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Ab Cap Fund

Filed: 3 Jun 22, 4:17pm

 

 

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: 811-01716

 

 

AB CAP FUND, INC.

(Exact name of registrant as specified in charter)

 

 

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

 

 

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: March 31, 2022

Date of reporting period: March 31, 2022

 

 

 


ITEM 1. REPORTS TO STOCKHOLDERS.


MAR    03.31.22

LOGO

ANNUAL REPORT

AB EMERGING MARKETS
MULTI-ASSET PORTFOLIO

 

LOGO

 

As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.

You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.


 

 

 
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 as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. 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  LOGO

Dear Shareholder,

We’re pleased to provide this report for the AB Emerging Markets Multi-Asset Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.

At AB, we’re striving to help our clients achieve better outcomes by:

 

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Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets

 

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Applying differentiated investment insights through a connected global research network

 

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Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions

Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.

For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.

Thank you for your investment in AB mutual funds—and for placing your trust in our firm.

Sincerely,

 

LOGO

Onur Erzan

President and Chief Executive Officer, AB Mutual Funds

 

abfunds.com 

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ANNUAL REPORT

 

May 10, 2022

This report provides management’s discussion of fund performance for the AB Emerging Markets Multi-Asset Portfolio for the annual reporting period ended March 31, 2022.

The Fund’s investment objective is to maximize total return. Total return is the sum of capital appreciation and income.

NAV RETURNS AS OF MARCH 31, 2022 (unaudited)

 

   6 Months   12 Months 
AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    
Class A Shares   -11.49%    -13.12% 
Class C Shares   -11.81%    -13.78% 
Advisor Class Shares1   -11.44%    -12.87% 
Class R Shares1   -11.65%    -13.31% 
Class K Shares1   -11.55%    -13.16% 
Class I Shares1   -11.45%    -12.97% 
Class Z Shares1   -11.41%    -12.85% 
MSCI EM Index (net)   -8.20%    -11.37% 

 

1

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.

INVESTMENT RESULTS

The table above shows the Fund’s performance compared to its benchmark, the Morgan Stanley Capital International Emerging Markets (“MSCI EM”) Index (net), for the six- and 12-month periods ended March 31, 2022. The Fund’s benchmark is fully composed of equities, while the Fund invests in both equities and fixed income.

All share classes of the Fund underperformed the benchmark for the 12-month period, before sales charges. Emerging-market equity index returns underperformed emerging-market debt index returns, although both declined in absolute terms, so the structural overweight of the Fund’s multi-asset strategy to equity assets detracted. The Fund’s fixed-income assets underperformed and equity assets outperformed their respective fixed-income and equity benchmarks. Overall security selection within fixed-income assets detracted, while selection in equities contributed to absolute returns.

 

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During the six-month period, all share classes of the Fund underperformed the benchmark, before sales charges. Emerging-market equity index returns outperformed emerging-market debt index returns, although both declined in absolute terms, so the structural overweight to fixed-income assets of the Fund’s multi-asset strategy detracted. The Fund’s fixed-income and equity assets underperformed their respective benchmarks, and overall security selection within equities and fixed income detracted from absolute returns.

During both periods, the Fund utilized derivatives for hedging and investment purposes in the form of currency forwards, credit default swaps and written swaptions, which added to absolute performance, while futures, variance swaps, interest rate swaps, total return swaps and purchased swaptions detracted.

MARKET REVIEW AND INVESTMENT STRATEGY

US and international stocks ended in positive territory and emerging markets lost ground during the 12-month period ended March 31, 2022. Accommodative monetary policy continued to support an accelerating global economic recovery, but—despite generally strong corporate earnings and economic data—equity markets experienced a dramatic increase in volatility later in the period. Persistent and rapidly rising inflation; tightening monetary policy, particularly in the US; Russia’s invasion of Ukraine; and surging COVID-19 cases in China triggered sharp swings between gains and losses. Developed markets, and to a lesser extent emerging markets, recovered some losses toward the end of the period, led by a rebound in US equities. Positive sentiment was buoyed, despite elevated geopolitical risks and a rising-rate environment, as US economic growth remained on track, supported by strong consumer demand and sustained improvement in the job market. Both growth- and value-oriented stocks rose, but growth stocks outperformed on a relative basis. Large-cap stocks gained in absolute terms and outperformed small-cap stocks—which ended in negative territory—by a wide margin.

Fixed-income government bond market yields increased rapidly, and bond prices fell in most developed markets. Government bond yields rose the most in Australia and the eurozone, and the least in Japan. Several major central banks became more hawkish and started to tighten monetary policy by raising short-term interest rates and ending bond purchases to combat high and persistent inflation. Inflation expectations worsened toward the end of the period when Russia invaded Ukraine, causing energy and agricultural prices to spike. Global inflation-linked bonds had positive returns and significantly outperformed nominal government bonds. In credit sectors, high-yield corporate bonds in developed markets outperformed treasuries, while investment-grade corporate bonds underperformed respective treasury markets, except in the eurozone. Emerging-market bonds lagged the most, particularly toward the end of the period

 

abfunds.com 

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when the invasion dampened investor demand. The US dollar advanced against most currencies as a safe haven. Brent crude oil prices surged from increased demand and as major oil producers limited production increases.

The Fund’s Senior Investment Management Team (the “Team”) seeks to maximize total return by dynamically adjusting exposure to emerging markets by investing across asset classes. The Team’s emerging-market strategy searches for long-term growth with lower volatility. In seeking to reduce risk and provide downside mitigation, the Team pursues active stocks and flexible bond allocations. The Team utilizes a disciplined investment process, which draws on a rigorous quantitative research toolset with fundamental expertise across all regions and markets.

INVESTMENT POLICIES

The Fund invests at least 80% of its net assets under normal circumstances in securities of emerging-market issuers and/or the currencies of emerging-market countries. Examples of emerging-market countries include Argentina, Brazil, Chile, Croatia, Egypt, India, Indonesia, Israel, Kazakhstan, Malaysia, Mexico, the People’s Republic of China, Peru, the Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, Turkey and Venezuela. The Fund may invest up to 20% of its net assets in the securities of developed-market issuers.

The Fund invests in equity securities, debt securities and currencies, and does not attempt to maintain a constant or relatively constant allocation among these asset classes. Rather, allocations among asset classes are adjusted based on the Adviser’s view of the relative attractiveness of the asset classes. These allocations are informed by the Adviser’s proprietary asset allocation tools, which are comprised of a series of volatility, correlation and expected return forecasts. The Adviser reviews potential Fund investments in each asset class holistically from a country, currency, sector and security standpoint to optimize overall portfolio construction. Under normal circumstances, the Fund will invest between 30% and 95% of its net assets in equity securities, and between 0% and 65% of its net assets in debt securities, with any remainder held in cash (including foreign currency). The Fund is not constrained based on the country, region, market capitalization, credit quality or duration of its investments and its assets may at times be concentrated in a particular country or region.

The process for selecting equity securities for the Fund is primarily bottom-up. The Adviser seeks to identify stocks that are attractive based on valuation, profitability, earnings quality, business trends, price momentum and other measures. The process for selecting debt

 

(continued on next page)

 

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securities for the Fund is more top-down. The Adviser believes that inefficiencies in the global debt markets arise from investor emotion, market complexity and conflicting investment agendas. The Adviser combines quantitative forecasts with fundamental credit and economic research in seeking to exploit these inefficiencies. The Adviser seeks to generate returns from the Fund’s fixed-income investments through a combination of country selection, currency allocation, sector analysis and security selection. Debt securities may include those of both corporate and governmental issuers, and may include below investment-grade debt securities (“junk bonds”). The Fund may invest in debt securities with a range of maturities from short- to long-term.

The Adviser considers both quantitative and fundamental factors in adjusting the Fund’s currency exposures. In addition to the Fund’s currency exposure that results from its investments in equity and debt securities denominated in foreign currencies (and any related hedging), the Fund may hold foreign currency (or related derivatives) independently of any such investments, and may hold a currency even if the Fund does not hold any securities denominated in that currency.

The Fund may utilize derivatives, such as futures contracts, forwards and swaps, and invest in exchange-traded funds (“ETFs”) to a significant extent. Derivatives and ETFs may provide more efficient and economical exposure to market segments than direct investments, and may also be a quicker and more efficient way to alter the Fund’s exposure than buying and selling direct investments. In determining when and to what extent to enter into derivatives transactions or to invest in ETFs, the Adviser will consider factors such as the relative risks and returns expected of potential investments and the cost of such transactions. Derivatives may also be used for hedging purposes, including to hedge against interest-rate, credit and currency fluctuations. The Adviser also expects to use derivatives frequently to effectively leverage the Fund by creating aggregate exposure somewhat in excess of the Fund’s net assets. The notional value of derivatives and ETFs linked to emerging-market securities or currencies are counted towards meeting the percentage minimums and ranges set forth above, including the requirement that the Fund invest at least 80% of its net assets in the securities of emerging-market issuers and/or the currencies of emerging-market countries.

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    5


 

DISCLOSURES AND RISKS

 

Benchmark Disclosure

The MSCI EM Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI EM Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of emerging markets. 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

Emerging-Market Risk: Investments in emerging-market countries may involve more risk than investments in other foreign countries because the markets in emerging-market countries are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.

Market Risk: The value of the Fund’s assets will fluctuate as the stock, bond or currency markets fluctuate. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.

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 more difficult to trade 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 currencies may be more volatile and less liquid, and subject to significantly greater risk of currency controls and convertibility restrictions, than currencies of developed countries.

Country Concentration Risk: The Fund may not always be diversified among countries or geographic regions and the effect on the Fund’s net asset value (“NAV”) of the specific risks identified above, such as political, regulatory and currency risks, may be magnified due to concentration of the Fund’s investments in a particular country or region.

 

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DISCLOSURES AND RISKS (continued)

 

Allocation Risk: The allocation of Fund assets among different asset classes, such as equity securities, debt securities and currencies, may have a significant effect on the Fund’s NAV when one of these asset classes is performing better or worse than others. The diversification benefits typically associated with investing in both equity and debt securities may be limited in the emerging-markets context, as movements in emerging-market equity and emerging-market debt markets may be more correlated than movements in the equity and debt markets of developed countries.

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.

Interest-Rate Risk: Changes in interest rates will affect the value of 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. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.

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.

Sovereign Debt Risk: Investments in sovereign debt obligations expose the Fund to the direct or indirect consequences of political, social and economic changes in countries that issue the obligations. Such changes may affect a foreign government’s willingness or ability to make timely payments of its obligations. In addition, no established market may exist for many sovereign debt obligations. Reduced secondary market liquidity may have an adverse effect on the market price of an instrument and the Fund’s ability to dispose of particular instruments.

Below Investment-Grade 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

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    7


 

DISCLOSURES AND RISKS (continued)

 

due to factors such as specific corporate developments, interest-rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.

Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Fund.

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.

Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.

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, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.

These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.

An Important Note About Historical Performance

The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown 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.

 

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DISCLOSURES AND RISKS (continued)

 

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 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 

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HISTORICAL PERFORMANCE

 

GROWTH OF A $10,000 INVESTMENT IN THE FUND (unaudited)

3/31/2012 TO 3/31/2022

 

LOGO

This chart illustrates the total value of an assumed $10,000 investment in AB Emerging Markets Multi-Asset Portfolio Class A shares (from 3/31/2012 to 3/31/2022) as compared to the performance of its benchmark. The chart reflects the deduction of the maximum 4.25% sales charge from the initial $10,000 investment in the Fund and assumes the reinvestment of dividends and capital gains distributions.

 

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HISTORICAL PERFORMANCE (continued)

 

AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2022 (unaudited)

 

  NAV Returns  

SEC Returns

(reflects applicable
sales charges)

 
CLASS A SHARES  
1 Year  -13.12%   -16.82% 
5 Years  2.84%   1.94% 
10 Years  2.01%   1.57% 
CLASS C SHARES  
1 Year  -13.78%   -14.62% 
5 Years  2.07%   2.07% 
10 Years1  1.27%   1.27% 
ADVISOR CLASS SHARES2  
1 Year  -12.87%   -12.87% 
5 Years  3.09%   3.09% 
10 Years  2.28%   2.28% 
CLASS R SHARES2  
1 Year  -13.31%   -13.31% 
5 Years  2.58%   2.58% 
10 Years  1.77%   1.77% 
CLASS K SHARES2  
1 Year  -13.16%   -13.16% 
5 Years  2.84%   2.84% 
10 Years  2.03%   2.03% 
CLASS I SHARES2  
1 Year  -12.97%   -12.97% 
5 Years  3.09%   3.09% 
10 Years  2.28%   2.28% 
CLASS Z SHARES2  
1 Year  -12.85%   -12.85% 
Since Inception3  1.70%   1.70% 

The Fund’s prospectus fee table shows the Fund’s total annual operating expense ratios as 1.65%, 2.41%, 1.40%, 2.11%, 1.81%, 1.25% and 1.32% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Fund’s annual operating expense ratios, exclusive of expenses associated with acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense and extraordinary expenses, to 1.24%, 1.99%, 0.99%, 1.49%, 1.24%, 0.99% and 0.99% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. These waivers/reimbursements may not be terminated before July 31, 2022. 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)

 

abfunds.com 

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HISTORICAL PERFORMANCE (continued)

 

1

Assumes conversion of Class C 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.

 

3

Inception date: 7/31/2017.

 

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HISTORICAL PERFORMANCE (continued)

 

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2022 (unaudited)

 

   

SEC Returns

(reflects applicable
sales charges)

 
CLASS A SHARES  
1 Year   -16.82% 
5 Years   1.94% 
10 Years   1.57% 
CLASS C SHARES  
1 Year   -14.62% 
5 Years   2.07% 
10 Years1   1.27% 
ADVISOR CLASS SHARES2  
1 Year   -12.87% 
5 Years   3.09% 
10 Years   2.28% 
CLASS R SHARES2  
1 Year   -13.31% 
5 Years   2.58% 
10 Years   1.77% 
CLASS K SHARES2  
1 Year   -13.16% 
5 Years   2.84% 
10 Years   2.03% 
CLASS I SHARES2  
1 Year   -12.97% 
5 Years   3.09% 
10 Years   2.28% 
CLASS Z SHARES2  
1 Year   -12.85% 
Since Inception3   1.70% 

 

1

Assumes conversion of Class C 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.

 

3

Inception date: 7/31/2017.

 

abfunds.com 

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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
10/1/2021
  Ending
Account
Value
3/31/2022
  Expenses
Paid
During
Period*
  Annualized
Expense
Ratio*
  Total
Expenses
Paid
During
Period+
  Total
Annualized
Expense
Ratio+
 
Class A      

Actual

 $1,000  $885.10  $5.83   1.24 $5.87   1.25

Hypothetical**

 $1,000  $1,018.75  $6.24   1.24 $6.29   1.25
Class C      

Actual

 $1,000  $881.90  $9.34   1.99 $9.38   2.00

Hypothetical**

 $1,000  $1,015.01  $10.00   1.99 $10.05   2.00
Advisor Class      

Actual

 $1,000  $885.60  $4.65   0.99 $4.70   1.00

Hypothetical**

 $1,000  $1,020.00  $4.99   0.99 $5.04   1.00
Class R      

Actual

 $1,000  $883.50  $7.00   1.49 $7.04   1.50

Hypothetical**

 $1,000  $1,017.50  $7.49   1.49 $7.54   1.50
Class K      

Actual

 $1,000  $884.50  $5.83   1.24 $5.87   1.25

Hypothetical**

 $1,000  $1,018.75  $6.24   1.24 $6.29   1.25
Class I      

Actual

 $1,000  $885.50  $4.65   0.99 $4.70   1.00

Hypothetical**

 $1,000  $1,020.00  $4.99   0.99 $5.04   1.00
Class Z      

Actual

 $1,000  $885.90  $4.65   0.99 $4.70   1.00

Hypothetical**

 $1,000  $1,020.00  $4.99   0.99 $5.04   1.00

 

*

Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

 

**

Assumes 5% annual return before expenses.

 

+

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 182/365 (to reflect the one-half year period).

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    15


 

PORTFOLIO SUMMARY

March 31, 2022 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $155.5

 

 

 

LOGO

 

 

 

LOGO

 

1

All data are as of March 31, 2022. The Fund’s security type and sector breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” sector weightings represent 1.2% or less in the following sectors: Emerging Markets–Treasuries, Funds and Investment Trusts, Health Care, Regional Bonds and Treasury Bonds.

 

16    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

 abfunds.com


 

PORTFOLIO SUMMARY (continued)

March 31, 2022 (unaudited)

 

 

 

LOGO

TEN LARGEST HOLDINGS2

 

Company  U.S. $ Value   Percent of
Net Assets
 
Taiwan Semiconductor Manufacturing Co., Ltd.  $4,307,839    2.8
Samsung Electronics Co., Ltd.   3,424,968    2.2 
Agricultural Bank of China Ltd. – Class H   3,022,330    1.9 
Hana Financial Group, Inc.   2,746,059    1.8 
Hon Hai Precision Industry Co., Ltd.   2,669,420    1.7 
China Hongqiao Group Ltd.   2,556,679    1.6 
Petroleos Mexicanos   2,380,089    1.5 
FPT Corp., Macquarie Bank Ltd.   2,183,666    1.4 
Kia Corp.   2,177,002    1.4 
MediaTek, Inc.   2,147,317    1.4 
  $  27,615,369    17.7

 

1

All data are as of March 31, 2022. The Fund’s country 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). “Other” country weightings represent 1.5% or less in the following: Angola, Azerbaijan, Bahamas, Bahrain, Canada, Chile, Dominican Republic, Ecuador, Egypt, El Salvador, France, Gabon, Ghana, Greece, Guatemala, Hong Kong, Hungary, Israel, Ivory Coast, Jamaica, Japan, Kazakhstan, Kenya, Lebanon, Macau, Malaysia, Nigeria, Oman, Pakistan, Panama, Paraguay, Peru, Poland, Qatar, Romania, Russia, Saudi Arabia, Senegal, Sri Lanka, Switzerland, Thailand, Trinidad & Tobago, Ukraine, United Arab Emirates, United States, Uruguay, Venezuela and Zambia.

 

2

Long-term investments.

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    17


 

PORTFOLIO OF INVESTMENTS

March 31, 2022

 

Company

    

Shares

   U.S. $ Value 

 

 

COMMON STOCKS – 55.7%

 

Financials – 14.2%

 

Banks – 10.2%

 

Absa Group Ltd.

   1,149   $14,898 

Agricultural Bank of China Ltd. – Class H

   7,906,000    3,022,330 

Al Rajhi Bank

   4,891    208,766 

Banco do Brasil SA

   13,600    99,121 

Banco Santander Chile

   922,777    51,968 

Bank for Foreign Trade of Vietnam JSC

   109,200    392,519 

Bank Mandiri Persero TBK PT

   1,548,500    849,295 

Bank of Beijing Co., Ltd. – Class A

   12,600    9,058 

Bank of Communications Co., Ltd. – Class A

   121,900    97,753 

Bank of Communications Co., Ltd. – Class H

   880,000    630,007 

Bank Polska Kasa Opieki SA

   12,844    343,320 

Bank Rakyat Indonesia Persero Tbk PT

   51,800    16,731 

Capitec Bank Holdings Ltd.

   606    96,512 

China CITIC Bank Corp., Ltd. – Class A

   134,600    107,516 

China CITIC Bank Corp., Ltd. – Class H

   188,000    94,869 

China Construction Bank Corp. – Class H

   555,000    415,731 

China Everbright Bank Co., Ltd. – Class A

   187,300    97,010 

China Everbright Bank Co., Ltd. – Class H

   226,000    85,269 

China Merchants Bank Co., Ltd. – Class H

   12,000    93,413 

Commercial International Bank Egypt SAE

   2,471    6,226 

CTBC Financial Holding Co., Ltd.

   149,000    151,847 

Grupo Elektra SAB DE CV

   359    23,257 

Grupo Financiero Banorte SAB de CV – Class O

   2,279    17,166 

Haci Omer Sabanci Holding AS

   683,169    815,016 

Halyk Savings Bank of Kazakhstan JSC (GDR)(a)

   23,000    229,310 

Hana Financial Group, Inc.

   69,043    2,746,059 

HDFC Bank Ltd.

   77,167    1,486,223 

Huaxia Bank Co., Ltd.

   111,600    97,350 

ICICI Bank Ltd.

   4,722    45,038 

Industrial Bank Co., Ltd. – Class A

   442,160    1,429,825 

Industrial Bank of Korea

   10,519    93,476 

Itau Unibanco Holding SA (Preference Shares)

   5,400    31,168 

Kasikornbank PCL (Foreign Shares)

   1,300    6,283 

KB Financial Group, Inc.

   24,564    1,230,998 

Malayan Banking Bhd

   19,000    40,379 

Metropolitan Bank & Trust Co.

   482,210    529,906 

Sberbank of Russia PJSC (Sponsored ADR)(b)(c)

   34,674    – 0 – 

Standard Bank Group Ltd.

   1,556    19,332 

Turkiye Is Bankasi AS – Class C

   148,013    88,991 
    

 

 

 
     15,813,936 
    

 

 

 

Capital Markets – 0.7%

 

B3 SA – Brasil Bolsa Balcao

   223,200    736,491 

China International Capital Corp. Ltd.(a)

   3,200    7,074 

GF Securities Co., Ltd. – Class H

   15,200    21,398 

 

18    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

 abfunds.com


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

Korea Investment Holdings Co., Ltd.

   1,430   $91,869 

Meritz Securities Co., Ltd.

   18,259    98,137 

NH Investment & Securities Co., Ltd.

   9,584    89,616 

Samsung Securities Co., Ltd.

   2,591    88,975 
    

 

 

 
     1,133,560 
    

 

 

 

Consumer Finance – 0.2%

 

Manappuram Finance Ltd.

   189,936    282,997 

Muthoot Finance Ltd.

   1,828    32,084 
    

 

 

 
     315,081 
    

 

 

 

Diversified Financial Services – 1.1%

 

Chailease Holding Co., Ltd.

   24,000    210,512 

Far East Horizon Ltd.

   101,000    90,256 

Fubon Financial Holding Co., Ltd.

   464,507    1,233,368 

REC Ltd.

   54,340    87,976 

Remgro Ltd.

   3,779    38,745 

Yuanta Financial Holding Co., Ltd.

   14,000    12,826 
    

 

 

 
     1,673,683 
    

 

 

 

Insurance – 1.5%

 

AIA Group Ltd.

   71,200    743,462 

BB Seguridade Participacoes SA

   5,500    29,527 

Bupa Arabia for Cooperative Insurance Co.

   1,872    89,321 

Cathay Financial Holding Co., Ltd.

   5,000    11,161 

Co. for Cooperative Insurance (The)

   4,422    84,481 

DB Insurance Co., Ltd.

   1,879    108,196 

Max Financial Services Ltd.(d)

   32,726    324,074 

PICC Property & Casualty Co., Ltd. – Class H

   900,000    916,466 

Powszechny Zaklad Ubezpieczen SA

   9,955    79,692 
    

 

 

 
     2,386,380 
    

 

 

 

Thrifts & Mortgage Finance – 0.5%

 

Housing Development Finance Corp., Ltd.

   23,125    723,074 
    

 

 

 
     22,045,714 
    

 

 

 

Information Technology – 14.0%

 

Electronic Equipment, Instruments & Components – 3.0%

    

Hon Hai Precision Industry Co., Ltd.

   727,000    2,669,420 

Kingboard Holdings Ltd.

   17,000    81,993 

Samsung SDI Co., Ltd.

   2,401    1,168,542 

Sinbon Electronics Co., Ltd.

   43,000    387,867 

Synnex Technology International Corp.

   37,000    96,580 

Unimicron Technology Corp.

   22,000    187,516 

WPG Holdings Ltd.

   47,000    91,563 
    

 

 

 
     4,683,481 
    

 

 

 

IT Services – 1.6%

 

GDS Holdings Ltd.(d)

   153,896    745,023 

GDS Holdings Ltd. (ADR)(d)

   693    27,200 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    19


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

HCL Technologies Ltd.

   4,320   $66,022 

Infosys Ltd.

   10,474    262,297 

Infosys Ltd. (Sponsored ADR)

   25,439    633,177 

Mindtree Ltd.

   1,725    97,055 

Network International Holdings PLC(a)(d)

   72,705    267,425 

Tata Consultancy Services Ltd.

   6,533    321,067 

Tech Mahindra Ltd.

   4,772    93,889 
    

 

 

 
     2,513,155 
    

 

 

 

Semiconductors & Semiconductor Equipment – 6.5%

    

ASE Technology Holding Co., Ltd.

   26,000    92,650 

Broadcom, Inc.

   303    190,793 

Flat Glass Group Co., Ltd.(d)

   14,854    56,711 

MediaTek, Inc.(d)

   69,000    2,147,317 

Novatek Microelectronics Corp.

   86,000    1,264,520 

Parade Technologies Ltd.

   2,000    124,996 

Powertech Technology, Inc.

   21,000    69,176 

Realtek Semiconductor Corp.

   12,000    178,257 

Silergy Corp.

   1,000    117,251 

Taiwan Semiconductor Manufacturing Co., Ltd.

   210,000    4,307,839 

United Microelectronics Corp.(d)

   822,000    1,509,541 

Vanguard International Semiconductor Corp.

   3,000    12,918 
    

 

 

 
     10,071,969 
    

 

 

 

Technology Hardware, Storage & Peripherals – 2.9%

    

Catcher Technology Co., Ltd.

   17,000    85,286 

Samsung Electronics Co., Ltd.

   59,853    3,424,968 

Samsung Electronics Co., Ltd. (Preference Shares)

   18,616    964,596 
    

 

 

 
     4,474,850 
    

 

 

 
     21,743,455 
    

 

 

 

Consumer Discretionary – 7.5%

    

Auto Components – 0.1%

    

Balkrishna Industries Ltd.

   2,227    62,120 

Fuyao Glass Industry Group Co., Ltd. – Class H(a)

   22,000    89,324 
    

 

 

 
     151,444 
    

 

 

 

Automobiles – 2.9%

    

BYD Co., Ltd.

   3,500    97,354 

Dongfeng Motor Group Co., Ltd. – Class H

   360,000    269,290 

Ford Otomotiv Sanayi AS

   10,230    208,271 

Hero MotoCorp Ltd.

   1,657    49,837 

Hyundai Motor Co.

   85    12,541 

Kia Corp.

   35,943    2,177,002 

Li Auto, Inc. (ADR)(d)

   3,715    95,884 

NIO, Inc. (ADR)(d)

   30,435    640,657 

 

20    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

SAIC Motor Corp., Ltd. – Class A

   305,400   $813,027 

XPeng, Inc. (ADR)(d)

   3,802    104,897 
    

 

 

 
     4,468,760 
    

 

 

 

Diversified Consumer Services – 0.0%

    

Fu Shou Yuan International Group Ltd.

   86,000    63,161 
    

 

 

 

Hotels, Restaurants & Leisure – 1.9%

    

Despegar.com Corp.(d)

   33,192    404,942 

MakeMyTrip Ltd.(d)

   30,796    826,257 

OPAP SA

   118,312    1,722,184 

Shenzhen Overseas Chinese Town Co., Ltd. – Class A

   38,900    44,905 
    

 

 

 
     2,998,288 
    

 

 

 

Household Durables – 0.0%

    

Coway Co. Ltd.

   215    12,119 
    

 

 

 

Internet & Direct Marketing Retail – 1.2%

    

Alibaba Group Holding Ltd.(d)

   21,700    296,134 

JD.com, Inc.(d)

   43,639    1,239,998 

Meituan – Class B(a)(d)

   600    11,366 

momo.com, Inc.

   8,000    260,030 

Naspers Ltd. – Class N

   24    2,710 

Pinduoduo, Inc. (ADR)(d)

   1,163    46,648 
    

 

 

 
     1,856,886 
    

 

 

 

Multiline Retail – 0.1%

 

Lotte Shopping Co., Ltd.

   1,178    92,509 
    

 

 

 

Specialty Retail – 0.6%

 

China Tourism Group Duty Free Corp., Ltd. – Class A

   11,900    305,523 

Jarir Marketing Co.

   1,708    89,493 

JUMBO SA

   6,027    89,798 

Topsports International Holdings Ltd.(a)

   320,000    265,965 

Zhongsheng Group Holdings Ltd.

   36,000    253,124 
    

 

 

 
     1,003,903 
    

 

 

 

Textiles, Apparel & Luxury Goods – 0.7%

 

ANTA Sports Products Ltd.

   14,400    178,632 

Bosideng International Holdings Ltd.(e)

   206,000    95,448 

Li Ning Co., Ltd.

   59,000    500,990 

LVMH Moet Hennessy Louis Vuitton SE

   261    186,302 

Page Industries Ltd.

   80    45,308 
    

 

 

 
     1,006,680 
    

 

 

 
     11,653,750 
    

 

 

 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    21


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

Materials – 6.3%

 

Chemicals – 0.6%

 

Advanced Petrochemical Co.

   1,270   $23,769 

Braskem SA (Preference Shares)

   2,500    23,262 

Nan Ya Plastics Corp.

   13,000    42,082 

Petronas Chemicals Group Bhd

   27,500    62,786 

PhosAgro PJSC (GDR)(a)(b)(c)

   4,422    – 0 – 

SABIC Agri-Nutrients Co.

   190    9,168 

Tosoh Corp.

   48,200    712,372 
    

 

 

 
     873,439 
    

 

 

 

Construction Materials – 0.1%

 

Anhui Conch Cement Co., Ltd. – Class A

   5,000    30,945 

Anhui Conch Cement Co., Ltd. – Class H

   12,500    63,931 

China Resources Cement Holdings Ltd.

   14,000    11,605 
    

 

 

 
     106,481 
    

 

 

 

Containers & Packaging – 0.0%

 

SCG Packaging PCL

   16,800    30,568 
    

 

 

 

Metals & Mining – 5.6%

 

Anglo American PLC

   956    49,676 

Baoshan Iron & Steel Co., Ltd. – Class A

   601,100    636,575 

China Hongqiao Group Ltd.

   1,946,096    2,556,679 

First Quantum Minerals Ltd.

   1,261    43,656 

Ganfeng Lithium Co., Ltd.(a)

   2,600    36,579 

Hindalco Industries Ltd.

   240,449    1,793,900 

Impala Platinum Holdings Ltd.

   7,878    121,261 

Kumba Iron Ore Ltd.

   1,089    48,374 

MMC Norilsk Nickel PJSC (ADR)(b)(c)

   3,568    – 0 – 

Polyus PJSC (GDR)(b)(c)(f)

   284    – 0 – 

POSCO Holdings, Inc.

   7,620    1,827,838 

Tata Steel Ltd.

   89,782    1,535,944 

Vale SA

   2,600    52,207 

Vedanta Ltd.

   18,181    96,014 
    

 

 

 
     8,798,703 
    

 

 

 
     9,809,191 
    

 

 

 

Communication Services – 2.6%

    

Diversified Telecommunication Services – 0.3%

    

Chunghwa Telecom Co., Ltd.

   12,000    53,147 

Emirates Telecommunications Group Co. PJSC

   2,181    21,963 

Hellenic Telecommunications Organization SA

   4,827    87,282 

LG Uplus Corp.

   8,196    94,291 

MultiChoice Group

   10,405    93,800 

Sarana Menara Nusantara Tbk PT

   464,700    34,620 

Telefonica Brasil SA

   600    6,766 

Telkom Indonesia Persero Tbk PT

   289,800    92,200 
    

 

 

 
     484,069 
    

 

 

 

 

22    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

Entertainment – 0.2%

    

G-bits Network Technology Xiamen Co., Ltd. – Class A

   6,500   $366,843 
    

 

 

 

Interactive Media & Services – 1.6%

    

Baidu, Inc. (Sponsored ADR)(d)

   601    79,512 

Kanzhun Ltd. (ADR)(d)

   747    18,608 

NAVER Corp.

   2,864    795,989 

Tencent Holdings Ltd.

   36,600    1,687,053 

Yandex NV – Class A(b)(c)(d)

   11,500    – 0 – 
    

 

 

 
     2,581,162 
    

 

 

 

Media – 0.1%

    

Cheil Worldwide, Inc.

   4,987    96,474 
    

 

 

 

Wireless Telecommunication Services – 0.4%

    

Advanced Info Service PCL

   2,800    19,621 

America Movil SAB de CV

   92,332    97,810 

Far EasTone Telecommunications Co., Ltd.(d)

   2,000    5,125 

Globe Telecom, Inc.

   1,445    70,919 

MTN Group Ltd.

   1,471    19,033 

PLDT, Inc.

   2,860    102,251 

SK Telecom Co., Ltd.

   1,927    90,103 

Taiwan Mobile Co., Ltd.

   15,000    54,890 

Turkcell Iletisim Hizmetleri AS

   58,271    89,521 

Vodacom Group Ltd.

   6,913    75,694 
    

 

 

 
     624,967 
    

 

 

 
     4,153,515 
    

 

 

 

Utilities – 2.5%

    

Electric Utilities – 1.3%

    

Centrais Eletricas Brasileiras SA

   900    7,180 

Cia Energetica de Minas Gerais (Preference Shares)

   112,600    359,720 

CPFL Energia SA

   10,600    71,846 

Equatorial Energia SA

   151,600    866,413 

Korea Electric Power Corp.(d)

   376    7,005 

Manila Electric Co.

   11,280    81,316 

Power Grid Corp. of India Ltd.

   73,148    208,540 

Transmissora Alianca de Energia Eletrica SA

   37,000    343,029 
    

 

 

 
     1,945,049 
    

 

 

 

Gas Utilities – 1.0%

 

GAIL India Ltd.

   704,830    1,441,413 

Kunlun Energy Co., Ltd.

   146,000    126,178 
    

 

 

 
     1,567,591 
    

 

 

 

Independent Power and Renewable Electricity Producers – 0.2%

    

China Longyuan Power Group Corp., Ltd. – Class H

   34,000    76,424 

Colbun SA

   382,036    31,333 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    23


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

Gulf Energy Development PCL

   54,800   $84,466 

Huaneng Power International, Inc. – Class H(d)

   60,000    25,449 

NTPC Ltd.

   53,808    95,428 
    

 

 

 
     313,100 
    

 

 

 

Water Utilities – 0.0%

 

Guangdong Investment Ltd.

   20,000    27,249 
    

 

 

 
     3,852,989 
    

 

 

 

Industrials – 2.3%

 

Aerospace & Defense – 0.1%

 

AVIC Electromechanical Systems Co., Ltd.

   40,100    68,010 

Bharat Electronics Ltd.

   33,725    93,290 
    

 

 

 
     161,300 
    

 

 

 

Air Freight & Logistics – 0.2%

 

Hyundai Glovis Co., Ltd.

   414    65,280 

InPost SA(d)

   47,776    303,131 
    

 

 

 
     368,411 
    

 

 

 

Airlines – 0.1%

 

InterGlobe Aviation Ltd.(a)(d)

   3,627    95,552 

Korean Air Lines Co., Ltd.(d)

   3,632    89,794 
    

 

 

 
     185,346 
    

 

 

 

Commercial Services & Supplies – 0.3%

 

China Everbright Environment Group Ltd.

   60,000    36,012 

S-1 Corp.

   330    19,358 

Sunny Friend Environmental Technology Co., Ltd.

   52,000    372,315 
    

 

 

 
     427,685 
    

 

 

 

Construction & Engineering – 0.0%

 

China Railway Group Ltd. – Class H

   34,000    18,937 
    

 

 

 

Industrial Conglomerates – 0.5%

 

Bidvest Group Ltd. (The)

   4,134    63,287 

CITIC Ltd.

   83,000    91,814 

CJ Corp.

   696    48,143 

Industries Qatar QSC

   13,947    72,695 

KOC Holding AS

   16,641    44,983 

Refrigeration Electrical Engineering Corp.

   107,680    384,103 

Siemens Ltd.

   296    9,211 
    

 

 

 
     714,236 
    

 

 

 

Machinery – 0.2%

 

China Yuchai International Ltd.

   23,050    268,532 

Haitian International Holdings Ltd.

   9,000    23,208 
    

 

 

 
     291,740 
    

 

 

 

Marine – 0.1%

 

COSCO SHIPPING Holdings Co., Ltd.(d)

   49,100    84,420 

Evergreen Marine Corp. Taiwan Ltd.(d)

   8,000    37,185 

Yang Ming Marine Transport Corp.(d)

   11,000    47,159 
    

 

 

 
     168,764 
    

 

 

 

 

24    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

Professional Services – 0.0%

 

HeadHunter Group PLC (ADR)(b)(c)

   18,930   $– 0 – 
    

 

 

 

Road & Rail – 0.1%

 

Daqin Railway Co., Ltd. – Class A

   89,100    96,164 
    

 

 

 

Trading Companies & Distributors – 0.2%

 

Barloworld Ltd.

   25,240    200,296 

BOC Aviation Ltd.(a)

   1,600    12,568 

Xiamen C & D, Inc.

   55,000    109,707 
    

 

 

 
     322,571 
    

 

 

 

Transportation Infrastructure – 0.5%

 

Adani Ports & Special Economic Zone Ltd.

   3,580    36,336 

China Merchants Port Holdings Co., Ltd.

   50,000    90,049 

Grupo Aeroportuario del Centro Norte SAB de CV

   41,734    310,644 

Grupo Aeroportuario del Pacifico SAB de CV – Class B(d)

   6,757    108,924 

International Container Terminal Services, Inc.

   21,070    91,277 

Jiangsu Expressway Co., Ltd. – Class H

   26,000    27,153 

Shanghai International Port Group Co., Ltd.

   101,700    87,296 

Zhejiang Expressway Co., Ltd. – Class H

   106,000    89,040 
    

 

 

 
     840,719 
    

 

 

 
     3,595,873 
    

 

 

 

Energy – 2.2%

 

Oil, Gas & Consumable Fuels – 2.2%

 

Bharat Petroleum Corp., Ltd.

   14,374    67,872 

China Petroleum & Chemical Corp.

   144,600    97,847 

China Shenhua Energy Co., Ltd. – Class A

   23,800    111,155 

China Shenhua Energy Co., Ltd. – Class H

   35,500    113,004 

China Suntien Green Energy Corp. Ltd.

   35,000    19,586 

Exxaro Resources Ltd.

   1,845    27,896 

Gazprom PJSC (Sponsored ADR)(b)(c)

   76,890    – 0 – 

GS Holdings Corp.

   2,137    77,179 

Hindustan Petroleum Corp., Ltd.

   25,226    89,359 

Indian Oil Corp. Ltd.

   53,670    83,998 

LUKOIL PJSC (Sponsored ADR)(b)(c)

   18,789    – 0 – 

Oil & Natural Gas Corp., Ltd.

   3,790    8,143 

Parex Resources, Inc.

   6,774    138,986 

PetroChina Co., Ltd. – Class H

   4,128,000    2,096,268 

Petroleo Brasileiro SA

   14,100    104,364 

Petroleo Brasileiro SA (Preference Shares)

   14,900    104,684 

PTT PCL

   21,600    25,010 

Saudi Arabian Oil Co.(a)

   8,136    93,326 

Shaanxi Coal Industry Co., Ltd.

   4,600    11,907 

Yankuang Energy Group Co., Ltd. – Class H

   38,000    112,788 
    

 

 

 
     3,383,372 
    

 

 

 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    25


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

Consumer Staples – 1.7%

    

Beverages – 0.1%

    

Anhui Kouzi Distillery Co., Ltd. – Class A

   2,000   $16,902 

Coca-Cola Femsa SAB de CV

   17,505    96,396 

Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. – Class A

   4,000    84,724 

Wuliangye Yibin Co., Ltd. – Class A

   2,200    53,312 
    

 

 

 
     251,334 
    

 

 

 

Food & Staples Retailing – 0.4%

    

Avenue Supermarts Ltd.(a)(d)

   621    32,598 

Cencosud SA

   21,336    42,032 

Magnit PJSC (Sponsored GDR)(a)(b)(c)

   5,893    – 0 – 

Shoprite Holdings Ltd.

   5,834    94,164 

Wal-Mart de Mexico SAB de CV

   102,893    421,660 

X5 Retail Group NV (GDR)(b)(c)(f)

   23,937    – 0 – 
    

 

 

 
     590,454 
    

 

 

 

Food Products – 1.1%

    

Britannia Industries Ltd.

   345    14,558 

China Feihe Ltd.(a)

   64,384    63,388 

Dali Foods Group Co., Ltd.(a)

   33,500    17,477 

JBS SA

   12,500    97,746 

Minerva SA/Brazil

   451,100    1,199,510 

Nestle India Ltd.

   58    13,259 

Nestle SA (REG)

   1,434    186,447 

Uni-President Enterprises Corp.

   40,000    91,287 
    

 

 

 
     1,683,672 
    

 

 

 

Tobacco – 0.1%

    

Eastern Co. SAE

   41,837    27,431 

Gudang Garam Tbk PT

   6,300    13,848 

ITC Ltd.

   12,321    40,544 

KT&G Corp.

   1,358    90,348 
    

 

 

 
     172,171 
    

 

 

 
     2,697,631 
    

 

 

 

Real Estate – 1.5%

    

Real Estate Management & Development – 1.5%

    

A-Living Smart City Services Co., Ltd. – Class H(a)(e)

   402,750    557,602 

Aldar Properties PJSC

   74,507    99,739 

China Aoyuan Group Ltd.

   411,000    61,350 

Country Garden Services Holdings Co., Ltd.

   68,000    286,458 

Hopson Development Holdings Ltd.

   8,040    15,195 

Logan Group Co. Ltd.

   170,000    47,954 

Longfor Group Holdings Ltd.(a)

   97,000    496,172 

 

26    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company

    

Shares

   U.S. $ Value 

 

 

Poly Developments and Holdings Group Co., Ltd. – Class A

   95,200   $265,150 

Times China Holdings Ltd.

   49,000    16,208 

Vincom Retail JSC(d)

   308,840    450,497 
    

 

 

 
     2,296,325 
    

 

 

 

Health Care – 0.9%

    

Biotechnology – 0.0%

    

BeiGene Ltd. (Sponsored ADR)(d)

   33    6,224 
    

 

 

 

Health Care Providers & Services – 0.3%

    

Sinopharm Group Co., Ltd. – Class H

   23,600    53,573 

Universal Vision Biotechnology Co., Ltd.

   41,000    398,000 
    

 

 

 
     451,573 
    

 

 

 

Life Sciences Tools & Services – 0.1%

    

Divi’s Laboratories Ltd.

   1,528    88,381 
    

 

 

 

Pharmaceuticals – 0.5%

    

China Medical System Holdings Ltd.

   110,000    171,555 

CSPC Pharmaceutical Group Ltd.

   28,000    32,084 

Genomma Lab Internacional SAB de CV – Class B

   396,290    434,146 

Richter Gedeon Nyrt

   10,720    226,608 
    

 

 

 
     864,393 
    

 

 

 
     1,410,571 
    

 

 

 

Total Common Stocks
(cost $78,292,447)

     86,642,386 
    

 

 

 
     Principal
Amount
(000)
     

FIXED INCOME – 39.5%

    

Sovereign Bonds – 21.1%

    

Angolan Government International Bond

    

9.125%, 11/26/2049(a)

  U.S.$   779    757,805 

9.375%, 05/08/2048(a)

   248    245,520 

Argentine Republic Government International Bond

    

0.50%, 07/09/2030

   1,789    599,440 

1.00%, 07/09/2029

   236    80,690 

1.125%, 07/09/2035

   2,346    714,429 

2.00%, 01/09/2038

   1,249    471,461 

2.50%, 07/09/2041

   210    74,018 

Bahamas Government International Bond
8.95%, 10/15/2032(a)

   319    254,363 

Bahrain Government International Bond

    

6.00%, 09/19/2044(a)

   210    183,396 

6.75%, 09/20/2029(a)

   244    257,084 

7.00%, 10/12/2028(a)

   334    361,555 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    27


 

PORTFOLIO OF INVESTMENTS (continued)

 

    Principal
Amount
(000)
   U.S. $ Value 

 

 

Brazilian Government International Bond
2.875%, 06/06/2025

 U.S.$  385   $377,877 

Colombia Government International Bond

    

3.125%, 04/15/2031

   950    803,819 

5.00%, 06/15/2045

   502    423,029 

6.125%, 01/18/2041

   260    252,249 

Dominican Republic International Bond
5.50%, 01/27/2025-02/22/2029(a)

   783    777,216 

5.875%, 01/30/2060(a)

   261    221,899 

6.40%, 06/05/2049(a)

   364    340,294 

6.50%, 02/15/2048(a)

   298    283,621 

8.625%, 04/20/2027(a)

   119    130,008 

Ecuador Government International Bond
Zero Coupon, 07/31/2030(a)

   106    58,789 

0.50%, 07/31/2040(a)

   446    254,464 

1.00%, 07/31/2035(a)

   900    584,902 

5.00%, 07/31/2030(a)

   372    309,637 

Egypt Government International Bond
3.875%, 02/16/2026(a)

   359    321,305 

5.875%, 06/11/2025(a)

   313    307,522 

7.30%, 09/30/2033(a)

   217    188,790 

7.50%, 02/16/2061(a)

   236    187,030 

7.60%, 03/01/2029(a)

   302    286,145 

7.903%, 02/21/2048(a)

   300    243,000 

8.15%, 11/20/2059(a)

   305    250,863 

8.50%, 01/31/2047(a)

   305    259,250 

El Salvador Government International Bond
5.875%, 01/30/2025(a)

   87    48,503 

6.375%, 01/18/2027(a)

   294    143,325 

7.125%, 01/20/2050(a)

   197    89,635 

7.625%, 02/01/2041(a)

   775    352,625 

7.65%, 06/15/2035(a)

   57    26,790 

7.75%, 01/24/2023(a)

   63    51,345 

8.625%, 02/28/2029(a)

   226    108,480 

Gabon Government International Bond
6.625%, 02/06/2031(a)

   200    188,788 

7.00%, 11/24/2031(a)

   200    190,250 

Ghana Government International Bond
7.75%, 04/07/2029(a)

   243    176,175 

7.875%, 03/26/2027-02/11/2035(a)

   936    664,128 

8.125%, 03/26/2032(a)

   200    142,000 

8.95%, 03/26/2051(a)

   266    184,870 

Guatemala Government Bond
4.375%, 06/05/2027(a)

   661    665,255 

4.65%, 10/07/2041(a)

   215    199,587 

Hungary Government International Bond
2.125%, 09/22/2031(a)

   357    323,598 

 

28    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

    Principal
Amount
(000)
   U.S. $ Value 

 

 

Indonesia Government International Bond
2.85%, 02/14/2030

 U.S.$  200   $196,413 

3.85%, 10/15/2030

   315    331,498 

4.125%, 01/15/2025(a)

   380    392,302 

Ivory Coast Government International Bond
6.125%, 06/15/2033(a)

   793    763,907 

6.375%, 03/03/2028(a)

   295    299,480 

Jamaica Government International Bond
8.00%, 03/15/2039

   108    139,509 

Lebanon Government International Bond
6.00%, 01/27/2023(a)(d)(h)

   36    4,203 

6.65%, 04/22/2024(a)(d)(h)

   57    6,726 

6.85%, 03/23/2027(a)(d)(h)

   481    56,608 

Series E
6.10%, 10/04/2022(a)(d)(h)

   216    25,016 

Series G
6.20%, 02/26/2025(a)(d)(h)

   206    24,244 

6.60%, 11/27/2026(a)(d)(h)

   170    20,060 

Malaysia Wakala Sukuk Bhd
3.075%, 04/28/2051(a)

   706    641,269 

Mexico Government International Bond
4.75%, 03/08/2044

   140    138,250 

5.00%, 04/27/2051

   249    252,486 

Nigeria Government International Bond
6.125%, 09/28/2028(a)

   401    367,241 

7.375%, 09/28/2033(a)

   363    329,604 

7.625%, 11/28/2047(a)

   463    383,711 

7.696%, 02/23/2038(a)

   240    208,800 

8.25%, 09/28/2051(a)

   200    173,750 

Oman Government International Bond
4.875%, 02/01/2025(a)

   205    209,100 

6.75%, 01/17/2048(a)

   386    384,552 

Pakistan Government International Bond
6.00%, 04/08/2026(a)

   200    156,022 

6.875%, 12/05/2027(a)

   325    254,069 

7.375%, 04/08/2031(a)

   222    163,194 

Panama Bonos del Tesoro
Series DOM
3.362%, 06/30/2031

   350    327,206 

Panama Government International Bond
3.16%, 01/23/2030

   447    436,887 

3.87%, 07/23/2060

   405    355,843 

Panama Notas del Tesoro
3.75%, 04/17/2026

   290    293,136 

Paraguay Government International Bond
3.849%, 06/28/2033(a)

   223    214,470 

4.95%, 04/28/2031(a)

   208    217,789 

5.00%, 04/15/2026(a)

   205    213,687 

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    29


 

PORTFOLIO OF INVESTMENTS (continued)

 

    Principal
Amount
(000)
   U.S. $ Value 

 

 

Perusahaan Penerbit SBSN Indonesia III
4.15%, 03/29/2027(a)

 U.S.$  200   $210,600 

Philippine Government International Bond
3.00%, 02/01/2028

   330    331,274 

3.20%, 07/06/2046

   281    252,580 

3.229%, 03/29/2027

   225    228,094 

3.556%, 09/29/2032

   515    528,575 

4.20%, 03/29/2047

   200    208,500 

Qatar Government International Bond
4.40%, 04/16/2050(a)

   864    968,760 

4.50%, 04/23/2028(a)

   300    326,625 

5.103%, 04/23/2048(a)

   239    292,177 

Republic of Kenya Government International Bond
6.875%, 06/24/2024(a)

   298    298,372 

8.00%, 05/22/2032(a)

   346    334,755 

Republic of South Africa Government International Bond
4.85%, 09/27/2027

   550    552,681 

5.00%, 10/12/2046

   260    216,905 

Romanian Government International Bond
3.00%, 02/14/2031(a)

   174    161,168 

3.625%, 03/27/2032(a)

   172    162,755 

4.00%, 02/14/2051(a)

   210    183,750 

Russian Foreign Bond – Eurobond
5.25%, 06/23/2047(a)

   800    168,000 

5.625%, 04/04/2042(a)

   200    66,000 

Saudi Government International Bond
3.25%, 10/22/2030(a)

   260    261,300 

4.625%, 10/04/2047(a)

   310    332,475 

5.25%, 01/16/2050(a)

   201    237,934 

Senegal Government International Bond
4.75%, 03/13/2028(a)

 EUR  400    424,800 

6.75%, 03/13/2048(a)

 U.S.$  200    172,100 

Sharjah Sukuk Ltd.
3.764%, 09/17/2024(a)

   224    228,439 

Sri Lanka Government International Bond
6.20%, 05/11/2027(a)

   522    246,702 

7.85%, 03/14/2029(a)

   240    113,426 

Turkey Government International Bond
4.875%, 04/16/2043

   1,179    835,100 

5.75%, 05/11/2047

   280    208,303 

Ukraine Government International Bond
6.75%, 06/20/2026(a)

 EUR  173    76,553 

6.876%, 05/21/2029(a)

 U.S.$  484    198,440 

7.375%, 09/25/2032(a)

   281    115,913 

7.75%, 09/01/2023-09/01/2027(a)

   1,259    579,003 

 

30    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

     Principal
Amount
(000)
   U.S. $ Value 

 

 

Uruguay Government International Bond
4.375%, 01/23/2031

  U.S.$   149   $161,630 

4.975%, 04/20/2055

   17    20,308 

5.10%, 06/18/2050

   49    57,968 

Venezuela Government International Bond
11.95%, 08/05/2031(a)(d)(h)

   265    23,805 

12.75%, 08/23/2022(a)(d)(h)

   564    50,769 

Zambia Government International Bond
8.97%, 07/30/2027(a)(d)(h)

   825    581,264 
    

 

 

 

Total Sovereign Bonds
(cost $38,012,910)

     32,815,659 
    

 

 

 
    

Corporate Bonds – 9.0%

    

Acu Petroleo Luxembourg SARL
7.50%, 01/13/2032(a)

   250    228,437 

Adani Electricity Mumbai Ltd.
3.949%, 02/12/2030(a)

   200    180,743 

Adani Green Energy Ltd.
4.375%, 09/08/2024(a)

   200    195,750 

AES Panama Generation Holdings SRL
4.375%, 05/31/2030(a)

   315    296,887 

Alfa Desarrollo SpA
4.55%, 09/27/2051(a)

   364    312,144 

Bangkok Bank PCL/Hong Kong
3.733%, 09/25/2034(a)

   200    186,475 

Bank Hapoalim BM
3.255%, 01/21/2032(a)

   355    326,653 

Bidvest Group UK PLC (The)
3.625%, 09/23/2026(a)

   365    341,275 

Braskem Idesa SAPI
7.45%, 11/15/2029(a)

   219    221,409 

Braskem Netherlands Finance BV
4.50%, 01/10/2028(a)

   200    197,055 

BRF SA
4.875%, 01/24/2030(a)

   200    190,025 

CA Magnum Holdings
5.375%, 10/31/2026(a)

   200    195,000 

Cemex SAB de CV
7.375%, 06/05/2027(a)

   200    214,250 

Cemig Geracao e Transmissao SA
9.25%, 12/05/2024(a)

   200    217,100 

Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL
5.25%, 04/27/2029(a)

   66    65,670 

Central China Real Estate Ltd.
7.75%, 05/24/2024(a)

   260    112,905 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    31


 

PORTFOLIO OF INVESTMENTS (continued)

 

    Principal
Amount
(000)
   U.S. $ Value 

 

 

Chile Electricity Pec SpA
Zero Coupon, 01/25/2028(a)

 U.S.$  446   $336,256 

China Aoyuan Group Ltd.
5.88%, 03/01/2027(a)(d)(h)

   260    41,600 

Colbun SA
3.95%, 10/11/2027(a)

   263    265,788 

Digicel Group Holdings Ltd.
7.00%, 04/18/2022(f)(i)(j)

   17    13,430 

10.00% (8.00% Cash and 2.00% PIK), 04/01/2024(i)

   252    251,003 

Ecopetrol SA
6.875%, 04/29/2030

   401    421,451 

Embraer Netherlands Finance BV
5.40%, 02/01/2027

   79    79,148 

6.95%, 01/17/2028(a)

   250    263,641 

Empresa Generadora de Electricidad Haina SA
5.625%, 11/08/2028(a)

   250    230,000 

Empresas Publicas de Medellin ESP
4.25%, 07/18/2029(a)

   200    177,040 

8.375%, 11/08/2027

 COP  418,000    95,035 

Enel Chile SA
4.875%, 06/12/2028

 U.S.$  158    163,674 

Gran Tierra Energy International Holdings Ltd.
6.25%, 02/15/2025(a)

   200    185,310 

Greenko Solar Mauritius Ltd.
5.95%, 07/29/2026(a)

   200    201,500 

Huarong Finance II Co., Ltd.
5.00%, 11/19/2025(a)

   261    261,652 

IHS Holding Ltd.
5.625%, 11/29/2026(a)

   200    188,500 

India Clean Energy Holdings
4.50%, 04/18/2027(a)

   200    182,500 

Industrias Penoles SAB de CV
4.15%, 09/12/2029(a)

   200    199,975 

Infraestructura Energetica Nova SAB de CV
3.75%, 01/14/2028(a)

   334    328,322 

Intercorp Financial Services, Inc.
4.125%, 10/19/2027(a)

   200    188,287 

JSW Hydro Energy Ltd.
4.125%, 05/18/2031(a)

   193    179,490 

JSW Infrastructure Ltd.
4.95%, 01/21/2029(a)

   200    190,287 

Kaisa Group Holdings Ltd.
10.50%, 01/15/2025(a)(d)(h)

   200    36,000 

Kosmos Energy Ltd.
7.50%, 03/01/2028(a)

   200    191,500 

 

32    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

 abfunds.com


 

PORTFOLIO OF INVESTMENTS (continued)

 

    Principal
Amount
(000)
   U.S. $ Value 

 

 

Leviathan Bond Ltd.
6.75%, 06/30/2030(a)

 U.S.$  87   $89,141 

Light Servicos de Eletricidade SA/Light Energia SA
4.375%, 06/18/2026(a)

   254    237,490 

Lima Metro Line 2 Finance Ltd.
4.35%, 04/05/2036(a)

   334    332,050 

Minejesa Capital BV
5.625%, 08/10/2037(a)

   215    195,556 

NBM US Holdings, Inc.
7.00%, 05/14/2026(a)

   205    211,997 

Odebrecht Holdco Finance Ltd.
Zero Coupon, 09/10/2058(a)

   132    794 

OEC Finance Ltd.
7.125%, 12/26/2046(a)(i)

   119    4,176 

Oi Movel SA
8.75%, 07/30/2026(a)

   200    204,037 

Petrobras Global Finance BV
7.375%, 01/17/2027

   432    479,520 

8.75%, 05/23/2026

   158    184,347 

Power Finance Corp. Ltd.
Series G
3.35%, 05/16/2031(a)

   205    185,779 

Powerlong Real Estate Holdings Ltd.
5.95%, 04/30/2025(a)

   225    81,000 

Prosus NV
3.257%, 01/19/2027(a)

   200    183,000 

3.68%, 01/21/2030(a)

   318    280,237 

Ronshine China Holdings Ltd.
7.10%, 01/25/2025(a)

   200    30,000 

Scenery Journey Ltd.
12.00%, 10/24/2023(a)(d)(h)

   205    18,450 

SEPLAT Energy PLC
7.75%, 04/01/2026(a)

   200    190,500 

Shimao Group Holdings Ltd.
5.20%, 01/16/2027(a)

   200    54,000 

SierraCol Energy Andina LLC
6.00%, 06/15/2028(a)

   200    179,913 

Stillwater Mining Co.
4.00%, 11/16/2026(a)

   358    344,575 

Studio City Finance Ltd.
6.50%, 01/15/2028(a)

   200    170,000 

Sunac China Holdings Ltd.
5.95%, 04/26/2024(a)

   270    66,150 

Tengizchevroil Finance Co. International Ltd.
3.25%, 08/15/2030(a)

   305    246,135 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    33


 

PORTFOLIO OF INVESTMENTS (continued)

 

    Principal
Amount
(000)
   U.S. $ Value 

 

 

Times China Holdings Ltd.
6.20%, 03/22/2026(a)

 U.S.$  200   $74,000 

Tonon Luxembourg SA
6.50% (0.50% Cash and 6.00% PIK), 10/31/2024(b)(c)(d)(f)(h)(i)

   105    – 0 – 

TransJamaican Highway Ltd.
5.75%, 10/10/2036(a)

   156    153,922 

Tullow Oil PLC
10.25%, 05/15/2026(a)

   238    239,785 

Vedanta Resources Finance II PLC
13.875%, 01/21/2024(a)

   355    371,419 

Virgolino de Oliveira Finance SA
11.75%, 02/09/2022(b)(c)(d)(f)(k)

   202    20 

Volcan Cia Minera SAA
4.375%, 02/11/2026(a)

   177    169,478 

Weibo Corp.
3.375%, 07/08/2030

   200    169,825 

Wynn Macau Ltd.
5.625%, 08/26/2028(a)

   200    168,960 

Xiaomi Best Time International Ltd.
2.875%, 07/14/2031(a)

   215    184,834 

Yuzhou Group Holdings Co., Ltd.
6.35%, 01/13/2027(a)

   260    36,400 

Zorlu Yenilenebilir Enerji AS
9.00%, 06/01/2026(a)

   285    240,967 
    

 

 

 

Total Corporate Bonds
(cost $16,023,101)

     13,931,624 
    

 

 

 
    

Quasi-Sovereign Bonds – 7.9%

    

Aeropuerto Internacional de Tocumen SA
4.00%, 08/11/2041(a)

   200    182,475 

5.125%, 08/11/2061(a)

   200    182,350 

Comision Federal de Electricidad
3.348%, 02/09/2031(a)

   200    175,350 

4.677%, 02/09/2051(a)

   200    163,475 

5.00%, 09/29/2036(a)

   237    231,667 

Corp. Nacional del Cobre de Chile
3.75%, 01/15/2031(a)

   200    200,000 

DP World Ltd./United Arab Emirates
4.70%, 09/30/2049(a)

   200    194,225 

Empresa de Transporte de Pasajeros Metro SA
3.65%, 05/07/2030(a)

   200    199,538 

5.00%, 01/25/2047(a)

   200    202,100 

Eskom Holdings SOC Ltd.
7.125%, 02/11/2025(a)

   485    467,782 

8.45%, 08/10/2028(a)

   279    271,397 

 

34    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

 abfunds.com


 

PORTFOLIO OF INVESTMENTS (continued)

 

    Principal
Amount
(000)
   U.S. $ Value 

 

 

Export-Import Bank of China (The)
4.00%, 11/28/2047(a)

 U.S.$  593   $629,742 

Indonesia Asahan Aluminium Persero PT
5.80%, 05/15/2050(a)

   200    201,100 

KazMunayGas National Co. JSC
4.75%, 04/19/2027(a)

   400    382,325 

5.75%, 04/19/2047(a)

   200    177,225 

KazMunayGas National Co., JSC
6.375%, 10/24/2048(a)

   200    189,750 

Lamar Funding Ltd.
3.958%, 05/07/2025(a)

   364    356,447 

NAK Naftogaz Ukraine via Kondor Finance PLC
7.375%, 07/19/2022(f)

   200    67,600 

7.625%, 11/08/2026(f)

   200    60,000 

Oil and Gas Holding Co. BSCC (The)
7.50%, 10/25/2027(a)

   459    484,245 

7.625%, 11/07/2024(a)

   200    210,500 

Pertamina Persero PT
2.30%, 02/09/2031(a)

   1,770    1,566,645 

5.625%, 05/20/2043(a)

   200    212,350 

Petroleos de Venezuela SA
5.375%, 04/12/2027(a)(d)(h)

   226    15,235 

6.00%, 11/15/2026(a)(d)(h)

   220    14,850 

9.00%, 11/17/2021(a)(d)(k)

   128    8,670 

Petroleos Mexicanos
5.95%, 01/28/2031

   166    153,044 

6.50%, 03/13/2027

   154    155,810 

6.70%, 02/16/2032(a)

   651    618,450 

6.75%, 09/21/2047

   324    260,156 

6.875%, 08/04/2026

   383    399,737 

6.95%, 01/28/2060

   979    792,892 

Petronas Capital Ltd.
4.55%, 04/21/2050(a)

   395    443,190 

4.80%, 04/21/2060(a)

   395    458,958 

Qatar Energy
3.30%, 07/12/2051(a)

   706    649,520 

Sinopec Group Overseas Development 2018 Ltd.
2.70%, 05/13/2030(a)

   347    325,340 

State Agency of Roads of Ukraine
6.25%, 06/24/2028(f)

   360    135,000 

State Oil Co. of the Azerbaijan Republic
6.95%, 03/18/2030(a)

   321    355,668 

State Savings Bank of Ukraine Via SSB #1 PLC
9.625%, 03/20/2025(a)

   72    36,000 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    35


 

PORTFOLIO OF INVESTMENTS (continued)

 

     Principal
Amount
(000)
   U.S. $ Value 

 

 

Transnet SOC Ltd.
4.00%, 07/26/2022(a)

  U.S.$   200   $195,690 

Trinidad Generation UnLtd
5.25%, 11/04/2027(a)

   200    198,250 
    

 

 

 

Total Quasi-Sovereign Bonds
(cost $13,060,424)

     12,224,748 
    

 

 

 
    

Treasury Bonds – 1.2%

    

Peru Government Bond
5.94%, 02/12/2029

  PEN   2,030    534,457 

U.S. Treasury Bonds
2.00%, 11/15/2041

  U.S.$   1,435    1,300,469 
    

 

 

 

Total Treasury Bonds
(cost $2,124,150)

     1,834,926 
    

 

 

 
    

Emerging Markets - Treasuries – 0.3%

    

Brazil Letras do Tesouro Nacional
Series LTN
Zero Coupon, 01/01/2024
(cost $485,414)

  BRL   3,055    524,419 
    

 

 

 
    

Regional Bonds – 0.0%

    

Provincia de Neuquen Argentina
4.625%, 04/27/2030(a)
(cost $70,231)

  U.S.$   70    40,031 
    

 

 

 

Total Fixed Income
(cost $69,776,230)

     61,371,407 
    

 

 

 
     Shares     

EQUITY LINKED NOTES – 1.4%

    

Information Technology – 1.4%

    

IT Services – 1.4%

    

FPT Corp., Macquarie Bank Ltd.,
expiring 03/31/2023(d)
(cost $735,562)

   466,131    2,183,666 
    

 

 

 
    

INVESTMENT COMPANIES – 0.2%

    

Funds and Investment Trusts – 0.2%

    

DCVFMVN30 ETF Fund(d)(g)
(cost $97,798)

   239,030    264,480 
    

 

 

 

 

36    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company    

    

Notional

Amount

   U.S. $ Value 

 

 

OPTIONS PURCHASED – 0.0%

    

Options Purchased - Puts – 0.0%

    

Swaptions – 0.0%

    

CDX-NAHY Series 37, 5 Year Index
Expiration: May 2022; Contracts: 62,000; Exercise Rate: 1.00%;
Counterparty: Morgan Stanley Capital Services LLC(d)

  USD   62,000   $128 

CDX-NAHY Series 37, 5 Year Index
Expiration: May 2022; Contracts: 6,290,000; Exercise Rate: 0.99%;
Counterparty: Morgan Stanley Capital Services LLC(d)

   6,290,000    10,472 
    

 

 

 

Total Options Purchased – Puts
(premiums paid $66,740)

     10,600 
    

 

 

 
     Principal
Amount
(000)
     

SHORT-TERM INVESTMENTS – 0.2%

    

Time Deposits – 0.2%

    

BBH, Grand Cayman
(1.30)%,04/01/2022

  CHF   1    1,427 

(0.30)%,04/01/2022

  SEK   9    985 

(0.19)%,04/01/2022

  AUD   7    5,129 

0.10%, 04/01/2022

  NOK   2    196 

0.25%, 04/01/2022

  GBP   2    3,196 

5.40%, 04/01/2022

  ZAR   155    10,596 

Citibank, London
(0.78)%,04/01/2022

  EUR   27    30,257 

Hong Kong & Shanghai Bank, Hong Kong
0.00%, 04/01/2022

  HKD   179    22,830 

Hong Kong & Shanghai Bank, Singapore
0.10%, 04/01/2022

  SGD   1    665 

Royal Bank of Canada, Toronto
0.07%, 04/01/2022

  CAD   6    5,032 

Sumitomo, Tokyo
(0.38)%,04/01/2022

  JPY   6,654    54,658 

0.15%, 04/01/2022

  U.S.$   149    148,663 
    

 

 

 

Total Time Deposits
(cost $283,634)

     283,634 
    

 

 

 

Total Investments Before Security Lending Collateral for Securities Loaned – 97.0%
(cost $149,252,411)

     150,756,173 
    

 

 

 

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    37


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company    

    

Shares

   U.S. $ Value 

 

 

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.3%

    

Investment Companies – 0.3%

    

AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.19%(g)(l)(m)
(cost $476,856)

   476,856   $476,856 
    

 

 

 

Total Investments – 97.3%
(cost $149,729,267)

     151,233,029 

Other assets less liabilities – 2.7%

     4,242,744 
    

 

 

 

Net Assets – 100.0%

    $155,475,773 
    

 

 

 

FUTURES (see Note D)

 

Description  Number of
Contracts
   Expiration
Month
  Current
Notional
  Value and
Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

 

FTSE China A50 Index Futures

   137    April 2022  $    1,876,870  $31,411 

Hang Seng China Enterprises Index Futures

   68    April 2022   3,188,632   (110,354

MSCI Emerging Markets Futures

   154    June 2022   8,666,350   (109,770

U.S. T-Note 10 Yr (CBT) Futures

   42    June 2022   5,160,750   (141,406

U.S. Ultra Bond (CBT) Futures

   7    June 2022   1,239,875   (42,641
      

 

 

 
      $    (372,760
      

 

 

 

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

 USD  1,638  INR  123,283   04/07/2022  $(12,893

Bank of America, NA

 USD  388  TWD  10,675   04/28/2022   (15,229

Bank of America, NA

 USD  1,172  PLN  4,677   05/06/2022   (62,146

Bank of America, NA

 CLP  773,856  USD  971   05/25/2022   (3,966

Barclays Bank PLC

 BRL  34,443  USD  7,270   04/04/2022   35,501 

Barclays Bank PLC

 USD  6,743  BRL  34,443   04/04/2022       490,859 

Barclays Bank PLC

 INR  79,583  USD  1,059   04/07/2022   9,950 

Barclays Bank PLC

 IDR    63,899,976  USD  4,435   04/28/2022   (16,823

Barclays Bank PLC

 TWD  6,192  USD  226   04/28/2022   9,491 

Barclays Bank PLC

 USD  1,215  IDR    17,528,004   04/28/2022   6,142 

Barclays Bank PLC

 USD  1,934  CLP  1,573,406   05/25/2022   47,491 

Barclays Bank PLC

 MYR  58,712  USD  13,978   06/16/2022   77,581 

Barclays Bank PLC

 USD  3,722  MYR  15,822   06/16/2022   23,624 

Barclays Bank PLC

 USD  1,971  MYR  8,269   06/16/2022   (13,495

 

38    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

 abfunds.com


 

PORTFOLIO OF INVESTMENTS (continued)

 

Counterparty Contracts to
Deliver
(000)
  In Exchange
For
(000)
  Settlement
Date
  Unrealized
Appreciation/
(Depreciation)
 

BNP Paribas SA

 USD  474  INR  35,749   04/07/2022  $(2,449

BNP Paribas SA

 IDR  3,604,177  USD  252   04/28/2022   466 

BNP Paribas SA

 IDR    3,983,900  USD  277   04/28/2022   (95

BNP Paribas SA

 KRW  3,811,467  USD  3,200   04/28/2022       64,387 

BNP Paribas SA

 TWD  86,956  USD  3,039   04/29/2022   916 

Brown Brothers Harriman & Co.

 TRY  18,792  USD  1,280   04/07/2022   1,302 

Brown Brothers Harriman & Co.

 USD  467  ZAR  7,043   04/21/2022   13,611 

Brown Brothers Harriman & Co.

 CZK  9,569  USD  421   05/06/2022   (10,840

Brown Brothers Harriman & Co.

 USD  426  PLN  1,841   05/06/2022   10,712 

Brown Brothers Harriman & Co.

 USD  173  MXN  3,518   05/19/2022   2,388 

Brown Brothers Harriman & Co.

 THB  107,133  USD  3,221   06/16/2022   (4,262

Brown Brothers Harriman & Co.

 USD  4,480  THB  149,666   06/16/2022   26,367 

Citibank, NA

 BRL  14,085  USD  2,764   04/04/2022   (194,178

Citibank, NA

 USD  2,973  BRL  14,085   04/04/2022   (14,518

Citibank, NA

 PHP  38,610  USD  748   04/28/2022   2,721 

Citibank, NA

 CZK  21,463  USD  991   05/06/2022   22,249 

Citibank, NA

 HUF  912,745  USD  2,902   05/06/2022   166,088 

Credit Suisse International

 USD  2,362  ZAR  35,681   04/21/2022   74,987 

Credit Suisse International

 CZK  79,347  USD  3,485   05/06/2022   (97,297

Credit Suisse International

 HUF    176,605  USD  515   05/06/2022   (14,422

Credit Suisse International

 USD  842  PLN  3,638   05/06/2022   21,127 

Credit Suisse International

 CNH  88,983  USD  13,971   05/18/2022   7,930 

Credit Suisse International

 USD  10,913  CNH  70,025   05/18/2022   75,595 

Deutsche Bank AG

 BRL  20,358  USD  4,232   04/04/2022   (43,515

Deutsche Bank AG

 USD  4,297  BRL  20,358   04/04/2022   (20,983

Deutsche Bank AG

 USD  1,981  ZAR  29,869   04/21/2022   58,172 

Deutsche Bank AG

 PHP  370,204  USD  7,179   04/28/2022   37,905 

Deutsche Bank AG

 USD  4,734  PHP  244,245   04/28/2022   (22,713

Deutsche Bank AG

 USD  5,252  TWD  149,283   04/28/2022   (36,322

Deutsche Bank AG

 TWD  92,872  USD  3,343   04/29/2022   98,667 

Deutsche Bank AG

 USD  994  TWD  28,251   04/29/2022   (6,478

Deutsche Bank AG

 USD  4,200  BRL  20,358   05/03/2022   42,077 

Deutsche Bank AG

 CZK  14,489  USD  645   05/06/2022   (8,879

Deutsche Bank AG

 USD  4,663  CZK  100,810   05/06/2022   (112,530

Deutsche Bank AG

 USD  717  HUF  245,172   05/06/2022   17,751 

Deutsche Bank AG

 USD  5,074  HUF  1,604,493   05/06/2022   (263,609

Goldman Sachs Bank USA

 USD  1,529  IDR    22,050,396   04/28/2022   7,185 

Goldman Sachs Bank USA

 USD  1,474  KRW  1,767,057   04/28/2022   (20,444

Goldman Sachs Bank USA

 USD  12,945  PHP  673,258   04/28/2022   42,453 

Goldman Sachs Bank USA

 PEN  5,123  USD  1,351   05/25/2022   (35,000

Goldman Sachs Bank USA

 USD  97  COP  372,217   05/25/2022   1,039 

Goldman Sachs Bank USA

 USD  12,481  MYR  52,981   06/16/2022   62,955 

Goldman Sachs Bank USA

 USD  1,348  MYR  5,677   06/16/2022   (3,732

HSBC Bank USA

 INR  193,285  USD  2,532   04/07/2022   (15,608

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    39


 

PORTFOLIO OF INVESTMENTS (continued)

 

Counterparty Contracts to
Deliver
(000)
  In Exchange
For
(000)
  Settlement
Date
  Unrealized
Appreciation/
(Depreciation)
 

HSBC Bank USA

 USD  3,204  INR    246,021   04/07/2022  $38,335 

HSBC Bank USA

 USD  1,308  INR  98,285   04/07/2022   (12,973

HSBC Bank USA

 ZAR  42,159  USD  2,884   04/21/2022   4,952 

HSBC Bank USA

 KRW    3,079,637  USD  2,587   04/28/2022   53,719 

HSBC Bank USA

 KRW  3,276,029  USD  2,684   04/28/2022   (11,467

HSBC Bank USA

 PHP  32,934  USD  635   04/28/2022   (506

HSBC Bank USA

 USD  775  PLN  3,348   05/06/2022   19,493 

HSBC Bank USA

 PEN  1,273  USD  338   05/25/2022   (6,515

JPMorgan Chase Bank, NA

 USD  1,688  ZAR  26,032   04/21/2022   89,278 

JPMorgan Chase Bank, NA

 USD  2,423  TWD  66,399   04/28/2022   (103,540

JPMorgan Chase Bank, NA

 USD  775  PLN  3,348   05/06/2022   19,621 

Morgan Stanley Capital Services LLC

 INR  529,347  USD  7,011   04/07/2022   34,402 

Morgan Stanley Capital Services LLC

 USD  3,943  INR  298,877   04/07/2022   (3,757

Morgan Stanley Capital Services LLC

 ZAR  55,901  USD  3,643   04/21/2022   (173,969

Morgan Stanley Capital Services LLC

 KRW  3,160,127  USD  2,636   04/28/2022   36,027 

Morgan Stanley Capital Services LLC

 KRW  5,795,876  USD  4,676   04/28/2022   (91,924

Morgan Stanley Capital Services LLC

 PHP  165,350  USD  3,135   04/28/2022   (55,105

Morgan Stanley Capital Services LLC

 TWD  220,164  USD  8,018   04/28/2022   325,758 

Morgan Stanley Capital Services LLC

 PLN  8,316  USD  2,086   05/06/2022   112,778 

Morgan Stanley Capital Services LLC

 CNH  57,459  USD  9,006   05/18/2022   (10,491

Morgan Stanley Capital Services LLC

 USD  620  MXN  12,711   05/19/2022   13,501 

Morgan Stanley Capital Services LLC

 MYR  13,235  USD  3,136   06/16/2022   2,744 

Morgan Stanley Capital Services LLC

 INR  298,877  USD  3,904   07/07/2022   14,023 
      

 

 

 
      $    801,647 
      

 

 

 

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 37, 5 Year Index

 Morgan Stanley Capital Services LLC  Sell   97.00    May 2022  USD62  $409  $(71

CDX-NAHY Series 37, 5 Year Index

 Morgan Stanley Capital Services LLC  Sell   97.00   May 2022  USD  6,290   44,030   (7,174
      

 

 

  

 

 

 
      $    44,439  $    (7,245
      

 

 

  

 

 

 

 

40    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)

 

Description Fixed
Rate
(Pay)
Receive
  Payment
Frequency
  Implied
Credit
Spread at
March 31,
2022
  

Notional
Amount
(000)

  Market
Value
  Upfront
Premiums
Paid/
(Received)
  Unrealized
Appreciation/
(Depreciation)
 

Buy Contracts

        

CDX-EM
Series 37, 5 Year Index, 06/20/2027*

  (1.00)%   Quarterly   2.27  USD     25,620  $  1,490,289  $  1,494,953  $  (4,664

Colombia Government International Bond, 10.375%, 01/28/2033, 06/20/2027*

  (1.00  Quarterly   1.91   USD   430   18,588   20,713   (2,125

Indonesia Government International Bond, 4.125%, 01/15/2025, 06/20/2027*

  (1.00  Quarterly   0.84   USD   500   (4,040  (357  (3,683

People’s Republic of China, 7.500%, 10/28/2027, 06/20/2027*

  (1.00  Quarterly   0.60   USD   500   (9,844  (9,543  (301

South Africa Government International Bond, 5.875%, 09/16/2025, 06/20/2027*

  (1.00  Quarterly   2.09   USD   240   12,282   12,416   (134

South Africa Government International Bond, 5.875%, 09/16/2025, 12/20/2026*

  (1.00  Quarterly   1.93   USD   240   9,824   9,808   16 

Turkey Government International Bond, 11.875%, 01/15/2030, 06/20/2027*

  (1.00  Quarterly   5.50   USD   70   13,105   13,919   (814
      

 

 

  

 

 

  

 

 

 
      $  1,530,204  $  1,541,909  $  (11,705
      

 

 

  

 

 

  

 

 

 

 

*

Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)

 

        

Rate Type

           

Notional

Amount

(000)

  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)
 

USD

   4,290   10/02/2029  3 Month LIBOR 1.589% Quarterly/
Semi-Annual
 $  (218,277 $  – 0 –  $  (218,277

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    41


 

PORTFOLIO OF INVESTMENTS (continued)

 

CREDIT DEFAULT SWAPS (see Note D)

 

Swap Counterparty &
Referenced Obligation
 Fixed
Rate
(Pay)
Receive
  Payment
Frequency
  Implied
Credit
Spread at
March 31,
2022
  Notional
Amount
(000)
  Market
Value
  

Upfront
Premiums
Paid/

(Received)

  Unrealized
Appreciation/
(Depreciation)
 

Sale Contracts

 

Morgan Stanley & Co. International PLC

 

  

South Africa Government International Bond, 5.875%, 09/16/2025, 12/20/2026*

  1.00  Quarterly   1.93  USD     240  $    (9,824 $    (9,748 $    (76

 

*

Termination date

TOTAL RETURN SWAPS (see Note D)

 

Counterparty &
Referenced
Obligation
 Rate
Paid/
Received
  Payment
Frequency
  Current
Notional
(000)
  Maturity
Date
  Unrealized
Appreciation/
(Depreciation)
 

Receive Total Return on Reference Obligation

 

Goldman Sachs International

 

MSCI Emerging Markets Growth

  
FedFundEffective
Plus 0.56%
 
 
  Maturity   USD   2,084   05/16/2022  $(198,938

MSCI Emerging Markets Growth

  OBFR Plus 0.63%   Maturity   USD   12,629   05/16/2022   (1,202,622
      

 

 

 
      $  (1,401,560
      

 

 

 

VARIANCE SWAPS (see Note D)

 

Swap Counterparty &
Referenced Obligation
 Volatility
Strike
Rate
  Payment
Frequency
  Notional
Amount
(000)
  Market
Value
  Upfront
Premiums
(Paid)/
Received
  Unrealized
Appreciation/
(Depreciation)
 

Buy Contracts

       
Goldman Sachs International

 

Nikkei 225 Index
06/10/2022*

  32.20  Maturity   JPY     190  $  (10,458 $– 0 –  $(10,458
JPMorgan Chase Bank, NA

 

Hang Seng China Enterprises Index
06/29/2022*

  27.30   Maturity   HKD   149   206,555   – 0 –   206,555 
UBS AG

 

Euro STOXX 50 Price EUR Index 06/17/2022*

  33.62   Maturity   EUR   5   (18,606  – 0 –   (18,606

FTSE 100 Index 06/17/2022*

  26.95   Maturity   GBP   4   (29,303  – 0 –   (29,303

Nasdaq 100 Stock Index 05/20/2022*

  33.75   Maturity   USD   2   (11,349  – 0 –   (11,349

Sale Contracts

 

Goldman Sachs International

 

Nasdaq 100 Stock Index 05/20/2022*

  31.70   Maturity   USD   2   7,370   – 0 –   7,370 
     

 

 

  

 

 

  

 

 

 
     $  144,209  $    – 0 –  $  144,209 
     

 

 

  

 

 

  

 

 

 

 

*

Termination date

 

 

42    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

(a)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $47,535,938 or 30.6% of net assets.

 

(b)

Security in which significant unobservable inputs (Level 3) were used in determining fair value.

 

(c)

Fair valued by the Adviser.

 

(d)

Non-income producing security.

 

(e)

Represents entire or partial securities out on loan. See Note E for securities lending information.

 

(f)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.18% of net assets as of March 31, 2022, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid
Securities
 Acquisition
Date
   Cost   Market
Value
  Percentage of
Net Assets
 

Digicel Group Holdings Ltd.
7.00%, 04/18/2022

  01/14/2019   $13,016   $13,430   0.01

NAK Naftogaz Ukraine via Kondor Finance PLC
7.375%, 07/19/2022

  12/08/2021    199,317    67,600   0.04

NAK Naftogaz Ukraine via Kondor Finance PLC
7.625%, 11/08/2026

  11/04/2019    200,000    60,000   0.04

Polyus PJSC (GDR)

  09/06/2019    23,067    – 0 –   0.00

State Agency of Roads of Ukraine
6.25%, 06/24/2028

  06/17/2021    360,000    135,000   0.09

Tonon Luxembourg SA
6.50%, 10/31/2024

  05/03/2019    199,358    – 0 –   0.00

Virgolino de Oliveira Finance SA
11.75%, 02/09/2022

  07/12/2013    172,628    20   0.00

X5 Retail Group NV (GDR)

  
08/18/2020 -
02/08/2022
 
 
   663,676    – 0 –   0.00

 

(g)

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.

 

(h)

Defaulted.

 

(i)

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 March 31, 2022.

 

(j)

Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.

 

(k)

Defaulted matured security.

 

(l)

Affiliated investments.

 

(m)

The rate shown represents the 7-day yield as of period end.

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    43


 

PORTFOLIO OF INVESTMENTS (continued)

 

Currency Abbreviation:

 

AUD – Australian Dollar

 JPY – Japanese Yen
BRL – Brazilian Real KRW – South Korean Won
CAD – Canadian Dollar MXN – Mexican Peso
CHF – Swiss Franc MYR – Malaysian Ringgit
CLP – Chilean Peso NOK – Norwegian Krone
CNH – Chinese Yuan Renminbi (Offshore) PEN – Peruvian Sol
COP – Colombian Peso PHP – Philippine Peso
CZK – Czech Koruna PLN – Polish Zloty
EUR – Euro SEK – Swedish Krona
GBP – Great British Pound SGD – Singapore Dollar
HKD – Hong Kong Dollar THB – Thailand Baht
HUF – Hungarian Forint TRY – Turkish Lira
IDR – Indonesian Rupiah TWD – New Taiwan Dollar
INR – Indian Rupee 

USD – United States Dollar

ZAR – South African Rand

Glossary:

ADR – American Depositary Receipt

CBT – Chicago Board of Trade

CDX-EM – Emerging Market Credit Default Swap Index

CDX-NAHY – North American High Yield Credit Default Swap Index

ETF – Exchange Traded Fund

FedFundEffective – Federal Funds Effective Rate

FTSE – Financial Times Stock Exchange

GDR – Global Depositary Receipt

JSC – Joint Stock Company

LIBOR – London Interbank Offered Rate

MSCI – Morgan Stanley Capital International

NASDAQ – National Association of Securities Dealers Automated Quotations

OBFR – Overnight Bank Funding Rate

PJSC – Public Joint Stock Company

REG – Registered Shares

See notes to financial statements.

 

44    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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STATEMENT OF ASSETS & LIABILITIES

March 31, 2022

 

Assets  

Investments in securities, at value

  

Unaffiliated issuers (cost $149,252,411)

  $150,756,173(a) 

Affiliated issuers (cost $476,856—including investment of cash collateral for securities loaned of $476,856)

   476,856 

Cash collateral due from broker

   4,590,806 

Foreign currencies, at value (cost $540,317)

   546,192 

Unrealized appreciation on forward currency exchange contracts

   2,324,320 

Receivable for investment securities sold and foreign currency transactions

   1,519,172 

Unaffiliated dividends and interest receivable

   1,437,085 

Receivable for terminated credit default and variance swaps

   1,360,259 

Unrealized appreciation on variance swaps

   213,925 

Receivable for capital stock sold

   204,628 

Receivable for variation margin on centrally cleared swaps

   36,829 

Receivable for newly entered credit default swaps

   35,646 

Affiliated dividends receivable

   203 
  

 

 

 

Total assets

   163,502,094 
  

 

 

 
Liabilities  

Swaptions written, at value (premiums received $44,439)

   7,245 

Due to Custodian

   50,116 

Unrealized depreciation on forward currency exchange contracts

   1,522,673 

Unrealized depreciation on total return swaps

   1,401,560 

Payable for newly entered credit default swaps

   1,361,221 

Cash collateral due to broker

   1,290,000 

Payable for investment securities purchased

   744,370 

Payable for collateral received on securities loaned

   476,856 

Payable for capital gains taxes

   297,582 

Payable for variation margin on futures

   188,393 

Payable for capital stock redeemed

   167,108 

Advisory fee payable

   95,344 

Unrealized depreciation on variance swaps

   69,716 

Payable for terminated credit default swaps

   48,673 

Administrative fee payable

   27,052 

Market value of credit default swaps (net premiums received $9,748)

   9,824 

Transfer Agent fee payable

   2,295 

Distribution fee payable

   1,425 

Directors’ fee payable

   257 

Accrued expenses

   264,611 
  

 

 

 

Total liabilities

   8,026,321 
  

 

 

 

Net Assets

  $155,475,773 
  

 

 

 
Composition of Net Assets  

Capital stock, at par

  $1,783 

Additional paid-in capital

   168,778,103 

Accumulated loss

   (13,304,113
  

 

 

 
  $    155,475,773 
  

 

 

 

See notes to financial statements.

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    45


 

STATEMENT OF ASSETS & LIABILITIES (continued)

 

Net Asset Value Per Share—33 billion shares of capital stock authorized, $.0001 par value

 

Class Net Assets     Shares
Outstanding
     Net Asset
Value
 

 

 
A $2,983,741      342,898     $8.70

 

 
C $769,150      88,822     $8.66 

 

 
Advisor $  148,373,851      17,011,820     $  8.72 

 

 
R $281,151      32,130     $8.75 

 

 
K $177,828      20,387     $8.72 

 

 
I $67,096      7,772     $8.63 

 

 
Z $2,822,956      326,004     $8.66 

 

 

 

(a)

Includes securities on loan with a value of $523,182 (see Note E).

 

*

The maximum offering price per share for Class A shares was $9.09, which reflects a sales charge of 4.25%.

See notes to financial statements.

 

46    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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STATEMENT OF OPERATIONS

Year Ended March 31, 2022

 

Investment Income   

Interest (net of foreign taxes withheld of $50,749)

  $    4,190,795  

Dividends

   

Unaffiliated issuers (net of foreign taxes withheld of $548,908)

   3,896,916  

Affiliated issuers

   643  

Securities lending income

   4,253  $    8,092,607 
  

 

 

  
Expenses   

Advisory fee (see Note B)

   1,582,547  

Transfer agency—Class A

   1,485  

Transfer agency—Class C

   432  

Transfer agency—Advisor Class

   74,274  

Transfer agency—Class R

   818  

Transfer agency—Class K

   539  

Transfer agency—Class I

   52  

Transfer agency—Class Z

   756  

Distribution fee—Class A

   8,889  

Distribution fee—Class C

   9,805  

Distribution fee—Class R

   1,573  

Distribution fee—Class K

   674  

Custody and accounting

   218,062  

Registration fees

   117,381  

Administrative

   99,983  

Audit and tax

   88,528  

Legal

   38,347  

Printing

   30,101  

Directors’ fees

   20,520  

Miscellaneous

   22,857  
  

 

 

  

Total expenses

   2,317,623  

Less: expenses waived and reimbursed by the Adviser (see Note B and Note E)

   (456,902 
  

 

 

  

Net expenses

    1,860,721 
   

 

 

 

Net investment income

    6,231,886 
   

 

 

 

See notes to financial statements.

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    47


 

STATEMENT OF OPERATIONS (continued)

 

Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions    

Net realized gain (loss) on:

    

Investment transactions(a)

    $57,525 

Forward currency exchange contracts

     1,300,422 

Futures

     (3,405,841

Swaps

     (3,691,171

Swaptions written

     182,545 

Foreign currency transactions

     (382,875

Net change in unrealized appreciation/depreciation on:

    

Investments(b)

     (24,448,541

Forward currency exchange contracts

     (169,270

Futures

     (394,525

Swaps

     656,471 

Swaptions written

     (40,627

Foreign currency denominated assets and liabilities

     24,769 
    

 

 

 

Net loss on investment and foreign currency transactions

     (30,311,118
    

 

 

 

Net Decrease in Net Assets from Operations

    $    (24,079,232
  

 

 

   

 

 

 

 

(a)

Net of foreign realized capital gains taxes of $282,796.

 

(b)

Net of decrease in accrued foreign capital gains taxes on unrealized gains of $217,921.

See notes to financial statements.

 

48    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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STATEMENT OF CHANGES IN NET ASSETS

 

   Year Ended
March 31,

2022
  Year Ended
March 31,

2021
 
Increase (Decrease) in Net Assets from Operations   

Net investment income

  $6,231,886  $3,907,333 

Net realized gain (loss) on investment and foreign currency transactions

   (5,939,395  14,555,103 

Net change in unrealized appreciation/depreciation on investments and foreign currency denominated assets and liabilities

   (24,371,723  44,932,603 
  

 

 

  

 

 

 

Net increase (decrease) in net assets from operations

   (24,079,232  63,395,039 
Distributions to Shareholders   

Class A

   (113,878  (72,649

Class C

   (23,364  (16,421

Advisor Class

   (6,098,926  (4,047,068

Class R

   (8,398  (5,023

Class K

   (8,172  (5,736

Class I

   (9,913  (1,449

Class Z

   (111,256  (6,691
Capital Stock Transactions   

Net increase (decrease)

   (6,013,613  5,693,668 
  

 

 

  

 

 

 

Total increase (decrease)

   (36,466,752  64,933,670 
Net Assets   

Beginning of period

   191,942,525   127,008,855 
  

 

 

  

 

 

 

End of period

  $    155,475,773  $    191,942,525 
  

 

 

  

 

 

 

See notes to financial statements.

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    49


 

NOTES TO FINANCIAL STATEMENTS

March 31, 2022

 

NOTE A

Significant Accounting Policies

AB Cap Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 12 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Emerging Markets Multi-Asset Portfolio (the “Fund”), a diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1, and Class 2 shares. Class B, Class T, Class 1, and Class 2 shares are not currently being 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 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 May 31, 2021, Class C shares automatically converted to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted 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 eleven 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.

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 Directors (the “Board”).

 

50    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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. 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

 

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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 active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and

 

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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.

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 an 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 for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

 

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The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of March 31, 2022:

 

Investments in
Securities

 Level 1  Level 2  Level 3  Total 

Assets:

    

Common Stocks:

    

Financials

 $1,828,849  $20,216,865  $0#  $22,045,714 

Information Technology

  1,118,595   20,624,860   – 0 –   21,743,455 

Consumer Discretionary

  2,327,556   9,326,194   – 0 –   11,653,750 

Materials

  181,911   9,627,280   0#   9,809,191 

Communication Services

  618,203   3,535,312   0#   4,153,515 

Utilities

  1,679,521   2,173,468   – 0 –   3,852,989 

Industrials

  885,410   2,710,463   0#   3,595,873 

Energy

  472,729   2,910,643   0#   3,383,372 

Consumer Staples

  1,857,344   840,287   0#   2,697,631 

Real Estate

  265,150   2,031,175   – 0 –   2,296,325 

Health Care

  666,978   743,593   – 0 –   1,410,571 

Fixed Income Securities:

    

Sovereign Bonds

  – 0 –   32,815,659   – 0 –   32,815,659 

Corporate Bonds

  – 0 –   13,931,604   20#   13,931,624 

Quasi-Sovereign Bonds

  – 0 –   12,224,748   – 0 –   12,224,748 

Treasury Bonds

  – 0 –   1,834,926   – 0 –   1,834,926 

Emerging Markets—Treasuries

  – 0 –   524,419   – 0 –   524,419 

Regional Bonds

  – 0 –   40,031   – 0 –   40,031 

Equity Linked Notes

  – 0 –   2,183,666   – 0 –   2,183,666 

Investment Companies

  – 0 –   264,480   – 0 –   264,480 

Options Purchased—Puts

  – 0 –   10,600   – 0 –   10,600 

Short-Term Investments:

    

Time Deposits

  – 0 –   283,634   – 0 –   283,634 

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

  476,856   – 0 –   – 0 –   476,856 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Investments in Securities

  12,379,102   138,853,907+   20   151,233,029 

Other Financial Instruments*:

    

Assets

    

Futures

  – 0 –   31,411   – 0 –    31,411 

Forward Currency Exchange Contracts

  – 0 –   2,324,320   – 0 –   2,324,320 

Centrally Cleared Credit Default Swaps

  – 0 –   1,544,088   – 0 –    1,544,088 

Variance Swaps

  – 0 –   213,925   – 0 –   213,925 

Liabilities

    

Futures

  (293,817  (110,354  – 0 –    (404,171) 

Forward Currency Exchange Contracts

  – 0 –   (1,522,673  – 0 –   (1,522,673

Credit Default Swaptions Written

  – 0 –   (7,245  – 0 –   (7,245

Centrally Cleared Credit Default Swaps

  – 0 –   (13,884  – 0 –    (13,884) 

Centrally Cleared Interest Rate Swaps

  – 0 –   (218,277  – 0 –    (218,277) 

Credit Default Swaps

  – 0 –   (9,824  – 0 –   (9,824

Total Return Swaps

  – 0 –   (1,401,560  – 0 –   (1,401,560

Variance Swaps

  – 0 –   (69,716  – 0 –   (69,716
 

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $  12,085,285  $  139,614,118  $  20  $  151,699,423 
 

 

 

  

 

 

  

 

 

  

 

 

 

 

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#

The Fund held securities with zero market value at period end.

 

*

Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.

 

+

A significant portion of the Fund’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available, see Note A.1.

 

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. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value.

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 the 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 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

 

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positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.

5. Investment Income and Investment Transactions

Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.

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 portfolio 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 Fund pays the Adviser an advisory fee at an annual rate of .85% of the first $1 billion, .80% of the next $1 billion, .75% of the next $1 billion and .70% in excess of $3 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses on an annual basis (“the Expense Caps”) to 1.24%, 1.99%, .99%, 1.49%, 1.24%, .99% and .99% of the daily average net assets for the Class A,

 

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Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. For the year ended March 31, 2022, such waivers/reimbursements amounted to $451,784. The Expense Caps may not be terminated before July 31, 2022.

Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the year ended March 31, 2022, the reimbursement for such services amounted to $99,983.

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 $29,073 for the year ended March 31, 2022.

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 $277 from the sale of Class A shares and received $52 and $0 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the year ended March 31, 2022.

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. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in 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 year ended March 31, 2022, such waiver amounted to $5,116.

 

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A summary of the Fund’s transactions in AB mutual funds for the year ended March 31, 2022 is as follows:

 

Fund

 Market Value
3/31/21
(000)
  Purchases
at Cost
(000)
  Sales
Proceeds
(000)
  Market Value
3/31/22
(000)
  Dividend
Income
(000)
 

Government Money Market Portfolio

 $    12,729  $    72,720  $    85,449  $– 0 –  $1 

Government Money Market Portfolio*

  634   16,144   16,301   477   0** 
    

 

 

  

 

 

 

Total

    $    477  $    1 
    

 

 

  

 

 

 

 

*

Investment of cash collateral for securities lending transactions (see Note E).

 

**

Amount is less than $500.

NOTE C

Distribution Services Agreement

The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to 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. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A share’s average daily net assets. There are no distribution and servicing fees on Advisor Class and Class I shares. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operation, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $9,135, $929 and $2,555 for Class C, Class K and Class R shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs, incurred by the Distributor, beyond the current fiscal period for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.

 

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NOTE D

Investment Transactions

Purchases and sales of investment securities (excluding short-term investments) for the year ended March 31, 2022, were as follows:

 

   Purchases   Sales 

Investment securities (excluding U.S. government securities)

  $    138,231,999   $    140,064,334 

U.S. government securities

   1,461,647    – 0 – 

The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:

 

Cost

  $    152,746,494 
  

 

 

 

Gross unrealized appreciation

  $24,067,865 

Gross unrealized depreciation

   (25,326,737
  

 

 

 

Net unrealized depreciation

  $(1,258,872
  

 

 

 

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:

 

  

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.

 

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During the year ended March 31, 2022, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.

 

  

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.

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 year ended March 31, 2022, the Fund held futures 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,

 

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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 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. The Fund’s maximum payment for written put options equates to the number of shares multiplied by the strike price. 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. 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.

The Fund may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right,

 

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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 of 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. The Fund’s maximum payment for written put swaptions equates to the notional amount of the underlying swap. 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 year ended March 31, 2022, the Fund held purchased swaptions for hedging and non-hedging purposes.

During the year ended March 31, 2022, the Fund held written swaptions for hedging and non-hedging purposes.

 

  

Swaps

The Fund may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures including by making direct investments in foreign currencies, as described below under “Currency Transactions” 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

 

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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 for swaps 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.

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.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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 year ended March 31, 2022, the Fund held interest rate swaps for hedging and non-hedging purposes.

Credit Default Swaps:

The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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 obligation with the same counterparty.

Credit default swaps may involve greater risks than if the 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 year ended March 31, 2022, 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 year ended March 31, 2022, the Fund held total return swaps for hedging and non-hedging purposes.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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 year ended March 31, 2022, 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. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty tables below for additional details.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

During the year ended March 31, 2022, the Fund had entered into the following derivatives:

 

  

Asset Derivatives

  

Liability Derivatives

 

Derivative Type

 

Statement of
Assets and
Liabilities
Location

 Fair Value  

Statement of
Assets and
Liabilities
Location

 Fair Value 

Interest rate contracts

       
Payable for variation margin on futures
     
$

  184,047

Interest rate contracts

       
Payable for variation margin on centrally cleared swaps
  
    
218,277

Foreign currency contracts

     
Unrealized
appreciation on forward currency exchange contracts
     
$

2,324,320

 
     
Unrealized depreciation on forward currency exchange contracts
  
    
1,522,673

 

Credit contracts

   Market value of credit default swaps  9,824 

Credit contracts

 Receivable for variation margin on centrally cleared swaps  16 

Payable for

variation margin on centrally cleared swaps

  11,721

Credit contracts

 Investment in securities, at value  10,600   

Credit contracts

   Swaptions written, at value  7,245 

Equity contracts

 Unrealized appreciation on variance swaps  213,925  Unrealized depreciation on variance swaps  69,716 

Equity contracts

 Receivable for variation margin on futures  31,411 

Payable for

variation margin on futures

  220,124

Equity contracts

   

Unrealized

depreciation on

total return swaps

  1,401,560 
  

 

 

   

 

 

 

Total

  $  2,580,272   $  3,645,187 
  

 

 

   

 

 

 

 

*

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.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

Derivative Type

 

Location of Gain or
(Loss) on Derivatives
Within Statement of
Operations

  Realized Gain
or (Loss) on
Derivatives
  Change in
Unrealized
Appreciation or
(Depreciation)
 

Interest rate contracts

 Net realized gain/(loss) on swaps; Net change in unrealized appreciation/ depreciation on swaps  $(11,000 $(239,568

Interest rate contracts

 Net realized gain/(loss) on futures; Net change in unrealized appreciation/ depreciation on futures   (317,532    (212,672

Foreign currency
contracts

 

    
Net realized gain/(loss) on forward currency exchange contracts;

Net change in unrealized appreciation/depreciation on forward currency exchange contracts

   
    
1,300,422

 
  
    
(169,270

Credit contracts

 Net realized gain/(loss) on investment transactions; Net change in unrealized appreciation/depreciation on investments   (185,756  19,339 

Credit contracts

 Net realized gain/(loss) on swaps; Net change in unrealized appreciation/ depreciation on swaps   1,168,540   (139,319

Credit Contracts

 Net realized gain/(loss) on swaptions written; Net change in unrealized appreciation/depreciation on swaptions written   182,545   (40,627

Equity contracts

 Net realized gain/(loss) on futures; Net change in unrealized appreciation/depreciation on futures   (3,088,309  (181,853

Equity contracts

 Net realized gain/(loss) on swaps; Net change in unrealized appreciation/ depreciation on swaps   (4,848,711  1,035,358 
   

 

 

  

 

 

 

Total

   $  (5,799,801 $71,388 
   

 

 

  

 

 

 
    

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

The following table represents the average monthly volume of the Fund’s derivative transactions during the year ended March 31, 2022:

 

Centrally Cleared Credit Default Swaps:

  

Average notional amount of buy contracts

  $19,778,077 

Average notional amount of sale contracts

  $275,000(a) 

Centrally Cleared Interest Rate Swaps

  

Average notional amount

  $5,996,320 

Credit Default Swaps:

  

Average notional amount of sale contracts

  $56,000(a) 

Forward Currency Exchange Contracts:

  

Average principal amount of buy contracts

  $92,620,398 

Average principal amount of sale contracts

  $123,373,581 

Futures:

  

Average notional amount of buy contracts

  $19,474,944 

Average notional amount of sale contracts

  $1,104,373(b) 

Total Return Swaps:

  

Average notional amount

  $17,990,547 

Variance Swaps:

  

Average notional amount

  $685,091 

Purchased Swaptions:

  

Average notional amount

  $12,465,500(c) 

Swaptions Written:

  

Average notional amount

  $23,343,000(c) 

 

(a)

Positions were open for two months during the reporting period.

 

(b)

Positions were open for eight months during the reporting period.

 

(c)

Positions were open for three months during the reporting 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 (“MA”) and net of the related collateral received/pledged by the Fund as of March 31, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

Counterparty

 Derivative
Assets
Subject to a
MA
  Derivatives
Available
for Offset
  Cash
Collateral
Received*
  Security
Collateral
Received*
  Net Amount
of Derivative
Assets
 

Barclays Bank PLC

 $700,639  $(30,318 $(670,000 $– 0 –  $321 

BNP Paribas

  65,769   (2,544  – 0 –   – 0 –   63,225 

Brown Brothers Harriman & Co.

  54,380   (15,102  – 0 –   – 0 –   39,278 

Citibank, NA.

  191,058   (191,058  – 0 –   – 0 –   – 0 – 

Credit Suisse International

  179,639   (111,719  – 0 –   – 0 –   67,920 

Deutsche Bank AG

  254,572   (254,572  – 0 –   – 0 –   – 0 – 

Goldman Sachs Bank USA/Goldman Sachs International

  121,002   (121,002  – 0 –   – 0 –   – 0 – 

HSBC Bank USA.

  116,499   (47,069  – 0 –   – 0 –   69,430 

JPMorgan Chase Bank, NA.

  315,454   (103,540  (90,000  – 0 –   121,914 

Morgan Stanley Capital Services LLC/Morgan Stanley & Co. International PLC

  549,833   (352,315  (197,518  – 0 –   – 0 – 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $  2,548,845  $  (1,229,239 $  (957,518 $  – 0 –  $  362,088
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Counterparty

 Derivative
Liabilities
Subject to a
MA
  Derivatives
Available
for Offset
  Cash
Collateral
Pledged*
  Security
Collateral
Pledged*
  Net Amount
of Derivative
Liabilities
 

Bank of America, NA.

 $94,234  $– 0 –  $– 0 –  $– 0 –  $94,234 

Barclays Bank PLC

  30,318   (30,318  – 0 –   – 0 –   – 0 – 

BNP Paribas

  2,544   (2,544  – 0 –   – 0 –   – 0 – 

Brown Brothers Harriman & Co.

  15,102   (15,102  – 0 –   – 0 –   – 0 – 

Citibank, NA.

  208,696   (191,058  (17,638  – 0 –   – 0 – 

Credit Suisse International

  111,719   (111,719  – 0 –   – 0 –   – 0 – 

Deutsche Bank AG

  515,029   (254,572  – 0 –   – 0 –   260,457 

Goldman Sachs Bank USA/Goldman Sachs International

  1,471,194   (121,002  (1,350,192  – 0 –   – 0 – 

HSBC Bank USA.

  47,069   (47,069  – 0 –   – 0 –   – 0 – 

JPMorgan Chase Bank, NA.

  103,540   (103,540  – 0 –   – 0 –   – 0 – 

Morgan Stanley Capital Services LLC/Morgan Stanley & Co. International PLC

  352,315   (352,315  – 0 –   – 0 –   – 0 – 

UBS AG

  59,258   – 0 –   – 0 –   – 0 –   59,258 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $  3,011,018  $  (1,229,239 $  (1,367,830 $  – 0 –  $  413,949
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 

*

The actual collateral received/pledged may be more than the amount reported due to overcollateralization.

 

^

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.

 

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NOTES TO 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 collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Fund cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized 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. If the Fund receives non-cash collateral, the Fund will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. 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 dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. 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. 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,

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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 statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Fund earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. 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 Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. 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. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower.

A summary of the Fund’s transactions surrounding securities lending for the year ended March 31, 2022 is as follows:

 

           Government Money
Market Portfolio
 

Market

Value of

Securities
on Loan*

 Cash
Collateral*
  Market
Value of
Non-Cash
Collateral*
  Income from
Borrowers
  Income
Earned
  Advisory Fee
Waived
 

$  523,182

 $  476,856  $  81,536  $  4,188  $  65  $  2 

 

*

As of March 31, 2022.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

NOTE F

Capital Stock

Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:

 

       
   Shares     Amount    
   

Year Ended
March 31,

2022

  

Year Ended

March 31,
2021

     

Year Ended
March 31,

2022

  

Year Ended

March 31,

2021

    
  

 

 

  
Class A       

Shares sold

   48,276   222,548   $486,129  $2,170,281  

 

  

Shares issued in reinvestment of dividends

   8,371   5,919    83,366   54,875  

 

  

Shares converted from Class C

   6,068   1,957    65,320   17,182  

 

  

Shares redeemed

   (72,244  (309,557   (722,311  (2,860,594 

 

  

Net decrease

   (9,529  (79,133  $(87,496 $(618,256 

 

  
       
Class C       

Shares sold

   6,909   8,263   $69,646  $83,219  

 

  

Shares issued in reinvestment of dividends

   1,768   1,313    17,588   12,108  

 

  

Shares converted to Class A

   (6,108  (1,967   (65,320  (17,182 

 

  

Shares redeemed

   (22,301  (43,154   (219,961  (372,886 

 

  

Net decrease

   (19,732  (35,545  $(198,047 $(294,741 

 

  
       
Advisor Class       

Shares sold

   3,424,832   5,541,078   $34,157,918  $    50,185,208  

 

  

Shares issued in reinvestment of dividends

   489,019   356,037    4,874,184   3,327,303  

 

  

Shares redeemed

   (4,804,566  (5,319,714   (47,144,179  (47,683,195 

 

  

Net increase (decrease)

   (890,715  577,401   $(8,112,077 $5,829,316  

 

  
       
Class R       

Shares sold

   5,933   6,833   $58,933  $63,408  

 

  

Shares issued in reinvestment of dividends

   826   518    8,258   4,859  

 

  

Shares redeemed

   (7,850  (12,515   (80,948  (96,959 

 

  

Net decrease

   (1,091  (5,164  $(13,757 $(28,692 

 

  

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

       
   Shares     Amount    
   

Year Ended
March 31,

2022

  

Year Ended

March 31,
2021

     

Year Ended
March 31,

2022

  

Year Ended

March 31,

2021

    
  

 

 

  
Class K       

Shares sold

   1,574   3,085   $15,809  $26,783  

 

  

Shares issued in reinvestment of dividends

   802   596    8,013   5,542  

 

  

Shares redeemed

   (10,202  (5,557   (92,781  (49,680 

 

  

Net decrease

   (7,826  (1,876  $(68,959 $(17,355 

 

  
       
Class I       

Shares sold

   6,730   32,024   $61,344  $338,111  

 

  

Shares issued in reinvestment of dividends

   972   120    9,726   1,212  

 

  

Shares redeemed

   (30,740  (2,831   (288,563  (26,710 

 

  

Net increase (decrease)

   (23,038  29,313   $(217,493 $312,613  

 

  
       
Class Z       

Shares sold

   299,069   46,618   $3,096,311  $507,670  

 

  

Shares issued in reinvestment of dividends

   11,213   679    111,071   6,455  

 

  

Shares redeemed

   (51,796  (323   (523,166  (3,342 

 

  

Net increase

   258,486   46,974   $2,684,216  $510,783  

 

  

NOTE G

Risks Involved in Investing in the Fund

Market Risk—The value of the Fund’s assets will fluctuate as the stock, bond or currency markets fluctuate. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.

Emerging-Market Risk—Investments in emerging market countries may involve more risk than investments in other foreign countries because the markets in emerging market countries are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory, or other uncertainties.

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 more difficult to trade due to adverse market, economic, political, regulatory or other factors.

 

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Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns. Emerging market currencies may be more volatile and less liquid, and subject to significantly greater risk of currency controls and convertibility restrictions, than currencies of developed countries.

Country Concentration Risk—The Fund may not always be diversified among countries or geographic regions and the effect on the Fund’s net asset value, or NAV, of the specific risks identified above, such as political, regulatory and currency risks, may be magnified due to concentration of the Fund’s investments in a particular country or region.

Allocation Risk—The allocation of Fund assets among different asset classes, such as equity securities, debt securities and currencies, may have a significant effect on the Fund’s NAV when one of these asset classes is performing better or worse than others. The diversification benefits typically associated with investing in both equity and debt securities may be limited in the emerging markets context, as movements in emerging market equity and emerging market debt markets may be more correlated than movements in the equity and debt markets of developed countries.

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.

Interest-Rate Risk—Changes in interest rates will affect the value of 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. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.

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.

Sovereign Debt Risk—Investments in sovereign debt obligations expose the Fund to the direct or indirect consequences of political, social and

 

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economic changes in countries that issue the obligations. Such changes may affect a foreign government’s willingness or ability to make timely payments of its obligations. In addition, no established market may exist for many sovereign debt obligations. Reduced secondary market liquidity may have an adverse effect on the market price of an instrument and the Fund’s ability to dispose of particular instruments.

Below Investment-Grade 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 factors such as specific corporate developments, interest rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.

Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Fund.

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 contracts 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.

Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.

LIBOR Transition and Associated Risk—A Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial

 

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Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.

The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.

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.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.

NOTE H

Joint Credit Facility

A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. 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 year ended March 31, 2022.

NOTE I

Distributions to Shareholders

The tax character of distributions paid during the fiscal years ended March 31, 2022 and March 31, 2021 were as follows:

 

   2022   2021 

Distributions paid from:

    

Ordinary income

  $6,373,907   $4,155,037 
  

 

 

   

 

 

 

Total taxable distributions paid

  $    6,373,907   $    4,155,037 
  

 

 

   

 

 

 

As of March 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

Accumulated capital losses

  $(9,951,688)(a) 

Other losses

   (825,151)(b) 

Unrealized appreciation/(depreciation)

   (1,441,622)(c) 
  

 

 

 

Total accumulated earnings/(deficit)

  $    (12,218,461)(d) 
  

 

 

 

 

(a)

As of March 31, 2022, the Fund had a net capital loss carryforward of $9,951,688.

 

(b)

As of March 31, 2022, the Fund had a qualified late-year ordinary loss deferral of $825,151.

 

(c)

The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of hyper-inflationary currency contracts, the tax treatment of swaps, the tax treatment of callable bonds, and the tax deferral of losses on wash sales.

 

(d)

The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax and the tax treatment of defaulted securities.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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 March 31, 2022, the Fund had a net short-term capital loss carryforward of $5,363,739 and a net long-term capital loss carryforward of $4,587,949, which may be carried forward for an indefinite period.

During the current fiscal year, there were no permanent differences that resulted in adjustments to accumulated loss or additional paid-in capital.

NOTE J

Recent Accounting Pronouncements

In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848)—Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.

NOTE K

Subsequent Events

Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.

 

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FINANCIAL HIGHLIGHTS

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

  Class A 
  Year Ended March 31, 
  2022  2021  2020  2019  2018 
 

 

 

 

Net asset value, beginning of period

  $  10.34   $  7.04   $  8.89   $  10.00   $  9.20 
 

 

 

 

Income From Investment Operations

     

Net investment income(a)(b)

  .31   .19   .29   .30   .25 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

  (1.63  3.32   (1.68  (.95  .89 
 

 

 

 

Net increase (decrease) in net asset value from operations

  (1.32  3.51   (1.39  (.65  1.14 
 

 

 

 

Less: Dividends and Distributions

     

Dividends from net investment income

  (.32  (.21  (.46  (.46  (.33

Return of capital

  – 0 –   – 0 –   – 0 –   – 0 –   (.01
 

 

 

 

Total dividends and distributions

  (.32  (.21  (.46  (.46  (.34
 

 

 

 

Net asset value, end of period

  $  8.70   $  10.34   $  7.04   $  8.89   $  10.00 
 

 

 

 

Total Return

     

Total investment return based on net asset value(c)

  (13.12)%   50.17 %   (16.50)%   (6.20)%   12.56 % 

Ratios/Supplemental Data

     

Net assets, end of period (000’s omitted)

  $2,984   $3,644   $3,040   $5,510   $10,849 

Ratio to average net assets of:

     

Expenses, net of waivers/reimbursements(d)(e)

  1.24 %   1.23 %   1.23 %   1.24 %   1.23 % 

Expenses, before waivers/reimbursements(d)(e)

  1.48 %   1.64 %   1.76 %   1.80 %   1.92 % 

Net investment
income(b)

  3.12 %   2.14 %   3.26 %   3.36 %   2.51 % 

Portfolio turnover rate

  81 %   88 %   117 %   110 %   74 % 
     
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

  .01 %   .01 %   .01 %   .01 %   .02 % 

See footnote summary on page 87.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

  Class C 
  Year Ended March 31, 
  2022  2021  2020  2019  2018 
 

 

 

 

Net asset value, beginning of period

  $  10.29   $  7.01   $  8.85   $  9.95   $  9.19 
 

 

 

 

Income From Investment Operations

     

Net investment income(a)(b)

  .24   .13   .22   .23   .16 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

  (1.63  3.29   (1.66  (.93  .89 
 

 

 

 

Net increase (decrease) in net asset value from operations

  (1.39  3.42   (1.44  (.70  1.05 
 

 

 

 

Less: Dividends and Distributions

     

Dividends from net investment income

  (.24  (.14  (.40  (.40  (.28

Return of capital

  – 0 –   – 0 –   – 0 –   – 0 –   (.01
 

 

 

 

Total dividends and distributions

  (.24  (.14  (.40  (.40  (.29
 

 

 

 

Net asset value, end of period

  $  8.66   $  10.29   $  7.01   $  8.85   $  9.95 
 

 

 

 

Total Return

     

Total investment return based on net asset value(c)

  (13.78)%   49.01 %   (17.11)%   (6.79)%^   11.63 %^ 

Ratios/Supplemental Data

     

Net assets, end of period (000’s omitted)

  $769   $1,117   $1,010   $2,234   $2,792 

Ratio to average net assets of:

     

Expenses, net of waivers/reimbursements(d)(e)

  1.99 %   1.98 %   1.98 %   1.99 %   1.98 % 

Expenses, before waivers/reimbursements(d)(e)

  2.24 %   2.40 %   2.51 %   2.58 %   2.69 % 

Net investment
income(b)

  2.36 %   1.40 %   2.54 %   2.54 %   1.57 % 

Portfolio turnover rate

  81 %   88 %   117 %   110 %   74 % 
     
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

  .01 %   .01 %   .01 %   .01 %   .02 % 

See footnote summary on page 87.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

  Advisor Class 
  Year Ended March 31, 
  2022  2021  2020  2019  2018 
 

 

 

 

Net asset value, beginning of period

  $  10.36   $  7.06   $  8.91   $  10.02   $  9.22 
 

 

 

 

Income From Investment Operations

     

Net investment income(a)(b)

  .34   .22   .30   .32   .27 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

  (1.63  3.31   (1.66  (.95  .89 
 

 

 

 

Net increase (decrease) in net asset value from operations

  (1.29  3.53   (1.36  (.63  1.16 
 

 

 

 

Less: Dividends and Distributions

     

Dividends from net investment income

  (.35  (.23  (.49  (.48  (.35

Return of capital

  – 0 –   – 0 –   – 0 –   – 0 –   (.01
 

 

 

 

Total dividends and distributions

  (.35  (.23  (.49  (.48  (.36
 

 

 

 

Net asset value, end of period

  $  8.72   $  10.36   $  7.06   $  8.91   $  10.02 
 

 

 

 

Total Return

     

Total investment return based on net asset value(c)

  (12.87)%   50.40 %   (16.24)%   (5.93)%   12.78 % 

Ratios/Supplemental Data

     

Net assets, end of period (000’s omitted)

  $148,374   $185,534   $122,322   $118,492   $126,029 

Ratio to average net assets of:

     

Expenses, net of waivers/reimbursements(d)(e)

  .99 %   .98 %   .98 %   .99 %   .98 % 

Expenses, before waivers/reimbursements(d)(e)

  1.23 %   1.39 %   1.51 %   1.58 %   1.67 % 

Net investment
income(b)

  3.36 %   2.36 %   3.42 %   3.53 %   2.76 % 

Portfolio turnover rate

  81 %   88 %   117 %   110 %   74 % 
     
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

  .01 %   .01 %   .01 %   .01 %   .02 % 

See footnote summary on page 87.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

  Class R 
  Year Ended March 31, 
  2022  2021  2020  2019  2018 
 

 

 

 

Net asset value, beginning of period

  $  10.37   $  7.05   $  8.88   $  9.97   $  9.17 
 

 

 

 

Income From Investment Operations

     

Net investment income(a)(b)

  .29   .17   .25   .27   .22 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

  (1.64  3.31   (1.65  (.94  .89 
 

 

 

 

Net increase (decrease) in net asset value from operations

  (1.35  3.48   (1.40  (.67  1.11 
 

 

 

 

Less: Dividends and Distributions

     

Dividends from net investment income

  (.27  (.16  (.43  (.42  (.30

Return of capital

  – 0 –   – 0 –   – 0 –   – 0 –   (.01
 

 

 

 

Total dividends and distributions

  (.27  (.16  (.43  (.42  (.31
 

 

 

 

Net asset value, end of period

  $  8.75   $  10.37   $  7.05   $  8.88   $  9.97 
 

 

 

 

Total Return

     

Total investment return based on net asset value(c)

  (13.31)%   49.68 %   (16.64)%   (6.39)%   12.20 % 

Ratios/Supplemental Data

     

Net assets, end of period (000’s omitted)

  $281   $345   $271   $305   $327 

Ratio to average net assets of:

     

Expenses, net of waivers/reimbursements(d)(e)

  1.49 %   1.48 %   1.48 %   1.49 %   1.48 % 

Expenses, before waivers/reimbursements(d)(e)

  1.95 %   2.10 %   2.23 %   2.23 %   2.29 % 

Net investment
income(b)

  2.85 %   1.84 %   2.92 %   3.06 %   2.26 % 

Portfolio turnover rate

  81 %   88 %   117 %   110 %   74 % 
     
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

  .01 %   .01 %   .01 %   .01 %   .02 % 

See footnote summary on page 87.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

  Class K 
  Year Ended March 31, 
  2022  2021  2020  2019  2018 
 

 

 

 

Net asset value, beginning of period

  $  10.35   $  7.04   $  8.87   $  9.97   $  9.16 
 

 

 

 

Income From Investment Operations

     

Net investment income(a)(b)

  .31   .19   .29   .29   .26 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

  (1.64  3.31   (1.67  (.94  .88 
 

 

 

 

Net increase (decrease) in net asset value from operations

  (1.33  3.50   (1.38  (.65  1.14 
 

 

 

 

Less: Dividends and Distributions

     

Dividends from net investment income

  (.30  (.19  (.45  (.45  (.32

Return of capital

  – 0 –   – 0 –   – 0 –   – 0 –   (.01
 

 

 

 

Total dividends and distributions

  (.30  (.19  (.45  (.45  (.33
 

 

 

 

Net asset value, end of period

  $  8.72   $  10.35   $  7.04   $  8.87   $  9.97 
 

 

 

 

Total Return

     

Total investment return based on net asset value(c)

  (13.16)%   50.10 %^   (16.55)%   (6.19)%   12.56 % 

Ratios/Supplemental Data

     

Net assets, end of period (000’s omitted)

  $178   $292   $212   $313   $333 

Ratio to average net assets of:

     

Expenses, net of waivers/reimbursements(d)(e)

  1.24 %   1.23 %   1.23 %   1.24 %   1.23 % 

Expenses, before waivers/reimbursements(d)(e)

  1.64 %   1.80 %   1.92 %   1.96 %   2.01 % 

Net investment
income(b)

  3.11 %   2.13 %   3.34 %   3.26 %   2.67 % 

Portfolio turnover rate

  81 %   88 %   117 %   110 %   74 % 
     
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

  .01 %   .01 %   .01 %   .01 %   .02 % 

See footnote summary on page 87.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

  Class I 
  Year Ended March 31, 
  2022  2021  2020  2019  2018 
 

 

 

 

Net asset value, beginning of period

  $  10.27   $  6.99   $  8.83   $  9.94   $  9.16 
 

 

 

 

Income From Investment Operations

     

Net investment income(a)(b)

  .35   .20   .36   .28   .30 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

  (1.64  3.31   (1.72  (.90  .85 
 

 

 

 

Net increase (decrease) in net asset value from operations

  (1.29  3.51   (1.36  (.62  1.15 
 

 

 

 

Less: Dividends and Distributions

     

Dividends from net investment income

  (.35  (.23  (.48  (.49  (.36

Return of capital

  – 0 –   – 0 –   – 0 –   – 0 –   (.01
 

 

 

 

Total dividends and distributions

  (.35  (.23  (.48  (.49  (.37
 

 

 

 

Net asset value, end of period

  $  8.63   $  10.27   $  6.99   $  8.83   $  9.94 
 

 

 

 

Total Return

     

Total investment return based on net asset value(c)

  (12.97)%   50.61 %   (16.30)%   (5.93)%   12.68 %^ 

Ratios/Supplemental Data

     

Net assets, end of period (000’s omitted)

  $67   $316   $10   $151   $2,012 

Ratio to average net assets of:

     

Expenses, net of waivers/reimbursements(d)(e)

  .99 %   .99 %   .98 %   .99 %   .98 % 

Expenses, before waivers/reimbursements(d)(e)

  1.22 %   1.25 %   1.46 %   1.46 %   1.58 % 

Net investment
income(b)

  3.46 %   1.99 %   4.19 %   3.03 %   3.12 % 

Portfolio turnover rate

  81 %   88 %   117 %   110 %   74 % 
     
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

  .01 %   .01 %   .01 %   .01 %   .02 % 

See footnote summary on page 87.

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    85


 

FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

  Class Z 
  Year Ended March 31,  July 31,
2017(f) to
March 31,
2018
 
  2022  2021  2020  2019 
 

 

 

 

Net asset value, beginning of period

  $  10.29   $  7.01   $  8.85   $  9.95   $  9.81 
 

 

 

 

Income From Investment Operations

     

Net investment income(a)(b)

  .34   .22   .24   .31   .15 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

  (1.62  3.29   (1.59  (.93  .30 
 

 

 

 

Net increase (decrease) in net asset value from operations

  (1.28  3.51   (1.35  (.62  .45 
 

 

 

 

Less: Dividends and Distributions

     

Dividends from net investment income

  (.35  (.23  (.49  (.48  (.30

Return of capital

  – 0 –   – 0 –   – 0 –   – 0 –   (.01
 

 

 

 

Total dividends and distributions

  (.35  (.23  (.49  (.48  (.31
 

 

 

 

Net asset value, end of period

  $  8.66   $  10.29   $  7.01   $  8.85   $  9.95 
 

 

 

 

Total Return

     

Total investment return based on net asset value(c)

  (12.85)%   50.47 %   (16.25)%   (5.90)%^   4.66 %^ 

Ratios/Supplemental Data

     

Net assets, end of period (000’s omitted)

  $2,823   $695   $144   $9   $10 

Ratio to average net assets of:

     

Expenses, net of waivers/reimbursements(d)(e)

  .99 %   .99 %   .99 %   .99 %   .98 %(g) 

Expenses, before waivers/reimbursements(d)(e)

  1.22 %   1.32 %   1.54 %   1.60 %   1.71 %(g) 

Net investment
income(b)

  3.41 %   2.29 %   2.78 %   3.49 %   2.26 %(g) 

Portfolio turnover rate

  81 %   88 %   117 %   110 %   74 % 
     
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

  .01 %   .01 %   .01 %   .01 %   .01 % 

See footnote summary on page 87.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

(a)

Based on average shares outstanding.

 

(b)

Net of 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 charge or contingent deferred sales charge is not reflected in the calculation of total investment return. Total investment 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 for a period of less than one year is not annualized.

 

(d)

In connection with the Fund’s investments in affiliated underlying portfolios, the Fund incurs no direct expenses but bears proportionate shares of the acquired fund 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 years ended March 31, 2021, March 31, 2020, March 31, 2019 and March 31, 2018, such waiver amounted to 0.01%, 0.01%, 0.01% and 0.01%, respectively.

 

(e)

The expense ratios presented below exclude interest expense:

 

  2022  2021  2020  2019  2018 
 

 

 

 

Class A

     

Net of waivers/reimbursements

  1.24  1.23  1.23  1.24  1.23

Before waivers/reimbursements

  1.48  1.64  1.76  1.80  1.92

Class C

     

Net of waivers/reimbursements

  1.99  1.98  1.98  1.98  1.98

Before waivers/reimbursements

  2.24  2.40  2.51  2.57  2.69

Advisor Class

     

Net of waivers/reimbursements

  .99  .98  .98  .98  .98

Before waivers/reimbursements

  1.23  1.39  1.51  1.57  1.67

Class R

     

Net of waivers/reimbursements

  1.49  1.48  1.48  1.48  1.48

Before waivers/reimbursements

  1.95  2.10  2.23  2.22  2.29

Class K

     

Net of waivers/reimbursements

  1.24  1.23  1.23  1.24  1.23

Before waivers/reimbursements

  1.64  1.80  1.92  1.96  2.01

Class I

     

Net of waivers/reimbursements

  .99  .99  .98  .98  .98

Before waivers/reimbursements

  1.22  1.25  1.46  1.45  1.58

 

  Year Ended March 31,   July 31,
2017(f) to
March 31,
2018(g)
 
  2022  2021  2020  2019 
 

 

 

 

Class Z

      

Net of waivers/reimbursements

  .99  .99  .99  .99   .98

Before waivers/reimbursements

  1.22  1.32  1.54  1.60   1.71

 

(f)

Commencement of distribution.

 

(g)

Annualized.

 

^

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.

See notes to financial statements.

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    87


 

REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM

 

To the Board of Directors and Shareholders of AB Emerging Markets Multi-Asset Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of AB Emerging Markets Multi-Asset Portfolio (the “Fund”) (one of the portfolios constituting AB Cap Fund, Inc. (the “Company”)), including the portfolio of investments, as of March 31, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting AB Cap Fund, Inc.) at March 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures

 

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REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM (continued)

 

included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2022, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

LOGO

We have served as the auditor of one or more of the AB investment companies since 1968.

New York, New York

May 27, 2022

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    89


 

2022 FEDERAL TAX INFORMATION

(unaudited)

 

For Federal income tax purposes, the following information is furnished with respect to the earnings of the Fund for the taxable year ended March 31, 2022.

For individual shareholders, the Fund designates 42.19% of dividends paid as qualified dividend income.

The Fund intends to make an election to pass through foreign taxes to its shareholders. For the taxable year ended March 31, 2022, $826,246 of foreign taxes may be passed through and the associated foreign source income for information reporting purposes is $4,379,018.

Shareholders should not use the above information to prepare their income tax returns. The information necessary to complete your income tax returns will be included with your Form 1099-DIV which will be sent to you separately in January 2023.

 

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BOARD OF DIRECTORS

 

Marshall C. Turner, Jr.(1),
Chairman

Jorge A. Bermudez(1)

Michael J. Downey(1)

Onur Erzan, President and

Chief Executive Officer

  

Nancy P. Jacklin(1)

Jeanette W. Loeb(1)

Carol C. McMullen(1)

Garry L. Moody(1)

OFFICERS  

Christian DiClementi(2),
Vice President

Henry S. Mallari-D’Auria(2),
Vice President

Morgan C. Harting(2),
Vice President

Emilie D. Wrapp, Secretary

  

Michael B. Reyes, Senior Vice President of the Funds

Joseph J. Mantineo, Treasurer and Chief Financial Officer

Phyllis J. Clarke, Controller

Vincent S. Noto, Chief Compliance Officer

 

Custodian and Accounting Agent

Brown Brothers Harriman & Co.
50 Post Office Square
Boston, MA 02110

 

Principal Underwriter

AllianceBernstein Investments, Inc.
501 Commerce Street
Nashville, TN 37203

 

Legal Counsel

Seward & Kissel LLP
One Battery Park Plaza
New York, NY 10004

  

Independent Registered Public Accounting Firm

Ernst & Young LLP
One Manhattan West
New York, NY 10001

 

Transfer Agent

AllianceBernstein Investor
Services, Inc.
P.O. Box 786003
San Antonio, TX 78278
Toll-Free (800) 221-5672

 

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 Emerging Markets Multi-Asset Team. Messrs. DiClementi, Harting & Mallari-D’Auria are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio.

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    91


 

MANAGEMENT OF THE FUND

 

Board of Directors Information

The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
 PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

  

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

INTERESTED DIRECTOR  

Onur Erzan,#

46

(2021)

 Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally.  73  None

 

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MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
 PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

  

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS  

Marshall C. Turner, Jr.,##

Chairman of the Board

80

(2011)

 Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semi-conductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership, and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such Funds since February 2014.  73  None
   

 

abfunds.com 

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    93


 

MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
 PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

  

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS
(continued)
  

Jorge A. Bermudez,##

71

(2020)

 Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020.  73  Moody’s Corporation since April 2011
   

 

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MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
 PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

  

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS
(continued)
  

Michael J. Downey,##

78

(2011)

 Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities Inc. He has served as a director or trustee of the AB Funds since 2005.  73  None
   

Nancy P. Jacklin,##

74

(2011)

 Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008-2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002-May 2006); Partner, Clifford Chance (1992-2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985-1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982-1985); and Attorney Advisor, U.S. Department of the Treasury (1973-1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014.  73  None
   

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    95


 

MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
 PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

  

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS
(continued)
  

Jeanette W. Loeb,##

69

(2020)

 Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as a Director of the AB Funds since April 2020.  73  

Apollo Investment Corp. (business development company) since August 2011

   

Carol C. McMullen,##

66

(2016)

 Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010-2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016.  73  None

 

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MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
 PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

  

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS
(continued)
  

Garry L. Moody,##

70

(2011)

 Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995-2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993-1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975-1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008.  73  None
   

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    97


 

MANAGEMENT OF THE FUND (continued)

 

 

*

The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P. Attention: Legal and Compliance Department, Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105.

 

**

There is no stated term of office for the Fund’s Directors.

 

***

The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund.

 

#

Mr. Erzan is an “interested person” of the Fund, as defined in the 1940 Act, due to his position as a Senior Vice President of the Adviser.

 

##

Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee.

 

  

The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI.

 

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MANAGEMENT OF THE FUND (continued)

 

Officer Information

Certain information concerning the Fund’s Officers is listed below:

 

NAME, ADDRESS*
AND AGE
  POSITION(S)
HELD WITH FUND
  PRINCIPLE OCCUPATION
DURING LAST FIVE YEARS
Onur Erzan
46
  President and Chief Executive Officer  See biography above.
    
Henry S. Mallari-D’Auria
60
  Vice President  Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer of Emerging Markets Value Equities.
    
Morgan C. Harting
50
  Vice President  Senior Vice President of the Adviser**, with which he has been associated since prior to 2017.
    
Christian DiClementi
40
  Vice President  Senior Vice President of the Adviser**, with which he has been associated since prior to 2017.
    
Emilie D. Wrapp
66
  Secretary  Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017.
    
Michael B. Reyes
45
  Senior Vice President of the Funds  Vice President of the Adviser**, with which he has been associated since prior to 2017.
    
Joseph J. Mantineo
63
  Treasurer and Chief Financial Officer  Senior Vice President of AllianceBernstein Investor Services (“ABIS”)**, with which he has been associated since prior to 2017.
    
Phyllis J. Clarke
61
  Controller  Vice President of ABIS**, with which she has been associated since prior to 2017.
    

Vincent S. Noto

57

  Chief Compliance Officer  Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017.

 

*

The address for each of the Fund’s Officers is 1345 Avenue of the Americas, New York, NY 10105.

 

**

The Adviser, ABI and ABIS are affiliates of the Fund.

 

  

The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or AB at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI.

 

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Operation and Effectiveness of the Funds’ Liquidity Risk Management Program:

In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.

One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).

Another requirement of the Liquidity Rule is for the Fund’s Board of Directors/Trustees (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).

The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.

Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.

During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.

The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.

The Adviser informed the Fund Board that the Committee believes the Funds’ LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions

 

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have been noted since the implementation of the LRMP. During the Program Reporting Period, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID 19 impacts. As such, the Program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.

 

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Information Regarding the Review and Approval of the Fund’s Advisory Agreement

The disinterested directors (the “directors”) of AB Cap Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Emerging Markets Multi-Asset Portfolio (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (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 additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.

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 and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.

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

 

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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. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. 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 at the request of the directors. 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 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund 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

 

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Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.

Fall-Out Benefits

The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund 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 Fund’s unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.

Investment Results

In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.

At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3- and 5-year periods ended February 28, 2021 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 payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. 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.

 

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The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, 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, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, 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, and rules adopted, 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, in some cases pending purchases of underlying securities, that the advisory fee for the Fund is 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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In connection with their review of the Fund’s advisory fee, 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) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. 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 expense ratio was acceptable.

Economies of Scale

The directors noted that the advisory fee schedule 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 presentations from time to time 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 bene