | ||
|
| |||
Composition of Net Assets | ||||
Capital stock, at par | $ | 205,587 | ||
Additional paid-in capital | 321,395,088 | |||
Distributions in excess of net investment income | (5,352,709 | ) | ||
Accumulated net realized loss on investment | (12,875,434 | ) | ||
Net unrealized appreciation on investments | 1,505,907 | |||
|
| |||
$ | 304,878,439 | |||
|
|
(a) | Includes securities on loan with a value of $9,196,980 (see Note E). |
See notes to consolidated financial statements.
AB GLOBAL RISK ALLOCATION FUND • | 63 |
Consolidated 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 | $ | 237,816,187 | 15,804,538 | $ | 15.05 | * | ||||||
| ||||||||||||
B | $ | 4,256,601 | 310,927 | $ | 13.69 | |||||||
| ||||||||||||
C | $ | 43,378,757 | 3,156,232 | $ | 13.74 | |||||||
| ||||||||||||
Advisor | $ | 11,721,645 | 772,798 | $ | 15.17 | |||||||
| ||||||||||||
R | $ | 4,144,034 | 278,169 | $ | 14.90 | |||||||
| ||||||||||||
K | $ | 1,734,381 | 115,568 | $ | 15.01 | |||||||
| ||||||||||||
I | $ | 1,826,834 | 120,510 | $ | 15.16 | |||||||
|
* | The maximum offering price per share for Class A shares was $15.72 which reflects a sales charge of 4.25%. |
See notes to consolidated financial statements.
64 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Statement of Assets & Liabilities
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended May 31, 2016 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $79,204) | $ | 1,537,255 | ||||||
Affiliated issuers | 193,416 | |||||||
Interest | 1,676,431 | |||||||
Securities lending income | 23,481 | $ | 3,430,583 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 899,386 | |||||||
Distribution fee—Class A | 306,704 | |||||||
Distribution fee—Class B | 24,767 | |||||||
Distribution fee—Class C | 227,961 | |||||||
Distribution fee—Class R | 9,945 | |||||||
Distribution fee—Class K | 2,242 | |||||||
Transfer agency—Class A | 236,681 | |||||||
Transfer agency—Class B | 7,306 | |||||||
Transfer agency—Class C | 45,761 | |||||||
Transfer agency—Advisor Class | 16,222 | |||||||
Transfer agency—Class R | 5,245 | |||||||
Transfer agency—Class K | 1,826 | |||||||
Transfer agency—Class I | 151 | |||||||
Custodian | 250,731 | |||||||
Registration fees | 65,945 | |||||||
Audit and tax | 61,688 | |||||||
Printing | 48,931 | |||||||
Legal | 22,211 | |||||||
Administrative | 22,209 | |||||||
Directors’ fees | 10,630 | |||||||
Miscellaneous | 42,602 | |||||||
|
| |||||||
Total expenses | 2,309,144 | |||||||
|
| |||||||
Net investment income | 1,121,439 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | (9,434,968 | ) | ||||||
Futures | (3,402,936 | ) | ||||||
Options written | 1,289,566 | |||||||
Swaps | (577,426 | ) | ||||||
Foreign currency transactions | 8,221,041 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | 9,425,113 | |||||||
Futures | (1,962,934 | ) | ||||||
Options written | (220,127 | ) | ||||||
Swaps | 1,796,183 | |||||||
Foreign currency denominated assets and liabilities | (12,729,982 | ) | ||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (7,596,470 | ) | ||||||
|
| |||||||
Contributions from Affiliates (see Note B) | 652 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | (6,474,379 | ) | |||||
|
|
See notes to consolidated financial statements.
AB GLOBAL RISK ALLOCATION FUND • | 65 |
Consolidated Statement of Operations
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended May 31, 2016 (unaudited) | Year Ended November 30, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,121,439 | $ | 3,445,218 | ||||
Net realized loss on investment transactions and foreign currency transactions | (3,904,723 | ) | (2,046,465 | ) | ||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (3,691,747 | ) | (12,211,800 | ) | ||||
Contributions from Affiliates | 652 | 267,894 | ||||||
|
|
|
| |||||
Net decrease in net assets from operations | (6,474,379 | ) | (10,545,153 | ) | ||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | ||||||||
Class A | (166,587 | ) | (18,983,341 | ) | ||||
Class B | – 0 | – | (673,728 | ) | ||||
Class C | – 0 | – | (3,494,935 | ) | ||||
Advisor Class | (37,257 | ) | (1,203,219 | ) | ||||
Class R | – 0 | – | (269,694 | ) | ||||
Class K | (1,139 | ) | (130,888 | ) | ||||
Class I | (918 | ) | (3,302 | ) | ||||
Net realized gain on investment transactions | ||||||||
Class A | – 0 | – | (8,336,492 | ) | ||||
Class B | – 0 | – | (342,762 | ) | ||||
Class C | – 0 | – | (1,703,533 | ) | ||||
Advisor Class | – 0 | – | (507,810 | ) | ||||
Class R | – 0 | – | (123,966 | ) | ||||
Class K | – 0 | – | (57,310 | ) | ||||
Class I | – 0 | – | (1,354 | ) | ||||
Tax return of capital | ||||||||
Class A | – 0 | – | (4,124,910 | ) | ||||
Class B | – 0 | – | (167,694 | ) | ||||
Class C | – 0 | – | (836,056 | ) | ||||
Advisor Class | – 0 | – | (252,102 | ) | ||||
Class R | – 0 | – | (61,114 | ) | ||||
Class K | – 0 | – | (28,364 | ) | ||||
Class I | – 0 | – | (673 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase (decrease) | (42,578,658 | ) | 5,034,157 | |||||
|
|
|
| |||||
Total decrease | (49,258,938 | ) | (46,814,243 | ) | ||||
Net Assets | ||||||||
Beginning of period | 354,137,377 | 400,951,620 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of $(5,352,709) and ($6,268,247), respectively) | $ | 304,878,439 | $ | 354,137,377 | ||||
|
|
|
|
See notes to consolidated financial statements.
66 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Statement of Changes in Net Assets
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
May 31, 2016 (unaudited)
NOTE A
Significant Accounting Policies
AB Global Risk Allocation Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. As part of the Fund’s investment strategy, the Fund seeks to gain exposure to commodities and commodities-related instruments and derivatives primarily through investments in AllianceBernstein Cayman Global Risk Allocation, Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Fund is the sole shareholder of the Subsidiary and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. As of May 31, 2016, net assets of the Fund were $304,878,439, of which $22,659,055, or approximately 7%, represented the Fund’s ownership of all issued shares and voting rights of the Subsidiary. This report presents the consolidated financial statements of the Fund and the Subsidiary. All intercompany transactions and balances have been eliminated in consolidation. 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 AB 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 consolidated financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require
AB GLOBAL RISK ALLOCATION FUND • | 67 |
Notes to Consolidated Financial Statements
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. 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 values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities 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 any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. 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
68 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
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. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
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 consolidated 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 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 A.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) |
AB GLOBAL RISK ALLOCATION FUND • | 69 |
Notes to Consolidated Financial Statements
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 are 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.
Options 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 depends upon the contractual terms of, and specific risks inherent in, the option 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 generally will be classified as Level 2. For options 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 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
70 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
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.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of May 31, 2016:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 6,540,174 | $ | 7,944,959 | $ | – 0 | – | $ | 14,485,133 | |||||||
Consumer Staples | 7,457,990 | 4,264,064 | – 0 | – | 11,722,054 | |||||||||||
Industrials | 6,264,613 | 4,266,109 | 247 | 10,530,969 | ||||||||||||
Health Care | 6,049,659 | 4,128,292 | – 0 | – | 10,177,951 | |||||||||||
Information Technology | 8,269,640 | 1,874,437 | – 0 | – | 10,144,077 | |||||||||||
Consumer Discretionary | 5,660,746 | 3,524,412 | – 0 | – | 9,185,158 | |||||||||||
Materials | 4,275,359 | 3,183,004 | – 0 | – | 7,458,363 | |||||||||||
Energy | 3,947,890 | 2,777,236 | – 0 | – | 6,725,126 | |||||||||||
Utilities | 3,777,058 | 2,866,597 | – 0 | – | 6,643,655 | |||||||||||
Telecommunication Services | 1,229,285 | 1,412,100 | – 0 | – | 2,641,385 | |||||||||||
Inflation-Linked Securities | – 0 | – | 62,031,252 | – 0 | – | 62,031,252 | ||||||||||
Governments – Treasuries | – 0 | – | 16,279,771 | – 0 | – | 16,279,771 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 15,916,398 | – 0 | – | 15,916,398 | ||||||||||
Investment Companies | 8,498,713 | – 0 | – | – 0 | – | 8,498,713 | ||||||||||
Preferred Stocks | 5,827,136 | – 0 | – | – 0 | – | 5,827,136 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 2,598,750 | – 0 | – | 2,598,750 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 1,223,895 | – 0 | – | 1,223,895 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 510,720 | – 0 | – | 510,720 | ||||||||||
Corporates – Investment Grade | – 0 | – | 273,000 | – 0 | – | 273,000 | ||||||||||
Options Purchased – Calls | – 0 | – | 90,647 | – 0 | – | 90,647 | ||||||||||
Options Purchased – Puts | – 0 | – | 5,116 | – 0 | – | 5,116 | ||||||||||
Rights | 3,626 | – 0 | – | 659 | 4,285 |
AB GLOBAL RISK ALLOCATION FUND • | 71 |
Notes to Consolidated Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | $ | 79,364,598 | $ | – 0 | – | $ | – 0 | – | $ | 79,364,598 | ||||||
U.S. Treasury Bills | – 0 | – | 17,989,626 | – 0 | – | 17,989,626 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 9,387,834 | – 0 | – | – 0 | – | 9,387,834 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 156,554,321 | 153,160,385 | 906 | 309,715,612 | ||||||||||||
Other Financial | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 3,067,097 | 620,238 | – 0 | – | 3,687,335 | (b) | ||||||||||
Forward Currency Exchange Contracts | – 0 | – | 9,591,191 | – 0 | – | 9,591,191 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 1,194,989 | – 0 | – | 1,194,989 | (b) | |||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 139,335 | – 0 | – | 139,335 | (b) | |||||||||
Credit Default Swaps | – 0 | – | 23,203 | – 0 | – | 23,203 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (755,674 | ) | (461,041 | ) | – 0 | – | (1,216,715 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (15,700,870 | ) | – 0 | – | (15,700,870 | ) | ||||||||
Put Options Written | – 0 | – | (10,052 | ) | – 0 | – | (10,052 | ) | ||||||||
Currency Options Written | – 0 | – | (28,215 | ) | – 0 | – | (28,215 | ) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (794,794 | ) | – 0 | – | (794,794 | )(b) | ||||||||
Credit Default Swaps | – 0 | – | (20,710 | ) | – 0 | – | (20,710 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 158,865,744 | $ | 147,713,659 | $ | 906 | $ | 306,580,309 | ||||||||
|
|
|
|
|
|
|
|
(a) | 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. |
(b) | Only variation margin receivable/payable at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the consolidated portfolio of investments. |
(c) | There were de minimis 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.
72 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Common Stocks | Collateralized Mortgage Obligations | Preferred Stocks | ||||||||||
Balance as of 11/30/15 | $ | 39,553 | $ | 15,656,199 | $ | 268 | ||||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | 2,456 | – 0 | – | (6 | ) | |||||||
Change in unrealized appreciation/depreciation | (1,699 | ) | – 0 | – | 6 | |||||||
Purchases | 248 | – 0 | – | – 0 | – | |||||||
Sales | (21,799 | ) | – 0 | – | (268 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | (18,512 | ) | (15,656,199 | ) | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 5/31/16 | $ | 247 | $ | – 0 | – | $ | – 0 | – | ||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 5/31/16(c) | $ | (1 | ) | $ | – 0 | – | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
Rights | Total | |||||||||||
Balance as of 11/30/15 | $ | 659 | $ | 15,696,679 | ||||||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | ||||||||
Realized gain (loss) | – 0 | – | 2,450 | |||||||||
Change in unrealized appreciation/depreciation | – 0 | – | (1,693 | ) | ||||||||
Purchases | – 0 | – | 248 | |||||||||
Sales | – 0 | – | (22,067 | ) | ||||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | ||||||||
Transfers out of Level 3 | – 0 | – | (15,674,711 | )(a) | ||||||||
|
|
|
| |||||||||
Balance as of 5/31/16 | $ | 659 | $ | 906 | ||||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from investments held as of 5/31/16(c) | $ | – 0 | – | $ | (1 | ) | ||||||
|
|
|
|
(a) | An amount of $18,512 was transferred out of Level 3 into Level 2 as these securities were priced by third party vendor and an amount of $15,656,199 was transferred out of Level 3 into Level 2 due to increase in observability of inputs during the reporting period. |
(c) | The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying consolidated statement of operations. |
The Adviser established the Committee to oversee 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),
AB GLOBAL RISK ALLOCATION FUND • | 73 |
Notes to Consolidated Financial Statements
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 processes at vendors, 2) daily comparison 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 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.
74 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
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.
If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for Federal income tax purposes. Note that the loss from the Subsidiary’s contemplated activities also cannot be carried forward to reduce future Subsidiary’s income in subsequent years. However, if the Subsidiary’s taxable gains exceed its losses and other deductible items during a taxable year, the net gain will pass through to the Fund as income for Federal income tax purposes.
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 consolidated 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
AB GLOBAL RISK ALLOCATION FUND • | 75 |
Notes to Consolidated Financial Statements
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.
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.
The Subsidiary has entered into a separate agreement with the Adviser for the management of the Subsidiary’s portfolio. The Adviser receives no compensation from the Subsidiary for its services under the agreement.
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, 2016, the reimbursement for such services amounted to $22,209.
During the six months ended May 31, 2016, the Adviser reimbursed the Fund $652 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 $119,889 for the six months ended May 31, 2016.
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 $1,229 from the sale of Class A shares and received $4,608, $1,659 and $2,208 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, 2016.
The Fund may invest in the AB 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 currently available for direct purchase by members of the public. The Government STIF Portfolio currently pays no investment management
76 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
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, 2016 is as follows:
Market Value November 30, 2015 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value May 31, 2016 (000) | Dividend Income (000) | ||||||||||||||
$ | 145,113 | $ | 96,161 | $ | 161,909 | $ | 79,365 | $ | 174 |
Brokerage commissions paid on investment transactions for the six months ended May 31, 2016 amounted to $142,657, of which $0 and $0, respectively, was paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein Limited, affiliates of the Adviser.
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. Effective February 27, 2015, payments under the Agreement in respect of Class A shares are limited to an annual rate of .25% of Class A shares’ average daily net assets. 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 $796,189, $3,427,343, $408,266 and $247,915 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.
AB GLOBAL RISK ALLOCATION FUND • | 77 |
Notes to Consolidated Financial Statements
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2016 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding | $ | 40,238,785 | $ | 77,863,810 | ||||
U.S. government securities | 73,752,677 | 6,938,707 |
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 | $ | 11,252,708 | ||
Gross unrealized depreciation | (6,458,480 | ) | ||
|
| |||
Net unrealized appreciation | $ | 4,794,228 | ||
|
|
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 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 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. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. 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
78 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
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, has robust risk mitigation standards, including the requirement to provide initial and variation margin. 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 consolidated 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 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, 2016, the Fund held futures for hedging and 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 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, 2016, 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
AB GLOBAL RISK ALLOCATION FUND • | 79 |
Notes to Consolidated Financial Statements
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 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.
At May 31, 2016, the maximum payments for written put options amounted to $7,144,100. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the six months ended May 31, 2016, the Fund held purchased options for hedging and non-hedging purposes. During the six months ended May 31, 2016, the Fund held written options for hedging and non-hedging purposes. During the six months ended May 31, 2016, the Fund held written Swaptions for hedging and non-hedging purposes.
80 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
For the six months ended May 31, 2016, the Fund had the following transactions in written options:
Number of Contracts | Premiums Received | |||||||
Options written outstanding as of 11/30/15 | 38,606,480 | $ | 781,721 | |||||
Options written | 137,502,142 | 798,547 | ||||||
Options expired | (134,094,801 | ) | (1,217,927 | ) | ||||
Options bought back | (38,948,062 | ) | (271,253 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 05/31/16 | 3,065,759 | $ | 91,088 | |||||
|
|
|
|
• | 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 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 consolidated 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 consolidated 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 consolidated 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
AB GLOBAL RISK ALLOCATION FUND • | 81 |
Notes to Consolidated Financial Statements
realized gain/(loss) from swaps on the consolidated 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 consolidated statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. 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 centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio 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.
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
82 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
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, 2016, the Fund held interest rate swaps for hedging and 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 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.
In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront 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, 2016, the Fund did not have Buy Contracts outstanding with respect to the same referenced obligations and counterparty for its Sales Contracts outstanding.
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.
AB GLOBAL RISK ALLOCATION FUND • | 83 |
Notes to Consolidated Financial Statements
During the six months ended May 31, 2016, the Fund held credit default swaps for hedging and 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.
Total Return Swaps:
The Fund may enter into total return swaps in order take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended May 31, 2016, the Fund held total return swaps for hedging and non-hedging purposes.
The Fund and the Subsidiary typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) or similar master agreements (collectively, “Master Agreements”) with derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination.
Various Master Agreements govern the terms of certain transactions with counterparties, including transactions such as derivative transactions, repurchase and reverse repurchase agreements. These Master Agreements typically attempt to reduce the counterparty risk associated with such transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Cross-termination provisions under Master Agreements typically provide that a default in connection with one transaction between the Fund and a
84 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
counterparty gives the non-defaulting party the right to terminate any other transactions in place with the defaulting party to create one single net payment due to/due from the defaulting party. In the event of a default by a Master Agreements counterparty, the return of collateral with market value in excess of the Fund’s and the Subsidiary net liability, held by the defaulting party, may be delayed or denied.
The Fund’s and Subsidiary’s Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund or the Subsidiary decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s and the Subsidiary counterparty has the right to terminate such transaction and require the Fund or the Subsidiary to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by counterparty tables below.
At May 31, 2016, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 2,033,164 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 794,794 | * | ||||
Credit contracts | Receivable/Payable for variation margin on exchange-traded derivatives | 139,335 | * | Receivable/Payable for variation margin on exchange-traded derivatives | ||||||||
Equity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | 751,883 | * | Receivable/Payable for variation margin on exchange-traded derivatives | 611,657 | * | ||||||
Commodity contracts | Receivable/Payable for variation margin on exchange-traded derivatives |
| 2,097,277 | * | Receivable/Payable for variation margin on exchange-traded derivatives |
| 605,058 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 9,591,191 |
| Unrealized depreciation on forward currency exchange contracts |
| 15,700,870 |
| ||||
Foreign exchange contracts | Investments in securities, at value |
| 5,116 |
|
AB GLOBAL RISK ALLOCATION FUND • | 85 |
Notes to Consolidated Financial Statements
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Equity contracts | Investments in securities, at value | $ | 90,647 | |||||||||
Foreign exchange contracts | Options written, at value | $ | 28,215 |
| ||||||||
Equity contracts | Options written, at value | 10,052 | ||||||||||
Credit contracts | Unrealized appreciation on credit default swaps | 23,203 | Unrealized depreciation on credit default swaps | 20,710 | ||||||||
|
|
|
| |||||||||
Total | $ | 14,731,816 | $ | 17,771,356 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the consolidated portfolio of investments. |
Derivative Type | Location of Gain Within Consolidated | 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 | $ | 4,379,217 | $ | 355,211 | |||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (9,476,836 | ) | (4,668,462 | ) | |||||
Commodity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 1,694,683 | 2,350,317 | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | 9,622,113 | (12,564,909 | ) |
86 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
Derivative Type | Location of Gain Within Consolidated | 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 | $ | (1,022,013 | ) | $ | (396,768 | ) | |||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (987,987 | ) | 89,629 | ||||||
Foreign exchange contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 850,917 | 79,152 | |||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 438,649 | (299,279 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 43,635 | 922,257 | |||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (499,721 | ) | 873,926 | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (121,340 | ) | – 0 | – | |||||
|
|
|
| |||||||
Total | $ | 4,921,317 | $ | (13,258,926 | ) | |||||
|
|
|
|
AB GLOBAL RISK ALLOCATION FUND • | 87 |
Notes to Consolidated Financial Statements
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended May 31, 2016:
Futures: | ||||
Average original value of buy contracts | $ | 232,143,948 | ||
Average original value of sale contracts | $ | 50,396,827 | ||
Forward Currency Exchange Contracts: |
| |||
Average principal amount of buy contracts | $ | 478,841,980 | ||
Average principal amount of sale contracts | $ | 674,400,650 | ||
Purchased Options: |
| |||
Average monthly cost | $ | 454,237 | ||
Interest Rate Swaps: |
| |||
Average notional amount | $ | 38,509,904 | (a) | |
Centrally Cleared Interest Rate Swaps: |
| |||
Average notional amount | $ | 382,732,526 | ||
Credit Default Swaps: |
| |||
Average notional amount of buy contracts | $ | 36,360,781 | ||
Average notional amount of sale contracts | $ | 3,494,286 | ||
Centrally Cleared Credit Default Swaps: |
| |||
Average notional amount of buy contracts | $ | 23,205,727 | (a) | |
Average notional amount of sale contracts | $ | 15,670,000 | ||
Total Return Swaps: |
| |||
Average notional amount | $ | 13,962,431 | (b) |
(a) | Positions were open for four months during the period. |
(b) | Positions were open for two months during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the consolidated statement of assets and liabilities.
All derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under Master Agreements (“MA”) and net of the related collateral received/ pledged by the Fund as of May 31, 2016:
AB Global Risk Allocation Fund
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
Exchange-Traded Derivatives: | ||||||||||||||||||||
Citibank, NA* | $ | 22 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 22 | |||||||
Morgan Stanley & | 240,022 | (10,052 | ) | – 0 | – | – 0 | – | 229,970 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 240,044 | $ | (10,052 | ) | $ | – 0 | – | $ | – 0 | – | $ | 229,992 | |||||||
|
|
|
|
|
|
|
|
|
|
88 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
Bank of America, NA | $ | 182,808 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 182,808 | |||||||
Barclays Bank PLC | 597,299 | (597,299 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 171,157 | (171,157 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 489,476 | (489,476 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 2,434 | – 0 | – | – 0 | – | – 0 | – | 2,434 | ||||||||||||
Deutsche Bank AG | 90,920 | (90,920 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 4,271,360 | (4,271,360 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 438,441 | (438,441 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank | 206,980 | (94,191 | ) | – 0 | – | – 0 | – | 112,789 | ||||||||||||
Morgan Stanley & Co. | 312,920 | (312,920 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Nomura Global Financial Products, Inc. | 6,186 | (6,186 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 1,462,568 | (395,820 | ) | – 0 | – | – 0 | – | 1,066,748 | ||||||||||||
Standard Chartered Bank | 600,771 | (600,771 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 649,570 | (649,570 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS | 112,872 | – 0 | – | – 0 | – | – 0 | – | 112,872 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 9,595,762 | $ | (8,118,111 | ) | $ | – 0 | – | $ | – 0 | – | $ | 1,477,651 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged** | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
Exchange-Traded Derivatives: | ||||||||||||||||||||
Credit Suisse Securities (USA) LLC* | $ | 16,223 | $ | – 0 | – | $ | (16,223 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Morgan Stanley & Co., Inc.* | 10,052 | (10,052 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 26,275 | $ | (10,052 | ) | $ | (16,223 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
Barclays Bank PLC | $ | 825,197 | $ | (597,299 | ) | $ | – 0 | – | $ | – 0 | – | $ | 227,898 | |||||||
BNP Paribas SA | 334,953 | (171,157 | ) | – 0 | – | – 0 | – | 163,796 | ||||||||||||
Brown Brothers Harriman & Co. | 76,830 | – 0 | – | – 0 | – | – 0 | – | 76,830 | ||||||||||||
Citibank, NA | 934,471 | (489,476 | ) | – 0 | – | – 0 | – | 444,995 | ||||||||||||
Deutsche Bank AG | 476,980 | (90,920 | ) | – 0 | – | (70,515 | ) | 315,545 |
AB GLOBAL RISK ALLOCATION FUND • | 89 |
Notes to Consolidated Financial Statements
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged** | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | $ | 7,964,894 | $ | (4,271,360 | ) | $ | – 0 | – | $ | – 0 | – | $ | 3,693,534 | |||||||
HSBC Bank USA | 795,241 | (438,441 | ) | – 0 | – | (356,800 | ) | – 0 | – | |||||||||||
JPMorgan Chase Bank | 94,191 | (94,191 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co. | 949,908 | (312,920 | ) | – 0 | – | – 0 | – | 636,988 | ||||||||||||
Nomura Global Financial Products, Inc. | 125,901 | (6,186 | ) | – 0 | – | – 0 | – | 119,715 | ||||||||||||
Royal Bank of Scotland PLC | 395,820 | (395,820 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 818,530 | (600,771 | ) | – 0 | – | – 0 | – | 217,759 | ||||||||||||
State Street Bank & Trust Co. | 1,867,635 | (649,570 | ) | – 0 | – | – 0 | – | 1,218,065 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 15,660,551 | $ | (8,118,111 | ) | $ | – 0 | – | $ | (427,315 | ) | $ | 7,115,125 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | Cash and securities have been posted for initial margin requirements for exchange-traded derivatives outstanding at May 31, 2016. |
** | The actual collateral received/pledged is more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/(payable) that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
AllianceBernstein Cayman Global Risk Allocation, Ltd. | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
State Street Bank & | $ | 594 | $ | (594 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 594 | $ | (594 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
Exchange-Traded Derivatives: | ||||||||||||||||||||
Morgan Stanley & | $ | 88,492 | $ | – 0 | – | $ | (88,492 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 88,492 | $ | – 0 | – | $ | (88,492 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
|
90 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
State Street Bank & | $ | 45,484 | $ | (594 | ) | $ | – 0 | – | $ | – 0 | – | $ | 44,890 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 45,484 | $ | (594 | ) | $ | – 0 | – | $ | – 0 | – | $ | 44,890 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged is more than the amount reported due to over-collateralization. |
** | Cash and securities have been posted for initial margin requirements for exchange-traded derivatives outstanding at May 31, 2016. |
^ | Net amount represents the net receivable/(payable) that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated 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. TBA and Dollar Rolls
The Fund may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions. During the six months ended May 31, 2016, the Fund did not engage in TBA transactions.
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
AB GLOBAL RISK ALLOCATION FUND • | 91 |
Notes to Consolidated Financial Statements
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. During the six months ended May 31, 2016, the Fund had no transactions in dollar rolls.
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 on 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 currently invests the cash collateral received in AB Exchange Reserves, an eligible money market vehicle, in accordance with the investment restrictions of the Fund, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the consolidated 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, 2016, the Fund had securities on loan with a value of $9,196,980 and had received cash collateral which has been invested into AB Exchange Reserves of $9,387,834. The cash collateral will be adjusted on the next business day to maintain the required collateral amount. The Fund earned securities lending income of $23,481 and $19,339 from the borrowers and AB Exchange Reserves, respectively, for the six months ended May 31, 2016; these amounts are reflected in the consolidated 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
92 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
to replace the loaned securities. A summary of the Fund’s transactions in shares of AB Exchange Reserves for the six months ended May 31, 2016 is as follows:
Market Value November 30, 2015 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value May 31, 2016 (000) | |||||||||||
$ | 11,807 | $ | 134,019 | $ | 136,438 | $ | 9,388 |
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, 2016 (unaudited) | Year Ended November 30, 2015 | Six Months Ended May 31, 2016 (unaudited) | Year Ended November 30, 2015 | |||||||||||||||||
|
| |||||||||||||||||||
Class A | ||||||||||||||||||||
Shares sold | 284,511 | 1,287,975 | $ | 4,189,274 | $ | 20,588,689 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 10,093 | 1,842,489 | 151,290 | 28,521,717 | ||||||||||||||||
| ||||||||||||||||||||
Shares converted from Class B | 84,181 | 235,138 | 1,240,640 | 3,760,592 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (2,082,834 | ) | (3,193,517 | ) | (30,679,563 | ) | (50,214,183 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (1,704,049 | ) | 172,085 | $ | (25,098,359 | ) | $ | 2,656,815 | ||||||||||||
| ||||||||||||||||||||
Class B | ||||||||||||||||||||
Shares sold | 10,759 | 30,813 | $ | 145,006 | $ | 452,223 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | – 0 | – | 79,758 | – 0 | – | 1,135,755 | ||||||||||||||
| ||||||||||||||||||||
Shares converted to Class A | (92,323 | ) | (256,255 | ) | (1,240,640 | ) | (3,760,592 | ) | ||||||||||||
| ||||||||||||||||||||
Shares redeemed | (39,642 | ) | (149,273 | ) | (531,539 | ) | (2,198,043 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (121,206 | ) | (294,957 | ) | $ | (1,627,173 | ) | $ | (4,370,657 | ) | ||||||||||
| ||||||||||||||||||||
Class C | ||||||||||||||||||||
Shares sold | 49,454 | 270,972 | $ | 661,087 | $ | 3,969,032 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | – 0 | – | 355,679 | – 0 | – | 5,082,669 | ||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (498,468 | ) | (570,215 | ) | (6,695,677 | ) | (8,270,504 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (449,014 | ) | 56,436 | $ | (6,034,590 | ) | $ | 781,197 | ||||||||||||
|
AB GLOBAL RISK ALLOCATION FUND • | 93 |
Notes to Consolidated Financial Statements
Shares | Amount | |||||||||||||||||||
Six Months Ended May 31, 2016 (unaudited) | Year Ended November 30, 2015 | Six Months Ended May 31, 2016 (unaudited) | Year Ended November 30, 2015 | |||||||||||||||||
|
| |||||||||||||||||||
Advisor Class | ||||||||||||||||||||
Shares sold | 87,694 | 910,192 | $ | 1,302,802 | $ | 14,531,267 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 2,341 | 119,735 | 35,351 | 1,864,270 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (829,939 | ) | (699,700 | ) | (12,359,234 | ) | (11,203,109 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (739,904 | ) | 330,227 | $ | (11,021,081 | ) | $ | 5,192,428 | ||||||||||||
| ||||||||||||||||||||
Class R | ||||||||||||||||||||
Shares sold | 26,892 | 89,729 | $ | 392,831 | $ | 1,382,897 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | – 0 | – | 29,550 | – 0 | – | 454,770 | ||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (28,638 | ) | (99,321 | ) | (415,280 | ) | (1,543,290 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (1,746 | ) | 19,958 | $ | (22,449 | ) | $ | 294,377 | ||||||||||||
| ||||||||||||||||||||
Class K | ||||||||||||||||||||
Shares sold | 13,079 | 30,288 | $ | 191,043 | $ | 478,893 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 76 | 14,017 | 1,139 | 216,555 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (24,765 | ) | (36,992 | ) | (360,098 | ) | (581,891 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (11,610 | ) | 7,313 | $ | (167,916 | ) | $ | 113,557 | ||||||||||||
| ||||||||||||||||||||
Class I | ||||||||||||||||||||
Shares sold | 106,831 | 38,258 | $ | 1,575,688 | $ | 597,374 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 61 | 342 | 918 | 5,325 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (12,478 | ) | (15,288 | ) | (183,696 | ) | (236,259 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase | 94,414 | 23,312 | $ | 1,392,910 | $ | 366,440 | ||||||||||||||
|
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 net asset value, or NAV, when the asset classes in which the Fund’s has invested more heavily perform worse than the asset classes invested in less heavily.
94 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
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 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.
Commodity Risk—Investing in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Below Investment Grade Securities 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.
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.
Subsidiary Risk—By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and, unless otherwise
AB GLOBAL RISK ALLOCATION FUND • | 95 |
Notes to Consolidated Financial Statements
noted in this Prospectus, is not subject to all of the investor protections of the 1940 Act. However, the Fund wholly owns and controls the Subsidiary, and the Fund and the Subsidiary are managed by the Adviser, making it unlikely the Subsidiary will take actions contrary to the interests of the Fund or its shareholders. In addition, changes in federal tax laws applicable to the Fund or interpretations thereof could limit the Fund’s ability to gain exposure to commodities investments through investments in the Subsidiary.
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 consolidated statement of assets and liabilities.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of derivative instruments by the Fund, such as forwards, futures, options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
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 $280 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 consolidated statement of operations. The Fund did not utilize the Facility during the six months ended May 31, 2016.
96 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending November 30, 2016 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended November 30, 2015 and November 30, 2014 were as follows:
2015 | 2014 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 26,443,571 | $ | – 0 | – | |||
Long-term capital gains | 9,388,763 | 6,861,820 | ||||||
|
|
|
| |||||
Total taxable distributions paid | 35,832,334 | 6,861,820 | ||||||
Tax return of capital | 5,470,913 | – 0 | – | |||||
|
|
|
| |||||
Total distributions paid | $ | 41,303,247 | $ | 6,861,820 | ||||
|
|
|
|
As of November 30, 2015, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated capital and other losses | $ | (1,479,008 | )(a) | |
Unrealized appreciation/(depreciation) | (14,620,239 | )(b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | (16,099,247 | )(c) | |
|
|
(a) | As of November 30, 2015, the Fund had a net capital loss carryforward of $1,400,420. As of this date, the Fund had cumulative deferred losses on straddles of $78,588. |
(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), the realization for tax purposes of gains/losses on certain derivative instruments, and the tax treatment of earnings from the Subsidiary. |
(c) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to the tax treatment of earnings from the Subsidiary. |
For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of November 30, 2015, the Fund had a net short-term capital loss carryforward of $1,400,420 which may be carried forward for an indefinite period.
NOTE J
New Accounting Pronouncement
In May 2015, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2015-07 (the “ASU”) which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The ASU also removes the requirement to make certain disclosures for investments that are eligible to be measured at fair value using the net asset value per share practical
AB GLOBAL RISK ALLOCATION FUND • | 97 |
Notes to Consolidated Financial Statements
expedient but do not utilize that practical expedient. The ASU is effective for annual periods beginning after December 15, 2015 and interim periods within those annual periods. At this time, management is evaluating the implications of these changes on the consolidated financial statements.
NOTE K
Subsequent Events
The Government STIF Portfolio, prior to June 1, 2016, was offered as a cash management option to mutual funds and other institutional accounts of the Adviser, and was not available for direct purchase by members of the public. Prior to June 1, 2016, the Government STIF Portfolio paid no investment management fees but did bear its own expenses. As of June 1, 2016, the Government STIF Portfolio, which was renamed “AB Government Money Market Portfolio” (the “Government Money Market Portfolio”), will have a contractual investment management fee rate of .20% and will continue to bear its own expenses. In connection with the investment by the Fund in the Government Money Market Portfolio, the Adviser will waive its investment management fee from the Fund in an amount equal to Government Money Market Portfolio’s effective management fee.
Management has evaluated subsequent events for possible recognition or disclosure in the consolidated financial statements through the date the consolidated financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Fund’s consolidated financial statements through this date.
98 | • AB GLOBAL RISK ALLOCATION FUND |
Notes to Consolidated Financial Statements
CONSOLIDATED FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months Ended May 31, 2016(a) (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 15.29 | $ 17.54 | $ 16.48 | $ 17.72 | $ 15.32 | $ 14.36 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(b) | .06 | .16 | .21 | .10 | .22 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.29 | ) | (.60 | ) | 1.11 | (.02 | ) | 2.42 | .97 | |||||||||||||||
Contributions from Affiliates | .00 | (c) | .01 | – 0 | – | .01 | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.23 | ) | (.43 | ) | 1.32 | .09 | 2.64 | 1.22 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.01 | ) | (1.10 | ) | – 0 | – | (.15 | ) | (.24 | ) | (.26 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | – 0 | – | – 0 | – | ||||||||||||
Tax return of capital | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.01 | ) | (1.82 | ) | (.26 | ) | (1.33 | ) | (.24 | ) | (.26 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.05 | $ 15.29 | $ 17.54 | $ 16.48 | $ 17.72 | $ 15.32 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (1.51 | )% | (2.56 | )% | 8.14 | % | .57 | % | 17.37 | % | 8.57 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $237,815 | $267,703 | $304,092 | $330,368 | $400,685 | $380,338 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.33 | %^ | 1.28 | % | 1.28 | % | 1.17 | % | 1.09 | % | 1.08 | % | ||||||||||||
Net investment income | .82 | %^ | 1.01 | % | 1.25 | % | .58 | % | 1.30 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate** | 44 | % | 250 | % | 96 | % | 158 | % | 163 | % | 87 | % |
See footnote summary on page 106.
AB GLOBAL RISK ALLOCATION FUND • | 99 |
Consolidated Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class B | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.96 | $ 16.13 | $ 15.29 | $ 16.57 | $ 14.34 | $ 13.46 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment | – 0 | – | .01 | .08 | (.03 | ) | .08 | .13 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.27 | ) | (.52 | ) | 1.02 | .00 | (c) | 2.27 | .90 | |||||||||||||||
Contributions from Affiliates | .00 | (c) | .01 | – 0 | – | .01 | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.27 | ) | (.50 | ) | 1.10 | (.02 | ) | 2.35 | 1.03 | |||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.95 | ) | – 0 | – | (.08 | ) | (.12 | ) | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | – 0 | – | – 0 | – | ||||||||||||
Tax return of capital | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | – 0 | – | (1.67 | ) | (.26 | ) | (1.26 | ) | (.12 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 13.69 | $ 13.96 | $ 16.13 | $ 15.29 | $ 16.57 | $ 14.34 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (1.93 | )% | (3.30 | )% | 7.32 | % | (.12 | )% | 16.44 | % | 7.68 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $4,257 | $6,033 | $11,730 | $18,652 | $35,786 | $50,797 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 2.19 | %^ | 2.05 | % | 2.01 | % | 1.89 | % | 1.85 | % | 1.85 | % | ||||||||||||
Net investment income (loss) | (.06 | )%^ | .10 | % | .54 | % | (.21 | )% | .50 | % | .91 | % | ||||||||||||
Portfolio turnover rate** | 44 | % | 250 | % | 96 | % | 158 | % | 163 | % | 87 | % |
See footnote summary on page 106.
100 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.01 | $ 16.22 | $ 15.37 | $ 16.66 | $ 14.42 | $ 13.54 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment | – 0 | – | .04 | .08 | (.02 | ) | .09 | .14 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.27 | ) | (.55 | ) | 1.03 | (.01 | ) | 2.28 | .90 | |||||||||||||||
Contributions from Affiliates | .00 | (c) | .01 | – 0 | – | .01 | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.27 | ) | (.50 | ) | 1.11 | (.02 | ) | 2.37 | 1.04 | |||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.99 | ) | – 0 | – | (.09 | ) | (.13 | ) | (.16 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | – 0 | – | – 0 | – | ||||||||||||
Tax return of capital | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | – 0 | – | (1.71 | ) | (.26 | ) | (1.27 | ) | (.13 | ) | (.16 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 13.74 | $ 14.01 | $ 16.22 | $ 15.37 | $ 16.66 | $ 14.42 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (1.93 | )% | (3.27 | )% | 7.35 | % | (.12 | )% | 16.54 | % | 7.71 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $43,379 | $50,508 | $57,567 | $60,336 | $72,294 | $68,095 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 2.09 | %^ | 2.02 | % | 2.00 | % | 1.89 | %(e) | 1.82 | % | 1.80 | % | ||||||||||||
Net investment income (loss) | .05 | %^ | .26 | % | .53 | % | (.14 | )% | .58 | % | .94 | % | ||||||||||||
Portfolio turnover rate** | 44 | % | 250 | % | 96 | % | 158 | % | 163 | % | 87 | % |
See footnote summary on page 106.
AB GLOBAL RISK ALLOCATION FUND • | 101 |
Consolidated Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 15.41 | $ 17.67 | $ 16.55 | $ 17.77 | $ 15.36 | $ 14.40 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(b) | .07 | .21 | .21 | .14 | .27 | .30 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.28 | ) | (.61 | ) | 1.17 | (.02 | ) | 2.43 | .97 | |||||||||||||||
Contributions from Affiliates | .00 | (c) | .01 | – 0 | – | .02 | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.21 | ) | (.39 | ) | 1.38 | .14 | 2.70 | 1.27 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.03 | ) | (1.15 | ) | – 0 | – | (.18 | ) | (.29 | ) | (.31 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | – 0 | – | – 0 | – | ||||||||||||
Tax return of capital | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.03 | ) | (1.87 | ) | (.26 | ) | (1.36 | ) | (.29 | ) | (.31 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.17 | $ 15.41 | $ 17.67 | $ 16.55 | $ 17.77 | $ 15.36 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (1.39 | )% | (2.27 | )% | 8.41 | % | .86 | % | 17.72 | % | 8.85 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $11,722 | $23,311 | $20,893 | $22,933 | $42,278 | $26,360 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.08 | %^ | 1.02 | % | 1.00 | % | .88 | %(e) | .79 | % | .79 | % | ||||||||||||
Net investment income | 1.00 | %^ | 1.34 | % | 1.25 | % | .85 | % | 1.64 | % | 1.96 | % | ||||||||||||
Portfolio turnover rate** | 44 | % | 250 | % | 96 | % | 158 | % | 163 | % | 87 | % |
See footnote summary on page 106.
102 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 15.15 | $ 17.40 | $ 16.40 | $ 17.66 | $ 15.26 | $ 14.31 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(b) | .04 | .11 | .16 | .04 | .17 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.29 | ) | (.60 | ) | 1.10 | (.02 | ) | 2.42 | .96 | |||||||||||||||
Contributions from Affiliates | .00 | (c) | .01 | – 0 | – | .02 | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.25 | ) | (.48 | ) | 1.26 | .04 | 2.59 | 1.17 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (1.05 | ) | – 0 | – | (.12 | ) | (.19 | ) | (.22 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | – 0 | – | – 0 | – | ||||||||||||
Tax return of capital | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | – 0 | – | (1.77 | ) | (.26 | ) | (1.30 | ) | (.19 | ) | (.22 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.90 | $ 15.15 | $ 17.40 | $ 16.40 | $ 17.66 | $ 15.26 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (1.65 | )% | (2.84 | )% | 7.75 | % | .29 | % | 17.08 | % | 8.19 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $4,144 | $4,241 | $4,523 | $3,676 | $5,704 | $5,308 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.66 | %^ | 1.61 | % | 1.59 | % | 1.46 | % | 1.38 | % | 1.38 | % | ||||||||||||
Net investment income | .51 | %^ | .69 | % | .95 | % | .23 | % | 1.01 | % | 1.38 | % | ||||||||||||
Portfolio turnover rate** | 44 | % | 250 | % | 96 | % | 158 | % | 163 | % | 87 | % |
See footnote summary on page 106.
AB GLOBAL RISK ALLOCATION FUND • | 103 |
Consolidated Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 15.25 | $ 17.50 | $ 16.45 | $ 17.68 | $ 15.28 | $ 14.34 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(b) | .06 | .16 | .21 | .09 | .21 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.29 | ) | (.59 | ) | 1.10 | .00 | (c) | 2.43 | .96 | |||||||||||||||
Contributions from Affiliates | .00 | (c) | .01 | – 0 | – | .01 | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.23 | ) | (.42 | ) | 1.31 | .10 | 2.64 | 1.21 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.01 | ) | (1.11 | ) | – 0 | – | (.15 | ) | (.24 | ) | (.27 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | – 0 | – | – 0 | – | ||||||||||||
Tax return of capital | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.01 | ) | (1.83 | ) | (.26 | ) | (1.33 | ) | (.24 | ) | (.27 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.01 | $ 15.25 | $ 17.50 | $ 16.45 | $ 17.68 | $ 15.28 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (1.51 | )% | (2.55 | )% | 8.09 | % | .64 | % | 17.40 | % | 8.48 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $1,734 | $1,939 | $2,098 | $2,033 | $2,692 | $2,924 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 1.35 | %^ | 1.30 | % | 1.27 | % | 1.16 | %(e) | 1.07 | % | 1.07 | % | ||||||||||||
Net investment income | .80 | %^ | .99 | % | 1.26 | % | .57 | % | 1.31 | % | 1.68 | % | ||||||||||||
Portfolio turnover rate** | 44 | % | 250 | % | 96 | % | 158 | % | 163 | % | 87 | % |
See footnote summary on page 106.
104 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Financial Highlights
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2015(a) | 2014(a) | 2013(a) | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 15.39 | $ 17.66 | $ 16.52 | $ 17.72 | $ 15.31 | $ 14.36 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(b) | .10 | .22 | .27 | .10 | .29 | .33 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.29 | ) | (.60 | ) | 1.13 | .05 | † | 2.43 | .95 | |||||||||||||||
Contributions from Affiliates | .00 | (c) | .01 | – 0 | – | .01 | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.19 | ) | (.37 | ) | 1.40 | .16 | 2.72 | 1.28 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.04 | ) | (1.18 | ) | – 0 | – | (.18 | ) | (.31 | ) | (.33 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | – 0 | – | – 0 | – | ||||||||||||
Tax return of capital | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.04 | ) | (1.90 | ) | (.26 | ) | (1.36 | ) | (.31 | ) | (.33 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.16 | $ 15.39 | $ 17.66 | $ 16.52 | $ 17.72 | $ 15.31 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (1.27 | )% | (2.12 | )% | 8.55 | % | 1.02 | % | 17.95 | % | 8.97 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $1,827 | $402 | $49 | $84 | $954 | $839 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .92 | %^ | .91 | % | .83 | % | .71 | % | .64 | % | .64 | % | ||||||||||||
Net investment income | 1.30 | %^ | 1.45 | % | 1.59 | % | .98 | % | 1.76 | % | 2.13 | % | ||||||||||||
Portfolio turnover rate** | 44 | % | 250 | % | 96 | % | 158 | % | 163 | % | 87 | % |
See footnote summary on page 106.
AB GLOBAL RISK ALLOCATION FUND • | 105 |
Consolidated Financial Highlights
(a) | Consolidated (see Note A). |
(b) | Based on average shares outstanding. |
(c) | Amount is less than $.005. |
(d) | 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. |
(e) | The expense ratios presented below exclude interest expense: |
Year Ended November 30, 2013 | ||||
Class C | ||||
Expenses | 1.88 | % | ||
Advisor Class | ||||
Expenses | .87 | % | ||
Class K | ||||
Expenses | 1.15 | % |
* | 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 May 31, 2016, November 30, 2015, November 30, 2014, November 30, 2013, November 30, 2012 and November 30, 2011 by 0.01%, 0.08%, 0.06%, 0.04%, 0.07% and 0.03%, respectively. |
^ | Annualized. |
** | The Fund accounts for dollar roll transactions as purchases and sales. |
† | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accord with the Fund’s change in net realized and unrealized gain (loss) on investment transactions for the period. |
See notes to consolidated financial statements.
106 | • AB GLOBAL RISK ALLOCATION FUND |
Consolidated Financial Highlights
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman John H. Dobkin(1) Michael J. Downey(1) William H. Foulk, Jr.(1) D. James Guzy(1) Nancy P. Jacklin(1) | Robert M. Keith, President and Chief Executive Officer Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Philip L. Kirstein, Senior Vice President and Independent Compliance Officer Dan Loewy(2), Vice President Leon Zhu(2), Vice President Emilie D. Wrapp, Secretary | Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
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. |
(2) | The management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Quantitative Investment Team. Messrs. DePalma and Zhu are the investment professionals with the most significant responsibilities for the day-to-day management of the Fund’s portfolio. |
AB GLOBAL RISK ALLOCATION FUND • | 107 |
Board of Directors
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Global Risk Allocation Fund, Inc. (the “Fund”) unanimously approved the continuance of the Advisory Agreement with the Adviser at a meeting held on May 3-5, 2016 (the “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 AB 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:
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
108 | • AB GLOBAL RISK ALLOCATION FUND |
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. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the 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 was 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 2014 and 2015 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 noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood 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 concluded that the Adviser’s level of profitability from its relationship with the Fund in 2014 was not unreasonable. The directors noted that the Fund was not profitable to the Adviser in 2015.
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 investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which
AB GLOBAL RISK ALLOCATION FUND • | 109 |
is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be exacerbated 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 Meeting, the directors reviewed information prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an analytical service that is not affiliated with the Adviser, showing the performance of the Class A Shares of the Fund against a peer group and a peer universe selected by Broadridge, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 29, 2016. Based on their review, and their discussion with the Adviser of the reasons for the Fund’s underperformance in certain periods, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate paid by the Fund to the Adviser and information prepared by Broadridge concerning advisory fee rates paid by other funds in the same Broadridge 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 considered the Fund’s contractual effective advisory fee rate against a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for institutional clients pursuing a 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 and noted the differences between the Fund’s fee schedule, on the one hand, and the institutional fee schedule and the schedule of fees charged to any offshore funds and any sub-advised funds, on the other. 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.
110 | • AB GLOBAL RISK ALLOCATION FUND |
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to funds such as the Fund, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund invests in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued by the SEC. The directors noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective 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 is paid for services that are in addition to, rather than duplicative of, the services 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 a peer group and a peer universe selected by Broadridge. 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 Broadridge category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view 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. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints and that the net assets of the Fund were higher than a breakpoint level. Accordingly, the Fund’s current effective advisory fee rate reflected a reduction due to the breakpoint and would be further reduced to the extent the net assets of the Fund increase. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB 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 in advance of the 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 the fund-specific services provided by a fund’s adviser
AB GLOBAL RISK ALLOCATION FUND • | 111 |
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, 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 provide a means for sharing of any economies of scale.
112 | • AB GLOBAL RISK ALLOCATION FUND |
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 AB 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 21, 2016 and discussed with the Board of Directors on May 3-5, 2016. |
2 | Future references to the Fund do not include “AB.” 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 AB Balanced Shares, Inc. to AB 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 and benchmark was changed. |
AB GLOBAL RISK ALLOCATION FUND • | 113 |
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 Section 36(b) requires: to face liability under Section 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. 1518 (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.5 Also shown are the Fund’s net assets on March 31, 2016.
Fund | Advisory Fee Based on % of Average Daily Net Assets | Net Assets 3/31/16 ($MIL) | ||||
Global Risk Allocation Fund, Inc. | 0.60% on 1st $200 million 0.50% on next $200 million 0.40% on the balance | $ | 317.3 |
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 $45,099 (0.012% of the Fund’s average daily net assets) for such services.
4 | Jones v. Harris at 1527. |
5 | Most of the AB Mutual Funds, which the Adviser manages, were affected by the Adviser’s settlement with the NYAG; however, the Fund is not affected by the settlement because it has lower breakpoints than the applicable NYAG related fee schedules. |
114 | • AB GLOBAL RISK ALLOCATION FUND |
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 | 1.02 | % | November 30 | ||||||
Class A | 1.28 | % | ||||||||
Class B | 2.05 | % | ||||||||
Class C | 2.02 | % | ||||||||
Class R | 1.61 | % | ||||||||
Class K | 1.30 | % | ||||||||
Class I | 0.91 | % |
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 some of these 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 | The Fund’s current fiscal year exposure to ETFs is 5.27% of the Fund’s average net assets. The Fund’s underlying expense ratio related to the ETF holdings is 0.00155%. |
AB GLOBAL RISK ALLOCATION FUND • | 115 |
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 AB Institutional fee schedule, set forth below is what would have been the effective advisory fee of the Fund had the AB Institutional fee schedule been applicable to the Fund based on March 31, 2016 net assets.8
Fund | Net Assets 3/31/16 ($MM) | AB Institutional Fee Schedule | Effective AB Inst. Adv. Fee | Fund Advisory Fee | ||||||||
Global Risk Allocation Fund, Inc. | $317.3 | Drawdown Managed All Asset (formerly Tail Risk parity) 0.50% on 1st $100 million 0.40% on next $400 million 0.30% on next the balance Minimum account size: $100m | 0.432% | 0.563% |
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 are 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, 2016 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% | 0.551% |
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.
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 1528. |
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. |
116 | • AB GLOBAL RISK ALLOCATION FUND |
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 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. |
Broadridge Financial Solutions, Inc. (“Broadridge”), 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.9,10 Broadridge’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 Broadridge Expense Group (“EG”)11 and the Fund’s contractual management fee ranking.12
Broadridge describes an EG as a representative sample of comparable funds. Broadridge’s standard methodology for screening funds to be included in an EG entails the consideration of several fund criteria, including fund type, Lipper 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 | On June 5, 2015, Broadridge acquired the Fiduciary Services and Competitive Intelligence unit, i.e., the group responsible for providing the Fund’s 15(c) reports, from Thomson Reuters’ Lipper division. The group that maintains Lipper’s expense and performance databases and investment classification/objective remains a part of Thomson Reuters’ Lipper division. Accordingly, the Fund’s investment classification/objective continued to be determined by Lipper. |
11 | Broadridge does not consider average account size when constructing EGs. Funds with relatively small average account sizes tend to have higher transfer agent expense ratios than comparable sized funds that have relatively large average account sizes. There are limitations to Lipper expense category data because different funds categorize expenses differently. |
12 | The contractual management fee is calculated by Broadridge using the Fund’s contractual management fee rate at the 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. Broadridge’s total expense ratio information is based on the most recent annual report except as otherwise noted. A ranking of “1” would mean that Fund had the lowest effective fee rate in the Broadridge peer group. |
AB GLOBAL RISK ALLOCATION FUND • | 117 |
The Fund’s original EG had an insufficient number. Consequently, Broadridge expanded the EG of the Fund to include peers that had a similar but not the same Lipper investment classification/objective.
Fund | Contractual Management Fee (%)13 | Broadridge EG Median (%) | Broadridge EG Rank | |||||||
Global Risk Allocation Fund, Inc.14 | 0.562 | 0.854 | 1/7 |
However, because Broadridge had expanded the EG of the Fund, under Broadridge’s standard guidelines, the Broadridge Expense Universe (“EU”) was also expanded to include the universe of those peers that had a similar but not the same Lipper investment classification/objective. A “normal” EU will include funds that have the same investment classification/objective as the subject Fund.15 Set forth below is Broadridge’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 ranking is also shown.
Fund | Total Expense Ratio (%)16 | Broadridge EG Median (%) | Broadridge Group Rank | Broadridge EU Median (%) | Broadridge EU Rank | |||||||||||
Global Risk Allocation Fund, Inc.17 | 1.280 | 1.280 | 4/7 | 1.280 | 49/100 |
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.
13 | The contractual management fee rate does not reflect any expense reimbursement payments for certain clerical, legal, accounting, administrative, and other services. |
14 | The Fund’s EG includes the Fund, three other Flexible Portfolio (“FX”) funds, and three Alternative Global Macro (“AGM”) funds. |
15 | Except for asset (size) comparability, Broadridge uses the same criteria for selecting an EG peer when selecting an EU peer. Unlike the EG, the EU allows for the same adviser to be represent by more than just one fund. |
16 | Most recently completed fiscal year end Class A total expense ratio. |
17 | The Fund’s EU includes the Fund, EG and all other GX and AGM, excluding outliers |
118 | • AB GLOBAL RISK ALLOCATION FUND |
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 decreased during calendar year 2015, relative to 2014.
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. The total amount paid to a financial intermediary associated with the sale of shares will generally not exceed the sum of (a) 0.25% of the current year’s fund sales by that firm and (b) 0.10% of the average daily net assets attributable to that firm over the year. In 2015, ABI paid approximately 0.05% of the average monthly assets of the AB Mutual Funds or approximately $20 million for distribution services and educational support (revenue sharing payments).
During the Fund’s most recently completed fiscal year, ABI received from the Fund $3,691, $1,404,488 and $9,040 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 $279,252 in fees from the Fund.
AB GLOBAL RISK ALLOCATION FUND • | 119 |
The Fund did not effect brokerage transactions through the Adviser’s affiliate, Sanford C. Bernstein & Co., LLC (“SCB & Co.”) nor its U.K. affiliate, Sanford C. Bernstein Limited (“SCB Ltd.”), collectively “SCB,” and pay commissions during the Fund’s most recently completed fiscal year. The Adviser represented that SCB’s profitability from business conducted in the future with the Fund would be 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 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.
120 | • AB GLOBAL RISK ALLOCATION FUND |
Previously, in February 2008, the independent consultant provided the Board of Directors an update of Deli’s study on advisory fees and various fund characteristics.18,19 The independent consultant first reiterated the results of his previous two dimensional comparison analysis (fund size and family size) with the Board of Directors.20 The independent consultant then discussed the results of the 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 AB 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 $479 billion as of March 31, 2016, the Adviser has the investment experience to manage and provide non-investment services (described in Section I) to the Fund.
The information prepared by Broadridge shows the 1, 3, 5 and 10 year performance returns and rankings21 of the Fund relative to its Broadridge Performance Group (“PG”) and Broadridge Performance Universe (“PU”)22 for the periods ended February 29, 2016.
18 | 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. Source: Deli, Daniel N. “Mutual Fund Advisory Contracts: An Empirical Investigation.” Journal of Finance, 57(1): 109-133 (2002). |
19 | 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 1529. |
20 | 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. |
21 | The performance returns and rankings of the Fund are for the Fund’s Class A shares. The Fund’s performance returns were provided by Broadridge. |
22 | The Fund’s PG/PU is not identical to the Fund’s EG/EU as the criteria for including/excluding a fund from a PG/PU is somewhat different from that of an EG/EU. |
AB GLOBAL RISK ALLOCATION FUND • | 121 |
Fund Return (%) | PG Median (%) | PU Median (%) | PG Rank | PU Rank | ||||||||||||
Global Risk Allocation Fund, Inc.23,24 | ||||||||||||||||
1 year | -11.55 | -10.59 | -8.97 | 4/4 | 86/120 | |||||||||||
3 year | -0.18 | -0.18 | 1.64 | 2/3 | 62/87 | |||||||||||
5 year | 3.12 | 1.82 | 2.84 | 1/2 | 26/60 | |||||||||||
10 year | 2.84 | N/A | 4.14 | N/A | 23/26 |
Set forth below are the 1, 3, 5, 10 year and since inception performance returns of the Fund (in bold)25 versus its benchmark.26 Fund and benchmark volatility and reward-to-variability ratio (“Sharpe Ratio”) information is also shown.27
23 | The current Lipper investment classification/objective dictates the PG and PU throughout the life of the fund even if the fund had a different investment classification/objective at a different point in time. |
24 | On July 26, 2013, the Fund’s Lipper classification changed from Mixed-Asset Target Allocation Growth Fund (“MTAG”) to Global Flexible Fund (“GX”). On or around August 1, 2014, the Fund’s Lipper classification changed from GX to Flexible Portfolio (“FX”). |
25 | The performance returns and risk measures shown in the table are for the Class A shares of the Fund. |
26 | The Adviser provided Fund and benchmark performance return information for periods through February 29, 2016. |
27 | Fund volatility and Sharpe Ratio information was obtained through Lipper LANA, a database maintained by Lipper. Benchmark volatility and Sharpe Ratio information was calculated by the Senior Officer using standard Lipper methodology. Volatility is a statistical measure of the tendency of a market price or yield to vary over time. A Sharpe Ratio is a risk adjusted measure of return that divides a fund’s return in excess of the riskless return by the fund’s standard deviation. A fund with a greater volatility would be viewed as more risky than a fund with equivalent performance but lower volatility; for that reason, a greater return would be demanded for the more risky fund. A fund with a higher Sharpe Ratio would be viewed as better performing than a fund with a lower Sharpe Ratio. |
122 | • AB GLOBAL RISK ALLOCATION FUND |
Periods Ending February 29, 2016 Annualized Performance | ||||||||||||||||||||||||||||||||
Since | Annualized | Risk Period (Year) | ||||||||||||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | 10 Year (%) | Inception (%) | Volatility (%) | Sharpe (%) | ||||||||||||||||||||||||||
Global Risk Allocation Fund, Inc. | -11.55 | -0.18 | 3.12 | 2.84 | 8.61 | 7.15 | 0.00 | 3 | ||||||||||||||||||||||||
MSCI World Index (Net)28 | -11.00 | 5.32 | 4.92 | 3.82 | N/A | 7.31 | 0.47 | 3 | ||||||||||||||||||||||||
Barclays Capital Global Aggregate Index | 0.84 | -0.11 | 1.36 | 3.97 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
60% MSCI World Index / 40% Barclays Capital Global Aggregate Bond Index | -6.22 | 3.26 | 3.67 | 4.17 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Inception Date: June 8, 1932 |
CONCLUSION:
Based on the factors discussed above, the Senior Officer’s conclusion is that the proposed advisory 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.
Dated: June 2, 2016
28 | Prior to October 8, 2012, the Fund’s primary benchmark was the Russell 1000 Value Index, while the Fund’s blended benchmark was the 60% Russell 1000 Value / 40% Barclays Capital U.S. Aggregate Index. |
AB GLOBAL RISK ALLOCATION FUND • | 123 |
THIS PAGE IS NOT PART OF THE SHAREHOLDER REPORT OR THE FINANCIAL STATEMENTS
AB FAMILY OF FUNDS
US EQUITY
US Core
Core Opportunities Fund
Select US Equity Portfolio
US Growth
Concentrated Growth Fund
Discovery Growth Fund
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US Value
Discovery Value Fund
Equity Income Fund
Growth & Income Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
International/Global Core
Global Core Equity Portfolio
Global Equity & Covered Call Strategy Fund
Global Thematic Growth Fund
International Portfolio
International Strategic Core Portfolio
Tax-Managed International Portfolio
International/Global Growth
International Growth Fund
International/Global Value
Asia ex-Japan Equity Portfolio
International Value Fund
FIXED INCOME
Municipal
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
FIXED INCOME (continued)
Tax-Aware Fixed Income Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Michigan Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
Taxable
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio
Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Credit Long/Short Portfolio
Global Real Estate Investment Fund
Long/Short Multi-Manager Fund
Multi-Manager Alternative Strategies Fund
Select US Long/Short Portfolio
Unconstrained Bond Fund
MULTI-ASSET
All Market Income Portfolio
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
MULTI-ASSET (continued)
Target-Date
Multi-Manager Select Retirement Allocation Fund
Multi-Manager Select 2010 Fund
Multi-Manager Select 2015 Fund
Multi-Manager Select 2020 Fund
Multi-Manager Select 2025 Fund
Multi-Manager Select 2030 Fund
Multi-Manager Select 2035 Fund
Multi-Manager Select 2040 Fund
Multi-Manager Select 2045 Fund
Multi-Manager Select 2050 Fund
Multi-Manager Select 2055 Fund
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
CLOSED-END FUNDS
AB Multi-Manager Alternative Fund
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Exchange Reserves, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government 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.
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.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
124 | • AB GLOBAL RISK ALLOCATION FUND |
AB Family of Funds
NOTES
AB GLOBAL RISK ALLOCATION FUND • | 125 |
NOTES
126 | • AB GLOBAL RISK ALLOCATION FUND |
NOTES
AB GLOBAL RISK ALLOCATION FUND • | 127 |
NOTES
128 | • AB GLOBAL RISK ALLOCATION FUND |
AB GLOBAL RISK ALLOCATION FUND
1345 Avenue of the Americas
New York, NY 10105
800.221.5672
GRA-0152-0516
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): AB Global Risk Allocation Fund, Inc.
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President |
Date: July 27, 2016
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 27, 2016 | |
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer | ||
Date: | July 27, 2016 |