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: 811-23100
BERNSTEIN 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: September 30, 2017
Date of reporting period: September 30, 2017
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
BERNSTEIN FUND, INC.
Small Cap Core Portfolio
International Small Cap Portfolio
International Strategic Equities Portfolio
ANNUAL REPORT
SEPTEMBER 30, 2017
Table of Contents
Before investing in any portfolio of the Bernstein Fund, Inc., a prospective investor should consider carefully the portfolio’s investment objectives and policies, charges, expenses and risks. These and other matters of importance to prospective investors are contained in the portfolios’ prospectus, an additional copy of which may be obtained by visiting our website at www.bernstein.com and clicking on “Investments”, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports” or by calling your financial advisor or by calling Bernstein’s mutual fund shareholder help line at 212.756.4097. Please read the prospectus carefully before investing.
For performance information current to the most recent month-end, please call (collect) 212.486.5800.
This shareholder report must be preceded or accompanied by the Bernstein Fund, Inc. prospectus for individuals who are not 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 www.AllianceBernstein.com, or go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at 800.227.4618.
The Fund will file its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330.
Investment Products Offered: · Are Not FDIC Insured · May Lose Value · Are Not Bank Guaranteed
Portfolio Manager Commentary (Unaudited)
To Our Shareholders—November 15, 2017
On the following pages, you will find the 2017 annual report for the Portfolios (collectively, the “Portfolios”; and individually, a “Portfolio”) of the Bernstein Fund, Inc. (the “Fund”). The annual report covers the six- and 12-month periods ended September 30, 2017, and includes financial statements as well as notes to the financial statements, information about the recent performance of the Portfolios and a listing of each Portfolio’s holdings as of the period end.
Equity markets generally delivered exceptionally strong returns around the world during the 12-month period ended September 30, 2017. In a change from the pattern of recent years, broad index returns were stronger for non-US than US stock markets, and emerging markets did better than developed markets. US taxable and tax-exempt bond returns were positive but very low.
The stock-market rally reflected improved earnings growth after a two-year period of flat growth in the US and an extended period of weak earnings in Europe and emerging markets. Nine years after the financial crisis of 2008, markets are currently benefiting from modest economic growth around the world.
While volatility has fallen to low levels after a brief spike late last year, we expect to see volatility rise to more normal levels. Given high valuations and the likely deceleration of earnings growth going forward, we expect lower future returns from stocks in all geographies. We also expect slowly rising interest rates to result in muted bond returns.
If you have any questions about your investments in the Portfolios, please contact your Bernstein Advisor by calling 212.756.4097, or visit www.bernstein.com. As always, we are firmly dedicated to your investment success. Thank you for your continued interest in the Portfolios.
Sincerely,
Kathleen M. Fisher
President
Bernstein Fund, Inc.
Small Cap Core Portfolio
Investment Objectives and Strategy
The Portfolio seeks to provide long-term growth of capital. The Portfolio invests, under normal circumstances, at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities of small-capitalization companies or other securities or instruments with similar economic characteristics, including derivatives related to equity securities. Equity securities are primarily common stocks, although, for purposes of the 80% policy, equity securities may also include preferred stocks, warrants, convertible securities, sponsored or unsponsored American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”) and equity real estate investment trusts (“REITs”). You will be notified at least 60 days prior to any change to the Portfolio’s 80% investment policy.
AllianceBernstein L.P. serves as the Portfolio’s investment manager (the “Adviser”). The Adviser invests the assets of the Portfolio primarily in a diversified portfolio of equity securities of small-capitalization companies located in the US. The Portfolio defines small-capitalization companies as those that, at the time of investment, fall within the capitalization range between the smallest company in the Russell 2000 Index (“Russell 2000”) and the largest company in the Russell 2000. The market capitalization of the companies included in the Portfolio’s definition of “small-capitalization” companies changes over time as the capitalization of the securities included in the Russell 2000 changes.
The Adviser utilizes both quantitative analysis and fundamental research to determine which securities will be held by the Portfolio and to manage risk. The Adviser applies quantitative analysis to all of the securities in the Portfolio’s research universe, which is composed primarily of securities in the Portfolio’s benchmark. Those securities that score highly on this quantitative analysis are then screened to eliminate those securities that the Adviser is recommending against purchasing based on its fundamental research, and a portfolio is constructed from the remaining highly ranked securities based on diversification and risk considerations. In its quantitative analysis, the Adviser considers a number of metrics that have historically provided some indication of favorable future returns, including metrics relating to valuation,
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Portfolio Manager Commentary (continued)
quality, investor behavior and corporate behavior. In general, stocks are purchased when, in the view of the Adviser, they provide the highest expected returns, considering their contribution to the estimated risk of the Portfolio’s existing investments. Typically, growth in the size of a company’s market capitalization relative to other domestically traded companies does not cause the Adviser to dispose of the security. The Adviser expects to seek to manage the overall portfolio volatility of the Portfolio relative to the Russell 2000 by favoring securities that offer the best balance between return and targeted risk.
The Portfolio may also invest in exchange-traded funds (“ETFs”) and other investment companies from time to time.
The Portfolio expects to utilize derivatives, such as options, futures contracts, forwards and swaps. For example, the Portfolio may use stock index futures contracts to equitize cash. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Portfolio’s exposure.
Investment Results
The table on page 8 shows the Portfolio’s performance compared to its benchmark, the Russell 2000 Index, for the six- and 12-month periods ended September 30, 2017. Also included in the table is the Portfolio’s peer group, as represented by the Lipper Small-Cap Core Funds Average (the “Lipper Average”). Funds in the Lipper Average have generally similar investment objectives to the Portfolio, although some of the funds may have different investment policies and sales and management fees and fund expenses.
All share classes of the Portfolio underperformed the benchmark and the Lipper Average over both periods.
In early 2017, investor expectations for economic growth and inflation fell, interest rates and oil prices declined and the US dollar started to depreciate. Investors turned to a narrow set of stocks with strong secular growth potential, which led markets higher. Both high-profitability companies and attractively valued companies severely underperformed in the first three quarters of 2017. The Portfolio is heavily invested in high profitability and attractive valuation stocks, which tend to outperform in the long run. These exposures, relative to the benchmark, detracted during both periods.
The Portfolio utilized derivatives in the form of futures for investment purposes, which added to absolute performance for both periods.
International Small Cap Portfolio
Investment Objective and Strategy
The Portfolio seeks to provide long-term growth of capital. The Portfolio invests, under normal circumstances, at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities of small-capitalization companies or other securities or instruments with similar economic characteristics, including derivatives related to equity securities. Equity securities are primarily common stocks, although, for purposes of the 80% policy, equity securities may also include preferred stocks, warrants, convertible securities, sponsored or unsponsored ADRs and GDRs and equity REITs. You will be notified at least 60 days prior to any change to the Portfolio’s 80% investment policy.
AllianceBernstein L.P. serves as the Portfolio’s investment manager. The Adviser invests the assets of the Portfolio primarily in a diversified portfolio of equity securities of small-capitalization companies located outside of the United States. Under normal circumstances, at least 65% of the Portfolio’s net assets are invested in companies located outside of the United States. The Portfolio defines small-capitalization companies as those that, at the time of investment, have market capitalizations within the market capitalization range of the Portfolio’s benchmark, the Morgan Stanley Capital International (“MSCI”) All Country World Index (“ACWI”) ex-US Small Cap. The market capitalization of the companies included in the Portfolio’s definition of “small-capitalization” companies changes over time as the capitalization of the securities included in the MSCI ACWI ex-US Small Cap changes.
The Portfolio’s exposure to non-US companies may change over time based on the Adviser’s assessment of market conditions and the investment merit of non-US issuers. Under normal circumstances, the Adviser invests in companies located in at least three countries other than the United States and, at times, may have exposure to issuers in several different countries. In determining a company’s location for purposes of the Portfolio’s investment policies and restrictions, the Adviser may consider: (1) the place of domicile, (2) where the company has an established presence and conducts its business and (3) where the company conducts a significant part of its economic activities. The Portfolio may invest in both developed and emerging-market countries and, at times, may invest significantly in emerging markets.
The Adviser seeks to identify attractive investment opportunities primarily through its fundamental investment
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Portfolio Manager Commentary (continued)
research or quantitative analysis. In applying its fundamental research, the Adviser generally seeks to identify companies that possess both attractive valuation and compelling company- and/or industry-level investment catalysts. In applying its quantitative analysis, the Adviser typically considers a number of metrics that historically have provided some indication of favorable future returns, including metrics related to valuation, quality, investor behavior and corporate behavior. Utilizing these resources, the Adviser expects to allocate the Portfolio’s assets among issuers, industries and geographic locations to attempt to create a diversified portfolio of investments.
The Portfolio may invest in established companies and also in new and less-seasoned issuers. The Portfolio may also invest in ETFs and other investment companies from time to time.
The Portfolio expects to utilize derivatives, such as options, futures contracts, forwards and swaps. For example, the Portfolio may invest in currency derivatives as discussed below and in futures contracts to gain exposure to certain markets. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Portfolio’s exposure.
Fluctuations in currency exchange rates can have a dramatic impact on the returns of foreign equity securities. The Adviser may employ currency hedging strategies, including the use of currency-related derivatives, to seek to reduce currency risk in the Portfolio, but it is not required to do so. The Adviser may also take long and short positions in currencies or related derivatives for investment purposes, independent of any security positions. The Adviser may use stock index futures contracts to gain access to certain markets.
Investment Results
The table on page 8 shows the Portfolio’s performance compared to its benchmark, the MSCI ACWI ex-US Small Cap (net), for the six- and 12-month periods ended September 30, 2017. Also included in the table is the Portfolio’s peer group, as represented by the Lipper International Small/Mid-Cap Core Funds Average. Funds in the Lipper Average have generally similar investment objectives to the Portfolio, although some of the funds may have different investment policies and sales and management fees and fund expenses.
All share classes of the Portfolio outperformed the benchmark for both periods, and outperformed the Lipper Average for the six-month period, and underperformed for the 12-month period. International equity markets rallied strongly for both periods as slow but steady global economic and robust corporate earnings growth drove gains. For the 12-month period, strong stock selection in technology and industrials was partially offset by weak stock selection in health care, utilities, and financials, relative to the benchmark. Over the six-month period, strong stock selection in industrials and technology helped performance.
The Portfolio utilized derivatives in the form of currency forwards for hedging purposes, which added to absolute performance in both periods.
International Strategic Equities Portfolio
Investment Objective and Strategy
The Portfolio seeks to provide long-term growth of capital. The Portfolio invests, under normal circumstances, at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities or other securities or instruments with similar economic characteristics, including derivatives related to equity securities. Equity securities are primarily common stocks, although, for purposes of the 80% policy, equity securities may also include preferred stocks, warrants, convertible securities, sponsored or unsponsored ADRs and GDRs and equity REITs. You will be notified at least 60 days prior to any change to the Portfolio’s 80% investment policy.
AllianceBernstein L.P. serves as the Portfolio’s investment manager. The Adviser invests the assets of the Portfolio primarily (under normal circumstances, at least 65% of net assets) in equity securities of issuers in countries that make up the MSCI ACWI ex-US, which includes both developed and emerging-market countries. The Portfolio focuses on securities of large-cap and mid-cap companies. The Adviser expects to allocate fund assets among issuers in many foreign countries, but not necessarily in the same proportion that the countries are represented in the MSCI ACWI ex-US and may invest in issuers in countries outside of the MSCI ACWI ex-US. The Portfolio’s exposure among non-US countries may change over time based on the Adviser’s assessment of market conditions and the investment merit of particular non-US issuers. Under normal circumstances, the Adviser invests in companies located in at least three countries other than the United States and expects to have exposure to issuers in several different countries. In determining a company’s location for purposes of the Portfolio’s investment policies and restrictions, the Adviser may consider: (1) the place of domicile, (2) where the company has an established presence and conducts its
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Portfolio Manager Commentary (continued)
business and (3) where the company conducts a significant part of its economic activities. The Portfolio may, at times, invest significantly in emerging markets.
The Adviser utilizes both fundamental and quantitative research to both determine which securities will be held by the Portfolio and to manage risk. Specifically, the Portfolio’s management team uses the universe of securities selected by the Adviser’s various fundamental investment teams focusing on international equity securities, and applies its quantitative analysis to these securities. In applying its quantitative analysis, the Adviser considers a number of metrics that have historically provided some indication of favorable future returns, including metrics relating to valuation, quality, investor behavior and corporate behavior. Utilizing these resources, the Adviser expects to allocate the Portfolio’s assets among issuers, industries and geographic locations to attempt to create a diversified portfolio of investments.
The Portfolio may also invest in ETFs and other investment companies from time to time.
The Portfolio expects to utilize derivatives, such as options, futures contracts, forwards and swaps. For example, the Portfolio may invest in currency derivatives as discussed below and in futures contracts to gain exposure to certain markets. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Portfolio’s exposure.
Fluctuations in currency exchange rates can have a dramatic impact on the returns of foreign equity securities. The Adviser may employ currency hedging strategies, including the use of currency-related derivatives, to seek to reduce currency risk in the Portfolio, but it is not required to do so. The Adviser may also take long and short positions in currencies or related derivatives for investment purposes, independent of any security positions. The Adviser may use stock index futures contracts to gain access to certain markets.
Investment Results
The table on page 8 shows the Portfolio’s performance compared to its benchmark, the MSCI ACWI ex-US (net), for the six- and 12-month periods ended September 30, 2017. Also included in the table is the Portfolio’s peer group, as represented by the Lipper International Multi-Cap Growth Funds Average. Funds in the Lipper Average have generally similar investment objectives to the Portfolio, although some of the funds may have different investment policies and sales and management fees and fund expenses.
All share classes of the Portfolio outperformed the benchmark for both the six- and 12-month periods, and outperformed the Lipper Average for the 12-month period, and underperformed for the six-month period.
International equity markets delivered strong returns during the first nine months of 2017. The stock-market rally reflected improved economic and earnings growth in Europe and emerging markets after an extended period of weak earnings. Over the 12-month period, stock selection was the largest driver of returns versus the benchmark, with health care, consumer discretionary and financial holdings contributing most; technology, consumer staples and utilities holdings detracted modestly. Sector positioning also helped, but active currency positioning detracted.
Over the six-month period, stock selection also contributed most to relative returns; it was particularly strong within the financial, health care and consumer discretionary sectors, but detracted within technology, utilities, and energy. Sector selection also added to returns, while active currency hedges offset the drag caused by the currency positioning implicit in the stocks held.
The Portfolio utilized derivatives in the form of futures for hedging purposes, and currency forwards for hedging and investment purposes, which added to absolute performance for both periods. Currency forwards are used to reduce the level of currency risk, which was achieved.
Disclosures and Risks (Unaudited)
Benchmark Disclosures
None of the following indices or averages reflects fees and expenses associated with the active management of a mutual fund portfolio. The Russell 2000 Index measures the performance of the small-cap segment of the US equity universe. The MSCI ACWI ex-US Small Cap measures the performance of the small-cap market segment across 22 developed markets (excluding the US) and 23 emerging-market countries. The MSCI ACWI ex-US measures the performance of the large- and mid-cap market segment across 22 developed markets (excluding the US) and 23 emerging-market countries. 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. Investors cannot invest directly in an index, and their results are not indicative of the performance for any specific investment, including the Portfolios.
A Word About Risk
All Portfolios:
The share price of the Portfolios will fluctuate and you may lose money. There is no guarantee that the Portfolios will achieve their investment objectives.
Market Risk: The Portfolios are subject to market risk, which is the risk that stock prices in general may decline over short or extended periods. In the past decade, financial markets in the United States, Europe and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have an adverse impact on various securities markets. The US government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other US or non-US governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.
Current political uncertainty surrounding the European Union (“EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Liquidity Risk: Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid securities at an advantageous price. Illiquid securities may also be difficult to value. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk.
Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies may have limited product lines, markets or financial resources.
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Disclosures and Risks (continued)
Allocation Risk: The Portfolios may seek to focus on different investment disciplines or factors at different times as means to achieve their investment objectives. In the event that the investment disciplines or factors to which the Portfolios have greater exposure perform worse than the investment disciplines or factors with less exposure, the Portfolios’ returns may be negatively affected.
Derivatives Risk: The Portfolios may use derivatives in currency hedging strategies as well as for direct investments to gain access to certain markets, earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. The US government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but its decisions may not produce the desired results. In some cases, derivative and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the Adviser and could have an adverse effect on the value or performance of the Portfolios.
REIT Risk: Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, are not diversified, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Investing in REITs also involves risks similar to those associated with investing in small-capitalization companies. REITs may have limited financial resources, may trade less frequently and in a limited volume and may be subject to more abrupt or erratic price movements than larger company securities.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies, including other AB Mutual Funds and ETFs, are subject to market and selection risk. In addition, if the Portfolios acquire shares of investment companies, shareholders bear both their proportionate share of expenses in the Portfolios (including management and advisory fees) and, indirectly, the expenses of the investment companies.
International Strategic Equities and International Small Cap Portfolios
Foreign (Non-US) Securities Risk: Investments in foreign securities entail significant risks in addition to those customarily associated with investing in US securities. These risks include risks related to adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.
Country Concentration Risk: The Portfolios may not always be diversified among countries or regions and the effect on the share price of the Portfolios of specific risks identified above such as political, regulatory and currency may be magnified due to concentration of the Portfolios’ investments in a particular country or region.
Emerging Markets Securities Risk: The risks of investing in foreign (non-US) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty. In addition, the value of the Portfolios’ investments may decline
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Disclosures and Risks (continued)
because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.
Foreign Currency Risk: This is the risk that changes in foreign (non-US) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the US dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the US dollar).
Actions by a Few Major Investors: In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.
These risks are discussed in further detail in the Portfolios’ prospectus.
An Important Note About Historical Performance
The performance shown on the following pages represents past performance and does not guarantee future results. Performance information is as of the dates shown. 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 calling 212.756.4097. The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost.
Investors should consider the investment objectives, risks, charges and expenses of the Fund/Portfolios carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit www.bernstein.com, click on “Investments”, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports”, or call Bernstein’s mutual fund shareholder help line at 212.756.4097 or contact your Bernstein Advisor. Please read the prospectus and/or summary prospectus carefully before investing.
Historical Performance (Unaudited)
Bernstein Fund Portfolios vs. Their Benchmarks and Lipper Averages
| | | | | | | | | | | | | | |
| | | TOTAL RETURNS | | | AVERAGE ANNUAL TOTAL RETURNS | | | |
| THROUGH SEPTEMBER 30, 2017 | | PAST SIX
MONTHS | | | PAST 12
MONTHS | | | SINCE
INCEPTION | | | INCEPTION DATE |
Small Cap Core Portfolio1 | | | | | | | | | | | | | | 12/29/2015 |
SCB Class Shares | | | 4.99 | % | | | 15.98 | % | | | 12.15 | % | | |
Advisor Class Shares | | | 5.15 | | | | 16.29 | | | | 12.44 | | | |
Class Z Shares | | | 5.06 | | | | 16.22 | | | | 12.40 | | | |
Russell 2000 Index | | | 8.27 | | | | 20.74 | | | | 16.99 | | | |
Lipper Small-Cap Core Funds Average | | | 6.46 | | | | 18.57 | | | | 15.25 | | | |
| | | | | | | | | | | | | | | |
International Small Cap Portfolio2 | | | | | | | | | | | | | | 12/21/2015 |
SCB Class Shares | | | 14.52 | | | | 19.28 | | | | 16.03 | | | |
Advisor Class Shares | | | 14.59 | | | | 19.51 | | | | 16.21 | | | |
Class Z Shares | | | 14.59 | | | | 19.52 | | | | 16.22 | | | |
MSCI ACWI ex-US Small Cap—(net) | | | 13.57 | | | | 19.19 | | | | 16.41 | | | |
Lipper International Small/Mid-Cap Core Funds Average | | | 14.23 | | | | 20.27 | | | | 15.29 | | | |
| | | | | | | | | | | | | | | |
International Strategic Equities Portfolio3 | | | | | | | | | | | | | | 12/21/2015 |
SCB Class Shares | | | 13.91 | | | | 22.01 | | | | 15.41 | | | |
Advisor Class Shares | | | 14.08 | | | | 22.38 | | | | 15.61 | | | |
Class Z Shares | | | 14.07 | | | | 22.35 | | | | 15.65 | | | |
MSCI ACWI ex-US—(net) | | | 12.30 | | | | 19.61 | | | | 15.22 | | | |
Lipper International Multi-Cap Growth Funds Average | | | 14.34 | | | | 18.25 | | | | 13.00 | | | |
| 1 | | The current prospectus table shows the total annual operating expense ratios for the Portfolio as 1.40%, 1.15% and 1.21% for SCB Class, Advisor Class and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Portfolio’s annual operating expense ratios exclusive of acquired fund fees and expenses other than the advisory fees of any registered funds advised by the Adviser in which the Portfolio may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs to 1.30%, 1.05% and 1.05% for SCB Class, Advisor Class and Class Z shares, respectively. These waivers may not be terminated prior to January 27, 2018. Any fees waived and expenses borne by the Adviser may be reimbursed by the Portfolio until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Portfolio’s total annual operating expenses to exceed the expense limitations. 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. |
| 2 | | The current prospectus table shows the total annual operating expense ratios for the Portfolio as 1.53%, 1.22% and 1.23% for SCB Class, Advisor Class and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Portfolio’s annual operating expense ratios exclusive of acquired fund fees and expenses other than the advisory fees of any registered funds advised by the Adviser in which the Portfolio may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs to 1.35%, 1.10% and 1.10% for SCB Class, Advisor Class and Class Z shares, respectively. These waivers may not be terminated prior to January 27, 2018. Any fees waived and expenses borne by the Adviser may be reimbursed by the Portfolio until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Portfolio’s total annual operating expenses to exceed the expense limitations. 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. |
| 3 | | The current prospectus table shows the total annual operating expense ratios for the Portfolio as 1.34%, 1.06% and 1.08% for SCB Class, Advisor Class and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Portfolio’s annual operating expense ratios exclusive of acquired fund fees and expenses other than the advisory fees of any registered funds advised by the Adviser in which the Portfolio may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs, on an annualized basis, from exceeding 1.20%, 0.95% and 0.95% for SCB Class, Advisor Class and Class Z shares, respectively. These waivers may not be terminated prior to January 27, 2018. Any fees waived and expenses borne by the Adviser may be reimbursed by the Portfolio until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Portfolio’s total annual operating expenses to exceed the expense limitations. This contractual agreement may be terminated by the Board of Directors of Bernstein Fund, Inc. at its discretion prior to the expiration date. The Adviser has contractually agreed to waive 0.05% of the management fee through January 27, 2018. |
See Disclosures, Risks and Note about Historical Performance on pages 5-7.
(Historical Performance continued on next page)
Historical Performance (continued from previous page)
|
| Small Cap Core-SCB Class Shares |
Growth of a $10,000 Investment in the Portfolio |
12/29/20151 to 9/30/2017 |
|
|
|
| International Small Cap-SCB Class Shares |
Growth of a $10,000 Investment in the Portfolio |
12/21/20152 to 9/30/2017 |
|
|
|
| International Strategic Equities-SCB Class Shares |
Growth of a $10,000 Investment in the Portfolio |
12/21/20152 to 9/30/2017 |
|
| | | Past performance is no guarantee of future results and an investment in the Portfolios could lose value. Each chart illustrates the total value of an assumed $10,000 investment as compared to the performance of each Portfolio’s respective benchmark and Lipper Average for the period since inception through September 30, 2017. |
| 1 | | Inception date: 12/29/2015. |
| 2 | | Inception date: 12/21/2015. |
See Disclosures, Risks and Note about Historical Performance on pages 5-7.
Expense Example—September 30, 2017 (Unaudited)
As a shareholder of a Portfolio, you incur various ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line 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 second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’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 Portfolio 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 second line of the table 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.
| | | | | | | | | | | | | | | | |
| SMALL CAP CORE PORTFOLIO | | BEGINNING
ACCOUNT VALUE
APRIL 1, 2017 | | | ENDING
ACCOUNT VALUE
SEPTEMBER 30, 2017 | | | EXPENSES
PAID DURING
PERIOD* | | | ANNUALIZED
EXPENSE
RATIO* | |
SCB Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,049.90 | | | $ | 6.06 | | | | 1.18 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,019.15 | | | $ | 5.97 | | | | 1.18 | % |
Advisor Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,051.50 | | | $ | 4.78 | | | | 0.93 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,020.41 | | | $ | 4.71 | | | | 0.93 | % |
Class Z | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,050.60 | | | $ | 4.99 | | | | 0.97 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,020.21 | | | $ | 4.91 | | | | 0.97 | % |
| |
| | | | |
| INTERNATIONAL SMALL CAP PORTFOLIO | | BEGINNING
ACCOUNT VALUE
APRIL 1, 2017 | | | ENDING
ACCOUNT VALUE
SEPTEMBER 30, 2017 | | | EXPENSES
PAID DURING
PERIOD* | | | ANNUALIZED
EXPENSE
RATIO* | |
SCB Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,145.20 | | | $ | 7.26 | | | | 1.35 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,018.30 | | | $ | 6.83 | | | | 1.35 | % |
Advisor Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,145.90 | | | $ | 5.92 | | | | 1.10 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,019.55 | | | $ | 5.57 | | | | 1.10 | % |
Class Z | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,145.90 | | | $ | 5.92 | | | | 1.10 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,019.55 | | | $ | 5.57 | | | | 1.10 | % |
| |
| | | | |
| INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO | | BEGINNING
ACCOUNT VALUE
APRIL 1, 2017 | | | ENDING
ACCOUNT VALUE
SEPTEMBER 30, 2017 | | | EXPENSES
PAID DURING
PERIOD* | | | ANNUALIZED
EXPENSE
RATIO* | |
SCB Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,139.10 | | | $ | 6.27 | | | | 1.17 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,019.20 | | | $ | 5.92 | | | | 1.17 | % |
Advisor Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,140.80 | | | $ | 4.94 | | | | 0.92 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,020.46 | | | $ | 4.66 | | | | 0.92 | % |
Class Z | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,140.70 | | | $ | 5.10 | | | | 0.95 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,020.31 | | | $ | 4.81 | | | | 0.95 | % |
| |
| * | | Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
| ** | | Assumes 5% annual return before expenses. |
Portfolio Summary—September 30, 2017 (Unaudited)
| | | | | | |
| Small Cap Core Portfolio |
| Sector Breakdown1 | | | |
Financials | | | 18.6 | % | | |
Information Technology | | | 17.2 | | | |
Industrials | | | 15.9 | | | |
Health Care | | | 13.8 | | | |
Consumer Discretionary | | | 13.4 | | | |
Real Estate | | | 6.2 | | | |
Energy | | | 4.6 | | | |
Materials | | | 4.1 | | | |
Utilities | | | 3.4 | | | |
Consumer Staples | | | 2.4 | | | |
Telecommunication Services | | | 0.4 | | | |
| | | | | | |
| International Small Cap Portfolio |
| Sector Breakdown1 | | | Country Breakdown1 |
Industrials | | | 20.1 | % | |  |
Consumer Discretionary | | | 19.4 | | |
Information Technology | | | 15.8 | | |
Materials | | | 10.2 | | |
Consumer Staples | | | 9.6 | | |
Financials | | | 9.5 | | |
Real Estate | | | 4.4 | | |
Health Care | | | 4.4 | | |
Energy | | | 2.7 | | |
Utilities | | | 1.7 | | |
Telecommunication Services | | | 1.7 | | |
Funds and Investment Trusts | | | 0.5 | | |
| | | | | | |
| International Strategic Equities Portfolio |
| Sector Breakdown1 | | | Country Breakdown1 |
Financials | | | 20.9 | % | |  |
Information Technology | | | 19.3 | | |
Industrials | | | 18.5 | | |
Consumer Discretionary | | | 11.9 | | |
Health Care | | | 7.2 | | |
Consumer Staples | | | 7.2 | | |
Telecommunication Services | | | 4.6 | | |
Energy | | | 3.3 | | |
Materials | | | 2.8 | | |
Real Estate | | | 2.8 | | |
Utilities | | | 1.5 | | |
| 1 | | All data are as of September 30, 2017. The Portfolio’s country and sector breakdowns are expressed as a percentage of each Portfolio’s long-term investments and may vary over time. Each Portfolio may also invest in other financial instruments, including derivative instruments, which provide investment exposure to a variety of asset classes (see “Schedule of Investments” section of the Small Cap Core, International Small Cap and International Strategic Equities Portfolios). |
| 2 | | “Other” represents 6.3% in MSCI EM Index countries and 12.5% in MSCI EAFE Index countries and 1.0% in other emerging market countries. |
| 3 | | “Other” represents 1.4% in MSCI EM Index countries and 14.7% in MSCI EAFE Index countries. |
| | | Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Schedule of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolios’ prospectus. |
Schedule of Investments
Bernstein Fund, Inc.
Schedule of Investments
Small Cap Core Portfolio
September 30, 2017
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| COMMON STOCKS–99.5% | |
| Financials–18.5% | |
| Banks–10.3% | |
1st Source Corp. | | | 30,300 | | | $ | 1,539,240 | |
Associated Banc-Corp. | | | 34,000 | | | | 824,500 | |
Bank of NT Butterfield & Son Ltd. (The) | | | 48,680 | | | | 1,783,635 | |
Banner Corp. | | | 28,960 | | | | 1,774,669 | |
Cathay General Bancorp | | | 126,410 | | | | 5,081,682 | |
City Holding Co. | | | 45,490 | | | | 3,271,186 | |
Community Trust Bancorp, Inc. | | | 55,330 | | | | 2,572,845 | |
Customers Bancorp, Inc.(a) | | | 97,780 | | | | 3,189,584 | |
Eagle Bancorp, Inc.(a) | | | 20,470 | | | | 1,372,513 | |
Enterprise Financial Services Corp. | | | 19,650 | | | | 832,178 | |
Farmers Capital Bank Corp. | | | 27,840 | | | | 1,170,672 | |
FCB Financial Holdings, Inc.–Class A(a) | | | 69,120 | | | | 3,338,496 | |
Fidelity Southern Corp. | | | 28,980 | | | | 685,087 | |
First Citizens BancShares, Inc./NC–Class A | | | 8,310 | | | | 3,107,026 | |
First Commonwealth Financial Corp. | | | 103,560 | | | | 1,463,303 | |
First Financial Corp./IN | | | 59,830 | | | | 2,847,908 | |
First Interstate BancSystem, Inc. | | | 35,950 | | | | 1,375,087 | |
Flushing Financial Corp. | | | 64,930 | | | | 1,929,720 | |
Great Southern Bancorp, Inc. | | | 34,950 | | | | 1,944,967 | |
Great Western Bancorp, Inc. | | | 94,150 | | | | 3,886,512 | |
Hanmi Financial Corp. | | | 99,610 | | | | 3,082,929 | |
Heritage Financial Corp./WA | | | 82,340 | | | | 2,429,030 | |
Hilltop Holdings, Inc. | | | 172,730 | | | | 4,490,980 | |
Home BancShares, Inc./AR | | | 33,670 | | | | 849,157 | |
Hope Bancorp, Inc. | | | 84,690 | | | | 1,499,860 | |
International Bancshares Corp. | | | 114,340 | | | | 4,585,034 | |
LegacyTexas Financial Group, Inc. | | | 42,580 | | | | 1,699,794 | |
MBT Financial Corp. | | | 103,620 | | | | 1,134,639 | |
Preferred Bank/Los Angeles CA | | | 16,390 | | | | 989,137 | |
Republic Bancorp, Inc./KY–Class A | | | 66,840 | | | | 2,599,408 | |
ServisFirst Bancshares, Inc. | | | 31,100 | | | | 1,208,235 | |
State Bank Financial Corp. | | | 63,720 | | | | 1,825,578 | |
Sterling Bancorp/DE | | | 94,420 | | | | 2,327,453 | |
TCF Financial Corp. | | | 106,260 | | | | 1,810,670 | |
Texas Capital Bancshares, Inc.(a) | | | 54,620 | | | | 4,686,396 | |
Umpqua Holdings Corp. | | | 235,820 | | | | 4,600,848 | |
Western Alliance Bancorp(a) | | | 68,770 | | | | 3,650,312 | |
Wintrust Financial Corp. | | | 36,040 | | | | 2,822,292 | |
Xenith Bankshares, Inc.(a) | | | 33,620 | | | | 1,092,650 | |
| | | | | | | | |
| | | | | | | 91,375,212 | |
| | | | | | | | |
| Capital Markets–0.8% | |
BGC Partners, Inc.–Class A | | | 64,350 | | | | 931,145 | |
Evercore, Inc.–Class A | | | 22,330 | | | | 1,791,982 | |
Houlihan Lokey, Inc. | | | 34,360 | | | | 1,344,507 | |
Lazard Ltd.–Class A | | | 17,920 | | | | 810,342 | |
Stifel Financial Corp. | | | 44,400 | | | | 2,373,624 | |
| | | | | | | | |
| | | | | | | 7,251,600 | |
| | | | | | | | |
| | | | | | | | |
| Consumer Finance–0.5% | |
Nelnet, Inc.–Class A | | | 58,550 | | | $ | 2,956,775 | |
OneMain Holdings, Inc.(a) | | | 61,460 | | | | 1,732,558 | |
| | | | | | | | |
| | | | | | | 4,689,333 | |
| | | | | | | | |
| Insurance–3.0% | |
American Equity Investment Life Holding Co. | | | 28,984 | | | | 842,855 | |
Assured Guaranty Ltd. | | | 80,320 | | | | 3,032,080 | |
CNO Financial Group, Inc. | | | 198,840 | | | | 4,640,926 | |
Employers Holdings, Inc. | | | 53,680 | | | | 2,439,756 | |
Fidelity & Guaranty Life | | | 31,990 | | | | 993,289 | |
First American Financial Corp. | | | 25,470 | | | | 1,272,736 | |
HCI Group, Inc. | | | 31,620 | | | | 1,209,465 | |
National Western Life Group, Inc.–Class A | | | 5,200 | | | | 1,814,800 | |
Primerica, Inc. | | | 41,970 | | | | 3,422,653 | |
Third Point Reinsurance Ltd.(a) | | | 254,200 | | | | 3,965,520 | |
Universal Insurance Holdings, Inc. | | | 109,810 | | | | 2,525,630 | |
| | | | | | | | |
| | | | | | | 26,159,710 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (REITs)–0.8% | |
AG Mortgage Investment Trust, Inc. | | | 96,120 | | | | 1,849,349 | |
ARMOUR Residential REIT, Inc. | | | 73,540 | | | | 1,978,226 | |
MTGE Investment Corp. | | | 108,540 | | | | 2,105,676 | |
PennyMac Mortgage Investment Trust | | | 72,260 | | | | 1,256,601 | |
| | | | | | | | |
| | | | | | | 7,189,852 | |
| | | | | | | | |
| Thrifts & Mortgage Finance–3.1% | |
BofI Holding, Inc.(a) | | | 89,110 | | | | 2,536,962 | |
Essent Group Ltd.(a) | | | 75,680 | | | | 3,065,040 | |
Federal Agricultural Mortgage Corp.–Class C | | | 23,060 | | | | 1,677,384 | |
HomeStreet, Inc.(a) | | | 26,220 | | | | 707,940 | |
LendingTree, Inc.(a) | | | 4,510 | | | | 1,102,469 | |
MGIC Investment Corp.(a) | | | 454,300 | | | | 5,692,379 | |
NMI Holdings, Inc.–Class A(a) | | | 217,990 | | | | 2,703,076 | |
Radian Group, Inc. | | | 287,290 | | | | 5,369,450 | |
Walker & Dunlop, Inc.(a) | | | 81,920 | | | | 4,286,874 | |
| | | | | | | | |
| | | | | | | 27,141,574 | |
| | | | | | | | |
| | | | | | | 163,807,281 | |
| | | | | | | | |
| | | | | | | | |
| |
| Information Technology–17.1% | |
| Communications Equipment–1.7% | |
Comtech Telecommunications Corp. | | | 32,970 | | | | 676,874 | |
Extreme Networks, Inc.(a) | | | 265,980 | | | | 3,162,502 | |
Finisar Corp.(a) | | | 35,460 | | | | 786,148 | |
InterDigital, Inc./PA | | | 37,710 | | | | 2,781,113 | |
Lumentum Holdings, Inc.(a) | | | 31,490 | | | | 1,711,482 | |
NETGEAR, Inc.(a) | | | 72,010 | | | | 3,427,676 | |
Oclaro, Inc.(a) | | | 249,070 | | | | 2,149,474 | |
| | | | | | | | |
| | | | | | | 14,695,269 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components–5.4% | |
Anixter International, Inc.(a) | | | 58,700 | | | | 4,989,500 | |
Belden, Inc. | | | 22,470 | | | | 1,809,509 | |
Benchmark Electronics, Inc.(a) | | | 123,850 | | | | 4,229,477 | |
Celestica, Inc. (Toronto)(a) | | | 284,530 | | | | 3,522,481 | |
Control4 Corp.(a) | | | 39,640 | | | | 1,167,794 | |
ePlus, Inc.(a) | | | 15,380 | | | | 1,421,881 | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Fitbit, Inc.(a) | | | 315,990 | | | $ | 2,199,290 | |
II-VI, Inc.(a) | | | 49,980 | | | | 2,056,677 | |
Insight Enterprises, Inc.(a) | | | 54,530 | | | | 2,504,018 | |
Jabil, Inc. | | | 123,330 | | | | 3,521,072 | |
KEMET Corp.(a) | | | 64,250 | | | | 1,357,603 | |
Littelfuse, Inc. | | | 18,460 | | | | 3,615,945 | |
Methode Electronics, Inc. | | | 59,480 | | | | 2,518,978 | |
Rogers Corp.(a) | | | 11,464 | | | | 1,527,922 | |
Sanmina Corp.(a) | | | 133,120 | | | | 4,945,408 | |
SYNNEX Corp. | | | 23,200 | | | | 2,935,032 | |
Tech Data Corp.(a) | | | 15,380 | | | | 1,366,513 | |
TTM Technologies, Inc.(a) | | | 156,580 | | | | 2,406,635 | |
| | | | | | | | |
| | | | | | | 48,095,735 | |
| | | | | | | | |
| Internet Software & Services–1.8% | |
Bankrate, Inc.(a) | | | 83,560 | | | | 1,165,662 | |
Blucora, Inc.(a) | | | 97,540 | | | | 2,467,762 | |
LogMeIn, Inc. | | | 15,640 | | | | 1,721,182 | |
Stamps.com, Inc.(a) | | | 15,590 | | | | 3,159,313 | |
Trade Desk, Inc. (The)–Class A(a) | | | 56,470 | | | | 3,473,470 | |
Web.com Group, Inc.(a) | | | 154,140 | | | | 3,853,500 | |
| | | | | | | | |
| | | | | | | 15,840,889 | |
| | | | | | | | |
| IT Services–2.8% | |
Booz Allen Hamilton Holding Corp. | | | 94,680 | | | | 3,540,085 | |
CACI International, Inc.–Class A(a) | | | 35,950 | | | | 5,009,633 | |
Convergys Corp. | | | 110,100 | | | | 2,850,489 | |
EVERTEC, Inc. | | | 112,560 | | | | 1,784,076 | |
Hackett Group, Inc. (The) | | | 40,970 | | | | 622,334 | |
MAXIMUS, Inc. | | | 55,360 | | | | 3,570,720 | |
Perficient, Inc.(a) | | | 106,530 | | | | 2,095,445 | |
Science Applications International Corp. | | | 36,703 | | | | 2,453,596 | |
WNS Holdings Ltd. (ADR)(a) | | | 69,700 | | | | 2,544,050 | |
| | | | | | | | |
| | | | | | | 24,470,428 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment–3.3% | |
Advanced Energy Industries, Inc.(a) | | | 64,120 | | | | 5,178,331 | |
Ambarella, Inc.(a) | | | 21,820 | | | | 1,069,398 | |
Amkor Technology, Inc.(a) | | | 45,830 | | | | 483,507 | |
Brooks Automation, Inc. | | | 60,300 | | | | 1,830,708 | |
Cabot Microelectronics Corp. | | | 22,110 | | | | 1,767,252 | |
Cirrus Logic, Inc.(a) | | | 14,160 | | | | 755,011 | |
Kulicke & Soffa Industries, Inc.(a) | | | 86,830 | | | | 1,872,923 | |
Microsemi Corp.(a) | | | 25,690 | | | | 1,322,521 | |
MKS Instruments, Inc. | | | 56,380 | | | | 5,325,091 | |
Rudolph Technologies, Inc.(a) | | | 46,990 | | | | 1,235,837 | |
Semtech Corp.(a) | | | 53,310 | | | | 2,001,790 | |
Silicon Laboratories, Inc.(a) | | | 23,320 | | | | 1,863,268 | |
Synaptics, Inc.(a) | | | 14,520 | | | | 568,894 | |
Ultra Clean Holdings, Inc.(a) | | | 49,350 | | | | 1,511,097 | |
Versum Materials, Inc. | | | 70,090 | | | | 2,720,894 | |
| | | | | | | | |
| | | | | | | 29,506,522 | |
| | | | | | | | |
| Software–1.7% | |
Aspen Technology, Inc.(a) | | | 78,120 | | | | 4,906,717 | |
Blackbaud, Inc. | | | 5,380 | | | | 472,364 | |
Fair Isaac Corp. | | | 37,290 | | | | 5,239,245 | |
Progress Software Corp. | | | 111,950 | | | | 4,273,132 | |
| | | | | | | | |
Zix Corp.(a) | | | 114,880 | | | $ | 561,763 | |
| | | | | | | | |
| | | | | | | 15,453,221 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals–0.4% | |
Travelport Worldwide Ltd. | | | 218,250 | | | | 3,426,525 | |
| | | | | | | | |
| | | | | | | 151,488,589 | |
| | | | | | | | |
| | | | | | | | |
| | |
| Industrials–15.8% | | | | | |
| Aerospace & Defense–0.7% | | | | | |
Curtiss-Wright Corp. | | | 28,490 | | | | 2,978,345 | |
National Presto Industries, Inc. | | | 16,560 | | | | 1,762,812 | |
Vectrus, Inc.(a) | | | 60,980 | | | | 1,880,623 | |
| | | | | | | | |
| | | | | | | 6,621,780 | |
| | | | | | | | |
| Air Freight & Logistics–0.4% | |
Forward Air Corp. | | | 40,070 | | | | 2,293,206 | |
XPO Logistics, Inc.(a) | | | 20,360 | | | | 1,380,001 | |
| | | | | | | | |
| | | | | | | 3,673,207 | |
| | | | | | | | |
| Airlines–0.1% | |
Hawaiian Holdings, Inc.(a) | | | 14,660 | | | | 550,483 | |
| | | | | | | | |
| Building Products–1.9% | |
Apogee Enterprises, Inc. | | | 49,860 | | | | 2,406,244 | |
Builders FirstSource, Inc.(a) | | | 239,900 | | | | 4,315,801 | |
Continental Building Products, Inc.(a) | | | 105,970 | | | | 2,755,220 | |
Gibraltar Industries, Inc.(a) | | | 23,640 | | | | 736,386 | |
PGT Innovations, Inc.(a) | | | 140,850 | | | | 2,105,708 | |
Ply Gem Holdings, Inc.(a) | | | 146,990 | | | | 2,506,179 | |
Trex Co., Inc.(a) | | | 17,760 | | | | 1,599,643 | |
| | | | | | | | |
| | | | | | | 16,425,181 | |
| | | | | | | | |
| Commercial Services & Supplies–2.0% | |
ACCO Brands Corp.(a) | | | 87,930 | | | | 1,046,367 | |
Casella Waste Systems, Inc.–Class A(a) | | | 65,060 | | | | 1,223,128 | |
Deluxe Corp. | | | 72,290 | | | | 5,274,278 | |
Ennis, Inc. | | | 91,810 | | | | 1,804,066 | |
Kimball International, Inc.–Class B | | | 160,660 | | | | 3,176,248 | |
Quad/Graphics, Inc. | | | 73,250 | | | | 1,656,183 | |
Steelcase, Inc.–Class A | | | 68,860 | | | | 1,060,444 | |
Tetra Tech, Inc. | | | 34,010 | | | | 1,583,166 | |
Viad Corp. | | | 15,900 | | | | 968,310 | |
| | | | | | | | |
| | | | | | | 17,792,190 | |
| | | | | | | | |
| Construction & Engineering–2.6% | |
AECOM(a) | | | 75,850 | | | | 2,792,039 | |
Argan, Inc. | | | 46,040 | | | | 3,096,190 | |
Comfort Systems USA, Inc. | | | 42,270 | | | | 1,509,039 | |
EMCOR Group, Inc. | | | 75,720 | | | | 5,253,454 | |
Jacobs Engineering Group, Inc. | | | 68,950 | | | | 4,017,716 | |
MasTec, Inc.(a) | | | 67,650 | | | | 3,138,960 | |
Primoris Services Corp. | | | 32,248 | | | | 948,736 | |
Tutor Perini Corp.(a) | | | 74,370 | | | | 2,112,108 | |
| | | | | | | | |
| | | | | | | 22,868,242 | |
| | | | | | | | |
| Electrical Equipment–0.8% | |
Generac Holdings, Inc.(a) | | | 102,730 | | | | 4,718,389 | |
General Cable Corp. | | | 66,970 | | | | 1,262,384 | |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Regal Beloit Corp. | | | 16,480 | | | $ | 1,301,920 | |
| | | | | | | | |
| | | | | | | 7,282,693 | |
| | | | | | | | |
| Machinery–2.7% | |
Alamo Group, Inc. | | | 12,710 | | | | 1,364,672 | |
Donaldson Co., Inc. | | | 47,240 | | | | 2,170,205 | |
Global Brass & Copper Holdings, Inc. | | | 81,910 | | | | 2,768,558 | |
Greenbrier Cos., Inc. (The) | | | 20,800 | | | | 1,001,520 | |
Kadant, Inc. | | | 31,200 | | | | 3,074,760 | |
Lincoln Electric Holdings, Inc. | | | 27,260 | | | | 2,499,197 | |
Meritor, Inc.(a) | | | 183,290 | | | | 4,767,373 | |
Oshkosh Corp. | | | 32,420 | | | | 2,675,947 | |
Wabash National Corp. | | | 142,040 | | | | 3,241,353 | |
| | | | | | | | |
| | | | | | | 23,563,585 | |
| | | | | | | | |
| Professional Services–1.4% | |
ICF International, Inc.(a) | | | 40,890 | | | | 2,206,016 | |
Insperity, Inc. | | | 25,610 | | | | 2,253,680 | |
On Assignment, Inc.(a) | | | 36,750 | | | | 1,972,740 | |
RPX Corp.(a) | | | 83,280 | | | | 1,105,958 | |
TriNet Group, Inc.(a) | | | 60,240 | | | | 2,025,269 | |
TrueBlue, Inc.(a) | | | 138,460 | | | | 3,108,427 | |
| | | | | | | | |
| | | | | | | 12,672,090 | |
| | | | | | | | |
| Road & Rail –1.0% | |
ArcBest Corp. | | | 28,620 | | | | 957,339 | |
Knight-Swift Transportation Holdings, Inc.(a) | | | 54,167 | | | | 2,250,639 | |
Ryder System, Inc. | | | 37,440 | | | | 3,165,552 | |
Saia, Inc.(a) | | | 40,060 | | | | 2,509,759 | |
| | | | | | | | |
| | | | | | | 8,883,289 | |
| | | | | | | | |
| Trading Companies & Distributors–2.2% | |
Applied Industrial Technologies, Inc. | | | 53,440 | | | | 3,516,352 | |
Beacon Roofing Supply, Inc.(a) | | | 52,340 | | | | 2,682,425 | |
GATX Corp. | | | 30,290 | | | | 1,864,652 | |
H&E Equipment Services, Inc. | | | 113,730 | | | | 3,320,916 | |
MRC Global, Inc.(a) | | | 132,280 | | | | 2,313,577 | |
Neff Corp.(a) | | | 36,070 | | | | 901,750 | |
Rush Enterprises, Inc.–Class A(a) | | | 75,060 | | | | 3,474,528 | |
Titan Machinery, Inc.(a) | | | 95,870 | | | | 1,488,861 | |
| | | | | | | | |
| | | | | | | 19,563,061 | |
| | | | | | | | |
| | | | | | | 139,895,801 | |
| | | | | | | | |
| | | | | | | | |
| |
| Health Care–13.7% | |
| Biotechnology–5.6% | |
Aimmune Therapeutics, Inc.(a) | | | 32,510 | | | | 805,923 | |
Amicus Therapeutics, Inc.(a) | | | 131,990 | | | | 1,990,409 | |
Arena Pharmaceuticals, Inc.(a) | | | 33,311 | | | | 849,431 | |
Audentes Therapeutics, Inc.(a) | | | 35,230 | | | | 986,792 | |
Avexis, Inc.(a) | | | 15,530 | | | | 1,502,217 | |
BeiGene Ltd. (ADR)(a) | | | 9,840 | | | | 1,018,046 | |
Biohaven Pharmaceutical Holding Co., Ltd.(a) | | | 22,800 | | | | 852,264 | |
BioSpecifics Technologies Corp.(a) | | | 12,970 | | | | 603,364 | |
Bluebird Bio, Inc.(a) | | | 13,180 | | | | 1,810,273 | |
Blueprint Medicines Corp.(a) | | | 32,060 | | | | 2,233,620 | |
Clovis Oncology, Inc.(a) | | | 29,750 | | | | 2,451,400 | |
| | | | | | | | |
Cytokinetics, Inc.(a) | | | 77,970 | | | $ | 1,130,565 | |
CytomX Therapeutics, Inc.(a) | | | 54,690 | | | | 993,717 | |
Dynavax Technologies Corp.(a) | | | 64,570 | | | | 1,388,255 | |
Eagle Pharmaceuticals, Inc./DE(a) | | | 17,710 | | | | 1,056,224 | |
Emergent BioSolutions, Inc.(a) | | | 37,660 | | | | 1,523,347 | |
Enanta Pharmaceuticals, Inc.(a) | | | 28,480 | | | | 1,332,864 | |
Exact Sciences Corp.(a) | | | 68,870 | | | | 3,245,155 | |
FibroGen, Inc.(a) | | | 45,660 | | | | 2,456,508 | |
Genomic Health, Inc.(a) | | | 33,970 | | | | 1,090,097 | |
Ligand Pharmaceuticals, Inc.(a) | | | 15,450 | | | | 2,103,518 | |
Loxo Oncology, Inc.(a) | | | 19,263 | | | | 1,774,508 | |
Myriad Genetics, Inc.(a) | | | 63,820 | | | | 2,309,008 | |
Neurocrine Biosciences, Inc.(a) | | | 15,230 | | | | 933,294 | |
Portola Pharmaceuticals, Inc.(a) | | | 28,810 | | | | 1,556,604 | |
Prothena Corp. PLC(a) | | | 29,700 | | | | 1,923,669 | |
Puma Biotechnology, Inc.(a) | | | 16,650 | | | | 1,993,838 | |
Radius Health, Inc.(a) | | | 15,660 | | | | 603,693 | |
Retrophin, Inc.(a) | | | 52,450 | | | | 1,305,481 | |
Sage Therapeutics, Inc.(a) | | | 14,910 | | | | 928,893 | |
Sangamo Therapeutics, Inc.(a) | | | 95,942 | | | | 1,439,130 | |
Sarepta Therapeutics, Inc.(a) | | | 34,690 | | | | 1,573,538 | |
Spark Therapeutics, Inc.(a) | | | 6,110 | | | | 544,768 | |
Vanda Pharmaceuticals, Inc.(a) | | | 47,060 | | | | 842,374 | |
| | | | | | | | |
| | | | | | | 49,152,787 | |
| | | | | | | | |
| Health Care Equipment & Supplies–2.9% | |
AngioDynamics, Inc.(a) | | | 110,250 | | | | 1,884,173 | |
Cardiovascular Systems, Inc.(a) | | | 26,740 | | | | 752,731 | |
CONMED Corp. | | | 43,960 | | | | 2,306,581 | |
Cutera, Inc.(a) | | | 15,700 | | | | 649,195 | |
Globus Medical, Inc.–Class A(a) | | | 55,810 | | | | 1,658,673 | |
Halyard Health, Inc.(a) | | | 75,660 | | | | 3,406,970 | |
Heska Corp.(a) | | | 8,590 | | | | 756,693 | |
Inogen, Inc.(a) | | | 9,720 | | | | 924,372 | |
Integer Holdings Corp.(a) | | | 66,680 | | | | 3,410,682 | |
Lantheus Holdings, Inc.(a) | | | 60,370 | | | | 1,074,586 | |
LeMaitre Vascular, Inc. | | | 17,680 | | | | 661,586 | |
Masimo Corp.(a) | | | 29,390 | | | | 2,543,998 | |
Merit Medical Systems, Inc.(a) | | | 40,820 | | | | 1,728,727 | |
OraSure Technologies, Inc.(a) | | | 63,590 | | | | 1,430,775 | |
Orthofix International NV(a) | | | 59,920 | | | | 2,831,220 | |
| | | | | | | | |
| | | | | | | 26,020,962 | |
| | | | | | | | |
| Health Care Providers & Services–2.7% | |
Amedisys, Inc.(a) | | | 63,420 | | | | 3,548,983 | |
Chemed Corp. | | | 24,240 | | | | 4,897,692 | |
HealthSouth Corp. | | | 38,530 | | | | 1,785,865 | |
LHC Group, Inc.(a) | | | 40,970 | | | | 2,905,592 | |
Molina Healthcare, Inc.(a) | | | 60,060 | | | | 4,129,726 | |
Owens & Minor, Inc. | | | 19,700 | | | | 575,240 | |
PharMerica Corp.(a) | | | 43,150 | | | | 1,264,295 | |
WellCare Health Plans, Inc.(a) | | | 25,720 | | | | 4,417,153 | |
| | | | | | | | |
| | | | | | | 23,524,546 | |
| | | | | | | | |
| Health Care Technology–0.3% | |
Quality Systems, Inc.(a) | | | 183,550 | | | | 2,887,242 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| Life Sciences Tools & Services–0.5% | |
Enzo Biochem, Inc.(a) | | | 85,950 | | | $ | 899,896 | |
INC Research Holdings, Inc.–Class A(a) | | | 22,310 | | | | 1,166,813 | |
PRA Health Sciences, Inc.(a) | | | 31,370 | | | | 2,389,453 | |
| | | | | | | | |
| | | | | | | 4,456,162 | |
| | | | | | | | |
| Pharmaceuticals–1.7% | |
Aerie Pharmaceuticals, Inc.(a) | | | 28,210 | | | | 1,371,006 | |
Catalent, Inc.(a) | | | 72,810 | | | | 2,906,575 | |
Corcept Therapeutics, Inc.(a) | | | 126,060 | | | | 2,432,958 | |
Impax Laboratories, Inc.(a) | | | 90,520 | | | | 1,837,556 | |
Innoviva, Inc.(a) | | | 149,790 | | | | 2,115,035 | |
Intersect ENT, Inc.(a) | | | 38,170 | | | | 1,188,995 | |
Phibro Animal Health Corp.–Class A | | | 48,720 | | | | 1,805,076 | |
Supernus Pharmaceuticals, Inc.(a) | | | 44,770 | | | | 1,790,800 | |
| | | | | | | | |
| | | | | | | 15,448,001 | |
| | | | | | | | |
| | | | | | | 121,489,700 | |
| | | | | | | | |
| | | | | | | | |
| |
| Consumer Discretionary–13.4% | |
| Auto Components–2.4% | |
American Axle & Manufacturing Holdings, Inc.(a) | | | 142,270 | | | | 2,501,107 | |
Cooper Tire & Rubber Co. | | | 45,300 | | | | 1,694,220 | |
Cooper-Standard Holdings, Inc.(a) | | | 40,020 | | | | 4,641,119 | |
Dana, Inc. | | | 119,370 | | | | 3,337,585 | |
Dorman Products, Inc.(a) | | | 20,660 | | | | 1,479,669 | |
LCI Industries | | | 14,610 | | | | 1,692,569 | |
Stoneridge, Inc.(a) | | | 82,530 | | | | 1,634,919 | |
Superior Industries International, Inc. | | | 33,650 | | | | 560,273 | |
Tenneco, Inc. | | | 67,900 | | | | 4,119,493 | |
| | | | | | | | |
| | | | | | | 21,660,954 | |
| | | | | | | | |
| Automobiles–0.3% | | | | | |
Thor Industries, Inc. | | | 22,590 | | | | 2,844,307 | |
| | | | | | | | |
| Diversified Consumer Services–1.7% | | | | | |
Adtalem Global Education, Inc. | | | 74,940 | | | | 2,686,599 | |
Grand Canyon Education, Inc.(a) | | | 31,500 | | | | 2,860,830 | |
Houghton Mifflin Harcourt Co.(a) | | | 76,110 | | | | 917,126 | |
K12, Inc.(a) | | | 145,510 | | | | 2,595,898 | |
Sotheby’s(a) | | | 51,040 | | | | 2,353,454 | |
Strayer Education, Inc. | | | 36,820 | | | | 3,213,281 | |
Weight Watchers International, Inc.(a) | | | 8,450 | | | | 367,998 | |
| | | | | | | | |
| | | | | | | 14,995,186 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure–2.5% | | | | | |
Brinker International, Inc. | | | 35,600 | | | | 1,134,216 | |
Churchill Downs, Inc. | | | 10,300 | | | | 2,123,860 | |
Cracker Barrel Old Country Store, Inc. | | | 9,450 | | | | 1,432,809 | |
Denny’s Corp.(a) | | | 230,290 | | | | 2,867,110 | |
Papa John’s International, Inc. | | | 22,770 | | | | 1,663,804 | |
Pinnacle Entertainment, Inc.(a) | | | 145,900 | | | | 3,109,129 | |
Red Robin Gourmet Burgers, Inc.(a) | | | 48,340 | | | | 3,238,780 | |
Ruth’s Hospitality Group, Inc. | | | 124,710 | | | | 2,612,675 | |
Scientific Games Corp.–Class A(a) | | | 36,810 | | | | 1,687,739 | |
Texas Roadhouse, Inc.–Class A | | | 44,910 | | | | 2,206,877 | |
| | | | | | | | |
| | | | | | | 22,076,999 | |
| | | | | | | | |
| | | | | | | | |
| Household Durables–1.6% | | | | | |
Beazer Homes USA, Inc.(a) | | | 92,900 | | | $ | 1,740,946 | |
CalAtlantic Group, Inc. | | | 25,400 | | | | 930,402 | |
Ethan Allen Interiors, Inc. | | | 94,480 | | | | 3,061,152 | |
Flexsteel Industries, Inc. | | | 29,810 | | | | 1,511,367 | |
Hooker Furniture Corp. | | | 21,690 | | | | 1,035,697 | |
KB Home | | | 78,930 | | | | 1,903,792 | |
MDC Holdings, Inc. | | | 72,280 | | | | 2,400,419 | |
NACCO Industries, Inc.–Class A | | | 13,310 | | | | 1,141,998 | |
| | | | | | | | |
| | | | | | | 13,725,773 | |
| | | | | | | | |
| Internet & Direct Marketing Retail–0.4% | | | | | |
HSN, Inc. | | | 35,390 | | | | 1,381,979 | |
Nutrisystem, Inc. | | | 35,910 | | | | 2,007,369 | |
| | | | | | | | |
| | | | | | | 3,389,348 | |
| | | | | | | | |
| Media–0.4% | | | | | |
AMC Entertainment Holdings, Inc.–Class A | | | 78,940 | | | | 1,160,418 | |
Gray Television, Inc.(a) | | | 59,340 | | | | 931,638 | |
Regal Entertainment Group–Class A | | | 104,150 | | | | 1,666,400 | |
| | | | | | | | |
| | | | | | | 3,758,456 | |
| | | | | | | | |
| Multiline Retail–0.4% | | | | | |
Big Lots, Inc. | | | 54,510 | | | | 2,920,101 | |
Ollie’s Bargain Outlet Holdings, Inc.(a) | | | 20,470 | | | | 949,808 | |
| | | | | | | | |
| | | | | | | 3,869,909 | |
| | | | | | | | |
| Specialty Retail–2.9% | | | | | | | | |
Aaron’s, Inc. | | | 89,520 | | | | 3,905,758 | |
Caleres, Inc. | | | 105,970 | | | | 3,234,204 | |
Children’s Place, Inc. (The) | | | 15,230 | | | | 1,799,424 | |
Citi Trends, Inc. | | | 27,150 | | | | 539,470 | |
Five Below, Inc.(a) | | | 56,920 | | | | 3,123,770 | |
Group 1 Automotive, Inc. | | | 21,420 | | | | 1,552,093 | |
Michaels Cos., Inc. (The)(a) | | | 136,380 | | | | 2,928,079 | |
Pier 1 Imports, Inc. | | | 231,050 | | | | 968,099 | |
RH(a) | | | 21,260 | | | | 1,495,003 | |
Sally Beauty Holdings, Inc.(a) | | | 81,970 | | | | 1,604,973 | |
Select Comfort Corp.(a) | | | 92,380 | | | | 2,868,399 | |
Williams-Sonoma, Inc. | | | 27,730 | | | | 1,382,618 | |
| | | | | | | | |
| | | | | | | 25,401,890 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods–0.8% | | | | | |
Deckers Outdoor Corp.(a) | | | 26,930 | | | | 1,842,281 | |
Vera Bradley, Inc.(a) | | | 65,890 | | | | 580,491 | |
Wolverine World Wide, Inc. | | | 148,440 | | | | 4,282,494 | |
| | | | | | | | |
| | | | | | | 6,705,266 | |
| | | | | | | | |
| | | | | | | 118,428,088 | |
| | | | | | | | |
| | | | | | | | |
| |
| Real Estate–6.2% | |
| Equity Real Estate Investment Trusts (REITs)–5.6% | |
Ashford Hospitality Prime, Inc. | | | 52,800 | | | | 501,600 | |
CareTrust REIT, Inc. | | | 54,340 | | | | 1,034,634 | |
CBL & Associates Properties, Inc. | | | 171,940 | | | | 1,442,577 | |
Chesapeake Lodging Trust | | | 49,360 | | | | 1,331,239 | |
CoreCivic, Inc. | | | 64,360 | | | | 1,722,917 | |
CorEnergy Infrastructure Trust, Inc. | | | 45,690 | | | | 1,615,142 | |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Cousins Properties, Inc. | | | 229,010 | | | $ | 2,138,953 | |
Education Realty Trust, Inc. | | | 27,840 | | | | 1,000,291 | |
First Industrial Realty Trust, Inc. | | | 107,130 | | | | 3,223,542 | |
Gramercy Property Trust | | | 83,673 | | | | 2,531,108 | |
Independence Realty Trust, Inc. | | | 127,670 | | | | 1,298,404 | |
InfraREIT, Inc. | | | 126,550 | | | | 2,830,923 | |
iStar, Inc.(a) | | | 235,370 | | | | 2,777,366 | |
MedEquities Realty Trust, Inc. | | | 158,782 | | | | 1,865,689 | |
Medical Properties Trust, Inc. | | | 124,010 | | | | 1,628,251 | |
Monmouth Real Estate Investment Corp.–Class A | | | 83,465 | | | | 1,351,298 | |
National Health Investors, Inc. | | | 21,800 | | | | 1,684,922 | |
One Liberty Properties, Inc. | | | 39,930 | | | | 972,695 | |
Potlatch Corp. | | | 36,000 | | | | 1,836,000 | |
Preferred Apartment Communities, Inc.–Class A | | | 98,250 | | | | 1,854,960 | |
Ryman Hospitality Properties, Inc. | | | 45,660 | | | | 2,853,293 | |
Select Income REIT | | | 36,130 | | | | 846,165 | |
STAG Industrial, Inc. | | | 68,900 | | | | 1,892,683 | |
Summit Hotel Properties, Inc. | | | 129,550 | | | | 2,071,505 | |
Sunstone Hotel Investors, Inc. | | | 186,840 | | | | 3,002,519 | |
UMH Properties, Inc. | | | 107,040 | | | | 1,664,472 | |
Xenia Hotels & Resorts, Inc. | | | 131,680 | | | | 2,771,864 | |
| | | | | | | | |
| | | | | | | 49,745,012 | |
| | | | | | | | |
| Real Estate Management & Development–0.6% | |
HFF, Inc.–Class A | | | 50,030 | | | | 1,979,187 | |
RE/MAX Holdings, Inc.–Class A | | | 22,300 | | | | 1,417,165 | |
RMR Group, Inc. (The)–Class A | | | 32,570 | | | | 1,672,469 | |
| | | | | | | | |
| | | | | | | 5,068,821 | |
| | | | | | | | |
| | | | | | | 54,813,833 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Energy–4.5% | | | | | | | | |
| Energy Equipment & Services–1.1% | | | | | | | | |
C&J Energy Services, Inc.(a) | | | 41,620 | | | | 1,247,351 | |
Forum Energy Technologies, Inc.(a) | | | 85,220 | | | | 1,354,998 | |
McDermott International, Inc.(a) | | | 283,500 | | | | 2,061,045 | |
Patterson-UTI Energy, Inc. | | | 80,240 | | | | 1,680,226 | |
RPC, Inc. | | | 123,650 | | | | 3,065,284 | |
| | | | | | | | |
| | | | | | | 9,408,904 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels–3.4% | |
CVR Energy, Inc. | | | 109,150 | | | | 2,826,985 | |
Delek US Holdings, Inc. | | | 35,390 | | | | 945,975 | |
HollyFrontier Corp. | | | 76,460 | | | | 2,750,266 | |
Matador Resources Co.(a) | | | 120,450 | | | | 3,270,218 | |
Oasis Petroleum, Inc.(a) | | | 540,970 | | | | 4,933,646 | |
Par Pacific Holdings, Inc.(a) | | | 106,330 | | | | 2,211,664 | |
Peabody Energy Corp.(a) | | | 55,090 | | | | 1,598,161 | |
QEP Resources, Inc.(a) | | | 370,910 | | | | 3,178,699 | |
Renewable Energy Group, Inc.(a) | | | 51,300 | | | | 623,295 | |
REX American Resources Corp.(a) | | | 29,780 | | | | 2,794,257 | |
SM Energy Co. | | | 55,250 | | | | 980,135 | |
SRC Energy, Inc.(a) | | | 348,990 | | | | 3,374,733 | |
World Fuel Services Corp. | | | 28,010 | | | | 949,819 | |
| | | | | | | | |
| | | | | | | 30,437,853 | |
| | | | | | | | |
| | | | | | | 39,846,757 | |
| | | | | | | | |
| | | | | | | | |
| | |
| Materials–4.1% | | | | | | | | |
| Chemicals–2.0% | | | | | | | | |
AdvanSix, Inc.(a) | | | 13,400 | | | $ | 532,650 | |
Huntsman Corp. | | | 113,830 | | | | 3,121,219 | |
Innophos Holdings, Inc. | | | 36,880 | | | | 1,814,127 | |
Innospec, Inc. | | | 17,670 | | | | 1,089,355 | |
KMG Chemicals, Inc. | | | 29,430 | | | | 1,615,118 | |
Koppers Holdings, Inc.(a) | | | 28,820 | | | | 1,330,043 | |
Kronos Worldwide, Inc. | | | 50,940 | | | | 1,162,960 | |
Orion Engineered Carbons SA | | | 39,610 | | | | 889,245 | |
Rayonier Advanced Materials, Inc. | | | 91,310 | | | | 1,250,947 | |
Stepan Co. | | | 24,680 | | | | 2,064,729 | |
Trinseo SA | | | 37,610 | | | | 2,523,631 | |
| | | | | | | | |
| | | | | | | 17,394,024 | |
| | | | | | | | |
| Containers & Packaging–0.3% | |
Graphic Packaging Holding Co. | | | 210,260 | | | | 2,933,127 | |
| | | | | | | | |
| Metals & Mining–1.0% | |
Cleveland-Cliffs, Inc.(a) | | | 338,350 | | | | 2,419,202 | |
Commercial Metals Co. | | | 68,550 | | | | 1,304,507 | |
Schnitzer Steel Industries, Inc.–Class A | | | 34,727 | | | | 977,565 | |
Worthington Industries, Inc. | | | 96,170 | | | | 4,423,820 | |
| | | | | | | | |
| | | | | | | 9,125,094 | |
| | | | | | | | |
| Paper & Forest Products–0.8% | |
Boise Cascade Co.(a) | | | 43,430 | | | | 1,515,707 | |
Louisiana-Pacific Corp.(a) | | | 189,980 | | | | 5,144,659 | |
| | | | | | | | |
| | | | | | | 6,660,366 | |
| | | | | | | | |
| | | | | | | 36,112,611 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Utilities–3.4% | | | | | | | | |
| Electric Utilities–1.7% | | | | | | | | |
ALLETE, Inc. | | | 39,900 | | | | 3,083,871 | |
MGE Energy, Inc. | | | 35,690 | | | | 2,305,574 | |
Otter Tail Corp. | | | 41,820 | | | | 1,812,897 | |
PNM Resources, Inc. | | | 66,890 | | | | 2,695,667 | |
Portland General Electric Co. | | | 67,530 | | | | 3,082,069 | |
Spark Energy, Inc. | | | 140,810 | | | | 2,112,150 | |
| | | | | | | | |
| | | | | | | 15,092,228 | |
| | | | | | | | |
| Gas Utilities–0.9% | |
New Jersey Resources Corp. | | | 50,290 | | | | 2,119,723 | |
Northwest Natural Gas Co. | | | 31,720 | | | | 2,042,768 | |
ONE Gas, Inc. | | | 40,640 | | | | 2,992,730 | |
Southwest Gas Holdings, Inc. | | | 10,227 | | | | 793,820 | |
| | | | | | | | |
| | | | | | | 7,949,041 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers–0.5% | |
Dynegy, Inc.(a) | | | 140,360 | | | | 1,374,124 | |
Ormat Technologies, Inc. | | | 47,630 | | | | 2,907,812 | |
| | | | | | | | |
| | | | | | | 4,281,936 | |
| | | | | | | | |
| Multi-Utilities–0.3% | |
NorthWestern Corp. | | | 42,860 | | | | 2,440,448 | |
| | | | | | | | |
| | | | | | | 29,763,653 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| | |
| Consumer Staples–2.4% | | | | | | | | |
| Beverages–0.4% | | | | | | | | |
Boston Beer Co., Inc. (The)–Class A(a) | | | 9,410 | | | $ | 1,469,842 | |
National Beverage Corp. | | | 19,200 | | | | 2,381,760 | |
| | | | | | | | |
| | | | | | | 3,851,602 | |
| | | | | | | | |
| Food Products–1.2% | |
Darling Ingredients, Inc.(a) | | | 92,300 | | | | 1,617,096 | |
Fresh Del Monte Produce, Inc. | | | 23,220 | | | | 1,055,581 | |
John B Sanfilippo & Son, Inc. | | | 29,437 | | | | 1,981,405 | |
Sanderson Farms, Inc. | | | 35,600 | | | | 5,750,112 | |
| | | | | | | | |
| | | | | | | 10,404,194 | |
| | | | | | | | |
| Household Products–0.3% | |
Central Garden & Pet Co.–Class A(a) | | | 64,010 | | | | 2,380,532 | |
| | | | | | | | |
| Personal Products–0.1% | |
Natural Health Trends Corp. | | | 58,900 | | | | 1,407,710 | |
| | | | | | | | |
| Tobacco–0.4% | |
Universal Corp./VA | | | 15,970 | | | | 915,081 | |
Vector Group Ltd. | | | 122,525 | | | | 2,508,076 | |
| | | | | | | | |
| | | | | | | 3,423,157 | |
| | | | | | | | |
| | | | | | | 21,467,195 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
|
| Telecommunication Services–0.4% | |
| Diversified Telecommunication Services–0.1% | |
Vonage Holdings Corp.(a) | | | 139,750 | | | $ | 1,137,565 | |
| | | | | | | | |
| Wireless Telecommunication Services–0.3% | |
Shenandoah Telecommunications Co. | | | 35,630 | | | | 1,325,436 | |
Spok Holdings, Inc. | | | 87,930 | | | | 1,349,726 | |
| | | | | | | | |
| | | | | | | 2,675,162 | |
| | | | | | | | |
| | | | | | | 3,812,727 | |
| | | | | | | | |
Total Common Stocks
(cost $768,782,559) | | | | | | | 880,926,235 | |
| | | | | | | | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENTS–0.5% | |
| Investment Companies–0.5% | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB,
0.83%(b)(c)(d)
(cost $5,089,963) | | | 5,089,963 | | | | 5,089,963 | |
| | | | | | | | |
Total Investments—100.0%
(cost $773,872,522) | | | | 886,016,198 | |
| | |
Other assets less liabilities—0.0% | | | | | | | (442,116 | ) |
| | | | | | | | |
| Net Assets—100.0% | | | | | | $ | 885,574,082 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| FUTURES (see Note 3) | |
| Description | | Number of
Contracts | | | Expiration
Month | | Notional
(000) | | | Original
Value | | | Value at
September 30, 2017 | | | Unrealized Appreciation/
(Depreciation) | |
| Purchased Contracts | |
Russell 2000 Mini Futures | | | 238 | | | December 2017 | | | USD | | | | 12 | | | $ | 16,865,182 | | | $ | 17,765,510 | | | $ | 900,328 | |
| (a) | | Non-income producing security. |
| (b) | | Affiliated investments. |
| (c) | | The rate shown represents the 7-day yield as of period end. |
| (d) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
Glossary:
ADR—American Depositary Receipt
REIT—Real Estate Investment Trust
See notes to financial statements.
Schedule of Investments
Bernstein Fund, Inc.
Schedule of Investments
International Small Cap Portfolio
September 30, 2017
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| COMMON STOCKS–97.6% | |
| Industrials–19.8% | |
| Aerospace & Defense–1.3% | |
Saab AB–Class B | | | 179,624 | | | $ | 9,130,132 | |
Senior PLC | | | 1,410,391 | | | | 5,216,361 | |
| | | | | | | | |
| | | | | | | 14,346,493 | |
| | | | | | | | |
| Air Freight & Logistics–0.2% | |
Oesterreichische Post AG | | | 28,227 | | | | 1,303,100 | |
Panalpina Welttransport Holding AG | | | 8,500 | | | | 1,246,265 | |
| | | | | | | | |
| | | | | | | 2,549,365 | |
| | | | | | | | |
| Airlines–1.3% | |
Aeroflot PJSC (GDR)(a) | | | 65,590 | | | | 1,061,542 | |
Air Canada(b) | | | 308,792 | | | | 6,493,851 | |
Air France-KLM(b) | | | 89,680 | | | | 1,414,258 | |
Air New Zealand Ltd. | | | 524,520 | | | | 1,277,780 | |
Qantas Airways Ltd. | | | 791,789 | | | | 3,626,649 | |
| | | | | | | | |
| | | | | | | 13,874,080 | |
| | | | | | | | |
| Building Products–2.5% | |
DIRTT Environmental Solutions(b) | | | 685,713 | | | | 3,011,586 | |
dormakaba Holding AG(b) | | | 9,874 | | | | 10,072,983 | |
Kingspan Group PLC | | | 152,176 | | | | 6,471,250 | |
Sankyo Tateyama, Inc. | | | 83,200 | | | | 1,182,569 | |
Schweiter Technologies AG | | | 950 | | | | 1,219,426 | |
Tarkett SA | | | 109,620 | | | | 4,938,286 | |
| | | | | | | | |
| | | | | | | 26,896,100 | |
| | | | | | | | |
| Commercial Services & Supplies–1.8% | |
Kokuyo Co., Ltd. | | | 353,681 | | | | 5,994,841 | |
Loomis AB–Class B | | | 108,397 | | | | 4,307,985 | |
Rentokil Initial PLC | | | 2,011,345 | | | | 8,104,259 | |
Transcontinental, Inc.–Class A | | | 26,220 | | | | 541,947 | |
| | | | | | | | |
| | | | | | | 18,949,032 | |
| | | | | | | | |
| Construction & Engineering–2.4% | |
Arcadis NV | | | 60,430 | | | | 1,302,378 | |
Burkhalter Holding AG | | | 9,240 | | | | 1,178,792 | |
FLSmidth & Co. A/S | | | 76,579 | | | | 5,069,280 | |
Galliford Try PLC | | | 68,140 | | | | 1,235,391 | |
John Laing Group PLC(a) | | | 811,866 | | | | 3,102,691 | |
Koninklijke Volkerwessels NV(b) | | | 127,841 | | | | 3,936,033 | |
Kyudenko Corp. | | | 176,600 | | | | 6,849,779 | |
Mirait Holdings Corp. | | | 101,100 | | | | 1,216,430 | |
Wilson Bayly Holmes-Ovcon Ltd. | | | 113,623 | | | | 1,238,308 | |
| | | | | | | | |
| | | | | | | 25,129,082 | |
| | | | | | | | |
| Electrical Equipment–2.1% | |
Chiyoda Integre Co., Ltd. | | | 56,100 | | | | 1,315,380 | |
Kung Long Batteries Industrial Co., Ltd. | | | 217,900 | | | | 1,061,128 | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Melrose Industries PLC | | | 2,180,538 | | | $ | 6,220,939 | |
Nitto Kogyo Corp. | | | 51,600 | | | | 912,799 | |
Philips Lighting NV(a) | | | 36,580 | | | | 1,476,438 | |
TKH Group NV | | | 176,176 | | | | 11,444,102 | |
Zumtobel Group AG | | | 25,380 | | | | 440,913 | |
| | | | | | | | |
| | | | | | | 22,871,699 | |
| | | | | | | | |
| Industrial Conglomerates–1.0% | |
Rheinmetall AG | | | 82,323 | | | | 9,284,783 | |
TOKAI Holdings Corp. | | | 160,000 | | | | 1,237,369 | |
| | | | | | | | |
| | | | | | | 10,522,152 | |
| | | | | | | | |
| Machinery–4.8% | |
Biesse SpA | | | 32,414 | | | | 1,434,723 | |
Bobst Group SA | | | 10,900 | | | | 1,199,677 | |
Bodycote PLC | | | 379,766 | | | | 4,666,306 | |
Duerr AG | | | 48,706 | | | | 6,522,007 | |
Fenner PLC | | | 285,903 | | | | 1,292,038 | |
Harmonic Drive Systems, Inc. | | | 184,200 | | | | 9,533,429 | |
IHI Corp. | | | 225,235 | | | | 7,851,387 | |
Industria Macchine Automatiche SpA | | | 13,863 | | | | 1,317,020 | |
Komax Holding AG | | | 4,173 | | | | 1,201,243 | |
Makino Milling Machine Co., Ltd. | | | 435,947 | | | | 3,875,648 | |
Nabtesco Corp. | | | 144,029 | | | | 5,358,854 | |
Rational AG | | | 1,991 | | | | 1,370,468 | |
Syncmold Enterprise Corp. | | | 459,000 | | | | 1,051,682 | |
Tadano Ltd. | | | 396,700 | | | | 4,639,865 | |
| | | | | | | | |
| | | | | | | 51,314,347 | |
| | | | | | | | |
| Professional Services–0.9% | |
Amadeus Fire AG | | | 13,730 | | | | 1,277,428 | |
Applus Services SA | | | 99,530 | | | | 1,246,541 | |
Staffline Group PLC | | | 71,170 | | | | 1,111,034 | |
Teleperformance | | | 39,234 | | | | 5,853,261 | |
| | | | | | | | |
| | | | | | | 9,488,264 | |
| | | | | | | | |
| Road & Rail–0.5% | |
Go-Ahead Group PLC | | | 26,585 | | | | 606,675 | |
National Express Group PLC | | | 742,260 | | | | 3,519,988 | |
Stagecoach Group PLC | | | 455,470 | | | | 1,042,001 | |
| | | | | | | | |
| | | | | | | 5,168,664 | |
| | | | | | | | |
| Trading Companies & Distributors–1.0% | |
Daiichi Jitsugyo Co., Ltd. | | | 40,400 | | | | 1,171,602 | |
Diploma PLC | | | 142,882 | | | | 2,037,154 | |
Howden Joinery Group PLC | | | 251,030 | | | | 1,450,659 | |
Nishio Rent All Co., Ltd. | | | 111,000 | | | | 3,700,600 | |
SIG PLC | | | 573,710 | | | | 1,368,046 | |
Yuasa Trading Co., Ltd. | | | 38,300 | | | | 1,353,864 | |
| | | | | | | | |
| | | | | | | 11,081,925 | |
| | | | | | | | |
| | | | | | | 212,191,203 | |
| | | | | | | | |
| | | | | | | | |
| |
| Consumer Discretionary–19.0% | |
| Auto Components–3.9% | |
Aisan Industry Co., Ltd. | | | 134,100 | | | | 1,290,138 | |
Apollo Tyres Ltd. | | | 1,521,288 | | | | 5,741,413 | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Brembo SpA | | | 82,965 | | | $ | 1,404,368 | |
Cie Plastic Omnium SA | | | 130,669 | | | | 5,589,751 | |
Faurecia | | | 92,018 | | | | 6,385,675 | |
Hankook Tire Co., Ltd. | | | 171,514 | | | | 9,031,965 | |
Hota Industrial Manufacturing Co., Ltd. | | | 611,000 | | | | 2,888,409 | |
Kasai Kogyo Co., Ltd. | | | 85,400 | | | | 1,296,223 | |
Nexteer Automotive Group Ltd.(b) | | | 4,231,000 | | | | 7,294,018 | |
Tianneng Power International Ltd. | | | 1,112,000 | | | | 1,152,181 | |
| | | | | | | | |
| | | | | | | 42,074,141 | |
| | | | | | | | |
| Diversified Consumer Services–1.3% | |
IDP Education Ltd. | | | 369,190 | | | | 1,636,198 | |
Minsheng Education Group Co., Ltd.(a)(b) | | | 15,554,000 | | | | 3,662,444 | |
Navitas Ltd. | | | 137,581 | | | | 489,710 | |
Tarena International, Inc. (ADR) | | | 554,955 | | | | 8,074,595 | |
| | | | | | | | |
| | | | | | | 13,862,947 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure–2.0% | |
Alsea SAB de CV | | | 1,532,090 | | | | 5,652,159 | |
CVC Brasil Operadora e Agencia de Viagens SA | | | 486,119 | | | | 6,285,327 | |
Jollibee Foods Corp. | | | 576,630 | | | | 2,767,453 | |
NH Hotel Group SA | | | 705,340 | | | | 4,730,864 | |
Plenus Co., Ltd. | | | 36,000 | | | | 795,499 | |
Round One Corp. | | | 111,500 | | | | 1,500,461 | |
| | | | | | | | |
| | | | | | | 21,731,763 | |
| | | | | | | | |
| Household Durables–1.4% | |
Crompton Greaves Consumer Electricals Ltd. | | | 1,095,350 | | | | 3,501,242 | |
De’ Longhi SpA | | | 26,959 | | | | 868,446 | |
Dorel Industries, Inc.–Class B | | | 53,900 | | | | 1,289,885 | |
Fujitsu General Ltd. | | | 163,240 | | | | 3,303,764 | |
Hisense Kelon Electrical Holdings Co., Ltd.–Class H | | | 719,000 | | | | 789,177 | |
SodaStream International Ltd.(b) | | | 65,150 | | | | 4,329,217 | |
Token Corp. | | | 8,900 | | | | 1,061,093 | |
| | | | | | | | |
| | | | | | | 15,142,824 | |
| | | | | | | | |
| Internet & Direct Marketing Retail–1.1% | |
Belluna Co., Ltd. | | | 385,155 | | | | 4,063,652 | |
GS Home Shopping, Inc. | | | 6,321 | | | | 1,199,439 | |
Yoox Net-A-Porter Group SpA(b) | | | 162,080 | | | | 6,361,452 | |
| | | | | | | | |
| | | | | | | 11,624,543 | |
| | | | | | | | |
| Leisure Products–1.1% | |
Amer Sports Oyj(b) | | | 221,405 | | | | 5,877,912 | |
Technogym SpA(a) | | | 688,990 | | | | 6,111,219 | |
| | | | | | | | |
| | | | | | | 11,989,131 | |
| | | | | | | | |
| Media–2.2% | |
APG SGA SA | | | 2,480 | | | | 1,034,174 | |
Atresmedia Corp. de Medios de Comunicacion SA | | | 234,370 | | | | 2,465,727 | |
Cogeco, Inc. | | | 19,460 | | | | 1,277,006 | |
Corus Entertainment, Inc.–Class B | | | 117,920 | | | | 1,226,689 | |
IPSOS | | | 33,631 | | | | 1,164,035 | |
| | | | | | | | |
Loen Entertainment, Inc. | | | 34,103 | | | $ | 2,602,350 | |
Media Prima Bhd | | | 5,601,500 | | | | 1,067,900 | |
Mediaset Espana Comunicacion SA | | | 106,190 | | | | 1,200,033 | |
Megacable Holdings SAB de CV | | | 1,415,517 | | | | 5,896,044 | |
Toei Animation Co., Ltd. | | | 49,600 | | | | 5,127,809 | |
| | | | | | | | |
| | | | | | | 23,061,767 | |
| | | | | | | | |
| Multiline Retail–0.9% | |
Poya International Co., Ltd. | | | 40,602 | | | | 485,876 | |
Seria Co., Ltd. | | | 171,000 | | | | 9,507,378 | |
| | | | | | | | |
| | | | | | | 9,993,254 | |
| | | | | | | | |
| Specialty Retail–1.9% | |
Ace Hardware Indonesia Tbk PT | | | 35,442,800 | | | | 3,197,194 | |
Clas Ohlson AB–Class B | | | 48,387 | | | | 897,057 | |
Delek Automotive Systems Ltd. | | | 105,010 | | | | 784,630 | |
EDION Corp. | | | 110,500 | | | | 1,036,421 | |
Geo Holdings Corp. | | | 88,200 | | | | 1,275,396 | |
Giordano International Ltd. | | | 2,076,000 | | | | 1,246,807 | |
Halfords Group PLC | | | 241,821 | | | | 1,135,760 | |
JD Sports Fashion PLC | | | 112,240 | | | | 562,734 | |
KappAhl AB | | | 190,760 | | | | 1,201,651 | |
Maisons du Monde SA(a) | | | 101,340 | | | | 4,454,986 | |
Mobilezone Holding AG | | | 77,059 | | | | 970,847 | |
Senao International Co., Ltd. | | | 647,000 | | | | 1,101,660 | |
T-Gaia Corp. | | | 64,300 | | | | 1,250,415 | |
Valora Holding AG | | | 3,302 | | | | 1,155,964 | |
| | | | | | | | |
| | | | | | | 20,271,522 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods–3.2% | |
China Lilang Ltd. | | | 1,063,000 | | | | 886,902 | |
Eclat Textile Co., Ltd. | | | 661,312 | | | | 8,066,339 | |
HUGO BOSS AG | | | 96,773 | | | | 8,538,979 | |
LF Corp. | | | 48,170 | | | | 1,078,762 | |
Li Ning Co., Ltd.(b) | | | 6,154,000 | | | | 5,508,708 | |
Safilo Group SpA(b) | | | 91,430 | | | | 611,928 | |
Taiwan Paiho Ltd. | | | 1,241,000 | | | | 5,719,206 | |
Welspun India Ltd. | | | 3,786,587 | | | | 3,947,134 | |
| | | | | | | | |
| | | | | | | 34,357,958 | |
| | | | | | | | |
| | | | | | | 204,109,850 | |
| | | | | | | | |
| | | | | | | | |
| |
| Information Technology–15.5% | |
| Communications Equipment–0.1% | |
VTech Holdings Ltd. | | | 94,800 | | | | 1,386,314 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components–3.9% | |
Daiwabo Holdings Co., Ltd. | | | 30,100 | | | | 1,271,037 | |
Electrocomponents PLC | | | 172,130 | | | | 1,434,211 | |
FIT Hon Teng Ltd.(a)(b) | | | 12,286,400 | | | | 7,911,387 | |
General Interface Solution Holding Ltd. | | | 94,000 | | | | 938,252 | |
Hollysys Automation Technologies Ltd. | | | 264,780 | | | | 5,721,896 | |
Inficon Holding AG(b) | | | 2,240 | | | | 1,458,387 | |
Kaga Electronics Co., Ltd. | | | 47,800 | | | | 1,414,468 | |
Kingboard Chemical Holdings Ltd. | | | 903,500 | | | | 4,811,846 | |
LG Innotek Co., Ltd. | | | 34,945 | | | | 4,720,025 | |
Merry Electronics Co., Ltd. | | | 565,000 | | | | 3,572,704 | |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Smart Metering Systems PLC | | | 359,270 | | | $ | 3,345,880 | |
Test Research, Inc. | | | 535,000 | | | | 738,060 | |
Tongda Group Holdings Ltd. | | | 17,300,000 | | | | 4,664,292 | |
| | | | | | | | |
| | | | | | | 42,002,445 | |
| | | | | | | | |
| Internet Software & Services–0.9% | |
Addcn Technology Co., Ltd. | | | 99,000 | | | | 761,419 | |
Dip Corp. | | | 181,100 | | | | 4,140,409 | |
Moneysupermarket.com Group PLC | | | 292,588 | | | | 1,247,385 | |
NetEnt AB(b) | | | 434,950 | | | | 3,374,976 | |
| | | | | | | | |
| | | | | | | 9,524,189 | |
| | | | | | | | |
| IT Services–3.1% | |
Alten SA | | | 100,793 | | | | 9,114,429 | |
GMO Payment Gateway, Inc. | | | 109,200 | | | | 6,840,993 | |
Larsen & Toubro Infotech Ltd.(a) | | | 106,440 | | | | 1,310,212 | |
NEC Networks & System Integration Corp. | | | 52,800 | | | | 1,261,441 | |
NET One Systems Co., Ltd. | | | 63,500 | | | | 672,441 | |
Nihon Unisys Ltd. | | | 438,748 | | | | 7,018,634 | |
Vakrangee Ltd. | | | 892,370 | | | | 6,753,810 | |
| | | | | | | | |
| | | | | | | 32,971,960 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment–6.6% | |
ASM International NV | | | 82,470 | | | | 5,215,284 | |
BE Semiconductor Industries NV | | | 21,632 | | | | 1,505,688 | |
Disco Corp. | | | 35,000 | | | | 7,133,186 | |
Elite Advanced Laser Corp. | | | 163,920 | | | | 610,023 | |
Macronix International(b) | | | 6,169,311 | | | | 9,449,733 | |
Melexis NV | | | 14,810 | | | | 1,434,240 | |
Realtek Semiconductor Corp. | | | 1,120,000 | | | | 3,869,221 | |
SCREEN Holdings Co., Ltd. | | | 71,535 | | | | 4,969,185 | |
Silergy Corp. | | | 443,000 | | | | 10,172,155 | |
Siltronic AG(b) | | | 117,792 | | | | 14,649,435 | |
SUMCO Corp. | | | 359,452 | | | | 5,671,418 | |
Ulvac, Inc. | | | 67,217 | | | | 4,236,153 | |
X-Fab Silicon Foundries SE(a)(b) | | | 236,336 | | | | 2,064,216 | |
| | | | | | | | |
| | | | | | | 70,979,937 | |
| | | | | | | | |
| Software–0.3% | |
Cheetah Mobile, Inc. (ADR)(b) | | | 93,390 | | | | 785,410 | |
Soft-World International Corp. | | | 428,000 | | | | 934,634 | |
WiseTech Global Ltd. | | | 197,047 | | | | 1,345,963 | |
| | | | | | | | |
| | | | | | | 3,066,007 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals–0.6% | |
Aten International Co., Ltd. | | | 413,000 | | | | 1,060,446 | |
Gigabyte Technology Co., Ltd. | | | 757,000 | | | | 956,438 | |
Logitech International SA | | | 41,830 | | | | 1,528,225 | |
Neopost SA | | | 27,630 | | | | 1,073,987 | |
Riso Kagaku Corp. | | | 49,700 | | | | 904,861 | |
Roland DG Corp. | | | 35,300 | | | | 905,592 | |
Spigen Korea Co., Ltd. | | | 12,670 | | | | 454,063 | |
| | | | | | | | |
| | | | | | | 6,883,612 | |
| | | | | | | | |
| | | | | | | 166,814,464 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| Materials–10.0% | |
| Chemicals–4.1% | |
Air Water, Inc. | | | 204,056 | | | $ | 3,767,832 | |
Arkema SA | | | 48,453 | | | | 5,945,274 | |
Borregaard ASA | | | 292,099 | | | | 3,275,559 | |
China General Plastics Corp. | | | 1,109,590 | | | | 1,105,987 | |
Chugoku Marine Paints Ltd. | | | 155,500 | | | | 1,300,885 | |
Dynasty Ceramic PCL | | | 5,932,800 | | | | 708,022 | |
Gurit Holding AG(b) | | | 1,060 | | | | 1,216,151 | |
Kumho Petrochemical Co., Ltd. | | | 73,261 | | | | 4,628,249 | |
LANXESS AG | | | 85,566 | | | | 6,757,251 | |
Nantex Industry Co., Ltd. | | | 888,950 | | | | 648,710 | |
Nippon Shokubai Co., Ltd. | | | 63,288 | | | | 4,473,447 | |
Scapa Group PLC | | | 339,817 | | | | 2,012,667 | |
Ube Industries Ltd. | | | 48,800 | | | | 1,412,251 | |
Victrex PLC | | | 217,010 | | | | 6,901,127 | |
| | | | | | | | |
| | | | | | | 44,153,412 | |
| | | | | | | | |
| Construction Materials–0.4% | | | | | | | | |
CSR Ltd. | | | 1,133,679 | | | | 4,221,516 | |
| | | | | | | | |
| Containers & Packaging–0.6% | | | | | | | | |
Cascades, Inc. | | | 89,910 | | | | 1,077,983 | |
Mpact Ltd. | | | 260,367 | | | | 494,243 | |
Nampak Ltd.(b) | | | 3,512,000 | | | | 4,565,503 | |
| | | | | | | | |
| | | | | | | 6,137,729 | |
| | | | | | | | |
| Metals & Mining–4.4% | | | | | | | | |
Asahi Holdings, Inc. | | | 62,000 | | | | 1,277,330 | |
Bekaert SA | | | 95,970 | | | | 4,607,336 | |
BlueScope Steel Ltd. | | | 396,087 | | | | 3,421,602 | |
Boliden AB | | | 120,664 | | | | 4,092,843 | |
CAP SA | | | 106,140 | | | | 1,107,860 | |
Detour Gold Corp.(b) | | | 184,939 | | | | 2,039,480 | |
Gerdau SA (Preference Shares) | | | 965,066 | | | | 3,364,011 | |
Granges AB | | | 613,579 | | | | 7,032,689 | |
Lucara Diamond Corp. | | | 575,770 | | | | 1,116,701 | |
Lundin Mining Corp. | | | 711,341 | | | | 4,880,047 | |
Nippon Denko Co., Ltd. | | | 316,300 | | | | 1,262,401 | |
Nippon Light Metal Holdings Co., Ltd. | | | 449,400 | | | | 1,279,980 | |
Northern Star Resources Ltd. | | | 346,330 | | | | 1,339,851 | |
Sims Metal Management Ltd. | | | 119,692 | | | | 1,271,477 | |
Syrah Resources Ltd.(b) | | | 635,539 | | | | 1,720,762 | |
Toyo Kohan Co., Ltd. | | | 248,400 | | | | 1,159,024 | |
Western Areas Ltd. | | | 810,869 | | | | 1,661,387 | |
Yamato Kogyo Co., Ltd. | | | 165,500 | | | | 4,486,004 | |
| | | | | | | | |
| | | | | | | 47,120,785 | |
| | | | | | | | |
| Paper & Forest Products–0.5% | | | | | | | | |
Canfor Corp.(b) | | | 47,600 | | | | 894,205 | |
Century Plyboards India Ltd. | | | 272,890 | | | | 1,041,196 | |
Nippon Paper Industries Co., Ltd. | | | 69,000 | | | | 1,283,725 | |
Norbord, Inc. | | | 38,830 | | | | 1,478,512 | |
Western Forest Products, Inc. | | | 402,130 | | | | 860,499 | |
| | | | | | | | |
| | | | | | | 5,558,137 | |
| | | | | | | | |
| | | | | | | 107,191,579 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| Consumer Staples–9.4% | |
| Beverages–1.6% | | | | | | | | |
Britvic PLC | | | 97,550 | | | $ | 988,573 | |
Fevertree Drinks PLC | | | 193,010 | | | | 5,662,209 | |
Refresco Group NV(a) | | | 66,130 | | | | 1,333,383 | |
Royal Unibrew A/S | | | 94,297 | | | | 5,166,959 | |
Sapporo Holdings Ltd. | | | 135,711 | | | | 3,658,461 | |
| | | | | | | | |
| | | | | | | 16,809,585 | |
| | | | | | | | |
| Food & Staples Retailing–2.5% | | | | | |
Ain Holdings, Inc. | | | 97,800 | | | | 6,743,779 | |
cocokara fine, Inc. | | | 125,714 | | | | 7,171,882 | |
Lenta Ltd. (GDR)(a)(b) | | | 507,220 | | | | 3,134,620 | |
MARR SpA | | | 60,184 | | | | 1,586,553 | |
Rami Levy Chain Stores Hashikma Marketing 206 Ltd. | | | 26,170 | | | | 1,336,337 | |
Tsuruha Holdings, Inc. | | | 57,700 | | | | 6,898,947 | |
| | | | | | | | |
| | | | | | | 26,872,118 | |
| | | | | | | | |
| Food Products–2.8% | | | | | |
Century Pacific Food, Inc. | | | 4,164,200 | | | | 1,385,348 | |
Costa Group Holdings Ltd. | | | 326,310 | | | | 1,433,587 | |
Dongwon F&B Co., Ltd. | | | 2,732 | | | | 471,550 | |
Health and Happiness H&H International Holdings Ltd.(b) | | | 1,317,500 | | | | 6,451,486 | |
Industrias Bachoco SAB de CV | | | 801,117 | | | | 4,439,798 | |
Nichirei Corp. | | | 189,422 | | | | 4,752,758 | |
Salmar ASA | | | 34,640 | | | | 979,623 | |
Sao Martinho SA | | | 877,731 | | | | 4,930,248 | |
Scandi Standard AB | | | 130,414 | | | | 956,701 | |
Thai Vegetable Oil PCL | | | 560,600 | | | | 483,276 | |
Yihai International Holding Ltd. | | | 4,918,000 | | | | 3,945,295 | |
| | | | | | | | |
| | | | | | | 30,229,670 | |
| | | | | | | | |
| Household Products–0.5% | | | | | |
Pigeon Corp. | | | 151,700 | | | | 5,185,976 | |
| | | | | | | | |
| Personal Products–1.6% | | | | | |
Cosmax, Inc. | | | 62,657 | | | | 6,950,154 | |
Emami Ltd. | | | 226,474 | | | | 3,782,183 | |
Oriflame Holding AG | | | 26,940 | | | | 920,132 | |
TCI Co., Ltd. | | | 927,380 | | | | 5,853,232 | |
| | | | | | | | |
| | | | | | | 17,505,701 | |
| | | | | | | | |
| Tobacco–0.4% | | | | | |
Scandinavian Tobacco Group A/S(a) | | | 268,374 | | | | 4,761,148 | |
| | | | | | | | |
| | | | | | | 101,364,198 | |
| | | | | | | | |
| | | | | | | | |
| |
| Financials–9.3% | |
| Banks–4.0% | | | | | | | | |
77 Bank Ltd. (The) | | | 110,295 | | | | 2,730,049 | |
Banco Macro SA (ADR) | | | 37,732 | | | | 4,427,850 | |
Banregio Grupo Financiero SAB de CV | | | 418,360 | | | | 2,491,551 | |
BGEO Group PLC | | | 137,440 | | | | 6,001,459 | |
Dah Sing Financial Holdings Ltd. | | | 536,000 | | | | 3,649,221 | |
Hachijuni Bank Ltd. (The) | | | 356,206 | | | | 2,228,746 | |
Israel Discount Bank Ltd.–Class A(b) | | | 1,833,150 | | | | 4,623,413 | |
| | | | | | | | |
Miyazaki Bank Ltd. (The) | | | 26,600 | | | $ | 965,390 | |
Nordax Group AB(a) | | | 647,430 | | | | 3,815,472 | |
SpareBank 1 Nord Norge | | | 161,390 | | | | 1,252,414 | |
SpareBank 1 SMN | | | 292,480 | | | | 2,989,001 | |
SpareBank 1 SR-Bank ASA | | | 421,868 | | | | 4,542,053 | |
Tochigi Bank Ltd. (The) | | | 184,700 | | | | 788,526 | |
Toho Bank Ltd. (The) | | | 145,400 | | | | 547,206 | |
TOMONY Holdings, Inc. | | | 193,700 | | | | 877,384 | |
Towa Bank Ltd. (The) | | | 116,700 | | | | 1,250,876 | |
| | | | | | | | |
| | | | | | | 43,180,611 | |
| | | | | | | | |
| Capital Markets–1.9% | |
Anima Holding SpA(a) | | | 343,810 | | | | 2,778,384 | |
AURELIUS Equity Opportunities SE & Co. KGaA | | | 21,650 | | | | 1,423,724 | |
Burford Capital Ltd. | | | 274,868 | | | | 3,812,143 | |
Euronext NV(a) | | | 24,892 | | | | 1,515,383 | |
Gluskin Sheff & Associates, Inc. | | | 87,256 | | | | 1,314,697 | |
Intermediate Capital Group PLC | | | 456,247 | | | | 5,728,724 | |
Kyokuto Securities Co., Ltd. | | | 77,000 | | | | 1,047,294 | |
Vontobel Holding AG | | | 41,410 | | | | 2,664,193 | |
| | | | | | | | |
| | | | | | | 20,284,542 | |
| | | | | | | | |
| Consumer Finance–1.2% | |
Bharat Financial Inclusion Ltd.(b) | | | 533,550 | | | | 7,751,668 | |
Credito Real SAB de CV SOFOM ER | | | 654,930 | | | | 1,110,612 | |
Equitas Holdings Ltd./India(a)(b) | | | 1,309,970 | | | | 3,058,020 | |
Jaccs Co., Ltd. | | | 49,200 | | | | 1,216,682 | |
| | | | | | | | |
| | | | | | | 13,136,982 | |
| | | | | | | | |
| Diversified Financial Services–0.1% | |
NICE Information Service Co., Ltd. | | | 171,030 | | | | 1,234,120 | |
| | | | | | | | |
| Insurance–1.2% | |
ASR Nederland NV | | | 159,995 | | | | 6,400,027 | |
Beazley PLC | | | 594,870 | | | | 3,826,164 | |
UNIQA Insurance Group AG | | | 128,075 | | | | 1,341,579 | |
Wuestenrot & Wuerttembergische AG | | | 47,090 | | | | 1,281,077 | |
| | | | | | | | |
| | | | | | | 12,848,847 | |
| | | | | | | | |
| Thrifts & Mortgage Finance–0.9% | |
Deutsche Pfandbriefbank AG(a) | | | 92,500 | | | | 1,386,556 | |
Genworth MI Canada, Inc. | | | 45,041 | | | | 1,336,700 | |
Genworth Mortgage Insurance Australia Ltd. | | | 444,326 | | | | 974,420 | |
LIC Housing Finance Ltd. | | | 483,440 | | | | 4,650,018 | |
OneSavings Bank PLC | | | 196,280 | | | | 1,060,214 | |
| | | | | | | | |
| | | | | | | 9,407,908 | |
| | | | | | | | |
| | | | | | | 100,093,010 | |
| | | | | | | | |
| | | | | | | | |
| |
| Real Estate–4.4% | |
| Equity Real Estate Investment Trusts (REITs)–1.6% | |
Abacus Property Group | | | 282,940 | | | | 839,702 | |
Allied Properties Real Estate Investment Trust | | | 90,194 | | | | 2,879,847 | |
Dream Global Real Estate Investment Trust | | | 96,200 | | | | 848,858 | |
Frasers Commercial Trust | | | 754,700 | | | | 768,310 | |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Granite Real Estate Investment Trust (Toronto) | | | 89,425 | | | $ | 3,588,467 | |
Ichigo Office REIT Investment | | | 1,181 | | | | 797,654 | |
Immobiliare Grande Distribuzione SIIQ SpA | | | 818,981 | | | | 854,219 | |
Killam Apartment Real Estate Investment Trust | | | 326,108 | | | | 3,447,297 | |
Rebosis Property Fund Ltd. | | | 975,170 | | | | 795,910 | |
Safestore Holdings PLC | | | 142,020 | | | | 831,695 | |
Soilbuild Business Space REIT | | | 1,514,500 | | | | 781,562 | |
Sunlight Real Estate Investment Trust | | | 1,245,000 | | | | 807,229 | |
| | | | | | | | |
| | | | | | | 17,240,750 | |
| | | | | | | | |
| Real Estate Management & Development–2.8% | |
ADO Properties SA(a) | | | 106,241 | | | | 5,256,760 | |
CA Immobilien Anlagen AG | | | 323,680 | | | | 9,296,148 | |
China Overseas Property Holdings Ltd. | | | 5,475,000 | | | | 1,313,897 | |
Colliers International Group, Inc. | | | 26,540 | | | | 1,316,631 | |
DIC Asset AG | | | 73,950 | | | | 817,861 | |
Dongwon Development Co., Ltd. | | | 257,356 | | | | 1,235,830 | |
FirstService Corp. | | | 19,920 | | | | 1,308,949 | |
Inmobiliaria Colonial Socimi SA | | | 360,187 | | | | 3,577,100 | |
Korea Real Estate Investment & Trust Co., Ltd. | | | 177,280 | | | | 513,285 | |
Pakuwon Jati Tbk PT | | | 47,683,500 | | | | 2,163,276 | |
Sansiri PCL | | | 17,451,300 | | | | 1,193,072 | |
Watkin Jones PLC | | | 489,220 | | | | 1,435,664 | |
| | | | | | | | |
| | | | | | | 29,428,473 | |
| | | | | | | | |
| | | | | | | 46,669,223 | |
| | | | | | | | |
| | | | | | | | |
| | |
| Health Care–4.3% | | | | | |
| Biotechnology–0.8% | | | | | |
BioGaia AB–Class B | | | 30,400 | | | | 1,130,916 | |
Medy-Tox, Inc. | | | 16,624 | | | | 7,204,156 | |
| | | | | | | | |
| | | | | | | 8,335,072 | |
| | | | | | | | |
| Health Care Equipment & Supplies–0.1% | |
Microlife Corp. | | | 286,000 | | | | 692,059 | |
| | | | | | | | |
| Health Care Providers & Services–1.5% | |
Apollo Hospitals Enterprise Ltd. | | | 141,430 | | | | 2,179,101 | |
Apollo Hospitals Enterprise Ltd. (GDR)(a) | | | 155,480 | | | | 2,401,389 | |
China Pioneer Pharma Holdings Ltd. | | | 3,267,000 | | | | 1,087,383 | |
Oriola Oyj–Class B | | | 183,720 | | | | 739,382 | |
Raffles Medical Group Ltd. | | | 4,428,600 | | | | 3,672,951 | |
Shanghai Pharmaceuticals Holding Co., Ltd.–Class H | | | 2,482,400 | | | | 6,081,960 | |
| | | | | | | | |
| | | | | | | 16,162,166 | |
| | | | | | | | |
| Health Care Technology–0.3% | | | | | | | | |
EMIS Group PLC | | | 79,490 | | | | 982,615 | |
NNIT A/S(a) | | | 64,628 | | | | 1,953,193 | |
| | | | | | | | |
| | | | | | | 2,935,808 | |
| | | | | | | | |
| Life Sciences Tools & Services–0.5% | | | | | | | | |
Tecan Group AG | | | 27,320 | | | | 5,660,652 | |
| | | | | | | | |
| | | | | | | | |
| Pharmaceuticals–1.1% | | | | | | | | |
Boiron SA | | | 13,190 | | | $ | 1,176,990 | |
China Shineway Pharmaceutical Group Ltd. | | | 1,339,000 | | | | 1,194,733 | |
Dawnrays Pharmaceutical Holdings Ltd. | | | 964,000 | | | | 552,860 | |
DongKook Pharmaceutical Co., Ltd. | | | 16,775 | | | | 849,911 | |
Faes Farma SA | | | 385,863 | | | | 1,290,626 | |
Samjin Pharmaceutical Co., Ltd. | | | 35,409 | | | | 1,009,907 | |
Tsumura & Co. | | | 123,447 | | | | 4,449,134 | |
Vectura Group PLC(b) | | | 1,411,010 | | | | 2,011,761 | |
| | | | | | | | |
| | | | | | | 12,535,922 | |
| | | | | | | | |
| | | | | | | 46,321,679 | |
| | | | | | | | |
| | | | | | | | |
| | |
| Energy–2.6% | | | | | |
| Energy Equipment & Services–0.2% | | | | | |
Pason Systems, Inc. | | | 40,057 | | | | 602,902 | |
TMK PJSC (GDR)(a) | | | 432,020 | | | | 2,062,895 | |
| | | | | | | | |
| | | | | | | 2,665,797 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels–2.4% | | | | | | | | |
Aker BP ASA | | | 405,357 | | | | 7,853,947 | |
Gran Tierra Energy, Inc.(b) | | | 1,229,321 | | | | 2,788,202 | |
Hankook Shell Oil Co., Ltd. | | | 2,919 | | | | 994,148 | |
Indo Tambangraya Megah Tbk PT | | | 769,500 | | | | 1,157,668 | |
Itochu Enex Co., Ltd. | | | 124,200 | | | | 1,335,046 | |
Parkland Fuel Corp. | | | 66,927 | | | | 1,361,336 | |
Saras SpA | | | 497,240 | | | | 1,334,381 | |
Showa Shell Sekiyu KK | | | 432,176 | | | | 4,982,092 | |
VERBIO Vereinigte BioEnergie AG | | | 55,160 | | | | 538,499 | |
Z Energy Ltd. | | | 637,575 | | | | 3,390,780 | |
| | | | | | | | |
| | | | | | | 25,736,099 | |
| | | | | | | | |
| | | | | | | 28,401,896 | |
| | | | | | | | |
| | | | | | | | |
| | |
| Utilities–1.7% | | | | | |
| Electric Utilities–0.5% | | | | | |
Contact Energy Ltd. | | | 1,143,474 | | | | 4,547,106 | |
Genesis Energy Ltd. | | | 647,220 | | | | 1,117,550 | |
| | | | | | | | |
| | | | | | | 5,664,656 | |
| | | | | | | | |
| Gas Utilities–0.2% | | | | | | | | |
Ascopiave SpA | | | 296,870 | | | | 1,230,153 | |
Superior Plus Corp. | | | 84,237 | | | | 853,340 | |
| | | | | | | | |
| | | | | | | 2,083,493 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers–0.4% | |
Electric Power Development Co., Ltd. | | | 152,972 | | | | 3,842,779 | |
| | | | | | | | |
| Multi-Utilities–0.1% | | | | | | | | |
Telecom Plus PLC | | | 69,530 | | | | 1,011,828 | |
| | | | | | | | |
| Water Utilities–0.5% | | | | | | | | |
Pennon Group PLC | | | 494,337 | | | | 5,278,161 | |
| | | | | | | | |
| | | | | | | 17,880,917 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| Telecommunication Services–1.6% | | | | | |
| Diversified Telecommunication Services–1.2% | | | | | |
B Communications Ltd.(b) | | | 54,240 | | | $ | 777,110 | |
Com Hem Holding AB | | | 417,365 | | | | 5,975,082 | |
TalkTalk Telecom Group PLC | | | 433,080 | | | | 1,216,946 | |
TDC A/S | | | 907,478 | | | | 5,321,961 | |
| | | | | | | | |
| | | | | | | 13,291,099 | |
| | | | | | | | |
| Wireless Telecommunication Services–0.4% | |
SmarTone Telecommunications Holdings Ltd. | | | 525,500 | | | | 630,699 | |
XL Axiata Tbk PT(b) | | | 12,481,399 | | | | 3,467,952 | |
| | | | | | | | |
| | | | | | | 4,098,651 | |
| | | | | | | | |
| | | | | | | 17,389,750 | |
| | | | | | | | |
Total Common Stocks
(cost $862,216,994) | | | | | | | 1,048,427,769 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES–0.4% | |
| Funds and Investment Trusts–0.4% | |
iShares MSCI EAFE Small-Cap ETF(c)
(cost $4,719,557) | | | 77,180 | | | $ | 4,785,160 | |
| | | | | | | | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENTS–2.2% | |
| Investment Companies – 2.2% | |
AB Fixed Income Shares, Inc.–
Government Money Market Portfolio–
Class AB, 0.83%(c)(d)(e)
(cost $23,304,588) | | | 23,304,588 | | | | 23,304,588 | |
| | | | | | | | |
Total Investments—100.2%
(cost $890,241,139) | | | | 1,076,517,517 | |
| | |
Other assets less liabilities—(0.2)% | | | | | | | (2,662,351 | ) |
| | | | | | | | |
| Net Assets—100.0% | | | | | | $ | 1,073,855,166 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| FORWARD CURRENCY EXCHANGE CONTRACTS | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America, NA | | | CNY | | | | 77,420 | | | | USD | | | | 11,799 | | | | 11/16/17 | | | $ | 180,373 | |
Bank of America, NA | | | CNY | | | | 14,032 | | | | USD | | | | 2,102 | | | | 11/16/17 | | | | (4,081 | ) |
Bank of America, NA | | | USD | | | | 6,804 | | | | SEK | | | | 54,274 | | | | 12/18/17 | | | | (110,682 | ) |
Barclays Bank PLC | | | KRW | | | | 11,154,303 | | | | USD | | | | 9,844 | | | | 10/26/17 | | | | 101,193 | |
Barclays Bank PLC | | | CNY | | | | 12,694 | | | | USD | | | | 1,912 | | | | 11/16/17 | | | | 7,423 | |
Barclays Bank PLC | | | TWD | | | | 282,613 | | | | USD | | | | 9,452 | | | | 11/22/17 | | | | 129,254 | |
Barclays Bank PLC | | | USD | | | | 1,921 | | | | TWD | | | | 57,781 | | | | 11/22/17 | | | | (14,862 | ) |
Barclays Bank PLC | | | INR | | | | 538,644 | | | | USD | | | | 8,348 | | | | 11/29/17 | | | | 160,822 | |
Barclays Bank PLC | | | CAD | | | | 4,967 | | | | USD | | | | 3,987 | | | | 12/18/17 | | | | 4,394 | |
Barclays Bank PLC | | | INR | | | | 504,996 | | | | USD | | | | 7,792 | | | | 12/18/17 | | | | 132,817 | |
Barclays Bank PLC | | | KRW | | | | 3,955,743 | | | | USD | | | | 3,475 | | | | 12/18/17 | | | | 18,444 | |
Barclays Bank PLC | | | MXN | | | | 77,101 | | | | USD | | | | 4,253 | | | | 12/18/17 | | | | 69,866 | |
Barclays Bank PLC | | | NOK | | | | 25,542 | | | | USD | | | | 3,214 | | | | 12/18/17 | | | | 1,757 | |
Barclays Bank PLC | | | TWD | | | | 260,799 | | | | USD | | | | 8,656 | | | | 12/18/17 | | | | 40,840 | |
Barclays Bank PLC | | | USD | | | | 15,310 | | | | CAD | | | | 18,966 | | | | 12/18/17 | | | | (102,871 | ) |
Barclays Bank PLC | | | USD | | | | 14,262 | | | | JPY | | | | 1,545,445 | | | | 12/18/17 | | | | (477,037 | ) |
Barclays Bank PLC | | | USD | | | | 4,689 | | | | ZAR | | | | 61,463 | | | | 12/18/17 | | | | (203,414 | ) |
Barclays Bank PLC | | | ZAR | | | | 14,332 | | | | USD | | | | 1,064 | | | | 12/18/17 | | | | 17,859 | |
Citibank, NA | | | USD | | | | 3,111 | | | | KRW | | | | 3,523,511 | | | | 10/26/17 | | | | (33,613 | ) |
Citibank, NA | | | USD | | | | 1,918 | | | | INR | | | | 125,801 | | | | 11/29/17 | | | | (5,903 | ) |
Citibank, NA | | | NOK | | | | 8,602 | | | | USD | | | | 1,108 | | | | 12/18/17 | | | | 25,774 | |
Citibank, NA | | | USD | | | | 2,798 | | | | AUD | | | | 3,562 | | | | 12/18/17 | | | | (6,138 | ) |
Citibank, NA | | | USD | | | | 6,166 | | | | GBP | | | | 4,728 | | | | 12/18/17 | | | | 183,896 | |
Royal Bank of Scotland PLC | | | USD | | | | 3,513 | | | | SGD | | | | 4,746 | | | | 12/18/17 | | | | (10,813 | ) |
State Street Bank & Trust Co. | | | JPY | | | | 379,661 | | | | USD | | | | 3,382 | | | | 12/18/17 | | | | (4,749 | ) |
State Street Bank & Trust Co. | | | SEK | | | | 71,597 | | | | USD | | | | 9,042 | | | | 12/18/17 | | | | 212,493 | |
Schedule of Investments (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
State Street Bank & Trust Co. | | | USD | | | | 5,821 | | | | CAD | | | | 7,389 | | | | 12/18/17 | | | $ | 103,329 | |
State Street Bank & Trust Co. | | | USD | | | | 2,054 | | | | TRY | | | | 7,276 | | | | 12/18/17 | | | | (56,539 | ) |
UBS AG | | | USD | | | | 11,941 | | | | AUD | | | | 15,007 | | | | 12/18/17 | | | | (179,980 | ) |
UBS AG | | | USD | | | | 26,020 | | | | GBP | | | | 19,869 | | | | 12/18/17 | | | | 666,108 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 845,960 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the aggregate market value of these securities amounted to $64,612,338 or 6.0% of net assets. |
| (b) | | Non-income producing security. |
| (c) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
| (d) | | Affiliated investments. |
| (e) | | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CNY—Chinese Yuan Renminbi
GBP—Great British Pound
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
NOK—Norwegian Krone
SEK—Swedish Krona
SGD—Singapore Dollar
TRY—Turkish Lira
TWD—New Taiwan Dollar
USD—United States Dollar
ZAR—South African Rand
Glossary:
ADR—American Depositary Receipt
EAFE—Europe, Australia, and Far East
ETF—Exchange Traded Fund
GDR—Global Depositary Receipt
MSCI—Morgan Stanley Capital International
PJSC—Public Joint Stock Company
REIT—Real Estate Investment Trust
See notes to financial statements.
Schedule of Investments
Bernstein Fund, Inc.
Schedule of Investments
International Strategic Equities Portfolio
September 30, 2017
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| COMMON STOCKS–97.2% | |
| Financials–20.3% | |
| Banks–15.8% | |
ABN AMRO Group NV (GDR)(a) | | | 816,020 | | | $ | 24,435,093 | |
Bank Hapoalim BM | | | 3,360,940 | | | | 23,518,610 | |
Barclays PLC | | | 7,376,490 | | | | 19,127,105 | |
BOC Hong Kong Holdings Ltd. | | | 6,694,500 | | | | 32,608,875 | |
DBS Group Holdings Ltd. | | | 3,605,600 | | | | 55,504,824 | |
DNB ASA | | | 849,990 | | | | 17,161,359 | |
Erste Group Bank AG(b) | | | 1,795,000 | | | | 77,553,110 | |
Hana Financial Group, Inc. | | | 415,470 | | | | 17,236,504 | |
Intesa Sanpaolo SpA | | | 6,873,740 | | | | 24,335,158 | |
Itausa–Investimentos Itau SA (Preference Shares) | | | 12,929,857 | | | | 45,029,860 | |
Jyske Bank A/S | | | 392,080 | | | | 22,667,099 | |
KB Financial Group, Inc. | | | 1,461,970 | | | | 71,927,630 | |
Mitsubishi UFJ Financial Group, Inc. | | | 6,985,900 | | | | 45,421,138 | |
Sberbank of Russia PJSC (Sponsored ADR) | | | 1,851,353 | | | | 26,412,130 | |
| | | | | | | | |
| | | | | | | 502,938,495 | |
| | | | | | | | |
| Capital Markets–1.0% | |
Partners Group Holding AG | | | 48,090 | | | | 32,648,192 | |
| | | | | | | | |
| Consumer Finance–0.6% | |
Samsung Card Co., Ltd. | | | 590,966 | | | | 19,056,153 | |
| | | | | | | | |
| Diversified Financial Services–0.8% | |
ORIX Corp. | | | 1,633,100 | | | | 26,365,127 | |
| | | | | | | | |
| Insurance–2.1% | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | | | 71,110 | | | | 15,219,389 | |
NN Group NV | | | 835,700 | | | | 34,996,082 | |
Powszechny Zaklad Ubezpieczen SA | | | 1,321,010 | | | | 16,672,358 | |
| | | | | | | | |
| | | | | | | 66,887,829 | |
| | | | | | | | |
| | | | | | | 647,895,796 | |
| | | | | | | | |
| | | | | | | | |
| |
| Information Technology–18.8% | |
| Electronic Equipment, Instruments & Components–0.9% | |
Hon Hai Precision Industry Co., Ltd. | | | 7,948,500 | | | | 27,604,386 | |
| | | | | | | | |
| Internet Software & Services–4.2% | |
Alibaba Group Holding Ltd. (Sponsored ADR)(b) | | | 308,850 | | | | 53,341,484 | |
NetEase, Inc. (ADR) | | | 144,110 | | | | 38,017,659 | |
Tencent Holdings Ltd. | | | 994,400 | | | | 43,475,840 | |
| | | | | | | | |
| | | | | | | 134,834,983 | |
| | | | | | | | |
| IT Services–3.9% | |
Amadeus IT Group SA–Class A | | | 254,560 | | | | 16,556,255 | |
Capgemini SE | | | 725,910 | | | | 85,094,472 | |
Otsuka Corp. | | | 357,600 | | | | 22,934,862 | |
| | | | | | | | |
| | | | | | | 124,585,589 | |
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment–5.2% | |
ASML Holding NV | | | 267,180 | | | $ | 45,655,071 | |
Infineon Technologies AG | | | 1,051,410 | | | | 26,508,571 | |
SCREEN Holdings Co., Ltd. | | | 493,300 | | | | 34,267,130 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | | | 8,424,000 | | | | 60,336,529 | |
| | | | | | | | |
| | | | | | | 166,767,301 | |
| | | | | | | | |
| Software–2.2% | |
Check Point Software Technologies Ltd.(b) | | | 126,230 | | | | 14,392,745 | |
Constellation Software, Inc./Canada | | | 85,950 | | | | 46,892,088 | |
Oracle Corp. Japan | | | 118,200 | | | | 9,290,751 | |
| | | | | | | | |
| | | | | | | 70,575,584 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals–2.4% | |
Samsung Electronics Co., Ltd. | | | 33,310 | | | | 74,954,895 | |
| | | | | | | | |
| | | | | | | 599,322,738 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Industrials–18.0% | | | | | | | | |
| Aerospace & Defense–1.9% | | | | | | | | |
BAE Systems PLC | | | 1,977,380 | | | | 16,745,930 | |
Saab AB–Class B | | | 887,520 | | | | 45,111,870 | |
| | | | | | | | |
| | | | | | | 61,857,800 | |
| | | | | | | | |
| Airlines–3.8% | |
Japan Airlines Co., Ltd. | | | 1,926,800 | | | | 65,224,719 | |
Qantas Airways Ltd. | | | 12,054,802 | | | | 55,214,872 | |
| | | | | | | | |
| | | | | | | 120,439,591 | |
| | | | | | | | |
| Building Products–0.8% | |
Assa Abloy AB–Class B | | | 1,076,100 | | | | 24,637,724 | |
| | | | | | | | |
| Commercial Services & Supplies–0.9% | |
G4S PLC | | | 8,117,570 | | | | 30,285,592 | |
| | | | | | | | |
| Electrical Equipment–2.2% | |
Philips Lighting NV(a) | | | 833,370 | | | | 33,636,395 | |
Vestas Wind Systems A/S | | | 421,380 | | | | 37,876,046 | |
| | | | | | | | |
| | | | | | | 71,512,441 | |
| | | | | | | | |
| Industrial Conglomerates–2.2% | |
Jardine Strategic Holdings Ltd. | | | 805,500 | | | | 34,838,591 | |
Rheinmetall AG | | | 304,480 | | | | 34,340,716 | |
| | | | | | | | |
| | | | | | | 69,179,307 | |
| | | | | | | | |
| Machinery–1.9% | |
IHI Corp. | | | 870,400 | | | | 30,340,964 | |
Kone Oyj–Class B | | | 562,220 | | | | 29,802,881 | |
| | | | | | | | |
| | | | | | | 60,143,845 | |
| | | | | | | | |
| Professional Services–2.1% | |
Adecco Group AG (REG)(b) | | | 308,450 | | | | 24,029,646 | |
Intertek Group PLC | | | 237,760 | | | | 15,892,596 | |
RELX NV | | | 1,328,060 | | | | 28,252,469 | |
| | | | | | | | |
| | | | | | | 68,174,711 | |
| | | | | | | | |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| Road & Rail–1.3% | |
Central Japan Railway Co. | | | 228,060 | | | $ | 40,022,159 | |
| | | | | | | | |
| Transportation Infrastructure–0.9% | |
Aena SME SA(a) | | | 153,390 | | | | 27,721,744 | |
| | | | | | | | |
| | | | | | | 573,974,914 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Consumer Discretionary–11.6% | | | | | | | | |
| Auto Components–0.5% | | | | | | | | |
Continental AG | | | 62,420 | | | | 15,852,758 | |
| | | | | | | | |
| Automobiles–1.6% | |
Honda Motor Co., Ltd. | | | 862,000 | | | | 25,463,924 | |
Peugeot SA | | | 1,075,010 | | | | 25,590,797 | |
| | | | | | | | |
| | | | | | | 51,054,721 | |
| | | | | | | | |
| Diversified Consumer Services–1.1% | |
New Oriental Education & Technology Group, Inc. (Sponsored ADR) | | | 400,420 | | | | 35,341,069 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure–1.8% | |
China Lodging Group Ltd. (Sponsored ADR)(b) | | | 182,560 | | | | 21,691,779 | |
InterContinental Hotels Group PLC | | | 654,373 | | | | 34,616,748 | |
| | | | | | | | |
| | | | | | | 56,308,527 | |
| | | | | | | | |
| Media–1.4% | |
CTS Eventim AG & Co. KGaA | | | 521,250 | | | | 22,773,620 | |
I-CABLE Communications Ltd.(b) | | | 978,362 | | | | 32,779 | |
REA Group Ltd. | | | 441,090 | | | | 23,233,829 | |
| | | | | | | | |
| | | | | | | 46,040,228 | |
| | | | | | | | |
| Specialty Retail–1.3% | |
Shimamura Co., Ltd. | | | 347,700 | | | | 41,708,264 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods–3.9% | |
Eclat Textile Co., Ltd. | | | 2,494,207 | | | | 30,423,037 | |
HUGO BOSS AG | | | 636,750 | | | | 56,185,039 | |
Li Ning Co., Ltd.(b) | | | 18,456,000 | | | | 16,520,752 | |
Yue Yuen Industrial Holdings Ltd. | | | 5,244,500 | | | | 20,010,474 | |
| | | | | | | | |
| | | | | | | 123,139,302 | |
| | | | | | | | |
| | | | | | | 369,444,869 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Health Care–7.0% | | | | | | | | |
| Health Care Equipment & Supplies–1.6% | | | | | | | | |
Cochlear Ltd. | | | 400,280 | | | | 50,068,720 | |
| | | | | | | | |
| Health Care Providers & Services–1.0% | |
Qualicorp SA | | | 2,652,700 | | | | 31,743,785 | |
| | | | | | | | |
| Pharmaceuticals–4.4% | |
Astellas Pharma, Inc. | | | 2,367,100 | | | | 30,127,343 | |
Novo Nordisk A/S–Class B | | | 688,890 | | | | 33,120,956 | |
Recordati SpA | | | 899,680 | | | | 41,517,312 | |
Sanofi | | | 370,470 | | | | 36,879,040 | |
| | | | | | | | |
| | | | | | | 141,644,651 | |
| | | | | | | | |
| | | | | | | 223,457,156 | |
| | | | | | | | |
| | | | | | | | |
| Consumer Staples–6.9% | | | | | | | | |
| Beverages–1.0% | | | | | | | | |
Pernod Ricard SA | | | 224,540 | | | $ | 31,061,603 | |
| | | | | | | | |
| Food & Staples Retailing–0.7% | | | | | | | | |
Tsuruha Holdings, Inc. | | | 189,000 | | | | 22,597,938 | |
| | | | | | | | |
| Food Products–1.1% | | | | | | | | |
Salmar ASA | | | 637,570 | | | | 18,030,549 | |
WH Group Ltd.(a) | | | 16,152,000 | | | | 17,201,917 | |
| | | | | | | | |
| | | | | | | 35,232,466 | |
| | | | | | | | |
| Household Products–2.8% | | | | | | | | |
Pigeon Corp. | | | 472,600 | | | | 16,156,177 | |
Reckitt Benckiser Group PLC | | | 495,800 | | | | 45,300,261 | |
Unicharm Corp. | | | 1,269,800 | | | | 29,085,243 | |
| | | | | | | | |
| | | | | | | 90,541,681 | |
| | | | | | | | |
| Tobacco–1.3% | | | | | | | | |
British American Tobacco PLC | | | 477,880 | | | | 29,917,059 | |
Imperial Brands PLC | | | 298,570 | | | | 12,743,197 | |
| | | | | | | | |
| | | | | | | 42,660,256 | |
| | | | | | | | |
| | | | | | | 222,093,944 | |
| | | | | | | | |
| | | | | | | | |
| | |
| Telecommunication Services–4.4% | | | | | |
| Diversified Telecommunication Services–4.4% | |
BT Group PLC | | | 3,616,260 | | | | 13,754,420 | |
China Telecom Corp., Ltd.–Class H | | | 60,052,000 | | | | 30,896,045 | |
China Unicom Hong Kong Ltd.(b) | | | 16,474,000 | | | | 23,031,850 | |
Nippon Telegraph & Telephone Corp. | | | 1,607,000 | | | | 73,633,858 | |
| | | | | | | | |
| | | | | | | 141,316,173 | |
| | | | | | | | |
| | | | | | | | |
| | |
| Energy–3.2% | | | | | |
| Oil, Gas & Consumable Fuels–3.2% | | | | | |
Caltex Australia Ltd. | | | 646,530 | | | | 16,312,861 | |
China Petroleum & Chemical Corp.–Class H | | | 37,766,000 | | | | 28,463,529 | |
JXTG Holdings, Inc. | | | 7,643,000 | | | | 39,408,991 | |
Royal Dutch Shell PLC–Class B | | | 581,740 | | | | 17,909,507 | |
| | | | | | | | |
| | | | | | | 102,094,888 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Materials–2.8% | | | | | | | | |
| Chemicals–1.9% | | | | | | | | |
Asahi Kasei Corp. | | | 1,312,000 | | | | 16,167,079 | |
Covestro AG(a) | | | 348,920 | | | | 30,024,798 | |
Sinopec Shanghai Petrochemical Co., Ltd.–Class H | | | 22,696,000 | | | | 13,559,663 | |
| | | | | | | | |
| | | | | | | 59,751,540 | |
| | | | | | | | |
| Metals & Mining–0.9% | | | | | | | | |
Agnico Eagle Mines Ltd. | | | 325,940 | | | | 14,730,320 | |
Barrick Gold Corp. | | | 860,000 | | | | 13,837,400 | |
| | | | | | | | |
| | | | | | | 28,567,720 | |
| | | | | | | | |
| | | | | | | 88,319,260 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
| Real Estate–2.7% | | | | | | | | |
| Real Estate Management & Development–2.7% | |
City Developments Ltd. | | | 1,799,100 | | | $ | 15,075,824 | |
CK Asset Holdings Ltd. | | | 4,866,500 | | | | 40,456,819 | |
Wharf Holdings Ltd. (The) | | | 3,528,000 | | | | 31,562,086 | |
| | | | | | | | |
| | | | | | | 87,094,729 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Utilities–1.5% | | | | | | | | |
| Electric Utilities–1.5% | | | | | |
EDP–Energias de Portugal SA | | | 6,557,670 | | | | 24,726,972 | |
Endesa SA | | | 980,030 | | | | 22,114,416 | |
| | | | | | | | |
| | | | | | | 46,841,388 | |
| | | | | | | | |
Total Common Stocks
(cost $2,764,630,336) | | | | | | | 3,101,855,855 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| SHORT-TERM INVESTMENTS–2.6% | |
| Investment Companies–2.6% | |
AB Fixed Income Shares, Inc.–
Government Money Market Portfolio–
Class AB, 0.83%(c)(d)(e)
(cost $81,233,576) | | | 81,233,576 | | | $ | 81,233,576 | |
| | | | | | | | |
Total Investments—99.8%
(cost $2,845,863,912) | | | | | | | 3,183,089,431 | |
| | |
Other assets less liabilities—0.2% | | | | | | | 7,128,757 | |
| | | | | | | | |
| Net Assets—100.0% | | | | | | $ | 3,190,218,188 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Australia and New Zealand Banking Group Ltd. | | | HKD | | | | 810,680 | | | | USD | | | | 103,710 | | | | 10/17/17 | | | $ | (103,365 | ) |
Australia and New Zealand Banking Group Ltd. | | | USD | | | | 6,973 | | | | AUD | | | | 8,728 | | | | 10/17/17 | | | | (127,977 | ) |
Australia and New Zealand Banking Group Ltd. | | | USD | | | | 7,920 | | | | EUR | | | | 6,607 | | | | 10/17/17 | | | | (105,352 | ) |
Australia and New Zealand Banking Group Ltd. | | | USD | | | | 8,675 | | | | JPY | | | | 948,788 | | | | 10/17/17 | | | | (237,369 | ) |
Bank of America, NA | | | BRL | | | | 32,955 | | | | USD | | | | 10,402 | | | | 10/03/17 | | | | (2,792 | ) |
Bank of America, NA | | | USD | | | | 10,397 | | | | BRL | | | | 32,955 | | | | 10/03/17 | | | | 7,879 | |
Bank of America, NA | | | USD | | | | 10,616 | | | | EUR | | | | 8,978 | | | | 10/17/17 | | | | 2,904 | |
Bank of America, NA | | | USD | | | | 9,116 | | | | CLP | | | | 5,673,784 | | | | 10/24/17 | | | | (254,530 | ) |
Bank of America, NA | | | TWD | | | | 952,000 | | | | USD | | | | 31,768 | | | | 11/22/17 | | | | 364,215 | |
Barclays Bank PLC | | | CAD | | | | 13,239 | | | | USD | | | | 10,906 | | | | 10/17/17 | | | | 294,911 | |
Barclays Bank PLC | | | CNY | | | | 30,023 | | | | USD | | | | 4,543 | | | | 10/17/17 | | | | 24,271 | |
Barclays Bank PLC | | | CNY | | | | 38,046 | | | | USD | | | | 5,693 | | | | 10/17/17 | | | | (32,561 | ) |
Barclays Bank PLC | | | JPY | | | | 8,413,521 | | | | USD | | | | 77,493 | | | | 10/17/17 | | | | 2,674,468 | |
Barclays Bank PLC | | | SGD | | | | 41,405 | | | | USD | | | | 30,616 | | | | 10/17/17 | | | | 86,235 | |
Barclays Bank PLC | | | SGD | | | | 6,596 | | | | USD | | | | 4,855 | | | | 10/17/17 | | | | (8,927 | ) |
Barclays Bank PLC | | | USD | | | | 5,342 | | | | CAD | | | | 6,561 | | | | 10/17/17 | | | | (83,493 | ) |
Barclays Bank PLC | | | USD | | | | 49,256 | | | | ZAR | | | | 640,888 | | | | 10/17/17 | | | | (2,026,134 | ) |
Barclays Bank PLC | | | USD | | | | 30,169 | | | | KRW | | | | 34,014,757 | | | | 10/26/17 | | | | (458,237 | ) |
Barclays Bank PLC | | | CNY | | | | 30,047 | | | | USD | | | | 4,530 | | | | 11/16/17 | | | | 20,300 | |
Barclays Bank PLC | | | USD | | | | 16,995 | | | | IDR | | | | 228,239,433 | | | | 11/16/17 | | | | (116,292 | ) |
Citibank, NA | | | BRL | | | | 47,792 | | | | USD | | | | 15,292 | | | | 10/03/17 | | | | 202,087 | |
Citibank, NA | | | BRL | | | | 14,837 | | | | USD | | | | 4,683 | | | | 10/03/17 | | | | (1,257 | ) |
Citibank, NA | | | USD | | | | 15,086 | | | | BRL | | | | 47,792 | | | | 10/03/17 | | | | 4,049 | |
Citibank, NA | | | USD | | | | 4,741 | | | | BRL | | | | 14,837 | | | | 10/03/17 | | | | (56,360 | ) |
Citibank, NA | | | AUD | | | | 2,760 | | | | USD | | | | 2,198 | | | | 10/17/17 | | | | 33,768 | |
Citibank, NA | | | EUR | | | | 120,326 | | | | USD | | | | 143,638 | | | | 10/17/17 | | | | 1,318,160 | |
Citibank, NA | | | GBP | | | | 2,984 | | | | USD | | | | 4,050 | | | | 10/17/17 | | | | 49,829 | |
Schedule of Investments (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Citibank, NA | | | ILS | | | | 75,114 | | | | USD | | | | 21,094 | | | | 10/17/17 | | | $ | (165,552 | ) |
Citibank, NA | | | USD | | | | 132,423 | | | | CHF | | | | 126,037 | | | | 10/17/17 | | | | (2,146,807 | ) |
Citibank, NA | | | USD | | | | 150,329 | | | | GBP | | | | 115,231 | | | | 10/17/17 | | | | 4,151,662 | |
Citibank, NA | | | USD | | | | 26,243 | | | | MXN | | | | 472,657 | | | | 10/17/17 | | | | (347,409 | ) |
Citibank, NA | | | USD | | | | 7,393 | | | | TRY | | | | 25,772 | | | | 10/17/17 | | | | (191,548 | ) |
Credit Suisse International | | | ILS | | | | 16,362 | | | | USD | | | | 4,554 | | | | 10/17/17 | | | | (77,025 | ) |
Credit Suisse International | | | USD | | | | 938 | | | | EUR | | | | 782 | | | | 10/17/17 | | | | (13,326 | ) |
Credit Suisse International | | | USD | | | | 7,584 | | | | GBP | | | | 5,616 | | | | 11/15/17 | | | | (48,914 | ) |
Morgan Stanley & Co., Inc. | | | CHF | | | | 6,413 | | | | USD | | | | 6,621 | | | | 10/17/17 | | | | (7,689 | ) |
Morgan Stanley & Co., Inc. | | | USD | | | | 600 | | | | EUR | | | | 502 | | | | 10/17/17 | | | | (6,461 | ) |
Morgan Stanley & Co., Inc. | | | USD | | | | 4,070 | | | | JPY | | | | 449,961 | | | | 10/17/17 | | | | (68,744 | ) |
Morgan Stanley & Co., Inc. | | | USD | | | | 4,723 | | | | CAD | | | | 5,843 | | | | 11/15/17 | | | | (38,787 | ) |
Nomura Global Financial Products, Inc. | | | AUD | | | | 7,873 | | | | USD | | | | 6,262 | | | | 10/17/17 | | | | 87,822 | |
Nomura Global Financial Products, Inc. | | | USD | | | | 5,924 | | | | AUD | | | | 7,376 | | | | 10/17/17 | | | | (139,486 | ) |
Nomura Global Financial Products, Inc. | | | USD | | | | 14,732 | | | | EUR | | | | 12,322 | | | | 10/17/17 | | | | (157,716 | ) |
Royal Bank of Scotland PLC | | | USD | | | | 121,680 | | | | CAD | | | | 150,612 | | | | 10/17/17 | | | | (960,108 | ) |
State Street Bank & Trust Co. | | | GBP | | | | 11,305 | | | | USD | | | | 15,347 | | | | 10/17/17 | | | | 190,894 | |
State Street Bank & Trust Co. | | | SGD | | | | 9,893 | | | | USD | | | | 7,284 | | | | 10/17/17 | | | | (10,218 | ) |
State Street Bank & Trust Co. | | | USD | | | | 11,371 | | | | AUD | | | | 14,367 | | | | 10/17/17 | | | | (102,779 | ) |
State Street Bank & Trust Co. | | | USD | | | | 1,632 | | | | EUR | | | | 1,380 | | | | 10/17/17 | | | | 489 | |
State Street Bank & Trust Co. | | | USD | | | | 10,898 | | | | EUR | | | | 9,086 | | | | 10/17/17 | | | | (151,577 | ) |
State Street Bank & Trust Co. | | | KRW | | | | 124,922,834 | | | | USD | | | | 110,069 | | | | 10/26/17 | | | | 953,600 | |
State Street Bank & Trust Co. | | | CNY | | | | 315,094 | | | | USD | | | | 47,984 | | | | 11/16/17 | | | | 696,414 | |
State Street Bank & Trust Co. | | | USD | | | | 47,158 | | | | INR | | | | 3,051,049 | | | | 11/29/17 | | | | (784,144 | ) |
UBS AG | | | USD | | | | 6,907 | | | | KRW | | | | 7,855,811 | | | | 10/26/17 | | | | (44,876 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 2,086,145 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the aggregate market value of these securities amounted to $133,019,947 or 4.2% of net assets. |
| (b) | | Non-income producing security. |
| (c) | | Affiliated investments. |
| (d) | | The rate shown represents the 7-day yield as of period end. |
| (e) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
Currency Abbreviations:
AUD—Australian Dollar
BRL—Brazilian Real
CAD—Canadian Dollar
CHF—Swiss Franc
CLP—Chilean Peso
CNY—Chinese Yuan Renminbi
EUR—Euro
GBP—Great British Pound
HKD—Hong Kong Dollar
IDR—Indonesian Rupiah
ILS—Israeli Shekel
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
SGD—Singapore Dollar
TRY—Turkish Lira
TWD—New Taiwan Dollar
USD—United States Dollar
ZAR—South African Rand
Glossary:
ADR—American Depositary Receipt
GDR—Global Depositary Receipt
PJSC—Public Joint Stock Company
REG—Registered Shares
See notes to financial statements.
Statement of Assets and Liabilities—September 30, 2017
| | | | | | | | | | | | |
| |
| | | SMALL CAP CORE
PORTFOLIO | | | INTERNATIONAL
SMALL CAP
PORTFOLIO | | | INTERNATIONAL
STRATEGIC EQUITIES
PORTFOLIO | |
| ASSETS | | | | | | | | | | | | |
Investments in securities at value | | | | | | | | | | | | |
Unaffiliated issuers | | $ | 880,926,235 | | | $ | 1,053,212,929 | | | $ | 3,101,855,855 | |
Affiliated issuers | | | 5,089,963 | | | | 23,304,588 | | | | 81,233,576 | |
Foreign currencies, at value (a) | | | 0 | | | | 4,581,016 | | | | 10,977,885 | |
Cash | | | 1,201,438 | | | | 0 | | | | 0 | |
Cash collateral due from broker | | | 719,950 | | | | 0 | | | | 903,000 | |
Other asset | | | 0 | | | | 72,864 | | | | 0 | |
Receivables: | | | | | | | | | | | | |
Unaffiliated dividends and interest | | | 817,682 | | | | 1,533,624 | | | | 9,947,125 | |
Affiliated dividends | | | 4,301 | | | | 21,075 | | | | 61,198 | |
Foreign withholding tax reclaims | | | 0 | | | | 964,946 | | | | 2,388,993 | |
Investment securities sold and foreign currency transactions | | | 13,388,788 | | | | 3,966,508 | | | | 1,968,303 | |
Capital shares sold | | | 660,746 | | | | 1,919,295 | | | | 7,525,690 | |
Variation margin on futures | | | 3,570 | | | | 0 | | | | 0 | |
Unrealized appreciation of forward currency exchange contracts | | | 0 | | | | 2,056,642 | | | | 11,163,957 | |
| | | | | | | | | | | | |
Total assets | | | 902,812,673 | | | | 1,091,633,487 | | | | 3,228,025,582 | |
| | | | | | | | | | | | |
| LIABILITIES | | | | | | | | | | | | |
Due to custodian | | | 0 | | | | 227,347 | | | | 1,266,167 | |
Cash collateral due to broker | | | 0 | | | | 0 | | | | 250,000 | |
Payables: | |
Investment securities purchased and foreign currency transactions | | | 15,905,418 | | | | 14,563,498 | | | | 24,066,102 | |
Management fee | | | 557,781 | | | | 900,918 | | | | 2,140,425 | |
Capital shares redeemed | | | 537,436 | | | | 352,600 | | | | 355,203 | |
Transfer Agent fee | | | 21,812 | | | | 16,616 | | | | 30,925 | |
Shareholder servicing fee | | | 2,007 | | | | 14,913 | | | | 30,476 | |
Accrued expenses | | | 214,137 | | | | 491,747 | | | | 590,284 | |
Unrealized depreciation of forward currency exchange contracts | | | 0 | | | | 1,210,682 | | | | 9,077,812 | |
| | | | | | | | | | | | |
Total liabilities | | | 17,238,591 | | | | 17,778,321 | | | | 37,807,394 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 885,574,082 | | | $ | 1,073,855,166 | | | $ | 3,190,218,188 | |
| | | | | | | | | | | | |
Cost of investments | | | | | | | | | | | | |
Unaffiliated issuers | | $ | 768,782,559 | | | $ | 866,936,551 | | | $ | 2,764,630,336 | |
Affiliated issuers | | | 5,089,963 | | | | 23,304,588 | | | | 81,233,576 | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Capital stock, at par | | $ | 7,232 | | | $ | 8,442 | | | $ | 25,078 | |
Additional paid-in capital | | | 728,604,383 | | | | 854,324,696 | | | | 2,759,693,001 | |
Undistributed net investment income | | | 1,344,703 | | | | 7,032,602 | | | | 26,829,322 | |
Accumulated net realized gain on investment transactions and foreign currency transactions | | | 42,573,760 | | | | 25,431,816 | | | | 64,313,501 | |
Net unrealized appreciation/depreciation of: | | | | | | | | | | | | |
Investments and futures transactions (b) | | | 113,044,004 | | | | 186,202,926 | | | | 337,225,519 | |
Foreign currency denominated assets and liabilities | | | 0 | | | | 854,684 | | | | 2,131,767 | |
| | | | | | | | | | | | |
| | $ | 885,574,082 | | | $ | 1,073,855,166 | | | $ | 3,190,218,188 | |
| | | | | | | | | | | | |
(a) Cost: $0, $4,583,189 and $10,970,425, respectively. (Note 1)
(b) Net of accrued foreign capital gains taxes of $0, $73,452 and $0, respectively.
See Notes to Financial Statements.
Statement of Assets and Liabilities—September 30, 2017 (continued)
| | | | | | | | | | | | |
| | | SMALL CAP CORE
PORTFOLIO | | | INTERNATIONAL
SMALL CAP
PORTFOLIO | | | INTERNATIONAL
STRATEGIC EQUITIES
PORTFOLIO | |
| | |
| CALCULATION OF MAXIMUM OFFERING PRICE | | | | | | | | | |
SCB Class Shares | | | | | | | | | | | | |
Net Assets | | $ | 10,276,396 | | | $ | 73,530,668 | | | $ | 152,724,891 | |
Shares of capital stock outstanding | | | 841,379 | | | | 5,791,959 | | | | 12,038,289 | |
| | | | | | | | | | | | |
Net asset value and offering price per share | | $ | 12.21 | | | $ | 12.70 | | | $ | 12.69 | |
| | | | | | | | | | | | |
Advisor Class Shares | | | | | | | | | | | | |
Net Assets | | $ | 695,957,330 | | | $ | 608,323,806 | | | $ | 1,760,819,495 | |
Shares of capital stock outstanding | | | 56,831,723 | | | | 47,815,419 | | | | 138,461,912 | |
| | | | | | | | | | | | |
Net asset value and offering price per share | | $ | 12.25 | | | $ | 12.72 | | | $ | 12.72 | |
| | | | | | | | | | | | |
Class Z Shares | | | | | | | | | | | | |
Net Assets | | $ | 179,340,356 | | | $ | 392,000,692 | | | $ | 1,276,673,802 | |
Shares of capital stock outstanding | | | 14,649,186 | | | | 30,816,021 | | | | 100,278,175 | |
| | | | | | | | | | | | |
Net asset value and offering price per share | | $ | 12.24 | | | $ | 12.72 | | | $ | 12.73 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
Statement of Operations—for the year ended September 30, 2017
| | | | | | | | | | | | |
| | | SMALL CAP CORE
PORTFOLIO | | | INTERNATIONAL
SMALL CAP
PORTFOLIO | | | INTERNATIONAL
STRATEGIC EQUITIES
PORTFOLIO | |
| INVESTMENT INCOME | | | | | | | | | | | | |
Income: | | | | | | | | | | | | |
Dividends | | | | | | | | | | | | |
Unaffiliated issuers (a) | | $ | 9,805,612 | | | $ | 16,082,822 | | | $ | 47,438,071 | |
Affiliated issuers | | | 43,095 | | | | 106,613 | | | | 239,676 | |
| | | | | | | | | | | | |
Total income | | | 9,848,707 | | | | 16,189,435 | | | | 47,677,747 | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | |
Management fee (see Note 2A) | | | 6,453,037 | | | | 8,071,244 | | | | 15,502,375 | |
Shareholder servicing fee (see Note 2B) | | | 18,669 | | | | 138,312 | | | | 265,620 | |
Custodian fee | | | 168,911 | | | | 274,804 | | | | 366,242 | |
Transfer Agent fee—Non-Retail Class | | | 3,846 | | | | 19,250 | | | | 17,032 | |
Transfer Agent fee—Advisor Class | | | 326,932 | | | | 158,184 | | | | 160,686 | |
Transfer Agent fee—Class Z | | | 28,903 | | | | 58,288 | | | | 121,093 | |
Recoupment of previously reimbursed expenses | | | 161,882 | | | | 27,230 | | | | 426,793 | |
Registration fees | | | 85,776 | | | | 95,747 | | | | 268,622 | |
Administrative | | | 67,566 | | | | 67,566 | | | | 67,188 | |
Auditing and tax fees | | | 52,855 | | | | 49,483 | | | | 48,867 | |
Printing fees | | | 37,150 | | | | 42,931 | | | | 39,584 | |
Directors’ fees and expenses | | | 31,204 | | | | 30,660 | | | | 63,133 | |
Organizational and offering expense | | | 25,457 | | | | 23,219 | | | | 23,194 | |
Legal fees | | | 24,750 | | | | 17,201 | | | | 32,375 | |
Miscellaneous | | | 29,966 | | | | 40,009 | | | | 55,268 | |
| | | | | | | | | | | | |
Total expenses | | | 7,516,904 | | | | 9,114,128 | | | | 17,458,072 | |
Less: expenses waived and reimbursed by the Manager (see Note 2A) | | | (83,907 | ) | | | (135,392 | ) | | | (1,017,181 | ) |
| | | | | | | | | | | | |
Net expenses | | | 7,432,997 | | | | 8,978,736 | | | | 16,440,891 | |
| | | | | | | | | | | | |
Net investment income | | | 2,415,710 | | | | 7,210,699 | | | | 31,236,856 | |
| | | | | | | | | | | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | |
Investment transactions (b) | | | 40,863,580 | | | | 30,446,468 | | | | 61,696,571 | |
Forward currency exchange contracts | | | 0 | | | | (349,402 | ) | | | 4,411,465 | |
Futures | | | 6,362,278 | | | | 0 | | | | 1,429,567 | |
Foreign currency transactions | | | 287 | | | | (491,316 | ) | | | (3,279,907 | ) |
| | | | | | | | | | | | |
Net realized gain on investment transactions and foreign currency transactions | | | 47,226,145 | | | | 29,605,750 | | | | 64,257,696 | |
| | | | | | | | | | | | |
Net change in unrealized appreciation/depreciation of: | | | | | | | | | | | | |
Investments (c) | | | 71,126,626 | | | | 122,228,764 | | | | 255,004,045 | |
Forward currency exchange contracts | | | 0 | | | | 637,607 | | | | 2,790,935 | |
Futures | | | 391,585 | | | | 0 | | | | 296,238 | |
Foreign currency denominated assets and liabilities | | | 0 | | | | 8,269 | | | | 9,157 | |
| | | | | | | | | | | | |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | 71,518,211 | | | | 122,874,640 | | | | 258,100,375 | |
| | | | | | | | | | | | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 118,744,356 | | | | 152,480,390 | | | | 322,358,071 | |
| | | | | | | | | | | | |
Contributions from affiliates (see Note 2A) | | | 0 | | | | 2,415 | | | | 0 | |
| | | | | | | | | | | | |
Net increase in net assets resulting from operations | | $ | 121,160,066 | | | $ | 159,693,504 | | | $ | 353,594,927 | |
| | | | | | | | | | | | |
(a) Net of foreign withholding taxes of $4,388, $1,904,509 and $5,063,252, respectively.
(b) Net of foreign capital gains taxes of $0, $69,872 and $0, respectively.
(c) Net of increase in accrued foreign capital gains taxes of $0, $13,927 and $0, respectively.
See Notes to Financial Statements.
Statement of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SMALL CAP CORE PORTFOLIO | | | | | | INTERNATIONAL SMALL CAP
PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD 12/29/15(a) TO 9/30/16 | | | | | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD 12/21/15(a) TO 9/30/16 | |
| | | | | |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 2,415,710 | | | $ | 791,341 | | | | | | | $ | 7,210,699 | | | $ | 6,289,355 | |
Net realized gain (loss) on investment transactions and foreign currency transactions | | | 47,226,145 | | | | (4,539,159 | ) | | | | | | | 29,605,750 | | | | 6,264,090 | |
Net change in unrealized appreciation/depreciation of investments | | | 71,518,211 | | | | 41,525,793 | | | | | | | | 122,874,640 | | | | 64,182,970 | |
Contributions from affiliates (see Note 2A) | | | 0 | | | | 0 | | | | | | | | 2,415 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 121,160,066 | | | | 37,777,975 | | | | | | | | 159,693,504 | | | | 76,736,415 | |
| | | | | | | | | | | | | | | | | | | | |
Dividends and distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income (b) | | | (2,070,664 | ) | | | (1,000 | ) | | | | | | | (9,805,539 | ) | | | 0 | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | | | | | (7,197,353 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions to shareholders | | | (2,070,664 | ) | | | (1,000 | ) | | | | | | | (17,002,892 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | |
Capital-share transactions: | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sales of shares | | | 144,669,429 | | | | 711,120,219 | | | | | | | | 373,247,420 | | | | 605,823,703 | |
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends | | | 1,683,335 | | | | 1,000 | | | | | | | | 15,960,643 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | |
Total proceeds from shares sold | | | 146,352,764 | | | | 711,121,219 | | | | | | | | 389,208,063 | | | | 605,823,703 | |
Cost of shares redeemed | | | (115,380,133 | ) | | | (13,486,145 | ) | | | | | | | (116,805,625 | ) | | | (23,898,002 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net assets from capital-share transactions | | | 30,972,631 | | | | 697,635,074 | | | | | | | | 272,402,438 | | | | 581,925,701 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net assets | | | 150,062,033 | | | | 735,412,049 | | | | | | | | 415,093,050 | | | | 658,662,116 | |
| | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 735,512,049 | | | | 100,000 | | | | | | | | 658,762,116 | | | | 100,000 | |
| | | | | | | | | | | | | | | | | | | | |
End of period (c) | | $ | 885,574,082 | | | $ | 735,512,049 | | | | | | | $ | 1,073,855,166 | | | $ | 658,762,116 | |
| | | | | | | | | | | | | | | | | | | | |
(c) Includes undistributed net investment income of: | | $ | 1,344,703 | | | $ | 833,238 | | | | | | | $ | 7,032,602 | | | $ | 7,741,576 | |
| | | | | | | | | | | | | | | | | | | | |
(a) Commencement of operations.
(b) See page 34 and 35 for share class information on dividend distributions for the Portfolios.
See Notes to Financial Statements.
| | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES
PORTFOLIO | |
| | | | | | | | |
| | | YEAR ENDED 9/30/17 | | | FOR THE PERIOD
12/21/15(a) TO
9/30/16 | |
| | |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | | | | | |
Operations: | | | | | | | | |
Net investment income | | $ | 31,236,856 | | | $ | 17,964,027 | |
Net realized gain (loss) on investment transactions and foreign currency transactions | | | 64,257,696 | | | | (1,431,499 | ) |
Net change in unrealized appreciation/depreciation of investments | | | 258,100,375 | | | | 81,256,911 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 353,594,927 | | | | 97,789,439 | |
| | | | | | | | |
Dividends and distributions to shareholders: | | | | | | | | |
Dividends from net investment income (b) | | | (17,284,795 | ) | | | (2,549 | ) |
Distributions from net realized gain on investment transactions (b) | | | (3,689,919 | ) | | | 0 | |
| | | | | | | | |
Total dividends and distributions to shareholders | | | (20,974,714 | ) | | | (2,549 | ) |
| | | | | | | | |
Capital-share transactions: | | | | | | | | |
Net proceeds from sales of shares | | | 1,752,230,315 | | | | 1,161,220,484 | |
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends | | | 19,090,466 | | | | 2,549 | |
| | | | | | | | |
Total proceeds from shares sold | | | 1,771,320,781 | | | | 1,161,223,033 | |
Cost of shares redeemed | | | (142,185,394 | ) | | | (30,647,335 | ) |
| | | | | | | | |
Net increase in net assets from capital-share transactions | | | 1,629,135,387 | | | | 1,130,575,698 | |
| | | | | | | | |
Net increase in net assets | | | 1,961,755,600 | | | | 1,228,362,588 | |
| | |
| NET ASSETS: | | | | | | | | |
Beginning of period | | | 1,228,462,588 | | | | 100,000 | |
| | | | | | | | |
End of period (c) | | $ | 3,190,218,188 | | | $ | 1,228,462,588 | |
| | | | | | | | |
(c) Includes undistributed net investment income of: | | $ | 26,829,322 | | | $ | 13,115,127 | |
| | | | | | | | |
(a) Commencement of operations.
(b) See page 34 and 35 for share class information on dividend distributions for the Portfolios.
See Notes to Financial Statements.
Statement of Changes in Net Assets (continued)
| | | | | | | | |
| |
| | | SMALL CAP CORE
PORTFOLIO | |
| | | | | | | | |
| | | YEAR ENDED
9/30/17 | | | FOR THE PERIOD 12/29/15(a) TO 9/30/16 | |
Dividends to shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
SCB Class | | $ | (7,038 | ) | | $ | (5 | ) |
Advisor Class | | | (1,673,434 | ) | | | (5 | ) |
Class Z | | | (390,192 | ) | | | (990 | ) |
| | | | | | | | |
| | $ | (2,070,664 | ) | | $ | (1,000 | ) |
| | | | | | | | |
| | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP
PORTFOLIO | |
| | | | | | | | |
| | | YEAR ENDED
9/30/17 | | | FOR THE PERIOD 12/21/15(a) TO 9/30/16 | |
Dividends and Distributions to shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
SCB Class | | $ | (559,157 | ) | | $ | 0 | |
Advisor Class | | | (5,563,147 | ) | | | 0 | |
Class Z | | | (3,683,235 | ) | | | 0 | |
| | | | | | | | |
| | $ | (9,805,539 | ) | | $ | 0 | |
| | | | | | | | |
Distributions from net realized gain on investment transactions | | | | | | | | |
SCB Class | | $ | (445,626 | ) | | $ | 0 | |
Advisor Class | | | (4,068,360 | ) | | | 0 | |
Class Z | | | (2,683,367 | ) | | | 0 | |
| | | | | | | | |
| | $ | (7,197,353 | ) | | $ | 0 | |
| | | | | | | | |
| | | | | | | | |
(a) Commencement of operations.
See Notes to Financial Statements.
| | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES
PORTFOLIO | |
| | | | | | | | |
| | | YEAR ENDED
9/30/17 | | | FOR THE PERIOD 12/21/15(a) TO 9/30/16 | |
Dividends and Distributions to shareholders: | | | | | | | | |
Dividends from net investment income | | | | | | | | |
SCB Class | | $ | (1,023,102 | ) | | $ | (4 | ) |
Advisor Class | | | (10,543,352 | ) | | | (5 | ) |
Class Z | | | (5,718,341 | ) | | | (2,540 | ) |
| | | | | | | | |
| | $ | (17,284,795 | ) | | $ | (2,549 | ) |
| | | | | | | | |
Distributions from net realized gain on investment transactions | | | | | | | | |
SCB Class | | $ | (228,518 | ) | | $ | 0 | |
Advisor Class | | | (2,242,019 | ) | | | 0 | |
Class Z | | | (1,219,382 | ) | | | 0 | |
| | | | | | | | |
| | $ | (3,689,919 | ) | | $ | 0 | |
| | | | | | | | |
| | | | | | | | |
(a) Commencement of operations.
See Notes to Financial Statements.
Financial Highlights
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
| | | | | | | | |
| |
| | | SMALL CAP CORE PORTFOLIO | |
| | | | | | | | |
| | | SCB CLASS | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/29/15(a) TO
9/30/16 | |
Net asset value, beginning of period | | $ | 10.54 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations: | |
Investment income, net†‡ | | | 0.01 | | | | 0.01 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 1.67 | | | | 0.53 | (b) |
| | | | | | | | |
Total from investment operations | | | 1.68 | | | | 0.54 | |
| | | | | | | | |
Less dividends: | |
Dividends from net investment income | | | (0.01 | ) | | | (0.00 | )(c) |
| | | | | | | | |
Net asset value, end of period | | $ | 12.21 | | | $ | 10.54 | |
| | | | | | | | |
Total return (d) | | | 15.98% | | | | 5.45% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $10,276 | | | | $4,870 | |
Average net assets (000 omitted) | | | $7,467 | | | | $2,314 | |
Ratio to average net assets of: | |
Expenses, net of waivers/reimbursements | | | 1.18% | | | | 1.30% | * |
Expenses, before waivers/reimbursements | | | 1.19% | | | | 1.40% | * |
Net investment income‡ | | | 0.05% | | | | 0.16% | * |
Portfolio turnover rate | | | 165% | | | | 88% | |
See Footnote Summary on page 44.
See Notes to Financial Statements.
| | | | | | | | |
| |
| | | SMALL CAP CORE
PORTFOLIO | |
| | | | | | | | |
| | | ADVISOR CLASS | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/29/15(a) TO
9/30/16 | |
Net asset value, beginning of period | | $ | 10.56 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations | |
Investment income, net†‡ | | | 0.03 | | | | 0.04 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 1.69 | | | | 0.53 | (b) |
| | | | | | | | |
Total from investment operations | | | 1.72 | | | | 0.57 | |
| | | | | | | | |
Less dividends: | |
Dividends from net investment income | | | (0.03 | ) | | | (0.01 | ) |
| | | | | | | | |
Net asset value, end of period | | $ | 12.25 | | | $ | 10.56 | |
| | | | | | | | |
Total return (d) | | | 16.29% | | | | 5.65% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $695,958 | | | | $603,862 | |
Average net assets (000 omitted) | | | $654,649 | | | | $175,999 | |
Ratio to average net assets of: | |
Expenses, net of waivers/reimbursements | | | 0.92% | | | | 1.05% | * |
Expenses, before waivers/reimbursements | | | 0.93% | | | | 1.15% | * |
Net investment income‡ | | | 0.30% | | | | 0.49% | * |
Portfolio turnover rate | | | 165% | | | | 88% | |
See Footnote Summary on page 44.
See Notes to Financial Statements.
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
| | | | | | | | |
| |
| | | SMALL CAP CORE
PORTFOLIO | |
| | | | | | | | |
| | | CLASS Z | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/29/15(a) TO
9/30/16 | |
Net asset value, beginning of period | | $ | 10.56 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations | |
Investment income, net†‡ | | | 0.03 | | | | 0.04 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 1.68 | | | | 0.53 | (b) |
| | | | | | | | |
Total from investment operations | | | 1.71 | | | | 0.57 | |
| | | | | | | | |
Less dividends: | |
Dividends from net investment income | | | (0.03 | ) | | | (0.01 | ) |
| | | | | | | | |
Net asset value, end of period | | $ | 12.24 | | | $ | 10.56 | |
| | | | | | | | |
Total return (d) | | | 16.22% | | | | 5.65% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $179,340 | | | | $126,780 | |
Average net assets (000 omitted) | | | $144,513 | | | | $36,539 | |
Ratio to average net assets of: | |
Expenses, net of waivers/reimbursements | | | 0.93% | | | | 1.05% | * |
Expenses, before waivers/reimbursements | | | 0.94% | | | | 1.35% | * |
Net investment income‡ | | | 0.30% | | | | 0.49% | * |
Portfolio turnover rate | | | 165% | | | | 88% | |
See Footnote Summary on page 44.
See Notes to Financial Statements.
| | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP
PORTFOLIO | |
| | | | | | | | |
| | | SCB CLASS | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD 12/21/15(a) TO 9/30/16 | |
Net asset value, beginning of period | | $ | 10.92 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations: | |
Investment income, net†‡ | | | 0.08 | | | | 0.11 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 1.96 | | | | 0.81 | |
Contributions from affiliates | | | 0.00 | (c) | | | 0 | |
| | | | | | | | |
Total from investment operations | | | 2.04 | | | | 0.92 | |
| | | | | | | | |
Less dividends and distributions: | |
Dividends from net investment income | | | (0.14 | ) | | | 0 | |
Distributions from net realized gain on investment transactions | | | (0.12 | ) | | | 0 | |
| | | | | | | | |
Total dividends and distributions | | | (0.26 | ) | | | 0 | |
| | | | | | | | |
Net asset value, end of period | | $ | 12.70 | | | $ | 10.92 | |
| | | | | | | | |
Total return (d) | | | 19.28% | | | | 9.20% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $73,531 | | | | $37,226 | |
Average net assets (000 omitted) | | | $55,325 | | | | $14,117 | |
Ratio to average net assets of: | |
Expenses, net of waivers/reimbursements | | | 1.35% | | | | 1.35% | * |
Expenses, before waivers/reimbursements | | | 1.36% | | | | 1.53% | * |
Net investment income‡ | | | 0.75% | | | | 1.38% | * |
Portfolio turnover rate | | | 65% | | | | 51% | |
See Footnote Summary on page 44.
See Notes to Financial Statements.
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
| | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP
PORTFOLIO | |
| | | | | | | | |
| | | ADVISOR CLASS | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD 12/21/15(a) TO 9/30/16 | |
Net asset value, beginning of period | | $ | 10.93 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations | |
Investment income, net†‡ | | | 0.10 | | | | 0.15 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 1.96 | | | | 0.78 | |
Contributions from affiliates | | | 0.00 | (c) | | | 0 | |
| | | | | | | | |
Total from investment operations | | | 2.06 | | | | 0.93 | |
| | | | | | | | |
Less dividends and distributions: | |
Dividends from net investment income | | | (0.15 | ) | | | 0 | |
Distributions from net realized gain on investment transactions | | | (0.12 | ) | | | 0 | |
| | | | | | | | |
Total dividends and distributions | | | (0.27 | ) | | | 0 | |
| | | | | | | | |
Net asset value, end of period | | $ | 12.72 | | | $ | 10.93 | |
| | | | | | | | |
Total return (d) | | | 19.51% | | | | 9.30% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $608,324 | | | | $367,468 | |
Average net assets (000 omitted) | | | $460,362 | | | | $230,324 | |
Ratio to average net assets of: | |
Expenses, net of waivers/reimbursements | | | 1.10% | | | | 1.10% | * |
Expenses, before waivers/reimbursements | | | 1.11% | | | | 1.22% | * |
Net investment income‡ | | | 0.93% | | | | 1.87% | * |
Portfolio turnover rate | | | 65% | | | | 51% | |
See Footnote Summary on page 44.
See Notes to Financial Statements.
| | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP
PORTFOLIO | |
| | | | | | | | |
| | | CLASS Z | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD 12/21/15(a) TO 9/30/16 | |
Net asset value, beginning of period | | $ | 10.93 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations | |
Investment income, net†‡ | | | 0.10 | | | | 0.15 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 1.96 | | | | 0.78 | |
Contributions from affiliates | | | 0.00 | (c) | | | 0 | |
| | | | | | | | |
Total from investment operations | | | 2.06 | | | | 0.93 | |
| | | | | | | | |
Less dividends and distributions: | |
Dividends from net investment income | | | (0.15 | ) | | | 0 | |
Distributions from net realized gain on investment transactions | | | (0.12 | ) | | | 0 | |
| | | | | | | | |
Total dividends and distributions | | | (0.27 | ) | | | 0 | |
| | | | | | | | |
Net asset value, end of period | | $ | 12.72 | | | $ | 10.93 | |
| | | | | | | | |
Total return (d) | | | 19.52% | | | | 9.30% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $392,000 | | | | $254,068 | |
Average net assets (000 omitted) | | | $291,438 | | | | $187,312 | |
Ratio to average net assets of: | |
Expenses, net of waivers/reimbursements | | | 1.10% | | | | 1.10% | * |
Expenses, before waivers/reimbursements | | | 1.11% | | | | 1.26% | * |
Net investment income‡ | | | 0.87% | | | | 1.92% | * |
Portfolio turnover rate | | | 65% | | | | 51% | |
See Footnote Summary on page 44.
See Notes to Financial Statements.
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
| | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES
PORTFOLIO | |
| | | | |
| | | SCB CLASS | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD 12/21/15(a) TO 9/30/16 | |
Net asset value, beginning of period | | $ | 10.57 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations: | |
Investment income, net†‡ | | | 0.18 | | | | 0.21 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 2.11 | | | | 0.36 | (b) |
| | | | | | | | |
Total from investment operations | | | 2.29 | | | | 0.57 | |
| | | | | | | | |
Less dividends and distributions: | |
Dividends from net investment income | | | (0.14 | ) | | | (0.00 | )(c) |
Distributions from net realized gain on investment transactions | | | (0.03 | ) | | | 0 | |
| | | | | | | | |
Total dividends and distributions | | | (0.17 | ) | | | (0.00 | ) |
| | | | | | | | |
Net asset value, end of period | | $ | 12.69 | | | $ | 10.57 | |
| | | | | | | | |
Total return (d) | | | 22.01% | | | | 5.75% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $152,725 | | | | $68,977 | |
Average net assets (000 omitted) | | | $106,248 | | | | $27,169 | |
Ratio to average net assets of: | |
Expenses, net of waivers/reimbursements | | | 1.17% | | | | 1.20% | * |
Expenses, before waivers/reimbursements | | | 1.23% | | | | 1.34% | * |
Net investment income‡ | | | 1.62% | | | | 2.70% | * |
Portfolio turnover rate | | | 69% | | | | 79% | |
See Footnote Summary on page 44.
See Notes to Financial Statements.
| | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES
PORTFOLIO | |
| | | | | | | | |
| | | ADVISOR CLASS | |
| | | YEAR
ENDED
9/30/17 | | | FORTHE PERIOD 12/21/15(a) TO 9/30/16 | |
Net asset value, beginning of period | | $ | 10.57 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations | | | | | | | | |
Investment income, net†‡ | | | 0.21 | | | | 0.23 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 2.11 | | | | 0.35 | (b) |
| | | | | | | | |
Total from investment operations | | | 2.32 | | | | 0.58 | |
| | | | | | | | |
Less dividends and distributions: | | | | | | | | |
Dividends from net investment income | | | (0.14 | ) | | | (0.01 | ) |
Distributions from net realized gain on investment transactions | | | (0.03 | ) | | | 0 | |
| | | | | | | | |
Total dividends and distributions | | | (0.17 | ) | | | (0.01 | ) |
| | | | | | | | |
Net asset value, end of period | | $ | 12.72 | | | $ | 10.57 | |
| | | | | | | | |
Total return (d) | | | 22.38% | | | | 5.75% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $1,760,819 | | | | $737,765 | |
Average net assets (000 omitted) | | | $1,023,860 | | | | $459,166 | |
Ratio to average net assets of: | | | | | | | | |
Expenses, net of waivers/reimbursements | | | 0.93% | | | | 0.95% | * |
Expenses, before waivers/reimbursements | | | 0.98% | | | | 1.06% | * |
Net investment income‡ | | | 1.85% | | | | 2.93% | * |
Portfolio turnover rate | | | 69% | | | | 79% | |
See Footnote Summary on page 44.
See Notes to Financial Statements.
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
| | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES
PORTFOLIO | |
| | | | | | | | |
| | | CLASS Z | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD 12/21/15(a) TO 9/30/16 | |
Net asset value, beginning of period | | $ | 10.58 | | | $ | 10.00 | |
| | | | | | | | |
Income from investment operations | | | | | | | | |
Investment income, net†‡ | | | 0.20 | | | | 0.24 | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 2.12 | | | | 0.35 | (b) |
| | | | | | | | |
Total from investment operations | | | 2.32 | | | | 0.59 | |
| | | | | | | | |
Less dividends and distributions: | | | | | | | | |
Dividends from net investment income | | | (0.14 | ) | | | (0.01 | ) |
Distributions from net realized gain on investment transactions | | | (0.03 | ) | | | 0 | |
| | | | | | | | |
Total dividends and distributions | | | (0.17 | ) | | | (0.01 | ) |
| | | | | | | | |
Net asset value, end of period | | $ | 12.73 | | | $ | 10.58 | |
| | | | | | | | |
Total return (d) | | | 22.35% | | | | 5.85% | |
| | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | |
Net assets, end of period (000 omitted) | | | $1,276,674 | | | | $421,721 | |
Average net assets (000 omitted) | | | $605,465 | | | | $295,180 | |
Ratio to average net assets of: | | | | | | | | |
Expenses, net of waivers/reimbursements | | | 0.94% | | | | 0.95% | * |
Expenses, before waivers/reimbursements | | | 1.00% | | | | 1.10% | * |
Net investment income‡ | | | 1.74% | | | | 3.04% | * |
Portfolio turnover rate | | | 69% | | | | 79% | |
| * | | Annualized, except for certain non-recurring fees. |
| † | | Based on average shares outstanding. |
| ‡ | | Net of fees and expenses waived by the Adviser. |
| (a) | | Commencement of operations. |
| (b) | | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accord with the Portfolios’ change in net realized and unrealized gain (loss) on investment transactions for the period. |
| (c) | | Amount is less than $.005 |
| (d) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
See Notes to Financial Statements.
Notes to Financial Statements
| NOTE 1. | Organization and Significant Accounting Policies |
Bernstein Fund, Inc. (the “Fund”) is a managed open-end registered investment company, incorporated in Maryland on September 11, 2015. The Fund operates as a series company currently comprised of three portfolios: Small Cap Core Portfolio, International Small Cap Portfolio and International Strategic Equities Portfolio (hereafter collectively referred to as the “Portfolios” and each individually a “Portfolio”) with the following share classes offered: SCB Class, Advisor Class and Class Z. Class Z shares are currently offered exclusively to registered investment companies (or their series) managed by AllianceBernstein L.P. (the “Adviser”). Small Cap Core Portfolio commenced operations on December 29, 2015. International Small Cap Portfolio and International Strategic Equities Portfolio commenced operations on December 21, 2015.
Each Portfolio has its own investment objectives. Each class of shares has 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, as applicable. 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. Each Portfolio 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 Portfolios.
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial
Notes to Financial Statements (continued)
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.
| B. | | Fair Value Measurements |
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios 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 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 Portfolios. Unobservable inputs reflect the Portfolios’ 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 Portfolios’ own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
The following tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of September 30, 2017:
| | | | | | | | | | | | | | | | |
SMALL CAP CORE PORTFOLIO
INVESTMENTSIN SECURITIES: | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Assets: | |
Common Stocks (a) | | $ | 880,926,235 | | | $ | 0 | | | $ | 0 | | | $ | 880,926,235 | |
Short-Term Investments | | | 5,089,963 | | | | 0 | | | | 0 | | | | 5,089,963 | |
Total Investments in Securities | | | 886,016,198 | | | | 0 | | | | 0 | | | | 886,016,198 | |
Other Financial Instruments (b): | | | | | | | | | | | | | | | | |
Assets: | |
Futures | | | 900,328 | | | | 0 | | | | 0 | | | | 900,328 | (c) |
Liabilities | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Total (d) | | $ | 886,916,526 | | | $ | 0 | | | $ | 0 | | | $ | 886,916,526 | |
| | | | |
INTERNATIONAL SMALL CAP PORTFOLIO
INVESTMENTSIN SECURITIES: | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Assets: | |
Common Stocks: | | | | | | | | | | | | | | | | |
Industrials | | $ | 43,304,242 | | | $ | 168,886,961 | | | $ | 0 | | | $ | 212,191,203 | |
Consumer Discretionary | | | 53,391,975 | | | | 150,717,875 | | | | 0 | | | | 204,109,850 | |
Information Technology | | | 32,318,194 | | | | 134,496,270 | | | | 0 | | | | 166,814,464 | |
Materials | | | 24,000,002 | | | | 83,191,577 | | | | 0 | | | | 107,191,579 | |
Consumer Staples | | | 26,111,159 | | | | 75,253,039 | | | | 0 | | | | 101,364,198 | |
Financials | | | 31,735,043 | | | | 68,357,967 | | | | 0 | | | | 100,093,010 | |
Real Estate | | | 28,587,036 | | | | 18,082,187 | | | | 0 | | | | 46,669,223 | |
Health Care | | | 14,307,491 | | | | 32,014,188 | | | | 0 | | | | 46,321,679 | |
Energy | | | 7,353,834 | | | | 21,048,062 | | | | 0 | | | | 28,401,896 | |
Utilities | | | 3,095,321 | | | | 14,785,596 | | | | 0 | | | | 17,880,917 | |
Telecommunication Services | | | 1,216,946 | | | | 16,172,804 | | | | 0 | | | | 17,389,750 | |
Investment Companies | | | 4,785,160 | | | | 0 | | | | 0 | | | | 4,785,160 | |
Short-Term Investments | | | 23,304,588 | | | | 0 | | | | 0 | | | | 23,304,588 | |
Total Investments in Securities | | | 293,510,991 | | | | 783,006,526 | (e) | | | 0 | | | | 1,076,517,517 | |
Other Financial Instruments (b): | | | | | | | | | | | | | | | | |
Assets: | |
Forward Currency Exchange Contracts | | | 0 | | | | 2,056,642 | | | | 0 | | | | 2,056,642 | |
Liabilities: | |
Forward Currency Exchange Contracts | | | 0 | | | | (1,210,682 | ) | | | 0 | | | | (1,210,682 | ) |
Total (f)(g) | | $ | 293,510,991 | | | $ | 783,852,486 | | | $ | 0 | | | $ | 1,077,363,477 | |
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO
INVESTMENTSIN SECURITIES: | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Assets: | |
Common Stocks: | | | | | | | | | | | | | | | | |
Financials | | $ | 62,375,602 | | | $ | 585,520,194 | | | $ | 0 | | | $ | 647,895,796 | |
Information Technology | | | 152,643,976 | | | | 446,678,762 | | | | 0 | | | | 599,322,738 | |
Industrials | | | 33,636,395 | | | | 540,338,519 | | | | 0 | | | | 573,974,914 | |
Consumer Discretionary | | | 57,032,848 | | | | 312,412,021 | | | | 0 | | | | 369,444,869 | |
Health Care | | | 31,743,785 | | | | 191,713,371 | | | | 0 | | | | 223,457,156 | |
Consumer Staples | | | 0 | | | | 222,093,944 | | | | 0 | | | | 222,093,944 | |
Telecommunication Services | | | 0 | | | | 141,316,173 | | | | 0 | | | | 141,316,173 | |
Energy | | | 0 | | | | 102,094,888 | | | | 0 | | | | 102,094,888 | |
Materials | | | 28,567,720 | | | | 59,751,540 | | | | 0 | | | | 88,319,260 | |
Real Estate | | | 0 | | | | 87,094,729 | | | | 0 | | | | 87,094,729 | |
Utilities | | | 0 | | | | 46,841,388 | | | | 0 | | | | 46,841,388 | |
Short-Term Investments | | | 81,233,576 | | | | 0 | | | | 0 | | | | 81,233,576 | |
Total Investments in Securities | | | 447,233,902 | | | | 2,735,855,529 | (e) | | | 0 | | | | 3,183,089,431 | |
Other Financial Instruments (b): | | | | | | | | | | | | | | | | |
Assets: | |
Forward Currency Exchange Contracts | | | 0 | | | | 11,163,957 | | | | 0 | | | | 11,163,957 | |
Liabilities: | |
Forward Currency Exchange Contracts | | | 0 | | | | (9,077,812 | ) | | | 0 | | | | (9,077,812 | ) |
Total (d) | | $ | 447,233,902 | | | $ | 2,737,941,674 | | | $ | 0 | | | $ | 3,185,175,576 | |
| | (a) | See schedule of Investments for sector classifications. |
| | (b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. |
| | (c) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) of exchange-traded derivatives as reported in the schedule of investments. |
| | (d) | There were no transfers between any levels during the reporting period. |
| | (e) | A significant portion of the Portfolio’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 1.A. |
| | (f) | An amount of $41,378,946 was transferred from Level 2 to Level 1 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period. |
| | (g) | There were de minimus transfers under 1% of net assets from Level 1 to Level 2 during the reporting period. |
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Portfolios. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.
In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).
| C. | | Foreign Currency Translation |
The accounting records of the Fund are maintained in U.S. dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/depreciation on foreign currencies.
The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Fund does isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year, as required by the Internal Revenue Code.
The International Small Cap Portfolio and International Strategic Equities Portfolio may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.
Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of its income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. 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 based on, management’s understanding of applicable local tax law.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior tax year) and has concluded that no provision for income tax is required in the Portfolios’ financial statements.
Notes to Financial Statements (continued)
| E. | | Security Transactions and Related Investment Income |
Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. The Portfolios amortize premiums and accrete discounts as adjustments to interest income.
| F. | | Securities Transactions on a When-Issued or Delayed-Delivery Basis |
Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.
All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund 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.
| H. | | Distribution of Income and Gains |
Dividends from net investment income, if any, will be paid to shareholders at least once a year.
Distributions of net realized gains, less any available loss carryforwards, if any, for all the Portfolios will be paid to shareholders at least once a year, and recorded on the ex-dividend date.
Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.
Permanent differences have no effect on net assets. The effects of such permanent differences on each Portfolio, due to foreign currency gain (loss) reclassifications, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of foreign capital gains tax, the tax treatment of partnership investments, contributions from affiliates and the tax treatment of offering costs are reflected as adjustments to the components of capital as of September 30, 2017, as shown below:
| | | | | | | | | | | | |
| PORTFOLIO | | INCREASE (DECREASE) TO ADDITIONAL PAID-IN CAPITAL | | | INCREASE (DECREASE) TO UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) | | | INCREASE (DECREASE) TO ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | |
Small Cap Core | | $ | (53,193 | ) | | $ | 166,419 | | | $ | (113,226 | ) |
International Small Cap | | | (55,540 | ) | | | 1,885,866 | | | | (1,830,326 | ) |
International Strategic Equities | | | (51,525 | ) | | | (237,866 | ) | | | 289,391 | |
| I. | | Organization and Offering Expenses |
Offering costs of $103,529, $103,639 and $103,529 have been deferred and were fully amortized on a straight line basis over a one year period starting from December 29, 2015 (commencement of operations) for Small Cap Core Portfolio and from December 21, 2015 (commencement of operations) for International Small Cap Portfolio and International Strategic Equities Portfolio, respectively.
| NOTE 2. | Investment Management and Transactions with Affiliated Persons |
Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.
The Portfolios pay the Adviser an investment management fee at an annualized rate as follows:
Small Cap Core Portfolio: 0.80% of the Portfolio’s average daily net assets.
International Small Cap Portfolio: 1.00% of the Portfolio’s average daily net assets.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ANNUAL PERCENTAGEOF AVERAGE DAILY NET ASSETSOF EACH PORTFOLIO | |
| PORTFOLIO | | FIRST $1 BILLION | | | NEXT $3 BILLION | | | NEXT $2 BILLION | | | NEXT $2 BILLION | | | NEXT $2 BILLION | | | THEREAFTER | |
| International Strategic Equities | | | 0.925 | % | | | 0.850 | % | | | 0.800 | % | | | 0.750 | % | | | 0.650 | % | | | 0.600 | % |
The Adviser has contractually agreed to waive the annual investment management fees of the International Strategic Equities Portfolio by an amount equal to 0.05% per annum of the average net assets of the Portfolio through January 27, 2018. For the year ended September 30, 2017, such waiver amounted to $867,787.
The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit the total portfolio operating expenses (excluding acquired fund fees and expenses other than the advisory fees of any AB Mutual Funds in which the Portfolios may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) as a percentage of daily average net assets on an annual basis (the “Expense Caps”) as follows:
| | | | | | | | | | | | |
| PORTFOLIO | | SCB CLASS | | | ADVISOR CLASS | | | CLASS Z | |
| Small Cap Core | | | 1.30 | % | | | 1.05 | % | | | 1.05 | % |
| International Small Cap | | | 1.35 | % | | | 1.10 | % | | | 1.10 | % |
| International Strategic Equities | | | 1.20 | % | | | 0.95 | % | | | 0.95 | % |
Any fees waived and expenses borne by the Adviser for the Portfolios through September 30, 2016 are subject to repayment by the Portfolios until September 30, 2019, such waivers that are subject to repayment amounted to:
| | | | | | | | |
| PORTFOLIO | | AMOUNT | | | | |
| Small Cap Core | | $ | 161,882 | | | | | |
| International Small Cap | | | 420,136 | | | | | |
| International Strategic Equities | | | 425,084 | | | | | |
Notes to Financial Statements (continued)
Any fees waived and expenses borne by the Adviser from October 1, 2016 through January 4, 2017 are subject to repayment by the Funds until September 30, 2020; such waivers that are subject to repayment amounted to:
| | | | | | | | |
| PORTFOLIO | | AMOUNT | | | | |
| Small Cap Core | | $ | 0 | | | | | |
| International Small Cap | | | 20,030 | | | | | |
| International Strategic Equities | | | 1,709 | | | | | |
During the year ended September 30, 2017, the Small Cap Core Portfolio, International Small Cap Portfolio and International Strategic Equities Portfolio made repayments to the Adviser in the amounts of $161,882, $27,230 and $426,793, respectively.
In any case, no repayment will be made that would cause the Portfolios’ total annual fund operating expenses to exceed the net fee percentage set forth per the Expense Caps. The Expense Caps may not be terminated by the Adviser before January 27, 2018. During the year ended September 30, 2017, such reimbursement/waivers amounted to:
| | | | | | | | |
| PORTFOLIO | | AMOUNT | | | | |
| Small Cap Core | | $ | 0 | | | | | |
| International Small Cap | | | 29,881 | | | | | |
| International Strategic Equities | | | 0 | | | | | |
Pursuant to the investment management agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. During the year ended September 30, 2017, the Adviser voluntarily agreed to waive such fees amounting to:
| | | | | | | | |
| PORTFOLIO | | AMOUNT | | | | |
| Small Cap Core | | $ | 67,566 | | | | | |
| International Small Cap | | | 67,566 | | | | | |
| International Strategic Equities | | | 67,188 | | | | | |
During the year ended September 30, 2017, the Adviser reimbursed the International Small Cap Portfolio $2,415 for trading losses incurred due to trade entry errors.
| B. | | Shareholder Servicing Fee; Transfer Agency Fee |
Under the Shareholder Servicing Agreement between the Bernstein Fund, Inc. and the Adviser, the Adviser pays expenses it incurs in providing shareholder servicing to the Fund, the Portfolios and individual shareholders. Such services include, but are not limited to, providing information to shareholders concerning their Bernstein Fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. Under the agreement, the fee paid by each Portfolio to the Adviser for services is 0.25% of the average daily net assets of SCB Class Shares.
Under a Transfer Agency Agreement between the Bernstein Fund, Inc., on behalf of the AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly owned subsidiary of the Adviser, for providing personnel and facilities to perform transfer agency services. ABIS may make payments to intermediaries that provide omnibus account services, sub accounting services and/or networking services. For the year ended September 30, 2017, the compensation retained by ABIS amounted to: Small Cap Core Portfolio, $246,753; International Small Cap Portfolio, $178,133; and International Strategic Equities Portfolio, $238,480.
| C. | | Distribution Arrangements |
Under the Distribution Agreement between the Fund, on behalf of each Portfolio, and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell shares of the Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.
| D. | | Investments in Affiliated Issuers |
The Portfolios may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. In connection with the investment by the Portfolios in the Government Money Market Portfolio, the Adviser has agreed to waive its advisory fee from the Portfolios in an amount equal to each Portfolio’s pro rata share of the effective advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolios as an acquired fund fee and expense. For the year ended September 30, 2017, such waivers amounted to:
| | | | | | | | |
| PORTFOLIO | | AMOUNT | | | | |
| Small Cap Core | | $ | 16,341 | | | | | |
| International Small Cap | | | 37,945 | | | | | |
| International Strategic Equities | | | 82,206 | | | | | |
A summary of the Portfolios’ transactions in shares of the Government Money Market Portfolio for the year ended September 30, 2017 is as follows:
| | | | | | | | | | | | | | | | | | | | |
| PORTFOLIO | | MARKET VALUE 9/30/16 (000) | | | PURCHASES AT COST (000) | | | SALES PROCEEDS (000) | | | MARKET VALUE 9/30/17 (000) | | | DIVIDEND INCOME (000) | |
| Small Cap Core | | $ | 12,157 | | | $ | 227,448 | | | $ | 234,515 | | | $ | 5,090 | | | $ | 43 | |
| International Small Cap | | | 13,549 | | | | 275,248 | | | | 265,492 | | | | 23,305 | | | | 107 | |
| International Strategic Equities | | | 31,905 | | | | 1,001,511 | | | | 952,182 | | | | 81,234 | | | | 240 | |
The Portfolios may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended September 30, 2017, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:
| | | | | | | | | | | | |
| PORTFOLIO | | PURCHASES | | | SALES | | | REALIZED GAIN/
(LOSS) | |
| International Small Cap | | $ | 7,264,972 | | | $ | 0 | | | $ | 0 | |
| International Strategic Equities | | $ | 171,439,423 | | | | 0 | | | | 0 | |
Brokerage commissions paid on investment transactions and brokerage commissions paid to Sanford C. Bernstein & Co., LLC and Sanford C. Bernstein & Co., Ltd., affiliates of the Adviser, for the year ended September 30, 2017 were as follows:
| | | | | | | | | | | | |
| PORTFOLIO | | TOTAL COMMISSIONS | | | SANFORD C. BERNSTEIN & CO., LLC | | | SANFORD C. BERNSTEIN & CO., LTD. | |
| Small Cap Core | | $ | 1,518,509 | | | $ | 0 | | | $ | 0 | |
| International Small Cap | | | 1,160,891 | | | | 0 | | | | 0 | |
| International Strategic Equities | | | 2,667,583 | | | | 0 | | | | 0 | |
Notes to Financial Statements (continued)
| NOTE 3. | Investment Security Transactions |
For the year ended September 30, 2017, the Portfolios had purchases and sales transactions, excluding transactions in short-term instruments, as follows:
| | | | | | | | | | | | | | | | |
| PORTFOLIO | | PURCHASES EXCLUDING U.S. GOVERNMENT SECURITIES | | | PURCHASES OF U.S. GOVERNMENT SECURITIES | | | SALES EXCLUDING U.S. GOVERNMENT SECURITIES | | | SALESOF U.S. GOVERNMENT SECURITIES | |
Small Cap Core | | $ | 1,368,256,390 | | | $ | 0 | | | $ | 1,317,793,204 | | | $ | 0 | |
International Small Cap | | | 780,102,118 | | | | 0 | | | | 517,291,390 | | | | 0 | |
International Strategic Equities | | | 2,772,932,073 | | | | 0 | | | | 1,185,624,599 | | | | 0 | |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | | | | | | | | | | | | | |
| | | | | | GROSS UNREALIZED | | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |
| PORTFOLIO | | COST | | | APPRECIATION | | | (DEPRECIATION) | | |
Small Cap Core | | $ | 779,568,772 | | | $ | 118,964,785 | | | $ | (12,517,359 | ) | | $ | 106,447,426 | |
International Small Cap | | | 898,810,193 | | | | 196,846,807 | | | | (18,995,064 | ) | | | 177,851,743 | |
International Strategic Equities | | | 2,848,281,683 | | | | 361,396,393 | | | | (26,376,998 | ) | | | 335,019,395 | |
| B. | | Derivative Financial Instruments |
Each Portfolio 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 Portfolios, as well as the methods in which they may be used are:
Each Portfolio 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 Portfolio 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 Portfolios 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 a Portfolio enters into futures, a Portfolio 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 Portfolio 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 Portfolio 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 Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Portfolio 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 Portfolio to unlimited risk of loss. Each Portfolio may enter into futures only on exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transactions; therefore, the Portfolio’s credit risk is subject to failure of the exchange or board of trade. 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 September 30, 2017, Small Cap Core Portfolio and International Strategic Equities Portfolio held futures for non-hedging purposes.
| | • | | Forward Currency Exchange Contracts |
Each Portfolio may enter into forward currency exchange contracts on either a spot (i.e., cash) or forward basis. Spot contracts are entered into at the rate then prevailing in the currency-exchange market. Currency exchange contracts obligate the contracting parties to purchase or sell a specific currency at a specified future date at a specified price. The Portfolios will generally not enter into a currency exchange contract with a term greater than one year. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolios. 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.
Forward currency exchange contracts used to protect the Portfolios from adverse currency movements involve the risk that the Adviser may not accurately predict currency movements. As a result, total return could be adversely affected. The Adviser 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 Adviser may enter into foreign currency transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value.
Under certain circumstances, the Portfolios may commit a substantial portion or the entire value of their Portfolios to the consummation of these contracts. The Adviser will consider the effect that a substantial commitment of assets to currency exchange contracts would have on the investment program of these Portfolios and the flexibility of the Portfolios to purchase additional securities.
During the year ended September 30, 2017, International Small Cap Portfolio and International Strategic Equities Portfolio held forward currency exchange contracts for hedging purposes.
A Portfolio 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, a Portfolio 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 a Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
A Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, a Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.
Notes to Financial Statements (continued)
During the year ended September 30, 2017, the Portfolios had entered into the following derivatives:
| | | | | | | | | | | | |
SMALL CAP
CORE PORTFOLIO | | ASSET DERIVATIVES | | | LIABILITY DERIVATIVES | |
| DERIVATIVE TYPE | | STATEMENT OF ASSETS
AND LIABILITIES
LOCATION | | FAIR VALUE | | | STATEMENT OF ASSETS
AND LIABILITIES LOCATION | | FAIR VALUE | |
Equity contracts | | Receivable/Payable for variation margin on futures | | $ | 900,328 | * | | | | | | |
Total | | | | $ | 900,328 | | | | | | | |
| | * | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
| | | | | | | | | | |
| DERIVATIVE TYPE | | LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN STATEMENT OF
OPERATIONS | | REALIZED GAIN
OR (LOSS)ON
DERIVATIVES | | | CHANGE IN UNREALIZED
APPRECIATIONOR
(DEPRECIATION) | |
Equity contracts | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | $ | 6,362,278 | | | $ | 391,585 | |
Total | | | | $ | 6,362,278 | | | $ | 391,585 | |
| | | | | | | | | | | | |
INTERNATIONAL SMALL CAP
PORTFOLIO | | ASSET DERIVATIVES | | | LIABILITY DERIVATIVES | |
| DERIVATIVE TYPE | | STATEMENTOF ASSETS
AND LIABILITIES
LOCATION | | FAIR VALUE | | | STATEMENT OF ASSETS
AND LIABILITIES LOCATION | | FAIR VALUE | |
Foreign exchange contracts | | Unrealized appreciation on forward currency exchange contracts | | $ | 2,056,642 | | | Unrealized depreciation on forward currency exchange contracts | | $ | 1,210,682 | |
Total | | | | $ | 2,056,642 | | | | | $ | 1,210,682 | |
| | | | | | | | | | |
| DERIVATIVE TYPE | | LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN STATEMENT
OF OPERATIONS | | REALIZED GAIN
OR (LOSS)ON
DERIVATIVES | | | CHANGE IN UNREALIZED
APPRECIATIONOR
(DEPRECIATION) | |
Foreign exchange contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | $ | (349,402 | ) | | $ | 637,607 | |
Total | | | | $ | (349,402 | ) | | $ | 637,607 | |
| | | | | | | | | | | | |
INTERNATIONAL STRATEGIC
EQUITIES PORTFOLIO | | ASSET DERIVATIVES | | | LIABILITY DERIVATIVES | |
| DERIVATIVE TYPE | | STATEMENTOF ASSETS
AND LIABILITIES LOCATION | | FAIR VALUE | | | STATEMENTOF ASSETS
AND LIABILITIES LOCATION | | FAIR VALUE | |
Foreign exchange contracts | | Unrealized appreciation on forward currency exchange contracts | | $ | 11,163,957 | | | Unrealized depreciation on forward currency exchange contracts | | $ | 9,077,812 | |
Total | | | | $ | 11,163,957 | | | | | $ | 9,077,812 | |
| | | | | | | | | | | | |
| DERIVATIVE TYPE | | LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN STATEMENT OF
OPERATIONS | | REALIZED GAIN
OR (LOSS)ON
DERIVATIVES | | | CHANGE IN UNREALIZED
APPRECIATIONOR
(DEPRECIATION) | |
Equity contracts | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | $ | 1,429,567 | | | $ | 296,238 | |
Foreign exchange contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | | 4,411,465 | | | | 2,790,935 | |
Total | | | | | $5,841,032 | | | $ | 3,087,173 | |
The following tables represent the average monthly volume of the Portfolios’ derivative transactions during the year ended September 30, 2017
| | | | |
| SMALL CAP CORE PORTFOLIO | | | |
Futures: | | | | |
Average original value of buy contracts | | $ | 37,728,610 | |
| | | | |
| INTERNATIONAL SMALL CAP PORTFOLIO | | | |
Forward Currency Exchange Contracts: | | | | |
Average principal amount of buy contracts | | $ | 91,349,864 | |
Average principal amount of sale contracts | | $ | 75,751,917 | |
| | | | |
| INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO | | | |
Futures: | | | | |
Average original value of buy contracts | | $ | 24,571,843 | (a) |
| |
Forward Currency Exchange Contracts: | | | | |
Average principal amount of buy contracts | | $ | 398,901,188 | |
Average principal amount of sale contracts | | $ | 396,324,264 | |
| | (a) | Positions were open for ten months during the year. |
For financial reporting purposes, the Portfolios do 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 tables present the Portfolios’ derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/ pledged by the Portfolios as of September 30, 2017. Exchange-traded derivatives are not subject to netting arrangements and as such are excluded from the table. At September 30, 2017, the total derivative assets and liabilities not subject to netting arrangements for Small Cap Core Portfolio were $900,328 and $0, respectively. At September 30, 2017, all derivatives were subject to netting arrangements for International Small Cap Portfolio and International Strategic Equities Portfolio.
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | |
INTERNATIONAL SMALL CAP PORTFOLIO | |
| | | | | |
| COUNTERPARTY | | DERIVATIVE ASSETS
SUBJECTTOA MA | | | DERIVATIVE
AVAILABLE
FOR OFFSET | | | CASH
COLLATERAL
RECEIVED* | | | SECURITY
COLLATERAL
RECEIVED* | | | NET AMOUNT OF
DERIVATIVES
ASSETS | |
OTC Derivatives: | | | | | | | | | | | | | | | | | | | | |
Bank of America, NA | | $ | 180,373 | | | $ | (114,763 | ) | | $ | 0 | | | $ | 0 | | | $ | 65,610 | |
Barclays Bank PLC | | | 684,669 | | | | (684,669 | ) | | | 0 | | | | 0 | | | | 0 | |
Citibank, NA | | | 209,670 | | | | (45,654 | ) | | | 0 | | | | 0 | | | | 164,016 | |
State Street Bank & Trust Co. | | | 315,822 | | | | (61,288 | ) | | | 0 | | | | 0 | | | | 254,534 | |
UBS AG | | | 666,108 | | | | (179,980 | ) | | | 0 | | | | 0 | | | | 486,128 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 2,056,642 | | | $ | (1,086,354 | ) | | $ | 0 | | | $ | 0 | | | $ | 970,288 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| COUNTERPARTY | | DERIVATIVE LIABILITIES
SUBJECTTOA MA | | | DERIVATIVE
AVAILABLE
FOR OFFSET | | | CASH
COLLATERAL
PLEDGED* | | | SECURITY
COLLATERAL
PLEDGED* | | | NET AMOUNT OF
DERIVATIVES
LIABILITIES | |
OTC Derivatives: | | | | | | | | | | | | | | | | | | | | |
Bank of America, NA | | $ | 114,763 | | | $ | (114,763 | ) | | $ | 0 | | | $ | 0 | | | $ | 0 | |
Barclays Bank PLC | | | 798,184 | | | | (684,669 | ) | | | 0 | | | | 0 | | | | 113,515 | |
Citibank, NA | | | 45,654 | | | | (45,654 | ) | | | 0 | | | | 0 | | | | 0 | |
Royal Bank of Scotland PLC | | | 10,813 | | | | 0 | | | | 0 | | | | 0 | | | | 10,813 | |
State Street Bank & Trust Co. | | | 61,288 | | | | (61,288 | ) | | | 0 | | | | 0 | | | | 0 | |
UBS AG | | | 179,980 | | | | (179,980 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,210,682 | | | $ | (1,086,354 | ) | | $ | 0 | | | $ | 0 | | | $ | 124,328 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| | * | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| | ^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
| | | | | | | | | | | | | | | | | | | | |
INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO | |
| | | | | |
| COUNTERPARTY | | DERIVATIVE ASSETS
SUBJECTTOA MA | | | DERIVATIVE
AVAILABLE
FOR OFFSET | | | CASH
COLLATERAL
RECEIVED* | | | SECURITY
COLLATERAL
RECEIVED* | | | NET AMOUNT OF
DERIVATIVES
ASSETS | |
OTC Derivatives: | | | | | | | | | | | | | | | | | | | | |
Bank of America, NA | | $ | 374,998 | | | $ | (257,322 | ) | | $ | (117,676 | ) | | $ | 0 | | | $ | 0 | |
Barclays Bank PLC | | | 3,100,185 | | | | (2,725,644 | ) | | | 0 | | | | 0 | | | | 374,541 | |
Citibank, NA | | | 5,759,555 | | | | (2,908,933 | ) | | | 0 | | | | 0 | | | | 2,850,622 | |
Nomura Global Financial Products, Inc. | | | 87,822 | | | | (87,822 | ) | | | 0 | | | | 0 | | | | 0 | |
State Street Bank & Trust Co. | | | 1,841,397 | | | | (1,048,718 | ) | | | 0 | | | | 0 | | | | 792,679 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 11,163,957 | | | $ | (7,028,439 | ) | | $ | (117,676 | ) | | $ | 0 | | | $ | 4,017,842 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DERIVATIVE LIABILITIES
SUBJECT TOA MA | | | DERIVATIVE
AVAILABLE
FOR OFFSET | | | CASH
COLLATERAL
PLEDGED* | | | SECURITY
COLLATERAL
PLEDGED* | | | NET AMOUNT OF
DERIVATIVES
LIABILITIES | |
OTC Derivatives: | | | | | | | | | | | | | | | | | | | | |
Australia and New Zealand Banking Group Ltd. | | $ | 574,063 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 574,063 | |
Bank of America, NA | | | 257,322 | | | | (257,322 | ) | | | 0 | | | | 0 | | | | 0 | |
Barclays Bank PLC | | | 2,725,644 | | | | (2,725,644 | ) | | | 0 | | | | 0 | | | | 0 | |
Citibank, NA | | | 2,908,933 | | | | (2,908,933 | ) | | | 0 | | | | 0 | | | | 0 | |
Credit Suisse International | | | 139,265 | | | | 0 | | | | 0 | | | | 0 | | | | 139,265 | |
Morgan Stanley & Co., Inc. | | | 121,681 | | | | 0 | | | | 0 | | | | 0 | | | | 121,681 | |
Nomura Global Financial Products, Inc. | | | 297,202 | | | | (87,822 | ) | | | 0 | | | | 0 | | | | 209,380 | |
Royal Bank of Scotland PLC | | | 960,108 | | | | 0 | | | | 0 | | | | 0 | | | | 960,108 | |
State Street Bank & Trust Co. | | | 1,048,718 | | | | (1,048,718 | ) | | | 0 | | | | 0 | | | | 0 | |
UBS AG | | | 44,876 | | | | 0 | | | | 0 | | | | 0 | | | | 44,876 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 9,077,812 | | | $ | (7,028,439 | ) | | $ | 0 | | | $ | 0 | | | $ | 2,049,373 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| | * | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| | ^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
The Portfolios may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolios 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 Portfolios 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 Portfolio 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 Portfolios 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 4. | Distributions to Shareholders |
The tax character of distributions paid during the fiscal years ended September 30, 2017 and September 30, 2016 were as follows:
| | | | | | | | |
| PORTFOLIO | | 2017 | | | 2016 | |
Small Cap Core | | | | | | | | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 2,070,664 | | | $ | 1,000 | |
| | | | | | | | |
Total distributions paid | | $ | 2,070,664 | | | $ | 1,000 | |
| | | | | | | | |
| | | | | | | | |
International Small Cap | | | | | | | | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 17,002,892 | | | $ | 0 | |
| | | | | | | | |
Total distributions paid | | $ | 17,002,892 | | | $ | 0 | |
| | | | | | | | |
| | | | | | | | | |
Notes to Financial Statements (continued)
| | | | | | | | |
| PORTFOLIO | | 2017 | | | 2016 | |
International Strategic Equities | | | | | | | | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 18,490,651 | | | $ | 2,549 | |
Long-term capital gains | | $ | 2,484,063 | | | $ | 0 | |
| | | | | | | | |
Total distributions paid | | $ | 20,974,714 | | | $ | 2,549 | |
| | | | | | | | |
| | | | | | | | | |
As of September 30, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | |
| PORTFOLIO | | UNDISTRIBUTED ORDINARY INCOME | | | UNDISTRIBUTED LONG-TERM GAINS | | | ACCUMULATED CAPITALAND OTHER LOSSES(a) | | | UNREALIZED APPRECIATION/ (DEPRECIATION)(b) | | | TOTAL ACCUMULATED EARNINGS/ (DEFICIT) | |
Small Cap Core | | $ | 39,031,129 | | | $ | 11,483,912 | | | $ | 0 | | | $ | 106,447,426 | | | $ | 156,962,467 | |
International Small Cap | | | 26,737,410 | | | | 14,997,601 | | | | 0 | | | | 177,787,015 | | | | 219,522,026 | |
International Strategic Equities | | | 44,772,998 | | | | 50,662,094 | | | | 0 | | | | 335,065,017 | | | | 430,500,109 | |
| | (a) | During the fiscal year ended September 30, 2017 Small Cap Core Portfolio utilized capital loss carryforwards of $2,572,833 to offset current year net realized gains. |
| | (b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax treatment of the tax deferral of losses on wash sales, the tax treatment of passive foreign investment companies (PFICs), partnership adjustments, and the realization for tax purposes of gains/losses on certain derivative instruments. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of September 30, 2017, all three Portfolios did not have any capital loss carryforwards.
| NOTE 5. | Risks Involved in Investing in the Portfolios |
Foreign (Non-U.S.) Securities Risk—Investments in foreign securities entail significant risks in addition to those customarily associated with investing in U.S. securities. These risks include risks related to economic, political and social instability, which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.
Country Concentration Risk—The Portfolios may not always be diversified among countries or regions and the effect on the share price of the Portfolios of specific risks identified above such as political, regulatory and currency may be magnified due to concentration of the Portfolios’ investments in a particular country or region.
Emerging Markets Securities Risk—The risks of investing in foreign (non-U.S.) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.
Foreign Currency Risk—This is the risk that changes in foreign (non-U.S.) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign stocks and foreign currency positions may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar).
Actions by a Few Major Investors—In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.
Liquidity Risk—Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid securities at an advantageous price. Illiquid securities may also be difficult to value. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk.
Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline.
Market Risk—The Portfolios are subject to market risk, which is the risk that stock prices in general may decline over short or extended periods. Stock prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; and other factors. In the past, financial markets in the United States and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. Recently, some securities markets, particularly in Europe and Asia, have been very volatile and have declined in value significantly. These market conditions may recur from time to time and have on adverse impact on various securities market. The U.S. Government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other US or non-US governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.
Current political uncertainty surrounding the European Union (EU) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-cap companies. Investments in small-cap companies may have additional risks because these companies have limited product lines, markets or financial resources.
Allocation Risk—The Portfolios may seek to focus on different investment disciplines or factors at different times as means to achieve their investment objectives. In the event that the investment disciplines or factors to which the Portfolios have greater exposure perform worse than the investment disciplines or factors with less exposure, the Portfolios’ returns may be negatively affected.
Derivatives Risk—The Portfolios may use derivatives in currency hedging strategies as well as for direct investments to gain access to certain markets, earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain
Notes to Financial Statements (continued)
derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. The U.S. Government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Management Risk—The Portfolios are subject to management risk because they are an actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but its decisions may not produce the desired results. In some cases, derivative and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.
REIT Risk—Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, are not diversified, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Investing in REITs also involves risks similar to those associated with investing in small-capitalization companies. REITs may have limited financial resources, may trade less frequently and in a limited volume and may be subject to more abrupt or erratic price movements than larger company securities.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies, including other AB Mutual Funds and ETFs, are subject to market and selection risk. In addition, if the Portfolios acquire shares of investment companies, shareholders bear both their proportionate share of expenses in the Portfolios (including management and advisory fees) and, indirectly, the expenses of the investment companies.
Cybersecurity Risk—Cybersecurity incidents may allow an unauthorized party to gain access to Portfolio assets, customer data (including private shareholder information), or proprietary information, or cause the Portfolios, the Adviser, and/or its service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality.
Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.
| NOTE 6. | Capital-Share Transactions |
The Fund has authorized 27 billion shares of common stock, par value $0.0001 per share. Each SCB Class, Advisor Class and Class Z of the Portfolios is allocated 1 billion shares. The balance of the authorized shares have been allocated to share classes that are currently not offered.
Share transactions for each Portfolio for the period ended September 30, 2017, were as follows:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | SMALL CAP CORE PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/29/15(a) TO
9/30/16 | | | | | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/29/15(a) TO
9/30/16 | |
SCB Class Shares | |
Shares sold | | | 470,811 | | | | 503,212 | | | | | | | $ | 5,411,903 | | | $ | 4,871,414 | |
Shares issued to shareholders on reinvestment of dividends | | | 497 | | | | 1 | | | | | | | | 5,911 | | | | 5 | |
Shares redeemed | | | (91,837 | ) | | | (41,305 | ) | | | | | | | (1,058,048 | ) | | | (407,153 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 379,471 | | | | 461,908 | | | | | | | $ | 4,359,766 | | | $ | 4,464,266 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Advisor Class Shares | |
Shares sold | | | 7,825,561 | | | | 58,276,726 | | | | | | | $ | 90,029,115 | | | $ | 583,858,853 | |
Shares issued to shareholders on reinvestment of dividends | | | 108,173 | | | | 0 | (b) | | | | | | | 1,287,265 | | | | 5 | |
Shares redeemed | | | (8,287,958 | ) | | | (1,090,779 | ) | | | | | | | (95,775,891 | ) | | | (11,110,469 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (354,224 | ) | | | 57,185,947 | | | | | | | $ | (4,459,511 | ) | | $ | 572,748,389 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Class Z Shares | |
Shares sold | | | 4,183,658 | | | | 12,203,217 | | | | | | | $ | 49,228,411 | | | $ | 122,389,952 | |
Shares issued to shareholders on reinvestment of dividends | | | 32,786 | | | | 102 | | | | | | | | 390,159 | | | | 990 | |
Shares redeemed | | | (1,573,475 | ) | | | (207,102 | ) | | | | | | | (18,546,194 | ) | | | (1,968,523 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 2,642,969 | | | | 11,996,217 | | | | | | | $ | 31,072,376 | | | $ | 120,422,419 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | Commencement of operations. |
| | (b) | Share amount is less than one full share. |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/21/15(a)TO
9/30/16 | | | | | | YEAR ENDED
9/30/17 | | | FOR THE PERIOD
12/21/15(a) TO
9/30/16 | |
SCB Class Shares | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 2,749,565 | | | | 3,523,508 | | | | | | | $ | 30,237,045 | | | $ | 36,153,789 | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 90,510 | | | | 0 | | | | | | | | 918,683 | | | | 0 | |
Shares redeemed | | | (458,054 | ) | | | (113,570 | ) | | | | | | | (5,326,496 | ) | | | (1,184,560 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 2,382,021 | | | | 3,409,938 | | | | | | | $ | 25,829,232 | | | $ | 34,969,229 | |
| | | | | | | | | | | | | | | | | | | | |
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/21/15(a)TO
9/30/16 | | | | | | YEAR ENDED
9/30/17 | | | FOR THE PERIOD
12/21/15(a) TO
9/30/16 | |
Advisor Class Shares | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 18,529,910 | | | | 34,896,865 | | | | | | | $ | 208,924,146 | | | $ | 339,718,913 | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 854,715 | | | | 0 | | | | | | | | 8,675,357 | | | | 0 | |
Shares redeemed | | | (5,198,655 | ) | | | (1,267,416 | ) | | | | | | | (59,299,709 | ) | | | (13,172,262 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 14,185,970 | | | | 33,629,449 | | | | | | | $ | 158,299,794 | | | $ | 326,546,651 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Class Z Shares | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 11,222,032 | | | | 24,250,748 | | | | | | | $ | 134,086,229 | | | $ | 229,951,001 | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 627,252 | | | | 0 | | | | | | | | 6,366,603 | | | | 0 | |
Shares redeemed | | | (4,286,011 | ) | | | (1,008,000 | ) | | | | | | | (52,179,420 | ) | | | (9,541,180 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 7,563,273 | | | | 23,242,748 | | | | | | | $ | 88,273,412 | | | $ | 220,409,821 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | Commencement of operations. |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/21/15(a) TO
9/30/16 | | | | | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/21/15(a) TO
9/30/16 | |
SCB Class Shares | |
Shares sold | | | 6,259,282 | | | | 6,707,227 | | | | | | | $ | 70,571,599 | | | $ | 67,376,960 | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 106,631 | | | | 1 | | | | | | | | 1,099,369 | | | | 4 | |
Shares redeemed | | | (855,882 | ) | | | (178,970 | ) | | | | | | | (9,910,861 | ) | | | (1,832,999 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 5,510,031 | | | | 6,528,258 | | | | | | | $ | 61,760,107 | | | $ | 65,543,965 | |
| | | | | | | | | | | | | | | | | | | | |
| |
Advisor Class Shares | |
Shares sold | | | 78,248,043 | | | | 72,141,616 | | | | | | | $ | 933,571,440 | | | $ | 699,986,523 | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 1,072,119 | | | | 1 | | | | | | | | 11,053,548 | | | | 5 | |
Shares redeemed | | | (10,643,383 | ) | | | (2,356,484 | ) | | | | | | | (121,214,577 | ) | | | (23,990,138 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 68,676,779 | | | | 69,785,133 | | | | | | | $ | 823,410,411 | | | $ | 675,996,390 | |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/21/15(a) TO
9/30/16 | | | | | | YEAR
ENDED
9/30/17 | | | FOR THE PERIOD
12/21/15(a) TO
9/30/16 | |
Class Z Shares | |
Shares sold | | | 60,643,893 | | | | 40,341,955 | | | | | | | $ | 748,087,276 | | | $ | 393,857,001 | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 671,593 | | | | 252 | | | | | | | | 6,937,549 | | | | 2,540 | |
Shares redeemed | | | (882,266 | ) | | | (507,252 | ) | | | | | | | (11,059,956 | ) | | | (4,824,198 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 60,433,220 | | | | 39,834,955 | | | | | | | $ | 743,964,869 | | | $ | 389,035,343 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | Commencement of operations. |
Prior to commencement of operations, the Portfolios had no operations other than the sale of Class Z Shares to the Adviser of 10,000 shares at $10 per share for each Portfolio.
At September 30, 2017, certain AllianceBerstein mutual funds owned 15%, 25% and 27% of Small Cap Core Portfolio, International Small Cap Portfolio and International Strategic Equities Portfolio, respectively, in aggregate of the Portfolios’ outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolios’ performance.
On October 26, 2017, the Board of Directors of the Fund approved an amended Investment Management Agreement, to be effective on January 1, 2018, which will reduce the advisory fees payable by the International Strategic Equities Portfolio as set forth below:
| | | | | | | | | | | | |
| PORTFOLIO | | FIRST
$2.5 BILLION | | | NEXT
$2.5 BILLION | | | THEREAFTER | |
| International Strategic Equities Portfolio | | | 0.75 | % | | | 0.65 | % | | | 0.60 | % |
Effective November 1, 2017, the Adviser modified certain non-fundamental investment policies of the International Small Cap Portfolio to focus primarily on international core and quantitative strategies.
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 other material events that would require disclosure in the Portfolios’ financial statements through this date.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of Bernstein Fund, Inc.:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Small Cap Core Portfolio, International Small Cap Portfolio, and International Strategic Equities Portfolio (three portfolios constituting Bernstein Fund, Inc., hereafter referred to as the “Fund”) as of September 30, 2017, the results of each of their operations for the year then ended, and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of September 30, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopersLLP
New York, New York
November 29, 2017
2017 Federal Tax Information (Unaudited)
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by each applicable Portfolio during the taxable year ended September 30, 2017. For corporate shareholders, the following percentages of dividends paid by each Portfolio qualify for the dividends received deduction.
| | | | | | | | |
| PORTFOLIO | | DIVIDENDS RECEIVED DEDUCTION %
(CORPORATE SHAREHOLDERS) | | | | |
Small Cap Core | | | 46.79 | % | | | | |
For the taxable year ended September 30, 2017, each Portfolio designates the following amounts as the maximum amount that may be considered qualified dividend income for individual shareholders.
| | | | | | | | |
| PORTFOLIO | | QUALIFIED DIVIDEND INCOME | | | | |
Small Cap Core | | $ | 924,070 | | | | | |
International Small Cap | | | 8,229,780 | | | | | |
International Strategic Equities | | | 16,280,351 | | | | | |
Shareholders should not use the above information to prepare their income tax returns. The information necessary to complete your income tax returns will be inculded with your Form 1099-DIV which will be sent to you seperately in January 2018.
Bernstein Fund, Inc.
BOARDOF DIRECTORS
Bart Friedman(1)(3)
Chairman
Kathleen Fisher
President
R. Jay Gerken(1)
Director
William Kristol(1)
Director
Debra Perry(1)
Director
Donald Peterson(1)
Director
OFFICERS
Philip L. Kirstein,
Senior Vice President and Independent Compliance Officer
Andrew Birse(2),
Vice President
Peter Chocian(2),
Vice President
Serdar Kalaycioglu(2),
Vice President
Samantha Lau(2),
Vice President
Stuart Rae(2),
Vice President
Shri Singhvi(2),
Vice President
Sammy Suzuki(2),
Vice President
Nelson Yu(2),
Vice President
Joseph J. Mantineo,
Treasurer and Chief Financial Officer
Emilie D. Wrapp,
Secretary
Phyllis J. Clarke,
Controller
Vincent S. Noto,
Chief Compliance Officer
CUSTODIANAND ACCOUNTING AGENT
State Street Bank and Trust Company
State Street Corporation CCB/5
1 Iron Street
Boston, MA 02210
PRINCIPAL UNDERWRITER
AllianceBernstein Investments, Inc.
1345 Avenue of the Americas
New York, NY 10105
TRANSFER AGENT
AllianceBernstein Investor Services, Inc.
P.O. Box 786003
San Antonio, TX 78278-6003
Toll-Free (800) 221-5672
INDEPENDENT REGISTEREDPUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
300 Madison Avenue
New York, NY 10017
LEGAL COUNSEL
Willkie Farr & Gallagher LLP
787 Seventh Avenue
New York, NY 10019-6099
(1) Member of the Audit Committee, the Governance Nomination and Compensation Committee and the Independent Directors Committee.
(2) The day-to-day management of, and investment decisions for, the Portfolios are made by the senior management teams. Messrs. Rae and Suzuki are the investment professionals with the most significant responsibility for the day-to-day management of the International Strategic Equities Portfolio. Messrs. Birse, Chocian and Yu are the investment professionals with the most significant responsibility for the day-to-day management of the International Small Cap Portfolio. Ms. Lau and Messrs. Kalaycioglu and Singhvi are the investment professionals with the most significant responsibility for the day-to-day management of the Small Cap Core Portfolio.
(3) Member of the Special Pricing Committee.
| | | | | | | | |
DIRECTORS’ INFORMATION | | | |
Name, Address+, Age,
(year of Election*) | | Principal Occupation(s)
During Past 5 Years and Other Information | | Portfolios in
Fund Complex
Overseen
By Director | | | Other Public Company
Directorships Currently
Held by Director |
INTERESTED DIRECTOR | | | | | | |
Kathleen Fisher** c/o AllianceBernstein L.P. 1345 Avenue of the Americas New York, NY 10105 63 (2017) | | Senior Vice President of the Manager with which she has been associated since prior to 2012. She is the Head of Wealth and Investment Strategies of the Manager’s Bernstein Private Wealth Management unit since 2014, leading the team responsible for developing and communicating asset allocation advice and investment strategies for Bernstein’s high-net-worth clients. Since 2013, Ms. Fisher has overseen research on investment planning and wealth transfer issues facing high-net-worth families, endowments and foundations. She has been a National Managing Director of Bernstein since 2009. She joined AB in 2001 as a Senior Portfolio Manager. Prior to joining AB, she spent 15 years at J.P. Morgan, most recently as a managing director advising banks on acquisitions, divestitures and financing techniques. Prior thereto, she held positions at both Morgan Stanley and at the Federal Reserve Bank of New York. | | | 18 | | | Southwestern Vermont Health Care; and Hildene—The Lincoln Family Home |
DISINTERESTED DIRECTORS | | | | | | |
Bart Friedman#^ Chairman of the Board 72 (2005) | | Senior Partner at Cahill Gordon & Reindel LLP (law firm) since prior to 2012. | | | 18 | | | Chair of the Audit Committee of The Brookings Institution; Chair of the Audit and Compensation Committees of Lincoln Center for the Performing Arts; Allied World Assurance Holdings; and Ovid Therapeutics, Inc. |
| | | |
R. Jay Gerken# 66 (2013) | | Formerly, President and Chief Executive Officer of Legg Mason Partners Fund Advisor, LLC, and President & Board Member of The Legg Mason and Western Asset mutual funds from 2005 until June 2013. Previously, he was the President and Chair of the funds boards of the Citigroup Asset Management mutual funds (2002-2005); Portfolio Manager and Managing Director, Smith Barney Asset Management (1993-2001) and President & CEO, Directions Management of Shearson Lehman, Inc. (1988-1993). | | | 18 | | | Cedar Lawn Corporation; Trustee of the New Jersey Chapter of The Nature Conservancy; Trustee of the United Methodist Foundation of New Jersey; and Associated Banc-Corp |
Bernstein Fund, Inc. (continued)
| | | | | | | | |
DIRECTORS’ INFORMATION (continued) | | | |
Name, Address+, Age,
(year of Election*) | | Principal Occupation(s)
During Past 5 Years and Other Information | | Portfolios in
Fund Complex
Overseen
By Director | | | Other Public Company
Directorships Currently
Held by Director |
William Kristol# 64 (1994) | | Editor, The Weekly Standard since prior to 2012. He is a regular contributor on ABC’s This Week and on ABC’s special events and elections coverage, and appears frequently on other leading political commentary shows. | | | 18 | | | Manhattan Institute; John M. Ashbrook Center for Public Affairs at Ashland University; The Salvatori Center at Claremont McKenna College; The Shalem Foundation; and The Institute for the Study of War |
| | | |
Debra Perry# 66 (2011) | | Formerly, Senior Managing Director of Global Ratings and Research, Moody’s Investors Service, Inc. from 2001 to 2004; Chief Administrative Officer, Moody’s, from 1999 to 2001; Chief Credit Officer, Moody’s, from 2000 to 2001; Group Managing Director for the Finance, Securities and Insurance Ratings Groups, Moody’s Corp., from 1996 to 1999; Earlier she held executive positions with First Boston Corporation and Chemical Bank. | | | 18 | | | Assurant, Inc.; Genworth Financial, Inc.; Korn/Ferry International; PartnerRe, from 2013-2016; Bank of America Funds Series Trust, from 2014-2016; CNO Financial Group since prior to 2009 until 2011. |
| | | |
Donald K. Peterson# 68 (2007) | | Formerly, Chairman and Chief Executive Officer, Avaya Inc. from 2002 to 2006; President and Chief Executive Officer, Avaya Inc. from 2000 to 2001; President, Enterprise Systems Group in 2000; Chief Financial Officer, Lucent Technologies from 1996 to 2000; Chief Financial Officer, AT&T, Communications Services Group from 1995 to 1996; President, Nortel Communications Systems, Inc. from 1994 to 1995. Prior thereto, he was at Nortel from 1976 to 1995. | | | 18 | | | Worcester Polytechnic Institute, (Emeritus); Member of the Board of TIAA; and Member of the Board of TIAA-CREF Trust Company, FSB |
* There is no stated term of office for the Directors.
+ The address for each of the Fund’s Disinterested Directors is c/o AllianceBernstein L.P., Attention: Philip L. Kirstein, 1345 Avenue of the Americas, New York, NY 10105.
** Ms. Fisher is an “interested person” as defined by the Investment Company Act of 1940, because of her affiliation with AllianceBernstein.
‡ Member of the Audit Committee, the Nominating, Governance and Compensation Committee and the Independent Directors Committee.
^ Member of the Special Pricing Committee.
| | | | |
MANAGEMENTOFTHE FUND |
| Name, Address,* and Age | | Principal Position(s)
Held with Fund | | Principal Occupation
During Past 5 Years |
Kathleen Fisher, 63 | | President | | See biography above. |
| | |
Philip L. Kirstein, 72 | | Senior Vice President and Independent Compliance Officer | | Senior Vice President and Independent Compliance Officer of the AB Funds, with which he has been associated since October 2004. Prior thereto, he was Of Counsel to Kirkpatrick & Lockhart, LLP from October 2003 to October 2004, and General Counsel of Merrill Lynch Investment Managers, L.P., prior to March 2003. |
| | |
Andrew Birse, 39 | | Vice President | | Senior Vice President of the Manager**, with which he has been associated since prior to 2012. |
| | |
Peter Chocian, 45 | | Vice President | | Vice President of the Manager**, with which he has been associated since prior to 2012. |
| | |
Serdar Kalaycioglu, 40 | | Vice President | | Senior Vice President of the Manager**, with which he has been associated since prior to 2012. |
| | |
Samantha Lau, 45 | | Vice President | | Senior Vice President of the Manager**, with which she has been associated since prior to 2012. |
| | |
Stuart Rae, 52 | | Vice President | | Senior Vice President of the Manager**, with which he has been associated since prior to 2012. |
| | |
Shri Singhvi, 43 | | Vice President | | Senior Vice President of the Manager**, with which he has been associated since prior to 2012. |
| | |
Sammy Suzuki, 46 | | Vice President | | Senior Vice President of the Manager**, with which he has been associated since prior to 2012. |
| | |
Nelson Yu, 46 | | Vice President | | Senior Vice President of the Manager**, with which he has been associated since prior to 2012. Head of Quantitative Research—Equities of the Adviser since 2014, and Head—Blend Strategies since 2017. |
| | |
Emilie D. Wrapp, 62 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2012. |
Bernstein Fund, Inc. (continued)
| | | | |
MANAGEMENTOFTHE FUND (continued) |
| Name, Address,* and Age | | Principal Position(s)
Held with Fund | | Principal Occupation
During Past 5 Years |
Joseph J. Mantineo, 58 | | Treasurer and Chief Financial Officer | | Senior Vice President of AllianceBernstein Investor Services (“ABIS”)**, with which he has been associated since prior to 2012. |
| | |
Phyllis J. Clarke, 56 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2012. |
| | |
Vincent S. Noto, 52 | | Chief Compliance Officer | | Senior Vice President since 2015 and Mutual Fund Chief Compliance Officer of the Manager** since 2014. Prior thereto, he was Vice President and Director of Mutual Fund Compliance of the Manager** since prior to 2012. |
* The address for each of the Fund’s Officers is 1345 Avenue of the Americas, New York, NY 10105.
** The Manager, 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 212-486-5800, or visit www.bernstein.com, for a free prospectus or SAI.
Board Consideration of the Fund’s Investment Advisory and Management Agreement
At a Board meeting held on October 26, 2017, the Board of Directors of the Bernstein Fund considered and approved the renewal of the Investment Management Agreement between the Fund and the Adviser. A discussion of the factors considered by the Directors in approving the renewal of the Agreement will be included in the semi-annual report to shareholders for the period ending March 31, 2018.
Bernstein Fund, Inc.
International Strategic Equities Portfolio
International Small Cap Portfolio
Small Cap Core Portfolio
The Board of Directors, including the Directors who are not interested persons of the Fund (the “Directors”) of Bernstein Fund, Inc. (the “Fund”) unanimously approved the Fund’s Investment Advisory and Management Agreement (the “Advisory Agreement”) with AllianceBernstein L.P. (the “Adviser”) in respect of the International Strategic Equities, the International Small Cap and the Small Cap Core Portfolios (each, a “Portfolio” and collectively the “Portfolios”) for an initial two-year period at a meeting held on September 17, 2015.
Prior to approval of the Advisory Agreement, the Directors had requested from the Adviser, and received and evaluated, extensive materials. In approving the Advisory Agreement, the Board of Directors, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Advisory Agreement and considered whether approval of the Advisory Agreement would be in the best interests of each respective Portfolio.
The Board of Directors also reviewed an independent evaluation by the Fund’s Senior Officer of the reasonableness of the advisory fees in the Advisory Agreement, wherein the Senior Officer concluded that the contractual fees contained in the Adviser’s proposal were reasonable with respect to all Portfolios and within the range of what would have been negotiated at arms-length in light of the surrounding circumstances.
The matters discussed below where considered separately by the Independent Directors in executive sessions, during which experienced counsel that is independent of the Adviser provided guidance to the Independent Directors. No single factor was considered in isolation or to be determinative to the decision of the Board to approve the Advisory Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered, that it was in the best interests of each Portfolio to approve the Advisory Agreement including the fees to be charged for services thereunder, as described below.
Fees and Other Expenses
The Board of Directors, including the Independent Directors, compared the fees and expense ratios of each Portfolio as proposed by the Adviser (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”), at a hypothetical common asset level of $750 million for the International Strategic Equities Portfolio, $350 million for the International Small Cap Portfolio and $850 million for the Small Cap Core Portfolio. Both the peer groups and the funds within each peer group, with respect to the fee and expense data, were prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data. Where applicable, the Board considered similarities and differences between each Portfolio and the other funds in its respective peer group, including the relationship of fees to the size of fund assets. The Senior Officer also performed analyses of the advisory fees and compared such analyses to the Portfolios’ peer groups.
The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser.
On the basis of its review and consideration of the proposed fees as described above and the Board’s review of the other factors described below, and in light of the Adviser’s agreement to waive a portion of the advisory fees of the International Strategic Equities Portfolio for the first year of operations, the Board concluded that the contractual advisory fees are reasonable.
Board Consideration of the Fund’s Investment Advisory and Management Agreement (continued)
Nature, Extent and Quality of Services
The Directors, including the Independent Directors, considered the nature and quality of the services to be provided by the Adviser to the Portfolios gained from their experience as Directors of the Sanford C. Bernstein Fund, Inc. (the “SCB Fund”), 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 SCB Fund Portfolios. The Directors noted that they have four regular meetings each year, at each of which they receive presentations from the Adviser on the investment results of the SCB Fund Portfolios and review extensive materials and information presented by the Adviser.
Since the Portfolios had not yet commenced operations and there were no existing SCB Fund Portfolios with the same investment style as the Portfolios, no performance or other historical information for the Portfolios was available from the Adviser. Based on the Adviser’s written and oral presentations regarding the management of the Portfolios and their general knowledge of the Adviser’s competence in managing mutual funds, the Directors concluded that they were satisfied that the Adviser was capable of providing high quality portfolio management services to the Portfolios.
The Directors considered the scope and quality of services to be 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 SCB Fund. They also noted the professional experience and qualifications of the Portfolios’ portfolio managers and other members of the investment team and other senior personnel of the Adviser.
The Directors also considered that the Advisory Agreement provides that the Portfolios may reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services provided to the Portfolios by employees of the Adviser or its affiliates. The methodology for determining reimbursement amounts was reviewed with the Directors at the meeting and the Directors noted that this methodology had been reviewed by an independent consultant retained by the Fund’s Senior Officer. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Portfolios’ other service providers, also were considered. The Directors also noted the Adviser’s agreement not to seek reimbursement under this provision during the first year of operations of the Fund.
The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.
Profitability
Because the Fund had not yet commenced operations, the Directors were unable to consider historical information about the profitability of the Portfolios. However, the Adviser agreed to provide the Directors with profitability information in connection with future proposed continuances of the Advisory Agreement. The Directors also referred to the profitability information they had received with respect to the existing Portfolios of the SCB Fund. The Directors also considered the anticipated costs to be borne by the Adviser in providing services to the Portfolios particularly during the initial period before the Portfolios reached projected asset levels.
Economies of Scale
The Board of Directors, including the Independent Directors, considered the possibility that the Adviser may realize economies of scale in the future in its overall mutual fund business or those components of it which directly or indirectly affect the Fund’s operations.
The Board concluded that the benefits of any potential economies of scale with respect to the Bernstein Portfolios during the initial two-year term of the Advisory Agreement for the Bernstein Fund were expected to be appropriately shared with Portfolio investors by way of, among other things, the International Strategic Equities Portfolio’s breakpoint arrangements as currently in effect, expense caps and fee waivers on the Portfolios, and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements.
Fall-Out Benefits and Other Revenue
The Board of Directors, including the Independent Directors, also took into account potential so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to certain share classes, to the extent offered, and transfer agency fees paid to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.
Advisory Fee Rate Schedule
On the basis of the information considered, and in light of the Adviser’s agreement to waive the advisory fee of the International Strategic Equities Portfolio by an amount equal to 0.05% per annum of the net assets of the Portfolio through December 21, 2016, the Board determined to approve the Advisory Agreement of the Bernstein Fund for an initial two-year term as set forth below:
| | |
| | | ADVISORY FEE SCHEDULE |
| International Small Cap Portfolio | | 1.00% of the Portfolio’s average net assets. |
| | |
| International Strategic Equities Portfolio | | 0.925% of the first $1 billion of the Portfolio average net assets, 0.85% of the excess over $1 billion up to $4 billion, 0.80% of the excess over $4 billion up to $6 billion, 0.75% of the excess over $6 billion up to $8 billion, 0.65% of the excess over $8 billion up to $10 billion, and 0.60% of the excess of the Portfolio’s average net assets over $10 billion. The Adviser has contractually agreed to waive 0.05% of the management fee through December 21, 2016. |
| | |
| Small Cap Core Portfolio | | 0.80% of the Portfolio’s average net assets. |
Distributor
BERNSTEIN FUND, INC.
1345 AVENUEOFTHE AMERICAS, NEW YORK, NY 10105
(212) 756-4097
ISCEC–0151-0917
(a) The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer and principal accounting officer. A copy of the registrant’s code of ethics is filed herewith as Exhibit 12(a)(1).
(b) During the period covered by this report, no material amendments were made to the provisions of the code of ethics adopted in 2(a) above.
(c) During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in 2(a) above were granted.
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The registrant’s Board of Directors has determined that independent directors Donald K. Peterson, Debra Perry, Suzanne Brenner and R. Jay Gerken qualify as audit committee financial experts.
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) - (c) The following table sets forth the aggregate fees billed by the independent registered public accounting firm Pricewaterhouse Coopers LLP , for the Fund’s last two fiscal years for professional services rendered for: (i) the audit of the Fund’s annual financial statements included in the Fund’s annual report to stockholders; (ii) assurance and related services that are reasonably related to the performance of the audit of the Fund’s financial statements and are not reported under (i), which include advice and education related to accounting and auditing issues, quarterly press release review (for those Funds that issue quarterly press releases), and preferred stock maintenance testing (for those Funds that issue preferred stock); and (iii) tax compliance, tax advice and tax return preparation.
| | | | | | | | | | | | | | | | |
| | | | | | Audit Fees | | | Audit-Related
Fees | | | Tax Fees | |
| Bernstein Fund Inc. | | | 2016 | | | $ | 8,000.00 | | | $ | — | | | $ | 2,041 | |
| | | 2017 | | | $ | 53,775.00 | | | $ | — | | | $ | 71,002 | |
(d) Not applicable.
(e) (1) Beginning with audit and non-audit service contracts entered into on or after May 6, 2003, the Fund’s Audit Committee policies and procedures require the pre-approval of all audit and non-audit services provided to the Fund by the Fund’s independent registered public accounting firm. The Fund’s Audit Committee policies and procedures also require pre-approval of all audit and non-audit services provided to the Adviser and Service Affiliates to the extent that these services are directly related to the operations or financial reporting of the Fund.
(e) (2) All of the amounts for Audit Fees, Audit-Related Fees and Tax Fees in the table under Item 4 (a)–(c) are for services pre-approved by the Fund’s Audit Committee.
(f) Not applicable.
(g) The following table sets forth the aggregate non-audit services provided to the Fund, the Fund’s Adviser and entities that control, are controlled by or under common control with the Adviser that provide ongoing services to the Fund:
| | | | | | | | | | | | |
| | | | | | All Fees for
Non-Audit Services
Provided to the
Portfolio, the Adviser
and Service Affiliates | | | Total Amount of
Foregoing Column Pre-
approved by the Audit
Committee
(Portion Comprised of
Audit Related Fees)
(Portion Comprised of
Tax Fees) | |
Bernstein Fund Inc. | | | 2016 | | | $ | 9,255,652 | | | $ | 2,041 | |
| | | | | | | | | | $ | — | |
| | | | | | | | | | $ | (2,041 | ) |
| | | |
| | | 2017 | | | $ | 10,043,021 | | | $ | 71,002 | |
| | | | | | | | | | $ | — | |
| | | | | | | | | | $ | (71,002 | ) |
(h) The Audit Committee of the Fund has considered whether the provision of any non-audit services not pre-approved by the Audit Committee provided by the Fund’s independent registered public accounting firm to the Adviser and Service Affiliates is compatible with maintaining the auditor’s independence.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the registrant.
| ITEM 6. | SCHEDULE OF INVESTMENTS. |
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
| ITEM 11. | CONTROLS AND PROCEDURES. |
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
The following exhibits are attached to this Form N-CSR:
| | |
EXHIBIT NO. | | DESCRIPTION OF EXHIBIT |
| |
| 12 (a) (1) | | Code of Ethics that is subject to the disclosure of Item 2 hereof |
| |
| 12 (b) (1) | | Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 |
| |
| 12 (b) (2) | | Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 |
| |
| 12 (c) | | Certification of Principal Executive Officer and Principal Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| (Registrant): Bernstein Fund, Inc. |
| |
| By: | | /s/ Kathleen M. Fisher |
| | Kathleen M. Fisher |
| | President |
| |
| Date: | | November 29, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Kathleen M. Fisher |
| | Kathleen M. Fisher |
| | President |
| |
| Date: | | November 29, 2017 |
| |
| By: | | /s/ Joseph J. Mantineo |
| | Joseph J. Mantineo |
| | Treasurer and Chief Financial Officer |
| |
| Date: | | November 29, 2017 |
