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, 2021
Date of reporting period: March 31, 2021
ITEM 1. REPORTS TO STOCKHOLDERS.
BERNSTEIN FUND, INC.
Small Cap Core Portfolio
International Small Cap Portfolio
International Strategic Equities Portfolio
SEMI-ANNUAL REPORT
MARCH 31, 2021
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, each Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with a Fund, you can call the Fund at 800.221.5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
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”, found in the footer, 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 as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT 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—May 17, 2021
On the following pages, you will find the 2021 semi-annual report for the Portfolios1 (collectively, the “Portfolios”, and individually, a “Portfolio”) of the Bernstein Fund, Inc. (the “Bernstein Fund”). The semi-annual report covers the six- and 12-month periods ended March 31, 2021, 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.
Global equities have rebounded strongly from last year’s market bottom, up 55% over the past year and 21% over the past six months. Continued optimism and promising data from the rollout of COVID-19 vaccines, along with ongoing economic support from governments, have propelled stocks to new highs. In the US, coronavirus cases fell by around 80% over the past three months as the holiday spread faded and over 100 million people received at least one dose of the vaccine.
For the past several years, market performance has been concentrated in high growth momentum stocks around the world, especially in the US. That pattern reversed in the final quarter of 2020 and has persisted in 2021, with a notable rebound in cyclical sectors, in particular in the small-cap space.
Fixed income has been more challenged than equities, rebounding in the early stages of the recovery as all assets recovered, but facing headwinds as investors’ risk appetite returned, and capital was reallocated to equities. In addition, in the first quarter of 2021, US interest rates rose significantly with the 10-year Treasury yield moving from 1% to over 1.7%. Price pressure on bonds was notable, but yields have readjusted meaningfully, and our portfolio teams are taking advantage of those with purchases of new issues.
The markets are now focused on the pace of the recovery, with estimates of global GDP and corporate earnings continuing to rise. We have increased our own estimates for global economic growth meaningfully. We continue to monitor how a recovery in global demand, likely led by the US given its substantial fiscal stimulus and reopening progress, will intersect with supply chains that are still coming back online. In addition, we’ll be watching the recovery in labor markets, which will be necessary to keep demand strong. Inflation expectations have rebounded to more normal levels and we’ll continue to track them and the potential path of interest rates.
Thank you for your continued confidence in our approach.
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,
Beata D. Kirr
President
Bernstein Fund, Inc.
| 1 | | This performance discussion is intended as a general market commentary. |
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
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2021 Semi-Annual Report | | 1 |
Portfolio Manager Commentary (continued)
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, quality, investor behavior and earnings growth. 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.
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 Adviser. 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 USA 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 USA 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 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 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 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,
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Portfolio Manager Commentary (continued)
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.
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 Adviser. 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 USA, 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 USA and may invest in issuers in countries outside of the MSCI ACWI ex USA. 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 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.
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2021 Semi-Annual Report | | 3 |
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 USA Small Cap (net) measures the performance of the small-cap market segment across 22 of 23 developed markets (excluding the US) and 24 emerging-market countries. The MSCI ACWI ex USA (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets, excluding the United States. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. 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.
Cybersecurity Risk: Cybersecurity incidents, both intentional and unintentional, 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, or prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
Illiquid Investments Risk: Illiquid investments risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. Illiquid securities may also be difficult to value.
Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Market Risk: The Portfolios are subject to market risk, which is the risk that stock prices in general or in particular countries or sectors 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; public health crises (including the occurrence of a contagious disease or illness); and other factors. 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. Recently, certain governments and central banks have provided significant support to financial markets in response to serious economic disruptions, including, but not limited to, buying stocks, providing direct capital infusions into companies, implementing new monetary programs, dramatically lowering interest rates and through other market interventions. This and other government intervention into the economy and financial markets may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. Government actions to support the economy and financial markets have resulted in a large expansion of government deficits and debt, the long-term consequences of which are not known. The reversal of these policies, or their ineffectiveness, as well as further governmental or central bank actions could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.
On January 31, 2020, the United Kingdom (the “UK”) formally left the European Union (the “EU”) (“Brexit”) and ceased to be a member of the EU. Brexit could adversely affect
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Disclosures and Risks (continued)
European or worldwide political, regulatory, economic or market conditions and could contribute to instability in global political institutions, regulatory agencies and financial markets. Brexit could also lead to legal uncertainty and politically divergent national laws and regulations as a new relationship between the UK and EU is developed and the UK determines which EU laws to replace or replicate in the future. Any of these effects of Brexit, and others the Adviser cannot anticipate, could adversely affect the value of the Portfolios’ investments and net asset value. The political, economic and legal consequences of Brexit continue to give rise to uncertainties. The UK may be less stable than it has been in recent years and investments in UK assets may be difficult to value, or subject to greater or more frequent rises and falls in value.
The United States has imposed tariffs and other trade barriers on Chinese exports and placed other restrictions on or barriers to investments in China. Trade disputes, particularly prolonged disputes, may adversely affect the economies of the United States and its trading partners, as well as the companies directly or indirectly affected by the dispute and financial markets generally, and thus may adversely affect the value of the Portfolios’ assets. Recently, the United States government acted to prohibit US persons, such as the Portfolios, from owning, and required them to divest, certain Chinese companies designated as related to the Chinese military. There is no assurance that more such companies will not be so designated in the future, which could limit the Portfolios’ opportunities for investment and require the sale of securities at a loss or make them illiquid. If the political climate between the United States and China continues to deteriorate, economies and markets may be adversely affected.
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 (including the spread of infectious illness) 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.
Sector Risk: The Portfolios may have more risk because of concentrated investments in a particular market sector, such as the financials, consumer discretionary, information technology or industrials sector. Market or economic factors affecting that sector could have a major effect on the value of the Portfolios’ investments.
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.
Allocation Risk: The Portfolios may seek to focus on different investment disciplines or factors at different times as a 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 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 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. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk. The US government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives and may impose additional regulations governing 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.
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Disclosures and Risks (continued)
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 these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives 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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected. 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 also 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. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies, including other registered funds advised by the Adviser and ETFs, are subject to market and management 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 in which the Portfolios invest.
International Small Cap and International Strategic Equities 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 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, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. 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-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.
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Disclosures and Risks (continued)
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 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”, found in the footer, 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.
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2021 Semi-Annual Report | | 7 |
Historical Performance (Unaudited)
Bernstein Fund Portfolios vs. Their Benchmarks and Lipper Averages
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| | | TOTAL RETURNS | | | AVERAGE ANNUAL
TOTAL RETURNS | | | | |
| THROUGH MARCH 31, 2021 | | PAST SIX
MONTHS | | | PAST 12
MONTHS | | | PAST FIVE
YEARS | | | SINCE
INCEPTION | | | INCEPTION DATE | |
Small Cap Core Portfolio1,2 | | | | | | | | | | | | | | | | | | | 12/29/2015 | |
SCB Class Shares | | | 43.44 | % | | | 88.18 | % | | | 12.25 | % | | | 10.77 | % | | | | |
Advisor Class Shares | | | 43.67 | % | | | 88.73 | % | | | 12.55 | % | | | 11.05 | % | | | | |
Class Z Shares | | | 43.74 | % | | | 88.88 | % | | | 12.57 | % | | | 11.07 | % | | | | |
Russell 2000 Index | | | 48.05 | % | | | 94.85 | % | | | 16.35 | % | | | 14.69 | % | | | | |
Lipper Small-Cap Core Funds Average | | | 49.24 | % | | | 89.09 | % | | | 12.95 | % | | | 12.16 | % | | | | |
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International Small Cap Portfolio3 | | | | | | | | | | | | | | | | | | | 12/21/2015 | |
SCB Class Shares | | | 23.58 | % | | | 63.09 | % | | | 8.45 | % | | | 8.34 | % | | | | |
Advisor Class Shares | | | 23.81 | % | | | 63.51 | % | | | 8.73 | % | | | 8.58 | % | | | | |
Class Z Shares | | | 23.82 | % | | | 63.52 | % | | | 8.74 | % | | | 8.59 | % | | | | |
MSCI ACWI ex USA Small Cap (net) | | | 25.12 | % | | | 69.82 | % | | | 10.40 | % | | | 10.40 | % | | | | |
Lipper International Small/Mid-Cap Growth Funds Average | | | 19.26 | % | | | 63.70 | % | | | 11.09 | % | | | 10.60 | % | | | | |
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International Strategic Equities Portfolio4 | | | | | | | | | | | | | | | | | | | 12/21/2015 | |
SCB Class Shares | | | 15.40 | % | | | 41.41 | % | | | 7.70 | % | | | 7.49 | % | | | | |
Advisor Class Shares | | | 15.48 | % | | | 41.70 | % | | | 7.97 | % | | | 7.73 | % | | | | |
Class Z Shares | | | 15.54 | % | | | 41.74 | % | | | 7.97 | % | | | 7.75 | % | | | | |
MSCI ACWI ex USA (net) | | | 21.10 | % | | | 49.41 | % | | | 9.76 | % | | | 9.48 | % | | | | |
Lipper International Multi-Cap Growth Funds Average | | | 16.64 | % | | | 53.44 | % | | | 11.10 | % | | | 10.56 | % | | | | |
| | | Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. |
| 1 | | Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced performance for the six- and 12-month periods ended March 31, 2021, by 0.01% and 0.01%, respectively. |
| 2 | | The current prospectus table shows the total annual operating expense ratios for the Portfolio as 1.14%, 0.89% and 0.87 for SCB Class, Advisor Class and Class Z shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods. |
| 3 | | The current prospectus table shows the total annual operating expense ratios for the Portfolio as 1.34%, 1.09% and 1.08% for SCB Class, Advisor Class and Class Z shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods. |
| 4 | | The current prospectus table shows the total annual operating expense ratios for the Portfolio as 0.94%, 0.69% and 0.70% for SCB Class, Advisor Class and Class Z shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods. |
See Disclosures, Risks and Note About Historical Performance on pages 4–7.
(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 | | | | |
| | | | |
| | | | |
| International Small Cap—SCB Class Shares | | | | |
Growth of a $10,000 Investment in the Portfolio | | | | |
| | | | |
| | | | |
| International Strategic Equities—SCB Class Shares | | | | |
Growth of a $10,000 Investment in the Portfolio | | | | |
| | | | |
| | | 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 March 31, 2021. |
| 1 | | Inception date: 12/29/2015. |
| 2 | | Inception date: 12/21/2015. |
See Disclosures, Risks and Note About Historical Performance on pages 4–7.
| | |
| | |
2021 Semi-Annual Report | | 9 |
Expense Example—March 31, 2021 (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.
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT VALUE
OCTOBER 1, 2020 | | | ENDING
ACCOUNT VALUE
MARCH 31, 2021 | | | EXPENSES
PAID DURING
PERIOD* | | | ANNUALIZED
EXPENSE
RATIO* | |
Small Cap Core Portfolio | | | | | | | | | | | | |
SCB Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,434.40 | | | $ | 6.92 | | | | 1.14 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,019.25 | | | $ | 5.74 | | | | 1.14 | % |
Advisor Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,436.70 | | | $ | 5.41 | | | | 0.89 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,020.49 | | | $ | 4.48 | | | | 0.89 | % |
Class Z | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,437.40 | | | $ | 5.29 | | | | 0.87 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,020.59 | | | $ | 4.38 | | | | 0.87 | % |
| |
International Small Cap Portfolio | | | | | | | | | | | | |
SCB Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,235.80 | | | $ | 7.36 | | | | 1.32 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,018.35 | | | $ | 6.64 | | | | 1.32 | % |
Advisor Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,238.10 | | | $ | 5.97 | | | | 1.07 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,019.60 | | | $ | 5.39 | | | | 1.07 | % |
Class Z | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,238.20 | | | $ | 5.97 | | | | 1.07 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,019.60 | | | $ | 5.39 | | | | 1.07 | % |
| |
International Strategic Equities Portfolio | | | | | | | | | | | | |
SCB Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,154.00 | | | $ | 5.10 | | | | 0.95 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % |
Advisor Class | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,154.80 | | | $ | 3.76 | | | | 0.70 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,021.44 | | | $ | 3.53 | | | | 0.70 | % |
Class Z | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,155.40 | | | $ | 3.82 | | | | 0.71 | % |
Hypothetical** | | $ | 1,000 | | | $ | 1,021.39 | | | $ | 3.58 | | | | 0.71 | % |
| |
| * | | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
| ** | | Assumes 5% annual return before expenses. |
Portfolio Summary—March 31, 2021 (Unaudited)
| | | | | | |
| Small Cap Core Portfolio | | | |
| |
| Sector Breakdown1 | | | |
Industrials | | | 18.2 | % | | |
Health Care | | | 17.3 | | | |
Financials | | | 17.1 | | | |
Consumer Discretionary | | | 16.7 | | | |
Information Technology | | | 13.2 | | | |
Materials | | | 5.2 | | | |
Real Estate | | | 4.7 | | | |
Energy | | | 2.9 | | | |
Consumer Staples | | | 1.9 | | | |
Utilities | | | 1.8 | | | |
Communication Services | | | 1.0 | | | |
| | | | | | |
| | | | | | |
| International Small Cap Portfolio |
| |
| Sector Breakdown1 | | | Country Breakdown1 |
Industrials | | | 18.2 | % | | 
|
Consumer Discretionary | | | 16.0 | |
Information Technology | | | 14.0 | |
Financials | | | 11.6 | |
Materials | | | 9.5 | |
Communication Services | | | 7.3 | |
Real Estate | | | 7.1 | |
Consumer Staples | | | 6.2 | |
Health Care | | | 6.0 | |
Utilities | | | 2.9 | |
Energy | | | 1.2 | |
| | | | | | |
| | | | | | |
| International Strategic Equities Portfolio |
| |
| Sector Breakdown1 | | | Country Breakdown1 |
Information Technology | | | 18.1 | % | | 
|
Financials | | | 17.1 | |
Consumer Discretionary | | | 15.0 | |
Health Care | | | 10.1 | |
Communication Services | | | 9.3 | |
Consumer Staples | | | 8.3 | |
Industrials | | | 7.4 | |
Materials | | | 7.1 | |
Energy | | | 4.0 | |
Utilities | | | 2.8 | |
Real Estate | | | 0.8 | |
| 1 | | All data are as of March 31, 2021. 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 report for additional details). |
| 2 | | “Other” represents 4.5% in MSCI EM Index countries and 14.3% in MSCI EAFE Index countries. |
| 3 | | “Other” represents 4.5% in MSCI EM Index countries and 7.5% 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 Portfolio’s prospectus. |
| | |
| | |
2021 Semi-Annual Report | | 11 |
Schedule of Investments
Bernstein Fund, Inc.
Schedule of Investments
Small Cap Core Portfolio
March 31, 2021 (Unaudited)
| | | | | | | | |
| | |
| Company | | Shares | | | U.S. $ Value | |
|
| COMMON STOCKS–99.3% | |
|
| Industrials–18.1% | |
| Aerospace & Defense–0.5% | |
AAR Corp.(a) | | | 111,670 | | | $ | 4,651,055 | |
| | | | | | | | |
| Air Freight & Logistics–0.6% | |
Echo Global Logistics, Inc.(a) | | | 87,012 | | | | 2,733,047 | |
Radiant Logistics, Inc.(a) | | | 343,333 | | | | 2,386,164 | |
| | | | | | | | |
| | | | | | | 5,119,211 | |
| | | | | | | | |
| Airlines–0.6% | |
SkyWest, Inc.(a) | | | 92,424 | | | | 5,035,260 | |
| | | | | | | | |
| Building Products–1.7% | |
Builders FirstSource, Inc.(a) | | | 132,597 | | | | 6,148,523 | |
Masonite International Corp.(a) | | | 26,920 | | | | 3,102,261 | |
Simpson Manufacturing Co., Inc. | | | 30,835 | | | | 3,198,514 | |
UFP Industries, Inc. | | | 39,357 | | | | 2,984,835 | |
| | | | | | | | |
| | | | | | | 15,434,133 | |
| | | | | | | | |
| Commercial Services & Supplies–0.5% | |
Tetra Tech, Inc. | | | 31,182 | | | | 4,232,021 | |
| | | | | | | | |
| Construction & Engineering–2.8% | |
AECOM(a) | | | 65,487 | | | | 4,198,371 | |
Comfort Systems USA, Inc. | | | 68,544 | | | | 5,125,035 | |
EMCOR Group, Inc. | | | 51,120 | | | | 5,733,619 | |
MasTec, Inc.(a) | | | 65,664 | | | | 6,152,717 | |
Matrix Service Co.(a) | | | 260,690 | | | | 3,417,646 | |
| | | | | | | | |
| | | | | | | 24,627,388 | |
| | | | | | | | |
| Electrical Equipment–1.3% | |
Plug Power, Inc.(a) | | | 161,880 | | | | 5,801,779 | |
Regal Beloit Corp. | | | 30,150 | | | | 4,301,802 | |
Sunrun, Inc.(a) | | | 29,730 | | | | 1,798,071 | |
| | | | | | | | |
| | | | | | | 11,901,652 | |
| | | | | | | | |
| Machinery–3.5% | |
Barnes Group, Inc. | | | 82,987 | | | | 4,111,176 | |
Kadant, Inc. | | | 12,260 | | | | 2,268,223 | |
Meritor, Inc.(a) | | | 139,313 | | | | 4,098,588 | |
Middleby Corp. (The)(a) | | | 27,830 | | | | 4,612,823 | |
Oshkosh Corp. | | | 35,920 | | | | 4,262,267 | |
Shey Group , Inc. (The) | | | 80,150 | | | | 2,981,580 | |
Terex Corp. | | | 102,520 | | | | 4,723,096 | |
Wabash National Corp. | | | 231,491 | | | | 4,352,031 | |
| | | | | | | | |
| | | | | | | 31,409,784 | |
| | | | | | | | |
| Professional Services–3.4% | |
ASGN, Inc.(a) | | | 50,694 | | | | 4,838,235 | |
Barrett Business Services, Inc. | | | 12,217 | | | | 841,263 | |
CACI International, Inc.–Class A(a) | | | 6,426 | | | | 1,585,037 | |
Insperity, Inc. | | | 49,491 | | | | 4,144,376 | |
KBR, Inc. | | | 120,514 | | | | 4,626,533 | |
| Company | | Shares | | | U.S. $ Value | |
Kforce, Inc. | | | 54,640 | | | $ | 2,928,704 | |
Korn Ferry | | | 60,510 | | | | 3,774,009 | |
ManTech International Corp./VA–Class A | | | 19,560 | | | | 1,700,742 | |
Science Applications International Corp. | | | 24,790 | | | | 2,072,196 | |
TriNet Group, Inc.(a) | | | 50,230 | | | | 3,915,931 | |
| | | | | | | | |
| | | | | | | 30,427,026 | |
| | | | | | | | |
| Road & Rail–1.2% | |
ArcBest Corp. | | | 57,452 | | | | 4,042,897 | |
Saia, Inc.(a) | | | 27,420 | | | | 6,322,504 | |
| | | | | | | | |
| | | | | | | 10,365,401 | |
| | | | | | | | |
| Trading Companies & Distributors–2.0% | |
Applied Industrial Technologies, Inc. | | | 58,817 | | | | 5,362,346 | |
Boise Cascade Co. | | | 79,392 | | | | 4,750,023 | |
GMS, Inc.(a) | | | 99,641 | | | | 4,160,012 | |
MRC Global, Inc.(a) | | | 413,550 | | | | 3,734,356 | |
| | | | | | | | |
| | | | | | | 18,006,737 | |
| | | | | | | | |
| | | | | | | 161,209,668 | |
| | | | | | | | |
| | | | | | | | |
| |
| Health Care–17.2% | |
| Biotechnology–8.4% | |
ACADIA Pharmaceuticals, Inc.(a) | | | 22,839 | | | | 589,246 | |
Allakos, Inc.(a) | | | 19,682 | | | | 2,259,100 | |
Allogene Therapeutics, Inc.(a) | | | 67,631 | | | | 2,387,374 | |
Annexon, Inc.(a) | | | 64,140 | | | | 1,785,658 | |
Arena Pharmaceuticals, Inc.(a) | | | 37,988 | | | | 2,635,987 | |
Arrowhead Pharmaceuticals, Inc.(a) | | | 52,022 | | | | 3,449,579 | |
Ascendis Pharma A/S (Sponsored ADR)(a) | | | 6,697 | | | | 863,109 | |
Biohaven Pharmaceutical Holding Co., Ltd.(a) | | | 33,561 | | | | 2,293,894 | |
Bioxcel Therapeutics, Inc.(a) | | | 26,468 | | | | 1,142,359 | |
Blueprint Medicines Corp.(a) | | | 31,665 | | | | 3,078,788 | |
ChemoCentryx, Inc.(a) | | | 26,541 | | | | 1,359,961 | |
Coherus Biosciences, Inc.(a) | | | 88,719 | | | | 1,296,185 | |
Deciphera Pharmaceuticals, Inc.(a) | | | 44,215 | | | | 1,982,601 | |
Dicerna Pharmaceuticals, Inc.(a) | | | 55,759 | | | | 1,425,758 | |
Eagle Pharmaceuticals, Inc./DE(a) | | | 22,532 | | | | 940,486 | |
Emergent BioSolutions, Inc.(a) | | | 27,391 | | | | 2,544,898 | |
Fate Therapeutics, Inc.(a) | | | 26,970 | | | | 2,223,677 | |
Gossamer Bio, Inc.(a) | | | 90,922 | | | | 841,029 | |
Halozyme Therapeutics, Inc.(a) | | | 72,522 | | | | 3,023,442 | |
Heron Therapeutics, Inc.(a) | | | 73,652 | | | | 1,193,899 | |
Insmed, Inc.(a) | | | 55,311 | | | | 1,883,893 | |
Invitae Corp.(a) | | | 36,000 | | | | 1,375,560 | |
Iovance Biotherapeutics, Inc.(a) | | | 23,538 | | | | 745,213 | |
Karuna Therapeutics, Inc.(a) | | | 16,964 | | | | 2,039,582 | |
Kodiak Sciences, Inc.(a) | | | 9,890 | | | | 1,121,427 | |
Mirati Therapeutics, Inc.(a) | | | 19,331 | | | | 3,311,400 | |
Natera, Inc.(a) | | | 38,317 | | | | 3,890,708 | |
Novavax, Inc.(a) | | | 24,250 | | | | 4,396,767 | |
PTC Therapeutics, Inc.(a) | | | 43,491 | | | | 2,059,299 | |
Relay Therapeutics, Inc.(a) | | | 40,160 | | | | 1,388,331 | |
TG Therapeutics, Inc.(a) | | | 60,950 | | | | 2,937,790 | |
Turning Point Therapeutics, Inc.–Class I(a) | | | 23,094 | | | | 2,184,461 | |
Twist Bioscience Corp.(a) | | | 16,785 | | | | 2,078,990 | |
Ultragenyx Pharmaceutical, Inc.(a) | | | 29,394 | | | | 3,346,801 | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
Vir Biotechnology, Inc.(a) | | | 43,427 | | | $ | 2,226,502 | |
Y-mAbs Therapeutics, Inc.(a) | | | 38,689 | | | | 1,169,955 | |
Zentalis Pharmaceuticals, Inc.(a) | | | 34,370 | | | | 1,491,314 | |
| | | | | | | | |
| | | | | | | 74,965,023 | |
| | | | | | | | |
| Health Care Equipment & Supplies–3.3% | |
CONMED Corp. | | | 23,779 | | | | 3,105,300 | |
Globus Medical, Inc.–Class A(a) | | | 35,646 | | | | 2,198,289 | |
Integer Holdings Corp.(a) | | | 58,280 | | | | 5,367,588 | |
iRhythm Technologies, Inc.(a) | | | 7,165 | | | | 994,932 | |
Meridian Bioscience, Inc.(a) | | | 75,304 | | | | 1,976,730 | |
Mesa Laboratories, Inc. | | | 7,340 | | | | 1,787,290 | |
Natus Medical, Inc.(a) | | | 84,440 | | | | 2,162,508 | |
Nevro Corp.(a) | | | 23,621 | | | | 3,295,129 | |
Orthofix Medical, Inc.(a) | | | 80,440 | | | | 3,487,074 | |
Penumbra, Inc.(a) | | | 8,096 | | | | 2,190,616 | |
STAAR Surgical Co.(a) | | | 25,550 | | | | 2,693,225 | |
| | | | | | | | |
| | | | | | | 29,258,681 | |
| | | | | | | | |
| Health Care Providers & Services–2.1% | |
Allovir, Inc.(a) | | | 34,240 | | | | 801,216 | |
AMN Healthcare Services, Inc.(a) | | | 73,285 | | | | 5,401,105 | |
Chemed Corp. | | | 2,005 | | | | 921,939 | |
LHC Group, Inc.(a) | | | 14,963 | | | | 2,861,075 | |
MEDNAX, Inc.(a) | | | 157,040 | | | | 3,999,809 | |
Tenet Healthcare Corp.(a) | | | 91,297 | | | | 4,747,444 | |
| | | | | | | | |
| | | | | | | 18,732,588 | |
| | | | | | | | |
| Health Care Technology–1.2% | |
Computer Programs & Systems, Inc. | | | 114,540 | | | | 3,504,924 | |
Health Catalyst, Inc.(a) | | | 93,874 | | | | 4,390,487 | |
NextGen Healthcare, Inc.(a) | | | 136,880 | | | | 2,477,528 | |
| | | | | | | | |
| | | | | | | 10,372,939 | |
| | | | | | | | |
| Life Sciences Tools & Services–1.6% | |
ICON PLC(a) | | | 10,695 | | | | 2,100,177 | |
Medpace Holdings, Inc.(a) | | | 26,932 | | | | 4,418,195 | |
NeoGenomics, Inc.(a) | | | 55,720 | | | | 2,687,376 | |
Repligen Corp.(a) | | | 6,306 | | | | 1,225,949 | |
Syneos Health, Inc.(a) | | | 48,546 | | | | 3,682,214 | |
| | | | | | | | |
| | | | | | | 14,113,911 | |
| | | | | | | | |
| Pharmaceuticals–0.6% | |
Axsome Therapeutics, Inc.(a) | | | 19,127 | | | | 1,082,971 | |
Corcept Therapeutics, Inc.(a) | | | 69,464 | | | | 1,652,548 | |
Lyra Therapeutics, Inc.(a) | | | 58,310 | | | | 675,813 | |
Osmotica Pharmaceuticals PLC(a) | | | 185,640 | | | | 605,186 | |
Revance Therapeutics, Inc.(a) | | | 61,247 | | | | 1,711,854 | |
| | | | | | | | |
| | | | | | | 5,728,372 | |
| | | | | | | | |
| | | | | | | 153,171,514 | |
| | | | | | | | |
| | | | | | | | |
| |
| Financials–17.0% | |
| Banks–8.7% | |
1st Source Corp. | | | 50,437 | | | | 2,399,792 | |
Associated Banc-Corp. | | | 209,250 | | | | 4,465,395 | |
Bancorp, Inc. (The)(a) | | | 213,788 | | | | 4,429,687 | |
| Company | | Shares | | | U.S. $ Value | |
Bank of NT Butterfield & Son Ltd. (The) | | | 72,910 | | | $ | 2,786,620 | |
Cathay General Bancorp | | | 68,550 | | | | 2,795,469 | |
Civista Bancshares, Inc. | | | 141,839 | | | | 3,253,787 | |
Community Trust Bancorp, Inc. | | | 43,890 | | | | 1,932,477 | |
First Citizens BancShares, Inc./NC–Class A | | | 5,203 | | | | 4,348,511 | |
First Horizon Corp. | | | 233,584 | | | | 3,949,905 | |
Great Southern Bancorp, Inc. | | | 44,229 | | | | 2,506,457 | |
Hilltop Holdings, Inc. | | | 145,826 | | | | 4,977,041 | |
Home BancShares, Inc./AR | | | 216,000 | | | | 5,842,800 | |
International Bancshares Corp. | | | 79,390 | | | | 3,685,284 | |
Northeast Bank | | | 91,941 | | | | 2,426,323 | |
Republic Bancorp, Inc./KY–Class A | | | 52,740 | | | | 2,335,855 | |
Sterling Bancorp/DE | | | 180,686 | | | | 4,159,392 | |
Synovus Financial Corp. | | | 96,722 | | | | 4,425,032 | |
Texas Capital Bancshares, Inc.(a) | | | 56,630 | | | | 4,016,200 | |
Webster Financial Corp. | | | 74,851 | | | | 4,125,039 | |
Western Alliance Bancorp | | | 46,350 | | | | 4,377,294 | |
Wintrust Financial Corp. | | | 55,250 | | | | 4,187,950 | |
| | | | | | | | |
| | | | | | | 77,426,310 | |
| | | | | | | | |
| Capital Markets–1.8% | |
Cowen, Inc.–Class A | | | 116,851 | | | | 4,107,312 | |
Evercore, Inc.–Class A | | | 27,032 | | | | 3,561,196 | |
Houlihan Lokey, Inc. | | | 40,796 | | | | 2,713,342 | |
Moelis & Co. | | | 94,750 | | | | 5,199,880 | |
| | | | | | | | |
| | | | | | | 15,581,730 | |
| | | | | | | | |
| Consumer Finance–1.3% | |
Navient Corp. | | | 308,567 | | | | 4,415,594 | |
Nelnet, Inc.–Class A | | | 39,533 | | | | 2,875,630 | |
OneMain Holdings, Inc. | | | 80,824 | | | | 4,341,865 | |
| | | | | | | | |
| | | | | | | 11,633,089 | |
| | | | | | | | |
| Insurance–2.0% | |
Assured Guaranty Ltd. | | | 101,680 | | | | 4,299,030 | |
Goosehead Insurance, Inc.–Class A | | | 22,281 | | | | 2,388,078 | |
Hanover Insurance Group, Inc. (The) | | | 33,200 | | | | 4,298,072 | |
Inari Medical, Inc.(a) | | | 21,667 | | | | 2,318,369 | |
Primerica, Inc. | | | 28,750 | | | | 4,249,825 | |
| | | | | | | | |
| | | | | | | 17,553,374 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (REITs)–0.4% | |
Ellington Financial, Inc. | | | 117,851 | | | | 1,886,795 | |
PennyMac Mortgage Investment Trust | | | 99,930 | | | | 1,958,628 | |
| | | | | | | | |
| | | | | | | 3,845,423 | |
| | | | | | | | |
| Thrifts & Mortgage Finance–2.8% | |
BankUnited, Inc. | | | 121,229 | | | | 5,328,015 | |
Essent Group Ltd. | | | 89,667 | | | | 4,258,286 | |
Flagstar Bancorp, Inc. | | | 70,516 | | | | 3,180,272 | |
MGIC Investment Corp. | | | 322,120 | | | | 4,461,362 | |
Mr Cooper Group, Inc.(a) | | | 145,240 | | | | 5,048,542 | |
PennyMac Financial Services, Inc. | | | 44,798 | | | | 2,995,642 | |
| | | | | | | | |
| | | | | | | 25,272,119 | |
| | | | | | | | |
| | | | | | | 151,312,045 | |
| | | | | | | | |
| | | | | | | | |
| | |
| | |
2021 Semi-Annual Report | | 13 |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
|
| Consumer Discretionary–16.5% | |
| Auto Components–2.0% | |
Dana, Inc. | | | 144,590 | | | $ | 3,517,875 | |
Fox Factory Holding Corp.(a) | | | 30,260 | | | | 3,844,835 | |
Goodyear Tire & Rubber Co. (The)(a) | | | 237,310 | | | | 4,169,537 | |
LCI Industries | | | 26,420 | | | | 3,494,837 | |
Patrick Industries, Inc. | | | 28,562 | | | | 2,427,770 | |
| | | | | | | | |
| | | | | | | 17,454,854 | |
| | | | | | | | |
| Automobiles–0.7% | |
Thor Industries, Inc. | | | 21,957 | | | | 2,958,486 | |
Winnebago Industries, Inc. | | | 46,756 | | | | 3,586,653 | |
| | | | | | | | |
| | | | | | | 6,545,139 | |
| | | | | | | | |
| Diversified Consumer Services–0.8% | |
Hillenbrand, Inc. | | | 113,002 | | | | 5,391,326 | |
Perdoceo Education Corp.(a) | | | 138,342 | | | | 1,654,570 | |
| | | | | | | | |
| | | | | | | 7,045,896 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure–4.6% | |
Churchill Downs, Inc. | | | 28,730 | | | | 6,533,776 | |
Dave & Buster’s Entertainment, Inc.(a) | | | 98,220 | | | | 4,704,738 | |
Hilton Grand Vacations, Inc.(a) | | | 143,710 | | | | 5,387,688 | |
Marriott Vacations Worldwide Corp.(a) | | | 38,756 | | | | 6,750,520 | |
Penn National Gaming, Inc.(a) | | | 55,720 | | | | 5,841,685 | |
Planet Fitness, Inc.(a) | | | 26,433 | | | | 2,043,271 | |
Texas Roadhouse, Inc.–Class A(a) | | | 44,280 | | | | 4,248,223 | |
Travel & Leisure Co. | | | 72,661 | | | | 4,443,947 | |
Wingstop, Inc. | | | 10,688 | | | | 1,359,193 | |
| | | | | | | | |
| | | | | | | 41,313,041 | |
| | | | | | | | |
| Household Durables–2.4% | |
KB Home | | | 121,570 | | | | 5,656,652 | |
Lovesac Co. (The)(a) | | | 49,573 | | | | 2,805,832 | |
Meritage Homes Corp.(a) | | | 40,320 | | | | 3,706,215 | |
Taylor Morrison Home Corp.–Class A(a) | | | 182,751 | | | | 5,630,558 | |
TopBuild Corp.(a) | | | 17,256 | | | | 3,613,924 | |
| | | | | | | | |
| | | | | | | 21,413,181 | |
| | | | | | | | |
| Leisure Products–0.4% | |
Malibu Boats, Inc.(a) | | | 27,208 | | | | 2,167,933 | |
MasterCraft Boat Holdings, Inc.(a) | | | 48,685 | | | | 1,294,534 | |
| | | | | | | | |
| | | | | | | 3,462,467 | |
| | | | | | | | |
| Specialty Retail–3.7% | |
Citi Trends, Inc.(a) | | | 35,340 | | | | 2,960,785 | |
Floor & Decor Holdings, Inc.–Class A(a) | | | 18,542 | | | | 1,770,390 | |
Foot Locker, Inc. | | | 73,764 | | | | 4,149,225 | |
Genesco, Inc.(a) | | | 78,301 | | | | 3,719,298 | |
Lithia Motors, Inc.–Class A | | | 16,918 | | | | 6,599,543 | |
RH(a) | | | 5,560 | | | | 3,317,096 | |
Sally Beauty Holdings, Inc.(a) | | | 174,460 | | | | 3,511,880 | |
Sleep Number Corp.(a) | | | 26,503 | | | | 3,802,915 | |
Zumiez, Inc.(a) | | | 85,698 | | | | 3,676,444 | |
| | | | | | | | |
| | | | | | | 33,507,576 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods–1.9% | |
Carter’s, Inc.(a) | | | 14,563 | | | | 1,295,087 | |
| Company | | Shares | | | U.S. $ Value | |
Crocs, Inc.(a) | | | 48,762 | | | $ | 3,922,903 | |
Deckers Outdoor Corp.(a) | | | 21,280 | | | | 7,031,338 | |
Oxford Industries, Inc. | | | 54,035 | | | | 4,723,740 | |
| | | | | | | | |
| | | | | | | 16,973,068 | |
| | | | | | | | |
| | | | | | | 147,715,222 | |
| | | | | | | | |
| | | | | | | | |
| |
| Information Technology–13.1% | |
| Electronic Equipment, Instruments & Components–3.7% | |
Allegro MicroSystems, Inc.(a) | | | 104,210 | | | | 2,641,723 | |
Avnet, Inc. | | | 115,830 | | | | 4,808,103 | |
Fabrinet(a) | | | 24,738 | | | | 2,236,068 | |
Insight Enterprises, Inc.(a) | | | 52,780 | | | | 5,036,268 | |
Jabil, Inc. | | | 77,999 | | | | 4,068,428 | |
OSI Systems, Inc.(a) | | | 30,452 | | | | 2,926,437 | |
PC Connection, Inc. | | | 64,904 | | | | 3,010,897 | |
Sanmina Corp.(a) | | | 84,596 | | | | 3,500,582 | |
Shoals Technologies Group, Inc.(a) | | | 79,200 | | | | 2,754,576 | |
SYNNEX Corp. | | | 15,933 | | | | 1,829,746 | |
| | | | | | | | |
| | | | | | | 32,812,828 | |
| | | | | | | | |
| IT Services–2.6% | |
Concentrix Corp.(a) | | | 15,933 | | | | 2,385,489 | |
EVERTEC, Inc. | | | 81,834 | | | | 3,045,861 | |
MAXIMUS, Inc. | | | 31,531 | | | | 2,807,520 | |
Perficient, Inc.(a) | | | 53,176 | | | | 3,122,495 | |
Perspecta, Inc. | | | 97,896 | | | | 2,843,879 | |
TTEC Holdings, Inc. | | | 49,350 | | | | 4,957,208 | |
WNS Holdings Ltd. (ADR)(a) | | | 53,182 | | | | 3,852,504 | |
| | | | | | | | |
| | | | | | | 23,014,956 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment–3.5% | |
Cirrus Logic, Inc.(a) | | | 36,973 | | | | 3,134,941 | |
Kulicke & Soffa Industries, Inc. | | | 93,793 | | | | 4,606,174 | |
Lattice Semiconductor Corp.(a) | | | 101,868 | | | | 4,586,097 | |
MACOM Technology Solutions Holdings, Inc.(a) | | | 51,540 | | | | 2,990,351 | |
MKS Instruments, Inc. | | | 17,662 | | | | 3,274,888 | |
Semtech Corp.(a) | | | 78,660 | | | | 5,427,540 | |
Silicon Laboratories, Inc.(a) | | | 12,141 | | | | 1,712,731 | |
Synaptics, Inc.(a) | | | 44,489 | | | | 6,024,700 | |
| | | | | | | | |
| | | | | | | 31,757,422 | |
| | | | | | | | |
| Software–2.9% | |
8x8, Inc.(a) | | | 42,750 | | | | 1,386,810 | |
Appian Corp.(a) | | | 4,970 | | | | 660,762 | |
CommVault Systems, Inc.(a) | | | 49,518 | | | | 3,193,911 | |
Digital Turbine, Inc.(a) | | | 19,790 | | | | 1,590,324 | |
Everbridge, Inc.(a) | | | 10,880 | | | | 1,318,438 | |
J2 Global, Inc.(a) | | | 47,519 | | | | 5,695,627 | |
Manhattan Associates, Inc.(a) | | | 30,995 | | | | 3,638,193 | |
Nuance Communications, Inc.(a) | | | 26,757 | | | | 1,167,676 | |
Progress Software Corp. | | | 50,541 | | | | 2,226,836 | |
Rapid7, Inc.(a) | | | 32,760 | | | | 2,444,224 | |
SPS Commerce, Inc.(a) | | | 24,800 | | | | 2,462,888 | |
| | | | | | | | |
| | | | | | | 25,785,689 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| Technology Hardware, Storage & Peripherals–0.4% | |
NCR Corp.(a) | | | 104,859 | | | $ | 3,979,399 | |
| | | | | | | | |
| | | | | | | 117,350,294 | |
| | | | | | | | |
| | | | | | | | |
| |
| Materials–5.2% | |
| Chemicals–2.4% | |
AdvanSix, Inc.(a) | | | 159,540 | | | | 4,278,863 | |
Element Solutions, Inc. | | | 139,240 | | | | 2,546,700 | |
Huntsman Corp. | | | 122,285 | | | | 3,525,476 | |
Innospec, Inc. | | | 38,730 | | | | 3,977,184 | |
Orion Engineered Carbons SA | | | 227,810 | | | | 4,492,413 | |
Stepan Co. | | | 24,120 | | | | 3,065,893 | |
| | | | | | | | |
| | | | | | | 21,886,529 | |
| | | | | | | | |
| Metals & Mining–2.4% | |
B2Gold Corp. | | | 436,440 | | | | 1,881,056 | |
Carpenter Technology Corp. | | | 86,140 | | | | 3,544,661 | |
Commercial Metals Co. | | | 137,362 | | | | 4,236,244 | |
Reliance Steel & Aluminum Co. | | | 27,712 | | | | 4,220,261 | |
Schnitzer Steel Industries, Inc.–Class A | | | 101,620 | | | | 4,246,700 | |
Warrior Met Coal, Inc. | | | 169,351 | | | | 2,900,983 | |
| | | | | | | | |
| | | | | | | 21,029,905 | |
| | | | | | | | |
| Paper & Forest Products–0.4% | |
Louisiana-Pacific Corp. | | | 58,635 | | | | 3,251,897 | |
| | | | | | | | |
| | | | | | | 46,168,331 | |
| | | | | | | | |
| | | | | | | | |
| |
| Real Estate–4.6% | |
| Equity Real Estate Investment Trusts (REITs)–3.8% | |
Alexander & Baldwin, Inc. | | | 171,509 | | | | 2,879,636 | |
CareTrust REIT, Inc. | | | 97,747 | | | | 2,276,039 | |
Cousins Properties, Inc. | | | 48,306 | | | | 1,707,617 | |
First Industrial Realty Trust, Inc. | | | 36,096 | | | | 1,652,836 | |
Healthcare Realty Trust, Inc. | | | 81,800 | | | | 2,480,176 | |
Industrial Logistics Properties Trust | | | 96,380 | | | | 2,229,269 | |
NexPoint Residential Trust, Inc. | | | 60,290 | | | | 2,778,766 | |
Physicians Realty Trust | | | 108,542 | | | | 1,917,937 | |
RLJ Lodging Trust | | | 293,659 | | | | 4,545,841 | |
Sabra Health Care REIT, Inc. | | | 155,430 | | | | 2,698,265 | |
Service Properties Trust | | | 350,350 | | | | 4,155,151 | |
STAG Industrial, Inc. | | | 91,124 | | | | 3,062,678 | |
Terreno Realty Corp. | | | 35,224 | | | | 2,034,891 | |
| | | | | | | | |
| | | | | | | 34,419,102 | |
| | | | | | | | |
| Real Estate Management & Development–0.8% | |
RE/MAX Holdings, Inc.–Class A | | | 95,093 | | | | 3,745,713 | |
Realogy Holdings Corp.(a) | | | 205,091 | | | | 3,103,027 | |
| | | | | | | | |
| | | | | | | 6,848,740 | |
| | | | | | | | |
| | | | | | | 41,267,842 | |
| | | | | | | | |
| | | | | | | | |
| |
| Energy–2.9% | |
| Energy Equipment & Services–1.3% | |
Cactus, Inc.–Class A | | | 125,160 | | | | 3,832,399 | |
Helix Energy Solutions Group, Inc.(a) | | | 787,560 | | | | 3,977,178 | |
| Company | | Shares | | | U.S. $ Value | |
Oil States International, Inc.(a) | | | 271,670 | | | $ | 1,638,170 | |
Patterson-UTI Energy, Inc. | | | 266,830 | | | | 1,902,498 | |
| | | | | | | | |
| | | | | | | 11,350,245 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels–1.6% | |
Cimarex Energy Co. | | | 59,300 | | | | 3,521,827 | |
HollyFrontier Corp. | | | 88,212 | | | | 3,156,225 | |
Matador Resources Co. | | | 173,150 | | | | 4,060,367 | |
Renewable Energy Group, Inc.(a) | | | 51,593 | | | | 3,407,202 | |
Teekay Tankers Ltd.–Class A(a) | | | 46,815 | | | | 650,729 | |
| | | | | | | | |
| | | | | | | 14,796,350 | |
| | | | | | | | |
| | | | | | | 26,146,595 | |
| | | | | | | | |
| | | | | | | | |
| |
| Consumer Staples–1.9% | |
| Food & Staples Retailing–0.3% | |
Village Super Market, Inc.–Class A | | | 104,068 | | | | 2,452,883 | |
| | | | | | | | |
| Food Products–1.3% | |
Calavo Growers, Inc. | | | 35,075 | | | | 2,723,223 | |
Freshpet, Inc.(a) | | | 25,467 | | | | 4,044,414 | |
Hain Celestial Group, Inc. (The)(a) | | | 81,745 | | | | 3,564,082 | |
John B Sanfilippo & Son, Inc. | | | 16,745 | | | | 1,513,246 | |
| | | | | | | | |
| | | | | | | 11,844,965 | |
| | | | | | | | |
| Personal Products–0.3% | |
USANA Health Sciences, Inc.(a) | | | 27,150 | | | | 2,649,840 | |
| | | | | | | | |
| | | | | | | 16,947,688 | |
| | | | | | | | |
| | | | | | | | |
| |
| Utilities–1.8% | |
| Electric Utilities–0.7% | |
ALLETE, Inc. | | | 48,780 | | | | 3,277,528 | |
Otter Tail Corp. | | | 69,540 | | | | 3,210,662 | |
| | | | | | | | |
| | | | | | | 6,488,190 | |
| | | | | | | | |
| Gas Utilities–0.2% | |
Chesapeake Utilities Corp. | | | 15,110 | | | | 1,753,969 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers–0.5% | |
Ormat Technologies, Inc. | | | 23,711 | | | | 1,862,025 | |
Vistra Corp. | | | 130,376 | | | | 2,305,047 | |
| | | | | | | | |
| | | | | | | 4,167,072 | |
| | | | | | | | |
| Multi-Utilities–0.2% | |
NorthWestern Corp. | | | 26,285 | | | | 1,713,782 | |
| | | | | | | | |
| Water Utilities–0.2% | |
Consolidated Water Co., Ltd. | | | 125,817 | | | | 1,692,239 | |
| | | | | | | | |
| | | | | | | 15,815,252 | |
| | | | | | | | |
| | | | | | | | |
| |
| Communication Services–1.0% | |
| Diversified Telecommunication Services–0.3% | |
Vonage Holdings Corp.(a) | | | 259,400 | | | | 3,066,108 | |
| | | | | | | | |
| Entertainment–0.2% | |
IMAX Corp.(a) | | | 104,340 | | | | 2,097,234 | |
| | | | | | | | |
| | |
| | |
2021 Semi-Annual Report | | 15 |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| Media–0.5% | |
Nexstar Media Group, Inc.–Class A | | | 29,508 | | | $ | 4,143,808 | |
| | | | | | | | |
| | | | | | | 9,307,150 | |
| | | | | | | | |
Total Common Stocks
(cost $594,924,447) | | | | | | | 886,411,601 | |
| | | | | | | | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENTS–0.0% | |
| Investment Companies–0.0% | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB,
0.01%(b)(c)(d)
(cost $230,305) | | | 230,305 | | | | 230,305 | |
| | | | | | | | |
Total Investments—99.3%
(cost $595,154,752) | | | | 886,641,906 | |
| | |
Other assets less liabilities—0.7% | | | | | | | 6,457,568 | |
| | | | | | | | |
| | | | | | | | |
| Net Assets—100.0% | | | | | | $ | 893,099,474 | |
| | | | | | | | |
| | | | | | | | | | | | | | |
| |
| FUTURES (see Note 3) | |
| Description | | Number of
Contracts | | | Expiration
Month | | Current
Notional | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| Purchased Contracts | |
| | | | |
E-Mini Russell 2000 Futures | | | 238 | | | June 2021 | | $ | 26,447,750 | | | $ | (713,814) | |
| (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
March 31, 2021 (unaudited)
| | | | | | | | |
| | |
| Company | | Shares | | | U.S. $ Value | |
|
| COMMON STOCKS–97.8% | |
|
| Industrials–17.8% | |
| Aerospace & Defense–1.4% | |
Meggitt PLC(a) | | | 1,192,274 | | | $ | 7,839,989 | |
Saab AB–Class B(a) | | | 477,715 | | | | 13,087,394 | |
| | | | | | | | |
| | | | | | | 20,927,383 | |
| | | | | | | | |
| Air Freight & Logistics–0.2% | |
Oesterreichische Post AG | | | 65,928 | | | | 2,884,937 | |
| | | | | | | | |
| Airlines–0.5% | |
Controladora Vuela Cia de Aviacion SAB de CV–Class A(a) | | | 2,000,941 | | | | 2,850,725 | |
easyJet PLC(a) | | | 285,150 | | | | 3,845,313 | |
| | | | | | | | |
| | | | | | | 6,696,038 | |
| | | | | | | | |
| Building Products–0.4% | |
Schweiter Technologies AG | | | 1,855 | | | | 3,063,362 | |
Uponor Oyj | | | 141,629 | | | | 3,143,535 | |
| | | | | | | | |
| | | | | | | 6,206,897 | |
| | | | | | | | |
| Commercial Services & Supplies–1.8% | |
Biffa PLC(a)(b) | | | 2,058,628 | | | | 7,549,141 | |
Cewe Stiftung & Co. KGAA | | | 22,649 | | | | 3,197,882 | |
Downer EDI Ltd. | | | 2,221,969 | | | | 8,695,718 | |
Intrum AB | | | 106,600 | | | | 3,423,153 | |
Transcontinental, Inc.–Class A | | | 167,620 | | | | 2,950,390 | |
| | | | | | | | |
| | | | | | | 25,816,284 | |
| | | | | | | | |
| Construction & Engineering–1.8% | |
Balfour Beatty PLC(a) | | | 2,384,557 | | | | 9,703,397 | |
Budimex SA | | | 37,730 | | | | 2,921,476 | |
Burkhalter Holding AG | | | 30,944 | | | | 2,390,004 | |
Daiho Corp. | | | 71,700 | | | | 2,508,130 | |
Morgan Sindall Group PLC | | | 145,297 | | | | 3,536,359 | |
Per Aarsleff Holding A/S–Class B | | | 61,855 | | | | 2,686,266 | |
Yurtec Corp. | | | 378,900 | | | | 2,790,033 | |
| | | | | | | | |
| | | | | | | 26,535,665 | |
| | | | | | | | |
| Electrical Equipment–2.2% | |
Fuji Electric Co., Ltd. | | | 265,700 | | | | 11,117,104 | |
Huber & Suhner AG | | | 35,290 | | | | 2,734,513 | |
Nexans SA(a) | | | 118,339 | | | | 10,471,019 | |
TKH Group NV | | | 161,874 | | | | 7,749,792 | |
| | | | | | | | |
| | | | | | | 32,072,428 | |
| | | | | | | | |
| Industrial Conglomerates–1.1% | |
Lifco AB–Class B | | | 37,710 | | | | 3,503,669 | |
Nolato AB(a) | | | 33,810 | | | | 3,010,804 | |
Rheinmetall AG | | | 90,710 | | | | 9,200,109 | |
| | | | | | | | |
| | | | | | | 15,714,582 | |
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| Machinery–3.8% | |
ATS Automation Tooling Systems, Inc.(a) | | | 520,078 | | | $ | 10,954,456 | |
Cargotec Oyj | | | 77,170 | | | | 4,175,987 | |
Deutz AG(a) | | | 987,053 | | | | 7,380,992 | |
Duerr AG | | | 301,128 | | | | 12,537,781 | |
FLSmidth & Co. A/S | | | 179,505 | | | | 6,876,930 | |
Judges Scientific PLC | | | 35,970 | | | | 3,134,508 | |
Jungheinrich AG (Preference Shares) | | | 66,030 | | | | 3,178,004 | |
Kardex Holding AG | | | 13,943 | | | | 2,850,001 | |
Valmet Oyj | | | 120,940 | | | | 4,403,510 | |
| | | | | | | | |
| | | | | | | 55,492,169 | |
| | | | | | | | |
| Professional Services–1.6% | |
NICE Information Service Co., Ltd. | | | 112,524 | | | | 2,527,233 | |
Renrui Human Resources Technology Holdings Ltd.(a) | | | 1,026,300 | | | | 3,547,233 | |
Teleperformance | | | 21,646 | | | | 7,892,033 | |
UT Group Co., Ltd.(a) | | | 272,800 | | | | 9,003,078 | |
| | | | | | | | |
| | | | | | | 22,969,577 | |
| | | | | | | | |
| Road & Rail–0.8% | |
Mullen Group Ltd. | | | 325,460 | | | | 3,154,375 | |
Sankyu, Inc. | | | 199,200 | | | | 8,764,646 | |
| | | | | | | | |
| | | | | | | 11,919,021 | |
| | | | | | | | |
| Trading Companies & Distributors–2.2% | |
AerCap Holdings NV(a) | | | 209,837 | | | | 12,325,826 | |
Daiichi Jitsugyo Co., Ltd. | | | 62,700 | | | | 2,371,430 | |
Howden Joinery Group PLC(a) | | | 170,070 | | | | 1,718,492 | |
Inaba Denki Sangyo Co., Ltd. | | | 104,000 | | | | 2,513,454 | |
Indutrade AB(a) | | | 179,580 | | | | 4,146,525 | |
Russel Metals, Inc. | | | 173,457 | | | | 3,449,264 | |
Sojitz Corp. | | | 1,093,700 | | | | 3,090,235 | |
Yuasa Trading Co., Ltd. | | | 79,200 | | | | 2,238,386 | |
| | | | | | | | |
| | | | | | | 31,853,612 | |
| | | | | | | | |
| | | | | | | 259,088,593 | |
| | | | | | | | |
| | | | | | | | |
| |
| Consumer Discretionary–15.6% | |
| Auto Components–1.6% | |
ARB Corp. Ltd. | | | 130,480 | | | | 3,430,268 | |
Faurecia SE(a) | | | 169,627 | | | | 9,026,082 | |
Tianneng Power International Ltd. | | | 1,262,000 | | | | 2,390,949 | |
Toyo Tire Corp. | | | 509,394 | | | | 9,048,406 | |
| | | | | | | | |
| | | | | | | 23,895,705 | |
| | | | | | | | |
| Automobiles–0.8% | |
Piaggio & C SpA | | | 2,067,572 | | | | 7,846,141 | |
Trigano SA | | | 18,010 | | | | 3,366,240 | |
| | | | | | | | |
| | | | | | | 11,212,381 | |
| | | | | | | | |
| Diversified Consumer Services–1.2% | |
Benesse Holdings, Inc. | | | 512,100 | | | | 10,787,521 | |
Fu Shou Yuan International Group Ltd. | | | 5,344,000 | | | | 5,495,023 | |
YDUQS Participacoes SA | | | 364,800 | | | | 1,731,109 | |
| | | | | | | | |
| | | | | | | 18,013,653 | |
| | | | | | | | |
| | |
| | |
2021 Semi-Annual Report | | 17 |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| Hotels, Restaurants & Leisure–4.4% | |
Betsson AB(a) | | | 166,040 | | | $ | 1,540,305 | |
Domino’s Pizza Enterprises Ltd. | | | 41,003 | | | | 3,009,485 | |
Entain PLC(a) | | | 813,996 | | | | 17,022,850 | |
Jollibee Foods Corp. | | | 2,021,510 | | | | 7,376,276 | |
Jumbo Interactive Ltd. | | | 236,870 | | | | 2,289,400 | |
LeoVegas AB(b) | | | 363,610 | | | | 2,132,137 | |
Melco International Development Ltd. | | | 4,196,000 | | | | 8,565,321 | |
Round One Corp. | | | 246,100 | | | | 2,772,330 | |
Sushiro Global Holdings Ltd. | | | 398,080 | | | | 17,649,351 | |
Tongcheng-Elong Holdings Ltd.(a)(b) | | | 704,400 | | | | 1,594,268 | |
| | | | | | | | |
| | | | | | | 63,951,723 | |
| | | | | | | | |
| Household Durables–1.0% | |
Haseko Corp. | | | 107,500 | | | | 1,503,611 | |
Kaufman & Broad SA | | | 66,930 | | | | 2,890,583 | |
Maytronics Ltd. | | | 93,510 | | | | 1,700,851 | |
Redrow PLC | | | 960,293 | | | | 8,314,076 | |
| | | | | | | | |
| | | | | | | 14,409,121 | |
| | | | | | | | |
| Internet & Direct Marketing Retail–1.0% | |
Dustin Group AB(b) | | | 392,070 | | | | 4,003,206 | |
HelloFresh SE(a) | | | 49,830 | | | | 3,712,727 | |
Moneysupermarket.com Group PLC | | | 597,764 | | | | 2,197,694 | |
zooplus AG(a) | | | 14,920 | | | | 4,260,443 | |
| | | | | | | | |
| | | | | | | 14,174,070 | |
| | | | | | | | |
| Leisure Products–0.9% | |
BRP, Inc. | | | 113,381 | | | | 9,831,406 | |
Games Workshop Group PLC | | | 20,996 | | | | 2,884,612 | |
Nordic Entertainment Group AB–Class B(a) | | | 25,840 | | | | 1,149,057 | |
| | | | | | | | |
| | | | | | | 13,865,075 | |
| | | | | | | | |
| Multiline Retail–0.6% | |
B&M European Value Retail SA | | | 216,620 | | | | 1,576,029 | |
Europris ASA(b) | | | 519,394 | | | | 3,112,147 | |
Harvey Norman Holdings Ltd. | | | 877,420 | | | | 3,834,803 | |
| | | | | | | | |
| | | | | | | 8,522,979 | |
| | | | | | | | |
| Specialty Retail–1.4% | |
Clas Ohlson AB–Class B(a) | | | 208,075 | | | | 2,229,894 | |
EDION Corp. | | | 241,700 | | | | 2,709,607 | |
Geo Holdings Corp. | | | 163,100 | | | | 1,753,686 | |
Hornbach Baumarkt AG | | | 21,330 | | | | 896,741 | |
Hornbach Holding AG & Co. KGaA | | | 31,030 | | | | 3,030,434 | |
Kohnan Shoji Co., Ltd. | | | 78,000 | | | | 2,247,625 | |
Mobilezone Holding AG | | | 135,624 | | | | 1,770,322 | |
Super Retail Group Ltd. | | | 375,540 | | | | 3,373,933 | |
T-Gaia Corp. | | | 160,800 | | | | 2,790,627 | |
| | | | | | | | |
| | | | | | | 20,802,869 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods–2.7% | |
Asics Corp. | | | 628,700 | | | | 10,053,694 | |
Chargeurs SA | | | 134,340 | | | | 3,640,074 | |
China Lilang Ltd. | | | 1,960,000 | | | | 1,276,274 | |
Handsome Co., Ltd. | | | 79,746 | | | | 2,871,245 | |
HUGO BOSS AG | | | 226,274 | | | | 8,891,227 | |
JNBY Design Ltd.(b) | | | 1,244,500 | | | | 2,225,151 | |
| Company | | Shares | | | U.S. $ Value | |
Pandora A/S | | | 91,401 | | | $ | 9,775,280 | |
| | | | | | | | |
| | | | | | | 38,732,945 | |
| | | | | | | | |
| | | | | | | 227,580,521 | |
| | | | | | | | |
| | | | | | | | |
| |
| Information Technology–13.6% | |
| Communications Equipment–0.7% | |
Sterlite Technologies Ltd. | | | 2,979,221 | | | | 7,941,474 | |
VTech Holdings Ltd. | | | 294,500 | | | | 2,653,056 | |
| | | | | | | | |
| | | | | | | 10,594,530 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components–1.7% | |
Alps Alpine Co., Ltd. | | | 254,600 | | | | 3,376,621 | |
Egis Technology, Inc. | | | 338,000 | | | | 2,057,089 | |
Inficon Holding AG | | | 3,472 | | | | 3,650,100 | |
Kaga Electronics Co., Ltd. | | | 99,600 | | | | 2,238,904 | |
Simplo Technology Co., Ltd. | | | 811,000 | | | | 10,599,378 | |
Test Research, Inc. | | | 1,180,000 | | | | 2,448,527 | |
| | | | | | | | |
| | | | | | | 24,370,619 | |
| | | | | | | | |
| IT Services–3.2% | |
Atea ASA(a) | | | 217,305 | | | | 3,692,787 | |
Computacenter PLC | | | 92,033 | | | | 3,006,564 | |
Data#3 Ltd. | | | 705,842 | | | | 2,796,432 | |
NEC Networks & System Integration Corp. | | | 657,600 | | | | 11,601,062 | |
Nihon Unisys Ltd. | | | 375,339 | | | | 11,607,849 | |
NSD Co., Ltd. | | | 61,100 | | | | 1,019,410 | |
Pushpay Holdings Ltd.(a) | | | 2,053,200 | | | | 2,988,435 | |
Softcat PLC | | | 81,653 | | | | 2,040,835 | |
TietoEVRY Oyj | | | 268,879 | | | | 8,331,748 | |
| | | | | | | | |
| | | | | | | 47,085,122 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment–6.4% | |
ASM International NV | | | 53,570 | | | | 15,532,270 | |
ASPEED Technology, Inc. | | | 52,000 | | | | 3,172,044 | |
BE Semiconductor Industries NV | | | 36,263 | | | | 3,029,147 | |
Dialog Semiconductor PLC(a) | | | 54,405 | | | | 4,101,865 | |
Elan Microelectronics Corp. | | | 618,000 | | | | 4,263,243 | |
King Yuan Electronics Co., Ltd. | | | 4,972,000 | | | | 7,220,238 | |
Machvision, Inc. | | | 88,722 | | | | 888,206 | |
Nanya Technology Corp. | | | 3,867,000 | | | | 12,591,862 | |
Parade Technologies Ltd. | | | 107,000 | | | | 4,620,406 | |
Pixart Imaging, Inc. | | | 323,000 | | | | 2,321,116 | |
Realtek Semiconductor Corp. | | | 624,000 | | | | 10,893,246 | |
SCREEN Holdings Co., Ltd. | | | 224,000 | | | | 19,831,721 | |
Sino-American Silicon Products, Inc. | | | 536,000 | | | | 3,194,247 | |
Sitronix Technology Corp. | | | 295,000 | | | | 2,494,977 | |
| | | | | | | | |
| | | | | | | 94,154,588 | |
| | | | | | | | |
| Software–1.3% | |
Avast PLC(b) | | | 1,427,276 | | | | 8,970,820 | |
Computer Engineering & Consulting Ltd. | | | 199,500 | | | | 2,598,389 | |
Enghouse Systems Ltd. | | | 60,454 | | | | 2,804,061 | |
Fortnox AB | | | 65,350 | | | | 2,910,780 | |
SimCorp A/S | | | 10,530 | | | | 1,303,786 | |
| | | | | | | | |
| | | | | | | 18,587,836 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| Technology Hardware, Storage & Peripherals–0.3% | |
Aten International Co., Ltd. | | | 695,000 | | | $ | 2,161,261 | |
Gigabyte Technology Co., Ltd. | | | 575,000 | | | | 2,022,105 | |
| | | | | | | | |
| | | | | | | 4,183,366 | |
| | | | | | | | |
| | | | | | | 198,976,061 | |
| | | | | | | | |
| | | | | | | | |
| |
| Financials–11.4% | |
| Banks–4.6% | |
Bank BTPN Syariah Tbk PT | | | 7,491,500 | | | | 1,798,033 | |
Bank of Ireland Group PLC(a) | | | 2,459,555 | | | | 12,145,942 | |
Bank Pembangunan Daerah Jawa Timur Tbk PT | | | 48,700,500 | | | | 2,634,575 | |
BAWAG Group AG(a)(b) | | | 214,391 | | | | 11,058,490 | |
Canadian Western Bank | | | 133,790 | | | | 3,405,699 | |
Close Brothers Group PLC | | | 178,640 | | | | 3,818,066 | |
Hokuhoku Financial Group, Inc. | | | 147,300 | | | | 1,368,800 | |
Miyazaki Bank Ltd. (The) | | | 88,800 | | | | 1,875,915 | |
Norwegian Finans Holding ASA(a) | | | 1,396,512 | | | | 15,722,135 | |
SpareBank 1 Nord Norge | | | 358,434 | | | | 3,419,044 | |
SpareBank 1 SMN | | | 282,022 | | | | 3,546,203 | |
TCS Group Holding PLC (GDR)(b) | | | 99,910 | | | | 5,794,780 | |
| | | | | | | | |
| | | | | | | 66,587,682 | |
| | | | | | | | |
| Capital Markets–3.2% | |
Ashmore Group PLC | | | 410,834 | | | | 2,215,674 | |
IG Group Holdings PLC | | | 941,538 | | | | 11,691,526 | |
Intermediate Capital Group PLC | | | 545,490 | | | | 13,849,624 | |
Man Group PLC/Jersey | | | 1,434,026 | | | | 3,182,270 | |
Pendal Group Ltd. | | | 584,310 | | | | 2,891,789 | |
Pinnacle Investment Management Group Ltd. | | | 551,991 | | | | 3,886,005 | |
Quilter PLC(b) | | | 2,841,456 | | | | 6,258,443 | |
Warsaw Stock Exchange | | | 232,201 | | | | 2,689,813 | |
| | | | | | | | |
| | | | | | | 46,665,144 | |
| | | | | | | | |
| Consumer Finance–1.0% | |
Jaccs Co., Ltd. | | | 159,000 | | | | 3,265,954 | |
Manappuram Finance Ltd. | | | 2,026,194 | | | | 4,149,480 | |
Shriram Transport Finance Co., Ltd. | | | 273,487 | | | | 5,347,824 | |
Sun Hung Kai & Co., Ltd. | | | 4,423,000 | | | | 2,253,004 | |
| | | | | | | | |
| | | | | | | 15,016,262 | |
| | | | | | | | |
| Diversified Financial Services–0.9% | |
Cerved Group SpA(a) | | | 875,671 | | | | 9,684,862 | |
Hypoport SE(a) | | | 5,073 | | | | 2,690,561 | |
| | | | | | | | |
| | | | | | | 12,375,423 | |
| | | | | | | | |
| Insurance–1.7% | |
ASR Nederland NV | | | 237,619 | | | | 10,620,383 | |
Beazley PLC(a) | | | 1,739,387 | | | | 8,430,819 | |
Topdanmark AS | | | 64,860 | | | | 2,958,248 | |
Vienna Insurance Group AG Wiener Versicherung Gruppe | | | 119,640 | | | | 3,100,671 | |
| | | | | | | | |
| | | | | | | 25,110,121 | |
| | | | | | | | |
| | | | | | | 165,754,632 | |
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
|
| Materials–9.3% | |
| Chemicals–3.1% | |
China General Plastics Corp. | | | 1,491,642 | | | $ | 1,951,022 | |
Dongjin Semichem Co., Ltd. | | | 82,850 | | | | 2,404,954 | |
Dongyue Group Ltd. | | | 1,991,000 | | | | 1,540,585 | |
Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | | | 1,909,481 | | | | 7,993,614 | |
Hansol Chemical Co., Ltd. | | | 6,315 | | | | 1,351,806 | |
Kemira Oyj | | | 61,110 | | | | 938,757 | |
Nantex Industry Co., Ltd. | | | 1,337,597 | | | | 5,151,605 | |
Rallis India Ltd. | | | 564,391 | | | | 1,958,228 | |
Tosoh Corp. | | | 531,100 | | | | 10,171,861 | |
Ube Industries Ltd. | | | 137,300 | | | | 2,929,307 | |
Zeon Corp. | | | 562,200 | | | | 9,006,079 | |
| | | | | | | | |
| | | | | | | 45,397,818 | |
| | | | | | | | |
| Construction Materials–0.5% | |
Fletcher Building Ltd. | | | 1,589,740 | | | | 7,876,724 | |
| | | | | | | | |
| Containers & Packaging–0.7% | |
Cascades, Inc. | | | 220,270 | | | | 2,757,100 | |
Orora Ltd. | | | 3,367,829 | | | | 7,799,023 | |
| | | | | | | | |
| | | | | | | 10,556,123 | |
| | | | | | | | |
| Metals & Mining–5.0% | |
APL Apollo Tubes Ltd.(a) | | | 279,760 | | | | 5,353,501 | |
BlueScope Steel Ltd. | | | 684,617 | | | | 10,102,727 | |
Central Asia Metals PLC | | | 554,082 | | | | 1,909,643 | |
Labrador Iron Ore Royalty Corp. | | | 122,494 | | | | 3,609,416 | |
Lundin Mining Corp. | | | 1,191,519 | | | | 12,259,362 | |
Mineral Resources Ltd. | | | 125,813 | | | | 3,652,176 | |
Mitsui Mining & Smelting Co., Ltd. | | | 90,500 | | | | 3,149,286 | |
Northern Star Resources Ltd. | | | 670,786 | | | | 4,858,988 | |
OZ Minerals Ltd. | | | 882,669 | | | | 15,395,874 | |
Perenti Global Ltd. | | | 2,519,334 | | | | 1,953,603 | |
Regis Resources Ltd. | | | 2,453,655 | | | | 5,429,444 | |
Torex Gold Resources, Inc.(a) | | | 103,240 | | | | 1,303,747 | |
Usinas Siderurgicas de Minas Gerais SA Usiminas (Preference Shares)–Class A | | | 1,131,000 | | | | 3,436,010 | |
| | | | | | | | |
| | | | | | | 72,413,777 | |
| | | | | | | | |
| | | | | | | 136,244,442 | |
| | | | | | | | |
| | | | | | | | |
| |
| Communication Services–7.1% | |
| Entertainment–4.1% | |
Akatsuki, Inc. | | | 173,400 | | | | 7,035,846 | |
Capcom Co., Ltd. | | | 577,400 | | | | 18,783,404 | |
GungHo Online Entertainment, Inc. | | | 456,700 | | | | 9,047,978 | |
International Games System Co., Ltd. | | | 100,000 | | | | 2,668,524 | |
Soft-World International Corp. | | | 502,000 | | | | 2,095,620 | |
Toei Animation Co., Ltd. | | | 194,958 | | | | 20,922,342 | |
| | | | | | | | |
| | | | | | | 60,553,714 | |
| | | | | | | | |
| Interactive Media & Services–1.1% | |
Addcn Technology Co., Ltd. | | | 118,000 | | | | 992,535 | |
Dip Corp. | | | 350,000 | | | | 9,208,037 | |
Mixi, Inc. | | | 111,400 | | | | 2,793,079 | |
| | |
| | |
2021 Semi-Annual Report | | 19 |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
New Work SE | | | 9,080 | | | $ | 2,358,557 | |
| | | | | | | | |
| | | | | | | 15,352,208 | |
| | | | | | | | |
| Media–1.9% | |
Cogeco Communications, Inc. | | | 123,311 | | | | 11,578,498 | |
Corus Entertainment, Inc.–Class B | | | 616,350 | | | | 2,805,381 | |
IPSOS | | | 80,830 | | | | 3,049,543 | |
ITV PLC(a) | | | 2,648,400 | | | | 4,384,201 | |
Mediaset Espana Comunicacion SA(a) | | | 403,433 | | | | 2,396,281 | |
Metropole Television SA(a) | | | 120,200 | | | | 2,566,991 | |
Rightmove PLC(a) | | | 177,620 | | | | 1,425,336 | |
| | | | | | | | |
| | | | | | | 28,206,231 | |
| | | | | | | | |
| | | | | | | 104,112,153 | |
| | | | | | | | |
| | | | | | | | |
| |
| Real Estate–6.9% | |
| Equity Real Estate Investment Trusts (REITs)–2.0% | |
AEON REIT Investment Corp. | | | 1,569 | | | | 2,116,437 | |
Charter Hall Retail REIT | | | 2,996,306 | | | | 8,774,809 | |
H&R Real Estate Investment Trust | | | 170,620 | | | | 1,936,056 | |
Heiwa Real Estate REIT, Inc. | | | 1,599 | | | | 2,248,204 | |
Immobiliare Grande Distribuzione SIIQ SpA | | | 388,706 | | | | 1,615,636 | |
Kenedix Residential Next Investment Corp. | | | 1,128 | | | | 2,203,355 | |
Killam Apartment Real Estate Investment Trust | | | 544,780 | | | | 8,024,093 | |
Precinct Properties New Zealand Ltd. | | | 1,495,090 | | | | 1,703,911 | |
| | | | | | | | |
| | | | | | | 28,622,501 | |
| | | | | | | | |
| Real Estate Management & Development–4.9% | |
BR Properties SA | | | 878,000 | | | | 1,341,494 | |
CA Immobilien Anlagen AG | | | 349,345 | | | | 14,793,491 | |
Dongwon Development Co., Ltd. | | | 650,609 | | | | 3,110,686 | |
Farglory Land Development Co., Ltd. | | | 3,555,000 | | | | 7,121,250 | |
Grand City Properties SA | | | 414,063 | | | | 10,371,344 | |
IWG PLC(a) | | | 1,984,102 | | | | 9,315,285 | |
KWG Living Group Holdings Ltd.(a)(b) | | | 5,846,000 | | | | 6,004,364 | |
Midea Real Estate Holding Ltd.(b) | | | 1,997,000 | | | | 4,237,477 | |
Real Matters, Inc.(a) | | | 196,900 | | | | 2,240,527 | |
Selvaag Bolig ASA | | | 487,805 | | | | 3,598,732 | |
Times China Holdings Ltd. | | | 4,599,000 | | | | 6,343,563 | |
Watkin Jones PLC | | | 1,271,471 | | | | 3,733,568 | |
| | | | | | | | |
| | | | | | | 72,211,781 | |
| | | | | | | | |
| | | | | | | 100,834,282 | |
| | | | | | | | |
| | | | | | | | |
| |
| Consumer Staples–6.1% | |
| Beverages–0.8% | |
Royal Unibrew A/S | | | 106,526 | | | | 11,135,548 | |
| | | | | | | | |
| Food & Staples Retailing–0.5% | |
Arcs Co., Ltd. | | | 101,200 | | | | 2,190,138 | |
Axfood AB | | | 117,318 | | | | 2,804,430 | |
cocokara fine, Inc. | | | 34,600 | | | | 2,664,823 | |
| | | | | | | | |
| | | | | | | 7,659,391 | |
| | | | | | | | |
| Food Products–3.6% | |
Astral Foods Ltd. | | | 219,408 | | | | 2,182,595 | |
| Company | | Shares | | | U.S. $ Value | |
Austevoll Seafood ASA | | | 664,744 | | | $ | 8,069,678 | |
Calbee, Inc. | | | 7,300 | | | | 186,086 | |
Feed One Co., Ltd. | | | 235,040 | | | | 1,944,901 | |
Hokuto Corp. | | | 139,700 | | | | 2,634,468 | |
KRBL Ltd. | | | 497,149 | | | | 1,223,223 | |
Nichirei Corp. | | | 358,539 | | | | 9,214,425 | |
Orion Corp./Republic of Korea | | | 89,877 | | | | 10,424,470 | |
Showa Sangyo Co., Ltd. | | | 68,700 | | | | 1,927,346 | |
Uni-President China Holdings Ltd. | | | 10,169,000 | | | | 12,372,899 | |
Viscofan SA | | | 43,190 | | | | 2,985,270 | |
| | | | | | | | |
| | | | | | | 53,165,361 | |
| | | | | | | | |
| Personal Products–1.0% | |
Cosmax, Inc.(a) | | | 62,838 | | | | 6,800,824 | |
TCI Co., Ltd. | | | 990,000 | | | | 7,523,326 | |
| | | | | | | | |
| | | | | | | 14,324,150 | |
| | | | | | | | |
| Tobacco–0.2% | |
Scandinavian Tobacco Group A/S(b) | | | 137,212 | | | | 2,633,784 | |
| | | | | | | | |
| | | | | | | 88,918,234 | |
| | | | | | | | |
| | | | | | | | |
| |
| Health Care–5.9% | |
| Biotechnology–1.0% | |
BioGaia AB–Class B | | | 42,547 | | | | 1,996,434 | |
Clinuvel Pharmaceuticals Ltd. | | | 87,490 | | | | 1,803,575 | |
Hugel, Inc.(a) | | | 67,549 | | | | 10,683,863 | |
| | | | | | | | |
| | | | | | | 14,483,872 | |
| | | | | | | | |
| Health Care Equipment & Supplies–2.1% | |
ConvaTec Group PLC(b) | | | 3,117,826 | | | | 8,428,834 | |
Getinge AB–Class B | | | 438,532 | | | | 12,179,275 | |
LivaNova PLC(a) | | | 141,046 | | | | 10,399,321 | |
| | | | | | | | |
| | | | | | | 31,007,430 | |
| | | | | | | | |
| Health Care Providers & Services–1.2% | |
BML, Inc. | | | 269,800 | | | | 9,341,624 | |
Dr. Lal PathLabs Ltd.(b) | | | 98,128 | | | | 3,628,505 | |
Metropolis Healthcare Ltd.(b) | | | 109,265 | | | | 3,329,103 | |
Vital KSK Holdings, Inc. | | | 201,600 | | | | 1,438,111 | |
| | | | | | | | |
| | | | | | | 17,737,343 | |
| | | | | | | | |
| Life Sciences Tools & Services–0.1% | |
Biotage AB(a) | | | 75,750 | | | | 1,335,266 | |
| | | | | | | | |
| Pharmaceuticals–1.5% | |
Chong Kun Dang Pharmaceutical Corp. | | | 14,244 | | | | 1,748,219 | |
Dermapharm Holding SE | | | 34,460 | | | | 2,465,490 | |
Faes Farma SA | | | 490,925 | | | | 2,104,212 | |
Huons Co., Ltd. | | | 33,706 | | | | 1,674,577 | |
Hypera SA | | | 983,000 | | | | 5,593,791 | |
JB Chemicals & Pharmaceuticals Ltd. | | | 143,774 | | | | 2,483,528 | |
Mega Lifesciences PCL | | | 2,201,900 | | | | 2,413,283 | |
Samjin Pharmaceutical Co., Ltd. | | | 58,851 | | | | 1,266,169 | |
Sanofi India Ltd. | | | 11,205 | | | | 1,209,111 | |
| | | | | | | | |
| | | | | | | 20,958,380 | |
| | | | | | | | |
| | | | | | | 85,522,291 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
|
| Utilities–2.9% | |
| Electric Utilities–1.4% | |
Enerjisa Enerji AS(b) | | | 1,753,410 | | | $ | 2,484,540 | |
Fjordkraft Holding ASA(b) | | | 1,234,622 | | | | 10,074,009 | |
Genesis Energy Ltd. | | | 3,115,707 | | | | 7,601,095 | |
| | | | | | | | |
| | | | | | | 20,159,644 | |
| | | | | | | | |
| Gas Utilities–0.3% | |
Aygaz AS | | | 1,320,130 | | | | 2,370,786 | |
Shizuoka Gas Co., Ltd. | | | 285,400 | | | | 2,569,557 | |
| | | | | | | | |
| | | | | | | 4,940,343 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers–1.0% | |
Capital Power Corp. | | | 420,077 | | | | 12,167,425 | |
Malakoff Corp. Bhd | | | 10,224,200 | | | | 2,134,115 | |
| | | | | | | | |
| | | | | | | 14,301,540 | |
| | | | | | | | |
| Multi-Utilities–0.2% | |
Hera SpA | | | 700,239 | | | | 2,685,054 | |
| | | | | | | | |
| | | | | | | 42,086,581 | |
| | | | | | | | |
| | | | | | | | |
| |
| Energy–1.2% | |
| Energy Equipment & Services–0.1% | |
Pason Systems, Inc. | | | 159,920 | | | | 1,130,015 | |
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| Oil, Gas & Consumable Fuels–1.1% | |
Beach Energy Ltd. | | | 6,696,783 | | | $ | 8,756,654 | |
Indo Tambangraya Megah Tbk PT | | | 2,835,000 | | | | 2,235,860 | |
Itochu Enex Co., Ltd. | | | 278,000 | | | | 2,747,510 | |
New Hope Corp., Ltd. | | | 1,275,110 | | | | 1,379,673 | |
Whitehaven Coal Ltd.(a) | | | 1,109,120 | | | | 1,494,693 | |
| | | | | | | | |
| | | | | | | 16,614,390 | |
| | | | | | | | |
| | | | | | | 17,744,405 | |
| | | | | | | | |
Total Common Stocks
(cost $1,090,077,495) | | | | | | | 1,426,862,195 | |
| | | | | | | | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENTS–1.0% | |
| Investment Companies–1.0% | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(c)(d)(e)
(cost $14,876,646) | | | 14,876,646 | | | | 14,876,646 | |
| | | | | | | | |
Total Investments—98.8%
(cost $1,104,954,141) | | | | 1,441,738,841 | |
| |
Other assets less liabilities—1.2% | | | | 16,783,408 | |
| | | | | | | | |
| | | | | | | | |
| Net Assets—100.0% | | | $ | 1,458,522,249 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| |
| FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
Bank of America, NA | | USD | | | 7,668 | | | GBP | | | 5,588 | | | | 04/09/2021 | | | $ | 35,474 | |
| | | | | | |
Barclays Bank PLC | | BRL | | | 29,929 | | | USD | | | 5,253 | | | | 04/05/2021 | | | | (64,071 | ) |
| | | | | | |
Barclays Bank PLC | | USD | | | 5,501 | | | BRL | | | 29,929 | | | | 04/05/2021 | | | | (183,382 | ) |
| | | | | | |
Barclays Bank PLC | | AUD | | | 19,410 | | | USD | | | 14,777 | | | | 06/04/2021 | | | | 29,841 | |
| | | | | | |
BNP Paribas SA | | JPY | | | 877,152 | | | USD | | | 8,054 | | | | 05/20/2021 | | | | 128,885 | |
| | | | | | |
BNP Paribas SA | | EUR | | | 49,075 | | | USD | | | 58,703 | | | | 05/27/2021 | | | | 1,091,476 | |
| | | | | | |
Citibank, NA | | NOK | | | 40,908 | | | USD | | | 4,779 | | | | 04/15/2021 | | | | (3,912 | ) |
| | | | | | |
Citibank, NA | | USD | | | 14,359 | | | KRW | | | 15,772,006 | | | | 04/22/2021 | | | | (371,964 | ) |
| | | | | | |
Citibank, NA | | USD | | | 3,995 | | | TWD | | | 110,749 | | | | 04/27/2021 | | | | (94,395 | ) |
| | | | | | |
Deutsche Bank AG | | USD | | | 24,111 | | | INR | | | 1,792,993 | | | | 04/15/2021 | | | | 338,203 | |
| | | | | | |
Deutsche Bank AG | | USD | | | 9,020 | | | CHF | | | 8,327 | | | | 05/06/2021 | | | | (202,621 | ) |
| | | | | | |
Deutsche Bank AG | | NZD | | | 9,122 | | | USD | | | 6,594 | | | | 05/27/2021 | | | | 224,033 | |
| | | | | | |
Goldman Sachs Bank USA | | INR | | | 426,612 | | | USD | | | 5,769 | | | | 04/15/2021 | | | | (48,120 | ) |
| | | | | | |
Goldman Sachs Bank USA | | NOK | | | 31,261 | | | USD | | | 3,660 | | | | 04/15/2021 | | | | 5,133 | |
| | | | | | |
HSBC Bank USA | | USD | | | 19,671 | | | ILS | | | 64,880 | | | | 06/23/2021 | | | | (240,951 | ) |
| | | | | | |
JPMorgan Chase Bank, NA | | USD | | | 7,225 | | | JPY | | | 796,897 | | | | 05/20/2021 | | | | (24,867 | ) |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | BRL | | | 29,929 | | | USD | | | 5,169 | | | | 04/05/2021 | | | | (148,623 | ) |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 5,253 | | | BRL | | | 29,929 | | | | 04/05/2021 | | | | 64,071 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 4,198 | | | GBP | | | 2,968 | | | | 04/09/2021 | | | | (106,308 | ) |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | NOK | | | 23,658 | | | USD | | | 2,763 | | | | 04/15/2021 | | | | (3,471 | ) |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 11,912 | | | SEK | | | 100,931 | | | | 04/15/2021 | | | | (354,653 | ) |
| | |
| | |
2021 Semi-Annual Report | | 21 |
Schedule of Investments (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 4,601 | | | KRW | | | 5,003,524 | | | | 04/22/2021 | | | $ | (163,964 | ) |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | TWD | | | 372,287 | | | USD | | | 13,513 | | | | 04/27/2021 | | | | 401,153 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 5,161 | | | BRL | | | 29,929 | | | | 05/04/2021 | | | | 146,808 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | CHF | | | 5,547 | | | USD | | | 5,953 | | | | 05/06/2021 | | | | 79,747 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | JPY | | | 1,349,488 | | | USD | | | 12,737 | | | | 05/20/2021 | | | | 544,254 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | NZD | | | 5,074 | | | USD | | | 3,678 | | | | 05/27/2021 | | | | 134,335 | |
| | | | | | |
Natwest Markets PLC | | USD | | | 2,767 | | | GBP | | | 2,023 | | | | 04/09/2021 | | | | 21,751 | |
| | | | | | |
Natwest Markets PLC | | CAD | | | 7,252 | | | USD | | | 5,738 | | | | 04/22/2021 | | | | (32,692 | ) |
| | | | | | |
Natwest Markets PLC | | USD | | | 8,309 | | | TWD | | | 231,644 | | | | 04/27/2021 | | | | (150,945 | ) |
| | | | | | |
Natwest Markets PLC | | USD | | | 15,895 | | | SGD | | | 21,313 | | | | 05/21/2021 | | | | (54,693 | ) |
| | | | | | |
Societe Generale | | NOK | | | 144,756 | | | USD | | | 17,157 | | | | 04/15/2021 | | | | 232,830 | |
| | | | | | |
Standard Chartered Bank | | USD | | | 9,012 | | | ZAR | | | 134,496 | | | | 04/08/2021 | | | | 97,579 | |
| | | | | | |
Standard Chartered Bank | | USD | | | 2,653 | | | GBP | | | 1,899 | | | | 04/09/2021 | | | | (35,166 | ) |
| | | | | | |
State Street Bank & Trust Co. | | INR | | | 260,135 | | | USD | | | 3,526 | | | | 04/15/2021 | | | | (21,346 | ) |
| | | | | | |
State Street Bank & Trust Co. | | EUR | | | 2,968 | | | USD | | | 3,545 | | | | 05/27/2021 | | | | 60,282 | |
| | | | | | |
UBS AG | | USD | | | 4,081 | | | MXN | | | 84,320 | | | | 04/16/2021 | | | | 39,846 | |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | $ | 1,369,557 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | | Non-income producing security. |
| (b) | | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, the aggregate market value of these securities amounted to $93,519,199 or 6.4% of net assets. |
| (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
EUR—Euro
GBP—Great British Pound
ILS—Israeli Shekel
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
NOK—Norwegian Krone
NZD—New Zealand Dollar
SEK—Swedish Krona
SGD—Singapore Dollar
TWD—New Taiwan Dollar
USD—United States Dollar
ZAR—South African Rand
Glossary:
GDR—Global Depositary Receipt
REIT—Real Estate Investment Trust
See notes to financial statements.
Schedule of Investments
Bernstein Fund, Inc.
Schedule of Investments
International Strategic Equities Portfolio
March 31, 2021 (unaudited)
| | | | | | | | |
| | |
| Company | | Shares | | | U.S. $ Value | |
|
| COMMON STOCKS–96.5% | |
|
| Information Technology–17.4% | |
| Electronic Equipment, Instruments & Components–0.6% | |
Simplo Technology Co., Ltd. | | | 4,074,000 | | | $ | 53,245,209 | |
| | | | | | | | |
| IT Services–1.9% | |
Adyen NV(a)(b) | | | 18,820 | | | | 41,995,025 | |
Amadeus IT Group SA–Class A(b) | | | 543,870 | | | | 38,738,817 | |
Infosys Ltd. | | | 2,124,246 | | | | 39,837,901 | |
Otsuka Corp. | | | 1,092,400 | | | | 51,221,441 | |
| | | | | | | | |
| | | | | | | 171,793,184 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment–7.6% | |
ASML Holding NV | | | 157,002 | | | | 96,331,595 | |
MediaTek, Inc. | | | 2,808,000 | | | | 96,586,215 | |
NXP Semiconductors NV | | | 394,057 | | | | 79,339,436 | |
STMicroelectronics NV | | | 1,387,900 | | | | 53,025,196 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | | | 7,642,000 | | | | 160,934,355 | |
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR) | | | 530,830 | | | | 62,786,573 | |
United Microelectronics Corp. | | | 63,061,000 | | | | 113,109,987 | |
| | | | | | | | |
| | | | | | | 662,113,357 | |
| | | | | | | | |
| Software–5.7% | |
Avast PLC(a) | | | 8,391,804 | | | | 52,744,784 | |
Check Point Software Technologies Ltd.(b) | | | 449,260 | | | | 50,303,642 | |
Constellation Software, Inc./Canada | | | 154,432 | | | | 215,671,471 | |
Nice Ltd.(b) | | | 116,828 | | | | 25,398,602 | |
Open Text Corp. | | | 965,530 | | | | 46,036,888 | |
Oracle Corp./Japan | | | 722,200 | | | | 70,700,025 | |
SAP SE | | | 341,773 | | | | 41,920,717 | |
| | | | | | | | |
| | | | | | | 502,776,129 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals–1.6% | |
Samsung Electronics Co., Ltd. | | | 1,895,360 | | | | 137,119,105 | |
| | | | | | | | |
| | | | | | | 1,527,046,984 | |
| | | | | | | | |
| | | | | | | | |
| |
| Financials–16.5% | |
| Banks–10.8% | |
Agricultural Bank of China Ltd.–Class H | | | 133,511,000 | | | | 53,519,482 | |
Bank Hapoalim BM(b) | | | 4,192,680 | | | | 32,606,719 | |
China Construction Bank Corp.–Class H | | | 136,170,000 | | | | 114,779,919 | |
Erste Group Bank AG(b) | | | 2,044,679 | | | | 69,270,243 | |
Hana Financial Group, Inc. | | | 3,317,770 | | | | 125,487,839 | |
ICICI Bank Ltd.(b) | | | 10,158,082 | | | | 81,349,542 | |
KB Financial Group, Inc. | | | 1,014,930 | | | | 50,023,425 | |
KB Financial Group, Inc. (ADR)(b) | | | 714,000 | | | | 35,293,020 | |
KBC Group NV(b) | | | 1,279,260 | | | | 93,080,777 | |
Mediobanca Banca di Credito Finanziario SpA(b) | | | 4,607,660 | | | | 51,058,602 | |
| Company | | Shares | | | U.S. $ Value | |
Mitsubishi UFJ Financial Group, Inc. | | | 13,227,300 | | | $ | 70,730,209 | |
OTP Bank Nyrt(b) | | | 932,730 | | | | 39,870,861 | |
Sberbank of Russia PJSC (Sponsored ADR) | | | 4,684,655 | | | | 72,190,534 | |
Westpac Banking Corp. | | | 2,790,810 | | | | 51,766,569 | |
| | | | | | | | |
| | | | | | | 941,027,741 | |
| | | | | | | | |
| Capital Markets–2.5% | |
Credit Suisse Group AG | | | 6,228,957 | | | | 65,898,358 | |
Partners Group Holding AG | | | 70,526 | | | | 90,126,999 | |
Singapore Exchange Ltd. | | | 8,493,500 | | | | 62,993,957 | |
| | | | | | | | |
| | | | | | | 219,019,314 | |
| | | | | | | | |
| Consumer Finance–0.0% | |
Isracard Ltd. | | | 2 | | | | 7 | |
| | | | | | | | |
| Diversified Financial Services–0.5% | |
ORIX Corp. | | | 2,669,700 | | | | 45,152,062 | |
| | | | | | | | |
| Insurance–2.7% | |
ASR Nederland NV | | | 1,285,210 | | | | 57,442,471 | |
NN Group NV | | | 2,056,640 | | | | 100,325,830 | |
Suncorp Group Ltd. | | | 10,704,083 | | | | 80,645,823 | |
| | | | | | | | |
| | | | | | | 238,414,124 | |
| | | | | | | | |
| | | | | | | 1,443,613,248 | |
| | | | | | | | |
| | | | | | | | |
| |
| Consumer Discretionary–14.5% | |
| Auto Components–0.9% | |
Faurecia SE(b) | | | 733,393 | | | | 39,024,832 | |
Hyundai Mobis Co., Ltd. | | | 166,010 | | | | 43,061,620 | |
| | | | | | | | |
| | | | | | | 82,086,452 | |
| | | | | | | | |
| Automobiles–6.4% | |
Ford Otomotiv Sanayi AS | | | 409,048 | | | | 9,575,703 | |
Honda Motor Co., Ltd. | | | 1,604,100 | | | | 48,356,417 | |
Hyundai Motor Co. | | | 312,270 | | | | 60,520,190 | |
Kia Motors Corp. | | | 1,972,740 | | | | 145,004,584 | |
Stellantis NV | | | 13,765,987 | | | | 243,442,067 | |
Suzuki Motor Corp. | | | 1,212,400 | | | | 55,223,977 | |
| | | | | | | | |
| | | | | | | 562,122,938 | |
| | | | | | | | |
| Diversified Consumer Services–1.2% | |
New Oriental Education & Technology Group, Inc.(b) | | | 7,197,300 | | | | 99,690,169 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure–1.5% | |
Compass Group PLC(b) | | | 2,131,370 | | | | 43,061,676 | |
Entain PLC(b) | | | 2,627,140 | | | | 54,940,577 | |
OPAP SA | | | 2,593,340 | | | | 35,035,552 | |
| | | | | | | | |
| | | | | | | 133,037,805 | |
| | | | | | | | |
| Household Durables–0.7% | |
Persimmon PLC | | | 1,519,520 | | | | 61,549,078 | |
| | | | | | | | |
| Internet & Direct Marketing Retail–3.0% | |
Alibaba Group Holding Ltd.(b) | | | 9,095,520 | | | | 258,427,402 | |
| | | | | | | | |
| Multiline Retail–0.3% | |
B&M European Value Retail SA | | | 3,616,914 | | | | 26,315,030 | |
| | | | | | | | |
| | |
| | |
2021 Semi-Annual Report | | 23 |
Schedule of Investments (continued)
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
| Textiles, Apparel & Luxury Goods–0.5% | |
LVMH Moet Hennessy Louis Vuitton SE | | | 67,980 | | | $ | 45,407,310 | |
| | | | | | | | |
| | | | | | | 1,268,636,184 | |
| | | | | | | | |
| | | | | | | | |
| |
| Health Care–9.7% | |
| Biotechnology–0.4% | |
Genmab A/S(b) | | | 105,443 | | | | 34,679,538 | |
| | | | | | | | |
| Health Care Equipment & Supplies–2.0% | |
Coloplast A/S–Class B | | | 424,540 | | | | 63,828,302 | |
Getinge AB–Class B | | | 2,408,590 | | | | 66,893,360 | |
Koninklijke Philips NV(b) | | | 810,859 | | | | 46,239,516 | |
| | | | | | | | |
| | | | | | | 176,961,178 | |
| | | | | | | | |
| Health Care Providers & Services–1.3% | |
Sonic Healthcare Ltd. | | | 4,405,710 | | | | 117,814,689 | |
| | | | | | | | |
| Life Sciences Tools & Services–0.7% | |
Sartorius Stedim Biotech | | | 145,650 | | | | 59,942,009 | |
| | | | | | | | |
| Pharmaceuticals–5.3% | |
Nippon Shinyaku Co., Ltd. | | | 604,700 | | | | 45,020,748 | |
Novo Nordisk A/S–Class B | | | 2,369,150 | | | | 159,641,874 | |
Roche Holding AG | | | 788,162 | | | | 255,319,651 | |
| | | | | | | | |
| | | | | | | 459,982,273 | |
| | | | | | | | |
| | | | | | | 849,379,687 | |
| | | | | | | | |
| | | | | | | | |
| |
| Communication Services–9.0% | |
| Diversified Telecommunication Services–2.1% | |
Nippon Telegraph & Telephone Corp. | | | 7,135,100 | | | | 184,099,284 | |
| | | | | | | | |
| Entertainment–2.3% | |
Konami Holdings Corp. | | | 920,400 | | | | 54,947,509 | |
NCSoft Corp. | | | 114,740 | | | | 88,687,486 | |
Nintendo Co., Ltd. | | | 99,900 | | | | 56,307,156 | |
| | | | | | | | |
| | | | | | | 199,942,151 | |
| | | | | | | | |
| Interactive Media & Services–4.1% | |
Auto Trader Group PLC(b) | | | 11,257,350 | | | | 86,073,906 | |
Kakaku.com, Inc. | | | 3,238,200 | | | | 88,637,294 | |
Tencent Holdings Ltd. | | | 2,279,500 | | | | 181,921,232 | |
| | | | | | | | |
| | | | | | | 356,632,432 | |
| | | | | | | | |
| Media–0.5% | |
Informa PLC(b) | | | 5,719,350 | | | | 44,160,034 | |
| | | | | | | | |
| | | | | | | 784,833,901 | |
| | | | | | | | |
| | | | | | | | |
| |
| Consumer Staples–8.0% | |
| Beverages–0.7% | |
Asahi Group Holdings Ltd. | | | 1,472,200 | | | | 62,319,301 | |
| | | | | | | | |
| Food & Staples Retailing–2.4% | |
Coles Group Ltd. | | | 3,119,579 | | | | 38,041,875 | |
Koninklijke Ahold Delhaize NV | | | 5,369,180 | | | | 149,761,709 | |
X5 Retail Group NV (GDR)(a) | | | 805,720 | | | | 25,976,413 | |
| | | | | | | | |
| | | | | | | 213,779,997 | |
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| Food Products–3.2% | |
Nestle SA | | | 2,083,375 | | | $ | 232,247,124 | |
Salmar ASA | | | 683,620 | | | | 47,153,999 | |
| | | | | | | | |
| | | | | | | 279,401,123 | |
| | | | | | | | |
| Tobacco–1.7% | |
British American Tobacco PLC | | | 917,598 | | | | 34,878,303 | |
Swedish Match AB | | | 1,441,320 | | | | 112,439,014 | |
| | | | | | | | |
| | | | | | | 147,317,317 | |
| | | | | | | | |
| | | | | | | 702,817,738 | |
| | | | | | | | |
| | | | | | | | |
| |
| Industrials–7.1% | |
| Aerospace & Defense–0.7% | |
Saab AB–Class B(b) | | | 2,282,480 | | | | 62,530,413 | |
| | | | | | | | |
| Electrical Equipment–1.7% | |
Fuji Electric Co., Ltd. | | | 1,675,500 | | | | 70,104,283 | |
Nexans SA(b) | | | 112,242 | | | | 9,931,537 | |
Schneider Electric SE | | | 458,580 | | | | 69,857,843 | |
| | | | | | | | |
| | | | | | | 149,893,663 | |
| | | | | | | | |
| Machinery–3.2% | |
Volvo AB–Class B(b) | | | 3,308,150 | | | | 83,778,966 | |
Weichai Power Co., Ltd.–Class A | | | 20,780,060 | | | | 61,369,635 | |
Weichai Power Co., Ltd.–Class H | | | 5,719,000 | | | | 14,356,842 | |
Weir Group PLC (The)(b) | | | 1,778,320 | | | | 43,587,068 | |
Zoomlion Heavy Industry Science and Technology Co., Ltd.–Class A | | | 18,512,205 | | | | 36,081,623 | |
Zoomlion Heavy Industry Science and Technology Co., Ltd.–Class H | | | 30,156,600 | | | | 43,261,414 | |
| | | | | | | | |
| | | | | | | 282,435,548 | |
| | | | | | | | |
| Professional Services–1.5% | |
RELX PLC | | | 1,903,400 | | | | 47,754,576 | |
RELX PLC (London) | | | 849,650 | | | | 21,309,885 | |
Wolters Kluwer NV | | | 686,640 | | | | 59,637,989 | |
| | | | | | | | |
| | | | | | | 128,702,450 | |
| | | | | | | | |
| | | | | | | 623,562,074 | |
| | | | | | | | |
| | | | | | | | |
| |
| Materials–6.9% | |
| Chemicals–3.4% | |
Akzo Nobel NV | | | 806,320 | | | | 90,022,244 | |
Chr Hansen Holding A/S(b) | | | 371,183 | | | | 33,716,268 | |
Covestro AG(a) | | | 679,010 | | | | 45,684,345 | |
Evonik Industries AG | | | 1,348,200 | | | | 47,705,971 | |
Tosoh Corp. | | | 4,006,300 | | | | 76,730,418 | |
| | | | | | | | |
| | | | | | | 293,859,246 | |
| | | | | | | | |
| Containers & Packaging–0.5% | |
Huhtamaki Oyj | | | 920,960 | | | | 41,673,871 | |
| | | | | | | | |
| Metals & Mining–3.0% | |
Anglo American PLC | | | 1,264,940 | | | | 49,544,909 | |
Boliden AB | | | 620,780 | | | | 23,032,989 | |
Evolution Mining Ltd. | | | 10,282,580 | | | | 32,034,513 | |
Northern Star Resources Ltd. | | | 3,592,260 | | | | 26,021,336 | |
| | | | | | | | |
| | | |
| Company | | Shares | | | U.S. $ Value | |
South32 Ltd. | | | 22,290,060 | | | $ | 47,837,735 | |
Sumitomo Metal Mining Co., Ltd. | | | 953,500 | | | | 41,320,137 | |
Vale SA (Sponsored ADR)–Class B | | | 2,646,270 | | | | 45,992,173 | |
| | | | | | | | |
| | | | | | | 265,783,792 | |
| | | | | | | | |
| | | | | | | 601,316,909 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Energy–3.9% | | | | | | | | |
| Oil, Gas & Consumable Fuels–3.9% | |
ENEOS Holdings, Inc. | | | 27,342,000 | | | | 124,047,086 | |
LUKOIL PJSC (Sponsored ADR) | | | 472,330 | | | | 38,159,541 | |
Royal Dutch Shell PLC–Class B | | | 6,538,220 | | | | 120,351,925 | |
Woodside Petroleum Ltd. | | | 3,027,260 | | | | 55,331,927 | |
| | | | | | | | |
| | | | | | | 337,890,479 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Utilities–2.7% | | | | | | | | |
| Electric Utilities–2.3% | |
Cia de Transmissao de Energia Eletrica Paulista (Preference Shares) | | | 6,595,800 | | | | 29,682,360 | |
EDP–Energias de Portugal SA | | | 11,007,157 | | | | 62,869,255 | |
Enel SpA | | | 5,986,920 | | | | 59,553,991 | |
Equatorial Energia SA | | | 10,845,800 | | | | 47,786,919 | |
| | | | | | | | |
| | | | | | | 199,892,525 | |
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| Gas Utilities–0.4% | |
APA Group | | | 5,269,400 | | | $ | 40,234,713 | |
| | | | | | | | |
| | | | | | | 240,127,238 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Real Estate–0.8% | | | | | | | | |
| Equity Real Estate Investment Trusts (REITs)–0.4% | |
Nippon Building Fund, Inc. | | | 5,262 | | | | 31,007,825 | |
| | | | | | | | |
| Real Estate Management & Development–0.4% | |
Aroundtown SA | | | 5,262,610 | | | | 37,479,547 | |
| | | | | | | | |
| | | | | | | 68,487,372 | |
| | | | | | | | |
Total Common Stocks
(cost $6,981,492,883) | | | | | | | 8,447,711,814 | |
| | | | | | | | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENTS–1.9% | | | | | |
| Investment Companies–1.9% | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(c)(d)(e)
(cost $169,231,317) | | | 169,231,317 | | | | 169,231,317 | |
| | | | | | | | |
Total Investments—98.4%
(cost $7,150,724,200) | | | | 8,616,943,131 | |
| | |
Other assets less liabilities—1.6% | | | | | | | 137,023,816 | |
| | | | | | | | |
| | | | | | | | |
| Net Assets—100.0% | | | | | | $ | 8,753,966,947 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
Bank of America, NA | | USD | | | 89,119 | | | ZAR | | | 1,343,990 | | | | 04/08/2021 | | | $ | 1,909,379 | |
| | | | | | |
Bank of America, NA | | CAD | | | 24,851 | | | USD | | | 19,583 | | | | 04/22/2021 | | | | (192,537) | |
| | | | | | |
Bank of America, NA | | USD | | | 100,536 | | | KRW | | | 113,816,671 | | | | 04/22/2021 | | | | 396,368 | |
| | | | | | |
Bank of America, NA | | TWD | | | 1,935,872 | | | USD | | | 69,955 | | | | 04/27/2021 | | | | 1,773,002 | |
| | | | | | |
Bank of America, NA | | USD | | | 12,621 | | | TWD | | | 350,219 | | | | 04/27/2021 | | | | (285,755) | |
| | | | | | |
Barclays Bank PLC | | BRL | | | 67,754 | | | USD | | | 11,892 | | | | 04/05/2021 | | | | (145,045) | |
| | | | | | |
Barclays Bank PLC | | USD | | | 12,452 | | | BRL | | | 67,754 | | | | 04/05/2021 | | | | (415,146) | �� |
| | | | | | |
Barclays Bank PLC | | USD | | | 12,237 | | | GBP | | | 8,903 | | | | 04/09/2021 | | | | 36,936 | |
| | | | | | |
Barclays Bank PLC | | INR | | | 1,398,285 | | | USD | | | 18,950 | | | | 04/15/2021 | | | | (117,231) | |
| | | | | | |
Barclays Bank PLC | | TWD | | | 671,496 | | | USD | | | 24,375 | | | | 04/27/2021 | | | | 725,331 | |
| | | | | | |
BNP Paribas SA | | USD | | | 17,878 | | | GBP | | | 12,958 | | | | 04/09/2021 | | | | (13,900) | |
| | | | | | |
BNP Paribas SA | | USD | | | 14,577 | | | NOK | | | 126,013 | | | | 04/15/2021 | | | | 156,432 | |
| | | | | | |
BNP Paribas SA | | KRW | | | 25,237,287 | | | USD | | | 22,579 | | | | 04/22/2021 | | | | 199,021 | |
| | | | | | |
BNP Paribas SA | | USD | | | 13,143 | | | JPY | | | 1,427,473 | | | | 05/20/2021 | | | | (244,998) | |
| | | | | | |
BNP Paribas SA | | EUR | | | 27,816 | | | USD | | | 33,330 | | | | 05/27/2021 | | | | 675,664 | |
| | | | | | |
BNP Paribas SA | | USD | | | 25,932 | | | ILS | | | 85,750 | | | | 06/23/2021 | | | | (251,027) | |
| | | | | | |
Citibank, NA | | USD | | | 26,809 | | | GBP | | | 19,565 | | | | 04/09/2021 | | | | 163,126 | |
| | | | | | |
Citibank, NA | | SEK | | | 63,144 | | | USD | | | 7,427 | | | | 04/15/2021 | | | | 196,554 | |
| | | | | | |
Citibank, NA | | CNY | | | 125,833 | | | USD | | | 19,241 | | | | 04/22/2021 | | | | 91,652 | |
| | | | | | |
Citibank, NA | | KRW | | | 231,132,025 | | | USD | | | 212,048 | | | | 04/22/2021 | | | | 7,080,611 | |
| | |
| | |
2021 Semi-Annual Report | | 25 |
Schedule of Investments (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
Deutsche Bank AG | | USD | | | 198,436 | | | INR | | | 14,756,680 | | | | 04/15/2021 | | | $ | 2,783,479 | |
| | | | | | |
Goldman Sachs Bank USA | | GBP | | | 16,975 | | | USD | | | 23,652 | | | | 04/09/2021 | | | | 249,719 | |
| | | | | | |
Goldman Sachs Bank USA | | INR | | | 3,242,210 | | | USD | | | 44,390 | | | | 04/15/2021 | | | | 179,349 | |
| | | | | | |
Goldman Sachs Bank USA | | SEK | | | 345,268 | | | USD | | | 40,103 | | | | 04/15/2021 | | | | 565,284 | |
| | | | | | |
Goldman Sachs Bank USA | | KRW | | | 59,331,921 | | | USD | | | 53,997 | | | | 04/22/2021 | | | | 1,381,884 | |
| | | | | | |
Goldman Sachs Bank USA | | TWD | | | 902,063 | | | USD | | | 32,102 | | | | 04/27/2021 | | | | 331,134 | |
| | | | | | |
Goldman Sachs Bank USA | | USD | | | 22,426 | | | TWD | | | 639,520 | | | | 04/27/2021 | | | | 98,039 | |
| | | | | | |
HSBC Bank USA | | USD | | | 12,968 | | | ZAR | | | 191,800 | | | | 04/08/2021 | | | | 22,638 | |
| | | | | | |
HSBC Bank USA | | GBP | | | 15,512 | | | USD | | | 21,099 | | | | 04/09/2021 | | | | (286,003) | |
| | | | | | |
HSBC Bank USA | | USD | | | 2,601 | | | GBP | | | 1,895 | | | | 04/09/2021 | | | | 10,899 | |
| | | | | | |
HSBC Bank USA | | USD | | | 23,569 | | | GBP | | | 16,975 | | | | 04/09/2021 | | | | (167,461) | |
| | | | | | |
HSBC Bank USA | | INR | | | 1,508,517 | | | USD | | | 20,516 | | | | 04/15/2021 | | | | (54,186) | |
| | | | | | |
HSBC Bank USA | | NOK | | | 126,013 | | | USD | | | 14,808 | | | | 04/15/2021 | | | | 75,196 | |
| | | | | | |
HSBC Bank USA | | SEK | | | 181,542 | | | USD | | | 21,326 | | | | 04/15/2021 | | | | 537,374 | |
| | | | | | |
HSBC Bank USA | | USD | | | 26,608 | | | IDR | | | 372,589,983 | | | | 04/15/2021 | | | | (1,063,664) | |
| | | | | | |
HSBC Bank USA | | USD | | | 17,851 | | | INR | | | 1,324,554 | | | | 04/15/2021 | | | | 210,236 | |
| | | | | | |
HSBC Bank USA | | USD | | | 15,001 | | | SEK | | | 124,082 | | | | 04/15/2021 | | | | (791,694) | |
| | | | | | |
HSBC Bank USA | | CAD | | | 26,384 | | | USD | | | 20,939 | | | | 04/22/2021 | | | | (56,863) | |
| | | | | | |
HSBC Bank USA | | CNY | | | 143,977 | | | USD | | | 22,293 | | | | 04/22/2021 | | | | 383,015 | |
| | | | | | |
HSBC Bank USA | | KRW | | | 58,402,291 | | | USD | | | 52,130 | | | | 04/22/2021 | | | | 339,514 | |
| | | | | | |
HSBC Bank USA | | KRW | | | 21,260,692 | | | USD | | | 18,628 | | | | 04/22/2021 | | | | (225,425) | |
| | | | | | |
HSBC Bank USA | | USD | | | 332,447 | | | CAD | | | 422,414 | | | | 04/22/2021 | | | | 3,699,085 | |
| | | | | | |
HSBC Bank USA | | USD | | | 75,183 | | | KRW | | | 83,728,887 | | | | 04/22/2021 | | | | (932,496) | |
| | | | | | |
HSBC Bank USA | | USD | | | 26,055 | | | TWD | | | 723,025 | | | | 04/27/2021 | | | | (589,940) | |
| | | | | | |
HSBC Bank USA | | USD | | | 45,017 | | | JPY | | | 4,908,202 | | | | 05/20/2021 | | | | (669,383) | |
| | | | | | |
HSBC Bank USA | | EUR | | | 47,245 | | | USD | | | 56,193 | | | | 05/27/2021 | | | | 730,567 | |
| | | | | | |
HSBC Bank USA | | USD | | | 8,263 | | | EUR | | | 6,919 | | | | 05/27/2021 | | | | (140,159) | |
| | | | | | |
HSBC Bank USA | | AUD | | | 138,142 | | | USD | | | 105,069 | | | | 06/04/2021 | | | | 114,670 | |
| | | | | | |
HSBC Bank USA | | ILS | | | 350,837 | | | USD | | | 106,372 | | | | 06/23/2021 | | | | 1,302,937 | |
| | | | | | |
JPMorgan Chase Bank, NA | | USD | | | 13,913 | | | GBP | | | 10,163 | | | | 04/09/2021 | | | | 97,484 | |
| | | | | | |
JPMorgan Chase Bank, NA | | SEK | | | 300,475 | | | USD | | | 34,754 | | | | 04/15/2021 | | | | 345,877 | |
| | | | | | |
JPMorgan Chase Bank, NA | | USD | | | 23,769 | | | SEK | | | 199,070 | | | | 04/15/2021 | | | | (973,312) | |
| | | | | | |
JPMorgan Chase Bank, NA | | CNY | | | 589,776 | | | USD | | | 90,374 | | | | 04/22/2021 | | | | 622,094 | |
| | | | | | |
JPMorgan Chase Bank, NA | | USD | | | 17,400 | | | CNY | | | 114,313 | | | | 04/22/2021 | | | | (3,520) | |
| | | | | | |
JPMorgan Chase Bank, NA | | USD | | | 16,624 | | | CHF | | | 14,780 | | | | 05/06/2021 | | | | (972,999) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | BRL | | | 67,754 | | | USD | | | 11,701 | | | | 04/05/2021 | | | | (336,455) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 11,892 | | | BRL | | | 67,754 | | | | 04/05/2021 | | | | 145,045 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 49,389 | | | GBP | | | 36,008 | | | | 04/09/2021 | | | | 252,164 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 14,884 | | | GBP | | | 10,772 | | | | 04/09/2021 | | | | (33,538) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | SEK | | | 771,467 | | | USD | | | 93,228 | | | | 04/15/2021 | | | | 4,885,641 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | KRW | | | 74,791,039 | | | USD | | | 67,237 | | | | 04/22/2021 | | | | 912,947 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 15,195 | | | CAD | | | 19,227 | | | | 04/22/2021 | | | | 105,434 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 18,059 | | | CNY | | | 117,952 | | | | 04/22/2021 | | | | (109,154) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 11,684 | | | BRL | | | 67,754 | | | | 05/04/2021 | | | | 332,347 | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 9,536 | | | CHF | | | 8,916 | | | | 05/06/2021 | | | | (95,624) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 3,463 | | | JPY | | | 377,164 | | | | 05/20/2021 | | | | (55,066) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | EUR | | | 158,908 | | | USD | | | 189,916 | | | | 05/27/2021 | | | | 3,365,778 | |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 43,065 | | | EUR | | | 36,063 | | | | 05/27/2021 | | | $ | (729,227) | |
| | | | | | |
Morgan Stanley Capital Services, Inc. | | USD | | | 30,975 | | | MYR | | | 128,127 | | | | 09/23/2021 | | | | (159,083) | |
| | | | | | |
Standard Chartered Bank | | USD | | | 233,986 | | | CNY | | | 1,524,585 | | | | 04/22/2021 | | | | (1,975,501) | |
| | | | | | |
Standard Chartered Bank | | USD | | | 12,110 | | | CHF | | | 11,321 | | | | 05/06/2021 | | | | (121,860) | |
| | | | | | |
State Street Bank & Trust Co. | | GBP | | | 11,652 | | | USD | | | 16,017 | | | | 04/09/2021 | | | | (46,339) | |
| | | | | | |
State Street Bank & Trust Co. | | USD | | | 60,044 | | | GBP | | | 43,668 | | | | 04/09/2021 | | | | 156,759 | |
| | | | | | |
State Street Bank & Trust Co. | | USD | | | 8,521 | | | GBP | | | 6,176 | | | | 04/09/2021 | | | | (7,245) | |
| | | | | | |
State Street Bank & Trust Co. | | CNY | | | 72,055 | | | USD | | | 11,055 | | | | 04/22/2021 | | | | 90,085 | |
| | | | | | |
State Street Bank & Trust Co. | | USD | | | 9,983 | | | CHF | | | 8,877 | | | | 05/06/2021 | | | | (583,896) | |
| | | | | | |
State Street Bank & Trust Co. | | USD | | | 20,131 | | | NZD | | | 27,640 | | | | 05/27/2021 | | | | (829,755) | |
| | | | | | |
State Street Bank & Trust Co. | | AUD | | | 19,475 | | | USD | | | 14,847 | | | | 06/04/2021 | | | | 51,224 | |
| | | | | | |
UBS AG | | GBP | | | 43,790 | | | USD | | | 59,806 | | | | 04/09/2021 | | | | (563,447) | |
| | | | | | |
UBS AG | | USD | | | 44,746 | | | MXN | | | 924,524 | | | | 04/16/2021 | | | | 436,887 | |
| | | | | | |
UBS AG | | TWD | | | 959,645 | | | USD | | | 34,594 | | | | 04/27/2021 | | | | 795,472 | |
| | | | | | |
UBS AG | | CHF | | | 193,315 | | | USD | | | 218,576 | | | | 05/06/2021 | | | | 13,875,120 | |
| | | | | | |
UBS AG | | RUB | | | 3,864,393 | | | USD | | | 50,475 | | | | 05/25/2021 | | | | (338,148) | |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | $ | 38,312,371 | |
| | | | | | | | | | | | | | | | | | | | |
| (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 March 31, 2021, the aggregate market value of these securities amounted to $166,400,567 or 1.9% 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
CNY—Chinese Yuan Renminbi
EUR—Euro
GBP—Great British Pound
IDR—Indonesian Rupiah
ILS—Israeli Shekel
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
MYR—Malaysian Ringgit
NOK—Norwegian Krone
NZD—New Zealand Dollar
RUB—Russian Ruble
SEK—Swedish Krona
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
REIT—Real Estate Investment Trust
See notes to financial statements.
| | |
| | |
2021 Semi-Annual Report | | 27 |
Statement of Assets and Liabilities—March 31, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | SMALL CAP CORE
PORTFOLIO | | | INTERNATIONAL
SMALL CAP
PORTFOLIO | | | INTERNATIONAL
STRATEGIC
EQUITIES
PORTFOLIO | |
|
| ASSETS | |
|
Investments in securities at value | |
| | | |
Unaffiliated issuers | | $ | 886,411,601 | | | $ | 1,426,862,195 | | | $ | 8,447,711,814 | |
| | | |
Affiliated issuers | | | 230,305 | | | | 14,876,646 | | | | 169,231,317 | |
| | | |
Foreign currencies, at value (a) | | | 0 | | | | 5,771,983 | | | | 55,841,745 | |
| | | |
Cash | | | 20,574 | | | | 0 | | | | 3,382 | |
| | | |
Cash collateral due from broker | | | 1,701,700 | | | | 839,000 | | | | 2,326,000 | |
|
Receivables: | |
| | | |
Unaffiliated interest and dividends | | | 371,344 | | | | 4,292,260 | | | | 28,290,459 | |
| | | |
Affiliated dividends | | | 24 | | | | 94 | | | | 1,011 | |
| | | |
Foreign withholding tax reclaims | | | 0 | | | | 1,795,938 | | | | 17,730,455 | |
| | | |
Investment securities sold and foreign currency transactions | | | 8,795,912 | | | | 7,891,895 | | | | 16,984,277 | |
| | | |
Capital shares sold | | | 263,075 | | | | 493,051 | | | | 7,828,013 | |
| | | |
Variation margin on futures | | | 358,237 | | | | 0 | | | | 0 | |
| | | |
Unrealized appreciation of forward currency exchange contracts | | | 0 | | | | 3,675,701 | | | | 52,889,453 | |
| | | | | | | | | | | | |
| | | |
Total assets | | | 898,152,772 | | | | 1,466,498,763 | | | | 8,798,837,926 | |
| | | | | | | | | | | | |
|
| LIABILITIES | |
| | | |
Cash collateral due to broker | | | 0 | | | | 546,000 | | | | 17,151,000 | |
|
Payables: | |
| | | |
Investment securities purchased and foreign currency transactions | | | 3,629,775 | | | | 3,091,266 | | | | 5,996,673 | |
| | | |
Management fee | | | 612,852 | | | | 1,230,450 | | | | 5,039,231 | |
| | | |
Capital shares redeemed | | | 732,777 | | | | 237,618 | | | | 1,775,239 | |
| | | |
Shareholder servicing fee | | | 2,218 | | | | 15,225 | | | | 94,619 | |
| | | |
Transfer Agent fee | | | 22,436 | | | | 22,320 | | | | 13,167 | |
| | | |
Directors’ fees payable | | | 1,402 | | | | 0 | | | | 22,623 | |
| | | |
Accrued expenses | | | 51,838 | | | | 527,491 | | | | 201,345 | |
| | | |
Unrealized depreciation of forward currency exchange contracts | | | 0 | | | | 2,306,144 | | | | 14,577,082 | |
| | | | | | | | | | | | |
| | | |
Total liabilities | | | 5,053,298 | | | | 7,976,514 | | | | 44,870,979 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS | | $ | 893,099,474 | | | $ | 1,458,522,249 | | | $ | 8,753,966,947 | |
| | | | | | | | | | | | |
| | | |
Cost of investments | | | | | | | | | | | | |
| | | |
Unaffiliated issuers | | $ | 594,924,447 | | | $ | 1,090,077,495 | | | $ | 6,981,492,883 | |
| | | |
Affiliated issuers | | | 230,305 | | | | 14,876,646 | | | | 169,231,317 | |
|
| NET ASSETS CONSIST OF: | |
| | | |
Capital stock, at par | | $ | 5,993 | | | $ | 11,441 | | | $ | 66,102 | |
| | | |
Additional paid-in capital | | | 593,169,521 | | | | 1,221,658,966 | | | | 7,259,764,200 | |
| | | |
Distributable earnings | | | 299,923,960 | | | | 236,851,842 | | | | 1,494,136,645 | |
| | | | | | | | | | | | |
| | | |
| | $ | 893,099,474 | | | $ | 1,458,522,249 | | | $ | 8,753,966,947 | |
| | | | | | | | | | | | |
(a) Cost: $0, $5,822,713 and $56,204,186, respectively. (Note 1)
See Notes to Financial Statements.
| | | | | | | | | | | | |
| | | SMALL CAP CORE
PORTFOLIO | | | INTERNATIONAL
SMALL CAP
PORTFOLIO | | | INTERNATIONAL
STRATEGIC
EQUITIES
PORTFOLIO | |
| | | |
| CALCULATION OF MAXIMUM OFFERING PRICE | | | | | | | | | | | | |
| | | |
SCB Class Shares | | | | | | | | | | | | |
| | | |
Net Assets | | $ | 10,206,042 | | | $ | 72,007,265 | | | $ | 442,807,169 | |
| | | |
Shares of capital stock outstanding | | | 686,637 | | | | 5,657,234 | | | | 33,502,726 | |
| | | | | | | | | | | | |
| | | |
Net asset value, offering and redemption price per share | | $ | 14.86 | | | $ | 12.73 | | | $ | 13.22 | |
| | | | | | | | | | | | |
| | | |
Advisor Class Shares | | | | | | | | | | | | |
| | | |
Net Assets | | $ | 721,854,620 | | | $ | 902,494,221 | | | $ | 6,289,011,458 | |
| | | |
Shares of capital stock outstanding | | | 48,430,093 | | | | 70,781,469 | | | | 474,993,233 | |
| | | | | | | | | | | | |
| | | |
Net asset value and offering price per share | | $ | 14.91 | | | $ | 12.75 | | | $ | 13.24 | |
| | | | | | | | | | | | |
| | | |
Class Z Shares | | | | | | | | | | | | |
| | | |
Net Assets | | $ | 161,038,812 | | | $ | 484,020,763 | | | $ | 2,022,148,320 | |
| | | |
Shares of capital stock outstanding | | | 10,811,374 | | | | 37,972,791 | | | | 152,527,097 | |
| | | | | | | | | | | | |
| | | |
Net asset value and offering price per share | | $ | 14.90 | | | $ | 12.75 | | | $ | 13.26 | |
| | | | | | | | | | | | |
| | |
| | |
2021 Semi-Annual Report | | 29 |
Statement of Operations—for the six months ended March 31, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | SMALL CAP CORE
PORTFOLIO | | | INTERNATIONAL
SMALL CAP
PORTFOLIO | | | INTERNATIONAL
STRATEGIC
EQUITIES
PORTFOLIO | |
| | | |
| INVESTMENT INCOME | | | | | | | | | | | | |
| | | |
Income: | | | | | | | | | | | | |
|
Dividends | |
| | | |
Unaffiliated issuers (a) | | $ | 4,838,038 | | | $ | 10,072,986 | | | $ | 104,716,087 | |
| | | |
Affiliated issuers | | | 169 | | | | 1,568 | | | | 11,543 | |
| | | | | | | | | | | | |
| | | |
Total income | | | 4,838,207 | | | | 10,074,554 | | | | 104,727,630 | |
| | | | | | | | | | | | |
| | | |
Expenses: | | | | | | | | | | | | |
| | | |
Management fee (see Note 2A) | | | 3,222,968 | | | | 6,737,336 | | | | 24,077,363 | |
| | | |
Shareholder servicing fee (see Note 2B) | | | 11,908 | | | | 86,152 | | | | 436,870 | |
| | | |
Custody and accounting fees | | | 76,955 | | | | 181,069 | | | | 412,783 | |
| | | |
Transfer Agent fee—SCB Class | | | 2,167 | | | | 8,244 | | | | 7,968 | |
| | | |
Transfer Agent fee—Advisor Class | | | 148,174 | | | | 99,490 | | | | 111,469 | |
| | | |
Transfer Agent fee—Class Z | | | 14,437 | | | | 44,607 | | | | 200,872 | |
| | | |
Directors’ fees and expenses | | | 16,673 | | | | 26,226 | | | | 150,956 | |
| | | |
Registration fees | | | 29,408 | | | | 29,852 | | | | 60,838 | |
| | | |
Legal fees | | | 10,346 | | | | 12,664 | | | | 84,520 | |
| | | |
Auditing and tax fees | | | 18,448 | | | | 21,064 | | | | 22,380 | |
| | | |
Printing fees | | | 16,008 | | | | 13,888 | | | | 14,469 | |
| | | |
Miscellaneous | | | 30,956 | | | | 41,202 | | | | 146,936 | |
| | | | | | | | | | | | |
| | | |
Total expenses | | | 3,598,448 | | | | 7,301,794 | | | | 25,727,424 | |
| | | |
Less: expenses waived and reimbursed by the Adviser (see Note 2D) | | | (566 | ) | | | (5,016 | ) | | | (40,973 | ) |
| | | | | | | | | | | | |
| | | |
Net expenses | | | 3,597,882 | | | | 7,296,778 | | | | 25,686,451 | |
| | | | | | | | | | | | |
| | | |
Net investment income | | | 1,240,325 | | | | 2,777,776 | | | | 79,041,179 | |
| | | | | | | | | | | | |
| | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | | | | | | | | | |
| | | |
Net realized gain (loss) on: | | | | | | | | | | | | |
| | | |
Investment transactions | | | 43,329,994 | | | | 39,790,834 | | | | 393,319,304 | |
| | | |
Forward currency exchange contracts | | | 0 | | | | 1,518,001 | | | | (1,040,440 | ) |
| | | |
Futures | | | 9,124,986 | | | | 0 | | | | 0 | |
| | | |
Foreign currency transactions | | | 0 | | | | 56,270 | | | | 1,421,448 | |
| | | | | | | | | | | | |
| | | |
Net realized gain on investment transactions and foreign currency transactions | | | 52,454,980 | | | | 41,365,105 | | | | 393,700,312 | |
| | | | | | | | | | | | |
| | | |
Net change in unrealized appreciation/depreciation of: | | | | | | | | | | | | |
| | | |
Investments (b) | | | 226,926,611 | | | | 239,455,221 | | | | 367,234,198 | |
| | | |
Forward currency exchange contracts | | | 0 | | �� | | 639,680 | | | | 38,085,410 | |
| | | |
Futures | | | (521,809 | ) | | | 0 | | | | 0 | |
| | | |
Foreign currency denominated assets and liabilities | | | 0 | | | | (130,469 | ) | | | (1,269,141 | ) |
| | | | | | | | | | | | |
| | | |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | 226,404,802 | | | | 239,964,432 | | | | 404,050,467 | |
| | | | | | | | | | | | |
| | | |
Net realized and unrealized gain on investment transactions and foreign currency transactions | | | 278,859,782 | | | | 281,329,537 | | | | 797,750,779 | |
| | | | | | | | | | | | |
| | | |
Net increase in net assets resulting from operations | | $ | 280,100,107 | | | $ | 284,107,313 | | | $ | 876,791,958 | |
| | | | | | | | | | | | |
(a) Net of foreign withholding taxes of $7,120, $1,157,366 and $9,093,111, respectively.
(b) Net of increase in accrued foreign capital gains taxes of $0, $396,282 and $0, respectively.
See Notes to Financial Statements.
Statement of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SMALL CAP CORE
PORTFOLIO | | | | | | INTERNATIONAL SMALL CAP
PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | | | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
|
| INCREASE (DECREASE) IN NET ASSETS FROM | |
|
Operations: | |
| | | | | |
Net investment income | | $ | 1,240,325 | | | $ | 3,849,328 | | | | | | | $ | 2,777,776 | | | $ | 15,149,012 | |
| | | | | |
Net realized gain (loss) on investment transactions and foreign currency transactions | | | 52,454,980 | | | | (32,745,385 | ) | | | | | | | 41,365,105 | | | | (56,553,022 | ) |
| | | | | |
Net change in unrealized appreciation/depreciation of investments | | | 226,404,802 | | | | 8,157,968 | | | | | | | | 239,964,432 | | | | 57,788,570 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | | 280,100,107 | | | | (20,738,089 | ) | | | | | | | 284,107,313 | | | | 16,384,560 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders (a) | | | (3,943,698 | ) | | | (4,500,621 | ) | | | | | | | (15,502,777 | ) | | | (25,979,696 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Capital-share transactions: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sales of shares | | | 21,533,148 | | | | 90,360,480 | | | | | | | | 52,827,024 | | | | 144,989,727 | |
| | | | | |
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends | | | 3,175,486 | | | | 3,601,804 | | | | | | | | 13,373,914 | | | | 22,490,367 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total proceeds from shares sold | | | 24,708,634 | | | | 93,962,284 | | | | | | | | 66,200,938 | | | | 167,480,094 | |
| | | | | |
Cost of shares redeemed | | | (64,091,933 | ) | | | (347,982,942 | ) | | | | | | | (86,618,144 | ) | | | (204,873,648 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net decrease in net assets from capital-share transactions | | | (39,383,299 | ) | | | (254,020,658 | ) | | | | | | | (20,417,206 | ) | | | (37,393,554 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net increase (decrease) in net assets | | | 236,773,110 | | | | (279,259,368 | ) | | | | | | | 248,187,330 | | | | (46,988,690 | ) |
| | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of period | | | 656,326,364 | | | | 935,585,732 | | | | | | | | 1,210,334,919 | | | | 1,257,323,609 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
End of period | | $ | 893,099,474 | | | $ | 656,326,364 | | | | | | | $ | 1,458,522,249 | | | $ | 1,210,334,919 | |
| | | | | | | | | | | | | | | | | | | | |
(a) See page 33 for share class information on dividend distributions for Portfolios.
See Notes to Financial Statements.
| | |
| | |
2021 Semi-Annual Report | | 31 |
Statement of Changes in Net Assets (continued)
| | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC
EQUITIES PORTFOLIO | |
| | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
|
| INCREASE (DECREASE) IN NET ASSETS FROM | |
|
Operations: | |
| | |
Net investment income | | $ | 79,041,179 | | | $ | 66,115,834 | |
| | |
Net realized gain (loss) on investment transactions and foreign currency transactions | | | 393,700,312 | | | | (284,686,111 | ) |
| | |
Net change in unrealized appreciation/depreciation of investments | | | 404,050,467 | | | | 286,658,256 | |
| | | | | | | | |
| | |
Net increase in net assets resulting from operations | | | 876,791,958 | | | | 68,087,979 | |
| | | | | | | | |
| | |
Distributions to shareholders (a) | | | (57,001,223 | ) | | | (90,002,554 | ) |
| | | | | | | | |
|
Capital-share transactions: | |
| | |
Net proceeds from sales of shares | | | 478,799,045 | | | | 385,301,371 | |
| | |
Shares issued in connection with the Reorganization | | | 4,144,702,295 | | | | 0 | |
| | |
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends | | | 48,987,991 | | | | 77,639,468 | |
| | | | | | | | |
| | |
Total proceeds from shares sold | | | 4,672,489,331 | | | | 462,940,839 | |
| | |
Cost of shares redeemed | | | (770,632,691 | ) | | | (564,732,778 | ) |
| | | | | | | | |
| | |
Net increase (decrease) in net assets from capital-share transactions | | | 3,901,856,640 | | | | (101,791,939 | ) |
| | | | | | | | |
| | |
Net increase (decrease) in net assets | | | 4,721,647,375 | | | | (123,706,514 | ) |
|
| NET ASSETS: | |
| | |
Beginning of period | | | 4,032,319,572 | | | | 4,156,026,086 | |
| | | | | | | | |
| | |
End of period | | $ | 8,753,966,947 | | | $ | 4,032,319,572 | |
| | | | | | | | |
(a) See page 33 for share class information on dividend distributions for the Portfolios.
See Notes to Financial Statements.
| | | | | | | | |
| |
| | | SMALL CAP CORE
PORTFOLIO | |
| | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
|
Distributions to shareholders: | |
| | |
SCB Class | | $ | (27,689 | ) | | $ | (18,753 | ) |
| | |
Advisor Class | | | (3,183,087 | ) | | | (3,500,847 | ) |
| | |
Class Z | | | (732,922 | ) | | | (981,021 | ) |
| | | | | | | | |
| | |
| | $ | (3,943,698 | ) | | $ | (4,500,621 | ) |
| | | | | | | | |
| | | | | | | | |
| |
| | | INTERNATIONAL
SMALL CAP
PORTFOLIO | |
| | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
|
Distributions to shareholders: | |
| | |
SCB Class | | $ | (659,648 | ) | | $ | (1,209,894 | ) |
| | |
Advisor Class | | | (9,641,123 | ) | | | (16,458,466 | ) |
| | |
Class Z | | | (5,202,006 | ) | | | (8,311,336 | ) |
| | | | | | | | |
| | |
| | $ | (15,502,777 | ) | | $ | (25,979,696 | ) |
| | | | | | | | |
| | | | | | | | |
| |
| | | INTERNATIONAL
STRATEGIC EQUITIES
PORTFOLIO | |
| | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
|
Distributions to shareholders: | |
| | |
SCB Class | | $ | (2,004,999 | ) | | $ | (3,430,399 | ) |
| | |
Advisor Class | | | (35,823,954 | ) | | | (57,142,513 | ) |
| | |
Class Z | | | (19,172,270 | ) | | | (29,429,642 | ) |
| | | | | | | | |
| | |
| | $ | (57,001,223 | ) | | $ | (90,002,554 | ) |
| | | | | | | | |
| | |
| | |
2021 Semi-Annual Report | | 33 |
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 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/29/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 10.39 | | | $ | 10.78 | | | $ | 12.93 | | | $ | 12.21 | | | $ | 10.54 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations: | |
| | | | | | |
Investment income (loss), net (b)(c) | | | 0.00 | (d) | | | 0.02 | | | | 0.02 | | | | (0.00 | )(d) | | | 0.01 | | | | 0.01 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 4.51 | | | | (0.39 | ) | | | (1.38 | ) | | | 1.44 | | | | 1.67 | | | | 0.53 | (e) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 4.51 | | | | (0.37 | ) | | | (1.36 | ) | | | 1.44 | | | | 1.68 | | | | 0.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.04 | ) | | | (0.02 | ) | | | (0.00 | )(d) | | | (0.01 | ) | | | (0.01 | ) | | | (0.00 | )(d) |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.79 | ) | | | (0.71 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.04 | ) | | | (0.02 | ) | | | (0.79 | ) | | | (0.72 | ) | | | (0.01 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 14.86 | | | $ | 10.39 | | | $ | 10.78 | | | $ | 12.93 | | | $ | 12.21 | | | $ | 10.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 43.44% | | | | (3.42)% | | | | (10.15)% | | | | 12.44% | | | | 15.98% | | | | 5.45% | |
|
| RATIOS/SUPPLEMENTAL DATA | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $10,206 | | | | $7,895 | | | | $8,692 | | | | $10,865 | | | | $10,276 | | | | $4,870 | |
| | | | | | |
Average net assets (000 omitted) | | | $9,552 | | | | $8,175 | | | | $9,118 | | | | $10,771 | | | | $7,467 | | | | $2,314 | |
| | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 1.14% | (g) | | | 1.14% | | | | 1.14% | | | | 1.14% | | | | 1.18% | | | | 1.30% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 1.14% | (g) | | | 1.14% | | | | 1.14% | | | | 1.14% | | | | 1.19% | | | | 1.40% | (g) |
| | | | | | |
Net investment income (loss) (c) | | | 0.06% | (g) | | | 0.19% | | | | 0.19% | | | | (0.02)% | | | | 0.05% | | | | 0.16% | (g) |
| | | | | | |
Portfolio turnover rate | | | 27% | | | | 88% | | | | 61% | | | | 102% | | | | 165% | | | | 88% | |
See Footnote Summary on page 42.
See Notes to Financial Statements.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | SMALL CAP CORE PORTFOLIO
ADVISOR CLASS | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/29/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 10.43 | | | $ | 10.82 | | | $ | 12.97 | | | $ | 12.25 | | | $ | 10.56 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations | |
| | | | | | |
Investment income, net (b)(c) | | | 0.02 | | | | 0.04 | | | | 0.05 | | | | 0.03 | | | | 0.03 | | | | 0.04 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 4.52 | | | | (0.38 | ) | | | (1.38 | ) | | | 1.44 | | | | 1.69 | | | | 0.53 | (e) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 4.54 | | | | (0.34 | ) | | | (1.33 | ) | | | 1.47 | | | | 1.72 | | | | 0.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.06 | ) | | | (0.05 | ) | | | (0.03 | ) | | | (0.04 | ) | | | (0.03 | ) | | | (0.01 | ) |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.79 | ) | | | (0.71 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.06 | ) | | | (0.05 | ) | | | (0.82 | ) | | | (0.75 | ) | | | (0.03 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 14.91 | | | $ | 10.43 | | | $ | 10.82 | | | $ | 12.97 | | | $ | 12.25 | | | $ | 10.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 43.67% | | | | (3.17)% | | | | (9.90)% | | | | 12.64% | | | | 16.29% | | | | 5.65% | |
|
| RATIOS/SUPPLEMENTAL DATA | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $721,854 | | | | $531,943 | | | | $734,733 | | | | $752,305 | | | | $695,958 | | | | $603,862 | |
| | | | | | |
Average net assets (000 omitted) | | | $653,632 | | | | $688,776 | | | | $724,908 | | | | $718,801 | | | | $654,649 | | | | $175,999 | |
| | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 0.89% | (g) | | | 0.89% | | | | 0.89% | | | | 0.89% | | | | 0.92% | | | | 1.05% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 0.89% | (g) | | | 0.89% | | | | 0.89% | | | | 0.89% | | | | 0.93% | | | | 1.15% | (g) |
| | | | | | |
Net investment income (c) | | | 0.31% | (g) | | | 0.43% | | | | 0.44% | | | | 0.23% | | | | 0.30% | | | | 0.49% | (g) |
| | | | | | |
Portfolio turnover rate | | | 27% | | | | 88% | | | | 61% | | | | 102% | | | | 165% | | | | 88% | |
See Footnote Summary on page 42.
See Notes to Financial Statements.
| | |
| | |
2021 Semi-Annual Report | | 35 |
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 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/29/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 10.42 | | | $ | 10.82 | | | $ | 12.96 | | | $ | 12.24 | | | $ | 10.56 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations | |
| | | | | | |
Investment income, net (b)(c) | | | 0.02 | | | | 0.05 | | | | 0.05 | | | | 0.03 | | | | 0.03 | | | | 0.04 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 4.53 | | | | (0.39 | ) | | | (1.37 | ) | | | 1.44 | | | | 1.68 | | | | 0.53 | (e) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 4.55 | | | | (0.34 | ) | | | (1.32 | ) | | | 1.47 | | | | 1.71 | | | | 0.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.07 | ) | | | (0.06 | ) | | | (0.03 | ) | | | (0.04 | ) | | | (0.03 | ) | | | (0.01 | ) |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.79 | ) | | | (0.71 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.07 | ) | | | (0.06 | ) | | | (0.82 | ) | | | (0.75 | ) | | | (0.03 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 14.90 | | | $ | 10.42 | | | $ | 10.82 | | | $ | 12.96 | | | $ | 12.24 | | | $ | 10.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 43.74% | | | | (3.23)% | | | | (9.80)% | | | | 12.69% | | | | 16.22% | | | | 5.65% | |
| | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $161,039 | | | | $116,488 | | | | $192,161 | | | | $211,869 | | | | $179,340 | | | | $126,780 | |
| | | | | | |
Average net assets (000 omitted) | | | $144,771 | | | | $182,516 | | | | $190,252 | | | | $193,253 | | | | $144,513 | | | | $36,539 | |
| | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 0.87% | (g) | | | 0.87% | | | | 0.87% | | | | 0.86% | | | | 0.93% | | | | 1.05% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 0.87% | (g) | | | 0.87% | | | | 0.87% | | | | 0.86% | | | | 0.94% | | | | 1.35% | (g) |
| | | | | | |
Net investment income (c) | | | 0.33% | (g) | | | 0.46% | | | | 0.46% | | | | 0.25% | | | | 0.30% | | | | 0.49% | (g) |
| | | | | | |
Portfolio turnover rate | | | 27% | | | | 88% | | | | 61% | | | | 102% | | | | 165% | | | | 88% | |
See Footnote Summary on page 42.
See Notes to Financial Statements.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP PORTFOLIO
SCB CLASS | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/21/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 10.40 | | | $ | 10.40 | | | $ | 12.40 | | | $ | 12.70 | | | $ | 10.92 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations: | |
| | | | | | |
Investment income, net (b)(c) | | | 0.01 | | | | 0.10 | | | | 0.16 | | | | 0.14 | | | | 0.08 | | | | 0.11 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 2.43 | | | | 0.09 | | | | (1.21 | ) | | | 0.02 | | | | 1.96 | | | | 0.81 | |
| | | | | | |
Contributions from affiliates | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0.00 | (d) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 2.44 | | | | 0.19 | | | | (1.05 | ) | | | 0.16 | | | | 2.04 | | | | 0.92 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.11 | ) | | | (0.19 | ) | | | (0.19 | ) | | | (0.14 | ) | | | (0.14 | ) | | | 0 | |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.76 | ) | | | (0.32 | ) | | | (0.12 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.11 | ) | | | (0.19 | ) | | | (0.95 | ) | | | (0.46 | ) | | | (0.26 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 12.73 | | | $ | 10.40 | | | $ | 10.40 | | | $ | 12.40 | | | $ | 12.70 | | | $ | 10.92 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 23.58% | | | | 1.77% | | | | (8.03)% | | | | 1.29% | | | | 19.28% | | | | 9.20% | |
| | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $72,007 | | | | $63,328 | | | | $64,993 | | | | $71,729 | | | | $73,531 | | | | $37,226 | |
| | | | | | |
Average net assets (000 omitted) | | | $69,111 | | | | $62,709 | | | | $64,757 | | | | $76,322 | | | | $55,325 | | | | $14,117 | |
| | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 1.32% | (g) | | | 1.33% | | | | 1.35% | | | | 1.35% | | | | 1.35% | | | | 1.35% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 1.32% | (g) | | | 1.34% | | | | 1.35% | | | | 1.35% | | | | 1.36% | | | | 1.53% | (g) |
| | | | | | |
Net investment income (c) | | | 0.15% | (g) | | | 1.02% | | | | 1.50% | | | | 1.07% | | | | 0.75% | | | | 1.38% | (g) |
| | | | | | |
Portfolio turnover rate | | | 20% | | | | 58% | | | | 46% | | | | 81% | | | | 65% | | | | 51% | |
See Footnote Summary on page 42.
See Notes to Financial Statements.
| | |
| | |
2021 Semi-Annual Report | | 37 |
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 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/21/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 10.42 | | | $ | 10.43 | | | $ | 12.43 | | | $ | 12.72 | | | $ | 10.93 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations | |
| | | | | | |
Investment income, net (b)(c) | | | 0.02 | | | | 0.13 | | | | 0.19 | | | | 0.18 | | | | 0.10 | | | | 0.15 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 2.45 | | | | 0.08 | | | | (1.21 | ) | | | 0.01 | | | | 1.96 | | | | 0.78 | |
| | | | | | |
Contributions from affiliates | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0.00 | (d) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 2.47 | | | | 0.21 | | | | (1.02 | ) | | | 0.19 | | | | 2.06 | | | | 0.93 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.14 | ) | | | (0.22 | ) | | | (0.22 | ) | | | (0.16 | ) | | | (0.15 | ) | | | 0 | |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.76 | ) | | | (0.32 | ) | | | (0.12 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.14 | ) | | | (0.22 | ) | | | (0.98 | ) | | | (0.48 | ) | | | (0.27 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 12.75 | | | $ | 10.42 | | | $ | 10.43 | | | $ | 12.43 | | | $ | 12.72 | | | $ | 10.93 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 23.81% | | | | 1.90% | | | | (7.70)% | | | | 1.53% | | | | 19.51% | | | | 9.30% | |
|
| RATIOS/SUPPLEMENTAL DATA | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $902,494 | | | | $748,799 | | | | $791,765 | | | | $810,447 | | | | $608,324 | | | | $367,468 | |
| | | | | | |
Average net assets (000 omitted) | | | $834,762 | | | | $750,872 | | | | $765,916 | | | | $745,535 | | | | $460,362 | | | | $230,324 | |
| | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 1.07% | (g) | | | 1.09% | | | | 1.10% | | | | 1.10% | | | | 1.10% | | | | 1.10% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 1.07% | (g) | | | 1.09% | | | | 1.10% | | | | 1.10% | | | | 1.11% | | | | 1.22% | (g) |
| | | | | | |
Net investment income (c) | | | 0.42% | (g) | | | 1.27% | | | | 1.77% | | | | 1.43% | | | | 0.93% | | | | 1.87% | (g) |
| | | | | | |
Portfolio turnover rate | | | 20% | | | | 58% | | | | 46% | | | | 81% | | | | 65% | | | | 51% | |
See Footnote Summary on page 42.
See Notes to Financial Statements.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP PORTFOLIO
CLASS Z | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/21/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 10.42 | | | $ | 10.43 | | | $ | 12.43 | | | $ | 12.72 | | | $ | 10.93 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations | |
| | | | | | |
Investment income, net (b)(c) | | | 0.03 | | | | 0.13 | | | | 0.18 | | | | 0.18 | | | | 0.10 | | | | 0.15 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 2.44 | | | | 0.08 | | | | (1.20 | ) | | | 0.02 | | | | 1.96 | | | | 0.78 | |
| | | | | | |
Contributions from affiliates | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0.00 | (d) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 2.47 | | | | 0.21 | | | | (1.02 | ) | | | 0.20 | | | | 2.06 | | | | 0.93 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.14 | ) | | | (0.22 | ) | | | (0.22 | ) | | | (0.17 | ) | | | (0.15 | ) | | | 0 | |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.76 | ) | | | (0.32 | ) | | | (0.12 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.14 | ) | | | (0.22 | ) | | | (0.98 | ) | | | (0.49 | ) | | | (0.27 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 12.75 | | | $ | 10.42 | | | $ | 10.43 | | | $ | 12.43 | | | $ | 12.72 | | | $ | 10.93 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 23.82% | | | | 1.91% | | | | (7.70)% | | | | 1.54% | | | | 19.52% | | | | 9.30% | |
|
| RATIOS/SUPPLEMENTAL DATA | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $484,021 | | | | $398,208 | | | | $400,566 | | | | $427,851 | | | | $392,000 | | | | $254,068 | |
| | | | | | |
Average net assets (000 omitted) | | | $447,296 | | | | $388,053 | | | | $396,772 | | | | $424,411 | | | | $291,438 | | | | $187,312 | |
|
Ratio to average net assets of: | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 1.07% | (g) | | | 1.08% | | | | 1.10% | | | | 1.10% | | | | 1.10% | | | | 1.10% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 1.07% | (g) | | | 1.08% | | | | 1.10% | | | | 1.10% | | | | 1.11% | | | | 1.26% | (g) |
| | | | | | |
Net investment income (c) | | | 0.43% | (g) | | | 1.29% | | | | 1.75% | | | | 1.36% | | | | 0.87% | | | | 1.92% | (g) |
| | | | | | |
Portfolio turnover rate | | | 20% | | | | 58% | | | | 46% | | | | 81% | | | | 65% | | | | 51% | |
See Footnote Summary on page 42.
See Notes to Financial Statements.
| | |
| | |
2021 Semi-Annual Report | | 39 |
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 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/21/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 11.58 | | | $ | 11.59 | | | $ | 12.45 | | | $ | 12.69 | | | $ | 10.57 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations: | |
| | | | | | |
Investment income, net (b)(c) | | | 0.13 | | | | 0.16 | | | | 0.24 | | | | 0.22 | | | | 0.18 | | | | 0.21 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 1.64 | | | | 0.06 | | | | (0.79 | ) | | | (0.11 | ) | | | 2.11 | | | | 0.36 | (e) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 1.77 | | | | 0.22 | | | | (0.55 | ) | | | 0.11 | | | | 2.29 | | | | 0.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.13 | ) | | | (0.23 | ) | | | (0.18 | ) | | | (0.09 | ) | | | (0.14 | ) | | | (0.00 | )(d) |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.13 | ) | | | (0.26 | ) | | | (0.03 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.13 | ) | | | (0.23 | ) | | | (0.31 | ) | | | (0.35 | ) | | | (0.17 | ) | | | (0.00 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 13.22 | | | $ | 11.58 | | | $ | 11.59 | | | $ | 12.45 | | | $ | 12.69 | | | $ | 10.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 15.40% | | | | 1.81% | | | | (4.22)% | | | | 0.86% | | | | 22.01% | | | | 5.75% | |
|
| RATIOS/SUPPLEMENTAL DATA | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $442,807 | | | | $172,253 | | | | $175,497 | | | | $181,606 | | | | $152,725 | | | | $68,977 | |
| | | | | | |
Average net assets (000 omitted) | | | $350,456 | | | | $171,155 | | | | $168,856 | | | | $179,015 | | | | $106,248 | | | | $27,169 | |
|
Ratio to average net assets of: | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 0.95% | (g) | | | 1.00% | | | | 1.00% | | | | 1.03% | | | | 1.17% | | | | 1.20% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 0.95% | (g) | | | 1.00% | | | | 1.00% | | | | 1.04% | | | | 1.23% | | | | 1.34% | (g) |
| | | | | | |
Net investment income (c) | | | 2.00% | (g) | | | 1.41% | | | | 2.07% | | | | 1.69% | | | | 1.62% | | | | 2.70% | (g) |
| | | | | | |
Portfolio turnover rate | | | 48% | | | | 63% | | | | 63% | | | | 69% | | | | 69% | | | | 79% | |
See Footnote Summary on page 42.
See Notes to Financial Statements.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO
ADVISOR CLASS | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/21/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 11.62 | | | $ | 11.63 | | | $ | 12.50 | | | $ | 12.72 | | | $ | 10.57 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations | |
| | | | | | |
Investment income, net (b)(c) | | | 0.15 | | | | 0.19 | | | | 0.27 | | | | 0.26 | | | | 0.21 | | | | 0.23 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 1.64 | | | | 0.06 | | | | (0.80 | ) | | | (0.11 | ) | | | 2.11 | | | | 0.35 | (e) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 1.79 | | | | 0.25 | | | | (0.53 | ) | | | 0.15 | | | | 2.32 | | | | 0.58 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.17 | ) | | | (0.26 | ) | | | (0.21 | ) | | | (0.11 | ) | | | (0.14 | ) | | | (0.01 | ) |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.13 | ) | | | (0.26 | ) | | | (0.03 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.17 | ) | | | (0.26 | ) | | | (0.34 | ) | | | (0.37 | ) | | | (0.17 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 13.24 | | | $ | 11.62 | | | $ | 11.63 | | | $ | 12.50 | | | $ | 12.72 | | | $ | 10.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 15.48% | | | | 2.04% | | | | (4.01)% | | | | 1.18% | | | | 22.38% | | | | 5.75% | |
|
| RATIOS/SUPPLEMENTAL DATA | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $6,289,012 | | | | $2,510,243 | | | | $2,621,316 | | | | $2,568,426 | | | | $1,760,819 | | | | $737,765 | |
| | | | | | |
Average net assets (000 omitted) | | | $4,849,806 | | | | $2,529,235 | | | | $2,501,981 | | | | $2,275,780 | | | | $1,023,860 | | | | $459,166 | |
|
Ratio to average net assets of: | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 0.70% | (g) | | | 0.75% | | | | 0.75% | | | | 0.77% | | | | 0.93% | | | | 0.95% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 0.70% | (g) | | | 0.75% | | | | 0.75% | | | | 0.79% | | | | 0.98% | | | | 1.06% | (g) |
| | | | | | |
Net investment income (c) | | | 2.27% | (g) | | | 1.65% | | | | 2.35% | | | | 2.05% | | | | 1.85% | | | | 2.93% | (g) |
| | | | | | |
Portfolio turnover rate | | | 48% | | | | 63% | | | | 63% | | | | 69% | | | | 69% | | | | 79% | |
See Footnote Summary on page 42.
See Notes to Financial Statements.
| | |
| | |
2021 Semi-Annual Report | | 41 |
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 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | YEAR
ENDED
9/30/19 | | | YEAR
ENDED
9/30/18 | | | YEAR
ENDED
9/30/17 | | | FOR THE
PERIOD
12/21/15(a) TO
9/30/16 | |
| | | | | | |
Net asset value, beginning of period | | $ | 11.63 | | | $ | 11.64 | | | $ | 12.51 | | | $ | 12.73 | | | $ | 10.58 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from investment operations | |
| | | | | | |
Investment income, net (b)(c) | | | 0.13 | | | | 0.19 | | | | 0.26 | | | | 0.25 | | | | 0.20 | | | | 0.24 | |
| | | | | | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 1.67 | | | | 0.05 | | | | (0.79 | ) | | | (0.10 | ) | | | 2.12 | | | | 0.35 | (e) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from investment operations | | | 1.80 | | | | 0.24 | | | | (0.53 | ) | | | 0.15 | | | | 2.32 | | | | 0.59 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less dividends and distributions: | |
| | | | | | |
Dividends from net investment income | | | (0.17 | ) | | | (0.25 | ) | | | (0.21 | ) | | | (0.11 | ) | | | (0.14 | ) | | | (0.01 | ) |
| | | | | | |
Distributions from net realized gain on investment transactions | | | 0 | | | | 0 | | | | (0.13 | ) | | | (0.26 | ) | | | (0.03 | ) | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total dividends and distributions | | | (0.17 | ) | | | (0.25 | ) | | | (0.34 | ) | | | (0.37 | ) | | | (0.17 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 13.26 | | | $ | 11.63 | | | $ | 11.64 | | | $ | 12.51 | | | $ | 12.73 | | | $ | 10.58 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total return (f) | | | 15.54% | | | | 2.02% | | | | (4.02)% | | | | 1.18% | | | | 22.35% | | | | 5.85% | |
|
| RATIOS/SUPPLEMENTAL DATA | |
| | | | | | |
Net assets, end of period (000 omitted) | | | $2,022,148 | | | | $1,349,824 | | | | $1,359,213 | | | | $1,420,930 | | | | $1,276,674 | | | | $421,721 | |
| | | | | | |
Average net assets (000 omitted) | | | $2,014,241 | | | | $1,331,995 | | | | $1,331,620 | | | | $1,390,312 | | | | $605,465 | | | | $295,180 | |
|
Ratio to average net assets of: | |
| | | | | | |
Expenses, net of waivers/reimbursements | | | 0.71% | (g) | | | 0.76% | | | | 0.76% | | | | 0.79% | | | | 0.94% | | | | 0.95% | (g) |
| | | | | | |
Expenses, before waivers/reimbursements | | | 0.72% | (g) | | | 0.76% | | | | 0.76% | | | | 0.80% | | | | 1.00% | | | | 1.10% | (g) |
| | | | | | |
Net investment income (c) | | | 2.05% | (g) | | | 1.65% | | | | 2.31% | | | | 1.91% | | | | 1.74% | | | | 3.04% | (g) |
| | | | | | |
Portfolio turnover rate | | | 48% | | | | 63% | | | | 63% | | | | 69% | | | | 69% | | | | 79% | |
| (a) | | Commencement of operations. |
| (b) | | Based on average shares outstanding. |
| (c) | | Net of expenses waived by the Adviser. |
| (d) | | Amount is less than $.005. |
| (e) | | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Portfolios’ change in net realized and unrealized gain (loss) on investment transactions for the period. |
| (f) | | 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. |
| (g) | | Annualized, except for certain non-recurring fees. |
See Notes to Financial Statements.
Notes to Financial Statements
| NOTE 1. | Organization and Significant Accounting Policies |
Bernstein Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940 as an open-end registered investment company. The Fund, which is a Maryland corporation, 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”).
The International Strategic Equities Portfolio (the “Acquiring Portfolio”) acquired the assets and liabilities of the International Portfolio and Tax-Managed International Portfolio (each, an “Acquired Portfolio,” and together, the “Acquired Portfolios”), each a series of Sanford C. Bernstein Fund, Inc. (“SCB Fund”), in a reorganization that was effective at the close of business December 4, 2020 (together, the “Reorganizations,” and each a “Reorganization”). The Reorganizations were approved by the Fund’s Board of Directors and the shareholders of the Acquired Portfolios pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) (see Note 7 for additional Information). The Fund’s Portfolios offer 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”).
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. 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
| | |
| | |
2021 Semi-Annual Report | | 43 |
Notes to Financial Statements (continued)
pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their 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 Portfolios generally value many of their 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.
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 March 31, 2021:
| | | | | | | | | | | | | | | | |
SMALL CAP CORE PORTFOLIO INVESTMENTSIN SECURITIES: | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
|
Assets: | |
Common Stocks (a) | | $ | 886,411,601 | | | $ | 0 | | | $ | 0 | | | $ | 886,411,601 | |
| | | | |
Short-Term Investments | | | 230,305 | | | | 0 | | | | 0 | | | | 230,305 | |
| | | | |
Total Investments in Securities | | | 886,641,906 | | | | 0 | | | | 0 | | | | 886,641,906 | |
| | | | |
Other Financial Instruments (b): | | | | | | | | | | | | | | | | |
Assets | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
|
Liabilities: | |
| | | | |
Futures | | | (713,814 | ) | | | 0 | | | | 0 | | | | (713,814 | )(c) |
| | | | |
Total | | $ | 885,928,092 | | | $ | 0 | | | $ | 0 | | | $ | 885,928,092 | |
| | | | |
INTERNATIONAL SMALL CAP PORTFOLIO
INVESTMENTSIN SECURITIES: | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
|
Assets: | |
Common Stocks: | | | | | | | | | | | | | | | | |
| | | | |
Industrials | | $ | 51,743,539 | | | $ | 207,345,054 | | | $ | 0 | | | $ | 259,088,593 | |
| | | | |
Consumer Discretionary | | | 26,790,991 | | | | 200,789,530 | | | | 0 | | | | 227,580,521 | |
| | | | |
Information Technology | | | 7,755,676 | | | | 191,220,385 | | | | 0 | | | | 198,976,061 | |
| | | | |
Financials | | | 14,554,154 | | | | 151,200,478 | | | | 0 | | | | 165,754,632 | |
| | | | |
Materials | | | 25,275,278 | | | | 110,969,164 | | | | 0 | | | | 136,244,442 | |
| | | | |
Communication Services | | | 20,131,252 | | | | 83,980,901 | | | | 0 | | | | 104,112,153 | |
| | | | |
Real Estate | | | 20,874,470 | | | | 79,959,812 | | | | 0 | | | | 100,834,282 | |
| | | | |
Consumer Staples | | | 0 | | | | 88,918,234 | | | | 0 | | | | 88,918,234 | |
| | | | |
Health Care | | | 28,991,648 | | | | 56,530,643 | | | | 0 | | | | 85,522,291 | |
| | | | |
Utilities | | | 12,167,425 | | | | 29,919,156 | | | | 0 | | | | 42,086,581 | |
| | | | |
Energy | | | 1,130,015 | | | | 16,614,390 | | | | 0 | | | | 17,744,405 | |
| | | | |
Short-Term Investments | | | 14,876,646 | | | | 0 | | | | 0 | | | | 14,876,646 | |
| | | | |
Total Investments in Securities | | | 224,291,094 | | | | 1,217,447,747 | (d) | | | 0 | | | | 1,441,738,841 | |
| | | | |
Other Financial Instruments (b): | | | | | | | | | | | | | | | | |
|
Assets: | |
| | | | |
Forward Currency Exchange Contracts | | | 0 | | | | 3,675,701 | | | | 0 | | | | 3,675,701 | |
|
Liabilities: | |
| | | | |
Forward Currency Exchange Contracts | | | 0 | | | | (2,306,144 | ) | | | 0 | | | | (2,306,144 | ) |
| | | | |
Total | | $ | 224,291,094 | | | $ | 1,218,817,304 | | | $ | 0 | | | $ | 1,443,108,398 | |
| | |
| | |
2021 Semi-Annual Report | | 45 |
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO INVESTMENTSIN SECURITIES: | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
|
Assets: | |
Common Stocks: | | | | | | | | | | | | | | | | |
| | | | |
Information Technology | | $ | 454,138,010 | | | $ | 1,072,908,974 | | | $ | 0 | | | $ | 1,527,046,984 | |
| | | | |
Financials | | | 107,483,554 | | | | 1,336,129,694 | | | | 0 | | | | 1,443,613,248 | |
| | | | |
Consumer Discretionary | | | 253,017,770 | | | | 1,015,618,414 | | | | 0 | | | | 1,268,636,184 | |
| | | | |
Health Care | | | 0 | | | | 849,379,687 | | | | 0 | | | | 849,379,687 | |
| | | | |
Communication Services | | | 0 | | | | 784,833,901 | | | | 0 | | | | 784,833,901 | |
| | | | |
Consumer Staples | | | 25,976,413 | | | | 676,841,325 | | | | 0 | | | | 702,817,738 | |
| | | | |
Industrials | | | 0 | | | | 623,562,074 | | | | 0 | | | | 623,562,074 | |
| | | | |
Materials | | | 45,992,173 | | | | 555,324,736 | | | | 0 | | | | 601,316,909 | |
| | | | |
Energy | | | 38,159,541 | | | | 299,730,938 | | | | 0 | | | | 337,890,479 | |
| | | | |
Utilities | | | 77,469,279 | | | | 162,657,959 | | | | 0 | | | | 240,127,238 | |
| | | | |
Real Estate | | | 0 | | | | 68,487,372 | | | | 0 | | | | 68,487,372 | |
| | | | |
Short-Term Investments | | | 169,231,317 | | | | 0 | | | | 0 | | | | 169,231,317 | |
| | | | |
Total Investments in Securities | | | 1,171,468,057 | | | | 7,445,475,074 | (d) | | | 0 | | | | 8,616,943,131 | |
| | | | |
Other Financial Instruments (b): | | | | | | | | | | | | | | | | |
|
Assets: | |
| | | | |
Forward Currency Exchange Contracts | | | 0 | | | | 52,889,453 | | | | 0 | | | | 52,889,453 | |
|
Liabilities: | |
| | | | |
Forward Currency Exchange Contracts | | | 0 | | | | (14,577,082 | ) | | | 0 | | | | (14,577,082 | ) |
| | | | |
Total | | $ | 1,171,468,057 | | | $ | 7,483,787,445 | | | $ | 0 | | | $ | 8,655,255,502 | |
| | (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. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
| | (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) on futures and centrally cleared swaps as reported in the schedule of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
| | (d) | 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. |
| C. | | Foreign Currency Translation |
The accounting records of the Portfolios 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 Portfolios’ 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 Portfolios do 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 Portfolios do 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 three tax years) and has concluded that no provision for income tax is required in the Portfolios’ financial statements.
| 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 Portfolios are informed of the dividend. The Portfolios amortize premiums and accrete discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
| 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
| | |
| | |
2021 Semi-Annual Report | | 47 |
Notes to Financial Statements (continued)
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.
| 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 PERCENTAGE OF AVERAGE DAILY NET ASSETS OF EACH PORTFOLIO | |
| | | FIRST $2.5 BILLION | | | NEXT $2.5 BILLION | | | THEREAFTER | |
| International Strategic Equities | | | 0.75 | % | | | 0.65 | % | | | 0.60 | % |
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 | % |
The Expense Caps described above for Small Cap Core and International Small Cap may not be terminated by the Adviser before January 28, 2022. During the six months ended March 31, 2021, there were no such reimbursement/waivers.
During the second quarter of 2018, AXA S.A. (“AXA”), a French holding company for the AXA Group, completed the sale of a minority stake in its subsidiary, AXA Equitable Holdings, Inc. (now named Equitable Holdings, Inc.) (“Equitable”), through an initial public offering. Equitable is the holding company for a diverse group of financial services companies, including an approximate 65% economic interest in the Adviser and a 100% interest in AllianceBernstein Corporation, the general partner of the Adviser. Since the initial sale, AXA has completed additional offerings (and related transactions). As a result, as of May 20, 2021, AXA no longer owns shares of Equitable.
Sales that were completed on November 13, 2019 resulted in the indirect transfer of a “controlling block” of voting securities of the Adviser (a “Change of Control Event”) and may have been deemed to have been an “assignment” causing a termination of the Portfolios’ investment advisory and administration agreements. In order to ensure that investment advisory and administration services could continue uninterrupted in the event of a Change of Control Event, the Board previously approved new investment advisory and administration agreements with the Adviser, and shareholders of the Portfolios subsequently approved the new investment advisory agreement. These agreements became effective on November 13, 2019.
| B. | | Shareholder Servicing Fee; Transfer Agency Fee |
Under the Shareholder Servicing Agreement between the Fund 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 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.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub accounting services and/or networking services. For the six months ended March 31, 2021, the compensation retained by ABIS amounted to: Small Cap Core Portfolio, $108,597; International Small Cap Portfolio, $115,500; and International Strategic Equities Portfolio, $305,306.
| 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”), advised by the Adviser, which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2021. In connection with the investment by the Portfolios in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolios in an amount equal to each Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolios as an acquired fund fee and expense.
For the six months ended March 31, 2021, such waivers amounted to:
| | | | |
| PORTFOLIO | | AMOUNT | |
Small Cap Core | | $ | 566 | |
| |
International Small Cap | | | 5,016 | |
| |
International Strategic Equities | | | 40,973 | |
A summary of the Portfolios’ transactions in shares of the Government Money Market Portfolio for the six months ended March 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
| PORTFOLIO | | MARKET VALUE 9/30/20 (000) | | | PURCHASES AT COST (000) | | | SALES PROCEEDS (000) | | | MARKET VALUE 3/31/21 (000) | | | DIVIDEND INCOME (000) | |
Small Cap Core | | $ | 3,936 | | | $ | 48,689 | | | $ | 52,395 | | | $ | 230 | | | $ | 0 | * |
| | | | | |
International Small Cap | | | 12,832 | | | | 91,141 | | | | 89,096 | | | | 14,877 | | | | 2 | |
| | | | | |
International Strategic Equities | | | 62,020 | | | | 1,246,070 | | | | 1,138,859 | | | | 169,231 | | | | 12 | |
| | * | Amount is less than $500. |
| | |
| | |
2021 Semi-Annual Report | | 49 |
Notes to Financial Statements (continued)
| NOTE 3. | Investment Security Transactions |
For the six months ended March 31, 2021, 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 | | $ | 208,756,291 | | | $ | 0 | | | $ | 244,886,405 | | | $ | 0 | |
| | | | |
International Small Cap | | | 255,912,119 | | | | 0 | | | | 296,375,087 | | | | 0 | |
| | | | |
International Strategic Equities | | | 3,150,315,053 | | | | 0 | | | | 3,435,991,607 | | | | 0 | |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | | | | | | | | | |
| | | GROSS UNREALIZED | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| PORTFOLIO | | APPRECIATION | | | (DEPRECIATION) | |
Small Cap Core | | $ | 307,534,477 | | | $ | (16,761,137 | ) | | $ | 290,773,340 | |
| | | |
International Small Cap | | | 378,730,497 | | | | (40,576,240 | ) | | | 338,154,257 | |
| | | |
International Strategic Equities | | | 1,609,593,372 | | | | (105,062,070 | ) | | | 1,504,531,302 | |
| 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 Portfolios bear 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 Portfolios agree 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 Portfolios 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 Portfolios record 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 Portfolios 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 Portfolios 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 Portfolios’ 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 six months ended March 31, 2021, the Small Cap Core 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. Forward 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 forward 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 Portfolio. 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 the Portfolios to the consummation of these contracts. The Adviser will consider the effect that a substantial commitment of assets to forward currency exchange contracts would have on the investment program of the Portfolios and the flexibility of the Portfolios to purchase additional securities.
During the six months ended March 31, 2021, the 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 a 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. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty tables below for additional details.
| | |
| | |
2021 Semi-Annual Report | | 51 |
Notes to Financial Statements (continued)
During the six months ended March 31, 2021, the Portfolios had entered into the following derivatives:
| | | | | | | | | | | | |
| SMALL CAP CORE PORTFOLIO | | ASSET DERIVATIVES | | | LIABILITY DERIVATIVES | |
| DERIVATIVE TYPE | | STATEMENTOF ASSETS
AND LIABILITIES
LOCATION | | FAIR VALUE | | | STATEMENTOF ASSETS
AND LIABILITIES LOCATION | | FAIR VALUE | |
| | | | |
Equity contracts | | | | | | | | Receivable/Payable for variation margin on futures | | $ | 713,814 | * |
| | | | |
Total | | | | | | | | | | $ | 713,814 | |
| | * | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments. |
| | | | | | | | | | | | |
| DERIVATIVE TYPE | | LOCATIONOF GAINOR (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 | | $ | 9,124,986 | | | $ | (521,809 | ) |
| | | |
Total | | | | $ | 9,124,986 | | | $ | (521,809 | ) |
| | | | | | | | | | | | |
INTERNATIONAL SMALL
CAP PORTFOLIO | | ASSET DERIVATIVES | | | LIABILITY DERIVATIVES | |
| DERIVATIVE TYPE | | STATEMENT OF ASSETS
AND LIABILITIES
LOCATION | | FAIR VALUE | | | STATEMENTOF ASSETS
AND LIABILITIES LOCATION | | FAIR VALUE | |
| | | | |
Foreign currency contracts | | Unrealized appreciation on forward currency exchange contracts | | $ | 3,675,701 | | | Unrealized depreciation on forward currency exchange contracts | | $ | 2,306,144 | |
| | | | |
Total | | | | $ | 3,675,701 | | | | | $ | 2,306,144 | |
| | | | | | | | | | | | |
| DERIVATIVE TYPE | | LOCATIONOF GAINOR (LOSS)ON
DERIVATIVES WITHIN STATEMENT
OF OPERATIONS | | REALIZED GAIN
OR (LOSS)ON
DERIVATIVES | | | CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION) | |
| | | |
Foreign exchange contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | $ | 1,518,001 | | | $ | 639,680 | |
| | | |
Total | | | | $ | 1,518,001 | | | $ | 639,680 | |
| | | | | | | | | | | | |
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 currency contracts | | Unrealized appreciation on forward currency exchange contracts | | $ | 52,889,453 | | | Unrealized depreciation on forward currency exchange contracts | | $ | 14,577,082 | |
| | | | |
Total | | | | $ | 52,889,453 | | | | | $ | 14,577,082 | |
| | | | | | | | | | | | |
| DERIVATIVE TYPE | | LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN STATEMENT
OF OPERATIONS | | REALIZED GAIN
OR (LOSS) ON
DERIVATIVES | | | CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION) | |
| | | |
Foreign exchange contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | $ | (1,040,440 | ) | | $ | 38,085,410 | |
| | | |
Total | | | | $ | (1,040,440 | ) | | $ | 38,085,410 | |
The following tables represent the average monthly volume of the Portfolios’ derivative transactions during the six months ended March 31, 2021:
| | | | |
| SMALL CAP CORE PORTFOLIO | | | |
Futures: | | | | |
| |
Average notional amount of buy contracts | | $ | 21,332,570 | |
| | | | |
| INTERNATIONAL SMALL CAP PORTFOLIO | | | |
Forward Currency Exchange Contracts: | | | | |
| |
Average principal amount of buy contracts | | $ | 239,374,658 | |
| |
Average principal amount of sale contracts | | $ | 237,085,840 | |
| | | | |
| INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO | | | |
Forward Currency Exchange Contracts: | | | | |
| |
Average principal amount of buy contracts | | $ | 1,435,895,622 | |
| |
Average principal amount of sale contracts | | $ | 1,526,665,509 | |
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 (“MA”) and net of the related collateral received/pledged by the Portfolios as of March 31, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.
| | |
| | |
2021 Semi-Annual Report | | 53 |
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | |
| INTERNATIONAL SMALL CAP PORTFOLIO | |
| COUNTERPARTY | | DERIVATIVE
ASSETS SUBJECT
TO A MA | | | DERIVATIVES
AVAILABLE FOR
OFFSET | | | CASH
COLLATERAL
RECEIVED* | | | SECURITY
COLLATERAL
RECEIVED* | | | NET AMOUNT OF
DERIVATIVE
ASSETS | |
| | | | | |
Bank of America, NA | | $ | 35,474 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 35,474 | |
| | | | | |
Barclays Bank PLC | | | 29,841 | | | | (29,841 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
BNP Paribas SA | | | 1,220,361 | | | | 0 | | | | 0 | | | | 0 | | | | 1,220,361 | |
| | | | | |
Deutsche Bank AG | | | 562,236 | | | | (202,621 | ) | | | (290,000 | ) | | | 0 | | | | 69,615 | |
| | | | | |
Goldman Sachs Bank USA | | | 5,133 | | | | (5,133 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
Morgan Stanley Capital Services LLC | | | 1,370,368 | | | | (777,019 | ) | | | (256,000 | ) | | | 0 | | | | 337,349 | |
| | | | | |
Natwest Markets PLC | | | 21,751 | | | | (21,751 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
Societe Generale | | | 232,830 | | | | 0 | | | | 0 | | | | 0 | | | | 232,830 | |
| | | | | |
Standard Chartered Bank | | | 97,579 | | | | (35,166 | ) | | | 0 | | | | 0 | | | | 62,413 | |
| | | | | |
State Street Bank & Trust Co. | | | 60,282 | | | | (21,346 | ) | | | 0 | | | | 0 | | | | 38,936 | |
| | | | | |
UBS AG | | | 39,846 | | | | 0 | | | | 0 | | | | 0 | | | | 39,846 | |
| | | | | |
Total | | $ | 3,675,701 | | | $ | (1,092,877 | ) | | $ | (546,000 | ) | | $ | 0 | | | $ | 2,036,824 | ^ |
| | | | | |
| COUNTERPARTY | | DERIVATIVE
LIABILITIES SUBJECT
TO A MA | | | DERIVATIVES
AVAILABLE FOR
OFFSET | | | CASH
COLLATERAL
PLEDGED* | | | SECURITY
COLLATERAL
PLEDGED* | | | NET AMOUNT OF
DERIVATIVE
LIABILITIES | |
| | | | | |
Barclays Bank PLC | | $ | 247,453 | | | $ | (29,841 | ) | | $ | (217,612 | ) | | $ | 0 | | | $ | 0 | |
| | | | | |
Citibank, NA | | | 470,271 | | | | 0 | | | | (470,271 | ) | | | 0 | | | | 0 | |
| | | | | |
Deutsche Bank AG | | | 202,621 | | | | (202,621 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
Goldman Sachs Bank USA | | | 48,120 | | | | (5,133 | ) | | | 0 | | | | 0 | | | | 42,987 | |
| | | | | |
HSBC Bank USA | | | 240,951 | | | | 0 | | | | 0 | | | | 0 | | | | 240,951 | |
| | | | | |
JPMorgan Chase Bank, NA | | | 24,867 | | | | 0 | | | | 0 | | | | 0 | | | | 24,867 | |
| | | | | |
Morgan Stanley Capital Services, Inc. | | | 777,019 | | | | (777,019 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
Natwest Markets PLC | | | 238,330 | | | | (21,751 | ) | | | 0 | | | | 0 | | | | 216,579 | |
| | | | | |
Standard Chartered Bank | | | 35,166 | | | | (35,166 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
State Street Bank & Trust Co. | | | 21,346 | | | | (21,346 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
Total | | $ | 2,306,144 | | | $ | (1,092,877 | ) | | $ | (687,883 | ) | | $ | 0 | | | $ | 525,384 | ^ |
| | * | 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 SUBJECT
TO A MA | | | DERIVATIVES
AVAILABLE FOR
OFFSET | | | CASH
COLLATERAL
RECEIVED* | | | SECURITY
COLLATERAL
RECEIVED* | | | NET AMOUNT OF
DERIVATIVE
ASSETS | |
| | | | | |
Bank of America, NA | | $ | 4,078,749 | | | $ | (478,292 | ) | | $ | (1,549,000 | ) | | $ | 0 | | | $ | 2,051,457 | |
| | | | | |
Barclays Bank PLC | | | 762,267 | | | | (677,422 | ) | | | 0 | | | | 0 | | | | 84,845 | |
| | | | | |
BNP Paribas SA | | | 1,031,117 | | | | (509,925 | ) | | | (310,000 | ) | | | 0 | | | | 211,192 | |
| | | | | |
Citibank, NA | | | 7,531,943 | | | | 0 | | | | (7,531,943 | ) | | | 0 | | | | 0 | |
| | | | | |
Deutsche Bank AG | | | 2,783,479 | | | | 0 | | | | (2,783,479 | ) | | | 0 | | | | 0 | |
| | | | | |
Goldman Sachs Bank USA | | | 2,805,409 | | | | 0 | | | | (2,464,000 | ) | | | 0 | | | | 341,409 | |
| | | | | |
HSBC Bank USA | | | 7,426,131 | | | | (4,977,274 | ) | | | 0 | | | | 0 | | | | 2,448,857 | |
| | | | | |
JPMorgan Chase Bank, NA | | | 1,065,455 | | | | (1,065,455 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
Morgan Stanley Capital Services LLC | | | 9,999,356 | | | | (1,518,147 | ) | | | (877,000 | ) | | | 0 | | | | 7,604,209 | |
| | | | | |
State Street Bank & Trust Co. | | | 298,068 | | | | (298,068 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
UBS AG | | | 15,107,479 | | | | (901,595 | ) | | | (811,000 | ) | | | 0 | | | | 13,394,884 | |
| | | | | |
Total | | $ | 52,889,453 | | | $ | (10,426,178 | ) | | $ | (16,326,422 | ) | | $ | 0 | | | $ | 26,136,853 | ^ |
| | | | | |
| COUNTERPARTY | | DERIVATIVE
LIABILITIES SUBJECT
TO A MA | | | DERIVATIVES
AVAILABLE FOR
OFFSET | | | CASH
COLLATERAL
PLEDGED* | | | SECURITY
COLLATERAL
PLEDGED* | | | NET AMOUNT OF
DERIVATIVE
LIABILITIES | |
| | | | | |
Bank of America, NA | | $ | 478,292 | | | $ | (478,292 | ) | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| | | | | |
Barclays Bank PLC | | | 677,422 | | | | (677,422 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
BNP Paribas SA | | | 509,925 | | | | (509,925 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
HSBC Bank USA | | | 4,977,274 | | | | (4,977,274 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
JPMorgan Chase Bank, NA | | | 1,949,831 | | | | (1,065,455 | ) | | | 0 | | | | 0 | | | | 884,376 | |
| | | | | |
Morgan Stanley Capital Services LLC | | | 1,518,147 | | | | (1,518,147 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
Standard Chartered Bank | | | 2,097,361 | | | | 0 | | | | 0 | | | | 0 | | | | 2,097,361 | |
| | | | | |
State Street Bank & Trust Co. | | | 1,467,235 | | | | (298,068 | ) | | | 0 | | | | 0 | | | | 1,169,167 | |
| | | | | |
UBS AG | | | 901,595 | | | | (901,595 | ) | | | 0 | | | | 0 | | | | 0 | |
| | | | | |
Total | | $ | 14,577,082 | | | $ | (10,426,178 | ) | | $ | 0 | | | $ | 0 | | | $ | 4,150,904 | ^ |
| | * | 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 Portfolios 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).
| | |
| | |
2021 Semi-Annual Report | | 55 |
Notes to Financial Statements (continued)
| NOTE 4. | Distributions to Shareholders |
The tax character of distributions to be paid for the year ending September 30, 2021 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended September 30, 2020 and September 30, 2019 were as follows:
| | | | | | | | |
| PORTFOLIO | | 2020 | | | 2019 | |
Small Cap Core | | | | | | | | |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary income | | $ | 4,500,621 | | | $ | 14,027,833 | |
| | |
Long-term capital gains | | | 0 | | | | 49,618,914 | |
| | | | | | | | |
| | |
Total distributions paid | | $ | 4,500,621 | | | $ | 63,646,747 | |
| | | | | | | | |
| | | | | | | | |
International Small Cap | | | | | | | | |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary income | | $ | 25,979,696 | | | $ | 33,502,855 | |
| | |
Long-term capital gains | | | 0 | | | | 70,947,693 | |
| | | | | | | | |
| | |
Total distributions paid | | $ | 25,979,696 | | | $ | 104,450,548 | |
| | | | | | | | |
| | | | | | | | |
International Strategic Equities | | | | | | | | |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary income | | $ | 90,002,554 | | | $ | 71,212,856 | |
| | |
Long-term capital gains | | | 0 | | | | 44,105,765 | |
| | | | | | | | |
| | |
Total distributions paid | | $ | 90,002,554 | | | $ | 115,318,621 | |
| | | | | | | | |
As of September 30, 2020, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | |
| PORTFOLIO | | UNDISTRIBUTED
ORDINARY
INCOME | | | UNDISTRIBUTED
LONG-TERM
GAINS | | | ACCUMULATED
CAPITAL AND
OTHER
(LOSSES) | | | UNREALIZED
APPRECIATION/
(DEPRECIATION)(a) | | | TOTAL
ACCUMULATED
EARNINGS/
(DEFICIT) | |
Small Cap Core | | $ | 3,394,083 | | | $ | 0 | | | $ | (36,515,797 | ) | | $ | 56,889,265 | | | $ | 23,767,551 | |
| | | | | |
International Small Cap | | | 14,496,664 | | | | 0 | | | | (130,151,158 | ) | | | 83,901,796 | | | | (31,752,698 | ) |
| | | | | |
International Strategic Equities | | | 56,647,689 | | | | 0 | | | | (478,553,822 | ) | | | 461,991,068 | | | | 40,084,935 | |
| | (a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of passive foreign investment companies (PFICs), and the realization for tax purposes of gains/losses on certain derivative instruments. |
For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Portfolios are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses.
As of September 30, 2020, the following Portfolios had net capital loss carryforwards as follows:
| | | | | | | | |
| PORTFOLIO | | SHORT TERM
AMOUNT | | | LONG TERM
AMOUNT | |
Small Cap Core | | $ | 35,046,237 | | | $ | 1,469,560 | |
| | |
International Small Cap | | | 66,344,298 | | | | 63,806,860 | |
| | |
International Strategic Equities | | | 288,107,425 | | | | 190,446,397 | |
| 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 adverse market, economic, political, 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 such as political, regulatory and currency may be magnified due to concentration of the Portfolios’ investments in a particular country or region.
Sector Risk—The Portfolios may have more risk because of concentrated investments in a particular market sector, such as the financials, consumer discretionary, information technology or industrials sector. Market or economic factors affecting that sector could have a major effect on the value of the Portfolios’ investments.
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, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. 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 securities 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.
Illiquid Investment Risk—Illiquid investments risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. Illiquid securities may also be difficult to value.
Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Market Risk—The Portfolios are subject to market risk, which is the risk that stock prices in general or in particular countries or sectors 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 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. Recently, certain governments and central banks have provided significant support to financial markets in response to serious economic disruptions, including, but not limited to, buying stocks, providing direct capital infusions into companies, implementing new monetary programs, dramatically lowering interest rates and through other market interventions. This and other government intervention into the economy and financial markets may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. Government actions to support the economy and financial markets have resulted in a large expansion of government deficits and debt, the long term consequences of which are not known. The reversal of these policies, or their ineffectiveness, as well as further governmental or central bank actions could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invests.
| | |
| | |
2021 Semi-Annual Report | | 57 |
Notes to Financial Statements (continued)
On January 31, 2020, the United Kingdom (the “U.K.”) formally left the European Union (the “EU”) (“Brexit”) and ceased to be a member of the EU. Brexit could adversely affect European or worldwide political, regulatory, economic or market conditions and could contribute to instability in global political institutions, regulatory agencies and financial markets. Brexit could also lead to legal uncertainty and politically divergent national laws and regulations as a new relationship between the U.K. and EU is developed and the U.K. determines which EU laws to replace or replicate in the future. Any of these effects of Brexit, and others the Adviser cannot anticipate, could adversely affect the value of the Portfolio’s investments and its net asset value. The political, economic and legal consequences of Brexit continue to give rise to uncertainties. The U.K. may be less stable than it has been in recent years and investments in U.K. assets may be difficult to value, or subject to greater or more frequent rises and falls in value.
The United States and its trading partners are periodically involved in disputes over trade, which may result in tariffs on various categories of goods imported from the other country. For example, the current political climate between the United States and China has intensified concerns about protectionist trade policies and a potential trade war between China and the United States. The United States has imposed tariffs and other trade barriers on Chinese exports and placed other restrictions on or barriers to investments in China. Trade disputes, particularly prolonged disputes, may adversely affect the economies of the United States and its trading partners, as well as the companies directly or indirectly affected by the dispute and financial markets generally, and thus may adversely affect the value of the Portfolio’s assets. Recently, the United States government acted to prohibit U.S. persons, such as the Portfolio, from owning, and required them to divest, certain Chinese companies designated as related to the Chinese military. There is no assurance that more such companies will not be so designated in the future, which could limit the Portfolio’s opportunities for investment and require the sale of securities at a loss or make them illiquid. If the political climate between the United States and China continues to deteriorate, economies and markets may be adversely affected.
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 (including the spread of infections illness) 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-capitalization companies. Investments in small- and mid-capitalization 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 a 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 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 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. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk. The U.S. government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives, and may impose additional regulations governing 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 these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives 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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected. 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 also 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. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies, including other registered funds advised by the Adviser and ETFs, are subject to market and management 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 in which the Portfolios invest.
LIBOR Transition and Associated Risk—The Portfolios may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, will cease publishing certain LIBOR benchmarks at the end of 2021. Although certain LIBOR rates are intended to be published until June 2023, banks are strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and the Secured Overnight Financing Rate, global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Portfolios’ performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting the Portfolios’ performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Cybersecurity Risk—Cybersecurity incidents, both intentional and unintentional, 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,
| | |
| | |
2021 Semi-Annual Report | | 59 |
Notes to Financial Statements (continued)
sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
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 six months ended March 31, 2021 and the year ended September 30, 2020, were as follows:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | SMALL CAP CORE PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | | | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
SCB Class Shares | |
| | | | | |
Shares sold | | | 11,382 | | | | 65,916 | | | | | | | $ | 156,242 | | | $ | 651,664 | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 1,828 | | | | 1,366 | | | | | | | | 23,193 | | | | 15,687 | |
| | | | | |
Shares redeemed | | | (86,610 | ) | | | (113,348 | ) | | | | | | | (1,159,412 | ) | | | (1,142,058 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net decrease | | | (73,400 | ) | | | (46,066 | ) | | | | | | $ | (979,977 | ) | | $ | (474,707 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Advisor Class Shares | |
| | | | | |
Shares sold | | | 1,556,610 | | | | 9,739,815 | | | | | | | $ | 21,376,906 | | | $ | 89,708,816 | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 190,207 | | | | 226,732 | | | | | | | | 2,419,437 | | | | 2,605,151 | |
| | | | | |
Shares redeemed | | | (4,340,821 | ) | | | (26,842,284 | ) | | | | | | | (57,278,166 | ) | | | (276,218,342 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net decrease | | | (2,594,004 | ) | | | (16,875,737 | ) | | | | | | $ | (33,481,823 | ) | | $ | (183,904,375 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Class Z Shares | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 57,660 | | | | 85,376 | | | | | | | $ | 732,856 | | | $ | 980,966 | |
| | | | | |
Shares redeemed | | | (426,128 | ) | | | (6,671,402 | ) | | | | | | | (5,654,355 | ) | | | (70,622,542 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net decrease | | | (368,468 | ) | | | (6,586,026 | ) | | | | | | $ | (4,921,499 | ) | | $ | (69,641,576 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL SMALL CAP PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | | | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
SCB Class Shares | |
| | | | | |
Shares sold | | | 233,625 | | | | 646,758 | | | | | | | $ | 2,688,126 | | | $ | 6,458,770 | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 46,902 | | | | 88,586 | | | | | | | | 537,030 | | | | 967,359 | |
| | | | | |
Shares redeemed | | | (714,831 | ) | | | (891,853 | ) | | | | | | | (8,435,027 | ) | | | (8,622,943 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net decrease | | | (434,304 | ) | | | (156,509 | ) | | | | | | $ | (5,209,871 | ) | | $ | (1,196,814 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Advisor Class Shares | |
| | | | | |
Shares sold | | | 4,225,888 | | | | 13,190,293 | | | | | | | $ | 50,138,898 | | | $ | 132,670,957 | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 666,220 | | | | 1,209,860 | | | | | | | | 7,634,878 | | | | 13,211,672 | |
| | | | | |
Shares redeemed | | | (5,942,310 | ) | | | (18,487,514 | ) | | | | | | | (69,848,127 | ) | | | (179,162,481 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net decrease | | | (1,050,202 | ) | | | (4,087,361 | ) | | | | | | $ | (12,074,351 | ) | | $ | (33,279,852 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Class Z Shares | |
| | | | | |
Shares sold | | | 0 | | | | 682,056 | | | | | | | $ | 0 | | | $ | 5,860,000 | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 453,927 | | | | 761,111 | | | | | | | | 5,202,006 | | | | 8,311,336 | |
| | | | | |
Shares redeemed | | | (690,998 | ) | | | (1,652,293 | ) | | | | | | | (8,334,990 | ) | | | (17,088,224 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net decrease | | | (237,071 | ) | | | (209,126 | ) | | | | | | $ | (3,132,984 | ) | | $ | (2,916,888 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | | | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
SCB Class Shares | |
| | | | | |
Shares sold | | | 2,231,845 | | | | 3,011,383 | | | | | | | $ | 28,070,053 | | | $ | 33,236,412 | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 130,278 | | | | 227,647 | | | | | | | | 1,606,333 | | | | 2,734,044 | |
| | | | | |
Shares redeemed | | | (3,461,517 | ) | | | (3,497,820 | ) | | | | | | | (44,745,408 | ) | | | (38,129,355 | ) |
| | | | | |
Shares issued in connection with the Reorganization | | | 19,723,789 | | | | 0 | | | | | | | | 245,758,272 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net increase (decrease) | | | 18,624,395 | | | | (258,790 | ) | | | | | | $ | 230,689,250 | | | $ | (2,158,899 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | |
| | |
2021 Semi-Annual Report | | 61 |
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | SHARES | | | | | | AMOUNT | |
| | | | | | | | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | | | | | | SIX MONTHS
ENDED 3/31/21
(UNAUDITED) | | | YEAR
ENDED
9/30/20 | |
Advisor Class Shares | |
| | | | | |
Shares sold | | | 34,383,717 | | | | 32,049,707 | | | | | | | $ | 446,894,606 | | | $ | 352,064,959 | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 2,286,026 | | | | 3,780,220 | | | | | | | | 28,209,553 | | | | 45,476,036 | |
| | | | | |
Shares redeemed | | | (24,660,504 | ) | | | (45,152,493 | ) | | | | | | | (316,063,597 | ) | | | (490,474,763 | ) |
| | | | | |
Shares issued in connection with the Reorganization | | | 246,887,065 | | | | 0 | | | | | | | | 3,078,679,452 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net increase (decrease) | | | 258,896,304 | | | | (9,322,566 | ) | | | | | | $ | 3,237,720,014 | | | $ | (92,933,768 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Class Z Shares | |
| | | | | |
Shares sold | | | 297,959 | | | | 0 | | | | | | | $ | 3,834,386 | | | $ | 0 | |
| | | | | |
Shares issued to shareholders on reinvestment of dividends and distributions | | | 1,551,141 | | | | 2,444,301 | | | | | | | | 19,172,105 | | | | 29,429,388 | |
| | | | | |
Shares redeemed | | | (31,071,125 | ) | | | (3,120,628 | ) | | | | | | | (409,823,686 | ) | | | (36,128,660 | ) |
| | | | | |
Shares issued in connection with the Reorganization | | | 65,673,579 | | | | 0 | | | | | | | | 820,264,571 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net increase (decrease) | | | 36,451,554 | | | | (676,327 | ) | | | | | | $ | 433,447,376 | | | $ | (6,699,272 | ) |
| | | | | | | | | | | | | | | | | | | | |
At March 31, 2021, certain AllianceBerstein mutual funds owned 12%, 24% and 15% 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.
| NOTE 7. | Merger and Reorganization |
At the Board meeting held on July 23, 2020, the Board of the Fund approved the acquisition of the assets and assumption of the liabilities of the Acquired Portfolios by the Acquiring Portfolio. The Portfolios have the same investment objective and similar investment strategies. The Reorganization was completed at the close of business December 4, 2020. Pursuant to the Reorganization, the assets and liabilities of the Acquired Portfolios shares were transferred in exchange for the shares of the Acquiring Portfolio, in a tax-free exchange as follows:
| | | | | | | | | | | | | | | | |
| PORTFOLIO | | SHARES
OUTSTANDING
BEFORE THE
REORGANIZATION | | | SHARES
OUTSTANDING
IMMEDIATELY
AFTER THE
REORGANIZATION | | | AGGREGATE
NET ASSETS
BEFORE THE
REORGANIZATION | | | AGGREGATE
NET ASSETS
IMMEDIATELY
AFTER THE
REORGANIZATION | |
Tax-Managed International | | | 160,996,330 | | | | -0- | | | $ | 2,926,434,366 | + | | $ | -0- | |
| | | | |
International | | | 69,612,429 | | | | -0- | | | | 1,218,267,929 | ++ | | | -0- | |
| | | | |
International Strategic Equities | | | 350,542,748 | | | | 682,827,181 | | | | 4,373,059,514 | | | | 8,517,761,809 | |
| | + | Includes unrealized appreciation of $445,212,768. |
| | ++ | Includes unrealized appreciation of $189,027,013. |
Assuming the acquisition of the Acquired Portfolios had been completed on October 1, 2020, the Acquiring Portfolio’s pro forma results of operations for the six months ended March 31, 2021, are as follows:
| | | | |
Net investment income | | $ | 79,194,636 | |
| |
Net realized and unrealized gain on investments | | | 1,071,687,775 | |
| | | | |
| |
Net increase in net assets resulting from operations | | $ | 1,150,882,411 | |
| | | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquiring Portfolio that have been included in the Acquiring Portfolio’s Statement of Operations since December 4, 2020.
For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Acquired Portfolios were carried forward to align ongoing reporting of the Acquiring Portfolio’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolios’ financial statements through this date.
| | |
| | |
2021 Semi-Annual Report | | 63 |
Bernstein Fund, Inc.
BOARDOF DIRECTORS
Debra Perry(1)(2)
Chair
Beata D. Kirr
President
R. Jay Gerken(1)(2)
Director
Jeffrey R. Holland(1)
Director
William Kristol(1)
Director
Michelle McCloskey(1)
Director
Donald K. Peterson(1)
Director
OFFICERS
Andrew Birse(3),
Vice President
Peter Chocian(3),
Vice President
Serdar Kalaycioglu(3),
Vice President
Samantha S. Lau(3),
Vice President
Stuart Rae(3),
Vice President
Anu Venkatarman(3),
Vice President
Erik A. Turenchalk(3),
Vice President
Nelson Yu(3),
Vice President
Emilie D. Wrapp,
Secretary
Michael B. Reyes,
Senior Analyst
Joseph J. Mantineo,
Treasurer and Chief Financial Officer
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, Nominating and Compensation Committee, and the Independent Directors Committee. |
| (2) | | Member of the Pricing Committee. |
| (3) | | The day-to-day management of, and investment decisions for, the Portfolios are made by the senior management teams. Mr. Rae and Ms. Venkataraman 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 Turenchalk are the investment professionals with the most significant responsibility for the day-to-day management of the Small Cap Core Portfolio. |
Operation and Effectiveness of the Portfolios’ Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolios to designate an Administrator of the Portfolios’ Liquidity Risk Management Program. The Administrator of the Portfolios’ LRMP is AllianceBernstein L.P., the Portfolios’ investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolios’ LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolios’ compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolios will be unable to meet their redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolios classify the liquidity of their portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolios’ strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolios participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolios are required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolios’ reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, the Portfolios’ concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolios’ LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolios, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolios or their ability to timely meet redemptions during the Program Reporting Period.
| | |
| | |
2021 Semi-Annual Report | | 65 |
Board Consideration of Investment Management Arrangement
Bernstein Fund, Inc. (the “Fund”) is subject to Section 15 of the Investment Company Act of 1940, as amended. Section 15 provides that any investment advisory agreement with a registered investment company such as the Fund may continue in effect for a period of more than two years from the date of its execution, only so long as such continuance is specifically approved at least annually by the board of directors (or by vote of a majority of the outstanding voting securities of the investment company). Pursuant to this requirement, the Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Fund, on behalf of the International Strategic Equities Portfolio, International Small Cap Portfolio, and Small Cap Core Portfolio (each, a “Portfolio” and collectively, the “Portfolios”) of the Fund, and AllianceBernstein L.P. (the “Adviser”)(the “Investment Management Agreement”) at a video conference meeting held on October 28-29, 2020.1
The following discussion describes the considerations in connection with the Board’s review of the Investment Management Agreement.
In connection with the annual review of the continuation of the Investment Management Agreement between the Fund and the Adviser, counsel to the Independent Directors sent a letter to the Adviser dated August 7, 2020, that contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met by video conference and received and evaluated extensive materials relating to the continuation of the Investment Management Agreement from the Adviser during meetings in September and October 2020. In addition, the Board received materials from the Senior Analyst and an independent fee consultant as described below. On September 30, 2020, the Board of Directors held a video conference meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. At that meeting, the Independent Directors met separately with their independent counsel and the Senior Analyst and the independent fee consultant in executive sessions. Following the September 30, 2020 meeting, the Independent Directors, through counsel, requested certain additional information by means of a letter from their independent counsel dated October 5, 2020, and the Adviser provided certain additional information by means of a letter dated October 15, 2020. The Independent Directors held a video conference meeting on October 20, 2020 with their independent counsel and the Senior Analyst to further discuss the contract renewal materials and supplemental materials provided in response to the Board’s request. On October 28-29, 2020, the Board of Directors held a video conference meeting to continue their review of the Investment Management Agreement. During this meeting, the Adviser provided further information to the Board relating to contract renewal, and the Independent Directors also met separately with counsel to the Independent Directors as well as the Senior Analyst to review the contract renewal materials provided by the Adviser and the materials prepared by the Senior Analyst. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.
In approving the Investment Management Agreement, the Board, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Investment Management Agreement and considered whether the Agreement would be in the best interests of the Fund. In particular, the Board considered the information that was provided to them by the Adviser in response to their requests, as well as information prepared by the Senior Analyst and the independent fee consultant at the request of the Board. The Fund’s Senior Analyst assists the Board (as well as the boards of other funds sponsored by the Adviser) in evaluating investment management agreements and certain other plans and agreements pursuant to which the Adviser or its affiliates provide services to the Funds. The Board also considered other information provided to the Board in connection with the September 30, 2020, and October 28-29, 2020 meetings and throughout the past year.
The information considered by the Board included information with respect to the nature, extent and quality of services provided, investment performance, fees and expenses, profitability, economies of scale, and fall-out benefits and other revenue.
In the Board’s consideration of the factors discussed below, no single factor was considered in isolation or to be determinative to the decision of the Board to approve the Investment Management Agreement. Rather, the Board
| | 1 | The meeting was held by video conference in view of the ongoing COVID-19 pandemic and based on exemptive relief issued by the Securities and Exchange Commission, with the Board’s intention to ratify the approval of the Investment Management Agreement at its next in-person meeting. |
concluded, in light of a weighing and balancing of all factors considered and in the exercise of the Directors’ business judgment, that it was in the best interests of the Fund to approve the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.
Fees and Expenses
The Board, including the Independent Directors, compared the fees and expense ratios of each Portfolio (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”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were available from Strategic Insight, an independent provider of investment company data. The Senior Analyst also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups. In addition, the Board received and considered information from an independent fee consultant regarding the fees and expenses of the Portfolios as well as their investment performance.
The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about any recent advisory fee changes with respect to other investment companies advised by the Adviser. The Board noted the differences between the services provided to the Portfolios in comparison to those provided to other types of clients, including institutional clients and other investment companies for which the Adviser acted as subadviser, and the differences in the entrepreneurial and other risks borne by the Adviser in serving the Portfolios compared to other types of clients.
On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, and in light of the Adviser’s agreement to continue fee waivers and/or expense caps applicable to the International Small Cap and Small Cap Core Portfolios, the Board concluded that the contractual advisory fees as proposed were reasonable.
Nature, Extent and Quality of Services Provided
The Board, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as Directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios. The Board also considered how the organizational capabilities and financial condition of the Adviser may affect the nature and quality of its services. In that regard, the Board considered information about the impact of the COVID-19 pandemic on the Adviser’s operations and the Adviser’s ability to continue to provide the same scope and quality of services to the Portfolios as before the pandemic. The Board considered the ongoing impacts of the relocation of substantial operations of the Adviser from the New York City area to Nashville, Tennessee as well as the implications of a substantial number of the Adviser’s employees working from home during the pandemic. The Board also noted that the Adviser and its affiliates had continued to update the Board on matters relating to the sale by AXA, S.A., previously an indirect parent of AllianceBernstein Corporation, the general partner of the Adviser, of its remaining ownership interest in its U.S. subsidiary, Equitable Holdings, Inc. The Board considered the statements of the Adviser that it has continued to operate as an independent, publicly-traded US asset manager, that the divestiture has not materially changed the Adviser’s current management structure or strategy, and that the Adviser does not believe that the divestiture will have a material impact on the Adviser with respect to its operations, personnel, organizational structure, or capitalization, financial and other resources.
| | |
| | |
2021 Semi-Annual Report | | 67 |
Board Consideration of Investment Management Arrangement (continued)
In considering the nature and quality of the services provided by the Adviser, the Board, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. The Board was provided with performance data versus each Portfolio’s peer group, for the 1-year and 3-year periods ended July 31, 2020 and versus each Portfolio’s benchmark index for the 1-year, 3-year and since inception for the relevant periods, as well as the most recently available Morningstar rating for the Portfolios. The Board also received certain updated performance information as of September 30, 2020. In addition, the Directors considered information showing performance compared to peer groups and benchmarks for rolling calendar year periods and the year to date. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year. The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios. The Directors also considered how peer groups have changed over time and how comparisons may differ depending upon the selection of the peer groups or benchmark indices. In particular, the Board considered the Adviser’s explanation that certain Portfolios were more appropriately categorized as “blend” strategies but had been included in “growth” categories by Lipper, and that such a comparison was inapt and caused performance to look less favorable given the recent underperformance of value strategies generally versus growth strategies.
Where the Portfolios had underperformed their peer groups or benchmark indices, the Directors considered the Adviser’s explanations for performance and, as applicable, measures the Adviser had taken or proposed to take to improve performance. The Directors noted generally the Adviser’s continued efforts to enhance the services provided to the Portfolios. The Directors also noted that they would continue to monitor investment performance closely.
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
The Board, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the respective Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for calendar years 2018 and 2019, which had been reviewed by an independent consultant. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and noted that there are many potentially acceptable allocation methodologies for information of this type. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency and distribution services to the Fund, and that they had focused on profitability before taxes and distribution expenses. The Directors reviewed comparative information regarding profitability for other publicly-traded advisers, recognizing that it is difficult to make comparisons of profitability among fund advisory contracts because only limited comparative information is publicly available and the comparisons are affected by numerous factors including different cost accounting methodologies.
After reviewing all relevant factors, the Directors, including the Independent Directors, concluded that the levels of the Adviser’s profits in respect of its management of the Portfolios were not excessive.
Economies of Scale
The Board, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. In this regard, the Board considered that, subject to shareholder approval, two other portfolios managed by the Adviser would be merged into the International Strategic Equities Portfolio in late 2020 or early 2021, thereby increasing the Portfolio’s assets under management. The Directors discussed possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.
The Directors also considered the Senior Analyst materials which they received in connection with the review of the Investment Management Agreement, which included information reflecting changes in asset levels of the Portfolios and in the profitability of the Adviser over various periods.
After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things and as applicable, establishing advisory fees at levels that contemplated future achievement of scale, recent fee reductions for the International Strategic Equities Portfolio, breakpoint arrangements as currently in effect for the International Strategic Equities Portfolio, the fact that the International Small Cap and Small Cap Core Portfolios are research-intensive and may be capacity-constrained, expense caps and waivers applying to the International Small Cap and Small Cap Core Portfolios, and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements. The Directors also noted that they would continue to monitor the growth of the Portfolios.
Fall-Out Benefits and Other Revenue
The Board, including the Independent Directors, also took into account 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). The Directors recognized that the Adviser’s profitability would be 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, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, without change to the Portfolios’ contractual fee schedules, as set forth below.
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| | | ADVISORY FEE SCHEDULE |
| International Small Cap Portfolio | | 1.00% of the Portfolio’s average net assets. |
| | |
| International Strategic Equities Portfolio | | 0.75% of the first $2.5 billion of the Portfolio’s average net assets; 0.65% of the excess over $2.5 billion up to $5 billion; and 0.60% of the excess of the Portfolio’s average net assets over $5 billion. |
| | |
| Small Cap Core Portfolio | | 0.80% of the Portfolio’s average net assets. |
| | |
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2021 Semi-Annual Report | | 69 |
Distributor
BERNSTEIN FUND, INC.
1345 AVENUEOFTHE AMERICAS, NEW YORK, NY 10105
(212) 756-4097
ISCEC-0152-0321
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. INVESTMENTS.
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 13. EXHIBITS.
The following exhibits are attached to this Form N-CSR:
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/ Beata Kirr |
| | Beata Kirr |
| | President |
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/ Beata Kirr |
| | Beata Kirr |
| | President |
| | |
| By: | | /s/ Joseph J. Mantineo |
| | Joseph J. Mantineo |
| | Treasurer and Chief Financial Officer |
