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: 811-05088
THE AB PORTFOLIOS
(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: August 31, 2018
Date of reporting period: February 28, 2018
ITEM 1. REPORTS TO STOCKHOLDERS.
FEB 02.28.18
SEMI-ANNUAL REPORT
AB ALL MARKET TOTAL RETURN PORTFOLIO
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.
FROM THE PRESIDENT |
Dear Shareholder,
We are pleased to provide this report for AB All Market Total Return Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
As always, AB strives to keep clients ahead of what’s next by:
+ | Transforming uncommon insights into uncommon knowledge with a global research scope |
+ | Navigating markets with seasoned investment experience and sophisticated solutions |
+ | Providing thoughtful investment insights and actionable ideas |
Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.
AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.
For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in the AB Mutual Funds.
Sincerely,
Robert M. Keith
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
April 16, 2018
This report provides management’s discussion of fund performance for AB All Market Total Return Portfolio for the semi-annual reporting period ended February 28, 2018.
Effective April 24, 2017, the Fund changed its name from AB Balanced Wealth Strategy to AB All Market Total Return Portfolio, and made certain material changes to its principal strategies, including the elimination of relatively static asset allocation targets for investment. Accordingly, the performance shown for periods prior to April 24, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
The Fund’s investment objective is to achieve the highest total return consistent with the Adviser’s determination of reasonable risk.
NAV RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
6 Months | 12 Months | |||||||
AB ALL MARKET TOTAL RETURN PORTFOLIO1 | ||||||||
Class A Shares | 0.14% | 5.30% | ||||||
Class B Shares2 | -0.27% | 4.48% | ||||||
Class C Shares | -0.23% | 4.51% | ||||||
Advisor Class Shares3 | 0.24% | 5.51% | ||||||
Class R Shares3 | -0.04% | 4.83% | ||||||
Class K Shares3 | 0.08% | 5.17% | ||||||
Class I Shares3 | 0.27% | 5.56% | ||||||
Primary Benchmark: MSCI ACWI (net)4 | 9.07% | 18.79% | ||||||
Bloomberg Barclays Global Aggregate Bond Index (USD hedged) | -0.60% | 1.57% | ||||||
S&P 500 Index | 10.84% | 17.10% | ||||||
Bloomberg Barclays US Aggregate Bond Index | -2.18% | 0.51% | ||||||
Blended Benchmark: 65% S&P 500 Index / 35% Bloomberg Barclays US Aggregate Bond Index | 6.18% | 11.10% |
1 | 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 February 28, 2018, by 0.02% and 0.05%, respectively. |
2 | Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information. |
3 | 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. |
4 | Effective April 24, 2017, in connection with the changes in investment strategy, the broad-based index of the Fund used for comparison purposes has changed from the S&P 500 Index to the MSCI ACWI (net) because the new index more closely reflects the Fund’s investments. |
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INVESTMENT RESULTS
The preceding table shows the Fund’s performance compared to its primary benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) net, and the Bloomberg Barclays Global Aggregate Bond Index (USD hedged), for the six- and 12-month periods ended February 28, 2018. Also included are the Fund’s previous benchmarks, the Standard and Poor’s (“S&P”) 500 Index, the Bloomberg Barclays US Aggregate Bond Index and the blended benchmark, composed of 65% S&P 500 Index / 35% Bloomberg Barclays US Aggregate Bond Index.
For both periods, all share classes of the Fund underperformed the primary benchmark, the S&P 500 Index, and the blended benchmark, but outperformed the Bloomberg Barclays Global Aggregate Bond Index (USD hedged) and the Bloomberg Barclays US Aggregate Bond Index, before sales charges. Equity markets increased significantly during both periods; the Fund’s more diversified approach, which balances exposures to equities, bonds, commodities and alternative strategies, lagged the all-equity benchmark.
During the six-month period, fixed-income and non-traditional assets detracted from performance while equity holdings contributed, relative to the benchmark. While overall allocations within non-traditional assets and active equities contributed, security selection detracted.
During the pre-transition period from March 1, 2017 through March 31, 2017, all underlying investment strategies or mutual funds (collectively, “Underlying Portfolios”) except US Value Portfolio, Small-Mid Cap Value Portfolio, High Yield Portfolio and Multi-Asset Real Return Portfolio, contributed to absolute returns. Versus their respective style benchmarks, all Underlying Portfolios outperformed, except US Value Portfolio, High Yield Portfolio, Multi-Asset Real Return Portfolio and Volatility Management Portfolio.
The transition of this Fund occurred during April 2017, and therefore specific performance attribution information for April is not materially relevant. During the month, the Fund underperformed its primary benchmark, but outperformed the Bloomberg Barclays Global Aggregate Bond Index (USD hedged).
During the post-transition period from May 1, 2017 through February 28, 2018, non-traditional and fixed-income assets detracted from performance while equity holdings contributed. Security selection within non-traditional and fixed-income assets detracted. Within equities, asset allocation and security selection in active management contributed to performance. Asset allocation within non-traditional assets also contributed.
The Fund utilized derivatives for hedging and investment purposes in the form of currency forwards, total return swaps, variance swaps and purchased
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options, which detracted from absolute performance for both periods, while written options and written swaptions contributed for both periods; interest rate swaps, inflation swaps and purchased swaptions contributed for the six-month period, but detracted for the 12-month period; futures and credit default swaps detracted for the six-month period, but contributed for the 12-month period.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended February 28, 2018, equities rallied amid strong corporate earnings and robust global growth data. Tax reform in the US propelled stocks higher, before and after the Tax Cuts and Jobs Act was signed into law. However, improving economic data became a cause of concern for investors toward the end of the period, after the US saw its best year-over-year growth rate in wages since June 2009. Investor sentiment was weighed down by fears regarding a potential acceleration in inflation and the risk of the US Federal Reserve tightening monetary policy faster than expected and driving bond yields higher. In February, global equities declined significantly for the first time since early 2016, before recovering modestly.
Global bonds were volatile over the period. Within emerging markets, local-currency debt and corporates rallied on improving oil prices and positive global growth, while higher global rates weighed on hard-currency debt. Investment-grade credit fell, lagging the positive returns of emerging-market local-currency government bonds, developed-market treasuries and global high yield. While developed-market treasury yields generally rose, yields in Italy, Spain and Japan moved in different directions (bond yields move inversely to price).
INVESTMENT POLICIES
The Adviser allocates the Fund’s investments primarily among a number of asset classes, including equity securities, fixed-income securities, and a number of alternative asset classes and alternative investment strategies. The Fund pursues a global strategy, typically investing in securities of issuers located in the United States and in other countries throughout the world, including emerging-market countries. Under normal circumstances, at least 40% of the Fund’s net assets will be invested in securities of non-US issuers.
Equity securities will primarily be large-capitalization securities, but will include small- and mid-capitalization securities to a lesser extent, and will include derivatives related to equity securities. In selecting equity securities for the Fund, the Adviser will use fundamental and quantitative analysis with the goal of generating returns primarily from security selection rather than price movements in equity securities generally.
(continued on next page)
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Fixed-income securities include corporate and sovereign debt securities as well as interest rate derivatives and credit derivatives such as credit default swaps. Fixed-income securities also include debt securities with lower credit ratings (commonly known as “junk bonds”). In selecting fixed-income securities for the Fund, the Adviser will attempt to take advantage of inefficiencies that it believes exist in the global fixed-income markets. These inefficiencies arise from investor behavior, market complexity and the investment limitations to which investors are subject.
Alternative investments include various instruments the returns on which are expected to have low correlation with returns on equity and fixed-income securities, such as commodities and related derivatives, real estate-related securities and inflation-indexed securities. In order to gain exposure to certain alternative investment strategies using various asset classes, the Adviser intends to invest a portion of the Fund’s assets in the AB All Market Alternative Return Portfolio (the “Underlying Portfolio”), a registered investment company advised by the Adviser.
The Adviser will adjust the Fund’s asset class exposure utilizing both fundamental analysis and the Adviser’s Dynamic Asset Allocation (“DAA”) approach. DAA comprises a series of analytical and forecasting tools employed by the Adviser to gauge fluctuations in the risk/return profile of various asset classes. DAA seeks to adjust the Fund’s investment exposure in changing market conditions and thereby reduce overall portfolio volatility by mitigating the effects of market fluctuations, while preserving consistent long-term return potential. For example, the Adviser may seek to reduce the Fund’s risk exposure to one or more assets classes when DAA suggests that market risks relevant to those asset classes are rising but return opportunities are declining. In addition to merely increasing or decreasing asset class exposure by buying or selling securities of that asset class, the Adviser may pursue DAA implementation for the Fund by utilizing derivatives.
The Adviser intends to utilize a variety of derivatives in its management of the Fund. As noted above, the Adviser may use derivatives to gain exposure to various asset classes, and may cause the Fund to enter into derivatives in making the adjustments called for by DAA. As a result of the use of derivatives, the Fund will frequently be leveraged, with net investment exposure substantially in excess of net assets.
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 such exposure to commodities and commodities-related instruments and derivatives primarily through investments in AB All Market
(continued on next page)
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Total Return Portfolio (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 Fund’s foreign currency exposures will come from investment in securities priced or denominated in foreign currencies and from direct holdings in foreign currencies and currency-related derivatives. 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. The Adviser may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives.
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DISCLOSURES AND RISKS
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. The Bloomberg Barclays Global Aggregate Bond Index (USD hedged) represents the performance of global investment-grade developed fixed-income markets. The S&P 500 Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. The Bloomberg Barclays US Aggregate Bond Index represents the performance of securities within the US investment-grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities, and commercial mortgage-backed securities. 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. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. 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 assets will fluctuate as the stock, bond or commodities markets fluctuate. 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. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Allocation Risk: The allocation of investments among different investment styles, such as equity or debt, growth or value, US or non-US securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value (“NAV”) when one of these investments is performing more poorly than another.
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 and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
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DISCLOSURES AND RISKS (continued)
High Yield Debt Securities Risk: Investments in fixed-income securities with lower ratings (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.
Interest Rate Risk: Changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. When interest rates rise, the value of existing 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 heightened interest rate risk due to rising rates as the current period of historically low interest rates may be ending. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
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.
Alternative Investments Risk: Many alternative investments can be volatile and may be illiquid. Their performance may have little correlation with the performance of equity or fixed-income markets, and they may not perform in accordance with expectations.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
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DISCLOSURES AND RISKS (continued)
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: To the extent 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.
Commodity Risk: Investing in commodities and commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by 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.
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 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.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Fund bear both their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies (to the extent these expenses are not waived or reimbursed by the Adviser).
Short Sale Risk: The Fund is subject to short sale risk because it may engage in short sales either directly or indirectly through investment in the Underlying Portfolio. Short sales involve the risk that the Fund or Underlying Portfolio will incur a loss by subsequently buying a security at a higher price than the price at which it sold the security. The amount of such loss
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DISCLOSURES AND RISKS (continued)
is theoretically unlimited, as it will be based on the increase in value of the security sold short. In contrast, the risk of loss from a long position is limited to the Fund’s or Underlying Portfolio’s investment in the security, because the price of the security cannot fall below zero. The Fund or Underlying Portfolio may not always be able to close out a short position on favorable terms.
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 as the prices of the individual securities in which it invests fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report 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. The performance shown for periods prior to April 24, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
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) and 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.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 5.30% | 0.83% | ||||||
5 Years | 5.66% | 4.74% | ||||||
10 Years | 4.38% | 3.92% | ||||||
CLASS B SHARES | ||||||||
1 Year | 4.48% | 0.48% | ||||||
5 Years | 4.88% | 4.88% | ||||||
10 Years1 | 3.77% | 3.77% | ||||||
CLASS C SHARES | ||||||||
1 Year | 4.51% | 3.51% | ||||||
5 Years | 4.89% | 4.89% | ||||||
10 Years | 3.62% | 3.62% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 5.51% | 5.51% | ||||||
5 Years | 5.94% | 5.94% | ||||||
10 Years | 4.66% | 4.66% | ||||||
CLASS R SHARES2 | ||||||||
1 Year | 4.83% | 4.83% | ||||||
5 Years | 5.25% | 5.25% | ||||||
10 Years | 3.99% | 3.99% | ||||||
CLASS K SHARES2 | ||||||||
1 Year | 5.17% | 5.17% | ||||||
5 Years | 5.58% | 5.58% | ||||||
10 Years | 4.31% | 4.31% | ||||||
CLASS I SHARES2 | ||||||||
1 Year | 5.56% | 5.56% | ||||||
5 Years | 5.92% | 5.92% | ||||||
10 Years | 4.65% | 4.65% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.20%, 1.96%, 1.94%, 0.95%, 1.61%, 1.30% and 0.97% for Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios to 1.00%, 1.76%, 1.74%, 0.75%, 1.41%, 1.10% and 0.92% for Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2018. Absent reimbursements or waivers, performance would have been lower. The net and gross expenses shown include the total operating expenses of the Fund and the indirect expenses of the Fund’s Underlying Portfolios, as based upon the allocation of the Fund’s assets among the Underlying Portfolios. The Financial Highlights section of this report sets forth expense ratio data for the current reporting
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(footnotes continued on next page)
HISTORICAL PERFORMANCE (continued)
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.
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | 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. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 0.76% | |||
5 Years | 4.52% | |||
10 Years | 4.01% | |||
CLASS B SHARES | ||||
1 Year | 0.38% | |||
5 Years | 4.64% | |||
10 Years1 | 3.84% | |||
CLASS C SHARES | ||||
1 Year | 3.34% | |||
5 Years | 4.64% | |||
10 Years | 3.70% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 5.41% | |||
5 Years | 5.71% | |||
10 Years | 4.75% | |||
CLASS R SHARES2 | ||||
1 Year | 4.73% | |||
5 Years | 5.01% | |||
10 Years | 4.07% | |||
CLASS K SHARES2 | ||||
1 Year | 5.08% | |||
5 Years | 5.34% | |||
10 Years | 4.39% | |||
CLASS I SHARES2 | ||||
1 Year | 5.46% | |||
5 Years | 5.69% | |||
10 Years | 4.74% |
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | 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. |
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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.
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EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2017 | Ending Account Value February 28, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,001.40 | $ | 3.97 | 0.80 | % | $ | 5.06 | 1.02 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.83 | $ | 4.01 | 0.80 | % | $ | 5.11 | 1.02 | % | ||||||||||||
Class B | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 997.30 | $ | 7.77 | 1.57 | % | $ | 8.86 | 1.79 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.01 | $ | 7.85 | 1.57 | % | $ | 8.95 | 1.79 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 997.70 | $ | 7.68 | 1.55 | % | $ | 8.77 | 1.77 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.11 | $ | 7.75 | 1.55 | % | $ | 8.85 | 1.77 | % | ||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,002.40 | $ | 2.73 | 0.55 | % | $ | 3.82 | 0.77 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.07 | $ | 2.76 | 0.55 | % | $ | 3.86 | 0.77 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 999.60 | $ | 6.00 | 1.21 | % | $ | 7.09 | 1.43 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.79 | $ | 6.06 | 1.21 | % | $ | 7.15 | 1.43 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,000.80 | $ | 4.46 | 0.90 | % | $ | 5.56 | 1.12 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.33 | $ | 4.51 | 0.90 | % | $ | 5.61 | 1.12 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,002.70 | $ | 2.88 | 0.58 | % | $ | 3.97 | 0.80 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.92 | $ | 2.91 | 0.58 | % | $ | 4.01 | 0.80 | % |
* | Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Fund’s investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Fund’s total expenses are equal to the classes’ annualized expense ratio plus the Fund’s pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 15 |
PORTFOLIO SUMMARY
February 28, 2018 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $846.0
1 | All data are as of February 28, 2018. The Fund’s security type breakdown is 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). |
2 | “Other” represents less than 0.1% weightings in the following security types: Asset-Backed Securities, Collateralized Loan Obligations, Local Governments–Regional Bonds, Local Governments–US Municipal Bonds, Mortgage Pass-Throughs, Options Purchased–Calls, Preferred Stocks, Quasi-Sovereigns and Warrants. |
16 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS
February 28, 2018 (unaudited)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
COMMON STOCKS – 48.8% | ||||||||||||
Information Technology – 11.5% | ||||||||||||
Communications Equipment – 0.1% | ||||||||||||
BYD Electronic International Co., Ltd. | 34,500 | $ | 84,753 | |||||||||
Cisco Systems, Inc. | 22,729 | 1,017,805 | ||||||||||
Telefonaktiebolaget LM Ericsson – Class B | 5,344 | 35,749 | ||||||||||
|
| |||||||||||
1,138,307 | ||||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components – 0.7% | ||||||||||||
Amphenol Corp. – Class A | 53,040 | 4,847,325 | ||||||||||
Avnet, Inc. | 9,228 | 394,036 | ||||||||||
Corning, Inc. | 17,810 | 517,915 | ||||||||||
|
| |||||||||||
5,759,276 | ||||||||||||
|
| |||||||||||
Internet Software & Services – 2.2% | ||||||||||||
Alphabet, Inc. – Class A(a) | 490 | 540,921 | ||||||||||
Alphabet, Inc. – Class C(a) | 13,000 | 14,361,490 | ||||||||||
Autohome, Inc. (ADR) | 1,300 | 101,673 | ||||||||||
eBay, Inc.(a) | 16,381 | 702,089 | ||||||||||
Facebook, Inc. – Class A(a) | 8,855 | 1,579,024 | ||||||||||
Mixi, Inc. | 4,800 | 193,615 | ||||||||||
Moneysupermarket.com Group PLC | 309,590 | 1,103,065 | ||||||||||
Tencent Holdings Ltd. | 4,700 | 257,130 | ||||||||||
|
| |||||||||||
18,839,007 | ||||||||||||
|
| |||||||||||
IT Services – 3.9% | ||||||||||||
Accenture PLC – Class A | 1,032 | 166,162 | ||||||||||
Amadeus IT Group SA – Class A | 25,250 | 1,853,750 | ||||||||||
Amdocs Ltd. | 8,637 | 568,228 | ||||||||||
Booz Allen Hamilton Holding Corp. | 40,406 | 1,532,600 | ||||||||||
Capgemini SE | 11,730 | 1,462,088 | ||||||||||
Cognizant Technology Solutions Corp. – Class A | 11,530 | 945,691 | ||||||||||
Fidelity National Information Services, Inc. | 15,090 | 1,466,446 | ||||||||||
Gartner, Inc.(a) | 54,590 | 6,191,052 | ||||||||||
Goodman Networks, Inc.(a)(b)(c)(d) | 3,005 | – 0 | – | |||||||||
Mastercard, Inc. – Class A | 55,290 | 9,717,771 | ||||||||||
Otsuka Corp. | 16,000 | 1,483,144 | ||||||||||
Total System Services, Inc. | 37,050 | 3,258,547 | ||||||||||
Visa, Inc. – Class A | 36,709 | 4,513,004 | ||||||||||
|
| |||||||||||
33,158,483 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment – 0.9% | ||||||||||||
Applied Materials, Inc. | 10,499 | 604,637 | ||||||||||
Intel Corp. | 68,910 | 3,396,574 | ||||||||||
Lam Research Corp. | 2,642 | 506,894 | ||||||||||
Skyworks Solutions, Inc. | 1,928 | 210,634 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 17 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR) | 23,480 | $ | 1,017,858 | |||||||||
Texas Instruments, Inc. | 14,053 | 1,522,643 | ||||||||||
|
| |||||||||||
7,259,240 | ||||||||||||
|
| |||||||||||
Software – 2.4% | ||||||||||||
Adobe Systems, Inc.(a) | 3,771 | 788,629 | ||||||||||
Avaya Holdings Corp.(a) | 11,805 | 247,787 | ||||||||||
BlackBerry Ltd.(a) | 12,900 | 156,525 | ||||||||||
Cadence Design Systems, Inc.(a) | 15,070 | 584,264 | ||||||||||
Check Point Software Technologies Ltd.(a) | 7,200 | 748,008 | ||||||||||
Constellation Software, Inc./Canada | 438 | 283,509 | ||||||||||
Dell Technologies, Inc. – Class V(a) | 5,767 | 428,430 | ||||||||||
Intuit, Inc. | 3,877 | 646,916 | ||||||||||
Microsoft Corp. | 94,406 | 8,852,451 | ||||||||||
NCSoft Corp. | 310 | 107,126 | ||||||||||
Nexon Co., Ltd.(a) | 1,600 | 57,652 | ||||||||||
Nice Ltd. | 16,780 | 1,621,046 | ||||||||||
Oracle Corp. | 51,358 | 2,602,310 | ||||||||||
Oracle Corp. Japan | 24,100 | 1,861,827 | ||||||||||
SAP SE | 10,390 | 1,084,294 | ||||||||||
Trend Micro, Inc./Japan | 4,100 | 231,250 | ||||||||||
|
| |||||||||||
20,302,024 | ||||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals – 1.3% | ||||||||||||
Apple, Inc. | 52,709 | 9,388,527 | ||||||||||
HP, Inc. | 26,150 | 611,648 | ||||||||||
Samsung Electronics Co., Ltd. | 572 | 1,242,996 | ||||||||||
Travelport Worldwide Ltd. | 4,494 | 64,039 | ||||||||||
|
| |||||||||||
11,307,210 | ||||||||||||
|
| |||||||||||
97,763,547 | ||||||||||||
|
| |||||||||||
Financials – 7.9% | ||||||||||||
Banks – 3.4% | ||||||||||||
Bank Leumi Le-Israel BM | 21,350 | 128,689 | ||||||||||
Bank of America Corp. | 11,554 | 370,883 | ||||||||||
Cadence BanCorp | 13,646 | 374,173 | ||||||||||
Citigroup, Inc. | 39,325 | 2,968,644 | ||||||||||
Comerica, Inc. | 6,338 | 616,180 | ||||||||||
DBS Group Holdings Ltd. | 166,700 | 3,582,513 | ||||||||||
DNB ASA | 50,547 | 991,496 | ||||||||||
Hana Financial Group, Inc. | 2,616 | 118,521 | ||||||||||
Hang Seng Bank Ltd. | 38,800 | 961,969 | ||||||||||
Industrial Bank of Korea | 8,256 | 130,616 | ||||||||||
JPMorgan Chase & Co. | 11,335 | 1,309,192 | ||||||||||
Jyske Bank A/S | 67,202 | 3,965,990 | ||||||||||
KB Financial Group, Inc. | 2,218 | 130,876 | ||||||||||
KBC Group NV | 6,330 | 593,136 |
18 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Mitsubishi UFJ Financial Group, Inc. | 233,200 | $ | 1,642,577 | |||||||||
National Australia Bank Ltd. | 31,800 | 739,197 | ||||||||||
Oversea-Chinese Banking Corp., Ltd. | 111,100 | 1,087,186 | ||||||||||
PNC Financial Services Group, Inc. (The) | 4,543 | 716,249 | ||||||||||
Raiffeisen Bank International AG(a) | 7,822 | 303,056 | ||||||||||
Royal Bank of Canada | 20,670 | 1,628,375 | ||||||||||
Toronto-Dominion Bank (The) | 32,189 | 1,856,286 | ||||||||||
Wells Fargo & Co. | 70,720 | 4,130,755 | ||||||||||
Woori Bank | 8,308 | 126,794 | ||||||||||
|
| |||||||||||
28,473,353 | ||||||||||||
|
| |||||||||||
Capital Markets – 2.8% | ||||||||||||
BlackRock, Inc. – Class A | 3,605 | 1,980,695 | ||||||||||
Charles Schwab Corp. (The) | 153,170 | 8,121,073 | ||||||||||
China Everbright Ltd. | 54,000 | 117,783 | ||||||||||
China Huarong Asset Management Co., Ltd.(e) | 59,000 | 26,626 | ||||||||||
CI Financial Corp.(f) | 5,061 | 112,563 | ||||||||||
CME Group, Inc. – Class A | 10,702 | 1,778,244 | ||||||||||
Daiwa Securities Group, Inc. | 33,000 | 219,378 | ||||||||||
IG Group Holdings PLC | 83,430 | 925,693 | ||||||||||
Intercontinental Exchange, Inc. | 12,100 | 884,268 | ||||||||||
Julius Baer Group Ltd. | 37,158 | 2,413,523 | ||||||||||
Kingston Financial Group Ltd.(f) | 114,000 | 68,631 | ||||||||||
London Stock Exchange Group PLC | 16,630 | 918,167 | ||||||||||
Morgan Stanley | 12,618 | 706,860 | ||||||||||
Partners Group Holding AG | 1,810 | 1,311,854 | ||||||||||
S&P Global, Inc. | 3,626 | 695,467 | ||||||||||
Singapore Exchange Ltd. | 475,800 | 2,696,066 | ||||||||||
Thomson Reuters Corp. | 27,930 | 1,100,484 | ||||||||||
|
| |||||||||||
24,077,375 | ||||||||||||
|
| |||||||||||
Consumer Finance – 0.1% | ||||||||||||
American Express Co. | 6,991 | 681,692 | ||||||||||
Discover Financial Services | 1,098 | 86,555 | ||||||||||
Samsung Card Co., Ltd. | 3,450 | 115,854 | ||||||||||
|
| |||||||||||
884,101 | ||||||||||||
|
| |||||||||||
Diversified Financial Services – 0.3% | ||||||||||||
Berkshire Hathaway, Inc. – Class B(a) | 620 | 128,464 | ||||||||||
Cielo SA | 207,800 | 1,548,148 | ||||||||||
Industrivarden AB – Class C | 11,963 | 285,381 | ||||||||||
iPayment Holdings, Inc.(b)(c)(d) | 145,780 | 102,046 | ||||||||||
Kinnevik AB | 8,896 | 324,675 | ||||||||||
|
| |||||||||||
2,388,714 | ||||||||||||
|
| |||||||||||
Insurance – 1.3% | ||||||||||||
Aflac, Inc. | 1,779 | 158,118 | ||||||||||
Allianz SE (REG) | 2,410 | 559,822 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 19 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Arthur J Gallagher & Co. | 10,710 | $ | 740,168 | |||||||||
Direct Line Insurance Group PLC | 112,960 | 594,074 | ||||||||||
Everest Re Group Ltd. | 2,720 | 653,453 | ||||||||||
FNF Group | 41,198 | 1,645,036 | ||||||||||
Japan Post Holdings Co., Ltd. | 20,000 | 240,997 | ||||||||||
Marsh & McLennan Cos., Inc. | 18,470 | 1,533,379 | ||||||||||
Ping An Insurance Group Co. of China Ltd. – Class H | 13,000 | 136,933 | ||||||||||
Progressive Corp. (The) | 10,912 | 628,313 | ||||||||||
Prudential Financial, Inc. | 3,847 | 409,013 | ||||||||||
Swiss Re AG | 21,350 | 2,172,246 | ||||||||||
Travelers Cos., Inc. (The) | 2,211 | 307,329 | ||||||||||
Tryg A/S | 41,710 | 989,298 | ||||||||||
|
| |||||||||||
10,768,179 | ||||||||||||
|
| |||||||||||
66,591,722 | ||||||||||||
|
| |||||||||||
Consumer Discretionary – 7.5% | ||||||||||||
Auto Components – 0.8% | ||||||||||||
Aptiv PLC | 59,950 | 5,475,233 | ||||||||||
Autoliv, Inc. | 5,215 | 748,040 | ||||||||||
Faurecia SA | 750 | 62,708 | ||||||||||
|
| |||||||||||
6,285,981 | ||||||||||||
|
| |||||||||||
Automobiles – 0.1% | ||||||||||||
Fiat Chrysler Automobiles NV(a) | 14,386 | 303,661 | ||||||||||
Geely Automobile Holdings Ltd. | 42,000 | 134,760 | ||||||||||
Mazda Motor Corp. | 16,000 | 221,703 | ||||||||||
|
| |||||||||||
660,124 | ||||||||||||
|
| |||||||||||
Diversified Consumer Services – 0.7% | ||||||||||||
Benesse Holdings, Inc. | 5,900 | 211,195 | ||||||||||
Laureate Education, Inc. – Class A(a) | 6,633 | 88,683 | ||||||||||
Service Corp. International/US | 116,500 | 4,360,595 | ||||||||||
Sotheby’s(a) | 32,916 | 1,520,061 | ||||||||||
|
| |||||||||||
6,180,534 | ||||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure – 2.1% | ||||||||||||
Aristocrat Leisure Ltd. | 108,130 | 2,055,584 | ||||||||||
Caesars Entertainment Corp.(a) | 5,492 | 69,748 | ||||||||||
Compass Group PLC | 84,247 | 1,789,843 | ||||||||||
eDreams ODIGEO SA(a) | 29,487 | 191,742 | ||||||||||
Hilton Worldwide Holdings, Inc. | 5,630 | 454,848 | ||||||||||
McDonald’s Corp. | 11,548 | 1,821,581 | ||||||||||
OPAP SA | 23,301 | 284,557 | ||||||||||
Starbucks Corp. | 180,924 | 10,330,761 | ||||||||||
Yum! Brands, Inc. | 7,398 | 602,049 | ||||||||||
|
| |||||||||||
17,600,713 | ||||||||||||
|
|
20 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Household Durables – 0.3% | ||||||||||||
Auto Trader Group PLC(e) | 199,630 | $ | 1,001,109 | |||||||||
Electrolux AB – Class B | 9,958 | 326,921 | ||||||||||
Hovnanian Enterprises, Inc. – Class A(a) | 7,965 | 17,364 | ||||||||||
LG Electronics, Inc. | 1,296 | 119,185 | ||||||||||
Persimmon PLC | 24,150 | 863,326 | ||||||||||
|
| |||||||||||
2,327,905 | ||||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail – 1.0% | ||||||||||||
Amazon.com, Inc.(a) | 1,166 | 1,763,517 | ||||||||||
Booking Holdings, Inc.(a) | 3,342 | 6,797,761 | ||||||||||
|
| |||||||||||
8,561,278 | ||||||||||||
|
| |||||||||||
Leisure Products – 0.0% | ||||||||||||
Sega Sammy Holdings, Inc. | 17,400 | 252,422 | ||||||||||
|
| |||||||||||
Media – 0.6% | ||||||||||||
Charter Communications, Inc. – Class A(a) | 193 | 65,992 | ||||||||||
Clear Channel Outdoor Holdings, Inc. – Class A | 7,440 | 35,712 | ||||||||||
Comcast Corp. – Class A | 51,528 | 1,865,829 | ||||||||||
CTS Eventim AG & Co. KGaA | 14,280 | 693,273 | ||||||||||
Daiichikosho Co., Ltd. | 11,900 | 635,664 | ||||||||||
DISH Network Corp. – Class A(a) | 609 | 25,389 | ||||||||||
Gray Television, Inc.(a) | 3,317 | 45,775 | ||||||||||
Liberty Global PLC – Class A(a) | 14,293 | 445,084 | ||||||||||
Nexstar Media Group, Inc. – Class A | 979 | 69,950 | ||||||||||
Omnicom Group, Inc. | 8,800 | 670,824 | ||||||||||
Sirius XM Holdings, Inc.(f) | 68,950 | 433,006 | ||||||||||
Townsquare Media, Inc. – Class A(a) | 4,361 | 30,353 | ||||||||||
|
| |||||||||||
5,016,851 | ||||||||||||
|
| |||||||||||
Multiline Retail – 0.0% | ||||||||||||
Takashimaya Co., Ltd. | 14,000 | 141,961 | ||||||||||
|
| |||||||||||
Specialty Retail – 1.4% | ||||||||||||
AutoZone, Inc.(a) | 1,580 | 1,050,258 | ||||||||||
Best Buy Co., Inc. | 8,042 | 582,562 | ||||||||||
Home Depot, Inc. (The) | 8,051 | 1,467,456 | ||||||||||
Ross Stores, Inc. | 22,007 | 1,718,527 | ||||||||||
TJX Cos., Inc. (The) | 14,540 | 1,202,167 | ||||||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 29,678 | 6,035,021 | ||||||||||
|
| |||||||||||
12,055,991 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||||||
HUGO BOSS AG | 12,266 | 1,091,791 | ||||||||||
Moncler SpA | 18,390 | 638,205 | ||||||||||
NIKE, Inc. – Class B | 29,060 | 1,947,892 | ||||||||||
Ralph Lauren Corp. | 3,350 | 354,564 | ||||||||||
|
| |||||||||||
4,032,452 | ||||||||||||
|
| |||||||||||
63,116,212 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 21 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Health Care – 7.0% | ||||||||||||
Biotechnology – 1.5% | ||||||||||||
Amgen, Inc. | 4,326 | $ | 794,989 | |||||||||
Biogen, Inc.(a) | 8,129 | 2,349,199 | ||||||||||
Celgene Corp.(a) | 56,822 | 4,950,332 | ||||||||||
CSL Ltd. | 2,520 | 317,366 | ||||||||||
Gilead Sciences, Inc. | 53,551 | 4,216,071 | ||||||||||
Grifols SA | 10,248 | 280,192 | ||||||||||
|
| |||||||||||
12,908,149 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies – 1.7% | ||||||||||||
Abbott Laboratories | 157,899 | 9,526,047 | ||||||||||
Cochlear Ltd. | 1,896 | 269,095 | ||||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 26,080 | 258,629 | ||||||||||
Hoya Corp. | 4,600 | 241,846 | ||||||||||
Straumann Holding AG | 433 | 291,684 | ||||||||||
West Pharmaceutical Services, Inc. | 43,201 | 3,767,991 | ||||||||||
|
| |||||||||||
14,355,292 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services – 1.9% | ||||||||||||
Anthem, Inc. | 36,479 | 8,586,426 | ||||||||||
Centene Corp.(a) | 3,889 | 394,422 | ||||||||||
Community Health Systems, Inc.(a)(f) | 5,242 | 26,839 | ||||||||||
Humana, Inc. | 2,281 | 620,021 | ||||||||||
LifePoint Health, Inc.(a) | 1,006 | 46,377 | ||||||||||
McKesson Corp. | 400 | 59,692 | ||||||||||
Quorum Health Corp.(a) | 458 | 2,721 | ||||||||||
Tenet Healthcare Corp.(a)(f) | 2,448 | 50,429 | ||||||||||
UnitedHealth Group, Inc. | 27,759 | 6,277,976 | ||||||||||
|
| |||||||||||
16,064,903 | ||||||||||||
|
| |||||||||||
Life Sciences Tools & Services – 0.4% | ||||||||||||
IQVIA Holdings, Inc.(a) | 35,437 | 3,484,520 | ||||||||||
|
| |||||||||||
Pharmaceuticals – 1.5% | ||||||||||||
Eli Lilly & Co. | 1,629 | 125,466 | ||||||||||
Endo International PLC(a) | 3,078 | 19,407 | ||||||||||
Horizon Pharma PLC(a) | 1,435 | 20,922 | ||||||||||
Johnson & Johnson | 6,160 | 800,061 | ||||||||||
Merck & Co., Inc. | 24,672 | 1,337,716 | ||||||||||
Novo Nordisk A/S – Class B | 7,325 | 378,929 | ||||||||||
Pfizer, Inc. | 41,831 | 1,518,884 | ||||||||||
Roche Holding AG | 9,795 | 2,262,449 | ||||||||||
Shire PLC | 23,650 | 1,007,943 | ||||||||||
Valeant Pharmaceuticals International, Inc.(a) | 11,726 | 191,991 | ||||||||||
Zoetis, Inc. | 63,705 | 5,151,186 | ||||||||||
|
| |||||||||||
12,814,954 | ||||||||||||
|
| |||||||||||
59,627,818 | ||||||||||||
|
|
22 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Industrials – 5.4% | ||||||||||||
Aerospace & Defense – 0.8% | ||||||||||||
Boeing Co. (The) | 9,973 | $ | 3,612,320 | |||||||||
L3 Technologies, Inc. | 3,120 | 647,556 | ||||||||||
Raytheon Co. | 10,620 | 2,309,956 | ||||||||||
Safran SA | 3,122 | 344,481 | ||||||||||
|
| |||||||||||
6,914,313 | ||||||||||||
|
| |||||||||||
Air Freight & Logistics – 0.1% | ||||||||||||
CH Robinson Worldwide, Inc. | 9,761 | 911,287 | ||||||||||
|
| |||||||||||
Airlines – 0.3% | ||||||||||||
ANA Holdings, Inc. | 5,400 | 216,265 | ||||||||||
Delta Air Lines, Inc. | 10,246 | 552,259 | ||||||||||
Deutsche Lufthansa AG (REG) | 8,921 | 297,873 | ||||||||||
Japan Airlines Co., Ltd. | 5,500 | 209,617 | ||||||||||
Qantas Airways Ltd. | 205,867 | 937,092 | ||||||||||
|
| |||||||||||
2,213,106 | ||||||||||||
|
| |||||||||||
Building Products – 0.6% | ||||||||||||
Allegion PLC | 57,458 | 4,832,792 | ||||||||||
|
| |||||||||||
Commercial Services & Supplies – 0.6% | ||||||||||||
Republic Services, Inc. – Class A | 7,850 | 527,363 | ||||||||||
Secom Co., Ltd. | 38,300 | 2,739,171 | ||||||||||
Stericycle, Inc.(a) | 28,077 | 1,759,586 | ||||||||||
Toppan Printing Co., Ltd. | 24,000 | 205,028 | ||||||||||
|
| |||||||||||
5,231,148 | ||||||||||||
|
| |||||||||||
Construction & Engineering – 0.0% | ||||||||||||
Modular Space Corp.(b)(g) | 5,852 | 99,853 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.0% | ||||||||||||
Exide Technologies(a)(b)(d)(h) | 2,460 | 9,686 | ||||||||||
Exide Technologies/Old(a)(b)(d)(h) | 1,244 | 4,898 | ||||||||||
|
| |||||||||||
14,584 | ||||||||||||
|
| |||||||||||
Industrial Conglomerates – 0.1% | ||||||||||||
CITIC Ltd. | 85,000 | 123,031 | ||||||||||
Honeywell International, Inc. | 4,941 | 746,634 | ||||||||||
|
| |||||||||||
869,665 | ||||||||||||
|
| |||||||||||
Machinery – 0.9% | ||||||||||||
Caterpillar, Inc. | 4,417 | 683,001 | ||||||||||
Dover Corp. | 39,560 | 3,959,956 | ||||||||||
Hyundai Heavy Industries Co., Ltd.(a) | 1,000 | 120,269 | ||||||||||
Kone Oyj – Class B(f) | 55,610 | 2,879,739 | ||||||||||
|
| |||||||||||
7,642,965 | ||||||||||||
|
| |||||||||||
Marine – 0.0% | ||||||||||||
Mitsui OSK Lines Ltd. | 6,200 | 193,189 | ||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 23 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Professional Services – 1.6% | ||||||||||||
Intertek Group PLC | 20,350 | $ | 1,372,244 | |||||||||
RELX NV | 172,560 | 3,539,676 | ||||||||||
Verisk Analytics, Inc. – Class A(a) | 73,790 | 7,540,600 | ||||||||||
Wolters Kluwer NV | 24,770 | 1,254,697 | ||||||||||
|
| |||||||||||
13,707,217 | ||||||||||||
|
| |||||||||||
Road & Rail – 0.2% | ||||||||||||
ALD SA(a)(e)(f) | 64,467 | 1,052,169 | ||||||||||
Central Japan Railway Co. | 1,300 | 241,459 | ||||||||||
DSV A/S | 4,095 | 320,737 | ||||||||||
|
| |||||||||||
1,614,365 | ||||||||||||
|
| |||||||||||
Trading Companies & Distributors – 0.1% | ||||||||||||
Emeco Holdings Ltd.(a) | 38,973 | 8,908 | ||||||||||
HD Supply Holdings, Inc.(a) | 15,110 | 547,737 | ||||||||||
Sumitomo Corp. | 13,700 | 240,325 | ||||||||||
|
| |||||||||||
796,970 | ||||||||||||
|
| |||||||||||
Transportation Infrastructure – 0.1% | ||||||||||||
Flughafen Zurich AG | 4,290 | 1,018,537 | ||||||||||
|
| |||||||||||
46,059,991 | ||||||||||||
|
| |||||||||||
Consumer Staples – 3.4% | ||||||||||||
Beverages – 0.5% | ||||||||||||
Diageo PLC | 59,035 | 2,003,089 | ||||||||||
PepsiCo, Inc. | 18,540 | 2,034,394 | ||||||||||
Royal Unibrew A/S | 9,760 | 598,900 | ||||||||||
|
| |||||||||||
4,636,383 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing – 0.5% | ||||||||||||
Costco Wholesale Corp. | 3,741 | 714,157 | ||||||||||
CVS Health Corp. | 22,620 | 1,532,053 | ||||||||||
J Sainsbury PLC | 117,300 | 416,972 | ||||||||||
Kroger Co. (The) | 21,055 | 571,012 | ||||||||||
Wal-Mart de Mexico SAB de CV | 15,470 | 36,207 | ||||||||||
Walmart, Inc. | 13,828 | 1,244,658 | ||||||||||
|
| |||||||||||
4,515,059 | ||||||||||||
|
| |||||||||||
Food Products – 1.2% | ||||||||||||
Danone SA | 8,516 | 679,206 | ||||||||||
Hershey Co. (The) | 55,980 | 5,500,595 | ||||||||||
Salmar ASA | 58,960 | 2,096,127 | ||||||||||
Tyson Foods, Inc. – Class A | 23,909 | 1,778,351 | ||||||||||
|
| |||||||||||
10,054,279 | ||||||||||||
|
| |||||||||||
Household Products – 0.2% | ||||||||||||
Kimberly-Clark Corp. | 536 | 59,453 | ||||||||||
Procter & Gamble Co. (The) | 20,270 | 1,591,601 | ||||||||||
|
| |||||||||||
1,651,054 | ||||||||||||
|
|
24 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Personal Products – 0.5% | ||||||||||||
L’Oreal SA | 14,388 | $ | 3,093,704 | |||||||||
Unilever PLC | 13,750 | 706,999 | ||||||||||
|
| |||||||||||
3,800,703 | ||||||||||||
|
| |||||||||||
Tobacco – 0.5% | ||||||||||||
Altria Group, Inc. | 11,523 | 725,373 | ||||||||||
British American Tobacco PLC | 32,034 | 1,890,725 | ||||||||||
Philip Morris International, Inc. | 16,056 | 1,662,599 | ||||||||||
|
| |||||||||||
4,278,697 | ||||||||||||
|
| |||||||||||
28,936,175 | ||||||||||||
|
| |||||||||||
Materials – 1.7% | ||||||||||||
Chemicals – 1.4% | ||||||||||||
Air Products & Chemicals, Inc. | 3,778 | 607,465 | ||||||||||
BASF SE | 24,758 | 2,586,457 | ||||||||||
Covestro AG(e) | 2,857 | 322,299 | ||||||||||
Croda International PLC | 27,770 | 1,757,183 | ||||||||||
Ecolab, Inc. | 45,860 | 5,982,437 | ||||||||||
LyondellBasell Industries NV – Class A | 5,429 | 587,526 | ||||||||||
|
| |||||||||||
11,843,367 | ||||||||||||
|
| |||||||||||
Containers & Packaging – 0.2% | ||||||||||||
Amcor Ltd./Australia | 111,780 | 1,198,218 | ||||||||||
|
| |||||||||||
Metals & Mining – 0.1% | ||||||||||||
Anglo American PLC | 4,613 | 111,720 | ||||||||||
Artsonig Pty Ltd.(b)(c)(d) | 51,133 | 5,113 | ||||||||||
Constellium NV – Class A(a) | 8,996 | 104,354 | ||||||||||
Freeport-McMoRan, Inc.(a) | 21,871 | 406,801 | ||||||||||
Jastrzebska Spolka Weglowa SA(a) | 4,100 | 109,822 | ||||||||||
Lundin Mining Corp. | 36,103 | 234,928 | ||||||||||
Neenah Enterprises, Inc.(a)(b)(c)(d) | 10,896 | 58,076 | ||||||||||
|
| |||||||||||
1,030,814 | ||||||||||||
|
| |||||||||||
14,072,399 | ||||||||||||
|
| |||||||||||
Telecommunication Services – 1.6% | ||||||||||||
Diversified Telecommunication Services – 0.6% | ||||||||||||
HKT Trust & HKT Ltd. – Class SS | 1,630,000 | 2,076,579 | ||||||||||
Nippon Telegraph & Telephone Corp. | 42,500 | 1,973,981 | ||||||||||
Telenor ASA | 41,730 | 936,482 | ||||||||||
|
| |||||||||||
4,987,042 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Services – 1.0% | ||||||||||||
China Mobile Ltd. | 132,000 | 1,229,320 | ||||||||||
KDDI Corp. | 177,200 | 4,351,548 | ||||||||||
MTN Group Ltd. | 297,608 | 3,224,339 | ||||||||||
|
| |||||||||||
8,805,207 | ||||||||||||
|
| |||||||||||
13,792,249 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 25 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Energy – 1.6% | ||||||||||||
Energy Equipment & Services – 0.1% | ||||||||||||
Schlumberger Ltd. | 7,100 | $ | 466,044 | |||||||||
TechnipFMC PLC | 12,157 | 350,365 | ||||||||||
|
| |||||||||||
816,409 | ||||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels – 1.5% | ||||||||||||
Berry Petroleum Corp.(a)(b)(c) | 5,356 | 48,204 | ||||||||||
BP PLC | 76,204 | 495,307 | ||||||||||
Caltex Australia Ltd. | 8,837 | 239,546 | ||||||||||
CHC Group LLC(a)(h) | 2,966 | 22,245 | ||||||||||
Chesapeake Energy Corp.(a)(f) | 13,075 | 36,872 | ||||||||||
ConocoPhillips | 19,020 | 1,032,976 | ||||||||||
EP Energy Corp. – Class A(a)(f) | 6,082 | 9,184 | ||||||||||
Exxon Mobil Corp. | 10,285 | 778,986 | ||||||||||
Halcon Resources Corp.(a) | 670 | 4,054 | ||||||||||
K2016470219 South Africa Ltd. – A Shares(a)(b)(c)(d) | 465,862 | – 0 | – | |||||||||
K2016470219 South Africa Ltd. – B Shares(a)(b)(c)(d) | 73,623 | – 0 | – | |||||||||
Linn Energy, Inc. | 213 | 8,307 | ||||||||||
LUKOIL PJSC (Sponsored ADR) | 28,987 | 1,924,737 | ||||||||||
Marathon Petroleum Corp. | 8,010 | 513,121 | ||||||||||
Neste Oyj | 506 | 37,047 | ||||||||||
Oasis Petroleum, Inc.(a) | 1,937 | 15,264 | ||||||||||
Paragon Litigation – Class A(b)(c) | 649 | 687 | ||||||||||
Paragon Litigation – Class B(b)(c) | 974 | 29,829 | ||||||||||
Paragon Offshore Ltd.(b)(c) | 649 | 25,700 | ||||||||||
Peabody Energy Corp. | 3,886 | 158,199 | ||||||||||
Phillips 66 | 6,146 | 555,414 | ||||||||||
Royal Dutch Shell PLC – Class A | 16,051 | 506,908 | ||||||||||
Royal Dutch Shell PLC – Class B | 128,128 | 4,064,117 | ||||||||||
SandRidge Energy, Inc.(a) | 1,407 | 19,782 | ||||||||||
Suncor Energy, Inc. (Toronto) | 7,420 | 244,249 | ||||||||||
Tervita Corp.(b)(c) | 1,456 | 10,212 | ||||||||||
TOTAL SA | 18,664 | 1,061,585 | ||||||||||
Triangle Petroleum Corp.(a) | 7,408 | 207 | ||||||||||
Valero Energy Corp. | 5,856 | 529,500 | ||||||||||
Vantage Drilling International(a)(b)(c) | 200 | 43,200 | ||||||||||
Whiting Petroleum Corp.(a) | 2,269 | 61,739 | ||||||||||
|
| |||||||||||
12,477,178 | ||||||||||||
|
| |||||||||||
13,293,587 | ||||||||||||
|
| |||||||||||
Utilities – 0.8% | ||||||||||||
Electric Utilities – 0.3% | ||||||||||||
Enel Americas SA (Sponsored ADR) | 82,720 | 944,662 | ||||||||||
Enel Chile SA (ADR) | 132,408 | 810,337 | ||||||||||
Power Assets Holdings Ltd. | 16,500 | 139,988 |
26 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Tokyo Electric Power Co. Holdings, Inc.(a) | 57,500 | $ | 219,972 | |||||||||
|
| |||||||||||
2,114,959 | ||||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||||||
Vistra Energy Corp.(a) | 30,304 | 574,261 | ||||||||||
|
| |||||||||||
Multi-Utilities – 0.0% | ||||||||||||
Centrica PLC | 199,525 | 391,461 | ||||||||||
|
| |||||||||||
Water Utilities – 0.4% | ||||||||||||
Guangdong Investment Ltd. | 2,200,000 | 3,354,250 | ||||||||||
|
| |||||||||||
6,434,931 | ||||||||||||
|
| |||||||||||
Real Estate – 0.4% | ||||||||||||
Equity Real Estate Investment Trusts (REITs) – 0.2% | ||||||||||||
HCP, Inc. | 15,670 | 339,099 | ||||||||||
Lamar Advertising Co. – Class A | 7,550 | 501,848 | ||||||||||
Weyerhaeuser Co. | 17,364 | 608,261 | ||||||||||
|
| |||||||||||
1,449,208 | ||||||||||||
|
| |||||||||||
Real Estate Management & Development – 0.2% | ||||||||||||
Agile Group Holdings Ltd. | 70,000 | 119,372 | ||||||||||
CBRE Group, Inc. – Class A(a) | 34,261 | 1,601,702 | ||||||||||
Country Garden Holdings Co., Ltd. | 39,000 | 69,263 | ||||||||||
Sunac China Holdings Ltd. | 30,000 | 108,146 | ||||||||||
|
| |||||||||||
1,898,483 | ||||||||||||
|
| |||||||||||
3,347,691 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 413,036,322 | |||||||||||
|
| |||||||||||
INVESTMENT COMPANIES – 29.8% | ||||||||||||
Funds and Investment Trusts – 29.8%(i) | ||||||||||||
AB Cap Fund, Inc. – AB All Market Alternative Return Portfolio – Class ADV(a)(j) | 22,669,422 | 177,728,268 | ||||||||||
iShares Russell 2000 ETF(f) | 591 | 88,857 | ||||||||||
Vanguard FTSE Emerging Markets ETF | 367,209 | 17,321,249 | ||||||||||
Vanguard Global ex-U.S. Real Estate ETF | 509,143 | 30,202,363 | ||||||||||
Vanguard Real Estate ETF | 361,407 | 26,509,203 | ||||||||||
|
| |||||||||||
Total Investment Companies | 251,849,940 | |||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 27 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CORPORATES – NON-INVESTMENT GRADE – 7.0% | ||||||||||||
Industrial – 5.6% | ||||||||||||
Basic – 0.6% | ||||||||||||
AK Steel Corp. | U.S.$ | 133 | $ | 135,373 | ||||||||
7.625%, 10/01/21(f) | 71 | 73,694 | ||||||||||
Aleris International, Inc. | 150 | 148,085 | ||||||||||
ArcelorMittal | 124 | 150,946 | ||||||||||
7.25%, 10/15/39 | 200 | 247,337 | ||||||||||
Artsonig Pty Ltd. | 185 | – 0 | – | |||||||||
CF Industries, Inc. | 78 | 75,500 | ||||||||||
5.375%, 3/15/44 | 53 | 49,915 | ||||||||||
Cleveland-Cliffs, Inc. | 212 | 205,591 | ||||||||||
Commercial Metals Co. | 140 | 141,224 | ||||||||||
Constellium NV | 250 | 252,443 | ||||||||||
5.875%, 2/15/26(e) | 250 | 252,560 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI | 102 | 100,467 | ||||||||||
ERP Iron Ore, LLC | 19 | 19,323 | ||||||||||
Freeport-McMoRan, Inc. | 74 | 73,670 | ||||||||||
3.55%, 3/01/22 | 204 | 198,637 | ||||||||||
3.875%, 3/15/23 | 186 | 180,283 | ||||||||||
6.75%, 2/01/22 | 79 | 81,158 | ||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd. | 128 | 133,987 | ||||||||||
Joseph T Ryerson & Son, Inc. | 385 | 428,566 | ||||||||||
Lundin Mining Corp. | 133 | 140,569 | ||||||||||
Magnetation LLC/Mag Finance Corp. | 146 | 1 | ||||||||||
Momentive Performance Materials, Inc. | 114 | 118,809 | ||||||||||
8.875%, 10/15/20(a)(b)(d)(h) | 114 | – 0 | – |
28 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Multi-Color Corp. | U.S.$ | 127 | $ | 121,989 | ||||||||
NOVA Chemicals Corp. | 167 | 164,531 | ||||||||||
Pactiv LLC | 100 | 112,363 | ||||||||||
Peabody Energy Corp. | 240 | 13,138 | ||||||||||
Plastipak Holdings, Inc. | 102 | 104,040 | ||||||||||
PQ Corp. | 37 | 37,608 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu | 152 | 154,887 | ||||||||||
Sealed Air Corp. | 170 | 192,088 | ||||||||||
SPCM SA | 142 | 139,744 | ||||||||||
Steel Dynamics, Inc. | 11 | 10,828 | ||||||||||
Teck Resources Ltd. | 88 | 84,911 | ||||||||||
5.40%, 2/01/43 | 79 | 77,706 | ||||||||||
8.50%, 6/01/24(e) | 10 | 11,046 | ||||||||||
United States Steel Corp. | 139 | 145,843 | ||||||||||
8.375%, 7/01/21(e) | 82 | 88,470 | ||||||||||
Valvoline, Inc. | 17 | 17,492 | ||||||||||
W.R. Grace & Co.-Conn | 23 | 23,714 | ||||||||||
|
| |||||||||||
4,708,536 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.3% | ||||||||||||
Apex Tool Group LLC | 61 | 61,698 | ||||||||||
ARD Finance SA | 200 | 207,998 | ||||||||||
ARD Securities Finance SARL | 200 | 207,998 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 191 | 190,944 | ||||||||||
4.625%, 5/15/23(e) | 43 | 42,559 | ||||||||||
7.25%, 5/15/24(e) | 7 | 7,590 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 29 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
B456 Systems, Inc. | U.S.$ | 50 | $ | 3,899 | ||||||||
Ball Corp. | 88 | 89,833 | ||||||||||
5.00%, 3/15/22 | 142 | 147,743 | ||||||||||
Bombardier, Inc. | 364 | 361,958 | ||||||||||
6.125%, 1/15/23(e) | 14 | 14,032 | ||||||||||
8.75%, 12/01/21(e) | 4 | 4,269 | ||||||||||
BWAY Holding Co. | 140 | 144,728 | ||||||||||
Clean Harbors, Inc. | 120 | 120,875 | ||||||||||
5.25%, 8/01/20 | 10 | 9,817 | ||||||||||
Cleaver-Brooks, Inc. | 65 | 68,623 | ||||||||||
EnPro Industries, Inc. | 61 | 63,292 | ||||||||||
Gates Global LLC/Gates Global Co. | 49 | 50,158 | ||||||||||
GFL Environmental, Inc. | 195 | 199,157 | ||||||||||
9.875%, 2/01/21(e) | 69 | 72,511 | ||||||||||
Jefferson Smurfit Corp./US | 118 | – 0 | – | |||||||||
Jeld-Wen, Inc. | 17 | 16,597 | ||||||||||
4.875%, 12/15/27(e) | 23 | 22,344 | ||||||||||
KLX, Inc. | 60 | 62,151 | ||||||||||
Owens-Brockway Glass Container, Inc. | 47 | 48,413 | ||||||||||
Smurfit-Stone Container Enterprises, Inc. | 122 | – 0 | – | |||||||||
TransDigm, Inc. | 145 | 149,540 | ||||||||||
Waste Pro USA, Inc. | 104 | 104,579 | ||||||||||
|
| |||||||||||
2,473,306 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.7% | ||||||||||||
Altice Financing SA | 162 | 161,913 | ||||||||||
7.50%, 5/15/26(e) | 285 | 287,172 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 223 | 221,453 |
30 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
5.25%, 9/30/22 | U.S.$ | 15 | $ | 15,135 | ||||||||
5.375%, 5/01/25(e) | 30 | 29,933 | ||||||||||
5.875%, 5/01/27(e) | 48 | 48,941 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | 200 | 213,228 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 98 | 100,942 | ||||||||||
Series B | 122 | 125,269 | ||||||||||
CSC Holdings LLC | 200 | 195,022 | ||||||||||
6.625%, 10/15/25(e) | 6 | 6,706 | ||||||||||
7.625%, 7/15/18 | 122 | 123,903 | ||||||||||
10.125%, 1/15/23(e) | 236 | 264,281 | ||||||||||
DISH DBS Corp. | 28 | 26,043 | ||||||||||
6.75%, 6/01/21 | 49 | 50,348 | ||||||||||
7.75%, 7/01/26 | 317 | 312,610 | ||||||||||
Gray Television, Inc. | 150 | 146,998 | ||||||||||
5.875%, 7/15/26(e) | 85 | 84,187 | ||||||||||
iHeartCommunications, Inc. | 121 | 34,685 | ||||||||||
9.00%, 12/15/19-9/15/22 | 410 | 324,708 | ||||||||||
11.25%, 3/01/21(e) | 25 | 18,690 | ||||||||||
Lamar Media Corp. | 14 | 14,448 | ||||||||||
McClatchy Co. (The) | 78 | 81,247 | ||||||||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance | 69 | 66,816 | ||||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp. | 115 | 117,729 | ||||||||||
Meredith Corp. | 86 | 88,638 | ||||||||||
MHGE Parent LLC/MHGE Parent Finance, Inc. | 64 | 63,623 | ||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp. | 18 | 17,719 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 31 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Netflix, Inc. | U.S.$ | 336 | $ | 330,056 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc. | 43 | 40,752 | ||||||||||
6.875%, 2/15/23(e) | 60 | 59,750 | ||||||||||
RR Donnelley & Sons Co. | 70 | 73,632 | ||||||||||
SFR Group SA | 165 | 160,350 | ||||||||||
7.375%, 5/01/26(e) | 450 | 433,499 | ||||||||||
Sinclair Television Group, Inc. | 150 | 144,399 | ||||||||||
6.125%, 10/01/22 | 41 | 42,404 | ||||||||||
TEGNA, Inc. | 111 | 111,835 | ||||||||||
5.125%, 7/15/20 | 62 | 62,619 | ||||||||||
Townsquare Media, Inc. | 35 | 33,477 | ||||||||||
Univision Communications, Inc. | 232 | 214,732 | ||||||||||
UPC Holding BV | 217 | 203,960 | ||||||||||
Urban One, Inc. | 168 | 169,891 | ||||||||||
9.25%, 2/15/20(e)(f) | 114 | 110,130 | ||||||||||
Virgin Media Finance PLC | 6 | 5,620 | ||||||||||
Ziggo Bond Finance BV | 44 | 42,540 | ||||||||||
Ziggo Secured Finance BV | 268 | 256,857 | ||||||||||
|
| |||||||||||
5,738,890 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.4% | ||||||||||||
C&W Senior Financing DAC | 200 | 206,450 | ||||||||||
CenturyLink, Inc. | 72 | 73,360 | ||||||||||
Series T | 123 | 120,772 | ||||||||||
Embarq Corp. | 71 | 67,426 | ||||||||||
Frontier Communications Corp. | 51 | 43,515 | ||||||||||
7.125%, 1/15/23 | 155 | 103,064 |
32 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
7.625%, 4/15/24 | U.S.$ | 133 | $ | 84,336 | ||||||||
7.875%, 1/15/27 | 31 | 18,084 | ||||||||||
8.75%, 4/15/22 | 64 | 50,161 | ||||||||||
10.50%, 9/15/22(f) | 137 | 117,425 | ||||||||||
11.00%, 9/15/25 | 131 | 102,784 | ||||||||||
Hughes Satellite Systems Corp. | 71 | 73,424 | ||||||||||
7.625%, 6/15/21 | 47 | 50,444 | ||||||||||
Intelsat Jackson Holdings SA | 268 | 221,299 | ||||||||||
7.25%, 10/15/20 | 72 | 67,208 | ||||||||||
7.50%, 4/01/21 | 32 | 28,998 | ||||||||||
8.00%, 2/15/24(e) | 25 | 26,025 | ||||||||||
9.50%, 9/30/22(e) | 107 | 122,500 | ||||||||||
9.75%, 7/15/25(e) | 147 | 139,578 | ||||||||||
Level 3 Financing, Inc. | 164 | 157,598 | ||||||||||
Level 3 Parent LLC | 18 | 18,590 | ||||||||||
Qwest Corp. | 123 | 130,884 | ||||||||||
6.875%, 9/15/33 | 27 | 25,803 | ||||||||||
Sable International Finance Ltd. | 102 | 107,865 | ||||||||||
SoftBank Group Corp. | 182 | 183,714 | ||||||||||
Sprint Capital Corp. | 150 | 144,089 | ||||||||||
Sprint Communications, Inc. | 149 | 157,526 | ||||||||||
T-Mobile USA, Inc. | 152 | 159,762 | ||||||||||
Telecom Italia Capital SA | 136 | 148,404 | ||||||||||
7.20%, 7/18/36 | 148 | 174,116 | ||||||||||
7.721%, 6/04/38 | 68 | 83,336 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | 28 | 27,150 | ||||||||||
Windstream Services LLC/Windstream Finance Corp. | 51 | 32,861 | ||||||||||
Zayo Group LLC/Zayo Capital, Inc. | 205 | 206,351 | ||||||||||
|
| |||||||||||
3,474,902 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||||
Adient Global Holdings Ltd. | 200 | 194,940 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 33 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
BCD Acquisition, Inc. | U.S.$ | 269 | $ | 292,640 | ||||||||
Cooper-Standard Automotive, Inc. | 143 | 145,696 | ||||||||||
Dana Financing Luxembourg SARL | 60 | 64,432 | ||||||||||
Dana, Inc. | 33 | 33,649 | ||||||||||
Exide Technologies | 9 | 6,207 | ||||||||||
11.00% (11.00% Cash or 7.00% PIK), 4/30/22(b)(g)(k) | 83 | 75,876 | ||||||||||
Series AI | 219 | 148,802 | ||||||||||
IHO Verwaltungs GmbH | 142 | 141,449 | ||||||||||
Meritor, Inc. | 69 | 71,869 | ||||||||||
Navistar International Corp. | 140 | 144,264 | ||||||||||
Titan International, Inc. | 144 | 147,326 | ||||||||||
ZF North America Capital, Inc. | 150 | 154,350 | ||||||||||
|
| |||||||||||
1,621,500 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.1% | ||||||||||||
AMC Entertainment Holdings, Inc. | 30 | 29,632 | ||||||||||
5.875%, 11/15/26(f) | 142 | 137,163 | ||||||||||
National CineMedia LLC | 33 | 30,515 | ||||||||||
Silversea Cruise Finance Ltd. | 213 | 226,065 | ||||||||||
|
| |||||||||||
423,375 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.4% | ||||||||||||
Beazer Homes USA, Inc. | 10 | 10,737 | ||||||||||
5.875%, 10/15/27 | 88 | 84,363 | ||||||||||
6.75%, 3/15/25 | 64 | 64,592 | ||||||||||
8.75%, 3/15/22 | 155 | 167,711 | ||||||||||
Caesars Entertainment Corp. | 26 | 51,540 | ||||||||||
Cooperativa Muratori & Cementisti-CMC di Ravenna SC | EUR | 100 | 115,042 |
34 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Diamond Resorts International, Inc. | U.S.$ | 60 | $ | 65,173 | ||||||||
Five Point Operating Co. LP/Five Point Capital Corp. | 173 | 174,730 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 14 | 14,301 | ||||||||||
4.875%, 11/01/20 | 18 | 18,870 | ||||||||||
5.375%, 11/01/23 | 18 | 18,467 | ||||||||||
International Game Technology PLC | 200 | 215,148 | ||||||||||
K. Hovnanian Enterprises, Inc. | 103 | 96,214 | ||||||||||
10.00%, 7/15/22(e)(f) | 220 | 239,833 | ||||||||||
10.50%, 7/15/24(e) | 219 | 239,814 | ||||||||||
KB Home | 54 | 58,189 | ||||||||||
7.50%, 9/15/22 | 25 | 27,542 | ||||||||||
8.00%, 3/15/20 | 14 | 15,339 | ||||||||||
Lennar Corp. | 71 | 71,241 | ||||||||||
4.50%, 11/15/19 | 148 | 150,765 | ||||||||||
6.25%, 12/15/21(e) | 55 | 59,121 | ||||||||||
8.375%, 5/15/18(e) | 150 | 151,726 | ||||||||||
MDC Holdings, Inc. | 14 | 14,742 | ||||||||||
5.625%, 2/01/20 | 57 | 58,524 | ||||||||||
6.00%, 1/15/43 | 270 | 255,742 | ||||||||||
Meritage Homes Corp. | 11 | 11,795 | ||||||||||
MGM Resorts International | 110 | 115,376 | ||||||||||
Pinnacle Entertainment, Inc. | 30 | 32,159 | ||||||||||
PulteGroup, Inc. | 21 | 21,065 | ||||||||||
6.00%, 2/15/35 | 130 | 132,763 | ||||||||||
7.875%, 6/15/32 | 151 | 180,613 | ||||||||||
Scientific Games International, Inc. | 27 | 28,417 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp. | 18 | 18,174 | ||||||||||
6.125%, 4/01/25(e) | 146 | 150,196 | ||||||||||
Standard Industries, Inc./NJ | 74 | 78,400 | ||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. | 197 | 184,806 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 35 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. | U.S.$ | 183 | $ | 185,980 | ||||||||
Toll Brothers Finance Corp. | 34 | 34,258 | ||||||||||
4.875%, 3/15/27 | 27 | 26,788 | ||||||||||
5.875%, 2/15/22 | 86 | 91,388 | ||||||||||
|
| |||||||||||
3,731,644 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Restaurants – 0.0% | ||||||||||||
Golden Nugget, Inc. | 140 | 147,432 | ||||||||||
IRB Holding Corp. | 247 | 247,215 | ||||||||||
|
| |||||||||||
394,647 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||||
FirstCash, Inc. | 171 | 176,682 | ||||||||||
JC Penney Corp., Inc. | 37 | 24,901 | ||||||||||
L Brands, Inc. | 226 | 224,579 | ||||||||||
7.00%, 5/01/20 | 106 | 113,737 | ||||||||||
Neiman Marcus Group Ltd. LLC | 259 | 156,259 | ||||||||||
Penske Automotive Group, Inc. | 62 | 62,309 | ||||||||||
PetSmart, Inc. | 154 | 97,899 | ||||||||||
Sonic Automotive, Inc. | 153 | 147,295 | ||||||||||
6.125%, 3/15/27 | 47 | 47,129 | ||||||||||
|
| |||||||||||
1,050,790 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.7% | ||||||||||||
Acadia Healthcare Co., Inc. | 139 | 142,607 | ||||||||||
Air Medical Group Holdings, Inc. | 85 | 79,551 | ||||||||||
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC | 60 | 52,119 | ||||||||||
6.625%, 6/15/24 | 213 | 196,116 | ||||||||||
Aveta, Inc. | 1,149 | – 0 | – | |||||||||
BI-LO LLC/BI-LO Finance Corp. | 100 | 41,185 | ||||||||||
9.25%, 2/15/19(f)(g) | 159 | 154,181 |
36 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Catalent Pharma Solutions, Inc. | U.S.$ | 55 | $ | 54,514 | ||||||||
CHS/Community Health Systems, Inc. | 317 | 206,842 | ||||||||||
7.125%, 7/15/20(f) | 385 | 326,438 | ||||||||||
8.00%, 11/15/19(f) | 23 | 21,995 | ||||||||||
DaVita, Inc. | 150 | 147,049 | ||||||||||
Diamond BC BV | EUR | 123 | 146,361 | |||||||||
Endo Finance LLC | U.S.$ | 174 | 141,834 | |||||||||
Endo Finance LLC/Endo Finco, Inc. | 385 | 293,616 | ||||||||||
First Quality Finance Co., Inc. | 233 | 232,968 | ||||||||||
HCA, Inc. | 242 | 244,094 | ||||||||||
4.25%, 10/15/19 | 451 | 457,090 | ||||||||||
6.50%, 2/15/20 | 370 | 389,776 | ||||||||||
Hill-Rom Holdings, Inc. | 18 | 18,424 | ||||||||||
Kinetic Concepts, Inc./KCI USA, Inc. | 118 | 121,976 | ||||||||||
Lamb Weston Holdings, Inc. | 140 | 140,728 | ||||||||||
LifePoint Health, Inc. | 54 | 52,704 | ||||||||||
5.875%, 12/01/23 | 165 | 165,261 | ||||||||||
Mallinckrodt International Finance SA | 69 | 69,365 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC | 60 | 48,351 | ||||||||||
5.625%, 10/15/23(e)(f) | 78 | 65,457 | ||||||||||
5.75%, 8/01/22(e)(f) | 295 | 260,493 | ||||||||||
MEDNAX, Inc. | 24 | 24,696 | ||||||||||
MPH Acquisition Holdings LLC | 140 | 147,231 | ||||||||||
Post Holdings, Inc. | 250 | 237,982 | ||||||||||
5.625%, 1/15/28(e) | 105 | 102,360 | ||||||||||
Spectrum Brands, Inc. | 140 | 144,749 | ||||||||||
6.625%, 11/15/22 | 26 | 27,132 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 37 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Tenet Healthcare Corp. | U.S.$ | 47 | $ | 47,719 | ||||||||
6.75%, 6/15/23(f) | 84 | 83,991 | ||||||||||
7.00%, 8/01/25(e)(f) | 160 | 159,595 | ||||||||||
7.50%, 1/01/22(e) | 13 | 14,250 | ||||||||||
8.125%, 4/01/22 | 209 | 220,840 | ||||||||||
Valeant Pharmaceuticals International, Inc. 5.50%, 3/01/23(e) | 152 | 134,885 | ||||||||||
5.625%, 12/01/21(e)(f) | 180 | 170,611 | ||||||||||
5.875%, 5/15/23(e) | 170 | 150,953 | ||||||||||
6.50%, 3/15/22(e) | 33 | 34,671 | ||||||||||
Vizient, Inc. | 87 | 97,848 | ||||||||||
|
| |||||||||||
6,070,608 | ||||||||||||
|
| |||||||||||
Energy – 1.3% | ||||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. | 56 | 59,435 | ||||||||||
Antero Resources Corp. | 151 | 152,672 | ||||||||||
Berry Petroleum Co. LLC | 135 | – 0 | – | |||||||||
7.00%, 2/15/26(e) | 71 | 71,858 | ||||||||||
Bill Barrett Corp. | 81 | 81,804 | ||||||||||
8.75%, 6/15/25 | 41 | 44,784 | ||||||||||
Bristow Group, Inc. | 101 | 102,504 | ||||||||||
California Resources Corp. | 45 | 37,188 | ||||||||||
6.00%, 11/15/24 | 12 | 7,393 | ||||||||||
8.00%, 12/15/22(e) | 446 | 354,125 | ||||||||||
Carrizo Oil & Gas, Inc. | 58 | 58,144 | ||||||||||
8.25%, 7/15/25 | 169 | 180,184 | ||||||||||
Cheniere Corpus Christi Holdings LLC | 81 | 86,184 | ||||||||||
Cheniere Energy Partners LP | 137 | 138,347 | ||||||||||
Cheniere Energy, Inc. | 138 | 128,510 | ||||||||||
Chesapeake Energy Corp. | 244 | 245,313 | ||||||||||
6.875%, 11/15/20 | 1 | 1,465 | ||||||||||
8.00%, 12/15/22-6/15/27(e)(f) | 158 | 151,712 | ||||||||||
Continental Resources, Inc./OK | 29 | 29,342 |
38 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
4.90%, 6/01/44 | U.S.$ | 62 | $ | 59,333 | ||||||||
Denbury Resources, Inc. | 13 | 13,703 | ||||||||||
9.25%, 3/31/22(e) | 63 | 64,675 | ||||||||||
Diamond Offshore Drilling, Inc. | 367 | 265,270 | ||||||||||
7.875%, 8/15/25(f) | 222 | 225,001 | ||||||||||
Energy Transfer Equity LP | 290 | 284,551 | ||||||||||
7.50%, 10/15/20 | 152 | 165,019 | ||||||||||
Ensco PLC | 16 | 13,284 | ||||||||||
5.20%, 3/15/25(f) | 323 | 267,016 | ||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. | 18 | 10,456 | ||||||||||
7.75%, 9/01/22(f) | 344 | 218,747 | ||||||||||
8.00%, 2/15/25(e) | 57 | 39,746 | ||||||||||
9.375%, 5/01/20-5/01/24 | 400 | 322,299 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 22 | 21,077 | ||||||||||
6.25%, 5/15/26 | 159 | 153,613 | ||||||||||
6.75%, 8/01/22 | 26 | 26,732 | ||||||||||
Gulfport Energy Corp. | 30 | 29,496 | ||||||||||
6.375%, 5/15/25-1/15/26(e) | 340 | 335,132 | ||||||||||
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. | 197 | 197,158 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 295 | 299,066 | ||||||||||
Indigo Natural Resources LLC | 135 | 132,206 | ||||||||||
Murphy Oil Corp. | 51 | 48,014 | ||||||||||
6.875%, 8/15/24 | 74 | 78,137 | ||||||||||
Murphy Oil USA, Inc. | 6 | 5,795 | ||||||||||
6.00%, 8/15/23 | 140 | 144,544 | ||||||||||
Nabors Industries, Inc. | 139 | 135,902 | ||||||||||
5.50%, 1/15/23(f) | 228 | 226,490 | ||||||||||
5.75%, 2/01/25(e) | 34 | 32,452 | ||||||||||
Noble Holding International Ltd. | 23 | 15,813 | ||||||||||
7.70%, 4/01/25(f)(p) | 48 | 42,547 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 39 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
7.75%, 1/15/24(f) | U.S.$ | 508 | $ | 464,185 | ||||||||
Oasis Petroleum, Inc. | 30 | 30,545 | ||||||||||
6.875%, 3/15/22(f) | 147 | 150,457 | ||||||||||
PDC Energy, Inc. | 312 | 308,771 | ||||||||||
PHI, Inc. | 203 | 199,566 | ||||||||||
Precision Drilling Corp. | 105 | 106,169 | ||||||||||
QEP Resources, Inc. | 60 | 59,793 | ||||||||||
5.375%, 10/01/22 | 81 | 82,823 | ||||||||||
5.625%, 3/01/26 | 54 | 53,182 | ||||||||||
6.875%, 3/01/21(f) | 1 | 1,511 | ||||||||||
Range Resources Corp. | 62 | 59,719 | ||||||||||
5.00%, 8/15/22-3/15/23 | 220 | 216,401 | ||||||||||
5.875%, 7/01/22 | 13 | 13,236 | ||||||||||
Rowan Cos., Inc. | 160 | 140,040 | ||||||||||
5.85%, 1/15/44 | 86 | 66,058 | ||||||||||
7.375%, 6/15/25(f) | 51 | 50,487 | ||||||||||
Sanchez Energy Corp. | 394 | 296,694 | ||||||||||
7.25%, 2/15/23(e)(f) | 103 | 104,293 | ||||||||||
SandRidge Energy, Inc. | 69 | – 0 | – | |||||||||
8.125%, 10/15/22(b)(c)(d) | 113 | – 0 | – | |||||||||
SemGroup Corp. | 78 | 77,143 | ||||||||||
7.25%, 3/15/26 | 70 | 71,487 | ||||||||||
SM Energy Co. | 211 | 200,471 | ||||||||||
5.625%, 6/01/25(f) | 55 | 52,562 | ||||||||||
6.50%, 11/15/21-1/01/23(f) | 215 | 217,275 | ||||||||||
Southern Star Central Corp. | 85 | 86,992 | ||||||||||
SRC Energy, Inc. | 106 | 106,857 | ||||||||||
Sunoco LP/Sunoco Finance Corp. | 180 | 180,009 | ||||||||||
5.875%, 3/15/28(e) | 136 | 136,079 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 45 | 44,220 | ||||||||||
Transocean Phoenix 2 Ltd. | 136 | 146,181 |
40 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Transocean, Inc. | U.S.$ | 169 | $ | 165,412 | ||||||||
6.80%, 3/15/38 | 217 | 174,852 | ||||||||||
7.50%, 1/15/26(e) | 83 | 83,647 | ||||||||||
9.00%, 7/15/23(e) | 60 | 64,272 | ||||||||||
Vantage Drilling International | 111 | – 0 | – | |||||||||
10.00%, 12/31/20(b)(g) | 5 | 4,860 | ||||||||||
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. | 164 | 155,987 | ||||||||||
Weatherford International LLC | 129 | 127,550 | ||||||||||
Weatherford International Ltd. | 88 | 83,668 | ||||||||||
7.75%, 6/15/21 | 167 | 166,310 | ||||||||||
9.875%, 2/15/24(f) | 77 | 76,711 | ||||||||||
Whiting Petroleum Corp. | 67 | 63,370 | ||||||||||
5.75%, 3/15/21(f) | 38 | 38,877 | ||||||||||
6.25%, 4/01/23 | 42 | 42,945 | ||||||||||
6.625%, 1/15/26(e) | 180 | 183,913 | ||||||||||
WPX Energy, Inc. | 68 | 73,071 | ||||||||||
|
| |||||||||||
11,032,889 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.1% | ||||||||||||
Algeco Scotsman Global Finance PLC | 200 | 201,314 | ||||||||||
American Builders & Contractors Supply Co., Inc. | 178 | 186,250 | ||||||||||
American Tire Distributors, Inc. | 232 | 242,243 | ||||||||||
Global Partners LP/GLP Finance Corp. | 205 | 205,148 | ||||||||||
7.00%, 6/15/23(f) | 28 | 28,909 | ||||||||||
H&E Equipment Services, Inc. | 58 | 59,224 | ||||||||||
Laureate Education, Inc. | 64 | 68,316 | ||||||||||
|
| |||||||||||
991,404 | ||||||||||||
|
| |||||||||||
Services – 0.3% | ||||||||||||
ADT Corp. (The) | 57 | 54,248 | ||||||||||
APTIM Corp. | 173 | 157,953 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 41 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
APX Group, Inc. | U.S.$ | 320 | $ | 324,306 | ||||||||
Aramark Services, Inc. | 98 | 97,553 | ||||||||||
5.125%, 1/15/24 | 16 | 16,597 | ||||||||||
Carlson Travel, Inc. | 200 | 192,592 | ||||||||||
Ceridian HCM Holding, Inc. | 91 | 94,127 | ||||||||||
eDreams ODIGEO SA | EUR | 171 | 222,672 | |||||||||
GEO Group, Inc. (The) | U.S.$ | 115 | 114,560 | |||||||||
5.875%, 1/15/22-10/15/24 | 39 | 39,873 | ||||||||||
6.00%, 4/15/26 | 140 | 139,570 | ||||||||||
IHS Markit Ltd. | 66 | 68,370 | ||||||||||
KAR Auction Services, Inc. | 62 | 62,512 | ||||||||||
Monitronics International, Inc. | 101 | 86,430 | ||||||||||
Nielsen Co. Luxembourg SARL (The) | 68 | 69,563 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 324 | 352,382 | ||||||||||
Sabre GLBL, Inc. | 135 | 136,099 | ||||||||||
Team Health Holdings, Inc. | 50 | 46,362 | ||||||||||
|
| |||||||||||
2,275,769 | ||||||||||||
|
| |||||||||||
Technology – 0.2% | ||||||||||||
Ascend Learning LLC | 39 | 40,259 | ||||||||||
BMC Software Finance, Inc. | 332 | 333,739 | ||||||||||
BMC Software, Inc. | 1 | 1,425 | ||||||||||
CommScope, Inc. | 50 | 50,771 | ||||||||||
Conduent Finance, Inc./Conduent Business Services LLC | 255 | 299,068 | ||||||||||
CURO Financial Technologies Corp. | 177 | 195,222 | ||||||||||
Dell International LLC/EMC Corp. | 78 | 79,854 |
42 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Dell, Inc. | U.S.$ | 43 | $ | 43,439 | ||||||||
EMC Corp. | 222 | 221,034 | ||||||||||
First Data Corp. | 75 | 78,849 | ||||||||||
Goodman Networks, Inc. | 48 | 33,002 | ||||||||||
Infor US, Inc. | 140 | 143,481 | ||||||||||
Iron Mountain, Inc. | 50 | 50,136 | ||||||||||
Nokia Oyj | 34 | 37,118 | ||||||||||
Sanmina Corp. | 89 | 89,666 | ||||||||||
Solera LLC/Solera Finance, Inc. | 188 | 210,787 | ||||||||||
Western Digital Corp. | 132 | 132,829 | ||||||||||
|
| |||||||||||
2,040,679 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.2% | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 362 | 360,828 | ||||||||||
CEVA Group PLC | 256 | 249,327 | ||||||||||
Herc Rentals, Inc. | 180 | 195,076 | ||||||||||
Hertz Corp. (The) | 54 | 53,558 | ||||||||||
7.375%, 1/15/21 | 260 | 258,994 | ||||||||||
7.625%, 6/01/22(e)(f) | 111 | 114,029 | ||||||||||
United Rentals North America, Inc. | 140 | 136,340 | ||||||||||
5.75%, 11/15/24 | 36 | 37,384 | ||||||||||
XPO CNW, Inc. | 246 | 256,173 | ||||||||||
XPO Logistics, Inc. | 30 | 30,946 | ||||||||||
|
| |||||||||||
1,692,655 | ||||||||||||
|
| |||||||||||
47,721,594 | ||||||||||||
|
| |||||||||||
Financial Institutions – 1.2% | ||||||||||||
Banking – 0.8% | ||||||||||||
Allied Irish Banks PLC | EUR | 200 | 274,805 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 43 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Ally Financial, Inc. | U.S.$ | 295 | $ | 297,877 | ||||||||
4.75%, 9/10/18 | 136 | 137,229 | ||||||||||
8.00%, 11/01/31 | 116 | 141,890 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA | 200 | 203,498 | ||||||||||
6.75%, 2/18/20(e)(q) | EUR | 200 | 265,655 | |||||||||
Banco Santander SA | 300 | 418,931 | ||||||||||
Bank of America Corp. | U.S.$ | 243 | 259,407 | |||||||||
Barclays Bank PLC | 35 | 42,357 | ||||||||||
Barclays PLC | GBP | 200 | 300,569 | |||||||||
CIT Group, Inc. | U.S.$ | 14 | 14,249 | |||||||||
Citigroup Capital XVIII | GBP | 185 | 228,658 | |||||||||
Citigroup, Inc. | U.S.$ | 365 | 378,793 | |||||||||
Credit Agricole SA | 400 | 468,428 | ||||||||||
Credit Suisse Group AG | 200 | 214,240 | ||||||||||
7.50%, 12/11/23(e)(q) | 200 | 221,758 | ||||||||||
Goldman Sachs Group, Inc. (The) | 210 | 204,679 | ||||||||||
Intesa Sanpaolo SpA | EUR | 200 | 305,000 | |||||||||
Lloyds Banking Group PLC | GBP | 260 | 409,260 | |||||||||
Royal Bank of Scotland Group PLC | U.S.$ | 315 | 335,774 | |||||||||
8.625%, 8/15/21(q) | 0 | * | 488 | |||||||||
Societe Generale SA | 320 | 368,417 | ||||||||||
SunTrust Banks, Inc. | 135 | 129,435 | ||||||||||
UBS Group AG | 400 | 440,832 | ||||||||||
UniCredit SpA | EUR | 200 | 298,290 |
44 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Zions Bancorporation | U.S.$ | 34 | $ | 34,578 | ||||||||
|
| |||||||||||
6,395,097 | ||||||||||||
|
| |||||||||||
Brokerage – 0.0% | ||||||||||||
Lehman Brothers Holdings, Inc. | 1,030 | 41,987 | ||||||||||
LPL Holdings, Inc. | 199 | 201,087 | ||||||||||
|
| |||||||||||
243,074 | ||||||||||||
|
| |||||||||||
Finance – 0.1% | ||||||||||||
Enova International, Inc. | 100 | 105,825 | ||||||||||
9.75%, 6/01/21 | 121 | 127,122 | ||||||||||
goeasy Ltd. | 62 | 65,979 | ||||||||||
Navient Corp. | 250 | 252,693 | ||||||||||
5.00%, 10/26/20 | 115 | 115,813 | ||||||||||
5.875%, 3/25/21 | 1 | 1,457 | ||||||||||
6.50%, 6/15/22(f) | 79 | 81,955 | ||||||||||
7.25%, 1/25/22 | 31 | 33,479 | ||||||||||
8.00%, 3/25/20 | 237 | 254,072 | ||||||||||
SLM Corp. | 30 | 31,264 | ||||||||||
TMX Finance LLC/TitleMax Finance Corp. | 225 | 215,118 | ||||||||||
|
| |||||||||||
1,284,777 | ||||||||||||
|
| |||||||||||
Insurance – 0.1% | ||||||||||||
Ambac Assurance Corp. | 7 | 8,755 | ||||||||||
Liberty Mutual Group, Inc. | 298 | 372,332 | ||||||||||
Polaris Intermediate Corp. | 256 | 261,319 | ||||||||||
|
| |||||||||||
642,406 | ||||||||||||
|
| |||||||||||
Other Finance – 0.1% | ||||||||||||
Creditcorp | 81 | 75,328 | ||||||||||
Intrum Justitia AB | EUR | 130 | 155,825 | |||||||||
3.125%, 7/15/24(e) | 100 | 118,950 | ||||||||||
LHC3 PLC | 146 | 180,870 | ||||||||||
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc. | U.S.$ | 25 | 25,387 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 45 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | U.S.$ | 217 | $ | 218,562 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc. | 15 | 15,715 | ||||||||||
|
| |||||||||||
790,637 | ||||||||||||
|
| |||||||||||
REITS – 0.1% | ||||||||||||
FelCor Lodging LP | 140 | 143,633 | ||||||||||
Iron Mountain, Inc. | 205 | 195,334 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 30 | 29,344 | ||||||||||
5.25%, 8/01/26 | 96 | 95,839 | ||||||||||
5.50%, 5/01/24 | 5 | 5,057 | ||||||||||
|
| |||||||||||
469,207 | ||||||||||||
|
| |||||||||||
9,825,198 | ||||||||||||
|
| |||||||||||
Utility – 0.2% | ||||||||||||
Electric – 0.2% | ||||||||||||
AES Corp./VA | 75 | 75,841 | ||||||||||
7.375%, 7/01/21 | 123 | 135,215 | ||||||||||
Calpine Corp. | 253 | 246,799 | ||||||||||
5.50%, 2/01/24 | 11 | 9,973 | ||||||||||
5.75%, 1/15/25(f) | 138 | 128,956 | ||||||||||
DPL, Inc. | 61 | 63,328 | ||||||||||
Dynegy, Inc. | 18 | 18,886 | ||||||||||
7.375%, 11/01/22 | 301 | 318,064 | ||||||||||
7.625%, 11/01/24(f) | 16 | 17,565 | ||||||||||
NRG Energy, Inc. | 100 | 98,543 | ||||||||||
6.25%, 7/15/22 | 29 | 30,043 | ||||||||||
Talen Energy Supply LLC | 159 | 145,354 | ||||||||||
6.50%, 6/01/25(f) | 153 | 119,430 | ||||||||||
10.50%, 1/15/26(e) | 183 | 171,616 | ||||||||||
Texas Competitive/TCEH | 142 | – 0 | – | |||||||||
|
| |||||||||||
1,579,613 | ||||||||||||
|
|
46 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Natural Gas – 0.0% | ||||||||||||
NGL Energy Partners LP/NGL Energy Finance Corp. | U.S.$ | 250 | $ | 252,190 | ||||||||
|
| |||||||||||
1,831,803 | ||||||||||||
|
| |||||||||||
Total Corporates – Non-Investment Grade (cost $59,970,985) | 59,378,595 | |||||||||||
|
| |||||||||||
GOVERNMENTS – TREASURIES – 1.8% | ||||||||||||
Malaysia – 0.1% | ||||||||||||
Malaysia Government Bond | MYR | 2,185 | 558,551 | |||||||||
|
| |||||||||||
Mexico – 0.6% | ||||||||||||
Mexican Bonos | MXN | 2,923 | 137,681 | |||||||||
6.50%, 6/10/21 | 71,481 | 3,673,367 | ||||||||||
8.00%, 6/11/20 | 20,178 | 1,079,402 | ||||||||||
Series M 20 | 1,651 | 98,691 | ||||||||||
|
| |||||||||||
4,989,141 | ||||||||||||
|
| |||||||||||
Russia – 0.2% | ||||||||||||
Russian Federal Bond – OFZ | RUB | 21,257 | 380,813 | |||||||||
Series 6217 | 81,638 | 1,494,220 | ||||||||||
|
| |||||||||||
1,875,033 | ||||||||||||
|
| |||||||||||
United States – 0.9% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 329 | 330,325 | |||||||||
U.S. Treasury Notes | 1,714 | 1,559,740 | ||||||||||
1.75%, 9/30/22(r) | 1,551 | 1,492,353 | ||||||||||
1.875%, 8/31/22 | 184 | 178,451 | ||||||||||
2.25%, 8/15/27(r) | 4,500 | 4,263,750 | ||||||||||
|
| |||||||||||
7,824,619 | ||||||||||||
|
| |||||||||||
Uruguay – 0.0% | ||||||||||||
Uruguay Government International Bond | UYU | 3,101 | 102,053 | |||||||||
9.875%, 6/20/22(e) | 2,522 | 90,829 | ||||||||||
|
| |||||||||||
192,882 | ||||||||||||
|
| |||||||||||
Total Governments – Treasuries | 15,440,226 | |||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 47 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
INFLATION-LINKED SECURITIES – 1.7% | ||||||||||||
Brazil – 0.1% | ||||||||||||
Brazil Notas do Tesouro Nacional | BRL | 1,100 | $ | 1,179,529 | ||||||||
|
| |||||||||||
Japan – 1.6% | ||||||||||||
Japanese Government CPI Linked Bond | JPY | 1,371,662 | 13,601,815 | |||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 14,781,344 | |||||||||||
|
| |||||||||||
EMERGING MARKETS – TREASURIES – 1.3% | ||||||||||||
Argentina – 0.2% | ||||||||||||
Argentina POM Politica Monetaria | ARS | 4,155 | 224,795 | |||||||||
Argentine Bonos del Tesoro | 5,984 | 295,203 | ||||||||||
16.00%, 10/17/23 | 10,432 | 509,518 | ||||||||||
18.20%, 10/03/21 | 14,384 | 718,798 | ||||||||||
21.20%, 9/19/18 | 6,608 | 324,541 | ||||||||||
|
| |||||||||||
2,072,855 | ||||||||||||
|
| |||||||||||
Brazil – 0.7% | ||||||||||||
Brazil Notas do Tesouro Nacional | BRL | 17,256 | 5,475,310 | |||||||||
|
| |||||||||||
Dominican Republic – 0.1% | ||||||||||||
Dominican Republic International Bond | DOP | 25,000 | 596,148 | |||||||||
|
| |||||||||||
Turkey – 0.3% | ||||||||||||
Turkey Government Bond | TRY | 6,712 | 1,706,466 | |||||||||
11.10%, 5/15/19 | 4,030 | 1,040,294 | ||||||||||
|
| |||||||||||
2,746,760 | ||||||||||||
|
| |||||||||||
Total Emerging Markets – Treasuries | 10,891,073 | |||||||||||
|
| |||||||||||
EMERGING MARKETS – SOVEREIGNS – 1.0% | ||||||||||||
Argentina – 0.2% | ||||||||||||
Argentine Republic Government International Bond | U.S.$ | 1,350 | 1,374,300 | |||||||||
|
| |||||||||||
Bahamas – 0.0% | ||||||||||||
Bahamas Government International Bond | 200 | 208,750 | ||||||||||
|
|
48 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Bahrain – 0.1% | ||||||||||||
Bahrain Government International Bond | U.S.$ | 200 | $ | 190,628 | ||||||||
7.00%, 10/12/28(e) | 200 | 198,000 | ||||||||||
|
| |||||||||||
388,628 | ||||||||||||
|
| |||||||||||
Cameroon – 0.0% | ||||||||||||
Republic of Cameroon International Bond | 200 | 229,750 | ||||||||||
|
| |||||||||||
Costa Rica – 0.0% | ||||||||||||
Costa Rica Government International Bond | 107 | 107,162 | ||||||||||
|
| |||||||||||
Dominican Republic – 0.1% | ||||||||||||
Dominican Republic International Bond | 425 | 500,969 | ||||||||||
5.95%, 1/25/27(e) | 220 | 232,100 | ||||||||||
|
| |||||||||||
733,069 | ||||||||||||
|
| |||||||||||
Ecuador – 0.1% | ||||||||||||
Ecuador Government International Bond | 270 | 304,425 | ||||||||||
10.50%, 3/24/20(e) | 205 | 222,681 | ||||||||||
|
| |||||||||||
527,106 | ||||||||||||
|
| |||||||||||
Egypt – 0.1% | ||||||||||||
Egypt Government International Bond | 407 | 420,736 | ||||||||||
|
| |||||||||||
El Salvador – 0.0% | ||||||||||||
El Salvador Government International Bond | 200 | 209,000 | ||||||||||
|
| |||||||||||
Gabon – 0.0% | ||||||||||||
Gabon Government International Bond | 360 | 353,250 | ||||||||||
|
| |||||||||||
Honduras – 0.0% | ||||||||||||
Honduras Government International Bond | 180 | 186,975 | ||||||||||
|
| |||||||||||
Ivory Coast – 0.1% | ||||||||||||
Ivory Coast Government International Bond | 635 | 642,937 | ||||||||||
|
| |||||||||||
Jamaica – 0.0% | ||||||||||||
Jamaica Government International Bond | 200 | 242,000 | ||||||||||
|
| |||||||||||
Mongolia – 0.0% | ||||||||||||
Mongolia Government International Bond | 270 | 265,612 | ||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 49 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Nigeria – 0.1% | ||||||||||||
Nigeria Government International Bond | U.S.$ | 200 | $ | 202,260 | ||||||||
6.75%, 1/28/21(e) | 200 | 210,250 | ||||||||||
|
| |||||||||||
412,510 | ||||||||||||
|
| |||||||||||
Senegal – 0.0% | ||||||||||||
Senegal Government International Bond | 365 | 362,533 | ||||||||||
|
| |||||||||||
Sri Lanka – 0.0% | ||||||||||||
Sri Lanka Government International Bond | 220 | 218,768 | ||||||||||
|
| |||||||||||
Turkey – 0.1% | ||||||||||||
Turkey Government International Bond | 370 | 353,350 | ||||||||||
6.00%, 3/25/27 | 340 | 348,075 | ||||||||||
|
| |||||||||||
701,425 | ||||||||||||
|
| |||||||||||
Ukraine – 0.1% | ||||||||||||
Ukraine Government International Bond | 765 | 797,006 | ||||||||||
|
| |||||||||||
Venezuela – 0.0% | ||||||||||||
Venezuela Government International Bond | 815 | 227,630 | ||||||||||
|
| |||||||||||
Zambia – 0.0% | ||||||||||||
Zambia Government International Bond | 200 | 211,250 | ||||||||||
|
| |||||||||||
Total Emerging Markets – Sovereigns | 8,820,397 | |||||||||||
|
| |||||||||||
CORPORATES – INVESTMENT GRADE – 0.9% | ||||||||||||
Industrial – 0.5% | ||||||||||||
Basic – 0.0% | ||||||||||||
FMG Resources (August 2006) Pty Ltd. | 28 | 31,270 | ||||||||||
Fresnillo PLC | 200 | 215,100 | ||||||||||
Glencore Finance Canada Ltd. | 11 | 12,787 | ||||||||||
Glencore Funding LLC | 12 | 11,991 | ||||||||||
Southern Copper Corp. | 99 | 99,730 | ||||||||||
|
| |||||||||||
370,878 | ||||||||||||
|
|
50 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Capital Goods – 0.1% | ||||||||||||
CNH Industrial Capital LLC | U.S.$ | 62 | $ | 62,480 | ||||||||
3.625%, 4/15/18 | 43 | 42,531 | ||||||||||
4.375%, 4/05/22 | 93 | 94,870 | ||||||||||
Embraer Netherlands Finance BV | 97 | 102,661 | ||||||||||
General Electric Co. | 122 | 120,327 | ||||||||||
Masco Corp. | 33 | 35,354 | ||||||||||
7.125%, 3/15/20 | 3 | 3,516 | ||||||||||
|
| |||||||||||
461,739 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.0% | ||||||||||||
AT&T, Inc. | 305 | 304,088 | ||||||||||
5.45%, 3/01/47 | 94 | 98,227 | ||||||||||
|
| |||||||||||
402,315 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.1% | ||||||||||||
General Motors Co. | 140 | 137,723 | ||||||||||
5.40%, 4/01/48 | 151 | 153,158 | ||||||||||
6.25%, 10/02/43 | 185 | 206,499 | ||||||||||
General Motors Financial Co., Inc. | 62 | 62,172 | ||||||||||
|
| |||||||||||
559,552 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
DR Horton, Inc. | 108 | 110,023 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | 91 | 90,567 | ||||||||||
BRF GmbH | 200 | 185,370 | ||||||||||
Constellation Brands, Inc. | 49 | 49,932 | ||||||||||
Universal Health Services, Inc. | 151 | 153,395 | ||||||||||
|
| |||||||||||
479,264 | ||||||||||||
|
| |||||||||||
Energy – 0.1% | ||||||||||||
Cenovus Energy, Inc. | 75 | 66,121 | ||||||||||
6.75%, 11/15/39 | 4 | 4,060 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 51 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Ecopetrol SA | U.S.$ | 37 | $ | 36,958 | ||||||||
Energy Transfer LP | 135 | 143,918 | ||||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 95 | 96,504 | ||||||||||
Kinder Morgan, Inc./DE | 140 | 141,659 | ||||||||||
Series G | 28 | 35,188 | ||||||||||
Shell International Finance BV | 275 | 271,013 | ||||||||||
|
| |||||||||||
795,421 | ||||||||||||
|
| |||||||||||
Technology – 0.1% | ||||||||||||
Dell International LLC/EMC Corp. | 92 | 96,992 | ||||||||||
Hewlett Packard Enterprise Co. | 9 | 8,958 | ||||||||||
Seagate HDD Cayman | 68 | 65,898 | ||||||||||
4.875%, 6/01/27 | �� | 252 | 241,042 | |||||||||
Western Digital Corp. | 87 | 94,764 | ||||||||||
|
| |||||||||||
507,654 | ||||||||||||
|
| |||||||||||
3,686,846 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.4% | ||||||||||||
Banking – 0.3% | ||||||||||||
BNP Paribas SA | 142 | 154,497 | ||||||||||
BPCE SA | 200 | 216,144 | ||||||||||
Countrywide Capital III | 113 | 142,015 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd. | 222 | 222,926 | ||||||||||
Deutsche Bank AG | 121 | 120,285 | ||||||||||
DNB Bank ASA | 201 | 212,069 | ||||||||||
HSBC Holdings PLC | EUR | 220 | 285,851 | |||||||||
Morgan Stanley | U.S.$ | 211 | 225,175 |
52 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Santander Holdings USA, Inc. | U.S.$ | 141 | $ | 140,497 | ||||||||
Standard Chartered PLC | 142 | 140,536 | ||||||||||
US Bancorp | 43 | 44,261 | ||||||||||
Wells Fargo & Co. | 212 | 216,903 | ||||||||||
|
| |||||||||||
2,121,159 | ||||||||||||
|
| |||||||||||
Brokerage – 0.0% | ||||||||||||
GFI Group, Inc. | 83 | 84,002 | ||||||||||
|
| |||||||||||
Insurance – 0.1% | ||||||||||||
Allstate Corp. (The) | 191 | 226,867 | ||||||||||
American International Group, Inc. | 110 | 147,936 | ||||||||||
Chubb Corp. (The) | 70 | 70,087 | ||||||||||
MetLife, Inc. | 275 | 310,029 | ||||||||||
Nationwide Mutual Insurance Co. | 75 | 121,445 | ||||||||||
Prudential Financial, Inc. | 170 | 180,372 | ||||||||||
|
| |||||||||||
1,056,736 | ||||||||||||
|
| |||||||||||
REITS – 0.0% | ||||||||||||
HCP, Inc. | 118 | 121,552 | ||||||||||
Senior Housing Properties Trust | 21 | 23,178 | ||||||||||
Spirit Realty LP | 6 | 5,821 | ||||||||||
VEREIT Operating Partnership LP | 19 | 19,494 | ||||||||||
|
| |||||||||||
170,045 | ||||||||||||
|
| |||||||||||
3,431,942 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Duke Energy Corp. | 209 | 214,541 | ||||||||||
|
| |||||||||||
Total Corporates – Investment Grade | 7,333,329 | |||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 53 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
EMERGING MARKETS – CORPORATE BONDS – 0.8% | ||||||||||||
Industrial – 0.7% | ||||||||||||
Basic – 0.2% | ||||||||||||
Consolidated Energy Finance SA | U.S.$ | 200 | $ | 210,100 | ||||||||
First Quantum Minerals Ltd. | 33 | 33,654 | ||||||||||
7.25%, 5/15/22-4/01/23(e) | 542 | 559,937 | ||||||||||
Stillwater Mining Co. | 200 | 201,616 | ||||||||||
7.125%, 6/27/25(e) | 200 | 205,706 | ||||||||||
Vedanta Resources PLC | 220 | 226,325 | ||||||||||
|
| |||||||||||
1,437,338 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.0% | ||||||||||||
CIMPOR Financial Operations BV | 200 | 192,000 | ||||||||||
Odebrecht Finance Ltd. | 200 | 40,600 | ||||||||||
|
| |||||||||||
232,600 | ||||||||||||
|
| |||||||||||
Communications Telecommunications – 0.1% | ||||||||||||
Digicel Group Ltd. | 315 | 294,131 | ||||||||||
Digicel Ltd. | 89 | 82,818 | ||||||||||
Millicom International Cellular SA | 200 | 195,238 | ||||||||||
|
| |||||||||||
572,187 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||||
Wynn Macau Ltd. | 214 | 210,266 | ||||||||||
5.50%, 10/01/27(e) | 214 | 210,905 | ||||||||||
|
| |||||||||||
421,171 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.0% | ||||||||||||
K2016470219 South Africa Ltd. | 35 | 1,748 | ||||||||||
K2016470260 South Africa Ltd. | 10 | 9,100 | ||||||||||
|
| |||||||||||
10,848 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
Arcelik AS | 69 | 69,356 | ||||||||||
Cosan Ltd. | 360 | 366,923 |
54 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
MARB BondCo PLC | U.S.$ | 200 | $ | 191,248 | ||||||||
Minerva Luxembourg SA | 362 | 357,652 | ||||||||||
Natura Cosmeticos SA | 200 | 202,378 | ||||||||||
Rede D’or Finance SARL | 200 | 193,658 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV | 94 | 91,009 | ||||||||||
2.80%, 7/21/23 | 72 | 62,658 | ||||||||||
3.15%, 10/01/26 | 55 | 44,619 | ||||||||||
Tonon Luxembourg SA | 14 | 647 | ||||||||||
Virgolino de Oliveira Finance SA | 434 | 27,657 | ||||||||||
|
| |||||||||||
1,607,805 | ||||||||||||
|
| |||||||||||
Energy – 0.1% | ||||||||||||
Azure Power Energy Ltd. | 200 | 199,250 | ||||||||||
CHC Group LLC/CHC Finance Ltd. | 158 | 204,434 | ||||||||||
Petrobras Global Finance BV | 66 | 65,082 | ||||||||||
6.125%, 1/17/22 | 8 | 8,760 | ||||||||||
6.25%, 3/17/24 | 175 | 182,254 | ||||||||||
8.75%, 5/23/26 | 300 | 351,525 | ||||||||||
YPF SA | 111 | 112,048 | ||||||||||
16.50%, 5/09/22(e) | ARS | 2,493 | 116,501 | |||||||||
|
| |||||||||||
1,239,854 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.0% | ||||||||||||
Noble Group Ltd. | U.S.$ | 145 | 69,600 | |||||||||
|
| |||||||||||
Transportation - Airlines – 0.0% | ||||||||||||
Guanay Finance Ltd. | 15 | 14,909 | ||||||||||
Latam Finance Ltd. | 285 | 297,828 | ||||||||||
|
| |||||||||||
312,737 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.0% | ||||||||||||
Rumo Luxembourg SARL | 200 | 213,750 | ||||||||||
|
| |||||||||||
6,117,890 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 55 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Financial Institutions – 0.1% | ||||||||||||
Banking – 0.1% | ||||||||||||
Itau Unibanco Holding SA/Cayman Island | U.S.$ | 200 | $ | 201,946 | ||||||||
Turkiye Vakiflar Bankasi TAO | 200 | 196,626 | ||||||||||
|
| |||||||||||
398,572 | ||||||||||||
|
| |||||||||||
Finance – 0.0% | ||||||||||||
Unifin Financiera SAB de CV SOFOM ENR | 200 | 197,994 | ||||||||||
|
| |||||||||||
Insurance – 0.0% | ||||||||||||
Ambac LSNI LLC 6.811% (LIBOR 3 Month + | 24 | 23,729 | ||||||||||
|
| |||||||||||
620,295 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Genneia SA | 90 | 97,312 | ||||||||||
Pampa Energia SA | 150 | 156,750 | ||||||||||
Terraform Global Operating LLC | 37 | 37,305 | ||||||||||
|
| |||||||||||
291,367 | ||||||||||||
|
| |||||||||||
Total Emerging Markets – Corporate Bonds | 7,029,552 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.8% | ||||||||||||
Risk Share Floating Rate – 0.8% | ||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||||||
Series 2013-DN1, Class M2 | 35 | 43,427 | ||||||||||
Series 2013-DN2, Class M2 | 128 | 142,022 | ||||||||||
Series 2014-DN1, Class M3 | 89 | 103,395 | ||||||||||
Series 2014-HQ2, Class M3 | 131 | 150,857 |
56 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-HQ3, Class M3 | U.S.$ | 454 | $ | 505,396 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||||||
Series 2013-C01, Class M2 | 35 | 41,388 | ||||||||||
Series 2014-C01, Class M2 | 66 | 75,128 | ||||||||||
Series 2014-C02, Class 1M2 | 228 | 243,338 | ||||||||||
Series 2014-C03, Class 1M2 | 225 | 241,150 | ||||||||||
Series 2014-C04, Class 1M2 | 238 | 271,759 | ||||||||||
Series 2014-C04, Class 2M2 | 488 | 551,054 | ||||||||||
Series 2015-C01, Class 1M2 | 285 | 311,790 | ||||||||||
Series 2015-C01, Class 2M2 | 165 | 179,317 | ||||||||||
Series 2015-C02, Class 1M2 | 279 | 305,106 | ||||||||||
Series 2015-C02, Class 2M2 | 266 | 286,815 | ||||||||||
Series 2015-C03, Class 1M2 | 15 | 16,740 | ||||||||||
Series 2015-C03, Class 2M2 | 373 | 413,344 | ||||||||||
Series 2015-C04, Class 2M2 | 387 | 437,026 | ||||||||||
Series 2016-C01, Class 2M2 | 227 | 273,284 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 57 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2016-C03, Class 2M2 | U.S.$ | 440 | $ | 520,463 | ||||||||
Series 2016-C05, Class 2M2 | 465 | 523,009 | ||||||||||
Series 2016-C07, Class 2M2 | 475 | 530,690 | ||||||||||
Series 2017-C01, Class 1B1 | 440 | 522,599 | ||||||||||
|
| |||||||||||
6,689,097 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.0% | ||||||||||||
Federal National Mortgage Association Grantor Trust | 96 | 89,076 | ||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.0% | ||||||||||||
Alternative Loan Trust | 14 | 12,080 | ||||||||||
CSMC Mortgage-Backed Trust | 19 | 15,419 | ||||||||||
|
| |||||||||||
27,499 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 6,805,672 | |||||||||||
|
| |||||||||||
BANK LOANS – 0.2% | ||||||||||||
Industrial – 0.2% | ||||||||||||
Basic – 0.0% | ||||||||||||
Foresight Energy LLC | 32 | 30,382 | ||||||||||
Unifrax I LLC | 27 | 27,467 | ||||||||||
|
| |||||||||||
57,849 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.0% | ||||||||||||
Gardner Denver, Inc. | 46 | 46,033 | ||||||||||
|
|
58 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Communications - Telecommunications – 0.0% | ||||||||||||
Intelsat Jackson Holdings S.A. | U.S.$ | 9 | $ | 8,909 | ||||||||
6.63%, 1/02/24(s) | 15 | 14,719 | ||||||||||
West Corporation | 150 | 151,059 | ||||||||||
|
| |||||||||||
174,687 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.0% | ||||||||||||
Navistar, Inc. | 47 | 46,740 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.0% | ||||||||||||
Seaworld Parks & Entertainment, Inc. (f/k/a SW Acquisitions Co., Inc.) | 61 | 60,472 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
Caesars Resort Collection, LLC (fka Caesars Growth Properties Holdings, LLC) | 188 | 188,809 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||||
J.C. Penney Corporation, Inc. | 149 | 142,491 | ||||||||||
Serta Simmons Bedding, LLC | 118 | 107,444 | ||||||||||
|
| |||||||||||
249,935 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Air Medical Group Holdings, Inc. | 52 | 52,690 | ||||||||||
5.67% (3 Month LIBOR + 4.00%), 4/28/22(s) | 249 | 249,984 | ||||||||||
Alphabet Holding Company, Inc. (aka Nature’s Bounty) | 263 | 247,324 | ||||||||||
Vizient, Inc. | 2 | 1,678 | ||||||||||
|
| |||||||||||
551,676 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 59 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Energy – 0.0% | ||||||||||||
California Resources Corporation | U.S.$ | 113 | $ | 126,917 | ||||||||
|
| |||||||||||
Other Industrial – 0.0% | ||||||||||||
Travelport Finance (Luxembourg) S.Ã r.l. | 86 | 86,639 | ||||||||||
|
| |||||||||||
Technology – 0.0% | ||||||||||||
Conduent Incorporated | 12 | 12,015 | ||||||||||
MTS Systems Corporation | 62 | 62,776 | ||||||||||
Solera, LLC (Solera Finance, Inc.) | 145 | 145,503 | ||||||||||
|
| |||||||||||
220,294 | ||||||||||||
|
| |||||||||||
Total Bank Loans | 1,810,051 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.1% | ||||||||||||
Non-Agency Fixed Rate CMBS – 0.1% | ||||||||||||
Citigroup Commercial Mortgage Trust | 35 | 31,000 | ||||||||||
GS Mortgage Securities Trust | 71 | 60,009 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 298 | 291,298 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 71 | 65,146 | ||||||||||
Morgan Stanley Capital I Trust | 105 | 104,151 | ||||||||||
|
| |||||||||||
551,604 | ||||||||||||
|
|
60 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Non-Agency Floating Rate CMBS – 0.0% | ||||||||||||
BBCMS Mortgage Trust | U.S.$ | 105 | $ | 105,149 | ||||||||
CLNS Trust | 110 | 110,825 | ||||||||||
H/2 Asset Funding NRE | 95 | 95,462 | ||||||||||
|
| |||||||||||
311,436 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 863,040 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 0.1% | ||||||||||||
Other ABS - Fixed Rate – 0.1% | ||||||||||||
SoFi Consumer Loan Program LLC | 360 | 352,269 | ||||||||||
Taco Bell Funding LLC | 70 | 70,510 | ||||||||||
Series 2016-1A, Class A23 | 39 | 40,554 | ||||||||||
|
| |||||||||||
463,333 | ||||||||||||
|
| |||||||||||
Home Equity Loans - Fixed Rate – 0.0% | ||||||||||||
CWABS Asset-Backed Certificates Trust | 140 | 138,970 | ||||||||||
GSAA Home Equity Trust | 189 | 97,193 | ||||||||||
|
| |||||||||||
236,163 | ||||||||||||
|
| |||||||||||
Home Equity Loans - Floating Rate – 0.0% | ||||||||||||
Asset Backed Funding Certificates Trust | 44 | 44,173 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 61 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Lehman XS Trust | U.S.$ | 71 | $ | 70,157 | ||||||||
|
| |||||||||||
114,330 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 813,826 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 0.1% | ||||||||||||
CLO - Floating Rate – 0.1% | ||||||||||||
CIFC Funding Ltd. | 177 | 178,974 | ||||||||||
Dryden Senior Loan Fund | 250 | 256,619 | ||||||||||
Rockford Tower CLO Ltd. | 306 | 312,118 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 747,711 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
PREFERRED STOCKS – 0.1% | ||||||||||||
Industrial – 0.1% | ||||||||||||
Capital Goods – 0.1% | ||||||||||||
Tervita Corp. | 60,772 | 426,238 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
Hovnanian Enterprises, Inc. | 1,190 | 8,758 | ||||||||||
|
| |||||||||||
Energy – 0.0% | ||||||||||||
Berry Petroleum Co. LLC | 4,429 | 48,719 | ||||||||||
Sanchez Energy Corp. | 2,338 | 30,979 | ||||||||||
|
| |||||||||||
79,698 | ||||||||||||
|
|
62 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Services – 0.0% | ||||||||||||
iPayment Holdings, Inc. | 877 | $ | 87,700 | |||||||||
|
| |||||||||||
Technology – 0.0% | ||||||||||||
Goodman Networks, Inc. | 3,576 | 14,304 | ||||||||||
|
| |||||||||||
616,698 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
SCE Trust III | 1,027 | 27,205 | ||||||||||
|
| |||||||||||
Financial Institutions – 0.0% | ||||||||||||
Banking – 0.0% | ||||||||||||
GMAC Capital Trust I | 868 | 22,394 | ||||||||||
|
| |||||||||||
Total Preferred Stocks | 666,297 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
LOCAL GOVERNMENTS – REGIONAL BONDS – 0.1% | ||||||||||||
Argentina – 0.1% | ||||||||||||
Provincia de Buenos Aires/Argentina | U.S.$ | 445 | 495,062 | |||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.0% | ||||||||||||
Quasi-Sovereign Bonds – 0.0% | ||||||||||||
Chile – 0.0% | ||||||||||||
Empresa Nacional del Petroleo | 200 | 193,130 | ||||||||||
|
| |||||||||||
Indonesia – 0.0% | ||||||||||||
Majapahit Holding BV | 100 | 129,833 | ||||||||||
|
| |||||||||||
Mexico – 0.0% | ||||||||||||
Petroleos Mexicanos | 92 | 96,209 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 419,172 | |||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 63 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
LOCAL GOVERNMENTS – US MUNICIPAL BONDS – 0.0% | ||||||||||||
United States – 0.0% | ||||||||||||
State of California | U.S.$ | 60 | $ | 92,519 | ||||||||
7.95%, 3/01/36 | 130 | 143,317 | ||||||||||
|
| |||||||||||
Total Local Governments – US Municipal Bonds | 235,836 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED – CALLS – 0.0% | ||||||||||||
Options on Forward Contracts – 0.0% | ||||||||||||
MXN/CAD | MXN | 62,664,588 | 32,521 | |||||||||
MXN/CAD | MXN | 62,664,588 | 32,521 | |||||||||
MXN/USD | MXN | 80,850,000 | 17,872 | |||||||||
SEK/EUR | SEK | 10,850,063 | 563 | |||||||||
SEK/EUR | SEK | 44,232,000 | 150 | |||||||||
SEK/EUR | SEK | 5,577,500 | 19 |
64 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Notional | U.S. $ Value | |||||||||||
| ||||||||||||
TRY/EUR | TRY | 2,565,750 | $ | 5,339 | ||||||||
TRY/EUR | TRY | 12,922,050 | 27,438 | |||||||||
TRY/USD | TRY | 12,778,200 | 13,792 | |||||||||
|
| |||||||||||
Total Options Purchased – Calls | 130,215 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
WARRANTS – 0.0% | ||||||||||||
Information Technology – 0.0% | ||||||||||||
Software – 0.0% | ||||||||||||
Avaya Holdings Corp., expiring 12/15/22(a)(b) | 4,686 | 16,401 | ||||||||||
|
| |||||||||||
Energy – 0.0% | ||||||||||||
Oil, Gas & Consumable Fuels – 0.0% | �� | |||||||||||
Midstates Petroleum Co., Inc., expiring 4/21/20(a)(c) | 2,090 | 1,254 | ||||||||||
SandRidge Energy, Inc., A-CW22, expiring 10/04/22(a) | 4,803 | 2,401 | ||||||||||
SandRidge Energy, Inc., B-CW22, expiring 10/04/22(a) | 2,019 | 1,464 | ||||||||||
|
| |||||||||||
5,119 | ||||||||||||
|
| |||||||||||
Financials – 0.0% | ||||||||||||
Diversified Financial Services – 0.0% | ||||||||||||
iPayment Holdings, Inc., | 52,132 | – 0 | – | |||||||||
|
| |||||||||||
Total Warrants | 21,520 | |||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 65 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
MORTGAGE PASS-THROUGHS – 0.0% | ||||||||||||
Agency Fixed Rate 30-Year – 0.0% | ||||||||||||
Federal National Mortgage Association | U.S.$ | 0 | * | $ | 226 | |||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 3.9% | ||||||||||||
Investment Companies – 2.7% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 1.20%(i)(j)(u) | 22,472,120 | 22,472,120 | ||||||||||
|
| |||||||||||
U.S. Treasury Bills – 1.2% | ||||||||||||
U.S. Treasury Bill | 10,000 | 9,973,990 | ||||||||||
|
| |||||||||||
Total Short-Term Investments | 32,446,110 | |||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 98.5% | 834,015,516 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.8% | ||||||||||||
Investment Companies – 1.8% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 1.20%(i)(j)(u) | 15,039,772 | 15,039,772 | ||||||||||
|
| |||||||||||
Total Investments – 100.3% | 849,055,288 | |||||||||||
Other assets less liabilities – (0.3)% | (2,899,197 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 846,156,091 | ||||||||||
|
|
66 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Notional (000) | Original Value | Value at February 28, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||||||
10 Yr Australian Bond Futures | 78 | | March 2018 | | AUD | 7,800 | $ | 7,880,689 | $ | 7,742,020 | $ | (138,669 | ) | |||||||||||
10 Yr Japan Bond (OSE) Futures | 138 | | March 2018 | | JPY | 13,800,000 | 195,192,192 | 195,213,834 | 21,642 | |||||||||||||||
Bcom Commodity Index Futures | 9,101 | | March 2018 | | USD | 910 | 76,640,084 | 80,179,810 | 3,539,726 | |||||||||||||||
Canadian 10 Yr Bond Futures | 41 | | June 2018 | | CAD | 4,100 | 4,175,803 | 4,207,357 | 31,554 | |||||||||||||||
Corn Futures | 255 | | December 2018 | | USD | 1,275 | 4,895,480 | 5,119,125 | 223,645 | |||||||||||||||
Euro Buxl 30 Yr Bond Futures | 138 | | March 2018 | | EUR | 13,800 | 28,048,135 | 27,196,879 | (851,256 | ) | ||||||||||||||
Euro STOXX 50 Index Futures | 251 | | March 2018 | | EUR | 3 | 10,958,643 | 10,527,845 | (430,798 | ) | ||||||||||||||
Euro-BOBL Futures | 169 | | March 2018 | | EUR | 16,900 | 27,277,815 | 27,017,832 | (259,983 | ) | ||||||||||||||
Euro-Bund Futures | 212 | | March 2018 | | EUR | 21,200 | 42,300,690 | 41,237,568 | (1,063,122 | ) | ||||||||||||||
Euro-Schatz Futures | 192 | | March 2018 | | EUR | 19,200 | 26,247,990 | 26,227,857 | (20,133 | ) | ||||||||||||||
FTSE 100 Index Futures | 36 | | March 2018 | | GBP | 0 | ** | 3,738,842 | 3,581,291 | (157,551 | ) | |||||||||||||
Long Gilt Futures | 290 | | June 2018 | | GBP | 29,000 | 48,288,695 | 48,340,320 | 51,625 | |||||||||||||||
Mini MSCI EAFE Futures | 158 | | March 2018 | | USD | 8 | 15,827,608 | 16,088,350 | 260,742 | |||||||||||||||
Mini MSCI Emerging Markets Futures | 77 | | March 2018 | | USD | 4 | 4,240,864 | 4,554,550 | 313,686 | |||||||||||||||
Russell 2000 Mini Futures | 44 | | March 2018 | | USD | 2 | 3,411,710 | 3,324,640 | (87,070 | ) | ||||||||||||||
S&P 500 E-Mini Futures | 185 | | March 2018 | | USD | 9 | 24,831,696 | 25,108,200 | 276,504 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 67 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Notional (000) | Original Value | Value at February 28, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
S&P Mid 400 E-Mini Futures | 78 | | March 2018 | | USD | 8 | $ | 14,717,222 | $ | 14,543,100 | $ | (174,122 | ) | |||||||||||
S&P TSX 60 Index Futures | 10 | | March 2018 | | CAD | 2 | 1,466,805 | 1,422,537 | (44,268 | ) | ||||||||||||||
SPI 200 Futures | 17 | | March 2018 | | AUD | 0 | ** | 1,987,555 | 1,980,916 | (6,639 | ) | |||||||||||||
TOPIX Index Futures | 31 | | March 2018 | | JPY | 310 | 5,229,789 | 5,136,886 | (92,903 | ) | ||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 35 | | June 2018 | | USD | 7,000 | 7,443,011 | 7,436,406 | (6,605 | ) | ||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 480 | | June 2018 | | USD | 48,000 | 54,683,052 | 54,686,250 | 3,198 | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 384 | | June 2018 | | USD | 38,400 | 46,146,530 | 46,098,000 | (48,530 | ) | ||||||||||||||
U.S. Ultra Bond (CBT) Futures | 237 | | June 2018 | | USD | 23,700 | 36,895,624 | 36,942,375 | 46,751 | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||||||
10 Yr Mini Japan Government Bond Futures | 140 | | March 2018 | | JPY | 1,400,000 | 19,736,917 | 19,797,741 | (60,824 | ) | ||||||||||||||
CBOE VIX Futures | 3 | | March 2018 | | USD | 3 | 61,354 | 55,725 | 5,629 | |||||||||||||||
Euro Buxl 30 Yr Bond Futures | 7 | | March 2018 | | EUR | 700 | 1,364,513 | 1,379,552 | (15,039 | ) | ||||||||||||||
Euro-BOBL Futures | 13 | | March 2018 | | EUR | 1,300 | 2,067,019 | 2,078,295 | (11,276 | ) | ||||||||||||||
Euro-Bund Futures | 127 | | March 2018 | | EUR | 12,700 | 24,753,886 | 24,703,638 | 50,248 | |||||||||||||||
KC HRW Wheat Futures | 200 | | December 2018 | | USD | 1,000 | 4,889,033 | 5,730,000 | (840,967 | ) | ||||||||||||||
Mini MSCI Emerging Markets Futures | 9 | | March 2018 | | USD | 0 | ** | 523,439 | 532,350 | (8,911 | ) | |||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 40 | | June 2018 | | USD | 4,000 | 4,556,824 | 4,557,188 | (364 | ) | ||||||||||||||
U.S. Ultra Bond (CBT) Futures | 19 | | June 2018 | | USD | 1,900 | 2,957,753 | 2,961,625 | (3,872 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
$ | 502,048 | |||||||||||||||||||||||
|
|
68 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Australia and New Zealand Banking Group Ltd. | AUD | 3,586 | USD | 2,815 | 3/14/2018 | $ | 29,248 | |||||||||||||
Australia and New Zealand Banking Group Ltd. | EUR | 3,804 | USD | 4,498 | 3/14/2018 | (146,391 | ) | |||||||||||||
Australia and New Zealand Banking Group Ltd. | JPY | 201,774 | GBP | 1,338 | 3/14/2018 | (49,170 | ) | |||||||||||||
Australia and New Zealand Banking Group Ltd. | NZD | 2,546 | USD | 1,824 | 3/14/2018 | (12,422 | ) | |||||||||||||
Australia and New Zealand Banking Group Ltd. | AUD | 1,106 | USD | 876 | 5/15/2018 | 16,930 | ||||||||||||||
Australia and New Zealand Banking Group Ltd. | CNY | 27,502 | USD | 4,342 | 5/15/2018 | 16,122 | ||||||||||||||
Australia and New Zealand Banking Group Ltd. | JPY | 182,437 | USD | 1,714 | 5/15/2018 | (4,891 | ) | |||||||||||||
Bank of America, NA | BRL | 2,785 | USD | 850 | 3/02/2018 | (8,086 | ) | |||||||||||||
Bank of America, NA | BRL | 7,182 | USD | 2,238 | 3/02/2018 | 26,434 | ||||||||||||||
Bank of America, NA | USD | 2,223 | BRL | 7,215 | 3/02/2018 | (1,370 | ) | |||||||||||||
Bank of America, NA | USD | 845 | BRL | 2,752 | 3/02/2018 | 2,499 | ||||||||||||||
Bank of America, NA | EUR | 547 | USD | 672 | 3/12/2018 | 4,077 | ||||||||||||||
Bank of America, NA | INR | 116,562 | USD | 1,792 | 3/12/2018 | 9,088 | ||||||||||||||
Bank of America, NA | CAD | 6,284 | USD | 4,948 | 3/14/2018 | 49,342 | ||||||||||||||
Bank of America, NA | EUR | 1,498 | USD | 1,783 | 3/14/2018 | (45,631 | ) | |||||||||||||
Bank of America, NA | JPY | 201,567 | USD | 1,796 | 3/14/2018 | (94,405 | ) | |||||||||||||
Bank of America, NA | USD | 1,796 | CAD | 2,283 | 3/14/2018 | (16,515 | ) | |||||||||||||
Bank of America, NA | USD | 2,229 | EUR | 1,817 | 3/14/2018 | (10,382 | ) | |||||||||||||
Bank of America, NA | USD | 1,791 | EUR | 1,501 | 3/14/2018 | 42,216 | ||||||||||||||
Bank of America, NA | USD | 8,839 | INR | 569,686 | 3/14/2018 | (125,600 | ) | |||||||||||||
Bank of America, NA | USD | 1,776 | JPY | 199,882 | 3/14/2018 | 99,064 | ||||||||||||||
Bank of America, NA | USD | 4,855 | RUB | 286,816 | 3/14/2018 | 229,585 | ||||||||||||||
Bank of America, NA | USD | 1,757 | TRY | 6,899 | 3/14/2018 | 50,822 | ||||||||||||||
Bank of America, NA | USD | 4,236 | ZAR | 51,533 | 3/14/2018 | 125,329 | ||||||||||||||
Bank of America, NA | RUB | 192,875 | USD | 3,339 | 4/17/2018 | (69,671 | ) | |||||||||||||
Bank of America, NA | CLP | 513,978 | USD | 859 | 4/19/2018 | (3,886 | ) | |||||||||||||
Bank of America, NA | CAD | 3,361 | USD | 2,703 | 5/15/2018 | 80,368 | ||||||||||||||
Bank of America, NA | USD | 1,696 | CAD | 2,153 | 5/15/2018 | (15,339 | ) | |||||||||||||
Bank of America, NA | USD | 850 | EUR | 687 | 5/15/2018 | (7,610 | ) | |||||||||||||
Bank of America, NA | AUD | 228 | JPY | 19,158 | 5/16/2018 | 3,596 | ||||||||||||||
Bank of America, NA | GBP | 3,083 | USD | 4,272 | 6/19/2018 | 6,571 | ||||||||||||||
Barclays Bank PLC | BRL | 2,759 | USD | 850 | 3/02/2018 | 524 | ||||||||||||||
Barclays Bank PLC | USD | 852 | BRL | 2,759 | 3/02/2018 | (2,599 | ) | |||||||||||||
Barclays Bank PLC | NOK | 2,336 | EUR | 239 | 3/08/2018 | (3,866 | ) | |||||||||||||
Barclays Bank PLC | TWD | 168,894 | USD | 5,757 | 3/08/2018 | (5,840 | ) | |||||||||||||
Barclays Bank PLC | USD | 841 | TWD | 24,576 | 3/08/2018 | (2,556 | ) | |||||||||||||
Barclays Bank PLC | INR | 389,147 | USD | 6,021 | 3/12/2018 | 67,452 | ||||||||||||||
Barclays Bank PLC | EUR | 2,499 | CHF | 2,933 | 3/14/2018 | 57,282 | ||||||||||||||
Barclays Bank PLC | EUR | 1,473 | TRY | 6,825 | 3/14/2018 | (10,692 | ) | |||||||||||||
Barclays Bank PLC | EUR | 7,481 | USD | 8,928 | 3/14/2018 | (206,709 | ) | |||||||||||||
Barclays Bank PLC | GBP | 1,336 | USD | 1,802 | 3/14/2018 | (37,668 | ) | |||||||||||||
Barclays Bank PLC | ILS | 31,987 | USD | 9,358 | 3/14/2018 | 157,223 | ||||||||||||||
Barclays Bank PLC | JPY | 332,927 | USD | 2,974 | 3/14/2018 | (149,035 | ) | |||||||||||||
Barclays Bank PLC | TRY | 5,153 | USD | 1,329 | 3/14/2018 | (20,846 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 69 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Barclays Bank PLC | USD | 3,596 | CHF | 3,443 | 3/14/2018 | $ | 53,745 | |||||||||||||
Barclays Bank PLC | USD | 1,782 | EUR | 1,492 | 3/14/2018 | 40,272 | ||||||||||||||
Barclays Bank PLC | USD | 1,818 | HUF | 470,948 | 3/14/2018 | 13,683 | ||||||||||||||
Barclays Bank PLC | USD | 902 | ILS | 3,079 | 3/14/2018 | (16,475 | ) | |||||||||||||
Barclays Bank PLC | USD | 2,953 | ILS | 10,332 | 3/14/2018 | 19,315 | ||||||||||||||
Barclays Bank PLC | USD | 902 | JPY | 100,211 | 3/14/2018 | 38,291 | ||||||||||||||
Barclays Bank PLC | USD | 885 | MXN | 16,841 | 3/14/2018 | 6,388 | ||||||||||||||
Barclays Bank PLC | USD | 1,775 | NZD | 2,546 | 3/14/2018 | 60,666 | ||||||||||||||
Barclays Bank PLC | USD | 1,799 | SEK | 14,518 | 3/14/2018 | (45,347 | ) | |||||||||||||
Barclays Bank PLC | ZAR | 38,639 | USD | 3,079 | 3/14/2018 | (191,478 | ) | |||||||||||||
Barclays Bank PLC | USD | 4,808 | RUB | 275,077 | 4/17/2018 | 53,876 | ||||||||||||||
Barclays Bank PLC | USD | 5,105 | KRW | 5,526,859 | 4/26/2018 | (4,982 | ) | |||||||||||||
Barclays Bank PLC | NOK | 1,114 | EUR | 115 | 5/07/2018 | (382 | ) | |||||||||||||
Barclays Bank PLC | CAD | 2,141 | USD | 1,706 | 5/15/2018 | 35,214 | ||||||||||||||
Barclays Bank PLC | EUR | 704 | USD | 879 | 5/15/2018 | 15,086 | ||||||||||||||
Barclays Bank PLC | JPY | 723,388 | USD | 6,802 | 5/15/2018 | (12,704 | ) | |||||||||||||
Barclays Bank PLC | TRY | 6,535 | USD | 1,678 | 5/15/2018 | (3,809 | ) | |||||||||||||
Barclays Bank PLC | TRY | 3,335 | USD | 860 | 5/15/2018 | 1,158 | ||||||||||||||
Barclays Bank PLC | USD | 7,635 | AUD | 9,824 | 5/15/2018 | (3,313 | ) | |||||||||||||
Barclays Bank PLC | USD | 843 | CAD | 1,058 | 5/15/2018 | (17,372 | ) | |||||||||||||
Barclays Bank PLC | USD | 853 | GBP | 612 | 5/15/2018 | (7,371 | ) | |||||||||||||
Barclays Bank PLC | USD | 3,498 | JPY | 382,537 | 5/15/2018 | 105,719 | ||||||||||||||
Barclays Bank PLC | USD | 837 | MXN | 15,813 | 5/15/2018 | (8,136 | ) | |||||||||||||
Barclays Bank PLC | USD | 1,700 | SEK | 13,525 | 5/15/2018 | (58,728 | ) | |||||||||||||
Barclays Bank PLC | USD | 3,425 | SGD | 4,504 | 5/15/2018 | (20,325 | ) | |||||||||||||
Barclays Bank PLC | USD | 678 | ZAR | 7,940 | 5/15/2018 | (12,142 | ) | |||||||||||||
Barclays Bank PLC | USD | 4,218 | AUD | 5,373 | 6/19/2018 | (42,810 | ) | |||||||||||||
Barclays Bank PLC | USD | 4,263 | SEK | 33,897 | 6/19/2018 | (138,513 | ) | |||||||||||||
Barclays Bank PLC | MYR | 3,344 | USD | 840 | 7/12/2018 | (9,685 | ) | |||||||||||||
Barclays Bank PLC | MYR | 6,705 | USD | 1,712 | 7/12/2018 | 9,178 | ||||||||||||||
Barclays Bank PLC | USD | 1,794 | MYR | 7,105 | 7/12/2018 | 11,119 | ||||||||||||||
BNP Paribas SA | TWD | 58,318 | USD | 2,003 | 3/08/2018 | 13,401 | ||||||||||||||
BNP Paribas SA | USD | 895 | AUD | 1,106 | 3/14/2018 | (35,544 | ) | |||||||||||||
BNP Paribas SA | ARS | 11,342 | USD | 584 | 4/05/2018 | 29,879 | ||||||||||||||
BNP Paribas SA | USD | 110 | ARS | 2,238 | 4/05/2018 | (664 | ) | |||||||||||||
BNP Paribas SA | ARS | 11,342 | USD | 577 | 4/09/2018 | 24,171 | ||||||||||||||
BNP Paribas SA | GBP | 973 | USD | 1,384 | 4/13/2018 | 42,718 | ||||||||||||||
BNP Paribas SA | EUR | 2,675 | GBP | 2,358 | 5/15/2018 | (24,508 | ) | |||||||||||||
BNP Paribas SA | GBP | 1,249 | USD | 1,777 | 5/15/2018 | 51,768 | ||||||||||||||
BNP Paribas SA | USD | 3,360 | CNY | 21,285 | 5/15/2018 | (12,724 | ) | |||||||||||||
BNP Paribas SA | AUD | 5,373 | USD | 4,182 | 6/19/2018 | 7,254 | ||||||||||||||
Citibank, NA | BRL | 43,285 | USD | 13,418 | 3/02/2018 | 87,079 | ||||||||||||||
Citibank, NA | USD | 13,454 | BRL | 43,285 | 3/02/2018 | (122,567 | ) | |||||||||||||
Citibank, NA | TWD | 49,730 | USD | 1,700 | 3/08/2018 | 3,717 | ||||||||||||||
Citibank, NA | CHF | 3,126 | USD | 3,206 | 3/14/2018 | (107,542 | ) | |||||||||||||
Citibank, NA | EUR | 1,449 | TRY | 6,719 | 3/14/2018 | (8,899 | ) | |||||||||||||
Citibank, NA | EUR | 1,134 | USD | 1,346 | 3/14/2018 | (38,594 | ) | |||||||||||||
Citibank, NA | MXN | 17,185 | USD | 885 | 3/14/2018 | (24,442 | ) | |||||||||||||
Citibank, NA | NOK | 14,623 | EUR | 1,500 | 3/14/2018 | (21,330 | ) | |||||||||||||
Citibank, NA | SEK | 14,871 | EUR | 1,505 | 3/14/2018 | 41,532 | ||||||||||||||
Citibank, NA | SEK | 19,956 | USD | 2,441 | 3/14/2018 | 30,869 | ||||||||||||||
Citibank, NA | TRY | 24,693 | USD | 6,122 | 3/14/2018 | (349,092 | ) |
70 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Citibank, NA | USD | 2,682 | EUR | 2,186 | 3/14/2018 | $ | (12,977 | ) | ||||||||||||
Citibank, NA | USD | 1,778 | MXN | 33,939 | 3/14/2018 | 19,138 | ||||||||||||||
Citibank, NA | USD | 2,705 | NOK | 21,826 | 3/14/2018 | 60,092 | ||||||||||||||
Citibank, NA | USD | 3,763 | TRY | 14,764 | 3/14/2018 | 105,611 | ||||||||||||||
Citibank, NA | ZAR | 30,225 | USD | 2,237 | 3/14/2018 | (321,165 | ) | |||||||||||||
Citibank, NA | USD | 4,080 | BRL | 13,285 | 4/03/2018 | (1,745 | ) | |||||||||||||
Citibank, NA | RUB | 50,251 | USD | 883 | 4/17/2018 | (4,855 | ) | |||||||||||||
Citibank, NA | USD | 1,876 | COP | 5,310,193 | 4/19/2018 | (25,491 | ) | |||||||||||||
Citibank, NA | TRY | 9,496 | USD | 2,467 | 4/26/2018 | 9,465 | ||||||||||||||
Citibank, NA | USD | 1,620 | KRW | 1,732,031 | 4/26/2018 | (22,071 | ) | |||||||||||||
Citibank, NA | NOK | 49 | EUR | 5 | 4/27/2018 | 49 | ||||||||||||||
Citibank, NA | CAD | 1,054 | USD | 836 | 5/15/2018 | 13,925 | ||||||||||||||
Citibank, NA | GBP | 620 | USD | 871 | 5/15/2018 | 14,399 | ||||||||||||||
Citibank, NA | HUF | 468,861 | EUR | 1,507 | 5/15/2018 | 17,002 | ||||||||||||||
Citibank, NA | ILS | 6,123 | USD | 1,804 | 5/15/2018 | 36,625 | ||||||||||||||
Citibank, NA | SEK | 7,828 | USD | 957 | 5/15/2018 | 6,930 | ||||||||||||||
Citibank, NA | TRY | 3,434 | EUR | 705 | 5/15/2018 | (19,602 | ) | |||||||||||||
Citibank, NA | USD | 892 | CAD | 1,094 | 5/15/2018 | (37,905 | ) | |||||||||||||
Citibank, NA | USD | 4,619 | CNY | 29,402 | 5/15/2018 | 5,282 | ||||||||||||||
Citibank, NA | USD | 4,321 | JPY | 468,975 | 5/15/2018 | 97,294 | ||||||||||||||
Citibank, NA | ZAR | 10,453 | USD | 854 | 5/15/2018 | (23,276 | ) | |||||||||||||
Citibank, NA | USD | 4,342 | GBP | 3,083 | 6/19/2018 | (76,774 | ) | |||||||||||||
Citibank, NA | USD | 90 | ARS | 1,787 | 6/26/2018 | (6,669 | ) | |||||||||||||
Credit Suisse International | EUR | 2,568 | SEK | 25,374 | 3/07/2018 | (70,574 | ) | |||||||||||||
Credit Suisse International | EUR | 239 | NOK | 2,336 | 3/08/2018 | 3,869 | ||||||||||||||
Credit Suisse International | PLN | 2,371 | EUR | 568 | 3/09/2018 | 192 | ||||||||||||||
Credit Suisse International | PLN | 4,712 | USD | 1,344 | 3/09/2018 | (32,289 | ) | |||||||||||||
Credit Suisse International | CHF | 2,209 | GBP | 1,690 | 3/14/2018 | (13,374 | ) | |||||||||||||
Credit Suisse International | USD | 932 | CAD | 1,167 | 3/14/2018 | (22,835 | ) | |||||||||||||
Credit Suisse International | AUD | 426 | NZD | 467 | 3/27/2018 | 6,056 | ||||||||||||||
Credit Suisse International | NOK | 4,763 | EUR | 485 | 3/28/2018 | (10,471 | ) | |||||||||||||
Credit Suisse International | EUR | 963 | TRY | 4,507 | 4/04/2018 | (3,983 | ) | |||||||||||||
Credit Suisse International | USD | 128 | TRY | 492 | 4/05/2018 | 639 | ||||||||||||||
Credit Suisse International | USD | 130 | TRY | 501 | 4/10/2018 | 870 | ||||||||||||||
Credit Suisse International | CAD | 829 | USD | 673 | 4/12/2018 | 27,140 | ||||||||||||||
Credit Suisse International | USD | 676 | CHF | 628 | 4/12/2018 | (8,436 | ) | |||||||||||||
Credit Suisse International | EUR | 1,198 | GBP | 1,060 | 4/13/2018 | (4,513 | ) | |||||||||||||
Credit Suisse International | EUR | 122 | SEK | 1,196 | 4/16/2018 | (4,348 | ) | |||||||||||||
Credit Suisse International | USD | 128 | TRY | 492 | 4/26/2018 | (879 | ) | |||||||||||||
Credit Suisse International | EUR | 233 | NOK | 2,230 | 4/27/2018 | (2,095 | ) | |||||||||||||
Credit Suisse International | EUR | 115 | NOK | 1,114 | 5/07/2018 | 382 | ||||||||||||||
Credit Suisse International | AUD | 399 | CAD | 392 | 5/09/2018 | (3,671 | ) | |||||||||||||
Credit Suisse International | JPY | 19,158 | AUD | 228 | 5/16/2018 | (3,596 | ) | |||||||||||||
Credit Suisse International | CHF | 71 | SGD | 101 | 8/27/2018 | 454 | ||||||||||||||
Deutsche Bank AG | USD | 579 | EUR | 471 | 3/12/2018 | (4,245 | ) | |||||||||||||
Deutsche Bank AG | USD | 1,338 | INR | 86,501 | 3/12/2018 | (14,509 | ) | |||||||||||||
Deutsche Bank AG | USD | 18 | INR | 1,181 | 3/12/2018 | 38 | ||||||||||||||
Deutsche Bank AG | CAD | 3,450 | USD | 2,681 | 3/14/2018 | (8,195 | ) | |||||||||||||
Deutsche Bank AG | GBP | 1,703 | USD | 2,270 | 3/14/2018 | (75,957 | ) | |||||||||||||
Deutsche Bank AG | ILS | 3,142 | USD | 889 | 3/14/2018 | (14,867 | ) | |||||||||||||
Deutsche Bank AG | USD | 2,705 | ILS | 9,204 | 3/14/2018 | (57,036 | ) | |||||||||||||
Deutsche Bank AG | USD | 1,287 | ILS | 4,490 | 3/14/2018 | 4,892 | ||||||||||||||
Deutsche Bank AG | TRY | 4,507 | EUR | 963 | 4/04/2018 | 3,987 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 71 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Deutsche Bank AG | USD | 1,476 | CLP | 887,023 | 4/19/2018 | $ | 13,618 | |||||||||||||
Deutsche Bank AG | ILS | 9,636 | USD | 2,838 | 4/20/2018 | 61,064 | ||||||||||||||
Deutsche Bank AG | SEK | 5,650 | EUR | 576 | 4/20/2018 | 20,997 | ||||||||||||||
Deutsche Bank AG | TRY | 1,313 | EUR | 273 | 5/08/2018 | (3,726 | ) | |||||||||||||
Deutsche Bank AG | EUR | 1,390 | USD | 1,710 | 5/15/2018 | 4,612 | ||||||||||||||
Goldman Sachs Bank USA | BRL | 883 | USD | 269 | 3/02/2018 | (3,414 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 272 | BRL | 883 | 3/02/2018 | (168 | ) | |||||||||||||
Goldman Sachs Bank USA | JPY | 101,066 | USD | 903 | 3/14/2018 | (44,946 | ) | |||||||||||||
Goldman Sachs Bank USA | TRY | 6,835 | USD | 1,805 | 3/14/2018 | 13,790 | ||||||||||||||
Goldman Sachs Bank USA | NZD | 467 | AUD | 426 | 3/27/2018 | (6,042 | ) | |||||||||||||
Goldman Sachs Bank USA | TRY | 492 | USD | 128 | 4/05/2018 | (640 | ) | |||||||||||||
Goldman Sachs Bank USA | GBP | 2,202 | USD | 3,110 | 4/13/2018 | 73,406 | ||||||||||||||
Goldman Sachs Bank USA | USD | 1,322 | GBP | 945 | 4/13/2018 | (18,224 | ) | |||||||||||||
Goldman Sachs Bank USA | TRY | 6,936 | EUR | 1,440 | 5/08/2018 | (22,625 | ) | |||||||||||||
Goldman Sachs Bank USA | ILS | 7,662 | USD | 2,253 | 5/15/2018 | 41,712 | ||||||||||||||
Goldman Sachs Bank USA | NOK | 13,314 | EUR | 1,369 | 5/15/2018 | (10,990 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 4,380 | MYR | 17,537 | 7/12/2018 | 74,992 | ||||||||||||||
HSBC Bank USA | BRL | 15,488 | USD | 4,773 | 3/02/2018 | 2,940 | ||||||||||||||
HSBC Bank USA | USD | 4,783 | BRL | 15,488 | 3/02/2018 | (12,373 | ) | |||||||||||||
HSBC Bank USA | EUR | 7,820 | USD | 9,257 | 3/12/2018 | (289,914 | ) | |||||||||||||
HSBC Bank USA | BRL | 15,488 | USD | 4,767 | 4/03/2018 | 12,502 | ||||||||||||||
HSBC Bank USA | CHF | 2,348 | USD | 2,429 | 4/12/2018 | (66,367 | ) | |||||||||||||
HSBC Bank USA | JPY | 243,912 | USD | 2,242 | 4/26/2018 | (53,363 | ) | |||||||||||||
HSBC Bank USA | USD | 4,537 | EUR | 3,624 | 6/19/2018 | (79,019 | ) | |||||||||||||
JPMorgan Chase Bank, NA | USD | 2,521 | TWD | 73,714 | 3/08/2018 | (6,200 | ) | |||||||||||||
JPMorgan Chase Bank, NA | USD | 2,199 | PLN | 7,844 | 3/09/2018 | 92,473 | ||||||||||||||
JPMorgan Chase Bank, NA | EUR | 1,079 | USD | 1,342 | 3/12/2018 | 24,941 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,540 | INR | 162,669 | 3/12/2018 | (50,956 | ) | |||||||||||||
JPMorgan Chase Bank, NA | CHF | 882 | USD | 901 | 3/14/2018 | (34,330 | ) | |||||||||||||
JPMorgan Chase Bank, NA | TRY | 501 | USD | 130 | 4/10/2018 | (870 | ) | |||||||||||||
JPMorgan Chase Bank, NA | CAD | 1,659 | EUR | 1,083 | 4/12/2018 | 31,926 | ||||||||||||||
JPMorgan Chase Bank, NA | SEK | 1,196 | EUR | 122 | 4/16/2018 | 4,348 | ||||||||||||||
JPMorgan Chase Bank, NA | MXN | 95,207 | USD | 5,058 | 4/20/2018 | 47,637 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,160 | IDR | 28,894,875 | 4/23/2018 | (72,010 | ) | |||||||||||||
JPMorgan Chase Bank, NA | JPY | 13,696 | TRY | 482 | 4/24/2018 | (4,041 | ) | |||||||||||||
JPMorgan Chase Bank, NA | TRY | 482 | JPY | 13,696 | 4/24/2018 | 4,041 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,791 | JPY | 194,072 | 4/26/2018 | 35,355 | ||||||||||||||
JPMorgan Chase Bank, NA | CAD | 392 | AUD | 399 | 5/09/2018 | 3,677 | ||||||||||||||
JPMorgan Chase Bank, NA | SEK | 33,897 | USD | 4,209 | 6/19/2018 | 84,635 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | AUD | 1,688 | USD | 1,326 | 3/07/2018 | 15,041 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | SEK | 25,374 | EUR | 2,568 | 3/07/2018 | 70,565 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | NOK | 12,735 | USD | 1,626 | 3/14/2018 | 12,708 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,153 | SEK | 9,066 | 3/28/2018 | (57,215 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 986 | CHF | 917 | 4/12/2018 | (11,663 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | TRY | 492 | USD | 128 | 4/26/2018 | 880 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | NOK | 2,182 | EUR | 228 | 4/27/2018 | 2,051 |
72 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | CAD | 2,137 | USD | 1,689 | 5/15/2018 | $ | 21,796 | |||||||||||||
Morgan Stanley Capital Services, Inc. | NOK | 7,330 | USD | 933 | 5/15/2018 | 2,970 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,897 | NOK | 14,843 | 5/15/2018 | (12,609 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | MXN | 32,113 | CAD | 2,158 | 5/29/2018 | 4,064 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | EUR | 3,624 | USD | 4,467 | 6/19/2018 | 8,470 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 1,700 | EUR | 1,370 | 3/12/2018 | (27,943 | ) | |||||||||||||
Royal Bank of Scotland PLC | EUR | 2,282 | ILS | 9,454 | 3/14/2018 | (67,405 | ) | |||||||||||||
Royal Bank of Scotland PLC | GBP | 1,350 | EUR | 1,506 | 3/14/2018 | (20,858 | ) | |||||||||||||
Royal Bank of Scotland PLC | PLN | 5,777 | USD | 1,714 | 3/14/2018 | 26,400 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 1,793 | EUR | 1,493 | 3/14/2018 | 29,671 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 688 | NOK | 5,532 | 3/14/2018 | 12,643 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 1,311 | TRY | 5,122 | 3/14/2018 | 31,367 | ||||||||||||||
Royal Bank of Scotland PLC | BRL | 24,922 | USD | 7,654 | 4/03/2018 | 3,744 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 278 | ARS | 5,651 | 4/05/2018 | (1,885 | ) | |||||||||||||
Royal Bank of Scotland PLC | USD | 135 | ARS | 2,782 | 4/05/2018 | 605 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 669 | CHF | 624 | 4/12/2018 | (6,044 | ) | |||||||||||||
Royal Bank of Scotland PLC | USD | 934 | RUB | 53,010 | 4/17/2018 | 3,152 | ||||||||||||||
Royal Bank of Scotland PLC | COP | 2,431,727 | USD | 842 | 4/19/2018 | (5,067 | ) | |||||||||||||
Royal Bank of Scotland PLC | COP | 2,878,466 | USD | 1,008 | 4/19/2018 | 5,270 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 2,550 | PEN | 8,292 | 4/19/2018 | (16,804 | ) | |||||||||||||
Royal Bank of Scotland PLC | AUD | 2,206 | USD | 1,746 | 5/15/2018 | 32,766 | ||||||||||||||
Royal Bank of Scotland PLC | JPY | 470,393 | USD | 4,378 | 5/15/2018 | (53,394 | ) | |||||||||||||
Royal Bank of Scotland PLC | USD | 2,609 | EUR | 2,075 | 5/15/2018 | (63,335 | ) | |||||||||||||
Royal Bank of Scotland PLC | USD | 5,714 | ZAR | 70,139 | 5/15/2018 | 171,041 | ||||||||||||||
Royal Bank of Scotland PLC | ZAR | 30,051 | USD | 2,418 | 5/15/2018 | (103,307 | ) | |||||||||||||
Royal Bank of Scotland PLC | JPY | 1,449,193 | USD | 13,325 | 6/15/2018 | (355,647 | ) | |||||||||||||
Royal Bank of Scotland PLC | CAD | 5,292 | USD | 4,199 | 6/19/2018 | 67,109 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 4,241 | CAD | 5,292 | 6/19/2018 | (108,404 | ) | |||||||||||||
Standard Chartered Bank | BRL | 9,265 | USD | 2,888 | 3/02/2018 | 34,795 | ||||||||||||||
Standard Chartered Bank | USD | 2,860 | BRL | 9,265 | 3/02/2018 | (6,333 | ) | |||||||||||||
Standard Chartered Bank | AUD | 1,812 | USD | 1,376 | 3/07/2018 | (31,048 | ) | |||||||||||||
Standard Chartered Bank | NZD | 2,092 | USD | 1,449 | 3/07/2018 | (60,090 | ) | |||||||||||||
Standard Chartered Bank | TWD | 43,432 | USD | 1,452 | 3/08/2018 | (29,384 | ) | |||||||||||||
Standard Chartered Bank | USD | 9,329 | INR | 602,077 | 3/12/2018 | (117,730 | ) | |||||||||||||
Standard Chartered Bank | AUD | 1,135 | CHF | 866 | 3/14/2018 | 36,484 | ||||||||||||||
Standard Chartered Bank | CHF | 3,467 | USD | 3,583 | 3/14/2018 | (91,888 | ) | |||||||||||||
Standard Chartered Bank | CNY | 23,185 | EUR | 2,932 | 3/14/2018 | (81,957 | ) | |||||||||||||
Standard Chartered Bank | ILS | 6,158 | USD | 1,785 | 3/14/2018 | 14,037 | ||||||||||||||
Standard Chartered Bank | JPY | 120,191 | GBP | 806 | 3/14/2018 | (17,209 | ) | |||||||||||||
Standard Chartered Bank | JPY | 198,824 | USD | 1,791 | 3/14/2018 | (73,672 | ) | |||||||||||||
Standard Chartered Bank | MXN | 16,754 | USD | 858 | 3/14/2018 | (28,572 | ) | |||||||||||||
Standard Chartered Bank | USD | 2,601 | PLN | 9,078 | 3/14/2018 | 51,125 | ||||||||||||||
Standard Chartered Bank | USD | 885 | TRY | 3,374 | 3/14/2018 | (532 | ) | |||||||||||||
Standard Chartered Bank | USD | 4,474 | KRW | 4,768,935 | 4/26/2018 | (73,723 | ) | |||||||||||||
Standard Chartered Bank | EUR | 2,254 | CHF | 2,605 | 5/15/2018 | 10,574 | ||||||||||||||
Standard Chartered Bank | EUR | 2,173 | JPY | 292,975 | 5/15/2018 | 93,874 | ||||||||||||||
Standard Chartered Bank | GBP | 1,907 | USD | 2,693 | 5/15/2018 | 58,707 | ||||||||||||||
Standard Chartered Bank | SGD | 4,504 | USD | 3,423 | 5/15/2018 | 18,160 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 73 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Standard Chartered Bank | TRY | 3,429 | USD | 878 | 5/15/2018 | $ | (4,894 | ) | ||||||||||||
Standard Chartered Bank | USD | 1,798 | NOK | 14,060 | 5/15/2018 | (12,817 | ) | |||||||||||||
Standard Chartered Bank | USD | 2,167 | TRY | 8,464 | 5/15/2018 | 11,263 | ||||||||||||||
State Street Bank & Trust Co. | USD | 1,454 | AUD | 1,797 | 3/07/2018 | (57,555 | ) | |||||||||||||
State Street Bank & Trust Co. | PLN | 762 | USD | 221 | 3/09/2018 | (1,886 | ) | |||||||||||||
State Street Bank & Trust Co. | EUR | 233 | USD | 290 | 3/12/2018 | 5,105 | ||||||||||||||
State Street Bank & Trust Co. | USD | 272 | EUR | 218 | 3/12/2018 | (5,298 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 1,009 | EUR | 851 | 3/12/2018 | 29,220 | ||||||||||||||
State Street Bank & Trust Co. | CHF | 1,148 | USD | 1,176 | 3/14/2018 | (40,852 | ) | |||||||||||||
State Street Bank & Trust Co. | EUR | 1,535 | GBP | 1,360 | 3/14/2018 | (1,264 | ) | |||||||||||||
State Street Bank & Trust Co. | EUR | 1,441 | USD | 1,725 | 3/14/2018 | (34,996 | ) | |||||||||||||
State Street Bank & Trust Co. | JPY | 2,726 | USD | 25 | 3/14/2018 | (1,061 | ) | |||||||||||||
State Street Bank & Trust Co. | SGD | 193 | USD | 145 | 3/14/2018 | (824 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 843 | AUD | 1,073 | 3/14/2018 | (9,334 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 930 | CHF | 905 | 3/14/2018 | 29,700 | ||||||||||||||
State Street Bank & Trust Co. | USD | 123 | EUR | 98 | 3/14/2018 | (3,087 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 8,020 | EUR | 6,736 | 3/14/2018 | 204,759 | ||||||||||||||
State Street Bank & Trust Co. | USD | 2,489 | SEK | 20,309 | 3/14/2018 | (36,253 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 147 | SGD | 193 | 3/14/2018 | (852 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 1,419 | ZAR | 17,331 | 3/14/2018 | 48,051 | ||||||||||||||
State Street Bank & Trust Co. | NOK | 2,470 | EUR | 254 | 3/28/2018 | (2,678 | ) | |||||||||||||
State Street Bank & Trust Co. | SEK | 2,590 | EUR | 260 | 3/28/2018 | 5,081 | ||||||||||||||
State Street Bank & Trust Co. | USD | 569 | NOK | 4,746 | 3/28/2018 | 32,646 | ||||||||||||||
State Street Bank & Trust Co. | CAD | 582 | USD | 469 | 4/12/2018 | 15,261 | ||||||||||||||
State Street Bank & Trust Co. | RUB | 10,493 | USD | 183 | 4/17/2018 | (1,967 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 161 | ILS | 566 | 4/20/2018 | 1,920 | ||||||||||||||
State Street Bank & Trust Co. | EUR | 1,502 | USD | 1,852 | 5/15/2018 | 9,267 | ||||||||||||||
State Street Bank & Trust Co. | ILS | 3,045 | USD | 888 | 5/15/2018 | 9,088 | ||||||||||||||
State Street Bank & Trust Co. | HKD | 137 | USD | 17 | 5/17/2018 | 10 | ||||||||||||||
State Street Bank & Trust Co. | USD | 206 | MYR | 812 | 7/12/2018 | 251 | ||||||||||||||
UBS AG | EUR | 9,453 | USD | 11,165 | 3/14/2018 | (377,206 | ) | |||||||||||||
UBS AG | SGD | 101 | CHF | 71 | 8/27/2018 | (453 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (2,001,716 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
CALL OPTIONS WRITTEN (see Note D)
Description | Counterparty | Contracts | Exercise Price | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||||||||
Euro STOXX 50 Index | Citibank, NA | 3,940 | EUR | 3,475.00 | April 2018 | EUR | 4 | $ | 289,878 | $ | (229,860 | ) | ||||||||||||||||||||||
S&P 500 Index | Goldman Sachs International | 19,000 | USD | 2,790.00 | April 2018 | USD | 19 | 891,100 | (473,432 | ) | ||||||||||||||||||||||||
FTSE 100 Index | Citibank, NA | 800 | GBP | 7,275.00 | April 2018 | GBP | 1 | 120,645 | (89,533 | ) | ||||||||||||||||||||||||
Nikkei 225 Index | Goldman Sachs International | 39,000 | JPY | 22,000.00 | April 2018 | JPY | 39 | 217,741 | (188,993 | ) | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
$ | 1,519,364 | $ | (981,818 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
74 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
PUT OPTIONS WRITTEN (see Note D)
Description | Counterparty | Contracts | Exercise Price | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||||||||
Nikkei 225 Index | Goldman Sachs International | 39,000 | JPY | 22,000.00 | April 2018 | JPY | 39 | $ | 167,409 | $ | (224,477 | ) | ||||||||||||||||||||||
Euro STOXX 50 Index | Citibank, NA | 3,940 | EUR | 3,475.00 | April 2018 | EUR | 4 | 402,676 | (477,354 | ) | ||||||||||||||||||||||||
FTSE 100 Index | Citibank, NA | 800 | GBP | 7,275.00 | April 2018 | GBP | 1 | 143,008 | (185,291 | ) | ||||||||||||||||||||||||
S&P 500 Index | Goldman Sachs International | 19,000 | USD | 2,790.00 | April 2018 | USD | 19 | 1,064,000 | (1,806,111 | ) | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
$ | 1,777,093 | $ | (2,693,233 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
CREDIT DEFAULT SWAPTIONS WRITTEN (see Note D)
Description | Counterparty | Buy/Sell Protection | Strike Rate | Expiration Month | Notional Amount (000) | Premiums Received | Market Value | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
CDX-NAHY Series 29, 5 Year Index RTP | | Deutsche Bank AG | | Sell | 105.00 | % | Mar 2018 | $ | 1,000 | $ | 3,000 | $ | (2,046 | ) | ||||||||||||||
CDX-NAHY Series 29, 5 Year Index RTP | | Citibank, NA | | Sell | 103.00 | Mar 2018 | 680 | 952 | (583 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | 3,952 | $ | (2,629 | ) | ||||||||||||||||||||||||
|
|
|
|
CURRENCY OPTIONS WRITTEN (see Note D)
Description/ Counterparty | Exercise Price | Expiration Month | Contracts | Notional (000) | Premiums Received | U.S. $ Value | ||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||||
JPY vs. AUD/ Bank of America, NA | JPY | 79.500 | 05/2018 | 131,175,000 | JPY | 131,175 | $ | 9,700 | $ | (8,641 | ) | |||||||||||||||||||||
JPY vs. CAD/ Morgan Stanley Capital Services LLC | JPY | 80.000 | 05/2018 | 134,000,000 | JPY | 134,000 | 6,498 | (9,706 | ) | |||||||||||||||||||||||
USD vs. MXN/ Credit Suisse International | USD | 21.500 | 07/2018 | 710,000 | USD | 710 | 12,142 | (5,076 | ) | |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
CAD vs. AUD/ JPMorgan Chase Bank, NA | CAD | 1.007 | 05/2018 | 1,686,390 | CAD | 1,686 | 6,920 | (8,537 | ) | |||||||||||||||||||||||
INR vs. USD/ JPMorgan Chase Bank, NA | INR | 71.320 | 02/2019 | 46,358,000 | INR | 46,358 | 6,019 | (8,160 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 75 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description/ Counterparty | Exercise Price | Expiration Month | Contracts | Notional (000) | Premiums Received | U.S. $ Value | ||||||||||||||||||||||||||
MXN vs. CAD/ Bank of America, NA | MXN | 15.680 | 04/2018 | 12,936,000 | MXN | 12,936 | $ | 4,307 | $ | (752 | ) | |||||||||||||||||||||
MXN vs. CAD/ Morgan Stanley Capital Services LLC | MXN | 15.450 | 05/2018 | 66,666,750 | MXN | 66,667 | 28,553 | (31,415 | ) | |||||||||||||||||||||||
MXN vs. CAD/ Morgan Stanley Capital Services LLC | MXN | 15.450 | 05/2018 | 66,666,750 | MXN | 66,667 | 27,829 | (31,415 | ) | |||||||||||||||||||||||
MXN vs. USD/ Deutsche Bank AG | MXN | 22.000 | 08/2018 | 101,640,000 | MXN | 101,640 | 66,713 | (35,236 | ) | |||||||||||||||||||||||
MXN vs. USD/ Morgan Stanley Capital Services LLC | MXN | 21.390 | 03/2018 | 14,435,550 | MXN | 14,436 | 6,139 | (191 | ) | |||||||||||||||||||||||
MXN vs. USD/ Morgan Stanley Capital Services LLC | MXN | 23.820 | 02/2019 | 15,483,000 | MXN | 15,483 | 8,660 | (8,794 | ) | |||||||||||||||||||||||
NOK vs. EUR/ Barclays Bank PLC | NOK | 9.920 | 05/2018 | 5,455,450 | NOK | 5,455 | 3,790 | (2,620 | ) | |||||||||||||||||||||||
NOK vs. EUR/ Barclays Bank PLC | NOK | 10.000 | 03/2018 | 11,500,000 | NOK | 11,500 | 6,104 | (265 | ) | |||||||||||||||||||||||
NOK vs. EUR/ Morgan Stanley Capital Services LLC | NOK | 9.810 | 04/2018 | 10,791,000 | NOK | 10,791 | 7,015 | (7,336 | ) | |||||||||||||||||||||||
NZD vs. AUD/ Goldman Sachs Bank USA | NZD | 1.120 | 03/2018 | 1,988,000 | NZD | 1,988 | 6,752 | (267 | ) | |||||||||||||||||||||||
PEN vs. USD/ Morgan Stanley Capital Services LLC | PEN | 3.360 | 03/2018 | 2,268,000 | PEN | 2,268 | 2,518 | (276 | ) | |||||||||||||||||||||||
RUB vs. USD/ JPMorgan Chase Bank, NA | RUB | 58.680 | 03/2018 | 39,609,000 | RUB | 39,609 | 3,240 | (2,020 | ) | |||||||||||||||||||||||
SEK vs. EUR/ Deutsche Bank AG | SEK | 10.000 | 04/2018 | 11,250,000 | SEK | 11,250 | 7,146 | (21,495 | ) | |||||||||||||||||||||||
SEK vs. EUR/ JPMorgan Chase Bank, NA | SEK | 10.030 | 04/2018 | 5,767,250 | SEK | 5,767 | 3,333 | (9,319 | ) | |||||||||||||||||||||||
SEK vs. EUR/ Morgan Stanley Capital Services LLC | SEK | 10.100 | 03/2018 | 46,056,000 | SEK | 46,056 | 27,294 | (21,029 | ) |
76 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description/ Counterparty | Exercise Price | Expiration Month | Contracts | Notional (000) | Premiums Received | U.S. $ Value | ||||||||||||||||||||||||||
SEK vs. EUR/ Morgan Stanley Capital Services LLC | SEK | 10.100 | 03/2018 | 5,807,500 | SEK | 5,808 | $ | 3,442 | $ | (2,652 | ) | |||||||||||||||||||||
SGD vs. CHF/ UBS AG | SGD | 1.480 | 08/2018 | 555,000 | SGD | 555 | 2,883 | (2,229 | ) | |||||||||||||||||||||||
TRY vs. CHF/ UBS AG | TRY | 5.900 | 02/2019 | 3,687,500 | TRY | 3,688 | 6,741 | (5,969 | ) | |||||||||||||||||||||||
TRY vs. EUR/ Deutsche Bank AG | TRY | 4.900 | 04/2018 | 24,587,041 | TRY | 24,587 | 64,169 | (14,539 | ) | |||||||||||||||||||||||
TRY vs. EUR/ Deutsche Bank AG | TRY | 5.050 | 05/2018 | 2,777,500 | TRY | 2,778 | 6,210 | (2,906 | ) | |||||||||||||||||||||||
TRY vs. EUR/ Goldman Sachs Bank USA | TRY | 5.050 | 05/2018 | 13,988,500 | TRY | 13,989 | 33,846 | (14,748 | ) | |||||||||||||||||||||||
TRY vs. JPY/ JPMorgan Chase Bank, NA | TRY | 0.040 | 04/2018 | 2,550,000 | TRY | 2,550 | 7,380 | (7,689 | ) | |||||||||||||||||||||||
TRY vs. USD/ Goldman Sachs Bank USA | TRY | 4.040 | 05/2018 | 13,877,400 | TRY | 13,877 | 36,081 | (34,563 | ) | |||||||||||||||||||||||
TRY vs. USD/ Goldman Sachs Bank USA | TRY | 4.040 | 04/2018 | 2,727,000 | TRY | 2,727 | 6,865 | (1,527 | ) | |||||||||||||||||||||||
TRY vs. USD/ JPMorgan Chase Bank, NA | TRY | 4.040 | 04/2018 | 2,826,600 | TRY | 2,827 | 6,461 | (2,187 | ) | |||||||||||||||||||||||
TRY vs. USD/ Morgan Stanley Capital Services LLC | TRY | 4.020 | 04/2018 | 2,713,500 | TRY | 2,714 | 7,256 | (4,266 | ) | |||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
$ | 432,006 | $ | (305,825 | ) | ||||||||||||||||||||||||||||
|
|
|
|
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||
Notional | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/Received | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
USD | 18,085 | 1/17/20 | | 3 Month LIBOR | | 2.204% | Quarterly/Semi-Annual | $ | (90,097 | ) | ||||||||||
USD | 18,085 | 1/17/20 | | 3 Month LIBOR | | 2.170% | Quarterly/Semi-Annual | (102,080 | ) | |||||||||||
USD | 7,310 | 1/17/23 | 2.420% | 3 Month LIBOR | Semi-Annual/Quarterly | 109,000 | ||||||||||||||
USD | 7,310 | 1/17/23 | 2.389% | 3 Month LIBOR | Semi-Annual/Quarterly | 119,781 | ||||||||||||||
|
| |||||||||||||||||||
$ | 36,604 | |||||||||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 77 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment quency | Implied Credit Spread at February 28, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||
CDX-NAHY Series 28, 5 Year Index, 6/20/22* | (5.00 | )% | Quarterly | 3.00 | % | USD | 18,770 | $ | (1,599,230 | ) | $ | (1,534,698 | ) | $ | (64,532 | ) | ||||||||||||||
CDX-NAHY Series 29, 5 Year Index, 12/20/22* | (5.00 | ) | Quarterly | 3.31 | USD | 5 | (396 | ) | (421 | ) | 25 | |||||||||||||||||||
CDX-NAHY Series 29, 5 Year Index, 12/20/22* | (5.00 | ) | Quarterly | 3.31 | USD | 6,500 | (514,250 | ) | (499,211 | ) | (15,039 | ) | ||||||||||||||||||
CDX-NAHY Series 29, 5 Year Index, 12/20/22* | (5.00 | ) | Quarterly | 3.31 | USD | 3,690 | (291,936 | ) | (306,580 | ) | 14,644 | |||||||||||||||||||
CDX-NAHY Series 29, 5 Year Index, 12/20/22* | (5.00 | ) | Quarterly | 3.31 | USD | 8,190 | (647,955 | ) | (421,163 | ) | (226,792 | ) | ||||||||||||||||||
iTraxxx Xover Series 26, 5 Year Index, 12/20/21* | (5.00 | ) | Quarterly | 2.02 | EUR | 4,150 | (594,676 | ) | (582,091 | ) | (12,585 | ) |
78 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Fixed Rate (Pay) Receive | Payment quency | Implied Credit Spread at February 28, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
iTraxxx Xover Series 28, 5 Year Index, 12/20/22* | (5.00 | ) % | Quarterly | 2.65 | % | EUR | 1,940 | $ | (266,433 | ) | $ | (279,044 | ) | $ | 12,611 | |||||||||||||||
iTraxxx Xover Series 28, 5 Year Index, 12/20/22* | (5.00 | ) | Quarterly | 2.65 | EUR | 6,950 | (956,653 | ) | (864,863 | ) | (91,790 | ) | ||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||
CDX-NAHY Series 29, 5 Year Index, 12/20/22* | 5.00 | Quarterly | 3.31 | USD | 6,580 | 520,580 | 466,474 | 54,106 | ||||||||||||||||||||||
CDX-NAIG Series 28, 5 Year Index, 6/20/22* | 1.00 | Quarterly | 0.52 | USD | 105,330 | 2,257,921 | 2,152,278 | 105,643 | ||||||||||||||||||||||
iTraxxx Europe Series 27, 5 Year Index, 6/20/22* | 1.00 | Quarterly | 0.44 | EUR | 42,780 | 1,364,868 | 1,313,550 | 51,318 | ||||||||||||||||||||||
iTraxxx Xover Series 28, 5 Year Index, 12/20/22* | 5.00 | Quarterly | 2.65 | EUR | 1,000 | 137,783 | 123,206 | 14,577 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (590,377 | ) | $ | (432,563 | ) | $ | (157,814 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 79 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
K Hovnanian Enterprises, Inc., 7.000%, 1/15/19, 12/20/22* | (5.00 | )% | Quarterly | 36.86 | % | USD | 140 | $ | 35,565 | $ | 43,753 | $ | (8,188 | ) | ||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX. | 5.00 | % | Monthly | 12.54 | USD | 2,500 | (620,056 | ) | (457,076 | ) | (162,980 | ) | ||||||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||||||||
CDX-CMBX. | 5.00 | Monthly | 12.54 | USD | 2,500 | (620,056 | ) | (466,821 | ) | (153,235 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.20 | USD | 5,800 | (894,553 | ) | (597,507 | ) | (297,046 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
K Hovnanian Enterprises, Inc., 7.000%, 1/15/19, 12/20/18* | 5.00 | Quarterly | 74.71 | USD | 140 | (29,825 | ) | (30,319 | ) | 494 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (2,128,925 | ) | $ | (1,507,970 | ) | $ | (620,955 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
80 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Clearing Broker/ (Exchange) & Referenced Obligation | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Citibank, NA | USD | 21,870 | 7/15/22 | 2.163 | % | CPI | # | Maturity | $ | 108,249 |
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Payment Frequency | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Receive Total Return on Reference Obligation | ||||||||||||||||||||||
Bank of America, NAiBoxx $ Liquid High Yield Index | 118,000 | LIBOR | Quarterly | USD | 118 | 3/20/18 | $ | (867 | ) | |||||||||||||
iBoxx $ Liquid High Yield Index | 236,000 | LIBOR | Quarterly | USD | 236 | 3/20/18 | (1,755 | ) | ||||||||||||||
iBoxx $ Liquid High Yield Index | 354,000 | LIBOR | Quarterly | USD | 354 | 3/20/18 | (2,633 | ) | ||||||||||||||
iBoxx $ Liquid High Yield Index | 473,000 | LIBOR | Quarterly | USD | 473 | 3/20/18 | (3,518 | ) | ||||||||||||||
Barclays Bank PLC Barclays Capital US Inflation Linked Bonds 1 to 10 Year | 139,500,000 | LIBOR Plus 0.14% | Quarterly | USD | 139,500 | 5/01/18 | (977,995 | ) | ||||||||||||||
Citibank, NAiBoxx $ Liquid High Yield Index | 118,000 | LIBOR | Quarterly | USD | 118 | 3/20/18 | (943 | ) | ||||||||||||||
iBoxx $ Liquid High Yield Index | 236,000 | LIBOR | Quarterly | USD | 236 | 3/20/18 | (1,712 | ) | ||||||||||||||
iBoxx $ Liquid High Yield Index | 473,000 | LIBOR | Quarterly | USD | 473 | 3/20/18 | (3,431 | ) | ||||||||||||||
Goldman Sachs International Russell 2000 Total Return Index | 1,437 | LIBOR Minus 0.15% | Quarterly | USD | 10,878 | 5/15/18 | (178,122 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 81 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Payment Frequency | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
iBoxx $ Liquid High Yield Index | 650,000 | LIBOR | Quarterly | USD | 650 | 6/20/18 | $ | (566 | ) | |||||||||||||||||
GSABVISP | 46,710 | LIBOR Plus 0.45% | Quarterly | USD | 10,509 | 1/15/19 | (273,184 | ) | ||||||||||||||||||
GSABLJHB | 9,888,965 | LIBOR plus 0.20% | Quarterly | JPY | 892,677 | 2/15/19 | 225,223 | |||||||||||||||||||
Morgan Stanley Capital Services LLC iBoxx $ Liquid High Yield Index | 236,000 | LIBOR | Quarterly | USD | 236 | 3/20/18 | (1,930 | ) | ||||||||||||||||||
MSABRDL | 141,966 | LIBOR | Quarterly | USD | 14,408 | 2/15/19 | (46,504 | ) | ||||||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||||||||
Goldman Sachs International S&P 500 Total Return Index | 22,412 | LIBOR Plus 0.27% | Quarterly | USD | 119,643 | 5/15/18 | 769,936 | |||||||||||||||||||
GSABHVIP | 41,426 | LIBOR | Quarterly | USD | 10,834 | 1/15/19 | 176,079 | |||||||||||||||||||
GSABSJHB | 9,888,965 | LIBOR Minus 0.20% | Quarterly | JPY | 921,948 | 2/15/19 | (238,199 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC MSABRDS | 142,488 | LIBOR Minus 0.25% | Quarterly | USD | 15,252 | 2/15/19 | 47,910 | |||||||||||||||||||
UBS AG FTSE EPRA Nareit Developed Total Return Index USD | 4,141 | LIBOR Plus 0.50% | Quarterly | USD | 19,582 | 3/15/19 | 315,380 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | (196,831 | ) | ||||||||||||||||||||||||
|
|
VARIANCE SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Volatility Strike Price | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid) Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||
AUD/JPY 1/14/20* | $ | 11.12 | Maturity | AUD | 18 | $ | (5 | ) | $ | – | 0 – | $ | (5 | ) | ||||||||||||
Sale Contracts | ||||||||||||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||
S&P 500 Index 3/16/18* | 26.35 | Maturity | USD | 0 | ** | 18,148 | – | 0 – | 18,148 | |||||||||||||||||
SPDR S&P 500 ETF Trust 3/05/18* | 14.25 | Maturity | USD | 0 | ** | (9,165 | ) | – | 0 – | (9,165 | ) |
82 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Volatility Strike Price | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid) Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
UBS AG | ||||||||||||||||||||||||||
SPDR S&P 500 ETF Trust 2/28/18* | $ | 15.60 | Maturity | USD | 0 | ** | $ | (9,761 | ) | $ | – 0 | – | $ | (9,761 | ) | |||||||||||
SPDR S&P 500 ETF Trust 3/02/18* | 14.20 | Maturity | USD | 0 | ** | (24,245 | ) | – 0 | – | (24,245 | ) | |||||||||||||||
SPDR S&P 500 ETF Trust 3/07/18* | 17.65 | Maturity | USD | 0 | ** | – 0 | – | – 0 | – | – 0 | – | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (25,028 | ) | $ | – 0 | – | $ | (25,028 | ) | ||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
* | Principal amount less than 500. |
** | Notional amount less than 500. |
(a) | Non-income producing security. |
(b) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(c) | Illiquid security. |
(d) | Fair valued by the Adviser. |
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the aggregate market value of these securities amounted to $51,141,078 or 6.0% of net assets. |
(f) | Represents entire or partial securities out on loan |
(g) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.13% of net assets as of February 28, 2018, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Artsonig Pty Ltd. | 10/01/17 | $ | – 0 | – | $ | – 0 | – | 0.00 | % | |||||||
BI-LO LLC/BI-LO Finance Corp. | 4/26/17 | 147,113 | 154,181 | 0.02 | % | |||||||||||
BI-LO LLC/BI-LO Finance Corp. | 9/15/17 | 77,673 | 41,185 | 0.00 | % | |||||||||||
Creditcorp | 4/26/17 | 77,285 | 75,328 | 0.01 | % | |||||||||||
Dominican Republic | 6/02/17 | 600,539 | 596,148 | 0.07 | % | |||||||||||
Exide Technologies | 12/01/17 | 70,201 | 75,876 | 0.01 | % | |||||||||||
Exide Technologies | 12/01/17 | 5,330 | 6,207 | 0.00 | % | |||||||||||
H/2 Asset Funding NRE Series 2015-1A, Class AFL | 3/29/17 | 94,798 | 95,462 | 0.01 | % | |||||||||||
K2016470219 South Africa Ltd. | 4/26/17 | 5,713 | 1,748 | 0.00 | % |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 83 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
K2016470260 South Africa Ltd. | 4/26/17 | $ | 12,275 | $ | 9,100 | 0.00 | % | |||||||||
Magnetation LLC/ | 4/26/17 | 15 | 1 | 0.00 | % | |||||||||||
Modular Space Corp. | 4/26/17 | 76,076 | 99,853 | 0.01 | % | |||||||||||
Texas Competitive/TCEH 11.50%, 10/01/20 | 4/26/17 | – 0 | – | – 0 | – | 0.00 | % | |||||||||
Tonon Luxembourg SA | 4/26/17 | 1,486 | 647 | 0.00 | % | |||||||||||
Vantage Drilling International | 4/26/17 | 2,075 | 2,083 | 0.00 | % | |||||||||||
Virgolino de Oliveira Finance SA | 4/26/17 | 33,435 | 27,657 | 0.00 | % |
(h) | Restricted and illiquid security. |
Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
CHC Group LLC | 4/26/17 | $ | 34,109 | $ | 22,245 | 0.00 | % | |||||||||
CHC Group LLC/CHC Finance Ltd. | 4/26/17 | 220,632 | 204,434 | 0.02 | % | |||||||||||
Exide Technologies | 4/26/17 | 2,165 | 9,686 | 0.00 | % | |||||||||||
Exide Technologies/Old | 4/26/17 | 1,094 | 4,898 | 0.00 | % | |||||||||||
Momentive Performance Materials, Inc. | 4/26/17 | – 0 | – | – 0 | – | 0.00 | % |
(i) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(j) | Affiliated investments. |
(k) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at February 28, 2018. |
(l) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at February 28, 2018. |
(m) | Defaulted. |
(n) | Convertible security. |
(o) | Defaulted matured security. |
(p) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at February 28, 2018. |
(q) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(r) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(s) | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at February 28, 2018. |
(t) | This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase. |
(u) | The rate shown represents the 7-day yield as of period end. |
84 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Currency Abbreviations:
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 DOP – Dominican Peso EUR – Euro GBP – Great British Pound HKD – Hong Kong Dollar HUF – Hungarian Forint IDR – Indonesian Rupiah ILS – Israeli Shekel INR – Indian Rupee | JPY – Japanese Yen KRW – South Korean Won MXN – Mexican Peso MYR – Malaysian Ringgit NOK – Norwegian Krone NZD – New Zealand Dollar PEN – Peruvian Sol PLN – Polish Zloty RUB – Russian Ruble SEK – Swedish Krona SGD – Singapore Dollar TRY – Turkish Lira TWD – New Taiwan Dollar USD – United States Dollar UYU – Uruguayan Peso ZAR – South African Rand |
Glossary:
ABS – Asset-Backed Securities
ADR – American Depositary Receipt
ARPP7DRR – Argentina Central Bank 7-Day Repo Reference Rate
BOBL – Bundesobligationen
CBOE – Chicago Board Options Exchange
CBT – Chicago Board of Trade
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CMBS – Commercial Mortgage-Backed Securities
CME – Chicago Mercantile Exchange
EAFE – Europe, Australia, and Far East
EPRA – European Public Real Estate Association
ETF – Exchange Traded Fund
FTSE – Financial Times Stock Exchange
KC HRW – Kansas City Hard Red Winter
LIBOR – London Interbank Offered Rates
MSCI – Morgan Stanley Capital International
NIBOR – Norwegian Interbank Offered Rate
OSE – Osaka Securities Exchange
PJSC – Public Joint Stock Company
REG – Registered Shares
RTP – Right To Pay
SPDR – Standard & Poor’s Depository Receipt
SPI – Share Price Index
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 85 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABBVISP as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Intel Corp. | 43,668 | $ | 2,152,396 | 2.2 | % | |||||||
Cisco Systems, Inc. | 46,577 | 2,085,718 | 2.1 | % | ||||||||
Texas Instruments, Inc. | 19,244 | 2,085,087 | 2.1 | % | ||||||||
Starbucks Corp. | 36,101 | 2,061,367 | 2.1 | % | ||||||||
salesforce.com, Inc. | 17,699 | 2,057,509 | 2.1 | % | ||||||||
Costco Wholesale Corp. | 10,719 | 2,046,257 | 2.1 | % | ||||||||
Sempra Energy | 18,755 | 2,043,920 | 2.0 | % | ||||||||
Oracle Corp. | 40,331 | 2,043,572 | 2.0 | % | ||||||||
Lam Research Corp. | 10,618 | 2,037,169 | 2.0 | % | ||||||||
Chevron Corp. | 18,200 | 2,036,944 | 2.0 | % | ||||||||
International Business Machines Corp. | 13,057 | 2,034,672 | 2.0 | % | ||||||||
Best Buy Co., Inc. | 28,054 | 2,032,232 | 2.0 | % | ||||||||
Pfizer, Inc. | 55,960 | 2,031,908 | 2.0 | % | ||||||||
Schlumberger Ltd. | 30,788 | 2,020,924 | 2.0 | % | ||||||||
Express Scripts Holding Co. | 26,767 | 2,019,570 | 2.0 | % | ||||||||
United Technologies Corp. | 14,972 | 2,017,327 | 2.0 | % | ||||||||
Anthem, Inc. | 8,559 | 2,014,617 | 2.0 | % | ||||||||
Amgen, Inc. | 10,962 | 2,014,487 | 2.0 | % | ||||||||
Public Storage | 10,355 | 2,013,426 | 2.0 | % | ||||||||
Dominion Energy, Inc. | 27,181 | 2,013,297 | 2.0 | % | ||||||||
Target Corp. | 26,656 | 2,010,129 | 2.0 | % | ||||||||
Marriott International, Inc./MD | 14,225 | 2,008,712 | 2.0 | % | ||||||||
Accenture PLC | 12,475 | 2,008,600 | 2.0 | % | ||||||||
Johnson & Johnson | 15,395 | 1,999,503 | 2.0 | % | ||||||||
NVIDIA Corp. | 8,259 | 1,998,678 | 2.0 | % | ||||||||
NIKE, Inc. | 29,793 | 1,997,025 | 2.0 | % | ||||||||
Exxon Mobil Corp. | 26,364 | 1,996,809 | 2.0 | % | ||||||||
Ford Motor Co. | 188,147 | 1,996,240 | 2.0 | % | ||||||||
3M Co. | 8,475 | 1,995,947 | 2.0 | % | ||||||||
Verizon Communications, Inc. | 41,780 | 1,994,577 | 2.0 | % | ||||||||
Simon Property Group, Inc. | 12,984 | 1,993,174 | 2.0 | % | ||||||||
CVS Health Corp. | 29,412 | 1,992,075 | 2.0 | % | ||||||||
UnitedHealth Group, Inc. | 8,807 | 1,991,791 | 2.0 | % | ||||||||
AT&T, Inc. | 54,840 | 1,990,692 | 2.0 | % | ||||||||
Coca-Cola Co (The) | 45,956 | 1,986,218 | 2.0 | % | ||||||||
Gilead Sciences, Inc. | 25,189 | 1,983,130 | 2.0 | % | ||||||||
Walgreens Boots Alliance, Inc. | �� | 28,707 | 1,977,625 | 2.0 | % | |||||||
AbbVie, Inc. | 17,013 | 1,970,616 | 2.0 | % | ||||||||
Kimberly-Clark Corp. | 17,729 | 1,966,501 | 2.0 | % | ||||||||
Home Depot, Inc. (The) | 10,783 | 1,965,417 | 2.0 | % | ||||||||
Valero Energy Corp. | 21,727 | 1,964,555 | 2.0 | % | ||||||||
Walt Disney Co (The) | 19,004 | 1,960,453 | 2.0 | % | ||||||||
Union Pacific Corp. | 14,970 | 1,949,843 | 2.0 | % | ||||||||
Caterpillar, Inc. | 12,590 | 1,946,792 | 2.0 | % | ||||||||
Procter & Gamble Co (The) | 24,740 | 1,942,585 | 1.9 | % | ||||||||
Walmart, Inc. | 21,559 | 1,940,526 | 1.9 | % | ||||||||
General Electric Co. | 136,799 | 1,930,234 | 1.9 | % | ||||||||
General Motors Co. | 48,888 | 1,923,743 | 1.9 | % | ||||||||
Celgene Corp. | 21,327 | 1,858,008 | 1.9 | % | ||||||||
General Mills, Inc. | 36,397 | 1,839,868 | 1.8 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 99,942,465 | 100.0 | % | ||||||||
|
|
|
|
86 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABLJHB as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Shiseido Co., Ltd. | 1,847,219 | $ | 11,934,884,860 | 1.3 | % | |||||||
Kose Corp. | 563,239 | 11,343,624,598 | 1.2 | % | ||||||||
Hitachi High-Technologies Corp. | 2,093,434 | 10,990,529,865 | 1.2 | % | ||||||||
FamilyMart UNY Holdings Co., Ltd. | 1,353,441 | 10,949,337,650 | 1.2 | % | ||||||||
Yamato Holdings Co., Ltd. | 3,985,991 | 10,674,483,046 | 1.2 | % | ||||||||
SCREEN Holdings Co., Ltd. | 1,060,048 | 10,642,881,890 | 1.2 | % | ||||||||
M3, Inc. | 2,541,444 | 10,623,233,972 | 1.2 | % | ||||||||
Nippon Paint Holdings Co., Ltd. | 2,670,742 | 10,442,600,551 | 1.1 | % | ||||||||
Advantest Corp. | 4,546,508 | 10,306,933,158 | 1.1 | % | ||||||||
Hitachi Construction Machinery Co., Ltd. | 2,226,569 | 10,231,085,162 | 1.1 | % | ||||||||
Kyowa Hakko Kirin Co., Ltd. | 4,503,442 | 10,222,813,488 | 1.1 | % | ||||||||
Subaru Corp. | 2,701,840 | 10,212,954,198 | 1.1 | % | ||||||||
Tokyo Gas Co., Ltd. | 3,764,853 | 10,108,630,826 | 1.1 | % | ||||||||
Kobe Steel Ltd. | 8,489,415 | 10,102,403,852 | 1.1 | % | ||||||||
Kaneka Corp. | 9,210,589 | 10,048,752,124 | 1.1 | % | ||||||||
Showa Denko KK | 1,878,499 | 9,993,617,202 | 1.1 | % | ||||||||
Aeon Mall Co., Ltd. | 4,455,127 | 9,966,118,260 | 1.1 | % | ||||||||
Toshiba Corp. | 31,269,676 | 9,912,487,267 | 1.1 | % | ||||||||
Sumitomo Dainippon Pharma Co., Ltd. | 6,027,199 | 9,902,687,168 | 1.1 | % | ||||||||
TDK Corp. | 1,011,715 | 9,884,460,103 | 1.1 | % | ||||||||
Ube Industries Ltd. | 2,916,687 | 9,800,067,410 | 1.1 | % | ||||||||
SUMCO Corp. | 3,380,220 | 9,745,173,571 | 1.1 | % | ||||||||
Sumitomo Rubber Industries Ltd. | 4,725,275 | 9,724,616,067 | 1.1 | % | ||||||||
Mitsubishi Motors Corp. | 11,439,254 | 9,711,926,858 | 1.0 | % | ||||||||
Seino Holdings Co., Ltd. | 5,277,806 | 9,663,663,086 | 1.0 | % | ||||||||
Tokyo Electron Ltd. | 458,205 | 9,649,794,046 | 1.0 | % | ||||||||
Medipal Holdings Corp. | 4,400,069 | 9,636,151,563 | 1.0 | % | ||||||||
Yokogawa Electric Corp. | 4,421,541 | 9,630,115,815 | 1.0 | % | ||||||||
NGK Spark Plug Co., Ltd. | 3,523,535 | 9,626,298,467 | 1.0 | % | ||||||||
NTT Urban Development Corp. | 7,217,818 | 9,592,480,167 | 1.0 | % | ||||||||
Nomura Real Estate Holdings, Inc. | 3,704,036 | 9,586,044,894 | 1.0 | % | ||||||||
SBI Holdings, Inc./Japan | 3,842,481 | 9,525,511,262 | 1.0 | % | ||||||||
Toyota Boshoku Corp. | 4,139,036 | 9,507,365,437 | 1.0 | % | ||||||||
Nippon Express Co., Ltd. | 1,315,955 | 9,474,876,036 | 1.0 | % | ||||||||
Mazda Motor Corp. | 6,315,272 | 9,450,805,097 | 1.0 | % | ||||||||
J Front Retailing Co., Ltd. | 4,837,540 | 9,438,039,771 | 1.0 | % | ||||||||
Kikkoman Corp. | 2,214,233 | 9,432,632,410 | 1.0 | % | ||||||||
Asics Corp. | 5,511,043 | 9,418,372,849 | 1.0 | % | ||||||||
Yokohama Rubber Co., Ltd. (The) | 3,534,786 | 9,370,716,915 | 1.0 | % | ||||||||
Sony Financial Holdings, Inc. | 4,676,512 | 9,353,023,708 | 1.0 | % | ||||||||
Sumitomo Realty & Development Co., Ltd. | 2,396,682 | 9,349,457,254 | 1.0 | % | ||||||||
IHI Corp. | 2,554,460 | 9,349,321,796 | 1.0 | % | ||||||||
Hino Motors Ltd. | 6,605,972 | 9,347,450,398 | 1.0 | % | ||||||||
Tokyu Fudosan Holdings Corp. | 11,735,304 | 9,294,360,641 | 1.0 | % | ||||||||
Casio Computer Co., Ltd. | 5,853,867 | 9,290,086,412 | 1.0 | % |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 87 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Taiyo Nippon Sanso Corp. | 5,888,496 | $ | 9,250,826,919 | 1.0 | % | |||||||
Zeon Corp. | 5,709,804 | 9,215,623,036 | 1.0 | % | ||||||||
Idemitsu Kosan Co., Ltd. | 2,231,507 | 9,204,967,666 | 1.0 | % | ||||||||
Sompo Holdings, Inc. | 2,215,714 | 9,179,704,018 | 1.0 | % | ||||||||
Kawasaki Heavy Industries Ltd. | 2,341,610 | 9,179,109,397 | 1.0 | % | ||||||||
Other | 258,801,169 | 434,527,661,966 | 46.9 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 927,020,764,172 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABRDL as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Zebra Technologies Corp. | 1,800 | $ | 248,689 | 1.7 | % | |||||||
Hewlett Packard Enterprise Co. | 13,180 | 245,012 | 1.7 | % | ||||||||
Intel Corp. | 4,708 | 232,052 | 1.6 | % | ||||||||
Cypress Semiconductor Corp. | 13,184 | 230,328 | 1.6 | % | ||||||||
Dell Technologies, Inc. – Class V | 3,085 | 229,172 | 1.6 | % | ||||||||
ON Semiconductor Corp. | 9,527 | 227,879 | 1.6 | % | ||||||||
Nutanix, Inc. | 6,187 | 225,501 | 1.6 | % | ||||||||
Cree, Inc. | 5,953 | 225,197 | 1.6 | % | ||||||||
Seagate Technology PLC | 4,196 | 224,081 | 1.6 | % | ||||||||
Marvell Technology Group Ltd. | 9,491 | 222,940 | 1.6 | % | ||||||||
Western Digital Corp. | 2,551 | 222,033 | 1.5 | % | ||||||||
National Instruments Corp. | 4,379 | 221,420 | 1.5 | % | ||||||||
Keysight Technologies, Inc. | 4,701 | 220,988 | 1.5 | % | ||||||||
Agios Pharmaceuticals, Inc. | 2,735 | 219,883 | 1.5 | % | ||||||||
Monsanto Co. | 1,775 | 218,953 | 1.5 | % | ||||||||
Dolby Laboratories, Inc. | 3,390 | 218,812 | 1.5 | % | ||||||||
McKesson Corp. | 1,459 | 217,710 | 1.5 | % | ||||||||
Citrix Systems, Inc. | 2,366 | 217,687 | 1.5 | % | ||||||||
Silicon Laboratories, Inc. | 2,327 | 217,561 | 1.5 | % | ||||||||
Ciena Corp. | 9,346 | 216,547 | 1.5 | % | ||||||||
QUALCOMM, Inc. | 3,331 | 216,535 | 1.5 | % | ||||||||
CA, Inc. | 6,107 | 214,364 | 1.5 | % | ||||||||
International Business Machines Corp. | 1,374 | 214,056 | 1.5 | % | ||||||||
Cadence Design Systems, Inc. | 5,505 | 213,423 | 1.5 | % | ||||||||
eBay, Inc. | 4,975 | 213,209 | 1.5 | % | ||||||||
NewMarket Corp. | 509 | 212,887 | 1.5 | % | ||||||||
Advanced Micro Devices, Inc. | 17,530 | 212,288 | 1.5 | % | ||||||||
Amdocs Ltd. | 3,223 | 212,015 | 1.5 | % | ||||||||
Autoliv, Inc. | 1,473 | 211,240 | �� | 1.5 | % | |||||||
Tableau Software, Inc. | 2,582 | 210,869 | 1.5 | % | ||||||||
Woodward, Inc. | 2,976 | 210,821 | 1.5 | % | ||||||||
Merck & Co., Inc. | 3,883 | 210,537 | 1.5 | % | ||||||||
Ashland Global Holdings, Inc. | 2,956 | 209,337 | 1.5 | % | ||||||||
Deere & Co. | 1,301 | 209,314 | 1.5 | % | ||||||||
AGCO Corp. | 3,120 | 207,783 | 1.4 | % | ||||||||
Nuance Communications, Inc. | 12,898 | 207,145 | 1.4 | % | ||||||||
Bristol-Myers Squibb Co. | 3,121 | 206,580 | 1.4 | % |
88 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
CNH Industrial NV | 15,351 | $ | 206,474 | 1.4 | % | |||||||
Symantec Corp. | 7,799 | 205,023 | 1.4 | % | ||||||||
Synopsys, Inc. | 2,418 | 204,752 | 1.4 | % | ||||||||
Juniper Networks, Inc. | 7,979 | 204,729 | 1.4 | % | ||||||||
Fiat Chrysler Automobiles NV | 9,632 | 204,093 | 1.4 | % | ||||||||
Teradata Corp. | 5,522 | 203,316 | 1.4 | % | ||||||||
Twitter, Inc. | 6,359 | 202,603 | 1.4 | % | ||||||||
Navistar International Corp. | 5,419 | 202,220 | 1.4 | % | ||||||||
General Motors Co. | 5,091 | 200,347 | 1.4 | % | ||||||||
BioMarin Pharmaceutical, Inc. | 2,463 | 199,895 | 1.4 | % | ||||||||
Goodyear Tire & Rubber Co. (The) | 6,874 | 198,941 | 1.4 | % | ||||||||
Visteon Corp. | 1,605 | 198,724 | 1.4 | % | ||||||||
Eli Lilly & Co. | 2,574 | 198,241 | 1.4 | % | ||||||||
Other | 85,540 | 3,647,556 | 25.40 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 14,371,762 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABHVIP as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Micron Technology, Inc. | 50,489 | $ | 2,966,229 | 2.6 | % | |||||||
Autodesk, Inc. | 19,958 | 2,716,883 | 2.4 | % | ||||||||
Booking Holdings, Inc. | 1,206 | 2,613,197 | 2.3 | % | ||||||||
Netflix, Inc. | 8,247 | 2,602,588 | 2.3 | % | ||||||||
ServiceNow, Inc. | 14,849 | 2,578,677 | 2.3 | % | ||||||||
GoDaddy, Inc. | 40,054 | 2,503,776 | 2.2 | % | ||||||||
Dell Technologies, Inc. – Class V | 31,398 | 2,422,042 | 2.1 | % | ||||||||
XPO Logistics, Inc. | 23,470 | 2,413,185 | 2.1 | % | ||||||||
Amazon.com, Inc. | 1,512 | 2,399,211 | 2.1 | % | ||||||||
Activision Blizzard, Inc. | 31,497 | 2,389,362 | 2.1 | % | ||||||||
Delta Air Lines, Inc. | 42,026 | 2,374,049 | 2.1 | % | ||||||||
Apple, Inc. | 13,107 | 2,352,575 | 2.1 | % | ||||||||
FleetCor Technologies, Inc. | 11,263 | 2,332,567 | 2.0 | % | ||||||||
NXP Semiconductors NV | 19,096 | 2,332,004 | 2.0 | % | ||||||||
Constellation Brands, Inc. | 10,251 | 2,329,642 | 2.0 | % | ||||||||
Alphabet, Inc. | 2,045 | 2,323,161 | 2.0 | % | ||||||||
DXC Technology Co. | 21,907 | 2,318,418 | 2.0 | % | ||||||||
Broadcom Ltd. | 8,858 | 2,311,761 | 2.0 | % | ||||||||
Mastercard, Inc. | 12,716 | 2,298,926 | 2.0 | % | ||||||||
Berkshire Hathaway, Inc. | 10,939 | 2,286,689 | 2.0 | % | ||||||||
PayPal Holdings, Inc. | 28,391 | 2,275,823 | 2.0 | % | ||||||||
MGM Resorts International | 63,698 | 2,275,293 | 2.0 | % | ||||||||
Microsoft Corp. | 24,158 | 2,273,268 | 2.0 | % | ||||||||
Monsanto Co. | 18,254 | 2,253,456 | 2.0 | % | ||||||||
Liberty Media Corp.-Liberty SiriusXM | 52,520 | 2,239,978 | 2.0 | % | ||||||||
Visa, Inc. | 18,156 | 2,236,819 | 2.0 | % | ||||||||
Time Warner, Inc. | 23,209 | 2,232,938 | 2.0 | % | ||||||||
Zayo Group Holdings, Inc. | 60,634 | 2,224,055 | 2.0 | % | ||||||||
Facebook, Inc. | 12,220 | 2,220,252 | 2.0 | % |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 89 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Rockwell Collins, Inc. | 16,318 | $ | 2,219,574 | 1.9 | % | |||||||
Bank of America Corp. | 68,555 | 2,219,468 | 1.9 | % | ||||||||
JPMorgan Chase & Co. | 19,071 | 2,213,380 | 1.9 | % | ||||||||
IQVIA Holdings, Inc. | 20,957 | 2,212,221 | 1.9 | % | ||||||||
Alibaba Group Holding Ltd. | 11,746 | 2,208,600 | 1.9 | % | ||||||||
Aetna, Inc. | 12,410 | 2,199,672 | 1.9 | % | ||||||||
Ally Financial, Inc. | 77,001 | 2,199,149 | 1.9 | % | ||||||||
Liberty Broadband Corp. | 24,334 | 2,191,033 | 1.9 | % | ||||||||
DowDuPont, Inc. | 30,755 | 2,176,839 | 1.9 | % | ||||||||
Boeing Co (The) | 6,361 | 2,147,855 | 1.9 | % | ||||||||
Allergan PLC | 13,165 | 2,144,315 | 1.9 | % | ||||||||
Caesars Entertainment Corp. | 171,387 | 2,138,053 | 1.9 | % | ||||||||
Citigroup, Inc. | 28,598 | 2,137,700 | 1.9 | % | ||||||||
Charter Communications, Inc. | 6,112 | 2,134,005 | 1.9 | % | ||||||||
GCI Liberty, Inc. | 39,527 | 2,124,576 | 1.9 | % | ||||||||
Wells Fargo & Co | 36,839 | 2,118,979 | 1.9 | % | ||||||||
Adient PLC | 34,450 | 2,102,484 | 1.8 | % | ||||||||
Nexstar Media Group, Inc. | 29,565 | 2,073,985 | 1.8 | % | ||||||||
JD.com, Inc. | 46,815 | 2,073,905 | 1.8 | % | ||||||||
Comcast Corp. | 55,637 | 2,020,179 | 1.8 | % | ||||||||
QUALCOMM, Inc. | 32,944 | 1,958,521 | 1.7 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 114,111,317 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABSJHB as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Nihon M&A Center, Inc. | 1,840,667 | $ | 12,811,039,912 | 1.3 | % | |||||||
Ono Pharmaceutical Co., Ltd. | 3,819,151 | 11,953,943,766 | 1.3 | % | ||||||||
Otsuka Corp. | 1,151,198 | 11,477,447,490 | 1.2 | % | ||||||||
Pola Orbis Holdings, Inc. | 2,460,183 | 11,107,725,595 | 1.2 | % | ||||||||
Nintendo Co., Ltd. | 225,257 | 11,055,608,259 | 1.2 | % | ||||||||
Astellas Pharma, Inc. | 6,981,566 | 11,034,365,720 | 1.2 | % | ||||||||
Nitori Holdings Co., Ltd. | 607,280 | 10,940,156,464 | 1.2 | % | ||||||||
Otsuka Holdings Co., Ltd. | 2,031,110 | 10,935,497,457 | 1.2 | % | ||||||||
Yamada Denki Co., Ltd. | 15,826,852 | 10,714,778,872 | 1.1 | % | ||||||||
Obic Co., Ltd. | 1,196,402 | 10,695,837,966 | 1.1 | % | ||||||||
Ryohin Keikaku Co., Ltd. | 291,728 | 10,691,816,529 | 1.1 | % | ||||||||
Tsuruha Holdings, Inc. | 682,703 | 10,595,548,997 | 1.1 | % | ||||||||
NTT DOCOMO, Inc. | 3,784,622 | 10,388,787,730 | 1.1 | % | ||||||||
Nomura Real Estate Master Fund, Inc. | 70,596 | 10,335,274,671 | 1.1 | % | ||||||||
Nidec Corp. | 596,607 | 10,297,442,014 | 1.1 | % | ||||||||
Japan Real Estate Investment Corp. | 18,585 | 10,296,154,896 | 1.1 | % | ||||||||
Shimamura Co., Ltd. | 805,885 | 10,266,971,537 | 1.1 | % | ||||||||
Orix JREIT, Inc. | 62,772 | 10,225,550,181 | 1.1 | % | ||||||||
Shimadzu Corp. | 3,690,791 | 10,168,129,566 | 1.1 | % | ||||||||
United Urban Investment Corp. | 60,153 | 10,153,864,194 | 1.1 | % |
90 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
ABC-Mart, Inc. | 1,488,897 | $ | 10,124,502,891 | 1.1 | % | |||||||
Fuji Media Holdings, Inc. | 5,441,231 | 10,000,982,021 | 1.1 | % | ||||||||
Makita Corp. | 1,970,563 | 9,990,754,699 | 1.0 | % | ||||||||
Japan Retail Fund Investment Corp. | 48,408 | 9,938,125,076 | 1.0 | % | ||||||||
Nifco, Inc./Japan | 1,291,787 | 9,933,841,415 | 1.0 | % | ||||||||
Keyence Corp. | 152,131 | 9,929,563,041 | 1.0 | % | ||||||||
Keihan Holdings Co., Ltd. | 2,951,502 | 9,902,289,948 | 1.0 | % | ||||||||
Sony Corp. | 1,818,970 | 9,898,836,155 | 1.0 | % | ||||||||
Sundrug Co., Ltd. | 1,998,020 | 9,880,210,215 | 1.0 | % | ||||||||
Izumi Co., Ltd. | 1,403,633 | 9,853,507,121 | 1.0 | % | ||||||||
Japan Post Insurance Co., Ltd. | 3,633,398 | 9,846,508,241 | 1.0 | % | ||||||||
Nissan Motor Co., Ltd. | 8,750,609 | 9,844,435,582 | 1.0 | % | ||||||||
Hikari Tsushin, Inc. | 635,692 | 9,840,508,870 | 1.0 | % | ||||||||
Asahi Group Holdings Ltd. | 1,788,252 | 9,819,292,100 | 1.0 | % | ||||||||
Rakuten, Inc. | 10,034,942 | 9,807,149,100 | 1.0 | % | ||||||||
Oriental Land Co., Ltd./Japan | 935,747 | 9,750,485,267 | 1.0 | % | ||||||||
Don Quijote Holdings Co., Ltd. | 1,620,979 | 9,742,082,113 | 1.0 | % | ||||||||
Japan Post Bank Co., Ltd. | 6,629,273 | 9,718,514,171 | 1.0 | % | ||||||||
Daiwa House REIT Investment Corp. | 37,785 | 9,714,446,545 | 1.0 | % | ||||||||
Asahi Intecc Co., Ltd. | 2,547,516 | 9,680,559,702 | 1.0 | % | ||||||||
Taisei Corp. | 1,775,592 | 9,676,975,691 | 1.0 | % | ||||||||
Aozora Bank Ltd. | 2,201,537 | 9,675,756,961 | 1.0 | % | ||||||||
McDonald’s Holdings Co. Japan Ltd. | 2,026,252 | 9,675,351,223 | 1.0 | % | ||||||||
Advance Residence Investment Corp. | 36,021 | 9,649,921,580 | 1.0 | % | ||||||||
Zenkoku Hosho Co., Ltd. | 2,038,561 | 9,632,201,231 | 1.0 | % | ||||||||
Marubeni Corp. | 11,742,056 | 9,624,963,180 | 1.0 | % | ||||||||
Canon, Inc. | 2,347,537 | 9,615,510,462 | 1.0 | % | ||||||||
KDDI Corp. | 3,636,046 | 9,582,799,607 | 1.0 | % | ||||||||
Hoya Corp. | 1,689,058 | 9,578,648,071 | 1.0 | % | ||||||||
Nippon Telegraph & Telephone Corp. | 1,921,941 | 9,575,111,781 | 1.0 | % | ||||||||
Other | 121,890,930 | 448,307,594,087 | 46.80 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 957,957,369,963 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABRDS as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Veeva Systems, Inc. | 3,836 | $ | 267,401 | 1.8 | % | |||||||
Microchip Technology, Inc. | 2,757 | 245,184 | 1.6 | % | ||||||||
Palo Alto Networks, Inc. | 1,412 | 244,743 | 1.6 | % | ||||||||
Skyworks Solutions, Inc. | 2,184 | 238,614 | 1.6 | % | ||||||||
Texas Instruments, Inc. | 2,197 | 238,028 | 1.6 | % | ||||||||
Paycom Software, Inc. | 2,394 | 236,787 | 1.6 | % | ||||||||
Take-Two Interactive Software, Inc. | 2,095 | 234,325 | 1.5 | % |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 91 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Apple, Inc. | 1,314 | $ | 234,137 | 1.5 | % | |||||||
Copart, Inc. | 5,001 | 234,120 | 1.5 | % | ||||||||
CDW Corp./DE | 3,202 | 233,491 | 1.5 | % | ||||||||
Jabil, Inc. | 8,579 | 232,402 | 1.5 | % | ||||||||
Flex Ltd. | 12,839 | 232,387 | 1.5 | % | ||||||||
MKS Instruments, Inc. | 2,073 | 230,839 | 1.5 | % | ||||||||
Cisco Systems, Inc. | 5,131 | 229,772 | 1.5 | % | ||||||||
Versum Materials, Inc. | 6,186 | 228,999 | 1.5 | % | ||||||||
ViaSat, Inc. | 3,266 | 227,960 | 1.5 | % | ||||||||
Advanced Energy Industries, Inc. | 3,426 | 227,235 | 1.5 | % | ||||||||
Littelfuse, Inc. | 1,085 | 225,046 | 1.5 | % | ||||||||
Tyler Technologies, Inc. | 1,107 | 224,925 | 1.5 | % | ||||||||
Catalent, Inc. | 5,360 | 223,770 | 1.5 | % | ||||||||
Check Point Software Technologies Ltd. | 2,144 | 222,707 | 1.5 | % | ||||||||
Pure Storage, Inc. | 10,271 | 222,578 | 1.5 | % | ||||||||
CDK Global, Inc. | 3,232 | 221,960 | 1.5 | % | ||||||||
NVIDIA Corp. | 917 | 221,880 | 1.5 | % | ||||||||
Lear Corp. | 1,189 | 221,783 | 1.5 | % | ||||||||
Adient PLC | 3,566 | 221,331 | 1.4 | % | ||||||||
Logitech International SA | 5,549 | 218,531 | 1.4 | % | ||||||||
Harris Corp. | 1,396 | 218,032 | 1.4 | % | ||||||||
Perrigo Co. PLC | 2,516 | 204,964 | 1.3 | % | ||||||||
Taro Pharmaceutical Industries Ltd. | 2,034 | 199,590 | 1.3 | % | ||||||||
Ubiquiti Networks, Inc. | 3,061 | 194,657 | 1.3 | % | ||||||||
Broadcom Ltd. | 782 | 192,721 | 1.3 | % | ||||||||
MuleSoft, Inc. | 4,927 | 152,141 | 1.0 | % | ||||||||
Dana, Inc. | 4,374 | 116,224 | 0.8 | % | ||||||||
Harley-Davidson, Inc. | 2,484 | 112,710 | 0.7 | % | ||||||||
Analog Devices, Inc. | 1,171 | 105,537 | 0.7 | % | ||||||||
GrubHub, Inc. | 1,027 | 102,073 | 0.7 | % | ||||||||
ServiceNow, Inc. | 603 | 97,034 | 0.6 | % | ||||||||
MercadoLibre, Inc. | 248 | 96,085 | 0.6 | % | ||||||||
HubSpot, Inc. | 833 | 92,489 | 0.6 | % | ||||||||
Match Group, Inc. | 2,226 | 89,134 | 0.6 | % | ||||||||
SS&C Technologies Holdings, Inc. | 1,771 | 87,677 | 0.6 | % | ||||||||
Spirit AeroSystems Holdings, Inc. | 928 | 84,744 | 0.6 | % | ||||||||
Stamps.com, Inc. | 441 | 84,199 | 0.6 | % | ||||||||
Adobe Systems, Inc. | 390 | 81,470 | 0.5 | % | ||||||||
Nordson Corp. | 597 | 80,083 | 0.5 | % | ||||||||
CoStar Group, Inc. | 234 | 79,896 | 0.5 | % | ||||||||
IDEX Corp. | 556 | 76,124 | 0.5 | % | ||||||||
Intuitive Surgical, Inc. | 178 | 75,942 | 0.5 | % | ||||||||
Cantel Medical Corp. | 649 | 75,457 | 0.5 | % | ||||||||
Other | 100,059 | 6,274,118 | 41.2 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 15,214,036 | 100.0 | % | ||||||||
|
|
|
|
See notes to consolidated financial statements.
92 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES
February 28, 2018 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $587,561,564) | $ | 633,815,128 | (a) | |
Affiliated issuers (cost $230,882,061—including investment of cash collateral for securities loaned of $15,039,772) | 215,240,160 | |||
Cash | 5 | |||
Cash collateral due from broker | 13,592,571 | |||
Foreign currencies, at value (cost $7,068,375) | 6,882,190 | |||
Receivable for investment securities sold and foreign currency transactions | 4,329,311 | |||
Unrealized appreciation on forward currency exchange contracts | 4,194,558 | |||
Unaffiliated interest and dividends receivable | 2,703,629 | |||
Unrealized appreciation on total return swaps | 1,534,528 | |||
Unrealized appreciation on inflation swaps | 108,249 | |||
Receivable for shares of beneficial interest sold | 78,500 | |||
Upfront premiums paid on credit default swaps | 43,753 | |||
Affiliated dividends receivable | 28,825 | |||
Unrealized appreciation on variance swaps | 18,148 | |||
Receivable for variation margin on centrally cleared swaps | 17,513 | |||
Deferred offering costs | 3,125 | |||
Unrealized appreciation on credit default swaps | 494 | |||
Other asset | 134,740 | |||
|
| |||
Total assets | 882,725,427 | |||
|
| |||
Liabilities | ||||
Options written, at value (premiums received $3,728,463) | 3,980,876 | |||
Swaptions written, at value (premiums received $3,952) | 2,629 | |||
Payable for collateral received on securities loaned | 15,039,772 | |||
Unrealized depreciation on forward currency exchange contracts | 6,196,274 | |||
Payable for investment securities purchased and foreign currency transactions | 5,086,065 | |||
Unrealized depreciation on total return swaps | 1,731,359 | |||
Upfront premiums received on credit default swaps | 1,551,723 | |||
Payable for variation margin on futures | 936,924 | |||
Payable for shares of beneficial interest redeemed | 708,294 | |||
Unrealized depreciation on credit default swaps | 621,449 | |||
Advisory fee payable | 218,610 | |||
Distribution fee payable | 198,268 | |||
Transfer Agent fee payable | 100,468 | |||
Unrealized depreciation on variance swaps | 43,176 | |||
Trustees’ fees payable | 981 | |||
Accrued expenses | 152,468 | |||
|
| |||
Total liabilities | 36,569,336 | |||
|
| |||
Net Assets | $ | 846,156,091 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 581 | ||
Additional paid-in capital | 849,543,442 | |||
Undistributed net investment income | 7,196,808 | |||
Accumulated net realized loss on investment transactions | (38,438,844 | ) | ||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 27,854,104 | |||
|
| |||
$ | 846,156,091 | |||
|
|
(a) | Includes securities on loan with a value of $14,336,772 (see Note E). |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 93 |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 651,246,003 | 44,745,007 | $ | 14.55 | * | ||||||
| ||||||||||||
B | $ | 7,298,339 | 498,710 | $ | 14.63 | |||||||
| ||||||||||||
C | $ | 76,598,635 | 5,292,943 | $ | 14.47 | |||||||
| ||||||||||||
Advisor | $ | 84,459,107 | 5,766,828 | $ | 14.65 | |||||||
| ||||||||||||
R | $ | 5,667,275 | 391,038 | $ | 14.49 | |||||||
| ||||||||||||
K | $ | 20,667,270 | 1,424,294 | $ | 14.51 | |||||||
| ||||||||||||
I | $ | 219,462 | 14,828 | $ | 14.80 | |||||||
|
* | The maximum offering price per share for Class A shares was $15.20 which reflects a sales charge of 4.25%. |
See notes to consolidated financial statements.
94 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended February 28, 2018 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of and $83,293) | $ | 5,385,353 | ||||||
Affiliated issuers | 269,786 | |||||||
Interest | 3,931,961 | |||||||
Securities lending income | 2,005 | |||||||
Other income | 546 | $ | 9,589,651 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 2,448,737 | |||||||
Distribution fee—Class A | 843,104 | |||||||
Distribution fee—Class B | 39,820 | |||||||
Distribution fee—Class C | 444,572 | |||||||
Distribution fee—Class R | 15,173 | |||||||
Distribution fee—Class K | 30,115 | |||||||
Transfer agency—Class A | 335,484 | |||||||
Transfer agency—Class B | 4,766 | |||||||
Transfer agency—Class C | 46,252 | |||||||
Transfer agency—Advisor Class | 44,118 | |||||||
Transfer agency—Class R | 7,904 | |||||||
Transfer agency—Class K | 24,145 | |||||||
Transfer agency—Class I | 129 | |||||||
Custodian | 291,101 | |||||||
Printing | 67,269 | |||||||
Registration fees | 51,365 | |||||||
Audit and tax | 40,443 | |||||||
Legal | 33,042 | |||||||
Trustees’ fees | 14,285 | |||||||
Amortization of offering expenses | 9,917 | |||||||
Miscellaneous | 24,990 | |||||||
|
| |||||||
Total expenses | 4,816,731 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | (958,488 | ) | ||||||
|
| |||||||
Net expenses | 3,858,243 | |||||||
|
| |||||||
Net investment income | 5,731,408 | |||||||
|
|
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 95 |
CONSOLIDATED STATEMENT OF OPERATIONS (continued)
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions(a) | $ | 13,492,248 | ||||||
Forward currency exchange contracts | (3,216,459 | ) | ||||||
Futures | 606,669 | |||||||
Options written | 1,162,300 | |||||||
Swaps | (17,570,687 | ) | ||||||
Swaptions written | 44,973 | |||||||
Foreign currency transactions | 1,238,729 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Affiliated Underlying Portfolios | (13,148,265 | ) | ||||||
Investments | 21,368,830 | |||||||
Forward currency exchange contracts | (1,665,732 | ) | ||||||
Futures | (6,345,549 | ) | ||||||
Options written | (255,549 | ) | ||||||
Swaps | 1,169,784 | |||||||
Swaptions written | (11,783 | ) | ||||||
Foreign currency denominated assets and liabilities | (163,857 | ) | ||||||
|
|
|
| |||||
Net loss on investment and foreign currency transactions | (3,294,348 | ) | ||||||
|
| |||||||
Contributions from Affiliates (see Note B) | 4,060 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 2,441,120 | ||||||
|
|
|
|
(a) | Net of foreign capital gains taxes of $4,151. |
See notes to consolidated financial statements.
96 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 5,731,408 | $ | 30,128,477 | ||||
Net realized gain (loss) on investment transactions | (4,242,227 | ) | 49,999,945 | |||||
Net realized gain distributions from Affiliated Underlying Portfolios | – 0 | – | 44,972,161 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 947,879 | (37,457,741 | ) | |||||
Contributions from Affiliates (see Note B) | 4,060 | – 0 | – | |||||
|
|
|
| |||||
Net increase in net assets from operations | 2,441,120 | 87,642,842 | ||||||
Dividends to Shareholders from | ||||||||
Net investment income | ||||||||
Class A | (8,377,199 | ) | (20,765,317 | ) | ||||
Class B | (37,962 | ) | (209,513 | ) | ||||
Class C | (218,557 | ) | (4,428,700 | ) | ||||
Advisor Class | (1,244,557 | ) | (2,942,929 | ) | ||||
Class R | (55,740 | ) | (169,859 | ) | ||||
Class K | (289,893 | ) | (681,135 | ) | ||||
Class I | – 0 | – | (369,785 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (67,705,594 | ) | (172,973,681 | ) | ||||
|
|
|
| |||||
Total decrease | (75,488,382 | ) | (114,898,077 | ) | ||||
Net Assets | ||||||||
Beginning of period | 921,644,473 | 1,036,542,550 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $7,196,808 and $11,689,308, respectively) | $ | 846,156,091 | $ | 921,644,473 | ||||
|
|
|
|
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 97 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
February 28, 2018 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) was organized as a Massachusetts Business Trust on March 26, 1987 and is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB All Market Total Return Portfolio (formerly AB Balanced Wealth Strategy) (the “Fund”). 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 AB Cayman All Market Total Return, Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Subsidiary commenced operations on April 26, 2017. 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 February 28, 2018, net assets of the Fund were $846,156,091, of which $21,916,754, or approximately 2.6%, 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 T shares have been authorized but currently are not offered. 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
98 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of 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 eight 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 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 Company’s Board of Trustees (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
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 99 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 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 as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values 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
100 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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) |
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
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 101 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 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.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
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
102 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 February 28, 2018:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | $ | 85,084,062 | $ | 12,679,485 | $ | 0 | (a) | $ | 97,763,547 | |||||||
Financials | 37,870,059 | 28,619,617 | 102,046 | (a) | 66,591,722 | |||||||||||
Consumer Discretionary | 52,572,901 | 10,543,311 | – 0 | – | 63,116,212 | |||||||||||
Health Care | 54,319,685 | 5,308,133 | – 0 | – | 59,627,818 | |||||||||||
Industrials | 28,631,047 | 17,314,507 | 114,437 | 46,059,991 | ||||||||||||
Consumer Staples | 17,450,453 | 11,485,722 | – 0 | – | 28,936,175 | |||||||||||
Materials | 7,923,511 | 6,085,699 | 63,189 | 14,072,399 | ||||||||||||
Telecommunication Services | 2,076,579 | 11,715,670 | – 0 | – | 13,792,249 | |||||||||||
Energy | 6,709,000 | 6,426,755 | 157,832 | (a) | 13,293,587 | |||||||||||
Utilities | 2,329,260 | 4,105,671 | – 0 | – | 6,434,931 | |||||||||||
Real Estate | 3,050,910 | 296,781 | – 0 | – | 3,347,691 | |||||||||||
Investment Companies | 251,849,940 | – 0 | – | – 0 | – | 251,849,940 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 58,842,130 | 536,465 | (a) | 59,378,595 | ||||||||||
Governments – Treasuries | – 0 | – | 15,440,226 | – 0 | – | 15,440,226 | ||||||||||
Inflation-Linked Securities | – 0 | – | 14,781,344 | – 0 | – | 14,781,344 | ||||||||||
Emerging Markets – Treasuries | – 0 | – | 10,891,073 | – 0 | – | 10,891,073 | ||||||||||
Emerging Markets – Sovereigns | – 0 | – | 8,820,397 | – 0 | – | 8,820,397 | ||||||||||
Corporates – Investment Grade | – 0 | – | 7,333,329 | – 0 | – | 7,333,329 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 6,966,671 | 62,881 | 7,029,552 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 6,716,596 | 89,076 | 6,805,672 | |||||||||||
Bank Loans | – 0 | – | 1,460,469 | 349,582 | 1,810,051 | |||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | – 0 | – | 863,040 | 863,040 | ||||||||||
Asset-Backed Securities | – 0 | – | – 0 | – | 813,826 | 813,826 | ||||||||||
Collateralized Loan Obligations | – 0 | – | – 0 | – | 747,711 | 747,711 | ||||||||||
Preferred Stocks | 58,357 | 30,979 | 576,961 | 666,297 | ||||||||||||
Local Governments – Regional Bonds | – 0 | – | 495,062 | – 0 | – | 495,062 | ||||||||||
Quasi-Sovereigns | – 0 | – | 419,172 | – 0 | – | 419,172 | ||||||||||
Local Governments – US Municipal Bonds | – 0 | – | 235,836 | – 0 | – | 235,836 | ||||||||||
Options Purchased – Calls | – 0 | – | 130,215 | – 0 | – | 130,215 | ||||||||||
Warrants | 5,119 | – 0 | – | 16,401 | (a) | 21,520 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 226 | – 0 | – | 226 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 103 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | $ | 22,472,120 | $ | – 0 | – | $ | – 0 | – | $ | 22,472,120 | ||||||
U.S. Treasury Bills | – 0 | – | 9,973,990 | – 0 | – | 9,973,990 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 15,039,772 | – 0 | – | – 0 | – | 15,039,772 | ||||||||||
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| |||||||||
Total Investments in Securities | 587,442,775 | 257,119,066 | 4,493,447 | 849,055,288 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 4,824,950 | – 0 | – | – 0 | – | 4,824,950 | (c) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 4,194,558 | – 0 | – | 4,194,558 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 228,781 | – 0 | – | 228,781 | (c) | |||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 4,281,152 | – 0 | – | 4,281,152 | (c) | |||||||||
Credit Default Swaps | – 0 | – | 35,565 | – 0 | – | 35,565 | ||||||||||
Inflation (CPI) Swaps | – 0 | – | 108,249 | – 0 | – | 108,249 | ||||||||||
Total Return Swaps | – 0 | – | 1,534,528 | – 0 | – | 1,534,528 | ||||||||||
Variance Swaps | – 0 | – | 18,148 | – 0 | – | 18,148 | ||||||||||
Liabilities: |
| |||||||||||||||
Futures | (3,635,011 | ) | (687,891 | ) | – 0 | – | (4,322,902 | )(c) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (6,196,274 | ) | – 0 | – | (6,196,274 | ) | ||||||||
Call Options Written | – 0 | – | (981,818 | ) | – 0 | – | (981,818 | ) | ||||||||
Put Options Written | – 0 | – | (2,693,233 | ) | – 0 | – | (2,693,233 | ) | ||||||||
Credit Default Swaptions Written | – 0 | – | (2,629 | ) | – 0 | – | (2,629 | ) | ||||||||
Currency Options Written | – 0 | – | (305,825 | ) | – 0 | – | (305,825 | ) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (192,177 | ) | – 0 | – | (192,177 | )(c) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (4,871,529 | ) | – 0 | – | (4,871,529 | )(c) | ||||||||
Credit Default Swaps | – 0 | – | (2,164,490 | ) | – 0 | – | (2,164,490 | ) | ||||||||
Total Return Swaps | – 0 | – | (1,731,359 | ) | – 0 | – | (1,731,359 | ) | ||||||||
Variance Swaps | (43,176 | ) | (43,176 | ) | ||||||||||||
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| |||||||||
Total(d) | $ | 588,632,714 | $ | 247,649,646 | $ | 4,493,447 | $ | 840,775,807 | ||||||||
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(a) | The Fund held securities with zero market value at period end. |
(b) | 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 swaps with upfront premiums and options written and swaptions which are valued at market value. |
(c) | Only variation margin receivable/(payable) at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the consolidated portfolio of investments. Centrally cleared swaps with upfront premiums are presented here at market value. |
(d) | There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period. |
104 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Common Stocks(a) | Corporates - Non-Investment Grade(a) | Emerging Markets - Corporate Bonds | ||||||||||
Balance as of 8/31/17 | $ | 138,560 | $ | 481,168 | $ | 11,427 | ||||||
Accrued discounts/(premiums) | – 0 | – | 3,482 | 718 | ||||||||
Realized gain (loss) | – 0 | – | (18,241 | ) | 390 | |||||||
Change in unrealized appreciation/depreciation | 119,246 | 41,736 | 26,775 | |||||||||
Purchases/Payups | 80,985 | 269,474 | 8,826 | |||||||||
Sales/Paydowns | (10,564 | ) | (242,895 | ) | (439 | ) | ||||||
Reclassification | 10,564 | – 0 | – | – 0 | – | |||||||
Transfers in to Level 3 | 98,713 | 1,741 | 15,184 | |||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/18 | $ | 437,504 | $ | 536,465 | $ | 62,881 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/18(b) | $ | 118,593 | $ | 18,702 | $ | 26,775 | ||||||
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| |||||||
Collateralized Mortgage Obligations | Bank Loans | Commercial Mortgage- Backed Securities | ||||||||||
Balance as of 8/31/17 | $ | 85,563 | $ | 65,755 | $ | 774,659 | ||||||
Accrued discounts/(premiums) | 191 | (4 | ) | 270 | ||||||||
Realized gain (loss) | – 0 | – | (32 | ) | 3 | |||||||
Change in unrealized appreciation/depreciation | 3,322 | (9,849 | ) | (16,504 | ) | |||||||
Purchases/Payups | – 0 | – | 67,843 | 105,000 | ||||||||
Sales/Paydowns | – 0 | – | (3,155 | ) | (388 | ) | ||||||
Reclassification | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | 229,024 | – 0 | – | |||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/18 | $ | 89,076 | $ | 349,582 | $ | 863,040 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/18(b) | $ | 3,322 | $ | (9,849 | ) | $ | (16,504 | ) | ||||
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|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 105 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Asset- Backed Securities | Collateralized Loan Obligations | Preferred Stocks | ||||||||||
Balance as of 8/31/17 | $ | 539,068 | $ | 422,579 | $ | 87,700 | ||||||
Accrued discounts/(premiums) | 4 | 28 | – 0 | – | ||||||||
Realized gain (loss) | (2,182 | ) | – 0 | – | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | (12,930 | ) | 11,252 | 1,292 | ||||||||
Purchases/Payups | 446,766 | 313,852 | 440,911 | |||||||||
Sales/Paydowns | (156,900 | ) | – 0 | – | – 0 | – | ||||||
Reclassification | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | 47,058 | |||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/18 | $ | 813,826 | $ | 747,711 | $ | 576,961 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/18(b) | $ | (12,930 | ) | $ | 11,252 | $ | 1,292 | |||||
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| |||||||
Warrants(a) | Total | |||||||||||
Balance as of 8/31/17 | $ | 10,402 | $ | 2,616,881 | ||||||||
Accrued discounts/(premiums) | – 0 | – | 4,689 | |||||||||
Realized gain (loss) | (24 | ) | (20,086 | ) | ||||||||
Change in unrealized appreciation/depreciation | 6,023 | 170,363 | ||||||||||
Purchases/Payups | – 0 | – | 1,733,657 | |||||||||
Sales/Paydowns | – 0 | – | (414,341 | ) | ||||||||
Reclassification | – 0 | – | 10,564 | |||||||||
Transfers in to Level 3 | – 0 | – | 391,720 | |||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | ||||||||
|
|
|
| |||||||||
Balance as of 2/28/18 | $ | 16,401 | $ | 4,493,447 | (c) | |||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/18(b) | $ | 15,145 | $ | 155,798 | ||||||||
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(b) | 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. |
(c) | There were de minimis transfers under 1% of net assets during the reporting period. |
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), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recom-
106 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
mendation 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 any 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, 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.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 107 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. Investment transactions are accounted for on the date the securities are purchased or sold.
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. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
108 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement (the “Advisory Agreement”), the Fund pays the Adviser an advisory fee at an annual rate of .55% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion 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.
During the six months ended February 28, 2018, the Adviser reimbursed the Fund $4,060 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 $174,224 for the six months ended February 28, 2018.
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 $6,237 from the sale of Class A shares and received $3,281, $1,580 and $1,761 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 February 28, 2018.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of ..20% of the portfolio’s average daily net assets and bears its own expenses. In connection with the investment by the Fund in the Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 109 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended February 28, 2018, such waivers amounted to $43,672.
In connection with the Fund’s investments in AB All Market Alternative Return Portfolio, the Adviser has contractually agreed to waive and reimburse expenses payable by the Fund in an amount equal to the Fund’s pro rata share of the advisory fees and other expenses of the portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. This fee waiver and/or expense reimbursement will remain in effect until December 31, 2018. For the six months ended February 28, 2018, such waivers amounted to $905,918.
A summary of the Fund’s transactions in AB mutual funds for the six months ended February 28, 2018 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 8/31/17 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change in Unrealized Appr./ (Depr.) (000) | Market Value 2/28/18 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 66,959 | $ | 152,195 | $ | 196,682 | $ | – 0 | – | $ | – 0 | – | $ | 22,472 | $ | 209 | $ | – 0 | – | |||||||||||||
AB Cap Fund, Inc. - AB All Market Alternative Return Portfolio | 190,876 | – 0 | – | – 0 | – | – 0 | – | (13,148 | ) | 177,728 | – 0 | – | – 0 | – | ||||||||||||||||||
Government Money Market Portfolio* | 14,459 | 48,480 | 47,899 | – 0 | – | – 0 | – | 15,040 | 61 | – 0 | – | |||||||||||||||||||||
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Total | $ | – 0 | – | $ | (13,148 | ) | $ | 215,240 | $ | 270 | $ | – 0 | – | |||||||||||||||||||
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* | Investments of cash collateral for securities lending transactions (see Note E). |
Brokerage commissions paid on investment transactions for the six months ended February 28, 2018 amounted to $144,244, 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 Plan
The Fund has adopted a Plan for each class of shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940 (each a
110 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
“Plan” and collectively the “Plans”). Under the Plans, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .50% 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 August 1, 2014, payments under the Plan in respect of Class A shares are limited to an annual rate of .25% of the Fund’s Class A share’s average daily net assets. The Plans provide that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Fund is not obligated under the Plan to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Fund’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities Exchange Commission as being a “compensation” plan.
In the event that a Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Fund to the Distributor with respect to the relevant class. The Plans also provide that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended February 28, 2018 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 171,491,757 | $ | 240,458,622 | ||||
U.S. government securities | 9,868,897 | – 0 | – |
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 are as follows:
Gross unrealized appreciation | $ | 75,122,756 | ||
Gross unrealized depreciation | (47,117,626 | ) | ||
|
| |||
Net unrealized appreciation | $ | 28,005,130 | ||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 111 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 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
112 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended February 28, 2018, 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 forward currency exchange contracts. 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 February 28, 2018, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 113 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 February 28, 2018, the maximum payments for written put options amounted to $660,064,092. 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.
The Fund may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties.
During the six months ended February 28, 2018, the Fund held purchased options for hedging and non-hedging purposes. During the six months ended February 28, 2018, the Fund held written options for hedging and non-hedging purposes.
During the six months ended February 28, 2018, the Fund held purchased swaptions for hedging and non-hedging purposes. During the six months ended February 28, 2018, the Fund held written swaptions for hedging and non-hedging purposes.
114 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
At February 28, 2018, the maximum payments for written put swaptions amounted to $1,680,000 with net unrealized appreciation of $1,323, and a term of less than 1 year, as reflected in the portfolio of investments.
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. 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 realized gain/(loss) from swaps on the consolidated statement of operations. Fluctuations in the value of swaps are recorded as a
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 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.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 February 28, 2018, the Fund held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended February 28, 2018, the Fund held inflation (CPI) 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
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 117 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty. As of February 28, 2018, the Fund had Buy Contracts outstanding with respect to the same referenced obligation and same counterparty for its Sales Contracts which may partially offset the Maximum Payout Amount in the amount of $7,940,000.
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.
Implied credit spreads over U.S. Treasuries of comparable maturity 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.
During the six months ended February 28, 2018, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2018, the Fund held total return swaps for hedging and non-hedging purposes.
Variance Swaps:
The Fund may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual “variance” as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its “volatility”) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.
During the six months ended February 28, 2018, the Fund held variance swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC 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 OTC counterparty certain derivative financial instruments’ 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. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 119 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2018, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 205,018 | * | Receivable/Payable for variation margin on futures | $ | 2,479,673 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | 856,561 | * | Receivable/Payable for variation margin on futures | 1,002,262 | * | ||||||
Commodity contracts | Receivable/Payable for variation margin on futures | | 3,763,371 | * | Receivable/Payable for variation margin on futures | | 840,967 | * | ||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | 252,924 | * | Receivable/Payable for variation margin on centrally cleared swaps | 410,738 | * | ||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | | 228,781 | * | Receivable/Payable for variation margin on centrally cleared swaps | | 192,177 | * | ||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | | 4,194,558 | Unrealized depreciation on forward currency exchange contracts | | 6,196,274 | ||||||
Foreign exchange contracts | Investments in securities, at value | | 130,215 | |||||||||
Foreign exchange contracts | Options written, at value | | 305,825 | |||||||||
Credit contracts | Swaptions written, at value | 2,629 | ||||||||||
Equity contracts | Options written, at value | 3,675,051 | ||||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps | | 108,249 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Credit contracts | Unrealized appreciation on credit default swaps | $ | 494 |
| Unrealized depreciation on credit default swaps | $ | 621,449 |
| ||||
Equity contracts | Unrealized appreciation on total return swaps | | 1,534,528 | Unrealized depreciation on total return swaps | | 1,731,359 | ||||||
Equity contracts | Unrealized appreciation on variance swaps | | 18,148 | Unrealized depreciation on variance swaps | | 43,176 | ||||||
|
|
|
| |||||||||
Total | $ | 11,292,847 | $ | 17,501,580 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type | Location of Gain or (Loss) on Derivatives of Operations | 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 | $ | (5,355,434 | ) | $ | (4,804,487 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 2,642,494 | (794,512 | ) | ||||||
Commodity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 3,319,609 | (746,550 | ) | ||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (3,216,459 | ) | (1,665,732 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 121 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain or (Loss) on Derivatives of Operations | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | $ | (97,948 | ) | $ | 182,415 | ||||
Foreign exchange contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (2,535 | ) | (113,343 | ) | |||||
Credit contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (7,088 | ) | (3,809 | ) | |||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (2,673 | ) | – 0 | – | |||||
Foreign exchange contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 1,048,223 | 123,045 | |||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 114,077 | (378,594 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | 18,144 | – 0 | – |
122 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain or (Loss) on Derivatives of Operations | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Credit contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | $ | 26,829 | $ | (11,783 | ) | ||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (123,731 | ) | 647,128 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 961,241 | (801,849 | ) | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (18,408,197 | ) | 1,324,505 | ||||||
|
|
|
| |||||||
Total | $ | (19,083,448 | ) | $ | (7,043,566 | ) | ||||
|
|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended February 28, 2018:
Futures: | ||||
Average original value of buy contracts | $ | 710,581,299 | ||
Average original value of sale contracts | $ | 65,690,506 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 257,005,893 | ||
Average principal amount of sale contracts | $ | 331,819,857 | ||
Purchased Options: | ||||
Average notional amount | $ | 22,819,889 | ||
Purchased Swaptions: | ||||
Average notional amount | $ | 125,511,159 | (a) | |
Options Written: | ||||
Average notional amount | $ | 35,436,220 | ||
Swaptions Written: | ||||
Average notional amount | $ | 4,492,143 | ||
Inflation Swaps: | ||||
Average notional amount | $ | 23,922,857 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 45,559,791 | (b) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 123 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 140,000 | (c) | |
Average notional amount of sale contracts | $ | 10,840,000 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 43,167,024 | ||
Average notional amount of sale contracts | $ | 162,010,005 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 376,252,747 | ||
Variance Swaps: | ||||
Average notional amount | $ | 122,957 | (d) |
(a) | Positions were open for less than one month during the period. |
(b) | Positions were open for four months during the period. |
(c) | Positions were open for two months during the period. |
(d) | Positions were open for five 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 OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Fund as of February 28, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 62,300 | $ | (62,300 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Bank of America, NA | 728,991 | (416,661 | ) | – 0 | – | – 0 | – | 312,330 | ||||||||||||
Barclays Bank PLC | 746,191 | (746,191 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 169,191 | (73,440 | ) | – 0 | – | – 0 | – | 95,751 | ||||||||||||
Citibank, NA | 657,258 | (657,258 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 39,602 | (39,602 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 151,130 | (151,130 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 1,451,933 | (1,451,933 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 15,442 | (15,442 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 329,033 | (206,319 | ) | – 0 | – | – 0 | – | 122,714 | ||||||||||||
Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc./Morgan Stanley & Co., Inc. | 251,666 | (247,001 | ) | – 0 | – | – 0 | – | 4,665 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Royal Bank of Scotland PLC | $ | 383,768 | $ | (383,768 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Standard Chartered Bank | 329,019 | (329,019 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 390,359 | (197,907 | ) |
|
– 0 |
– |
|
– 0 |
– | 192,452 | ||||||||||
UBS AG | 315,380 | (315,380 | ) | – 0 | – | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,021,263 | $ | (5,293,351 | ) | $ | – 0 | – | $ | – 0 | – | $ | 727,912 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivatives Liabilities | |||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 212,874 | $ | (62,300 | ) | $ | – 0 | – | $ | – 0 | – | $ | 150,574 | |||||||
Bank of America, NA | 416,661 | (416,661 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Barclays Bank PLC | 2,014,263 | (746,191 | ) | – 0 | – | (901,073 | ) | 366,999 | ||||||||||||
BNP Paribas SA | 73,440 | (73,440 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 2,213,703 | (657,258 | ) | – 0 | – | (1,556,445 | ) | – 0 | – | |||||||||||
Citigroup Global Markets, Inc. | 620,056 | – 0 | – | – 0 | – | (480,571 | ) | 139,485 | ||||||||||||
Credit Suisse International | 1,080,693 | (39,602 | ) | – 0 | – | (919,584 | ) | 121,507 | ||||||||||||
Deutsche Bank AG | 883,983 | (151,130 | ) | – 0 | – | (495,553 | ) | 237,300 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 3,571,063 | (1,451,933 | ) | – 0 | – | (2,119,130 | ) | – 0 | – | |||||||||||
HSBC Bank USA | 501,036 | (15,442 | ) | – 0 | – | – 0 | – | 485,594 | ||||||||||||
JPMorgan Chase Bank, NA | 206,319 | (206,319 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc./Morgan Stanley & Co., Inc. | 247,001 | (247,001 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 830,093 | (383,768 | ) | – 0 | – | – 0 | – | 446,325 | ||||||||||||
Standard Chartered Bank | 629,849 | (329,019 | ) | – 0 | – | – 0 | – | 300,830 | ||||||||||||
State Street Bank & Trust Co. | 197,907 | (197,907 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 419,863 | (315,380 | ) | – 0 | – | – 0 | – | 104,483 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 14,118,804 | $ | (5,293,351 | ) | $ | – 0 | – | $ | (6,472,356 | ) | $ | 2,353,097 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be 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. |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 125 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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).
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 be able to exercise voting rights with respect to 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 Government Money Market Portfolio, 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
126 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
February 28, 2018, the Fund had securities on loan with a value of $14,336,772 and had received cash collateral which has been invested into Government Money Market Portfolio of $15,039,772. The cash collateral will be adjusted on the next business day to maintain the required collateral amount. The Fund earned securities lending income of $2,005 and $60,573 from the borrowers and Government Money Market Portfolio, respectively, for the six months ended February 28, 2018; these amounts are reflected in the consolidated statement of operations. In connection with the cash collateral investment by the Fund in the Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Fund’s share of the advisory fees of the Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended February 28, 2018, such waiver amounted to $8,898. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities.
NOTE F
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 716,395 | 1,530,217 | $ | 10,597,799 | $ | 21,327,103 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 519,129 | 1,419,314 | 7,703,868 | 19,203,315 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class B | 76,890 | 658,715 | 1,135,498 | 9,162,144 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 803,899 | 4,965,230 | 11,785,417 | 70,717,469 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (4,186,229 | ) | (11,228,596 | ) | (62,073,133 | ) | (157,593,490 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (2,069,916 | ) | (2,655,120 | ) | $ | (30,850,551 | ) | $ | (37,183,459 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Shares sold | 12,341 | 39,310 | $ | 182,915 | $ | 549,709 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 2,444 | 14,585 | 36,537 | 198,793 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (76,643 | ) | (659,973 | ) | (1,135,498 | ) | (9,162,144 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (36,598 | ) | (189,371 | ) | (544,081 | ) | (2,654,591 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (98,456 | ) | (795,449 | ) | $ | (1,460,127 | ) | $ | (11,068,233 | ) | ||||||||||||||
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 127 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 79,612 | 272,170 | $ | 1,168,246 | $ | 3,764,449 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 12,596 | 286,747 | 186,164 | 3,856,748 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (810,831 | ) | (5,011,306 | ) | (11,785,417 | ) | (70,717,469 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,054,185 | ) | (3,011,531 | ) | (15,429,204 | ) | (41,718,402 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (1,772,808 | ) | (7,463,920 | ) | $ | (25,860,211 | ) | $ | (104,814,674 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 537,053 | 1,426,712 | $ | 8,011,593 | $ | 20,172,953 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 69,270 | 178,798 | 1,034,204 | 2,431,651 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (980,708 | ) | (1,841,315 | ) | (14,609,802 | ) | (25,952,547 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (374,385 | ) | (235,805 | ) | $ | (5,564,005 | ) | $ | (3,347,943 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold | 22,074 | 105,322 | $ | 323,938 | $ | 1,469,690 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 3,769 | 12,582 | 55,741 | 169,859 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (58,386 | ) | (157,756 | ) | (868,252 | ) | (2,224,944 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (32,543 | ) | (39,852 | ) | $ | (488,573 | ) | $ | (585,395 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold | 56,825 | 234,117 | $ | 839,187 | $ | 3,247,624 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 19,587 | 50,435 | 289,892 | 680,868 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (312,563 | ) | (590,341 | ) | (4,616,186 | ) | (8,106,722 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (236,151 | ) | (305,789 | ) | $ | (3,487,107 | ) | $ | (4,178,230 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Shares sold | 360 | 109,319 | $ | 5,411 | $ | 1,527,118 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | – 0 | – | 27,163 | – 0 | – | 368,339 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (29 | ) | (935,312 | ) | (431 | ) | (13,691,204 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 331 | (798,830 | ) | $ | 4,980 | $ | (11,795,747 | ) | ||||||||||||||||
|
128 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE G
Risks Involved in Investing in the Fund
Allocation Risk—The allocation of investments among different investment styles, such as equity or debt, growth or value, U.S. or non-U.S. securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value, or NAV, when one of these investments is performing more poorly than another.
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.
High Yield Debt Securities Risk—Investments in fixed-income securities with lower ratings (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.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
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.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 129 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Alternative Investments Risk—Many alternative investments can be volatile and may be illiquid. Their performance may have little correlation with the performance of equity or fixed-income markets, and they may not perform in accordance with expectations.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
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 on 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 other types of derivative instruments by the Fund, such as 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.
Commodity Risk—Investing in commodities and commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by 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.
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
130 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Fund bear both their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies (to the extent these expenses are not waived or reimbursed by the Adviser).
Short Sales Risk—The Fund is subject to short sale risk because it may engage in short sales either directly or indirectly through investment in the Underlying Portfolio. Short sales involve the risk that the Fund or Underlying Fund will incur a loss by subsequently buying a security at a higher price than the price at which it sold the security. The amount of such loss is theoretically unlimited, as it will be based on the increase in value of the security sold short. In contrast, the risk of loss from a long position is limited to the Fund’s or Underlying Fund’s investment in the security, because the price of the security cannot fall below zero. The Fund or Underlying Fund may not always be able to close out a short position on favorable terms.
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 February 28, 2018.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 131 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2017 and August 31, 2016 were as follows:
2017 | 2016 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 29,567,238 | $ | 23,241,326 | ||||
|
|
|
| |||||
Total taxable distributions paid | $ | 29,567,238 | $ | 23,241,326 | ||||
|
|
|
|
As of August 31, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 10,223,336 | ||
Accumulated capital and other losses | (31,422,774 | )(a) | ||
Unrealized appreciation/(depreciation) | 22,472,985 | (b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 1,273,547 | ||
|
|
(a) | As of August 31, 2017, the Fund had a net capital loss carryforward of $31,401,872. During the fiscal year, the Fund utilized $63,029,163 of capital loss carry forwards to offset current year net realized gains. As of August 31, 2017, the cumulative deferred loss on straddles was $20,902. |
(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, the tax treatment of passive foreign investment companies (PFICs), the recognition for tax purposes of unrealized 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 defaulted securities. |
For tax purposes, net realized 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. These post-December 22, 2010 capital losses must be utilized prior to the earlier capital losses, which are subject to expiration. Post-December 22, 2010 capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous regulation.
As of August 31, 2017, the Fund had a net capital loss carryforward of $31,401,872 which will expire as follows:
SHORT-TERM | LONG-TERM | EXPIRATION | ||
$31,401,872 | n/a | 08/31/2019 |
132 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE J
Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the consolidated financial statements.
NOTE K
Subsequent Event
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 material events that would require disclosure in the Fund’s consolidated financial statements through this date.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 133 |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017‡ | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.71 | $ 13.85 | $ 13.49 | $ 14.31 | $ 12.74 | $ 11.85 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .10 | (b) | .44 | (b) | .38 | (b) | .43 | (b) | .39 | (b) | .23 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.08 | ) | .85 | .29 | (.93 | ) | 1.56 | .89 | ||||||||||||||||
Contributions from Affiliates | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .02 | 1.29 | .67 | (.50 | ) | 1.95 | 1.12 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.18 | ) | (.43 | ) | (.31 | ) | (.32 | ) | (.38 | ) | (.23 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.00 | )(c) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.18 | ) | (.43 | ) | (.31 | ) | (.32 | ) | (.38 | ) | (.23 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.55 | $ 14.71 | $ 13.85 | $ 13.49 | $ 14.31 | $ 12.74 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | .14 | %* | 9.61 | %* | 5.13 | % | (3.46 | )% | 15.56 | % | 9.49 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $651,246 | $688,485 | $684,917 | $713,524 | $782,044 | $732,322 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | .80 | %^ | .83 | % | .86 | % | .85 | % | .98 | % | .99 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.02 | %^ | .97 | % | .94 | % | .93 | % | .99 | % | .99 | % | ||||||||||||
Net investment income | 1.35 | %(b)^ | 3.14 | %(b) | 2.89 | %(b) | 3.07 | %(b) | 2.87 | %(b) | 1.87 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 108 | % | 14 | % | 9 | % | 15 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .22 | %^ | .31 | % | .31 | % | .27 | % | .05 | % | .04 | % |
See footnote summary on page 141.
134 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class B | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017‡ | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.73 | $ 13.76 | $ 13.32 | $ 14.13 | $ 12.64 | $ 11.80 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .04 | (b) | .36 | (b) | .33 | (b) | .39 | (b) | .33 | (b) | .16 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.07 | ) | .83 | .24 | (.98 | ) | 1.50 | .86 | ||||||||||||||||
Contributions from Affiliates | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.03 | ) | 1.19 | .57 | (.59 | ) | 1.83 | 1.02 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.07 | ) | (.22 | ) | (.13 | ) | (.22 | ) | (.34 | ) | (.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.00 | )(c) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.07 | ) | (.22 | ) | (.13 | ) | (.22 | ) | (.34 | ) | (.18 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.63 | $ 14.73 | $ 13.76 | $ 13.32 | $ 14.13 | $ 12.64 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.27 | )%* | 8.82 | %* | 4.33 | % | (4.19 | )% | 14.75 | % | 8.66 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $7,298 | $8,798 | $19,162 | $52,097 | $118,556 | $166,923 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | 1.57 | %^ | 1.60 | % | 1.62 | % | 1.61 | % | 1.69 | % | 1.70 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.79 | %^ | 1.73 | % | 1.70 | % | 1.69 | % | 1.70 | % | 1.70 | % | ||||||||||||
Net investment income | .58 | %(b)^ | 2.57 | %(b) | 2.50 | %(b) | 2.79 | %(b) | 2.41 | %(b) | 1.26 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 108 | % | 14 | % | 9 | % | 15 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .22 | %^ | .31 | % | .31 | % | .27 | % | .05 | % | .04 | % |
See footnote summary on page 141.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 135 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017‡ | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.53 | $ 13.68 | $ 13.32 | $ 14.15 | $ 12.66 | $ 11.82 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .04 | (b) | .38 | (b) | .29 | (b) | .33 | (b) | .30 | (b) | .15 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.06 | ) | .79 | .27 | (.92 | ) | 1.54 | .87 | ||||||||||||||||
Contributions from Affiliates | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.02 | ) | 1.17 | .56 | (.59 | ) | 1.84 | 1.02 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.04 | ) | (.32 | ) | (.20 | ) | (.24 | ) | (.35 | ) | (.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.00 | )(c) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.04 | ) | (.32 | ) | (.20 | ) | (.24 | ) | (.35 | ) | (.18 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.47 | $ 14.53 | $ 13.68 | $ 13.32 | $ 14.15 | $ 12.66 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.23 | )%* | 8.84 | %* | 4.31 | % | (4.19 | )% | 14.74 | % | 8.67 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $76,599 | $102,696 | $198,792 | $220,663 | $266,720 | $262,751 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | 1.55 | %^ | 1.59 | % | 1.61 | % | 1.60 | % | 1.69 | % | 1.69 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.77 | %^ | 1.71 | % | 1.69 | % | 1.68 | % | 1.69 | % | 1.69 | % | ||||||||||||
Net investment income | .60 | %(b)^ | 2.73 | %(b) | 2.17 | %(b) | 2.40 | %(b) | 2.20 | %(b) | 1.17 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 108 | % | 14 | % | 9 | % | 15 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .22 | %^ | .31 | % | .31 | % | .27 | % | .05 | % | .04 | % |
See footnote summary on page 141.
136 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017‡ | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.80 | $ 13.93 | $ 13.58 | $ 14.40 | $ 12.79 | $ 11.88 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .12 | (b) | .48 | (b) | .42 | (b) | .48 | (b) | .43 | (b) | .27 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.06 | ) | .86 | .28 | (.94 | ) | 1.57 | .89 | ||||||||||||||||
Contributions from Affiliates | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .06 | 1.34 | .70 | (.46 | ) | 2.00 | 1.16 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.21 | ) | (.47 | ) | (.35 | ) | (.36 | ) | (.39 | ) | (.25 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.00 | )(c) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.21 | ) | (.47 | ) | (.35 | ) | (.36 | ) | (.39 | ) | (.25 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.65 | $ 14.80 | $ 13.93 | $ 13.58 | $ 14.40 | $ 12.79 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | .24 | %* | 9.99 | %* | 5.30 | % | (3.21 | )% | 15.94 | % | 9.81 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $84,459 | $90,911 | $88,863 | $94,932 | $109,579 | $95,982 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | .55 | %^ | .59 | % | .61 | % | .60 | % | .68 | % | .69 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | .77 | %^ | .72 | % | .69 | % | .68 | % | .69 | % | .69 | % | ||||||||||||
Net investment income | 1.60 | %(b)^ | 3.40 | %(b) | 3.16 | %(b) | 3.42 | %(b) | 3.17 | %(b) | 2.14 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 108 | % | 14 | % | 9 | % | 15 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .22 | %^ | .31 | % | .31 | % | .27 | % | .05 | % | .04 | % |
See footnote summary on page 141.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 137 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017‡ | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.63 | $ 13.77 | $ 13.39 | $ 14.21 | $ 12.69 | $ 11.82 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .07 | (b) | .38 | (b) | .36 | (b) | .38 | (b) | .41 | (b) | .20 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.07 | ) | .85 | .25 | (.92 | ) | 1.47 | .87 | ||||||||||||||||
Contributions from Affiliates | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .00 | (c) | 1.23 | .61 | (.54 | ) | 1.88 | 1.07 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.14 | ) | (.37 | ) | (.23 | ) | (.28 | ) | (.36 | ) | (.20 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.00 | )(c) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.14 | ) | (.37 | ) | (.23 | ) | (.28 | ) | (.36 | ) | (.20 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.49 | $ 14.63 | $ 13.77 | $ 13.39 | $ 14.21 | $ 12.69 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.04 | )%* | 9.17 | %* | 4.69 | % | (3.82 | )% | 15.09 | % | 9.13 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $5,667 | $6,196 | $6,381 | $10,762 | $11,761 | $17,316 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | 1.21 | %^ | 1.25 | % | 1.27 | % | 1.26 | % | 1.34 | % | 1.35 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.43 | %^ | 1.38 | % | 1.35 | % | 1.34 | % | 1.35 | % | 1.35 | % | ||||||||||||
Net investment income | .94 | %(b)^ | 2.69 | %(b) | 2.70 | %(b) | 2.71 | %(b) | 3.05 | %(b) | 1.62 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 108 | % | 14 | % | 9 | % | 15 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .22 | %^ | .31 | % | .31 | % | .27 | % | .05 | % | .04 | % |
See footnote summary on page 141.
138 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017‡ | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.66 | $ 13.80 | $ 13.44 | $ 14.26 | $ 12.71 | $ 11.83 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .09 | (b) | .41 | (b) | .38 | (b) | .38 | (b) | .35 | (b) | .22 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.06 | ) | .86 | .28 | (.89 | ) | 1.58 | .88 | ||||||||||||||||
Contributions from Affiliates | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .03 | 1.27 | .66 | (.51 | ) | 1.93 | 1.10 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.18 | ) | (.41 | ) | (.30 | ) | (.31 | ) | (.38 | ) | (.22 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.00 | )(c) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.18 | ) | (.41 | ) | (.30 | ) | (.31 | ) | (.38 | ) | (.22 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.51 | $ 14.66 | $ 13.80 | $ 13.44 | $ 14.26 | $ 12.71 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | .08 | %* | 9.56 | %* | 5.04 | % | (3.55 | )% | 15.44 | % | 9.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $20,667 | $23,344 | $27,129 | $30,439 | $29,819 | $25,081 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | .90 | %^ | .94 | % | .95 | % | .95 | % | 1.03 | % | 1.04 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.12 | %^ | 1.07 | % | 1.03 | % | 1.03 | % | 1.04 | % | 1.04 | % | ||||||||||||
Net investment income | 1.25 | %(b)^ | 2.95 | %(b) | 2.85 | %(b) | 2.74 | %(b) | 2.59 | %(b) | 1.76 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 108 | % | 14 | % | 9 | % | 15 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .22 | %^ | .31 | % | .31 | % | .27 | % | .05 | % | .04 | % |
See footnote summary on page 141.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 139 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017‡ | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.76 | $ 13.89 | $ 13.54 | $ 14.35 | $ 12.76 | $ 11.85 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .12 | (b) | .47 | (b) | .42 | (b) | .49 | (b) | .43 | (b) | .26 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.08 | ) | .87 | .27 | (.95 | ) | 1.55 | .89 | ||||||||||||||||
Contributions from Affiliates | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .04 | 1.34 | .69 | (.46 | ) | 1.98 | 1.15 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.47 | ) | (.34 | ) | (.35 | ) | (.39 | ) | (.24 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.00 | )(c) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | – 0 | – | (.47 | ) | (.34 | ) | (.35 | ) | (.39 | ) | (.24 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.80 | $ 14.76 | $ 13.89 | $ 13.54 | $ 14.35 | $ 12.76 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | .27 | %* | 9.92 | %* | 5.28 | % | (3.18 | )% | 15.82 | % | 9.82 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $220 | $214 | $11,299 | $11,912 | $14,204 | $12,653 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | .58 | %^ | .61 | % | .63 | % | .62 | % | .70 | % | .71 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | .79 | %^ | .74 | % | .71 | % | .70 | % | .71 | % | .71 | % | ||||||||||||
Net investment income | 1.58 | %(b)^ | 3.33 | %(b) | 3.14 | %(b) | 3.45 | %(b) | 3.14 | %(b) | 2.12 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 108 | % | 14 | % | 9 | % | 15 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .22 | %^ | .31 | % | .31 | % | .27 | % | .05 | % | .04 | % |
See footnote summary on page 141.
140 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of fees and expenses waived/reimbursed by the Adviser. |
(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) | In connection with the Fund’s investments in affiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses, and for the six months ended February 28, 2018 and year ended August 31, 2017, such waiver amounted to .22% (annualized) and .13%, respectively. |
* | Includes the impact of proceeds received and credited to the Fund resulting from class action settlements, which enhanced the Fund’s performance for the six months ended February 28, 2018 and year ended August 31, 2017 by .02% and .03%, respectively. |
‡ | Consolidated (see Note A). |
^ | Annualized. |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 141 |
BOARD OF DIRECTORS
TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Michael J. Downey(1) William H. Foulk, Jr.(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 | ||
Alexander Barenboym(2), Vice President Daniel J. Loewy(2), Vice President Emilie D. Wrapp, Clerk Joseph J. Mantineo, Treasurer and Chief Financial Officer | Phyllis J. Clarke, Controller and Chief Accounting Officer Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company
Principal Underwriter AllianceBernstein Investments, Inc.
Legal Counsel Seward & Kissel LLP | Transfer Agent AllianceBernstein Investor
Independent Registered Public Accounting Firm Ernst & Young LLP |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Barenboym and Loewy are the investment professionals primarily responsible for the day-to-day management of the AB All Market Total Return Portfolio’s portfolio. |
142 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB All Market Total Return Portfolio (formerly AB Balanced Wealth Strategy) (the “Fund”) at a meeting held on August 1-2, 2017 (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 Company’s Senior Officer (who is also the Company’s Independent Compliance Officer), who acted as their independent fee consultant, 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 Company’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 review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. 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 invest-
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 143 |
ment 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 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 and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2015 and 2016 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Company’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 relationships 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 relationships with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the underlying funds advised by the Adviser in which the Fund invests, 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 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 Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
144 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
At the Meeting, the directors reviewed information prepared by an analytical service that is not affiliated with the Adviser (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a peer group and a peer universe, and information prepared by the Adviser showing performance of the Class A Shares of the Fund against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2017 and (in the case of comparisons with the broad-based securities market index) for the period from inception. 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 the 15(c) service provider concerning advisory fee rates paid by other funds in the same 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 compared the Fund’s contractual effective advisory fee rate with a peer group median.
The Adviser informed the directors that there were no institutional products managed by it that have a substantially similar investment style.
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 also 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 the 15(c) provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the information included the pro forma expense ratio to reflect a reduction in the Fund’s expense ratio effective since the recent changes to the Fund’s investment strategies. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s 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
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 145 |
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 pro forma expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. 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 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 shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
US CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
US GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
INTERNATIONAL/ GLOBAL CORE
Global Core Equity Portfolio
International Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed International Portfolio
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
INTERNATIONAL/ GLOBAL GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund1
INTERNATIONAL/ GLOBAL EQUITY (continued)
INTERNATIONAL/ GLOBAL VALUE
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
Tax-Aware Fixed Income Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
FlexFee™ High Yield Portfolio1
FlexFee™ International Bond Portfolio
Global Bond Fund
High Income Fund
Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
Unconstrained Bond Fund
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
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
CLOSED-END FUNDS
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio 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.
1 | Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio. |
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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AB ALL MARKET TOTAL RETURN PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
AMTR-0152-0218
FEB 02.28.18
SEMI-ANNUAL REPORT
AB CONSERVATIVE WEALTH STRATEGY
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.
FROM THE PRESIDENT |
Dear Shareholder,
We are pleased to provide this report for AB Conservative Wealth Strategy (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
As always, AB strives to keep clients ahead of what’s next by:
+ | Transforming uncommon insights into uncommon knowledge with a global research scope |
+ | Navigating markets with seasoned investment experience and sophisticated solutions |
+ | Providing thoughtful investment insights and actionable ideas |
Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.
AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.
For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in the AB Mutual Funds.
Sincerely,
Robert M. Keith
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 1 |
SEMI-ANNUAL REPORT
April 20, 2018
This report provides management’s discussion of fund performance for AB Conservative Wealth Strategy for the semi-annual reporting period ended February 28, 2018.
Effective July 14, 2017, the Fund made certain changes to its principal strategies, including eliminating static asset allocation targets for investment. Accordingly, the performance shown for periods prior to July 14, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
The Fund’s investment objective is to achieve a high total return without, in the opinion of the Adviser, undue risk to principal.
NAV RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
6 Months | 12 Months | |||||||
AB CONSERVATIVE WEALTH STRATEGY1 | ||||||||
Class A Shares | 0.88% | 4.73% | ||||||
Class B Shares2 | 0.50% | 3.98% | ||||||
Class C Shares | 0.44% | 3.91% | ||||||
Advisor Class Shares3 | 1.05% | 5.05% | ||||||
Class R Shares3 | 0.65% | 4.32% | ||||||
Class K Shares3 | 0.89% | 4.67% | ||||||
Class I Shares3 | 1.01% | 4.94% | ||||||
Primary Benchmark: Bloomberg Barclays Global Aggregate Bond Index (USD hedged)4 | -0.60% | 1.57% | ||||||
MSCI ACWI (net) | 9.07% | 18.79% | ||||||
S&P 500 Index | 10.84% | 17.10% | ||||||
Bloomberg Barclays US Aggregate Bond Index | -2.18% | 0.51% | ||||||
Blended Benchmark: 65% Bloomberg Barclays US Aggregate Bond Index / 35% S&P 500 Index | 2.28% | 6.12% |
1 | 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 February 28, 2018, by 0.03% and 0.31%, respectively. |
2 | Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information. |
3 | 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. |
4 | Effective July 14, 2017, in connection with the changes in investment strategy, the broad-based index used for comparison with the Fund’s performance has changed from the Bloomberg Barclays US Aggregate Bond Index to the Bloomberg Barclays Global Aggregate Bond Index (USD hedged) because the new index more closely reflects the Fund’s investments. |
2 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
INVESTMENT RESULTS
The preceding table shows the Fund’s performance compared to its primary benchmark, the Bloomberg Barclays Global Aggregate Bond Index (USD hedged), and the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) net, for the six- and 12-month periods ended February 28, 2018. Also included are the Fund’s previous benchmarks: the Standard and Poor’s (“S&P”) 500 Index, the Bloomberg Barclays US Aggregate Bond Index and the blended benchmark, composed of 65% Bloomberg Barclays US Aggregate Bond Index / 35% S&P 500 Index.
For both periods, all share classes of the Fund outperformed the primary benchmark and the Bloomberg Barclays US Aggregate Bond Index; all share classes underperformed the MSCI ACWI (net), the S&P 500 Index, and the blended benchmark, before sales charges.
During the six-month period, fixed-income holdings and diversifiers detracted from performance; equity holdings contributed relative to the benchmark. While overall allocations within diversifiers and active equities contributed, security selection within the Fund’s holdings detracted. Diversifiers include alternative asset classes and alternative investment strategies that are expected to have low correlation with returns on equities and fixed-income securities. These investments can include commodities and related derivatives, real estate-related securities and inflation-linked securities.
During the pre-transition period from March 1, 2017 through June 30, 2017, all underlying investment strategies or mutual funds (collectively, “Underlying Portfolios”) except US Value Portfolio, Multi-Asset Real Return Portfolio and Inflation Protection Portfolio contributed to absolute returns. Compared to their respective style benchmarks, US Value Portfolio, Small-Mid Cap Value Portfolio and International Value Portfolio underperformed, while all other Underlying Portfolios outperformed. The transition of the Fund occurred during July 2017, and therefore, specific performance attribution information for this month is not materially relevant. During July, the Fund experienced a positive return and outperformed its primary benchmark and underperformed the MSCI ACWI (net).
During the post-transition period from August 1, 2017, through February 28, 2018, diversifiers and fixed-income assets detracted from performance; equity holdings contributed. While security selection across all asset classes detracted, allocations to active equities and diversifiers contributed.
The Fund utilized derivatives including futures, forwards, purchased options, written options, inflation swaps, interest rate swaps, credit default swaps and total return swaps, for hedging and investment purposes. For both periods, written options, inflation swaps and credit default swaps contributed to returns, while forwards, interest rate swaps and total return swaps detracted, on an absolute basis. Futures and purchased options detracted for both periods.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 3 |
MARKET REVIEW AND INVESTMENT STRATEGY
Equities rallied amid strong corporate earnings and robust global growth data during the six-month period ended February 28, 2018. Tax reform in the US propelled stocks higher, before and after the Tax Cuts and Jobs Act was signed into law. However, improving economic data became a cause of concern for investors toward the end of the period, after the US saw its best year-over-year growth rate in wages since June 2009. Investor sentiment was weighed down by fears regarding a potential acceleration in inflation and the risk of the US Federal Reserve (the “Fed”) tightening monetary policy faster than expected and driving bond yields higher. In February, global equities declined significantly for the first time since early 2016, before recovering modestly.
Global bonds were volatile over the period. Within emerging markets, local-currency debt and corporates rallied on improving oil prices and positive global growth, while higher global rates weighed on hard-currency debt. Investment-grade credit fell, lagging the positive returns of emerging-market local-currency government bonds, developed-market treasuries, and global high yield. While developed-market treasury yields generally rose, yields in Italy, Spain, and Japan moved in different directions (bond yields move inversely to prices).
INVESTMENT POLICIES
The Adviser allocates the Fund’s investments among a number of asset classes, including fixed-income securities, equity securities, and alternative asset classes and alternative investment strategies. The Fund seeks to have generally greater exposure to fixed-income securities than equity securities or alternative asset classes and alternative investment strategies. The Fund pursues a global strategy, typically investing in securities of issuers located in the United States and in other countries throughout the world, including emerging-market countries. Investments will be made either directly or indirectly through underlying registered investment companies advised by the Adviser (each an “Underlying Portfolio”), although a majority of the Fund’s assets are expected to be invested directly.
The Fund’s investments in fixed-income securities may include corporate and sovereign debt securities as well as interest rate derivatives and credit derivatives such as credit default swaps. In selecting fixed-income securities for the Fund, the Adviser attempts to take advantage of inefficiencies that it believes exist in the global fixed-income markets. These inefficiencies arise from investor behavior, market complexity and the investment limitations to which investors are subject. The Adviser intends to gain exposure to high-yield debt securities (commonly known as “junk bonds”) through investment in the AB High
4 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
(continued on next page)
Income Fund, an Underlying Portfolio, and may, in the future, gain such exposure through direct investments in high-yield debt securities. Fixed-income securities in which the Fund or AB High Income Fund may invest may be of any credit quality or maturity.
The Fund’s investments in equity securities will consist primarily of securities of large-capitalization companies and derivatives related to such securities. In selecting equity securities for the Fund, the Adviser intends to use fundamental and quantitative analysis with the goal of generating returns primarily from security selection rather than price movements in equity securities generally.
The Fund may invest in alternative investments the returns on which are expected to have low correlation with returns on equity and fixed-income securities, such as commodities and related derivatives, real estate-related securities and inflation-indexed securities. In order to gain exposure to certain alternative investment strategies using various asset classes, the Adviser intends to invest a portion of the Fund’s assets in the AB All Market Real Return Portfolio and the AB All Market Alternative Return Portfolio, each an Underlying Portfolio.
The Adviser seeks to adjust the Fund’s asset class exposure utilizing both fundamental analysis and the Adviser’s Dynamic Asset Allocation (“DAA”) approach. DAA comprises a series of analytical and forecasting tools employed by the Adviser to gauge fluctuations in the risk/return profile of various asset classes. DAA seeks to adjust the Fund’s investment exposure in changing market conditions and thereby reduce overall portfolio volatility by mitigating the effects of market fluctuations, while preserving consistent long-term return potential. For example, the Adviser may seek to reduce the Fund’s risk exposure to one or more assets classes when DAA suggests that market risks relevant to those asset classes are rising but return opportunities are declining. In addition to merely increasing or decreasing asset class exposure by buying or selling securities of that asset class, the Adviser may pursue DAA implementation for the Fund by utilizing derivatives.
The Adviser intends to utilize a variety of derivatives in its management of the Fund. As noted above, the Adviser may use derivatives to gain exposure to various asset classes, and may cause the Fund to enter into derivatives in making the adjustments called for by DAA. As a result of the use of derivatives, the Fund will frequently be leveraged, with net investment exposure in excess of net assets.
Currency exchange rate fluctuations can have a dramatic impact on returns. The Fund’s foreign currency exposures will come from investment in securities priced or denominated in foreign currencies
(continued on next page)
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 5 |
and from direct holdings in foreign currencies and currency-related derivatives. 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. The Adviser may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives.
6 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
DISCLOSURES AND RISKS
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays Global Aggregate Bond Index (USD hedged) represents the performance of global investment-grade developed fixed-income markets. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. The S&P 500 Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. The Bloomberg Barclays US Aggregate Bond Index represents the performance of securities within the US investment-grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities, and commercial mortgage-backed securities. 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. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. 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 assets will fluctuate as the stock, bond or commodities markets fluctuate. 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. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Allocation Risk: The allocation of investments among different investment styles, such as equity or debt, growth or value, US or non-US securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value (“NAV”) when one of these investments is performing more poorly than another.
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 and accrued interest. 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
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 7 |
DISCLOSURES AND RISKS (continued)
security. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
High Yield Debt Securities Risk: Investments in fixed-income securities with lower ratings (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.
Interest Rate Risk: Changes in interest rates will affect the value of the Fund’s investments in fixed-income securities and in Underlying Portfolios that invest in fixed-income securities. When interest rates rise, the value of existing 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 heightened interest rate risk due to rising rates as the current period of historically low interest rates may be ending. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations.
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.
Alternative Investments Risk: Many alternative investments can be volatile and may be illiquid. Their performance may have little correlation with the performance of equity or fixed-income markets, and they may not perform in accordance with expectations.
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.
8 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
DISCLOSURES AND RISKS (continued)
Leverage Risk: To the extent 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.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Fund bear both their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies (to the extent these expenses are not waived or reimbursed by the Adviser).
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 as the prices of the individual securities in which it invests fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report 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. The performance shown for periods prior to July 14, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
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) and 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.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 9 |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 4.73% | 0.25% | ||||||
5 Years | 3.63% | 2.74% | ||||||
10 Years | 3.33% | 2.89% | ||||||
CLASS B SHARES | ||||||||
1 Year | 3.98% | 0.04% | ||||||
5 Years | 2.86% | 2.86% | ||||||
10 Years1 | 2.74% | 2.74% | ||||||
CLASS C SHARES | ||||||||
1 Year | 3.91% | 2.93% | ||||||
5 Years | 2.86% | 2.86% | ||||||
10 Years | 2.59% | 2.59% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 5.05% | 5.05% | ||||||
5 Years | 3.92% | 3.92% | ||||||
10 Years | 3.63% | 3.63% | ||||||
CLASS R SHARES2 | ||||||||
1 Year | 4.32% | 4.32% | ||||||
5 Years | 3.21% | 3.21% | ||||||
10 Years | 2.94% | 2.94% | ||||||
CLASS K SHARES2 | ||||||||
1 Year | 4.67% | 4.67% | ||||||
5 Years | 3.56% | 3.56% | ||||||
10 Years | 3.27% | 3.27% | ||||||
CLASS I SHARES2 | ||||||||
1 Year | 4.94% | 4.94% | ||||||
5 Years | 3.88% | 3.88% | ||||||
10 Years | 3.60% | 3.60% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.34%, 2.09%, 2.07%, 1.09%, 1.75%, 1.44% and 1.11% for Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios to 1.13%, 1.88%, 1.86%, 0.88%, 1.54%, 1.23% and 1.00% for Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2018. Absent reimbursements or waivers, performance would have been lower. 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.
(footnotes continued on next page)
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HISTORICAL PERFORMANCE (continued)
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | 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. |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 11 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 0.36% | |||
5 Years | 2.63% | |||
10 Years | 2.97% | |||
CLASS B SHARES | ||||
1 Year | 0.04% | |||
5 Years | 2.76% | |||
10 Years1 | 2.82% | |||
CLASS C SHARES | ||||
1 Year | 2.93% | |||
5 Years | 2.76% | |||
10 Years | 2.66% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 5.06% | |||
5 Years | 3.82% | |||
10 Years | 3.72% | |||
CLASS R SHARES2 | ||||
1 Year | 4.33% | |||
5 Years | 3.13% | |||
10 Years | 3.03% | |||
CLASS K SHARES2 | ||||
1 Year | 4.60% | |||
5 Years | 3.44% | |||
10 Years | 3.35% | |||
CLASS I SHARES2 | ||||
1 Year | 4.95% | |||
5 Years | 3.78% | |||
10 Years | 3.68% |
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | 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. |
12 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
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.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 13 |
EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2017 | Ending Account Value February 28, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,008.80 | $ | 5.13 | 1.03 | % | $ | 6.43 | 1.29 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.69 | $ | 5.16 | 1.03 | % | $ | 6.46 | 1.29 | % | ||||||||||||
Class B | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,005.00 | $ | 8.90 | 1.79 | % | $ | 10.19 | 2.05 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,015.92 | $ | 8.95 | 1.79 | % | $ | 10.25 | 2.05 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,004.40 | $ | 8.70 | 1.75 | % | $ | 9.99 | 2.01 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,016.12 | $ | 8.75 | 1.75 | % | $ | 10.05 | 2.01 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,010.50 | $ | 3.89 | 0.78 | % | $ | 5.18 | 1.04 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.93 | $ | 3.91 | 0.78 | % | $ | 5.21 | 1.04 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,006.50 | $ | 7.11 | 1.43 | % | $ | 8.41 | 1.69 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.70 | $ | 7.15 | 1.43 | % | $ | 8.45 | 1.69 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,008.90 | $ | 5.63 | 1.13 | % | $ | 6.92 | 1.39 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.19 | $ | 5.66 | 1.13 | % | $ | 6.95 | 1.39 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,010.10 | $ | 3.49 | 0.70 | % | $ | 4.78 | 0.96 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.32 | $ | 3.51 | 0.70 | % | $ | 4.81 | 0.96 | % |
* | Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Fund’s investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Fund’s total expenses are equal to the classes’ annualized expense ratio plus the Fund’s pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
14 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO SUMMARY
February 28, 2018 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $221.5
1 | All data are as of February 28, 2018. The Fund’s security type breakdown is 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). |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS
February 28, 2018 (unaudited)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
INVESTMENT COMPANIES – 33.9% | ||||||||||||
Funds and Investment Trusts – 33.9%(a) | ||||||||||||
AB All Market Real Return Portfolio – Class Z(b) | 2,480,376 | $ | 21,554,470 | |||||||||
AB Cap Fund, Inc. – AB All Market Alternative Return Portfolio – Class ADV(b)(c) | 2,750,100 | 21,560,784 | ||||||||||
AB High Income Fund, Inc. – Class Z(b) | 2,573,470 | 22,363,457 | ||||||||||
SPDR S&P 500 ETF Trust | 6,480 | 1,760,292 | ||||||||||
Vanguard FTSE Emerging Markets ETF | 91,960 | 4,337,753 | ||||||||||
Vanguard Global ex-U.S. Real Estate ETF | 24,064 | 1,427,477 | ||||||||||
Vanguard Real Estate ETF | 30,160 | 2,212,236 | ||||||||||
|
| |||||||||||
Total Investment Companies | 75,216,469 | |||||||||||
|
| |||||||||||
COMMON STOCKS – 33.8% | ||||||||||||
Information Technology – 7.9% | ||||||||||||
Communications Equipment – 0.1% | ||||||||||||
BYD Electronic International Co., Ltd. | 6,500 | 15,968 | ||||||||||
Cisco Systems, Inc. | 4,159 | 186,240 | ||||||||||
Telefonaktiebolaget LM Ericsson – Class B | 981 | 6,563 | ||||||||||
|
| |||||||||||
208,771 | ||||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||||||
Amphenol Corp. – Class A | 9,659 | 882,736 | ||||||||||
Avnet, Inc. | 1,688 | 72,077 | ||||||||||
Corning, Inc. | 3,259 | 94,772 | ||||||||||
|
| |||||||||||
1,049,585 | ||||||||||||
|
| |||||||||||
Internet Software & Services – 1.5% | ||||||||||||
Alphabet, Inc. – Class A(c) | 90 | 99,353 | ||||||||||
Alphabet, Inc. – Class C(c) | 2,364 | 2,611,581 | ||||||||||
Autohome, Inc. (ADR) | 241 | 18,849 | ||||||||||
eBay, Inc.(c) | 2,998 | 128,494 | ||||||||||
Facebook, Inc. – Class A(c) | 1,561 | 278,358 | ||||||||||
Mixi, Inc. | 900 | 36,303 | ||||||||||
Moneysupermarket.com Group PLC | 56,060 | 199,741 | ||||||||||
Tencent Holdings Ltd. | 800 | 43,767 | ||||||||||
|
| |||||||||||
3,416,446 | ||||||||||||
|
| |||||||||||
IT Services – 2.6% | ||||||||||||
Accenture PLC – Class A | 183 | 29,465 | ||||||||||
Amadeus IT Group SA – Class A | 4,600 | 337,713 | ||||||||||
Amdocs Ltd. | 1,597 | 105,066 | ||||||||||
Booz Allen Hamilton Holding Corp. | 7,346 | 278,634 | ||||||||||
Capgemini SE | 2,140 | 266,741 | ||||||||||
Cognizant Technology Solutions Corp. – Class A | 2,100 | 172,242 | ||||||||||
Fidelity National Information Services, Inc. | 2,740 | 266,273 | ||||||||||
Gartner, Inc.(c) | 8,020 | 909,548 |
16 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Mastercard, Inc. – Class A | 10,070 | $ | 1,769,903 | |||||||||
Otsuka Corp. | 2,900 | 268,820 | ||||||||||
Total System Services, Inc. | 6,760 | 594,542 | ||||||||||
Visa, Inc. – Class A | 6,676 | 820,748 | ||||||||||
|
| |||||||||||
5,819,695 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment – 0.6% | ||||||||||||
Applied Materials, Inc. | 1,939 | 111,667 | ||||||||||
Intel Corp. | 12,560 | 619,083 | ||||||||||
Lam Research Corp. | 483 | 92,668 | ||||||||||
Skyworks Solutions, Inc. | 352 | 38,456 | ||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR) | 4,270 | 185,104 | ||||||||||
Texas Instruments, Inc. | 2,562 | 277,593 | ||||||||||
|
| |||||||||||
1,324,571 | ||||||||||||
|
| |||||||||||
Software – 1.7% | ||||||||||||
Adobe Systems, Inc.(c) | 691 | 144,509 | ||||||||||
BlackBerry Ltd.(c) | 2,280 | 27,665 | ||||||||||
Cadence Design Systems, Inc.(c) | 2,740 | 106,230 | ||||||||||
Check Point Software Technologies Ltd.(c) | 1,300 | 135,057 | ||||||||||
Constellation Software, Inc./Canada | 80 | 51,782 | ||||||||||
Dell Technologies, Inc. – Class V(c) | 1,056 | 78,450 | ||||||||||
Intuit, Inc. | 710 | 118,471 | ||||||||||
Microsoft Corp. | 17,198 | 1,612,656 | ||||||||||
NCSoft Corp. | 60 | 20,734 | ||||||||||
Nexon Co., Ltd.(c) | 300 | 10,810 | ||||||||||
Nice Ltd. | 3,050 | 294,648 | ||||||||||
Oracle Corp. | 9,326 | 472,548 | ||||||||||
Oracle Corp. Japan | 4,400 | 339,919 | ||||||||||
SAP SE | 1,890 | 197,239 | ||||||||||
Trend Micro, Inc./Japan | 800 | 45,122 | ||||||||||
|
| |||||||||||
3,655,840 | ||||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals – 0.9% | ||||||||||||
Apple, Inc. | 9,652 | 1,719,214 | ||||||||||
HP, Inc. | 4,836 | 113,114 | ||||||||||
Samsung Electronics Co., Ltd. | 104 | 225,999 | ||||||||||
|
| |||||||||||
2,058,327 | ||||||||||||
|
| |||||||||||
17,533,235 | ||||||||||||
|
| |||||||||||
Financials – 5.5% | ||||||||||||
Banks – 2.3% | ||||||||||||
Bank Leumi Le-Israel BM | 3,850 | 23,206 | ||||||||||
Bank of America Corp. | 2,115 | 67,891 | ||||||||||
Cadence BanCorp | 2,429 | 66,603 | ||||||||||
Citigroup, Inc. | 7,179 | 541,943 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Comerica, Inc. | 1,160 | $ | 112,775 | |||||||||
DBS Group Holdings Ltd. | 30,400 | 653,320 | ||||||||||
DNB ASA | 9,175 | 179,971 | ||||||||||
Hana Financial Group, Inc. | 463 | 20,977 | ||||||||||
Hang Seng Bank Ltd. | 7,100 | 176,030 | ||||||||||
Industrial Bank of Korea | 1,487 | 23,525 | ||||||||||
JPMorgan Chase & Co. | 2,074 | 239,547 | ||||||||||
Jyske Bank A/S | 12,240 | 722,355 | ||||||||||
KB Financial Group, Inc. | 395 | 23,308 | ||||||||||
KBC Group NV | 1,150 | 107,758 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 42,500 | 299,355 | ||||||||||
National Australia Bank Ltd. | 5,780 | 134,357 | ||||||||||
Oversea-Chinese Banking Corp., Ltd. | 20,300 | 198,649 | ||||||||||
PNC Financial Services Group, Inc. (The) | 832 | 131,173 | ||||||||||
Raiffeisen Bank International AG(c) | 1,433 | 55,520 | ||||||||||
Royal Bank of Canada | 3,770 | 296,999 | ||||||||||
Toronto-Dominion Bank (The) | 5,878 | 338,974 | ||||||||||
Wells Fargo & Co. | 12,931 | 755,300 | ||||||||||
Woori Bank | 1,491 | 22,755 | ||||||||||
|
| |||||||||||
5,192,291 | ||||||||||||
|
| |||||||||||
Capital Markets – 2.0% |
| |||||||||||
BlackRock, Inc. – Class A | 658 | 361,525 | ||||||||||
Charles Schwab Corp. (The) | 27,870 | 1,477,667 | ||||||||||
China Everbright Ltd. | 10,000 | 21,812 | ||||||||||
China Huarong Asset Management Co., Ltd.(d) | 11,000 | 4,964 | ||||||||||
CI Financial Corp.(e) | 925 | 20,573 | ||||||||||
CME Group, Inc. – Class A | 1,937 | 321,852 | ||||||||||
Daiwa Securities Group, Inc. | 6,000 | 39,887 | ||||||||||
IG Group Holdings PLC | 15,120 | 167,763 | ||||||||||
Intercontinental Exchange, Inc. | 2,210 | 161,507 | ||||||||||
Julius Baer Group Ltd.(c) | 6,757 | 438,887 | ||||||||||
Kingston Financial Group Ltd. | 20,000 | 12,041 | ||||||||||
London Stock Exchange Group PLC | 3,029 | 167,236 | ||||||||||
Morgan Stanley | 2,309 | 129,350 | ||||||||||
Partners Group Holding AG | 328 | 237,728 | ||||||||||
S&P Global, Inc. | 664 | 127,355 | ||||||||||
Singapore Exchange Ltd. | 86,600 | 490,709 | ||||||||||
Thomson Reuters Corp. | 5,110 | 201,342 | ||||||||||
|
| |||||||||||
4,382,198 | ||||||||||||
|
| |||||||||||
Consumer Finance – 0.1% |
| |||||||||||
American Express Co. | 1,279 | 124,715 | ||||||||||
Discover Financial Services | 194 | 15,293 | ||||||||||
Samsung Card Co., Ltd. | 630 | 21,156 | ||||||||||
|
| |||||||||||
161,164 | ||||||||||||
|
|
18 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Diversified Financial Services – 0.2% | ||||||||||||
Berkshire Hathaway, Inc. – Class B(c) | 115 | $ | 23,828 | |||||||||
Cielo SA | 37,900 | 282,362 | ||||||||||
Industrivarden AB – Class C | 2,194 | 52,339 | ||||||||||
Kinnevik AB | 1,631 | 59,526 | ||||||||||
|
| |||||||||||
418,055 | ||||||||||||
|
| |||||||||||
Insurance – 0.9% | ||||||||||||
Aflac, Inc. | 315 | 27,997 | ||||||||||
Allianz SE (REG) | 440 | 102,208 | ||||||||||
Arthur J Gallagher & Co. | 1,920 | 132,691 | ||||||||||
Direct Line Insurance Group PLC | 20,570 | 108,181 | ||||||||||
Everest Re Group Ltd. | 490 | 117,718 | ||||||||||
FNF Group | 7,480 | 298,676 | ||||||||||
Japan Post Holdings Co., Ltd. | 3,700 | 44,585 | ||||||||||
Marsh & McLennan Cos., Inc. | 3,380 | 280,608 | ||||||||||
Ping An Insurance Group Co. of China Ltd. – Class H | 2,500 | 26,333 | ||||||||||
Progressive Corp. (The) | 1,997 | 114,987 | ||||||||||
Prudential Financial, Inc. | 712 | 75,700 | ||||||||||
Swiss Re AG | 3,890 | 395,786 | ||||||||||
Travelers Cos., Inc. (The) | 414 | 57,546 | ||||||||||
Tryg A/S | 7,560 | 179,312 | ||||||||||
|
| |||||||||||
1,962,328 | ||||||||||||
|
| |||||||||||
12,116,036 | ||||||||||||
|
| |||||||||||
Consumer Discretionary – 5.3% | ||||||||||||
Auto Components – 0.5% | ||||||||||||
Aptiv PLC | 11,640 | 1,063,081 | ||||||||||
Autoliv, Inc.(e) | 949 | 136,125 | ||||||||||
Faurecia SA | 139 | 11,622 | ||||||||||
|
| |||||||||||
1,210,828 | ||||||||||||
|
| |||||||||||
Automobiles – 0.1% | ||||||||||||
Fiat Chrysler Automobiles NV(c) | 2,636 | 55,641 | ||||||||||
Geely Automobile Holdings Ltd. | 8,000 | 25,668 | ||||||||||
Mazda Motor Corp. | 2,900 | 40,184 | ||||||||||
|
| |||||||||||
121,493 | ||||||||||||
|
| |||||||||||
Diversified Consumer Services – 0.5% | ||||||||||||
Benesse Holdings, Inc. | 1,100 | 39,375 | ||||||||||
Service Corp. International/US | 21,204 | 793,666 | ||||||||||
Sotheby’s(c) | 5,992 | 276,711 | ||||||||||
|
| |||||||||||
1,109,752 | ||||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure – 1.5% | ||||||||||||
Aristocrat Leisure Ltd. | 19,690 | 374,313 | ||||||||||
Compass Group PLC | 15,311 | 325,285 | ||||||||||
Hilton Worldwide Holdings, Inc. | 1,040 | 84,022 | ||||||||||
McDonald’s Corp. | 2,108 | 332,516 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
OPAP SA | 4,269 | $ | 52,134 | |||||||||
Starbucks Corp. | 35,106 | 2,004,552 | ||||||||||
Yum! Brands, Inc. | 1,354 | 110,188 | ||||||||||
|
| |||||||||||
3,283,010 | ||||||||||||
|
| |||||||||||
Household Durables – 0.2% | ||||||||||||
Auto Trader Group PLC(d) | 36,530 | 183,191 | ||||||||||
Electrolux AB – Class B | 1,826 | 59,948 | ||||||||||
LG Electronics, Inc. | 236 | 21,703 | ||||||||||
Persimmon PLC | 4,370 | 156,221 | ||||||||||
|
| |||||||||||
421,063 | ||||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail – 0.8% | ||||||||||||
Amazon.com, Inc.(c) | 213 | 322,152 | ||||||||||
Booking Holdings, Inc.(c) | 692 | 1,407,556 | ||||||||||
|
| |||||||||||
1,729,708 | ||||||||||||
|
| |||||||||||
Leisure Products – 0.0% | ||||||||||||
Sega Sammy Holdings, Inc. | 3,200 | 46,422 | ||||||||||
|
| |||||||||||
Media – 0.4% | ||||||||||||
Comcast Corp. – Class A | 9,417 | 340,989 | ||||||||||
CTS Eventim AG & Co. KGaA | 2,410 | 117,002 | ||||||||||
Daiichikosho Co., Ltd. | 2,200 | 117,518 | ||||||||||
Liberty Global PLC – Class A(c) | 2,615 | 81,431 | ||||||||||
Omnicom Group, Inc. | 1,620 | 123,493 | ||||||||||
Sirius XM Holdings, Inc.(e) | 12,760 | 80,133 | ||||||||||
|
| |||||||||||
860,566 | ||||||||||||
|
| |||||||||||
Multiline Retail – 0.0% | ||||||||||||
Takashimaya Co., Ltd. | 3,000 | 30,420 | ||||||||||
|
| |||||||||||
Specialty Retail – 1.0% | ||||||||||||
AutoZone, Inc.(c) | 289 | 192,104 | ||||||||||
Best Buy Co., Inc. | 1,472 | 106,632 | ||||||||||
Home Depot, Inc. (The) | 1,466 | 267,208 | ||||||||||
Ross Stores, Inc. | 4,060 | 317,045 | ||||||||||
TJX Cos., Inc. (The) | 2,636 | 217,945 | ||||||||||
Ulta Salon Cosmetics & Fragrance, Inc.(c) | 4,926 | 1,001,702 | ||||||||||
|
| |||||||||||
2,102,636 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods – 0.3% | ||||||||||||
HUGO BOSS AG | 2,224 | 197,957 | ||||||||||
Moncler SpA | 3,350 | 116,258 | ||||||||||
NIKE, Inc. – Class B | 5,277 | 353,717 | ||||||||||
Ralph Lauren Corp. | 620 | 65,621 | ||||||||||
|
| |||||||||||
733,553 | ||||||||||||
|
| |||||||||||
11,649,451 | ||||||||||||
|
|
20 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Health Care – 5.0% | ||||||||||||
Biotechnology – 1.1% | ||||||||||||
Amgen, Inc. | 791 | $ | 145,362 | |||||||||
Biogen, Inc.(c) | 1,484 | 428,861 | ||||||||||
Celgene Corp.(c) | 10,369 | 903,348 | ||||||||||
CSL Ltd. | 455 | 57,302 | ||||||||||
Gilead Sciences, Inc. | 9,822 | 773,286 | ||||||||||
Grifols SA | 1,877 | 51,319 | ||||||||||
|
| |||||||||||
2,359,478 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies – 1.2% | ||||||||||||
Abbott Laboratories | 30,895 | 1,863,895 | ||||||||||
Cochlear Ltd. | 348 | 49,391 | ||||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 4,619 | 45,805 | ||||||||||
Hoya Corp. | 900 | 47,318 | ||||||||||
Straumann Holding AG | 79 | 53,217 | ||||||||||
West Pharmaceutical Services, Inc. | 7,863 | 685,811 | ||||||||||
|
| |||||||||||
2,745,437 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services – 1.3% | ||||||||||||
Anthem, Inc. | 6,641 | 1,563,158 | ||||||||||
Centene Corp.(c) | 712 | 72,211 | ||||||||||
Humana, Inc. | 417 | 113,349 | ||||||||||
McKesson Corp. | 72 | 10,745 | ||||||||||
UnitedHealth Group, Inc. | 5,063 | 1,145,048 | ||||||||||
|
| |||||||||||
2,904,511 | ||||||||||||
|
| |||||||||||
Life Sciences Tools & Services – 0.3% | ||||||||||||
IQVIA Holdings, Inc.(c) | 7,108 | 698,930 | ||||||||||
|
| |||||||||||
Pharmaceuticals – 1.1% | ||||||||||||
Eli Lilly & Co. | 288 | 22,182 | ||||||||||
Johnson & Johnson | 1,127 | 146,375 | ||||||||||
Merck & Co., Inc. | 4,518 | 244,966 | ||||||||||
Novo Nordisk A/S – Class B | 1,341 | 69,371 | ||||||||||
Pfizer, Inc. | 7,603 | 276,065 | ||||||||||
Roche Holding AG | 1,789 | 413,223 | ||||||||||
Shire PLC | 4,274 | 182,154 | ||||||||||
Valeant Pharmaceuticals International, Inc.(c) | 2,143 | 35,088 | ||||||||||
Zoetis, Inc. | 11,589 | 937,086 | ||||||||||
|
| |||||||||||
2,326,510 | ||||||||||||
|
| |||||||||||
11,034,866 | ||||||||||||
|
| |||||||||||
Industrials – 3.7% | ||||||||||||
Aerospace & Defense – 0.5% | ||||||||||||
Boeing Co. (The) | 1,814 | 657,049 | ||||||||||
L3 Technologies, Inc. | 530 | 110,002 | ||||||||||
Raytheon Co. | 1,927 | 419,142 | ||||||||||
Safran SA | 572 | 63,114 | ||||||||||
|
| |||||||||||
1,249,307 | ||||||||||||
|
|
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Air Freight & Logistics – 0.1% | ||||||||||||
CH Robinson Worldwide, Inc. | 1,767 | $ | 164,967 | |||||||||
|
| |||||||||||
Airlines – 0.2% | ||||||||||||
ANA Holdings, Inc. | 1,000 | 40,049 | ||||||||||
Delta Air Lines, Inc. | 1,876 | 101,117 | ||||||||||
Deutsche Lufthansa AG (REG) | 1,635 | 54,593 | ||||||||||
Japan Airlines Co., Ltd. | 1,000 | 38,112 | ||||||||||
Qantas Airways Ltd. | 37,384 | 170,169 | ||||||||||
|
| |||||||||||
404,040 | ||||||||||||
|
| |||||||||||
Building Products – 0.4% | ||||||||||||
Allegion PLC | 10,461 | 879,875 | ||||||||||
|
| |||||||||||
Commercial Services & Supplies – 0.4% | ||||||||||||
Republic Services, Inc. – Class A | 1,460 | 98,083 | ||||||||||
Secom Co., Ltd. | 7,000 | 500,632 | ||||||||||
Stericycle, Inc.(c) | 5,111 | 320,306 | ||||||||||
Toppan Printing Co., Ltd. | 4,000 | 34,171 | ||||||||||
|
| |||||||||||
953,192 | ||||||||||||
|
| |||||||||||
Industrial Conglomerates – 0.1% | ||||||||||||
CITIC Ltd. | 16,000 | 23,159 | ||||||||||
Honeywell International, Inc. | 900 | 135,999 | ||||||||||
|
| |||||||||||
159,158 | ||||||||||||
|
| |||||||||||
Machinery – 0.6% | ||||||||||||
Caterpillar, Inc. | 808 | 124,941 | ||||||||||
Dover Corp. | 7,200 | 720,720 | ||||||||||
Hyundai Heavy Industries Co., Ltd.(c) | 180 | 21,648 | ||||||||||
Kone Oyj – Class B(e) | 10,110 | 523,542 | ||||||||||
|
| |||||||||||
1,390,851 | ||||||||||||
|
| |||||||||||
Marine – 0.0% | ||||||||||||
Mitsui OSK Lines Ltd. | 1,100 | 34,275 | ||||||||||
|
| |||||||||||
Professional Services – 1.1% | ||||||||||||
Intertek Group PLC | 3,700 | 249,499 | ||||||||||
RELX NV | 31,410 | 644,305 | ||||||||||
Verisk Analytics, Inc. – Class A(c) | 12,540 | 1,281,462 | ||||||||||
Wolters Kluwer NV | 4,510 | 228,449 | ||||||||||
|
| |||||||||||
2,403,715 | ||||||||||||
|
| |||||||||||
Road & Rail – 0.1% | ||||||||||||
ALD SA(c)(d)(e) | 11,749 | 191,756 | ||||||||||
Central Japan Railway Co. | 200 | 37,148 | ||||||||||
DSV A/S | 750 | 58,743 | ||||||||||
|
| |||||||||||
287,647 | ||||||||||||
|
|
22 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Trading Companies & Distributors – 0.1% | ||||||||||||
HD Supply Holdings, Inc.(c) | 2,733 | $ | 99,071 | |||||||||
Sumitomo Corp. | 2,500 | 43,855 | ||||||||||
|
| |||||||||||
142,926 | ||||||||||||
|
| |||||||||||
Transportation Infrastructure – 0.1% | ||||||||||||
Flughafen Zurich AG | 770 | 182,814 | ||||||||||
|
| |||||||||||
8,252,767 | ||||||||||||
|
| |||||||||||
Consumer Staples – 2.4% | ||||||||||||
Beverages – 0.4% | ||||||||||||
Diageo PLC | 10,738 | 364,347 | ||||||||||
PepsiCo, Inc. | 3,379 | 370,777 | ||||||||||
Royal Unibrew A/S | 1,805 | 110,760 | ||||||||||
|
| |||||||||||
845,884 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing – 0.4% | ||||||||||||
Costco Wholesale Corp. | 684 | 130,576 | ||||||||||
CVS Health Corp. | 4,140 | 280,402 | ||||||||||
J Sainsbury PLC | 21,527 | 76,523 | ||||||||||
Kroger Co. (The) | 3,854 | 104,520 | ||||||||||
Wal-Mart de Mexico SAB de CV | 2,862 | 6,699 | ||||||||||
Walmart, Inc. | 2,520 | 226,825 | ||||||||||
|
| |||||||||||
825,545 | ||||||||||||
|
| |||||||||||
Food Products – 0.8% | ||||||||||||
Danone SA | 1,550 | 123,622 | ||||||||||
Hershey Co. (The) | 10,193 | 1,001,564 | ||||||||||
Salmar ASA | 10,770 | 382,892 | ||||||||||
Tyson Foods, Inc. – Class A | 4,292 | 319,239 | ||||||||||
|
| |||||||||||
1,827,317 | ||||||||||||
|
| |||||||||||
Household Products – 0.1% | ||||||||||||
Kimberly-Clark Corp. | 96 | 10,648 | ||||||||||
Procter & Gamble Co. (The) | 3,690 | 289,739 | ||||||||||
|
| |||||||||||
300,387 | ||||||||||||
|
| |||||||||||
Personal Products – 0.3% | ||||||||||||
L’Oreal SA | 2,615 | 562,277 | ||||||||||
Unilever PLC | 2,500 | 128,545 | ||||||||||
|
| |||||||||||
690,822 | ||||||||||||
|
| |||||||||||
Tobacco – 0.4% | ||||||||||||
Altria Group, Inc. | 2,109 | 132,762 | ||||||||||
British American Tobacco PLC | 5,819 | 343,452 | ||||||||||
Philip Morris International, Inc. | 2,921 | 302,469 | ||||||||||
|
| |||||||||||
778,683 | ||||||||||||
|
| |||||||||||
5,268,638 | ||||||||||||
|
|
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Telecommunication Services – 1.1% | ||||||||||||
Diversified Telecommunication Services – 0.4% | ||||||||||||
HKT Trust & HKT Ltd. – Class SS | 295,000 | $ | 375,823 | |||||||||
Nippon Telegraph & Telephone Corp. | 7,800 | 362,283 | ||||||||||
Telenor ASA | 7,600 | 170,555 | ||||||||||
|
| |||||||||||
908,661 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Services – 0.7% | ||||||||||||
China Mobile Ltd. | 24,000 | 223,513 | ||||||||||
KDDI Corp. | 32,200 | 790,744 | ||||||||||
MTN Group Ltd. | 54,227 | 587,505 | ||||||||||
|
| |||||||||||
1,601,762 | ||||||||||||
|
| |||||||||||
2,510,423 | ||||||||||||
|
| |||||||||||
Materials – 1.1% | ||||||||||||
Chemicals – 0.9% | ||||||||||||
Air Products & Chemicals, Inc. | 691 | 111,106 | ||||||||||
BASF SE | 4,506 | 470,739 | ||||||||||
Covestro AG(d) | 523 | 59,000 | ||||||||||
Croda International PLC | 5,050 | 319,545 | ||||||||||
Ecolab, Inc. | 7,684 | 1,002,378 | ||||||||||
LyondellBasell Industries NV – Class A | 993 | 107,463 | ||||||||||
|
| |||||||||||
2,070,231 | ||||||||||||
|
| |||||||||||
Containers & Packaging – 0.1% | ||||||||||||
Amcor Ltd./Australia | 20,360 | 218,248 | ||||||||||
|
| |||||||||||
Metals & Mining – 0.1% | ||||||||||||
Anglo American PLC | 852 | 20,634 | ||||||||||
Freeport-McMoRan, Inc.(c) | 4,002 | 74,437 | ||||||||||
Jastrzebska Spolka Weglowa SA(c) | 750 | 20,089 | ||||||||||
Lundin Mining Corp. | 6,599 | 42,941 | ||||||||||
|
| |||||||||||
158,101 | ||||||||||||
|
| |||||||||||
2,446,580 | ||||||||||||
|
| |||||||||||
Energy – 1.0% | ||||||||||||
Energy Equipment & Services – 0.1% | ||||||||||||
Schlumberger Ltd. | 1,320 | 86,645 | ||||||||||
TechnipFMC PLC | 2,225 | 64,124 | ||||||||||
|
| |||||||||||
150,769 | ||||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels – 0.9% | ||||||||||||
BP PLC | 13,985 | 90,899 | ||||||||||
Caltex Australia Ltd. | 1,618 | 43,859 | ||||||||||
ConocoPhillips | 3,450 | 187,370 | ||||||||||
Exxon Mobil Corp. | 1,882 | 142,543 | ||||||||||
LUKOIL PJSC (Sponsored ADR) | 5,277 | 350,393 | ||||||||||
Marathon Petroleum Corp. | 1,482 | 94,937 |
24 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Neste Oyj | 93 | $ | 6,809 | |||||||||
Phillips 66 | 1,124 | 101,576 | ||||||||||
Royal Dutch Shell PLC – Class A | 2,945 | 93,006 | ||||||||||
Royal Dutch Shell PLC – Class B | 23,342 | 740,390 | ||||||||||
Suncor Energy, Inc. (Toronto) | 1,361 | 44,801 | ||||||||||
TOTAL SA | 3,387 | 192,648 | ||||||||||
Valero Energy Corp. | 1,071 | 96,840 | ||||||||||
|
| |||||||||||
2,186,071 | ||||||||||||
|
| |||||||||||
2,336,840 | ||||||||||||
|
| |||||||||||
Utilities – 0.5% | ||||||||||||
Electric Utilities – 0.2% | ||||||||||||
Enel Americas SA (Sponsored ADR) | 15,690 | 179,180 | ||||||||||
Enel Chile SA (ADR) | 24,106 | 147,529 | ||||||||||
Power Assets Holdings Ltd. | 3,000 | 25,452 | ||||||||||
Tokyo Electric Power Co. Holdings, Inc.(c) | 10,000 | 38,256 | ||||||||||
|
| |||||||||||
390,417 | ||||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers – 0.0% | ||||||||||||
Vistra Energy Corp.(c) | 5,546 | 105,096 | ||||||||||
|
| |||||||||||
Multi-Utilities – 0.0% | ||||||||||||
Centrica PLC | 36,918 | 72,432 | ||||||||||
|
| |||||||||||
Water Utilities – 0.3% | ||||||||||||
Guangdong Investment Ltd. | 402,000 | 612,913 | ||||||||||
|
| |||||||||||
1,180,858 | ||||||||||||
|
| |||||||||||
Real Estate – 0.3% | ||||||||||||
Equity Real Estate Investment Trusts (REITs) – 0.1% | ||||||||||||
HCP, Inc. | 2,867 | 62,042 | ||||||||||
Lamar Advertising Co. – Class A | 1,400 | 93,058 | ||||||||||
Weyerhaeuser Co. | 3,178 | 111,325 | ||||||||||
|
| |||||||||||
266,425 | ||||||||||||
|
| |||||||||||
Real Estate Management & Development – 0.2% | ||||||||||||
Agile Group Holdings Ltd. | 12,000 | 20,464 | ||||||||||
CBRE Group, Inc. – Class A(c) | 6,239 | 291,673 | ||||||||||
Country Garden Holdings Co., Ltd. | 7,000 | 12,432 | ||||||||||
Sunac China Holdings Ltd. | 5,000 | 18,024 | ||||||||||
|
| |||||||||||
342,593 | ||||||||||||
|
| |||||||||||
609,018 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 74,938,712 | |||||||||||
|
|
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS – TREASURIES – 7.6% | ||||||||||||
Australia – 0.5% | ||||||||||||
Australia Government Bond | AUD | 296 | $ | 262,998 | ||||||||
Series 133 | 505 | 450,771 | ||||||||||
Series 142 | 415 | 359,137 | ||||||||||
|
| |||||||||||
1,072,906 | ||||||||||||
|
| |||||||||||
Belgium – 0.4% | ||||||||||||
Kingdom of Belgium Government Bond | EUR | 80 | 144,319 | |||||||||
Series 72 | 262 | 363,861 | ||||||||||
Series 81 | 357 | 434,771 | ||||||||||
|
| |||||||||||
942,951 | ||||||||||||
|
| |||||||||||
Canada – 0.6% | ||||||||||||
Canadian Government Bond | CAD | 1,805 | 1,261,052 | |||||||||
2.75%, 12/01/48 | 140 | 117,667 | ||||||||||
|
| |||||||||||
1,378,719 | ||||||||||||
|
| |||||||||||
Chile – 0.2% | ||||||||||||
Bonos de la Tesoreria de la Republica en pesos | CLP | 210,000 | 352,000 | |||||||||
|
| |||||||||||
France – 0.2% | ||||||||||||
French Republic Government Bond OAT | EUR | 18 | 23,373 | |||||||||
2.50%, 5/25/30(d) | 246 | 349,407 | ||||||||||
3.25%, 5/25/45(d) | 81 | 133,441 | ||||||||||
|
| |||||||||||
506,221 | ||||||||||||
|
| |||||||||||
Germany – 0.6% | ||||||||||||
Bundesrepublik Deutschland Bundesanleihe | 856 | 1,339,701 | ||||||||||
|
| |||||||||||
Ireland – 0.2% | ||||||||||||
Ireland Government Bond | 339 | 420,689 | ||||||||||
|
| |||||||||||
Italy – 1.1% | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 1,114 | 1,399,499 | ||||||||||
4.50%, 5/01/23 | 158 | 227,301 |
26 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
5.50%, 11/01/22 | EUR | 498 | $ | 738,350 | ||||||||
|
| |||||||||||
2,365,150 | ||||||||||||
|
| |||||||||||
Japan – 0.7% | ||||||||||||
Japan Government Twenty Year Bond | JPY | 19,150 | 219,343 | |||||||||
Series 143 | 52,350 | 584,508 | ||||||||||
Series 150 | 69,400 | 756,515 | ||||||||||
|
| |||||||||||
1,560,366 | ||||||||||||
|
| |||||||||||
Malaysia – 0.4% | ||||||||||||
Malaysia Government Bond | MYR | 260 | 68,585 | |||||||||
Series 414 | 3,123 | 801,156 | ||||||||||
Series 902 | 187 | 48,550 | ||||||||||
|
| |||||||||||
918,291 | ||||||||||||
|
| |||||||||||
Mexico – 0.1% | ||||||||||||
Mexican Bonos | MXN | 3,357 | 175,222 | |||||||||
|
| |||||||||||
Netherlands – 0.0% | ||||||||||||
Netherlands Government Bond | EUR | 86 | 104,641 | |||||||||
|
| |||||||||||
Poland – 0.1% | ||||||||||||
Republic of Poland Government Bond | PLN | 496 | 146,618 | |||||||||
|
| |||||||||||
Russia – 0.1% | ||||||||||||
Russian Federal Bond – OFZ | RUB | 11,236 | 199,645 | |||||||||
|
| |||||||||||
Singapore – 0.1% | ||||||||||||
Singapore Government Bond | SGD | 330 | 242,025 | |||||||||
3.375%, 9/01/33 | 73 | 59,414 | ||||||||||
|
| |||||||||||
301,439 | ||||||||||||
|
|
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Spain – 0.2% | ||||||||||||
Spain Government Bond | EUR | 252 | $ | 329,388 | ||||||||
4.70%, 7/30/41(d) | 15 | 26,064 | ||||||||||
Series 30Y | 74 | 91,551 | ||||||||||
|
| |||||||||||
447,003 | ||||||||||||
|
| |||||||||||
Sweden – 0.2% | ||||||||||||
Sweden Government Bond | SEK | 3,995 | 556,373 | |||||||||
|
| |||||||||||
United Kingdom – 0.4% | ||||||||||||
United Kingdom Gilt | GBP | 145 | 201,206 | |||||||||
3.50%, 7/22/68(d) | 37 | 81,589 | ||||||||||
4.75%, 12/07/30(d) | 277 | 515,578 | ||||||||||
|
| |||||||||||
798,373 | ||||||||||||
|
| |||||||||||
United States – 1.5% | ||||||||||||
U.S. Treasury Bonds | $ | 106 | 100,833 | |||||||||
3.00%, 11/15/45 | 335 | 326,998 | ||||||||||
3.625%, 8/15/43 | 55 | 59,916 | ||||||||||
4.625%, 2/15/40 | 458 | 572,250 | ||||||||||
5.375%, 2/15/31 | 438 | 553,865 | ||||||||||
6.25%, 5/15/30 | 49 | 66,273 | ||||||||||
U.S. Treasury Notes | 254 | 244,662 | ||||||||||
1.875%, 7/31/22(f) | 550 | 532,984 | ||||||||||
2.00%, 8/15/25-11/15/26 | 831 | 780,998 | ||||||||||
|
| |||||||||||
3,238,779 | ||||||||||||
|
| |||||||||||
Uruguay – 0.0% | ||||||||||||
Uruguay Government International Bond | UYU | 1,317 | 43,342 | |||||||||
|
| |||||||||||
Total Governments – Treasuries | 16,868,429 | |||||||||||
|
| |||||||||||
CORPORATES – INVESTMENT GRADE – 5.9% | ||||||||||||
Financial Institutions – 3.0% | ||||||||||||
Banking – 2.2% | ||||||||||||
American Express Credit Corp. | EUR | 112 | 138,524 | |||||||||
Bank of America Corp. | 100 | 132,049 | ||||||||||
3.824%, 1/20/28 | $ | 66 | 65,484 | |||||||||
4.20%, 8/26/24 | 111 | 113,439 |
28 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Bank of Nova Scotia (The) | $ | 31 | $ | 32,250 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd. (The) | 230 | 226,994 | ||||||||
Barclays Bank PLC | EUR | 83 | 123,061 | |||||||
Barclays PLC | $ | 200 | 198,570 | |||||||
BB&T Corp. | 56 | 55,637 | ||||||||
Citigroup, Inc. | EUR | 100 | 126,495 | |||||||
Compass Bank | $ | 147 | 152,881 | |||||||
Cooperatieve Rabobank UA | 250 | 254,148 | ||||||||
Fifth Third Bancorp | 64 | 63,816 | ||||||||
Goldman Sachs Group, Inc. (The) | EUR | 98 | 125,990 | |||||||
3.307%, 10/31/25 | CAD | 145 | 112,078 | |||||||
JPMorgan Chase & Co. | EUR | 100 | 126,675 | |||||||
3.782%, 2/01/28 | $ | 144 | 143,431 | |||||||
Lloyds Banking Group PLC | 262 | 264,932 | ||||||||
Mitsubishi UFJ Financial Group, Inc. | EUR | 100 | 121,402 | |||||||
Morgan Stanley | CAD | 145 | 111,722 | |||||||
Series G | EUR | 111 | 132,991 | |||||||
1.75%, 3/11/24 | 100 | 126,510 | ||||||||
Nationwide Building Society | $ | 183 | 194,472 | |||||||
Rabobank Capital Funding Trust IV | GBP | 36 | 52,402 | |||||||
Royal Bank of Scotland Group PLC | $ | 225 | 223,666 | |||||||
Santander Holdings USA, Inc. | 118 | 117,579 | ||||||||
Santander Issuances SAU | EUR | 100 | 132,753 | |||||||
Skandinaviska Enskilda Banken AB | $ | 200 | 197,626 | |||||||
UBS Group Funding Switzerland AG | EUR | 200 | 250,788 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
4.125%, 9/24/25(d) | $ | 200 | $ | 203,218 | ||||||||
UniCredit SpA | 200 | 199,900 | ||||||||||
US Bancorp | EUR | 103 | 124,745 | |||||||||
Series J | $ | 46 | 47,888 | |||||||||
Wells Fargo & Co. | GBP | 170 | 228,188 | |||||||||
|
| |||||||||||
4,922,304 | ||||||||||||
|
| |||||||||||
Brokerage – 0.1% | ||||||||||||
SUAM Finance BV | $ | 107 | 109,953 | |||||||||
|
| |||||||||||
Finance – 0.0% | ||||||||||||
Synchrony Financial | 98 | 94,242 | ||||||||||
|
| |||||||||||
Insurance – 0.4% | ||||||||||||
Allianz SE | EUR | 100 | 131,871 | |||||||||
Aviva PLC | 100 | 130,641 | ||||||||||
Berkshire Hathaway, Inc. | 140 | 169,350 | ||||||||||
Lincoln National Corp. | $ | 20 | 21,560 | |||||||||
Massachusetts Mutual Life Insurance Co. | 21 | 32,931 | ||||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | EUR | 100 | 148,692 | |||||||||
Nationwide Mutual Insurance Co. | $ | 41 | 66,291 | |||||||||
Prudential Financial, Inc. | 98 | 103,940 | ||||||||||
Swiss Re America Holding Corp. | 77 | 91,680 | ||||||||||
|
| |||||||||||
896,956 | ||||||||||||
|
| |||||||||||
REITS – 0.3% |
| |||||||||||
American Tower Corp. | 163 | 170,588 | ||||||||||
Digital Stout Holding LLC | GBP | 150 | 225,830 |
30 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Healthcare Trust of America Holdings LP | $ | 47 | $ | 47,149 | ||||||||
Welltower, Inc. | 171 | 172,299 | ||||||||||
|
| |||||||||||
615,866 | ||||||||||||
|
| |||||||||||
6,639,321 | ||||||||||||
|
| |||||||||||
Industrial – 2.6% | ||||||||||||
Basic – 0.1% | ||||||||||||
BHP Billiton Finance USA Ltd. | 106 | 107,376 | ||||||||||
Glencore Funding LLC | 62 | 60,470 | ||||||||||
4.125%, 5/30/23(d) | 31 | 31,514 | ||||||||||
Yamana Gold, Inc. | 58 | 59,981 | ||||||||||
|
| |||||||||||
259,341 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.2% | ||||||||||||
Holcim Finance Luxembourg SA | EUR | 145 | 185,106 | |||||||||
Ingersoll-Rand Global Holding Co., Ltd. | $ | 115 | 114,602 | |||||||||
Molex Electronic Technologies LLC | 230 | 228,864 | ||||||||||
|
| |||||||||||
528,572 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.3% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 81 | 81,600 | ||||||||||
4.908%, 7/23/25 | 78 | 80,158 | ||||||||||
Cox Communications, Inc. | 55 | 53,397 | ||||||||||
Myriad International Holdings BV | 200 | 205,072 | ||||||||||
RELX Capital, Inc. | 125 | 130,985 | ||||||||||
Time Warner, Inc. | 115 | 113,890 | ||||||||||
|
| |||||||||||
665,102 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.2% | ||||||||||||
AT&T, Inc. | 284 | 275,406 | ||||||||||
3.95%, 1/15/25 | 71 | 70,925 | ||||||||||
4.90%, 8/14/37 | 70 | 70,149 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Bell Canada, Inc. | CAD | 38 | $ | 30,042 | ||||||||
4.70%, 9/11/23 | 52 | 43,821 | ||||||||||
Rogers Communications, Inc. | 66 | 53,860 | ||||||||||
|
| |||||||||||
544,203 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||||
Ford Motor Co. | $ | 27 | 26,556 | |||||||||
Ford Motor Credit Co. LLC | 200 | 196,446 | ||||||||||
General Motors Co. | 50 | 49,303 | ||||||||||
General Motors Financial Co., Inc. | 25 | 24,870 | ||||||||||
5.25%, 3/01/26 | 26 | 27,512 | ||||||||||
|
| |||||||||||
324,687 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.1% | ||||||||||||
Carnival Corp. | EUR | 242 | 308,092 | |||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.4% | ||||||||||||
Ahold Finance USA LLC | $ | 180 | 215,991 | |||||||||
BAT Capital Corp. | 120 | 115,858 | ||||||||||
Celgene Corp. | 85 | 82,417 | ||||||||||
3.25%, 2/20/23 | 70 | 69,304 | ||||||||||
3.45%, 11/15/27 | 101 | 96,018 | ||||||||||
Reynolds American, Inc. | 72 | 74,308 | ||||||||||
5.85%, 8/15/45 | 65 | 75,620 | ||||||||||
6.875%, 5/01/20 | 97 | 104,700 | ||||||||||
Tyson Foods, Inc. | 41 | 40,902 | ||||||||||
|
| |||||||||||
875,118 | ||||||||||||
|
| |||||||||||
Energy – 0.4% | ||||||||||||
Andeavor | 110 | 114,489 | ||||||||||
Energy Transfer LP | 81 | 82,042 | ||||||||||
7.50%, 7/01/38 | 43 | 52,246 | ||||||||||
EnLink Midstream Partners LP | 144 | 140,901 |
32 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Hess Corp. | $ | 78 | $ | 76,152 | ||||||||
Kinder Morgan Energy Partners LP | 15 | 14,975 | ||||||||||
Kinder Morgan, Inc./DE | 69 | 72,083 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 103 | 98,316 | ||||||||||
Williams Partners LP | 78 | 77,492 | ||||||||||
4.125%, 11/15/20 | 100 | 102,325 | ||||||||||
4.50%, 11/15/23 | 35 | 36,169 | ||||||||||
|
| |||||||||||
867,190 | ||||||||||||
|
| |||||||||||
Services – 0.1% | ||||||||||||
Equifax, Inc. | 160 | 158,699 | ||||||||||
|
| |||||||||||
Technology – 0.5% | ||||||||||||
Agilent Technologies, Inc. | 42 | 43,972 | ||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 31 | 30,278 | ||||||||||
3.875%, 1/15/27 | 33 | 31,687 | ||||||||||
Fidelity National Information Services, Inc. | EUR | 135 | 165,054 | |||||||||
Hewlett Packard Enterprise Co. | $ | 44 | 44,479 | |||||||||
HP, Inc. | 38 | 39,800 | ||||||||||
KLA-Tencor Corp. | 145 | 149,250 | ||||||||||
4.65%, 11/01/24 | 91 | 95,606 | ||||||||||
QUALCOMM, Inc. | 160 | 156,749 | ||||||||||
Seagate HDD Cayman | 72 | 69,748 | ||||||||||
Tencent Holdings Ltd. | 200 | 201,237 | ||||||||||
|
| |||||||||||
1,027,860 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.1% | ||||||||||||
Asciano Finance Ltd. | 99 | 99,214 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Penske Truck Leasing Co. Lp/PTL Finance Corp. | $ | 146 | $ | 146,177 | ||||||||
|
| |||||||||||
245,391 | ||||||||||||
|
| |||||||||||
5,804,255 | ||||||||||||
|
| |||||||||||
Utility – 0.3% | ||||||||||||
Electric – 0.1% | ||||||||||||
Exelon Corp. | 32 | 33,521 | ||||||||||
Exelon Generation Co. LLC | 60 | 59,984 | ||||||||||
Iberdrola Finanzas SA | GBP | 50 | 88,533 | |||||||||
TECO Finance, Inc. | $ | 56 | 58,235 | |||||||||
|
| |||||||||||
240,273 | ||||||||||||
|
| |||||||||||
Other Utility – 0.2% | ||||||||||||
Severn Trent Utilities Finance PLC | GBP | 150 | 222,940 | |||||||||
Yorkshire Water Services Odsal Finance Ltd. | 80 | 133,759 | ||||||||||
|
| |||||||||||
356,699 | ||||||||||||
|
| |||||||||||
596,972 | ||||||||||||
|
| |||||||||||
Total Corporates – Investment Grade | 13,040,548 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 2.6% | ||||||||||||
Agency Fixed Rate 30-Year – 2.5% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | $ | 36 | 39,925 | |||||||||
Federal National Mortgage Association | 30 | 33,037 | ||||||||||
Series 2004 | 29 | 31,768 | ||||||||||
Series 2005 | 22 | 23,868 | ||||||||||
Series 2018 | 2,135 | 2,130,830 | ||||||||||
4.00%, 3/01/48, TBA | 3,085 | 3,159,233 | ||||||||||
|
| |||||||||||
5,418,661 | ||||||||||||
|
|
34 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Other Agency Fixed Rate Programs – 0.1% | ||||||||||||
Canadian Mortgage Pools | CAD | 315 | $ | 285,160 | ||||||||
|
| |||||||||||
Agency ARMs – 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. | $ | 48 | 49,735 | |||||||||
Federal National Mortgage Association | 29 | 30,637 | ||||||||||
|
| |||||||||||
80,372 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 5,784,193 | |||||||||||
|
| |||||||||||
INFLATION-LINKED SECURITIES – 2.4% | ||||||||||||
Japan – 2.3% | ||||||||||||
Japanese Government CPI Linked Bond | JPY | 146,084 | 1,447,219 | |||||||||
Series 22 | 378,181 | 3,750,155 | ||||||||||
|
| |||||||||||
5,197,374 | ||||||||||||
|
| |||||||||||
New Zealand – 0.1% | ||||||||||||
New Zealand Government Bond | NZD | 195 | 145,605 | |||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 5,342,979 | |||||||||||
|
| |||||||||||
COVERED BONDS – 1.3% | ||||||||||||
Banco de Sabadell SA | EUR | 100 | 124,941 | |||||||||
Bank of Scotland PLC | 264 | 383,459 | ||||||||||
Credit Suisse AG/Guernsey | 166 | 212,778 | ||||||||||
Danske Bank A/S | 100 | 127,002 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
DNB Boligkreditt AS | EUR | 147 | $ | 202,147 | ||||||||
Nationwide Building Society | 150 | 213,493 | ||||||||||
Nordea Hypotek AB | SEK | 2,000 | 245,974 | |||||||||
Santander UK PLC | EUR | 156 | 199,168 | |||||||||
Skandinaviska Enskilda Banken AB | SEK | 2,000 | 251,167 | |||||||||
Stadshypotek AB | 2,000 | 251,105 | ||||||||||
Series 1585 | 2,000 | 251,155 | ||||||||||
Swedbank Hypotek AB | 2,000 | 247,012 | ||||||||||
UBS AG/London | EUR | 169 | 215,038 | |||||||||
|
| |||||||||||
Total Covered Bonds | 2,924,439 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 1.0% | ||||||||||||
Risk Share Floating Rate – 1.0% | ||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | $ | 201 | 207,196 | |||||||||
Series 2015-DN1, Class M3 | 238 | 257,507 | ||||||||||
Series 2015-DNA2, Class M2 | 127 | 129,063 | ||||||||||
Series 2016-DNA2, Class M2 | 221 | 224,322 |
36 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2017-DNA2, Class M1 | $ | 239 | $ | 241,985 | ||||||||
Federal National Mortgage Association | 10 | 9,871 | ||||||||||
Series 2014-C01, Class M1 | 44 | 44,245 | ||||||||||
Series 2014-C04, Class 2M2 | 133 | 150,713 | ||||||||||
Series 2016-C01, Class 1M1 | 73 | 73,537 | ||||||||||
Series 2016-C01, Class 2M1 | 18 | 18,263 | ||||||||||
Series 2016-C02, Class 1M1 | 87 | 87,513 | ||||||||||
Series 2016-C03, Class 1M1 | 50 | 50,494 | ||||||||||
Series 2016-C03, Class 2M1 | 63 | 63,562 | ||||||||||
Series 2016-C04, Class 1M1 | 69 | 69,494 | ||||||||||
Series 2016-C05, Class 2M1 | 50 | 50,392 | ||||||||||
Series 2016-C06, Class 1M1 | 258 | 260,525 | ||||||||||
Series 2016-C07, Class 2M1 | 52 | 51,976 | ||||||||||
Series 2017-C02, Class 2M1 | 95 | 96,016 | ||||||||||
|
| |||||||||||
2,086,674 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.0% | ||||||||||||
Citigroup Mortgage Loan Trust, Inc. | 36 | 36,505 | ||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.0% | ||||||||||||
Federal National Mortgage Association Grantor Trust | 33 | 30,279 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 2,153,458 | |||||||||||
|
|
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
AGENCIES – 0.9% | ||||||||||||
Agency Debentures – 0.8% | ||||||||||||
Residual Funding Corp. Principal Strip | $ | 1,826 | $ | 1,724,401 | ||||||||
|
| |||||||||||
Agency Subordinated – 0.1% | ||||||||||||
Federal National Mortgage Association | 180 | 173,151 | ||||||||||
|
| |||||||||||
Total Agencies | 1,897,552 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED | ||||||||||||
Non-Agency Fixed Rate CMBS – 0.2% | ||||||||||||
BHMS Commercial Mortgage Trust | 213 | 210,311 | ||||||||||
Commercial Mortgage Trust | 46 | 46,411 | ||||||||||
GS Mortgage Securities Trust | 81 | 77,909 | ||||||||||
Series 2013-G1, Class A2 | 134 | 130,031 | ||||||||||
LSTAR Commercial Mortgage Trust | 13 | 12,542 | ||||||||||
|
| |||||||||||
477,204 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | 386 | 392,933 | ||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 0.1% | ||||||||||||
H/2 Asset Funding NRE | 32 | 31,613 | ||||||||||
Starwood Retail Property Trust | 133 | 132,544 | ||||||||||
|
| |||||||||||
164,157 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 1,034,294 | |||||||||||
|
|
38 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
LOCAL GOVERNMENTS – PROVINCIAL BONDS – 0.3% | ||||||||||||
Canada – 0.3% | ||||||||||||
Province of Ontario Canada | CAD | 605 | $ | 462,308 | ||||||||
Province of Quebec Canada | 341 | 264,195 | ||||||||||
|
| |||||||||||
Total Local Governments – Provincial Bonds | 726,503 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 0.3% | ||||||||||||
Other ABS - Fixed Rate – 0.2% | ||||||||||||
SBA Tower Trust | $ | 104 | 104,303 | |||||||||
Series 2014-2A, Class C | 85 | 83,314 | ||||||||||
SoFi Consumer Loan Program LLC | 95 | 94,726 | ||||||||||
SoFi Consumer Loan Program Trust | 115 | 114,123 | ||||||||||
|
| |||||||||||
396,466 | ||||||||||||
|
| |||||||||||
Autos - Fixed Rate – 0.1% | ||||||||||||
Hertz Vehicle Financing II LP | 166 | 165,179 | ||||||||||
|
| |||||||||||
Home Equity Loans - Floating Rate – 0.0% | ||||||||||||
Asset Backed Funding Certificates Trust | 15 | 15,016 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 576,661 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 0.2% | ||||||||||||
CLO - Floating Rate – 0.2% | ||||||||||||
Marble Point CLO XI Ltd. | 250 | 251,720 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Rockford Tower CLO Ltd. | $ | 250 | $ | 251,033 | ||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 502,753 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.2% | ||||||||||||
Quasi-Sovereign Bonds – 0.2% | ||||||||||||
Chile – 0.1% | ||||||||||||
Empresa de Transporte de Pasajeros Metro SA | 215 | 225,105 | ||||||||||
|
| |||||||||||
China – 0.1% | ||||||||||||
State Grid Overseas Investment 2016 Ltd. | 200 | 196,796 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 421,901 | |||||||||||
|
| |||||||||||
GOVERNMENTS – SOVEREIGN BONDS – 0.1% | ||||||||||||
Qatar – 0.0% | ||||||||||||
Qatar Government International Bond | 100 | 103,625 | ||||||||||
|
| |||||||||||
Saudi Arabia – 0.1% | ||||||||||||
Saudi Government International Bond | 200 | 192,842 | ||||||||||
|
| |||||||||||
Total Governments – Sovereign Bonds | 296,467 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS – | ||||||||||||
United States – 0.1% | ||||||||||||
State of California | 165 | 247,886 | ||||||||||
|
|
40 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Notional | U.S. $ Value | |||||||||||
| ||||||||||||
OPTIONS PURCHASED – CALLS – 0.0% | ||||||||||||
Options on Forward Contracts – 0.0% | ||||||||||||
MXN/CAD | MXN | 9,817,210 | $ | 5,095 | ||||||||
MXN/CAD | MXN | 9,817,210 | 5,095 | |||||||||
MXN/USD | MXN | 12,425,000 | 2,747 | |||||||||
SEK/EUR | SEK | 6,790,000 | 23 | |||||||||
TRY/EUR | TRY | 2,005,950 | 4,259 | |||||||||
TRY/USD | TRY | 2,001,360 | 2,160 | |||||||||
|
| |||||||||||
Total Options Purchased – Calls | 19,379 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 10.0% | ||||||||||||
Investment Companies – 8.9% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, | 19,648,652 | 19,648,652 | ||||||||||
|
|
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
U.S. Treasury Bills – 1.1% | ||||||||||||
U.S. Treasury Bill | $ | 2,450 | $ | 2,450,000 | ||||||||
|
| |||||||||||
Total Short-Term Investments | 22,098,652 | |||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 101.1% | 224,091,275 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.6% | ||||||||||||
Investment Companies – 0.6% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 1.20%(a)(b)(k) | 1,224,800 | 1,224,800 | ||||||||||
|
| |||||||||||
Total Investments – 101.7% | 225,316,075 | |||||||||||
Other assets less liabilities – (1.7)% | (3,770,353 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 221,545,722 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Notional (000) | Original Value | Value at February 28, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||||||||||
10 Yr Australian Bond Futures | 6 | March 2018 | AUD | 600 | $ | 606,207 | $ | 595,540 | $ | (10,667 | ) | |||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 22 | March 2018 | JPY | 2,200,000 | 31,104,405 | 31,121,046 | 16,641 | |||||||||||||||||||||
Euro Buxl 30 Yr Bond Futures | 18 | March 2018 | EUR | 1,800 | 3,630,839 | 3,547,419 | (83,420 | ) | ||||||||||||||||||||
Euro STOXX 50 Index Futures | 48 | March 2018 | EUR | 0 | ** | 2,092,272 | 2,013,293 | (78,979 | ) | |||||||||||||||||||
Euro-Schatz Futures | 14 | March 2018 | EUR | 1,400 | 1,913,916 | 1,912,448 | (1,468 | ) |
42 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Notional (000) | Original Value | Value at February 28, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
FTSE 100 Index Futures | 6 | March 2018 | GBP | 0 | ** | $ | 614,848 | $ | 596,882 | $ | (17,966 | ) | ||||||||||||||||
Long Gilt Futures | 34 | June 2018 | GBP | 3,400 | 5,661,440 | 5,667,486 | 6,046 | |||||||||||||||||||||
Mini MSCI EAFE Futures | 2 | March 2018 | USD | 0 | ** | 199,809 | 203,650 | 3,841 | ||||||||||||||||||||
Russell 2000 Mini Futures | 33 | March 2018 | USD | 2 | 2,502,821 | 2,493,480 | (9,341 | ) | ||||||||||||||||||||
S&P Mid 400 E-Mini Futures | 14 | March 2018 | USD | 1 | 2,628,569 | 2,610,300 | (18,269 | ) | ||||||||||||||||||||
S&P TSX 60 Index Futures | 2 | March 2018 | CAD | 0 | ** | 293,361 | 284,507 | (8,854 | ) | |||||||||||||||||||
SPI 200 Futures | 3 | March 2018 | AUD | 0 | ** | 350,744 | 349,573 | (1,171 | ) | |||||||||||||||||||
TOPIX Index Futures | 5 | March 2018 | JPY | 50 | 851,339 | 828,530 | (22,809 | ) | ||||||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 108 | June 2018 | USD | 10,800 | 12,303,700 | 12,304,406 | 706 | |||||||||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 104 | June 2018 | USD | 10,400 | 12,498,019 | 12,484,875 | (13,144 | ) | ||||||||||||||||||||
U.S. Ultra Bond (CBT) Futures | 49 | June 2018 | USD | 4,900 | 7,621,979 | 7,637,875 | 15,896 | |||||||||||||||||||||
Sold Contracts |
| |||||||||||||||||||||||||||
10 Yr Canadian Bond Futures | 6 | June 2018 | CAD | 600 | 611,024 | 615,711 | (4,687 | ) | ||||||||||||||||||||
10 Yr Mini Japan Government Bond Futures | 26 | March 2018 | JPY | 260,000 | 3,670,700 | 3,676,723 | (6,023 | ) | ||||||||||||||||||||
Euro-BOBL Futures | 9 | March 2018 | EUR | 900 | 1,434,255 | 1,438,819 | (4,564 | ) | ||||||||||||||||||||
Euro-Bund Futures | 22 | March 2018 | EUR | 2,200 | 4,266,535 | 4,279,370 | (12,835 | ) | ||||||||||||||||||||
Mini MSCI Emerging Markets Futures | 8 | March 2018 | USD | 0 | ** | 468,911 | 473,200 | (4,289 | ) | |||||||||||||||||||
S&P 500 E-Mini Futures | 163 | March 2018 | USD | 8 | 21,530,348 | 22,122,360 | (592,012 | ) | ||||||||||||||||||||
U.S. 10 Yr Ultra Futures | 1 | June 2018 | USD | 100 | 127,991 | 128,063 | (72 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (847,440 | ) | ||||||||||||||||||||||||||
|
|
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 43 |
PORTFOLIO OF INVESTMENTS (continued)
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | CNY | 4,265 | USD | 673 | 5/15/18 | $ | 2,500 | |||||||||||||||||
Australia and New Zealand Banking Group Ltd. | NZD | 1,520 | USD | 1,052 | 3/07/18 | (43,659 | ) | |||||||||||||||||
Australia and New Zealand Banking Group Ltd. | AUD | 1,435 | USD | 1,090 | 3/07/18 | (24,581 | ) | |||||||||||||||||
Bank of America, NA | CLP | 80,321 | USD | 134 | 4/19/18 | (607 | ) | |||||||||||||||||
Bank of America, NA | INR | 17,761 | USD | 273 | 3/12/18 | 1,385 | ||||||||||||||||||
Bank of America, NA | RUB | 23,103 | USD | 398 | 4/17/18 | (9,996 | ) | |||||||||||||||||
Bank of America, NA | CAD | 1,883 | USD | 1,483 | 3/14/18 | 14,785 | ||||||||||||||||||
Bank of America, NA | GBP | 657 | USD | 910 | 6/19/18 | 1,399 | ||||||||||||||||||
Bank of America, NA | BRL | 435 | USD | 133 | 3/02/18 | (1,263 | ) | |||||||||||||||||
Bank of America, NA | BRL | 432 | USD | 133 | 3/02/18 | 82 | ||||||||||||||||||
Bank of America, NA | USD | 133 | BRL | 432 | 3/02/18 | 392 | ||||||||||||||||||
Bank of America, NA | USD | 134 | BRL | 435 | 3/02/18 | (83 | ) | |||||||||||||||||
Bank of America, NA | USD | 647 | ZAR | 7,875 | 3/14/18 | 19,153 | ||||||||||||||||||
Bank of America, NA | USD | 1,455 | RUB | 85,960 | 3/14/18 | 68,808 | ||||||||||||||||||
Bank of America, NA | USD | 2,466 | INR | 158,916 | 3/14/18 | (35,037 | ) | |||||||||||||||||
Barclays Bank PLC | JPY | 84,854 | USD | 799 | 5/15/18 | (22 | ) | |||||||||||||||||
Barclays Bank PLC | TWD | 26,007 | USD | 886 | 3/08/18 | (886 | ) | |||||||||||||||||
Barclays Bank PLC | INR | 52,771 | USD | 817 | 3/12/18 | 9,284 | ||||||||||||||||||
Barclays Bank PLC | ILS | 4,961 | USD | 1,451 | 3/14/18 | 24,384 | ||||||||||||||||||
Barclays Bank PLC | ZAR | 3,348 | USD | 268 | 3/14/18 | (15,801 | ) | |||||||||||||||||
Barclays Bank PLC | EUR | 2,087 | USD | 2,491 | 3/14/18 | (57,666 | ) | |||||||||||||||||
Barclays Bank PLC | MYR | 1,048 | USD | 268 | 7/12/18 | 1,434 | ||||||||||||||||||
Barclays Bank PLC | MYR | 522 | USD | 131 | 7/12/18 | (1,512 | ) | |||||||||||||||||
Barclays Bank PLC | BRL | 433 | USD | 133 | 3/02/18 | 82 | ||||||||||||||||||
Barclays Bank PLC | EUR | 225 | TRY | 1,044 | 3/14/18 | (1,635 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 273 | CHF | 262 | 3/14/18 | 4,252 | ||||||||||||||||||
Barclays Bank PLC | EUR | 372 | CHF | 437 | 3/14/18 | 8,535 | ||||||||||||||||||
Barclays Bank PLC | USD | 134 | BRL | 433 | 3/02/18 | (408 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 137 | ILS | 468 | 3/14/18 | (2,504 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 535 | SGD | 703 | 5/15/18 | (3,172 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 265 | ILS | 924 | 3/14/18 | 319 | ||||||||||||||||||
Barclays Bank PLC | USD | 807 | AUD | 1,028 | 6/19/18 | (8,193 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 271 | MYR | 1,074 | 7/12/18 | 1,681 | ||||||||||||||||||
Barclays Bank PLC | USD | 1,193 | AUD | 1,535 | 5/15/18 | (518 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 268 | SEK | 2,130 | 5/15/18 | (9,249 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 274 | SEK | 2,209 | 3/14/18 | (6,900 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 133 | TWD | 3,872 | 3/08/18 | (403 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 671 | SEK | 5,338 | 6/19/18 | (21,812 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 798 | KRW | 863,723 | 4/26/18 | (779 | ) | |||||||||||||||||
BNP Paribas SA | TWD | 9,394 | USD | 323 | 3/08/18 | 2,159 | ||||||||||||||||||
BNP Paribas SA | AUD | 1,028 | USD | 800 | 6/19/18 | 1,388 | ||||||||||||||||||
BNP Paribas SA | USD | 476 | AUD | 617 | 3/07/18 | 3,380 | ||||||||||||||||||
BNP Paribas SA | USD | 501 | CNY | 3,174 | 5/15/18 | (1,897 | ) | |||||||||||||||||
Citibank, NA | CLP | 214,079 | USD | 353 | 3/19/18 | (6,390 | ) | |||||||||||||||||
Citibank, NA | TWD | 7,782 | USD | 266 | 3/08/18 | 582 | ||||||||||||||||||
Citibank, NA | RUB | 7,759 | USD | 136 | 4/17/18 | (750 | ) | |||||||||||||||||
Citibank, NA | BRL | 4,835 | USD | 1,490 | 3/02/18 | 720 |
44 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Citibank, NA | ZAR | 2,707 | USD | 207 | 3/14/18 | $ | (21,970 | ) | ||||||||||||||||
Citibank, NA | ZAR | 1,634 | USD | 133 | 5/15/18 | (3,638 | ) | |||||||||||||||||
Citibank, NA | TRY | 1,375 | USD | 335 | 3/14/18 | (25,257 | ) | |||||||||||||||||
Citibank, NA | AUD | 572 | USD | 451 | 3/07/18 | 6,230 | ||||||||||||||||||
Citibank, NA | CHF | 481 | USD | 493 | 3/14/18 | (16,548 | ) | |||||||||||||||||
Citibank, NA | USD | 460 | KRW | 492,117 | 4/26/18 | (6,133 | ) | |||||||||||||||||
Citibank, NA | EUR | 220 | TRY | 1,021 | 3/14/18 | (1,352 | ) | |||||||||||||||||
Citibank, NA | TRY | 539 | EUR | 111 | 5/15/18 | (3,077 | ) | |||||||||||||||||
Citibank, NA | USD | 925 | GBP | 657 | 6/19/18 | (16,348 | ) | |||||||||||||||||
Citibank, NA | USD | 1,931 | EUR | 1,569 | 3/12/18 | (15,715 | ) | |||||||||||||||||
Citibank, NA | USD | 136 | NOK | 1,092 | 3/14/18 | 1,908 | ||||||||||||||||||
Citibank, NA | USD | 726 | CNY | 4,619 | 5/15/18 | 829 | ||||||||||||||||||
Citibank, NA | USD | 642 | BRL | 2,092 | 4/03/18 | (275 | ) | |||||||||||||||||
Citibank, NA | USD | 1,508 | BRL | 4,835 | 3/02/18 | (18,699 | ) | |||||||||||||||||
Citibank, NA | HUF | 74,564 | EUR | 240 | 5/15/18 | 2,704 | ||||||||||||||||||
Citibank, NA | USD | 290 | COP | 821,711 | 4/19/18 | (3,944 | ) | |||||||||||||||||
Credit Suisse International | EUR | 131 | TRY | 611 | 4/04/18 | (540 | ) | |||||||||||||||||
Credit Suisse International | EUR | 350 | SEK | 3,459 | 3/07/18 | (9,621 | ) | |||||||||||||||||
Credit Suisse International | EUR | 739 | GBP | 653 | 3/12/18 | (2,636 | ) | |||||||||||||||||
Credit Suisse International | USD | 718 | NOK | 5,652 | 3/28/18 | (1,273 | ) | |||||||||||||||||
Deutsche Bank AG | CAD | 523 | USD | 406 | 3/14/18 | (1,242 | ) | |||||||||||||||||
Deutsche Bank AG | ILS | 477 | USD | 135 | 3/14/18 | (2,257 | ) | |||||||||||||||||
Deutsche Bank AG | TRY | 611 | EUR | 131 | 4/04/18 | 541 | ||||||||||||||||||
Deutsche Bank AG | USD | 408 | ILS | 1,390 | 3/14/18 | (8,614 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 225 | CLP | 135,350 | 4/19/18 | 2,078 | ||||||||||||||||||
Goldman Sachs Bank USA | JPY | 553,410 | USD | 5,088 | 4/26/18 | (118,456 | ) | |||||||||||||||||
Goldman Sachs Bank USA | TRY | 1,033 | USD | 273 | 3/14/18 | 2,084 | ||||||||||||||||||
Goldman Sachs Bank USA | GBP | 1,282 | USD | 1,806 | 4/13/18 | 37,972 | ||||||||||||||||||
Goldman Sachs Bank USA | TRY | 1,077 | EUR | 224 | 5/08/18 | (3,512 | ) | |||||||||||||||||
Goldman Sachs Bank USA | NOK | 2,081 | EUR | 214 | 5/15/18 | (1,718 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 682 | MYR | 2,729 | 7/12/18 | 11,670 | ||||||||||||||||||
HSBC Bank USA | CAD | 3,621 | USD | 2,900 | 4/12/18 | 76,584 | ||||||||||||||||||
HSBC Bank USA | USD | 457 | INR | 29,433 | 3/12/18 | (6,247 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | SEK | 5,338 | USD | 663 | 6/19/18 | 13,328 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 467 | TWD | 13,623 | 3/08/18 | (1,768 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 399 | INR | 25,556 | 3/12/18 | (8,005 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,746 | JPY | 189,184 | 4/26/18 | 34,464 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | EUR | 514 | USD | 634 | 6/19/18 | 1,201 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | SEK | 3,459 | EUR | 350 | 3/07/18 | 9,619 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | MXN | 5,031 | CAD | 338 | 5/29/18 | 637 | ||||||||||||||||||
Royal Bank of Scotland PLC | COP | 441,779 | USD | 155 | 4/19/18 | 809 | ||||||||||||||||||
Royal Bank of Scotland PLC | JPY | 399,557 | USD | 3,674 | 6/15/18 | (98,055 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | COP | 379,932 | USD | 132 | 4/19/18 | (792 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | BRL | 3,895 | USD | 1,196 | 4/03/18 | 585 | ||||||||||||||||||
Royal Bank of Scotland PLC | CAD | 963 | USD | 764 | 6/19/18 | 12,215 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 772 | CAD | 963 | 6/19/18 | (19,731 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 401 | PEN | 1,303 | 4/19/18 | (2,641 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 155 | RUB | 8,786 | 4/17/18 | 522 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 889 | ZAR | 10,911 | 5/15/18 | 26,609 | ||||||||||||||||||
Standard Chartered Bank | JPY | 30,255 | USD | 273 | 3/14/18 | (11,211 | ) | |||||||||||||||||
Standard Chartered Bank | EUR | 10,548 | USD | 12,481 | 3/12/18 | (396,852 | ) | |||||||||||||||||
Standard Chartered Bank | ILS | 935 | USD | 271 | 3/14/18 | 2,131 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Standard Chartered Bank | SGD | 703 | USD | 534 | 5/15/18 | $ | 2,834 | |||||||||||||||||
Standard Chartered Bank | BRL | 1,081 | USD | 338 | 3/02/18 | 5,224 | ||||||||||||||||||
Standard Chartered Bank | TRY | 528 | USD | 135 | 5/15/18 | (754 | ) | |||||||||||||||||
Standard Chartered Bank | CHF | 526 | USD | 544 | 3/14/18 | (13,941 | ) | |||||||||||||||||
Standard Chartered Bank | GBP | 289 | USD | 408 | 5/15/18 | 8,897 | ||||||||||||||||||
Standard Chartered Bank | AUD | 173 | CHF | 132 | 3/14/18 | 5,561 | ||||||||||||||||||
Standard Chartered Bank | EUR | 329 | JPY | 44,352 | 5/15/18 | 14,211 | ||||||||||||||||||
Standard Chartered Bank | EUR | 349 | CHF | 403 | 5/15/18 | 1,636 | ||||||||||||||||||
Standard Chartered Bank | USD | 333 | BRL | 1,081 | 3/02/18 | (206 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 135 | TRY | 513 | 3/14/18 | (81 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 273 | NOK | 2,137 | 5/15/18 | (1,948 | ) | |||||||||||||||||
Standard Chartered Bank | CNY | 3,528 | EUR | 446 | 3/14/18 | (12,471 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 1,455 | INR | 93,768 | 3/12/18 | (20,312 | ) | |||||||||||||||||
Standard Chartered Bank | JPY | 18,938 | GBP | 127 | 3/14/18 | (2,712 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 691 | KRW | 736,159 | 4/26/18 | (11,380 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 129,808 | USD | 1,212 | 5/15/18 | (10,956 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 98,330 | USD | 878 | 3/14/18 | (44,695 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 6,931 | USD | 823 | 3/28/18 | (14,618 | ) | |||||||||||||||||
State Street Bank & Trust Co. | ZAR | 4,629 | USD | 372 | 5/15/18 | (16,369 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NOK | 5,648 | USD | 714 | 3/28/18 | (1,727 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 4,473 | USD | 556 | 3/28/18 | 15,223 | ||||||||||||||||||
State Street Bank & Trust Co. | MXN | 3,433 | USD | 183 | 4/20/18 | 1,905 | ||||||||||||||||||
State Street Bank & Trust Co. | ILS | 3,405 | USD | 1,001 | 4/20/18 | 20,126 | ||||||||||||||||||
State Street Bank & Trust Co. | MXN | 5,227 | USD | 269 | 3/14/18 | (8,195 | ) | |||||||||||||||||
State Street Bank & Trust Co. | ZAR | 4,454 | USD | 336 | 3/14/18 | (40,716 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 2,986 | USD | 365 | 3/14/18 | 4,722 | ||||||||||||||||||
State Street Bank & Trust Co. | PLN | 2,816 | USD | 808 | 3/09/18 | (14,375 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NOK | 1,698 | USD | 203 | 3/14/18 | (11,928 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 1,351 | USD | 165 | 5/15/18 | 1,224 | ||||||||||||||||||
State Street Bank & Trust Co. | NOK | 1,255 | USD | 160 | 5/15/18 | 488 | ||||||||||||||||||
State Street Bank & Trust Co. | ILS | 2,554 | USD | 750 | 5/15/18 | 13,023 | ||||||||||||||||||
State Street Bank & Trust Co. | TRY | 3,182 | USD | 802 | 3/14/18 | (31,360 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NOK | 1,881 | USD | 240 | 3/14/18 | 1,931 | ||||||||||||||||||
State Street Bank & Trust Co. | TRY | 1,015 | USD | 261 | 5/15/18 | (637 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 982 | USD | 1,208 | 3/12/18 | 9,208 | ||||||||||||||||||
State Street Bank & Trust Co. | PLN | 903 | USD | 268 | 3/14/18 | 4,022 | ||||||||||||||||||
State Street Bank & Trust Co. | ILS | 809 | USD | 229 | 4/20/18 | (4,743 | ) | |||||||||||||||||
State Street Bank & Trust Co. | AUD | 553 | USD | 433 | 3/14/18 | 3,692 | ||||||||||||||||||
State Street Bank & Trust Co. | TRY | 518 | USD | 134 | 5/15/18 | 185 | ||||||||||||||||||
State Street Bank & Trust Co. | CAD | 1,345 | USD | 1,073 | 5/15/18 | 23,284 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 705 | USD | 851 | 3/12/18 | (9,770 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 386 | USD | 277 | 3/14/18 | (1,808 | ) | |||||||||||||||||
State Street Bank & Trust Co. | AUD | 513 | USD | 406 | 5/15/18 | 7,699 | ||||||||||||||||||
State Street Bank & Trust Co. | SGD | 318 | USD | 241 | 5/17/18 | 490 | ||||||||||||||||||
State Street Bank & Trust Co. | GBP | 622 | USD | 881 | 4/13/18 | 23,129 | ||||||||||||||||||
State Street Bank & Trust Co. | CAD | 287 | USD | 230 | 4/12/18 | 5,916 | ||||||||||||||||||
State Street Bank & Trust Co. | AUD | 589 | USD | 463 | 3/07/18 | 5,695 | ||||||||||||||||||
State Street Bank & Trust Co. | GBP | 467 | USD | 626 | 3/14/18 | (17,702 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 557 | USD | 688 | 5/15/18 | 4,474 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 624 | USD | 744 | 3/14/18 | (18,295 | ) | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 289 | USD | 409 | 5/15/18 | 10,190 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 316 | USD | 323 | 3/14/18 | (11,760 | ) |
46 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
State Street Bank & Trust Co. | ZAR | 64 | USD | 5 | 4/13/18 | $ | (126 | ) | ||||||||||||||||
State Street Bank & Trust Co. | SGD | 24 | USD | 18 | 3/14/18 | (101 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 7 | AUD | 9 | 3/07/18 | (175 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 18 | SGD | 24 | 3/14/18 | (106 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 7 | SEK | 60 | 3/28/18 | (94 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 134 | GBP | 96 | 5/15/18 | (1,157 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 545 | EUR | 435 | 5/15/18 | (11,371 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 1,129 | EUR | 916 | 3/12/18 | (10,858 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 820 | EUR | 678 | 3/12/18 | 8,295 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 216 | ZAR | 2,634 | 3/14/18 | 7,340 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 245 | NZD | 340 | 3/07/18 | 1,050 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 417 | CHF | 401 | 3/14/18 | 8,532 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 645 | EUR | 514 | 6/19/18 | (12,298 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 536 | CAD | 673 | 5/15/18 | (11,053 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 271 | AUD | 340 | 3/14/18 | (6,954 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 413 | CAD | 523 | 3/14/18 | (5,751 | ) | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 208 | EUR | 232 | 3/14/18 | (3,182 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 2,324 | EUR | 1,947 | 3/14/18 | 53,137 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 236 | GBP | 209 | 3/14/18 | (194 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 79 | ILS | 267 | 4/20/18 | (1,550 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 746 | EUR | 608 | 3/14/18 | (3,508 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 224 | NZD | 310 | 3/07/18 | (1,214 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CHF | 340 | GBP | 260 | 3/14/18 | (2,074 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 353 | ILS | 1,462 | 3/14/18 | (10,554 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 279 | CAD | 355 | 4/12/18 | (1,920 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 269 | NZD | 386 | 3/14/18 | 9,188 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 403 | GBP | 355 | 5/15/18 | (3,843 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CAD | 549 | EUR | 359 | 3/12/18 | 9,535 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 781 | TRY | 3,074 | 3/14/18 | 24,836 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 398 | ILS | 1,396 | 3/14/18 | 3,429 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 882 | PLN | 3,083 | 3/09/18 | 18,765 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 207 | ILS | 731 | 4/20/18 | 3,382 | ||||||||||||||||||
State Street Bank & Trust Co. | PLN | 780 | EUR | 187 | 3/12/18 | 141 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 327 | TRY | 1,278 | 5/15/18 | 1,666 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 110 | ZAR | 1,293 | 5/15/18 | (1,997 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 1,319 | EUR | 131 | 3/12/18 | 983 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 395 | PLN | 1,378 | 3/14/18 | 7,412 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 231 | NOK | 1,927 | 3/28/18 | 12,983 | ||||||||||||||||||
State Street Bank & Trust Co. | NOK | 1,934 | EUR | 197 | 3/28/18 | (4,057 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NOK | 2,253 | EUR | 231 | 3/14/18 | (3,288 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 588 | NOK | 4,740 | 3/14/18 | 12,716 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 290 | NOK | 2,272 | 5/15/18 | (1,968 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 2,291 | EUR | 232 | 3/14/18 | 6,431 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 131 | MXN | 2,483 | 5/15/18 | (1,315 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 408 | MXN | 7,780 | 3/14/18 | 4,061 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 783 | RUB | 44,785 | 4/17/18 | 8,395 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 376 | SEK | 3,068 | 3/14/18 | (5,993 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 232 | MXN | 4,317 | 4/20/18 | (4,483 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 314 | JPY | 33,524 | 4/26/18 | 1,863 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 106 | JPY | 11,222 | 4/26/18 | (94 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 1,219 | JPY | 132,715 | 5/15/18 | 31,433 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 406 | JPY | 45,511 | 3/14/18 | 20,854 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
State Street Bank & Trust Co. | JPY | 31,063 | GBP | 206 | 3/14/18 | $ | (7,553 | ) | ||||||||||||||||
State Street Bank & Trust Co. | USD | 280 | HUF | 72,548 | 3/14/18 | 2,008 | ||||||||||||||||||
UBS AG | EUR | 1,461 | USD | 1,726 | 3/14/18 | (58,299 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (719,591 | ) | ||||||||||||||||||||||
|
|
CALL OPTIONS WRITTEN (see Note D)
Description | Counterparty | Contracts | Exercise Price | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||
Euro STOXX 50 Index | Citibank, NA | 730 | EUR | 3,475.00 | April 2018 | EUR | 1 | $ | 53,708 | $ | (42,588 | ) | ||||||||||||||||
FTSE 100 Index | Citibank, NA | 150 | GBP | 7,275.00 | April 2018 | GBP | 0 | ** | 22,621 | (16,787 | ) | |||||||||||||||||
Nikkei 225 Index | | Goldman Sachs International | | 7,000 | JPY | 22,000.00 | April 2018 | JPY | 7 | 39,083 | (33,922 | ) | ||||||||||||||||
S&P 500 Index | | Goldman Sachs International | | 3,600 | USD | 2,790.00 | April 2018 | USD | 4 | 168,840 | (89,703 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | 284,252 | $ | (183,000 | ) | ||||||||||||||||||||||||
|
|
|
|
PUT OPTIONS WRITTEN (see Note D)
Description | Counterparty | Contracts | Exercise Price | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||
Euro STOXX 50 Index | | Citibank, NA | | 730 | EUR | 3,475.00 | April 2018 | EUR | 1 | $ | 74,607 | $ | (88,444 | ) | ||||||||||||||
FTSE 100 Index | | Citibank, NA | | 150 | GBP | 7,275.00 | April 2018 | GBP | 0 | ** | 26,814 | (34,742 | ) | |||||||||||||||
Nikkei 225 Index | | Goldman Sachs International | | 7,000 | JPY | 22,000.00 | April 2018 | JPY | 7 | 30,048 | (40,291 | ) | ||||||||||||||||
S&P 500 Index | | Goldman Sachs International | | 3,600 | USD | 2,790.00 | April 2018 | USD | 4 | 201,600 | (342,211 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | 333,069 | $ | (505,688 | ) | ||||||||||||||||||||||||
|
|
|
|
CURRENCY OPTIONS WRITTEN (see Note D)
Description/ Counterparty | Exercise Price | Expiration Month | Contracts | Notional Amount (000) | Premiums Received | U.S. $ Value | ||||||||||||||||||
Put | ||||||||||||||||||||||||
MXN vs. CAD/ | MXN | 15.450 | 05/2018 | 10,444,200 | MXN | 10,444 | $ | 4,360 | $ | (4,922 | ) | |||||||||||||
MXN vs. CAD/ | MXN | 15.450 | 05/2018 | 10,444,200 | MXN | 10,444 | 4,473 | (4,922 | ) |
48 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Description/ Counterparty | Exercise Price | Expiration Month | Contracts | Notional Amount (000) | Premiums Received | U.S. $ Value | ||||||||||||||||||
MXN vs. USD/ | MXN | 22.000 | 08/2018 | 15,620,000 | MXN | 15,620 | $ | 10,252 | $ | (5,415 | ) | |||||||||||||
SEK vs. EUR/ | SEK | 10.100 | 03/2018 | 7,070,000 | SEK | 7,070 | 4,190 | (3,228 | ) | |||||||||||||||
TRY vs. EUR/ | TRY | 4.903 | 04/2018 | 3,333,836 | TRY | 3,334 | 8,701 | (1,971 | ) | |||||||||||||||
TRY vs. EUR/ | TRY | 5.050 | 05/2018 | 2,171,500 | TRY | 2,172 | 5,254 | (2,289 | ) | |||||||||||||||
TRY vs. USD/ | TRY | 4.040 | 05/2018 | 2,173,520 | TRY | 2,174 | 5,651 | (5,413 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 42,881 | $ | (28,160 | ) | ||||||||||||||||||||
|
|
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 28, 5 Year Index, 6/20/22* | (5.00 | )% | Quarterly | 3.00 | % | USD | 3,544 | $ | (301,965 | ) | $ | (234,796 | ) | $ | (67,169 | ) | ||||||||||||
CDX-NAHY Series 29, 5 Year Index, 12/20/22* | (5.00 | ) | Quarterly | 3.31 | USD | 930 | (73,577 | ) | (70,107 | ) | (3,470 | ) | ||||||||||||||||
CDX-NAHY Series 29, 5 Year Index, 12/20/22* | (5.00 | ) | Quarterly | 3.31 | USD | 1,450 | (114,717 | ) | (74,565 | ) | (40,152 | ) | ||||||||||||||||
iTraxx Europe Series 28, 5 Year Index, 12/20/22* | (1.00 | ) | Quarterly | 0.52 | EUR | 460 | (13,799 | ) | (14,739 | ) | 940 | |||||||||||||||||
iTraxx Xover Series 26, 5 Year Index, 12/20/21* | (5.00 | ) | Quarterly | 2.02 | EUR | 710 | (101,740 | ) | (85,612 | ) | (16,128 | ) |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
iTraxx Xover Series 28, 5 Year Index, 12/20/22* | (5.00 | )% | Quarterly | 2.65 | % | EUR | 1,450 | $ | (199,589 | ) | $ | (180,439 | ) | $ | (19,150 | ) | ||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
CDX-NAIG Series 28, 5 Year Index, 6/20/22* | 1.00 | Quarterly | 0.52 | USD | 18,630 | 399,364 | 324,727 | 74,637 | ||||||||||||||||||||
CDX-NAIG Series 29, 5 Year Index, 12/20/22* | 1.00 | Quarterly | 0.55 | USD | 570 | 12,513 | 12,351 | 162 | ||||||||||||||||||||
iTraxx Europe Series 27, 5 Year Index, 6/20/22* | 1.00 | Quarterly | 0.44 | EUR | 8,050 | 256,840 | 186,783 | 70,057 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (136,670 | ) | $ | (136,397 | ) | $ | (273 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||
Deutsche Bank AG CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | % | Monthly | 3.17 | % | USD 370 | $ | (17,271 | ) | $ | (15,753 | ) | $ | (1,518 | ) |
* | Termination date |
50 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Barclays Bank PLC | $ | 27,950 | 7/18/22 | 1.937 | % | CPI | # | Maturity | $ | 479,860 | ||||||||||||||
Goldman Sachs International | 1,230 | 1/18/23 | 2.206 | % | CPI | # | Maturity | 4,173 | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | 484,033 | |||||||||||||||||||||||
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS (see Note D)
Counterparty & | # of Shares or Units | Rate Paid/ Received | Payment Frequency | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||
GSABLJHB | 2,760,485 | | LIBOR plus 0.20% | | Quarterly | $ | 249,189 | 2/15/19 | $ | 62,871 | ||||||||||||||
GSABVISP | 11,841 | | LIBOR Plus 0.45% | | Quarterly | 2,664 | 1/15/19 | (69,252 | ) | |||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||||
MSABRDL | 38,223 | LIBOR | Quarterly | 3,879 | 2/15/19 | (12,521 | ) | |||||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||
GSABHVIP | 10,502 | LIBOR | Quarterly | 2,746 | 1/15/19 | 44,638 | ||||||||||||||||||
GSABSJHB | 2,760,485 | | LIBOR Minus 0.20% | | Quarterly | 257,360 | 2/15/19 | (66,493 | ) | |||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||||
MSABRDS | 38,364 | | LIBOR Minus 0.25% | | Quarterly | 4,107 | 2/15/19 | 12,899 | ||||||||||||||||
UBS AG |
| |||||||||||||||||||||||
FTSE EPRA Nareit Developed Total Return Index USD | 785 | | LIBOR Plus 0.50% | | Quarterly | 3,712 | 3/15/19 | 59,786 | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | 31,928 | |||||||||||||||||||||||
|
|
** | Notional amount less than 500. |
(a) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(b) | Affiliated investments. |
(c) | Non-income producing security. |
(d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the aggregate market value of these securities amounted to $16,099,151 or 7.3% of net assets. |
(e) | Represents entire or partial securities out on loan. See Note E for securities lending information. |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 51 |
PORTFOLIO OF INVESTMENTS (continued)
(f) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(g) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(h) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at February 28, 2018. |
(i) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(j) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.01% of net assets as of February 28, 2018, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentageof Net Assets | ||||||||||||
H/2 Asset Funding NRE Series | 3/29/17 | $ | 31,393 | $ | 31,613 | 0.01 | % |
(k) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNY – Chinese Yuan Renminbi
COP – Colombian Peso
EUR – Euro
GBP – Great British Pound
HUF – Hungarian Forint
ILS – Israeli Shekel
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
TRY – Turkish Lira
TWD – New Taiwan Dollar
USD – United States Dollar
UYU – Uruguayan Peso
ZAR – South African Rand
Glossary:
ABS – Asset-Backed Securities
ADR – American Depositary Receipt
ARMs – Adjustable Rate Mortgages
BOBL – Bundesobligationen
CBT – Chicago Board of Trade
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CMBS – Commercial Mortgage-Backed Securities
CPI – Consumer Price Index
EAFE – Europe, Australia, and Far East
EPRA – European Public Real Estate Association
ETF – Exchange Traded Fund
FTSE – Financial Times Stock Exchange
LIBOR – London Interbank Offered Rates
MSCI – Morgan Stanley Capital International
OAT – Obligations Assimilables du Trésor
OSE – Osaka Securities Exchange
PJSC – Public Joint Stock Company
REG – Registered Shares
SPDR – Standard & Poor’s Depository Receipt
SPI – Share Price Index
TBA – To Be Announced
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
52 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABLJHB as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Shiseido Co Ltd | 1,847,219 | $ | 11,934,884,860 | 1.3 | % | |||||||
Kose Corp | 563,239 | 11,343,624,598 | 1.2 | % | ||||||||
Hitachi High-Technologies Corp | 2,093,434 | 10,990,529,865 | 1.2 | % | ||||||||
FamilyMart UNY Holdings Co Ltd | 1,353,441 | 10,949,337,650 | 1.2 | % | ||||||||
Yamato Holdings Co Ltd | 3,985,991 | 10,674,483,046 | 1.2 | % | ||||||||
SCREEN Holdings Co Ltd | 1,060,048 | 10,642,881,890 | 1.1 | % | ||||||||
M3 Inc | 2,541,444 | 10,623,233,972 | 1.1 | % | ||||||||
Nippon Paint Holdings Co Ltd | 2,670,742 | 10,442,600,551 | 1.1 | % | ||||||||
Advantest Corp | 4,546,508 | 10,306,933,158 | 1.1 | % | ||||||||
Hitachi Construction Machinery Co Ltd | 2,226,569 | 10,231,085,162 | 1.1 | % | ||||||||
Kyowa Hakko Kirin Co Ltd | 4,503,442 | 10,222,813,488 | 1.1 | % | ||||||||
Subaru Corp | 2,701,840 | 10,212,954,198 | 1.1 | % | ||||||||
Tokyo Gas Co Ltd | 3,764,853 | 10,108,630,826 | 1.1 | % | ||||||||
Kobe Steel Ltd | 8,489,415 | 10,102,403,852 | 1.1 | % | ||||||||
Kaneka Corp | 9,210,589 | 10,048,752,124 | 1.1 | % | ||||||||
Showa Denko KK | 1,878,499 | 9,993,617,202 | 1.1 | % | ||||||||
Aeon Mall Co Ltd | 4,455,127 | 9,966,118,260 | 1.1 | % | ||||||||
Toshiba Corp | 31,269,676 | 9,912,487,267 | 1.1 | % | ||||||||
Sumitomo Dainippon Pharma Co Ltd | 6,027,199 | 9,902,687,168 | 1.1 | % | ||||||||
TDK Corp | 1,011,715 | 9,884,460,103 | 1.1 | % | ||||||||
Ube Industries Ltd | 2,916,687 | 9,800,067,409 | 1.1 | % | ||||||||
SUMCO Corp | 3,380,220 | 9,745,173,571 | 1.1 | % | ||||||||
Sumitomo Rubber Industries Ltd | 4,725,275 | 9,724,616,067 | 1.0 | % | ||||||||
Mitsubishi Motors Corp | 11,439,254 | 9,711,926,858 | 1.0 | % | ||||||||
Seino Holdings Co Ltd | 5,277,806 | 9,663,663,086 | 1.0 | % | ||||||||
Tokyo Electron Ltd | 458,205 | 9,649,794,046 | 1.0 | % | ||||||||
Medipal Holdings Corp | 4,400,069 | 9,636,151,563 | 1.0 | % | ||||||||
Yokogawa Electric Corp | 4,421,541 | 9,630,115,814 | 1.0 | % | ||||||||
NGK Spark Plug Co Ltd | 3,523,535 | 9,626,298,467 | 1.0 | % | ||||||||
NTT Urban Development Corp | 7,217,818 | 9,592,480,167 | 1.0 | % | ||||||||
Nomura Real Estate Holdings Inc | 3,704,036 | 9,586,044,894 | 1.0 | % | ||||||||
SBI Holdings Inc/Japan | 3,842,481 | 9,525,511,262 | 1.0 | % | ||||||||
Toyota Boshoku Corp | 4,139,036 | 9,507,365,437 | 1.0 | % | ||||||||
Nippon Express Co Ltd | 1,315,955 | 9,474,876,036 | 1.0 | % | ||||||||
Mazda Motor Corp | 6,315,272 | 9,450,805,097 | 1.0 | % | ||||||||
J Front Retailing Co Ltd | 4,837,540 | 9,438,039,771 | 1.0 | % | ||||||||
Kikkoman Corp | 2,214,233 | 9,432,632,410 | 1.0 | % | ||||||||
Asics Corp | 5,511,043 | 9,418,372,849 | 1.0 | % | ||||||||
Yokohama Rubber Co Ltd/The | 3,534,786 | 9,370,716,915 | 1.0 | % | ||||||||
Sony Financial Holdings Inc | 4,676,512 | 9,353,023,708 | 1.0 | % | ||||||||
Sumitomo Realty & Development Co Ltd | 2,396,682 | 9,349,457,254 | 1.0 | % | ||||||||
IHI Corp | 2,554,460 | 9,349,321,796 | 1.0 | % | ||||||||
Hino Motors Ltd | 6,605,972 | 9,347,450,398 | 1.0 | % | ||||||||
Tokyu Fudosan Holdings Corp | 11,735,304 | 9,294,360,641 | 1.0 | % | ||||||||
Casio Computer Co Ltd | 5,853,867 | 9,290,086,412 | 1.0 | % | ||||||||
Taiyo Nippon Sanso Corp | 5,888,496 | 9,250,826,919 | 1.0 | % |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 53 |
PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Zeon Corp | 5,709,804 | $ | 9,215,623,036 | 1.0 | % | |||||||
Idemitsu Kosan Co Ltd | 2,231,507 | 9,204,967,666 | 1.0 | % | ||||||||
Sompo Holdings Inc | 2,215,714 | 9,179,704,018 | 1.0 | % | ||||||||
Kawasaki Heavy Industries Ltd | 2,341,610 | 9,179,109,397 | 1.0 | % | ||||||||
Other | 27,215,459 | 434,527,661,968 | 47.2 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 927,020,764,172 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the equity basket holdings underlying the total return swap with GSABVISP as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Intel Corp | 43,668 | $ | 2,152,396 | 2.2 | % | |||||||
Cisco Systems Inc | 46,577 | 2,085,718 | 2.1 | % | ||||||||
Texas Instruments Inc | 19,244 | 2,085,087 | 2.1 | % | ||||||||
Starbucks Corp | 36,101 | 2,061,367 | 2.1 | % | ||||||||
salesforce.com Inc | 17,699 | 2,057,509 | 2.1 | % | ||||||||
Costco Wholesale Corp | 10,719 | 2,046,257 | 2.1 | % | ||||||||
Sempra Energy | 18,755 | 2,043,920 | 2.0 | % | ||||||||
Oracle Corp | 40,331 | 2,043,572 | 2.0 | % | ||||||||
Lam Research Corp | 10,618 | 2,037,169 | 2.0 | % | ||||||||
Chevron Corp | 18,200 | 2,036,944 | 2.0 | % | ||||||||
International Business Machines Corp | 13,057 | 2,034,672 | 2.0 | % | ||||||||
Best Buy Co Inc | 28,054 | 2,032,232 | 2.0 | % | ||||||||
Pfizer Inc | 55,960 | 2,031,908 | 2.0 | % | ||||||||
Schlumberger Ltd | 30,788 | 2,020,924 | 2.0 | % | ||||||||
Express Scripts Holding Co | 26,767 | 2,019,570 | 2.0 | % | ||||||||
United Technologies Corp | 14,972 | 2,017,327 | 2.0 | % | ||||||||
Anthem Inc | 8,559 | 2,014,617 | 2.0 | % | ||||||||
Amgen Inc | 10,962 | 2,014,487 | 2.0 | % | ||||||||
Public Storage | 10,355 | 2,013,426 | 2.0 | % | ||||||||
Dominion Energy Inc | 27,181 | 2,013,297 | 2.0 | % | ||||||||
Target Corp | 26,656 | 2,010,129 | 2.0 | % | ||||||||
Marriott International Inc/MD | 14,225 | 2,008,712 | 2.0 | % | ||||||||
Accenture PLC | 12,475 | 2,008,600 | 2.0 | % | ||||||||
Johnson & Johnson | 15,395 | 1,999,503 | 2.0 | % | ||||||||
NVIDIA Corp | 8,259 | 1,998,678 | 2.0 | % | ||||||||
NIKE Inc | 29,793 | 1,997,025 | 2.0 | % | ||||||||
Exxon Mobil Corp | 26,364 | 1,996,809 | 2.0 | % | ||||||||
Ford Motor Co | 188,147 | 1,996,240 | 2.0 | % | ||||||||
3M Co | 8,475 | 1,995,947 | 2.0 | % | ||||||||
Verizon Communications Inc | 41,780 | 1,994,577 | 2.0 | % | ||||||||
Simon Property Group Inc | 12,984 | 1,993,174 | 2.0 | % | ||||||||
CVS Health Corp | 29,412 | 1,992,075 | 2.0 | % | ||||||||
UnitedHealth Group Inc | 8,807 | 1,991,791 | 2.0 | % | ||||||||
AT&T Inc | 54,840 | 1,990,692 | 2.0 | % | ||||||||
Coca-Cola Co/The | 45,956 | 1,986,218 | 2.0 | % | ||||||||
Gilead Sciences Inc | 25,189 | 1,983,130 | 2.0 | % | ||||||||
Walgreens Boots Alliance Inc | 28,707 | 1,977,625 | 2.0 | % | ||||||||
AbbVie Inc | 17,013 | 1,970,616 | 2.0 | % |
54 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Kimberly-Clark Corp | 17,729 | $ | 1,966,501 | 2.0 | % | |||||||
Home Depot Inc/The | 10,783 | 1,965,417 | 2.0 | % | ||||||||
Valero Energy Corp | 21,727 | 1,964,555 | 2.0 | % | ||||||||
Walt Disney Co/The | 19,004 | 1,960,453 | 2.0 | % | ||||||||
Union Pacific Corp | 14,970 | 1,949,843 | 2.0 | % | ||||||||
Caterpillar Inc | 12,590 | 1,946,792 | 2.0 | % | ||||||||
Procter & Gamble Co/The | 24,740 | 1,942,585 | 1.9 | % | ||||||||
Walmart Inc | 21,559 | 1,940,526 | 1.9 | % | ||||||||
General Electric Co | 136,799 | 1,930,234 | 1.9 | % | ||||||||
General Motors Co | 48,888 | 1,923,743 | 1.9 | % | ||||||||
Celgene Corp | 21,327 | 1,858,008 | 1.9 | % | ||||||||
General Mills Inc | 36,397 | 1,839,868 | 1.8 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 99,942,465 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABRDL as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Zebra Technologies Corp | 1,800 | $ | 248,688 | 1.3 | % | |||||||
Hewlett Packard Enterprise Co | 13,180 | 245,012 | 1.3 | % | ||||||||
Intel Corp | 4,708 | 232,052 | 1.2 | % | ||||||||
Cypress Semiconductor Corp | 13,184 | 230,328 | 1.2 | % | ||||||||
Dell Technologies Inc Class V | 3,085 | 229,172 | 1.2 | % | ||||||||
ON Semiconductor Corp | 9,527 | 227,879 | 1.2 | % | ||||||||
Nutanix Inc | 6,187 | 225,501 | 1.2 | % | ||||||||
Cree Inc | 5,953 | 225,197 | 1.2 | % | ||||||||
Seagate Technology PLC | 4,196 | 224,081 | 1.2 | % | ||||||||
Marvell Technology Group Ltd | 9,491 | 222,940 | 1.2 | % | ||||||||
Western Digital Corp | 2,551 | 222,033 | 1.2 | % | ||||||||
National Instruments Corp | 4,379 | 221,420 | 1.2 | % | ||||||||
Keysight Technologies Inc | 4,701 | 220,988 | 1.2 | % | ||||||||
Agios Pharmaceuticals Inc | 2,735 | 219,883 | 1.2 | % | ||||||||
Monsanto Co | 1,775 | 218,953 | 1.2 | % | ||||||||
Dolby Laboratories Inc | 3,390 | 218,812 | 1.2 | % | ||||||||
McKesson Corp | 1,459 | 217,710 | 1.2 | % | ||||||||
Citrix Systems Inc | 2,366 | 217,687 | 1.2 | % | ||||||||
Silicon Laboratories Inc | 2,327 | 217,561 | 1.2 | % | ||||||||
Ciena Corp | 9,346 | 216,546 | 1.2 | % | ||||||||
QUALCOMM Inc | 3,331 | 216,535 | 1.2 | % | ||||||||
CA Inc | 6,107 | 214,364 | 1.2 | % | ||||||||
International Business Machines Corp | 1,374 | 214,056 | 1.2 | % | ||||||||
Cadence Design Systems Inc | 5,505 | 213,423 | 1.1 | % | ||||||||
eBay Inc | 4,975 | 213,209 | 1.1 | % | ||||||||
NewMarket Corp | 509 | 212,887 | 1.1 | % | ||||||||
Advanced Micro Devices Inc | 17,530 | 212,287 | 1.1 | % | ||||||||
Amdocs Ltd | 3,223 | 212,015 | 1.1 | % | ||||||||
Autoliv Inc | 1,473 | 211,240 | 1.1 | % | ||||||||
Tableau Software Inc | 2,582 | 210,869 | 1.1 | % | ||||||||
Woodward Inc | 2,976 | 210,821 | 1.1 | % |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 55 |
PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Merck & Co Inc | 3,883 | $ | 210,537 | 1.1 | % | |||||||
Ashland Global Holdings Inc | 2,956 | 209,337 | 1.1 | % | ||||||||
Deere & Co | 1,301 | 209,314 | 1.1 | % | ||||||||
AGCO Corp | 3,120 | 207,783 | 1.1 | % | ||||||||
Nuance Communications Inc | 12,898 | 207,145 | 1.1 | % | ||||||||
Bristol-Myers Squibb Co | 3,121 | 206,580 | 1.1 | % | ||||||||
CNH Industrial NV | 15,351 | 206,474 | 1.1 | % | ||||||||
Symantec Corp | 7,799 | 205,023 | 1.1 | % | ||||||||
Synopsys Inc | 2,418 | 204,751 | 1.1 | % | ||||||||
Juniper Networks Inc | 7,979 | 204,729 | 1.1 | % | ||||||||
Fiat Chrysler Automobiles NV | 9,632 | 204,093 | 1.1 | % | ||||||||
Teradata Corp | 5,522 | 203,316 | 1.1 | % | ||||||||
Twitter Inc | 6,359 | 202,603 | 1.1 | % | ||||||||
Navistar International Corp | 5,419 | 202,220 | 1.1 | % | ||||||||
General Motors Co | 5,091 | 200,347 | 1.1 | % | ||||||||
BioMarin Pharmaceutical Inc | 2,463 | 199,895 | 1.1 | % | ||||||||
Goodyear Tire & Rubber Co/The | 6,874 | 198,941 | 1.1 | % | ||||||||
Visteon Corp | 1,605 | 198,724 | 1.1 | % | ||||||||
Eli Lilly & Co | 2,574 | 198,241 | 1.1 | % | ||||||||
Other | 187,605 | 7,864,861 | 42.5 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 18,589,063 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the equity basket holdings underlying the total return swap with GSABHVIP as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Micron Technology Inc | 50,489 | $ | 2,966,229 | 2.6 | % | |||||||
Autodesk Inc | 19,958 | 2,716,883 | 2.4 | % | ||||||||
Booking Holdings Inc | 1,206 | 2,613,197 | 2.3 | % | ||||||||
Netflix Inc | 8,247 | 2,602,588 | 2.3 | % | ||||||||
ServiceNow Inc | 14,849 | 2,578,677 | 2.3 | % | ||||||||
GoDaddy Inc | 40,054 | 2,503,776 | 2.2 | % | ||||||||
Dell Technologies Inc Class V | 31,398 | 2,422,042 | 2.1 | % | ||||||||
XPO Logistics Inc | 23,470 | 2,413,185 | 2.1 | % | ||||||||
Amazon.com Inc | 1,512 | 2,399,211 | 2.1 | % | ||||||||
Activision Blizzard Inc | 31,497 | 2,389,362 | 2.1 | % | ||||||||
Delta Air Lines Inc | 42,026 | 2,374,049 | 2.1 | % | ||||||||
Apple Inc | 13,107 | 2,352,575 | 2.1 | % | ||||||||
FleetCor Technologies Inc | 11,263 | 2,332,567 | 2.0 | % | ||||||||
NXP Semiconductors NV | 19,096 | 2,332,004 | 2.0 | % | ||||||||
Constellation Brands Inc | 10,251 | 2,329,642 | 2.0 | % | ||||||||
Alphabet Inc | 2,045 | 2,323,161 | 2.0 | % | ||||||||
DXC Technology Co | 21,907 | 2,318,418 | 2.0 | % | ||||||||
Broadcom Ltd | 8,858 | 2,311,761 | 2.0 | % | ||||||||
Mastercard Inc | 12,716 | 2,298,926 | 2.0 | % | ||||||||
Berkshire Hathaway Inc | 10,939 | 2,286,689 | 2.0 | % | ||||||||
PayPal Holdings Inc | 28,391 | 2,275,823 | 2.0 | % | ||||||||
MGM Resorts International | 63,698 | 2,275,293 | 2.0 | % | ||||||||
Microsoft Corp | 24,158 | 2,273,268 | 2.0 | % |
56 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Monsanto Co | 18,254 | $ | 2,253,456 | 2.0 | % | |||||||
Liberty Media Corp-Liberty SiriusXM | 52,520 | 2,239,978 | 2.0 | % | ||||||||
Visa Inc | 18,156 | 2,236,819 | 2.0 | % | ||||||||
Time Warner Inc | 23,209 | 2,232,938 | 2.0 | % | ||||||||
Zayo Group Holdings Inc | 60,634 | 2,224,055 | 2.0 | % | ||||||||
Facebook Inc | 12,220 | 2,220,252 | 1.9 | % | ||||||||
Rockwell Collins Inc | 16,318 | 2,219,574 | 1.9 | % | ||||||||
Bank of America Corp | 68,555 | 2,219,468 | 1.9 | % | ||||||||
JPMorgan Chase & Co | 19,071 | 2,213,380 | 1.9 | % | ||||||||
IQVIA Holdings Inc | 20,957 | 2,212,221 | 1.9 | % | ||||||||
Alibaba Group Holding Ltd | 11,746 | 2,208,600 | 1.9 | % | ||||||||
Aetna Inc | 12,410 | 2,199,672 | 1.9 | % | ||||||||
Ally Financial Inc | 77,001 | 2,199,149 | 1.9 | % | ||||||||
Liberty Broadband Corp | 24,334 | 2,191,033 | 1.9 | % | ||||||||
DowDuPont Inc | 30,755 | 2,176,839 | 1.9 | % | ||||||||
Boeing Co/The | 6,361 | 2,147,855 | 1.9 | % | ||||||||
Allergan PLC | 13,165 | 2,144,315 | 1.9 | % | ||||||||
Caesars Entertainment Corp | 171,387 | 2,138,053 | 1.9 | % | ||||||||
Citigroup Inc | 28,598 | 2,137,700 | 1.9 | % | ||||||||
Charter Communications Inc | 6,112 | 2,134,005 | 1.9 | % | ||||||||
GCI Liberty Inc | 39,527 | 2,124,576 | 1.9 | % | ||||||||
Wells Fargo & Co | 36,839 | 2,118,979 | 1.9 | % | ||||||||
Adient PLC | 34,450 | 2,102,484 | 1.9 | % | ||||||||
Nexstar Media Group Inc | 29,565 | 2,073,985 | 1.8 | % | ||||||||
JD.com Inc | 46,815 | 2,073,905 | 1.8 | % | ||||||||
Comcast Corp | 55,637 | 2,020,179 | 1.8 | % | ||||||||
QUALCOMM Inc | 32,944 | 1,958,521 | 1.7 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 114,111,317 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABSJHB as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Nihon M&A Center Inc | 1,840,667 | $ | 12,811,039,912 | 1.3 | % | |||||||
Ono Pharmaceutical Co Ltd | 3,819,151 | 11,953,943,766 | 1.2 | % | ||||||||
Otsuka Corp | 1,151,198 | 11,477,447,490 | 1.2 | % | ||||||||
Pola Orbis Holdings Inc | 2,460,183 | 11,107,725,595 | 1.2 | % | ||||||||
Nintendo Co Ltd | 225,257 | 11,055,608,259 | 1.2 | % | ||||||||
Astellas Pharma Inc | 6,981,566 | 11,034,365,720 | 1.2 | % | ||||||||
Nitori Holdings Co Ltd | 607,280 | 10,940,156,464 | 1.1 | % | ||||||||
Otsuka Holdings Co Ltd | 2,031,110 | 10,935,497,457 | 1.1 | % | ||||||||
Yamada Denki Co Ltd | 15,826,852 | 10,714,778,872 | 1.1 | % | ||||||||
Obic Co Ltd | 1,196,402 | 10,695,837,966 | 1.1 | % | ||||||||
Ryohin Keikaku Co Ltd | 291,728 | 10,691,816,529 | 1.1 | % | ||||||||
Tsuruha Holdings Inc | 682,703 | 10,595,548,997 | 1.1 | % | ||||||||
NTT DOCOMO Inc | 3,784,622 | 10,388,787,730 | 1.1 | % | ||||||||
Nomura Real Estate Master Fund Inc | 70,596 | 10,335,274,671 | 1.1 | % | ||||||||
Nidec Corp | 596,607 | 10,297,442,014 | 1.1 | % | ||||||||
Japan Real Estate Investment Corp | 18,585 | 10,296,154,896 | 1.1 | % |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 57 |
PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Shimamura Co Ltd | 805,885 | $ | 10,266,971,537 | 1.1 | % | |||||||
Orix JREIT Inc | 62,772 | 10,225,550,181 | 1.1 | % | ||||||||
Shimadzu Corp | 3,690,791 | 10,168,129,566 | 1.1 | % | ||||||||
United Urban Investment Corp | 60,153 | 10,153,864,194 | 1.1 | % | ||||||||
ABC-Mart Inc | 1,488,897 | 10,124,502,891 | 1.1 | % | ||||||||
Fuji Media Holdings Inc | 5,441,231 | 10,000,982,021 | 1.0 | % | ||||||||
Makita Corp | 1,970,563 | 9,990,754,699 | 1.0 | % | ||||||||
Japan Retail Fund Investment Corp | 48,408 | 9,938,125,076 | 1.0 | % | ||||||||
Nifco Inc/Japan | 1,291,787 | 9,933,841,415 | 1.0 | % | ||||||||
Keyence Corp | 152,131 | 9,929,563,041 | 1.0 | % | ||||||||
Keihan Holdings Co Ltd | 2,951,502 | 9,902,289,948 | 1.0 | % | ||||||||
Sony Corp | 1,818,970 | 9,898,836,155 | 1.0 | % | ||||||||
Sundrug Co Ltd | 1,998,020 | 9,880,210,215 | 1.0 | % | ||||||||
Izumi Co Ltd | 1,403,633 | 9,853,507,121 | 1.0 | % | ||||||||
Japan Post Insurance Co Ltd | 3,633,398 | 9,846,508,241 | 1.0 | % | ||||||||
Nissan Motor Co Ltd | 8,750,609 | 9,844,435,582 | 1.0 | % | ||||||||
Hikari Tsushin Inc | 635,692 | 9,840,508,871 | 1.0 | % | ||||||||
Asahi Group Holdings Ltd | 1,788,252 | 9,819,292,100 | 1.0 | % | ||||||||
Rakuten Inc | 10,034,942 | 9,807,149,100 | 1.0 | % | ||||||||
Oriental Land Co Ltd/Japan | 935,747 | 9,750,485,267 | 1.0 | % | ||||||||
Don Quijote Holdings Co Ltd | 1,620,979 | 9,742,082,113 | 1.0 | % | ||||||||
Japan Post Bank Co Ltd | 6,629,273 | 9,718,514,171 | 1.0 | % | ||||||||
Daiwa House REIT Investment Corp | 37,785 | 9,714,446,545 | 1.0 | % | ||||||||
Asahi Intecc Co Ltd | 2,547,516 | 9,680,559,702 | 1.0 | % | ||||||||
Taisei Corp | 1,775,592 | 9,676,975,692 | 1.0 | % | ||||||||
Aozora Bank Ltd | 2,201,537 | 9,675,756,961 | 1.0 | % | ||||||||
McDonald’s Holdings Co Japan Ltd | 2,026,252 | 9,675,351,223 | 1.0 | % | ||||||||
Advance Residence Investment Corp | 36,021 | 9,649,921,580 | 1.0 | % | ||||||||
Zenkoku Hosho Co Ltd | 2,038,561 | 9,632,201,231 | 1.0 | % | ||||||||
Marubeni Corp | 11,742,056 | 9,624,963,180 | 1.0 | % | ||||||||
Canon Inc | 2,347,537 | 9,615,510,462 | 1.0 | % | ||||||||
KDDI Corp | 3,636,046 | 9,582,799,607 | 1.0 | % | ||||||||
Hoya Corp | 1,689,058 | 9,578,648,071 | 1.0 | % | ||||||||
Nippon Telegraph & Telephone Corp | 1,921,941 | 9,575,111,781 | 1.0 | % | ||||||||
Other | 121,890,932 | 448,307,594,085 | 47.2 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 957,957,369,963 | 100.0 | % | ||||||||
|
|
|
|
The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABRDS as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Veeva Systems Inc | 3,836 | $ | 267,401 | 1.4 | % | |||||||
Microchip Technology Inc | 2,757 | 245,184 | 1.2 | % | ||||||||
Palo Alto Networks Inc | 1,412 | 244,743 | 1.2 | % | ||||||||
Skyworks Solutions Inc | 2,184 | 238,614 | 1.2 | % |
58 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Texas Instruments Inc | 2,197 | $ | 238,028 | 1.2 | % | |||||||
Paycom Software Inc | 2,394 | 236,787 | 1.2 | % | ||||||||
Take-Two Interactive Software Inc | 2,095 | 234,325 | 1.2 | % | ||||||||
Apple Inc | 1,314 | 234,137 | 1.2 | % | ||||||||
Copart Inc | 5,001 | 234,120 | 1.2 | % | ||||||||
CDW Corp/DE | 3,202 | 233,491 | 1.2 | % | ||||||||
Jabil Inc | 8,579 | 232,402 | 1.2 | % | ||||||||
Flex Ltd | 12,839 | 232,387 | 1.2 | % | ||||||||
MKS Instruments Inc | 2,073 | 230,839 | 1.2 | % | ||||||||
Cisco Systems Inc | 5,131 | 229,772 | 1.2 | % | ||||||||
Versum Materials Inc | 6,186 | 228,999 | 1.2 | % | ||||||||
ViaSat Inc | 3,266 | 227,960 | 1.2 | % | ||||||||
Advanced Energy Industries Inc | 3,426 | 227,235 | 1.2 | % | ||||||||
Littelfuse Inc | 1,085 | 225,046 | 1.1 | % | ||||||||
Tyler Technologies Inc | 1,107 | 224,925 | 1.1 | % | ||||||||
Catalent Inc | 5,360 | 223,770 | 1.1 | % | ||||||||
Check Point Software Technologies Ltd | 2,144 | 222,707 | 1.1 | % | ||||||||
Pure Storage Inc | 10,271 | 222,578 | 1.1 | % | ||||||||
CDK Global Inc | 3,232 | 221,960 | 1.1 | % | ||||||||
NVIDIA Corp | 917 | 221,880 | 1.1 | % | ||||||||
Lear Corp | 1,189 | 221,783 | 1.1 | % | ||||||||
Adient PLC | 3,566 | 221,331 | 1.1 | % | ||||||||
Logitech International SA | 5,549 | 218,531 | 1.1 | % | ||||||||
Harris Corp | 1,396 | 218,032 | 1.1 | % | ||||||||
Perrigo Co PLC | 2,516 | 204,964 | 1.0 | % | ||||||||
Taro Pharmaceutical Industries Ltd | 2,034 | 199,590 | 1.0 | % | ||||||||
Ubiquiti Networks Inc | 3,061 | 194,657 | 1.0 | % | ||||||||
Broadcom Ltd | 782 | 192,721 | 1.0 | % | ||||||||
MuleSoft Inc | 4,927 | 152,140 | 0.8 | % | ||||||||
Dana Inc | 4,374 | 116,224 | 0.6 | % | ||||||||
Harley-Davidson Inc | 2,484 | 112,710 | 0.6 | % | ||||||||
Analog Devices Inc | 1,171 | 105,537 | 0.5 | % | ||||||||
GrubHub Inc | 1,027 | 102,073 | 0.5 | % | ||||||||
ServiceNow Inc | 603 | 97,034 | 0.5 | % | ||||||||
MercadoLibre Inc | 248 | 96,085 | 0.5 | % | ||||||||
HubSpot Inc | 833 | 92,489 | 0.5 | % | ||||||||
Match Group Inc | 2,226 | 89,134 | 0.5 | % | ||||||||
SS&C Technologies Holdings Inc | 1,771 | 87,677 | 0.4 | % | ||||||||
Spirit AeroSystems Holdings Inc | 928 | 84,744 | 0.4 | % | ||||||||
Stamps.com Inc | 441 | 84,199 | 0.4 | % | ||||||||
Adobe Systems Inc | 390 | 81,469 | 0.4 | % | ||||||||
Nordson Corp | 597 | 80,083 | 0.4 | % | ||||||||
CoStar Group Inc | 234 | 79,896 | 0.4 | % | ||||||||
IDEX Corp | 556 | 76,124 | 0.4 | % | ||||||||
Intuitive Surgical Inc | 178 | 75,942 | 0.4 | % | ||||||||
Cantel Medical Corp | 649 | 75,457 | 0.4 | % | ||||||||
Other | 169,248 | 10,738,561 | 54.7 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 19,678,477 | 100.0 | % | ||||||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 59 |
STATEMENT OF ASSETS & LIABILITIES
February 28, 2018 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $130,967,924) | $ | 138,963,912 | (a) | |
Affiliated issuers (cost $87,862,595—including investment of cash collateral for securities loaned of $1,224,800) | 86,352,163 | |||
Cash | 750,806 | |||
Cash collateral due from broker | 2,055,759 | |||
Foreign currencies, at value (cost $600,321) | 604,901 | |||
Receivable for investment securities sold and foreign currency transactions | 1,576,680 | |||
Unrealized appreciation on forward currency exchange contracts | 864,848 | |||
Unrealized appreciation on inflation swaps | 484,033 | |||
Unaffiliated interest and dividends receivable | 457,049 | |||
Receivable for variation margin on futures | 266,811 | |||
Unrealized appreciation on total return swaps | 180,194 | |||
Affiliated dividends receivable | 143,216 | |||
Receivable for shares of beneficial interest sold | 75,161 | |||
Receivable for variation margin on centrally cleared swaps | 6,061 | |||
Other asset | 73,413 | |||
|
| |||
Total assets | 232,855,007 | |||
|
| |||
Liabilities | ||||
Options written, at value (premiums received $660,202) | 716,848 | |||
Payable for investment securities purchased and foreign currency transactions | 6,939,527 | |||
Unrealized depreciation on forward currency exchange contracts | 1,584,439 | |||
Payable for collateral received on securities loaned | 1,224,800 | |||
Cash collateral due to broker | 310,000 | |||
Payable for shares of beneficial interest redeemed | 170,453 | |||
Unrealized depreciation on total return swaps | 148,266 | |||
Distribution fee payable | 59,464 | |||
Advisory fee payable | 57,569 | |||
Transfer Agent fee payable | 20,861 | |||
Upfront premiums received on credit default swaps | 15,753 | |||
Unrealized depreciation on credit default swaps | 1,518 | |||
Trustees’ fees payable | 208 | |||
Accrued expenses | 59,579 | |||
|
| |||
Total liabilities | 11,309,285 | |||
|
| |||
Net Assets | $ | 221,545,722 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 185 | ||
Additional paid-in capital | 222,300,706 | |||
Distributions in excess of net investment income | (4,017,107 | ) | ||
Accumulated net realized loss on investment transactions | (2,117,539 | ) | ||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 5,379,477 | |||
|
| |||
$ | 221,545,722 | |||
|
|
(a) | Includes securities on loan with a value of $1,164,950 (see Note E). |
See notes to financial statements.
60 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 171,428,997 | 14,296,080 | $ | 11.99 | * | ||||||
| ||||||||||||
B | $ | 1,244,826 | 101,625 | $ | 12.25 | |||||||
| ||||||||||||
C | $ | 28,325,551 | 2,367,057 | $ | 11.97 | |||||||
| ||||||||||||
Advisor | $ | 8,834,372 | 733,775 | $ | 12.04 | |||||||
| ||||||||||||
R | $ | 4,121,680 | 343,031 | $ | 12.02 | |||||||
| ||||||||||||
K | $ | 7,580,412 | 633,253 | $ | 11.97 | |||||||
| ||||||||||||
I | $ | 9,884 | 811.35 | $ | 12.18 | |||||||
|
* | The maximum offering price per share for Class A shares was $12.52 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 61 |
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2018 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of and $15,292) | $ | 718,873 | ||||||
Affiliated issuers | 1,737,833 | |||||||
Interest (net of foreign taxes withheld of and $263) | 497,469 | $ | 2,954,175 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 631,515 | |||||||
Distribution fee—Class A | 216,208 | |||||||
Distribution fee—Class B | 6,818 | |||||||
Distribution fee—Class C | 175,184 | |||||||
Distribution fee—Class R | 10,155 | |||||||
Distribution fee—Class K | 8,896 | |||||||
Transfer agency—Class A | 95,187 | |||||||
Transfer agency—Class B | 917 | |||||||
Transfer agency—Class C | 19,789 | |||||||
Transfer agency—Advisor Class | 4,985 | |||||||
Transfer agency—Class R | 5,281 | |||||||
Transfer agency—Class K | 7,117 | |||||||
Transfer agency—Class I | 17 | |||||||
Custodian | 194,689 | |||||||
Legal | 48,698 | |||||||
Audit and tax | 47,629 | |||||||
Registration fees | 47,188 | |||||||
Printing | 23,929 | |||||||
Trustees’ fees | 13,513 | |||||||
Miscellaneous | 10,489 | |||||||
|
| |||||||
Total expenses | 1,568,204 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | (254,985 | ) | ||||||
|
| |||||||
Net expenses | 1,313,219 | |||||||
|
| |||||||
Net investment income | 1,640,956 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Affiliated Underlying Portfolios | 225,753 | |||||||
Investment transactions | 1,023,304 | |||||||
Forward currency exchange contracts | (431,500 | ) | ||||||
Futures | (1,771,618 | ) | ||||||
Options written | 180,498 | |||||||
Swaps | (1,037,411 | ) | ||||||
Foreign currency transactions | 82,830 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Affiliated Underlying Portfolios | (2,052,936 | ) | ||||||
Investments | 4,897,351 | |||||||
Forward currency exchange contracts | (31,110 | ) | ||||||
Futures | (1,278,898 | ) | ||||||
Options written | (58,805 | ) | ||||||
Swaps | 741,001 | |||||||
Foreign currency denominated assets and liabilities | (4,600 | ) | ||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 483,859 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 2,124,815 | ||||||
|
|
See notes to financial statements.
62 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,640,956 | $ | 7,535,314 | ||||
Net realized gain (loss) on investment transactions | (1,728,144 | ) | 7,355,174 | |||||
Net realized gain distributions from Affiliated Underlying Portfolios | – 0 | – | 16,816,959 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 2,212,003 | (17,903,421 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 2,124,815 | 13,804,026 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | ||||||||
Class A | (10,096,905 | ) | (4,286,170 | ) | ||||
Class B | (52,285 | ) | – 0 | – | ||||
Class C | (1,385,152 | ) | (1,162,894 | ) | ||||
Advisor Class | (545,821 | ) | (267,098 | ) | ||||
Class R | (213,263 | ) | (92,061 | ) | ||||
Class K | (392,249 | ) | (164,659 | ) | ||||
Class I | (1,788 | ) | (12,532 | ) | ||||
Net realized gain on investment transactions | ||||||||
Class A | (2,305,565 | ) | – 0 | – | ||||
Class B | (17,877 | ) | – 0 | – | ||||
Class C | (463,337 | ) | – 0 | – | ||||
Advisor Class | (118,053 | ) | – 0 | – | ||||
Class R | (54,474 | ) | – 0 | – | ||||
Class K | (91,828 | ) | – 0 | – | ||||
Class I | (505 | ) | – 0 | – | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (3,117,692 | ) | (53,296,066 | ) | ||||
|
|
|
| |||||
Total decrease | (16,731,979 | ) | (45,477,454 | ) | ||||
Net Assets | ||||||||
Beginning of period | 238,277,701 | 283,755,155 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($4,017,107) and undistributed net investment income of $7,029,400, respectively) | $ | 221,545,722 | $ | 238,277,701 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 63 |
NOTES TO FINANCIAL STATEMENTS
February 28, 2018 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) was organized as a Massachusetts Business Trust on March 26, 1987 and is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Conservative Wealth Strategy (the “Strategy”). The Strategy offers Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares. Class T shares have been authorized but currently are not offered. 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 Strategy 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 Strategy’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, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of 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 eight classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Strategy is an investment company under U.S. GAAP and follows the
64 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
��
accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Strategy.
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 Company’s Board of Trustees (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 cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 65 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Strategy may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Strategy 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 Strategy generally values 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 Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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.) |
66 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
• | Level 3—significant unobservable inputs (including the Strategy’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which 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.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 67 |
NOTES TO FINANCIAL STATEMENTS (continued)
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of February 28, 2018:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Investment Companies | $ | 75,216,469 | $ | – 0 | – | $ | – 0 | – | $ | 75,216,469 | ||||||
Common Stock: | ||||||||||||||||
Information Technology | 15,223,148 | 2,310,087 | – 0 | – | 17,533,235 | |||||||||||
Financials | 6,904,497 | 5,211,539 | – 0 | – | 12,116,036 | |||||||||||
Consumer Discretionary | 9,730,723 | 1,918,728 | – 0 | – | 11,649,451 | |||||||||||
Health Care | 10,065,766 | 969,100 | – 0 | – | 11,034,866 | |||||||||||
Industrials | 5,112,734 | 3,140,033 | – 0 | – | 8,252,767 | |||||||||||
Consumer Staples | 3,176,220 | 2,092,418 | – 0 | – | 5,268,638 | |||||||||||
Telecommunication Services | 375,823 | 2,134,600 | – 0 | – | 2,510,423 | |||||||||||
Materials | 1,338,325 | 1,108,255 | – 0 | – | 2,446,580 | |||||||||||
Energy | 1,169,229 | 1,167,611 | – 0 | – | 2,336,840 | |||||||||||
Utilities | 431,805 | 749,053 | – 0 | – | 1,180,858 | |||||||||||
Real Estate | 558,098 | 50,920 | – 0 | – | 609,018 | |||||||||||
Governments – Treasuries | – 0 | – | 16,868,429 | – 0 | – | 16,868,429 | ||||||||||
Corporates – Investment Grade | – 0 | – | 13,040,548 | – 0 | – | 13,040,548 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 5,784,193 | – 0 | – | 5,784,193 | ||||||||||
Inflation-Linked Securities | – 0 | – | 5,342,979 | – 0 | – | 5,342,979 | ||||||||||
Covered Bonds | – 0 | – | 2,924,439 | – 0 | – | 2,924,439 |
68 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Collateralized Mortgage Obligations | $ | – 0 | – | $ | 2,123,179 | $ | 30,279 | $ | 2,153,458 | |||||||
Agencies | – 0 | – | 1,897,552 | – 0 | – | 1,897,552 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 1,002,681 | 31,613 | 1,034,294 | |||||||||||
Local Governments – Provincial Bonds | – 0 | – | 726,503 | – 0 | – | 726,503 | ||||||||||
Asset-Backed Securities | – 0 | – | 248,493 | 328,168 | 576,661 | |||||||||||
Collateralized Loan Obligations | – 0 | – | – 0 | – | 502,753 | 502,753 | ||||||||||
Quasi-Sovereigns | – 0 | – | 421,901 | – 0 | – | 421,901 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 296,467 | – 0 | – | 296,467 | ||||||||||
Local Governments – US Municipal Bonds | – 0 | – | 247,886 | – 0 | – | 247,886 | ||||||||||
Options Purchased – Calls | – 0 | – | 19,379 | – 0 | – | 19,379 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 19,648,652 | – 0 | – | – 0 | – | 19,648,652 | ||||||||||
U.S. Treasury Bills | – 0 | – | 2,450,000 | – 0 | – | 2,450,000 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 1,224,800 | – 0 | – | – 0 | – | 1,224,800 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 150,176,289 | 74,246,973 | 892,813 | 225,316,075 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 43,130 | – 0 | – | – 0 | – | 43,130 | (b) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 864,848 | – 0 | – | 864,848 | ||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 668,717 | – 0 | – | 668,717 | (b) | |||||||||
Inflation (CPI) Swaps | – 0 | – | 484,033 | – 0 | – | 484,033 | ||||||||||
Total Return Swaps | – 0 | – | 180,194 | – 0 | – | 180,194 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (769,645 | ) | (120,925 | ) | – 0 | – | (890,570 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (1,584,439 | ) | – 0 | – | (1,584,439 | ) | ||||||||
Call Options Written | – 0 | – | (183,000 | ) | – 0 | – | (183,000 | ) | ||||||||
Put Options Written | – 0 | – | (505,688 | ) | – 0 | – | (505,688 | ) | ||||||||
Currency Options Written | – 0 | – | (28,160 | ) | – 0 | – | (28,160 | ) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (805,387 | ) | – 0 | – | (805,387 | )(b) | ||||||||
Credit Default Swaps | – 0 | – | (17,271 | ) | – 0 | – | (17,271 | ) | ||||||||
Total Return Swaps | – 0 | – | (148,266 | ) | – 0 | – | (148,266 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 149,449,774 | $ | 73,051,629 | $ | 892,813 | $ | 223,394,216 | ||||||||
|
|
|
|
|
|
|
|
(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 swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Centrally cleared swaps with upfront premiums are presented here at market value. |
(c) | There were no transfers between Level 1 and Level 2 during the reporting period. |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 69 |
NOTES TO FINANCIAL STATEMENTS (continued)
The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Collateralized Mortgage Obligations | Commercial Mortgage Backed- Securities | Asset- Backed Securities | ||||||||||
Balance as of 8/31/17 | $ | 29,085 | $ | 128,199 | $ | 350,116 | ||||||
Accrued discounts/(premiums) | 65 | 1 | (60 | ) | ||||||||
Realized gain (loss) | – 0 | – | (1,268 | ) | 1,769 | |||||||
Change in unrealized appreciation/depreciation | 1,129 | 1,388 | (4,148 | ) | ||||||||
Purchases/Payups | – 0 | – | – 0 | – | 114,985 | |||||||
Sales/Paydowns | – 0 | – | (96,657 | ) | (47,094 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | (87,400 | ) | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/18 | $ | 30,279 | $ | 31,613 | $ | 328,168 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/18(a) | $ | 1,129 | $ | (2 | ) | $ | (2,452 | ) | ||||
|
|
|
|
|
| |||||||
Collateralized Loan Obligations | Total | |||||||||||
Balance as of 8/31/17 | $ | – 0 | – | $ | 507,400 | |||||||
Accrued discounts/(premiums) | – 0 | – | 6 | |||||||||
Realized gain (loss) | – 0 | – | 501 | |||||||||
Change in unrealized appreciation/depreciation | 2,753 | 1,072 | ||||||||||
Purchases/Payups | 500,000 | 614,985 | ||||||||||
Sales/Paydowns | – 0 | – | (143,751 | ) | ||||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | ||||||||
Transfers out of Level 3 | – 0 | – | (87,400 | ) | ||||||||
|
|
|
| |||||||||
Balance as of 2/28/18 | $ | 502,753 | $ | 892,813 | (b) | |||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/18(a) | $ | 2,753 | $ | 1,428 | ||||||||
|
|
|
|
(a) | The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying statement of operations. |
(b) | There were de minimis transfers under 1% of net assets during the reporting period. |
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Strategy. 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
70 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any 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, 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 Strategy’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 71 |
NOTES TO FINANCIAL STATEMENTS (continued)
currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Strategy’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 Strategy may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Strategy’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 Strategy’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Strategy 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 Strategy amortizes premiums and accretes discounts as adjustments to interest income.
6. Class Allocations
All income earned and expenses incurred by the Strategy are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Strategy represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. 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
72 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement (the “Advisory Agreement”), the Strategy pays the Adviser an advisory fee at an annual rate of .55% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion of the Strategy’s average daily net assets. The fee is accrued daily and paid monthly.
The Strategy may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. In connection with the investment by the Strategy in the Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Strategy in an amount equal to the Strategy’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Strategy as an acquired fund fee and expense. For the six months ended February 28, 2018, such waivers amounted to $28,269.
In connection with the Strategy’s investments in AB All Market Alternative Return Portfolio (“AMAR”), the Adviser has contractually agreed to waive its fees and/or reimburse expenses payable by the Strategy in an amount equal to the benefit to the Adviser of reduced waivers and/or reimbursements under the expense limitation undertaking in place for the AMAR as a result of the investment of Strategy assets in AMAR. In connection with the Strategy’s investments in other AB mutual funds, the Adviser has contractually agreed to waive fees and/or reimburse the expenses payable to the Adviser by the Strategy in an amount equal to the Strategy’s share of the advisory fees of AB mutual funds, as paid by the Strategy as an acquired fund fee and expense. These fee waivers and/or expense reimbursements will remain in effect until December 31, 2018. For the six months ended February 28, 2018, such waivers and/or reimbursements amounted to $226,290.
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NOTES TO FINANCIAL STATEMENTS (continued)
A summary of the Strategy’s transactions in AB mutual funds for the six months ended February 28, 2018 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 8/31/17 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change in Unrealized Appr./ (Depr.) (000) | Market Value 2/28/18 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
Government Money | $ | 38,652 | $ | 24,596 | $ | 43,599 | $ | – 0 | – | $ | – 0 | – | $ | 19,649 | $ | 137 | $ | – 0 | – | |||||||||||||
AB Cap Fund, Inc. – AB All Market Alternative Return Portfolio | 23,156 | – 0 | – | – 0 | – | – 0 | – | (1,595 | ) | 21,561 | – 0 | – | – 0 | – | ||||||||||||||||||
AB Bond Fund, Inc. – AB All Market Real Return Portfolio | 24,767 | 804 | 4,519 | 244 | 258 | 21,554 | 803 | – 0 | – | |||||||||||||||||||||||
AB High Income Fund, Inc. | 24,448 | 799 | 2,150 | (18 | ) | (716 | ) | 22,363 | 795 | – 0 | – | |||||||||||||||||||||
Government Money Market Portfolio* | 139 | 11,463 | 10,377 | – 0 | – | – 0 | – | 1,225 | 3 | – 0 | – | |||||||||||||||||||||
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Total | $ | 226 | $ | (2,053 | ) | $ | 86,352 | $ | 1,738 | $ | – 0 | – | ||||||||||||||||||||
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* | Investments of cash collateral for securities lending transactions (see Note E). |
The Strategy 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 Strategy. 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 $45,657 for the six months ended February 28, 2018.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Strategy’s shares. The Distributor has advised the Strategy that it has retained front-end sales charges of $1,015 from the sale of Class A shares and received $448, $548 and $150 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 February 28, 2018.
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NOTES TO FINANCIAL STATEMENTS (continued)
Brokerage commissions paid on investment transactions for the six months ended February 28, 2018 amounted to $23,610, 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 Plans
The Strategy has adopted a Plan for each class of shares of the Strategy pursuant to Rule 12b-1 under the Investment Company Act of 1940 (each a “Plan” and collectively the “Plans”). Under the Plans, the Strategy pays distribution and servicing fees to the Distributor at an annual rate of up to .50% of the Strategy’s average daily net assets attributable to Class A shares, 1% of the Strategy’s average daily net assets attributable to both Class B and Class C shares, .50% of the Strategy’s average daily net assets attributable to Class R shares and .25% of the Strategy’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. Effective August 1, 2014, payments under the Plan in respect of Class A shares are limited to an annual rate of .25% of the Strategy’s Class A share’s average daily net assets. The Plans provide that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Strategy is not obligated under the Plans to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plans is to compensate the Distributor for its distribution services with respect to the sale of the Strategy’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plans are characterized by the staff of the Securities and Exchange Commission as being of the “compensation” plan.
In the event that a Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Strategy to the Distributor with respect to the relevant class. The Plans also provide that the Adviser may use its own resources to finance the distribution of the Strategy’s shares. The fees are accrued daily and paid monthly.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended February 28, 2018 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding | $ | 45,693,773 | $ | 47,852,760 | ||||
U.S. government securities | 31,483,367 | 31,126,751 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 75 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 are as follows:
Gross unrealized appreciation | $ | 13,248,537 | ||
Gross unrealized depreciation | (7,872,488 | ) | ||
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| |||
Net unrealized appreciation | $ | 5,376,049 | ||
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1. Derivative Financial Instruments
The Strategy 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 Strategy, as well as the methods in which they may be used are:
• | Futures |
The Strategy 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 Strategy 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 Strategy 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 Strategy enters into futures, the Strategy 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 statement of assets and liabilities. Pursuant to the contract, the Strategy 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 Strategy 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 Strategy 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
Use of long futures subjects the Strategy to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Strategy 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 February 28, 2018, the Strategy held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Strategy 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 forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Strategy. 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 February 28, 2018, the Strategy held forward currency exchange contracts for hedging and non-hedging purposes.
• | Option Transactions |
For hedging and investment purposes, the Strategy may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Strategy 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
The risk associated with purchasing an option is that the Strategy pays a premium whether or not the option is exercised. Additionally, the Strategy bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Strategy were permitted to expire without being sold or exercised, its premium would represent a loss to the Strategy. 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 Strategy writes an option, the premium received by the Strategy 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 Strategy 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 Strategy 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 Strategy. In writing an option, the Strategy 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 Strategy could result in the Strategy selling or buying a security or currency at a price different from the current market value. At February 28, 2018, the maximum payments for written put options amounted to $69,544,832. 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.
The Strategy may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties.
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NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2018, the Strategy held purchased options for hedging and non-hedging purposes. During the six months ended February 28, 2018, the Strategy held written options for hedging and non-hedging purposes.
During the six months ended February 28, 2018, the Strategy held purchased swaptions for hedging and non-hedging purposes.
• | Swaps |
The Strategy may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Strategy may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”.
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 Strategy in accordance with the terms of the respective swaps to provide value and recourse to the Strategy 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 Strategy, and/or the termination value at the end of the contract. Therefore, the Strategy 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 Strategy and the counterparty and by the posting of collateral by the counterparty to the Strategy to cover the Strategy’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Strategy accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received are
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NOTES TO FINANCIAL STATEMENTS (continued)
recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
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 Strategy enters into a centrally cleared swap, the Strategy 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 statement of assets and liabilities. Pursuant to the contract, the Strategy 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 Strategy 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 Strategy 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 Strategy is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Strategy 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 Strategy may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a
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NOTES TO FINANCIAL STATEMENTS (continued)
notional amount. The Strategy 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 Strategy 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 Strategy anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Strategy 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 Strategy receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended February 28, 2018, the Strategy held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Strategy against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended February 28, 2018, the Strategy held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Strategy 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 Strategy, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Strategy 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 Strategy receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Strategy is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Strategy will either (i) receive from
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NOTES TO FINANCIAL STATEMENTS (continued)
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 Strategy for the same referenced obligations with the same counterparty. As of February 28, 2018, the Strategy did not have Buy Contracts outstanding with respect to the same referenced obligations and same counterparty for its Sale Contracts outstanding.
Credit default swaps may involve greater risks than if a Strategy 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 Strategy is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Strategy is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Strategy 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 Strategy.
Implied credit spreads over U.S. Treasuries of comparable maturity 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.
During the six months ended February 28, 2018, the Strategy held credit default swaps for hedging and non-hedging purposes.
82 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Total Return Swaps:
The Strategy may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Strategy 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 Strategy will receive a payment from or make a payment to the counterparty.
During the six months ended February 28, 2018, the Strategy held total return swaps for hedging and non-hedging purposes.
The Strategy typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Strategy typically may offset with the OTC counterparty certain derivative financial instruments’ 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. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Strategy’s net liability, held by the defaulting party, may be delayed or denied.
The Strategy’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Strategy decline below specific levels (“net asset contingent features”). If these levels are triggered, the Strategy’s OTC counterparty has the right to terminate such transaction and require the Strategy to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 83 |
NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2018, the Strategy had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 39,289 | * | Receivable/Payable for variation margin on futures | $ | 136,880 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | 3,841 | * | Receivable/Payable for variation margin on futures | 753,690 | * | ||||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | 145,796 | * | Receivable/Payable for variation margin on centrally cleared swaps | 146,069 | * | ||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts |
| 864,848 |
| Unrealized depreciation on forward currency exchange contracts |
| 1,584,439 |
| ||||
Foreign exchange contracts | Investments in securities, at value |
| 19,379 |
| ||||||||
Foreign exchange contracts | Options written, at value |
| 28,160 |
| ||||||||
Equity contracts | Options written, at value | 688,688 | ||||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps |
| 484,033 |
| ||||||||
Credit contracts | Unrealized depreciation on credit default swaps | 1,518 | ||||||||||
Equity contracts | Unrealized appreciation on total return swaps | 180,194 | Unrealized depreciation on total return swaps | 148,266 | ||||||||
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Total | $ | 1,737,380 | $ | 3,487,710 | ||||||||
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* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) of futures and centrally cleared swaps as reported in the portfolio of investments. |
84 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (968,192 | ) | $ | (570,959 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (803,426 | ) | (707,939 | ) | |||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (431,500 | ) | (31,110 | ) | |||||
Interest rate contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (11,839 | ) | 25,256 | ||||||
Foreign exchange contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (40,356 | ) | (16,028 | ) | |||||
Foreign exchange contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 159,387 | 12,562 | |||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 21,111 | (71,367 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (24,865 | ) | 572,265 |
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 85 |
NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | 24,689 | $ | 20,380 | |||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (1,037,235 | ) | 148,356 | ||||||
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| |||||||
Total | $ | (3,112,226 | ) | $ | (618,584 | ) | ||||
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The following table represents the average monthly volume of the Strategy’s derivative transactions during the six months ended February 28, 2018:
Futures: | ||||
Average original value of buy contracts | $ | 77,763,871 | ||
Average original value of sale contracts | $ | 26,646,299 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 44,179,457 | ||
Average principal amount of sale contracts | $ | 77,254,052 | ||
Purchased Options: | ||||
Average notional amount | $ | 3,380,709 | ||
Purchased Swaptions: | ||||
Average notional amount | $ | 18,495,000 | (a) | |
Options Written: | ||||
Average notional amount | $ | 3,966,960 | ||
Inflation Swaps: | ||||
Average notional amount | $ | 28,301,429 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 3,313,449 | (b) | |
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 370,000 | (c) | |
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 6,669,557 | ||
Average notional amount of sale contracts | $ | 28,602,891 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 19,828,903 |
(a) | Positions were open for less than one month during the period. |
(b) | Positions were open for three months during the period. |
(c) | Positions were open for two months during the period. |
86 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
For financial reporting purposes, the Strategy does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Strategy’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Strategy as of February 28, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 2,500 | $ | (2,500 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Bank of America, NA | 106,004 | (46,986 | ) | – 0 | – | – 0 | – | 59,018 | ||||||||||||
Barclays Bank PLC | 529,831 | (131,460 | ) | (310,000 | ) | – 0 | – | 88,371 | ||||||||||||
BNP Paribas SA | 6,927 | (1,897 | ) | – 0 | – | – 0 | – | 5,030 | ||||||||||||
Citibank, NA | 12,973 | (12,973 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 5,366 | (5,366 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 169,827 | (169,827 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 76,584 | (6,247 | ) | – 0 | – | – 0 | – | 70,337 | ||||||||||||
JPMorgan Chase Bank, NA | 47,792 | (9,773 | ) | – 0 | – | – 0 | – | 38,019 | ||||||||||||
Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | 34,569 | (25,593 | ) | – 0 | – | – 0 | – | 8,976 | ||||||||||||
Royal Bank of Scotland PLC | 40,740 | (40,740 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 40,494 | (40,494 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 415,061 | (378,485 | ) | – 0 | – | – 0 | – | 36,576 | ||||||||||||
UBS AG | 59,786 | (58,299 | ) | – 0 | – | – 0 | – | 1,487 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,548,454 | $ | (930,640 | ) | $ | (310,000 | ) | $ | – 0 | – | $ | 307,814 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 87 |
NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivatives Liabilities | |||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 68,240 | $ | (2,500 | ) | $ | – 0 | – | $ | – 0 | – | $ | 65,740 | |||||||
Bank of America, NA | 46,986 | (46,986 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Barclays Bank PLC | 131,460 | (131,460 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 1,897 | (1,897 | ) | – 0 | – | 0 | – 0 | – | ||||||||||||
Citibank, NA | 322,657 | (12,973 | ) | – 0 | – | (309,684 | ) | – 0 | – | |||||||||||
Credit Suisse International | 14,070 | – 0 | – | – 0 | – | – 0 | – | 14,070 | ||||||||||||
Deutsche Bank AG | 36,770 | (5,366 | ) | – 0 | – | – 0 | – | 31,404 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 773,260 | (169,827 | ) | – 0 | – | (492,284 | ) | 111,149 | ||||||||||||
HSBC Bank USA | 6,247 | (6,247 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 9,773 | (9,773 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | 25,593 | (25,593 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 121,219 | (40,740 | ) | – 0 | – | – 0 | – | 80,479 | ||||||||||||
Standard Chartered Bank | 471,868 | (40,494 | ) | – 0 | – | – 0 | – | 431,374 | ||||||||||||
State Street Bank & Trust Co. | 378,485 | (378,485 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 58,299 | (58,299 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,466,824 | $ | (930,640 | ) | $ | – 0 | – | $ | (801,968 | ) | $ | 734,216 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be 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. |
2. Currency Transactions
The Strategy may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Strategy 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 Strategy 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 Strategy 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 Strategy 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).
88 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Securities Lending
The Strategy may enter into securities lending transactions. Under the Strategy’s securities lending program, all loans of securities will be collateralized continually by cash. The Strategy 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 Strategy 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 Strategy to receive collateral consisting of cash in an amount exceeding the value of the securities loaned. The Strategy 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 Strategy amounts equal to any income or other distributions from the securities. The Strategy will not be able to exercise voting rights with respect to 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 Strategy 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 Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Strategy, 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 statement of assets and liabilities. When the Strategy lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. At February 28, 2018, the Strategy had securities on loan with a value of $1,164,950 and had received cash collateral which has been invested into Government Money Market Portfolio of $1,224,800. The cash collateral will be adjusted on the next business day to maintain the required collateral amount. The Strategy earned securities lending income of $0 and $2,907 from the borrowers and Government Money Market Portfolio, respectively, for the six months ended February 28, 2018; these amounts are reflected in the statement of operations. In connection with the cash collateral investment by the Strategy in the Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Strategy’s share of the advisory fees of the Government Money Market Portfolio, as borne indirectly by the Strategy as an acquired fund fee and expense. For the six months ended February 28, 2018, such waiver amounted to $426. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 89 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE F
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 522,650 | 496,585 | $ | 6,661,502 | $ | 6,156,856 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 924,026 | 323,194 | 11,208,429 | 3,897,720 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class B | 10,201 | 251,390 | 128,005 | 3,101,646 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 494,189 | 1,610,871 | 6,043,866 | 20,083,684 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,314,449 | ) | (3,586,981 | ) | (16,556,293 | ) | (44,459,671 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 636,617 | (904,941 | ) | $ | 7,485,509 | $ | (11,219,765 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Shares sold | 4,808 | 5,745 | $ | 60,918 | $ | 71,248 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 5,154 | – 0 | – | 63,965 | – 0 | – | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (10,085 | ) | (253,089 | ) | (128,005 | ) | (3,101,646 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (14,240 | ) | (57,734 | ) | (180,547 | ) | (712,199 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (14,363 | ) | (305,078 | ) | $ | (183,669 | ) | $ | (3,742,597 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 45,404 | 128,122 | $ | 567,243 | $ | 1,551,928 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 134,904 | 85,143 | 1,635,037 | 1,014,906 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (497,136 | ) | (1,633,229 | ) | (6,043,866 | ) | (20,083,684 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (627,073 | ) | (1,321,894 | ) | (7,869,944 | ) | (16,089,264 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (943,901 | ) | (2,741,858 | ) | $ | (11,711,530 | ) | $ | (33,606,114 | ) | ||||||||||||||
|
90 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 100,344 | 346,362 | $ | 1,269,588 | $ | 4,308,772 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 48,553 | 19,709 | 590,896 | 238,482 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (136,193 | ) | (630,737 | ) | (1,732,242 | ) | (7,833,847 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 12,704 | (264,666 | ) | $ | 128,242 | $ | (3,286,593 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold | 29,742 | 70,920 | $ | 370,884 | $ | 877,350 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 22,000 | 7,634 | 267,738 | 92,062 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (28,414 | ) | (125,663 | ) | (356,288 | ) | (1,567,202 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 23,328 | (47,109 | ) | $ | 282,334 | $ | (597,790 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold | 104,459 | 35,879 | $ | 1,261,353 | $ | 442,298 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 39,973 | 13,687 | 484,073 | 164,653 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (67,524 | ) | (82,408 | ) | (839,666 | ) | (1,015,787 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 76,908 | (32,842 | ) | $ | 905,760 | $ | (408,836 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Shares sold | 967 | 4,895 | $ | 12,013 | $ | 60,917 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 186 | 1,038 | 2,293 | 12,532 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (3,134 | ) | (39,633 | ) | (38,644 | ) | (507,820 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (1,981 | ) | (33,700 | ) | $ | (24,338 | ) | $ | (434,371 | ) | ||||||||||||||
|
NOTE G
Risks Involved in Investing in the Strategy
Interest Rate Risk and Credit Risk—Interest rate risk is the risk that changes in interest rates will affect the value of the Strategy’s investments in fixed-income debt securities such as bonds or notes. Increases in interest rates may cause the value of the Strategy’s investments to decline. Credit risk is the risk that the issuer or guarantor of a debt security, or the
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 91 |
NOTES TO FINANCIAL STATEMENTS (continued)
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.
Allocation Risk—The allocation of investments among different investment styles, such as equity or debt, growth or value, U.S. or non-U.S. securities, or diversification strategies, may have a more significant effect on the Strategy’s net asset value, or NAV, when one of these investments is performing more poorly than another.
High Yield 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 Strategy’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.
Alternative Markets Risk—Many alternative investments can be volatile and may be illiquid. Their performance may have little correlation with the performance of equity or fixed-income markets, and they may not perform in accordance with expectations.
Derivatives Risk—The Strategy 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 Strategy, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in
92 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
significant losses, including losses that are far greater than the value of the derivatives reflected on the statement of assets and liabilities.
Leverage Risk—When the Strategy 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 Strategy’s investments. The Strategy 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 other types of derivative instruments by the Strategy, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Strategy than if the Strategy were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. In addition, shareholders of a Strategy bear both their proportionate share of expenses in the Strategy (including management fees) and, indirectly, the expenses of the investment companies.
Indemnification Risk—In the ordinary course of business, the Strategy enters into contracts that contain a variety of indemnifications. The Strategy’s maximum exposure under these arrangements is unknown. However, the Strategy has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Strategy 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 Strategy, participates 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 statement of operations. The Strategy did not utilize the Facility during the six months ended February 28, 2018.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 93 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2017 and August 31, 2016 were as follows:
2017 | 2016 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 5,985,414 | $ | 6,055,287 | ||||
|
|
|
| |||||
Total taxable distributions | $ | 5,985,414 | $ | 6,055,287 | ||||
|
|
|
|
As of August 31, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 6,227,336 | ||
Undistributed capital gains | 3,050,091 | (a) | ||
Accumulated capital and other losses | (37,934 | )(b) | ||
Unrealized appreciation/(depreciation) | 3,619,626 | (c) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 12,859,119 | ||
|
|
(a) | During the fiscal year, the Strategy utilized $15,603,824 of capital loss carry forwards to offset current year net realized gains. |
(b) | As of August 31, 2017, the cumulative deferred loss on straddles was $37,934. |
(c) | 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, the tax treatment of passive foreign investment companies (PFICs), and the recognition for tax purposes of unrealized gains/ losses on certain derivative instruments. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of August 31, 2017, the Strategy did not have any capital loss carryforwards.
NOTE J
Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables —Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
94 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE K
Subsequent Event
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Strategy’s financial statements through this date.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 95 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 12.79 | $ 12.38 | $ 12.18 | $ 12.43 | $ 11.59 | $ 11.34 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .10 | (b) | .38 | (b) | .27 | (b) | .28 | (b) | .23 | (b) | .20 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .02 | .34 | .19 | (.48 | ) | .82 | .25 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .12 | .72 | .46 | (.20 | ) | 1.05 | .45 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.75 | ) | (.31 | ) | (.26 | ) | (.05 | ) | (.21 | ) | (.20 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.17 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.92 | ) | (.31 | ) | (.26 | ) | (.05 | ) | (.21 | ) | (.20 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.99 | $ 12.79 | $ 12.38 | $ 12.18 | $ 12.43 | $ 11.59 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | .88 | %* | 5.93 | %* | 3.86 | % | (1.59 | )% | 9.20 | % | 3.93 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $171,429 | $174,667 | $180,380 | $189,751 | $209,189 | $219,653 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | 1.03 | %^ | 1.01 | % | .94 | % | .92 | % | 1.02 | % | 1.03 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.25 | %^ | 1.09 | % | 1.00 | % | .98 | % | 1.03 | % | 1.03 | % | ||||||||||||
Net investment income | 1.55 | %^(b) | 3.08 | %(b) | 2.20 | %(b) | 2.28 | %(b) | 1.88 | %(b) | 1.70 | % | ||||||||||||
Portfolio turnover rate | 38 | % | 86 | % | 5 | % | 6 | % | 11 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .26 | %^ | .22 | % | .24 | % | .21 | % | .04 | % | .03 | % |
See footnote summary on page 103.
96 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class B | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 12.85 | $ 12.23 | $ 12.00 | $ 12.29 | $ 11.50 | $ 11.29 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .05 | (b) | .29 | (b) | .21 | (b) | .22 | (b) | .15 | (b) | .12 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .02 | .33 | .16 | (.51 | ) | .81 | .24 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .07 | .62 | .37 | (.29 | ) | .96 | .36 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.50 | ) | – 0 | – | (.14 | ) | – 0 | – | (.17 | ) | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.17 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.67 | ) | – 0 | – | (.14 | ) | – 0 | – | (.17 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.25 | $ 12.85 | $ 12.23 | $ 12.00 | $ 12.29 | $ 11.50 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | .50 | %* | 5.07 | %* | 3.11 | % | (2.36 | )% | 8.46 | % | 3.17 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $1,245 | $1,490 | $5,150 | $18,706 | $37,181 | $52,372 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | 1.79 | %^ | 1.76 | % | 1.69 | % | 1.68 | % | 1.73 | % | 1.74 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 2.01 | %^ | 1.84 | % | 1.75 | % | 1.74 | % | 1.74 | % | 1.74 | % | ||||||||||||
Net investment income | .77 | %^(b) | 2.37 | %(b) | 1.77 | %(b) | 1.80 | %(b) | 1.28 | %(b) | 1.06 | % | ||||||||||||
Portfolio turnover rate | 38 | % | 86 | % | 5 | % | 6 | % | 11 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .26 | %^ | .22 | % | .24 | % | .21 | % | .04 | % | .03 | % |
See footnote summary on page 103.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 97 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 12.58 | $ 12.17 | $ 12.00 | $ 12.29 | $ 11.50 | $ 11.29 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .05 | (b) | .29 | (b) | .17 | (b) | .19 | (b) | .14 | (b) | .11 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .02 | .32 | .19 | (.48 | ) | .82 | .25 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .07 | .61 | .36 | (.29 | ) | .96 | .36 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.51 | ) | (.20 | ) | (.19 | ) | – 0 | – | (.17 | ) | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.17 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.68 | ) | (.20 | ) | (.19 | ) | – 0 | – | (.17 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.97 | $ 12.58 | $ 12.17 | $ 12.00 | $ 12.29 | $ 11.50 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | .44 | %* | 5.12 | %* | 3.09 | % | (2.36 | )% | 8.47 | % | 3.18 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $28,326 | $41,637 | $73,686 | $83,574 | $95,109 | $104,830 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | 1.75 | %^ | 1.75 | % | 1.69 | % | 1.68 | % | 1.73 | % | 1.73 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.97 | %^ | 1.82 | % | 1.75 | % | 1.74 | % | 1.73 | % | 1.73 | % | ||||||||||||
Net investment income | .80 | %^(b) | 2.41 | %(b) | 1.45 | %(b) | 1.54 | %(b) | 1.20 | %(b) | .98 | % | ||||||||||||
Portfolio turnover rate | 38 | % | 86 | % | 5 | % | 6 | % | 11 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .26 | %^ | .22 | % | .24 | % | .21 | % | .04 | % | .03 | % |
See footnote summary on page 103.
98 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 12.86 | $ 12.45 | $ 12.24 | $ 12.48 | $ 11.62 | $ 11.35 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .11 | (b) | .41 | (b) | .32 | (b) | .33 | (b) | .24 | (b) | .24 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .03 | .33 | .17 | (.49 | ) | .85 | .24 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .14 | .74 | .49 | (.16 | ) | 1.09 | .48 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.79 | ) | (.33 | ) | (.28 | ) | (.08 | ) | (.23 | ) | (.21 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.17 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.96 | ) | (.33 | ) | (.28 | ) | (.08 | ) | (.23 | ) | (.21 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.04 | $ 12.86 | $ 12.45 | $ 12.24 | $ 12.48 | $ 11.62 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 1.05 | %* | 6.15 | %* | 4.12 | % | (1.31 | )% | 9.52 | % | 4.27 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $8,834 | $9,274 | $12,277 | $13,802 | $16,800 | $11,701 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | .78 | %^ | .75 | % | .69 | % | .67 | % | .72 | % | .73 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.00 | %^ | .83 | % | .75 | % | .73 | % | .73 | % | .73 | % | ||||||||||||
Net investment income | 1.78 | %^(b) | 3.26 | %(b) | 2.60 | %(b) | 2.66 | %(b) | 1.97 | %(b) | 2.03 | % | ||||||||||||
Portfolio turnover rate | 38 | % | 86 | % | 5 | % | 6 | % | 11 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .26 | %^ | .22 | % | .24 | % | .21 | % | .04 | % | .03 | % |
See footnote summary on page 103.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 99 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 12.76 | $ 12.36 | $ 12.15 | $ 12.42 | $ 11.60 | $ 11.37 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .07 | (b) | .33 | (b) | .25 | (b) | .25 | (b) | .19 | (b) | .15 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .03 | .32 | .17 | (.50 | ) | .82 | .25 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .10 | .65 | .42 | (.25 | ) | 1.01 | .40 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.67 | ) | (.25 | ) | (.21 | ) | (.02 | ) | (.19 | ) | (.17 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.17 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.84 | ) | (.25 | ) | (.21 | ) | (.02 | ) | (.19 | ) | (.17 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.02 | $ 12.76 | $ 12.36 | $ 12.15 | $ 12.42 | $ 11.60 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | .65 | %* | 5.42 | %* | 3.56 | % | (2.02 | )% | 8.84 | % | 3.53 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $4,122 | $4,078 | $4,532 | $5,632 | $7,237 | $7,280 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | 1.43 | %^ | 1.42 | % | 1.34 | % | 1.34 | % | 1.39 | % | 1.39 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.65 | %^ | 1.50 | % | 1.40 | % | 1.40 | % | 1.39 | % | 1.39 | % | ||||||||||||
Net investment income | 1.15 | %^(b) | 2.63 | %(b) | 2.03 | %(b) | 2.00 | %(b) | 1.54 | %(b) | 1.27 | % | ||||||||||||
Portfolio turnover rate | 38 | % | 86 | % | 5 | % | 6 | % | 11 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .26 | %^ | .22 | % | .24 | % | .21 | % | .04 | % | .03 | % |
See footnote summary on page 103.
100 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 12.75 | $ 12.35 | $ 12.15 | $ 12.41 | $ 11.57 | $ 11.32 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .09 | (b) | .37 | (b) | .25 | (b) | .27 | (b) | .24 | (b) | .18 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .03 | .32 | .20 | (.49 | ) | .81 | .26 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .12 | .69 | .45 | (.22 | ) | 1.05 | .44 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.73 | ) | (.29 | ) | (.25 | ) | (.04 | ) | (.21 | ) | (.19 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.17 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.90 | ) | (.29 | ) | (.25 | ) | (.04 | ) | (.21 | ) | (.19 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.97 | $ 12.75 | $ 12.35 | $ 12.15 | $ 12.41 | $ 11.57 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | .89 | %* | 5.72 | %* | 3.82 | % | (1.73 | )% | 9.22 | % | 3.91 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $7,580 | $7,096 | $7,277 | $8,204 | $8,611 | $8,519 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)‡ | 1.13 | %^ | 1.11 | % | 1.03 | % | 1.01 | % | 1.08 | % | 1.07 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)‡ | 1.35 | %^ | 1.19 | % | 1.09 | % | 1.07 | % | 1.08 | % | 1.07 | % | ||||||||||||
Net investment income | 1.42 | %^(b) | 2.96 | %(b) | 2.08 | %(b) | 2.19 | %(b) | 1.97 | %(b) | 1.58 | % | ||||||||||||
Portfolio turnover rate | 38 | % | 86 | % | 5 | % | 6 | % | 11 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .26 | %^ | .22 | % | .24 | % | .21 | % | .04 | % | .03 | % |
See footnote summary on page 103.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 101 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 12.82 | $ 12.42 | $ 12.21 | $ 12.46 | $ 11.60 | $ 11.33 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .14 | (b) | .40 | (b) | .29 | (b) | .41 | (b) | .31 | (b) | .23 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | – 0 | – | .34 | .20 | (.59 | ) | .78 | .25 | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .14 | .74 | .49 | (.18 | ) | 1.09 | .48 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.61 | ) | (.34 | ) | (.28 | ) | (.07 | ) | (.23 | ) | (.21 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.17 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.78 | ) | (.34 | ) | (.28 | ) | (.07 | ) | (.23 | ) | (.21 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.18 | $ 12.82 | $ 12.42 | $ 12.21 | $ 12.46 | $ 11.60 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 1.01 | %* | 6.09 | %* | 4.11 | % | (1.41 | )% | 9.54 | % | 4.26 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $10 | $36 | $453 | $454 | $538 | $874 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | .70 | %^ | .78 | % | .72 | % | .70 | % | .75 | % | .75 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | .92 | %^ | .86 | % | .77 | % | .76 | % | .75 | % | .75 | % | ||||||||||||
Net investment income | 2.18 | %^(b) | 3.25 | %(b) | 2.41 | %(b) | 3.32 | %(b) | 2.56 | %(b) | 1.98 | % | ||||||||||||
Portfolio turnover rate | 38 | % | 86 | % | 5 | % | 6 | % | 11 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .26 | %^ | .22 | % | .24 | % | .21 | % | .04 | % | .03 | % |
See footnote summary on page 103.
102 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of fees and expenses waived/reimbursed by the Adviser. |
(c) | 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 Strategy distributions or the redemption of Strategy shares. Total investment return calculated for a period of less than one year is not annualized. |
(d) | In connection with the Strategy’s investments in affiliated underlying portfolios, the Strategy incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Strategy in an amount equal to the Strategy’s pro rata share of certain acquired fund fees and expenses, and for the six months ended February 28, 2018 and for the year ended August 31, 2017, such waiver amounted to .22% (annualized) and .08%, respectively. |
* | Includes the impact of proceeds received and credited to the Strategy resulting from class action settlements, which enhanced the Strategy’s performance for the six months ended February 28, 2018 and year ended August 31, 2017 by .03% and .28%, respectively. |
^ | Annualized. |
See notes to financial statements.
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 103 |
TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Michael J. Downey(1) William H. Foulk, Jr.(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 | ||
Alexander Barenboym(2), Daniel J. Loewy(2), Vice President Emilie D. Wrapp, Clerk Joseph J. Mantineo, Treasurer and Chief Financial Officer | Phyllis J. Clarke, Controller and Chief Accounting Officer Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company
Principal Underwriter AllianceBernstein Investments, Inc.
Legal Counsel Seward & Kissel LLP | Transfer Agent AllianceBernstein Investor Services, Inc.
Independent Registered Public Accounting Firm Ernst & Young LLP |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Strategy’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Barenboym and Loewy are the investment professionals primarily responsible for the day-to-day management of the AB Conservative Wealth Strategy’s portfolio. |
104 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Conservative Wealth Strategy (the “Fund”) at a meeting held on August 1-2, 2017 (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 Company’s Senior Officer (who is also the Company’s Independent Compliance Officer), who acted as their independent fee consultant, 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 Company’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 review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. 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
abfunds.com | AB CONSERVATIVE WEALTH STRATEGY | 105 |
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 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 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 and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2015 and 2016 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Company’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 relationships 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 relationships with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the underlying funds advised by the Adviser in which the Fund invests, 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 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
106 | AB CONSERVATIVE WEALTH STRATEGY | abfunds.com |
transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed information prepared by an analytical service that is not affiliated with the Adviser (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a peer group and a peer universe, and information prepared by the Adviser showing performance of the Class A Shares of the Fund against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2017 and (in the case of comparisons with the broad-based securities market index) for the period from inception. 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 the 15(c) service provider concerning advisory fee rates paid by other funds in the same 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 compared the Fund’s contractual effective advisory fee rate with a peer group median.
The Adviser informed the directors that there were no institutional products managed by it that have a substantially similar investment style.
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 also 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.
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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 the 15(c) provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the information included the pro forma expense ratio to reflect a reduction in the Fund’s expense ratio effective since the recent changes to the Fund’s investment strategies. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s 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. The directors noted that the Fund’s pro forma expense ratio was above the peer group median. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s pro forma expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. 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 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 shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
US CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
US GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
INTERNATIONAL/ GLOBAL CORE
Global Core Equity Portfolio
International Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed International Portfolio
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
INTERNATIONAL/ GLOBAL GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund1
INTERNATIONAL/ GLOBAL EQUITY (continued)
INTERNATIONAL/ GLOBAL VALUE
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
Tax-Aware Fixed Income Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
FlexFee™ High Yield Portfolio1
FlexFee™ International Bond Portfolio
Global Bond Fund
High Income Fund
Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
Unconstrained Bond Fund
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
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
CLOSED-END FUNDS
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio 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.
1 | Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio. |
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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AB CONSERVATIVE WEALTH STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
CW-0152-0218
FEB 02.28.18
SEMI-ANNUAL REPORT
AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO
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.
FROM THE PRESIDENT |
Dear Shareholder,
We are pleased to provide this report for AB Tax-Managed All Market Income Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
As always, AB strives to keep clients ahead of what’s next by:
+ | Transforming uncommon insights into uncommon knowledge with a global research scope |
+ | Navigating markets with seasoned investment experience and sophisticated solutions |
+ | Providing thoughtful investment insights and actionable ideas |
Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.
AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.
For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in the AB Mutual Funds.
Sincerely,
Robert M. Keith
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 1 |
SEMI-ANNUAL REPORT
April 13, 2018
This report provides management’s discussion of fund performance for AB Tax-Managed All Market Income Portfolio for the semi-annual reporting period ended February 28, 2018.
Effective April 17, 2017, the Fund changed its name from AB Tax-Managed Balanced Wealth Strategy to AB Tax-Managed All Market Income Portfolio, and its investment objective from total return to current income with consideration of capital appreciation. The Fund also made certain material changes to its principal strategies, including the elimination of relatively static asset allocation targets for investment, but continues to invest a majority of its assets in tax-exempt debt securities. Accordingly, the performance shown for periods prior to April 17, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
The Fund’s investment objective is to seek current income with consideration of capital appreciation.
NAV RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
6 Months | 12 Months | |||||||
AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO1 | ||||||||
Class A Shares | -0.50% | 4.77% | ||||||
Class B Shares2 | -0.88% | 3.92% | ||||||
Class C Shares | -0.90% | 3.96% | ||||||
Advisor Class Shares3 | -0.45% | 4.96% | ||||||
Primary Benchmark: Bloomberg Barclays 5-Year GO Municipal Bond Index | -2.03% | 0.52% | ||||||
MSCI ACWI (net)4 | 9.07% | 18.79% | ||||||
S&P 500 Index | 10.84% | 17.10% | ||||||
Blended Benchmark: 50% Bloomberg Barclays 5-Year GO Municipal Bond Index / 50% S&P 500 Index | 4.31% | 8.60% |
1 | 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 February 28, 2018, by 0.00% and 0.02%, respectively. |
2 | Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information. |
3 | Please note that this share class is 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. |
4 | Effective July 14, 2017, in connection with the changes in investment strategy, the broad-based index used for comparison with the Fund’s performance has changed from the S&P 500 to the MSCI ACWI (net) because the new index more closely reflects the Fund’s investments. |
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INVESTMENT RESULTS
The preceding table shows the Fund’s performance compared to its primary benchmark, the Bloomberg Barclays 5-Year General Obligation (“GO”) Municipal Bond Index, and the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) net for the six- and 12-month periods ended February 28, 2018. Also included are the Fund’s previous benchmarks: the Standard and Poor’s (“S&P”) 500 Index and the blended benchmark, composed of 50% Bloomberg Barclays 5-Year GO Municipal Bond Index / 50% S&P 500 Index.
All share classes of the Fund outperformed the primary benchmark for both periods, but underperformed the MSCI ACWI (net), S&P 500 Index and the blended benchmark, before sales charges.
During the six-month period, equities contributed to performance, relative to the benchmark. Exposure to income equities and developed equities contributed the most, while security selection within developed equities and preferred real estate investment trusts detracted. Fixed-income and non-traditional income assets detracted, though allocation to high-income municipals contributed.
During the pre-transition period from March 1, 2017 through March 31, 2017, all underlying investment strategies or mutual funds (collectively, “Underlying Portfolios”) except US Value Portfolio, Multi-Asset Real Return Portfolio and Multi-Manager Alternative Strategies Fund contributed to absolute returns. Versus their respective style benchmarks, all Underlying Portfolios outperformed except US Value Portfolio, Volatility Management Portfolio, Multi-Asset Real Return Portfolio and Multi-Manager Alternative Strategies Fund.
The transition of this Fund occurred during April 2017, and therefore specific performance attribution for April is not materially relevant. During the month, the Fund outperformed its primary benchmark, but underperformed the MSCI ACWI (net).
During the post-transition period from May 1, 2017 through February 28, 2018, equities and fixed-income assets contributed to performance, while non-traditional assets detracted. Income equities and an allocation to high-income municipals contributed the most to returns. Security selection within equities and fixed-income assets, and an allocation to US sovereigns, detracted.
The Fund utilized derivatives for hedging and investment purposes in the form of futures, currency forwards, interest rate swaps and written options, which detracted from absolute performance for both periods, while inflation swaps and total return swaps contributed for both periods.
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MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended February 28, 2018, equities rallied amid strong corporate earnings and robust global growth data. Tax reform in the US propelled stocks higher, before and after the Tax Cuts and Jobs Act was signed into law. However, improving economic data became a cause of concern for investors toward the end of the period, after the US saw its best year-over-year growth rate in wages since June 2009. Investor sentiment was weighed down by fears regarding a potential acceleration in inflation and the risk of the US Federal Reserve tightening monetary policy faster than expected and driving bond yields higher. In February, global equities declined significantly for the first time since early 2016, before recovering modestly.
Global bonds were volatile over the period. Within emerging markets, local-currency debt and corporates rallied on improving oil prices and positive global growth, while higher global rates weighed on hard-currency debt. Investment-grade credit fell, lagging the positive returns of emerging-market local-currency government bonds, developed-market treasuries and global high yield. While developed-market treasury yields generally rose, yields in Italy, Spain and Japan moved in different directions (bond yields move inversely to price).
The municipal components may purchase municipal securities that are insured under policies issued by certain insurance companies. Historically, insured municipal securities typically received a higher credit rating, which meant that the issuer of the securities paid a lower interest rate. As a result of declines in the credit quality and associated downgrades of most fund insurers, insurance has less value than it did in the past. The market now values insured municipal securities primarily based on the credit quality of the issuer of the security with little value given to the insurance feature. In purchasing such insured securities, the Adviser evaluates the risk and return of municipal securities through its own research. If an insurance company’s rating is downgraded or the company becomes insolvent, the prices of municipal securities insured by the insurance company may decline. As of February 28, 2018, the Fund’s percentages of total investments in insured bonds and in insured bonds that have been pre-refunded (a type of bond issued to fund another callable bond, where the issuer actually decides to exercise its right to buy its bonds back before the scheduled maturity date) or escrowed to maturity were 4.17% and 0.00%, respectively.
The Fund’s Senior Investment Management Team believes that downgrades in insurance company ratings or insurance company insolvencies present limited risk to the Fund. The municipal components generally invest in investment-grade securities, as the underlying credit quality of the insured municipal securities reduces the risk of a significant reduction in the value of the insured municipal security.
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INVESTMENT POLICIES
The Adviser allocates the Fund’s investments primarily among a broad range of income-producing securities, including common stock of companies that regularly pay dividends (including real estate investment trusts or “REITs”), preferred stocks, fixed-income securities (including those with lower credit ratings) and derivatives related to these types of securities. The Fund pursues a global strategy, typically investing in securities of issuers located in the United States and in other countries throughout the world, including emerging-market countries.
In selecting equity securities for the Fund, the Adviser will focus on securities that have high dividend yields and that it believes are undervalued by the market relative to their long-term earnings potential. In order to provide diversification and the opportunity for increased return, the Adviser will also acquire equity securities for the Fund that are expected to exhibit relatively little correlation with the returns of the Fund’s holdings in high dividend yield equity securities.
The Fund intends to meet the tax requirement for passing municipal bond interest through to Fund shareholders as tax-exempt interest dividends, which currently requires that at least 50% of the Fund’s assets be invested in tax-exempt debt securities. In the event that the Internal Revenue Code or the related rules, regulations and interpretations of the Internal Revenue Service should in the future change so as to permit the Fund to pass through tax-exempt dividends when the Fund invests a lesser amount of its assets in tax-exempt debt securities, the Fund’s allocations to equity securities may increase. In selecting tax-exempt securities for the Fund’s debt investments, the Adviser may draw on the capabilities of separate investment teams that specialize in different areas that are generally defined by the maturity of the debt securities and/or their ratings. These fixed-income teams draw on the resources and expertise of the Adviser’s fixed-income research staff, which includes fixed-income research analysts and economists.
In addition, the Fund may engage in certain alternative income strategies that generally utilize derivatives to diversify sources of income and manage risk. For example, the Fund may take long positions in currency derivatives on higher yielding currencies and/or short positions in currency derivatives on lower yielding currencies.
The Adviser will adjust the Fund’s investment exposure utilizing the Adviser’s Dynamic Asset Allocation (“DAA”) approach. DAA comprises a series of analytical and forecasting tools employed by the Adviser to
(continued on next page)
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gauge fluctuations in the risk/return profile of various asset classes. DAA seeks to adjust the Fund’s investment exposure in changing market conditions and thereby reduce overall portfolio volatility by mitigating the effects of market fluctuations, while preserving consistent long-term return potential. For example, the Adviser may seek to reduce the Fund’s risk exposure to one or more assets classes when DAA suggests that market risks relevant to those asset classes are rising but return opportunities are declining. In addition to merely increasing or decreasing asset class exposure by buying or selling securities of that asset class, the Adviser may pursue DAA implementation for the Fund by investing in derivatives or exchange-traded funds.
The Adviser intends to utilize a variety of derivatives in its management of the Fund. The Adviser may use derivatives to gain exposure to an asset class, such as using interest rate derivatives to gain exposure to certain bonds. As noted above, the Adviser may separately pursue certain alternative investment strategies that utilize derivatives, and may enter into derivatives in making the adjustments called for by DAA. As a result of the use of derivatives, the Fund will frequently be leveraged in the sense that its gross investment exposure substantially exceeds its net assets.
Currency exchange rate fluctuation can have a dramatic impact on returns. The Fund’s foreign currency exposures will come from investment in securities priced or denominated in foreign currencies and from direct holdings in foreign currencies and currency-related derivatives. 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.
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DISCLOSURES AND RISKS
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays 5-Year GO Municipal Bond Index represents the performance of long-term, investment-grade tax-exempt bonds with maturities ranging from four to six years. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. The S&P 500 Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. 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. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. 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 assets 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 different investment styles, such as equity or debt, growth or value, US or non-US securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value (“NAV”) when one of these investments is performing more poorly than another.
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 and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
High Yield Debt Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
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DISCLOSURES AND RISKS (continued)
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.
Interest Rate Risk: Changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. When interest rates rise, the value of existing 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 heightened interest rate risk due to rising rates as the current period of historically low interest rates may be ending. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Fund’s investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular state’s municipal securities, the Fund may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism and catastrophic natural disasters, such as hurricanes or earthquakes. The Fund’s investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.
Real Estate Risk: The Fund’s investments in the real estate market have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification and could be significantly affected by changes in tax laws.
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DISCLOSURES AND RISKS (continued)
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.
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: To the extent 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.
Liquidity Risk: Liquidity risk occurs when certain investments become difficult to purchase or sell. Difficulty in selling less liquid securities may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of liquidity risk may include low trading volumes and large positions. Foreign fixed-income securities may have more liquidity risk because secondary trading markets for these securities may be smaller and less well developed and the securities may trade less frequently. Liquidity risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
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 as the prices of the individual securities in which it invests fluctuate, so that your shares, when redeemed, may be
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 9 |
DISCLOSURES AND RISKS (continued)
worth more or less than their original cost. Performance shown in this report 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. The performance shown for periods prior to April 17, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
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) and 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.
10 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 4.77% | 0.29% | ||||||
5 Years | 4.21% | 3.31% | ||||||
10 Years | 3.52% | 3.07% | ||||||
CLASS B SHARES | ||||||||
1 Year | 3.92% | 0.12% | ||||||
5 Years | 3.43% | 3.43% | ||||||
10 Years1 | 2.93% | 2.93% | ||||||
CLASS C SHARES | ||||||||
1 Year | 3.96% | 3.00% | ||||||
5 Years | 3.43% | 3.43% | ||||||
10 Years | 2.78% | 2.78% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 4.96% | 4.96% | ||||||
5 Years | 4.48% | 4.48% | ||||||
10 Years | 3.81% | 3.81% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.30%, 2.08%, 2.04% and 1.05% for Class A, Class B, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios exclusive of acquired fund fees and expenses, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs to 0.99%, 1.74%, 1.74% and 0.74% for Class A, Class B, Class C and Advisor Class shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2018. Absent reimbursements or waivers, performance would have been lower. 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.
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is 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. |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 11 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | -0.88% | |||
5 Years | 2.96% | |||
10 Years | 2.94% | |||
CLASS B SHARES | ||||
1 Year | -0.95% | |||
5 Years | 3.09% | |||
10 Years1 | 2.79% | |||
CLASS C SHARES | ||||
1 Year | 1.82% | |||
5 Years | 3.10% | |||
10 Years | 2.65% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 3.83% | |||
5 Years | 4.14% | |||
10 Years | 3.69% |
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | Please note that this share class is 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. |
12 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
HISTORICAL PERFORMANCE (continued)
RETURNS AFTER TAXES ON DISTRIBUTIONS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
Returns | ||||
CLASS A SHARES | ||||
1 Year | -3.52% | |||
5 Years | 1.88% | |||
10 Years | 2.34% | |||
CLASS B SHARES | ||||
1 Year | -3.29% | |||
5 Years | 2.21% | |||
10 Years1 | 2.27% | |||
CLASS C SHARES | ||||
1 Year | -0.43% | |||
5 Years | 2.20% | |||
10 Years | 2.18% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 0.99% | |||
5 Years | 2.99% | |||
10 Years | 3.05% |
RETURNS AFTER TAXES ON DISTRIBUTIONS AND SALE OF FUND SHARES
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
Returns | ||||
CLASS A SHARES | ||||
1 Year | 1.35% | |||
5 Years | 2.31% | |||
10 Years | 2.43% | |||
CLASS B SHARES | ||||
1 Year | 1.10% | |||
5 Years | 2.37% | |||
10 Years1 | 2.26% | |||
CLASS C SHARES | ||||
1 Year | 2.57% | |||
5 Years | 2.39% | |||
10 Years | 2.15% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 4.14% | |||
5 Years | 3.24% | |||
10 Years | 3.05% |
(footnotes continued on next page)
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 13 |
HISTORICAL PERFORMANCE (continued)
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | Please note that this share class is 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. |
14 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
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.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 15 |
EXPENSE EXAMPLE (continued)
Beginning | Ending Account Value February 28, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||
Class A | ||||||||||||||||||||||
Actual | $ 1,000 | $ | 995.00 | $ | 4.90 | 0.99 | % | $ | 5.19 | 1.05 | % | |||||||||||
Hypothetical** | $ 1,000 | $ | 1,019.89 | $ | 4.96 | 0.99 | % | $ | 5.26 | 1.05 | % | |||||||||||
Class B | ||||||||||||||||||||||
Actual | $ 1,000 | $ | 991.20 | $ | 8.59 | 1.74 | % | $ | 8.89 | 1.80 | % | |||||||||||
Hypothetical** | $ 1,000 | $ | 1,016.17 | $ | 8.70 | 1.74 | % | $ | 9.00 | 1.80 | % | |||||||||||
Class C | ||||||||||||||||||||||
Actual | $ 1,000 | $ | 991.00 | $ | 8.59 | 1.74 | % | $ | 8.89 | 1.80 | % | |||||||||||
Hypothetical** | $ 1,000 | $ | 1,016.17 | $ | 8.70 | 1.74 | % | $ | 9.00 | 1.80 | % | |||||||||||
Advisor Class | ||||||||||||||||||||||
Actual | $ 1,000 | $ | 995.50 | $ | 3.66 | 0.74 | % | $ | 3.96 | 0.80 | % | |||||||||||
Hypothetical** | $ 1,000 | $ | 1,021.12 | $ | 3.71 | 0.74 | % | $ | 4.01 | 0.80 | % |
* | Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Fund’s investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Fund’s total expenses are equal to the classes’ annualized expense ratio plus the Fund’s pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
16 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO SUMMARY
February 28, 2018 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $120.7
1 | All data are as of February 28, 2018. The Fund’s security type breakdown and sector breakdowns are expressed as a percentage of total investments 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). |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Fund’s prospectus.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 17 |
PORTFOLIO SUMMARY (continued)
February 28, 2018 (unaudited)
1 | All data are as of February 28, 2018. The Fund’s quality rating breakdown is expressed as a percentage of the Fund’s total investments in municipal securities 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). The quality ratings are determined by using the Standard & Poor’s Global Ratings (“S&P”), Moody’s Investors Services, Inc. (“Moody’s”) and Fitch ratings, Ltd. (“Fitch”). The Fund considers the credit ratings issued by S&P, Moody’s and Fitch and uses the highest rating issued by the agencies. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the Pre-refunded category includes bonds which are secured by U.S. Government securities and therefore are deemed high-quality investment grade by the Adviser. If applicable, Not Applicable (N/A) includes non-creditworthy investments such as equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment. |
18 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS
February 28, 2018 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
MUNICIPAL OBLIGATIONS – 60.4% | ||||||||
Long-Term Municipal Bonds – 53.6% | ||||||||
Alabama – 1.3% | ||||||||
Lower Alabama Gas District (The) | $ | 455 | $ | 545,954 | ||||
Water Works Board of the City of Birmingham (The) | 1,000 | 1,083,570 | ||||||
|
| |||||||
1,629,524 | ||||||||
|
| |||||||
Arizona – 1.9% | ||||||||
Arizona Department of Transportation State Highway Fund Revenue | 1,685 | 1,850,467 | ||||||
Glendale Industrial Development Authority | 335 | 343,522 | ||||||
Tempe Industrial Development Authority | 110 | 112,593 | ||||||
|
| |||||||
2,306,582 | ||||||||
|
| |||||||
California – 3.2% | ||||||||
California Health Facilities Financing Authority | 510 | 572,858 | ||||||
California School Finance Authority | 250 | 252,935 | ||||||
State of California | ||||||||
Series 2016 | 730 | 864,174 | ||||||
Series 2017 | 440 | 526,310 | ||||||
State of California Department of Water Resources Power Supply Revenue | 1,530 | 1,645,943 | ||||||
|
| |||||||
3,862,220 | ||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Colorado – 1.0% | ||||||||
City & County of Denver CO | $ | 1,000 | $ | 1,079,620 | ||||
PV Water & Sanitation Metropolitan District | 710 | 149,100 | ||||||
|
| |||||||
1,228,720 | ||||||||
|
| |||||||
Connecticut – 2.2% | ||||||||
State of Connecticut Special Tax Revenue | 2,390 | 2,612,366 | ||||||
|
| |||||||
Delaware – 0.2% | ||||||||
Delaware State Economic Development Authority | 225 | 237,600 | ||||||
|
| |||||||
Florida – 4.0% | ||||||||
Cape Coral Health Facilities Authority | 270 | 290,493 | ||||||
Capital Trust Agency, Inc. | 340 | 342,499 | ||||||
County of Miami-Dade FL Aviation Revenue | 665 | 769,219 | ||||||
County of Miami-Dade FL Spl Tax | 560 | 628,998 | ||||||
North Broward Hospital District | 425 | 449,632 | ||||||
Overoaks Community Development District | 25 | 2,125 | ||||||
Series 2010A-1 | 15 | 15,020 | ||||||
Series 2010A-2 | 35 | 35,047 |
20 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Parkway Center Community Development District | $ | 25 | $ | 25,482 | ||||
Sarasota County School Board COP | 935 | 1,008,089 | ||||||
Tampa Bay Water | 1,105 | 1,224,230 | ||||||
|
| |||||||
4,790,834 | ||||||||
|
| |||||||
Georgia – 0.8% | ||||||||
City of Atlanta Department of Aviation | 625 | 711,812 | ||||||
Private Colleges & Universities Authority | 210 | 226,754 | ||||||
|
| |||||||
938,566 | ||||||||
|
| |||||||
Illinois – 6.1% | ||||||||
Chicago Board of Education | 950 | 947,254 | ||||||
Series 2016A | 100 | 115,624 | ||||||
Series 2017B | 135 | 161,575 | ||||||
7.00%, 12/01/42(b) | 100 | 119,717 | ||||||
City of Chicago IL | 200 | 205,820 | ||||||
Series 2014A | 100 | 102,998 | ||||||
Illinois Finance Authority | 210 | 219,820 | ||||||
Illinois Finance Authority | 475 | 499,510 | ||||||
Illinois Finance Authority | 430 | 460,865 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Illinois Finance Authority | $ | 498 | $ | 493,926 | ||||
Illinois Finance Authority | 415 | 453,475 | ||||||
Illinois Finance Authority | 425 | 451,197 | ||||||
Metropolitan Pier & Exposition Authority | 115 | 122,123 | ||||||
Series 2017B | 150 | 22,371 | ||||||
Railsplitter Tobacco Settlement Authority | 365 | 408,457 | ||||||
State of Illinois | ||||||||
Series 2013 | 315 | 330,974 | ||||||
Series 2014 | 75 | 77,450 | ||||||
Series 2016 | 1,305 | 1,362,832 | ||||||
Series 2017D | 780 | 813,138 | ||||||
|
| |||||||
7,369,126 | ||||||||
|
| |||||||
Indiana – 1.7% | ||||||||
Indiana Bond Bank | 1,945 | 2,051,586 | ||||||
|
| |||||||
Iowa – 0.3% | ||||||||
Xenia Rural Water District | 340 | 374,626 | ||||||
|
| |||||||
Kentucky – 1.2% | ||||||||
Kentucky Economic Development Finance Authority | 620 | 671,323 |
22 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Kentucky Economic Development Finance Authority | $ | 200 | $ | 219,456 | ||||
Kentucky Economic Development Finance Authority | ||||||||
Series 2017A | 315 | 338,877 | ||||||
5.25%, 6/01/41 | 150 | 163,035 | ||||||
|
| |||||||
1,392,691 | ||||||||
|
| |||||||
Louisiana – 0.4% | ||||||||
New Orleans Aviation Board | 400 | 439,480 | ||||||
|
| |||||||
Maryland – 1.6% | ||||||||
City of Baltimore MD | 400 | 451,260 | ||||||
City of Baltimore MD | 215 | 229,224 | ||||||
City of Rockville MD | 500 | 548,235 | ||||||
County of Frederick MD | 215 | 224,927 | ||||||
County of Howard MD | 500 | 504,650 | ||||||
|
| |||||||
1,958,296 | ||||||||
|
| |||||||
Massachusetts – 1.5% | ||||||||
Commonwealth of Massachusetts | 100 | 100,000 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Massachusetts Development Finance Agency | $ | 175 | $ | 189,481 | ||||
Massachusetts Development Finance Agency | 320 | 336,797 | ||||||
Massachusetts Development Finance Agency | 635 | 678,212 | ||||||
Massachusetts Development Finance Agency | 200 | 213,972 | ||||||
Massachusetts Development Finance Agency | ||||||||
Series 2017 | 235 | 193,384 | ||||||
Series 2017A | 100 | 97,995 | ||||||
|
| |||||||
1,809,841 | ||||||||
|
| |||||||
Michigan – 2.3% | ||||||||
Grand Rapids Economic Development Authority | 325 | 338,120 | ||||||
Michigan Finance Authority | 325 | 364,800 | ||||||
Michigan Finance Authority | 1,000 | 1,122,460 | ||||||
Michigan State Hospital Finance Authority | 445 | 509,836 | ||||||
Michigan Tobacco Settlement Finance Authority | 405 | 402,315 | ||||||
|
| |||||||
2,737,531 | ||||||||
|
|
24 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Mississippi – 0.3% | ||||||||
Mississippi Hospital Equipment & Facilities Authority | $ | 400 | $ | 423,548 | ||||
|
| |||||||
Missouri – 0.9% | ||||||||
Cape Girardeau County Industrial Development Authority | 470 | 503,389 | ||||||
Kansas City Land Clearance Redevelopment Authority | 100 | 102,034 | ||||||
Lees Summit Industrial Development Authority | 500 | 512,455 | ||||||
|
| |||||||
1,117,878 | ||||||||
|
| |||||||
New Jersey – 4.8% | ||||||||
New Jersey Economic Development Authority | ||||||||
Series 2013 | 685 | 721,134 | ||||||
Series 2014P | 500 | 531,805 | ||||||
New Jersey Economic Development Authority | 415 | 444,129 | ||||||
New Jersey Economic Development Authority | 1,195 | 1,331,708 | ||||||
New Jersey Economic Development Authority | 415 | 445,353 | ||||||
New Jersey Transit Corp. | 300 | 318,849 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New Jersey Transportation Trust Fund Authority | $ | 840 | $ | 886,922 | ||||
New Jersey Turnpike Authority | 675 | 767,704 | ||||||
Tobacco Settlement Financing Corp./NJ | 395 | 393,033 | ||||||
|
| |||||||
5,840,637 | ||||||||
|
| |||||||
New York – 5.3% | ||||||||
County of Nassau NY | 225 | 261,403 | ||||||
Dutchess County Local Development Corp. | 800 | 882,984 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 1,085 | 1,223,034 | ||||||
New York State Dormitory Authority | 205 | 233,495 | ||||||
New York State Energy Research & Development Authority | ||||||||
AMBAC Series 2001B | 375 | 359,310 | ||||||
XLCA Series 2004A | 400 | 383,196 | ||||||
New York Transportation Development Corp. | 460 | 500,760 | ||||||
Triborough Bridge & Tunnel Authority | ||||||||
Series 2012B | 1,000 | 1,131,100 | ||||||
Series 2013B | 1,215 | 1,323,147 |
26 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Westchester County Local Development Corp. | $ | 105 | $ | 110,941 | ||||
|
| |||||||
6,409,370 | ||||||||
|
| |||||||
North Carolina – 0.2% | ||||||||
North Carolina Medical Care Commission | 250 | 261,260 | ||||||
|
| |||||||
Ohio – 2.0% | ||||||||
Buckeye Tobacco Settlement Financing Authority | 730 | 695,237 | ||||||
Butler County Port Authority | 225 | 232,279 | ||||||
County of Allen OH Hospital Facilities Revenue | 315 | 366,033 | ||||||
County of Cuyahoga OH | 660 | 699,046 | ||||||
Ohio Air Quality Development Authority | 250 | 229,155 | ||||||
Ohio Air Quality Development Authority | 175 | 179,198 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund | 45 | 41,241 | ||||||
|
| |||||||
2,442,189 | ||||||||
|
| |||||||
Pennsylvania – 2.0% | ||||||||
Allentown Neighborhood Improvement Zone Development Authority | 220 | 233,433 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Commonwealth of Pennsylvania | $ | 600 | $ | 676,764 | ||||
Crawford County Hospital Authority | 215 | 220,027 | ||||||
Montgomery County Higher Education & Health Authority | 635 | 695,115 | ||||||
Pennsylvania Economic Development Financing Authority | 220 | 240,326 | ||||||
Philadelphia Authority for Industrial Development | 55 | 550 | ||||||
Philadelphia Authority for Industrial Development | 335 | 351,536 | ||||||
|
| |||||||
2,417,751 | ||||||||
|
| |||||||
Tennessee – 0.6% | ||||||||
Bristol Industrial Development Board | 280 | 270,273 | ||||||
Memphis-Shelby County Industrial Development Board | 100 | 104,063 | ||||||
Tennessee Housing Development Agency | 300 | 319,500 | ||||||
|
| |||||||
693,836 | ||||||||
|
|
28 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Texas – 5.0% | ||||||||
Central Texas Regional Mobility Authority | $ | 720 | $ | 785,138 | ||||
City of Houston TX | 405 | 474,777 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue | 855 | 998,854 | ||||||
Harris County-Houston Sports Authority | 615 | 708,093 | ||||||
Irving Hospital Authority | 500 | 537,695 | ||||||
Mission Economic Development Corp. | 360 | 374,972 | ||||||
New Hope Cultural Education Facilities Finance Corp. | 325 | 343,509 | ||||||
North East Texas Regional Mobility Authority | 410 | 448,552 | ||||||
Red River Education Finance Corp. | 90 | 98,985 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | 230 | 244,071 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | 300 | 316,665 | ||||||
Uptown Development Authority | 625 | 690,013 | ||||||
|
| |||||||
6,021,324 | ||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Vermont – 0.3% |
| |||||||
Vermont Economic Development Authority | $ | 335 | $ | 348,979 | ||||
|
| |||||||
Virginia – 0.9% |
| |||||||
Henrico County Economic Development Authority | 325 | 344,799 | ||||||
Richmond Redevelopment & Housing Authority | 220 | 222,972 | ||||||
Tobacco Settlement Financing Corp./VA | 510 | 495,006 | ||||||
|
| |||||||
1,062,777 | ||||||||
|
| |||||||
Washington – 0.6% |
| |||||||
Washington State Housing Finance Commission | 340 | 370,597 | ||||||
Washington State Housing Finance Commission | 315 | 329,156 | ||||||
|
| |||||||
699,753 | ||||||||
|
| |||||||
West Virginia – 0.1% |
| |||||||
West Virginia Economic Development Authority | 110 | 107,086 | ||||||
|
| |||||||
Wisconsin – 0.9% |
| |||||||
Wisconsin Public Finance Authority | 160 | 161,110 | ||||||
Wisconsin Public Finance Authority | 265 | 292,849 |
30 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Wisconsin Public Finance Authority | $ | 200 | $ | 212,290 | ||||
Wisconsin Public Finance Authority | 325 | 375,177 | ||||||
|
| |||||||
1,041,426 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds | 64,627,403 | |||||||
|
| |||||||
Short-Term Municipal Notes – 6.8% | ||||||||
New York – 3.5% |
| |||||||
City of New York NY | 4,250 | 4,250,000 | ||||||
|
| |||||||
Texas – 3.3% |
| |||||||
Lower Neches Valley Authority Industrial Development Corp. | 600 | 600,000 | ||||||
Series 2008B-4 | 3,350 | 3,350,000 | ||||||
|
| |||||||
3,950,000 | ||||||||
|
| |||||||
Total Short-Term Municipal Notes | 8,200,000 | |||||||
|
| |||||||
Total Municipal Obligations | 72,827,403 | |||||||
|
| |||||||
Shares | ||||||||
COMMON STOCKS – 22.9% | ||||||||
Consumer Staples – 3.7% | ||||||||
Beverages – 0.7% |
| |||||||
Anheuser-Busch InBev SA/NV | 2,412 | 256,054 | ||||||
Coca-Cola Co. (The) | 12,829 | 554,469 | ||||||
|
| |||||||
810,523 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.2% |
| |||||||
Jeronimo Martins SGPS SA | 655 | 13,587 | ||||||
Koninklijke Ahold Delhaize NV | 4,370 | 98,115 | ||||||
Lenta Ltd. (GDR)(b)(d) | 1 | 7 | ||||||
Tesco PLC | 19,250 | 55,699 | ||||||
Wesfarmers Ltd. | 3,590 | 114,815 | ||||||
|
| |||||||
282,223 | ||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Food Products – 0.9% |
| |||||||
Archer-Daniels-Midland Co. | 1,893 | $ | 78,598 | |||||
General Mills, Inc. | 1,827 | 92,355 | ||||||
Nestle SA (REG) | 9,853 | 782,831 | ||||||
Orkla ASA | 3,037 | 33,298 | ||||||
WH Group Ltd.(b) | 32,164 | 39,613 | ||||||
|
| |||||||
1,026,695 | ||||||||
|
| |||||||
Household Products – 0.6% |
| |||||||
Kimberly-Clark Corp. | 1,119 | 124,119 | ||||||
Procter & Gamble Co. (The) | 8,073 | 633,892 | ||||||
|
| |||||||
758,011 | ||||||||
|
| |||||||
Personal Products – 0.4% |
| |||||||
Unilever NV | 5,157 | 269,897 | ||||||
Unilever PLC | 3,998 | 205,570 | ||||||
|
| |||||||
475,467 | ||||||||
|
| |||||||
Tobacco – 0.9% |
| |||||||
Altria Group, Inc. | 6,074 | 382,358 | ||||||
Imperial Brands PLC | 3,035 | 108,967 | ||||||
Japan Tobacco, Inc. | 4,023 | 114,161 | ||||||
Philip Morris International, Inc. | 4,917 | 509,156 | ||||||
Swedish Match AB | 671 | 28,502 | ||||||
|
| |||||||
1,143,144 | ||||||||
|
| |||||||
4,496,063 | ||||||||
|
| |||||||
Health Care – 3.4% | ||||||||
Biotechnology – 0.8% |
| |||||||
AbbVie, Inc. | 5,047 | 584,594 | ||||||
Gilead Sciences, Inc. | 4,135 | 325,549 | ||||||
|
| |||||||
910,143 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 0.1% |
| |||||||
Edwards Lifesciences Corp.(d) | 494 | 66,033 | ||||||
Koninklijke Philips NV | 2,979 | 113,532 | ||||||
|
| |||||||
179,565 | ||||||||
|
| |||||||
Health Care Providers & Services – 0.1% |
| |||||||
Cardinal Health, Inc. | 1,056 | 73,086 | ||||||
Sonic Healthcare Ltd. | 1,471 | 27,751 | ||||||
|
| |||||||
100,837 | ||||||||
|
| |||||||
Pharmaceuticals – 2.4% |
| |||||||
AstraZeneca PLC | 4,008 | 262,332 | ||||||
Merck & Co., Inc. | 8,635 | 468,190 | ||||||
Novartis AG (REG) | 7,042 | 587,456 | ||||||
Pfizer, Inc. | 18,830 | 683,717 | ||||||
Roche Holding AG | 2,224 | 513,699 |
32 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Sanofi | 3,597 | $ | 283,983 | |||||
Takeda Pharmaceutical Co., Ltd. | 2,253 | 127,747 | ||||||
|
| |||||||
2,927,124 | ||||||||
|
| |||||||
4,117,669 | ||||||||
|
| |||||||
Financials – 3.1% |
| |||||||
Banks – 1.1% |
| |||||||
Bank of Montreal | 2,054 | 155,971 | ||||||
Bank of Nova Scotia (The) | 3,793 | 234,993 | ||||||
BOC Hong Kong Holdings Ltd. | 13,645 | 68,573 | ||||||
Canadian Imperial Bank of Commerce/Canada | 1,381 | 126,132 | ||||||
DBS Group Holdings Ltd. | 5,678 | 122,025 | ||||||
Hang Seng Bank Ltd. | 2,522 | 62,528 | ||||||
HSBC Holdings PLC | 3,060 | 30,093 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 9,958 | 97,445 | ||||||
Royal Bank of Canada | 4,616 | 363,647 | ||||||
United Overseas Bank Ltd. | 4,228 | 88,564 | ||||||
|
| |||||||
1,349,971 | ||||||||
|
| |||||||
Capital Markets – 0.4% |
| |||||||
3i Group PLC | 3,068 | 39,464 | ||||||
Amundi SA(b) | 151 | 12,309 | ||||||
ASX Ltd. | 716 | 32,214 | ||||||
CI Financial Corp. | 930 | 20,684 | ||||||
CME Group, Inc. – Class A | 1,076 | 178,788 | ||||||
Invesco Ltd. | 1,280 | 41,651 | ||||||
Investec PLC | 2,337 | 20,272 | ||||||
Singapore Exchange Ltd. | 2,832 | 16,047 | ||||||
T. Rowe Price Group, Inc. | 817 | 91,422 | ||||||
|
| |||||||
452,851 | ||||||||
|
| |||||||
Diversified Financial Services – 0.0% |
| |||||||
Standard Life Aberdeen PLC | 8,525 | 43,063 | ||||||
|
| |||||||
Insurance – 1.6% |
| |||||||
Admiral Group PLC | 789 | 19,988 | ||||||
Allianz SE (REG) | 1,423 | 330,550 | ||||||
Arthur J Gallagher & Co. | 562 | 38,840 | ||||||
AXA SA | 6,140 | 192,299 | ||||||
Baloise Holding AG (REG) | 135 | 21,238 | ||||||
Cincinnati Financial Corp. | 491 | 36,624 | ||||||
Direct Line Insurance Group PLC | 3,771 | 19,832 | ||||||
Great-West Lifeco, Inc. | 1,064 | 28,076 | ||||||
Hannover Rueck SE (REG) | 177 | 24,075 | ||||||
Insurance Australia Group Ltd. | 8,658 | 54,710 | ||||||
Legal & General Group PLC | 19,898 | 71,681 | ||||||
Manulife Financial Corp. | 6,263 | 119,188 | ||||||
Medibank Pvt Ltd. | 9,393 | 22,988 | ||||||
MS&AD Insurance Group Holdings, Inc. | 1,540 | 47,523 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | 492 | $ | 110,016 | |||||
Power Corp. of Canada | 1,310 | 31,045 | ||||||
Power Financial Corp. | 898 | 23,444 | ||||||
Principal Financial Group, Inc. | 947 | 59,026 | ||||||
QBE Insurance Group Ltd. | 5,074 | 39,853 | ||||||
Sampo Oyj – Class A | 1,515 | 85,742 | ||||||
SCOR SE | 637 | 27,007 | ||||||
Sun Life Financial, Inc. | 2,084 | 85,848 | ||||||
Swiss Life Holding AG(d) | 103 | 37,196 | ||||||
Swiss Re AG | 996 | 101,338 | ||||||
Tokio Marine Holdings, Inc. | 2,146 | 98,312 | ||||||
Tryg A/S | 99 | 2,348 | ||||||
Zurich Insurance Group AG | 479 | 157,493 | ||||||
|
| |||||||
1,886,280 | ||||||||
|
| |||||||
3,732,165 | ||||||||
|
| |||||||
Information Technology – 2.3% | ||||||||
Communications Equipment – 0.7% | ||||||||
Cisco Systems, Inc. | 15,830 | 708,867 | ||||||
Nokia Oyj | 18,478 | 107,711 | ||||||
|
| |||||||
816,578 | ||||||||
|
| |||||||
IT Services – 0.4% | ||||||||
International Business Machines Corp. | 2,803 | 436,792 | ||||||
Paychex, Inc. | 1,078 | 70,210 | ||||||
Western Union Co. (The) – Class W | 1,355 | 26,856 | ||||||
|
| |||||||
533,858 | ||||||||
|
| |||||||
Semiconductors & Semiconductor | ||||||||
Intel Corp. | 14,877 | 733,287 | ||||||
Maxim Integrated Products, Inc. | 919 | 56,004 | ||||||
QUALCOMM, Inc. | 4,673 | 303,745 | ||||||
|
| |||||||
1,093,036 | ||||||||
|
| |||||||
Software – 0.0% | ||||||||
CA, Inc. | 912 | 32,011 | ||||||
|
| |||||||
Technology Hardware, Storage & | ||||||||
Canon, Inc. | 3,378 | 128,731 | ||||||
HP, Inc. | 5,330 | 124,669 | ||||||
Samsung Electronics Co., Ltd. | 20 | 36,740 | ||||||
Seagate Technology PLC | 929 | 49,609 | ||||||
|
| |||||||
339,749 | ||||||||
|
| |||||||
2,815,232 | ||||||||
|
|
34 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Industrials – 2.2% | ||||||||
Aerospace & Defense – 0.3% | ||||||||
BAE Systems PLC | 10,809 | $ | 85,791 | |||||
Lockheed Martin Corp. | 821 | 289,353 | ||||||
Meggitt PLC | 2,733 | 16,938 | ||||||
|
| |||||||
392,082 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.2% | ||||||||
Deutsche Post AG (REG) | 3,074 | 140,240 | ||||||
Kuehne & Nagel International AG (REG) | 150 | 24,474 | ||||||
Royal Mail PLC | 3,291 | 25,349 | ||||||
|
| |||||||
190,063 | ||||||||
|
| |||||||
Airlines – 0.1% | ||||||||
Japan Airlines Co., Ltd. | 472 | 17,989 | ||||||
Qantas Airways Ltd. | 28,382 | 129,193 | ||||||
|
| |||||||
147,182 | ||||||||
|
| |||||||
Building Products – 0.1% | ||||||||
Cie de Saint-Gobain | 1,719 | 97,293 | ||||||
|
| |||||||
Commercial Services & Supplies – 0.0% | ||||||||
G4S PLC | 5,674 | 20,404 | ||||||
|
| |||||||
Construction & Engineering – 0.2% | ||||||||
Bouygues SA | 795 | 40,217 | ||||||
Skanska AB – Class B | 1,257 | 24,998 | ||||||
Vinci SA | 1,598 | 157,787 | ||||||
|
| |||||||
223,002 | ||||||||
|
| |||||||
Electrical Equipment – 0.5% | ||||||||
ABB Ltd. (REG) | 5,835 | 141,200 | ||||||
Eaton Corp. PLC | 1,408 | 113,626 | ||||||
Emerson Electric Co. | 2,026 | 143,967 | ||||||
Schneider Electric SE (Paris)(d) | 1,795 | 155,570 | ||||||
|
| |||||||
554,363 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.4% | ||||||||
CK Hutchison Holdings Ltd. | 8,550 | 106,860 | ||||||
Roper Technologies, Inc. | 40 | 11,004 | ||||||
Siemens AG (REG) | 2,422 | 317,381 | ||||||
Smiths Group PLC | 1,149 | 25,089 | ||||||
|
| |||||||
460,334 | ||||||||
|
| |||||||
Machinery – 0.2% | ||||||||
ANDRITZ AG | 254 | 14,736 | ||||||
Cummins, Inc. | 542 | 91,148 | ||||||
IMI PLC | 681 | 11,431 | ||||||
Kone Oyj – Class B | 1,114 | 57,688 | ||||||
SKF AB – Class B | 1,360 | 28,425 | ||||||
Wartsila Oyj Abp | 451 | 31,731 | ||||||
|
| |||||||
235,159 | ||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Professional Services – 0.1% | ||||||||
Adecco Group AG (REG) | 509 | $ | 40,889 | |||||
Randstad Holding NV | 441 | 31,424 | ||||||
SGS SA (REG) | 17 | 43,145 | ||||||
|
| |||||||
115,458 | ||||||||
|
| |||||||
Road & Rail – 0.0% | ||||||||
Aurizon Holdings Ltd. | 7,064 | 24,858 | ||||||
ComfortDelGro Corp., Ltd. | 7,910 | 12,061 | ||||||
|
| |||||||
36,919 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.1% | ||||||||
ITOCHU Corp. | 4,738 | 91,076 | ||||||
Travis Perkins PLC | 925 | 16,364 | ||||||
|
| |||||||
107,440 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.0% | ||||||||
Auckland International Airport Ltd. | 3,515 | 16,314 | ||||||
SATS Ltd. | 737 | 2,882 | ||||||
|
| |||||||
19,196 | ||||||||
|
| |||||||
2,598,895 | ||||||||
|
| |||||||
Consumer Discretionary – 2.1% | ||||||||
Auto Components – 0.2% | ||||||||
Bridgestone Corp. | 2,059 | 91,398 | ||||||
Cie Generale des Etablissements Michelin | 583 | 89,610 | ||||||
Nokian Renkaat Oyj | 431 | 19,756 | ||||||
|
| |||||||
200,764 | ||||||||
|
| |||||||
Automobiles – 0.5% | ||||||||
Daimler AG (REG) | 3,048 | 260,258 | ||||||
General Motors Co. | 4,152 | 163,381 | ||||||
Nissan Motor Co., Ltd. | 7,831 | 82,075 | ||||||
Subaru Corp. | 2,075 | 72,774 | ||||||
|
| |||||||
578,488 | ||||||||
|
| |||||||
Distributors – 0.0% | ||||||||
Genuine Parts Co. | 468 | 42,981 | ||||||
|
| |||||||
Diversified Consumer Services – 0.0% | ||||||||
H&R Block, Inc. | 483 | 12,234 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.5% | ||||||||
Darden Restaurants, Inc. | 393 | 36,231 | ||||||
Las Vegas Sands Corp. | 1,253 | 91,231 | ||||||
McDonald’s Corp. | 2,564 | 404,445 | ||||||
Sands China Ltd. | 7,638 | 42,608 | ||||||
TUI AG | 1,306 | 27,604 | ||||||
|
| |||||||
602,119 | ||||||||
|
|
36 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Household Durables – 0.2% | ||||||||
Barratt Developments PLC | 3,632 | $ | 26,842 | |||||
Berkeley Group Holdings PLC | 362 | 19,158 | ||||||
Electrolux AB – Class B | 683 | 22,423 | ||||||
Garmin Ltd. | 343 | 20,319 | ||||||
Leggett & Platt, Inc. | 339 | 14,733 | ||||||
Newell Brands, Inc. | 1,536 | 39,460 | ||||||
Persimmon PLC | 933 | 33,353 | ||||||
Sekisui House Ltd. | 2,060 | 35,924 | ||||||
Taylor Wimpey PLC | 9,380 | 23,903 | ||||||
|
| |||||||
236,115 | ||||||||
|
| |||||||
Media – 0.3% | ||||||||
Interpublic Group of Cos., Inc. (The) | 1,152 | 26,957 | ||||||
ITV PLC | 12,502 | 27,406 | ||||||
Omnicom Group, Inc. | 755 | 57,554 | ||||||
Pearson PLC | 2,270 | 22,860 | ||||||
ProSiebenSat.1 Media SE | 857 | 33,894 | ||||||
Publicis Groupe SA | 763 | 57,384 | ||||||
SES SA | 1,219 | 19,437 | ||||||
Shaw Communications, Inc. – Class B | 1,548 | 29,966 | ||||||
Singapore Press Holdings Ltd. | 5,853 | 11,435 | ||||||
WPP PLC | 4,287 | 82,097 | ||||||
|
| |||||||
368,990 | ||||||||
|
| |||||||
Multiline Retail – 0.2% |
| |||||||
Kohl’s Corp. | 517 | 34,168 | ||||||
Marks & Spencer Group PLC | 5,528 | 22,386 | ||||||
Next PLC | 443 | 29,544 | ||||||
Nordstrom, Inc. | 332 | 17,035 | ||||||
Target Corp. | 1,643 | 123,899 | ||||||
|
| |||||||
227,032 | ||||||||
|
| |||||||
Specialty Retail – 0.1% |
| |||||||
Gap, Inc. (The) | 648 | 20,464 | ||||||
Hennes & Mauritz AB – Class B | 3,071 | 50,672 | ||||||
Kingfisher PLC | 6,591 | 32,439 | ||||||
|
| |||||||
103,575 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.1% |
| |||||||
Tapestry, Inc. | 903 | 45,972 | ||||||
VF Corp. | 1,133 | 84,488 | ||||||
|
| |||||||
130,460 | ||||||||
|
| |||||||
2,502,758 | ||||||||
|
| |||||||
Energy – 1.7% |
| |||||||
Oil, Gas & Consumable Fuels – 1.7% |
| |||||||
Enagas SA | 885 | 23,018 | ||||||
Exxon Mobil Corp. | 13,415 | 1,016,052 | ||||||
Galp Energia SGPS SA | 1,479 | 26,638 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Keyera Corp. | 774 | $ | 19,724 | |||||
Marathon Petroleum Corp. | 1,603 | 102,688 | ||||||
Phillips 66 | 1,377 | 124,440 | ||||||
Snam SpA | 8,447 | 37,814 | ||||||
TOTAL SA | 7,522 | 427,842 | ||||||
TransCanada Corp. | 2,758 | 119,287 | ||||||
Valero Energy Corp. | 1,398 | 126,407 | ||||||
|
| |||||||
2,023,910 | ||||||||
|
| |||||||
Utilities – 1.6% |
| |||||||
Electric Utilities – 1.1% |
| |||||||
Alliant Energy Corp. | 629 | 24,311 | ||||||
American Electric Power Co., Inc. | 1,557 | 102,108 | ||||||
CK Infrastructure Holdings Ltd. | 2,575 | 21,562 | ||||||
CLP Holdings Ltd. | 5,389 | 54,506 | ||||||
Duke Energy Corp. | 2,216 | 166,954 | ||||||
EDP – Energias de Portugal SA | 8,217 | 27,467 | ||||||
Endesa SA | 1,174 | 24,645 | ||||||
Eversource Energy | 1,040 | 59,280 | ||||||
Fortis, Inc./Canada | 1,320 | 43,133 | ||||||
Iberdrola SA | 18,393 | 135,360 | ||||||
NextEra Energy, Inc. | 1,486 | 226,095 | ||||||
OGE Energy Corp. | 499 | 15,639 | ||||||
PG&E Corp. | 1,704 | 70,017 | ||||||
Pinnacle West Capital Corp. | 325 | 25,012 | ||||||
Power Assets Holdings Ltd. | 4,254 | 36,091 | ||||||
PPL Corp. | 2,276 | 65,207 | ||||||
Red Electrica Corp. SA | 1,264 | 24,593 | ||||||
SSE PLC | 3,249 | 54,600 | ||||||
Terna Rete Elettrica Nazionale SpA | 5,216 | 28,912 | ||||||
Xcel Energy, Inc. | 1,700 | 73,576 | ||||||
|
| |||||||
1,279,068 | ||||||||
|
| |||||||
Gas Utilities – 0.0% | ||||||||
Gas Natural SDG SA | 1,296 | 29,651 | ||||||
|
| |||||||
Multi-Utilities – 0.5% | ||||||||
Ameren Corp. | 774 | 42,028 | ||||||
CMS Energy Corp. | 840 | 35,658 | ||||||
Consolidated Edison, Inc. | 1,043 | 78,110 | ||||||
DTE Energy Co. | 589 | 59,359 | ||||||
Innogy SE(b) | 507 | 20,221 | ||||||
National Grid PLC | 10,824 | 109,543 | ||||||
Public Service Enterprise Group, Inc. | 1,711 | 82,864 | ||||||
Sempra Energy | 808 | 88,056 | ||||||
WEC Energy Group, Inc. | 1,040 | 62,317 | ||||||
|
| |||||||
578,156 | ||||||||
|
| |||||||
1,886,875 | ||||||||
|
|
38 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Materials – 1.4% | ||||||||
Chemicals – 0.9% | ||||||||
BASF SE | 2,908 | $ | 303,798 | |||||
DowDuPont, Inc. | 7,387 | 519,306 | ||||||
Evonik Industries AG | 582 | 21,429 | ||||||
Givaudan SA (REG) | 31 | 70,490 | ||||||
LyondellBasell Industries NV – Class A | 1,065 | 115,254 | ||||||
Mosaic Co. (The) | 969 | 25,504 | ||||||
Nutrien Ltd.(d) | 999 | 49,086 | ||||||
|
| |||||||
1,104,867 | ||||||||
|
| |||||||
Construction Materials – 0.0% | ||||||||
Fletcher Building Ltd. | 2,445 | 11,467 | ||||||
|
| |||||||
Containers & Packaging – 0.1% | ||||||||
Amcor Ltd./Australia | 4,298 | 46,072 | ||||||
International Paper Co. | 1,317 | 78,480 | ||||||
|
| |||||||
124,552 | ||||||||
|
| |||||||
Metals & Mining – 0.3% | ||||||||
Fortescue Metals Group Ltd. | 5,694 | 21,899 | ||||||
Rio Tinto Ltd. | 1,443 | 89,463 | ||||||
Rio Tinto PLC | 3,909 | 209,541 | ||||||
|
| |||||||
320,903 | ||||||||
|
| |||||||
Paper & Forest Products – 0.1% | ||||||||
Stora Enso Oyj – Class R | 2,014 | 35,568 | ||||||
UPM-Kymmene Oyj | 1,755 | 60,045 | ||||||
|
| |||||||
95,613 | ||||||||
|
| |||||||
1,657,402 | ||||||||
|
| |||||||
Telecommunication Services – 1.2% |
| |||||||
Diversified Telecommunication Services – 0.9% | ||||||||
AT&T, Inc. | 19,440 | 705,672 | ||||||
BCE, Inc. | 569 | 24,832 | ||||||
BT Group PLC | 28,715 | 94,765 | ||||||
Elisa Oyj | 521 | 22,380 | ||||||
HKT Trust & HKT Ltd. – Class SS | 13,845 | 17,638 | ||||||
Singapore Telecommunications Ltd. | 29,859 | 75,790 | ||||||
Spark New Zealand Ltd. | 6,458 | 15,603 | ||||||
Swisscom AG (REG) | 82 | 44,277 | ||||||
Telstra Corp., Ltd. | 15,223 | 39,264 | ||||||
TELUS Corp. | 727 | 26,243 | ||||||
|
| |||||||
1,066,464 | ||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Wireless Telecommunication Services – 0.3% | ||||||||
NTT DOCOMO, Inc. | 4,321 | $ | 110,541 | |||||
Rogers Communications, Inc. – Class B | 1,175 | 52,945 | ||||||
Vodafone Group PLC | 84,432 | 236,037 | ||||||
|
| |||||||
399,523 | ||||||||
|
| |||||||
1,465,987 | ||||||||
|
| |||||||
Real Estate – 0.2% |
| |||||||
Real Estate Management & Development – 0.2% | ||||||||
Daito Trust Construction Co., Ltd. | 260 | 43,059 | ||||||
Hang Lung Properties Ltd. | 7,401 | 17,591 | ||||||
Henderson Land Development Co., Ltd. | 4,329 | 27,969 | ||||||
LendLease Group | 1,999 | 27,445 | ||||||
New World Development Co., Ltd. | 21,542 | 32,580 | ||||||
Sino Land Co., Ltd. | 10,511 | 18,516 | ||||||
Sun Hung Kai Properties Ltd. | 4,940 | 81,949 | ||||||
Swiss Prime Site AG (REG)(d) | 242 | 22,574 | ||||||
Wharf Holdings Ltd. (The) | 4,377 | 16,262 | ||||||
|
| |||||||
287,945 | ||||||||
|
| |||||||
Total Common Stocks | 27,584,901 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 8.3% |
| |||||||
Funds and Investment Trusts – 8.3%(h) |
| |||||||
Alerian MLP ETF | 457,472 | 4,620,467 | ||||||
Financial Select Sector SPDR Fund | 86,600 | 2,500,142 | ||||||
iShares International Developed Real Estate ETF | 8,365 | 244,927 | ||||||
iShares Mortgage Real Estate ETF | 44,730 | 1,822,300 | ||||||
PowerShares KBW Premium Yield Equity REIT Portfolio | 29,108 | 885,175 | ||||||
|
| |||||||
Total Investment Companies | 10,073,011 | |||||||
|
| |||||||
PREFERRED STOCKS – 6.4% |
| |||||||
Real Estate – 6.4% |
| |||||||
Diversified REITs – 1.4% |
| |||||||
Colony NorthStar, Inc. | 15,000 | 357,450 | ||||||
Colony NorthStar, Inc. | 10,750 | 256,925 | ||||||
Global Net Lease, Inc. | 5,900 | 147,972 |
40 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Gramercy Property Trust | 300 | $ | 7,740 | |||||
Investors Real Estate Trust | 1,675 | 39,831 | ||||||
PS Business Parks, Inc. | 10,000 | 234,100 | ||||||
PS Business Parks, Inc. | 1,050 | 24,528 | ||||||
Spirit Realty Capital, Inc. | 6,800 | 157,556 | ||||||
VEREIT, Inc. | 18,500 | 464,165 | ||||||
Vornado Realty Trust | 1,600 | 40,128 | ||||||
|
| |||||||
1,730,395 | ||||||||
|
| |||||||
Health Care REITs – 0.3% | ||||||||
Sabra Health Care REIT, Inc. | 9,400 | 236,974 | ||||||
Ventas Realty LP/Ventas Capital Corp. | 6,600 | 163,680 | ||||||
|
| |||||||
400,654 | ||||||||
|
| |||||||
Hotel & Resort REITs – 1.1% | ||||||||
Ashford Hospitality Trust, Inc. | 9,000 | 209,790 | ||||||
Ashford Hospitality Trust, Inc. | 1,000 | 23,170 | ||||||
Hersha Hospitality Trust | 1,000 | 24,235 | ||||||
Hersha Hospitality Trust | 12,600 | 289,422 | ||||||
LaSalle Hotel Properties | 4,250 | 103,062 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
LaSalle Hotel Properties | 5,600 | $ | 136,864 | |||||
Pebblebrook Hotel Trust | 9,900 | 245,025 | ||||||
Summit Hotel Properties, Inc. | 10,500 | 255,150 | ||||||
|
| |||||||
1,286,718 | ||||||||
|
| |||||||
Industrial REITs – 0.3% | ||||||||
Monmouth Real Estate Investment Corp. | 5,500 | 133,320 | ||||||
Rexford Industrial Realty, Inc. | 6,850 | 159,948 | ||||||
STAG Industrial, Inc. | 1,000 | 25,150 | ||||||
|
| |||||||
318,418 | ||||||||
|
| |||||||
Office REITs – 0.1% | ||||||||
SL Green Realty Corp. | 5,100 | 130,050 | ||||||
|
| |||||||
Residential REITs – 0.7% | ||||||||
American Homes 4 Rent | 4,725 | 120,440 | ||||||
American Homes 4 Rent | 9,600 | 230,496 | ||||||
Apartment Investment & Management Co. | 9,400 | 241,016 | ||||||
UMH Properties, Inc. | 10,300 | 257,809 | ||||||
UMH Properties, Inc. | 2,000 | 47,800 | ||||||
|
| |||||||
897,561 | ||||||||
|
| |||||||
Retail REITs – 1.5% | ||||||||
Cedar Realty Trust, Inc. | 8,325 | 180,320 |
42 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
DDR Corp. | 15,800 | $ | 375,408 | |||||
Federal Realty Investment Trust | 1,675 | 37,805 | ||||||
GGP, Inc. | 10,000 | 247,000 | ||||||
Kimco Realty Corp. | 10,200 | 244,086 | ||||||
Pennsylvania Real Estate Investment Trust | 3,000 | 63,750 | ||||||
Saul Centers, Inc. | 10,000 | 245,700 | ||||||
Taubman Centers, Inc. | 4,000 | 99,000 | ||||||
Urstadt Biddle Properties, Inc. | 8,375 | 207,909 | ||||||
Washington Prime Group, Inc. | 5,000 | 113,750 | ||||||
|
| |||||||
1,814,728 | ||||||||
|
| |||||||
Specialized REITs – 1.0% | ||||||||
Digital Realty Trust, Inc. | 9,100 | 243,880 | ||||||
Digital Realty Trust, Inc. | 7,800 | 195,000 | ||||||
EPR Properties | 4,000 | 91,600 | ||||||
National Storage Affiliates Trust | 2,500 | 62,200 | ||||||
Public Storage | 8,200 | 200,654 | ||||||
Public Storage | 3,100 | 72,881 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Public Storage | 6,000 | $ | 143,700 | |||||
Public Storage | 7,000 | 184,800 | ||||||
|
| |||||||
1,194,715 | ||||||||
|
| |||||||
Total Preferred Stocks | 7,773,239 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.1% | ||||||||
Investment Companies – 0.1% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 1.20%(h)(i)(j) | 98,150 | 98,150 | ||||||
|
| |||||||
Total Investments – 98.1% | 118,356,704 | |||||||
Other assets less liabilities – 1.9% | 2,309,517 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 120,666,221 | ||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Notional (000) | Original Value | Value at February 28, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||||||
Euro STOXX 50 Index Futures | 64 | | March 2018 | | EUR | 1 | $ | 2,781,031 | $ | 2,684,391 | $ | (96,640 | ) | |||||||||||
Euro-Bund Futures | 26 | | March 2018 | | EUR | 2,600 | 5,148,834 | 5,057,438 | (91,396 | ) | ||||||||||||||
FTSE 100 Index Futures | 11 | | March 2018 | | GBP | 0 | ** | 1,135,348 | 1,094,283 | (41,065 | ) | |||||||||||||
Hang Seng Index Futures | 1 | | March 2018 | | HKD | 0 | ** | 199,951 | 196,348 | (3,603 | ) | |||||||||||||
Mini MSCI Emerging Markets Futures | 11 | | March 2018 | | USD | 1 | 605,837 | 650,650 | 44,813 | |||||||||||||||
MSCI Singapore Index Futures | 6 | | March 2018 | | SGD | 1 | 181,596 | 181,461 | (135 | ) |
44 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Notional (000) | Original Value | Value at February 28, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
OMXS30 Index Futures | 58 | | March 2018 | | SEK | 6 | $ | 1,090,161 | $ | 1,100,364 | $ | 10,203 | ||||||||||||
TOPIX Index Futures | 15 | | March 2018 | | JPY | 150 | 2,550,482 | 2,485,590 | (64,892 | ) | ||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 74 | | June 2018 | | USD | 7,400 | 8,892,818 | 8,883,469 | (9,349 | ) | ||||||||||||||
Sold Contracts |
| |||||||||||||||||||||||
10 Yr Australian Bond Futures | 5 | | March 2018 | | AUD | 500 | 505,845 | 496,283 | 9,562 | |||||||||||||||
10 Yr Canadian Bond Futures | 25 | | June 2018 | | CAD | 2,500 | 2,545,936 | 2,565,461 | (19,525 | ) | ||||||||||||||
Long Gilt Futures | 26 | | June 2018 | | GBP | 2,600 | 4,329,068 | 4,333,960 | (4,892 | ) | ||||||||||||||
Mini S&P TSX 60 Futures | 30 | | March 2018 | | CAD | 2 | 1,100,694 | 1,066,903 | 33,791 | |||||||||||||||
MSCI EAFE Futures | 109 | | March 2018 | | USD | 5 | 10,898,138 | 11,098,925 | (200,787 | ) | ||||||||||||||
S&P 500 E-Mini Futures | 95 | | March 2018 | | USD | 5 | 12,569,312 | 12,893,400 | (324,088 | ) | ||||||||||||||
S&P/TSX 60 Index Futures | 2 | | March 2018 | | CAD | 0 | ** | 284,349 | 284,508 | (159 | ) | |||||||||||||
SPI 200 Futures | 1 | | March 2018 | | AUD | 0 | ** | 117,183 | 116,525 | 658 | ||||||||||||||
|
| |||||||||||||||||||||||
$ | (757,504 | ) | ||||||||||||||||||||||
|
|
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 | HUF | 234,069 | USD | 881 | 3/14/18 | $ | (29,821 | ) | ||||||||
Bank of America, NA | AUD | 2,563 | USD | 1,948 | 3/14/18 | (43,007 | ) | |||||||||
Bank of America, NA | USD | 700 | GBP | 522 | 3/14/18 | 18,328 | ||||||||||
Bank of America, NA | USD | 536 | CAD | 665 | 3/14/18 | (17,514 | ) | |||||||||
Bank of America, NA | USD | 1,175 | EUR | 986 | 3/14/18 | 28,635 | ||||||||||
Bank of America, NA | USD | 1,487 | MXN | 28,995 | 3/14/18 | 47,896 | ||||||||||
Bank of America, NA | USD | 981 | JPY | 110,146 | 3/14/18 | 52,477 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Bank of America, NA | USD | 855 | KRW | 907,584 | 4/26/18 | $ | (17,812 | ) | ||||||||
Barclays Bank PLC | TWD | 110,086 | USD | 3,700 | 3/08/18 | (55,795 | ) | |||||||||
Barclays Bank PLC | USD | 767 | EUR | 648 | 3/14/18 | 24,309 | ||||||||||
BNP Paribas SA | CAD | 808 | USD | 639 | 3/14/18 | 8,676 | ||||||||||
BNP Paribas SA | USD | 632 | MXN | 11,984 | 3/14/18 | 2,361 | ||||||||||
Citibank, NA | COP | 2,806,976 | USD | 992 | 4/19/18 | 13,474 | ||||||||||
Citibank, NA | JPY | 167,461 | USD | 1,554 | 6/19/18 | (27,256 | ) | |||||||||
Citibank, NA | JPY | 160,501 | USD | 1,477 | 3/14/18 | (28,563 | ) | |||||||||
Citibank, NA | BRL | 2,283 | USD | 718 | 3/02/18 | 15,233 | ||||||||||
Citibank, NA | EUR | 1,570 | USD | 1,937 | 6/19/18 | 6,210 | ||||||||||
Citibank, NA | GBP | 744 | USD | 1,033 | 6/19/18 | 3,654 | ||||||||||
Citibank, NA | CAD | 693 | USD | 551 | 6/19/18 | 9,510 | ||||||||||
Citibank, NA | CHF | 592 | USD | 603 | 3/14/18 | (24,290 | ) | |||||||||
Citibank, NA | USD | 555 | TRY | 2,195 | 3/14/18 | 20,659 | ||||||||||
Citibank, NA | USD | 704 | BRL | 2,283 | 3/02/18 | (433 | ) | |||||||||
Citibank, NA | USD | 1,577 | JPY | 167,461 | 6/19/18 | 4,216 | ||||||||||
Credit Suisse International | HUF | 279,374 | USD | 1,085 | 3/14/18 | (1,639 | ) | |||||||||
Credit Suisse International | SEK | 24,691 | USD | 2,950 | 3/14/18 | (31,874 | ) | |||||||||
Credit Suisse International | SEK | 10,158 | USD | 1,242 | 3/14/18 | 14,998 | ||||||||||
Credit Suisse International | NZD | 4,219 | USD | 2,913 | 3/14/18 | (128,728 | ) | |||||||||
Credit Suisse International | BRL | 2,283 | USD | 704 | 3/02/18 | 433 | ||||||||||
Credit Suisse International | BRL | 2,283 | USD | 703 | 4/03/18 | 2,580 | ||||||||||
Credit Suisse International | CHF | 1,713 | USD | 1,761 | 3/14/18 | (54,882 | ) | |||||||||
Credit Suisse International | AUD | 1,279 | USD | 1,035 | 3/14/18 | 41,153 | ||||||||||
Credit Suisse International | GBP | 1,835 | USD | 2,491 | 3/14/18 | (36,695 | ) | |||||||||
Credit Suisse International | EUR | 509 | USD | 612 | 3/14/18 | (9,897 | ) | |||||||||
Credit Suisse International | USD | 1,643 | GBP | 1,165 | 3/14/18 | (38,243 | ) | |||||||||
Credit Suisse International | USD | 864 | NZD | 1,205 | 3/14/18 | 4,679 | ||||||||||
Credit Suisse International | USD | 1,932 | CHF | 1,800 | 3/14/18 | (24,187 | ) | |||||||||
Credit Suisse International | USD | 706 | BRL | 2,283 | 3/02/18 | (2,587 | ) | |||||||||
Credit Suisse International | USD | 2,009 | AUD | 2,563 | 3/14/18 | (17,998 | ) | |||||||||
Credit Suisse International | USD | 812 | NOK | 6,257 | 3/14/18 | (19,805 | ) | |||||||||
Credit Suisse International | USD | 503 | ZAR | 6,302 | 3/14/18 | 30,492 | ||||||||||
Credit Suisse International | USD | 559 | PHP | 27,926 | 3/15/18 | (23,716 | ) | |||||||||
Credit Suisse International | USD | 4,067 | JPY | 458,207 | 3/14/18 | 230,698 | ||||||||||
Credit Suisse International | USD | 2,815 | INR | 183,151 | 3/12/18 | (13,111 | ) | |||||||||
Deutsche Bank AG | IDR | 34,444,140 | USD | 2,573 | 4/23/18 | 84,012 | ||||||||||
Deutsche Bank AG | CLP | 683,032 | USD | 1,137 | 4/19/18 | (10,486 | ) | |||||||||
Deutsche Bank AG | INR | 182,799 | USD | 2,791 | 3/12/18 | (5,918 | ) | |||||||||
Deutsche Bank AG | USD | 1,041 | SEK | 8,487 | 3/14/18 | (16,464 | ) | |||||||||
Goldman Sachs Bank USA | MYR | 1,664 | USD | 417 | 4/06/18 | (6,385 | ) | |||||||||
Goldman Sachs Bank USA | USD | 1,963 | EUR | 1,570 | 6/19/18 | (31,948 | ) | |||||||||
Goldman Sachs Bank USA | USD | 154 | THB | 4,931 | 3/14/18 | 3,348 | ||||||||||
Goldman Sachs Bank USA | USD | 1,452 | PHP | 74,259 | 3/15/18 | (29,063 | ) | |||||||||
HSBC Bank USA | USD | 1,040 | GBP | 744 | 6/19/18 | (10,850 | ) | |||||||||
Morgan Stanley & Co., Inc. | USD | 552 | CAD | 693 | 6/19/18 | (11,011 | ) | |||||||||
Royal Bank of Scotland PLC | PEN | 10,029 | USD | 3,114 | 4/19/18 | 49,435 | ||||||||||
Standard Chartered Bank | USD | 2,741 | CNY | 17,354 | 4/19/18 | (6,582 | ) | |||||||||
Standard Chartered Bank | USD | 1,297 | TWD | 38,774 | 3/08/18 | 26,232 | ||||||||||
State Street Bank & Trust Co. | JPY | 192,286 | USD | 1,730 | 3/14/18 | (73,305 | ) | |||||||||
State Street Bank & Trust Co. | HUF | 94,151 | USD | 358 | 3/14/18 | (8,459 | ) | |||||||||
State Street Bank & Trust Co. | MXN | 6,244 | USD | 321 | 3/14/18 | (9,994 | ) |
46 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
State Street Bank & Trust Co. | NOK | 7,470 | USD | 925 | 3/14/18 | $ | (20,867 | ) | ||||||||
State Street Bank & Trust Co. | CZK | 6,147 | USD | 285 | 3/14/18 | (10,373 | ) | |||||||||
State Street Bank & Trust Co. | PLN | 1,533 | USD | 434 | 3/14/18 | (13,929 | ) | |||||||||
State Street Bank & Trust Co. | EUR | 689 | USD | 855 | 3/14/18 | 13,412 | ||||||||||
State Street Bank & Trust Co. | AUD | 628 | USD | 489 | 6/19/18 | 1,548 | ||||||||||
State Street Bank & Trust Co. | CHF | 416 | USD | 447 | 6/19/18 | 2,735 | ||||||||||
State Street Bank & Trust Co. | AUD | 255 | USD | 206 | 3/14/18 | 8,243 | ||||||||||
State Street Bank & Trust Co. | USD | 116 | CAD | 143 | 3/14/18 | (4,471 | ) | |||||||||
State Street Bank & Trust Co. | USD | 201 | GBP | 148 | 3/14/18 | 3,208 | ||||||||||
State Street Bank & Trust Co. | USD | 246 | GBP | 174 | 3/14/18 | (5,664 | ) | |||||||||
State Street Bank & Trust Co. | USD | 200 | AUD | 255 | 3/14/18 | (1,838 | ) | |||||||||
State Street Bank & Trust Co. | USD | 452 | CHF | 416 | 6/19/18 | (7,713 | ) | |||||||||
State Street Bank & Trust Co. | USD | 393 | NZD | 536 | 3/14/18 | (6,455 | ) | |||||||||
State Street Bank & Trust Co. | USD | 497 | AUD | 628 | 6/19/18 | (9,012 | ) | |||||||||
State Street Bank & Trust Co. | USD | 1,086 | NOK | 8,832 | 3/14/18 | 32,833 | ||||||||||
State Street Bank & Trust Co. | USD | 453 | TRY | 1,732 | 3/14/18 | 555 | ||||||||||
State Street Bank & Trust Co. | USD | 491 | SEK | 3,872 | 3/14/18 | (23,566 | ) | |||||||||
State Street Bank & Trust Co. | USD | 204 | CZK | 4,336 | 3/14/18 | 4,129 | ||||||||||
State Street Bank & Trust Co. | USD | 1,664 | RUB | 95,161 | 4/17/18 | 17,838 | ||||||||||
|
| |||||||||||||||
$ | (144,007 | ) | ||||||||||||||
|
|
CALL OPTIONS WRITTEN (see Note D)
Description | Counterparty | Contracts | Exercise Price | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||
Euro STOXX 50 Index | | Citibank, NA | | 810 | EUR | 3,475.00 | | April 2018 | | EUR | 1 | $ | 59,594 | $ | (47,255 | ) | ||||||||||||
FTSE 100 Index | | Deutsche Bank AG | | 80 | GBP | 7,150.00 | | March 2018 | | GBP | 0 | ** | 11,049 | (12,681 | ) | |||||||||||||
FTSE 100 Index | | Deutsche Bank AG | | 100 | GBP | 7,150.00 | | March 2018 | | GBP | 0 | ** | 21,479 | (15,851 | ) | |||||||||||||
Nikkei 225 Index | | Goldman Sachs International | | 8,000 | JPY | 22,000.00 | | April 2018 | | JPY | 8 | 44,665 | (38,768 | ) | ||||||||||||||
S&P 500 Index | | Goldman Sachs International | | 3,900 | USD | 2,760.00 | | April 2018 | | USD | 4 | 226,200 | (146,279 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | 362,987 | $ | (260,834 | ) | ||||||||||||||||||||||||
|
|
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 47 |
PORTFOLIO OF INVESTMENTS (continued)
PUT OPTIONS WRITTEN (see Note D)
Description | Counterparty | Contracts | Exercise Price | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||
Euro STOXX 50 Index | | Citibank, NA | | 810 | EUR | 3,475.00 | | April 2018 | | EUR | 1 | $ | 82,784 | $ | (98,136 | ) | ||||||||||||
FTSE 100 Index | | Deutsche Bank AG | | 80 | GBP | 7,150.00 | | March 2018 | | GBP | 0 | ** | 25,100 | (5,630 | ) | |||||||||||||
FTSE 100 Index | | Deutsche Bank AG | | 100 | GBP | 7,150.00 | | March 2018 | | GBP | 0 | ** | 23,013 | (7,038 | ) | |||||||||||||
Nikkei 225 Index | | Goldman Sachs International | | 8,000 | JPY | 22,000.00 | | April 2018 | | JPY | 8 | 34,340 | (46,046 | ) | ||||||||||||||
S&P 500 Index | | Goldman Sachs International | | 3,900 | USD | 2,760.00 | | April 2018 | | USD | 4 | 183,495 | (303,085 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | 348,732 | $ | (459,935 | ) | ||||||||||||||||||||||||
|
|
|
|
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||
Notional | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
NOK | 7,850 | 4/27/27 | 6 Month NIBOR | 1.935% | Semi-Annual/Annual | $ | (17,717 | ) | $ | – 0 | – | $ | (17,717 | ) | ||||||||||||||
NOK | 16,860 | 11/03/27 | 6 Month NIBOR | 1.910% | Semi-Annual/Annual | (70,133 | ) | – 0 | – | (70,133 | ) | |||||||||||||||||
CHF | 1,030 | 11/03/27 | 0.263% | | 6 Month LIBOR | | Annual/Semi-Annual | 19,023 | – 0 | – | 19,023 | |||||||||||||||||
SEK | 20,080 | 12/06/27 | 3 Month STIBOR | 1.083% | Quarterly/ Annual | (36,626 | ) | (4 | ) | (36,622 | ) | |||||||||||||||||
NOK | 17,690 | 12/06/27 | 6 Month NIBOR | 1.795% | Semi-Annual/Annual | (99,562 | ) | – 0 | – | (99,562 | ) | |||||||||||||||||
NZD | 1,150 | 12/06/27 | 3.130% | | 3 Month BKBM | | Semi-Annual/Quarterly | 2,359 | – 0 | – | 2,359 | |||||||||||||||||
NOK | 11,860 | 1/11/28 | 6 Month NIBOR | 1.906% | Semi-Annual/Annual | (54,270 | ) | – 0 | – | (54,270 | ) | |||||||||||||||||
CHF | 2,990 | 1/11/28 | 0.270% | | 6 Month LIBOR | | Annual/Semi-Annual | 63,689 | 7 | 63,682 | ||||||||||||||||||
SEK | 1,770 | 1/11/28 | 3 Month STIBOR | 1.193% | Quarterly/ Annual | (1,662 | ) | – 0 | – | (1,662 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (194,899 | ) | $ | 3 | $ | (194,902 | ) | |||||||||||||||||||||
|
|
|
|
|
|
48 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CREDIT DEFAULT SWAPS (see Note D)
Swap Referenced | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2018 | Notional | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | % | Maturity | 3.17 | % | USD | 155 | $ | (7,252 | ) | $ | (9,338 | ) | $ | 2,086 | |||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | Maturity | 3.17 | USD | 122 | (5,700 | ) | (6,918 | ) | 1,218 | ||||||||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | Maturity | 3.17 | USD | 72 | (3,368 | ) | (2,954 | ) | (414 | ) | |||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | Maturity | 3.17 | USD | 166 | (7,766 | ) | (10,045 | ) | 2,279 | ||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | Maturity | 3.17 | USD | 88 | (4,122 | ) | (3,514 | ) | (608 | ) | |||||||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | Maturity | 3.17 | USD | 63 | (2,947 | ) | (3,661 | ) | 714 | ||||||||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | Maturity | 3.17 | USD | 62 | (2,901 | ) | (3,371 | ) | 470 | ||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | Maturity | 3.17 | USD | 24 | (1,123 | ) | (990 | ) | (133 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (35,179 | ) | $ | (40,791 | ) | $ | 5,612 | |||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 49 |
PORTFOLIO OF INVESTMENTS (continued)
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Payment Frequency | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||||||
iBoxx $ Liquid High Yield Index | 6,200,000 | LIBOR | Quarterly | USD | 6,200 | 3/20/18 | $ | (35,469 | ) | |||||||||||||||||||
MS Global Equity Long Index | 378,900 | | FedFundEffective Plus 0.55 | % | Maturity | USD | 41,822 | 3/29/18 | – 0 | – | ||||||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||||||||||
Bank of America, NA | 12,000,000 | LIBOR | Quarterly | USD | 12,000 | 3/20/18 | (270,171 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (305,640 | ) | ||||||||||||||||||||||||||
|
|
** | Notional amount less than 500. |
(a) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the aggregate market value of these securities amounted to $5,095,592 or 4.2% of net assets. |
(c) | Defaulted matured security. |
(d) | Non-income producing security. |
(e) | Illiquid security. |
(f) | An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of February 28, 2018 and the aggregate market value of these securities amounted to $842,506 or 0.70% of net assets. |
(g) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
(h) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(i) | Affiliated investments. |
(j) | The rate shown represents the 7-day yield as of period end. |
As of February 28, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.2% and 0.0%, respectively.
50 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Currency Abbreviations:
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 |
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 |
PEN – Peruvian Sol |
PHP – Philippine Peso |
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 |
Glossary:
AGM – Assured Guaranty Municipal |
AMBAC – Ambac Assurance Corporation |
ASX – Australian Stock Exchange |
BKBM – Bank Bill Benchmark (New Zealand) |
CBT – Chicago Board of Trade |
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index |
COP – Certificate of Participation |
EAFE – Europe, Australia, and Far East |
ETF – Exchange Traded Fund |
ETM – Escrowed to Maturity |
FedFundEffective – Federal Funds Effective Rate |
FTSE – Financial Times Stock Exchange |
GDR – Global Depositary Receipt |
LIBOR – London Interbank Offered Rates |
MSCI – Morgan Stanley Capital International |
NATL – National Interstate Corporation |
NIBOR – Norwegian Interbank Offered Rate |
REG – Registered Shares |
REIT – Real Estate Investment Trust |
SPDR – Standard & Poor’s Depository Receipt |
SPI – Share Price Index |
STIBOR – Stockholm Interbank Offered Rate |
TOPIX – Tokyo Price Index |
TSX – Toronto Stock Exchange |
XLCA – XL Capital Assurance Inc. |
The following table represents the 50 largest equity basket holdings underlying the total return swap with MS (Morgan Stanley) Global Equity Long Index as of February 28, 2018.
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
MS Global Equity Long Index | ||||||||||||
Royal Dutch Shell PLC | 26,187 | $ | 83,695,012 | 13.3 | % | |||||||
British American Tobacco PLC | 11,688 | 69,135,927 | 11.0 | % | ||||||||
Croda International PLC | 9,949 | 63,320,905 | 10.1 | % | ||||||||
Nice Ltd. | 6,072 | 59,208,774 | 9.4 | % | ||||||||
Intertek Group PLC | 7,238 | 48,963,663 | 7.8 | % |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 51 |
PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 2/28/18 | Percent of Basket’s Net Assets | |||||||||
Compass Group PLC | 18,816 | $ | 40,056,797 | 6.4 | % | |||||||
Moneysupermarket.com Group PLC | 110,292 | 39,562,615 | 6.3 | % | ||||||||
Auto Trader Group PLC | 71,795 | 36,084,687 | 5.7 | % | ||||||||
Persimmon PLC | 8,975 | 32,144,818 | 5.1 | % | ||||||||
Direct Line Insurance Group PLC | 54,596 | 28,778,158 | 4.6 | % | ||||||||
Unilever PLC | 4,957 | 25,482,492 | 4.1 | % | ||||||||
IG Group Holdings PLC | 20,267 | 22,563,425 | 3.6 | % | ||||||||
G4S PLC | 61,401 | 22,185,631 | 3.5 | % | ||||||||
Diageo PLC | 6,248 | 21,163,735 | 3.4 | % | ||||||||
Total System Services, Inc. | 13,010 | 1,144,204 | 0.2 | % | ||||||||
UnitedHealth Group, Inc. | 4,278 | 967,452 | 0.2 | % | ||||||||
Boeing Co (The) | 2,648 | 959,311 | 0.2 | % | ||||||||
Oracle Corp. | 18,506 | 937,723 | 0.1 | % | ||||||||
Anthem, Inc. | 3,760 | 885,063 | 0.1 | % | ||||||||
Microsoft Corp. | 9,412 | 882,568 | 0.1 | % | ||||||||
Apple, Inc. | 4,907 | 874,015 | 0.1 | % | ||||||||
Raytheon Co. | 3,732 | 811,768 | 0.1 | % | ||||||||
Swiss Re AG | 7,628 | 779,346 | 0.1 | % | ||||||||
Salmar ASA | 21,351 | 762,453 | 0.1 | % | ||||||||
Aristocrat Leisure Ltd. | 38,397 | 735,228 | 0.1 | % | ||||||||
Oracle Corp. Japan | 8,947 | 697,836 | 0.1 | % | ||||||||
HKT Trust & HKT Ltd. | 516,960 | 660,572 | 0.1 | % | ||||||||
Comcast Corp. | 18,163 | 657,668 | 0.1 | % | ||||||||
Toronto-Dominion Bank (The) | 11,220 | 647,161 | 0.1 | % | ||||||||
Amadeus IT Group SA | 8,733 | 645,187 | 0.1 | % | ||||||||
Tyson Foods, Inc. | 8,587 | 638,681 | 0.1 | % | ||||||||
Ross Stores, Inc. | 8,097 | 632,303 | 0.1 | % | ||||||||
Nippon Telegraph & Telephone Corp. | 12,945 | 604,573 | 0.1 | % | ||||||||
FNF Group | 15,048 | 600,859 | 0.1 | % | ||||||||
Philip Morris International, Inc. | 5,645 | 584,495 | 0.1 | % | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 81,320 | 581,111 | 0.1 | % | ||||||||
Royal Bank of Canada | 7,362 | 580,062 | 0.1 | % | ||||||||
RELX NV | 27,781 | 571,098 | 0.1 | % | ||||||||
Otsuka Corp. | 5,994 | 560,252 | 0.1 | % | ||||||||
CVS Health Corp. | 8,257 | 559,224 | 0.1 | % | ||||||||
Gilead Sciences, Inc. | 7,032 | 553,658 | 0.1 | % | ||||||||
Texas Instruments, Inc. | 5,080 | 550,435 | 0.1 | % | ||||||||
Booz Allen Hamilton Holding Corp. | 14,380 | 545,441 | 0.1 | % | ||||||||
Marsh & McLennan Cos, Inc. | 6,508 | 540,335 | 0.1 | % | ||||||||
Home Depot, Inc. (The) | 2,875 | 524,116 | 0.1 | % | ||||||||
Fidelity National Information Services, Inc. | 5,352 | 520,079 | 0.1 | % | ||||||||
Cap Gemini SA | 4,117 | 517,150 | 0.1 | % | ||||||||
Pfizer, Inc. | 13,482 | 489,542 | 0.1 | % | ||||||||
Merck & Co, Inc. | 9,021 | 489,111 | 0.1 | % | ||||||||
Partners Group Holding AG | 645 | 468,975 | 0.1 | % | ||||||||
Other | 356,250 | 11,719,384 | 1.8 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 628,225,078 | 100.0 | % | ||||||||
|
|
|
|
See notes to financial statements.
52 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
February 28, 2018 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $116,861,116) | $ | 118,258,554 | ||
Affiliated issuers (cost $98,150) | 98,150 | |||
Cash | 887 | |||
Cash collateral due from broker | 4,062,540 | |||
Foreign currencies, at value (cost $74,260) | 75,256 | |||
Unaffiliated interest and dividends receivable | 865,819 | |||
Unrealized appreciation on forward currency exchange contracts | 828,199 | |||
Receivable for investment securities sold | 307,752 | |||
Receivable for variation margin on futures | 253,431 | |||
Receivable for newly entered total return swaps | 19,596 | |||
Receivable for shares of beneficial interest sold | 17,156 | |||
Unrealized appreciation on credit default swaps | 6,767 | |||
Affiliated dividends receivable | 1,979 | |||
Other asset | 4,920 | |||
|
| |||
Total assets | 124,801,006 | |||
|
| |||
Liabilities | ||||
Options written, at value (premiums received $711,719) | 720,769 | |||
Payable for terminated total return swaps | 1,269,304 | |||
Unrealized depreciation on forward currency exchange contracts | 972,206 | |||
Cash collateral due to broker | 370,000 | |||
Unrealized depreciation on total return swaps | 305,640 | |||
Payable for investment securities purchased | 245,153 | |||
Payable for shares of beneficial interest redeemed | 58,045 | |||
Upfront premiums received on credit default swaps | 40,791 | |||
Payable for variation margin on centrally cleared swaps | 33,512 | |||
Advisory fee payable | 27,186 | |||
Distribution fee payable | 21,779 | |||
Transfer Agent fee payable | 11,668 | |||
Unrealized depreciation on credit default swaps | 1,155 | |||
Trustees’ fees payable | 977 | |||
Accrued expenses | 56,600 | |||
|
| |||
Total liabilities | 4,134,785 | |||
|
| |||
Net Assets | $ | 120,666,221 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 97 | ||
Additional paid-in capital | 115,527,217 | |||
Undistributed net investment income | 900,604 | |||
Accumulated net realized gain on investment and foreign currency transactions | 4,247,077 | |||
Net unrealized depreciation on investments and foreign currency denominated assets and liabilities | (8,774 | ) | ||
|
| |||
$ | 120,666,221 | |||
|
|
See notes to financial statements.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 53 |
STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 72,399,324 | 5,805,518 | $ | 12.47 | * | ||||||
| ||||||||||||
B | $ | 669,769 | 52,498 | $ | 12.76 | |||||||
| ||||||||||||
C | $ | 9,282,002 | 732,177 | $ | 12.68 | |||||||
| ||||||||||||
Advisor | $ | 38,315,126 | 3,068,157 | $ | 12.49 | |||||||
|
* | The maximum offering price per share for Class A shares was $13.02 which reflects a sales charge of 4.25%. |
See notes to financial statements.
54 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2018 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $20,571) | $ | 1,079,479 | ||||||
Affiliated issuers | 6,473 | |||||||
Interest | 1,272,449 | $ | 2,358,401 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 347,000 | |||||||
Distribution fee—Class A | 94,219 | |||||||
Distribution fee—Class B | 3,523 | |||||||
Distribution fee—Class C | 53,354 | |||||||
Transfer agency—Class A | 30,528 | |||||||
Transfer agency—Class B | 435 | |||||||
Transfer agency—Class C | 4,546 | |||||||
Transfer agency—Advisor Class | 15,972 | |||||||
Custodian | 78,613 | |||||||
Audit and tax | 33,344 | |||||||
Registration fees | 30,546 | |||||||
Legal | 22,978 | |||||||
Printing | 20,638 | |||||||
Trustees’ fees | 14,282 | |||||||
Miscellaneous | 8,394 | |||||||
|
| |||||||
Total expenses before interest expense | 758,372 | |||||||
Interest expense(a) | 5,221 | |||||||
|
| |||||||
Total expenses | 763,593 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (141,757 | ) | ||||||
|
| |||||||
Net expenses | 621,836 | |||||||
|
| |||||||
Net investment income | 1,736,565 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 3,071,448 | |||||||
Forward currency exchange contracts | (187,489 | ) | ||||||
Futures | (2,951,792 | ) | ||||||
Options written | (297,823 | ) | ||||||
Swaps | 3,704,655 | |||||||
Foreign currency transactions | (146,318 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | (4,514,104 | ) | ||||||
Forward currency exchange contracts | 63,684 | |||||||
Futures | (236,500 | ) | ||||||
Options written | (163,359 | ) | ||||||
Swaps | (684,832 | ) | ||||||
Foreign currency denominated assets and liabilities | (3,400 | ) | ||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (2,345,830 | ) | ||||||
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (609,265 | ) | |||||
|
|
(a) | Non-financing expense. |
See notes to financial statements.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 55 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,736,565 | $ | 3,332,491 | ||||
Net realized gain on investment and foreign currency transactions | 3,192,681 | 7,973,945 | ||||||
Net realized gain distributions from Affiliated Underlying Portfolios | – 0 | – | 1,785,834 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (5,538,511 | ) | (3,617,725 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (609,265 | ) | 9,474,545 | |||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income |
| |||||||
Class A | (2,693,823 | ) | (982,853 | ) | ||||
Class B | (15,378 | ) | – 0 | – | ||||
Class C | (177,484 | ) | (136,909 | ) | ||||
Advisor Class | (1,518,939 | ) | (661,148 | ) | ||||
Net realized gain on investment transactions | ||||||||
Class A | (4,948,322 | ) | (387,898 | ) | ||||
Class B | (45,255 | ) | (5,921 | ) | ||||
Class C | (693,987 | ) | (131,295 | ) | ||||
Advisor Class | (2,583,873 | ) | (217,581 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 4,072,864 | (16,276,669 | ) | |||||
|
|
|
| |||||
Total decrease | (9,213,462 | ) | (9,325,729 | ) | ||||
Net Assets | ||||||||
Beginning of period | 129,879,683 | 139,205,412 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $900,604 and $3,569,663, respectively) | $ | 120,666,221 | $ | 129,879,683 | ||||
|
|
|
|
See notes to financial statements.
56 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS
February 28, 2018 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) was organized as a Massachusetts Business Trust on March 26, 1987 and is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates to the AB Tax-Managed All Market Income Portfolio (formerly AB Tax-Managed Balanced Wealth Strategy) (the “Fund”). The Fund offers Class A, Class B, Class C and Advisor Class 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, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Advisor Class shares are sold without any initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All four classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The 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.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 57 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 Company’s Board of Trustees (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 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.
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Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values 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) |
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
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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.
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
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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 February 28, 2018:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Long-Term Municipal Bonds | $ | – 0 | – | $ | 56,920,880 | $ | 7,706,523 | $ | 64,627,403 | |||||||
Short-Term Municipal Notes | – 0 | – | 8,200,000 | – 0 | – | 8,200,000 | ||||||||||
Common Stocks: | ||||||||||||||||
Consumer Staples | 2,374,954 | 2,121,109 | – 0 | – | 4,496,063 | |||||||||||
Health Care | 2,201,169 | 1,916,500 | – 0 | – | 4,117,669 | |||||||||||
Financials | 1,635,379 | 2,096,786 | – 0 | – | 3,732,165 | |||||||||||
Information Technology | 2,542,050 | 273,182 | – 0 | – | 2,815,232 | |||||||||||
Industrials | 665,462 | 1,933,433 | – 0 | – | 2,598,895 | |||||||||||
Consumer Discretionary | 1,265,518 | 1,237,240 | – 0 | – | 2,502,758 | |||||||||||
Energy | 1,508,598 | 515,312 | – 0 | – | 2,023,910 | |||||||||||
Utilities | 1,319,724 | 567,151 | – 0 | – | 1,886,875 | |||||||||||
Materials | 787,630 | 869,772 | – 0 | – | 1,657,402 | |||||||||||
Telecommunication Services | 827,330 | 638,657 | – 0 | – | 1,465,987 | |||||||||||
Real Estate | – 0 | – | 287,945 | – 0 | – | 287,945 | ||||||||||
Investment Companies | 10,073,011 | – 0 | – | – 0 | – | 10,073,011 | ||||||||||
Preferred Stocks | 7,773,239 | – 0 | – | – 0 | – | 7,773,239 | ||||||||||
Short-Term Investments | 98,150 | – 0 | – | – 0 | – | 98,150 | ||||||||||
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Total Investments in Securities | 33,072,214 | 77,577,967 | 7,706,523 | 118,356,704 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 88,166 | 10,861 | – 0 | – | 99,027 | (b) | ||||||||||
Forward Currency Exchange Contracts | – 0 | – | 828,199 | – 0 | – | 828,199 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 85,071 | – 0 | – | 85,071 | (b) | |||||||||
Liabilities: | ||||||||||||||||
Futures | (650,196 | ) | (206,335 | ) | – 0 | – | (856,531 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (972,206 | ) | – 0 | – | (972,206 | ) | ||||||||
Call Options Written | – 0 | – | (260,834 | ) | – 0 | – | (260,834 | ) | ||||||||
Put Options Written | – 0 | – | (459,935 | ) | – 0 | – | (459,935 | ) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (279,970 | ) | – 0 | – | (279,970 | )(b) | ||||||||
Credit Default Swaps | – 0 | – | (35,179 | ) | – 0 | – | (35,179 | ) | ||||||||
Total Return Swaps | – 0 | – | (305,640 | ) | – 0 | – | (305,640 | ) | ||||||||
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Total(c) | $ | 32,510,184 | $ | 75,981,999 | $ | 7,706,523 | $ | 116,198,706 | ||||||||
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(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 swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Centrally cleared swaps with upfront premiums are presented here at market value. |
(c) | There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period. |
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NOTES TO FINANCIAL STATEMENTS (continued)
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.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Long-Term Municipal Bonds | Total | |||||||
Balance as of 8/31/17 | $ | 3,654,007 | $ | 3,654,007 | ||||
Accrued discounts/(premiums) | (7,769 | ) | (7,769 | ) | ||||
Realized gain (loss) | 9,502 | 9,502 | ||||||
Change in unrealized appreciation/depreciation | (38,324 | ) | (38,324 | ) | ||||
Purchases | 4,686,919 | 4,686,919 | ||||||
Sales | (323,785 | ) | (323,785 | ) | ||||
Transfers in to Level 3 | – 0 | – | – 0 | – | ||||
Transfers out of Level 3 | (274,027 | ) | (274,027 | )(b) | ||||
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Balance as of 2/28/18 | $ | 7,706,523 | $ | 7,706,523 | ||||
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Net change in unrealized appreciation/depreciation from investments held as of 2/28/18(a) | $ | (29,025 | ) | $ | (29,025 | ) | ||
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(a) | The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying statement of operations. |
(b) | There were de minimis transfers under 1% of net assets during the reporting period. |
As of February 28, 2018, all Level 3 securities were priced by third party vendors.
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), 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 any third party which performs certain pricing functions in accordance
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NOTES TO FINANCIAL STATEMENTS (continued)
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, 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.
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
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NOTES TO FINANCIAL STATEMENTS (continued)
gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. Investment transactions are accounted for on the date the securities are purchased or sold.
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. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement (the “Advisory Agreement”), the Fund pays the Adviser an advisory fee at an annual rate of .55% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. Effective April 17, 2017, the Adviser has
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NOTES TO FINANCIAL STATEMENTS (continued)
contractually agreed to waive advisory fees and/or to bear certain expenses to the extent necessary to limit total operating expenses (excluding acquired fund fees and expenses, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transactions costs), on an annual basis (the “Expense Caps”) to .99%, 1.74%, 1.74% and .74% of the daily average net assets for the Class A, Class B, Class C and Advisor Class shares, respectively. For the six months ended February 28, 2018, such reimbursement amounted to $140,403. The Expense Caps will remain in effect through December 31, 2018.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. In connection with the investment by the Fund in the Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended February 28, 2018, such waivers amounted to $1,354.
A summary of the Fund’s transactions in AB mutual funds for the six months ended February 28, 2018 is as follows:
Fund | Market Value 8/31/17 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 2/28/18 (000) | Dividend Income (000) | |||||||||||||||
Government Money | $ | 852 | $ | 31,643 | $ | 32,397 | $ | 98 | $ | 6 |
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 $29,751 for the six months ended February 28, 2018.
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 $453 from the sale of Class A shares and received $6,790, $369 and $68 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 February 28, 2018.
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NOTES TO FINANCIAL STATEMENTS (continued)
Brokerage commissions paid on investment transactions for the six months ended February 28, 2018 amounted to $21,658, 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 Plans
The Fund has adopted a Plan for each class of shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940 (each a “Plan” and collectively the “Plans”). Under the Plans, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .50% of the Fund’s average daily net assets attributable to Class A shares and 1% of the Fund’s average daily net assets attributable to both Class B and Class C shares. There are no distribution and servicing fees on the Advisor Class shares. The fees are accrued daily and paid monthly. Effective August 1, 2014, payments under the Class A shares are limited to an annual rate of .25% of Class A share’s average daily net assets. The Plans provide that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Fund is not obligated under the Plan to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Fund’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities Exchange Commission as being a “compensation” plan.
In the event that a Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Fund to the Distributor with respect to the relevant class. The Plans also provide that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended February 28, 2018 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding | $ | 32,117,350 | $ | 47,021,600 | ||||
U.S. government securities | – 0 | – | – 0 | – |
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NOTES TO FINANCIAL STATEMENTS (continued)
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 are as follows:
Gross unrealized appreciation | $ | 5,362,206 | ||
Gross unrealized depreciation | (5,370,259 | ) | ||
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Net unrealized depreciation | $ | (8,053 | ) | |
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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 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 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.
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Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended February 28, 2018, 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 forward currency exchange contracts. 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 February 28, 2018, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
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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. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. 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 February 28, 2018, the maximum payments for written put options amounted to $17,619,369. 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 February 28, 2018, the Fund held written options for hedging and non-hedging purposes.
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under
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NOTES TO FINANCIAL STATEMENTS (continued)
“Total Return Swaps”. 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 statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
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.
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NOTES TO FINANCIAL STATEMENTS (continued)
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 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 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.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended February 28, 2018, 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
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NOTES TO FINANCIAL STATEMENTS (continued)
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 referenced obligations with the same counterparty. As of February 28, 2018, the Fund did not have Buy Contracts outstanding with respect to the same referenced obligations and same counterparty for its Sale 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.
Implied credit spreads over U.S. Treasuries of comparable maturity 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
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NOTES TO FINANCIAL STATEMENTS (continued)
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.
During the six months ended February 28, 2018, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to 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 February 28, 2018, the Fund held total return swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC 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 OTC counterparty certain derivative financial instruments’ 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. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.
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NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2018, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 9,562 | * | Receivable/Payable for variation margin on futures | $ | 125,162 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | 89,465 | * | Receivable/Payable for variation margin on futures | 731,369 | * | ||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps |
| 85,064 | * | Receivable/Payable for variation margin on centrally cleared swaps |
| 279,966 | * | ||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts |
| 828,199 |
| Unrealized depreciation on forward currency exchange contracts |
| 972,206 |
| ||||
Equity contracts | Options written, at value | 720,769 | ||||||||||
Credit contracts | Unrealized appreciation on credit default swaps |
| 6,767 |
| Unrealized depreciation on credit default swaps | 1,155 | ||||||
Equity contracts | Unrealized depreciation on total return swaps | 305,640 | ||||||||||
|
|
|
| |||||||||
Total | $ | 1,019,057 | $ | 3,136,267 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures and centrally cleared swaps as reported in the portfolio of investments. |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (450,452 | ) | $ | (105,232 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (2,501,340 | ) | (131,268 | ) | |||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (187,489 | ) | 63,684 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | (297,823 | ) | (163,359 | ) | |||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 140,005 | (305,096 | ) | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 3,208 | 5,612 | |||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 3,561,442 | (385,348 | ) | ||||||
|
|
|
| |||||||
Total | $ | 267,551 | $ | (1,021,007 | ) | |||||
|
|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended February 28, 2018:
Futures: | ||||
Average original value of buy contracts | $ | 25,079,019 | ||
Average original value of sale contracts | $ | 39,860,737 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 35,858,443 | ||
Average principal amount of sale contracts | $ | 38,894,972 | ||
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NOTES TO FINANCIAL STATEMENTS (continued)
Options Written: | ||||
Average notional amount | $ | 8,290 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 11,359,966 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 568,500 | (a) | |
Total Return Swaps: | ||||
Average notional amount | $ | 46,692,137 | (b) |
(a) | Positions were open for four months during the period. |
(b) | Positions were open for five 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 statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Fund as of February 28, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Bank of America, NA | $ | 147,336 | $ | (147,336 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Barclays Bank PLC | 24,309 | (24,309 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 11,037 | – 0 | – | – 0 | – | – 0 | – | 11,037 | ||||||||||||
Citibank, NA | 72,956 | (72,956 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 325,033 | (325,033 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 84,012 | (81,834 | ) | – 0 | – | – 0 | – | 2,178 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 3,348 | (3,348 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 49,435 | – 0 | – | – 0 | – | – 0 | – | 49,435 | ||||||||||||
Standard Chartered Bank | 26,232 | (6,582 | ) | – 0 | – | – 0 | – | 19,650 | ||||||||||||
State Street Bank & Trust Co. | 84,501 | (84,501 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 828,199 | $ | (745,899 | ) | $ | – 0 | – | $ | – 0 | – | $ | 82,300 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivatives Liabilities | |||||||||||||||
Bank of America, NA | $ | 378,325 | $ | (147,336 | ) | $ | (230,989 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Barclays Bank PLC | 55,795 | (24,309 | ) | – 0 | – | – 0 | – | 31,486 | ||||||||||||
Citibank, NA | 225,933 | (72,956 | ) | – 0 | – | – 0 | – | 152,977 | ||||||||||||
Credit Suisse International | 419,682 | (325,033 | ) | – 0 | – | – 0 | – | 94,649 | ||||||||||||
Deutsche Bank AG | 81,834 | (81,834 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 611,544 | (3,348 | ) | (527,000 | ) | – 0 | – | 81,196 | ||||||||||||
HSBC Bank USA | 10,850 | – 0 | – | – 0 | – | – 0 | – | 10,850 | ||||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley & Co., Inc./ Morgan Stanley Capital Services LLC | 47,603 | – 0 | – | (47,603 | ) | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 6,582 | (6,582 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 195,646 | (84,501 | ) | – 0 | – | – 0 | – | 111,145 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,033,794 | $ | (745,899 | ) | $ | (805,592 | ) | $ | – 0 | – | $ | 482,303 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be 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. |
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).
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 30,455 | 286,363 | $ | 413,766 | $ | 3,802,803 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 516,857 | 92,015 | 6,658,779 | 1,181,476 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class B | 5,725 | 40,340 | 78,049 | 530,408 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 120,221 | 759,662 | 1,597,557 | 10,166,713 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (431,637 | ) | (1,184,444 | ) | (5,830,389 | ) | (15,664,454 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 241,621 | (6,064 | ) | $ | 2,917,762 | $ | 16,946 | |||||||||||||||||
| ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Shares sold | 1,724 | 7,880 | $ | 23,567 | $ | 106,203 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 4,411 | 435 | 58,162 | 5,685 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (5,647 | ) | (39,894 | ) | (78,049 | ) | (530,408 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,075 | ) | (15,521 | ) | (28,323 | ) | (206,499 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (1,587 | ) | (47,100 | ) | $ | (24,643 | ) | $ | (625,019 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 15,421 | 54,351 | $ | 204,456 | $ | 718,233 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 59,164 | 18,386 | 775,320 | 237,358 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (119,274 | ) | (757,411 | ) | (1,597,557 | ) | (10,166,713 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (83,626 | ) | (346,378 | ) | (1,136,018 | ) | (4,598,351 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (128,315 | ) | (1,031,052 | ) | $ | (1,753,799 | ) | $ | (13,809,473 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 252,907 | 527,661 | $ | 3,366,152 | $ | 6,994,174 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 264,944 | 54,739 | 3,418,404 | 703,396 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (288,670 | ) | (717,853 | ) | (3,851,012 | ) | (9,556,693 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 229,181 | (135,453 | ) | $ | 2,933,544 | $ | (1,859,123 | ) | ||||||||||||||||
|
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE F
Risks Involved in Investing in the Fund
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.
Allocation Risk—The allocation of investments among different investment styles, such as equity or debt, growth or value, U.S. or non-U.S. securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value, or NAV, when one of these investments is performing more poorly than another.
High Yield 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.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Municipal Market Risk—This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Fund’s investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invest more of its assets in a particular state’s municipal securities, the Fund’s may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism and catastrophic natural disasters, such as hurricanes or earthquakes. The
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NOTES TO FINANCIAL STATEMENTS (continued)
Fund’s investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.
Real Estate Risk—The Fund’s investments in the real estate market have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in real estate investment trusts, or “REITs”, may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
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.
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 on the 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 other types of derivative instruments by the Fund, such as 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
Liquidity Risk—Liquidity risk occurs when certain investments are difficult to purchase or sell. Difficulty in selling less liquid securities may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of liquidity risk may include low trading volumes and large positions. Foreign fixed-income securities may have more liquidity risk because secondary trading markets for these securities may be smaller and less well-developed and the securities may trade less frequently. Liquidity risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
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 G
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 statement of operations. The Fund did not utilize the Facility during the six months ended February 28, 2018.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2017 and August 31, 2016 were as follows:
2017 | 2016 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 915,382 | $ | 1,188,142 | ||||
Long-term capital gains | 744,793 | 4,825,360 | ||||||
|
|
|
| |||||
Total taxable distributions | 1,660,175 | 6,013,502 | ||||||
Tax-exempt distributions | 863,430 | 982,124 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 2,523,605 | $ | 6,995,626 | ||||
|
|
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 81 |
NOTES TO FINANCIAL STATEMENTS (continued)
As of August 31, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 4,893,252 | (a) | |
Undistributed capital gains | 7,393,319 | |||
Unrealized appreciation/(depreciation) | 6,140,453 | (b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 18,427,024 | (c) | |
|
|
(a) | Includes tax exempt income of $1,452,403. |
(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, the tax treatment of passive foreign investment companies (PFICs), and the recognition for tax purposes of unrealized gains/losses on certain derivative instruments. |
(c) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to the tax treatment of defaulted securities. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of August 31, 2017, the Fund did not have any capital loss carryforwards.
NOTE I
Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
NOTE J
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
82 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.93 | $ 13.20 | $ 13.32 | $ 14.13 | $ 12.87 | $ 12.28 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .18 | (b) | .34 | (b)‡ | .17 | (b) | .19 | (b) | .28 | (b) | .17 | |||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.23 | ) | .65 | .37 | (.49 | ) | 1.24 | .57 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.05 | ) | .99 | .54 | (.30 | ) | 1.52 | .74 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.50 | ) | (.19 | ) | (.21 | ) | (.06 | ) | (.26 | ) | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.91 | ) | (.07 | ) | (.45 | ) | (.45 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.41 | ) | (.26 | ) | (.66 | ) | (.51 | ) | (.26 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.47 | $ 13.93 | $ 13.20 | $ 13.32 | $ 14.13 | $ 12.87 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.50 | )% | 7.64 | %*‡+ | 4.19 | %* | (2.19 | )%* | 11.89 | %* | 6.08 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $72,399 | $77,486 | $73,526 | $79,242 | $95,133 | $89,453 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | .99 | %^ | 1.08 | % | 1.13 | % | 1.13 | % | 1.19 | % | 1.24 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.21 | %^ | 1.25 | % | 1.19 | % | 1.18 | % | 1.20 | % | 1.24 | % | ||||||||||||
Net investment income | 2.74 | %^(b) | 2.57 | %(b)‡ | 1.31 | %(b) | 1.39 | %(b) | 2.03 | %(b) | 1.32 | % | ||||||||||||
Portfolio turnover rate | 26 | % | 85 | % | 25 | % | 29 | % | 58 | % | 32 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .06 | %^ | .11 | % | .16 | % | .17 | % | .01 | % | – 0 | – |
See footnote summary on page 87.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 83 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class B | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.08 | $ 13.27 | $ 13.29 | $ 14.15 | $ 12.90 | $ 12.29 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .14 | (b) | .24 | (b)‡ | .08 | (b) | .09 | (b) | .19 | (b) | .08 | |||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.24 | ) | .64 | .37 | (.50 | ) | 1.24 | .58 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.10 | ) | .88 | .45 | (.41 | ) | 1.43 | .66 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.31 | ) | – 0 | – | (.02 | ) | – 0 | – | (.18 | ) | (.05 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.91 | ) | (.07 | ) | (.45 | ) | (.45 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.22 | ) | (.07 | ) | (.47 | ) | (.45 | ) | (.18 | ) | (.05 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.76 | $ 14.08 | $ 13.27 | $ 13.29 | $ 14.15 | $ 12.90 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.88 | )% | 6.69 | %*‡+ | 3.46 | %* | (2.98 | )%* | 11.14 | %* | 5.39 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $670 | $762 | $1,342 | $2,322 | $4,631 | $7,066 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | 1.74 | %^ | 1.88 | % | 1.88 | % | 1.88 | % | 1.91 | % | 1.96 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 2.00 | %^ | 2.03 | % | 1.94 | % | 1.94 | % | 1.91 | % | 1.96 | % | ||||||||||||
Net investment income | 1.99 | %^(b) | 1.80 | %(b)‡ | .60 | %(b) | .68 | %(b) | 1.41 | %(b) | .62 | % | ||||||||||||
Portfolio turnover rate | 26 | % | 85 | % | 25 | % | 29 | % | 58 | % | 32 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .06 | %^ | .11 | % | .16 | % | .17 | % | .01 | % | – 0 | – |
See footnote summary on page 87.
84 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.93 | $ 13.19 | $ 13.30 | $ 14.17 | $ 12.92 | $ 12.32 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .13 | (b) | .23 | (b)‡ | .07 | (b) | .09 | (b) | .18 | (b) | .08 | |||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.23 | ) | .66 | .37 | (.50 | ) | 1.25 | .58 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.10 | ) | .89 | .44 | (.41 | ) | 1.43 | .66 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.08 | ) | (.10 | ) | (.01 | ) | (.18 | ) | (.06 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.91 | ) | (.07 | ) | (.45 | ) | (.45 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.15 | ) | (.15 | ) | (.55 | ) | (.46 | ) | (.18 | ) | (.06 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.68 | $ 13.93 | $ 13.19 | $ 13.30 | $ 14.17 | $ 12.92 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.90 | )% | 6.82 | %*‡+ | 3.40 | %* | (2.96 | )%* | 11.17 | %* | 5.36 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $9,282 | $11,986 | $24,955 | $27,177 | $31,135 | $30,434 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | 1.74 | %^ | 1.86 | % | 1.89 | % | 1.88 | % | 1.90 | % | 1.95 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.96 | %^ | 1.99 | % | 1.94 | % | 1.94 | % | 1.90 | % | 1.95 | % | ||||||||||||
Net investment income | 1.98 | %^(b) | 1.72 | %(b)‡ | .56 | %(b) | .63 | %(b) | 1.33 | %(b) | .62 | % | ||||||||||||
Portfolio turnover rate | 26 | % | 85 | % | 25 | % | 29 | % | 58 | % | 32 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .06 | %^ | .11 | % | .16 | % | .17 | % | .01 | % | – 0 | – |
See footnote summary on page 87.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 85 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.96 | $ 13.24 | $ 13.36 | $ 14.16 | $ 12.88 | $ 12.29 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .20 | (b) | .37 | (b)‡ | .20 | (b) | .22 | (b) | .31 | (b) | .21 | |||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.22 | ) | .64 | .38 | (.49 | ) | 1.26 | .57 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.02 | ) | 1.01 | .58 | (.27 | ) | 1.57 | .78 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.54 | ) | (.22 | ) | (.25 | ) | (.08 | ) | (.29 | ) | (.19 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.91 | ) | (.07 | ) | (.45 | ) | (.45 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.45 | ) | (.29 | ) | (.70 | ) | (.53 | ) | (.29 | ) | (.19 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.49 | $ 13.96 | $ 13.24 | $ 13.36 | $ 14.16 | $ 12.88 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.45 | )% | 7.84 | %*‡+ | 4.48 | %* | (1.96 | )%* | 12.29 | %* | 6.37 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $38,315 | $39,646 | $39,382 | $40,917 | $40,249 | $27,789 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | .74 | %^ | .84 | % | .89 | % | .88 | % | .89 | % | .94 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | .96 | %^ | 1.00 | % | .94 | % | .94 | % | .90 | % | .94 | % | ||||||||||||
Net investment income | 2.99 | %^(b) | 2.81 | %(b)‡ | 1.55 | %(b) | 1.61 | %(b) | 2.24 | %(b) | 1.60 | % | ||||||||||||
Portfolio turnover rate | 26 | % | 85 | % | 25 | % | 29 | % | 58 | % | 32 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .06 | %^ | .11 | % | .16 | % | .17 | % | .01 | % | – 0 | – |
See footnote summary on page 87.
86 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of fees and expenses waived/reimbursed by the Adviser. |
(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) | In connection with the Fund’s investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of affiliated/unaffiliated acquired fund fees and expenses, and for the year ended August 31, 2017 such waiver amounted .04%. |
‡ | For the year ended August 31, 2017 the amount includes a refund for overbilling of prior years’ custody out of pocket fees as follows: |
Net Investment Income Per Share | Net Investment Income Ratio | Total Return | ||
$.012 | .09% | .09% |
* | 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 August 31, 2017, August 31, 2016, August 31, 2015, August 31, 2014 and August 31, 2013 by .01%, .02%, .05%, .01% and .01%, respectively. |
+ | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
^ | Annualized. |
See notes to financial statements.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 87 |
BOARD OF TRUSTEES
TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Michael J. Downey(1) William H. Foulk, Jr.(1) Nancy P. Jacklin(1) | Robert M. Keith, President and Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Morgan C. Harting(2), Vice President Daniel J. Loewy(2), Vice President Emilie D. Wrapp, Clerk Joseph J. Mantineo, Treasurer and Chief Financial Officer | Phyllis J. Clarke, Controller and Chief Accounting Officer 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 day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Harting and Loewy are the investment professionals primarily responsible for the day-to-day management of Tax-Managed All Market Income Portfolio. |
88 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Tax-Managed All Market Income Portfolio (formerly AB Tax-Managed Balanced Wealth Strategy) (the “Fund”) at a meeting held on August 1-2, 2017 (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 Company’s Senior Officer (who is also the Company’s Independent Compliance Officer), who acted as their independent fee consultant, 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 Company’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 review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. 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
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 89 |
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 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 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 and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2015 and 2016 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Company’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 relationships 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 relationships with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby 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 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
90 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed information prepared by an analytical service that is not affiliated with the Adviser (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a peer group and a peer universe, and information prepared by the Adviser showing performance of the Class A Shares of the Fund against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2017 and (in the case of comparisons with the broad-based securities market index) for the period from inception. 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 the 15(c) service provider concerning advisory fee rates paid by other funds in the same 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 compared the Fund’s contractual effective advisory fee rate with a peer group median.
The Adviser informed the directors that there were no institutional products managed by it that have a substantially similar investment style.
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 also 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.
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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 the 15(c) provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the information included the pro forma expense ratio to reflect a reduction in the Fund’s expense ratio effective since the recent changes to the Fund’s investment strategies. The directors considered the effects of any fee waivers and/or expense reimbursements as a result of the Adviser’s expense cap. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s 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 pro forma expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. 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 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 shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
US CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
US GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
INTERNATIONAL/ GLOBAL CORE
Global Core Equity Portfolio
International Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed International Portfolio
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
INTERNATIONAL/ GLOBAL GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund1
INTERNATIONAL/ GLOBAL EQUITY (continued)
INTERNATIONAL/ GLOBAL VALUE
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
Tax-Aware Fixed Income Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
FlexFee™ High Yield Portfolio1
FlexFee™ International Bond Portfolio
Global Bond Fund
High Income Fund
Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
Unconstrained Bond Fund
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
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
CLOSED-END FUNDS
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio 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.
1 | Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio. |
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
TAMI-0152-0218
FEB 02.28.18
SEMI-ANNUAL REPORT
AB TAX-MANAGED WEALTH APPRECIATION STRATEGY
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.
FROM THE PRESIDENT |
Dear Shareholder,
We are pleased to provide this report for AB Tax-Managed Wealth Appreciation Strategy (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
As always, AB strives to keep clients ahead of what’s next by:
+ | Transforming uncommon insights into uncommon knowledge with a global research scope |
+ | Navigating markets with seasoned investment experience and sophisticated solutions |
+ | Providing thoughtful investment insights and actionable ideas |
Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.
AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.
For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in the AB Mutual Funds.
Sincerely,
Robert M. Keith
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 1 |
SEMI-ANNUAL REPORT
April 6, 2018
This report provides management’s discussion of fund performance for AB Tax-Managed Wealth Appreciation Strategy for the semi-annual reporting period ended February 28, 2018.
Effective July 14, 2017, the Fund made certain changes to its principal strategies, including eliminating static asset allocation targets for investment. The Fund also previously allocated approximately one third of its assets to “diversification investments”, which included alternative investments; these assets have been reallocated in a manner consistent with the Fund’s new principal strategies. Accordingly, the performance shown prior to July 14, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
The Fund’s investment objective is long-term growth of capital.
NAV RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
6 Months | 12 Months | |||||||
AB TAX-MANAGED WEALTH APPRECIATION STRATEGY1 | ||||||||
Class A Shares | 9.32% | 18.16% | ||||||
Class B Shares2 | 8.88% | 17.24% | ||||||
Class C Shares | 8.94% | 17.31% | ||||||
Advisor Class Shares3 | 9.47% | 18.51% | ||||||
Primary Benchmark: MSCI ACWI (net)4 | 9.07% | 18.79% | ||||||
S&P 500 Index | 10.84% | 17.10% | ||||||
MSCI ACWI ex-US (net) | 7.59% | 21.63% | ||||||
Blended Benchmark: 60% S&P 500 Index / 40% MSCI ACWI ex-US (net) | 9.53% | 18.92% |
1 | 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 February 28, 2018, by 0.02% and 0.03%, respectively. |
2 | Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information. |
3 | Please note that this share class is 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. |
4 | Effective July 14, 2017, in connection with the changes in investment strategy, the broad-based index used for comparison with the Fund’s performance has changed from the S&P 500 to the MSCI ACWI (net) because the new index more closely reflects the Fund’s investments. |
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions.
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INVESTMENT RESULTS
The preceding table shows the Fund’s performance compared to its primary benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) net, for the six- and 12-month periods ended February 28, 2018. Also included are the Fund’s previous benchmarks: the Standard and Poor’s (“S&P”) 500 Index, the MSCI ACWI ex-US (net) and the blended benchmark, composed of 60% S&P 500 Index / 40% MSCI ACWI ex-US (net).
For the six-month period, Class A and Advisor Class shares outperformed the primary benchmark, while Class B and C shares underperformed, before sales charges. The Fund’s overall allocation of 60% US stocks and 40% non-US stocks contributed to performance, relative to the benchmark, as US large-cap stocks outperformed their global peers. Within regional allocations, positive stock selection in international developed markets and small/mid-cap stocks in the US contributed, while stock selection in US large caps and emerging markets detracted.
For the 12-month period, all share classes of the Fund underperformed the primary benchmark, before sales charges. During the pre-transition period from March 1, 2017 through June 30, 2017, the diversifiers in the Fund, real assets and volatility management, as well as US and non-US value stocks, underperformed the quickly appreciating equity markets.
During the post-transition period from July 1, 2017 through February 28, 2018, the Fund’s overall allocation of 60% US stocks and 40% non-US contributed to performance. Stock selection within regions was mixed, as positive stock selection in international developed markets and small/mid-cap stocks in the US contributed, while stock selection in US large caps and emerging markets detracted.
The Fund utilized derivatives in the form of futures and currency forwards for hedging and investment purposes, which added to absolute returns during both periods.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended February 28, 2018, global equities rallied amid strong corporate earnings and robust global growth data. Tax reform in the US propelled stocks higher, before and after the Tax Cuts and Jobs Act was signed into law. However, improving economic data became a cause of concern for investors toward the end of the period, after the US saw its best year-over-year growth rate in wages since June 2009. Investor sentiment was weighed down by fears regarding a potential acceleration in inflation and the risk of the US Federal Reserve tightening monetary policy faster than expected and driving bond yields higher. In February, global equities declined significantly for the first time since early 2016, before recovering modestly.
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During the pre-transition period, the Fund included diversifiers, investments that are less sensitive to the direction of the equity markets. During the post-transition period, the Fund evolved to provide the potential for higher returns, while maintaining similar levels of risk by removing the allocation to diversifiers and introducing new equity services to the Fund. The Fund’s Senior Investment Management Team (the “Team”) seeks improved equity risk control by utilizing the Adviser’s Strategic Equities services as the core equity allocation to US and international markets. This more diversified exposure across equity markets and emphasis on a broader set of stocks, which includes companies with historical and projected stable earnings and higher profitability, eliminated the need for diversifiers to limit volatility.
The Team believes this new allocation offers the potential to achieve higher returns, with similar levels of volatility, increasing risk-adjusted returns in an all-equity service to meet the long-term growth goal—growth of capital.
INVESTMENT POLICIES
The Fund invests primarily in equity securities, either directly or through underlying investment companies advised by the Adviser (“Underlying Portfolios”). A majority of the Fund’s assets are expected to be invested directly in US large-cap equity securities, primarily common stocks, in accordance with the Adviser’s US Strategic Equities investment strategy (“US Strategic Equities”), as described below. In addition, the Fund seeks to achieve exposure to international large-cap equity securities through investments in the International Strategic Equities Portfolio of Bernstein Fund, Inc. (“Bernstein International Strategic Equities Portfolio”) and the Tax-Managed International Portfolio of Sanford C. Bernstein Fund, Inc. (“SCB Tax-Managed International Portfolio”), each a registered investment company advised by the Adviser. The Fund also invests in other Underlying Portfolios to efficiently gain exposure to certain other types of equity securities, including small- and mid-cap and emerging-market equity securities. An Underlying Portfolio is selected based on the segment of the equity market to which the Underlying Portfolio provides exposure, its investment philosophy, and how it complements and diversifies the Fund’s overall portfolio.
Under US Strategic Equities, portfolio managers of the Adviser that specialize in various investment disciplines identify high-conviction large-cap equity securities based on their fundamental investment research for potential investment by the Fund. These securities are then assessed in terms of both this fundamental research and quantitative analysis in creating the Fund’s portfolio. In applying the quantitative analysis, the Adviser considers a number of metrics that historically have provided some indication of favorable future returns,
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(continued on next page)
including metrics related to valuation, quality, investor behavior and corporate behavior.
Bernstein International Strategic Equities Portfolio and SCB Tax-Managed International Portfolio focus on investing in non-US large-cap and mid-cap equity securities. Bernstein International Strategic Equities Portfolio follows a strategy similar to US Strategic Equities, but in the international context. In managing SCB Tax-Managed International Portfolio, the Adviser selects stocks by drawing on the capabilities of its separate investment teams specializing in different investment disciplines, including value, growth, stability and others.
Fluctuations in currency exchange rates can have a dramatic impact on the returns of foreign equity securities. The Adviser may employ currency hedging strategies in the Fund or the Underlying Portfolios, including the use of currency-related derivatives, to seek to reduce currency risk in the Fund or the Underlying Portfolios, but it is not required to do so.
The Fund seeks to maximize after-tax returns to shareholders by taking into account the tax impact of buy and sell investment decisions on its shareholders. For example, the Adviser may sell certain securities in order to realize capital losses. Capital losses may be used to offset realized capital gains. To minimize capital gains distributions, the Adviser may sell securities in the Fund with the highest cost basis. The Adviser may monitor the length of time the Fund has held an investment to evaluate whether the investment should be sold at a short-term gain or held for a longer period so that the gain on the investment will be taxed at the lower long-term rate. In making this decision, the Adviser considers whether, in its judgment, the risk of continued exposure to the investment is worth the tax savings of a lower capital gains rate. There can be no assurance that any of these strategies will be effective or that their use will not adversely affect the gross returns of the Fund.
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DISCLOSURES AND RISKS
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. The S&P 500 Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. The MSCI ACWI ex-US (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets, excluding the United States. 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. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. 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 assets will fluctuate as the stock, bond or commodities markets fluctuate. 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. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Foreign (Non-US) Risk: The Fund’s 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.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets, or financial resources.
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DISCLOSURES AND RISKS (continued)
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Fund bear both their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies (to the extent these expenses are not waived or reimbursed by the Adviser).
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 as the prices of the individual securities in which it invests fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report 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. The performance shown for periods prior to July 14, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
All fees and expenses related to the operation of the Fund have been deducted. Net asset value (“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) and 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.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 18.16% | 13.15% | ||||||
5 Years | 10.37% | 9.41% | ||||||
10 Years | 4.93% | 4.47% | ||||||
CLASS B SHARES | ||||||||
1 Year | 17.24% | 13.24% | ||||||
5 Years | 9.54% | 9.54% | ||||||
10 Years1 | 4.30% | 4.30% | ||||||
CLASS C SHARES | ||||||||
1 Year | 17.31% | 16.31% | ||||||
5 Years | 9.56% | 9.56% | ||||||
10 Years | 4.17% | 4.17% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 18.51% | 18.51% | ||||||
5 Years | 10.67% | 10.67% | ||||||
10 Years | 5.21% | 5.21% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.45%, 2.24%, 2.21% and 1.20% for Class A, Class B, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios to 1.05%, 1.84%, 1.81% and 0.80% for Class A, Class B, Class C and Advisor Class shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2018. Absent reimbursements or waivers, performance would have been lower. 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.
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is 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. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 10.27% | |||
5 Years | 8.58% | |||
10 Years | 4.41% | |||
CLASS B SHARES | ||||
1 Year | 10.26% | |||
5 Years | 8.69% | |||
10 Years1 | 4.22% | |||
CLASS C SHARES | ||||
1 Year | 13.30% | |||
5 Years | 8.71% | |||
10 Years | 4.09% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 15.45% | |||
5 Years | 9.81% | |||
10 Years | 5.14% |
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | Please note that this share class is 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. |
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HISTORICAL PERFORMANCE (continued)
RETURNS AFTER TAXES ON DISTRIBUTIONS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
Returns | ||||
CLASS A SHARES | ||||
1 Year | 6.94% | |||
5 Years | 7.07% | |||
10 Years | 3.59% | |||
CLASS B SHARES | ||||
1 Year | 7.11% | |||
5 Years | 7.48% | |||
10 Years1 | 3.57% | |||
CLASS C SHARES | ||||
1 Year | 10.15% | |||
5 Years | 7.45% | |||
10 Years | 3.46% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 11.89% | |||
5 Years | 8.20% | |||
10 Years | 4.25% |
RETURNS AFTER TAXES ON DISTRIBUTIONS AND SALE OF FUND SHARES
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
Returns | ||||
CLASS A SHARES | ||||
1 Year | 7.89% | |||
5 Years | 6.46% | |||
10 Years | 3.34% | |||
CLASS B SHARES | ||||
1 Year | 7.92% | |||
5 Years | 6.67% | |||
10 Years1 | 3.23% | |||
CLASS C SHARES | ||||
1 Year | 9.65% | |||
5 Years | 6.67% | |||
10 Years | 3.14% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 10.93% | |||
5 Years | 7.43% | |||
10 Years | 3.93% |
(footnotes continued on next page)
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HISTORICAL PERFORMANCE (continued)
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | Please note that this share class is 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. |
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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.
12 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2017 | Ending Account Value February 28, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,093.20 | $ | 3.22 | 0.62 | % | $ | 5.35 | 1.03 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.72 | $ | 3.11 | 0.62 | % | $ | 5.16 | 1.03 | % | ||||||||||||
Class B | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,088.80 | $ | 7.25 | 1.40 | % | $ | 9.37 | 1.81 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.85 | $ | 7.00 | 1.40 | % | $ | 9.06 | 1.81 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,089.40 | $ | 7.10 | 1.37 | % | $ | 9.22 | 1.78 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.00 | $ | 6.85 | 1.37 | % | $ | 8.91 | 1.78 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,094.70 | $ | 1.92 | 0.37 | % | $ | 4.05 | 0.78 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.96 | $ | 1.86 | 0.37 | % | $ | 3.91 | 0.78 | % |
* | Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Fund’s investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Fund’s total expenses are equal to the classes’ annualized expense ratio plus the Fund’s pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 13 |
PORTFOLIO SUMMARY
February 28, 2018 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $736.9
1 | All data are as of February 28, 2018. The Fund’s security type and sector breakdowns are expressed as a percentage of total investments 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). Sectors shown include investments of Underlying Portfolios. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Fund’s prospectus.
14 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS
February 28, 2018 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 52.6% | ||||||||
Information Technology – 14.7% | ||||||||
Communications Equipment – 0.8% | ||||||||
Cisco Systems, Inc. | 107,060 | $ | 4,794,147 | |||||
Nokia Oyj (Sponsored ADR) – Class A | 233,010 | 1,351,458 | ||||||
|
| |||||||
6,145,605 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||
CDW Corp./DE | 46,013 | 3,355,728 | ||||||
|
| |||||||
Internet Software & Services – 4.2% | ||||||||
Alphabet, Inc. – Class A(a) | 1,345 | 1,484,772 | ||||||
Alphabet, Inc. – Class C(a) | 12,360 | 13,654,463 | ||||||
eBay, Inc.(a) | 67,379 | 2,887,864 | ||||||
Facebook, Inc. – Class A(a) | 72,867 | 12,993,644 | ||||||
|
| |||||||
31,020,743 | ||||||||
|
| |||||||
IT Services – 1.5% | ||||||||
Fiserv, Inc.(a) | 3,180 | 455,980 | ||||||
Total System Services, Inc. | 20,066 | 1,764,805 | ||||||
Visa, Inc. – Class A | 70,464 | 8,662,844 | ||||||
|
| |||||||
10,883,629 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.0% | ||||||||
Intel Corp. | 97,816 | 4,821,351 | ||||||
Texas Instruments, Inc. | 49,598 | 5,373,943 | ||||||
Xilinx, Inc. | 59,159 | 4,215,079 | ||||||
|
| |||||||
14,410,373 | ||||||||
|
| |||||||
Software – 2.9% | ||||||||
Adobe Systems, Inc.(a) | 10,938 | 2,287,464 | ||||||
Electronic Arts, Inc.(a) | 4,384 | 542,301 | ||||||
Microsoft Corp. | 111,729 | 10,476,828 | ||||||
Oracle Corp. | 157,911 | 8,001,350 | ||||||
|
| |||||||
21,307,943 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.9% | ||||||||
Apple, Inc. | 87,152 | 15,523,514 | ||||||
HP, Inc. | 154,028 | 3,602,715 | ||||||
Xerox Corp. | 73,806 | 2,237,798 | ||||||
|
| |||||||
21,364,027 | ||||||||
|
| |||||||
108,488,048 | ||||||||
|
| |||||||
Financials – 8.8% | ||||||||
Banks – 5.1% | ||||||||
Bank of America Corp. | 372,263 | 11,949,643 | ||||||
Citigroup, Inc. | 81,488 | 6,151,529 | ||||||
JPMorgan Chase & Co. | 90,932 | 10,502,646 | ||||||
US Bancorp | 24,361 | 1,324,264 | ||||||
Wells Fargo & Co. | 127,381 | 7,440,324 | ||||||
|
| |||||||
37,368,406 | ||||||||
|
|
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Capital Markets – 1.2% | ||||||||
Goldman Sachs Group, Inc. (The) | 20,501 | $ | 5,390,328 | |||||
S&P Global, Inc. | 18,247 | 3,499,774 | ||||||
|
| |||||||
8,890,102 | ||||||||
|
| |||||||
Consumer Finance – 0.5% | ||||||||
Capital One Financial Corp. | 4,640 | 454,395 | ||||||
Synchrony Financial | 101,334 | 3,687,544 | ||||||
|
| |||||||
4,141,939 | ||||||||
|
| |||||||
Insurance – 2.0% | ||||||||
Allstate Corp. (The) | 13,087 | 1,207,407 | ||||||
American International Group, Inc. | 62,419 | 3,579,106 | ||||||
Everest Re Group Ltd. | 14,451 | 3,471,708 | ||||||
FNF Group | 44,313 | 1,769,418 | ||||||
Progressive Corp. (The) | 79,871 | 4,598,972 | ||||||
|
| |||||||
14,626,611 | ||||||||
|
| |||||||
65,027,058 | ||||||||
|
| |||||||
Health Care – 8.6% | ||||||||
Biotechnology – 1.1% | ||||||||
Biogen, Inc.(a) | 14,535 | 4,200,470 | ||||||
Gilead Sciences, Inc. | 54,877 | 4,320,466 | ||||||
|
| |||||||
8,520,936 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 1.2% | ||||||||
Edwards Lifesciences Corp.(a) | 31,487 | 4,208,867 | ||||||
Intuitive Surgical, Inc.(a) | 4,771 | 2,034,593 | ||||||
Medtronic PLC | 30,154 | 2,409,003 | ||||||
|
| |||||||
8,652,463 | ||||||||
|
| |||||||
Health Care Providers & Services – 3.5% | ||||||||
Aetna, Inc. | 33,645 | 5,957,184 | ||||||
Anthem, Inc. | 15,580 | 3,667,220 | ||||||
Cigna Corp. | 16,232 | 3,179,687 | ||||||
McKesson Corp. | 22,553 | 3,365,584 | ||||||
Quest Diagnostics, Inc. | 35,334 | 3,641,169 | ||||||
UnitedHealth Group, Inc. | 26,833 | 6,068,551 | ||||||
|
| |||||||
25,879,395 | ||||||||
|
| |||||||
Health Care Technology – 0.4% | ||||||||
Cerner Corp.(a) | 43,367 | 2,782,427 | ||||||
|
| |||||||
Pharmaceuticals – 2.4% | ||||||||
Johnson & Johnson | 36,867 | 4,788,286 | ||||||
Merck & Co., Inc. | 76,800 | 4,164,096 | ||||||
Pfizer, Inc. | 150,937 | 5,480,523 | ||||||
Zoetis, Inc. | 39,761 | 3,215,074 | ||||||
|
| |||||||
17,647,979 | ||||||||
|
| |||||||
63,483,200 | ||||||||
|
|
16 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Consumer Discretionary – 5.6% | ||||||||
Auto Components – 0.5% | ||||||||
Magna International, Inc. | 61,846 | $ | 3,399,675 | |||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.6% | ||||||||
McDonald’s Corp. | 22,196 | 3,501,197 | ||||||
Starbucks Corp. | 11,118 | 634,838 | ||||||
|
| |||||||
4,136,035 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.1% | ||||||||
Booking Holdings, Inc.(a) | 566 | 1,151,267 | ||||||
|
| |||||||
Media – 1.7% | ||||||||
CBS Corp. – Class B | 54,181 | 2,869,967 | ||||||
Comcast Corp. – Class A | 190,858 | 6,910,968 | ||||||
Walt Disney Co. (The) | 29,704 | 3,064,265 | ||||||
|
| |||||||
12,845,200 | ||||||||
|
| |||||||
Specialty Retail – 2.1% | ||||||||
Home Depot, Inc. (The) | 40,865 | 7,448,463 | ||||||
Ross Stores, Inc. | 46,465 | 3,628,452 | ||||||
TJX Cos., Inc. (The) | 54,534 | 4,508,871 | ||||||
|
| |||||||
15,585,786 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
NIKE, Inc. – Class B | 65,504 | 4,390,733 | ||||||
|
| |||||||
41,508,696 | ||||||||
|
| |||||||
Industrials – 4.8% | ||||||||
Aerospace & Defense – 2.5% | ||||||||
Boeing Co. (The) | 17,025 | 6,166,625 | ||||||
L3 Technologies, Inc. | 10,284 | 2,134,444 | ||||||
Northrop Grumman Corp. | 16,769 | 5,869,821 | ||||||
Raytheon Co. | 17,951 | 3,904,522 | ||||||
|
| |||||||
18,075,412 | ||||||||
|
| |||||||
Airlines – 0.4% | ||||||||
Delta Air Lines, Inc. | 48,076 | 2,591,296 | ||||||
|
| |||||||
Building Products – 0.0% | ||||||||
AO Smith Corp. | 2,293 | 147,188 | ||||||
|
| |||||||
Electrical Equipment – 0.4% | ||||||||
Eaton Corp. PLC | 41,165 | 3,322,016 | ||||||
|
| |||||||
Industrial Conglomerates – 0.8% | ||||||||
Honeywell International, Inc. | 34,891 | 5,272,379 | ||||||
Roper Technologies, Inc. | 2,143 | 589,518 | ||||||
|
| |||||||
5,861,897 | ||||||||
|
|
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Machinery – 0.1% | ||||||||
Deere & Co. | 3,187 | $ | 512,693 | |||||
Oshkosh Corp. | 4,325 | 341,372 | ||||||
|
| |||||||
854,065 | ||||||||
|
| |||||||
Road & Rail – 0.6% | ||||||||
Norfolk Southern Corp. | 34,512 | 4,799,929 | ||||||
|
| |||||||
35,651,803 | ||||||||
|
| |||||||
Consumer Staples – 3.8% | ||||||||
Beverages – 0.8% | ||||||||
Constellation Brands, Inc. – Class A | 4,801 | 1,034,519 | ||||||
PepsiCo, Inc. | 44,411 | 4,873,219 | ||||||
|
| |||||||
5,907,738 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.2% | ||||||||
Costco Wholesale Corp. | 21,673 | 4,137,376 | ||||||
Walmart, Inc. | 54,198 | 4,878,362 | ||||||
|
| |||||||
9,015,738 | ||||||||
|
| |||||||
Food Products – 0.4% | ||||||||
Tyson Foods, Inc. – Class A | 42,555 | 3,165,241 | ||||||
|
| |||||||
Household Products – 0.6% | ||||||||
Procter & Gamble Co. (The) | 55,988 | 4,396,178 | ||||||
|
| |||||||
Tobacco – 0.8% | ||||||||
Altria Group, Inc. | 89,311 | 5,622,127 | ||||||
|
| |||||||
28,107,022 | ||||||||
|
| |||||||
Energy – 2.9% | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
Schlumberger Ltd. | 39,408 | 2,586,741 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.5% | ||||||||
Chevron Corp. | 45,245 | 5,063,820 | ||||||
Devon Energy Corp. | 25,784 | 790,795 | ||||||
EOG Resources, Inc. | 43,613 | 4,423,230 | ||||||
Exxon Mobil Corp. | 48,651 | 3,684,827 | ||||||
Hess Corp. | 23,725 | 1,077,590 | ||||||
Marathon Petroleum Corp. | 51,560 | 3,302,934 | ||||||
|
| |||||||
18,343,196 | ||||||||
|
| |||||||
20,929,937 | ||||||||
|
| |||||||
Utilities – 1.4% | ||||||||
Electric Utilities – 1.0% | ||||||||
American Electric Power Co., Inc. | 67,076 | 4,398,844 | ||||||
Edison International | 42,669 | 2,585,315 | ||||||
|
| |||||||
6,984,159 | ||||||||
|
| |||||||
Multi-Utilities – 0.4% | ||||||||
NiSource, Inc. | 134,854 | 3,119,173 | ||||||
|
| |||||||
10,103,332 | ||||||||
|
|
18 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Real Estate – 1.1% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.1% | ||||||||
Crown Castle International Corp. | 41,083 | $ | 4,521,595 | |||||
Mid-America Apartment Communities, Inc. | 40,515 | 3,476,997 | ||||||
|
| |||||||
7,998,592 | ||||||||
|
| |||||||
Materials – 0.6% | ||||||||
Chemicals – 0.6% | ||||||||
DowDuPont, Inc. | 63,288 | 4,449,146 | ||||||
|
| |||||||
Telecommunication Services – 0.3% | ||||||||
Wireless Telecommunication Services – 0.3% | ||||||||
T-Mobile US, Inc.(a) | 34,179 | 2,071,589 | ||||||
|
| |||||||
Total Common Stocks | 387,818,423 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 46.9% | ||||||||
Funds and Investment Trusts – 46.9%(b)(c) | ||||||||
AB Discovery Growth Fund, Inc. – Class Z(a) | 1,491,099 | 17,908,101 | ||||||
AB Discovery Value Fund, Inc. – Class Z | 782,670 | 17,062,214 | ||||||
Bernstein Fund, Inc. – International Small Cap Portfolio – Class Z | 3,436,168 | 44,601,466 | ||||||
Bernstein Fund, Inc. – International Strategic Equities Portfolio – Class Z | 11,110,345 | 146,656,552 | ||||||
Bernstein Fund, Inc. – Small Cap Core Portfolio – Class Z | 1,452,164 | 17,033,878 | ||||||
Sanford C. Bernstein Fund, Inc. – Emerging Markets Portfolio – Class Z | 609,624 | 20,532,142 | ||||||
Sanford C. Bernstein Fund, Inc. – Tax-Managed International Portfolio – Class Z | 4,464,614 | 82,148,895 | ||||||
|
| |||||||
Total Investment Companies | 345,943,248 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.5% | ||||||||
Investment Companies – 0.5% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 1.20%(b)(c)(d) | 3,504,316 | 3,504,316 | ||||||
|
| |||||||
Total Investments – 100.0% | 737,265,987 | |||||||
Other assets less liabilities – 0.0% | (350,878 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 736,915,109 | ||||||
|
|
(a) | Non-income producing security. |
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 19 |
PORTFOLIO OF INVESTMENTS (continued)
(b) | Affiliated investments. |
(c) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(d) | The rate shown represents the 7-day yield as of period end. |
Glossary:
ADR – American Depositary Receipt
See notes to financial statements.
20 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
February 28, 2018 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $299,785,094) | $ | 387,818,423 | ||
Affiliated issuers (cost $328,709,564) | 349,447,564 | |||
Foreign currencies, at value (cost $2) | 2 | |||
Unaffiliated dividends receivable | 821,448 | |||
Receivable for shares of beneficial interest sold | 592,664 | |||
Receivable for investment securities sold | 458,021 | |||
Other assets | 164,995 | |||
Affiliated dividends receivable | 2,916 | |||
|
| |||
Total assets | 739,306,033 | |||
|
| |||
Liabilities | ||||
Payable for investment securities purchased | 1,553,925 | |||
Payable for shares of beneficial interest redeemed | 492,782 | |||
Advisory fee payable | 180,308 | |||
Transfer Agent fee payable | 16,989 | |||
Distribution fee payable | 15,206 | |||
Administrative fee payable | 10,059 | |||
Trustees’ fees payable | 208 | |||
Accrued expenses | 121,447 | |||
|
| |||
Total liabilities | 2,390,924 | |||
|
| |||
Net Assets | $ | 736,915,109 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 449 | ||
Additional paid-in capital | 601,661,991 | |||
Distributions in excess of net investment income | (340,914 | ) | ||
Accumulated net realized gain on investment | 26,811,264 | |||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 108,782,319 | |||
|
| |||
$ | 736,915,109 | |||
|
|
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 40,635,219 | 2,486,205 | $ | 16.34 | * | ||||||
| ||||||||||||
B | $ | 398,264 | 24,507 | $ | 16.25 | |||||||
| ||||||||||||
C | $ | 9,051,491 | 561,558 | $ | 16.12 | |||||||
| ||||||||||||
Advisor | $ | 686,830,135 | 41,871,085 | $ | 16.40 | |||||||
|
* | The maximum offering price per share for Class A shares was $17.07 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 21 |
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2018 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $9,673) | $ | 3,161,755 | ||||||
Affiliated issuers | 5,388,928 | |||||||
Interest | 25 | $ | 8,550,708 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 2,331,400 | |||||||
Distribution fee—Class A | 50,951 | |||||||
Distribution fee—Class B | 1,979 | |||||||
Distribution fee—Class C | 46,608 | |||||||
Transfer agency—Class A | 4,283 | |||||||
Transfer agency—Class B | 98 | |||||||
Transfer agency—Class C | 1,118 | |||||||
Transfer agency—Advisor Class | 70,065 | |||||||
Custodian | 117,701 | |||||||
Legal | 47,052 | |||||||
Administrative | 31,933 | |||||||
Registration fees | 29,840 | |||||||
Audit and tax | 29,707 | |||||||
Printing | 18,795 | |||||||
Trustees’ fees | 13,514 | |||||||
Miscellaneous | 17,194 | |||||||
|
| |||||||
Total expenses | 2,812,238 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (1,389,432 | ) | ||||||
|
| |||||||
Net expenses | 1,422,806 | |||||||
|
| |||||||
Net investment income | 7,127,902 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Affiliated Underlying Portfolios | 668,459 | |||||||
Investment transactions | 19,759,374 | |||||||
Forward currency exchange contracts | (34,244 | ) | ||||||
Futures | 24,738 | |||||||
Foreign currency transactions | 7,125 | |||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 5,052,121 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Affiliated Underlying Portfolios | 16,921,338 | |||||||
Investments | 15,262,886 | |||||||
Forward currency exchange contracts | 34,244 | |||||||
Foreign currency denominated assets and liabilities | (2,897 | ) | ||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 57,693,144 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 64,821,046 | ||||||
|
|
See notes to financial statements.
22 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||
Increase in Net Assets from Operations | ||||||||
Net investment income | $ | 7,127,902 | $ | 19,580,421 | ||||
Net realized gain on investment and foreign currency transactions | 20,425,452 | 27,776,881 | ||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 5,052,121 | 48,498,022 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 32,215,571 | 1,400,068 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 64,821,046 | 97,255,392 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | ||||||||
Class A | (909,011 | ) | (607,091 | ) | ||||
Class B | (5,411 | ) | (4,431 | ) | ||||
Class C | (123,214 | ) | (164,450 | ) | ||||
Advisor Class | (16,158,951 | ) | (13,450,035 | ) | ||||
Net realized gain on investment transactions | ||||||||
Class A | (3,796,607 | ) | (298,821 | ) | ||||
Class B | (36,996 | ) | (4,468 | ) | ||||
Class C | (888,255 | ) | (133,493 | ) | ||||
Advisor Class | (61,260,410 | ) | (5,844,092 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 67,359,177 | (75,794,795 | ) | |||||
|
|
|
| |||||
Total increase | 49,001,368 | 953,716 | ||||||
Net Assets | ||||||||
Beginning of period | 687,913,741 | 686,960,025 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($340,914) and undistributed net investment income of $9,727,771, respectively) | $ | 736,915,109 | $ | 687,913,741 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 23 |
NOTES TO FINANCIAL STATEMENTS
February 28, 2018 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) was organized as a Massachusetts Business Trust on March 26, 1987 and is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates to the AB Tax-Managed Wealth Appreciation Strategy (the “Strategy”). The Strategy offers Class A, Class B, Class C and Advisor Class 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 Strategy 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 Strategy’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, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Advisor Class shares are sold without any initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All four classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Strategy 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 Strategy.
24 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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 Company’s Board of Trustees (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 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.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 25 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Strategy may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Strategy 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 Strategy generally values 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 Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments) |
26 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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.
The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of February 28, 2018:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks(a) | $ | 387,818,423 | $ | – 0 | – | $ | – 0 | – | $ | 387,818,423 | ||||||
Investment Companies | 345,943,248 | – 0 | – | – 0 | – | 345,943,248 | ||||||||||
Short-Term Investments | 3,504,316 | – 0 | – | – 0 | – | 3,504,316 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 737,265,987 | – 0 | – | – 0 | – | 737,265,987 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
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|
|
|
|
|
|
| |||||||||
Total(c) | $ | 737,265,987 | $ | – 0 | – | $ | – 0 | – | $ | 737,265,987 | ||||||
|
|
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|
|
|
|
|
(a) | See Portfolio of Investments for sector classifications. |
(b) | 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 swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(c) | There were no transfers between any levels during the reporting period. |
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 27 |
NOTES TO FINANCIAL STATEMENTS (continued)
The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any 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.
28 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, 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 Strategy’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.
4. Taxes
It is the Strategy’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 Strategy may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Strategy’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 Strategy’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Strategy is informed of the dividend. Investment gains or losses are determined on the identified cost basis. The Strategy amortizes premiums and accretes discounts as adjustments to interest income. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold.
6. Class Allocations
All income earned and expenses incurred by the Strategy are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Strategy represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 29 |
NOTES TO FINANCIAL STATEMENTS (continued)
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement (the “Advisory Agreement”), the Strategy pays the Adviser an advisory fee at an annual rate of .65% of the first $2.5 billion, .55% of the next $2.5 billion and .50% in excess of $5 billion of the Strategy’s average daily net assets. The fee is accrued daily and paid monthly.
Pursuant to the Advisory Agreement, the Strategy may reimburse the Adviser for certain legal and accounting services provided to the Strategy by the Adviser. For the six months ended February 28, 2018, the reimbursement for such services amounted to $31,933.
The Strategy may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. In connection with the investment by the Strategy in the Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Strategy in an amount equal to the Strategy’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Strategy as an acquired fund fee and expense. For the six months ended February 28, 2018, such waivers amounted to $2,117.
In connection with the Strategy’s investments in other AB mutual funds, the Adviser has contractually agreed to waive fees and/or reimburse the expenses payable to the Adviser by the Strategy in an amount equal to the Strategy’s share of the advisory fees of AB mutual funds, as paid by the Strategy as an acquired fund fee and expense. These fee waivers and/or expense reimbursements will remain in effect until December 31, 2018. For the six months ended February 28, 2018, such waivers and/or reimbursements amounted to $1,387,315.
30 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
A summary of the Strategy’s transactions in AB mutual funds for the six months ended February 28, 2018 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 8/31/17 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change in Unrealized Appr./ (Depr.) (000) | Market Value 2/28/18 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 2,764 | $ | 42,304 | $ | 41,563 | $ | – 0 | – | $ | – 0 | – | $ | 3,505 | $ | 10 | $ | – 0 | – | |||||||||||||
AB Discovery Growth Fund, Inc. | 16,720 | 1,103 | 1,880 | 153 | 1,812 | 17,908 | – 0 | – | 1,102 | |||||||||||||||||||||||
AB Discovery Value Fund, Inc. | 16,338 | 1,127 | 708 | 29 | 276 | 17,062 | 85 | 1,044 | ||||||||||||||||||||||||
Bernstein Fund, Inc. – | ||||||||||||||||||||||||||||||||
International Small Cap Portfolio | 41,608 | 1,613 | 461 | 27 | 1,814 | 44,601 | 1,036 | 577 | ||||||||||||||||||||||||
International Strategic Equities Portfolio | 136,294 | 7,731 | 5,111 | 309 | 7,434 | 146,657 | 1,940 | 2,146 | ||||||||||||||||||||||||
Small Cap Core Portfolio | 16,404 | 1,028 | 629 | 30 | 201 | 17,034 | 846 | 183 | ||||||||||||||||||||||||
Sanford C. Bernstein Fund, Inc. – | ||||||||||||||||||||||||||||||||
Emerging Markets Portfolio | 19,683 | 709 | 1,245 | 102 | 1,283 | 20,532 | 209 | – 0 | – | |||||||||||||||||||||||
Tax-Managed International Portfolio | 76,671 | 1,763 | 404 | 18 | 4,101 | 82,149 | 1,263 | – 0 | – | |||||||||||||||||||||||
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| |||||||||||||||||||||||
Total | $ | 668 | $ | 16,921 | $ | 349,448 | $ | 5,389 | $ | 5,052 | ||||||||||||||||||||||
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The Strategy 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 Strategy. 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 $56,357 for the six months ended February 28, 2018.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 31 |
NOTES TO FINANCIAL STATEMENTS (continued)
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Strategy’s shares. The Distributor has advised the Strategy that it has retained front-end sales charges of $390 from the sale of Class A shares and received $0, $7 and $96 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 February 28, 2018.
Brokerage commissions paid on investment transactions for the six months ended February 28, 2018 amounted to $7,577, 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 Plans
The Strategy has adopted a Plan for each class of shares of the Strategy pursuant to Rule 12b-1 under the Investment Company Act of 1940 (each a “Plan” and collectively the “Plans”). Under the Plans, the Strategy pays distribution and servicing fees to the Distributor at an annual rate of up to up to .50% of the Strategy’s average daily net assets attributable to Class A shares, 1% of the Strategy’s average daily net assets attributable to both Class B and Class C shares. There are no distribution and servicing fees on the Advisor Class shares. The fees are accrued daily and paid monthly. Effective August 1, 2014, payments under the Class A shares are limited to an annual rate of .25% of Class A share’s average daily net assets. The Plans provide that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Strategy is not obligated under the Plans to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plans is to compensate the Distributor for its distribution services with respect to the sale of the Strategy’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plans are characterized by the staff of the Securities and Exchange Commission as being of the “compensation” plan.
In the event that a Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Strategy to the Distributor with respect to the relevant class. The Plans also provide that the Adviser may use its own resources to finance the distribution of the Strategy’s shares.
32 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended February 28, 2018 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities)................... | $ | 97,189,616 | $ | 100,275,768 | ||||
U.S. government securities | – 0 | – | – 0 | – |
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 are as follows:
Gross unrealized appreciation | $ | 112,992,145 | ||
Gross unrealized depreciation | (4,220,816 | ) | ||
|
| |||
Net unrealized appreciation | $ | 108,771,329 | ||
|
|
1. Derivative Financial Instruments
The Strategy 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 Strategy, as well as the methods in which they may be used are:
• | Futures |
The Strategy 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 Strategy 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 Strategy 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 Strategy enters into futures, the Strategy 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 statement of assets and liabilities. Pursuant to the contract, the Strategy agrees to receive
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 Strategy 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 Strategy 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 Strategy to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Strategy 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 February 28, 2018, the Strategy held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Strategy 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 forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Strategy. 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 February 28, 2018, the Strategy held forward currency exchange contracts for hedging and non-hedging purposes.
34 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
The Strategy typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Strategy typically may offset with the OTC counterparty certain derivative financial instruments’ 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. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Strategy’s net liability, held by the defaulting party, may be delayed or denied.
The Strategy’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Strategy decline below specific levels (“net asset contingent features”). If these levels are triggered, the Strategy’s OTC counterparty has the right to terminate such transaction and require the Strategy to pay or receive a settlement amount in connection with the terminated transaction.
During the six months ended February 28, 2018, the Strategy had entered into the following derivatives:
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 24,738 | |||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (34,244 | ) | $ | 34,244 | |||||
|
|
|
| |||||||
Total | $ | (9,506 | ) | $ | 34,244 | |||||
|
|
|
|
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 35 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Strategy’s derivative transactions during the six months ended February 28, 2018:
Futures: | ||||
Average original value of buy contracts | $ | 1,273,693 | (a) | |
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 2,266,114 | (b) | |
Average principal amount of sale contracts | $ | 2,244,552 | (b) |
(a) | Positions were open for less than one month during the period. |
(b) | Positions were open for two months during the period. |
2. Currency Transactions
The Strategy may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Strategy 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 Strategy 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 Strategy 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 Strategy 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).
NOTE E
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 28,063 | 116,914 | $ | 470,736 | $ | 1,818,396 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 256,158 | 56,439 | 4,126,705 | 840,377 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class B | 2,054 | 10,954 | 34,837 | 168,905 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 29,159 | 321,874 | 493,021 | 5,161,774 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (172,011 | ) | (311,467 | ) | (2,909,330 | ) | (4,802,420 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 143,423 | 194,714 | $ | 2,215,969 | $ | 3,187,032 | ||||||||||||||||||
| ||||||||||||||||||||||||
36 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Shares sold | 572 | 1,772 | $ | 9,700 | $ | 27,250 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 2,641 | 595 | 42,359 | 8,821 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (2,072 | ) | (11,068 | ) | (34,837 | ) | (168,905 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (378 | ) | (6,481 | ) | (6,400 | ) | (100,445 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 763 | (15,182 | ) | $ | 10,822 | $ | (233,279 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 9,356 | 23,056 | $ | 157,882 | $ | 353,568 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 48,088 | 15,983 | 765,090 | 234,947 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (29,653 | ) | (326,774 | ) | (493,021 | ) | (5,161,774 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (32,584 | ) | (116,329 | ) | (545,432 | ) | (1,769,291 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (4,793 | ) | (404,064 | ) | $ | (115,481 | ) | $ | (6,342,550 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 2,804,796 | 3,988,404 | $ | 46,599,942 | $ | 62,370,312 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 4,285,617 | 1,064,976 | 69,255,567 | 15,900,099 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,959,472 | ) | (9,546,894 | ) | (50,607,642 | ) | (150,676,409 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 4,130,941 | (4,493,514 | ) | $ | 65,247,867 | $ | (72,405,998 | ) | ||||||||||||||||
|
NOTE F
Risks Involved in Investing in the Strategy
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 Strategy’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.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 37 |
NOTES TO FINANCIAL STATEMENTS (continued)
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. In addition, shareholders of a Strategy bear both their proportionate share of expenses in the Strategy (including management fees) and, indirectly, the expenses of the investment companies (to the extent these expenses are not waived or reimbursed by the Adviser).
Indemnification Risk—In the ordinary course of business, the Strategy enters into contracts that contain a variety of indemnifications. The Strategy’s maximum exposure under these arrangements is unknown. However, the Strategy has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Strategy has not accrued any liability in connection with these indemnification provisions.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Strategy, participates 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 statement of operations. The Strategy did not utilize the Facility during the six months ended February 28, 2018.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2017 and August 31, 2016 were as follows:
2017 | 2016 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 14,799,804 | $ | 8,950,649 | ||||
Net long-term capital gains | 5,707,077 | 42,068,898 | ||||||
|
|
|
| |||||
Total taxable distributions paid | $ | 20,506,881 | $ | 51,019,547 | ||||
|
|
|
|
38 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
As of August 31, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 15,165,974 | ||
Undistributed capital gains | 62,231,755 | |||
Unrealized appreciation/(depreciation) | 76,212,745 | (a) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 153,610,474 | ||
|
|
(a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, return of capital distributions received from underlying securities, and the recognition for tax purposes of unrealized gains/losses on certain derivative instruments. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of August 31, 2017, the Strategy did not have any capital loss carryforwards.
NOTE I
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Strategy’s financial statements through this date.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 39 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.85 | $ 15.08 | $ 15.41 | $ 16.51 | $ 13.86 | $ 11.85 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .15 | (b) | .42 | (b) | .17 | (b) | .20 | (b) | .32 | (b) | .10 | |||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.39 | 1.78 | .60 | (.91 | ) | 2.65 | 1.98 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.54 | 2.20 | .77 | (.71 | ) | 2.97 | 2.08 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.39 | ) | (.29 | ) | (.16 | ) | (.25 | ) | (.32 | ) | (.07 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.66 | ) | (.14 | ) | (.94 | ) | (.14 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (2.05 | ) | (.43 | ) | (1.10 | ) | (.39 | ) | (.32 | ) | (.07 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.34 | $ 16.85 | $ 15.08 | $ 15.41 | $ 16.51 | $ 13.86 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 9.32 | %* | 14.98 | %* | 5.23 | %* | (4.34 | )%* | 21.66 | % | 17.65 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $40,635 | $39,479 | $32,398 | $34,813 | $39,534 | $32,587 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | .62 | %^ | .88 | % | .93 | % | .93 | % | 1.04 | % | 1.07 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.01 | %^ | 1.01 | % | 1.01 | % | 1.00 | % | 1.04 | % | 1.07 | % | ||||||||||||
Net investment income | 1.78 | %(b)^ | 2.70 | %(b) | 1.16 | %(b) | 1.24 | %(b) | 2.05 | %(b) | .80 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 112 | % | 47 | % | 49 | % | 61 | % | 46 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .41 | %^ | .23 | % | .23 | % | .23 | % | .01 | % | – 0 | – |
See footnote summary on page 44.
40 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class B | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.69 | $ 14.91 | $ 15.19 | $ 16.24 | $ 13.61 | $ 11.66 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .08 | (b) | .27 | (b) | .06 | (b) | .08 | (b) | .22 | (b) | .01 | |||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.38 | 1.79 | .60 | (.90 | ) | 2.59 | 1.94 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.46 | 2.06 | .66 | (.82 | ) | 2.81 | 1.95 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.14 | ) | – 0 | – | (.09 | ) | (.18 | ) | – 0 | – | ||||||||||||
Distributions from net realized gain on investment transactions | (1.66 | ) | (.14 | ) | (.94 | ) | (.14 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.90 | ) | (.28 | ) | (.94 | ) | (.23 | ) | (.18 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.25 | $ 16.69 | $ 14.91 | $ 15.19 | $ 16.24 | $ 13.61 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 8.88 | %* | 14.08 | %* | 4.50 | %* | (5.09 | )%* | 20.79 | % | 16.72 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $398 | $396 | $580 | $821 | $1,837 | $2,709 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | 1.40 | %^ | 1.68 | % | 1.69 | % | 1.69 | % | 1.76 | % | 1.80 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.78 | %^ | 1.80 | % | 1.77 | % | 1.77 | % | 1.76 | % | 1.80 | % | ||||||||||||
Net investment income | .97 | %(b)^ | 1.75 | %(b) | .43 | %(b) | .51 | %(b) | 1.43 | %(b) | .08 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 112 | % | 47 | % | 49 | % | 61 | % | 46 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .41 | %^ | .23 | % | .23 | % | .23 | % | .01 | % | – 0 | – |
See footnote summary on page 44.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 41 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.55 | $ 14.82 | $ 15.15 | $ 16.23 | $ 13.62 | $ 11.67 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .09 | (b) | .27 | (b) | .06 | (b) | .07 | (b) | .21 | (b) | .01 | |||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.36 | 1.78 | .59 | (.87 | ) | 2.60 | 1.94 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.45 | 2.05 | .65 | (.80 | ) | 2.81 | 1.95 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.22 | ) | (.18 | ) | (.04 | ) | (.14 | ) | (.20 | ) | – 0 | – | ||||||||||||
Distributions from net realized gain on investment transactions | (1.66 | ) | (.14 | ) | (.94 | ) | (.14 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.88 | ) | (.32 | ) | (.98 | ) | (.28 | ) | (.20 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.12 | $ 16.55 | $ 14.82 | $ 15.15 | $ 16.23 | $ 13.62 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 8.94 | %* | 14.09 | %* | 4.44 | %* | (4.99 | )%* | 20.83 | % | 16.71 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $9,052 | $9,373 | $14,380 | $16,102 | $17,964 | $16,589 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | 1.37 | %^ | 1.65 | % | 1.68 | % | 1.68 | % | 1.75 | % | 1.78 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | 1.76 | %^ | 1.76 | % | 1.76 | % | 1.76 | % | 1.75 | % | 1.78 | % | ||||||||||||
Net investment income | 1.02 | %(b)^ | 1.78 | %(b) | .42 | %(b) | .47 | %(b) | 1.35 | %(b) | .10 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 112 | % | 47 | % | 49 | % | 61 | % | 46 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .41 | %^ | .23 | % | .23 | % | .23 | % | .01 | % | – 0 | – |
See footnote summary on page 44.
42 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.92 | $ 15.14 | $ 15.47 | $ 16.58 | $ 13.91 | $ 11.90 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .17 | (b) | .45 | (b) | .21 | (b) | .24 | (b) | .37 | (b) | .14 | |||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.40 | 1.80 | .61 | (.91 | ) | 2.66 | 1.98 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.57 | 2.25 | .82 | (.67 | ) | 3.03 | 2.12 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.43 | ) | (.33 | ) | (.21 | ) | (.30 | ) | (.36 | ) | (.11 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.66 | ) | (.14 | ) | (.94 | ) | (.14 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (2.09 | ) | (.47 | ) | (1.15 | ) | (.44 | ) | (.36 | ) | (.11 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.40 | $ 16.92 | $ 15.14 | $ 15.47 | $ 16.58 | $ 13.91 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 9.47 | %* | 15.27 | %* | 5.50 | %* | (4.10 | )%* | 22.08 | % | 17.95 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $686,830 | $638,666 | $639,602 | $648,133 | $687,496 | $585,431 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)† | .37 | %^ | .64 | % | .68 | % | .68 | % | .74 | % | .77 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)† | .76 | %^ | .76 | % | .76 | % | .76 | % | .74 | % | .77 | % | ||||||||||||
Net investment income | 2.01 | %(b)^ | 2.89 | %(b) | 1.41 | %(b) | 1.46 | %(b) | 2.36 | %(b) | 1.09 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 112 | % | 47 | % | 49 | % | 61 | % | 46 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .41 | %^ | .23 | % | .23 | % | .23 | % | .01 | % | – 0 | – |
See footnote summary on page 44.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 43 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of fees and expenses waived/reimbursed by the Adviser. |
(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) | In connection with the Strategy’s investments in affiliated underlying portfolios, the Strategy incurs no direct expenses, but bear proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Strategy in an amount equal to the Strategy’s pro rata share of certain acquired fund fees and expenses, and for the six months ended February 28, 2018 and year ended August 31, 2017, such waiver amounted to .39% (annualized) and .12%, respectively. |
* | Includes the impact of proceeds received and credited to the Strategy resulting from class action settlements, which enhanced the Strategy’s performance for the six months ended February 28, 2018 and years ended August 31, 2017, August 31, 2016, August 31, 2015 and August 31, 2013 by .02%, .02%, .01%, .04% and .01%, respectively. |
^ | Annualized. |
See notes to financial statements.
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TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Michael J. Downey(1) William H. Foulk, Jr.(1) Nancy P. Jacklin(1) | Robert M. Keith, President and Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Ding Liu(2), Vice President Nelson Yu(2), Vice President Emilie D. Wrapp, Clerk Joseph J. Mantineo, Treasurer and Chief Financial Officer | Phyllis J. Clarke, Controller and Chief Accounting Officer 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 day-to-day management of, and investment decisions for, the Strategy’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Liu and Yu are the investment professionals primarily responsible for the day-to-day management of the Tax-Managed Wealth Appreciation Strategy’s portfolio. |
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Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Tax-Managed Wealth Appreciation Strategy (the “Fund”) at a meeting held on August 1-2, 2017 (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 Company’s Senior Officer (who is also the Company’s Independent Compliance Officer), who acted as their independent fee consultant, 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 Company’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 review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. 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
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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 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 Company’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 and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2015 and 2016 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Company’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 relationships 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 relationships with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
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Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the underlying funds advised by the Adviser in which the Fund invests, 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 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 Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed information prepared by an analytical service that is not affiliated with the Adviser (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a peer group and a peer universe, and information prepared by the Adviser showing performance of the Class A Shares of the Fund against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2017 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, 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 the 15(c) service provider concerning advisory fee rates paid by other funds in the same 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 compared the Fund’s contractual effective advisory fee rate with 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
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evaluation from the Company’s Senior Officer and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule, 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.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to funds such as the Fund, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund may invest in shares of exchange-traded funds (“ETFs”), 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 also noted that ETFs pay advisory fees pursuant to their advisory contracts. The directors concluded, based on the Adviser’s explanation of how it may use 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 would be 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 the 15(c) provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the information included the pro forma expense ratio to reflect a reduction in the Fund’s expense ratio effective since the recent changes to the Fund’s investment strategies. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s 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 pro forma expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 49 |
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 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 shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
US CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
US GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
INTERNATIONAL/ GLOBAL CORE
Global Core Equity Portfolio
International Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed International Portfolio
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
INTERNATIONAL/ GLOBAL GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund1
INTERNATIONAL/ GLOBAL EQUITY (continued)
INTERNATIONAL/ GLOBAL VALUE
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
Tax-Aware Fixed Income Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
FlexFee™ High Yield Portfolio1
FlexFee™ International Bond Portfolio
Global Bond Fund
High Income Fund
Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
Unconstrained Bond Fund
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
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
CLOSED-END FUNDS
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio 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.
1 | Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio. |
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NOTES
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AB TAX-MANAGED WEALTH APPRECIATION STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
TWA-0152-0218
FEB 02.28.18
SEMI-ANNUAL REPORT
AB WEALTH APPRECIATION STRATEGY
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.
FROM THE PRESIDENT |
Dear Shareholder,
We are pleased to provide this report for AB Wealth Appreciation Strategy (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
As always, AB strives to keep clients ahead of what’s next by:
+ | Transforming uncommon insights into uncommon knowledge with a global research scope |
+ | Navigating markets with seasoned investment experience and sophisticated solutions |
+ | Providing thoughtful investment insights and actionable ideas |
Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.
AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.
For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in the AB Mutual Funds.
Sincerely,
Robert M. Keith
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
April 6, 2018
This report provides management’s discussion of fund performance for AB Wealth Appreciation Strategy for the semi-annual reporting period ended February 28, 2018.
Effective July 14, 2017, the Fund made certain changes to its principal strategies, including eliminating static asset allocation targets for investment. The Fund also previously allocated approximately one third of its assets to “diversification investments”, which included alternative investments; these assets have been reallocated in a manner consistent with the Fund’s new principal strategies. Accordingly, the performance shown for periods prior to July 14, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
The Fund’s investment objective is long-term growth of capital.
NAV RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
6 Months | 12 Months | |||||||
AB WEALTH APPRECIATION STRATEGY1 | ||||||||
Class A Shares | 9.37% | 17.45% | ||||||
Class B Shares2 | 8.95% | 16.58% | ||||||
Class C Shares | 8.94% | 16.59% | ||||||
Advisor Class Shares3 | 9.45% | 17.71% | ||||||
Class R Shares3 | 9.11% | 16.93% | ||||||
Class K Shares3 | 9.28% | 17.34% | ||||||
Class I Shares3 | 9.43% | 17.70% | ||||||
Primary Benchmark: MSCI ACWI (net)4 | 9.07% | 18.79% | ||||||
S&P 500 Index | 10.84% | 17.10% | ||||||
MSCI ACWI ex-US (net) | 7.59% | 21.63% | ||||||
Blended Benchmark: 60% S&P 500 Index / 40% MSCI ACWI ex-US (net) | 9.53% | 18.92% |
1 | 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 February 28, 2018, by 0.03% and 0.08%, respectively. |
2 | Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information. |
3 | 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. |
(footnotes continued on next page)
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4 | Effective July 14, 2017, in connection with the changes in investment strategy, the broad-based index of the Fund used for comparison purposes has changed from the S&P 500 Index to the MSCI ACWI (net) because the new index more closely reflects the Fund’s investments. |
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions.
INVESTMENT RESULTS
The preceding table shows the Fund’s performance compared to its primary benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) net, for the six- and 12-month periods ended February 28, 2018. Also included are the Fund’s previous benchmarks: the Standard and Poor’s (“S&P”) 500 Index, the MSCI ACWI ex-US (net) and the blended benchmark, composed of 60% S&P 500 Index / 40% MSCI ACWI ex-US (net).
For the six-month period, all share classes, except Class B and Class C, outperformed the primary benchmark, before sales charges. The Fund’s overall allocation of 60% US stocks and 40% non-US stocks contributed to performance, relative to the benchmark, as US large-cap stocks outperformed their global peers. Within regional allocations, positive stock selection in international developed markets and small/mid-cap stocks in the US contributed, while stock selection in US large caps and emerging markets detracted.
For the 12-month period, all share classes of the Fund underperformed the primary benchmark, before sales charges. During the pre-transition period from March 1, 2017 through June 30, 2017, the diversifiers in the Fund, real assets and volatility management, as well as US and non-US value stocks, underperformed the quickly appreciating equity markets.
During the post-transition period from July 1, 2017 through February 28, 2018, the Fund’s overall allocation of 60% US stocks and 40% non-US contributed to performance. Stock selection within regions was mixed, as positive stock selection in international developed markets and small/mid-cap stocks in the US contributed, while stock selection in US large caps and emerging markets detracted.
The Fund utilized derivatives in the form of futures and currency forwards for hedging and investment purposes, which added to absolute returns during both periods.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended February 28, 2018, global equities rallied amid strong corporate earnings and robust global growth data. Tax reform in the US propelled stocks higher, before and after the Tax Cuts and Jobs Act was signed into law. However, improving economic data became a cause of concern for investors toward the end of the period,
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after the US saw its best year-over-year growth rate in wages since June 2009. Investor sentiment was weighed down by fears regarding a potential acceleration in inflation and the risk of the US Federal Reserve tightening monetary policy faster than expected and driving bond yields higher. In February, global equities declined significantly for the first time since early 2016, before recovering modestly.
During the pre-transition period, the Fund included diversifiers, investments that are less sensitive to the direction of the equity markets. During the post-transition period, the Fund evolved to provide the potential for higher returns, while maintaining similar levels of risk by removing the allocation to diversifiers and introducing new equity services to the Fund. The Fund’s Senior Investment Management Team (the “Team”) seeks improved equity risk control by utilizing the Adviser’s Strategic Equities services as the core equity allocation to US and international markets. This more diversified exposure across equity markets and emphasis on a broader set of stocks, which includes companies with historical and projected stable earnings and higher profitability, eliminated the need for diversifiers to limit volatility.
The Team believes this new allocation offers the potential to achieve higher returns, with similar levels of volatility, increasing risk-adjusted returns in an all-equity service to meet the long-term growth goal—growth of capital.
INVESTMENT POLICIES
The Fund invests primarily in equity securities, either directly or through underlying investment companies advised by the Adviser (“Underlying Portfolios”). A majority of the Fund’s assets are expected to be invested directly in US large-cap equity securities, primarily common stocks, in accordance with the Adviser’s US Strategic Equities investment strategy (“US Strategic Equities”), as described below. In addition, the Fund seeks to achieve exposure to international large-cap equity securities through investments in the International Strategic Equities Portfolio of Bernstein Fund, Inc. (“Bernstein International Strategic Equities Portfolio”) and the International Portfolio of Sanford C. Bernstein Fund, Inc. (“SCB International Portfolio”), each a registered investment company of the Adviser. The Fund also invests in other Underlying Portfolios to efficiently gain exposure to certain other types of equity securities, including small- and mid-cap and emerging-market equity securities. An Underlying Portfolio is selected based on the segment of the equity market to which the Underlying Portfolio provides exposure, its investment philosophy, and how it complements and diversifies the Fund’s overall portfolio.
Under US Strategic Equities, portfolio managers of the Adviser that specialize in various investment disciplines identify high-conviction
(continued on next page)
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large-cap equity securities based on their fundamental investment research for potential investment by the Fund. These securities are then assessed in terms of both this fundamental research and quantitative analysis in creating the Fund’s portfolio. In applying the quantitative analysis, the Adviser considers a number of metrics that historically have provided some indication of favorable future returns, including metrics related to valuation, quality, investor behavior and corporate behavior.
Bernstein International Strategic Equities Portfolio and SCB International Portfolio focus on investing in non-US large-cap and mid-cap equity securities. Bernstein International Strategic Equities Portfolio follows a strategy similar to US Strategic Equities, but in the international context. In managing SCB International Portfolio, the Adviser selects stocks by drawing on the capabilities of its separate investment teams specializing in different investment disciplines, including value, growth, stability and others.
Fluctuations in currency exchange rates can have a dramatic impact on the returns of foreign equity securities. The Adviser may employ currency hedging strategies in the Fund or the Underlying Portfolios, including the use of currency-related derivatives, to seek to reduce currency risk in the Fund or the Underlying Portfolios, but it is not required to do so. The Fund is managed without regard to tax considerations.
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DISCLOSURES AND RISKS
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. The S&P 500 Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. The MSCI ACWI ex-US (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets, excluding the United States. 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. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. 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 assets will fluctuate as the stock, bond or commodities markets fluctuate. 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. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
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.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
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DISCLOSURES AND RISKS (continued)
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Fund bear both their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies (to the extent these expenses are not waived or reimbursed by the Adviser).
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 as the prices of the individual securities in which it invests fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report 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. The performance shown for periods prior to July 14, 2017 is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
All fees and expenses related to the operation of the Fund have been deducted. Net asset value (“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) and 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.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 7 |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2018 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 17.45% | 12.48% | ||||||
5 Years | 9.51% | 8.56% | ||||||
10 Years | 4.77% | 4.32% | ||||||
CLASS B SHARES | ||||||||
1 Year | 16.58% | 12.58% | ||||||
5 Years | 8.68% | 8.68% | ||||||
10 Years1 | 4.16% | 4.16% | ||||||
CLASS C SHARES | ||||||||
1 Year | 16.59% | 15.59% | ||||||
5 Years | 8.68% | 8.68% | ||||||
10 Years | 4.02% | 4.02% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 17.71% | 17.71% | ||||||
5 Years | 9.79% | 9.79% | ||||||
10 Years | 5.07% | 5.07% | ||||||
CLASS R SHARES2 | ||||||||
1 Year | 16.93% | 16.93% | ||||||
5 Years | 9.02% | 9.02% | ||||||
10 Years | 4.37% | 4.37% | ||||||
CLASS K SHARES2 | ||||||||
1 Year | 17.34% | 17.34% | ||||||
5 Years | 9.39% | 9.39% | ||||||
10 Years | 4.70% | 4.70% | ||||||
CLASS I SHARES2 | ||||||||
1 Year | 17.70% | 17.70% | ||||||
5 Years | 9.74% | 9.74% | ||||||
10 Years | 5.05% | 5.05% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.46%, 2.23%, 2.21%, 1.20%, 1.90%, 1.59% and 1.27% for Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios to 1.05%, 1.82%, 1.80%, 0.79%, 1.49%, 1.18% and 0.91% for Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2018. Absent reimbursements or waivers, performance would have been lower. 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.
(footnotes continued on next page)
8 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
HISTORICAL PERFORMANCE (continued)
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | 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. |
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 9 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2018 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 9.67% | |||
5 Years | 7.72% | |||
10 Years | 4.21% | |||
CLASS B SHARES | ||||
1 Year | 9.73% | |||
5 Years | 7.87% | |||
10 Years1 | 4.05% | |||
CLASS C SHARES | ||||
1 Year | 12.71% | |||
5 Years | 7.87% | |||
10 Years | 3.91% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 14.87% | |||
5 Years | 8.96% | |||
10 Years | 4.96% | |||
CLASS R SHARES2 | ||||
1 Year | 14.10% | |||
5 Years | 8.20% | |||
10 Years | 4.26% | |||
CLASS K SHARES2 | ||||
1 Year | 14.42% | |||
5 Years | 8.54% | |||
10 Years | 4.59% | |||
CLASS I SHARES2 | ||||
1 Year | 14.78% | |||
5 Years | 8.91% | |||
10 Years | 4.94% |
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | 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. |
10 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
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.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 11 |
EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2017 | Ending Account Value February 28, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,093.70 | $ | 3.27 | 0.63 | % | $ | 5.45 | 1.05 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.67 | $ | 3.16 | 0.63 | % | $ | 5.26 | 1.05 | % | ||||||||||||
Class B | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,089.50 | $ | 7.25 | 1.40 | % | $ | 9.43 | 1.82 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.85 | $ | 7.00 | 1.40 | % | $ | 9.10 | 1.82 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,089.40 | $ | 7.15 | 1.38 | % | $ | 9.33 | 1.80 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.95 | $ | 6.90 | 1.38 | % | $ | 9.00 | 1.80 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,094.50 | $ | 1.97 | 0.38 | % | $ | 4.15 | 0.80 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.91 | $ | 1.91 | 0.38 | % | $ | 4.01 | 0.80 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,091.10 | $ | 5.60 | 1.08 | % | $ | 7.78 | 1.50 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.44 | $ | 5.41 | 1.08 | % | $ | 7.50 | 1.50 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,092.80 | $ | 4.00 | 0.77 | % | $ | 6.17 | 1.19 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.98 | $ | 3.86 | 0.77 | % | $ | 5.96 | 1.19 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,094.30 | $ | 2.28 | 0.44 | % | $ | 4.47 | 0.86 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.61 | $ | 2.21 | 0.44 | % | $ | 4.31 | 0.86 | % |
* | Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Fund’s investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Fund’s total expenses are equal to the classes’ annualized expense ratio plus the Fund’s pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
12 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO SUMMARY
February 28, 2018 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,385.5
1 | All data are as of February 28, 2018. The Fund’s security type and sector breakdowns are expressed as a percentage of total investments 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). Sectors shown include investments of Underlying Portfolios. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Fund’s prospectus.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 13 |
PORTFOLIO OF INVESTMENTS
February 28, 2018 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 52.1% | ||||||||
Information Technology – 14.7% | ||||||||
Communications Equipment – 0.9% | ||||||||
Cisco Systems, Inc. | 194,114 | $ | 8,692,425 | |||||
Nokia Oyj (Sponsored ADR) – Class A | 568,797 | 3,299,023 | ||||||
|
| |||||||
11,991,448 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||
CDW Corp./DE | 91,226 | 6,653,112 | ||||||
|
| |||||||
Internet Software & Services – 4.5% | ||||||||
Alphabet, Inc. – Class C(a) | 29,929 | 33,063,464 | ||||||
eBay, Inc.(a) | 126,605 | 5,426,290 | ||||||
Facebook, Inc. – Class A(a) | 135,634 | 24,186,255 | ||||||
|
| |||||||
62,676,009 | ||||||||
|
| |||||||
IT Services – 1.3% | ||||||||
Total System Services, Inc. | 23,305 | 2,049,675 | ||||||
Visa, Inc. – Class A | 127,401 | 15,662,679 | ||||||
|
| |||||||
17,712,354 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.9% | ||||||||
Intel Corp. | 165,823 | 8,173,416 | ||||||
Texas Instruments, Inc. | 86,551 | 9,377,801 | ||||||
Xilinx, Inc. | 118,224 | 8,423,460 | ||||||
|
| |||||||
25,974,677 | ||||||||
|
| |||||||
Software – 2.8% | ||||||||
Adobe Systems, Inc.(a) | 22,213 | 4,645,405 | ||||||
Microsoft Corp. | 203,052 | 19,040,186 | ||||||
Oracle Corp. | 311,647 | 15,791,153 | ||||||
|
| |||||||
39,476,744 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.8% | ||||||||
Apple, Inc. | 163,365 | 29,098,574 | ||||||
HP, Inc. | 218,152 | 5,102,575 | ||||||
Xerox Corp. | 159,979 | 4,850,563 | ||||||
|
| |||||||
39,051,712 | ||||||||
|
| |||||||
203,536,056 | ||||||||
|
| |||||||
Financials – 8.8% | ||||||||
Banks – 5.0% | ||||||||
Bank of America Corp. | 709,485 | 22,774,468 | ||||||
Citigroup, Inc. | 155,948 | 11,772,515 | ||||||
JPMorgan Chase & Co. | 180,337 | 20,828,924 | ||||||
Wells Fargo & Co. | 245,010 | 14,311,034 | ||||||
|
| |||||||
69,686,941 | ||||||||
|
|
14 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Capital Markets – 1.3% | ||||||||
Goldman Sachs Group, Inc. (The) | 39,236 | $ | 10,316,321 | |||||
S&P Global, Inc. | 37,400 | 7,173,320 | ||||||
|
| |||||||
17,489,641 | ||||||||
|
| |||||||
Consumer Finance – 0.5% | ||||||||
Synchrony Financial | 188,676 | 6,865,920 | ||||||
|
| |||||||
Insurance – 2.0% | ||||||||
American International Group, Inc. | 137,284 | 7,871,864 | ||||||
Everest Re Group Ltd. | 27,301 | 6,558,792 | ||||||
FNF Group | 81,102 | 3,238,403 | ||||||
Progressive Corp. (The) | 165,579 | 9,534,039 | ||||||
|
| |||||||
27,203,098 | ||||||||
|
| |||||||
121,245,600 | ||||||||
|
| |||||||
Health Care – 8.4% | ||||||||
Biotechnology – 1.2% | ||||||||
Biogen, Inc.(a) | 29,218 | 8,443,710 | ||||||
Gilead Sciences, Inc. | 104,610 | 8,235,945 | ||||||
|
| |||||||
16,679,655 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 1.2% | ||||||||
Edwards Lifesciences Corp.(a) | 55,440 | 7,410,665 | ||||||
Intuitive Surgical, Inc.(a) | 7,911 | 3,373,646 | ||||||
Medtronic PLC | 64,279 | 5,135,249 | ||||||
|
| |||||||
15,919,560 | ||||||||
|
| |||||||
Health Care Providers & Services – 3.3% | ||||||||
Aetna, Inc. | 67,417 | 11,936,854 | ||||||
Anthem, Inc. | 12,930 | 3,043,464 | ||||||
Cigna Corp. | 34,442 | 6,746,843 | ||||||
McKesson Corp. | 40,256 | 6,007,403 | ||||||
Quest Diagnostics, Inc. | 65,861 | 6,786,976 | ||||||
UnitedHealth Group, Inc. | 50,861 | 11,502,724 | ||||||
|
| |||||||
46,024,264 | ||||||||
|
| |||||||
Health Care Technology – 0.4% | ||||||||
Cerner Corp.(a) | 88,915 | 5,704,786 | ||||||
|
| |||||||
Pharmaceuticals – 2.3% | ||||||||
Johnson & Johnson | 61,834 | 8,031,000 | ||||||
Merck & Co., Inc. | 137,000 | 7,428,140 | ||||||
Pfizer, Inc. | 284,919 | 10,345,409 | ||||||
Zoetis, Inc. | 79,966 | 6,466,051 | ||||||
|
| |||||||
32,270,600 | ||||||||
|
| |||||||
116,598,865 | ||||||||
|
| |||||||
Consumer Discretionary – 5.3% | ||||||||
Auto Components – 0.4% | ||||||||
Magna International, Inc. (New York) – Class A | 114,916 | 6,316,933 | ||||||
|
|
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hotels, Restaurants & Leisure – 0.4% | ||||||||
McDonald’s Corp. | 31,604 | $ | 4,985,215 | |||||
|
| |||||||
Media – 1.8% | ||||||||
CBS Corp. – Class B | 99,681 | 5,280,102 | ||||||
Comcast Corp. – Class A | 368,915 | 13,358,412 | ||||||
Walt Disney Co. (The) | 62,635 | 6,461,427 | ||||||
|
| |||||||
25,099,941 | ||||||||
|
| |||||||
Specialty Retail – 2.1% | ||||||||
Home Depot, Inc. (The) | 79,897 | 14,562,826 | ||||||
Ross Stores, Inc. | 80,872 | 6,315,294 | ||||||
TJX Cos., Inc. (The) | 93,570 | 7,736,368 | ||||||
|
| |||||||
28,614,488 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
NIKE, Inc. – Class B | 132,768 | 8,899,439 | ||||||
|
| |||||||
73,916,016 | ||||||||
|
| |||||||
Industrials – 4.7% | ||||||||
Aerospace & Defense – 2.4% | ||||||||
Boeing Co. (The) | 34,729 | 12,579,191 | ||||||
Northrop Grumman Corp. | 28,018 | 9,807,421 | ||||||
Raytheon Co. | 48,194 | 10,482,677 | ||||||
|
| |||||||
32,869,289 | ||||||||
|
| |||||||
Airlines – 0.4% | ||||||||
Delta Air Lines, Inc. | 95,932 | 5,170,735 | ||||||
|
| |||||||
Electrical Equipment – 0.5% | ||||||||
Eaton Corp. PLC | 97,952 | 7,904,726 | ||||||
|
| |||||||
Industrial Conglomerates – 0.7% | ||||||||
Honeywell International, Inc. | 64,455 | 9,739,795 | ||||||
|
| |||||||
Road & Rail – 0.7% | ||||||||
Norfolk Southern Corp. | 68,204 | 9,485,812 | ||||||
|
| |||||||
65,170,357 | ||||||||
|
| |||||||
Consumer Staples – 4.0% | ||||||||
Beverages – 0.7% | ||||||||
PepsiCo, Inc. | 92,691 | 10,170,983 | ||||||
|
| |||||||
Food & Staples Retailing – 1.5% | ||||||||
Costco Wholesale Corp. | 48,212 | 9,203,671 | ||||||
Walmart, Inc. | 119,292 | 10,737,473 | ||||||
|
| |||||||
19,941,144 | ||||||||
|
| |||||||
Food Products – 0.3% | ||||||||
Tyson Foods, Inc. – Class A | 58,655 | 4,362,759 | ||||||
|
| |||||||
Household Products – 0.7% | ||||||||
Procter & Gamble Co. (The) | 118,162 | 9,278,080 | ||||||
|
|
16 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Tobacco – 0.8% | ||||||||
Altria Group, Inc. | 182,970 | $ | 11,517,962 | |||||
|
| |||||||
55,270,928 | ||||||||
|
| |||||||
Energy – 2.7% | ||||||||
Energy Equipment & Services – 0.3% | ||||||||
Schlumberger Ltd. | 69,759 | 4,578,981 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.4% | ||||||||
Chevron Corp. | 80,550 | 9,015,156 | ||||||
Devon Energy Corp. | 52,204 | 1,601,096 | ||||||
EOG Resources, Inc. | 77,105 | 7,819,989 | ||||||
Exxon Mobil Corp. | 97,155 | 7,358,520 | ||||||
Hess Corp. | 28,165 | 1,279,254 | ||||||
Marathon Petroleum Corp. | 97,364 | 6,237,138 | ||||||
|
| |||||||
33,311,153 | ||||||||
|
| |||||||
37,890,134 | ||||||||
|
| |||||||
Utilities – 1.4% | ||||||||
Electric Utilities – 1.0% | ||||||||
American Electric Power Co., Inc. | 128,982 | 8,458,639 | ||||||
Edison International | 78,152 | 4,735,230 | ||||||
|
| |||||||
13,193,869 | ||||||||
|
| |||||||
Multi-Utilities – 0.4% | ||||||||
NiSource, Inc. | 262,848 | 6,079,674 | ||||||
|
| |||||||
19,273,543 | ||||||||
|
| |||||||
Real Estate – 1.2% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.2% | ||||||||
Crown Castle International Corp. | 79,496 | 8,749,330 | ||||||
Mid-America Apartment Communities, Inc. | 83,761 | 7,188,369 | ||||||
|
| |||||||
15,937,699 | ||||||||
|
| |||||||
Materials – 0.6% | ||||||||
Chemicals – 0.6% | ||||||||
DowDuPont, Inc. | 126,656 | 8,903,917 | ||||||
|
| |||||||
Telecommunication Services – 0.3% | ||||||||
Wireless Telecommunication Services – 0.3% | ||||||||
T-Mobile US, Inc.(a) | 65,305 | 3,958,136 | ||||||
|
| |||||||
Total Common Stocks | 721,701,251 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 47.2% | ||||||||
Funds and Investment Trusts – 47.2%(b)(c) | ||||||||
AB Discovery Growth Fund, Inc. – Class Z(a) | 2,839,604 | 34,103,641 | ||||||
AB Discovery Value Fund, Inc. – Class Z | 1,484,627 | 32,364,879 |
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Bernstein Fund, Inc. – International Small Cap Portfolio – Class Z | 6,439,118 | $ | 83,579,758 | |||||
Bernstein Fund, Inc. – International Strategic Equities Portfolio – Class Z | 21,036,815 | 277,685,962 | ||||||
Bernstein Fund, Inc. – Small Cap Core Portfolio – Class Z | 2,785,963 | 32,679,344 | ||||||
Sanford C Bernstein Fund, Inc. – International Portfolio – Class Z | 8,403,303 | 154,452,712 | ||||||
Sanford C. Bernstein Fund, Inc. – Emerging Markets Portfolio – Class Z | 1,159,544 | 39,053,436 | ||||||
|
| |||||||
Total Investment Companies | 653,919,732 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.6% | ||||||||
Investment Companies – 0.6% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, | 9,011,584 | 9,011,584 | ||||||
|
| |||||||
Total Investments – 99.9% | 1,384,632,567 | |||||||
Other assets less liabilities – 0.1% | 881,930 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,385,514,497 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Affiliated investments. |
(c) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(d) | The rate shown represents the 7-day yield as of period end. |
Glossary:
ADR – American Depositary Receipt
See notes to financial statements.
18 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
February 28, 2018 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $644,835,314) | $ | 721,701,251 | ||
Affiliated issuers (cost $622,915,091) | 662,931,316 | |||
Foreign currencies, at value (cost $47,628) | 49,628 | |||
Unaffiliated dividends receivable | 1,457,886 | |||
Receivable for shares of beneficial interest sold | 1,423,072 | |||
Receivable for investment securities sold | 1,108,746 | |||
Affiliated dividends receivable | 4,895 | |||
Other asset | 254,286 | |||
|
| |||
Total assets | 1,388,931,080 | |||
|
| |||
Liabilities | ||||
Payable for shares of beneficial interest redeemed | 1,755,962 | |||
Payable for investment securities purchased | 976,973 | |||
Advisory fee payable | 335,097 | |||
Distribution fee payable | 123,752 | |||
Transfer Agent fee payable | 109,867 | |||
Administrative fee payable | 10,575 | |||
Trustees’ fees payable | 625 | |||
Accrued expenses | 103,732 | |||
|
| |||
Total liabilities | 3,416,583 | |||
|
| |||
Net Assets | $ | 1,385,514,497 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 838 | ||
Additional paid-in capital | 1,246,433,692 | |||
Distributions in excess of net investment income | (13,936,272 | ) | ||
Accumulated net realized gain on investment transactions | 36,110,159 | |||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 116,906,080 | |||
|
| |||
$ | 1,385,514,497 | |||
|
|
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 401,111,308 | 24,219,845 | $ | 16.56 | * | ||||||
| ||||||||||||
B | $ | 6,780,667 | 404,499 | $ | 16.76 | |||||||
| ||||||||||||
C | $ | 47,820,266 | 2,888,796 | $ | 16.55 | |||||||
| ||||||||||||
Advisor | $ | 912,932,233 | 55,279,189 | $ | 16.51 | |||||||
| ||||||||||||
R | $ | 3,292,252 | 200,031 | $ | 16.46 | |||||||
| ||||||||||||
K | $ | 12,769,241 | 775,889 | $ | 16.46 | |||||||
| ||||||||||||
I | $ | 808,530 | 48,962 | $ | 16.51 | |||||||
|
* | The maximum offering price per share for Class A shares was $17.30 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 19 |
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2018 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of and $5,211) | $ | 6,069,298 | ||||||
Affiliated issuers | 9,975,229 | |||||||
Interest | 706 | |||||||
Securities lending income | 30,964 | $ | 16,076,197 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 4,434,887 | |||||||
Distribution fee—Class A | 497,567 | |||||||
Distribution fee—Class B | 35,233 | |||||||
Distribution fee—Class C | 260,277 | |||||||
Distribution fee—Class R | 8,482 | |||||||
Distribution fee—Class K | 16,470 | |||||||
Transfer agency—Class A | 116,408 | |||||||
Transfer agency—Class B | 2,908 | |||||||
Transfer agency—Class C | 16,864 | |||||||
Transfer agency—Advisor Class | 260,225 | |||||||
Transfer agency—Class R | 4,411 | |||||||
Transfer agency—Class K | 13,176 | |||||||
Transfer agency—Class I | 460 | |||||||
Custodian | 179,848 | |||||||
Printing | 60,025 | |||||||
Registration fees | 50,812 | |||||||
Legal | 35,729 | |||||||
Administrative | 32,521 | |||||||
Audit and tax | 28,658 | |||||||
Trustees’ fees | 13,931 | |||||||
Miscellaneous | 25,938 | |||||||
|
| |||||||
Total expenses | 6,094,830 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | (2,669,860 | ) | ||||||
|
| |||||||
Net expenses | 3,424,970 | |||||||
|
| |||||||
Net investment income | 12,651,227 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain on: | ||||||||
Affiliated Underlying Portfolios | 1,257,903 | |||||||
Investment transactions | 9,671,509 | |||||||
Forward currency exchange contracts | 978,960 | |||||||
Foreign currency transactions | 9,552 | |||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 9,647,870 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Affiliated Underlying Portfolios | 32,636,354 | |||||||
Investments | 57,466,715 | |||||||
Forward currency exchange contracts | (979,290 | ) | ||||||
Foreign currency denominated assets and liabilities | (4,173 | ) | ||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 110,685,400 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 123,336,627 | ||||||
|
|
See notes to financial statements.
20 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 12,651,227 | $ | 43,149,939 | ||||
Net realized gain on investment transactions | 11,917,924 | 36,692,593 | ||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 9,647,870 | 139,284,430 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 89,119,606 | (39,602,068 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 123,336,627 | 179,524,894 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | ||||||||
Class A | (12,702,437 | ) | (10,846,833 | ) | ||||
Class B | (154,256 | ) | (188,566 | ) | ||||
Class C | (1,104,970 | ) | (2,182,049 | ) | ||||
Advisor Class | (30,588,835 | ) | (28,611,191 | ) | ||||
Class R | (93,029 | ) | (91,400 | ) | ||||
Class K | (414,434 | ) | (462,715 | ) | ||||
Class I | (24,826 | ) | (57,977 | ) | ||||
Net realized gain on investment transactions | ||||||||
Class A | (15,390,096 | ) | (8,526,561 | ) | ||||
Class B | (267,492 | ) | (240,870 | ) | ||||
Class C | (2,027,855 | ) | (2,296,861 | ) | ||||
Advisor Class | (34,504,247 | ) | (20,807,633 | ) | ||||
Class R | (132,720 | ) | (83,561 | ) | ||||
Class K | (523,517 | ) | (378,861 | ) | ||||
Class I | (29,856 | ) | (42,771 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 37,095,096 | (128,896,062 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | 62,473,153 | (24,189,017 | ) | |||||
Net Assets | ||||||||
Beginning of period | 1,323,041,344 | 1,347,230,361 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($13,936,272) and undistributed net investment income of $18,495,288, respectively) | $ | 1,385,514,497 | $ | 1,323,041,344 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 21 |
NOTES TO FINANCIAL STATEMENTS
February 28, 2018 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) was organized as a Massachusetts Business Trust on March 26, 1987 and is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Wealth Appreciation Strategy (the “Strategy”). The Strategy offers Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I shares. Class T shares have been authorized but currently are not offered. 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 Strategy 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 Strategy’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, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of 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 eight classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Strategy is an investment company under U.S. GAAP and follows the
22 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Strategy.
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 Company’s Board of Trustees (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 cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 23 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Strategy may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Strategy 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 Strategy generally values 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 Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 |
24 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
• | 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 Strategy’s own assumptions in determining the fair value of investments) |
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.
The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of February 28, 2018:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 721,701,251 | $ | – 0 | – | $ | – 0 | – | $ | 721,701,251 | ||||||
Investment Companies | 653,919,732 | – 0 | – | – 0 | – | 653,919,732 | ||||||||||
Short-Term Investments | 9,011,584 | – 0 | – | – 0 | – | 9,011,584 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 1,384,632,567 | – 0 | – | – 0 | – | 1,384,632,567 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 1,384,632,567 | $ | – 0 | – | $ | – 0 | – | $ | 1,384,632,567 | ||||||
|
|
|
|
|
|
|
|
��
(a) | See Portfolio of Investments for sector classifications. |
(b) | 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 swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(c) | There were no transfers between any levels during the reporting period. |
The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Strategy. 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
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 25 |
NOTES TO FINANCIAL STATEMENTS (continued)
mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any 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, 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,
26 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
interest and foreign withholding taxes recorded on the Strategy’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.
4. Taxes
It is the Strategy’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. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Strategy’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 Strategy’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Strategy 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 Strategy amortizes premiums and accretes discounts as adjustments to interest income.
6. Class Allocations
All income earned and expenses incurred by the Strategy are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Strategy represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. 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
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 27 |
NOTES TO FINANCIAL STATEMENTS (continued)
those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement (the “Advisory Agreement”), the Strategy pays the Adviser an advisory fee at an annual rate of .65% of the first $2.5 billion, .55% of the next $2.5 billion and .50% in excess of $5 billion of the Strategy’s average daily net assets. The fee is accrued daily and paid monthly.
The Strategy may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. In connection with the investment by the Strategy in the Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Strategy in an amount equal to the Strategy’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Strategy as an acquired fund fee and expense. For the six months ended February 28, 2018, such waivers amounted to $3,356.
In connection with the Strategy’s investments in other AB mutual funds, the Adviser has contractually agreed to waive fees and/or reimburse the expenses payable to the Adviser by the Strategy in an amount equal to the Strategy’s share of the advisory fees of AB mutual funds, as paid by the Strategy as an acquired fund fee and expense. These fee waivers and/or expense reimbursements will remain in effect until December 31, 2018. For the six months ended February 28, 2018, such waivers and/or reimbursements amounted to $2,666,178.
28 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
A summary of the Strategy’s transactions in AB mutual funds for the six months ended February 28, 2018 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 8/31/17 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change in Unrealized Appr./ (Depr.) (000) | Market Value 2/28/18 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 7,448 | $ | 97,014 | $ | 95,451 | $ | – 0 | – | $ | – 0 | – | $ | 9,011 | $ | 17 | $ | – 0 | – | |||||||||||||
AB Discovery Growth Fund, Inc. | 32,171 | 2,065 | 3,916 | 250 | 3,534 | 34,104 | – 0 | – | 2,065 | |||||||||||||||||||||||
AB Discovery Value Fund, Inc. | 31,436 | 2,190 | 1,888 | 92 | 535 | 32,365 | 164 | 2,026 | ||||||||||||||||||||||||
Bernstein Fund, Inc. – International Small Cap Portfolio | 80,301 | 3,054 | 3,357 | 213 | 3,369 | 83,580 | 1,961 | 1,093 | ||||||||||||||||||||||||
International Strategic Equities Portfolio | 263,694 | 9,641 | 10,341 | 408 | 14,284 | 277,686 | 3,719 | 4,113 | ||||||||||||||||||||||||
Small Cap Core Portfolio | 31,564 | 1,973 | 1,309 | 64 | 387 | 32,679 | 1,623 | 351 | ||||||||||||||||||||||||
Sanford C. Bernstein Fund, Inc. – Emerging Markets Portfolio | 36,685 | 393 | 569 | 65 | 2,479 | 39,053 | 393 | – 0 | – | |||||||||||||||||||||||
International Portfolio | 147,972 | 2,096 | 3,829 | 166 | 8,048 | 154,453 | 2,096 | – 0 | – | |||||||||||||||||||||||
Government Money Market Portfolio* | – 0 | – | 14,899 | 14,899 | – 0 | – | – 0 | – | – 0 | – | 2 | – 0 | – | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 1,258 | $ | 32,636 | $ | 662,931 | $ | 9,975 | $ | 9,648 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
* | Investments of cash collateral for securities lending transactions (see Note E). |
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 29 |
NOTES TO FINANCIAL STATEMENTS (continued)
Effective January 1, 2015, the Strategy may reimburse the Adviser for certain legal and accounting services provided to the Strategy by the Adviser. For the six months ended February 28, 2018, the reimbursement for such services amounted to $32,521.
The Strategy 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 Strategy. 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 $208,824 for the six months ended February 28, 2018.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Strategy’s shares. The Distributor has advised the Strategy that it has retained front-end sales charges of $4,536 from the sale of Class A shares and received $916, $1,830 and $646 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 February 28, 2018.
Brokerage commissions paid on investment transactions for the six months ended February 28, 2018 amounted to $12,865, of which $12,865 and $0, respectively, was paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein Limited, affiliates of the Adviser.
NOTE C
Distribution Plans
The Strategy has adopted a Plan for each class of shares of the Strategy pursuant to Rule 12b-1 under the Investment Company Act of 1940 (each a “Plan” and collectively the “Plans”). Under the Plans, the Strategy pays distribution and servicing fees to the Distributor at an annual rate of up to .50% of the Strategy’s average daily net assets attributable to Class A shares, 1% of the Strategy’s average daily net assets attributable to both Class B and Class C shares, .50% of the Strategy’s average daily net assets attributable to Class R shares and .25% of the Strategy’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 August 1, 2014, payments under the Plan in respect of Class A shares are limited to an annual rate of .25% of the Strategy’s Class A share’s average daily net assets. The Plans provide that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Strategy is not obligated under the Plans to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plans is to compensate the Distributor for its distribution
30 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
services with respect to the sale of the Strategy’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plans are characterized by the staff of the Securities and Exchange Commission as being of the “compensation” plan.
In the event that a Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Strategy to the Distributor with respect to the relevant class. The Plans also provide that the Adviser may use its own resources to finance the distribution of the Strategy’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended February 28, 2018 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 148,186,748 | $ | 187,454,860 | ||||
U.S. government securities | – 0 | – | – 0 | – |
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 are as follows:
Gross unrealized appreciation | $ | 133,949,080 | ||
Gross unrealized depreciation | (17,066,918 | ) | ||
|
| |||
Net unrealized appreciation | $ | 116,882,162 | ||
|
|
1. Derivative Financial Instruments
The Strategy 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 Strategy, as well as the methods in which they may be used are:
• | Forward Currency Exchange Contracts |
The Strategy 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
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 31 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Strategy. 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 February 28, 2018, the Strategy held forward currency exchange contracts for hedging and non-hedging purposes.
The Strategy typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Strategy typically may offset with the OTC counterparty certain derivative financial instruments’ 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. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Strategy’s net liability, held by the defaulting party, may be delayed or denied.
The Strategy’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Strategy decline below specific levels (“net asset contingent features”). If these levels are triggered, the Strategy’s OTC counterparty has the right to terminate such transaction and require the Strategy to pay or receive a settlement amount in connection with the terminated transaction.
32 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2018, the Strategy had entered into the following derivatives:
Derivative Type | Location of Gain or | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | $ | 978,960 | $ | (979,290 | ) | ||||
|
|
|
| |||||||
Total | $ | 978,960 | $ | (979,290 | ) | |||||
|
|
|
|
The following table represents the average monthly volume of the Strategy’s derivative transactions during the six months ended February 28, 2018:
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 65,574,242 | (a) | |
Average principal amount of sale contracts | $ | 66,553,532 | (a) |
(a) | Positions were open for less than one month during the period. |
2. Currency Transactions
The Strategy may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Strategy 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 Strategy 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 Strategy 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 Strategy 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).
NOTE E
Securities Lending
The Strategy may enter into securities lending transactions. Under the Strategy’s securities lending program, all loans of securities will be collateralized continually by cash. The Strategy will be compensated for
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 Strategy 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 Strategy to receive collateral consisting of cash in an amount exceeding the value of the securities loaned. The Strategy 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 Strategy amounts equal to any income or other distributions from the securities. The Strategy will not be able to exercise voting rights with respect to 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 Strategy 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 Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Strategy, 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 statement of assets and liabilities. When the Strategy lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. At February 28, 2018, the Strategy had no securities on loan. The cash collateral will be adjusted on the next business day to maintain the required collateral amount. The Strategy earned securities lending income of $30,964 and $2,004 from the borrowers and Government Money Market Portfolio, respectively, for the six months ended February 28, 2018; these amounts are reflected in the statement of operations. In connection with the cash collateral investment by the Strategy in the Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Strategy’s share of the advisory fees of the Government Money Market Portfolio, as borne indirectly by the Strategy as an acquired fund fee and expense. For the six months ended February 28, 2018, such waiver amounted to $326. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities.
34 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE F
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 425,211 | 644,485 | $ | 7,185,137 | $ | 9,846,795 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 1,632,882 | 1,266,269 | 26,681,287 | 18,424,212 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class B | 54,533 | 317,779 | 907,562 | 4,830,179 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 428,003 | 2,215,095 | 7,069,855 | 34,443,235 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,053,848 | ) | (4,279,502 | ) | (34,648,993 | ) | (65,569,347 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 486,781 | 164,126 | $ | 7,194,848 | $ | 1,975,074 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Shares sold | 8,160 | 25,282 | $ | 138,222 | $ | 386,574 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 24,927 | 28,110 | 412,793 | 413,492 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (54,097 | ) | (316,258 | ) | (907,562 | ) | (4,830,179 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (25,728 | ) | (99,729 | ) | (433,884 | ) | (1,534,383 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (46,738 | ) | (362,595 | ) | $ | (790,431 | ) | $ | (5,564,496 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 48,789 | 133,109 | $ | 809,801 | $ | 2,008,794 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 175,943 | 283,194 | 2,876,672 | 4,111,980 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (429,498 | ) | (2,226,647 | ) | (7,069,855 | ) | (34,443,235 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (344,792 | ) | (1,247,785 | ) | (5,768,273 | ) | (18,865,291 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (549,558 | ) | (3,058,129 | ) | $ | (9,151,655 | ) | $ | (47,187,752 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 3,410,532 | 5,106,278 | $ | 57,051,862 | $ | 77,877,677 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,723,512 | 3,188,418 | 60,618,771 | 46,232,069 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (4,625,302 | ) | (12,794,535 | ) | (77,802,695 | ) | (196,021,714 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 2,508,742 | (4,499,839 | ) | $ | 39,867,938 | $ | (71,911,968 | ) | ||||||||||||||||
|
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 35 |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | Six Months Ended February 28, 2018 (unaudited) | Year Ended August 31, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold | 8,661 | 29,165 | $ | 144,602 | $ | 440,985 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 13,892 | 12,083 | 225,748 | 174,961 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (27,557 | ) | (61,081 | ) | (459,229 | ) | (948,629 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (5,004 | ) | (19,833 | ) | $ | (88,879 | ) | $ | (332,683 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold | 46,359 | 100,860 | $ | 774,456 | $ | 1,526,089 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 57,755 | 58,159 | 937,946 | 841,564 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (103,110 | ) | (476,041 | ) | (1,717,723 | ) | (7,051,596 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 1,004 | (317,022 | ) | $ | (5,321 | ) | $ | (4,683,943 | ) | |||||||||||||||
| ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Shares sold | 983 | 64,565 | $ | 16,195 | $ | 986,903 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,359 | 6,958 | 54,682 | 100,748 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (135 | ) | (142,857 | ) | (2,281 | ) | (2,277,945 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 4,207 | (71,334 | ) | $ | 68,596 | $ | (1,190,294 | ) | ||||||||||||||||
|
NOTE G
Risks Involved in Investing in the Strategy
Interest Rate Risk and Credit Risk—Interest rate risk is the risk that changes in interest rates will affect the value of the Strategy’s investments in fixed-income debt securities such as bonds or notes. Increases in interest rates may cause the value of the Strategy’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.
36 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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 Strategy’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.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Strategy bear both their proportionate share of expenses in the Strategy (including management fees) and, indirectly, the expenses of the investment companies (to the extent these expenses are not waived or reimbursed by the Adviser).
Indemnification Risk—In the ordinary course of business, the Strategy enters into contracts that contain a variety of indemnifications. The Strategy’s maximum exposure under these arrangements is unknown. However, the Strategy has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Strategy 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 Strategy, participates 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 statement of operations. The Strategy did not utilize the Facility during the six months ended February 28, 2018.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 37 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2017 and August 31, 2016 were as follows:
2017 | 2016 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 42,440,731 | $ | 22,643,641 | ||||
Net long-term capital gains | 32,377,118 | – 0 | – | |||||
|
|
|
| |||||
Total taxable distributions | $ | 74,817,849 | $ | 22,643,641 | ||||
|
|
|
|
As of August 31, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 57,377,605 | ||
Undistributed capital gains | 30,712,568 | |||
Unrealized appreciation/(depreciation) | 25,611,737 | (a) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 113,701,910 | ||
|
|
(a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales and the recognition for tax purposes of unrealized gains/losses on certain derivative instruments. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of August 31, 2017, the Strategy did not have any capital loss carryforwards.
NOTE J
Subsequent Event
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Strategy’s financial statements through this date.
38 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.27 | $ 15.06 | $ 14.64 | $ 15.76 | $ 13.36 | $ 11.63 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .14 | (b) | .48 | (b) | .26 | (b) | .34 | (b) | .37 | (b) | .06 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.37 | 1.58 | .39 | (1.11 | ) | 2.30 | 1.77 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.51 | 2.06 | .65 | (.77 | ) | 2.67 | 1.83 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.55 | ) | (.48 | ) | (.23 | ) | (.35 | ) | (.27 | ) | (.10 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.67 | ) | (.37 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.22 | ) | (.85 | ) | (.23 | ) | (.35 | ) | (.27 | ) | (.10 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.56 | $ 16.27 | $ 15.06 | $ 14.64 | $ 15.76 | $ 13.36 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 9.37 | %* | 14.35 | %* | 4.53 | % | (4.89 | )% | 20.21 | % | 15.86 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $401,111 | $386,168 | $354,972 | $367,939 | $417,381 | $382,178 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | .63 | %^ | .85 | % | .89 | % | .88 | % | 1.05 | % | 1.07 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.02 | %^ | 1.01 | % | 1.01 | % | 1.00 | % | 1.06 | % | 1.07 | % | ||||||||||||
Net investment income | 1.72 | %(b)^ | 3.14 | %(b) | 1.78 | %(b) | 2.18 | %(b) | 2.52 | %(b) | .48 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 111 | % | 9 | % | 9 | % | 20 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .42 | %^ | .34 | % | .41 | % | .38 | % | .05 | % | .04 | % |
See footnote summary on page 46.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 39 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class B | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.36 | $ 15.07 | $ 14.57 | $ 15.64 | $ 13.20 | $ 11.47 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a) | .08 | (b) | .36 | (b) | .20 | (b) | .28 | (b) | .31 | (b) | (.02 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.37 | 1.60 | .34 | (1.15 | ) | 2.23 | 1.75 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.45 | 1.96 | .54 | (.87 | ) | 2.54 | 1.73 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.30 | ) | (.04 | ) | (.20 | ) | (.10 | ) | – 0 | – | ||||||||||||
Distributions from net realized gain on investment transactions | (.67 | ) | (.37 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.05 | ) | (.67 | ) | (.04 | ) | (.20 | ) | (.10 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.76 | $ 16.36 | $ 15.07 | $ 14.57 | $ 15.64 | $ 13.20 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 8.95 | %* | 13.48 | %* | 3.72 | % | (5.59 | )% | 19.33 | % | 15.08 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $6,781 | $7,383 | $12,268 | $26,943 | $57,541 | $77,795 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | 1.40 | %^ | 1.64 | % | 1.65 | % | 1.64 | % | 1.76 | % | 1.79 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.79 | %^ | 1.79 | % | 1.76 | % | 1.76 | % | 1.77 | % | 1.79 | % | ||||||||||||
Net investment income (loss) | .92 | %(b)^ | 2.35 | %(b) | 1.37 | %(b) | 1.85 | %(b) | 2.10 | %(b) | (.17 | )% | ||||||||||||
Portfolio turnover rate | 11 | % | 111 | % | 9 | % | 9 | % | 20 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .42 | %^ | .34 | % | .41 | % | .38 | % | .05 | % | .04 | % |
See footnote summary on page 46.
40 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.15 | $ 14.95 | $ 14.51 | $ 15.62 | $ 13.21 | $ 11.49 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a) | .08 | (b) | .36 | (b) | .15 | (b) | .23 | (b) | .27 | (b) | (.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.35 | 1.57 | .40 | (1.11 | ) | 2.27 | 1.76 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.43 | 1.93 | .55 | (.88 | ) | 2.54 | 1.73 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.36 | ) | (.36 | ) | (.11 | ) | (.23 | ) | (.13 | ) | (.01 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.67 | ) | (.37 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.03 | ) | (.73 | ) | (.11 | ) | (.23 | ) | (.13 | ) | (.01 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.55 | $ 16.15 | $ 14.95 | $ 14.51 | $ 15.62 | $ 13.21 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 8.94 | %* | 13.45 | %* | 3.81 | % | (5.62 | )% | 19.36 | % | 15.02 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $47,820 | $55,532 | $97,091 | $108,828 | $134,675 | $129,818 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | 1.38 | %^ | 1.62 | % | 1.64 | % | 1.63 | % | 1.75 | % | 1.78 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.77 | %^ | 1.76 | % | 1.76 | % | 1.75 | % | 1.76 | % | 1.78 | % | ||||||||||||
Net investment income (loss) | .96 | %(b)^ | 2.38 | %(b) | 1.06 | %(b) | 1.51 | %(b) | 1.84 | %(b) | (.22 | )% | ||||||||||||
Portfolio turnover rate | 11 | % | 111 | % | 9 | % | 9 | % | 20 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .42 | %^ | .34 | % | .41 | % | .38 | % | .05 | % | .04 | % |
See footnote summary on page 46.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 41 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.25 | $ 15.04 | $ 14.62 | $ 15.75 | $ 13.37 | $ 11.64 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .16 | (b) | .52 | (b) | .29 | (b) | .37 | (b) | .41 | (b) | .09 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.36 | 1.58 | .40 | (1.11 | ) | 2.30 | 1.79 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.52 | 2.10 | .69 | (.74 | ) | 2.71 | 1.88 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.59 | ) | (.52 | ) | (.27 | ) | (.39 | ) | (.33 | ) | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.67 | ) | (.37 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.26 | ) | (.89 | ) | (.27 | ) | (.39 | ) | (.33 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.51 | $ 16.25 | $ 15.04 | $ 14.62 | $ 15.75 | $ 13.37 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 9.45 | %* | 14.66 | %* | 4.82 | % | (4.66 | )% | 20.53 | % | 16.27 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $912,932 | $857,397 | $861,450 | $858,681 | $921,935 | $800,563 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | .38 | %^ | .60 | % | .64 | % | .63 | % | .75 | % | .77 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | .77 | %^ | .76 | % | .76 | % | .75 | % | .76 | % | .77 | % | ||||||||||||
Net investment income | 1.98 | %(b)^ | 3.39 | %(b) | 2.00 | %(b) | 2.42 | %(b) | 2.77 | %(b) | .74 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 111 | % | 9 | % | 9 | % | 20 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .42 | %^ | .34 | % | .41 | % | .38 | % | .05 | % | .04 | % |
See footnote summary on page 46.
42 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months February 28, (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.14 | $ 14.94 | $ 14.51 | $ 15.63 | $ 13.22 | $ 11.45 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .11 | (b) | .41 | (b) | .21 | (b) | .31 | (b) | .33 | (b) | .03 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.35 | 1.57 | .37 | (1.14 | ) | 2.26 | 1.74 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.46 | 1.98 | .58 | (.83 | ) | 2.59 | 1.77 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.47 | ) | (.41 | ) | (.15 | ) | (.29 | ) | (.18 | ) | – 0 | – | ||||||||||||
Distributions from net realized gain on investment transactions | (.67 | ) | (.37 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.14 | ) | (.78 | ) | (.15 | ) | (.29 | ) | (.18 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.46 | $ 16.14 | $ 14.94 | $ 14.51 | $ 15.63 | $ 13.22 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 9.11 | %* | 13.88 | %* | 4.06 | % | (5.33 | )% | 19.75 | % | 15.46 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $3,292 | $3,308 | $3,360 | $4,212 | $5,665 | $5,953 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | 1.08 | %^ | 1.30 | % | 1.33 | % | 1.32 | % | 1.43 | % | 1.41 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.47 | %^ | 1.46 | % | 1.45 | % | 1.44 | % | 1.44 | % | 1.41 | % | ||||||||||||
Net investment income | 1.27 | %(b)^ | 2.67 | %(b) | 1.46 | %(b) | 2.02 | %(b) | 2.27 | %(b) | .21 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 111 | % | 9 | % | 9 | % | 20 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .42 | %^ | .34 | % | .41 | % | .38 | % | .05 | % | .04 | % |
See footnote summary on page 46.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 43 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.17 | $ 14.97 | $ 14.54 | $ 15.66 | $ 13.28 | $ 11.57 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .13 | (b) | .48 | (b) | .22 | (b) | .28 | (b) | .37 | (b) | .05 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.36 | 1.55 | .42 | (1.07 | ) | 2.27 | 1.76 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.49 | 2.03 | .64 | (.79 | ) | 2.64 | 1.81 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.53 | ) | (.46 | ) | (.21 | ) | (.33 | ) | (.26 | ) | (.10 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.67 | ) | (.37 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.20 | ) | (.83 | ) | (.21 | ) | (.33 | ) | (.26 | ) | (.10 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.46 | $ 16.17 | $ 14.97 | $ 14.54 | $ 15.66 | $ 13.28 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 9.28 | %* | 14.22 | %* | 4.48 | % | (5.07 | )% | 20.12 | % | 15.78 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $12,769 | $12,527 | $16,346 | $15,751 | $17,865 | $16,319 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | .77 | %^ | .99 | % | 1.01 | % | 1.01 | % | 1.12 | % | 1.11 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | 1.16 | %^ | 1.14 | % | 1.12 | % | 1.13 | % | 1.13 | % | 1.11 | % | ||||||||||||
Net investment income | 1.62 | %(b)^ | 3.18 | %(b) | 1.57 | %(b) | 1.85 | %(b) | 2.48 | %(b) | .42 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 111 | % | 9 | % | 9 | % | 20 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .42 | %^ | .34 | % | .41 | % | .38 | % | .05 | % | .04 | % |
See footnote summary on page 46.
44 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.22 | $ 15.02 | $ 14.59 | $ 15.72 | $ 13.34 | $ 11.61 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .16 | (b) | .50 | (b) | .28 | (b) | .62 | (b) | .41 | (b) | .09 | |||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.35 | 1.58 | .41 | (1.36 | ) | 2.29 | 1.77 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.51 | 2.08 | .69 | (.74 | ) | 2.70 | 1.86 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.55 | ) | (.51 | ) | (.26 | ) | (.39 | ) | (.32 | ) | (.13 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.67 | ) | (.37 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.22 | ) | (.88 | ) | (.26 | ) | (.39 | ) | (.32 | ) | (.13 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.51 | $ 16.22 | $ 15.02 | $ 14.59 | $ 15.72 | $ 13.34 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 9.43 | %* | 14.56 | %* | 4.82 | % | (4.72 | )% | 20.53 | % | 16.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $809 | $726 | $1,743 | $1,781 | $4,576 | $3,886 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)† | .44 | %^ | .66 | % | .69 | % | .68 | % | .79 | % | .79 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)† | .83 | %^ | .82 | % | .81 | % | .80 | % | .81 | % | .79 | % | ||||||||||||
Net investment income | 1.92 | %(b)^ | 3.24 | %(b) | 1.93 | %(b) | 3.99 | %(b) | 2.78 | %(b) | .72 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 111 | % | 9 | % | 9 | % | 20 | % | 4 | % | ||||||||||||
† Expense ratios exclude the acquired fund fees of affiliated/unaffiliated underlying portfolios: | .42 | %^ | .34 | % | .41 | % | .38 | % | .05 | % | .04 | % |
See footnote summary on page 46.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 45 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of fees and expenses waived/reimbursed by the Adviser. |
(c) | 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 Strategy distributions or the redemption of Strategy shares. Total investment return calculated for a period of less than one year is not annualized. |
(d) | In connection with the Strategy’s investments in affiliated underlying portfolios, the Strategy incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Strategy in an amount equal to the Strategy’s pro rata share of certain acquired fund fees and expenses, and for the six months ended February 28, 2018 and year ended August 31, 2017, such waiver amounted to .39% (annualized) and .16%, respectively. |
* | Includes the impact of proceeds received and credited to the Strategy resulting from class action settlements, which enhanced the Strategy’s performance for the six months ended February 28, 2018 and year ended August 31, 2017 by .03% and .05%, respectively. |
^ | Annualized. |
See notes to financial statements.
46 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Michael J. Downey(1) William H. Foulk, Jr.(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 | ||
Ding Liu(2), Vice President Nelson Yu(2), Vice President Emilie D. Wrapp, Clerk Joseph J. Mantineo, Treasurer and Chief Financial Officer | Phyllis J. Clarke, Controller and Chief Accounting Officer Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company
Principal Underwriter AllianceBernstein Investments, Inc.
Legal Counsel Seward & Kissel LLP | Transfer Agent AllianceBernstein Investor
Independent Registered Public Accounting Firm Ernst & Young LLP |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Strategy’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Liu and Yu are the investment professionals primarily responsible for the day-to-day management of the AB Wealth Appreciation Strategy’s portfolio. |
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 47 |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Wealth Appreciation Strategy (the “Fund”) at a meeting held on August 1-2, 2017 (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 Company’s Senior Officer (who is also the Company’s Independent Compliance Officer), who acted as their independent fee consultant, 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 Company’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 review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. 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
48 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
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 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 Company’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 and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2015 and 2016 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Company’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 relationships 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 relationships with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 49 |
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the underlying funds advised by the Adviser in which the Fund invests, 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 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 Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed information prepared by an analytical service that is not affiliated with the Adviser (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a peer group and a peer universe, and information prepared by the Adviser showing performance of the Class A Shares of the Fund against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2017 and (in the case of comparisons with the broad-based securities market index) for the period from inception. 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 the 15(c) service provider concerning advisory fee rates paid by other funds in the same 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 compared the Fund’s contractual effective advisory fee rate with 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
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evaluation from the Company’s Senior Officer and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule, 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.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to funds such as the Fund, the directors considered these 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 also 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 the 15(c) provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the information included the pro forma expense ratio to reflect a reduction in the Fund’s expense ratio effective since the recent changes to the Fund’s investment strategies. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s 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 pro forma expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent
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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 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 shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
US CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
US GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
INTERNATIONAL/ GLOBAL CORE
Global Core Equity Portfolio
International Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed International Portfolio
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
INTERNATIONAL/ GLOBAL GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund1
INTERNATIONAL/ GLOBAL EQUITY (continued)
INTERNATIONAL/ GLOBAL VALUE
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
Tax-Aware Fixed Income Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
FlexFee™ High Yield Portfolio1
FlexFee™ International Bond Portfolio
Global Bond Fund
High Income Fund
Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
Unconstrained Bond Fund
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
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
CLOSED-END FUNDS
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio 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.
1 | Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio. |
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NOTES
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NOTES
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AB WEALTH APPRECIATION STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
WA-0152-0218
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): The AB Portfolios
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President | ||
Date: | April 26, 2018 |
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: | April 26, 2018 | |
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer | ||
Date: | April 26, 2018 |