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: 811-00134
AB GLOBAL RISK ALLOCATION 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: November 30, 2018
Date of reporting period: May 31, 2018
ITEM 1. REPORTS TO STOCKHOLDERS.
MAY 05.31.18
SEMI-ANNUAL REPORT
AB GLOBAL RISK ALLOCATION FUND
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
FROM THE PRESIDENT |
Dear Shareholder,
We are pleased to provide this report for AB Global Risk Allocation Fund (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
As always, AB strives to keep clients ahead of what’s next by:
+ | Transforming uncommon insights into uncommon knowledge with a global research scope |
+ | Navigating markets with seasoned investment experience and sophisticated solutions |
+ | Providing thoughtful investment insights and actionable ideas |
Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.
AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.
For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in the AB Mutual Funds.
Sincerely,
Robert M. Keith
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
July 16, 2018
This report provides management’s discussion of fund performance for AB Global Risk Allocation Fund for the semi-annual reporting period ended May 31, 2018.
The Fund’s investment objective is total return consistent with reasonable risks through a combination of income and long-term growth of capital.
NAV RETURNS AS OF MAY 31, 2018 (unaudited)
6 Months | 12 Months | |||||||
AB GLOBAL RISK ALLOCATION FUND1 | ||||||||
Class A Shares | 1.48% | 5.64% | ||||||
Class B Shares2 | 1.13% | 4.80% | ||||||
Class C Shares | 1.14% | 4.87% | ||||||
Advisor Class Shares3 | 1.62% | 5.94% | ||||||
Class R Shares3 | 1.35% | 5.28% | ||||||
Class K Shares3 | 1.51% | 5.62% | ||||||
Class I Shares3 | 1.63% | 5.95% | ||||||
Primary Benchmark: MSCI World Index | 1.84% | 11.57% | ||||||
Blended Benchmark: 60% MSCI World Index / 40% Bloomberg Barclays Global Aggregate Bond Index | 0.88% | 7.60% | ||||||
Bloomberg Barclays Global Aggregate Bond Index | -0.68% | 1.72% |
1 | Includes the impact of proceeds received and credited to the Fund resulting from class action settlements, which enhanced the performance of all share classes of the Fund for the six- and 12-month periods ended May 31, 2018, by 0.00% and 0.05%, respectively. Also includes the impact of proceeds recorded and credited to the Fund in connection with regulatory settlements, which enhanced performance for the six- and 12-month periods ended May 31, 2018, by 0.00% and 0.02%, respectively. |
2 | Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information. |
3 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared with its primary benchmark, the Morgan Stanley Capital International (“MSCI”) World Index, and its blended benchmark, a 60% / 40% blend of MSCI World Index / Bloomberg Barclays Global Aggregate Bond Index, respectively, for the six- and 12-month periods ended May 31, 2018. The table also includes the individual performance of the Bloomberg Barclays Global Aggregate Bond Index.
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For the six-month period, all share classes of the Fund underperformed the primary benchmark, but outperformed the blended benchmark before sales charges, as inflation-sensitive securities performed well when inflation expectations rose during this period. For the 12-month period, all share classes of the Fund underperformed primary and blended benchmarks, before sales charges. The Fund is strategically diversified in multi-asset exposures and has lower equity exposure; therefore, it underperformed the 100% stock primary benchmark, as equity markets delivered strong performance.
The Fund’s active currency exposures detracted during the six-month period, and contributed during the 12-month period. During both periods, global equities and credit securities, as well as interest rate and inflation-sensitive exposures, contributed on an absolute basis, with exposures from equity and inflation-sensitive securities being the more significant contributors.
The Fund utilized derivatives for hedging and investment purposes in the form of futures, interest rate swaps, credit default swaps, written options and written swaptions, which added to absolute returns for both periods, while currency forwards, total return swaps and purchased options detracted for both periods.
MARKET REVIEW AND INVESTMENT STRATEGY
After advancing to all-time highs, global stocks retraced some of their positive performance during the six-month period ended May 31, 2018. US equities had the highest returns, given strong corporate earnings results after the passage of major tax reform. Non-US and emerging-market equities also delivered positive performance, although they declined toward the end of the period as the US dollar strengthened and risk aversion increased. In terms of style, growth stocks outperformed value stocks. While US tax reform and strong economic data helped stocks reach record highs early in the period, inflation concerns and rising interest rates soon weighed on performance. Trade and geopolitical tensions added to downward pressure. Toward the end of the period, political turmoil in Italy decreased investors’ risk appetite.
Fixed-income markets were also volatile. Despite a multiyear high in oil prices, emerging-market debt was negatively affected by a stronger US dollar and higher global interest rates. Global high-yield and investment-grade corporates weakened in the risk-off environment, while developed-market treasuries and local-currency emerging-market bonds rallied. Developed-market yields generally either rose across the curve (particularly in Italy and the US) or flattened, with shorter maturities rising while longer maturities ended the period lower (bond yields move inversely to price). The US Federal Reserve raised interest rates twice in the period and began to formally reduce its balance sheet, as widely expected, while the European Central Bank started to scale back asset purchases.
The Fund’s Senior Investment Management Team uses proprietary quantitative signals along with fundamental research insights when allocating risk to
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equity, interest rate and inflation-sensitive assets. The Fund continued to maintain an overweight in risk allocation to global equities and has benefited from this tilt, as equity markets continued to deliver strong positive returns. Over the six-month period, the Fund maintained its overweight in risk allocation to equities, and held an underweight in risk allocation to inflation-sensitive assets. Within equities, the Fund was overweight European and Japanese equity exposures relative to the US. The Fund maintained close to neutral risk allocation to interest rate duration exposure, and within interest rate allocation, was underweight to low interest rate countries.
INVESTMENT POLICIES
The Fund invests dynamically in a number of global asset classes, including equity/credit, fixed-income and inflation-sensitive instruments. In making decisions on the allocation of assets among asset classes, the Adviser will use a risk-balanced approach. This strategy attempts to provide investors with favorable long-term total return while minimizing exposure to material downside (“tail”) events. To execute this strategy, the Adviser assesses the volatility, tail loss and return potential of each asset. Fund assets are then allocated among asset classes so that no asset class dominates the expected tail loss of the Fund. This will generally result in the Fund having greater exposures to lower risk asset classes (such as fixed-income) than to higher risk asset classes. The Adviser will make frequent adjustments to the Fund’s asset class exposures based on its determinations of volatility, tail loss and return potential.
The asset classes in which the Fund may invest include:
+ | equity/credit: equity securities of all types and corporate fixed-income securities (regardless of credit quality, but subject to the limitations on high-yield securities set forth below) |
+ | fixed-income: fixed-income securities of the US and foreign governments and their agencies and instrumentalities |
+ | inflation-sensitive: global inflation-indexed securities (including Treasury inflation-protected securities) and commodity-related instruments and derivatives (including commodity futures). |
The Fund’s investments within each asset class are generally index-based—typically, portfolios of individual securities, derivatives or exchange-traded funds (“ETFs”) intended to track the performance of segments within each particular asset class. The inflation-sensitive asset class consists of instruments, the prices of which are affected directly or indirectly by the level and change in the rate of inflation, such as commodity derivatives.
(continued on next page)
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Equity securities will comprise no more than 75% of the Fund’s investments. The Fund may invest in fixed-income securities with a range of maturities from short- to long-term. The Fund may invest up to 20% of its assets in high-yield securities (securities rated below BBB- by S&P Global Ratings, Moody’s Investors Service, Inc., or Fitch Ratings, which are commonly known as “junk bonds”). As an operating policy, the Fund will invest no more than 5% of its assets in securities rated CCC- or below.
The Fund’s investments will generally be global in nature, and will generally include investments in both developed and emerging markets. The Fund typically invests at least 40% of its assets in securities of non-US companies and/or foreign countries and their agencies and instrumentalities unless conditions are not deemed favorable by the Adviser, in which case the Fund will invest at least 30% of its assets in such foreign securities.
Derivatives, particularly futures contracts and swaps, often provide more efficient and economical exposure to market segments than direct investments, and the Fund’s exposure to certain types of assets may at times be achieved partially or substantially through investment in derivatives. Derivatives transactions may also be a quicker and more efficient way to alter the Fund’s exposure than buying and selling direct investments. In determining when and to what extent to enter into derivatives transactions, the Adviser will consider factors such as the risk and returns of these investments relative to direct investments and the cost of such transactions. Because derivatives transactions frequently require cash outlays that are only a small portion of the amount of exposure obtained through the derivative, a portion of the Fund’s assets may be held in cash or invested in cash equivalents to cover the Fund’s derivatives obligations, such as short-term US government and agency securities, repurchase agreements and money market funds. At times, a combination of direct securities investments and derivatives will be used to gain asset class exposure so that the Fund’s aggregate exposure will substantially exceed its net assets (i.e., so that the Fund is effectively leveraged). Overall Fund exposure and the allocation to equity/credit will typically increase during bull markets, while overall exposure and allocation to equity/credit and inflation-indexed securities will typically decrease during bear markets. In addition, the Fund may at times invest in shares of ETFs in lieu of making direct investments in securities.
While the Fund may seek to gain exposure to physical commodities traded in the commodities markets through investments in a variety of derivative instruments, the Adviser expects that the Fund will seek to
(continued on next page)
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gain exposure to commodities and commodities-related instruments and derivatives primarily through investments in AllianceBernstein Global Risk Allocation (Cayman) Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Subsidiary is advised by the Adviser and has the same investment objective and substantially similar investment policies and restrictions as the Fund except that the Subsidiary, unlike the Fund, may invest without limitation in commodities and commodities-related instruments. The Fund will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests, to the extent of its investment in the Subsidiary. The Fund limits its investment in the Subsidiary to no more than 25% of its total assets. Investment in the Subsidiary is expected to provide the Fund with commodity exposure within the limitations of federal tax requirements that apply to the Fund.
Currency exchange rate fluctuations can have a dramatic impact on returns. The Adviser may seek to hedge all or a portion of the Fund’s currency exposure resulting from Fund investments or decide not to hedge this exposure. The Adviser may also cause the Fund to take on currency exposure for purposes other than hedging, relying on its fundamental and quantitative research with the goal of increasing returns or managing risk. Currency-related investments may include currencies acquired on a spot (i.e., cash) basis and currency-related derivatives, including forward currency exchange contracts and options on currencies.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The MSCI World Index and the Bloomberg Barclays Global Aggregate Bond Index are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI World Index (free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets. The Bloomberg Barclays Global Aggregate Bond Index represents the performance of the global investment-grade developed fixed-income markets. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s investments will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events that affect large portions of the market.
Allocation Risk: The allocation of investments among asset classes may have a significant effect on the Fund’s net asset value (“NAV”) when the asset classes in which the Fund has invested more heavily perform worse than the asset classes invested in less heavily.
Interest Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. The Fund may be subject to heightened interest rate risk due to rising rates as the current period of historically low interest rates may be ending. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
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DISCLOSURES AND RISKS (continued)
Commodity Risk: Investing in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Below Investment Grade Securities Risk: Investments in fixed-income securities with ratings below investment-grade, commonly known as “junk bonds”, tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions of the junk bond market generally and less secondary market liquidity.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Subsidiary Risk: By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and, unless otherwise noted in the Fund’s prospectus, is not subject to all of the investor protections of the 1940 Act. However, the Fund wholly owns and controls the Subsidiary, and the Fund and the Subsidiary are managed by the Adviser, making it unlikely the Subsidiary will take actions contrary to the interests of the Fund or its shareholders. In addition, changes in federal tax laws applicable to the Fund or interpretations hereof could limit the Fund’s ability to gain exposure to commodities investments through investments in the Subsidiary.
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DISCLOSURES AND RISKS (continued)
Derivatives Risk: Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and may be subject to counterparty risk to a greater degree than more traditional investments.
Leverage Risk: Because the Fund uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there is no guarantee that its techniques will produce the intended results.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares; the applicable contingent deferred sales charge for Class B shares (4% year 1, 3% year 2, 2% year 3, 1% year 4) and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF MAY 31, 2018 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 5.64% | 1.18% | ||||||
5 Years | 4.37% | 3.47% | ||||||
10 Years | 4.32% | 3.87% | ||||||
CLASS B SHARES | ||||||||
1 Year | 4.80% | 0.80% | ||||||
5 Years | 3.58% | 3.58% | ||||||
10 Years1 | 3.68% | 3.68% | ||||||
CLASS C SHARES | ||||||||
1 Year | 4.87% | 3.87% | ||||||
5 Years | 3.59% | 3.59% | ||||||
10 Years | 3.56% | 3.56% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 5.94% | 5.94% | ||||||
5 Years | 4.64% | 4.64% | ||||||
10 Years | 4.61% | 4.61% | ||||||
CLASS R SHARES2 | ||||||||
1 Year | 5.28% | 5.28% | ||||||
5 Years | 4.02% | 4.02% | ||||||
10 Years | 4.01% | 4.01% | ||||||
CLASS K SHARES2 | ||||||||
1 Year | 5.62% | 5.62% | ||||||
5 Years | 4.34% | 4.34% | ||||||
10 Years | 4.33% | 4.33% | ||||||
CLASS I SHARES2 | ||||||||
1 Year | 5.95% | 5.95% | ||||||
5 Years | 4.78% | 4.78% | ||||||
10 Years | 4.77% | 4.77% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.32%, 2.12%, 2.08%, 1.07%, 1.66%, 1.35% and 0.97% for Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I 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.
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
JUNE 30, 2018 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 1.16% | |||
5 Years | 3.96% | |||
10 Years | 4.46% | |||
CLASS B SHARES | ||||
1 Year | 0.83% | |||
5 Years | 4.07% | |||
10 Years1 | 4.28% | |||
CLASS C SHARES | ||||
1 Year | 3.91% | |||
5 Years | 4.11% | |||
10 Years | 4.15% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 5.97% | |||
5 Years | 5.16% | |||
10 Years | 5.21% | |||
CLASS R SHARES2 | ||||
1 Year | 5.31% | |||
5 Years | 4.54% | |||
10 Years | 4.60% | |||
CLASS K SHARES2 | ||||
1 Year | 5.71% | |||
5 Years | 4.86% | |||
10 Years | 4.93% | |||
CLASS I SHARES2 | ||||
1 Year | 6.04% | |||
5 Years | 5.30% | |||
10 Years | 5.37% |
1 | Assumes conversion of Class B shares into Class A shares after eight years. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value December 1, 2017 | Ending Account Value May 31, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,014.80 | $ | 6.58 | 1.31 | % | $ | 6.63 | 1.32 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.40 | $ | 6.59 | 1.31 | % | $ | 6.64 | 1.32 | % |
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EXPENSE EXAMPLE (continued)
Beginning Account Value December 1, 2017 | Ending Account Value May 31, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class B | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,011.30 | $ | 10.53 | 2.10 | % | $ | 10.58 | 2.11 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,014.46 | $ | 10.55 | 2.10 | % | $ | 10.60 | 2.11 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,011.40 | $ | 10.33 | 2.06 | % | $ | 10.38 | 2.07 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,014.66 | $ | 10.35 | 2.06 | % | $ | 10.40 | 2.07 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,016.20 | $ | 5.33 | 1.06 | % | $ | 5.38 | 1.07 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.65 | $ | 5.34 | 1.06 | % | $ | 5.39 | 1.07 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,013.50 | $ | 8.23 | 1.64 | % | $ | 8.28 | 1.65 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,016.75 | $ | 8.25 | 1.64 | % | $ | 8.30 | 1.65 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,015.10 | $ | 6.68 | 1.33 | % | $ | 6.73 | 1.34 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.30 | $ | 6.69 | 1.33 | % | $ | 6.74 | 1.34 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,016.30 | $ | 4.93 | 0.98 | % | $ | 4.98 | 0.99 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.04 | $ | 4.94 | 0.98 | % | $ | 4.99 | 0.99 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Fund’s investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Fund’s total expenses are equal to the classes’ annualized expense ratio plus the Fund’s pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 13 |
PORTFOLIO SUMMARY
May 31, 2018 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $262.1
1 | All data are as of May 31, 2018. The Fund’s security type and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.3% or less in the following countries: Argentina, Austria, Belgium, Bermuda, Brazil, Chile, Colombia, Denmark, Finland, Ireland, Italy, Jersey (Channel Islands), Jordan, Luxembourg, Macau, Mongolia, Netherlands, New Zealand, Norway, Portugal, Singapore, South Africa and United Arab Emirates. |
14 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
PORTFOLIO SUMMARY (continued)
May 31, 2018 (unaudited)
TEN LARGEST HOLDINGS1
Security | U.S. $ Value | Percent of Net Assets | ||||||
U.S. Treasury Inflation Index | $ | 111,358,943 | 42.5 | % | ||||
Japanese Government CPI Linked Bond Series 22 | 50,331,684 | 19.2 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2015-C03, Class 2M2 | 9,069,538 | 3.5 | ||||||
Hersha Hospitality Trust Series C | 1,458,000 | 0.6 | ||||||
Pebblebrook Hotel Trust Series C | 1,442,056 | 0.6 | ||||||
Mexico Government International Bond | 1,161,673 | 0.4 | ||||||
Apartment Investment & Management Co. Series A | 1,095,780 | 0.4 | ||||||
Petrobras Global Finance BV | 643,200 | 0.2 | ||||||
China Shenhua Energy Co., Ltd. – Class H | 517,666 | 0.2 | ||||||
China Construction Bank Corp. – Class H | 468,032 | 0.2 | ||||||
$ | 177,546,572 | 67.8 | % |
1 | Long-term investments. |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 15 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS
May 31, 2018 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
INFLATION-LINKED SECURITIES – 61.7% | ||||||||||||
Japan – 19.2% | ||||||||||||
Japanese Government CPI Linked Bond | ||||||||||||
Series 21 | JPY | 2,974,664 | $ | 28,889,669 | ||||||||
Series 22 | 2,200,205 | 21,442,015 | ||||||||||
|
| |||||||||||
50,331,684 | ||||||||||||
|
| |||||||||||
United States – 42.5% | ||||||||||||
U.S. Treasury Inflation Index (TIPS) | ||||||||||||
0.375%, 7/15/25(h) | U.S.$ | 86,684 | 85,180,699 | |||||||||
0.375%, 1/15/27 | 26,962 | 26,178,244 | ||||||||||
|
| |||||||||||
111,358,943 | ||||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 161,690,627 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCKS – 26.0% | ||||||||||||
Financials – 4.8% | ||||||||||||
Banks – 2.0% | ||||||||||||
ABN AMRO Group NV (GDR)(a) | 1,125 | 29,182 | ||||||||||
Agricultural Bank of China Ltd. – Class H | 838,000 | 430,184 | ||||||||||
Aozora Bank Ltd. | 500 | 19,738 | ||||||||||
Australia & New Zealand Banking Group Ltd. | 886 | 18,209 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA | 3,189 | 21,901 | ||||||||||
Banco de Sabadell SA | 16,035 | 27,091 | ||||||||||
Banco Santander SA | 3,772 | 20,514 | ||||||||||
Bank of America Corp. | 1,350 | 39,204 | ||||||||||
Bank of China Ltd. – Class H | 709,000 | 370,234 | ||||||||||
Bank of Communications Co., Ltd. – Class H | 451,000 | 355,703 | ||||||||||
Bank of East Asia Ltd. (The) | 3,800 | 15,731 | ||||||||||
Bank of Ireland Group PLC | 2,334 | 19,261 | ||||||||||
Bank of Kyoto Ltd. (The) | 400 | 20,861 | ||||||||||
Bank of Montreal | 747 | 57,866 | ||||||||||
Bank of Nova Scotia (The) | 862 | 52,015 | ||||||||||
Bank of Queensland Ltd. | 2,070 | 15,804 | ||||||||||
Bankia SA | 6,083 | 23,161 | ||||||||||
Bankinter SA | 3,395 | 32,839 | ||||||||||
Barclays PLC | 10,110 | 26,480 | ||||||||||
BB&T Corp. | 899 | 47,198 | ||||||||||
Bendigo & Adelaide Bank Ltd. | 1,883 | 15,274 | ||||||||||
BNP Paribas SA | 331 | 20,567 | ||||||||||
BOC Hong Kong Holdings Ltd. | 4,000 | 20,023 |
16 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
CaixaBank SA | 4,609 | $ | 19,832 | |||||||
Canadian Imperial Bank of Commerce/Canada | 584 | 50,986 | ||||||||
Chiba Bank Ltd. (The) | 3,000 | 23,051 | ||||||||
China CITIC Bank Corp., Ltd. – Class H | 530,000 | 358,222 | ||||||||
China Construction Bank Corp. – Class H | 465,000 | 468,032 | ||||||||
China Everbright Bank Co., Ltd. – Class H | 690,000 | 342,383 | ||||||||
China Minsheng Banking Corp., Ltd. – Class H | 354,500 | 336,584 | ||||||||
Chugoku Bank Ltd. (The) | 1,200 | 13,464 | ||||||||
CIT Group, Inc. | 697 | 34,801 | ||||||||
Citigroup, Inc. | 564 | 37,613 | ||||||||
Citizens Financial Group, Inc. | 745 | 30,433 | ||||||||
Comerica, Inc. | 403 | 37,999 | ||||||||
Commerzbank AG(b) | 2,045 | 20,891 | ||||||||
Commonwealth Bank of Australia | 310 | 16,211 | ||||||||
Concordia Financial Group Ltd. | 3,600 | 20,193 | ||||||||
Credit Agricole SA | 1,641 | 22,566 | ||||||||
Danske Bank A/S | 858 | 28,467 | ||||||||
DBS Group Holdings Ltd. | 1,100 | 23,144 | ||||||||
DNB ASA | 1,818 | 32,584 | ||||||||
Erste Group Bank AG(b) | 821 | 34,001 | ||||||||
Fifth Third Bancorp | 1,167 | 35,687 | ||||||||
First Republic Bank/CA | 402 | 40,039 | ||||||||
Fukuoka Financial Group, Inc. | 4,000 | 21,317 | ||||||||
Hachijuni Bank Ltd. (The) | 2,900 | 12,822 | ||||||||
Hang Seng Bank Ltd. | 1,100 | 27,425 | ||||||||
Hiroshima Bank Ltd. (The) | 2,000 | 14,161 | ||||||||
HSBC Holdings PLC | 5,317 | 50,895 | ||||||||
Huntington Bancshares, Inc./OH | 2,387 | 35,495 | ||||||||
ING Groep NV | 1,574 | 22,925 | ||||||||
Intesa Sanpaolo SpA | 7,713 | 22,762 | ||||||||
Intesa Sanpaolo SpA – RSP | 10,090 | 30,411 | ||||||||
Japan Post Bank Co., Ltd. | 1,400 | 17,466 | ||||||||
JPMorgan Chase & Co. | 448 | 47,940 | ||||||||
KBC Group NV | 411 | 31,599 | ||||||||
KeyCorp | 1,685 | 32,756 | ||||||||
Kyushu Financial Group, Inc. | 2,700 | 12,884 | ||||||||
Lloyds Banking Group PLC | 36,308 | 30,454 | ||||||||
M&T Bank Corp. | 381 | 65,563 | ||||||||
Mebuki Financial Group, Inc. | 4,400 | 15,948 | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 2,500 | 15,071 | ||||||||
Mizuho Financial Group, Inc. | 9,000 | 15,659 | ||||||||
National Australia Bank Ltd. | 869 | 17,517 | ||||||||
National Bank of Canada | 1,132 | 54,147 | ||||||||
Nordea Bank AB | 3,090 | 29,717 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 17 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Oversea-Chinese Banking Corp., Ltd. | 2,279 | $ | 21,248 | |||||||
People’s United Financial, Inc. | 2,269 | 41,772 | ||||||||
PNC Financial Services Group, Inc. (The) | 291 | 41,732 | ||||||||
Raiffeisen Bank International AG(b) | 1,044 | 32,854 | ||||||||
Regions Financial Corp. | 1,804 | 32,905 | ||||||||
Resona Holdings, Inc. | 2,200 | 12,222 | ||||||||
Royal Bank of Canada | 718 | 54,268 | ||||||||
Royal Bank of Scotland Group PLC(b) | 6,922 | 25,274 | ||||||||
Seven Bank Ltd. | 4,800 | 15,124 | ||||||||
Shinsei Bank Ltd. | 1,000 | 15,755 | ||||||||
Shizuoka Bank Ltd. (The) | 2,000 | 19,232 | ||||||||
Signature Bank/New York NY(b) | 215 | 27,410 | ||||||||
Skandinaviska Enskilda Banken AB – Class A | 3,315 | 29,858 | ||||||||
Societe Generale SA | 422 | 18,215 | ||||||||
Standard Chartered PLC | 2,940 | 29,439 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 500 | 20,614 | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 400 | 16,645 | ||||||||
SunTrust Banks, Inc. | 583 | 39,358 | ||||||||
Suruga Bank Ltd. | 800 | 9,189 | ||||||||
Svenska Handelsbanken AB – Class A | 2,923 | 32,022 | ||||||||
Swedbank AB – Class A | 1,696 | 35,258 | ||||||||
Toronto-Dominion Bank (The) | 1,045 | 61,011 | ||||||||
UniCredit SpA | 1,079 | 17,899 | ||||||||
United Overseas Bank Ltd. | 1,000 | 20,927 | ||||||||
US Bancorp | 800 | 39,992 | ||||||||
Wells Fargo & Co. | 690 | 37,253 | ||||||||
Westpac Banking Corp. | 832 | 17,585 | ||||||||
Yamaguchi Financial Group, Inc. | 2,000 | 24,064 | ||||||||
|
| |||||||||
5,140,282 | ||||||||||
|
| |||||||||
Capital Markets – 1.0% | ||||||||||
3i Group PLC | 4,463 | 56,462 | ||||||||
Affiliated Managers Group, Inc. | 225 | 35,833 | ||||||||
Ameriprise Financial, Inc. | 250 | 34,658 | ||||||||
ASX Ltd. | 592 | 27,044 | ||||||||
Bank of New York Mellon Corp. (The) | 853 | 46,702 | ||||||||
BlackRock, Inc. – Class A | 109 | 58,231 | ||||||||
Brookfield Asset Management, Inc. – Class A | 1,245 | 49,652 | ||||||||
Charles Schwab Corp. (The) | 729 | 40,547 | ||||||||
CI Financial Corp. | 2,261 | 43,839 | ||||||||
CITIC Securities Co., Ltd. – Class H | 161,000 | 403,060 | ||||||||
CME Group, Inc. – Class A | 377 | 61,413 | ||||||||
Credit Suisse Group AG (REG)(b) | 1,310 | 20,086 | ||||||||
Daiwa Securities Group, Inc. | 2,000 | 11,564 | ||||||||
Deutsche Bank AG (REG) | 1,113 | 11,902 | ||||||||
Deutsche Boerse AG | 355 | 47,421 | ||||||||
E*TRADE Financial Corp.(b) | 742 | 47,006 |
18 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Eaton Vance Corp. | 655 | $ | 35,239 | |||||||
Franklin Resources, Inc. | 837 | 28,098 | ||||||||
Goldman Sachs Group, Inc. (The) | 162 | 36,593 | ||||||||
Haitong Securities Co., Ltd. – Class H | 198,800 | 247,762 | ||||||||
Hargreaves Lansdown PLC | 1,868 | 47,268 | ||||||||
Hong Kong Exchanges & Clearing Ltd. | 900 | 28,950 | ||||||||
IGM Financial, Inc. | 1,289 | 38,095 | ||||||||
Intercontinental Exchange, Inc. | 727 | 51,537 | ||||||||
Invesco Ltd. | 1,109 | 30,298 | ||||||||
Investec PLC | 4,737 | 34,928 | ||||||||
Japan Exchange Group, Inc. | 1,100 | 20,823 | ||||||||
Julius Baer Group Ltd.(b) | 634 | 37,070 | ||||||||
London Stock Exchange Group PLC | 1,249 | 74,246 | ||||||||
Macquarie Group Ltd. | 261 | 22,489 | ||||||||
Moody’s Corp. | 325 | 55,435 | ||||||||
Morgan Stanley | 735 | 36,853 | ||||||||
MSCI, Inc. – Class A | 361 | 58,688 | ||||||||
Nasdaq, Inc. | 753 | 69,171 | ||||||||
Natixis SA | 3,393 | 24,556 | ||||||||
Nomura Holdings, Inc. | 2,100 | 10,825 | ||||||||
Northern Trust Corp. | 412 | 42,238 | ||||||||
Partners Group Holding AG | 68 | 49,146 | ||||||||
Raymond James Financial, Inc. | 418 | 40,362 | ||||||||
S&P Global, Inc. | 311 | 61,422 | ||||||||
SBI Holdings, Inc./Japan | 1,300 | 35,286 | ||||||||
Schroders PLC | 944 | 40,544 | ||||||||
SEI Investments Co. | 695 | 44,327 | ||||||||
Singapore Exchange Ltd. | 3,300 | 17,811 | ||||||||
St James’s Place PLC | 2,130 | 33,685 | ||||||||
State Street Corp. | 421 | 40,462 | ||||||||
T Rowe Price Group, Inc. | 627 | 76,130 | ||||||||
TD Ameritrade Holding Corp. | 771 | 45,643 | ||||||||
Thomson Reuters Corp. | 1,197 | 46,538 | ||||||||
UBS Group AG(b) | 1,814 | 27,383 | ||||||||
|
| |||||||||
2,585,321 | ||||||||||
|
| |||||||||
Consumer Finance – 0.1% | ||||||||||
Acom Co., Ltd. | 4,000 | 16,736 | ||||||||
AEON Financial Service Co., Ltd. | 800 | 18,605 | ||||||||
Ally Financial, Inc. | 1,228 | 31,498 | ||||||||
American Express Co. | 516 | 50,723 | ||||||||
Capital One Financial Corp. | 376 | 35,344 | ||||||||
Credit Saison Co., Ltd. | 900 | 14,870 | ||||||||
Discover Financial Services | 568 | 41,952 | ||||||||
Navient Corp. | 1,339 | 18,492 | ||||||||
Provident Financial PLC(b) | 1,368 | 11,661 | ||||||||
Synchrony Financial | 1,033 | 35,773 | ||||||||
|
| |||||||||
275,654 | ||||||||||
|
|
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 19 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Diversified Financial Services – 0.3% | ||||||||||
AMP Ltd. | 3,999 | $ | 11,766 | |||||||
Berkshire Hathaway, Inc. – Class B(b) | 231 | 44,243 | ||||||||
Challenger Ltd./Australia | 1,797 | 17,438 | ||||||||
Element Fleet Management Corp. | 3,194 | 13,376 | ||||||||
EXOR NV | 480 | 34,862 | ||||||||
First Pacific Co., Ltd./Hong Kong | 22,000 | 11,059 | ||||||||
Groupe Bruxelles Lambert SA | 600 | 63,455 | ||||||||
IHS Markit Ltd.(b) | 1,109 | 54,652 | ||||||||
Industrivarden AB – Class C | 1,828 | 38,403 | ||||||||
Investor AB – Class B | 902 | 37,377 | ||||||||
Jefferies Financial Group, Inc. | 1,464 | 32,032 | ||||||||
Kinnevik AB | 1,368 | 47,665 | ||||||||
L E Lundbergforetagen AB – Class B | 856 | 27,644 | ||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 3,500 | 20,830 | ||||||||
Onex Corp. | 648 | 46,513 | ||||||||
ORIX Corp. | 1,000 | 16,704 | ||||||||
Pargesa Holding SA | 691 | 60,572 | ||||||||
Standard Life Aberdeen PLC | 13,478 | 62,698 | ||||||||
Voya Financial, Inc. | 775 | 40,254 | ||||||||
Wendel SA | 294 | 38,803 | ||||||||
|
| |||||||||
720,346 | ||||||||||
|
| |||||||||
Insurance – 1.4% | ||||||||||
Admiral Group PLC | 1,243 | 31,788 | ||||||||
Aegon NV | 4,545 | 28,250 | ||||||||
Aflac, Inc. | 1,388 | 62,543 | ||||||||
Ageas | 832 | 42,091 | ||||||||
AIA Group Ltd. | 2,400 | 21,906 | ||||||||
Alleghany Corp. | 66 | 37,657 | ||||||||
Allianz SE (REG) | 222 | 45,739 | ||||||||
Allstate Corp. (The) | 643 | 60,108 | ||||||||
American International Group, Inc. | 720 | 38,009 | ||||||||
Aon PLC | 435 | 60,843 | ||||||||
Arch Capital Group Ltd.(b) | 593 | 46,521 | ||||||||
Arthur J Gallagher & Co. | 958 | 63,496 | ||||||||
Assicurazioni Generali SpA | 1,915 | 32,687 | ||||||||
Assurant, Inc. | 420 | 39,207 | ||||||||
Aviva PLC | 5,185 | 35,132 | ||||||||
Axis Capital Holdings Ltd. | 710 | 40,364 | ||||||||
Baloise Holding AG (REG) | 288 | 42,310 | ||||||||
Brighthouse Financial, Inc.(b) | 60 | 2,827 | ||||||||
China Life Insurance Co., Ltd. – Class H | 88,000 | 245,225 | ||||||||
Chubb Ltd. | 371 | 48,486 | ||||||||
Cincinnati Financial Corp. | 705 | 48,906 | ||||||||
CNP Assurances | 1,623 | 38,007 | ||||||||
Dai-ichi Life Holdings, Inc. | 1,000 | 18,578 |
20 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Direct Line Insurance Group PLC | 8,791 | $ | 41,729 | |||||||
Everest Re Group Ltd. | 214 | 48,212 | ||||||||
Fairfax Financial Holdings Ltd. | 85 | 47,726 | ||||||||
FNF Group | 1,183 | 43,724 | ||||||||
Gjensidige Forsikring ASA | 2,409 | 37,170 | ||||||||
Great-West Lifeco, Inc. | 2,017 | 51,195 | ||||||||
Hannover Rueck SE (REG) | 383 | 48,330 | ||||||||
Hartford Financial Services Group, Inc. (The) | 878 | 45,946 | ||||||||
Industrial Alliance Insurance & Financial Services, Inc. | 1,008 | 41,203 | ||||||||
Insurance Australia Group Ltd. | 3,856 | 23,611 | ||||||||
Intact Financial Corp. | 960 | 72,596 | ||||||||
Japan Post Holdings Co., Ltd. | 1,600 | 18,300 | ||||||||
Legal & General Group PLC | 13,473 | 48,257 | ||||||||
Lincoln National Corp. | 446 | 29,565 | ||||||||
Loews Corp. | 1,014 | 49,554 | ||||||||
Manulife Financial Corp. | 2,171 | 40,955 | ||||||||
Mapfre SA | 8,898 | 26,989 | ||||||||
Markel Corp.(b) | 39 | 42,786 | ||||||||
Marsh & McLennan Cos., Inc. | 753 | 60,519 | ||||||||
Medibank Pvt Ltd. | 7,758 | 17,144 | ||||||||
MetLife, Inc. | 661 | 30,399 | ||||||||
MS&AD Insurance Group Holdings, Inc. | 400 | 12,691 | ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | 212 | 43,579 | ||||||||
New China Life Insurance Co., Ltd. – Class H | 74,000 | 333,740 | ||||||||
NN Group NV | 985 | 42,321 | ||||||||
Old Mutual PLC | 9,763 | 31,049 | ||||||||
Poste Italiane SpA(a) | 5,111 | 43,774 | ||||||||
Power Corp. of Canada | 1,760 | 41,007 | ||||||||
Power Financial Corp. | 1,872 | 46,648 | ||||||||
Principal Financial Group, Inc. | 589 | 32,866 | ||||||||
Progressive Corp. (The) | 1,147 | 71,217 | ||||||||
Prudential Financial, Inc. | 336 | 32,538 | ||||||||
Prudential PLC | 1,555 | 37,352 | ||||||||
QBE Insurance Group Ltd. | 1,386 | 9,899 | ||||||||
Reinsurance Group of America, Inc. – Class A | 376 | 56,189 | ||||||||
RenaissanceRe Holdings Ltd. | 388 | 47,635 | ||||||||
RSA Insurance Group PLC | 5,407 | 46,782 | ||||||||
Sampo Oyj – Class A | 886 | 43,754 | ||||||||
SCOR SE | 791 | 29,142 | ||||||||
Sompo Holdings, Inc. | 400 | 17,323 | ||||||||
Sony Financial Holdings, Inc. | 1,072 | 19,627 | ||||||||
Sun Life Financial, Inc. | 1,344 | 55,549 | ||||||||
Suncorp Group Ltd. | 1,549 | 15,688 | ||||||||
Swiss Life Holding AG(b) | 132 | 45,024 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 21 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Swiss Re AG | 469 | $ | 40,330 | |||||||
T&D Holdings, Inc. | 1,250 | 19,645 | ||||||||
Tokio Marine Holdings, Inc. | 400 | 19,186 | ||||||||
Torchmark Corp. | 598 | 50,728 | ||||||||
Travelers Cos., Inc. (The) | 464 | 59,633 | ||||||||
Trisura Group Ltd.(b) | 7 | 141 | ||||||||
Tryg A/S | 1,864 | 42,908 | ||||||||
UnipolSai Assicurazioni SpA | 12,165 | 26,768 | ||||||||
Unum Group | 830 | 32,212 | ||||||||
Willis Towers Watson PLC | 352 | 53,205 | ||||||||
WR Berkley Corp. | 735 | 56,205 | ||||||||
XL Group Ltd. | 1,187 | 65,973 | ||||||||
Zurich Insurance Group AG | 154 | 45,640 | ||||||||
|
| |||||||||
3,664,558 | ||||||||||
|
| |||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.0% | ||||||||||
AGNC Investment Corp. | 2,408 | 45,319 | ||||||||
Annaly Capital Management, Inc. | 3,658 | 38,153 | ||||||||
|
| |||||||||
83,472 | ||||||||||
|
| |||||||||
Thrifts & Mortgage Finance – 0.0% | ||||||||||
New York Community Bancorp, Inc. | 3,312 | 38,386 | ||||||||
|
| |||||||||
12,508,019 | ||||||||||
|
| |||||||||
Information Technology – 3.2% | ||||||||||
Communications Equipment – 0.2% | ||||||||||
Cisco Systems, Inc. | 2,148 | 91,741 | ||||||||
F5 Networks, Inc.(b) | 462 | 79,977 | ||||||||
Juniper Networks, Inc. | 2,077 | 55,331 | ||||||||
Motorola Solutions, Inc. | 840 | 90,166 | ||||||||
Nokia Oyj | 5,115 | 29,411 | ||||||||
Palo Alto Networks, Inc.(b) | 297 | 61,803 | ||||||||
Telefonaktiebolaget LM Ericsson – Class B | 4,594 | 33,348 | ||||||||
|
| |||||||||
441,777 | ||||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||||
Alps Electric Co., Ltd. | 500 | 11,776 | ||||||||
Amphenol Corp. – Class A | 1,084 | 94,232 | ||||||||
Arrow Electronics, Inc.(b) | 775 | 57,443 | ||||||||
Avnet, Inc. | 1,566 | 59,696 | ||||||||
CDW Corp./DE | 1,016 | 81,331 | ||||||||
Corning, Inc. | 2,176 | 59,122 | ||||||||
Flex Ltd.(b) | 3,294 | 45,754 | ||||||||
FLIR Systems, Inc. | 1,824 | 98,314 | ||||||||
Hamamatsu Photonics KK | 600 | 25,964 | ||||||||
Hexagon AB – Class B | 836 | 47,176 | ||||||||
Hirose Electric Co., Ltd. | 105 | 13,629 |
22 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Hitachi High-Technologies Corp. | 500 | $ | 22,696 | |||||||
Hitachi Ltd. | 4,000 | 29,123 | ||||||||
Ingenico Group SA | 325 | 26,027 | ||||||||
Keyence Corp. | 100 | 61,081 | ||||||||
Kyocera Corp. | 400 | 23,605 | ||||||||
Murata Manufacturing Co., Ltd. | 100 | 14,801 | ||||||||
Nippon Electric Glass Co., Ltd. | 400 | 10,809 | ||||||||
Omron Corp. | 500 | 26,133 | ||||||||
Shimadzu Corp. | 1,100 | 30,240 | ||||||||
TDK Corp. | 300 | 26,807 | ||||||||
TE Connectivity Ltd. | 878 | 81,724 | ||||||||
Trimble, Inc.(b) | 1,320 | 43,639 | ||||||||
Yaskawa Electric Corp. | 1,000 | 40,091 | ||||||||
Yokogawa Electric Corp. | 1,200 | 21,815 | ||||||||
|
| |||||||||
1,053,028 | ||||||||||
|
| |||||||||
Internet Software & Services – 0.3% | ||||||||||
Akamai Technologies, Inc.(b) | 806 | 60,756 | ||||||||
Alphabet, Inc. – Class A(b) | 78 | 85,800 | ||||||||
Alphabet, Inc. – Class C(b) | 76 | 82,459 | ||||||||
Cars.com, Inc.(b) | 283 | 7,267 | ||||||||
DeNA Co., Ltd. | 600 | 11,510 | ||||||||
eBay, Inc.(b) | 1,712 | 64,577 | ||||||||
Facebook, Inc. – Class A(b) | 387 | 74,219 | ||||||||
Kakaku.com, Inc. | 1,400 | 30,327 | ||||||||
MercadoLibre, Inc. | 134 | 38,971 | ||||||||
Mixi, Inc. | 300 | 9,377 | ||||||||
OneMarket Ltd.(b) | 129 | 149 | ||||||||
REA Group Ltd. | 310 | 20,037 | ||||||||
Twitter, Inc.(b) | 1,866 | 64,750 | ||||||||
United Internet AG | 623 | 39,684 | ||||||||
VeriSign, Inc.(b) | 824 | 107,483 | ||||||||
Yahoo Japan Corp. | 4,600 | 16,672 | ||||||||
Zillow Group, Inc. – Class C(b)(c) | 848 | 49,464 | ||||||||
|
| |||||||||
763,502 | ||||||||||
|
| |||||||||
IT Services – 0.8% | ||||||||||
Accenture PLC – Class A | 613 | 95,469 | ||||||||
Alliance Data Systems Corp. | 215 | 45,326 | ||||||||
Amadeus IT Group SA – Class A | 787 | 62,492 | ||||||||
Atos SE | 247 | 33,532 | ||||||||
Automatic Data Processing, Inc. | 831 | 108,047 | ||||||||
Black Knight, Inc.(b) | 362 | 18,317 | ||||||||
Broadridge Financial Solutions, Inc. | 1,174 | 135,538 | ||||||||
Capgemini SE | 360 | 47,477 | ||||||||
CGI Group, Inc. – Class A(b) | 1,595 | 98,054 | ||||||||
Cognizant Technology Solutions Corp. – Class A | 1,099 | 82,810 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 23 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Computershare Ltd. | 1,857 | $ | 24,246 | |||||||
DXC Technology Co. | 635 | 58,490 | ||||||||
Fidelity National Information Services, Inc. | 969 | 99,051 | ||||||||
First Data Corp. – Class A(b) | 3,401 | 64,619 | ||||||||
Fiserv, Inc.(b) | 1,338 | 97,139 | ||||||||
FleetCor Technologies, Inc.(b) | 249 | 49,638 | ||||||||
Fujitsu Ltd. | 2,000 | 12,195 | ||||||||
Gartner, Inc.(b) | 575 | 76,325 | ||||||||
Global Payments, Inc. | 567 | 63,028 | ||||||||
International Business Machines Corp. | 502 | 70,938 | ||||||||
Mastercard, Inc. – Class A | 649 | 123,388 | ||||||||
Nomura Research Institute Ltd. | 700 | 35,085 | ||||||||
NTT Data Corp. | 2,000 | 22,335 | ||||||||
Obic Co., Ltd. | 300 | 25,822 | ||||||||
Otsuka Corp. | 600 | 24,733 | ||||||||
Paychex, Inc. | 1,472 | 96,534 | ||||||||
PayPal Holdings, Inc.(b) | 1,263 | 103,654 | ||||||||
Sabre Corp. | 2,420 | 59,314 | ||||||||
Total System Services, Inc. | 1,066 | 90,813 | ||||||||
Visa, Inc. – Class A | 718 | 93,857 | ||||||||
Western Union Co. (The) – Class W | 3,117 | 61,997 | ||||||||
Worldpay, Inc. – Class A(b) | 1,056 | 83,920 | ||||||||
|
| |||||||||
2,164,183 | ||||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment – 0.5% | ||||||||||
Advanced Micro Devices, Inc.(b) | 2,015 | 27,666 | ||||||||
Analog Devices, Inc. | 607 | 58,988 | ||||||||
Applied Materials, Inc. | 967 | 49,104 | ||||||||
ASM Pacific Technology Ltd. | 1,400 | 18,263 | ||||||||
ASML Holding NV | 269 | 52,805 | ||||||||
Broadcom, Inc. | 205 | 51,674 | ||||||||
Infineon Technologies AG | 1,599 | 43,947 | ||||||||
Intel Corp. | 1,884 | 103,997 | ||||||||
KLA-Tencor Corp. | 609 | 68,957 | ||||||||
Lam Research Corp. | 384 | 76,101 | ||||||||
Marvell Technology Group Ltd. | 2,554 | 55,013 | ||||||||
Maxim Integrated Products, Inc. | 1,384 | 81,172 | ||||||||
Microchip Technology, Inc. | 789 | 76,833 | ||||||||
Micron Technology, Inc.(b) | 1,172 | 67,495 | ||||||||
NVIDIA Corp. | 256 | 64,561 | ||||||||
NXP Semiconductors NV(b) | 516 | 58,824 | ||||||||
Qorvo, Inc.(b) | 444 | 35,631 | ||||||||
QUALCOMM, Inc. | 984 | 57,190 | ||||||||
Rohm Co., Ltd. | 200 | 18,417 | ||||||||
Skyworks Solutions, Inc. | 431 | 42,501 | ||||||||
STMicroelectronics NV | 1,365 | 32,547 |
24 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Texas Instruments, Inc. | 847 | $ | 94,788 | |||||||
Tokyo Electron Ltd. | 100 | 18,661 | ||||||||
Xilinx, Inc. | 811 | 55,237 | ||||||||
|
| |||||||||
1,310,372 | ||||||||||
|
| |||||||||
Software – 0.8% | ||||||||||
Activision Blizzard, Inc. | 841 | 59,635 | ||||||||
Adobe Systems, Inc.(b) | 449 | 111,927 | ||||||||
ANSYS, Inc.(b) | 635 | 103,378 | ||||||||
Autodesk, Inc.(b) | 395 | 50,994 | ||||||||
BlackBerry Ltd.(b) | 2,745 | 32,497 | ||||||||
CA, Inc. | 2,135 | 76,305 | ||||||||
Cadence Design Systems, Inc.(b) | 1,796 | 76,240 | ||||||||
CDK Global, Inc. | 1,015 | 65,315 | ||||||||
Citrix Systems, Inc.(b) | 604 | 63,794 | ||||||||
Constellation Software, Inc./Canada | 106 | 83,487 | ||||||||
Dassault Systemes SE | 646 | 90,688 | ||||||||
Dell Technologies, Inc. – Class V(b) | 758 | 61,140 | ||||||||
Electronic Arts, Inc.(b) | 495 | 64,800 | ||||||||
Fortinet, Inc.(b) | 1,023 | 62,587 | ||||||||
Gemalto NV(b) | 365 | 21,395 | ||||||||
Intuit, Inc. | 570 | 114,912 | ||||||||
Konami Holdings Corp. | 400 | 18,738 | ||||||||
LINE Corp.(b) | 600 | 21,850 | ||||||||
Micro Focus International PLC | 417 | 7,381 | ||||||||
Microsoft Corp. | 995 | 98,346 | ||||||||
Nexon Co., Ltd.(b) | 2,200 | 36,295 | ||||||||
Nintendo Co., Ltd. | 100 | 40,934 | ||||||||
Nuance Communications, Inc.(b) | 2,749 | 37,139 | ||||||||
Open Text Corp. | 1,658 | 57,837 | ||||||||
Oracle Corp. | 1,536 | 71,762 | ||||||||
Oracle Corp. Japan | 400 | 30,354 | ||||||||
Red Hat, Inc.(b) | 568 | 92,255 | ||||||||
Sage Group PLC (The) | 5,404 | 47,505 | ||||||||
salesforce.com, Inc.(b) | 534 | 69,062 | ||||||||
SAP SE | 466 | 52,494 | ||||||||
ServiceNow, Inc.(b) | 428 | 76,017 | ||||||||
Splunk, Inc.(b) | 575 | 63,716 | ||||||||
Symantec Corp. | 1,835 | 38,131 | ||||||||
Synopsys, Inc.(b) | 974 | 85,780 | ||||||||
Trend Micro, Inc./Japan | 400 | 22,614 | ||||||||
VMware, Inc. – Class A(b) | 527 | 72,452 | ||||||||
Workday, Inc. – Class A(b) | 384 | 50,289 | ||||||||
|
| |||||||||
2,230,045 | ||||||||||
|
|
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 25 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Technology Hardware, Storage & Peripherals – 0.2% | ||||||||||
Apple, Inc. | 407 | $ | 76,056 | |||||||
Brother Industries Ltd. | 900 | 18,750 | ||||||||
Canon, Inc. | 900 | 30,690 | ||||||||
FUJIFILM Holdings Corp. | 600 | 22,960 | ||||||||
Hewlett Packard Enterprise Co. | 3,043 | 46,375 | ||||||||
HP, Inc. | 2,579 | 56,816 | ||||||||
Konica Minolta, Inc. | 2,400 | 21,832 | ||||||||
NEC Corp. | 700 | 19,678 | ||||||||
NetApp, Inc. | 1,082 | 73,922 | ||||||||
Ricoh Co., Ltd. | 2,300 | 20,757 | ||||||||
Seagate Technology PLC | 978 | 55,110 | ||||||||
Seiko Epson Corp. | 900 | 15,723 | ||||||||
Western Digital Corp. | 465 | 38,832 | ||||||||
Xerox Corp. | 1,717 | 46,668 | ||||||||
|
| |||||||||
544,169 | ||||||||||
|
| |||||||||
8,507,076 | ||||||||||
|
| |||||||||
Industrials – 2.8% | ||||||||||
Aerospace & Defense – 0.4% | ||||||||||
Airbus SE | 181 | 20,649 | ||||||||
Arconic, Inc. | 824 | 14,544 | ||||||||
BAE Systems PLC | 2,639 | 22,402 | ||||||||
Boeing Co. (The) | 219 | 77,123 | ||||||||
Bombardier, Inc. – Class B(b) | 7,317 | 27,539 | ||||||||
CAE, Inc. | 2,809 | 59,165 | ||||||||
Cobham PLC(b) | 9,287 | 15,341 | ||||||||
Dassault Aviation SA | 11 | 21,245 | ||||||||
General Dynamics Corp. | 241 | 48,612 | ||||||||
Harris Corp. | 675 | 101,567 | ||||||||
Huntington Ingalls Industries, Inc. | 180 | 39,793 | ||||||||
L3 Technologies, Inc. | 265 | 52,557 | ||||||||
Leonardo SpA | 684 | 6,968 | ||||||||
Lockheed Martin Corp. | 198 | 62,279 | ||||||||
Meggitt PLC | 2,664 | 17,389 | ||||||||
Northrop Grumman Corp. | 198 | 64,795 | ||||||||
Raytheon Co. | 297 | 62,222 | ||||||||
Rockwell Collins, Inc. | 452 | 62,155 | ||||||||
Rolls-Royce Holdings PLC(b) | 1,271 | 13,910 | ||||||||
Rolls-Royce Holdings PLC(b)(d) | 90,241 | 120 | ||||||||
Safran SA | 174 | 20,754 | ||||||||
Singapore Technologies Engineering Ltd. | 4,200 | 10,886 | ||||||||
Textron, Inc. | 720 | 47,938 | ||||||||
Thales SA | 192 | 24,418 | ||||||||
TransDigm Group, Inc. | 93 | 31,072 | ||||||||
United Technologies Corp. | 418 | 52,175 | ||||||||
|
| |||||||||
977,618 | ||||||||||
|
|
26 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Air Freight & Logistics – 0.1% | ||||||||||
Bollore SA | 3,319 | $ | 16,353 | |||||||
CH Robinson Worldwide, Inc. | 534 | 46,458 | ||||||||
Deutsche Post AG (REG) | 500 | 18,963 | ||||||||
Expeditors International of Washington, Inc. | 744 | 55,413 | ||||||||
FedEx Corp. | 189 | 47,084 | ||||||||
Kuehne & Nagel International AG (REG) | 139 | 20,986 | ||||||||
Royal Mail PLC | 3,581 | 24,096 | ||||||||
United Parcel Service, Inc. – Class B | 471 | 54,692 | ||||||||
Yamato Holdings Co., Ltd. | 400 | 11,454 | ||||||||
|
| |||||||||
295,499 | ||||||||||
|
| |||||||||
Airlines – 0.1% | ||||||||||
American Airlines Group, Inc. | 507 | 22,075 | ||||||||
ANA Holdings, Inc. | 400 | 16,061 | ||||||||
Cathay Pacific Airways Ltd. | 8,000 | 13,003 | ||||||||
Delta Air Lines, Inc. | 566 | 30,592 | ||||||||
Deutsche Lufthansa AG (REG) | 656 | 17,803 | ||||||||
easyJet PLC | 784 | 17,783 | ||||||||
International Consolidated Airlines Group SA | 1,885 | 17,131 | ||||||||
Japan Airlines Co., Ltd. | 400 | 15,468 | ||||||||
Qantas Airways Ltd. | 2,474 | 11,840 | ||||||||
Singapore Airlines Ltd. | 1,500 | 12,595 | ||||||||
Southwest Airlines Co. | 528 | 26,970 | ||||||||
United Continental Holdings, Inc.(b) | 315 | 21,921 | ||||||||
|
| |||||||||
223,242 | ||||||||||
|
| |||||||||
Building Products – 0.1% | ||||||||||
AO Smith Corp. | 711 | 44,843 | ||||||||
Asahi Glass Co., Ltd. | 200 | 8,159 | ||||||||
Assa Abloy AB – Class B | 848 | 18,231 | ||||||||
Cie de Saint-Gobain | 254 | 12,719 | ||||||||
Daikin Industries Ltd. | 100 | 11,508 | ||||||||
Fortune Brands Home & Security, Inc. | 681 | 38,252 | ||||||||
Geberit AG (REG) | 50 | 21,668 | ||||||||
Johnson Controls International PLC | 1,024 | 34,365 | ||||||||
LIXIL Group Corp. | 400 | 8,809 | ||||||||
Masco Corp. | 1,061 | 39,543 | ||||||||
TOTO Ltd. | 300 | 15,641 | ||||||||
|
| |||||||||
253,738 | ||||||||||
|
| |||||||||
Commercial Services & Supplies – 0.2% | ||||||||||
Babcock International Group PLC | 1,434 | 15,865 | ||||||||
Brambles Ltd. | 1,685 | 11,475 | ||||||||
Cintas Corp. | 386 | 70,349 | ||||||||
Dai Nippon Printing Co., Ltd. | 500 | 10,718 | ||||||||
Edenred | 463 | 14,848 | ||||||||
G4S PLC | 3,969 | 14,222 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 27 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
ISS A/S | 413 | $ | 14,127 | |||||||
Park24 Co., Ltd. | 400 | 10,783 | ||||||||
Republic Services, Inc. – Class A | 966 | 65,137 | ||||||||
Secom Co., Ltd. | 200 | 14,871 | ||||||||
Securitas AB – Class B | 1,405 | 22,636 | ||||||||
Societe BIC SA | 160 | 15,562 | ||||||||
Sohgo Security Services Co., Ltd. | 200 | 9,122 | ||||||||
Stericycle, Inc.(b) | 372 | 23,622 | ||||||||
Toppan Printing Co., Ltd. | 1,000 | 8,131 | ||||||||
Waste Connections, Inc. | 891 | 68,500 | ||||||||
Waste Management, Inc. | 916 | 75,762 | ||||||||
|
| |||||||||
465,730 | ||||||||||
|
| |||||||||
Construction & Engineering – 0.4% | ||||||||||
ACS Actividades de Construccion y Servicios SA | 441 | 18,370 | ||||||||
Boskalis Westminster | 549 | 15,123 | ||||||||
Bouygues SA | 319 | 14,730 | ||||||||
China Communications Construction Co., Ltd. – Class H | 248,000 | 265,346 | ||||||||
China Railway Construction Corp., Ltd. – Class H | 224,500 | 253,614 | ||||||||
China Railway Group Ltd. – Class H | 360,000 | 289,511 | ||||||||
CIMIC Group Ltd. | 319 | 9,921 | ||||||||
Eiffage SA | 192 | 21,627 | ||||||||
Ferrovial SA | 951 | 19,441 | ||||||||
Fluor Corp. | 716 | 34,898 | ||||||||
HOCHTIEF AG | 79 | 14,477 | ||||||||
Jacobs Engineering Group, Inc. | 615 | 39,852 | ||||||||
JGC Corp. | 700 | 14,549 | ||||||||
Kajima Corp. | 2,000 | 16,273 | ||||||||
Obayashi Corp. | 1,000 | 10,061 | ||||||||
Orascom Construction Ltd.(b) | 173 | 1,497 | ||||||||
Shimizu Corp. | 1,000 | 9,749 | ||||||||
Skanska AB – Class B | 763 | 14,053 | ||||||||
SNC-Lavalin Group, Inc. | 1,097 | 47,853 | ||||||||
Taisei Corp. | 400 | 21,916 | ||||||||
Vinci SA | 175 | 17,212 | ||||||||
|
| |||||||||
1,150,073 | ||||||||||
|
| |||||||||
Electrical Equipment – 0.2% | ||||||||||
ABB Ltd. (REG) | 788 | 17,827 | ||||||||
Acuity Brands, Inc. | 140 | 16,555 | ||||||||
AMETEK, Inc. | 672 | 49,076 | ||||||||
Eaton Corp. PLC | 547 | 41,889 | ||||||||
Emerson Electric Co. | 688 | 48,738 | ||||||||
Fuji Electric Co., Ltd. | 2,000 | 14,177 |
28 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Legrand SA | 296 | $ | 22,321 | |||||||
Mabuchi Motor Co., Ltd. | 200 | 9,238 | ||||||||
Mitsubishi Electric Corp. | 700 | 9,920 | ||||||||
Nidec Corp. | 100 | 15,439 | ||||||||
nVent Electric PLC(b) | 481 | 13,026 | ||||||||
OSRAM Licht AG | 209 | 12,329 | ||||||||
Prysmian SpA | 537 | 15,026 | ||||||||
Rockwell Automation, Inc. | 235 | 41,221 | ||||||||
Schneider Electric SE (Paris) | 198 | 17,116 | ||||||||
Sensata Technologies Holding PLC(b) | 858 | 43,835 | ||||||||
Vestas Wind Systems A/S | 152 | 9,959 | ||||||||
|
| |||||||||
397,692 | ||||||||||
|
| |||||||||
Industrial Conglomerates – 0.1% | ||||||||||
3M Co. | 284 | 56,013 | ||||||||
CK Hutchison Holdings Ltd. | 1,184 | 13,332 | ||||||||
DCC PLC | 173 | 16,570 | ||||||||
General Electric Co. | 1,596 | 22,472 | ||||||||
Honeywell International, Inc. | 378 | 55,910 | ||||||||
Jardine Matheson Holdings Ltd. | 200 | 12,435 | ||||||||
Jardine Strategic Holdings Ltd. | 300 | 10,722 | ||||||||
Keihan Holdings Co., Ltd. | 400 | 13,514 | ||||||||
Keppel Corp., Ltd. | 2,400 | 13,758 | ||||||||
NWS Holdings Ltd. | 5,257 | 9,757 | ||||||||
Roper Technologies, Inc. | 184 | 50,745 | ||||||||
Seibu Holdings, Inc. | 600 | 9,844 | ||||||||
Sembcorp Industries Ltd. | 4,900 | 10,690 | ||||||||
Siemens AG (REG) | 118 | 15,379 | ||||||||
Smiths Group PLC | 1,381 | 32,271 | ||||||||
Toshiba Corp.(b) | 2,000 | 5,612 | ||||||||
|
| |||||||||
349,024 | ||||||||||
|
| |||||||||
Machinery – 0.5% | ||||||||||
AGCO Corp. | 496 | 31,546 | ||||||||
Alfa Laval AB | 849 | 21,197 | ||||||||
Alstom SA | 518 | 24,506 | ||||||||
Amada Holdings Co., Ltd. | 900 | 9,734 | ||||||||
ANDRITZ AG | 354 | 17,658 | ||||||||
Atlas Copco AB | 436 | 17,295 | ||||||||
Atlas Copco AB – Class B SHS | 520 | 18,801 | ||||||||
Caterpillar, Inc. | 323 | 49,067 | ||||||||
CNH Industrial NV | 1,193 | 13,943 | ||||||||
Cummins, Inc. | 221 | 31,468 | ||||||||
Deere & Co. | 289 | 43,208 | ||||||||
Dover Corp. | 428 | 33,046 | ||||||||
FANUC Corp. | 100 | 21,155 | ||||||||
Flowserve Corp. | 599 | 24,763 | ||||||||
Fortive Corp. | 674 | 48,993 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 29 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
GEA Group AG | 378 | $ | 13,895 | |||||||
Hino Motors Ltd. | 900 | 10,043 | ||||||||
Hitachi Construction Machinery Co., Ltd. | 400 | 14,655 | ||||||||
Hoshizaki Corp. | 100 | 10,029 | ||||||||
IHI Corp. | 200 | 7,485 | ||||||||
Illinois Tool Works, Inc. | 349 | 50,151 | ||||||||
IMI PLC | 1,187 | 18,283 | ||||||||
Ingersoll-Rand PLC | 469 | 41,056 | ||||||||
JTEKT Corp. | 700 | 10,147 | ||||||||
Kawasaki Heavy Industries Ltd. | 300 | 9,059 | ||||||||
Komatsu Ltd. | 400 | 13,051 | ||||||||
Kone Oyj – Class B | 326 | 16,128 | ||||||||
Kubota Corp. | 700 | 11,753 | ||||||||
Kurita Water Industries Ltd. | 400 | 11,447 | ||||||||
Makita Corp. | 300 | 13,331 | ||||||||
MAN SE | 62 | 6,745 | ||||||||
Metso Oyj | 392 | 13,566 | ||||||||
Middleby Corp. (The)(b) | 251 | 25,005 | ||||||||
MINEBEA MITSUMI, Inc. | 500 | 9,436 | ||||||||
MISUMI Group, Inc. | 500 | 14,403 | ||||||||
Mitsubishi Heavy Industries Ltd. | 300 | 11,317 | ||||||||
Nabtesco Corp. | 400 | 12,987 | ||||||||
NGK Insulators Ltd. | 600 | 10,899 | ||||||||
NSK Ltd. | 600 | 6,789 | ||||||||
PACCAR, Inc. | 502 | 31,240 | ||||||||
Parker-Hannifin Corp. | 211 | 36,060 | ||||||||
Pentair PLC | 481 | 20,991 | ||||||||
Sandvik AB | 907 | 15,731 | ||||||||
Schindler Holding AG | 78 | 16,495 | ||||||||
Schindler Holding AG (REG) | 81 | 16,629 | ||||||||
SKF AB – Class B | 706 | 13,727 | ||||||||
Snap-on, Inc. | 233 | 34,442 | ||||||||
Stanley Black & Decker, Inc. | 329 | 45,810 | ||||||||
Sumitomo Heavy Industries Ltd. | 400 | 14,066 | ||||||||
THK Co., Ltd. | 400 | 14,107 | ||||||||
Volvo AB – Class B | 910 | 15,651 | ||||||||
WABCO Holdings, Inc.(b) | 273 | 33,014 | ||||||||
Wabtec Corp./DE | 449 | 43,782 | ||||||||
Wartsila Oyj Abp | 732 | 15,491 | ||||||||
Weir Group PLC (The) | 503 | 14,605 | ||||||||
Xylem, Inc./NY | 796 | 56,038 | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 12,600 | 9,019 | ||||||||
Zardoya Otis SA | 1,731 | 16,576 | ||||||||
|
| |||||||||
1,231,514 | ||||||||||
|
| |||||||||
Marine – 0.0% | ||||||||||
AP Moller – Maersk A/S – Class A | 10 | 14,033 | ||||||||
AP Moller – Maersk A/S – Class B | 9 | 13,419 |
30 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Mitsui OSK Lines Ltd. | 300 | $ | 7,901 | |||||||
Nippon Yusen KK | 500 | 10,147 | ||||||||
|
| |||||||||
45,500 | ||||||||||
|
| |||||||||
Professional Services – 0.2% | ||||||||||
Adecco Group AG (REG) | 233 | 13,991 | ||||||||
Bureau Veritas SA | 963 | 23,891 | ||||||||
Capita PLC | 1,612 | 2,901 | ||||||||
CoStar Group, Inc.(b) | 287 | 109,410 | ||||||||
Dun & Bradstreet Corp. (The) | 311 | 38,194 | ||||||||
Equifax, Inc. | 383 | 43,647 | ||||||||
Experian PLC | 1,125 | 27,560 | ||||||||
Intertek Group PLC | 254 | 18,422 | ||||||||
ManpowerGroup, Inc. | 340 | 30,600 | ||||||||
Nielsen Holdings PLC | 827 | 24,951 | ||||||||
Randstad NV | 258 | 15,387 | ||||||||
Recruit Holdings Co., Ltd. | 600 | 16,627 | ||||||||
RELX NV | 1,139 | 24,835 | ||||||||
RELX PLC | 1,122 | 24,610 | ||||||||
Robert Half International, Inc. | 701 | 44,640 | ||||||||
SEEK Ltd. | 867 | 13,195 | ||||||||
SGS SA (REG) | 10 | 25,905 | ||||||||
Verisk Analytics, Inc. – Class A(b) | 637 | 67,675 | ||||||||
Wolters Kluwer NV | 490 | 27,526 | ||||||||
|
| |||||||||
593,967 | ||||||||||
|
| |||||||||
Road & Rail – 0.2% | ||||||||||
AMERCO | 94 | 30,356 | ||||||||
Aurizon Holdings Ltd. | 2,894 | 9,391 | ||||||||
Canadian National Railway Co. (Toronto) | 661 | 55,185 | ||||||||
Canadian Pacific Railway Ltd. | 280 | 53,989 | ||||||||
Central Japan Railway Co. | 84 | 17,328 | ||||||||
ComfortDelGro Corp., Ltd. | 6,300 | 11,534 | ||||||||
CSX Corp. | 526 | 34,006 | ||||||||
DSV A/S | 295 | 24,497 | ||||||||
East Japan Railway Co. | 200 | 19,741 | ||||||||
Hankyu Hanshin Holdings, Inc. | 300 | 12,341 | ||||||||
JB Hunt Transport Services, Inc. | 438 | 56,108 | ||||||||
Kansas City Southern | 333 | 35,681 | ||||||||
Keikyu Corp. | 500 | 8,404 | ||||||||
Keio Corp. | 200 | 9,269 | ||||||||
Keisei Electric Railway Co., Ltd. | 400 | 13,536 | ||||||||
Kintetsu Group Holdings Co., Ltd. | 300 | 12,531 | ||||||||
MTR Corp., Ltd. | 3,000 | 16,859 | ||||||||
Nagoya Railroad Co., Ltd. | 400 | 10,265 | ||||||||
Nippon Express Co., Ltd. | 200 | 14,989 | ||||||||
Norfolk Southern Corp. | 311 | 47,163 | ||||||||
Odakyu Electric Railway Co., Ltd. | 600 | 12,951 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 31 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Tobu Railway Co., Ltd. | 400 | $ | 12,366 | |||||||
Tokyu Corp. | 1,000 | 17,732 | ||||||||
Union Pacific Corp. | 324 | 46,254 | ||||||||
West Japan Railway Co. | 218 | 15,637 | ||||||||
|
| |||||||||
598,113 | ||||||||||
|
| |||||||||
Trading Companies & Distributors – 0.2% | ||||||||||
AerCap Holdings NV(b) | 317 | 17,533 | ||||||||
Ashtead Group PLC | 560 | 17,308 | ||||||||
Brenntag AG | 322 | 18,544 | ||||||||
Bunzl PLC | 677 | 20,589 | ||||||||
Fastenal Co. | 755 | 40,189 | ||||||||
Ferguson PLC | 313 | 24,270 | ||||||||
Finning International, Inc. | 1,846 | 45,915 | ||||||||
ITOCHU Corp. | 1,000 | 18,712 | ||||||||
Marubeni Corp. | 2,200 | 17,066 | ||||||||
Mitsubishi Corp. | 600 | 16,630 | ||||||||
Mitsui & Co., Ltd. | 1,100 | 19,303 | ||||||||
Rexel SA | 970 | 14,270 | ||||||||
Sumitomo Corp. | 1,000 | 16,715 | ||||||||
Toyota Tsusho Corp. | 400 | 13,744 | ||||||||
Travis Perkins PLC | 782 | 13,972 | ||||||||
United Rentals, Inc.(b) | 195 | 31,116 | ||||||||
WW Grainger, Inc. | 196 | 60,562 | ||||||||
|
| |||||||||
406,438 | ||||||||||
|
| |||||||||
Transportation Infrastructure – 0.1% | ||||||||||
Abertis Infraestructuras SA | 1,446 | 31,079 | ||||||||
Aena SME SA(a) | 131 | 25,225 | ||||||||
Aeroports de Paris | 132 | 27,541 | ||||||||
Atlantia SpA | 613 | 17,771 | ||||||||
Auckland International Airport Ltd. | 2,334 | 10,764 | ||||||||
Fraport AG Frankfurt Airport Services Worldwide | 264 | 24,701 | ||||||||
Getlink (REG) | 1,705 | 23,091 | ||||||||
Hutchison Port Holdings Trust – Class U | 27,300 | 7,484 | ||||||||
Japan Airport Terminal Co., Ltd. | 300 | 13,792 | ||||||||
Kamigumi Co., Ltd. | 500 | 10,894 | ||||||||
Macquarie Infrastructure Corp.(c) | 570 | 22,059 | ||||||||
Mitsubishi Logistics Corp. | 500 | 10,551 | ||||||||
SATS Ltd. | 2,900 | 11,129 | ||||||||
Sydney Airport | 2,782 | 15,292 | ||||||||
Transurban Group | 1,694 | 15,172 | ||||||||
|
| |||||||||
266,545 | ||||||||||
|
| |||||||||
7,254,693 | ||||||||||
|
| |||||||||
Health Care – 2.6% | ||||||||||
Biotechnology – 0.2% | ||||||||||
AbbVie, Inc. | 784 | 77,569 | ||||||||
Alexion Pharmaceuticals, Inc.(b) | 232 | 26,942 |
32 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Alkermes PLC(b)(c) | 331 | $ | 15,623 | |||||||
Amgen, Inc. | 320 | 57,479 | ||||||||
Biogen, Inc.(b) | 169 | 49,679 | ||||||||
BioMarin Pharmaceutical, Inc.(b) | 341 | 30,806 | ||||||||
Celgene Corp.(b) | 350 | 27,538 | ||||||||
CSL Ltd. | 450 | 63,166 | ||||||||
Genmab A/S(b) | 279 | 41,942 | ||||||||
Gilead Sciences, Inc. | 703 | 47,382 | ||||||||
Grifols SA | 2,271 | 66,948 | ||||||||
Idorsia Ltd.(b) | 213 | 5,159 | ||||||||
Incyte Corp.(b) | 189 | 12,903 | ||||||||
Regeneron Pharmaceuticals, Inc.(b) | 66 | 19,821 | ||||||||
Seattle Genetics, Inc.(b) | 303 | 18,329 | ||||||||
United Therapeutics Corp.(b) | 217 | 23,128 | ||||||||
Vertex Pharmaceuticals, Inc.(b) | 246 | 37,884 | ||||||||
|
| |||||||||
622,298 | ||||||||||
|
| |||||||||
Health Care Equipment & | ||||||||||
Abbott Laboratories | 1,269 | 78,082 | ||||||||
Align Technology, Inc.(b) | 301 | 99,917 | ||||||||
Arjo AB – Class B | 2,759 | 9,229 | ||||||||
Baxter International, Inc. | 1,040 | 73,674 | ||||||||
Becton Dickinson and Co. | 362 | 80,216 | ||||||||
Boston Scientific Corp.(b) | 1,769 | 53,760 | ||||||||
Cochlear Ltd. | 378 | 55,946 | ||||||||
Coloplast A/S – Class B | 742 | 70,502 | ||||||||
Cooper Cos., Inc. (The) | 246 | 55,672 | ||||||||
CYBERDYNE, Inc.(b) | 3,000 | 38,321 | ||||||||
Danaher Corp. | 776 | 77,041 | ||||||||
DENTSPLY SIRONA, Inc. | 989 | 43,328 | ||||||||
DexCom, Inc.(b)(c) | 430 | 37,836 | ||||||||
Edwards Lifesciences Corp.(b) | 320 | 43,939 | ||||||||
Essilor International Cie Generale d’Optique SA | 493 | 67,467 | ||||||||
Getinge AB – Class B | 2,759 | 26,787 | ||||||||
Hologic, Inc.(b) | 1,129 | 42,778 | ||||||||
Hoya Corp. | 800 | 47,378 | ||||||||
IDEXX Laboratories, Inc.(b) | 330 | 68,709 | ||||||||
Intuitive Surgical, Inc.(b) | 183 | 84,120 | ||||||||
Koninklijke Philips NV | 479 | 19,726 | ||||||||
Medtronic PLC | 683 | 58,957 | ||||||||
Olympus Corp. | 900 | 31,801 | ||||||||
ResMed, Inc. | 778 | 79,986 | ||||||||
Smith & Nephew PLC | 4,175 | 75,766 | ||||||||
Sonova Holding AG (REG) | 433 | 75,631 | ||||||||
Stryker Corp. | 486 | 84,574 | ||||||||
Sysmex Corp. | 700 | 62,830 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 33 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Teleflex, Inc. | 270 | $ | 72,133 | |||||||
Terumo Corp. | 1,000 | 59,174 | ||||||||
Varian Medical Systems, Inc.(b) | 475 | 55,988 | ||||||||
William Demant Holding A/S(b) | 2,432 | 88,550 | ||||||||
Zimmer Biomet Holdings, Inc. | 375 | 41,816 | ||||||||
|
| |||||||||
1,961,634 | ||||||||||
|
| |||||||||
Health Care Providers & Services – 0.6% | ||||||||||
Aetna, Inc. | 367 | 64,640 | ||||||||
Alfresa Holdings Corp. | 2,100 | 52,922 | ||||||||
AmerisourceBergen Corp. – Class A | 482 | 39,591 | ||||||||
Anthem, Inc. | 274 | 60,669 | ||||||||
Cardinal Health, Inc. | 702 | 36,567 | ||||||||
Centene Corp.(b) | 478 | 56,002 | ||||||||
Cigna Corp. | 335 | 56,739 | ||||||||
CVS Health Corp. | 854 | 54,135 | ||||||||
DaVita, Inc.(b) | 632 | 42,243 | ||||||||
Envision Healthcare Corp.(b) | 549 | 23,541 | ||||||||
Express Scripts Holding Co.(b) | 647 | 49,049 | ||||||||
Fresenius Medical Care AG & Co. KGaA | 755 | 75,386 | ||||||||
Fresenius SE & Co. KGaA | 693 | 53,212 | ||||||||
HCA Healthcare, Inc. | 514 | 53,014 | ||||||||
Healthscope Ltd. | 25,489 | 45,202 | ||||||||
Henry Schein, Inc.(b) | 702 | 48,578 | ||||||||
Humana, Inc. | 169 | 49,176 | ||||||||
Laboratory Corp. of America Holdings(b) | 407 | 73,500 | ||||||||
McKesson Corp. | 241 | 34,208 | ||||||||
Mediclinic International PLC | 5,230 | 42,414 | ||||||||
Medipal Holdings Corp. | 2,200 | 50,567 | ||||||||
MEDNAX, Inc.(b) | 637 | 29,206 | ||||||||
Miraca Holdings, Inc. | 900 | 29,150 | ||||||||
Patterson Cos., Inc. | 1,039 | 21,736 | ||||||||
Quest Diagnostics, Inc. | 556 | 59,231 | ||||||||
Ramsay Health Care Ltd. | 768 | 35,556 | ||||||||
Ryman Healthcare Ltd. | 6,840 | 54,481 | ||||||||
Sonic Healthcare Ltd. | 2,611 | 46,395 | ||||||||
Suzuken Co., Ltd./Aichi Japan | 1,300 | 58,103 | ||||||||
UnitedHealth Group, Inc. | 310 | 74,868 | ||||||||
Universal Health Services, Inc. – Class B | 362 | 41,623 | ||||||||
|
| |||||||||
1,511,704 | ||||||||||
|
| |||||||||
Health Care Technology – 0.0% | ||||||||||
Cerner Corp.(b) | 701 | 41,836 | ||||||||
M3, Inc. | 1,500 | 62,443 | ||||||||
|
| |||||||||
104,279 | ||||||||||
|
| |||||||||
Life Sciences Tools & Services – 0.2% | ||||||||||
Agilent Technologies, Inc. | 816 | 50,527 | ||||||||
Eurofins Scientific SE | 116 | 59,591 |
34 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Illumina, Inc.(b) | 183 | $ | 49,856 | |||||||
IQVIA Holdings, Inc.(b) | 646 | 63,909 | ||||||||
Lonza Group AG (REG)(b) | 278 | 74,436 | ||||||||
Mettler-Toledo International, Inc.(b) | 105 | 57,828 | ||||||||
QIAGEN NV(b) | 1,521 | 54,930 | ||||||||
Thermo Fisher Scientific, Inc. | 346 | 72,061 | ||||||||
Waters Corp.(b) | 286 | 55,089 | ||||||||
|
| |||||||||
538,227 | ||||||||||
|
| |||||||||
Pharmaceuticals – 0.8% | ||||||||||
Allergan PLC | 688 | 103,750 | ||||||||
Astellas Pharma, Inc. | 3,100 | 48,006 | ||||||||
AstraZeneca PLC | 729 | 53,185 | ||||||||
Bayer AG (REG) | 484 | 57,767 | ||||||||
Bristol-Myers Squibb Co. | 870 | 45,779 | ||||||||
Chugai Pharmaceutical Co., Ltd. | 1,000 | 56,253 | ||||||||
Daiichi Sankyo Co., Ltd. | 2,000 | 64,007 | ||||||||
Eisai Co., Ltd. | 700 | 50,516 | ||||||||
Eli Lilly & Co. | 693 | 58,933 | ||||||||
GlaxoSmithKline PLC | 3,649 | 73,928 | ||||||||
Hikma Pharmaceuticals PLC | 2,641 | 47,395 | ||||||||
Hisamitsu Pharmaceutical Co., Inc. | 800 | 66,284 | ||||||||
Jazz Pharmaceuticals PLC(b) | 223 | 37,687 | ||||||||
Johnson & Johnson | 554 | 66,270 | ||||||||
Kyowa Hakko Kirin Co., Ltd. | 2,200 | 44,834 | ||||||||
Mallinckrodt PLC(b)(c) | 476 | 8,021 | ||||||||
Merck & Co., Inc. | 863 | 51,374 | ||||||||
Merck KGaA | 536 | 54,562 | ||||||||
Mitsubishi Tanabe Pharma Corp. | 1,800 | 32,147 | ||||||||
Mylan NV(b) | 1,027 | 39,498 | ||||||||
Novartis AG (REG) | 923 | 68,618 | ||||||||
Novo Nordisk A/S – Class B | 1,284 | 61,027 | ||||||||
Ono Pharmaceutical Co., Ltd. | 1,900 | 46,935 | ||||||||
Orion Oyj – Class B | 948 | 28,041 | ||||||||
Otsuka Holdings Co., Ltd. | 900 | 44,667 | ||||||||
Perrigo Co. PLC | 428 | 31,313 | ||||||||
Pfizer, Inc. | 2,016 | 72,435 | ||||||||
Roche Holding AG | 268 | 57,462 | ||||||||
Sanofi | 604 | 46,299 | ||||||||
Santen Pharmaceutical Co., Ltd. | 3,000 | 52,018 | ||||||||
Shionogi & Co., Ltd. | 700 | 36,604 | ||||||||
Shire PLC | 706 | 38,546 | ||||||||
Sumitomo Dainippon Pharma Co., Ltd. | 2,600 | 53,832 | ||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 500 | 52,976 | ||||||||
Takeda Pharmaceutical Co., Ltd. | 1,000 | 40,652 | ||||||||
UCB SA | 558 | 43,863 | ||||||||
Valeant Pharmaceuticals International, Inc.(b) | 834 | 18,351 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 35 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Vifor Pharma AG | 380 | $ | 59,013 | |||||||
Zoetis, Inc. | 996 | 83,365 | ||||||||
|
| |||||||||
1,996,213 | ||||||||||
|
| |||||||||
6,734,355 | ||||||||||
|
| |||||||||
Consumer Discretionary – 2.5% | ||||||||||
Auto Components – 0.2% | ||||||||||
Aisin Seiki Co., Ltd. | 300 | 15,048 | ||||||||
Aptiv PLC | 302 | 29,445 | ||||||||
Autoliv, Inc.(c) | 287 | 42,467 | ||||||||
BorgWarner, Inc. | 633 | 30,878 | ||||||||
Bridgestone Corp. | 500 | 20,011 | ||||||||
Cie Generale des Etablissements Michelin SCA – Class B | 199 | 25,727 | ||||||||
Continental AG | 107 | 27,097 | ||||||||
Delphi Technologies PLC | 100 | 5,010 | ||||||||
Denso Corp. | 400 | 19,392 | ||||||||
GKN PLC(d)(e)(f) | 5,805 | 37,029 | ||||||||
Goodyear Tire & Rubber Co. (The) | 816 | 19,935 | ||||||||
Koito Manufacturing Co., Ltd. | 300 | 21,975 | ||||||||
Lear Corp. | 199 | 39,402 | ||||||||
Linamar Corp. | 630 | 31,544 | ||||||||
Magna International, Inc. – Class A | 729 | 46,745 | ||||||||
NGK Spark Plug Co., Ltd. | 700 | 19,084 | ||||||||
NOK Corp. | 700 | 13,099 | ||||||||
Nokian Renkaat Oyj | 578 | 22,396 | ||||||||
Schaeffler AG (Preference Shares) | 1,288 | 19,327 | ||||||||
Stanley Electric Co., Ltd. | 500 | 16,969 | ||||||||
Sumitomo Electric Industries Ltd. | 900 | 13,536 | ||||||||
Sumitomo Rubber Industries Ltd. | 800 | 13,377 | ||||||||
Toyoda Gosei Co., Ltd. | 600 | 15,737 | ||||||||
Toyota Industries Corp. | 300 | 17,457 | ||||||||
Valeo SA(b) | 282 | 17,916 | ||||||||
Yokohama Rubber Co., Ltd. (The) | 700 | 15,173 | ||||||||
|
| |||||||||
595,776 | ||||||||||
|
| |||||||||
Automobiles – 0.2% | ||||||||||
Bayerische Motoren Werke AG | 252 | 25,181 | ||||||||
Bayerische Motoren Werke AG | 288 | 25,231 | ||||||||
Daimler AG (REG) | 349 | 25,212 | ||||||||
Ferrari NV | 303 | 39,609 | ||||||||
Fiat Chrysler Automobiles NV(b) | 1,290 | 29,238 | ||||||||
Ford Motor Co. | 2,754 | 31,809 | ||||||||
General Motors Co. | 869 | 37,106 | ||||||||
Harley-Davidson, Inc. | 457 | 18,774 | ||||||||
Honda Motor Co., Ltd. | 700 | 22,215 |
36 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Isuzu Motors Ltd. | 1,200 | $ | 16,018 | |||||||
Mazda Motor Corp. | 1,000 | 12,543 | ||||||||
Mitsubishi Motors Corp. | 2,200 | 16,578 | ||||||||
Nissan Motor Co., Ltd. | 2,100 | 20,828 | ||||||||
Peugeot SA | 996 | 23,292 | ||||||||
Porsche Automobil Holding SE | 377 | 27,772 | ||||||||
Renault SA | 203 | 19,685 | ||||||||
Subaru Corp. | 400 | 12,198 | ||||||||
Suzuki Motor Corp. | 300 | 17,191 | ||||||||
Tesla, Inc.(b) | 54 | 15,375 | ||||||||
Toyota Motor Corp. | 300 | 19,028 | ||||||||
Volkswagen AG | 151 | 27,965 | ||||||||
Volkswagen AG (Preference Shares) | 138 | 25,919 | ||||||||
Yamaha Motor Co., Ltd. | 600 | 17,297 | ||||||||
|
| |||||||||
526,064 | ||||||||||
|
| |||||||||
Distributors – 0.0% | ||||||||||
Genuine Parts Co. | 435 | 39,494 | ||||||||
Jardine Cycle & Carriage Ltd. | 400 | 10,260 | ||||||||
LKQ Corp.(b) | 877 | 27,862 | ||||||||
|
| |||||||||
77,616 | ||||||||||
|
| |||||||||
Diversified Consumer Services – 0.0% | ||||||||||
Benesse Holdings, Inc. | 400 | 14,497 | ||||||||
H&R Block, Inc. | 830 | 22,783 | ||||||||
|
| |||||||||
37,280 | ||||||||||
|
| |||||||||
Hotels, Restaurants & Leisure – 0.5% | ||||||||||
Accor SA | 515 | 28,197 | ||||||||
Aramark | 1,174 | 45,575 | ||||||||
Aristocrat Leisure Ltd. | 960 | 21,702 | ||||||||
Carnival Corp. | 557 | 34,690 | ||||||||
Carnival PLC | 409 | 26,207 | ||||||||
Chipotle Mexican Grill, Inc. – Class A(b) | 57 | 24,520 | ||||||||
Compass Group PLC | 1,758 | 37,778 | ||||||||
Crown Resorts Ltd. | 1,793 | 17,988 | ||||||||
Darden Restaurants, Inc. | 368 | 32,167 | ||||||||
Domino’s Pizza Enterprises Ltd. | 317 | 11,776 | ||||||||
Domino’s Pizza, Inc. | 151 | 37,973 | ||||||||
Flight Centre Travel Group Ltd. | 539 | 25,066 | ||||||||
Galaxy Entertainment Group Ltd. | 3,000 | 26,292 | ||||||||
Genting Singapore PLC | 17,400 | 16,331 | ||||||||
Hilton Worldwide Holdings, Inc. | 532 | 42,938 | ||||||||
InterContinental Hotels Group PLC | 495 | 31,653 | ||||||||
Las Vegas Sands Corp. | 477 | 38,451 | ||||||||
Marriott International, Inc./MD – Class A | 350 | 47,376 | ||||||||
McDonald’s Corp. | 324 | 51,843 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 37 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
McDonald’s Holdings Co. Japan Ltd. | 400 | $ | 20,113 | |||||||
Melco Resorts & Entertainment Ltd. (ADR) | 460 | 15,024 | ||||||||
Merlin Entertainments PLC(a) | 4,383 | 21,362 | ||||||||
MGM China Holdings Ltd. | 6,400 | 18,501 | ||||||||
MGM Resorts International | 769 | 24,185 | ||||||||
Norwegian Cruise Line Holdings Ltd.(b) | 485 | 25,385 | ||||||||
Oriental Land Co., Ltd./Japan | 300 | 30,653 | ||||||||
Paddy Power Betfair PLC | 223 | 27,113 | ||||||||
Restaurant Brands International, Inc. | 668 | 39,448 | ||||||||
Royal Caribbean Cruises Ltd. | 277 | 29,079 | ||||||||
Sands China Ltd. | 3,600 | 21,450 | ||||||||
Shangri-La Asia Ltd. | 10,000 | 19,907 | ||||||||
SJM Holdings Ltd. | 16,000 | 22,853 | ||||||||
Sodexo SA | 224 | 21,780 | ||||||||
Starbucks Corp. | 666 | 37,742 | ||||||||
Tabcorp Holdings Ltd. | 8,286 | 27,312 | ||||||||
TUI AG | 1,641 | 38,074 | ||||||||
Whitbread PLC | 504 | 28,221 | ||||||||
William Hill PLC | 6,112 | 25,982 | ||||||||
Wyndham Worldwide Corp. | 277 | 30,038 | ||||||||
Wynn Macau Ltd. | 6,800 | 25,783 | ||||||||
Wynn Resorts Ltd. | 179 | 35,086 | ||||||||
Yum! Brands, Inc. | 630 | 51,238 | ||||||||
|
| |||||||||
1,234,852 | ||||||||||
|
| |||||||||
Household Durables – 0.2% | ||||||||||
Auto Trader Group PLC(a) | 4,579 | 21,443 | ||||||||
Barratt Developments PLC | 2,559 | 18,544 | ||||||||
Berkeley Group Holdings PLC | 550 | 31,020 | ||||||||
Casio Computer Co., Ltd. | 900 | 13,725 | ||||||||
DR Horton, Inc. | 836 | 35,288 | ||||||||
Electrolux AB – Class B | 748 | 18,464 | ||||||||
Garmin Ltd. | 605 | 36,354 | ||||||||
Husqvarna AB – Class B | 2,521 | 24,795 | ||||||||
Iida Group Holdings Co., Ltd. | 900 | 17,120 | ||||||||
Leggett & Platt, Inc. | 679 | 28,043 | ||||||||
Lennar Corp. – Class A | 555 | 28,716 | ||||||||
Lennar Corp. – Class B | 11 | 455 | ||||||||
Mohawk Industries, Inc.(b) | 156 | 31,830 | ||||||||
Newell Brands, Inc. | 610 | 14,384 | ||||||||
Nikon Corp. | 1,200 | 19,406 | ||||||||
Panasonic Corp. | 1,400 | 18,983 | ||||||||
Persimmon PLC | 763 | 28,709 | ||||||||
PulteGroup, Inc. | 1,261 | 38,145 | ||||||||
Rinnai Corp. | 200 | 19,050 | ||||||||
SEB SA | 162 | 29,268 | ||||||||
Sekisui Chemical Co., Ltd. | 800 | 13,104 |
38 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Sekisui House Ltd. | 1,100 | $ | 19,552 | |||||||
Sharp Corp./Japan | 200 | 5,297 | ||||||||
Sony Corp. | 500 | 23,589 | ||||||||
Taylor Wimpey PLC | 9,372 | 23,664 | ||||||||
Techtronic Industries Co., Ltd. | 3,500 | 20,821 | ||||||||
Toll Brothers, Inc. | 690 | 27,248 | ||||||||
Whirlpool Corp.(c) | 167 | 24,173 | ||||||||
|
| |||||||||
631,190 | ||||||||||
|
| |||||||||
Internet & Direct Marketing Retail – 0.1% | ||||||||||
Amazon.com, Inc.(b) | 29 | 47,259 | ||||||||
Booking Holdings, Inc.(b) | 17 | 35,852 | ||||||||
Expedia Group, Inc. | 215 | 26,021 | ||||||||
Netflix, Inc.(b) | 129 | 45,356 | ||||||||
Qurate Retail, Inc.(b) | 1,207 | 24,538 | ||||||||
Rakuten, Inc. | 1,299 | 8,704 | ||||||||
Start Today Co., Ltd. | 600 | 20,751 | ||||||||
TripAdvisor, Inc.(b) | 426 | 22,212 | ||||||||
Zalando SE(a)(b) | 491 | 26,148 | ||||||||
|
| |||||||||
256,841 | ||||||||||
|
| |||||||||
Leisure Products – 0.1% | ||||||||||
Bandai Namco Holdings, Inc. | 400 | 16,979 | ||||||||
Hasbro, Inc. | 367 | 31,837 | ||||||||
Mattel, Inc.(c) | 1,058 | 16,420 | ||||||||
Polaris Industries, Inc. | 248 | 27,751 | ||||||||
Sankyo Co., Ltd. | 400 | 15,826 | ||||||||
Sega Sammy Holdings, Inc. | 1,100 | 19,383 | ||||||||
Shimano, Inc. | 100 | 14,093 | ||||||||
Yamaha Corp. | 400 | 20,802 | ||||||||
|
| |||||||||
163,091 | ||||||||||
|
| |||||||||
Media – 0.4% | ||||||||||
Altice NV – Class A(b) | 704 | 2,487 | ||||||||
Altice NV – Class B(b) | 1,011 | 3,553 | ||||||||
Axel Springer SE | 600 | 43,601 | ||||||||
CBS Corp. – Class B | 447 | 22,515 | ||||||||
Charter Communications, Inc. – Class A(b) | 83 | 21,666 | ||||||||
Comcast Corp. – Class A | 824 | 25,692 | ||||||||
Dentsu, Inc. | 300 | 14,294 | ||||||||
Discovery, Inc. – Class A(b)(c) | 1,012 | 21,343 | ||||||||
Discovery, Inc. – Class C(b) | 1,427 | 28,212 | ||||||||
DISH Network Corp. – Class A(b) | 282 | 8,333 | ||||||||
Eutelsat Communications SA | 1,132 | 21,769 | ||||||||
Hakuhodo DY Holdings, Inc. | 1,100 | 16,648 | ||||||||
I-CABLE Communications Ltd.(b) | 2,936 | 63 | ||||||||
Interpublic Group of Cos., Inc. (The) | 1,393 | 31,482 | ||||||||
ITV PLC | 7,799 | 16,822 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 39 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
JCDecaux SA | 889 | $ | 27,771 | |||||||
Lagardere SCA | 819 | 22,150 | ||||||||
Liberty Broadband Corp.(b) | 346 | 23,829 | ||||||||
Liberty Global PLC – Class A(b) | 813 | 23,179 | ||||||||
Liberty Global PLC – Series C(b) | 1,811 | 50,128 | ||||||||
Liberty Latin America Ltd. – Class C(b) | 937 | 20,127 | ||||||||
Liberty Media Corp.-Liberty SiriusXM – Class A(b) | 944 | 43,660 | ||||||||
Liberty Media Corp.-Liberty SiriusXM – Class C(b) | 700 | 32,333 | ||||||||
News Corp. – Class A | 2,510 | 37,725 | ||||||||
Omnicom Group, Inc. | 460 | 33,157 | ||||||||
Pearson PLC | 1,740 | 20,857 | ||||||||
ProSiebenSat.1 Media SE | 638 | 18,758 | ||||||||
Publicis Groupe SA | 351 | 24,498 | ||||||||
RTL Group SA (London) | 319 | 24,044 | ||||||||
Schibsted ASA | 973 | 27,428 | ||||||||
Schibsted ASA – Class B | 1,054 | 28,676 | ||||||||
SES SA | 1,380 | 23,915 | ||||||||
Shaw Communications, Inc. – Class B | 2,404 | 48,391 | ||||||||
Singapore Press Holdings Ltd. | 6,100 | 11,972 | ||||||||
Sirius XM Holdings, Inc.(c) | 4,633 | 32,894 | ||||||||
Sky PLC | 1,340 | 24,003 | ||||||||
TEGNA, Inc. | 850 | 8,814 | ||||||||
Telenet Group Holding NV(b) | 522 | 26,360 | ||||||||
Time Warner, Inc. | 454 | 42,749 | ||||||||
Toho Co., Ltd./Tokyo | 500 | 17,299 | ||||||||
Twenty-First Century Fox, Inc. – Class A | 1,016 | 39,167 | ||||||||
Twenty-First Century Fox, Inc. – Class B | 1,020 | 38,933 | ||||||||
Viacom, Inc. – Class B | 642 | 17,398 | ||||||||
Vivendi SA | 1,098 | 27,762 | ||||||||
Walt Disney Co. (The) | 397 | 39,490 | ||||||||
WPP PLC | 1,472 | 24,259 | ||||||||
|
| |||||||||
1,160,206 | ||||||||||
|
| |||||||||
Multiline Retail – 0.2% | ||||||||||
Canadian Tire Corp., Ltd. – Class A | 300 | 38,195 | ||||||||
Dollar General Corp. | 382 | 33,417 | ||||||||
Dollar Tree, Inc.(b) | 304 | 25,107 | ||||||||
Dollarama, Inc. | 452 | 52,169 | ||||||||
Don Quijote Holdings Co., Ltd. | 400 | 21,251 | ||||||||
Harvey Norman Holdings Ltd. | 3,556 | 9,655 | ||||||||
Isetan Mitsukoshi Holdings Ltd. | 1,500 | 18,463 | ||||||||
J Front Retailing Co., Ltd. | 1,000 | 15,692 | ||||||||
Kohl’s Corp. | 485 | 32,374 | ||||||||
Macy’s, Inc. | 699 | 24,402 | ||||||||
Marks & Spencer Group PLC | 4,897 | 18,454 |
40 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Marui Group Co., Ltd. | 900 | $ | 18,210 | |||||||
Next PLC | 400 | 30,810 | ||||||||
Nordstrom, Inc. | 496 | 24,319 | ||||||||
Ryohin Keikaku Co., Ltd. | 100 | 33,885 | ||||||||
Takashimaya Co., Ltd. | 2,000 | 16,661 | ||||||||
Target Corp. | 562 | 40,964 | ||||||||
|
| |||||||||
454,028 | ||||||||||
|
| |||||||||
Specialty Retail – 0.3% | ||||||||||
ABC-Mart, Inc. | 300 | 18,411 | ||||||||
Advance Auto Parts, Inc. | 173 | 22,251 | ||||||||
AutoNation, Inc.(b) | 587 | 26,802 | ||||||||
AutoZone, Inc.(b) | 47 | 30,518 | ||||||||
Bed Bath & Beyond, Inc. | 660 | 11,986 | ||||||||
Best Buy Co., Inc. | 397 | 27,095 | ||||||||
CarMax, Inc.(b) | 276 | 19,022 | ||||||||
CECONOMY AG | 963 | 9,418 | ||||||||
Dick’s Sporting Goods, Inc. | 553 | 20,240 | ||||||||
Dixons Carphone PLC | 4,868 | 11,958 | ||||||||
Dufry AG (REG)(b) | 127 | 17,315 | ||||||||
Foot Locker, Inc. | 407 | 21,966 | ||||||||
Gap, Inc. (The) | 852 | 23,839 | ||||||||
Hennes & Mauritz AB – Class B | 936 | 14,103 | ||||||||
Hikari Tsushin, Inc. | 100 | 17,706 | ||||||||
Home Depot, Inc. (The) | 245 | 45,705 | ||||||||
Industria de Diseno Textil SA | 757 | 23,928 | ||||||||
Kingfisher PLC | 6,282 | 25,491 | ||||||||
L Brands, Inc. | 409 | 13,869 | ||||||||
Lowe’s Cos., Inc. | 362 | 34,394 | ||||||||
Nitori Holdings Co., Ltd. | 100 | 17,153 | ||||||||
O’Reilly Automotive, Inc.(b) | 119 | 32,060 | ||||||||
Ross Stores, Inc. | 451 | 35,575 | ||||||||
Shimamura Co., Ltd. | 100 | 10,203 | ||||||||
Signet Jewelers Ltd. | 287 | 12,341 | ||||||||
Tiffany & Co. | 315 | 41,196 | ||||||||
TJX Cos., Inc. (The) | 528 | 47,689 | ||||||||
Tractor Supply Co. | 570 | 42,357 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc.(b) | 91 | 22,469 | ||||||||
USS Co., Ltd. | 700 | 13,203 | ||||||||
Yamada Denki Co., Ltd. | 3,500 | 18,081 | ||||||||
|
| |||||||||
728,344 | ||||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods – 0.3% | ||||||||||
adidas AG | 138 | 31,303 | ||||||||
Asics Corp. | 900 | 14,938 | ||||||||
Burberry Group PLC | 981 | 26,951 | ||||||||
Christian Dior SE | 102 | 43,436 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 41 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Cie Financiere Richemont SA (REG) | 285 | $ | 26,100 | |||||||
Gildan Activewear, Inc. | 1,287 | 37,272 | ||||||||
Hanesbrands, Inc. | 1,331 | 24,264 | ||||||||
Hermes International | 67 | 47,686 | ||||||||
HUGO BOSS AG | 261 | 23,420 | ||||||||
Kering SA | 75 | 43,044 | ||||||||
Li & Fung Ltd. | 38,000 | 14,696 | ||||||||
Lululemon Athletica, Inc.(b) | 362 | 38,028 | ||||||||
Luxottica Group SpA | 509 | 31,696 | ||||||||
LVMH Moet Hennessy Louis Vuitton SE | 90 | 31,338 | ||||||||
Michael Kors Holdings Ltd.(b) | 474 | 27,203 | ||||||||
NIKE, Inc. – Class B | 676 | 48,537 | ||||||||
Pandora A/S | 240 | 18,922 | ||||||||
Puma SE | 6 | 3,640 | ||||||||
PVH Corp. | 229 | 36,640 | ||||||||
Ralph Lauren Corp. | 379 | 51,006 | ||||||||
Swatch Group AG (The) | 56 | 27,245 | ||||||||
Swatch Group AG (The) (REG) | 301 | 26,755 | ||||||||
Tapestry, Inc. | 597 | 26,101 | ||||||||
Under Armour, Inc. – Class A(b)(c) | 1,122 | 23,450 | ||||||||
Under Armour, Inc. – Class C(b)(c) | 1,242 | 23,499 | ||||||||
VF Corp. | 576 | 46,748 | ||||||||
Yue Yuen Industrial Holdings Ltd. | 3,500 | 10,795 | ||||||||
|
| |||||||||
804,713 | ||||||||||
|
| |||||||||
6,670,001 | ||||||||||
|
| |||||||||
Consumer Staples – 2.4% | ||||||||||
Beverages – 0.5% | ||||||||||
Anheuser-Busch InBev SA/NV | 336 | 31,511 | ||||||||
Asahi Group Holdings Ltd. | 900 | 46,932 | ||||||||
Brown-Forman Corp. – Class B | 1,553 | 87,838 | ||||||||
Carlsberg A/S – Class B | 434 | 48,199 | ||||||||
Coca-Cola Amatil Ltd. | 5,133 | 34,426 | ||||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 1,200 | 50,400 | ||||||||
Coca-Cola Co. (The) | 2,349 | 101,007 | ||||||||
Coca-Cola European Partners PLC | 1,012 | 38,434 | ||||||||
Coca-Cola HBC AG(b) | 1,304 | 44,510 | ||||||||
Constellation Brands, Inc. – Class A | 321 | 71,609 | ||||||||
Diageo PLC | 1,525 | 56,033 | ||||||||
Dr Pepper Snapple Group, Inc. | 924 | 110,233 | ||||||||
Heineken Holding NV | 450 | 43,838 | ||||||||
Heineken NV | 502 | 50,238 | ||||||||
Kirin Holdings Co., Ltd. | 1,800 | 50,991 | ||||||||
Molson Coors Brewing Co. – Class B | 775 | 47,779 | ||||||||
Monster Beverage Corp.(b) | 1,264 | 64,666 | ||||||||
PepsiCo, Inc. | 845 | 84,711 | ||||||||
Pernod Ricard SA | 347 | 58,214 |
42 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Remy Cointreau SA | 337 | $ | 49,844 | |||||||
Suntory Beverage & Food Ltd. | 800 | 35,453 | ||||||||
Treasury Wine Estates Ltd. | 645 | 8,058 | ||||||||
|
| |||||||||
1,214,924 | ||||||||||
|
| |||||||||
Food & Staples Retailing – 0.6% | ||||||||||
Aeon Co., Ltd. | 2,800 | 55,406 | ||||||||
Alimentation Couche-Tard, Inc. – Class B | 1,687 | 70,441 | ||||||||
Carrefour SA | 1,249 | 22,513 | ||||||||
Casino Guichard Perrachon SA | 448 | 19,390 | ||||||||
Colruyt SA | 915 | 48,545 | ||||||||
Costco Wholesale Corp. | 505 | 100,111 | ||||||||
Distribuidora Internacional de Alimentacion SA | 6,300 | 21,496 | ||||||||
Empire Co., Ltd. – Class A | 3,731 | 71,823 | ||||||||
FamilyMart UNY Holdings Co., Ltd. | 600 | 62,156 | ||||||||
George Weston Ltd. | 1,022 | 82,960 | ||||||||
ICA Gruppen AB | 1,334 | 41,171 | ||||||||
J Sainsbury PLC | 10,711 | 45,295 | ||||||||
Jeronimo Martins SGPS SA | 2,095 | 32,883 | ||||||||
Koninklijke Ahold Delhaize NV | 1,925 | 44,223 | ||||||||
Kroger Co. (The) | 1,741 | 42,359 | ||||||||
Lawson, Inc. | 700 | 45,535 | ||||||||
Loblaw Cos., Ltd. | 1,937 | 100,167 | ||||||||
METRO AG | 963 | 12,950 | ||||||||
Metro, Inc. | 3,499 | 115,446 | ||||||||
Rite Aid Corp.(b)(c) | 1,822 | 2,915 | ||||||||
Seven & i Holdings Co., Ltd. | 900 | 39,808 | ||||||||
Sundrug Co., Ltd. | 900 | 40,811 | ||||||||
Sysco Corp. | 1,355 | 88,116 | ||||||||
Tesco PLC | 14,259 | 46,545 | ||||||||
Tsuruha Holdings, Inc. | 300 | 44,494 | ||||||||
Walgreens Boots Alliance, Inc. | 793 | 49,475 | ||||||||
Walmart, Inc. | 1,159 | 95,664 | ||||||||
Wesfarmers Ltd. | 1,156 | 39,774 | ||||||||
Wm Morrison Supermarkets PLC | 13,410 | 43,761 | ||||||||
Woolworths Group Ltd. | 2,044 | 43,898 | ||||||||
|
| |||||||||
1,570,131 | ||||||||||
|
| |||||||||
Food Products – 0.7% | ||||||||||
Ajinomoto Co., Inc. | 1,500 | 28,583 | ||||||||
Archer-Daniels-Midland Co. | 1,514 | 66,192 | ||||||||
Aryzta AG(b) | 572 | 8,548 | ||||||||
Associated British Foods PLC | 933 | 32,846 | ||||||||
Barry Callebaut AG (REG) | 33 | 57,803 | ||||||||
Bunge Ltd. | 891 | 61,969 | ||||||||
Calbee, Inc. | 900 | 32,739 | ||||||||
Campbell Soup Co.(c) | 1,279 | 43,026 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 43 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Chocoladefabriken Lindt & Spruengli AG | 9 | $ | 57,536 | |||||||
Chocoladefabriken Lindt & Spruengli AG (REG) | 1 | 75,635 | ||||||||
Conagra Brands, Inc. | 1,969 | 72,971 | ||||||||
Danone SA | 580 | 44,415 | ||||||||
General Mills, Inc. | 1,305 | 55,189 | ||||||||
Golden Agri-Resources Ltd. | 132,000 | 31,017 | ||||||||
Hershey Co. (The) | 758 | 68,250 | ||||||||
Hormel Foods Corp. | 1,930 | 69,268 | ||||||||
Ingredion, Inc. | 628 | 69,953 | ||||||||
JM Smucker Co. (The) | 614 | 66,005 | ||||||||
Kellogg Co. | 1,053 | 67,803 | ||||||||
Kerry Group PLC – Class A | 503 | 53,011 | ||||||||
Kikkoman Corp. | 1,200 | 56,414 | ||||||||
Kraft Heinz Co. (The) | 886 | 50,927 | ||||||||
Marine Harvest ASA | 1,945 | 38,913 | ||||||||
McCormick & Co., Inc./MD | 900 | 90,900 | ||||||||
MEIJI Holdings Co., Ltd. | 400 | 33,969 | ||||||||
Mondelez International, Inc. – Class A | 1,174 | 46,103 | ||||||||
Nestle SA (REG) | 608 | 45,954 | ||||||||
NH Foods Ltd. | 500 | 20,521 | ||||||||
Nisshin Seifun Group, Inc. | 2,500 | 52,644 | ||||||||
Nissin Foods Holdings Co., Ltd. | 600 | 44,544 | ||||||||
Orkla ASA | 3,826 | 34,511 | ||||||||
Saputo, Inc. | 2,289 | 79,548 | ||||||||
Tate & Lyle PLC | 4,685 | 42,847 | ||||||||
Toyo Suisan Kaisha Ltd. | 900 | 32,021 | ||||||||
Tyson Foods, Inc. – Class A | 1,060 | 71,518 | ||||||||
WH Group Ltd.(a) | 40,500 | 41,493 | ||||||||
Wilmar International Ltd. | 13,700 | 33,065 | ||||||||
Yakult Honsha Co., Ltd. | 500 | 32,804 | ||||||||
Yamazaki Baking Co., Ltd. | 1,800 | 38,897 | ||||||||
|
| |||||||||
1,950,352 | ||||||||||
|
| |||||||||
Household Products – 0.3% | ||||||||||
Church & Dwight Co., Inc. | 1,639 | 76,951 | ||||||||
Clorox Co. (The) | 669 | 80,835 | ||||||||
Colgate-Palmolive Co. | 1,207 | 76,150 | ||||||||
Edgewell Personal Care Co.(b) | 667 | 29,161 | ||||||||
Essity AB – Class B | 1,288 | 32,700 | ||||||||
Henkel AG & Co. KGaA | 338 | 38,111 | ||||||||
Henkel AG & Co. KGaA | 356 | 43,950 | ||||||||
Kimberly-Clark Corp. | 706 | 71,200 | ||||||||
Lion Corp. | 1,800 | 32,803 | ||||||||
Procter & Gamble Co. (The) | 1,192 | 87,219 | ||||||||
Reckitt Benckiser Group PLC | 499 | 38,195 |
44 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Spectrum Brands Holdings, Inc.(c) | 551 | $ | 43,909 | |||||||
Unicharm Corp. | 1,300 | 40,225 | ||||||||
|
| |||||||||
691,409 | ||||||||||
|
| |||||||||
Personal Products – 0.2% | ||||||||||
Beiersdorf AG | 471 | 53,993 | ||||||||
Coty, Inc. – Class A | 2,104 | 27,878 | ||||||||
Estee Lauder Cos., Inc. (The) – Class A | 855 | 127,771 | ||||||||
Kao Corp. | 500 | 38,620 | ||||||||
Kose Corp. | 300 | 64,944 | ||||||||
L’Oreal SA | 228 | 54,911 | ||||||||
Pola Orbis Holdings, Inc. | 1,400 | 69,030 | ||||||||
Shiseido Co., Ltd. | 900 | 71,095 | ||||||||
Unilever NV | 860 | 47,961 | ||||||||
Unilever PLC | 811 | 44,714 | ||||||||
|
| |||||||||
600,917 | ||||||||||
|
| |||||||||
Tobacco – 0.1% | ||||||||||
Altria Group, Inc. | 1,060 | 59,084 | ||||||||
British American Tobacco PLC | 579 | 29,720 | ||||||||
British American Tobacco PLC | 643 | 32,922 | ||||||||
Imperial Brands PLC | 987 | 35,519 | ||||||||
Japan Tobacco, Inc. | 1,099 | 29,610 | ||||||||
Philip Morris International, Inc. | 715 | 56,871 | ||||||||
Swedish Match AB | 1,345 | 63,793 | ||||||||
|
| |||||||||
307,519 | ||||||||||
|
| |||||||||
6,335,252 | ||||||||||
|
| |||||||||
Materials – 2.1% | ||||||||||
Chemicals – 1.2% | ||||||||||
Air Liquide SA | 407 | 50,247 | ||||||||
Air Products & Chemicals, Inc. | 522 | 84,256 | ||||||||
Air Water, Inc. | 1,200 | 23,268 | ||||||||
Akzo Nobel NV | 460 | 40,385 | ||||||||
Albemarle Corp.(c) | 546 | 51,035 | ||||||||
Arkema SA | 294 | 35,858 | ||||||||
Asahi Kasei Corp. | 3,000 | 41,016 | ||||||||
Axalta Coating Systems Ltd.(b) | 2,149 | 66,855 | ||||||||
BASF SE | 444 | 43,838 | ||||||||
Celanese Corp. – Class A | 722 | 81,528 | ||||||||
CF Industries Holdings, Inc. | 1,192 | 49,039 | ||||||||
Chr Hansen Holding A/S | 469 | 45,034 | ||||||||
Covestro AG(a) | 458 | 41,725 | ||||||||
Croda International PLC | 648 | 40,098 | ||||||||
Daicel Corp. | 1,800 | 20,284 | ||||||||
DowDuPont, Inc. | 2,104 | 134,887 | ||||||||
Eastman Chemical Co. | 794 | 82,822 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 45 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Ecolab, Inc. | 833 | $ | 118,794 | |||||||
EMS-Chemie Holding AG (REG) | 47 | 29,361 | ||||||||
Evonik Industries AG | 1,232 | 43,221 | ||||||||
FMC Corp. | 742 | 64,621 | ||||||||
FUCHS PETROLUB SE | 915 | 47,984 | ||||||||
Givaudan SA (REG) | 25 | 55,710 | ||||||||
Hitachi Chemical Co., Ltd. | 800 | 17,159 | ||||||||
Incitec Pivot Ltd. | 7,237 | 18,762 | ||||||||
International Flavors & Fragrances, Inc. | 533 | 65,095 | ||||||||
Johnson Matthey PLC | 1,127 | 52,551 | ||||||||
JSR Corp. | 1,300 | 25,259 | ||||||||
K&S AG (REG) | 1,009 | 26,969 | ||||||||
Kaneka Corp. | 3,000 | 30,792 | ||||||||
Kansai Paint Co., Ltd. | 1,000 | 21,389 | ||||||||
Koninklijke DSM NV | 642 | 63,963 | ||||||||
Kuraray Co., Ltd. | 1,400 | 21,370 | ||||||||
LANXESS AG | 442 | 34,949 | ||||||||
Linde AG | 192 | 39,719 | ||||||||
LyondellBasell Industries NV – Class A | 645 | 72,317 | ||||||||
Methanex Corp. | 1,103 | 75,354 | ||||||||
Mitsubishi Chemical Holdings Corp. | 3,200 | 29,470 | ||||||||
Mitsubishi Gas Chemical Co., Inc. | 1,100 | 27,938 | ||||||||
Mitsui Chemicals, Inc. | 800 | 23,047 | ||||||||
Monsanto Co. | 797 | 101,586 | ||||||||
Mosaic Co. (The) | 2,007 | 55,172 | ||||||||
Nippon Paint Holdings Co., Ltd. | 600 | 25,001 | ||||||||
Nissan Chemical Industries Ltd. | 600 | 28,093 | ||||||||
Nitto Denko Corp. | 300 | 23,459 | ||||||||
Novozymes A/S – Class B | 559 | 28,513 | ||||||||
Nutrien Ltd. | 3,184 | 161,115 | ||||||||
Orica Ltd. | 1,553 | 20,701 | ||||||||
PPG Industries, Inc. | 660 | 66,607 | ||||||||
Praxair, Inc. | 436 | 68,129 | ||||||||
Sherwin-Williams Co. (The) | 231 | 87,607 | ||||||||
Shin-Etsu Chemical Co., Ltd. | 300 | 29,832 | ||||||||
Sika AG | 6 | 47,985 | ||||||||
Solvay SA | 330 | 44,232 | ||||||||
Sumitomo Chemical Co., Ltd. | 4,000 | 24,079 | ||||||||
Symrise AG | 710 | 57,627 | ||||||||
Taiyo Nippon Sanso Corp. | 2,100 | 31,024 | ||||||||
Teijin Ltd. | 1,100 | 21,259 | ||||||||
Toray Industries, Inc. | 2,500 | 20,401 | ||||||||
Umicore SA | 1,130 | 63,743 | ||||||||
WR Grace & Co. | 870 | 62,283 | ||||||||
Yara International ASA | 866 | 35,747 | ||||||||
|
| |||||||||
3,042,164 | ||||||||||
|
|
46 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Construction Materials – 0.1% | ||||||||||
Boral Ltd. | 4,494 | $ | 21,246 | |||||||
CRH PLC | 1,075 | 39,665 | ||||||||
Fletcher Building Ltd. | 6,320 | 29,135 | ||||||||
HeidelbergCement AG | 356 | 31,452 | ||||||||
Imerys SA | 563 | 47,988 | ||||||||
James Hardie Industries PLC | 1,450 | 24,219 | ||||||||
LafargeHolcim Ltd. (REG)(b) | 595 | 30,562 | ||||||||
Martin Marietta Materials, Inc. | 237 | 52,820 | ||||||||
Taiheiyo Cement Corp. | 700 | 25,777 | ||||||||
Vulcan Materials Co. | 393 | 50,202 | ||||||||
|
| |||||||||
353,066 | ||||||||||
|
| |||||||||
Containers & Packaging – 0.2% | ||||||||||
Amcor Ltd./Australia | 2,606 | 27,654 | ||||||||
Avery Dennison Corp. | 978 | 102,719 | ||||||||
Ball Corp. | 1,802 | 66,584 | ||||||||
CCL Industries, Inc. – Class B | 1,790 | 88,589 | ||||||||
Crown Holdings, Inc.(b) | 1,332 | 57,729 | ||||||||
International Paper Co. | 1,270 | 67,945 | ||||||||
Packaging Corp. of America | 678 | 79,665 | ||||||||
Sealed Air Corp. | 1,509 | 65,732 | ||||||||
Toyo Seikan Group Holdings Ltd. | 2,000 | 33,454 | ||||||||
WestRock Co. | 1,050 | 61,824 | ||||||||
|
| |||||||||
651,895 | ||||||||||
|
| |||||||||
Metals & Mining – 0.5% | ||||||||||
Agnico Eagle Mines Ltd. | 888 | 39,852 | ||||||||
Alumina Ltd. | 11,360 | 22,894 | ||||||||
Anglo American PLC | 1,415 | 33,790 | ||||||||
Antofagasta PLC | 2,036 | 28,509 | ||||||||
ArcelorMittal | 987 | 31,898 | ||||||||
Barrick Gold Corp. (Toronto) | 2,364 | 31,122 | ||||||||
BHP Billiton Ltd. | 1,146 | 28,492 | ||||||||
BHP Billiton PLC | 1,449 | 33,317 | ||||||||
Boliden AB | 977 | 34,453 | ||||||||
Boliden AB(b) | 977 | 635 | ||||||||
Eldorado Gold Corp.(b) | 7,136 | 8,090 | ||||||||
First Quantum Minerals Ltd. | 3,202 | 50,255 | ||||||||
Fortescue Metals Group Ltd. | 2,635 | 9,289 | ||||||||
Franco-Nevada Corp. | 739 | 52,111 | ||||||||
Freeport-McMoRan, Inc. | 2,604 | 44,007 | ||||||||
Fresnillo PLC | 1,276 | 22,550 | ||||||||
Glencore PLC(b) | 5,705 | 28,175 | ||||||||
Goldcorp, Inc. | 3,213 | 45,918 | ||||||||
Hitachi Metals Ltd. | 1,600 | 17,502 | ||||||||
JFE Holdings, Inc. | 1,300 | 26,749 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 47 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Kinross Gold Corp.(b) | 6,730 | $ | 24,291 | |||||||
Kobe Steel Ltd. | 2,300 | 22,951 | ||||||||
Maruichi Steel Tube Ltd. | 700 | 23,098 | ||||||||
Mitsubishi Materials Corp. | 800 | 22,136 | ||||||||
Newcrest Mining Ltd. | 981 | 15,380 | ||||||||
Newmont Mining Corp. | 1,386 | 53,957 | ||||||||
Nippon Steel & Sumitomo Metal Corp. | 1,200 | 25,050 | ||||||||
Norsk Hydro ASA | 4,362 | 27,451 | ||||||||
Nucor Corp. | 910 | 58,413 | ||||||||
Randgold Resources Ltd. | 312 | 24,804 | ||||||||
Rio Tinto Ltd. | 439 | 27,408 | ||||||||
Rio Tinto PLC | 669 | 37,732 | ||||||||
South32 Ltd. | 7,874 | 22,076 | ||||||||
Sumitomo Metal Mining Co., Ltd. | 1,000 | 37,995 | ||||||||
Teck Resources Ltd. – Class B | 2,652 | 71,935 | ||||||||
thyssenkrupp AG | 1,007 | 26,569 | ||||||||
Turquoise Hill Resources Ltd.(b) | 6,412 | 18,050 | ||||||||
voestalpine AG | 636 | 33,961 | ||||||||
Wheaton Precious Metals Corp. | 1,870 | 40,873 | ||||||||
Yamana Gold, Inc. | 7,199 | 20,932 | ||||||||
|
| |||||||||
1,224,670 | ||||||||||
|
| |||||||||
Paper & Forest Products – 0.1% | ||||||||||
Mondi PLC | 1,889 | 52,383 | ||||||||
Oji Holdings Corp. | 5,000 | 32,728 | ||||||||
Stora Enso Oyj – Class R | 2,477 | 50,811 | ||||||||
Svenska Cellulosa AB SCA – Class B | 1,288 | 14,277 | ||||||||
UPM-Kymmene Oyj | 1,348 | 49,481 | ||||||||
West Fraser Timber Co., Ltd. | 1,065 | 77,399 | ||||||||
|
| |||||||||
277,079 | ||||||||||
|
| |||||||||
5,548,874 | ||||||||||
|
| |||||||||
Energy – 2.0% | ||||||||||
Energy Equipment & Services – 0.1% | ||||||||||
Apergy Corp.(b) | 214 | 9,243 | ||||||||
Baker Hughes a GE Co. – Class A | 758 | 26,219 | ||||||||
Core Laboratories NV | 280 | 34,770 | ||||||||
Halliburton Co. | 747 | 37,156 | ||||||||
Helmerich & Payne, Inc. | 490 | 32,526 | ||||||||
National Oilwell Varco, Inc. | 851 | 35,248 | ||||||||
Petrofac Ltd. | 6,919 | 53,482 | ||||||||
Saipem SpA(b) | 858 | 3,639 | ||||||||
Schlumberger Ltd. | 606 | 41,614 | ||||||||
TechnipFMC PLC | 994 | 30,963 | ||||||||
Tenaris SA | 3,797 | 68,237 | ||||||||
Weatherford International PLC(b)(c) | 2,627 | 8,906 | ||||||||
|
| |||||||||
382,003 | ||||||||||
|
|
48 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Oil, Gas & Consumable Fuels – 1.9% | ||||||||||
AltaGas Ltd. | 3,076 | $ | 60,376 | |||||||
Anadarko Petroleum Corp. | 586 | 40,903 | ||||||||
Andeavor | 483 | 69,760 | ||||||||
Antero Resources Corp.(b) | 1,271 | 24,289 | ||||||||
Apache Corp. | 607 | 24,280 | ||||||||
ARC Resources Ltd. | 2,540 | 26,172 | ||||||||
BP PLC | 13,599 | 104,008 | ||||||||
Cabot Oil & Gas Corp. | 1,013 | 23,147 | ||||||||
Caltex Australia Ltd. | 2,288 | 50,742 | ||||||||
Cameco Corp. | 2,728 | 28,214 | ||||||||
Canadian Natural Resources Ltd. (Toronto) | 1,035 | 35,833 | ||||||||
Cenovus Energy, Inc. | 2,621 | 27,653 | ||||||||
Cheniere Energy, Inc.(b) | 609 | 40,572 | ||||||||
Chevron Corp. | 461 | 57,302 | ||||||||
China Petroleum & Chemical Corp. – Class H | 470,000 | 457,206 | ||||||||
China Shenhua Energy Co., Ltd. – Class H | 199,000 | 517,666 | ||||||||
Cimarex Energy Co. | 268 | 24,903 | ||||||||
Concho Resources, Inc.(b) | 241 | 33,092 | ||||||||
ConocoPhillips | 716 | 48,251 | ||||||||
Continental Resources, Inc./OK(b) | 603 | 40,606 | ||||||||
Crescent Point Energy Corp. | 2,365 | 19,043 | ||||||||
Devon Energy Corp. | 669 | 27,810 | ||||||||
Diamondback Energy, Inc. | 286 | 34,537 | ||||||||
Enagas SA | 3,496 | 93,252 | ||||||||
Enbridge, Inc. (Toronto) | 1,314 | 40,831 | ||||||||
Encana Corp. | 2,016 | 25,655 | ||||||||
Eni SpA | 4,936 | 89,574 | ||||||||
EOG Resources, Inc. | 364 | 42,883 | ||||||||
EQT Corp. | 539 | 27,780 | ||||||||
Equinor ASA | 4,590 | 120,660 | ||||||||
Exxon Mobil Corp. | 713 | 57,924 | ||||||||
Galp Energia SGPS SA | 4,711 | 87,451 | ||||||||
Hess Corp. | 565 | 34,137 | ||||||||
HollyFrontier Corp. | 1,019 | 78,646 | ||||||||
Husky Energy, Inc. | 3,080 | 44,445 | ||||||||
Idemitsu Kosan Co., Ltd. | 1,300 | 43,391 | ||||||||
Imperial Oil Ltd. | 1,534 | 50,187 | ||||||||
Inpex Corp. | 4,500 | 49,862 | ||||||||
Inter Pipeline Ltd. | 3,237 | 61,140 | ||||||||
JXTG Holdings, Inc. | 10,100 | 64,884 | ||||||||
Keyera Corp. | 1,731 | 48,528 | ||||||||
Kinder Morgan, Inc./DE | 1,880 | 31,358 | ||||||||
Koninklijke Vopak NV | 1,705 | 83,706 | ||||||||
Lundin Petroleum AB | 2,787 | 88,377 | ||||||||
Marathon Oil Corp. | 1,390 | 29,788 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 49 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Marathon Petroleum Corp. | 622 | $ | 49,157 | |||||||
Murphy Oil Corp. | 914 | 28,105 | ||||||||
Neste Oyj | 1,560 | 127,483 | ||||||||
Newfield Exploration Co.(b) | 746 | 21,813 | ||||||||
Noble Energy, Inc. | 924 | 32,987 | ||||||||
Occidental Petroleum Corp. | 693 | 58,351 | ||||||||
Oil Search Ltd. | 7,596 | 47,371 | ||||||||
OMV AG | 1,553 | 88,987 | ||||||||
ONEOK, Inc. | 703 | 47,916 | ||||||||
Origin Energy Ltd.(b) | 6,206 | 44,809 | ||||||||
Parsley Energy, Inc. – Class A(b) | 749 | 22,080 | ||||||||
Pembina Pipeline Corp. | 2,130 | 74,088 | ||||||||
Peyto Exploration & Development Corp. | 1,639 | 13,387 | ||||||||
Phillips 66 | 607 | 70,709 | ||||||||
Pioneer Natural Resources Co. | 178 | 34,372 | ||||||||
PrairieSky Royalty Ltd. | 1,883 | 38,819 | ||||||||
Range Resources Corp. | 940 | 14,890 | ||||||||
Royal Dutch Shell PLC – Class A | 3,106 | 107,692 | ||||||||
Royal Dutch Shell PLC – Class B | 3,120 | 111,435 | ||||||||
Santos Ltd.(b) | 11,768 | 51,947 | ||||||||
Seven Generations Energy Ltd.(b) | 1,456 | 18,843 | ||||||||
Showa Shell Sekiyu KK | 4,200 | 55,654 | ||||||||
Snam SpA | 22,765 | 93,167 | ||||||||
Southwestern Energy Co.(b) | 2,381 | 11,262 | ||||||||
Suncor Energy, Inc. (Toronto) | 1,483 | 59,064 | ||||||||
Targa Resources Corp. | 621 | 30,199 | ||||||||
TOTAL SA | 1,632 | 99,216 | ||||||||
Tourmaline Oil Corp. | 1,532 | 30,555 | ||||||||
TransCanada Corp. | 1,444 | 60,451 | ||||||||
Valero Energy Corp. | 618 | 74,902 | ||||||||
Vermilion Energy, Inc. | 920 | 32,249 | ||||||||
Williams Cos., Inc. (The) | 1,051 | 28,230 | ||||||||
Woodside Petroleum Ltd. | 2,048 | 50,044 | ||||||||
|
| |||||||||
4,841,058 | ||||||||||
|
| |||||||||
5,223,061 | ||||||||||
|
| |||||||||
Utilities – 1.7% | ||||||||||
Electric Utilities – 0.9% | ||||||||||
Alliant Energy Corp. | 1,649 | 68,302 | ||||||||
American Electric Power Co., Inc. | 1,054 | 71,619 | ||||||||
AusNet Services | 25,318 | 31,022 | ||||||||
Chubu Electric Power Co., Inc. | 2,200 | 34,036 | ||||||||
Chugoku Electric Power Co., Inc. (The) | 2,700 | 35,239 | ||||||||
CK Infrastructure Holdings Ltd. | 4,000 | 30,119 | ||||||||
CLP Holdings Ltd. | 5,000 | 52,498 | ||||||||
Contact Energy Ltd. | 9,286 | 37,361 |
50 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Duke Energy Corp. | 865 | $ | 66,743 | |||||||
Edison International | 797 | 49,542 | ||||||||
EDP – Energias de Portugal SA | 18,050 | 70,596 | ||||||||
Electricite de France SA | 3,570 | 47,381 | ||||||||
Emera, Inc. | 2,500 | 78,089 | ||||||||
Endesa SA | 3,408 | 75,190 | ||||||||
Enel SpA | 10,639 | 58,470 | ||||||||
Entergy Corp. | 880 | 71,201 | ||||||||
Eversource Energy | 1,141 | 65,128 | ||||||||
Exelon Corp. | 1,491 | 61,713 | ||||||||
FirstEnergy Corp. | 1,915 | 65,914 | ||||||||
Fortis, Inc./Canada | 2,662 | 85,058 | ||||||||
Fortum Oyj | 4,004 | 93,990 | ||||||||
HK Electric Investments & HK Electric Investments Ltd. – Class SS(a) | 35,797 | 34,687 | ||||||||
Hokuriku Electric Power Co.(b) | 3,500 | 35,139 | ||||||||
Hydro One Ltd.(a) | 3,582 | 53,760 | ||||||||
Iberdrola SA | 7,327 | 52,032 | ||||||||
Kansai Electric Power Co., Inc. (The) | 1,900 | 27,302 | ||||||||
Kyushu Electric Power Co., Inc. | 2,000 | 23,624 | ||||||||
Mercury NZ Ltd. | 14,799 | 33,375 | ||||||||
NextEra Energy, Inc. | 539 | 89,372 | ||||||||
OGE Energy Corp. | 1,973 | 69,095 | ||||||||
Orsted A/S(a) | 1,497 | 89,590 | ||||||||
PG&E Corp. | 922 | 39,950 | ||||||||
Pinnacle West Capital Corp. | 753 | 59,946 | ||||||||
Power Assets Holdings Ltd. | 5,500 | 38,253 | ||||||||
PPL Corp. | 1,790 | 48,903 | ||||||||
Red Electrica Corp. SA | 3,748 | 73,177 | ||||||||
Southern Co. (The) | 1,397 | 62,725 | ||||||||
SSE PLC | 3,489 | 63,380 | ||||||||
Terna Rete Elettrica Nazionale SpA | 13,636 | 72,196 | ||||||||
Tohoku Electric Power Co., Inc. | 2,300 | 29,322 | ||||||||
Tokyo Electric Power Co. Holdings, Inc.(b) | 6,500 | 30,799 | ||||||||
Westar Energy, Inc. | 973 | 55,169 | ||||||||
Xcel Energy, Inc. | 1,190 | 54,169 | ||||||||
|
| |||||||||
2,385,176 | ||||||||||
|
| |||||||||
Gas Utilities – 0.2% | ||||||||||
APA Group | 5,017 | 32,903 | ||||||||
Atmos Energy Corp. | 860 | 76,721 | ||||||||
Gas Natural SDG SA | 2,625 | 64,437 | ||||||||
Hong Kong & China Gas Co., Ltd. | 30,346 | 65,447 | ||||||||
Osaka Gas Co., Ltd. | 2,000 | 43,547 | ||||||||
Toho Gas Co., Ltd. | 800 | 25,200 | ||||||||
Tokyo Gas Co., Ltd. | 1,200 | 32,631 | ||||||||
UGI Corp. | 1,317 | 66,469 | ||||||||
|
| |||||||||
407,355 | ||||||||||
|
|
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 51 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Independent Power and Renewable Electricity Producers – 0.0% | ||||||||||
AES Corp./VA | 4,046 | $ | 51,587 | |||||||
Electric Power Development Co., Ltd. | 1,303 | 34,523 | ||||||||
Meridian Energy Ltd. | 16,289 | 33,993 | ||||||||
|
| |||||||||
120,103 | ||||||||||
|
| |||||||||
Multi-Utilities – 0.5% | ||||||||||
AGL Energy Ltd. | 1,749 | 29,152 | ||||||||
Ameren Corp. | 1,162 | 68,779 | ||||||||
Atco Ltd./Canada – Class I | 1,665 | 50,608 | ||||||||
Canadian Utilities Ltd. – Class A | 2,932 | 71,163 | ||||||||
CenterPoint Energy, Inc. | 2,121 | 55,422 | ||||||||
Centrica PLC | 23,244 | 45,010 | ||||||||
CMS Energy Corp. | 1,535 | 70,810 | ||||||||
Consolidated Edison, Inc. | 866 | 66,448 | ||||||||
Dominion Energy, Inc. | 792 | 50,839 | ||||||||
DTE Energy Co. | 687 | 70,369 | ||||||||
E.ON SE | 6,694 | 70,911 | ||||||||
Engie SA | 3,398 | 53,603 | ||||||||
Innogy SE(a) | 2,098 | 88,466 | ||||||||
National Grid PLC | 4,604 | 50,814 | ||||||||
NiSource, Inc. | 2,608 | 65,982 | ||||||||
Public Service Enterprise Group, Inc. | 1,187 | 62,887 | ||||||||
RWE AG | 2,734 | 62,012 | ||||||||
SCANA Corp. | 783 | 28,423 | ||||||||
Sempra Energy | 547 | 58,272 | ||||||||
Suez | 3,280 | 45,014 | ||||||||
United Utilities Group PLC | 6,181 | 63,628 | ||||||||
Veolia Environnement SA | 2,624 | 59,530 | ||||||||
WEC Energy Group, Inc. | 1,055 | 66,623 | ||||||||
|
| |||||||||
1,354,765 | ||||||||||
|
| |||||||||
Water Utilities – 0.1% | ||||||||||
American Water Works Co., Inc. | 869 | 72,248 | ||||||||
Severn Trent PLC | 2,353 | 62,111 | ||||||||
|
| |||||||||
134,359 | ||||||||||
|
| |||||||||
4,401,758 | ||||||||||
|
| |||||||||
Real Estate – 1.2% | ||||||||||
Equity Real Estate Investment Trusts (REITs) – 0.9% | ||||||||||
Alexandria Real Estate Equities, Inc. | 370 | 46,220 | ||||||||
American Tower Corp. | 354 | 48,983 | ||||||||
Ascendas Real Estate Investment Trust | 9,200 | 18,179 | ||||||||
AvalonBay Communities, Inc. | 234 | 38,736 | ||||||||
Boston Properties, Inc. | 360 | 43,837 | ||||||||
British Land Co. PLC (The) | 5,156 | 46,415 |
52 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Brixmor Property Group, Inc. | 1,101 | $ | 17,484 | |||||||
Camden Property Trust | 472 | 41,536 | ||||||||
CapitaLand Commercial Trust | 14,000 | 17,847 | ||||||||
CapitaLand Mall Trust | 12,000 | 18,548 | ||||||||
Colony NorthStar, Inc. – Class A(c) | 3,138 | 18,483 | ||||||||
Crown Castle International Corp. | 494 | 51,450 | ||||||||
Daiwa House REIT Investment Corp. | 6 | 14,131 | ||||||||
Dexus | 2,267 | 16,911 | ||||||||
Digital Realty Trust, Inc. | 378 | 40,627 | ||||||||
Duke Realty Corp. | 1,323 | 37,203 | ||||||||
Equinix, Inc. | 91 | 36,113 | ||||||||
Equity Residential | 641 | 41,018 | ||||||||
Essex Property Trust, Inc. | 185 | 44,220 | ||||||||
Extra Space Storage, Inc. | 489 | 47,066 | ||||||||
Federal Realty Investment Trust | 282 | 33,527 | ||||||||
Fonciere Des Regions | 424 | 44,198 | ||||||||
Gecina SA | 296 | 51,175 | ||||||||
GGP, Inc. | 1,214 | 24,620 | ||||||||
Goodman Group | 2,849 | 20,080 | ||||||||
GPT Group (The) | 4,611 | 17,495 | ||||||||
H&R Real Estate Investment Trust | 3,643 | 56,783 | ||||||||
Hammerson PLC | 5,647 | 41,020 | ||||||||
HCP, Inc. | 1,144 | 27,422 | ||||||||
Host Hotels & Resorts, Inc. | 1,706 | 36,901 | ||||||||
ICADE | 547 | 50,807 | ||||||||
Intu Properties PLC | 9,375 | 24,813 | ||||||||
Iron Mountain, Inc. | 1,144 | 38,084 | ||||||||
Japan Prime Realty Investment Corp. | 6 | 21,781 | ||||||||
Japan Real Estate Investment Corp. | 4 | 20,962 | ||||||||
Japan Retail Fund Investment Corp. | 8 | 14,508 | ||||||||
JBG SMITH Properties | 232 | 8,558 | ||||||||
Kimco Realty Corp. | 1,471 | 22,742 | ||||||||
Klepierre SA | 1,062 | 41,368 | ||||||||
Land Securities Group PLC | 3,092 | 38,165 | ||||||||
Liberty Property Trust | 1,003 | 44,343 | ||||||||
Link REIT | 3,000 | 26,432 | ||||||||
Macerich Co. (The) | 493 | 27,426 | ||||||||
Mid-America Apartment Communities, Inc. | 487 | 45,564 | ||||||||
Mirvac Group | 10,349 | 17,962 | ||||||||
National Retail Properties, Inc. | 864 | 35,795 | ||||||||
Nippon Building Fund, Inc. | 4 | 22,395 | ||||||||
Nippon Prologis REIT, Inc. | 7 | 14,589 | ||||||||
Nomura Real Estate Master Fund, Inc. | 12 | 16,804 | ||||||||
Prologis, Inc. | 721 | 46,396 | ||||||||
Public Storage | 203 | 43,003 | ||||||||
Realty Income Corp. | 678 | 36,137 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 53 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Regency Centers Corp. | 664 | $ | 38,565 | |||||||
RioCan Real Estate Investment Trust (Toronto) | 3,105 | 56,396 | ||||||||
SBA Communications Corp.(b) | 280 | 44,260 | ||||||||
Scentre Group | 5,795 | 18,301 | ||||||||
Segro PLC | 5,086 | 44,200 | ||||||||
Simon Property Group, Inc. | 199 | 31,884 | ||||||||
SL Green Realty Corp. | 359 | 35,010 | ||||||||
SmartCentres Real Estate Investment Trust | 1,619 | 36,735 | ||||||||
Stockland | 5,177 | 16,236 | ||||||||
Suntec Real Estate Investment Trust | 13,300 | 17,826 | ||||||||
UDR, Inc. | 1,200 | 43,764 | ||||||||
Unibail-Rodamco SE | 156 | 35,123 | ||||||||
Unibail-Rodamco SE(b) | 959 | 10,663 | ||||||||
United Urban Investment Corp. | 12 | 18,380 | ||||||||
Ventas, Inc. | 613 | 33,506 | ||||||||
VEREIT, Inc. | 3,437 | 24,609 | ||||||||
Vicinity Centres | 8,394 | 16,927 | ||||||||
Vornado Realty Trust | 465 | 32,415 | ||||||||
Welltower, Inc. | 621 | 35,801 | ||||||||
Weyerhaeuser Co. | 1,110 | 41,436 | ||||||||
|
| |||||||||
2,328,899 | ||||||||||
|
| |||||||||
Real Estate Management & Development – 0.3% | ||||||||||
Aeon Mall Co., Ltd. | 900 | 17,323 | ||||||||
CapitaLand Ltd. | 6,700 | 17,265 | ||||||||
CBRE Group, Inc. – Class A(b) | 938 | 43,326 | ||||||||
City Developments Ltd. | 2,300 | 19,198 | ||||||||
CK Asset Holdings Ltd. | 2,684 | 22,310 | ||||||||
Daito Trust Construction Co., Ltd. | 100 | 16,299 | ||||||||
Daiwa House Industry Co., Ltd. | 500 | 18,061 | ||||||||
Deutsche Wohnen SE | 1,099 | 51,520 | ||||||||
First Capital Realty, Inc. | 2,575 | 41,745 | ||||||||
Hang Lung Group Ltd. | 4,000 | 12,365 | ||||||||
Hang Lung Properties Ltd. | 7,000 | 15,850 | ||||||||
Henderson Land Development Co., Ltd. | 3,465 | 22,712 | ||||||||
Hongkong Land Holdings Ltd. | 2,200 | 15,950 | ||||||||
Hulic Co., Ltd. | 1,800 | 18,413 | ||||||||
Hysan Development Co., Ltd. | 4,000 | 23,076 | ||||||||
Jones Lang LaSalle, Inc. | 249 | 40,776 | ||||||||
Kerry Properties Ltd. | 4,500 | 23,999 | ||||||||
LendLease Group | 1,330 | 18,822 | ||||||||
Mitsubishi Estate Co., Ltd. | 900 | 16,285 | ||||||||
Mitsui Fudosan Co., Ltd. | 700 | 17,503 | ||||||||
New World Development Co., Ltd. | 16,287 | 24,872 | ||||||||
Nomura Real Estate Holdings, Inc. | 800 | 18,684 | ||||||||
Sino Land Co., Ltd. | 10,000 | 17,233 |
54 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Sumitomo Realty & Development Co., Ltd. | 1,000 | $ | 37,633 | |||||||
Sun Hung Kai Properties Ltd. | 1,000 | 16,086 | ||||||||
Swire Pacific Ltd. – Class A | 2,500 | 25,701 | ||||||||
Swire Properties Ltd. | 5,200 | 20,361 | ||||||||
Swiss Prime Site AG (REG)(b) | 732 | 68,336 | ||||||||
Tokyo Tatemono Co., Ltd. | 1,300 | 17,957 | ||||||||
Tokyu Fudosan Holdings Corp. | 2,900 | 21,352 | ||||||||
UOL Group Ltd. | 3,428 | 20,730 | ||||||||
Vonovia SE | 1,235 | 58,209 | ||||||||
Wharf Holdings Ltd. (The) | 2,000 | 6,434 | ||||||||
Wharf Real Estate Investment Co., Ltd. | 2,000 | 15,378 | ||||||||
Wheelock & Co., Ltd. | 2,000 | 15,021 | ||||||||
|
| |||||||||
856,785 | ||||||||||
|
| |||||||||
3,185,684 | ||||||||||
|
| |||||||||
Telecommunication Services – 0.7% | ||||||||||
Diversified Telecommunication Services – 0.5% | ||||||||||
AT&T, Inc. | 2,120 | 68,518 | ||||||||
BCE, Inc. | 3,032 | 126,298 | ||||||||
BT Group PLC | 7,665 | 20,788 | ||||||||
CenturyLink, Inc. | 3,838 | 69,928 | ||||||||
Deutsche Telekom AG (REG) | 2,256 | 34,948 | ||||||||
Elisa Oyj | 1,116 | 49,999 | ||||||||
Eurazeo SA | 605 | 47,328 | ||||||||
Frontier Communications Corp.(c) | 2,474 | 18,382 | ||||||||
HKT Trust & HKT Ltd. – Class SS | 15,000 | 18,908 | ||||||||
Iliad SA | 138 | 23,355 | ||||||||
Inmarsat PLC | 3,662 | 18,207 | ||||||||
Koninklijke KPN NV | 12,242 | 33,260 | ||||||||
Nippon Telegraph & Telephone Corp. | 600 | 28,030 | ||||||||
Orange SA | 2,176 | 37,451 | ||||||||
PCCW Ltd. | 34,000 | 19,987 | ||||||||
Proximus SADP | 1,770 | 47,361 | ||||||||
Singapore Telecommunications Ltd. | 7,300 | 17,874 | ||||||||
Spark New Zealand Ltd. | 7,582 | 19,382 | ||||||||
Swisscom AG (REG) | 114 | 50,863 | ||||||||
TDC A/S(b) | 5,676 | 44,719 | ||||||||
Telecom Italia SpA/Milano | 31,583 | 25,416 | ||||||||
Telecom Italia SpA/Milano | 39,625 | 27,768 | ||||||||
Telefonica Deutschland Holding AG | 7,772 | 32,837 | ||||||||
Telefonica SA | 3,229 | 28,482 | ||||||||
Telenor ASA | 2,325 | 47,892 | ||||||||
Telia Co. AB | 12,753 | 59,795 | ||||||||
Telstra Corp., Ltd. | 7,921 | 16,737 | ||||||||
TELUS Corp. | 3,342 | 117,509 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 55 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
TPG Telecom Ltd. | 4,421 | $ | 18,586 | |||||||
Verizon Communications, Inc. | 1,696 | 80,848 | ||||||||
Vocus Group Ltd.(b) | 10,099 | 18,361 | ||||||||
Zayo Group Holdings, Inc.(b) | 1,513 | 52,652 | ||||||||
|
| |||||||||
1,322,469 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services – 0.2% | ||||||||||
KDDI Corp. | 800 | 21,579 | ||||||||
Millicom International Cellular SA | 591 | 37,240 | ||||||||
NTT DOCOMO, Inc. | 1,000 | 25,792 | ||||||||
Rogers Communications, Inc. – Class B | 2,193 | 102,918 | ||||||||
SoftBank Group Corp. | 200 | 14,192 | ||||||||
Sprint Corp.(b)(c) | 2,737 | 14,068 | ||||||||
StarHub Ltd. | 10,000 | 14,383 | ||||||||
T-Mobile US, Inc.(b) | 690 | 38,433 | ||||||||
Tele2 AB – Class B | 4,849 | 59,337 | ||||||||
Vodafone Group PLC | 17,886 | 45,707 | ||||||||
|
| |||||||||
373,649 | ||||||||||
|
| |||||||||
1,696,118 | ||||||||||
|
| |||||||||
Total Common Stocks | 68,064,891 | |||||||||
|
| |||||||||
Principal Amount (000) | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 3.5% | ||||||||||
Risk Share Floating Rate – 3.5% | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | U.S.$ | 1,136 | 1,292,559 | |||||||
Series 2015-C03, Class 2M2 | 6,992 | 7,776,979 | ||||||||
|
| |||||||||
Total Collateralized Mortgage Obligations | 9,069,538 | |||||||||
|
| |||||||||
Shares | ||||||||||
PREFERRED STOCKS – 1.5% | ||||||||||
Financials – 1.5% | ||||||||||
Equity Real Estate Investment Trusts (REITs) – 1.5% | ||||||||||
Apartment Investment & Management Co. | 42,000 | 1,095,780 |
56 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
Hersha Hospitality Trust | 60,000 | $ | 1,458,000 | |||||||
Pebblebrook Hotel Trust | 58,525 | 1,442,056 | ||||||||
|
| |||||||||
Total Preferred Stocks | 3,995,836 | |||||||||
|
| |||||||||
Principal Amount (000) | ||||||||||
GOVERNMENTS – SOVEREIGN | ||||||||||
Mexico – 0.4% | ||||||||||
Mexico Government International Bond | U.S.$ | 1,174 | 1,161,673 | |||||||
|
| |||||||||
EMERGING MARKETS – | ||||||||||
Industrial – 0.3% | ||||||||||
Energy – 0.3% | ||||||||||
Petrobras Global Finance BV | 768 | 643,200 | ||||||||
|
| |||||||||
Contracts | ||||||||||
OPTIONS PURCHASED – | ||||||||||
Options on Forward Contracts – 0.0% | ||||||||||
USD/MXN | USD | 2,800,000 | 2,296 | |||||||
|
| |||||||||
Options on Funds and Investment Trusts – 0.1% | ||||||||||
SPDR S&P 500 ETF Trust | USD | 484 | 147,620 | |||||||
|
| |||||||||
Total Options Purchased – Puts | 149,916 | |||||||||
|
|
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 57 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company |
Shares | U.S. $ Value | ||||||||
| ||||||||||
INVESTMENT COMPANIES – 0.0% | ||||||||||
Funds and Investment Trusts – 0.0% | ||||||||||
Altaba, Inc.(b)(i) | 1,120 | $ | 86,419 | |||||||
|
| |||||||||
RIGHTS – 0.0% | ||||||||||
Consumer Discretionary – 0.0% | ||||||||||
Media – 0.0% | ||||||||||
Altice NV, – Class A, expiring | 704 | 5,134 | ||||||||
Altice NV, – Class B, expiring | 1,011 | 7,373 | ||||||||
|
| |||||||||
12,507 | ||||||||||
|
| |||||||||
Industrials – 0.0% | ||||||||||
Construction & Engineering – 0.0% | ||||||||||
Ferrovial SA, expiring 5/31/18(b) | 951 | 347 | ||||||||
|
| |||||||||
Total Rights | 12,854 | |||||||||
|
| |||||||||
OPTIONS PURCHASED – CALLS – 0.0% | ||||||||||
Options on Forward Contracts – 0.0% | ||||||||||
SEK/EUR | SEK | 21,767,300 | 600 | |||||||
|
| |||||||||
Shares | ||||||||||
SHORT-TERM INVESTMENTS – 3.4% | ||||||||||
Investment Companies – 3.4% | ||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, | 9,026,718 | 9,026,718 | ||||||||
|
| |||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 96.9% | 253,902,272 | |||||||||
|
| |||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.3% | ||||||||||
Investment Companies – 0.3% | ||||||||||
AB Fixed Income Shares, Inc. – | 748,882 | 748,882 | ||||||||
|
| |||||||||
Total Investments – 97.2% | 254,651,154 | |||||||||
Other assets less liabilities – 2.8% | 7,401,819 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 262,052,973 | ||||||||
|
|
58 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Notional | Original Value | Value at May 31, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||||||||||
Brent Crude Futures | 33 | July 2018 | USD | 33 | $ | 2,611,350 | $ | 2,549,250 | $ | (62,100 | ) | |||||||||||||||||
Canadian 10 Yr Bond Futures | 135 | September 2018 | CAD | 13,500 | 13,820,969 | 14,153,864 | 332,895 | |||||||||||||||||||||
Cattle Feeder Futures | 36 | August 2018 | USD | 1,800 | 2,566,522 | 2,653,200 | 86,678 | |||||||||||||||||||||
Cocoa Futures | 49 | July 2018 | USD | 0 | ** | 1,282,490 | 1,202,460 | (80,030 | ) | |||||||||||||||||||
Cocoa Futures | 103 | July 2018 | GBP | 1 | 2,610,036 | 2,427,647 | (182,389 | ) | ||||||||||||||||||||
Coff Robusta Futures | 104 | July 2018 | USD | 1 | 1,831,619 | 1,822,080 | (9,539 | ) | ||||||||||||||||||||
Coffee ‘C’ Futures | 54 | July 2018 | USD | 2,025 | 2,383,623 | 2,504,925 | 121,302 | |||||||||||||||||||||
Copper Futures | 46 | July 2018 | USD | 1,150 | 3,638,266 | 3,524,750 | (113,516 | ) | ||||||||||||||||||||
Corn Futures | 157 | July 2018 | USD | 785 | 3,054,307 | 3,092,900 | 38,593 | |||||||||||||||||||||
Cotton No.2 Futures | 43 | July 2018 | USD | 2,150 | 1,783,630 | 2,002,725 | 219,095 | |||||||||||||||||||||
Euro STOXX 50 Index Futures | 255 | June 2018 | EUR | 3 | 9,994,292 | 10,156,536 | 162,244 | |||||||||||||||||||||
FTSE 100 Index Futures | 84 | June 2018 | GBP | 1 | 8,277,439 | 8,564,740 | 287,301 | |||||||||||||||||||||
Gasoline RBOB Futures | 31 | June 2018 | USD | 1,302 | 2,761,045 | 2,812,971 | 51,926 | |||||||||||||||||||||
Gold 100 OZ Futures | 37 | August 2018 | USD | 4 | 4,800,843 | 4,827,390 | 26,547 | |||||||||||||||||||||
Hang Seng Index Futures | 3 | June 2018 | HKD | 0 | ** | 585,677 | 583,250 | (2,427 | ) | |||||||||||||||||||
KC HRW Wheat Futures | 66 | July 2018 | USD | 330 | 1,655,233 | 1,790,250 | 135,017 | |||||||||||||||||||||
Lean Hogs Futures | 78 | July 2018 | USD | 3,120 | 2,465,826 | 2,435,160 | (30,666 | ) | ||||||||||||||||||||
Live Cattle Futures | 51 | August 2018 | USD | 2,040 | 2,100,913 | 2,120,580 | 19,667 | |||||||||||||||||||||
LME Lead Futures | 49 | July 2018 | USD | 1 | 2,860,087 | 3,008,906 | 148,819 | |||||||||||||||||||||
LME Nickel Futures | 18 | July 2018 | USD | 0 | ** | 1,539,379 | 1,640,412 | 101,033 | ||||||||||||||||||||
LME Primary Aluminum Futures | 43 | July 2018 | USD | 1 | 2,417,000 | 2,483,250 | 66,250 | |||||||||||||||||||||
LME Zinc Futures | 34 | July 2018 | USD | 1 | 2,756,604 | 2,632,875 | (123,729 | ) |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 59 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Notional | Original Value | Value at May 31, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Long Gilt Futures | 57 | September 2018 | GBP | 5,700 | $ | 9,126,188 | $ | 9,354,933 | $ | 228,745 | ||||||||||||||||||
Low SU Gasoil Futures | 43 | July 2018 | USD | 4 | 2,778,853 | 2,931,525 | 152,672 | |||||||||||||||||||||
Mini MSCI Emerging Market Futures | 183 | June 2018 | USD | 9 | 10,729,123 | 10,263,555 | (465,568 | ) | ||||||||||||||||||||
Natural Gas Futures | 137 | June 2018 | USD | 1,370 | 3,864,125 | 4,044,240 | 180,115 | |||||||||||||||||||||
Nikkei 225 (CME) Futures | 64 | June 2018 | USD | 0 | ** | 6,820,986 | 7,072,000 | 251,014 | ||||||||||||||||||||
NY Harbor ULSD Futures | 31 | June 2018 | USD | 1,302 | 2,771,473 | 2,870,389 | 98,916 | |||||||||||||||||||||
Palladium Futures | 25 | September 2018 | USD | 3 | 2,415,570 | 2,454,250 | 38,680 | |||||||||||||||||||||
Platinum Futures | 92 | July 2018 | USD | 5 | 4,246,257 | 4,186,460 | (59,797 | ) | ||||||||||||||||||||
Russell 2000 E-Mini Futures | 136 | June 2018 | USD | 7 | 10,726,937 | 11,112,560 | 385,623 | |||||||||||||||||||||
S&P 500 E-Mini Futures | 59 | June 2018 | USD | 3 | 7,902,037 | 7,981,225 | 79,188 | |||||||||||||||||||||
S&P Mid 400 E-Mini Futures | 16 | June 2018 | USD | 2 | 3,081,080 | 3,115,200 | 34,120 | |||||||||||||||||||||
Silver Futures | 33 | July 2018 | USD | 165 | 2,755,583 | 2,715,570 | (40,013 | ) | ||||||||||||||||||||
Soybean Futures | 75 | July 2018 | USD | 375 | 3,843,772 | 3,819,375 | (24,397 | ) | ||||||||||||||||||||
Soybean Meal Futures | 8 | September 2018 | USD | 1 | 302,742 | 300,640 | (2,102 | ) | ||||||||||||||||||||
Soybean Meal Futures | 79 | July 2018 | USD | 8 | 2,990,824 | 2,964,870 | (25,954 | ) | ||||||||||||||||||||
Soybean Oil Futures | 229 | July 2018 | USD | 13,740 | 4,303,416 | 4,275,888 | (27,528 | ) | ||||||||||||||||||||
Sugar 11 (World) Futures | 177 | June 2018 | USD | 19,824 | 2,267,585 | 2,535,490 | 267,905 | |||||||||||||||||||||
TOPIX Index Futures | 12 | June 2018 | JPY | 120 | 1,878,647 | 1,924,346 | 45,699 | |||||||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 34 | September 2018 | USD | 3,400 | 3,847,434 | 3,872,281 | 24,847 | |||||||||||||||||||||
Wheat (CBT) Futures | 78 | July 2018 | USD | 390 | 1,845,607 | 2,052,375 | 206,768 | |||||||||||||||||||||
WTI Crude Futures | 31 | September 2018 | USD | 31 | 2,076,738 | 2,049,410 | (27,328 | ) |
60 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Notional | Original Value | Value at May 31, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Sold Contracts |
| |||||||||||||||||||||||||||
Cocoa Futures | 116 | July 2018 | USD | 1 | $ | 3,192,509 | $ | 2,846,640 | $ | 345,869 | ||||||||||||||||||
Gold 100 OZ Futures | 14 | August 2018 | USD | 1 | 1,814,042 | 1,826,580 | (12,538 | ) | ||||||||||||||||||||
Japan 10 Yr Bond (OSE) Futures | 19 | June 2018 | JPY | 1,900,000 | 26,320,608 | 26,367,882 | (47,274 | ) | ||||||||||||||||||||
S&P TSX 60 Index Futures | 34 | June 2018 | CAD | 7 | 4,910,191 | 4,978,590 | (68,399 | ) | ||||||||||||||||||||
SPI 200 Futures | 10 | June 2018 | AUD | 0 | ** | 1,153,260 | 1,137,400 | 15,860 | ||||||||||||||||||||
Wheat (CBT) Futures | 34 | July 2018 | USD | 170 | 887,443 | 894,625 | (7,182 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 2,740,912 | |||||||||||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Australia and New Zealand Banking Group Ltd. | NZD | 2,176 | USD | 1,582 | 7/17/18 | $ | 59,306 | |||||||||
Australia and New Zealand Banking Group Ltd. | AUD | 1,380 | USD | 1,065 | 7/17/18 | 21,230 | ||||||||||
Bank of America, NA | JPY | 112,884 | USD | 1,062 | 7/17/18 | 20,888 | ||||||||||
Bank of America, NA | RUB | 32,673 | USD | 519 | 6/26/18 | (3,827 | ) | |||||||||
Bank of America, NA | BRL | 3,780 | USD | 1,012 | 6/04/18 | (3,517 | ) | |||||||||
Bank of America, NA | BRL | 5,662 | USD | 1,576 | 6/04/18 | 55,370 | ||||||||||
Bank of America, NA | NZD | 728 | USD | 529 | 7/17/18 | 19,143 | ||||||||||
Bank of America, NA | EUR | 431 | USD | 537 | 7/17/18 | 31,464 | ||||||||||
Bank of America, NA | GBP | 380 | USD | 536 | 7/17/18 | 30,207 | ||||||||||
Bank of America, NA | USD | 536 | EUR | 431 | 7/17/18 | (30,070 | ) | |||||||||
Bank of America, NA | USD | 1,217 | CHF | 1,197 | 6/28/18 | (281 | ) | |||||||||
Bank of America, NA | USD | 1,334 | CAD | 1,704 | 6/12/18 | (19,928 | ) | |||||||||
Bank of America, NA | USD | 1,515 | BRL | 5,662 | 6/04/18 | 5,269 | ||||||||||
Bank of America, NA | USD | 1,589 | CAD | 2,018 | 7/17/18 | (31,089 | ) | |||||||||
Bank of America, NA | USD | 1,055 | BRL | 3,780 | 6/04/18 | (40,252 | ) | |||||||||
Bank of America, NA | USD | 535 | NOK | 4,182 | 7/17/18 | (22,638 | ) | |||||||||
Bank of America, NA | USD | 2,092 | ZAR | 26,039 | 7/17/18 | (58,357 | ) | |||||||||
Bank of America, NA | USD | 2,556 | RUB | 158,024 | 6/26/18 | (27,399 | ) | |||||||||
Bank of America, NA | USD | 952 | JPY | 103,074 | 6/28/18 | (2,750 | ) | |||||||||
Barclays Bank PLC | KRW | 3,190,678 | USD | 2,964 | 7/26/18 | 5,596 | ||||||||||
Barclays Bank PLC | JPY | 225,200 | USD | 2,117 | 7/17/18 | 40,379 | ||||||||||
Barclays Bank PLC | INR | 53,904 | USD | 782 | 8/09/18 | (10,228 | ) | |||||||||
Barclays Bank PLC | TWD | 54,858 | USD | 1,880 | 6/07/18 | 49,149 | ||||||||||
Barclays Bank PLC | CNY | 12,609 | USD | 1,977 | 6/19/18 | 13,882 | ||||||||||
Barclays Bank PLC | CAD | 12,376 | USD | 9,628 | 6/19/18 | 78,433 | ||||||||||
Barclays Bank PLC | MYR | 11,475 | USD | 2,810 | 7/12/18 | (60,470 | ) | |||||||||
Barclays Bank PLC | CNY | 6,069 | USD | 945 | 7/17/18 | 1,550 | ||||||||||
Barclays Bank PLC | BRL | 5,915 | USD | 1,589 | 6/04/18 | 448 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 61 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Barclays Bank PLC | PLN | 4,376 | USD | 1,248 | 7/17/18 | $ | 62,906 | |||||||||
Barclays Bank PLC | MYR | 10,545 | USD | 2,690 | 7/12/18 | 51,557 | ||||||||||
Barclays Bank PLC | CNY | 3,387 | USD | 531 | 6/28/18 | 3,880 | ||||||||||
Barclays Bank PLC | GBP | 5,635 | USD | 7,854 | 6/19/18 | 357,686 | ||||||||||
Barclays Bank PLC | CHF | 2,035 | USD | 2,130 | 7/17/18 | 57,152 | ||||||||||
Barclays Bank PLC | ILS | 1,892 | USD | 530 | 7/17/18 | (2,453 | ) | |||||||||
Barclays Bank PLC | ILS | 3,697 | USD | 1,070 | 7/17/18 | 29,291 | ||||||||||
Barclays Bank PLC | NZD | 1,733 | USD | 1,215 | 8/09/18 | 2,630 | ||||||||||
Barclays Bank PLC | CAD | 1,367 | USD | 1,051 | 6/12/18 | (3,439 | ) | |||||||||
Barclays Bank PLC | BRL | 1,304 | USD | 349 | 7/03/18 | (47 | ) | |||||||||
Barclays Bank PLC | BRL | 1,304 | USD | 349 | 6/04/18 | (1,213 | ) | |||||||||
Barclays Bank PLC | NZD | 736 | USD | 527 | 7/17/18 | 12,012 | ||||||||||
Barclays Bank PLC | AUD | 692 | USD | 528 | 7/17/18 | 4,160 | ||||||||||
Barclays Bank PLC | USD | 1,148 | GBP | 824 | 6/19/18 | (52,303 | ) | |||||||||
Barclays Bank PLC | USD | 1,056 | EUR | 845 | 7/17/18 | (65,219 | ) | |||||||||
Barclays Bank PLC | GBP | 992 | SEK | 11,535 | 6/14/18 | (10,211 | ) | |||||||||
Barclays Bank PLC | USD | 1,064 | CHF | 1,059 | 7/17/18 | 14,853 | ||||||||||
Barclays Bank PLC | USD | 350 | BRL | 1,304 | 6/04/18 | (99 | ) | |||||||||
Barclays Bank PLC | EUR | 1,336 | GBP | 1,170 | 7/17/18 | (7,852 | ) | |||||||||
Barclays Bank PLC | EUR | 1,493 | JPY | 197,958 | 7/17/18 | 74,399 | ||||||||||
Barclays Bank PLC | CAD | 1,699 | JPY | 144,830 | 6/12/18 | 21,283 | ||||||||||
Barclays Bank PLC | USD | 531 | PLN | 1,785 | 7/17/18 | (47,404 | ) | |||||||||
Barclays Bank PLC | USD | 4,830 | MYR | 19,078 | 7/12/18 | (57,129 | ) | |||||||||
Barclays Bank PLC | USD | 510 | MYR | 2,089 | 7/12/18 | 13,095 | ||||||||||
Barclays Bank PLC | USD | 522 | TRY | 2,136 | 7/17/18 | (59,028 | ) | |||||||||
Barclays Bank PLC | USD | 530 | TRY | 2,524 | 6/21/18 | 23,311 | ||||||||||
Barclays Bank PLC | USD | 529 | NOK | 4,063 | 7/17/18 | (32,069 | ) | |||||||||
Barclays Bank PLC | USD | 1,583 | BRL | 5,915 | 6/04/18 | 5,504 | ||||||||||
Barclays Bank PLC | USD | 1,584 | BRL | 5,915 | 7/03/18 | 212 | ||||||||||
Barclays Bank PLC | USD | 522 | ZAR | 6,159 | 7/17/18 | (40,685 | ) | |||||||||
Barclays Bank PLC | USD | 1,061 | SEK | 9,244 | 7/26/18 | (8,477 | ) | |||||||||
Barclays Bank PLC | USD | 3,731 | TWD | 109,286 | 6/07/18 | (83,322 | ) | |||||||||
Barclays Bank PLC | USD | 2,108 | MXN | 41,410 | 6/14/18 | (35,443 | ) | |||||||||
Barclays Bank PLC | USD | 524 | INR | 35,413 | 8/09/18 | (3,242 | ) | |||||||||
Barclays Bank PLC | USD | 1,360 | JPY | 147,692 | 7/17/18 | 1,477 | ||||||||||
BNP Paribas SA | INR | 125,355 | USD | 1,833 | 8/09/18 | (10,054 | ) | |||||||||
BNP Paribas SA | TWD | 47,102 | USD | 1,588 | 6/07/18 | 15,664 | ||||||||||
BNP Paribas SA | AUD | 7,111 | USD | 5,579 | 6/19/18 | 200,814 | ||||||||||
BNP Paribas SA | BRL | 3,880 | USD | 1,038 | 6/04/18 | (3,610 | ) | |||||||||
BNP Paribas SA | CAD | 1,360 | USD | 1,048 | 6/12/18 | (931 | ) | |||||||||
BNP Paribas SA | GBP | 371 | USD | 527 | 7/17/18 | 33,006 | ||||||||||
BNP Paribas SA | USD | 1,343 | TRY | 6,292 | 6/21/18 | 35,788 | �� | |||||||||
BNP Paribas SA | USD | 1,051 | BRL | 3,880 | 6/04/18 | (9,415 | ) | |||||||||
BNP Paribas SA | USD | 1,042 | INR | 71,398 | 8/09/18 | 7,572 | ||||||||||
Citibank, NA | JPY | 341,179 | USD | 3,197 | 7/17/18 | 51,669 | ||||||||||
Citibank, NA | TWD | 112,176 | USD | 3,866 | 6/07/18 | 122,005 | ||||||||||
Citibank, NA | MXN | 31,259 | USD | 1,562 | 6/14/18 | (2,365 | ) | |||||||||
Citibank, NA | MXN | 14,611 | USD | 789 | 7/17/18 | 62,234 | ||||||||||
Citibank, NA | TRY | 7,008 | USD | 1,549 | 6/21/18 | 13,340 | ||||||||||
Citibank, NA | TRY | 6,437 | USD | 1,533 | 7/17/18 | 136,877 | ||||||||||
Citibank, NA | ILS | 3,798 | USD | 1,064 | 7/12/18 | (4,378 | ) | |||||||||
Citibank, NA | CAD | 1,391 | USD | 1,074 | 7/17/18 | 37 |
62 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Citibank, NA | CAD | 1,360 | USD | 1,049 | 6/12/18 | $ | (345 | ) | ||||||||
Citibank, NA | GBP | 379 | USD | 531 | 7/17/18 | 26,021 | ||||||||||
Citibank, NA | EUR | 431 | NOK | 4,153 | 7/17/18 | 2,759 | ||||||||||
Citibank, NA | USD | 2,108 | CNY | 13,303 | 7/17/18 | (41,050 | ) | |||||||||
Citibank, NA | USD | 2,654 | AUD | 3,422 | 7/17/18 | (64,950 | ) | |||||||||
Citibank, NA | USD | 1,833 | TRY | 7,727 | 7/17/18 | (157,405 | ) | |||||||||
Citibank, NA | USD | 1,060 | TRY | 4,752 | 6/21/18 | (18,408 | ) | |||||||||
Citibank, NA | USD | 644 | TRY | 2,980 | 6/21/18 | 9,127 | ||||||||||
Citibank, NA | USD | 1,592 | PLN | 5,391 | 7/17/18 | (131,405 | ) | |||||||||
Citibank, NA | USD | 517 | ZAR | 6,237 | 7/17/18 | (30,046 | ) | |||||||||
Citibank, NA | NOK | 8,535 | SEK | 9,146 | 7/26/18 | (3,857 | ) | |||||||||
Citibank, NA | USD | 1,596 | MXN | 30,974 | 6/14/18 | (46,236 | ) | |||||||||
Citibank, NA | USD | 3,586 | INR | 243,623 | 8/09/18 | (3,420 | ) | |||||||||
Citibank, NA | USD | 4,981 | KRW | 5,296,518 | 7/26/18 | (70,560 | ) | |||||||||
Credit Suisse International | EUR | 11,137 | USD | 13,823 | 6/19/18 | 788,326 | ||||||||||
Credit Suisse International | BRL | 3,976 | USD | 1,064 | 6/04/18 | (3,700 | ) | |||||||||
Credit Suisse International | BRL | 1,304 | USD | 371 | 6/04/18 | 21,121 | ||||||||||
Credit Suisse International | USD | 349 | BRL | 1,304 | 6/04/18 | 1,213 | ||||||||||
Credit Suisse International | USD | 3,073 | EUR | 2,476 | 6/19/18 | (175,256 | ) | |||||||||
Credit Suisse International | USD | 1,132 | BRL | 3,976 | 6/04/18 | (64,399 | ) | |||||||||
Credit Suisse International | NOK | 8,628 | CHF | 1,052 | 7/26/18 | 15,976 | ||||||||||
Deutsche Bank AG | TRY | 4,950 | USD | 1,052 | 6/21/18 | (32,589 | ) | |||||||||
Deutsche Bank AG | NOK | 4,291 | USD | 520 | 7/17/18 | (5,085 | ) | |||||||||
Deutsche Bank AG | TRY | 2,807 | USD | 622 | 6/21/18 | 7,253 | ||||||||||
Deutsche Bank AG | EUR | 1,296 | USD | 1,606 | 7/17/18 | 86,303 | ||||||||||
Deutsche Bank AG | AUD | 695 | USD | 529 | 7/17/18 | 3,030 | ||||||||||
Deutsche Bank AG | EUR | 427 | PLN | 1,785 | 7/17/18 | (17,223 | ) | |||||||||
Deutsche Bank AG | USD | 260 | TRY | 1,224 | 6/21/18 | 7,999 | ||||||||||
Deutsche Bank AG | USD | 1,071 | ILS | 3,857 | 7/12/18 | 13,433 | ||||||||||
Deutsche Bank AG | USD | 1,437 | ILS | 5,125 | 7/17/18 | 4,840 | ||||||||||
Deutsche Bank AG | ILS | 5,667 | EUR | 1,361 | 6/13/18 | 1,206 | ||||||||||
Deutsche Bank AG | USD | 2,310 | JPY | 244,434 | 7/17/18 | (55,975 | ) | |||||||||
Goldman Sachs Bank USA | ILS | 7,621 | USD | 2,122 | 7/12/18 | (21,498 | ) | |||||||||
Goldman Sachs Bank USA | EUR | 2,259 | USD | 2,622 | 7/18/18 | (27,961 | ) | |||||||||
Goldman Sachs Bank USA | TRY | 2,194 | USD | 525 | 7/17/18 | 49,214 | ||||||||||
Goldman Sachs Bank USA | BRL | 1,888 | USD | 505 | 6/04/18 | (1,757 | ) | |||||||||
Goldman Sachs Bank USA | CAD | 1,370 | USD | 1,063 | 6/12/18 | 6,025 | ||||||||||
Goldman Sachs Bank USA | CHF | 535 | USD | 537 | 6/28/18 | (7,380 | ) | |||||||||
Goldman Sachs Bank USA | USD | 533 | CAD | 685 | 6/12/18 | (4,735 | ) | |||||||||
Goldman Sachs Bank USA | USD | 532 | BRL | 1,888 | 6/04/18 | (24,796 | ) | |||||||||
Goldman Sachs Bank USA | USD | 523 | TRY | 2,129 | 7/17/18 | (61,277 | ) | |||||||||
Goldman Sachs Bank USA | USD | 535 | NOK | 4,116 | 7/17/18 | (31,071 | ) | |||||||||
Goldman Sachs Bank USA | USD | 2,784 | MYR | 11,149 | 7/12/18 | 4,691 | ||||||||||
JPMorgan Chase Bank, NA | ARS | 10,824 | USD | 481 | 6/18/18 | 53,694 | ||||||||||
JPMorgan Chase Bank, NA | TRY | 2,262 | USD | 523 | 6/21/18 | 26,930 | ||||||||||
JPMorgan Chase Bank, NA | EUR | 943 | USD | 1,116 | 6/28/18 | 11,907 | ||||||||||
JPMorgan Chase Bank, NA | EUR | 864 | USD | 1,069 | 7/17/18 | 55,864 | ||||||||||
JPMorgan Chase Bank, NA | USD | 1,602 | AUD | 2,127 | 7/17/18 | 7,110 | ||||||||||
JPMorgan Chase Bank, NA | USD | 4,481 | GBP | 3,213 | 6/19/18 | (206,567 | ) | |||||||||
JPMorgan Chase Bank, NA | USD | 532 | CNY | 3,347 | 7/17/18 | (11,480 | ) | |||||||||
JPMorgan Chase Bank, NA | USD | 3,738 | ILS | 13,278 | 7/17/18 | (1,439 | ) |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 63 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Morgan Stanley Capital Services, Inc. | JPY | 3,863,173 | USD | 36,386 | 6/19/18 | $ | 838,785 | |||||||||
Morgan Stanley Capital Services, Inc. | JPY | 115,229 | USD | 1,058 | 6/28/18 | (3,029 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | SEK | 16,108 | USD | 1,855 | 6/15/18 | 27,346 | ||||||||||
Morgan Stanley Capital Services, Inc. | CNY | 16,734 | USD | 2,639 | 7/17/18 | 37,975 | ||||||||||
Morgan Stanley Capital Services, Inc. | MXN | 9,935 | USD | 521 | 7/17/18 | 26,669 | ||||||||||
Morgan Stanley Capital Services, Inc. | NZD | 8,939 | USD | 6,508 | 6/19/18 | 252,938 | ||||||||||
Morgan Stanley Capital Services, Inc. | HKD | 8,276 | USD | 1,059 | 6/19/18 | 3,243 | ||||||||||
Morgan Stanley Capital Services, Inc. | ILS | 6,204 | USD | 1,737 | 7/17/18 | (8,795 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | CAD | 2,056 | USD | 1,587 | 7/17/18 | (163 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | EUR | 2,367 | USD | 2,932 | 7/17/18 | 155,997 | ||||||||||
Morgan Stanley Capital Services, Inc. | AUD | 2,412 | USD | 1,857 | 7/17/18 | 32,089 | ||||||||||
Morgan Stanley Capital Services, Inc. | GBP | 1,330 | USD | 1,879 | 7/17/18 | 106,813 | ||||||||||
Morgan Stanley Capital Services, Inc. | CHF | 1,280 | USD | 1,341 | 7/17/18 | 36,966 | ||||||||||
Morgan Stanley Capital Services, Inc. | CAD | 1,029 | USD | 800 | 7/17/18 | 5,702 | ||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,544 | CAD | 1,988 | 7/17/18 | (9,017 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | SGD | 1,426 | AUD | 1,405 | 7/17/18 | (2,963 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,863 | EUR | 1,502 | 7/17/18 | (100,879 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | EUR | 1,746 | CHF | 2,088 | 7/17/18 | 79,175 | ||||||||||
Morgan Stanley Capital Services, Inc. | USD | 2,578 | CNY | 16,272 | 7/17/18 | (48,734 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,978 | CNY | 12,609 | 6/19/18 | (14,615 | ) | |||||||||
Royal Bank of Scotland PLC | JPY | 2,326,875 | USD | 21,395 | 6/15/18 | (9,437 | ) | |||||||||
Royal Bank of Scotland PLC | JPY | 56,571 | USD | 537 | 7/17/18 | 15,067 | ||||||||||
Royal Bank of Scotland PLC | ARS | 10,893 | USD | 499 | 6/18/18 | 68,438 | ||||||||||
Royal Bank of Scotland PLC | TRY | 6,347 | USD | 1,541 | 7/17/18 | 164,475 | ||||||||||
Royal Bank of Scotland PLC | USD | 532 | AUD | 687 | 7/17/18 | (12,304 | ) | |||||||||
Royal Bank of Scotland PLC | USD | 1,601 | CAD | 2,009 | 7/17/18 | (49,393 | ) | |||||||||
Royal Bank of Scotland PLC | USD | 525 | TRY | 2,176 | 7/17/18 | (53,433 | ) | |||||||||
Royal Bank of Scotland PLC | USD | 535 | MXN | 10,533 | 6/14/18 | (7,449 | ) | |||||||||
Royal Bank of Scotland PLC | USD | 540 | MXN | 10,558 | 7/17/18 | (15,018 | ) | |||||||||
Royal Bank of Scotland PLC | USD | 1,022 | ARS | 21,717 | 6/18/18 | (164,987 | ) | |||||||||
Standard Chartered Bank | TWD | 31,589 | USD | 1,065 | 6/07/18 | 10,815 | ||||||||||
Standard Chartered Bank | PLN | 4,615 | USD | 1,320 | 7/17/18 | 69,571 |
64 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Standard Chartered Bank | NZD | 3,312 | USD | 2,400 | 7/17/18 | $ | 82,405 | |||||||||
Standard Chartered Bank | SGD | 2,129 | USD | 1,593 | 8/16/18 | (81 | ) | |||||||||
Standard Chartered Bank | BRL | 1,947 | USD | 518 | 6/04/18 | (4,999 | ) | |||||||||
Standard Chartered Bank | AUD | 1,382 | USD | 1,063 | 7/17/18 | 17,966 | ||||||||||
Standard Chartered Bank | GBP | 767 | USD | 1,037 | 9/14/18 | 11,638 | ||||||||||
Standard Chartered Bank | AUD | 703 | USD | 527 | 6/07/18 | (4,848 | ) | |||||||||
Standard Chartered Bank | CAD | 685 | USD | 532 | 6/12/18 | 3,492 | ||||||||||
Standard Chartered Bank | GBP | 392 | MXN | 10,524 | 6/14/18 | 5,493 | ||||||||||
Standard Chartered Bank | EUR | 858 | NOK | 8,275 | 7/17/18 | 6,181 | ||||||||||
Standard Chartered Bank | USD | 521 | BRL | 1,947 | 6/04/18 | 1,812 | ||||||||||
Standard Chartered Bank | AUD | 2,127 | NZD | 2,272 | 7/17/18 | (19,300 | ) | |||||||||
Standard Chartered Bank | USD | 1,597 | NZD | 2,172 | 7/17/18 | (77,246 | ) | |||||||||
Standard Chartered Bank | USD | 1,066 | TWD | 31,406 | 6/07/18 | (17,399 | ) | |||||||||
Standard Chartered Bank | USD | 1,029 | HUF | 274,290 | 7/17/18 | (23,457 | ) | |||||||||
State Street Bank & Trust Co. | HUF | 274,722 | USD | 1,046 | 7/17/18 | 38,730 | ||||||||||
State Street Bank & Trust Co. | JPY | 92,465 | USD | 870 | 6/19/18 | 19,619 | ||||||||||
State Street Bank & Trust Co. | JPY | 33,890 | USD | 310 | 9/14/18 | (3,733 | ) | |||||||||
State Street Bank & Trust Co. | JPY | 28,111 | USD | 266 | 7/17/18 | 6,967 | ||||||||||
State Street Bank & Trust Co. | MXN | 20,421 | USD | 1,007 | 11/14/18 | 10,568 | ||||||||||
State Street Bank & Trust Co. | SEK | 10,042 | USD | 1,168 | 7/17/18 | 25,191 | ||||||||||
State Street Bank & Trust Co. | SEK | 9,652 | USD | 1,181 | 6/19/18 | 84,923 | ||||||||||
State Street Bank & Trust Co. | MXN | 4,868 | USD | 263 | 7/17/18 | 21,052 | ||||||||||
State Street Bank & Trust Co. | DKK | 4,350 | USD | 724 | 6/19/18 | 40,400 | ||||||||||
State Street Bank & Trust Co. | ILS | 3,844 | USD | 1,079 | 7/17/18 | (2,465 | ) | |||||||||
State Street Bank & Trust Co. | PLN | 3,791 | USD | 1,066 | 7/17/18 | 39,161 | ||||||||||
State Street Bank & Trust Co. | NOK | 2,818 | USD | 363 | 6/19/18 | 18,260 | ||||||||||
State Street Bank & Trust Co. | ILS | 1,870 | USD | 534 | 7/17/18 | 8,111 | ||||||||||
State Street Bank & Trust Co. | EUR | 1,769 | USD | 2,102 | 7/17/18 | 27,458 | ||||||||||
State Street Bank & Trust Co. | CHF | 1,562 | USD | 1,657 | 6/19/18 | 69,827 | ||||||||||
State Street Bank & Trust Co. | TRY | 1,296 | USD | 270 | 6/21/18 | (13,813 | ) | |||||||||
State Street Bank & Trust Co. | TRY | 1,477 | USD | 333 | 7/17/18 | 12,763 | ||||||||||
State Street Bank & Trust Co. | EUR | 940 | USD | 1,101 | 11/14/18 | (11,908 | ) | |||||||||
State Street Bank & Trust Co. | EUR | 1,178 | USD | 1,455 | 6/19/18 | 75,950 | ||||||||||
State Street Bank & Trust Co. | SGD | 621 | USD | 473 | 6/19/18 | 8,991 | ||||||||||
State Street Bank & Trust Co. | GBP | 1,039 | USD | 1,381 | 6/19/18 | (1,185 | ) | |||||||||
State Street Bank & Trust Co. | NZD | 366 | USD | 264 | 7/17/18 | 7,504 | ||||||||||
State Street Bank & Trust Co. | AUD | 345 | USD | 265 | 7/17/18 | 3,950 | ||||||||||
State Street Bank & Trust Co. | EUR | 553 | USD | 661 | 9/14/18 | 9,729 | ||||||||||
State Street Bank & Trust Co. | NZD | 262 | USD | 191 | 6/19/18 | 7,537 | ||||||||||
State Street Bank & Trust Co. | GBP | 249 | USD | 338 | 9/14/18 | 5,082 | ||||||||||
State Street Bank & Trust Co. | GBP | 222 | USD | 302 | 7/17/18 | 5,448 | ||||||||||
State Street Bank & Trust Co. | GBP | 207 | USD | 275 | 6/19/18 | 331 | ||||||||||
State Street Bank & Trust Co. | USD | 41 | CHF | 41 | 7/17/18 | 580 | ||||||||||
State Street Bank & Trust Co. | USD | 133 | EUR | 110 | 9/14/18 | (3,178 | ) | |||||||||
State Street Bank & Trust Co. | GBP | 378 | NOK | 4,172 | 7/17/18 | 7,746 | ||||||||||
State Street Bank & Trust Co. | USD | 368 | AUD | 478 | 7/17/18 | (6,640 | ) | |||||||||
State Street Bank & Trust Co. | CHF | 1,532 | GBP | 1,118 | 7/17/18 | (71,017 | ) | |||||||||
State Street Bank & Trust Co. | USD | 914 | EUR | 732 | 6/19/18 | (57,634 | ) | |||||||||
State Street Bank & Trust Co. | USD | 121 | NOK | 967 | 7/17/18 | (2,707 | ) | |||||||||
State Street Bank & Trust Co. | USD | 263 | TRY | 1,141 | 7/17/18 | (15,810 | ) | |||||||||
State Street Bank & Trust Co. | EUR | 1,568 | GBP | 1,369 | 6/13/18 | (14,166 | ) | |||||||||
State Street Bank & Trust Co. | USD | 474 | TRY | 2,117 | 6/21/18 | (10,341 | ) |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 65 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
State Street Bank & Trust Co. | USD | 1,049 | PLN | 3,808 | 7/17/18 | $ | (17,401 | ) | ||||||||
State Street Bank & Trust Co. | USD | 5,771 | EUR | 4,819 | 7/17/18 | (117,981 | ) | |||||||||
State Street Bank & Trust Co. | USD | 1,068 | SEK | 9,565 | 6/15/18 | 17,245 | ||||||||||
State Street Bank & Trust Co. | USD | 217 | JPY | 23,069 | 6/19/18 | (4,468 | ) | |||||||||
State Street Bank & Trust Co. | USD | 1,583 | NOK | 12,686 | 9/14/18 | (26,728 | ) | |||||||||
UBS AG | USD | 3,737 | EUR | 3,078 | 7/17/18 | (126,533 | ) | |||||||||
UBS AG | USD | 1,061 | CAD | 1,367 | 6/12/18 | (6,745 | ) | |||||||||
UBS AG | JPY | 122,974 | EUR | 938 | 6/28/18 | (33,657 | ) | |||||||||
UBS AG | USD | 1,597 | JPY | 174,704 | 7/17/18 | 13,504 | ||||||||||
|
| |||||||||||||||
$ | 2,329,728 | |||||||||||||||
|
|
CURRENCY OPTIONS WRITTEN (see Note D)
Description/ Counterparty | Exercise Price | Expiration Month | Contracts | Notional | Premiums Received | U.S. $ Value | ||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||
USD vs. MXN/ Credit Suisse International | USD | 22.000 | 08/2018 | 2,800,000 | USD | 2,800 | $ | 54,516 | $ | (10,590 | ) | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
EUR vs. SEK/ BNP Paribas SA | SEK | 10.350 | 06/2018 | 22,563,000 | SEK | 22,563 | 10,246 | (9,520 | ) | |||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
$ | 64,762 | $ | (20,110 | ) | ||||||||||||||||||||||||||||
|
|
|
|
PUT OPTIONS WRITTEN (see Note D)
Description | Counterparty | Contracts | Exercise | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||||||||
SPDR S&P 500 ETF Trust | Morgan Stanley & Co., Inc. | 967 | USD | 249.00 | July 2018 | USD | 97 | $ | 100,529 | $ | (102,502 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at May 31, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 26, 5 Year Index, 6/20/21* | 5.00 | % | Quarterly | 2.47 | % | USD 12,250 | $ | 995,313 | $ | 215,259 | $ | 780,054 |
66 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at May 31, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
CDX-NAIG Series 26, 5 Year Index, 6/20/21* | 1.00 | % | Quarterly | 0.39 | % | USD 18,750 | $ | 374,760 | $ | 124,000 | $ | 250,760 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 1,370,073 | $ | 339,259 | $ | 1,030,814 | |||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/Received | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
AUD | 15,000 | 7/09/25 | 6 Month BBSW | 3.168 | % | Semi-Annual/ Semi-Annual | $ | 410,119 | ||||||||||||||
AUD | 4,740 | 2/23/27 | 6 Month BBSW | 3.040 | % | Semi-Annual/ Semi-Annual | 81,018 | |||||||||||||||
NZD | 20,260 | 2/24/27 | 3 Month BKBM | 3.508 | % | Quarterly/ Semi-Annual | 688,341 | |||||||||||||||
AUD | 9,490 | 2/27/27 | 6 Month BBSW | 2.975 | % | Semi-Annual/ Semi-Annual | 122,586 | |||||||||||||||
NZD | 10,120 | 2/28/27 | 3 Month BKBM | 3.445 | % | Quarterly/ Semi-Annual | 306,873 | |||||||||||||||
|
| |||||||||||||||||||||
$ | 1,608,937 | |||||||||||||||||||||
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at May 31, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||
iTraxx Australia Series 24, 5 Year Index, 12/20/20* | (1.00 | )% | Quarterly | 0.30 | % | 1,110 | $ | (21,586 | ) | $ | 6,197 | $ | (27,783 | ) | ||||||||||||||
iTraxx Australia Series 24, 5 Year Index, 12/20/20* | (1.00 | ) | Quarterly | 0.30 | 1,490 | (28,976 | ) | 8,320 | (37,296 | ) |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 67 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at May 31, 2018 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||||
iTraxx Australia Series 24, 5 Year Index, 12/20/20* | 1.00 | % | Quarterly | 0.30 | % | 2,600 | $ | 50,562 | $ | (15,915 | ) | $ | 66,477 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | – 0 | – | $ | (1,398 | ) | $ | 1,398 | |||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Payment Frequency | Notional | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Pay Total Return on Reference Obligation | ||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||||||||||
JPQABACP | 13,393 | – 0 | – | Maturity | USD | 1,340 | 6/17/19 | $ | (14,680 | ) |
** | Notional amount less than 500. |
(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 May 31, 2018, the aggregate market value of these securities amounted to $516,855 or 0.2% of net assets. |
(b) | Non-income producing security. |
(c) | Represents entire or partial securities out on loan. See Note E for securities lending information. |
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | Fair valued by the Adviser. |
(f) | Illiquid security. |
(g) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at May 31, 2018. |
(h) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(i) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(j) | Affiliated investments. |
(k) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
ARS – Argentine Peso
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CNY – Chinese Yuan Renminbi
DKK – Danish Krone
EUR – Euro
68 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
GBP – Great British Pound
HKD – Hong Kong Dollar
HUF – Hungarian Forint
ILS – Israeli Shekel
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
TRY – Turkish Lira
TWD – New Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
Glossary:
ADR – American Depositary Receipt
ASX – Australian Stock Exchange
BBSW – Bank Bill Swap Reference Rate (Australia)
BKBM – Bank Bill Benchmark (New Zealand)
CBT – Chicago Board of Trade
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CME – Chicago Mercantile Exchange
CPI – Consumer Price Index
ETF – Exchange Traded Fund
FTSE – Financial Times Stock Exchange
GDR – Global Depositary Receipt
KC HRW – Kansas City Hard Red Winter
LIBOR – London Interbank Offered Rates
LME – London Metal Exchange
MSCI – Morgan Stanley Capital International
OSE – Osaka Securities Exchange
RBOB – Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas)
REG – Registered Shares
REIT – Real Estate Investment Trust
RSP – Risparmio (Convertible Savings Shares)
SPDR – Standard & Poor’s Depository Receipt
SPI – Share Price Index
TIPS – Treasury Inflation Protected Security
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
ULSD – Ultra-Low Sulfur Diesel
WTI – West Texas Intermediate
See notes to consolidated financial statements.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 69 |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES
May 31, 2018 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $232,741,686) | $ | 244,875,554 | (a) | |
Affiliated issuers (cost $9,775,600—including investment of cash collateral for securities loaned of $748,882) | 9,775,600 | |||
Cash collateral due from broker | 7,808,467 | |||
Foreign currencies, at value (cost $1,553,238) | 795,819 | |||
Unrealized appreciation on forward currency exchange contracts | 5,698,448 | |||
Unaffiliated dividends and interest receivable | 458,558 | |||
Receivable for investment securities sold | 118,881 | |||
Unrealized appreciation on credit default swaps | 66,477 | |||
Receivable for capital stock sold | 22,656 | |||
Upfront premiums paid on credit default swaps | 14,517 | |||
Affiliated dividends receivable | 8,245 | |||
|
| |||
Total assets | 269,643,222 | |||
|
| |||
Liabilities | ||||
Due to custodian | 2,081,222 | |||
Options written, at value (premiums received $165,291) | 122,612 | |||
Unrealized depreciation on forward currency exchange contracts | 3,368,720 | |||
Payable for collateral received on securities loaned | 748,882 | |||
Cash collateral due to broker | 260,000 | |||
Payable for investment securities purchased | 182,301 | |||
Payable for variation margin on futures | 134,698 | |||
Advisory fee payable | 126,223 | |||
Payable for capital stock redeemed | 113,307 | |||
Unrealized depreciation on credit default swaps | 65,079 | |||
Distribution fee payable | 60,466 | |||
Payable for variation margin on centrally cleared swaps | 38,417 | |||
Transfer Agent fee payable | 33,545 | |||
Upfront premiums received on credit default swaps | 15,915 | |||
Unrealized depreciation on total return swaps | 14,680 | |||
Administrative fee payable | 11,476 | |||
Directors’ fees payable | 1,797 | |||
Accrued expenses | 210,909 | |||
|
| |||
Total liabilities | 7,590,249 | |||
|
| |||
Net Assets | $ | 262,052,973 | ||
|
| |||
Composition of Net Assets | ||||
Capital stock, at par | $ | 159,669 | ||
Additional paid-in capital | 257,970,755 | |||
Distributions in excess of net investment income | (10,420,365 | ) | ||
Accumulated net realized loss on investment and foreign currency transactions | (4,988,258 | ) | ||
Net unrealized appreciation on investment and foreign currency denominated assets and liabilities | 19,331,172 | |||
|
| |||
$ | 262,052,973 | |||
|
|
(a) | Includes securities on loan with a value of $723,422 (see Note E). |
See notes to consolidated financial statements.
70 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—24 billion shares of capital stock authorized, $.01 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 226,586,535 | 13,750,241 | $ | 16.48 | * | ||||||
| ||||||||||||
B | $ | 2,299,033 | 154,095 | $ | 14.92 | |||||||
| ||||||||||||
C | $ | 10,387,404 | 688,819 | $ | 15.08 | |||||||
| ||||||||||||
Advisor | $ | 17,266,816 | 1,038,974 | $ | 16.62 | |||||||
| ||||||||||||
R | $ | 2,120,285 | 129,683 | $ | 16.35 | |||||||
| ||||||||||||
K | $ | 1,232,824 | 74,982 | $ | 16.44 | |||||||
| ||||||||||||
I | $ | 2,160,076 | 130,095 | $ | 16.60 | |||||||
|
* | The maximum offering price per share for Class A shares was $17.21 which reflects a sales charge of 4.25%. |
See notes to consolidated financial statements.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 71 |
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended May 31, 2018 (unaudited)
Investment Income | ||||||||
Interest | $ | 1,713,370 | ||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $80,762) | 1,038,226 | |||||||
Affiliated issuers | 85,015 | $ | 2,836,611 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 775,613 | |||||||
Distribution fee—Class A | 292,503 | |||||||
Distribution fee—Class B | 12,242 | |||||||
Distribution fee—Class C | 55,757 | |||||||
Distribution fee—Class R | 5,470 | |||||||
Distribution fee—Class K | 1,454 | |||||||
Transfer agency—Class A | 211,430 | |||||||
Transfer agency—Class B | 2,755 | |||||||
Transfer agency—Class C | 10,407 | |||||||
Transfer agency—Advisor Class | 15,557 | |||||||
Transfer agency—Class R | 2,892 | |||||||
Transfer agency—Class K | 1,190 | |||||||
Transfer agency—Class I | 1,153 | |||||||
Custodian | 153,212 | |||||||
Audit and tax | 64,568 | |||||||
Registration fees | 54,643 | |||||||
Printing | 40,927 | |||||||
Administrative | 30,461 | |||||||
Legal | 23,321 | |||||||
Directors’ fees | 14,079 | |||||||
Miscellaneous | 22,950 | |||||||
|
| |||||||
Total expenses before interest expense | 1,792,584 | |||||||
Interest expense | 20,829 | (a) | ||||||
|
| |||||||
Total expenses | 1,813,413 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | (13,102 | ) | ||||||
|
| |||||||
Net expenses | 1,800,311 | |||||||
|
| |||||||
Net investment income | 1,036,300 | |||||||
|
|
(a) | Non-financing expense. |
See notes to consolidated financial statements.
72 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED STATEMENT OF OPERATIONS (continued)
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | (1,649,151 | ) | |||||
Forward currency exchange contracts | (1,937,439 | ) | ||||||
Futures | 3,503,778 | |||||||
Options written | 1,319,487 | |||||||
Swaps | 575,394 | |||||||
Swaptions written | 111,972 | |||||||
Foreign currency transactions | 43,153 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | 1,511,825 | |||||||
Forward currency exchange contracts | (116,192 | ) | ||||||
Futures | (348,743 | ) | ||||||
Options written | 113,121 | |||||||
Swaps | (368,976 | ) | ||||||
Swaptions written | (11,694 | ) | ||||||
Foreign currency denominated assets and liabilities | 172,700 | |||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 2,919,235 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 3,955,535 | ||||||
|
|
See notes to consolidated financial statements.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 73 |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,036,300 | $ | 1,978,374 | ||||
Net realized gain on investment and foreign currency transactions | 1,967,194 | 15,071,728 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 952,041 | 15,359,728 | ||||||
Contributions from Adviser (see Note B) | – 0 | – | 3,108 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 3,955,535 | 32,412,938 | ||||||
Dividends to Shareholders from | ||||||||
Net investment income | ||||||||
Class A | (7,506,532 | ) | (12,060,264 | ) | ||||
Class B | (64,654 | ) | (176,673 | ) | ||||
Class C | (205,668 | ) | (2,068,206 | ) | ||||
Advisor Class | (576,760 | ) | (712,844 | ) | ||||
Class R | (69,458 | ) | (132,112 | ) | ||||
Class K | (38,879 | ) | (77,414 | ) | ||||
Class I | (68,987 | ) | (132,489 | ) | ||||
Capital Stock Transactions | ||||||||
Net decrease | (15,178,686 | ) | (27,616,944 | ) | ||||
Capital Contributions | ||||||||
Proceeds from third party regulatory settlement (see Note F) | – 0 | – | 43,921 | |||||
|
|
|
| |||||
Total decrease | (19,754,089 | ) | (10,520,087 | ) | ||||
Net Assets | ||||||||
Beginning of period | 281,807,062 | 292,327,149 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($10,420,365) and ($2,925,727), respectively) | $ | 262,052,973 | $ | 281,807,062 | ||||
|
|
|
|
See notes to consolidated financial statements.
74 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
May 31, 2018 (unaudited)
NOTE A
Significant Accounting Policies
AB Global Risk Allocation Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. As part of the Fund’s investment strategy, the Fund seeks to gain exposure to commodities and commodities-related instruments and derivatives primarily through investments in AllianceBernstein Cayman Global Risk Allocation, Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Fund is the sole shareholder of the Subsidiary and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. As of May 31, 2018, net assets of the Fund were $262,052,973, of which $12,907,215, or 5%, represented the Fund’s ownership of all issued shares and voting rights of the Subsidiary. This report presents the consolidated financial statements of the Fund and the Subsidiary. All intercompany transactions and balances have been eliminated in consolidation. The Fund offers Class A, Class B, Class C, Advisor Class, Class R, Class K and Class I. Class T shares have been authorized but currently are not offered. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class B shares are currently sold with a contingent deferred sales charge which declines from 4% to zero depending on the period of time the shares are held. Effective January 31, 2009, sales of Class B shares of the Fund to new investors were suspended. Class B shares will only be issued (i) upon the exchange of Class B shares from another AB mutual fund, (ii) for purposes of dividend reinvestment, (iii) through the Fund’s Automatic Investment Program (the “Program”) for accounts that established the Program prior to January 31, 2009, and (iv) for purchases of additional shares by Class B shareholders as of January 31, 2009. The ability to establish a new Program for accounts containing Class B shares was suspended as of January 31, 2009. Class B shares will automatically convert to Class A shares eight years after the end of the calendar month of purchase. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Class R and Class K shares are sold
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 75 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
without an initial or contingent deferred sales charge. Advisor Class and Class I shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All eight classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The consolidated financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the 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, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term
76 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 77 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively, the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the
78 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of May 31, 2018:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Inflation-Linked Securities | $ | – 0 | – | $ | 161,690,627 | $ | – 0 | – | $ | 161,690,627 | ||||||
Common Stocks: | ||||||||||||||||
Financials | 4,752,256 | 7,755,763 | – 0 | – | 12,508,019 | |||||||||||
Information Technology | 6,900,518 | 1,606,558 | – 0 | – | 8,507,076 | |||||||||||
Industrials | 3,761,672 | 3,492,901 | 120 | 7,254,693 | ||||||||||||
Health Care | 3,663,036 | 3,071,319 | – 0 | – | 6,734,355 | |||||||||||
Consumer Discretionary | 3,544,411 | 3,088,561 | 37,029 | 6,670,001 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 79 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consumer Staples | $ | 3,189,904 | $ | 3,145,348 | $ | – 0 | – | $ | 6,335,252 | |||||||
Materials | 2,880,751 | 2,668,123 | – 0 | – | 5,548,874 | |||||||||||
Energy | 2,369,119 | 2,853,942 | – 0 | – | 5,223,061 | |||||||||||
Utilities | 2,342,988 | 2,058,770 | – 0 | – | 4,401,758 | |||||||||||
Real Estate | 1,695,981 | 1,489,703 | – 0 | – | 3,185,684 | |||||||||||
Telecommunication Services | 734,273 | 961,845 | – 0 | – | 1,696,118 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 9,069,538 | – 0 | – | 9,069,538 | ||||||||||
Preferred Stocks | 3,995,836 | – 0 | – | – 0 | – | 3,995,836 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 1,161,673 | – 0 | – | 1,161,673 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 643,200 | – 0 | – | 643,200 | ||||||||||
Options Purchased – Puts | – 0 | – | 149,916 | – 0 | – | 149,916 | ||||||||||
Investment Companies | 86,419 | – 0 | – | – 0 | – | 86,419 | ||||||||||
Rights | 347 | – 0 | – | 12,507 | 12,854 | |||||||||||
Options Purchased – Calls | – 0 | – | 600 | – 0 | – | 600 | ||||||||||
Short-Term Investments | 9,026,718 | – 0 | – | – 0 | – | 9,026,718 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 748,882 | – 0 | – | – 0 | – | 748,882 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 49,693,111 | 204,908,387 | 49,656 | 254,651,154 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 3,642,284 | 511,104 | – 0 | – | 4,153,388 | (b) | ||||||||||
Forward Currency Exchange Contracts | – 0 | – | 5,698,448 | – 0 | – | 5,698,448 | ||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 1,370,073 | – 0 | – | 1,370,073 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 1,608,937 | – 0 | – | 1,608,937 | (b) | |||||||||
Credit Default Swaps | – 0 | – | 50,562 | – 0 | – | 50,562 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (1,410,049 | ) | (2,427 | ) | – 0 | – | (1,412,476 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (3,368,720 | ) | – 0 | – | (3,368,720 | ) | ||||||||
Currency Options Written | – 0 | – | (20,110 | ) | – 0 | – | (20,110 | ) | ||||||||
Put Options Written | – 0 | – | (102,502 | ) | – 0 | – | (102,502 | ) | ||||||||
Credit Default Swaps | – 0 | – | (50,562 | ) | – 0 | – | (50,562 | ) | ||||||||
Total Return Swaps | – 0 | – | (14,680 | ) | – 0 | – | (14,680 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Total(c) | $ | 51,925,346 | $ | 210,588,510 | $ | 49,656 | $ | 262,563,512 | ||||||||
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|
|
|
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) of exchange-traded derivatives as reported in the consolidated portfolio of investments. Exchange-traded swaps with upfront premiums are presented here at market value. |
(c) | There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period. |
The Fund recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.
80 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Common Stocks | Rights | Total | ||||||||||
Balance as of 11/30/17 | $ | – 0 | – | $ | 739 | $ | 739 | |||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | (65 | ) | (65 | ) | ||||||
Change in unrealized appreciation/depreciation | 12,694 | 274 | 12,968 | |||||||||
Purchases | 126 | 12,219 | 12,345 | |||||||||
Sales | – 0 | – | (660 | ) | (660 | ) | ||||||
Transfers in to Level 3 | 24,329 | – 0 | – | 24,329 | (a) | |||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
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|
|
|
|
| |||||||
Balance as of 5/31/18 | $ | 37,149 | $ | 12,507 | $ | 49,656 | ||||||
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|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 5/31/18(b) | $ | 12,694 | $ | 288 | $ | 12,982 | ||||||
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|
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(a) | There were de minimis transfers under 1% of net assets during the reporting period. |
(b) | The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying consolidated statement of operations. |
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Fund. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 81 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for Federal income tax purposes. Note that the loss from the Subsidiary’s contemplated activities also cannot be carried forward to reduce future Subsidiary’s income in subsequent years. However, if the Subsidiary’s taxable gains exceed its losses and other deductible items during a taxable year, the net gain will pass through to the Fund as income for Federal income tax purposes.
82 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s consolidated financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .60% of the first $200 million, .50% of the next $200 million and .40% in excess of $400 million of the Fund’s average daily net assets. The fee is accrued daily and paid monthly.
The Subsidiary has entered into a separate agreement with the Adviser for the management of the Subsidiary’s portfolio. The Adviser receives no compensation from the Subsidiary for its services under the agreement.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended May 31, 2018, the reimbursement for such services amounted to $30,461.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 83 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
During the year ended November 30, 2017, the Adviser reimbursed the Fund $3,108 for trading losses incurred due to a trade entry error.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $93,077 for the six months ended May 31, 2018.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $1,579 from the sale of Class A shares and received $974, $475 and $125 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A, Class B and Class C shares, respectively, for the six months ended May 31, 2018.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. In connection with the investment by the Fund in the Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended May 31, 2018, such waiver amounted to $12,048.
A summary of the Fund’s transactions in AB mutual funds for the six months ended May 31, 2018 is as follows:
Fund | Market Value 11/30/17 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 5/31/18 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 7,374 | $ | 47,239 | $ | 45,586 | $ | 9,027 | $ | 76 | ||||||||||
Government Money Market Portfolio* | 1,332 | 8,400 | 8,983 | 749 | 9 | |||||||||||||||
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| |||||||||||||||||
Total | $ | 9,776 | $ | 85 | ||||||||||||||||
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|
|
* | Investments of cash collateral for securities lending transactions (see Note E). |
84 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Brokerage commissions paid on investment transactions for the six months ended May 31, 2018 amounted to $108,820, of which $0 and $0, respectively, was paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein Limited, affiliates of the Adviser.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to both Class B and Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares and .25% of the Fund’s average daily net assets attributable to Class K shares. There are no distribution and servicing fees on the Advisor Class and Class I shares. The fees are accrued daily and paid monthly. Effective February 27, 2015, payments under the Agreement in respect of Class A shares are limited to an annual rate of .25% of Class A shares’ average daily net assets. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $765,519, $3,490,095, $417,667 and $251,818 for Class B, Class C, Class R and Class K shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2018 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding | $ | 21,331,595 | $ | 454,868 | ||||
U.S. government securities | – 0 | – | 19,068,552 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 85 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 31,611,649 | ||
Gross unrealized depreciation | (11,737,993 | ) | ||
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| |||
Net unrealized appreciation | $ | 19,873,656 | ||
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|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
• | Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
86 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the consolidated statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended May 31, 2018, the Fund held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended May 31, 2018, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 87 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.
The Fund may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties.
During the six months ended May 31, 2018, the Fund held purchased options for hedging and non-hedging purposes. During the six months ended May 31, 2018, the Fund held purchased swaptions for hedging and non-hedging purposes.
88 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
During the six months ended May 31, 2018, the Fund held written options for hedging and non-hedging purposes. During the six months ended May 31, 2018, the Fund held written swaptions for hedging and non-hedging purposes.
At May 31, 2018, the maximum payments for written put options amounted to $50,557,992. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the consolidated statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the consolidated statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received are recognized as cost or proceeds on the consolidated statement of assets and liabilities and are
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 89 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the consolidated statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the consolidated statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
90 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended May 31, 2018, the Fund held interest rate swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty. As of May 31, 2018, the Fund did not have Buy Contracts outstanding with respect to the same referenced obligations and same counterparty for its Sale Contracts outstanding.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 91 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended May 31, 2018, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended May 31, 2018, the Fund held total return swaps for hedging and non-hedging purposes.
The Fund and the Subsidiary typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with
92 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s and the Subsidiary net liability, held by the defaulting party, may be delayed or denied.
The Fund’s and Subsidiary’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund or the Subsidiary decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s and the Subsidiary OTC counterparty has the right to terminate such transaction and require the Fund or the Subsidiary to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.
During the six months ended May 31, 2018, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 586,487 | * | Receivable/Payable for variation margin on futures | $ | 47,274 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | 1,261,049 | * | Receivable/Payable for variation margin on futures | 536,394 | * | ||||||
Commodity contracts | Receivable/Payable for variation margin on futures | 2,305,852 | * | Receivable/Payable for variation margin on futures | 828,808 | * | ||||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | 1,030,814 | * | |||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 1,608,937 | * |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 93 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | $ | 5,698,448 | Unrealized depreciation on forward currency exchange contracts | $ | 3,368,720 | ||||||
Foreign exchange contracts | Investments in securities, at value | | 2,896 | |||||||||
Equity contracts | Investments in securities, at value | 147,620 | ||||||||||
Foreign exchange contracts | Options written, at value | | 20,110 | |||||||||
Equity contracts | Options written, at value | 102,502 | ||||||||||
Credit contracts | Unrealized appreciation on credit default swaps | 66,477 | Unrealized depreciation on credit default swaps | 65,079 | ||||||||
Equity contracts | Unrealized depreciation on total return swaps | 14,680 | ||||||||||
|
|
|
| |||||||||
Total | $ | 12,708,580 | $ | 4,983,567 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the consolidated portfolio of investments. |
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (1,033,692 | ) | $ | 460,123 |
94 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 2,424,553 | $ | (2,430,516 | ) | ||||
Commodity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 2,112,917 | 1,621,650 | |||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (1,937,439 | ) | (116,192 | ) | |||||
Interest rate contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (258,124 | ) | (16,322 | ) | |||||
Foreign exchange contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (205,649 | ) | 87,139 | ||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (679,003 | ) | (219,320 | ) | |||||
Foreign exchange contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 307,773 | 183,122 |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 95 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | $ | 1,011,714 | $ | (70,001 | ) | ||||
Interest rate contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | 111,972 | (11,694 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 228,276 | (206,218 | ) | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 347,118 | (148,078 | ) | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | – 0 | – | (14,680 | ) | |||||
|
|
|
| |||||||
Total | $ | 2,430,416 | $ | (880,987 | ) | |||||
|
|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended May 31, 2018:
Futures: | ||||
Average original value of buy contracts | $ | 153,888,916 | ||
Average original value of sale contracts | $ | 34,568,321 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 151,854,590 | ||
Average principal amount of sale contracts | $ | 286,333,341 | ||
Purchased Options: | ||||
Average notional amount | $ | 15,057,318 | ||
Purchased Swaptions: | ||||
Average notional amount | $ | 37,108,000 | (a) | |
Options Written: | ||||
Average notional amount | $ | 17,344,736 |
96 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Swaptions Written: | ||||
Average notional amount | $ | 53,108,000 | (a) | |
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 44,131,200 | ||
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 2,600,000 | ||
Average notional amount of sale contracts | $ | 2,600,000 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 31,000,000 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 1,339,970 | (a) |
(a) | Positions were open for one month during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the consolidated statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Fund as of May 31, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
AB Global Risk Allocation Fund
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 80,536 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 80,536 | |||||||
Bank of America, NA | 162,341 | (162,341 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Barclays Bank PLC | 924,845 | (580,333 | ) | – 0 | – | – 0 | – | 344,512 | ||||||||||||
BNP Paribas SA | 293,444 | (33,530 | ) | (259,914 | ) | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 424,069 | (424,069 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 828,932 | (253,945 | ) | – 0 | – | – 0 | – | 574,987 | ||||||||||||
Deutsche Bank AG | 174,626 | (110,872 | ) | – 0 | – | – 0 | – | 63,754 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 59,930 | (59,930 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 155,505 | (27,599 | ) | – 0 | – | – 0 | – | 127,906 | ||||||||||||
Morgan Stanley Capital Services, Inc. | 1,603,698 | (188,195 | ) | – 0 | – | – 0 | – | 1,415,503 | ||||||||||||
Royal Bank of Scotland PLC | 247,980 | (247,980 | ) | – 0 | – | – 0 | – | – 0 | – |
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 97 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Standard Chartered Bank | $ | 209,373 | $ | (147,330 | ) | $ | – 0 | – | $ | – 0 | – | $ | 62,043 | |||||||
State Street Bank & Trust Co. | 522,630 | (319,178 | ) | – 0 | – | – 0 | – | 203,452 | ||||||||||||
UBS AG | 13,504 | (13,504 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 5,701,413 | $ | (2,568,806 | ) | $ | (259,914 | ) | $ | – 0 | – | $ | 2,872,693 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivatives Liabilities | |||||||||||||||
Bank of America, NA | $ | 240,108 | $ | (162,341 | ) | $ | – 0 | – | $ | – 0 | – | $ | 77,767 | |||||||
Barclays Bank PLC | 580,333 | (580,333 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 33,530 | (33,530 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 574,425 | (424,069 | ) | – 0 | – | – 0 | – | 150,356 | ||||||||||||
Credit Suisse International | 253,945 | (253,945 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 110,872 | (110,872 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 231,037 | (59,930 | ) | – 0 | – | – 0 | – | 171,107 | ||||||||||||
JPMorgan Chase Bank, NA | 27,599 | (27,599 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley Capital Services, Inc. | 188,195 | (188,195 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 312,021 | (247,980 | ) | – 0 | – | – 0 | – | 64,041 | ||||||||||||
Standard Chartered Bank | 147,330 | (147,330 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 319,178 | (319,178 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 166,935 | (13,504 | ) | – 0 | – | – 0 | – | 153,431 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,185,508 | $ | (2,568,806 | ) | $ | – 0 | – | $ | – 0 | – | $ | 616,702 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
AllianceBernstein Cayman Global Risk Allocation, Ltd.
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
State Street Bank & Trust Co. | $ | 50,493 | $ | (50,493 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 50,493 | $ | (50,493 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | –^ | ||||||
|
|
|
|
|
|
|
|
|
|
98 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivatives Liabilities | |||||||||||||||
JPMorgan Chase Bank, NA | $ | 206,567 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 206,567 | |||||||
State Street Bank & Trust Co. | 61,997 | (50,493 | ) | – 0 | – | – 0 | – | 11,504 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 268,564 | $ | (50,493 | ) | $ | – 0 | – | $ | – 0 | – | $ | 218,071 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Fund may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions. During the six months ended May 31, 2018, the Fund did not engage in TBA transactions.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 99 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The Fund may enter into dollar rolls. Dollar rolls involve sales by the Fund of securities for delivery in the current month and the Fund’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. During the six months ended May 31, 2018, the Fund had no transactions in dollar rolls.
NOTE E
Securities Lending
The Fund may enter into securities lending transactions. Under the Fund’s securities lending program, all loans of securities will be collateralized continually by cash. The Fund will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Fund in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. It is the policy of the Fund to receive collateral consisting of cash in an amount exceeding the value of the securities loaned. The Fund will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Fund amounts equal to any income or other distributions from the securities. The Fund will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Fund, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the consolidated statement of assets and liabilities. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. At May 31, 2018, the Fund had securities on loan with a value of $723,422 and had received cash collateral which has been invested into Government Money Market Portfolio of $748,882. The cash collateral will be adjusted
100 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
on the next business day to maintain the required collateral amount. The Fund earned securities lending income of $0 and $9,207 from the borrowers and Government Money Market Portfolio, respectively, for the six months ended May 31, 2018; these amounts are reflected in the consolidated statement of operations. In connection with the cash collateral investment by the Fund in the Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Fund’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended May 31, 2018, such waiver amounted to $1,054. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities.
NOTE F
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 236,888 | 608,371 | $ | 3,866,290 | $ | 9,693,114 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 418,058 | 727,436 | 6,764,171 | 10,926,083 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class B | 20,177 | 67,717 | 327,800 | 1,074,933 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 68,963 | 1,469,724 | 1,108,336 | 23,298,593 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,529,305 | ) | (2,779,539 | ) | (24,939,176 | ) | (44,282,607 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (785,219 | ) | 93,709 | $ | (12,872,579 | ) | $ | 710,116 | ||||||||||||||||
| ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Shares sold | 7,324 | 14,235 | $ | 108,387 | $ | 205,717 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 4,281 | 12,557 | 62,973 | 171,656 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (22,253 | ) | (74,654 | ) | (327,800 | ) | (1,074,933 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (9,933 | ) | (34,173 | ) | (146,065 | ) | (492,420 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (20,581 | ) | (82,035 | ) | $ | (302,505 | ) | $ | (1,189,980 | ) | ||||||||||||||
|
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 101 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 41,072 | 47,516 | $ | 608,415 | $ | 691,927 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 11,644 | 122,968 | 173,035 | 1,684,665 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (75,203 | ) | (1,616,943 | ) | (1,108,336 | ) | (23,298,593 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (92,063 | ) | (595,661 | ) | (1,374,459 | ) | (8,546,258 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (114,550 | ) | (2,042,120 | ) | $ | (1,701,345 | ) | $ | (29,468,259 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 185,910 | 600,033 | $ | 3,035,535 | $ | 9,643,985 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 31,325 | 40,167 | 510,590 | 607,725 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (195,058 | ) | (436,588 | ) | (3,191,147 | ) | (7,018,969 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 22,177 | 203,612 | $ | 354,978 | $ | 3,232,741 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold | 5,960 | 25,778 | $ | 96,582 | $ | 404,415 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 4,320 | 8,849 | 69,458 | 132,111 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (32,829 | ) | (58,117 | ) | (537,165 | ) | (919,801 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (22,549 | ) | (23,490 | ) | $ | (371,125 | ) | $ | (383,275 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold | 14,178 | 15,073 | $ | 230,861 | $ | 238,007 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 2,407 | 5,164 | 38,877 | 77,410 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (17,321 | ) | (59,373 | ) | (283,869 | ) | (936,549 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (736 | ) | (39,136 | ) | $ | (14,131 | ) | $ | (621,132 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Shares sold | 16,797 | 20,482 | $ | 278,306 | $ | 332,209 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 4,237 | 8,768 | 68,985 | 132,487 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (36,906 | ) | (22,449 | ) | (619,270 | ) | (361,851 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (15,872 | ) | 6,801 | $ | (271,979 | ) | $ | 102,845 | ||||||||||||||||
|
For the year ended November 30, 2017, the Fund recorded $43,921 related to a third party’s settlements of regulatory proceedings. This amount is presented in the Fund’s consolidated statement of changes in net assets. Neither the Fund nor its affiliates were involved in the proceedings or the calculation of the payment.
102 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE G
Risks Involved in Investing in the Fund
Allocation Risk—The allocation of investments among asset classes may have a significant effect on the Fund’s net asset value, or NAV, when the asset classes in which the Fund’s has invested more heavily perform worse than the asset classes invested in less heavily.
Interest Rate Risk and Credit Risk—Interest rate risk is the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income debt securities such as bonds or notes. Increases in interest rates may cause the value of the Fund’s investments to decline. Credit risk is the risk that the issuer or guarantor of a debt security, or the counterparty to a derivative contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The degree of risk for a particular security may be reflected in its credit rating. Credit risk is greater for medium quality and lower-rated securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative risks.
Commodity Risk—Investing in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Below Investment Grade Securities Risk—Investments in fixed-income securities with ratings below investment grade, commonly known as “junk bonds”, tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions of the junk bond market generally and less secondary market liquidity.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 103 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Emerging Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Subsidiary Risk—By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and, unless otherwise noted in the Fund’s prospectus, is not subject to all of the investor protections of the 1940 Act. However, the Fund wholly owns and controls the Subsidiary, and the Fund and the Subsidiary are managed by the Adviser, making it unlikely the Subsidiary will take actions contrary to the interests of the Fund or its shareholders. In addition, changes in federal tax laws applicable to the Fund or interpretations thereof could limit the Fund’s ability to gain exposure to commodities investments through investments in the Subsidiary.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the consolidated statement of assets and liabilities.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
104 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE H
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $280 million revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the consolidated statement of operations. The Fund did not utilize the Facility during the six months ended May 31, 2018. Effective July 3, 2018, the Facility will be increased to $325 million.
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending November 30, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended November 30, 2017 and November 30, 2016 were as follows:
2017 | 2016 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 15,360,002 | $ | 205,901 | ||||
|
|
|
| |||||
Total distributions paid | $ | 15,360,002 | $ | 205,901 | ||||
|
|
|
|
As of November 30, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 8,120,564 | ||
Accumulated capital and other losses | (2,796,717 | )(a) | ||
Unrealized appreciation/(depreciation) | (2,375,812 | )(b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 2,948,035 | ||
|
|
(a) | As of November 30, 2017, the Fund had a net capital loss carryforward of $2,796,717. During the fiscal year, the Fund utilized $13,912,005 of capital loss carry forwards to offset current year net realized gains. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps, passive foreign investment companies (PFICs), partnership investments, the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of earnings from the Subsidiary, and corporate restructuring. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of November 30, 2017, the Fund had a net short-term capital loss carryforward of $2,623,591 and a net long-term capital loss carryforward of $173,126 which may be carried forward for an indefinite period.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 105 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE J
Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the consolidated financial statements.
NOTE K
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the consolidated financial statements through the date the consolidated financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s consolidated financial statements through this date.
106 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.75 | $ 15.79 | $ 15.29 | $ 17.54 | $ 16.48 | $ 17.72 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .06 | (b) | .13 | (b) | .15 | (b)† | .16 | .21 | .10 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .19 | 1.67 | .36 | (.60 | ) | 1.11 | (.02 | ) | ||||||||||||||||
Contributions from Adviser | – 0 | – | .00 | (c) | .00 | (c) | .01 | – 0 | – | .01 | ||||||||||||||
Capital contributions | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .25 | 1.80 | .51 | (.43 | ) | 1.32 | .09 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.52 | ) | (.84 | ) | (.01 | ) | (1.10 | ) | – 0 | – | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.52 | ) | (.84 | ) | (.01 | ) | (1.82 | ) | (.26 | ) | (1.33 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.48 | $ 16.75 | $ 15.79 | $ 15.29 | $ 17.54 | $ 16.48 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 1.48 | % | 12.00 | %(e)* | 3.34 | %†* | (2.56 | )%(f)* | 8.14 | %* | .57 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $226,587 | $243,518 | $228,036 | $267,703 | $304,092 | $330,368 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) | 1.31 | %^ | 1.29 | % | 1.28 | % | 1.28 | % | 1.28 | % | 1.17 | % | ||||||||||||
Expenses, before waivers/reimbursements(g)(h) | 1.32 | %^ | 1.30 | % | 1.30 | % | 1.28 | % | 1.28 | % | 1.17 | % | ||||||||||||
Net investment income | .79 | %(b)^ | .79 | %(b) | .96 | %(b)† | 1.01 | % | 1.25 | % | .58 | % | ||||||||||||
Portfolio turnover rate | 8 | % | 30 | % | 79 | % | 250 | % | 96 | % | 158 | %** |
See footnote summary on pages 114-115.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 107 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class B | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 15.13 | $ 14.32 | $ 13.96 | $ 16.13 | $ 15.29 | $ 16.57 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a) | (.00 | )(b)(c) | (.02 | )(b) | .00 | (b)(c)† | .01 | .08 | (.03 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .17 | 1.54 | .36 | (.52 | ) | 1.02 | .00 | (c) | ||||||||||||||||
Contributions from Adviser | – 0 | – | .00 | (c) | .00 | (c) | .01 | – 0 | – | .01 | ||||||||||||||
Capital contributions | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .17 | 1.52 | .36 | (.50 | ) | 1.10 | (.02 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.71 | ) | – 0 | – | (.95 | ) | – 0 | – | (.08 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.38 | ) | (.71 | ) | – 0 | – | (1.67 | ) | (.26 | ) | (1.26 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.92 | $ 15.13 | $ 14.32 | $ 13.96 | $ 16.13 | $ 15.29 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 1.13 | % | 11.12 | %(e)* | 2.58 | %†* | (3.30 | )%(f)* | 7.32 | %* | (.12 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,299 | $2,643 | $3,676 | $6,033 | $11,730 | $18,652 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) | 2.10 | %^ | 2.08 | % | 2.04 | % | 2.05 | % | 2.01 | % | 1.89 | % | ||||||||||||
Expenses, before waivers/reimbursements(g)(h) | 2.11 | %^ | 2.10 | % | 2.06 | % | 2.05 | % | 2.01 | % | 1.89 | % | ||||||||||||
Net investment income (loss) | (.04 | )%(b)^ | (.16 | )%(b) | .01 | %(b)† | .10 | % | .54 | % | (.21 | )% | ||||||||||||
Portfolio turnover rate | 8 | % | 30 | % | 79 | % | 250 | % | 96 | % | 158 | %** |
See footnote summary on pages 114-115.
108 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 15.17 | $ 14.37 | $ 14.01 | $ 16.22 | $ 15.37 | $ 16.66 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a) | .00 | (b)(c) | (.07 | )(b) | .03 | (b)† | .04 | .08 | (.02 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .17 | 1.60 | .33 | (.55 | ) | 1.03 | (.01 | ) | ||||||||||||||||
Contributions from Adviser | – 0 | – | .00 | (c) | .00 | (c) | .01 | – 0 | – | .01 | ||||||||||||||
Capital contributions | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .17 | 1.53 | .36 | (.50 | ) | 1.11 | (.02 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.26 | ) | (.73 | ) | – 0 | – | (.99 | ) | – 0 | – | (.09 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.26 | ) | (.73 | ) | – 0 | – | (1.71 | ) | (.26 | ) | (1.27 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.08 | $ 15.17 | $ 14.37 | $ 14.01 | $ 16.22 | $ 15.37 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 1.14 | % | 11.18 | %(e)* | 2.57 | %†* | (3.27 | )%(f)* | 7.35 | %* | (.12 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $10,387 | $12,188 | $40,885 | $50,508 | $57,567 | $60,336 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) | 2.06 | %^ | 2.05 | % | 2.03 | % | 2.02 | % | 2.00 | % | 1.89 | % | ||||||||||||
Expenses, before waivers/reimbursements(g)(h) | 2.07 | %^ | 2.06 | % | 2.05 | % | 2.02 | % | 2.00 | % | 1.89 | % | ||||||||||||
Net investment income (loss) | .00 | %(b)(c)^ | (.46 | )%(b) | .18 | %(b)† | .26 | % | .53 | % | (.14 | )% | ||||||||||||
Portfolio turnover rate | 8 | % | 30 | % | 79 | % | 250 | % | 96 | % | 158 | %** |
See footnote summary on pages 114-115.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 109 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.92 | $ 15.94 | $ 15.41 | $ 17.67 | $ 16.55 | $ 17.77 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .09 | (b) | .19 | (b) | .16 | (b)† | .21 | .21 | .14 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .17 | 1.67 | .40 | (.61 | ) | 1.17 | (.02 | ) | ||||||||||||||||
Contributions from Adviser | – 0 | – | .00 | (c) | .00 | (c) | .01 | – 0 | – | .02 | ||||||||||||||
Capital contributions | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .26 | 1.86 | .56 | (.39 | ) | 1.38 | .14 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.56 | ) | (.88 | ) | (.03 | ) | (1.15 | ) | – 0 | – | (.18 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.56 | ) | (.88 | ) | (.03 | ) | (1.87 | ) | (.26 | ) | (1.36 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.62 | $ 16.92 | $ 15.94 | $ 15.41 | $ 17.67 | $ 16.55 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 1.62 | % | 12.38 | %(e)* | 3.55 | %†* | (2.27 | )%(f)* | 8.41 | %* | .86 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $17,267 | $17,200 | $12,960 | $23,311 | $20,893 | $22,933 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) | 1.06 | %^ | 1.04 | % | 1.03 | % | 1.02 | % | 1.00 | % | .88 | % | ||||||||||||
Expenses, before waivers/reimbursements(g)(h) | 1.07 | %^ | 1.05 | % | 1.05 | % | 1.02 | % | 1.00 | % | .88 | % | ||||||||||||
Net investment income | 1.07 | %(b)^ | 1.19 | %(b) | 1.06 | %(b)† | 1.34 | % | 1.25 | % | .85 | % | ||||||||||||
Portfolio turnover rate | 8 | % | 30 | % | 79 | % | 250 | % | 96 | % | 158 | %** |
See footnote summary on pages 114-115.
110 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.59 | $ 15.61 | $ 15.15 | $ 17.40 | $ 16.40 | $ 17.66 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .03 | .06 | (b) | .06 | (b)† | .11 | .16 | .04 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .19 | 1.67 | .40 | (.60 | ) | 1.10 | (.02 | ) | ||||||||||||||||
Contributions from Adviser | – 0 | – | .00 | (c) | .00 | (c) | .01 | – 0 | – | .02 | ||||||||||||||
Capital contributions | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .22 | 1.73 | .46 | (.48 | ) | 1.26 | .04 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.46 | ) | (.75 | ) | – 0 | – | (1.05 | ) | – 0 | – | (.12 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.46 | ) | (.75 | ) | – 0 | – | (1.77 | ) | (.26 | ) | (1.30 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.35 | $ 16.59 | $ 15.61 | $ 15.15 | $ 17.40 | $ 16.40 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 1.35 | % | 11.63 | %(e)* | 3.04 | %†* | (2.84 | )%(f)* | 7.75 | %* | .29 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,120 | $2,526 | $2,743 | $4,241 | $4,523 | $3,676 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) | 1.64 | %^ | 1.63 | % | 1.61 | % | 1.61 | % | 1.59 | % | 1.46 | % | ||||||||||||
Expenses, before waivers/reimbursements(g)(h) | 1.65 | %^ | 1.64 | % | 1.62 | % | 1.61 | % | 1.59 | % | 1.46 | % | ||||||||||||
Net investment income | .42 | %^ | .36 | %(b) | .41 | %(b)† | .69 | % | .95 | % | .23 | % | ||||||||||||
Portfolio turnover rate | 8 | % | 30 | % | 79 | % | 250 | % | 96 | % | 158 | %** |
See footnote summary on pages 114-115.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 111 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.71 | $ 15.75 | $ 15.25 | $ 17.50 | $ 16.45 | $ 17.68 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .06 | (b) | .10 | (b) | .15 | (b)† | .16 | .21 | .09 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .18 | 1.68 | .36 | (.59 | ) | 1.10 | .00 | (c) | ||||||||||||||||
Contributions from Adviser | – 0 | – | .00 | (c) | .00 | (c) | .01 | – 0 | – | .01 | ||||||||||||||
Capital contributions | – 0 | – | .00 | (c) | – 0 | ��– | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .24 | 1.78 | .51 | (.42 | ) | 1.31 | .10 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.51 | ) | (.82 | ) | (.01 | ) | (1.11 | ) | – 0 | – | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.51 | ) | (.82 | ) | (.01 | ) | (1.83 | ) | (.26 | ) | (1.33 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.44 | $ 16.71 | $ 15.75 | $ 15.25 | $ 17.50 | $ 16.45 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 1.51 | % | 12.00 | %(e)* | 3.27 | %†* | (2.55 | )%(f)* | 8.09 | %* | .64 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $1,233 | $1,265 | $1,809 | $1,939 | $2,098 | $2,033 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) | 1.33 | %^ | 1.31 | % | 1.30 | % | 1.30 | % | 1.27 | % | 1.16 | % | ||||||||||||
Expenses, before waivers/reimbursements(g)(h) | 1.34 | %^ | 1.33 | % | 1.31 | % | 1.30 | % | 1.27 | % | 1.16 | % | ||||||||||||
Net investment income | .77 | %(b)^ | .66 | %(b) | 1.00 | %(b)† | .99 | % | 1.26 | % | .57 | % | ||||||||||||
Portfolio turnover rate | 8 | % | 30 | % | 79 | % | 250 | % | 96 | % | 158 | %** |
See footnote summary on pages 114-115.
112 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.90 | $ 15.94 | $ 15.39 | $ 17.66 | $ 16.52 | $ 17.72 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .09 | (b) | .18 | (b) | .29 | (b)† | .22 | .27 | .10 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .18 | 1.69 | .30 | (.60 | ) | 1.13 | .05‡ | |||||||||||||||||
Contributions from Adviser | – 0 | – | .00 | (c) | .00 | (c) | .01 | – 0 | – | .01 | ||||||||||||||
Capital contributions | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .27 | 1.87 | .59 | (.37 | ) | 1.40 | .16 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.57 | ) | (.91 | ) | (.04 | ) | (1.18 | ) | – 0 | – | (.18 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.48 | ) | (.26 | ) | (1.18 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | (.24 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.57 | ) | (.91 | ) | (.04 | ) | (1.90 | ) | (.26 | ) | (1.36 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 16.60 | $ 16.90 | $ 15.94 | $ 15.39 | $ 17.66 | $ 16.52 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 1.63 | % | 12.39 | %(e)* | 3.81 | %†* | (2.12 | )%(f)* | 8.55 | %* | 1.02 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,160 | $2,467 | $2,218 | $402 | $49 | $84 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) | .98 | %^ | .93 | % | .86 | % | .91 | % | .83 | % | .71 | % | ||||||||||||
Expenses, before waivers/reimbursements(g)(h) | .99 | %^ | .95 | % | .87 | % | .91 | % | .83 | % | .71 | % | ||||||||||||
Net investment income | 1.13 | %(b)^ | 1.14 | %(b) | 1.88 | %(b)† | 1.45 | % | 1.59 | % | .98 | % | ||||||||||||
Portfolio turnover rate | 8 | % | 30 | % | 79 | % | 250 | % | 96 | % | 158 | %** |
See footnote summary on pages 114-115.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 113 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of fees and expenses waived/reimbursed by the Adviser. |
(c) | Amount is less than $.005. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(e) | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
(f) | Includes the impact of a voluntary reimbursement from the Adviser for trading losses incurred due to a trade entry error; absent of such payment, the Fund’s performance would have been reduced by .07% for the year ended November 30, 2015. |
(g) | In connection with the Fund’s investments in affiliated underlying portfolios, the Fund incurs no direct expenses, but bear proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses, and for the six months ended May 31, 2018 and the years ended November 30, 2017 and November 30, 2016, such waiver amounted to .01% (annualized), .01% and .02%, respectively. |
(h) | The expense ratios presented below exclude interest expense: |
Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Net of waivers/reimbursements | 1.29 | %^ | 1.29 | % | 1.28 | % | N/A | N/A | 1.17 | % | ||||||||||||||
Before waivers/reimbursements | 1.30 | %^ | 1.30 | % | 1.29 | % | N/A | N/A | 1.17 | % | ||||||||||||||
Class B | ||||||||||||||||||||||||
Net of waivers/reimbursements | 2.09 | %^ | 2.08 | % | 2.04 | % | N/A | N/A | 1.89 | % | ||||||||||||||
Before waivers/reimbursements | 2.10 | %^ | 2.10 | % | 2.06 | % | N/A | N/A | 1.89 | % | ||||||||||||||
Class C | ||||||||||||||||||||||||
Net of waivers/reimbursements | 2.05 | %^ | 2.05 | % | 2.03 | % | N/A | N/A | 1.88 | % | ||||||||||||||
Before waivers/reimbursements | 2.06 | %^ | 2.06 | % | 2.05 | % | N/A | N/A | 1.88 | % | ||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Net of waivers/reimbursements | 1.04 | %^ | 1.04 | % | 1.03 | % | N/A | N/A | .87 | % | ||||||||||||||
Before waivers/reimbursements | 1.05 | %^ | 1.05 | % | 1.05 | % | N/A | N/A | .87 | % | ||||||||||||||
Class R | ||||||||||||||||||||||||
Net of waivers/reimbursements | 1.63 | %^ | 1.63 | % | 1.61 | % | N/A | N/A | 1.46 | % | ||||||||||||||
Before waivers/reimbursements | 1.64 | %^ | 1.64 | % | 1.62 | % | N/A | N/A | 1.46 | % | ||||||||||||||
Class K | ||||||||||||||||||||||||
Net of waivers/reimbursements | 1.32 | %^ | 1.31 | % | 1.29 | % | N/A | N/A | 1.15 | % | ||||||||||||||
Before waivers/reimbursements | 1.33 | %^ | 1.33 | % | 1.31 | % | N/A | N/A | 1.15 | % |
114 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Net of waivers/reimbursements | .97 | %^ | .93 | % | .85 | % | N/A | N/A | .71 | % | ||||||||||||||
Before waivers/reimbursements | .98 | %^ | .95 | % | .87 | % | N/A | N/A | .71 | % |
† | For the year ended November 30, 2016, the amount includes a refund for overbilling of prior years’ custody out of pocket fees as follows: |
Net Investment Income Per Share | Net Investment Income Ratio | Total Return | ||
$.001 | .06% | .06% |
* | Includes the impact of proceeds received and credited to the Fund resulting from class action settlements, which enhanced the Fund’s performance for the years ended November 30, 2017, November 30, 2016, November 30, 2015, November 30, 2014 and November 30, 2013 by .81%, .01%, .08%, .06% and .04%, respectively. |
Includes the impact of proceeds recorded and credited to the Fund resulting from a third party regulatory settlement, which enhanced the Fund’s performance for the year ended November 30, 2017 by .02%. |
** | The Fund accounts for dollar roll transactions as purchases and sales. |
‡ | 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 Fund’s change in net realized and unrealized gain (loss) on investment transactions for the period. |
^ | Annualized. |
See notes to consolidated financial statements.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 115 |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Michael J. Downey(1) William H. Foulk, Jr.(1) Nancy P. Jacklin(1) | Robert M. Keith, President and Chief Executive Officer Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Daniel J. Loewy(2), Vice President Leon Zhu(2) , Vice President Emilie D. Wrapp, Secretary Joseph J. Mantineo, Treasurer and Chief Financial Officer | Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 | Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672
Independent Registered Public Accounting Firm Ernst & Young LLP 5 Times Square New York, NY 10036 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Quantitative Investment Team. Messrs. Loewy and Zhu are the investment professionals with the most significant responsibilities for the day-to-day management of the Fund’s portfolio. |
116 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Global Risk Allocation Fund, Inc. (the “Fund”) unanimously approved the continuance of the Advisory Agreement with the Adviser at a meeting held on May 1-3, 2018 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including materials from an outside consultant, who acted as their independent fee consultant, and comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 117 |
research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant retained by the Fund’s former Independent Compliance Officer. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2016 and 2017 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Fund’s former Independent Compliance Officer. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their
118 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an analytical service that is not affiliated with the Adviser (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2018. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients pursuing a similar investment style. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and the materials from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and any sub-advised funds, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 119 |
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions; (iii) must prepare and distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to funds such as the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund may invest in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued by the SEC. The directors noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it may use ETFs when they are the most cost-effective way to obtain desired exposures for a fund or to temporarily “equitize” cash inflows pending purchases of underlying securities, that the advisory fee for the Fund would be paid for services that would be in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
The directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s expense ratio was above the peer group median. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
120 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels, and that the Fund’s net assets were approximately at the level of the first breakpoint. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 121 |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
US CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
US GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
INTERNATIONAL/ GLOBAL CORE
FlexFee™ International Strategic Core Portfolio
Global Core Equity Portfolio
International Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed International Portfolio
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
INTERNATIONAL/ GLOBAL GROWTH
Concentrated International Growth Portfolio
FlexFee™ Emerging Markets Growth Portfolio
INTERNATIONAL/ GLOBAL EQUITY (continued)
Sustainable International Thematic Fund1
INTERNATIONAL/ GLOBAL VALUE
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
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TAXABLE
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Short Duration Portfolio
ALTERNATIVES
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Select US Long/Short Portfolio
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MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
TARGET-DATE
Multi-Manager Select Retirement Allocation Fund
Multi-Manager Select 2010 Fund
Multi-Manager Select 2015 Fund
Multi-Manager Select 2020 Fund
Multi-Manager Select 2025 Fund
Multi-Manager Select 2030 Fund
Multi-Manager Select 2035 Fund
Multi-Manager Select 2040 Fund
Multi-Manager Select 2045 Fund
Multi-Manager Select 2050 Fund
Multi-Manager Select 2055 Fund
CLOSED-END FUNDS
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio. |
122 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
NOTES
abfunds.com | AB GLOBAL RISK ALLOCATION FUND | 123 |
NOTES
124 | AB GLOBAL RISK ALLOCATION FUND | abfunds.com |
AB GLOBAL RISK ALLOCATION FUND
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
GRA-0152-0518
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
The following exhibits are attached to this Form N-CSR:
EXHIBIT NO. | DESCRIPTION OF EXHIBIT | |
12 (b) (1) | Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
12 (b) (2) | Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
12 (c) | Certification of Principal Executive Officer and Principal Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): AB Global Risk Allocation Fund, Inc.
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President |
Date: July 27, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President |
Date: July 27, 2018
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer |
Date: July 27, 2018