All Market Real Return Portfolio
Consolidated Portfolio of Investments
July 31, 2023 (unaudited)
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS – 63.4% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 22.3% | ||||||||
Data Center REITs – 1.9% | ||||||||
Digital Realty Trust, Inc. | 29,360 | $ | 3,658,843 | |||||
Equinix, Inc. | 17,060 | 13,817,235 | ||||||
|
| |||||||
17,476,078 | ||||||||
|
| |||||||
Diversified REITs – 1.6% | ||||||||
Alexander & Baldwin, Inc. | 74,700 | 1,434,240 | ||||||
Armada Hoffler Properties, Inc. | 204,610 | 2,541,256 | ||||||
Charter Hall Long Wale REIT | 500,110 | 1,384,183 | ||||||
Essential Properties Realty Trust, Inc. | 117,430 | 2,882,906 | ||||||
ICADE | 38,310 | 1,560,770 | ||||||
Land Securities Group PLC | 177,190 | 1,471,526 | ||||||
Merlin Properties Socimi SA | 215,200 | 2,005,442 | ||||||
United Urban Investment Corp. | 926 | 999,497 | ||||||
|
| |||||||
14,279,820 | ||||||||
|
| |||||||
Health Care REITs – 1.7% | ||||||||
Cofinimmo SA(a) | 10,030 | 784,984 | ||||||
Medical Properties Trust, Inc.(a) | 280,590 | 2,831,153 | ||||||
Physicians Realty Trust | 56,900 | 838,706 | ||||||
Ventas, Inc. | 123,160 | 5,975,723 | ||||||
Welltower, Inc. | 54,820 | 4,503,463 | ||||||
|
| |||||||
14,934,029 | ||||||||
|
| |||||||
Hotel & Resort REITs – 0.6% | ||||||||
Invincible Investment Corp.(a) | 2,922 | 1,210,541 | ||||||
Park Hotels & Resorts, Inc. | 155,060 | 2,113,468 | ||||||
RLJ Lodging Trust | 162,530 | 1,674,059 | ||||||
|
| |||||||
4,998,068 | ||||||||
|
| |||||||
Industrial REITs – 4.7% | ||||||||
CapitaLand Ascendas REIT | 680,800 | 1,439,636 | ||||||
Centuria Industrial REIT(a) | 767,900 | 1,644,347 | ||||||
Dream Industrial Real Estate Investment Trust | 216,884 | 2,333,890 | ||||||
GLP J-Reit | 2,156 | 2,124,014 | ||||||
Mapletree Logistics Trust | 1,414,918 | 1,798,763 | ||||||
Mitsui Fudosan Logistics Park, Inc.(a) | 530 | 1,886,233 | ||||||
Plymouth Industrial REIT, Inc. | 54,566 | 1,242,468 | ||||||
Prologis, Inc. | 154,211 | 19,237,822 | ||||||
Rexford Industrial Realty, Inc. | 67,380 | 3,711,964 | ||||||
Segro PLC | 403,082 | 3,950,024 | ||||||
STAG Industrial, Inc. | 100,740 | 3,656,862 | ||||||
|
| |||||||
43,026,023 | ||||||||
|
| |||||||
Multi-Family Residential REITs – 2.4% | ||||||||
Apartment Income REIT Corp. | 94,570 | 3,266,448 | ||||||
Equity Residential | 110,160 | 7,263,950 | ||||||
Kenedix Residential Next Investment Corp.(a) | 1,072 | 1,677,262 | ||||||
Killam Apartment Real Estate Investment Trust | 210,150 | 2,884,552 | ||||||
UDR, Inc. | 110,470 | 4,516,014 | ||||||
UNITE Group PLC (The) | 163,120 | 2,036,645 | ||||||
|
| |||||||
21,644,871 | ||||||||
|
|
1
Company | Shares | U.S. $ Value | ||||||
Office REITs – 1.7% | ||||||||
Alexandria Real Estate Equities, Inc. | 28,870 | $ | 3,628,382 | |||||
Boston Properties, Inc. | 88,070 | 5,868,104 | ||||||
Corporate Office Properties Trust | 58,100 | 1,510,600 | ||||||
Daiwa Office Investment Corp. | 275 | 1,210,744 | ||||||
Japan Real Estate Investment Corp. | 267 | 1,073,900 | ||||||
Kenedix Office Investment Corp.(a) | 534 | 1,269,714 | ||||||
Nippon Building Fund, Inc. | 237 | 993,459 | ||||||
|
| |||||||
15,554,903 | ||||||||
|
| |||||||
Other Specialized REITs – 0.7% | ||||||||
Iron Mountain, Inc. | 6,581 | 404,074 | ||||||
VICI Properties, Inc. | 186,090 | 5,858,113 | ||||||
|
| |||||||
6,262,187 | ||||||||
|
| |||||||
Retail REITs – 4.0% | ||||||||
AEON REIT Investment Corp.(a) | 708 | 745,291 | ||||||
Brixmor Property Group, Inc. | 147,440 | 3,352,786 | ||||||
CapitaLand Integrated Commercial Trust | 2,178,060 | 3,343,941 | ||||||
Crombie Real Estate Investment Trust | 104,210 | 1,100,857 | ||||||
Frasers Centrepoint Trust | 370,700 | 605,358 | ||||||
Japan Metropolitan Fund Invest | 1,770 | 1,214,038 | ||||||
Kite Realty Group Trust | 122,310 | 2,798,453 | ||||||
Link REIT | 771,460 | 4,336,496 | ||||||
Mercialys SA | 82,278 | 712,231 | ||||||
NETSTREIT Corp. | 124,816 | 2,232,958 | ||||||
Phillips Edison & Co., Inc.(a) | 83,250 | 2,939,557 | ||||||
Realty Income Corp. | 37,410 | 2,280,888 | ||||||
Region Re Ltd. | 534,710 | 871,059 | ||||||
Simon Property Group, Inc. | 46,628 | 5,809,849 | ||||||
Spirit Realty Capital, Inc. | 77,970 | 3,144,530 | ||||||
Waypoint REIT Ltd. | 316,250 | 557,637 | ||||||
|
| |||||||
36,045,929 | ||||||||
|
| |||||||
Self-Storage REITs – 1.6% | ||||||||
Extra Space Storage, Inc. | 28,940 | 4,039,156 | ||||||
National Storage Affiliates Trust | 44,265 | 1,495,714 | ||||||
Public Storage | 29,296 | 8,254,148 | ||||||
Safestore Holdings PLC | 86,470 | 982,978 | ||||||
|
| |||||||
14,771,996 | ||||||||
|
| |||||||
Single-Family Residential REITs – 1.3% | ||||||||
American Homes 4 Rent - Class A | 98,270 | 3,683,160 | ||||||
Equity LifeStyle Properties, Inc. | 37,190 | 2,647,184 | ||||||
Invitation Homes, Inc. | 80,680 | 2,864,140 | ||||||
Sun Communities, Inc. | 21,617 | 2,816,695 | ||||||
|
| |||||||
12,011,179 | ||||||||
|
| |||||||
Timber REITs – 0.1% | ||||||||
Weyerhaeuser Co. | 33,365 | 1,136,412 | ||||||
|
| |||||||
202,141,495 | ||||||||
|
| |||||||
Energy – 8.1% | ||||||||
Coal & Consumable Fuels – 0.1% | ||||||||
Cameco Corp. | 19,456 | 684,073 | ||||||
|
|
2
Company | Shares | U.S. $ Value | ||||||
Integrated Oil & Gas – 5.5% | ||||||||
BP PLC | 720,864 | $ | 4,472,563 | |||||
Chevron Corp. | 30,541 | 4,998,340 | ||||||
Eni SpA | 75,110 | 1,146,694 | ||||||
Equinor ASA | 74,944 | 2,292,423 | ||||||
Exxon Mobil Corp. | 123,908 | 13,287,894 | ||||||
Gazprom PJSC(b) (c) (d) | 818,956 | 0 | ||||||
LUKOIL PJSC(b) (c) (e) | 20,541 | 0 | ||||||
Repsol SA | 288,129 | 4,398,987 | ||||||
Shell PLC | 465,212 | 14,099,530 | ||||||
TotalEnergies SE | 88,162 | 5,356,415 | ||||||
|
| |||||||
50,052,846 | ||||||||
|
| |||||||
Oil & Gas Drilling – 0.1% | ||||||||
China Oilfield Services Ltd. - Class H | 1,188,000 | 1,402,480 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.0% | ||||||||
ConocoPhillips | 50,787 | 5,978,646 | ||||||
Coterra Energy, Inc. | 42,937 | 1,182,485 | ||||||
EOG Resources, Inc. | 42,408 | 5,620,332 | ||||||
Hess Corp. | 23,106 | 3,505,873 | ||||||
Woodside Energy Group Ltd. | 65,919 | 1,699,074 | ||||||
|
| |||||||
17,986,410 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.4% | ||||||||
Ampol Ltd. | 12,566 | 278,295 | ||||||
Marathon Petroleum Corp. | 9,521 | 1,266,483 | ||||||
Neste Oyj | 11,808 | 434,712 | ||||||
Parkland Corp. | 21,738 | 593,626 | ||||||
Valero Energy Corp. | 8,660 | 1,116,361 | ||||||
|
| |||||||
3,689,477 | ||||||||
|
| |||||||
73,815,286 | ||||||||
|
| |||||||
Materials – 6.4% | ||||||||
Aluminum – 0.2% | ||||||||
Alcoa Corp. | 14,995 | 542,669 | ||||||
Norsk Hydro ASA | 168,184 | 1,101,507 | ||||||
|
| |||||||
1,644,176 | ||||||||
|
| |||||||
Commodity Chemicals – 0.6% | ||||||||
Beijing Haixin Energy Technology Co., Ltd. - Class A(d) | 1,983,785 | 1,014,187 | ||||||
Corteva, Inc. | 30,242 | 1,706,556 | ||||||
Ecopro Co., Ltd.(a) | 1,103 | 1,044,835 | ||||||
LG Chem Ltd. | 1,067 | 542,789 | ||||||
Mitsubishi Chemical Group Corp.(a) | 86,500 | 517,428 | ||||||
W-Scope Corp.(a) (d) | 71,600 | 775,435 | ||||||
|
| |||||||
5,601,230 | ||||||||
|
| |||||||
Construction Materials – 0.2% | ||||||||
CRH PLC | 10,077 | 600,296 | ||||||
GCC SAB de CV | 122,907 | 1,189,581 | ||||||
Heidelberg Materials AG | 4,594 | 372,334 | ||||||
|
| |||||||
2,162,211 | ||||||||
|
|
3
Company | Shares | U.S. $ Value | ||||||
Copper – 0.1% | ||||||||
Capstone Mining Corp.(d) | 187,740 | $ | 980,949 | |||||
Lundin Mining Corp. | 32,467 | 290,286 | ||||||
|
| |||||||
1,271,235 | ||||||||
|
| |||||||
Diversified Chemicals – 0.1% | ||||||||
Sumitomo Chemical Co., Ltd. | 204,900 | 631,944 | ||||||
|
| |||||||
Diversified Metals & Mining – 1.6% | ||||||||
Anglo American PLC | 64,297 | 1,977,247 | ||||||
BHP Group Ltd. | 70,014 | 2,178,966 | ||||||
CMOC Group Ltd. - Class H(a) | 924,000 | 618,331 | ||||||
Glencore PLC | 595,636 | 3,622,321 | ||||||
MMC Norilsk Nickel PJSC (ADR)(b) (c) (d) | 66,074 | 0 | ||||||
Rio Tinto PLC | 51,246 | 3,387,243 | ||||||
Teck Resources Ltd. - Class B | 51,685 | 2,296,299 | ||||||
Zhejiang Huayou Cobalt Co., Ltd. - Class A | 88,470 | 624,871 | ||||||
|
| |||||||
14,705,278 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.4% | ||||||||
CF Industries Holdings, Inc. | 20,777 | 1,705,376 | ||||||
Nutrien Ltd. | 24,190 | 1,666,449 | ||||||
|
| |||||||
3,371,825 | ||||||||
|
| |||||||
Forest Products – 0.0% | ||||||||
Interfor Corp.(d) | 20,471 | 366,371 | ||||||
|
| |||||||
Gold – 0.8% | ||||||||
Agnico Eagle Mines Ltd. | 39,471 | 2,069,261 | ||||||
Barrick Gold Corp. | 114,476 | 1,979,290 | ||||||
Endeavour Mining PLC | 98,025 | 2,362,019 | ||||||
Regis Resources Ltd.(d) | 504,296 | 573,547 | ||||||
|
| |||||||
6,984,117 | ||||||||
|
| |||||||
Industrial Gases – 0.2% | ||||||||
Air Liquide SA | 3,084 | 554,485 | ||||||
Air Products and Chemicals, Inc. | 2,023 | 617,682 | ||||||
Linde PLC | 1,283 | 501,230 | ||||||
|
| |||||||
1,673,397 | ||||||||
|
| |||||||
Specialty Chemicals – 1.0% | ||||||||
Albemarle Corp. | 3,556 | 754,868 | ||||||
Covestro AG(d) (f) | 26,042 | 1,398,947 | ||||||
Danimer Scientific, Inc.(a) (d) | 255,458 | 717,837 | ||||||
Ecolab, Inc. | 2,696 | 493,745 | ||||||
Evonik Industries AG | 43,038 | 891,446 | ||||||
Ganfeng Lithium Group Co., Ltd - Class A | 70,380 | 590,371 | ||||||
IMCD NV | 3,474 | 526,413 | ||||||
Johnson Matthey PLC | 34,470 | 797,199 | ||||||
Livent Corp.(a) (d) | 29,265 | 720,504 | ||||||
Shanghai Putailai New Energy Technology Co., Ltd. - Class A | 112,019 | 618,042 | ||||||
Sika AG (REG) | 1,656 | 515,409 | ||||||
Umicore SA(a) | 22,245 | 658,789 | ||||||
Wacker Chemie AG | 5,303 | 824,022 | ||||||
|
| |||||||
9,507,592 | ||||||||
|
|
4
Company | Shares | U.S. $ Value | ||||||
Steel – 1.2% | ||||||||
APERAM SA | 31,138 | $ | 982,686 | |||||
ArcelorMittal SA | 122,652 | 3,547,314 | ||||||
BlueScope Steel Ltd. | 80,974 | 1,194,127 | ||||||
Commercial Metals Co. | 17,059 | 976,116 | ||||||
JFE Holdings, Inc. | 20,100 | 325,136 | ||||||
Steel Dynamics, Inc. | 18,084 | 1,927,392 | ||||||
Vale SA (Sponsored ADR) | 100,293 | 1,467,287 | ||||||
|
| |||||||
10,420,058 | ||||||||
|
| |||||||
58,339,434 | ||||||||
|
| |||||||
Capital Goods – 5.6% | ||||||||
Aerospace & Defense – 0.4% | ||||||||
BAE Systems PLC | 50,295 | 601,480 | ||||||
Hexcel Corp. | 9,233 | 652,588 | ||||||
Huntington Ingalls Industries, Inc. | 3,746 | 860,344 | ||||||
Rheinmetall AG | 3,982 | 1,127,886 | ||||||
|
| |||||||
3,242,298 | ||||||||
|
| |||||||
Building Products – 1.1% | ||||||||
A O Smith Corp. | 9,333 | 677,856 | ||||||
Builders FirstSource, Inc.(d) | 8,196 | 1,183,748 | ||||||
Carrier Global Corp. | 15,213 | 905,934 | ||||||
Cie de Saint-Gobain | 23,873 | 1,614,563 | ||||||
Fortune Brands Innovations, Inc. | 1,303 | 92,604 | ||||||
Kingspan Group PLC | 9,067 | 727,750 | ||||||
Lennox International, Inc. | 1,728 | 634,936 | ||||||
Nibe Industrier AB - Class B | 47,109 | 424,347 | ||||||
Owens Corning | 17,456 | 2,443,665 | ||||||
Zurn Elkay Water Solutions Corp. | 29,497 | 897,889 | ||||||
|
| |||||||
9,603,292 | ||||||||
|
| |||||||
Construction & Engineering – 0.1% | ||||||||
Arcosa, Inc. | 12,843 | 991,223 | ||||||
|
| |||||||
Construction Machinery & Heavy Transportation Equipment – 0.8% | ||||||||
AGCO Corp. | 8,523 | 1,134,411 | ||||||
Caterpillar, Inc. | 5,281 | 1,400,363 | ||||||
Cummins, Inc. | 5,080 | 1,324,864 | ||||||
Deere & Co. | 1,776 | 762,969 | ||||||
Lindsay Corp. | 5,317 | 704,662 | ||||||
Toro Co. (The) | 4,961 | 504,286 | ||||||
Volvo AB - Class B | 53,061 | 1,170,452 | ||||||
|
| |||||||
7,002,007 | ||||||||
|
| |||||||
Electrical Components & Equipment – 1.6% | ||||||||
Acuity Brands, Inc. | 6,697 | 1,106,612 | ||||||
Advent Technologies Holdings, Inc.(a) (d) | 333,955 | 293,880 | ||||||
Ballard Power Systems, Inc.(a) (d) | 155,965 | 741,592 | ||||||
Beijing Easpring Material Technology Co., Ltd. - Class A | 98,969 | 684,654 | ||||||
Blink Charging Co.(a) (d) | 64,452 | 412,493 | ||||||
Camel Group Co., Ltd. - Class A | 602,800 | 784,613 | ||||||
Contemporary Amperex Technology Co., Ltd. - Class A | 18,160 | 605,472 | ||||||
EnerSys | 7,698 | 833,847 |
5
Company | Shares | U.S. $ Value | ||||||
FuelCell Energy, Inc.(d) | 228,367 | $ | 500,124 | |||||
Gotion High-tech Co., Ltd. - Class A(d) | 159,200 | 614,339 | ||||||
Hubbell, Inc. | 2,929 | 913,848 | ||||||
Legrand SA | 7,195 | 721,333 | ||||||
nVent Electric PLC | 16,391 | 866,756 | ||||||
Plug Power, Inc.(a) (d) | 88,866 | 1,165,922 | ||||||
Prysmian SpA | 19,380 | 772,780 | ||||||
Rockwell Automation, Inc. | 1,337 | 449,620 | ||||||
Signify NV(f) | 45,326 | 1,425,116 | ||||||
SunPower Corp.(a) (d) | 59,335 | 585,637 | ||||||
Sunrun, Inc.(d) | 45,239 | 858,636 | ||||||
|
| |||||||
14,337,274 | ||||||||
|
| |||||||
Heavy Electrical Equipment – 0.6% | ||||||||
Bloom Energy Corp. - Class A(a) (d) | 48,412 | 864,638 | ||||||
CS Wind Corp. | 8,450 | 491,683 | ||||||
ITM Power PLC(a) (d) | 712,712 | 846,113 | ||||||
Ming Yang Smart Energy Group Ltd. - Class A | 298,096 | 753,388 | ||||||
NARI Technology Co., Ltd. - Class A | 194,770 | 663,359 | ||||||
NEL ASA(a) (d) | 336,080 | 455,817 | ||||||
Nordex SE(d) | 32,289 | 456,262 | ||||||
Siemens Energy AG(d) | 28,490 | 482,667 | ||||||
TPI Composites, Inc.(d) | 47,191 | 280,315 | ||||||
Vestas Wind Systems A/S(d) | 19,093 | 510,670 | ||||||
|
| |||||||
5,804,912 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.1% | ||||||||
General Electric Co. | 5,784 | 660,764 | ||||||
Jardine Cycle & Carriage Ltd. | 10,400 | 268,422 | ||||||
|
| |||||||
929,186 | ||||||||
|
| |||||||
Industrial Machinery & Supplies & Components – 0.8% | ||||||||
Chart Industries, Inc.(a) (d) | 7,351 | 1,339,058 | ||||||
Energy Recovery, Inc.(d) | 16,456 | 501,579 | ||||||
John Bean Technologies Corp. | 5,587 | 690,609 | ||||||
McPhy Energy SA(d) | 38,251 | 322,486 | ||||||
Mueller Industries, Inc. | 11,426 | 926,192 | ||||||
NGK Insulators Ltd. | 62,700 | 768,969 | ||||||
Pentair PLC | 11,382 | 791,049 | ||||||
Snap-on, Inc. | 911 | 248,193 | ||||||
SPX Technologies, Inc.(d) | 8,362 | 707,509 | ||||||
Watts Water Technologies, Inc. - Class A | 3,164 | 590,181 | ||||||
Xylem, Inc./NY | 4,512 | 508,728 | ||||||
|
| |||||||
7,394,553 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.1% | ||||||||
Toyota Tsusho Corp. | 4,900 | 286,675 | ||||||
WW Grainger, Inc. | 1,512 | 1,116,597 | ||||||
|
| |||||||
1,403,272 | ||||||||
|
| |||||||
50,708,017 | ||||||||
|
|
6
Company | Shares | U.S. $ Value | ||||||
Real Estate Management & Development – 3.5% | ||||||||
Diversified Real Estate Activities – 1.7% | ||||||||
City Developments Ltd. | 117,000 | $ | 651,022 | |||||
Daito Trust Construction Co., Ltd. | 12,100 | 1,301,578 | ||||||
Mitsui Fudosan Co., Ltd. | 317,400 | 6,520,962 | ||||||
Sumitomo Realty & Development Co., Ltd. | 90,800 | 2,433,387 | ||||||
Sun Hung Kai Properties Ltd. | 405,000 | 5,085,430 | ||||||
|
| |||||||
15,992,379 | ||||||||
|
| |||||||
Real Estate Development – 0.1% | ||||||||
CK Asset Holdings Ltd. | 136,000 | 787,586 | ||||||
|
| |||||||
Real Estate Operating Companies – 1.5% | ||||||||
CA Immobilien Anlagen AG | 48,089 | 1,533,595 | ||||||
Capitaland Investment Ltd./Singapore(a) | 396,000 | 1,013,554 | ||||||
Castellum AB | 138,750 | 1,580,101 | ||||||
CTP NV(f) | 145,089 | 1,988,012 | ||||||
LEG Immobilien SE(d) | 29,310 | 2,072,292 | ||||||
Shurgard Self Storage Ltd. | 28,490 | 1,300,017 | ||||||
TAG Immobilien AG(d) | 119,600 | 1,344,372 | ||||||
Vonovia SE | 59,814 | 1,393,665 | ||||||
Wihlborgs Fastigheter AB | 161,710 | 1,264,546 | ||||||
|
| |||||||
13,490,154 | ||||||||
|
| |||||||
Real Estate Services – 0.2% | ||||||||
Unibail-Rodamco-Westfield(d) | 28,610 | 1,621,124 | ||||||
|
| |||||||
31,891,243 | ||||||||
|
| |||||||
Utilities – 2.9% | ||||||||
Electric Utilities – 0.9% | ||||||||
Avangrid, Inc.(a) | 24,604 | 912,316 | ||||||
Constellation Energy Corp. | 1 | 97 | ||||||
Endesa SA | 51,913 | 1,112,643 | ||||||
Enel SpA | 496,982 | 3,426,789 | ||||||
Exelon Corp. | 16,746 | 700,987 | ||||||
Iberdrola SA | 54,291 | 677,631 | ||||||
NextEra Energy, Inc. | 5,224 | 382,919 | ||||||
Orsted AS(f) | 5,430 | 472,516 | ||||||
SSE PLC | 29,329 | 634,185 | ||||||
|
| |||||||
8,320,083 | ||||||||
|
| |||||||
Gas Utilities – 0.2% | ||||||||
APA Group | 242,300 | 1,629,982 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders – 1.3% | ||||||||
AES Corp. (The) | 25,278 | 546,763 | ||||||
Atlantica Sustainable Infrastructure PLC | 27,494 | 663,155 | ||||||
Azure Power Global Ltd.(a) (d) | 145,736 | 48,822 | ||||||
Boralex, Inc. - Class A | 18,046 | 466,939 | ||||||
Brookfield Renewable Corp. - Class A | 17,322 | 539,896 | ||||||
China Longyuan Power Group Corp., Ltd. - Class H | 415,000 | 401,785 | ||||||
Clearway Energy, Inc. - Class A | 19,589 | 483,261 | ||||||
Drax Group PLC | 128,144 | 994,615 | ||||||
EDP Renovaveis SA(a) | 27,674 | 528,598 | ||||||
ERG SpA | 23,169 | 666,007 |
7
Company | Shares | U.S. $ Value | ||||||
Guangxi Guiguan Electric Power Co., Ltd. - Class A | 810,500 | $ | 629,709 | |||||
Innergex Renewable Energy, Inc. | 65,268 | 640,974 | ||||||
NextEra Energy Partners LP | 10,752 | 585,447 | ||||||
Northland Power, Inc. | 28,431 | 550,013 | ||||||
Ormat Technologies, Inc. | 6,828 | 555,116 | ||||||
RWE AG | 22,616 | 973,362 | ||||||
Solaria Energia y Medio Ambiente SA(d) | 44,479 | 695,707 | ||||||
TransAlta Renewables, Inc. | 70,306 | 715,510 | ||||||
Xinyi Energy Holdings Ltd.(a) | 1,900,000 | 585,387 | ||||||
|
| |||||||
11,271,066 | ||||||||
|
| |||||||
Multi-Utilities – 0.2% | ||||||||
Algonquin Power & Utilities Corp.(a) | 84,604 | 698,056 | ||||||
E.ON SE | 40,798 | 516,108 | ||||||
Public Service Enterprise Group, Inc. | 10,039 | 633,661 | ||||||
|
| |||||||
1,847,825 | ||||||||
|
| |||||||
Water Utilities – 0.3% | ||||||||
American States Water Co. | 5,105 | 451,333 | ||||||
American Water Works Co., Inc. | 3,145 | 463,668 | ||||||
Beijing Enterprises Water Group Ltd. | 2,406,000 | 587,077 | ||||||
California Water Service Group | 10,311 | 546,689 | ||||||
Middlesex Water Co. | 4,515 | 363,096 | ||||||
SJW Group | 7,474 | 526,618 | ||||||
|
| |||||||
2,938,481 | ||||||||
|
| |||||||
26,007,437 | ||||||||
|
| |||||||
Food Beverage & Tobacco – 1.6% | ||||||||
Agricultural Products & Services – 0.4% | ||||||||
Archer-Daniels-Midland Co. | 11,615 | 986,810 | ||||||
Bunge Ltd. | 9,309 | 1,011,609 | ||||||
Darling Ingredients, Inc.(d) | 23,965 | 1,659,576 | ||||||
|
| |||||||
3,657,995 | ||||||||
|
| |||||||
Brewers – 0.1% | ||||||||
Heineken Holding NV | 12,357 | 1,012,967 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.0% | ||||||||
Danone SA | 11,572 | 706,664 | ||||||
Hershey Co. (The) | 2,683 | 620,605 | ||||||
Hormel Foods Corp. | 16,711 | 683,146 | ||||||
JBS SA | 257,000 | 1,020,663 | ||||||
Lamb Weston Holdings, Inc. | 10,021 | 1,038,476 | ||||||
Maple Leaf Foods, Inc.(a) | 41,737 | 871,044 | ||||||
Marfrig Global Foods SA | 655,700 | 1,028,875 | ||||||
Mowi ASA | 44,421 | 780,917 | ||||||
Pilgrim’s Pride Corp.(d) | 33,378 | 826,773 | ||||||
Sao Martinho SA | 87,400 | 618,616 | ||||||
Tyson Foods, Inc. - Class A | 16,120 | 898,206 | ||||||
|
| |||||||
9,093,985 | ||||||||
|
| |||||||
Soft Drinks & Non-alcoholic Beverages – 0.1% | ||||||||
Coca-Cola Europacific Partners PLC | 17,380 | 1,101,718 | ||||||
|
| |||||||
14,866,665 | ||||||||
|
|
8
Company | Shares | U.S. $ Value | ||||||
Software & Services – 1.6% | ||||||||
Application Software – 0.6% | ||||||||
Autodesk, Inc.(d) | 5,656 | $ | 1,199,015 | |||||
Cadence Design Systems, Inc.(d) | 5,004 | 1,170,986 | ||||||
Constellation Software, Inc./Canada(a) | 421 | 889,462 | ||||||
Dropbox, Inc. - Class A(d) | 41,199 | 1,110,313 | ||||||
Roper Technologies, Inc. | 1,793 | 884,039 | ||||||
|
| |||||||
5,253,815 | ||||||||
|
| |||||||
Internet Services & Infrastructure – 0.1% | ||||||||
VeriSign, Inc.(d) | 4,720 | 995,684 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.1% | ||||||||
CGI, Inc.(d) | 6,009 | 610,629 | ||||||
|
| |||||||
Systems Software – 0.8% | ||||||||
Fortinet, Inc.(d) | 11,294 | 877,770 | ||||||
Microsoft Corp. | 14,607 | 4,906,784 | ||||||
Palo Alto Networks, Inc.(d) | 5,189 | 1,297,042 | ||||||
ServiceNow, Inc.(d) | 442 | 257,686 | ||||||
|
| |||||||
7,339,282 | ||||||||
|
| |||||||
14,199,410 | ||||||||
|
| |||||||
Pharmaceuticals & Biotechnology – 1.4% | ||||||||
Biotechnology – 0.2% | ||||||||
AbbVie, Inc. | 331 | 49,511 | ||||||
Incyte Corp.(d) | 7,820 | 498,290 | ||||||
United Therapeutics Corp.(d) | 2,068 | 501,945 | ||||||
Vertex Pharmaceuticals, Inc.(d) | 1,914 | 674,379 | ||||||
|
| |||||||
1,724,125 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Danaher Corp. | 3,180 | 811,091 | ||||||
Eurofins Scientific SE | 12,705 | 873,807 | ||||||
Mettler-Toledo International, Inc.(d) | 692 | 870,169 | ||||||
Waters Corp.(d) | 2,606 | 719,803 | ||||||
|
| |||||||
3,274,870 | ||||||||
|
| |||||||
Pharmaceuticals – 0.8% | ||||||||
Bayer AG (REG) | 17,971 | 1,051,006 | ||||||
Elanco Animal Health, Inc.(d) | 127,196 | 1,535,256 | ||||||
Eli Lilly & Co. | 4,097 | 1,862,291 | ||||||
Jazz Pharmaceuticals PLC(d) | 2,196 | 286,402 | ||||||
Novo Nordisk A/S - Class B | 9,750 | 1,572,209 | ||||||
Zoetis, Inc. | 4,914 | 924,274 | ||||||
|
| |||||||
7,231,438 | ||||||||
|
| |||||||
12,230,433 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 1.2% | ||||||||
Computer Hardware – 0.8% | ||||||||
Apple, Inc. | 35,481 | 6,970,243 | ||||||
|
|
9
Company | Shares | U.S. $ Value | ||||||
Computer Storage & Peripherals – 0.1% | ||||||||
NetApp, Inc. | 14,337 | $ | 1,118,429 | |||||
|
| |||||||
Electronic Components – 0.1% | ||||||||
Samsung SDI Co., Ltd. | 969 | 505,822 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 0.1% | ||||||||
Itron, Inc.(d) | 7,810 | 614,413 | ||||||
Landis+Gyr Group AG(d) | 8,720 | 757,152 | ||||||
|
| |||||||
1,371,565 | ||||||||
|
| |||||||
Office Electronics – 0.1% | ||||||||
Ricoh Co., Ltd. | 118,900 | 1,057,695 | ||||||
|
| |||||||
11,023,754 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.1% | ||||||||
Semiconductor Materials & Equipment – 0.5% | ||||||||
Applied Materials, Inc. | 9,678 | 1,467,088 | ||||||
Enphase Energy, Inc.(d) | 2,934 | 445,469 | ||||||
KLA Corp. | 2,303 | 1,183,627 | ||||||
SolarEdge Technologies, Inc.(d) | 1,601 | 386,577 | ||||||
Xinyi Solar Holdings Ltd. | 520,000 | 564,640 | ||||||
|
| |||||||
4,047,401 | ||||||||
|
| |||||||
Semiconductors – 0.6% | ||||||||
Canadian Solar, Inc.(a) (d) | 15,862 | 573,570 | ||||||
First Solar, Inc.(d) | 3,237 | 671,354 | ||||||
Lattice Semiconductor Corp.(d) | 4,435 | 403,319 | ||||||
LONGi Green Energy Technology Co., Ltd. - Class A | 165,032 | 691,558 | ||||||
NVIDIA Corp. | 4,992 | 2,332,712 | ||||||
NXP Semiconductors NV | 475 | 105,915 | ||||||
Wolfspeed, Inc.(a) (d) | 11,878 | 782,760 | ||||||
|
| |||||||
5,561,188 | ||||||||
|
| |||||||
9,608,589 | ||||||||
|
| |||||||
Media & Entertainment – 0.8% | ||||||||
Advertising – 0.1% | ||||||||
Omnicom Group, Inc. | 4,019 | 340,088 | ||||||
|
| |||||||
Broadcasting – 0.1% | ||||||||
Fox Corp. - Class B | 34,768 | 1,092,063 | ||||||
|
| |||||||
Interactive Home Entertainment – 0.1% | ||||||||
Electronic Arts, Inc. | 8,553 | 1,166,202 | ||||||
|
| |||||||
Interactive Media & Services – 0.5% | ||||||||
Alphabet, Inc. - Class A(d) | 11,778 | 1,563,176 | ||||||
Alphabet, Inc. - Class C(d) | 10,524 | 1,400,850 | ||||||
Meta Platforms, Inc. - Class A(d) | 4,467 | 1,423,186 | ||||||
Tencent Holdings Ltd. | 4,900 | 225,209 | ||||||
|
| |||||||
4,612,421 | ||||||||
|
| |||||||
7,210,774 | ||||||||
|
|
10
Company | Shares | U.S. $ Value | ||||||
Financial Services – 0.7% | ||||||||
Asset Management & Custody Banks – 0.1% | ||||||||
Ameriprise Financial, Inc. | 3,305 | $ | 1,151,627 | |||||
|
| |||||||
Consumer Finance – 0.1% | ||||||||
Synchrony Financial | 14,773 | 510,259 | ||||||
|
| |||||||
Financial Exchanges & Data – 0.0% | ||||||||
TMX Group Ltd. | 12,103 | 268,925 | ||||||
|
| |||||||
Investment Banking & Brokerage – 0.0% | ||||||||
Futu Holdings Ltd. (ADR)(a) (d) | 3,925 | 236,285 | ||||||
|
| |||||||
Mortgage REITs – 0.1% | ||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 24,773 | 646,823 | ||||||
|
| |||||||
Multi-Sector Holdings – 0.0% | ||||||||
EXOR NV(a) | 2,708 | 253,051 | ||||||
|
| |||||||
Transaction & Payment Processing Services – 0.4% | ||||||||
Mastercard, Inc. - Class A | 4,491 | 1,770,712 | ||||||
Visa, Inc. - Class A | 7,818 | 1,858,573 | ||||||
|
| |||||||
3,629,285 | ||||||||
|
| |||||||
6,696,255 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.7% | ||||||||
Commercial Printing – 0.1% | ||||||||
TOPPAN, Inc. | 48,200 | 1,134,556 | ||||||
|
| |||||||
Diversified Support Services – 0.1% | ||||||||
Brambles Ltd. | 19,119 | 180,881 | ||||||
Copart, Inc.(d) | 3,170 | 280,196 | ||||||
|
| |||||||
461,077 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.4% | ||||||||
Aker Carbon Capture ASA(a) (d) | 312,953 | 474,683 | ||||||
Casella Waste Systems, Inc. - Class A(d) | 5,993 | 483,575 | ||||||
Clean Harbors, Inc.(d) | 5,318 | 884,171 | ||||||
Republic Services, Inc. | 4,895 | 739,683 | ||||||
Tetra Tech, Inc. | 4,825 | 816,438 | ||||||
Waste Management, Inc. | 3,450 | 565,076 | ||||||
|
| |||||||
3,963,626 | ||||||||
|
| |||||||
Human Resource & Employment Services – 0.0% | ||||||||
Robert Half, Inc. | 3,631 | 269,239 | ||||||
|
| |||||||
Research & Consulting Services – 0.1% | ||||||||
Verisk Analytics, Inc. | 3,320 | 760,081 | ||||||
|
| |||||||
6,588,579 | ||||||||
|
| |||||||
Consumer Services – 0.7% | ||||||||
Casinos & Gaming – 0.1% | ||||||||
La Francaise des Jeux SAEM(f) | 26,686 | 1,018,801 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.5% | ||||||||
Airbnb, Inc. - Class A(d) | 4,515 | 687,138 | ||||||
Booking Holdings, Inc.(d) | 455 | 1,351,714 | ||||||
Hyatt Hotels Corp. - Class A | 10,400 | 1,314,040 | ||||||
Marriott International, Inc./MD - Class A | 6,211 | 1,253,442 | ||||||
|
| |||||||
4,606,334 | ||||||||
|
|
11
Company | Shares | U.S. $ Value | ||||||
Specialized Consumer Services – 0.1% | ||||||||
WW International, Inc.(d) | 58,278 | $ | 678,939 | |||||
|
| |||||||
6,304,074 | ||||||||
|
| |||||||
Health Care Equipment & Services – 0.7% | ||||||||
Health Care Distributors – 0.3% | ||||||||
AmerisourceBergen Corp. | 6,087 | 1,137,660 | ||||||
Cardinal Health, Inc. | 12,319 | 1,126,819 | ||||||
McKesson Corp. | 780 | 313,872 | ||||||
|
| |||||||
2,578,351 | ||||||||
|
| |||||||
Health Care Equipment – 0.3% | ||||||||
GE Healthcare, Inc.(d) | 14,430 | 1,125,540 | ||||||
IDEXX Laboratories, Inc.(d) | 2,158 | 1,197,108 | ||||||
|
| |||||||
2,322,648 | ||||||||
|
| |||||||
Health Care Services – 0.0% | ||||||||
ABIOMED, Inc.(b) (c) (d) | 1,321 | 0 | ||||||
|
| |||||||
Managed Health Care – 0.1% | ||||||||
Humana, Inc. | 1,857 | 848,333 | ||||||
Molina Healthcare, Inc.(d) | 1,736 | 528,595 | ||||||
|
| |||||||
1,376,928 | ||||||||
|
| |||||||
6,277,927 | ||||||||
|
| |||||||
Banks – 0.7% | ||||||||
Diversified Banks – 0.7% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 151,609 | 1,201,710 | ||||||
Barclays PLC | 243,483 | 483,146 | ||||||
First Citizens BancShares, Inc./NC - Class A | 805 | 1,152,197 | ||||||
NatWest Group PLC | 181,541 | 569,864 | ||||||
Skandinaviska Enskilda Banken AB - Class A | 31,785 | 385,305 | ||||||
Standard Chartered PLC | 119,737 | 1,150,139 | ||||||
Swedbank AB - Class A | 2,270 | 41,636 | ||||||
UniCredit SpA | 48,027 | 1,216,055 | ||||||
|
| |||||||
6,200,052 | ||||||||
|
| |||||||
Insurance – 0.7% | ||||||||
Life & Health Insurance – 0.4% | ||||||||
iA Financial Corp., Inc. | 15,684 | 1,086,634 | ||||||
Japan Post Insurance Co., Ltd. | 70,400 | 1,137,676 | ||||||
Manulife Financial Corp. | 54,608 | 1,091,622 | ||||||
Medibank Pvt Ltd. | 109,656 | 258,887 | ||||||
Poste Italiane SpA(f) | 15,492 | 176,973 | ||||||
|
| |||||||
3,751,792 | ||||||||
|
|
12
Company | Shares | U.S. $ Value | ||||||
Multi-line Insurance – 0.3% | ||||||||
American International Group, Inc. | 19,920 | $ | 1,200,778 | |||||
Assicurazioni Generali SpA | 53,894 | 1,147,970 | ||||||
|
| |||||||
2,348,748 | ||||||||
|
| |||||||
6,100,540 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 0.6% | ||||||||
Apparel, Accessories & Luxury Goods – 0.1% | ||||||||
Pandora A/S | 11,300 | 1,130,361 | ||||||
|
| |||||||
Consumer Electronics – 0.1% | ||||||||
Panasonic Holdings Corp. | 67,700 | 835,647 | ||||||
|
| |||||||
Homebuilding – 0.4% | ||||||||
Desarrolladora Homex SAB de CV(d) | 1,590 | 1 | ||||||
Installed Building Products, Inc. | 4,446 | 658,097 | ||||||
NVR, Inc.(d) | 182 | 1,147,772 | ||||||
PulteGroup, Inc. | 24,475 | 2,065,445 | ||||||
Urbi Desarrollos Urbanos SAB de CV(d) | 9 | 4 | ||||||
|
| |||||||
3,871,319 | ||||||||
|
| |||||||
5,837,327 | ||||||||
|
| |||||||
Automobiles & Components – 0.5% | ||||||||
Automobile Manufacturers – 0.2% | ||||||||
Ford Motor Co. | 41,363 | 546,405 | ||||||
Tesla, Inc.(d) | 5,557 | 1,486,109 | ||||||
|
| |||||||
2,032,514 | ||||||||
|
| |||||||
Automotive Parts & Equipment – 0.3% | ||||||||
Aisin Corp. | 33,600 | 1,091,835 | ||||||
BorgWarner, Inc. | 22,432 | 1,043,088 | ||||||
Lear Corp. | 2,612 | 404,233 | ||||||
|
| |||||||
2,539,156 | ||||||||
|
| |||||||
4,571,670 | ||||||||
|
| |||||||
Consumer Discretionary Distribution & Retail – 0.5% | ||||||||
Apparel Retail – 0.1% | ||||||||
Industria de Diseno Textil SA | 30,982 | 1,185,923 | ||||||
|
| |||||||
Broadline Retail – 0.3% | ||||||||
Amazon.com, Inc.(d) | 19,009 | 2,541,123 | ||||||
|
| |||||||
Home Improvement Retail – 0.1% | ||||||||
Home Depot, Inc. (The) | 2,428 | 810,564 | ||||||
|
| |||||||
4,537,610 | ||||||||
|
| |||||||
Transportation – 0.4% | ||||||||
Highways & Railtracks – 0.3% | ||||||||
Transurban Group(a) | 291,338 | 2,812,881 | ||||||
|
| |||||||
Passenger Airlines – 0.1% | ||||||||
Singapore Airlines Ltd. | 199,500 | 1,130,172 | ||||||
|
| |||||||
3,943,053 | ||||||||
|
|
13
Company | Shares | U.S. $ Value | ||||||
Telecommunication Services – 0.4% | ||||||||
Integrated Telecommunication Services – 0.4% | ||||||||
Cellnex Telecom SA(d) (f) | 19,250 | $ | 786,152 | |||||
Infrastrutture Wireless Italiane SpA(f) | 67,890 | 851,394 | ||||||
Spark New Zealand Ltd. | 326,765 | 1,052,035 | ||||||
Telstra Group Ltd. | 360,604 | 1,032,125 | ||||||
|
| |||||||
3,721,706 | ||||||||
|
| |||||||
Household & Personal Products – 0.2% | ||||||||
Household Products – 0.2% | ||||||||
Clorox Co. (The) | 7,302 | 1,106,107 | ||||||
Kimberly-Clark Corp. | 7,138 | 921,516 | ||||||
|
| |||||||
2,027,623 | ||||||||
|
| |||||||
Consumer Staples Distribution & Retail – 0.1% | ||||||||
Food Distributors – 0.0% | ||||||||
Sysco Corp. | 7,609 | 580,643 | ||||||
|
| |||||||
Food Retail – 0.1% | ||||||||
Kroger Co. (The) | 6,152 | 299,233 | ||||||
Woolworths Group Ltd. | 10,896 | 282,956 | ||||||
|
| |||||||
582,189 | ||||||||
|
| |||||||
1,162,832 | ||||||||
|
| |||||||
Total Common Stocks | 576,011,785 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 2.8% | ||||||||
Funds and Investment Trusts – 2.8%(g) | ||||||||
iShares Global Energy ETF | 234,800 | 9,283,992 | ||||||
iShares MSCI Global Metals & Mining Producers ETF(a) | 216,980 | 9,445,139 | ||||||
VanEck Agribusiness ETF(a) | 41,269 | 3,608,149 | ||||||
VanEck Gold Miners ETF/USA | 107,810 | 3,386,312 | ||||||
|
| |||||||
Total Investment Companies | 25,723,592 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 30.7% | ||||||||
Investment Companies – 30.7% | ||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.19%(g) (h) (i) | 278,895,700 | 278,895,700 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 96.9% | 880,631,077 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 2.4% | ||||||||
Investment Companies – 2.4% | ||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.19%(g) (h) (i) | 21,471,662 | 21,471,662 | ||||||
|
| |||||||
Total Investments – 99.3% | 902,102,739 | |||||||
Other assets less liabilities – 0.7% | 6,343,028 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 908,445,767 | ||||||
|
|
14
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Purchased Contracts | ||||||||||||||||||||||||
Brent Crude Futures | 215 | October 2023 | $ | 18,158,900 | $ | 2,295,809 | ||||||||||||||||||
Coffee Robusta Futures | 68 | September 2023 | 1,782,280 | (98,476 | ) | |||||||||||||||||||
Coffee ‘C’ Futures | 111 | December 2023 | 6,849,394 | (72,095 | ) | |||||||||||||||||||
Copper Futures | 146 | September 2023 | 14,629,200 | 432,799 | ||||||||||||||||||||
Corn Futures | 447 | December 2023 | 11,465,550 | (374,696 | ) | |||||||||||||||||||
Cotton No.2 Futures | 109 | December 2023 | 4,617,240 | 206,704 | ||||||||||||||||||||
Euro STOXX 50 Index Futures | 59 | September 2023 | 2,916,579 | 74,512 | ||||||||||||||||||||
FTSE 100 Index Futures | 12 | September 2023 | 1,184,121 | 11,303 | ||||||||||||||||||||
Gasoline RBOB Futures | 65 | November 2023 | 6,618,885 | 988,246 | ||||||||||||||||||||
Gold 100 OZ Futures | 201 | December 2023 | 40,384,920 | (218,804 | ) | |||||||||||||||||||
KC HRW Wheat Futures | 114 | December 2023 | 4,728,150 | 362,810 | ||||||||||||||||||||
Lean Hogs Futures | 150 | August 2023 | 6,247,500 | 585,553 | ||||||||||||||||||||
Live Cattle Futures | 93 | December 2023 | 6,822,480 | 172,824 | ||||||||||||||||||||
LME Lead Futures | 32 | September 2023 | 1,724,000 | 11,496 | ||||||||||||||||||||
LME Nickel Futures | 34 | September 2023 | 4,529,208 | (359,151 | ) | |||||||||||||||||||
LME Primary Aluminum Futures | 180 | September 2023 | 10,206,045 | (387,542 | ) | |||||||||||||||||||
LME Zinc Futures | 76 | September 2023 | 4,874,089 | (224,809 | ) | |||||||||||||||||||
Low SU Gasoil Futures | 87 | December 2023 | 7,073,100 | 1,130,655 | ||||||||||||||||||||
MSCI Emerging Markets Futures | 259 | September 2023 | 13,653,185 | 377,140 | ||||||||||||||||||||
Natural Gas Futures | 413 | September 2023 | 11,320,330 | (182,271 | ) | |||||||||||||||||||
NY Harbor ULSD Futures | 50 | November 2023 | 5,989,410 | 1,006,625 | ||||||||||||||||||||
Platinum Futures | 33 | October 2023 | 1,581,690 | (53,711 | ) | |||||||||||||||||||
S&P 500 E-Mini Futures | 88 | September 2023 | 20,303,800 | 994,449 | ||||||||||||||||||||
S&P/TSX 60 Index Futures | 5 | September 2023 | 940,356 | 29,830 | ||||||||||||||||||||
Silver Futures | 80 | September 2023 | 9,988,800 | 213,394 | ||||||||||||||||||||
Soybean Futures | 206 | November 2023 | 13,717,025 | 908,823 | ||||||||||||||||||||
Soybean Meal Futures | 150 | December 2023 | 5,938,500 | (114,809 | ) | |||||||||||||||||||
Soybean Oil Futures | 198 | December 2023 | 7,126,812 | 1,242,098 | ||||||||||||||||||||
SPI 200 Futures | 5 | September 2023 | 617,796 | 21,351 | ||||||||||||||||||||
Sugar 11 (World) Futures | 238 | February 2024 | 6,474,742 | (115,799 | ) | |||||||||||||||||||
TOPIX Index Futures | 11 | September 2023 | 1,799,248 | 50,234 | ||||||||||||||||||||
Wheat (CBT) Futures | 188 | December 2023 | 6,502,450 | 320,295 | ||||||||||||||||||||
WTI Crude Futures | 253 | November 2023 | 20,328,550 | 2,669,155 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 11,903,942 | |||||||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Bank of America, NA | ZAR | 33,603 | USD | 1,806 | 08/23/2023 | $ | (68,962 | ) | ||||||||||||||||
Bank of America, NA | CAD | 2,432 | USD | 1,829 | 08/24/2023 | (15,529 | ) | |||||||||||||||||
Bank of America, NA | AUD | 4,938 | USD | 3,355 | 08/25/2023 | 35,779 | ||||||||||||||||||
Bank of America, NA | JPY | 290,472 | USD | 2,102 | 08/25/2023 | 52,919 | ||||||||||||||||||
Bank of America, NA | USD | 6,126 | AUD | 9,044 | 08/25/2023 | (46,645 | ) | |||||||||||||||||
Bank of America, NA | USD | 1,371 | JPY | 191,735 | 08/25/2023 | (18,246 | ) | |||||||||||||||||
Bank of America, NA | NOK | 183,842 | USD | 17,256 | 09/13/2023 | (908,625 | ) |
15
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Bank of America, NA | SEK | 63,514 | USD | 6,173 | 09/13/2023 | $ | 127,274 | |||||||||||||||||
Bank of America, NA | GBP | 5,024 | USD | 6,464 | 09/14/2023 | 15,245 | ||||||||||||||||||
Bank of America, NA | TWD | 225,596 | USD | 7,221 | 09/14/2023 | 32,967 | ||||||||||||||||||
Bank of America, NA | USD | 8,294 | GBP | 6,454 | 09/14/2023 | (10,149 | ) | |||||||||||||||||
Bank of America, NA | USD | 2,933 | TWD | 90,499 | 09/14/2023 | (48,994 | ) | |||||||||||||||||
Bank of America, NA | CLP | 4,152,168 | USD | 5,083 | 09/15/2023 | 156,472 | ||||||||||||||||||
Bank of America, NA | PEN | 5,422 | USD | 1,500 | 09/15/2023 | 163 | ||||||||||||||||||
Bank of America, NA | PEN | 32,425 | USD | 8,846 | 09/15/2023 | (122,601 | ) | |||||||||||||||||
Bank of America, NA | USD | 1,416 | INR | 116,666 | 09/25/2023 | (109 | ) | |||||||||||||||||
Bank of America, NA | USD | 2,582 | IDR | 38,916,411 | 10/12/2023 | (8,092 | ) | |||||||||||||||||
Bank of America, NA | KRW | 1,673,522 | USD | 1,317 | 10/26/2023 | 859 | ||||||||||||||||||
Bank of America, NA | USD | 1,765 | PHP | 96,313 | 10/26/2023 | (7,904 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 2,931 | CAD | 3,865 | 08/24/2023 | 1,268 | ||||||||||||||||||
Barclays Bank PLC | USD | 3,873 | NZD | 6,284 | 08/24/2023 | 30,410 | ||||||||||||||||||
Barclays Bank PLC | JPY | 240,127 | USD | 1,692 | 08/25/2023 | (2,059 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 5,909 | JPY | 830,591 | 08/25/2023 | (50,071 | ) | |||||||||||||||||
Barclays Bank PLC | BRL | 6,643 | USD | 1,393 | 09/05/2023 | (3,376 | ) | |||||||||||||||||
Barclays Bank PLC | NOK | 58,253 | USD | 5,833 | 09/13/2023 | 76,997 | ||||||||||||||||||
Barclays Bank PLC | SEK | 36,074 | USD | 3,539 | 09/13/2023 | 105,293 | ||||||||||||||||||
Barclays Bank PLC | USD | 3,869 | NOK | 38,639 | 09/13/2023 | (51,475 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 708 | SEK | 7,484 | 09/13/2023 | 4,154 | ||||||||||||||||||
Barclays Bank PLC | CNH | 19,299 | USD | 2,678 | 09/14/2023 | (32,296 | ) | |||||||||||||||||
Barclays Bank PLC | MYR | 84,307 | USD | 18,452 | 09/21/2023 | (310,086 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 1,098 | MYR | 5,024 | 09/21/2023 | 20,409 | ||||||||||||||||||
Barclays Bank PLC | USD | 1,015 | IDR | 15,311,199 | 10/12/2023 | (2,551 | ) | |||||||||||||||||
BNP Paribas SA | USD | 14,142 | NZD | 22,961 | 08/24/2023 | 119,152 | ||||||||||||||||||
Citibank, NA | AUD | 1,960 | USD | 1,333 | 08/25/2023 | 15,013 | ||||||||||||||||||
Deutsche Bank AG | ZAR | 24,143 | USD | 1,361 | 08/23/2023 | 13,732 | ||||||||||||||||||
Deutsche Bank AG | CAD | 9,048 | USD | 6,761 | 08/24/2023 | (102,635 | ) | |||||||||||||||||
Deutsche Bank AG | CZK | 108,362 | USD | 5,092 | 09/08/2023 | 112,392 | ||||||||||||||||||
Deutsche Bank AG | USD | 8,403 | PLN | 33,408 | 09/08/2023 | (78,233 | ) | |||||||||||||||||
Deutsche Bank AG | CNH | 95,328 | USD | 13,207 | 09/14/2023 | (181,711 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 10,916 | COP | 46,222,258 | 09/15/2023 | 726,816 | ||||||||||||||||||
Deutsche Bank AG | USD | 3,707 | PEN | 13,554 | 09/15/2023 | 42,147 | ||||||||||||||||||
Deutsche Bank AG | INR | 284,868 | USD | 3,459 | 09/25/2023 | 870 | ||||||||||||||||||
Deutsche Bank AG | USD | 1,710 | INR | 140,571 | 09/25/2023 | (3,544 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 4,516 | IDR | 67,721,379 | 10/12/2023 | (37,154 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 41,772 | USD | 8,792 | 08/02/2023 | (41,303 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 8,812 | BRL | 41,772 | 08/02/2023 | 21,364 | ||||||||||||||||||
Goldman Sachs Bank USA | ILS | 2,040 | USD | 566 | 08/08/2023 | 10,791 | ||||||||||||||||||
Goldman Sachs Bank USA | CAD | 3,318 | USD | 2,522 | 08/24/2023 | 4,903 | ||||||||||||||||||
Goldman Sachs Bank USA | NZD | 1,536 | USD | 981 | 08/24/2023 | 27,354 | ||||||||||||||||||
Goldman Sachs Bank USA | NZD | 3,566 | USD | 2,208 | 08/24/2023 | (7,315 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 1,774 | CAD | 2,348 | 08/24/2023 | 6,842 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 3,349 | CAD | 4,409 | 08/24/2023 | (4,430 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 2,319 | NZD | 3,715 | 08/24/2023 | (11,066 | ) | |||||||||||||||||
Goldman Sachs Bank USA | AUD | 16,116 | USD | 11,056 | 08/25/2023 | 222,410 | ||||||||||||||||||
Goldman Sachs Bank USA | JPY | 1,684,746 | USD | 12,172 | 08/25/2023 | 287,630 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 9,117 | AUD | 13,579 | 08/25/2023 | 11,435 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 2,345 | AUD | 3,435 | 08/25/2023 | (35,984 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 20,562 | JPY | 2,828,954 | 08/25/2023 | (606,629 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 35,809 | USD | 7,509 | 09/05/2023 | (18,389 | ) | |||||||||||||||||
Goldman Sachs Bank USA | NOK | 22,091 | USD | 2,097 | 09/13/2023 | (85,703 | ) | |||||||||||||||||
Goldman Sachs Bank USA | SEK | 91,171 | USD | 8,921 | 09/13/2023 | 242,192 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 2,675 | NOK | 28,826 | 09/13/2023 | 172,741 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 1,159 | NOK | 11,636 | 09/13/2023 | (9,685 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 13,616 | SEK | 145,772 | 09/13/2023 | 259,938 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 7,624 | SEK | 77,814 | 09/13/2023 | (217,117 | ) | |||||||||||||||||
Goldman Sachs Bank USA | COP | 5,195,912 | USD | 1,251 | 09/15/2023 | (58,192 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 2,689 | CLP | 2,237,671 | 09/15/2023 | (33,800 | ) | |||||||||||||||||
Goldman Sachs Bank USA | CHF | 3,405 | USD | 3,959 | 09/20/2023 | 33,986 | ||||||||||||||||||
Goldman Sachs Bank USA | INR | 222,777 | USD | 2,689 | 09/25/2023 | (15,159 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 5,635 | HUF | 1,902,925 | 09/27/2023 | (297,798 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 2,815 | SEK | 29,496 | 09/27/2023 | (5,347 | ) | |||||||||||||||||
HSBC Bank USA | USD | 1,647 | JPY | 227,136 | 08/25/2023 | (44,315 | ) | |||||||||||||||||
HSBC Bank USA | GBP | 11,903 | USD | 15,364 | 09/14/2023 | 85,066 | ||||||||||||||||||
HSBC Bank USA | USD | 1,606 | GBP | 1,244 | 09/14/2023 | (8,890 | ) | |||||||||||||||||
HSBC Bank USA | USD | 15,990 | INR | 1,319,592 | 09/25/2023 | 30,532 | ||||||||||||||||||
JPMorgan Chase Bank, NA | NZD | 12,534 | USD | 7,702 | 08/24/2023 | (83,192 | ) |
16
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 9,584 | CAD | 12,636 | 08/24/2023 | $ | 1,740 | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 7,444 | CAD | 9,769 | 08/24/2023 | (33,279 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | AUD | 6,815 | USD | 4,596 | 08/25/2023 | 14,704 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 6,785 | NOK | 71,382 | 09/13/2023 | 267,777 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 4,059 | CNH | 28,908 | 09/14/2023 | 1,231 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 623 | GBP | 485 | 09/14/2023 | (850 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | CHF | 2,019 | USD | 2,367 | 09/20/2023 | 39,772 | ||||||||||||||||||
JPMorgan Chase Bank, NA | NOK | 7,826 | USD | 769 | 09/27/2023 | (4,336 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,218 | HUF | 428,349 | 09/27/2023 | (16,648 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 6,010 | IDR | 91,837,537 | 10/12/2023 | 63,848 | ||||||||||||||||||
JPMorgan Chase Bank, NA | PHP | 153,846 | USD | 2,816 | 10/26/2023 | 9,012 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 29,846 | USD | 6,198 | 08/02/2023 | (113,959 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 6,295 | BRL | 29,846 | 08/02/2023 | 16,972 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | ZAR | 19,693 | USD | 1,036 | 08/23/2023 | (62,806 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | CAD | 4,980 | USD | 3,737 | 08/24/2023 | (41,231 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | NZD | 1,664 | USD | 1,026 | 08/24/2023 | (7,984 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 5,327 | NZD | 8,639 | 08/24/2023 | 38,835 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | AUD | 23,074 | USD | 15,871 | 08/25/2023 | 360,398 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | AUD | 4,111 | USD | 2,742 | 08/25/2023 | (21,458 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 4,959 | AUD | 7,488 | 08/25/2023 | 74,357 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | DKK | 13,713 | USD | 2,028 | 09/13/2023 | (452 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 677 | NOK | 7,183 | 09/13/2023 | 33,087 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | TWD | 55,917 | USD | 1,820 | 09/14/2023 | 38,530 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 7,009 | GBP | 5,449 | 09/14/2023 | (14,234 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,581 | TWD | 48,000 | 09/14/2023 | (51,337 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | CLP | 6,032,732 | USD | 7,438 | 09/15/2023 | 281,034 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 535 | COP | 2,146,801 | 09/15/2023 | 5,722 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 14,558 | MXN | 251,735 | 09/15/2023 | 357,581 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 6,770 | PEN | 24,293 | 09/15/2023 | (50,355 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | CHF | 9,536 | USD | 11,181 | 09/20/2023 | 188,827 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 3,115 | CHF | 2,657 | 09/20/2023 | (52,611 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | EUR | 5,893 | USD | 6,499 | 10/12/2023 | (3,292 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | IDR | 81,854,484 | USD | 5,457 | 10/12/2023 | 43,089 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 19,268 | EUR | 17,472 | 10/12/2023 | 9,761 | ||||||||||||||||||
Standard Chartered Bank | SEK | 12,350 | USD | 1,169 | 09/13/2023 | (6,528 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 568 | ILS | 2,040 | 08/08/2023 | (13,385 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 911 | CAD | 1,214 | 08/24/2023 | 9,587 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,019 | NZD | 1,652 | 08/24/2023 | 6,749 | ||||||||||||||||||
State Street Bank & Trust Co. | AUD | 196 | USD | 133 | 08/25/2023 | 1,586 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 841 | AUD | 1,230 | 08/25/2023 | (14,477 | ) |
17
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
State Street Bank & Trust Co. | USD | 20 | JPY | 2,787 | 08/25/2023 | $ | (544 | ) | ||||||||||||||||
State Street Bank & Trust Co. | USD | 222 | NOK | 2,329 | 09/13/2023 | 8,372 | ||||||||||||||||||
State Street Bank & Trust Co. | SGD | 1,314 | USD | 993 | 09/20/2023 | 2,250 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 656 | SEK | 6,830 | 09/27/2023 | (5,415 | ) | |||||||||||||||||
State Street Bank & Trust Co. | THB | 212,757 | USD | 6,130 | 10/11/2023 | (126,556 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 1,331 | THB | 45,786 | 10/11/2023 | 15,927 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 779 | THB | 26,478 | 10/11/2023 | (411 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 347 | EUR | 315 | 10/12/2023 | 65 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 808 | HKD | 6,310 | 11/22/2023 | 1,641 | ||||||||||||||||||
UBS AG | CAD | 1,193 | USD | 892 | 08/24/2023 | (13,388 | ) | |||||||||||||||||
UBS AG | USD | 894 | CAD | 1,193 | 08/24/2023 | 10,819 | ||||||||||||||||||
UBS AG | USD | 941 | JPY | 129,571 | 08/25/2023 | (26,785 | ) | |||||||||||||||||
UBS AG | USD | 960 | GBP | 745 | 09/14/2023 | (3,765 | ) | |||||||||||||||||
UBS AG | USD | 2,721 | CHF | 2,319 | 09/20/2023 | (47,845 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 581,496 | |||||||||||||||||||||||
|
|
INFLATION (CPI) SWAPS
Rate Type | ||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Goldman Sachs International | USD | 110,190 | 04/25/2030 | 1.900% | CPI# | Maturity | $ | 3,715,976 | $ | — | $ | 3,715,976 | ||||||||||||||||
Goldman Sachs International | USD | 58,060 | 03/16/2031 | 2.289% | CPI# | Maturity | 998,889 | — | 998,889 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 4,714,865 | $ | — | $ | 4,714,865 | |||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation (Depreciation) | |||||||||||||||
Receive Total Return on Reference Obligation | ||||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||
MLABGLIN(1) | SOFR plus 0.25% | Quarterly | USD | 30,159 | 04/15/2024 | $ | 238,052 | |||||||||||||
Merrill Lynch International Bloomberg Commodity Index | 0.00% | Maturity | USD | 46,108 | 09/15/2023 | 1,369,602 | ||||||||||||||
Pay Total Return on Reference Obligation | ||||||||||||||||||||
UBS AG | ||||||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | OBFR plus 0.32% | Quarterly | USD | 30,109 | 09/15/2023 | (674,836 | ) | |||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | OBFR plus 0.25% | Quarterly | USD | 1,665 | 02/15/2024 | (39,971 | ) |
18
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | | OBFR plus 0.24% | Quarterly | USD | 1,888 | 02/15/2024 | $ | (45,086 | ) | |||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | | OBFR plus 0.25% | Quarterly | USD | 2,519 | 02/15/2024 | (60,480 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | 787,281 | |||||||||||||||||||||||
|
|
(a) | Represents entire or partial securities out on loan. |
(b) | Fair valued by the Adviser. |
(c) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(d) | Non-income producing security. |
(e) | Restricted and illiquid security. |
Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||
LUKOIL PJSC | 01/07/2021 | $ | 1,631,127 | $ | 0 | 0.00% |
(f) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At July 31, 2023, the aggregate market value of these securities amounted to $8,117,911 or 0.9% of net assets. |
(g) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(h) | Affiliated investments. |
(i) | The rate shown represents the 7-day yield as of period end. |
(j) | As of July 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $96,475,598 and gross unrealized depreciation of investments was $(38,588,089), resulting in net unrealized appreciation of $57,887,509. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNH – Chinese Yuan Renminbi (Offshore)
COP – Colombian Peso
CZK – Czech Koruna
DKK – Danish Krone
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
HUF – Hungarian Forint
IDR – Indonesian Rupiah
ILS – Israeli Shekel
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PHP – Philippine Peso
19
PLN – Polish Zloty
SEK – Swedish Krona
SGD – Singapore Dollar
THB – Thailand Baht
TWD – New Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
Glossary:
ADR – American Depositary Receipt
CBT – Chicago Board of Trade
CPI – Consumer Price Index
EPRA – European Public Real Estate Association
ETF – Exchange Traded Fund
FTSE – Financial Times Stock Exchange
KC HRW – Kansas City Hard Red Winter
LME – London Metal Exchange
MSCI – Morgan Stanley Capital International
NAREIT – National Association of Real Estate Investment Trusts
OBFR – Overnight Bank Funding Rate
PJSC – Public Joint Stock Company
RBOB – Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas)
REG – Registered Shares
REIT – Real Estate Investment Trust
SOFR – Secured Overnight Financing Rate
SPI – Share Price Index
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
ULSD – Ultra-Low Sulfur Diesel
WTI – West Texas Intermediate
(1) The following table represents the 50 largest equity basket holdings underlying the total return swap in MLABGLIN as of July 31, 2023.
Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
Enbridge, Inc. | 53,250 | USD | 1,961,316 | 6.5 | % | ||||||||||
American Tower Corp. | 9,428 | 1,794,332 | 5.9 | % | |||||||||||
Vinci SA | 13,531 | 1,593,024 | 5.3 | % | |||||||||||
National Grid PLC | 1,006 | 1,335,127 | 4.4 | % | |||||||||||
TC Energy Corp. | 29,933 | 1,074,755 | 3.6 | % | |||||||||||
Crown Castle, Inc. | 9,128 | 988,510 | 3.3 | % | |||||||||||
Sempra | 6,051 | 901,738 | 3.0 | % | |||||||||||
Exelon Corp. | 19,253 | 805,928 | 2.7 | % | |||||||||||
Williams Cos., Inc. (The) | 22,840 | 786,822 | 2.6 | % | |||||||||||
Transurban Group | 79,281 | 766,094 | 2.5 | % | |||||||||||
Enterprise Products Partners | 28,792 | 763,288 | 2.5 | % | |||||||||||
Cheniere Energy, Inc. | 4,555 | 737,256 | 2.4 | % | |||||||||||
Energy Transfer LP | 51,423 | 683,411 | 2.3 | % | |||||||||||
Kinder Morgan, Inc. | 37,922 | 671,592 | 2.2 | % | |||||||||||
Cellnex Telecom SA | 15,472 | 633,553 | 2.1 | % | |||||||||||
Consolidated Edison, Inc. | 6,566 | 622,844 | 2.1 | % | |||||||||||
American Water Works Co., Inc. | 3,752 | 553,173 | 1.8 | % | |||||||||||
PG&E Corp. | 31,314 | 551,431 | 1.8 | % | |||||||||||
ONEOK, Inc. | 8,221 | 551,156 | 1.8 | % | |||||||||||
Fortis, Inc. (Canada) | 12,700 | 542,357 | 1.8 | % | |||||||||||
Edison International | 7,259 | 522,335 | 1.7 | % | |||||||||||
SBA Communications Corp. | 2,286 | 500,512 | 1.7 | % | |||||||||||
Eversource Energy | 6,764 | 489,264 | 1.6 | % | |||||||||||
Pembina Pipeline Corp. | 14,246 | 451,883 | 1.5 | % |
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Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
Ferrovial SE | 12,281 | USD | 408,119 | 1.4 | % | ||||||||||
CenterPoint Energy, Inc. | 12,145 | 365,437 | 1.2 | % | |||||||||||
Targa Resources Corp. | 4,175 | 342,276 | 1.1 | % | |||||||||||
Atmos Energy Corp. | 2,738 | 333,287 | 1.1 | % | |||||||||||
Terna - Rete Elettrica Naziona | 36,353 | 308,143 | 1.0 | % | |||||||||||
Aena SME SA | 1,892 | 303,312 | 1.0 | % | |||||||||||
Snam SpA | 52,758 | 278,160 | 0.9 | % | |||||||||||
Magellan Midstream Partners LP | 3,772 | 249,969 | 0.8 | % | |||||||||||
ENN Energy Holdings Ltd. | 20,242 | 243,336 | 0.8 | % | |||||||||||
Hong Kong & China Gas Co., Ltd. | 283,534 | 242,498 | 0.8 | % | |||||||||||
MPLX LP | 6,788 | 241,041 | 0.8 | % | |||||||||||
Hydro One Ltd. | 8,373 | 236,634 | 0.8 | % | |||||||||||
Tokyo Gas Co., Ltd. | 10,112 | 229,537 | 0.8 | % | |||||||||||
NiSource, Inc. | 8,000 | 222,723 | 0.7 | % | |||||||||||
Brookfield Infrastructure Part | 6,030 | 215,226 | 0.7 | % | |||||||||||
United Utilities Group PLC | 166 | 213,463 | 0.7 | % | |||||||||||
Severn Trent PLC | 63 | 207,132 | 0.7 | % | |||||||||||
APA Group | 29,995 | 202,123 | 0.7 | % | |||||||||||
Essential Utilities, Inc. | 4,560 | 192,862 | 0.6 | % | |||||||||||
Redeia Corp SA | 11,316 | 189,700 | 0.6 | % | |||||||||||
Grupo Aeroportuario del Pacifico | 971 | 184,799 | 0.6 | % | |||||||||||
Getlink SE | 10,259 | 180,920 | 0.6 | % | |||||||||||
Auckland International Airport | 31,449 | 164,408 | 0.5 | % | |||||||||||
Naturgy Energy Group SA | 4,735 | 144,823 | 0.5 | % | |||||||||||
Grupo Aeroportuario del Sureste | 504 | 142,497 | 0.5 | % | |||||||||||
Keyera Corp. | 5,602 | 140,499 | 0.5 | % | |||||||||||
Other Long | 1,941,314 | 3,727,244 | 12.3 | % |
COUNTRY BREAKDOWN1
July 31, 2023 (unaudited)
40.9 | % | United States | ||
4.5 | % | United Kingdom | ||
3.8 | % | Japan | ||
3.0 | % | Canada | ||
2.3 | % | Australia | ||
1.6 | % | France | ||
1.4 | % | Spain | ||
1.5 | % | Germany | ||
1.4 | % | China | ||
1.2 | % | Hong Kong | ||
1.2 | % | Singapore | ||
1.1 | % | Italy | ||
0.6 | % | Luxembourg | ||
3.8 | % | Other | ||
31.7 | % | Short-Term Investments | ||
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100.0 | % | Total Investments | ||
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1 | The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.6% or less in the following: Austria, Belgium, Brazil, Chile, Denmark, Finland, India, Ireland, Mexico, Netherlands, New Zealand, Norway, Russia, South Africa, South Korea, Sweden and Switzerland. |
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All Market Real Return Portfolio
July 31, 2023 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is 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, by pricing vendors, 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.
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The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2023:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) | $ | 158,250,782 | $ | 43,890,713 | $ | — | $ | 202,141,495 | ||||||||
Energy | 38,234,113 | 35,581,173 | 0 | (a) | 73,815,286 | |||||||||||
Materials | 23,570,044 | 34,769,390 | 0 | (a) | 58,339,434 | |||||||||||
Capital Goods | 33,854,471 | 16,853,546 | — | 50,708,017 | ||||||||||||
Real Estate Management & Development | — | 31,891,243 | — | 31,891,243 | ||||||||||||
Utilities | 12,469,951 | 13,537,486 | — | 26,007,437 | ||||||||||||
Food Beverage & Tobacco | 12,366,117 | 2,500,548 | — | 14,866,665 | ||||||||||||
Software & Services | 14,199,410 | — | — | 14,199,410 | ||||||||||||
Pharmaceuticals & Biotechnology | 8,733,411 | 3,497,022 | — | 12,230,433 | ||||||||||||
Technology Hardware & Equipment | 8,703,085 | 2,320,669 | — | 11,023,754 | ||||||||||||
Semiconductors & Semiconductor Equipment | 8,352,391 | 1,256,198 | — | 9,608,589 | ||||||||||||
Media & Entertainment | 6,985,565 | 225,209 | — | 7,210,774 | ||||||||||||
Financial Services | 6,443,204 | 253,051 | — | 6,696,255 | ||||||||||||
Commercial & Professional Services | 4,798,459 | 1,790,120 | — | 6,588,579 | ||||||||||||
Consumer Services | 5,285,273 | 1,018,801 | — | 6,304,074 | ||||||||||||
Health Care Equipment & Services | 6,277,927 | — | 0 | (a) | 6,277,927 | |||||||||||
Banks | 1,152,197 | 5,047,855 | — | 6,200,052 | ||||||||||||
Insurance | 3,379,034 | 2,721,506 | — | 6,100,540 | ||||||||||||
Consumer Durables & Apparel | 3,871,319 | 1,966,008 | — | 5,837,327 | ||||||||||||
Automobiles & Components | 3,479,835 | 1,091,835 | — | 4,571,670 | ||||||||||||
Consumer Discretionary Distribution & Retail | 3,351,687 | 1,185,923 | — | 4,537,610 | ||||||||||||
Transportation | — | 3,943,053 | — | 3,943,053 | ||||||||||||
Telecommunication Services | — | 3,721,706 | — | 3,721,706 | ||||||||||||
Household & Personal Products | 2,027,623 | — | — | 2,027,623 | ||||||||||||
Consumer Staples Distribution & Retail | 879,876 | 282,956 | — | 1,162,832 | ||||||||||||
Investment Companies | 25,723,592 | — | — | 25,723,592 | ||||||||||||
Short-Term Investments | 278,895,700 | — | — | 278,895,700 | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 21,471,662 | — | — | 21,471,662 | ||||||||||||
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Total Investments in Securities | 692,756,728 | 209,346,011 | 0 | (a) | 902,102,739 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 14,106,105 | — | — | 14,106,105 | ||||||||||||
Forward Currency Exchange Contracts | — | 5,010,788 | — | 5,010,788 | ||||||||||||
Inflation (CPI) Swaps | — | 4,714,865 | — | 4,714,865 | ||||||||||||
Total Return Swaps | — | 1,607,654 | — | 1,607,654 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures | (2,202,163 | ) | — | — | (2,202,163 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (4,429,292 | ) | — | (4,429,292 | ) | ||||||||||
Total Return Swaps | — | (820,373 | ) | — | (820,373 | ) | ||||||||||
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Total | $ | 704,660,670 | $ | 215,429,653 | $ | 0 | (a) | $ | 920,090,323 | |||||||
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(a) | The Fund held securities with zero market value at period end. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
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A summary of the Fund’s transactions in AB mutual funds for the nine months ended July 31, 2023 is as follows:
Fund | Market Value 10/31/2022 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 07/31/2023 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 284,520 | $ | 482,743 | $ | 488,367 | $ | 278,896 | $ | 9,231 | ||||||||||
Government Money Market Portfolio* | 5,936 | 106,542 | 91,006 | 21,472 | 324 | |||||||||||||||
Total | $ | 290,456 | $ | 589,285 | $ | 579,373 | $ | 300,368 | $ | 9,555 |
* | Investments of cash collateral for securities lending transactions. |
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